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)
865 South Figueroa Street
Los Angeles, CA 90017
(Address of principal executive offices) (Zip code)
Metropolitan West Funds
865 South Figueroa Street
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-1050
Date of fiscal year end: March 31
Date of reporting period: September 30, 2010
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,
We thank you for your continued investment with the Metropolitan West Funds. In this report, we are pleased to disclose that flows to the Funds remained robust through the recent six-month period such that the assets under management neared $15 billion, up from $10 billion to start 2010.
The September 30, 2010, Semi-Annual Report for the Metropolitan West Funds covers the following:
| | |
Metropolitan West Ultra Short Bond Fund | | M-Class (MWUSX), I-Class (MWUIX) |
Metropolitan West Low Duration Bond Fund | | M-Class (MWLDX), I-Class (MWLIX), |
| | Administrative-Class (MWLNX) |
Metropolitan West Intermediate Bond Fund | | M-Class (MWIMX), I-Class (MWIIX) |
Metropolitan West Total Return Bond Fund | | M-Class (MWTRX), I-Class (MWTIX), |
| | Administrative-Class (MWTNX) |
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
After a hiatus in April and May, risk appetites appeared to return to the investment markets during the third quarter of 2010, despite ongoing indicators of slow economic growth, as investors appeared to internalize the deep commitment of the Federal Reserve to avert contraction (the feared “double dip”). With joblessness remaining uncomfortably near 10%, a downward revision to gross domestic product (“GDP”), and an absence of inflation-spurring expectations for a second round of quantitative easing (“QE2”) by the federal government (“Fed”), markets rallied across the spectrum in anticipation. Though unclear as to the degree and contours of any would-be stimulus, the heightened expectations fueled an 11% return to the S&P 500, 9% in September alone, as trading intensity picked up following the return from summer vacations. Closer to home in the bond market, prices climbed with high yield and commercial mortgage-backed securities (“CMBS”) gaining more than 6% for the quarter. Meanwhile, even U.S. Treasury issues gained as investors looked to get in front of one potential form of QE2 that would have the Fed on the buying end of massive amounts of government debt. The broad U.S. Treasury market returned 2.7%, as the 5-year yield fell 50 basis points to 1.26% to close the quarter, while the 10-year hit a low of 2.4% a week later.
Notwithstanding the strong technical conditions driving returns in the third quarter, fundamental improvements persisted in the corporate sector and developed in the housing market. Default rates have fallen sharply for both investment grade and sub-investment grade companies, as balance sheets reflect the virtues of cost cutting, most particularly restraint in the areas of new capital expenditures and additional staffing, and extending debt maturities while the markets have been accommodating. One obvious benefit is that defaults among high yield companies have receded to $12.9 billion in 2010 so far, after reaching $185 billion in 2009’s post-crisis purge. A further benefit is that profitability has been on the upswing, with annualized after-tax corporate income hitting an all-time record in the second quarter.
In the admittedly more deeply challenged housing market, the rate of mortgage holders going from current to 60 days delinquent continues to fall (and has declined sharply from the late 2008 highs). Though home sales and pricing have not indicated a clear upturn, some stability – perhaps fragile – has been revealed, potentially setting the stage for steady recovery, but no return of the past frenzy, to be sure. Translating back to the residential mortgage-backed securities (“RMBS”) market, performance has benefitted as cash flow projections have been improved and discount rates have eased. The presence of committed investors, such as those sponsored by the Public-Private Investment Program has certainly helped, as the sponsorship that abandoned the market in 2007 and 2008 has begun to be reestablished. No doubt, the staying power of that commitment will be tested on occasion as these periodic revelations of past excesses emerge. To that point, as the quarter ended, irregularities in mortgage underwriting called into question the technical propriety of certain foreclosure practices, and banks heeded calls for a temporary moratorium, to sort out the issues and put paperwork in order. While expectations are for a reasonably expeditious resolution, the developments could have the impact of slowing down the foreclosure timeline and potentially lifting severities.
The Economy and Market Ahead
The end-game for 2010 in the financial markets will almost certainly be guided by the Fed’s bold actions or, in the absence of consensus between the inflation hawks and doves of the Fed’s Open Market Committee (“FOMC”), the confidence instilled with the statements that accompany more limited action. Predictions for the upcoming midterm election strongly suggest that fiscal stimulus options (save perhaps some tax relief) are exhausted, leaving the Fed somewhat alone at the helm. Given the responsibility and the still-challenged economy, the expectation is that monetary policy will continue to tack toward a goal that minimizes the
Semi-Annual Report September 2010 / 1
double dip scenario and accompanying deflation risks. As a result, focus will be on the much-anticipated November FOMC meeting and the style of quantitative easing that will be announced: shock and awe, gradual, or unconventional modes of capital formation. Regardless of the approach, the stimulus to-date, as well as that under consideration, is inflationary and can be expected to deliver a weaker dollar and a broadly higher price level, not just commodities, at some point.
From a strategy perspective, Fund positioning remains consistent, though marginal adjustments have been made in recognition of the pricing environment to maintain the risk-adjusted yield profile. Duration remains short that of the benchmark reflecting a defensive stance on inflation, and little sacrifice in overall yield. Having captured significant benefits from the bulleted maturity emphasis over the last few quarters, the underweight to the long end of the yield curve will be moderated, though certainly not to an overweight and a barbell orientation. Exposure toAgency MBS was raised to near-neutral during the quarter, though the composition, favoring recent-issue 3.5%-coupon and 15-year MBS, is designed to bear lower price premiums (relative to par) in the case of increased refinancing. The overweight in non-Agency RMBS will remain, as our view of the foreclosure challenges is that pricing may experience a point or two of downward adjustment, but not enough to overcome what remains a compelling risk-adjusted value. CMBS exposure, which has been reduced due to strong relative performance in 2009 and year-to-date, remains a modest overweight with continuing focus on senior tranches at the top of the capital structure. The corporate overweight continues with financial issuers representing the preponderance of the exposure. On top of improved balance sheets, an additional thesis on the allocation to financials is predicated on relative scarcity of subordinated debt, particularly as these face calls due to updated regulatory capital rules. While industrials have, too, experienced improved credit fundamentals, pricing has richened up to inform a substantial underweight. Remaining exposure is tilted toward credit issues with strong asset coverage, such as airline-enhanced equipment trust certificates (“EETCs”) and regulated gas pipeline companies, as well as government-subsidized taxable municipal BuildAmerica Bonds with sufficient protection and good risk-adjusted yields.
Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.
Fund Results
General Performance Commentary
As we noted in our March 31, 2010 Annual Report, a general underweight to U.S. Treasury issues was favorable to performance as the corporate, mortgage- and asset-backed sectors had seen risk premiums sharply decline, generating significant outperformance relative to U.S. Treasury and other “full faith and credit” government issues. With the rally among the spread sectors at least 12 months in running at that point, our value orientation moved us to scale back risk profiles across the Funds, elevating quality and liquidity with a view that better buying opportunities would materialize. When market volatility picked up on fears of a sovereign debt crisis in Europe, the Funds benefitted in two ways, one in experiencing less adverse performance impact relative to the indexes and fund peers, and two, by having liquidity to invest in securities offering better risk-adjusted return potential, subsequent to the pricing adjustment in late April and May.
Overall, the Funds posted favorable returns in the latest six-month reporting period, with outperformance fueled by bottom-up sector allocation and security selection. Among the themes that contributed were ongoing investments in non-Agency RMBS, which have experienced price appreciation, first as cash flow discount rates have fallen, and then as expectations for collateral performance normalize from the excessively pessimistic expectations borne of the 2007 and 2008 housing market crisis. Allocations to CMBS, too, have contributed to performance, as that market has recovered. Among corporates, an overweight to financial issuers, in particular banking behemoths and insurers, has added performance relative to the indexes as the steep yield curve continues to foster the type of balance sheet profile preferred by creditors, such as the MetWest Funds. Finally, while the HighYield Bond Fund has experienced a modest recent performance deficit to the benchmark, longer term returns reflect a premium. The short-term lag has been a function of a higher portfolio quality during a period when markets have delivered outsized returns to the lower rating tiers, somewhat inexplicably given the sluggish pace of economic activity and still-challenged outlook. Nevertheless, the positioning of the portfolio is predicated on a full-cycle orientation, with expectations that the cautious approach will bear return benefits in an environment characterized by persistently lower GDP growth.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Due to recent favorable market conditions, some of the Funds have experienced an unusually high-performance which may not be sustainable or repeated in the future. 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.
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 until March 31, 2011. Without fee waivers, returns would have been lower. For additional expense ratio information, please refer to the Financial Highlights section of the report.
2 / Semi-Annual Report September 2010
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
| | | MWUSX (Inception: June 30, 2003) | | | 5.17% | | | | 13.11% | | | | -0.86% | | | | 1.07% | | | – | | | 2.22% | |
| | | Merrill Lynch 1-Year U.S. Treasury Index | | | 0.51% | | | | 0.91% | | | | 2.60% | | | | 3.46% | | | – | | | 2.78% | |
| | | MWUIX (Inception: July 31, 2004) | | | 5.51% | | | | 13.56% | | | | -0.62% | | | | 1.32% | | | – | | | 1.63% | |
| | | Merrill Lynch 1-Year U.S. Treasury Index | | | 0.51% | | | | 0.91% | | | | 2.60% | | | | 3.46% | | | – | | | 3.12% | |
For MWUSX, the total expense ratio is 0.75% and the net expense ratio is 0.53%. For MWUIX, the total expense ratio is 0.59% and the net expense ratio is 0.37%.
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) | |
| | | MWLDX (Inception: March 31, 1997) | | | 5.69% | | | | 13.06% | | | | 2.12% | | | | 3.20% | | | | 3.61% | | | | 4.54% | |
| | | Merrill Lynch 1-3 Year U.S. Treasury Index | | | 1.79% | | | | 2.53% | | | | 4.07% | | | | 4.35% | | | | 4.21% | | | | 4.69% | |
| | | MWLIX (Inception: March 31, 2000) | | | 5.66% | | | | 13.27% | | | | 2.27% | | | | 3.40% | | | | 3.81% | | | | 4.00% | |
| | | Merrill Lynch 1-3 Year U.S. Treasury Index | | | 1.79% | | | | 2.53% | | | | 4.07% | | | | 4.35% | | | | 4.21% | | | | 4.38% | |
| | | MWLNX (Inception: September 22, 2009) | | | 5.51% | | | | 12.77% | | | | – | | | | – | | | | – | | | | 13.54% | |
| | | Merrill Lynch 1-3 Year U.S. Treasury Index | | | 1.79% | | | | 2.53% | | | | – | | | | – | | | | – | | | | 2.48% | |
For MWLDX, the total expense ratio is 0.63% and the net expense ratio is 0.61%. For MWLIX, the total expense ratio is 0.44% and the net expense ratio is 0.42%. For MWLNX, the total expense ratio is 0.83% and the net expense ratio is 0.81%.
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
| | | MWIMX (Inception: June 30, 2003) | | | 7.65% | | | | 14.65% | | | | 8.17% | | | | 6.66% | | | – | | | 5.76% | |
| | | Barclays Capital U.S. Intermediate Government/Credit Index | | | 5.80% | | | | 7.76% | | | | 6.92% | | | | 5.94% | | | – | | | 4.65% | |
| | | MWIIX (Inception: June 28, 2002) | | | 7.78% | | | | 14.89% | | | | 8.40% | | | | 6.89% | | | – | | | 7.14% | |
| | | Barclays Capital U.S. Intermediate Government/Credit Index | | | 5.80% | | | | 7.76% | | | | 6.92% | | | | 5.94% | | | – | | | 5.37% | |
For MWIMX, the total expense ratio is 0.77% and the net expense ratio is 0.66%. For MWIIX, the total expense ratio is 0.56% and the net expense ratio is 0.45%.
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) | |
| | | MWTRX (Inception: March 31, 1997) | | | 7.45% | | | | 14.92% | | | | 9.50% | | | | 7.96% | | | | 7.19% | | | | 7.61% | |
| | | Barclays Capital U.S. Aggregate Bond Index | | | 6.06% | | | | 8.17% | | | | 7.42% | | | | 6.20% | | | | 6.41% | | | | 6.60% | |
| | | MWTIX (Inception: March 31, 2000) | | | 7.56% | | | | 15.16% | | | | 9.73% | | | | 8.18% | | | | 7.42% | | | | 7.57% | |
| | | Barclays Capital U.S. Aggregate Bond Index | | | 6.06% | | | | 8.17% | | | | 7.42% | | | | 6.20% | | | | 6.41% | | | | 6.57% | |
| | | MWTNX (Inception: December 18, 2009) | | | 7.32% | | | | – | | | | – | | | | – | | | | – | | | | 10.61% | |
| | | Barclays Capital U.S. Aggregate Bond Index | | | 6.06% | | | | – | | | | – | | | | – | | | | – | | | | 7.95% | |
For MWTRX, the total expense ratio is 0.66%. For MWTIX, the total expense ratio is 0.45%. For MWTNX, the total expense ratio is 0.86%.
Semi-Annual Report September 2010 / 3
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
| | | MWHYX (Inception: September 30, 2002) | | | 5.74% | | | | 16.45% | | | | 9.90% | | | | 8.55% | | | – | | | 11.66% | |
| | | Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | | 6.54% | | | | 18.23% | | | | 9.03% | | | | 8.38% | | | – | | | 11.10% | |
| | | MWHIX (Inception: March 31, 2003) | | | 5.88% | | | | 16.74% | | | | 10.18% | | | | 8.82% | | | – | | | 10.20% | |
| | | Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | | 6.54% | | | | 18.23% | | | | 9.03% | | | | 8.38% | | | – | | | 9.89% | |
For MWHYX, the total expense ratio is 0.87% and the net expense ratio is 0.80%. For MWHIX, the total expense ratio is 0.62% and the net expense ratio is 0.55%.
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
| | | MWSTX (Inception: June 30, 2003) | | | 10.44% | | | | 24.51% | | | | 1.68% | | | | 2.38% | | | – | | | 4.59% | |
| | | Merrill Lynch 3-Month U.S. Treasury Index + 2% | | | 1.08% | | | | 2.15% | | | | 3.17% | | | | 4.67% | | | – | | | 4.40% | |
| | | MWSIX (Inception: March 31, 2004) | | | 10.59% | | | | 24.67% | | | | 1.90% | | | | 2.62% | | | – | | | 2.96% | |
| | | Merrill Lynch 3-Month U.S. Treasury Index + 2% | | | 1.08% | | | | 2.15% | | | | 3.17% | | | | 4.67% | | | – | | | 4.56% | |
For MWSTX, the total expense ratio is 1.71%. For MWSIX, the total expense ratio is 1.46%.
Metropolitan West AlphaTrak 500 Fund
(MWATX)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2010 | |
| | | | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) | |
| | | MWATX (Inception: June 29, 1998) | | | 3.61% | | | | 28.55% | | | | -10.18% | | | | -1.32% | | | | -1.33% | | | | 1.37% | |
| | | Standard & Poor’s 500 Index | | | -1.42% | | | | 10.16% | | | | -7.16% | | | | 0.64% | | | | -0.43% | | | | 1.80% | |
For MWATX, the total expense ratio is 1.20% and the net expense ratio is 0.93%.
A Consistent Long-Term Value Orientation
While we are gratified with the recent results and the growth of investor sponsorship, we understand that markets remain cyclical and prone to considerable volatility. For our part, we will accept the periodic volatility as a given, seeking to minimize it where possible and to capitalize on the conditions when they occur. By committing to a disciplined value orientation, we believe that we can recognize the opportunities and implement the strategies for our Fund participants over the short and long term, while delivering the type of returns our investors should expect from their managers.
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,
Andrew Tarica
Chairman, Board of Trustees
Metropolitan West Funds
4 / Semi-Annual Report September 2010
U.S. Treasury bonds, unlike mutual funds, are insured direct obligations of the U.S. 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 High Yield 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. TheAlphaTrak 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 September 2010, 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 BNY Mellon Distributors Inc., 760 Moore Rd., King of Prussia, PA 19406. To be preceded or accompanied by a prospectus.
Semi-Annual Report September 2010 / 5
Metropolitan West Funds
Disclosure of Fund Expenses
For the Six Months Ended September 30, 2010 (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 (SEC) 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 04/01/10 | | Ending Account Value 09/30/10 | | Expense Ratio1 | | Expenses Paid During
Period2 |
ULTRA SHORT BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,051.70 | | 0.50% | | $2.57 |
Class I | | $1,000.00 | | $1,055.00 | | 0.34% | | $1.75 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,022.56 | | 0.50% | | $2.54 |
Class I | | $1,000.00 | | $1,023.36 | | 0.34% | | $1.72 |
LOW DURATION BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,056.80 | | 0.58% | | $2.99 |
Class I | | $1,000.00 | | $1,056.60 | | 0.39% | | $2.01 |
Administrative Class | | $1,000.00 | | $1,055.10 | | 0.78% | | $4.02 |
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 |
Administrative Class | | $1,000.00 | | $1,021.16 | | 0.78% | | $3.95 |
| 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. |
6 / Semi-Annual Report September 2010
| | | | | | | | |
| | | Beginning Account Value
04/01/10 | | Ending Account Value
09/30/10 | | Expense Ratio1 | | Expenses Paid During
Period2 |
INTERMEDIATE BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,076.60 | | 0.65% | | $ 3.38 |
Class I | | $1,000.00 | | $1,077.70 | | 0.44% | | $ 2.29 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.81 | | 0.65% | | $ 3.29 |
Class I | | $1,000.00 | | $1,022.86 | | 0.44% | | $ 2.23 |
TOTAL RETURN BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,074.50 | | 0.63% | | $ 3.28 |
Class I | | $1,000.00 | | $1,075.60 | | 0.42% | | $ 2.19 |
Administrative Class | | $1,000.00 | | $1,073.30 | | 0.83% | | $ 4.31 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.91 | | 0.63% | | $ 3.19 |
Class I | | $1,000.00 | | $1,022.96 | | 0.42% | | $ 2.13 |
Administrative Class | | $1,000.00 | | $1,020.91 | | 0.83% | | $ 4.20 |
HIGH YIELD BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,057.50 | | 0.80% | | $ 4.13 |
Class I | | $1,000.00 | | $1,058.80 | | 0.55% | | $ 2.84 |
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 | | $1,104.30 | | 2.20% | | $11.61 |
Class I | | $1,000.00 | | $1,105.80 | | 1.95% | | $10.29 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,014.04 | | 2.20% | | $11.11 |
Class I | | $1,000.00 | | $1,015.29 | | 1.95% | | $ 9.85 |
ALPHATRAK 500 FUND | | | | | | | | |
| | | | |
Actual Fund Return | | $1,000.00 | | $1,036.10 | | 0.90% | | $ 4.59 |
| | | | |
Hypothetical 5% Return | | $1,000.00 | | $1,020.56 | | 0.90% | | $ 4.56 |
| 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. |
Semi-Annual Report September 2010 / 7
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2010 (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 | |
| | | U.S. Agency Mortgage-Backed | | | 32.39% | | | U.S. Treasury | | | 3.03% | | | 0 to 1 years | | | 23.43% | |
| | | Non-Agency Mortgage-Backed | | | 19.35% | | | Agency | | | 39.60% | | | 1 year to 3 years | | | 36.43% | |
| | | Corporate Bonds | | | 18.48% | | | AAA | | | 20.12% | | | 3 years to 5 years | | | 17.36% | |
| | | Asset-Backed Securities | | | 18.27% | | | AA | | | 5.67% | | | 5 years to 10 years | | | 18.75% | |
| | | Money Market RIC | | | 9.38% | | | A | | | 8.84% | | | 10 years to 20 years | | | 4.03% | |
| | | Commercial Mortgage-Backed | | | 5.03% | | | BBB | | | 7.66% | | | 20 years + | | | 0.00% | |
| | | U.S. Treasury Securities | | | 3.03% | | | BB or below | | | 15.08% | | | | | | | |
| | | Municipal Bonds | | | 1.49% | | | | | | | | | | | | | |
| | | Bank Loans | | | 0.80% | | | | | | | | | | | | | |
| | Other * | | | (8.22)% | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | |
| | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
| | | Corporate Bonds | | | 28.17% | | | U.S. Treasury | | | 8.52% | | | 0 to 1 years | | | 16.13% | |
| | | Asset-Backed Securities | | | 15.75% | | | Agency | | | 30.92% | | | 1 year to 3 years | | | 39.39% | |
| | | U.S. Agency Mortgage-Backed | | | 14.63% | | | AAA | | | 14.17% | | | 3 years to 5 years | | | 18.91% | |
| | | Non-Agency Mortgage-Backed | | | 10.28% | | | AA | | | 8.00% | | | 5 years to 10 years | | | 20.99% | |
| | | Commercial Mortgage-Backed | | | 8.64% | | | A | | | 10.36% | | | 10 years to 20 years | | | 4.04% | |
| | | U.S. Treasury Securities | | | 8.47% | | | BBB | | | 13.19% | | | 20 years + | | | 0.54% | |
| | | U.S. Agency Securities | | | 8.37% | | | BB or below | | | 14.84% | | | | | | | |
| | | U.S. Agency Discount Notes | | | 4.75% | | | | | | | | | | | | | |
| | | Money Market RIC | | | 1.92% | | | | | | | | | | | | | |
| | | Municipal Bonds | | | 1.01% | | | | | | | | | | | | | |
| | | Bank Loans | | | 0.59% | | | | | | | | | | | | | |
| | | U.S. Treasury Bills | | | 0.05% | | | | | | | | | | | | | |
| | Other * | | | (2.63)% | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | |
8 / Semi-Annual Report September 2010
| | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | |
| | | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
| | | Corporate Bonds | | | 31.43% | | | U.S. Treasury | | | 25.92% | | | 0 to 1 years | | | 6.64% | |
| | | U.S. Treasury Securities | | | 25.79% | | | Agency | | | 24.12% | | | 1 year to 3 years | | | 13.18% | |
| | | U.S. Agency Mortgage-Backed | | | 19.38% | | | AAA | | | 7.69% | | | 3 years to 5 years | | | 36.72% | |
| | | Asset-Backed Securities | | | 14.28% | | | AA | | | 7.79% | | | 5 years to 10 years | | | 38.19% | |
| | | Commercial Mortgage-Backed | | | 6.74% | | | A | | | 12.79% | | | 10 years to 20 years | | | 3.79% | |
| | | Non-Agency Mortgage-Backed | | | 4.80% | | | BBB | | | 11.57% | | | 20 years + | | | 1.48% | |
| | | Money Market RIC | | | 3.09% | | | BB or below | | | 10.12% | | | | | | | |
| | | Municipal Bonds | | | 0.94% | | | | | | | | | | | | | |
| | | U.S. Agency Discount Notes | | | 0.57% | | | | | | | | | | | | | |
| | | U.S. Agency Securities | | | 0.56% | | | | | | | | | | | | | |
| | | Bank Loans | | | 0.20% | | | | | | | | | | | | | |
| | | U.S. Treasury Bills | | | 0.13% | | | | | | | | | | | | | |
| | Other * | | | (7.91)% | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | |
| | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | |
| | | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
| | | U.S. Treasury Securities | | | 28.41% | | | U.S. Treasury | | | 28.46% | | | 0 to 1 years | | | 2.28% | |
| | | U.S. Agency Mortgage-Backed | | | 28.06% | | | Agency | | | 30.33% | | | 1 year to 3 years | | | 9.45% | |
| | | Corporate Bonds | | | 24.53% | | | AAA | | | 3.03% | | | 3 years to 5 years | | | 30.75% | |
| | | Asset-Backed Securities | | | 11.97% | | | AA | | | 6.02% | | | 5 years to 10 years | | | 46.23% | |
| | | Commercial Mortgage-Backed | | | 7.51% | | | A | | | 8.44% | | | 10 years to 20 years | | | 7.58% | |
| | | Non-Agency Mortgage-Backed | | | 5.58% | | | BBB | | | 8.85% | | | 20 years + | | | 3.71% | |
| | | Money Market RIC | | | 5.25% | | | BB or below | | | 14.87% | | | | | | | |
| | | Bank Loans | | | 0.97% | | | | | | | | | | | | | |
| | | Municipal Bonds | | | 0.70% | | | | | | | | | | | | | |
| | | U.S. Treasury Bills | | | 0.05% | | | | | | | | | | | | | |
| | Other * | | | (13.03)% | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | |
| | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | |
| | | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
| | | Corporate Bonds | | | 74.79% | | | US Treasury | | | 5.49% | | | 0 to 1 years | | | 16.22% | |
| | | Bank Loans | | | 10.39% | | | Agency | | | 1.17% | | | 1 year to 3 years | | | 7.33% | |
| | | Money Market RIC | | | 7.03% | | | AAA | | | 7.44% | | | 3 years to 5 years | | | 20.41% | |
| | | U.S. Treasury Securities | | | 2.90% | | | AA | | | 0.04% | | | 5 years to 10 years | | | 45.65% | |
| | | U.S. Treasury Bills | | | 2.59% | | | A | | | 0.13% | | | 10 years to 20 years | | | 7.36% | |
| | | U.S. Agency Discount Notes | | | 1.16% | | | BBB | | | 5.38% | | | 20 years + | | | 3.03% | |
| | | Asset-Backed Securities | | | 0.77% | | | BB | | | 19.38% | | | | | | | |
| | | Municipal Bonds | | | 0.67% | | | B | | | 43.11% | | | | | | | |
| | | Preferred Stock | | | 0.41% | | | CCC | | | 17.12% | | | | | | | |
| | | Put Options Purchased | | | 0.04% | | | CC or below | | | 0.74% | | | | | | | |
| | Other * | | | (0.75)% | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | | | | 100.00% | |
Semi-Annual Report September 2010 / 9
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | | | |
| | | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity |
| | Corporate Bonds | | | 28.75% | | | U.S. Treasury | | | 2.36% | | | 0 to 1 years | | | 21.64% | | | |
| | Asset-Backed Securities | | | 28.01% | | | Agency | | | 28.55% | | | 1 year to 3 years | | | 16.74% | | | |
| | U.S. Agency Mortgage-Backed | | | 12.16% | | | AAA | | | 10.56% | | | 3 years to 5 years | | | 22.87% | | | |
| | Money Market RIC | | | 9.77% | | | AA | | | 3.92% | | | 5 years to 10 years | | | 23.91% | | | |
| | Bank Loans | | | 7.05% | | | A | | | 10.90% | | | 10 years to 20 years | | | 11.54% | | | |
| | U.S. Agency Discount Notes | | | 5.27% | | | BBB | | | 15.07% | | | 20 years + | | | 3.30% | | | |
| | Commercial Mortgage-Backed | | | 5.10% | | | BB or below | | | 28.64% | | | | | | | | | |
| | U.S. Agency Securities | | | 4.49% | | | | | | | | | | | | | | | |
| | Non-Agency Mortgage-Backed | | | 2.88% | | | | | | | | | | | | | | | |
| | U.S. Treasury Securities | | | 2.28% | | | | | | | | | | | | | | | |
| | Preferred Stock | | | 1.49% | | | | | | | | | | | | | | | |
| | Municipal Bonds | | | 0.30% | | | | | | | | | | | | | | | |
| | U.S. Treasury Bills | | | 0.08% | | | | | | | | | | | | | | | |
| | Other * | | | (7.63)% | | | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
ALPHATRAK 500 FUND |
| | | Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity |
| | Asset-Backed Securities | | | 26.30% | | | U.S. Treasury | | | 8.90% | | | 0 to 1 years | | | 29.40% | | | |
| | Corporate Bonds | | | 19.20% | | | Agency | | | 20.59% | | | 1 year to 3 years | | | 20.56% | | | |
| | Non-Agency Mortgage-Backed | | | 13.68% | | | AAA | | | 21.88% | | | 3 years to 5 years | | | 10.52% | | | |
| | U.S. Agency Securities | | | 6.95% | | | AA | | | 12.09% | | | 5 years to 10 years | | | 24.41% | | | |
| | U.S. Agency Mortgage-Backed | | | 6.69% | | | A | | | 9.67% | | | 10 years to 20 years | | | 13.99% | | | |
| | U.S. Treasury Bills | | | 6.46% | | | BBB | | | 13.22% | | | 20 years + | | | 1.12% | | | |
| | U.S. Agency Discount Notes | | | 5.99% | | | BB or below | | | 13.65% | | | | | | | | | |
| | Money Market RIC | | | 5.77% | | | | | | | | | | | | | | | |
| | Commercial Mortgage-Backed | | | 3.42% | | | | | | | | | | | | | | | |
| | U.S. Treasury Securities | | | 2.44% | | | | | | | | | | | | | | | |
| | Bank Loans | | | 1.56% | | | | | | | | | | | | | | | |
| | Municipal Bonds | | | 0.22% | | | | | | | | | | | | | | | |
| | Other * | | | 1.32% | | | | | | | | | | | | | | | |
| | Total | | | 100.00% | | | Total | | | 100.00% | | | Total | | | 100.00% | | | |
* Includes cash and equivalents, futures, swaps, written options, pending trades and Fund share transactions, interest and dividends receivable and accrued expenses payable.
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, 2010. 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.
10 / Semi-Annual Report September 2010
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 98.84% | |
| ASSET-BACKED SECURITIES — 18.27%** | |
| Aames Mortgage Trust 2002-1 A3 (STEP) | | | | | | | | | |
6.90% | | | 06/25/32 | | | $ | 34,578 | | | $ | 27,176 | |
| ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.72% | | | 07/15/33 | | | | 1,331 | | | | 1,330 | |
| ABFS Mortgage Loan Trust 2002-3 A (STEP) | | | | | | | | | |
4.76% | | | 09/15/33 | | | | 16,763 | | | | 15,690 | |
| ABFS Mortgage Loan Trust 2002-4 A (STEP) | | | | | | | | | |
4.93% | | | 12/15/33 | | | | 10,612 | | | | 10,636 | |
| Aerco Ltd. 2A A4 (United Kingdom) | | | | | | | | | |
0.78% | | | 07/15/25 | 2,3,4 | | | 199,600 | | | | 184,901 | |
| BMW Vehicle Lease Trust 2009-1 A3 | | | | | | | | | |
2.91% | | | 03/15/12 | | | | 702,504 | | | | 708,970 | |
| Capital Auto Receivables Asset Trust 2008-CPA A1 | | | | | | | | | |
1.11% | | | 01/15/13 | 3,4 | | | 598,909 | | | | 601,262 | |
| Chrysler Financial Lease Trust 2010-A A2 | | | | | | | | | |
1.78% | | | 06/15/11 | 4 | | | 750,000 | | | | 752,207 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 2,500,000 | | | | 1,362,849 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C | | | | | | | | | |
1.56% | | | 07/25/37 | 3 | | | 1,765,000 | | | | 707,723 | |
| Conseco Financial Corp. 1994-1 A5 | | | | | | | | | |
7.65% | | | 04/15/19 | | | | 6,147 | | | | 6,440 | |
| Conseco Financial Corp. 1996-8 A6 | | | | | | | | | |
7.60% | | | 10/15/27 | 3 | | | 15,291 | | | | 15,843 | |
| Countrywide Asset-Backed Certificates 2003-BC1 M1 | | | | | | | | | |
1.64% | | | 12/25/32 | 3 | | | 351,357 | | | | 148,824 | |
| Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP) | | | | | | | | | |
5.60% | | | 09/25/31 | | | | 97,144 | | | | 99,530 | |
| Credit-Based Asset Servicing and Securitization LLC 2007-CB4 A2A (STEP) | | | | | | | | | |
5.84% | | | 04/25/37 | | | | 317,474 | | | | 319,617 | |
| Deutsche Financial Capital Securitization LLC 1997-I A3 | | | | | |
6.75% | | | 09/15/27 | | | | 144,304 | | | | 148,176 | |
| First Alliance Mortgage Loan Trust 1994-3 A1 | | | | | | | | | |
7.83% | | | 10/25/25 | | | | 4,820 | | | | 4,642 | |
| Fremont Home Loan Trust 2005-C M1 | | | | | | | | | |
0.74% | | | 07/25/35 | 3 | | | 500,000 | | | | 460,661 | |
| GE Mortgage Services LLC 1998-HE1 A7 | | | | | | | | | |
6.47% | | | 06/25/28 | | | | 598 | | | | 592 | |
| GE SeaCo Finance SRL 2005-1A A (Barbados) | | | | | | | | | |
0.51% | | | 11/17/20 | 2,3,4 | | | 516,667 | | | | 476,024 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | $ | 67,341 | | | $ | 61,201 | |
| Green Tree Home Improvement Loan Trust 1995-F B2 | | | | | | | | | |
7.10% | | | 01/15/21 | | | | 21,879 | | | | 20,408 | |
| GSAA Trust 2005-7 AF3 | | | | | | | | | |
4.75% | | | 05/25/35 | 3 | | | 1,100,000 | | | | 1,014,749 | |
| HSBC Home Equity Loan Trust 2007-3 APT | | | | | | | | | |
1.46% | | | 11/20/36 | 3 | | | 603,484 | | | | 550,147 | |
| Huntington Auto Trust 2008-1A A3A | | | | | | | | | |
4.81% | | | 04/16/12 | 4 | | | 549,748 | | | | 555,482 | |
| IndyMac Manufactured Housing Contract 1998-2 A4 | | | | | | | | | |
6.64% | | | 12/25/27 | 3 | | | 184,346 | | | | 179,952 | |
| Irwin Home Equity Corp. 2003-A M2 | | | | | | | | | |
2.91% | | | 10/25/27 | 3 | | | 594,066 | | | | 544,727 | |
| Keystone Owner Trust 1998-P1 M2 | | | | | | | | | |
7.93% | | | 05/25/25 | 4 | | | 9,406 | | | | 9,406 | |
| Mid-State Trust 6 A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 44,969 | | | | 44,521 | |
| Morgan Stanley ABS Capital I 2004-NC2 M2 | | | | | | | | | |
2.06% | | | 12/25/33 | 3 | | | 774,579 | | | | 392,978 | |
| Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1 | | | | | | | | | |
0.31% | | | 11/25/36 | 3 | | | 33,747 | | | | 33,586 | |
| Oakwood Mortgage Investors, Inc. 1998-A A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 3,247 | | | | 3,290 | |
| Oakwood Mortgage Investors, Inc. 1998-B A3 | | | | | | | | | |
6.20% | | | 01/15/15 | | | | 5,570 | | | | 5,583 | |
| Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 278,844 | | | | 280,110 | |
| Residential Asset Mortgage Products, Inc. 2005-EFC2 M1 | | | | | | | | | |
0.70% | | | 07/25/35 | 3 | | | 494,924 | | | | 488,871 | |
| Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP) | | | | | | | | | |
8.60% | | | 09/25/29 | | | | 124,665 | | | | 95,274 | |
| Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 12,089 | | | | 11,363 | |
| Saxon Asset Securities Trust 2002-1 M2 | | | | | | | | | |
2.06% | | | 11/25/31 | 3 | | | 189,045 | | | | 68,860 | |
| Soundview Home Equity Loan Trust 2006-WF2 A2C | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 1,055,000 | | | | 901,381 | |
| Structured Asset Securities Corp. 2005-4XS 3A3 (STEP) | | | | | | | | | |
4.47% | | | 03/25/35 | | | | 547,271 | | | | 554,789 | |
| Structured Asset Securities Corp. 2007-EQ1 A4 | | | | | | | | | |
0.51% | | | 03/25/37 | 3 | | | 3,000,000 | | | | 1,161,690 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 11
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Terwin Mortgage Trust 2004-13AL 2PX (IO) | | | | | | | | | |
0.34% | | | 08/25/34 | 4,5 | | $ | 8,044,975 | | | $ | 53,640 | |
| Triton Container Finance LLC 2006-1A | | | | | | | | | |
0.43% | | | 11/26/21 | 3,4 | | | 246,667 | | | | 222,155 | |
| Triton Container Finance LLC 2007-1A | | | | | | | | | |
0.40% | | | 02/26/19 | 3,4 | | | 165,625 | | | | 153,155 | |
| UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 3 | | | 1,243 | | | | 552 | |
| Wells Fargo Home Equity Trust 2005-3 AII3 | | | | | | | | | |
0.60% | | | 11/25/35 | 3 | | | 576,562 | | | | 564,082 | |
| Wells Fargo Home Equity Trust 2006-1 A3 | | | | | | | | | |
0.41% | | | 05/25/36 | 3 | | | 213,480 | | | | 207,393 | |
| | | | | | | | | | | | |
| |
| Total Asset-Backed Securities | | | | | |
| (Cost $17,229,373) | | | | | | | | 14,232,438 | |
| | | | | | | | | | | | |
CORPORATES — 18.48%* | | | | | |
Banking — 1.46% | | | | | | | | | |
| Bank of America N.A. | | | | | | | | | |
0.59% | | | 06/15/17 | 3 | | | 750,000 | | | | 628,371 | |
| Royal Bank of Scotland Plc (The) 1 (United Kingdom) | | | | | | | | | |
2.76% | | | 08/23/13 | 2,3 | | | 500,000 | | | | 510,523 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,138,894 | |
| | | | | | | | | | | | |
| |
Communications — 0.68% | | | | | |
| Qwest Corp. | | | | | | | | | |
7.88% | | | 09/01/11 | | | | 500,000 | | | | 530,625 | |
| | | | | | | | | | | | |
Electric — 1.08% | | | | | | | | | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 730,000 | | | | 840,396 | |
| | | | | | | | | | | | |
Finance — 12.59% | | | | | | | | | |
| Citigroup Funding, Inc. (MTN) | | | | | | | | | |
0.59% | | | 03/30/12 | 3 | | | 815,000 | | | | 819,908 | |
| Citigroup Funding, Inc. 2 | | | | | |
0.81% | | | 04/30/12 | 3 | | | 900,000 | | | | 905,622 | |
| Citigroup, Inc. | | | | | | | | | |
5.30% | | | 10/17/12 | | | | 1,075,000 | | | | 1,146,183 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.43% | | | 06/20/14 | 3 | | | 250,000 | | | | 239,401 | |
| General Electric Capital Corp. A (MTN) | | | | | | | | | |
0.55% | | | 09/15/14 | 3 | | | 300,000 | | | | 288,243 | |
| General Electric Capital Corp. G (MTN) | | | | | | | | | |
0.47% | | | 06/01/12 | 3 | | | 1,030,000 | | | | 1,033,494 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
1.06% | | | 12/05/11 | 3 | | | 690,000 | | | | 696,672 | |
5.45% | | | 11/01/12 | | | | 500,000 | | | | 537,072 | |
| Goldman Sachs Group, Inc. B (The) (MTN) | | | | | | | | | |
0.91% | | | 07/22/15 | 3 | | | 200,000 | | | | 188,196 | |
| Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | | 11/30/10 | 3,6,7 | | | 883,000 | | | | 181,015 | |
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
| Morgan Stanley | | | | | | | | | |
0.64% | | | 06/20/12 | 3 | | $ | 620,000 | | | $ | 623,869 | |
0.69% | | | 02/10/12 | 3 | | | 990,000 | | | | 994,687 | |
0.77% | | | 01/18/11 | 3 | | | 395,000 | | | | 395,025 | |
5.05% | | | 01/21/11 | | | | 395,000 | | | | 400,242 | |
6.75% | | | 04/15/11 | | | | 155,000 | | | | 159,668 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.97% | | | 10/18/16 | 3 | | | 260,000 | | | | 228,481 | |
| Morgan Stanley 1 | | | | | | | | | |
1.15% | | | 12/01/11 | 3 | | | 535,000 | | | | 540,653 | |
| UBS AG BKNT (Switzerland) | | | | | |
2.25% | | | 08/12/13 | 2 | | | 425,000 | | | | 429,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,808,030 | |
| | | | | | | | | | | | |
| |
Health Care — 0.66% | | | | | |
| Boston Scientific Corp. | | | | | |
6.00% | | | 06/15/11 | | | | 500,000 | | | | 514,170 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.63% | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
8.13% | | | 05/01/11 | | | | 475,000 | | | | 493,261 | |
| | | | | | | | | | | | |
Transportation — 1.38% | |
| Delta Air Lines, Inc. 2001 A2 | | | | | | | | | |
7.11% | | | 09/18/11 | 8 | | | 600,000 | | | | 633,000 | |
| JetBlue Airways Pass-Through Trust 2004-2 G1 | | | | | | | | | |
0.75% | | | 08/15/16 | 3 | | | 490,468 | | | | 443,261 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,076,261 | |
| | | | | | | | | | | | |
Total Corporates | | | | | | | | | |
| (Cost $14,545,969) | | | | | | | | 14,401,637 | |
| | | | | | | | | | | | |
BANK LOANS — 0.80%* | | | | | |
Health Care — 0.80% | | | | | |
| HCA Term Loan A | | | | | | | | | |
| 1.79% | | | 11/17/12 | 9 | | | 640,641 | | | | 619,627 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | |
| (Cost $592,989) | | | | | |
MORTGAGE-BACKED — 56.77%** | |
Commercial Mortgage-Backed — 5.03% | |
| Banc of America Commercial Mortgage, Inc. 2001-1 A2 | | | | | | | | | |
6.50% | | | 04/15/36 | | | | 137,266 | | | | 138,916 | |
| Bayview Commercial Asset Trust 2007-3 A1 | | | | | | | | | |
0.50% | | | 07/25/37 | 3,4 | | | 1,343,697 | | | | 1,016,097 | |
| Credit Suisse First Boston Mortgage Securities Corp. 2001-CK6 A3 | | | | | | | | | |
6.39% | | | 08/15/36 | | | | 282,881 | | | | 294,628 | |
| First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | | 03/15/33 | | | | 144,367 | | | | 144,662 | |
See accompanying notes to Schedule of Portfolio Investments.
12 / Semi-Annual Report September 2010
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| GE Capital Commercial Mortgage Corp. 2001-2 A4 | | | | | | | | | |
6.29% | | | 08/11/33 | | | $ | 471,733 | | | $ | 484,339 | |
| GE Capital Commercial Mortgage Corp. 2005-C4 A3A | | | | | | | | | |
5.52% | | | 11/10/45 | 3 | | | 110,000 | | | | 115,964 | |
| GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2 | | | | | | | | | |
6.96% | | | 09/15/35 | | | | 14,205 | | | | 14,193 | |
| Greenwich Capital Commercial Funding Corp. 2002-C1 A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 410,000 | | | | 433,571 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | | 385,000 | | | | 400,535 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4 | | | | | | | | | |
5.75% | | | 06/12/50 | 3 | | | 280,000 | | | | 286,125 | |
| Prudential Mortgage Capital Funding LLC 2001-ROCK A2 | | | | | | | | | |
6.61% | | | 05/10/34 | | | | 576,549 | | | | 584,982 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,914,012 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 19.35% | |
| Adjustable Rate Mortgage Trust 2005-1 1A1 | | | | | | | | | |
3.46% | | | 05/25/35 | 3 | | | 1,234,175 | | | | 1,026,757 | |
| American Home Mortgage Investment Trust 2004-3 3A | | | | | | | | | |
2.55% | | | 10/25/34 | 3 | | | 951,249 | | | | 758,222 | |
| Banc of America Funding Corp. 2003-2 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 25,196 | | | | 26,284 | |
| Banc of America Funding Corp. 2007-8 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | | 726,204 | | | | 547,436 | |
| Banc of America Mortgage Securities, Inc. 2003-A 2A2 | | | | | | | | | |
3.61% | | | 02/25/33 | 3 | | | 5,648 | | | | 5,066 | |
| Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.14% | | | 02/25/34 | 3 | | | 250,270 | | | | 248,480 | |
| Countrywide Alternative Loan Trust 2004-J6 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 384,171 | | | | 399,772 | |
| Countrywide Alternative Loan Trust 2005-16 A5 | | | | | | | | | |
0.54% | | | 06/25/35 | 3 | | | 791,914 | | | | 280,004 | |
| Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
1.74% | | | 08/25/35 | 3 | | | 1,633,204 | | | | 904,958 | |
| Countrywide Alternative Loan Trust 2005-61 2A1 | | | | | | | | | |
0.54% | | | 12/25/35 | 3 | | | 1,160,562 | | | | 812,881 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Credit Suisse First Boston Mortgage Securities Corp. 2002-AR31 4A2 | | | | | | | | | |
3.40% | | | 11/25/32 | 3 | | $ | 200,000 | | | $ | 134,707 | |
| Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A | | | | | | | | | |
0.63% | | | 07/19/44 | 3 | | | 601,369 | | | | 460,148 | |
| First Horizon Asset Securities, Inc. 2002-AR2 2A1 | | | | | | | | | |
3.10% | | | 12/27/32 | 3 | | | 20,489 | | | | 20,669 | |
| First Horizon Asset Securities, Inc. 2003-AR2 1A1 | | | | | | | | | |
3.00% | | | 07/25/33 | 3 | | | 97,776 | | | | 96,401 | |
| GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP) | | | | | | | | | |
5.60% | | | 07/25/34 | | | | 59,325 | | | | 58,855 | |
| IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
0.65% | | | 12/25/34 | 3 | | | 963,628 | | | | 588,409 | |
| IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A | | | | | | | | | |
0.48% | | | 04/25/46 | 3 | | | 1,488,239 | | | | 785,046 | |
| JPMorgan Mortgage Trust 2005-A2 9A1 | | | | | | | | | |
3.68% | | | 04/25/35 | 3 | | | 602,311 | | | | 489,269 | |
| MASTR Adjustable Rate Mortgages Trust 2004-1 2A1 | | | | | | | | | |
4.48% | | | 01/25/34 | 3 | | | 67,294 | | | | 62,858 | |
| MASTR Adjustable Rate Mortgages Trust 2004-12 5A1 | | | | | | | | | |
3.65% | | | 10/25/34 | 3 | | | 992,995 | | | | 849,170 | |
| MASTR Adjustable Rate Mortgages Trust 2004-5 3A1 | | | | | | | | | |
2.77% | | | 06/25/34 | 3 | | | 51,279 | | | | 43,257 | |
| MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
3.15% | | | 10/25/32 | 3 | | | 162,446 | | | | 139,774 | |
| MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 561,828 | | | | 586,830 | |
| Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A | | | | | | | | | |
2.65% | | | 12/25/32 | 3 | | | 466,248 | | | | 443,649 | |
| Residential Asset Mortgage Products, Inc. 2003-SL1 A11 | | | | | | | | | |
7.13% | | | 03/25/16 | | | | 131,863 | | | | 133,061 | |
| Residential Asset Mortgage Products, Inc. 2004-SL1 A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 133,487 | | | | 136,200 | |
| Residential Asset Mortgage Products, Inc. 2004-SL1 A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 270,828 | | | | 270,638 | |
| Residential Asset Securitization Trust 2004-IP2 2A1 | | | | | | | | | |
2.82% | | | 12/25/34 | 3 | | | 556,178 | | | | 532,602 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 13
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A | | | | | | | | | |
0.46% | | | 10/25/36 | 3 | | $ | 1,910,842 | | | $ | 1,139,252 | |
| Structured Asset Mortgage Investments, Inc. | | | | | | | | | |
| 2007-AR3 2A1 | | | | | | | | | |
0.45% | | | 09/25/47 | 3 | | | 2,397,876 | | | | 1,434,632 | |
| Structured Asset Securities Corp. 2001-15A 4A1 | | | | | | | | | |
| | | | | | | | |
6.00% | | | 10/25/31 | 3 | | | 42,615 | | | | 40,639 | |
| Structured Asset Securities Corp. 2004-S4 M4 | | | | | | | | | |
| | | | | | | | |
2.06% | | | 12/25/34 | 3 | | | 504,352 | | | | 479,494 | |
| Washington Mutual Alternative Mortgage | | | | | | | | | |
| Pass-Through Certificates 2005-4 CB13 | | | | | | | | | |
0.76% | | | 06/25/35 | 3 | | | 680,946 | | | | 467,946 | |
| Washington Mutual Mortgage Pass-Through | | | | | | | | | |
| Certificates 2002-AR6 A | | | | | | | | | |
1.77% | | | 06/25/42 | 3 | | | 119,439 | | | | 97,704 | |
| Washington Mutual Mortgage Pass-Through | | | | | | | | | |
| Certificates 2003-AR6 A1 | | | | | | | | | |
2.70% | | | 06/25/33 | 3 | | | 516,659 | | | | 513,250 | |
| Washington Mutual MSC Mortgage | | | | | | | | | |
Pass-Through Certificates 2003- MS9 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 62,311 | | | | 63,587 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,077,907 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 32.39% | |
| Fannie Mae 1988-12 A | | | | | | | | | |
4.44% | | | 02/25/18 | 3 | | | 100,803 | | | | 104,888 | |
| Fannie Mae 1993-80 S | | | | | | | | | |
10.53% | | | 05/25/23 | 3 | | | 8,204 | | | | 10,076 | |
| Fannie Mae 1997-23 PB | | | | | | | | | |
6.63% | | | 01/25/22 | | | | 6,271 | | | | 7,072 | |
| Fannie Mae 2000-27 AN | | | | | | | | | |
6.00% | | | 08/25/30 | | | | 10,846 | | | | 11,843 | |
| Fannie Mae 2001-42 SB | | | | | | | | | |
8.50% | | | 09/25/31 | 3 | | | 5,411 | | | | 6,119 | |
| Fannie Mae 2002-82 FP | | | | | | | | | |
0.76% | | | 02/25/32 | 3 | | | 947,957 | | | | 951,230 | |
| Fannie Mae 2003-124 IO (IO) | |
5.25% | | | 03/25/31 | | | | 53,662 | | | | 2,270 | |
| Fannie Mae 2003-124 TS | |
9.80% | | | 01/25/34 | 3 | | | 101,694 | | | | 117,923 | |
| Fannie Mae 2003-30 ET | | | | | | | | | |
3.50% | | | 08/25/16 | | | | 321,229 | | | | 324,221 | |
| Fannie Mae 2003-37 IG (IO) | |
5.50% | | | 05/25/32 | | | | 129,979 | | | | 10,912 | |
| Fannie Mae 2004-60 FW | | | | | | | | | |
0.71% | | | 04/25/34 | 3 | | | 998,679 | | | | 1,002,796 | |
| Fannie Mae 2004-96 MT | | | | | | | | | |
7.00% | | | 12/25/34 | 3 | | | 120,475 | | | | 121,018 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae 2005-39 BN | | | | | | | | | |
4.55% | | | 06/25/28 | | | $ | 468,348 | | | $ | 479,260 | |
| Fannie Mae 2005-47 SL | | | | | | | | | |
7.50% | | | 06/25/35 | 3 | | | 34,513 | | | | 34,663 | |
| Fannie Mae 2007-65 PA | | | | | | | | | |
6.00% | | | 03/25/31 | | | | 527,219 | | | | 539,862 | |
| Fannie Mae 2007-68 SC (IO) | |
6.44% | | | 07/25/37 | 3 | | | 1,913,513 | | | | 276,095 | |
| Fannie Mae 2008-47 PF | | | | | | | | | |
0.76% | | | 06/25/38 | 3 | | | 1,066,382 | | | | 1,074,808 | |
| Fannie Mae 2010-26 S (IO) | |
5.97% | | | 11/25/36 | 3 | | | 4,356,177 | | | | 562,654 | |
| Fannie Mae Pool 111643 | | | | | | | | | |
3.08% | | | 09/01/20 | 3 | | | 25,636 | | | | 26,698 | |
| Fannie Mae Pool 190656 | | | | | | | | | |
6.50% | | | 02/01/14 | | | | 122,384 | | | | 132,479 | |
| Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | | 11/01/19 | | | | 185,360 | | | | 214,992 | |
| Fannie Mae Pool 555098 | | | | | | | | | |
3.27% | | | 11/01/32 | 3 | | | 105,438 | | | | 110,567 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.54% | | | 01/01/33 | 3 | | | 108,553 | | | | 112,933 | |
| Fannie Mae Pool 555424 | | | | | | | | | |
5.50% | | | 05/01/33 | | | | 1,118,890 | | | | 1,200,884 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 117,781 | | | | 134,777 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 3 | | | 7,268 | | | | 7,428 | |
| Fannie Mae Pool 647903 | | | | | | | | | |
1.74% | | | 04/01/27 | 3 | | | 60,986 | | | | 63,117 | |
| Fannie Mae Pool 648860 | | | | | | | | | |
6.50% | | | 05/01/17 | | | | 573,755 | | | | 621,282 | |
| Fannie Mae Pool 655127 | | | | | | | | | |
7.00% | | | 07/01/32 | | | | 37,733 | | | | 42,035 | |
| Fannie Mae Pool 655133 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 43,113 | | | | 48,047 | |
| Fannie Mae Pool 655151 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 44,948 | | | | 50,093 | |
| Fannie Mae Pool 754001 | | | | | | | | | |
3.61% | | | 12/01/33 | 3 | | | 416,650 | | | | 433,261 | |
| Fannie Mae Pool 762525 | | | | | | | | | |
6.50% | | | 11/01/33 | | | | 150,096 | | | | 164,019 | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.44% | | | 04/01/34 | 3 | | | 437,786 | | | | 451,487 | |
| Fannie Mae Pool 805268 | | | | | | | | | |
1.94% | | | 01/01/35 | 3 | | | 268,192 | | | | 276,352 | |
| Fannie Mae Pool 893489 | | | | | | | | | |
6.24% | | | 09/01/36 | 3 | | | 381,796 | | | | 406,968 | |
See accompanying notes to Schedule of Portfolio Investments.
14 / Semi-Annual Report September 2010
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool AD0538 | | | | | |
6.00% | | | 05/01/24 | | | $ | 885,975 | | | $ | 957,199 | |
| Fannie Mae Pool AD0546 | | | | | |
5.88% | | | 11/01/37 | 3 | | | 385,717 | | | | 410,999 | |
| Freddie Mac 1214 KA | | | | | |
1.14% | | | 02/15/22 | 3 | | | 17,114 | | | | 17,120 | |
| Freddie Mac 1526 L | | | | | |
6.50% | | | 06/15/23 | | | | 25,308 | | | | 26,839 | |
| Freddie Mac 2043 CJ | | | | | |
6.50% | | | 04/15/28 | | | | 51,599 | | | | 57,844 | |
| Freddie Mac 2368 AF | | | | | |
1.21% | | | 10/15/31 | 3 | | | 997,672 | | | | 1,011,585 | |
| Freddie Mac 2527 TI (IO) | | | | | |
6.00% | | | 02/15/32 | | | | 157,773 | | | | 6,432 | |
| Freddie Mac 2561 BX (IO) | | | | | |
5.00% | | | 05/15/17 | | | | 191,858 | | | | 5,512 | |
| Freddie Mac 2642 BW (IO) | | | | | |
5.00% | | | 06/15/23 | | | | 44,797 | | | | 5,678 | |
| Freddie Mac 2657 LX (IO) | | | | | |
6.00% | | | 05/15/18 | | | | 181,890 | | | | 16,315 | |
| Freddie Mac 2817 FA | | | | | |
0.76% | | | 06/15/32 | 3 | | | 1,408,598 | | | | 1,410,659 | |
| Freddie Mac 2877 MV | | | | | |
4.75% | | | 12/15/28 | | | | 388,374 | | | | 396,872 | |
| Freddie Mac 2906 NX (IO) | | | | | |
5.24% | | | 12/15/34 | 3 | | | 2,567,466 | | | | 80,554 | |
| Freddie Mac 2945 LD | | | | | |
4.00% | | | 02/15/35 | | | | 1,044,200 | | | | 1,085,539 | |
| Freddie Mac 2971 AB | | | | | |
5.00% | | | 05/15/20 | | | | 21,211 | | | | 22,608 | |
| Freddie Mac 3202 HS (IO) | | | | | |
6.39% | | | 08/15/36 | 3 | | | 550,838 | | | | 4,216 | |
| Freddie Mac 3330 PA | | | | | |
5.50% | | | 02/15/26 | | | | 328,016 | | | | 328,315 | |
| Freddie Mac 3346 FA | | | | | |
0.49% | | | 02/15/19 | 3 | | | 1,160,458 | | | | 1,160,056 | |
| Freddie Mac 3626 MA | | | | | |
5.00% | | | 02/15/30 | | | | 997,442 | | | | 1,059,169 | |
| Freddie Mac Gold C90237 | | | | | |
6.50% | | | 11/01/18 | | | | 123,886 | | | | 135,977 | |
| Freddie Mac Gold C90474 | | | | | |
7.00% | | | 08/01/21 | | | | 174,208 | | | | 196,578 | |
| Freddie Mac Gold D93410 | | | | | |
6.50% | | | 04/01/19 | | | | 88,848 | | | | 97,520 | |
| Freddie Mac Gold G13107 | | | | | |
5.50% | | | 07/01/20 | | | | 1,114,484 | | | | 1,207,335 | |
| Freddie Mac Gold O30092 | | | | | |
5.50% | | | 10/01/15 | | | | 23,177 | | | | 24,503 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold P20295 | | | | | | | | | |
7.00% | | | 10/01/29 | | | $ | 61,671 | | | $ | 66,650 | |
| Freddie Mac Non Gold Pool 1G2627 | | | | | | | | | |
6.05% | | | 03/01/37 | 3 | | | 483,718 | | | | 511,022 | |
| Freddie Mac Non Gold Pool 1J1393 | | | | | | | | | |
6.23% | | | 10/01/36 | 3 | | | 568,597 | | | | 601,865 | |
| Freddie Mac Non Gold Pool 1J1509 | | | | | | | | | |
6.32% | | | 11/01/36 | 3 | | | 619,141 | | | | 659,335 | |
| Freddie Mac Non Gold Pool 1J1534 | | | | | | | | | |
5.71% | | | 03/01/37 | 3 | | | 831,114 | | | | 882,983 | |
| Freddie Mac Non Gold Pool 1N1446 | | | | | | | | | |
4.66% | | | 01/01/37 | 3 | | | 538,388 | | | | 563,139 | |
| Freddie Mac Non Gold Pool 775554 | | | | | | | | | |
3.52% | | | 10/01/18 | 3 | | | 5,766 | | | | 5,785 | |
| Freddie Mac Non Gold Pool 782824 | | | | | | | | | |
2.72% | | | 11/01/34 | 3 | | | 648,856 | | | | 671,891 | |
| Freddie Mac Non Gold Pool 865369 | | | | | | | | | |
4.86% | | | 06/01/22 | 3 | | | 4,526 | | | | 4,765 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | |
5.50% | | | 02/20/32 | | | | 124,383 | | | | 6,972 | |
| Ginnie Mae 2004-2 FW | | | | | |
1.66% | | | 01/16/34 | 3 | | | 332,919 | | | | 354,037 | |
| Ginnie Mae 2004-41 IE (IO) | | | | | |
5.50% | | | 05/20/30 | | | | 623,264 | | | | 9,043 | |
| Ginnie Mae II Pool 80546 | | | | | |
3.00% | | | 10/20/31 | 3 | | | 38,751 | | | | 39,942 | |
| Ginnie Mae II Pool 80610 | | | | | |
3.38% | | | 06/20/32 | 3 | | | 467,767 | | | | 482,703 | |
| Ginnie Mae II Pool 80614 | | | | | |
3.63% | | | 07/20/32 | 3 | | | 61,015 | | | | 63,111 | |
| Ginnie Mae II Pool 80687 | | | | | |
3.50% | | | 04/20/33 | 3 | | | 263,943 | | | | 272,536 | |
| Ginnie Mae II Pool 8339 | | | | | |
3.13% | | | 12/20/23 | 3 | | | 71,279 | | | | 73,556 | |
| Ginnie Mae II Pool 8684 | | | | | |
3.63% | | | 08/20/25 | 3 | | | 104,076 | | | | 107,651 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,237,539 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | | | | | |
(Cost $47,455,132) | | | | | | | | 44,229,458 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.49%* | |
Illinois — 0.33% | | | | | | | | | |
| State of Illinois, Pension Funding G.O., | | | | | |
Taxable | | | | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 250,000 | | | | 259,215 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 15
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
Kentucky — 1.16% | | | | | | | | | | | | |
| Kentucky Asset Liability Commission General Fund Revenue Bonds | | | | | |
0.84% | | | 04/01/11 | | | $ | 900,000 | | | $ | 900,225 | |
| | | | | | | | | | | | |
| Total Municipal Bonds | | | | | | | | | | | | |
| (Cost $1,148,433) | | | | | | | | | | | 1,159,440 | |
| | | | | | | | | | | | |
| U.S. TREASURY SECURITIES — 3.03% | |
U.S. Treasury Notes — 3.03% | | | | | | | | | |
U.S. Treasury Notes | | | | | | | | | |
0.88% | | | 04/30/11 | | | | 1,175,000 | | | | 1,179,521 | |
1.00% | | | 08/31/11 | | | | 1,175,000 | | | | 1,182,987 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | | | | | | | | | |
| (Cost $2,362,145) | | | | | | | | | | | 2,362,508 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 98.84% | | | | | | | | | |
| (Cost $83,334,041) | | | | | | | | | | | 77,005,108 | |
| | | | | | | | | | | | |
| | | | | | | | |
| Issues | | Shares/
Principal
Amount | | | Value | |
| SHORT-TERM INVESTMENTS — 9.38% | |
| Money Market Fund — 9.38% | | | | | | | | |
| BlackRock Liquidity Funds TempFund | | | | | | | | |
Portfolio | | | | | | | | |
0.23%10 | | | 1,941,000 | | | | 1,941,000 | |
Dreyfus Cash Advantage Fund | | | | | | | | |
0.25%10 | | | 3,746,000 | | | | 3,746,000 | |
DWS Money Market Series-Institutional | | | | | | | | |
0.21%10 | | | 390,000 | | | | 390,000 | |
Goldman Sachs Financial Square Funds - | | | | | | | | |
Prime Obligations Fund | | | | | | | | |
0.16%10,11 | | | 1,235,000 | | | | 1,235,000 | |
| | | | | | | | |
| Total Short-Term Investments | | | | | | | | |
| (Cost $7,312,000) | | | | | | | 7,312,000 | |
| | | | | | | | |
| | |
| Total Investments – 108.22% | | | | | | | | |
| (Cost $90,646,041)1 | | | | | | | 84,317,108 | |
| | | | | | | | |
| | |
| Liabilities in Excess of Other | | | | | | | | |
| Assets – (8.22)% | | | | | | | (6,404,279 | ) |
| | | | | | | | |
| | |
| Net Assets – 100.00% | | | | | | $ | 77,912,829 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | |
| Expiration Date | | Credit
Ratinga | | Premiums Paid/
(Received) | | Notional
Amount
(000’s) b | | | Appr- eciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
| The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
12/20/10 | | AAA | | $– | | | $ 640 | | | | $ 9,277 | | | | $ 9,277 | |
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc. | |
03/20/11 | | AAA | | – | | | 500 | | | | 7,912 | | | | 7,912 | |
| | | | | | | | | | | | | | | | |
| | | | $– | | | $1,140 | | | | $17,189 | | | $ | 17,189 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appre- ciation | | | Valuec | |
| SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES | |
| 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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | 01/25/38 | | | $ | (1,427,829 | ) | | | $2,370 | | | | $203,008 | | | $ | (1,224,821 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | (1,427,829 | ) | | | $2,370 | | | | $203,008 | | | $ | (1,224,821 | ) |
| | | | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $90,670,781 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 5,097,685 | |
Gross unrealized depreciation | | | (11,451,358 | ) |
| | | | |
Net unrealized depreciation | | $ | (6,353,673 | ) |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $4,024,329 , representing 5.17% of total net assets. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $53,640, which is 0.07% of total net assets. |
| 6 | Security is currently in default with regard to scheduled interest or principal payments. |
| 7 | Non-income producing security. |
See accompanying notes to Schedule of Portfolio Investments.
16 / Semi-Annual Report September 2010
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| 9 | 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
Total
Net Assets |
02/04/09 | | HCA Term Loan A, 1.79%, | | | | | | |
| | 11/17/12 | | $592,989 | | $619,627 | | 0.80% |
| 10 | Represents the current yield as of September 30, 2010. |
| 11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,235,000. |
| * | 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. |
(G.O.): General Obligation
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 17
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 95.91% | |
ASSET-BACKED SECURITIES — 15.75%** | |
| ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.72% | | | 07/15/33 | | | $ | 27,029 | | | $ | 27,007 | |
| Aerco Ltd. 2A A4 (United Kingdom) | | | | | | | | | |
0.78% | | | 07/15/25 | 2,3,4 | | | 5,598,780 | | | | 5,186,480 | |
| Aircastle Aircraft Lease Backed Trust 2007-1A G1 | | | | | | | | | |
0.52% | | | 06/14/37 | 3,4,† | | | 5,411,115 | | | | 4,572,430 | |
| Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP) | | | | | | | | | |
7.57% | | | 10/25/27 | | | | 39,650 | | | | 42,659 | |
| Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda) | | | | | | | | | |
0.65% | | | 11/14/33 | 2,3,4,† | | | 7,288,126 | | | | 6,040,086 | |
| Bayview Financial Acquisition Trust 2005-A A1 | | | | | | | | | |
1.26% | | | 02/28/40 | 3,4 | | | 5,610,969 | | | | 3,054,195 | |
| Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | | | | | | | | | |
1.26% | | | 12/28/40 | 3,4 | | | 8,422,813 | | | | 4,614,916 | |
| Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP) | | | | | | | | | |
8.28% | | | 08/25/30 | | | | 2,865,697 | | | | 2,794,175 | |
| Carrington Mortgage Loan Trust 2004-NC2 M1 | | | | | | | | | |
0.95% | | | 08/25/34 | 3 | | | 218,633 | | | | 148,291 | |
| Carrington Mortgage Loan Trust 2007-FRE1 A3 | | | | | | | | | |
0.52% | | | 02/25/37 | 3 | | | 14,875,000 | | | | 6,266,421 | |
| Castle Trust 2003-1AW A1 | | | | | | | | | |
1.01% | | | 05/15/27 | 3,4,† | | | 3,125,441 | | | | 2,437,866 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6 | | | | | | | | | |
6.24% | | | 01/25/13 | 3 | | | 3,480,700 | | | | 3,442,146 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1 | | | | | | | | | |
1.16% | | | 02/25/32 | 3 | | | 748,923 | | | | 249,398 | |
| Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B | | | | | | | | | |
0.16% | | | 09/25/36 | 3 | | | 7,205,251 | | | | 3,316,458 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2 | | | | | | | | | |
0.36% | | | 01/25/37 | 3 | | | 187,770 | | | | 182,493 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 150,000 | | | | 81,771 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C | | | | | | | | | |
1.56% | | | 07/25/37 | 3 | | | 90,000 | | | | 36,088 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1 | | | | | | | | | |
1.91% | | | 07/25/37 | 3 | | | 8,520,000 | | | | 2,423,079 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Conseco Finance 2001-D A5 | | | | | | | | | |
6.19% | | | 11/15/32 | 3 | | $ | 382,372 | | | $ | 392,896 | |
| Conseco Financial Corp. 1994-1 A5 | | | | | | | | | |
7.65% | | | 04/15/19 | | | | 362,681 | | | | 379,989 | |
| Conseco Financial Corp. 1998-2 A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 3 | | | 33,701 | | | | 34,106 | |
| Countrywide Asset-Backed Certificates 2007-11 2A1 | | | | | | | | | |
0.32% | | | 06/25/47 | 3 | | | 368,637 | | | | 355,598 | |
| Countrywide Asset-Backed Certificates 2007-4 A1A | | | | | | | | | |
0.38% | | | 09/25/37 | 3 | | | 4,448,433 | | | | 4,140,241 | |
| Countrywide Asset-Backed Certificates 2007-7 2A1 | | | | | | | | | |
0.34% | | | 10/25/47 | 3 | | | 314,215 | | | | 300,262 | |
| Credit-Based Asset Servicing and Securitization LLC 2005-CB7 AF3 (STEP) | | | | | | | | | |
5.55% | | | 11/25/35 | | | | 1,976,928 | | | | 1,963,195 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP) | | | | | | | | | |
5.24% | | | 01/25/36 | | | | 2,882,151 | | | | 1,948,909 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4 | | | | | | | | | |
0.49% | | | 11/25/36 | 3 | | | 6,000,000 | | | | 2,413,650 | |
| Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP) | | | | | | | | | |
4.95% | | | 02/25/37 | | | | 20,580,000 | | | | 13,581,433 | |
| Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1 | | | | | | | | | |
0.32% | | | 04/25/37 | 3 | | | 2,685,386 | | | | 1,912,873 | |
| Discover Card Master Trust 2009-A2 A | | | | | | | | | |
1.56% | | | 02/17/15 | 3 | | | 2,400,000 | | | | 2,440,537 | |
| First Alliance Mortgage Loan Trust 1994-3 A1 | | | | | | | | | |
7.83% | | | 10/25/25 | | | | 1,446 | | | | 1,393 | |
| First Union Home Equity Loan Trust 1997-3 B | | | | | | | | | |
7.39% | | | 03/25/29 | | | | 41,326 | | | | 6,202 | |
| GE Corporate Aircraft Financing LLC 2005-1A C | | | | | | | | | |
1.56% | | | 08/26/19 | 3,4,† | | | 5,000,000 | | | | 4,262,535 | |
| GE SeaCo Finance SRL 2004-1A A (Barbados) | | | | | | | | | |
0.56% | | | 04/17/19 | 2,3,4 | | | 2,382,917 | | | | 2,276,962 | |
| GE SeaCo Finance SRL 2005-1A A (Barbados) | | | | | | | | | |
0.51% | | | 11/17/20 | 2,3,4 | | | 6,551,333 | | | | 6,035,978 | |
| Genesis Funding Ltd. 2006-1A G1 (Bermuda) | | | | | | | | | |
0.50% | | | 12/19/32 | 2,3,4,† | | | 8,391,263 | | | | 7,069,770 | |
| GMAC Mortgage Corp. Loan Trust 2000-HE2 A1 | | | | | | | | | |
0.70% | | | 06/25/30 | 3 | | | 2,317,616 | | | | 1,265,615 | |
| Green Tree Home Improvement Loan Trust 1997-E HEB1 | | | | | | | | | |
7.53% | | | 01/15/29 | | | | 2,901,015 | | | | 2,868,408 | |
See accompanying notes to Schedule of Portfolio Investments.
18 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | | 12/15/22 | | | $ | 92,056 | | | $ | 66,273 | |
| GSAA Trust 2006-9 A4A | | | | | | | | | |
0.50% | | | 06/25/36 | 3 | | | 12,787,488 | | | | 6,306,799 | |
| GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands) | | | | | | | | | |
1.18% | | | 10/10/14 | 2,3,4,† | | | 557,903 | | | | 534,196 | |
| Home Equity Mortgage Trust 2006-1 A1B | | | | | | | | | |
0.39% | | | 05/25/36 | 3 | | | 762,703 | | | | 695,783 | |
| HSBC Home Equity Loan Trust 2005-3 M1 | | | | | | | | | |
0.68% | | | 01/20/35 | 3 | | | 4,178,281 | | | | 3,771,028 | |
| HSBC Home Equity Loan Trust 2006-3 A4 | | | | | | | | | |
0.50% | | | 03/20/36 | 3 | | | 8,680,000 | | | | 7,003,944 | |
| HSBC Home Equity Loan Trust 2007-1 AS | | | | | | | | | |
0.46% | | | 03/20/36 | 3 | | | 10,311,956 | | | | 8,443,867 | |
| HSI Asset Securitization Corp. Trust 2006-OPT2 2A3 | | | | | | | | | |
0.45% | | | 01/25/36 | 3 | | | 2,228,944 | | | | 2,082,763 | |
| JPMorgan Mortgage Acquisition Corp. 2005-FRE1 A2F3 (STEP) | | | | | | | | | |
5.63% | | | 10/25/35 | | | | 2,895,789 | | | | 2,839,568 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP) | | | | | | | | | |
5.45% | | | 10/25/36 | | | | 11,117,952 | | | | 11,150,923 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP) | | | | | | | | | |
5.48% | | | 01/25/37 | | | | 15,300,000 | | | | 12,403,924 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2 | | | | | | | | | |
0.31% | | | 05/25/37 | 3 | | | 2,499,840 | | | | 2,376,611 | |
| JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4 | | | | | | | | | |
0.54% | | | 03/25/47 | 3 | | | 50,000 | | | | 21,230 | |
| Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO) | | | | | | | | | |
0.55% | | | 05/15/41 | 3,5 | | | 346,896,428 | | | | 5,229,602 | |
| Lehman XS Trust 2006-GP1 A4A | | | | | | | | | |
0.59% | | | 05/25/46 | 3 | | | 11,937,652 | | | | 3,953,750 | |
| Long Beach Mortgage Loan Trust 2005-1 M1 | | | | | | | | | |
0.76% | | | 02/25/35 | 3 | | | 4,425,374 | | | | 4,346,706 | |
| MASTR Asset Backed Securities Trust 2007-HE1 A3 | | | | | | | | | |
0.47% | | | 05/25/37 | 3 | | | 55,000 | | | | 25,772 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C | | | | | | | | | |
0.44% | | | 06/25/37 | 3 | | | 19,057,200 | | | | 9,155,651 | |
Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 923,336 | | | | 915,361 | |
Mid-State Trust 2006-1 A | | | | | | | | | |
5.79% | | | 10/15/40 | 4 | | | 9,277,122 | | | | 8,934,072 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Morgan Stanley ABS Capital I 2004-NC2 M2 | | | | | | | | | |
2.06% | | | 12/25/33 | 3 | | $ | 189,772 | | | $ | 96,280 | |
| Morgan Stanley ABS Capital I 2007-HE7 M2 | | | | | | | | | |
2.26% | | | 07/25/37 | 3 | | | 3,525,000 | | | | 239,346 | |
| Morgan Stanley Mortgage Loan Trust 2007-10XS A18 | | | | | | | | | |
6.00% | | | 07/25/47 | 3 | | | 13,532,865 | | | | 10,002,662 | |
| Nationstar Home Equity Loan Trust 2007-A AV1 | | | | | | | | | |
0.32% | | | 03/25/37 | 3 | | | 1,078 | | | | 1,072 | |
| Nationstar Home Equity Loan Trust 2007-A AV4 | | | | | | | | | |
0.49% | | | 03/25/37 | 3 | | | 5,928,000 | | | | 3,543,009 | |
| Nationstar Home Equity Loan Trust 2007-B 2AV1 | | | | | | | | | |
0.38% | | | 04/25/37 | 3 | | | 292,400 | | | | 285,001 | |
| Nationstar Home Equity Loan Trust 2007-C 2AV1 | | | | | | | | | |
0.32% | | | 06/25/37 | 3 | | | 36,180 | | | | 35,593 | |
| Nationstar Home Equity Loan Trust 2007-C 2AV3 | | | | | | | | | |
0.44% | | | 06/25/37 | 3 | | | 7,807,200 | | | | 4,708,304 | |
| Park Place Securities, Inc. 2004-MHQ1 M1 | | | | | | | | | |
0.96% | | | 12/25/34 | 3 | | | 9,240,940 | | | | 9,109,885 | |
| Pegasus Aviation Lease Securitization 2000-1 B1 | | | | | | | | | |
8.08% | | | 03/25/30 | 4,6,7 | | | 8,806,150 | | | | 2,810 | |
| Popular ABS Mortgage Pass-Through Trust 2007-A A3 | | | | | | | | | |
0.57% | | | 06/25/47 | 3 | | | 70,000 | | | | 32,348 | |
| Residential Asset Securities Corp. 2005-KS12 A2 | | | | | | | | | |
0.51% | | | 01/25/36 | 3 | | | 8,275,828 | | | | 7,902,451 | |
| Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 8,955 | | | | 8,417 | |
Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3,4 | | | 2,088,569 | | | | 303,151 | |
| Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A | | | | | | | | | |
0.39% | | | 05/25/37 | 3 | | | 8,236,538 | | | | 6,278,520 | |
| SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3 | | | 1,676,730 | | | | 1,052,245 | |
| Soundview Home Equity Loan Trust 2006-OPT1 2A4 | | | | | | | | | |
0.53% | | | 03/25/36 | 3 | | | 7,300,000 | | | | 4,258,221 | |
| Soundview Home Equity Loan Trust 2006-WF2 A2C | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 12,000,000 | | | | 10,252,678 | |
| Soundview Home Equity Loan Trust 2007-OPT5 M2 | | | | | | | | | |
2.41% | | | 10/25/37 | 3,4 | | | 90,000 | | | | 8,115 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 19
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Specialty Underwriting & Residential Finance 2005-AB1 A1C | | | | | | | | | |
0.60% | | | 03/25/36 | 3 | | $ | 6,640,098 | | | $ | 6,169,279 | |
| Structured Asset Securities Corp. 2005-S2 M2 | | | | | | | | | |
0.93% | | | 06/25/35 | 3 | | | 2,569,276 | | | | 2,426,955 | |
| Structured Asset Securities Corp. 2007-BC2 A3 | | | | | | | | | |
0.39% | | | 03/25/37 | 3 | | | 1,000,000 | | | | 825,990 | |
| Terwin Mortgage Trust 2004-7HE A1 | | | | | | | | | |
0.81% | | | 07/25/34 | 3,4 | | | 142,962 | | | | 124,628 | |
| Terwin Mortgage Trust 2005-9HGS A1 | | | | | | | | | |
4.00% | | | 08/25/35 | 3,4 | | | 318,734 | | | | 309,604 | |
| Textainer Marine Containers Ltd. 2005-1A A (Bermuda) | | | | | | | | | |
0.51% | | | 05/15/20 | 2,3,4 | | | 2,263,333 | | | | 2,096,486 | |
| Triton Container Finance LLC 2006-1A | | | | | | | | | |
0.43% | | | 11/26/21 | 3,4 | | | 5,210,833 | | | | 4,693,029 | |
| Triton Container Finance LLC 2007-1A | | | | | | | | | |
0.40% | | | 02/26/19 | 3,4 | | | 3,409,115 | | | | 3,152,441 | |
| Wells Fargo Home Equity Trust 2005-3 AII3 | | | | | | | | | |
0.60% | | | 11/25/35 | 3 | | | 9,423,624 | | | | 9,219,650 | |
| Wells Fargo Home Equity Trust 2007-2 A1 | | | | | | | | | |
0.35% | | | 04/25/37 | 3 | | | 670,481 | | | | 651,150 | |
| | | | | | | | | | | | |
| |
| Total Asset-Backed Securities | | | | | |
| (Cost $324,679,200) | | | | 276,613,654 | |
| | | | | | | | | | | | |
|
CORPORATES — 28.17%* | |
| Banking — 5.09% | | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | | |
2.50% | | | 12/01/14 | 3 | | | 1,424,000 | | | | 1,274,551 | |
| Bank of America Corp. L (MTN) | | | | | | | | | |
5.65% | | | 05/01/18 | | | | 300,000 | | | | 318,342 | |
| Bank of America N.A. | | | | | | | | | |
0.59% | | | 06/15/17 | 3 | | | 2,500,000 | | | | 2,094,570 | |
| BankAmerica Capital III | | | | | | | | | |
1.10% | | | 01/15/27 | 3 | | | 2,881,000 | | | | 2,045,017 | |
| BankAmerica Institutional Capital A | | | | | | | | | |
8.07% | | | 12/31/26 | 4 | | | 5,250,000 | | | | 5,473,125 | |
| Capital One Financial Corp. | | | | | | | | | |
7.38% | | | 05/23/14 | | | | 5,000,000 | | | | 5,841,495 | |
| Chase Capital II B | | | | | | | | | |
0.97% | | | 02/01/27 | 3 | | | 6,655,000 | | | | 5,076,940 | |
| City National Corp. | | | | | | | | | |
5.13% | | | 02/15/13 | | | | 8,000,000 | | | | 8,424,904 | |
| Credit Suisse/Guernsey 1 (Switzerland) | | | | | | | | | |
1.07% | | | 05/29/49 | 2,3 | | | 8,390,000 | | | | 5,925,438 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
3.45% | | | 07/02/12 | 2 | | | 1,825,000 | | | | 1,898,662 | |
5.00% | | | 05/15/13 | 2 | | | 11,000,000 | | | | 11,991,166 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
| Deutsche Bank AG/London (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 2 | | $ | 7,640,000 | | | $ | 8,304,229 | |
| JPMorgan Chase & Co. | | | | | | | | | |
4.75% | | | 05/01/13 | | | | 30,000 | | | | 32,556 | |
| JPMorgan Chase & Co. C (MTN) | | | | | | | | | |
0.77% | | | 07/23/13 | 3 | | | 1,500,000 | | | | 1,467,900 | |
| Nationsbank Capital Trust III | | | | | | | | | |
1.08% | | | 01/15/27 | 3 | | | 7,650,000 | | | | 5,378,730 | |
| NB Capital Trust II | | | | | | | | | |
7.83% | | | 12/15/26 | | | | 3,200,000 | | | | 3,308,160 | |
| Royal Bank of Scotland Plc (The) (United Kingdom) | | | | | | | | | |
4.88% | | | 03/16/15 | 2 | | | 7,117,000 | | | | 7,495,069 | |
| Royal Bank of Scotland Plc (The) 2 (United Kingdom) | | | | | | | | | |
3.40% | | | 08/23/13 | 2 | | | 1,750,000 | | | | 1,795,339 | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | | 5,655,000 | | | | 6,219,714 | |
| Westpac Banking Corp. (Australia) | | | | | | | | | |
2.10% | | | 08/02/13 | 2 | | | 5,000,000 | | | | 5,078,040 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 89,443,947 | |
| | | | | | | | | | | | |
| |
Communications — 1.10% | | | | | |
| Cellco Partnership/Verizon Wireless Capital LLC | | | | | | | | | |
3.75% | | | 05/20/11 | | | | 5,440,000 | | | | 5,548,784 | |
| Qwest Corp. | | | | | | | | | |
7.88% | | | 09/01/11 | | | | 8,995,000 | | | | 9,545,944 | |
| Telecom Italia Capital SA (Luxembourg) | | | | | | | | | |
6.20% | | | 07/18/11 | 2 | | | 4,060,000 | | | | 4,207,183 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,301,911 | |
| | | | | | | | | | | | |
| |
Electric — 1.85% | | | | | |
| AES Corp. (The) | | | | | | | | | |
8.75% | | | 05/15/13 | 4 | | | 92,000 | | | | 93,610 | |
| Cedar Brakes I LLC | | | | | | | | | |
8.50% | | | 02/15/14 | 4 | | | 1,772,066 | | | | 1,830,416 | |
| Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 4 | | | 5,220,242 | | | | 5,452,251 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 4 | | | 101,334 | | | | 96,830 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
7.95% | | | 02/01/11 | | | | 2,500,000 | | | | 2,553,165 | |
11.88% | | | 07/01/12 | | | | 7,149,000 | | | | 8,230,122 | |
| Mirant Mid Atlantic Pass-Through Trust A | | | | | | | | | |
8.63% | | | 06/30/12 | | | | 2,506,291 | | | | 2,575,214 | |
| NiSource Finance Corp. | | | | | | | | | |
7.88% | | | 11/15/10 | | | | 2,050,000 | | | | 2,064,237 | |
10.75% | | | 03/15/16 | | | | 3,970,000 | | | | 5,249,602 | |
See accompanying notes to Schedule of Portfolio Investments.
20 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | $ | 4,332,070 | | | $ | 4,409,107 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,554,554 | |
| | | | | | | | | | | | |
Energy — 1.25% | | | | | | | | | |
| Allis-Chalmers Energy, Inc. | | | | | | | | | |
9.00% | | | 01/15/14 | | | | 450,000 | | | | 456,750 | |
| Aquila Canada Finance Corp. (Canada) | | | | | | | | | |
7.75% | | | 06/15/11 | 2 | | | 1,835,000 | | | | 1,910,987 | |
Comstock Resources, Inc. | | | | | | | | | |
6.88% | | | 03/01/12 | | | | 150,000 | | | | 150,567 | |
| Corral Petroleum Holdings AB (Sweden) | | | | | | | | | |
2.00% | | | 09/18/11 | 2,4 | | | 204,698 | | | | 189,857 | |
| Florida Gas Transmission, Co. LLC | | | | | | | | | |
4.00% | | | 07/15/15 | 4 | | | 3,500,000 | | | | 3,696,935 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | | 11/01/15 | 4 | | | 575,000 | | | | 583,625 | |
| Massey Energy Co. | | | | | | | | | | | | |
6.88% | | | 12/15/13 | | | | 375,000 | | | | 386,250 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 2 | | | 250,000 | | | | 187,500 | |
| Premcor Refining Group, Inc. (The) | | | | | | | | | |
6.13% | | | 05/01/11 | | | | 8,000,000 | | | | 8,173,952 | |
Sonat, Inc. | | | | | | | | | | | | |
7.63% | | | 07/15/11 | | | | 350,000 | | | | 364,592 | |
| Tennessee Gas Pipeline Co. | | | | | | | | | |
8.00% | | | 02/01/16 | | | | 4,848,000 | | | | 5,793,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,894,375 | |
| | | | | | | | | | | | |
Finance — 12.12% | | | | | | | | | |
| Bear Stearns Cos., Inc. (The) (MTN) | | | | | | | | | |
6.95% | | | 08/10/12 | | | | 10,000,000 | | | | 11,046,690 | |
| Cantor Fitzgerald LP | | | | | | | | | |
6.38% | | | 06/26/15 | 4 | | | 3,675,000 | | | | 3,781,053 | |
| Citigroup, Inc. | | | | | | | | | | | | |
5.30% | | | 10/17/12 | | | | 1,424,000 | | | | 1,518,293 | |
5.50% | | | 04/11/13 | | | | 11,034,000 | | | | 11,844,745 | |
5.50% | | | 10/15/14 | | | | 3,510,000 | | | | 3,812,046 | |
6.38% | | | 08/12/14 | | | | 10,500,000 | | | | 11,714,558 | |
| Countrywide Financial Corp. (MTN) | | | | | | | | | |
5.80% | | | 06/07/12 | | | | 5,660,000 | | | | 6,048,432 | |
| General Electric Capital Corp. | | | | | | | | | |
1.88% | | | 09/16/13 | | | | 2,200,000 | | | | 2,206,823 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.43% | | | 06/20/14 | 3 | | | 3,500,000 | | | | 3,351,611 | |
0.81% | | | 05/05/26 | 3 | | | 6,300,000 | | | | 4,934,003 | |
| General Electric Capital Corp. A (MTN) | | | | | | | | | |
0.55% | | | 09/15/14 | 3 | | | 10,169,000 | | | | 9,770,477 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| General Electric Capital Corp. E (MTN) | | | | | | | | | |
0.48% | | | 03/20/14 | 3 | | $ | 5,500,000 | | | $ | 5,239,894 | |
| General Electric Capital Corp. G (MTN) | | | | | | | | | |
0.47% | | | 06/01/12 | 3 | | | 12,605,000 | | | | 12,647,759 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
0.74% | | | 03/22/16 | | | | 800,000 | | | | 740,606 | |
1.03% | | | 01/12/15 | 3 | | | 2,500,000 | | | | 2,394,060 | |
1.06% | | | 12/05/11 | 3 | | | 10,970,000 | | | | 11,076,080 | |
5.13% | | | 01/15/15 | | | | 1,400,000 | | | | 1,517,046 | |
5.45% | | | 11/01/12 | | | | 8,000,000 | | | | 8,593,158 | |
6.15% | | | 04/01/18 | | | | 2,500,000 | | | | 2,777,233 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 4 | | | 8,400,000 | | | | 9,030,000 | |
| JPMorgan Chase Capital XIII M | | | | | | | | | |
1.24% | | | 09/30/34 | 3 | | | 2,465,000 | | | | 1,869,976 | |
| JPMorgan Chase Capital XXI U | | | | | | | | | |
1.42% | | | 02/02/37 | 3 | | | 3,250,000 | | | | 2,350,891 | |
| Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | | 06/20/16 | 3,6,7 | | | 4,835,000 | | | | 991,175 | |
8.92% | | | 02/16/17 | 6,7 | | | 4,198,000 | | | | 860,590 | |
11.00% | | | 11/07/16 | 3,6,7 | | | 6,776,000 | | | | 1,389,080 | |
| MBNA Capital A | | | | | | | | | |
8.28% | | | 12/01/26 | | | | 1,074,000 | | | | 1,108,905 | |
| MBNA Capital B | | | | | | | | | |
1.27% | | | 02/01/27 | 3 | | | 2,891,000 | | | | 2,002,596 | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
8.68% | | | 05/02/17 | 3 | | | 30,000 | | | | 32,925 | |
8.95% | | | 05/18/17 | 3 | | | 30,000 | | | | 33,075 | |
9.57% | | | 06/06/17 | 3 | | | 5,184,000 | | | | 5,844,960 | |
| Morgan Stanley | | | | | | | | | |
0.64% | | | 06/20/12 | 3 | | | 9,655,000 | | | | 9,715,257 | |
0.69% | | | 02/10/12 | 3 | | | 18,310,000 | | | | 18,396,698 | |
0.77% | | | 01/18/11 | 3 | | | 4,405,000 | | | | 4,405,273 | |
1.01% | | | 10/15/15 | 3 | | | 2,830,000 | | | | 2,598,899 | |
4.20% | | | 11/20/14 | | | | 750,000 | | | | 778,276 | |
6.00% | | | 05/13/14 | | | | 1,325,000 | | | | 1,457,881 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.63% | | | 01/09/12 | | | | 5,000,000 | | | | 5,286,556 | |
| Morgan Stanley 1 | | | | | | | | | |
1.15% | | | 12/01/11 | 3 | | | 4,115,000 | | | | 4,158,483 | |
| Morgan Stanley G (MTN) | | | | | | | | | |
0.83% | | | 01/09/14 | 3 | | | 1,405,000 | | | | 1,329,082 | |
| Pemex Finance Ltd. (Cayman Islands) | | | | | | | | | |
8.88% | | | 11/15/10 | 2 | | | 488,933 | | | | 494,052 | |
| Power Receivable Finance LLC | | | | | | | | | |
6.29% | | | 01/01/12 | 4 | | | 678,503 | | | | 678,717 | |
6.29% | | | 01/01/12 | | | | 712,188 | | | | 726,882 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.17% | | | 12/18/17 | 3,4 | | | 10,665,000 | | | | 9,235,815 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 21
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | | | | | |
| UBS AG BKNT (Switzerland) | | | | | | | | | |
2.25% | | | 08/12/13 | 2 | | $ | 5,750,000 | | | $ | 5,812,221 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,000,000 | | | | 430,000 | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,000,000 | | | | 430,000 | |
| Woodbourne Capital Trust IV | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,000,000 | | | | 430,000 | |
| ZFS Finance USA Trust I | | | | | | | | | |
6.15% | | | 12/15/65 | 3,4 | | | 6,000,000 | | | | 5,970,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 212,862,832 | |
| | | | | | | | | | | | |
Health Care — 0.81% | | | | | |
Boston Scientific Corp. | | | | | | | | | |
6.00% | | | 06/15/11 | | | | 5,950,000 | | | | 6,118,617 | |
| CHS/Community Health Systems, Inc. | | | | | |
8.88% | | | 07/15/15 | | | | 250,000 | | | | 265,313 | |
| UnitedHealth Group, Inc. | | | | | | | | | | | | |
4.88% | | | 02/15/13 | | | | 7,348,000 | | | | 7,901,841 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,285,771 | |
| | | | | | | | | | | | |
Insurance — 1.63% | | | | | |
| Berkshire Hathaway, Inc. | | | | | | | | | |
0.83% | | | 02/11/13 | 3 | | | 5,475,000 | | | | 5,505,468 | |
| Farmers Insurance Exchange | | | | | | | | | |
6.00% | | | 08/01/14 | 4 | | | 6,315,000 | | | | 6,641,213 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
2.19% | | | 06/10/11 | 3,4 | | | 2,000,000 | | | | 2,023,798 | |
2.88% | | | 09/17/12 | 4 | | | 2,810,000 | | | | 2,880,196 | |
5.13% | | | 04/10/13 | 4 | | | 4,550,000 | | | | 4,955,141 | |
5.13% | | | 06/10/14 | 4 | | | 3,230,000 | | | | 3,586,356 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 3,4 | | | 3,550,000 | | | | 3,074,722 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,666,894 | |
| | | | | | | | | | | | |
Materials — 0.01% | | | | | | | | | |
| Lyondell Chemical Co. | | | | | | | | | |
11.00% | | | 05/01/18 | | | | 93,569 | | | | 103,979 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.23% | |
| AvalonBay Communities, Inc. (MTN) | | | | | | | | | |
6.13% | | | 11/01/12 | | | | 1,057,000 | | | | 1,152,559 | |
| Duke Realty LP | | | | | | | | | |
5.88% | | | 08/15/12 | | | | 956,000 | | | | 1,008,364 | |
6.25% | | | 05/15/13 | | | | 9,000,000 | | | | 9,744,030 | |
HCP, Inc. | | | | | | | | | |
6.45% | | | 06/25/12 | | | | 4,000,000 | | | | 4,256,024 | |
HCP, Inc. (MTN) | | | | | | | | | |
6.30% | | | 09/15/16 | | | | 7,600,000 | | | | 8,265,106 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| Health Care REIT, Inc. | | | | | | | | | |
4.70% | | | 09/15/17 | | | $ | 6,750,000 | | | $ | 6,831,095 | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
6.50% | | | 01/17/17 | | | | 2,375,000 | | | | 2,577,763 | |
| Kimco Realty Corp. C (MTN) | | | | | | | | | |
5.19% | | | 10/01/13 | | | | 6,000,000 | | | | 6,418,385 | |
| Liberty Property LP | | | | | | | | | |
5.13% | | | 03/02/15 | | | | 4,180,000 | | | | 4,482,619 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
7.75% | | | 02/22/11 | | | | 1,500,000 | | | | 1,544,120 | |
| WEA Finance LLC/WT Finance | | | | | | | | | |
7.50% | | | 06/02/14 | 4 | | | 4,000,000 | | | | 4,671,507 | |
| Westfield Capital Corp. Ltd. (Multinational) | | | | | | | | | |
4.38% | | | 11/15/10 | 2,4 | | | 5,690,000 | | | | 5,712,965 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 56,664,537 | |
| | | | | | | | | | | | |
Services — 0.03% | | | | | |
Mobile Mini, Inc. | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 375,000 | | | | 369,375 | |
| United Rentals North America, Inc. | | | | | | | | | |
7.00% | | | 02/15/14 | | | | 125,000 | | | | 125,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 495,000 | |
| | | | | | | | | | | | |
Transportation — 1.05% | | | | | |
| American Airlines Pass-Through Trust 2001-02 | | | | | | | | | |
6.98% | | | 04/01/11 | 8 | | | 10,790 | | | | 11,006 | |
| Continental Airlines Pass-Through Trust 1997-4 A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 181,311 | | | | 188,563 | |
| Delta Air Lines, Inc. 2001 A1 | | | | | | | | | |
6.62% | | | 03/18/11 | | | | 2,265,088 | | | | 2,299,065 | |
| Delta Air Lines, Inc. 2001 A2 | | | | | | | | | |
7.11% | | | 09/18/11 | | | | 8,751,000 | | | | 9,232,305 | |
| Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | | 04/01/11 | | | | 1,500,000 | | | | 1,537,500 | |
| UAL Pass-Through Trust 2009-1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 4,645,555 | | | | 5,214,636 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,483,075 | |
| | | | | | | | | | | | |
Total Corporates | | | | | | | | | |
| (Cost $485,607,882) | | | | | | | | 494,756,875 | |
| | | | | | | | | | | | |
BANK LOANS — 0.59%* | | | | | |
Communications — 0.07% | | | | | |
| Charter Communications, Inc. Term Loan 3rd Lien | | | | | | | | | |
2.76% | | | 09/06/14 | 9 | | | 500,000 | | | | 467,188 | |
| Dex Media West LLC Term Loan | | | | | | | | | |
7.23% | | | 10/24/14 | 3,9 | | | 799,214 | | | | 696,760 | |
See accompanying notes to Schedule of Portfolio Investments.
22 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Communications (continued) | |
| Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
2.51% | | | 09/29/14 | 9 | | $ | 123,423 | | | $ | 108,437 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,272,385 | |
| | | | | | | | | | | | |
Electric — 0.04% | | | | | | | | | |
| TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
4.54% | | | 12/15/14 | 9 | | | 250,000 | | | | 228,281 | |
| TXU Energy Term Loan B3 | | | | | | | | | |
3.76% | | | 10/10/14 | 9 | | | 485,000 | | | | 376,346 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 604,627 | |
| | | | | | | | | | | | |
Health Care — 0.36% | | | | | | | | | |
| Carestream Health, Inc. Term Loan | | | | | | | | | |
5.51% | | | 10/30/13 | 9 | | | 500,000 | | | | 471,250 | |
| HCA Term Loan A | | | | | | | | | |
1.79% | | | 11/17/12 | 9 | | | 6,081,382 | | | | 5,881,901 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,353,151 | |
| | | | | | | | | | | | |
Insurance — 0.01% | | | | | | | | | |
| Asurion Corp. Term Loan | | | | | | | | | |
3.29% | | | 07/07/14 | 9 | | | 247,500 | | | | 236,981 | |
| | | | | | | | | | | | |
Services — 0.04% | | | | | | | | | |
| Cengage Learning Term Loan B | | | | | | | | | |
2.54% | | | 07/03/14 | 9 | | | 727,500 | | | | 655,328 | |
| | | | | | | | | | | | |
Transportation — 0.07% | |
| Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
1.96% | | | 04/30/12 | 9 | | | 960,102 | | | | 928,899 | |
| United Air Lines, Inc. | | | | | | | | | |
2.31% | | | 02/01/14 | 9 | | | 343,611 | | | | 324,426 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,253,325 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $10,576,557) | | | | | | | | 10,375,797 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 33.55%** | |
Commercial Mortgage-Backed — 8.64% | |
| Bayview Commercial Asset Trust 2005-1A A1 | | | | | | | | | |
0.56% | | | 04/25/35 | 3,4 | | | 1,114,859 | | | | 890,318 | |
| Bayview Commercial Asset Trust 2005-2A A1 | | | | | | | | | |
0.57% | | | 08/25/35 | 3,4 | | | 588,483 | | | | 426,085 | |
| Bayview Commercial Asset Trust 2006-3A A1 | | | | | | | | | |
0.51% | | | 10/25/36 | 3,4 | | | 4,866,833 | | | | 3,301,214 | |
| Bayview Commercial Asset Trust 2007-1 A1 | | | | | | | | | |
0.48% | | | 03/25/37 | 3,4 | | | 140,304 | | | | 102,150 | |
| Bayview Commercial Asset Trust 2007-3 A1 | | | | | | | | | | | | |
0.50% | | | 07/25/37 | 3,4 | | | 671,848 | | | | 508,049 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities 2007-T28 AAB | | | | | | | | | |
5.75% | | | 09/11/42 | | | | 5,247,000 | | | | 5,861,254 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Bear Stearns Commercial Mortgage Securities, Inc. 2003-T12 A4 | | | | | | | | | |
4.68% | | | 08/13/39 | 3 | | $ | 7,195,000 | | | $ | 7,743,694 | |
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | | 7,620,000 | | | | 8,416,737 | |
Credit Suisse First Boston Mortgage Securities Corp. 2004-C5 A2 | | | | | | | | | |
4.18% | | | 11/15/37 | | | | 2,817,953 | | | | 2,815,880 | |
Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 2,215,000 | | | | 2,352,613 | |
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2 | | | | | | | | | |
5.18% | | | 11/15/36 | | | | 7,975,000 | | | | 8,441,128 | |
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | | 03/15/33 | | | | 3,678,345 | | | | 3,685,854 | |
GE Capital Commercial Mortgage Corp. 2001-2 A4 | | | | | | | | | |
6.29% | | | 08/11/33 | | | | 14,263,903 | | | | 14,645,086 | |
GE Capital Commercial Mortgage Corp. 2002-1A A3 | | | | | | | | | |
6.27% | | | 12/10/35 | | | | 3,142,616 | | | | 3,318,581 | |
GE Capital Commercial Mortgage Corp. 2005-C4 A3A | | | | | | | | | |
5.52% | | | 11/10/45 | 3 | | | 2,235,000 | | | | 2,356,181 | |
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2 | | | | | | | | | |
6.96% | | | 09/15/35 | | | | 113,324 | | | | 113,229 | |
GMAC Commercial Mortgage Securities, Inc. 2001-C2 A2 | | | | | | | | | |
6.70% | | | 04/15/34 | | | | 5,587,475 | | | | 5,694,152 | |
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4 | | | | | | | | | |
4.91% | | | 03/10/38 | | | | 410,000 | | | | 438,724 | |
Greenwich Capital Commercial Funding Corp. 2004-GG1 A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 7,355,000 | | | | 8,067,833 | |
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4 | | | | | | | | | |
6.08% | | | 07/10/38 | 3 | | | 5,955,000 | | | | 6,534,539 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | | 9,370,000 | | | | 9,748,095 | |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4 | | | | | | | | | |
5.93% | | | 02/12/49 | 3 | | | 1,918,000 | | | | 2,018,246 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4 | | | | | | | | | |
5.88% | | | 02/15/51 | 3 | | | 1,375,000 | | | | 1,444,944 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 23
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMorgan Chase Commercial Mortgage | | | | | | | | | |
| Securities Corp. 2007-LDPX A3 | | | | | | | | | |
5.42% | | | 01/15/49 | | | $ | 1,610,000 | | | $ | 1,678,216 | |
| LB-UBS Commercial Mortgage Trust 2001-C2 A2 | | | | | | | | | |
6.65% | | | 11/15/27 | | | | 3,551,379 | | | | 3,602,634 | |
| Merrill Lynch Mortgage Trust 2002-MW1 A4 | | | | | | | | | |
5.62% | | | 07/12/34 | | | | 8,375,000 | | | | 8,830,478 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 3 | | | 4,840,000 | | | | 5,022,416 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4 | | | | | | | | | |
5.75% | | | 06/12/50 | 3 | | | 3,895,000 | | | | 3,980,200 | |
| Morgan Stanley Capital I 2005-T19 A4A | | | | | | | | | |
4.89% | | | 06/12/47 | | | | 405,000 | | | | 441,098 | |
| Morgan Stanley Capital I 2007-IQ16 A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 2,570,000 | | | | 2,725,997 | |
| Morgan Stanley Capital I 2007-T27 A4 | | | | | | | | | |
5.80% | | | 06/11/42 | 3 | | | 265,000 | | | | 294,393 | |
| Morgan Stanley Dean Witter Capital I 2001-TOP3 A4 | | | | | | | | | |
6.39% | | | 07/15/33 | | | | 4,091,317 | | | | 4,204,500 | |
| TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3 | | | | | | | | | |
6.04% | | | 08/15/39 | 3 | | | 10,500,000 | | | | 11,750,761 | |
| Wachovia Bank Commercial Mortgage Trust 2002-C1 A4 | | | | | | | | | |
6.29% | | | 04/15/34 | | | | 9,537,000 | | | | 10,090,061 | |
| Wachovia Bank Commercial Mortgage Trust 2004-C10 A3 | | | | | | | | | |
4.39% | | | 02/15/41 | | | | 150,097 | | | | 151,876 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 151,697,216 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 10.28% | |
| Adjustable Rate Mortgage Trust 2005-1 1A1 | | | | | | | | | |
3.46% | | | 05/25/35 | 3 | | | 10,475,064 | | | | 8,714,597 | |
| American Home Mortgage Assets 2007-2 A1 | | | | | | | | | |
0.38% | | | 03/25/47 | 3 | | | 20,704,887 | | | | 11,263,869 | |
| American Home Mortgage Assets 2007-4 A2 | | | | | | | | | |
0.45% | | | 08/25/37 | 3 | | | 22,500,000 | | | | 16,431,086 | |
| American Home Mortgage Investment Trust 2004-2 2A | | | | | | | | | |
2.28% | | | 02/25/44 | 3 | | | 13,409,883 | | | | 12,315,029 | |
| Banc of America Funding Corp. 2007-5 3A1 | | | | | | | | | |
6.00% | | | 07/25/37 | | | | 9,813,874 | | | | 7,447,876 | |
| Banc of America Funding Corp. 2007-8 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | | 8,714,449 | | | | 6,569,226 | |
| Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 05/31/10 | 2,4,5 | | | 474,397 | | | | 37,952 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Bear Stearns Mortgage Funding Trust 2006-AR3 2A1 | | | | | | | | | |
0.46% | | | 11/25/36 | 3 | | $ | 13,067,065 | | | $ | 7,597,525 | |
| Bear Stearns Mortgage Funding Trust 2007-AR4 2A1 | | | | | | | | | |
0.47% | | | 06/25/37 | 3 | | | 16,032,286 | | | | 9,179,526 | |
| BHN I Mortgage Fund 2000-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 03/31/11 | 2,4,5 | | | 9,000 | | | | 895 | |
| BlackRock Capital Finance LP 1997-R2 AP | | | | | | | | | |
1.21% | | | 12/25/35 | 3,4,5 | | | 14,653 | | | | 14,661 | |
| Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
3.24% | | | 07/25/37 | 3 | | | 11,097,434 | | | | 10,941,682 | |
| Chase Mortgage Finance Corp. 2007-S2 1A7 | | | | | | | | | |
6.00% | | | 03/25/37 | | | | 1,790,404 | | | | 1,787,865 | |
| Chevy Chase Mortgage Funding Corp. 2005-2A A1 | | | | | | | | | |
0.44% | | | 05/25/36 | 3,4 | | | 3,240,253 | | | | 1,769,724 | |
| Chevy Chase Mortgage Funding Corp. 2005-AA B2 | | | | | | | | | |
0.88% | | | 01/25/36 | 3,4 | | | 697,876 | | | | 224,628 | |
| Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.14% | | | 02/25/34 | 3 | | | 533,214 | | | | 529,401 | |
| Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
1.74% | | | 08/25/35 | 3 | | | 2,301,014 | | | | 1,274,992 | |
| Countrywide Alternative Loan Trust 2005-51 2A2A | | | | | | | | | |
0.55% | | | 11/20/35 | 3 | | | 43,904 | | | | 43,074 | |
| Countrywide Alternative Loan Trust 2005-59 1A1 | | | | | | | | | |
0.59% | | | 11/20/35 | 3 | | | 9,768,335 | | | | 5,592,035 | |
| Countrywide Alternative Loan Trust 2005-72 A1 | | | | | | | | | |
0.53% | | | 01/25/36 | 3 | | | 862,112 | | | | 565,957 | |
| Countrywide Alternative Loan Trust 2006-46 A4 | | | | | | | | | |
6.00% | | | 02/25/47 | | | | 8,198,953 | | | | 6,286,119 | |
| Countrywide Alternative Loan Trust 2006-OA12 A2 | | | | | | | | | |
0.47% | | | 09/20/46 | 3 | | | 4,841,090 | | | | 2,119,868 | |
| Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1 | | | | | | | | | |
5.09% | | | 08/25/34 | 3 | | | 105,417 | | | | 107,162 | |
| DLJ Mortgage Acceptance Corp. 1996-QA S (IO) | | | | | | | | | |
3.26% | | | 01/25/26 | 3,4,5 | | | 97,333 | | | | 61 | |
| Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A | | | | | | | | | |
0.47% | | | 03/19/45 | 3 | | | 3,743,789 | | | | 2,281,658 | |
See accompanying notes to Schedule of Portfolio Investments.
24 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Downey Savings & Loan Association | | | | | | | | | |
| Mortgage Loan Trust 2006-AR1 2A1A | | | | | | | | | |
1.31% | | | 04/19/47 | 3 | | $ | 85,996 | | | $ | 53,412 | |
| First Horizon Alternative Mortgage Securities 2004-AA3 A1 | | | | | | | | | |
2.55% | | | 09/25/34 | 3 | | | 34,585 | | | | 28,971 | |
| First Horizon Asset Securities, Inc. 2002-7 2A2 | | | | | | | | | |
5.25% | | | 12/25/17 | | | | 27,069 | | | | 27,698 | |
| Harborview Mortgage Loan Trust 2006-3 2A1A | | | | | | | | | |
6.23% | | | 06/19/36 | 3 | | | 2,882,118 | | | | 1,763,809 | |
| Harborview Mortgage Loan Trust 2007-2 2A1A | | | | | | | | | |
0.42% | | | 05/25/38 | 3 | | | 15,307,166 | | | | 8,973,428 | |
| Impac CMB Trust 2005-5 A1 | | | | | | | | | |
0.58% | | | 08/25/35 | 3 | | | 5,312,194 | | | | 4,008,478 | |
| IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
0.65% | | | 12/25/34 | 3 | | | 619,669 | | | | 378,381 | |
| IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A | | | | | | | | | |
0.66% | | | 11/25/34 | 3 | | | 2,294,397 | | | | 1,509,502 | |
| JPMorgan Mortgage Trust 2005-A3 5A3 | | | | | | | | | |
2.83% | | | 06/25/35 | 3 | | | 155,453 | | | | 126,770 | |
| MASTR Adjustable Rate Mortgages Trust 2003-6 4A2 | | | | | | | | | |
5.18% | | | 01/25/34 | 3 | | | 127,382 | | | | 129,083 | |
| MASTR Adjustable Rate Mortgages Trust | | | | | | | | | |
| 2004-1 2A1 | | | | | | | | | |
4.48% | | | 01/25/34 | 3 | | | 265,027 | | | | 247,556 | |
| MASTR Adjustable Rate Mortgages Trust | | | | | | | | | |
| 2004-5 3A1 | | | | | | | | | |
2.77% | | | 06/25/34 | 3 | | | 271,047 | | | | 228,644 | |
| Mastr Adjustable Rate Mortgages Trust | | | | | | | | | |
| 2004-9 1A4 | | | | | | | | | |
0.86% | | | 11/25/34 | 3 | | | 5,006,594 | | | | 4,834,472 | |
| MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
3.15% | | | 10/25/32 | 3 | | | 836,597 | | | | 719,838 | |
| Merrill Lynch Alternative Note Asset 2007-AF1 AV1 | | | | | | | | | |
5.33% | | | 06/25/37 | 3 | | | 7,524,982 | | | | 4,061,251 | |
| Residential Asset Mortgage Products, Inc. | | | | | | | | | |
| 2004-SL4 A3 | | | | | | | | | |
6.50% | | | 07/25/32 | | | | 2,437,853 | | | | 2,537,736 | |
| Residential Asset Mortgage Products, Inc. | | | | | | | | | |
| 2005-SL1 A5 | | | | | | | | | |
6.50% | | | 05/25/32 | | | | 4,774,459 | | | | 4,482,169 | |
| Structured Asset Mortgage Investments, Inc. | | | | | | | | | |
| 2005-AR7 1A1 | | | | | | | | | |
2.76% | | | 12/27/35 | 3 | | | 17,071,652 | | | | 10,541,113 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Structured Asset Mortgage Investments, Inc. | | | | | | | | | |
| 2006-AR8 A1A | | | | | | | | | |
0.46% | | | 10/25/36 | 3 | | $ | 15,047,878 | | | $ | 8,971,612 | |
| Structured Asset Securities Corp. 2002-5A 6A | | | | | | | | | |
6.16% | | | 04/25/32 | 3 | | | 24,965 | | | | 24,002 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
1.14% | | | 04/25/47 | 3 | | | 15,175,313 | | | | 8,555,978 | |
| Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
2.79% | | | 01/25/33 | 3 | | | 451,341 | | | | 437,853 | |
| Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21 | | | | | | | | | |
0.59% | | | 01/25/45 | 3 | | | 1,388,367 | | | | 1,117,952 | |
| Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B | | | | | | | | | |
3.30% | | | 07/25/46 | 3 | | | 10,517,516 | | | | 3,736,108 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 180,592,284 | |
| | | | | | | | | | | | |
| U.S. Agency Mortgage-Backed — 14.63% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.50% | | | 10/25/25 | | | | 16,435,000 | | | | 16,958,866 | |
3.50% | | | 11/25/25 | | | | 16,440,000 | | | | 16,902,375 | |
| Fannie Mae 1997-76 FS | | | | | | | | | |
0.73% | | | 09/17/27 | 3 | | | 58,801 | | | | 58,659 | |
| Fannie Mae 2006-B2 AB | | | | | | | | | |
5.50% | | | 05/25/14 | | | | 4,622,444 | | | | 4,719,626 | |
| Fannie Mae 2007-64 FA | | | | | | | | | |
0.73% | | | 07/25/37 | 3 | | | 7,924,524 | | | | 7,886,288 | |
| Fannie Mae 2010-26 S (IO) | | | | | | | | | |
5.97% | | | 11/25/36 | 3 | | | 78,694,646 | | | | 10,164,389 | |
| Fannie Mae 2010-43 DP | | | | | | | | | |
5.00% | | | 05/25/40 | | | | 13,570,852 | | | | 14,708,958 | |
| Fannie Mae 2010-95 S (IO) | | | | | | | | | |
6.34% | | | 09/25/40 | 3 | | | 39,295,843 | | | | 6,251,399 | |
| Fannie Mae G92-10 Z | | | | | | | | | |
7.75% | | | 01/25/22 | | | | 15,550 | | | | 17,554 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.54% | | | 01/01/33 | 3 | | | 68,027 | | | | 70,772 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 3,964 | | | | 4,263 | |
| Fannie Mae Pool 555424 | | | | | | | | | |
5.50% | | | 05/01/33 | | | | 18,571,290 | | | | 19,932,218 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 123,390 | | | | 141,195 | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | | 54,176 | | | | 60,594 | |
| Fannie Mae Pool 745383 | | | | | | | | | |
2.85% | | | 12/01/35 | 3 | | | 2,655,053 | | | | 2,785,704 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 25
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.44% | | | 04/01/34 | 3 | | $ | 652,596 | | | $ | 673,019 | |
| Fannie Mae Pool 805256 | | | | | | | | | |
3.27% | | | 01/01/35 | 3 | | | 823,485 | | | | 856,733 | |
| Fannie Mae Pool 890141 | | | | | | | | | |
5.50% | | | 12/01/20 | | | | 17,321,439 | | | | 18,766,041 | |
| Fannie Mae Pool 942553 | | | | | | | | | |
5.94% | | | 08/01/37 | 3 | | | 11,261,597 | | | | 12,115,652 | |
| Fannie Mae Pool 995793 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 14,095,719 | | | | 15,128,672 | |
| Fannie Mae Pool AD0538 | | | | | | | | | |
6.00% | | | 05/01/24 | | | | 6,497,149 | | | | 7,019,458 | |
| Freddie Mac 2174 PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 3,208,869 | | | | 3,472,168 | |
| Freddie Mac 2454 FQ | | | | | | | | | |
1.26% | | | 06/15/31 | 3 | | | 54,376 | | | | 55,315 | |
| Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 398,770 | | | | 11,456 | |
| Freddie Mac 2657 LX (IO) | | | | | | | | | |
6.00% | | | 05/15/18 | | | | 31,528 | | | | 2,828 | |
| Freddie Mac 3346 FA | | | | | | | | | |
0.49% | | | 02/15/19 | 3 | | | 16,761,923 | | | | 16,756,113 | |
| Freddie Mac 3626 MA | | | | | | | | | |
5.00% | | | 02/15/30 | | | | 9,709,948 | | | | 10,310,853 | |
| Freddie Mac 3672 A | | | | | | | | | |
6.00% | | | 05/15/40 | | | | 9,515,193 | | | | 10,189,324 | |
| Freddie Mac Gold A45796 | | | | | | | | | |
7.00% | | | 01/01/33 | | | | 35,726 | | | | 40,415 | |
| Freddie Mac Gold C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 40,002 | | | | 44,422 | |
| Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 10,456,087 | | | | 11,303,602 | |
| Freddie Mac Gold G13475 | | | | | | | | | |
6.00% | | | 01/01/24 | | | | 1,286,398 | | | | 1,396,689 | |
| Freddie Mac Non Gold Pool 1B1928 | | | | | | | | | |
2.93% | | | 08/01/34 | 3 | | | 2,325,127 | | | | 2,434,150 | |
| Freddie Mac Non Gold Pool 1G2627 | | | | | | | | | |
6.05% | | | 03/01/37 | 3 | | | 6,949,780 | | | | 7,342,070 | |
| Freddie Mac Non Gold Pool 1J1393 | | | | | | | | | |
6.23% | | | 10/01/36 | 3 | | | 7,948,940 | | | | 8,414,017 | |
| Freddie Mac Non Gold Pool 1J1509 | | | | | | | | | |
6.32% | | | 11/01/36 | 3 | | | 5,802,757 | | | | 6,179,464 | |
| Freddie Mac Non Gold Pool 1L0113 | | | | | | | | | |
3.39% | | | 05/01/35 | 3 | | | 2,317,068 | | | | 2,434,863 | |
| Freddie Mac Non Gold Pool 1N0371 | | | | | | | | | |
6.20% | | | 01/01/37 | 3 | | | 7,107,086 | | | | 7,544,892 | |
| Freddie Mac Non Gold Pool 1N1446 | | | | | | | | | |
4.66% | | | 01/01/37 | 3 | | | 6,158,999 | | | | 6,442,152 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Non Gold Pool 1Q0196 | | | | | | | | | |
5.78% | | | 02/01/37 | 3 | | $ | 5,169,569 | | | $ | 5,491,965 | |
| Freddie Mac Non Gold Pool 786781 | | | | | | | | | |
3.27% | | | 08/01/29 | 3 | | | 167,734 | | | | 175,742 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 515,734 | | | | 28,908 | |
| Ginnie Mae I Pool 422972 | | | | | | | | | |
6.50% | | | 07/15/29 | | | | 70,401 | | | | 79,098 | |
| Ginnie Mae II Pool 1849 | | | | | | | | | |
8.50% | | | 08/20/24 | | | | 1,740 | | | | 2,056 | |
| Ginnie Mae II Pool 2020 | | | | | | | | | |
8.50% | | | 06/20/25 | | | | 3,621 | | | | 4,298 | |
| Ginnie Mae II Pool 2286 | | | | | | | | | |
8.50% | | | 09/20/26 | | | | 3,344 | | | | 3,978 | |
| Ginnie Mae II Pool 2487 | | | | | | | | | |
8.50% | | | 09/20/27 | | | | 21,636 | | | | 25,797 | |
| Ginnie Mae II Pool 80059 | | | | | | | | | |
3.38% | | | 04/20/27 | 3 | | | 55,886 | | | | 57,670 | |
| Ginnie Mae II Pool 80589 | | | | | | | | | |
3.50% | | | 03/20/32 | 3 | | | 157,836 | | | | 163,343 | |
| Ginnie Mae II Pool 80610 | | | | | | | | | |
3.38% | | | 06/20/32 | 3 | | | 39,374 | | | | 40,632 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
3.63% | | | 07/20/34 | 3 | | | 1,088,889 | | | | 1,121,988 | |
| Ginnie Mae II Pool 81201 | | | | | | | | | |
3.00% | | | 01/20/35 | 3 | | | 27,165 | | | | 27,972 | |
| Ginnie Mae II Pool 8599 | | | | | | | | | |
3.38% | | | 02/20/25 | 3 | | | 48,147 | | | | 49,781 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 256,870,456 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $634,172,052) | | | | 589,159,956 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.01%* | | | | | |
California — 0.48% | | | | | |
| State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3 | | | | | | | | | |
5.45% | | | 04/01/15 | | | | 1,715,000 | | | | 1,849,113 | |
| State of California, Refunding Bonds, G.O., Taxable Variable Purpose | | | | | | | | | |
4.85% | | | 10/01/14 | | | | 4,500,000 | | | | 4,748,355 | |
| State of California, School Improvements, G.O., Taxable Variable Purpose | | | | | | | | | |
5.50% | | | 03/01/16 | | | | 1,775,000 | | | | 1,912,135 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,509,603 | |
| | | | | | | | | | | | |
Illinois — 0.53% | | | | | |
| State of Illinois, Pension Funding G.O., Taxable | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 8,900,000 | | | | 9,228,054 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
26 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | | | | | |
Illinois (continued) | | | | | |
Total Municipal Bonds (Cost $16,971,930) | | | $ | 17,737,657 | |
| | | | | | | | | | | | |
U.S. AGENCY SECURITIES — 8.37% | |
| Fannie Mae | | | | | | | | | |
0.28% | | | 08/23/12 | 3 | | $ | 18,620,000 | | | | 18,624,500 | |
| Fannie Mae 1 | | | | | | | | | |
2.00% | | | 04/19/13 | | | | 15,795,000 | | | | 16,020,500 | |
| Federal Home Loan Bank | | | | | | | | | |
0.37% | | | 06/15/11 | 3 | | | 32,665,000 | | | | 32,693,517 | |
| Federal Home Loan Bank (STEP) | | | | | | | | | |
0.75% | | | 03/28/13 | | | | 6,435,000 | | | | 6,446,840 | |
| Freddie Mac | | | | | | | | | |
0.24% | | | 05/11/12 | 3 | | | 16,805,000 | | | | 16,802,631 | |
0.33% | | | 11/07/11 | 3 | | | 8,880,000 | | | | 8,886,722 | |
0.58% | | | 02/03/12 | 3 | | | 14,440,000 | | | | 14,453,371 | |
1.00% | | | 08/28/12 | | | | 16,365,000 | | | | 16,521,450 | |
1.25% | | | 01/26/12 | | | | 16,405,000 | | | | 16,444,651 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $146,550,560) | | | | 146,894,182 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 8.47% | |
U.S. Treasury Notes — 8.47% | | | | | |
| U.S. Treasury Notes | | | | | | | | | |
0.38% | | | 09/30/12 | | | | 100,000,000 | | | | 99,902,340 | |
0.88% | | | 04/30/11 | | | | 11,025,000 | | | | 11,067,421 | |
1.00% | | | 08/31/11 | | | | 11,025,000 | | | | 11,099,937 | |
1.25% | | | 09/30/15 | | | | 26,770,000 | | | | 26,732,356 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities (Cost $148,749,686) | | | | 148,802,054 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 95.91% (Cost $1,767,307,867) | | | | | | | | 1,684,340,175 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS — 6.72% | |
Money Market Fund — 1.92% | | | | | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.25%10 | | | | | | | 3,110,000 | | | | 3,110,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.21%10 | | | | | | | 6,415,000 | | | | 6,415,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.16%10,11 | | | | | | | 24,226,100 | | | | 24,226,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 33,751,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Agency Discount Notes — 4.75% | |
| Fannie Mae | | | | | | | | | |
0.29%12 | | | 07/01/11 | | | $ | 8,425,000 | | | $ | 8,411,587 | |
| Federal Home Loan Bank | | | | | | | | | |
0.25%12 | | | 01/21/11 | | | | 75,000,000 | | | | 74,967,300 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 83,378,887 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.05% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.18%12 | | | 02/10/11 | 13 | | | 840,000 | | | | 839,594 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $117,939,848) | | | | 117,969,581 | |
| | | | | | | | | | | | |
| |
Total Investments – 102.63% (Cost $1,885,247,715)1 | | | | 1,802,309,756 | |
| | | | | | | | | | | | |
Liabilities in Excess of Other Assets – (2.63)% | | | | (46,141,489 | ) |
| | | | | | | | | | | | |
| Net Assets – 100.00% | | | $ | 1,756,168,267 | |
| | | | | | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized Appreciation | |
FUTURES CONTRACTS: LONG POSITIONS | |
| 615 | | U.S. Treasury Two Year Note, Expiration December 2010 | | | $247,837 | |
| | | | | | |
| | Net unrealized appreciation | | | $247,837 | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | | Premiums Paid/ (Received) | | | Notional Amount (000’s)b | | | Appreciation/ (Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley | |
| | | 09/20/12 | | | | $— | | | | $4,250 | | | | $ (16,010) | | | | $ (16,010) | |
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 | | | | (1,778) | | | | (1,778) | |
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 | | | | (6,398) | | | | (6,398) | |
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 | | | | (99,661) | | | | (99,661) | |
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 | | | | (145,225) | | | | (145,225) | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 27
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | | Premiums Paid/ (Received) | | | Notional Amount (000’s)b | | | Appreciation/ (Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) 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 | | | | $ – | | | | $1,425 | | | | $ (12,178) | | | $ | (12,178 | ) |
| 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 | | | | – | | | | 1,325 | | | | (10,724 | ) | | | (10,724 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG | |
| | | 03/20/13 | | | | – | | | | 900 | | | | (36,371 | ) | | | (36,371 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley | |
| | | 03/20/13 | | | | – | | | | 900 | | | | (36,371 | ) | | | (36,371 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 06/20/13 | | | | – | | | | 1,600 | | | | (51,114 | ) | | | (51,114 | ) |
| 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 | | | | (25,742 | ) | | | (25,742 | ) |
| 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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG | |
| | | 03/20/14 | | | | – | | | | 275 | | | | (13,517 | ) | | | (13,517 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston | |
| | | 12/20/14 | | | | (39,920 | ) | | | 2,930 | | | | (18,649 | ) | | | (58,569 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG | |
| | | 12/20/14 | | | | (39,988 | ) | | | 2,935 | | | | (18,681 | ) | | | (58,669 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | | 03/20/15 | | | | – | | | | 1,800 | | | | (108,253 | ) | | | (108,253 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | | 09/20/16 | | | | 43,472 | | | | 1,170 | | | | 68,639 | | | | 112,111 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | | 09/20/16 | | | | 46,074 | | | | 895 | | | | 39,686 | | | | 85,760 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 45,817 | | | | 890 | | | | 39,464 | | | | 85,281 | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | | Premiums Paid/ (Received) | | | Notional Amount (000’s)b | | | Appreciation/ (Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | $137,123 | | | | $ 4,200 | | | | $ 313,314 | | | $ | 450,437 | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 126,056 | | | | 3,600 | | | | 260,032 | | | | 386,088 | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 33,903 | | | | 1,900 | | | | 169,866 | | | | 203,769 | |
| The Fund pays a fixed rate equal to 1.00% 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: CS First Boston | |
| | | 09/20/16 | | | | 64,788 | | | | 1,900 | | | | 138,981 | | | | 203,769 | |
| The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 79,594 | | | | 2,275 | | | | 164,393 | | | | 243,987 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | | 09/20/16 | | | | 25,415 | | | | 9,950 | | | | 657,296 | | | | 682,711 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $522,334 | | | | $54,045 | | | | $1,250,999 | | | | $1,773,333 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Expiration Date | | Credit Ratinga | | | Premiums Paid/ (Received) | | Notional Amount (000’s)b | | | Appreciation | | | ValueC | |
| SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | | | | | |
| The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
| 12/20/10 | | | AAA | | | $– | | | $3,250 | | | | $ 47,112 | | | | $ 47,112 | |
| The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire | |
| Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc. | |
| 03/20/11 | | | AAA | | | – | | | 5,500 | | | | 87,028 | | | | 87,028 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | $– | | | $8,750 | | | | $134,140 | | | | $134,140 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | | Premiums Paid/ (Received) | | | Notional Amount (000’s)b | | | Appreciation | | | ValueC | |
| SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES | |
| 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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | 01/25/38 | | | | $(3,480,334) | | | | $5,776 | | | | $497,672 | | | | $(2,982,662) | |
| 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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | 01/25/38 | | | | (2,527,374) | | | | 3,950 | | | | 483,527 | | | | (2,043,847) | |
See accompanying notes to Schedule of Portfolio Investments.
28 / Semi-Annual Report September 2010
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | |
| | 01/25/38 | | $ | (3,965,593 | ) | | $ | 5,925 | | | $ | 899,823 | | | $ | (3,065,770 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | $ | (9,973,301 | ) | | $ | 15,651 | | | $ | 1,881,022 | | | $ | (8,092,279 | ) |
| | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $1,885,405,984 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 55,449,443 | |
Gross unrealized depreciation | | | (138,545,671 | ) |
| | | | |
Net unrealized depreciation | | $ | (83,096,228 | ) |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $153,933,618, representing 8.77% of total net assets. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,573,171, which is 0.37% of total net assets. |
| 6 | Security is currently in default with regard to scheduled interest or principal payments. |
| 7 | Non-income producing security. |
| 9 | 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
Total
Net Assets | |
07/03/07 | | Asurion Corp. Term Loan, | | | | | | | | | | | | | | | | |
| | 3.29%, 07/07/14 | | $ | 246,168 | | | $ | 236,981 | | | | 0.01 | % | | | | |
06/01/07 | | Carestream Health, Inc. | | | | | | | | | | | | | | | | |
| | Term Loan, 5.51%, | | | | | | | | | | | | | | | | |
| | 10/30/13 | | | 503,317 | | | | 471,250 | | | | 0.03 | % | | | | |
06/27/07 | | Cengage Learning Term | | | | | | | | | | | | | | | | |
| | Loan B, 2.54%, 07/03/14 | | | 723,573 | | | | 655,328 | | | | 0.04 | % | | | | |
06/04/07 | | Charter Communications, | | | | | | | | | | | | | | | | |
| | Inc. Term Loan 3rd Lien, | | | | | | | | | | | | | | | | |
| | 2.76%, 09/06/14 | | | 501,699 | | | | 467,188 | | | | 0.03 | % | | | | |
04/25/07 | | Delta Air Lines, Inc. Term | | | | | | | | | | | | | | | | |
| | Loan 1st Lien, 1.96%, | | | | | | | | | | | | | | | | |
| | 04/30/12 | | | 960,102 | | | | 928,899 | | | | 0.05 | % | | | | |
12/30/08 | | Dex Media West LLC | | | | | | | | | | | | | | | | |
| | Term Loan, 7.23%, | | | | | | | | | | | | | | | | |
| | 10/24/14 | | | 510,459 | | | | 696,760 | | | | 0.04 | % | | | | |
10/22/07 | | HCA Term Loan A, 1.79%, | | | | | | | | | | | | | | | | |
| | 11/17/12 | | | 5,941,023 | | | | 5,881,901 | | | | 0.33 | % | | | | |
11/06/07 | | TPF Generation Holdings | | | | | | | | | | | | | | | | |
| | LLC 2nd Lien, 4.54%, | | | | | | | | | | | | | | | | |
| | 12/15/14 | | | 243,689 | | | | 228,281 | | | | 0.02 | % | | | | |
10/31/07 | | TXU Energy Term Loan | | | | | | | | | | | | | | | | |
| | B3, 3.76%, 10/10/14 | | | 485,000 | | | | 376,346 | | | | 0.02 | % | | | | |
02/01/07 | | United Air Lines, Inc., | | | | | | | | | | | | | | | | |
| | 2.31%, 02/01/14 | | | 343,611 | | | | 324,426 | | | | 0.02 | % | | | | |
11/30/07 | | Univision Communica- | | | | | | | | | | | | | | | | |
| | tions, Inc. 1st Lien Strip, | | | | | | | | | | | | | | | | |
| | 2.51%, 09/29/14 | | | 117,916 | | | | 108,437 | | | | 0.00 | % | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 10,576,557 | | | $ | 10,375,797 | | | | 0.59 | % | | | | |
| | | | | | | | | | | | | | | | | | |
| 10 | Represents the current yield as of September 30, 2010. |
| 11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $24,226,100. |
| 12 | Represents annualized yield at date of purchase. |
| 13 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $689,641. |
| † | Fair valued security. The aggregate value of fair valued securities is $24,916,883, which is 1.42% 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 ASC 820, 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. |
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.)
(G.O.): General Obligation
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 29
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 104.12% | |
ASSET-BACKED SECURITIES — 14.28%** | |
| ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.72% | | | 07/15/33 | | | $ | 2,433 | | | $ | 2,431 | |
| Aerco Ltd. 2A A3 (United Kingdom) | | | | | | | | | |
0.72% | | | 07/15/25 | 2,3,4 | | | 1,528,670 | | | | 1,073,891 | |
| Aerco Ltd. 2A A4 (United Kingdom) | | | | | | | | | |
0.78% | | | 07/15/25 | 2,3,4 | | | 623,750 | | | | 577,817 | |
| Aircastle Aircraft Lease Backed Trust 2007-1A G1 | | | | | | | | | |
0.52% | | | 06/14/37 | 3,4,† | | | 761,885 | | | | 643,798 | |
| Ameriquest Mortgage Securities, Inc. 2005-R6 A2 | | | | | | | | | |
0.46% | | | 08/25/35 | 3 | | | 832,048 | | | | 795,566 | |
| Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda) | | | | | | | | | |
0.65% | | | 11/14/33 | 2,3,4,† | | | 944,309 | | | | 782,602 | |
| Bayview Financial Acquisition Trust 2005-A A1 | | | | | | | | | |
1.26% | | | 02/28/40 | 3,4 | | | 699,827 | | | | 380,934 | |
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | |
1.26% | | | 12/28/40 | 3,4 | | | 1,140,787 | | | | 625,045 | |
| Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP) | | | | | | | | | |
6.89% | | | 12/25/34 | | | | 12,501 | | | | 12,253 | |
| Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands) | | | | | | | | | |
5.16% | | | 02/10/38 | 2,4,† | | | 530,552 | | | | 504,994 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4 | | | | | | | | | |
5.32% | | | 02/25/35 | | | | 14,010 | | | | 13,637 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 1,526,500 | | | | 832,155 | |
| Conseco Finance 2001-D A5 | | | | | | | | | |
6.19% | | | 11/15/32 | 3 | | | 140,203 | | | | 144,062 | |
| Conseco Finance 2002-A A5 (STEP) | | | | | | | | | |
7.55% | | | 04/15/32 | | | | 257,671 | | | | 276,816 | |
| Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 303,039 | | | | 232,596 | |
| Conseco Finance 2002-C MF2 | | | | | | | | | |
6.98% | | | 06/15/32 | 3 | | | 15,287 | | | | 15,458 | |
| Conseco Finance Home Loan Trust 2000-E M1 | | | | | | | | | |
8.13% | | | 08/15/31 | 3 | | | 104,232 | | | | 103,065 | |
| Conseco Financial Corp. 1996-7 M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 1,060,000 | | | | 1,125,705 | |
| Countrywide Asset-Backed Certificates 2004-AB1 2A3 | | | | | | | | | |
1.30% | | | 02/25/35 | 3 | | | 621,688 | | | | 611,781 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1 | | | | | | | | | |
0.32% | | | 04/25/37 | 3 | | $ | 430,504 | | | $ | 306,659 | |
| Discover Card Master Trust 2009-A2 A | | | | | | | | | |
1.56% | | | 02/17/15 | 3 | | | 325,000 | | | | 330,489 | |
| First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1 | | | | | | | | | |
0.49% | | | 12/25/37 | 3 | | | 2,500,000 | | | | 81,555 | |
| GE SeaCo Finance SRL 2004-1A A (Barbados) | | | | | | | | | |
0.56% | | | 04/17/19 | 2,3,4 | | | 394,167 | | | | 376,640 | |
| GE SeaCo Finance SRL 2005-1A A (Barbados) | | | | | | | | | |
0.51% | | | 11/17/20 | 2,3,4 | | | 594,167 | | | | 547,427 | |
| Genesis Funding Ltd. 2006-1A G1 (Bermuda) | | | | | | | | | |
0.50% | | | 12/19/32 | 2,3,4,† | | | 776,071 | | | | 653,852 | |
| Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 27 | | | | 25 | |
| Green Tree Home Improvement Loan Trust 1997-E HEB1 | | | | | | | | | |
7.53% | | | 01/15/29 | | | | 461,945 | | | | 456,753 | |
| HSBC Home Equity Loan Trust 2006-4 A3V | | | | | | | | | |
0.41% | | | 03/20/36 | 3 | | | 1,500,000 | | | | 1,420,195 | |
| HSBC Home Equity Loan Trust 2007-2 M1 | | | | | | | | | |
0.57% | | | 07/20/36 | 3 | | | 1,110,000 | | | | 680,205 | |
| IndyMac Manufactured Housing Contract 1997-1 A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 521,343 | | | | 487,979 | |
| IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 172,719 | | | | 162,482 | |
| JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3 | | | | | | | | | |
0.45% | | | 05/25/35 | 3 | | | 1,012,382 | | | | 900,600 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH4 A3 | | | | | | | | | |
0.37% | | | 05/25/37 | 3 | | | 1,195,000 | | | | 774,787 | |
| Keystone Owner Trust 1998-P1 M2 | | | | | | | | | |
7.93% | | | 05/25/25 | 4 | | | 17,558 | | | | 17,558 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C | | | | | | | | | |
0.44% | | | 06/25/37 | 3 | | | 811,700 | | | | 389,965 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D | | | | | | | | | |
0.51% | | | 06/25/37 | 3 | | | 1,500,000 | | | | 714,541 | |
| Mid-State Trust 11 A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 1,331,267 | | | | 1,342,897 | |
| Mid-State Trust 2004-1 A | | | | | | | | | |
6.01% | | | 08/15/37 | | | | 315,878 | | | | 329,140 | |
| Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 874,740 | | | | 867,184 | |
See accompanying notes to Schedule of Portfolio Investments.
30 / Semi-Annual Report September 2010
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Mid-State Trust 2005-1 M2 | | | | | | | | | |
7.08% | | | 01/15/40 | | | $ | 1,056,311 | | | $ | 981,652 | |
| Nationstar Home Equity Loan Trust 2006-B AV4 | | | | | | | | | |
0.54% | | | 09/25/36 | 3 | | | 2,450,000 | | | | 1,342,963 | |
| Nationstar Home Equity Loan Trust 2007-C 2AV2 | | | | | | | | | |
0.39% | | | 06/25/37 | 3 | | | 1,150,000 | | | | 912,844 | |
| Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 33,799 | | | | 33,953 | |
| Option One Mortgage Loan Trust 2007-6 2A4 | | | | | | | | | |
0.51% | | | 07/25/37 | 3 | | | 2,159,800 | | | | 916,677 | |
| Peach Finance Co. 2000 A | | | | | | | | | |
4.71% | | | 04/15/48 | 4,† | | | 825,042 | | | | 844,766 | |
| Residential Asset Mortgage Products, Inc. 2002-RS4 AI5 (STEP) | | | | | | | | | |
6.16% | | | 08/25/32 | | | | 2,220 | | | | 1,318 | |
| Residential Asset Mortgage Products, Inc. 2003-RS1 AI5 (STEP) | | | | | | | | | |
5.69% | | | 03/25/33 | | | | 15,836 | | | | 8,394 | |
| Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP) | | | | | | | | | |
3.87% | | | 07/25/33 | | | | 22,790 | | | | 21,317 | |
| Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3,4 | | | 118,352 | | | | 17,178 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C | | | | | | | | | |
0.41% | | | 07/25/36 | 3 | | | 2,700,000 | | | | 1,015,799 | |
| SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3 | | | 85,986 | | | | 53,961 | |
| Soundview Home Equity Loan Trust 2006-WF2 A2C | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 1,680,000 | | | | 1,435,375 | |
| Soundview Home Equity Loan Trust 2007-OPT1 2A2 | | | | | | | | | |
0.41% | | | 06/25/37 | 3 | | | 1,872,000 | | | | 790,113 | |
| Soundview Home Equity Loan Trust 2007-OPT3 2A2 | | | | | | | | | |
0.39% | | | 08/25/37 | 3 | | | 1,170,000 | | | | 821,960 | |
| SVO VOI Mortgage Corp. 2003-AA A | | | | | | | | | |
3.95% | | | 02/20/19 | 4 | | | 46,277 | | | | 46,733 | |
| Terwin Mortgage Trust 2005-9HGS A1 | | | | | | | | | |
4.00% | | | 08/25/35 | 3,4 | | | 22,272 | | | | 21,634 | |
| Textainer Marine Containers Ltd. 2005-1A A (Bermuda) | | | | | | | | | |
0.51% | | | 05/15/20 | 2,3,4 | | | 490,000 | | | | 453,879 | |
| Triton Container Finance LLC 2006-1A | | | | | | | | | |
0.43% | | | 11/26/21 | 3,4 | | | 693,750 | | | | 624,812 | |
| Triton Container Finance LLC 2007-1A | | | | | | | | | |
0.40% | | | 02/26/19 | 3,4 | | | 427,865 | | | | 395,650 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 3 | | $ | 3,657 | | | $ | 1,622 | |
| UCFC Home Equity Loan 1998-D MF1 | | | | | | | | | |
6.91% | | | 04/15/30 | | | | 118,429 | | | | 112,830 | |
| Wells Fargo Home Equity Trust 2006-1 A3 | | | | | | | | | |
0.41% | | | 05/25/36 | 3 | | | 426,541 | | | | 414,380 | |
| | | | | | | | | | | | |
| Total Asset-Backed Securities | | | | | |
| (Cost $30,892,609) | | | | 30,865,349 | |
| | | | | | | | | | | | |
| CORPORATES — 31.43%* | |
| Banking — 5.89% | | | | | |
| ANZ National International Ltd. (New Zealand) | | | | | | | | | |
6.20% | | | 07/19/13 | 2,4 | | | 600,000 | | | | 667,259 | |
| BAC Capital Trust XV | | | | | | | | | |
1.10% | | | 06/01/56 | 3 | | | 1,432,000 | | | | 909,273 | |
| Bank of America N.A. | | | | | | | | | |
0.59% | | | 06/15/17 | 3 | | | 600,000 | | | | 502,697 | |
| Barclays Bank Plc (United Kingdom) | | | | | | | | | |
5.20% | | | 07/10/14 | 2 | | | 850,000 | | | | 943,143 | |
| Capital One Financial Corp. (MTN) | | | | | | | | | |
5.70% | | | 09/15/11 | | | | 876,000 | | | | 911,767 | |
| Credit Suisse/Guernsey 1 (Switzerland) | | | | | | | | | |
1.07% | | | 05/29/49 | 2,3 | | | 770,000 | | | | 543,813 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
5.00% | | | 05/15/13 | 2 | | | 700,000 | | | | 763,074 | |
| Credit Suisse/New York (Switzerland) | | | | | | | | | |
5.50% | | | 05/01/14 | 2 | | | 500,000 | | | | 560,547 | |
6.00% | | | 02/15/18 | 2 | | | 575,000 | | | | 635,964 | |
| Deutsche Bank AG/London (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 2 | | | 760,000 | | | | 826,075 | |
| Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | | 01/19/49 | 3,4 | | | 120,000 | | | | 105,000 | |
| HBOS Plc (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 915,000 | | | | 920,743 | |
| JPMorgan Chase Bank N.A. | | | | | | | | | |
0.62% | | | 06/13/16 | 3 | | | 600,000 | | | | 558,440 | |
6.00% | | | 07/05/17 | | | | 600,000 | | | | 680,101 | |
| Lloyds Banking Group Capital No. 1 Plc (United Kingdom) | | | | | | | | | |
8.00% | | | 12/29/49 | 2,3 | | | 650,000 | | | | 604,500 | |
| Nationsbank Capital Trust III | | | | | | | | | |
1.08% | | | 01/15/27 | 3 | | | 616,000 | | | | 433,111 | |
| Royal Bank of Scotland Plc (The) (United Kingdom) | | | | | | | | | |
3.95% | | | 09/21/15 | 2 | | | 1,000,000 | | | | 1,012,802 | |
| Svenska Handelsbanken AB (Sweden) | | | | | | | | | |
4.88% | | | 06/10/14 | 2,4 | | | 825,000 | | | | 902,528 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 31
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Banking (continued) | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | $ | 239,000 | | | $ | 262,867 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,743,704 | |
| | | | | | | | | | | | |
| |
| Communications — 0.71% | | | | | |
Cellco Partnership /Verizon Wireless Capital LLC | | | | | | | | | |
5.55% | | | 02/01/14 | | | | 350,000 | | | | 396,104 | |
| Qwest Corp. | | | | | | | | | |
7.88% | | | 09/01/11 | | | | 575,000 | | | | 610,219 | |
| Telecom Italia Capital SA (Luxembourg) | | | | | | | | | |
6.20% | | | 07/18/11 | 2 | | | 520,000 | | | | 538,851 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,545,174 | |
| | | | | | | | | | | | |
| |
| Electric — 3.12% | | | | | |
| Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 4 | | | 280,927 | | | | 293,413 | |
| Entergy Louisiana LLC | | | | | | | | | |
5.83% | | | 11/01/10 | | | | 758,000 | | | | 759,701 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 1,060,000 | | | | 1,220,301 | |
| NiSource Finance Corp. | | | | | | | | | |
10.75% | | | 03/15/16 | | | | 900,000 | | | | 1,190,086 | |
| PG&E Corp. | | | | | | | | | |
5.75% | | | 04/01/14 | | | | 910,000 | | | | 1,024,052 | |
| Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | | 05/15/18 | | | | 475,000 | | | | 525,026 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | | 01/15/19 | | | | 534,000 | | | | 620,304 | |
| Texas-New Mexico Power Co. | | | | | | | | | |
9.50% | | | 04/01/19 | 4 | | | 800,000 | | | | 1,053,588 | |
| Union Electric Co. | | | | | | | | | |
6.70% | | | 02/01/19 | | | | 54,000 | | | | 65,760 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,752,231 | |
| | | | | | | | | | | | |
| |
| Energy — 2.29% | | | | | |
| CenterPoint Energy Resources Corp. B | | | | | | | | | |
7.88% | | | 04/01/13 | | | | 450,000 | | | | 518,473 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 935,000 | | | | 906,950 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 910,000 | | | | 821,275 | |
| Tennessee Gas Pipeline Co. | | | | | | | | | |
8.00% | | | 02/01/16 | | | | 1,000,000 | | | | 1,195,000 | |
| Valero Energy Corp. | | | | | | | | | |
9.38% | | | 03/15/19 | | | | 1,071,000 | | | | 1,369,838 | |
| Williams Cos., Inc. (The) | | | | | | | | | |
7.88% | | | 09/01/21 | | | | 112,000 | | | | 136,252 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,947,788 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Finance — 12.30% | | | | | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
7.25% | | | 02/01/18 | | | $ | 1,140,000 | | | $ | 1,390,711 | |
| Citigroup Funding, Inc. 2 | | | | | | | | | |
0.81% | | | 04/30/12 | 3 | | | 655,000 | | | | 659,090 | |
| Citigroup, Inc. | | | | | | | | | |
0.87% | | | 08/25/36 | 3 | | | 205,000 | | | | 130,729 | |
5.50% | | | 04/11/13 | | | | 451,000 | | | | 484,138 | |
5.50% | | | 10/15/14 | | | | 371,000 | | | | 402,926 | |
6.00% | | | 08/15/17 | | | | 250,000 | | | | 270,532 | |
6.38% | | | 08/12/14 | | | | 535,000 | | | | 596,885 | |
6.50% | | | 08/19/13 | | | | 408,000 | | | | 451,085 | |
8.50% | | | 05/22/19 | | | | 300,000 | | | | 371,495 | �� |
| Countrywide Financial Corp. (MTN) | | | | | | | | | |
5.80% | | | 06/07/12 | | | | 625,000 | | | | 667,892 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
8.63% | | | 11/01/10 | | | | 319,000 | | | | 320,567 | |
| General Electric Capital Corp. | | | | | | | | | |
5.63% | | | 05/01/18 | | | | 730,000 | | | | 812,140 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
1.24% | | | 05/22/13 | 3 | | | 340,000 | | | | 339,854 | |
6.88% | | | 01/10/39 | | | | 300,000 | | | | 345,674 | |
| General Electric Capital Corp. A (MTN) | | | | | | | | | |
0.55% | | | 09/15/14 | 3 | | | 1,394,000 | | | | 1,339,369 | |
| General Electric Capital Corp. E (MTN) | | | | | | | | | |
0.48% | | | 03/20/14 | 3 | | | 300,000 | | | | 285,812 | |
| General Electric Capital Corp. G (MTN) | | | | | | | | | |
2.00% | | | 09/28/12 | | | | 2,000,000 | | | | 2,054,962 | |
2.63% | | | 12/28/12 | | | | 990,000 | | | | 1,032,790 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
0.60% | | | 02/06/12 | 3 | | | 210,000 | | | | 208,737 | |
1.06% | | | 12/05/11 | 3 | | | 785,000 | | | | 792,591 | |
5.13% | | | 01/15/15 | | | | 750,000 | | | | 812,703 | |
6.15% | | | 04/01/18 | | | | 600,000 | | | | 666,536 | |
7.50% | | | 02/15/19 | | | | 800,000 | | | | 956,633 | |
| Goldman Sachs Group, Inc. (The) (MTN) | | | | | | | | | |
6.00% | | | 05/01/14 | | | | 250,000 | | | | 279,140 | |
| Goldman Sachs Group, Inc. B (The) (MTN) | | | | | | | | | |
0.91% | | | 07/22/15 | 3 | | | 100,000 | | | | 94,098 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 4 | | | 1,000,000 | | | | 1,075,000 | |
| JPMorgan Chase Capital XIII M | | | | | | | | | |
1.24% | | | 09/30/34 | 3 | | | 1,070,000 | | | | 811,714 | |
| Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | | 06/20/16 | 3,5,6 | | | 452,000 | | | | 92,660 | |
8.92% | | | 02/16/17 | 5,6 | | | 260,000 | | | | 53,300 | |
11.00% | | | 11/07/16 | 3,5,6 | | | 502,000 | | | | 102,910 | |
| Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | | 11/30/10 | 3,5,6 | | | 271,000 | | | | 55,555 | |
See accompanying notes to Schedule of Portfolio Investments.
32 / Semi-Annual Report September 2010
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Finance (continued) | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
8.68% | | | 05/02/17 | 3 | | $ | 510,000 | | | $ | 559,725 | |
8.95% | | | 05/18/17 | 3 | | | 410,000 | | | | 452,025 | |
9.57% | | | 06/06/17 | 3 | | | 319,000 | | | | 359,673 | |
| Morgan Stanley | | | | | | | | | |
0.64% | | | 06/20/12 | 3 | | | 1,150,000 | | | | 1,157,177 | |
0.69% | | | 02/10/12 | 3 | | | 2,140,000 | | | | 2,150,133 | |
0.77% | | | 01/18/11 | 3 | | | 345,000 | | | | 345,022 | |
1.01% | | | 10/15/15 | 3 | | | 187,000 | | | | 171,729 | |
5.38% | | | 10/15/15 | | | | 800,000 | | | | 859,339 | |
6.75% | | | 04/15/11 | | | | 180,000 | | | | 185,421 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.97% | | | 10/18/16 | 3 | | | 570,000 | | | | 500,905 | |
| Morgan Stanley G (MTN) | | | | | | | | | |
0.83% | | | 01/09/14 | 3 | | | 615,000 | | | | 581,769 | |
| Pemex Finance Ltd. (Cayman Islands) | | | | | | | | | |
8.88% | | | 11/15/10 | 2 | | | 25,000 | | | | 25,262 | |
| Power Receivable Finance LLC | | | | | | | | | |
6.29% | | | 01/01/12 | | | | 146,768 | | | | 149,797 | |
| Prime Property Funding II, Inc. | | | | | | | | | |
5.60% | | | 06/15/11 | 4 | | | 206,000 | | | | 209,906 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.17% | | | 12/18/17 | 3,4 | | | 500,000 | | | | 432,997 | |
| ZFS Finance USA Trust I | | | | | | | | | |
6.15% | | | 12/15/65 | 3,4 | | | 500,000 | | | | 497,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,596,608 | |
| | | | | | | | | | | | |
| Health Care — 1.02% | |
| HCA, Inc. | | | | | | | | | |
8.50% | | | 04/15/19 | | | | 430,000 | | | | 477,300 | |
| UnitedHealth Group, Inc. | | | | | | | | | |
4.88% | | | 02/15/13 | | | | 760,000 | | | | 817,283 | |
| WellPoint, Inc. | | | | | | | | | |
6.00% | | | 02/15/14 | | | | 800,000 | | | | 906,667 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,201,250 | |
| | | | | | | | | | | | |
| Insurance — 1.50% | |
| Allied World Assurance Co. Holdings Ltd. (Bermuda) | | | | | | | | | |
7.50% | | | 08/01/16 | 2 | | | 244,000 | | | | 276,172 | |
| Fairfax Financial Holdings Ltd. (Canada) | | | | | | | | | |
7.75% | | | 04/26/12 | 2 | | | 375,000 | | | | 395,156 | |
| MetLife, Inc. | | | | | | | | | |
7.72% | | | 02/15/19 | | | | 270,000 | | | | 344,184 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
5.13% | | | 06/10/14 | 4 | | | 800,000 | | | | 888,262 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
6.60% | | | 04/15/34 | 4 | | | 440,000 | | | | 393,641 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Insurance (continued) | |
| Pricoa Global Funding I | | | | | | | | | |
5.45% | | | 06/11/14 | 4 | | $ | 850,000 | | | $ | 948,564 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,245,979 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.11% | |
| Duke Realty LP | | | | | | | | | |
6.25% | | | 05/15/13 | | | | 790,000 | | | | 855,309 | |
| HCP, Inc. | | | | | | | | | |
7.07% | | | 06/08/15 | | | | 200,000 | | | | 225,837 | |
| HCP, Inc. (MTN) | | | | | | | | | |
5.95% | | | 09/15/11 | | | | 820,000 | | | | 852,544 | |
6.30% | | | 09/15/16 | | | | 500,000 | | | | 543,757 | |
| Health Care REIT, Inc. | | | | | | | | | |
4.70% | | | 09/15/17 | | | | 1,000,000 | | | | 1,012,014 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
5.88% | | | 03/15/13 | | | | 68,000 | | | | 74,021 | |
| Simon Property Group LP | | | | | | | | | |
4.20% | | | 02/01/15 | | | | 400,000 | | | | 429,737 | |
| UDR, Inc. (MTN) | | | | | | | | | |
5.00% | | | 01/15/12 | | | | 80,000 | | | | 82,581 | |
5.25% | | | 01/15/15 | | | | 1,000,000 | | | | 1,062,882 | |
| WEA Finance LLC | | | | | | | | | |
7.13% | | | 04/15/18 | 4 | | | 775,000 | | | | 912,770 | |
| WEA Finance LLC/WT Finance | | | | | | | | | |
7.50% | | | 06/02/14 | 4 | | | 570,000 | | | | 665,690 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,717,142 | |
| | | | | | | | | | | | |
| Transportation — 1.49% | |
| Continental Airlines Pass-Through Trust 1997-4 A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 79,324 | | | | 82,496 | |
| Continental Airlines Pass-Through Trust | | | | | | | | | |
1999-2 A-1 | | | | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 392,764 | | | | 412,402 | |
| Continental Airlines Pass-Through Trust 2007-1 A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 366,394 | | | | 380,592 | |
| Delta Air Lines, Inc. 2001 A2 | | | | | | | | | |
7.11% | | | 09/18/11 | | | | 1,202,000 | | | | 1,268,110 | |
| JetBlue Airways Pass-Through Trust 2004-2 G1 | | | | | | | | | |
0.75% | | | 08/15/16 | 3 | | | 19,619 | | | | 17,730 | |
| Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | | 04/01/11 | | | | 400,000 | | | | 410,000 | |
| Northwest Airlines, Inc. 2001-1 A1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 205,084 | | | | 214,525 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 33
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
| UAL Pass-Through Trust 2009-2 A | | | | | | | | | |
9.75% | | | 01/15/17 | | | $ | 380,690 | | | $ | 425,421 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,211,276 | |
| | | | | | | | | | | | |
Total Corporates (Cost $63,036,967) | | | | | | | | 67,961,152 | |
| | | | | | | | | | | | |
BANK LOANS — 0.20%* | | | | | |
Health Care — 0.20% | | | | | |
HCA Term Loan A | | | | | | | | | |
1.79% | | | 11/17/12 | 7 | | | 455,133 | | | | 440,204 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $449,209) | | | | | | | | | |
|
MORTGAGE-BACKED — 30.92%** | |
| Commercial Mortgage-Backed — 6.74% | |
| Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4 | | | | | | | | | |
5.19% | | | 05/11/39 | 3 | | | 40,000 | | | | 43,322 | |
| Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | | 950,000 | | | | 1,049,331 | |
| Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4 | | | | | | | | | |
5.54% | | | 09/11/41 | | | | 470,000 | | | | 514,584 | |
| Citigroup Commercial Mortgage Trust 2007-C6 A4 | | | | | | | | | |
5.89% | | | 12/10/49 | 3 | | | 40,000 | | | | 42,901 | |
| Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4 | | | | | | | | | |
5.32% | | | 12/11/49 | | | | 1,100,000 | | | | 1,142,170 | |
| Credit Suisse Mortgage Capital Certificates 2006-C5 A3 | | | | | | | | | |
5.31% | | | 12/15/39 | | | | 175,000 | | | | 182,370 | |
| First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | | 03/15/33 | | | | 294,749 | | | | 295,351 | |
| GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2 | | | | | | | | | |
6.96% | | | 09/15/35 | | | | 15,642 | | | | 15,629 | |
| Greenwich Capital Commercial Funding Corp. 2002-C1 A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 1,030,000 | | | | 1,089,216 | |
| Greenwich Capital Commercial Funding Corp. 2004-GG1 A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 980,000 | | | | 1,074,980 | |
| Greenwich Capital Commercial Funding Corp. 2006-GG7 A4 | | | | | | | | | |
6.08% | | | 07/10/38 | 3 | | | 1,605,000 | | | | 1,761,198 | |
| Greenwich Capital Commercial Funding Corp. 2007-GG9 A4 | | | | | | | | | |
5.44% | | | 03/10/39 | | | | 1,740,000 | | | | 1,837,399 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | $ | 1,010,000 | | | $ | 1,050,755 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4 | | | | | | | | | |
5.93% | | | 02/12/49 | 3 | | | 955,000 | | | | 1,004,914 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4 | | | | | | | | | |
5.88% | | | 02/15/51 | 3 | | | 465,000 | | | | 488,654 | |
Merrill Lynch /Countrywide Commercial Mortgage Trust 2006-4 A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 3 | | | 760,000 | | | | 788,644 | |
| Morgan Stanley Capital I 2007-IQ16 A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 2,060,000 | | | | 2,185,041 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,566,459 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 4.80% | |
| Banc of America Funding Corp. 2003-2 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 11,629 | | | | 12,131 | |
| Chevy Chase Mortgage Funding Corp. 2004-1A A1 | | | | | | | | | |
0.54% | | | 01/25/35 | 3,4 | | | 362,361 | | | | 275,011 | |
| Chevy Chase Mortgage Funding Corp. 2005-2A A1 | | | | | | | | | |
0.44% | | | 05/25/36 | 3,4 | | | 346,414 | | | | 189,200 | |
| Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.14% | | | 02/25/34 | 3 | | | 41,712 | | | | 41,413 | |
| Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
1.74% | | | 08/25/35 | 3 | | | 400,686 | | | | 222,020 | |
| Countrywide Alternative Loan Trust 2005-27 3A2 | | | | | | | | | |
1.49% | | | 08/25/35 | 3 | | | 39,922 | | | | 21,142 | |
| Countrywide Alternative Loan Trust 2005-72 A1 | | | | | | | | | |
0.53% | | | 01/25/36 | 3 | | | 841,045 | | | | 552,127 | |
| Countrywide Alternative Loan Trust 2006-OA16 A2 | | | | | | | | | |
0.45% | | | 10/25/46 | 3 | | | 2,388,563 | | | | 1,390,143 | |
| Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1 | | | | | | | | | |
5.09% | | | 08/25/34 | 3 | | | 485,252 | | | | 493,284 | |
| Deutsche ALT-A Securities, Inc. 2007-OA2 A1 | | | | | | | | | |
1.14% | | | 04/25/47 | 3 | | | 1,134,887 | | | | 701,478 | |
| First Horizon Asset Securities, Inc. 2002-7 2A2 | | | | | | | | | |
5.25% | | | 12/25/17 | | | | 69,026 | | | | 70,631 | |
| GSR Mortgage Loan Trust 2004-9 5A7 | | | | | | | | | |
3.87% | | | 08/25/34 | 3 | | | 1,469,000 | | | | 1,469,563 | |
See accompanying notes to Schedule of Portfolio Investments.
34 / Semi-Annual Report September 2010
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| IndyMac Index Mortgage Loan Trust 2004-AR6 6A1 | | | | | | | | | |
5.50% | | | 10/25/34 | 3 | | $ | 187,996 | | | $ | 174,693 | |
| IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A | | | | | | | | | |
0.66% | | | 11/25/34 | 3 | | | 58,020 | | | | 38,172 | |
| IndyMac Index Mortgage Loan Trust 2007-AR5 1A1 | | | | | | | | | |
5.18% | | | 05/25/37 | 3 | | | 21,760 | | | | 12,144 | |
| Lehman XS Trust 2007-12N 1A3A | | | | | | | | | |
0.46% | | | 07/25/47 | 3,† | | | 4,500,000 | | | | 1,440,032 | |
| Lehman XS Trust 2007-14H A12 | | | | | | | | | |
0.76% | | | 07/25/47 | 3 | | | 8,145,513 | | | | 634,389 | |
| MASTR Adjustable Rate Mortgages Trust 2004-1 2A1 | | | | | | | | | |
4.48% | | | 01/25/34 | 3 | | | 3,365 | | | | 3,143 | |
| MASTR Asset Securitization Trust 2002-8 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 8,494 | | | | 8,828 | |
| MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
3.15% | | | 10/25/32 | 3 | | | 4,224 | | | | 3,634 | |
| MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 127,465 | | | | 133,138 | |
| MASTR Seasoned Securities Trust 2005-1 4A1 | | | | | | | | | |
2.96% | | | 10/25/32 | 3 | | | 8,588 | | | | 8,167 | |
| Residential Accredit Loans, Inc. 2003-QS17 NB1 | | | | | | | | | |
5.25% | | | 09/25/33 | | | | 10,911 | | | | 10,914 | |
| Residential Asset Mortgage Products, Inc. 2003-SL1 A41 | | | | | | | | | |
8.00% | | | 04/25/31 | | | | 68,692 | | | | 70,355 | |
| Residential Asset Securitization Trust 2004-IP2 2A1 | | | | | | | | | |
2.82% | | | 12/25/34 | 3 | | | 118,820 | | | | 113,783 | |
| Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1 | | | | | | | | | |
0.53% | | | 08/25/35 | 3 | | | 1,426,712 | | | | 886,229 | |
| Structured Asset Mortgage Investments, Inc. 2005-AR8 A2 | | | | | | | | | |
1.87% | | | 02/25/36 | 3 | | | 1,555,740 | | | | 923,798 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
1.14% | | | 04/25/47 | 3 | | | 818,277 | | | | 461,352 | |
| Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
2.79% | | | 01/25/33 | 3 | | | 24,883 | | | | 24,139 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,385,053 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed — 19.38% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.50% | | | 10/25/25 | | | $ | 9,035,000 | | | $ | 9,322,991 | |
3.50% | | | 11/25/25 | | | | 4,765,000 | | | | 4,899,016 | |
| Fannie Mae 1989-25 G | | | | | | | | | |
6.00% | | | 06/25/19 | | | | 4,327 | | | | 4,829 | |
| Fannie Mae 1992-116 B | | | | | | | | | |
6.50% | | | 06/25/22 | | | | 597 | | | | 661 | |
| Fannie Mae 1993-225 SG | | | | | | | | | |
26.33% | | | 12/25/13 | 3 | | | 93,613 | | | | 120,485 | |
| Fannie Mae 1993-80 S | | | | | | | | | |
10.53% | | | 05/25/23 | 3 | | | 25,638 | | | | 31,489 | |
| Fannie Mae 2001-52 YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | | 623,432 | | | | 705,511 | |
| Fannie Mae 2003-27 SG (IO) | | | | | | | | | |
7.39% | | | 04/25/17 | 3 | | | 5,911,005 | | | | 433,667 | |
| Fannie Mae 2003-W6 5T (IO) | | | | | | | | | |
0.55% | | | 09/25/42 | 3 | | | 40,236,704 | | | | 722,378 | |
| Fannie Mae 2007-64 FA | | | | | | | | | |
0.73% | | | 07/25/37 | 3 | | | 1,278,607 | | | | 1,272,438 | |
| Fannie Mae 2008-50 SA (IO) | | | | | | | | | |
5.79% | | | 11/25/36 | 3 | | | 9,252,408 | | | | 1,308,239 | |
| Fannie Mae Pool 253974 | | | | | | | | | |
7.00% | | | 08/01/31 | | | | 30,384 | | | | 33,703 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 40,872 | | | | 44,775 | |
| Fannie Mae Pool 527247 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 162 | | | | 183 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 14,268 | | | | 15,826 | |
| Fannie Mae Pool 545646 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 98 | | | | 111 | |
| Fannie Mae Pool 549740 | | | | | | | | | |
6.50% | | | 10/01/27 | | | | 63,777 | | | | 70,317 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.54% | | | 01/01/33 | 3 | | | 36,184 | | | | 37,644 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 1,883 | | | | 2,025 | |
| Fannie Mae Pool 606108 | | | | | | | | | |
7.00% | | | 03/01/31 | | | | 2,207 | | | | 2,499 | |
| Fannie Mae Pool 630599 | | | | | | | | | |
7.00% | | | 05/01/32 | | | | 18,554 | | | | 21,077 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 12,801 | | | | 14,552 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 9,625 | | | | 10,710 | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | | 27,290 | | | | 28,995 | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | | 228,005 | | | | 248,635 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 35
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | $ | 314,065 | | | $ | 351,271 | |
| Fannie Mae Pool 764388 | | | | | | | | | |
4.93% | | | 03/01/34 | 3 | | | 332,282 | | | | 352,633 | |
| Fannie Mae Pool 765387 | | | | | | | | | |
6.00% | | | 08/01/34 | | | | 20,862 | | | | 22,971 | |
| Fannie Mae Pool 770869 | | | | | | | | | |
2.45% | | | 04/01/34 | 3 | | | 417,380 | | | | 435,954 | |
| Fannie Mae Pool 776708 | | | | | | | | | |
5.00% | | | 05/01/34 | | | | 919,201 | | | | 981,470 | |
| Fannie Mae Pool 789606 | | | | | | | | | |
6.00% | | | 08/01/34 | | | | 16,428 | | | | 18,130 | |
| Fannie Mae Pool 817611 | | | | | | | | | |
5.32% | | | 11/01/35 | 3 | | | 192,152 | | | | 204,985 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
5.04% | | | 12/01/35 | 3 | | | 12,885 | | | | 13,737 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 1,187,512 | | | | 1,268,272 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 1,224,467 | | | | 1,313,815 | |
| Fannie Mae Pool 895606 | | | | | | | | | |
5.76% | | | 06/01/36 | 3 | | | 475,378 | | | | 507,763 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.75% | | | 05/01/37 | 3 | | | 41,104 | | | | 43,904 | |
| Fannie Mae Pool 939419 | | | | | | | | | |
5.65% | | | 05/01/37 | 3 | | | 627,253 | | | | 671,647 | |
| Freddie Mac 1602 SN | | | | | | | | | |
10.09% | | | 10/15/23 | 3 | | | 14,590 | | | | 18,960 | |
| Freddie Mac 1688 W | | | | | | | | | |
7.25% | | | 03/15/14 | | | | 4,314 | | | | 4,415 | |
| Freddie Mac 2174 PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 231,232 | | | | 250,205 | |
| Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 86,336 | | | | 2,480 | |
| Freddie Mac 2929 PE | | | | | | | | | |
5.00% | | | 05/15/33 | | | | 55,000 | | | | 59,452 | |
| Freddie Mac Gold A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 1,137,782 | | | | 1,219,116 | |
| Freddie Mac Gold A33262 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 164,070 | | | | 177,908 | |
| Freddie Mac Gold A68781 | | | | | | | | | |
5.50% | | | 10/01/37 | | | | 41,982 | | | | 45,488 | |
| Freddie Mac Gold A72860 | | | | | | | | | |
6.00% | | | 02/01/38 | | | | 33,418 | | | | 36,213 | |
| Freddie Mac Gold C90504 | | | | | | | | | |
6.50% | | | 12/01/21 | | | | 5,021 | | | | 5,526 | |
| Freddie Mac Gold E01279 | | | | | | | | | |
5.50% | | | 01/01/18 | | | | 7,724 | | | | 8,331 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold E90474 | | | | | | | | | |
6.00% | | | 07/01/17 | | | $ | 15,187 | | | $ | 16,482 | |
| Freddie Mac Gold G01548 | | | | | | | | | |
7.50% | | | 07/01/32 | | | | 888,992 | | | | 1,032,029 | |
| Freddie Mac Gold G01601 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 24,439 | | | | 25,142 | |
| Freddie Mac Gold G01611 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 10,149 | | | | 10,440 | |
| Freddie Mac Gold G01644 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 1,048,384 | | | | 1,125,290 | |
| Freddie Mac Gold G01673 | | | | | | | | | |
5.50% | | | 04/01/34 | | | | 77,003 | | | | 83,535 | |
| Freddie Mac Gold G02366 | | | | | | | | | |
6.50% | | | 10/01/36 | | | | 680,110 | | | | 745,996 | |
| Freddie Mac Gold G03243 | | | | | | | | | |
5.50% | | | 07/01/37 | | | | 66,980 | | | | 72,574 | |
| Freddie Mac Gold G03436 | | | | | | | | | |
6.00% | | | 11/01/37 | | | | 1,480,062 | | | | 1,613,557 | |
| Freddie Mac Gold G03601 | | | | | | | | | |
6.00% | | | 07/01/37 | | | | 27,087 | | | | 29,522 | |
| Freddie Mac Gold G03640 | | | | | | | | | |
5.50% | | | 12/01/37 | | | | 1,083,609 | | | | 1,165,843 | |
| Freddie Mac Gold G05119 | | | | | | | | | |
6.50% | | | 09/01/38 | | | | 28,265 | | | | 30,986 | |
| Freddie Mac Gold G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 12,963 | | | | 14,068 | |
| Freddie Mac Gold G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 1,107,548 | | | | 1,195,893 | |
| Freddie Mac Gold G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 940,029 | | | | 1,020,189 | |
| Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 837,038 | | | | 904,884 | |
| Freddie Mac Gold J06246 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 651,149 | | | | 703,314 | |
| Freddie Mac Non Gold Pool 1B3413 | | | | | | | | | |
5.87% | | | 05/01/37 | 3 | | | 802,393 | | | | 861,045 | |
| Freddie Mac Non Gold Pool 1J0045 | | | | | | | | | |
5.12% | | | 01/01/36 | 3 | | | 18,057 | | | | 19,254 | |
| Freddie Mac R001 AE | | | | | | | | | |
4.38% | | | 04/15/15 | | | | 584,617 | | | | 595,604 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 58,248 | | | | 3,265 | |
| Ginnie Mae 2004-8 SE | | | | | | | | | |
13.79% | | | 11/26/23 | 3 | | | 160,230 | | | | 199,874 | |
| Ginnie Mae I Pool 782810 | | | | | | | | | |
4.50% | | | 11/15/39 | | | | 2,818,546 | | | | 2,993,054 | |
See accompanying notes to Schedule of Portfolio Investments.
36 / Semi-Annual Report September 2010
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool 80968 | |
3.63% | | | 07/20/34 | 3 | | $ | 77,689 | | | $ | 80,050 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,909,292 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | |
(Cost $62,498,582) | | | | | | | | 66,860,804 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.94%* | |
California — 0.56% | |
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3 | | | | | | | | | |
5.95% | | | 04/01/16 | | | | 225,000 | | | | 247,592 | |
State of California, Refunding Bonds, G.O., Taxable Variable Purpose | | | | | | | | | |
6.20% | | | 10/01/19 | | | | 866,000 | | | | 959,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,207,267 | |
| | | | | | | | | | | | |
Illinois — 0.38% | |
State of Illinois, Pension Funding G.O., Taxable | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 800,000 | | | | 829,488 | |
| | | | | | | | | | | | |
Total Municipal Bonds | | | | | | | | | |
(Cost $1,906,859) | | | | | | | | 2,036,755 | |
| | | | | | | | | | | | |
U.S. AGENCY SECURITIES — 0.56% | |
U.S. Agency Securities — 0.56% | |
Freddie Mac | | | | | | | | | | | | |
0.33% | | | 11/07/11 | 3 | | | 1,200,000 | | | | 1,200,908 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities | |
(Cost $1,199,468) | | | | 1,200,908 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 25.79% | |
U.S. Treasury Bonds — 0.50% | |
3.50% | | | 01/15/11 | | | | 855,000 | | | | 1,080,930 | |
| | | | | | | | | | | | |
U.S. Treasury Notes — 25.29% | | | | | |
0.88% | | | 04/30/11 | | | | 3,085,000 | | | | 3,096,870 | |
1.00% | | | 08/31/11 | | | | 3,985,000 | | | | 4,012,086 | |
1.25% | | | 09/30/15 | | | | 6,750,000 | | | | 6,740,508 | |
1.75% | | | 07/31/15 | | | | 6,095,000 | | | | 6,242,603 | |
1.88% | | | 06/30/15 | | | | 17,465,000 | | | | 17,999,866 | |
2.00% | | | 01/15/16 | 8 | | | 1,699,000 | | | | 2,047,571 | |
2.38% | | | 03/31/16 | | | | 6,280,000 | | | | 6,585,660 | |
3.13% | | | 04/30/17 | | | | 7,340,000 | | | | 7,943,832 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | |
(Cost $54,911,578) | | | | 55,749,926 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | Value | |
Total Bonds – 104.12% | |
(Cost $214,895,272) | | | $ | 225,115,098 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Shares/ Principal Amount | | | Value | |
SHORT-TERM INVESTMENTS — 3.79% | |
Money Market Fund — 3.09% | | | | | |
Dreyfus Cash Advantage Fund | | | | | | | | | |
0.25%9 | | | | 2,520,000 | | | | 2,520,000 | |
DWS Money Market Series-Institutional | | | | | | | | | |
0.21%9 | | | | 885,000 | | | | 885,000 | |
Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.16%9,10 | | | | 3,280,000 | | | | 3,280,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,685,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 0.57% | |
Fannie Mae | |
0.29%11 | | | 07/01/11 | | | $ | 1,225,000 | | | | 1,223,050 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.13% | |
U.S. Treasury Bills | |
0.18%11 | | | 02/10/11 | 12 | | | 285,000 | | | | 284,862 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $8,192,119) | | | | | | | | 8,192,912 | |
| | | | | | | | | | | | |
| |
Total Investments – 107.91% | | | | | |
(Cost $223,087,391)1 | | | | | | | | 233,308,010 | |
| | | | | | | | | | | | |
Liabilities in Excess of Other | |
Assets – (7.91)% | | | | (17,095,974 | ) |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | | | | | $ | 216,212,036 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums (Received) | | | Value | |
CALL OPTIONS WRITTEN | |
| U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10 | | | (60 | ) | | $ | (37,995 | ) | | $ | (57,187 | ) |
| | | | | | | | | | | | |
| Total Call Options Written | | | $ | (37,995 | ) | | $ | (57,187 | ) |
| | | | | | | | | | | | |
|
WRITTEN PUT OPTIONS | |
| U.S. Long Bond (CBT), Call Strike $121, expires 11/26/10 | | | (15 | ) | | $ | (11,686 | ) | | $ | (1,875 | ) |
| | | | | | | | | | | | |
| Total Written Put Options | | | $ | (11,686 | ) | | $ | (1,875 | ) |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 37
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: LONG POSITIONS | | | | |
156 | | U.S. Treasury Five Year Note, Expiration December 2010 | | | $183,429 | |
| | | | | | |
| | Net unrealized appreciation | | | $183,429 | |
| | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| | |
3 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2010 | | | $(12,382 | ) |
| | |
3 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2011 | | | (14,670 | ) |
| | |
3 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2011 | | | (16,770 | ) |
| | |
2 | | Euro Dollar Ninety Day, | | | | |
| | Expiration September 2011 | | | (12,380 | ) |
| | |
2 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2011 | | | (13,330 | ) |
| | |
2 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2012 | | | (13,705 | ) |
| | |
2 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2012 | | | (13,980 | ) |
| | | | | | |
| | Net unrealized depreciation | | | $(97,217 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums Paid/
(Received)
| | | Notional Amount
(000’s)b | | | Appreciation/ (Depreciation) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) – SINGLE ISSUES 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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley | |
| | | | | |
| | | 09/20/12 | | | | $– | | | | $250 | | | $ (942) | | | $ (942) | |
| 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 | | | (6,465) | | | (6,465 | ) |
| 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 | | | (9,077) | | | (9,077 | ) |
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 | | | (1,495) | | | (1,495 | ) |
| 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 | | | (1,416) | | | (1,416 | ) |
| 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 | | | (142) | | | (142 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
| 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 | | | | $ (407) | | | | $ (407) | |
| 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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG | |
| | | | | |
| | | 03/20/13 | | | | – | | | | 75 | | | | (3,031 | ) | | | (3,031 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley | |
| | | | | |
| | | 03/20/13 | | | | – | | | | 75 | | | | (3,031 | ) | | | (3,031 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | | | |
| | | 06/20/13 | | | | – | | | | 80 | | | | (2,556 | ) | | | (2,556 | ) |
| 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 | | | | (18,721 | ) | | | (18,721 | ) |
| The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc. | |
| | | | | |
| | | 03/20/14 | | | | – | | | | 210 | | | | (13,794 | ) | | | (13,794 | ) |
| 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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG | |
| | | | | |
| | | 03/20/14 | | | | – | | | | 200 | | | | (9,830 | ) | | | (9,830 | ) |
| The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc. | |
| | | | | |
| | | 03/20/14 | | | | – | | | | 135 | | | | (10,063 | ) | | | (10,063 | ) |
| The Fund pays a fixed rate equal to 1.20% 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. | |
| | | | | |
| | | 03/20/14 | | | | – | | | | 140 | | | | (3,287 | ) | | | (3,287 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston | |
| | | | | |
| | | 12/20/14 | | | | (3,542 | ) | | | 260 | | | | (1,655 | ) | | | (5,197 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG | |
| | | | | |
| | | 12/20/14 | | | | (3,610 | ) | | | 265 | | | | (1,687 | ) | | | (5,297 | ) |
| 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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | | | | |
| | | 03/20/15 | | | | – | | | | 150 | | | | (9,021 | ) | | | (9,021 | ) |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | | | | |
| | | 09/20/16 | | | | 6,502 | | | | 175 | | | | 10,267 | | | | 16,769 | |
See accompanying notes to Schedule of Portfolio Investments.
38 / Semi-Annual Report September 2010
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | | 09/20/16 | | | | $ 6,950 | | | | $ 135 | | | | $ 5,986 | | | | $ 12,936 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 6,950 | | | | 135 | | | | 5,986 | | | | 12,936 | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 5,714 | | | | 175 | | | | 13,054 | | | | 18,768 | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 4,727 | | | | 135 | | | | 9,751 | | | | 14,478 | |
| The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 4,015 | | | | 225 | | | | 20,115 | | | | 24,130 | |
| The Fund pays a fixed rate equal to 1.00% 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: CS First Boston | |
| | | 09/20/16 | | | | 7,672 | | | | 225 | | | | 16,458 | | | | 24,130 | |
| The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 10,244 | | | | 340 | | | | 26,220 | | | | 36,464 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc. | |
| | | 09/20/16 | | | | 323 | | | | 125 | | | | 8,254 | | | | 8,577 | |
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | | 09/20/16 | | | | 1,596 | | | | 625 | | | | 41,288 | | | | 42,884 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $47,541 | | | | $5,255 | | | | $60,759 | | | | $108,300 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES | |
| 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: Bank of America Corp. | |
| | | 10/12/52 | | | $ | 649,411 | | | $ | 1,120 | | | | $(523,120) | | | $ | 126,291 | |
| 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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 18,197 | | | | 215 | | | | 6,046 | | | | 24,243 | |
| 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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 23,734 | | | | 250 | | | | 4,456 | | | | 28,190 | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued) | |
| 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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | $1,092,947 | | | | $1,840 | | | | $ (885,469 | ) | | | $207,478 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $1,784,289 | | | | $3,425 | | | | $(1,398,087 | ) | | | $386,202 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Expiration Date | | Credit
Ratinga | | Premiums
Paid/
(Received) | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | | | | | |
| The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
12/20/10 | | AAA | | $– | | | $ 365 | | | | $ 5,291 | | | | $ 5,291 | |
| The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc. | |
03/20/11 | | AAA | | – | | | 800 | | | | 12,659 | | | | 12,659 | |
| | | | | | | | | | | | | | | | |
| | | | $– | | | $1,165 | | | | $17,950 | | | | $17,950 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| _ | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES | |
| 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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | 01/25/38 | | | | $(1,368,337) | | | | $2,271 | | | | $193,125 | | | | $(1,175,212) | |
| 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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | 01/25/38 | | | | (93,927 | ) | | | 148 | | | | 17,283 | | | | (76,644 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $(1,462,264 | ) | | | $2,419 | | | | $210,408 | | | | $(1,251,856 | ) |
| | | | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| | | | |
Notes: | | | | |
1 Cost for federal income tax purposes is $223,266,534 and net unrealized appreciation/(depreciation) consists of: | | | | |
| |
Gross unrealized appreciation | | $ | 16,655,930 | |
Gross unrealized depreciation | | | (6,614,454 | ) |
| | | | |
Net unrealized appreciation | | | $10,041,476 | |
| | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 39
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $19,252,878, representing 8.90% of total net assets. |
| 5 | Security is currently in default with regard to scheduled interest or principal payments. |
| 6 | Non-income producing security. |
| 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
Total
Net Assets | |
10/22/07 | | | HCA Term Loan A, 1.79%, | | | | | | | | | | | | | |
| | | 11/17/12 | | | | $449,209 | | | | $440,204 | | | | 0.20% | |
| 8 | Inflation protected security. Principal amount reflects original security face amount. |
| 9 | Represents the current yield as of September 30, 2010. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $3,280,000. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $284,852. |
| † | Fair valued security. The aggregate value of fair valued securities is $4,870,044, which is 2.25% 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 ASC 820, 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. |
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA
(Financial Security Assurance, Inc.)
(G.O.): General Obligation
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
See accompanying notes to Schedule of Portfolio Investments.
40 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 107.73% | |
ASSET-BACKED SECURITIES — 11.97%** | |
| Aames Mortgage Trust 2002-1 A3 (STEP) | | | | | | | | | |
6.90% | | | 06/25/32 | | | $ | 69,156 | | | $ | 54,352 | |
| ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.72% | | | 07/15/33 | | | | 2,297 | | | | 2,296 | |
| Aerco Ltd. 2A A3 (United Kingdom) | | | | | | | | | |
0.72% | | | 07/15/25 | 2,3,4 | | | 72,391,260 | | | | 50,854,860 | |
| Aircastle Aircraft Lease Backed Trust 2007-1A G1 | | | | | | | | | |
0.52% | | | 06/14/37 | 3,4,† | | | 32,558,462 | | | | 27,512,129 | |
| Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP) | | | | | | | | | |
7.57% | | | 10/25/27 | | | | 176,220 | | | | 189,596 | |
| Argent Securities, Inc. 2005-W4 A2C | | | | | | | | | |
0.56% | | | 02/25/36 | 3 | | | 11,300,198 | | | | 11,230,560 | |
| Argent Securities, Inc. 2005-W5 A2D | | | | | | | | | |
0.58% | | | 01/25/36 | 3 | | | 26,678,000 | | | | 11,986,625 | |
| Asset Backed Funding Certificates 2007-WMC1 A2B | | | | | | | | | |
1.26% | | | 06/25/37 | 3 | | | 41,977,000 | | | | 18,820,871 | |
| Asset Backed Securities Corp. Home Equity 2003-HE4 M2 | | | | | | | | | |
3.26% | | | 08/15/33 | 3 | | | 3,007,137 | | | | 1,207,539 | |
| Babcock & Brown Air Funding I Ltd. 2007-1A G1 (Bermuda) | | | | | | | | | |
0.65% | | | 11/14/33 | 2,3,4,† | | | 37,133,124 | | | | 30,774,338 | |
| Bayview Financial Acquisition Trust 2005-B 1A3 (STEP) | | | | | | | | | |
4.89% | | | 04/28/39 | | | | 2,815,278 | | | | 2,700,178 | |
| Bayview Financial Acquisition Trust 2005-D AF3 | | | | | | | | | |
5.50% | | | 12/28/35 | 3 | | | 390,000 | | | | 368,535 | |
| Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP) | | | | | | | | | |
6.89% | | | 12/25/34 | | | | 78,131 | | | | 76,583 | |
| Bear Stearns Asset Backed Securities Trust 2006-HE10 1A2 | | | | | | | | | |
0.46% | | | 12/25/36 | 3 | | | 23,770,000 | | | | 15,104,647 | |
| Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands) | | | | | | | | | |
5.16% | | | 02/10/38 | 2,4,† | | | 1,958,962 | | | | 1,864,595 | |
| BNC Mortgage Loan Trust 2007-1 A3 | | | | | | | | | |
0.36% | | | 03/25/37 | 3 | | | 12,881,000 | | | | 9,311,643 | |
| Carrington Mortgage Loan Trust 2007-FRE1 A1 | | | | | | | | | |
0.38% | | | 02/25/37 | 3 | | | 8,822,004 | | | | 8,231,437 | |
| Centex Home Equity 2006-A AV3 | | | | | | | | | |
0.42% | | | 06/25/36 | 3 | | | 14,316,632 | | | | 12,474,067 | |
| Centex Home Equity 2006-A AV4 | | | | | | | | | |
0.51% | | | 06/25/36 | 3 | | | 100,000 | | | | 63,052 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP) | | | | | | | | | |
6.05% | | | 03/25/37 | | | $ | 620,000 | | | $ | 518,003 | |
| Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B | | | | | | | | | |
0.16% | | | 09/25/36 | 3 | | | 453,420 | | | | 208,702 | |
| Citigroup Mortgage Loan Trust, Inc. 2006-NC1 A2D | | | | | | | | | |
0.51% | | | 08/25/36 | 3 | | | 33,850,000 | | | | 13,171,695 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B | | | | | | | | | |
0.40% | | | 05/25/37 | 3 | | | 21,600,000 | | | | 10,379,718 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A4 | | | | | | | | | |
0.46% | | | 01/25/37 | 3 | | | 28,000 | | | | 12,875 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 34,403,000 | | | | 18,754,434 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B | | | | | | | | | |
1.26% | | | 07/25/37 | 3 | | | 3,090,000 | | | | 165,663 | |
| Conseco Finance 2001-C A5 (STEP) | | | | | | | | | |
7.29% | | | 08/15/33 | | | | 4,029,583 | | | | 4,128,987 | |
| Conseco Finance 2001-D A5 | | | | | | | | | |
6.19% | | | 11/15/32 | 3 | | | 147,290 | | | | 151,344 | |
| Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 519,495 | | | | 398,735 | |
| Conseco Financial Corp. 1996-7 M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 19,007,000 | | | | 20,185,162 | |
| Conseco Financial Corp. 1998-2 A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 3 | | | 222,946 | | | | 225,627 | |
| Conseco Financial Corp. 1998-6 A7 | | | | | | | | | |
6.45% | | | 06/01/30 | | | | 49,413 | | | | 49,461 | |
| Countrywide Asset-Backed Certificates 2005-12 2A5 | | | | | | | | | |
5.25% | | | 02/25/36 | 3 | | | 13,366,305 | | | | 12,999,340 | |
| Countrywide Asset-Backed Certificates 2006-18 2A2 | | | | | | | | | |
0.42% | | | 03/25/37 | 3 | | | 16,991,909 | | | | 12,307,622 | |
| Countrywide Asset-Backed Certificates 2007-10 2A2 | | | | | | | | | |
0.38% | | | 06/25/47 | 3 | | | 21,641,000 | | | | 17,345,173 | |
| Countrywide Asset-Backed Certificates 2007-13 2A2 | | | | | | | | | |
1.06% | | | 10/25/47 | 3 | | | 17,048,762 | | | | 12,407,552 | |
| Countrywide Asset-Backed Certificates 2007-3 2A1 | | | | | | | | | |
0.36% | | | 05/25/47 | 3 | | | 11,723,567 | | | | 11,211,739 | |
| Countrywide Asset-Backed Certificates 2007-4 A1A | | | | | | | | | |
0.38% | | | 09/25/37 | 3 | | | 10,099,113 | | | | 9,399,437 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 41
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Countrywide Asset-Backed Certificates 2007-5 2A2 | | | | | | | | | |
0.43% | | | 09/25/47 | 3 | | $ | 127,000 | | | $ | 102,757 | |
| Countrywide Asset-Backed Certificates 2007-7 2A2 | | | | | | | | | |
0.42% | | | 10/25/47 | 3 | | | 22,307,000 | | | | 18,450,276 | |
| Countrywide Asset-Backed Certificates 2007-9 2A1 | | | | | | | | | |
0.32% | | | 06/25/47 | 3 | | | 65,127 | | | | 62,010 | |
| Credit Suisse First Boston Mortgage Securities Corp. 2001-MH29 A (STEP) | | | | | | | | | |
5.60% | | | 09/25/31 | | | | 109,287 | | | | 111,971 | |
| Credit-Based Asset Servicing and Securitization LLC 2003-CB4 M1 | | | | | | | | | |
0.95% | | | 03/25/33 | 3 | | | 11,047,659 | | | | 9,334,719 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23 | | | | | | | | | |
0.41% | | | 07/25/36 | 3 | | | 24,475,000 | | | | 14,855,505 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B | | | | | | | | | |
0.37% | | | 10/25/36 | 3 | | | 11,240,000 | | | | 9,887,148 | |
| Discover Card Master Trust 2009-A2 A | | | | | | | | | |
1.56% | | | 02/17/15 | 3 | | | 7,275,000 | | | | 7,397,877 | |
| Ellington Loan Acquisition Trust 2007-2 A2C | | | | | | | | | |
1.36% | | | 05/25/37 | 3,4 | | | 5,106,000 | | | | 3,294,720 | |
| Embarcadero Aircraft Securitization Trust 2000-A A1 | | | | | | | | | |
0.74% | | | 08/15/25 | 3,4 | | | 1,019,043 | | | | 509,522 | |
| First Franklin Mortgage Loan Asset Backed Certificates 2005-FFH2 M1 | | | | | | | | | |
0.74% | | | 04/25/35 | 3,4 | | | 5,677,853 | | | | 5,428,178 | |
| First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2C | | | | | | | | | |
0.40% | | | 01/25/38 | 3 | | | 73,000,000 | | | | 34,740,079 | |
| First Union Home Equity Loan Trust 1997-3 B | | | | | | | | | |
7.39% | | | 03/25/29 | | | | 95,049 | | | | 14,264 | |
| Fremont Home Loan Trust 2005-C M1 | | | | | | | | | |
0.74% | | | 07/25/35 | 3 | | | 12,900,000 | | | | 11,885,060 | |
| GE SeaCo Finance SRL 2004-1A A (Barbados) | | | | | | | | | |
0.56% | | | 04/17/19 | 2,3,4 | | | 10,355,833 | | | | 9,895,370 | |
| GE SeaCo Finance SRL 2005-1A A (Barbados) | | | | | | | | | |
0.51% | | | 11/17/20 | 2,3,4 | | | 35,673,250 | | | | 32,867,043 | |
| Genesis Funding Ltd. 2006-1A G1 (Bermuda) | | | | | | | | | |
0.50% | | | 12/19/32 | 2,3,4,† | | | 38,517,352 | | | | 32,451,471 | |
| GMAC Mortgage Corp. Loan Trust 2000-HE2 A1 | | | | | | | | | |
0.70% | | | 06/25/30 | 3 | | | 350,300 | | | | 191,293 | |
| Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | | 12/15/22 | | | | 119,558 | | | | 86,072 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| GSAA Trust 2005-7 AF3 | | | | | | | | | |
4.75% | | | 05/25/35 | 3 | | $ | 41,377,454 | | | $ | 38,170,681 | |
| GSAA Trust 2006-16 A1 | | | | | | | | | |
0.32% | | | 10/25/36 | 3 | | | 11,666,598 | | | | 6,012,527 | |
| GSAA Trust 2006-19 A1 | | | | | | | | | |
0.35% | | | 12/25/36 | 3 | | | 9,526,601 | | | | 4,647,262 | |
| GSAA Trust 2007-4 A1 | | | | | | | | | |
0.36% | | | 03/25/37 | 3 | | | 6,611,549 | | | | 3,214,195 | |
| GSAMP Trust 2006-FM1 A2C | | | | | | | | | |
0.42% | | | 04/25/36 | 3 | | | 31,161,955 | | | | 20,164,106 | |
| GSAMP Trust 2007-NC1 A2B | | | | | | | | | |
0.36% | | | 12/25/46 | 3 | | | 25,000,000 | | | | 10,859,850 | |
| GSC Partners Gemini Fund Ltd. 1A A (Cayman Islands) | | | | | | | | | |
1.18% | | | 10/10/14 | 2,3,4,† | | | 3,068,465 | | | | 2,938,076 | |
| Home Equity Asset Trust 2007-1 2A1 | | | | | | | | | |
0.32% | | | 05/25/37 | 3 | | | 58,353 | | | | 56,361 | |
| HSBC Home Equity Loan Trust 2007-3 A4 | | | | | | | | | |
1.76% | | | 11/20/36 | 3 | | | 9,985,000 | | | | 6,755,362 | |
| HSBC Home Equity Loan Trust 2007-3 APT | | | | | | | | | |
1.46% | | | 11/20/36 | 3 | | | 32,395,001 | | | | 29,531,866 | |
| HSI Asset Securitization Corp. Trust 2006-OPT2 2A3 | | | | | | | | | |
0.45% | | | 01/25/36 | 3 | | | 11,144,719 | | | | 10,413,815 | |
| IndyMac Manufactured Housing Contract 1997-1 A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 535,365 | | | | 501,103 | |
| IndyMac Residential Asset Backed Trust 2007-A 2A4A | | | | | | | | | |
0.58% | | | 04/25/47 | 3 | | | 6,256,000 | | | | 2,699,248 | |
| JPMorgan Mortgage Acquisition Corp. 2006-CH2 AV4 | | | | | | | | | |
0.40% | | | 10/25/36 | 3 | | | 16,000,000 | | | | 6,799,981 | |
| JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3 | | | | | | | | | |
0.45% | | | 05/25/35 | 3 | | | 12,380,791 | | | | 11,013,766 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF6 (STEP) | | | | | | | | | |
5.50% | | | 10/25/36 | | | | 655,676 | | | | 558,000 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH3 A4 | | | | | | | | | |
0.47% | | | 03/25/37 | 3 | | | 1,310,000 | | | | 579,705 | |
| JPMorgan Mortgage Acquisition Corp. 2007-Ch4 A4 | | | | | | | | | |
0.42% | | | 05/25/37 | 3 | | | 10,000,000 | | | | 4,431,805 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3 | | | | | | | | | |
0.37% | | | 05/25/37 | 3 | | | 300,000 | | | | 219,611 | |
| Lehman XS Trust 2006-GP1 A4A | | | | | | | | | |
0.59% | | | 05/25/46 | 3 | | | 32,979,962 | | | | 10,922,963 | |
See accompanying notes to Schedule of Portfolio Investments.
42 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| MASTR Asset Backed Securities Trust 2006-AM3 A4 | | | | | | | | | |
0.50% | | | 10/25/36 | 3 | | $ | 5,000,000 | | | $ | 1,918,117 | |
| MASTR Asset Backed Securities Trust 2007-HE1 A3 | | | | | | | | | |
0.47% | | | 05/25/37 | 3 | | | 441,000 | | | | 206,642 | |
| MASTR Asset Backed Securities Trust 2007-HE1 A4 | | | | | | | | | |
0.54% | | | 05/25/37 | 3 | | | 10,000,000 | | | | 4,671,635 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C | | | | | | | | | |
0.51% | | | 04/25/37 | 3 | | | 14,700,000 | | | | 7,187,550 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C | | | | | | | | | |
0.44% | | | 06/25/37 | 3 | | | 273,800 | | | | 131,542 | |
| Mid-State Trust 11 A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 480,802 | | | | 485,003 | |
| Mid-State Trust 2004-1 A | | | | | | | | | |
6.01% | | | 08/15/37 | | | | 60,746 | | | | 63,296 | |
| Mid-State Trust 2005-1 A | | | | | | | | | |
5.75% | | | 01/15/40 | | | | 31,667,901 | | | | 31,852,107 | |
| Mid-State Trust 2006-1 A | | | | | | | | | |
5.79% | | | 10/15/40 | 4 | | | 21,601,963 | | | | 20,803,163 | |
| Mid-State Trust 6 A1 | | | | | | | | | |
7.34% | | | 07/01/35 | | | | 71,004 | | | | 74,381 | |
| Morgan Stanley ABS Capital 2007-HE2 A2B | | | | | | | | | |
0.35% | | | 01/25/37 | 3 | | | 110,000 | | | | 54,357 | |
| Morgan Stanley ABS Capital I 2005-HE3 M1 | | | | | | | | | |
0.75% | | | 07/25/35 | 3 | | | 3,058,290 | | | | 3,029,120 | |
| Morgan Stanley ABS Capital I 2006-HE5 A2C | | | | | | | | | |
0.40% | | | 08/25/36 | 3 | | | 9,015,000 | | | | 6,068,443 | |
| Morgan Stanley ABS Capital I 2007-HE6 A3 | | | | | | | | | |
0.44% | | | 05/25/37 | 3 | | | 49,270,000 | | | | 18,484,380 | |
| Morgan Stanley ABS Capital, Inc. 2006-HE5 A2D | | | | | | | | | |
0.51% | | | 08/25/36 | | | | 48,700,000 | | | | 21,066,159 | |
| Morgan Stanley Home Equity Loan Trust 2006-3 A4 | | | | | | | | | |
0.52% | | | 04/25/36 | 3 | | | 10,000,000 | | | | 4,213,198 | |
| Morgan Stanley Mortgage Loan Trust 2007-10XS A18 | | | | | | | | | |
6.00% | | | 07/25/47 | 3 | | | 22,926,174 | | | | 16,945,618 | |
| Morgan Stanley Mortgage Loan Trust 2007-2AX 2A1 | | | | | | | | | |
0.35% | | | 12/25/36 | 3 | | | 11,250,952 | | | | 5,377,938 | |
| Morgan Stanley Mortgage Loan Trust 2007-7AX 2A1 | | | | | | | | | |
0.38% | | | 04/25/37 | 3 | | | 10,998,187 | | | | 5,332,218 | |
| Oakwood Mortgage Investors, Inc. 1998-A A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 12,755 | | | | 12,923 | |
| Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 50,699 | | | | 50,929 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Option One Mortgage Loan Trust 2006-3 2A2 | | | | | | | | | |
0.36% | | | 02/25/37 | 3 | | $ | 22,707,241 | | | $ | 15,130,550 | |
| Option One Mortgage Loan Trust 2007-1 2A3 | | | | | | | | | |
0.40% | | | 01/25/37 | 3 | | | 19,278,000 | | | | 8,002,732 | |
| Option One Mortgage Loan Trust 2007-6 2A4 | | | | | | | | | |
0.51% | | | 07/25/37 | 3 | | | 100,000 | | | | 42,443 | |
| PAMCO CLO 1998-1A B2 (Cayman Islands) | | | | | | | | | |
1.82% | | | 10/31/10 | 2,3,4,5,† | | | 924,180 | | | | 110,927 | |
| Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP) | | | | | | | | | |
4.76% | | | 07/25/35 | | | | 4,738,891 | | | | 4,737,514 | |
| Popular ABS Mortgage Pass-Through Trust 2005-6 A5 (STEP) | | | | | | | | | |
6.09% | | | 01/25/36 | | | | 165,000 | | | | 103,245 | |
| Popular ABS Mortgage Pass-Through Trust 2007-A A3 | | | | | | | | | |
0.57% | | | 06/25/47 | 3 | | | 21,877,500 | | | | 10,109,801 | |
| Residential Asset Mortgage Products, Inc. 2003-RS10 AI6 (STEP) | | | | | | | | | |
5.86% | | | 11/25/33 | | | | 209,520 | | | | 181,269 | |
| Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP) | | | | | | | | | |
5.98% | | | 12/25/33 | | | | 350,938 | | | | 351,514 | |
| Residential Asset Mortgage Products, Inc. 2004-RS12 MII2 | | | | | | | | | |
1.06% | | | 12/25/34 | 3 | | | 2,935,846 | | | | 2,748,693 | |
| Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP) | | | | | | | | | |
8.60% | | | 09/25/29 | | | | 394,162 | | | | 301,235 | |
| Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 304,465 | | | | 286,176 | |
| Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3,4 | | | 4,453,386 | | | | 646,398 | |
| Saxon Asset Securities Trust 2005-2 M1 | | | | | | | | | |
0.68% | | | 10/25/35 | 3 | | | 32,400,000 | | | | 27,804,611 | |
| Saxon Asset Securities Trust 2007-1 A2C | | | | | | | | | |
0.41% | | | 01/25/47 | 3 | | | 8,135,000 | | | | 3,642,743 | |
| Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1 | | | | | | | | | |
0.73% | | | 04/25/35 | 3 | | | 4,592,066 | | | | 4,344,540 | |
| Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C | | | | | | | | | |
0.41% | | | 07/25/36 | 3 | | | 15,053,000 | | | | 5,663,270 | |
| Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2 | | | | | | | | | |
0.49% | | | 02/25/37 | 3 | | | 45,882,697 | | | | 21,919,403 | |
| Securitized Asset Backed Receivables LLC Trust 2007-BR3 A2B | | | | | | | | | |
0.48% | | | 04/25/37 | 3 | | | 17,600,000 | | | | 7,456,089 | |
| Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A | | | | | | | | | |
0.39% | | | 05/25/37 | 3 | | | 13,018,385 | | | | 9,923,609 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 43
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC1 A2B | | | | | | | | | |
0.41% | | | 12/25/36 | 3 | | $ | 36,815,934 | | | $ | 17,167,546 | |
| Securitized Asset Backed Receivables LLC Trust 2007-NC2 A2B | | | | | | | | | |
0.40% | | | 01/25/37 | 3 | | | 160,000 | | | | 76,344 | |
| SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 3 | | | 2,991,114 | | | | 1,877,098 | |
| SG Mortgage Securities Trust 2006-FRE1 A2B | | | | | | | | | |
0.44% | | | 02/25/36 | 3 | | | 13,947,357 | | | | 7,928,262 | |
| SG Mortgage Securities Trust 2006-OPT2 A3C | | | | | | | | | |
0.41% | | | 10/25/36 | 3 | | | 12,348,460 | | | | 4,979,202 | |
| SG Mortgage Securities Trust 2007-NC1 A2 | | | | | | | | | |
0.50% | | | 12/25/36 | 4 | | | 16,635,852 | | | | 8,701,397 | |
| Soundview Home Equity Loan Trust 2006-EQ1 A2 | | | | | | | | | |
0.37% | | | 10/25/36 | 3 | | | 18,580,482 | | | | 18,058,683 | |
| Soundview Home Equity Loan Trust 2006-EQ1 A3 | | | | | | | | | |
0.42% | | | 10/25/36 | 3 | | | 48,751,000 | | | | 28,450,084 | |
| Soundview Home Equity Loan Trust 2006-WF2 A2C | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 23,000,000 | | | | 19,650,965 | |
| Soundview Home Equity Loan Trust 2007-NS1 A4 | | | | | | | | | |
0.56% | | | 01/25/37 | 3 | | | 12,405,000 | | | | 6,410,013 | |
| Soundview Home Equity Loan Trust 2007-OPT1 2A2 | | | | | | | | | |
0.41% | | | 06/25/37 | 3 | | | 95,000 | | | | 40,097 | |
| Soundview Home Equity Loan Trust 2007-OPT1 2A4 | | | | | | | | | |
0.54% | | | 06/25/37 | 3 | | | 28,546,000 | | | | 11,662,511 | |
| Soundview Home Equity Loan Trust 2007-OPT2 2A3 | | | | | | | | | |
0.44% | | | 07/25/37 | 3 | | | 17,450,000 | | | | 7,668,664 | |
| Soundview Home Equity Loan Trust 2007-OPT3 2A2 | | | | | | | | | |
0.39% | | | 08/25/37 | 3 | | | 100,000 | | | | 70,253 | |
| Structured Asset Securities Corp. 2005-4XS 3A3 (STEP) | | | | | | | | | |
4.47% | | | 03/25/35 | | | | 34,043,265 | | | | 34,510,911 | |
| Structured Asset Securities Corp. 2006-WF3 A3 | | | | | | | | | |
0.41% | | | 09/25/36 | 3 | | | 220,000 | | | | 173,440 | |
| Structured Asset Securities Corp. 2007-BC2 A3 | | | | | | | | | |
0.39% | | | 03/25/37 | 3 | | | 225,000 | | | | 185,848 | |
| Structured Asset Securities Corp. 2007-BC3 2A1 | | | | | | | | | |
0.32% | | | 05/25/47 | 3 | | | 36,817,563 | | | | 35,039,588 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Structured Asset Securities Corp. 2007-EQ1 A4 | | | | | | | | | |
0.51% | | | 03/25/37 | 3 | | $ | 26,325,800 | | | $ | 10,194,140 | |
| Textainer Marine Containers Ltd. 2005-1A A (Bermuda) | | | | | | | | | |
0.51% | | | 05/15/20 | 2,3,4 | | | 3,616,667 | | | | 3,350,055 | |
| Triton Container Finance LLC 2006-1A | | | | | | | | | |
0.43% | | | 11/26/21 | 3,4 | | | 29,572,867 | | | | 26,634,187 | |
| Triton Container Finance LLC 2007-1A | | | | | | | | | |
0.40% | | | 02/26/19 | 3,4 | | | 23,898,031 | | | | 22,098,736 | |
| Vanderbilt Acquisition Loan Trust 2002-1 A4 | | | | | | | | | |
6.57% | | | 05/07/27 | 3 | | | 4,844,906 | | | | 5,271,731 | |
| Washington Mutual Asset-Backed Certificates 2006-HE2 A4 | | | | | | | | | |
0.50% | | | 05/25/36 | 3 | | | 11,165,000 | | | | 4,077,346 | |
| Washington Mutual Asset-Backed Certificates 2007-HE1 2A3 | | | | | | | | | |
0.41% | | | 01/25/37 | † | | | 39,470,000 | | | | 16,577,462 | |
| Wells Fargo Home Equity Trust 2005-3 AII3 | | | | | | | | | |
0.60% | | | 11/25/35 | 3 | | | 33,477,784 | | | | 32,753,157 | |
| Wells Fargo Home Equity Trust 2006-1 A3 | | | | | | | | | |
0.41% | | | 05/25/36 | 3 | | | 16,739,059 | | | | 16,261,812 | |
| Wells Fargo Home Equity Trust 2007-2 A1 | | | | | | | | | |
0.35% | | | 04/25/37 | 3 | | | 10,095,241 | | | | 9,804,186 | |
| | | | | | | | | | | | |
| |
| Total Asset-Backed Securities | | | | | |
| (Cost $1,271,384,549) | | | | 1,330,113,989 | |
| | | | | | | | | | | | |
|
| CORPORATES — 24.53%* | |
Banking — 3.99% | | | | | |
| Ally Financial, Inc. | | | | | | | | | |
2.50% | | | 12/01/14 | 3 | | | 9,009,000 | | | | 8,063,505 | |
| BAC Capital Trust XV | | | | | | | | | |
1.10% | | | 06/01/56 | 3 | | | 14,490,000 | | | | 9,200,672 | |
| Bank of America Corp. | | | | | | | | | |
5.63% | | | 07/01/20 | | | | 6,590,000 | | | | 6,976,747 | |
5.75% | | | 12/01/17 | | | | 1,145,000 | | | | 1,225,982 | |
6.50% | | | 08/01/16 | | | | 4,855,000 | | | | 5,465,657 | |
| Bank of America N.A. | | | | | | | | | |
0.59% | | | 06/15/17 | 3 | | | 14,740,000 | | | | 12,349,585 | |
6.10% | | | 06/15/17 | | | | 26,980,000 | | | | 29,182,531 | |
| Bank One Corp. (STEP) | | | | | | | | | |
8.53% | | | 03/01/19 | | | | 1,485,000 | | | | 1,839,205 | |
| BankAmerica Capital II | | | | | | | | | |
8.00% | | | 12/15/26 | | | | 800,000 | | | | 830,000 | |
| BankAmerica Capital III | | | | | | | | | |
1.10% | | | 01/15/27 | 3 | | | 4,795,000 | | | | 3,403,630 | |
| BankAmerica Institutional Capital A | | | | | | | | | |
8.07% | | | 12/31/26 | 4 | | | 350,000 | | | | 364,875 | |
| Barclays Bank Plc (United Kingdom) | | | | | | | | | |
5.20% | | | 07/10/14 | 2 | | | 12,079,000 | | | | 13,402,617 | |
See accompanying notes to Schedule of Portfolio Investments.
44 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | |
| Banking (continued) | | | | | |
| Capital One Financial Corp. | | | | | | | | | |
7.38% | | | 05/23/14 | | | $ | 3,710,000 | | | $ | 4,334,389 | |
| Capital One Financial Corp. (MTN) | | | | | | | | | |
5.70% | | | 09/15/11 | | | | 200,000 | | | | 208,166 | |
| Chase Capital II B | | | | | | | | | |
0.97% | | | 02/01/27 | 3 | | | 6,700,000 | | | | 5,111,269 | |
| Chase Capital VI | | | | | | | | | |
1.09% | | | 08/01/28 | 3 | | | 3,640,000 | | | | 2,774,583 | |
| City National Corp. | | | | | | | | | |
5.13% | | | 02/15/13 | | | | 6,200,000 | | | | 6,529,301 | |
| Credit Suisse USA, Inc. | | | | | | | | | |
5.13% | | | 08/15/15 | | | | 15,000 | | | | 16,842 | |
| Credit Suisse/Guernsey 1 (Switzerland) | | | | | | | | | |
1.07% | | | 05/29/49 | 2,3 | | | 21,793,000 | | | | 15,391,306 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
5.00% | | | 05/15/13 | 2 | | | 14,868,000 | | | | 16,207,696 | |
| Credit Suisse/New York (Switzerland) | | | | | | | | | |
5.50% | | | 05/01/14 | 2 | | | 11,790,000 | | | | 13,217,698 | |
6.00% | | | 02/15/18 | 2 | | | 36,420,000 | | | | 40,281,431 | |
| Deutsche Bank AG/London (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 2 | | | 14,320,000 | | | | 15,564,995 | |
| Discover Bank | | | | | | | | | |
8.70% | | | 11/18/19 | | | | 15,260,000 | | | | 18,035,443 | |
| First Chicago NBD Institutional Capital I | | | | | | | | | |
1.02% | | | 02/01/27 | 3 | | | 5,355,000 | | | | 4,083,943 | |
| Fleet Capital Trust II | | | | | | | | | |
7.92% | | | 12/11/26 | | | | 770,000 | | | | 796,950 | |
| HBOS Capital Funding LP (United Kingdom) | | | | | | | | | |
6.07% | | | 06/24/49 | 2,3,4 | | | 5,823,000 | | | | 5,182,470 | |
| HBOS Plc (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 29,123,000 | | | | 29,305,805 | |
| JPMorgan Chase & Co. C (MTN) | | | | | | | | | |
0.77% | | | 07/23/13 | 3 | | | 2,500,000 | | | | 2,446,500 | |
| JPMorgan Chase Bank N.A. | | | | | | | | | |
6.00% | | | 10/01/17 | | | | 37,407,000 | | | | 42,522,445 | |
| Lloyds Banking Group Capital No. 1 Plc (United Kingdom) | | | | | | | | | |
8.00% | | | 12/29/49 | 2,3 | | | 34,997,000 | | | | 32,547,210 | |
| National Australia Bank Ltd. (Australia) | | | | | | | | | |
5.35% | | | 06/12/13 | 2,4 | | | 20,425,000 | | | | 22,438,838 | |
| National Capital Trust II (Australia) | | | | | | | | | |
5.49% | | | 12/29/49 | 2,3,4 | | | 2,717,000 | | | | 2,624,807 | |
| Nationsbank Capital Trust III | | | | | | | | | |
1.08% | | | 01/15/27 | 3 | | | 8,684,000 | | | | 6,105,738 | |
| NB Capital Trust II | | | | | | | | | |
7.83% | | | 12/15/26 | | | | 5,625,000 | | | | 5,815,125 | |
| Royal Bank of Scotland Plc (The) (United Kingdom) | | | | | | | | | |
3.95% | | | 09/21/15 | 2 | | | 10,953,000 | | | | 11,093,221 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Banking (continued) | |
| Royal Bank of Scotland Plc (The) 1 (United Kingdom) | | | | | | | | | |
2.76% | | | 08/23/13 | 2,3 | | $ | 10,830,000 | | | $ | 11,057,928 | |
| Svenska Handelsbanken AB (Sweden) | | | | | | | | | |
4.88% | | | 06/10/14 | 2,4 | | | 23,240,000 | | | | 25,423,933 | |
| Wachovia Corp. | | | | | | | | | |
0.82% | | | 10/28/15 | 3 | | | 13,165,000 | | | | 12,182,890 | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | | 35,000 | | | | 38,495 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 443,644,423 | |
| | | | | | | | | | | | |
| Communications — 0.49% | |
| Cincinnati Bell, Inc. | | | | | | | | | |
8.25% | | | 10/15/17 | | | | 1,000,000 | | | | 1,015,000 | |
| Comcast Cable Communications LLC | | | | | | | | | |
6.75% | | | 01/30/11 | | | | 75,000 | | | | 76,464 | |
| Frontier Communications Corp. | | | | | | | | | |
7.13% | | | 03/15/19 | | | | 1,825,000 | | | | 1,879,750 | |
| Intelsat Corp. | | | | | | | | | |
9.25% | | | 06/15/16 | | | | 22,223,000 | | | | 23,806,389 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | | |
9.50% | | | 06/15/16 | 2 | | | 500,000 | | | | 535,625 | |
| Qwest Communications International, Inc. B | | | | | | | | | |
7.50% | | | 02/15/14 | | | | 7,000,000 | | | | 7,175,000 | |
| Qwest Corp. | | | | | | | | | |
7.88% | | | 09/01/11 | | | | 19,150,000 | | | | 20,322,937 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 54,811,165 | |
| | | | | | | | | | | | |
| Electric — 2.68% | |
| AES Corp. (The) | | | | | | | | | |
8.75% | | | 05/15/13 | 4 | | | 362,000 | | | | 368,335 | |
| Cedar Brakes I LLC | | | | | | | | | |
8.50% | | | 02/15/14 | 4 | | | 4,929,460 | | | | 5,091,777 | |
| Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 4 | | | 5,603,496 | | | | 5,852,537 | |
| Cleco Power LLC | | | | | | | | | |
6.65% | | | 06/15/18 | | | | 17,775,000 | | | | 20,981,877 | |
| Coso Geothermal Power Holdings | | | | | | | | | |
7.00% | | | 07/15/26 | 4 | | | 14,335,934 | | | | 14,309,541 | |
| Dynegy Holdings, Inc. | | | | | | | | | |
6.88% | | | 04/01/11 | | | | 725,000 | | | | 730,437 | |
| Dynegy Roseton/Danskammer Pass Through Trust B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 54,205,000 | | | | 50,275,137 | |
| Entergy Gulf States Louisiana LLC | | | | | | | | | |
6.00% | | | 05/01/18 | | | | 17,500,000 | | | | 20,271,615 | |
| Entergy Gulf States, Inc. | | | | | | | | | |
5.25% | | | 08/01/15 | | | | 2,054,000 | | | | 2,057,280 | |
| Entergy Louisiana LLC | | | | | | | | | |
5.83% | | | 11/01/10 | | | | 503,000 | | | | 504,129 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 45
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Electric (continued) | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 4 | | | $ 332,954 | | | | $ 318,155 | |
| FPL Energy Wind Funding LLC | | | | | | | | | |
6.88% | | | 06/27/17 | 4 | | | 1,504,200 | | | | 1,466,595 | |
| FPL Group Capital, Inc. | | | | | | | | | |
1.17% | | | 06/17/11 | 3 | | | 1,000,000 | | | | 1,003,910 | |
5.35% | | | 06/15/13 | | | | 955,000 | | | | 1,048,857 | |
| GWF Energy LLC | | | | | | | | | |
6.13% | | | 12/30/11 | 4 | | | 836,997 | | | | 852,014 | |
| Kansas City Power & Light Co. | | | | | | | | | |
6.38% | | | 03/01/18 | | | | 7,102,000 | | | | 8,351,675 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
7.95% | | | 02/01/11 | | | | 7,375,000 | | | | 7,531,837 | |
11.88% | | | 07/01/12 | | | | 23,934,000 | | | | 27,553,467 | |
| Midwest Generation LLC B | | | | | | | | | |
8.56% | | | 01/02/16 | | | | 9,395,802 | | | | 9,254,865 | |
| Mirant Mid Atlantic Pass Through Trust B | | | | | | | | | |
9.13% | | | 06/30/17 | | | | 19,342,375 | | | | 20,696,342 | |
| Mirant Mid Atlantic Pass Through Trust C | | | | | | | | | |
10.06% | | | 12/30/28 | | | | 1,948,589 | | | | 2,153,191 | |
| Mirant Mid Atlantic Pass-Through Trust A | | | | | | | | | |
8.63% | | | 06/30/12 | | | | 7,574,773 | | | | 7,783,079 | |
| NiSource Finance Corp. | | | | | | | | | |
10.75% | | | 03/15/16 | | | | 12,578,000 | | | | 16,632,116 | |
| NRG Energy, Inc. | | | | | | | | | |
7.25% | | | 02/01/14 | | | | 1,845,000 | | | | 1,898,044 | |
7.38% | | | 02/01/16 | | | | 19,825,000 | | | | 20,444,531 | |
| Public Service Co. of New Hampshire | | | | | | | | | |
6.00% | | | 05/01/18 | | | | 5,000,000 | | | | 5,827,925 | |
| Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | | 05/15/18 | | | | 17,924,000 | | | | 19,811,720 | |
| PVNGS II Funding Corp., Inc. | | | | | | | | | |
8.00% | | | 12/30/15 | | | | 119,000 | | | | 125,528 | |
| Reliant Energy Mid-Atlantic Power Holdings LLC B | | | | | | | | | |
9.24% | | | 07/02/17 | | | | 13,344,087 | | | | 13,861,170 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | | 01/15/19 | | �� | | 275,000 | | | | 319,445 | |
| Virginia Electric & Power Co. | | | | | | | | | |
5.10% | | | 11/30/12 | | | | 9,295,000 | | | | 10,117,236 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 297,494,367 | |
| | | | | | | | | | | | |
| Energy — 1.88% | | | | | |
| Allis-Chalmers Energy, Inc. | | | | | | | | | |
8.50% | | | 03/01/17 | | | | 1,000,000 | | | | 1,010,000 | |
| Atlas Energy Operating Co. LLC/Atlas Energy | | | | | | | | | |
| Finance Corp. | | | | | | | | | |
10.75% | | | 02/01/18 | | | | 1,000,000 | | | | 1,112,500 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Energy (continued) | |
| CenterPoint Energy Resources Corp. B | | | | | | | | | |
7.88% | | | 04/01/13 | | | | $ 170,000 | | | | $ 195,868 | |
| Comstock Resources, Inc. | | | | | | | | | |
6.88% | | | 03/01/12 | | | | 850,000 | | | | 853,213 | |
8.38% | | | 10/15/17 | | | | 900,000 | | | | 932,625 | |
| Corral Petroleum Holdings AB (Sweden) | | | | | | | | | |
2.00% | | | 09/18/11 | 2,4 | | | 409,404 | | | | 379,722 | |
| Dynegy Roseton/Danskammer Pass-Through | | | | | | | | | |
Trust A | | | | | | | | | | | | |
7.27% | | | 11/08/10 | | | | 625,858 | | | | 625,858 | |
| Florida Gas Transmission, Co., LLC | | | | | | | | | |
5.45% | | | 07/15/20 | 4 | | | 17,750,000 | | | | 19,371,764 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | | 11/01/15 | 4 | | | 2,175,000 | | | | 2,207,625 | |
| Massey Energy Co. | | | | | | | | | |
6.88% | | | 12/15/13 | | | | 1,500,000 | | | | 1,545,000 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 2 | | | 750,000 | | | | 562,500 | |
| Premcor Refining Group, Inc. (The) | | | | | | | | | |
6.13% | | | 05/01/11 | | | | 4,275,000 | | | | 4,367,955 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 37,111,000 | | | | 35,997,670 | |
7.50% | | | 11/30/16 | | | | 17,455,000 | | | | 16,014,963 | |
| Sonat, Inc. | | | | | | | | | |
7.63% | | | 07/15/11 | | | | 1,600,000 | | | | 1,666,705 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 50,778,000 | | | | 45,827,145 | |
| Tesoro Corp. | | | | | | | | | |
6.50% | | | 06/01/17 | | | | 1,175,000 | | | | 1,163,250 | |
| Valero Energy Corp. | | | | | | | | | |
7.50% | | | 04/15/32 | | | | 20,000,000 | | | | 21,869,880 | |
9.38% | | | 03/15/19 | | | | 17,258,000 | | | | 22,073,448 | |
10.50% | | | 03/15/39 | | | | 3,575,000 | | | | 4,847,400 | |
| Williams Cos., Inc. (The) | | | | | | | | | |
7.88% | | | 09/01/21 | | | | 18,207,000 | | | | 22,149,398 | |
| Williams Cos., Inc. (The) A | | | | | | | | | |
7.50% | | | 01/15/31 | | | | 3,545,000 | | | | 3,974,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 208,749,364 | |
| | | | | | | | | | | | |
| Finance — 10.79% | | | | | |
| Alta Wind Holdings LLC | | | | | | | | | |
7.00% | | | 06/30/35 | 4 | | | 15,625,000 | | | | 16,585,500 | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 4 | | | 14,575,000 | | | | 14,465,687 | |
| BankBoston Capital Trust III | | | | | | | | | |
1.04% | | | 06/15/27 | 3 | | | 10,755,000 | | | | 7,571,638 | |
| Barnett Capital III | | | | | | | | | |
1.09% | | | 02/01/27 | 3 | | | 3,150,000 | | | | 2,200,385 | |
See accompanying notes to Schedule of Portfolio Investments.
46 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
4.65% | | | 07/02/18 | | | $ | 4,330,000 | | | $ | 4,547,760 | |
7.25% | | | 02/01/18 | | | | 20,580,000 | | | | 25,105,995 | |
| Cantor Fitzgerald LP | | | | | | | | | |
6.38% | | | 06/26/15 | 4 | | | 16,475,000 | | | | 16,950,436 | |
CIT Group, Inc. | | | | | | | | | |
7.00% | | | 05/01/13 | | | | 19,000,000 | | | | 19,190,000 | |
| Citigroup Capital III | | | | | | | | | |
7.63% | | | 12/01/36 | | | | 7,438,000 | | | | 7,957,486 | |
| Citigroup Funding, Inc. 2 | | | | | | | | | |
0.81% | | | 04/30/12 | 3 | | | 30,870,000 | | | | 31,062,783 | |
| Citigroup, Inc. | | | | | | | | | |
0.71% | | | 11/05/14 | 3 | | | 14,309,000 | | | | 13,276,849 | |
0.87% | | | 08/25/36 | 3 | | | 12,038,000 | | | | 7,676,633 | |
5.30% | | | 10/17/12 | | | | 50,000 | | | | 53,311 | |
5.38% | | | 08/09/20 | | | | 23,090,000 | | | | 23,935,256 | |
5.50% | | | 08/27/12 | | | | 100,000 | | | | 106,584 | |
6.00% | | | 08/15/17 | | | | 24,703,000 | | | | 26,731,783 | |
6.13% | | | 11/21/17 | | | | 55,000 | | | | 60,167 | |
6.13% | | | 05/15/18 | | | | 2,850,000 | | | | 3,114,149 | |
6.13% | | | 08/25/36 | | | | 4,224,000 | | | | 4,127,237 | |
6.38% | | | 08/12/14 | | | | 3,950,000 | | | | 4,406,905 | |
6.88% | | | 03/05/38 | | | | 17,767,000 | | | | 19,909,238 | |
8.13% | | | 07/15/39 | | | | 23,993,000 | | | | 30,404,553 | |
| City National Capital Trust I | | | | | | | | | |
9.63% | | | 02/01/40 | | | | 15,000,000 | | | | 15,620,820 | |
| Countrywide Capital III B | | | | | | | | | | | | |
8.05% | | | 06/15/27 | | | | 3,000,000 | | | | 3,165,000 | |
| Countrywide Financial Corp. (MTN) | | | | | | | | | |
5.80% | | | 06/07/12 | | | | 3,605,000 | | | | 3,852,403 | |
| Countrywide Home Loans, Inc. L (MTN) | | | | | | | | | |
4.00% | | | 03/22/11 | | | | 1,600,000 | | | | 1,625,513 | |
| Discover Financial Services | | | | | | | | | |
10.25% | | | 07/15/19 | | | | 3,885,000 | | | | 4,984,661 | |
| General Electric Capital Corp. | | | | | | | | | |
1.88% | | | 09/16/13 | | | | 5,400,000 | | | | 5,416,746 | |
4.38% | | | 09/16/20 | | | | 30,635,000 | | | | 30,705,249 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.43% | | | 06/20/14 | 3 | | | 1,250,000 | | | | 1,197,004 | |
0.73% | | | 01/08/16 | 3 | | | 6,000,000 | | | | 5,565,300 | |
0.81% | | | 05/05/26 | 3 | | | 1,900,000 | | | | 1,488,033 | |
6.88% | | | 01/10/39 | | | | 12,115,000 | | | | 13,959,472 | |
| General Electric Capital Corp. A (MTN) | | | | | | | | | |
0.55% | | | 09/15/14 | 3 | | | 23,877,000 | | | | 22,941,260 | |
6.75% | | | 03/15/32 | | | | 18,998,000 | | | | 21,183,226 | |
| General Electric Capital Corp. E (MTN) | | | | | | | | | |
0.48% | | | 03/20/14 | 3 | | | 30,100,000 | | | | 28,676,511 | |
| General Electric Capital Corp. G (MTN) | | | | | | | | | |
2.00% | | | 09/28/12 | | | | 100,020,000 | | | | 102,768,630 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | | | | | |
2.63% | | | 12/28/12 | | | $ | 48,965,000 | | | $ | 51,081,365 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
0.60% | | | 02/06/12 | 3 | | | 1,305,000 | | | | 1,297,152 | |
0.74% | | | 03/22/16 | 3 | | | 6,255,000 | | | | 5,790,610 | |
1.03% | | | 01/12/15 | 3 | | | 3,800,000 | | | | 3,638,971 | |
1.06% | | | 12/05/11 | 3 | | | 30,365,000 | | | | 30,658,630 | |
4.75% | | | 07/15/13 | | | | 9,150,000 | | | | 9,778,731 | |
5.95% | | | 01/18/18 | | | | 100,000 | | | | 109,997 | |
6.00% | | | 06/15/20 | | | | 23,600,000 | | | | 26,006,048 | |
6.15% | | | 04/01/18 | | | | 26,326,000 | | | | 29,245,369 | |
7.50% | | | 02/15/19 | | | | 46,316,000 | | | | 55,384,279 | |
| Goldman Sachs Group, Inc. (The) (MTN) | | | | | | | | | |
6.00% | | | 05/01/14 | | | | 6,000,000 | | | | 6,699,354 | |
| Goldman Sachs Group, Inc. B (The) (MTN) | | | | | | | | | |
0.91% | | | 07/22/15 | 3 | | | 1,940,000 | | | | 1,825,503 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 4 | | | 24,060,000 | | | | 25,864,500 | |
6.75% | | | 09/01/16 | 4 | | | 36,450,000 | | | | 39,183,750 | |
| JPMorgan Chase Capital XIII M | | | | | | | | | |
1.24% | | | 09/30/34 | 3 | | | 3,699,000 | | | | 2,806,102 | |
| JPMorgan Chase Capital XXI U | | | | | | | | | |
1.42% | | | 02/02/37 | 3 | | | 2,000,000 | | | | 1,446,702 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.38% | | | 05/15/47 | 3 | | | 17,280,000 | | | | 12,542,671 | |
| JPMorgan Chase Capital XXVII | | | | | | | | | |
7.00% | | | 11/01/39 | | | | 6,925,000 | | | | 7,132,078 | |
| Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | | 06/20/16 | 3,6,7 | | | 12,736,000 | | | | 2,610,880 | |
8.92% | | | 02/16/17 | 6,7 | | | 7,103,000 | | | | 1,456,115 | |
11.00% | | | 11/07/16 | 3,6,7 | | | 12,918,000 | | | | 2,648,190 | |
| Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | | 11/30/10 | 3,6,7 | | | 6,812,000 | | | | 1,396,460 | |
M&T Capital Trust III | | | | | | | | | |
9.25% | | | 02/01/27 | | | | 10,200,000 | | | | 11,188,105 | |
| MBNA Capital A | | | | | | | | | |
8.28% | | | 12/01/26 | | | | 7,744,000 | | | | 7,995,680 | |
| MBNA Capital B | | | | | | | | | | | | |
1.27% | | | 02/01/27 | 3 | | | 21,350,000 | | | | 14,789,145 | |
| MBNA Corp. | | | | | | | | | |
6.13% | | | 03/01/13 | | | | 7,355,000 | | | | 7,967,774 | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
6.05% | | | 08/15/12 | | | | 125,000 | | | | 134,223 | |
8.68% | | | 05/02/17 | 3 | | | 3,640,000 | | | | 3,994,900 | |
8.95% | | | 05/18/17 | 3 | | | 4,970,000 | | | | 5,479,425 | |
9.57% | | | 06/06/17 | 3 | | | 11,517,000 | | | | 12,985,417 | |
| Morgan Stanley | | | | | | | | | |
0.64% | | | 06/20/12 | 3 | | | 47,575,000 | | | | 47,871,916 | |
0.77% | | | 01/18/11 | 3 | | | 1,010,000 | | | | 1,010,063 | |
1.01% | | | 10/15/15 | 3 | | | 1,615,000 | | | | 1,483,117 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 47
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
4.20% | | | 11/20/14 | | | $ | 8,585,000 | | | $ | 8,908,663 | |
5.38% | | | 10/15/15 | | | | 7,900,000 | | | | 8,485,975 | |
5.50% | | | 07/24/20 | | | | 29,045,000 | | | | 29,961,782 | |
6.00% | | | 05/13/14 | | | | 24,925,000 | | | | 27,424,673 | |
6.60% | | | 04/01/12 | | | | 680,000 | | | | 732,736 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.97% | | | 10/18/16 | 3 | | | 14,975,000 | | | | 13,159,731 | |
5.63% | | | 01/09/12 | | | | 125,000 | | | | 132,164 | |
5.95% | | | 12/28/17 | | | | 125,000 | | | | 134,470 | |
6.63% | | | 04/01/18 | | | | 7,570,000 | | | | 8,405,039 | |
| Morgan Stanley G (MTN) | | | | | | | | | |
0.83% | | | 01/09/14 | 3 | | | 2,970,000 | | | | 2,809,519 | |
| Pemex Finance Ltd. (Cayman Islands) | | | | | | | | | |
8.88% | | | 11/15/10 | 2 | | | 25,000 | | | | 25,262 | |
| Pipeline Funding Co. LLC | | | | | | | | | |
7.50% | | | 01/15/30 | 4 | | | 35,250,000 | | | | 38,255,366 | |
| Power Receivable Finance LLC | | | | | | | | | |
6.29% | | | 01/01/12 | 4 | | | 69,775 | | | | 69,797 | |
6.29% | | | 01/01/12 | | | | 96,242 | | | | 98,227 | |
| Prime Property Funding II, Inc. | | | | | | | | | |
5.60% | | | 06/15/11 | 4 | | | 125,000 | | | | 127,370 | |
| Prudential Holdings LLC | | | | | | | | | |
8.70% | | | 12/18/23 | 4 | | | 14,390,000 | | | | 18,199,465 | |
| Raymond James Financial, Inc. | | | | | | | | | |
8.60% | | | 08/15/19 | | | | 9,233,000 | | | | 11,080,256 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 900,000 | | | | 387,000 | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,525,000 | | | | 655,750 | |
| Woodbourne Capital Trust III | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,525,000 | | | | 655,750 | |
| Woodbourne Capital Trust IV | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 1,150,000 | | | | 494,500 | |
| ZFS Finance USA Trust I | | | | | | | | | |
6.15% | | | 12/15/65 | 3,4 | | | 29,446,000 | | | | 29,298,770 | |
| ZFS Finance USA Trust II | | | | | | | | | |
6.45% | | | 12/15/65 | 3,4 | | | 2,775,000 | | | | 2,664,000 | |
| ZFS Finance USA Trust IV | | | | | | | | | |
5.88% | | | 05/09/32 | 3,4 | | | 21,972,000 | | | | 20,983,260 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,199,242,910 | |
| | | | | | | | | | | | |
Food — 0.00% | | | | | |
| JBS USA LLC/JBS USA Finance, Inc. | | | | | | �� | | | |
11.63% | | | 05/01/14 | | | | 500,000 | | | | 580,000 | |
| | | | | | | | | | | | |
Health Care — 0.31% | | | | | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 18,275,000 | | | | 19,394,344 | |
| HCA, Inc. | | | | | | | | | | | | |
8.50% | | | 04/15/19 | | | | 13,035,000 | | | | 14,468,850 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | |
| Health Care (continued) | | | | | |
| WellPoint, Inc. | | | | | | | | | | | | |
5.88% | | | 06/15/17 | | | $ | 125,000 | | | $ | 144,265 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,007,459 | |
| | | | | | | | | | | | |
| Industrials — 0.17% | | | | | | | | | |
| General Electric Co. | | | | | | | | | |
5.25% | | | 12/06/17 | | | | 16,828,000 | | | | 18,968,555 | |
| | | | | | | | | | | | |
| Insurance — 1.46% | | | | | | | | | |
| Allied World Assurance Co. Holdings Ltd. (Bermuda) | | | | | | | | | |
7.50% | | | 08/01/16 | 2 | | | 375,000 | | | | 424,445 | |
| Fairfax Financial Holdings Ltd. (Canada) | | | | | | | | | |
7.75% | | | 04/26/12 | 2 | | | 6,902,000 | | | | 7,272,983 | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 4 | | | 17,126,000 | | | | 16,966,625 | |
7.20% | | | 07/15/48 | 4 | | | 6,851,000 | | | | 6,582,756 | |
| Farmers Insurance Exchange | | | | | | | | | |
8.63% | | | 05/01/24 | 4 | | | 16,145,000 | | | | 18,740,729 | |
| MetLife Capital Trust X | | | | | | | | | |
9.25% | | | 04/08/38 | 3,4 | | | 11,500,000 | | | | 13,627,500 | |
| MetLife, Inc. | | | | | | | | | | | | |
2.38% | | | 02/06/14 | | | | 10,775,000 | | | | 10,897,792 | |
7.72% | | | 02/15/19 | | | | 10,080,000 | | | | 12,849,530 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
2.19% | | | 06/10/11 | 3,4 | | | 13,300,000 | | | | 13,458,257 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 3,4 | | | 12,403,000 | | | | 10,742,474 | |
6.60% | | | 04/15/34 | 4 | | | 19,518,000 | | | | 17,461,564 | |
| Pricoa Global Funding I | | | | | | | | | |
0.58% | | | 01/30/12 | 3,4 | | | 15,690,000 | | | | 15,584,234 | |
5.45% | | | 06/11/14 | 4 | | | 15,130,000 | | | | 16,884,445 | |
| Travelers Cos., Inc. (The) | | | | | | | | | |
6.25% | | | 03/15/37 | 3 | | | 370,000 | | | | 355,662 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 161,848,996 | |
| | | | | | | | | | | | |
| Materials — 0.00% | | | | | |
| Lyondell Chemical Co. | | | | | | | | | |
11.00% | | | 05/01/18 | | | | 441,113 | | | | 490,187 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 1.62% | |
| BRE Properties, Inc. | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 100,000 | | | | 106,131 | |
| Duke Realty LP | | | | | | | | | |
5.40% | | | 08/15/14 | | | | 1,250,000 | | | | 1,328,678 | |
6.25% | | | 05/15/13 | | | | 75,000 | | | | 81,200 | |
| ERP Operating LP | | | | | | | | | |
5.75% | | | 06/15/17 | | | | 100,000 | | | | 112,764 | |
| First Industrial LP (MTN) | | | | | | | | | |
7.50% | | | 12/01/17 | | | | 280,000 | | | | 236,037 | |
See accompanying notes to Schedule of Portfolio Investments.
48 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | |
HCP, Inc. | | | | | | | | | | | | |
5.65% | | | 12/15/13 | | | $ | 3,290,000 | | | $ | 3,546,990 | |
6.00% | | | 01/30/17 | | | | 11,570,000 | | | | 12,366,490 | |
6.45% | | | 06/25/12 | | | | 11,800,000 | | | | 12,555,271 | |
7.07% | | | 06/08/15 | | | | 125,000 | | | | 141,148 | |
HCP, Inc. (MTN) | | | | | | | | | |
5.95% | | | 09/15/11 | | | | 165,000 | | | | 171,549 | |
6.30% | | | 09/15/16 | | | | 21,204,000 | | | | 23,059,647 | |
6.70% | | | 01/30/18 | | | | 13,575,000 | | | | 14,892,023 | |
Health Care REIT, Inc. | | | | | | | | | |
4.70% | | | 09/15/17 | | | | 31,323,000 | | | | 31,699,315 | |
6.13% | | | 04/15/20 | | | | 4,285,000 | | | | 4,595,710 | |
| Highwoods Properties, Inc. | | | | | | | | | |
7.50% | | | 04/15/18 | | | | 6,795,000 | | | | 7,620,307 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
5.88% | | | 03/15/13 | | | | 624,000 | | | | 679,256 | |
7.75% | | | 02/22/11 | | | | 7,200,000 | | | | 7,411,773 | |
| Simon Property Group LP | | | | | | | | | |
6.13% | | | 05/30/18 | | | | 1,290,000 | | | | 1,499,297 | |
| UDR, Inc. | | | | | | | | | |
6.05% | | | 06/01/13 | | | | 3,590,000 | | | | 3,874,202 | |
UDR, Inc. (MTN) | | | | | | | | | |
5.00% | | | 01/15/12 | | | | 2,845,000 | | | | 2,936,780 | |
UDR, Inc. E (MTN) | | | | | | | | | |
5.13% | | | 01/15/14 | | | | 7,075,000 | | | | 7,502,372 | |
| Washington Real Estate Investment Trust | | | | | | | | | |
5.95% | | | 06/15/11 | | | | 250,000 | | | | 256,752 | |
WEA Finance LLC | | | | | | | | | |
7.13% | | | 04/15/18 | 4 | | | 36,800,000 | | | | 43,341,862 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 180,015,554 | |
| | | | | | | | | | | | |
|
Services — 0.01% | |
| Mobile Mini, Inc. | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 750,000 | | | | 738,750 | |
| United Rentals North America, Inc. | | | | | | | | | |
7.00% | | | 02/15/14 | | | | 375,000 | | | | 376,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,115,625 | |
| | | | | | | | | | | | |
|
Transportation — 1.13% | |
| American Airlines Pass-Through Trust | | | | | | | | | |
2001-02 | | | | | | | | | | | | |
6.98% | | | 04/01/11 | | | | 21,089 | | | | 21,511 | |
American Airlines Pass-Through Trust 2009-1A | | | | | | | | | |
10.38% | | | 07/02/19 | | | | 1,623,366 | | | | 1,933,835 | |
Continental Airlines Pass-Through Trust 1997-4 A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 4,285,171 | | | | 4,456,578 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Transportation (continued) | |
Continental Airlines Pass-Through Trust 1999-2 A-1 | | | | | | | | | |
7.26% | | | 03/15/20 | | | $ | 6,748,352 | | | $ | 7,085,769 | |
Continental Airlines Pass-Through Trust 2007-1 A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 4,803,400 | | | | 4,989,532 | |
| Continental Airlines Pass-Through Trust 2007-1 B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 2,478,252 | | | | 2,379,122 | |
| Continental Airlines Pass-Through Trust 2009-2 A | | | | | | | | | |
7.25% | | | 11/10/19 | | | | 22,005,000 | | | | 24,205,500 | |
Delta Air Lines, Inc. | | | | | | | | | |
9.50% | | | 09/15/14 | 4 | | | 3,547,000 | | | | 3,839,627 | |
| Delta Air Lines, Inc. 2001 A2 | | | | | | | | | |
7.11% | | | 09/18/11 | | | | 7,898,000 | | | | 8,332,390 | |
| Delta Air Lines, Inc. 2002 G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 10,171,556 | | | | 10,222,413 | |
| Delta Air Lines, Inc. 2002 G2 | | | | | | | | | |
6.42% | | | 07/02/12 | | | | 9,370,000 | | | | 9,838,500 | |
| Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | | 04/01/11 | | | | 23,530,000 | | | | 24,118,250 | |
| Northwest Airlines, Inc. 2001-1 A1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 1,056,181 | | | | 1,104,802 | |
| UAL Pass-Through Trust 2009-2 A | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 20,414,513 | | | | 22,813,218 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 125,341,047 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
(Cost $2,514,515,061) | | | | 2,726,309,652 | |
| | | | | | | | | | | | |
BANK LOANS — 0.97%* | |
Communications — 0.23% | |
| Charter Communications, Inc. Term Loan 3rd | | | | | | | | | |
Lien | | | | | | | | | | | | |
2.76% | | | 09/06/14 | 8 | | | 1,000,000 | | | | 934,375 | |
| Dex Media West LLC Term Loan | | | | | | | | | |
7.23% | | | 10/24/14 | 3,8 | | | 1,918,114 | | | | 1,672,223 | |
| Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
2.51% | | | 09/29/14 | 8 | | | 370,268 | | | | 325,311 | |
| Visant Corp. Tranche B Term Loan | | | | | | | | | |
7.00% | | | 12/22/16 | 8 | | | 22,500,000 | | | | 22,653,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,584,909 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.01% | |
| Tribune 1st Lien Term Loan B | | | | | | | | | |
3.25% | | | 06/04/14 | 6,7,8 | | | 1,500,000 | | | | 981,429 | |
| | | | | | | | | | | | |
| |
Electric — 0.12% | | | | | |
| Calpine New Development Holdings LLC | | | | | | | | | |
7.00% | | | 07/01/17 | 8 | | | 9,476,250 | | | | 9,649,485 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 49
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Electric (continued) | | | | | |
| TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
4.54% | | | 12/15/14 | 8 | | $ | 1,000,000 | | | $ | 913,125 | |
TXU Energy Term Loan B1 | | | | | | | | | |
3.76% | | | 10/10/14 | 8 | | | 984,772 | | | | 766,549 | |
TXU Energy Term Loan B3 | | | | | | | | | |
3.76% | | | 10/10/14 | 8 | | | 2,426,216 | | | | 1,882,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,211,834 | |
| | | | | | | | | | | | |
Finance — 0.22% | | | | | |
| CIT Group, Inc. 3-DD 1st Lien Term Loan | | | | | | | | | |
6.25% | | | 08/11/15 | 8 | | | 9,000,000 | | | | 9,088,596 | |
| Kelson 1st Lien | | | | | | | | | |
3.54% | | | 03/08/13 | 8 | | | 12,560,320 | | | | 12,455,655 | |
| Kelson 2nd Lien (PIK) | | | | | | | | | |
6.79% | | | 03/08/14 | 8 | | | 3,562,906 | | | | 3,309,049 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,853,300 | |
| | | | | | | | | | | | |
Gaming — 0.18% | | | | | |
| Harrah’s Entertainment, Inc. Term Loan B2 | | | | | | | | | |
3.50% | | | 01/28/15 | 8 | | | 21,750,000 | | | | 18,786,475 | |
| Harrah’s Entertainment, Inc. Term Loan B3 | | | | | | | | | |
0.00% | | | 01/28/15 | | | | 1,993,707 | | | | 1,719,018 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,505,493 | |
| | | | | | | | | | | | |
Health Care — 0.18% | | | | | |
| Carestream Health, Inc. Term Loan | | | | | | | | | |
5.51% | | | 10/30/13 | 8 | | | 250,000 | | | | 235,625 | |
| HCA Term Loan A | | | | | | | | | |
1.79% | | | 11/17/12 | 8 | | | 20,950,678 | | | | 20,263,454 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,499,079 | |
| | | | | | | | | | | | |
Insurance — 0.01% | | | | | |
| Asurion Corp. Term Loan | | | | | | | | | |
3.29% | | | 07/07/14 | 8 | | | 742,500 | | | | 710,944 | |
| | | | | | | | | | | | |
Services — 0.02% | | | | | |
| Cengage Learning Term Loan B | | | | | | | | | |
2.54% | | | 07/03/14 | 8 | | | 1,940,000 | | | | 1,747,543 | |
| | | | | | | | | | | | |
Transportation — 0.00% | | | | | |
| Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
1.96% | | | 04/30/12 | 8 | | | 237,551 | | | | 229,831 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | |
| (Cost $106,546,852) | | | | 108,324,362 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 41.15%** | | | | | |
Commercial Mortgage-Backed — 7.51% | |
| Banc of America Commercial Mortgage, Inc. 2001-1 A2 | | | | | | | | | |
6.50% | | | 04/15/36 | | | | 20,250,753 | | | | 20,494,129 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | |
| Banc of America Commercial Mortgage, Inc. | | | | | | | | | |
| 2005-3 A3A | | | | | |
4.62% | | | 07/10/43 | | | $ | 350,000 | | | $ | 361,177 | |
| Bayview Commercial Asset Trust 2006-3A A1 | | | | | | | | | |
0.51% | | | 10/25/36 | 3,4 | | | 6,880,695 | | | | 4,667,234 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities 2002-PBW1 A2 | | | | | | | | | |
4.72% | | | 11/11/35 | 3 | | | 25,050,000 | | | | 26,321,601 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2001-TOP4 A3 | | | | | | | | | |
5.61% | | | 11/15/33 | | | | 25,000,000 | | | | 25,716,445 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2003-PWR2 A4 | | | | | | | | | |
5.19% | | | 05/11/39 | 3 | | | 39,006,000 | | | | 42,245,893 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2003-T12 A4 | | | | | | | | | |
4.68% | | | 08/13/39 | 3 | | | 6,225,000 | | | | 6,699,721 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2005-T20 A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | | 40,380,000 | | | | 44,602,076 | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2006-PW13 A4 | | | | | | | | | |
5.54% | | | 09/11/41 | | | | 3,165,000 | | | | 3,465,234 | |
| Citigroup Commercial Mortgage Trust 2007-C6 A4 | | | | | | | | | |
5.89% | | | 12/10/49 | 3 | | | 14,440,000 | | | | 15,487,391 | |
| Citigroup/Deutsche Bank Commercial | | | | | | | | | |
| Mortgage Trust 2007-CD4 A4 | | | | | | | | | |
5.32% | | | 12/11/49 | | | | 16,645,000 | | | | 17,283,108 | |
| Citigroup/Deutsche Bank Commercial | | | | | | | | | |
| Mortgage Trust 2007-CD5 A4 | | | | | | | | | |
5.89% | | | 11/15/44 | 3 | | | 1,925,000 | | | | 2,084,489 | |
| Commercial Mortgage Asset Trust 1999-C1 A4 | | | | | | | | | |
6.98% | | | 01/17/32 | | | | 20,000,000 | | | | 21,848,428 | |
| Credit Suisse First Boston Mortgage | | | | | | | | | |
| Securities Corp. 2001-CKN5 A4 | | | | | | | | | |
5.44% | | | 09/15/34 | | | | 29,899,294 | | | | 30,682,293 | |
| Credit Suisse First Boston Mortgage | | | | | | | | | |
| Securities Corp. 2003-CK2 A4 | | | | | | | | | |
4.80% | | | 03/15/36 | | | | 10,000,000 | | | | 10,697,117 | |
| Credit Suisse Mortgage Capital Certificates 2006-C1 A3 | | | | | | | | | |
5.71% | | | 02/15/39 | 3 | | | 350,000 | | | | 374,948 | |
Credit Suisse Mortgage Capital Certificates 2006-C5 A3 | | | | | | | | | |
5.31% | | | 12/15/39 | | | | 22,527,500 | | | | 23,476,196 | |
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2 | | | | | | | | | |
5.18% | | | 11/15/36 | | | | 3,370,000 | | | | 3,566,972 | |
| First Union National Bank-Bank of America | | | | | | | | | |
| Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | | 03/15/33 | | | | 15,164,919 | | | | 15,195,875 | |
See accompanying notes to Schedule of Portfolio Investments.
50 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Commercial Mortgage-Backed (continued) | |
| GE Capital Commercial Mortgage Corp. | | | | | | | | | |
2000-1 A2 | | | | | |
6.50% | | | 01/15/33 | | | $ | 14,028,518 | | | $ | 14,061,066 | |
| GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO) | | | | | | | | | |
1.10% | | | 05/15/35 | 3,5 | | | 27,895,799 | | | | 1,070,794 | |
| GMAC Commercial Mortgage Securities, Inc. | | | | | | | | | |
| 2000-C3 A2 | | | | | |
6.96% | | | 09/15/35 | | | | 704,048 | | | | 703,452 | |
| GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2 | | | | | | | | | |
6.28% | | | 11/15/39 | | | | 20,000,000 | | | | 20,794,546 | |
| Greenwich Capital Commercial Funding Corp. 2002-C1 A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 34,500,000 | | | | 36,483,450 | |
| Greenwich Capital Commercial Funding Corp. 2004-GG1 A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 54,758,999 | | | | 60,066,143 | |
| Greenwich Capital Commercial Funding Corp. 2006-GG7 A4 | | | | | | | | | |
6.08% | | | 07/10/38 | 3 | | | 52,354,554 | | | | 57,449,683 | |
| Greenwich Capital Commercial Funding Corp. 2007-GG9 A4 | | | | | | | | | |
5.44% | | | 03/10/39 | | | | 74,275,000 | | | | 78,432,662 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | | 5,000,000 | | | | 5,201,759 | |
| JPMorgan Chase Commercial Mortgage | | | | | | | | | |
| Securities Corp. 2001-CIBC A3 | | | | | | | | | |
6.26% | | | 03/15/33 | | | | 14,195,821 | | | | 14,259,630 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2002-C2 A2 | | | | | | | | | |
5.05% | | | 12/12/34 | | | | 2,340,000 | | | | 2,490,415 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4 | | | | | | | | | |
6.06% | | | 04/15/45 | 3 | | | 33,110,000 | | | | 36,757,338 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A4 | | | | | | | | | |
5.44% | | | 06/12/47 | | | | 3,065,000 | | | | 3,218,528 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4 | | | | | | | | | |
5.93% | | | 02/12/49 | 3 | | | 17,773,000 | | | | 18,701,922 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4 | | | | | | | | | |
5.88% | | | 02/15/51 | 3 | | | 22,235,000 | | | | 23,366,052 | |
| LB-UBS Commercial Mortgage Trust 2003-C8 A4 | | | | | | | | | |
5.12% | | | 11/15/32 | 3 | | | 320,000 | | | | 349,433 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-2 A1 | | | | | | | | | |
5.77% | | | 06/12/46 | 3 | | | 2,174,474 | | | | 2,181,486 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Commercial Mortgage-Backed (continued) | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 3 | | $ | 32,840,000 | | | $ | 34,077,717 | |
| Merrill Lynch/Countrywide Commercial | | | | | | | | | |
| Mortgage Trust 2006-4 ASB | | | | | | | | | |
5.13% | | | 12/12/49 | 3 | | | 25,000,000 | | | | 26,724,000 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4 | | | | | | | | | |
5.75% | | | 06/12/50 | 3 | | | 19,426,500 | | | | 19,851,441 | |
| Morgan Stanley Capital I 2006-T21 A4 | | | | | | | | | |
5.16% | | | 10/12/52 | 3 | | | 16,160,000 | | | | 17,585,306 | |
| Morgan Stanley Capital I 2007-IQ16 A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 30,007,500 | | | | 31,828,937 | |
| Prudential Commercial Mortgage Trust | | | | | | | | | |
| 2003-PWR1 A1 | | | | | | | | | |
3.67% | | | 02/11/36 | | | | 5,300,578 | | | | 5,327,842 | |
| Prudential Mortgage Capital Funding LLC 2001-ROCK A2 | | | | | | | | | |
6.61% | | | 05/10/34 | | | | 2,843,437 | | | | 2,885,026 | |
| Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3 | | | | | | | | | |
4.87% | | | 03/18/36 | | | | 415,000 | | | | 435,662 | |
| TIAA Seasoned Commercial Mortgage Trust 2007-C4 A3 | | | | | | | | | |
6.04% | | | 08/15/39 | 3 | | | 3,115,000 | | | | 3,486,059 | |
| Wachovia Bank Commercial Mortgage Trust 2006-C28 A4 | | | | | | | | | |
5.57% | | | 10/15/48 | | | | 1,980,000 | | | | 2,075,068 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 835,135,744 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 5.58% | |
Adjustable Rate Mortgage Trust 2007-1 5A1 | | | | | |
0.41% | | | 03/25/37 | 3 | | | 17,048,222 | | | | 7,573,606 | |
| American Home Mortgage Assets 2007-4 A2 | | | | | | | | | |
0.45% | | | 08/25/37 | 3 | | | 36,102,000 | | | | 26,364,226 | |
| American Home Mortgage Investment Trust 2006-1 2A3 | | | | | | | | | |
5.10% | | | 12/25/35 | 3 | | | 347,618 | | | | 239,790 | |
| Banc of America Funding Corp. 2003-2 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 105,629 | | | | 110,189 | |
| Banc of America Funding Corp. 2007-8 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | | 25,643,137 | | | | 19,330,604 | |
| Banc of America Mortgage Securities, Inc. 2005-E 2A6 | | | | | | | | | |
2.87% | | | 06/25/35 | 3 | | | 100,000 | | | | 90,872 | |
| Banc of America Mortgage Securities, Inc. 2006-B 4A1 | | | | | | | | | |
6.17% | | | 11/20/46 | 3 | | | 15,716,745 | | | | 13,956,336 | |
| Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 05/31/10 | 2,4,5 | | | 542,169 | | | | 43,373 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 51
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| BCAP LLC Trust 2007-AAA2 2A5 | | | | | | | | | |
6.00% | | | 04/25/37 | | | $ | 1,086,741 | | | $ | 791,920 | |
| Bear Stearns Adjustable Rate Mortgage Trust 2003-4 3A1 | | | | | | | | | |
5.00% | | | 07/25/33 | 3 | | | 206,974 | | | | 212,546 | |
| Bear Stearns Alt-A Trust 2005-4 21A1 | | | | | | | | | |
2.98% | | | 05/25/35 | 3 | | | 29,624,789 | | | | 21,384,891 | |
| Bear Stearns Alt-A Trust 2006-3 1A1 | | | | | | | | | |
0.45% | | | 05/25/36 | 3 | | | 5,204,049 | | | | 2,660,539 | |
| BHN I Mortgage Fund 1997-2 A1 (Argentina) | | | | | | | | | |
1.54% | | | 05/31/17 | 2,3,4,5,6,7 | | | 13,760 | | | | 1,369 | |
| BHN I Mortgage Fund 1997-2 A2 (Argentina) | | | | | | | | | |
7.54% | | | 05/31/17 | 2,4,5,6,7 | | | 2,500 | | | | 249 | |
| BHN I Mortgage Fund 2000-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 03/31/11 | 2,4,5 | | | 6,000 | | | | 597 | |
| BlackRock Capital Finance LP 1997-R2 AP | | | | | | | | | |
1.21% | | | 12/25/35 | 3,4,5 | | | 3,663 | | | | 3,665 | |
| Chase Mortgage Finance Corp. 2005-A1 2A3 | | | | | | | | | |
5.18% | | | 12/25/35 | 3 | | | 1,710,000 | | | | 1,487,863 | |
| Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
3.24% | | | 07/25/37 | 3 | | | 16,852,540 | | | | 16,616,015 | |
| Chaseflex Trust 2005-2 4A2 | | | | | | | | | |
5.50% | | | 05/25/20 | | | | 19,909,418 | | | | 19,574,537 | |
| Chevy Chase Mortgage Funding Corp. 2004-1A A1 | | | | | | | | | |
0.54% | | | 01/25/35 | 3,4 | | | 2,456,752 | | | | 1,864,536 | |
| Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2 | | | | | | | | | |
4.67% | | | 05/25/34 | 3,4 | | | 19,094,440 | | | | 18,656,805 | |
| Collateralized Mortgage Obligation Trust 57 D | | | | | | | | | |
9.90% | | | 02/01/19 | | | | 4,818 | | | | 5,308 | |
| Countrywide Alternative Loan Trust 2004-J6 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 49,918 | | | | 51,945 | |
| Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
1.74% | | | 08/25/35 | 3 | | | 9,487,581 | | | | 5,257,068 | |
| Countrywide Alternative Loan Trust 2005-36 2A1A | | | | | | | | | |
0.57% | | | 08/25/35 | 3 | | | 317,942 | | | | 157,462 | |
| Countrywide Alternative Loan Trust 2005-43 4A1 | | | | | | | | | |
5.59% | | | 10/25/35 | 3 | | | 404,884 | | | | 322,826 | |
| Countrywide Alternative Loan Trust 2005-59 1A1 | | | | | | | | | |
0.59% | | | 11/20/35 | 3 | | | 234,689 | | | | 134,352 | |
| Countrywide Alternative Loan Trust 2006-46 A4 | | | | | | | | | |
6.00% | | | 02/25/47 | | | | 8,906,933 | | | | 6,828,925 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Countrywide Alternative Loan Trust 2006-OA10 1A1 | | | | | | | | | |
1.35% | | | 08/25/46 | 3 | | $ | 6,180,281 | | | $ | 3,403,413 | |
| Countrywide Alternative Loan Trust 2006-OA14 3A1 | | | | | | | | | |
1.24% | | | 11/25/46 | 3 | | | 908,101 | | | | 402,834 | |
| Countrywide Alternative Loan Trust 2006-OA17 1A1A | | | | | | | | | |
0.45% | | | 12/20/46 | 3 | | | 41,250,103 | | | | 20,477,913 | |
| Countrywide Alternative Loan Trust 2006-OA18 A1 | | | | | | | | | |
0.38% | | | 12/25/46 | 3 | | | 42,248,363 | | | | 24,008,013 | |
| Countrywide Alternative Loan Trust 2006-OA22 A1 | | | | | | | | | |
0.42% | | | 02/25/47 | 3 | | | 1,228,875 | | | | 781,885 | |
| Countrywide Alternative Loan Trust 2006-OA8 1A1 | | | | | | | | | |
0.45% | | | 07/25/46 | 3 | | | 28,816,094 | | | | 14,636,633 | |
| Countrywide Alternative Loan Trust 2007-22 2A16 | | | | | | | | | |
6.50% | | | 09/25/37 | | | | 54,574,530 | | | | 39,817,151 | |
| Countrywide Home Loan Mortgage | | | | | | | | | |
| Pass-Through Trust 2001-HYB1 1A1 | | | | | | | | | |
2.47% | | | 06/19/31 | 3 | | | 53,864 | | | | 51,220 | |
| Countrywide Home Loan Mortgage | | | | | | | | | |
| Pass-Through Trust 2004-14 4A1 | | | | | | | | | |
5.09% | | | 08/25/34 | 3 | | | 8,029,749 | | | | 8,162,658 | |
| Countrywide Home Loan Mortgage | | | | | | | | | |
| Pass-Through Trust 2005-HYB5 4A1 | | | | | | | | | |
4.98% | | | 09/20/35 | 3 | | | 10,575,741 | | | | 7,537,410 | |
| Countrywide Home Loan Mortgage | | | | | | | | | |
| Pass-Through Trust 2007-HY3 2A1 | | | | | | | | | |
5.46% | | | 06/25/47 | 3 | | | 39,689,998 | | | | 30,748,477 | |
| Credit Suisse First Boston Mortgage | | | | | | | | | |
| Securities Corp. 2003-AR20 2A4 | | | | | | | | | |
2.68% | | | 08/25/33 | 3 | | | 69,938 | | | | 62,388 | |
| Credit Suisse Mortgage Capital Certificates 2006-6 2A1 | | | | | | | | | |
0.86% | | | 07/25/36 | 3 | | | 217,152 | | | | 93,698 | |
| Deutsche ALT-A Securities, Inc. 2005-3 4A5 | | | | | | | | | |
5.25% | | | 06/25/35 | | | | 73,152 | | | | 68,919 | |
| DLJ Mortgage Acceptance Corp. 1996-QA S (IO) | | | | | | | | | |
3.26% | | | 01/25/26 | 3,4,5 | | | 84,463 | | | | 53 | |
| Downey Savings & Loan Association | | | | | | | | | |
| Mortgage Loan Trust 2007-AR1 2A1A | | | | | | | | | |
0.40% | | | 04/19/48 | 3 | | | 4,165,111 | | | | 2,772,581 | |
| Equity One ABS, Inc. 1998-1 A2 (STEP) | | | | | | | | | |
7.48% | | | 11/25/29 | | | | 73,121 | | | | 66,458 | |
| First Horizon Alternative Mortgage Securities 2004-AA3 A1 | | | | | | | | | |
2.55% | | | 09/25/34 | 3 | | | 115,284 | | | | 96,569 | |
See accompanying notes to Schedule of Portfolio Investments.
52 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| First Horizon Asset Securities, Inc. 2004-AR5 2A1 | | | | | | | | | |
2.89% | | | 10/25/34 | 3 | | $ | 21,548 | | | $ | 20,818 | |
| First Horizon Asset Securities, Inc. 2005-AR6 2A1B | | | | | | | | | |
5.51% | | | 01/25/36 | 3 | | | 26,990,000 | | | | 19,980,589 | |
| GSR Mortgage Loan Trust 2007-AR2 2A1 | | | | | | | | | |
4.65% | | | 05/25/47 | 3 | | | 10,746,743 | | | | 7,924,498 | |
| Harborview Mortgage Loan Trust 2007-7 2A1A | | | | | | | | | |
1.26% | | | 11/25/47 | 3 | | | 2,199,411 | | | | 1,493,689 | |
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B | | | | | | | | | |
1.06% | | | 08/25/34 | 3 | | | 60,532 | | | | 39,167 | |
| IndyMac Index Mortgage Loan Trust 2004-AR6 6A1 | | | | | | | | | |
5.50% | | | 10/25/34 | 3 | | | 570,172 | | | | 529,826 | |
| IndyMac Index Mortgage Loan Trust 2004-AR7 A2 | | | | | | | | | |
1.12% | | | 09/25/34 | 3 | | | 187,890 | | | | 124,566 | |
| IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A | | | | | | | | | |
0.66% | | | 11/25/34 | 3 | | | 105,191 | | | | 69,206 | |
| IndyMac Index Mortgage Loan Trust 2005-AR18 2A1A | | | | | | | | | |
0.57% | | | 10/25/36 | 3 | | | 405,594 | | | | 266,968 | |
| IndyMac Index Mortgage Loan Trust 2006-AR19 1A2 | | | | | | | | | |
5.61% | | | 08/25/36 | 3 | | | 34,013,025 | | | | 17,241,491 | |
| IndyMac Index Mortgage Loan Trust 2007-AR5 3A1 | | | | | | | | | |
5.25% | | | 05/25/37 | 3 | | | 13,473,212 | | | | 7,743,109 | |
| JPMorgan Alternative Loan Trust 2006-A6 2A5 | | | | | | | | | |
6.05% | | | 11/25/36 | 3 | | | 360,000 | | | | 248,913 | |
| JPMorgan Alternative Loan Trust 2007-A1 2A1 | | | | | | | | | |
5.92% | | | 03/25/37 | 3 | | | 7,266,274 | | | | 4,352,327 | |
| JPMorgan Alternative Loan Trust 2007-A2 12A2 | | | | | | | | | |
0.36% | | | 06/25/37 | 3 | | | 6,779,020 | | | | 6,385,627 | |
| JPMorgan Mortgage Trust 2003-A2 2A3 | | | | | | | | | |
4.69% | | | 11/25/33 | 3 | | | 705,000 | | | | 702,567 | |
| JPMorgan Mortgage Trust 2005-A5 3A2 | | | | | | | | | |
5.34% | | | 08/25/35 | 3 | | | 211,543 | | | | 202,346 | |
| JPMorgan Mortgage Trust 2005-A5 TA1 | | | | | | | | | |
5.43% | | | 08/25/35 | 3 | | | 2,061,124 | | | | 2,038,986 | |
| JPMorgan Mortgage Trust 2006-A2 2A2 | | | | | | | | | |
5.75% | | | 04/25/36 | 3 | | | 1,475,000 | | | | 1,232,110 | |
| JPMorgan Mortgage Trust 2006-A2 2A4 | | | | | | | | | |
5.75% | | | 04/25/36 | 3 | | | 17,325,000 | | | | 14,435,138 | |
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| JPMorgan Mortgage Trust 2006-A3 3A3 | | | | | | | | | |
5.72% | | | 05/25/36 | 3 | | $ | 4,000,000 | | | $ | 3,273,006 | |
| JPMorgan Mortgage Trust 2006-A3 3A4 | | | | | | | | | |
5.72% | | | 05/25/36 | 3 | | | 23,500,000 | | | | 19,233,808 | |
| Lehman XS Trust 2007-15N 2A1 | | | | | | | | | |
0.51% | | | 08/25/37 | 3 | | | 60,526,781 | | | | 39,965,682 | |
| Lehman XS Trust 2007-16N 2A2 | | | | | | | | | |
1.11% | | | 09/25/47 | 3 | | | 472,899 | | | | 283,787 | |
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2 | | | | | | | | | |
5.18% | | | 01/25/34 | 3 | | | 306,945 | | | | 311,042 | |
MASTR Adjustable Rate Mortgages Trust 2004-13 3A7A | | | | | | | | | |
2.90% | | | 11/21/34 | 3 | | | 440,000 | | | | 418,275 | |
| MASTR Adjustable Rate Mortgages Trust 2004-5 3A1 | | | | | | | | | |
2.77% | | | 06/25/34 | 3 | | | 2,198 | | | | 1,854 | |
MASTR Adjustable Rate Mortgages Trust 2007-3 22A5 | | | | | | | | | |
0.60% | | | 05/25/47 | | | | 735,000 | | | | 115,987 | |
MASTR Asset Securitization Trust 2002-8 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 68,604 | | | | 71,305 | |
MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
3.15% | | | 10/25/32 | 3 | | | 73,361 | | | | 63,122 | |
MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 3,821,022 | | | | 3,991,056 | |
| Merrill Lynch Alternative Note Asset 2007-AF1 AV1 | | | | | | | | | |
5.33% | | | 06/25/37 | 3 | | | 7,380,952 | | | | 3,983,517 | |
| Morgan Stanley Mortgage Loan Trust 2006-7 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 3 | | | 300,000 | | | | 173,597 | |
Nomura Asset Acceptance Corp. 2006-AR4 A1A | | | | | | | | | |
0.43% | | | 12/25/36 | 3 | | | 1,023,443 | | | | 472,448 | |
| Ocwen Residential MBS Corp. 1998-R2 AP | | | | | | | | | |
12.10% | | | 11/25/34 | 3,4 | | | 22,835 | | | | 14,859 | |
| Residential Accredit Loans, Inc. 2003-QS3 A4 | | | | | | | | | |
5.50% | | | 02/25/18 | | | | 121,668 | | | | 122,342 | |
| Residential Accredit Loans, Inc. 2007-QO4 A1 | | | | | | | | | |
0.46% | | | 05/25/47 | 3 | | | 26,010,480 | | | | 15,484,806 | |
Residential Asset Mortgage Products, Inc. 2004-SL1 A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 169,518 | | | | 169,399 | |
| Residential Asset Mortgage Products, Inc. 2004-SL3 A2 | | | | | | | | | |
6.50% | | | 12/25/31 | | | | 177,761 | | | | 175,915 | |
Residential Asset Securitization Trust 2004-IP2 2A1 | | | | | | | | | |
2.82% | | | 12/25/34 | 3 | | | 53,090 | | | | 50,839 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 53
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Ryland Mortgage Securities Corp. 1994-5 A2 | | | | | | | | | |
3.76% | | | 10/25/23 | 3 | | $ | 125,458 | | | $ | 126,424 | |
| Ryland Mortgage Securities Corp. 1994-5 M3 | | | | | | | | | |
3.76% | | | 10/25/23 | 3 | | | 298,220 | | | | 210,832 | |
| Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1 | | | | | | | | | |
2.76% | | | 12/27/35 | 3 | | | 3,782,724 | | | | 2,335,692 | |
| Structured Asset Mortgage Investments, Inc. 2007-AR1 1A1 | | | | | | | | | |
0.42% | | | 01/25/37 | 3 | | | 63,427,515 | | | | 37,360,709 | |
| Structured Asset Mortgage Investments, Inc. 2007-AR6 A1 | | | | | | | | | |
1.89% | | | 08/25/47 | 3 | | | 52,419,661 | | | | 31,763,222 | |
| Structured Asset Securities Corp. 1997-2 2A4 | | | | | | | | | |
7.25% | | | 03/28/30 | | | | 5,736 | | | | 5,800 | |
| Structured Asset Securities Corp. 2001-15A 4A1 | | | | | | | | | |
6.00% | | | 10/25/31 | 3 | | | 13,258 | | | | 12,643 | |
| Thornburg Mortgage Securities Trust 2007-3 3A1 | | | | | | | | | |
0.48% | | | 06/25/47 | 3 | | | 10,374,630 | | | | 10,016,643 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-3 2A3 | | | | | | | | | |
0.81% | | | 05/25/35 | 3 | | | 14,706,867 | | | | 10,214,743 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13 | | | | | | | | | |
0.76% | | | 06/25/35 | 3 | | | 21,798,201 | | | | 14,979,713 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-1 2A1 | | | | | | | | | |
6.00% | | | 01/25/22 | | | | 2,113,518 | | | | 1,828,552 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
1.14% | | | 04/25/47 | 3 | | | 25,664,132 | | | | 14,469,668 | |
| Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
2.79% | | | 01/25/33 | 3 | | | 27,970 | | | | 27,134 | |
| Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1 | | | | | | | | | |
2.70% | | | 06/25/33 | 3 | | | 86,461 | | | | 85,891 | |
| Washington Mutual Mortgage Pass-Through Certificates 2004-AR3 A2 | | | | | | | | | |
2.71% | | | 06/25/34 | 3 | | | 115,661 | | | | 115,035 | |
| Washington Mutual Mortgage Pass-Through Certificates 2004-AR6 A | | | | | | | | | |
0.73% | | | 05/25/44 | 3 | | | 250,991 | | | | 184,835 | |
| Washington Mutual Mortgage Pass-Through Certificates 2005-AR12 1A6 | | | | | | | | | |
2.80% | | | 10/25/35 | 3 | | | 310,000 | | | | 238,203 | |
| Washington Mutual Mortgage Pass-Through Certificates 2005-AR16 1A4A | | | | | | | | | |
5.01% | | | 12/25/35 | 3 | | | 320,000 | | | | 250,015 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B | | | | | | | | | |
3.30% | | | 07/25/46 | 3 | | $ | 3,538,527 | | | $ | 1,256,981 | |
| Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 A1A | | | | | | | | | |
1.09% | | | 02/25/47 | 3 | | | 479,119 | | | | 284,453 | |
| Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 2A | | | | | | | | | |
1.16% | | | 04/25/47 | 3 | | | 248,502 | | | | 133,595 | |
| Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A | | | | | | | | | |
1.14% | | | 05/25/47 | 3 | | | 624,493 | | | | 386,111 | |
| Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A | | | | | | | | | |
1.20% | | | 07/25/47 | 3 | | | 229,241 | | | | 146,943 | |
| Wells Fargo Mortgage Backed Securities Trust 2004-G A3 | | | | | | | | | |
4.74% | | | 06/25/34 | 3 | | | 1,565,000 | | | | 1,558,061 | |
| Wells Fargo Mortgage Backed Securities Trust 2004-L A8 | | | | | | | | | |
4.77% | | | 07/25/34 | 3 | | | 1,740,000 | | | | 1,778,199 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 620,089,371 | |
| | | | | | | | | | | | |
|
| U.S. Agency Mortgage-Backed — 28.06% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.50% | | | 10/25/25 | | | | 654,890,000 | | | | 675,764,619 | |
3.50% | | | 11/25/25 | | | | 272,255,000 | | | | 279,912,172 | |
Fannie Mae 1989-27 Y | | | | | | | | | |
6.90% | | | 06/25/19 | | | | 1,145 | | | | 1,243 | |
Fannie Mae 1991-65 Z | | | | | | | | | |
6.50% | | | 06/25/21 | | | | 28,487 | | | | 31,252 | |
Fannie Mae 1992-123 Z | | | | | | | | | |
7.50% | | | 07/25/22 | | | | 3,784 | | | | 4,357 | |
Fannie Mae 1992-83 Z | | | | | | | | | |
7.00% | | | 06/25/22 | | | | 3,002 | | | | 3,012 | |
Fannie Mae 1993-132 D (PO) | | | | | | | | | |
0.82% | | | 10/25/22 | 9 | | | 216,827 | | | | 196,424 | |
Fannie Mae 1993-199 SD (IO) | | | | | | | | | |
0.88% | | | 10/25/23 | 3 | | | 659,745 | | | | 11,195 | |
Fannie Mae 1993-29 PK | | | | | | | | | |
7.00% | | | 03/25/23 | | | | 108,635 | | | | 120,273 | |
Fannie Mae 1994-55 H | | | | | | | | | |
7.00% | | | 03/25/24 | | | | 102,193 | | | | 114,713 | |
Fannie Mae 1997-34 SA | | | | | | | | | |
9.71% | | | 10/25/23 | 3 | | | 22,655 | | | | 28,653 | |
Fannie Mae 1999-11 Z | | | | | | | | | |
5.50% | | | 03/25/29 | | | | 451,464 | | | | 484,986 | |
Fannie Mae 2001-52 YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | | 270,079 | | | | 305,637 | |
Fannie Mae 2003-106 WG | | | | | | | | | |
4.50% | | | 11/25/23 | | | | 32,004,000 | | | | 34,890,140 | |
See accompanying notes to Schedule of Portfolio Investments.
54 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae 2003-52 SV | | | | | | | | | |
17.39% | | | 05/25/31 | 3 | | $ | 865,111 | | | $ | 916,085 | |
| Fannie Mae 2003-W2 2A9 | | | | | | | | | |
5.90% | | | 07/25/42 | | | | 89,901 | | | | 98,088 | |
| Fannie Mae 2005-104 NI | | | | | | | | | |
6.44% | | | 03/25/35 | 3 | | | 109,553,073 | | | | 18,231,077 | |
| Fannie Mae 2005-117 LC | | | | | | | | | |
5.50% | | | 11/25/35 | | | | 46,177,000 | | | | 50,724,765 | |
| Fannie Mae 2005-92 US (IO) | | | | | | | | | |
5.84% | | | 10/25/25 | 3 | | | 47,845,710 | | | | 6,010,818 | |
| Fannie Mae 2006-18 PD | | | | | | | | | |
5.50% | | | 08/25/34 | | | | 345,000 | | | | 380,027 | |
| Fannie Mae 2006-4 WE | | | | | | | | | |
4.50% | | | 02/25/36 | | | | 400,000 | | | | 431,870 | |
| Fannie Mae 2006-80 PG | | | | | | | | | |
6.00% | | | 06/25/35 | | | | 23,300,000 | | | | 25,760,363 | |
| Fannie Mae 2007-34 SB (IO) | | | | | | | | | |
5.85% | | | 04/25/37 | 3 | | | 53,778,075 | | | | 6,811,208 | |
| Fannie Mae 2008-24 NA | | | | | | | | | |
6.75% | | | 06/25/37 | | | | 21,043,836 | | | | 23,395,777 | |
| Fannie Mae 2010-17 SB | | | | | | | | | |
6.09% | | | 03/25/40 | 3 | | | 56,038,912 | | | | 8,413,850 | |
| Fannie Mae 2010-43 KS | | | | | | | | | |
6.16% | | | 05/25/40 | 3 | | | 108,731,136 | | | | 14,814,552 | |
| Fannie Mae 3210 PD | | | | | | | | | |
6.00% | | | 08/15/35 | | | | 360,000 | | | | 402,888 | |
| Fannie Mae G92-36 Z | | | | | | | | | |
7.00% | | | 07/25/22 | | | | 790 | | | | 883 | |
| Fannie Mae G93-21 Z | | | | | | | | | |
7.20% | | | 05/25/23 | | | | 14,655 | | | | 16,754 | |
| Fannie Mae Pool 190375 | | | | | | | | | |
5.50% | | | 11/01/36 | | | | 17,001,030 | | | | 18,125,700 | |
| Fannie Mae Pool 233672 | | | | | | | | | |
3.24% | | | 09/01/23 | 3 | | | 20,551 | | | | 21,521 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 115,369 | | | | 126,385 | |
Fannie Mae Pool 254868 | | | | | | | | | |
5.00% | | | 09/01/33 | | | | 42,814,607 | | | | 45,466,298 | |
Fannie Mae Pool 308798 | | | | | | | | | |
2.51% | | | 04/01/25 | 3 | | | 6,173 | | | | 6,488 | |
| Fannie Mae Pool 312155 | | | | | | | | | |
2.42% | | | 03/01/25 | 3 | | | 20,658 | | | | 20,850 | |
| Fannie Mae Pool 313182 | | | | | | | | | |
7.50% | | | 10/01/26 | | | | 11,238 | | | | 12,799 | |
| Fannie Mae Pool 383124 | | | | | | | | | |
6.48% | | | 01/01/11 | | | | 120,691 | | | | 122,279 | |
| Fannie Mae Pool 384569 | | | | | | | | | |
6.20% | | | 01/01/12 | | | | 100,000 | | | | 104,186 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 384762 | | | | | | | | | |
6.01% | | | 02/01/12 | | | $ | 156,219 | | | $ | 163,103 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 19,641 | | | | 21,787 | |
| Fannie Mae Pool 545269 | | | | | | | | | |
5.94% | | | 11/01/11 | | | | 160,172 | | | | 164,726 | |
| Fannie Mae Pool 545322 | | | | | | | | | |
5.94% | | | 11/01/11 | | | | 90,038 | | | | 91,512 | |
| Fannie Mae Pool 545831 | | | | | | | | | |
6.50% | | | 08/01/17 | | | | 72,975 | | | | 79,279 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 8,423 | | | | 9,058 | |
| Fannie Mae Pool 613142 | | | | | | | | | |
7.00% | | | 11/01/31 | | | | 93,328 | | | | 104,496 | |
| Fannie Mae Pool 625666 | | | | | | | | | |
7.00% | | | 01/01/32 | | | | 51,029 | | | | 58,012 | |
| Fannie Mae Pool 633698 | | | | | | | | | |
7.50% | | | 02/01/31 | | | | 52,950 | | | | 60,965 | |
| Fannie Mae Pool 637093 | | | | | | | | | |
8.50% | | | 03/01/32 | | | | 19,471 | | | | 22,665 | |
| Fannie Mae Pool 642322 | | | | | | | | | |
2.54% | | | 05/01/32 | 3 | | | 1,259 | | | | 1,319 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 3 | | | 8,722 | | | | 8,914 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 616,027 | | | | 700,295 | |
| Fannie Mae Pool 725027 | | | | | | | | | |
5.00% | | | 11/01/33 | | | | 49,776,695 | | | | 52,788,578 | |
| Fannie Mae Pool 725232 | | | | | | | | | |
5.00% | | | 03/01/34 | | | | 114,325 | | | | 121,406 | |
| Fannie Mae Pool 725257 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 9,430,086 | | | | 10,133,482 | |
| Fannie Mae Pool 725372 | | | | | | | | | |
6.94% | | | 12/01/10 | | | | 144,521 | | | | 141,911 | |
| Fannie Mae Pool 725425 | | | | | | | | | |
5.50% | | | 04/01/34 | | | | 35,393,190 | | | | 37,981,320 | |
| Fannie Mae Pool 730957 | | | | | | | | | |
5.00% | | | 08/01/33 | | | | 15,217,549 | | | | 16,140,708 | |
| Fannie Mae Pool 734922 | | | | | | | | | |
4.50% | | | 09/01/33 | | | | 15,554,740 | | | | 16,386,114 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 77,001 | | | | 85,680 | |
| Fannie Mae Pool 735224 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 48,620,736 | | | | 52,247,384 | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | | 14,789,253 | | | | 15,713,252 | |
| Fannie Mae Pool 735651 | | | | | | | | | |
4.50% | | | 06/01/35 | | | | 53,903,927 | | | | 56,633,394 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 55
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | $ | 384,141 | | | $ | 418,900 | |
| Fannie Mae Pool 735883 | | | | | | | | | |
6.00% | | | 03/01/33 | | | | 10,247,873 | | | | 11,245,440 | |
| Fannie Mae Pool 740297 | | | | | | | | | |
5.50% | | | 10/01/33 | | | | 35,996 | | | | 38,681 | |
| Fannie Mae Pool 741862 | | | | | | | | | |
5.50% | | | 09/01/33 | | | | 35,896 | | | | 38,574 | |
| Fannie Mae Pool 745592 | | | | | | | | | |
5.00% | | | 01/01/21 | | | | 66,120 | | | | 70,576 | |
| Fannie Mae Pool 765387 | | | | | | | | | |
6.00% | | | 08/01/34 | | | | 350,013 | | | | 385,401 | |
| Fannie Mae Pool 770284 | | | | | | | | | |
5.00% | | | 04/01/34 | | | | 6,633,235 | | | | 7,033,562 | |
| Fannie Mae Pool 770332 | | | | | | | | | |
5.00% | | | 04/01/34 | | | | 24,266,024 | | | | 25,730,517 | |
| Fannie Mae Pool 789606 | | | | | | | | | |
6.00% | | | 08/01/34 | | | | 104,046 | | | | 114,823 | |
| Fannie Mae Pool 817611 | | | | | | | | | |
5.32% | | | 11/01/35 | 3 | | | 5,374,990 | | | | 5,733,972 | |
| Fannie Mae Pool 836952 | | | | | | | | | |
5.41% | | | 10/01/35 | 3 | | | 144,715 | | | | 154,773 | |
| Fannie Mae Pool 841031 | | | | | | | | | |
5.27% | | | 11/01/35 | 3 | | | 459,972 | | | | 491,174 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
5.04% | | | 12/01/35 | 3 | | | 79,151 | | | | 84,383 | |
| Fannie Mae Pool 888412 | | | | | | | | | |
7.00% | | | 04/01/37 | | | | 6,355,860 | | | | 7,061,031 | |
| Fannie Mae Pool 888430 | | | | | | | | | |
5.00% | | | 11/01/33 | | | | 38,789,448 | | | | 41,136,516 | |
| Fannie Mae Pool 888873 | | | | | | | | | |
6.50% | | | 08/01/37 | | | | 7,555,386 | | | | 8,282,002 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 41,805,953 | | | | 44,649,084 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 43,417,563 | | | | 46,585,690 | |
| Fannie Mae Pool 895606 | | | | | | | | | |
5.76% | | | 06/01/36 | 3 | | | 217,421 | | | | 232,233 | |
| Fannie Mae Pool 908408 | | | | | | | | | |
5.52% | | | 04/01/37 | 3 | | | 16,835,385 | | | | 17,933,971 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.75% | | | 05/01/37 | 3 | | | 510,556 | | | | 545,337 | |
| Fannie Mae Pool 928920 | | | | | | | | | |
6.50% | | | 12/01/37 | | | | 20,168,928 | | | | 22,035,097 | |
| Fannie Mae Pool 933033 | | | | | | | | | |
6.50% | | | 10/01/37 | | | | 18,581,030 | | | | 20,022,511 | |
| Freddie Mac 1004 H | | | | | | | | | |
7.95% | | | 10/15/20 | | | | 924 | | | | 923 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac 1073 G | | | | | | | | | |
7.00% | | | 05/15/21 | | | $ | 3,328 | | | $ | 3,860 | |
| Freddie Mac 1107 ZC | | | | | | | | | |
6.50% | | | 07/15/21 | | | | 13,438 | | | | 15,169 | |
| Freddie Mac 165 K | | | | | | | | | |
6.50% | | | 09/15/21 | | | | 551 | | | | 552 | |
| Freddie Mac 1980 Z | | | | | | | | | |
7.00% | | | 07/15/27 | | | | 401,702 | | | | 465,222 | |
| Freddie Mac 1983 Z | | | | | | | | | |
6.50% | | | 12/15/23 | | | | 235,626 | | | | 263,486 | |
| Freddie Mac 2043 CJ | | | | | | | | | |
6.50% | | | 04/15/28 | | | | 61,611 | | | | 69,068 | |
| Freddie Mac 2098 TZ | | | | | | | | | |
6.00% | | | 01/15/28 | | | | 910,705 | | | | 998,974 | |
| Freddie Mac 2209 TC | | | | | | | | | |
8.00% | | | 01/15/30 | | | | 249,490 | | | | 282,115 | |
| Freddie Mac 2481 AW | | | | | | | | | |
6.50% | | | 08/15/32 | | | | 113,835 | | | | 125,687 | |
| Freddie Mac 2624 QE | | | | | | | | | |
5.00% | | | 09/15/28 | | | | 138,687 | | | | 140,780 | |
| Freddie Mac 2627 NI (IO) | | | | | | | | | |
5.00% | | | 04/15/29 | | | | 1,501,077 | | | | 49,473 | |
| Freddie Mac 2642 BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 88,101 | | | | 11,166 | |
| Freddie Mac 2929 PE | | | | | | | | | |
5.00% | | | 05/15/33 | | | | 1,585,000 | | | | 1,713,298 | |
| Freddie Mac 2971 AB | | | | | | | | | |
5.00% | | | 05/15/20 | | | | 3,688 | | | | 3,931 | |
| Freddie Mac Gold A14189 | | | | | | | | | |
4.00% | | | 10/01/33 | | | | 203,327 | | | | 209,175 | |
| Freddie Mac Gold A24156 | | | | | | | | | |
6.50% | | | 10/01/31 | | | | 1,754,929 | | | | 1,948,841 | |
| Freddie Mac Gold A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 17,364,939 | | | | 18,606,262 | |
| Freddie Mac Gold A39012 | | | | | | | | | |
5.50% | | | 06/01/35 | | | | 88,207 | | | | 94,251 | |
| Freddie Mac Gold A54856 | | | | | | | | | |
5.00% | | | 01/01/34 | | | | 25,176,878 | | | | 26,655,036 | |
| Freddie Mac Gold A61164 | | | | | | | | | |
5.00% | | | 04/01/36 | | | | 319,690 | | | | 338,160 | |
| Freddie Mac Gold A64183 | | | | | | | | | |
6.00% | | | 08/01/37 | | | | 109,573 | | | | 119,456 | |
| Freddie Mac Gold A65805 | | | | | | | | | |
6.00% | | | 09/01/37 | | | | 2,511,909 | | | | 2,738,471 | |
| Freddie Mac Gold A73260 | | | | | | | | | |
6.00% | | | 02/01/38 | | | | 231,067 | | | | 250,392 | |
| Freddie Mac Gold A83009 | | | | | | | | | |
6.00% | | | 11/01/38 | | | | 23,321,994 | | | | 25,119,427 | |
See accompanying notes to Schedule of Portfolio Investments.
56 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold C01492 | | | | | | | | | |
5.00% | | | 02/01/33 | | | $ | 8,118,596 | | | $ | 8,597,783 | |
| Freddie Mac Gold C03094 | | | | | | | | | |
6.00% | | | 11/01/37 | | | | 214,494 | | | | 233,907 | |
| Freddie Mac Gold C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 86,587 | | | | 96,155 | |
| Freddie Mac Gold C55789 | | | | | | | | | |
7.50% | | | 10/01/27 | | | | 37,331 | | | | 42,461 | |
| Freddie Mac Gold C90573 | | | | | | | | | |
6.50% | | | 08/01/22 | | | | 381,659 | | | | 420,817 | |
| Freddie Mac Gold E02402 | | | | | | | | | |
6.00% | | | 10/01/22 | | | | 137,664 | | | | 149,582 | |
| Freddie Mac Gold G00992 | | | | | | | | | |
7.00% | | | 11/01/28 | | | | 5,697 | | | | 6,457 | |
| Freddie Mac Gold G01515 | | | | | | | | | |
5.00% | | | 02/01/33 | | | | 8,418,189 | | | | 8,915,059 | |
| Freddie Mac Gold G01601 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 947,005 | | | | 974,242 | |
| Freddie Mac Gold G01611 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 277,562 | | | | 285,545 | |
| Freddie Mac Gold G01644 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 30,644,454 | | | | 32,892,429 | |
| Freddie Mac Gold G01673 | | | | | | | | | |
5.50% | | | 04/01/34 | | | | 2,563,886 | | | | 2,781,354 | |
| Freddie Mac Gold G02366 | | | | | | | | | |
6.50% | | | 10/01/36 | | | | 12,143,451 | | | | 13,319,847 | |
| Freddie Mac Gold G02461 | | | | | | | | | |
6.50% | | | 11/01/36 | | | | 12,196,753 | | | | 13,378,313 | |
| Freddie Mac Gold G02579 | | | | | | | | | |
5.00% | | | 12/01/34 | | | | 14,651,615 | | | | 15,527,002 | |
| Freddie Mac Gold G02884 | | | | | | | | | |
6.00% | | | 04/01/37 | | | | 30,825,558 | | | | 33,403,586 | |
| Freddie Mac Gold G02955 | | | | | | | | | |
5.50% | | | 03/01/37 | | | | 23,913,085 | | | | 25,895,255 | |
| Freddie Mac Gold G03357 | | | | | | | | | |
5.50% | | | 08/01/37 | | | | 10,501,684 | | | | 11,378,739 | |
| Freddie Mac Gold G03436 | | | | | | | | | |
6.00% | | | 11/01/37 | | | | 48,275,164 | | | | 52,629,357 | |
| Freddie Mac Gold G03601 | | | | | | | | | |
6.00% | | | 07/01/37 | | | | 34,893,660 | | | | 38,030,000 | |
| Freddie Mac Gold G03676 | | | | | | | | | |
5.50% | | | 12/01/37 | | | | 25,291,393 | | | | 27,419,426 | |
| Freddie Mac Gold G03739 | | | | | | | | | |
6.00% | | | 11/01/37 | | | | 28,355,733 | | | | 30,913,287 | |
| Freddie Mac Gold G03783 | | | | | | | | | |
5.50% | | | 01/01/38 | | | | 11,725,553 | | | | 12,712,148 | |
| Freddie Mac Gold G03985 | | | | | | | | | |
6.00% | | | 03/01/38 | | | | 147,442 | | | | 159,773 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold G04053 | |
5.50% | | | 03/01/38 | | | $ | 132,306 | | | $ | 142,264 | |
| Freddie Mac Gold G04079 | | | | | | | | | |
5.50% | | | 03/01/38 | | | | 50,477,937 | | | | 54,725,181 | |
| Freddie Mac Gold G04438 | | | | | | | | | |
5.50% | | | 05/01/38 | | | | 48,345,203 | | | | 51,977,043 | |
| Freddie Mac Gold G04484 | | | | | | | | | |
6.00% | | | 08/01/38 | | | | 171,449 | | | | 187,074 | |
| Freddie Mac Gold G04516 | | | | | | | | | |
6.00% | | | 07/01/38 | | | | 118,225 | | | | 128,999 | |
| Freddie Mac Gold G04703 | | | | | | | | | |
5.50% | | | 08/01/38 | | | | 67,446,303 | | | | 71,898,811 | |
| Freddie Mac Gold G04706 | | | | | | | | | |
5.50% | | | 09/01/38 | | | | 936,722 | | | | 1,016,416 | |
| Freddie Mac Gold G04710 | | | | | | | | | |
6.00% | | | 09/01/38 | | | | 9,243,193 | | | | 10,030,670 | |
| Freddie Mac Gold G04711 | | | | | | | | | |
6.00% | | | 09/01/38 | | | | 423,749 | | | | 458,658 | |
| Freddie Mac Gold G05866 | | | | | | | | | |
4.50% | | | 02/01/40 | | | | 67,038,371 | | | | 70,596,112 | |
| Freddie Mac Gold G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 4,369,889 | | | | 4,742,500 | |
| Freddie Mac Gold G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 36,695,446 | | | | 39,622,480 | |
| Freddie Mac Gold G12399 | | | | | | | | | |
6.00% | | | 09/01/21 | | | | 19,685 | | | | 21,372 | |
| Freddie Mac Gold G12824 | | | | | | | | | |
6.00% | | | 08/01/22 | | | | 10,626,002 | | | | 11,540,419 | |
| Freddie Mac Gold G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 28,560,279 | | | | 30,995,711 | |
| Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 8,165,210 | | | | 8,827,039 | |
| Freddie Mac Gold G13058 | | | | | | | | | |
4.50% | | | 10/01/20 | | | | 25,788,584 | | | | 27,399,795 | |
| Freddie Mac Gold H00790 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 373,800 | | | | 393,729 | |
| Freddie Mac Gold H05069 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 27,268,529 | | | | 28,722,283 | |
| Freddie Mac Gold H09082 | | | | | | | | | |
6.50% | | | 09/01/37 | | | | 135,756 | | | | 146,023 | |
| Freddie Mac Non Gold Pool 1J0045 | | | | | | | | | |
5.12% | | | 01/01/36 | 3 | | | 216,686 | | | | 231,053 | |
| Freddie Mac Non Gold Pool 781415 | | | | | | | | | |
2.61% | | | 04/01/34 | 3 | | | 4,110,530 | | | | 4,290,654 | |
| Freddie Mac Non Gold Pool 781469 | | | | | | | | | |
2.61% | | | 04/01/34 | 3 | | | 3,632,531 | | | | 3,791,345 | |
| Freddie Mac Non Gold Pool 781817 | | | | | | | | | |
2.61% | | | 08/01/34 | 3 | | | 70,902 | | | | 73,959 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 57
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Non Gold Pool 788498 | | | | | | | | | |
2.90% | | | 02/01/30 | 3 | | $ | 337,306 | | | $ | 355,901 | |
| Freddie Mac Non Gold Pool 847288 | | | | | | | | | |
2.68% | | | 05/01/34 | 3 | | | 5,518,462 | | | | 5,760,969 | |
| Ginnie Mae 2000-22 SG (IO) | | | | | | | | | |
10.54% | | | 05/16/30 | 3 | | | 1,233,387 | | | | 234,818 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 1,421,715 | | | | 79,691 | |
| Ginnie Mae 2003-86 ZK | | | | | | | | | |
5.00% | | | 10/20/33 | | | | 21,464,712 | | | | 23,144,645 | |
| Ginnie Mae 2005-78 ZA | | | | | | | | | |
5.00% | | | 10/16/35 | | | | 19,937,324 | | | | 21,319,517 | |
| Ginnie Mae 2007-35 PY | | | | | | | | | |
6.49% | | | 06/16/37 | 3 | | | 91,222,486 | | | | 15,896,941 | |
| Ginnie Mae 2009-106 SD (IO) | | | | | | | | | |
5.99% | | | 03/20/36 | 3 | | | 97,974,198 | | | | 11,466,449 | |
| Ginnie Mae 2010-4 SM (IO) | | | | | | | | | |
5.54% | | | 01/16/40 | 3 | | | 82,724,374 | | | | 8,215,176 | |
| Ginnie Mae 2010-6 BS (IO) | | | | | | | | | |
6.24% | | | 09/16/39 | 3 | | | 49,563,324 | | | | 6,301,015 | |
| Ginnie Mae I (TBA) | | | | | | | | | |
4.00% | | | 10/15/40 | | | | 367,590,000 | | | | 380,111,034 | |
| Ginnie Mae I Pool 782817 | | | | | | | | | |
4.50% | | | 11/15/39 | | | | 76,433,770 | | | | 80,607,290 | |
| Ginnie Mae II Pool 2631 | | | | | | | | | |
7.00% | | | 08/20/28 | | | | 8,426 | | | | 9,388 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
3.63% | | | 07/20/34 | 3 | | | 52,829 | | | | 54,434 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,118,070,352 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $4,270,655,845) | | | | 4,573,295,467 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.70%* | |
| California — 0.39% | |
| State of California, Public Improvements, G.O., Build America Bonds | | | | | | | | | |
7.30% | | | 10/01/39 | | | | 19,880,000 | | | | 21,061,866 | |
| State of California, School Improvements, G.O., Build America Bonds | | | | | | | | | |
6.65% | | | 03/01/22 | | | | 3,975,000 | | | | 4,428,865 | |
| State of California, School Improvements, G.O., Build America Bonds, Taxable Variable Purpose | | | | | | | | | |
7.55% | | | 04/01/39 | | | | 7,799,000 | | | | 8,489,290 | |
| State of California, School Improvements, G.O., Taxable Variable Purpose | | | | | | | | | |
5.50% | | | 03/01/16 | | | | 8,450,000 | | | | 9,102,847 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 43,082,868 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MUNICIPAL BONDS (continued) | |
| Illinois — 0.28% | |
| State of Illinois, Build America Revenue Bonds | | | | | | | | | |
7.35% | | | 07/01/35 | | | $ | 13,480,000 | | | $ | 14,159,392 | |
| State of Illinois, Pension Funding G.O., Taxable | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 17,070,000 | | | | 17,699,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,858,592 | |
| | | | | | | | | | | | |
|
| Pennsylvania — 0.03% | |
| Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds | | | | | | | | | |
6.75% | | | 12/01/36 | | | | 2,985,000 | | | | 3,096,221 | |
| | | | | | | | | | | | |
|
| Texas — 0.00% | |
| County of Harris, Flood Control District Contract, Series B Refunding Notes, G.O., Pre-Refunded 10/01/13 @ 100 | | | | | | | | | |
5.25% | | | 10/01/20 | | | | 7,000 | | | | 7,916 | |
| | | | | | | | | | | | |
Total Municipal Bonds | | | | | |
| (Cost $73,407,163) | | | | 78,045,597 | |
| | | | | | | | | | | | |
|
| U.S. TREASURY SECURITIES — 28.41% | |
| U.S. Treasury Bonds — 3.98% | |
4.25% | | | 05/15/39 | | | | 16,795,000 | | | | 18,466,623 | |
8.00% | | | 11/15/21 | | | | 79,578,000 | | | | 120,069,523 | |
2.13% | | | 02/15/40 | | | | 56,870,000 | | | | 64,276,734 | |
2.38% | | | 01/15/25 | | | | 83,110,000 | | | | 110,773,721 | |
3.50% | | | 01/15/11 | | | | 43,185,000 | | | | 54,596,439 | |
3.00% | | | 11/15/21 | | | | 103,555,000 | | | | 74,335,196 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 442,518,236 | |
| | | | | | | | | | | | |
|
| U.S. Treasury Notes — 24.43% | |
0.88% | | | 04/30/11 | | | | 230,170,000 | | | | 231,055,625 | |
1.00% | | | 08/31/11 | | | | 229,645,000 | | | | 231,205,897 | |
1.25% | | | 09/30/15 | | | | 343,945,000 | | | | 343,461,345 | |
1.75% | | | 01/31/14 | | | | 290,000 | | | | 299,516 | |
1.75% | | | 07/31/15 | | | | 460,555,000 | | | | 471,708,260 | |
1.88% | | | 06/30/15 | | | | 433,320,000 | | | | 446,590,425 | |
2.00% | | | 01/15/16 | 10 | | | 26,339,000 | | | | 31,742,769 | |
2.38% | | | 03/31/16 | | | | 335,710,000 | | | | 352,049,677 | |
3.13% | | | 04/30/17 | | | | 317,950,000 | | | | 344,106,475 | |
3.38% | | | 11/15/19 | | | | 243,470,000 | | | | 262,319,934 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,714,539,923 | |
| | | | | | | | | | | | |
| Total U.S. Treasury Securities | | | | | |
| (Cost $3,100,145,099) | | | | 3,157,058,159 | |
| | | | | | | | | | | | |
| |
| Total Bonds – 107.73% | | | | | |
| (Cost $11,336,654,569) | | | | 11,973,147,226 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
58 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS — 5.30% | |
| Money Market Fund — 5.25% | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.25%11 | | | | | | | 414,257,000 | | | $ | 414,257,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.21%11 | | | | | | | 37,820,000 | | | | 37,820,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.16%11,12 | | | | | | | 131,265,000 | | | | 131,265,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 583,342,000 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.05% | |
| U.S. Treasury Bills | |
0.17%13 | | | 02/10/11 | 14 | | $ | 140,000 | | | | 139,932 | |
0.17%13 | | | 02/10/11 | 14 | | | 370,000 | | | | 369,821 | |
0.17%13 | | | 02/10/11 | 14 | | | 1,000,000 | | | | 999,516 | |
0.17%13 | | | 02/10/11 | 14 | | | 2,810,000 | | | | 2,808,640 | |
0.17%13 | | | 02/10/11 | 14 | | | 605,000 | | | | 604,707 | |
0.17%13 | | | 02/10/11 | 14 | | | 85,000 | | | | 84,959 | |
0.17%13 | | | 02/10/11 | 14 | | | 1,295,000 | | | | 1,294,373 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,301,948 | |
| | | | | | | | | | | | |
Total Short-Term Investments | | | | | |
| (Cost $589,642,975) | | | | 589,643,948 | |
| | | | | | | | | | | | |
Total Investments – 113.03% | | | | | | | | | |
| (Cost $11,926,297,544)1 | | | | 12,562,791,174 | |
| | | | | | | | | | | | |
Liabilities in Excess of Other Assets – (13.03)% | | | | (1,448,303,911 | ) |
| | | | | | | | | | | | |
NET ASSETS – 100.00% | | | $ | 11,114,487,263 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
CALL OPTIONS WRITTEN | |
| U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10 | | | (2,820 | ) | | $ | (1,787,475 | ) | | $ | (2,687,813 | ) |
| | | | | | | | | | | | |
Total Call Options Written | | | $ | (1,787,475 | ) | | $ | (2,687,813 | ) |
| | | | | | | | | | | | |
|
WRITTEN PUT OPTIONS | |
| U.S. Long Bond (CBT), Call Strike $121, expires 11/26/10 | | | (705 | ) | | $ | (549,251 | ) | | $ | (88,125 | ) |
| | | | | | | | | | | | |
Total Written Put Options | | | $ | (549,251 | ) | | $ | (88,125 | ) |
| | | | | | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
| FUTURES CONTRACTS: SHORT POSITIONS | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2010 | | | $ (59,182 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2011 | | | (69,582 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2011 | | | (79,170 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration September 2011 | | | (86,970 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2011 | | | (93,308 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2012 | | | (96,558 | ) |
| | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2012 | | | (98,345 | ) |
| | | | | | |
| | Net unrealized depreciation | | | $(583,115 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | |
| | | Expiration Date | | | Notional
Amount (000’s) | | | (Depreciation) | | | Value | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a fixed rate equal to 4.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc. | |
| | | 11/15/21 | | | | $ 9,002 | | | $ | (2,476,244 | ) | | $ | (2,476,244 | ) |
The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc. | |
| | | 11/15/21 | | | | 8,884 | | | | (2,609,840 | ) | | | (2,609,840 | ) |
The Fund pays a fixed rate equal to 4.54% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc. | |
| | | 11/15/21 | | | | 14,788 | | | | (4,393,996 | ) | | | (4,393,996 | ) |
The Fund pays a fixed rate equal to 4.70% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc. | |
| | | 11/15/21 | | | | 24,457 | | | | (7,952,124 | ) | | | (7,952,124 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | $57,131 | | | | $(17,432,204 | ) | | $ | (17,432,204 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley | |
| | | 09/20/12 | | | | $– | | | $ | 8,000 | | | $(30,136) | | $ | (30,136 | ) |
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 | | | (50,420) | | | (50,420 | ) |
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 | | | (48,560) | | | (48,560 | ) |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 59
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
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 | | | | $– | | | $ | 2,060 | | | $ | (110,974 | ) | | $ | (110,974 | ) |
|
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 | | | | – | | | | 4,580 | | | | (237,547 | ) | | | (237,547 | ) |
|
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 | | | | (4,551 | ) | | | (4,551 | ) |
|
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 | | | | – | | | | 5,200 | | | | (12,099 | ) | | | (12,099 | ) |
|
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley | |
| | | 03/20/13 | | | | – | | | | 1,625 | | | | (65,669 | ) | | | (65,669 | ) |
|
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG | |
| | | 03/20/13 | | | | – | | | | 1,575 | | | | (63,649 | ) | | | (63,649 | ) |
|
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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 06/20/13 | | | | – | | | | 4,320 | | | | (138,007 | ) | | | (138,007 | ) |
|
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 | | | | (737,159 | ) | | | (737,159 | ) |
|
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc. | |
| | | 03/20/14 | | | | – | | | | 7,335 | | | | (481,806 | ) | | | (481,806 | ) |
|
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG | |
| | | 03/20/14 | | | | – | | | | 5,100 | | | | (250,676 | ) | | | (250,676 | ) |
|
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc. | |
| | | 03/20/14 | | | | – | | | | 5,490 | | | | (409,230 | ) | | | (409,230 | ) |
|
The Fund pays a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc. | |
| | | 03/20/14 | | | | – | | | | 660 | | | | (62,467 | ) | | | (62,467 | ) |
|
The Fund pays a fixed rate equal to 1.20% 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. | |
| | | 03/20/14 | | | | – | | | | 4,865 | | | | (114,206 | ) | | | (114,206 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
|
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 Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | |
| | | 03/20/14 | | | | $ – | | | | $ 660 | | | | $ (21,213) | | | | $ (21,213) | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston | |
| | | 12/20/14 | | | | (90,057 | ) | | | 6,610 | | | | (42,073 | ) | | | (132,130 | ) |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston | |
| | | 12/20/14 | | | | (64,117 | ) | | | 5,000 | | | | (35,830 | ) | | | (99,947 | ) |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG | |
| | | 12/20/14 | | | | (76,228 | ) | | | 5,595 | | | | (35,613 | ) | | | (111,841 | ) |
|
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | | 03/20/15 | | | | – | | | | 4,100 | | | | (246,577 | ) | | | (246,577 | ) |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | | 09/20/16 | | | | 128,185 | | | | 3,450 | | | | 202,399 | | | | 330,584 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | | 09/20/16 | | | | 283,654 | | | | 5,510 | | | | 244,322 | | | | 527,976 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 296,009 | | | | 5,750 | | | | 254,964 | | | | 550,973 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc. | |
| | | 09/20/16 | | | | 17,798 | | | | 6,875 | | | | 453,924 | | | | 471,722 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | | 09/20/16 | | | | 85,259 | | | | 16,500 | | | | 1,046,874 | | | | 1,132,133 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | | 09/20/16 | | | | 16,513 | | | | 6,465 | | | | 427,077 | | | | 443,590 | |
|
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 132,553 | | | | 4,060 | | | | 302,869 | | | | 435,422 | |
|
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 88,064 | | | | 2,515 | | | | 181,662 | | | | 269,726 | |
|
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 141,768 | | | | 7,945 | | | | 710,308 | | | | 852,076 | |
See accompanying notes to Schedule of Portfolio Investments.
60 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston | |
| | | 09/20/16 | | | | $ 300,921 | | | | $ 8,825 | | | | $ 645,532 | | | | $ 946,453 | |
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 185,753 | | | | 6,165 | | | | 475,423 | | | | 661,176 | |
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 270,268 | | | | 7,725 | | | | 558,213 | | | | 828,481 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $1,716,343 | | | | $177,535 | | | | $2,305,105 | | | | $4,021,448 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Valuec | |
|
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES | |
|
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: Bank of America Corp. | |
| | | 10/12/52 | | | | $ 1,235,041 | | | | $ 2,130 | | | | $ (994,862) | | | | $ 240,179 | |
|
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: Bank of America Corp. | |
| | | 10/12/52 | | | | 14,824,398 | | | | 25,000 | | | | (12,005,398) | | | | 2,819,000 | |
|
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: Bank of America Corp. | |
| | | 10/12/52 | | | | 12,041,199 | | | | 20,450 | | | | (9,735,257) | | | | 2,305,942 | |
|
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: Bank of America Corp. | |
| | | 10/12/52 | | | | 6,952,637 | | | | 28,590 | | | | (3,728,829) | | | | 3,223,808 | |
|
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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 1,305,935 | | | | 15,430 | | | | 433,952 | | | | 1,739,887 | |
|
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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 2,033,963 | | | | 21,425 | | | | 381,920 | | | | 2,415,883 | |
|
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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 4,814,243 | | | | 8,525 | | | | (3,852,964) | | | | 961,279 | |
|
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: Barclays Capital, Inc. | |
| | | 10/12/52 | | | | 787,041 | | | | 1,325 | | | | (637,634) | | | | 149,407 | |
|
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: CS First Boston | |
| | | 10/12/52 | | | | 474,822 | | | | 805 | | | | (384,050) | | | | 90,772 | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES (continued) | |
|
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: CS First Boston | |
| | | 10/12/52 | | | | $ 4,239,209 | | | | $ 7,265 | | | | $ (3,420,008 | ) | | | $ 819,201 | |
|
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: CS First Boston | |
| | | 10/12/52 | | | | 22,869 | | | | 95 | | | | (12,157 | ) | | | 10,712 | |
|
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 | | | | 96,715 | | | | 1,310 | | | | 51,001 | | | | 147,716 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $48,828,072 | | | | $132,350 | | | | $(33,904,286 | ) | | | $14,923,786 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Credit Ratinga | | | Premiums
Paid/
(Received) | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
|
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
| | | | | |
| 12/20/10 | | | AAA | | | $– | | | $11,525 | | | | $167,067 | | | | $167,067 | |
|
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc. | |
| | | | | |
| 03/20/11 | | | AAA | | | – | | | 12,000 | | | | 189,879 | | | | 189,879 | |
|
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Morgan Stanley | |
| | | | | |
| 03/20/11 | | | AAA | | | – | | | 21,800 | | | | 344,946 | | | | 344,946 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | $– | | | $45,325 | | | | $701,892 | | | | $701,892 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation/
(Depreciation) | | | Valuec | |
|
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES | |
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 | | | | $(11,615,731) | | | | $22,038 | | | | $ 213,464 | | | | $(11,402,267) | |
|
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. (The) | |
| | | | | |
| | | 08/25/37 | | | | (11,512,781) | | | | 24,034 | | | | (922,741) | | | | (12,435,522) | |
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 | | | | (10,807,917) | | | | 22,563 | | | | (866,247) | | | | (11,674,164) | |
|
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | |
| | | | | |
| | | 01/25/38 | | | | (13,829,953) | | | | 21,921 | | | | 2,486,603 | | | | (11,343,350) | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 61
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | |
| | | 01/25/38 | | | $ | (7,005,880 | ) | | $ | 10,467 | | | $ | 1,589,686 | | | $ | (5,416,194 | ) |
|
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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | |
| | | 01/25/38 | | | | (6,797,863 | ) | | | 9,875 | | | | 1,688,246 | | | | (5,109,617 | ) |
|
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-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | |
| | | 01/25/38 | | | | (15,406,978 | ) | | | 24,686 | | | | 2,632,935 | | | | (12,774,043 | ) |
|
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-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | |
| | | 01/25/38 | | | | (15,377,004 | ) | | | 24,686 | | | | 2,602,961 | | | | (12,774,043 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | $ | (92,354,107 | ) | | $ | 160,270 | | | $ | 9,424,907 | | | $ | (82,929,200 | ) |
| | | | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $11,928,396,679 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 758,037,144 | |
Gross unrealized depreciation | | | (123,642,649 | ) |
| | | | |
Net unrealized appreciation | | $ | 634,394,495 | |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $844,016,404 , representing 7.59% of total net assets. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,424,027, which is 0.03% of total net assets. |
| 6 | Security is currently in default with regard to scheduled interest or principal payments. |
| 7 | Non-income producing security. |
| 8 | 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
Total
Net Assets | |
| 07/03/07 | | Asurion Corp. Term Loan, | | | | | | | | | | | | |
| | 3.29%, 07/07/14 | | | $738,503 | | | | $710,944 | | | | 0.01% | |
| | | | | | | | | | | | | | |
Date of Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets | |
| 06/08/10 | | Calpine New Development Holdings LLC, 7.00%, 07/01/17 | | | $ 9,293,467 | | | | $ 9,649,485 | | | | 0.09 | % |
| 06/01/07 | | Carestream Health, Inc. Term Loan, 5.51%, 10/30/13 | | | 251,659 | | | | 235,625 | | | | 0.00 | % |
| 06/27/07 | | Cengage Learning Term Loan B, 2.54%, 07/03/14 | | | 1,929,529 | | | | 1,747,543 | | | | 0.02 | % |
| 06/04/07 | | Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14 | | | 1,003,397 | | | | 934,375 | | | | 0.01 | % |
| 09/03/10 | | CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15 | | | 9,033,674 | | | | 9,088,596 | | | | 0.08 | % |
| 09/11/07 | | Delta Air Lines, Inc. Term Loan 1st Lien, 1.96%, 04/30/12 | | | 233,869 | | | | 229,831 | | | | 0.00 | % |
| 01/05/09 | | Dex Media West LLC Term Loan, 7.23%, 10/24/14 | | | 1,236,469 | | | | 1,672,223 | | | | 0.01 | % |
| 06/24/10 | | Harrah’s Entertainment, Inc. Term Loan B2, 3.50%, 01/28/15 | | | 18,506,094 | | | | 18,786,475 | | | | 0.17 | % |
| 10/10/07 | | HCA Term Loan A, 1.79%, 11/17/12 | | | 20,182,550 | | | | 20,263,454 | | | | 0.18 | % |
| 03/07/07 | | Kelson 1st Lien, 3.54%, 03/08/13 | | | 11,856,771 | | | | 12,455,655 | | | | 0.11 | % |
| 09/02/10 | | Kelson 2nd Lien (PIK), 6.79%, 03/08/14 | | | 3,319,267 | | | | 3,309,049 | | | | 0.03 | % |
| 11/06/07 | | TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14 | | | 974,756 | | | | 913,125 | | | | 0.01 | % |
| 11/25/08 | | Tribune 1st Lien Term Loan B, 3.25%, 06/04/14 | | | 450,000 | | | | 981,429 | | | | 0.01 | % |
| 06/11/09 | | TXU Energy Term Loan B1, 3.76%, 10/10/14 | | | 794,296 | | | | 766,549 | | | | 0.01 | % |
| 10/31/07 | | TXU Energy Term Loan B3, 3.76%, 10/10/14 | | | 2,421,354 | | | | 1,882,675 | | | | 0.01 | % |
| 11/30/07 | | Univision Communications, Inc. 1st Lien Strip, 2.51%, 09/29/14 | | | 353,749 | | | | 325,311 | | | | 0.01 | % |
| 09/23/10 | | Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16 | | | 22,249,517 | | | | 22,653,000 | | | | 0.20 | % |
| | | | | | | | | | | | | | |
| | | | | $104,828,921 | | | | $106,605,344 | | | | 0.96 | % |
| | | | | | | | | | | | | | |
| 9 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2010. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents the current yield as of September 30, 2010. |
| 12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $137,015,002. |
| 13 | Represents annualized yield at date of purchase. |
| 14 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $6,301,721. |
| † | Fair valued security. The aggregate value of fair valued securities is $112,228,998, which is 1.01% 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 ASC 820, 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. |
See accompanying notes to Schedule of Portfolio Investments.
62 / Semi-Annual Report September 2010
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | |
| (G.O.): General Obligation | | | | |
| (IO): Interest only | | | | |
| (LIBOR): London | | | | |
| InterBank Offer Rate | | | | |
(MTN): Medium-term Note | | | | |
(PIK): Payment in kind | | | | |
| | | | |
| (PO): Principal only | | | | |
| (STEP): Step coupon bond | | | | |
(TBA): To be announced | | | | |
| | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 63
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 89.52% | |
| ASSET-BACKED SECURITIES — 0.77%** | |
| Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B | | | | | | | | | |
0.40% | | | 05/25/37 | 2 | | $ | 4,900,000 | | | $ | 2,354,658 | |
| Countrywide Asset-Backed Certificates 2007-13 2A1 | | | | | | | | | |
1.16% | | | 10/25/47 | 2 | | | 613,072 | | | | 412,807 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23 | | | | | | | | | |
0.41% | | | 07/25/36 | 2 | | | 4,000,000 | | | | 2,427,866 | |
| Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B | | | | | | | | | |
0.37% | | | 10/25/36 | 2 | | | 3,800,000 | | | | 3,342,630 | |
| Home Equity Asset Trust 2007-1 2A1 | | | | | | | | | |
0.32% | | | 05/25/37 | 2 | | | 148,355 | | | | 143,291 | |
| HSBC Home Equity Loan Trust 2007-3 M1 | | | | | | | | | |
2.51% | | | 11/20/36 | 2 | | | 3,800,000 | | | | 2,009,573 | |
| Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2 | | | | | | | | | |
0.49% | | | 02/25/37 | 2 | | | 393,120 | | | | 187,804 | |
| | | | | | | | | | | | |
|
| Total Asset-Backed Securities | |
| (Cost $7,453,979) | | | | | | | | 10,878,629 | |
| | | | | | | | | | | | |
|
| CORPORATES — 74.79%* | |
| Automotive — 1.23% | |
| Cooper-Standard Automotive, Inc. | | | | | | | | | |
8.50% | | | 05/01/18 | 3 | | | 3,200,000 | | | | 3,336,000 | |
| Goodyear Tire & Rubber Co. (The) | | | | | | | | | |
8.25% | | | 08/15/20 | | | | 4,600,000 | | | | 4,807,000 | |
| Navistar International Corp. | | | | | | | | | |
8.25% | | | 11/01/21 | | | | 2,485,000 | | | | 2,665,163 | |
| Oshkosh Corp. | | | | | | | | | |
8.25% | | | 03/01/17 | | | | 1,750,000 | | | | 1,890,000 | |
| Tenneco, Inc. | | | | | | | | | |
8.13% | | | 11/15/15 | | | | 2,125,000 | | | | 2,215,313 | |
| TRW Automotive | | | | | | | | | |
3.50% | | | 12/01/15 | 3 | | | 1,545,000 | | | | 2,437,237 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 17,350,713 | |
| | | | | | | | | | | | |
|
| Banking — 3.76% | |
| Ally Financial, Inc. | | | | | | | | | |
2.50% | | | 12/01/14 | 2 | | | 10,053,000 | | | | 8,998,460 | |
7.50% | | | 09/15/20 | 3 | | | 3,450,000 | | | | 3,691,500 | |
8.00% | | | 03/15/20 | 3 | | | 3,250,000 | | | | 3,542,500 | |
8.30% | | | 02/12/15 | 3 | | | 2,900,000 | | | | 3,161,000 | |
| Bank of America N.A. | | | | | | | | | |
0.59% | | | 06/15/17 | 2 | | | 2,000,000 | | | | 1,675,656 | |
| BankAmerica Capital II | | | | | | | | | |
8.00% | | | 12/15/26 | | | | 3,855,000 | | | | 3,999,563 | |
| BankAmerica Capital III | | | | | | | | | |
1.10% | | | 01/15/27 | 2 | | | 2,700,000 | | | | 1,916,538 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Banking (continued) | |
| Chase Capital II B | | | | | | | | | |
0.97% | | | 02/01/27 | 2 | | $ | 11,790,000 | | | $ | 8,994,308 | |
| Chase Capital III C | | | | | | | | | |
0.85% | | | 03/01/27 | 2 | | | 3,000,000 | | | | 2,288,247 | |
| Chase Capital VI | | | | | | | | | |
1.09% | | | 08/01/28 | 2 | | | 1,000,000 | | | | 762,248 | |
| Discover Bank | | | | | | | | | |
8.70% | | | 11/18/19 | | | | 2,265,000 | | | | 2,676,951 | |
| Fleet Capital Trust V | | | | | | | | | |
1.29% | | | 12/18/28 | 2 | | | 3,750,000 | | | | 2,715,277 | |
| HBOS Capital Funding LP (United Kingdom) | | | | | | | | | |
6.07% | | | 06/24/49 | 2,3,4 | | | 300,000 | | | | 267,000 | |
| Nationsbank Capital Trust III | | | | | | | | | |
1.08% | | | 01/15/27 | 2 | | | 6,342,000 | | | | 4,459,073 | |
| Nationsbank Capital Trust IV | | | | | | | | | |
8.25% | | | 04/15/27 | | | | 815,000 | | | | 841,487 | |
| Provident Funding Associates | | | | | | | | | |
10.25% | | | 04/15/17 | 3 | | | 2,850,000 | | | | 2,935,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 52,925,308 | |
| | | | | | | | | | | | |
|
| Basic Industry — 0.15% | |
| Ardagh Packaging Finance Plc (Ireland) | | | | | | | | | |
9.13% | | | 10/15/20 | 4 | | | 2,000,000 | | | | 2,090,000 | |
| | | | | | | | | | | | |
| Communications — 13.44% | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
7.88% | | | 04/30/18 | 3 | | | 2,400,000 | | | | 2,502,000 | |
| Cengage Learning Acquisitions, Inc. | | | | | | | | | |
10.50% | | | 01/15/15 | 3 | | | 8,932,000 | | | | 8,920,835 | |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. | | | | | | | | | |
8.63% | | | 11/15/17 | 3 | | | 12,800,000 | | | | 13,568,000 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
8.00% | | | 04/30/12 | 3 | | | 500,000 | | | | 532,500 | |
10.88% | | | 09/15/14 | 3 | | | 4,000,000 | | | | 4,550,000 | |
| Cincinnati Bell, Inc. | | | | | | | | | |
8.25% | | | 10/15/17 | | | | 5,150,000 | | | | 5,227,250 | |
| Clearwire Communications, LLC Clearwire Finance, Inc. | | | | | | | | | |
12.00% | | | 12/01/15 | 3 | | | 3,500,000 | | | | 3,780,000 | |
| Frontier Communications Corp. | | | | | | | | | |
7.13% | | | 03/15/19 | | | | 3,000,000 | | | | 3,090,000 | |
8.25% | | | 04/15/17 | | | | 1,250,000 | | | | 1,373,437 | |
| GCI, Inc. | | | | | | | | | |
7.25% | | | 02/15/14 | | | | 500,000 | | | | 512,500 | |
| GCI, Inc. (WI) | | | | | | | | | |
8.63% | | | 11/15/19 | | | | 1,700,000 | | | | 1,823,250 | |
See accompanying notes to Schedule of Portfolio Investments.
64 / Semi-Annual Report September 2010
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Communications (continued) | |
| Global Crossing Ltd. (WI) (Bermuda) | | | | | | | | | |
12.00% | | | 09/15/15 | 4 | | $ | 2,000,000 | | | $ | 2,270,000 | |
| Global Crossing UK Finance Plc (United Kingdom) | | | | | | | | | |
10.75% | | | 12/15/14 | 4 | | | 2,000,000 | | | | 2,070,000 | |
| Intelsat Corp. | | | | | | | | | |
9.25% | | | 06/15/16 | | | | 2,500,000 | | | | 2,678,125 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | | |
8.50% | | | 11/01/19 | 3,4 | | | 1,000,000 | | | | 1,082,500 | |
9.50% | | | 06/15/16 | 4 | | | 2,250,000 | | | | 2,410,313 | |
11.25% | | | 06/15/16 | 4 | | | 3,250,000 | | | | 3,518,125 | |
| Intelsat Luxembourg SA (PIK) (Luxembourg) | | | | | | | | | |
11.50% | | | 02/04/17 | 4 | | | 16,628,382 | | | | 18,104,151 | |
| Intelsat Luxembourg SA (STEP) (Luxembourg) | | | | | | | | | |
11.25% | | | 02/04/17 | 4 | | | 1,500,000 | | | | 1,614,375 | |
| iPCS, Inc. (PIK) | | | | | | | | | |
3.72% | | | 05/01/14 | | | | 9,000,000 | | | | 8,617,500 | |
| Level 3 Financing, Inc. | | | | | | | | | |
4.34% | | | 02/15/15 | 2 | | | 11,200,000 | | | | 8,999,200 | |
9.25% | | | 11/01/14 | | | | 3,400,000 | | | | 3,196,000 | |
| LIN Television Corp. | | | | | | | | | |
6.50% | | | 05/15/13 | | | | 2,695,000 | | | | 2,708,475 | |
| LIN Television Corp. B | | | | | | | | | |
6.50% | | | 05/15/13 | | | | 2,700,000 | | | | 2,693,250 | |
| McClatchy Co. (The) | | | | | | | | | |
11.50% | | | 02/15/17 | | | | 5,730,000 | | | | 6,102,450 | |
| Nextel Communications, Inc. E | | | | | | | | | |
6.88% | | | 10/31/13 | | | | 9,005,000 | | | | 9,106,306 | |
| Proquest LLC/Proquest Notes Co. | | | | | | | | | |
9.00% | | | 10/15/18 | 3 | | | 3,000,000 | | | | 3,082,500 | |
| Qwest Communications International, Inc. B | | | | | | | | | |
7.50% | | | 02/15/14 | | | | 10,928,000 | | | | 11,201,200 | |
| Sinclair Television Group, Inc. | | | | | | | | | |
9.25% | | | 11/01/17 | 3 | | | 1,500,000 | | | | 1,616,250 | |
| Sprint Nextel Corp. | | | | | | | | | |
6.00% | | | 12/01/16 | | | | 7,000,000 | | | | 6,947,500 | |
| Telesat Canada LLC (Canada) | | | | | | | | | |
12.50% | | | 11/01/17 | 4 | | | 2,000,000 | | | | 2,370,000 | |
| Umbrella Acquisitions, Inc. (PIK) | | | | | | | | | |
9.75% | | | 03/15/15 | 3 | | | 9,004,512 | | | | 8,666,843 | |
| Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany) | | | | | | | | | |
8.13% | | | 12/01/17 | 3,4 | | | 650,000 | | | | 676,000 | |
| UPC Holding BV (Netherlands) | | | | | | | | | |
9.88% | | | 04/15/18 | 3,4 | | | 1,750,000 | | | | 1,872,500 | |
| Visant Corp. | | | | | | | | | |
10.00% | | | 10/01/17 | 3 | | | 15,000,000 | | | | 15,787,500 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Communications (continued) | |
| Wind Acquisition Holdings Finance SA (Luxembourg) (PIK) | | | | | | | | | |
12.25% | | | 07/15/17 | 3,4 | | $ | 3,214,375 | | | $ | 3,459,471 | |
| Windstream Corp. | | | | | | | | | |
7.88% | | | 11/01/17 | | | | 5,000,000 | | | | 5,237,500 | |
8.63% | | | 08/01/16 | | | | 7,000,000 | | | | 7,385,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 189,352,806 | |
| | | | | | | | | | | | |
|
| Consumer Discretionary — 0.36% | |
| Cott Beverages USA, Inc. | | | | | | | | | |
8.13% | | | 09/01/18 | 3 | | | 2,600,000 | | | | 2,765,750 | |
| Inverness Medical Innovations, Inc. | | | | | | | | | |
3.00% | | | 05/15/16 | | | | 2,430,000 | | | | 2,317,613 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,083,363 | |
| | | | | | | | | | | | |
|
| Consumer Products — 0.84% | |
| Hanesbrands, Inc. | | | | | | | | | |
8.00% | | | 12/15/16 | | | | 3,275,000 | | | | 3,475,594 | |
| Levi Strauss & Co. | | | | | | | | | |
7.63% | | | 05/15/20 | | | | 4,775,000 | | | | 4,930,187 | |
| Spectrum Brands, Inc. | | | | | | | | | |
9.50% | | | 06/15/18 | 3 | | | 3,200,000 | | | | 3,436,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,841,781 | |
| | | | | | | | | | | | |
| |
| Electric — 9.69% | | | | | |
| AES Corp. (The) | | | | | | | | | |
7.75% | | | 10/15/15 | | | | 4,636,000 | | | | 4,948,930 | |
| AES Red Oak LLC A | | | | | | | | | |
8.54% | | | 11/30/19 | | | | 2,544,844 | | | | 2,627,551 | |
| Calpine Construction Finance Co. LP | | | | | | | | | |
8.00% | | | 06/01/16 | 3 | | | 10,925,000 | | | | 11,744,375 | |
| Calpine Corp. | | | | | | | | | |
7.88% | | | 07/31/20 | 3 | | | 2,250,000 | | | | 2,289,375 | |
| Coso Geothermal Power Holdings | | | | | | | | | |
7.00% | | | 07/15/26 | 3 | | | 4,642,466 | | | | 4,633,919 | |
| Dynegy Holdings, Inc. | | | | | | | | | |
7.75% | | | 06/01/19 | | | | 6,000,000 | | | | 4,140,000 | |
| Dynegy Roseton/Danskammer Pass Through Trust B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 13,596,000 | | | | 12,610,290 | |
| Edison Mission Energy | | | | | | | | | |
7.00% | | | 05/15/17 | | | | 27,660,000 | | | | 19,984,350 | |
7.75% | | | 06/15/16 | | | | 1,750,000 | | | | 1,369,375 | |
| Energy Future Holdings Corp. | | | | | | | | | |
10.88% | | | 11/01/17 | | | | 3,439,000 | | | | 2,080,595 | |
| Energy Future Holdings Corp. (PIK) | | | | | | | | | |
11.25% | | | 11/01/17 | | | | 378,356 | | | | 182,557 | |
| Energy Future Holdings Corp. Q | | | | | | | | | |
6.50% | | | 11/15/24 | | | | 6,600,000 | | | | 2,557,500 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 65
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Electric (continued) | |
| Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Co. | | | | | | | | | |
| Finance, Inc. | | | | | | | | | |
10.00% | | | 12/01/20 | | | $ | 7,381,000 | | | $ | 7,361,920 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 3 | | | 4,565,809 | | | | 4,362,873 | |
| Indiantown Cogeneration LP A-10 | | | | | | | | | |
9.77% | | | 12/15/20 | | | | 1,665,000 | | | | 1,843,987 | |
| Midwest Generation LLC B | | | | | | | | | |
8.56% | | | 01/02/16 | | | | 1,214,825 | | | | 1,196,602 | |
| Mirant Americas Generation LLC | | | | | | | | | |
8.50% | | | 10/01/21 | | | | 18,990,000 | | | | 18,372,825 | |
9.13% | | | 05/01/31 | | | | 6,400,000 | | | | 6,096,000 | |
| Mirant Mid Atlantic Pass Through Trust B | | | | | | | | | |
9.13% | | | 06/30/17 | | | | 3,578,469 | | | | 3,828,962 | |
| Mirant Mid Atlantic Pass Through Trust C | | | | | | | | | |
10.06% | | | 12/30/28 | | | | 1,914,489 | | | | 2,115,510 | |
| NRG Energy, Inc. | | | | | | | | | |
7.38% | | | 02/01/16 | | | | 9,241,000 | | | | 9,529,781 | |
| PNM Resources, Inc. | | | | | | | | | |
9.25% | | | 05/15/15 | | | | 7,525,000 | | | | 8,136,406 | |
| Reliant Energy Mid-Atlantic Power Holdings LLC B | | | | | | | | | |
9.24% | | | 07/02/17 | | | | 2,130,629 | | | | 2,213,191 | |
| Texas Competitive Electric Holdings Co. LLC A | | | | | | | | | |
10.25% | | | 11/01/15 | | | | 3,500,000 | | | | 2,310,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 136,536,874 | |
| | | | | | | | | | | | |
Energy — 16.72% | | | | | | | | | |
| Allis-Chalmers Energy, Inc. | | | | | | | | | |
8.50% | | | 03/01/17 | | | | 7,095,000 | | | | 7,165,950 | |
| Anadarko Petroleum Corp. | | | | | | | | | |
6.95% | | | 06/15/19 | | | | 5,150,000 | | | | 5,756,258 | |
| Antero Resources Finance Corp. | | | | | | | | | |
9.38% | | | 12/01/17 | | | | 8,760,000 | | | | 9,351,300 | |
| Aquilex Holdings LLC/Aquilex Finance Corp. (WI) | | | | | | | | | |
11.13% | | | 12/15/16 | | | | 1,500,000 | | | | 1,492,500 | |
Arch Coal, Inc. | | | | | | | | | | | | |
7.25% | | | 10/01/20 | | | | 1,250,000 | | | | 1,326,563 | |
Arch Coal, Inc. (WI) | | | | | | | | | | | | |
8.75% | | | 08/01/16 | | | | 2,500,000 | | | | 2,743,750 | |
| Atlas Energy Operating Co. LLC/Atlas Energy | | | | | | | | | |
Finance Corp. | | | | | | | | | | | | |
10.75% | | | 02/01/18 | | | | 5,100,000 | | | | 5,673,750 | |
12.13% | | | 08/01/17 | | | | 2,198,000 | | | | 2,552,427 | |
| Chaparral Energy, Inc. | | | | | | | | | |
8.50% | | | 12/01/15 | | | | 1,500,000 | | | | 1,462,500 | |
8.88% | | | 02/01/17 | | | | 19,445,000 | | | | 19,007,487 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Energy (continued) | |
9.88% | | | 10/01/20 | 3 | | $ | 3,750,000 | | | $ | 3,825,000 | |
| Chesapeake Energy Corp. | | | | | | | | | |
2.25% | | | 12/15/38 | | | | 22,310,000 | | | | 17,262,363 | |
2.50% | | | 05/15/37 | | | | 2,750,000 | | | | 2,406,250 | |
2.75% | | | 11/15/35 | | | | 3,500,000 | | | | 3,338,125 | |
| Comstock Resources, Inc. | | | | | | | | | |
8.38% | | | 10/15/17 | | | | 2,600,000 | | | | 2,694,250 | |
| Continental Resources, Inc. | | | | | | | | | |
7.13% | | | 04/01/21 | 3 | | | 1,000,000 | | | | 1,034,375 | |
| Corral Petroleum Holdings AB (Sweden) | | | | | | | | | |
2.00% | | | 09/18/11 | 3,4 | | | 818,813 | | | | 759,449 | |
| Delta Petroleum Corp. | | | | | | | | | |
7.00% | | | 04/01/15 | | | | 1,000,000 | | | | 790,000 | |
| Dynegy Roseton/Danskammer Pass-Through Trust A | | | | | | | | | |
7.27% | | | 11/08/10 | | | | 340,140 | | | | 340,140 | |
| El Paso Pipeline Partners Operating Co. LLC | | | | | | | | | |
6.50% | | | 04/01/20 | | | | 2,000,000 | | | | 2,150,000 | |
| Energy Transfer Equity LP | | | | | | | | | |
7.50% | | | 10/15/20 | | | | 2,250,000 | | | | 2,362,500 | |
| Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | | 11/01/15 | 3 | | | 1,875,000 | | | | 1,903,125 | |
| James River Coal Co. | | | | | | | | | |
9.38% | | | 06/01/12 | | | | 5,000,000 | | | | 5,137,500 | |
| Linn Energy LLC/Linn Energy Finance Corp. | | | | | | | | | |
8.63% | | | 04/15/20 | 3 | | | 2,000,000 | | | | 2,130,000 | |
| Massey Energy Co. | | | | | | | | | |
3.25% | | | 08/01/15 | | | | 16,875,000 | | | | 15,060,937 | |
6.88% | | | 12/15/13 | | | | 2,950,000 | | | | 3,038,500 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 4 | | | 10,322,000 | | | | 7,741,500 | |
8.25% | | | 12/15/14 | 4 | | | 13,700,000 | | | | 10,480,500 | |
| Parker Drilling Co. | | | | | | | | | |
9.13% | | | 04/01/18 | 3 | | | 1,500,000 | | | | 1,530,000 | |
| Penn Virginia Corp. | | | | | | | | | |
10.38% | | | 06/15/16 | | | | 5,250,000 | | | | 5,775,000 | |
| Petrohawk Energy Corp. | | | | | | | | | |
10.50% | | | 08/01/14 | | | | 2,160,000 | | | | 2,457,000 | |
| Quicksilver Resources, Inc. | | | | | | | | | |
7.13% | | | 04/01/16 | | | | 1,000,000 | | | | 992,500 | |
8.25% | | | 08/01/15 | | | | 3,925,000 | | | | 4,160,500 | |
9.13% | | | 08/15/19 | | | | 1,000,000 | | | | 1,095,000 | |
11.75% | | | 01/01/16 | | | | 500,000 | | | | 588,750 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 9,200,000 | | | | 8,924,000 | |
7.50% | | | 11/30/16 | | | | 23,980,000 | | | | 22,001,650 | |
| SandRidge Energy, Inc. | | | | | | | | | |
8.00% | | | 06/01/18 | 3 | | | 1,000,000 | | | | 977,500 | |
8.75% | | | 01/15/20 | 3 | | | 1,750,000 | | | | 1,728,125 | |
See accompanying notes to Schedule of Portfolio Investments.
66 / Semi-Annual Report September 2010
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Energy (continued) | |
9.88% | | | 05/15/16 | 3 | | $ | 2,500,000 | | | $ | 2,593,750 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 2 | | | 30,412,000 | | | | 27,446,830 | |
| Tesoro Corp. | | | | | | | | | |
6.50% | | | 06/01/17 | | | | 7,575,000 | | | | 7,499,250 | |
9.75% | | | 06/01/19 | | | | 1,000,000 | | | | 1,105,000 | |
| Transocean, Inc. (Switzerland) | | | | | | | | | |
6.00% | | | 03/15/18 | 4 | | | 2,700,000 | | | | 2,876,493 | |
| Western Refining, Inc. | | | | | | | | | | | | |
11.25% | | | 06/15/17 | 3 | | | 5,000,000 | | | | 4,725,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 235,463,347 | |
| | | | | | | | | | | | |
| Entertainment — 1.17% | | | | | |
| Live Nation Entertainment, Inc. | | | | | | | | | | | | |
2.88% | | | 07/15/27 | | | | 3,250,000 | | | | 2,795,000 | |
8.13% | | | 05/15/18 | 3 | | | 3,150,000 | | | | 3,181,500 | |
| Pinnacle Entertainment, Inc. (WI) | | | | | | | | | |
8.63% | | | 08/01/17 | | | | 2,600,000 | | | | 2,772,250 | |
| Regal Cinemas Corp. | | | | | | | | | | | | |
8.63% | | | 07/15/19 | | | | 5,825,000 | | | | 6,130,813 | |
| Regal Entertainment Group | | | | | | | | | | | | |
9.13% | | | 08/15/18 | | | | 1,500,000 | | | | 1,580,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,460,188 | |
| | | | | | | | | | | | |
| Finance — 8.32% | |
| Alta Wind Holdings LLC | |
7.00% | | | 06/30/35 | 3 | | | 2,500,000 | | | | 2,653,680 | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 3 | | | 7,000,000 | | | | 6,947,500 | |
| BankBoston Capital Trust III | | | | | | | | | |
1.04% | | | 06/15/27 | 2 | | | 305,000 | | | | 214,723 | |
| BankBoston Capital Trust IV | | | | | | | | | |
0.89% | | | 06/08/28 | 2 | | | 1,900,000 | | | | 1,337,758 | |
Barnett Capital III | | | | | | | | | | | | |
1.09% | | | 02/01/27 | 2 | | | 800,000 | | | | 558,828 | |
| Cantor Fitzgerald LP | | | | | | | | | |
6.38% | | | 06/26/15 | 3 | | | 3,250,000 | | | | 3,343,789 | |
| Capital One Capital V | | | | | | | | | |
10.25% | | | 08/15/39 | | | | 3,875,000 | | | | 4,218,906 | |
| CIT Group, Inc. | | | | | | | | | |
7.00% | | | 05/01/13 | | | | 21,068,884 | | | | 21,279,573 | |
Citigroup, Inc. | | | | | | | | | | | | |
0.87% | | | 08/25/36 | 2 | | | 8,960,000 | | | | 5,713,792 | |
| City National Capital Trust I | | | | | | | | | |
9.63% | | | 02/01/40 | | | | 3,000,000 | | | | 3,124,164 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
8.00% | | | 12/15/16 | | | | 6,500,000 | | | | 7,393,750 | |
| International Lease Finance Corp. | | | | | | | | | |
6.75% | | | 09/01/16 | 3 | | | 3,250,000 | | | | 3,493,750 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Finance (continued) | |
7.13% | | | 09/01/18 | 3 | | $ | 6,500,000 | | | $ | 7,036,250 | |
| JPMorgan Chase Capital XIII M | | | | | | | | | |
1.24% | | | 09/30/34 | 2 | | | 1,100,000 | | | | 834,472 | |
| JPMorgan Chase Capital XXI U | | | | | | | | | |
1.42% | | | 02/02/37 | 2 | | | 4,750,000 | | | | 3,435,917 | |
| LBI Escrow Corp. | | | | | | | | | |
8.00% | | | 11/01/17 | 3 | | | 6,125,000 | | | | 6,691,563 | |
| Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
11.00% | | | 11/07/16 | 2,5,6 | | | 383,000 | | | | 78,515 | |
| Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | | 11/30/10 | 2,5,6 | | | 294,000 | | | | 60,270 | |
MBNA Capital B | | | | | | | | | | | | |
1.27% | | | 02/01/27 | 2 | | | 4,550,000 | | | | 3,151,785 | |
Pinafore LLC/Pinafore, Inc. | | | | | | | | | | | | |
9.00% | | | 10/01/18 | 3 | | | 3,000,000 | | | | 3,157,500 | |
Prudential Holdings LLC | | | | | | | | | | | | |
8.70% | | | 12/18/23 | 3 | | | 2,500,000 | | | | 3,161,825 | |
| Raymond James Financial, Inc. | | | | | | | | | |
8.60% | | | 08/15/19 | | | | 2,300,000 | | | | 2,760,163 | |
| Trans Union, LLC Transunion Financing Corp. | | | | | | | | | |
11.38% | | | 06/15/18 | 3 | | | 2,600,000 | | | | 2,938,000 | |
| ZFS Finance USA Trust I | | | | | |
6.15% | | | 12/15/65 | 2,3 | | | 15,545,000 | | | | 15,467,275 | |
| ZFS Finance USA Trust II | | | | | |
6.45% | | | 12/15/65 | 2,3 | | | 6,500,000 | | | | 6,240,000 | |
| ZFS Finance USA Trust IV | | | | | |
5.88% | | | 05/09/32 | 2,3 | | | 2,000,000 | | | | 1,910,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 117,203,748 | |
| | | | | | | | | | | | |
| Food — 0.48% | | | | | |
| Dole Food Co., Inc. | | | | | | | | | | | | |
8.00% | | | 10/01/16 | 3 | | | 1,000,000 | | | | 1,051,250 | |
13.88% | | | 03/15/14 | | | | 1,311,000 | | | | 1,605,975 | |
| JBS USA LLC/JBS USA Finance, Inc. | | | | | | | | | |
11.63% | | | 05/01/14 | | | | 3,500,000 | | | | 4,060,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,717,225 | |
| | | | | | | | | | | | |
| Gaming — 1.58% | |
| Herbst Gaming, Inc. | |
8.13% | | | 06/01/12 | 5,6 | | | 575,000 | | | | 6,109 | |
| Marina District Finance Co., Inc. | | | | | | | | | |
9.50% | | | 10/15/15 | 3 | | | 14,550,000 | | | | 14,186,250 | |
9.88% | | | 08/15/18 | 3 | | | 650,000 | | | | 628,875 | |
| MGM Mirage | | | | | | | | | |
9.00% | | | 03/15/20 | 3 | | | 1,350,000 | | | | 1,441,125 | |
10.38% | | | 05/15/14 | | | | 2,400,000 | | | | 2,664,000 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 67
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Gaming (continued) | |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | | | | | | | | | |
7.75% | | | 08/15/20 | 3 | | $ | 3,100,000 | | | $ | 3,270,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,196,859 | |
| | | | | | | | | | | | |
| Health Care — 4.48% | | | | | | | | | |
| Accellent, Inc. | | | | | | | | | | | | |
8.38% | | | 02/01/17 | | | | 5,650,000 | | | | 5,791,250 | |
| Alere, Inc. | | | | | | | | | | | | |
9.00% | | | 05/15/16 | | | | 4,779,000 | | | | 4,946,265 | |
| Capella Healthcare, Inc. | | | | | | | | | |
9.25% | | | 07/01/17 | 3 | | | 2,250,000 | | | | 2,413,125 | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 24,340,000 | | | | 25,830,825 | |
| HCA, Inc. | | | | | | | | | | | | |
7.50% | | | 12/15/23 | | | | 3,965,000 | | | | 3,746,925 | |
8.50% | | | 04/15/19 | | | | 3,939,000 | | | | 4,372,290 | |
9.13% | | | 11/15/14 | | | | 1,500,000 | | | | 1,584,375 | |
9.25% | | | 11/15/16 | | | | 5,100,000 | | | | 5,533,500 | |
| Patheon, Inc. (Canada) | | | | | | | | | |
8.63% | | | 04/15/17 | 3,4 | | | 2,500,000 | | | | 2,568,750 | |
| Rotech Healthcare, Inc. | | | | | | | | | |
10.75% | | | 10/15/15 | 3 | | | 3,500,000 | | | | 3,478,125 | |
| Tenet Healthcare Corp. | | | | | | | | | |
6.88% | | | 11/15/31 | | | | 3,500,000 | | | | 2,852,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 63,117,930 | |
| | | | | | | | | | | | |
Homebuilding — 0.71% | | | | | |
| K Hovnanian Enterprises, Inc. | | | | | | | | | |
10.63% | | | 10/15/16 | | | | 10,000,000 | | | | 10,062,500 | |
| | | | | | | | | | | | |
Industrials — 2.11% | | | | | | | | | |
| Berry Plastics Corp. | | | | | | | | | |
5.28% | | | 02/15/15 | 2 | | | 3,150,000 | | | | 2,984,625 | |
8.25% | | | 11/15/15 | | | | 1,250,000 | | | | 1,293,750 | |
| Casella Waste Systems, Inc. | | | | | | | | | |
11.00% | | | 07/15/14 | | | | 3,500,000 | | | | 3,850,000 | |
| General Cable Corp. | | | | | | | | | |
0.88% | | | 11/15/13 | | | | 2,175,000 | | | | 1,960,219 | |
| Graham Packaging Co. LP/GPC Capital | | | | | | | | | |
Corp. I | | | | | | | | | | | | |
8.25% | | | 01/01/17 | 3 | | | 2,500,000 | | | | 2,550,000 | |
| Huntsman International LLC | | | | | | | | | |
8.63% | | | 03/15/21 | 3 | | | 1,000,000 | | | | 1,035,000 | |
| Maxim Crane Works LP | | | | | | | | | |
12.25% | | | 04/15/15 | 3 | | | 3,150,000 | | | | 2,858,625 | |
| New Enterprise Stone & Lime Co. | | | | | | | | | |
11.00% | | | 09/01/18 | 3 | | | 2,700,000 | | | | 2,538,000 | |
| Reddy Ice Corp. (WI) | | | | | | | | | |
11.25% | | | 03/15/15 | | | | 3,950,000 | | | | 4,058,625 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Industrials (continued) | |
| Solo Cup Co./Solo Cup Operating Corp. | | | | | | | | | |
10.50% | | | 11/01/13 | | | $ | 4,100,000 | | | $ | 4,269,125 | |
| Spirit Aerosystems, Inc. | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 500,000 | | | | 518,750 | |
| Wyle Services Corp. | | | | | | | | | |
10.50% | | | 04/01/18 | 3 | | | 1,850,000 | | | | 1,831,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 29,748,219 | |
| | | | | | | | | | | | |
| Information Technology — 0.26% | | | | | |
| First Data Corp. | | | | | | | | | |
8.88% | | | 08/15/20 | 3 | | | 3,500,000 | | | | 3,648,750 | |
| | | | | | | | | | | | |
| Insurance — 0.39% | | | | | | | | | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 3 | | | 1,500,000 | | | | 1,486,041 | |
| MetLife Capital Trust X | | | | | | | | | |
9.25% | | | 04/08/38 | 2,3 | | | 1,000,000 | | | | 1,185,000 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 2,3 | | | 3,250,000 | | | | 2,814,887 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,485,928 | |
| | | | | | | | | | | | |
| Materials — 1.51% | | | | | | | | | |
| Hexion Finance Escrow, LLC | | | | | | | | | |
8.88% | | | 02/01/18 | | | | 3,000,000 | | | | 2,955,000 | |
| Lyondell Chemical Co. | | | | | | | | | |
11.00% | | | 05/01/18 | | | | 669,024 | | | | 743,453 | |
| NewPage Corp. | | | | | | | | | |
11.38% | | | 12/31/14 | | | | 4,600,000 | | | | 4,186,000 | |
| Noranda Aluminum Acquisition Corp. (PIK) | | | | | | | | | |
5.37% | | | 05/15/15 | | | | 4,413,399 | | | | 3,734,839 | |
| Verso Paper Holdings LLC/Verso Paper, Inc. B | | | | | | | | | |
4.22% | | | 08/01/14 | 2 | | | 3,737,000 | | | | 3,344,615 | |
9.13% | | | 08/01/14 | | | | 2,900,000 | | | | 2,921,750 | |
11.38% | | | 08/01/16 | | | | 3,750,000 | | | | 3,375,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,260,657 | |
| | | | | | | | | | | | |
| Retail — 0.45% | | | | | | | | | |
| Sears Holding Corp. | | | | | | | | | |
6.62% | | | 10/15/18 | | | | 3,000,000 | | | | 3,022,500 | |
| Toys R Us Property Co. LLC | | | | | | | | | |
8.50% | | | 12/01/17 | 3 | | | 3,150,000 | | | | 3,346,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,369,375 | |
| | | | | | | | | | | | |
| Services — 2.25% | | | | | | | | | |
| Geo Group, Inc. (The) | | | | | | | | | |
7.75% | | | 10/15/17 | 3 | | | 4,700,000 | | | | 4,958,500 | |
| Mobile Mini, Inc. | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 7,900,000 | | | | 7,781,500 | |
See accompanying notes to Schedule of Portfolio Investments.
68 / Semi-Annual Report September 2010
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Services (continued) | |
| National Money Mart Co. | | | | | | | | | |
10.38% | | | 12/15/16 | | | $ | 3,250,000 | | | $ | 3,477,500 | |
RSC Equipment Rental, Inc./RSC Holdings III LLC | | | | | | | | | |
10.00% | | | 07/15/17 | 3 | | | 3,450,000 | | | | 3,855,375 | |
| Stonemor Operating LLC/Cornerstone Family Services/Osiris Holdings | | | | | | | | | |
10.25% | | | 12/01/17 | 3 | | | 4,950,000 | | | | 5,265,563 | |
| United Rentals North America, Inc. | | | | | | | | | |
7.00% | | | 02/15/14 | | | | 3,450,000 | | | | 3,467,250 | |
7.75% | | | 11/15/13 | | | | 975,000 | | | | 989,625 | |
9.25% | | | 12/15/19 | | | | 1,275,000 | | | | 1,386,563 | |
10.88% | | | 06/15/16 | | | | 500,000 | | | | 566,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,748,751 | |
| | | | | | | | | | | | |
| Transportation — 4.89% | | | | | |
| Air Canada (Canada) | | | | | | | | | |
9.25% | | | 08/01/15 | 3,4 | | | 9,750,000 | | | | 9,920,625 | |
12.00% | | | 02/01/16 | 3,4 | | | 4,150,000 | | | | 4,056,625 | |
| Commercial Barge Line Co. | | | | | | | | | |
12.50% | | | 07/15/17 | | | | 2,975,000 | | | | 3,287,375 | |
| Continental Airlines Pass-Through Trust 2007-1 A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 491,145 | | | | 510,177 | |
| Continental Airlines Pass-Through Trust 2007-1 B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 6,782,481 | | | | 6,511,182 | |
| Continental Airlines Pass-Through Trust 2009-1 A | | | | | | | | | |
9.00% | | | 07/08/16 | | | | 1,631,283 | | | | 1,875,976 | |
| Continental Airlines, Inc. | | | | | |
6.75% | | | 09/15/15 | 3 | | | 3,250,000 | | | | 3,310,937 | |
| Delta Air Lines, Inc. | | | | | | | | | |
12.25% | | | 03/15/15 | 3 | | | 2,000,000 | | | | 2,250,000 | |
| Delta Air Lines, Inc. 2002 G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 10,959,031 | | | | 11,013,826 | |
| Delta Air Lines, Inc. 2002 G2 | | | | | | | | | |
6.42% | | | 07/02/12 | | | | 1,450,000 | | | | 1,522,500 | |
| Delta Air Lines, Inc. B | | | | | | | | | |
9.75% | | | 12/17/16 | | | | 2,375,597 | | | | 2,484,874 | |
| JetBlue Airways Pass-Through Trust 2004-2 G1 | | | | | | | | | |
0.75% | | | 08/15/16 | 2 | | | 2,288,853 | | | | 2,068,551 | |
| Martin Midstream Partners LP/Martin Midstream Finance Corp. | | | | | | | | | |
8.88% | | | 04/01/18 | 3 | | | 1,250,000 | | | | 1,262,500 | |
| Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | | 04/01/11 | | | | 1,250,000 | | | | 1,281,250 | |
| Northwest Airlines, Inc. 2001-1 A1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 769,064 | | | | 804,468 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Transportation (continued) | |
PHI, Inc. | | | | | | | | | | | | |
8.63% | | | 10/15/18 | 3 | | $ | 3,000,000 | | | $ | 2,932,500 | |
| RailAmerica, Inc. | | | | | | | | | |
9.25% | | | 07/01/17 | | | | 2,374,000 | | | | 2,614,367 | |
| United Air Lines, Inc. | | | | | | | | | |
9.88% | | | 08/01/13 | 3 | | | 8,700,000 | | | | 9,439,500 | |
12.00% | | | 11/01/13 | 3 | | | 1,500,000 | | | | 1,661,250 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 68,808,483 | |
| | | | | | | | | | | | |
| Total Corporates | | | | | | | | | |
| (Cost $985,377,563) | | | | | | | | 1,053,472,805 | |
| | | | | | | | | | | | |
BANK LOANS — 10.39%* | |
| Automotive — 0.42% | |
| Ford Motor Co. Term Loan B 1st Lien | | | | | | | | | |
3.03% | | | 12/15/13 | 7 | | | 6,000,331 | | | | 5,893,453 | |
| | | | | | | | | | | | |
| Communications — 1.67% | |
| Charter Communications, Inc. Term Loan 3rd Lien | | | | | | | | | |
2.76% | | | 09/06/14 | 7 | | | 5,000,000 | | | | 4,671,875 | |
| Dex Media West LLC Term Loan | | | | | | | | | |
7.23% | | | 10/24/14 | 2,7 | | | 4,740,742 | | | | 4,133,007 | |
| R.H. Donnelley, Inc., Term Loan | | | | | | | | | |
9.00% | | | 10/24/14 | 2,7 | | | 509,579 | | | | 434,780 | |
| SuperMedia, Inc. Term Loan Exit 1st Lien | | | | | | | | | |
11.00% | | | 12/31/15 | 2,7 | | | 2,466,056 | | | | 1,927,048 | |
| Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
2.51% | | | 09/29/14 | 7 | | | 8,936,913 | | | | 7,851,793 | |
| Visant Corp. Tranche B Term Loan | | | | | | | | | |
7.00% | | | 12/22/16 | 7 | | | 4,500,000 | | | | 4,530,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,549,103 | |
| | | | | | | | | | | | |
| Consumer Discretionary — 0.14% | | | | | |
| Tribune 1st Lien Term Loan B | | | | | | | | | |
3.25% | | | 06/04/14 | 5,6,7 | | | 2,979,962 | | | | 1,949,748 | |
| | | | | | | | | | | | |
| Electric — 2.24% | | | | | |
| Boston Generating LLC 1st Lien | | | | | | | | | |
5.51% | | | 12/21/13 | 7 | | | 6,346,447 | | | | 6,102,788 | |
| Calpine New Development Holdings LLC | | | | | | | | | |
7.00% | | | 07/01/17 | 7 | | | 5,486,250 | | | | 5,586,544 | |
| Entegra Holdings LLC, Term Loan B 3rd Lien (PIK) | | | | | | | | | |
0.00% | | | 10/19/15 | | | | 13,914,310 | | | | 7,891,404 | |
| TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
4.54% | | | 12/15/14 | 7 | | | 1,250,000 | | | | 1,141,406 | |
| TXU Energy Term Loan B1 | | | | | | | | | |
3.76% | | | 10/10/14 | 7 | | | 5,443,659 | | | | 4,237,360 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 69
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
| Electric (continued) | |
| TXU Energy Term Loan B2 | | | | | | | | | |
6.19% | | | 10/10/14 | 7 | | $ | 8,478,149 | | | $ | 6,598,238 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,557,740 | |
| | | | | | | | | | | | |
Energy — 1.29% | |
| MACH Gen LLC Term Loan C (PIK) | | | | | | | | | |
7.81% | | | 02/15/15 | 7 | | | 25,605,343 | | | | 18,158,464 | |
| | | | | | | | | | | | |
Finance — 1.78% | |
| CIT Group, Inc. 3-DD 1st Lien Term Loan | | | | | | | | | |
6.25% | | | 08/11/15 | 7 | | | 4,850,000 | | | | 4,897,743 | |
| First Data Corp. Term Loan B1 | | | | | | | | | |
3.01% | | | 09/24/14 | 7 | | | 5,219,984 | | | | 4,607,941 | |
| Kelson 1st Lien | | | | | | | | | |
3.54% | | | 03/08/13 | 7 | | | 5,378,592 | | | | 5,333,772 | |
| Kelson 2nd Lien (PIK) | | | | | | | | | |
6.79% | | | 03/08/14 | 7 | | | 11,011,989 | | | | 10,227,385 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,066,841 | |
| | | | | | | | | | | | |
Gaming — 1.27% | |
| Harrah’s Entertainment, Inc. Term Loan B2 | | | | | | | | | |
3.50% | | | 01/28/15 | 7 | | | 13,250,000 | | | | 11,444,635 | |
| Harrah’s Entertainment, Inc. Term Loan B3 | | | | | | | | | |
0.00% | | | 01/28/15 | | | | 7,476,402 | | | | 6,446,318 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 17,890,953 | |
| | | | | | | | | | | | |
Health Care — 0.19% | |
| Carestream Health, Inc. Term Loan | | | | | | | | | |
5.51% | | | 10/30/13 | 7 | | | 1,500,000 | | | | 1,413,750 | |
| HCA Term Loan A | | | | | | | | | |
1.79% | | | 11/17/12 | 7 | | | 1,309,556 | | | | 1,266,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,680,350 | |
| | | | | | | | | | | | |
Industrials — 0.57% | |
| Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D | | | | | | | | | |
6.00% | | | 09/23/16 | 7 | | | 2,000,000 | | | | 2,018,126 | |
| Reynolds Group Term Loan D | | | | | | | | | |
0.00% | | | 03/16/16 | 7 | | | 6,000,000 | | | | 6,036,078 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,054,204 | |
| | | | | | | | | | | | |
Services — 0.14% | |
| Rental Services Term Loan 2nd Lien | | | | | | | | | |
3.79% | | | 11/30/13 | 7 | | | 2,000,000 | | | | 1,945,000 | |
| | | | | | | | | | | | |
Transportation — 0.68% | |
| Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
1.96% | | | 04/30/12 | 7 | | | 1,219,848 | | | | 1,180,203 | |
8.75% | | | 09/16/13 | 7 | | | 1,980,000 | | | | 2,009,288 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
| Transportation (continued) | |
| United Air Lines, Inc. | | | | | | | | | |
2.31% | | | 02/01/14 | 7 | | $ | 6,864,511 | | | $ | 6,481,245 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,670,736 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | |
| (Cost $141,071,560) | | | | | | | | 146,416,592 | |
| | | | | | | | | | | | |
|
| MORTGAGE-BACKED — 0.00%** | |
Non-Agency Mortgage-Backed — 0.00% | |
| BHN I Mortgage Fund 2000-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 03/31/11 | 3,4,8 | | | 2,890 | | | | 288 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 0.00% | |
| Fannie Mae 1993-225 SG | | | | | | | | | |
26.33% | | | 12/25/13 | 2 | | | 41,499 | | | | 53,411 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 24,270 | | | | 1,360 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | |
| (Cost $47,214) | | | | | | | | 55,059 | |
| | | | | | | | | | | | |
|
| U.S. TREASURY SECURITIES — 2.90%** | |
U.S. Treasury Notes — 2.90% | |
| U.S. Treasury Notes | | | | | | | | | |
0.88% | | | 04/30/11 | | | | 20,335,000 | | | | 20,413,243 | |
1.00% | | | 08/31/11 | | | | 20,335,000 | | | | 20,473,217 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | | | | | |
| (Cost $40,883,061) | | | | 40,886,460 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.67%* | |
Pennsylvania — 0.67% | |
| Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds | | | | | | | | | |
6.75% | | | 12/01/36 | | | | 9,035,000 | | | | 9,371,644 | |
| | | | | | | | | | | | |
Total Municipal Bonds | | | | | |
| (Cost $7,852,615) | | | | 9,371,644 | |
| | | | | | | | | | | | |
Total Bonds – 89.52% | | | | | |
| (Cost $1,182,685,992) | | | | 1,261,081,189 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
PREFERRED STOCK — 0.41% | |
Electric — 0.21% | |
| PPL Corp. | | | | | | | | | |
0.24% | | | 07/01/13 | | | | 52,400 | | | | 2,989,944 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
70 / Semi-Annual Report September 2010
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Issues | | | | | Shares | | | Value | |
| PREFERRED STOCK (continued) | | | | | |
| Finance — 0.20% | | | | | | | | | |
| Citigroup Capital XIII | | | | | | | | | |
0.20% | | | 10/30/40 | | | | 110,000 | | | $ | 2,750,000 | |
| | | | | | | | | | | | |
Total Preferred Stock (Cost $5,457,975) | | | | | | | | 5,739,944 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Issues | | | | | Contracts | | | Value | |
| PUT OPTIONS PURCHASED — 0.04% | |
U.S. Government — 0.04% | | | | | |
U.S. Long Bond (CBT), Put Strike $130, expires 11/26/10 | |
| | | | | | | 450 | | | | 597,656 | |
| | | | | | | | | | | | |
Total Put Options Purchased (Cost $737,695) | | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
| SHORT-TERM INVESTMENTS — 10.78% | |
| Money Market Fund — 7.03% | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.23%9 | | | | | | | 35,678,000 | | | | 35,678,000 | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.25%9 | | | | | | | 59,638,000 | | | | 59,638,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.21%9 | | | | | | | 3,525,000 | | | | 3,525,000 | |
| Goldman Sachs Financial Square Funds - | | | | | | | | | |
| Prime Obligations Fund | | | | | | | | | |
0.16%9,10 | | | | | | | 200,000 | | | | 200,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 99,041,000 | |
| | | | | | | | | | | | |
| U.S. Agency Discount Notes — 1.16% | |
| Fannie Mae | | | | | | | | | |
0.17%11 | | | 10/01/10 | | | $ | 2,996,000 | | | | 2,996,000 | |
0.29%11 | | | 07/01/11 | | | | 5,330,000 | | | | 5,321,515 | |
| Freddie Mac | | | | | | | | | | | | |
0.23%11 | | | 01/24/11 | | | | 8,045,000 | | | | 8,041,404 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,358,919 | |
| | | | | | | | | | | | |
| U.S. Treasury Bills — 2.59% | |
| U.S. Treasury Bills | | | | | | | | | |
0.11%11 | | | 10/28/10 | | | | 35,370,000 | | | | 35,366,962 | |
0.16%11 | | | 02/10/11 | 12 | | | 585,000 | | | | 584,717 | |
0.16%11 | | | 02/10/11 | 12 | | | 495,000 | | | | 494,760 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,446,439 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $151,840,709) | | | | 151,846,358 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | Value | |
Total Investments – 100.75% (Cost $1,340,722,371)1 | | | $ | 1,419,265,147 | |
| | | | | | | | | | | | |
| |
| Liabilities in Excess of Other | | | | | |
| Assets – (0.75%) | | | | | | | | | | | (10,577,610 | ) |
| | | | | | | | | | | | |
| | | |
| Net Assets – 100.00% | | | | | | | | | | $ | 1,408,687,537 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums (Received) | | | Value | |
| CALL OPTIONS WRITTEN | |
| U.S. Long Bond (CBT), Call | | | | | | | | | | | | |
| Strike $138, expires 11/26/10 | | | (450 | ) | | | $(637,305 | ) | | | $(555,469 | ) |
| | | | | | | | | | | | |
| | | |
| TotalCall Options Written | | | | | | | $(637,305 | ) | | | $(555,469 | ) |
| | | | | | | | | | | | |
|
| WRITTEN PUT OPTIONS | |
| U.S. Long Bond (CBT), Call | | | | | | | | | | | | |
| Strike $122, expires 11/26/10, | | | (450 | ) | | | $(106,836 | ) | | | $(70,312 | ) |
| | | | | | | | | | | | |
| | |
| Total Written Put Options | | | | $(106,836 | ) | | | $(70,312 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid/ (Received)
| | | Notional Amount (000’s)a | | | Appreciation/ (Depreciation) | | | Value | |
| SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
|
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 | | | | $ (107) | | | | $ (107) | |
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 | | | | (291) | | | | (291) | |
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG | |
| | 03/20/13 | | | – | | | | 100 | | | | (4,041) | | | | (4,041) | |
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley | |
| | 03/20/13 | | | – | | | | 100 | | | | (4,041) | | | | (4,041) | |
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 | | | | (59,280) | | | | (59,280) | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | 06/20/14 | | | 32,355 | | | | 1,000 | | | | 23,587 | | | | 55,942 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 71
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) a | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) 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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | | 03/20/15 | | | $ | – | | | $ | 200 | | | $ | (12,028 | ) | | $ | (12,028 | ) |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | | 09/20/16 | | | | 13,004 | | | | 350 | | | | 20,534 | | | | 33,538 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | | 09/20/16 | | | | 15,444 | | | | 300 | | | | 13,302 | | | | 28,746 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 15,187 | | | | 295 | | | | 13,080 | | | | 28,267 | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 5,550 | | | | 170 | | | | 12,682 | | | | 18,232 | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 6,653 | | | | 190 | | | | 13,724 | | | | 20,377 | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | | 09/20/16 | | | | 5,353 | | | | 300 | | | | 26,821 | | | | 32,174 | |
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston | |
| | | 09/20/16 | | | | 10,230 | | | | 300 | | | | 21,944 | | | | 32,174 | |
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | | 09/20/16 | | | | 3,616 | | | | 120 | | | | 9,254 | | | | 12,870 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | | 09/20/16 | | | | 5,167 | | | | 1,000 | | | | 63,447 | | | | 68,614 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | $ | 112,559 | | | $ | 5,625 | | | $ | 138,587 | | | $ | 251,146 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid/
(Received) | | | Notional Amount (000’s)a | | | Appreciation | | | Valueb | |
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES | |
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 any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: Bank of America Corp. | |
| | 06/20/15 | | $ | (214,679 | ) | | $ | 5,000 | | | $ | 177,861 | | | $ | (36,818 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) a | | | Appreciation | | | Valueb | |
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued) 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 any issue in the Dow Jones CDX Series NA HY 14, due 06/20/15. Counterparty: JPMorgan Chase & Co. | |
| | | 06/20/15 | | | $ | (450,427 | ) | | $ | 10,000 | | | $ | 376,790 | | | $ | (73,637 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | $ | (665,106 | ) | | $ | 15,000 | | | $ | 554,651 | | | $ | (110,455 | ) |
| | | | | | | | | | | | | | | | | | | | |
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| b | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $1,340,951,839 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 85,219,144 | |
Gross unrealized depreciation | | | (6,905,836 | ) |
| | | | |
Net unrealized appreciation | | $ | 78,313,308 | |
| | | | |
| 2 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $307,375,222 , representing 21.82% of total net assets. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Security is currently in default with regard to scheduled interest or principal payments. |
| 6 | Non-income producing security. |
| 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
Total
Net Assets |
08/28/08 | | Boston Generating LLC 1st Lien, 5.51%, 12/21/13 | | $ | 5,096,821 | | | $ | 6,102,788 | | | 0.43% |
06/08/10 | | Calpine New Development Holdings LLC, 7.00%, 07/01/17 | | | 5,433,513 | | | | 5,586,544 | | | 0.40% |
04/12/07 | | Carestream Health, Inc. Term Loan, 5.51%, 10/30/13 | | | 1,503,305 | | | | 1,413,750 | | | 0.10% |
01/05/09 | | Charter Communications, Inc. Term Loan 3rd Lien, 2.76%, 09/06/14 | | | 4,063,502 | | | | 4,671,875 | | | 0.33% |
09/13/10 | | CIT Group, Inc. 3-DD 1st Lien Term Loan, 6.25%, 08/11/15 | | | 4,886,334 | | | | 4,897,743 | | | 0.35% |
09/11/07 | | Delta Air Lines, Inc. Term Loan 1st Lien, 1.96%, 04/30/12 | | | 1,162,056 | | | | 1,180,203 | | | 0.08% |
See accompanying notes to Schedule of Portfolio Investments.
72 / Semi-Annual Report September 2010
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets |
09/29/09 | | Delta Air Lines, Inc. Term Loan 1st Lien, 8.75%, 09/16/13 | | $ | 1,950,320 | | | $ | 2,009,288 | | | 0.14% |
01/05/09 | | Dex Media West LLC Term Loan, 7.23%, 10/24/14 | | | 3,585,392 | | | | 4,133,007 | | | 0.29% |
01/28/09 | | First Data Corp. Term Loan B1, 3.01%, 09/24/14 | | | 4,185,947 | | | | 4,607,941 | | | 0.33% |
06/08/09 | | Ford Motor Co. Term Loan B 1st Lien, 3.03%, 12/15/13 | | | 5,506,976 | | | | 5,893,453 | | | 0.42% |
09/16/10 | | Graham Packaging Co. LP/GPC Capital Corp. I Term Loan D, 6.00%, 09/23/16 | | | 1,985,082 | | | | 2,018,126 | | | 0.14% |
10/09/09 | | Harrah’s Entertainment, Inc. Term Loan B2, 3.50%, 01/28/15 | | | 11,046,627 | | | | 11,444,635 | | | 0.81% |
06/22/09 | | HCA Term Loan A, 1.79%, 11/17/12 | | | 1,232,848 | | | | 1,266,600 | | | 0.09% |
02/09/09 | | Kelson 1st Lien, 3.54%, 03/08/13 | | | 4,917,696 | | | | 5,333,772 | | | 0.38% |
09/16/08 | | Kelson 2nd Lien (PIK), 6.79%, 03/08/14 | | | 9,675,034 | | | | 10,227,385 | | | 0.72% |
01/08/09 | | MACH Gen LLC Term Loan C (PIK), 7.81%, 02/15/15 | | | 18,822,945 | | | | 18,158,464 | | | 1.29% |
01/11/10 | | R.H. Donnelley, Inc., Term Loan, 9.00%, 10/24/14 | | | 493,843 | | | | 434,780 | | | 0.03% |
07/27/10 | | Rental Services Term Loan 2nd Lien, 3.79%, 11/30/13 | | | 1,895,000 | | | | 1,945,000 | | | 0.14% |
09/28/10 | | Reynolds Group Term Loan D, 0.00%, 03/16/16 | | | 5,940,000 | | | | 6,036,078 | | | 0.43% |
01/29/10 | | SuperMedia, Inc. Term Loan Exit 1st Lien, 11.00%, 12/31/15 | | | 2,096,591 | | | | 1,927,048 | | | 0.14% |
12/21/06 | | TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14 | | | 1,231,067 | | | | 1,141,406 | | | 0.08% |
| | | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets |
| 05/17/07 | | Tribune 1st Lien Term Loan B, 3.25%, 06/04/14 | | $ | 2,142,194 | | | $ | 1,949,748 | | | 0.14% |
| 06/11/09 | | TXU Energy Term Loan B1, 3.76%, 10/10/14 | | | 4,236,861 | | | | 4,237,360 | | | 0.30% |
| 08/26/10 | | TXU Energy Term Loan B2, 6.19%, 10/10/14 | | | 6,551,864 | | | | 6,598,238 | | | 0.47% |
| 02/03/09 | | United Air Lines, Inc., 2.31%, 02/01/14 | | | 4,822,237 | | | | 6,481,245 | | | 0.46% |
| 11/30/07 | | Univision Communications, Inc. 1st Lien Strip, 2.51%, 09/29/14 | | | 7,787,386 | | | | 7,851,793 | | | 0.56% |
| 09/23/10 | | Visant Corp. Tranche B Term Loan, 7.00%, 12/22/16 | | | 4,477,331 | | | | 4,530,600 | | | 0.32% |
| | | | | | | | | | | | |
| | | | $ | 126,728,772 | | | $ | 132,078,870 | | | 9.37% |
| | | | | | | | | | | | |
| 8 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $288, which is 0.00% of total net assets. |
| 9 | Represents the current yield as of September 30, 2010. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $200,000. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,079,438. |
| * | 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
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 73
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 91.02% | |
| ASSET-BACKED SECURITIES — 28.01%** | |
| ABFS Mortgage Loan Trust 2002-2 A7 | | | | | | | | | |
(STEP) | | | | | | | | | | | | |
5.72% | | | 07/15/33 | | | $ | 1,250 | | | $ | 1,249 | |
| Aerco Ltd. 2A A3 (United Kingdom) | | | | | | | | | |
0.72% | | | 07/15/25 | 2,3,4 | | | 2,774,356 | | | | 1,948,985 | |
| Aircastle Aircraft Lease Backed Trust 2007-1A | | | | | | | | | |
G1 | | | | | | | | | | | | |
0.52% | | | 06/14/37 | 3,4,† | | | 805,174 | | | | 680,378 | |
| Asset Backed Funding Certificates | | | | | | | | | |
| 2007-WMC1 A2B | | | | | | | | | | | | |
1.26% | | | 06/25/37 | 3 | | | 5,000,000 | | | | 2,241,807 | |
| Asset Backed Securities Corp. Home Equity | | | | | | | | | |
| 2007-HE1 A2 | | | | | | | | | | | | |
0.31% | | | 12/25/36 | 3 | | | 28,362 | | | | 27,929 | |
| Aviation Capital Group Trust 2003-2A B1 | | | | | | | | | |
3.26% | | | 09/20/33 | 3,4,† | | | 2,212,927 | | | | 1,637,581 | |
| Babcock & Brown Air Funding I Ltd. 2007-1A | | | | | | | | | |
G1 (Bermuda) | | | | | | | | | | | | |
0.65% | | | 11/14/33 | 2,3,4,† | | | 1,065,374 | | | | 882,936 | |
| Birch Real Estate CDO Ltd. 1A A1 (Cayman | | | | | | | | | |
Islands) | | | | | | | | | | | | |
5.16% | | | 02/10/38 | 2,4,† | | | 367,305 | | | | 349,611 | |
| Centex Home Equity 2006-A AV4 | | | | | | | | | |
0.51% | | | 06/25/36 | 3 | | | 4,300,000 | | | | 2,711,225 | |
| Citicorp Residential Mortgage Securities, Inc. | | | | | | | | | |
2007-1 A5 (STEP) | | | | | | | | | | | | |
6.05% | | | 03/25/37 | | | | 1,750,000 | | | | 1,462,104 | |
| Citigroup Mortgage Loan Trust, Inc. | | | | | | | | | |
2007-WFH2 A3 | | | | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 5,000,000 | | | | 2,725,697 | |
| Citigroup Mortgage Loan Trust, Inc. | | | | | | | | | |
2007-WFH2 M1 | | | | | | | | | | | | |
0.66% | | | 03/25/37 | 3 | | | 6,500,000 | | | | 1,534,234 | |
| Conseco Finance 2002-C BF1 | | | | | | | | | |
8.00% | | | 06/15/32 | 3 | | | 3,763,000 | | | | 3,396,291 | |
| Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 1,071,314 | | | | 822,281 | |
| Conseco Finance Securitizations Corp. | | | | | | | | | |
2002-1 A | | | | | | | | | | | | |
6.68% | | | 12/01/33 | 3 | | | 108,450 | | | | 114,792 | |
| Conseco Financial Corp. 1996-10 M1 | | | | | | | | | |
7.24% | | | 11/15/28 | 3 | | | 2,700,000 | | | | 2,810,972 | |
| Conseco Financial Corp. 1996-7 M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 1,162,000 | | | | 1,234,027 | |
| Conseco Financial Corp. 1996-8 A6 | | | | | | | | | |
7.60% | | | 10/15/27 | 3 | | | 33,859 | | | | 35,082 | |
| Conseco Financial Corp. 1998-4 A7 | | | | | | | | | |
6.87% | | | 04/01/30 | 3 | | | 686,664 | | | | 720,614 | |
| Conseco Financial Corp. 1999-5 A5 | | | | | | | | | |
7.86% | | | 03/01/30 | 3 | | | 147,143 | | | | 133,214 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Countrywide Asset-Backed Certificates | | | | | | | | | |
2007-4 A1A | | | | | | | | | | | | |
0.38% | | | 09/25/37 | 3 | | $ | 678,971 | | | $ | 631,932 | |
| Countrywide Asset-Backed Certificates | | | | | | | | | |
2007-4 A2 | | | | | | | | | | | | |
5.53% | | | 09/25/37 | | | | 930,000 | | | | 802,542 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC 2006-CB4 AV3 | | | | | |
0.41% | | | 05/25/36 | 3 | | | 6,900,000 | | | | 4,259,104 | |
| Crystal River 2005-1A A (Cayman Islands) | | | | | | | | | |
0.66% | | | 03/02/46 | 2,3,4 | | | 552,172 | | | | 94,214 | |
| Deutsche Financial Capital Securitization LLC | | | | | |
1997-I A3 | | | | | | | | | | | | |
6.75% | | | 09/15/27 | | | | 58,228 | | | | 59,790 | |
| First Franklin Mortgage Loan Asset Backed | | | | | | | | | |
Certificates 2007-FF1 A2D | | | | | | | | | | | | |
0.48% | | | 01/25/38 | 3 | | | 6,900,000 | | | | 3,180,276 | |
| GE Corporate Aircraft Financing LLC 2005-1A | | | | | |
C | | | | | | | | | | | | |
1.56% | | | 08/26/19 | 3,4,† | | | 953,000 | | | | 812,439 | |
| GE SeaCo Finance SRL 2004-1A A | | | | | | | | | |
(Barbados) | | | | | | | | | | | | |
0.56% | | | 04/17/19 | 2,3,4 | | | 430,000 | | | | 410,881 | |
| GE SeaCo Finance SRL 2005-1A A | | | | | | | | | |
(Barbados) | | | | | | | | | | | | |
0.51% | | | 11/17/20 | 2,3,4 | | | 658,750 | | | | 606,930 | |
| Genesis Funding Ltd. 2006-1A G1 (Bermuda) | | | | | | | | | |
0.50% | | | 12/19/32 | 2,3,4,† | | | 897,332 | | | | 756,016 | |
Green Tree 2008-MH1 A3 | | | | | | | | | | | | |
8.97% | | | 04/25/38 | 3,4 | | | 2,513,471 | | | | 2,718,501 | |
| Green Tree Home Improvement Loan Trust | | | | | | | | | |
1995-C B2 | | | | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 32,849 | | | | 29,854 | |
| Green Tree Home Improvement Loan Trust | | | | | | | | | |
1995-D B2 | | | | | | | | | | | | |
7.45% | | | 09/15/25 | | | | 86,960 | | | | 74,446 | |
| Green Tree Home Improvement Loan Trust | | | | | | | | | |
1995-F B2 | | | | | | | | | | | | |
7.10% | | | 01/15/21 | | | | 11,571 | | | | 10,793 | |
| Green Tree Recreational Equipment & | | | | | | | | | |
| Consumer Trust 1996-C Certificates | | | | | | | | | |
7.65% | | | 10/15/17 | | | | 6,264 | | | | 5,461 | |
| HSBC Home Equity Loan Trust 2004-1 A | | | | | | | | | |
0.61% | | | 09/20/33 | 3 | | | 892,010 | | | | 827,484 | |
| HSBC Home Equity Loan Trust 2007-1 M1 | | | | | | | | | |
0.64% | | | 03/20/36 | 3 | | | 1,210,000 | | | | 680,733 | |
| HSBC Home Equity Loan Trust 2007-2 M1 | | | | | | | | | |
0.57% | | | 07/20/36 | 3 | | | 1,950,000 | | | | 1,194,954 | |
| HSBC Home Equity Loan Trust 2007-2 M2 | | | | | | | | | |
0.63% | | | 07/20/36 | 3 | | | 650,000 | | | | 273,224 | |
| IndyMac Manufactured Housing Contract | | | | | | | | | |
1997-1 A3 | | | | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 737,019 | | | | 689,852 | |
See accompanying notes to Schedule of Portfolio Investments.
74 / Semi-Annual Report September 2010
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | $ | 363,920 | | | $ | 342,350 | |
| IndyMac Manufactured Housing Contract 1998-1 A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 191,372 | | | | 163,446 | |
| IndyMac Manufactured Housing Contract 1998-1 A5 | | | | | | | | | |
6.96% | | | 09/25/28 | 3 | | | 683,471 | | | | 598,097 | |
| IndyMac Manufactured Housing Contract 1998-2 A2 | | | | | | | | | |
6.17% | | | 12/25/11 | | | | 139,040 | | | | 139,234 | |
| IndyMac Manufactured Housing Contract 1998-2 A4 | | | | | | | | | |
6.64% | | | 12/25/27 | 3 | | | 884,964 | | | | 863,872 | |
| JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3 | | | | | | | | | |
0.45% | | | 05/25/35 | 3 | | | 854,039 | | | | 759,740 | |
| JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3 | | | | | | | | | |
0.37% | | | 05/25/37 | 3 | | | 1,575,000 | | | | 1,152,959 | |
| Lehman ABS Mortgage Loan Trust 2007-1 2A1 | | | | | | | | | |
0.35% | | | 06/25/37 | 3,4 | | | 133,348 | | | | 53,971 | |
| Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C | | | | | | | | | |
0.84% | | | 08/25/35 | 3 | | | 1,019,430 | | | | 928,886 | |
| Mid-State Trust 11 B | | | | | | | | | |
8.22% | | | 07/15/38 | | | | 17,880 | | | | 17,338 | |
| Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 1,354,875 | | | | 1,343,172 | |
| Mid-State Trust 6 A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 52,070 | | | | 51,551 | |
| Nationstar Home Equity Loan Trust 2007-A AV4 | | | | | | | | | |
0.49% | | | 03/25/37 | 3 | | | 5,000,000 | | | | 2,988,367 | |
| Oakwood Mortgage Investors, Inc. 1998-A A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 2,319 | | | | 2,350 | |
| Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 152,097 | | | | 152,787 | |
| Oakwood Mortgage Investors, Inc. 1999-A A2 | | | | | | | | | |
5.89% | | | 04/15/29 | | | | 185,798 | | | | 186,950 | |
| Oakwood Mortgage Investors, Inc. 2002-A AIO (IO) | | | | | | | | | |
6.00% | | | 02/15/10 | 5 | | | 176,245 | | | | 35 | |
| Origen Manufactured Housing 2006-A A1 | | | | | | | | | |
0.41% | | | 11/15/18 | 3 | | | 2,322,764 | | | | 2,232,003 | |
| PAMCO CLO 1998-1A B2 (Cayman Islands) | | | | | | | | | |
1.82% | | | 10/31/102,3,4,5,† 440,086 | | | | 52,823 | |
| Peach Finance Co. 2000 A | | | | | | | | | |
4.71% | | | 04/15/48 | 4,† | | | 916,714 | | | | 938,629 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Residential Asset Mortgage Products, Inc. 2007-RZ1 A1 | | | | | | | | | |
0.33% | | | 02/25/37 | 3 | | $ | 25,511 | | | $ | 25,090 | |
| Residential Asset Securities Corp. 2007-KS2 AI1 | | | | | | | | | |
0.33% | | | 02/25/37 | 3 | | | 40,411 | | | | 39,494 | |
| SG Mortgage Securities Trust 2007-NC1 A2 | | | | | | | | | |
0.50% | | | 12/25/36 | 4 | | | 1,184,247 | | | | 619,422 | |
| Specialty Underwriting & Residential Finance 2004-BC4 A2C | | | | | | | | | |
0.75% | | | 10/25/35 | 3 | | | 1,913,717 | | | | 1,665,258 | |
| Structured Asset Receivables Trust 2005-1A Certificates | | | | | | | | | |
1.02% | | | 01/21/15 | 3,4 | | | 10,988,819 | | | | 10,055,078 | |
| Structured Asset Securities Corp. 2007-BC3 2A2 | | | | | | | | | |
0.40% | | | 05/25/47 | 3 | | | 1,960,000 | | | | 1,314,585 | |
| Terwin Mortgage Trust 2004-7HE A1 | | | | | | | | | |
0.81% | | | 07/25/34 | 3,4 | | | 122,539 | | | | 106,824 | |
| Textainer Marine Containers Ltd. 2005-1A A (Bermuda) | | | | | | | | | |
0.51% | | | 05/15/20 | 2,3,4 | | | 525,000 | | | | 486,298 | |
| Triton Container Finance LLC 2006-1A | | | | | | | | | |
0.43% | | | 11/26/21 | 3,4 | | | 786,250 | | | | 708,120 | |
| Triton Container Finance LLC 2007-1A | | | | | | | | | |
0.40% | | | 02/26/19 | 3,4 | | | 593,490 | | | | 548,806 | |
| UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 3 | | | 585 | | | | 260 | |
| Wells Fargo Home Equity Trust 2007-2 M1 | | | | | | | | | |
0.63% | | | 04/25/37 | 3 | | | 5,000,000 | | | | 70,460 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
| (Cost $92,486,915) | | | | 72,198,690 | |
| | | | | | | | | | | | |
CORPORATES — 28.75%* | |
Banking — 8.14% | | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | | |
2.50% | | | 12/01/14 | 3 | | | 1,538,000 | | | | 1,376,666 | |
7.25% | | | 03/02/11 | | | | 1,266,000 | | | | 1,294,485 | |
| BAC Capital Trust XV | | | | | | | | | |
1.10% | | | 06/01/56 | 3 | | | 2,000,000 | | | | 1,269,934 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
0.49% | | | 06/22/12 | 3 | | | 1,420,000 | | | | 1,425,685 | |
1.02% | | | 12/02/11 | 3 | | | 1,560,000 | | | | 1,573,563 | |
| Chase Capital II B | | | | | | | | | |
0.97% | | | 02/01/27 | 3 | | | 3,144,000 | | | | 2,398,482 | |
| Chase Capital VI | | | | | | | | | |
1.09% | | | 08/01/28 | 3 | | | 1,000,000 | | | | 762,248 | |
| Credit Suisse/Guernsey 1 (Switzerland) | | | | | | | | | |
1.07% | | | 05/29/49 | 2,3 | | | 4,900,000 | | | | 3,460,625 | |
| Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | | 01/19/49 | 3,4 | | | 1,000,000 | | | | 875,000 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 75
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Banking (continued) | |
| Fleet Capital Trust V | | | | | | | | | |
1.29% | | | 12/18/28 | 3 | | $ | 950,000 | | | $ | 687,870 | |
| KeyCorp (MTN) | | | | | | | | | |
0.86% | | | 12/19/11 | 3 | | | 2,410,000 | | | | 2,427,354 | |
| Nationsbank Capital Trust III | | | | | | | | | |
1.08% | | | 01/15/27 | 3 | | | 1,000,000 | | | | 703,102 | |
| Nationsbank Capital Trust IV | | | | | | | | | |
8.25% | | | 04/15/27 | | | | 1,010,000 | | | | 1,042,825 | |
| Wells Fargo & Co. | | | | | | | | | |
1.14% | | | 12/09/11 | 3 | | | 1,675,000 | | | | 1,693,235 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 20,991,074 | |
| | | | | | | | | | | | |
| Communications — 0.35% | |
| Qwest Corp. | | | | | | | | | |
7.88% | | | 09/01/11 | | | | 850,000 | | | | 902,063 | |
| | | | | | | | | | | | |
| Electric — 0.81% | |
| Dynegy Roseton/Danskammer Pass Through Trust B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 1,175,000 | | | | 1,089,813 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 876,000 | | | | 1,008,474 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,098,287 | |
| | | | | | | | | | | | |
| Energy — 2.57% | |
| Dynegy Roseton/Danskammer Pass-Through Trust A | | | | | | | | | |
7.27% | | | 11/08/10 | | | | 107,711 | | | | 107,711 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 3,930,000 | | | | 3,812,100 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 1,500,000 | | | | 1,353,750 | |
| Valero Energy Corp. | | | | | | | | | |
10.50% | | | 03/15/39 | | | | 1,000,000 | | | | 1,355,916 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,629,477 | |
| | | | | | | | | | | | |
Finance — 9.03% | | | | | | | | | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 4 | | | 1,200,000 | | | | 1,191,000 | |
| Barnett Capital III | | | | | | | | | |
1.09% | | | 02/01/27 | 3 | | | 1,000,000 | | | | 698,535 | |
| Citigroup Funding, Inc. (MTN) | | | | | | | | | |
0.59% | | | 03/30/12 | 3 | | | 2,190,000 | | | | 2,203,188 | |
| Citigroup, Inc. | | | | | | | | | |
0.87% | | | 08/25/36 | 3 | | | 3,350,000 | | | | 2,136,295 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.81% | | | 05/05/26 | 3 | | | 2,319,000 | | | | 1,816,183 | |
| General Electric Capital Corp. G (MTN) | | | | | | | | | |
0.59% | | | 06/08/12 | 3 | | | 2,310,000 | | | | 2,323,896 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
0.60% | | | 02/06/12 | 3 | | $ | 750,000 | | | $ | 745,489 | |
1.03% | | | 01/12/15 | 3 | | | 750,000 | | | | 718,218 | |
1.06% | | | 12/05/11 | 3 | | | 1,775,000 | | | | 1,792,164 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.38% | | | 05/15/47 | 3 | | | 200,000 | | | | 145,170 | |
| Morgan Stanley | | | | | | | | | |
0.49% | | | 03/13/12 | 3 | | | 1,215,000 | | | | 1,219,033 | |
0.69% | | | 02/10/12 | 3 | | | 2,420,000 | | | | 2,431,459 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.97% | | | 10/18/16 | 3 | | | 4,050,000 | | | | 3,559,059 | |
| Prudential Holdings LLC | | | | | | | | | |
8.70% | | | 12/18/23 | 4 | | | 1,000,000 | | | | 1,264,730 | |
| Raymond James Financial, Inc. | | | | | | | | | |
8.60% | | | 08/15/19 | | | | 860,000 | | | | 1,032,061 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,276,480 | |
| | | | | | | | | | | | |
| Health Care — 0.41% | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 985,000 | | | | 1,045,331 | |
| | | | | | | | | | | | |
| Insurance — 0.38% | | | | | | | | | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 4 | | | 1,000,000 | | | | 990,694 | |
| | | | | | | | | | | | |
| Real Estate Investment Trust (REIT) — 0.91% | |
| HCP, Inc. | | | | | | | | | |
7.07% | | | 06/08/15 | | | | 500,000 | | | | 564,593 | |
| HRPT Properties Trust | | | | | | | | | |
0.89% | | | 03/16/11 | 3 | | | 750,000 | | | | 748,552 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
7.75% | | | 02/22/11 | | | | 1,000,000 | | | | 1,029,413 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,342,558 | |
| | | | | | | | | | | | |
| Transportation — 6.15% | |
| American Airlines Pass-Through Trust 2001-02 | | | | | | | | | |
6.98% | | | 04/01/11 | | | | 20,599 | | | | 21,011 | |
| American Airlines Pass-Through Trust 2009-1A | | | | | | | | | |
10.38% | | | 07/02/19 | | | | 591,750 | | | | 704,922 | |
| Continental Airlines Pass-Through Trust 1997-1 A | | | | | | | | | |
7.46% | | | 04/01/15 | | | | 2,251,363 | | | | 2,330,161 | |
| Continental Airlines Pass-Through Trust 2007-1 A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 2,897,757 | | | | 3,010,045 | |
| Continental Airlines Pass-Through Trust 2007-1 B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 2,626,948 | | | | 2,521,870 | |
| Delta Air Lines, Inc. 2001 A2 | | | | | | | | | |
7.11% | | | 09/18/11 | | | | 3,070,000 | | | | 3,238,850 | |
See accompanying notes to Schedule of Portfolio Investments.
76 / Semi-Annual Report September 2010
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Transportation (continued) | |
| Delta Air Lines, Inc. 2002 G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | $ | 847,630 | | | $ | 851,868 | |
| JetBlue Airways Pass-Through Trust 2004-2 G1 | | | | | | | | | |
0.75% | | | 08/15/16 | 3 | | | 1,046,333 | | | | 945,623 | |
| Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | | 04/01/11 | | | | 1,200,000 | | | | 1,230,000 | |
| UAL Pass-Through Trust 2009-1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 877,072 | | | | 984,513 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,838,863 | |
| | | | | | | | | | | | |
| Total Corporates | | | | | | | | | |
| (Cost $66,774,551) | | | | | | | | 74,114,827 | |
| | | | | | | | | | | | |
| BANK LOANS — 7.05%* | | | | | |
| Consumer Discretionary — 1.01% | | | | | |
| Tribune 1st Lien Term Loan B | | | | | | | | | |
3.25% | | | 06/04/14 | 6,7,8 | | | 3,969,987 | | | | 2,597,507 | |
| | | | | | | | | | | | |
| Electric — 2.14% | | | | | | | | | |
| Boston Generating LLC 1st Lien | | | | | | | | | |
5.51% | | | 12/21/13 | 6 | | | 2,674,034 | | | | 2,571,370 | |
| Calpine New Development Holdings LLC | | | | | | | | | |
7.00% | | | 07/01/17 | 6 | | | 1,995,000 | | | | 2,031,471 | |
| TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
4.54% | | | 12/15/14 | 6 | | | 1,000,000 | | | | 913,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,515,966 | |
| | | | | | | | | | | | |
| Finance — 1.36% | | | | | | | | | |
| Kelson 1st Lien | | | | | | | | | |
3.54% | | | 03/08/13 | 6 | | | 3,539,368 | | | | 3,509,875 | |
| | | | | | | | | | | | |
| Gaming — 0.92% | | | | | | | | | |
| Harrah’s Entertainment, Inc. Term Loan B2 | | | | | | | | | |
3.50% | | | 01/28/15 | 6 | | | 2,750,000 | | | | 2,375,301 | |
| | | | | | | | | | | | |
| Health Care — 0.82% | | | | | | | | | |
| Carestream Health, Inc. Term Loan | | | | | | | | | |
5.51% | | | 10/30/13 | 6 | | | 2,250,000 | | | | 2,120,625 | |
| | | | | | | | | | | | |
| Insurance — 0.37% | | | | | | | | | |
| Asurion Corp. Term Loan | | | | | | | | | |
3.29% | | | 07/07/14 | 6 | | | 990,000 | | | | 947,925 | |
| | | | | | | | | | | | |
| Transportation — 0.43% | | | | | |
| United Air Lines, Inc. | | | | | | | | | |
2.31% | | | 02/01/14 | 6 | | | 1,176,156 | | | | 1,110,488 | |
| | | | | | | | | | | | |
| Total Bank Loans | | | | | | | | | |
| (Cost $18,595,987) | | | | | | | | 18,177,687 | |
| | | | | | | | | | | | |
| MORTGAGE-BACKED — 20.14%** | | | | | |
| Commercial Mortgage-Backed — 5.10% | |
| Bayview Commercial Asset Trust 2007-1 A1 | | | | | | | | | |
0.48% | | | 03/25/37 | 3,4 | | | 4,209,135 | | | | 3,064,489 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Bear Stearns Commercial Mortgage | | | | | | | | | |
| Securities, Inc. 2005-T20 A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | $ | 1,108,000 | | | $ | 1,223,851 | |
| Commercial Mortgage Asset Trust 1999-C1 | | | | | | | | | |
| A4 | | | | | | | | | | | | |
6.98% | | | 01/17/32 | 3 | | | 1,103,000 | | | | 1,204,941 | |
| Credit Suisse First Boston Mortgage | | | | | | | | | |
| Securities, Corp. 2002-CP3 A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 675,000 | | | | 716,936 | |
| First Union National Bank Commercial | | | | | | | | | |
| Mortgage 2002-C1 A2 | | | | | | | | | |
6.14% | | | 02/12/34 | | | | 272,790 | | | | 285,692 | |
| GE Capital Commercial Mortgage Corp. 2001-1 A2 | | | | | | | | | |
6.53% | | | 05/15/33 | | | | 489,639 | | | | 496,336 | |
| Greenwich Capital Commercial Funding Corp. | | | | | | | | | |
| 2002-C1 A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 1,170,000 | | | | 1,237,265 | |
| Greenwich Capital Commercial Funding Corp. | | | | | | | | | |
| 2004-GG1 A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 1,200,000 | | | | 1,316,302 | |
| JPMorgan Chase Commercial Mortgage | | | | | | | | | |
| Securities Corp. 2001-C1 A3 | | | | | | | | | | | | |
5.86% | | | 10/12/35 | | | | 955,114 | | | | 987,804 | |
| JPMorgan Chase Commercial Mortgage | | | | | | | | | |
| Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | | 1,130,000 | | | | 1,175,597 | |
| Wachovia Bank Commercial Mortgage Trust | | | | | | | | | |
| 2002-C1 A4 | | | | | | | | | |
6.29% | | | 04/15/34 | | | | 1,345,000 | | | | 1,422,998 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,132,211 | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed — 2.88% | |
| Banco de Credito Y Securitizacion SA 2001-1 | | | | | | | | | |
| AF (Argentina) | | | | | | | | | |
8.00% | | | 05/31/10 | 2,4,5 | | | 338,855 | | | | 27,108 | |
| BHN I Mortgage Fund 2000-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 03/31/11 | 2,4,5 | | | 110 | | | | 11 | |
| Lehman XS Trust 2007-12N 1A3A | | | | | | | | | |
0.46% | | | 07/25/47 | 3,† | | | 14,120,000 | | | | 4,518,499 | |
| Morgan Stanley Mortgage Loan Trust 2006-7 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 3 | | | 3,500,000 | | | | 2,025,294 | |
| Opteum Mortgage Acceptance Corp. 2005-5 2A1B 5.64% 12/25/353 | | | | 853,891 | | | | 812,804 | |
| Washington Mutual MSC Mortgage | | | | | | | | | |
| Pass-Through Certificates 2003-MS9 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 36,653 | | | | 37,404 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,421,120 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 77
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed — 12.16% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.50% | | | 10/25/25 | | | $ | 8,160,000 | | | $ | 8,420,100 | |
| Fannie Mae 1993-80 S | | | | | | | | | |
10.53% | | | 05/25/23 | 3 | | | 14,870 | | | | 18,264 | |
| Fannie Mae 2000-45 SA (IO) | | | | | | | | | |
7.69% | | | 12/18/30 | 3 | | | 2,405,058 | | | | 410,133 | |
| Fannie Mae 2001-42 SB | | | | | | | | | |
8.50% | | | 09/25/31 | 3 | | | 1,994 | | | | 2,254 | |
| Fannie Mae 2003-107 SQ (IO) | | | | | | | | | |
7.39% | | | 05/25/33 | 3 | | | 94,097 | | | | 2,712 | |
| Fannie Mae 2003-124 IO (IO) | | | | | | | | | |
5.25% | | | 03/25/31 | | | | 124,209 | | | | 5,254 | |
| Fannie Mae 2003-124 TS | | | | | | | | | |
9.80% | | | 01/25/34 | 3 | | | 34,810 | | | | 40,365 | |
| Fannie Mae 2003-37 IG (IO) | | | | | | | | | |
5.50% | | | 05/25/32 | | | | 852,663 | | | | 71,584 | |
| Fannie Mae 2005-47 SL | | | | | | | | | |
7.50% | | | 06/25/35 | 3 | | | 58,959 | | | | 59,216 | |
| Fannie Mae 2005-92 US (IO) | | | | | | | | | |
5.84% | | | 10/25/25 | 3 | | | 10,050,112 | | | | 1,262,587 | |
| Fannie Mae 2006-125 SM | | | | | | | | | |
6.94% | | | 01/25/37 | 3 | | | 11,304,690 | | | | 1,843,697 | |
| Fannie Mae 2006-8 HL | | | | | | | | | |
6.44% | | | 03/25/36 | 3 | | | 9,815,962 | | | | 1,971,347 | |
| Fannie Mae 2008-50 SA (IO) | | | | | | | | | |
5.79% | | | 11/25/36 | 3 | | | 9,516,762 | | | | 1,345,617 | |
| Fannie Mae 2010-43 KS | | | | | | | | | |
6.16% | | | 05/25/40 | 3 | | | 7,714,244 | | | | 1,051,061 | |
| Freddie Mac 1602 SN | | | | | | | | | |
10.09% | | | 10/15/23 | 3 | | | 14,590 | | | | 18,960 | |
| Freddie Mac 2527 TI (IO) | | | | | | | | | |
6.00% | | | 02/15/32 | | | | 244,504 | | | | 9,967 | |
| Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 599,554 | | | | 17,225 | |
| Freddie Mac 2596 IJ (IO) | | | | | | | | | |
5.00% | | | 01/15/17 | | | | 77,421 | | | | 785 | |
| Freddie Mac 2642 BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 107,513 | | | | 13,627 | |
| Freddie Mac 2657 LX (IO) | | | | | | | | | |
6.00% | | | 05/15/18 | | | | 530,311 | | | | 47,567 | |
| Freddie Mac 2764 CT | | | | | | | | | |
7.50% | | | 03/15/34 | 3 | | | 49,134 | | | | 49,239 | |
| Freddie Mac 2764 SH | | | | | | | | | |
7.50% | | | 03/15/34 | 3 | | | 143,529 | | | | 145,319 | |
| Freddie Mac 2827 JT | | | | | | | | | |
8.50% | | | 12/15/32 | 3 | | | 33,650 | | | | 33,992 | |
| Freddie Mac 3242 SA (IO) | | | | | | | | | |
6.09% | | | 11/15/36 | 3 | | | 35,085,611 | | | | 4,334,389 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac 3247 SI (IO) | | | | | | | | | |
0.15% | | | 08/15/36 | 3 | | $ | 89,132,017 | | | $ | 351,697 | |
| Freddie Mac 3260 AS (IO) | | | | | | | | | |
6.12% | | | 01/15/37 | 3 | | | 38,466,922 | | | | 4,514,713 | |
| Freddie Mac 3280 SI (IO) | | | | | | | | | |
6.18% | | | 02/15/37 | 3 | | | 24,764,842 | | | | 3,409,035 | |
| Freddie Mac 3289 SD (IO) | | | | | | | | | |
5.86% | | | 03/15/37 | 3 | | | 13,086,002 | | | | 1,351,589 | |
| Ginnie Mae 2001-31 SJ | | | | | | | | | |
27.10% | | | 02/20/31 | 3 | | | 74,641 | | | | 125,337 | |
| Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 67,349 | | | | 3,775 | |
| Ginnie Mae 2004-8 SE | | | | | | | | | |
13.79% | | | 11/26/23 | 3 | | | 338,263 | | | | 421,955 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,353,362 | |
| | | | | | | | | | | | |
| Total Mortgage-Backed | | | | | |
| (Cost $41,234,917) | | | | | | | | 51,906,693 | |
| | | | | | | | | | | | |
| MUNICIPAL BONDS — 0.30%* | | | | | |
| Illinois — 0.30% | | | | | | | | | |
| State of Illinois, Pension Funding G.O., | | | | | | | | | |
| Taxable | | | | | | | | | |
3.55% | | | 06/01/11 | | | | 500,000 | | | | 506,130 | |
4.07% | | | 01/01/14 | | | | 250,000 | | | | 259,215 | |
| | | | | | | | | | | | |
| Total Municipal Bonds | | | | | | | | | |
| (Cost $755,870) | | | | | | | | 765,345 | |
| | | | | | | | | | | | |
| U.S. AGENCY SECURITIES — 4.49% | | | | | |
| U.S. Agency Securities — 4.49% | | | | | |
| Fannie Mae | | | | | | | | | |
0.28% | | | 08/23/12 | 3 | | | 2,630,000 | | | | 2,630,635 | |
0.75% | | | 12/30/11 | | | | 2,310,000 | | | | 2,313,293 | |
| Federal Home Loan Bank (STEP) | | | | | | | | | |
0.75% | | | 03/28/13 | | | | 900,000 | | | | 901,656 | |
| Freddie Mac | | | | | | | | | |
0.24% | | | 05/11/12 | 3 | | | 2,340,000 | | | | 2,339,670 | |
0.33% | | | 11/07/11 | 3 | | | 1,170,000 | | | | 1,170,886 | |
0.58% | | | 02/03/12 | 3 | | | 2,215,000 | | | | 2,217,051 | |
| | | | | | | | | | | | |
| Total U.S. Agency Securities | | | | | |
| (Cost $11,562,545) | | | | | | | | 11,573,191 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| U.S. TREASURY SECURITIES — 2.28% | |
| U.S. Treasury Notes — 2.28% | |
| U.S. Treasury Notes | | | | | | | | | |
0.88% | | | 04/30/11 | | | $ | 2,920,000 | | | | 2,931,235 | |
1.00% | | | 08/31/11 | | | | 2,920,000 | | | | 2,939,847 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
78 / Semi-Annual Report September 2010
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes (continued) | |
Total U.S. Treasury Securities | |
(Cost $5,870,600) | | | | | | | | $5,871,082 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 91.02% | | | | | | | | | |
(Cost $237,281,385) | | | | | | | | 234,607,515 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares | | | Value | |
PREFERRED STOCK — 1.49% | |
Automotive — 0.08% | |
| Preferred Plus Trust Ford Motor Co. | | | | | | | | | |
8.25% | | | 07/16/31 | | | | 8,100 | | | | 205,011 | |
| | | | | | | | | | | | |
Communications — 0.53% | |
| Corts Trust for US West Communications | | | | | | | | | |
7.50% | | | 11/15/43 | | | | 7,118 | | | | 178,377 | |
| Preferred Plus Trust Citizens Communications Co. | | | | | | | | | |
8.38% | | | 10/01/46 | | | | 12,100 | | | | 303,347 | |
| Preferred Plus Trust Qwest Capital Funding | | | | | | | | | |
7.75% | | | 02/15/31 | | | | 9,650 | | | | 238,355 | |
8.00% | | | 02/15/31 | | | | 19,500 | | | | 484,770 | |
| Preferred Plus Trust Verizon Global Funding | | | | | | | | | |
Corp. | | | | | | | | | | | | |
7.63% | | | 12/01/30 | | | | 6,100 | | | | 159,027 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,363,876 | |
| | | | | | | | | | | | |
|
Electric — 0.50% | |
PPL Corp. | | | | | | | | | | | | |
0.24% | | | 07/01/13 | | | | 22,500 | | | | 1,283,850 | |
| | | | | | | | | | | | |
|
Finance — 0.38% | |
| Citigroup Capital XIII | | | | | |
0.20% | | | 10/30/40 | | | | 40,000 | | | | 1,000,000 | |
| Terwin Mortgage Trust 2005-P1 A | | | | | | | | | |
0.00%5,6 | | | | | | | 570 | | | | 1 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,000,001 | |
| | | | | | | | | | | | |
| |
Total Preferred Stock | | | | | |
(Cost $3,634,917) | | | | | | | | 3,852,738 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS — 15.12% | |
Money Market Fund — 9.77% | |
| BlackRock Liquidity Funds TempFund | |
Portfolio | | | | | | | | | | | | |
0.23%9 | | | | | | | 749,000 | | | | $ 749,000 | |
| Dreyfus Cash Advantage Fund | | | | | |
0.25%9 | | | | | | | 11,369,000 | | | | 11,369,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
Money Market Fund (continued) | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.21%9 | | | | | | | 925,000 | | | $ | 925,000 | |
| Goldman Sachs Financial Square Funds - | | | | | | | | | |
Prime Obligations Fund | |
0.16%9,10 | | | | 12,133,000 | | | | 12,133,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,176,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 5.27% | |
Fannie Mae | |
0.20%11 | | | 10/20/10 | | | $ | 6,855,000 | | | | 6,854,472 | |
Freddie Mac | |
0.17%11 | | | 10/19/10 | | | | 2,355,000 | | | | 2,354,837 | |
0.18%11 | | | 10/20/10 | | | | 4,385,000 | | | | 4,384,662 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,593,971 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.08% | |
U.S. Treasury Bills | |
0.17%11 | | | 02/10/11 | 12 | | | 30,000 | | | | 29,986 | |
0.17%11 | | | 02/10/11 | 12 | | | 90,000 | | | | 89,957 | |
0.17%11 | | | 02/10/11 | 12 | | | 25,000 | | | | 24,988 | |
0.17%11 | | | 02/10/11 | 12 | | | 55,000 | | | | 54,973 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 199,904 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $38,969,538) | | | | 38,969,875 | |
| | | | | | | | | | | | |
|
Total Investments – 107.63% | |
(Cost $279,885,840)1 | | | | 277,430,128 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other | | | | | |
Assets – (7.63)% | | | | (19,661,520 | ) |
| | | | | | | | | | | | |
NET ASSETS – 100.00% | | | $ | 257,768,608 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
CALL OPTIONS WRITTEN | |
| U.S. Long Bond (CBT), Call Strike $127, expires 11/26/10 | | | (60 | ) | | $ | (37,995 | ) | | | (57,187 | ) |
| | | | | | | | | | | | |
| Total Call Options Written | | | $ | (37,995 | ) | | $ | (57,187 | ) |
| | | | | | | | | | | | |
WRITTEN PUT OPTIONS | | | | | | | | | |
U.S. Long Bond (CBT), Call | | | | | | | | | |
Strike $121, expires 11/26/10 | | | (15 | ) | | $ | (11,686 | ) | | $ | (1,875 | ) |
| | | | | | | | | | | | |
| Total Written Put Options | | | | $(11,686 | ) | | | $(1,875 | ) |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 79
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
12 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2010 | | | $ (48,555 | ) |
| | |
12 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2011 | | | (58,255 | ) |
| | |
12 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2011 | | | (66,955 | ) |
| | |
12 | | Euro Dollar Ninety Day, | | | | |
| | Expiration September 2011 | | | (73,967 | ) |
| | |
7 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2011 | | | (48,193 | ) |
| | |
7 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2012 | | | (49,693 | ) |
| | |
7 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2012 | | | (50,655 | ) |
| | | | | | |
| | Net unrealized depreciation | | | $(396,273 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley | |
| | 09/20/12 | | $ | — | | | $ | 2,500 | | | $ | (9,418 | ) | | $ | (9,418 | ) |
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 | | | | (427 | ) | | | (427 | ) |
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 | | | | (1,745 | ) | | | (1,745 | ) |
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 | | | | (36,306 | ) | | | (36,306 | ) |
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 | | | | (25,588 | ) | | | (25,588 | ) |
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG | |
| | 03/20/13 | | | — | | | | 300 | | | | (12,124 | ) | | | (12,124 | ) |
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley | |
| | 03/20/13 | | | — | | | | 300 | | | | (12,124 | ) | | | (12,124 | ) |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston | |
| | 12/20/14 | | | (8,719 | ) | | | 640 | | | | (4,074 | ) | | | (12,793 | ) |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG | |
| | 12/20/14 | | | (8,651 | ) | | | 635 | | | | (4,042 | ) | | | (12,693 | ) |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued) | |
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | 03/20/15 | | $ | — | | | $ | 600 | | | $ | (36,084 | ) | | $ | (36,084 | ) |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston | |
| | 09/20/16 | | | 12,918 | | | | 2,500 | | | | 158,617 | | | | 171,535 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | 09/20/16 | | | 6,316 | | | | 170 | | | | 9,974 | | | | 16,290 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | 09/20/16 | | | 6,692 | | | | 130 | | | | 5,765 | | | | 12,457 | |
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | 09/20/16 | | | 6,692 | | | | 130 | | | | 5,765 | | | | 12,457 | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | 09/20/16 | | | 1,469 | | | | 45 | | | | 3,357 | | | | 4,826 | |
The Fund pays a fixed rate equal to 1.00% 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 | |
| | 09/20/16 | | | 14,275 | | | | 800 | | | | 71,522 | | | | 85,797 | |
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The) | |
| | 09/20/16 | | | 63,274 | | | | 2,100 | | | | 161,944 | | | | 225,218 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 94,266 | | | $ | 13,075 | | | $ | 275,012 | | | $ | 369,278 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Expiration Date | | Credit Ratinga | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
12/20/10 | | AAA | | $ | — | | | $ | 460 | | | $ | 6,668 | | | $ | 6,668 | |
| | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
See accompanying notes to Schedule of Portfolio Investments.
80 / Semi-Annual Report September 2010
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $280,270,405 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 27,510,737 | |
Gross unrealized depreciation | | | (30,351,014 | ) |
| | | | |
Net unrealized depreciation | | $ | (2,840,277 | ) |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 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, 2010, was $32,703,755 , representing 12.69% of total net assets. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $79,978, which is 0.03% 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
Total
Net Assets |
| 07/03/07 | | Asurion Corp. Term Loan, 3.29%, 07/07/14 | | $ | 984,671 | | | $ | 947,925 | | | 0.37% |
| 12/19/06 | | Boston Generating LLC 1st Lien, 5.51%, 12/21/13 | | | 2,674,034 | | | | 2,571,370 | | | 1.00% |
| 06/08/10 | | Calpine New Development Holdings LLC, 7.00%, 07/01/17 | | | 1,977,007 | | | | 2,031,471 | | | 0.79% |
| 04/12/07 | | Carestream Health, Inc. Term Loan, 5.51%, 10/30/13 | | | 2,259,916 | | | | 2,120,625 | | | 0.82% |
| 06/24/10 | | Harrah’s Entertainment, | | | | | | | | | | |
| | Inc. Term Loan B2, 3.50%, 01/28/15 | | | 2,325,321 | | | | 2,375,301 | | | 0.92% |
| 04/16/08 | | Kelson 1st Lien, 3.54%, | | | | | | | | | | |
| | 03/08/13 | | | 3,353,701 | | | | 3,509,875 | | | 1.36% |
| 04/19/05 | | Terwin Mortgage Trust | | | | | | | | | | |
| | 2005-P1A, 0.00% | | | 2,893 | | | | 1 | | | 0.00% |
| 12/21/06 | | TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14 | | | 1,000,000 | | | | 913,125 | | | 0.35% |
| 05/17/07 | | Tribune 1st Lien Term Loan B, 3.25%, 06/04/14 | | | 2,845,181 | | | | 2,597,507 | | | 1.01% |
| 02/01/07 | | United Air Lines, Inc., 2.31%, 02/01/14 | | | 1,176,156 | | | | 1,110,488 | | | 0.43% |
| | | | | | | | | | | | |
| | | | $ | 18,598,880 | | | $ | 18,177,688 | | | 7.05% |
| | | | | | | | | | | | |
| 7 | Security is currently in default with regard to scheduled interest or principal payments. |
| 8 | Non-income producing security. |
| 9 | Represents the current yield as of September 30, 2010. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $12,723,000. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $199,904. |
| † | Fair valued security. The aggregate value of fair valued securities is $20,683,990, which is 8.02% 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 ASC 820, 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. |
(G.O.): General Obligation
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 81
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 80.46% | |
| ASSET-BACKED SECURITIES — 26.30%** | |
| Accredited Mortgage Loan Trust 2005-4 A2C | | | | | | | | | |
0.47% | | | 12/25/35 | 2 | | $ | 23,592 | | | $ | 22,824 | |
| ACE Securities Corp. 2004-FM1 B1A | | | | | | | | | |
5.51% | | | 09/25/33 | 2 | | | 17,188 | | | | 3,437 | |
| ACE Securities Corp. 2006-SL1 A | | | | | | | | | |
0.42% | | | 09/25/35 | 2 | | | 346,331 | | | | 72,489 | |
| Aerco Ltd. 2A A4 (United Kingdom) | | | | | | | | | |
0.78% | | | 07/15/25 | 2,3,4 | | | 8,982 | | | | 8,321 | |
| Aviation Capital Group Trust 2003-2A B1 | | | | | | | | | |
3.26% | | | 09/20/33 | 2,4,† | | | 67,777 | | | | 50,156 | |
| Aviation Capital Group Trust 2003-2A G2 | | | | | | | | | |
1.06% | | | 09/20/33 | 2,4,† | | | 58,259 | | | | 45,151 | |
| BMW Vehicle Lease Trust 2009-1 A3 | | | | | | | | | |
2.91% | | | 03/15/12 | | | | 76,637 | | | | 77,342 | |
| Capital Auto Receivables Asset Trust 2008-CPA A1 | | | | | | | | | |
1.11% | | | 01/15/13 | 2,4 | | | 68,058 | | | | 68,325 | |
| Castle Trust 2003-1AW A1 | | | | | | | | | |
1.01% | | | 05/15/27 | 2,4,† | | | 92,606 | | | | 72,233 | |
| Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M2 | | | | | | | | | |
2.41% | | | 07/25/37 | 2 | | | 114,000 | | | | 6,087 | |
| Conseco Finance Home Loan Trust 2000-E M1 | | | | | | | | | |
8.13% | | | 08/15/31 | 2 | | | 29,780 | | | | 29,447 | |
| Conseco Financial Corp. 1997-4 A5 | | | | | | | | | |
6.88% | | | 02/15/29 | | | | 69,069 | | | | 72,917 | |
| Countrywide Asset-Backed Certificates 2004-1 2A | | | | | | | | | |
0.50% | | | 04/25/34 | 2 | | | 5,852 | | | | 4,634 | |
| Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP) | | | | | | | | | |
3.95% | | | 01/25/33 | | | | 88,085 | | | | 78,845 | |
| GE Mortgage Services LLC 1998-HE1 A7 | | | | | | | | | |
6.47% | | | 06/25/28 | | | | 1,794 | | | | 1,777 | |
| Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 21,861 | | | | 19,868 | |
| Green Tree Home Improvement Loan Trust 1995-F B2 | | | | | | | | | |
7.10% | | | 01/15/21 | | | | 50,701 | | | | 47,291 | |
| Green Tree Home Improvement Loan Trust 1996-B A | | | | | | | | | |
6.45% | | | 10/15/15 | | | | 3,671 | | | | 3,670 | |
| Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | | 12/15/22 | | | | 23,014 | | | | 16,568 | |
HSBC Home Equity Loan Trust 2007-1 M1 | | | | | | | | | |
0.64% | | | 03/20/36 | 2 | | | 550,000 | | | | 309,424 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| IndyMac Home Equity Loan Asset Backed Trust 2002-A M1 | | | | | | | | | |
1.38% | | | 05/25/33 | 2 | | $ | 470,335 | | | $ | 272,001 | |
| IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 191,202 | | | | 179,869 | |
| Lehman XS Trust 2006-2N 1A1 | | | | | | | | | |
0.52% | | | 02/25/46 | 2 | | | 76,162 | | | | 45,360 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D | | | | | | | | | |
0.51% | | | 06/25/37 | 2 | | | 100,000 | | | | 47,636 | |
| Merrill Lynch First Franklin Mortgage Loan Trust 2007-4 2A4 | | | | | | | | | |
0.51% | | | 07/25/37 | 2 | | | 30,000 | | | | 13,854 | |
| Nationstar Home Equity Loan Trust 2007-B 2AV4 | | | | | | | | | |
0.58% | | | 04/25/37 | 2 | | | 205,000 | | | | 92,597 | |
| Option One Mortgage Loan Trust 2002-1 A | | | | | | | | | |
0.84% | | | 02/25/32 | 2 | | | 140,052 | | | | 113,688 | |
| Option One Mortgage Loan Trust 2003-2 A2 | | | | | | | | | |
0.86% | | | 04/25/33 | 2 | | | 100,200 | | | | 81,937 | |
| Option One Mortgage Loan Trust 2003-5 A2 | | | | | | | | | |
0.90% | | | 08/25/33 | 2 | | | 69,412 | | | | 56,841 | |
| Origen Manufactured Housing 2006-A A1 | | | | | | | | | |
0.41% | | | 11/15/18 | 2 | | | 47,266 | | | | 45,419 | |
| Park Place Securities, Inc. 2004-MHQ1 M1 | | | | | | | | | |
0.96% | | | 12/25/34 | 2 | | | 57,922 | | | | 57,101 | |
| Residential Asset Mortgage Products, Inc. 2003-RS1 AII | | | | | | | | | |
1.04% | | | 02/25/33 | 2 | | | 47,578 | | | | 25,913 | |
| Residential Asset Securities Corp. 2003-KS3 A2 | | | | | | | | | |
0.86% | | | 05/25/33 | 2 | | | 32,332 | | | | 25,797 | |
| Residential Asset Securities Corp. 2005-KS12 A2 | | | | | | | | | |
0.51% | | | 01/25/36 | 2 | | | 45,690 | | | | 43,629 | |
| Residential Asset Securities Corp. 2007-KS4 A2 | | | | | | | | | |
0.44% | | | 05/25/37 | 2 | | | 100,000 | | | | 69,556 | |
| Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
0.53% | | | 02/25/36 | 2,4 | | | 250,628 | | | | 36,378 | |
SACO I, Inc. 2005-2 A | |
0.46% | | | 04/25/35 | 2,4 | | | 3,541 | | | | 1,397 | |
Saxon Asset Securities Trust 2004-1 M1 | | | | | | | | | |
1.05% | | | 03/25/35 | 2 | | | 237,468 | | | | 195,167 | |
| Structured Asset Receivables Trust 2005-1A Certificates | | | | | | | | | |
1.02% | | | 01/21/15 | 2,4 | | | 251,435 | | | | 230,070 | |
| Terwin Mortgage Trust 2004-13AL 2PX (IO) | | | | | | | | | |
0.34% | | | 08/25/34 | 4,5 | | | 11,600,335 | | | | 77,345 | |
| UCFC Home Equity Loan 1998-D MF1 | | | | | | | | | |
6.91% | | | 04/15/30 | | | | 260,545 | | | | 248,225 | |
See accompanying notes to Schedule of Portfolio Investments.
82 / Semi-Annual Report September 2010
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Wells Fargo Home Equity Trust 2005-3 AII3 | | | | | | | | | |
0.60% | | | 11/25/35 | 2 | | $ | 62,492 | | | $ | 61,139 | |
| | | | | | | | | | | | |
| Total Asset-Backed Securities | | | | | |
| (Cost $3,727,197) | | | | | | | | 3,031,725 | |
| | | | | | | | | | | | |
| CORPORATES — 19.20%* | |
| Banking — 3.87% | |
| Chase Capital II B | | | | | |
0.97% | | | 02/01/27 | 2 | | | 325,000 | | | | 247,935 | |
| Credit Suisse/Guernsey 1 (Switzerland) | | | | | | | | | |
1.07% | | | 05/29/49 | 2,3 | | | 280,000 | | | | 197,750 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 445,685 | |
| | | | | | | | | | | | |
| Electric — 1.18% | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 80,000 | | | | 92,098 | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | | 43,321 | | | | 44,091 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 136,189 | |
| | | | | | | | | | | | |
| Finance — 9.53% | |
| Citigroup, Inc. | | | | | | | | | | | | |
2.08% | | | 05/15/18 | 2 | | | 305,000 | | | | 293,061 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.81% | | | 05/05/26 | 2 | | | 325,000 | | | | 254,532 | |
| MBNA Capital A | | | | | | | | | |
8.28% | | | 12/01/26 | | | | 100,000 | | | | 103,250 | |
| MBNA Capital B | | | | | | | | | |
1.27% | | | 02/01/27 | 2 | | | 175,000 | | | | 121,223 | |
| Morgan Stanley | | | | | | | | | |
0.69% | | | 02/10/12 | 2 | | | 110,000 | | | | 110,521 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.17% | | | 12/18/17 | 2,4 | | | 100,000 | | | | 86,599 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 150,000 | | | | 64,500 | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.73% | | | 04/08/49 | 4,5 | | | 150,000 | | | | 64,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,098,186 | |
| | | | | | | | | | | | |
| Health Care — 0.66% | |
| Boston Scientific Corp. | | | | | | | | | |
4.25% | | | 01/12/11 | | | | 75,000 | | | | 75,533 | |
| | | | | | | | | | | | |
| Insurance — 0.44% | |
| MetLife, Inc. | | | | | | | | | | | | |
2.38% | | | 02/06/14 | | | | 50,000 | | | | 50,570 | |
| | | | | | | | | | | | |
| Real Estate Investment Trust (REIT) — 2.14% | |
| Duke Realty LP | | | | | | | | | | | | |
5.40% | | | 08/15/14 | | | | 50,000 | | | | 53,147 | |
| HCP, Inc. | | | | | | | | | | | | |
6.45% | | | 06/25/12 | | | | 85,000 | | | | 90,441 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
| CORPORATES (continued) | |
| Real Estate Investment Trust (REIT) (continued) | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
8.13% | | | 05/01/11 | | | $ | 50,000 | | | $ | 51,922 | |
| Nationwide Health Properties, Inc. | | | | | | | | | |
6.50% | | | 07/15/11 | | | | 50,000 | | | | 51,596 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 247,106 | |
| | | | | | | | | | | | |
| Transportation — 1.38% | |
| Continental Airlines Pass-Through Trust 1997-4 A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 141,649 | | | | 147,315 | |
| Continental Airlines Pass-Through Trust 2002-1 G1 | | | | | | | | | |
0.83% | | | 08/15/11 | 2 | | | 12,122 | | | | 11,879 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 159,194 | |
| | | | | | | | | | | | |
| Total Corporates | | | | | | | | | |
| (Cost $2,267,229) | | | | | | | | 2,212,463 | |
| | | | | | | | | | | | |
| BANK LOANS — 1.56%* | |
| Transportation — 1.56% | |
| United Air Lines, Inc. 2.31% | | | 02/01/14 | 6 | | | 190,834 | | | | 180,179 | |
| | | | | | | | | | | | |
| Total Bank Loans | | | | | | | | | |
| (Cost $190,834) | | | | | | | | | |
| MORTGAGE-BACKED — 23.79%** | | | | | |
| Commercial Mortgage-Backed — 3.42% | |
| Bayview Commercial Asset Trust 2004-3 A1 | | | | | | | | | |
0.63% | | | 01/25/35 | 2,4 | | | 63,690 | | | | 52,709 | |
| Commercial Mortgage Asset Trust 1999-C1 A4 | | | | | | | | | |
6.98% | | | 01/17/32 | 2 | | | 55,000 | | | | 60,083 | |
| Credit Suisse First Boston Mortgage Securities, Corp. 2002-CP3 A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 30,000 | | | | 31,864 | |
| First Union National Bank Commercial Mortgage 2002-C1 A2 | | | | | | | | | |
6.14% | | | 02/12/34 | | | | 13,871 | | | | 14,527 | |
| GE Capital Commercial Mortgage Corp. 2001-1 A2 | | | | | | | | | |
6.53% | | | 05/15/33 | | | | 20,747 | | | | 21,031 | |
| Greenwich Capital Commercial Funding Corp. 2002-C1 A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 55,000 | | | | 58,162 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2001-C1 A3 | | | | | | | | | |
5.86% | | | 10/12/35 | | | | 39,305 | | | | 40,650 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIB3 A3 | | | | | | | | | |
6.47% | | | 11/15/35 | | | | 50,000 | | | | 52,018 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 83
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Commercial Mortgage-Backed (continued) | |
| Wachovia Bank Commercial Mortgage Trust 2002-C1 A4 | | | | | |
6.29% | | | 04/15/34 | | | $ | 60,000 | | | $ | 63,479 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 394,523 | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed — 13.68% | |
| American Home Mortgage Investment Trust 2007-2 11A1 | | | | | | | | | |
0.49% | | | 03/25/47 | 2 | | | 104,437 | | | | 54,436 | |
| Banc of America Mortgage Securities, Inc. 2003-A 2A2 | | | | | | | | | |
3.61% | | | 02/25/33 | 2 | | | 9,414 | | | | 8,443 | |
| Countrywide Alternative Loan Trust 2005-16 A5 | | | | | | | | | |
0.54% | | | 06/25/35 | 2 | | | 163,094 | | | | 57,667 | |
| Countrywide Alternative Loan Trust 2005-27 3A2 | | | | | | | | | |
1.49% | | | 08/25/35 | 2 | | | 94,522 | | | | 50,056 | |
| Countrywide Alternative Loan Trust 2005-61 2A1 | | | | | | | | | |
0.54% | | | 12/25/35 | 2 | | | 557,802 | | | | 390,696 | |
| Credit Suisse First Boston Mortgage Securities Corp. 1997-2 A | | | | | | | | | |
7.50% | | | 06/25/20 | 4 | | | 10,198 | | | | 10,564 | |
| Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A | | | | | | | | | |
0.67% | | | 09/19/44 | 2 | | | 60,382 | | | | 39,768 | |
| Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A | | | | | | | | | |
0.63% | | | 07/19/44 | 2 | | | 16,940 | | | | 12,962 | |
| First Horizon Asset Securities, Inc. 2003-AR1 2A1 | | | | | | | | | |
2.79% | | | 03/25/33 | 2 | | | 16,356 | | | | 16,055 | |
| Harborview Mortgage Loan Trust 2004-8 2A4A | | | | | | | | | |
0.66% | | | 11/19/34 | 2 | | | 84,561 | | | | 60,327 | |
| Harborview Mortgage Loan Trust 2005-11 2A1A | | | | | | | | | |
0.57% | | | 08/19/45 | 2 | | | 163,578 | | | | 112,956 | |
| IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
0.65% | | | 12/25/34 | 2 | | | 214,256 | | | | 130,828 | |
| Indymac Index Mortgage Loan Trust 2004-AR5 2A1A | | | | | | | | | |
1.12% | | | 08/25/34 | 2 | | | 28,406 | | | | 18,237 | |
| IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B | | | | | | | | | |
1.04% | | | 10/25/36 | 2 | | | 113,149 | | | | 74,643 | |
| IndyMac Index Mortgage Loan Trust 2005-AR2 2A2A | | | | | | | | | |
0.60% | | | 02/25/35 | 2 | | | 93,626 | | | | 56,557 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A | | | | | | | | | |
0.48% | | | 04/25/46 | 2 | | $ | 120,335 | | | $ | 63,477 | |
| Residential Asset Mortgage Products, Inc. 2003-SL1 A11 | | | | | | | | | |
7.13% | | | 03/25/16 | | | | 96,855 | | | | 97,734 | |
| Residential Asset Mortgage Products, Inc. 2003-SL1 A41 | | | | | | | | | |
8.00% | | | 04/25/31 | | | | 38,210 | | | | 39,135 | |
| Residential Asset Mortgage Products, Inc. 2004-SL1 A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 15,821 | | | | 16,142 | |
| Structured Asset Mortgage Investments, Inc. 2006-AR5 1A1 | | | | | | | | | |
0.47% | | | 05/25/46 | 2 | | | 132,733 | | | | 72,058 | |
| Structured Asset Securities Corp. 2003-15A 2A1 | | | | | | | | | |
2.51% | | | 04/25/33 | 2 | | | 71,027 | | | | 64,168 | |
| Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A | | | | | | | | | |
1.77% | | | 06/25/42 | 2 | | | 14,474 | | | | 11,840 | |
| Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 114,860 | | | | 117,214 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,575,963 | |
| | | | | | | | | | | | |
| U.S. Agency Mortgage-Backed — 6.69% | |
| Fannie Mae 1997-91 SL (IO) | | | | | | | | | |
7.50% | | | 11/25/23 | 2 | | | 265,869 | | | | 56,115 | |
| Fannie Mae 2003-37 IG (IO) | | | | | | | | | |
5.50% | | | 05/25/32 | | | | 207,967 | | | | 17,459 | |
| Fannie Mae 2003-62 IG (IO) | | | | | | | | | |
5.00% | | | 10/25/31 | | | | 1,000,000 | | | | 114,613 | |
| Fannie Mae 2004-33 MW | | | | | | | | | |
4.50% | | | 01/25/30 | | | | 100,000 | | | | 106,576 | |
| Fannie Mae 2008-47 PF | | | | | | | | | |
0.76% | | | 06/25/38 | 2 | | | 117,042 | | | | 117,967 | |
| Fannie Mae G-36 ZB | | | | | | | | | |
7.00% | | | 11/25/21 | | | | 2,966 | | | | 3,449 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 2 | | | 79,948 | | | | 81,711 | |
| Fannie Mae Pool 802665 | | | | | | | | | |
2.74% | | | 12/01/34 | 2 | | | 18,812 | | | | 19,563 | |
| Fannie Mae Whole Loan 2003-W6 F | | | | | |
0.61% | | | 09/25/42 | 2 | | | 161,296 | | | | 161,330 | |
| Freddie Mac 2 L | | | | | | | | | |
8.00% | | | 11/25/22 | | | | 21,573 | | | | 25,625 | |
See accompanying notes to Schedule of Portfolio Investments.
84 / Semi-Annual Report September 2010
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Non Gold Pool 781908 | | | | | | | | | |
2.69% | | | 09/01/34 | 2 | | $ | 63,930 | | | $ | 66,678 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 771,086 | |
| | | | | | | | | | | | |
| Total Mortgage-Backed | |
| (Cost $3,058,280) | | | | 2,741,572 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 0.22%* | |
| Illinois — 0.22% | | | | | |
| State of Illinois, Pension Funding G.O., | | | | | | | | | |
| Taxable | | | | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 25,000 | | | | 25,921 | |
| | | | | | | | | | | | |
| Total Municipal Bonds | |
| (Cost $24,843) | | | | 25,921 | |
| | | | | | | | | | | | |
U.S. AGENCY SECURITIES — 6.95% | |
| Fannie Mae | | | | | | | | | | | | |
0.28% | | | 08/23/12 | 2 | | | 220,000 | | | | 220,053 | |
| Federal Home Loan Bank | | | | | | | | | |
0.37% | | | 06/15/11 | 2 | | | 210,000 | | | | 210,183 | |
0.41% | | | 11/28/11 | 2 | | | 105,000 | | | | 105,167 | |
| Federal Home Loan Bank (STEP) | | | | | | | | | |
0.75% | | | 03/28/13 | | | | 100,000 | | | | 100,184 | |
| Freddie Mac | | | | | | | | | |
0.24% | | | 05/11/12 | 2 | | | 110,000 | | | | 109,985 | |
0.33% | | | 11/07/11 | 2 | | | 55,000 | | | | 55,042 | |
| Total U.S. Agency Securities | | | | | |
| | | | | | | | | | | | |
| (Cost $799,923) | | | | 800,614 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 2.44% | |
| U.S. Treasury Notes | | | | | | | | | |
0.88% | | | 04/30/11 | | | | 140,000 | | | | 140,539 | |
1.00% | | | 08/31/11 | | | | 140,000 | | | | 140,951 | |
| Total U.S. Treasury Securities | | | | | |
| | | | | | | | | | | | |
| (Cost $281,452) | | | | 281,490 | |
| | | | | | | | | | | | |
| |
| Total Bonds – 80.46% | | | | | |
| (Cost $10,349,758) | | | | 9,273,964 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS — 18.22% | |
Money Market Fund — 5.77% | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.23%7 | | | | | | | 107,000 | | | | 107,000 | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.25%7 | | | | | | | 521,000 | | | | 521,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Shares/ Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
Money Market Fund (continued) | |
0.21%7 | | | | | | | 37,000 | | | $ | 37,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 665,000 | |
| | | | | | | | | | | | |
| U.S. Agency Discount Notes — 5.99% | |
| Fannie Mae | | | | | | | | | |
0.17%8 | | | 10/18/10 | | | $ | 240,000 | | | | 239,985 | |
0.25%8 | | | 01/12/11 | | | | 110,000 | | | | 109,956 | |
0.29%8 | | | 07/01/11 | | | | 55,000 | | | | 54,912 | |
| Freddie Mac | | | | | | | | | |
0.24%8 | | | 01/18/11 | | | | 285,000 | | | | 284,837 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 689,690 | |
| | | | | | | | | | | | |
| U.S. Treasury Bills — 6.46% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.18%8 | | | 02/10/11 | | | | 30,000 | | | | 29,985 | |
0.18%8 | | | 02/10/11 | 9 | | | 715,000 | | | | 714,654 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 744,639 | |
| | | | | | | | | | | | |
| Total Short-Term Investments | |
| (Cost $2,099,082) | | | | 2,099,329 | |
| | | | | | | | | | | | |
| Total Investments – 98.68% | | | | | |
| (Cost $12,448,840)1 | | | | 11,373,293 | |
| | | | | | | | | | | | |
| Cash and Other Assets, Less | | | | | |
| Liabilities – 1.32% | | | | 152,523 | |
| | | | | | | | | | | | |
| Net Assets – 100.00% | | | $ | 11,525,816 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Contracts | | | | | | | | Unrealized
Appreciation | |
| FUTURES CONTRACTS: LONG POSITIONS | |
| 4 | |
| S&P 500 E Mini Index
Expiration December
2010 |
| | $ | 3,977 | |
| 29 | | | S&P 500 Index, | | | | | |
| |
| Expiration December
2010 |
| | | 536,177 | |
| | | | | | | | | | | | |
| |
| Net unrealized
appreciation |
| | $ | 540,154 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| 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 | | | | | |
| | | 10/05/10 | | | | $2 | | | | $239,289 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2010 / 85
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2010 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Expiration
Date | | | Notional
Amount
(000’s) | | | Value | |
| SWAPS: TOTAL RETURN (continued) | |
| The Fund pays a floating rate based on 1-month USD LIBOR plus 2 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 | | | | | |
| | | 11/03/10 | | | | $2 | | | $ | – | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 239,289 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid/
(Received) | | | Notional
Amount (000’s)b | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG | |
| | 03/20/14 | | $ | – | | | $ | 25 | | | $ | (1,229 | ) | | $ | (1,229 | ) |
|
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc. | |
| | 03/20/15 | | | – | | | | 150 | | | | (9,021 | ) | | | (9,021 | ) |
|
The Fund pays a fixed rate equal to 1.00% 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 | |
| | 09/20/16 | | | 3,265 | | | | 100 | | | | 7,460 | | | | 10,725 | |
|
The Fund pays a fixed rate equal to 1.00% 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 | |
| | 09/20/16 | | | 1,428 | | | | 80 | | | | 7,152 | | | | 8,580 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Citigroup, Inc. | |
| | 09/20/16 | | | 1,672 | | | | 45 | | | | 2,640 | | | | 4,312 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Deutsche Bank AG | |
| | 09/20/16 | | | 2,059 | | | | 40 | | | | 1,774 | | | | 3,833 | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the D.R. Horton, Inc., 5.38%, due 06/15/12. Counterparty: Goldman Sachs Group, Inc. (The) | |
| | 09/20/16 | | | 2,059 | | | | 40 | | | | 1,774 | | | | 3,833 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 10,483 | | | $ | 480 | | | $ | 10,550 | | | $ | 21,033 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Credit
Ratinga | | | Premiums Paid/ (Received) | | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
| The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston | |
| 12/20/10 | | | AAA | | | | | | | | $– | | | | | | | | $255 | | | | | | | | $3,696 | | | | $3,696 | |
|
| The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc. | |
| 03/20/11 | | | AAA | | | | | | | | – | | | | | | | | 200 | | | | | | | | 3,164 | | | | 3,164 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $– | | | | | | | | $455 | | | | | | | | $6,860 | | | | $6,860 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| a | Using Standard & Poor’s rating of the issuer. |
| b | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| c | The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $12,505,366 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 363,359 | |
Gross unrealized depreciation | | | (1,495,432 | ) |
| | | | |
Net unrealized depreciation | | $ | (1,132,073 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed is that in effect at September 30, 2010. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 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, 2010, was $868,248 , representing 7.53% of total net assets. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $206,345, which is 1.79% 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 Total
Net Assets | |
| 02/01/07 | | United Air Lines, Inc.,
2.31%, 02/01/14 | | | $190,834 | | | $ | 180,179 | | | | 1.56 | % |
| 7 | Represents the current yield as of September 30, 2010. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $714,654. |
| † | Fair valued security. The aggregate value of fair valued securities is $167,540, which is 1.45% 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 ASC 820, 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. |
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))
(G.O.): General obligation
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
See accompanying notes to Schedule of Portfolio Investments.
86 / Semi-Annual Report September 2010
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Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2010 (Unaudited)
| | | | | | | | |
| ASSETS: | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | |
Investments, at value (Cost $90,646,041, $1,885,247,715, $223,087,391, $11,926,297,544, $1,340,722,371, $279,885,840, and $12,448,840, respectively) (Note 2) | | $ | 84,317,108 | | | $ | 1,802,309,756 | |
Cash and cash equivalents (Note 2) | | | 18,384 | | | | – | |
Cash on deposit with brokers for collateral on options (Note 3) | | | – | | | | – | |
Premiums paid for swap contracts | | | – | | | | 602,242 | |
Unrealized appreciation on swap contracts | | | 220,197 | | | | 3,866,833 | |
Dividends and interest receivable | | | 291,986 | | | | 8,625,393 | |
Due from Adviser (Note 6) | | | 15,153 | | | | – | |
Receivable for securities sold | | | 48,206 | | | | 7,872,968 | |
Receivables from Lehman Brothers, at value (Cost $841,064, $1,484,777, $0, $6,546,493, $210,500, $399,950, and $0, respectively) (Note 3) | | | 174,250 | | | | 307,500 | |
Receivable for capital stock sold | | | 839,495 | | | | 6,184,818 | |
Receivable for daily variation margin on futures contracts (Note 3) | | | – | | | | 38,437 | |
Other assets | | | 24,809 | | | | 49,500 | |
| | | | | | | | |
Total assets | | | 85,949,588 | | | | 1,829,857,447 | |
| | | | | | | | |
| | | | | | | | |
Liabilities: | | | | | | | | |
Unrealized depreciation on swap contracts | | | – | | | | 600,672 | |
Premiums received for swap contracts | | | 1,427,829 | | | | 10,053,209 | |
Written option contracts, at value (Premiums received $0, $0, $49,681, $2,336,726, $744,141, $49,681, and $0, respectively) (Note 3) | | | – | | | | – | |
Bank overdraft | | | – | | | | 1,278 | |
Payable for securities purchased | | | 435,730 | | | | 52,314,642 | |
Payable for capital stock redeemed | | | 6,077,837 | | | | 9,132,169 | |
Payable for daily variation margin on futures contracts (Note 3) | | | – | | | | – | |
Distributions payable | | | 4,555 | | | | 467,542 | |
Advisory fees payable (Note 6) | | | 17,563 | | | | 431,909 | |
Audit fees payable | | | 26,495 | | | | 42,059 | |
Accrued trustees fees and expenses | | | 6,356 | | | | 52,666 | |
Accrued distribution (12b-1) and service fees payable | | | 3,125 | | | | 190,748 | |
Accrued other expenses | | | 37,269 | | | | 402,286 | |
| | | | | | | | |
Total liabilities | | | 8,036,759 | | | | 73,689,180 | |
| | | | | | | | |
Net assets | | $ | 77,912,829 | | | $ | 1,756,168,267 | |
| | | | | | | | |
| | | | | | | | |
Class M Shares: | | | | | | | | |
Net assets (Applicable to 6,315,761, 146,228,572, 5,421,105, 578,537,184, 83,344,250, 10,209,686, and 3,027,693, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 26,406,899 | | | $ | 1,248,407,987 | |
| | | | | | | | |
| Net asset value, offering and redemption price per Class M share | | $ | 4.18 | | | $ | 8.54 | |
| | | | | | | | |
| | | | | | | | |
Class I Shares: | | | | | | | | |
Net assets (Applicable to 12,305,404, 59,139,169, 14,746,663, 462,395,976, 49,765,295, 22,073,878, and 0,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 51,505,930 | | | $ | 505,031,530 | |
| | | | | | | | |
| Net asset value, offering and redemption price per Class I share | | $ | 4.19 | | | $ | 8.54 | |
| | | | | | | | |
| | | | | | | | |
Administrative Class: | | | | | | | | |
Net assets (Applicable to 0, 247,475, 0, 519,782, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | N/A | | | $ | 2,728,750 | |
| | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | N/A | | | $ | 11.03 | |
| | | | | | | | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Capital paid-in (Note 8) | | $ | 128,419,523 | | | $ | 1,999,772,829 | |
Undistributed (distributions in excess of) net investment income | | | (165,424 | ) | | | (604,738 | ) |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options | | | (43,565,720 | ) | | | (162,404,031 | ) |
Net unrealized appreciation/(depreciation) on investments | | | (6,995,747 | ) | | | (84,115,236 | ) |
Net unrealized appreciation/(depreciation) on futures contracts and swap contracts | | | 220,197 | | | | 3,519,443 | |
| | | | | | | | |
| | $ | 77,912,829 | | | $ | 1,756,168,267 | |
| | | | | | | | |
See accompanying notes to financial statements.
88 / Semi-Annual Report September 2010
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | | | |
| | | | | | |
| | | $233,308,010 | | | | $12,562,791,174 | | | | $1,419,265,147 | | | | $277,430,128 | | | | $ 11,373,293 | | | |
| | | 23,742 | | | | 9,234,248 | | | | 290,894 | | | | – | | | | 21,390 | | | |
| | | – | | | | – | | | | 2,819 | | | | 1,478,325 | | | | – | | | |
| | | 1,838,982 | | | | 50,774,817 | | | | 112,559 | | | | 111,636 | | | | 10,483 | | | |
| | | 396,239 | | | | 18,286,224 | | | | 773,026 | | | | 423,612 | | | | 266,949 | | | |
| | | 1,371,989 | | | | 73,003,915 | | | | 22,643,495 | | | | 1,499,387 | | | | 36,821 | | | |
| | | 12,655 | | | | – | | | | 43,298 | | | | – | | | | 9,973 | | | |
| | | 3,389,373 | | | | 265,172,512 | | | | 2,418,583 | | | | – | | | | 135 | | | |
| | | | | | |
| | | – | | | | 1,356,075 | | | | 43,153 | | | | 81,990 | | | | – | | | |
| | | 35,808 | | | | 42,257,282 | | | | 31,643,006 | | | | 339,091 | | | | – | | | |
| | | 7,262 | | | | – | | | | – | | | | – | | | | – | | | |
| | | 27,806 | | | | 228,348 | | | | 98,952 | | | | 38,867 | | | | 12,163 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 240,411,866 | | | | 13,023,104,595 | | | | 1,477,334,932 | | | | 281,403,036 | | | | 11,731,207 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 1,505,209 | | | | 57,190,813 | | | | 79,788 | | | | 141,932 | | | | 10,250 | | | |
| | | 1,469,416 | | | | 92,584,509 | | | | 665,106 | | | | 17,370 | | | | – | | | |
| | | | | | |
| | | 59,062 | | | | 2,775,938 | | | | 625,781 | | | | 59,062 | | | | – | | | |
| | | – | | | | – | | | | – | | | | 16,779 | | | | – | | | |
| | | 20,796,398 | | | | 1,703,784,878 | | | | 62,286,430 | | | | 21,288,582 | | | | 58,452 | | | |
| | | 54,602 | | | | 41,505,254 | | | | 3,178,025 | | | | 1,034,141 | | | | 51,019 | | | |
| | | – | | | | 162 | | | | – | | | | 212 | | | | 32,830 | | | |
| | | 151,649 | | | | 4,594,184 | | | | 922,239 | | | | 605,705 | | | | – | | | |
| | | 62,723 | | | | 3,101,871 | | | | 502,404 | | | | 370,313 | | | | 6,284 | | | |
| | | 37,217 | | | | 63,479 | | | | 36,546 | | | | 27,731 | | | | 22,426 | | | |
| | | 5,026 | | | | 208,122 | | | | 13,477 | | | | 8,461 | | | | 3,782 | | | |
| | | 9,725 | | | | 1,041,011 | | | | 163,592 | | | | 14,602 | | | | – | | | |
| | | 48,803 | | | | 1,767,111 | | | | 174,007 | | | | 49,538 | | | | 20,348 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 24,199,830 | | | | 1,908,617,332 | | | | 68,647,395 | | | | 23,634,428 | | | | 205,391 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 216,212,036 | | | $ | 11,114,487,263 | | | $ | 1,408,687,537 | | | $ | 257,768,608 | | | $ | 11,525,816 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | $ | 58,131,139 | | | $ | 6,174,641,149 | | | $ | 882,091,047 | | | $ | 81,564,220 | | | $ | 11,525,816 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.72 | | | $ | 10.67 | | | $ | 10.58 | | | $ | 7.99 | | | $ | 3.81 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | $ | 158,080,897 | | | $ | 4,934,295,250 | | | $ | 526,596,490 | | | $ | 176,204,388 | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.72 | | | $ | 10.67 | | | $ | 10.58 | | | $ | 7.98 | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | N/A | | | $ | 5,550,864 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | $ | 10.68 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | $201,094,680 | | | $ | 10,404,505,635 | | | $ | 1,326,738,125 | | | $ | 376,120,525 | | | $ | 110,244,600 | | | |
| | | (137,411 | ) | | | 1,354,114 | | | | (474,505 | ) | | | (409,018 | ) | | | 85,231 | | | |
| | | | | | |
| | | 6,065,779 | | | | 117,215,248 | | | | 3,236,891 | | | | (115,059,125 | ) | | | (98,525,321 | ) | | |
| | | 10,211,238 | | | | 630,864,001 | | | | 78,493,788 | | | | (2,783,054 | ) | | | (1,075,547 | ) | | |
| | | (1,022,250 | ) | | | (39,451,735 | ) | | | 693,238 | | | | (100,720 | ) | | | 796,853 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | $216,212,036 | | | $ | 11,114,487,263 | | | $ | 1,408,687,537 | | | $ | 257,768,608 | | | $ | 11,525,816 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 89
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | | LOW DURATION
BOND FUND | | | | |
Investment Income: | | | | | | | | | | | | | | | | | | | | |
Interest | | | | | | | $1,759,567 | | | | | | | | $30,480,078 | | | | | |
Dividends | | | | | | | 12,072 | | | | | | | | 155,065 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total investment income | | | | | | | 1,771,639 | | | | | | | | 30,635,143 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | | | | 128,703 | | | | | | | | 2,491,837 | | | | | |
Administration Fees | | | | | | | 36,020 | | | | | | | | 226,918 | | | | | |
Custodian fees | | | | | | | 9,021 | | | | | | | | 35,464 | | | | | |
Distribution (12b-1) and service fees | | | | | | | 18,379 | | | | | | | | 1,112,564 | | | | | |
Interest expense (Note 3) | | | | | | | – | | | | | | | | – | | | | | |
Insurance expense | | | | | | | 1,239 | | | | | | | | 18,040 | | | | | |
Miscellaneous expenses | | | | | | | 3,216 | | | | | | | | 100,619 | | | | | |
Pricing fees | | | | | | | 19,205 | | | | | | | | 28,414 | | | | | |
Professional fees | | | | | | | 22,854 | | | | | | | | 47,304 | | | | | |
Registration and filing fees | | | | | | | 4,593 | | | | | | | | 32,440 | | | | | |
Reports to shareholders | | | | | | | 3,007 | | | | | | | | 47,375 | | | | | |
Transfer agent fees | | | | | | | 18,572 | | | | | | | | 215,071 | | | | | |
Trustees’ fees and expenses | | | | | | | 1,213 | | | | | | | | 17,990 | | | | | |
Repayment of reimbursed expenses (Note 6) | | | | | | | – | | | | | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | | | | 266,022 | | | | | | | | 4,374,036 | | | | | |
Expenses waived and reimbursed (Note 6) | | | | | | | (72,606 | ) | | | | | | | (22,084 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | | | | 193,416 | | | | | | | | 4,351,952 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | | | | 1,578,223 | | | | | | | | 26,283,191 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Swap Contracts and Written Options: | | | | | | | | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | (218,401 | ) | | | | | | | 5,843,809 | | | | | |
Futures contracts | | | | | | | – | | | | | | | | 5,332,394 | | | | | |
Swap contracts | | | | | | | (165,843 | ) | | | | | | | (4,444,164 | ) | | | | |
Net change in unrealized appreciation/depreciation on: | | | | | | | | | | | | | | | | | | | | |
Investments | | | | | | | 2,893,046 | | | | | | | | 45,382,481 | | | | | |
Futures contracts | | | | | | | – | | | | | | | | 187,009 | | | | | |
Swap contracts | | | | | | | 1,015,864 | | | | | | | | 12,666,880 | | | | | |
Written options | | | | | | | – | | | | | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net change in realized and unrealized gain on investments, futures contracts, written options and swap contracts | | | | | | | 3,524,666 | | | | | | | | 64,968,409 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Net Increase in Net Assets from Operations | | | | | | | $5,102,889 | | | | | | | | $91,251,600 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
90 / Semi-Annual Report September 2010
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2010 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 5,257,837 | | | $ | 252,932,688 | | | $ | 39,708,139 | | | $ | 8,825,144 | | | $ | 235,721 | | | | | |
| | | 16,875 | | | | 776,993 | | | | 142,590 | | | | 129,310 | | | | 823 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | 5,274,712 | | | | 253,709,681 | | | | 39,850,729 | | | | 8,954,454 | | | | 236,544 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 378,212 | | | | 16,947,902 | | | | 2,367,625 | | | | 2,121,900 | | | | 29,801 | | | | | |
| | | 49,289 | | | | 1,167,570 | | | | 134,812 | | | | 51,277 | | | | 17,178 | | | | | |
| | | 12,684 | | | | 161,268 | | | | 17,168 | | | | 9,138 | | | | 5,754 | | | | | |
| | | 51,757 | | | | 5,691,305 | | | | 780,968 | | | | 75,413 | | | | – | | | | | |
| | | – | | | | – | | | | 31 | | | | – | | | | – | | | | | |
| | | 2,562 | | | | 101,021 | | | | 8,707 | | | | 2,675 | | | | 326 | | | | | |
| | | 3,652 | | | | 401,657 | | | | 26,232 | | | | 4,151 | | | | 1,558 | | | | | |
| | | 24,272 | | | | 73,339 | | | | 13,562 | | | | 16,183 | | | | 14,998 | | | | | |
| | | 34,152 | | | | 111,089 | | | | 37,037 | | | | 25,027 | | | | 18,268 | | | | | |
| | | 21,144 | | | | 179,995 | | | | 58,442 | | | | 20,930 | | | | 9,940 | | | | | |
| | | 6,536 | | | | 273,400 | | | | 24,546 | | | | 6,865 | | | | 589 | | | | | |
| | | 19,117 | | | | 921,824 | | | | 93,510 | | | | 18,422 | | | | 9,165 | | | | | |
| | | 2,416 | | | | 100,748 | | | | 8,757 | | | | 2,520 | | | | 163 | | | | | |
| | | – | | | | 52,140 | | | | – | | | | – | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 605,793 | | | | 26,183,258 | | | | 3,571,397 | | | | 2,354,501 | | | | 107,740 | | | | | |
| | | (78,570 | ) | | | – | | | | (186,011 | ) | | | – | | | | (58,541 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 527,223 | | | | 26,183,258 | | | | 3,385,386 | | | | 2,354,501 | | | | 49,199 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 4,747,489 | | | | 227,526,423 | | | | 36,465,343 | | | | 6,599,953 | | | | 187,345 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | 4,864,173 | | | | 223,326,292 | | | | 7,603,852 | | | | 3,141,357 | | | | (194,383 | ) | | | | |
| | | 1,703,816 | | | | 49,884,856 | | | | 302,213 | | | | (38,035 | ) | | | (314,900 | ) | | | | |
| | | (369,004 | ) | | | (11,380,575 | ) | | | 824,411 | | | | (5,060,658 | ) | | | (300,672 | ) | | | | |
| | | | | | |
| | | 4,157,539 | | | | 204,786,776 | | | | 12,998,419 | | | | 10,304,489 | | | | 569,223 | | | | | |
| | | 208,958 | | | | 1,041,674 | | | | (916 | ) | | | (169,821 | ) | | | 191,565 | | | | | |
| | | 796,744 | | | | 6,918,489 | | | | 837,651 | | | | 8,394,156 | | | | 224,285 | | | | | |
| | | (9,382 | ) | | | (439,212 | ) | | | 118,360 | | | | (9,382 | ) | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | 11,352,844 | | | | 474,138,300 | | | | 22,683,990 | | | | 16,562,106 | | | | 175,118 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 16,100,333 | | | $ | 701,664,723 | | | $ | 59,149,333 | | | $ | 23,162,059 | | | $ | 362,463 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 91
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | | | |
| | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | | |
Operations: | | | | | | | | | | | | |
Net investment income | | $ | 1,578,223 | | | $ | 4,596,797 | | | | | |
Net realized gain/(loss) on investments | | | (218,401 | ) | | | (12,441,703 | ) | | | | |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | (165,843 | ) | | | (165,707 | ) | | | | |
Net change in unrealized appreciation on investments | | | 2,893,046 | | | | 22,947,062 | | | | | |
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options | | | 1,015,864 | | | | 1,943,968 | | | | | |
| | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | 5,102,889 | | | | 16,880,417 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | |
Class M | | | (377,682 | ) | | | (1,152,339 | ) | | | | |
Class I | | | (1,365,967 | ) | | | (3,845,404 | ) | | | | |
Administrative Class | | | – | | | | – | | | | | |
Net realized gains: | | | | | | | | | | | | |
Class M | | | – | | | | – | | | | | |
Class I | | | – | | | | – | | | | | |
Return of capital: | | | | | | | | | | | | |
Class M | | | – | | | | – | | | | | |
Class I | | | – | | | | – | | | | | |
| | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | (1,743,649 | ) | | | (4,997,743 | ) | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | |
Proceeds from sale of shares | | | 12,238,656 | | | | 13,561,461 | | | | | |
Shares issued in reinvestment of distributions | | | 355,592 | | | | 1,108,206 | | | | | |
Cost of shares redeemed | | | (8,955,949 | ) | | | (30,931,284 | ) | | | | |
| | | | | | | | | | | | |
Total Class M capital share transactions | | | 3,638,299 | | | | (16,261,617 | ) | | | | |
| | | | | | | | | | | | |
Class I: | | | | | | | | | | | | |
Proceeds from sale of shares | | | 15,307,444 | | | | 46,634,632 | | | | | |
Shares issued in reinvestment of distributions | | | 1,363,263 | | | | 2,955,480 | | | | | |
Cost of shares redeemed | | | (47,606,082 | ) | | | (39,349,500 | ) | | | | |
| | | | | | | | | | | | |
Total Class I capital share transactions | | | (30,935,375 | ) | | | 10,240,612 | | | | | |
| | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | |
Proceeds from sale of shares | | | – | | | | – | | | | | |
Shares issued in reinvestment of distributions | | | – | | | | – | | | | | |
Cost of shares redeemed | | | – | | | | – | | | | | |
| | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | – | | | | – | | | | | |
| | | | | | | | | | | | |
| Net increase/(decrease) in net assets resulting from capital share transactions | | | (27,297,076 | ) | | | (6,021,005 | ) | | | | |
| | | | | | | | | | | | |
| Net increase/(decrease) in net assets | | | (23,937,836 | ) | | | 5,861,669 | | | | | |
| Redemption fees (Note 8) | | | – | | | | – | | | | | |
| Net assets at beginning of period | | | 101,850,665 | | | | 95,988,996 | | | | | |
| | | | | | | | | | | | |
| Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(165,424), $1, $(604,738), $352, $(137,411), $(111,526), $1,354,114 and $(1,678,436), respectively) | | $ | 77,912,829 | | | $ | 101,850,665 | | | | | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
92 / Semi-Annual Report September 2010
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, 2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2010 | | | SIX MONTHS ENDED SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2010 | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 26,283,191 | | | $ | 54,829,460 | | | $ | 4,747,489 | | | $ | 9,654,214 | | | $ | 227,526,423 | | | $ | 403,228,433 | | | |
| | | 5,843,809 | | | | (61,617,611 | ) | | | 4,864,173 | | | | 2,002,843 | | | | 223,326,292 | | | | 7,081,376 | | | |
| | | | | | | |
| | | 888,230 | | | | 32,321,658 | | | | 1,334,812 | | | | 1,728,494 | | | | 38,504,281 | | | | 55,918,105 | | | |
| | | 45,382,481 | | | | 231,189,507 | | | | 4,157,539 | | | | 21,021,019 | | | | 204,786,776 | | | | 899,965,028 | | | |
| | | | | | | |
| | | 12,853,889 | | | | (18,375,039 | ) | | | 996,320 | | | | (3,269,569 | ) | | | 7,520,951 | | | | (104,176,091 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 91,251,600 | | | | 238,347,975 | | | | 16,100,333 | | | | 31,137,001 | | | | 701,664,723 | | | | 1,262,016,851 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | (18,562,612) | | | | (38,931,365 | ) | | | (1,043,601 | ) | | | (1,818,974 | ) | | | (124,212,078 | ) | | | (221,740,001 | ) | | |
| | | (8,296,396) | | | | (18,100,246 | ) | | | (3,712,582 | ) | | | (7,837,984 | ) | | | (102,287,442 | ) | | | (177,782,236 | ) | | |
| | | (30,191) | | | | (7,990 | ) | | | – | | | | – | | | | (63,331 | ) | | | (9,067 | ) | | |
| | | | | | | |
| | | – | | | | – | | | | – | | | | (47,359 | ) | | | – | | | | – | | | |
| | | – | | | | – | | | | – | | | | (180,335 | ) | | | – | | | | – | | | |
| | | | | | | |
| | | – | | | | – | | | | – | | | | (187,042 | ) | | | – | | | | – | | | |
| | | – | | | | – | | | | – | | | | (712,223 | ) | | | – | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (26,889,199 | ) | | | (57,039,601 | ) | | | (4,756,183 | ) | | | (10,783,917 | ) | | | (226,562,851 | ) | | | (399,531,304 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | 363,670,966 | | | | 637,529,129 | | | | 14,288,124 | | | | 22,547,502 | | | | 1,753,526,827 | | | | 2,094,737,087 | | | |
| | | 17,478,351 | | | | 36,637,451 | | | | 988,791 | | | | 1,978,085 | | | | 116,109,887 | | | | 200,659,167 | | | |
| | | (210,634,768 | ) | | | (423,723,114 | ) | | | (4,585,636 | ) | | | (9,595,788 | ) | | | (605,624,960 | ) | | | (1,415,084,290 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 170,514,549 | | | | 250,443,466 | | | | 10,691,279 | | | | 14,929,799 | | | | 1,264,011,754 | | | | 880,311,964 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | 102,361,756 | | | | 242,229,747 | | | | 27,847,717 | | | | 24,044,802 | | | | 1,440,828,690 | | | | 2,374,744,937 | | | |
| | | 6,894,911 | | | | 15,239,908 | | | | 2,876,663 | | | | 7,323,710 | | | | 85,900,542 | | | | 155,883,128 | | | |
| | | (99,509,000 | ) | | | (150,441,120 | ) | | | (43,716,404 | ) | | | (25,657,662 | ) | | | (586,834,579 | ) | | | (1,140,652,507 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9,747,667 | | | | 107,028,535 | | | | (12,992,024 | ) | | | 5,710,850 | | | | 939,894,653 | | | | 1,389,975,558 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | 2,372,345 | | | | 1,429,869 | | | | – | | | | – | | | | 4,243,300 | | | | 1,677,942 | | | |
| | | 27,656 | | | | 5,799 | | | | – | | | | – | | | | 51,745 | | | | 4,022 | | | |
| | | (783,850 | ) | | | (427,842 | ) | | | – | | | | – | | | | (80,031 | ) | | | (504,012 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,616,151 | | | | 1,007,826 | | | | – | | | | – | | | | 4,215,014 | | | | 1,177,952 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 181,878,367 | | | | 358,479,827 | | | | (2,300,745 | ) | | | 20,640,649 | | | | 2,208,121,421 | | | | 2,271,465,474 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 246,240,768 | | | | 539,788,201 | | | | 9,043,405 | | | | 40,993,733 | | | | 2,683,223,293 | | | | 3,133,951,021 | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | 1,509,927,499 | | | | 970,139,298 | | | | 207,168,631 | | | | 166,174,898 | | | | 8,431,263,970 | | | | 5,297,312,949 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | $ | 1,756,168,267 | | | $ | 1,509,927,499 | | | $ | 216,212,036 | | | $ | 207,168,631 | | | $ | 11,114,487,263 | | | $ | 8,431,263,970 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 93
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | HIGH YIELD BOND FUND | |
| | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED MARCH 31, 2010 | |
Operations: | | | | | | | | |
Net investment income | | $ | 36,465,343 | | | $ | 42,166,853 | |
Net realized gain/(loss) on investments | | | 7,603,852 | | | | 15,810,558 | |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | 1,126,624 | | | | 2,966,894 | |
Net change in unrealized appreciation on investments | | | 12,998,419 | | | | 79,417,562 | |
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options | | | 955,095 | | | | 1,111,090 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 59,149,333 | | | | 141,472,957 | |
| | | | | | | | |
| | | | | | | | |
Distributions to Shareholders from: | | | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (24,071,079 | ) | | | (24,906,811 | ) |
Class I | | | (12,838,729 | ) | | | (16,292,308 | ) |
Net realized gains: | | | | | | | | |
Class M | | | – | | | | (1,306,156 | ) |
Class I | | | – | | | | (609,410 | ) |
Return of capital: | | | | | | | | |
Class M | | | – | | | | – | |
Class I | | | – | | | | – | |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (36,909,808 | ) | | | (43,114,685 | ) |
| | | | | | | | |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 493,752,089 | | | | 551,706,443 | |
Shares issued in reinvestment of distributions | | | 22,296,979 | | | | 24,330,841 | |
Cost of shares redeemed | | | (172,745,492 | ) | | | (166,722,523 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | 343,303,576 | | | | 409,314,761 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 306,769,247 | | | | 175,428,312 | |
Shares issued in reinvestment of distributions | | | 10,690,774 | | | | 16,223,385 | |
Cost of shares redeemed | | | (50,233,233 | ) | | | (91,360,017 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | 267,226,788 | | | | 100,291,680 | |
| | | | | | | | |
| Net increase/(decrease) in net assets resulting from capital share transactions | | | 610,530,364 | | | | 509,606,441 | |
| | | | | | | | |
Net increase/(decrease) in net assets | | | 632,769,889 | | | | 607,964,713 | |
Redemption fees (Note 8) | | | 177,954 | | | | 177,954 | |
Net assets at beginning of period | | | 775,739,694 | | | | 167,597,027 | |
| | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(474,505), $(29,963), $(409,018), $54,939, $85,231 and $(650,340), respectively) | | $ | 1,408,687,537 | | | $ | 775,739,694 | |
| | | | | | | | |
See accompanying notes to financial statements.
94 / Semi-Annual Report September 2010
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | STRATEGIC
INCOME FUND | | | | | | ALPHATRAK
500 FUND | | | | |
| | | | SIX MONTHS
ENDED
SEPTEMBER 30, 2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31, 2010 | | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | | |
| | | | | | |
| | | | $ | 6,599,953 | | | $ | 18,726,284 | | | | | | | $ | 187,345 | | | $ | 1,693,039 | | | | | |
| | | | | 3,141,357 | | | | (35,634,379 | ) | | | | | | | (194,383 | ) | | | (23,910,949 | ) | | | | |
| | | | | (5,098,693 | ) | | | 1,992,336 | | | | | | | | (615,572 | ) | | | 21,403,545 | | | | | |
| | | | | 10,304,489 | | | | 78,075,408 | | | | | | | | 569,223 | | | | 34,072,481 | | | | | |
| | | | | 8,214,953 | | | | 3,325,754 | | | | | | | | 415,850 | | | | (1,644,798 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 23,162,059 | | | | 66,485,403 | | | | | | | | 362,463 | | | | 31,613,318 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (1,757,703 | ) | | | (1,917,987 | ) | | | | | | | (292,898 | ) | | | (9,700,650 | ) | | | | |
| | | | | (5,290,085 | ) | | | (17,718,575 | ) | | | | | | | – | | | | | | | | | |
| | | | | – | | | | – | | | | | | | | – | | | | (1,433,003 | ) | | | | |
| | | | | – | | | | – | | | | | | | | – | | | | – | | | | | |
| | | | | – | | | | – | | | | | | | | – | | | | – | | | | | |
| | | | | – | | | | – | | | | | | | | – | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (7,047,788 | ) | | | (19,636,562 | ) | | | | | | | (292,898 | ) | | | (11,133,653 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 72,079,847 | | | | 64,738,847 | | | | | | | | 2,350,803 | | | | 14,103,517 | | | | | |
| | | | | 1,704,554 | | | | 1,876,279 | | | | | | | | 285,333 | | | | 10,507,518 | | | | | |
| | | | | (44,225,546 | ) | | | (31,299,346 | ) | | | | | | | (2,218,575 | ) | | | (93,386,424 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 29,558,855 | | | | 35,315,780 | | | | | | | | 417,561 | | | | (68,775,389 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | 2,165,923 | | | | 34,603,648 | | | | | | | | – | | | | – | | | | | |
| | | | | 1,361,336 | | | | 5,121,574 | | | | | | | | – | | | | – | | | | | |
| | | | | (6,907,281 | ) | | | (33,736,128 | ) | | | | | | | – | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (3,380,022 | ) | | | 5,989,094 | | | | | | | | – | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 26,178,833 | | | | 41,304,874 | | | | | | | | 417,561 | | | | (68,775,389 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 42,293,104 | | | | 88,153,715 | | | | | | | | 487,126 | | | | (48,295,724 | ) | | | | |
| | | | | – | | | | – | | | | | | | | – | | | | – | | | | | |
| | | | | 215,475,504 | | | | 127,321,789 | | | | | | | | 11,038,690 | | | | 59,334,414 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 257,768,608 | | | $ | 215,475,504 | | | | | | | $ | 11,525,816 | | | $ | 11,038,690 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 95
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS M | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2010 (UNAUDITED) | | | YEAR
ENDED
MARCH 31, 2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Income from Investment Operations: | |
Net investment income# | | | 0.06 | | | | 0.20 | | | | 0.25 | | | | 0.26 | | | | 0.24 | | | | 0.20 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.15 | | | | 0.51 | | | | (1.10 | ) | | | (0.48 | ) | | | 0.03 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.21 | | | | 0.71 | | | | (0.85 | ) | | | (0.22 | ) | | | 0.27 | | | | 0.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Less Distributions: | |
From net investment income | | | (0.07 | ) | | | (0.20 | ) | | | (0.26 | ) | | | (0.26 | ) | | | (0.24 | ) | | | (0.20 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | — | | | | (0.00 | )1 | | | (0.00 | )1 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.07 | ) | | | (0.20 | ) | | | (0.26 | ) | | | (0.26 | ) | | | (0.24 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 4.18 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 5.17 | % | | | 20.74 | % | | | (18.85 | )% | | | (4.48 | )% | | | 5.52 | % | | | 3.62 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Ratios/Supplemental Data: | |
Net Assets, end of period (in thousands) | | $ | 26,407 | | | $ | 22,020 | | | $ | 35,929 | | | $ | 133,051 | | | $ | 119,957 | | | $ | 200,563 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | .64 | %3 | | | 0.95 | % | | | 0.63 | % | | | 0.54 | % | | | 0.57 | % | | | 0.57 | % |
After expense waivers and reimbursements | | | .50 | %3 | | | 0.73 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.95 | %3 | | | 5.24 | % | | | 5.84 | % | | | 5.23 | % | | | 4.74 | % | | | 3.93 | % |
Portfolio Turnover Rate | | | 37 | %4 | | | 43 | % | | | 20 | % | | | 30 | % | | | 81 | % | | | 20 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.50% and 0.50%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
96 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT | |
| | | BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income# | | | 0.06 | | | | 0.19 | | | | 0.26 | | | | 0.27 | | | | 0.25 | | | | 0.21 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.16 | | | | 0.53 | | | | (1.10 | ) | | | (0.48 | ) | | | 0.03 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.22 | | | | 0.72 | | | | (0.84 | ) | | | (0.21 | ) | | | 0.28 | | | | 0.19 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.07 | ) | | | (0.21 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.21 | ) |
From net capital gains | | | – | | | | – | | | | – | | | | – | | | | (0.00 | )1 | | | (0.00 | )1 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.07 | ) | | | (0.21 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 4.19 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 0.55 | % | | | 20.93 | % | | | (18.72 | )% | | | (4.32 | )% | | | 5.69 | % | | | 3.79 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 51,506 | | | $ | 79,830 | | | $ | 60,060 | | | $ | 120,380 | | | $ | 125,128 | | | $ | 66,493 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.48 | %3 | | | 0.79 | % | | | 0.47 | % | | | 0.38 | % | | | 0.40 | % | | | 0.41 | % |
After expense waivers and reimbursements | | | 0.34 | %3 | | | 0.57 | % | | | 0.34 | % | | | 0.34 | % | | | 0.34 | % | | | 0.34 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.10 | %3 | | | 4.93 | % | | | 6.09 | % | | | 5.40 | % | | | 4.94 | % | | | 4.10 | % |
Portfolio Turnover Rate | | | 37 | %4 | | | 43 | % | | | 20 | % | | | 30 | % | | | 81 | % | | | 20 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.34% and 0.34%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 97
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION | |
| | | BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | $ | 8.21 | | | $ | 7.08 | | | $ | 8.81 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
Income from Investment Operations: | | | | | | | | | | | | | |
Net investment income# | | | 0.13 | | | | 0.33 | | | | 0.49 | | | | 0.48 | | | | 0.45 | | | | 0.38 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.33 | | | | 1.15 | | | | (1.70 | ) | | | (0.67 | ) | | | 0.16 | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.46 | | | | 1.48 | | | | (1.21 | ) | | | (0.19 | ) | | | 0.61 | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.35 | ) | | | (0.52 | ) | | | (0.49 | ) | | | (0.44 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.13 | ) | | | (0.35 | ) | | | (0.52 | ) | | | (0.49 | ) | | | (0.44 | ) | | | (0.38 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.54 | | | $ | 8.21 | | | $ | 7.08 | | | $ | 8.81 | | | $ | 9.49 | | | $ | 9.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 5.68 | % | | | 21.45 | % | | | (14.20 | )% | | | (2.11 | )% | | | 6.74 | % | | | 3.38 | % |
| | | | | | |
Ratios/Supplemental Data: | | | 1/8 | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 1,248,408 | | | $ | 1,032,666 | | | $ | 656,275 | | | $ | 1,313,261 | | | $ | 944,867 | | | $ | 334,038 | |
Ratio of Expenses to Average Net Assets1 Before expense waivers and reimbursements | | | 0.58 | %2 | | | 0.71 | % | | | 0.62 | % | | | 0.59 | % | | | 0.60 | % | | | 0.60 | % |
After expense waivers and reimbursements | | | 0.58 | %2 | | | 0.69 | % | | | 0.59 | % | | | 0.58 | % | | | 0.58 | % | | | 0.58 | % |
Ratio of Net Investment Income to Average Net Assets After expense waivers and reimbursements | | | 3.11 | %2 | | | 4.32 | % | | | 6.00 | % | | | 5.21 | % | | | 4.78 | % | | | 4.01 | % |
Portfolio Turnover Rate | | | 42 | %3 | | | 36 | % | | | 38 | % | | | 95 | % | | | 80 | % | | | 96 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.58%, 0.58% and 0.58%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
98 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | $ | 8.22 | | | $ | 7.08 | | | $ | 8.82 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | |
Net investment income# | | | 0.14 | | | | 0.35 | | | | 0.50 | | | | 0.50 | | | | 0.47 | | | | 0.40 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.32 | | | | 1.16 | | | | (1.71 | ) | | | (0.66 | ) | | | 0.16 | | | | (0.07 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | 0.46 | | | | 1.51 | | | | (1.21 | ) | | | (0.16 | ) | | | 0.63 | | | | 0.33 | |
| | | | | | | | | | | | �� | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.14 | ) | | | (0.37 | ) | | | (0.53 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.14 | ) | | | (0.37 | ) | | | (0.53 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.54 | | | $ | 8.22 | | | $ | 7.08 | | | $ | 8.82 | | | $ | 9.49 | | | $ | 9.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | 5.66 | % | | | 21.83 | % | | | (14.13 | )% | | | (1.82 | )% | | | 6.94 | % | | | 3.57 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 505,032 | | | $ | 476,233 | | | $ | 313,864 | | | $ | 595,595 | | | $ | 711,598 | | | $ | 485,442 | |
Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.39 | %2 | | | 0.52 | % | | | 0.43 | % | | | 0.40 | % | | | 0.41 | % | | | 0.41 | % |
After expense waivers and reimbursements | | | 0.39 | %2 | | | 0.50 | % | | | 0.40 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.30 | %2 | | | 4.52 | % | | | 6.19 | % | | | 5.39 | % | | | 4.96 | % | | | 4.23 | % |
Portfolio Turnover Rate | | | 42 | %3 | | | 36 | % | | | 38 | % | | | 95 | % | | | 80 | % | | | 96 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.39%, 0.39% and 0.39%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 99
Metropolitan West Funds
Financial Highlights
| | | | | | | | |
| | | LOW DURATION
BOND FUND
ADMINISTRATIVE CLASS* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | PERIOD
ENDED
MARCH 31,
2010 | |
Net Asset Value, Beginning of Period | | $ | 10.61 | | | $ | 10.00 | |
| | | | | | | | |
| | | | | | | | |
Income from Investment Operations: | | | | | | | | |
Net investment income# | | | 0.16 | | | | 0.15 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.42 | | | | 0.64 | |
| | | | | | | | |
Total from Investment Operations | | | 0.58 | | | | 0.79 | |
| | | | | | | | |
| | | | | | | | |
Less Distributions: | | | | | | | | |
From net investment income | | | (0.16 | ) | | | (0.18 | ) |
| | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (0.18 | ) |
| | | | | | | | |
Net Asset Value, End of Period | | $ | 11.03 | | | $ | 10.61 | |
| | | | | | | | |
Total Return | | | 5.51 | % | | | 7.91 | %1 |
| | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 2,729 | | | $ | 1,029 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | |
Before expense waivers and reimbursements | | | 0.78 | %3 | | | 0.91 | %3 |
After expense waivers and reimbursements | | | 0.78 | %3 | | | 0.89 | %3 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | |
After expense waivers and reimbursements | | | 2.89 | %3 | | | 2.72 | %3 |
Portfolio Turnover Rate | | | 42 | %1 | | | 36 | %1 |
| * | The Low Duration Bond Fund Administrative Class Shares commenced operations on September 23, 2009. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.78% and 0.78%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
100 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | | | | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | |
Net investment income# | | | | | | | 0.22 | | | | 0.49 | | | | 0.52 | | | | 0.48 | | | | 0.48 | | | | 0.45 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | | | | | 0.55 | | | | 1.14 | | | | (0.93 | ) | | | 0.06 | | | | 0.15 | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | | | | | 0.77 | | | | 1.63 | | | | (0.41 | ) | | | 0.54 | | | | 0.63 | | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.22 | ) | | | (0.49 | ) | | | (0.52 | ) | | | (0.51 | ) | | | (0.48 | ) | | | (0.47 | ) |
From net capital gains | | | | | | | – | | | | (0.01 | ) | | | (0.15 | ) | | | – | | | | – | | | | (0.03 | ) |
From return of capital | | | | | | | – | | | | (0.05 | ) | | | (0.00 | )1 | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.22 | ) | | | (0.55 | ) | | | (0.67 | ) | | | (0.51 | ) | | | (0.48 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 10.72 | | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 7.66 | % | | | 18.32 | % | | | (3.95 | )% | | | 5.48 | % | | | 6.47 | % | | | 2.08 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 58,131 | | | $ | 44,805 | | | $ | 25,901 | | | $ | 15,231 | | | $ | 12,503 | | | $ | 9,147 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.72 | %3 | | | 0.81 | % | | | 0.77 | % | | | 0.76 | % | | | 0.82 | % | | | 0.89 | % |
After expense waivers and reimbursements | | | | | | | 0.65 | %3 | | | 0.70 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.23 | %3 | | | 5.00 | % | | | 5.47 | % | | | 4.79 | % | | | 4.82 | % | | | 4.46 | % |
Portfolio Turnover Rate | | | | | | | 62 | %4 | | | 95 | % | | | 178 | % | | | 94 | % | | | 76 | % | | | 113 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.65% and 0.65%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 101
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | INTERMEDIATE
BOND FUND CLASS I | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
| | Net Asset Value, Beginning of Period | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | Income from Investment Operations: | | | | | | | | | | | | | |
| | Net investment income# | | | 0.23 | | | | 0.51 | | | | 0.54 | | | | 0.50 | | | | 0.51 | | | | 0.49 | |
| | Net realized and unrealized gain/(loss) on investments,futures contracts, swap contracts and written options | | | 0.55 | | | | 1.14 | | | | (0.93 | ) | | | 0.06 | | | | 0.14 | | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Total from Investment Operations | | | 0.78 | | | | 1.65 | | | | (0.39 | ) | | | 0.56 | | | | 0.65 | | | | 0.24 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| | From net investment income | | | (0.23 | ) | | | (0.51 | ) | | | (0.54 | ) | | | (0.53 | ) | | | (0.50 | ) | | | (0.49 | ) |
| | From net capital gains | | | – | | | | (0.01 | ) | | | (0.15 | ) | | | – | | | | – | | | | (0.03 | ) |
| | From return of capital | | | – | | | | (0.05 | ) | | | (0.00 | )1 | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Distributions | | | (0.23 | ) | | | (0.57 | ) | | | (0.69 | ) | | | (0.53 | ) | | | (0.50 | ) | | | (0.52 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Asset Value, End of Period | | $ | 10.72 | | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Total Return | | | 7.77 | % | | | 18.57 | % | | | (3.75 | )% | | | 5.70 | % | | | 6.70 | % | | | 2.39 | % |
| | Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | |
| | Net Assets, end of period (in thousands) | | $ | 158,081 | | | $ | 162,363 | | | $ | 140,274 | | | $ | 138,668 | | | $ | 94,791 | | | $ | 56,353 | |
| | Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
| | Before expense waivers and reimbursements | | | 0.51 | %3 | | | 0.60 | % | | | 0.56 | % | | | 0.55 | % | | | 0.61 | % | | | 0.70 | % |
| | After expense waivers and reimbursements | | | 0.44 | %3 | | | 0.49 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
| | Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| | After expense waivers and reimbursements | | | 4.44 | %3 | | | 5.25 | % | | | 5.62 | % | | | 4.97 | % | | | 5.03 | % | | | 4.77 | % |
| | Portfolio Turnover Rate | | | 62 | %4 | | | 95 | % | | | 178 | % | | | 94 | % | | | 76 | % | | | 113 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.44% and 0.44%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
102 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL RETURN
BOND FUND CLASS M | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
| | Net Asset Value, Beginning of Period | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Income from Investment Operations: | | | | | | | | | | | | | |
| | Net investment income# | | | 0.24 | | | | 0.57 | | | | 0.53 | | | | 0.48 | | | | 0.48 | | | | 0.53 | |
| | Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | �� | | 0.51 | | | | 1.26 | | | | (0.74 | ) | | | 0.04 | | | | 0.33 | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total from Investment Operations | | | 0.75 | | | | 1.83 | | | | (0.21 | ) | | | 0.52 | | | | 0.81 | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| | From net investment income | | | (0.24 | ) | | | (0.56 | ) | | | (0.55 | ) | | | (0.49 | ) | | | (0.48 | ) | | | (0.54 | ) |
| | From net capital gains | | | – | | | | – | | | | (0.17 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Distributions | | | (0.24 | ) | | | (0.56 | ) | | | (0.72 | ) | | | (0.49 | ) | | | (0.48 | ) | | | (0.54 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Asset Value, End of Period | | $ | 10.67 | | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Return | | | 7.45 | % | | | 21.16 | % | | | (2.10 | )% | | | 5.44 | % | | | 8.80 | % | | | 3.04 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Ratios/Supplemental Data: | | | | | | | | | | | | | |
| | Net Assets, end of period (in thousands) | | $ | 6,174,641 | | | $ | 4,645,082 | | | $ | 3,275,319 | | | $ | 3,533,010 | | | $ | 1,206,825 | | | $ | 555,873 | |
| | Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | |
| | Before expense waivers and reimbursements | | | 0.63 | %2 | | | 0.72 | % | | | 0.65 | % | | | 0.66 | % | | | 0.66 | % | | | 0.67 | % |
| | After expense waivers and reimbursements | | | 0.63 | %2 | | | 0.72 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
| | Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| | After expense waivers and reimbursements | | | 4.61 | %2 | | | 5.88 | % | | | 5.74 | % | | | 4.89 | % | | | 5.01 | % | | | 5.49 | % |
| | Portfolio Turnover Rate | | | 84 | %3 | | | 141 | % | | | 220 | % | | | 124 | % | | | 101 | % | | | 174 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.63% and 0.65%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 103
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | | | | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | |
Net investment income# | | | | | | | 0.25 | | | | 0.58 | | | | 0.55 | | | | 0.50 | | | | 0.50 | | | | 0.55 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | | | | | 0.51 | | | | 1.27 | | | | (0.75 | ) | | | 0.04 | | | | 0.33 | | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | | | | | 0.76 | | | | 1.85 | | | | (0.20 | ) | | | 0.54 | | | | 0.83 | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.25 | ) | | | (0.58 | ) | | | (0.56 | ) | | | (0.51 | ) | | | (0.50 | ) | | | (0.56 | ) |
From net capital gains | | | | | | | – | | | | – | | | | (0.17 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.25 | ) | | | (0.58 | ) | | | (0.73 | ) | | | (0.51 | ) | | | (0.50 | ) | | | (0.56 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 10.67 | | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 7.56 | % | | | 21.42 | % | | | (1.89 | )% | | | 5.65 | % | | | 9.03 | % | | | 3.25 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 4,934,295 | | | $ | 3,784,988 | | | $ | 2,021,994 | | | $ | 2,227,359 | | | $ | 1,293,926 | | | $ | 965,577 | |
Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 0.42 | %2 | | | 0.51 | % | | | 0.44 | % | | | 0.44 | % | | | 0.45 | % | | | 0.46 | % |
After expense waivers and reimbursements | | | | | | | 0.42 | %2 | | | 0.51 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 4.81 | %2 | | | 6.03 | % | | | 5.95 | % | | | 5.11 | % | | | 5.25 | % | | | 5.71 | % |
Portfolio Turnover Rate | | | | | | | 84 | %3 | | | 141 | % | | | 220 | % | | | 124 | % | | | 101 | % | | | 174 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.42% and 0.44% respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
104 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | |
| | | | | TOTAL RETURN
BOND FUND
ADMINISTRATIVE CLASS* | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | PERIOD
ENDED MARCH 31,
2010 | |
| | Net Asset Value, Beginning of Period | | | | | | | $10.17 | | | | $10.00 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | Income from Investment Operations: | | | | | | | | | | | | |
| | Net investment income# | | | | | | | 0.22 | | | | 0.13 | |
| | Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | | | | | 0.52 | | | | 0.17 | |
| | | | | | | | | | | | | | |
| | Total from Investment Operations | | | | | | | 0.74 | | | | 0.30 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | Less Distributions: | | | | | | | | | | | | |
| | From net investment income | | | | | | | (0.23 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | |
| | Total Distributions | | | | | | | (0.23 | ) | | | (0.13 | ) |
| | | | | | | | | | | | | | |
| | Net Asset Value, End of Period | | | | | | | $10.68 | | | | $10.17 | |
| | | | | | | | | | | | | | |
| | Total Return | | | | | | | 7.33 | % | | | 3.05 | %1 |
| | Ratios/Supplemental Data: | | | | | | | | | | | | |
| | Net Assets, end of period (in thousands) | | | | | | | $5,551 | | | | $1,194 | |
| | Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | |
| | Before expense waivers and reimbursements | | | | | | | 0.83 | %3 | | | 0.92 | % |
| | After expense waivers and reimbursements | | | | | | | 0.83 | %3 | | | 0.92 | % |
| | Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
| | After expense waivers and reimbursements | | | | | | | 4.23 | %3 | | | 4.66 | % |
| | Portfolio Turnover Rate | | | | | | | 84 | %1 | | | 141 | %1 |
| * | The Total Return Bond Fund Administrative Class Shares commenced operations on December 18, 2009. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.83% and 0.85%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 105
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | HIGH YIELD
BOND FUND CLASS M | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR ENDED MARCH 31,
2006 | |
| | Net Asset Value, Beginning of Period | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.89 | | | $ | 11.42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Income from Investment Operations: | | | | | | | | | | | | | | | | | | |
| | Net investment income# | | | 0.40 | | | | 0.92 | | | | 0.88 | | | | 0.86 | | | | 0.87 | | | | 0.81 | |
| | Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | 0.18 | | | | 2.78 | | | | (2.08 | ) | | | (1.16 | ) | | | 0.07 | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total from Investment Operations | | | 0.58 | | | | 3.70 | | | | (1.20 | ) | | | (0.30 | ) | | | 0.94 | | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Less Distributions: | | | | | | | | | | | | | | | | | | |
| | From net investment income | | | (0.40 | ) | | | (0.91 | ) | | | (0.87 | ) | | | (0.92 | ) | | | (0.86 | ) | | | (0.82 | ) |
| | From net capital gains | | | – | | | | – | | | | – | | | | – | | | | – | | | | (0.32 | ) |
| | From return of capital | | | – | | | | – | | | | – | | | | (0.04 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Distributions | | | (0.40 | ) | | | (0.95 | ) | | | (0.87 | ) | | | (0.96 | ) | | | (0.86 | ) | | | (1.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Redemption fees added to paid-in capital (Note 8) | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.01 | | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Asset Value, End of Period | | $ | 10.58 | | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Return | | | 5.75 | % | | | 49.85 | % | | | (12.59 | )% | | | (3.13 | )% | | | 9.00 | % | | | 5.59 | % |
| | | | | | | |
| | | Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | |
| | Net Assets, end of period (in thousands) | | $ | 882,091 | | | $ | 523,717 | | | $ | 60,702 | | | $ | 41,266 | | | $ | 38,022 | | | $ | 41,037 | |
| | Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
| | Before expense waivers and reimbursements | | | 0.84 | %3 | | | 0.88 | % | | | 0.99 | % | | | 0.98 | % | | | 1.05 | % | | | 1.10 | % |
| | After expense waivers and reimbursements | | | 0.80 | %3 | | | 0.81 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % |
| | Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| | After expense waivers and reimbursements | | | 7.61 | %3 | | | 9.29 | % | | | 10.24 | % | | | 8.15 | % | | | 8.01 | % | | | 7.25 | % |
| | Portfolio Turnover Rate | | | 15 | %4 | | | 40 | % | | | 107 | % | | | 120 | % | | | 97 | % | | | 111 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.80% and 0.80%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
106 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | HIGH YIELD
BOND FUND CLASS I | |
| | | | | SIX MONTHS
ENDED
SEPTEMBER 30, 2010
(UNAUDITED) | | | YEAR
ENDED MARCH 31, 2010 | | | YEAR
ENDED
MARCH 31, 2009 | | | YEAR
ENDED
MARCH 31, 2008 | | | YEAR
ENDED
MARCH 31, 2007 | | | YEAR
ENDED
MARCH 31, 2006 | |
| | Net Asset Value, Beginning of Period | | | $ 10.40 | | | | $ 7.65 | | | | $ 9.71 | | | | $ 10.97 | | | | $ 10.90 | | | | $ 11.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | Income from Investment Operations: | | | | | | | | | | | | | |
| | Net investment income# | | | 0.41 | | | | 0.95 | | | | 0.91 | | | | 0.88 | | | | 0.90 | | | | 0.84 | |
| | Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | 0.19 | | | | 2.77 | | | | (2.09 | ) | | | (1.16 | ) | | | 0.06 | | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total from Investment Operations | | | 0.60 | | | | 3.72 | | | | (1.18 | ) | | | (0.28 | ) | | | 0.96 | | | | 0.63 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
| | From net investment income | | | (0.42 | ) | | | (0.93 | ) | | | (0.89 | ) | | | (0.91 | ) | | | (0.89 | ) | | | (0.84 | ) |
| | From net capital gains | | | – | | | | (0.04 | ) | | | – | | | | – | | | | – | | | | (0.32 | ) |
| | From return of capital | | | – | | | | – | | | | – | | | | (0.07 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Distributions | | | (0.42 | ) | | | (0.97 | ) | | | (0.89 | ) | | | (0.98 | ) | | | (0.89 | ) | | | (1.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Redemption fees added to paid-in capital (Note 8) | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.01 | | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net Asset Value, End of Period | | | $ 10.58 | | | | $ 10.40 | | | | $ 7.65 | | | | $ 9.71 | | | | $ 10.97 | | | | $ 10.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Total Return | | | 5.88 | % | | | 50.22 | % | | | (12.37 | )% | | | (2.88 | )% | | | 9.18 | % | | | 5.86 | % |
| | | | | | |
| | Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | |
| | Net Assets, end of period (in thousands) | | | $526,596 | | | | $252,022 | | | | $106,895 | | | | $63,589 | | | | $50,776 | | | | $32,058 | |
| | Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
| | Before expense waivers and reimbursements | | | 0.59 | %3 | | | 0.63 | % | | | 0.73 | % | | | 0.73 | % | | | 0.81 | % | | | 0.85 | % |
| | After expense waivers and reimbursements | | | 0.55 | %3 | | | 0.56 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
| | Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
| | After expense waivers and reimbursements | | | 7.87 | %3 | | | 9.82 | % | | | 10.88 | % | | | 8.40 | % | | | 8.31 | % | | | 7.49 | % |
| | Portfolio Turnover Rate | | | 15 | %4 | | | 40 | % | | | 107 | % | | | 120 | % | | | 97 | % | | | 111 | % |
| 1 | Amount is less than $0.01. |
| 2 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal year ended March 31, 2010 would have been 0.55% and 0.55%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 107
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30, 2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31, 2010 | | | YEAR
ENDED
MARCH 31, 2009 | | | YEAR
ENDED
MARCH 31, 2008 | | | YEAR ENDED
MARCH 31, 2007 | | | YEAR
ENDED
MARCH 31, 2006 | |
Net Asset Value, Beginning of Period | | | | | | $ | 7.45 | | | | | | | $ | 5.69 | | | | | | | $ | 8.85 | | | | | | | $ | 11.09 | | | | | | | $ | 11.07 | | | | | | | $ | 11.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Income from Investment Operations: | | | | | |
Net investment income# | | | | | | | 0.21 | | | | | | | | 0.58 | | | | | | | | 0.89 | | | | | | | | 0.79 | | | | | | | | 0.59 | | | | | | | | 0.55 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | | | | | 0.56 | | | | | | | | 1.91 | | | | | | | | (2.98 | ) | | | | | | | (2.21 | ) | | | | | | | 0.01 | | | | | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | | | | | 0.77 | | | | | | | | 2.49 | | | | | | | | (2.09 | ) | | | | | | | (1.42 | ) | | | | | | | 0.60 | | | | | | | | 0.44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Less Distributions: | | | | | |
From net investment income | | | | | | | (0.23 | ) | | | | | | | (0.73 | ) | | | | | | | (1.07 | ) | | | | | | | (0.82 | ) | | | | | | | (0.58 | ) | | | | | | | (0.57 | ) |
From net capital gains | | | | | | | – | | | | | | | | – | | | | | | | | – | | | | | | | | – | | | | | | | | – | | | | | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.23 | ) | | | | | | | (0.73 | ) | | | | | | | (1.07 | ) | | | | | | | (0.82 | ) | | | | | | | (0.58 | ) | | | | | | | (0.59 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 7.99 | | | | | | | $ | 7.45 | | | | | | | $ | 5.69 | | | | | | | $ | 8.85 | | | | | | | $ | 11.09 | | | | | | | $ | 11.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 10.43 | % | | | | | | | 46.49 | % | | | | | | | (25.33 | )% | | | | | | | (13.44 | )% | | | | | | | 5.57 | % | | | | | | | 4.04 | % |
| |
Ratios/Supplemental Data: | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 81,564 | | | | | | | $ | 47,906 | | | | | | | $ | 8,020 | | | | | | | $ | 43,785 | | | | | | | $ | 99,001 | | | | | | | $ | 86,288 | |
Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 2.20 | %2 | | | | | | | 2.01 | % | | | | | | | 0.79 | % | | | | | | | 1.61 | % | | | | | | | 1.70 | % | | | | | | | 1.91 | % |
After expense waivers and reimbursements | | | | | | | 2.20 | %2 | | | | | | | 2.01 | % | | | | | | | 0.79 | % | | | | | | | 1.61 | % | | | | | | | 1.70 | % | | | | | | | 1.91 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 5.45 | %2 | | | | | | | 8.41 | % | | | | | | | 11.19 | % | | | | | | | 7.49 | % | | | | | | | 5.35 | % | | | | | | | 4.94 | % |
Portfolio Turnover Rate | | | | | | | 57 | %3 | | | | | | | 208 | % | | | | | | | 294 | % | | | | | | | 74 | % | | | | | | | 27 | % | | | | | | | 44 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 2.20%, 1.63%, 0.60% and 1.06%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
108 / Semi-Annual Report September 2010
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
| Net Asset Value, Beginning of Period | | | | | | $ | 7.44 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.08 | | | $ | 11.07 | | | $ | 11.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | |
Net investment income# | | | | | | | 0.22 | | | | 0.71 | | | | 0.95 | | | | 0.85 | | | | 0.60 | | | | 0.59 | |
Net realized and unrealized gain/ (loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | | | | | 0.56 | | | | 1.79 | | | | (3.02 | ) | | | (2.23 | ) | | | 0.02 | | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total from Investment Operations | | | | | | | 0.78 | | | | 2.50 | | | | (2.07 | ) | | | (1.38 | ) | | | 0.62 | | | | 0.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.24 | ) | | | (0.75 | ) | | | (1.09 | ) | | | (0.85 | ) | | | (0.61 | ) | | | (0.60 | ) |
From net capital gains | | | | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | | | | (0.24 | ) | | | (0.75 | ) | | | (1.09 | ) | | | (0.85 | ) | | | (0.61 | ) | | | (0.62 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | | | | | $ | 7.98 | | | $ | 7.44 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.08 | | | $ | 11.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Total Return | | | | | | | 10.58 | % | | | 46.65 | % | | | (25.14 | )% | | | (13.22 | )% | | | 5.73 | % | | | 4.30 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 176,204 | | | $ | 167,570 | | | $ | 119,302 | | | $ | 271,639 | | | $ | 369,484 | | | $ | 121,108 | |
Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 1.95 | %2 | | | 1.76 | % | | | 0.51 | % | | | 1.34 | % | | | 1.63 | % | | | 1.62 | % |
After expense waivers and reimbursements | | | | | | | 1.95 | %2 | | | 1.76 | % | | | 0.51 | % | | | 1.34 | % | | | 1.63 | % | | | 1.62 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 5.73 | %2 | | | 10.56 | % | | | 12.39 | % | | | 8.13 | % | | | 5.44 | % | | | 5.27 | % |
Portfolio Turnover Rate | | | | | | | 57 | %3 | | | 208 | % | | | 294 | % | | | 74 | % | | | 27 | % | | | 44 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.95%, 1.38%, 0.32% and 0.78%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
Semi-Annual Report September 2010 / 109
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | |
Net Asset Value, Beginning of Period | | | | | | $ | 3.79 | | | $ | 2.96 | | | $ | 6.71 | | | $ | 8.56 | | | $ | 8.14 | | | $ | 7.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | |
Net investment income# | | | | | | | 0.06 | | | | 0.15 | | | | 0.29 | | | | 0.48 | | | | 0.42 | | | | 0.36 | |
Net realized and unrealized gain/ (loss) on investments, futures contracts, swap contracts and written options | | | | | | | 0.06 | | | | 2.45 | | | | (4.01 | ) | | | (1.56 | ) | | | 0.61 | | | | 0.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | | | | | 0.12 | | | | 2.60 | | | | (3.72 | ) | | | (1.08 | ) | | | 1.03 | | | | 0.92 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | | | | (0.10 | ) | | | (1.55 | ) | | | – | | | | (0.45 | ) | | | (0.61 | ) | | | (0.39 | ) |
From net capital gains | | | | | | | – | | | | (0.22 | ) | | | – | | | | (0.23 | ) | | | – | | | | – | |
From return of capital | | | | | | | – | | | | – | | | | (0.03 | ) | | | (0.09 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | (1.77 | ) | | | (0.03 | ) | | | (0.77 | ) | | | (0.61 | ) | | | (0.39 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | | | | $ | 3.81 | | | $ | 3.79 | | | $ | 2.96 | | | $ | 6.71 | | | $ | 8.56 | | | $ | 8.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | | | | 3.61 | % | | | 96.57 | % | | | (55.65 | )% | | | (14.03 | )% | | | 12.85 | % | | | 12.33 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | | | $ | 11,526 | | | $ | 11,039 | | | $ | 59,334 | | | $ | 157,644 | | | $ | 183,696 | | | $ | 156,418 | |
Ratio of Expenses to Average Net Assets1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | | | | 1.97 | %2 | | | 1.30 | % | | | 0.24 | % | | | 0.13 | % | | | 0.73 | % | | | 0.36 | % |
After expense waivers and reimbursements | | | | | | | 0.90 | %2 | | | 1.21 | % | | | 0.22 | % | | | 0.13 | % | | | 0.73 | % | | | 0.36 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | | | | 3.43 | %2 | | | 3.84 | % | | | 5.57 | % | | | 5.74 | % | | | 5.01 | % | | | 4.54 | % |
Portfolio Turnover Rate | | | | | | | 13 | %3 | | | 24 | % | | | 145 | % | | | 89 | % | | | 106 | % | | | 64 | % |
| 1 | The Fund incurred interest expense for the six months ended September 30, 2010 and the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the six months ended September 30, 2010 and for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.90%, 0.90% and 0.18%, respectively. |
| # | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
110 / Semi-Annual Report September 2010
Notes to Financial Statements
September 30, 2010 (Unaudited)
| 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 – Class M commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The HighYield Bond Fund – Class M commenced operations on September 30, 2002. The HighYield 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 Low Duration Bond Fund - Administrative Class commenced operations on September 23, 2009. The Total Return Bond Fund - Administrative Class commenced operations on December 18, 2009.
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 techniques 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 2010 / 111
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:
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 of Trustees (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 (e.g., 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 Index 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.
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:
Distributions to shareholders are recorded on the ex-dividend date. 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.
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 (“GAAP”). 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.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’
112 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
As of and during the period ended September 30, 2010 (Unaudited), 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.
Cash and cash equivalents:
The Trust has defined cash and cash equivalents as cash which can be in interest-bearing and non-interest-bearing accounts.
Use of estimates:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Fair Value Measurements:
Various inputs are used in determining the fair value of investments, which are as follows:
* Level 1 - unadjusted 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 investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Asset-Backed securities and mortgage backed securities. The fair value of asset backed securities and mortgage backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.
Semi-Annual Report September 2010 / 113
Notes to Financial Statements (continued)
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources . Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
U.S. Government and agency securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy.
Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.
Futures Contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Options Contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporates various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Interest Rate Swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Credit Default Swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total Return Swaps. Total Return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
As of September 30, 2010, Level 3 securities consist of certain asset-backed securities, collateralized mortgage obligations, corporate bonds and interest-only securities that trade in over the counter markets.
114 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
The summary of inputs used to value each Fund’s net assets as of September 30, 2010 is as follows:
| | | | | | | | | | | | | | | | |
ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
| Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
| Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 7,312,000 | | | $ | – | | | $ | – | | | $ | 7,312,000 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 14,232,438 | | | | – | | | | 14,232,438 | |
Bank Loans | | | – | | | | 619,627 | | | | – | | | | 619,627 | |
Corporates | | | – | | | | 14,401,637 | | | | – | | | | 14,401,637 | |
Mortgage-Backed | | | – | | | | 44,229,458 | | | | – | | | | 44,229,458 | |
Municipal Bonds | | | – | | | | 1,159,440 | | | | – | | | | 1,159,440 | |
U.S. Treasury Securities | | | – | | | | 2,362,508 | | | | – | | | | 2,362,508 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | – | | | | – | |
Credit contracts | | | – | | | | 17,189 | | | | – | | | | 17,189 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | – | | | | – | |
Credit contracts | | | – | | | | (1,224,821) | | | | – | | | | (1,224,821) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 7,312,000 | | | $ | 75,797,476 | | | $ | – | | | $ | 83,109,476 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
| Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
| Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 33,751,100 | | | $ | 84,218,481 | | | $ | – | | | $ | 117,969,581 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 276,604,642 | | | | 9,012 | | | | 276,613,654 | |
Bank Loans | | | – | | | | 10,375,797 | | | | – | | | | 10,375,797 | |
Corporates | | | – | | | | 493,466,875 | | | | 1,290,000 | | | | 494,756,875 | |
Mortgage-Backed | | | – | | | | 589,144,339 | | | | 15,617 | | | | 589,159,956 | |
Municipal Bonds | | | – | | | | 17,737,657 | | | | – | | | | 17,737,657 | |
U.S. Agency Securities | | | – | | | | 146,894,182 | | | | – | | | | 146,894,182 | |
U.S. Treasury Securities | | | | | | | 148,802,054 | | | | | | | | 148,802,054 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 247,837 | | | | – | | | | – | | | | 247,837 | |
Credit contracts | | | – | | | | 2,588,053 | | | | – | | | | 2,588,053 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | | | | | – | |
Credit contracts | | | – | | | | (8,772,859) | | | | | | | | (8,772,859) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 33,998,937 | | | $ | 1,761,059,221 | | | $ | 1,314,629 | | | $ | 1,796,372,787 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2010 / 115
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
| Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
| Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 6,685,000 | | | $ | 1,507,912 | | | $ | – | | | $ | 8,192,912 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 30,865,349 | | | | – | | | | 30,865,349 | |
Bank Loans | | | – | | | | 440,204 | | | | – | | | | 440,204 | |
Corporates | | | – | | | | 67,961,152 | | | | – | | | | 67,961,152 | |
Mortgage-Backed | | | – | | | | 66,860,804 | | | | – | | | | 66,860,804 | |
Municipal Bonds | | | – | | | | 2,036,755 | | | | – | | | | 2,036,755 | |
U.S. Agency Securities | | | – | | | | 1,200,908 | | | | – | | | | 1,200,908 | |
U.S. Treasury Securities | | | – | | | | 55,749,926 | | | | – | | | | 55,749,926 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | |
| Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 183,429 | | | | – | | | | – | | | | 183,429 | |
Credit contracts | | | – | | | | 616,224 | | | | – | | | | 616,224 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (156,279) | | | | – | | | | – | | | | (156,279) | |
Credit contracts | | | – | | | | (1,355,628) | | | | – | | | | (1,355,628) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 6,712,150 | | | $ | 225,883,606 | | | $ | – | | | $ | 232,595,756 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
| Investments in Securities | | | | | | | | | | | | | | | | |
| | | | |
| Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 583,342,000 | | | $ | 6,301,948 | | | $ | – | | | $ | 589,643,948 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 1,330,099,725 | | | | 14,264 | | | | 1,330,113,989 | |
Bank Loans | | | – | | | | 108,324,362 | | | | – | | | | 108,324,362 | |
Corporates | | | – | | | | 2,724,116,652 | | | | 2,193,000 | | | | 2,726,309,652 | |
Mortgage-Backed | | | – | | | | 4,573,274,675 | | | | 20,792 | | | | 4,573,295,467 | |
Municipal Bonds | | | – | | | | 78,045,597 | | | | – | | | | 78,045,597 | |
U.S. Treasury Securities | | | – | | | | 3,157,058,159 | | | | – | | | | 3,157,058,159 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | |
| Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | – | | | | – | |
Credit contracts | | | – | | | | 23,075,990 | | | | – | | | | 23,075,990 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (3,359,053) | | | | (17,432,204) | | | | – | | | | (20,791,257) | |
Credit contracts | | | – | | | | (86,358,064) | | | | – | | | | (86,358,064) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 579,982,947 | | | $ | 11,896,506,840 | | | $ | 2,228,056 | | | $ | 12,478,717,843 | |
| | | | | | | | | | | | | | | | |
116 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| HIGH YIELD BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 99,041,000 | | | $ | 52,805,358 | | | $ | – | | | $ | 151,846,358 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 10,878,629 | | | | – | | | | 10,878,629 | |
Bank Loans | | | – | | | | 146,416,592 | | | | – | | | | 146,416,592 | |
Corporates | | | – | | | | 1,053,466,696 | | | | 6,109 | | | | 1,053,472,805 | |
Mortgage-Backed | | | – | | | | 54,771 | | | | 288 | | | | 55,059 | |
Municipal Bonds | | | – | | | | 9,371,644 | | | | – | | | | 9,371,644 | |
Preferred Stock | | | – | | | | 5,739,944 | | | | – | | | | 5,739,944 | |
Put Options Purchased | | | 597,656 | | | | – | | | | – | | | | 597,656 | |
U.S. Treasury Securities | | | – | | | | 40,886,460 | | | | – | | | | 40,886,460 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | – | | | | – | |
Credit contracts | | | – | | | | 330,934 | | | | – | | | | 330,934 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (625,781) | | | | – | | | | – | | | | (625,781) | |
Credit contracts | | | – | | | | (190,243) | | | | – | | | | (190,243) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 99,012,875 | | | $ | 1,319,760,785 | | | $ | 6,397 | | | $ | 1,418,780,057 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| STRATEGIC INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 25,176,000 | | | $ | 13,793,875 | | | $ | – | | | $ | 38,969,875 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 72,198,655 | | | | 35 | | | | 72,198,690 | |
Bank Loans | | | – | | | | 18,177,687 | | | | – | | | | 18,177,687 | |
Corporates | | | – | | | | 74,114,827 | | | | – | | | | 74,114,827 | |
Mortgage-Backed | | | – | | | | 51,906,682 | | | | 11 | | | | 51,906,693 | |
Municipal Bonds | | | – | | | | 765,345 | | | | – | | | | 765,345 | |
Preferred Stock | | | – | | | | 3,852,737 | | | | 1 | | | | 3,852,738 | |
U.S. Agency Securities | | | – | | | | 11,573,191 | | | | – | | | | 11,573,191 | |
U.S. Treasury Securities | | | – | | | | 5,871,082 | | | | – | | | | 5,871,082 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | – | | | | – | | | | – | |
Credit contracts | | | – | | | | 535,248 | | | | – | | | | 535,248 | |
| Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (455,335) | | | | – | | | | – | | | | (455,335) | |
Credit contracts | | | – | | | | (159,302) | | | | – | | | | (159,302) | |
| | | | | | | | | | | | | | | | |
| Total | | $ | 24,720,665 | | | $ | 252,630,027 | | | $ | 47 | | | $ | 277,350,739 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2010 / 117
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | |
ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 665,000 | | | | | $ | 1,434,329 | | | | | $ | – | | | | | $ | 2,099,329 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | | | 3,028,055 | | | | | | 3,670 | | | | | | 3,031,725 | |
Bank Loans | | | – | | | | | | 180,179 | | | | | | – | | | | | | 180,179 | |
Corporates | | | – | | | | | | 2,083,463 | | | | | | 129,000 | | | | | | 2,212,463 | |
Mortgage-Backed | | | – | | | | | | 2,741,572 | | | | | | – | | | | | | 2,741,572 | |
Municipal Bonds | | | – | | | | | | 25,921 | | | | | | – | | | | | | 25,921 | |
U.S. Agency Securities | | | – | | | | | | 800,614 | | | | | | – | | | | | | 800,614 | |
U.S. Treasury Securities | | | – | | | | | | 281,490 | | | | | | – | | | | | | 281,490 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | | | – | | | | | | – | | | | | | – | |
Credit contracts | | | – | | �� | | | | 38,143 | | | | | | – | | | | | | 38,143 | |
Equity contracts | | | 779,443 | | | | | | – | | | | | | – | | | | | | 779,443 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | | | – | | | | | | – | | | | | | – | |
Credit contracts | | | – | | | | | | (10,250) | | | | | | – | | | | | | (10,250) | |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 1,444,443 | | | | | $ | 10,603,516 | | | | | $ | 132,670 | | | | | $ | 12,180,629 | |
| | | | | | | | | | | | | | | | | | | | | | |
| * | Other financial instruments include (but may not be limited to) swap contracts, futures and options. |
In January 2010, the FASB issued amended guidance to improve disclosure about fair value measurements which require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years.
For the period ended September 30, 2010, none of the portfolios had significant transfers between Level 1 and Level 2.
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LOW DURATION | | ASSET-BACKED | | | | | | MORTGAGE-BACKED | | | | |
BOND FUND | | | | | SECURITIES | | | | | | CORPORATES | | | | | | SECURITIES | | | | | | | |
Balance as of
March 31, 2010 | | | | | | $ | 9,571 | | | | | | | $ | 880,000 | | | | | | | $ | 80,145 | | | | | | | | | |
Accrued discounts/premiums | | | | | | | (4 | ) | | | | | | | 73 | | | | | | | | 26 | | | | | | | | | |
Realized gain/(loss) | | | | | | | (3,658 | ) | | | | | | | (598,221 | ) | | | | | | | 72,257 | | | | | | | | | |
Change in unrealized
appreciation/depreciation** | | | | | | | 3,103 | | | | | | | | 1,408,148 | | | | | | | | (212 | ) | | | | | | | | |
Purchases | | | | | | | – | | | | | | | | – | | | | | | | | – | | | | | | | | | |
Sales | | | | | | | – | | | | | | | | (400,000 | ) | | | | | | | (72,257 | ) | | | | | | | | |
Transfers into Level 3*** | | | | | | | – | | | | | | | | – | | | | | | | | | | | | | | | | | |
Transfers out of Level 3*** | | | | | | | – | | | | | | | | – | | | | | | | | (64,342 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2010 | | | | | | $ | 9,012 | | | | | | | $ | 1,290,000 | | | | | | | $ | 15,617 | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $629,719. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.
*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
118 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED
SECURITIES | | | CORPORATES | | | MORTGAGE-BACKED
SECURITIES | | | |
Balance as of
March 31, 2010 | | | | | | | $ 215,551 | | | | | | | | | | | | $1,342,000 | | | | | | | | | | | | $ 95,146 | | | | | | | |
Accrued discounts/premiums | | | | | | | 350 | | | | | | | | | | | | 4,578 | | | | | | | | | | | | 9 | | | | | | | |
Realized gain/(loss) | | | | | | | (918,004 | ) | | | | | | | | | | | (600,000) | | | | | | | | | | | | 82,519 | | | | | | | |
Change in unrealized
appreciation/depreciation** | | | | | | | 1,804,941 | | | | | | | | | | | | 1,846,422 | | | | | | | | | | | | (768 | ) | | | | | | |
Purchases | | | | | | | – | | | | | | | | | | | | – | | | | | | | | | | | | – | | | | | | | |
Sales | | | | | | | (1,088,574 | ) | | | | | | | | | | | (400,000) | | | | | | | | | | | | (82,580) | | | | | | | |
Transfers into Level 3*** | | | | | | | – | | | | | | | | | | | | – | | | | | | | | | | | | – | | | | | | | |
Transfers out of Level 3*** | | | | | | | – | | | | | | | | | | | | – | | | | | | | | | | | | (73,534 | ) | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2010 | | | | | | | $ 14,264 | | | | | | | | | | | | $ 2,193,000 | | | | | | | | | | | | $ 20,792 | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $1,852,787. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.
*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
| | | | | | | | | | | | |
HIGH YIELD BOND FUND | | CORPORATES | | MORTGAGE-BACKED
SECURITIES | | |
Balance as of
March 31, 2010 | | | | $ – | | | | | | $347 | | |
Accrued discounts/premiums | | | | – | | | | | | – | | |
Realized gain/(loss) | | | | – | | | | | | – | | |
Change in unrealized
appreciation/depreciation** | | | | – | | | | | | (59) | | |
Purchases | | | | – | | | | | | – | | |
Sales | | | | – | | | | | | – | | |
Transfers into Level 3*** | | | | 6,109 | | | | | | – | | |
Transfers out of Level 3*** | | | | – | | | | | | – | | |
| | | | | | | | | | | | |
Balance as of
September 30, 2010 | | | | $6,109 | | | | | | $288 | | |
| | | | | | | | | | | | |
** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $(59). Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.
*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
| | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED
SECURITIES | | MORTGAGE-BACKED
SECURITIES | | PREFERRED STOCK | | |
Balance as of
March 31, 2010 | | | | $– | | | | | $ 45,972 | | | | | | | | | $ 1 | | |
Accrued discounts/premiums | | | | – | | | | | 6 | | | | | | | | | – | | |
Realized gain/(loss) | | | | – | | | | | 51,567 | | | | | | | | | – | | |
Change in unrealized
appreciation/depreciation** | | | | – | | | | | (8 | ) | | | | | | | | – | | |
Purchases | | | | – | | | | | – | | | | | | | | | – | | |
Sales | | | | – | | | | | (51,567 | ) | | | | | | | | – | | |
Transfers into Level 3*** | | | | 35 | | | | | – | | | | | | | | | – | | |
Transfers out of Level 3*** | | | | – | | | | | (45,959 | ) | | | | | | | | – | | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2010 | | | | $ 35 | | | | | $ 11 | | | | | | | | | $ 1 | | |
| | | | | | | | | | | | | | | | | | | | |
** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $(8). Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.
*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
Semi-Annual Report September 2010 / 119
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | |
ALPHATRAK 500 FUND | | ASSET-BACKED SECURITIES | | | CORPORATES | | | | | |
Balance as of
March 31, 2010 | | | | | | $ | 3,669 | | | | | | | $ | 132,000 | | | | | |
Accrued discounts/premiums | | | | | | | 8 | | | | | | | | – | | | | | |
Realized gain/(loss) | | | | | | | – | | | | | | | | (180,000 | ) | | | | |
Change in unrealized appreciation/depreciation** | | | | | | | (7 | ) | | | | | | | 297,000 | | | | | |
Purchases | | | | | | | – | | | | | | | | – | | | | | |
Sales | | | | | | | – | | | | | | | | (120,000 | ) | | | | |
Transfers into of Level 3*** | | | | | | | – | | | | | | | | – | | | | | |
Transfers out of Level 3*** | | | | | | | – | | | | | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2010 | | | | | | $ | 3,670 | | | | | | | $ | 129,000 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
** The change in unrealized appreciation/depreciation on securities still held at September 30, 2010 was $62,993. Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.
*** The Fund’s policy is to recognize transfers in and transfers out as of the end of the period.
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of September 30, 2010:
| | | | | | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES | | |
| DERIVATIVE TYPE | | ASSET DERIVATIVES | | | | LIABILITY DERIVATIVES | | |
| | | | |
| Interest rate contracts | | Unrealized appreciation on options and swap contracts Unrealized appreciation | | | | Unrealized depreciation on options and swap contracts Unrealized depreciation | | |
| Credit contracts | | Unrealized appreciation on swap contracts | | | | Unrealized depreciation on swap contracts | | |
| Equity contracts | | Investments, at value Unrealized appreciation on swap contracts Unrealized appreciation | | | | Unrealized depreciation on swap contracts Unrealized depreciation | | |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSET DERIVATIVE INVESTMENTS | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
| Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $220,197 | | | | $3,866,833 | | | | $396,239 | | | | $18,286,224 | | | | $773,026 | | | | $423,612 | | | | $ 27,660 | |
| Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 540,154 | |
Options | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 239,289 | |
| Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | | – | | | | 247,837 | | | | 183,429 | | | | – | | | | – | | | | – | | | | – | |
Options | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| * | Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
120 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LIABILITY DERIVATIVE INVESTMENTS | |
| | | ULTRA SHORT BOND FUND | | LOW DURATION BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | | | $600,672 | | | | $1,505,209 | | | | $39,758,609 | | | | $ 79,788 | | | | $141,932 | | | | $10,250 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | – | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | – | | | – | | | | 97,217 | | | | 583,115 | | | | – | | | | 396,273 | | | | – | |
Options | | – | | | – | | | | 59,062 | | | | 2,775,938 | | | | 625,781 | | | | 59,062 | | | | – | |
Swaps | | – | | | – | | | | – | | | | 17,432,204 | | | | – | | | | – | | | | – | |
| * | Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
The following is a summary of the Funds’ realized gain(loss) and change in unrealized appreciation(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the six months ended September 30, 2010:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) ON DERVIATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $(189,755 | ) | | | $(4,766,989) | | | | $(419,004) | | | | $(8,080,590) | | | | $ 824,411 | | | | $(4,944,668) | | | | $ 31,406 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (314,900 | ) |
Options** | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (332,078 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | 5,332,394 | | | | 1,703,816 | | | | 49,884,856 | | | | 302,213 | | | | (38,035 | ) | | | – | |
Options** | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | 23,912 | | | | 322,825 | | | | 50,000 | | | | (3,299,985 | ) | | | – | | | | (115,990 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $(165,843 | ) | | | $ 888,230 | | | | $1,334,812 | | | | $38,504,281 | | | | $1,126,624 | | | | $(5,098,693 | ) | | | $(615,572 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVES RECOGNIZED
IN THE STATEMENTS OF OPERATIONS | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $1,027,703 | | | | $12,834,621 | | | | $821,088 | | | | $ 22,276,760 | | | | $837,651 | | | | $8,517,798 | | | | $(15,004) | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 191,565 | |
Options** | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 239,289 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | 187,009 | | | | 208,958 | | | | 1,041,674 | | | | (916 | ) | | | (169,821 | ) | | | – | |
Options** | | | – | | | | – | | | | (9,382 | ) | | | (439,212 | ) | | | 118,360 | | | | (9,382 | ) | | | – | |
Swaps | | | (11,839 | ) | | | (167,741 | ) | | | (24,344 | ) | | | (15,358,271 | ) | | | – | | | | (123,642 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $1,015,864 | | | | $12,853,889 | | | | $996,320 | | | | $ 7,520,951 | | | | $955,095 | | | | $8,214,953 | | | | $415,850 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
**Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.
Semi-Annual Report September 2010 / 121
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS | |
| | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | – | | | | 1,523 | | | | 182 | | | | 4,948 | | | | 49 | | | | – | | | | 36 | |
Average number of contracts sold | | | – | | | | – | | | | 19 | | | | 101 | | | | – | | | | 78 | | | | – | |
Average value of contracts purchased | | $ | – | | | $ | 617,435 | | | $ | 217,551 | | | $ | 6,672,971 | | | $ | 80,304 | | | $ | – | | | $ | 330,374 | |
Average value of contracts sold | | $ | – | | | $ | – | | | $ | 63,833 | | | $ | 392,600 | | | $ | – | | | $ | 260,778 | | | $ | – | |
Options purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | – | | | | – | | | | – | | | | – | | | | 129 | | | | 34 | | | | – | |
Average notional value | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 205,549 | | | $ | 43,875 | | | $ | – | |
Options written: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | – | | | | – | | | | 19 | | | | 881 | | | | 226 | | | | 19 | | | | – | |
Average notional value | | $ | – | | | $ | – | | | $ | 12,421 | | | $ | 12,421 | | | $ | 186,035 | | | $ | 12,421 | | | $ | – | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | – | | | | 28 | | | | 37 | | | | 51 | | | | 20 | | | | 21 | | | | 9 | |
Average number of contracts - sale protection | | | 9 | | | | 14 | | | | 12 | | | | 20 | | | | 2 | | | | 13 | | | | 4 | |
Average notional value - buy protection | | $ | – | | | $ | 62,252,500 | | | $ | 10,062,500 | | | $ | 352,972,500 | | | $ | 7,352,500 | | | $ | 15,009,750 | | | $ | 702,500 | |
Average notional value - sell protection | | $ | 11,091,500 | | | $ | 77,055,500 | | | $ | 7,702,750 | | | $ | 337,800,750 | | | $ | 15,555,000 | | | $ | 39,946,500 | | | $ | 1,510,500 | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | 1 | | | | 1 | | | | 1 | | | | 5 | | | | – | | | | 1 | | | | – | |
Average number of contracts - receives fixed rate | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Average notional value - pays fixed rate | | $ | 355,000 | | | $ | 5,030,000 | | | $ | 730,000 | | | $ | 126,966,000 | | | $ | – | | | $ | 2,268,750 | | | $ | – | |
Average notional value - receives fixed rate | | $ | – | | | $ | – | | | $ | 135,000 | | | $ | – | | | $ | – | | | $ | – | | | $ | – | |
Total return swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 1 | |
Average notional value | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 4,500 | |
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 Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
122 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
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 Government National Mortgage Association (“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. 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.
The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.
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 ended September 30, 2010, 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
Semi-Annual Report September 2010 / 123
Notes to Financial Statements (continued)
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.) At September 30, 2010, the Funds did not hold any short debt or equity.
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 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. There were no reverse repurchase agreements for the six months ended September 30, 2010.
Derivatives:
The Funds engaged in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, swap agreements and options as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds purchased and wrote 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 may be unable to close out a position.
The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).
124 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
Futures - The Funds purchased or sold 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.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.
Swaps - The Funds invested 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 counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered 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, counterparty risk and credit risk.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
The Funds wrote (sold) and purchased 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. 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. At September 30, 2010, the Funds did not hold swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested 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 also entered 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
Semi-Annual Report September 2010 / 125
Notes to Financial Statements (continued)
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 both the Statements of Assets and Liabilities and 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, 2010 (Unaudited), 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 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
126 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
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 versus purchase versus 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.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.
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, 2010, the market value exposure of these positions was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | % OF TOTAL NET ASSETS BY CREDIT QUALITY (UNAUDITED) | |
PORTFOLIO | | MARKET VALUE | | | AAA | | | AA | | | A | | | BBB | | | BIG* | |
Ultra Short Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | $ 13,436,758 | | | | 5.04% | | | | 0.32% | | | | 1.02% | | | | 1.23% | | | | 8.52% | |
Sub Prime | | | 9,470,485 | | | | 1.79% | | | | 1.32% | | | | 1.21% | | | | 0.05% | | | | 7.00% | |
Low Duration Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | 186,099,715 | | | | 1.15% | | | | 0.13% | | | | 0.00% | | | | 0.73% | | | | 8.34% | |
Sub Prime | | | 205,018,887 | | | | 4.28% | | | | 1.26% | | | | 0.32% | | | | 1.03% | | | | 4.52% | |
Intermediate Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | 8,261,432 | | | | 0.42% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 3.13% | |
Sub Prime | | | 22,363,479 | | | | 3.78% | | | | 0.34% | | | | 0.62% | | | | 0.37% | | | | 4.50% | |
Total Return Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | 514,531,835 | | | | 0.37% | | | | 0.03% | | | | 0.05% | | | | 0.00% | | | | 3.68% | |
Sub Prime | | | 996,450,481 | | | | 1.73% | | | | 0.79% | | | | 0.07% | | | | 0.62% | | | | 4.77% | |
High Yield Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | - | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | | | | 0.00% | |
Sub Prime | | | 10,878,629 | | | | 0.04% | | | | 0.14% | | | | 0.00% | | | | 0.34% | | | | 0.25% | |
Strategic Income Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | 8,856,106 | | | | 0.54% | | | | 0.00% | | | | 0.00% | | | | 0.29% | | | | 2.36% | |
Sub Prime | | | 36,563,430 | | | | 3.34% | | | | 0.77% | | | | 0.00% | | | | 1.74% | | | | 7.31% | |
Alpha Trak 500 Fund | | | | | | | | | | | | | | | | | | | | | | | | |
Alt-A | | | 1,586,261 | | | | 3.29% | | | | 0.78% | | | | 0.97% | | | | 0.52% | | | | 8.07% | |
Sub Prime | | | 2,147,127 | | | | 7.89% | | | | 5.09% | | | | 0.00% | | | | 0.00% | | | | 5.47% | |
* Below Investment Grade
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the six months ended September 30, 2010 excluding U.S. Government and short-term investments, were as follows:
Semi-Annual Report September 2010 / 127
Notes to Financial Statements (continued)
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | $ | 39,003,720 | | | $ | 27,170,477 | |
Low Duration Bond Fund | | | 709,071,451 | | | | 214,307,585 | |
Intermediate Bond Fund | | | 70,854,914 | | | | 52,484,512 | |
Total Return Bond Fund | | | 6,850,947,995 | | | | 4,579,347,166 | |
High Yield Bond Fund | | | 635,462,062 | | | | 134,560,768 | |
Strategic Income Fund | | | 145,139,212 | | | | 102,172,104 | |
AlphaTrak 500 Fund | | | 2,632,428 | | | | 976,790 | |
Investment transactions in U.S. Government securities for the six months ended September 30, 2010 were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | $ | 2,362,538 | | | $ | – | |
Low Duration Bond Fund | | | 496,910,243 | | | | 351,171,740 | |
Intermediate Bond Fund | | | 89,130,951 | | | | 72,001,571 | |
Total Return Bond Fund | | | 4,854,527,108 | | | | 3,592,029,627 | |
High Yield Bond Fund | | | 40,887,463 | | | | – | |
Strategic Income Fund | | | 5,870,931 | | | | – | |
Alpha Trak 500 Fund | | | 200,982 | | | | – | |
Transactions in options contracts written for the six months ended September 30, 2010 were as follows:
| | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | |
| | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | |
Outstanding at March 31, 2010 | | | – | | | $ | – | | | | – | | | $ | – | |
Option written during period | | | 75 | | | | 49,681 | | | | 3,525 | | | | 2,336,726 | |
Option exercised during period | | | – | | | | – | | | | – | | | | – | |
Options expired during period | | | – | | | | – | | | | – | | | | – | |
Options closed during period | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Outstanding at September 30, 2010 | | | 75 | | | $ | 49,681 | | | | 3,525 | | | $ | 2,336,726 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | |
| | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | |
Outstanding at March 31, 2010 | | | – | | | $ | – | | | | – | | | $ | – | |
Option written during period | | | 900 | | | | 744,141 | | | | 75 | | | | 49,681 | |
Option exercised during period | | | – | | | | – | | | | – | | | | – | |
Options expired during period | | | – | | | | – | | | | – | | | | – | |
Options closed during period | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Outstanding at September 30, 2010 | | | 900 | | | $ | 744,141 | | | | 75 | | | $ | 49,681 | |
| | | | | | | | | | | | | | | | |
| 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 increased by 0.20% resulting in $29,801 total management fees for the period ended September 30, 2010. 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
128 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
period), 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 increased by 0.62% resulting in $2,121,900 of total management fees for the period ended September 30, 2010.
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, 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. The Adviser 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, 2010, were as follows:
| | | | | | | | | | | | |
| | |
| | | INVESTMENT ADVISORY FEE
RATE | | VOLUNTARY EXPENSE
LIMITATION |
PORTFOLIO | | CLASS M | | CLASS I | | ADMINSTRATIVE CLASS | | CLASS M | | CLASS I | | ADMINSTRATIVE CLASS |
Ultra Short Bond Fund | | 0.25% | | 0.25% | | N/A | | 0.50% | | 0.34% | | N/A |
Low Duration Bond Fund | | 0.30 | | 0.30 | | 0.30% | | 0.58 | | 0.39 | | 0.78% |
Intermediate Bond Fund | | 0.35 | | 0.35 | | N/A | | 0.65 | | 0.44 | | N/A |
Total Return Bond Fund | | 0.35 | | 0.35 | | 0.35 | | 0.65 | | 0.44 | | 0.85 |
High Yield Bond Fund | | 0.50 | | 0.50 | | N/A | | 0.80 | | 0.55 | | N/A |
Strategic Income Fund | | 0.50 - 1.90 | | 0.50 - 1.90 | | N/A | | 0.20 - 2.35 | | 0.20 - 2.10 | | N/A |
AlphaTrak 500 Fund | | 0.00 - 0.70 | | N/A | | N/A | | 0.20 - 0.90 | | N/A | | N/A |
At September 30, 2010, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | |
PORTFOLIO | | 2010 | | | 2011 | | | 2012 | | | TOTAL | |
Ultra Short Bond Fund | | $ | 115,430 | | | $ | 181,484 | | | $ | 204,094 | | | $ | 501,008 | |
Low Duration Bond Fund | | | 173,746 | | | | 473,126 | | | | 350,652 | | | | 997,524 | |
Intermediate Bond Fund | | | 130,872 | | | | 185,919 | | | | 198,493 | | | | 515,284 | |
Total Return Bond Fund | | | – | | | | 52,140 | | | | – | | | | 52,140 | |
High Yield Bond Fund | | | 180,613 | | | | 223,872 | | | | 290,531 | | | | 695,016 | |
AlphaTrak 500 Fund | | | – | | | | – | | | | 38,492 | | | | 38,492 | |
For the six months ended September 30, 2010, the Adviser recouped $29,156 from Class M, $22,968 from Class I and $16 from the Administrative Class of the Total Return Bond Fund.
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. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses on the Statements of Operations.
| 7. | SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING 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 High Yield Bond
Semi-Annual Report September 2010 / 129
Notes to Financial Statements (continued)
Fund, the Strategic Income, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000 for the Class M shares. The Low Duration Bond Fund and Total Return Bond Funds’ Administrative Class shares began accruing 12b-1 on September 23, 2009 and December 21, 2009, respectively. 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 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 period ended September 30, 2010. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.
The Funds’ Board of Trustees have adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.
| 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,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | |
| | | | | | | | | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 5,455,703 | | | | 10,183,453 | | | | 19,750,261 | | | | 17,021,566 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 2,965,933 | | | | 3,519,132 | | | | 3,725,007 | | | | 12,330,024 | |
Shares issued through reinvestment of distributions | | | 86,296 | | | | 298,824 | | | | 330,829 | | | | 771,853 | |
Shares redeemed | | | (2,192,171 | ) | | | (8,545,706 | ) | | | (11,500,693 | ) | | | (10,373,182 | ) |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | 860,058 | | | | (4,727,750 | ) | | | (7,444,857 | ) | | | 2,728,695 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 6,315,761 | | | | 5,455,703 | | | | 12,305,404 | | | | 19,750,261 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | | | ADMINIS-
TRATIVE
CLASS | | | ADMINIS-
TRATIVE
CLASS | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH
31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | PERIOD
ENDED
MARCH 31,
2010 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 125,740,926 | | | | 92,695,812 | | | | 57,970,290 | | | | 44,315,814 | | | | 96,978 | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 43,577,393 | | | | 83,686,592 | | | | 12,231,032 | | | | 31,185,168 | | | | 220,437 | | | | 137,016 | |
Shares issued through reinvestment of distributions | | | 2,077,755 | | | | 4,768,684 | | | | 819,168 | | | | 1,983,525 | | | | 2,539 | | | | 551 | |
Shares redeemed | | | (25,167,502 | ) | | | (55,410,162 | ) | | | (11,881,321 | ) | | | (19,514,217 | ) | | | (72,479 | ) | | | (40,589 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 20,487,646 | | | | 33,045,114 | | | | 1,168,879 | | | | 13,654,476 | | | | 150,497 | | | | 96,978 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 146,228,572 | | | | 125,740,926 | | | | 59,139,169 | | | | 57,970,290 | | | | 247,475 | | | | 96,978 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
130 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 4,405,566 | | | | 2,848,988 | | | | 15,968,289 | | | | 15,432,361 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 1,363,455 | | | | 2,312,671 | | | | 2,665,914 | | | | 2,424,537 | |
Shares issued through reinvestment of distributions | | | 94,228 | | | | 201,991 | | | | 274,667 | | | | 751,058 | |
Shares redeemed | | | (442,144) | | | | (958,084) | | | | (4,162,207) | | | | (2,639,667) | |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | 1,015,539 | | | | 1,556,578 | | | | (1,221,626) | | | | 535,928 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 5,421,105 | | | | 4,405,566 | | | | 14,746,663 | | | | 15,968,289 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | | | ADMINIS-
TRATIVE
CLASS | | | ADMINIS-
TRATIVE
CLASS | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2010 | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 457,204,615 | | | | 368,354,592 | | | | 372,615,691 | | | | 227,450,479 | | | | 117,394 | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | 168,261,737 | | | | 215,154,165 | | | | 137,822,468 | | | | 245,671,670 | | | | 405,175 | | | | 166,801 | |
Shares issued through reinvestment of distributions | | | 11,086,447 | | | | 20,745,923 | | | | 8,204,102 | | | | 16,095,403 | | | | 4,908 | | | | 396 | |
Shares redeemed | | | (58,015,614) | | | | (147,050,065) | | | | (56,246,286) | | | | (116,601,861) | | | | (7,695) | | | | (49,803) | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 121,332,570 | | | | 88,850,023 | | | | 89,780,284 | | | | 145,165,212 | | | | 402,388 | | | | 117,394 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 578,537,185 | | | | 457,204,615 | | | | 462,395,975 | | | | 372,615,691 | | | | 519,782 | | | | 117,394 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 50,340,590 | | | | 7,933,973 | | | | 24,228,997 | | | | 13,970,584 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 47,569,467 | | | | 56,580,709 | | | | 29,396,742 | | | | 17,926,550 | |
Shares issued through reinvestment of distributions | | | 2,147,853 | | | | 2,456,478 | | | | 1,030,627 | | | | 1,676,610 | |
Shares redeemed | | | (16,713,659) | | | | (16,630,570) | | | | (4,891,071) | | | | (9,344,747) | |
| | | | | | | | | | | | | | | | |
Net increase in fund shares | | | 33,003,661 | | | | 42,406,617 | | | | 25,536,298 | | | | 10,258,413 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 83,344,251 | | | | 50,340,590 | | | | 49,765,295 | | | | 24,228,997 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2010 / 131
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | |
Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 6,430,444 | | | | 1,410,392 | | | | 22,508,860 | | | | 20,979,951 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 9,315,613 | | | | 9,059,797 | | | | 280,809 | | | | 5,519,875 | |
Shares issued through reinvestment of distributions | | | 219,411 | | | | 276,324 | | | | 175,648 | | | | 775,424 | |
Shares redeemed | | | (5,755,782 | ) | | | (4,316,069 | ) | | | (891,440 | ) | | | (4,766,390 | ) |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | 3,779,242 | | | | 5,020,052 | | | | (434,983 | ) | | | 1,528,909 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 10,209,686 | | | | 6,430,444 | | | | 22,073,877 | | | | 22,508,860 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | ALPHA TRAK FUND | | | |
| | | CLASS M | | | CLASS M | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2010
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2010 | | | |
Change in Fund shares: | | | | | | | | | | |
Shares outstanding at beginning of period | | | 2,909,404 | | | | 20,022,253 | | | |
| | | | | | | | | | |
Shares sold | | | 633,953 | | | | 3,875,138 | | | |
Shares issued through reinvestment of distributions | | | 86,465 | | | | 2,928,488 | | | |
Shares redeemed | | | (602,128 | ) | | | (23,916,475 | ) | | |
| | | | | | | | | | |
Net increase/(decrease) in fund shares | | | 118,290 | | | | (17,112,849 | ) | | |
| | | | | | | | | | |
Shares outstanding at end of period | | | 3,027,694 | | | | 2,909,404 | | | |
| | | | | | | | | | |
Redemption Fee:
Effective May 26, 2009, the High Yield Bond Fund no longer charges a redemption fee. Prior to this date, the High Yield Bond Fund charged a 1.00% redemption fee when shares were redeemed (either by selling or by exchanging into another fund) within six months of purchase. The redemption fee was assessed on the net asset value of the shares redeemed or exchanged and withheld from the redemption proceeds and paid directly to the Fund.
| 9. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2010, 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 | | EXPIRING IN 2017 | | EXPIRING IN 2018 |
Ultra Short Bond Fund | | $ – | | $ 171,312 | | $1,489,244 | | $ 17,068,161 | | $14,894,875 |
Low Duration Bond Fund | | 5,831,064 | | – | | – | | 99,373,584 | | 21,084,552 |
Total Return Bond Fund | | – | | – | | – | | 140,337,903 | | – |
High Yield Bond Fund | | – | | – | | – | | 4,931,657 | | – |
Strategic Income Fund | | 61,791 | | 1,235,093 | | 9,036,932 | | 47,852,416 | | 18,806,808 |
AlphaTrak 500 Fund | | – | | – | | – | | 60,439,961 | | 23,684,663 |
For the year ended March 31, 2010, the Intermediate Bond, Total Return Bond and High Yield Bond utilized capital loss carry forwards of $3,098,824, $22,564,839 and 2,796,184, respectively.
132 / Semi-Annual Report September 2010
Notes to Financial Statements (continued)
Tax Basis of Distributable Income:
As of March 31, 2010, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | |
Undistributed ordinary income/(loss) (inclusive of short-term gains) | | | $ 5,966 | | | | $ 271,455 | | | | $ – | | | | $ 3,987,671 | |
Accumulated capital loss carryforwards and post-October losses | | | (43,156,736) | | | | (168,232,662) | | | | (76,923) | | | | (140,947,386) | |
Net unrealized appreciation/(depreciation) | | | (10,709,200) | | | | (139,735,571) | | | | 3,978,846 | | | | 375,436,600 | |
Distributions payable | | | (5,964) | | | | (270,185) | | | | (128,717) | | | | (3,597,129) | |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) | | | $(53,865,934) | | | | $(307,966,963) | | | | $3,773,206 | | | | $234,879,756 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHA TRAK
500 FUND | |
Undistributed ordinary income/(loss) (inclusive of short-term capital gains) | | $ | 345,705 | | | $ | 828,216 | | | $ | 195,634 | |
Accumulated capital loss carryforwards and post-October losses | | | (4,931,657 | ) | | | (112,671,928 | ) | | | (97,310,251 | ) |
Net unrealized appreciation/(depreciation) | | | 64,671,584 | | | | (21,833,077 | ) | | | (1,668,882 | ) |
Distributions payable | | | (375,745 | ) | | | (789,399 | ) | | | (4,850 | ) |
| | | | | | | | | | | | |
Total accumulated earnings/(losses) | | $ | 59,709,887 | | | $ | (134,466,188 | ) | | $ | (98,788,349 | ) |
| | | | | | | | | | | | |
Permanent differences incurred during the fiscal year ended March 31, 2010, resulting from differences in book and tax accounting have been reclassified at year-end as follows:
| | | | | | | | | | | | |
| FUND | | INCREASE/(DECREASE)
PAID-IN-CAPITAL | | | INCREASE/(DECREASE)
ACCUMULATED NET
INVESTMENT INCOME/(LOSS) | | | INCREASE/(DECREASE)
ACCUMULATED NET
REALIZED GAIN/(LOSS) | |
Ultra Short Bond Fund | | $ | – | | | $ | 400,947 | | | $ | (400,947 | ) |
Low Duration Bond Fund | | | 1 | | | | 2,211,059 | | | | (2,211,060 | ) |
Intermediate Bond Fund | | | (899,265 | ) | | | (14,447 | ) | | | 913,712 | |
Total Return Bond Fund | | | – | | | | (1,628,151 | ) | | | 1,628,151 | |
High Yield Bond Fund | | | – | | | | (967,811 | ) | | | 967,811 | |
Strategic Income Fund | | | – | | | | 894,156 | | | | (894,156 | ) |
AlphaTrak 500 Fund | | | – | | | | 8,848,735 | | | | (8,848,735 | ) |
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | | LOW DURATION BOND FUND | |
| | | | |
| | | MARCH 31,
2010 | | | MARCH 31,
2009 | | | MARCH 31,
2010 | | | MARCH 31,
2009 | |
Distributions from: | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 5,225,916 | | | $ | 8,771,418 | | | $ | 57,250,557 | | | $ | 96,174,271 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 5,225,916 | | | $ | 8,771,418 | | | $ | 57,250,557 | | | $ | 96,174,271 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | |
| | | INTERMEDIATE BOND FUND | | | TOTAL RETURN BOND FUND | |
| | | | |
| | | MARCH 31,
2010 | | | MARCH 31,
2009 | | | MARCH 31,
2010 | | | MARCH 31,
2009 | |
| | | | |
Distributions from: | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ 9,867,461 | | | | $10,614,804 | | | | $400,597,041 | | | | $414,320,160 | |
Net long-term capital gains | | | – | | | | 861,109 | | | | – | | | | 17,387,853 | |
Return of Capital | | | 899,265 | | | | 19,048 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | | $10,766,726 | | | | $11,494,961 | | | | $400,597,041 | | | | $431,708,013 | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2010 / 133
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | | | STRATEGIC INCOME FUND | |
| | | MARCH 31, | | | MARCH 31, | | | MARCH 31, | | | MARCH 31, | |
| | | 2010 | | | 2009 | | | 2010 | | | 2009 | |
Distributions from: | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $42,774,548 | | | | $13,013,501 | | | | $20,564,090 | | | | $29,621,411 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | | $42,774,548 | | | | $13,013,501 | | | | $20,564,090 | | | | $29,621,411 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | ALPHATRAK 500 FUND | |
| | | | | | | | | MARCH 31,
2010 | | | MARCH 31,
2009 | |
Distributions from: | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | | | | | | | | | $11,128,803 | | | | $ – | |
Return of Capital | | | | | | | | | | | – | | | | 795,847 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | | | | | | | | | | $11,128,803 | | | | $795,847 | |
| | | | | | | | | | | | | | | | |
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.
Events or transactions occurring subsequent to September 30, 2010 through the date the financial statements were issued, have been evaluated by management in the preparation of the financial statements and no items were noted requiring additional disclosure. Management has not evaluated events after September 30, 2010 for presentation in these financial statements.
134 / Semi-Annual Report September 2010
Special Meeting of Shareholders - Voting Results
(Unaudited)
On March 31, 2010, the Trust held a Special Meeting of Shareholders to consider a new Investment Management Agreement with Metropolitan West Asset Management, LLC (the “Adviser”), the investment adviser for the Metropolitan West Funds. The Funds’ existing Investment Advisory Agreement was expected to automatically terminate as a result of an acquisition of the Adviser by the TCW Group, Inc. Shareholders of record on February 9, 2010 were entitled to vote on the proposal to approve a new Investment Advisory Agreement substantively the same as the prior Investment Advisory Agreement, including the same fees other than additional limits applicable to performance adjustments for the AlphaTrak 500 Fund and Strategic Income Fund. The proposal was approved by shareholders of the Metropolitan West Total Return Bond Fund, Metropolitan West AlphaTrak 500 Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Low Duration Bond Fund on March 31, 2010. The Special Meeting was adjourned until April 9, 2010 for the Metropolitan West Strategic Income Fund and the Metropolitan West Intermediate Bond Fund at which time the proposal was approved by shareholders of the respective funds. The following votes were recorded:
PROPOSAL 1: Approval of a new Investment Management Agreement with the Adviser.
| | | | | | | | | | | | | | |
| | | | |
| FUND | | | | | | | DOLLARS
VOTED | | | % OF
SHARES
PRESENT | |
Ultra Short Bond Fund | | | Affirmative | | | | | $ | 76,103,544.56 | | | | 99.28% | |
| | | Withheld | | | | | $ | 312,106.83 | | | | 0.41% | |
| | | Abstain | | | | | $ | 239,016.64 | | | | 0.24% | |
Low Duration Bond Fund | | | Affirmative | | | | | $ | 691,140,153.53 | | | | 86.71% | |
| | | Withheld | | | | | $ | 9,966,969.03 | | | | 1.25% | |
| | | Abstain | | | | | $ | 28,847,332.50 | | | | 3.62% | |
| | | Uninstructed | | | | | $ | 67,126,524.56 | | | | 8.42% | |
Intermediate Bond Fund | | | Affirmative | | | | | $ | 138,453,101.77 | | | | 99.74% | |
| | | Withheld | | | | | $ | 303,900.00 | | | | 0.22% | |
| | | Abstain | | | | | $ | 58,296.14 | | | | 0.04% | |
Total Return Bond Fund | | | Affirmative | | | | | $ | 3,626,922,488.98 | | | | 82.81% | |
| | | Withheld | | | | | $ | 47,742,440.62 | | | | 1.09% | |
| | | Abstain | | | | | $ | 151,376,819.42 | | | | 3.46% | |
| | | Uninstructed | | | | | $ | 553,762,200.75 | | | | 12.64% | |
High Yield Bond Fund | | | Affirmative | | | | | $ | 258,890,009.60 | | | | 81.54% | |
| | | Withheld | | | | | $ | 4,053,868.83 | | | | 1.28% | |
| | | Abstain | | | | | $ | 16,802,112.00 | | | | 5.29% | |
| | | Uninstructed | | | | | $ | 37,763,205.00 | | | | 11.89% | |
Strategic Income Fund | | | Affirmative | | | | | $ | 153,327,562.09 | | | | 99.58% | |
| | | Withheld | | | | | $ | 211,845.02 | | | | 0.14% | |
| | | Abstain | | | | | $ | 428,818.65 | | | | 0.28% | |
AlphaTrak 500 Fund | | | Affirmative | | | | | $ | 15,659,017.35 | | | | 99.74% | |
| | | Withheld | | | | | $ | 9,640.83 | | | | 0.06% | |
| | | Abstain | | | | | $ | 30,742.61 | | | | 0.20% | |
Semi-Annual Report September 2010 / 135
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BOARD OF TRUSTEES
Andrew Tarica
Patrick Moore
Laird Landmann
Peter McMillan
Martin Luther King, III
Daniel D. Villanueva
Ronald J. Consiglio
Robert G. Rooney
OFFICERS
David Lippman
President and Principal Executive Officer
David S. DeVito
Treasurer, Chief Financial Officer and Principal
Accounting Officer
Vincent Bencivenga
Chief Compliance Officer
ADVISER
Metropolitan West Asset Management, LLC
865 South Figueroa Street, Floor 1800
Los Angeles, CA 90017
CUSTODIAN
The Bank of New York Mellon
One Wall Street
New York, NY 10286
| | |
TRANSFER AGENT BNY Mellon Investment Servicing (U.S.) Inc. 760 Moore Road King of Prussia, PA 19406 | | For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free) www.mwamllc.com |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103 | | 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. |
DISTRIBUTOR BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 | | 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. |
| |
LEGAL COUNSEL Paul, Hastings, Janofsky & Walker LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441 | | 
METSAR2010 |
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)(1) | | Not applicable. |
| |
(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. |
| |
(a)(3) | | Not applicable. |
| |
(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.
| | |
(registrant) | | Metropolitan West Funds |
| |
By (Signature and Title)* | | /s/ David Lippman |
| | David Lippman, President and
Principal Executive Officer |
| | (principal executive officer) |
Date 12/8/10
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By (Signature and Title)* | | /s/ David Lippman |
| | David Lippman, President and Principal Executive Officer |
| | (principal executive officer) |
Date 12/8/10
| | |
By (Signature and Title)* | | /s/ David S. DeVito |
| | David S. DeVito, Treasurer |
| | (principal financial officer) |
Date 12/8/10
* | Print the name and title of each signing officer under his or her signature. |
