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)
David B. Lippman
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) 244-0000
Date of fiscal year end: March 31
Date of reporting period: September 30, 2011
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.
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| | SEMI-ANNUAL REPORT September 30, 2011 (Unaudited) |
| | | | METROPOLITAN WEST FUNDS 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 |
| | | | 
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METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
Thank you for your ongoing investment in the Metropolitan West Funds. For the September 2011 Semi-Annual Report, we are pleased to report that the Funds continue to receive robust sponsorship, resulting in the crossing of the $21 billion asset threshold for all the Funds, led by the share classes of the Total Return Fund with just under $17 billion of investor holdings. The steady inflows continue to provide an excellent backdrop for the implementation of strategies, as investments are carefully considered and made across the Funds. Moreover, sustained investor appetite affords an opportunity to establish new funds to meet the demand.
Such is the case with the creation of the Metropolitan West Unconstrained Bond Fund (Tickers: MWCRX, MWCIX), which commenced operations on October 1. Designed to take advantage of temporary and persistent inefficiencies across the global fixed income markets, this highly flexible strategy seeks to deliver consistently positive returns in all market conditions. In addition to a duration profile that can extend from -3 to +8 years and high yield latitude up to 50% of the Fund, Unconstrained Bond will be the first of the MetWest Funds to take advantage of the international and emerging market bond management capabilities created when Trust Company of the West acquired MetWest in 2010. In the prevailing low U.S. Treasury rate environment, the Fund offers the opportunity for incremental yield in a value-oriented and risk-controlled manner. A prospectus and additional information on the Unconstrained Bond Fund can be found at www.mwamllc.com.
The September 30, 2011 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), |
| | | | Plan-Class (MWTSX) |
| | 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
Following months of volatility owing to continued economic weakness and apparent intractability to the ongoing European debt problems, all that was needed for a replay of 2010 (and momentum to close out the year) was a signal of commitment from the Federal Reserve (Fed) at its annual August Jackson Hole retreat that yet another round of quantitative easing was on the way. Either the markets have developed some resistance to Chairman Bernanke’s verbal vaccinations or another 12 months of 9% unemployment and irresolute EU central bankers have worn down investors, as the capital markets outside of government issues fell over the six months, selling off sharply during the last quarter. From June month-end, equities slumped by nearly 14%, while the “plus” bond sectors of U.S. high yield fell 6% and emerging markets dropped 4%. Although a U.S. Treasury flight-to-safety rally has historically been characteristic of such circumstances, Standard & Poor’s early August downgrade to AA+ had the potential for considerable chaos and a spike in yields. Proving not to be the case and highlighting investor disregard for the rating agencies, U.S. Treasury prices climbed as the 5- and 10-Year traded below the 1% and 2% rate milestones. In concluding its scheduled September meeting, the Fed announced the Maturity Extension Program and Reinvestment Policy designed to shift $400 billion in U.S. Treasury holdings to longer maturities and flatten the yield curve, which it did, bringing the 30-Year U.S. Treasury yield to sub-3% to end the third quarter. So, one month removed from a downgrade that would punish any other debtor with higher borrowing costs, the U.S. enjoyed apparently undiminished sponsorship and reduced interest rates. A developed world in financial turmoil and few alternatives will do that...at least for now.
The rallying U.S. Treasury translated to a robust six months for returns on government bond indexes, also lifting diversified broadly diversified investment grade benchmarks to solidly positive returns. Highlighting the asset class, the Barclays U.S. Treasury Index gained 9% over the last six months, as its Long component soared nearly 29%. Though lagging the U.S. Treasury market, the Barclays Aggregate returned 6.2% over the same time frame, as each sector experienced a widening in yield spreads that was more than covered by the decline in U.S. Treasury rates, producing positive performance among corporate (+5.2%), mortgage-backed (+4.4%) and asset-backed (+4.2%) securities. Within the corporate sector, financial issuers faced continuing challenges due to (1) perceptions of asset quality on their balance sheets – housing and Europe exposure drawing the most concern – and (2) profit pressure arising from the Fed’s “twist” Maturity Extension program, which is likely to reduce income receipts from U.S. Treasury investments by banks. As a consequence, financials slipped 1.4% during the quarter (and gained just 0.5% for the six months), as risk premiums climbed, significantly increasing the relative cost of capital. (Investors in financial stocks liked it less, sending shares tumbling by 22% in the third quarter alone.) Among agency mortgages, concerns about the potential for a mass auto-refinance program widened
Semi-Annual Report September 2011 / 1
spreads until announcement of the Fed’s Reinvestment Policy, which calls for maturing agency debt proceeds and principal and interest payments from agency MBS on its balance sheet to be reinvested in agency mortgages. Not surprisingly, the increase in expected demand reversed the widening caused by fears that a rapid acceleration in prepayments would repay at par ($100) bonds currently trading at a premium (>$100). In the non-agency mortgage market, pricing eased as fundamental weakness persisted and appetite from investors remained limited following the government’s challenged Maiden Lane II liquidation earlier in 2011.
The Economy and Market Ahead
Entering the last part of the year, market indications – particularly U.S. Treasury rates and high yield risk premiums at 800 basis points - suggest an economy at stall speed at best or on the verge of contraction at worst. Consumers are saddled with high unemployment and diminished net worth and businesses, while profitable and somewhat flush with cash, have experienced limited revenue growth and curbed appetite for investment. Meanwhile, the political tide has turned on government stimulus, with further accumulation of Federal debt no longer viewed as productive by a Congressional majority. While recognizing the challenges, a deep 2008-style recession appears unlikely. Significantly, the deleveraging that has occurred over the past three-plus years has limited the buildup of excesses that would presage a considerable pullback. As a result, the degree of decline in U.S. Treasury yields appears far more pronounced than supported by the fundamentals. Nevertheless, generating sufficient growth to bring down stubbornly elevated joblessness will be a central theme of the ongoing partisan rancor and upcoming Presidential campaign. Is it naïve to think any legislatively-sponsored consensus is possible? At least the “independent” Fed, though largely exhausted of conventional measures, has pursued novel approaches to build confidence, reduce volatility and sustain momentum. In contrast to the market signals, recent readings indicate that some pickup in activity has been apparent in the leading economic indicators, as well as manufacturing and services, while price indexes have been well-removed from deflation. Just a year ago, much of the market chatter referred to potential inflation and how high U.S. Treasury rates might rise after the end of the Fed’s second round of quantitative easing. Those fears proved premature in 2011, but can it be long before the market begins imagining a 4% 10-Year U.S. Treasury yield again?
Positioning across the Funds certainly imagines higher U.S. Treasury rates, thus informing durations that remain decidedly short of the designated indexes by approximately three-quarters of a year. With lofty prices and stingy yields in the U.S. government markets, the Funds continue to underweight exposure in favor better of risk-adjusted opportunities elsewhere in the fixed income market. The most pronounced overweight, in general, is in mortgage-backed securities via a combination of agency and non-agency issues. As the Fed has renewed its commitment as the marginal buyer of MBS, pricing support should remain favorable and subject to further improvement as clarity develops around a refinancing program. Non-agency issues continue to trade at deep discounts (furthered by easing prices over the past six months), representing an attractive risk-adjusted opportunity, captured in a Fund overweight. Investment grade corporate exposure remains in line with the Aggregate index, though the allocation to financials represents a significant overweight within the sector, as yields are suitably compensatory of the risks. In high yield, the industry emphasis favors utility credits, which offer good yields and solid asset backing while tending to perform relatively well in slower growth environments. And lastly, top-of-the-capital structure commercial mortgage-backed securities remain an overweight predicated on solid credit enhancement, while recent purchases have been in 2011-vintage issues, with upgraded underwriting standards.
Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.
Fund Results
General Performance Commentary
With short durations and U.S. Treasury underweights relative to the various indexes, Fund returns lagged their respective benchmarks over the past six months. Relative weakness in the spread sectors was a persistent theme and weighed on performance throughout the second and third quarters. The overweight to financials in the investment grade oriented strategies was a notable drag as banks and brokers continue a halting recovery from the 2008 global financial crisis. While security selection within agency mortgages was marginally additive due to a focus on less prepayment prone issues, the continued weighting in non-agency mortgage-backed issues comprised of prime, subprime and Alt-A collateral was a detractor. Specific to the High Yield Fund, a combination of short duration and issue-specific volatility contributed to the lag, as did an overweight to floating rate issues and bank loans, which have labored to produce significant income under low LIBOR conditions.
Given expectations that the economic backdrop would be difficult and external catalysts – European crisis, U.S. debt ceiling debate – would likely arise periodically to trigger volatility, the recent performance pattern has not been especially surprising. Meanwhile, the conditions have afforded an opportunity to continue enhancing the Funds’ return-risk profiles.
2 / Semi-Annual Report September 2011
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWUSX (Inception: June 30, 2003) | | -1.08% | | 1.59% | | 3.31% | | 0.53% | | — | | 2.14% |
| Merrill Lynch 1-Year U.S. Treasury Index | | 0.32% | | 0.55% | | 1.26% | | 2.76% | | — | | 2.51% |
| MWUIX (Inception: July 31, 2004) | | -1.24% | | 1.51% | | 3.47% | | 0.65% | | — | | 1.61% |
| Merrill Lynch 1-Year U.S. Treasury Index | | 0.32% | | 0.55% | | 1.26% | | 2.76% | | — | | 2.76% |
For MWUSX, the total expense ratio is 0.67% and the net expense ratio is 0.52% . For MWUIX, the total expense ratio is 0.51% and the net expense ratio is 0.36%.
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
| | | | | | | | | | | | | | |
| | | | | Performance Through September 30, 2011 |
| | | | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWLDX (Inception: March 31, 1997) | | -0.88% | | 1.87% | | 5.48% | | 2.64% | | 2.90% | | 4.35% |
| Merrill Lynch 1-3 Year U.S. Treasury Index | | 1.32% | | 1.20% | | 2.39% | | 3.83% | | 3.31% | | 4.44% |
| MWLIX (Inception: March 31, 2000) | | -0.91% | | 2.06% | | 5.68% | | 2.84% | | 3.09% | | 3.83% |
| Merrill Lynch 1-3 Year U.S. Treasury Index | | 1.32% | | 1.20% | | 2.39% | | 3.83% | | 3.31% | | 4.10% |
| MWLNX (Inception: September 22, 2009) | | -1.09% | | 1.63% | | — | | — | | — | | 7.48% |
| Merrill Lynch 1-3 Year U.S. Treasury Index | | 1.32% | | 1.20% | | — | | — | | — | | 1.93% |
For MWLDX, the total expense ratio is 0.59% and the net expense ratio is 0.59%. For MWLIX, the total expense ratio is 0.40% and the net expense ratio is 0.40%. For MWLNX, the total expense ratio is 0.79% and the net expense ratio is 0.79%.
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWIMX (Inception: June 30, 2003) | | 2.10% | | 3.84% | | 9.84% | | 6.65% | | — | | 5.52% |
| Barclays Capital U.S. Intermediate Government/Credit Index | | 4.57% | | 3.41% | | 7.02% | | 5.91% | | — | | 4.50% |
| MWIIX (Inception: June 28, 2002) | | 2.30% | | 4.06% | | 10.11% | | 6.90% | | — | | 6.80% |
| Barclays Capital U.S. Intermediate Government/Credit Index | | 4.57% | | 3.41% | | 7.02% | | 5.91% | | — | | 5.16% |
For MWIMX, the total expense ratio is 0.73% and the net expense ratio is 0.66%. For MWIIX, the total expense ratio is 0.52% and the net expense ratio is 0.45%.
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWTRX (Inception: March 31, 1997) | | 2.82% | | 4.16% | | 11.26% | | 7.93% | | 6.40% | | 7.37% |
| Barclays Capital U.S. Aggregate Bond Index | | 6.20% | | 5.27% | | 7.98% | | 6.53% | | 5.66% | | 6.51% |
| MWTIX (Inception: March 31, 2000) | | 2.92% | | 4.38% | | 11.49% | | 8.15% | | 6.63% | | 7.29% |
| Barclays Capital U.S. Aggregate Bond Index | | 6.20% | | 5.27% | | 7.98% | | 6.53% | | 5.66% | | 6.46% |
| MWTNX (Inception: December 18, 2009) | | 2.61% | | 3.85% | | — | | — | | — | | 8.08% |
| Barclays Capital U.S. Aggregate Bond Index | | 6.20% | | 5.27% | | — | | — | | — | | 6.85% |
| MWTSX (Inception: August 1, 2011) | | — | | — | | — | | — | | — | | 0.46% |
| Barclays Capital U.S. Aggregate Bond Index | | — | | — | | — | | — | | — | | 2.20% |
Semi-Annual Report September 2011 / 3
For MWTRX, the total expense ratio is 0.64% and the net expense ratio is 0.64%. For MWTIX, the total expense ratio is 0.43% and the net expense ratio is 0.43%. For MWTNX, the total expense ratio is 0.84% and the net expense ratio is 0.84%. For MWTSX, the total expense ratio is 0.43% and the net expense ratio is 0.40%.
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWHYX (Inception: September 30, 2002) | | -8.65% | | -1.59% | | 12.41% | | 6.89% | | — | | 10.10% |
| Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | -5.12% | | 1.76% | | 13.81% | | 7.25% | | — | | 10.02% |
| MWHIX (Inception: March 31, 2003) | | -8.75% | | -1.35% | | 12.68% | | 7.15% | | — | | 8.77% |
| Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | -5.12% | | 1.76% | | 13.81% | | 7.25% | | — | | 8.90% |
For MWHYX, the total expense ratio is 0.86% and the net expense ratio is 0.81%. For MWHIX, the total expense ratio is 0.61% and the net expense ratio is 0.56%.
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWSTX (Inception: June 30, 2003) | | -2.37% | | 2.74% | | 9.35% | | 1.98% | | — | | 4.36% |
| Merrill Lynch 3-Month U.S. Treasury Index + 2% | | 1.05% | | 2.15% | | 2.24% | | 3.78% | | — | | 4.13% |
| MWSIX (Inception: March 31, 2004) | | -2.37% | | 2.99% | | 9.58% | | 2.21% | | — | | 2.97% |
| Merrill Lynch 3-Month U.S. Treasury Index + 2% | | 1.05% | | 2.15% | | 2.24% | | 3.78% | | — | | 4.24% |
For MWSTX, the total expense ratio is 2.24% and the net expense ratio is 2.24%. For MWSIX, the total expense ratio is 1.99% and the net expense ratio is 1.99%.
Metropolitan West AlphaTrak 500 Fund
(MWATX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2011 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
| MWATX (Inception: June 29, 1998) | | -15.83% | | 2.60% | | 3.31% | | -2.95% | | 1.86% | | 1.46% |
| Standard & Poor’s 500 Index | | -13.78% | | 1.15% | | 1.23% | | -1.18% | | 2.82% | | 1.75% |
For MWATX, the total expense ratio is 1.89% and the net expense ratio is 0.91%.
A Consistent Long-Term Value Orientation
We remain committed to an investment approach that emphasizes a long-term perspective and an understanding that market pricing can and does come disconnected to fundamental value on a persistent basis. By maintaining discipline, we expect to continue adding value to client portfolios in a measured, risk-controlled manner. Diversification is a cornerstone to the portfolio construction, not only in the traditional manner of allocating across maturities, sectors and individual securities, but also in the decisions – duration, yield curve positioning, sector allocation and security selection – that drive performance through time. While market conditions change constantly, our process is steadfast and vigilant to opportunities to bring value.
4 / Semi-Annual Report September 2011
Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.
Sincerely,
David B. Lippman
President and Principal Executive Officer of the Trust
Metropolitan West Funds
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. Additional risks to the funds include derivatives risk, foreign securities risk, asset-backed securities risk, and prepayment risk. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.
Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the value of the Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities risk refers to certain asset-backed securities do not have the benefit of the same security interest in the related collateral as do mortgage-backed securities; nor are they provided government guarantees of repayment. Prepayment risk refers to the possibility that falling interest rates may cause the owners of the underlying to pay off their mortgages at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of the Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage Risk refers to the limited ability of Fund to borrow from broker-dealers or other institutions to leverage a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding which could create interest expenses that can exceed the income from the assets retained.
The Adviser has contractually agreed to waive and/or reimburse certain fees for the Metropolitan West Ultra Short Bond Fund, Intermediate Bond Fund, High Yield Bond Fund and AlphaTrak 500 Fund until July 31, 2012.
The views and forecasts expressed here are as of November 2011, 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.
This report must be preceded or accompanied by a prospectus.
Semi-Annual Report September 2011 / 5
Metropolitan West Funds
Disclosure of Fund Expenses
For the Six Months Ended September 30, 2011 (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
04/01/11 | | | Ending
Account Value
09/30/11 | | | Expense
Ratio1 | | | Expenses
Paid During
Period2 | |
| ULTRA SHORT BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $989.20 | | | | 0.50 | % | | | $2.51 | |
Class I | | | $1,000.00 | | | | $987.70 | | | | 0.34 | % | | | $1.71 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,022.75 | | | | 0.50 | % | | | $2.56 | |
Class I | | | $1,000.00 | | | | $1,023.55 | | | | 0.34 | % | | | $1.74 | |
| LOW DURATION BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $991.10 | | | | 0.58 | % | | | $2.92 | |
Class I | | | $1,000.00 | | | | $990.90 | | | | 0.39 | % | | | $1.96 | |
Administrative Class | | | $1,000.00 | | | | $989.10 | | | | 0.78 | % | | | $3.92 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,022.34 | | | | 0.58 | % | | | $2.96 | |
Class I | | | $1,000.00 | | | | $1,023.30 | | | | 0.39 | % | | | $1.99 | |
Administrative Class | | | $1,000.00 | | | | $1,021.33 | | | | 0.78 | % | | | $3.98 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half year, then divided by 366. |
6 / Semi-Annual Report September 2011
| | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/11 | | | Ending
Account Value
09/30/11 | | | Expense
Ratio1 | | | Expenses
Paid During
Period2 | |
| INTERMEDIATE BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.00 | | | | 0.65% | | | | $3.32 | |
Class I | | | $1,000.00 | | | | $1,023.10 | | | | 0.44% | | | | $2.25 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.99 | | | | 0.65% | | | | $3.32 | |
Class I | | | $1,000.00 | | | | $1,023.05 | | | | 0.44% | | | | $2.25 | |
| TOTAL RETURN BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,028.10 | | | | 0.61% | | | | $3.13 | |
Class I | | | $1,000.00 | | | | $1,029.20 | | | | 0.40% | | | | $2.05 | |
Administrative Class | | | $1,000.00 | | | | $1,026.10 | | | | 0.81% | | | | $4.15 | |
Plan Class | | | $1,000.00 | | | | $1,004.60 | | | | 0.39% | | | | $0.70 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,022.19 | | | | 0.61% | | | | $3.12 | |
Class I | | | $1,000.00 | | | | $1,023.25 | | | | 0.40% | | | | $2.05 | |
Administrative Class | | | $1,000.00 | | | | $1,021.18 | | | | 0.81% | | | | $4.14 | |
Plan Class | | | $1,000.00 | | | | $1,023.30 | | | | 0.39% | | | | $1.99 | |
| HIGH YIELD BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $911.30 | | | | 0.80% | | | | $3.86 | |
Class I | | | $1,000.00 | | | | $912.40 | | | | 0.55% | | | | $2.66 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,021.23 | | | | 0.80% | | | | $4.09 | |
Class I | | | $1,000.00 | | | | $1,022.49 | | | | 0.55% | | | | $2.81 | |
| STRATEGIC INCOME FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $976.30 | | | | 2.26% | | | | $11.29 | |
Class I | | | $1,000.00 | | | | $976.30 | | | | 2.01% | | | | $10.04 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | |
Class M | | | $1,000.00 | | | | $1,013.85 | | | | 2.26% | | | | $11.50 | |
Class I | | | $1,000.00 | | | | $1,015.11 | | | | 2.01% | | | | $10.24 | |
| ALPHATRAK 500 FUND | | | | | | | | | | | | |
Actual Fund Return | | | $1,000.00 | | | | $841.60 | | | | 0.90% | | | | $4.19 | |
Hypothetical 5% Return | | | $1,000.00 | | | | $1,020.72 | | | | 0.90% | | | | $4.60 | |
| 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 366. |
Semi-Annual Report September 2011 / 7
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2011 (Unaudited)
These tables are provided to give you a quick reference to the composition of each Fund. The Sector Diversification table is a percentage of net assets. The Distribution by Quality Rating and Distribution by Maturity tables are a percentage of market value. 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 | | 41.68% | | AAA | | 67.98% | | 0 to 1 years | | 25.91% |
| Non-Agency Mortgage-Backed | | 23.74% | | AA | | 5.49% | | 1 year to 3 years | | 24.62% |
| Corporate Bonds | | 14.08% | | A | | 7.93% | | 3 years to 5 years | | 27.34% |
| Commercial Mortgage-Backed | | 10.83% | | BBB | | 5.85% | | 5 years to 10 years | | 17.95% |
| Money Market RIC | | 3.38% | | BB or below | | 12.75% | | 10 years to 20 years | | 4.18% |
| Asset-Backed Securities | | 2.46% | | | | | | 20 years + | | 0.00% |
| U.S. Agency Discount Notes | | 1.09% | | | | | | | | |
| Municipal Bonds | | 0.99% | | | | | | | | |
| Bank Loans | | 0.66% | | | | | | | | |
| Other * | | 1.09% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
| | | | | | | | | | |
LOW DURATION BOND FUND |
| Sector Diversification | | | | Distribution by Quality Rating | | | | Distribution by Maturity | | |
| Corporate Bonds | | 30.99% | | AAA | | 44.76% | | 0 to 1 years | | 9.63% |
| U.S. Agency Mortgage-Backed | | 28.91% | | AA | | 13.09% | | 1 year to 3 years | | 28.83% |
| Non-Agency Mortgage-Backed | | 23.32% | | A | | 14.39% | | 3 years to 5 years | | 35.24% |
| Commercial Mortgage-Backed | | 7.93% | | BBB | | 11.19% | | 5 years to 10 years | | 20.78% |
| Asset-Backed Securities | | 5.72% | | BB or below | | 16.57% | | 10 years to 20 years | | 5.06% |
| U.S. Treasury Securities | | 2.86% | | | | | | 20 years + | | 0.46% |
| Money Market RIC | | 2.05% | | | | | | | | |
| Municipal Bonds | | 1.24% | | | | | | | | |
| Bank Loans | | 0.69% | | | | | | | | |
| Other * | | (3.71)% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
8 / Semi-Annual Report September 2011
| | | | | | | | | | |
| | | | | INTERMEDIATE BOND FUND | | | | |
| Sector Diversification | | | | Distribution by Quality Rating | | Distribution by Maturity |
| U.S. Agency Mortgage-Backed | | 26.51% | | AAA | | 59.48% | | 0 to 1 years | | 8.73% |
| Corporate Bonds | | 23.42% | | AA | | 9.88% | | 1 year to 3 years | | 20.61% |
| Non-Agency Mortgage-Backed | | 18.44% | | A | | 12.62% | | 3 years to 5 years | | 25.65% |
| Commercial Mortgage-Backed | | 10.57% | | BBB | | 8.26% | | 5 years to 10 years | | 38.47% |
| U.S. Treasury Securities | | 8.58% | | BB or below | | 9.76% | | 10 years to 20 years | | 5.40% |
| Asset-Backed Securities | | 6.38% | | | | | | 20 years + | | 1.14% |
| U.S. Agency Securities | | 5.37% | | | | | | | | |
| Money Market RIC | | 2.45% | | | | | | | | |
| Municipal Bonds | | 1.07% | | | | | | | | |
| U.S. Agency Discount Notes | | 1.07% | | | | | | | | |
| Bank Loans | | 0.16% | | | | | | | | |
| U.S. Treasury Bills | | 0.04% | | | | | | | | |
| Other * | | (4.06)% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
| | | | | | | | | |
| | | | | TOTAL RETURN BOND FUND | | | | |
| Sector Diversification | | | | Distribution by Quality Rating | | Distribution by Maturity |
| U.S. Agency Mortgage-Backed | | 33.94% | | AAA | | 53.97% | | 0 to 1 years | | 2.58% |
| Corporate Bonds | | 25.06% | | AA | | 8.18% | | 1 year to 3 years | | 13.62% |
| Non-Agency Mortgage-Backed | | 17.54% | | A | | 10.02% | | 3 years to 5 years | | 27.00% |
| U.S. Treasury Securities | | 10.39% | | BBB | | 8.41% | | 5 years to 10 years | | 43.82% |
| Commercial Mortgage-Backed | | 6.82% | | BB or below | | 19.42% | | 10 years to 20 years | | 5.37% |
| Asset-Backed Securities | | 5.61% | | | | | | 20 years + | | 7.61% |
| Money Market RIC | | 2.08% | | | | | | | | |
| U.S. Agency Securities | | 1.44% | | | | | | | | |
| Municipal Bonds | | 1.40% | | | | | | | | |
| U.S. Agency Discount Notes | | 0.64% | | | | | | | | |
| Bank Loans | | 0.49% | | | | | | | | |
| U.S. Treasury Bills | | 0.03% | | | | | | | | |
| Other * | | (5.44)% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
Semi-Annual Report September 2011 / 9
| | | | | | | | | | |
| HIGH YIELD BOND FUND |
| Sector Diversification | | Distribution by Quality Rating | | Distribution by Maturity |
| Corporate Bonds | | 81.44% | | AAA | | 6.48% | | 0 to 1 years | | 10.93% |
| Bank Loans | | 8.67% | | AA | | 2.22% | | 1 year to 3 years | | 2.95% |
| Money Market RIC | | 2.40% | | A | | (0.21)% | | 3 years to 5 years | | 20.82% |
| Preferred Stock | | 0.75% | | BBB | | 2.98% | | 5 years to 10 years | | 56.16% |
| Non-Agency Mortgage-Backed | | 0.53% | | BB | | 19.81% | | 10 years to 20 years | | 5.95% |
| U.S. Agency Discount Notes | | 0.47% | | B | | 49.49% | | 20 years + | | 3.19% |
| U.S. Treasury Bills | | 0.43% | | CCC | | 16.66% | | | | |
| Municipal Bonds | | 0.07% | | CC or below | | 2.57% | | | | |
| Other * | | 5.24% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
| | | | | | | | | | |
| STRATEGIC INCOME FUND |
| Sector Diversification | | Distribution by Quality Rating | | Distribution by Maturity |
| Non-Agency Mortgage-Backed | | 42.78% | | AAA | | 21.62% | | 0 to 1 years | | 3.55% |
| Corporate Bonds | | 24.57% | | AA | | 4.40% | | 1 year to 3 years | | 12.92% |
| Asset-Backed Securities | | 16.23% | | A | | 15.24% | | 3 years to 5 years | | 31.44% |
| U.S. Agency Mortgage-Backed | | 12.86% | | BBB | | 11.46% | | 5 years to 10 years | | 30.90% |
| Bank Loans | | 2.12% | | BB or below | | 47.28% | | 10 years to 20 years | | 18.42% |
| Preferred Stock | | 2.04% | | | | | | 20 years + | | 2.77% |
| Commercial Mortgage-Backed | | 0.48% | | | | | | | | |
| Money Market RIC | | 0.41% | | | | | | | | |
| Municipal Bonds | | 0.14% | | | | | | | | |
| U.S. Treasury Bills | | 0.01% | | | | | | | | |
| Other * | | (1.64)% | | | | | | | | |
Total | | 100.00% | | Total | | 100.00% | | Total | | 100.00% |
10 / Semi-Annual Report September 2011
| | | | | | | | | | |
| | | | | ALPHATRAK 500 FUND | | | | |
| Sector Diversification | | | | Distribution by Quality Rating | | Distribution by Maturity | | |
| Corporate Bonds | | 27.86% | | AAA | | 54.45% | | 0 to 1 years | | 29.87% |
| Non-Agency Mortgage-Backed | | 26.84% | | AA | | 10.40% | | 1 year to 3 years | | 27.53% |
| U.S. Agency Mortgage-Backed | | 20.20% | | A | | 13.10% | | 3 years to 5 years | | 8.06% |
| Commercial Mortgage-Backed | | 8.49% | | BBB | | 11.01% | | 5 years to 10 years | | 16.63% |
| U.S. Treasury Bills | | 5.19% | | BB or below | | 11.04% | | 10 years to 20 years | | 17.11% |
| U.S. Agency Discount Notes | | 4.82% | | | | | | 20 years + | | 0.80% |
| U.S. Agency Securities | | 2.35% | | | | | | | | |
| Asset-Backed Securities | | 2.16% | | | | | | | | |
| Money Market RIC | | 2.00% | | | | | | | | |
| Municipal Bonds | | 1.45% | | | | | | | | |
| Other * | | (1.36)% | | | | | | | | |
| 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. |
The Sector Diversification is presented as a percentage of net assets. The Distribution by Quality Rating and Distribution by Maturity are presented as a percentage of market value. 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, 2011. 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.
Semi-Annual Report September 2011 / 11
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 94.44% | |
ASSET-BACKED SECURITIES — 2.46%** | |
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | | | | | | | | | |
0.48% | | | 07/25/37 | 2,3 | | $ | 1,230,799 | | | $ | 900,151 | |
| Capital Auto Receivables Asset Trust, Series 2008-CPA, Class A1 | | | | | | | | | |
1.08% | | | 01/15/13 | 2,3 | | | 173,685 | | | | 173,899 | |
| GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados) | | | | | | | | | |
0.48% | | | 11/17/20 | 2,3,4 | | | 416,667 | | | | 400,256 | |
| Harley-Davidson Motorcycle Trust, Series 2009-4, Class A4 | | | | | | | | | |
2.40% | | | 07/15/14 | | | | 90,000 | | | | 90,902 | |
| Nissan Auto Lease Trust, Series 2009-B, Class A3 | | | | | | | | | |
2.07% | | | 01/15/15 | | | | 12,846 | | | | 12,853 | |
| Santander Drive Auto Receivables Trust, Series 2010-1, Class A2 | | | | | | | | | |
1.36% | | | 03/15/13 | | | | 381,618 | | | | 382,119 | |
| Triton Container Finance LLC, Series 2006-1A NOTE | | | | | | | | | |
0.40% | | | 11/26/21 | 2,3 | | | 206,667 | | | | 188,526 | |
| Triton Container Finance LLC, Series 2007-1A NOTE | | | | | | | | | |
0.37% | | | 02/26/19 | 2,3 | | | 128,125 | | | | 119,249 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $2,591,731) | | | | 2,267,955 | |
| | | | | | | | | | | | |
CORPORATES — 14.08%* | |
Automotive — 0.54% | |
| Daimler Finance North America LLC | | | | | | | | | |
1.54% | | | 09/13/13 | 2,3 | | | 500,000 | | | | 499,798 | |
| | | | | | | | | | | | |
Banking — 5.63% | |
| Abbey National Treasury Services Plc/London | | | | | | | | | |
| (United Kingdom) | | | | | | | | | |
1.83% | | | 04/25/14 | 2,4 | | | 550,000 | | | | 524,721 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
1.67% | | | 01/30/14 | 2 | | | 550,000 | | | | 497,633 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
0.65% | | | 06/15/17 | 2 | | | 750,000 | | | | 552,488 | |
| Commonwealth Bank of Australia (Australia) | | | | | | | | | |
1.08% | | | 03/17/14 | 2,3,4 | | | 600,000 | | | | 600,720 | |
| HSBC Bank Plc (United Kingdom) | | | | | | | | | |
1.05% | | | 01/17/14 | 2,3,4 | | | 550,000 | | | | 550,036 | |
| JPMorgan Chase Bank N.A. | | | | | | | | | |
0.67% | | | 06/13/16 | 2 | | | 550,000 | | | | 507,622 | |
| Lloyds TSB Bank Plc (United Kingdom) | | | | | | | | | |
2.60% | | | 01/24/14 | 2,4 | | | 500,000 | | | | 487,037 | |
National Australia Bank Ltd., Series REGS (Australia) | | | | | |
0.97% | | | 04/11/14 | 2,4 | | | 550,000 | | | | 548,191 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
Royal Bank of Scotland Plc, Series 1 | | | | | | | | | |
| (United Kingdom) | | | | | | | | | |
2.72% | | | 08/23/13 | 2,4 | | $ | 500,000 | | | $ | 498,587 | |
| UBS AG/Stamford CT (BKNT) (Switzerland) | | | | | | | | | |
2.25% | | | 08/12/13 | 4 | | | 425,000 | | | | 417,567 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,184,602 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.60% | |
Anheuser-Busch InBev Worldwide, Inc., Series FRN | | | | | |
0.80% | | | 01/27/14 | 2 | | | 550,000 | | | | 554,359 | |
| | | | | | | | | | | | |
Electric — 0.85% | |
| KCP&L Greater Missouri Operations Co. | |
11.88% | | | 07/01/12 | | | | 730,000 | | | | 785,239 | |
| | | | | | | | | | | | |
Finance — 3.94% | |
| Citigroup, Inc. | | | | | | | | | |
5.30% | | | 10/17/12 | | | | 1,075,000 | | | | 1,101,944 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.49% | | | 06/20/14 | 2 | | | 250,000 | | | | 239,711 | |
General Electric Capital Corp., Series A (MTN) | | | | | |
0.61% | | | 09/15/14 | 2 | | | 300,000 | | | | 287,103 | |
| Goldman Sachs Group, Inc. | | | | | | | | | |
1.27% | | | 02/07/14 | 2 | | | 430,000 | | | | 409,021 | |
5.45% | | | 11/01/12 | | | | 500,000 | | | | 512,980 | |
| Goldman Sachs Group, Inc., Series B (MTN) | | | | | |
0.65% | | | 07/22/15 | 2 | | | 200,000 | | | | 178,757 | |
| International Lease Finance Corp. | | | | | |
6.50% | | | 09/01/14 | 3 | | | 350,000 | | | | 348,250 | |
| Macquarie Group Ltd. (Australia) | | | | | |
7.30% | | | 08/01/14 | 3,4 | | | 318,000 | | | | 344,543 | |
| Morgan Stanley (MTN) | | | | | |
0.70% | | | 10/18/16 | 2 | | | 260,000 | | | | 202,413 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,624,722 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.09% | |
| HCP, Inc. | | | | | | | | | |
2.70% | | | 02/01/14 | | | | 600,000 | | | | 591,433 | |
| Kimco Realty Corp. | | | | | | | | | |
6.00% | | | 11/30/12 | | | | 275,000 | | | | 284,960 | |
| Liberty Property LP | | | | | | | | | |
6.38% | | | 08/15/12 | | | | 500,000 | | | | 517,012 | |
| Post Apartment Homes LP | | | | | | | | | |
6.30% | | | 06/01/13 | | | | 500,000 | | | | 529,121 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,922,526 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
12 / Semi-Annual Report September 2011
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation — 0.43% | |
JetBlue Airways Pass-Through Trust, Series 2004, Class G1 | | | | | |
0.66% | | | 08/15/162 | | | | $421,059 | | | $ | 394,062 | |
Total Corporates (Cost $13,041,359) | | | | 12,965,308 | |
| | | | | | | | | | | | |
BANK LOANS — 0.66%* | |
Health Care — 0.66% | |
| HCA, Inc., Term Loan B3 | | | | | | | | | |
| 3.62% | | | 05/01/182,5 | | | | 640,641 | | | | 603,704 | |
Total Bank Loans (Cost $615,497) | | | | | |
MORTGAGE-BACKED — 76.25%** | |
| Commercial Mortgage-Backed — 10.83% | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3 | | | | | | | | | |
5.12% | | | 07/11/43 | | | | 280,214 | | | | 282,372 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4 | | | | | | | | | |
6.19% | | | 06/11/35 | | | | 366,149 | | | | 367,128 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2003-1, Class A2 | | | | | | | | | |
4.65% | | | 09/11/36 | | | | 550,000 | | | | 567,897 | |
Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2 | | | | | | | | | |
4.72% | | | 11/11/35 | 2 | | | 564,043 | | | | 573,708 | |
| Commercial Mortgage Asset Trust, Series 1999-C1, Class A4 | | | | | | | | | |
6.98% | | | 01/17/32 | 2 | | | 571,715 | | | | 591,026 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3 | | | | | | | | | |
6.39% | | | 08/15/36 | | | | 17,549 | | | | 17,529 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 564,837 | | | | 573,978 | |
| First Union National Bank Commercial Mortgage, Series 2001-C4, Class A2 | | | | | | | | | |
6.22% | | | 12/12/33 | | | | 95,766 | | | | 95,691 | |
| First Union National Bank Commercial Mortgage, Series 2002-C1, Class A2 | | | | | | | | | |
6.14% | | | 02/12/34 | | | | 343,300 | | | | 344,996 | |
| GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3 | | | | | | | | | |
6.27% | | | 12/10/35 | | | | 438,434 | | | | 442,810 | |
| GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3 | | | | | | | | | |
5.35% | | | 08/11/36 | | | | 1,135,000 | | | | 1,156,720 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A2 | | | | | | | | | |
5.00% | | | 12/10/37 | | | $ | 514,881 | | | $ | 527,947 | |
GE Capital Commercial Mortgage Corp., Series 2003-C1, Class A4 | | | | | | | | | |
4.82% | | | 01/10/38 | | | | 566,702 | | | | 584,661 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2 | | | | | | | | | |
6.28% | | | 11/15/39 | | | | 11,795 | | | | 11,776 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3 | | | | | | | | | |
5.71% | | | 10/15/38 | | | | 341,667 | | | | 345,855 | |
Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 543,972 | | | | 555,109 | |
Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 2 | | | 520,000 | | | | 551,237 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3 | | | | | | | | | |
6.46% | | | 11/15/35 | | | | 61,000 | | | | 60,934 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class A3 | | | | | | | | | |
5.38% | | | 07/12/37 | | | | 536,767 | | | | 545,242 | |
| Morgan Stanley Dean Witter Capital I, Series 2001-TOP5, Class A4 | | | | | | | | | |
6.39% | | | 10/15/35 | | | | 59,033 | | | | 59,270 | |
Nomura Asset Securities Corp., Series 1998-D6, Class A3 | | | | | | | | | |
7.52% | | | 03/15/30 | 2 | | | 360,000 | | | | 385,734 | |
Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3 | | | | | | | | | |
4.86% | | | 03/18/36 | | | | 540,000 | | | | 548,130 | |
| TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3 | | | | | | | | | |
5.95% | | | 08/15/39 | 2 | | | 520,000 | | | | 563,458 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2002-C1, Class A4 | | | | | | | | | |
6.29% | | | 04/15/34 | | | | 219,930 | | | | 222,258 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,975,466 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 23.74% | |
Aames Mortgage Trust, Series 2002-1, Class A3 (STEP) | | | | | | | | | |
6.90% | | | 06/25/32 | | | | 34,578 | | | | 31,447 | |
ABFS Mortgage Loan Trust, Series 2002-3, Class A (STEP) | | | | | | | | | |
4.76% | | | 09/15/33 | | | | 6,180 | | | | 6,122 | |
ABFS Mortgage Loan Trust, Series 2002-4, Class A (STEP) | | | | | | | | | |
4.93% | | | 12/15/33 | | | | 1,950 | | | | 1,945 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 13
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
3.01% | | | 05/25/35 | 2 | | $ | 1,124,424 | | | $ | 831,017 | |
American Home Mortgage Investment Trust, Series 2004-3, Class 3A | | | | | |
2.26% | | | 10/25/34 | 2 | | | 832,713 | | | | 605,299 | |
Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class A2C | | | | | |
0.46% | | | 01/25/36 | 2 | | | 512,410 | | | | 499,428 | |
Banc of America Funding Corp., Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 22,150 | | | | 23,082 | |
Banc of America Funding Corp., Series 2007-8, Class 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | | 677,634 | | | | 454,869 | |
Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2 | | | | | |
2.98% | | | 02/25/33 | 2 | | | 4,934 | | | | 4,028 | |
Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | |
3.04% | | | 02/25/34 | 2 | | | 180,748 | | | | 158,791 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | |
0.42% | | | 03/25/37 | 2 | | | 2,500,000 | | | | 1,773,795 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C | | | | | |
1.54% | | | 07/25/37 | 2 | | | 1,765,000 | | | | 801,766 | |
Conseco Financial Corp., Series 1994-1, Class A5 | | | | | | | | | |
7.65% | | | 04/15/19 | | | | 4,251 | | | | 4,506 | |
Conseco Financial Corp., Series 1995-8, Class M1 | | | | | | | | | |
7.30% | | | 12/15/26 | | | | 609,790 | | | | 639,517 | |
Conseco Financial Corp., Series 1996-8, Class A6 | | | | | | | | | |
7.60% | | | 10/15/27 | 2 | | | 9,635 | | | | 10,044 | |
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | | | | | |
6.50% | | | 11/25/31 | | | | 301,111 | | | | 310,848 | |
| Countrywide Alternative Loan Trust, Series 2005-16, Class A5 | | | | | |
0.52% | | | 06/25/35 | 2 | | | 725,127 | | | | 251,234 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1 | | | | | | | | | |
1.59% | | | 08/25/35 | 2 | | | 1,541,230 | | | | 824,457 | |
Countrywide Alternative Loan Trust, Series 2005-61, Class 2A1 | | | | | |
0.52% | | | 12/25/35 | 2 | | | 1,000,767 | | | | 633,970 | |
Countrywide Asset-Backed Certificates, Series 2003-BC1, Class M1 | | | | | | | | | |
1.62% | | | 12/25/32 | 2 | | | 351,357 | | | | 143,992 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class A (STEP) | | | | | |
5.60% | | | 09/25/31 | | | $ | 73,674 | | | $ | 75,104 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2 | | | | | |
3.03% | | | 11/25/32 | 2 | | | 200,000 | | | | 174,581 | |
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A2A (STEP) | | | | | |
5.84% | | | 04/25/37 | | | | 203,020 | | | | 201,129 | |
Deutsche Financial Capital Securitization LLC, Series 1997-I, Class A3 | | | | | |
6.75% | | | 09/15/27 | | | | 90,882 | | | | 92,539 | �� |
Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | |
0.60% | | | 07/19/44 | 2 | | | 503,185 | | | | 358,630 | |
First Alliance Mortgage Loan Trust, Series 1994-3, Class A1 | | | | | |
7.82% | | | 10/25/25 | | | | 3,989 | | | | 3,772 | |
Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | |
0.72% | | | 07/25/35 | 2 | | | 489,886 | | | | 446,108 | |
GE Mortgage Services LLC, Series 1998-HE1, Class A7 | | | | | |
6.46% | | | 06/25/28 | | | | 300 | | | | 295 | |
GMAC Mortgage Corp. Loan Trust, Series 2003-GH1, Class A5 (STEP) | | | | | |
5.60% | | | 07/25/34 | | | | 45,065 | | | | 42,740 | |
Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2 | | | | | |
7.60% | | | 07/15/20 | | | | 33,339 | | | | 32,882 | |
Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2 | | | | | |
7.10% | | | 01/15/21 | | | | 17,475 | | | | 17,012 | |
HSBC Home Equity Loan Trust, Series 2006-3, Class A2V | | | | | |
0.36% | | | 03/20/36 | 2 | | | 209,267 | | | | 208,403 | |
HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | |
1.43% | | | 11/20/36 | 2 | | | 496,357 | | | | 440,623 | |
Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | |
0.62% | | | 12/25/34 | 2 | | | 900,959 | | | | 506,214 | |
Indymac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1A | | | | | |
0.46% | | | 04/25/46 | 2 | | | 1,336,307 | | | | 689,630 | |
Indymac Index Mortgage Loan Trust, Series 2007-FLX1, Class A1 | | | | | |
0.34% | | | 02/25/37 | 2 | | | 265,764 | | | | 252,762 | |
See accompanying notes to Schedule of Portfolio Investments.
14 / Semi-Annual Report September 2011
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Indymac Manufactured Housing Contract, Series 1998-2, Class A4 | | | | | | | | | |
6.64% | | | 12/25/27 | 2 | | $ | 145,073 | | | $ | 144,864 | |
| Irwin Home Equity Corp., Series 2003-A, Class M2 | | | | | | | | | |
2.88% | | | 10/25/27 | 2 | | | 339,078 | | | | 318,595 | |
| JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1 | | | | | | | | | |
2.64% | | | 04/25/35 | 2 | | | 585,099 | | | | 448,261 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
2.82% | | | 01/25/34 | 2 | | | 37,000 | | | | 29,662 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1 | | | | | | | | | |
3.38% | | | 10/25/34 | 2 | | | 887,133 | | | | 701,751 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
2.75% | | | 06/25/34 | 2 | | | 49,631 | | | | 37,747 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.76% | | | 10/25/32 | 2 | | | 128,622 | | | | 108,554 | |
| MASTR Seasoned Securities Trust, Series 2004-2, Class A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 420,630 | | | | 437,150 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A | | | | | | | | | |
2.38% | | | 12/25/32 | 2 | | | 450,004 | | | | 359,307 | |
| Mid-State Trust, Series 6, Class A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 41,242 | | | | 40,409 | |
| Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2 | | | | | | | | | |
2.04% | | | 12/25/33 | 2 | | | 699,132 | | | | 459,624 | |
| Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 1,891 | | | | 1,904 | |
| Oakwood Mortgage Investors, Inc., Series 1998-B, Class A3 | | | | | | | | | |
6.20% | | | 01/15/15 | | | | 3,737 | | | | 3,740 | |
| Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 187,080 | | | | 187,502 | |
| Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11 | | | | | | | | | |
7.12% | | | 03/25/16 | | | | 74,665 | | | | 76,609 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 117,286 | | | | 118,672 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 216,565 | | | | 219,202 | |
| Residential Asset Mortgage Products, Inc., Series 2005-EFC2, Class M1 | | | | | | | | | |
0.68% | | | 07/25/35 | 2 | | | 234,825 | | | | 230,811 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
| Non-Agency Mortgage-Backed (continued) | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
2.66% | | | 12/25/34 | 2 | | $ | 463,386 | | | $ | 412,811 | |
| Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP) | | | | | | | | | |
8.60% | | | 09/25/29 | | | | 93,810 | | | | 87,834 | |
| Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 8,871 | | | | 8,752 | |
| Saxon Asset Securities Trust, Series 2002-1, Class M2 | | | | | | | | | |
2.04% | | | 11/25/31 | 2 | | | 135,865 | | | | 63,144 | |
| Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.38% | | | 12/25/36 | 2 | | | 1,055,000 | | | | 876,413 | |
| Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A | | | | | | | | | |
0.44% | | | 10/25/36 | 2 | | | 1,735,770 | | | | 910,335 | |
| Structured Asset Mortgage Investments, Inc., Series 2007-AR3, Class 2A1 | | | | | | | | | |
0.42% | | | 09/25/47 | 2 | | | 2,183,015 | | | | 1,187,959 | |
| Structured Asset Securities Corp., Series 2001-15A, Class 4A1 | | | | | | | | | |
2.18% | | | 10/25/31 | 2 | | | 41,004 | | | | 38,897 | |
| Structured Asset Securities Corp., Series 2004-S4, Class M4 | | | | | | | | | |
2.04% | | | 12/25/34 | 2 | | | 149,753 | | | | 145,949 | |
| Structured Asset Securities Corp., Series 2005-4XS, Class 3A3 (STEP) | | | | | | | | | |
4.47% | | | 03/25/35 | | | | 47,247 | | | | 46,802 | |
| Structured Asset Securities Corp., Series 2007-EQ1, Class A4 | | | | | | | | | |
0.48% | | | 03/25/37 | 2 | | | 3,000,000 | | | | 1,145,984 | |
| Terwin Mortgage Trust, Series 2004-13AL, Class 2PX | | | | | | | | | |
0.34% | | | 08/25/34 | 3,6 | | | 7,407,481 | | | | 49,174 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.96% | | | 04/15/30 | 2 | | | 1,243 | | | | 518 | |
| WaMu Mortgage Pass Through Certificates, Series 2002-AR6, Class A | | | | | | | | | |
1.64% | | | 06/25/42 | 2 | | | 108,966 | | | | 83,538 | |
| WaMu Mortgage Pass Through Certificates, Series 2003-AR6, Class A1 | | | | | |
2.57% | | | 06/25/33 | 2 | | | 441,952 | | | | 413,463 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | | | | | |
0.74% | | | 06/25/35 | 2 | | | 576,012 | | | | 389,583 | |
| Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 34,123 | | | | 35,139 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 15
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Wells Fargo Home Equity Trust, Series 2005-3, Class AII3 | | | | | | | | | |
0.58% | | | 11/25/35 | 2 | | $ | 384,755 | | | $ | 367,318 | |
| Wells Fargo Home Equity Trust, Series 2006-1, Class A3 | | | | | | | | | |
0.38% | | | 05/25/36 | 2 | | | 126,628 | | | | 123,662 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 21,864,220 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 41.68% | |
| Fannie Mae Pool 111643 | | | | | | | | | |
3.10% | | | 09/01/20 | 2 | | | 21,477 | | | | 22,230 | |
| Fannie Mae Pool 190656 | | | | | | | | | |
6.50% | | | 02/01/14 | | | | 72,728 | | | | 80,224 | |
| Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | | 11/01/19 | | | | 156,729 | | | | 185,387 | |
| Fannie Mae Pool 555098 | | | | | | | | | |
2.83% | | | 11/01/32 | 2 | | | 95,629 | | | | 101,154 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.39% | | | 01/01/33 | 2 | | | 96,930 | | | | 100,875 | |
| Fannie Mae Pool 555424 | | | | | | | | | |
5.50% | | | 05/01/33 | | | | 782,644 | | | | 853,541 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 106,908 | | | | 123,693 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 2 | | | 6,970 | | | | 7,008 | |
| Fannie Mae Pool 647903 | | | | | | | | | |
1.81% | | | 04/01/27 | 2 | | | 60,365 | | | | 63,048 | |
| Fannie Mae Pool 648860 | | | | | | | | | |
6.50% | | | 05/01/17 | | | | 417,983 | | | | 457,287 | |
| Fannie Mae Pool 655127 | | | | | | | | | |
7.00% | | | 07/01/32 | | | | 37,116 | | | | 42,427 | |
| Fannie Mae Pool 655133 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 42,272 | | | | 48,345 | |
| Fannie Mae Pool 655151 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 43,289 | | | | 49,509 | |
| Fannie Mae Pool 754001 | | | | | | | | | |
2.76% | | | 12/01/33 | 2 | | | 404,681 | | | | 406,899 | |
| Fannie Mae Pool 762525 | | | | | | | | | |
6.50% | | | 11/01/33 | | | | 108,001 | | | | 118,842 | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.32% | | | 04/01/34 | 2 | | | 423,902 | | | | 449,401 | |
| Fannie Mae Pool 805268 | | | | | | | | | |
1.80% | | | 01/01/35 | 2 | | | 209,162 | | | | 213,183 | |
| Fannie Mae Pool 893489 | | | | | | | | | |
6.25% | | | 09/01/36 | 2 | | | 344,512 | | | | 371,215 | |
| Fannie Mae Pool AD0538 | | | | | | | | | |
6.00% | | | 05/01/24 | | | | 673,598 | | | | 727,986 | |
| Fannie Mae Pool AD0546 | | | | | | | | | |
5.92% | | | 11/01/37 | 2 | | | 278,564 | | | | 295,958 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae, Series 1988-12, Class A | | | | | | | | | |
3.98% | | | 02/25/18 | 2 | | $ | 77,475 | | | $ | 79,998 | |
| Fannie Mae, Series 1993-80, Class S | | | | | | | | | |
10.57% | | | 05/25/23 | 2 | | | 6,518 | | | | 7,442 | |
| Fannie Mae, Series 2000-27, Class AN | | | | | |
6.00% | | | 08/25/30 | | | | 9,351 | | | | 10,511 | |
| Fannie Mae, Series 2001-42, Class SB | | | | | |
8.50% | | | 09/25/31 | 2 | | | 4,827 | | | | 5,593 | |
| Fannie Mae, Series 2001-60, Class OF | | | | | |
1.18% | | | 10/25/31 | 2 | | | 720,661 | | | | 732,060 | |
| Fannie Mae, Series 2002-30, Class FB | | | | | |
1.24% | | | 08/25/31 | 2 | | | 1,018,443 | | | | 1,037,371 | |
| Fannie Mae, Series 2002-82, Class FP | | | | | |
0.74% | | | 02/25/32 | 2 | | | 495,722 | | | | 496,641 | |
| Fannie Mae, Series 2003-117, Class XF | | | | | |
0.58% | | | 08/25/33 | 2 | | | 982,420 | | | | 983,932 | |
| Fannie Mae, Series 2003-124, Class IO (IO) | | | | | |
5.25% | | | 03/25/31 | | | | 8,839 | | | | 45 | |
| Fannie Mae, Series 2003-124, Class TS | | | | | |
9.80% | | | 01/25/34 | 2 | | | 83,075 | | | | 101,524 | |
| Fannie Mae, Series 2003-134, Class FC | | | | | |
0.84% | | | 12/25/32 | 2 | | | 1,090,000 | | | | 1,108,669 | |
| Fannie Mae, Series 2003-37, Class IG (IO) | | | | | |
5.50% | | | 05/25/32 | | | | 65,039 | | | | 3,966 | |
| Fannie Mae, Series 2004-33, Class FM | | | | | |
1.02% | | | 03/25/31 | 2 | | | 633,427 | | | | 642,743 | |
| Fannie Mae, Series 2004-60, Class FW | | | | | |
0.68% | | | 04/25/34 | 2 | | | 860,592 | | | | 862,977 | |
| Fannie Mae, Series 2004-79, Class F | | | | | |
0.54% | | | 08/25/32 | 2 | | | 960,743 | | | | 961,019 | |
| Fannie Mae, Series 2004-83, Class HB | | | | | |
5.00% | | | 08/25/32 | | | | 1,204,441 | | | | 1,264,508 | |
| Fannie Mae, Series 2004-96, Class MT | | | | | |
7.00% | | | 12/25/34 | 2 | | | 92,511 | | | | 90,662 | |
| Fannie Mae, Series 2005-39, Class BN | | | | | |
4.55% | | | 06/25/28 | | | | 139,021 | | | | 139,360 | |
| Fannie Mae, Series 2007-65, Class PA | | | | | |
6.00% | | | 03/25/31 | | | | 183,909 | | | | 185,601 | |
| Fannie Mae, Series 2007-68, Class SC (IO) | | | | | |
6.46% | | | 07/25/37 | 2 | | | 1,536,333 | | | | 227,630 | |
| Fannie Mae, Series 2008-47, Class PF | | | | | |
0.74% | | | 06/25/38 | 2 | | | 746,564 | | | | 752,959 | |
| Fannie Mae, Series 2009-33, Class FB | | | | | |
1.06% | | | 03/25/37 | 2 | | | 1,050,120 | | | | 1,066,599 | |
| Fannie Mae, Series 2010-109, Class PF | | | | | |
0.64% | | | 10/25/40 | 2 | | | 823,535 | | | | 824,503 | |
| Fannie Mae, Series 2010-112, Class PI (IO) | | | | | |
6.00% | | | 10/25/40 | | | | 2,144,823 | | | | 406,738 | |
See accompanying notes to Schedule of Portfolio Investments.
16 / Semi-Annual Report September 2011
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2010-26, Class S (IO) | | | | | | | | | |
6.00% | | | 11/25/36 | 2 | | $ | 3,457,369 | | | $ | 473,396 | |
Fannie Mae, Series 2011-71, Class FB | | | | | | | | | |
0.74% | | | 05/25/37 | 2 | | | 984,610 | | | | 986,315 | |
Freddie Mac Gold Pool C90237 | | | | | | | | | |
6.50% | | | 11/01/18 | | | | 100,257 | | | | 110,924 | |
Freddie Mac Gold Pool C90474 | | | | | | | | | |
7.00% | | | 08/01/21 | | | | 142,452 | | | | 164,493 | |
Freddie Mac Gold Pool D93410 | | | | | | | | | |
6.50% | | | 04/01/19 | | | | 69,238 | | | | 76,605 | |
Freddie Mac Gold Pool G13107 | | | | | | | | | |
5.50% | | | 07/01/20 | | | | 847,135 | | | | 918,770 | |
Freddie Mac Gold Pool O30092 | | | | | | | | | |
5.50% | | | 10/01/15 | | | | 10,037 | | | | 10,610 | |
Freddie Mac Gold Pool P20295 | | | | | | | | | |
7.00% | | | 10/01/29 | | | | 59,568 | | | | 65,492 | |
Freddie Mac Non Gold Pool 1G2627 | | | | | | | | | |
5.97% | | | 03/01/37 | 2 | | | 365,983 | | | | 381,008 | |
Freddie Mac Non Gold Pool 1J1393 | | | | | | | | | |
4.26% | | | 10/01/36 | 2 | | | 403,312 | | | | 426,371 | |
Freddie Mac Non Gold Pool 1J1509 | | | | | | | | | |
6.40% | | | 11/01/36 | 2 | | | 385,593 | | | | 404,997 | |
Freddie Mac Non Gold Pool 1J1534 | | | | | | | | | |
5.69% | | | 03/01/37 | 2 | | | 662,890 | | | | 705,313 | |
Freddie Mac Non Gold Pool 775554 | | | | | | | | | |
3.14% | | | 10/01/18 | 2 | | | 4,999 | | | | 5,013 | |
Freddie Mac Non Gold Pool 782824 | | | | | | | | | |
2.24% | | | 11/01/34 | 2 | | | 540,762 | | | | 555,376 | |
Freddie Mac Non Gold Pool 865369 | | | | | | | | | |
3.72% | | | 06/01/22 | 2 | | | 3,259 | | | | 3,305 | |
Freddie Mac, Series 1214, Class KA | | | | | | | | | |
1.08% | | | 02/15/22 | 2 | | | 4,131 | | | | 4,132 | |
Freddie Mac, Series 1526, Class L | | | | | | | | | |
6.50% | | | 06/15/23 | | | | 20,010 | | | | 21,066 | |
Freddie Mac, Series 2043, Class CJ | | | | | | | | | |
6.50% | | | 04/15/28 | | | | 39,384 | | | | 45,699 | |
Freddie Mac, Series 2368, Class AF | | | | | | | | | |
1.18% | | | 10/15/31 | 2 | | | 672,703 | | | | 687,590 | |
Freddie Mac, Series 2527, Class TI (IO) | | | | | | | | | |
6.00% | | | 02/15/32 | | | | 51,002 | | | | 683 | |
Freddie Mac, Series 2561, Class BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 64,972 | | | | 960 | |
Freddie Mac, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 30,281 | | | | 3,142 | |
Freddie Mac, Series 2657, Class LX (IO) | | | | | | | | | |
6.00% | | | 05/15/18 | | | | 118,175 | | | | 6,986 | |
Freddie Mac, Series 2817, Class FA | | | | | | | | | |
0.73% | | | 06/15/32 | 2 | | | 769,626 | | | | 770,587 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac, Series 2877, Class MV | | | | | | | | | |
4.75% | | | 12/15/28 | | | $ | 127,753 | | | $ | 127,771 | |
Freddie Mac, Series 2906, Class NX (IO) | | | | | |
5.27% | | | 12/15/34 | 2 | | | 1,009,581 | | | | 10,096 | |
Freddie Mac, Series 2945, Class LD | | | | | | | | | |
4.00% | | | 02/15/35 | | | | 528,952 | | | | 548,295 | |
Freddie Mac, Series 2971, Class AB | | | | | | | | | |
5.00% | | | 05/15/20 | | | | 21,211 | | | | 22,941 | |
Freddie Mac, Series 3300, Class FA | | | | | | | | | |
0.53% | | | 08/15/35 | 2 | | | 1,096,324 | | | | 1,093,236 | |
Freddie Mac, Series 3325, Class NF | | | | | | | | | |
0.53% | | | 08/15/35 | 2 | | | 1,102,016 | | | | 1,098,911 | |
Freddie Mac, Series 3345, Class FP | | | | | | | | | |
0.43% | | | 11/15/36 | 2 | | | 306,033 | | | | 305,326 | |
Freddie Mac, Series 3345, Class PF | | | | | | | | | |
0.41% | | | 05/15/36 | 2 | | | 311,790 | | | | 310,925 | |
Freddie Mac, Series 3346, Class FA | | | | | | | | | |
0.46% | | | 02/15/19 | 2 | | | 784,612 | | | | 786,828 | |
Freddie Mac, Series 3626, Class MA | | | | | | | | | |
5.00% | | | 02/15/30 | | | | 839,825 | | | | 882,924 | |
Freddie Mac, Series 3895, Class BF | | | | | | | | | |
0.73% | | | 07/15/41 | 2 | | | 923,402 | | | | 924,476 | |
Ginnie Mae II Pool 80546 | | | | | | | | | |
2.00% | | | 10/20/31 | 2 | | | 34,767 | | | | 35,989 | |
Ginnie Mae II Pool 80610 | | | | | | | | | |
2.38% | | | 06/20/32 | 2 | | | 418,537 | | | | 434,559 | |
Ginnie Mae II Pool 80614 | | | | | | | | | |
2.62% | | | 07/20/32 | 2 | | | 54,727 | | | | 56,831 | |
Ginnie Mae II Pool 80687 | | | | | | | | | |
2.50% | | | 04/20/33 | 2 | | | 243,757 | | | | 253,343 | |
Ginnie Mae II Pool 8339 | | | | | | | | | |
2.12% | | | 12/20/23 | 2 | | | 63,155 | | | | 65,478 | |
Ginnie Mae II Pool 8684 | | | | | | | | | |
2.62% | | | 08/20/25 | 2 | | | 90,733 | | | | 94,222 | |
Government National Mortgage Association, Series 2002-72, Class FB | | | | | |
0.63% | | | 10/20/32 | 2 | | | 875,262 | | | | 879,837 | |
Government National Mortgage Association, Series 2002-72, Class FC | | | | | |
0.63% | | | 10/20/32 | 2 | | | 834,777 | | | | 839,141 | |
Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | |
5.50% | | | 02/20/32 | | | | 70,973 | | | | 2,515 | |
Government National Mortgage Association, Series 2004-2, Class FW | | | | | |
1.62% | | | 01/16/34 | 2 | | | 332,808 | | | | 351,032 | |
NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | |
0.75% | | | 03/09/21 | 2 | | | 1,638,986 | | | | 1,643,086 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 17
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| NCUA Guaranteed Notes, Series 2011-R3, Class 1A | | | | | |
0.62% | | | 03/11/20 | 2 | | $ | 1,089,703 | | | $ | 1,091,807 | |
| NCUA Guaranteed Notes, Series 2011-R4, Class 1A | | | | | |
0.60% | | | 03/06/20 | 2 | | | 1,034,314 | | | | 1,034,799 | |
| NCUA Guaranteed Notes, Series 2011-R5, Class 1A | | | | | |
0.60% | | | 04/06/20 | 2 | | | 971,796 | | | | 972,100 | |
| NCUA Guaranteed Notes, Series 2011-R6, Class 1A | | | | | |
0.60% | | | 05/07/20 | 2 | | | 972,609 | | | | 973,065 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 38,379,629 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $76,862,431) | | | | 70,219,315 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.99%* | |
Illinois — 0.99% | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
2.77% | | | 01/01/12 | | | | 190,000 | | | | 190,884 | |
4.03% | | | 03/01/14 | | | | 300,000 | | | | 309,198 | |
4.07% | | | 01/01/14 | | | | 400,000 | | | | 412,704 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $889,199) | | | | 912,786 | |
| | | | | | | | | | | | |
Total Bonds – 94.44% (Cost $94,000,217) | | | | 86,969,068 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 4.47% | |
Money Market Fund — 3.38% | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%7 | | | | | | | 106,000 | | | | 106,000 | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.09%7 | | | | | | | 621,000 | | | | 621,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%7 | | | | | | | 198,000 | | | | 198,000 | |
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | | | | | | | | | |
0.07%7 | | | | | | | 956,000 | | | | 956,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.10%7,8 | | | | | | | 1,235,000 | | | | 1,235,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,116,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 1.09% | |
Fannie Mae | | | | | | | | | | | | |
0.08%9 | | | 03/21/12 | | | | 1,000,000 | | | | 999,906 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $4,115,622) | | | | 4,115,906 | |
| | | | | | | | | | | | |
| | | | |
| | | Value | |
Total Investments – 98.91% (Cost $98,115,839)1 | | $ | 91,084,974 | |
| | | | |
Cash and Other Assets, Less Liabilities – 1.09% | | | 1,004,137 | |
| | | | |
| Net Assets – 100.00% | | $ | 92,089,111 | |
| | | | |
| | | | | | | | | | |
Expiration
Date | | Credit
Ratinga | | Premiums
(Received) | | Notional
Amount
(000’s)b | | Appreciation/
(Depreciation) | | Valuec |
| SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES |
The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc. |
| 09/20/12 | | A+ | | $(6,958) | | $1,150 | | $85 | | $(6,873) |
The Fund receives a fixed rate equal to 1.00% 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: UBS AG |
| 09/20/12 | | A+ | | (2,786) | | 275 | | (975) | | (3,761) |
| | | | $(9,744) | | $1,425 | | $(890) | | $(10,634) |
| | | | | | | | |
Expiration
Date | | Premiums
(Received) | | Notional
Amount
(000’s)b | | (Depreciation) | | 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 | | $(1,353,044) | | $2,332 | | $(157,756) | | $(1,510,800) |
| | $(1,353,044) | | $2,332 | | $(157,756) | | $(1,510,800) |
| 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 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 $98,140,579 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 1,258,051 | |
Gross unrealized depreciation | | | (8,313,656 | ) |
| | | | |
Net unrealized depreciation | | $ | (7,055,605 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
See accompanying notes to Schedule of Portfolio Investments.
18 / Semi-Annual Report September 2011
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| 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, 2011, was $4,174,602, representing 4.53% of total net assets. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | | |
Date of Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets |
02/04/09 | | HCA, Inc., Term Loan B3, 3.62%, 05/01/18 | | $ | 615,497 | | | $ | 603,704 | | | 0.66% |
| 6 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $49,174, which is 0.05% of total net assets. |
| 7 | Represents the current yield as of September 30, 2011. |
| 8 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,235,000. |
| 9 | Represents annualized yield at date of purchase. |
| * | 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 19
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 101.66% | | | | | | | | | |
| ASSET-BACKED SECURITIES — 5.72%** | |
| Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1 | | | | | | | | | |
0.49% | | | 06/14/37 | 2,3 | | $ | 6,266,371 | | | $ | 5,545,738 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | | | | | |
0.53% | | | 11/14/33 | 2,3,4 | | | 7,766,658 | | | | 6,834,659 | |
| Bayview Commercial Asset Trust, Series 2005-1A, Class A1 | | | | | | | | | |
0.54% | | | 04/25/35 | 2,3 | | | 983,169 | | | | 778,672 | |
| Bayview Commercial Asset Trust, Series 2005-2A, Class A1 | | | | | | | | | |
0.54% | | | 08/25/35 | 2,3 | | | 2,460,558 | | | | 1,902,045 | |
| Bayview Commercial Asset Trust, Series 2006-3A, Class A1 | | | | | | | | | |
0.48% | | | 10/25/36 | 2,3 | | | 4,494,617 | | | | 3,279,118 | |
| Bayview Commercial Asset Trust, Series 2007-1, Class A1 | | | | | | | | | |
0.46% | | | 03/25/37 | 2,3 | | | 129,240 | | | | 92,808 | |
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | | | | | | | | | |
0.48% | | | 07/25/37 | 2,3 | | | 615,400 | | | | 450,076 | |
| Brazos Higher Education Authority, Series 2010-1, Class A2 | | | | | | | | | |
1.51% | | | 02/25/35 | 2 | | | 2,370,000 | | | | 2,205,113 | |
| Castle Trust, Series 2003-1AW, Class A1 | | | | | | | | | |
0.98% | | | 05/15/27 | 2,3 | | | 2,402,773 | | | | 2,198,538 | |
| Discover Card Master Trust, Series 2009-A2, Class A | | | | | | | | | |
1.53% | | | 02/17/15 | 2 | | | 2,400,000 | | | | 2,418,842 | |
| GE Corporate Aircraft Financing LLC, Series 2005-1A, Class B | | | | | | | | | |
0.88% | | | 08/26/19 | 2,3 | | | 1,462,500 | | | | 1,345,500 | |
| GE Corporate Aircraft Financing LLC, Series 2005-1A, Class C | | | | | | | | | |
1.54% | | | 08/26/19 | 2,3 | | | 5,000,000 | | | | 4,525,000 | |
| GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados) | | | | | | | | | |
0.53% | | | 04/17/19 | 2,3,4 | | | 1,717,917 | | | | 1,671,665 | |
| GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados) | | | | | | | | | |
0.48% | | | 11/17/20 | 2,3,4 | | | 5,283,333 | | | | 5,075,243 | |
| Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda) | | | | | | | | | |
0.47% | | | 12/19/32 | 2,3,4 | | | 7,546,660 | | | | 6,661,106 | |
| Goal Capital Funding Trust, Series 2006-1, Class B | | | | | | | | | |
0.76% | | | 08/25/42 | 2 | | | 5,450,000 | | | | 4,525,266 | |
| Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS | | | | | | | | | |
7.24% | | | 12/15/22 | | | | 42,628 | | | | 28,425 | |
| GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands) | | | | | | | | | |
0.90% | | | 10/10/14 | 2,3,4 | | | 280,084 | | | | 273,782 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| Keycorp Student Loan Trust, Series 2002-A, Class 1A2 | | | | | | | | | |
0.51% | | | 08/27/31 | 2 | | $ | 5,513,848 | | | $ | 5,087,528 | |
| North Carolina State Education Authority 2011-1 A3 | | | | | | | | | |
1.15% | | | 10/25/41 | 2 | | | 6,500,000 | | | | 5,964,335 | |
| Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1 | | | | | | | | | |
0.35% | | | 04/28/30 | 2 | | | 5,605,000 | | | | 5,144,986 | |
| South Carolina Student Loan Corp., Series A2 | | | | | | | | | |
0.45% | | | 12/01/20 | 2 | | | 5,030,000 | | | | 4,745,215 | |
| TAL Advantage LLC 2006-1 NOTE | | | | | | | | | |
0.42% | | | 04/20/21 | 2,3 | | | 1,959,375 | | | | 1,784,879 | |
| TAL Advantage LLC, Series 2010-2A, Class A | | | | | | | | | |
4.30% | | | 10/20/25 | 3 | | | 3,229,125 | | | | 3,069,120 | |
| TAL Advantage LLC, Series 2011-1A, Class A | | | | | | | | | |
4.60% | | | 01/20/26 | 3 | | | 1,400,000 | | | | 1,402,280 | |
| Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda) | | | | | | | | | |
0.48% | | | 05/15/20 | 2,3,4 | | | 1,778,333 | | | | 1,655,184 | |
| Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda) | | | | | | | | | |
4.70% | | | 06/15/26 | 3,4 | | | 4,777,500 | | | | 4,812,374 | |
| Trip Rail Master Funding LLC, Series 2011-1A, Class A1A | | | | | | | | | |
8.00% | | | 07/06/14 | 3,5,† | | | 4,200,000 | | | | 4,199,978 | |
| Triton Container Finance LLC, Series 2006-1A NOTE | | | | | | | | | |
0.40% | | | 11/26/21 | 2,3 | | | 4,365,833 | | | | 3,982,606 | |
| Triton Container Finance LLC, Series 2007-1A NOTE | | | | | | | | | |
0.37% | | | 02/26/19 | 2,3 | | | 2,637,239 | | | | 2,454,538 | |
| US Education Loan Trust IV LLC, Series 2006-1, Class A4 | | | | | | | | | |
0.31% | | | 03/01/41 | 3,† | | | 7,175,000 | | | | 5,955,212 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $101,313,003) | | | | 100,069,831 | |
| | | | | | | | | | | | |
CORPORATES — 30.99%* | |
Automotive — 0.50% | |
| Daimler Finance North America LLC | | | | | | | | | |
1.54% | | | 09/13/13 | 2,3 | | | 1,800,000 | | | | 1,799,272 | |
1.88% | | | 09/15/14 | 3 | | | 7,000,000 | | | | 6,924,344 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,723,616 | |
| | | | | | | | | | | | |
Banking — 10.16% | |
| Abbey National Treasury Services Plc/London (United Kingdom) | | | | | | | | | |
1.83% | | | 04/25/14 | 2,4 | | | 9,405,000 | | | | 8,972,726 | |
| Ally Financial, Inc. | | | | | | | | | |
2.53% | | | 12/01/14 | 2 | | | 1,424,000 | | | | 1,352,800 | |
| Bank of America Corp. | | | | | | | | | |
6.50% | | | 08/01/16 | | | | 2,400,000 | | | | 2,385,744 | |
See accompanying notes to Schedule of Portfolio Investments.
20 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Banking (continued) | |
| Bank of America Corp., Series L (MTN) | | | | | | | | | |
5.65% | | | 05/01/18 | | | $ | 300,000 | | | $ | 285,243 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
0.65% | | | 06/15/17 | 2 | | | 2,500,000 | | | | 1,841,628 | |
6.10% | | | 06/15/17 | | | | 5,000,000 | | | | 4,661,515 | |
BankAmerica Capital III | | | | | | | | | |
0.82% | | | 01/15/27 | 2 | | | 2,881,000 | | | | 1,799,395 | |
| BankAmerica Institutional Capital A | | | | | | | | | |
8.07% | | | 12/31/26 | 3 | | | 5,250,000 | | | | 4,856,250 | |
Capital One Financial Corp. | | | | | | | | | |
7.38% | | | 05/23/14 | | | | 5,000,000 | | | | 5,588,330 | |
City National Corp./CA | | | | | | | | | |
5.12% | | | 02/15/13 | | | | 8,000,000 | | | | 8,202,224 | |
| Commonwealth Bank of Australia (Australia) | | | | | | | | | |
2.12% | | | 03/17/14 | 3,4 | | | 10,000,000 | | | | 10,051,217 | |
| Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | | | | | |
0.98% | | | 05/29/49 | 2,4 | | | 8,390,000 | | | | 5,486,389 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
3.45% | | | 07/02/12 | 4 | | | 1,825,000 | | | | 1,854,039 | |
5.00% | | | 05/15/13 | 4 | | | 11,000,000 | | | | 11,373,208 | |
| Deutsche Bank AG/London, Series G (MTN) (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 4 | | | 7,640,000 | | | | 7,898,645 | |
| HSBC Bank Plc (United Kingdom) | | | | | | | | | |
1.05% | | | 01/17/14 | 2,3,4 | | | 10,000,000 | | | | 10,000,657 | |
| JPMorgan Chase & Co. | | | | | | | | | |
3.45% | | | 03/01/16 | | | | 5,300,000 | | | | 5,305,459 | |
4.75% | | | 05/01/13 | | | | 30,000 | | | | 31,553 | |
| JPMorgan Chase & Co., Series C (MTN) | | | | | | | | | |
0.00% | | | 07/23/13 | 2 | | | 1,500,000 | | | | 1,485,450 | |
JPMorgan Chase Bank N.A. | | | | | | | | | |
0.67% | | | 06/13/16 | 2 | | | 4,250,000 | | | | 3,922,537 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
6.00% | | | 10/01/17 | | | | 12,700,000 | | | | 13,368,338 | |
| Lloyds TSB Bank Plc (United Kingdom) | | | | | | | | | |
4.88% | | | 01/21/16 | 4 | | | 10,380,000 | | | | 10,132,501 | |
| National Australia Bank Ltd., Series REGS (Australia) | | | | | | | | | |
0.97% | | | 04/11/14 | 2,4 | | | 8,775,000 | | | | 8,746,130 | |
Nationsbank Cap Trust III | | | | | | | | | |
0.80% | | | 01/15/27 | 2 | | | 7,650,000 | | | | 4,742,472 | |
NB Capital Trust II | | | | | | | | | |
7.83% | | | 12/15/26 | | | | 3,200,000 | | | | 2,892,000 | |
| Royal Bank of Scotland Plc (United Kingdom) | | | | | | | | | |
4.88% | | | 03/16/15 | 4 | | | 7,117,000 | | | | 6,973,799 | |
| Royal Bank of Scotland Plc , Series 2 (United Kingdom) | | | | | | | | | |
3.40% | | | 08/23/13 | 4 | | | 1,750,000 | | | | 1,742,720 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Banking (continued) | |
| UBS AG/Stamford CT (BKNT) (Switzerland) | | | | | | | | | |
2.25% | | | 08/12/13 | 4 | | $ | 5,750,000 | | | $ | 5,649,438 | |
| Union Bank NA (BKNT) | | | | | | | | | |
3.00% | | | 06/06/16 | | | | 10,000,000 | | | | 9,977,807 | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | | 5,655,000 | | | | 6,011,587 | |
| Westpac Banking Corp. (Australia) | | | | | | | | | |
1.10% | | | 03/31/14 | 2,3,4 | | | 5,000,000 | | | | 5,006,177 | |
2.10% | | | 08/02/13 | 4 | | | 5,000,000 | | | | 5,073,780 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 177,671,758 | |
| | | | | | | | | | | | |
| Communications — 2.70% | | | | | | | | | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
8.00% | | | 04/30/12 | 3 | | | 8,870,000 | | | | 9,113,925 | |
CSC Holdings LLC | | | | | | | | | |
8.50% | | | 04/15/14 | | | | 13,005,000 | | | | 14,094,169 | |
8.50% | | | 06/15/15 | | | | 205,000 | | | | 216,787 | |
| iPCS, Inc. | | | | | | | | | |
2.38% | | | 05/01/13 | 2 | | | 9,970,000 | | | | 9,122,550 | |
| Nextel Communications, Inc., Series C | | | | | | | | | |
5.95% | | | 03/15/14 | | | | 1,000,000 | | | | 940,000 | |
| Nextel Communications, Inc., Series E | | | | | | | | | |
6.88% | | | 10/31/13 | | | | 5,000,000 | | | | 4,887,500 | |
| Qwest Communications International, Inc., Series B | | | | | | | | | |
7.50% | | | 02/15/14 | | | | 7,270,000 | | | | 7,288,175 | |
| Windstream Corp. | | | | | | | | | |
8.62% | | | 08/01/16 | | | | 1,514,000 | | | | 1,578,345 | |
| | | | | | | | | | | | |
| | | | | | | | 47,241,451 | |
| | | | | | | | | | | | |
| Consumer Discretionary — 0.26% | |
| Anheuser-Busch InBev Worldwide, Inc., Series FRN | | | | | | | | | |
0.80% | | | 01/27/14 | 2 | | | 4,550,000 | | | | 4,586,062 | |
| | | | | | | | | | | | |
| Electric — 1.01% | | | | | | | | | |
| Calpine Construction Finance Co. LP and CCFC Finance Corp. | | | | | | | | | |
8.00% | | | 06/01/16 | 3 | | | 340,000 | | | | 350,200 | |
Cedar Brakes I LLC | | | | | | | | | |
8.50% | | | 02/15/14 | 3 | | | 1,358,780 | | | | 1,438,012 | |
Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 3 | | | 3,445,882 | | | | 3,636,168 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.12% | | | 03/25/19 | 3 | | | 85,172 | | | | 83,190 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 7,149,000 | | | | 7,689,972 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 21
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Electric (continued) | |
| Mirant Mid Atlantic Pass Through Trust A, Series A | | | | | | | | | |
8.62% | | | 06/30/12 | | | $ | 993,451 | | | $ | 997,176 | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | | 3,558,343 | | | | 3,564,726 | |
| | | | | | | | | | | | |
| | | | | | | | 17,759,444 | |
| | | | | | | | | | | | |
| Energy — 2.05% | |
| El Paso Pipeline Partners | | | | | | | | | |
4.10% | | | 11/15/15 | | | | 3,000,000 | | | | 3,054,792 | |
| Florida Gas Transmission Co LLC | | | | | | | | | |
4.00% | | | 07/15/15 | 3 | | | 3,500,000 | | | | 3,704,390 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 4,6,7 | | | 250,000 | | | | 156,250 | |
| Panhandle Eastern Pipeline Co. LP | | | | | | | | | |
6.05% | | | 08/15/13 | | | | 2,375,000 | | | | 2,541,768 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 14,045,000 | | | | 13,658,763 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 2 | | | 3,000,000 | | | | 2,550,000 | |
| Tennessee Gas Pipeline Co. | | | | | | | | | |
8.00% | | | 02/01/16 | | | | 8,673,000 | | | | 10,118,234 | |
| | | | | | | | | | | | |
| | | | | | | | 35,784,197 | |
| | | | | | | | | | | | |
| Finance — 7.88% | | | | | | | | | |
| Cantor Fitzgerald LP | | | | | | | | | |
6.38% | | | 06/26/15 | 3 | | | 3,675,000 | | | | 3,614,416 | |
| Chase Capital II, Series B | | | | | | | | | |
0.75% | | | 02/01/27 | 2 | | | 6,655,000 | | | | 5,258,991 | |
| CIT Group, Inc. | | | | | | | | | |
5.25% | | | 04/01/14 | 3 | | | 4,295,000 | | | | 4,066,828 | |
7.00% | | | 05/01/14 | | | | 1,759,941 | | | | 1,795,140 | |
7.00% | | | 05/01/15 | 3 | | | 4,375,000 | | | | 4,347,656 | |
| Citigroup, Inc. | | | | | | | | | |
1.14% | | | 02/15/13 | 2 | | | 1,000,000 | | | | 976,044 | |
5.30% | | | 10/17/12 | | | | 1,424,000 | | | | 1,459,691 | |
5.50% | | | 04/11/13 | | | | 11,034,000 | | | | 11,360,595 | |
5.50% | | | 10/15/14 | | | | 3,510,000 | | | | 3,649,249 | |
6.38% | | | 08/12/14 | | | | 10,500,000 | | | | 11,127,787 | |
| General Electric Capital Corp. | | | | | | | | | |
1.88% | | | 09/16/13 | | | | 2,200,000 | | | | 2,213,534 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.49% | | | 06/20/14 | 2 | | | 3,500,000 | | | | 3,355,954 | |
0.65% | | | 05/05/26 | 2 | | | 6,300,000 | | | | 5,062,598 | |
| General Electric Capital Corp., Series A (MTN) | | | | | | | | | |
0.61% | | | 09/15/14 | 2 | | | 10,169,000 | | | | 9,731,835 | |
| General Electric Capital Corp., Series E (MTN) | | | | | | | | | |
0.43% | | | 03/20/14 | 2 | | | 5,500,000 | | | | 5,397,244 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Finance (continued) | | | | | | | | | |
| Goldman Sachs Group, Inc. | |
0.75% | | | 01/12/15 | 2 | | $ | 1,900,000 | | | $ | 1,760,612 | |
0.80% | | | 03/22/16 | 2 | | | 800,000 | | | | 686,818 | |
1.27% | | | 02/07/14 | 2 | | | 4,000,000 | | | | 3,804,849 | |
3.62% | | | 02/07/16 | | | | 1,000,000 | | | | 971,743 | |
5.12% | | | 01/15/15 | | | | 583,000 | | | | 602,328 | |
5.45% | | | 11/01/12 | | | | 1,750,000 | | | | 1,795,430 | |
6.15% | | | 04/01/18 | | | | 3,500,000 | | | | 3,631,800 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 3 | | | 9,700,000 | | | | 9,651,500 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.32% | | | 09/30/34 | 2 | | | 2,465,000 | | | | 1,921,810 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.21% | | | 02/02/37 | 2 | | | 3,250,000 | | | | 2,342,303 | |
| MBNA Capital A, Series A | | | | | | | | | |
8.28% | | | 12/01/26 | | | | 1,074,000 | | | | 1,002,847 | |
| MBNA Capital B, Series B | | | | | | | | | |
1.05% | | | 02/01/27 | 2 | | | 2,891,000 | | | | 1,878,125 | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
8.68% | | | 05/02/17 | 2 | | | 30,000 | | | | 32,513 | |
8.95% | | | 05/18/17 | 2 | | | 30,000 | | | | 32,737 | |
9.57% | | | 06/06/17 | 2 | | | 5,184,000 | | | | 5,773,680 | |
| Morgan Stanley | | | | | | | | | |
0.73% | | | 10/15/15 | 2 | | | 2,830,000 | | | | 2,392,207 | |
2.88% | | | 01/24/14 | | | | 5,500,000 | | | | 5,299,553 | |
3.80% | | | 04/29/16 | | | | 3,800,000 | | | | 3,513,903 | |
4.20% | | | 11/20/14 | | | | 750,000 | | | | 734,010 | |
6.00% | | | 05/13/14 | | | | 1,325,000 | | | | 1,347,552 | |
| Morgan Stanley, Series G (MTN) | |
0.55% | | | 01/09/14 | 2 | | | 1,405,000 | | | | 1,274,411 | |
| Power Receivable Finance LLC | |
6.29% | | | 01/01/12 | 3 | | | 233,744 | | | | 234,102 | |
6.29% | | | 01/01/12 | | | | 245,348 | | | | 245,603 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.22% | | | 12/18/17 | 2,3 | | | 10,665,000 | | | | 10,163,254 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.71% | | | 04/08/49 | 2,3,5 | | | 595,000 | | | | 202,300 | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.71% | | | 04/08/49 | 2,3,5 | | | 700,000 | | | | 238,000 | |
| Woodbourne Capital Trust IV | | | | | | | | | |
2.71% | | | 04/08/49 | 2,3,5 | | | 1,000,000 | | | | 340,000 | |
| ZFS Finance USA Trust IV | | | | | | | | | |
5.88% | | | 05/09/32 | 2,3 | | | 2,575,000 | | | | 2,462,344 | |
| | | | | | | | | | | | |
| | | | | | | | 137,753,896 | |
| | | | | | | | | | | | |
| Health Care — 0.56% | |
| Boston Scientific Corp. | | | | | | | | | |
5.45% | | | 06/15/14 | | | | 1,653,000 | | | | 1,779,549 | |
See accompanying notes to Schedule of Portfolio Investments.
22 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Health Care (continued) | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | $ | 250,000 | | | $ | 245,000 | |
| UnitedHealth Group, Inc. | | | | | | | | | |
4.88% | | | 02/15/13 | | | | 7,348,000 | | | | 7,713,548 | |
| | | | | | | | | | | | |
| | | | | | | | 9,738,097 | |
| | | | | | | | | | | | |
| Insurance — 1.71% | |
| Berkshire Hathaway, Inc. | | | | | | | | | |
0.71% | | | 02/11/13 | 2 | | | 5,475,000 | | | | 5,487,571 | |
0.99% | | | 08/15/14 | 2 | | | 785,000 | | | | 786,445 | |
2.20% | | | 08/15/16 | | | | 1,010,000 | | | | 1,016,329 | |
| Farmers Exchange Capital | | | | | | | | | |
7.20% | | | 07/15/48 | 3 | | | 444,000 | | | | 519,615 | |
| Farmers Insurance Exchange | | | | | | | | | |
6.00% | | | 08/01/14 | 3 | | | 6,835,000 | | | | 7,463,927 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
2.88% | | | 09/17/12 | 3 | | | 2,810,000 | | | | 2,843,090 | |
5.12% | | | 04/10/13 | 3 | | | 4,550,000 | | | | 4,777,509 | |
5.12% | | | 06/10/14 | 3 | | | 3,230,000 | | | | 3,490,803 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 2,3 | | | 3,550,000 | | | | 3,487,655 | |
| | | | | | | | | | | | |
| | | | | | | | 29,872,944 | |
| | | | | | | | | | | | |
| Real Estate Investment Trust (REIT) — 3.86% | |
| AvalonBay Communities, Inc. (MTN) | | | | | | | | | |
6.12% | | | 11/01/12 | | | | 1,057,000 | | | | 1,106,286 | |
| Duke Realty LP | | | | | | | | | |
5.88% | | | 08/15/12 | | | | 956,000 | | | | 976,858 | |
6.25% | | | 05/15/13 | | | | 9,000,000 | | | | 9,401,463 | |
| HCP, Inc. | |
6.00% | | | 01/30/17 | | | | 930,000 | | | | 980,300 | |
6.45% | | | 06/25/12 | | | | 4,000,000 | | | | 4,116,756 | |
| HCP, Inc. (MTN) | | | | | | | | | |
6.30% | | | 09/15/16 | | | | 7,600,000 | | | | 8,140,033 | |
| HCP, Inc., Series E (MTN) | | | | | | | | | |
6.00% | | | 06/15/14 | | | | 4,985,000 | | | | 5,320,347 | |
| Health Care REIT, Inc. | | | | | | | | | |
3.62% | | | 03/15/16 | | | | 3,000,000 | | | | 2,941,737 | |
4.70% | | | 09/15/17 | | | | 10,185,000 | | | | 10,225,088 | |
| Healthcare Realty Trust, Inc. | |
5.12% | | | 04/01/14 | | | | 1,960,000 | | | | 2,024,336 | |
6.50% | | | 01/17/17 | | | | 2,375,000 | | | | 2,568,682 | |
| Kimco Realty Corp., Series C (MTN) | | | | | | | | | |
5.19% | | | 10/01/13 | | | | 6,000,000 | | | | 6,251,671 | |
| Liberty Property LP | | | | | | | | | |
5.12% | | | 03/02/15 | | | | 5,305,000 | | | | 5,764,190 | |
6.38% | | | 08/15/12 | | | | 1,645,000 | | | | 1,700,969 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Real Estate Investment Trust (REIT) (continued) | |
| WEA Finance LLC/WT Finance Aust Pty Ltd. | | | | | | | | | |
7.50% | | | 06/02/14 | 3 | | $ | 5,490,000 | | | $ | 6,069,024 | |
| | | | | | | | | | | | |
| | | | | | | | 67,587,740 | |
| | | | | | | | | | | | |
| Services — 0.02% | |
| Mobile Mini, Inc. | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 375,000 | | | | 369,375 | |
| | | | | | | | | | | | |
| Transportation — 0.28% | | | | | | | | | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 167,734 | | | | 171,508 | |
| UAL Pass-Through Trust, Series 2009-1 | |
10.40% | | | 11/01/16 | | | | 4,333,778 | | | | 4,669,645 | |
| | | | | | | | | | | | |
| | | | 4,841,153 | |
| | | | | | | | | | | | |
Total Corporates (Cost $540,882,344) | | | | | | | | 541,929,733 | |
| | | | | | | | | | | | |
| BANK LOANS — 0.69%* | |
| Communications — 0.06% | | | | | | | | | |
| Cengage Learning Acquisitions, Inc., Term Loan | | | | | | | | | |
2.49% | | | 07/03/14 | 2,8 | | | 720,000 | | | | 571,372 | |
| Dex Media West LLC, Term Loan | | | | | | | | | |
7.00% | | | 10/24/14 | 2,8 | | | 674,720 | | | | 462,184 | |
| | | | | | | | | | | | |
| | | | 1,033,556 | |
| | | | | | | | | | | | |
| Electric — 0.02% | | | | | | | | | |
| Texas Competitive Electric Holdings Co. LLC | | | | | | | | | |
| 3.73% | | | 10/10/14 | 2,8 | | | 465,072 | | | | 330,007 | |
| | | | | | | | | | | | |
| Gaming — 0.29% | |
| Caesars Entertainment Operating Co., Inc., Term Loan B2 | | | | | | | | | |
3.25% | | | 01/28/15 | 2,8 | | | 6,000,000 | | | | 5,044,998 | |
| | | | | | | | | | | | |
| Health Care — 0.32% | | | | | | | | | |
| HCA, Inc., Term Loan B3 | |
| 3.62% | | | 05/01/18 | 2,8 | | | 6,081,382 | | | | 5,730,754 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $13,127,522) | | | | 12,139,315 | |
| | | | | | | | | | | | |
| MORTGAGE-BACKED — 60.16%** | | | | | | | | | |
| Commercial Mortgage-Backed — 7.93% | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3 | | | | | | | | | |
5.12% | | | 07/11/43 | | | | 2,962,470 | | | | 2,985,275 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4 | | | | | | | | | |
6.19% | | | 06/11/35 | | | | 7,012,934 | | | | 7,031,683 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 23
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-5, Class A4 | | | | | | | | | |
5.12% | | | 10/10/45 | 2 | | $ | 3,810,000 | | | $ | 4,148,147 | |
| Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2 | | | | | | | | | |
4.72% | | | 11/11/35 | 2 | | | 6,121,089 | | | | 6,225,980 | |
| Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4 | | | | | | | | | |
4.68% | | | 08/13/39 | 2 | | | 7,195,000 | | | | 7,525,157 | |
| Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 2 | | | 7,620,000 | | | | 8,351,710 | |
| Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AAB | | | | | | | | | |
5.75% | | | 09/11/42 | | | | 5,247,000 | | | | 5,642,695 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2 | | | | | | | | | |
5.18% | | | 11/15/36 | | | | 7,408,553 | | | | 7,548,463 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 9,356,655 | | | | 9,508,078 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-C5, Class A2 | | | | | | | | | |
4.18% | | | 11/15/37 | | | | 1,313,799 | | | | 1,312,775 | |
| DBRR Trust, Series 2011-LC2, Class A4A | | | | | | | | | |
4.54% | | | 04/12/21 | 3 | | | 3,480,000 | | | | 3,636,600 | |
| GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3 | | | | | | | | | |
6.27% | | | 12/10/35 | | | | 2,282,755 | | | | 2,305,542 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2001-C2, Class A2 | | | | | | | | | |
6.70% | | | 04/15/34 | | | | 469,765 | | | | 469,086 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2004-C1, Class A4 | | | | | | | | | |
4.91% | | | 03/10/38 | | | | 410,000 | | | | 433,365 | |
| Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 2 | | | 9,050,000 | | | | 9,593,643 | |
| Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 | | | | | | | | | |
6.07% | | | 07/10/38 | 2 | | | 6,080,000 | | | | 6,568,890 | |
| GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4 | | | | | | | | | |
3.71% | | | 08/10/44 | 2 | | | 8,850,000 | | | | 8,829,441 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3 | | | | | | | | | |
6.46% | | | 11/15/35 | | | | 1,484,607 | | | | 1,482,984 | |
| Merrill Lynch Mortgage Trust, Series 2002-MW1, Class A4 | | | | | | | | | |
5.62% | | | 07/12/34 | | | | 6,814,962 | | | | 6,902,003 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
| Commercial Mortgage-Backed (continued) | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 2 | | $ | 4,840,000 | | | $ | 5,180,586 | |
| Morgan Stanley Capital I, Series 2001-C3, Class A2 | | | | | | | | | |
3.22% | | | 08/15/49 | | | | 2,020,000 | | | | 2,047,129 | |
| Morgan Stanley Capital I, Series 2005-T19, Class A4A | | | | | | | | | |
4.89% | | | 06/12/47 | | | | 405,000 | | | | 441,519 | |
| Morgan Stanley Capital I, Series 2006-T23, Class A4 | | | | | | | | | |
5.99% | | | 08/12/41 | 2 | | | 7,265,000 | | | | 8,199,971 | |
| Morgan Stanley Capital I, Series 2007-IQ16, Class A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 2,570,000 | | | | 2,771,652 | |
| Morgan Stanley Capital I, Series 2007-T27, Class A4 | | | | | | | | | |
5.80% | | | 06/11/42 | 2 | | | 265,000 | | | | 297,281 | |
| Morgan Stanley Dean Witter Capital I, Series 2001-TOP3, Class A4 | | | | | | | | | |
6.39% | | | 07/15/33 | | | | 327,771 | | | | 327,584 | |
| TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3 | | | | | | | | | |
5.95% | | | 08/15/39 | 2 | | | 10,500,000 | | | | 11,377,522 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2002-C1, Class A4 | | | | | | | | | |
6.29% | | | 04/15/34 | | | | 7,490,972 | | | | 7,570,253 | |
| | | | | | | | | | | | |
| | | | | | | | 138,715,014 | |
| | | | | | | | | | | | |
| Non-Agency Mortgage-Backed — 23.32% | |
| Accredited Mortgage Loan Trust, Series 2007-1, Class A4 | | | | | | | | | |
0.46% | | | 02/25/37 | 2 | | | 12,000,000 | | | | 5,026,758 | |
| Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
3.01% | | | 05/25/35 | 2 | | | 9,543,552 | | | | 7,053,261 | |
| American Home Mortgage Assets, Series 2007-2, Class A1 | | | | | | | | | |
0.36% | | | 03/25/47 | 2 | | | 18,925,910 | | | | 10,011,212 | |
| American Home Mortgage Assets, Series 2007-4, Class A2 | | | | | | | | | |
0.42% | | | 08/25/37 | 2 | | | 17,282,445 | | | | 11,966,383 | |
| American Home Mortgage Investment Trust, Series 2004-2, Class 2A | | | | | | | | | |
2.29% | | | 02/25/44 | 2 | | | 12,303,078 | | | | 9,957,240 | |
| Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP) | | | | | | | | | |
7.57% | | | 10/25/27 | | | | 34,777 | | | | 36,059 | |
| Banc of America Funding Corp., Series 2007-5, Class 3A1 | | | | | | | | | |
6.00% | | | 07/25/37 | | | | 7,988,164 | | | | 5,894,038 | |
See accompanying notes to Schedule of Portfolio Investments.
24 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Banc of America Funding Corp., Series 2007-8, Class 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | $ | 8,131,611 | | | $ | 5,458,430 | |
| Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 06/30/20 | 3,4,5 | | | 138,976 | | | | 10,771 | |
| BCAP LLC Trust, Series 2011-RR5, Class 2A3 | | | | | | | | | |
4.98% | | | 06/26/37 | 2,3 | | | 9,391,436 | | | | 8,739,775 | |
| Bear Stearns Asset Backed Securities Trust, Series 2000-2, Class M2 (STEP) | | | | | | | | | |
8.28% | | | 08/25/30 | | | | 1,974,825 | | | | 1,917,660 | |
| Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 2A1 | | | | | | | | | |
0.44% | | | 11/25/36 | 2 | | | 11,767,506 | | | | 6,288,031 | |
| Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1 | | | | | | | | | |
0.44% | | | 06/25/37 | 2 | | | 14,578,400 | | | | 8,395,700 | |
| BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina) | | | | | | | | | |
8.00% | | | 01/31/20 | 3,4,5 | | | 9,000 | | | | 90 | |
| Carrington Mortgage Loan Trust, Series 2004-NC2, Class M1 | | | | | | | | | |
1.27% | | | 08/25/34 | 2 | | | 218,633 | | | | 138,463 | |
| Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3 | | | | | | | | | |
0.50% | | | 02/25/37 | 2 | | | 14,875,000 | | | | 5,225,796 | |
| CC Mortgage Funding Corp., Series 2005-2A, Class A1 | | | | | | | | | |
0.42% | | | 05/25/36 | 2,3 | | | 2,864,343 | | | | 1,686,638 | |
| CC Mortgage Funding Corp., Series 2005-AA, Class B2 | | | | | | | | | |
0.86% | | | 01/25/36 | 2,3 | | | 670,382 | | | | 203,668 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 2M1 | | | | | | | | | |
1.14% | | | 02/25/32 | 2 | | | 736,243 | | | | 375,555 | |
| Chase Mortgage Finance Corp., Series 2005-A1, Class 2A3 | | | | | | | | | |
2.92% | | | 12/25/35 | 2 | | | 840,000 | | | | 683,788 | |
| Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3 | | | | | | | | | |
2.86% | | | 07/25/37 | 2 | | | 9,416,039 | | | | 8,260,061 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.04% | | | 02/25/34 | 2 | | | 385,095 | | | | 338,314 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B | | | | | | | | | |
0.16% | | | 09/25/36 | 2 | | | 6,477,809 | | | | 3,013,109 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A2 | | | | | | | | | |
0.34% | | | 01/25/37 | 2 | | | 101,792 | | | | 98,660 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.42% | | | 03/25/37 | 2 | | $ | 150,000 | | | $ | 106,428 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C | | | | | | | | | |
1.54% | | | 07/25/37 | 2 | | | 90,000 | | | | 40,883 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 8,456,363 | | | | 9,227,039 | |
| Conseco Finance, Series 2001-D, Class A5 | | | | | | | | | |
6.69% | | | 11/15/32 | 2 | | | 277,336 | | | | 280,125 | |
| Conseco Financial Corp., Series 1994-1, Class A5 | | | | | | | | | |
7.65% | | | 04/15/19 | | | | 250,791 | | | | 265,874 | |
| Conseco Financial Corp., Series 1996-1, Class M1 | | | | | | | | | |
7.00% | | | 03/15/27 | 2 | | | 9,109,756 | | | | 9,712,226 | |
| Conseco Financial Corp., Series 1997-2, Class A7 | | | | | | | | | |
7.62% | | | 06/15/28 | 2 | | | 4,712,684 | | | | 5,233,811 | |
| Conseco Financial Corp., Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 2 | | | 2,541,071 | | | | 2,821,136 | |
| Conseco Financial Corp., Series 1997-7, Class A9 | | | | | | | | | |
7.37% | | | 07/15/29 | 2 | | | 7,248,844 | | | | 8,045,692 | |
| Conseco Financial Corp., Series 1998-2, Class A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 2 | | | 28,385 | | | | 29,808 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1 | | | | | | | | | |
1.59% | | | 08/25/35 | 2 | | | 2,171,431 | | | | 1,161,573 | |
| Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 | | | | | | | | | |
0.54% | | | 11/20/35 | 2 | | | 9,108,306 | | | | 5,170,781 | |
| Countrywide Alternative Loan Trust, Series 2005-72, Class A1 | | | | | | | | | |
0.50% | | | 01/25/36 | 2 | | | 761,876 | | | | 483,462 | |
| Countrywide Alternative Loan Trust, Series 2006-46, Class A4 | | | | | | | | | |
6.00% | | | 02/25/47 | | | | 5,839,149 | | | | 3,818,596 | |
| Countrywide Alternative Loan Trust, Series 2006-OA12, Class A2 | | | | | | | | | |
0.44% | | | 09/20/46 | 2 | | | 4,561,263 | | | | 1,888,528 | |
| Countrywide Asset-Backed Certificates, Series 2007-11, Class 2A1 | | | | | | | | | |
0.30% | | | 06/25/47 | 2 | | | 144,141 | | | | 141,741 | |
| Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A | | | | | | | | | |
0.46% | | | 09/25/37 | 2 | | | 2,743,619 | | | | 2,660,536 | |
| Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A1 | | | | | | | | | |
0.32% | | | 10/25/47 | 2 | | | 135,739 | | | | 132,338 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 25
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
5.02% | | | 08/25/34 | 2 | | $ | 91,921 | | | $ | 87,771 | |
| Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4 | | | | | | | | | |
5.50% | | | 03/25/37 | | | | 5,000,000 | | | | 4,355,413 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP) | | | | | | | | | |
5.54% | | | 11/25/35 | | | | 1,460,427 | | | | 1,388,300 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP) | | | | | | | | | |
5.24% | | | 01/25/36 | | | | 2,696,580 | | | | 1,570,525 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A4 | | | | | | | | | |
0.46% | | | 11/25/36 | 2 | | | 6,000,000 | | | | 2,231,815 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP) | | | | | | | | | |
5.50% | | | 02/25/37 | | | | 20,580,000 | | | | 13,204,169 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | | | | | |
0.30% | | | 04/25/37 | 2 | | | 6,470,322 | | | | 4,589,684 | |
| Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR2, Class 2A1A | | | | | | | | | |
0.44% | | | 03/19/45 | 2 | | | 3,404,583 | | | | 2,243,695 | |
| Downey Savings & Loan Association Mortgage Loan Trust, Series 2006-AR1, Class 2A1A | | | | | | | | | |
1.18% | | | 04/19/47 | 2 | | | 78,467 | | | | 44,980 | |
| First Alliance Mortgage Loan Trust, Series 1994-3, Class A1 | | | | | | | | | |
7.82% | | | 10/25/25 | | | | 1,197 | | | | 1,132 | |
| First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1 | | | | | | | | | |
2.20% | | | 09/25/34 | 2 | | | 33,488 | | | | 28,430 | |
| GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1 | | | | | | | | | |
0.68% | | | 06/25/30 | 2 | | | 1,232,389 | | | | 715,166 | |
| Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1 | | | | | | | | | |
7.53% | | | 01/15/29 | | | | 2,061,225 | | | | 2,019,229 | |
| GSAA Trust, Series 2006-9, Class A4A | | | | | | | | | |
0.48% | | | 06/25/36 | 2 | | | 11,493,978 | | | | 5,010,276 | |
| Harborview Mortgage Loan Trust, Series 2006-3, Class 2A1A | | | | | | | | | |
5.50% | | | 06/19/36 | 2 | | | 2,596,110 | | | | 1,393,811 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| HSBC Home Equity Loan Trust, Series 2005-3, Class M1 | | | | | | | | | |
0.65% | | | 01/20/35 | 2 | | $ | 3,479,540 | | | $ | 3,007,631 | |
| HSBC Home Equity Loan Trust, Series 2006-3, Class A4 | | | | | | | | | |
0.47% | | | 03/20/36 | 2 | | | 8,680,000 | | | | 6,928,519 | |
| HSBC Home Equity Loan Trust, Series 2007-1, Class AS | | | | | | | | | |
0.43% | | | 03/20/36 | 2 | | | 8,635,560 | | | | 7,433,749 | |
| Impac CMB Trust, Series 2005-5, Class A1 | | | | | | | | | |
0.56% | | | 08/25/35 | 2 | | | 4,834,715 | | | | 3,345,427 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | | | | | |
0.62% | | | 12/25/34 | 2 | | | 579,369 | | | | 325,525 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | | | | | |
0.64% | | | 11/25/34 | 2 | | | 2,094,303 | | | | 1,340,637 | |
| JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP) | | | | | | | | | |
2.94% | | | 10/25/35 | | | | 2,453,160 | | | | 2,235,264 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF2 (STEP) | | | | | | | | | |
5.45% | | | 10/25/36 | | | | 6,134,633 | | | | 6,132,474 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH2, Class AF2 (STEP) | | | | | | | | | |
5.48% | | | 01/25/37 | | | | 14,905,061 | | | | 11,436,282 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A2 | | | | | | | | | |
0.28% | | | 05/25/37 | 2 | | | 1,381,614 | | | | 1,323,113 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AV4 | | | | | | | | | |
0.52% | | | 03/25/47 | 2 | | | 50,000 | | | | 17,647 | |
| JPMorgan Mortgage Trust, Series 2005-A3, Class 5A3 | | | | | | | | | |
2.82% | | | 06/25/35 | 2 | | | 124,810 | | | | 95,600 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2 | | | | | | | | | |
2.86% | | | 07/25/35 | 2 | | | 1,543,561 | | | | 1,403,560 | |
| Lake Country Mortgage Loan Trust, Series 2006-HE1, Class M5 | | | | | | | | | |
2.24% | | | 07/25/34 | 3 | | | 4,716,000 | | | | 2,027,880 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3 | | | | | | | | | |
4.35% | | | 05/15/14 | | | | 6,232,663 | | | | 6,236,558 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | | | | | |
5.27% | | | 09/15/18 | | | | 5,167,457 | | | | 5,401,374 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC | | | | | | | | | |
0.55% | | | 05/15/41 | 2,5 | | | 309,241,427 | | | | 4,597,214 | |
| Lehman XS Trust, Series 2006-GP1, Class A4A | | | | | | | | | |
0.56% | | | 05/25/46 | 2 | | | 11,148,824 | | | | 2,486,102 | |
See accompanying notes to Schedule of Portfolio Investments.
26 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Long Beach Mortgage Loan Trust, Series 2005-1, Class M1 | | | | | | | | | |
0.74% | | | 02/25/35 | 2 | | $ | 2,942,649 | | | $ | 2,899,114 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | | | | | |
5.07% | | | 01/25/34 | 2 | | | 98,513 | | | | 93,339 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
2.82% | | | 01/25/34 | 2 | | | 145,718 | | | | 116,818 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
2.75% | | | 06/25/34 | 2 | | | 262,333 | | | | 199,519 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-9, Class 1A4 | | | | | | | | | |
0.84% | | | 11/25/34 | 2 | | | 3,874,076 | | | | 3,574,519 | |
| MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A3 | | | | | | | | | |
0.44% | | | 05/25/37 | 2 | | | 55,000 | | | | 21,371 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.76% | | | 10/25/32 | 2 | | | 662,405 | | | | 559,051 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.42% | | | 06/25/37 | 2 | | | 19,057,200 | | | | 8,520,764 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 869,658 | | | | 871,959 | |
| Mid-State Trust, Series 2006-1, Class A | | | | | | | | | |
5.79% | | | 10/15/40 | 3 | | | 8,838,989 | | | | 9,696,906 | |
| Morgan Stanley ABS Capital I, Series 2004-NC2, Class M2 | | | | | | | | | |
2.04% | | | 12/25/33 | 2 | | | 171,287 | | | | 112,608 | |
| Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2 | | | | | | | | | |
0.86% | | | 07/25/34 | 2 | | | 13,000,000 | | | | 11,706,526 | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A18 | | | | | | | | | |
6.00% | | | 07/25/47 | 2 | | | 10,841,129 | | | | 7,973,865 | |
| Nationstar Home Equity Loan Trust, Series 2007-A, Class AV4 | | | | | | | | | |
0.46% | | | 03/25/37 | 2 | | | 6,466,000 | | | | 3,381,776 | |
| Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3 | | | | | | | | | |
0.42% | | | 06/25/37 | 2 | | | 7,807,200 | | | | 3,849,945 | |
| Park Place Securities, Inc., Series 2004-MHQ1, Class M1 | | | | | | | | | |
0.94% | | | 12/25/34 | 2 | | | 7,432,899 | | | | 7,102,909 | |
| Park Place Securities, Inc., Series 2005-WCW1, Class A3D | | | | | | | | | |
0.58% | | | 09/25/35 | 2 | | | 7,845,221 | | | | 7,685,626 | |
| Park Place Securities, Inc., Series 2005-WHQ1, Class M2 | | | | | | | | | |
0.74% | | | 03/25/35 | 2 | | | 9,578,000 | | | | 8,304,691 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | | | | | |
0.54% | | | 06/25/47 | 2 | | $ | 70,000 | | | $ | 35,444 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL4, Class A3 | | | | | | | | | |
6.50% | | | 07/25/32 | | | | 1,956,358 | | | | 2,040,595 | |
| Residential Asset Mortgage Products, Inc., Series 2005-SL1, Class A5 | | | | | | | | | |
6.50% | | | 05/25/32 | | | | 3,855,718 | | | | 3,673,458 | |
| Residential Asset Securities Corp., Series 2005-KS12, Class A2 | | | | | | | | | |
0.48% | | | 01/25/36 | 2 | | | 5,826,123 | | | | 5,583,855 | |
| Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 6,571 | | | | 6,483 | |
| Resmae Mortgage Loan Trust, Series 2006-1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 2,3 | | | 151,117 | | | | 1,491 | |
| SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 2 | | | 1,562,023 | | | | 783,785 | |
| Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.38% | | | 12/25/36 | 2 | | | 12,000,000 | | | | 9,968,682 | |
| Specialty Underwriting & Residential Finance, Series 2005-AB1, Class A1C | | | | | | | | | |
0.58% | | | 03/25/36 | 2 | | | 4,943,825 | | | | 4,791,352 | |
| Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1 | | | | | | | | | |
2.62% | | | 12/27/35 | 2 | | | 14,696,988 | | | | 7,595,778 | |
| Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A | | | | | | | | | |
0.44% | | | 10/25/36 | 2 | | | 13,669,193 | | | | 7,168,890 | |
| Structured Asset Securities Corp., Series 2002-5A, Class 6A | | | | | | | | | |
6.16% | | | 04/25/32 | 2 | | | 24,965 | | | | 21,891 | |
| Structured Asset Securities Corp., Series 2003-26A, Class 3A5 | | | | | | | | | |
2.44% | | | 09/25/33 | 2 | | | 4,134,668 | | | | 3,673,315 | |
| Structured Asset Securities Corp., Series 2005-S2, Class M2 | | | | | | | | | |
0.91% | | | 06/25/35 | 2 | | | 831,046 | | | | 816,062 | |
| Terwin Mortgage Trust, Series 2004-7HE, Class A1 | | | | | | | | | |
0.78% | | | 07/25/34 | 2,3 | | | 142,962 | | | | 117,580 | |
| Terwin Mortgage Trust, Series 2005-9HGS, Class A1 | | | | | | | | | |
4.00% | | | 08/25/35 | 2,3 | | | 135,383 | | | | 131,745 | |
| Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A3 | | | | | | | | | |
0.44% | | | 06/25/47 | 2 | | | 8,626,169 | | | | 8,368,794 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 27
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A | | | | | | | | | |
2.59% | | | 01/25/33 | 2 | | $ | 404,363 | | | $ | 373,950 | |
| WaMu Mortgage Pass Through Certificates, Series 2005-AR2, Class 2A21 | | | | | | | | | |
0.56% | | | 01/25/45 | 2 | | | 1,232,561 | | | | 924,645 | |
| WaMu Mortgage Pass Through Certificates, Series 2006-AR7, Class 3A1B | | | | | | | | | |
2.84% | | | 07/25/46 | 2 | | | 9,573,809 | | | | 4,186,747 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1 | | | | | | | | | |
1.01% | | | 04/25/47 | 2 | | | 14,210,043 | | | | 7,752,038 | |
| Wells Fargo Home Equity Trust, Series 2005-3, Class AII3 | | | | | | | | | |
0.58% | | | 11/25/35 | 2 | | | 6,288,628 | | | | 6,003,627 | |
| Wells Fargo Home Equity Trust, Series 2007-2, Class A1 | | | | | | | | | |
0.32% | | | 04/25/37 | 2 | | | 444,024 | | | | 425,492 | |
| | | | | | | | | | | | |
| | | | | | | | 407,775,994 | |
| | | | | | | | | | | | |
| U.S. Agency Mortgage-Backed — 28.91% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.00% | | | 10/25/26 | | | | 33,925,000 | | | | 34,937,451 | |
| Fannie Mae Interest Strip, Series 405, Class F10 | | | | | | | | | |
0.94% | | | 10/25/40 | 2 | | | 13,969,067 | | | | 14,004,342 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.39% | | | 01/01/33 | 2 | | | 60,743 | | | | 63,215 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 3,394 | | | | 3,692 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 111,999 | | | | 129,584 | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | | 45,074 | | | | 51,065 | |
| Fannie Mae Pool 745383 | | | | | | | | | |
2.42% | | | 12/01/35 | 2 | | | 2,375,133 | | | | 2,500,486 | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.32% | | | 04/01/34 | 2 | | | 631,899 | | | | 669,910 | |
| Fannie Mae Pool 805256 | | | | | | | | | |
2.18% | | | 01/01/35 | 2 | | | 798,066 | | | | 828,929 | |
| Fannie Mae Pool 890141 | | | | | | | | | |
5.50% | | | 12/01/20 | | | | 12,550,220 | | | | 13,608,165 | |
| Fannie Mae Pool 942553 | | | | | | | | | |
5.88% | | | 08/01/37 | 2 | | | 8,892,368 | | | | 9,650,243 | |
| Fannie Mae Pool 995182 | | | | | | | | | |
5.50% | | | 06/01/20 | | | | 14,298,653 | | | | 15,503,985 | |
| Fannie Mae Pool 995793 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 10,388,772 | | | | 11,353,629 | |
| Fannie Mae Pool AD0538 | | | | | | | | | |
6.00% | | | 05/01/24 | | | | 4,939,722 | | | | 5,338,566 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool AE0083 | | | | | | | | | |
6.00% | | | 01/01/40 | | | $ | 14,410,789 | | | $ | 15,904,557 | |
| Fannie Mae, Series 1997-76, Class FS | | | | | | | | | |
0.70% | | | 09/17/27 | 2 | | | 52,693 | | | | 52,285 | |
| Fannie Mae, Series 2001-60, Class OF | | | | | | | | | |
1.18% | | | 10/25/31 | 2 | | | 4,950,037 | | | | 5,028,340 | |
| Fannie Mae, Series 2007-64, Class FA | | | | | | | | | |
0.70% | | | 07/25/37 | 2 | | | 5,251,165 | | | | 5,224,090 | |
| Fannie Mae, Series 2009-33, Class FB | | | | | | | | | |
1.06% | | | 03/25/37 | 2 | | | 16,876,745 | | | | 17,141,573 | |
| Fannie Mae, Series 2010-109, Class PF | | | | | | | | | |
0.64% | | | 10/25/40 | 2 | | | 13,549,014 | | | | 13,564,931 | |
| Fannie Mae, Series 2010-26, Class S (IO) | | | | | | | | | |
6.00% | | | 11/25/36 | 2 | | | 62,457,614 | | | | 8,551,940 | |
| Fannie Mae, Series 2010-43, Class DP | | | | | | | | | |
5.00% | | | 05/25/40 | | | | 10,896,690 | | | | 12,030,405 | |
| Fannie Mae, Series 2010-95, Class S (IO) | | | | | | | | | |
6.36% | | | 09/25/40 | 2 | | | 32,102,521 | | | | 5,812,197 | |
| Fannie Mae, Series 2010-99, Class NI (IO) | | | | | | | | | |
6.00% | | | 09/25/40 | | | | 24,632,655 | | | | 4,405,994 | |
| Fannie Mae, Series 2011-71, Class FB | | | | | | | | | |
0.74% | | | 05/25/37 | 2 | | | 16,689,379 | | | | 16,718,284 | |
| Fannie Mae, Series G92-10, Class Z | | | | | | | | | |
7.75% | | | 01/25/22 | | | | 12,140 | | | | 13,520 | |
| Freddie Mac Gold (TBA) | | | | | | | | | |
3.50% | | | 10/15/26 | | | | 5,565,000 | | | | 5,796,295 | |
| Freddie Mac Gold Pool A45796 | | | | | | | | | |
7.00% | | | 01/01/33 | | | | 29,846 | | | | 34,290 | |
| Freddie Mac Gold Pool C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 37,122 | | | | 42,133 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 7,382,159 | | | | 7,967,541 | |
| Freddie Mac Gold Pool G13475 | | | | | | | | | |
6.00% | | | 01/01/24 | | | | 924,370 | | | | 1,006,757 | |
| Freddie Mac Non Gold Pool 1B1928 | | | | | | | | | |
2.50% | | | 08/01/34 | 2 | | | 1,957,623 | | | | 2,057,567 | |
| Freddie Mac Non Gold Pool 1G2627 | | | | | | | | | |
5.97% | | | 03/01/37 | 2 | | | 5,258,234 | | | | 5,474,111 | |
| Freddie Mac Non Gold Pool 1J1393 | | | | | | | | | |
4.26% | | | 10/01/36 | 2 | | | 5,638,266 | | | | 5,960,623 | |
| Freddie Mac Non Gold Pool 1J1509 | | | | | | | | | |
6.40% | | | 11/01/36 | 2 | | | 3,613,882 | | | | 3,795,743 | |
| Freddie Mac Non Gold Pool 1L0113 | | | | | | | | | |
3.20% | | | 05/01/35 | 2 | | | 1,734,289 | | | | 1,823,652 | |
| Freddie Mac Non Gold Pool 1N0371 | | | | | | | | | |
6.00% | | | 01/01/37 | 2 | | | 4,847,665 | | | | 5,188,681 | |
| Freddie Mac Non Gold Pool 1Q0196 | | | | | | | | | |
5.72% | | | 02/01/37 | 2 | | | 3,780,203 | | | | 4,008,149 | |
See accompanying notes to Schedule of Portfolio Investments.
28 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Non Gold Pool 786781 | | | | | | | | | |
3.02% | | | 08/01/29 | 2 | | $ | 143,517 | | | $ | 151,410 | |
| Freddie Mac, Series 2174, Class PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 2,569,861 | | | | 2,789,421 | |
| Freddie Mac, Series 2454, Class FQ | | | | | | | | | |
1.23% | | | 06/15/31 | 2 | | | 41,531 | | | | 42,200 | |
| Freddie Mac, Series 2561, Class BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 135,043 | | | | 1,996 | |
| Freddie Mac, Series 2657, Class LX (IO) | | | | | | | | | |
6.00% | | | 05/15/18 | | | | 20,484 | | | | 1,211 | |
| Freddie Mac, Series 3294, Class CB | | | | | | | | | |
5.50% | | | 03/15/37 | | | | 9,782,946 | | | | 10,480,113 | |
| Freddie Mac, Series 3345, Class FP | | | | | | | | | |
0.43% | | | 11/15/36 | 2 | | | 6,664,168 | | | | 6,648,756 | |
| Freddie Mac, Series 3345, Class PF | | | | | | | | | |
0.41% | | | 05/15/36 | 2 | | | 6,803,706 | | | | 6,784,833 | |
| Freddie Mac, Series 3346, Class FA | | | | | | | | | |
0.46% | | | 02/15/19 | 2 | | | 11,333,109 | | | | 11,365,118 | |
| Freddie Mac, Series 3626, Class MA | | | | | | | | | |
5.00% | | | 02/15/30 | | | | 8,175,565 | | | | 8,595,135 | |
| Freddie Mac, Series 3672, Class A | | | | | | | | | |
6.00% | | | 05/15/40 | | | | 5,111,440 | | | | 5,459,453 | |
| Ginnie Mae I Pool 422972 | | | | | | | | | |
6.50% | | | 07/15/29 | | | | 46,890 | | | | 54,232 | |
| Ginnie Mae II Pool 1849 | | | | | | | | | |
8.50% | | | 08/20/24 | | | | 1,478 | | | | 1,762 | |
| Ginnie Mae II Pool 2020 | | | | | | | | | |
8.50% | | | 06/20/25 | | | | 2,655 | | | | 3,180 | |
| Ginnie Mae II Pool 2286 | | | | | | | | | |
8.50% | | | 09/20/26 | | | | 3,157 | | | | 3,793 | |
| Ginnie Mae II Pool 2487 | | | | | | | | | |
8.50% | | | 09/20/27 | | | | 18,248 | | | | 21,986 | |
| Ginnie Mae II Pool 80059 | | | | | | | | | |
2.38% | | | 04/20/27 | 2 | | | 49,446 | | | | 51,338 | |
| Ginnie Mae II Pool 80589 | | | | | | | | | |
2.50% | | | 03/20/32 | 2 | | | 107,624 | | | | 111,587 | |
| Ginnie Mae II Pool 80610 | | | | | | | | | |
2.38% | | | 06/20/32 | 2 | | | 35,230 | | | | 36,579 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
2.62% | | | 07/20/34 | 2 | | | 974,534 | | | | 1,003,488 | |
| Ginnie Mae II Pool 81201 | | | | | | | | | |
2.25% | | | 01/20/35 | 2 | | | 26,399 | | | | 27,340 | |
| Ginnie Mae II Pool 8599 | | | | | | | | | |
3.00% | | | 02/20/25 | 2 | | | 44,067 | | | | 45,800 | |
| Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 294,280 | | | | 10,428 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Government National Mortgage Association, Series 2009-106, Class XI (IO) | | | | | | | | | |
6.57% | | | 05/20/37 | 2 | | $ | 34,413,196 | | | $ | 6,164,092 | |
| NCUA Guaranteed Notes, Series 2010-R1, Class 1A | | | | | | | | | |
0.67% | | | 10/07/20 | 2 | | | 20,496,012 | | | | 20,527,986 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | | | | | | | | | |
0.59% | | | 11/06/17 | 2 | | | 23,644,568 | | | | 23,651,898 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 2A | | | | | | | | | |
0.69% | | | 11/05/20 | 2 | | | 14,383,736 | | | | 14,424,154 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | | | | | | | | | |
0.78% | | | 12/08/20 | 2 | | | 19,474,003 | | | | 19,592,600 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 2A | | | | | | | | | |
0.78% | | | 12/08/20 | 2 | | | 8,359,510 | | | | 8,411,088 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
0.75% | | | 03/09/21 | 2 | | | 29,510,878 | | | | 29,584,655 | |
| NCUA Guaranteed Notes, Series 2011-R1, Class 1A | | | | | | | | | |
0.67% | | | 01/08/20 | 2 | | | 13,370,789 | | | | 13,387,503 | |
| NCUA Guaranteed Notes, Series 2011-R2, Class 1A | | | | | | | | | |
0.62% | | | 02/06/20 | 2 | | | 12,760,081 | | | | 12,784,070 | |
| NCUA Guaranteed Notes, Series 2011-R3, Class 1A | | | | | | | | | |
0.62% | | | 03/11/20 | 2 | | | 8,517,848 | | | | 8,534,288 | |
| NCUA Guaranteed Notes, Series 2011-R4, Class 1A | | | | | | | | | |
0.60% | | | 03/06/20 | 2 | | | 12,268,357 | | | | 12,274,108 | |
| NCUA Guaranteed Notes, Series 2011-R5, Class 1A | | | | | | | | | |
0.60% | | | 04/06/20 | 2 | | | 9,656,954 | | | | 9,659,972 | |
| NCUA Guaranteed Notes, Series 2011-R6, Class 1A | | | | | | | | | |
0.60% | | | 05/07/20 | 2 | | | 16,734,989 | | | | 16,742,835 | |
| | | | | | | | | | | | |
| | | | | | | | 505,677,328 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $1,123,455,859) | | | | | | | | 1,052,168,336 | |
| | | | | | | | | | | | |
| MUNICIPAL BONDS — 1.24%* | | | | | | | | | |
California — 0.52% | | | | | | | | | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
4.85% | | | 10/01/14 | | | | 4,900,000 | | | | 5,288,374 | |
5.50% | | | 03/01/16 | | | | 1,775,000 | | | | 1,980,084 | |
State of California, Taxable, Various Purpose, Series 3 | | | | | | | | | |
5.45% | | | 04/01/15 | | | | 1,715,000 | | | | 1,896,326 | |
| | | | | | | | | | | | |
| | | | | | | | 9,164,784 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 29
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MUNICIPAL BONDS (continued) | | | | | | | | | |
Illinois — 0.72% | | | | | | | | | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
4.03% | | | 03/01/14 | | | $ | 525,000 | | | $ | 541,097 | |
4.07% | | | 01/01/14 | | | | 9,275,000 | | | | 9,569,574 | |
5.36% | | | 03/01/17 | | | | 2,250,000 | | | | 2,409,165 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 12,519,836 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $20,511,352) | | | | | | | | 21,684,620 | |
| | | | | | | | | | | | |
| U.S. TREASURY SECURITIES — 2.86% | | | | | |
U.S. Treasury Notes — 2.86% | |
| U.S. Treasury Notes - Treasury Inflation Indexed Notes | | | | | | | | | |
3.00% | | | 07/15/12 | | | | 38,745,000 | | | | 50,072,722 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities (Cost $50,165,102) | | | | | | | | | |
Total Bonds – 101.66% (Cost $1,849,455,182) | | | | | | | | 1,778,064,557 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 2.12% | | | | | |
Commercial Paper — 0.07% | |
| National Australia Funding Corp. | |
0.23%9 | | | 11/01/11 | 3 | | | 1,275,000 | | | | 1,274,842 | |
| | | | | | | | | | | | |
| Money Market Fund — 2.05% | | | | | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%10 | | | | | | | 12,361,000 | | | | 12,361,000 | |
Dreyfus Cash Advantage Fund | | | | | | | | | |
0.09%10 | | | | | | | 7,062,000 | | | | 7,062,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%10 | | | | | | | 19,000 | | | | 19,000 | |
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | | | | | | | | | |
0.07%10 | | | | | | | 6,610,000 | | | | 6,610,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.10%10,11 | | | | | | | 9,722,000 | | | | 9,722,000 | |
| | | | | | | | | | | | |
| | | | | | | | 35,774,000 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $37,048,764) | | | | | | | | 37,048,842 | |
| | | | | | | | | | | | |
Total Investments – 103.78% (Cost $1,886,503,946)1 | | | | 1,815,113,399 | |
| | | | | | | | | | | | |
Liabilities in Excess of Other Assets – (3.78)% | | | | | | | | (66,140,030 | ) |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | $ | 1,748,973,369 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | Notional
Amount
(000’s)b | | Appreciation | | Value |
| SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES |
| 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 | | $38,321 | | $895 | | $62,090 | | $100,411 |
| 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. |
| | 09/20/16 | | 38,107 | | 890 | | 61,743 | | 99,850 |
| | | | | | | | | | |
| | | | | |
| | | | $76,428 | | $1,785 | | $123,833 | | $200,261 |
| | | | | | | | | | |
| | | | | | | | | | |
Expiration Date | | Credit
Ratinga | | Premiums
(Received) | | Notional
Amount
(000’s)b | | Appreciation/
(Depreciation) | | Valuec |
| SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc. |
09/20/12 | | A+ | | $(114,053) | | $18,850 | | $1,393 | | $(112,660) |
| The Fund receives a fixed rate equal to 1.00% 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: UBS AG |
09/20/12 | | A+ | | (47,871) | | 4,725 | | (16,748) | | (64,619) |
| | | | | | | | | | |
| | | | | |
| | | | $(161,924) | | $23,575 | | $(15,355) | | $(177,279) |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Expiration Date | | Premiums
(Received) | | Notional
Amount
(000’s)b | | (Depreciation) | | 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 | | $(3,298,043) | | $5,683 | | $(384,532) | | $(3,682,575) |
| 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 | | (2,394,997) | | 3,886 | | (123,003) | | (2,518,000) |
| 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 | | (3,757,885) | | 5,829 | | (19,116) | | (3,777,001) |
| | | | | | | | | | |
| | | | | |
| | | | $(9,450,925) | | $15,398 | | $(526,651) | | $(9,977,576) |
| | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
30 / Semi-Annual Report September 2011
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | Notional
Amount
(000’s)b | | Appreciation | | Valuec |
SWAPTION: RATE FLOOR INFLATION |
| The Fund received a fixed payment equal to $115,920 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. |
| | 11/23/20 | | $(115,920) | | $10,080 | | $67,536 | | $(48,384) |
| | | | | | | | | | |
| | | | | |
| | | | $(115,920) | | $10,080 | | $67,536 | | $(48,384) |
| | | | | | | | | | |
| 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 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 $1,886,617,322 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
| Gross unrealized appreciation | | $ | 38,659,556 | |
| Gross unrealized depreciation | | | (110,163,479 | ) |
| | | | |
Net unrealized depreciation | | $ | (71,503,923 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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, 2011, was $218,413,932, representing 12.49% of total net assets. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $9,588,353, which is 0.55% 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 |
06/09/11 | | Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15 | | $ | 5,443,387 | | | $ | 5,044,998 | | | 0.29% |
| | | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets |
06/27/07 | | Cengage Learning Acquisitions, Inc., Term Loan, 2.49%, 07/03/14 | | $ | 717,154 | | | $ | 571,372 | | | 0.03% |
01/05/09 | | Dex Media West LLC, Term Loan, 7.00%, 10/24/14 | | | 494,590 | | | | 462,184 | | | 0.02% |
10/22/07 | | HCA, Inc., Term Loan B3, 3.62%, 05/01/18 | | | 6,007,319 | | | | 5,730,754 | | | 0.33% |
10/31/07 | | Texas Competitive Electric Holdings Co. LLC, 3.73%, 10/10/14 | | | 465,072 | | | | 330,007 | | | 0.02% |
| | | | | | | | | | | | |
| | | | $ | 13,127,522 | | | $ | 12,139,315 | | | 0.69% |
| | | | | | | | | | | | |
| 9 | Represents annualized yield at date of purchase. |
| 10 | Represents the current yield as of September 30, 2011. |
| 11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $9,722,000. |
| † | Fair valued security. The aggregate value of fair valued securities is $10,155,190, which is 0.58% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA
(Financial Security Assurance, Inc.))
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 31
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 100.50% | |
ASSET-BACKED SECURITIES — 6.38%** | |
| Aerco Ltd., Series 2A, Class A3 (United Kingdom) | | | | | | | | | |
0.69% | | | 07/15/25 | 2,3,4 | | $ | 1,353,100 | | | $ | 1,014,825 | |
| Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1 | | | | | | | | | |
0.49% | | | 06/14/37 | 3,4 | | | 873,375 | | | | 772,937 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | | | | | |
0.53% | | | 11/14/33 | 2,3,4 | | | 978,990 | | | | 861,512 | |
| Bayview Commercial Asset Trust, Series 2005-2A, Class A1 | | | | | | | | | |
0.54% | | | 08/25/35 | 3,4 | | | 312,452 | | | | 241,530 | |
| Brazos Higher Education Authority, Series 2010-1, Class A2 | | | | | | | | | |
1.51% | | | 02/25/35 | 3 | | | 650,000 | | | | 604,778 | |
| Brazos Higher Education Authority, Series 2011-2, Class A3 | | | | | | | | | |
1.25% | | | 10/27/36 | 3 | | | 225,000 | | | | 204,815 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.45% | | | 03/25/42 | 3,4 | | | 660,964 | | | | 605,095 | |
| Discover Card Master Trust, Series 2009-A2, Class A | | | | | | | | | |
1.53% | | | 02/17/15 | 3 | | | 325,000 | | | | 327,551 | |
| Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | | | | | |
0.90% | | | 04/25/35 | 3 | | | 580,000 | | | | 536,821 | |
| GE Business Loan Trust, Series 2003-2A, Class A | | | | | | | | | |
0.60% | | | 11/15/31 | 3,4 | | | 807,608 | | | | 750,630 | |
| GE Business Loan Trust, Series 2004-1, Class A | | | | | | | | | |
0.52% | | | 05/15/32 | 3,4 | | | 786,606 | | | | 734,460 | |
| GE Business Loan Trust, Series 2004-1, Class B | | | | | | | | | |
0.93% | | | 05/15/32 | 3,4 | | | 374,574 | | | | 303,868 | |
| GE Business Loan Trust, Series 2004-2A, Class A | | | | | | | | | |
0.45% | | | 12/15/32 | 3,4 | | | 576,727 | | | | 500,086 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.48% | | | 06/15/33 | 3,4 | | | 735,953 | | | | 622,148 | |
| GE Corporate Aircraft Financing LLC, Series 2005-1A, Class B | | | | | | | | | |
0.88% | | | 08/26/19 | 3,4 | | | 675,000 | | | | 621,000 | |
| GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados) | | | | | | | | | |
0.53% | | | 04/17/19 | 2,3,4 | | | 284,167 | | | | 276,516 | |
| GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados) | | | | | | | | | |
0.48% | | | 11/17/20 | 2,3,4 | | | 708,333 | | | | 680,435 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount
| | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda) | | | | | | | | | |
0.47% | | | 12/19/32 | 2,3,4 | | $ | 859,746 | | | $ | 758,860 | |
| Keycorp Student Loan Trust, Series 2002-A, Class 1A2 | | | | | | | | | |
0.51% | | | 08/27/31 | 3 | | | 590,506 | | | | 544,849 | |
| Peach Finance Co. 2000 A | | | | | | | | | |
4.71% | | | 04/15/48 | 4 | | | 677,596 | | | | 706,394 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | | | | | |
1.95% | | | 12/15/32 | 3 | | | 625,000 | | | | 645,616 | |
| South Carolina Student Loan Corp., Series A2 | | | | | | | | | |
0.45% | | | 12/01/20 | 3 | | | 400,000 | | | | 377,353 | |
| SVO VOI Mortgage Corp., Series 2003-AA, Class A | | | | | | | | | |
3.95% | | | 02/20/19 | 4 | | | 27,141 | | | | 27,420 | |
| TAL Advantage LLC 2006-1 NOTE | | | | | | | | | |
0.42% | | | 04/20/21 | 3,4 | | | 550,000 | | | | 501,019 | |
| TAL Advantage LLC, Series 2010-2A, Class A | | | | | | | | | |
4.30% | | | 10/20/25 | 4 | | | 395,125 | | | | 375,546 | |
| Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda) | | | | | | | | | |
0.48% | | | 05/15/20 | 2,3,4 | | | 385,000 | | | | 358,339 | |
| Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda) | | | | | | | | | |
4.70% | | | 06/15/26 | 2,4 | | | 536,250 | | | | 540,164 | |
| Trinity Rail Leasing LP, Series 2004-1A, Class A | | | | | | | | | |
5.27% | | | 08/14/27 | 4 | | | 278,780 | | | | 295,558 | |
| Trip Rail Master Funding LLC, Series 2011-1A, Class A1A | | | | | | | | | |
4.37% | | | 07/15/41 | 4 | | | 710,860 | | | | 715,959 | |
| Triton Container Finance LLC, Series 2006-1A NOTE | | | | | | | | | |
0.40% | | | 11/26/21 | 3,4 | | | 581,250 | | | | 530,229 | |
| Triton Container Finance LLC, Series 2007-1A NOTE | | | | | | | | | |
0.37% | | | 02/26/19 | 3,4 | | | 373,698 | | | | 347,809 | |
| US Education Loan Trust IV LLC, Series 2006-1, Class A4 | | | | | | | | | |
0.31% | | | 03/01/41 | 4,† | | | 700,000 | | | | 580,996 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $16,815,162) | | | | | | | | 16,965,118 | |
| | | | | | | | | | | | |
| CORPORATES — 23.42%* | |
| Banking — 5.30% | | | | | | | | | |
| Abbey National Treasury Services Plc/London (United Kingdom) | | | | | | | | | |
2.88% | | | 04/25/14 | 2 | | | 1,019,000 | | | | 959,315 | |
| ANZ National International Ltd. (PIK) (New Zealand) | | | | | | | | | |
6.20% | | | 07/19/13 | 2,4 | | | 600,000 | | | | 640,985 | |
See accompanying notes to Schedule of Portfolio Investments.
32 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Banking (continued) | |
| BAC Capital Trust XV | | | | | | | | | |
1.13% | | | 06/01/56 | 3 | | $ | 1,432,000 | | | $ | 829,914 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
0.65% | | | 06/15/17 | 3 | | | 1,350,000 | | | | 994,479 | |
6.10% | | | 06/15/17 | | | | 340,000 | | | | 316,983 | |
| Barclays Bank Plc (United Kingdom) | | | | | | | | | |
5.20% | | | 07/10/14 | 2 | | | 850,000 | | | | 869,834 | |
| Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | | | | | |
0.98% | | | 05/29/49 | 2,3 | | | 770,000 | | | | 503,518 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
5.00% | | | 05/15/13 | 2 | | | 700,000 | | | | 723,750 | |
| Credit Suisse/New York (Switzerland) | | | | | | | | | |
5.50% | | | 05/01/14 | 2 | | | 500,000 | | | | 528,890 | |
6.00% | | | 02/15/18 | 2 | | | 575,000 | | | | 584,263 | |
| Deutsche Bank AG/London, Series G (MTN) (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 2 | | | 760,000 | | | | 785,729 | |
| Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | | 01/19/49 | 3,4 | | | 120,000 | | | | 81,600 | |
| Fleet Capital Trust V | | | | | | | | | |
1.35% | | | 12/18/28 | 3 | | | 500,000 | | | | 320,844 | |
| HBOS Plc, Series G (MTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 915,000 | | | | 798,047 | |
| JPMorgan Chase Bank N.A. | | | | | | | | | |
0.67% | | | 06/13/16 | 3 | | | 600,000 | | | | 553,770 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
6.00% | | | 07/05/17 | | | | 600,000 | | | | 647,530 | |
6.00% | | | 10/01/17 | | | | 500,000 | | | | 526,313 | |
| Nationsbank Cap Trust III | | | | | | | | | |
0.80% | | | 01/15/27 | 3 | | | 616,000 | | | | 381,877 | |
| Royal Bank of Scotland Plc (United Kingdom) | | | | | | | | | |
3.95% | | | 09/21/15 | 2 | | | 1,000,000 | | | | 941,746 | |
| Svenska Handelsbanken AB (Sweden) | | | | | | | | | |
4.88% | | | 06/10/14 | 2,4 | | | 825,000 | | | | 872,320 | |
| Union Bank NA (BKNT) | | | | | | | | | |
3.00% | | | 06/06/16 | | | | 1,000,000 | | | | 997,781 | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | | 239,000 | | | | 254,071 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,113,559 | |
| | | | | | | | | | | | |
| Communications — 0.38% | |
| Cellco Partnership/Verizon Wireless Capital LLC | | | | | | | | | |
5.55% | | | 02/01/14 | | | | 350,000 | | | | 383,125 | |
| Verizon Communications, Inc. | | | | | | | | | |
1.95% | | | 03/28/14 | | | | 600,000 | | | | 614,648 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 997,773 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | | | | | |
| Electric — 1.90% | |
| Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 4 | | $ | 640,260 | | | $ | 675,616 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 1,429,000 | | | | 1,537,134 | |
| PG&E Corp. | | | | | | | | | |
5.75% | | | 04/01/14 | | | | 910,000 | | | | 998,435 | |
| Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | | 05/15/18 | | | | 475,000 | | | | 545,735 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | | 01/15/19 | | | | 534,000 | | | | 639,288 | |
| Texas-New Mexico Power Co. | | | | | | | | | |
9.50% | | | 04/01/19 | 4 | | | 500,000 | | | | 657,407 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,053,615 | |
| | | | | | | | | | | | |
| Energy — 1.35% | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 935,000 | | | | 909,288 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 910,000 | | | | 773,500 | |
| Tennessee Gas Pipeline Co. | | | | | | | | | |
8.00% | | | 02/01/16 | | | | 1,000,000 | | | | 1,166,636 | |
| Valero Energy Corp. | | | | | | | | | |
9.38% | | | 03/15/19 | | | | 471,000 | | | | 604,427 | |
| Williams Cos., Inc. | | | | | | | | | |
7.88% | | | 09/01/21 | | | | 112,000 | | | | 133,014 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,586,865 | |
| | | | | | | | | | | | |
| Finance — 9.05% | |
| Bear Stearns Cos. LLC | | | | | | | | | |
7.25% | | | 02/01/18 | | | | 1,140,000 | | | | 1,345,564 | |
| Citigroup Funding, Inc., Series 2 | | | | | | | | | |
0.58% | | | 04/30/12 | 3 | | | 655,000 | | | | 656,505 | |
| Citigroup, Inc. | | | | | | | | | |
0.86% | | | 08/25/36 | 3 | | | 205,000 | | | | 134,808 | |
5.50% | | | 04/11/13 | | | | 451,000 | | | | 464,349 | |
5.50% | | | 10/15/14 | | | | 371,000 | | | | 385,718 | |
6.00% | | | 08/15/17 | | | | 250,000 | | | | 265,637 | |
6.38% | | | 08/12/14 | | | | 535,000 | | | | 566,987 | |
6.50% | | | 08/19/13 | | | | 408,000 | | | | 429,526 | |
| Countrywide Financial Corp. (MTN) | | | | | | | | | |
5.80% | | | 06/07/12 | | | | 285,000 | | | | 286,734 | |
| Dolphin Subsidiary II, Inc. | | | | | | | | | |
7.25% | | | 10/15/21 | 4 | | | 1,100,000 | | | | 1,108,250 | |
| General Electric Capital Corp. | | | | | | | | | |
4.62% | | | 01/07/21 | | | | 700,000 | | | | 727,864 | |
5.62% | | | 05/01/18 | | | | 730,000 | | | | 794,026 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.65% | | | 05/05/26 | 3 | | | 500,000 | | | | 401,793 | |
1.20% | | | 05/22/13 | 3 | | | 340,000 | | | | 340,286 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 33
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
Finance (continued) | |
| General Electric Capital Corp., Series A (MTN) | | | | | | | | | |
0.61% | | | 09/15/14 | 3 | | $ | 694,000 | | | $ | 664,165 | |
| General Electric Capital Corp., Series E (MTN) | | | | | | | | | |
0.43% | | | 03/20/14 | 3 | | | 300,000 | | | | 294,395 | |
| Goldman Sachs Group, Inc. | | | | | | | | | |
0.45% | | | 02/06/12 | 3 | | | 210,000 | | | | 209,668 | |
1.02% | | | 12/05/11 | 3 | | | 785,000 | | | | 786,213 | |
6.15% | | | 04/01/18 | | | | 1,100,000 | | | | 1,141,423 | |
7.50% | | | 02/15/19 | | | | 550,000 | | | | 604,399 | |
| Goldman Sachs Group, Inc. (MTN) | | | | | | | | | |
6.00% | | | 05/01/14 | | | | 250,000 | | | | 264,841 | |
| Goldman Sachs Group, Inc., Series B (MTN) | | | | | | | | | |
0.65% | | | 07/22/15 | 3 | | | 100,000 | | | | 89,378 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 4 | | | 1,000,000 | | | | 995,000 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.32% | | | 09/30/34 | 3 | | | 1,070,000 | | | | 834,214 | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
8.68% | | | 05/02/17 | 3 | | | 510,000 | | | | 552,713 | |
8.95% | | | 05/18/17 | 3 | | | 410,000 | | | | 447,413 | |
9.57% | | | 06/06/17 | 3 | | | 319,000 | | | | 355,286 | |
| Morgan Stanley | | | | | | | | | |
0.56% | | | 02/10/12 | 3 | | | 2,140,000 | | | | 2,143,968 | |
0.70% | | | 06/20/12 | 3 | | | 1,150,000 | | | | 1,153,568 | |
0.73% | | | 10/15/15 | 3 | | | 187,000 | | | | 158,072 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.70% | | | 10/18/16 | 3 | | | 1,185,000 | | | | 922,534 | |
6.25% | | | 08/28/17 | | | | 800,000 | | | | 789,686 | |
| NCUA Guaranteed Notes, Series A1 | | | | | | | | | |
0.24% | | | 06/12/13 | 3 | | | 2,225,000 | | | | 2,220,066 | |
| Power Receivable Finance LLC | | | | | | | | | |
6.29% | | | 01/01/12 | | | | 50,562 | | | | 50,614 | |
| Private Export Funding Corp. | | | | | | | | | |
2.80% | | | 05/15/22 | | | | 1,040,000 | | | | 1,028,606 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.22% | | | 12/18/17 | 3,4 | | | 500,000 | | | | 476,477 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 24,090,746 | |
| | | | | | | | | | | | |
| Health Care — 0.80% | |
| HCA, Inc. (WI) | |
8.50% | | | 04/15/19 | | | | 430,000 | | | | 453,650 | |
| UnitedHealth Group, Inc. | | | | | | | | | |
4.88% | | | 02/15/13 | | | | 760,000 | | | | 797,808 | |
| WellPoint, Inc. | | | | | | | | | |
6.00% | | | 02/15/14 | | | | 800,000 | | | | 884,587 | |
| | | | | | | | | | | | |
| | | | 2,136,045 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Insurance — 1.24% | |
| Farmers Insurance Exchange | | | | | | | | | |
6.00% | | | 08/01/14 | 4 | | $ | 1,000,000 | | | $ | 1,092,016 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
5.12% | | | 06/10/14 | 4 | | | 800,000 | | | | 864,595 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
6.60% | | | 04/15/34 | 4 | | | 440,000 | | | | 415,248 | |
| Pricoa Global Funding I | | | | | | | | | |
5.45% | | | 06/11/14 | 4 | | | 850,000 | | | | 926,380 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,298,239 | |
| | | | | | | | | | | | |
| Real Estate Investment Trust (REIT) — 2.27% | |
| Duke Realty LP | | | | | | | | | |
6.25% | | | 05/15/13 | | | | 790,000 | | | | 825,240 | |
| HCP, Inc. | | | | | | | | | |
7.07% | | | 06/08/15 | | | | 200,000 | | | | 219,907 | |
| HCP, Inc. (MTN) | | | | | | | | | |
6.30% | | | 09/15/16 | | | | 500,000 | | | | 535,529 | |
6.70% | | | 01/30/18 | | | | 275,000 | | | | 301,071 | |
| Health Care REIT, Inc. | | | | | | | | | |
4.70% | | | 09/15/17 | | | | 1,000,000 | | | | 1,003,936 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
5.88% | | | 03/15/13 | | | | 68,000 | | | | 71,969 | |
| Simon Property Group LP | | | | | | | | | |
4.20% | | | 02/01/15 | | | | 400,000 | | | | 421,319 | |
| UDR, Inc. (MTN) | | | | | | | | | |
5.00% | | | 01/15/12 | | | | 80,000 | | | | 80,714 | |
5.25% | | | 01/15/15 | | | | 1,000,000 | | | | 1,065,832 | |
| WEA Finance LLC | | | | | | | | | |
7.12% | | | 04/15/18 | 4 | | | 775,000 | | | | 886,461 | |
| WEA Finance LLC/WT Finance Aust Pty Ltd. | | | | | | | | | |
7.50% | | | 06/02/14 | 4 | | | 570,000 | | | | 630,117 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,042,095 | |
| | | | | | | | | | | | |
| Transportation — 1.13% | |
| American Airlines 2011-2 Class A Pass Through Trust, Series A | | | | | | | | | |
8.62% | | | 10/15/21 | | | | 1,000,000 | | | | 996,875 | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 73,384 | | | | 75,035 | |
| Continental Airlines Pass-Through Trust, Series 1999, Class C2 | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 385,030 | | | | 392,730 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 353,237 | | | | 359,198 | |
| JetBlue Airways Pass-Through Trust, Series 2004, Class G1 | | | | | | | | | |
0.66% | | | 08/15/16 | 3 | | | 16,842 | | | | 15,762 | |
See accompanying notes to Schedule of Portfolio Investments.
34 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
Transportation (continued) | |
| JetBlue Airways Pass-Through Trust, Series 2004, Class G2 | | | | | | | | | |
0.74% | | | 11/15/16 | 3 | | $ | 661,000 | | | $ | 568,460 | |
| Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 193,173 | | | | 204,643 | |
| UAL Pass-Through Trust, Series 2009-2A | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 355,737 | | | | 384,196 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,996,899 | |
| | | | | | | | | | | | |
Total Corporates (Cost $59,899,283) | | | | | | | | 62,315,836 | |
| | | | | | | | | | | | |
BANK LOANS — 0.16%* | |
Health Care — 0.16% | |
| HCA, Inc., Term Loan B3 | | | | | | | | | |
3.62% | | | 05/01/18 | 3,5 | | | 455,133 | | | | 428,892 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $452,007) | | | | | | | | | |
MORTGAGE-BACKED — 55.52%** | |
| Commercial Mortgage-Backed — 10.57% | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3 | | | | | | | | | |
5.12% | | | 07/11/43 | | | | 212,821 | | | | 214,459 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5 | | | | | | | | | |
4.86% | | | 07/10/43 | 3 | | | 950,000 | | | | 1,023,088 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-3, Class A4 | | | | | | | | | |
5.89% | | | 07/10/44 | 3 | | | 1,010,000 | | | | 1,092,374 | |
| Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4 | | | | | | | | | |
5.19% | | | 05/11/39 | 3 | | | 40,000 | | | | 42,083 | |
| Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | | 1,140,000 | | | | 1,249,468 | |
| Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4 | | | | | | | | | |
5.54% | | | 09/11/41 | | | | 470,000 | | | | 517,651 | |
| Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4 | | | | | | | | | |
5.70% | | | 04/12/38 | 3 | | | 1,100,000 | | | | 1,226,522 | |
| Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4 | | | | | | | | | |
5.69% | | | 06/11/50 | 3 | | | 1,020,000 | | | | 1,089,893 | |
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | | | | | |
5.89% | | | 12/10/49 | 3 | | | 500,000 | | | | 540,876 | |
| Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4 | | | | | | | | | |
6.01% | | | 12/10/49 | 3 | | | 235,000 | | | | 254,603 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3 | | | | | | | | | |
5.31% | | | 12/15/39 | | | $ | 1,045,000 | | | $ | 1,097,446 | |
| DBRR Trust, Series 2011-LC2, Class A4A | | | | | | | | | |
4.54% | | | 04/12/21 | 4 | | | 516,997 | | | | 540,262 | |
| GE Capital Commercial Mortgage Corp., Series 2002-1A, Class A3 | | | | | | | | | |
6.27% | | | 12/10/35 | | | | 721,061 | | | | 728,259 | |
| GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3 | | | | | | | | | |
5.35% | | | 08/11/36 | | | | 955,000 | | | | 973,275 | |
| Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 1,028,057 | | | | 1,049,106 | |
| Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4 | | | | | | | | | |
4.11% | | | 07/05/35 | | | | 993,289 | | | | 1,022,449 | |
| Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 1,110,000 | | | | 1,176,679 | |
| Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 | | | | | | | | | |
6.07% | | | 07/10/38 | 3 | | | 1,605,000 | | | | 1,734,057 | |
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4 | | | | | | | | | |
5.44% | | | 03/10/39 | | | | 945,000 | | | | 983,768 | |
| GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4 | | | | | | | | | |
3.71% | | | 08/10/44 | 3 | | | 1,715,000 | | | | 1,711,016 | |
| JPMorgan Chase Commercial Mortgage Securities Corp, Series 2006-LDP9, Class A3 | | | | | | | | | |
5.34% | | | 05/15/47 | | | | 490,000 | | | | 511,736 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3 | | | | | | | | | |
6.46% | | | 11/15/35 | | | | 160,027 | | | | 159,852 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4 | | | | | | | | | |
5.44% | | | 06/12/47 | | | | 1,085,000 | | | | 1,131,344 | |
| Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4 | | | | | | | | | |
5.29% | | | 01/12/44 | 3 | | | 1,190,000 | | | | 1,307,948 | |
| Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class A4 | | | | | | | | | |
4.75% | | | 06/12/43 | 3 | | | 935,000 | | | | 1,001,555 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 3 | | | 760,000 | | | | 813,480 | |
| Morgan Stanley Capital I, Series 2001-C3, Class A2 | | | | | | | | | |
3.22% | | | 08/15/49 | | | | 285,000 | | | | 288,828 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 35
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Morgan Stanley Capital I, Series 2005-T19, Class A4A | | | | | | | | | |
4.89% | | | 06/12/47 | | | $ | 1,040,000 | | | $ | 1,133,777 | |
| Morgan Stanley Capital I, Series 2007-IQ16, Class A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 1,185,000 | | | | 1,277,980 | |
| Morgan Stanley Capital I, Series 2011-C3, Series A4 | | | | | | | | | |
4.12% | | | 08/15/49 | | | | 165,000 | | | | 169,085 | |
| Nomura Asset Securities Corp., Series 1998-D6, Class A3 | | | | | | | | | |
7.52% | | | 03/15/30 | 3 | | | 965,000 | | | | 1,033,980 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7 | | | | | | | | | |
5.12% | | | 07/15/42 | 3 | | | 940,000 | | | | 1,026,081 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,122,980 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 18.44% | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R6, Class A2 | | | | | | | | | |
0.44% | | | 08/25/35 | 3 | | | 570,957 | | | | 535,535 | |
| Banc of America Funding Corp., Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 10,223 | | | | 10,653 | |
| Banc of America Funding Corp., Series 2006-D, Class 1A2 | | | | | | | | | |
0.51% | | | 05/20/36 | 3 | | | 2,000,000 | | | | 504,925 | |
| Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP) | | | | | | | | | |
6.89% | | | 12/25/34 | | | | 9,238 | | | | 8,899 | |
| Bear Stearns Asset Backed Securities Trust, Series 2005-HE12, Class 1A3 | | | | | | | | | |
0.62% | | | 12/25/35 | 3 | | | 800,000 | | | | 708,097 | |
| CC Mortgage Funding Corp., Series 2004-1A, Class A1 | | | | | | | | | |
0.52% | | | 01/25/35 | 3,4 | | | 339,175 | | | | 238,703 | |
| CC Mortgage Funding Corp., Series 2005-2A, Class A1 | | | | | | | | | |
0.42% | | | 05/25/36 | 3,4 | | | 306,226 | | | | 180,318 | |
| Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2004-2, Class 1A4 | | | | | | | | | |
5.32% | | | 02/25/35 | | | | 10,258 | | | | 10,133 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.04% | | | 02/25/34 | 3 | | | 30,125 | | | | 26,465 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.42% | | | 03/25/37 | 3 | | | 1,526,500 | | | | 1,083,079 | |
| Conseco Finance Home Loan Trust, Series 2000-E, Class M1 | | | | | | | | | |
8.13% | | | 08/15/31 | 3 | | | 77,939 | | | | 75,543 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | $ | 761,363 | | | $ | 830,750 | |
| Conseco Finance, Series 2001-D, Class A5 | | | | | | | | | |
6.69% | | | 11/15/32 | 3 | | | 101,690 | | | | 102,713 | |
| Conseco Finance, Series 2002-A, Class A5 (STEP) | | | | | | | | | |
7.55% | | | 04/15/32 | | | | 197,819 | | | | 202,281 | |
| Conseco Finance, Series 2002-C, Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 289,298 | | | | 221,452 | |
| Conseco Finance, Series 2002-C, Class MF2 | | | | | | | | | |
6.98% | | | 06/15/32 | 3 | | | 1,671 | | | | 1,673 | |
| Conseco Financial Corp., Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 1,060,000 | | | | 1,156,026 | |
| Conseco Financial Corp., Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 3 | | | 481,574 | | | | 534,651 | |
| Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | | | | | | | | | |
5.85% | | | 07/15/37 | 3,4 | | | 700,000 | | | | 645,820 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1 | | | | | | | | | |
1.59% | | | 08/25/35 | 3 | | | 378,121 | | | | 202,270 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2 | | | | | | | | | |
1.34% | | | 08/25/35 | 3 | | | 34,451 | | | | 16,910 | |
| Countrywide Alternative Loan Trust, Series 2005-72, Class A1 | | | | | | | | | |
0.50% | | | 01/25/36 | 3 | | | 743,258 | | | | 471,648 | |
| Countrywide Alternative Loan Trust, Series 2006-OA16, Class A2 | | | | | | | | | |
0.42% | | | 10/25/46 | 3 | | | 2,180,826 | | | | 1,210,491 | |
| Countrywide Alternative Loan Trust, Series 2006-OC3, Class 2A3 | | | | | | | | | |
0.52% | | | 04/25/36 | 3 | | | 5,487,285 | | | | 1,325,772 | |
| Countrywide Asset-Backed Certificates, Series 2004-AB1, Class 2A3 | | | | | | | | | |
1.28% | | | 02/25/35 | 3 | | | 351,911 | | | | 342,663 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
5.02% | | | 08/25/34 | 3 | | | 423,127 | | | | 404,026 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP) | | | | | | | | | |
3.38% | | | 12/25/32 | | | | 1,604,917 | | | | 1,347,011 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP) | | | | | | | | | |
5.70% | | | 12/25/36 | | | | 1,324,323 | | | | 842,962 | |
See accompanying notes to Schedule of Portfolio Investments.
36 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | | | | | |
0.30% | | | 04/25/37 | 3 | | $ | 322,668 | | | $ | 228,882 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-OA2, Class A1 | | | | | | | | | |
1.01% | | | 04/25/47 | 3 | | | 1,038,709 | | | | 638,615 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class M1 | | | | | | | | | |
0.46% | | | 12/25/37 | 3 | | | 1,475,650 | | | | 50,063 | |
| Green Tree Financial Corp., Series 1998-4, Class A5 | | | | | | | | | |
6.18% | | | 04/01/30 | | | | 638,230 | | | | 644,483 | |
| Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 14 | | | | 13 | |
| Green Tree Home Improvement Loan Trust, Series 1997-E, Class HEB1 | | | | | | | | | |
7.53% | | | 01/15/29 | | | | 328,221 | | | | 321,533 | |
| Green Tree, Series 2008-MH1, Class A2 | | | | | | | | | |
8.97% | | | 04/25/38 | 3,4 | | | 900,000 | | | | 1,008,006 | |
| Greenpoint Manufactured Housing, Series 1999-5, Class A5 | | | | | | | | | |
7.82% | | | 12/15/29 | 3 | | | 875,000 | | | | 957,983 | |
| GSAMP Trust, Series 2006-HE6, Class A4 | | | | | | | | | |
0.48% | | | 08/25/36 | 3 | | | 2,200,000 | | | | 778,932 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 5A7 | | | | | | | | | |
2.28% | | | 08/25/34 | 3 | | | 1,469,000 | | | | 1,253,888 | |
| HSBC Home Equity Loan Trust, Series 2006-4, Class A3V | | | | | | | | | |
0.38% | | | 03/20/36 | 3 | | | 1,479,743 | | | | 1,411,514 | |
| HSBC Home Equity Loan Trust, Series 2007-2, Class A2F (STEP) | | | | | | | | | |
5.69% | | | 07/20/36 | | | | 1,450,075 | | | | 1,443,356 | |
| HSBC Home Equity Loan Trust, Series 2007-2, Class M1 | | | | | | | | | |
0.54% | | | 07/20/36 | 3 | | | 1,110,000 | | | | 749,535 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1 | | | | | | | | | |
3.06% | | | 10/25/34 | 3 | | | 151,906 | | | | 138,869 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | | | | | |
0.64% | | | 11/25/34 | 3 | | | 52,960 | | | | 33,902 | |
| Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | | | | | |
3.24% | | | 06/25/37 | 3 | | | 2,454,945 | | | | 1,255,097 | |
| Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 1A1 | | | | | | | | | |
4.94% | | | 05/25/37 | 3 | | | 18,185 | | | | 8,379 | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 556,649 | | | | 554,529 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | $ | 148,184 | | | $ | 147,621 | |
| Lake Country Mortgage Loan Trust, Series 2006-HE1, Class M5 | | | | | | | | | |
2.24% | | | 07/25/34 | 4 | | | 700,000 | | | | 301,000 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | | | | | |
5.27% | | | 09/15/18 | | | | 507,948 | | | | 530,942 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5 | | | | | | | | | |
5.87% | | | 05/15/22 | | | | 291,864 | | | | 307,461 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 08/15/28 | 3 | | | 919,798 | | | | 997,253 | |
| Lehman XS Trust, Series 2007-12N, Class 1A3A | | | | | | | | | |
0.44% | | | 07/25/47 | 3 | | | 4,500,000 | | | | 1,443,427 | |
| Lehman XS Trust, Series 2007-14H, Class A12 | | | | | | | | | |
0.74% | | | 07/25/47 | 3 | | | 6,941,794 | | | | 865,402 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
2.82% | | | 01/25/34 | 3 | | | 1,850 | | | | 1,483 | |
| MASTR Asset Securitization Trust, Series 2002-8, Class 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 5,114 | | | | 5,281 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.76% | | | 10/25/32 | 3 | | | 3,344 | | | | 2,822 | |
| MASTR Seasoned Securities Trust, Series 2004-2, Class A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 95,431 | | | | 99,179 | |
| MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1 | | | | | | | | | |
2.70% | | | 10/25/32 | 3 | | | 7,570 | | | | 6,866 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.42% | | | 06/25/37 | 3 | | | 811,700 | | | | 362,923 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | | | | | |
0.48% | | | 06/25/37 | 3 | | | 1,500,000 | | | | 644,759 | |
| Mid-State Trust, Series 11, Class A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 1,269,134 | | | | 1,281,205 | |
| Mid-State Trust, Series 2004-1, Class A | | | | | | | | | |
6.00% | | | 08/15/37 | | | | 640,801 | | | | 674,683 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 823,887 | | | | 826,066 | |
| Mid-State Trust, Series 2004-1, Class M1 | | | | | | | | | |
6.50% | | | 08/15/37 | | | | 686,572 | | | | 688,585 | |
| Mid-State Trust, Series 2005-1, Class M2 | | | | | | | | | |
7.08% | | | 01/15/40 | | | | 1,013,099 | | | | 1,026,634 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 37
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Morgan Stanley ABS Capital I, Series 2004-NC7, Class M2 | | | | | | | | | |
0.86% | | | 07/25/34 | 3 | | $ | 2,000,000 | | | $ | 1,801,004 | |
| Morgan Stanley ABS Capital I, Series 2005-HE3, Class M3 | | | | | | | | | |
0.76% | | | 07/25/35 | 3 | | | 1,903,000 | | | | 1,369,363 | |
| Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4 | | | | | | | | | |
0.52% | | | 09/25/36 | 3 | | | 2,450,000 | | | | 1,439,565 | |
| Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 22,676 | | | | 22,728 | |
| Option One Mortgage Loan Trust, Series 2007-6, Class 2A4 | | | | | | | | | |
0.48% | | | 07/25/37 | 3 | | | 2,159,800 | | | | 733,135 | |
| Origen Manufactured Housing, Series 2004-A, Class M2 | | | | | | | | | |
6.64% | | | 01/15/35 | 3 | | | 647,496 | | | | 656,033 | |
| Residential Accredit Loans, Inc., Series 2003-QS17, Class NB1 | | | | | | | | | |
5.25% | | | 09/25/33 | | | | 5,882 | | | | 5,870 | |
| Residential Asset Mortgage Products, Inc., Series 2002-RS4, Class AI5 (STEP) | | | | | | | | | |
6.16% | | | 08/25/32 | | | | 2,220 | | | | 1,155 | |
| Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AI5 (STEP) | | | | | | | | | |
5.69% | | | 03/25/33 | | | | 15,836 | | | | 8,416 | |
| Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41 | | | | | | | | | |
8.00% | | | 04/25/31 | | | | 55,607 | | | | 58,981 | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
2.66% | | | 12/25/34 | 3 | | | 98,996 | | | | 88,191 | |
| Residential Funding Mortgage Securities II, Inc., Series 2001-HI3, Class AI7 (STEP) | | | | | | | | | |
7.56% | | | 07/25/26 | | | | 511,692 | | | | 480,705 | |
| Residential Funding Mortgage Securities II, Inc., Series 2003-HS2, Class AI4 (STEP) | | | | | | | | | |
3.87% | | | 07/25/33 | | | | 17,066 | | | | 16,224 | |
| Resmae Mortgage Loan Trust, Series 2006-1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 3,4 | | | 8,563 | | | | 84 | |
| SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 3 | | | 80,104 | | | | 40,194 | |
| Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.38% | | | 12/25/36 | 3 | | | 1,680,000 | | | | 1,395,615 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1 | | | | | | | | | |
5.78% | | | 06/25/37 | 3 | | | 1,648,926 | | | | 1,205,317 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Structured Asset Mortgage Investments, Inc., Series 2005-AR3, Class 1A1 | | | | | | | | | |
0.50% | | | 08/25/35 | 3 | | $ | 1,148,948 | | | $ | 683,203 | |
| Structured Asset Mortgage Investments, Inc., Series 2005-AR8, Class A2 | | | | | | | | | |
1.72% | | | 02/25/36 | 3 | | | 1,416,667 | | | | 893,978 | |
| Terwin Mortgage Trust, Series 2005-9HGS, Class A1 | | | | | | | | | |
4.00% | | | 08/25/35 | 3,4 | | | 9,460 | | | | 9,206 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.96% | | | 04/15/30 | 3 | | | 3,657 | | | | 1,524 | |
| UCFC Home Equity Loan, Series 1998-D, Class MF1 | | | | | | | | | |
6.90% | | | 04/15/30 | | | | 118,429 | | | | 119,988 | |
| Vanderbilt Mortgage Finance, Series 2000-C, Class ARM | | | | | | | | | |
0.57% | | | 10/07/30 | 3 | | | 694,227 | | | | 641,194 | |
| Vanderbilt Mortgage Finance, Series 2001-A, Class M1 | | | | | | | | | |
7.74% | | | 04/07/31 | 3 | | | 725,703 | | | | 772,190 | |
| WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A | | | | | | | | | |
2.59% | | | 01/25/33 | 3 | | | 22,293 | | | | 20,616 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A | | | | | | | | | |
0.94% | | | 01/25/47 | 3 | | | 2,217,578 | | | | 993,080 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1 | | | | | | | | | |
1.01% | | | 04/25/47 | 3 | | | 766,228 | | | | 418,002 | |
| Wells Fargo Home Equity Trust, Series 2006-1, Class A3 | | | | | | | | | |
0.38% | | | 05/25/36 | 3 | | | 253,007 | | | | 247,082 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 49,055,283 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 26.51% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.00% | | | 10/25/26 | | | | 7,015,000 | | | | 7,224,354 | |
4.00% | | | 10/25/41 | | | | 9,855,000 | | | | 10,329,272 | |
| Fannie Mae Pool 253974 | | | | | | | | | |
7.00% | | | 08/01/31 | | | | 19,761 | | | | 22,464 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 31,047 | | | | 34,247 | |
| Fannie Mae Pool 527247 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 123 | | | | 140 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 10,193 | | | | 11,587 | |
| Fannie Mae Pool 545646 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 86 | | | | 98 | |
See accompanying notes to Schedule of Portfolio Investments.
38 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 549740 | | | | | | | | | |
6.50% | | | 10/01/27 | | | $ | 31,137 | | | $ | 34,415 | |
| Fannie Mae Pool 555177 | | | | | | | | | |
2.39% | | | 01/01/33 | 3 | | | 32,310 | | | | 33,625 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 1,612 | | | | 1,754 | |
| Fannie Mae Pool 606108 | | | | | | | | | |
7.00% | | | 03/01/31 | | | | 1,733 | | | | 1,989 | |
| Fannie Mae Pool 630599 | | | | | | | | | |
7.00% | | | 05/01/32 | | | | 17,033 | | | | 19,624 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 10,655 | | | | 12,288 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 8,434 | | | | 9,626 | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | | 18,979 | | | | 20,342 | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | | 167,846 | | | | 185,146 | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | | 261,297 | | | | 296,028 | |
| Fannie Mae Pool 764388 | | | | | | | | | |
5.02% | | | 03/01/34 | 3 | | | 212,945 | | | | 229,071 | |
| Fannie Mae Pool 770869 | | | | | | | | | |
2.33% | | | 04/01/34 | 3 | | | 402,138 | | | | 422,817 | |
| Fannie Mae Pool 776708 | | | | | | | | | |
5.00% | | | 05/01/34 | | | | 701,215 | | | | 767,706 | |
| Fannie Mae Pool 817611 | | | | | | | | | |
5.28% | | | 11/01/35 | 3 | | | 125,673 | | | | 135,010 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
5.19% | | | 12/01/35 | 3 | | | 9,033 | | | | 9,711 | |
| Fannie Mae Pool 889117 | | | | | | | | | |
5.00% | | | 10/01/35 | | | | 2,280,421 | | | | 2,460,003 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 857,158 | | | | 926,233 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 900,871 | | | | 984,821 | |
| Fannie Mae Pool 890221 | | | | | | | | | |
5.50% | | | 12/01/33 | | | | 1,447,601 | | | | 1,578,733 | |
| Fannie Mae Pool 895606 | | | | | | | | | |
5.71% | | | 06/01/36 | 3 | | | 305,436 | | | | 332,257 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.81% | | | 05/01/37 | 3 | | | 30,273 | | | | 32,931 | |
| Fannie Mae Pool 939419 | | | | | | | | | |
5.62% | | | 05/01/37 | 3 | | | 474,123 | | | | 510,616 | |
| Fannie Mae Pool AD0249 | | | | | | | | | |
5.50% | | | 04/01/37 | | | | 2,660,711 | | | | 2,901,734 | |
| Fannie Mae Pool AD0791 | | | | | | | | | |
4.76% | | | 02/01/20 | | | | 993,410 | | | | 1,117,939 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool AE0600 | | | | | | | | | |
3.97% | | | 11/01/20 | | | $ | 1,047,837 | | | $ | 1,131,558 | |
| Fannie Mae Pool AE0605 | | | | | | | | | |
4.67% | | | 07/01/20 | | | | 999,841 | | | | 1,121,755 | |
| Fannie Mae Pool AH3428 | | | | | | | | | |
3.50% | | | 01/01/26 | | | | 3,164,478 | | | | 3,334,198 | |
| Fannie Mae Pool AL0209 | | | | | | | | | |
4.50% | | | 05/01/41 | | | | 1,213,835 | | | | 1,307,386 | |
| Fannie Mae Whole Loan, Series 2003-W6, Class 5T (IO) | | | | | | | | | |
0.55% | | | 09/25/42 | 3 | | | 32,593,149 | | | | 468,905 | |
| Fannie Mae, Series 1989-25, Class G | | | | | | | | | |
6.00% | | | 06/25/19 | | | | 3,089 | | | | 3,381 | |
| Fannie Mae, Series 1992-116, Class B | | | | | | | | | |
6.50% | | | 06/25/22 | | | | 494 | | | | 539 | |
| Fannie Mae, Series 1993-225, Class SG | | | | | | | | | |
26.46% | | | 12/25/13 | 3 | | | 56,235 | | | | 66,853 | |
| Fannie Mae, Series 1993-80, Class S | | | | | | | | | |
10.57% | | | 05/25/23 | 3 | | | 20,368 | | | | 23,256 | |
| Fannie Mae, Series 2001-52, Class YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | | 483,720 | | | | 568,497 | |
| Fannie Mae, Series 2003-27, Class SG (IO) | | | | | | | | | |
7.42% | | | 04/25/17 | 3 | | | 3,029,087 | | | | 121,336 | |
| Fannie Mae, Series 2007-64, Class FA | | | | | | | | | |
0.70% | | | 07/25/37 | 3 | | | 847,266 | | | | 842,897 | |
| Fannie Mae, Series 2008-50, Class SA (IO) | | | | | | | | | |
5.82% | | | 11/25/36 | 3 | | | 7,807,567 | | | | 1,168,398 | |
| Freddie Mac Gold Pool A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 939,456 | | | | 1,021,842 | |
| Freddie Mac Gold Pool A33262 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 137,455 | | | | 152,283 | |
| Freddie Mac Gold Pool A68781 | | | | | | | | | |
5.50% | | | 10/01/37 | | | | 34,691 | | | | 37,994 | |
| Freddie Mac Gold Pool A94843 | | | | | | | | | |
4.00% | | | 11/01/40 | | | | 2,463,745 | | | | 2,595,915 | |
| Freddie Mac Gold Pool C90504 | | | | | | | | | |
6.50% | | | 12/01/21 | | | | 3,989 | | | | 4,413 | |
| Freddie Mac Gold Pool E01279 | | | | | | | | | |
5.50% | | | 01/01/18 | | | | 5,576 | | | | 6,019 | |
| Freddie Mac Gold Pool E90474 | | | | | | | | | |
6.00% | | | 07/01/17 | | | | 11,058 | | | | 12,037 | |
| Freddie Mac Gold Pool G01548 | | | | | | | | | |
7.50% | | | 07/01/32 | | | | 792,144 | | | | 939,859 | |
| Freddie Mac Gold Pool G01601 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 22,160 | | | | 23,432 | |
| Freddie Mac Gold Pool G01611 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 8,400 | | | | 8,882 | |
| Freddie Mac Gold Pool G01644 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 744,097 | | | | 810,880 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 39
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G01673 | | | | | | | | | |
5.50% | | | 04/01/34 | | | $ | 65,063 | | | $ | 72,082 | |
| Freddie Mac Gold Pool G02366 | | | | | | | | | |
6.50% | | | 10/01/36 | | | | 546,335 | | | | 606,155 | |
| Freddie Mac Gold Pool G03640 | | | | | | | | | |
5.50% | | | 12/01/37 | | | | 822,116 | | | | 906,691 | |
| Freddie Mac Gold Pool G06242 | | | | | | | | | |
4.50% | | | 09/01/40 | | | | 2,543,970 | | | | 2,733,183 | |
| Freddie Mac Gold Pool G06354 | | | | | | | | | |
4.00% | | | 04/01/41 | | | | 1,260,758 | | | | 1,321,825 | |
| Freddie Mac Gold Pool G06499 | | | | | | | | | |
4.00% | | | 03/01/41 | | | | 1,754,060 | | | | 1,846,240 | |
| Freddie Mac Gold Pool G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 9,507 | | | | 10,348 | |
| Freddie Mac Gold Pool G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 751,935 | | | | 815,908 | |
| Freddie Mac Gold Pool G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 745,442 | | | | 805,485 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 590,962 | | | | 637,823 | |
| Freddie Mac Gold Pool J06246 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 435,679 | | | | 472,761 | |
| Freddie Mac Gold Pool J13884 | | | | | | | | | |
3.50% | | | 12/01/25 | | | | 2,598,194 | | | | 2,711,837 | |
| Freddie Mac Non Gold Pool 1B3413 | | | | | | | | | |
5.93% | | | 05/01/37 | 3 | | | 598,761 | | | | 645,571 | |
| Freddie Mac Non Gold Pool 1J0045 | | | | | | | | | |
5.09% | | | 01/01/36 | 3 | | | 14,523 | | | | 15,515 | |
| Freddie Mac, Series 1602, Class SN | | | | | | | | | |
10.09% | | | 10/15/23 | 3 | | | 14,590 | | | | 17,921 | |
| Freddie Mac, Series 1688, Class W | | | | | | | | | |
7.25% | | | 03/15/14 | | | | 2,906 | | | | 3,058 | |
| Freddie Mac, Series 2174, Class PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 185,185 | | | | 201,006 | |
| Freddie Mac, Series 2561, Class BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 29,238 | | | | 432 | |
| Freddie Mac, Series 2929, Class PE | | | | | | | | | |
5.00% | | | 05/15/33 | | | | 55,000 | | | | 59,528 | |
| Freddie Mac, Series R001, Class AE | | | | | | | | | |
4.38% | | | 04/15/15 | | | | 118,024 | | | | 118,566 | |
| Ginnie Mae I (TBA) | | | | | | | | | |
4.00% | | | 10/15/40 | | | | 1,230,000 | | | | 1,315,716 | |
| Ginnie Mae I Pool 782810 | | | | | | | | | |
4.50% | | | 11/15/39 | | | | 2,655,868 | | | | 2,905,893 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
2.62% | | | 07/20/34 | 3 | | | 69,530 | | | | 71,596 | |
| Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 33,236 | | | | 1,178 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Government National Mortgage Association, Series 2004-8, Class SE | | | | | | | | | |
13.83% | | | 11/26/23 | 3 | | $ | 134,147 | | | $ | 166,161 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | | | | | | | | | |
0.59% | | | 11/06/17 | 3 | | | 1,855,237 | | | | 1,855,812 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 2A | | | | | | | | | |
0.69% | | | 11/05/20 | 3 | | | 1,123,877 | | | | 1,127,035 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
0.75% | | | 03/09/21 | 3 | | | 1,378,757 | | | | 1,382,204 | |
| NCUA Guaranteed Notes, Series 2011-R2, Class 1A | | | | | | | | | |
0.62% | | | 02/06/20 | 3 | | | 1,294,501 | | | | 1,296,935 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 70,543,561 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $143,177,125) | | | | | | | | 147,721,824 | |
| | | | | | | | | | | | |
| MUNICIPAL BONDS — 1.07%* | |
| California — 0.46% | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
6.20% | | | 10/01/19 | | | | 866,000 | | | | 987,561 | |
| State of California, Taxable, Various Purpose, Series 3 | | | | | | | | | |
5.95% | | | 04/01/16 | | | | 225,000 | | | | 253,789 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,241,350 | |
| | | | | | | | | | | | |
| Illinois — 0.61% | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 800,000 | | | | 825,408 | |
5.66% | | | 03/01/18 | | | | 525,000 | | | | 565,645 | |
5.88% | | | 03/01/19 | | | | 210,000 | | | | 224,349 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,615,402 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $2,653,312) | | | | 2,856,752 | |
| | | | | | | | | | | | |
| U.S. AGENCY SECURITIES — 5.37% | |
U.S. Agency Securities — 5.37% | | | | | |
| Fannie Mae | | | | | | | | | |
0.36% | | | 06/23/14 | 3 | | | 2,225,000 | | | | 2,227,781 | |
0.55% | | | 09/06/13 | | | | 2,535,000 | | | | 2,535,944 | |
0.60% | | | 09/12/13 | | | | 5,125,000 | | | | 5,129,985 | |
| Freddie Mac | | | | | | | | | |
0.22% | | | 10/12/12 | 3 | | | 4,390,000 | | | | 4,389,658 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,283,368 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $14,273,144) | | | | 14,283,368 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
40 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| U.S. TREASURY SECURITIES — 8.58% | |
U.S. Treasury Notes — 8.58% | |
U.S. Treasury Notes | | | | | |
2.12% | | | 08/15/21 | | | $ | 14,470,000 | | | $ | 14,725,486 | |
U.S. Treasury Notes - Treasury Inflation Indexed Notes | | | | | |
3.00% | | | 07/15/12 | | | | 6,280,000 | | | | 8,116,059 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities (Cost $22,537,074) | | | | 22,841,545 | |
| | | | | | | | | | | | |
Total Bonds – 100.50% (Cost $259,807,107) | | | | | | | | 267,413,335 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 5.33% | |
Commercial Paper — 1.77% | |
| National Australia Funding Corp. | | | | | | | | | |
0.23%6 | | | 11/01/11 | 4 | | | 2,355,000 | | | | 2,354,708 | |
| UBS Finance Corp. | | | | | | | | | |
0.25%6 | | | 11/07/11 | | | | 2,355,000 | | | | 2,354,481 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,709,189 | |
| | | | | | | | | | | | |
Money Market Fund — 2.45% | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%7 | | | | | | | 25,000 | | | | 25,000 | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.09%7 | | | | | | | 2,456,000 | | | | 2,456,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%7 | | | | | | | 180,000 | | | | 180,000 | |
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | | | | | | | | | |
0.07%7 | | | | | | | 2,595,000 | | | | 2,595,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.10%7,8 | | | | | | | 1,268,000 | | | | 1,268,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,524,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 1.07% | |
| Fannie Mae | | | | | | | | | |
0.08%6 | | | 12/19/11 | | | | 875,000 | | | | 874,982 | |
0.08%6 | | | 12/19/11 | | | | 1,980,000 | | | | 1,979,958 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,854,940 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.04% | |
| U.S. Treasury Bills | | | | | | | | | |
0.01%6 | | | 11/10/11 | 9 | | | 45,000 | | | | 45,000 | |
0.01%6 | | | 11/10/11 | 9 | | | 15,000 | | | | 15,000 | |
0.01%6 | | | 11/10/11 | 9 | | | 32,000 | | | | 32,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 92,000 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $14,179,511) | | | | | | | | 14,180,129 | |
| | | | | | | | | | | | |
| | | | |
| | | Value | |
Total Investments – 105.83% (Cost $273,986,618)1 | | $ | 281,593,464 | |
| | | | |
| Liabilities in Excess of Other Assets – (5.83)% | | | (15,517,500 | ) |
| | | | |
| Net Assets – 100.00% | | $ | 266,075,964 | |
| | | | |
| | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
| FUTURES CONTRACTS: LONG POSITIONS | |
| 17 | | U.S. Treasury Ten Year Note, Expiration December 2011 | | $ | 12,980 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 12,980 | |
| | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
| FUTURES CONTRACTS: SHORT POSITIONS | |
| 2 | | Euro Dollar Ninety Day, Expiration December 2011 | | $ | (14,180 | ) |
| 2 | | Euro Dollar Ninety Day, Expiration March 2012 | | | (14,930 | ) |
| 2 | | Euro Dollar Ninety Day, Expiration June 2012 | | | (15,955 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (45,065 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid | | | Notional
Amount
(000’s) b | | | Appreciation | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
| 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 | | $ | 5,780 | | | $ | 135 | | | $ | 9,366 | | | $ | 15,146 | |
| 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. | |
| | 09/20/16 | | | 5,780 | | | | 135 | | | | 9,366 | | | | 15,146 | |
| 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 | | | 269 | | | | 125 | | | | 8,656 | | | | 8,925 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 11,829 | | | $ | 395 | | | $ | 27,388 | | | $ | 39,217 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid | | | 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: Barclays Capital, Inc. | |
| | 10/12/52 | | $ | 17,728 | | | $ | 215 | | | $ | 34,176 | | | $ | 51,904 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 41
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | | 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 | | $ | 23,123 | | | $ | 250 | | | $ | 37,230 | | | $ | 60,353 | |
| 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 | | | 928,816 | | | | 1,605 | | | | (541,348 | ) | | | 387,468 | |
| | | | | | | | | | | | | | | | | | |
| | $ | 969,667 | | | $ | 2,070 | | | $ | (469,942 | ) | | $ | 499,725 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
Expiration
Date | | Credit
Ratinga | | Premiums
(Received) | | | Notional
Amount
(000’s) b | | | (Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc. | |
09/20/16 | | A+ | | $ | (123,697 | ) | | $ | 2,220 | | | $ | (38,376 | ) | | $ | (162,073 | ) |
| | | | | | | | | | | | | | | | | | |
| | $ | (123,697 | ) | | $ | 2,220 | | | $ | (38,376 | ) | | $ | (162,073 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | | Notional
Amount
(000’s) b | | | (Depreciation) | | | 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 | | $ | (1,296,666 | ) | | $ | 2,234 | | | $ | (151,184 | ) | | $ | (1,447,850 | ) |
| 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 | | | (89,007 | ) | | | 146 | | | | (5,418 | ) | | | (94,425 | ) |
| | | | | | | | | | | | | | | | | | |
| | $ | (1,385,673 | ) | | $ | 2,380 | | | $ | (156,602 | ) | | $ | (1,542,275 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
(Received) | | | Notional
Amount
(000’s) b | | | Appreciation | | | Valuec | |
SWAPTION: RATE FLOOR INFLATION | |
| The Fund received a fixed payment equal to $13,685 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | |
11/23/20 | | $ | (13,685 | ) | | $ | 1,190 | | | $ | 7,973 | | | $ | (5,712 | ) |
| | | | | | | | | | | | | | | | | | |
| | $ | (13,685 | ) | | $ | 1,190 | | | $ | 7,973 | | | $ | (5,712 | ) |
| | | | | | | | | | | | | | | | | | |
| 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 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 $274,168,783 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
| Gross unrealized appreciation | | $ | 11,375,554 | |
| Gross unrealized depreciation | | | (3,950,873 | ) |
| | | | |
| Net unrealized appreciation | | $ | 7,424,681 | |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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, 2011, was $30,343,413, representing 11.40% of total net assets. |
| 5 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | | Value | | | % of
Total
Net Assets |
| 10/22/07 | | HCA, Inc., Term Loan B3, 3.62%, 05/01/18 | | $ | 452,007 | | | $ | 428,892 | | | 0.16% |
| 6 | Represents annualized yield at date of purchase. |
| 7 | Represents the current yield as of September 30, 2011. |
| 8 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,268,000. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $91,999. |
| † | Fair valued security. The aggregate value of fair valued securities is $580,996, which is 0.22% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
See accompanying notes to Schedule of Portfolio Investments.
42 / Semi-Annual Report September 2011
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| (AGM): | Assurance Guaranty Municipal Corp. (formerly known as FSA |
| (Financial | Security Assurance, Inc.)) |
| (BKNT): | Banker’s Note, Inc. |
| (LIBOR): | London InterBank Offer Rate |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 43
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS — 102.69% | | | | | |
ASSET-BACKED SECURITIES — 5.61%** | | | | | |
| Aerco Ltd., Series 2A, Class A3 (United Kingdom) | | | | | | | | | |
0.69% | | | 07/15/25 | 2,3,4 | | $ | 82,548,393 | | | $ | 61,911,295 | |
| Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1 | | | | | | | | | |
0.49% | | | 06/14/37 | 3,4 | | | 49,234,874 | | | | 43,572,864 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | | | | | |
0.53% | | | 11/14/33 | 2,3,4 | | | 53,786,172 | | | | 47,331,831 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | | | | | |
0.60% | | | 01/25/35 | 3,4 | | | 6,233,030 | | | | 4,886,970 | |
| Bayview Commercial Asset Trust, Series 2005-1A, Class A1 | | | | | | | | | |
0.54% | | | 04/25/35 | 3,4 | | | 6,578,596 | | | | 5,210,261 | |
| Bayview Commercial Asset Trust, Series 2005-2A, Class A1 | | | | | | | | | |
0.54% | | | 08/25/35 | 3,4 | | | 14,943,005 | | | | 11,551,152 | |
| Bayview Commercial Asset Trust, Series 2006-3A, Class A1 | | | | | | | | | |
0.48% | | | 10/25/36 | 3,4 | | | 6,765,878 | | | | 4,936,151 | |
| Bayview Commercial Asset Trust, Series 2006-4A, Class A1 | | | | | | | | | |
0.46% | | | 12/25/36 | 3,4 | | | 311,982 | | | | 225,215 | |
| Bayview Commercial Asset Trust, Series 2007-1, Class A1 | | | | | | | | | |
0.46% | | | 03/25/37 | 3,4 | | | 3,595,298 | | | | 2,581,813 | |
| Bayview Commercial Asset Trust, Series 2007-2A, Class A1 | | | | | | | | | |
0.50% | | | 07/25/37 | 3,4 | | | 19,304,228 | | | | 13,398,428 | |
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | | | | | | | | | |
0.48% | | | 07/25/37 | 3,4 | | | 3,377,221 | | | | 2,469,948 | |
| Brazos Higher Education Authority, Inc. 2005-1 1A4 | | | | | | | | | |
0.46% | | | 03/26/29 | 3 | | | 10,000,000 | | | | 9,276,000 | |
| Brazos Higher Education Authority, Series 2011-2, Class A3 | | | | | | | | | |
1.25% | | | 10/27/36 | 3 | | | 24,400,000 | | | | 22,211,083 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.45% | | | 03/25/42 | 3,4 | | | 24,730,774 | | | | 22,640,353 | |
| CIT Education Loan Trust, Series 2007-1, Class B | | | | | | | | | |
0.66% | | | 06/25/42 | 3,4 | | | 25,000,000 | | | | 18,511,123 | |
| College Loan Corp. Trust, Series 2005-2, Class B | | | | | | | | | |
0.74% | | | 01/15/37 | 3 | | | 7,500,000 | | | | 5,699,347 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP) | | | | | | | | | |
5.85% | | | 01/25/37 | | | | 10,293,948 | | | | 3,855,830 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP) | | | | | | | | | |
5.85% | | | 01/25/37 | | | $ | 19,246,741 | | | $ | 7,526,790 | |
| Discover Card Master Trust, Series 2009-A2, Class A | | | | | | | | | |
1.53% | | | 02/17/15 | 3 | | | 7,275,000 | | | | 7,332,115 | |
| GE Business Loan Trust, Series 2004-1, Class A | | | | | | | | | |
0.52% | | | 05/15/32 | 3,4 | | | 31,124,616 | | | | 29,061,263 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.48% | | | 06/15/33 | 3,4 | | | 17,589,281 | | | | 14,869,342 | |
| GE Business Loan Trust, Series 2005-2A, Class A | | | | | | | | | |
0.47% | | | 11/15/33 | 3,4 | | | 41,184,963 | | | | 34,665,671 | |
| GE Seaco Finance SRL, Series 2004-1A, Class A (Barbados) | | | | | | | | | |
0.53% | | | 04/17/19 | 2,3,4 | | | 11,599,168 | | | | 11,286,883 | |
| GE Seaco Finance SRL, Series 2005-1A, Class A (Barbados) | | | | | | | | | |
0.48% | | | 11/17/20 | 2,3,4 | | | 38,393,751 | | | | 36,881,571 | |
| Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda) | | | | | | | | | |
0.47% | | | 12/19/32 | 2,3,4 | | | 45,361,157 | | | | 40,038,309 | |
| Goal Capital Funding Trust, Series 2005-2, Class B | | | | | | | | | |
0.84% | | | 11/25/44 | 3 | | | 20,000,000 | | | | 16,419,394 | |
| Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS | | | | | | | | | |
7.24% | | | 12/15/22 | | | | 55,363 | | | | 36,918 | |
| GSC Partners Gemini Fund Ltd., Series 1A, Class A (Cayman Islands) | | | | | | | | | |
0.90% | | | 10/10/14 | 2,3,4 | | | 1,540,463 | | | | 1,505,803 | |
| Lease Investment Flight Trust, Series 1, Class A1 | | | | | | | | | |
0.62% | | | 07/15/31 | 3 | | | 23,260,000 | | | | 15,235,300 | |
| Lease Investment Flight Trust, Series 1, Class A2 | | | | | | | | | |
0.66% | | | 07/15/31 | 3 | | | 67,270,000 | | | | 43,767,207 | |
| Lehman Brothers Small Balance Commercial, Series 2007-1A, Class 2A3 | | | | | | | | | |
5.62% | | | 03/25/37 | 3,4 | | | 15,000,000 | | | | 11,892,117 | |
| North Carolina State Education Authority 2011-1 A3 | | | | | | | | | |
1.15% | | | 10/25/41 | 3 | | | 27,000,000 | | | | 24,774,930 | |
| Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1 | | | | | | | | | |
1.00% | | | 01/29/46 | 3 | | | 33,775,000 | | | | 31,995,530 | |
| PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands) | | | | | | | | | |
1.60% | | | 12/31/11 | 2,3,4,5,† | | | 887,964 | | | | 17,759 | |
See accompanying notes to Schedule of Portfolio Investments.
44 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3 | | | | | | | | | |
1.21% | | | 10/01/37 | 3 | | $ | 16,665,000 | | | $ | 15,862,045 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | | | | | |
1.95% | | | 12/15/32 | 3 | | | 17,375,000 | | | | 17,948,114 | |
| South Carolina Student Loan Corp., Series A2 | | | | | | | | | |
0.37% | | | 12/01/22 | 3 | | | 29,000,000 | | | | 26,851,970 | |
| TAL Advantage LLC 2006-1 NOTE | | | | | | | | | |
0.42% | | | 04/20/21 | 3,4 | | | 33,240,625 | | | | 30,280,318 | |
| TAL Advantage LLC, Series 2010-2A, Class A | | | | | | | | | |
4.30% | | | 10/20/25 | 4 | | | 10,318,667 | | | | 9,807,370 | |
| TAL Advantage LLC, Series 2011-1A, Class A | | | | | | | | | |
4.60% | | | 01/20/26 | 4 | | | 14,000,000 | | | | 14,022,805 | |
| TAL Advantage LLC, Series 2011-2A, Class A | | | | | | | | | |
4.31% | | | 05/20/26 | 4 | | | 11,358,333 | | | | 11,558,439 | |
| Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda) | | | | | | | | | |
0.48% | | | 05/15/20 | 2,3,4 | | | 2,841,667 | | | | 2,644,881 | |
| Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda) | | | | | | | | | |
4.70% | | | 06/15/26 | 2,4 | | | 23,824,125 | | | | 23,998,034 | |
| Trinity Rail Leasing LP, Series 2006-1A, Class A1 | | | | | | | | | |
5.90% | | | 05/14/36 | 4 | | | 7,348,445 | | | | 8,000,391 | |
| Trip Rail Master Funding LLC, Series 2011-1A, Class A1A | | | | | | | | | |
8.00% | | | 07/06/14 | 4,5,† | | | 29,875,000 | | | | 29,874,842 | |
| Triton Container Finance LLC, Series 2006-1A NOTE | | | | | | | | | |
0.40% | | | 11/26/21 | 3,4 | | | 31,261,435 | | | | 28,517,347 | |
| Triton Container Finance LLC, Series 2007-1A NOTE | | | | | | | | | |
0.37% | | | 02/26/19 | 3,4 | | | 18,487,155 | | | | 17,206,411 | |
| US Education Loan Trust LLC, Series 2006-2A, Class A1 | | | | | | | | | |
0.51% | | | 03/01/31 | 3,4 | | | 51,025,000 | | | | 45,505,161 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $887,104,274) | | | | 889,654,694 | |
| | | | | | | | | | | | |
| CORPORATES — 25.06%* | | | | | | | | | |
| Banking — 5.49% | | | | | | | | | |
Abbey National Treasury Services Plc/London (United Kingdom) | | | | | | | | | |
2.88% | | | 04/25/14 | 2 | | | 740,000 | | | | 696,656 | |
3.88% | | | 11/10/14 | 2,4 | | | 23,210,000 | | | | 22,302,721 | |
Abbey National Treasury Services Plc/Stamford CT (YCD) (United Kingdom) | | | | | | | | | |
1.55% | | | 04/25/13 | 2,3 | | | 13,950,000 | | | | 14,115,593 | |
Ally Financial, Inc. | | | | | |
2.53% | | | 12/01/14 | 3 | | | 9,009,000 | | | | 8,558,550 | |
BAC Capital Trust XV | | | | | |
1.13% | | | 06/01/56 | 3 | | | 17,450,000 | | | | 10,113,124 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
| Banking (continued) | | | | | | | | | |
| Bank of America Corp. | | | | | | | | | |
1.80% | | | 07/11/14 | 3 | | $ | 5,485,000 | | | $ | 4,891,204 | |
5.62% | | | 07/01/20 | | | | 48,635,000 | | | | 44,871,089 | |
5.75% | | | 12/01/17 | | | | 1,145,000 | | | | 1,075,210 | |
5.88% | | | 01/05/21 | | | | 25,000,000 | | | | 23,670,575 | |
6.00% | | | 09/01/17 | | | | 300,000 | | | | 288,983 | |
6.50% | | | 08/01/16 | | | | 4,820,000 | | | | 4,791,369 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
0.65% | | | 06/15/17 | 3 | | | 30,420,000 | | | | 22,408,923 | |
6.10% | | | 06/15/17 | | | | 52,493,000 | | | | 48,939,381 | |
| Bank One Corp. (STEP) | | | | | | | | | |
8.53% | | | 03/01/19 | | | | 1,700,000 | | | | 2,050,245 | |
| BankAmerica Capital II, Series 2 | | | | | | | | | |
8.00% | | | 12/15/26 | | | | 800,000 | | | | 748,000 | |
| BankAmerica Capital III | | | | | | | | | |
0.82% | | | 01/15/27 | 3 | | | 11,097,000 | | | | 6,930,889 | |
| BankAmerica Institutional Capital A | | | | | |
8.07% | | | 12/31/26 | 4 | | | 350,000 | | | | 323,750 | |
| Barclays Bank Plc (United Kingdom) | | | | | | | | | |
5.20% | | | 07/10/14 | 2 | | | 12,079,000 | | | | 12,360,851 | |
| Capital One Financial Corp. | | | | | | | | | |
7.38% | | | 05/23/14 | | | | 3,710,000 | | | | 4,146,541 | |
| Chase Capital VI | | | | | | | | | |
0.88% | | | 08/01/28 | 3 | | | 8,640,000 | | | | 6,807,478 | |
| City National Corp./CA | | | | | | | | | |
5.12% | | | 02/15/13 | | | | 6,200,000 | | | | 6,356,724 | |
| Commonwealth Bank of Australia (Australia) | | | | | |
1.08% | | | 03/17/14 | 2,3,4 | | | 14,785,000 | | | | 14,802,736 | |
2.12% | | | 03/17/14 | 2,4 | | | 28,275,000 | | | | 28,419,816 | |
Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | |
0.98% | | | 05/29/49 | 2,3 | | | 61,409,000 | | | | 40,156,573 | |
| Credit Suisse USA, Inc. | | | | | | | | | |
5.12% | | | 08/15/15 | | | | 15,000 | | | | 15,838 | |
| Credit Suisse/New York (MTN) (Switzerland) | | | | | | | | | |
5.00% | | | 05/15/13 | 2 | | | 14,868,000 | | | | 15,372,442 | |
| Credit Suisse/New York (Switzerland) | | | | | | | | | |
5.30% | | | 08/13/19 | 2 | | | 630,000 | | | | 635,986 | |
5.50% | | | 05/01/14 | 2 | | | 11,790,000 | | | | 12,471,226 | |
6.00% | | | 02/15/18 | 2 | | | 36,759,000 | | | | 37,351,151 | |
| Deutsche Bank AG/London, Series G (MTN) (Germany) | | | | | | | | | |
4.88% | | | 05/20/13 | 2 | | | 14,320,000 | | | | 14,804,789 | |
| Discover Bank/Greenwood DE (BKNT) | | | | | | | | | |
8.70% | | | 11/18/19 | | | | 15,510,000 | | | | 17,747,286 | |
| First Chicago NBD Institutional Capital I | | | | | | | | | |
0.80% | | | 02/01/27 | 3 | | | 5,355,000 | | | | 4,251,953 | |
| Fleet Capital Trust II | | | | | | | | | |
7.92% | | | 12/11/26 | | | | 770,000 | | | | 698,775 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 45
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Banking (continued) | | | | | | | | | |
| HBOS Capital Funding LP (United Kingdom) | | | | | | | | | |
6.07% | | | 06/24/49 | 2,3,4 | | $ | 5,823,000 | | | $ | 3,552,030 | |
| HBOS Plc, Series G (MTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 29,473,000 | | | | 25,705,838 | |
| HSBC Bank Plc (United Kingdom) | | | | | | | | | |
1.05% | | | 01/17/14 | 2,3,4 | | | 29,100,000 | | | | 29,101,912 | |
3.10% | | | 05/24/16 | 2,4 | | | 28,270,000 | | | | 28,196,284 | |
| HSBC Holdings Plc (United Kingdom) | | | | | | | | | |
5.10% | | | 04/05/21 | 2 | | | 23,395,000 | | | | 24,321,528 | |
| JPMorgan Chase & Co. | | | | | | | | | |
4.25% | | | 10/15/20 | | | | 9,525,000 | | | | 9,504,684 | |
4.62% | | | 05/10/21 | | | | 36,300,000 | | | | 37,241,869 | |
6.30% | | | 04/23/19 | | | | 170,000 | | | | 192,268 | |
| JPMorgan Chase & Co., Series C (MTN) | | | | | | | | | |
0.00% | | | 07/23/13 | 3 | | | 2,500,000 | | | | 2,475,750 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
5.88% | | | 06/13/16 | | | | 5,040,000 | | | | 5,335,536 | |
6.00% | | | 07/05/17 | | | | 13,000 | | | | 14,030 | |
6.00% | | | 10/01/17 | | | | 37,477,000 | | | | 39,449,227 | |
| Lloyds TSB Bank Plc (United Kingdom) | | | | | | | | | |
6.38% | | | 01/21/21 | 2 | | | 52,464,000 | | | | 51,703,901 | |
| M&T Capital Trust III | | | | | | | | | |
9.25% | | | 02/01/27 | | | | 10,200,000 | | | | 10,296,472 | |
| National Australia Bank Ltd. (Australia) | | | | | | | | | |
5.35% | | | 06/12/13 | 2,4 | | | 20,425,000 | | | | 21,609,244 | |
| National Capital Trust II | | | | | | | | | |
5.49% | | | 12/29/49 | 3,4 | | | 2,717,000 | | | | 2,394,669 | |
| Nationsbank Cap Trust III | | | | | | | | | |
0.80% | | | 01/15/27 | 3 | | | 8,684,000 | | | | 5,383,481 | |
| NB Capital Trust IV | | | | | | | | | |
8.25% | | | 04/15/27 | | | | 3,549,000 | | | | 3,318,315 | |
| Royal Bank of Scotland Plc (United Kingdom) | | | | | | | | | |
3.95% | | | 09/21/15 | 2 | | | 10,970,000 | | | | 10,330,956 | |
| Royal Bank of Scotland Plc (United Kingdom) | | | | | | | | | |
3.25% | | | 01/11/14 | 2 | | | 32,400,000 | | | | 31,431,240 | |
| Royal Bank of Scotland Plc, Series 1 (United Kingdom) | | | | | | | | | |
2.72% | | | 08/23/13 | 2,3 | | | 10,830,000 | | | | 10,799,394 | |
| Svenska Handelsbanken AB (Sweden) | | | | | | | | | |
4.88% | | | 06/10/14 | 2,4 | | | 23,240,000 | | | | 24,573,000 | |
| Union Bank NA (BKNT) | | | | | | | | | |
3.00% | | | 06/06/16 | | | | 15,875,000 | | | | 15,839,768 | |
| Wachovia Corp. | | | | | | | | | |
0.59% | | | 10/28/15 | 3 | | | 13,165,000 | | | | 11,964,881 | |
| Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | | 05/01/13 | | | | 35,000 | | | | 37,207 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Banking (continued) | | | | | | | | | |
| Westpac Banking Corp. (Australia) | | | | | | | | | |
1.10% | | | 03/31/14 | 2,3,4 | | $ | 32,750,000 | | | $ | 32,790,462 | |
4.88% | | | 11/19/19 | 2 | | | 225,000 | | | | 234,342 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 870,974,715 | |
| | | | | | | | | | | | |
Communications — 1.72% | | | | | | | | | |
| AT&T, Inc. (PIK) | | | | | | | | | |
5.55% | | | 08/15/41 | | | | 24,530,000 | | | | 26,488,534 | |
| CCH II LLC/CCH II Capital Corp. | | | | | | | | | |
13.50% | | | 11/30/16 | | | | 7,520,000 | | | | 8,619,800 | |
| Cincinnati Bell, Inc. | | | | | | | | | |
8.25% | | | 10/15/17 | | | | 1,000,000 | | | | 975,000 | |
| Comcast Cable Communications Holdings, Inc. | | | | | | | | | |
9.46% | | | 11/15/22 | | | | 250,000 | | | | 361,405 | |
| CSC Holdings LLC | | | | | | | | | |
8.50% | | | 04/15/14 | | | | 36,377,000 | | | | 39,423,574 | |
8.50% | | | 06/15/15 | | | | 19,986,000 | | | | 21,135,195 | |
| Intelsat Jackson Holdings SA (PIK) (Luxembourg) | | | | | | | | | |
9.50% | | | 06/15/16 | 2 | | | 36,228,000 | | | | 36,816,705 | |
| iPCS, Inc. | | | | | | | | | |
2.38% | | | 05/01/13 | 3 | | | 6,255,000 | | | | 5,723,325 | |
| Nextel Communications, Inc., Series C | | | | | | | | | |
5.95% | | | 03/15/14 | | | | 37,620,000 | | | | 35,362,800 | |
| Nextel Communications, Inc., Series E | | | | | | | | | |
6.88% | | | 10/31/13 | | | | 34,231,000 | | | | 33,460,803 | |
| Qwest Communications International, Inc. | | | | | | | | | |
8.00% | | | 10/01/15 | | | | 10,953,000 | | | | 11,555,415 | |
| Qwest Communications International, Inc., Series B | | | | | | | | | |
7.50% | | | 02/15/14 | | | | 7,000,000 | | | | 7,017,500 | |
| Qwest Corp. | | | | | | | | | |
6.75% | | | 12/01/21 | | | | 35,120,000 | | | | 34,331,946 | |
| Telecom Italia Capital SA (Luxembourg) | | | | | | | | | |
7.72% | | | 06/04/38 | 2 | | | 125,000 | | | | 119,507 | |
| Verizon Communications, Inc. | | | | | | | | | |
1.95% | | | 03/28/14 | | | | 9,646,000 | | | | 9,881,491 | |
| Windstream Corp. | | | | | | | | | |
8.62% | | | 08/01/16 | | | | 1,565,000 | | | | 1,631,513 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 272,904,513 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.00% | | | | | |
| Altria Group, Inc. | | | | | | | | | |
10.20% | | | 02/06/39 | | | | 75,000 | | | | 109,325 | |
| | | | | | | | | | | | |
Electric — 2.40% | | | | | | | | | |
| Calpine Construction Finance Co. LP and CCFC Finance Corp. | | | | | | | | | |
8.00% | | | 06/01/16 | 4 | | | 77,817,000 | | | | 80,151,510 | |
See accompanying notes to Schedule of Portfolio Investments.
46 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Electric (continued) | | | | | | | | | |
| Cedar Brakes I LLC | | | | | | | | | |
8.50% | | | 02/15/14 | 4 | | $ | 3,779,798 | | | $ | 4,000,204 | |
| Cedar Brakes II LLC | | | | | | | | | |
9.88% | | | 09/01/13 | 4 | | | 3,843,451 | | | | 4,055,692 | |
| Cleco Power LLC | | | | | | | | | |
6.65% | | | 06/15/18 | | | | 17,795,000 | | | | 21,109,888 | |
| Coso Geothermal Power Holdings | | | | | | | | | |
7.00% | | | 07/15/26 | 4 | | | 27,883,568 | | | | 20,470,359 | |
| Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 54,205,000 | | | | 29,812,750 | |
| Entergy Gulf States Louisiana LLC (WI) | | | | | | | | | |
6.00% | | | 05/01/18 | | | | 17,500,000 | | | | 20,211,503 | |
| Entergy Louisiana LLC | | | | | | | | | |
4.80% | | | 05/01/21 | | | | 500,000 | | | | 541,752 | |
| FirstEnergy Corp., Series C | | | | | | | | | |
7.38% | | | 11/15/31 | | | | 120,000 | | | | 145,816 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.12% | | | 03/25/19 | 4 | | | 279,852 | | | | 273,340 | |
| FPL Energy Wind Funding LLC | | | | | | | | | |
6.88% | | | 06/27/17 | 4 | | | 1,173,000 | | | | 1,032,240 | |
| GenOn REMA LLC, Series B | | | | | | | | | |
9.24% | | | 07/02/17 | | | | 16,392,565 | | | | 16,802,379 | |
| GenOn REMA LLC, Series C | | | | | | | | | |
9.68% | | | 07/02/26 | | | | 1,325,000 | | | | 1,351,500 | |
| Kansas City Power & Light Co. | | | | | | | | | |
6.38% | | | 03/01/18 | | | | 4,290,000 | | | | 5,058,656 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 27,754,000 | | | | 29,854,173 | |
| Mirant Mid Atlantic Pass Through Trust A, Series A | | | | | | | | | |
8.62% | | | 06/30/12 | | | | 3,002,513 | | | | 3,013,772 | |
| Mirant Mid Atlantic Pass Through Trust B, Series B | | | | | | | | | |
9.12% | | | 06/30/17 | | | | 25,401,515 | | | | 25,909,545 | |
| Mirant Mid Atlantic Pass Through Trust C, Series C | | | | | | | | | |
10.06% | | | 12/30/28 | | | | 5,202,732 | | | | 5,462,869 | |
| Nevada Power Co. | | | | | | | | | |
5.45% | | | 05/15/41 | | | | 600,000 | | | | 740,416 | |
| NextEra Energy Capital Holdings, Inc. | | | | | | | | | |
4.50% | | | 06/01/21 | | | | 500,000 | | | | 530,369 | |
5.35% | | | 06/15/13 | | | | 955,000 | | | | 1,021,210 | |
| Nisource Finance Corp. | | | | | | | | | |
6.12% | | | 03/01/22 | | | | 400,000 | | | | 450,798 | |
| NRG Energy, Inc. | | | | | | | | | |
7.38% | | | 01/15/17 | | | | 18,653,000 | | | | 19,329,171 | |
7.62% | | | 01/15/18 | 4 | | | 15,060,000 | | | | 14,081,100 | |
7.62% | | | 05/15/19 | 4 | | | 4,595,000 | | | | 4,342,275 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Electric (continued) | | | | | | | | | |
| PNM Resources, Inc. | | | | | | | | | |
9.25% | | | 05/15/15 | | | $ | 4,280,000 | | | $ | 4,750,800 | |
| Public Service Co. Of New Hampshire | | | | | | | | | |
4.05% | | | 06/01/21 | | | | 1,250,000 | | | | 1,331,937 | |
6.00% | | | 05/01/18 | | | | 5,000,000 | | | | 5,936,780 | |
| Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | | 05/15/18 | | | | 41,137,000 | | | | 47,262,916 | |
| PVNGS II Funding Corp., Inc. | | | | | | | | | |
8.00% | | | 12/30/15 | | | | 1,529,000 | | | | 1,682,348 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | | 01/15/19 | | | | 291,000 | | | | 348,376 | |
| Texas-New Mexico Power Co. | | | | | | | | | |
9.50% | | | 04/01/19 | 4 | | | 530,000 | | | | 696,851 | |
| Virginia Electric and Power Co. | | | | | | | | | |
5.10% | | | 11/30/12 | | | | 9,295,000 | | | | 9,740,602 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 381,503,897 | |
| | | | | | | | | | | | |
Energy — 2.10% | | | | | | | | | | | | |
| Allis-Chalmers Energy, Inc. | | | | | | | | | |
8.50% | | | 03/01/17 | | | | 1,000,000 | | | | 985,000 | |
| Arch Coal, Inc. | | | | | | | | | | | | |
7.00% | | | 06/15/19 | 4 | | | 32,569,000 | | | | 31,103,395 | |
| El Paso Pipeline Partners | | | | | | | | | |
4.10% | | | 11/15/15 | | | | 46,175,000 | | | | 47,018,340 | |
5.00% | | | 10/01/21 | | | | 9,825,000 | | | | 9,788,156 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 2,6,7 | | | 750,000 | | | | 468,750 | |
| Panhandle Eastern Pipeline Co. LP | | | | | | | | | |
6.20% | | | 11/01/17 | | | | 2,250,000 | | | | 2,616,669 | |
8.12% | | | 06/01/19 | | | | 2,292,000 | | | | 2,909,485 | |
| Petrobras International Finance Co. - Pifco (Cayman Islands) | | | | | | | | | |
6.88% | | | 01/20/40 | 2 | | | 150,000 | | | | 159,750 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 60,519,000 | | | | 58,854,728 | |
7.50% | | | 11/30/16 | | | | 32,763,000 | | | | 30,797,220 | |
7.50% | | | 11/30/16 | 4 | | | 15,768,000 | | | | 14,191,200 | |
| Southern Union Co. | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 75,433,000 | | | | 64,118,050 | |
| Tennessee Gas Pipeline Co. | | | | | | | | | |
8.00% | | | 02/01/16 | | | | 24,815,000 | | | | 28,950,072 | |
| Valero Energy Corp. | | | | | | | | | |
7.50% | | | 04/15/32 | | | | 8,720,000 | | | | 10,087,906 | |
| Williams Cos., Inc. | | | | | | | | | |
7.88% | | | 09/01/21 | | | | 21,337,000 | | | | 25,340,440 | |
8.75% | | | 03/15/32 | | | | 4,185,000 | | | | 5,608,365 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 332,997,526 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 47
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance — 8.43% | | | | | | | | | |
| Alta Wind Holdings LLC | | | | | | | | | |
7.00% | | | 06/30/35 | 4 | | $ | 17,405,926 | | | $ | 19,242,884 | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 4 | | | 14,575,000 | | | | 12,971,750 | |
| BankBoston Capital Trust III | | | | | | | | | |
1.10% | | | 06/15/27 | 3 | | | 16,705,000 | | | | 10,612,670 | |
| Barnett Capital III | | | | | | | | | |
0.88% | | | 02/01/27 | 3 | | | 3,260,000 | | | | 2,046,025 | |
| Bear Stearns Cos. LLC | | | | | | | | | |
4.65% | | | 07/02/18 | | | | 4,330,000 | | | | 4,528,721 | |
7.25% | | | 02/01/18 | | | | 20,595,000 | | | | 24,308,670 | |
| Cantor Fitzgerald LP | | | | | | | | | |
6.38% | | | 06/26/15 | 4 | | | 15,325,000 | | | | 15,072,360 | |
| Chase Capital II, Series B | | | | | | | | | |
0.75% | | | 02/01/27 | 3 | | | 6,700,000 | | | | 5,294,552 | |
| CIT Group, Inc. | | | | | | | | | |
5.25% | | | 04/01/14 | 4 | | | 34,392,000 | | | | 32,564,925 | |
6.62% | | | 04/01/18 | 4 | | | 17,150,000 | | | | 16,624,781 | |
7.00% | | | 05/01/14 | | | | 4,786,160 | | | | 4,881,883 | |
7.00% | | | 05/01/15 | 4 | | | 10,738,000 | | | | 10,670,887 | |
7.00% | | | 05/02/16 | 4 | | | 500,000 | | | | 478,750 | |
7.00% | | | 05/02/17 | 4 | | | 4,230,000 | | | | 4,103,100 | |
| Citigroup Capital III | | | | | | | | | |
7.62% | | | 12/01/36 | | | | 7,438,000 | | | | 7,523,820 | |
| Citigroup Funding, Inc., Series 2 | | | | | | | | | |
0.58% | | | 04/30/12 | 3 | | | 30,870,000 | | | | 30,940,939 | |
| Citigroup, Inc. | | | | | | | | | |
0.55% | | | 11/05/14 | 3 | | | 14,309,000 | | | | 13,204,860 | |
0.86% | | | 08/25/36 | 3 | | | 24,399,000 | | | | 16,044,758 | |
3.95% | | | 06/15/16 | | | | 3,625,000 | | | | 3,600,796 | |
4.59% | | | 12/15/15 | | | | 4,650,000 | | | | 4,778,977 | |
5.30% | | | 10/17/12 | | | | 50,000 | | | | 51,253 | |
5.30% | | | 01/07/16 | | | | 20,019,000 | | | | 20,822,768 | |
5.50% | | | 08/27/12 | | | | 100,000 | | | | 102,638 | |
5.85% | | | 08/02/16 | | | | 5,095,000 | | | | 5,423,285 | |
6.00% | | | 08/15/17 | | | | 37,838,000 | | | | 40,204,653 | |
6.12% | | | 11/21/17 | | | | 55,000 | | | | 58,847 | |
6.12% | | | 05/15/18 | | | | 2,850,000 | | | | 3,061,088 | |
6.38% | | | 08/12/14 | | | | 3,950,000 | | | | 4,186,167 | |
6.88% | | | 03/05/38 | | | | 6,881,000 | | | | 7,494,572 | |
8.12% | | | 07/15/39 | | | | 41,115,000 | | | | 49,435,401 | |
| Countrywide Capital III, Series B | | | | | | | | | |
8.05% | | | 06/15/27 | | | | 3,000,000 | | | | 2,782,500 | |
| Countrywide Financial Corp. (MTN) | | | | | | | | | |
5.80% | | | 06/07/12 | | | | 1,830,000 | | | | 1,841,132 | |
| Discover Financial Services | | | | | | | | | |
10.25% | | | 07/15/19 | | | | 4,515,000 | | | | 5,528,753 | |
| Dolphin Subsidiary II, Inc. | | | | | | | | | |
7.25% | | | 10/15/21 | 4 | | | 8,700,000 | | | | 8,765,250 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
| General Electric Capital Corp. | | | | | | | | | |
4.62% | | | 01/07/21 | | | $ | 20,325,000 | | | $ | 21,134,037 | |
5.62% | | | 05/01/18 | | | | 185,000 | | | | 201,226 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.49% | | | 06/20/14 | 3 | | | 1,250,000 | | | | 1,198,555 | |
0.54% | | | 08/07/18 | 3 | | | 22,453,000 | | | | 19,758,640 | |
0.65% | | | 05/05/26 | 3 | | | 19,760,000 | | | | 15,878,879 | |
4.38% | | | 09/16/20 | | | | 30,655,000 | | | | 30,959,711 | |
5.38% | | | 10/20/16 | | | | 3,700,000 | | | | 4,067,228 | |
| General Electric Capital Corp., Series A (MTN) | | | | | | | | | |
6.75% | | | 03/15/32 | | | | 35,540,000 | | | | 40,689,746 | |
| General Electric Capital Corp., Series E (MTN) | | | | | | | | | |
0.43% | | | 03/20/14 | 3 | | | 30,100,000 | | | | 29,537,642 | |
| General Electric Capital Corp., Series G (MTN) | | | | | | | | | |
6.15% | | | 08/07/37 | | | | 8,738,000 | | | | 9,042,147 | |
6.88% | | | 01/10/39 | | | | 48,740,000 | | | | 56,125,767 | |
| Goldman Sachs Group, Inc. | | | | | | | | | |
0.45% | | | 02/06/12 | 3 | | | 1,305,000 | | | | 1,302,938 | |
0.80% | | | 03/22/16 | 3 | | | 6,255,000 | | | | 5,370,055 | |
1.02% | | | 12/05/11 | 3 | | | 30,365,000 | | | | 30,412,065 | |
1.27% | | | 02/07/14 | 3 | | | 1,624,000 | | | | 1,544,769 | |
3.62% | | | 02/07/16 | | | | 41,935,000 | | | | 40,750,048 | |
5.25% | | | 07/27/21 | | | | 17,775,000 | | | | 17,468,139 | |
5.75% | | | 10/01/16 | | | | 3,550,000 | | | | 3,734,488 | |
5.95% | | | 01/18/18 | | | | 100,000 | | | | 103,088 | |
6.00% | | | 06/15/20 | | | | 9,510,000 | | | | 9,739,260 | |
6.15% | | | 04/01/18 | | | | 31,176,000 | | | | 32,349,995 | |
6.25% | | | 02/01/41 | | | | 14,730,000 | | | | 14,301,760 | |
6.75% | | | 10/01/37 | | | | 500,000 | | | | 440,753 | |
7.50% | | | 02/15/19 | | | | 39,976,000 | | | | 43,929,906 | |
| Goldman Sachs Group, Inc., Series B (MTN) | | | | | | | | | |
0.65% | | | 07/22/15 | 3 | | | 2,035,000 | | | | 1,818,850 | |
| International Lease Finance Corp. | | | | | | | | | |
6.50% | | | 09/01/14 | 4 | | | 32,080,000 | | | | 31,919,600 | |
6.75% | | | 09/01/16 | 4 | | | 41,450,000 | | | | 41,760,875 | |
7.12% | | | 09/01/18 | 4 | | | 3,955,000 | | | | 3,989,606 | |
| JPMorgan Chase & Co. | | | | | | | | | |
4.35% | | | 08/15/21 | | | | 37,540,000 | | | | 37,770,554 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.32% | | | 09/30/34 | 3 | | | 5,543,000 | | | | 4,321,539 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.21% | | | 02/02/37 | 3 | | | 22,860,000 | | | | 16,475,397 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.29% | | | 05/15/47 | 3 | | | 48,189,000 | | | | 32,619,230 | |
| JPMorgan Chase Capital XXVII, Series AA | | | | | | | | | |
7.00% | | | 11/01/39 | | | | 5,225,000 | | | | 5,259,903 | |
See accompanying notes to Schedule of Portfolio Investments.
48 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
| Macquarie Bank Ltd. (Australia) | | | | | | | | | |
6.62% | | | 04/07/21 | 2,4 | | $ | 800,000 | | | $ | 752,860 | |
| MBNA Capital A, Series A | | | | | | | | | |
8.28% | | | 12/01/26 | | | | 7,744,000 | | | | 7,230,960 | |
| MBNA Capital B, Series B | | | | | | | | | |
1.05% | | | 02/01/27 | 3 | | | 29,710,000 | | | | 19,300,970 | |
| MBNA Corp. | | | | | | | | | |
6.12% | | | 03/01/13 | | | | 7,355,000 | | | | 7,364,848 | |
| Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
6.05% | | | 08/15/12 | | | | 125,000 | | | | 126,174 | |
8.68% | | | 05/02/17 | 3 | | | 5,725,000 | | | | 6,204,469 | |
8.95% | | | 05/18/17 | 3 | | | 5,800,000 | | | | 6,329,250 | |
9.57% | | | 06/06/17 | 3 | | | 11,819,000 | | | | 13,163,411 | |
| Morgan Stanley | | | | | | | | | |
0.70% | | | 06/20/12 | 3 | | | 47,575,000 | | | | 47,722,611 | |
0.73% | | | 10/15/15 | 3 | | | 1,615,000 | | | | 1,365,164 | |
3.80% | | | 04/29/16 | | | | 14,415,000 | | | | 13,329,713 | |
4.20% | | | 11/20/14 | | | | 8,585,000 | | | | 8,401,968 | |
5.50% | | | 07/24/20 | | | | 30,425,000 | | | | 27,534,625 | |
5.75% | | | 01/25/21 | | | | 6,700,000 | | | | 6,175,243 | |
6.00% | | | 05/13/14 | | | | 24,975,000 | | | | 25,400,075 | |
6.60% | | | 04/01/12 | | | | 715,000 | | | | 732,796 | |
7.30% | | | 05/13/19 | | | | 205,000 | | | | 211,755 | |
| Morgan Stanley (MTN) | | | | | | | | | |
0.70% | | | 10/18/16 | 3 | | | 15,310,000 | | | | 11,918,988 | |
5.62% | | | 09/23/19 | | | | 600,000 | | | | 563,725 | |
5.75% | | | 10/18/16 | | | | 6,800,000 | | | | 6,715,530 | |
5.95% | | | 12/28/17 | | | | 125,000 | | | | 121,366 | |
6.25% | | | 08/28/17 | | | | 8,000,000 | | | | 7,896,862 | |
6.62% | | | 04/01/18 | | | | 7,930,000 | | | | 7,877,281 | |
| Morgan Stanley, Series G (MTN) | | | | | | | | | |
0.55% | | | 01/09/14 | 3 | | | 2,970,000 | | | | 2,693,950 | |
5.45% | | | 01/09/17 | | | | 100,000 | | | | 97,489 | |
| Pipeline Funding Co. LLC | | | | | | | | | |
7.50% | | | 01/15/30 | 4 | | | 35,250,000 | | | | 39,522,970 | |
| Power Receivable Finance LLC | | | | | | | | | |
6.29% | | | 01/01/12 | 4 | | | 24,037 | | | | 24,074 | |
6.29% | | | 01/01/12 | | | | 33,155 | | | | 33,190 | |
| Prudential Financial, Inc. (MTN) | | | | | | | | | |
5.62% | | | 05/12/41 | | | | 450,000 | | | | 428,190 | |
| Prudential Holdings LLC | | | | | | | | | |
8.70% | | | 12/18/23 | 4 | | | 22,375,000 | | | | 28,292,136 | |
| Raymond James Financial, Inc. | | | | | | | | | |
8.60% | | | 08/15/19 | | | | 9,233,000 | | | | 11,036,944 | |
| Reckson Operating Partnership LP | | | | | | | | | |
5.00% | | | 08/15/18 | | | | 5,250,000 | | | | 5,192,363 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.71% | | | 04/08/49 | 3,4,5 | | | 900,000 | | | | 306,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.71% | | | 04/08/49 | 3,4,5 | | $ | 925,000 | | | $ | 314,500 | |
| Woodbourne Capital Trust III | | | | | | | | | |
2.71% | | | 04/08/49 | 3,4,5 | | | 1,525,000 | | | | 518,500 | |
| ZFS Finance USA Trust II | | | | | | | | | |
6.45% | | | 12/15/65 | 3,4 | | | 6,475,000 | | | | 5,762,750 | |
| ZFS Finance USA Trust IV | | | | | | | | | |
5.88% | | | 05/09/32 | 3,4 | | | 21,972,000 | | | | 21,010,725 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,336,905,236 | |
| | | | | | | | | | | | |
Food — 0.01% | | | | | | | | | |
| JBS USA LLC/JBS USA Finance, Inc. | | | | | | | | | |
11.62% | | | 05/01/14 | | | | 500,000 | | | | 540,000 | |
| Kraft Foods, Inc. | | | | | | | | | |
6.50% | | | 02/09/40 | | | | 100,000 | | | | 122,680 | |
| Ralcorp Holdings, Inc. | | | | | | | | | |
4.95% | | | 08/15/20 | | | | 150,000 | | | | 150,371 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 813,051 | |
| | | | | | | | | | | | |
Health Care — 0.69% | | | | | | | | | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 21,025,000 | | | | 20,604,500 | |
| HCA, Inc. | | | | | | | | | | | | |
6.50% | | | 02/15/20 | | | | 9,550,000 | | | | 9,335,125 | |
7.25% | | | 09/15/20 | | | | 27,740,000 | | | | 28,156,100 | |
| HCA, Inc. (WI) | | | | | | | | | |
7.88% | | | 02/15/20 | | | | 35,101,000 | | | | 36,505,040 | |
8.50% | | | 04/15/19 | | | | 13,035,000 | | | | 13,751,925 | |
| Universal Health Services, Inc. | | | | | | | | | |
6.75% | | | 11/15/11 | | | | 1,280,000 | | | | 1,288,700 | |
| WellPoint, Inc. | | | | | | | | | |
5.88% | | | 06/15/17 | | | | 125,000 | | | | 143,163 | |
6.38% | | | 06/15/37 | | | | 50,000 | | | | 61,005 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 109,845,558 | |
| | | | | | | | | | | | |
Industrials — 0.12% | | | | | | | | | |
| General Electric Co. | | | | | | | | | |
5.25% | | | 12/06/17 | | | | 17,163,000 | | | | 19,094,541 | |
| | | | | | | | | | | | |
Insurance — 1.01% | | | | | | | | | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 4 | | | 19,151,000 | | | | 21,569,937 | |
7.20% | | | 07/15/48 | 4 | | | 18,265,000 | | | | 21,375,597 | |
| Farmers Insurance Exchange | | | | | | | | | |
8.62% | | | 05/01/24 | 4 | | | 18,595,000 | | | | 23,357,776 | |
| MetLife Capital Trust X | | | | | | | | | |
9.25% | | | 04/08/38 | 4 | | | 11,500,000 | | | | 12,995,000 | |
| MetLife, Inc. | | | | | | | | | |
2.38% | | | 02/06/14 | | | | 10,775,000 | | | | 10,968,357 | |
7.72% | | | 02/15/19 | | | | 5,487,000 | | | | 6,735,517 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 49
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Insurance (continued) | | | | | | | | | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 3,4 | | $ | 12,949,000 | | | $ | 12,721,590 | |
6.60% | | | 04/15/34 | 4 | | | 19,518,000 | | | | 18,420,038 | |
| Pricoa Global Funding I | | | | | | | | | |
0.35% | | | 01/30/12 | 3,4 | | | 15,690,000 | | | | 15,665,006 | |
5.45% | | | 06/11/14 | 4 | | | 15,130,000 | | | | 16,489,567 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 160,298,385 | |
| | | | | | | | | | | | |
Materials — 0.00% | | | | | | | | | |
| ArcelorMittal (Luxembourg) | | | | | | | | | |
5.25% | | | 08/05/20 | 2 | | | 140,000 | | | | 125,297 | |
| Southern Copper Corp. | | | | | | | | | |
6.38% | | | 07/27/15 | | | | 100,000 | | | | 108,079 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 233,376 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.06% | | | | | |
| Boston Properties LP | | | | | | | | | |
6.25% | | | 01/15/13 | | | | 26,000 | | | | 27,374 | |
| BRE Properties, Inc. | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 100,000 | | | | 107,813 | |
| Camden Property Trust | | | | | | | | | |
4.62% | | | 06/15/21 | | | | 600,000 | | | | 597,729 | |
| Duke Realty LP | | | | | | | | | |
5.40% | | | 08/15/14 | | | | 1,400,000 | | | | 1,460,838 | |
6.25% | | | 05/15/13 | | | | 75,000 | | | | 78,346 | |
| ERP Operating LP | | | | | | | | | |
5.75% | | | 06/15/17 | | | | 100,000 | | | | 111,834 | |
| HCP, Inc. | | | | | | | | | |
5.38% | | | 02/01/21 | | | | 19,730,000 | | | | 19,868,022 | |
5.62% | | | 05/01/17 | | | | 218,000 | | | | 227,322 | |
6.00% | | | 01/30/17 | | | | 16,320,000 | | | | 17,202,684 | |
6.45% | | | 06/25/12 | | | | 11,800,000 | | | | 12,144,430 | |
6.75% | | | 02/01/41 | | | | 150,000 | | | | 160,625 | |
7.07% | | | 06/08/15 | | | | 125,000 | | | | 137,442 | |
| HCP, Inc. (MTN) | | | | | | | | | |
6.30% | | | 09/15/16 | | | | 27,719,000 | | | | 29,688,629 | |
6.70% | | | 01/30/18 | | | | 31,925,000 | | | | 34,951,608 | |
| Health Care REIT, Inc. | | | | | | | | | |
4.70% | | | 09/15/17 | | | | 31,473,000 | | | | 31,596,878 | |
4.95% | | | 01/15/21 | | | | 5,975,000 | | | | 5,811,499 | |
5.25% | | | 01/15/22 | | | | 26,805,000 | | | | 25,516,569 | |
6.12% | | | 04/15/20 | | | | 4,385,000 | | | | 4,580,703 | |
6.50% | | | 03/15/41 | | | | 14,165,000 | | | | 13,609,243 | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
5.75% | | | 01/15/21 | | | | 21,375,000 | | | | 20,988,964 | |
6.50% | | | 01/17/17 | | | | 220,000 | | | | 237,941 | |
| Highwoods Realty LP | | | | | | | | | |
7.50% | | | 04/15/18 | | | | 6,810,000 | | | | 7,911,381 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Real Estate Investment Trust (REIT) (continued) | | | | | |
| Kimco Realty Corp., Series C (MTN) | | | | | | | | | |
5.19% | | | 10/01/13 | | | $ | 100,000 | | | $ | 104,194 | |
| Post Apartment Homes LP | | | | | | | | | |
4.75% | | | 10/15/17 | | | | 21,885,000 | | | | 23,053,287 | |
| PPF Funding, Inc. | | | | | | | | | |
5.50% | | | 01/15/14 | 4 | | | 195,000 | | | | 196,462 | |
| Shurgard Storage Centers LLC | | | | | | | | | |
5.88% | | | 03/15/13 | | | | 624,000 | | | | 660,422 | |
| Simon Property Group LP | | | | | | | | | |
6.12% | | | 05/30/18 | | | | 1,290,000 | | | | 1,452,425 | |
| UDR, Inc. | | | | | | | | | |
6.05% | | | 06/01/13 | | | | 3,608,000 | | | | 3,791,258 | |
| UDR, Inc. (MTN) | | | | | | | | | |
4.25% | | | 06/01/18 | | | | 5,500,000 | | | | 5,564,133 | |
5.00% | | | 01/15/12 | | | | 2,845,000 | | | | 2,870,377 | |
5.25% | | | 01/15/15 | | | | 200,000 | | | | 213,166 | |
| UDR, Inc. (MTN) E | | | | | | | | | |
5.13% | | | 01/15/14 | | | | 7,075,000 | | | | 7,445,752 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
4.75% | | | 06/01/21 | | | | 10,925,000 | | | | 10,374,156 | |
| WEA Finance LLC | | | | | | | | | |
7.12% | | | 04/15/18 | 4 | | | 38,063,000 | | | | 43,537,259 | |
| Weingarten Realty Investors (MTN) | | | | | | | | | |
4.99% | | | 09/03/13 | | | | 18,000 | | | | 18,962 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 326,299,727 | |
| | | | | | | | | | | | |
Services — 0.01% | | | | | | | | | |
| Mobile Mini, Inc. | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 750,000 | | | | 738,750 | |
| | | | | | | | | | | | |
Transportation — 1.02% | | | | | | | | | |
| American Airlines 2011-2 Class A Pass Through Trust, Series A | | | | | | | | | |
8.62% | | | 10/15/21 | | | | 30,575,000 | | | | 30,479,453 | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 2,910,185 | | | | 2,975,664 | |
| Continental Airlines Pass-Through Trust, Series 1999, Class C2 | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 11,365,965 | | | | 11,593,285 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 4,630,913 | | | | 4,709,059 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 2,432,620 | | | | 2,274,500 | |
| Continental Airlines Pass-Through Trust, Series 2009, Class A2 | | | | | | | | | |
7.25% | | | 11/10/19 | | | | 7,781,921 | | | | 8,200,199 | |
See accompanying notes to Schedule of Portfolio Investments.
50 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
| Delta Air Lines Pass-Through Trust, Series 2002, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | $ | 23,335,046 | | | $ | 22,985,020 | |
| Delta Air Lines Pass-Through Trust, Series 2002, Class G2 | | | | | | | | | |
6.42% | | | 07/02/12 | | | | 9,370,000 | | | | 9,416,850 | |
| Delta Air Lines Pass-Through Trust, Series 2010-2, Class A | | | | | | | | | |
4.95% | | | 05/23/19 | | | | 492,839 | | | | 489,759 | |
| Delta Air Lines Pass-Through Trust, Series 2011, Class A | | | | | | | | | |
5.30% | | | 04/15/19 | | | | 15,625,000 | | | | 15,390,625 | |
| Delta Air Lines, Inc. | | | | | | | | | |
9.50% | | | 09/15/14 | 4 | | | 3,547,000 | | | | 3,644,543 | |
| Northwest Airlines Pass-Through Trust, Series 2001-1, Class A-1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 3,023,161 | | | | 3,202,661 | |
| UAL Pass-Through Trust, Series 2009-1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 15,455 | | | | 16,653 | |
| UAL Pass-Through Trust, Series 2009-2A | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 19,076,386 | | | | 20,602,497 | |
| US Airways Pass-Through Trust, Series 2010-1, Class A | | | | | | | | | |
6.25% | | | 04/22/23 | | | | 22,875,000 | | | | 20,859,141 | |
| US Airways Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
7.12% | | | 10/22/23 | | | | 5,850,000 | | | | 5,524,594 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 162,364,503 | |
| | | | | | | | | | | | |
Total Corporates (Cost $3,930,531,739) | | | | | | | | 3,975,083,103 | |
| | | | | | | | | | | | |
BANK LOANS — 0.49%* | | | | | | | | | |
Communications — 0.11% | | | | | | | | | |
| Cengage Learning Acquisitions, Inc., Term Loan | | | | | | | | | |
2.49% | | | 07/03/14 | 3,8 | | | 1,920,000 | | | | 1,523,656 | |
| Dex Media West LLC, Term Loan | | | | | | | | | |
7.00% | | | 10/24/14 | 3,8 | | | 1,619,328 | | | | 1,109,240 | |
| Intelsat Jackson Holdings, Term Loan B | | | | | | | | | |
5.26% | | | 04/02/18 | 3,8 | | | 15,960,000 | | | | 15,404,720 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 18,037,616 | |
| | | | | | | | | | | | |
Electric — 0.01% | | | | | | | | | |
| Texas Competitive Electric Holdings Co. LLC | | | | | | | | | |
| 4.75% | | | 10/10/17 | 3,8 | | | 3,270,833 | | | | 2,202,703 | |
| | | | | | | | | | | | |
Finance — 0.00% | | | | | | | | | |
| Kelson Holdings LLC 2nd Lien (PIK) | | | | | | | | | |
| 6.87% | | | 03/08/14 | 3,8 | | | 207,260 | | | | 200,524 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | | | | | |
Gaming — 0.22% | | | | | | | | | |
| Caesars Entertainment Operating Co., Inc., Term Loan B1 | | | | | | | | | |
3.25% | | | 01/28/15 | 3,8 | | $ | 2,000,000 | | | $ | 1,684,376 | |
| Caesars Entertainment Operating Co., Inc., Term Loan B2 | | | | | | | | | |
3.25% | | | 01/28/15 | 3,8 | | | 37,750,000 | | | | 31,741,446 | |
| Caesars Entertainment Operating Co., Inc., Term Loan B3 | | | | | | | | | |
3.25% | | | 01/28/15 | 3 | | | 1,971,216 | | | | 1,659,517 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,085,339 | |
| | | | | | | | | | | | |
Health Care — 0.13% | | | | | | | | | |
| HCA, Inc., Term Loan B3 | | | | | | | | | |
| 3.62% | | | 05/01/18 | 3,8 | | | 20,950,678 | | | | 19,742,746 | |
| | | | | | | | | | | | |
Transportation — 0.02% | | | | | | | | | |
| Delta Air Lines, Inc., Term Loan B | | | | | | | | | |
| 5.50% | | | 04/20/17 | 3,8 | | | 3,491,250 | | | | 3,211,950 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $83,973,049) | | | | | | | | 78,480,878 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 58.30%** | | | | | |
Commercial Mortgage-Backed — 6.82% | | | | | |
| Banc of America Large Loan, Inc., Series 2010-UB4, Class A4A | | | | | | | | | |
5.04% | | | 12/20/41 | 3,4,† | | | 11,000,000 | | | | 11,705,482 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-2, Class A3 | | | | | | | | | |
5.12% | | | 07/11/43 | | | | 709,404 | | | | 714,865 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2002-PB2, Class A4 | | | | | | | | | |
6.19% | | | 06/11/35 | | | | 8,111,381 | | | | 8,133,067 | |
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-2, Class A5 | | | | | | | | | |
4.86% | | | 07/10/43 | 3 | | | 855,000 | | | | 920,779 | |
| Banc of America Re-Remic Trust, Series 2011-STRP, Class A7 | | | | | | | | | |
1.90% | | | 02/17/42 | 4 | | | 11,475,092 | | | | 11,344,751 | |
| Banc of America Re-Remic Trust, Series 2011-STRP, Class A9 | | | | | | | | | |
1.32% | | | 07/17/39 | 4 | | | 8,300,000 | | | | 8,202,560 | |
| Bayview Commercial Asset Trust, Series 2007-4A, Class A1 | | | | | | | | | |
0.68% | | | 09/25/37 | 3,4 | | | 17,805,561 | | | | 10,899,309 | |
| Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2 | | | | | | | | | |
4.72% | | | 11/11/35 | 3 | | | 24,572,640 | | | | 24,993,717 | |
| Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class A4 | | | | | | | | | |
5.19% | | | 05/11/39 | 3 | | | 39,926,000 | | | | 42,005,606 | |
| Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4 | | | | | | | | | |
4.68% | | | 08/13/39 | 3 | | | 6,225,000 | | | | 6,510,647 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 51
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Commercial Mortgage-Backed (continued) | | | | | |
| Bear Stearns Commercial Mortgage Securities, Series 2005-T20, Class A4A | | | | | | | | | |
5.30% | | | 10/12/42 | 3 | | $ | 75,995,000 | | | $ | 83,292,412 | |
| Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4 | | | | | | | | | |
5.54% | | | 09/11/41 | | | | 3,165,000 | | | | 3,485,887 | |
| Bear Stearns Commercial Mortgage Securities, Series 2006-T22, Class A4 | | | | | | | | | |
5.70% | | | 04/12/38 | 3 | | | 775,000 | | | | 864,141 | |
| Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | | | | | |
5.89% | | | 12/10/49 | 3 | | | 28,486,000 | | | | 30,814,773 | |
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class A4 | | | | | | | | | |
5.89% | | | 11/15/44 | 3 | | | 1,943,000 | | | | 2,092,782 | |
| Commercial Mortgage Asset Trust, Series 1999-C1, Class A4 | | | | | | | | | |
6.98% | | | 01/17/32 | 3 | | | 29,939,596 | | | | 30,950,827 | |
| Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4 | | | | | | | | | |
6.01% | | | 12/10/49 | 3 | | | 16,515,000 | | | | 17,892,640 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB3, Class 1A | | | | | | | | | |
2.62% | | | 06/20/34 | 3 | | | 185,033 | | | | 160,294 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CKS4, Class A2 | | | | | | | | | |
5.18% | | | 11/15/36 | | | | 3,130,636 | | | | 3,189,758 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 16,920,564 | | | | 17,194,398 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-CK2, Class A4 | | | | | | | | | |
4.80% | | | 03/15/36 | | | | 10,000,000 | | | | 10,329,770 | |
| Credit Suisse Mortgage Capital Certificates, Series 2006-C1, Class A3 | | | | | | | | | |
5.60% | | | 02/15/39 | 3 | | | 245,788 | | | | 253,916 | |
| Credit Suisse Mortgage Capital Certificates, Series 2006-C5, Class A3 | | | | | | | | | |
5.31% | | | 12/15/39 | | | | 27,537,500 | | | | 28,919,538 | |
| DBRR Trust, Series 2011-LC2, Class A4A | | | | | | | | | |
4.54% | | | 04/12/21 | 4 | | | 29,260,000 | | | | 30,576,700 | |
| DBUBS Mortgage Trust, Series 2011-LC3A, Class A2 | | | | | | | | | |
3.64% | | | 08/10/44 | | | | 40,500,000 | | | | 41,814,699 | |
| GE Capital Commercial Mortgage Corp., Series 2002-2A, Class A3 | | | | | | | | | |
5.35% | | | 08/11/36 | | | | 5,653,000 | | | | 5,761,179 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | | | | | |
| GMAC Commercial Mortgage Securities, Inc., Series 1998-C2, Class X | | | | | | | | | |
1.10% | | | 05/15/35 | 3,5 | | $ | 23,759,176 | | | $ | 743,341 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2 | | | | | | | | | |
6.28% | | | 11/15/39 | | | | 925,085 | | | | 923,617 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3 | | | | | | | | | |
5.71% | | | 10/15/38 | | | | 3,594,161 | | | | 3,638,220 | |
| Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 34,988,865 | | | | 35,705,241 | |
| Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 3 | | | 70,183,999 | | | | 74,400,022 | |
| Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4 | | | | | | | | | |
6.07% | | | 07/10/38 | 3 | | | 55,314,554 | | | | 59,762,370 | |
| Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4 | | | | | | | | | |
5.44% | | | 03/10/39 | | | | 74,935,000 | | | | 78,009,171 | |
| GS Mortgage Securities Corp. II, Series 2011-GC5, Class A4 | | | | | | | | | |
3.71% | | | 08/10/44 | 3 | | | 105,085,000 | | | | 104,840,888 | |
| JPMorgan Chase Commercial Mortgage Securities Corp, Series 2006-LDP9, Class A3 | | | | | | | | | |
5.34% | | | 05/15/47 | | | | 7,290,000 | | | | 7,613,380 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-CIB3, Class A3 | | | | | | | | | |
6.46% | | | 11/15/35 | | | | 792,213 | | | | 791,347 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A2 | | | | | | | | | |
5.05% | | | 12/12/34 | | | | 1,995,012 | | | | 2,052,164 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-CIB5, Class A2 | | | | | | | | | |
5.16% | | | 10/12/37 | | | | 3,530,000 | | | | 3,621,973 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2003-ML1A, Class A2 | | | | | | | | | |
4.77% | | | 03/12/39 | | | | 8,705,000 | | | | 8,969,824 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-CB12, Class A4 | | | | | | | | | |
4.90% | | | 09/12/37 | | | | 2,920,000 | | | | 3,161,318 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4 | | | | | | | | | |
5.37% | | | 12/15/44 | 3 | | | 1,005,000 | | | | 1,101,071 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4 | | | | | | | | | |
6.07% | | | 04/15/45 | 3 | | | 33,110,000 | | | | 36,517,466 | |
See accompanying notes to Schedule of Portfolio Investments.
52 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4 | | | | | | | | | |
5.44% | | | 06/12/47 | | | $ | 3,065,000 | | | $ | 3,195,917 | |
| Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4 | | | | | | | | | |
5.29% | | | 01/12/44 | 3 | | | 550,000 | | | | 604,514 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class A3 | | | | | | | | | |
5.17% | | | 12/12/49 | 3 | | | 32,840,000 | | | | 35,150,918 | |
| Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class ASB | | | | | | | | | |
5.13% | | | 12/12/49 | 3 | | | 25,000,000 | | | | 26,310,513 | |
| Morgan Stanley Capital I, Series 2001-C3, Class A2 | | | | | | | | | |
3.22% | | | 08/15/49 | | | | 16,551,000 | | | | 16,773,287 | |
| Morgan Stanley Capital I, Series 2005-T19, Class A4A | | | | | | | | | |
4.89% | | | 06/12/47 | | | | 13,095,000 | | | | 14,275,776 | |
| Morgan Stanley Capital I, Series 2006-HQ9, Class A4 | | | | | | | | | |
5.73% | | | 07/12/44 | 3 | | | 405,000 | | | | 442,369 | |
| Morgan Stanley Capital I, Series 2006-T21, Class A4 | | | | | | | | | |
5.16% | | | 10/12/52 | 3 | | | 31,350,000 | | | | 33,995,470 | |
| Morgan Stanley Capital I, Series 2006-T23, Class A4 | | | | | | | | | |
5.99% | | | 08/12/41 | 3 | | | 18,095,000 | | | | 20,423,741 | |
| Morgan Stanley Capital I, Series 2007-IQ16, Class A4 | | | | | | | | | |
5.81% | | | 12/12/49 | | | | 39,257,500 | | | | 42,337,800 | |
| Morgan Stanley Capital I, Series 2011-C3, Series A4 | | | | | | | | | |
4.12% | | | 08/15/49 | | | | 13,563,000 | | | | 13,898,787 | |
| Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1 | | | | | | | | | |
3.67% | | | 02/11/36 | | | | 3,985,684 | | | | 4,007,241 | |
| Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3 | | | | | | | | | |
4.86% | | | 03/18/36 | | | | 415,000 | | | | 421,248 | |
| TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3 | | | | | | | | | |
5.95% | | | 08/15/39 | 3 | | | 3,115,000 | | | | 3,375,331 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A4 | | | | | | | | | |
4.85% | | | 10/15/41 | 3 | | | 4,320,113 | | | | 4,655,375 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Class A7 | | | | | | | | | |
5.12% | | | 07/15/42 | 3 | | | 1,610,000 | | | | 1,757,436 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Class A4 | | | | | | | | | |
5.38% | | | 10/15/44 | 3 | | | 5,000,000 | | | | 5,454,641 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,081,956,274 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed — 17.54% | | | | | |
| Aames Mortgage Trust, Series 2002-1, Class A3 (STEP) | | | | | | | | | |
6.90% | | | 06/25/32 | | | $ | 69,156 | | | $ | 62,894 | |
| Accredited Mortgage Loan Trust, Series 2007-1, Class A4 | | | | | | | | | |
0.46% | | | 02/25/37 | 3 | | | 46,125,000 | | | | 19,321,601 | |
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 1A4 | | | | | | | | | |
5.46% | | | 05/25/36 | 3 | | | 3,250,000 | | | | 2,208,983 | |
| Adjustable Rate Mortgage Trust, Series 2007-1, Class 5A1 | | | | | | | | | |
0.38% | | | 03/25/37 | 3 | | | 13,374,708 | | | | 5,322,128 | |
| American Home Mortgage Assets, Series 2007-1, Class A1 | | | | | | | | | |
0.94% | | | 02/25/47 | 3 | | | 92,711,328 | | | | 40,178,781 | |
| American Home Mortgage Assets, Series 2007-4, Class A2 | | | | | | | | | |
0.42% | | | 08/25/37 | 3 | | | 27,730,260 | | | | 19,200,460 | |
| American Home Mortgage Investment Trust, Series 2006-1, Class 2A3 | | | | | | | | | |
2.29% | | | 12/25/35 | 3 | | | 300,501 | | | | 202,202 | |
| American Home Mortgage Investment Trust, Series 2007-1, Class GA1C | | | | | | | | | |
0.42% | | | 05/25/47 | 3 | | | 7,193,524 | | | | 3,792,053 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class A2C | | | | | | | | | |
0.46% | | | 01/25/36 | 3 | | | 7,013,333 | | | | 6,835,647 | |
| Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP) | | | | | | | | | |
7.57% | | | 10/25/27 | | | | 154,565 | | | | 160,261 | |
| Argent Securities, Inc., Series 2005-W4, Class A2C | | | | | | | | | |
0.54% | | | 02/25/36 | 3 | | | 7,883,134 | | | | 7,598,856 | |
| Argent Securities, Inc., Series 2005-W5, Class A2D | | | | | | | | | |
0.56% | | | 01/25/36 | 3 | | | 28,478,000 | | | | 10,548,607 | |
| Asset Backed Funding Certificates, Series 2006-HE1, Class A2C | | | | | | | | | |
0.40% | | | 01/25/37 | 3 | | | 6,155,000 | | | | 2,043,275 | |
| Asset Backed Funding Certificates, Series 2007-WMC1, Class A2B | | | | | | | | | |
1.24% | | | 06/25/37 | 3 | | | 42,477,000 | | | | 19,838,356 | |
| Banc of America Funding Corp., Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 92,861 | | | | 96,768 | |
| Banc of America Funding Corp., Series 2005-B, Class 3A1B | | | | | | | | | |
0.54% | | | 04/20/35 | 3 | | | 13,607,255 | | | | 9,717,438 | |
| Banc of America Funding Corp., Series 2007-8, Class 2A1 | | | | | | | | | |
7.00% | | | 10/25/37 | | | | 23,928,081 | | | | 16,061,975 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 53
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Banc of America Funding Corp., Series 2010-R4, Class 3A3 | | | | | | | | | |
1.49% | | | 09/26/46 | 3,4 | | $ | 19,909,147 | | | $ | 6,273,004 | |
| Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1 | | | | | | | | | |
2.75% | | | 07/25/34 | 3 | | | 282,227 | | | | 243,139 | |
| Banc of America Mortgage Securities, Inc., Series 2005-E, Class 2A6 | | | | | | | | | |
2.87% | | | 06/25/35 | 3 | | | 97,706 | | | | 92,515 | |
| Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina) | | | | | | | | | |
8.00% | | | 06/30/20 | 2,4,5 | | | 158,830 | | | | 12,309 | |
| Bayview Financial Acquisition Trust, Series 2005-B, Class 1A3 (STEP) | | | | | | | | | |
4.89% | | | 04/28/39 | | | | 1,125,083 | | | | 1,077,895 | |
| Bayview Financial Acquisition Trust, Series 2005-D, Class AF3 | | | | | | | | | |
5.50% | | | 12/28/35 | 3 | | | 1,180,888 | | | | 1,112,023 | |
| BCAP LLC Trust, Series 2011-RR3, Class 1A5 | | | | | | | | | |
5.43% | | | 05/27/37 | 3,4 | | | 26,377,972 | | | | 25,410,600 | |
| BCAP LLC Trust, Series 2007-AA2, Class 2A5 | | | | | | | | | |
6.00% | | | 04/25/37 | | | | 945,190 | | | | 654,934 | |
| BCAP LLC Trust, Series 2010-RR11, Class 3A2 | | | | | | | | | |
2.82% | | | 06/27/36 | 3,4 | | | 12,708,503 | | | | 11,725,889 | |
| BCAP LLC Trust, Series 2011-RR2, Class 3A6 | | | | | | | | | |
2.87% | | | 11/21/35 | 3,4 | | | 24,008,554 | | | | 20,985,181 | |
| BCAP LLC Trust, Series 2011-RR3, Class 5A3 | | | | | | | | | |
4.76% | | | 11/27/37 | 3,4 | | | 17,148,703 | | | | 15,221,062 | |
| BCAP LLC Trust, Series 2011-RR4, Class 1A3 | | | | | | | | | |
2.90% | | | 03/26/36 | 3,4 | | | 25,933,960 | | | | 23,664,738 | |
| BCAP LLC Trust, Series 2011-RR5, Class 1A3 | | | | | | | | | |
5.77% | | | 03/26/37 | 3,4 | | | 2,210,133 | | | | 2,038,848 | |
| BCAP LLC Trust, Series 2011-RR5, Class 2A3 | | | | | | | | | |
4.98% | | | 06/26/37 | 3,4 | | | 12,992,094 | | | | 12,090,588 | |
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-4, Class 3A1 | | | | | | | | | |
5.03% | | | 07/25/33 | 3 | | | 133,863 | | | | 128,424 | |
| Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 14A1 | | | | | | | | | |
5.26% | | | 01/25/35 | 3 | | | 17,932,873 | | | | 16,093,140 | |
| Bear Stearns Alt-A Trust, Series 2005-4, Class 21A1 | | | | | | | | | |
2.67% | | | 05/25/35 | 3 | | | 27,682,607 | | | | 16,924,797 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Bear Stearns Alt-A Trust, Series 2006-3, Class 1A1 | | | | | | | | | |
0.42% | | | 05/25/36 | 3 | | $ | 4,741,848 | | | $ | 1,921,598 | |
| Bear Stearns Alt-A Trust, Series 2006-3, Class 23A1 | | | | | | | | | |
2.91% | | | 05/25/36 | 3 | | | 5,083,709 | | | | 2,652,109 | |
| Bear Stearns Asset Backed Securities Trust, Series 2002-1, Class 1A5 (STEP) | | | | | | | | | |
6.89% | | | 12/25/34 | | | | 57,737 | | | | 55,616 | |
| Bear Stearns Asset Backed Securities Trust, Series 2005-TC2, Class A3 | | | | | | | | | |
0.60% | | | 08/25/35 | 3 | | | 18,828,000 | | | | 17,105,264 | |
| Bear Stearns Asset Backed Securities Trust, Series 2006-HE10, Class 1A2 | | | | | | | | | |
0.44% | | | 12/25/36 | 3 | | | 23,770,000 | | | | 13,644,028 | |
| Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1 | | | | | | | | | |
0.38% | | | 03/25/37 | 3 | | | 20,161,069 | | | | 10,992,117 | |
| BHN I Mortgage Fund, Series 1997-2, Class A1 (Argentina) | | | | | | | | | |
1.52% | | | 05/31/17 | 2,3,4,5,6,7 | | | 13,760 | | | | 138 | |
| BHN I Mortgage Fund, Series 1997-2, Class A2 (Argentina) | | | | | | | | | |
7.54% | | | 05/31/17 | 2,4,5,6,7 | | | 2,500 | | | | 25 | |
| BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina) | | | | | | | | | |
8.00% | | | 01/31/20 | 2,4,5 | | | 6,000 | | | | 60 | |
| Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A | | | | | | | | | |
6.80% | | | 12/15/30 | 3 | | | 38,616,438 | | | | 40,306,340 | |
| Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4 | | | | | | | | | |
0.48% | | | 06/25/36 | 3 | | | 11,445,000 | | | | 3,475,869 | |
| Carrington Mortgage Loan Trust, Series 2007-FRE1, Class A3 | | | | | | | | | |
0.50% | | | 02/25/37 | 3 | | | 20,000,000 | | | | 7,026,280 | |
| CC Mortgage Funding Corp., Series 2004-1A, Class A1 | | | | | | | | | |
0.52% | | | 01/25/35 | 3,4 | | | 2,299,559 | | | | 1,618,373 | |
| Centex Home Equity, Series 2006-A, Class AV3 | | | | | | | | | |
0.40% | | | 06/25/36 | 3 | | | 11,747,395 | | | | 9,780,963 | |
| Centex Home Equity, Series 2006-A, Class AV4 | | | | | | | | | |
0.48% | | | 06/25/36 | 3 | | | 125,000 | | | | 68,530 | |
| Chase Mortgage Finance Corp., Series 2005-A1, Class 2A3 | | | | | | | | | |
2.92% | | | 12/25/35 | 3 | | | 1,710,000 | | | | 1,391,997 | |
| Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3 | | | | | | | | | |
2.86% | | | 07/25/37 | 3 | | | 14,290,008 | | | | 12,535,668 | |
| Chaseflex Trust, Series 2005-2, Class 4A2 | | | | | | | | | |
5.50% | | | 05/25/20 | | | | 16,803,167 | | | | 16,237,170 | |
See accompanying notes to Schedule of Portfolio Investments.
54 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Chaseflex Trust, Series 2007-M1, Class 1A2 | | | | | | | | | |
0.46% | | | 08/25/37 | 3 | | $ | 19,757,419 | | | $ | 9,594,618 | |
| Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12 | | | | | | | | | |
5.00% | | | 02/25/35 | | | | 703,000 | | | | 685,973 | |
| Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP) | | | | | | | | | |
6.05% | | | 03/25/37 | | | | 650,000 | | | | 434,059 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2 | | | | | | | | | |
4.71% | | | 05/25/34 | 3,4 | | | 19,924,440 | | | | 19,637,927 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B | | | | | | | | | |
0.16% | | | 09/25/36 | 3 | | | 407,642 | | | | 189,612 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2D | | | | | | | | | |
0.48% | | | 08/25/36 | 3 | | | 33,850,000 | | | | 10,779,092 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2B | | | | | | | | | |
0.38% | | | 05/25/37 | 3 | | | 21,600,000 | | | | 12,943,385 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4 | | | | | | | | | |
0.44% | | | 01/25/37 | 3 | | | 28,000 | | | | 10,511 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.42% | | | 03/25/37 | 3 | | | 38,757,000 | | | | 27,498,789 | |
| Collateralized Mortgage Obligation Trust, Series 57, Class D | | | | | | | | | |
9.90% | | | 02/01/19 | | | | 4,087 | | | | 4,735 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 11,422,347 | | | | 12,463,331 | |
| Conseco Finance, Series 2001-C, Class A5 (STEP) | | | | | | | | | |
7.29% | | | 08/15/33 | | | | 3,088,960 | | | | 3,089,997 | |
| Conseco Finance, Series 2001-D, Class A5 | | | | | | | | | |
6.69% | | | 11/15/32 | 3 | | | 106,830 | | | | 107,904 | |
| Conseco Finance, Series 2002-C, Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 495,940 | | | | 379,632 | |
| Conseco Financial Corp., Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 19,007,000 | | | | 20,728,846 | |
| Conseco Financial Corp., Series 1998-2, Class A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 3 | | | 187,779 | | | | 197,189 | |
| Conseco Financial Corp., Series 1998-3, Class A6 | | | | | | | | | |
6.76% | | | 03/01/30 | 3 | | | 9,739,520 | | | | 10,288,120 | |
| Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | | | | | | | | | |
5.85% | | | 07/15/37 | 3,4 | | | 9,150,000 | | | | 8,441,784 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | $ | 39,125 | | | $ | 40,390 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 1A2 | | | | | | | | | |
1.64% | | | 08/25/35 | 3 | | | 16,409 | | | | 10,303 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 2A1 | | | | | | | | | |
1.59% | | | 08/25/35 | 3 | | | 8,953,285 | | | | 4,789,420 | |
| Countrywide Alternative Loan Trust, Series 2005-36, Class 2A1A | | | | | | | | | |
0.54% | | | 08/25/35 | 3 | | | 292,055 | | | | 129,132 | |
| Countrywide Alternative Loan Trust, Series 2005-43, Class 4A1 | | | | | | | | | |
5.31% | | | 10/25/35 | 3 | | | 355,282 | | | | 259,598 | |
| Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 | | | | | | | | | |
0.54% | | | 11/20/35 | 3 | | | 218,832 | | | | 124,231 | |
| Countrywide Alternative Loan Trust, Series 2005-61, Class 2A1 | | | | | | | | | |
0.52% | | | 12/25/35 | 3 | | | 304,394 | | | | 192,829 | |
| Countrywide Alternative Loan Trust, Series 2006-20CB, Class A7 (IO) | | | | | | | | | |
5.26% | | | 07/25/36 | 3,5 | | | 22,201,507 | | | | 3,466,184 | |
| Countrywide Alternative Loan Trust, Series 2006-46, Class A4 | | | | | | | | | |
6.00% | | | 02/25/47 | | | | 6,343,359 | | | | 4,148,332 | |
| Countrywide Alternative Loan Trust, Series 2006-OA10, Class 1A1 | | | | | | | | | |
1.20% | | | 08/25/46 | 3 | | | 5,801,478 | | | | 3,149,132 | |
| Countrywide Alternative Loan Trust, Series 2006-OA14, Class 3A1 | | | | | | | | | |
1.09% | | | 11/25/46 | 3 | | | 862,765 | | | | 382,331 | |
| Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A | | | | | | | | | |
0.43% | | | 12/20/46 | 3 | | | 39,047,784 | | | | 19,539,960 | |
| Countrywide Alternative Loan Trust, Series 2006-OA18, Class A1 | | | | | | | | | |
0.36% | | | 12/25/46 | 3 | | | 37,764,917 | | | | 21,175,374 | |
| Countrywide Alternative Loan Trust, Series 2006-OA22, Class A1 | | | | | | | | | |
0.40% | | | 02/25/47 | 3 | | | 1,133,796 | | | | 681,405 | |
| Countrywide Alternative Loan Trust, Series 2006-OA8, Class 1A1 | | | | | | | | | |
0.42% | | | 07/25/46 | 3 | | | 27,298,615 | | | | 14,057,834 | |
| Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A | | | | | | | | | |
0.40% | | | 06/25/36 | 3 | | | 3,981,395 | | | | 1,983,133 | |
| Countrywide Alternative Loan Trust, Series 2007-22, Class 2A16 | | | | | | | | | |
6.50% | | | 09/25/37 | | | | 49,443,051 | | | | 36,165,273 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 55
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Alternative Loan Trust, Series 2007-5CB, Class 1A14 (IO) | | | | | | | | | |
5.12% | | | 04/25/37 | 3,5 | | $ | 42,735,466 | | | $ | 6,533,095 | |
| Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 1,655,070 | | | | 642,870 | |
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4 | | | | | | | | | |
5.21% | | | 02/25/36 | 3 | | | 7,000,000 | | | | 4,046,448 | |
| Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A5 | | | | | | | | | |
5.24% | | | 02/25/36 | 3 | | | 12,496,666 | | | | 11,746,510 | |
| Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4 | | | | | | | | | |
5.56% | | | 04/25/36 | 3 | | | 50,000 | | | | 27,124 | |
| Countrywide Asset-Backed Certificates, Series 2005-2, Class M2 | | | | | | | | | |
0.68% | | | 08/25/35 | 3 | | | 14,000,000 | | | | 13,466,334 | |
| Countrywide Asset-Backed Certificates, Series 2005-4, Class MV1 | | | | | | | | | |
0.70% | | | 10/25/35 | 3 | | | 329,305 | | | | 316,229 | |
| Countrywide Asset-Backed Certificates, Series 2006-18, Class 2A2 | | | | | | | | | |
0.40% | | | 03/25/37 | 3 | | | 31,538,085 | | | | 21,022,433 | |
| Countrywide Asset-Backed Certificates, Series 2007-10, Class 2A2 | | | | | | | | | |
0.36% | | | 06/25/47 | 3 | | | 28,501,000 | | | | 24,439,479 | |
| Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2 | | | | | | | | | |
1.04% | | | 10/25/47 | 3 | | | 15,964,764 | | | | 11,739,975 | |
| Countrywide Asset-Backed Certificates, Series 2007-3, Class 2A1 | | | | | | | | | |
0.34% | | | 05/25/47 | 3 | | | 8,574,464 | | | | 8,212,287 | |
| Countrywide Asset-Backed Certificates, Series 2007-4, Class A1A | | | | | | | | | |
0.46% | | | 09/25/37 | 3 | | | 6,671,325 | | | | 6,469,304 | |
| Countrywide Asset-Backed Certificates, Series 2007-5, Class 2A2 | | | | | | | | | |
0.40% | | | 09/25/47 | 3 | | | 127,000 | | | | 111,226 | |
| Countrywide Asset-Backed Certificates, Series 2007-9, Class 2A1 | | | | | | | | | |
0.30% | | | 06/25/47 | 3 | | | 28,625 | | | | 27,868 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2001-HYB1, Class 1A1 | | | | | | | | | |
2.19% | | | 06/19/31 | 3 | | | 51,557 | | | | 45,953 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-J8, Class 1A4 | | | | | | | | | |
5.25% | | | 09/25/23 | | | | 735,463 | | | | 758,501 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
5.02% | | | 08/25/34 | 3 | | | 7,026,526 | | | | 6,709,341 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB7, Class 3A | | | | | | | | | |
3.21% | | | 11/20/34 | 3 | | $ | 5,225,706 | | | $ | 4,986,055 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-1, Class 2A1 | | | | | | | | | |
0.52% | | | 03/25/35 | 3 | | | 304,210 | | | | 187,617 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.54% | | | 05/25/35 | 3 | | | 8,814,205 | | | | 5,659,729 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB5, Class 4A1 | | | | | | | | | |
4.93% | | | 09/20/35 | 3 | | | 9,049,495 | | | | 6,761,787 | |
| Countrywide Home Loan Mortgage Pass Through Trust, Series 2007-HY3, Class 2A1 | | | | | | | | | |
5.20% | | | 06/25/47 | 3 | | | 35,440,382 | | | | 25,413,802 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class A (STEP) | | | | | | | | | |
5.60% | | | 09/25/31 | | | | 82,884 | | | | 84,492 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR2, Class 2A1 | | | | | | | | | |
2.56% | | | 02/25/33 | 3 | | | 76,927 | | | | 72,243 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4 | | | | | | | | | |
2.57% | | | 08/25/33 | 3 | | | 60,372 | | | | 51,046 | |
| Credit Suisse Mortgage Capital Certificates, Series 2006-6, Class 2A1 | | | | | | | | | |
0.84% | | | 07/25/36 | 3 | | | 215,632 | | | | 65,100 | |
| Credit Suisse Mortgage Capital Certificates, Series 2007-2, Class 3A4 | | | | | | | | | |
5.50% | | | 03/25/37 | | | | 9,200,000 | | | | 8,013,959 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1 | | | | | | | | | |
0.92% | | | 03/25/33 | 3 | | | 9,693,856 | | | | 8,835,976 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23 | | | | | | | | | |
0.38% | | | 07/25/36 | 3 | | | 28,531,785 | | | | 16,799,230 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B | | | | | | | | | |
0.34% | | | 10/25/36 | 3 | | | 11,240,000 | | | | 9,178,169 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3 | | | | | | | | | |
0.38% | | | 11/25/36 | 3 | | | 10,300,000 | | | | 3,785,138 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP) | | | | | | | | | |
5.62% | | | 02/25/37 | | | | 22,100,000 | | | | 12,529,957 | |
See accompanying notes to Schedule of Portfolio Investments.
56 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP) | | | | | | | | | |
5.88% | | | 02/25/37 | | | $ | 28,405,000 | | | $ | 16,646,466 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP) | | | | | | | | | |
5.68% | | | 02/25/37 | | | | 4,649,114 | | | | 2,918,249 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2 | | | | | | | | | |
0.40% | | | 04/25/37 | 3 | | | 35,610,000 | | | | 13,267,040 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5 | | | | | | | | | |
5.25% | | | 06/25/35 | | | | 50,565 | | | | 46,240 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-AR3, Class 2A4 | | | | | | | | | |
0.58% | | | 06/25/37 | 3 | | | 19,285,000 | | | | 5,552,684 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-OA2, Class A1 | | | | | | | | | |
1.01% | | | 04/25/47 | 3 | | | 12,239,244 | | | | 7,524,889 | |
| Downey Savings & Loan Association Mortgage Loan Trust, Series 2007-AR1, Class 2A1A | | | | | | | | | |
0.37% | | | 04/19/48 | 3 | | | 23,359,095 | | | | 14,285,056 | |
| Equity One ABS, Inc., Series 1998-1, Class A2 (STEP) | | | | | | | | | |
7.48% | | | 11/25/29 | | | | 70,745 | | | | 64,905 | |
| Equity One ABS, Inc., Series 2002-4, Class M1 | | | | | | | | | |
5.22% | | | 02/25/33 | 3 | | | 17,496 | | | | 14,236 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FFH2, Class M1 | | | | | | | | | |
0.72% | | | 04/25/35 | 3,4 | | | 4,190,686 | | | | 3,879,751 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF18, Class A2C | | | | | | | | | |
0.40% | | | 12/25/37 | 3 | | | 64,848,000 | | | | 28,302,942 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2C | | | | | | | | | |
0.38% | | | 01/25/38 | 3 | | | 118,700,000 | | | | 53,960,284 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF2, Class A2D | | | | | | | | | |
0.46% | | | 03/25/37 | 3 | | | 60,554,486 | | | | 26,760,832 | |
| First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1 | | | | | | | | | |
2.20% | | | 09/25/34 | 3 | | | 111,627 | | | | 94,765 | |
| First Horizon Alternative Mortgage Securities, Series 2004-AA4, Class A1 | | | | | | | | | |
2.25% | | | 10/25/34 | 3 | | | 2,929,777 | | | | 2,480,174 | |
| First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1 | | | | | | | | | |
2.28% | | | 05/25/35 | 3 | | | 16,127,160 | | | | 11,210,694 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| First Horizon Alternative Mortgage Securities, Series 2007-FA3, Class A6 (IO) | | | | | | | | | |
5.16% | | | 06/25/37 | 3 | | $ | 8,300,954 | | | $ | 1,508,939 | |
| First Horizon Asset Securities, Inc., Series 2004-AR5, Class 2A1 | | | | | | | | | |
2.63% | | | 10/25/34 | 3 | | | 4,926,028 | | | | 4,663,776 | |
| First Horizon Asset Securities, Inc., Series 2005-AR6, Class 2A1B | | | | | | | | | |
2.77% | | | 01/25/36 | 3 | | | 26,990,000 | | | | 17,457,132 | |
| FNBA Mortgage Pass-Through Certificates, Series 2004-AR1, Class A2 | | | | | | | | | |
0.63% | | | 08/19/34 | 3 | | | 1,291,777 | | | | 1,126,192 | |
| Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | | | | | |
0.72% | | | 07/25/35 | 3 | | | 12,639,054 | | | | 11,509,589 | |
| Fremont Home Loan Trust, Series 2006-3, Class 2A4 | | | | | | | | | |
0.48% | | | 02/25/37 | 3 | | | 12,106,000 | | | | 5,294,478 | |
| Fremont Home Loan Trust, Series 2006-C, Class 2A2 | | | | | | | | | |
0.38% | | | 10/25/36 | 3 | | | 92,484,897 | | | | 34,752,263 | |
| Fremont Home Loan Trust, Series 2006-E, Class 2A4 | | | | | | | | | |
0.46% | | | 01/25/37 | 3 | | | 9,500,000 | | | | 3,315,775 | |
| GMAC Mortgage Corp. Loan Trust, Series 2000-HE2, Class A1 | | | | | | | | | |
0.68% | | | 06/25/30 | 3 | | | 186,271 | | | | 108,095 | |
| GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A | | | | | | | | | |
2.96% | | | 06/25/34 | 3 | | | 18,261 | | | | 15,056 | |
| Green Tree, Series 2008-MH1, Class A2 | | | | | | | | | |
8.97% | | | 04/25/38 | 3,4 | | | 47,500,000 | | | | 53,200,304 | |
| GSAA Trust, Series 2006-16, Class A1 | | | | | | | | | |
0.30% | | | 10/25/36 | 3 | | | 10,505,845 | | | | 4,426,223 | |
| GSAA Trust, Series 2006-19, Class A1 | | | | | | | | | |
0.32% | | | 12/25/36 | 3 | | | 8,542,497 | | | | 3,176,933 | |
| GSAA Trust, Series 2007-4, Class A1 | | | | | | | | | |
0.34% | | | 03/25/37 | 3 | | | 6,011,986 | | | | 2,406,442 | |
| GSAA Trust, Series 2007-6, Class A4 | | | | | | | | | |
0.54% | | | 05/25/47 | 3 | | | 27,140,000 | | | | 15,362,703 | |
| GSAMP Trust, Series 2006-FM1, Class A2C | | | | | | | | | |
0.40% | | | 04/25/36 | 3 | | | 26,694,024 | | | | 15,356,218 | |
| GSAMP Trust, Series 2007-NC1, Class A2B | | | | | | | | | |
0.34% | | | 12/25/46 | 3 | | | 68,707,000 | | | | 25,536,983 | |
| GSAMP Trust, Series 2007-NC1, Class A2C | | | | | | | | | |
0.38% | | | 12/25/46 | 3 | | | 10,000,000 | | | | 3,324,520 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 3A1 | | | | | | | | | |
2.70% | | | 08/25/34 | 3 | | | 22,233 | | | | 18,536 | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1 | | | | | | | | | |
2.81% | | | 05/25/47 | 3 | | | 9,095,543 | | | | 6,825,404 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 57
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Harborview Mortgage Loan Trust, Series 2004-1, Class 2A | | | | | | | | | |
2.68% | | | 04/19/34 | 3 | | $ | 35,493 | | | $ | 32,285 | |
| Harborview Mortgage Loan Trust, Series 2005-4, Class 2A | | | | | | | | | |
2.83% | | | 07/19/35 | 3 | | | 1,193,805 | | | | 792,656 | |
| Harborview Mortgage Loan Trust, Series 2006-3, Class 2A1A | | | | | | | | | |
5.50% | | | 06/19/36 | 3 | | | 259,828 | | | | 139,497 | |
| Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A | | | | | | | | | |
1.24% | | | 11/25/47 | 3 | | | 1,963,095 | | | | 1,221,664 | |
| Home Equity Asset Trust, Series 2007-1, Class 2A1 | | | | | | | | | |
0.30% | | | 05/25/37 | 3 | | | 32,597 | | | | 31,483 | |
| HSBC Home Equity Loan Trust, Series 2006-1, Class A1 | | | | | | | | | |
0.39% | | | 01/20/36 | 3 | | | 23,250,777 | | | | 21,675,432 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class A4 | | | | | | | | | |
1.73% | | | 11/20/36 | 3 | | | 9,985,000 | | | | 7,961,070 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | | | | | |
1.43% | | | 11/20/36 | 3 | | | 37,601,024 | | | | 33,378,948 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A | | | | | | | | | |
2.61% | | | 08/25/34 | 3 | | | 602,781 | | | | 436,717 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B | | | | | | | | | |
1.04% | | | 08/25/34 | 3 | | | 52,522 | | | | 33,073 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1 | | | | | | | | | |
3.06% | | | 10/25/34 | 3 | | | 460,715 | | | | 421,176 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2 | | | | | | | | | |
1.10% | | | 09/25/34 | 3 | | | 168,454 | | | | 105,405 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | | | | | |
0.64% | | | 11/25/34 | 3 | | | 96,018 | | | | 61,464 | |
| Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A | | | | | | | | | |
0.54% | | | 10/25/36 | 3 | | | 369,170 | | | | 214,693 | |
| Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2 | | | | | | | | | |
3.04% | | | 08/25/36 | 3 | | | 28,460,646 | | | | 12,183,163 | |
| Indymac Index Mortgage Loan Trust, Series 2006-AR41, Class A3 | | | | | | | | | |
0.42% | | | 02/25/37 | 3 | | | 21,727,429 | | | | 9,874,045 | |
| Indymac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1 | | | | | | | | | |
3.03% | | | 05/25/36 | 3 | | | 9,874,389 | | | | 5,307,960 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Indymac Index Mortgage Loan Trust, Series 2006-AR8, Class A3A | | | | | | | | | |
0.46% | | | 07/25/46 | 3 | | $ | 23,037,350 | | | $ | 13,102,189 | |
| Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | | | | | |
3.24% | | | 06/25/37 | 3 | | | 12,086,713 | | | | 6,179,363 | |
| Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 1A1 | | | | | | | | | |
4.94% | | | 05/25/37 | 3 | | | 166,698 | | | | 76,808 | |
| Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 3A1 | | | | | | | | | |
5.02% | | | 05/25/37 | 3 | | | 11,026,611 | | | | 5,596,066 | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 459,317 | | | | 457,568 | |
| Indymac Residential Asset Backed Trust, Series 2007-A, Class 2A4A | | | | | | | | | |
0.56% | | | 04/25/47 | 3 | | | 10,646,000 | | | | 3,968,509 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1 | | | | | | | | | |
2.70% | | | 05/25/36 | 3 | | | 1,988,514 | | | | 982,947 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1 | | | | | | | | | |
5.67% | | | 05/25/36 | 3 | | | 26,566,118 | | | | 15,498,195 | |
| JPMorgan Alternative Loan Trust, Series 2006-A6, Class 2A5 | | | | | | | | | |
6.05% | | | 11/25/36 | 3 | | | 610,000 | | | | 364,750 | |
| JPMorgan Alternative Loan Trust, Series 2006-S4, Class A4 (STEP) | | | | | | | | | |
5.96% | | | 12/25/36 | | | | 38,700,000 | | | | 21,203,703 | |
| JPMorgan Alternative Loan Trust, Series 2007-A2, Class 12A2 | | | | | | | | | |
0.32% | | | 06/25/37 | 3 | | | 3,803,241 | | | | 3,473,541 | |
| JPMorgan Mortgage Acquisition Corp., Series 2006-CH2, Class AV4 | | | | | | | | | |
0.38% | | | 10/25/36 | 3 | | | 16,800,000 | | | | 7,393,680 | |
| JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A3A (STEP) | | | | | | | | | |
5.83% | | | 07/25/36 | | | | 9,186,686 | | | | 4,471,172 | |
| JPMorgan Mortgage Acquisition Corp., Series 2006-WF1, Class A6 (STEP) | | | | | | | | | |
6.00% | | | 07/25/36 | | | | 7,890,930 | | | | 3,822,864 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF6 (STEP) | | | | | | | | | |
5.50% | | | 10/25/36 | | | | 626,727 | | | | 542,121 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH3, Class A4 | | | | | | | | | |
0.44% | | | 03/25/37 | 3 | | | 1,310,000 | | | | 491,551 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH4, Class A2 | | | | | | | | | |
0.30% | | | 05/25/37 | 3 | | | 4,634,577 | | | | 4,437,854 | |
See accompanying notes to Schedule of Portfolio Investments.
58 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A3 | | | | | | | | | |
0.34% | | | 05/25/37 | 3 | | $ | 300,000 | | | $ | 208,752 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF1 | | | | | | | | | |
0.34% | | | 03/25/47 | 3 | | | 591,417 | | | | 352,103 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF2 (STEP) | | | | | | | | | |
5.53% | | | 03/25/47 | | | | 9,480,000 | | | | 4,867,648 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-HE1, Class AF4 (STEP) | | | | | | | | | |
5.53% | | | 03/25/47 | | | | 5,000,000 | | | | 2,785,047 | |
| JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3 | | | | | | | | | |
4.68% | | | 11/25/33 | 3 | | | 995,000 | | | | 962,459 | |
| JPMorgan Mortgage Trust, Series 2005-A5, Class 3A2 | | | | | | | | | |
5.30% | | | 08/25/35 | 3 | | | 101,846 | | | | 100,805 | |
| JPMorgan Mortgage Trust, Series 2005-A5, Class TA1 | | | | | | | | | |
5.43% | | | 08/25/35 | 3 | | | 1,278,015 | | | | 1,226,812 | |
| JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3 | | | | | | | | | |
5.50% | | | 09/25/20 | | | | 21,872,887 | | | | 21,213,440 | |
| JPMorgan Mortgage Trust, Series 2006-A2, Class 2A2 | | | | | | | | | |
5.62% | | | 04/25/36 | 3 | | | 2,325,000 | | | | 1,798,369 | |
| JPMorgan Mortgage Trust, Series 2006-A2, Class 2A4 | | | | | | | | | |
5.62% | | | 04/25/36 | 3 | | | 17,325,000 | | | | 14,109,307 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1 | | | | | | | | | |
2.83% | | | 05/25/36 | 3 | | | 4,560,598 | | | | 3,138,193 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3 | | | | | | | | | |
5.65% | | | 05/25/36 | 3 | | | 3,541,785 | | | | 2,799,829 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 3A4 | | | | | | | | | |
5.65% | | | 05/25/36 | 3 | | | 20,807,985 | | | | 17,590,482 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2 | | | | | | | | | |
2.86% | | | 07/25/35 | 3 | | | 11,103,428 | | | | 10,096,347 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 08/15/28 | 3 | | | 15,906,320 | | | | 17,245,772 | |
| Lehman XS Trust, Series 2006-10N, Class 1A3A | | | | | | | | | |
0.44% | | | 07/25/46 | 3 | | | 27,245,617 | | | | 14,406,548 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | | | | | |
0.40% | | | 09/25/36 | 3 | | | 70,753,061 | | | | 45,942,276 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Lehman XS Trust, Series 2006-19, Class A2 | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | $ | 53,520,010 | | | $ | 31,538,149 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | | | | | |
0.40% | | | 05/25/46 | 3 | | | 41,612,105 | | | | 23,151,747 | |
| Lehman XS Trust, Series 2006-GP1, Class A4A | | | | | | | | | |
0.56% | | | 05/25/46 | 3 | | | 30,800,678 | | | | 6,868,314 | |
| Lehman XS Trust, Series 2007-12N, Class 1A3A | | | | | | | | | |
0.44% | | | 07/25/47 | 3 | | | 8,500,000 | | | | 2,726,473 | |
| Lehman XS Trust, Series 2007-15N, Class 2A1 | | | | | | | | | |
0.48% | | | 08/25/37 | 3 | | | 52,213,151 | | | | 32,532,839 | |
| Lehman XS Trust, Series 2007-16N, Class 2A2 | | | | | | | | | |
1.08% | | | 09/25/47 | 3 | | | 420,268 | | | | 272,808 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | | | | | |
5.07% | | | 01/25/34 | 3 | | | 267,054 | | | | 253,027 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7 | | | | | | | | | |
2.72% | | | 11/21/34 | 3 | | | 60,000 | | | | 56,349 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7A | | | | | | | | | |
2.72% | | | 11/21/34 | 3 | | | 440,000 | | | | 416,465 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
2.75% | | | 06/25/34 | 3 | | | 2,127 | | | | 1,618 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2007-3, Class 22A5 | | | | | | | | | |
0.58% | | | 05/25/47 | 3 | | | 735,000 | | | | 83,925 | |
| MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A3 | | | | | | | | | |
0.44% | | | 05/25/37 | 3 | | | 26,441,000 | | | | 10,273,915 | |
| MASTR Asset Backed Securities Trust, Series 2007-HE1, Class A4 | | | | | | | | | |
0.52% | | | 05/25/37 | 3 | | | 19,985,500 | | | | 7,570,967 | |
| MASTR Asset Securitization Trust, Series 2002-8, Class 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 41,305 | | | | 42,653 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.76% | | | 10/25/32 | 3 | | | 58,086 | | | | 49,023 | |
| MASTR Seasoned Securities Trust, Series 2004-2, Class A2 | | | | | | | | | |
6.50% | | | 08/25/32 | | | | 2,860,727 | | | | 2,973,080 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C | | | | | | | | | |
0.48% | | | 04/25/37 | 3 | | | 51,972,000 | | | | 21,465,268 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 59
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C | | | | | | | | | |
0.48% | | | 05/25/37 | 3 | | $ | 43,849,000 | | | $ | 19,221,648 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.42% | | | 06/25/37 | 3 | | | 18,116,200 | | | | 8,100,028 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A10, Class A | | | | | | | | | |
0.44% | | | 02/25/36 | 3 | | | 39,781 | | | | 24,380 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A3 | | | | | | | | | |
0.62% | | | 08/25/35 | 3 | | | 25,000,000 | | | | 13,682,975 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP) | | | | | | | | | |
5.61% | | | 03/25/37 | | | | 41,044,027 | | | | 12,408,225 | |
| Mid-State Trust, Series 11, Class A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 458,362 | | | | 462,722 | |
| Mid-State Trust, Series 2004-1, Class A | | | | | | | | | |
6.00% | | | 08/15/37 | | | | 691,149 | | | | 727,694 | |
| Mid-State Trust, Series 2005-1, Class A | | | | | | | | | |
5.74% | | | 01/15/40 | | | | 30,372,400 | | | | 32,953,945 | |
| Mid-State Trust, Series 2006-1, Class A | | | | | | | | | |
5.79% | | | 10/15/40 | 4 | | | 20,581,761 | | | | 22,579,437 | |
| Mid-State Trust, Series 2006-1, Class M1 | | | | | | | | | |
6.08% | | | 10/15/40 | 4 | | | 22,339,986 | | | | 20,802,333 | |
| Mid-State Trust, Series 6, Class A1 | | | | | | | | | |
7.34% | | | 07/01/35 | | | | 65,119 | | | | 67,086 | |
| Morgan Stanley ABS Capital I, Series 2005-HE3, Class M1 | | | | | | | | | |
0.72% | | | 07/25/35 | 3 | | | 5,566,916 | | | | 5,480,072 | |
| Morgan Stanley ABS Capital I, Series 2006-HE5, Class A2C | | | | | | | | | |
0.38% | | | 08/25/36 | 3 | | | 9,015,000 | | | | 4,561,414 | |
| Morgan Stanley ABS Capital I, Series 2006-HE5, Class A2D | | | | | | | | | |
0.48% | | | 08/25/36 | 3 | | | 48,700,000 | | | | 21,308,753 | |
| Morgan Stanley ABS Capital I, Series 2007-HE2, Class A2B | | | | | | | | | |
0.32% | | | 01/25/37 | 3 | | | 110,000 | | | | 42,835 | |
| Morgan Stanley Home Equity Loan Trust, Series 2006-3, Class A4 | | | | | | | | | |
0.50% | | | 04/25/36 | 3 | | | 10,000,000 | | | | 3,764,314 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 3 | | | 285,985 | | | | 142,732 | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-10XS, Class A18 | | | | | | | | | |
6.00% | | | 07/25/47 | 3 | | | 18,366,075 | | | | 13,508,612 | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-2AX, Class 2A1 | | | | | | | | | |
0.32% | | | 12/25/36 | 3 | | | 10,101,734 | | | | 3,518,555 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1 | | | | | | | | | |
0.36% | | | 04/25/37 | 3 | | $ | 9,701,381 | | | $ | 3,652,041 | |
| Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 | | | | | | | | | |
0.48% | | | 06/25/37 | 3 | | | 7,760,000 | | | | 2,901,177 | |
| New Century Home Equity Loan Trust, Series 2005-2, Class A2C | | | | | | | | | |
0.54% | | | 06/25/35 | 3 | | | 6,257,656 | | | | 6,044,101 | |
| Nomura Asset Acceptance Corp., Series 2006-AR4, Class A1A | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 799,245 | | | | 324,299 | |
| Novastar Home Equity Loan, Series 2005-1, Class M4 | | | | | | | | | |
0.92% | | | 06/25/35 | 3 | | | 20,000,000 | | | | 11,937,930 | |
| Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 7,428 | | | | 7,479 | |
| Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 34,015 | | | | 34,091 | |
| Option One Mortgage Loan Trust, Series 2006-3, Class 2A3 | | | | | | | | | |
0.38% | | | 02/25/37 | 3 | | | 11,782,000 | | | | 3,791,583 | |
| Option One Mortgage Loan Trust, Series 2007-1, Class 2A3 | | | | | | | | | |
0.38% | | | 01/25/37 | 3 | | | 39,728,000 | | | | 13,450,264 | |
| Option One Mortgage Loan Trust, Series 2007-1, Class 2A4 | | | | | | | | | |
0.46% | | | 01/25/37 | 3 | | | 6,000,000 | | | | 2,034,053 | |
| Option One Mortgage Loan Trust, Series 2007-4, Class 2A2 | | | | | | | | | |
0.42% | | | 04/25/37 | 3 | | | 30,000,000 | | | | 13,033,485 | |
| Option One Mortgage Loan Trust, Series 2007-6, Class 2A4 | | | | | | | | | |
0.48% | | | 07/25/37 | 3 | | | 100,000 | | | | 33,945 | |
| Ownit Mortgage Loan Asset Backed Certificates, Series 2006-4, Class A2D | | | | | | | | | |
0.48% | | | 05/25/37 | 3 | | | 36,886,000 | | | | 14,567,572 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2005-3, Class AF6 (STEP) | | | | | | | | | |
4.76% | | | 07/25/35 | | | | 3,969,382 | | | | 3,989,882 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | | | | | |
0.54% | | | 06/25/47 | 3 | | | 22,639,500 | | | | 11,463,350 | |
| Residential Accredit Loans, Inc., Series 2003-QS3, Class A4 | | | | | | | | | |
5.50% | | | 02/25/18 | | | | 121,668 | | | | 124,497 | |
| Residential Accredit Loans, Inc., Series 2005-QO5, Class A1 | | | | | | | | | |
1.24% | | | 01/25/46 | 3 | | | 16,649,631 | | | | 8,740,015 | |
See accompanying notes to Schedule of Portfolio Investments.
60 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Residential Accredit Loans, Inc., Series 2007-QO4, Class A1 | | | | | | | | | |
0.44% | | | 05/25/47 | 3 | | $ | 22,939,725 | | | $ | 12,867,064 | |
| Residential Asset Mortgage Products, Inc., Series 2003-RS10, Class AI6 (STEP) | | | | | | | | | |
5.86% | | | 11/25/33 | | | | 488,468 | | | | 423,701 | |
| Residential Asset Mortgage Products, Inc., Series 2003-RS11, Class AI6A (STEP) | | | | | | | | | |
5.98% | | | 12/25/33 | | | | 340,598 | | | | 312,846 | |
| Residential Asset Mortgage Products, Inc., Series 2003-RS9, Class AI6A (STEP) | | | | | | | | | |
6.11% | | | 10/25/33 | | | | 41,310 | | | | 41,617 | |
| Residential Asset Mortgage Products, Inc., Series 2004-RS12, Class MII2 | | | | | | | | | |
1.04% | | | 12/25/34 | 3 | | | 2,268,506 | | | | 1,957,220 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 135,554 | | | | 137,204 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL3, Class A2 | | | | | | | | | |
6.50% | | | 12/25/31 | | | | 135,790 | | | | 136,076 | |
| Residential Asset Securities Corp., Series 2005-EMX2, Class M3 | | | | | | | | | |
0.76% | | | 07/25/35 | 3 | | | 6,839,000 | | | | 3,076,205 | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1 | | | | | | | | | |
2.63% | | | 12/25/34 | 3 | | | 702,331 | | | | 573,259 | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
2.66% | | | 12/25/34 | 3 | | | 44,232 | | | | 39,405 | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1 | | | | | | | | | |
2.58% | | | 12/25/34 | 3 | | | 1,718,683 | | | | 1,444,225 | |
| Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3 | | | | | | | | | |
6.25% | | | 07/25/36 | | | | 3,182,665 | | | | 1,939,419 | |
| Residential Funding Mortgage Securities I, Series 2006-SA3, Class 4A1 | | | | | | | | | |
6.01% | | | 09/25/36 | 3 | | | 2,119,179 | | | | 1,639,163 | |
| Residential Funding Mortgage Securities II, Inc., Series 1999-HI6, Class AI7 (STEP) | | | | | | | | | |
8.60% | | | 09/25/29 | | | | 296,604 | | | | 277,709 | |
| Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7 (STEP) | | | | | | | | | |
8.79% | | | 02/25/25 | | | | 223,420 | | | | 220,422 | |
| Resmae Mortgage Loan Trust, Series 2006-1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 3,4 | | | 322,221 | | | | 3,179 | |
| Saxon Asset Securities Trust, Series 2005-2, Class M1 | | | | | | | | | |
0.66% | | | 10/25/35 | 3 | | | 32,400,000 | | | | 27,434,570 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Saxon Asset Securities Trust, Series 2007-1, Class A2C | | | | | | | | | |
0.38% | | | 01/25/47 | 3 | | $ | 8,135,000 | | | $ | 3,749,879 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2005-FR3, Class M1 | | | | | | | | | |
0.70% | | | 04/25/35 | 3 | | | 3,112,720 | | | | 2,817,645 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | | | | | |
0.46% | | | 02/25/37 | 3 | | | 48,263,139 | | | | 16,102,900 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR3, Class A2B | | | | | | | | | |
0.46% | | | 04/25/37 | 3 | | | 27,850,000 | | | | 8,831,681 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B | | | | | | | | | |
0.38% | | | 12/25/36 | 3 | | | 57,091,250 | | | | 19,406,292 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-NC2, Class A2B | | | | | | | | | |
0.38% | | | 01/25/37 | 3 | | | 160,000 | | | | 56,598 | |
| SG Mortgage Securities Trust, Series 2006-FRE1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 3 | | | 2,786,489 | | | | 1,398,192 | |
| SG Mortgage Securities Trust, Series 2006-FRE1, Class A2B | | | | | | | | | |
0.42% | | | 02/25/36 | 3 | | | 30,110,974 | | | | 13,897,283 | |
| SG Mortgage Securities Trust, Series 2006-OPT2, Class A3C | | | | | | | | | |
0.38% | | | 10/25/36 | 3 | | | 12,348,460 | | | | 3,583,603 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | | | | | |
0.48% | | | 12/25/36 | 3,4 | | | 16,183,521 | | | | 8,128,517 | |
| Soundview Home Equity Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.38% | | | 12/25/36 | 3 | | | 27,470,000 | | | | 22,819,975 | |
| Soundview Home Equity Loan Trust, Series 2007-NS1, Class A4 | | | | | | | | | |
0.54% | | | 01/25/37 | 3 | | | 12,405,000 | | | | 6,090,309 | |
| Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A4 | | | | | | | | | |
0.52% | | | 06/25/37 | 3 | | | 29,546,000 | | | | 9,749,973 | |
| Soundview Home Equity Loan Trust, Series 2007-OPT2, Class 2A3 | | | | | | | | | |
0.42% | | | 07/25/37 | 3 | | | 17,450,000 | | | | 5,877,273 | |
| Soundview Home Equity Loan Trust, Series 2007-OPTI, Class 2A3 | | | | | | | | | |
0.44% | | | 06/25/37 | 3 | | | 37,418,535 | | | | 12,182,839 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A | | | | | | | | | |
2.64% | | | 10/25/34 | 3 | | | 459,116 | | | | 389,356 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-5, Class 3A1 | | | | | | | | | |
5.78% | | | 06/25/37 | 3 | | | 22,691,099 | | | | 16,586,529 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 61
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1 | | | | | | | | | |
0.54% | | | 08/25/37 | 3 | | $ | 28,831,690 | | | $ | 16,756,898 | |
| Structured Asset Mortgage Investments, Inc., Series 2005-AR7, Class 1A1 | | | | | | | | | |
2.62% | | | 12/27/35 | 3 | | | 3,256,548 | | | | 1,683,067 | |
| Structured Asset Mortgage Investments, Inc., Series 2006-AR8, Class A1A | | | | | | | | | |
0.44% | | | 10/25/36 | 3 | | | 29,435,775 | | | | 15,437,769 | |
| Structured Asset Mortgage Investments, Inc., Series 2007-AR1, Class 1A1 | | | | | | | | | |
0.40% | | | 01/25/37 | 3 | | | 58,386,900 | | | | 28,911,441 | |
| Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1 | | | | | | | | | |
1.74% | | | 08/25/47 | 3 | | | 137,304,775 | | | | 69,863,827 | |
| Structured Asset Securities Corp., Series 1997-2, Class 2A4 | | | | | | | | | |
7.25% | | | 03/28/30 | | | | 5,118 | | | | 5,207 | |
| Structured Asset Securities Corp., Series 2001-15A, Class 4A1 | | | | | | | | | |
2.18% | | | 10/25/31 | 3 | | | 12,757 | | | | 12,101 | |
| Structured Asset Securities Corp., Series 2003-26A, Class 3A5 | | | | | | | | | |
2.44% | | | 09/25/33 | 3 | | | 959,426 | | | | 852,371 | |
| Structured Asset Securities Corp., Series 2003-34A, Class 5A4 | | | | | | | | | |
2.52% | | | 11/25/33 | 3 | | | 6,029,250 | | | | 5,621,311 | |
| Structured Asset Securities Corp., Series 2003-7H, Class A12 | | | | | | | | | |
6.50% | | | 03/25/33 | | | | 13,035 | | | | 13,570 | |
| Structured Asset Securities Corp., Series 2005-4XS, Class 3A3 (STEP) | | | | | | | | | |
4.47% | | | 03/25/35 | | | | 2,938,996 | | | | 2,911,366 | |
| Structured Asset Securities Corp., Series 2006-WF3, Class A3 | | | | | | | | | |
0.38% | | | 09/25/36 | 3 | | | 216,007 | | | | 173,830 | |
| Structured Asset Securities Corp., Series 2007-BC4, Class A3 | | | | | | | | | |
0.48% | | | 11/25/37 | 3 | | | 11,056,410 | | | | 10,342,619 | |
| Structured Asset Securities Corp., Series 2007-EQ1, Class A4 | | | | | | | | | |
0.48% | | | 03/25/37 | 3 | | | 26,325,800 | | | | 10,056,313 | |
| Structured Asset Securities Corp. 2007-BC3 2A1 | | | | | | | | | |
0.30% | | | 05/25/47 | 3 | | | 26,168,808 | | | | 24,214,234 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1 | | | | | | | | | |
5.51% | | | 06/25/37 | 3 | | | 18,604,760 | | | | 12,996,633 | |
| Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A | | | | | | | | | |
2.28% | | | 12/25/44 | 3 | | | 446,903 | | | | 367,260 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4 | | | | | | | | | |
6.57% | | | 05/07/27 | 3 | | $ | 4,014,310 | | | $ | 4,345,715 | |
| WAMU Asset-Backed Certificates, Series 2007-HE1, Class 2A3 | | | | | | | | | |
0.38% | | | 01/25/37 | 3 | | | 62,700,000 | | | | 21,847,784 | |
| WAMU Asset-Backed Certificates, Series 2007-HE1, Class 2A4 | | | | | | | | | |
0.46% | | | 01/25/37 | 3 | | | 21,687,000 | | | | 7,701,466 | |
| WaMu Mortgage Pass Through Certificates, Series 2002-AR18, Class A | | | | | | | | | |
2.59% | | | 01/25/33 | 3 | | | 25,059 | | | | 23,174 | |
| WaMu Mortgage Pass Through Certificates, Series 2003-AR6, Class A1 | | | | | | | | | |
2.57% | | | 06/25/33 | 3 | | | 73,960 | | | | 69,192 | |
| WaMu Mortgage Pass Through Certificates, Series 2004-AR3, Class A2 | | | | | | | | | |
2.58% | | | 06/25/34 | 3 | | | 220,931 | | | | 214,829 | |
| WaMu Mortgage Pass Through Certificates, Series 2004-AR6, Class A | | | | | | | | | |
0.67% | | | 05/25/44 | 3 | | | 208,757 | | | | 162,652 | |
| WaMu Mortgage Pass Through Certificates, Series 2005-AR12, Class 1A6 | | | | | | | | | |
2.50% | | | 10/25/35 | 3 | | | 310,000 | | | | 235,879 | |
| WaMu Mortgage Pass Through Certificates, Series 2005-AR16, Class 1A4A | | | | | | | | | |
2.58% | | | 12/25/35 | 3 | | | 380,000 | | | | 261,776 | |
| WaMu Mortgage Pass Through Certificates, Series 2006-AR7, Class 3A1B | | | | | | | | | |
2.84% | | | 07/25/46 | 3 | | | 3,221,025 | | | | 1,408,595 | |
| WaMu Mortgage Pass Through Certificates, Series 2007-HY5, Class 2A5 | | | | | | | | | |
5.71% | | | 05/25/37 | 3 | | | 40,169,786 | | | | 24,560,189 | |
| WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A | | | | | | | | | |
1.01% | | | 04/25/47 | 3 | | | 228,348 | | | | 128,981 | |
| WaMu Mortgage Pass Through Certificates, Series 2007-OA4, Class 1A | | | | | | | | | |
1.01% | | | 05/25/47 | 3 | | | 615,257 | | | | 368,866 | |
| WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 1A | | | | | | | | | |
1.05% | | | 07/25/47 | 3 | | | 449,849 | | | | 266,725 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3 | | | | | | | | | |
0.78% | | | 05/25/35 | 3 | | | 12,022,860 | | | | 8,261,027 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | | | | | |
0.74% | | | 06/25/35 | 3 | | | 18,439,071 | | | | 12,471,192 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR2, Class A1A | | | | | | | | | |
1.18% | | | 04/25/46 | 3 | | | 13,960,975 | | | | 6,989,844 | |
See accompanying notes to Schedule of Portfolio Investments.
62 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A | | | | | | | | | |
1.21% | | | 05/25/46 | 3 | | $ | 35,203,202 | | | $ | 17,313,639 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR7, Class A1A | | | | | | | | | |
1.16% | | | 09/25/46 | 3 | | | 14,723,037 | | | | 5,731,428 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR9, Class 2A | | | | | | | | | |
1.08% | | | 11/25/46 | 3 | | | 67,039,879 | | | | 28,539,574 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1 | | | | | | | | | |
6.00% | | | 01/25/22 | | | | 1,633,881 | | | | 1,552,046 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA1, Class 2A | | | | | | | | | |
0.96% | | | 12/25/46 | 3 | | | 13,349,407 | | | | 5,339,240 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A | | | | | | | | | |
0.94% | | | 01/25/47 | 3 | | | 33,946,052 | | | | 15,201,785 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 2A | | | | | | | | | |
0.99% | | | 02/25/47 | 3 | | | 58,871,381 | | | | 25,526,908 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A1 | | | | | | | | | |
1.01% | | | 04/25/47 | 3 | | | 23,906,308 | | | | 13,041,668 | |
| Washington Mutual Asset-Backed Certificates, Series 2006-HE2, Class A4 | | | | | | | | | |
0.48% | | | 05/25/36 | 3 | | | 23,665,000 | | | | 7,862,708 | |
| Washington Mutual Asset-Backed Certificates, Series 2006-HE3, Class 2A3 | | | | | | | | | |
0.40% | | | 08/25/36 | 3 | | | 16,858,000 | | | | 5,434,519 | |
| Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HE2, Class 2A3 | | | | | | | | | |
0.48% | | | 04/25/37 | 3 | | | 15,260,000 | | | | 6,140,128 | |
| Washington Mutual Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A | | | | | | | | | |
0.94% | | | 02/25/47 | 3 | | | 438,298 | | | | 242,619 | |
| Wells Fargo Home Equity Trust, Series 2004-2, Class AI6 | | | | | | | | | |
5.00% | | | 05/25/34 | 3 | | | 13,085,000 | | | | 13,457,145 | |
| Wells Fargo Home Equity Trust, Series 2005-3, Class AII3 | | | | | | | | | |
0.58% | | | 11/25/35 | 3 | | | 22,340,590 | | | | 21,328,114 | |
| Wells Fargo Home Equity Trust, Series 2006-1, Class A3 | | | | | | | | | |
0.38% | | | 05/25/36 | 3 | | | 9,928,949 | | | | 9,696,409 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Wells Fargo Home Equity Trust, Series 2007-2, Class A1 | | | | | | | | | |
0.32% | | | 04/25/37 | 3 | | $ | 6,685,550 | | | $ | 6,406,505 | |
| Wells Fargo Mortgage Backed Securities Trust, Series 2003-17, Class 2A10 | | | | | | | | | |
5.50% | | | 01/25/34 | | | | 20,290,386 | | | | 21,449,231 | |
| Wells Fargo Mortgage Backed Securities Trust, Series 2004-L, Class A8 | | | | | | | | | |
4.77% | | | 07/25/34 | 3 | | | 1,740,000 | | | | 1,709,328 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,782,900,696 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 33.94% | |
| Fannie Mae (TBA) | | | | | | | | | |
3.00% | | | 10/25/26 | | | | 580,055,000 | | | | 597,366,045 | |
4.00% | | | 10/25/41 | | | | 267,250,000 | | | | 280,111,406 | |
| Fannie Mae Pool 190375 | | | | | | | | | |
5.50% | | | 11/01/36 | | | | 12,093,568 | | | | 13,180,855 | |
| Fannie Mae Pool 233672 | | | | | | | | | |
2.70% | | | 09/01/23 | 3 | | | 19,054 | | | | 19,992 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 87,636 | | | | 96,668 | |
| Fannie Mae Pool 254868 | | | | | | | | | |
5.00% | | | 09/01/33 | | | | 32,016,957 | | | | 34,607,662 | |
| Fannie Mae Pool 308798 | | | | | | | | | |
2.50% | | | 04/01/25 | 3 | | | 5,509 | | | | 5,844 | |
| Fannie Mae Pool 312155 | | | | | | | | | |
2.30% | | | 03/01/25 | 3 | | | 15,978 | | | | 16,028 | |
| Fannie Mae Pool 313182 | | | | | | | | | |
7.50% | | | 10/01/26 | | | | 9,747 | | | | 11,325 | |
| Fannie Mae Pool 384569 | | | | | | | | | |
6.20% | | | 01/01/12 | | | | 100,000 | | | | 99,981 | |
| Fannie Mae Pool 384762 | | | | | | | | | |
6.00% | | | 02/01/12 | | | | 153,212 | | | | 153,182 | |
| Fannie Mae Pool 467243 | | | | | | | | | |
4.55% | | | 01/01/21 | | | | 2,738,428 | | | | 3,070,055 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 14,031 | | | | 15,951 | |
| Fannie Mae Pool 545269 | | | | | | | | | |
5.98% | | | 11/01/11 | | | | 22,063 | | | | 22,059 | |
| Fannie Mae Pool 545322 | | | | | | | | | |
5.94% | | | 11/01/11 | | | | 11,867 | | | | 11,733 | |
| Fannie Mae Pool 545831 | | | | | | | | | |
6.50% | | | 08/01/17 | | | | 55,006 | | | | 60,431 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 7,213 | | | | 7,846 | |
| Fannie Mae Pool 613142 | | | | | | | | | |
7.00% | | | 11/01/31 | | | | 60,651 | | | | 68,733 | |
| Fannie Mae Pool 625666 | | | | | | | | | |
7.00% | | | 01/01/32 | | | | 35,621 | | | | 41,081 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 63
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 633698 | | | | | | | | | |
7.50% | | | 02/01/31 | | | $ | 49,774 | | | $ | 58,636 | |
| Fannie Mae Pool 637093 | | | | | | | | | |
8.50% | | | 03/01/32 | | | | 13,783 | | | | 16,310 | |
| Fannie Mae Pool 642322 | | | | | | | | | |
2.42% | | | 05/01/32 | 3 | | | 1,217 | | | | 1,275 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 3 | | | 8,364 | | | | 8,410 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 512,791 | | | | 591,376 | |
| Fannie Mae Pool 725027 | | | | | | | | | |
5.00% | | | 11/01/33 | | | | 36,119,651 | | | | 38,964,070 | |
| Fannie Mae Pool 725232 | | | | | | | | | |
5.00% | | | 03/01/34 | | | | 83,732 | | | | 90,508 | |
| Fannie Mae Pool 725257 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 6,964,026 | | | | 7,611,717 | |
| Fannie Mae Pool 730957 | | | | | | | | | |
5.00% | | | 08/01/33 | | | | 11,177,020 | | | | 12,057,210 | |
| Fannie Mae Pool 734922 | | | | | | | | | |
4.50% | | | 09/01/33 | | | | 13,058,623 | | | | 13,950,961 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 67,469 | | | | 77,008 | |
| Fannie Mae Pool 735224 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 36,061,895 | | | | 39,422,411 | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | | 10,309,785 | | | | 11,050,189 | |
| Fannie Mae Pool 735651 | | | | | | | | | |
4.50% | | | 06/01/35 | | | | 40,074,075 | | | | 42,731,068 | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | | 282,786 | | | | 311,934 | |
| Fannie Mae Pool 740297 | | | | | | | | | |
5.50% | | | 10/01/33 | | | | 23,080 | | | | 25,231 | |
| Fannie Mae Pool 741862 | | | | | | | | | |
5.50% | | | 09/01/33 | | | | 29,769 | | | | 32,543 | |
| Fannie Mae Pool 745592 | | | | | | | | | |
5.00% | | | 01/01/21 | | | | 48,804 | | | | 52,812 | |
| Fannie Mae Pool 770284 | | | | | | | | | |
5.00% | | | 04/01/34 | | | | 4,867,238 | | | | 5,249,773 | |
| Fannie Mae Pool 770332 | | | | | | | | | |
5.00% | | | 04/01/34 | | | | 18,471,834 | | | | 19,923,604 | |
| Fannie Mae Pool 817611 | | | | | | | | | |
5.28% | | | 11/01/35 | 3 | | | 3,515,400 | | | | 3,776,576 | |
| Fannie Mae Pool 839109 | | | | | | | | | |
5.25% | | | 11/01/35 | 3 | | | 16,183 | | | | 17,396 | |
| Fannie Mae Pool 841031 | | | | | | | | | |
5.28% | | | 11/01/35 | 3 | | | 349,130 | | | | 375,706 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
5.19% | | | 12/01/35 | 3 | | | 55,488 | | | | 59,654 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 888412 | | | | | | | | | |
7.00% | | | 04/01/37 | | | $ | 4,961,515 | | | $ | 5,652,199 | |
| Fannie Mae Pool 888430 | | | | | | | | | |
5.00% | | | 11/01/33 | | | | 28,832,850 | | | | 31,103,434 | |
| Fannie Mae Pool 889117 | | | | | | | | | |
5.00% | | | 10/01/35 | | | | 143,618,286 | | | | 154,928,212 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 30,199,877 | | | | 32,633,561 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 31,943,378 | | | | 34,920,099 | |
| Fannie Mae Pool 895606 | | | | | | | | | |
5.71% | | | 06/01/36 | 3 | | | 139,696 | | | | 151,963 | |
| Fannie Mae Pool 908408 | | | | | | | | | |
5.52% | | | 04/01/37 | 3 | | | 12,689,575 | | | | 13,653,606 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.81% | | | 05/01/37 | 3 | | | 398,327 | | | | 433,305 | |
| Fannie Mae Pool 933033 | | | | | | | | | |
6.50% | | | 10/01/37 | | | | 10,348,523 | | | | 11,266,954 | |
| Fannie Mae Pool AB1613 | | | | | | | | | |
4.00% | | | 10/01/40 | | | | 113,317,867 | | | | 119,492,807 | |
| Fannie Mae Pool AB1803 | | | | | | | | | |
4.00% | | | 11/01/40 | | | | 109,600,322 | | | | 115,846,686 | |
| Fannie Mae Pool AB1960 | | | | | | | | | |
4.00% | | | 12/01/40 | | | | 67,333,594 | | | | 70,687,123 | |
| Fannie Mae Pool AB2051 | | | | | | | | | |
3.50% | | | 01/01/26 | | | | 158,012,924 | | | | 166,487,599 | |
| Fannie Mae Pool AB2127 | | | | | | | | | |
3.50% | | | 01/01/26 | | | | 96,350,339 | | | | 101,126,454 | |
| Fannie Mae Pool AD0791 | | | | | | | | | |
4.76% | | | 02/01/20 | | | | 19,419,999 | | | | 21,854,415 | |
| Fannie Mae Pool AD0849 | | | | | | | | | |
4.25% | | | 02/01/20 | | | | 30,279,947 | | | | 33,153,021 | |
| Fannie Mae Pool AE0482 | | | | | | | | | |
5.50% | | | 01/01/38 | | | | 74,388,007 | | | | 81,126,511 | |
| Fannie Mae Pool AE0600 | | | | | | | | | |
3.97% | | | 11/01/20 | | | | 42,424,422 | | | | 45,814,093 | |
| Fannie Mae Pool AE0605 | | | | | | | | | |
4.67% | | | 07/01/20 | | | | 33,652,313 | | | | 37,755,673 | |
| Fannie Mae Pool AE0918 | | | | | | | | | |
3.66% | | | 10/01/20 | | | | 5,820,318 | | | | 6,228,983 | |
| Fannie Mae Pool AH3429 | | | | | | | | | |
3.50% | | | 01/01/26 | | | | 79,381,666 | | | | 83,539,900 | |
| Fannie Mae Pool AH3780 | | | | | | | | | |
4.00% | | | 02/01/41 | | | | 42,719,830 | | | | 45,154,528 | |
| Fannie Mae Pool AH4793 | | | | | | | | | |
4.00% | | | 02/01/41 | | | | 123,000,446 | | | | 129,126,451 | |
| Fannie Mae Pool AH4815 | | | | | | | | | |
3.50% | | | 02/01/26 | | | | 28,384 | | | | 29,690 | |
See accompanying notes to Schedule of Portfolio Investments.
64 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool AL0209 | | | | | | | | | |
4.50% | | | 05/01/41 | | | $ | 72,869,266 | | | $ | 78,485,322 | |
| Fannie Mae Pool AL0290 | | | | | | | | | |
4.45% | | | 04/01/21 | | | | 33,982,226 | | | | 37,708,278 | |
| Fannie Mae Pool AL0600 | | | | | | | | | |
4.30% | | | 07/01/21 | | | | 5,125,616 | | | | 5,620,725 | |
| Fannie Mae Pool FN0001 | | | | | | | | | |
3.76% | | | 12/01/20 | | | | 21,760,186 | | | | 23,524,727 | |
| Fannie Mae Whole Loan, Series 2003-W2, Class 2A9 | | | | | | | | | |
5.90% | | | 07/25/42 | | | | 72,063 | | | | 82,381 | |
| Fannie Mae, Series 1988-28, Class H | | | | | | | | | |
9.05% | | | 12/25/18 | | | | 2,178 | | | | 2,466 | |
| Fannie Mae, Series 1989-27, Class Y | | | | | | | | | |
6.90% | | | 06/25/19 | | | | 992 | | | | 1,079 | |
| Fannie Mae, Series 1991-65, Class Z | | | | | | | | | |
6.50% | | | 06/25/21 | | | | 22,008 | | | | 24,441 | |
| Fannie Mae, Series 1992-123, Class Z | | | | | | | | | |
7.50% | | | 07/25/22 | | | | 3,318 | | | | 4,025 | |
| Fannie Mae, Series 1993-132, Class D (PO) | | | | | | | | | |
0.00% | | | 10/25/22 | 9 | | | 167,623 | | | | 155,134 | |
| Fannie Mae, Series 1993-199, Class SD (IO) | | | | | | | | | |
0.88% | | | 10/25/23 | 3 | | | 461,045 | | | | 7,309 | |
| Fannie Mae, Series 1993-29, Class PK | | | | | | | | | |
7.00% | | | 03/25/23 | | | | 72,282 | | | | 80,868 | |
| Fannie Mae, Series 1994-55, Class H | | | | | | | | | |
7.00% | | | 03/25/24 | | | | 79,105 | | | | 90,662 | |
| Fannie Mae, Series 1997-34, Class SA | | | | | | | | | |
7.48% | | | 10/25/23 | 3 | | | 18,203 | | | | 21,956 | |
| Fannie Mae, Series 1999-11, Class Z | | | | | | | | | |
5.50% | | | 03/25/29 | | | | 293,109 | | | | 321,859 | |
| Fannie Mae, Series 2001-52, Class YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | | 235,748 | | | | 277,065 | |
| Fannie Mae, Series 2003-106, Class WG | | | | | | | | | |
4.50% | | | 11/25/23 | | | | 32,004,000 | | | | 35,541,706 | |
| Fannie Mae, Series 2005-104, Class NI (IO) | | | | | | | | | |
6.46% | | | 03/25/35 | 3 | | | 91,394,024 | | | | 14,153,242 | |
| Fannie Mae, Series 2005-117, Class LC | | | | | | | | | |
5.50% | | | 11/25/35 | | | | 80,423,854 | | | | 88,006,256 | |
| Fannie Mae, Series 2005-92, Class US (IO) | | | | | | | | | |
5.86% | | | 10/25/25 | 3 | | | 37,074,074 | | | | 4,582,604 | |
| Fannie Mae, Series 2006-10, Class YD | | | | | | | | | |
6.50% | | | 03/25/36 | | | | 835 | | | | 840 | |
| Fannie Mae, Series 2006-18, Class PD | | | | | | | | | |
5.50% | | | 08/25/34 | | | | 1,165,000 | | | | 1,301,001 | |
| Fannie Mae, Series 2006-4, Class WE | | | | | | | | | |
4.50% | | | 02/25/36 | | | | 400,000 | | | | 444,749 | |
| Fannie Mae, Series 2006-80, Class PG | | | | | | | | | |
6.00% | | | 06/25/35 | | | | 23,300,000 | | | | 25,994,715 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae, Series 2007-34, Class SB (IO) | | | | | | | | | |
5.88% | | | 04/25/37 | 3 | | $ | 40,217,829 | | | $ | 5,509,292 | |
| Fannie Mae, Series 2008-24, Class NA | | | | | | | | | |
6.75% | | | 06/25/37 | | | | 15,481,805 | | | | 17,331,957 | |
| Fannie Mae, Series 2010-17, Class SB (IO) | | | | | | | | | |
6.12% | | | 03/25/40 | 3 | | | 46,874,169 | | | | 7,082,903 | |
| Fannie Mae, Series 2010-43, Class KS (IO) | | | | | | | | | |
6.18% | | | 05/25/40 | 3 | | | 89,954,057 | | | | 12,772,828 | |
| Fannie Mae, Series 2010-99, Class NI (IO) | | | | | | | | | |
6.00% | | | 09/25/40 | | | | 82,108,851 | | | | 14,686,646 | |
| Fannie Mae, Series G92-36, Class Z | | | | | | | | | |
7.00% | | | 07/25/22 | | | | 639 | | | | 704 | |
| Fannie Mae, Series G93-21, Class Z | | | | | | | | | |
7.20% | | | 05/25/23 | | | | 12,225 | | | | 13,788 | |
| FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2 | | | | | | | | | |
3.97% | | | 01/25/21 | 3 | | | 22,640,000 | | | | 24,790,685 | |
| Freddie Mac Gold (TBA) | | | | | | | | | |
3.50% | | | 10/15/26 | | | | 217,555,000 | | | | 226,597,130 | |
| Freddie Mac Gold Pool A14189 | | | | | | | | | |
4.00% | | | 10/01/33 | | | | 184,316 | | | | 194,895 | |
| Freddie Mac Gold Pool A24156 | | | | | | | | | |
6.50% | | | 10/01/31 | | | | 1,397,257 | | | | 1,585,873 | |
| Freddie Mac Gold Pool A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 14,338,069 | | | | 15,595,450 | |
| Freddie Mac Gold Pool A39012 | | | | | | | | | |
5.50% | | | 06/01/35 | | | | 76,019 | | | | 82,615 | |
| Freddie Mac Gold Pool A54856 | | | | | | | | | |
5.00% | | | 01/01/34 | | | | 20,286,570 | | | | 21,884,349 | |
| Freddie Mac Gold Pool A61164 | | | | | | | | | |
5.00% | | | 04/01/36 | | | | 224,499 | | | | 241,503 | |
| Freddie Mac Gold Pool A93991 | | | | | | | | | |
4.50% | | | 09/01/40 | | | | 105,349,803 | | | | 113,152,273 | |
| Freddie Mac Gold Pool A97038 | | | | | | | | | |
4.00% | | | 02/01/41 | | | | 38,770,160 | | | | 40,648,089 | |
| Freddie Mac Gold Pool C01492 | | | | | | | | | |
5.00% | | | 02/01/33 | | | | 5,732,336 | | | | 6,171,890 | |
| Freddie Mac Gold Pool C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 80,353 | | | | 91,200 | |
| Freddie Mac Gold Pool C55789 | | | | | | | | | |
7.50% | | | 10/01/27 | | | | 31,844 | | | | 36,929 | |
| Freddie Mac Gold Pool C90573 | | | | | | | | | |
6.50% | | | 08/01/22 | | | | 303,430 | | | | 335,714 | |
| Freddie Mac Gold Pool E02402 | | | | | | | | | |
6.00% | | | 10/01/22 | | | | 96,136 | | | | 105,245 | |
| Freddie Mac Gold Pool G00992 | | | | | | | | | |
7.00% | | | 11/01/28 | | | | 4,672 | | | | 5,384 | |
| Freddie Mac Gold Pool G01515 | | | | | | | | | |
5.00% | | | 02/01/33 | | | | 6,118,198 | | | | 6,587,340 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 65
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G01601 | | | | | | | | | |
4.00% | | | 09/01/33 | | | $ | 858,718 | | | $ | 908,005 | |
| Freddie Mac Gold Pool G01611 | | | | | | | | | |
4.00% | | | 09/01/33 | | | | 229,747 | | | | 242,933 | |
| Freddie Mac Gold Pool G01673 | | | | | | | | | |
5.50% | | | 04/01/34 | | | | 2,166,334 | | | | 2,400,028 | |
| Freddie Mac Gold Pool G02579 | | | | | | | | | |
5.00% | | | 12/01/34 | | | | 9,881,682 | | | | 10,656,880 | |
| Freddie Mac Gold Pool G02884 | | | | | | | | | |
6.00% | | | 04/01/37 | | | | 25,531,912 | | | | 28,154,918 | |
| Freddie Mac Gold Pool G02955 | | | | | | | | | |
5.50% | | | 03/01/37 | | | | 19,250,193 | | | | 21,064,674 | |
| Freddie Mac Gold Pool G03357 | | | | | | | | | |
5.50% | | | 08/01/37 | | | | 8,537,230 | | | | 9,344,599 | |
| Freddie Mac Gold Pool G03676 | | | | | | | | | |
5.50% | | | 12/01/37 | | | | 19,761,526 | | | | 21,667,432 | |
| Freddie Mac Gold Pool G03783 | | | | | | | | | |
5.50% | | | 01/01/38 | | | | 9,892,407 | | | | 10,846,483 | |
| Freddie Mac Gold Pool G03985 | | | | | | | | | |
6.00% | | | 03/01/38 | | | | 118,762 | | | | 131,037 | |
| Freddie Mac Gold Pool G04053 | | | | | | | | | |
5.50% | | | 03/01/38 | | | | 102,470 | | | | 113,011 | |
| Freddie Mac Gold Pool G04079 | | | | | | | | | |
5.50% | | | 03/01/38 | | | | 39,774,844 | | | | 43,561,222 | |
| Freddie Mac Gold Pool G04438 | | | | | | | | | |
5.50% | | | 05/01/38 | | | | 38,539,818 | | | | 42,504,600 | |
| Freddie Mac Gold Pool G04703 | | | | | | | | | |
5.50% | | | 08/01/38 | | | | 50,202,214 | | | | 54,541,960 | |
| Freddie Mac Gold Pool G04706 | | | | | | | | | |
5.50% | | | 09/01/38 | | | | 761,336 | | | | 835,715 | |
| Freddie Mac Gold Pool G05866 | | | | | | | | | |
4.50% | | | 02/01/40 | | | | 61,515,378 | | | | 66,291,147 | |
| Freddie Mac Gold Pool G06242 | | | | | | | | | |
4.50% | | | 09/01/40 | | | | 140,568,573 | | | | 151,023,360 | |
| Freddie Mac Gold Pool G06257 | | | | | | | | | |
4.50% | | | 02/01/41 | | | | 123,092,881 | | | | 132,649,242 | |
| Freddie Mac Gold Pool G06354 | | | | | | | | | |
4.00% | | | 04/01/41 | | | | 147,589,898 | | | | 154,738,783 | |
| Freddie Mac Gold Pool G06498 | | | | | | | | | |
4.00% | | | 04/01/41 | | | | 70,889,307 | | | | 74,323,007 | |
| Freddie Mac Gold Pool G06499 | | | | | | | | | |
4.00% | | | 03/01/41 | | | | 34,293,591 | | | | 36,095,790 | |
| Freddie Mac Gold Pool G06500 | | | | | | | | | |
4.00% | | | 04/01/41 | | | | 100,370,030 | | | | 105,534,904 | |
| Freddie Mac Gold Pool G06620 | | | | | | | | | |
4.50% | | | 07/01/41 | | | | 90,258,569 | | | | 95,595,107 | |
| Freddie Mac Gold Pool G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 3,204,748 | | | | 3,488,375 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | $ | 24,913,214 | | | $ | 27,032,783 | |
| Freddie Mac Gold Pool G12399 | | | | | | | | | |
6.00% | | | 09/01/21 | | | | 13,605 | | | | 14,818 | |
| Freddie Mac Gold Pool G12824 | | | | | | | | | |
6.00% | | | 08/01/22 | | | | 8,403,245 | | | | 9,077,474 | |
| Freddie Mac Gold Pool G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 22,648,274 | | | | 24,472,523 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 5,764,764 | | | | 6,221,892 | |
| Freddie Mac Gold Pool G13058 | | | | | | | | | |
4.50% | | | 10/01/20 | | | | 18,549,597 | | | | 19,829,280 | |
| Freddie Mac Gold Pool H00790 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 282,774 | | | | 304,955 | |
| Freddie Mac Gold Pool H05069 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 21,433,165 | | | | 23,018,046 | |
| Freddie Mac Gold Pool H09082 | | | | | | | | | |
6.50% | | | 09/01/37 | | | | 96,920 | | | | 105,926 | |
| Freddie Mac Gold Pool J13884 | | | | | | | | | |
3.50% | | | 12/01/25 | | | | 183,175,039 | | | | 191,186,973 | |
| Freddie Mac Gold Pool Q02640 | | | | | | | | | |
4.50% | | | 08/01/41 | | | | 90,721,748 | | | | 96,023,300 | |
| Freddie Mac Non Gold Pool 1B1928 | | | | | |
2.50% | | | 08/01/34 | 3 | | | 10,945 | | | | 11,504 | |
| Freddie Mac Non Gold Pool 1B3413 | | | | | |
5.93% | | | 05/01/37 | 3 | | | 24,099 | | | | 25,983 | |
| Freddie Mac Non Gold Pool 1J0045 | | | | | | | | | |
5.09% | | | 01/01/36 | 3 | | | 174,281 | | | | 186,175 | |
| Freddie Mac Non Gold Pool 781415 | | | | | | | | | |
2.48% | | | 04/01/34 | 3 | | | 3,728,775 | | | | 3,926,749 | |
| Freddie Mac Non Gold Pool 781469 | | | | | | | | | |
2.48% | | | 04/01/34 | 3 | | | 2,981,243 | | | | 3,157,361 | |
| Freddie Mac Non Gold Pool 781817 | | | | | | | | | |
2.36% | | | 08/01/34 | 3 | | | 58,208 | | | | 60,856 | |
| Freddie Mac Non Gold Pool 788498 | | | | | | | | | |
2.69% | | | 02/01/30 | 3 | | | 304,960 | | | | 320,124 | |
| Freddie Mac Non Gold Pool 847288 | | | | | | | | | |
2.56% | | | 05/01/34 | 3 | | | 4,795,808 | | | | 5,056,430 | |
| Freddie Mac, Series 1004, Class H | | | | | | | | | |
7.95% | | | 10/15/20 | | | | 606 | | | | 681 | |
| Freddie Mac, Series 1073, Class G | | | | | | | | | |
7.00% | | | 05/15/21 | | | | 2,951 | | | | 3,348 | |
| Freddie Mac, Series 1107, Class ZC | | | | | |
6.50% | | | 07/15/21 | | | | 11,467 | | | | 13,137 | |
| Freddie Mac, Series 165, Class K | | | | | | | | | |
6.50% | | | 09/15/21 | | | | 418 | | | | 457 | |
| Freddie Mac, Series 1980, Class Z | | | | | | | | | |
7.00% | | | 07/15/27 | | | | 339,806 | | | | 411,486 | |
See accompanying notes to Schedule of Portfolio Investments.
66 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac, Series 1983, Class Z | | | | | | | | | |
6.50% | | | 12/15/23 | | | $ | 194,317 | | | $ | 218,804 | |
| Freddie Mac, Series 2043, Class CJ | | | | | | | | | |
6.50% | | | 04/15/28 | | | | 47,026 | | | | 54,566 | |
| Freddie Mac, Series 2098, Class TZ | | | | | | | | | |
6.00% | | | 01/15/28 | | | | 966,876 | | | | 1,030,555 | |
| Freddie Mac, Series 2209, Class TC | | | | | | | | | |
8.00% | | | 01/15/30 | | | | 216,791 | | | | 247,186 | |
| Freddie Mac, Series 2433, Class SA | | | | | | | | | |
20.34% | | | 02/15/32 | 3 | | | 12,333 | | | | 17,426 | |
| Freddie Mac, Series 2481, Class AW | | | | | | | | | |
6.50% | | | 08/15/32 | | | | 232,936 | | | | 264,481 | |
| Freddie Mac, Series 2627, Class NI (IO) | | | | | | | | | |
5.00% | | | 04/15/29 | | | | 91,122 | | | | 45 | |
| Freddie Mac, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 59,553 | | | | 6,179 | |
| Freddie Mac, Series 2929, Class PE | | | | | | | | | |
5.00% | | | 05/15/33 | | | | 1,585,000 | | | | 1,715,488 | |
| Freddie Mac, Series 2971, Class AB | | | | | | | | | |
5.00% | | | 05/15/20 | | | | 9,109 | | | | 9,852 | |
| Freddie Mac, Series 3063, Class YG | | | | | | | | | |
5.50% | | | 11/15/35 | | | | 8,794,000 | | | | 10,354,801 | |
| Freddie Mac, Series 3067, Class SI (IO) | | | | | | | | | |
6.42% | | | 11/15/35 | 3 | | | 60,708,237 | | | | 10,878,789 | |
| Freddie Mac, Series 3210, Class PD | | | | | | | | | |
6.00% | | | 08/15/35 | | | | 360,000 | | | | 408,602 | |
| Freddie Mac, Series 3345, Class FP | | | | | | | | | |
0.43% | | | 11/15/36 | 3 | | | 42,544,983 | | | | 42,446,594 | |
| Freddie Mac, Series 3345, Class PF | | | | | | | | | |
0.41% | | | 05/15/36 | 3 | | | 41,189,702 | | | | 41,075,446 | |
| Freddie Mac, Series 3707, Class EI (IO) | | | | | | | | | |
5.00% | | | 12/15/38 | | | | 78,973,388 | | | | 13,763,727 | |
| Ginnie Mae I (TBA) | | | | | | | | | |
4.00% | | | 10/15/40 | | | | 106,950,000 | | | | 114,403,078 | |
| Ginnie Mae I Pool 782817 | | | | | | | | | |
4.50% | | | 11/15/39 | | | | 70,663,927 | | | | 77,183,776 | |
| Ginnie Mae II Pool 2631 | | | | | | | | | |
7.00% | | | 08/20/28 | | | | 7,479 | | | | 8,579 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
2.62% | | | 07/20/34 | 3 | | | 47,280 | | | | 48,685 | |
| Ginnie Mae II Pool 81267 | | | | | | | | | |
1.75% | | | 03/20/35 | 3 | | | 16,367 | | | | 16,890 | |
| Ginnie Mae II Pool 8631 | | | | | | | | | |
2.38% | | | 05/20/25 | 3 | | | 14,811 | | | | 15,378 | |
| Ginnie Mae II Pool 8644 | | | | | | | | | |
2.50% | | | 06/20/25 | 3 | | | 23,638 | | | | 24,567 | |
| Government National Mortgage Association, Series 2000-22, Class SG (IO) | | | | | | | | | |
10.57% | | | 05/16/30 | 3 | | | 953,034 | | | | 182,904 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | $ | 811,238 | | | $ | 28,745 | |
| Government National Mortgage Association, Series 2003-86, Class ZK | | | | | | | | | |
5.00% | | | 10/20/33 | | | | 22,562,887 | | | | 24,680,414 | |
| Government National Mortgage Association, Series 2005-78, Class ZA | | | | | | | | | |
5.00% | | | 10/16/35 | | | | 20,957,355 | | | | 24,033,880 | |
| Government National Mortgage Association, Series 2007-35, Class PY (IO) | | | | | | | | | |
6.52% | | | 06/16/37 | 3 | | | 79,120,831 | | | | 13,744,736 | |
| Government National Mortgage Association, Series 2009-106, Class SD (IO) | | | | | | | | | |
6.02% | | | 03/20/36 | 3 | | | 76,428,845 | | | | 11,730,827 | |
| Government National Mortgage Association, Series 2009-106, Class XI (IO) | | | | | | | | | |
6.57% | | | 05/20/37 | 3 | | | 218,697,409 | | | | 39,173,080 | |
| Government National Mortgage Association, Series 2010-4, Class SM (IO) | | | | | | | | | |
5.57% | | | 01/16/40 | 3 | | | 68,295,987 | | | | 8,054,112 | |
| Government National Mortgage Association, Series 2010-6, Class BS (IO) | | | | | | | | | |
6.27% | | | 09/16/39 | 3 | | | 39,539,499 | | | | 4,983,250 | |
| NCUA Guaranteed Notes, Series 2010-R1, Class 1A | | | | | | | | | |
0.67% | | | 10/07/20 | 3 | | | 52,784,721 | | | | 52,867,065 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | | | | | | | | | |
0.78% | | | 12/08/20 | 3 | | | 57,629,545 | | | | 57,980,509 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 2A | | | | | | | | | |
0.78% | | | 12/08/20 | 3 | | | 48,216,459 | | | | 48,513,955 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
0.75% | | | 03/09/21 | 3 | | | 7,971,224 | | | | 7,991,152 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,384,862,210 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $9,030,503,764) | | | | | | | | 9,249,719,180 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.40%* | |
California — 0.76% | |
| Bay Area Toll Authority, Build America Bonds | | | | | | | | | |
6.26% | | | 04/01/49 | | | | 400,000 | | | | 520,944 | |
| Los Angeles Department of Water & Power, Build America Bonds | | | | | | | | | |
6.57% | | | 07/01/45 | | | | 40,650,000 | | | | 52,804,350 | |
| Los Angeles Department of Water & Power, Build America Bonds, Series SY | | | | | | | | | |
6.01% | | | 07/01/39 | | | | 350,000 | | | | 410,449 | |
| State of California, Build America Bonds | | | | | | | | | |
6.65% | | | 03/01/22 | | | | 5,215,000 | | | | 6,044,081 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 67
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
California (continued) | |
7.30% | | | 10/01/39 | | | $ | 20,460,000 | | | $ | 24,349,855 | |
7.55% | | | 04/01/39 | | | | 11,831,000 | | | | 14,507,882 | |
7.60% | | | 11/01/40 | | | | 6,235,000 | | | | 7,720,115 | |
| State of California, Build America Bonds, Various Purpose | | | | | | | | | |
7.50% | | | 04/01/34 | | | | 3,885,000 | | | | 4,681,114 | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
5.50% | | | 03/01/16 | | | | 8,450,000 | | | | 9,426,313 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 120,465,103 | |
| | | | | | | | | | | | |
Illinois — 0.51% | |
| State of Illinois, Build America Bonds | | | | | | | | | |
7.35% | | | 07/01/35 | | | | 8,910,000 | | | | 10,035,422 | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 1,425,000 | | | | 1,470,258 | |
5.10% | | | 06/01/33 | | | | 29,200,000 | | | | 26,423,372 | |
5.66% | | | 03/01/18 | | | | 4,140,000 | | | | 4,460,519 | |
5.88% | | | 03/01/19 | | | | 35,000,000 | | | | 37,391,550 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 79,781,121 | |
| | | | | | | | | | | | |
New Jersey — 0.12% | |
| New Jersey State Turnpike Authority A, Build America Bonds, Taxable | | | | | | | | | |
7.10% | | | 01/01/41 | | | | 10,550,000 | | | | 14,133,730 | |
| New Jersey State Turnpike Authority, Build America Bonds, Series A | | | | | | | | | |
7.41% | | | 01/01/40 | | | | 3,855,000 | | | | 5,314,464 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,448,194 | |
| | | | | | | | | | | | |
New York — 0.01% | |
| City of New York , Build America Bonds | | | | | | | | | |
5.82% | | | 10/01/31 | | | | 220,000 | | | | 237,660 | |
| City of New York , Build America Bonds, Series F1 | | | | | | | | | |
6.65% | | | 12/01/31 | | | | 250,000 | | | | 288,255 | |
| New York City Municipal Water Finance Authority, Build America Bonds | | | | | | | | | |
6.49% | | | 06/15/42 | | | | 400,000 | | | | 454,592 | |
| Port Authority of New York & New Jersey, Taxable, Consolidated Bonds | | | | | | | | | |
5.65% | | | 11/01/40 | | | | 530,000 | | | | 616,629 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,597,136 | |
| | | | | | | | | | | | |
Texas — 0.00% | |
| County of Harris TX, Prerefunded, Flood Control Bonds, Series B | | | | | | | | | |
5.25% | | | 10/01/20 | | | | 7,000 | | | | 7,660 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $188,699,832) | | | | | | | | 221,299,214 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. AGENCY SECURITIES — 1.44% | |
U.S. Agency Securities — 1.44% | |
| Freddie Mac | | | | | | | | | |
0.22% | | | 10/12/12 | 3 | | $ | 228,905,000 | | | $ | 228,887,145 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $228,905,000) | | | | | |
U.S. TREASURY SECURITIES — 10.39% | |
U.S. Treasury Bonds — 3.76% | |
| U.S. Treasury Bonds | | | | | | | | | |
2.12% | | | 02/15/41 | 10 | | | 119,820,000 | | | | 158,120,492 | |
3.75% | | | 08/15/41 | | | | 13,078,000 | | | | 15,227,696 | |
4.38% | | | 05/15/41 | | | | 327,042,000 | | | | 422,446,284 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 595,794,472 | |
| | | | | | | | | | | | |
| U.S. Treasury Notes — 6.63% | |
| U.S. Treasury Notes | | | | | | | | | |
1.50% | | | 07/31/16 | | | | 46,560,000 | | | | 47,804,025 | |
2.12% | | | 08/15/21 | | | | 650,205,000 | | | | 661,685,182 | |
8.00% | | | 11/15/21 | | | | 24,906,000 | | | | 38,920,915 | |
U.S. Treasury Notes - Treasury Inflation Indexed Notes | | | | | |
3.00% | | | 07/15/12 | | | | 235,110,000 | | | | 303,848,181 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,052,258,303 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities (Cost $1,550,954,667) | | | | 1,648,052,775 | |
| | | | | | | | | | | | |
Total Bonds – 102.69% (Cost $15,900,672,325) | | | | 16,291,176,989 | |
| | | | | | | | | | | | |
| SHORT-TERM INVESTMENTS — 5.31% | |
| Commercial Paper — 2.56% | | | | | |
| Credit Suisse New York | | | | | | | | | |
0.19%11 | | | 10/31/11 | | | | 40,000,000 | | | | 39,994,089 | |
| Deutsche Bank AG | | | | | | | | | |
0.25%11 | | | 10/06/11 | | | | 60,000,000 | | | | 59,998,750 | |
| National Australia Funding Corp. | | | | | | | | | |
0.20%11 | | | 12/16/11 | 4 | | | 75,000,000 | | | | 74,983,958 | |
| Rabobank USA Finance Corp. | | | | | | | | | |
0.16%11 | | | 10/04/11 | | | | 47,550,000 | | | | 47,549,789 | |
| Svenska Handelsbanken | | | | | | | | | |
0.31%11 | | | 12/22/11 | 4 | | | 33,300,000 | | | | 33,277,659 | |
| UBS Finance Corp. | | | | | | | | | |
0.13%11 | | | 10/31/11 | | | | 50,000,000 | | | | 49,994,944 | |
0.14%11 | | | 10/28/11 | | | | 100,000,000 | | | | 99,990,278 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 405,789,467 | |
| | | | | | | | | | | | |
| Money Market Fund — 2.08% | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%12 | | | | | | | 142,475,000 | | | | 142,475,000 | |
| Dreyfus Cash Advantage Fund | | | | | |
0.09%12 | | | | | | | 91,789,000 | | | | 91,789,000 | |
See accompanying notes to Schedule of Portfolio Investments.
68 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
Money Market Fund (continued) | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%12 | | | | | | $ | 4,550,000 | | | $ | 4,550,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.10%12,13 | | | | | | | 90,987,000 | | | | 90,987,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 329,801,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 0.64% | |
| Fannie Mae | | | | | | | | | |
0.02%11 | | | 10/19/11 | | | | 40,500,000 | | | | 40,499,640 | |
0.06%11 | | | 11/16/11 | | | | 12,440,000 | | | | 12,439,547 | |
0.08%11 | | | 12/19/11 | | | | 17,375,000 | | | | 17,374,635 | |
| Freddie Mac | | | | | | | | | |
0.08%11 | | | 03/19/12 | | | | 31,000,000 | | | | 30,997,117 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 101,310,939 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.03% | |
| U.S. Treasury Bills | | | | | | | | | |
0.01%11 | | | 11/10/11 | 14 | | | 5,880,000 | | | | 5,879,939 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $842,755,675) | | | | | | | | 842,781,345 | |
| | | | | | | | | | | | |
Total Investments – 108.00% (Cost $16,743,428,000)1 | | | | | | | | 17,133,958,334 | |
| | | | | | | | | | | | |
| Liabilities in Excess of Other Assets – (8.00)% | | | | | | | | (1,268,679,769 | ) |
| | | | | | | | | | | | |
| NET ASSETS – 100.00% | | | | | | | $ | 15,865,278,565 | |
| | | | | | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
| 96 | | U.S. Treasury 30 Year Long Bond, Expiration December 2011 | | $ | (339,208 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (339,208 | ) |
| | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2011 | | $ | (98,832 | ) |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2012 | | | (104,520 | ) |
| 13 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2012 | | | (111,183 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (314,535 | ) |
| | | | | | |
| | | | | | | | | | |
| | | Expiration
Date | | Notional
Amount
(000’s) | | (Depreciation) | | Value | | |
| SWAPS: INTEREST RATE | | |
| The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.93% quarterly. Counterparty: Morgan Stanley | | |
| | 05/15/41 | | $19,040 | | $(5,041,635) | | $(5,041,635) | | |
| The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.93% quarterly. Counterparty: Barclays Capital, Inc. | | |
| | 05/15/41 | | 46,945 | | (12,449,436) | | (12,449,436) | | |
| | | | | | | | | | |
| | | | $65,985 | | $(17,491,071) | | $(17,491,071) | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | Notional
Amount
(000’s)b | | Appreciation | | Value | | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | | |
| 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 | | $235,923 | | $5,510 | | $382,252 | | $618,175 | | |
| 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. | | |
| | 09/20/16 | | 246,199 | | 5,750 | | 398,902 | | 645,101 | | |
| 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG | | |
| | 09/20/16 | | 714,859 | | 9,800 | | 235,538 | | 950,397 | | |
| 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | |
| | 09/20/16 | | 1,779,852 | | 24,400 | | 586,443 | | 2,366,295 | | |
| 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 | | 14,803 | | 6,875 | | 476,043 | | 490,846 | | |
| 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 | | 21,489 | | 5,000 | | 335,490 | | 356,979 | | |
| | | | | | | | | | | | |
| | | | $3,013,125 | | $57,335 | | $2,414,668 | | $5,427,793 | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | Notional
Amount
(000’s)b | | Appreciation/
(Depreciation) | | Valuec | | |
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES | | |
| The Fund pays a fixed rate equal to 0.25% 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-AA 1, due 10/12/52. Counterparty: Citigroup, Inc. | | |
| | 10/12/52 | | $184,021 | | $1,430 | | $350,862 | | $534,883 | | |
| 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: Bank of America Corp. | | |
| | 10/12/52 | | 920,794 | | 1,630 | | (527,290) | | 393,504 | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 69
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | | 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: Bank of America Corp. |
| | 10/12/52 | | $ | 7,989,738 | | | $13,830 | | $(4,650,992) | | $3,338,746 |
| 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 | | | 11,731,216 | | | 20,450 | | (6,794,314) | | 4,936,902 |
| 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 | | | 6,773,652 | | | 28,590 | | 128,355 | | 6,902,007 |
| 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 | | | 1,272,315 | | | 15,430 | | 2,452,693 | | 3,725,008 |
| 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 | | | 1,981,601 | | | 21,425 | | 3,190,680 | | 5,172,281 |
| 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 | | | 2,679,389 | | | 4,870 | | (1,503,706) | | 1,175,683 |
| 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 | | | 766,780 | | | 1,325 | | (446,908) | | 319,872 |
| 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 | | | 462,598 | | | 805 | | (268,260) | | 194,338 |
| 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 | | | 3,265,973 | | | 5,745 | | (1,879,053) | | 1,386,920 |
| 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 | | | 22,280 | | | 95 | | 654 | | 22,934 |
| 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 | | | 69,050 | | | 960 | | 162,707 | | 231,757 |
| | | | | | | | | | | | |
| | | | $ | 38,119,407 | | | $116,585 | | $(9,784,572) | | $28,334,835 |
| | | | | | | | | | | | |
| | | | | | | | | | |
Expiration
Date | | Credit
Ratinga | | Premiums
(Received) | | Notional
Amount
(000’s)b | | (Depreciation) | | Valuec |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES |
| The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Japanese Government Bond, 2.00%, due 03/21/22. Counterparty: Goldman Sachs Group, Inc. |
03/20/16 | | A | | $(20,963) | | $10,000 | | $(132,171) | | $(153,134) |
| The Fund receives a fixed rate equal to 1.00% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the Japanese Government Bond, 2.00%, due 03/21/22. Counterparty: Morgan Stanley |
03/20/16 | | A | | (142,454) | | 50,000 | | (623,218) | | (765,672) |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc. |
09/20/16 | | A+ | | (1,392,537) | | 25,000 | | (432,605) | | (1,825,142) |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Morgan Stanley |
09/20/16 | | A | | (2,785,961) | | 50,000 | | (864,323) | | (3,650,284) |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Morgan Stanley |
09/20/16 | | A | | (3,339,826) | | 50,000 | | (310,458) | | (3,650,284) |
| | | | | | | | | | |
| | | | $(7,681,741) | | $185,000 | | $(2,362,775) | | $(10,044,516) |
| | | | | | | | | | |
| | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | Notional
Amount
(000’s)b | | Appreciation/
(Depreciation) | | Valuec |
| 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 16, due 06/20/16. Counterparty: CS First Boston |
| | 06/20/16 | | $(1,547,033) | | $25,000 | | $(723,081) | | $(2,270,114) |
| 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 16, due 06/20/16. Counterparty: JPMorgan Chase & Co. |
| | 06/20/16 | | (1,930,631) | | 25,000 | | (339,483) | | (2,270,114) |
| 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 01/25/38. Counterparty: Barclays Capital, Inc. |
| | 08/25/37 | | (9,160,392) | | 14,272 | | (148,153) | | (9,308,545) |
| 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 01/25/38. Counterparty: JPMorgan Chase & Co. |
| | 08/25/37 | | (15,267,321) | | 23,787 | | (246,921) | | (15,514,242) |
| 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 | | (13,105,575) | | 21,566 | | (869,327) | | (13,974,902) |
| 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 | | (6,638,930) | | 10,297 | | (33,771) | | (6,672,701) |
See accompanying notes to Schedule of Portfolio Investments.
70 / Semi-Annual Report September 2011
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
(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 | | $ | (6,441,809 | ) | | $9,715 | | $146,808 | | $(6,295,001) |
| 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 | | | (14,600,000 | ) | | 24,287 | | (1,137,503) | | (15,737,503) |
| 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 | | | (14,571,596 | ) | | 24,287 | | (1,165,907) | | (15,737,503) |
| 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: Morgan Stanley |
| | 01/25/38 | | | (6,239,701 | ) | | 9,715 | | (62,231) | | (6,301,932) |
| | | | | | | | | | | | |
| | | | $ | (89,502,988 | ) | | $187,926 | | $(4,579,569) | | $(94,082,557) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | | Notional
Amount
(000’s)b | | Appreciation | | Valuec |
| SWAPTION: RATE FLOOR INFLATION |
| The Fund received a fixed payment equal to $735,540 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. |
| | 11/23/20 | | $ | (735,540 | ) | | $63,960 | | $428,532 | | $(307,008) |
| | | | | | | | | | | | |
| | | | $ | (735,540 | ) | | $63,960 | | $428,532 | | $(307,008) |
| | | | | | | | | | | | |
| 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 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 $16,745,757,951 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
| |
| Gross unrealized appreciation | | $ | 712,419,976 | |
| Gross unrealized depreciation | | | (324,219,593 | ) |
| | | | |
Net unrealized appreciation | | $ | 388,200,383 | |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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, 2011, was $1,970,758,905, representing 12.42% 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 $41,786,753, which is 0.26% 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 |
| 10/05/10 | | Caesars Entertainment Operating Co., Inc., Term Loan B1, 3.25%, 01/28/15 | | $ | 1,798,221 | | | $ | 1,684,376 | | | 0.01% |
| 06/24/10 | | Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15 | | | 34,110,546 | | | | 31,741,446 | | | 0.20% |
| 06/27/07 | | Cengage Learning Acquisitions, Inc., Term Loan, 2.49%, 07/03/14 | | | 1,912,411 | | | | 1,523,656 | | | 0.01% |
| 04/15/11 | | Delta Air Lines, Inc., Term Loan B, 5.50%, 04/20/17 | | | 3,442,648 | | | | 3,211,950 | | | 0.02% |
| 01/05/09 | | Dex Media West LLC, Term Loan, 7.00%, 10/24/14 | | | 1,194,629 | | | | 1,109,240 | | | 0.01% |
| 10/10/07 | | HCA, Inc., Term Loan B3, 3.62%, 05/01/18 | | | 20,545,360 | | | | 19,742,746 | | | 0.13% |
| 12/17/10 | | Intelsat Jackson Holdings, Term Loan B, 5.26%, 04/02/18 | | | 15,888,171 | | | | 15,404,720 | | | 0.09% |
| 09/02/10 | | Kelson Holdings LLC 2nd Lien (PIK), 6.87%, 03/08/14 | | | 205,082 | | | | 200,524 | | | 0.00% |
| 10/31/07 | | Texas Competitive Electric Holdings Co. LLC, 4.75%, 10/10/17 | | | 3,114,093 | | | | 2,202,703 | | | 0.01% |
| | | | | | | | | | | | |
| | | | $ | 82,211,161 | | | $ | 76,821,361 | | | 0.48% |
| | | | | | | | | | | | |
| 9 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2011. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Represents the current yield as of September 30, 2011. |
| 13 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $97,927,000. |
| 14 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $3,399,966. |
| † | Fair valued security. The aggregate value of fair valued securities is $41,598,083, which is 0.26% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
|
See accompanying notes to Schedule of Portfolio Investments. Semi-Annual Report September 2011 / 71 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
(BKNT): Banker’s Note, Inc.
(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
(WI): When issued
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
72 / Semi-Annual Report September 2011
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 90.71% | | | | | | | | | | | | |
CORPORATES — 81.44%* | | | | | | | | | |
Automotive — 3.06% | | | | | | | | | | | | |
| Chrysler Group LLC/CG Co-Issuer, Inc. | | | | | |
8.25% | | | 06/15/21 | 2 | | $ | 4,100,000 | | | $ | 3,177,500 | |
| Cooper Standard Automotive, Inc. | | | | | |
8.50% | | | 05/01/18 | | | | 9,900,000 | | | | 10,197,000 | |
| Goodyear Tire & Rubber Co. | | | | | | | | | |
8.25% | | | 08/15/20 | | | | 20,110,000 | | | | 20,461,925 | |
8.75% | | | 08/15/20 | | | | 2,500,000 | | | | 2,587,500 | |
| Tenneco, Inc. | | | | | | | | | | | | |
6.88% | | | 12/15/20 | | | | 6,700,000 | | | | 6,532,500 | |
8.12% | | | 11/15/15 | | | | 2,125,000 | | | | 2,188,750 | |
| UCI International, Inc. (WI) | | | | | | | | | |
8.62% | | | 02/15/19 | | | | 4,777,000 | | | | 4,454,553 | |
| Visteon Corp. | | | | | | | | | | | | |
6.75% | | | 04/15/19 | 2 | | | 2,600,000 | | | | 2,437,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 52,037,228 | |
| | | | | | | | | | | | |
Banking — 2.87% | | | | | | | | | | | | |
| Ally Financial, Inc. | | | | | | | | | | | | |
2.53% | | | 12/01/14 | 3 | | | 2,553,000 | | | | 2,193,716 | |
8.00% | | | 03/15/20 | | | | 3,250,000 | | | | 3,016,390 | |
| Ally Financial, Inc. (WI) | | | | | | | | | | | | |
7.50% | | | 09/15/20 | | | | 3,450,000 | | | | 3,135,187 | |
| BAC Capital Trust XV | | | | | | | | | | | | |
1.13% | | | 06/01/56 | 3 | | | 7,000,000 | | | | 4,056,841 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
0.65% | | | 06/15/17 | 3 | | | 2,000,000 | | | | 1,473,302 | |
| BankAmerica Capital III | | | | | | | | | | | | |
0.82% | | | 01/15/27 | 3 | | | 2,700,000 | | | | 1,686,348 | |
| Chase Capital III, Series C | | | | | |
0.88% | | | 03/01/27 | 3 | | | 3,000,000 | | | | 2,379,513 | |
| Chase Capital VI | | | | | | | | | | | | |
0.88% | | | 08/01/28 | 3 | | | 1,000,000 | | | | 787,903 | |
Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | |
0.98% | | | 05/29/49 | 3,4 | | | 6,695,000 | | | | 4,377,994 | |
| First Chicago NBD Institutional Capital I | | | | | |
0.80% | | | 02/01/27 | 3 | | | 540,000 | | | | 428,768 | |
| Fleet Capital Trust V | | | | | | | | | | | | |
1.35% | | | 12/18/28 | 3 | | | 3,750,000 | | | | 2,406,330 | |
| Nationsbank Cap Trust III | | | | | | | | | | | | |
0.80% | | | 01/15/27 | 3 | | | 9,042,000 | | | | 5,605,416 | |
| Provident Funding Associates LP/PFG Finance Corp. | | | | | | | | | |
10.25% | | | 04/15/17 | 2 | | | 17,795,000 | | | | 17,350,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 48,897,833 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Communications — 12.25% | | | | | | | | | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
7.00% | | | 01/15/19 | | | $ | 11,310,000 | | | $ | 11,027,250 | |
7.00% | | | 01/15/19 | 2 | | | 5,000,000 | | | | 4,912,500 | |
7.88% | | | 04/30/18 | | | | 2,400,000 | | | | 2,454,000 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. (WI) | | | | | | | | | |
8.12% | | | 04/30/20 | | | | 4,002,000 | | | | 4,202,100 | |
| Cengage Learning Acquisitions, Inc. | | | | | |
10.50% | | | 01/15/15 | 2 | | | 12,357,000 | | | | 7,970,265 | |
| Cequel Communications Holdings I LLC and Cequel Capital Corp. | | | | | | | | | |
8.62% | | | 11/15/17 | 2 | | | 27,150,000 | | | | 26,878,500 | |
| Clearwire Communications LLC/Clearwire Finance, Inc. | | | | | | | | | |
8.25% | | | 12/01/40 | 2 | | | 4,650,000 | | | | 2,306,865 | |
12.00% | | | 12/01/15 | 2 | | | 4,500,000 | | | | 3,825,000 | |
| GCI, Inc. (WI) | | | | | | | | | | | | |
8.62% | | | 11/15/19 | | | | 8,660,000 | | | | 9,071,350 | |
Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
7.25% | | | 04/01/19 | 2,4 | | | 1,400,000 | | | | 1,309,000 | |
Intelsat Jackson Holdings SA (PIK) (Luxembourg) | | | | | |
8.50% | | | 11/01/19 | 4 | | | 6,935,000 | | | | 6,865,650 | |
Intelsat Luxembourg SA (PIK) (Luxembourg) | | | | | |
11.50% | | | 02/04/17 | 2,4 | | | 8,655,000 | | | | 7,335,113 | |
Intelsat Luxembourg SA (PIK) (WI) (Luxembourg) | | | | | |
11.25% | | | 02/04/17 | 4 | | | 4,000,000 | | | | 3,480,000 | |
11.50% | | | 02/04/17 | 4 | | | 14,148,018 | | | | 12,202,666 | |
| iPCS, Inc. (PIK) | | | | | | | | | | | | |
3.50% | | | 05/01/14 | | | | 9,000,000 | | | | 7,875,000 | |
| Level 3 Financing, Inc. | | | | | | | | | | | | |
4.20% | | | 02/15/15 | 3 | | | 17,800,000 | | | | 15,041,000 | |
8.75% | | | 02/15/17 | | | | 11,365,000 | | | | 10,455,800 | |
| McClatchy Co. | | | | | | | | | | | | |
11.50% | | | 02/15/17 | | | | 17,405,000 | | | | 15,185,863 | |
| ProQuest LLC/ProQuest Notes Co. | | | | | |
9.00% | | | 10/15/18 | 2 | | | 3,000,000 | | | | 2,782,500 | |
| Sprint Nextel Corp. | | | | | | | | | | | | |
6.00% | | | 12/01/16 | | | | 12,595,000 | | | | 10,894,675 | |
| Univision Communications, Inc. | | | | | |
6.88% | | | 05/15/19 | 2 | | | 4,900,000 | | | | 4,385,500 | |
7.88% | | | 11/01/20 | 2 | | | 2,000,000 | | | | 1,850,000 | |
| Visant Corp. | | | | | | | | | | | | |
10.00% | | | 10/01/17 | | | | 15,075,000 | | | | 14,019,750 | |
| Windstream Corp. | | | | | | | | | | | | |
7.75% | | | 10/15/20 | | | | 1,700,000 | | | | 1,666,000 | |
7.88% | | | 11/01/17 | | | | 14,575,000 | | | | 14,830,063 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 73
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Communications (continued) | | | | | |
| Windstream Corp. (WI) | | | | | | | | | |
8.12% | | | 09/01/18 | | | $ | 5,545,000 | | | $ | 5,794,525 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 208,620,935 | |
| | | | | | | | | | | | |
Consumer Discretionary — 2.77% | | | | | |
| American Achievement Corp. | | | | | | | | | |
10.88% | | | 04/15/16 | 2 | | | 8,000,000 | | | | 6,260,000 | |
| Cott Beverages, Inc. | | | | | | | | | |
8.12% | | | 09/01/18 | | | | 4,055,000 | | | | 4,156,375 | |
| Reynolds Group Issuer, Inc./Reynolds Group | | | | | | | | | |
| Issuer LLC | | | | | | | | | | | | |
7.12% | | | 04/15/19 | 2 | | | 5,000,000 | | | | 4,675,000 | |
7.88% | | | 08/15/19 | 2 | | | 6,150,000 | | | | 5,965,500 | |
9.00% | | | 04/15/19 | 2 | | | 15,750,000 | | | | 13,348,125 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (New Zealand) | | | | | | | | | |
6.88% | | | 02/15/21 | 2,4 | | | 4,000,000 | | | | 3,670,000 | |
8.25% | | | 02/15/21 | 2,4 | | | 5,920,000 | | | | 4,676,800 | |
| Spectrum Brands Holdings, Inc. | | | | | | | | | |
9.50% | | | 06/15/18 | | | | 4,200,000 | | | | 4,494,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 47,245,800 | |
| | | | | | | | | | | | |
Electric — 10.31% | | | | | | | | | | | | |
| AES Red Oak LLC, Series A (PIK) | | | | | | | | | |
8.54% | | | 11/30/19 | | | | 2,342,469 | | | | 2,412,743 | |
| Calpine Construction Finance Co. LP and CCFC Finance Corp. | | | | | | | | | |
8.00% | | | 06/01/16 | 2 | | | 7,190,000 | | | | 7,405,700 | |
| Coso Geothermal Power Holdings | | | | | | | | | |
7.00% | | | 07/15/26 | 2 | | | 6,414,055 | | | | 4,708,795 | |
| Dynegy Holdings, Inc. | | | | | | | | | | | | |
7.50% | | | 06/01/15 | | | | 8,350,000 | | | | 5,385,750 | |
| Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 20,346,000 | | | | 11,190,300 | |
| Edison Mission Energy | | | | | | | | | | | | |
7.00% | | | 05/15/17 | | | | 32,510,000 | | | | 19,506,000 | |
7.20% | | | 05/15/19 | | | | 5,890,000 | | | | 3,386,750 | |
| Energy Future Holdings Corp., Series Q | | | | | | | | | |
6.50% | | | 11/15/24 | | | | 9,600,000 | | | | 3,696,000 | |
| Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. | | | | | | | | | |
10.00% | | | 12/01/20 | | | | 5,781,000 | | | | 5,665,380 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.12% | | | 03/25/19 | 2 | | | 3,837,630 | | | | 3,748,320 | |
| GenOn Americas Generation LLC | | | | | | | | | |
8.50% | | | 10/01/21 | | | | 27,415,000 | | | | 23,713,975 | |
9.12% | | | 05/01/31 | | | | 6,400,000 | | | | 5,408,000 | |
| GenOn REMA LLC, Series B | | | | | | | | | |
9.24% | | | 07/02/17 | | | | 2,060,114 | | | | 2,111,617 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Electric (continued) | | | | | | | | | | | | |
| Indiantown Cogeneration LP, Series A-10 | | | | | | | | | |
9.77% | | | 12/15/20 | | | $ | 1,583,571 | | | $ | 1,662,750 | |
| Mirant Mid Atlantic Pass Through Trust B, Series B | | | | | | | | | |
9.12% | | | 06/30/17 | | | | 3,577,658 | | | | 3,649,211 | |
| Mirant Mid Atlantic Pass Through Trust C, Series C | | | | | | | | | |
10.06% | | | 12/30/28 | | | | 7,097,735 | | | | 7,452,622 | |
| NRG Energy, Inc. | | | | | | | | | |
| 7.38% | | | 01/15/17 | | | | 150,000 | | | | 155,437 | |
7.62% | | | 01/15/18 | 2 | | | 33,570,000 | | | | 31,387,950 | |
7.62% | | | 05/15/19 | 2 | | | 1,680,000 | | | | 1,587,600 | |
7.88% | | | 05/15/21 | 2 | | | 14,000,000 | | | | 12,810,000 | |
| PNM Resources, Inc. | | | | | | | | | |
9.25% | | | 05/15/15 | | | | 7,525,000 | | | | 8,352,750 | |
| Puget Energy, Inc. (WI) | | | | | | | | | |
6.50% | | | 12/15/20 | | | | 5,000,000 | | | | 5,081,250 | |
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. | | | | | | | | | |
11.50% | | | 10/01/20 | 2 | | | 4,575,000 | | | | 3,682,875 | |
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A | | | | | | | | | |
10.25% | | | 11/01/15 | | | | 3,500,000 | | | | 1,330,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 175,491,775 | |
| | | | | | | | | | | | |
Energy — 14.93% | | | | | | | | | | | | |
| Allis-Chalmers Energy, Inc. | | | | | | | | | |
8.50% | | | 03/01/17 | | | | 7,095,000 | | | | 6,988,575 | |
| Alpha Appalachia Holdings, Inc. | | | | | | | | | |
3.25% | | | 08/01/15 | | | | 17,100,000 | | | | 15,240,375 | |
| Alta Mesa Holdings/Alta Mesa Finance Services Corp. (WI) | | | | | | | | | |
9.62% | | | 10/15/18 | | | | 7,750,000 | | | | 7,168,750 | |
| Arch Coal, Inc. | | | | | | | | | | | | |
7.00% | | | 06/15/19 | 2 | | | 7,150,000 | | | | 6,828,250 | |
7.25% | | | 10/01/20 | | | | 1,250,000 | | | | 1,206,250 | |
| Arch Coal, Inc. (WI) | | | | | | | | | | | | |
8.75% | | | 08/01/16 | | | | 3,780,000 | | | | 3,950,100 | |
| Chaparral Energy, Inc. | | | | | | | | | |
8.88% | | | 02/01/17 | | | | 27,094,000 | | | | 25,739,300 | |
9.88% | | | 10/01/20 | | | | 3,750,000 | | | | 3,656,250 | |
| Chesapeake Energy Corp. | | | | | | | | | |
2.25% | | | 12/15/38 | | | | 24,910,000 | | | | 21,193,976 | |
2.50% | | | 05/15/37 | | | | 6,250,000 | | | | 5,984,375 | |
| Milagro Oil & Gas | | | | | | | | | | | | |
10.50% | | | 05/15/16 | 2 | | | 12,000,000 | | | | 9,660,000 | |
| OPTI Canada, Inc. (Canada) | | | | | | | | | |
7.88% | | | 12/15/14 | 4,5,6 | | | 12,822,000 | | | | 8,013,750 | |
8.25% | | | 12/15/14 | 4,5,6 | | | 8,950,000 | | | | 5,660,875 | |
See accompanying notes to Schedule of Portfolio Investments.
74 / Semi-Annual Report September 2011
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Energy (continued) | | | | | | | | | | | | |
| Parker Drilling Co. | | | | | | | | | | | | |
9.12% | | | 04/01/18 | | | $ | 9,757,000 | | | $ | 9,903,355 | |
| Penn Virginia Corp. | | | | | | | | | | | | |
10.38% | | | 06/15/16 | | | | 5,250,000 | | | | 5,525,625 | |
| Quicksilver Resources, Inc. | | | | | | | | | |
8.25% | | | 08/01/15 | | | | 18,425,000 | | | | 17,595,875 | |
9.12% | | | 08/15/19 | | | | 1,260,000 | | | | 1,203,300 | |
11.75% | | | 01/01/16 | | | | 7,700,000 | | | | 8,354,500 | |
| Sabine Pass LNG LP | | | | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 21,950,000 | | | | 21,346,375 | |
7.50% | | | 11/30/16 | | | | 28,080,000 | | | | 26,395,200 | |
| Southern Union Co. | | | | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 48,797,000 | | | | 41,477,450 | |
| Tesoro Corp. | | | | | | | | | | | | |
9.75% | | | 06/01/19 | | | | 1,000,000 | | | | 1,085,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 254,177,506 | |
| | | | | | | | | | | | |
Entertainment — 1.52% | | | | | | | | | |
| Live Nation Entertainment, Inc. | | | | | | | | | |
8.12% | | | 05/15/18 | 2 | | | 3,150,000 | | | | 3,024,000 | |
| Pinnacle Entertainment, Inc. (WI) | | | | | | | | | |
8.62% | | | 08/01/17 | | | | 2,600,000 | | | | 2,632,500 | |
| Regal Cinemas Corp. | | | | | | | | | | | | |
8.62% | | | 07/15/19 | | | | 12,650,000 | | | | 12,887,188 | |
| Regal Entertainment Group | | | | | | | | | |
9.12% | | | 08/15/18 | | | | 7,425,000 | | | | 7,387,875 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,931,563 | |
| | | | | | | | | | | | |
Finance — 5.96% | | | | | | | | | | | | |
| Alta Wind Holdings LLC | | | | | | | | | |
7.00% | | | 06/30/35 | 2 | | | 2,407,459 | | | | 2,661,533 | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 2 | | | 7,000,000 | | | | 6,230,000 | |
| BankBoston Capital Trust III | | | | | | | | | |
1.10% | | | 06/15/27 | 3 | | | 4,490,000 | | | | 2,852,492 | |
| BankBoston Capital Trust IV | | | | | | | | | |
0.94% | | | 06/08/28 | 3 | | | 4,900,000 | | | | 2,949,511 | |
| Barnett Capital III | | | | | | | | | | | | |
0.88% | | | 02/01/27 | 3 | | | 6,265,000 | | | | 3,932,008 | |
| Bumble Bee Acquisition Corp. | | | | | | | | | |
9.00% | | | 12/15/17 | 2 | | | 5,000,000 | | | | 4,825,000 | |
| Capital One Capital V | | | | | | | | | | | | |
10.25% | | | 08/15/39 | | | | 3,875,000 | | | | 3,957,344 | |
| Chase Capital II, Series B | | | | | | | | | |
0.75% | | | 02/01/27 | 3 | | | 11,790,000 | | | | 9,316,831 | |
| CIT Group, Inc. | | | | | | | | | | | | |
6.62% | | | 04/01/18 | 2 | | | 9,650,000 | | | | 9,354,469 | |
7.00% | | | 05/01/15 | 2 | | | 3,500,000 | | | | 3,478,125 | |
7.00% | | | 05/02/16 | 2 | | | 11,190,000 | | | | 10,714,425 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | | | | |
| Citigroup, Inc. | | | | | | | | | | | | |
0.86% | | | 08/25/36 | 3 | | $ | 9,460,000 | | | $ | 6,220,887 | |
| Community Choice Financial, Inc. | | | | | | | | | |
10.75% | | | 05/01/19 | 2 | | | 6,530,000 | | | | 6,497,350 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.77% | | | 08/15/36 | 3 | | | 10,480,000 | | | | 8,223,425 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.32% | | | 09/30/34 | 3 | | | 5,917,000 | | | | 4,613,124 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.21% | | | 02/02/37 | 3 | | | 4,750,000 | | | | 3,423,365 | |
| MBNA Capital B, Series B | | | | | | | | | |
1.05% | | | 02/01/27 | 3 | | | 9,550,000 | | | | 6,204,115 | |
| ZFS Finance USA Trust II | | | | | | | | | |
6.45% | | | 12/15/65 | 2,3 | | | 6,850,000 | | | | 6,096,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 101,550,504 | |
| | | | | | | | | | | | |
Food — 0.57% | | | | | | | | | | | | |
| JBS USA LLC/JBS USA Finance, Inc. | | | | | | | | | |
7.25% | | | 06/01/21 | 2 | | | 8,475,000 | | | | 7,034,250 | |
11.62% | | | 05/01/14 | | | | 2,500,000 | | | | 2,700,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,734,250 | |
| | | | | | | | | | | | |
Gaming — 2.45% | | | | | | | | | | | | |
| Boyd Gaming Corp. | | | | | | | | | | | | |
7.12% | | | 02/01/16 | | | | 9,250,000 | | | | 6,845,000 | |
| CityCenter Holdings LLC/CityCenter Finance Corp. | | | | | | | | | |
7.62% | | | 01/15/16 | 2 | | | 10,150,000 | | | | 9,490,250 | |
| Marina District Finance Co., Inc. | | | | | | | | | |
9.50% | | | 10/15/15 | | | | 26,600,000 | | | | 23,940,000 | |
| MGM Resorts International | | | | | | | | | | | | |
9.00% | | | 03/15/20 | | | | 1,350,000 | | | | 1,390,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 41,665,750 | |
| | | | | | | | | | | | |
Health Care — 7.13% | | | | | | | | | | | | |
| Accellent, Inc. | | | | | | | | | | | | |
8.38% | | | 02/01/17 | | | | 20,228,000 | | | | 19,368,310 | |
| Alere, Inc. | | | | | | | | | | | | |
7.88% | | | 02/01/16 | | | | 1,000,000 | | | | 950,000 | |
9.00% | | | 05/15/16 | | | | 4,779,000 | | | | 4,587,840 | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 5,961,000 | | | | 5,841,780 | |
| ConvaTec Healthcare E SA (Luxembourg) | | | | | | | | | |
10.50% | | | 12/15/18 | 2,4 | | | 7,000,000 | | | | 6,230,000 | |
| HCA, Inc. | | | | | | | | | | | | |
6.50% | | | 02/15/20 | | | | 20,000 | | | | 19,550 | |
7.25% | | | 09/15/20 | | | | 4,520,000 | | | | 4,587,800 | |
7.50% | | | 12/15/23 | | | | 3,965,000 | | | | 3,588,325 | |
8.00% | | | 10/01/18 | | | | 4,200,000 | | | | 4,126,500 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 75
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Health Care (continued) | | | | | | | | | |
| HCA, Inc. (WI) | | | | | | | | | | | | |
7.88% | | | 02/15/20 | | | $ | 17,000,000 | | | $ | 17,680,000 | |
8.50% | | | 04/15/19 | | | | 1,339,000 | | | | 1,412,645 | |
| Tenet Healthcare Corp. | | | | | | | | | |
6.88% | | | 11/15/31 | | | | 20,600,000 | | | | 15,553,000 | |
10.00% | | | 05/01/18 | | | | 7,450,000 | | | | 8,101,875 | |
| Universal Health Services, Inc. | | | | | | | | | |
7.00% | | | 10/01/18 | | | | 8,250,000 | | | | 7,961,250 | |
| Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc. | | | | | | | | | |
7.75% | | | 02/01/19 | | | | 11,145,000 | | | | 10,002,638 | |
| Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc. (WI) | | | | | | | | | |
8.00% | | | 02/01/18 | | | | 12,280,000 | | | | 11,297,600 | |
| Vanguard Health Systems, Inc. | | | | | | | | | |
0.00% | | | 02/01/16 | 7 | | | 160,000 | | | | 102,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 121,411,513 | |
| | | | | | | | | | | | |
Homebuilding — 0.64% | | | | | | | | | |
| K Hovnanian Enterprises, Inc. | | | | | | | | | |
10.62% | | | 10/15/16 | | | | 10,000,000 | | | | 7,550,000 | |
| Shea Homes LP/Shea Homes Funding Corp. | | | | | | | | | |
8.62% | | | 05/15/19 | 2 | | | 4,000,000 | | | | 3,290,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,840,000 | |
| | | | | | | | | | | | |
Industrials — 5.22% | | | | | | | | | | | | |
| American Reprographics Co. | | | | | | | | | |
10.50% | | | 12/15/16 | | | | 12,000,000 | | | | 10,860,000 | |
| Ardagh Packaging Finance Plc (Ireland) | | | | | | | | | |
7.38% | | | 10/15/17 | 2,4 | | | 3,971,000 | | | | 3,812,160 | |
9.12% | | | 10/15/20 | 2,4 | | | 11,835,000 | | | | 10,947,375 | |
| Berry Plastics Corp. | | | | | | | | | |
5.00% | | | 02/15/15 | 3 | | | 5,470,000 | | | | 5,087,100 | |
8.25% | | | 11/15/15 | | | | 3,250,000 | | | | 3,323,125 | |
| BWAY Holding Co. | | | | | | | | | | | | |
10.00% | | | 06/15/18 | | | | 2,255,000 | | | | 2,379,025 | |
| BWAY Parent Co., Inc. (PIK) | | | | | | | | | |
10.12% | | | 11/01/15 | | | | 10,822,825 | | | | 10,498,140 | |
| Casella Waste Systems, Inc. | | | | | | | | | |
7.75% | | | 02/15/19 | 2 | | | 3,300,000 | | | | 3,118,500 | |
| Maxim Crane Works LP | | | | | | | | | |
12.25% | | | 04/15/15 | 2 | | | 12,775,000 | | | | 11,050,375 | |
| Packaging Dynamics Corp. | | | | | | | | | |
8.75% | | | 02/01/16 | 2 | | | 9,780,000 | | | | 9,755,550 | |
| Polymer Group, Inc. | | | | | | | | | | | | |
7.75% | | | 02/01/19 | 2 | | | 4,375,000 | | | | 4,385,937 | |
| Reddy Ice Corp. (WI) | | | | | | | | | | | | |
11.25% | | | 03/15/15 | | | | 14,950,000 | | | | 13,716,625 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 88,933,912 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Information Technology — 0.23% | | | | | | | | | |
| First Data Corp. | | | | | | | | | | | | |
7.38% | | | 06/15/19 | 2 | | $ | 655,000 | | | $ | 597,687 | |
8.88% | | | 08/15/20 | 2 | | | 3,500,000 | | | | 3,307,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,905,187 | |
| | | | | | | | | | | | |
Insurance — 0.42% | | | | | | | | | | | | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
5.81% | | | 12/15/24 | 2,3 | | | 7,250,000 | | | | 7,122,675 | |
| | | | | | | | | | | | |
Materials — 1.38% | | | | | | | | | | | | |
| FMG Resources August 2006 Pty Ltd. (Australia) | | | | | | | | | |
7.00% | | | 11/01/15 | 2,4 | | | 525,000 | | | | 490,875 | |
| Hexion US Finance Corp./Hexion Nova Scotia Finance ULC | | | | | | | | | |
8.88% | | | 02/01/18 | | | | 3,000,000 | | | | 2,490,000 | |
| NewPage Corp. | | | | | | | | | | | | |
6.50% | | | 05/01/12 | 5,6 | | | 3,000,000 | | | | 345,000 | |
10.00% | | | 05/01/12 | 5,6 | | | 20,533,000 | | | | 2,463,960 | |
| Sappi Papier Holding GmbH (Austria) | | | | | | | | | |
6.62% | | | 04/15/21 | 2,4 | | | 14,310,000 | | | | 12,235,050 | |
| Verso Paper Holdings LLC/Verso Paper, Inc. | | | | | | | | | |
8.75% | | | 02/01/19 | | | | 3,750,000 | | | | 2,606,250 | |
| Verso Paper Holdings LLC/Verso Paper, Inc., Series B | | | | | | | | | |
4.00% | | | 08/01/14 | 3 | | | 3,737,000 | | | | 2,868,147 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,499,282 | |
| | | | | | | | | | | | |
Retail — 1.49% | | | | | | | | | | | | |
| Sears Holdings Corp. | | | | | | | | | | | | |
6.62% | | | 10/15/18 | | | | 30,650,000 | | | | 25,286,250 | |
| | | | | | | | | | | | |
Services — 1.83% | | | | | | | | | | | | |
| Mobile Mini, Inc. | | | | | | | | | | | | |
6.88% | | | 05/01/15 | | | | 7,900,000 | | | | 7,781,500 | |
| Mobile Mini, Inc. (WI) | | | | | | | | | | | | |
7.88% | | | 12/01/20 | | | | 1,250,000 | | | | 1,206,250 | |
| Neff Rental LLC/Neff Finance Corp. | | | | | | | | | |
9.62% | | | 05/15/16 | 2 | | | 11,500,000 | | | | 10,177,500 | |
| Service Corp. International/US | | | | | | | | | |
7.00% | | | 05/15/19 | | | | 570,000 | | | | 578,550 | |
| Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holding | | | | | | | | | |
10.25% | | | 12/01/17 | | | | 11,925,000 | | | | 11,448,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,191,800 | |
| | | | | | | | | | | | |
Transportation — 6.41% | | | | | | | | | |
| ACL I Corp. (PIK) | | | | | | | | | | | | |
10.62% | | | 02/15/16 | 2 | | | 12,619,088 | | | | 9,905,984 | |
| Air Canada (Canada) | | | | | | | | | | | | |
9.25% | | | 08/01/15 | 2,4 | | | 22,155,000 | | | | 21,158,025 | |
See accompanying notes to Schedule of Portfolio Investments.
76/ Semi-Annual Report September 2011
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
| American Airlines, Inc. | | | | | | | | | |
7.50% | | | 03/15/16 | 2 | | $ | 29,925,000 | | | $ | 25,885,125 | |
| Commercial Barge Line Co. (WI) | | | | | | | | | |
12.50% | | | 07/15/17 | | | | 2,975,000 | | | | 3,175,813 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 6,657,596 | | | | 6,224,852 | |
| Continental Airlines Pass-Through Trust, Series 2009, Class 1 | | | | | | | | | |
9.00% | | | 07/08/16 | | | | 1,550,508 | | | | 1,709,435 | |
| Continental Airlines, Inc. | | | | | | | | | |
6.75% | | | 09/15/15 | 2 | | | 3,250,000 | | | | 3,136,250 | |
| Delta Air Lines Pass-Through Trust, Series 2002, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 11,291,388 | | | | 11,122,017 | |
| Delta Air Lines Pass-Through Trust, Series 2009, Class B1 | | | | | | | | | |
9.75% | | | 12/17/16 | | | | 1,739,368 | | | | 1,791,549 | |
| Florida East Coast Railway Corp. (WI) | | | | | | | | | |
8.12% | | | 02/01/17 | | | | 3,750,000 | | | | 3,665,625 | |
| JetBlue Airways Pass-Through Trust, Series 2004, Class G1 | | | | | | | | | |
0.66% | | | 08/15/16 | 3 | | | 1,964,940 | | | | 1,838,954 | |
| RailAmerica, Inc. | | | | | | | | | | | | |
9.25% | | | 07/01/17 | | | | 7,829,000 | | | | 8,514,038 | |
| United Air Lines, Inc. | | | | | | | | | | | | |
9.88% | | | 08/01/13 | 2 | | | 8,529,000 | | | | 8,720,903 | |
| US Airways Pass-Through Trust, Series 2010-1, Class A | | | | | | | | | |
6.25% | | | 04/22/23 | | | | 2,500,000 | | | | 2,279,687 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 109,128,257 | |
| | | | | | | | | | | | |
Total Corporates (Cost $1,504,720,698) | | | | | | | | 1,386,672,020 | |
| | | | | | | | | | | | |
BANK LOANS — 8.67%* | | | | | | | | | |
Automotive — 1.11% | | | | | | | | | |
| Chrysler Group LLC, Term Loan 1 | | | | | | | | | |
6.00% | | | 05/24/17 | 3,8 | | | 21,446,250 | | | | 18,881,641 | |
| | | | | | | | | | | | |
Communications — 0.99% | | | | | | | | | |
| Cengage Learning Acquisitions, Inc., Term Loan | | | | | | | | | |
2.49% | | | 07/03/14 | 3,8 | | | 5,735,065 | | | | 4,551,181 | |
| Dex Media West LLC, Term Loan | | | | | | | | | |
7.00% | | | 10/24/14 | 3,8 | | | 4,002,274 | | | | 2,741,558 | |
| Intelsat Jackson Holdings, Term Loan B | | | | | | | | | |
5.26% | | | 04/02/18 | 3,8 | | | 1,995,000 | | | | 1,925,590 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | | | | | |
Communications (continued) | | | | | | | | | |
| RH Donnelley, Inc., Term Loan | | | | | | | | | |
9.00% | | | 10/24/14 | 3,8 | | $ | 461,224 | | | $ | 214,469 | |
| SuperMedia, Inc., Term Loan 1 (PIK) | | | | | | | | | |
10.82% | | | 12/31/15 | 3,8 | | | 2,358,871 | | | | 1,058,121 | |
| Univision Communications, Inc., 1st Lien Strip | | | | | | | | | |
4.49% | | | 03/31/17 | 3,8 | | | 7,422,494 | | | | 6,324,581 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,815,500 | |
| | | | | | | | | | | | |
Electric — 2.24% | | | | | | | | | | | | |
| Boston Generating LLC, Term Loan 1st Lien | | | | | | | | | |
0.01% | | | 12/20/13 | 3,8 | | | 254,344 | | | | 64,858 | |
| Entegra Holdings LLC | | | | | | | | | |
0.00% | | | 10/19/15 | 3 | | | 20,108,815 | | | | 12,517,738 | |
| Texas Competitive Electric Holdings Co. LLC | | | | | | | | | |
4.75% | | | 10/10/17 | 3,8 | | | 38,022,569 | | | | 25,605,843 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 38,188,439 | |
| | | | | | | | | | | | |
Energy — 1.62% | | | | | | | | | |
| MACH Gen LLC, Term Loan 2nd Lien (PIK) | | | | | | | | | |
7.83% | | | 02/15/15 | 3,8 | | | 41,147,155 | | | | 27,650,888 | |
| | | | | | | | | | | | |
Finance — 0.10% | | | | | | | | | | | | |
| Kelson Holdings LLC 2nd Lien (PIK) | | | | | | | | | |
6.87% | | | 03/08/14 | 3,8 | | | 1,751,738 | | | | 1,694,807 | |
| | | | | | | | | | | | |
Gaming — 2.05% | | | | | | | | | | | | |
| Caesars Entertainment Operating Co., Inc., Term Loan B1 | | | | | | | | | |
3.25% | | | 01/28/15 | 3,8 | | | 3,000,000 | | | | 2,526,564 | |
| Caesars Entertainment Operating Co., Inc., Term Loan B2 | | | | | | | | | |
3.25% | | | 01/28/15 | 3,8 | | | 33,500,000 | | | | 28,167,906 | |
| Caesars Entertainment Operating Co., Inc., Term Loan B3 | | | | | | | | | |
3.25% | | | 01/28/15 | 3 | | | 4,920,262 | | | | 4,142,246 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 34,836,716 | |
| | | | | | | | | | | | |
Health Care — 0.02% | | | | | | | | | |
| HCA, Inc., Term Loan B3 | | | | | | | | | |
3.62% | | | 05/01/18 | 3,8 | | | 461,267 | | | | 434,673 | |
| | | | | | | | | | | | |
Information Technology — 0.24% | | | | | | | | | |
| First Data Corp., Term Loan | | | | | | | | | |
4.23% | | | 03/24/18 | 3,8 | | | 4,428,192 | | | | 3,657,412 | |
| First Data Corp., Term Loan B1 | | | | | | | | | |
2.98% | | | 09/24/14 | 3,8 | | | 471,249 | | | | 414,051 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,071,463 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 77
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | | | | | |
Transportation — 0.30% | | | | | | | | | |
Delta Air Lines, Inc., Term Loan B | | | | | | | | | |
| 5.50% | | | 04/20/17 | 3,8 | | $ | 5,486,250 | | | $ | 5,047,350 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $168,011,475) | | | | | | | | 147,621,477 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 0.53%** | | | | | |
Non-Agency Mortgage-Backed — 0.53% | | | | | |
| BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina) | | | | | | | | | |
8.00% | | | 01/31/20 | 2,4,9 | | | 2,890 | | | | 29 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC4, Class A2B | | | | | | | | | |
0.38% | | | 05/25/37 | 3 | | | 4,900,000 | | | | 2,936,231 | |
| Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1 | | | | | | | | | |
1.14% | | | 10/25/47 | 3 | | | 574,091 | | | | 409,113 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A23 | | | | | | | | | |
0.38% | | | 07/25/36 | 3 | | | 3,871,998 | | | | 2,279,793 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B | | | | | | | | | |
0.34% | | | 10/25/36 | 3 | | | 3,800,000 | | | | 3,102,940 | |
| Home Equity Asset Trust, Series 2007-1, Class 2A1 | | | | | | | | | |
0.30% | | | 05/25/37 | 3 | | | 82,873 | | | | 80,042 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | | | | | |
0.46% | | | 02/25/37 | 3 | | | 386,282 | | | | 128,882 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,937,030 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 0.00% | | | | | |
| Fannie Mae, Series 1993-225, Class SG | | | | | | | | | |
26.46% | | | 12/25/13 | 3 | | | 24,929 | | | | 29,636 | |
| Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | | 13,848 | | | | 491 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 30,127 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $6,269,559) | | | | | | | | 8,967,157 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.07%* | | | | | | | | | |
New York — 0.07% | | | | | | | | | |
| New York City Industrial Development Agency | | | | | | | | | |
11.00% | | | 03/01/29 | 2 | | | 1,067,000 | | | | 1,303,511 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $1,312,831) | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | Value | |
Total Bonds – 90.71% (Cost $1,680,314,563) | | | | | | | $ | 1,544,564,165 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
PREFERRED STOCK — 0.75% | | | | | |
Finance — 0.75% | | | | | | | | | |
Citigroup Capital XIII | | | | | | | | | |
0.05% | | | | | | $ | 481,100 | | | | 12,705,851 | |
| | | | | | | | | | | | |
Total Preferred Stock (Cost $13,145,577) | | | | | | | | | |
SHORT-TERM INVESTMENTS — 4.99% | | | | | |
Commercial Paper — 1.69% | | | | | |
Credit Suisse New York | | | | | | | | | |
0.27%10 | | | 11/02/11 | | | | 11,585,000 | | | | 11,582,396 | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | | |
0.10%10 | | | 10/03/11 | | | | 17,210,000 | | | | 17,210,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 28,792,396 | |
| | | | | | | | | | | | |
Money Market Fund — 2.40% | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%11 | | | | | | | 11,724,000 | | | | 11,724,000 | |
| Dreyfus Cash Advantage Fund | | | | | | | | | |
0.09%11 | | | | | | | 3,463,000 | | | | 3,463,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%11 | | | | | | | 2,161,000 | | | | 2,161,000 | |
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | | | | | | | | | |
0.07%11 | | | | | | | 16,929,000 | | | | 16,929,000 | |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund | | | | | | | | | |
0.10%11,12 | | | | | | | 6,600,000 | | | | 6,600,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 40,877,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 0.47% | | | | | |
Fannie Mae | | | | | | | | | |
0.04%10 | | | 02/06/12 | | | | 8,000,000 | | | | 7,999,720 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.43% | | | | | |
U.S. Treasury Bills | | | | | | | | | |
0.01%10 | | | 11/10/11 | 13 | | | 7,390,000 | | | | 7,389,924 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $85,058,210) | | | | 85,059,040 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
78 / Semi-Annual Report September 2011
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | |
| | | | | | | Value | |
Total Investments – 96.45% (Cost $1,778,518,350)1 | | | | $ | 1,642,329,056 | |
| | | | | | | | |
| |
Cash and Other Assets, Less Liabilities – 3.55% | | | 60,383,116 | |
| | | | | | | | |
| Net Assets – 100.00% | | | | | | $ | 1,702,712,172 | |
| | | | | | | | |
| | | | | | | | |
| Contracts | | | | | Unrealized
(Depreciation) | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | |
| | 834 | | | U.S. Treasury 30 Year Long Bond, Expiration December 2011 | | $ | (5,305,487 | ) |
| | | | | | | | |
| | | | Net unrealized depreciation | | $ | (5,305,487 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid | | | Notional
Amount
(000’s) a | | | Appreciation | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
| 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 | | $ | 12,845 | | | $ | 300 | | | $ | 20,813 | | | $ | 33,658 | |
| 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. | |
09/20/16 | | | 12,631 | | | | 295 | | | | 20,466 | | | | 33,097 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 25,476 | | | $ | 595 | | | $ | 41,279 | | | $ | 66,755 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) a | | | (Depreciation) | | | 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 16, due 06/20/16. Counterparty: CS First Boston | |
06/20/16 | | $ | 2,934 | | | $ | 5,000 | | | $ | (456,957 | ) | | $ | (454,023 | ) |
| 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 16, due 06/20/16. Counterparty: CS First Boston | |
06/20/16 | | | (2,958 | ) | | | 5,000 | | | | (451,065 | ) | | | (454,023 | ) |
| 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 16, due 06/20/16. Counterparty: CS First Boston | |
06/20/16 | | | (302,828 | ) | | | 10,000 | | | | (605,217 | ) | | | (908,045 | ) |
| 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 16, due 06/20/16. Counterparty: CS First Boston | |
06/20/16 | | | (1,547,034 | ) | | | 25,000 | | | | (723,080 | ) | | | (2,270,114 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid/
(Received) | | | Notional
Amount
(000’s) a | | | (Depreciation) | | | 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 16, due 06/20/16. Counterparty: JPMorgan Chase & Co. | |
| | | 06/20/16 | | | $ | (2,958 | ) | | $ | 5,000 | | | $ | (451,065 | ) | | $ | (454,023 | ) |
| 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 16, due 06/20/16. Counterparty: JPMorgan Chase & Co. | |
| | | 06/20/16 | | | | 250,291 | | | | 20,000 | | | | (2,066,382 | ) | | | (1,816,091 | ) |
| 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 16, due 06/20/16. Counterparty: Morgan Stanley | |
| | | 06/20/16 | | | | (619,862 | ) | | | 10,000 | | | | (288,184 | ) | | | (908,046 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | (2,222,415 | ) | | $ | 80,000 | | | $ | (5,041,950 | ) | | $ | (7,264,365 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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 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 $1,778,995,351 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
| Gross unrealized appreciation | | $ | 19,927,757 | |
| Gross unrealized depreciation | | | (156,594,052 | ) |
| | | | |
Net unrealized depreciation | | $ | (136,666,295 | ) |
| | | | |
| 2 | 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, 2011, was $432,972,196, representing 25.43% of total net assets. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2011. |
| 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 |
| 12/08/09 | | Boston Generating LLC, Term Loan 1st Lien, 0.01%, 12/20/13 | | $ | 215,436 | | | $ | 64,858 | | | 0.00% |
| 10/05/10 | | Caesars Entertainment Operating Co., Inc., Term Loan B1, 3.25%, 01/28/15 | | | 2,697,332 | | | | 2,526,564 | | | 0.15% |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 79
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | | Value | | | % of Total
Net Assets |
| 10/09/09 | | Caesars
Entertainment
Operating Co.,
Inc., Term Loan
B2, 3.25%,
01/28/15 | | $ | 30,561,665 | | | $ | 28,167,906 | | | 1.66% |
| 07/29/11 | | Cengage
Learning
Acquisitions,
Inc., Term Loan,
2.49%, 07/03/14 | | | 4,977,700 | | | | 4,551,181 | | | 0.27% |
| 05/19/11 | | Chrysler Group
LLC, Term Loan
1, 6.00%,
05/24/17 | | | 21,022,222 | | | | 18,881,641 | | | 1.11% |
| 04/15/11 | | Delta Air Lines,
Inc., Term Loan
B, 5.50%,
04/20/17 | | | 5,409,875 | | | | 5,047,350 | | | 0.30% |
| 01/13/09 | | Dex Media West
LLC, Term Loan,
7.00%, 10/24/14 | | | 3,332,037 | | | | 2,741,558 | | | 0.16% |
| 01/28/09 | | First Data Corp.,
Term Loan,
4.23%, 03/24/18 | | | 3,727,669 | | | | 3,657,412 | | | 0.22% |
| 05/21/10 | | First Data Corp.,
Term Loan B1,
2.98%, 09/24/14 | | | 418,537 | | | | 414,051 | | | 0.02% |
| 06/22/09 | | HCA, Inc., Term
Loan B3, 3.62%,
05/01/18 | | | 447,010 | | | | 434,673 | | | 0.02% |
| 12/17/10 | | Intelsat Jackson
Holdings, Term
Loan B, 5.26%,
04/02/18 | | | 1,986,021 | | | | 1,925,590 | | | 0.12% |
| 01/11/11 | | Kelson Holdings
LLC 2nd Lien
(PIK), 6.87%,
03/08/14 | | | 1,672,604 | | | | 1,694,807 | | | 0.10% |
| 01/08/09 | | MACH Gen LLC,
Term Loan 2nd
Lien (PIK),
7.83%, 02/15/15 | | | 33,090,069 | | | | 27,650,888 | | | 1.62% |
| 01/11/10 | | RH Donnelley,
Inc., Term Loan,
9.00%, 10/24/14 | | | 450,504 | | | | 214,469 | | | 0.01% |
| 01/29/10 | | SuperMedia,
Inc., Term Loan
1 (PIK), 10.82%,
12/31/15 | | | 2,073,122 | | | | 1,058,121 | | | 0.06% |
| 06/11/09 | | Texas
Competitive
Electric Holdings
Co. LLC, 4.75%,
10/10/17 | | | 31,141,033 | | | | 25,605,843 | | | 1.50% |
| 09/27/10 | | Univision
Communications,
Inc., 1st Lien
Strip, 4.49%,
03/31/17 | | | 6,933,532 | | | | 6,324,581 | | | 0.37% |
| | | | | | | | | | | | |
| | | | $ | 150,156,368 | | | $ | 130,961,493 | | | 7.69% |
| | | | | | | | | | | | |
| 9 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $29, which is 0.00% of total net assets. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Represents the current yield as of September 30, 2011. |
| 12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $6,600,000. |
| 13 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,594,974. |
| * | 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
| (BKNT): | Banker’s Note, Inc. |
See accompanying notes to Schedule of Portfolio Investments.
80 / Semi-Annual Report September 2011
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS — 99.18% | |
ASSET-BACKED SECURITIES — 16.23%** | |
| Aerco Ltd., Series 2A, Class A3 (United Kingdom) | | | | | | | | | |
0.69% | | | 07/15/25 | 2,3,4 | | $ | 2,328,915 | | | $ | 1,746,689 | |
| Aircastle Aircraft Lease Backed Trust, Series 2007-1A, Class G1 | | | | | | | | | |
0.49% | | | 06/14/37 | 3,4 | | | 1,041,784 | | | | 921,979 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | | | | | |
0.53% | | | 11/14/33 | 2,3,4 | | | 1,174,789 | | | | 1,033,814 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.45% | | | 03/25/42 | 3,4 | | | 2,143,667 | | | | 1,962,469 | |
| Crystal River, Series 2005-1A, Class A (Cayman Islands) | | | | | | | | | |
0.69% | | | 03/02/46 | 2,3,4 | | | 470,845 | | | | 56,796 | |
| EFS Volunteer LLC, Series 2010-1, Class A2 | | | | | | | | | |
1.10% | | | 10/25/35 | 3,4 | | | 800,000 | | | | 761,723 | |
GE Business Loan Trust, Series
2003-2A, Class A | | | | | | | | | |
0.60% | | | 11/15/31 | 3,4 | | | 1,062,642 | | | | 987,671 | |
GE Business Loan Trust,
Series 2004-1, Class A | | | | | | | | | |
0.52% | | | 05/15/32 | 3,4 | | | 1,067,537 | | | | 996,767 | |
GE Business Loan Trust,
Series 2004-2A, Class A | | | | | | | | | |
0.45% | | | 12/15/32 | 3,4 | | | 666,311 | | | | 577,765 | |
GE Business Loan Trust,
Series 2005-1A, Class A3 | | | | | | | | | |
0.48% | | | 06/15/33 | 3,4 | | | 1,471,906 | | | | 1,244,296 | |
GE Business Loan Trust,
Series 2005-2A, Class A | | | | | | | | | |
0.47% | | | 11/15/33 | 3,4 | | | 1,333,435 | | | | 1,122,362 | |
GE Corporate Aircraft Financing LLC,
Series 2005-1A, Class B | | | | | | | | | |
0.88% | | | 08/26/19 | 3,4 | | | 432,810 | | | | 398,185 | |
GE Corporate Aircraft Financing LLC,
Series 2005-1A, Class C | | | | | | | | | |
1.54% | | | 08/26/19 | 3,4 | | | 953,000 | | | | 862,465 | |
GE Seaco Finance SRL,
Series 2004-1A, Class A (Barbados) | | | | | | | | | |
0.53% | | | 04/17/19 | 2,3,4 | | | 310,000 | | | | 301,654 | |
GE Seaco Finance SRL,
Series 2005-1A, Class A (Barbados) | | | | | | | | | |
0.48% | | | 11/17/20 | 2,3,4 | | | 531,250 | | | | 510,326 | |
| Genesis Funding Ltd., Series 2006-1A, Class G1 (Bermuda) | | | | | | | | | |
0.47% | | | 12/19/32 | 2,3,4 | | | 1,026,919 | | | | 906,416 | |
| Green Tree Recreational Equipment & Consumer Trust, Series 1996-C, Class CTFS | | | | | | | | | |
7.65% | | | 10/15/17 | | | | 369 | | | | 338 | |
Lease Investment Flight Trust,
Series 1, Class A1 | | | | | | | | | |
0.62% | | | 07/15/31 | 3 | | | 400,000 | | | | 262,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
| Lease Investment Flight Trust, Series 1, Class A2 | | | | | | | | | |
0.66% | | | 07/15/31 | 3 | | $ | 2,300,000 | | | $ | 1,496,426 | |
| North Carolina State Education Authority 2011-1 A3 | | | | | | | | | |
1.15% | | | 10/25/41 | 3 | | | 2,650,000 | | | | 2,431,614 | |
| Northstar Education Finance, Inc., Student Loan Asset Backed Notes, Series 2007-1 | | | | | | | | | |
0.31% | | | 01/29/46 | 3 | | | 2,250,000 | | | | 2,035,730 | |
| PAMCO CLO, Series 1998-1A, Class B2 (Cayman Islands) | | | | | | | | | |
1.60% | | | 12/31/11 | 2,3,4,5,† | | | 422,840 | | | | 8,457 | |
| Peach Finance Co. 2000 A | | | | | | | | | |
4.71% | | | 04/15/48 | 4 | | | 752,885 | | | | 784,882 | |
| TAL Advantage LLC 2006-1 NOTE | | | | | | | | | |
0.42% | | | 04/20/21 | 3,4 | | | 275,000 | | | | 250,509 | |
| TAL Advantage LLC, Series 2010-2A, Class A | | | | | | | | | |
4.30% | | | 10/20/25 | 4 | | | 467,792 | | | | 444,612 | |
| TAL Advantage LLC, Series 2011-1A, Class A | | | | | | | | | |
4.60% | | | 01/20/26 | 4 | | | 233,333 | | | | 233,713 | |
| TAL Advantage LLC, Series 2011-2A, Class A | | | | | | | | | |
4.31% | | | 05/20/26 | 4 | | | 483,333 | | | | 491,848 | |
| Textainer Marine Containers Ltd., Series 2005-1A, Class A (Bermuda) | | | | | | | | | |
0.48% | | | 05/15/20 | 2,3,4 | | | 412,500 | | | | 383,934 | |
| Textainer Marine Containers Ltd., Series 2011-1A, Class A (Bermuda) | | | | | | | | | |
4.70% | | | 06/15/26 | 2,4 | | | 1,218,750 | | | | 1,227,646 | |
| Trip Rail Master Funding LLC, Series 2011-1A, Class A1A | | | | | | | | | |
8.00% | | | 07/06/14 | 4,5,† | | | 475,000 | | | | 474,997 | |
| Triton Container Finance LLC, Series 2006-1A NOTE | | | | | | | | | |
0.40% | | | 11/26/21 | 3,4 | | | 658,750 | | | | 600,926 | |
| Triton Container Finance LLC, Series 2007-1A NOTE | | | | | | | | | |
0.37% | | | 02/26/19 | 3,4 | | | 459,115 | | | | 427,308 | |
| US Education Loan Trust IV LLC, Series 2006-1, Class A4 | | | | | | | | | |
0.31% | | | 03/01/41 | 4,† | | | 900,000 | | | | 746,995 | |
| US Education Loan Trust LLC, Series 2006-2A, Class A1 | | | | | | | | | |
0.51% | | | 03/01/31 | 3,4 | | | 2,800,000 | | | | 2,497,099 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
(Cost $30,408,474) | | | | 29,190,411 | |
| | | | | | | | | | | | |
| CORPORATES — 24.57%* | |
Banking — 4.45% | | | | | |
| BAC Capital Trust XV | | | | | | | | | |
1.13% | | | 06/01/563 | | | | 2,000,000 | | | | 1,159,097 | |
| Chase Capital VI | | | | | | | | | |
0.88% | | | 08/01/283 | | | | 1,000,000 | | | | 787,902 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 81
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | | | | | | | | | |
| Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | | | | | |
0.98% | | | 05/29/49 | 2,3 | | $ | 4,900,000 | | | $ | 3,204,208 | |
Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | | 01/19/49 | 3,4 | | | 1,000,000 | | | | 680,000 | |
| Fleet Capital Trust V | | | | | | | | | | | | |
1.35% | | | 12/18/28 | 3 | | | 950,000 | | | | 609,604 | |
| Nationsbank Cap Trust III | | | | | | | | | |
0.80% | | | 01/15/27 | 3 | | | 1,000,000 | | | | 619,931 | |
| NB Capital Trust IV | | | | | | | | | | | | |
8.25% | | | 04/15/27 | | | | 1,010,000 | | | | 944,350 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,005,092 | |
| | | | | | | | | | | | |
Communications — 2.38% | |
| CCH II LLC/CCH II Capital Corp. | | | | | | | | | |
13.50% | | | 11/30/16 | | | | 525,000 | | | | 601,782 | |
| CSC Holdings LLC | | | | | | | | | | | | |
8.50% | | | 06/15/15 | | | | 2,360,000 | | | | 2,495,700 | |
| Nextel Communications, Inc., Series C | | | | | | | | | | | | |
5.95% | | | 03/15/14 | | | | 1,250,000 | | | | 1,175,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,272,482 | |
| | | | | | | | | | | | |
Electric — 3.03% | |
| Calpine Construction Finance Co. LP and CCFC Finance Corp. | | | | | | | | | |
8.00% | | | 06/01/16 | 4 | | | 1,875,000 | | | | 1,931,250 | |
| Dynegy Roseton/Danskammer Pass Through Trust Series B, Series B | | | | | | | | | |
7.67% | | | 11/08/16 | | | | 1,175,000 | | | | 646,250 | |
| GenOn REMA LLC, Series B | | | | | | | | | |
9.24% | | | 07/02/17 | | | | 1,980,879 | | | | 2,030,401 | |
| NRG Energy, Inc. | | | | | | | | | | | | |
7.88% | | | 05/15/21 | 4 | | | 915,000 | | | | 837,225 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,445,126 | |
| | | | | | | | | | | | |
Energy — 3.51% | |
| Arch Coal, Inc. | | | | | | | | | | | | |
7.00% | | | 06/15/19 | 4 | | | 650,000 | | | | 620,750 | |
| Sabine Pass LNG LP | | | | | | | | | | | | |
7.25% | | | 11/30/13 | | | | 3,930,000 | | | | 3,821,925 | |
| Southern Union Co. | | | | | | | | | | | | |
7.20% | | | 11/01/66 | 3 | | | 2,200,000 | | | | 1,870,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,312,675 | |
| | | | | | | | | | | | |
Finance — 6.44% | |
| Astoria Depositor Corp. | | | | | | | | | |
8.14% | | | 05/01/21 | 4 | | | 1,200,000 | | | | 1,068,000 | |
| Barnett Capital III | | | | | | | | | |
0.88% | | | 02/01/27 | 3 | | | 1,000,000 | | | | 627,615 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| Chase Capital II, Series B | | | | | | | | | | | | |
0.75% | | | 02/01/27 | 3 | | $ | 3,144,000 | | | $ | 2,484,488 | |
| CIT Group, Inc. | | | | | | | | | | | | |
6.62% | | | 04/01/18 | 4 | | | 1,195,000 | | | | 1,158,403 | |
| Citigroup, Inc. | | | | | | | | | | | | |
0.86% | | | 08/25/36 | 3 | | | 3,350,000 | | | | 2,202,957 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.65% | | | 05/05/26 | 3 | | | 2,319,000 | | | | 1,863,518 | |
0.77% | | | 08/15/36 | 3 | | | 1,000,000 | | | | 784,678 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.29% | | | 05/15/47 | 3 | | | 200,000 | | | | 135,380 | |
| Prudential Holdings LLC | | | | | | | | | |
8.70% | | | 12/18/23 | 4 | | | 1,000,000 | | | | 1,264,453 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,589,492 | |
| | | | | | | | | | | | |
Health Care — 0.77% | |
| CHS/Community Health Systems, Inc. | | | | | | | | | |
8.88% | | | 07/15/15 | | | | 485,000 | | | | 475,300 | |
| HCA, Inc. (WI) | | | | | | | | | | | | |
7.88% | | | 02/15/20 | | | | 870,000 | | | | 904,800 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,380,100 | |
| | | | | | | | | | | | |
Insurance — 0.63% | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 4 | | | 1,000,000 | | | | 1,126,309 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.31% | |
| HCP, Inc. | | | | | | | | | | | | |
7.07% | | | 06/08/15 | | | | 500,000 | | | | 549,767 | |
| | | | | | | | | | | | |
Transportation — 3.05% | |
| AWAS Aviation Capital Ltd. (Ireland) | | | | | | | | | |
7.00% | | | 10/15/16 | 2,4 | | | 618,800 | | | | 609,518 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 2,578,578 | | | | 2,410,970 | |
| Delta Air Lines Pass-Through Trust, Series 2002, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 759,620 | | | | 748,226 | |
| JetBlue Airways Pass-Through Trust, Series 2004, Class G1 | | | | | | | | | |
0.66% | | | 08/15/16 | 3 | | | 898,258 | | | | 840,665 | |
UAL Pass-Through Trust, Series 2009-1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 818,209 | | | | 881,620 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,490,999 | |
| | | | | | | | | | | | |
Total Corporates (Cost $42,175,470) | | | | | | | | 44,172,042 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
82 / Semi-Annual Report September 2011
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS — 2.12%* | |
Electric — 0.02% | |
| Boston Generating LLC, Term Loan 1st Lien | | | | | | | | |
0.01% | | 12/20/133,6 | | $ | 107,166 | | | $ | 27,327 | |
| | | | | | | | | | |
Energy — 0.58% | |
| MACH Gen LLC, Term Loan 2nd Lien (PIK) | | | | | | | | |
7.83% | | 02/15/153,6 | | | 1,560,318 | | | | 1,048,534 | |
| | | | | | | | | | |
Gaming — 1.52% | |
| Caesars Entertainment Operating Co., Inc., Term Loan B2 | | | | | | | | |
3.25% | | 01/28/153,6 | | | 3,250,000 | | | | 2,732,707 | |
| | | | | | | | | | |
Total Bank Loans (Cost $4,315,708) | | | | | | | | | 3,808,568 | |
| | | | | | | | | | |
MORTGAGE-BACKED — 56.12%** | |
Commercial Mortgage-Backed — 0.48% | |
| Bayview Commercial Asset Trust, Series 2006-SP1, Class M1 | | | | | | | | |
0.68% | | 04/25/363,4 | | | 1,275,000 | | | | 870,980 | |
| | | | | | | | | | |
Non-Agency Mortgage-Backed — 42.78% | |
| Asset Backed Securities Corp. Home Equity, Series 2007-HE1, Class A4 | | | | | | | | |
0.38% | | 12/25/363 | | | 3,000,000 | | | | 1,309,968 | |
| Banc of America Funding Corp., Series 2006-D, Class 1A2 | | | | | | | | |
0.51% | | 05/20/363 | | | 5,900,000 | | | | 1,489,528 | |
| Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina) | | | | | | | | |
8.00% | | 06/30/202,4,5 | | | 99,269 | | | | 7,693 | |
| BCAP LLC Trust, Series 2011-RR3, Class 1A5 | | | | | | | | |
5.43% | | 05/27/373,4 | | | 2,285,634 | | | | 2,201,812 | |
| BCAP LLC Trust, Series 2010-RR11, Class 3A2 | | | | | | | | |
2.82% | | 06/27/363,4 | | | 2,103,740 | | | | 1,941,080 | |
BCAP LLC Trust, Series 2011-RR3,
Class 5A3 | | | | | | | | |
4.76% | | 11/27/373,4 | | | 2,724,104 | | | | 2,417,894 | |
| BCAP LLC Trust, Series 2011-RR4, Class 1A3 | | | | | | | | |
2.90% | | 03/26/363,4 | | | 1,380,321 | | | | 1,259,543 | |
BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina) | | | | | | | | |
8.00% | | 01/31/202,4,5 | | | 110 | | | | 1 | |
Centex Home Equity, Series 2006-A,
Class AV4 | | | | | | | | |
0.48% | | 06/25/363 | | | 4,300,000 | | | | 2,357,448 | |
| Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP) | | | | | | | | |
6.05% | | 03/25/37 | | | 1,750,000 | | | | 1,168,620 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | |
0.42% | | 03/25/373 | | | 2,500,000 | | | | 1,773,795 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class M1 | | | | | | | | | |
0.64% | | | 03/25/37 | 3 | | $ | 6,500,000 | | | $ | 1,329,361 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 1,046,874 | | | | 1,142,282 | |
| Conseco Finance Securitizations Corp., Series 2002-1, Class A | | | | | | | | | |
6.68% | | | 12/01/33 | 3 | | | 80,078 | | | | 85,198 | |
Conseco Finance, Series 2002-C,
Class BF1 | | | | | | | | | |
8.00% | | | 06/15/32 | 3 | | | 3,763,000 | | | | 3,396,064 | |
Conseco Finance, Series 2002-C,
Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 1,022,738 | | | | 782,885 | |
Conseco Financial Corp., Series 1996-10, Class M1 | | | | | | | | | |
7.24% | | | 11/15/28 | 3 | | | 2,700,000 | | | | 2,934,493 | |
Conseco Financial Corp.,
Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | | 1,162,000 | | | | 1,267,266 | |
Conseco Financial Corp.,
Series 1996-8, Class A6 | | | | | | | | | |
7.60% | | | 10/15/27 | 3 | | | 21,334 | | | | 22,241 | |
Conseco Financial Corp.,
Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 3 | | | 594,283 | | | | 659,782 | |
Conseco Financial Corp.,
Series 1998-3, Class A6 | | | | | | | | | |
6.76% | | | 03/01/30 | 3 | | | 1,038,411 | | | | 1,096,901 | |
Conseco Financial Corp.,
Series 1998-4, Class A6 | | | | | | | | | |
6.53% | | | 04/01/30 | 3 | | | 1,213,911 | | | | 1,274,833 | |
Conseco Financial Corp.,
Series 1998-4, Class A7 | | | | | | | | | |
6.87% | | | 04/01/30 | 3 | | | 601,091 | | | | 637,354 | |
Conseco Financial Corp.,
Series 1999-5, Class A5 | | | | | | | | | |
7.86% | | | 03/01/30 | 3 | | | 136,148 | | | | 120,938 | |
| Countrywide Asset-Backed Certificates, Series 2007-4, Class A2 | | | | | | | | | |
5.53% | | | 09/25/37 | 3 | | | 930,000 | | | | 796,305 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4, Class AV3 | | | | | | | | | |
0.38% | | | 05/25/36 | 3 | | | 6,460,055 | | | | 3,419,091 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB6, Class A24 | | | | | | | | | |
0.48% | | | 07/25/36 | 3 | | | 3,000,000 | | | | 1,009,793 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A1 (STEP) | | | | | | | | | |
5.42% | | | 03/25/37 | | | | 2,437,333 | | | | 941,009 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 83
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2007-AR3, Class 2A4 | | | | | | | | | |
0.58% | | | 06/25/37 | 3 | | $ | 4,800,000 | | | $ | 1,382,052 | |
Deutsche Financial Capital Securitization LLC, Series 1997-I, Class A3 | | | | | | | | | |
6.75% | | | 09/15/27 | | | | 36,672 | | | | 37,340 | |
| First Franklin Mortgage Loan Asset Backed Certificates, Series 2007-FF1, Class A2D | | | | | | | | | |
0.46% | | | 01/25/38 | 3 | | | 3,900,000 | | | | 1,687,826 | |
| Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 16,263 | | | | 16,040 | |
| Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2 | | | | | | | | | |
7.45% | | | 09/15/25 | | | | 69,467 | | | | 60,623 | |
| Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2 | | | | | | | | | |
7.10% | | | 01/15/21 | | | | 9,241 | | | | 8,997 | |
Green Tree, Series 2008-MH1, Class A3 | | | | | | | | | |
8.97% | | | 04/25/38 | 3,4 | | | 2,067,576 | | | | 2,209,036 | |
| HSBC Home Equity Loan Trust, Series 2007-1, Class M1 | | | | | | | | | |
0.61% | | | 03/20/36 | 3 | | | 1,210,000 | | | | 863,931 | |
HSBC Home Equity Loan Trust, Series 2007-2, Class M2 | | | | | | | | | |
0.60% | | | 07/20/36 | 3 | | | 735,000 | | | | 491,802 | |
| Indymac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C | | | | | | | | | |
0.42% | | | 04/25/37 | 3 | | | 2,641,326 | | | | 913,541 | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 741,688 | | | | 738,864 | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 312,226 | | | | 311,039 | |
| Indymac Manufactured Housing Contract, Series 1998-1, Class A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 249,108 | | | | 254,194 | |
| Indymac Manufactured Housing Contract, Series 1998-1, Class A5 | | | | | | | | | |
6.96% | | | 09/25/28 | 3 | | | 600,433 | | | | 626,326 | |
| Indymac Manufactured Housing Contract, Series 1998-2, Class A2 | | | | | | | | | |
6.17% | | | 12/25/11 | | | | 109,419 | | | | 109,491 | |
| Indymac Manufactured Housing Contract, Series 1998-2, Class A4 | | | | | | | | | |
6.64% | | | 12/25/27 | 3 | | | 1,083,291 | | | | 1,081,734 | |
| JPMorgan Mortgage Acquisition Corp., Series 2007-CH5, Class A3 | | | | | | | | | |
0.34% | | | 05/25/37 | 3 | | | 1,575,000 | | | | 1,095,946 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 08/15/28 | 3 | | | 1,166,908 | | | | 1,265,172 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1 | | | | | | | | | |
0.32% | | | 06/25/37 | 3,4 | | $ | 123,644 | | | $ | 41,683 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | | | | | |
0.40% | | | 09/25/36 | 3 | | | 2,002,960 | | | | 1,300,588 | |
| Lehman XS Trust, Series 2006-13, Class 1A3 | | | | | | | | | |
0.52% | | | 09/25/36 | 3 | | | 4,971,012 | | | | 1,270,015 | |
| Lehman XS Trust, Series 2006-19, Class A2 | | | | | | | | | |
0.40% | | | 12/25/36 | 3 | | | 2,081,166 | | | | 1,226,384 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | | | | | |
0.40% | | | 05/25/46 | 3 | | | 2,010,975 | | | | 1,118,847 | |
| Lehman XS Trust, Series 2007-12N, Class 1A3A | | | | | | | | | |
0.44% | | | 07/25/47 | 3 | | | 5,620,000 | | | | 1,802,680 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C | | | | | | | | | |
0.82% | | | 08/25/35 | 3 | | | 709,726 | | | | 658,137 | |
| Mid-State Trust, Series 11, Class B | | | | | | | | | |
8.22% | | | 07/15/38 | | | | 17,046 | | | | 17,089 | |
Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 1,276,109 | | | | 1,279,485 | |
Mid-State Trust, Series 2004-1, Class M1 | | | | | | | | | |
6.50% | | | 08/15/37 | | | | 882,566 | | | | 885,153 | |
| Mid-State Trust, Series 6, Class A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 47,754 | | | | 46,790 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 3 | | | 3,336,493 | | | | 1,665,205 | |
| Nationstar Home Equity Loan Trust, Series 2007-A, Class AV4 | | | | | | | | | |
0.46% | | | 03/25/37 | 3 | | | 5,000,000 | | | | 2,615,045 | |
| Oakwood Mortgage Investors, Inc. 2001-D A3 | | | | | | | | | |
5.90% | | | 09/15/22 | 3 | | | 1,676,105 | | | | 1,380,706 | |
| Oakwood Mortgage Investors, Inc., Series 1998-A, Class A4 | | | | | | | | | |
6.20% | | | 05/15/28 | | | | 1,351 | | | | 1,360 | |
| Oakwood Mortgage Investors, Inc., Series 1998-B, Class A4 | | | | | | | | | |
6.35% | | | 03/15/17 | | | | 102,044 | | | | 102,274 | |
| Oakwood Mortgage Investors, Inc., Series 1998-D, Class A | | | | | | | | | |
6.40% | | | 01/15/29 | | | | 714,505 | | | | 721,760 | |
| Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2 | | | | | | | | | |
5.89% | | | 04/15/29 | | | | 156,589 | | | | 157,971 | |
| Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4 | | | | | | | | | |
6.99% | | | 12/15/26 | | | | 1,233,071 | | | | 1,247,008 | |
See accompanying notes to Schedule of Portfolio Investments.
84 / Semi-Annual Report September 2011
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3 | | | | | | | | | |
6.03% | | | 05/15/24 | 3 | | $ | 1,122,711 | | | $ | 1,129,858 | |
| Oakwood Mortgage Investors, Inc. 2002-A AIO (IO) | | | | | | | | | |
6.00% | | | 03/15/32 | 5,† | | | 176,245 | | | | 2 | |
| Opteum Mortgage Acceptance Corp., Series 2005-5, Class 2A1B | | | | | | | | | |
5.64% | | | 12/25/35 | 3 | | | 529,023 | | | | 515,034 | |
| Origen Manufactured Housing, Series 2005-A, Class M1 | | | | | | | | | |
5.46% | | | 06/15/36 | 3 | | | 1,117,085 | | | | 1,136,413 | |
| Origen Manufactured Housing, Series 2006-A, Class A1 | | | | | | | | | |
0.38% | | | 11/15/18 | 3 | | | 1,301,434 | | | | 1,280,868 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2006-HE2, Class A2D | | | | | | | | | |
0.48% | | | 07/25/36 | 3 | | | 2,200,000 | | | | 763,904 | |
Securitized Asset Backed Receivables LLC Trust, Series 2007-BR4, Class A2C | | | | | | | | | |
0.52% | | | 05/25/37 | 3 | | | 2,600,000 | | | | 876,858 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | | | | | |
0.48% | | | 12/25/36 | 3,4 | | | 1,152,047 | | | | 578,640 | |
Terwin Mortgage Trust, Series 2004-7HE, Class A1 | | | | | | | | | |
0.78% | | | 07/25/34 | 3,4 | | | 122,539 | | | | 100,783 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.96% | | | 04/15/30 | 3 | | | 585 | | | | 244 | |
| UCFC Manufactured Housing Contract, Series 1997-4, Class A4 | | | | | | | | | |
7.00% | | | 04/15/29 | 3 | | | 605,435 | | | | 621,639 | |
| Vanderbilt Mortgage Finance, Series 2002-C, Class A5 | | | | | | | | | |
7.60% | | | 12/07/32 | | | | 1,100,000 | | | | 1,135,522 | |
| Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OA2, Class 2A | | | | | | | | | |
0.94% | | | 01/25/47 | 3 | | | 2,724,453 | | | | 1,220,070 | |
Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 20,072 | | | | 20,670 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 76,915,817 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 12.86% | |
| Fannie Mae (TBA) | | | | | | | | | | | | |
3.00% | | | 10/25/26 | | | | 2,700,000 | | | | 2,780,578 | |
| Fannie Mae, Series 1993-80, Class S | | | | | | | | | |
10.57% | | | 05/25/23 | 3 | | | 11,814 | | | | 13,487 | |
Fannie Mae, Series 2000-45, Class SA (IO) | | | | | | | | | |
7.72% | | | 12/18/30 | 3 | | | 1,978,946 | | | | 355,406 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2001-42, Class SB | | | | | | | | | |
8.50% | | | 09/25/31 | 3 | | $ | 1,779 | | | $ | 2,061 | |
Fannie Mae, Series 2003-124, Class IO (IO) | | | | | | | | | |
5.25% | | | 03/25/31 | | | | 20,459 | | | | 104 | |
Fannie Mae, Series 2003-124, Class TS | | | | | | | | | |
9.80% | | | 01/25/34 | 3 | | | 28,436 | | | | 34,751 | |
Fannie Mae, Series 2003-37, Class IG (IO) | | | | | | | | | |
5.50% | | | 05/25/32 | | | | 426,654 | | | | 26,017 | |
Fannie Mae, Series 2005-92, Class US (IO) | | | | | | | | | |
5.86% | | | 10/25/25 | 3 | | | 7,787,503 | | | | 962,587 | |
Fannie Mae, Series 2006-125, Class SM (IO) | | | | | | | | | |
6.96% | | | 01/25/37 | 3 | | | 8,982,494 | | | | 1,608,297 | |
Fannie Mae, Series 2008-50, Class SA (IO) | | | | | | | | | |
5.82% | | | 11/25/36 | 3 | | | 8,030,640 | | | | 1,201,781 | |
Fannie Mae, Series 2010-112, Class PI (IO) | | | | | | | | | |
6.00% | | | 10/25/40 | | | | 5,808,030 | | | | 1,101,419 | |
Fannie Mae, Series 2010-43, Class KS (IO) | | | | | | | | | |
6.18% | | | 05/25/40 | 3 | | | 6,382,050 | | | | 906,205 | |
| Freddie Mac Gold (TBA) | | | | | | | | | | | | |
3.50% | | | 10/15/26 | | | | 1,045,000 | | | | 1,088,433 | |
| Freddie Mac, Series 1602, Class SN | | | | | | | | | |
10.09% | | | 10/15/23 | 3 | | | 14,590 | | | | 17,921 | |
| Freddie Mac, Series 1673, Class SD | | | | | | | | | |
14.72% | | | 02/15/24 | 3 | | | 633,792 | | | | 816,888 | |
| Freddie Mac, Series 1760, Class ZD | | | | | | | | | |
1.67% | | | 02/15/24 | 3 | | | 1,362,180 | | | | 1,378,001 | |
Freddie Mac, Series 2527, Class TI (IO) | | | | | | | | | |
6.00% | | | 02/15/32 | | | | 79,039 | | | | 1,059 | |
Freddie Mac, Series 2561, Class BX (IO) | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 203,039 | | | | 3,001 | |
Freddie Mac, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 72,675 | | | | 7,540 | |
Freddie Mac, Series 2657, Class LX (IO) | | | | | | | | | |
6.00% | | | 05/15/18 | | | | 344,547 | | | | 20,367 | |
| Freddie Mac, Series 2764, Class SH | | | | | | | | | |
7.50% | | | 03/15/34 | 3 | | | 105,616 | | | | 107,972 | |
Freddie Mac, Series 3242, Class SA (IO) | | | | | | | | | |
6.12% | | | 11/15/36 | 3 | | | 27,360,658 | | | | 4,306,029 | |
Freddie Mac, Series 3247, Class SI (IO) | | | | | | | | | |
0.15% | | | 08/15/36 | 3 | | | 74,302,191 | | | | 276,828 | |
Freddie Mac, Series 3260, Class AS (IO) | | | | | | | | | |
6.15% | | | 01/15/37 | 3 | | | 30,123,389 | | | | 4,766,132 | |
Freddie Mac, Series 3289, Class SD (IO) | | | | | | | | | |
5.89% | | | 03/15/37 | 3 | | | 8,227,580 | | | | 883,014 | |
Government National Mortgage Association, Series 2001-31, Class SJ | | | | | | | | | |
27.19% | | | 02/20/31 | 3 | | | 63,218 | | | | 109,765 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 85
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Government National Mortgage Association, Series 2003-28, Class LI (IO) | | | | | | | | | |
5.50% | | | 02/20/32 | | | $ | 38,430 | | | $ | 1,362 | |
| Government National Mortgage Association, Series 2004-8, Class SE | | | | | | | | | |
13.83% | | | 11/26/23 | 3 | | | 283,198 | | | | 350,785 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 23,127,790 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $103,533,674) | | | | | | | | 100,914,587 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.14%* | |
Illinois — 0.14% | | | | | | | | | | | | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
4.07% | | | 01/01/14 | | | | 250,000 | | | | 257,940 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $248,898) | | | | | | | | | | | 257,940 | |
| | | | | | | | | | | | |
Total Bonds – 99.18% (Cost $180,682,224) | | | | | | | | | | | 178,343,548 | |
| | | | | | | | | | | | |
| | | | | | | | |
| Issues | | Shares | | | Value | |
PREFERRED STOCK — 2.04% | | | | | | | | |
Communications — 0.76% | | | | | | | | |
| Citizens Communications Co. Preferred Plus Trust | | | | | |
0.10% | | | 12,100 | | | | 291,610 | |
| Corts Trust for US West Communications | | | | | | | | |
0.09% | | | 7,118 | | | | 179,943 | |
| Qwest Capital Funding Preferred Plus Trust | | | | | | | | |
0.10% | | | 9,650 | | | | 237,583 | |
0.10% | | | 19,500 | | | | 487,110 | |
| Verizon Global Funding Corp. Preferred Plus Trust | | | | | |
0.10% | | | 6,100 | | | | 163,907 | |
| | | | | | | | |
| | | | | | | 1,360,153 | |
| | | | | | | | |
Electric — 0.69% | | | | | | | | |
| PPL Corp. | | | | | | | | |
0.12% | | | 22,500 | | | | 1,246,500 | |
| | | | | | | | |
Finance — 0.59% | | | | | | | | |
| Citigroup Capital XIII | | | | | | | | |
0.05% | | | 40,000 | | | | 1,056,400 | |
| | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
PREFERRED STOCK (continued) | |
Finance (continued) | | | | | | | | | | | | |
| Terwin Mortgage Trust 2005-P1 A | | | | | | | | | |
0.00%3,5,6,† | | | 11/25/35 | | | $ | 570 | | | $ | 1 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,056,401 | |
| | | | | | | | | | | | |
Total Preferred Stock (Cost $3,417,447) | | | | | | | | | | | 3,663,054 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 0.42% | |
Money Market Fund — 0.41% | | | | | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%7 | | | | | | | 463,000 | | | | 463,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%7 | | | | | | | 278,000 | | | | 278,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 741,000 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.01% | | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | | | | | |
0.03%8 | | | 12/08/11 | 9 | | | 15,000 | | | | 15,000 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $755,999) | | | | 756,000 | |
| | | | | | | | | | | | |
Total Investments – 101.64% (Cost $184,855,670)1 | | | | | | | | 182,762,602 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets – (1.64)% | | | | (2,948,241 | ) |
| | | | | | | | | | | | |
NET ASSETS – 100.00% | | | | | | | | | | $ | 179,814,361 | |
| | | | | | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| 7 | | Euro Dollar Ninety Day, Expiration December 2011 | | $ | (51,167 | ) |
| 7 | | Euro Dollar Ninety Day, Expiration March 2012 | | | (53,980 | ) |
| 7 | | Euro Dollar Ninety Day, Expiration June 2012 | | | (57,568 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (162,715 | ) |
| | | | | | |
| | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Notional
Amount
(000’s) | | | (Depreciation) | | | Value | |
SWAPS: TOTAL RETURN | | | | | | | | | |
| Based on the change in the return of the markit IOS Index referencing the interest component of the 6.50% coupon, 30-year, fixed rate Fannie Mae residential mortgage-backed securities pools. Counterparty: Deutsche Bank AG | |
| | | 01/12/39 | | | $ | 925 | | | $ | (14,999 | ) | | $ | (14,999 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 925 | | | $ | (14,999 | ) | | $ | (14,999 | ) |
| | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
86 / Semi-Annual Report September 2011
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | | Premiums
Paid | | | Notional
Amount
(000’s) b | | | Appreciation | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
| 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 | | | $ | 5,566 | | | $ | 130 | | | $ | 9,019 | | | $ | 14,585 | |
| 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. | |
| | | 09/20/16 | | | | 5,566 | | | | 130 | | | | 9,019 | | | | 14,585 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | $11,132 | | | | $260 | | | | $18,038 | | | | $29,170 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration
Date | | Credit
Ratinga | | | Premiums
(Received) | | | Notional
Amount
(000’s) b | | | (Depreciation) | | | Valuec | |
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES | |
| The Fund receives a fixed rate equal to 0.25% and the Fund will pay to the counterparty at par, including interest accrued in the event of default of the French Republic Bond, 4.25% due 04/25/19 Counterparty: Barclays Capital, Inc. | |
| 09/20/16 | | | A+ | | | $ | (95,558 | ) | | $ | 1,715 | | | $ | (29,647 | ) | | $ | (125,205 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | $ | (95,558 | ) | | $ | 1,715 | | | $ | (29,647 | ) | | $ | (125,205 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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 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 $185,301,979 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
| Gross unrealized appreciation | | $ | 10,199,989 | |
| Gross unrealized depreciation | | | (12,739,366 | ) |
| | | | |
| Net unrealized depreciation | | $ | (2,539,377 | ) |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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, 2011, was $44,672,241, representing 24.84% 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 $491,151, which is 0.27% 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 |
| 12/19/06 | | Boston Generating LLC, Term Loan 1st Lien, 0.01%, 12/20/13 | | $ | 107,167 | | | $ | 27,327 | | | 0.02% |
| 06/24/10 | | Caesars Entertainment Operating Co., Inc., Term Loan B2, 3.25%, 01/28/15 | | | 2,892,421 | | | | 2,732,707 | | | 1.52% |
| 04/01/11 | | MACH Gen LLC, Term Loan 2nd Lien (PIK), 7.83%, 02/15/15 | | | 1,316,120 | | | | 1,048,534 | | | 0.58% |
| 04/19/05 | | Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35 | | | 2,893 | | | | 1 | | | 0.00% |
| | | | | | | | | | | | |
| | | | $ | 4,318,601 | | | $ | 3,808,569 | | | 2.12% |
| | | | | | | | | | | | |
| 7 | Represents the current yield as of September 30, 2011. |
| 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 $15,000. |
| † | Fair valued security. The aggregate value of fair valued securities is $1,230,452, which is 0.68% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
(IO): Interest only
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(TBA): To be announced
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 87
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 89.35% | | | | | | | | | |
ASSET-BACKED SECURITIES — 2.16%** | | | | | |
| Aviation Capital Group Trust, Series 2003-2A, Class G2 | | | | | | | | | |
1.03% | | | 09/20/33 | 2,3,† | | $ | 53,938 | | | $ | 43,690 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | | | | | |
0.60% | | | 01/25/35 | 2,3 | | | 55,502 | | | | 43,516 | |
| Capital Auto Receivables Asset Trust, Series 2008-CPA, Class A1 | | | | | | | | | |
1.08% | | | 01/15/13 | 2,3 | | | 19,737 | | | | 19,761 | |
| Castle Trust, Series 2003-1AW, Class A1 | | | | | | | | | |
0.98% | | | 05/15/27 | 2,3 | | | 71,194 | | | | 65,142 | |
| Green Tree Recreational Equipment & Consumer Trust, Series 1996-D, Class CTFS | | | | | | | | | |
7.24% | | | 12/15/22 | | | | 10,657 | | | | 7,106 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities (Cost $148,776) | | | | | | | | 179,215 | |
| | | | | | | | | | | | |
CORPORATES — 27.86%* | | | | | | | | | |
Banking — 4.45% | | | | | | | | | |
| Abbey National Treasury Services Plc/Stamford CT (YCD) (United Kingdom) | | | | | | | | | |
1.55% | | | 04/25/13 | 2,4 | | | 50,000 | | | | 50,594 | |
| Credit Suisse AG/Guernsey, Series 1 (Switzerland) | | | | | | | | | |
0.98% | | | 05/29/49 | 2,4 | | | 230,000 | | | | 150,402 | |
| Lloyds TSB Bank Plc (United Kingdom) | | | | | | | | | |
2.60% | | | 01/24/14 | 2,4 | | | 70,000 | | | | 68,185 | |
| National Australia Bank Ltd., Series REGS (Australia) | | | | | | | | | |
0.97% | | | 04/11/14 | 2,4 | | | 100,000 | | | | 99,671 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 368,852 | |
| | | | | | | | | | | | |
Communications — 0.29% | | | | | | | | | |
| Nextel Communications, Inc., Series E | | | | | | | | | |
6.88% | | | 10/31/13 | | | | 25,000 | | | | 24,437 | |
| | | | | | | | | | | | |
Electric — 1.47% | | | | | | | | | | | | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
11.88% | | | 07/01/12 | | | | 80,000 | | | | 86,054 | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | | 35,583 | | | | 35,647 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 121,701 | |
| | | | | | | | | | | | |
Finance — 14.44% | | | | | | | | | |
| Chase Capital II, Series B | | | | | | | | | |
0.75% | | | 02/01/27 | 2 | | | 325,000 | | | | 256,825 | |
| Citigroup, Inc. | | | | | | | | | | | | |
1.99% | | | 05/15/18 | 2 | | | 305,000 | | | | 281,096 | |
| General Electric Capital Corp. (MTN) | | | | | | | | | |
0.65% | | | 05/05/26 | 2 | | | 325,000 | | | | 261,166 | |
| Macquarie Group Ltd. (Australia) | | | | | | | | | |
7.30% | | | 08/01/14 | 3,4 | | | 35,000 | | | | 37,921 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
| MBNA Capital A, Series A | | | | | | | | | |
8.28% | | | 12/01/26 | | | $ | 100,000 | | | $ | 93,375 | |
| MBNA Capital B, Series B | | | | | | | | | |
1.05% | | | 02/01/27 | 2 | | | 175,000 | | | | 113,688 | |
| Prudential Holdings LLC (AGM) | | | | | | | | | |
1.22% | | | 12/18/17 | 2,3 | | | 100,000 | | | | 95,295 | |
| Woodbourne Capital Trust I | | | | | | | | | |
2.71% | | | 04/08/49 | 2,3,5 | | | 80,000 | | | | 27,200 | |
| Woodbourne Capital Trust II | | | | | | | | | |
2.71% | | | 04/08/49 | 2,3,5 | | | 90,000 | | | | 30,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,197,166 | |
| | | | | | | | | | | | |
Health Care — 0.91% | | | | | | | | | |
| Universal Health Services, Inc. | | | | | | | | | |
6.75% | | | 11/15/11 | | | | 75,000 | | | | 75,510 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 4.68% | | | | | |
| Duke Realty LP | | | | | | | | | |
5.40% | | | 08/15/14 | | | | 50,000 | | | | 52,173 | |
| HCP, Inc. | | | | | | | | | | | | |
2.70% | | | 02/01/14 | | | | 50,000 | | | | 49,286 | |
6.45% | | | 06/25/12 | | | | 85,000 | | | | 87,481 | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
5.12% | | | 04/01/14 | | | | 40,000 | | | | 41,313 | |
| Liberty Property LP | | | | | | | | | |
6.38% | | | 08/15/12 | | | | 45,000 | | | | 46,531 | |
| Post Apartment Homes LP | | | | | | | | | |
5.45% | | | 06/01/12 | | | | 55,000 | | | | 56,027 | |
| WEA Finance LLC/WT Finance Aust Pty Ltd. | | | | | | | | | |
7.50% | | | 06/02/14 | 3 | | | 50,000 | | | | 55,274 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 388,085 | |
| | | | | | | | | | | | |
Transportation — 1.62% | | | | | | | | | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 131,042 | | | | 133,991 | |
| | | | | | | | | | | | |
Total Corporates (Cost $2,358,989) | | | | | | | | | | | 2,309,742 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 55.53%** | | | | | |
Commercial Mortgage-Backed — 8.49% | | | | | |
| Bear Stearns Commercial Mortgage Securities, Series 2002-PBW1, Class A2 | | | | | | | | | |
4.72% | | | 11/11/35 | 2 | | | 53,952 | | | | 54,876 | |
| Commercial Mortgage Asset Trust, Series 1999-C1, Class A4 | | | | | | | | | |
6.98% | | | 01/17/32 | 2 | | | 54,686 | | | | 56,533 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-CP3, Class A3 | | | | | | | | | |
5.60% | | | 07/15/35 | | | | 58,940 | | | | 59,893 | |
See accompanying notes to Schedule of Portfolio Investments.
88 / Semi-Annual Report September 2011
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | | | | | |
| GE Capital Commercial Mortgage Corp., Series 2002-3A, Class A2 | | | | | | | | | |
5.00% | | | 12/10/37 | | | $ | 56,684 | | | $ | 58,123 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C1, Class A2 | | | | | | | | | |
6.28% | | | 11/15/39 | | | | 1,272 | | | | 1,270 | |
| GMAC Commercial Mortgage Securities, Inc., Series 2002-C2, Class A3 | | | | | | | | | |
5.71% | | | 10/15/38 | | | | 48,810 | | | | 49,408 | |
| Greenwich Capital Commercial Funding Corp., Series 2002-C1, Class A4 | | | | | | | | | |
4.95% | | | 01/11/35 | | | | 54,896 | | | | 56,020 | |
| Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4 | | | | | | | | | |
4.11% | | | 07/05/35 | | | | 53,040 | | | | 54,597 | |
| Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A7 | | | | | | | | | |
5.32% | | | 06/10/36 | 2 | | | 35,000 | | | | 37,102 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C1, Class A3 | | | | | | | | | |
5.38% | | | 07/12/37 | | | | 53,677 | | | | 54,524 | |
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2002-C2, Class A2 | | | | | | | | | |
5.05% | | | 12/12/34 | | | | 51,154 | | | | 52,620 | |
| Nomura Asset Securities Corp., Series 1998-D6, Class A3 | | | | | | | | | |
7.52% | | | 03/15/30 | 2 | | | 55,000 | | | | 58,932 | |
| Salomon Brothers Mortgage Securities VII, Inc., Series 2002-KEY2, Class A3 | | | | | | | | | |
4.86% | | | 03/18/36 | | | | 50,000 | | | | 50,753 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2002-C2, Class A4 | | | | | | | | | |
4.98% | | | 11/15/34 | | | | 58,075 | | | | 59,361 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 704,012 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 26.84% | | | | | |
| Accredited Mortgage Loan Trust, Series 2005-4, Class A2C | | | | | | | | | |
0.44% | | | 12/25/35 | 2 | | | 13,970 | | | | 13,560 | |
| ACE Securities Corp., Series 2004-FM1, Class B1A | | | | | | | | | |
5.48% | | | 09/25/33 | 2 | | | 17,188 | | | | 3,888 | |
| American Home Mortgage Investment Trust, Series 2007-2, Class 11A1 | | | | | | | | | |
0.46% | | | 03/25/47 | 2 | | | 97,899 | | | | 44,993 | |
| Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2 | | | | | | | | | |
2.98% | | | 02/25/33 | 2 | | | 8,224 | | | | 6,714 | |
| Conseco Finance Home Loan Trust, Series 2000-E, Class M1 | | | | | | | | | |
8.13% | | | 08/15/31 | 2 | | | 22,268 | | | | 21,584 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Conseco Financial Corp., Series 1997-4, Class A5 | | | | | | | | | |
6.88% | | | 02/15/29 | | | $ | 54,346 | | | $ | 57,229 | |
| Countrywide Alternative Loan Trust, Series 2005-16, Class A5 | | | | | | | | | |
0.52% | | | 06/25/35 | 2 | | | 149,340 | | | | 51,742 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2 | | | | | | | | | |
1.34% | | | 08/25/35 | 2 | | | 81,569 | | | | 40,037 | |
| Countrywide Asset-Backed Certificates, Series 2004-1, Class 2A | | | | | | | | | |
0.72% | | | 04/25/34 | 2 | | | 5,852 | | | | 4,536 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A | | | | | | | | | |
7.50% | | | 06/25/20 | 3 | | | 8,411 | | | | 8,736 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP) | | | | | | | | | |
3.95% | | | 01/25/33 | | | | 73,214 | | | | 67,233 | |
| Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR1, Class A2A | | | | | | | | | |
0.64% | | | 09/19/44 | 2 | | | 50,411 | | | | 33,987 | |
| Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | | | | | |
0.60% | | | 07/19/44 | 2 | | | 14,174 | | | | 10,102 | |
| GE Mortgage Services LLC, Series 1998-HE1, Class A7 | | | | | | | | | |
6.46% | | | 06/25/28 | | | | 899 | | | | 884 | |
| Green Tree Home Improvement Loan Trust, Series 1995-C, Class B2 | | | | | | | | | |
7.60% | | | 07/15/20 | | | | 10,823 | | | | 10,675 | |
| Green Tree Home Improvement Loan Trust, Series 1995-F, Class B2 | | | | | | | | | |
7.10% | | | 01/15/21 | | | | 40,495 | | | | 39,421 | |
| Harborview Mortgage Loan Trust, Series 2004-8, Class 2A4A | | | | | | | | | |
0.63% | | | 11/19/34 | 2 | | | 76,467 | | | | 49,421 | |
| Harborview Mortgage Loan Trust, Series 2005-11, Class 2A1A | | | | | | | | | |
0.54% | | | 08/19/45 | 2 | | | 146,493 | | | | 101,526 | |
| HSBC Home Equity Loan Trust, Series 2006-1, Class A1 | | | | | | | | | |
0.39% | | | 01/20/36 | 2 | | | 51,238 | | | | 47,766 | |
| HSBC Home Equity Loan Trust, Series 2007-1, Class M1 | | | | | | | | | |
0.61% | | | 03/20/36 | 2 | | | 100,000 | | | | 71,399 | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | | | | | |
0.62% | | | 12/25/34 | 2 | | | 200,322 | | | | 112,553 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 89
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Indymac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A | | | | | | | | | |
1.10% | | | 08/25/34 | 2 | | $ | 24,647 | | | $ | 15,777 | |
| Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1B | | | | | | | | | |
1.02% | | | 10/25/36 | 2 | | | 102,987 | | | | 61,769 | |
| Indymac Index Mortgage Loan Trust, Series 2005-AR2, Class 2A2A | | | | | | | | | |
0.58% | | | 02/25/35 | 2 | | | 81,857 | | | | 48,416 | |
| Indymac Index Mortgage Loan Trust, Series 2006-AR2, Class 1A1A | | | | | | | | | |
0.46% | | | 04/25/46 | 2 | | | 108,050 | | | | 55,761 | |
| Indymac Manufactured Housing Contract, Series 1997-1, Class A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 164,042 | | | | 163,418 | |
| Lehman XS Trust, Series 2006-2N, Class 1A1 | | | | | | | | | |
0.50% | | | 02/25/46 | 2 | | | 67,828 | | | | 34,014 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | | | | | |
0.48% | | | 06/25/37 | 2 | | | 100,000 | | | | 42,984 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4 | | | | | | | | | |
0.48% | | | 07/25/37 | 2 | | | 30,000 | | | | 11,900 | |
| Nationstar Home Equity Loan Trust, Series 2007-B, Class 2AV4 | | | | | | | | | |
0.56% | | | 04/25/37 | 2 | | | 205,000 | | | | 74,852 | |
| Option One Mortgage Loan Trust, Series 2003-2, Class A2 | | | | | | | | | |
0.84% | | | 04/25/33 | 2 | | | 91,379 | | | | 74,514 | |
| Option One Mortgage Loan Trust, Series 2003-5, Class A2 | | | | | | | | | |
0.88% | | | 08/25/33 | 2 | | | 60,780 | | | | 47,533 | |
| Origen Manufactured Housing, Series 2006-A, Class A1 | | | | | | | | | |
0.38% | | | 11/15/18 | 2 | | | 26,483 | | | | 26,064 | |
| Park Place Securities, Inc., Series 2004-MHQ1, Class M1 | | | | | | | | | |
0.94% | | | 12/25/34 | 2 | | | 46,589 | | | | 44,521 | |
| Residential Asset Mortgage Products, Inc., Series 2003-RS1, Class AII | | | | | | | | | |
1.02% | | | 02/25/33 | 2 | | | 42,722 | | | | 19,867 | |
| Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A11 | | | | | | | | | |
7.12% | | | 03/25/16 | | | | 54,842 | | | | 56,270 | |
| Residential Asset Mortgage Products, Inc., Series 2003-SL1, Class A41 | | | | | | | | | |
8.00% | | | 04/25/31 | | | | 30,932 | | | | 32,808 | |
| Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 13,901 | | | | 14,065 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Residential Asset Securities Corp., Series 2003-KS3, Class A2 | | | | | | | | | |
0.84% | | | 05/25/33 | 2 | | $ | 29,057 | | | $ | 21,874 | |
| Residential Asset Securities Corp., Series 2005-KS12, Class A2 | | | | | | | | | |
0.48% | | | 01/25/36 | 2 | | | 32,165 | | | | 30,828 | |
| Resmae Mortgage Loan Trust, Series 2006-1, Class A1B | | | | | | | | | |
0.50% | | | 02/25/36 | 2,3 | | | 18,134 | | | | 179 | |
| SACO I, Inc., Series 2005-2, Class A | | | | | | | | | |
0.64% | | | 04/25/35 | 2,3 | | | 3,541 | | | | 1,346 | |
| Saxon Asset Securities Trust, Series 2004-1, Class M1 | | | | | | | | | |
1.03% | | | 03/25/35 | 2 | | | 202,517 | | | | 146,854 | |
| Structured Asset Mortgage Investments, Inc., Series 2006-AR5, Class 1A1 | | | | | | | | | |
0.44% | | | 05/25/46 | 2 | | | 122,478 | | | | 63,319 | |
| Structured Asset Securities Corp., Series 2003-15A, Class 2A1 | | | | | | | | | |
2.50% | | | 04/25/33 | 2 | | | 68,868 | | | | 60,139 | |
| Structured Asset Securities Corp., Series 2003-34A, Class 5A4 | | | | | | | | | |
2.52% | | | 11/25/33 | 2 | | | 54,914 | | | | 51,199 | |
| Structured Asset Securities Corp., Series 2006-BC6, Class A2 | | | | | | | | | |
0.32% | | | 01/25/37 | 2 | | | 41,982 | | | | 41,184 | |
| Terwin Mortgage Trust, Series 2004-13AL, Class 2PX | | | | | | | | | |
0.34% | | | 08/25/34 | 3,5 | | | 10,681,110 | | | | 70,905 | |
| WaMu Mortgage Pass Through Certificates, Series 2002-AR6, Class A | | | | | | | | | |
1.64% | | | 06/25/42 | 2 | | | 13,205 | | | | 10,124 | |
| Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2003-MS9, Class 1A | | | | | | | | | |
7.00% | | | 04/25/33 | | | | 62,900 | | | | 64,773 | |
| Wells Fargo Home Equity Trust, Series 2005-3, Class AII3 | | | | | | | | | |
0.58% | | | 11/25/35 | 2 | | | 41,702 | | | | 39,812 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,225,055 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 20.20% | | | | | |
| Fannie Mae Pool 646884 | | | | | | | | | |
1.92% | | | 05/01/32 | 2 | | | 76,671 | | | | 77,094 | |
| Fannie Mae Pool 802665 | | | | | | | | | |
2.24% | | | 12/01/34 | 2 | | | 18,291 | | | | 19,076 | |
| Fannie Mae Whole Loan, Series 2003-W6, Class F | | | | | | | | | |
0.58% | | | 09/25/42 | 2 | | | 120,707 | | | | 120,782 | |
| Fannie Mae, Series 1997-91, Class SL (IO) | | | | | | | | | |
7.50% | | | 11/25/23 | 2 | | | 217,466 | | | | 45,714 | |
See accompanying notes to Schedule of Portfolio Investments.
90 / Semi-Annual Report September 2011
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae, Series 2001-70, Class OF | | | | | | | | | |
1.18% | | | 10/25/31 | 2 | | $ | 83,777 | | | $ | 85,102 | |
| Fannie Mae, Series 2002-97, Class FR | | | | | | | | | |
0.78% | | | 01/25/33 | 2 | | | 88,375 | | | | 88,629 | |
| Fannie Mae, Series 2003-37, Class IG (IO) | | | | | | | | | |
5.50% | | | 05/25/32 | | | | 104,062 | | | | 6,346 | |
| Fannie Mae, Series 2003-62, Class IG (IO) | | | | | | | | | |
5.00% | | | 10/25/31 | | | | 1,000,000 | | | | 68,480 | |
| Fannie Mae, Series 2003-71, Class YF | | | | | | | | | |
0.64% | | | 09/25/31 | 2 | | | 117,143 | | | | 117,212 | |
| Fannie Mae, Series 2003-76, Class GF | | | | | | | | | |
0.64% | | | 09/25/31 | 2 | | | 161,063 | | | | 161,196 | |
| Fannie Mae, Series 2004-33, Class MW | | | | | | | | | |
4.50% | | | 01/25/30 | | | | 94,392 | | | | 98,474 | |
| Fannie Mae, Series 2004-78, Class FC | | | | | | | | | |
0.54% | | | 12/25/22 | 2 | | | 92,334 | | | | 92,384 | |
| Fannie Mae, Series 2006-56, Class FD | | | | | | | | | |
0.48% | | | 07/25/36 | 2 | | | 97,979 | | | | 97,914 | |
| Fannie Mae, Series 2007-36, Class F | | | | | | | | | |
0.46% | | | 04/25/37 | 2 | | | 55,688 | | | | 55,047 | |
| Fannie Mae, Series 2008-47, Class PF | | | | | | | | | |
0.74% | | | 06/25/38 | 2 | | | 81,940 | | | | 82,642 | |
| Fannie Mae, Series 2010-109, Class PF | | | | | | | | | |
0.64% | | | 10/25/40 | 2 | | | 70,352 | | | | 70,435 | |
| Fannie Mae, Series G-36, Class ZB | | | | | | | | | |
7.00% | | | 11/25/21 | | | | 2,622 | | | | 3,094 | |
| FHLMC-GNMA, Series 2, Class L | | | | | | | | | |
8.00% | | | 11/25/22 | | | | 16,474 | | | | 18,285 | |
| Freddie Mac Non Gold Pool 781908 | | | | | | | | | |
2.43% | | | 09/01/34 | 2 | | | 47,790 | | | | 50,242 | |
| Freddie Mac, Series 2777, Class FE | | | | | | | | | |
0.58% | | | 10/15/32 | 2 | | | 82,723 | | | | 82,753 | |
| Freddie Mac, Series 3501, Class JA | | | | | | | | | |
4.00% | | | 04/15/37 | | | | 109,682 | | | | 115,200 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
0.75% | | | 03/09/21 | 2 | | | 118,701 | | | | 118,998 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,675,099 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $4,899,854) | | | | | | | | 4,604,166 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.45%* | | | | | |
California — 0.65% | | | | | | | | | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
4.85% | | | 10/01/14 | | | | 50,000 | | | | 53,963 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | | | | | | | | | |
Illinois — 0.80% | | | | | | | | | |
| State of Illinois, Taxable Bonds | | | | | | | | | |
2.77% | | | 01/01/12 | | | $ | 40,000 | | | $ | 40,186 | |
4.07% | | | 01/01/14 | | | | 25,000 | | | | 25,794 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 65,980 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $116,260) | | | | | | | | 119,943 | |
| | | | | | | | | | | | |
U.S. AGENCY SECURITIES — 2.35% | | | | | |
| Fannie Mae | | | | | | | | | | | | |
0.60% | | | 03/06/14 | | | | 90,000 | | | | 89,950 | |
| Federal Home Loan Bank | | | | | | | | | |
0.50% | | | 11/16/12 | | | | 105,000 | | | | 105,040 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $194,965) | | | | | | | | 194,990 | |
| | | | | | | | | | | | |
Total Bonds – 89.35% (Cost $7,718,844) | | | | | | | | 7,408,056 | |
| | | | | | | | | | | | |
SHORT-TERM INVESTMENTS — 12.01% | | | | | |
Money Market Fund — 2.00% | | | | | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio | | | | | | | | | |
0.09%6 | | | | | | | 85,000 | | | | 85,000 | |
| DWS Money Market Series-Institutional | | | | | | | | | |
0.06%6 | | | | | | | 37,000 | | | | 37,000 | |
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | | | | | | | | | |
0.07%6 | | | | | | | 44,000 | | | | 44,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 166,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 4.82% | | | | | |
| Fannie Mae | | | | | | | | | | | | |
0.08%7 | | | 10/26/11 | | | | 135,000 | | | | 134,999 | |
0.08%7 | | | 12/19/11 | | | | 265,000 | | | | 264,994 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 399,993 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 5.19% | | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.03%7 | | | 12/08/11 | 8 | | | 430,000 | | | | 429,993 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $995,927) | | | | | | | | 995,986 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2011 / 91
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2011 (Unaudited)
| | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | Value | |
Total Investments – 101.36% (Cost $8,714,771)1 | | | | $ | 8,404,042 | |
| | | | | | | | |
Liabilities in Excess of Other Assets – (1.36)% | | | | | (112,782 | ) |
| | | | | | | | |
| Net Assets – 100.00% | | | | | | $ | 8,291,260 | |
| | | | | | | | |
| | | | | | | | |
| Contracts | | | | | Unrealized
(Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | |
| | 4 | | | S&P 500 E Mini Index, Expiration December 2011 | | $ | (277 | ) |
| | 18 | | | S&P 500 Index, Expiration December 2011 | | | (249,909 | ) |
| | | | | | | | |
| | | | Net unrealized depreciation | | $ | (250,186 | ) |
| | | | | | | | |
| | | | | | | | | | | | | | |
| | | Expiration
Date | | Notional
Amount
(000’s) | | | (Depreciation) | | | Value | |
SWAPS: TOTAL RETURN | |
| The Fund pays a floating rate based on 1-month USD LIBOR minus 5 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 | |
| 10/05/11 | | $ | 2 | | | $ | – | | | $ | – | |
| The Fund pays a floating rate based on 1-month USD LIBOR plus 20 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 | |
| 10/05/11 | | | 2 | | | | (223,382 | ) | | $ | (223,382 | ) |
| | | | | | | | | | | | | | |
| | | | $ | 4 | | | $ | (223,382 | ) | | $ | (223,382 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
Paid | | | Notional
Amount
(000’s) a | | | Appreciation | | | Value | |
| SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
| 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 | | $ | 1,713 | | | $ | 40 | | | $ | 2,775 | | | $ | 4,488 | |
| 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. | |
| 09/20/16 | | | 1,712 | | | | 40 | | | | 2,775 | | | | 4,487 | |
| | | | | | | | | | | | | | | | | | |
| | | | $ | 3,425 | | | $ | 80 | | | $ | 5,550 | | | $ | 8,975 | |
| | | | | | | | | | | | | | | | | | |
| 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. |
Notes:
| 1 | Cost for federal income tax purposes is $8,771,297 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
| Gross unrealized appreciation | | $ | 258,107 | |
| Gross unrealized depreciation | | | (625,362 | ) |
| | | | |
Net unrealized depreciation | | $ | (367,255 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2011. |
| 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, 2011, was $499,565, representing 6.03% of total net assets. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $128,705, which is 1.55% of total net assets. |
| 6 | Represents the current yield as of September 30, 2011. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $429,991. |
| † | Fair valued security. The aggregate value of fair valued securities is $43,690, which is 0.53% 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 represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see 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. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. These classifications are unaudited.
| (AGM): | Assurance Guaranty Municipal Corp. (formerly known as FSA |
(Financial Security Assurance, Inc.))
| (AMBAC): | American Municipal Bond Assurance Corp. |
| (LIBOR): | London InterBank Offer Rate |
| (YCD): | Yankee Certificate of Deposit |
See accompanying notes to Schedule of Portfolio Investments.
92 / Semi-Annual Report September 2011
[THIS PAGE INTENTIONALLY LEFT BLANK]
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2011 (Unaudited)
| | | | | | | | |
| ASSETS: | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | |
Investments, at value (Cost $98,115,839, $1,886,503,946, $273,986,618, $16,743,428,000, $1,778,518,350, $184,855,670, and $8,714,771, respectively) (Note 2) | | $ | 91,084,974 | | | $ | 1,815,113,399 | |
Cash and cash equivalents (Note 2) | | | 4,124,011 | | | | 11,879 | |
Cash on deposit with brokers for collateral on options (Note 3) | | | – | | | | – | |
Premiums paid for swap contracts | | | – | | | | 76,428 | |
Unrealized appreciation on swap contracts | | | 85 | | | | 192,762 | |
Dividends and interest receivable | | | 291,757 | | | | 10,603,907 | |
Due from Adviser (Note 6) | | | 17,500 | | | | – | |
Receivable for securities sold | | | 13,755 | | | | 3,099,812 | |
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $210,500, $399,950, and $0, respectively) (Note 3) | | | – | | | | – | |
Receivable for capital stock sold | | | 2,699 | | | | 3,776,977 | |
Receivable for daily variation margin on futures contracts (Note 3) | | | – | | | | – | |
Other assets | | | 39,935 | | | | 64,158 | |
| | | | | | | | |
Total assets | | | 95,574,716 | | | | 1,832,939,322 | |
| | | | | | | | |
| | | | | | | | |
Liabilities: | | | | | | | | |
Unrealized depreciation on swap contracts | | | 158,731 | | | | 543,399 | |
Premiums received for swap contracts | | | 1,362,788 | | | | 9,728,769 | |
Payable for securities purchased | | | – | | | | 65,851,886 | |
Payable for capital stock redeemed | | | 1,866,774 | | | | 6,232,371 | |
Payable for daily variation margin on futures contracts (Note 3) | | | – | | | | – | |
Line of credit commitment fee payable | | | 103 | | | | 1,655 | |
Distributions payable | | | 19,323 | | | | 553,921 | |
Advisory fees payable (Note 6) | | | 21,641 | | | | 520,358 | |
Accrued trustees fees and expenses | | | 6,349 | | | | 63,432 | |
Accrued distribution (12b-1) and service fees payable | | | 3,723 | | | | 215,645 | |
Accrued other expenses | | | 46,173 | | | | 254,517 | |
| | | | | | | | |
Total liabilities | | | 3,485,605 | | | | 83,965,953 | |
| | | | | | | | |
Net assets | | $ | 92,089,111 | | | $ | 1,748,973,369 | |
| | | | | | | | |
| | | | | | | | |
Class M Shares: | | | | | | | | |
Net assets (Applicable to 5,964,234, 146,065,839, 8,919,297, 738,671,423, 106,570,184, 2,514,707, and 2,285,207, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 24,730,073 | | | $ | 1,233,552,059 | |
| | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 4.15 | | | $ | 8.45 | |
| | | | | | | | |
| | | | | | | | |
Class I Shares: | | | | | | | | |
Net assets (Applicable to 16,223,618, 60,882,448, 16,839,136, 776,359,955, 70,937,580, 20,556,849, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 67,359,038 | | | $ | 514,338,222 | |
| | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 4.15 | | | $ | 8.45 | |
| | | | | | | | |
| | | | | | | | |
Administrative Class: | | | | | | | | |
Net assets (Applicable to 0, 99,306, 0, 645,799, 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 | | | $ | 1,083,088 | |
| | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | N/A | | | $ | 10.91 | |
| | | | | | | | |
| | | | | | | | |
Plan Class: | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 10, 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 | | | | N/A | |
| | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | | N/A | | | | N/A | |
| | | | | | | | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Capital paid-in (Note 8) | | $ | 143,663,516 | | | $ | 2,013,311,471 | |
Undistributed (distributions in excess of) net investment income | | | (29,305 | ) | | | 15,867 | |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options | | | (44,355,588 | ) | | | (192,612,784 | ) |
Net unrealized appreciation/(depreciation) on investments | | | (7,030,718 | ) | | | (71,390,548 | ) |
Net unrealized depreciation on futures contracts, securities sold short, swap contracts and written options | | | (158,794 | ) | | | (350,637 | ) |
| | | | | | | | |
| | $ | 92,089,111 | | | $ | 1,748,973,369 | |
| | | | | | | | |
See accompanying notes to financial statements.
94 / Semi-Annual Report September 2011
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 281,593,464 | | | $ | 17,133,958,334 | | | $ | 1,642,329,056 | | | $ | 182,762,602 | | | $ | 8,404,042 | | | |
| | | 1,599,033 | | | | 138,473 | | | | 36,119,227 | | | | 22,239 | | | | 171,126 | | | |
| | | – | | | | – | | | | 2,819 | | | | 1,478,325 | | | | – | | | |
| | | 981,496 | | | | 41,132,532 | | | | 278,701 | | | | 11,132 | | | | 3,425 | | | |
| | | 106,767 | | | | 9,275,959 | | | | 41,279 | | | | 18,038 | | | | 5,550 | | | |
| | | 1,369,691 | | | | 105,515,000 | | | | 37,297,862 | | | | 1,435,398 | | | | 39,313 | | | |
| | | 11,951 | | | | – | | | | 105,724 | | | | – | | | | 6,010 | | | |
| | | 9,829,744 | | | | 415,508,491 | | | | 8,928,165 | | | | 1,268,354 | | | | 1,686 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | – | | | | 47,889 | | | | 90,989 | | | | – | | | |
| | | 3,763,756 | | | | 46,455,476 | | | | 10,123,422 | | | | 8,165 | | | | 85,027 | | | |
| | | 2,084 | | | | 52,463 | | | | – | | | | 787 | | | | – | | | |
| | | 44,808 | | | | 296,163 | | | | 100,504 | | | | 26,998 | | | | 13,138 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 299,302,794 | | | | 17,752,332,891 | | | | 1,735,374,648 | | | | 187,123,027 | | | | 8,729,317 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 736,326 | | | | 40,650,746 | | | | 5,041,950 | | | | 44,646 | | | | 223,382 | | | |
| | | 1,523,055 | | | | 97,920,269 | | | | 2,475,640 | | | | 95,558 | | | | – | | | |
| | | 30,379,499 | | | | 1,691,024,741 | | | | 12,204,135 | | | | 5,117,297 | | | | 3 | | | |
| | | 190,725 | | | | 39,403,616 | | | | 8,410,524 | | | | 923,498 | | | | 34,754 | | | |
| | | – | | | | – | | | | 443,062 | | | | – | | | | 145,469 | | | |
| | | 237 | | | | 14,012 | | | | 1,604 | | | | 158 | | | | 8 | | | |
| | | 225,257 | | | | 9,972,177 | | | | 2,765,880 | | | | 748,441 | | | | – | | | |
| | | 79,676 | | | | 4,711,888 | | | | 770,374 | | | | 313,188 | | | | – | | | |
| | | 7,716 | | | | 326,839 | | | | 35,686 | | | | 7,334 | | | | 3,380 | | | |
| | | 16,461 | | | | 1,412,393 | | | | 226,567 | | | | 5,469 | | | | – | | | |
| | | 67,878 | | | | 1,617,645 | | | | 287,054 | | | | 53,077 | | | | 31,061 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 33,226,830 | | | | 1,887,054,326 | | | | 32,662,476 | | | | 7,308,666 | | | | 438,057 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 266,075,964 | | | $ | 15,865,278,565 | | | $ | 1,702,712,172 | | | $ | 179,814,361 | | | $ | 8,291,260 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 92,147,087 | | | $ | 7,732,699,353 | | | $ | 1,022,350,127 | | | $ | 19,611,282 | | | $ | 8,291,260 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.33 | | | $ | 10.47 | | | $ | 9.59 | | | $ | 7.80 | | | $ | 3.63 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 173,928,877 | | | $ | 8,125,814,644 | | | $ | 680,362,045 | | | $ | 160,203,079 | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.33 | | | $ | 10.47 | | | $ | 9.59 | | | $ | 7.79 | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | $ | 6,764,468 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | $ | 10.47 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | $ | 100 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | $ | 9.95 | | | | N/A | | | | N/A | | | | N/A | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 259,243,609 | | | $ | 15,383,984,025 | | | $ | 1,820,509,227 | | | $ | 302,006,907 | | | $ | 106,887,547 | | | |
| | | (90,041 | ) | | | 4,224,302 | | | | (909,175 | ) | | | 27,098 | | | | 103,794 | | | |
| | | (22,805 | ) | | | 118,568,434 | | | | 29,770,184 | | | | (119,628,291 | ) | | | (97,921,334 | ) | | |
| | | 7,606,846 | | | | 390,530,334 | | | | (136,351,905 | ) | | | (2,402,030 | ) | | | (310,729 | ) | | |
| | | (661,645 | ) | | | (32,028,530 | ) | | | (10,306,159 | ) | | | (189,323 | ) | | | (468,018 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 266,075,964 | | | $ | 15,865,278,565 | | | $ | 1,702,712,172 | | | $ | 179,814,361 | | | $ | 8,291,260 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 95
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2011 (Unaudited)
| | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | | | LOW DURATION
BOND FUND | |
| | | | | | | | | |
Investment Income: | | | | | | | | | | |
Interest | | $ | 1,431,253 | | | | | $ | 33,554,435 | |
Dividends | | | 2,029 | | | | | | 23,366 | |
| | | | | | | | | | |
Total investment income | | | 1,433,282 | | | | | | 33,577,801 | |
| | | | | | | | | | |
| | | | | | | | | | |
Expenses: | | | | | | | | | | |
Investment advisory fees (Note 6) | | | 139,388 | | | | | | 2,907,272 | |
Administration fees | | | 31,416 | | | | | | 159,159 | |
Custodian fees | | | 10,518 | | | | | | 41,051 | |
Distribution (12b-1) and service fees | | | 30,591 | | | | | | 1,299,827 | |
Insurance expense | | | 962 | | | | | | 16,275 | |
Commitment fee | | | 119 | | | | | | 1,930 | |
Miscellaneous expenses | | | 22,234 | | | | | | 33,923 | |
Professional fees | | | 22,436 | | | | | | 38,659 | |
Registration and filing fees | | | 20,783 | | | | | | 38,084 | |
Reports to shareholders | | | 4,308 | | | | | | 113,780 | |
Transfer agent fees | | | 19,838 | | | | | | 151,149 | |
Trustees’ fees and expenses | | | 1,053 | | | | | | 18,612 | |
Repayment of reimbursed expenses (Note 6) | | | — | | | | | | 259,559 | |
| | | | | | | | | | |
Total operating expenses | | | 303,646 | | | | | | 5,079,280 | |
Expenses waived and reimbursed (Note 6) | | | (83,487 | ) | | | | | — | |
| | | | | | | | | | |
Net expenses | | | 220,159 | | | | | | 5,079,280 | |
| | | | | | | | | | |
Net investment income | | | 1,213,123 | | | | | | 28,498,521 | |
| | | | | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Swap Contracts and Written Options: | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | |
Investments | | | 190,803 | | | | | | 665,011 | |
Futures contracts | | | — | | | | | | — | |
Swap contracts | | | 52,917 | | | | | | 893,820 | |
Written options | | | — | | | | | | — | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | |
Investments | | | (2,288,447 | ) | | | | | (45,064,698 | ) |
Futures contracts | | | — | | | | | | — | |
Swap contracts | | | (320,427 | ) | | | | | (2,162,023 | ) |
| | | | | | | | | | |
| | | |
Net change in realized and unrealized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options | | | (2,365,154 | ) | | | | | (45,667,890 | ) |
| | | | | | | | | | |
Net Increase/(Decrease) in Net Assets from Operations | | $ | (1,152,031 | ) | | | | $ | (17,169,369 | ) |
| | | | | | | | | | |
See accompanying notes to Financial statements.
96 / Semi-Annual Report September 2011
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2011 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | $5,176,724 | | | $ | 359,191,373 | | | $ | 86,865,916 | | | $ | 8,837,531 | | | $ | 194,147 | | | |
| | | 6,107 | | | | 228,617 | | | | 827,904 | | | | 149,525 | | | | 277 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 5,182,831 | | | | 359,419,990 | | | | 87,693,820 | | | | 8,987,056 | | | | 194,424 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 409,005 | | | | 24,874,980 | | | | 5,235,218 | | | | 2,216,545 | | | | 14,363 | | | |
| | | 39,424 | | | | 963,387 | | | | 161,250 | | | | 39,548 | | | | 16,660 | | | |
| | | 13,472 | | | | 230,343 | | | | 37,842 | | | | 9,940 | | | | 5,196 | | | |
| | | 78,600 | | | | 7,908,256 | | | | 1,600,442 | | | | 74,229 | | | | — | | | |
| | | 1,728 | | | | 107,748 | | | | 16,773 | | | | 2,094 | | | | 82 | | | |
| | | 275 | | | | 16,173 | | | | 1,863 | | | | 187 | | | | 9 | | | |
| | | 25,088 | | | | 87,123 | | | | 20,401 | | | | 18,839 | | | | 13,022 | | | |
| | | 30,259 | | | | 268,019 | | | | 99,217 | | | | 22,619 | | | | 17,550 | | | |
| | | 29,073 | | | | 365,205 | | | | 140,033 | | | | 36,930 | | | | 10,008 | | | |
| | | 6,672 | | | | 617,727 | | | | 102,962 | | | | 8,652 | | | | 540 | | | |
| | | 23,782 | | | | 1,099,238 | | | | 265,336 | | | | 18,966 | | | | 9,442 | | | |
| | | 1,998 | | | | 131,462 | | | | 22,258 | | | | 407 | | | | 93 | | | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 659,376 | | | | 36,669,661 | | | | 7,703,595 | | | | 2,448,956 | | | | 86,965 | | | |
| | | (66,598) | | | | — | | | | (344,412 | ) | | | — | | | | (43,185 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 592,778 | | | | 36,669,661 | | | | 7,359,183 | | | | 2,448,956 | | | | 43,780 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 4,590,053 | | | | 322,750,329 | | | | 80,334,637 | | | | 6,538,100 | | | | 150,644 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 2,608,139 | | | | 254,945,843 | | | | 12,783,935 | | | | (461,896 | ) | | | (244,450 | ) | | |
| | | 258,737 | | | | (29,874,081 | ) | | | (9,906,869 | ) | | | (154,557 | ) | | | (616,090 | ) | | |
| | | (457,463) | | | | (26,693,903 | ) | | | 1,441,121 | | | | 130,289 | | | | (261,850 | ) | | |
| | | 67,784 | | | | 4,930,365 | | | | 2,531,745 | | | | — | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (3,238,604) | | | | (154,140,038 | ) | | | (252,122,528 | ) | | | (10,296,984 | ) | | | (111,624 | ) | | |
| | | 28,578 | | | | (1,540,161 | ) | | | (5,305,487 | ) | | | 131,560 | | | | (333,108 | ) | | |
| | | 733,448 | | | | 8,495,657 | | | | (5,039,925 | ) | | | (70,161 | ) | | | (211,874 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 619 | | | | 56,123,682 | | | | (255,618,008 | ) | | | (10,721,749 | ) | | | (1,778,996 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | $4,590,672 | | | $ | 378,874,011 | | | $ | (175,283,371 | ) | | $ | (4,183,649 | ) | | $ | (1,628,352 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 97
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | ULTRA SHORT
BOND FUND | |
| | | SIX MONTHS
ENDED SEPTEMBER 30, 2011
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2010 | |
| Operations: | | | | | | |
Net investment income | | $ | 1,213,123 | | | $ | 2,786,421 | |
Net realized gain/(loss) on investments | | | 190,803 | | | | (1,093,670 | ) |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | 52,917 | | | | (104,894 | ) |
Net change in unrealized appreciation/(depreciation) on investments | | | (2,288,447 | ) | | | 5,146,374 | |
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contractsand written options | | | (320,427 | ) | | | 957,448 | |
| | | | | | | | |
| | |
Net increase/(decrease) in net assets resulting from operations | | | (1,152,031 | ) | | | 7,691,679 | |
| | | | | | | | |
| | | | | | | | |
| Distributions to Shareholders from: | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (405,625 | ) | | | (798,430 | ) |
Class I | | | (836,804 | ) | | | (2,207,260 | ) |
Administrative Class | | | – | | | | – | |
Plan Class | | | – | | | | – | |
Net realized gains: | | | | | | | | |
Class M | | | – | | | | – | |
Class I | | | – | | | | – | |
Administrative Class | | | – | | | | – | |
Plan Class | | | – | | | | – | |
Return of capital: | | | | | | | | |
Class M | | | – | | | | – | |
Class I | | | – | | | | – | |
Administrative Class | | | – | | | | – | |
Plan Class | | | – | | | | – | |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (1,242,429 | ) | | | (3,005,690 | ) |
| | | | | | | | |
| | | | | | | | |
| Capital Share Transactions: | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 10,497,569 | | | | 39,274,307 | |
Shares issued in reinvestment of distributions | | | 385,739 | | | | 752,157 | |
Cost of shares redeemed | | | (27,561,298 | ) | | | (21,101,236 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | (16,677,990 | ) | | | 18,925,228 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 28,026,509 | | | | 66,579,022 | |
Shares issued in reinvestment of distributions | | | 814,565 | | | | 2,195,154 | |
Cost of shares redeemed | | | (31,026,494 | ) | | | (80,889,077 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | (2,185,420 | ) | | | (12,114,901 | ) |
| | | | | | | | |
Administrative Class: | | | | | | | | |
Proceeds from sale of shares | | | – | | | | – | |
Shares issued in reinvestment of distributions | | | – | | | | – | |
Cost of shares redeemed | | | – | | | | – | |
| | | | | | | | |
Total Administrative Class capital share transactions | | | – | | | | – | |
| | | | | | | | |
Plan Class: | | | | | | | | |
Proceeds from sale of shares | | | – | | | | – | |
Shares issued in reinvestment of distributions | | | – | | | | – | |
Cost of shares redeemed | | | – | | | | – | |
| | | | | | | | |
Total Plan Class capital share transactions | | | – | | | | – | |
| | | | | | | | |
| Net increase/(decrease) in net assets resulting from capital share transactions | | | (18,863,410 | ) | | | 6,810,327 | |
| | | | | | | | |
| Net increase/(decrease) in net assets | | | (21,257,870 | ) | | | 11,496,316 | |
| Net assets at beginning of period | | | 113,346,981 | | | | 101,850,665 | |
| | | | | | | | |
| Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(29,305), $1, $15,867, $66,639, $(90,041), $(107,805), $4,224,302 and $1,676,001, respectively) | | $ | 92,089,111 | | | $ | 113,346,981 | |
| | | | | | | | |
See accompanying notes to financial statements.
98 / Semi-Annual Report September 2011
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,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 28,498,521 | | | $ | 54,351,931 | | | $ | 4,590,053 | | | $ | 9,273,454 | | | $ | 322,750,329 | | | $ | 489,283,763 | | | |
| | | 665,011 | | | | (27,054,777 | ) | | | 2,608,139 | | | | 3,080,786 | | | | 254,945,843 | | | | 207,406,360 | | | |
| | | 893,820 | | | | 2,890,137 | | | | (130,942 | ) | | | 1,715,910 | | | | (51,637,619 | ) | | | 37,344,116 | | | |
| | | (45,064,698 | ) | | | 103,171,867 | | | | (3,238,604 | ) | | | 4,762,924 | | | | (154,140,038 | ) | | | 116,977,802 | | | |
| | | (2,162,023 | ) | | | 11,145,832 | | | | 762,026 | | | | 623,726 | | | | 6,955,496 | | | | 9,604,005 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (17,169,369 | ) | | | 144,504,990 | | | | 4,590,672 | | | | 19,456,800 | | | | 378,874,011 | | | | 860,616,046 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (19,739,266 | ) | | | (38,132,023 | ) | | | (1,407,898 | ) | | | (2,266,833 | ) | | | (165,832,431 | ) | | | (262,515,977 | ) | | |
| | | (8,790,591 | ) | | | (16,959,709 | ) | | | (3,164,391 | ) | | | (7,008,696 | ) | | | (154,224,817 | ) | | | (224,353,653 | ) | | |
| | | (19,436 | ) | | | (65,735 | ) | | | – | | | | – | | | | (144,779 | ) | | | (191,322 | ) | | |
| | | – | | | | – | | | | – | | | | – | | | | (1 | ) | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | – | | | | – | | | | (1,948,978 | ) | | | – | | | | (100,699,828 | ) | | |
| | | – | | | | – | | | | – | | | | (5,191,527 | ) | | | – | | | | (85,014,427 | ) | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | (98,038 | ) | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (28,549,293 | ) | | | (55,157,467 | ) | | | (4,572,289 | ) | | | (16,416,034 | ) | | | (320,202,028 | ) | | | (672,873,245 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 283,919,067 | | | | 711,446,929 | | | | 42,528,859 | | | | 36,296,188 | | | | 1,540,975,860 | | | | 3,736,961,922 | | | |
| | | 18,389,151 | | | | 36,694,626 | | | | 1,157,556 | | | | 3,967,555 | | | | 156,744,888 | | | | 345,158,489 | | | |
| | | (392,686,294 | ) | | | (487,460,160 | ) | | | (8,166,156 | ) | | | (28,672,171 | ) | | | (998,702,949 | ) | | | (1,836,979,727 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (90,378,076 | ) | | | 260,681,395 | | | | 35,520,259 | | | | 11,591,572 | | | | 699,017,799 | | | | 2,245,140,684 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 140,885,091 | | | | 285,925,978 | | | | 31,607,243 | | | | 43,722,032 | | | | 2,843,204,936 | | | | 3,263,153,195 | | | |
| | | 7,710,241 | | | | 14,185,001 | | | | 2,489,430 | | | | 9,335,955 | | | | 126,677,491 | | | | 258,838,892 | | | |
| | | (194,230,431 | ) | | | (229,320,214 | ) | | | (4,670,657 | ) | | | (73,747,650 | ) | | | (840,298,342 | ) | | | (1,413,679,712 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (45,635,099 | ) | | | 70,790,765 | | | | 29,426,016 | | | | (20,689,663 | ) | | | 2,129,584,085 | | | | 2,108,312,375 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 908,443 | | | | 4,023,789 | | | | – | | | | – | | | | 130,106 | | | | 5,960,960 | | | |
| | | 17,954 | | | | 60,867 | | | | – | | | | – | | | | 131,448 | | | | 265,092 | | | |
| | | (1,950,343 | ) | | | (3,102,686 | ) | | | – | | | | – | | | | (213,523 | ) | | | (729,316 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1,023,946 | ) | | | 981,970 | | | | – | | | | – | | | | 48,031 | | | | 5,496,736 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | – | | | | – | | | | – | | | | 100 | | | | – | | | |
| | | – | | | | – | | | | – | | | | – | | | | 1 | | | | – | | | |
| | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | – | | | | – | | | | – | | | | 101 | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (137,037,121 | ) | | | 332,454,130 | | | | 64,946,275 | | | | (9,098,091 | ) | | | 2,828,650,016 | | | | 4,358,949,795 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (182,755,783 | ) | | | 421,801,653 | | | | 64,964,658 | | | | (6,057,325 | ) | | | 2,887,321,999 | | | | 4,546,692,596 | | | |
| | | 1,931,729,152 | | | | 1,509,927,499 | | | | 201,111,306 | | | | 207,168,631 | | | | 12,977,956,566 | | | | 8,431,263,970 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,748,973,369 | | | $ | 1,931,729,152 | | | $ | 266,075,964 | | | $ | 201,111,306 | | | $ | 15,865,278,565 | | | $ | 12,977,956,566 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 99
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | HIGH YIELD BOND FUND | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | |
| Operations: | | | | | | |
Net investment income | | $ | 80,334,637 | | | $ | 104,975,914 | |
Net realized gain/(loss) on investments | | | 12,783,935 | | | | 31,843,386 | |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | (5,934,003 | ) | | | 4,520,195 | |
Net change in unrealized appreciation/(depreciation) on investments | | | (252,122,528 | ) | | | 49,949,235 | |
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options | | | (10,345,412 | ) | | | 627,129 | |
| | | | | | | | |
Net increase/(decrease) in net assets resulting from operations | | | (175,283,371 | ) | | | 191,915,859 | |
| | | | | | | | |
| | | | | | | | |
| Distributions to Shareholders from: | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (48,952,143 | ) | | | (65,844,263 | ) |
Class I | | | (32,261,629 | ) | | | (39,615,468 | ) |
Net realized gains: | | | | | | | | |
Class M | | | – | | | | (4,490,170 | ) |
Class I | | | – | | | | (2,975,757 | ) |
Return of capital: | | | | | | | | |
Class M | | | – | | | | – | |
Class I | | | – | | | | – | |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (81,213,772 | ) | | | (112,925,658 | ) |
| | | | | | | | |
| | | | | | | | |
| Capital Share Transactions: | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 557,062,021 | | | | 1,161,871,980 | |
Shares issued in reinvestment of distributions | | | 45,155,046 | | | | 65,465,652 | |
Cost of shares redeemed | | | (776,572,004 | ) | | | (449,705,205 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | (174,354,937 | ) | | | 777,632,427 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 433,775,440 | | | | 653,274,307 | |
Shares issued in reinvestment of distributions | | | 23,338,167 | | | | 33,139,073 | |
Cost of shares redeemed | | | (439,657,208 | ) | | | (202,667,849 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | 17,456,399 | | | | 483,745,531 | |
| | | | | | | | |
| Net increase/(decrease) in net assets resulting from capital share transactions | | | (156,898,538 | ) | | | 1,261,377,958 | |
| | | | | | | | |
| Net increase/(decrease) in net assets | | | (413,395,681 | ) | | | 1,340,368,159 | |
| Net assets at beginning of period | | | 2,116,107,853 | | | | 775,739,694 | |
| | | | | | | | |
| Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(909,175), $(30,040), $27,098, $9,803, $103,794 and $322,253, respectively) | | $ | 1,702,712,172 | | | $ | 2,116,107,853 | |
| | | | | | | | |
See accompanying notes to financial statements.
100 / Semi-Annual Report September 2011
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | | | | | ALPHATRAK 500 FUND | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2011 | | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | | | YEAR
ENDED
MARCH 31,
2011 | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | $ | 6,538,100 | | | | | $ | 12,916,988 | | | | | $ | 150,644 | | | | | $ | 356,531 | | | |
| | | (461,896 | ) | | | | | (710,754 | ) | | | | | (244,450 | ) | | | | | (710,727 | ) | | |
| | | (24,268 | ) | | | | | (4,953,110 | ) | | | | | (877,940 | ) | | | | | 2,044,984 | | | |
| | | (10,296,984 | ) | | | | | 20,973,115 | | | | | | (111,624 | ) | | | | | 1,445,665 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 61,399 | | | | | | 8,074,333 | | | | | | (544,982 | ) | | | | | (304,039 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (4,183,649 | ) | | | | | 36,300,572 | | | | | | (1,628,352 | ) | | | | | 2,832,414 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1,518,231 | ) | | | | | (3,582,562 | ) | | | | | (369,103 | ) | | | | | (642,897 | ) | | |
| | | (5,002,574 | ) | | | | | (9,739,914 | ) | | | | | – | | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | | | – | | | | | | – | | | | | | – | | | |
| | | – | | | | | | – | | | | | | – | | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | | | – | | | | | | – | | | | | | – | | | |
| | | – | | | | | | – | | | | | | – | | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (6,520,805 | ) | | | | | (13,322,476 | ) | | | | | (369,103 | ) | | | | | (642,897 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 8,833,321 | | | | | | 115,143,426 | | | | | | 1,476,236 | | | | | | 4,289,974 | | | |
| | | 1,475,312 | | | | | | 3,482,968 | | | | | | 340,840 | | | | | | 608,139 | | | |
| | | (76,890,701 | ) | | | | | (84,523,169 | ) | | | | | (1,308,372 | ) | | | | | (8,346,309 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (66,582,068 | ) | | | | | 34,103,225 | | | | | | 508,704 | | | | | | (3,448,196 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 5,375,954 | | | | | | 11,291,013 | | | | | | – | | | | | | – | | | |
| | | 1,126,556 | | | | | | 2,429,011 | | | | | | – | | | | | | – | | | |
| | | (17,972,571 | ) | | | | | (17,705,905 | ) | | | | | – | | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (11,470,061 | ) | | | | | (3,985,881 | ) | | | | | – | | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (78,052,129 | ) | | | | | 30,117,344 | | | | | | 508,704 | | | | | | (3,448,196 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (88,756,583 | ) | | | | | 53,095,440 | | | | | | (1,488,751 | ) | | | | | (1,258,679 | ) | | |
| | | 268,570,944 | | | | | | 215,475,504 | | | | | | 9,780,011 | | | | | | 11,038,690 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 179,814,361 | | | | | $ | 268,570,944 | | | | | $ | 8,291,260 | | | | | $ | 9,780,011 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 101
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
Net Asset Value, Beginning of Period | | $ | 4.24 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.04 | | | | 0.11 | | | | 0.20 | | | | 0.25 | | | | 0.26 | | | | 0.24 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.09 | ) | | | 0.21 | | | | 0.51 | | | | (1.10 | ) | | | (0.48 | ) | | | 0.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from Investment Operations | | | (0.05 | ) | | | 0.32 | | | | 0.71 | | | | (0.85 | ) | | | (0.22 | ) | | | 0.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.04 | ) | | | (0.12 | ) | | | (0.20 | ) | | | (0.26 | ) | | | (0.26 | ) | | | (0.24 | ) |
From net capital gains | | | – | | | | – | | | | – | | | | – | | | | – | | | | (0.00 | )2 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.04 | ) | | | (0.12 | ) | | | (0.20 | ) | | | (0.26 | ) | | | (0.26 | ) | | | (0.24 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net Asset Value, End of Period | | $ | 4.15 | | | $ | 4.24 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (1.08 | )% | | | 8.01 | % | | | 20.74 | % | | | (18.85 | )% | | | (4.48 | )% | | | 5.52 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 24,730 | | | $ | 42,174 | | | $ | 22,020 | | | $ | 35,929 | | | $ | 133,051 | | | $ | 119,957 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.65 | %4 | | | 0.65 | % | | | 0.95 | % | | | 0.63 | % | | | 0.54 | % | | | 0.57 | % |
After expense waivers and reimbursements | | | 0.50 | %4 | | | 0.50 | % | | | 0.73 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.06 | %4 | | | 2.57 | % | | | 5.24 | % | | | 5.84 | % | | | 5.23 | % | | | 4.74 | % |
Portfolio Turnover Rate | | | 23 | %5 | | | 42 | % | | | 43 | % | | | 20 | % | | | 30 | % | | | 81 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.50%. |
See accompanying notes to financial statements.
102 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS I | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | |
Net Asset Value, Beginning of Period | | $ | 4.25 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.05 | | | | 0.12 | | | | 0.19 | | | | 0.26 | | | | 0.27 | | | | 0.25 | | | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.10 | ) | | | 0.22 | | | | 0.53 | | | | (1.10 | ) | | | (0.48 | ) | | | 0.03 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.05 | ) | | | 0.34 | | | | 0.72 | | | | (0.84 | ) | | | (0.21 | ) | | | 0.28 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.05 | ) | | | (0.13 | ) | | | (0.21 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.25 | ) | | |
From net capital gains | | | – | | | | – | | | | – | | | | – | | | | – | | | | (0.00 | )2 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.05 | ) | | | (0.13 | ) | | | (0.21 | ) | | | (0.27 | ) | | | (0.27 | ) | | | (0.25 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 4.15 | | | $ | 4.25 | | | $ | 4.04 | | | $ | 3.53 | | | $ | 4.64 | | | $ | 5.12 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (1.24 | )% | | | 8.43 | % | | | 20.93 | % | | | (18.72 | )% | | | (4.32 | )% | | | 5.69 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 67,359 | | | $ | 71,173 | | | $ | 79,830 | | | $ | 60,060 | | | $ | 120,380 | | | $ | 125,128 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.49 | %4 | | | 0.49 | % | | | 0.79 | % | | | 0.47 | % | | | 0.38 | % | | | 0.40 | % | | |
After expense waivers and reimbursements | | | 0.34 | %4 | | | 0.34 | % | | | 0.57 | % | | | 0.34 | % | | | 0.34 | % | | | 0.34 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.23 | %4 | | | 2.83 | % | | | 4.93 | % | | | 6.09 | % | | | 5.40 | % | | | 4.94 | % | | |
Portfolio Turnover Rate | | | 23 | %5 | | | 42 | % | | | 43 | % | | | 20 | % | | | 30 | % | | | 81 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.34%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 103
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS M | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | |
| Net Asset Value, Beginning of Period | | $ | 8.65 | | | $ | 8.21 | | | $ | 7.08 | | | $ | 8.81 | | | $ | 9.49 | | | $ | 9.32 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.13 | | | | 0.26 | | | | 0.33 | | | | 0.49 | | | | 0.48 | | | | 0.45 | | | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.21 | ) | | | 0.44 | | | | 1.15 | | | | (1.70 | ) | | | (0.67 | ) | | | 0.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.08 | ) | | | 0.70 | | | | 1.48 | | | | (1.21 | ) | | | (0.19 | ) | | | 0.61 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.12 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.52 | ) | | | (0.49 | ) | | | (0.44 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.12 | ) | | | (0.26 | ) | | | (0.35 | ) | | | (0.52 | ) | | | (0.49 | ) | | | (0.44 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.45 | | | $ | 8.65 | | | $ | 8.21 | | | $ | 7.08 | | | $ | 8.81 | | | $ | 9.49 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (0.88 | )% | | | 8.63 | % | | | 21.45 | % | | | (14.20 | )% | | | (2.11 | )% | | | 6.74 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 1,233,552 | | | $ | 1,356,201 | | | $ | 1,032,666 | | | $ | 656,275 | | | $ | 1,313,261 | | | $ | 944,867 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.58 | %3 | | | 0.58 | % | | | 0.71 | % | | | 0.62 | % | | | 0.59 | % | | | 0.60 | % | | |
After expense waivers and reimbursements | | | 0.58 | %3 | | | 0.58 | % | | | 0.69 | % | | | 0.59 | % | | | 0.58 | % | | | 0.58 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.89 | %3 | | | 3.01 | % | | | 4.32 | % | | | 6.00 | % | | | 5.21 | % | | | 4.78 | % | | |
Portfolio Turnover Rate | | | 35 | %4 | | | 87 | % | | | 36 | % | | | 38 | % | | | 95 | % | | | 80 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.58% and 0.58% respectively. |
See accompanying notes to financial statements.
104 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS I | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | YEAR ENDED MARCH 31, 2010 | | | YEAR ENDED MARCH 31, 2009 | | | YEAR ENDED MARCH 31, 2008 | | | YEAR ENDED MARCH 31, 2007 | | | |
| Net Asset Value, Beginning of Period | | $ | 8.66 | | | $ | 8.22 | | | $ | 7.08 | | | $ | 8.82 | | | $ | 9.49 | | | $ | 9.32 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.13 | | | | 0.27 | | | | 0.35 | | | | 0.50 | | | | 0.50 | | | | 0.47 | | | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.21 | ) | | | 0.45 | | | | 1.16 | | | | (1.71 | ) | | | (0.66 | ) | | | 0.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.08 | ) | | | 0.72 | | | | 1.51 | | | | (1.21 | ) | | | (0.16 | ) | | | 0.63 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.28 | ) | | | (0.37 | ) | | | (0.53 | ) | | | (0.51 | ) | | | (0.46 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.13 | ) | | | (0.28 | ) | | | (0.37 | ) | | | (0.53 | ) | | | (0.51 | ) | | | (0.46 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 8.45 | | | $ | 8.66 | | | $ | 8.22 | | | $ | 7.08 | | | $ | 8.82 | | | $ | 9.49 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (0.91 | )% | | | 8.82 | % | | | 21.83 | % | | | (14.13 | )% | | | (1.82 | )% | | | 6.94 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 514,338 | | | $ | 573,395 | | | $ | 476,233 | | | $ | 313,864 | | | $ | 595,595 | | | $ | 711,598 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.39 | %3 | | | 0.39 | % | | | 0.52 | % | | | 0.43 | % | | | 0.40 | % | | | 0.41 | % | | |
After expense waivers and reimbursements | | | 0.39 | %3 | | | 0.39 | % | | | 0.50 | % | | | 0.40 | % | | | 0.39 | % | | | 0.39 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.07 | %3 | | | 3.20 | % | | | 4.52 | % | | | 6.19 | % | | | 5.39 | % | | | 4.96 | % | | |
Portfolio Turnover Rate | | | 35 | %4 | | | 87 | % | | | 36 | % | | | 38 | % | | | 95 | % | | | 80 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.39% and 0.39% respectively. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 105
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | |
| | | LOW DURATION BOND FUND ADMINISTRATIVE CLASS* | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | PERIOD ENDED MARCH 31, 2010 | |
| Net Asset Value, Beginning of Period | | $ | 11.18 | | | $ | 10.61 | | | $ | 10.00 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | |
Net investment income1 | | | 0.15 | | | | 0.31 | | | | 0.15 | |
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options | | | (0.27 | ) | | | 0.57 | | | | 0.64 | |
| | | | | | | | | | | | |
Total from Investment Operations | | | (0.12 | ) | | | 0.88 | | | | 0.79 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | (0.15 | ) | | | (0.31 | ) | | | (0.18 | ) |
| | | | | | | | | | | | |
Total Distributions | | | (0.15 | ) | | | (0.31 | ) | | | (0.18 | ) |
| | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 10.91 | | | $ | 11.18 | | | $ | 10.61 | |
| | | | | | | | | | | | |
| Total Return | | | (1.09 | )% | | | 8.41 | % | | | 7.91 | %2 |
| | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 1,083 | | | $ | 2,133 | | | $ | 1,029 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.78 | %4 | | | 0.78 | % | | | 0.91 | %4 |
After expense waivers and reimbursements | | | 0.78 | %4 | | | 0.78 | % | | | 0.89 | %4 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 2.73 | %4 | | | 2.78 | % | | | 2.72 | %4 |
Portfolio Turnover Rate | | | 35 | %2 | | | 87 | % | | | 36 | %2 |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year March 31, 2010 would have been 0.78% respectively. |
| * | The Low Duration Bond Fund Administrative Class Shares commenced operations on September 23, 2009. |
See accompanying notes to financial statements.
106 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS M | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | YEAR ENDED MARCH 31, 2010 | | | YEAR ENDED MARCH 31, 2009 | | | YEAR ENDED MARCH 31, 2008 | | | YEAR ENDED MARCH 31, 2007 | | | |
| Net Asset Value, Beginning of Period | | $ | 10.31 | | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.20 | | | | 0.44 | | | | 0.49 | | | | 0.52 | | | | 0.48 | | | | 0.48 | | | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.02 | | | | 0.50 | | | | 1.14 | | | | (0.93 | ) | | | 0.06 | | | | 0.15 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total from Investment Operations | | | 0.22 | | | | 0.94 | | | | 1.63 | | | | (0.41 | ) | | | 0.54 | | | | 0.63 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.20 | ) | | | (0.44 | ) | | | (0.49 | ) | | | (0.52 | ) | | | (0.51 | ) | | | (0.48 | ) | | |
From net capital gains | | | – | | | | (0.36 | ) | | | (0.01 | ) | | | (0.15 | ) | | | – | | | | – | | | |
From return of capital | | | – | | | | – | | | | (0.05 | ) | | | (0.00 | )2 | | | – | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | (0.20 | ) | | | (0.80 | ) | | | (0.55 | ) | | | (0.67 | ) | | | (0.51 | ) | | | (0.48 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Net Asset Value, End of Period | | $ | 10.33 | | | $ | 10.31 | | | $ | 10.17 | | | $ | 9.09 | | | $ | 10.17 | | | $ | 10.14 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| Total Return | | | 2.10 | % | | | 9.50 | % | | | 18.32 | % | | | (3.95 | )% | | | 5.48 | % | | | 6.47 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 92,147 | | | $ | 56,748 | | | $ | 44,805 | | | $ | 25,901 | | | $ | 15,231 | | | $ | 12,503 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.71 | %4 | | | 0.72 | % | | | 0.81 | % | | | 0.77 | % | | | 0.76 | % | | | 0.82 | % | | |
After expense waivers and reimbursements | | | 0.65 | %4 | | | 0.65 | % | | | 0.70 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.78 | %4 | | | 4.24 | % | | | 5.00 | % | | | 5.47 | % | | | 4.79 | % | | | 4.82 | % | | |
Portfolio Turnover Rate | | | 93 | %5 | | | 192 | % | | | 95 | % | | | 178 | % | | | 94 | % | | | 76 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.65%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 107
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS I | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | YEAR ENDED MARCH 31, 2010 | | | YEAR ENDED MARCH 31, 2009 | | | YEAR ENDED MARCH 31, 2008 | | | YEAR ENDED MARCH 31, 2007 | |
| Net Asset Value, Beginning of Period | | | $ 10.30 | | | | $ 10.17 | | | | $ 9.09 | | | | $ 10.17 | | | | $ 10.14 | | | | $ 9.99 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.21 | | | | 0.46 | | | | 0.51 | | | | 0.54 | | | | 0.50 | | | | 0.51 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.03 | | | | 0.50 | | | | 1.14 | | | | (0.93 | ) | | | 0.06 | | | | 0.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from Investment Operations | | | 0.24 | | | | 0.96 | | | | 1.65 | | | | (0.39 | ) | | | 0.56 | | | | 0.65 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.21 | ) | | | (0.47 | ) | | | (0.51 | ) | | | (0.54 | ) | | | (0.53 | ) | | | (0.50 | ) |
From net capital gains | | | – | | | | (0.36 | ) | | | (0.01 | ) | | | (0.15 | ) | | | – | | | | – | |
From return of capital | | | – | | | | – | | | | (0.05 | ) | | | (0.00 | )2 | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Distributions | | | (0.21 | ) | | | (0.83 | ) | | | (0.57 | ) | | | (0.69 | ) | | | (0.53 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Net Asset Value, End of Period | | | $ 10.33 | | | | $ 10.30 | | | | $ 10.17 | | | | $ 9.09 | | | | $ 10.17 | | | | $ 10.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Total Return | | | 2.30 | % | | | 9.62 | % | | | 18.57 | % | | | (3.75 | )% | | | 5.70 | % | | | 6.70 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $173,929 | | | | $144,364 | | | | $162,363 | | | | $140,274 | | | | $138,668 | | | | $94,791 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.50 | %4 | | | 0.51 | % | | | 0.60 | % | | | 0.56 | % | | | 0.55 | % | | | 0.61 | % |
After expense waivers and reimbursements | | | 0.44 | %4 | | | 0.44 | % | | | 0.49 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.00 | %4 | | | 4.45 | % | | | 5.25 | % | | | 5.62 | % | | | 4.97 | % | | | 5.03 | % |
Portfolio Turnover Rate | | | 93 | %5 | | | 192 | % | | | 95 | % | | | 178 | % | | | 94 | % | | | 76 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.44%. |
See accompanying notes to financial statements.
108 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS M | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2011 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | YEAR ENDED MARCH 31, 2010 | | | YEAR ENDED MARCH 31, 2009 | | | YEAR ENDED MARCH 31, 2008 | | | YEAR ENDED MARCH 31, 2007 | |
| Net Asset Value, Beginning of Period | | | $ 10.41 | | | | $ 10.16 | | | | $ 8.89 | | | | $ 9.82 | | | | $ 9.79 | | | | $ 9.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.24 | | | | 0.47 | | | | 0.57 | | | | 0.53 | | | | 0.48 | | | | 0.48 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.05 | | | | 0.42 | | | | 1.26 | | | | (0.74 | ) | | | 0.04 | | | | 0.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from Investment Operations | | | 0.29 | | | | 0.89 | | | | 1.83 | | | | (0.21 | ) | | | 0.52 | | | | 0.81 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.47 | ) | | �� | (0.56 | ) | | | (0.55 | ) | | | (0.49 | ) | | | (0.48 | ) |
From net capital gains | | | – | | | | (0.17 | ) | | | – | | | | (0.17 | ) | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Distributions | | | (0.23 | ) | | | (0.64 | ) | | | (0.56 | ) | | | (0.72 | ) | | | (0.49 | ) | | | (0.48 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Net Asset Value, End of Period | | | $ 10.47 | | | | $ 10.41 | | | | $ 10.16 | | | | $ 8.89 | | | | $ 9.82 | | | | $ 9.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Return | | | 2.82 | % | | | 8.86 | % | | | 21.16 | % | | | (2.10 | )% | | | 5.44 | % | | | 8.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $7,732,699 | | | | $6,999,143 | | | | $4,645,082 | | | | $3,275,319 | | | | $3,533,010 | | | | $1,206,825 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.61 | %3 | | | 0.63 | % | | | 0.72 | % | | | 0.65 | % | | | 0.66 | % | | | 0.66 | % |
After expense waivers and reimbursements | | | 0.61 | %3 | | | 0.63 | % | | | 0.72 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.45 | %3 | | | 4.47 | % | | | 5.88 | %�� | | | 5.74 | % | | | 4.89 | % | | | 5.01 | % |
Portfolio Turnover Rate | | | 103 | %4 | | | 228 | % | | | 141 | % | | | 220 | % | | | 124 | % | | | 101 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended for March 31, 2010 would have been 0.65%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 109
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
| Net Asset Value, Beginning of Period | | $ | 10.41 | | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.25 | | | | 0.49 | | | | 0.58 | | | | 0.55 | | | | 0.50 | | | | 0.50 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | 0.05 | | | | 0.42 | | | | 1.27 | | | | (0.75 | ) | | | 0.04 | | | | 0.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total from Investment Operations | | | 0.30 | | | | 0.91 | | | | 1.85 | | | | (0.20 | ) | | | 0.54 | | | | 0.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.24 | ) | | | (0.49 | ) | | | (0.58 | ) | | | (0.56 | ) | | | (0.51 | ) | | | (0.50 | ) |
From net capital gains | | | — | | | | (0.17 | ) | | | — | | | | (0.17 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total Distributions | | | (0.24 | ) | | | (0.66 | ) | | | (0.58 | ) | | | (0.73 | ) | | | (0.51 | ) | | | (0.50 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Net Asset Value, End of Period | | $ | 10.47 | | | $ | 10.41 | | | $ | 10.16 | | | $ | 8.89 | | | $ | 9.82 | | | $ | 9.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | 2.92 | % | | | 9.08 | % | | | 21.42 | % | | | (1.89 | )% | | | 5.65 | % | | | 9.03 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $8,125,815 | | | | $5,972,132 | | | | $3,784,988 | | | | $2,021,994 | | | | $2,227,359 | | | | $1,293,926 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.40 | %3 | | | 0.42 | % | | | 0.51 | % | | | 0.44 | % | | | 0.44 | % | | | 0.45 | % |
After expense waivers and reimbursements | | | 0.40 | %3 | | | 0.42 | % | | | 0.51 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.65 | %3 | | | 4.67 | % | | | 6.03 | % | | | 5.95 | % | | | 5.11 | % | | | 5.25 | % |
Portfolio Turnover Rate | | | 103 | %4 | | | 228 | % | | | 141 | % | | | 220 | % | | | 124 | % | | | 101 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.44%. |
See accompanying notes to financial statements.
110 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | PERIOD
ENDED
MARCH 31,
2010 | |
| Net Asset Value, Beginning of Period | | $ | 10.42 | | | $ | 10.17 | | | $ | 10.00 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Income from Investment Operations: | | | | | | | | | | | | |
Net investment income1 | | | 0.23 | | | | 0.44 | | | | 0.13 | |
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options | | | 0.04 | | | | 0.42 | | | | 0.17 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total from Investment Operations | | | 0.27 | | | | 0.86 | | | | 0.30 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.44 | ) | | | (0.13 | ) |
From net capital gains | | | — | | | | (0.17 | ) | | | — | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.61 | ) | | | (0.13 | ) |
| | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 10.47 | | | $ | 10.42 | | | $ | 10.17 | |
| | | | | | | | | | | | |
| Total Return | | | 2.61 | % | | | 8.63 | % | | | 3.05 | %2 |
| | | | | | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | �� | $6,764 | | | | $6,681 | | | | $1,194 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.81 | %4 | | | 0.83 | % | | | 0.92 | % |
After expense waivers and reimbursements | | | 0.81 | %4 | | | 0.83 | % | | | 0.92 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 4.25 | %4 | | | 4.16 | % | | | 4.66 | % |
Portfolio Turnover Rate | | | 103 | %2 | | | 228 | % | | | 141 | %2 |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.85%. |
| * | The Total Return Bond Fund Administrative Class Shares commenced operations on December 18, 2009. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 111
Metropolitan West Funds
Financial Highlights
| | | | |
| | | TOTAL RETURN
BOND FUND
PLAN CLASS* | |
| | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | |
| Net Asset Value, Beginning of Period | | $ | 10.00 | |
| | | | |
| | | | |
| Income from Investment Operations: | | | | |
Net investment income1 | | | 0.08 | |
Net realized and unrealized gain on investments, futures contracts, swap contracts and written options | | | (0.03 | ) |
| | | | |
Total from Investment Operations | | | 0.05 | |
| | | | |
| | | | |
| Less Distributions: | | | | |
From net investment income | | | (0.10 | ) |
From net capital gains | | | – | |
| | | | |
Total Distributions | | | (0.10 | ) |
| | | | |
| Net Asset Value, End of Period | | $ | 9.95 | |
| | | | |
| Total Return | | | 0.46 | % |
| | | | | |
| Ratios/Supplemental Data: | | | | |
Net Assets, end of period (in thousands) | | $ | – | |
Ratio of Expenses to Average Net Assets | | | | |
Before expense waivers and reimbursements | | | 0.39 | %2 |
After expense waivers and reimbursements | | | 0.39 | %2 |
Ratio of Net Investment Income to Average Net Assets | | | | |
After expense waivers and reimbursements | | | 4.47 | %2 |
Portfolio Turnover Rate | | | 103 | %3 |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011. |
See accompanying notes to financial statements.
112 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
| Net Asset Value, Beginning of Period | | $ | 10.94 | | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.89 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.41 | | | | 0.82 | | | | 0.92 | | | | 0.88 | | | | 0.86 | | | | 0.87 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (1.35 | ) | | | 0.59 | | | | 2.78 | | | | (2.08 | ) | | | (1.16 | ) | | | 0.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.94 | ) | | | 1.41 | | | | 3.70 | | | | (1.20 | ) | | | (0.30 | ) | | | 0.94 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.41 | ) | | | (0.82 | ) | | | (0.91 | ) | | | (0.87 | ) | | | (0.92 | ) | | | (0.86 | ) |
From net capital gains | | | – | | | | (0.05 | ) | | | (0.04 | ) | | | – | | | | – | | | | – | |
From return of capital | | | – | | | | – | | | | – | | | | – | | | | (0.04 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.41 | ) | | | (0.87 | ) | | | (0.95 | ) | | | (0.87 | ) | | | (0.96 | ) | | | (0.86 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid-in capital (Note 8) | | | – | | | | 0.00 | 2 | | | 0.00 | 2 | | | 0.01 | | | | 0.00 | 2 | | | 0.00 | 2 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 9.59 | | | $ | 10.94 | | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (8.65 | )% | | | 14.19 | % | | | 49.85 | % | | | (12.59 | )% | | | (3.13 | )% | | | 9.00 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 1,022,350 | | | $ | 1,351,022 | | | $ | 523,717 | | | $ | 60,702 | | | $ | 41,266 | | | $ | 38,022 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.83 | %4 | | | 0.85 | % | | | 0.88 | % | | | 0.99 | % | | | 0.98 | % | | | 1.05 | % |
After expense waivers and reimbursements | | | 0.80 | %4 | | | 0.80 | % | | | 0.81 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 7.56 | %4 | | | 7.73 | % | | | 9.29 | % | | | 10.24 | % | | | 8.15 | % | | | 8.01 | % |
Portfolio Turnover Rate | | | 33 | %5 | | | 34 | % | | | 40 | % | | | 107 | % | | | 120 | % | | | 97 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.80%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 113
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
| Net Asset Value, Beginning of Period | | $ | 10.94 | | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.42 | | | | 0.85 | | | | 0.95 | | | | 0.91 | | | | 0.88 | | | | 0.90 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (1.35 | ) | | | 0.59 | | | | 2.77 | | | | (2.09 | ) | | | (1.16 | ) | | | 0.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.93 | ) | | | 1.44 | | | | 3.72 | | | | (1.18 | ) | | | (0.28 | ) | | | 0.96 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.42 | ) | | | (0.85 | ) | | | (0.93 | ) | | | (0.89 | ) | | | (0.91 | ) | | | (0.89 | ) |
From net capital gains | | | – | | | | (0.05 | ) | | | (0.04 | ) | | | – | | | | – | | | | – | |
From return of capital | | | – | | | | – | | | | – | | | | – | | | | (0.07 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.42 | ) | | | (0.90 | ) | | | (0.97 | ) | | | (0.89 | ) | | | (0.98 | ) | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid-in capital (Note 8) | | | 0.00 | | | | 0.00 | 2 | | | 0.00 | 2 | | | 0.01 | | | | 0.00 | 2 | | | 0.00 | 2 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 9.59 | | | $ | 10.94 | | | $ | 10.40 | | | $ | 7.65 | | | $ | 9.71 | | | $ | 10.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (8.75 | )% | | | 14.48 | % | | | 50.22 | % | | | (12.37 | )% | | | (2.88 | )% | | | 9.18 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 680,362 | | | $ | 765,086 | | | $ | 252,022 | | | $ | 106,895 | | | $ | 63,589 | | | $ | 50,776 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.58 | %4 | | | 0.60 | % | | | 0.63 | % | | | 0.73 | % | | | 0.73 | % | | | 0.81 | % |
After expense waivers and reimbursements | | | 0.55 | %4 | | | 0.55 | % | | | 0.56 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 7.84 | %4 | | | 7.99 | % | | | 9.82 | % | | | 10.88 | % | | | 8.40 | % | | | 8.31 | % |
Portfolio Turnover Rate | | | 33 | %5 | | | 34 | % | | | 40 | % | | | 107 | % | | | 120 | % | | | 97 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.55%. |
See accompanying notes to financial statements.
114 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
Net Asset Value, Beginning of Period | | $ | 8.21 | | | $ | 7.45 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.09 | | | $ | 11.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.21 | | | | 0.40 | | | | 0.58 | | | | 0.89 | | | | 0.79 | | | | 0.59 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.40 | ) | | | 0.78 | | | | 1.91 | | | | (2.98 | ) | | | (2.21 | ) | | | 0.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.19 | ) | | | 1.18 | | | | 2.49 | | | | (2.09 | ) | | | (1.42 | ) | | | 0.60 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.22 | ) | | | (0.42 | ) | | | (0.73 | ) | | | (1.07 | ) | | | (0.82 | ) | | | (0.58 | ) |
From net capital gains | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.22 | ) | | | (0.42 | ) | | | (0.73 | ) | | | (1.07 | ) | | | (0.82 | ) | | | (0.58 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 7.80 | | | $ | 8.21 | | | $ | 7.45 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.09 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (2.37 | )% | | | 16.21 | % | | | 46.49 | % | | | (25.33 | )% | | | (13.44 | )% | | | 5.57 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 19,611 | | | $ | 88,162 | | | $ | 47,906 | | | $ | 8,020 | | | $ | 43,785 | | | $ | 99,001 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 2.26 | %3 | | | 2.22 | % | | | 2.01 | % | | | 0.79 | % | | | 1.61 | % | | | 1.70 | % |
After expense waivers and reimbursements | | | 2.26 | %3 | | | 2.22 | % | | | 2.01 | % | | | 0.79 | % | | | 1.61 | % | | | 1.70 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.13 | %3 | | | 5.10 | % | | | 8.41 | % | | | 11.19 | % | | | 7.49 | % | | | 5.35 | % |
Portfolio Turnover Rate | | | 41 | %4 | | | 93 | % | | | 208 | % | | | 294 | % | | | 74 | % | | | 27 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense for the 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 fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.63%, 0.60% and 1.06%, respectively. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 115
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
| Net Asset Value, Beginning of Period | | $ | 8.21 | | | $ | 7.44 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.08 | | | $ | 11.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.23 | | | | 0.43 | | | | 0.71 | | | | 0.95 | | | | 0.85 | | | | 0.60 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.42 | ) | | | 0.78 | | | | 1.79 | | | | (3.02 | ) | | | (2.23 | ) | | | 0.02 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.19 | ) | | | 1.21 | | | | 2.50 | | | | (2.07 | ) | | | (1.38 | ) | | | 0.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.23 | ) | | | (0.44 | ) | | | (0.75 | ) | | | (1.09 | ) | | | (0.85 | ) | | | (0.61 | ) |
From net capital gains | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.23 | ) | | | (0.44 | ) | | | (0.75 | ) | | | (1.09 | ) | | | (0.85 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 7.79 | | | $ | 8.21 | | | $ | 7.44 | | | $ | 5.69 | | | $ | 8.85 | | | $ | 11.08 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (2.37 | )% | | | 16.66 | % | | | 46.65 | % | | | (25.14 | )% | | | (13.22 | )% | | | 5.73 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 160,203 | | | $ | 180,409 | | | $ | 167,570 | | | $ | 119,302 | | | $ | 271,639 | | | $ | 369,484 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 2.01 | %3 | | | 1.97 | % | | | 1.76 | % | | | 0.51 | % | | | 1.34 | % | | | 1.63 | % |
After expense waivers and reimbursements | | | 2.01 | %3 | | | 1.97 | % | | | 1.76 | % | | | 0.51 | % | | | 1.34 | % | | | 1.63 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.69 | %3 | | | 5.41 | % | | | 10.56 | % | | | 12.39 | % | | | 8.13 | % | | | 5.44 | % |
Portfolio Turnover Rate | | | 41 | %4 | | | 93 | % | | | 208 | % | | | 294 | % | | | 74 | % | | | 27 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense for the 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 fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.38%, 0.32% and 0.78%, respectively. |
See accompanying notes to financial statements.
116 / Semi-Annual Report September 2011
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2011 | | | YEAR
ENDED
MARCH 31,
2010 | | | YEAR
ENDED
MARCH 31,
2009 | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | |
Net Asset Value, Beginning of Period | | $ | 4.48 | | | $ | 3.79 | | | $ | 2.96 | | | $ | 6.71 | | | $ | 8.56 | | | $ | 8.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.07 | | | | 0.12 | | | | 0.15 | | | | 0.29 | | | | 0.48 | | | | 0.42 | |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.75 | ) | | | 0.84 | | | | 2.45 | | | | (4.01 | ) | | | (1.56 | ) | | | 0.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.68 | ) | | | 0.96 | | | | 2.60 | | | | (3.72 | ) | | | (1.08 | ) | | | 1.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.17 | ) | | | (0.27 | ) | | | (1.55 | ) | | | – | | | | (0.45 | ) | | | (0.61 | ) |
From net capital gains | | | – | | | | – | | | | (0.22 | ) | | | – | | | | (0.23 | ) | | | – | |
From return of capital | | | – | | | | – | | | | – | | | | (0.03 | ) | | | (0.09 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.17 | ) | | | (0.27 | ) | | | (1.77 | ) | | | (0.03 | ) | | | (0.77 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Net Asset Value, End of Period | | $ | 3.63 | | | $ | 4.48 | | | $ | 3.79 | | | $ | 2.96 | | | $ | 6.71 | | | $ | 8.56 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | (15.83 | )% | | | 26.31 | % | | | 96.57 | % | | | (55.65 | )% | | | (14.03 | )% | | | 12.85 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $8,921 | | | | $9,780 | | | | $11,039 | | | | $59,334 | | | | $157,644 | | | | $183,696 | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 1.79 | %3 | | | 1.88 | % | | | 1.30 | % | | | 0.24 | % | | | 0.13 | % | | | 0.73 | % |
After expense waivers and reimbursements | | | 0.90 | %3 | | | 0.90 | % | | | 1.21 | % | | | 0.22 | % | | | 0.13 | % | | | 0.73 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 3.10 | %3 | | | 3.14 | % | | | 3.84 | % | | | 5.57 | % | | | 5.74 | % | | | 5.01 | % |
Portfolio Turnover Rate | | | 16 | %4 | | | 71 | % | | | 24 | % | | | 145 | % | | | 89 | % | | | 106 | % |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2011 and for the fiscal year ended March 31, 2011. The Fund incurred interest expense 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 fiscal year ended March 31, 2010 would have been 0.90%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2011 / 117
Notes to Financial Statements (Unaudited)
September 30, 2011
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, as amended (the “1940 Act”). 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 Low Duration Bond Fund commenced investment operations on March 31, 1997 with the M Class shares. I Class was added on March 31, 2000, and the Administrative Class was added on September 22, 2009. The Total Return Bond Fund also commenced operations on March 31, 1997 with the M Class shares. I Class was added on March 31, 2000; Administrative Class followed on December 18, 2009 and the new Plan Class launched on August 1, 2011. 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 High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 31, 2004.
The Ultra Short 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 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 diversified portfolio of high-yield, 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 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 AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “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 Prospectuses and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.
118 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Funds:
Net Asset Value:
The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.
Security Valuation:
Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). 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. 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.
Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported net asset value of such investments.
Securities and Derivatives 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, including original issue discount, 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. TheAlphaTrak 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.
Semi-Annual Report September 2011 / 119
Notes to Financial Statements (Unaudited) (Continued)
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’ 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, 2011, 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.
Recent Accounting Pronouncements:
On December 22, 2010, The U.S. government passed the Regulated Investment Company ModernizationAct of 2010 (the “Modernization Act”). The Modernization Act is the first major piece of legislation affecting Regulated Investment Companies (“RICs”) since 1986 and it modernizes several of the federal income and excise tax provisions related to RICs. One of the provisions allows a RIC to carry forward capital losses indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. Except for the simplification provisions related to RIC qualification, the Modernization Act is effective for taxable years beginning after December 22, 2010. The provisions related to RIC qualification are effective for taxable years for which the extended due date of the tax return is after December 22, 2010.
Cash and cash equivalents:
The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts and do not believe they are exposed to any significant credit risk on such bank deposits.
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.
Money Market Funds. Money Market Funds are open-ended mutual fund that invest in short-term debt securities To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.
120 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
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.
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 that 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; otherwise they would be categorized as Level 2 or 3 depending on observability.
Options Contracts. Exchange listed options contracts that 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.
Semi-Annual Report September 2011 / 121
Notes to Financial Statements (Unaudited) (Continued)
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, 2011, Level 3 securities consist of certain collateralized mortgage obligations, preferred stock and corporate bonds.
The summary of inputs used to value each Fund’s net assets as of September 30, 2011 is as follows:
| | | | | | | | | | | | | | | | |
| ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 3,116,000 | | | $ | 999,906 | | | $ | – | | | $ | 4,115,906 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 2,267,955 | | | | – | | | | 2,267,955 | |
Bank Loans | | | – | | | | 603,704 | | | | – | | | | 603,704 | |
Corporates | | | – | | | | 12,965,308 | | | | – | | | | 12,965,308 | |
Mortgage-Backed | | | – | | | | 70,219,315 | | | | – | | | | 70,219,315 | |
Municipal Bonds | | | – | | | | 912,786 | | | | – | | | | 912,786 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | (1,521,434 | ) | | | – | | | | (1,521,434 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 3,116,000 | | | $ | 86,447,540 | | | $ | – | | | $ | 89,563,540 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
| LOW DURATION BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 35,774,000 | | | $ | 1,274,842 | | | $ | – | | | $ | 37,048,842 | |
Long-Term Investments: | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | 100,069,831 | | | | – | | | | 100,069,831 | |
Bank Loans | | | – | | | | 12,139,315 | | | | – | | | | 12,139,315 | |
Corporates | | | – | | | | 541,149,433 | | | | 780,300 | | | | 541,929,733 | |
Mortgage-Backed | | | – | | | | 1,052,168,246 | | | | 90 | | | | 1,052,168,336 | |
Municipal Bonds | | | – | | | | 21,684,620 | | | | – | | | | 21,684,620 | |
U.S. Treasury Securities | | | | | | | 50,072,722 | | | | | | | | 50,072,722 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | 200,261 | | | | – | | | | 200,261 | |
Liabilities: | | | | | | | | | | | | | | | | |
Interest rate contracts | | | – | | | | (48,384 | ) | | | – | | | | (48,384 | ) |
Credit contracts | | | – | | | | (10,154,855 | ) | | | – | | | | (10,154,855 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | 35,774,000 | | | $ | 1,768,556,031 | | | $ | 780,390 | | | $ | 1,805,110,421 | |
| | | | | | | | | | | | | | | | |
122 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| INTERMEDIATE BOND FUND | | LEVEL 1 | | | | | LEVEL 2 | | | | | LEVEL 3 | | | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 6,524,000 | | | | | $ | 7,656,129 | | | | | $ | – | | | | | $ | 14,180,129 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | | | 16,965,118 | | | | | | – | | | | | | 16,965,118 | |
Bank Loans | | | – | | | | | | 428,892 | | | | | | – | | | | | | 428,892 | |
Corporates | | | – | | | | | | 62,315,836 | | | | | | – | | | | | | 62,315,836 | |
Mortgage-Backed | | | – | | | | | | 147,721,824 | | | | | | – | | | | | | 147,721,824 | |
Municipal Bonds | | | – | | | | | | 2,856,752 | | | | | | – | | | | | | 2,856,752 | |
U.S. Agency Securities | | | – | | | | | | 14,283,368 | | | | | | – | | | | | | 14,283,368 | |
U.S. Treasury Securities | | | – | | | | | | 22,841,545 | | | | | | – | | | | | | 22,841,545 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | 12,980 | | | | | | – | | | | | | – | | | | | | 12,980 | |
Credit contracts | | | – | | | | | | 538,942 | | | | | | – | | | | | | 538,942 | |
| Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (45,065 | ) | | | | | (5,712 | ) | | | | | – | | | | | | (50,777 | ) |
Credit contracts | | | – | | | | | | (1,704,348 | ) | | | | | – | | | | | | (1,704,348 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 6,491,915 | | | | | $ | 273,898,346 | | | | | $ | – | �� | | | | $ | 280,390,261 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| TOTAL RETURN BOND FUND | | LEVEL 1 | | | | | LEVEL 2 | | | | | LEVEL 3 | | | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 329,801,000 | | | | | $ | 512,980,345 | | | | | $ | – | | | | | $ | 842,781,345 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | | | 889,636,935 | | | | | | 17,759 | | | | | | 889,654,694 | |
Bank Loans | | | – | | | | | | 78,480,878 | | | | | | – | | | | | | 78,480,878 | |
Corporates | | | – | | | | | | 3,973,944,103 | | | | | | 1,139,000 | | | | | | 3,975,083,103 | |
Mortgage-Backed | | | – | | | | | | 9,249,718,957 | | | | | | 223 | | | | | | 9,249,719,180 | |
Municipal Bonds | | | – | | | | | | 221,299,214 | | | | | | – | | | | | | 221,299,214 | |
U.S. Agency Securities | | | – | | | | | | 228,887,145 | | | | | | – | | | | | | 228,887,145 | |
U.S. Treasury Securities | | | – | | | | | | 1,648,052,775 | | | | | | – | | | | | | 1,648,052,775 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | | | 33,762,628 | | | | | | – | | | | | | 33,762,628 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
| Interest rate contracts | | | (653,743 | ) | | | | | (17,798,079 | ) | | | | | – | | | | | | (18,451,822 | ) |
Credit contracts | | | – | | | | | | (104,127,073 | ) | | | | | – | | | | | | (104,127,073 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 329,147,257 | | | | | $ | 16,714,837,828 | | | | | $ | 1,156,982 | | | | | $ | 17,045,142,067 | |
| | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2011 / 123
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| HIGH YIELD BOND FUND | | LEVEL 1 | | | | | LEVEL 2 | | | | | LEVEL 3 | | | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 40,877,000 | | | | | $ | 44,182,040 | | | | | $ | – | | | | | $ | 85,059,040 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | – | | | | | | 147,621,477 | | | | | | – | | | | | | 147,621,477 | |
Corporates | | | – | | | | | | 1,386,672,020 | | | | | | – | | | | | | 1,386,672,020 | |
Mortgage-Backed | | | – | | | | | | 8,967,128 | | | | | | 29 | | | | | | 8,967,157 | |
Municipal Bonds | | | – | | | | | | 1,303,511 | | | | | | – | | | | | | 1,303,511 | |
Preferred Stock | | | – | | | | | | 12,705,851 | | | | | | – | | | | | | 12,705,851 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | | | 66,755 | | | | | | – | | | | | | 66,755 | |
| Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (5,305,487 | ) | | | | | – | | | | | | – | | | | | | (5,305,487 | ) |
Credit contracts | | | – | | | | | | (7,264,365 | ) | | | | | – | | | | | | (7,264,365 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 35,571,513 | | | | | $ | 1,594,254,417 | | | | | $ | 29 | | | | | $ | 1,629,825,959 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| STRATEGIC INCOME FUND | | LEVEL 1 | | | | | LEVEL 2 | | | | | LEVEL 3 | | | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 741,000 | | | | | $ | 15,000 | | | | | $ | – | | | | | $ | 756,000 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | | | 29,181,954 | | | | | | 8,457 | | | | | | 29,190,411 | |
Bank Loans | | | – | | | | | | 3,808,568 | | | | | | – | | | | | | 3,808,568 | |
Corporates | | | – | | | | | | 44,172,042 | | | | | | – | | | | | | 44,172,042 | |
Mortgage-Backed | | | – | | | | | | 100,914,584 | | | | | | 3 | | | | | | 100,914,587 | |
Municipal Bonds | | | – | | | | | | 257,940 | | | | | | – | | | | | | 257,940 | |
Preferred Stock | | | – | | | | | | 3,663,053 | | | | | | 1 | | | | | | 3,663,054 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | | | 29,170 | | | | | | – | | | | | | 29,170 | |
| Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | (162,715 | ) | | | | | – | | | | | | – | | | | | | (162,715 | ) |
Credit contracts | | | – | | | | | | (125,205 | ) | | | | | – | | | | | | (125,205 | ) |
Equity contracts | | | – | | | | | | (14,999 | ) | | | | | – | | | | | | (14,999 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 578,285 | | | | | $ | 181,902,107 | | | | | $ | 8,461 | | | | | $ | 182,488,853 | |
| | | | | | | | | | | | | | | | | | | | | | |
124 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| ALPHATRAK 500 FUND | | LEVEL 1 | | | | | LEVEL 2 | | | | | LEVEL 3 | | | | | TOTAL | |
| Investments in Securities | | | | | | | | | | | | | | | | | | | | | | |
| Assets | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | 166,000 | | | | | $ | 829,986 | | | | | $ | – | | | | | $ | 995,986 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | – | | | | | | 179,215 | | | | | | – | | | | | | 179,215 | |
Corporates | | | – | | | | | | 2,251,942 | | | | | | 57,800 | | | | | | 2,309,742 | |
Mortgage-Backed | | | – | | | | | | 4,604,166 | | | | | | – | | | | | | 4,604,166 | |
Municipal Bonds | | | – | | | | | | 119,943 | | | | | | – | | | | | | 119,943 | |
U.S. Agency Securities | | | – | | | | | | 194,990 | | | | | | – | | | | | | 194,990 | |
| Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | – | | | | | | 8,975 | | | | | | – | | | | | | 8,975 | |
| Liabilities: | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | | (473,568 | ) | | | | | – | | | | | | – | | | | | | (473,568 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | (307,568 | ) | | | | $ | 8,189,217 | | | | | $ | 57,800 | | | | | $ | 7,939,449 | |
| | | | | | | | | | | | | | | | | | | | | | |
* Other financial instruments include swap contracts, futures and options.
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value on a recurring basis. The Fund’s policy is to recognize transfers in and transfers out as of the end of the period:
| | | | | | | | | | |
LOW DURATION BOND FUND | | CORPORATES | | | MORTGAGE-BACKED
SECURITIES | | | |
| | | |
| Balance as of April 1, 2011 | | $ | 1,200,000 | | | $ | 8,986 | | | |
Accrued discounts/premiums | | | 71 | | | | 2 | | | |
Realized (loss) | | | (356,025 | ) | | | (11,612 | ) | | |
Change in unrealized appreciation** | | | 285,229 | | | | 5,627 | | | |
Sales | | | (348,975 | ) | | | (2,913 | ) | | |
| | | | | | | | | | |
| Balance as of September 30, 2011 | | $ | 780,300 | | | $ | 90 | | | |
| | | | | | | | | | |
| ** | The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $290,856. Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations. |
| | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED
SECURITIES | | | CORPORATES | | | MORTGAGE-BACKED
SECURITIES | | | |
| | | | |
| Balance as of April 1, 2011 | | $ | – | | | $ | 2,040,000 | | | $ | 3,747 | | | |
Accrued discounts/premiums | | | – | | | | 3,715 | | | | – | | | |
Realized (loss) | | | – | | | | (797,153 | ) | | | (2,903 | ) | | |
Change in unrealized appreciation/(depreciation)** | | | (870,205 | ) | | | 758,688 | | | | 107 | | | |
Sales | | | – | | | | (866,250 | ) | | | (728 | ) | | |
Transfers into Level 3 | | | 887,964 | | | | – | | | | – | | | |
| | | | | | | | | | | | | | |
| | | | |
| Balance as of September 30, 2011 | | $ | 17,759 | | | $ | 1,139,000 | | | $ | 223 | | | |
| | | | | | | | | | | | | | |
| ** | The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $(112,963). Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations. |
Semi-Annual Report September 2011 / 125
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | |
HIGH YIELD BOND FUND | | MORTGAGE-BACKED
SECURITIES | | | |
| | |
| Balance as of April 1, 2011 | | $ | 217 | | | |
Change in unrealized (depreciation)** | | | (188 | ) | | |
| | | | | | |
| | |
| Balance as of September 30, 2011 | | $ | 29 | | | |
| | | | | | |
** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $(188). Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.
| | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED
SECURITIES | | | MORTGAGE-BACKED
SECURITIES | | | PREFERRED
STOCK
SECURITIES | | | |
| | | | |
| Balance as of April 1, 2011 | | $ | – | | | $ | 43 | | | $ | 1 | | | |
Change in unrealized (depreciation)** | | | (414,383 | ) | | | (40 | ) | | | – | | | |
Transfers into Level 3 | | | 422,840 | | | | – | | | | – | | | |
| | | | | | | | | | | | | | |
| | | | |
| Balance as of September 30, 2011 | | $ | 8,457 | | | $ | 3 | | | $ | 1 | | | |
| | | | | | | | | | | | | | |
** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $(40). Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.
| | | | | | |
ALPHATRAK 500 FUND | | CORPORATES | | | |
| | |
Balance as of April 1, 2011 | | $ | 120,000 | | | |
Realized (loss) | | | (65,650 | ) | | |
Change in unrealized appreciation** | | | 67,800 | | | |
Sales | | | (64,350 | ) | | |
| | | | | | |
| | |
Balance as of September 30, 2011 | | $ | 57,800 | | | |
| | | | | | |
** The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2011 was $67,800. Included in the related realized gains/(losses) and net change in appreciation/(depreciation) on the Statements of Operations.
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” in U.S. GAAP and International Financial Reporting Standards (“IFRSs”). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04 and its impact on the financial statements.
For the six months ended September 30, 2011, none of the portfolios had significant transfers between Level 1 and Level 2.
126 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
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, 2011:
| | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
| DERIVATIVE TYPE | | ASSET DERIVATIVES | | LIABILITY DERIVATIVES |
Interest rate contracts | | Unrealized appreciation on | | Unrealized depreciation on swap |
| | swap contracts | | contracts |
| | Premiums paid for swap | | Premiums received on swap |
| | contracts | | contracts |
Credit contracts | | Unrealized appreciation on | | Unrealized depreciation on swap |
| | swap contracts | | contracts |
| | Premiums paid for swap | | Premiums received for swap |
| | contracts | | contracts |
Equity contracts | | Unrealized appreciation on | | Unrealized depreciation on swap |
| | swap contracts | | contracts |
| | Premiums paid for swap | | Premiums received for swap |
| | contracts | | contracts |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2011:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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 | | $ | 85 | | | $ | 125,226 | | | $ | 98,794 | | | $ | 8,847,427 | | | $ | 41,279 | | | $ | 18,038 | | | $ | 5,550 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | | – | | | | – | | | | 12,980 | | | | – | | | | – | | | | – | | | | – | |
Swaps | | | – | | | | 67,536 | | | | 7,973 | | | | 428,532 | | | | – | | | | – | | | | – | |
| * | Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 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 | | $ | 158,731 | | | $ | 543,399 | | | $ | 736,326 | | | $ | 23,159,675 | | | $ | 5,041,950 | | | $ | 29,647 | | | $ | – | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures* | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | 250,186 | |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | 14,999 | | | | 223,382 | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures * | | | – | | | | – | | | | 45,065 | | | | 653,743 | | | | 5,305,487 | | | | 162,715 | | | | – | |
Swaps | | | – | | | | – | | | | – | | | | 17,491,071 | | | | – | | | | – | | | | – | |
| * | Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
Semi-Annual Report September 2011 / 127
Notes to Financial Statements (Unaudited) (Continued)
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, 2011:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) 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 | | $ | 31,886 | | | $ | 528,212 | | | $ | (499,437 | ) | | $ | (7,615,929 | ) | | $ | 1,014,571 | | | $ | 107,714 | | | $ | (8,103 | ) |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (616,090 | ) |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (253,747 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | �� | | – | | | | – | | | | 258,737 | | | | (29,874,081 | ) | | | (9,906,869 | ) | | | (154,557 | ) | | | – | |
Options written | | | – | | | | – | | | | 67,784 | | | | 4,930,365 | | | | 2,531,745 | | | | – | | | | – | |
Swaps | | | 21,031 | | | | 365,608 | | | | 41,974 | | | | (19,077,974 | ) | | | 426,550 | | | | 22,575 | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 52,917 | | | $ | 893,820 | | | $ | (130,942 | ) | | $ | (51,637,619 | ) | | $ | (5,934,003 | ) | | $ | (24,268 | ) | | $ | (877,940 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | $ | (320,427 | ) | | $ | (2,178,151 | ) | | $ | 731,544 | | | $ | 15,156,198 | | | $ | (5,039,925 | ) | | $ | (43,246 | ) | | $ | 12,878 | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | | | | (333,108 | ) |
Swaps | | | – | | | | – | | | | – | | | | – | | | | – | | | | (26,915 | ) | | | (224,752 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | – | | | | – | | | | 28,578 | | | | (1,540,161 | ) | | | (5,305,487 | ) | | | 131,560 | | | | – | |
Swaps | | | – | | | | 16,128 | | | | 1,904 | | | | (6,660,541 | ) | | | – | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | (320,427 | ) | | $ | (2,162,023 | ) | | $ | 762,026 | | | $ | 6,955,496 | | | $ | (10,345,412 | ) | | $ | 61,399 | | | $ | (544,982 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | | – | | | | – | | | | 24 | | | | 823 | | | | – | | | | – | | | | 23 | |
| | Average number of contracts sold | | | – | | | | – | | | | 10 | | | | 223 | | | | 209 | | | | 39 | | | | – | |
| | Average value of contracts purchased | | | $ – | | | | $ – | | | | $ 9,610 | | | | $ 307,261 | | | | $ – | | | | $ – | | | | $192,527 | |
| | Average value of contracts sold | | | $ – | | | | $ – | | | | $64,836 | | | | $ 472,344 | | | | $1,326,372 | | | | $262,142 | | | | $ – | |
| | Options purchased: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Average number of contracts | | | – | | | | – | | | | – | | | | – | | | | 359 | | | | – | | | | – | |
| | Average notional value | | | $ – | | | | $ – | | | | $ – | | | | $ – | | | | $ 424,922 | | | | $ – | | | | $ – | |
| | | | | | | | |
| | Options written: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Average number of contracts | | | – | | | | – | | | | 29 | | | | 1,875 | | | | 718 | | | | 15 | | | | – | |
| | Average notional value | | | $ – | | | | $ – | | | | $29,001 | | | | $1,891,957 | | | | $ 653,776 | | | | $ 15,671 | | | | $ – | |
128 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (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 | |
| Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | – | | | | 10 | | | | 16 | | | | 28 | | | | 6 | | | | 8 | | | | 4 | |
Average number of contracts - sale protection | | | 2 | | | | 4 | | | | 3 | | | | 9 | | | | 3 | | | | – | | | | – | |
Average notional value-buy protection | | | $ – | | | | $21,295,000 | | | | $5,313,750 | | | | $210,586,250 | | | | $ 1,907,500 | | | | $5,275,000 | | | | $201,250 | |
Average notional value-sell protection | | | $2,829,500 | | | | $22,775,000 | | | | $3,152,000 | | | | $199,930,750 | | | | $26,250,000 | | | | $ 428,750 | | | | $ 50,000 | |
| Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | 1 | | | | 1 | | | | 1 | | | | 5 | | | | 1 | | | | 1 | | | | – | |
Average notional value-pays fixed rate | | | $ 991,250 | | | | $17,192,500 | | | | $1,972,500 | | | | $182,848,250 | | | | $20,058,750 | | | | $2,243,750 | | | | $ – | |
| Rate floor inflation swaptions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | – | | | | 1 | | | | 1 | | | | 1 | | | | – | | | | – | | | | – | |
Average notional value | | | $ – | | | | $10,080,000 | | | | $1,190,000 | | | | $ 63,960,000 | | | | $ – | | | | $ – | | | | $ – | |
| Total return swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | – | | | | – | | | | – | | | | – | | | | – | | | | 1 | | | | 2 | |
Average notional value | | | $ – | | | | $ – | | | | $ – | | | | $ – | | | | $ – | | | | $ 750,000 | | | | $ 4,000 | |
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.
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
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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, 2011, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At September 30, 2011, 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
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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, 2011.
Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
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).
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
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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 aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2011 for which a portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.
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, 2011, the Low Duration Bond Fund, the Intermediate Bond Fund, and the Total Return Bond Fund held 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
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Notes to Financial Statements (Unaudited) (Continued)
the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in 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, 2011, 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
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Notes to Financial Statements (Unaudited) (Continued)
shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance 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, 2011, the market value exposure of these positions was as follows:
| | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | % OF TOTAL NET ASSETS BY CREDIT QUALITY (UNAUDITED) |
| | | | | | |
| PORTFOLIO | | MARKETVALUE | | | AAA | | AA | | A | | BBB | | BIG* |
Ultra Short Bond Fund | | | | | | | | | | | | | | |
Alt-A | | | $ 13,024,421 | | | 5.62% | | 0.00% | | 0.76% | | 1.39% | | 6.38% |
Sub Prime | | | 9,361,193 | | | 2.05% | | 0.74% | | 0.67% | | 0.04% | | 6.66% |
Low Duration Bond Fund | | | | | | | | | | | | | | |
Alt-A | | | 184,035,121 | | | 2.81% | | 0.25% | | 0.67% | | 0.61% | | 6.18% |
Sub Prime | | | 182,899,147 | | | 2.87% | | 2.06% | | 0.34% | | 0.21% | | 4.98% |
Intermediate Bond Fund | | | | | | | | | | | | | | |
Alt-A | | | 14,815,050 | | | 1.18% | | 0.00% | | 0.08% | | 0.00% | | 4.31% |
Sub Prime | | | 23,246,789 | | | 2.92% | | 2.31% | | 0.80% | | 0.31% | | 2.40% |
Total Return Bond Fund | | | | | | | | | | | | | | |
Alt-A | | | 1,154,299,221 | | | 0.50% | | 0.11% | | 0.38% | | 0.04% | | 6.24% |
Sub Prime | | | 1,321,201,926 | | | 1.40% | | 0.66% | | 0.19% | | 0.33% | | 5.73% |
High Yield Bond Fund | | | | | | | | | | | | | | |
Alt-A | | | — | | | 0.00% | | 0.00% | | 0.00% | | 0.00% | | 0.00% |
Sub Prime | | | 8,937,002 | | | 0.00% | | 0.02% | | 0.00% | | 0.00% | | 0.50% |
Strategic Income Fund | | | | | | | | | | | | | | |
Alt-A | | | 22,913,563 | | | 0.01% | | 0.00% | | 1.35% | | 0.29% | | 11.09% |
Sub Prime | | | 28,319,541 | | | 0.42% | | 0.75% | | 3.20% | | 0.74% | | 10.64% |
AlphaTrak 500 Fund | | | | | | | | | | | | | | |
Alt-A | | | 1,124,442 | | | 5.56% | | 0.76% | | 1.22% | | 1.34% | | 4.67% |
Sub Prime | | | 980,007 | | | 5.57% | | 3.43% | | 0.01% | | 0.00% | | 2.81% |
* Below Investment Grade | | | | |
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Notes to Financial Statements (Unaudited) (Continued)
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the six months ended September 30, 2011 excluding U.S. Government and short-term investments, were as follows:
| | | | | | | | |
| PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | $ | 23,707,116 | | | $ | 23,220,838 | |
Low Duration Bond Fund | | | 711,919,839 | | | | 661,310,218 | |
Intermediate Bond Fund | | | 281,143,868 | | | | 214,246,602 | |
Total Return Bond Fund | | | 18,013,672,339 | | | | 15,145,001,078 | |
High Yield Bond Fund | | | 621,305,220 | | | | 741,644,050 | |
Strategic Income Fund | | | 94,515,863 | | | | 160,422,912 | |
AlphaTrak 500 Fund | | | 1,592,421 | | | | 1,307,440 | |
Investment transactions in U.S. Government securities for the six months ended September 30, 2011 were as follows: | |
| PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | $ | 1,258,817 | | | $ | 2,448,806 | |
Low Duration Bond Fund | | | 50,261,153 | | | | 11,076,306 | |
Intermediate Bond Fund | | | 69,341,233 | | | | 58,647,328 | |
Total Return Bond Fund | | | 5,767,215,542 | | | | 6,390,994,026 | |
High Yield Bond Fund | | | – | | | | – | |
Strategic Income Fund | | | – | | | | 2,933,588 | |
AlphaTrak 500 Fund | | | – | | | | – | |
Transactions in options contracts written for the six months ended September 30, 2011 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | | TOTAL RETURN BOND FUND | | | HIGH YIELD BOND FUND | |
| | | | | | | | | | | | |
| | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | |
Outstanding at March 31, 2011 | | | 40 | | | $ | 39,054 | | | | 2,430 | | | $ | 2,393,008 | | | | 1,150 | | | $ | 875,629 | |
Option written during period | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Option exercised during period | | | – | | | | – | | | | – | | | | – | | | | – | | | | – | |
Options expired during period | | | (25 | ) | | | (23,696 | ) | | | (1,590 | ) | | | (1,534,050 | ) | | | – | | | | – | |
Options closed during period | | | (15 | ) | | | (15,358 | ) | | | (840 | ) | | | (858,958 | ) | | | (1,150 | ) | | | (875,629 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Outstanding at September 30, 2011 | | | – | | | $ | – | | | | – | | | $ | – | | | | – | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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 $14,363 total management fees for the period ended September 30, 2011. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period), 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 0.01% resulting in $2,216,545 of total management fees for the period ended September 30, 2011.
Semi-Annual Report September 2011 / 135
Notes to Financial Statements (Unaudited) (Continued)
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 contractual expense limitations for the period ended September 30, 2011, were as follows:
| | | | | | | | | | | | | | | | |
| | | INVESTMENT ADVISORY FEE RATE | | CONTRACTUAL EXPENSE LIMITATION1 |
| | | | |
| PORTFOLIO | | CLASS M | | CLASS I | | ADMINSTRATIVE
CLASS | | PLAN
CLASS* | | CLASS M | | CLASS I | | ADMINSTRATIVE
CLASS | | PLAN
CLASS* |
| Ultra Short Bond Fund | | 0.25% | | 0.25% | | N/A | | N/A | | 0.50% | | 0.34% | | N/A | | N/A |
| Low Duration Bond Fund | | 0.30 | | 0.30 | | 0.30% | | N/A | | 0.58 | | 0.39 | | 0.78% | | N/A |
| Intermediate Bond Fund | | 0.35 | | 0.35 | | N/A | | N/A | | 0.65 | | 0.44 | | N/A | | N/A |
| Total Return Bond Fund | | 0.35 | | 0.35 | | 0.35 | | 0.35% | | 0.65 | | 0.44 | | 0.85 | | 0.39% |
| High Yield Bond Fund | | 0.50 | | 0.50 | | N/A | | N/A | | 0.80 | | 0.55 | | N/A | | N/A |
| Strategic Income Fund | | 0.50 - 1.90 | | 0.50 - 1.90 | | N/A | | N/A | | 0.20 - 2.35 | | 0.20 - 2.10 | | N/A | | N/A |
| AlphaTrak 500 Fund | | 0.00 - 0.70 | | N/A | | N/A | | N/A | | 0.20 - 0.90 | | N/A | | N/A | | N/A |
1 The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2011, unless approved by the Board.
* The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011.
At September 30, 2011, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | |
| PORTFOLIO | | 2012 | | | 2013 | | | 2014 | | | 2015 | | | TOTAL | |
Ultra Short Bond Fund | | $ | 181,484 | | | $ | 204,094 | | | $ | 151,138 | | | $ | 83,487 | | | $ | 620,203 | |
Low Duration Bond Fund | | | 211,097 | | | | 350,652 | | | | – | | | | – | | | | 561,749 | |
Intermediate Bond Fund | | | 185,919 | | | | 198,493 | | | | 154,326 | | | | 66,598 | | | | 605,336 | |
High Yield Bond Fund | | | 223,872 | | | | 290,531 | | | | 622,336 | | | | 344,412 | | | | 1,481,151 | |
AlphaTrak 500 Fund | | | – | | | | 38,492 | | | | 111,798 | | | | 43,185 | | | | 193,475 | |
For the six months ended September 30, 2011, the Adviser recouped $182,867 from Class M, $76,501 from Class I and $191 from the Administrative Class of the Low Duration 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 $20,000 and $6,250 for each meeting of the Board attended. The Chairman of the Board receives an annual retainer of $35,000. TheTrust 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 Fund, the Strategic Income, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total
136 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
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 BNY Mellon 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, 2011. 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,
2011
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2011 | | PERIOD ENDED
SEPTEMBER 30, 2011
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2011 |
| | | | | | | | |
| Change in Fund shares: | | | | | | | | |
Shares outstanding at beginning of period | | 9,941,749 | | 5,455,703 | | 16,757,944 | | 19,750,261 |
| | | | | | | | |
Shares sold | | 2,483,687 | | 9,371,398 | | 6,663,629 | | 15,838,357 |
Shares issued through reinvestment of distributions | | 91,518 | | 180,143 | | 193,209 | | 527,349 |
Shares redeemed | | (6,552,720) | | (5,065,495) | | (7,391,164) | | (19,358,023) |
| | | | | | | | |
| Net increase/(decrease) in fund shares | | (3,977,515) | | 4,486,046 | | (534,326) | | (2,992,317) |
| | | | | | | | |
| Shares outstanding at end of period | | 5,964,234 | | 9,941,749 | | 16,223,618 | | 16,757,944 |
| | | | | | | | |
| | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS |
| | | | | | | | | | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2011 | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2011 | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | YEAR ENDED MARCH 31, 2011 |
| | | | | | | | | | | | |
| Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 156,722,448 | | 125,740,926 | | 66,242,754 | | 57,970,290 | | 190,876 | | 96,978 |
| | | | | | | | | | | | |
Shares sold | | 32,939,868 | | 83,929,282 | | 16,313,010 | | 33,531,726 | | 81,856 | | 369,110 |
Shares issued through reinvestment of distributions | | 2,139,208 | | 4,306,785 | | 896,589 | | 1,664,061 | | 1,614 | | 5,520 |
Shares redeemed | | (45,735,685) | | (57,254,545) | | (22,569,905) | | (26,923,323) | | (175,040) | | (280,732) |
| | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | (10,656,609) | | 30,981,522 | | (5,360,306) | | 8,272,464 | | (91,570) | | 93,898 |
| | | | | | | | | | | | |
| Shares outstanding at end of period | | 146,065,839 | | 156,722,448 | | 60,882,448 | | 66,242,754 | | 99,306 | | 190,876 |
| | | | | | | | | | | | |
Semi-Annual Report September 2011 / 137
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | | | | | | | | | | | | | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED MARCH 31,
2011 | |
| | | | | | | | | | | | | | | | |
| Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 5,505,663 | | | | 4,405,566 | | | | 14,010,565 | | | | 15,968,289 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 4,088,069 | | | | 3,465,161 | | | | 3,038,056 | | | | 4,205,853 | |
Shares issued through reinvestment of distributions | | | 111,492 | | | | 382,790 | | | | 239,798 | | | | 900,385 | |
Shares redeemed | | | (785,927 | ) | | | (2,747,854 | ) | | | (449,283 | ) | | | (7,063,962 | ) |
| | | | | | | | | | | | | | | | |
| Net increase/(decrease) in fund shares | | | 3,413,634 | | | | 1,100,097 | | | | 2,828,571 | | | | (1,957,724 | ) |
| | | | | | | | | | | | | | | | |
| Shares outstanding at end of period | | | 8,919,297 | | | | 5,505,663 | | | | 16,839,136 | | | | 14,010,565 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | | | | | | | | | | | | | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2011
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | PERIOD ENDED SEPTEMBER 30, 2011
(UNAUDITED) | | | YEAR ENDED MARCH 31,
2011 | |
| | | | | | | | | | | | | | | | |
| Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 672,089,535 | | | | 457,204,615 | | | | 573,560,263 | | | | 372,615,691 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 146,729,836 | | | | 357,280,435 | | | | 270,800,497 | | | | 311,355,538 | |
Shares issued through reinvestment of distributions | | | 14,931,479 | | | | 33,026,275 | | | | 12,069,862 | | | | 24,772,321 | |
Shares redeemed | | | (95,079,427 | ) | | | (175,421,790 | ) | | | (80,070,667 | ) | | | (135,183,287 | ) |
| | | | | | | | | | | | | | | | |
| Net increase in fund shares | | | 66,581,888 | | | | 214,884,920 | | | | 202,799,692 | | | | 200,944,572 | |
| | | | | | | | | | | | | | | | |
| Shares outstanding at end of period | | | 738,671,423 | | | | 672,089,535 | | | | 776,359,955 | | | | 573,560,263 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | | |
| | | ADMINISTRATIVE
CLASS | | | ADMINISTRATIVE
CLASS | | | PLAN CLASS* | |
| | | | | | | | | | | | |
| | | PERIOD ENDED SEPTEMBER 30, 2011
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2011 | | | PERIOD ENDED
SEPTEMBER 30,
2011 (UNAUDITED) | |
| | | | | | | | | | | | |
| Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 641,141 | | | | 117,394 | | | | – | |
| | | | | | | | | | | | |
Shares sold | | | 12,401 | | | | 567,707 | | | | 10 | |
Shares issued through reinvestment of distributions | | | 12,515 | | | | 25,349 | | | | – | |
Shares redeemed | | | (20,258 | ) | | | (69,309 | ) | | | – | |
| | | | | | | | | | | | |
| Net increase in fund shares | | | 4,658 | | | | 523,747 | | | | 10 | |
| | | | | | | | | | | | |
| Shares outstanding at end of period | | | 645,799 | | | | 641,141 | | | | 10 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
*The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011.
138 / Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
| | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | |
| Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 123,467,542 | | | | 50,340,590 | | | | 69,941,373 | | | | 24,228,997 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 52,342,207 | | | | 109,317,101 | | | | 41,095,707 | | | | 61,534,937 | |
Shares issued through reinvestment of distributions | | | 4,300,808 | | | | 6,148,973 | | | | 2,229,940 | | | | 3,112,475 | |
Shares redeemed | | | (73,540,373 | ) | | | (42,339,122 | ) | | | (42,329,440 | ) | | | (18,935,036 | ) |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | (16,897,358 | ) | | | 73,126,952 | | | | 996,207 | | | | 45,712,376 | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 106,570,184 | | | | 123,467,542 | | | | 70,937,580 | | | | 69,941,373 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | |
| Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 10,735,226 | | | | 6,430,444 | | | | 21,984,625 | | | | 22,508,860 | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 1,083,526 | | | | 14,598,898 | | | | 654,554 | | | | 1,398,074 | |
Shares issued through reinvestment of distributions | | | 181,711 | | | | 438,399 | | | | 139,681 | | | | 307,347 | |
Shares redeemed | | | (9,485,756 | ) | | | (10,732,515 | ) | | | (2,222,011 | ) | | | (2,229,656 | ) |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | (8,220,519 | ) | | | 4,304,782 | | | | (1,427,776 | ) | | | (524,235 | ) |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 2,514,707 | | | | 10,735,226 | | | | 20,556,849 | | | | 21,984,625 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | ALPHATRAK FUND | | | | | | | |
| | | CLASS M | | | CLASS M | | | | | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2011
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2011 | | | | | | | |
| Change in Fund shares: | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | 2,185,082 | | | | 2,909,404 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Shares sold | | | 340,430 | | | | 1,078,267 | | | | | | | | | |
Shares issued through reinvestment of distributions | | | 78,898 | | | | 158,520 | | | | | | | | | |
Shares redeemed | | | (319,203 | ) | | | (1,961,109 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | 100,125 | | | | (724,322 | ) | | | | | | | | |
| | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | 2,285,207 | | | | 2,185,082 | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Semi-Annual Report September 2011 / 139
Notes to Financial Statements (Unaudited) (Continued)
9. FEDERAL TAX INFORMATION
Capital Loss Carryforwards:
At March 31, 2011, 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 | | | EXPIRING IN 2019 | |
Ultra Short Bond Fund | | | $ — | | | | $171,312 | | | | $1,489,244 | | | | $17,068,161 | | | | $14,894,875 | | | | $10,083,524 | |
Low Duration Bond Fund | | | 5,831,064 | | | | — | | | | — | | | | 99,373,584 | | | | 21,084,552 | | | | 42,394,541 | |
Strategic Income Fund | | | 61,791 | | | | 1,235,093 | | | | 9,036,932 | | | | 47,852,416 | | | | 18,806,808 | | | | 41,914,736 | |
AlphaTrak 500 Fund | | | — | | | | — | | | | — | | | | 60,439,961 | | | | 23,684,663 | | | | 12,534,872 | |
For the year ended March 31, 2011, the Total Return Bond and High Yield Bond utilized capital loss carryforwards of $140,337,903 and $4,931,657, respectively.
Under the recently enacted Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.
Tax Basis of Distributable Income:
As of March 31, 2011, 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) | | $ | 10,856 | | | $ | 379,294 | | | $ | 24,963 | | | $ | 6,972,269 | |
Accumulated capital loss carryforwards and post-October losses | | | (44,574,568 | ) | | | (194,013,345 | ) | | | (2,359,058 | ) | | | (76,724,296 | ) |
Net unrealized appreciation/(depreciation) | | | (4,605,377 | ) | | | (24,672,734 | ) | | | 9,280,833 | | | | 497,670,852 | |
Distributions payable | | | (4,864 | ) | | | (263,748 | ) | | | (127,971 | ) | | | (5,101,733 | ) |
Deferred director’s compensation and other temporary adjustments | | | (5,990 | ) | | | (48,907 | ) | | | (4,797 | ) | | | (194,535 | ) |
| | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) | | $ | (49,179,943 | ) | | $ | (218,619,440 | ) | | $ | 6,813,970 | | | $ | 422,622,557 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHA TRAK
500 FUND | |
Undistributed ordinary income/(loss) (inclusive of short-term capital gains) | | $ | 11,810,666 | | | $ | 606,517 | | | $ | 354,501 | |
Undistributed long-term capital gains | | | 14,097,898 | | | | – | | | | – | |
Accumulated capital loss carryforwards and post-October losses | | | – | | | | (119,051,837 | ) | | | (96,659,496 | ) |
Net unrealized appreciation/(depreciation) | | | 114,946,872 | | | | 7,545,346 | | | | (261,588 | ) |
Distributions payable | | | (1,950,293 | ) | | | (565,720 | ) | | | (27,194 | ) |
Deferred director’s compensation | | | (16,656 | ) | | | (22,399 | ) | | | (3,684 | ) |
Hybrid income | | | (188,398 | ) | | | – | | | | – | |
Swap income mark to market | | | – | | | | – | | | | (1,370 | ) |
| | | | | | | | | | | | |
Total accumulated earnings/(losses) | | $ | 138,700,089 | | | $ | (111,488,093 | ) | | $ | (96,598,831 | ) |
| | | | | | | | | | | | |
Permanent differences incurred during the fiscal year ended March 31, 2011, 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 | | $ | – | | | $ | 219,268 | | | $ | (219,268 | ) |
Low Duration Bond Fund | | | – | | | | 870,905 | | | | (870,905 | ) |
Intermediate Bond Fund | | | – | | | | 22,987 | | | | (22,987 | ) |
Total Return Bond Fund | | | – | | | | (937,352 | ) | | | 937,352 | |
High Yield Bond Fund | | | – | | | | 483,817 | | | | (483,817 | ) |
Strategic Income Fund | | | – | | | | 376,474 | | | | (376,474 | ) |
AlphaTrak 500 Fund | | | – | | | | 417,835 | | | | (417,835 | ) |
140/ Semi-Annual Report September 2011
Notes to Financial Statements (Unaudited) (Continued)
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | | | | LOW DURATION BOND FUND | |
| | | MARCH 31, 2011 | | | MARCH 31, 2010 | | | | | MARCH 31, 2011 | | | MARCH 31, 2010 | |
Distributions from: | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 3,006,790 | | | $ | 5,225,916 | | | | | $ | 55,163,904 | | | $ | 57,250,557 | |
Net long-term capital gains | | | – | | | | – | | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 3,006,790 | | | $ | 5,225,916 | | | | | $ | 55,163,904 | | | $ | 57,250,557 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | | | | TOTAL RETURN BOND FUND | |
| | | MARCH 31, 2011 | | | MARCH 31, 2010 | | | | | MARCH 31, 2011 | | | MARCH 31, 2010 | |
Distributions from: | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 14,393,074 | | | $ | 9,867,461 | | | | | $ | 582,105,939 | | | $ | 400,597,041 | |
Net long-term capital gains | | | 2,023,706 | | | | – | | | | | | 89,262,702 | | | | – | |
Return of Capital | | | – | | | | 899,265 | | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 16,416,780 | | | $ | 10,766,726 | | | | | $ | 671,368,641 | | | $ | 400,597,041 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | | | | | STRATEGIC INCOME FUND | |
| | | MARCH 31, 2011 | | | MARCH 31, 2010 | | | | | MARCH 31, 2011 | | | MARCH 31, 2010 | |
Distributions from: | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 104,036,930 | | | $ | 42,774,548 | | | | | $ | 13,546,155 | | | $ | 20,564,090 | |
Net long-term capital gains | | | 7,314,180 | | | | – | | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 111,351,110 | | | $ | 42,774,548 | | | | | $ | 13,546,155 | | | $ | 20,564,090 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | ALPHATRAK 500 FUND | |
| | | | | | | | | | | MARCH 31, 2011 | | | MARCH 31, 2010 | |
Distributions from: | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | | | | | | | | | | $ | 620,553 | | | $ | 11,128,803 | |
Return of Capital | | | | | | | | | | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | | | | | | | | | | $ | 620,553 | | | $ | 11,128,803 | |
| | | | | | | | | | | | | | | | | | |
10. COMMITTED LINE OF CREDIT
The Funds have entered into a $200,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose. The interest rate on borrowing is higher of the Federal Funds rate or the Overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit during the period ended September 30, 2011. The Funds pay the Bank a commitment fee equal to 0.10% per annum on the daily unused portion of the committed line amount up to a maximum of $200,000 annually. The commitment fees incurred by the Funds are presented in the Statement of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
11. INDEMNIFICATIONS
Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
Semi-Annual Report September 2011 / 141
Notes to Financial Statements (Unaudited) (Concluded)
12. SUBSEQUENT EVENTS
The Metropolitan West Funds added a new fund, Metropolitan West Unconstrained Bond Fund – Class M and Class I, which commenced operations on October 1, 2011. The Metropolitan West Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.
142 / Semi-Annual Report September 2011
Approval of Investment Management Agreement by Trustees (Unaudited)
The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated March 31, 2010 (the “Agreement”) between the Trust and the Adviser. The Agreement was initially approved by the shareholders of each Fund.
Factors Considered by the Trustees in Connection with Recent Approval of Prior Agreement
On June 6, 2011, the Board approved the renewal of the Agreement for an additional one-year term from August 1, 2011 though July 31, 2012. The renewal of the Agreement was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately in executive session to discuss and review the information that had been presented for their consideration prior to the Board’s vote to renew the Agreement. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information that included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.
Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by legal counsel to the Trust, which is not independent legal counsel. The Independent Trustees discussed the renewal of the Agreement with the Adviser’s representatives and in a private session at which no representatives of the Adviser were present. In deciding to recommend the renewal of the prior Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board.
2. Nature, extent, and quality of services
The Board considered the depth and quality of theAdviser’s investment management process, including its research and intellectual capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results, and portfolio accounting. They noted the substantial additional resources made available by the parent company of the Adviser, the TCW Group, Inc. They further noted the high level of communication between the Adviser and the Board.
The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and will continue to benefit the Funds and their shareholders.
3. Investment results
The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various periods. In reviewing each Fund’s relative performance, the Board took into account any unique characteristics and its asset size, diversification, and range of investments.
The Board noted that each Fund’s performance was acceptable over the relevant periods and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Board noted that even where past difficult years such as 2008 had tempered intermediate-term performance, more recent trends were very encouraging and favorable. The Board concluded that the Adviser was implementing each Fund’s investment objective and the Adviser’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders.
Semi-Annual Report September 2011 / 143
Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)
4. Advisory fees and total expenses
The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of all other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below the average of the peer group funds on a current basis with the exception of the Strategic Income Fund and the AlphaTrak 500 Fund. The Board discussed why the Lipper peer group was not a suitable comparison for the Strategic Income Fund and why that Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board further noted that the AlphaTrak 500 Fund and Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). Therefore, relatively higher fees and expenses would only occur for those two Funds where there also has been relatively strong performance. The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and the fact that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.
The Board also reviewed information regarding the advisory fees paid by institutional clients of the Adviser with similar investment mandates. They concluded that although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.
5. The Adviser’s costs, level of profits, and economies of scale
The Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Independent Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They realized that the advisory fees for the Funds do not have breakpoints, which would result in lower advisory fee rates as the Funds grow larger. They also accepted the Adviser’s assertion, based on a review of the Lipper information, that the advisory fees compare favorably to peer group fees and expenses. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller) and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.
6. Ancillary benefits
The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that directly benefit from the Adviser’s relationship to the Funds.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
144 / Semi-Annual Report September 2011
BOARD OF TRUSTEES
Andrew Tarica
Laird R. Landmann
Peter McMillan
Martin Luther King, III
Daniel D. Villanueva
Ronald J. Consiglio
Robert G. Rooney
Patrick C. Haden
Charles W. Baldiswieler
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
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte & Touche LLP
350 S. Grand Ave., Suite 200
Los Angeles, CA 90071
DISTRIBUTOR
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
LEGAL COUNSEL
Paul Hastings LLP
55 Second Street, 24th Floor
San Francisco, CA 94105-3441
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| For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free) www.mwamllc.com |
|
A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov. |
|
This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information. |
|
 |
Not applicable.
| Item 3. | Audit Committee Financial Expert. |
Not applicable.
| Item 4. | Principal Accountant Fees and Services. |
Not applicable.
| Item 5. | Audit Committee of Listed registrants. |
Not applicable.
| | (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
| Item 11. | Controls and Procedures. |
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
| | (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| | (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| |
| (registrant) | | Metropolitan West Funds |
| |
| By (Signature and Title)* | | /s/ David B. Lippman |
| | David B. Lippman, President and Principal Executive Officer (principal executive officer) |
Date 12/6/11
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 B. Lippman |
| | David B. Lippman, President and Principal Executive Officer (principal executive officer) |
Date 12/6/11
| | |
| |
| By (Signature and Title)* | | /s/ David S. DeVito |
| | David S. DeVito, Treasurer (principal financial officer) |
Date 12/6/11
* Print the name and title of each signing officer under his or her signature.
1
