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: 811-2340
Montgomery Street Income Securities, Inc.
(Exact name of registrant as specified in charter)
225 W. Wacker Drive, Suite 1200
Chicago, IL 60606
(Address of principal executive offices)
Mark D. Nerud, President
225 W. Wacker Drive, Suite 1200
Chicago, IL 60606
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 338-5801
Date of fiscal year end: December 31
Date of reporting period: January 1, 2009 – June 30, 2009
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
Item 1. Report to Stockholders.
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Income Securities, Inc. (MTS)
June 30, 2009 (Unaudited)
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* | Mortgage backed securities. |
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* | Government includes U.S. Treasury, U.S. Agency and cash. |
NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY.
Investment Portfolio | as of June 30, 2009 (Unaudited) |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Corporate Bonds 40.6% | ||||||||||
Consumer Discretionary 3.2% | ||||||||||
Charter Communications Operating LLC, 8.00%, 04/30/12 (a) (j) | 250,000 | $ | 240,625 | |||||||
Comcast Cable Holdings LLC, 10.13%, 04/15/22 | 1,291,000 | 1,491,894 | ||||||||
Comcast Corp., 6.30%, 11/15/17 | 152,000 | 160,872 | ||||||||
COX Communications Inc., 6.25%, 06/01/18 (a) (j) | 263,000 | 259,983 | ||||||||
COX Communications Inc., 8.38%, 03/01/39 (a) (j) | 220,000 | 245,296 | ||||||||
CSC Holdings Inc., 7.63%, 04/01/11 | 240,000 | 237,600 | ||||||||
CSC Holdings Inc., 8.50%, 04/15/14 (a) (c) (j) | 160,000 | 158,600 | ||||||||
Desarrolladora Homex SAB de CV, 7.50%, 09/28/15 | 111,000 | 95,460 | ||||||||
DirecTV Holdings LLC, 7.63%, 05/15/16 | 245,000 | 238,263 | ||||||||
ERAC USA Finance Co., 5.90%, 11/15/15 (a) (j) | 429,000 | 393,097 | ||||||||
Mediacom LLC / Mediacom Capital Corp., 7.88%, 02/15/11 (c) | 650,000 | 633,750 | ||||||||
President and Fellows of Harvard College, 6.00%, 01/15/19 (a) (j) | 244,000 | 266,170 | ||||||||
Rogers Cable Inc., 8.75%, 05/01/32 | 110,000 | 132,868 | ||||||||
Time Warner Cable Inc., 8.25%, 04/01/19 | 590,000 | 669,424 | ||||||||
5,223,902 | ||||||||||
Consumer Staples 3.2% | ||||||||||
Altria Group Inc., 10.20%, 02/06/39 | 595,000 | 703,032 | ||||||||
Anheuser-Busch InBev Worldwide Inc., 7.75%, 01/15/19 (a) (j) | 725,000 | 792,901 | ||||||||
Anheuser-Busch InBev Worldwide Inc., 8.20%, 01/15/39 (a) (j) | 212,000 | 236,099 | ||||||||
Archer-Daniels-Midland Co., 5.38%, 09/15/35 | 400,000 | 379,270 | ||||||||
Coca-Cola Enterprises Inc., 8.50%, 02/01/22 | 500,000 | 649,753 | ||||||||
CVS Caremark Corp., 6.30%, 06/01/37 (callable at 100 beginning 06/01/12) (e) | 623,000 | 461,020 | ||||||||
CVS Pass-Through Trust, 8.35%, 07/10/31 (a) (j) | 760,000 | 783,527 | ||||||||
General Mills Inc., 5.70%, 02/15/17 | 680,000 | 715,805 | ||||||||
General Mills Inc., 5.65%, 02/15/19 | 38,000 | 39,716 | ||||||||
SUPERVALU Inc., 7.50%, 11/15/14 | 320,000 | 307,200 | ||||||||
Wal-Mart Stores Inc., 5.25%, 09/01/35 | 250,000 | 238,371 | ||||||||
5,306,694 | ||||||||||
Energy 5.0% | ||||||||||
Anadarko Petroleum Corp., 6.95%, 06/15/19 | 239,000 | 241,199 | ||||||||
Anadarko Petroleum Corp., 6.45%, 09/15/36 | 825,000 | 741,606 | ||||||||
Chesapeake Energy Corp., 7.63%, 07/15/13 | 350,000 | 332,500 | ||||||||
ConocoPhillips, 6.50%, 02/01/39 | 658,000 | 700,397 | ||||||||
Drummond Co. Inc., 7.38%, 02/15/16 (a) (j) | 190,000 | 138,700 | ||||||||
EnCana Corp., 6.50%, 05/15/19 | 81,000 | 86,832 | ||||||||
Enterprise Products Operating LLC, 6.50%, 01/31/19 | 245,000 | 248,994 | ||||||||
Florida Power Corp., 5.80%, 09/15/17 | 195,000 | 210,516 | ||||||||
Husky Energy Inc., 7.25%, 12/15/19 | 230,000 | 251,292 | ||||||||
Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16 | 450,000 | 428,625 | ||||||||
Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 | 260,000 | 237,435 | ||||||||
Marathon Oil Corp., 6.50%, 02/15/14 | 212,000 | 226,639 | ||||||||
Nabors Industries Ltd., 9.25%, 01/15/19 (a) (j) | 405,000 | 466,956 | ||||||||
ONEOK Partners LP, 6.65%, 10/01/36 | 542,000 | 499,729 | ||||||||
Shell International Finance BV, 6.38%, 12/18/38 | 390,000 | 424,797 | ||||||||
Spectra Energy Capital LLC, 5.90%, 09/15/13 | 490,000 | 496,923 | ||||||||
StatoilHydro ASA, 5.25%, 04/15/19 | 750,000 | 771,841 | ||||||||
TransCanada Pipelines Ltd., 7.25%, 08/15/38 | 384,000 | 436,690 | ||||||||
Transcontinental Gas Pipe Line Corp., 6.40%, 04/15/16 | 250,000 | 256,575 |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Valero Energy Corp., 9.38%, 03/15/19 | 289,000 | 329,175 | ||||||||
Valero Energy Corp., 6.23%, 06/15/37 | 845,000 | 720,886 | ||||||||
8,248,307 | ||||||||||
Financials 6.4% | ||||||||||
American General Institutional Capital A, 7.57%, 12/01/45 (a) (j) | 250,000 | 109,520 | ||||||||
Bank of America Corp., 5.65%, 05/01/18 | 365,000 | 322,525 | ||||||||
Citigroup Capital XXI, 8.30%, 12/21/57 (callable at 100 beginning 12/21/37) (e) | 451,000 | 351,701 | ||||||||
Comerica Capital Trust II, 6.58%, 02/20/37 (callable at 100 beginning 02/20/32) (e) | 1,053,000 | 621,270 | ||||||||
General Electric Capital Corp., 5.63%, 05/01/18 | 295,000 | 279,006 | ||||||||
Goldman Sachs Capital II, 5.79% (callable at 100 on 06/01/12) (d) | 832,000 | 507,062 | ||||||||
HSBC Bank USA, 5.63%, 08/15/35 | 315,000 | 281,594 | ||||||||
HSBC Holdings Plc, 6.50%, 05/02/36 | 500,000 | 488,267 | ||||||||
Icahn Enterprises LP, 7.13%, 02/15/13 | 220,000 | 198,550 | ||||||||
ILFC E-Capital Trust II, 6.25%, 12/21/65 (callable at 100 beginning 12/21/15) (a) (e) (j) | 3,280,000 | 1,213,600 | ||||||||
International Lease Finance Corp., 6.38%, 03/25/13 | 366,000 | 278,458 | ||||||||
JPMorgan Chase & Co., 7.90%, (callable at 100 beginning 04/30/18) (b) (d) | 467,000 | 408,672 | ||||||||
JPMorgan Chase Capital XV, 5.88%, 03/15/35 | 205,000 | 164,000 | ||||||||
Lincoln National Corp., 6.05%, 04/20/67 (callable at 100 beginning 04/20/17) (e) | 115,000 | 73,025 | ||||||||
Lloyds Banking Group Plc, 5.92% (callable at 100 on 10/01/15) (a) (b) (d) (j) | 600,000 | 210,000 | ||||||||
Mellon Capital IV, 6.24% (callable at 100 beginning 06/20/12) (d) | 570,000 | 381,900 | ||||||||
Northgroup Preferred Capital Corp., 6.38% (callable at 100 beginning 10/15/17) (a) (b) (d) (i) | 515,000 | 386,332 | ||||||||
PNC Preferred Funding Trust I, 6.11% (callable at 100 beginning 03/15/12) (a) (b) (d) (j) | 1,200,000 | 623,448 | ||||||||
Progressive Corp., 6.70%, 06/15/37 (callable at 100 beginning 06/15/17) (e) | 166,000 | 117,048 | ||||||||
Prudential Financial Inc., 8.88%, 06/15/38 (callable at 100 beginning 06/15/18) (e) | 426,000 | 353,580 | ||||||||
State Street Capital Trust IV, 2.32%, 06/15/37 (b) | 670,000 | 386,098 | ||||||||
UBS Preferred Funding Trust I, 8.62% (callable at 100 beginning 10/01/10) (b) (d) | 1,030,000 | 733,468 | ||||||||
UniCredito Italiano Capital Trust II, 9.20% (callable at 100 beginning 10/15/10) (a) (b) (d) (j) | 320,000 | 206,078 | ||||||||
Unilever Capital Corp., 4.80%, 02/15/19 | 400,000 | 403,939 | ||||||||
USB Capital IX, 6.19% (callable at 100 beginning 04/15/11) (b) (d) | 700,000 | 472,500 | ||||||||
USB Realty Corp., 6.09% (callable at 100 beginning 01/15/12) (a) (b) (d) (j) | 700,000 | 406,000 | ||||||||
Wells Fargo Capital XIII, 7.70% (callable at 100 beginning 03/26/13) (b) (d) | 214,000 | 177,620 | ||||||||
ZFS Finance USA Trust I, 6.50%, 05/09/37 (callable at 100 beginning 05/09/17) (a) (e) (j) | 582,000 | 419,040 | ||||||||
10,574,301 | ||||||||||
Health Care 3.4% | ||||||||||
Abbott Laboratories, 5.13%, 04/01/19 | 369,000 | 379,933 | ||||||||
Amgen Inc., 6.40%, 02/01/39 | 176,000 | 187,204 | ||||||||
Becton Dickinson & Co., 5.00%, 05/15/19 | 440,000 | 449,596 | ||||||||
Cigna Corp., 6.15%, 11/15/36 | 184,000 | 131,745 | ||||||||
Eli Lilly & Co., 5.95%, 11/15/37 | 155,000 | 162,566 | ||||||||
Express Scripts Inc., 7.25%, 06/15/19 | 320,000 | 352,878 | ||||||||
GlaxoSmithKline Capital Inc., 5.65%, 05/15/18 | 700,000 | 741,443 | ||||||||
HCA Inc., 9.25%, 11/15/16 | 330,000 | 325,050 | ||||||||
Merck & Co. Inc., 5.85%, 06/30/39 | 585,000 | 600,948 | ||||||||
Pfizer Inc., 6.00%, 03/15/19 | 390,000 | 426,513 | ||||||||
Pfizer Inc., 7.00%, 03/15/39 | 405,000 | 480,901 | ||||||||
Roche Holdings Inc., 6.00%, 03/01/19 (a) (j) | 116,000 | 123,690 | ||||||||
Roche Holdings Inc., 7.00%, 03/01/39 (a) (j) | 191,000 | 221,432 | ||||||||
Wyeth, 6.50%, 02/01/34 | 400,000 | 442,007 | ||||||||
Wyeth, 5.95%, 04/01/37 | 470,000 | 486,228 | ||||||||
5,512,134 |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Industrials 1.8% | ||||||||||
Allied Waste Industries Inc., 7.25%, 03/15/15 | 545,000 | 553,175 | ||||||||
BAE Systems Holdings Inc., 6.38%, 06/01/19 (a) (j) | 369,000 | 377,263 | ||||||||
Canadian Pacific Railway Co., 7.25%, 05/15/19 | 148,000 | 153,559 | ||||||||
Canadian Pacific Railway Co., 5.95%, 05/15/37 | 240,000 | 196,442 | ||||||||
Honeywell International Inc., 5.70%, 03/15/36 | 250,000 | 255,871 | ||||||||
L-3 Communications Corp., 5.88%, 01/15/15 | 250,000 | 221,875 | ||||||||
Tyco International Group SA, 8.50%, 01/15/19 | 606,000 | 671,921 | ||||||||
United Technologies Corp., 6.13%, 02/01/19 | 491,000 | 543,433 | ||||||||
2,973,539 | ||||||||||
Information Technology 1.5% | ||||||||||
Cisco Systems Inc., 5.90%, 02/15/39 | 750,000 | 738,596 | ||||||||
International Business Machines Corp., 8.38%, 11/01/19 | 250,000 | 308,897 | ||||||||
Nokia Corp., 5.38%, 05/15/19 | 144,000 | 145,690 | ||||||||
Nokia Corp., 6.63%, 05/15/39 | 132,000 | 139,383 | ||||||||
Oracle Corp., 6.50%, 04/15/38 | 194,000 | 206,638 | ||||||||
Seagate Technology Inc., 10.00% 05/01/14 (a) (c) (j) | 385,000 | 397,031 | ||||||||
TCI Communications Inc., 8.75%, 08/01/15 | 35,000 | 39,890 | ||||||||
Tyco Electronics Group SA, 6.55%, 10/01/17 | 262,000 | 237,877 | ||||||||
Xerox Corp., 8.25%, 05/15/14 | 241,000 | 250,607 | ||||||||
2,464,609 | ||||||||||
Materials 3.4% | ||||||||||
Anglo American Capital Plc, 9.38%, 04/08/14 (a) (j) | 643,000 | 698,459 | ||||||||
Anglo American Capital Plc, 9.38%, 04/08/19 (a) (j) | 214,000 | 231,120 | ||||||||
ArcelorMittal, 9.00%, 02/15/15 (c) | 830,000 | 875,163 | �� | |||||||
Barrick Gold Corp., 6.95%, 04/01/19 | 130,000 | 145,601 | ||||||||
CRH America Inc., 8.13%, 07/15/18 | 180,000 | 173,287 | ||||||||
Dow Chemical Co., 8.55%, 05/15/19 | 1,130,000 | 1,132,011 | ||||||||
Georgia-Pacific LLC, 8.25%, 05/01/16 (a) (j) | 470,000 | 455,900 | ||||||||
Newmont Mining Corp., 5.88%, 04/01/35 | 395,000 | 368,835 | ||||||||
Pliant Corp., 11.63%, 06/15/09 (f) | 5 | 3 | ||||||||
Rio Tinto Alcan Inc., 6.13%, 12/15/33 | 175,000 | 138,292 | ||||||||
Rio Tinto Finance USA Ltd., 5.88%, 07/15/13 | 635,000 | 638,980 | ||||||||
Rio Tinto Finance USA Ltd., 9.00%, 05/01/19 | 200,000 | 222,301 | ||||||||
Yara International ASA, 7.88%, 06/11/19 (a) (j) | 560,000 | 583,584 | ||||||||
5,663,536 | ||||||||||
Telecommunication Services 5.8% | ||||||||||
AT&T Inc., 6.15%, 09/15/34 | 500,000 | 474,662 | ||||||||
AT&T Inc., 6.55%, 02/15/39 | 230,000 | 229,591 | ||||||||
AT&T Wireless Services Inc., 8.75%, 03/01/31 | 750,000 | 914,108 | ||||||||
Cricket Communications Inc., 9.38%, 11/01/14 | 230,000 | 226,550 | ||||||||
Frontier Communications Corp., 8.25%, 05/01/14 | 170,000 | 160,649 | ||||||||
Frontier Communications Corp., 9.00%, 08/15/31 | 400,000 | 330,000 | ||||||||
Intelsat Jackson Holdings Ltd., 9.25%, 06/15/16 (i) | 255,000 | 225,675 | ||||||||
MetroPCS Wireless Inc., 9.25%, 11/01/14 | 230,000 | 228,563 | ||||||||
Qwest Communications International Inc., 7.50%, 02/15/14 | 800,000 | 730,000 | ||||||||
Rogers Communications Inc., 7.50%, 03/15/15 | 679,000 | 738,613 | ||||||||
Telecom Italia Capital SA, 4.00%, 01/15/10 | 360,000 | 361,726 | ||||||||
Telecom Italia Capital SA, 5.25%, 11/15/13 | 330,000 | 323,594 | ||||||||
Telecom Italia Capital SA, 4.95%, 09/30/14 | 365,000 | 349,421 | ||||||||
Telecom Italia Capital SA, 7.18%, 06/18/19 (c) | 400,000 | 405,478 | ||||||||
Telecom Italia Capital SA, 7.72%, 06/04/38 | 427,000 | 434,833 |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Verizon New Jersey Inc., 5.88%, 01/17/12 | 542,000 | 568,162 | ||||||||
Verizon Wireless Capital LLC, 8.50%, 11/15/18 (a) (j) | 538,000 | 642,960 | ||||||||
Vodafone Group Plc, 5.45%, 06/10/19 | 385,000 | 378,590 | ||||||||
Vodafone Group Plc, 6.15%, 02/27/37 | 1,268,000 | 1,247,523 | ||||||||
Windstream Corp., 8.63%, 08/01/16 | 670,000 | 641,524 | ||||||||
9,612,222 | ||||||||||
Utilities 6.9% | ||||||||||
Alabama Power Co., 6.00%, 03/01/39 | 256,000 | 270,209 | ||||||||
CenterPoint Energy Resources Corp., 6.63%, 11/01/37 | 120,000 | 95,878 | ||||||||
Commonwealth Edison Co., 5.80%, 03/15/18 | 915,000 | 929,196 | ||||||||
Consumers Energy Co., 6.70%, 09/15/19 | 540,000 | 587,744 | ||||||||
DTE Energy Co., 7.63%, 05/15/14 | 267,000 | 278,657 | ||||||||
Duke Energy Carolinas LLC, 7.00%, 11/15/18 | 158,000 | 184,192 | ||||||||
Duke Energy Indiana Inc. (insured by MBIA Insurance Corp.), 8.85%, 01/15/22 | 1,225,000 | 1,526,743 | ||||||||
Duke Energy Indiana Inc., 6.35%, 08/15/38 (c) | 237,000 | 260,075 | ||||||||
Electricite de France SA, 6.95%, 01/26/39 (a) (j) | 425,000 | 477,152 | ||||||||
Northern States Power Co., 6.25%, 06/01/36 | 400,000 | 438,083 | ||||||||
NRG Energy Inc., 7.25%, 02/01/14 | 210,000 | 203,700 | ||||||||
NRG Energy Inc., 7.38%, 01/15/17 | 125,000 | 117,813 | ||||||||
Pacific Gas & Electric Co., 8.25%, 10/15/18 | 459,000 | 560,131 | ||||||||
PSEG Power LLC, 5.00%, 04/01/14 | 915,000 | 922,294 | ||||||||
Public Service Co. of Colorado, 6.50%, 08/01/38 | 471,000 | 534,211 | ||||||||
Puget Sound Energy Inc. (insured by MBIA Insurance Corp.), 7.02%, 12/01/27 | 1,000,000 | 1,005,803 | ||||||||
Sempra Energy, 6.50%, 06/01/16 | 448,000 | 467,642 | ||||||||
Sempra Energy, 9.80%, 02/15/19 | 377,000 | 456,653 | ||||||||
SPI Electricity & Gas Australia Holdings Pty Ltd., 6.15%, 11/15/13 (a) (i) | 2,000,000 | 1,976,724 | ||||||||
11,292,900 | ||||||||||
Total Corporate Bonds (Cost $71,207,333) | 66,872,144 | |||||||||
Non-U.S. Government Agency Asset Backed Securities 7.1% | ||||||||||
Ahold Lease Pass Through Trust, (2001, A, A2) 8.62%, 01/02/25 | 444,249 | 397,603 | ||||||||
Banc of America Mortgage Securities Inc. REMIC, (2005, H, 2A5) 4.80%, 09/25/35 (b) (i) | 1,065,000 | 585,079 | ||||||||
Bayview Commercial Asset Trust, Interest Only (2007, 4A, IO), 1.44%, 09/25/37 (a) (h) (i) | 6,599,288 | 526,624 | ||||||||
Bayview Commercial Asset Trust REMIC, Interest Only (2007, 2A, IO), 1.30%, 07/25/37 (a) (b) (h) (i) | 6,302,546 | 473,951 | ||||||||
Bayview Financial Acquisition Trust REMIC, (2007, A, M3) 2.17%, 05/28/37 (b) (i) | 800,000 | 29,585 | ||||||||
Capital Auto Receivables Asset Trust, (2006, SN1A, C) 5.77%, 05/20/10 (a) (j) | 150,000 | 149,669 | ||||||||
Capital Auto Receivables Asset Trust, (2006, SN1A, D) 6.15%, 04/20/11 (a) (j) | 200,000 | 198,741 | ||||||||
CBA Commercial Small Balance Commercial Mortgage Trust REMIC, (2006, 2A, X1) 2.03%, 01/25/39 (a) (b) (h) (i) | 7,950,464 | 636,037 | ||||||||
Citigroup Mortgage Loan Trust Inc. REMIC, (2004, NCM2, 1CB2) 6.75%, 08/25/34 (i) | 557,653 | 493,523 | ||||||||
Citigroup Mortgage Loan Trust Inc. REMIC, (2007, WFH1, M11) 3.02%, 01/25/37 (a) (b) (i) | 225,000 | 1,000 | ||||||||
Countrywide Alternative Loan Trust REMIC, (2004, 14T2, A4) 5.50%, 08/25/34 (i) | 258,337 | 218,531 |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Countrywide Alternative Loan Trust REMIC, (2004, 35T2, A1) 6.00%, 02/25/35 (i) | 183,608 | 144,096 | ||||||||
Countrywide Alternative Loan Trust REMIC, (2005, 28CB, 3A5) 6.00%, 08/25/35 (i) | 534,664 | 457,388 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, (2006, SC1, A) 0.79%, 05/25/36 (a) (b) (j) | 134,824 | 58,754 | ||||||||
Ford Credit Auto Owner Trust, (2006, C, D) 6.89%, 05/15/13 (a) (j) | 1,060,000 | 703,868 | ||||||||
GE Business Loan Trust REMIC, (2006, 1A, D) 1.56%, 05/15/34 (a) (b) (h) (j) | 414,175 | 62,126 | ||||||||
GE Business Loan Trust REMIC, Interest Only (2006, 1A, IO), 0.60%, 05/15/10 (a) (b) (h) (i) | 21,671,568 | 46,811 | ||||||||
GMAC Mortgage Corp. Loan Trust REMIC (insured by Financial Guaranty Insurance Co.), (2006, HE3, A2) 5.75%, 10/25/36 (b) (i) | 560,932 | 347,602 | ||||||||
Greenwich Capital Commercial Funding Corp. REMIC, (2006, FL4A, ONW) 1.71%, 11/05/21 (a) (b) (f) (h) (i) | 199,001 | 995 | ||||||||
Greenwich Capital Commercial Funding Corp. REMIC, (2006, FL4A, PNW) 1.91%, 11/05/21 (a) (b) (f) (h) (i) | 189,051 | 945 | ||||||||
Lehman Brothers Small Balance Commercial REMIC, (2006, 2A, 2A2) 5.62%, 09/25/36 (a) (b) (j) | 255,000 | 207,302 | ||||||||
Marlin Leasing Receivables LLC, (2006, 1A, A4) 5.33%, 09/16/13 (a) (j) | 562,609 | 560,810 | ||||||||
Nationstar NIM Trust, (2007, A, A) 9.97%, 03/25/37 (a) (h) (i) | 22,008 | 440 | ||||||||
Option One Mortgage Loan Trust REMIC, (2007, FXD2, M6) 6.99%, 03/25/37 (b) | 500,000 | 20,683 | ||||||||
Option One Mortgage Loan Trust REMIC, (2007, FXD2, M7) 6.99%, 03/25/37 (b) | 475,000 | 15,081 | ||||||||
Option One Mortgage Loan Trust REMIC, (2007, FXD2, M8) 6.99%, 03/25/37 (b) | 725,000 | 38,932 | ||||||||
Residential Asset Securitization Trust REMIC,(2005, A1, A3) 5.50%, 04/25/35 (i) | 2,500,000 | 1,925,925 | ||||||||
Systems 2001 Asset Trust LLC, (2001, CL, B) 7.16%, 12/15/11 (a) (i) | 191,658 | 191,964 | ||||||||
Washington Mutual Commercial Mortgage Securities Trust REMIC, (2007, SL3, AJ) 6.31%, 03/23/45 (a) (b) (i) | 890,000 | 218,676 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates REMIC, (2005, AR16, 1A3) 5.10%, 12/25/35 (b) (i) | 1,320,000 | 774,233 | ||||||||
Wells Fargo Mortgage Backed Securities Trust REMIC, (2006, 1, A3) 5.00%, 03/25/21 (i) | 1,445,200 | 1,307,454 | ||||||||
Wells Fargo Mortgage Backed Securities Trust REMIC, (2006, AR8, 2A3) 5.24%, 04/25/36 (b) (i) | 1,195,754 | 876,858 | ||||||||
Total Non-U.S. Government Agency Asset-Backed Securities (Cost $19,333,613) | 11,671,286 | |||||||||
Government and Agency Obligations 46.9% | ||||||||||
Government Securities 25.1% | ||||||||||
Sovereign 0.0% | ||||||||||
Argentina Government International Bond, 7.00%, 10/03/15 (h) | 165,000 | 79,480 | ||||||||
U.S. Treasury Securities 25.1% | ||||||||||
U.S. Treasury Note, 1.50%, 10/31/10 (c) | 10,460,000 | 10,576,043 | ||||||||
U.S. Treasury Note, 0.88%, 05/31/11 (c) | 13,690,000 | 13,640,853 |
Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
U.S. Treasury Note, 2.25%, 05/31/14 (c) | 16,465,000 | 16,243,710 | ||||||||
U.S. Treasury Note, 3.13%, 05/15/19 (c) | 1,044,000 | 1,009,747 | ||||||||
41,470,353 | ||||||||||
U.S. Government Agency Mortgage-Backed Securities 21.8% | ||||||||||
Federal Farm Credit Bank 0.1% | ||||||||||
Farm Credit Bank, 7.56% (callable at 100 beginning 12/15/13) (b) (d) | 170,000 | 110,389 | ||||||||
Federal Home Loan Mortgage Corp. 6.8% | ||||||||||
Federal Home Loan Mortgage Corp., 6.50%, 02/01/38 | 1,442,960 | 1,535,122 | ||||||||
Federal Home Loan Mortgage Corp., 6.00%, 06/01/38 | 1,634,710 | 1,707,957 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.50%, 12/15/16 | 366,075 | 387,172 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.00%, 05/15/23 | 70,698 | 70,702 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.50%, 07/15/27 | 267,002 | 271,075 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 6.00%, 05/15/30 | 790,000 | 813,930 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 4.50%, 04/15/32 | 1,375,000 | 1,406,830 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 4.50%, 07/15/32 | 410,000 | 420,961 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 6.00%, 09/15/32 | 1,202,458 | 1,231,570 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.00%, 12/15/32 | 895,000 | 925,152 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.00%, 10/15/33 | 1,175,000 | 1,207,548 | ||||||||
Federal Home Loan Mortgage Corp. REMIC, 5.00%, 08/15/34 | 1,245,000 | 1,280,240 | ||||||||
11,258,259 | ||||||||||
Federal National Mortgage Association 14.5% | ||||||||||
Federal National Mortgage Association, 6.50%, 05/01/17 | 150,335 | 159,338 | ||||||||
Federal National Mortgage Association, 6.00%, 01/01/23 | 503,327 | 528,106 | ||||||||
Federal National Mortgage Association, 4.50%, 10/01/23 | 524,269 | 531,843 | ||||||||
Federal National Mortgage Association, 5.50%, 05/01/25 | 1,526,401 | 1,590,743 | ||||||||
Federal National Mortgage Association, 7.00%, 03/01/31 | 3,416,726 | 3,810,408 | ||||||||
Federal National Mortgage Association, 5.00%, 08/01/33 | 1,673,477 | 1,712,111 | ||||||||
Federal National Mortgage Association, 5.50%, 12/01/33 | 3,101,059 | 3,217,803 | ||||||||
Federal National Mortgage Association, 7.00%, 10/01/35 | 2,187,744 | 2,383,313 | ||||||||
Federal National Mortgage Association, 6.50%, 04/01/37 | 3,721,513 | 3,968,717 | ||||||||
Federal National Mortgage Association, 6.00%, 07/01/37 | 1,648,964 | 1,725,776 | ||||||||
Federal National Mortgage Association, 7.00%, 09/01/38 | 1,266,362 | 1,375,667 | ||||||||
Federal National Mortgage Association REMIC, 5.50%, 03/25/17 | 508,459 | 538,483 | ||||||||
Federal National Mortgage Association REMIC, 5.00%, 08/25/33 | 295,000 | 304,164 | ||||||||
Federal National Mortgage Association REMIC, 5.00%, 12/25/33 | 1,060,000 | 1,100,078 | ||||||||
Federal National Mortgage Association REMIC, 5.00%, 06/25/34 | 439,027 | 441,497 | ||||||||
Federal National Mortgage Association REMIC, 6.00%, 08/25/44 | 454,694 | 480,768 | ||||||||
23,868,815 | ||||||||||
Government National Mortgage Association 0.4% | ||||||||||
Government National Mortgage Association, 6.50%, 08/20/34 | 640,480 | 680,293 | ||||||||
Total Government and Agency Obligations (Cost $75,524,855) | 77,467,589 | |||||||||
Shares/Principal | ||||||||||
Amount ($) | Value ($) | |||||||||
Preferred Stocks 0.0% | ||||||||||
Financials 0.0% | ||||||||||
Federal Home Loan Mortgage Corp., 8.38%, Series Z (callable at 25 on 12/31/12) (d) | 21,034 | 25,661 | ||||||||
Total Preferred Stocks (Cost $527,316) | 25,661 | |||||||||
Short Term Investments 15.7% | ||||||||||
Commercial Paper 3.2% | ||||||||||
Campbell Soup Co., 0.18%, 07/28/09 (a) (j) | 600,000 | 599,925 | ||||||||
Coca-Cola Co., 0.20%, 08/17/09 (a) (j) | 1,000,000 | 999,739 | ||||||||
General Dynamics Corp., 0.21%, 07/01/09 (a) (j) | 570,000 | 570,000 | ||||||||
PepsiCo Inc., 0.18%, 07/06/09 (a) (j) | 426,000 | 425,989 | ||||||||
PepsiCo Inc., 0.17%, 07/14/09 (a) (j) | 273,000 | 272,983 | ||||||||
Pfizer Inc., 0.15%, 07/22/09 (a) (j) | 795,000 | 794,930 | ||||||||
Procter & Gamble Co., 0.17%, 07/08/09 (a) (j) | 769,000 | 768,975 | ||||||||
Procter & Gamble Co., 0.17%, 07/09/09 (a) (j) | 443,000 | 442,983 | ||||||||
Province of British of Columbia, 0.20%, 07/15/09 | 484,000 | 483,962 | ||||||||
5,359,486 | ||||||||||
Securities Lending Collateral 10.9% | ||||||||||
BNY Mellon Securities Lending Overnight Fund, 0.41% | 6,656,401 | 6,656,401 | ||||||||
BNY Mellon SL DBT II Liquidating Fund, 0.81% | 11,549,993 | 11,300,513 | ||||||||
Mellon GSL Reinvestment Trust II (f) (h) (i) | 354,680 | — | ||||||||
17,956,914 | ||||||||||
U.S. Treasury Securities 1.6% | ||||||||||
U.S. Treasury Bill, 0.10%, 07/09/09 | 2,428,000 | 2,427,965 | ||||||||
U.S. Treasury Bill, 0.17%, 07/16/09 (g) | 150,000 | 149,989 | ||||||||
2,577,954 | ||||||||||
Total Short Term Investments (Cost $26,498,210) | 25,894,354 | |||||||||
Total Investments 110.3% (Cost $193,091,327) | 181,931,034 | |||||||||
Return of Collateral for Securities on Loan (11.3%) | (18,561,075 | ) | ||||||||
Other Assets and Liabilities, Net 1.0% | 1,558,391 | |||||||||
Total Net Assets — 100% | $ | 164,928,350 |
(a) | Restricted 144A or Section 4(2) security. Rule 144A or Section 4(2) of the Securities Act of 1933, as amended, provides an exemption from the registration requirements for resale of this security to institutional buyers. | |
(b) | Floating rate notes are securities whose yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury bill rate. These securities are shown at their current rate as of June 30, 2009. |
(c) | All or portion of the security has been loaned. |
(d) | Perpetual maturity security. | |
(e) | Interest rate is fixed until stated call date and variable thereafter. |
(f) | Security is in default relating to principal and/or interest. |
(g) | All or a portion of the security pledged as collateral for open futures contracts. Total value of securities pledged as of June 30, 2009 was $149,989. | |
(h) | Security fair valued in good faith in accordance with the procedures established by the Board of Directors. As of June 30, 2009, the value of fair valued securities was $1,827,409 (1.1% of net assets). |
(i) | Illiquid Security: At June 30, 2009 the total value of illiquid securities was $11,846,448 (7.2% of net assets). | |
(j) | Rule 144A or Section 4(2) Liquid Security: The Fund has deemed this security to be liquid based on procedures approved by the Board of Directors. As of June 30, 2009, the aggregate value of 144A or Section 4(2) Liquid Securities was $18,195,025 (11.0% of net assets). |
Unrealized | ||||||||
Contracts | Appreciation/ | |||||||
Futures Contracts | Long/(Short) | (Depreciation) | ||||||
U.S. Treasury Note Future, 5-Year, 6.00% Expiration September 2009 | 14 | $ | (358 | ) | ||||
U.S. Treasury Note Future, 10-Year, 6.00% Expiration September 2009 | (26 | ) | (15,208 | ) | ||||
U.S. Treasury Bond Future, 20-Year, 6.00% Expiration September 2009 | (13 | ) | (30,601 | ) | ||||
$ | (46,167 | ) | ||||||
Assets as of June 30, 2009 by level: | ||||||||||||||||
Investments in Securities | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bond and Notes | $ | — | $ | 66,872,144 | $ | — | $ | 66,872,144 | ||||||||
Non-U.S. Government Agency ABS — Commercial | — | — | 1,940 | 1,940 | ||||||||||||
Non-U.S. Government Agency ABS — Home Equity | — | 510,639 | 440 | 511,079 | ||||||||||||
Non-U.S. Government Agency ABS — Other | — | 9,412,718 | 1,745,549 | 11,158,267 | ||||||||||||
Foreign Government Securities | — | — | 79,480 | 79,480 | ||||||||||||
U.S. Government Securities | — | 41,470,353 | — | 41,470,353 | ||||||||||||
U.S. Government Agency MBS | — | 35,917,756 | — | 35,917,756 | ||||||||||||
Securities Lending Collateral | — | 17,956,914 | — | 17,956,914 | ||||||||||||
Short-Term Securities | — | 7,937,440 | — | 7,937,440 | ||||||||||||
Preferred Stocks | 25,661 | — | — | 25,661 | ||||||||||||
Fund Total | $ | 25,661 | $ | 180,077,964 | $ | 1,827,409 | $ | 181,931,034 | ||||||||
Assets as of June 30, 2009 by level: | Liabilities as of June 30, 2009 by level: | |||||||||||||||||||||||||||||||
Investments in Other Financial Instruments | Investments in Other Financial Instruments | |||||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | $ | (46,167 | ) | $ | — | $ | — | $ | (46,167 | ) | ||||||||||||||
Change In | ||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Balance At | Transfers In | Total | Balance At | Appreciation/Depreciation | ||||||||||||||||||||
Beginning of | and/or (Out) of | Net | Realized and | End of | during the Period for | |||||||||||||||||||
Period | Level 3 During | Purchases/ | Unrealized | Period | Level 3 Investments | |||||||||||||||||||
01/01/2009 | the Period | (Sales) | Gain/(Loss) | 06/30/2009 | Held at June 30, 2009 | |||||||||||||||||||
Non-U.S. Government Agency ABS — Commercial | $ | 3,881 | $ | — | $ | — | $ | (1,941 | ) | $ | 1,940 | $ | (1,941 | ) | ||||||||||
Non-U.S. Government Agency ABS — Home Equity | 112,660 | (112,000 | ) | — | (220 | ) | 440 | (220 | ) | |||||||||||||||
Non-U.S. Government Agency ABS — Other | 2,030,653 | (7,802 | ) | (19,063 | ) | (258,239 | ) | 1,745,549 | (258,239 | ) | ||||||||||||||
Foreign Government Securities | — | 47,933 | — | 31,547 | 79,480 | 31,547 | ||||||||||||||||||
Fund Total | $ | 2,147,194 | $ | (71,869 | ) | $ | (19,063 | ) | $ | (228,853 | ) | $ | 1,827,409 | $ | (228,853 | ) | ||||||||
Value | Percent | |||||||||||||||
Acquisition | End of | of Net | ||||||||||||||
Date | Cost | Period | Assets | |||||||||||||
Bayview Commercial Asset Trust REMIC, Interest Only (2007, 2A, IO), 1.30%, 07/25/37 | 05/09/07 | $ | 928,659 | $ | 473,951 | 0.3 | % | |||||||||
Bayview Commercial Asset Trust, Interest Only (2007, 4A, IO), 1.44%, 09/25/37 | 08/08/07 | 861,703 | 526,624 | 0.3 | ||||||||||||
CBA Commercial Small Balance Commercial Mortgage Trust REMIC, (2006, 2A, X1) 2.03%, 01/25/39 | 01/29/07 | 780,629 | 636,037 | 0.4 | ||||||||||||
Citigroup Mortgage Loan Trust Inc. REMIC, (2007, WFH1, M11) 3.02%, 01/25/37 | 01/12/07 | 186,671 | 1,000 | — | ||||||||||||
GE Business Loan Trust REMIC,Interest Only (2006, 1A, IO), 0.60%, 05/15/10 | 06/20/06 | 114,554 | 46,811 | — | ||||||||||||
Greenwich Capital Commercial Funding Corp. REMIC, (2006, FL4A, ONW) 1.71%, 11/05/21 | 05/17/07 | 193,172 | 995 | — | ||||||||||||
Greenwich Capital Commercial Funding Corp. REMIC, (2006, FL4A, PNW) 1.91%, 11/05/21 | 05/17/07 | 183,343 | 945 | — | ||||||||||||
Nationstar NIM Trust, (2007, A, A) 9.97%, 03/25/37 | 04/26/07 | 22,008 | 440 | — | ||||||||||||
Northgroup Preferred Capital Corp., 6.38% (callable at 100 beginning 10/15/17) | 05/11/07 | 515,000 | 386,332 | 0.3 | ||||||||||||
SPI Electricity & Gas Australia Holdings Pty Ltd., 6.15%, 11/15/13 | 05/15/06 | 2,099,877 | 1,976,724 | 1.2 | ||||||||||||
Systems 2001 Asset Trust LLC, (2001, CL, B) 7.16%, 12/15/11 | 05/15/06 | 198,664 | 191,964 | 0.1 | ||||||||||||
Washington Mutual Commercial Mortgage Securities Trust REMIC, (2007, SL3, AJ) 6.31%, 03/23/45 | 06/25/07 | 886,655 | 218,676 | 0.1 | ||||||||||||
$ | 6,970,935 | $ | 4,460,499 | 2.7 | % | |||||||||||
Assets | ||||
Investments in securities, at value (a) (cost $193,091,327) | $ | 181,931,034 | ||
Foreign currency (cost $149,503) | 175,872 | |||
Receivables: | ||||
Interest | 1,540,351 | |||
Variation margin | 1,615,632 | |||
Other assets | 59,447 | |||
Total assets | 185,322,336 | |||
Liabilities | ||||
Cash overdraft | 11,934 | |||
Accrued management and investment advisory fee | 103,710 | |||
Accrued administrative fee | 30,982 | |||
Payables: | ||||
Variation margin | 1,607,233 | |||
Return of collateral for securities on loan | 18,561,075 | |||
Other liabilities | 79,052 | |||
Total liabilities | 20,393,986 | |||
Net assets, at value | $ | 164,928,350 | ||
Net Assets | ||||
Net assets consist of: | ||||
Paid-in capital | $ | 202,514,097 | ||
Undistributed net investment income | 2,281,220 | |||
Net unrealized depreciation on investments, futures contracts, and foreign currency related items | (11,180,091 | ) | ||
Accumulated net realized loss | (28,686,876 | ) | ||
Net assets, at value | $ | 164,928,350 | ||
Net Asset Value per share ($164,928,350 / 10,370,243 shares of common stock outstanding, $.01 par value, 30,000,000 shares authorized) | $ | 15.90 | ||
(a) | Includes value of securities on loan of $18,159,305. |
Investment Income | ||||
Income: | ||||
Interest | $ | 4,608,260 | ||
Securities lending income | 69,123 | |||
Total income | 4,677,383 | |||
Expenses: | ||||
Management and investment advisory fee | 196,590 | |||
Administrative fee | 182,067 | |||
Directors’ fees and expenses | 59,631 | |||
Legal | 53,292 | |||
Audit fees | 25,256 | |||
Stockholder reporting | 24,807 | |||
Insurance | 23,064 | |||
Stockholder services | 14,218 | |||
NYSE listing fee | 11,951 | |||
Custodian fees | 1,542 | |||
Other | 11,899 | |||
Total expenses | 604,317 | |||
Net investment income | 4,073,066 | |||
Realized and Unrealized Gain (Loss) on Investment Transactions | ||||
Net realized loss from investment transactions | (6,115,926 | ) | ||
Net realized gain from futures contracts | 260,970 | |||
Net realized gain from foreign currency related items* | 96,683 | |||
Net change in unrealized appreciation (depreciation) on investments | 12,065,757 | |||
Net change in unrealized appreciation (depreciation) on futures contracts | (137,462 | ) | ||
Net change in unrealized appreciation (depreciation) on foreign currency related items** | (77,108 | ) | ||
Net gain on investment transactions | 6,092,914 | |||
Net increase in net assets resulting from operations | $ | 10,165,980 | ||
* | Net realized gain from forward foreign currency contracts was $140,110. | |
** | Net change in unrealized appreciation (depreciation) on forward foreign currency contracts was $(117,515). |
Six Months Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets | June 30, 2009 | December 31, 2008 | ||||||
Operations: | ||||||||
Net investment income | $ | 4,073,066 | $ | 9,804,782 | ||||
Net realized loss on investment transactions, futures contracts and foreign currency related items | (5,758,273 | ) | (13,594,157 | ) | ||||
Net change in unrealized appreciation (depreciation) during the period on investment transactions, futures contracts and foreign currency related items | 11,851,187 | (15,787,014 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 10,165,980 | (19,576,389 | ) | |||||
Distributions to stockholders from net investment income | (2,178,323 | ) | (10,889,908 | ) | ||||
Fund share transactions: | ||||||||
Reinvestment of distributions | 127,539 | 645,479 | ||||||
Cost of shares repurchased | (330,523 | ) | (652,514 | ) | ||||
Net decrease in net assets from Fund share transactions | (202,984 | ) | (7,035 | ) | ||||
Increase (decrease) in net assets | 7,784,673 | (30,473,332 | ) | |||||
Net assets at beginning of period | 157,143,677 | 187,617,009 | ||||||
Net assets at end of period (including undistributed net investment income of $2,281,220 and $386,477, respectively) | $ | 164,928,350 | $ | 157,143,677 | ||||
Other Information | ||||||||
Shares outstanding at beginning of period | 10,384,967 | 10,382,446 | ||||||
Shares issued to stockholders in reinvestment of distributions | 9,276 | 44,521 | ||||||
Shares repurchased | (24,000 | ) | (42,000 | ) | ||||
Net increase/(decrease) in fund shares | (14,724 | ) | 2,521 | |||||
Shares outstanding at end of period | 10,370,243 | 10,384,967 | ||||||
Years ended December 31, | 2009a | 2008 | 2007 | 2006f | 2005 | 2004 | ||||||||||||||||||||
Selected Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.13 | $ | 18.07 | $ | 18.81 | $ | 18.99 | $ | 19.62 | $ | 19.64 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||
Incomeb | 0.45 | 1.07 | 1.18 | 1.03 | 1.14 | 1.18 | ||||||||||||||||||||
Operating expensesb | (0.06 | ) | (0.12 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | (0.14 | ) | ||||||||||||||
Net investment incomeb | 0.39 | 0.95 | 1.05 | 0.90 | 1.00 | 1.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 0.59 | (2.84 | ) | (0.67 | ) | (0.03 | ) | (0.49 | ) | 0.17 | ||||||||||||||||
Total from investment operations | 0.98 | (1.89 | ) | 0.38 | 0.87 | 0.51 | 1.21 | |||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.21 | ) | (1.05 | ) | (1.12 | ) | (1.05 | ) | (1.14 | ) | (1.23 | ) | ||||||||||||||
Net asset value, end of period | $ | 15.90 | $ | 15.13 | $ | 18.07 | $ | 18.81 | $ | 18.99 | $ | 19.62 | ||||||||||||||
Per share market value, end of period | $ | 14.45 | $ | 13.82 | $ | 16.13 | $ | 17.28 | $ | 16.91 | $ | 18.36 | ||||||||||||||
Closing price range on New York Stock Exchange for each share of Common Stock outstanding during the period: | ||||||||||||||||||||||||||
High ($) | 14.60 | 17.27 | 17.80 | 17.57 | 18.85 | 19.39 | ||||||||||||||||||||
Low ($) | 13.19 | 11.25 | 15.77 | 16.30 | 16.55 | 16.55 | ||||||||||||||||||||
Total Return | ||||||||||||||||||||||||||
Based on market value (%)c | 6.16 | h | (7.94 | ) | (0.23 | ) | 8.70 | (1.69 | ) | 5.82 | ||||||||||||||||
Based on net asset value (%)c | 6.69 | h | (10.04 | ) | 2.68 | 5.37 | 3.31 | 6.86 | e | |||||||||||||||||
Ratios to Average Net Assets and Supplemental Data | ||||||||||||||||||||||||||
Net assets, end of period ($ millions) | 165 | 157 | 188 | 195 | 197 | 204 | ||||||||||||||||||||
Ratio of expenses before expense reductions (%) | 0.77 | g | 0.73 | 0.67 | 0.70 | 0.74 | 0.75 | |||||||||||||||||||
Ratio of expenses after expense reductions (%) | 0.77 | g | 0.73 | 0.67 | 0.70 | 0.74 | 0.72 | |||||||||||||||||||
Ratio of net investment income (%) | 5.18 | g | 5.57 | 5.64 | 4.78 | 5.11 | 5.26 | |||||||||||||||||||
Portfolio turnover rate (%)d | 87 | h | 170 | 122 | 199 | 157 | 149 | |||||||||||||||||||
a | For the six months ended June 30, 2009. | |
b | Based on average shares outstanding during the period. | |
c | Total return based on net asset value reflects changes in the Fund’s net asset value during the period. Total return based on market value reflects changes in market price. Each figure includes reinvestment of dividends. These figures will differ depending upon the level of any discount or premium between market price and net asset value. | |
d | The portfolio turnover rates excluding mortgage dollar roll transactions are stated in the Financial Highlights. The portfolio turnover rates for those years that had mortgage dollar roll transactions were 349% and 376%, for the years ended December 31, 2005 and 2004, respectively. The Fund had no transactions from mortgage dollar rolls for the six months ended June 30, 2009 and for the years ended December 31, 2008, 2007 and 2006. | |
e | Total return would have been lower had certain expenses not been reduced. |
f | The Fund changed investment adviser effective June 9, 2006. |
g | Annualized. | |
h | Not annualized. |
A. | Significant Accounting Policies |
B. | Purchases and Sales of Securities |
C. | Fees and Agreements |
D. | Federal Income Tax Matters |
Cost of | Gross Unrealized | Gross Unrealized | Net Unrealized | |||||||||||||||
Investments | Depreciation | Appreciation | Depreciation | |||||||||||||||
$ | 193,589,123 | $ | (16,192,791 | ) | $ | 4,534,702 | $ | (11,658,089 | ) | |||||||||
Year of Expiration | Amount | |||||||||
2010 | $ | 781,347 | ||||||||
2013 | 1,872,360 | |||||||||
2014 | 3,952,947 | |||||||||
2015 | 596,899 | |||||||||
2016 | 12,721,218 | |||||||||
Total | $ | 19,924,771 | ||||||||
E. | Share Repurchases |
F. | Market, Credit and Counterparty Risk |
G. | Recent Accounting Pronouncements |
Number of Votes: | ||||||||
Directors | For | Withheld | ||||||
Richard J. Bradshaw | 8,944,350 | 245,941 | ||||||
Victor L. Hymes | 9,013,562 | 176,729 | ||||||
John T. Packard | 9,009,984 | 180,307 | ||||||
Wendell G. Van Auken | 8,947,337 | 242,954 | ||||||
James C. Van Horne | 8,946,537 | 243,754 | ||||||
Investment Adviser | Hartford Investment Management Company 55 Farmington Avenue Hartford, CT 06105 | |
Administrator | Jackson Fund Services 225 West Wacker Drive Chicago, IL 60606 | |
Transfer Agent | BNY Mellon Shareowner Services c/o MSIS Stock Transfer 480 Washington Boulevard Jersey City, NJ 07310 (Tel) 1/877/437-3938 | |
Custodian | The Bank of New York Mellon Corporation One Mellon Center Pittsburgh, PA 15258 | |
Legal Counsel | Howard Rice Nemerovski Canady Falk & Rabkin PC Three Embarcadero Center San Francisco, CA 94111 | |
• | Information we receive from broker-dealers, investment advisers, the Fund’s transfer agent, and the Fund’s dividend reinvestment plan administrator (such as a stockholder’s name, address and tax identification number); | |
• | An address received from a third party when a stockholder has moved; and | |
• | Account balance and transaction activity. |
• | Disclosing information to a third party in order to process account transactions that you request or authorize; | |
• | Disclosing your name and address to companies that mail Fund related materials, such as stockholder reports and proxy materials; and | |
• | Disclosing information in connection with regulatory inquiries and legal proceedings, such as responding to a request for information or subpoena. |
![]() Jackson Fund Services 225 West Wacker Drive Suite 1200 Chicago, IL 60606 |
(42065 2/06)
Item 2. Code of Ethics.
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.
Item 6. Investments.
(a) | Included in Report to Stockholders under Item 1. |
(b) | Not applicable. |
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.
Period | (a) Total Number of Shares (or Units) Purchased(1) | (b) Average Price Paid per Share (or Unit) | (c) Total Number of Shares (or Units) Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number (or Approximate Dollar Value) of Shares (or Units) that May Yet Be Purchased Under the Plans or Programs |
January 1 – January 31 | 0 | 0 | n/a | n/a |
February 1 – February 28 | 4,000 | 13.70 | n/a | n/a |
March 1 – March 31 | 8,000 | 13.45 | n/a | n/a |
April 1 – April 30 | 0 | 0 | n/a | n/a |
May 1 – May 31 | 12,000 | 13.91 | n/a | n/a |
June 1 – June 30 | 0 | 0 | n/a | n/a |
Total |
24,000 |
13.72 |
n/a |
n/a |
(1) All purchases were made on the open market pursuant to the registrant’s Repurchase Program and related guidelines.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which stockholders may recommend nominees to the registrant’s Board of Directors since the registrant last disclosed such procedures in a Proxy Statement or Form N-CSR.
Item 11. Controls and Procedures.
(a) | The President/Principal Executive Officer and the Treasurer/Principal Financial Officer of the registrant have concluded, based on their evaluation of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within ninety (90) days of the filing date of this report on Form N-CSR, that such controls and procedures are effective and that the design and operation of such procedures ensures that information required to be disclosed by the registrant in this report on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the U.S. Securities and Exchange Commission’s rules and forms. |
(b) | There has been no change in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the 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. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
| (2) | Certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. |
| (3) | Not applicable. |
(b) | Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended. |
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.
| Montgomery Street Income Securities, Inc. |
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By: | /s/ Mark D. Nerud |
Name: | Mark D. Nerud |
Title: | President and Principal Executive Officer |
Date: | August 28, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By: | /s/ Mark D. Nerud |
Name: | Mark D. Nerud |
Title: | President and Principal Executive Officer |
Date: | August 28, 2009 |
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By: | /s/ Daniel W. Koors |
Name: | Daniel W. Koors |
Title: | Treasurer and Principal Financial Officer |
Date: | August 28, 2009 |
EXHIBIT LIST
Exhibit 12(a)(2)(a): | Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended |
Exhibit 12(a)(2)(b): | Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended |
Exhibit 12(b): | Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended |