SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
(Address of principal executive offices) (Zip code)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
December 31, 2008 Oppenheimer Management MidCap Fund/VA Commentaries and A Series of Oppenheimer Variable Account Funds Annual Report M A N A G E M E N T C O M M E N TA R I E S Listing of Top Holdings A N N UA L R E P O RT Fund Performance Discussion Listing of Investments Financial Statements |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 563.70 | $ | 2.56 | ||||||
Service shares | 1,000.00 | 562.90 | 3.66 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.87 | 3.31 | |||||||||
Service shares | 1,000.00 | 1,020.46 | 4.73 |
Class | Expense Ratios | |||
Non-Service shares | 0.65 | % | ||
Service shares | 0.93 |
Shares | Value | |||||||
Common Stocks—90.6% | ||||||||
Consumer Discretionary—15.8% | ||||||||
Diversified Consumer Services—3.8% | ||||||||
DeVry, Inc. | 80,900 | $ | 4,644,469 | |||||
New Oriental Education & Technology Group, Inc., Sponsored ADR1 | 164,700 | 9,043,677 | ||||||
Strayer Education, Inc. | 22,200 | 4,759,902 | ||||||
18,448,048 | ||||||||
Hotels, Restaurants & Leisure—3.6% | ||||||||
Burger King Holdings, Inc. | 730,300 | 17,439,564 | ||||||
Media—4.6% | ||||||||
Cablevision Systems Corp. | ||||||||
New York Group, Cl. A | 737,800 | 12,424,552 | ||||||
Liberty Global, Inc., Series C1 | 355,704 | 5,399,587 | ||||||
Liberty Media Corp.-Entertainment, Series A1 | 257,100 | 4,494,108 | ||||||
22,318,247 | ||||||||
Multiline Retail—1.4% | ||||||||
Dollar Tree, Inc.1 | 158,100 | 6,608,580 | ||||||
Specialty Retail—1.2% | ||||||||
GameStop Corp., Cl. A1 | 269,500 | 5,837,370 | ||||||
Textiles, Apparel & Luxury Goods—1.2% | ||||||||
Polo Ralph Lauren Corp., Cl. A | 130,400 | 5,921,464 | ||||||
Consumer Staples—2.2% | ||||||||
Beverages—0.4% | ||||||||
Central European Distribution Corp.1 | 98,900 | 1,948,330 | ||||||
Food Products—1.2% | ||||||||
Flowers Foods, Inc. | 241,000 | 5,870,760 | ||||||
Personal Products—0.6% | ||||||||
Chattem, Inc.1 | 36,100 | 2,582,233 | ||||||
Energy—7.7% | ||||||||
Energy Equipment & Services—2.9% | ||||||||
Cameron International Corp.1 | 235,400 | 4,825,700 | ||||||
IHS, Inc., Cl. A1 | 250,800 | 9,384,936 | ||||||
14,210,636 | ||||||||
Oil, Gas & Consumable Fuels—4.8% | ||||||||
Cabot Oil & Gas Corp., Cl. A | 112,300 | 2,919,800 | ||||||
Petrohawk Energy Corp.1 | 483,500 | 7,557,105 | ||||||
Range Resources Corp. | 335,800 | 11,548,162 | ||||||
SandRidge Energy, Inc.1 | 166,440 | 1,023,606 | ||||||
23,048,673 | ||||||||
Financials—8.2% | ||||||||
Capital Markets—3.7% | ||||||||
Affiliated Managers Group, Inc.1 | 125,200 | 5,248,384 | ||||||
Eaton Vance Corp. | 202,500 | 4,254,525 | ||||||
Lazard Ltd., Cl. A | 277,800 | 8,261,772 | ||||||
17,764,681 | ||||||||
Diversified Financial Services—3.0% | ||||||||
IntercontinentalExchange, Inc.1 | 98,500 | 8,120,340 | ||||||
MSCI, Inc., Cl. A1 | 351,500 | 6,242,640 | ||||||
14,362,980 | ||||||||
Insurance—0.7% | ||||||||
RenaissanceRe Holdings Ltd. | 70,600 | 3,640,136 | ||||||
Real Estate Investment Trusts—0.8% | ||||||||
Boston Properties, Inc. | 69,900 | 3,844,500 | ||||||
Health Care—16.9% | ||||||||
Biotechnology—2.2% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 220,000 | 7,961,800 | ||||||
Myriad Genetics, Inc.1 | 38,000 | 2,517,880 | ||||||
10,479,680 | ||||||||
Health Care Equipment & Supplies—7.3% | ||||||||
Bard (C.R.), Inc. | 163,900 | 13,810,214 | ||||||
Edwards Lifesciences Corp.1 | 164,600 | 9,044,770 | ||||||
Haemonetics Corp.1 | 44,600 | 2,519,900 | ||||||
IDEXX Laboratories, Inc.1 | 141,300 | 5,098,104 | ||||||
NuVasive, Inc.1 | 135,100 | 4,681,215 | ||||||
35,154,203 | ||||||||
Health Care Providers & Services—1.0% | ||||||||
Schein (Henry), Inc.1 | 133,800 | 4,909,122 | ||||||
Life Sciences Tools & Services—3.1% | ||||||||
Covance, Inc.1 | 88,200 | 4,059,846 | ||||||
Illumina, Inc.1 | 256,500 | 6,681,825 | ||||||
Waters Corp.1 | 120,000 | 4,398,000 | ||||||
15,139,671 | ||||||||
Pharmaceuticals—3.3% | ||||||||
Perrigo Co. | 187,700 | 6,064,587 | ||||||
Shire Ltd., ADR | 226,400 | 10,138,192 | ||||||
16,202,779 |
Shares | Value | |||||||
Industrials—15.9% | ||||||||
Aerospace & Defense—2.7% | ||||||||
Alliant Techsystems, Inc.1 | 55,700 | $ | 4,776,832 | |||||
Curtiss-Wright Corp. | 148,400 | 4,955,076 | ||||||
Rockwell Collins, Inc. | 86,700 | 3,389,103 | ||||||
13,121,011 | ||||||||
Air Freight & Logistics—3.4% | ||||||||
C.H. Robinson Worldwide, Inc. | 169,900 | 9,349,597 | ||||||
Expeditors International of Washington, Inc. | 209,600 | 6,973,392 | ||||||
16,322,989 | ||||||||
Commercial Services & Supplies—6.9% | ||||||||
Clean Harbors, Inc.1 | 101,500 | 6,439,160 | ||||||
FTI Consulting, Inc.1 | 156,100 | 6,974,548 | ||||||
Stericycle, Inc.1 | 274,100 | 14,275,128 | ||||||
Waste Connections, Inc.1 | 176,200 | 5,562,634 | ||||||
33,251,470 | ||||||||
Construction & Engineering—2.3% | ||||||||
Foster Wheeler Ltd.1 | 100,200 | 2,342,676 | ||||||
Quanta Services, Inc.1 | 458,000 | 9,068,400 | ||||||
11,411,076 | ||||||||
Machinery—0.6% | ||||||||
Bucyrus International, Inc., Cl. A | 151,000 | 2,796,520 | ||||||
Information Technology—19.1% | ||||||||
Computers & Peripherals—1.1% | ||||||||
NetApp, Inc.1 | 390,200 | 5,451,094 | ||||||
Electronic Equipment & Instruments—3.1% | ||||||||
Amphenol Corp., Cl. A | 347,500 | 8,333,050 | ||||||
FLIR Systems, Inc.1 | 82,600 | 2,534,168 | ||||||
Trimble Navigation Ltd.1 | 195,600 | 4,226,916 | ||||||
15,094,134 | ||||||||
Internet Software & Services—1.7% | ||||||||
Equinix, Inc.1 | 150,200 | 7,989,138 | ||||||
IT Services—5.0% | ||||||||
Cognizant Technology Solutions Corp.1 | 311,200 | 5,620,272 | ||||||
SAIC, Inc.1 | 946,400 | 18,435,872 | ||||||
24,056,144 | ||||||||
Software—8.2% | ||||||||
Ansys, Inc.1 | 356,400 | 9,939,996 | ||||||
Autodesk, Inc.1 | 249,100 | 4,894,815 | ||||||
FactSet Research Systems, Inc. | 253,850 | 11,230,324 | ||||||
Macrovision Solutions Corp.1 | 576,509 | 7,292,839 | ||||||
Salesforce.com, Inc.1 | 201,300 | 6,443,613 | ||||||
39,801,587 | ||||||||
Materials—2.4% | ||||||||
Chemicals—2.4% | ||||||||
Intrepid Potash, Inc.1 | 126,920 | 2,636,128 | ||||||
Lubrizol Corp. (The) | 242,400 | 8,820,936 | ||||||
11,457,064 | ||||||||
Telecommunication Services—1.2% | ||||||||
Wireless Telecommunication Services—1.2% | ||||||||
American Tower Corp.1 | 193,200 | 5,664,624 | ||||||
Utilities—1.2% | ||||||||
Gas Utilities—1.2% | ||||||||
Questar Corp. | 178,600 | 5,838,434 | ||||||
Total Common Stocks (Cost $547,027,310) | 437,986,942 | |||||||
Investment Company—5.9% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%2,3 (Cost $28,742,391) | 28,742,391 | 28,742,391 | ||||||
Total Investments, at Value (Cost $575,769,701) | 96.5 | % | 466,729,333 | |||||
Other Assets Net of Liabilities | 3.5 | 16,906,522 | ||||||
Net Assets | 100.0 | % | $ | 483,635,855 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 35,791,815 | 295,082,029 | 302,131,453 | 28,742,391 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $28,742,391 | $368,202 |
3. | Rate shown is the 7-day yield as of December 31, 2008. |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 466,729,333 | $ | — | ||||
Level 2—Other Significant Observable Inputs | — | — | ||||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 466,729,333 | $ | — | ||||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $ 547,027,310) | $ | 437,986,942 | ||
Affiliated companies (cost $28,742,391) | 28,742,391 | |||
466,729,333 | ||||
Cash | 306,249 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 16,208,249 | |||
Investments sold | 542,845 | |||
Dividends | 153,408 | |||
Due from Manager | 79 | |||
Other | 18,542 | |||
Total assets | 483,958,705 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 243,634 | |||
Legal, auditing and other professional fees | 29,420 | |||
Shareholder communications | 18,237 | |||
Distribution and service plan fees | 13,525 | |||
Trustees’ compensation | 10,110 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 6,204 | |||
Total liabilities | 322,850 | |||
Net Assets | $ | 483,635,855 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 17,575 | ||
Additional paid-in capital | 1,274,620,037 | |||
Accumulated net investment income | 80,204 | |||
Accumulated net realized loss on investments | (682,041,593 | ) | ||
Net unrealized depreciation on investments | (109,040,368 | ) | ||
Net Assets | $ | 483,635,855 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $461,684,362 and 16,763,350 shares of beneficial interest outstanding) | $ | 27.54 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $21,951,493 and 812,009 shares of beneficial interest outstanding) | $ | 27.03 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $14,130) | $ | 2,676,265 | ||
Affiliated companies | 368,202 | |||
Interest | 9,313 | |||
Total investment income | 3,053,780 | |||
Expenses | ||||
Management fees | 5,532,191 | |||
Distribution and service plan fees—Service shares | 89,039 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Trustees’ compensation | 23,861 | |||
Custodian fees and expenses | 4,996 | |||
Other | 13,186 | |||
Total expenses | 5,683,261 | |||
Less reduction to custodian expenses | (1,361 | ) | ||
Less waivers and reimbursements of expenses | (198,509 | ) | ||
Net expenses | 5,483,391 | |||
Net Investment Loss | (2,429,611 | ) | ||
Realized and Unrealized Loss | ||||
Net realized loss on investments from unaffiliated companies | (219,835,993 | ) | ||
Net change in unrealized depreciation on investments | (251,402,010 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (473,667,614 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment loss | $ | (2,429,611 | ) | $ | (570,739 | ) | ||
Net realized gain (loss) | (219,835,993 | ) | 186,877,254 | |||||
Net change in unrealized appreciation (depreciation) | (251,402,010 | ) | (117,202,651 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (473,667,614 | ) | 69,103,864 | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (88,752,649 | ) | (118,530,501 | ) | ||||
Service shares | (3,655,383 | ) | (2,801,818 | ) | ||||
(92,408,032 | ) | (121,332,319 | ) | |||||
Net Assets | ||||||||
Total decrease | (566,075,646 | ) | (52,228,455 | ) | ||||
Beginning of period | 1,049,711,501 | 1,101,939,956 | ||||||
End of period (including accumulated net investment income (loss) of $80,204 and $(16,629), respectively) | $ | 483,635,855 | $ | 1,049,711,501 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 54.07 | $ | 50.85 | $ | 49.39 | $ | 43.97 | $ | 36.71 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (.13 | ) | (.02 | ) | (.02 | ) | (.12 | ) | (.15 | ) | ||||||||||
Net realized and unrealized gain (loss) | (26.40 | ) | 3.24 | 1.48 | 5.54 | 7.41 | ||||||||||||||
Total from investment operations | (26.53 | ) | 3.22 | 1.46 | 5.42 | 7.26 | ||||||||||||||
Net asset value, end of period | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | $ | 43.97 | ||||||||||
Total Return, at Net Asset Value2 | (49.07 | )% | 6.33 | % | 2.96 | % | 12.33 | % | 19.78 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 461,684 | $ | 1,002,442 | $ | 1,054,809 | $ | 1,227,881 | $ | 1,209,459 | ||||||||||
Average net assets (in thousands) | $ | 754,170 | $ | 1,045,592 | $ | 1,135,831 | $ | 1,177,979 | $ | 1,124,874 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment loss | (0.30 | )% | (0.04 | )% | (0.04 | )% | (0.26 | )% | (0.39 | )% | ||||||||||
Total expenses | 0.71 | %4 | 0.69 | %4 | 0.69 | %4 | 0.69 | % | 0.69 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.68 | % | 0.69 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||
Portfolio turnover rate | 78 | % | 112 | % | 56 | % | 32 | % | 53 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.71 | % | ||
Year Ended December 31, 2007 | 0.69 | % | ||
Year Ended December 31, 2006 | 0.69 | % |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 53.22 | $ | 50.19 | $ | 48.87 | $ | 43.64 | $ | 36.54 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (.24 | ) | (.17 | ) | (.16 | ) | (.25 | ) | (.27 | ) | ||||||||||
Net realized and unrealized gain (loss) | (25.95 | ) | 3.20 | 1.48 | 5.48 | 7.37 | ||||||||||||||
Total from investment operations | (26.19 | ) | 3.03 | 1.32 | 5.23 | 7.10 | ||||||||||||||
Net asset value, end of period | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | $ | 43.64 | ||||||||||
Total Return, at Net Asset Value2 | (49.21 | )% | 6.04 | % | 2.70 | % | 11.99 | % | 19.43 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,952 | $ | 47,270 | $ | 47,131 | $ | 36,551 | $ | 24,151 | ||||||||||
Average net assets (in thousands) | $ | 35,815 | $ | 49,421 | $ | 44,273 | $ | 28,798 | $ | 17,579 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment loss | (0.57 | )% | (0.31 | )% | (0.33 | )% | (0.54 | )% | (0.68 | )% | ||||||||||
Total expenses | 0.98 | %4 | 0.96 | %4 | 0.97 | %4 | 0.97 | % | 0.99 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.95 | % | 0.96 | % | 0.97 | % | 0.97 | % | 0.99 | % | ||||||||||
Portfolio turnover rate | 78 | % | 112 | % | 56 | % | 32 | % | 53 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.98 | % | ||
Year Ended December 31, 2007 | 0.96 | % | ||
Year Ended December 31, 2006 | 0.97 | % |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4 | Income Tax Purposes | |||||||||
$— | $ | — | $673,554,628 | $117,437,028 |
1. | As of December 31, 2008, the Fund had $455,557,670 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2009 | $ | 225,332,848 | ||
2010 | 230,224,822 | |||
Total | $ | 455,557,670 | ||
2. | As of December 31, 2008, the Fund had $217,996,958 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | During the fiscal year ended December 31, 2008, the Fund utilized $4,134,778 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2007, the Fund utilized $189,103,306 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Reduction to | ||||
Accumulated Net | ||||
Reduction | Investment | |||
to Paid-in Capital | Loss | |||
$2,526,444 | $2,526,444 |
Federal tax cost of securities | $ | 584,166,361 | ||
Gross unrealized appreciation | $ | 23,103,445 | ||
Gross unrealized depreciation | (140,540,473 | ) | ||
Net unrealized depreciation | $ | (117,437,028 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,670,583 | $ | 61,944,000 | 1,842,068 | $ | 99,805,796 | ||||||||||
Redeemed | (3,445,654 | ) | (150,696,649 | ) | (4,045,787 | ) | (218,336,297 | ) | ||||||||
Net decrease | (1,775,071 | ) | $ | (88,752,649 | ) | (2,203,719 | ) | $ | (118,530,501 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 131,251 | $ | 5,180,963 | 158,587 | $ | 8,425,522 | ||||||||||
Redeemed | (207,366 | ) | (8,836,346 | ) | (209,531 | ) | (11,227,340 | ) | ||||||||
Net decrease | (76,115 | ) | $ | (3,655,383 | ) | (50,944 | ) | $ | (2,801,818 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 616,640,852 | $ | 718,329,116 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $700 million | 0.60 | |||
Over $1.5 billion | 0.58 |
February 11, 2009
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of | |
Fund, Length of Service, Age | Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 – June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2001) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 607.00 | $ | 2.71 | ||||||
Service Shares | 1,000.00 | 606.40 | 3.73 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.77 | 3.41 | |||||||||
Service Shares | 1,000.00 | 1,020.51 | 4.68 |
Class | Expense Ratios | |||
Non-Service Shares | 0.67 | % | ||
Service Shares | 0.92 |
Shares | Value | |||||||
Common Stocks—65.1% | ||||||||
Consumer Discretionary—10.5% | ||||||||
Hotels, Restaurants & Leisure—1.1% | ||||||||
Las Vegas Sands Corp.1 | 440,320 | $ | 2,611,098 | |||||
Media—9.4% | ||||||||
Cablevision Systems Corp. | ||||||||
New York Group, Cl. A | 193,360 | 3,256,182 | ||||||
Comcast Corp., Cl. A Special, Non-Vtg. | 244,090 | 3,942,054 | ||||||
Jupiter Telecommunications Co. Ltd. | 4,088 | 4,257,100 | ||||||
Liberty Global, Inc., Series A1 | 257,738 | 4,103,189 | ||||||
Liberty Global, Inc., Series C1 | 171,460 | 2,602,763 | ||||||
National CineMedia, Inc. | 233,260 | 2,365,256 | ||||||
Time Warner Cable, Inc., Cl. A1 | 87,407 | 1,874,880 | ||||||
22,401,424 | ||||||||
Consumer Staples—5.9% | ||||||||
Food Products—1.4% | ||||||||
Nestle SA | 87,780 | 3,453,633 | ||||||
Tobacco—4.5% | ||||||||
Altria Group, Inc. | 83,010 | 1,250,131 | ||||||
Lorillard, Inc. | 50,660 | 2,854,691 | ||||||
Philip Morris International, Inc. | 151,010 | 6,570,445 | ||||||
10,675,267 | ||||||||
Energy—3.9% | ||||||||
Oil, Gas & Consumable Fuels—3.9% | ||||||||
Alpha Natural Resources, Inc.1 | 25,310 | 409,769 | ||||||
Exxon Mobil Corp. | 96,370 | 7,693,217 | ||||||
Petroleo Brasileiro SA, ADR | 52,490 | 1,285,480 | ||||||
9,388,466 | ||||||||
Financials—6.3% | ||||||||
Capital Markets—2.6% | ||||||||
Credit Suisse Group AG, ADR | 54,070 | 1,528,018 | ||||||
Julius Baer Holding AG | 123,317 | 4,735,493 | ||||||
6,263,511 | ||||||||
Consumer Finance—1.5% | ||||||||
SLM Corp.1 | 390,890 | 3,478,921 | ||||||
Insurance—2.2% | ||||||||
Everest Re Group Ltd. | 68,430 | 5,210,260 | ||||||
Health Care—7.0% | ||||||||
Biotechnology—0.9% | ||||||||
Amicus Therapeutics, Inc.1 | 95,449 | 761,683 | ||||||
Human Genome Sciences, Inc.1 | 256,420 | 543,610 | ||||||
Orexigen Therapeutics, Inc.1 | 153,170 | 854,689 | ||||||
2,159,982 | ||||||||
Health Care Equipment & Supplies—0.6% | ||||||||
Beckman Coulter, Inc. | 32,120 | 1,411,353 | ||||||
Health Care Providers & Services—2.4% | ||||||||
Aetna, Inc. | 51,240 | 1,460,340 | ||||||
Health Net, Inc.1 | 142,240 | 1,548,994 | ||||||
Medco Health Solutions, Inc.1 | 53,320 | 2,234,641 | ||||||
Skilled Healthcare Group, Inc., Cl. A1 | 46,060 | 388,746 | ||||||
5,632,721 | ||||||||
Life Sciences Tools & Services—0.9% | ||||||||
Thermo Fisher Scientific, Inc.1 | 63,710 | 2,170,600 | ||||||
Pharmaceuticals—2.2% | ||||||||
Abbott Laboratories | 48,410 | 2,583,642 | ||||||
Wyeth | 69,000 | 2,588,190 | ||||||
5,171,832 | ||||||||
Industrials—4.1% | ||||||||
Aerospace & Defense—0.5% | ||||||||
Orbital Sciences Corp.1 | 65,404 | 1,277,340 | ||||||
Industrial Conglomerates—2.4% | ||||||||
Siemens AG, Sponsored ADR | 74,840 | 5,669,130 | ||||||
Machinery—0.9% | ||||||||
Joy Global, Inc. | 57,780 | 1,322,584 | ||||||
Navistar International Corp.1 | 35,050 | 749,369 | ||||||
2,071,953 | ||||||||
Trading Companies & Distributors—0.3% | ||||||||
Aircastle Ltd. | 168,100 | 803,518 | ||||||
Information Technology—25.6% | ||||||||
Communications Equipment—5.4% | ||||||||
QUALCOMM, Inc. | 184,560 | 6,612,785 | ||||||
Research in Motion Ltd.1 | 154,780 | 6,280,972 | ||||||
12,893,757 | ||||||||
Computers & Peripherals—1.2% | ||||||||
International Business Machines Corp. | 33,760 | 2,841,242 | ||||||
Electronic Equipment & Instruments—0.0% | ||||||||
CalAmp Corp.1 | 19 | 9 | ||||||
Internet Software & Services—5.3% | ||||||||
eBay, Inc.1 | 271,900 | 3,795,724 | ||||||
Google, Inc., Cl. A1 | 21,510 | 6,617,552 | ||||||
Yahoo!, Inc.1 | 193,370 | 2,359,114 | ||||||
12,772,390 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment—1.5% | ||||||||
Applied Materials, Inc. | 245,390 | $ | 2,485,801 | |||||
Varian Semiconductor Equipment Associates, Inc.1 | 54,720 | 991,526 | ||||||
3,477,327 | ||||||||
Software—12.2% | ||||||||
Electronic Arts, Inc.1 | 151,000 | 2,422,040 | ||||||
Microsoft Corp. | 344,800 | 6,702,912 | ||||||
Novell, Inc.1 | 337,980 | 1,314,742 | ||||||
Synopsys, Inc.1 | 114,640 | 2,123,133 | ||||||
Take-Two Interactive Software, Inc. | 1,714,376 | 12,960,683 | ||||||
THQ, Inc.1 | 853,300 | 3,575,327 | ||||||
29,098,837 | ||||||||
Materials—1.3% | ||||||||
Chemicals—1.3% | ||||||||
Lubrizol Corp. (The) | 44,140 | 1,606,255 | ||||||
Mosaic Co. (The) | 42,010 | 1,453,546 | ||||||
3,059,801 | ||||||||
Telecommunication Services—0.0% | ||||||||
Diversified Telecommunication Services—0.0% | ||||||||
XO Holdings, Inc.1 | 85 | 14 | ||||||
Utilities—0.5% | ||||||||
Energy Traders—0.5% | ||||||||
NRG Energy, Inc.1 | 50,540 | 1,179,098 | ||||||
Total Common Stocks | ||||||||
(Cost $191,452,153) | 155,173,484 | |||||||
Preferred Stocks—3.2% | ||||||||
Mylan, Inc., 6.50% Cv., Non-Vtg. | 4,800 | 3,163,344 | ||||||
Petroleo Brasileiro SA, Preference | 120,540 | 1,223,055 | ||||||
Schering-Plough Corp., 6% Cv. | 18,800 | 3,280,600 | ||||||
Total Preferred Stocks | ||||||||
(Cost $6,066,144) | 7,666,999 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
XO Communications, Inc.: | ||||||||
Series A Wts., Strike Price $6.25, Exp. 1/16/101,2 | 171 | 1 | ||||||
Series B Wts., Strike Price $7.50, Exp. 1/16/101,2 | 128 | 1 | ||||||
Series C Wts., Strike Price $10, Exp. 1/16/101,2 | 128 | — | ||||||
Total Rights, Warrants and Certificates (Cost $0) | 2 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—2.4% | ||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.951%, 5/25/343 | $ | 830,484 | $ | 641,424 | ||||
Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 1.215%, 4/15/113 | 1,354,945 | 1,315,474 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 180,000 | 97,743 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.211%, 2/25/333 | 18,836 | 8,782 | ||||||
Series 2005-11, Cl. AF2, 4.657%, 2/25/36 | 85,643 | 84,377 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/363 | 360,000 | 287,909 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/363 | 223,831 | 193,021 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.591%, 12/5/293 | 480,000 | 369,061 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 0.768%, 1/20/353 | 293,512 | 208,659 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.618%, 3/20/363 | 180,000 | 150,818 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 2A1B, 5.18%, 8/25/353 | 110,498 | 108,427 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 2.545%, 3/15/163 | 1,710,000 | 665,119 | ||||||
Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.571%, 7/1/363 | 910,060 | 801,961 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.571%, 9/25/363 | 665,152 | 605,196 | ||||||
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.511%, 9/25/363 | 188,309 | 176,291 | ||||||
Total Asset-Backed Securities | ||||||||
(Cost $7,654,859) | 5,714,262 |
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations—33.6% | ||||||||
Government Agency—23.5% | ||||||||
FHLMC/FNMA/Sponsored—23.3% | ||||||||
Federal Home Loan Mortgage Corp., 6.50%, 1/1/244 | $ | 1,110,000 | $ | 1,151,625 | ||||
Federal Home Loan Mortgage Corp.,Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 22.839%, 3/25/363 | 318,633 | 363,264 | ||||||
Series 3025, Cl. SJ, 20.368%, 8/15/353 | 102,496 | 117,184 | ||||||
Series 3094, Cl. HS, 20.002%, 6/15/343 | 195,832 | 218,120 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. IO, 3.205%, 6/1/265 | 171,080 | 33,825 | ||||||
Series 183, Cl. IO, 1.189%, 4/1/275 | 273,554 | 40,597 | ||||||
Series 184, Cl. IO, 7.51%, 12/1/265 | 299,662 | 59,663 | ||||||
Series 192, Cl. IO, 4.855%, 2/1/285 | 81,532 | 11,519 | ||||||
Series 200, Cl. IO, 4.491%, 1/1/295 | 100,250 | 17,097 | ||||||
Series 2130, Cl. SC, 35.774%, 3/15/295 | 215,198 | 32,570 | ||||||
Series 216, Cl. IO, 2.681%, 12/1/315 | 161,020 | 20,364 | ||||||
Series 224, Cl. IO, (0.528)%, 3/1/335 | 509,627 | 75,981 | ||||||
Series 243, Cl. 6, 15.224%, 12/15/325 | 304,809 | 39,862 | ||||||
Series 2527, Cl. SG, 31.83%, 2/15/325 | 208,322 | 13,348 | ||||||
Series 2531, Cl. ST, 35.211%, 2/15/305 | 240,175 | 15,606 | ||||||
Series 2796, Cl. SD, 45.683%, 7/15/265 | 309,171 | 29,689 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/335 | 448,100 | 42,633 | ||||||
Series 2920, Cl. S, 54.664%, 1/15/355 | 1,700,651 | 167,142 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/255 | 1,765,318 | 141,242 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 259,125 | 18,628 | ||||||
Series 3146, Cl. SA, 38.014%, 4/15/365 | 1,611,418 | 191,529 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. PO, 6.166%, 6/1/266 | 75,291 | 63,842 | ||||||
Series 192, Cl. PO, 8.464%, 2/1/286 | 81,532 | 73,282 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 1/1/224 | 4,057,000 | 4,147,017 | ||||||
5%, 1/1/24-1/1/394 | 11,094,000 | 11,351,289 | ||||||
5.50%, 9/25/20 | 19,835 | 20,483 | ||||||
5.50%, 1/1/24-1/1/394 | 9,264,000 | 9,504,359 | ||||||
6%, 1/1/24-1/1/394 | 11,292,000 | 11,646,682 | ||||||
6.50%, 1/1/24-1/1/394 | 6,480,000 | 6,728,684 | ||||||
7%, 1/1/394 | 2,705,000 | 2,832,644 | ||||||
7%, 11/1/177 | 414,783 | 430,356 | ||||||
7.50%, 1/1/337 | 303,388 | 321,711 | ||||||
8.50%, 7/1/32 | 13,025 | 14,166 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 279,524 | 289,643 | ||||||
Trust 2001-70, Cl. LR, 6%, 9/25/30 | 7,043 | 7,030 | ||||||
Trust 2003-130, Cl. CS, 13.158%, 12/25/333 | 177,323 | 178,176 | ||||||
Trust 2006-46, Cl. SW, 22.471%, 6/25/363 | 237,240 | 265,125 | ||||||
Trust 2006-50, Cl. KS, 22.472%, 6/25/363 | 624,000 | 701,269 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-65, Cl. S, 40.848%, 11/25/315 | 816,463 | 111,862 | ||||||
Trust 2001-81, Cl. S, 24.811%, 1/25/325 | 172,699 | 24,371 | ||||||
Trust 2002-47, Cl. NS, 22.828%, 4/25/325 | 383,101 | 51,966 | ||||||
Trust 2002-51, Cl. S, 23.117%, 8/25/325 | 351,777 | 47,863 | ||||||
Trust 2002-52, Cl. SD, 23.975%, 9/25/325 | 390,175 | 54,059 | ||||||
Trust 2002-77, Cl. SH, 29.712%, 12/18/325 | 233,714 | 29,369 | ||||||
Trust 2002-84, Cl. SA, 42.181%, 12/25/325 | 723,859 | 103,708 | ||||||
Trust 2002-9, Cl. MS, 23.539%, 3/25/325 | 259,084 | 32,619 | ||||||
Trust 2003-118, Cl. S, 32.829%, 12/25/335 | 1,565,319 | 189,069 | ||||||
Trust 2003-33, Cl. SP, 22.276%, 5/25/335 | 813,547 | 108,061 | ||||||
Trust 2003-4, Cl. S, 37.987%, 2/25/335 | 468,196 | 60,055 | ||||||
Trust 2003-46, Cl. IH, (5.771)%, 6/1/335 | 2,706,545 | 366,899 | ||||||
Trust 2003-89, Cl. XS, 20.272%, 11/25/325 | 388,157 | 30,326 | ||||||
Trust 2004-54, Cl. DS, 33.428%, 11/25/305 | 331,381 | 36,981 | ||||||
Trust 2005-40, Cl. SA, 55.764%, 5/25/355 | 960,653 | 98,612 | ||||||
Trust 2005-6, Cl. SE, 67.902%, 2/25/355 | 1,275,120 | 117,236 | ||||||
Trust 2005-71, Cl. SA, 73.083%, 8/25/255 | 1,112,596 | 83,422 | ||||||
Trust 2005-87, Cl. SE, 99.999%, 10/25/355 | 2,291,731 | 162,705 | ||||||
Trust 2005-87, Cl. SG, 98.88%, 10/25/355 | 2,278,394 | 193,116 | ||||||
Trust 2006-33, Cl. SP, 65.426%, 5/25/365 | 2,545,444 | 265,198 | ||||||
Trust 222, Cl. 2, 7.132%, 6/1/235 | 626,955 | 170,730 | ||||||
Trust 233, Cl. 2, 14.075%, 8/1/235 | 518,872 | 124,723 | ||||||
Trust 240, Cl. 2, 11.408%, 9/1/235 | 997,831 | 154,850 | ||||||
Trust 252, Cl. 2, 12.742%, 11/1/235 | 470,043 | 107,800 | ||||||
Trust 273, Cl. 2, 4.64%, 8/1/265 | 130,292 | 23,276 | ||||||
Trust 319, Cl. 2, (1.176)%, 2/1/325 | 173,065 | 24,396 | ||||||
Trust 321, Cl. 2, (5.624)%, 4/1/325 | 1,800,435 | 250,387 | ||||||
Trust 331, Cl. 9, 22.162%, 2/1/335 | 491,652 | 55,556 | ||||||
Trust 333, Cl. 2, (12.058)%, 4/1/335 | 423,442 | 51,787 | ||||||
Trust 334, Cl. 17, 29.34%, 2/1/335 | 283,066 | 48,444 | ||||||
Trust 334, Cl. 3, 13.538%, 7/1/335 | 75,036 | 8,419 | ||||||
Trust 338, Cl. 2, (13.036)%, 7/1/335 | 390,562 | 47,139 | ||||||
Trust 339, Cl. 12, 13.466%, 7/1/335 | 506,390 | 65,038 | ||||||
Trust 339, Cl. 7, 11.167%, 7/1/335 | 1,918,575 | 212,402 | ||||||
Trust 339, Cl. 8, 12.211%, 8/1/335 | 41,905 | 4,703 | ||||||
Trust 342, Cl. 2, (1.109)%, 9/1/335 | 16,333 | 2,335 | ||||||
Trust 343, Cl. 13, 12.001%, 9/1/335 | 408,736 | 43,227 | ||||||
Trust 345, Cl. 9, 13.48%, 1/1/345 | 714,329 | 78,019 | ||||||
Trust 346, Cl. 2, (12.874)%, 12/1/335 | 409,372 | 49,177 | ||||||
Trust 351, Cl. 10, 14.256%, 4/1/345 | 70,261 | 7,613 | ||||||
Trust 351, Cl. 11, 12.86%, 11/1/345 | 71,211 | 7,906 | ||||||
Trust 351, Cl. 8, 12.789%, 4/1/345 | 215,225 | 23,318 | ||||||
Trust 356, Cl. 10, 13.15%, 6/1/355 | 183,704 | 20,170 | ||||||
Trust 356, Cl. 12, 13.355%, 2/1/355 | 99,862 | 10,796 | ||||||
Trust 362, Cl. 12, 12.979%, 8/1/355 | 1,187,328 | 158,191 | ||||||
Trust 362, Cl. 13, 12.965%, 8/1/355 | 657,004 | 87,443 | ||||||
Trust 364, Cl. 16, 14.77%, 9/1/355 | 520,060 | 82,712 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 6.795%, 9/25/236 | 222,423 | 189,115 | ||||||
55,654,415 |
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn., 8%, 4/15/23 | $ | 134,100 | $ | 142,564 | ||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 66.825%, 1/16/275 | 356,086 | 51,056 | ||||||
Series 2002-15, Cl. SM, 58.098%, 2/16/325 | 419,891 | 62,078 | ||||||
Series 2002-76, Cl. SY, 58.175%, 12/16/265 | 900,302 | 138,177 | ||||||
Series 2004-11, Cl. SM, 39.538%, 1/17/305 | 284,001 | 31,153 | ||||||
425,028 | ||||||||
Non-Agency—10.1% | ||||||||
Commercial—3.7% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 1,800,000 | 922,563 | ||||||
Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 | 473,691 | 453,528 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 1.495%, 9/25/363 | 107,032 | 102,549 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.096%, 12/1/493 | 780,000 | 368,596 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 | 29,882 | 29,635 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 2006-A5, Cl. 1A1, 0.871%, 10/25/363 | 1,346,226 | 581,956 | ||||||
Series 2006-A5, Cl. 1A13, 0.921%, 10/25/363 | 709,695 | 289,956 | ||||||
CWALT Alternative Loan Trust 2006-HY13, Mtg. Pass-Through Certificates, Series 2006-HY13, Cl. 3A1, 5.97%, 1/1/473 | 157,235 | 104,591 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 | 190,644 | 175,475 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 648,457 | 519,568 | ||||||
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 | 74,183 | 71,495 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 354,834 | 259,423 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 413,790 | 389,011 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | 450,000 | 265,876 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 235,000 | 185,773 | ||||||
Series 2007-LD11, Cl. A2, 5.804%, 6/15/493 | 270,000 | 207,218 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 345,000 | 301,293 | ||||||
Series 2006-C1, Cl. AM, 5.217%, 2/11/313 | 1,010,000 | 509,580 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 4.555%, 4/1/343 | 372,288 | 285,045 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 753,256 | 550,725 | ||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 | 900,000 | 626,506 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 10,115 | 10,102 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 | 604,462 | 263,961 | ||||||
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 | 792,300 | 387,593 | ||||||
Wachovia Mortgage Loan Trust LLC, Mtg. Pass-Through Certificates, Series 2007-A, Cl. 1A1, 5.981%, 3/1/373 | 259,944 | 140,235 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.706%, 2/25/372,3 | 341,592 | 78,566 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.668%, 3/1/373 | 856,356 | 221,331 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.548%, 11/1/363 | 226,594 | 148,907 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.647%, 5/1/373 | $ | 232,600 | $ | 148,739 | ||||
Wells Fargo Mortgage-Backed Securities 2004-U Trust, Mtg. Pass-Through Certificates, Series 2004-U, Cl. A1, 5.245%, 10/1/343 | 72,327 | 61,756 | ||||||
8,661,552 | ||||||||
Manufactured Housing—0.4% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/363 | 1,386,950 | 891,596 | ||||||
Multifamily—2.5% | ||||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2003-E, Cl. 2A2, 4.71%, 6/25/333 | 781,643 | 617,800 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through Certificates, Series 2005-HYB1, Cl. 1A2, 4.982%, 3/25/353 | 1,221,635 | 764,858 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Asset-Backed Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.89%, 7/25/363 | 557,279 | 292,211 | ||||||
CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 | 860,000 | 658,896 | ||||||
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates, Series 2004-J4, Cl. A7, 5.50%, 9/25/34 | 800,000 | 639,580 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.14%, 11/25/353 | 1,945,351 | 1,230,814 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.992%, 12/25/343 | 400,986 | 310,463 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.742%, 9/25/343 | 329,933 | 241,462 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR10, Cl. 4A1, 5.557%, 7/25/363 | 826,442 | 542,072 | ||||||
Series 2006-AR10, Cl. 2A1, 5.628%, 7/25/363 | 643,979 | 344,967 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A6, 5.093%, 3/25/363 | 329,516 | 91,812 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/363 | 415,887 | 298,692 | ||||||
6,033,627 | ||||||||
Residential—3.5% | ||||||||
CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 | 650,123 | 572,900 | ||||||
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 | 526,826 | 358,925 | ||||||
CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 | 1,170,000 | 864,628 | ||||||
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 | 969,805 | 621,137 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass- Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/453 | 550,000 | 260,181 | ||||||
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.416%, 6/25/363 | 530,000 | 367,333 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 300,087 | 299,135 | ||||||
RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-QS10, Cl. A3, 0.971%, 7/25/343 | 111,702 | 94,078 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 377,968 | 363,789 | ||||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 198,296 | 193,893 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.491%, 9/25/333 | $ | 490,334 | $ | 422,839 | ||||
WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/363 | 1,719,504 | 974,827 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass- Through Certificates, Series 2006-AR8, Cl. 2A1, 6.127%, 8/25/363 | 1,591,462 | 1,058,645 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.615%, 11/1/363 | 94,656 | 54,037 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 | 1,796,633 | 1,571,810 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.368%, 9/1/343 | 90,473 | 64,768 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.545%, 4/1/362,3 | 694,776 | 180,642 | ||||||
8,323,567 | ||||||||
Total Mortgage-Backed Obligations (Cost $91,093,083) | 79,989,785 | |||||||
Non-Convertible Corporate Bonds and Notes—11.4% | ||||||||
ABN Amro Bank NV (NY Branch), 7.125% Sub. Nts., Series B, 10/15/93 | 400,000 | 329,268 | ||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | 880,000 | 532,400 | ||||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 | 560,000 | 209,636 | ||||||
Axa SA, 6.379% Sub. Perpetual Bonds8,9 | 2,135,000 | 956,734 | ||||||
Bank of America Corp.: | ||||||||
8% Unsec. Perpetual Bonds, Series K9 | 1,025,000 | 738,328 | ||||||
8.125% Perpetual Bonds, Series M9 | 225,000 | 168,581 | ||||||
Barclays Bank plc, 6.278% Perpetual Bonds9 | 2,600,000 | 1,505,062 | ||||||
Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 | 310,000 | 263,817 | ||||||
Capmark Financial Group, Inc.: | ||||||||
3.038% Sr. Unsec. Nts., 5/10/103 | 375,000 | 191,431 | ||||||
5.875% Sr. Unsec. Nts., 5/10/12 | 585,000 | 199,596 | ||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 | 485,000 | 463,175 | ||||||
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 | 670,000 | 588,373 | ||||||
Citigroup, Inc.: | ||||||||
8.30% Jr. Sub. Bonds, 12/21/573 | 1,520,000 | 1,174,925 | ||||||
8.40% Perpetual Bonds, Series E9 | 760,000 | 502,770 | ||||||
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 | 710,000 | 216,550 | ||||||
Coca-Cola Co. (The), 7.375% Unsec. Debs., 7/29/93 | 360,000 | 422,745 | ||||||
Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 | 195,000 | 174,229 | ||||||
Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 | 2,030,000 | 1,624,564 | ||||||
General Motors Acceptance Corp., 8% Bonds, 11/1/31 | 1,400,000 | 820,625 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 1,850,000 | 1,345,962 | ||||||
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A8,9 | 3,100,000 | 1,204,245 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 | 2,530,000 | 1,059,746 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 19 | 1,205,000 | 1,005,001 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 830,000 | 699,228 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/3810 | 2,910,000 | 291 | ||||||
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 | 170,000 | 169,150 | ||||||
Macy’s Retail Holdings, Inc., 4.80% Sr. Nts., 7/15/09 | 535,000 | 507,155 | ||||||
MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 | 565,000 | 229,882 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 1,335,000 | 1,475,258 | ||||||
MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/383 | 300,000 | 209,665 | ||||||
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/363 | 1,710,000 | 1,028,372 | ||||||
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 | 925,000 | 888,000 | ||||||
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 | 680,000 | 665,833 | ||||||
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 | 565,000 | 566,718 |
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/138 | $ | 244,572 | $ | 260,005 | ||||
Popular North America, Inc., 4.70% Nts., 6/30/09 | 845,000 | 825,967 | ||||||
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/238 | 1,285,000 | 1,240,868 | ||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/258 | 1,110,000 | 750,067 | ||||||
TEPPCO Partners LP, 6.125% Nts., 2/1/13 | 490,000 | 436,334 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 | 210,000 | 179,902 | ||||||
Washington Mutual Bank NV, 3.337% Sr. Unsec. Nts., 5/1/0910 | 970,000 | 286,150 | ||||||
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 | 685,000 | 682,196 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 565,000 | 429,400 | ||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $41,637,125) | 27,228,204 | |||||||
Convertible Corporate Bonds and Notes—0.6% | ||||||||
Theravance, Inc., 3% Cv. Sub. Nts., 1/15/15 (Cost $1,850,149) | $ | 2,247,000 | $ | 1,387,523 | ||||
Shares | ||||||||
Investment Company—3.6% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%11,12 (Cost $8,646,429) | 8,646,429 | 8,646,429 | ||||||
Total Investments, at Value (Cost $348,399,942) | 119.9 | % | 285,806,688 | |||||
Liabilities in Excess of Other Assets | (19.9 | ) | (47,387,415 | ) | ||||
Net Assets | 100.0 | % | $ | 238,419,273 | ||||
1. | Non-income producing security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $259,210, which represents 0.11% of the Fund’s net assets. See Note 8 of accompanying Notes. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | When-issued security or delayed delivery to be delivered and settled after December 31, 2008. See Note 1 of accompanying Notes. | |
5. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $5,321,813 or 2.23% of the Fund’s net assets as of December 31, 2008. | |
6. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $326,239 or 0.14% of the Fund’s net assets as of December 31, 2008. | |
7. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $752,067. See Note 6 of accompanying Notes. | |
8. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $4,411,919 or 1.85% of the Fund’s net assets as of December 31, 2008. | |
9. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
10. | Issue is in default. See Note 1 of accompanying Notes. | |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 667,850 | 667,850 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 16,578,809 | 165,592,548 | 173,524,928 | 8,646,429 | ||||||||||||
Value | Income | |||||||||||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 96 | a | |||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 8,646,429 | 172,114 | ||||||||||||||
$ | 8,646,429 | $ | 172,210 | |||||||||||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
12. | Rate shown is the 7-day yield as of December 31, 2008. |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 154,537,033 | $ | (393,056 | ) | |||
Level 2—Other Significant Observable Inputs | 131,269,655 | (535,629 | ) | |||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 285,806,688 | $ | (928,685 | ) | |||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Unrealized | ||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||
U.S. Treasury Bonds, 10 yr. | Buy | 85 | 3/20/09 | $ | 10,688,750 | $ | 110,843 | |||||||||||
U.S. Treasury Bonds, 20 yr. | Buy | 81 | 3/20/09 | 11,181,797 | 978,929 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 171 | 3/31/09 | 37,288,688 | (143,074 | ) | ||||||||||||
$ | 946,698 | |||||||||||||||||
Buy/Sell | Notional | Pay/ | Upfront | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Payment | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | Received/(Paid) | Value | |||||||||||||||||||
ABX.HE.AA.06-2 Index: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 350 | 0.170 | % | 5/25/46 | $ | 270,766 | $ | (307,387 | ) | |||||||||||||||
Deutsche Bank AG | Sell | 240 | 0.170 | 5/25/46 | 28,798 | (210,780 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 85 | 0.170 | 5/25/46 | 7,003 | (74,651 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 330 | 0.170 | 5/25/46 | 130,342 | (289,822 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 85 | 0.170 | 5/25/46 | 6,791 | (74,651 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 160 | 0.170 | 5/25/46 | 15,999 | (140,520 | ) | |||||||||||||||||||
Total | 1,250 | 459,699 | (1,097,811 | ) | ||||||||||||||||||||||
Allied Waste North America, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 340 | 2.000 | 9/20/09 | — | 2,625 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 530 | 2.000 | 9/20/09 | — | 4,092 | ||||||||||||||||||||
Total | 870 | — | 6,717 | |||||||||||||||||||||||
American International Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 180 | 3.000 | 3/20/09 | — | (1,055 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 695 | 4.000 | 3/20/09 | — | (2,396 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 595 | 5.350 | 3/20/09 | — | (112 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 870 | 4.000 | 3/20/09 | — | (2,999 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 520 | 4.000 | 3/20/09 | — | (1,792 | ) | |||||||||||||||||||
Total | 2,860 | — | (8,354 | ) |
Buy/Sell | Notional | Pay/ | Upfront | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Payment | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | Received/(Paid) | Value | |||||||||||||||||||
Capmark Financial Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 520 | 1.000 | % | 6/20/12 | $ | — | $ | (272,564 | ) | |||||||||||||||
Goldman Sachs Bank USA | Sell | 535 | 0.950 | 6/20/12 | — | (280,786 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 50 | 5.000 | 6/20/12 | 13,500 | (23,523 | ) | |||||||||||||||||||
Total | 1,105 | 13,500 | (576,873 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 7 | Deutsche Bank AG | Buy | 4,587 | 0.400 | 12/20/11 | (483 | ) | 167,165 | ||||||||||||||||||
Total | 4,587 | (483 | ) | 167,165 | ||||||||||||||||||||||
Cemex SAB de CV | Deutsche Bank AG | Sell | 300 | 2.000 | 3/20/09 | — | (4,388 | ) | ||||||||||||||||||
Total | 300 | — | (4,388 | ) | ||||||||||||||||||||||
Centex Corp. | Deutsche Bank AG | Sell | 135 | 1.550 | 9/20/09 | — | (3,231 | ) | ||||||||||||||||||
Total | 135 | — | (3,231 | ) | ||||||||||||||||||||||
CIT Group, Inc. | Barclays Bank plc | Sell | 115 | 10.500 | 6/20/09 | — | 1,520 | |||||||||||||||||||
Total | 115 | — | 1,520 | |||||||||||||||||||||||
Countrywide Home Loans, Inc. | Morgan Stanley Capital Services, Inc. | Sell | 1,615 | 0.420 | 6/20/09 | — | (6,136 | ) | ||||||||||||||||||
Total | 1,615 | — | (6,136 | ) | ||||||||||||||||||||||
Energy Future Holdings Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 175 | 5.910 | 12/20/12 | — | (48,030 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 170 | 6.050 | 12/20/12 | — | (46,109 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 175 | 6.000 | 12/20/12 | — | (47,667 | ) | |||||||||||||||||||
Total | 520 | — | (141,806 | ) | ||||||||||||||||||||||
Ford Motor Co.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 150 | 5.000 | 12/20/18 | 81,000 | (105,941 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,100 | 7.150 | 12/20/16 | — | (715,769 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 525 | 7.050 | 12/20/16 | — | (345,617 | ) | |||||||||||||||||||
Total | 1,775 | 81,000 | (1,167,327 | ) | ||||||||||||||||||||||
General Electric Capital Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 347 | 8.000 | 12/20/09 | — | 10,224 | ||||||||||||||||||||
Barclays Bank plc | Sell | 410 | 5.750 | 12/20/09 | — | 3,209 | ||||||||||||||||||||
Credit Suisse International | Sell | 325 | 8.000 | 12/20/09 | — | 9,575 | ||||||||||||||||||||
Total | 1,082 | — | 23,008 | |||||||||||||||||||||||
General Motors Corp.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 210 | 5.000 | 12/20/18 | 140,700 | (166,259 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 545 | 5.800 | 12/20/16 | — | (431,098 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 535 | 5.750 | 12/20/16 | — | (423,420 | ) | |||||||||||||||||||
Total | 1,290 | 140,700 | (1,020,777 | ) | ||||||||||||||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 520 | 5.750 | 12/20/09 | — | 10,597 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 525 | 5.500 | 12/20/09 | — | 9,424 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 420 | 5.450 | 12/20/09 | — | 7,335 | ||||||||||||||||||||
Total | 1,465 | — | 27,356 | |||||||||||||||||||||||
Hartford Financial Services Group, Inc. | Morgan Stanley Capital Services, Inc. | Sell | 300 | 2.400 | 3/20/09 | — | (2,997 | ) | ||||||||||||||||||
Total | 300 | — | (2,997 | ) | ||||||||||||||||||||||
HCP, Inc. | Barclays Bank plc | Sell | 455 | 4.600 | 3/20/09 | — | 522 | |||||||||||||||||||
Total | 455 | — | 522 | |||||||||||||||||||||||
Idearc, Inc. | Credit Suisse International | Sell | 60 | 5.000 | 12/20/09 | 12,300 | (43,404 | ) | ||||||||||||||||||
Total | 60 | 12,300 | (43,404 | ) | ||||||||||||||||||||||
Inco Ltd.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 545 | 0.700 | 3/20/17 | — | 86,986 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 550 | 0.630 | 3/20/17 | — | 90,175 | ||||||||||||||||||||
Total | 1,095 | — | 177,161 | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 545 | 1.170 | 3/20/17 | — | (69,265 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 550 | 1.100 | 3/20/17 | — | (72,382 | ) | |||||||||||||||||||
Total | 1,095 | — | (141,647 | ) |
Buy/Sell | Notional | Pay/ | Upfront | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Payment | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | Received/(Paid) | Value | |||||||||||||||||||
iStar Financial, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 480 | 4.400 | % | 12/20/12 | $ | — | $ | (260,245 | ) | |||||||||||||||
Credit Suisse International | Sell | 65 | 4.000 | 12/20/12 | — | (35,405 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 160 | 12.000 | 3/20/09 | — | (17,497 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 75 | 4.320 | 12/20/12 | — | (40,701 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 400 | 12.000 | 3/20/09 | — | (43,741 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 75 | 3.950 | 12/20/12 | — | (40,876 | ) | |||||||||||||||||||
Total | 1,255 | — | (438,465 | ) | ||||||||||||||||||||||
J.C. Penney Corp., Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 525 | 1.070 | 12/20/17 | — | (102,264 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 545 | 1.300 | 12/20/17 | — | (98,390 | ) | |||||||||||||||||||
Total | 1,070 | — | (200,654 | ) | ||||||||||||||||||||||
Jones Apparel Group, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 290 | 2.635 | 6/20/18 | — | 64,768 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 575 | 2.970 | 6/20/18 | — | 117,956 | ||||||||||||||||||||
Total | 865 | — | 182,724 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 290 | 2.720 | 6/20/13 | — | (57,512 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 575 | 3.200 | 6/20/13 | — | (105,184 | ) | |||||||||||||||||||
Total | 865 | — | (162,696 | ) | ||||||||||||||||||||||
Kohl’s Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Buy | 285 | 1.180 | 6/20/18 | — | 25,444 | ||||||||||||||||||||
Barclays Bank plc | Buy | 285 | 1.040 | 6/20/18 | — | 28,345 | ||||||||||||||||||||
Deutsche Bank AG | Buy | 280 | 1.300 | 6/20/18 | — | 22,555 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 785 | 0.660 | 12/20/17 | — | 95,759 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 820 | 0.870 | 12/20/17 | — | 87,983 | ||||||||||||||||||||
Total | 2,455 | — | 260,086 | |||||||||||||||||||||||
Barclays Bank plc | Sell | 285 | 1.080 | 6/20/13 | — | (19,174 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 285 | 0.900 | 6/20/13 | — | (21,205 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 280 | 1.180 | 6/20/13 | — | (17,729 | ) | |||||||||||||||||||
Total | 850 | — | (58,108 | ) | ||||||||||||||||||||||
Liz Claiborne, Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 560 | 2.900 | 6/20/18 | — | 173,389 | ||||||||||||||||||||
Total | 560 | — | 173,389 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 1,095 | 3.250 | 6/20/09 | — | (32,151 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 560 | 3.100 | 6/20/13 | — | (148,646 | ) | |||||||||||||||||||
Total | 1,655 | — | (180,797 | ) | ||||||||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley Capital Services, Inc. | Sell | 550 | 6.250 | 9/20/09 | — | (46,997 | ) | ||||||||||||||||||
Total | 550 | — | (46,997 | ) | ||||||||||||||||||||||
Merrill Lynch & Co., Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,080 | 4.150 | 9/20/09 | — | 1,440 | ||||||||||||||||||||
Credit Suisse International | Sell | 540 | 4.150 | 9/20/09 | — | 720 | ||||||||||||||||||||
Total | 1,620 | — | 2,160 | |||||||||||||||||||||||
Morgan Stanley | Credit Suisse International | Sell | 715 | 7.800 | 12/20/13 | — | 106,944 | |||||||||||||||||||
Total | 715 | — | 106,944 | |||||||||||||||||||||||
Prudential Financial, Inc. | Deutsche Bank AG | Sell | 385 | 2.050 | 6/20/09 | — | (12,290 | ) | ||||||||||||||||||
Total | 385 | — | (12,290 | ) | ||||||||||||||||||||||
Pulte Homes, Inc. | Goldman Sachs Bank USA | Sell | 800 | 2.750 | 9/20/09 | — | (1,125 | ) | ||||||||||||||||||
Total | 800 | — | (1,125 | ) | ||||||||||||||||||||||
Reliant Energy, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 280 | 9.000 | 12/20/09 | — | (7,027 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 285 | 9.000 | 12/20/09 | — | (7,152 | ) | |||||||||||||||||||
Total | 565 | — | (14,179 | ) | ||||||||||||||||||||||
R.H. Donnelley Corp. | Goldman Sachs International | Sell | 655 | 9.000 | 3/20/09 | — | (28,240 | ) | ||||||||||||||||||
Total | 655 | — | (28,240 | ) | ||||||||||||||||||||||
Rite Aid Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 115 | 7.500 | 3/20/09 | — | (5,885 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 305 | 5.000 | 9/20/09 | 18,300 | (54,205 | ) | |||||||||||||||||||
Total | 420 | 18,300 | (60,090 | ) |
Buy/Sell | Notional | Pay/ | Upfront | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Payment | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | Received/(Paid) | Value | |||||||||||||||||||
Sprint Nextel Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | $ | 1,300 | 6.300 | % | 3/20/09 | $ | — | $ | (18,104 | ) | |||||||||||||||
Goldman Sachs Bank USA | Sell | 470 | 6.300 | 3/20/09 | — | (6,545 | ) | |||||||||||||||||||
Total | 1,770 | — | (24,649 | ) | ||||||||||||||||||||||
Temple-Inland, Inc. | Deutsche Bank AG | Sell | 135 | 3.000 | 9/20/09 | — | (8,026 | ) | ||||||||||||||||||
Total | 135 | — | (8,026 | ) | ||||||||||||||||||||||
Tenet Healthcare Corp. | Deutsche Bank AG | Sell | 870 | 1.600 | 3/20/09 | — | (20,156 | ) | ||||||||||||||||||
Total | 870 | — | (20,156 | ) | ||||||||||||||||||||||
Tribune Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 50 | 5.000 | 1/16/09 | 11,000 | (46,881 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 255 | 5.000 | 1/16/09 | 58,650 | (239,094 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 15 | 5.000 | 1/16/09 | 4,800 | (14,064 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 150 | 5.000 | 1/16/09 | 52,500 | (140,643 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 195 | 5.000 | 1/16/09 | 76,050 | (182,836 | ) | |||||||||||||||||||
Total | 665 | 203,000 | (623,518 | ) | ||||||||||||||||||||||
Univision Communications, Inc.: | ||||||||||||||||||||||||||
Goldman Sachs Bank USA | Sell | 155 | 5.000 | 6/20/09 | 15,500 | (51,242 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 60 | 5.000 | 6/20/09 | 6,600 | (19,836 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 160 | 5.000 | 6/20/09 | 9,600 | (52,895 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 110 | 5.000 | 12/20/09 | 7,700 | (37,775 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 120 | 5.000 | 12/20/09 | 15,600 | (41,209 | ) | |||||||||||||||||||
Total | 605 | 55,000 | (202,957 | ) | ||||||||||||||||||||||
Vornado Realty LP: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 300 | 3.600 | 3/20/09 | — | (2,607 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 605 | 3.875 | 6/20/09 | — | (4,851 | ) | |||||||||||||||||||
Total | 905 | — | (7,458 | ) | ||||||||||||||||||||||
XL Capital Ltd.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 610 | 3.550 | 9/20/09 | — | (45,272 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 690 | 3.550 | 9/20/09 | — | (51,210 | ) | |||||||||||||||||||
Total | 1,300 | — | (96,482 | ) | ||||||||||||||||||||||
Grand Total Buys | 9,562 | (483 | ) | 960,525 | ||||||||||||||||||||||
Grand Total Sells | 33,947 | 983,499 | (6,233,411 | ) | ||||||||||||||||||||||
Total Credit Default Swaps | $ | 983,016 | $ | (5,272,886 | ) | |||||||||||||||||||||
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which the | Payments for Selling Credit | Reference Asset | ||||||||||
Fund Sold Protection | Protection (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||
Asset-Backed Indexes | $ | 1,250,000 | $ | — | AA | |||||||
Single Name Corporate Debt | 19,497,000 | 850,000 | AAA to BBB- | |||||||||
Single Name Corporate Debt | 13,200,000 | 1,425,000 | BB+ to D | |||||||||
Total | $ | 33,947,000 | $ | 2,275,000 | ||||||||
* | Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The reference asset security rating, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential payment by the Fund if the reference asset experiences a credit event as of period end. |
Notional | ||||||||||||||||||||||||
Amount | Paid by | Received by | Termination | |||||||||||||||||||||
Reference Entity | Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||||
USD BBA LIBOR | Deutsche Bank AG | $ | 4,300 | Three-Month USD BBA LIBOR | 5.529 | % | 8/10/17 | $ | 1,133,699 |
Notional | ||||||||||||||||||||
Amount | Paid by | Received by | Termination | |||||||||||||||||
Reference Entity/Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Banc of America Securities LLC AAA 10 yr. | ||||||||||||||||||||
CMBS Daily Index*: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 16,370 | A | D | 3/31/09 | $ | 3,526,234 | |||||||||||||
Goldman Sachs Group, Inc. (The) | 12,980 | A | D | 1/31/09 | (3,083,724 | ) | ||||||||||||||
Reference Entity Total | 442,510 | |||||||||||||||||||
Barclays Capital U.S. CMBS AAA Index*: | ||||||||||||||||||||
Morgan Stanley | 3,200 | A | D | 2/1/09 | 350,027 | |||||||||||||||
Morgan Stanley | 6,100 | A | D | 3/1/09 | 668,445 | |||||||||||||||
Reference Entity Total | 1,018,472 | |||||||||||||||||||
Barclays Capital U.S. CMBS AAA 8.5+ Index*: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,100 | A | D | 3/1/09 | 187,820 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,440 | A | D | 3/1/09 | 245,291 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,880 | A | D | 2/1/09 | 321,002 | |||||||||||||||
Morgan Stanley | 1,070 | A | D | 3/1/09 | 182,450 | |||||||||||||||
Morgan Stanley | 2,900 | A | D | 3/1/09 | 490,858 | |||||||||||||||
Morgan Stanley | 180 | A | D | 2/1/09 | 30,305 | |||||||||||||||
Morgan Stanley | 1,530 | A | D | 2/1/09 | 260,367 | |||||||||||||||
Morgan Stanley | 1,590 | A | D | 2/1/09 | 271,828 | |||||||||||||||
Morgan Stanley | 900 | A | D | 2/1/09 | 152,655 | |||||||||||||||
Reference Entity Total | 2,142,576 | |||||||||||||||||||
Total of Total Return Swaps | $ | 3,603,558 | ||||||||||||||||||
* | The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index’s underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index’s underlying holdings, the spread widens. |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | $ | 570 | $ | 53,789 | ||||||
Credit Default Sell Protection | 6,927 | (901,898 | ) | |||||||
(848,109 | ) | |||||||||
Credit Suisse International | Credit Default Sell Protection | 5,635 | (839,371 | ) | ||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 5,157 | 254,488 | ||||||||
Credit Default Sell Protection | 8,545 | (758,489 | ) | |||||||
Interest Rate | 4,300 | 1,133,699 | ||||||||
629,698 | ||||||||||
Goldman Sachs Bank USA | Credit Default Sell Protection | 2,670 | (817,778 | ) | ||||||
Goldman Sachs Group, Inc. (The) | Total Return | 33,770 | 1,196,623 | |||||||
Goldman Sachs International | Credit Default Sell Protection | 655 | (28,240 | ) | ||||||
Morgan Stanley | Total Return | 17,470 | 2,406,935 | |||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 3,835 | 652,248 | ||||||||
Credit Default Sell Protection | 9,515 | (2,887,635 | ) | |||||||
(2,235,387 | ) | |||||||||
Total Swaps | $ | (535,629 | ) | |||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $339,753,513) | $ | 277,160,259 | ||
Affiliated companies (cost $8,646,429) | 8,646,429 | |||
285,806,688 | ||||
Cash | 583,454 | |||
Swaps, at value (upfront payment paid $483) | 8,949,733 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 1,202,325 | |||
Shares of beneficial interest sold | 222,975 | |||
Investments sold | 31,041 | |||
Terminated investment contracts | 20,836 | |||
Due from Manager | 48 | |||
Other | 12,554 | |||
Total assets | 296,829,654 | |||
Liabilities | ||||
Swaps, at value (upfront payment received $983,499) | 9,485,362 | |||
Payables and other liabilities: | ||||
Investments purchased (including $46,852,956 purchased on a when-issued or delayed delivery basis) | 48,157,988 | |||
Futures margins | 393,056 | |||
Shares of beneficial interest redeemed | 128,054 | |||
Terminated investment contracts | 126,740 | |||
Distribution and service plan fees | 44,085 | |||
Shareholder communications | 18,025 | |||
Trustees’ compensation | 6,798 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 48,553 | |||
Total liabilities | 58,410,381 | |||
Net Assets | $ | 238,419,273 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 28,279 | ||
Additional paid-in capital | 361,723,545 | |||
Accumulated net investment income | 657,969 | |||
Accumulated net realized loss on investments and foreign currency transactions | (62,802,368 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (61,188,152 | ) | ||
Net Assets | $ | 238,419,273 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $169,621,580 and 20,071,377 shares of beneficial interest outstanding) | $ | 8.45 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $68,797,693 and 8,207,865 shares of beneficial interest outstanding) | $ | 8.38 |
Investment Income | ||||
Interest | $ | 11,890,092 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $101,430) | 3,012,437 | |||
Affiliated companies | 172,114 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 96 | |||
Total investment income | 15,074,739 | |||
Expenses | ||||
Management fees | 2,905,296 | |||
Distribution and service plan fees—Service shares | 250,142 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Custodian fees and expenses | 17,253 | |||
Trustees’ compensation | 13,460 | |||
Other | 54,492 | |||
Total expenses | 3,260,631 | |||
Less waivers and reimbursements of expenses | (363,511 | ) | ||
Net expenses | 2,897,120 | |||
Net Investment Income | 12,177,619 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | (46,686,226 | ) | ||
Closing and expiration of futures contracts | (3,712,632 | ) | ||
Foreign currency transactions | 1,865,139 | |||
Short positions | 311 | |||
Swap contracts | (36,620,419 | ) | ||
Net realized loss | (85,153,827 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (122,673,038 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (897,338 | ) | ||
Futures contracts | 1,048,047 | |||
Short positions | 1,220 | |||
Swap contracts | 989,805 | |||
Net change in unrealized depreciation | (121,531,304 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (194,507,512 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 12,177,619 | $ | 13,368,547 | ||||
Net realized gain (loss) | (85,153,827 | ) | 19,935,422 | |||||
Net change in unrealized appreciation (depreciation) | (121,531,304 | ) | (13,245,008 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (194,507,512 | ) | 20,058,961 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (8,878,080 | ) | (10,919,746 | ) | ||||
Service shares | (2,607,795 | ) | (2,568,291 | ) | ||||
(11,485,875 | ) | (13,488,037 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (21,412,945 | ) | (34,150,478 | ) | ||||
Service shares | (7,011,379 | ) | (8,836,795 | ) | ||||
(28,424,324 | ) | (42,987,273 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (42,030,701 | ) | (21,014,578 | ) | ||||
Service shares | 7,520,395 | 17,776,612 | ||||||
(34,510,306 | ) | (3,237,966 | ) | |||||
Net Assets | ||||||||
Total decrease | (268,928,017 | ) | (39,654,315 | ) | ||||
Beginning of period | 507,347,290 | 547,001,605 | ||||||
End of period (including accumulated net investment income of $657,969 and $12,343,063, respectively) | $ | 238,419,273 | $ | 507,347,290 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.41 | $ | 17.69 | $ | 17.07 | $ | 17.35 | $ | 15.92 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .41 | .43 | .40 | .33 | .26 | |||||||||||||||
Net realized and unrealized gain (loss) | (7.03 | ) | .19 | 1.38 | .31 | 1.33 | ||||||||||||||
Total from investment operations | (6.62 | ) | .62 | 1.78 | .64 | 1.59 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.39 | ) | (.46 | ) | (.36 | ) | (.30 | ) | (.16 | ) | ||||||||||
Distributions from net realized gain | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | — | |||||||||||
Total dividends and/or distributions to shareholders | (1.34 | ) | (1.90 | ) | (1.16 | ) | (.92 | ) | (.16 | ) | ||||||||||
Net asset value, end of period | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | $ | 17.35 | ||||||||||
Total Return, at Net Asset Value2 | (43.47 | )% | 3.79 | % | 11.15 | % | 3.89 | % | 10.10 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 169,621 | $ | 385,948 | $ | 435,639 | $ | 503,753 | $ | 547,290 | ||||||||||
Average net assets (in thousands) | $ | 295,669 | $ | 418,103 | $ | 456,513 | $ | 522,754 | $ | 528,655 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 3.14 | % | 2.55 | % | 2.42 | % | 1.98 | % | 1.59 | % | ||||||||||
Total expenses | 0.76 | %4 | 0.75 | %4 | 0.75 | %4 | 0.74 | % | 0.74 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.67 | % | 0.73 | % | 0.75 | % | 0.74 | % | 0.74 | % | ||||||||||
Portfolio turnover rate5 | 67 | % | 68 | % | 76 | % | 67 | % | 68 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.76 | % | ||
Year Ended December 31, 2007 | 0.75 | % | ||
Year Ended December 31, 2006 | 0.75 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 474,582,075 | $ | 434,587,487 | ||||
Year Ended December 31, 2007 | $ | 296,201,319 | $ | 315,527,720 | ||||
Year Ended December 31, 2006 | $ | 612,825,833 | $ | 666,549,894 | ||||
Year Ended December 31, 2005 | $ | 1,224,652,741 | $ | 1,250,455,539 | ||||
Year Ended December 31, 2004 | $ | 1,460,076,994 | $ | 1,473,590,963 |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.28 | $ | 17.57 | $ | 16.97 | $ | 17.26 | $ | 15.87 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .37 | .38 | .36 | .29 | .23 | |||||||||||||||
Net realized and unrealized gain (loss) | (6.97 | ) | .19 | 1.37 | .31 | 1.31 | ||||||||||||||
Total from investment operations | (6.60 | ) | .57 | 1.73 | .60 | 1.54 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.35 | ) | (.42 | ) | (.33 | ) | (.27 | ) | (.15 | ) | ||||||||||
Distributions from net realized gain | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | — | |||||||||||
Total dividends and/or distributions to shareholders | (1.30 | ) | (1.86 | ) | (1.13 | ) | (.89 | ) | (.15 | ) | ||||||||||
Net asset value, end of period | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | $ | 17.26 | ||||||||||
Total Return, at Net Asset Value2 | (43.62 | )% | 3.49 | % | 10.86 | % | 3.67 | % | 9.79 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 68,798 | $ | 121,399 | $ | 111,363 | $ | 88,156 | $ | 59,650 | ||||||||||
Average net assets (in thousands) | $ | 100,164 | $ | 117,012 | $ | 100,010 | $ | 72,977 | $ | 39,851 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 2.90 | % | 2.30 | % | 2.17 | % | 1.74 | % | 1.41 | % | ||||||||||
Total expenses | 1.01 | %4 | 1.00 | %4 | 1.01 | %4 | 1.00 | % | 1.02 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.92 | % | 0.98 | % | 1.01 | % | 1.00 | % | 1.02 | % | ||||||||||
Portfolio turnover rate5 | 67 | % | 68 | % | 76 | % | 67 | % | 68 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 1.01 | % | ||
Year Ended December 31, 2007 | 1.00 | % | ||
Year Ended December 31, 2006 | 1.01 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 474,582,075 | $ | 434,587,487 | ||||
Year Ended December 31, 2007 | $ | 296,201,319 | $ | 315,527,720 | ||||
Year Ended December 31, 2006 | $ | 612,825,833 | $ | 666,549,894 | ||||
Year Ended December 31, 2005 | $ | 1,224,652,741 | $ | 1,250,455,539 | ||||
Year Ended December 31, 2004 | $ | 1,460,076,994 | $ | 1,473,590,963 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 46,852,956 |
�� | ||||||||||||
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5,6 | Tax Purposes | |||||||||
$— | $ | — | $ | 60,472,103 | $ | 62,853,657 |
1. | As of December 31, 2008, the Fund had $44,402,106 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforward were as follows: |
Expiring | ||||
2016 | $ | 44,402,106 |
2. | As of December 31, 2008, the Fund had $15,792,384 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | The Fund had $526 of post-October foreign currency losses which were deferred. | |
4. | The Fund had $277,087 of straddle losses which were deferred. | |
5. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
6. | During the fiscal year ended December 31, 2007, the Fund did not utilize any capital loss carryforward. |
Reduction | Reduction | |||||||
to Accumulated | to Accumulated Net | |||||||
Reduction | Net Investment | Realized Loss | ||||||
to Paid-in Capital | Income | on Investments | ||||||
$20,496,805 | $ | 12,376,838 | $ | 32,873,643 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 16,601,502 | $ | 14,806,317 | ||||
Long-term capital gain | 23,308,697 | 41,668,993 | ||||||
Total | $ | 39,910,199 | $ | 56,475,310 | ||||
Federal tax cost of securities | $ | 349,782,510 | ||
Federal tax cost of other investments | (17,064,917 | ) | ||
Total federal tax cost | $ | 332,717,593 | ||
Gross unrealized appreciation | $ | 29,038,573 | ||
Gross unrealized depreciation | (91,892,230 | ) | ||
Net unrealized depreciation | $ | (62,853,657 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 908,475 | $ | 11,841,885 | 999,612 | $ | 16,748,816 | ||||||||||
Dividends and/or distributions reinvested | 2,214,256 | 30,291,025 | 2,818,651 | 45,070,224 | ||||||||||||
Redeemed | (6,571,367 | ) | (84,163,611 | ) | (4,921,045 | ) | (82,833,618 | ) | ||||||||
Net decrease | (3,448,636 | ) | $ | (42,030,701 | ) | (1,102,782 | ) | $ | (21,014,578 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,716,888 | $ | 19,475,736 | 1,507,547 | $ | 25,038,747 | ||||||||||
Dividends and/or distributions reinvested | 707,292 | 9,619,174 | 717,301 | 11,405,086 | ||||||||||||
Redeemed | (1,673,753 | ) | (21,574,515 | ) | (1,107,184 | ) | (18,667,221 | ) | ||||||||
Net increase | 750,427 | $ | 7,520,395 | 1,117,664 | $ | 17,776,612 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 234,240,565 | $ | 310,538,658 | ||||
U.S. government and government agency obligations | — | 1,031,793 | ||||||
To Be Announced (TBA) mortgage-related securities | 474,582,075 | 434,587,487 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
February 11, 2009
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000–June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Ferreira and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924; for Messrs. Bomfim, Caan, Gord and Swaney, 470 Atlantic Avenue, 11th Floor, Boston, Massachusetts 02210. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Emmanuel Ferreira, Vice President and Portfolio Manager (since 2003) Age: 41 | Vice President of the Manager (since January 2003); Portfolio Manager at Lashire Investments (July 1999- December 2002). A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Antulio N. Bomfim, Vice President (since 2006) and Portfolio Manager (since 2003) Age: 41 | Vice President of the Manager (since October 2003); Senior Economist at the Board of Governors of the Federal Reserve System (June 1992-October 2003). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. |
Geoffrey Caan, Vice President (since 2006) and Portfolio Manager (since 2003) Age: 39 | Vice President of the Manager (since August 2003); Vice President of ABN AMRO NA, Inc. (June 2002-August 2003); Vice President of Zurich Scudder Investments (January 1999-June 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Benjamin J. Gord, Vice President (since 2006) and Portfolio Manager (since 2003) Age: 46 | Vice President of the Manager (since April 2002) of HarbourView Asset Management Corporation (since April 2002) and of OFI Institutional Asset Management, Inc. (as of June 2002); Executive Director and senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (April 1992-March 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Thomas Swaney, Vice President and Portfolio Manager (since 2006) Age: 36 | Vice President of the Manager (since April 2006); senior analyst on high grade investment team (June 2002- March 2006); senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (May 1998-May 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999- October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 596.80 | $ | 2.69 | ||||||
Service shares | 1,000.00 | 596.10 | 3.70 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.77 | 3.41 | |||||||||
Service shares | 1,000.00 | 1,020.51 | 4.68 |
Class | Expense Ratios | |||
Non-Service shares | 0.67 | % | ||
Service shares | 0.92 |
Shares | Value | |||||||
Common Stocks—96.1% | ||||||||
Consumer Discretionary—4.9% | ||||||||
Hotels, Restaurants & Leisure—0.6% | ||||||||
Burger King Holdings, Inc. | 270,820 | $ | 6,467,182 | |||||
Media—2.0% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 578,790 | 9,746,824 | ||||||
Focus Media Holding Ltd., ADR1 | 435,900 | 3,962,331 | ||||||
McGraw-Hill Cos., Inc. (The) | 275,900 | 6,398,121 | ||||||
Walt Disney Co. (The) | 152,100 | 3,451,149 | ||||||
23,558,425 | ||||||||
Specialty Retail—0.5% | ||||||||
Staples, Inc. | 310,710 | 5,567,923 | ||||||
Textiles, Apparel & Luxury Goods—1.8% | ||||||||
Coach, Inc.1 | 384,540 | 7,986,896 | ||||||
Polo Ralph Lauren Corp., Cl. A | 282,200 | 12,814,702 | ||||||
20,801,598 | ||||||||
Consumer Staples—8.4% | ||||||||
Beverages—2.0% | ||||||||
PepsiCo, Inc. | 415,500 | 22,756,935 | ||||||
Food & Staples Retailing—2.0% | ||||||||
Wal-Mart Stores, Inc. | 401,400 | 22,502,484 | ||||||
Food Products—3.9% | ||||||||
Cadbury plc | 1,957,050 | 17,379,417 | ||||||
Nestle SA | 700,387 | 27,556,158 | ||||||
44,935,575 | ||||||||
Household Products—0.5% | ||||||||
Colgate-Palmolive Co. | 82,300 | 5,640,842 | ||||||
Energy—9.1% | ||||||||
Energy Equipment & Services—2.5% | ||||||||
Cameron International Corp.1 | 277,700 | 5,692,850 | ||||||
Schlumberger Ltd. | 431,500 | 18,265,395 | ||||||
Transocean Ltd.1 | 91,100 | 4,304,475 | ||||||
28,262,720 | ||||||||
Oil, Gas & Consumable Fuels—6.6% | ||||||||
Devon Energy Corp. | 187,900 | 12,346,909 | ||||||
Occidental Petroleum Corp. | 409,900 | 24,589,901 | ||||||
Range Resources Corp. | 468,380 | 16,107,588 | ||||||
XTO Energy, Inc. | 640,430 | 22,587,966 | ||||||
75,632,364 | ||||||||
Financials—7.9% | ||||||||
Capital Markets—3.8% | ||||||||
Charles Schwab Corp. (The) | 315,700 | 5,104,869 | ||||||
Credit Suisse Group AG | 338,023 | 9,248,879 | ||||||
Goldman Sachs Group, Inc. (The) | 93,200 | 7,865,148 | ||||||
Julius Baer Holding AG | 130,984 | 5,029,913 | ||||||
Northern Trust Corp. | 209,390 | 10,917,595 | ||||||
T. Rowe Price Group, Inc. | 151,900 | 5,383,336 | ||||||
43,549,740 | ||||||||
Diversified Financial Services—3.0% | ||||||||
BM&F BOVESPA SA | 1,928,000 | 5,111,731 | ||||||
Intercontinental Exchange, Inc.1 | 247,200 | 20,379,168 | ||||||
MSCI, Inc., Cl. A1 | 504,899 | 8,967,006 | ||||||
34,457,905 | ||||||||
Insurance—0.6% | ||||||||
Aon Corp. | 145,600 | 6,651,008 | ||||||
Real Estate Management & Development—0.5% | ||||||||
Jones Lang LaSalle, Inc. | 229,510 | 6,357,427 | ||||||
Health Care—19.5% | ||||||||
Biotechnology—5.4% | ||||||||
Amgen, Inc.1 | 136,300 | 7,871,325 | ||||||
Celgene Corp.1 | 343,220 | 18,973,202 | ||||||
Genentech, Inc.1 | 101,300 | 8,398,783 | ||||||
Gilead Sciences, Inc.1 | 519,800 | 26,582,572 | ||||||
61,825,882 | ||||||||
Health Care Equipment & Supplies—5.1% | ||||||||
Bard (C.R.), Inc. | 66,390 | 5,594,021 | ||||||
Baxter International, Inc. | 466,700 | 25,010,453 | ||||||
Dentsply International, Inc. | 349,800 | 9,878,352 | ||||||
Intuitive Surgical, Inc.1 | 37,800 | 4,800,222 | ||||||
Medtronic, Inc. | 206,100 | 6,475,662 | ||||||
Stryker Corp. | 159,700 | 6,380,015 | ||||||
58,138,725 | ||||||||
Health Care Providers & Services—2.7% | ||||||||
Express Scripts, Inc.1 | 405,300 | 22,283,394 | ||||||
Schein (Henry), Inc.1 | 230,290 | 8,449,340 | ||||||
30,732,734 | ||||||||
Life Sciences Tools & Services—3.3% | ||||||||
Covance, Inc.1 | 184,427 | 8,489,175 | ||||||
Illumina, Inc.1 | 349,800 | 9,112,290 | ||||||
Thermo Fisher Scientific, Inc.1 | 591,180 | 20,141,503 | ||||||
37,742,968 | ||||||||
Pharmaceuticals—3.0% | ||||||||
Allergan, Inc. | 305,500 | 12,317,760 | ||||||
Roche Holding AG | 81,755 | 12,563,013 | ||||||
Shire plc | 693,500 | 10,287,960 | ||||||
35,168,733 |
Shares | Value | |||||||
Industrials—7.5% | ||||||||
Aerospace & Defense—4.3% | ||||||||
General Dynamics Corp. | 107,300 | $ | 6,179,407 | |||||
Lockheed Martin Corp. | 290,020 | 24,384,882 | ||||||
United Technologies Corp. | 344,600 | 18,470,560 | ||||||
49,034,849 | ||||||||
Construction & Engineering—0.4% | ||||||||
Quanta Services, Inc.1 | 211,000 | 4,177,800 | ||||||
Electrical Equipment—1.6% | ||||||||
ABB Ltd. | 1,214,015 | 18,268,565 | ||||||
Machinery—0.5% | ||||||||
Joy Global, Inc. | 267,400 | 6,120,786 | ||||||
Road & Rail—0.7% | ||||||||
Burlington Northern Santa Fe Corp. | 102,800 | 7,782,988 | ||||||
Information Technology—29.9% | ||||||||
Communications Equipment—8.3% | ||||||||
Cisco Systems, Inc.1 | 1,389,200 | 22,643,960 | ||||||
F5 Networks, Inc.1 | 355,360 | 8,123,530 | ||||||
QUALCOMM, Inc. | 1,142,910 | 40,950,465 | ||||||
Research in Motion Ltd.1 | 583,100 | 23,662,198 | ||||||
95,380,153 | ||||||||
Computers & Peripherals—3.3% | ||||||||
Apple, Inc.1 | 320,400 | 27,346,140 | ||||||
NetApp, Inc.1 | 748,930 | 10,462,552 | ||||||
37,808,692 | ||||||||
Electronic Equipment & Instruments—0.4% | ||||||||
FLIR Systems, Inc.1 | 163,400 | 5,013,112 | ||||||
Internet Software & Services—4.0% | ||||||||
eBay, Inc.1 | 737,000 | 10,288,520 | ||||||
Google, Inc., Cl. A1 | 116,100 | 35,718,165 | ||||||
46,006,685 | ||||||||
IT Services—4.9% | ||||||||
Affiliated Computer Services, Inc., Cl. A1 | 245,522 | 11,281,736 | ||||||
MasterCard, Inc., Cl. A | 135,560 | 19,375,591 | ||||||
SAIC, Inc.1 | 381,300 | 7,427,724 | ||||||
Visa, Inc., Cl. A | 340,930 | 17,881,779 | ||||||
55,966,830 | ||||||||
Semiconductors & Semiconductor Equipment—3.6% | ||||||||
Broadcom Corp., Cl. A1 | 824,900 | 13,998,553 | ||||||
Microchip Technology, Inc. | 469,530 | 9,169,921 | ||||||
NVIDIA Corp. 1 | 1,029,400 | 8,307,258 | ||||||
Texas Instruments, Inc. | 599,150 | 9,298,808 | ||||||
40,774,540 | ||||||||
Software—5.4% | ||||||||
Adobe Systems, Inc.1 | 581,900 | 12,388,651 | ||||||
Autodesk, Inc. 1 | 584,900 | 11,493,285 | ||||||
Microsoft Corp. | 566,000 | 11,003,040 | ||||||
Nintendo Co. Ltd. | 16,800 | 6,449,494 | ||||||
Oracle Corp.1 | 657,800 | 11,662,794 | ||||||
Salesforce.com, Inc.1 | 259,660 | 8,311,717 | ||||||
61,308,981 | ||||||||
Materials—6.3% | ||||||||
Chemicals—6.3% | ||||||||
Ecolab, Inc. | 144,700 | 5,086,205 | ||||||
Monsanto Co. | 481,200 | 33,852,420 | ||||||
Mosaic Co. (The) | 216,400 | 7,487,440 | ||||||
Potash Corp. of Saskatchewan, Inc. | 102,000 | 7,468,440 | ||||||
Praxair, Inc. | 302,232 | 17,940,488 | ||||||
71,834,993 | ||||||||
Telecommunication Services—2.6% | ||||||||
Wireless Telecommunication Services—2.6% | ||||||||
Crown Castle International Corp.1 | 938,600 | 16,500,588 | ||||||
NII Holdings, Inc.1 | 702,470 | 12,770,905 | ||||||
29,271,493 | ||||||||
Total Common Stocks (Cost $1,240,594,659) | 1,099,501,637 | |||||||
Other Securities—0.0% | ||||||||
Seagate Technology International, Inc.1,2,3(Cost $—) | 325,000 | 32,500 | ||||||
Investment Company—2.0% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%4,5 (Cost $22,383,442) | 22,383,442 | 22,383,442 | ||||||
Total Investments, at Value (Cost $1,262,978,101) | 98.1 | % | 1,121,917,579 | |||||
Other Assets Net of Liabilities | 1.9 | 21,944,634 | ||||||
Net Assets | 100.0 | % | $ | 1,143,862,213 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $32,500, which represents less than 0.005% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
3. | Escrow shares received as the result of issuer reorganization. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 24,161,830 | 325,338,559 | 327,116,947 | 22,383,442 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 22,383,442 | $ | 470,999 |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 1,009,989,949 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 111,927,630 | (3,757 | ) | |||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 1,121,917,579 | $ | (3,757 | ) |
Contract | ||||||||||||||||||||
Amount | Expiration | Unrealized | ||||||||||||||||||
Contract Description | Buy | (000s) | Date | Value | Depreciation | |||||||||||||||
Japanese Yen (JPY) | Buy | 87,635 JPY | 1/7/09 | $ | 966,131 | $ | 3,757 |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,240,594,659) | $ | 1,099,534,137 | ||
Affiliated companies (cost $22,383,442) | 22,383,442 | |||
1,121,917,579 | ||||
Cash | 2,067,950 | |||
Cash—foreign currencies (cost $1,053,483) | 1,048,664 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 14,968,791 | |||
Investments sold | 12,279,834 | |||
Interest and dividends | 2,025,178 | |||
Due from Manager | 61 | |||
Other | 27,401 | |||
Total assets | 1,154,335,458 | |||
Liabilities | ||||
Unrealized depreciation on foreign currency exchange contracts | 3,757 | |||
Payables and other liabilities: | ||||
Investments purchased | 9,666,341 | |||
Shares of beneficial interest redeemed | 452,312 | |||
Distribution and service plan fees | 195,096 | |||
Shareholder communications | 89,824 | |||
Trustees’ compensation | 15,301 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 48,894 | |||
Total liabilities | 10,473,245 | |||
Net Assets | $ | 1,143,862,213 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 44,679 | ||
Additional paid-in capital | 1,687,264,770 | |||
Accumulated net investment income | 1,288,398 | |||
Accumulated net realized loss on investments and foreign currency transactions | (403,693,868 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (141,041,766 | ) | ||
Net Assets | $ | 1,143,862,213 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $829,931,181 and 32,330,539 shares of beneficial interest outstanding) | $ | 25.67 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $313,931,032 and 12,348,907 shares of beneficial interest outstanding) | $ | 25.42 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $479,565) | $ | 15,197,599 | ||
Affiliated companies | 470,999 | |||
Interest | 22,380 | |||
Total investment income | 15,690,978 | |||
Expenses | ||||
Management fees | 11,123,637 | |||
Distribution and service plan fees — Service shares | 1,131,349 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Shareholder communications: | ||||
Non-Service shares | 61,927 | |||
Service shares | 22,304 | |||
Trustees’ compensation | 42,605 | |||
Custodian fees and expenses | 32,095 | |||
Other | 71,052 | |||
Total expenses | 12,504,957 | |||
Less reduction to custodian expenses | (2,455 | ) | ||
Less waivers and reimbursements of expenses | (15,619 | ) | ||
Net expenses | 12,486,883 | |||
Net Investment Income | 3,204,095 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | (273,400,291 | ) | ||
Foreign currency transactions | 8,524,454 | |||
Net realized loss | (264,875,837 | ) | ||
Net change in unrealized depreciation on: | ||||
Investments | (659,463,207 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (17,301,633 | ) | ||
Net change in unrealized depreciation | (676,764,840 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (938,436,582 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 3,204,095 | $ | 1,866,225 | ||||
Net realized gain (loss) | (264,875,837 | ) | 148,525,993 | |||||
Net change in unrealized appreciation (depreciation) | (676,764,840 | ) | 130,279,389 | |||||
Net increase (decrease) in net assets resulting from operations | (938,436,582 | ) | 280,671,607 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (1,851,681 | ) | (3,712,463 | ) | ||||
Service shares | — | (46,654 | ) | |||||
(1,851,681 | ) | (3,759,117 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (114,814,298 | ) | (179,103,584 | ) | ||||
Service shares | 20,286,295 | 18,763,021 | ||||||
(94,528,003 | ) | (160,340,563 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (1,034,816,266 | ) | 116,571,927 | |||||
Beginning of period | 2,178,678,479 | 2,062,106,552 | ||||||
End of period (including accumulated net investment income of $1,288,398 and $511,377, respectively) | $ | 1,143,862,213 | $ | 2,178,678,479 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 47.18 | $ | 41.43 | $ | 38.52 | $ | 36.99 | $ | 34.70 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .10 | .07 | .07 | .18 | .35 | 2 | ||||||||||||||
Net realized and unrealized gain (loss) | (21.55 | ) | 5.78 | 2.98 | 1.68 | 2.05 | ||||||||||||||
Total from investment operations | (21.45 | ) | 5.85 | 3.05 | 1.86 | 2.40 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.10 | ) | (.14 | ) | (.33 | ) | (.11 | ) | ||||||||||
Net asset value, end of period | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | $ | 36.99 | ||||||||||
Total Return, at Net Asset Value3 | (45.52 | )% | 14.15 | % | 7.95 | % | 5.10 | % | 6.93 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 829,931 | $ | 1,631,791 | $ | 1,598,967 | $ | 1,652,282 | $ | 1,770,273 | ||||||||||
Average net assets (in thousands) | $ | 1,256,525 | $ | 1,631,686 | $ | 1,615,352 | $ | 1,658,910 | $ | 1,708,511 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 0.25 | % | 0.15 | % | 0.17 | % | 0.47 | % | 0.99 | %2 | ||||||||||
Total expenses | 0.66 | %5,6,7 | 0.65 | %5,6,7 | 0.67 | %5,6,7 | 0.66 | %6 | 0.66 | %6 | ||||||||||
Portfolio turnover rate | 67 | % | 59 | % | 47 | % | 70 | % | 44 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Net investment income per share and the net investment income ratio include $.16 and 0.43%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.67 | % |
6. | Reduction to custodian expenses less than 0.005%. | |
7. | Waiver or reimbursement of indirect management fees less than 0.005%. |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 46.78 | $ | 41.09 | $ | 38.23 | $ | 36.73 | $ | 34.53 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | — | 2 | (.05 | ) | (.03 | ) | .08 | .29 | 3 | |||||||||||
Net realized and unrealized gain (loss) | (21.36 | ) | 5.74 | 2.96 | 1.69 | 1.99 | ||||||||||||||
Total from investment operations | (21.36 | ) | 5.69 | 2.93 | 1.77 | 2.28 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | — | — | 2 | (.07 | ) | (.27 | ) | (.08 | ) | |||||||||||
Net asset value, end of period | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | $ | 36.73 | ||||||||||
Total Return, at Net Asset Value4 | (45.66 | )% | 13.86 | % | 7.68 | % | 4.87 | % | 6.62 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 313,931 | $ | 546,887 | $ | 463,140 | $ | 381,852 | $ | 248,649 | ||||||||||
Average net assets (in thousands) | $ | 454,558 | $ | 510,874 | $ | 426,539 | $ | 301,780 | $ | 184,273 | ||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income (loss) | 0.00 | %6 | (0.10 | )% | (0.08 | )% | 0.20 | % | 0.85 | %3 | ||||||||||
Total expenses | 0.91 | %7,8,9 | 0.91 | %7,8,9 | 0.92 | %7,8,9 | 0.91 | %8 | 0.91 | %8 | ||||||||||
Portfolio turnover rate | 67 | % | 59 | % | 47 | % | 70 | % | 44 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Net investment income per share and the net investment income ratio include $.16 and 0.43%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. | |
4. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
5. | Annualized for periods less than one full year. | |
6. | Less than 0.005%. | |
7. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.91 | % | ||
Year Ended December 31, 2006 | 0.92 | % |
8. | Reduction to custodian expenses less than 0.005%. | |
9. | Voluntary waiver or reimbursement of indirect management fees less than 0.005%. |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4,5 | Income Tax Purposes | |||||||||
$2,994,641 | $ | — | $ | 382,458,902 | $ | 162,785,069 |
1. | As of December 31, 2008, the Fund had $243,920,551 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2011 | $ | 96,270,872 | ||
2013 | 34,677,838 | |||
2016 | 112,971,841 | |||
Total | $ | 243,920,551 | ||
2. | As of December 31, 2008, the Fund had $138,475,074 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | The Fund had $63,277 of post-October foreign currency losses which were deferred. | |
4. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
5. | During the fiscal year ended December 31, 2007, the Fund utilized $151,992,802 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Reduction | ||||
Reduction | to Accumulated Net | |||
to Accumulated Net | Realized Loss | |||
Investment Income | on Investments | |||
$575,393 | $ | 575,393 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,851,681 | $ | 3,759,117 |
Federal tax cost of securities | $ | 1,284,725,161 | ||
Federal tax cost of other investments | 2,019,614 | |||
Total federal tax cost | $ | 1,286,744,775 | ||
Gross unrealized appreciation | $ | 97,073,159 | ||
Gross unrealized depreciation | (259,858,228 | ) | ||
Net unrealized depreciation | $ | (162,785,069 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 5,158,989 | $ | 168,163,089 | 3,540,352 | $ | 160,454,788 | ||||||||||
Dividends and/or distributions reinvested | 45,642 | 1,851,681 | 88,964 | 3,712,463 | ||||||||||||
Redeemed | (7,457,105 | ) | (284,829,068 | ) | (7,638,575 | ) | (343,270,835 | ) | ||||||||
Net decrease | (2,252,474 | ) | $ | (114,814,298 | ) | (4,009,259 | ) | $ | (179,103,584 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 2,605,573 | $ | 92,870,576 | 2,132,039 | $ | 95,722,464 | ||||||||||
Dividends and/or distributions reinvested | — | — | 1,121 | 46,477 | ||||||||||||
Redeemed | (1,946,810 | ) | (72,584,281 | ) | (1,714,792 | ) | (77,005,920 | ) | ||||||||
Net increase | 658,763 | $ | 20,286,295 | 418,368 | $ | 18,763,021 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 1,153,045,787 | $ | 1,267,426,544 |
Fee Schedule | ||||
Up to$200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
February 11, 2009
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
�� | ||
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 port- folios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Baylin and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retire- ment, death or removal. | |
Marc L. Baylin, Vice President and Portfolio Manager (since 2005) Age: 41 | Vice President of the Manager and a member of the Growth Equity Investment Team (since September 2005); a Chartered Financial Analyst; Managing Director and Lead Portfolio Manager at JP Morgan Fleming Investment Management (June 2002 to August 2005); Vice President, Analyst (from June 1993) and Portfolio Manager (March 1999-June 2002) of T. Rowe Price. A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 617.80 | $ | 2.44 | ||||||
Service shares | 1,000.00 | 618.10 | 3.51 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,022.12 | 3.05 | |||||||||
Service shares | 1,000.00 | 1,020.81 | 4.38 |
Class | Expense Ratios | |||||||
Non-Service shares | 0.60 | % | ||||||
Service shares | 0.86 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—3.6% | ||||||||
Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass- Through Certificates, Series 2005- HE7, Cl. A2B, 0.651%, 11/25/351 | $ | 249 | $ | 247 | ||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.951%, 5/25/341 | 1,538,283 | 1,188,091 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.571%, 9/25/361 | 30,000 | 24,047 | ||||||
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.571%, 5/26/361 | 25,853 | 23,630 | ||||||
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.571%, 5/16/361 | 23,410 | 22,428 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 310,000 | 168,335 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | 35,747 | 16,667 | ||||||
Series 2002-4, Cl. A1, 1.211%, 2/25/331 | ||||||||
Series 2005-11, Cl. AF2, 4.657%, 2/25/36 | 171,286 | 168,753 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/361 | 700,000 | 559,823 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%,5/25/361 | 429,010 | 369,958 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.591%, 12/5/291 | 40,000 | 30,755 | ||||||
First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 0.681%, 11/25/351 | 8,236 | 8,129 | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.561%, 7/25/361 | 50,000 | 43,352 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.581%, 7/7/361 | 30,000 | 25,572 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 0.768%, 1/20/351 | 583,400 | 414,742 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.618%, 3/20/361 | 25,000 | 20,947 | ||||||
Lehman XS Trust, Mtg. Pass- Through Certificates: | 7,997 | 7,847 | ||||||
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/351 | ||||||||
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | 270,631 | 246,694 | ||||||
Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/312 | 1,444,390 | 1,417,568 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.571%, 8/25/361 | 70,000 | 20,848 | ||||||
NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 6.368%, 1/25/291,2 | 3,370,016 | 429,677 | ||||||
Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.571%, 7/1/361 | 1,034,159 | 911,319 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 710,159 | 645,521 | ||||||
RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 0.551%, 7/25/361 | 763 | 756 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass- Through Certificates, Series 2006-KS7, Cl. A2, 0.571%, 9/25/361 | 49,886 | 45,390 | ||||||
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.511%, 9/25/361 | 382,212 | 357,818 | ||||||
Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 | 660,000 | 670,197 | ||||||
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.571%, 7/25/361 | 41,953 | 39,593 | ||||||
Total Asset-Backed Securities (Cost $11,962,091) | 7,878,704 | |||||||
Mortgage-Backed Obligations—100.5% | ||||||||
Government Agency—66.9% | ||||||||
FHLMC/FNMA/Sponsored—66.0% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 8/15/33-12/15/34 | 3,875,685 | 3,970,925 | ||||||
6%, 7/15/17-10/15/29 | 6,682,229 | 6,929,923 | ||||||
6.50%, 4/15/18-4/1/34 | 1,215,927 | 1,268,743 | ||||||
7%, 8/15/16-11/15/16 | 104,347 | 109,489 | ||||||
7%, 10/1/313 | 688,044 | 723,284 | ||||||
8%, 4/1/16 | 438,864 | 467,163 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
Continued 9%, 8/1/22-5/1/25 | $ | 126,048 | $ | 137,482 | ||||
10.50%, 11/14/20 | 5,021 | 5,764 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 151, Cl. F, 9%, 5/15/21 | 26,338 | 26,330 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 86,052 | 91,670 | ||||||
Series 2006-11, Cl. PS, 22.839%, 3/25/361 | 612,645 | 698,458 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 11,504 | 12,104 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 32,543 | 33,763 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 961,519 | 1,002,420 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 96,978 | 101,297 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 14,178 | 14,841 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 | 1,862,728 | 1,958,272 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 1,087,229 | 1,141,737 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 | 4,671 | 5,010 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 368,358 | 385,709 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 38,906 | 39,463 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,467,643 | 1,548,642 | ||||||
Series 2470, Cl. LF, 2.195%, 2/15/321 | 16,914 | 16,233 | ||||||
Series 2500, Cl. FD, 1.695%, 3/15/321 | 271,956 | 263,280 | ||||||
Series 2526, Cl. FE, 1.595%, 6/15/291 | 441,631 | 425,958 | ||||||
Series 2538, Cl. F, 1.795%, 12/15/321 | 2,678,285 | 2,573,827 | ||||||
Series 2551, Cl. FD, 1.595%, 1/15/331 | 332,218 | 323,280 | ||||||
Series 2641, Cl. CE, 3.50%, 9/15/25 | 18,076 | 18,062 | ||||||
Series 2727, Cl. UA, 3.50%, 10/15/22 | 4,829 | 4,827 | ||||||
Series 2736, Cl. DB, 3.30%, 11/15/26 | 88,444 | 88,243 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 130,000 | 134,455 | ||||||
Series 2777, Cl. PJ, 4%, 5/15/24 | 4,984 | 4,986 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 130,000 | 133,475 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 69,000 | 70,675 | ||||||
Series 2939, Cl. PE, 5%, 2/15/35 | 247,000 | 253,525 | ||||||
Series 3025, Cl. SJ, 20.368%, 8/15/351 | 129,828 | 148,433 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 55,760 | 56,529 | ||||||
Series 3094, Cl. HS, 20.002%, 6/15/341 | 361,535 | 402,683 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. IO, 3.283%, 6/1/264 | 462,005 | 91,344 | ||||||
Series 183, Cl. IO, 1.254%, 4/1/274 | 712,736 | 105,775 | ||||||
Series 184, Cl. IO, 7.574%, 12/1/264 | 788,765 | 157,044 | ||||||
Series 192, Cl. IO, 4.918%, 2/1/284 | 194,683 | 27,505 | ||||||
Series 200, Cl. IO, 4.55%, 1/1/294 | 239,241 | 40,801 | ||||||
Series 2003-26, Cl. DI, 1.284%,4/25/334 | 37,367 | 6,455 | ||||||
Series 202, Cl. IO, (6.238)%, 4/1/294 | 1,627,967 | 227,104 | ||||||
Series 205, Cl. IO, 0.538%, 9/1/294 | 36,598 | 8,172 | ||||||
Series 206, Cl. IO, (11.155)%, 12/1/294 | 452,042 | 83,629 | ||||||
Series 2074, Cl. S, 38.602%, 7/17/284 | 7,404 | 888 | ||||||
Series 2079, Cl. S, 45.314%, 7/17/284 | 12,066 | 1,426 | ||||||
Series 2130, Cl. SC, 35.774%, 3/15/294 | 504,179 | 76,306 | ||||||
Series 216, Cl. IO, 2.68%, 12/1/314 | 324,504 | 41,040 | ||||||
Series 224, Cl. IO, (0.549)%, 3/1/334 | 997,097 | 148,658 | ||||||
Series 243, Cl. 6, 15.224%, 12/15/324 | 595,440 | 77,869 | ||||||
Series 2526, Cl. SE, 31.293%, 6/15/294 | 19,945 | 2,716 | ||||||
Series 2527, Cl. SG, 31.83%, 2/15/324 | 609,629 | 39,063 | ||||||
Series 2531, Cl. ST, 35.211%, 2/15/304 | 704,395 | 45,769 | ||||||
Series 2796, Cl. SD, 45.618%, 7/15/264 | 805,528 | 77,353 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/334 | 879,450 | 83,673 | ||||||
Series 2819, Cl. S, 35.142%, 6/15/344 | 163,213 | 21,236 | ||||||
Series 2920, Cl. S, 54.737%, 1/15/354 | 3,035,790 | 298,360 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/254 | 3,649,355 | 291,982 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/354 | 183,684 | 19,141 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/264 | 518,251 | 37,255 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. PO, 6.152%, 6/1/265 | 188,228 | 159,606 | ||||||
Series 192, Cl. PO, 8.464%, 2/1/285 | 194,683 | 174,984 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 1/1/226 | 11,152,000 | 11,399,441 | ||||||
5%, 2/25/22-7/25/22 | 46,912 | 48,234 | ||||||
5%, 1/1/24-1/1/396 | 22,873,000 | 23,419,152 | ||||||
5.296%, 10/1/36 | 496,247 | 502,463 | ||||||
5.50%, 1/1/24-1/1/396 | 21,310,000 | 21,862,492 | ||||||
6%, 1/1/24-1/1/396 | 18,605,000 | 19,187,237 | ||||||
6.50%, 2/25/09-1/1/34 | 2,235,773 | 2,324,930 | ||||||
6.50%, 8/25/173 | 351,963 | 365,758 | ||||||
6.50%, 1/1/396 | 10,570,000 | 10,977,939 | ||||||
7%, 11/25/13-7/25/35 | 1,373,952 | 1,432,495 | ||||||
7%, 1/1/396 | 972,000 | 1,017,867 | ||||||
7.50%, 1/1/33 | 19,388 | 20,558 | ||||||
8%, 5/25/17 | 847 | 897 | ||||||
8.50%, 7/1/32 | 47,760 | 51,940 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 | 37,445 | 40,507 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 1,107,361 | 1,152,127 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 940,047 | 980,079 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 526,163 | 545,211 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 738,506 | 764,111 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 56,290 | 58,906 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 53,397 | 56,203 | ||||||
Trust 2001-70, Cl. LR, 6%, 9/25/30 | 16,737 | 16,705 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 1,574,730 | 1,630,769 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 26,749 | 28,016 | ||||||
Trust 2003-130, Cl. CS, 13.158%, 12/25/331 | 355,150 | 356,859 | ||||||
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 | 137,000 | 141,787 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,964,000 | 4,056,641 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,975,000 | 2,002,706 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 1,160,000 | 1,187,367 | ||||||
Trust 2005-117, Cl. LA, 5.50%, 12/25/27 | 127,811 | 130,205 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued | ||||||||
Trust 2006-110, Cl. PW, 5.50%, 5/25/28 | $ | 172,388 | $ | 176,344 | ||||
Trust 2006-46, Cl. SW, 22.471%, 6/25/361 | 462,353 | 516,697 | ||||||
Trust 2006-50, Cl. KS, 22.472%, 6/25/361 | 1,061,516 | 1,192,963 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 43%, 11/18/314 | 63,403 | 8,554 | ||||||
Trust 2001-63, Cl. SD, 29.194%, 12/18/314 | 18,774 | 2,660 | ||||||
Trust 2001-65, Cl. S, 40.848%, 11/25/314 | 1,590,783 | 217,950 | ||||||
Trust 2001-68, Cl. SC, 22.964%, 11/25/314 | 13,060 | 1,799 | ||||||
Trust 2001-81, Cl. S, 25.046%, 1/25/324 | 390,750 | 55,142 | ||||||
Trust 2002-28, Cl. SA, 27.288%, 4/25/324 | 10,021 | 1,330 | ||||||
Trust 2002-38, Cl. IO, 40.014%, 4/25/324 | 21,911 | 2,369 | ||||||
Trust 2002-39, Cl. SD, 25.927%, 3/18/324 | 14,488 | 2,023 | ||||||
Trust 2002-47, Cl. NS, 22.828%, 4/25/324 | 997,192 | 135,265 | ||||||
Trust 2002-48, Cl. S, 24.795%, 7/25/324 | 16,821 | 2,335 | ||||||
Trust 2002-51, Cl. S, 23.117%, 8/25/324 | 915,425 | 124,553 | ||||||
Trust 2002-52, Cl. SD, 23.596%, 9/25/324 | 1,019,734 | 141,285 | ||||||
Trust 2002-52, Cl. SL, 25.286%, 9/25/324 | 10,358 | 1,417 | ||||||
Trust 2002-53, Cl. SK, 24.486%, 4/25/324 | 50,482 | 6,604 | ||||||
Trust 2002-56, Cl. SN, 27.404%, 7/25/324 | 22,935 | 3,166 | ||||||
Trust 2002-60, Cl. SM, 42.196%, 8/25/324 | 219,386 | 22,800 | ||||||
Trust 2002-7, Cl. SK, 43.23%, 1/25/324 | 103,211 | 10,962 | ||||||
Trust 2002-77, Cl. BS, 32.357%, 12/18/324 | 130,519 | 17,330 | ||||||
Trust 2002-77, Cl. IS, 33.07%, 12/18/324 | 37,330 | 5,166 | ||||||
Trust 2002-77, Cl. JS, 31.551%, 12/18/324 | 222,733 | 29,612 | ||||||
Trust 2002-77, Cl. SA, 32.813%, 12/18/324 | 209,792 | 27,370 | ||||||
Trust 2002-77, Cl. SH, 29.746%, 12/18/324 | 487,842 | 61,303 | ||||||
Trust 2002-84, Cl. SA, 42.181%, 12/25/324 | 1,413,340 | 202,491 | ||||||
Trust 2002-9, Cl. MS, 23.832%, 3/25/324 | 19,249 | 2,424 | ||||||
Trust 2002-90, Cl. SN, 43.76%, 8/25/324 | 112,863 | 12,148 | ||||||
Trust 2002-90, Cl. SY, 45.591%, 9/25/324 | 70,735 | 7,495 | ||||||
Trust 2003-118, Cl. S, 32.844%, 12/25/334 | 3,138,813 | 379,125 | ||||||
Trust 2003-33, Cl. SP, 22.276%, 5/25/334 | 1,494,958 | 198,570 | ||||||
Trust 2003-4, Cl. S, 38.007%, 2/25/334 | 985,967 | 126,468 | ||||||
Trust 2003-89, Cl. XS, 20.272%, 11/25/324 | 1,138,915 | 88,981 | ||||||
Trust 2004-54, Cl. DS, 33.428%, 11/25/304 | 736,824 | 82,227 | ||||||
Trust 2005-40, Cl. SA, 55.787%, 5/25/354 | 1,731,644 | 177,755 | ||||||
Trust 2005-40, Cl. SB, 70.772%, 5/25/354 | 78,898 | 7,774 | ||||||
Trust 2005-6, Cl. SE, 68.059%, 2/25/354 | 2,227,425 | 204,792 | ||||||
Trust 2005-71, Cl. SA, 73.118%, 8/25/254 | 2,296,317 | 172,177 | ||||||
Trust 2005-87, Cl. SE, 99.999%, 10/25/354 | 4,450,093 | 315,941 | ||||||
Trust 2005-87, Cl. SG, 98.925%, 10/25/354 | 4,473,433 | 379,167 | ||||||
Trust 2006-33, Cl. SP, 65.623%, 5/25/364 | 3,789,404 | 394,800 | ||||||
Trust 2006-42, Cl. CI, 26.305%, 6/25/364 | 4,476,411 | 520,247 | ||||||
Trust 221, Cl. 2, 13.156%, 5/1/234 | 12,583 | 2,856 | ||||||
Trust 222, Cl. 2, 7.815%, 6/1/234 | 1,583,244 | 431,142 | ||||||
Trust 240, Cl. 2, 10.405%, 9/1/234 | 1,931,427 | 299,731 | ||||||
Trust 252, Cl. 2, 12.847%, 11/1/234 | 1,229,684 | 282,016 | ||||||
Trust 273, Cl. 2, 4.739%, 8/1/264 | 351,877 | 62,860 | ||||||
Trust 294, Cl. 2, (0.958)%, 2/1/284 | 137,645 | 21,810 | ||||||
Trust 301, Cl. 2, (6.398)%, 4/1/294 | 17,327 | 3,484 | ||||||
Trust 302, Cl. 2, (9.691)%, 6/1/294 | 573,432 | 81,118 | ||||||
Trust 303, Cl. IO, (6.686)%, 11/1/294 | 205,561 | 29,593 | ||||||
Trust 319, Cl. 2, (1.101)%, 2/1/324 | 348,871 | 49,179 | ||||||
Trust 321, Cl. 2, (5.704)%, 4/1/324 | 3,783,629 | 526,191 | ||||||
Trust 324, Cl. 2, (6.594)%, 7/1/324 | 65,243 | 9,237 | ||||||
Trust 331, Cl. 5, 15.598%, 2/1/334 | 54,253 | 7,460 | ||||||
Trust 331, Cl. 9, 22.242%, 2/1/334 | 867,090 | 97,980 | ||||||
Trust 333, Cl. 2, (11.692)%, 4/1/334 | 3,165,316 | 387,120 | ||||||
Trust 334, Cl. 12, 11.56%, 2/1/334 | 94,591 | 12,415 | ||||||
Trust 334, Cl. 17, 29.467%, 2/1/334 | 597,572 | 102,268 | ||||||
Trust 334, Cl. 3, 13.538%, 7/1/334 | 460,569 | 51,675 | ||||||
Trust 334, Cl. 5, 13.587%, 5/1/334 | 65,699 | 7,491 | ||||||
Trust 338, Cl. 2, (11.024)%, 7/1/334 | 1,874,644 | 226,261 | ||||||
Trust 339, Cl. 12, 13.466%, 7/1/334 | 1,214,459 | 155,980 | ||||||
Trust 339, Cl. 7, 12.218%, 7/1/334 | 3,228,097 | 357,377 | ||||||
Trust 339, Cl. 8, 12.211%, 8/1/334 | 254,426 | 28,552 | ||||||
Trust 342, Cl. 2, (3.317)%, 9/1/334 | 19,237 | 2,751 | ||||||
Trust 343, Cl. 13, 12.001%, 9/1/334 | 975,230 | 103,138 | ||||||
Trust 343, Cl. 18, 14.18%, 5/1/344 | 302,144 | 42,355 | ||||||
Trust 345, Cl. 9, 11.31%, 1/1/344 | 1,358,170 | 148,339 | ||||||
Trust 346, Cl. 2, (12.874)%, 12/1/334 | 671,881 | 80,711 | ||||||
Trust 351, Cl. 10, 14.256%, 4/1/344 | 425,470 | 46,100 | ||||||
Trust 351, Cl. 11, 12.86%, 11/1/344 | 218,083 | 24,213 | ||||||
Trust 351, Cl. 8, 12.789%, 4/1/344 | 655,197 | 70,985 | ||||||
Trust 355, Cl. 7, 9.047%, 11/1/334` | 186,495 | 24,315 | ||||||
Trust 356, Cl. 10, 13.15%, 6/1/354 | 579,979 | 63,681 | ||||||
Trust 356, Cl. 12, 13.355%, 2/1/354 | 299,585 | 32,387 | ||||||
Trust 356, Cl. 6, 13.305%, 12/1/334 | 247,968 | 27,058 | ||||||
Trust 362, Cl. 12, 12.979%, 8/1/354 | 1,754,951 | 233,817 | ||||||
Trust 362, Cl. 13, 12.965%, 8/1/354 | 971,095 | 129,246 | ||||||
Trust 364, Cl. 15, 15.907%, 9/1/354 | 67,318 | 9,247 | ||||||
Trust 364, Cl. 16, 14.77%, 9/1/354 | 1,248,748 | 198,605 | ||||||
Trust 365, Cl. 16, 19.029%, 3/1/364 | 1,937,115 | 207,935 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Principal-Only Stripped. Mtg.-Backed Security: | ||||||||
Trust 1993-184, Cl. M, 6.775%, 9/25/235 | $ | 470,622 | $ | 400,145 | ||||
Trust 324, Cl. 1, 9.919%, 7/1/325 | 16,292 | 14,561 | ||||||
144,828,682 | ||||||||
GNMA/Guaranteed—0.9% | ||||||||
Government National Mortgage Assn.: | ||||||||
7%, 5/29/09-3/15/26 | 51,209 | 54,258 | ||||||
8.50%, 8/1/17-12/15/17 | 198,349 | 211,967 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 113,068 | 124,145 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 51,444 | 57,000 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 34.451%, 7/16/284 | 24,329 | 3,311 | ||||||
Series 2001-21, Cl. SB, 67.288%, 1/16/274 | 918,902 | 131,752 | ||||||
Series 2002-15, Cl. SM, 58.098%, 2/16/324 | 973,438 | 143,917 | ||||||
Series 2004-11, Cl. SM, 39.547%, 1/17/304 | 648,514 | 71,139 | ||||||
Series 2006-47, Cl. SA, 79.219%, 8/16/364 | 8,923,139 | 1,069,769 | ||||||
1,867,258 | ||||||||
Non-Agency—33.6% | ||||||||
Commercial—15.1% | ||||||||
Asset Securitization Corp., | ||||||||
Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 2.105%, 4/14/294 | 12,432,340 | 295,263 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 4,070,000 | 2,086,017 | ||||||
Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 | 1,080,987 | 1,034,975 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (6.348)%, 6/22/244 | 8,934,558 | 177,944 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 1.495%, 9/25/361 | 7,756 | 7,431 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 80,000 | 60,462 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.096%, 12/1/491 | 1,920,000 | 907,314 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 | 52,868 | 52,432 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 1,630,000 | 1,355,983 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: | 2,794,883 | 1,208,191 | ||||||
Series 2006-A5, Cl. 1A1, 0.871%, 10/25/361 | ||||||||
Series 2006-A5, Cl. 1A13, 0.921%, 10/25/361 | 1,455,973 | 594,858 | ||||||
CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 | 139,679 | 123,599 | ||||||
Deutsche Alt-A Securities | ||||||||
Mortgage Loan Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 | 364,266 | 335,283 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 49,881 | 39,967 | ||||||
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 | 146,820 | 141,501 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 733,323 | 536,140 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 799,527 | 751,649 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.132%, 11/1/371 | 648,651 | 432,193 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 50,000 | 49,217 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | $ | 1,110,000 | $ | 655,827 | ||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 | 3,760,000 | 2,676,016 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 3,950,000 | 3,122,566 | ||||||
Series 2007-LD11, Cl. A2, 5.804%, 6/15/491 | 110,000 | 84,422 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 1,080,000 | 845,274 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 2,320,000 | 2,026,085 | ||||||
Series 2006-C1, Cl. AM, 5.217%, 2/11/311 | 2,300,000 | 1,160,430 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, (0.425)%, 2/18/304 | 4,729,592 | 98,614 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/242 | 245,694 | 183,765 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 1,449,610 | 1,059,848 | ||||||
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 0.921%, 10/25/361 | 149,767 | 94,415 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A9, Mtg. Asset-Backed Certificates, Series 2005-A9, Cl. 4A1, 5.492%, 12/1/351 | 1,947,029 | 1,273,413 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 778 | 777 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 | 1,155,364 | 504,534 | ||||||
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 | 1,562,894 | 764,568 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 7.658%, 5/18/324 | 84,872,080 | 228,951 | ||||||
Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 | 2,177,430 | 1,024,444 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 | 370,000 | 303,664 | ||||||
Wachovia Mortgage Loan Trust LLC, Mtg. Pass-Through Certificates, Series 2007-A, Cl. 1A1, 5.981%, 3/1/371 | 1,423,195 | 767,784 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.871%, 8/1/461 | 3,593,218 | 2,000,203 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.706%, 2/25/371,2 | 794,400 | 182,712 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.668%, 3/1/371 | 2,024,842 | 523,335 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.548%, 11/1/361 | 1,125,156 | 739,399 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.647%, 5/1/371 | 1,179,613 | 754,317 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A2, 4.388%, 12/1/341 | 2,117,735 | 1,601,247 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-U Trust, Mtg. Pass-Through Certificates, Series 2004-U, Cl. A1, 5.245%, 10/1/341 | 404,621 | 345,485 | ||||||
33,212,514 |
Principal | ||||||||
Amount | Value | |||||||
Manufactured Housing—1.9% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/361 | $ | 2,907,261 | $ | 1,868,922 | ||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.093%, 3/25/361 | 3,545,876 | 2,207,239 | ||||||
4,076,161 | ||||||||
Multifamily—6.3% | ||||||||
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through Certificates, Series 2003-46, Cl. 1A2, 5.15%, 1/19/341 | 1,320,462 | 1,113,717 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through Certificates, Series 2005-HYB1, Cl. 1A2, 4.982%, 3/25/351 | 2,494,437 | 1,561,752 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Asset-Backed Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.89%, 7/25/361 | 1,459,192 | 765,131 | ||||||
CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 | 1,790,000 | 1,371,423 | ||||||
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates, Series 2004-J4, Cl. A7, 5.50%, 9/25/34 | 1,660,000 | 1,327,128 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.14%, 11/25/351 | 4,004,761 | 2,533,794 | ||||||
Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 5.972%, 6/25/371 | 3,073,834 | 2,153,618 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.992%, 12/25/341 | 825,559 | 639,189 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.742%, 9/25/341 | 672,556 | 492,212 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 4A1, 5.557%, 7/25/361 | 1,711,916 | 1,122,862 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A6, 5.093%, 3/25/361 | 673,358 | 187,615 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/361 | 860,456 | 617,983 | ||||||
13,886,424 | ||||||||
Other—0.0% | ||||||||
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.719%, 2/25/321 | 73,634 | 54,972 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 68.718%, 10/23/174 | 4,410 | 539 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 4.493%, 10/23/175 | 6,528 | 6,072 | ||||||
61,583 | ||||||||
Residential—10.3% | ||||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 40,000 | 28,241 | ||||||
CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 | 1,455,388 | 1,282,516 | ||||||
CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 | 1,156,881 | 788,180 | ||||||
CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 | 2,420,000 | 1,788,376 | ||||||
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 | 1,942,209 | 1,243,939 | ||||||
CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 | 1,737,932 | 1,497,447 | ||||||
JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 5.138%, 11/1/331 | 1,513,311 | 1,175,351 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 | 601,025 | 553,920 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.076%, 10/25/361 | 99,157 | 73,852 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.416%, 6/25/361 | $ | 1,110,000 | $ | 769,319 | ||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 598,225 | 596,328 | ||||||
RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-QS10, Cl. A3, 0.971%, 7/25/341 | 1,409,857 | 1,187,414 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 102,248 | 69,150 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 29,911 | 28,789 | ||||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 385,987 | 377,417 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 38,257 | 18,024 | ||||||
STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.01%, 8/1/221,2 | 3,880,964 | 2,522,627 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.127%, 8/25/361 | 3,308,565 | 2,200,867 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 5.449%, 2/1/371 | 82,812 | 49,469 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.615%, 11/1/361 | 1,174,842 | 670,696 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 | 3,321,774 | 2,906,103 | ||||||
Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 | 1,288,218 | 1,259,475 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A1, 4.388%, 12/1/341 | 883,087 | 688,369 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.368%, 9/1/341 | 452,363 | 323,841 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.545%, 4/1/361,2 | 1,556,566 | 404,707 | ||||||
22,504,417 | ||||||||
Total Mortgage-Backed Obligations (Cost $253,425,354) | 220,437,039 | |||||||
U.S. Government Obligations—0.2% | ||||||||
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 2.827%, 1/15/217 (Cost $444,184) | 825,000 | 520,068 | ||||||
Corporate Bonds and Notes—29.1% | ||||||||
Consumer Discretionary—5.6% | ||||||||
Automobiles—2.3% | ||||||||
Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 | 4,080,000 | 3,265,134 | ||||||
General Motors Acceptance Corp., 8% Bonds, 11/1/31 | 3,185,000 | 1,866,923 | ||||||
5,132,057 | ||||||||
Hotels, Restaurants & Leisure—1.6% | ||||||||
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 | 2,215,000 | 2,126,400 | ||||||
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 | 350,000 | 232,750 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 1,340,000 | 1,018,400 | ||||||
3,377,550 | ||||||||
Household Durables—0.6% | ||||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 | 910,000 | 869,050 | ||||||
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 | 400,000 | 398,000 | ||||||
1,267,050 | ||||||||
Media—0.2% | ||||||||
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 | 1,370,000 | 417,850 | ||||||
Multiline Retail—0.9% | ||||||||
Macy’s Retail Holdings, Inc., 4.80% Sr. Nts., 7/15/09 | 2,125,000 | 2,014,400 | ||||||
Consumer Staples—0.4% | ||||||||
Food & Staples Retailing—0.4% | ||||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | 1,675,000 | 1,013,375 |
Principal | ||||||||
Amount | Value | |||||||
Energy—2.0% | ||||||||
Oil, Gas & Consumable Fuels—2.0% | ||||||||
Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 | $ | 745,000 | $ | 634,013 | ||||
Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 | 430,000 | 384,197 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 1,560,000 | 1,314,211 | ||||||
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/138 | 876,612 | 931,928 | ||||||
TEPPCO Partners LP, 6.125% Nts., 2/1/13 | 900,000 | 801,429 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 | 540,000 | 462,604 | ||||||
4,528,382 | ||||||||
Financials—18.6% | ||||||||
Capital Markets—1.2% | ||||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 3,595,000 | 2,615,531 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/389 | 7,200,000 | 720 | ||||||
2,616,251 | ||||||||
Commercial Banks—4.9% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds10 | 5,830,000 | 3,374,812 | ||||||
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A8,10 | 6,600,000 | 2,563,876 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/351 | 5,920,000 | 2,479,722 | ||||||
Popular North America, Inc., 4.70% Nts., 6/30/09 | 2,485,000 | 2,429,028 | ||||||
10,847,438 | ||||||||
Diversified Financial Services—7.7% | ||||||||
Bank of America Corp.: | ||||||||
8% Unsec. Perpetual Bonds, Series K10 | 3,050,000 | 2,196,976 | ||||||
8.125% Perpetual Bonds, Series M10 | 515,000 | 385,864 | ||||||
Capmark Financial Group, Inc.: | ||||||||
3.038% Sr. Unsec. Nts., 5/10/101 | 700,000 | 357,338 | ||||||
5.875% Sr. Unsec. Nts., 5/10/12 | 1,470,000 | 501,548 | ||||||
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 | 1,235,000 | 1,084,537 | ||||||
Citigroup, Inc.: | ||||||||
8.30% Jr. Sub. Bonds, 12/21/571 | 4,485,000 | 3,466,802 | ||||||
8.40% Perpetual Bonds, Series E10 | 1,730,000 | 1,144,464 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 | 3,255,000 | 2,714,755 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 4,490,000 | 4,961,728 | ||||||
16,814,012 | ||||||||
Insurance—4.5% | ||||||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 | 1,290,000 | 482,912 | ||||||
Axa SA, 6.379% Sub. Perpetual Bonds8,10 | 5,205,000 | 2,332,459 | ||||||
MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 | 1,055,000 | 429,248 | ||||||
MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/381 | 700,000 | 489,218 | ||||||
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/361 | 3,875,000 | 2,330,375 | ||||||
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/238 | 2,400,000 | 2,317,574 | ||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/258 | 2,035,000 | 1,375,123 | ||||||
9,756,909 | ||||||||
Thrifts & Mortgage Finance—0.3% | ||||||||
Washington Mutual Bank NV, 3.337% Sr. Unsec. Nts., 5/1/099 | 2,380,000 | 702,100 | ||||||
Information Technology—0.8% | ||||||||
Computers & Peripherals—0.8% | ||||||||
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 | 1,700,000 | 1,705,170 | ||||||
Utilities—1.7% | ||||||||
Electric Utilities—1.7% | ||||||||
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 | 1,925,000 | 1,884,895 | ||||||
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 | 1,820,000 | 1,812,571 | ||||||
3,697,466 | ||||||||
Total Corporate Bonds and Notes (Cost $96,373,886) | 63,890,010 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/102,11 (Cost $14,872) | 5,408 | 189 |
Shares | ||||||||
Investment Company—6.2% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%12,13 (Cost $13,605,218) | 13,605,218 | 13,605,218 | ||||||
Total Investments, at Value (Cost $375,825,605) | 139.6 | % | 306,331,228 | |||||
Liabilities in Excess of Other Assets | (39.6 | ) | (86,899,653 | ) | ||||
Net Assets | 100.0 | % | $ | 219,431,575 | ||||
Footnotes to Statement of Investments | ||
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $5,141,245, which represents 2.34% of the Fund’s net assets. See Note 8 of accompanying Notes. | |
3. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $825,070. See Note 5 of accompanying Notes. | |
4. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $13,064,019 or 5.95% of the Fund’s net assets as of December 31, 2008. | |
5. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $755,368 or 0.34% of the Fund’s net assets as of December 31, 2008. | |
6. | When-issued security or delayed delivery to be delivered and settled after December 31, 2008. See Note 1 of accompanying Notes. | |
7. | Zero coupon bond reflects effective yield on the date of purchase. | |
8. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $9,520,960 or 4.34% of the Fund’s net assets as of December 31, 2008. | |
9. | Issue is in default. See Note 1 of accompanying Notes. | |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Non-income producing security. | |
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 15,411,921 | 15,411,921 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 4,105,793 | 260,480,009 | 250,980,584 | 13,605,218 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 18,564 | a | |||
Oppenheimer Institutional Money | 13,605,218 | 246,255 | ||||||
Market Fund, Cl. E | $ | 13,605,218 | $ | 264,819 | ||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
13. | Rate shown is the 7-day yield as of December 31, 2008. |
Investments | Other Financial | |||||||
Valuation Description | in Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 13,605,218 | $ | (509,885 | ) | |||
Level 2—Other Significant Observable Inputs | 292,725,821 | (4,069,834 | ) | |||||
Level 3—Significant Unobservable Inputs | 189 | — | ||||||
Total | $ | 306,331,228 | $ | (4,579,719 | ) | |||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Bonds, 10 yr. | Buy | 180 | 3/20/09 | $ | 22,635,000 | $ | (91,824 | ) | ||||||||||||
U.S. Treasury Bonds, 20 yr. | Buy | 70 | 3/20/09 | 9,663,281 | 14,450 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 49 | 3/31/09 | 10,685,063 | (16,096 | ) | ||||||||||||||
$ | (93,470 | ) | ||||||||||||||||||
Upfront | ||||||||||||||||||||||||||
Buy/Sell | Notional | Pay/ | Payment | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
ABX.HE.AA.06-2 Index: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 930 | �� | 0.170 | % | 5/25/46 | $ | 719,465 | $ | (816,772 | ) | ||||||||||||||
Deutsche Bank AG | Sell | 450 | 0.170 | 5/25/46 | 53,996 | (395,212 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 155 | 0.170 | 5/25/46 | 12,771 | (136,129 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 760 | 0.170 | 5/25/46 | 300,182 | (667,469 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 155 | 0.170 | 5/25/46 | 12,383 | (136,129 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 300 | 0.170 | 5/25/46 | 29,999 | (263,475 | ) | |||||||||||||||||||
Total | 2,750 | 1,128,796 | (2,415,186 | ) | ||||||||||||||||||||||
ABX-HE-AAA 06-2 Index: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 40 | 0.110 | 5/25/46 | — | (20,371 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 40 | 0.110 | 5/25/46 | — | (20,371 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 20 | 0.110 | 5/25/46 | — | (10,186 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 20 | 0.110 | 5/25/46 | — | (10,186 | ) | |||||||||||||||||||
Total | 120 | — | (61,114 | ) | ||||||||||||||||||||||
Allied Waste North America, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 630 | 2.000 | 9/20/09 | — | 4,864 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 990 | 2.000 | 9/20/09 | — | 7,644 | ||||||||||||||||||||
Total | 1,620 | — | 12,508 | |||||||||||||||||||||||
American International Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 495 | 3.000 | 3/20/09 | — | (2,901 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 2,600 | 5.350 | 3/20/09 | — | (490 | ) | |||||||||||||||||||
Total | 3,095 | — | (3,391 | ) | ||||||||||||||||||||||
Capmark Financial Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 950 | 1.000 | 6/20/12 | — | (497,954 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 1,035 | 0.950 | 6/20/12 | — | (543,202 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 405 | 5.000 | 6/20/12 | 109,350 | (190,540 | ) | |||||||||||||||||||
Total | 2,390 | 109,350 | (1,231,696 | ) | ||||||||||||||||||||||
CDX North America Investment | ||||||||||||||||||||||||||
Grade Index, Series 7: | Deutsche Bank AG | Buy | 3,514 | 0.400 | 12/20/11 | (370 | ) | 128,041 | ||||||||||||||||||
Total | 3,514 | (370 | ) | 128,041 | ||||||||||||||||||||||
Cemex SAB de CV | Deutsche Bank AG | Sell | 665 | 2.000 | 3/20/09 | — | (9,727 | ) | ||||||||||||||||||
Total | 665 | — | (9,727 | ) | ||||||||||||||||||||||
Centex Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 280 | 4.650 | 9/20/09 | — | (370 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 355 | 1.550 | 9/20/09 | — | (8,497 | ) | |||||||||||||||||||
Total | 635 | — | (8,867 | ) | ||||||||||||||||||||||
CIT Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 195 | 10.500 | 6/20/09 | — | 2,577 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 125 | 5.000 | 3/20/09 | 14,375 | (3,573 | ) | |||||||||||||||||||
Total | 320 | 14,375 | (996 | ) | ||||||||||||||||||||||
Countrywide Home Loans, Inc. | Morgan Stanley Capital Services, Inc. | Sell | 3,070 | 0.420 | 6/20/09 | — | (11,664 | ) | ||||||||||||||||||
Total | 3,070 | — | (11,664 | ) | ||||||||||||||||||||||
Energy Future Holdings Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 365 | 5.910 | 12/20/12 | — | (100,178 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 350 | 6.050 | 12/20/12 | — | (94,930 | ) |
Upfront | ||||||||||||||||||||||||||
Buy/Sell | Notional | Pay/ | Payment | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Energy Future Holdings Corp.: | ||||||||||||||||||||||||||
Continued | ||||||||||||||||||||||||||
Credit Suisse International | Sell | $ | 365 | 6.000 | % | 12/20/12 | $ | — | $ | (99,420 | ) | |||||||||||||||
Total | 1,080 | — | (294,528 | ) | ||||||||||||||||||||||
First Data Corp. | Goldman Sachs International | Sell | 110 | 4.700 | 3/20/09 | — | (3,428 | ) | ||||||||||||||||||
Total | 110 | — | (3,428 | ) | ||||||||||||||||||||||
Ford Motor Co.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 1,475 | 5.000 | 12/20/18 | 796,500 | (1,041,756 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,065 | 7.150 | 12/20/16 | — | (1,343,693 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 980 | 7.050 | 12/20/16 | — | (645,151 | ) | |||||||||||||||||||
Total | 4,520 | 796,500 | (3,030,600 | ) | ||||||||||||||||||||||
General Electric Capital Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 880 | 8.000 | 12/20/09 | — | 25,927 | ||||||||||||||||||||
Barclays Bank plc | Sell | 1,320 | 5.750 | 12/20/09 | — | 10,332 | ||||||||||||||||||||
Credit Suisse International | Sell | 770 | 8.000 | 12/20/09 | — | 22,687 | ||||||||||||||||||||
Total | 2,970 | — | 58,946 | |||||||||||||||||||||||
General Motors Corp.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 960 | 5.000 | 12/20/18 | 643,200 | (760,042 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,035 | 5.800 | 12/20/16 | — | (818,691 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,000 | 5.750 | 12/20/16 | — | (791,439 | ) | |||||||||||||||||||
Total | 2,995 | 643,200 | (2,370,172 | ) | ||||||||||||||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,285 | 5.750 | 12/20/09 | — | 26,187 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 1,290 | 5.500 | 12/20/09 | — | 23,157 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 930 | 5.450 | 12/20/09 | — | 16,242 | ||||||||||||||||||||
Total | 3,505 | — | 65,586 | |||||||||||||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 665 | 2.400 | 3/20/09 | — | (6,644 | ) | |||||||||||||||||||
Total | 665 | — | (6,644 | ) | ||||||||||||||||||||||
HCP, Inc. | Barclays Bank plc | Sell | 1,005 | 4.600 | 3/20/09 | — | 1,153 | |||||||||||||||||||
Total | 1,005 | — | 1,153 | |||||||||||||||||||||||
Idearc, Inc. | Credit Suisse International | Sell | 140 | 5.000 | 12/20/09 | 28,700 | (101,276 | ) | ||||||||||||||||||
Total | 140 | 28,700 | (101,276 | ) | ||||||||||||||||||||||
iStar Financial, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,140 | 4.400 | 12/20/12 | — | (618,082 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 165 | 4.000 | 12/20/12 | — | (89,875 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 410 | 12.000 | 3/20/09 | — | (44,835 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 180 | 4.320 | 12/20/12 | — | (97,683 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,005 | 12.000 | 3/20/09 | — | (109,900 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 185 | 3.950 | 12/20/12 | — | (100,827 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 170 | 4.860 | 12/20/12 | — | (91,678 | ) | |||||||||||||||||||
Total | 3,255 | — | (1,152,880 | ) | ||||||||||||||||||||||
J.C. Penney Corp., Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,060 | 1.070 | 12/20/17 | — | (206,475 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,095 | 1.300 | 12/20/17 | — | (197,682 | ) | |||||||||||||||||||
Total | 2,155 | — | (404,157 | ) | ||||||||||||||||||||||
Jones Apparel Group, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 675 | 2.635 | 6/20/18 | — | 150,753 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,370 | 2.970 | 6/20/18 | — | 281,043 | ||||||||||||||||||||
Total | 2,045 | — | 431,796 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 675 | 2.720 | 6/20/13 | — | (133,864 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,370 | 3.200 | 6/20/13 | — | (250,612 | ) | |||||||||||||||||||
Total | 2,045 | — | (384,476 | ) |
Credit Default Swap Contracts: Continued
Upfront | ||||||||||||||||||||||||||
Buy/Sell | Notional | Pay/ | Payment | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Kohl's Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Buy | $ | 665 | 1.180 | % | 6/20/18 | $ | — | $ | 59,369 | ||||||||||||||||
Barclays Bank plc | Buy | 665 | 1.040 | 6/20/18 | — | 66,139 | ||||||||||||||||||||
Deutsche Bank AG | Buy | 675 | 1.300 | 6/20/18 | — | 54,373 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,590 | 0.660 | 12/20/17 | — | 193,958 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,640 | 0.870 | 12/20/17 | — | 175,965 | ||||||||||||||||||||
Total | 5,235 | — | 549,804 | |||||||||||||||||||||||
Barclays Bank plc | Sell | 665 | 1.080 | 6/20/13 | — | (44,740 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 665 | 0.900 | 6/20/13 | — | (49,479 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 675 | 1.180 | 6/20/13 | — | (42,740 | ) | |||||||||||||||||||
Total | 2,005 | — | (136,959 | ) | ||||||||||||||||||||||
Liz Claiborne, Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,345 | 2.900 | 6/20/18 | — | 416,444 | ||||||||||||||||||||
Total | 1,345 | — | 416,444 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 2,485 | 3.250 | 6/20/09 | — | (72,964 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,345 | 3.100 | 6/20/13 | — | (357,017 | ) | |||||||||||||||||||
Total | 3,830 | — | (429,981 | ) | ||||||||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley Capital Services, Inc. | Sell | 1,345 | 6.250 | 9/20/09 | — | (114,929 | ) | ||||||||||||||||||
Total | 1,345 | — | (114,929 | ) | ||||||||||||||||||||||
Merrill Lynch & Co., Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 2,575 | 4.150 | 9/20/09 | — | 3,432 | ||||||||||||||||||||
Credit Suisse International | Sell | 1,285 | 4.150 | 9/20/09 | — | 1,713 | ||||||||||||||||||||
Total | 3,860 | — | 5,145 | |||||||||||||||||||||||
Morgan Stanley | Credit Suisse International | Sell | 1,775 | 7.800 | 12/20/13 | — | 265,490 | |||||||||||||||||||
Total | 1,775 | — | 265,490 | |||||||||||||||||||||||
Prudential Financial, Inc. | Deutsche Bank AG | Sell | 1,430 | 2.050 | 6/20/09 | — | (45,649 | ) | ||||||||||||||||||
Total | 1,430 | — | (45,649 | ) | ||||||||||||||||||||||
Pulte Homes, Inc. | Goldman Sachs International | Sell | 1,625 | 2.750 | 9/20/09 | — | (2,284 | ) | ||||||||||||||||||
Total | 1,625 | — | (2,284 | ) | ||||||||||||||||||||||
Reliant Energy, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 655 | 9.000 | 12/20/09 | — | (16,437 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 680 | 9.000 | 12/20/09 | — | (17,064 | ) | |||||||||||||||||||
Total | 1,335 | — | (33,501 | ) | ||||||||||||||||||||||
R.H. Donnelley Corp. | Goldman Sachs International | Sell | 1,465 | 9.000 | 3/20/09 | — | (63,164 | ) | ||||||||||||||||||
Total | 1,465 | — | (63,164 | ) | ||||||||||||||||||||||
Rite Aid Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 530 | 7.500 | 3/20/09 | — | (27,121 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 615 | 5.000 | 9/20/09 | 36,900 | (109,299 | ) | |||||||||||||||||||
Total | 1,145 | 36,900 | (136,420 | ) | ||||||||||||||||||||||
Sprint Nextel Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 2,940 | 6.300 | 3/20/09 | — | (40,943 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,060 | 6.300 | 3/20/09 | — | (14,762 | ) | |||||||||||||||||||
Total | 4,000 | — | (55,705 | ) | ||||||||||||||||||||||
Temple-Inland, Inc. | Deutsche Bank AG | Sell | 335 | 3.000 | 9/20/09 | — | (19,916 | ) | ||||||||||||||||||
Total | 335 | — | (19,916 | ) | ||||||||||||||||||||||
Tenet Healthcare Corp. | Deutsche Bank AG | Sell | 1,635 | 1.600 | 3/20/09 | — | (37,879 | ) | ||||||||||||||||||
Total | 1,635 | — | (37,879 | ) | ||||||||||||||||||||||
Tribune Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 120 | 5.000 | 1/16/09 | 26,400 | (112,515 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 600 | 5.000 | 1/16/09 | 138,000 | (562,573 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 45 | 5.000 | 1/16/09 | 14,400 | (42,193 | ) |
Upfront | ||||||||||||||||||||||||||
Buy/Sell | Notional | Pay/ | Payment | |||||||||||||||||||||||
Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Tribune Co.: Continued | ||||||||||||||||||||||||||
Credit Suisse International | Sell | $ | 430 | 5.000 | % | 1/16/09 | $ | 150,500 | $ | (403,177 | ) | |||||||||||||||
Credit Suisse International | Sell | 500 | 5.000 | 1/16/09 | 195,000 | (468,811 | ) | |||||||||||||||||||
Total | 1,695 | 524,300 | (1,589,269 | ) | ||||||||||||||||||||||
Univision Communications, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 25 | 14.600 | 3/20/09 | — | (1,807 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 350 | 5.000 | 6/20/09 | 35,000 | (115,708 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 140 | 5.000 | 6/20/09 | 15,400 | (46,283 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 360 | 5.000 | 6/20/09 | 21,600 | (119,014 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 250 | 5.000 | 12/20/09 | 32,500 | (85,853 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 300 | 5.000 | 12/20/09 | 21,000 | (103,024 | ) | |||||||||||||||||||
Total | 1,425 | 125,500 | (471,689 | ) | ||||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,030 | 0.700 | 3/20/17 | — | 164,396 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,015 | 0.630 | 3/20/17 | — | 166,414 | ||||||||||||||||||||
Total | 2,045 | — | 330,810 | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,030 | 1.170 | 3/20/17 | — | (130,905 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,015 | 1.100 | 3/20/17 | — | (133,578 | ) | |||||||||||||||||||
Total | 2,045 | — | (264,483 | ) | ||||||||||||||||||||||
Vornado Realty LP: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 665 | 3.600 | 3/20/09 | — | (5,780 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,345 | 3.875 | 6/20/09 | — | (10,783 | ) | |||||||||||||||||||
Total | 2,010 | — | (16,563 | ) | ||||||||||||||||||||||
XL Capital Ltd.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,485 | 3.550 | 9/20/09 | — | (110,212 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,675 | 3.550 | 9/20/09 | — | (124,313 | ) | |||||||||||||||||||
Total | 3,160 | — | (234,525 | ) | ||||||||||||||||||||||
Grand Total Buys | 14,184 | (370 | ) | 1,856,895 | ||||||||||||||||||||||
Grand Total Sells | 75,230 | 3,407,621 | (14,734,890 | ) | ||||||||||||||||||||||
Total Credit | Default Swaps | $ | 3,407,251 | $ | (12,877,995 | ) | ||||||||||||||||||||
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which the | Payments for Selling Credit | Reference Asset | ||||||||||
Fund Sold Protection | Protection (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||
Asset-Backed Indexes | $ | 2,870,000 | $ | — | AAA to AA | |||||||
Single Name Corporate Debt | 41,335,000 | 2,005,000 | AAA to BBB- | |||||||||
Single Name Corporate Debt | 31,025,000 | 3,390,000 | BB+ to D | |||||||||
Total | $ | 75,230,000 | $ | 5,395,000 | ||||||||
* | Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The reference asset security rating, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential payment by the Fund if the reference asset experiences a credit event as of period end. |
Interest Rate Swap Contracts as of December 31, 2008 are as follows:
Notional | ||||||||||||||||||||
Amount | Paid by | Received by | Termination | |||||||||||||||||
Reference Entity/Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
USD BBA LIBOR: | ||||||||||||||||||||
Credit Suisse International | $ | 690 | 4.353 | % | Three-Month USD BBA LIBOR | 10/21/16 | $ | (98,623 | ) | |||||||||||
Credit Suisse International | 2,740 | 2.225 | Three-Month USD BBA LIBOR | 11/20/10 | (38,743 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 20,000 | 4.488 | Three-Month USD BBA LIBOR | 10/17/16 | (3,049,431 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 60,000 | 2.820 | Three-Month USD BBA LIBOR | 10/29/10 | (1,368,198 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,810 | 4.358 | Three-Month USD BBA LIBOR | 10/21/16 | (259,374 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 13,640 | 2.233 | Three-Month USD BBA LIBOR | 11/20/10 | (194,887 | ) | ||||||||||||||
Goldman Sachs International | 12,000 | 4.275 | Three-Month USD BBA LIBOR | 9/5/16 | (1,782,468 | ) | ||||||||||||||
UBS AG | 3,620 | 2.230 | Three-Month USD BBA LIBOR | 11/20/10 | (51,543 | ) | ||||||||||||||
Total where Fund pays a fixed rate | 114,500 | (6,843,267 | ) | |||||||||||||||||
Credit Suisse International | 4,580 | Three-Month USD BBA LIBOR | 5.428 | % | 8/7/17 | 1,170,547 | ||||||||||||||
Deutsche Bank AG | 3,870 | Three-Month USD BBA LIBOR | 5.445 | 8/8/17 | 994,845 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 10,000 | Three-Month USD BBA LIBOR | 4.543 | 10/21/28 | 2,775,640 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 25,000 | Three-Month USD BBA LIBOR | 2.823 | 12/4/16 | 847,600 | |||||||||||||||
Total where Fund pays a variable rate | 43,450 | 5,788,632 | ||||||||||||||||||
Total Interest Rate Swaps | $ | (1,054,635 | ) | |||||||||||||||||
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate |
Notional | ||||||||||||||||||||
Amount | Paid by | Received by | Termination | |||||||||||||||||
Reference Entity/Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Banc of America Securities LLC AAA 10 yr. CMBS Daily Index*: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 36,590 | A | D | 3/31/09 | $ | 7,881,791 | |||||||||||||
Goldman Sachs Group, Inc. (The) | 30,110 | B | C | 1/31/09 | (7,153,383 | ) | ||||||||||||||
Reference Entity Total | 728,408 | |||||||||||||||||||
Barclays Capital U.S. CMBS AAA Index*: | ||||||||||||||||||||
Morgan Stanley | 7,300 | A | D | 2/1/09 | 798,499 | |||||||||||||||
Morgan Stanley | 14,200 | A | D | 3/1/09 | 1,556,053 | |||||||||||||||
Reference Entity Total | 2,354,552 | |||||||||||||||||||
Barclays Capital U.S. CMBS AAA 8.5+ Index*: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 8,500 | A | D | 3/1/09 | 1,451,339 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 3,210 | A | D | 3/1/09 | 546,796 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 6,630 | A | D | 2/1/09 | 1,132,044 | |||||||||||||||
Morgan Stanley | 2,290 | A | D | 3/1/09 | 390,478 | |||||||||||||||
Morgan Stanley | 5,860 | A | D | 3/1/09 | 991,871 | |||||||||||||||
Morgan Stanley | 440 | A | D | 2/1/09 | 74,078 | |||||||||||||||
Morgan Stanley | 3,530 | A | D | 2/1/09 | 600,716 | |||||||||||||||
Morgan Stanley | 6,170 | A | D | 2/1/09 | 1,054,829 |
Notional | ||||||||||||||||||||
Amount | Paid by | Received by | Termination | |||||||||||||||||
Reference Entity/Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Barclays Capital U.S. CMBS AAA 8.5+ Index*: Continued Morgan Stanley | $ | 3,170 | A | D | 2/1/09 | $ | 537,685 | |||||||||||||
Reference Entity Total | 6,779,836 | |||||||||||||||||||
Total of Total Return Swaps | $ | 9,862,796 | ||||||||||||||||||
* | The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index’s underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index’s underlying holdings, the spread widens. |
CMBS | Commercial Mortgage Backed Securities |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | $ | 1,330 | $ | 125,508 | ||||||
Credit Default Sell Protection | 16,470 | (2,071,392 | ) | |||||||
(1,945,884 | ) | |||||||||
Credit Suisse International: | ||||||||||
Credit Default Sell Protection | 13,430 | (2,048,344 | ) | |||||||
Interest Rate | 8,010 | 1,033,181 | ||||||||
(1,015,163 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 4,864 | 333,167 | ||||||||
Credit Default Sell Protection | 19,390 | (2,903,333 | ) | |||||||
Interest Rate | 3,870 | 994,845 | ||||||||
(1,575,321 | ) | |||||||||
Goldman Sachs Bank USA | Credit Default Sell Protection | 1,970 | (1,356,986 | ) | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Total Return | 85,040 | 3,858,587 | ||||||||
Interest Rate | 130,450 | (1,248,650 | ) | |||||||
2,609,937 | ||||||||||
Goldman Sachs International: | ||||||||||
Credit Default Sell Protection | 5,295 | (465,470 | ) | |||||||
Interest Rate | 12,000 | (1,782,468 | ) | |||||||
(2,247,938 | ) | |||||||||
Morgan Stanley | Total Return | 42,960 | 6,004,209 | |||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 7,990 | 1,398,220 | ||||||||
Credit Default Sell Protection | 18,675 | (5,889,365 | ) | |||||||
(4,491,145 | ) | |||||||||
UBS AG | Interest Rate | 3,620 | (51,543 | ) | ||||||
Total Swaps | $ | (4,069,834 | ) | |||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $362,220,387) | $ | 292,726,010 | ||
Affiliated companies (cost $13,605,218) | 13,605,218 | |||
306,331,228 | ||||
Cash | 2,989,915 | |||
Swaps, at value (net upfront payment received $14,005) | 25,069,538 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 2,286,439 | |||
Shares of beneficial interest sold | 171,022 | |||
Terminated investment contracts | 33,605 | |||
Investments sold | 344 | |||
Due from Manager | 37 | |||
Other | 14,777 | |||
Total assets | 336,896,905 | |||
Liabilities | ||||
Swaps, at value (upfront payment received $3,393,246) | 29,139,372 | |||
Payables and other liabilities: | ||||
Investments purchased on a when-issued or delayed delivery basis | 86,956,884 | |||
Futures margins | 509,885 | |||
Terminated investment contracts | 508,856 | |||
Shares of beneficial interest redeemed | 214,068 | |||
Distribution and service plan fees | 41,622 | |||
Shareholder communications | 10,020 | |||
Trustees’ compensation | 8,494 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 74,409 | |||
Total liabilities | 117,465,330 | |||
Net Assets | $ | 219,431,575 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 34,070 | ||
Additional paid-in capital | 355,718,025 | |||
Accumulated net investment loss | (466,070 | ) | ||
Accumulated net realized loss on investments | (65,604,020 | ) | ||
Net unrealized depreciation on investments | (70,250,430 | ) | ||
Net Assets | $ | 219,431,575 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $156,339,150 and 24,221,312 shares of beneficial interest outstanding) | $ | 6.45 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $63,092,425 and 9,848,377 shares of beneficial interest outstanding) | $ | 6.41 |
Investment Income | ||||
Interest | $ | 26,126,967 | ||
Fee income | 1,170,034 | |||
Dividends from affiliated companies | 246,255 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 9,712 | |||
Affiliated companies | 18,564 | |||
Total investment income | 27,571,532 | |||
Expenses | ||||
Management fees | 2,241,087 | |||
Distribution and service plan fees—Service shares | 249,916 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,995 | |||
Trustees’ compensation | 14,749 | |||
Custodian fees and expenses | 2,722 | |||
Other | 64,261 | |||
Total expenses | 2,592,724 | |||
Less reduction to custodian expenses | (1,988 | ) | ||
Less waivers and reimbursements of expenses | (29,721 | ) | ||
Net expenses | 2,561,015 | |||
Net Investment Income | 25,010,517 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (13,666,272 | ) | ||
Closing and expiration of futures contracts | (5,577,484 | ) | ||
Swap contracts | (89,718,336 | ) | ||
Net realized loss | (108,962,092 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (68,626,214 | ) | ||
Futures contracts | 190,392 | |||
Swap contracts | 455,655 | |||
Net change in unrealized depreciation | (67,980,167 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (151,931,742 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 25,010,517 | $ | 20,943,854 | ||||
Net realized loss | (108,962,092 | ) | (3,101,555 | ) | ||||
Net change in unrealized depreciation | (67,980,167 | ) | (11,066 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (151,931,742 | ) | 17,831,233 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (12,773,902 | ) | (18,342,384 | ) | ||||
Service shares | (4,423,158 | ) | (2,404,569 | ) | ||||
(17,197,060 | ) | (20,746,953 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (47,839,123 | ) | (37,703,583 | ) | ||||
Service shares | 7,196,319 | 61,525,061 | ||||||
(40,642,804 | ) | 23,821,478 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (209,771,606 | ) | 20,905,758 | |||||
Beginning of period | 429,203,181 | 408,297,423 | ||||||
End of period (including accumulated net investment income (loss) of $(466,070) and $18,856,205, respectively) | $ | 219,431,575 | $ | 429,203,181 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.06 | $ | 11.16 | $ | 11.19 | $ | 11.50 | $ | 11.42 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .66 | .55 | .53 | .51 | .43 | |||||||||||||||
Net realized and unrealized gain (loss) | (4.82 | ) | (.08 | ) | .03 | (.23 | ) | .18 | ||||||||||||
Total from investment operations | (4.16 | ) | .47 | .56 | .28 | .61 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.45 | ) | (.57 | ) | (.59 | ) | (.59 | ) | (.53 | ) | ||||||||||
Net asset value, end of period | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | $ | 11.50 | ||||||||||
Total Return, at Net Asset Value2 | (39.05 | )% | 4.39 | % | 5.28 | % | 2.59 | % | 5.49 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 156,339 | $ | 325,661 | $ | 367,106 | $ | 430,642 | $ | 504,244 | ||||||||||
Average net assets (in thousands) | $ | 271,355 | $ | 345,723 | $ | 391,750 | $ | 466,033 | $ | 552,293 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 6.76 | % | 5.07 | % | 4.83 | % | 4.56 | % | 3.82 | % | ||||||||||
Total expenses | 0.63 | %4 | 0.68 | %4 | 0.77 | %4 | 0.76 | % | 0.75 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.62 | % | 0.68 | % | 0.77 | % | 0.76 | % | 0.75 | % | ||||||||||
Portfolio turnover rate5 | 51 | % | 89 | % | 114 | % | 111 | % | 95 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods of less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.63 | % | ||
Year Ended December 31, 2007 | 0.68 | % | ||
Year Ended December 31, 2006 | 0.77 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 1,019,711,829 | $ | 963,377,934 | ||||
Year Ended December 31, 2007 | $ | 662,784,931 | $ | 678,316,693 | ||||
Year Ended December 31, 2006 | $ | 1,168,229,255 | $ | 1,270,329,129 | ||||
Year Ended December 31, 2005 | $ | 2,420,041,493 | $ | 2,423,498,913 | ||||
Year Ended December 31, 2004 | $ | 2,841,348,053 | $ | 2,925,500,296 |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.98 | $ | 11.10 | $ | 11.15 | $ | 11.47 | $ | 11.39 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .63 | .52 | .49 | .47 | .40 | |||||||||||||||
Net realized and unrealized gain (loss) | (4.77 | ) | (.08 | ) | .03 | (.22 | ) | .18 | ||||||||||||
Total from investment operations | (4.14 | ) | .44 | .52 | .25 | .58 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.43 | ) | (.56 | ) | (.57 | ) | (.57 | ) | (.50 | ) | ||||||||||
Net asset value, end of period | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | $ | 11.47 | ||||||||||
Total Return, at Net Asset Value2 | (39.07 | )% | 4.09 | % | 4.93 | % | 2.33 | % | 5.22 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 63,093 | $ | 103,542 | $ | 41,191 | $ | 11,110 | $ | 3,505 | ||||||||||
Average net assets (in thousands) | $ | 101,597 | $ | 70,116 | $ | 21,265 | $ | 7,213 | $ | 3,002 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 6.55 | % | 4.85 | % | 4.56 | % | 4.29 | % | 3.55 | % | ||||||||||
Total expenses | 0.88 | %4 | 0.92 | %4 | 1.06 | %4 | 1.03 | % | 0.99 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.87 | % | 0.92 | % | 1.06 | % | 1.03 | % | 0.99 | % | ||||||||||
Portfolio turnover rate5 | 51 | % | 89 | % | 114 | % | 111 | % | 95 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.88 | % | ||
Year Ended December 31, 2007 | 0.92 | % | ||
Year Ended December 31, 2006 | 1.06 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 1,019,711,829 | $ | 963,377,934 | ||||
Year Ended December 31, 2007 | $ | 662,784,931 | $ | 678,316,693 | ||||
Year Ended December 31, 2006 | $ | 1,168,229,255 | $ | 1,270,329,129 | ||||
Year Ended December 31, 2005 | $ | 2,420,041,493 | $ | 2,423,498,913 | ||||
Year Ended December 31, 2004 | $ | 2,841,348,053 | $ | 2,925,500,296 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 86,956,884 |
Net Unrealized | ||||||||||||
Depreciation Based | ||||||||||||
on Cost of Securities | ||||||||||||
Undistributed | Undistributed | Accumulated | and Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4 | Tax Purposes | |||||||||
$— | $ | — | $ | 66,764,804 | $ | 69,547,225 |
1. | As of December 31, 2008, the Fund had $50,047,655 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2010 | $ | 29,885,554 | ||
2013 | 57,295 | |||
2014 | 6,081,496 | |||
2015 | 1,245,459 | |||
2016 | 12,777,851 | |||
Total | $ | 50,047,655 | ||
2. | As of December 31, 2008, the Fund had $16,717,149 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
4. | During the fiscal year ended December 31, 2007, the Fund did not utilize any capital loss carryforward. |
Reduction to | Reduction to | |||||||
Accumulated | Accumulated Net | |||||||
Reduction | Net Investment | Realized Loss | ||||||
to Paid-in Capital | Income | on Investments | ||||||
$53,556,351 | $ | 27,135,732 | $ | 80,692,083 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 17,197,060 | $ | 20,746,953 |
Federal tax cost of securities | $ | 374,758,290 | ||
Federal tax cost of other investments | 18,663,549 | |||
Total federal tax cost | $ | 393,421,839 | ||
Gross unrealized appreciation | $ | 11,278,504 | ||
Gross unrealized depreciation | (80,825,729 | ) | ||
Net unrealized depreciation | $ | (69,547,225 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,056,698 | $ | 9,889,610 | 1,273,250 | $ | 13,904,774 | ||||||||||
Dividends and/or distributions reinvested | 1,288,991 | 12,773,902 | 1,704,683 | 18,342,384 | ||||||||||||
Acquisition-Note 11 | 1,626,777 | 17,178,762 | — | — | ||||||||||||
Redeemed | (9,205,898 | ) | (87,681,397 | ) | (6,416,114 | ) | (69,950,741 | ) | ||||||||
Net decrease | (5,233,432 | ) | $ | (47,839,123 | ) | (3,438,181 | ) | $ | (37,703,583 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 4,464,539 | $ | 42,884,220 | 6,555,320 | $ | 70,649,282 | ||||||||||
Dividends and/or distributions reinvested | 449,051 | 4,423,158 | 224,516 | 2,404,569 | ||||||||||||
Redeemed | (4,496,387 | ) | (40,111,059 | ) | (1,059,398 | ) | (11,528,790 | ) | ||||||||
Net increase | 417,203 | $ | 7,196,319 | 5,720,438 | $ | 61,525,061 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 135,191,911 | $ | 261,682,762 | ||||
U.S. government and government agency obligations | 7,305,293 | 7,709,375 | ||||||
To Be Announced (TBA) mortgage-related securities | 1,019,711,829 | 963,377,934 |
Fee Schedule | ||||
Up to $1 billion | 0.60 | % | ||
Over $1 billion | 0.50 |
February 11, 2009
Name, Position(s) Held with | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
the Funds, Length of Service, Age | the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 – June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 39 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several posi- tions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001-December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924; for Messrs. Bomfim, Caan, Gord and Swaney, 470 Atlantic Avenue, 11th Floor, Boston, Massachusetts 02210. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Antulio N. Bomfim, Vice President (since 2004) and Portfolio Manager (since 2003) Age: 41 | Vice President of the Manager (since October 2003); Senior Economist at the Board of Governors of the Federal Reserve System (June 1992-October 2003). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Geoffrey Caan, Vice President (since 2004) and Portfolio Manager (since 2003) Age: 39 | Vice President of the Manager (since August 2003); Vice President of ABN AMRO NA, Inc. (June 2002-August 2003); Vice President of Zurich Scudder Investments (January 1999-June 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. |
Benjamin J. Gord, Vice President (since 2004) and Portfolio Manager (since 2002) Age: 46 | Vice President of the Manager (since April 2002) of HarbourView Asset Management Corporation (since April 2002) and of OFI Institutional Asset Management, Inc. (as of June 2002); Executive Director and senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (April 1992-March 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Thomas Swaney, Vice President and Portfolio Manager (since 2006) Age: 36 | Vice President of the Manager (since April 2006); senior analyst, high grade investment team (June 2002- March 2006); senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (May 1998-May 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
December 31, 2008 Oppenheimer Management Global Securities Commentaries Fund/VA and Annual Report A Series of Oppenheimer Variable Account Funds MANAGEMENT COMMENTARIES Listing of Top Holdings A N N UA L R E P O RT Fund Performance Discussion Listing of Investments Financial Statements |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 690.50 | $ | 2.77 | ||||||
Service Shares | 1,000.00 | 689.90 | 3.83 | |||||||||
Class 3 Shares | 1,000.00 | 690.70 | 2.81 | |||||||||
Class 4 Shares | 1,000.00 | 689.70 | 3.88 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.87 | 3.31 | |||||||||
Service Shares | 1,000.00 | 1,020.61 | 4.58 | |||||||||
Class 3 Shares | 1,000.00 | 1,021.82 | 3.36 | |||||||||
Class 4 Shares | 1,000.00 | 1,020.56 | 4.63 |
Class | Expense Ratios | |||
Non-Service Shares | 0.65 | % | ||
Service Shares | 0.90 | |||
Class 3 Shares | 0.66 | |||
Class 4 Shares | 0.91 |
Shares | Value | |||||||
Common Stocks—97.1% | ||||||||
Consumer Discretionary—17.4% | ||||||||
Automobiles—1.7% | ||||||||
Bayerische Motoren Werke (BMW) AG | 648,671 | $ | 20,368,555 | |||||
Toyota Motor Corp. | 527,800 | 17,263,056 | ||||||
37,631,611 | ||||||||
Hotels, Restaurants & Leisure—3.4% | ||||||||
Aristocrat Leisure Ltd. | 467,500 | 1,317,123 | ||||||
Carnival Corp. | 1,174,826 | 28,571,768 | ||||||
International Game Technology | 483,500 | 5,748,815 | ||||||
McDonald’s Corp. | 550,400 | 34,229,376 | ||||||
Shuffle Master, Inc.1 | 597,800 | 2,965,088 | ||||||
72,832,170 | ||||||||
Household Durables—1.4% | ||||||||
Sony Corp. | 1,416,700 | 30,773,903 | ||||||
Leisure Equipment & Products—0.3% | ||||||||
Sega Sammy Holdings, Inc. | 571,100 | 6,621,788 | ||||||
Media—3.2% | ||||||||
Dish TV India Ltd.1 | 2,600,122 | 1,078,804 | ||||||
Grupo Televisa SA, Sponsored GDR | 1,730,829 | 25,858,585 | ||||||
Sirius XM Radio, Inc.1 | 13,192,210 | 1,583,065 | ||||||
Walt Disney Co. (The) | 1,336,900 | 30,334,261 | ||||||
Wire & Wireless India Ltd.1 | 2,382,450 | 606,219 | ||||||
Zee Entertainment Enterprises Ltd. | 2,967,210 | 8,615,954 | ||||||
68,076,888 | ||||||||
Specialty Retail—4.3% | ||||||||
Hennes & Mauritz AB, Cl. B | 964,400 | 38,070,800 | ||||||
Industria de Diseno Textil SA | 732,100 | 32,514,613 | ||||||
Tiffany & Co. | 893,500 | 21,113,405 | ||||||
91,698,818 | ||||||||
Textiles, Apparel & Luxury Goods—3.1% | ||||||||
Bulgari SpA | 1,893,618 | 11,879,338 | ||||||
Burberry Group plc | 1,539,768 | 5,009,630 | ||||||
LVMH Moet Hennessey Louis Vuitton | 571,970 | 38,612,317 | ||||||
Tod’s SpA | 290,697 | 12,301,811 | ||||||
67,803,096 | ||||||||
Consumer Staples—9.6% | ||||||||
Beverages—2.4% | ||||||||
Diageo plc | 982,995 | 13,871,323 | ||||||
Fomento Economico Mexicano SA de CV, UBD | 8,608,400 | 25,966,321 | ||||||
Grupo Modelo SA de CV, Series C | 3,660,600 | 11,735,257 | ||||||
51,572,901 | ||||||||
Food & Staples Retailing—3.7% | ||||||||
Seven & I Holdings Co. Ltd. | 507,553 | 17,375,210 | ||||||
Tesco plc | 4,725,005 | 24,972,135 | ||||||
Wal-Mart Stores, Inc. | 694,700 | 38,944,882 | ||||||
81,292,227 | ||||||||
Food Products—0.9% | ||||||||
Cadbury plc | 2,153,921 | 19,127,714 | ||||||
Household Products—2.6% | ||||||||
Colgate-Palmolive Co. | 393,400 | 26,963,636 | ||||||
Hindustan Unilever Ltd. | 1,019,691 | 5,266,426 | ||||||
Reckitt Benckiser Group plc | 613,028 | 23,167,602 | ||||||
55,397,664 | ||||||||
Energy—4.7% | ||||||||
Energy Equipment & Services—1.7% | ||||||||
Technip SA | 587,010 | 18,069,717 | ||||||
Transocean Ltd.1 | 406,672 | 19,215,252 | ||||||
37,284,969 | ||||||||
Oil, Gas & Consumable Fuels—3.0% | ||||||||
BP plc, ADR | 438,869 | 20,512,737 | ||||||
Husky Energy, Inc. | 939,230 | 23,830,057 | ||||||
Total SA | 369,620 | 20,247,234 | ||||||
64,590,028 | ||||||||
Financials—11.1% | ||||||||
Capital Markets—1.6% | ||||||||
3i Group plc | 1,105,480 | 4,417,951 | ||||||
Credit Suisse Group AG | 1,088,645 | 29,787,161 | ||||||
34,205,112 | ||||||||
Commercial Banks—3.1% | ||||||||
HSBC Holdings plc | 2,619,887 | 25,149,071 | ||||||
ICICI Bank Ltd., Sponsored ADR | 10,150 | 195,388 | ||||||
Royal Bank of Scotland Group plc (The) | 7,593,923 | 5,568,958 | ||||||
Societe Generale, Cl. A | 258,280 | 13,143,831 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 5,312 | 23,917,054 | ||||||
67,974,302 | ||||||||
Consumer Finance—0.9% | ||||||||
SLM Corp.1 | 2,100,250 | 18,692,225 | ||||||
Diversified Financial Services—1.4% | ||||||||
Citigroup, Inc. | 658,700 | 4,419,877 | ||||||
CME Group, Inc. | 11,100 | 2,310,021 | ||||||
Investor AB, B Shares | 1,556,354 | 23,660,583 | ||||||
30,390,481 |
Shares | Value | |||||||
Insurance—4.1% | ||||||||
AFLAC, Inc. | 564,500 | $ | 25,876,680 | |||||
Allianz SE | 281,598 | 30,307,706 | ||||||
Prudential plc | 2,840,787 | 17,544,914 | ||||||
Sony Financial Holdings, Inc. | 2,410 | 9,247,755 | ||||||
XL Capital Ltd., Cl. A | 1,502,100 | 5,557,770 | ||||||
88,534,825 | ||||||||
Health Care—7.4% | ||||||||
Biotechnology—1.2% | ||||||||
Acadia Pharmaceuticals, Inc.1 | 316,300 | 284,670 | ||||||
Basilea Pharmaceutica AG1 | 30,457 | 4,290,031 | ||||||
InterMune, Inc.1 | 302,300 | 3,198,334 | ||||||
NicOx SA1 | 229,530 | 2,518,584 | ||||||
Regeneron Pharmaceuticals, Inc.1 | 196,802 | 3,613,285 | ||||||
Seattle Genetics, Inc.1 | 579,228 | 5,178,298 | ||||||
Theravance, Inc.1 | 499,300 | 6,186,327 | ||||||
25,269,529 | ||||||||
Health Care Providers & Services—1.3% | ||||||||
Aetna, Inc. | 735,000 | 20,947,500 | ||||||
WellPoint, Inc.1 | 196,735 | 8,288,446 | ||||||
29,235,946 | ||||||||
Pharmaceuticals—4.9% | ||||||||
Roche Holding AG | 407,718 | 62,652,637 | ||||||
Sanofi-Aventis SA | 347,185 | 22,156,576 | ||||||
Shionogi & Co. Ltd. | 798,000 | 20,480,784 | ||||||
105,289,997 | ||||||||
Industrials—14.6% | ||||||||
Aerospace & Defense—4.6% | ||||||||
Boeing Co. | 242,100 | 10,330,407 | ||||||
Empresa Brasileira de Aeronautica SA, ADR | 871,383 | 14,125,118 | ||||||
European Aeronautic Defense & Space Co. | 1,527,640 | 25,914,509 | ||||||
Lockheed Martin Corp. | 184,200 | 15,487,536 | ||||||
Northrop Grumman Corp. | 245,300 | 11,048,312 | ||||||
Raytheon Co. | 440,200 | 22,467,808 | ||||||
99,373,690 | ||||||||
Air Freight & Logistics—0.8% | ||||||||
TNT NV | 910,400 | 17,568,989 | ||||||
Building Products—1.4% | ||||||||
Assa Abloy AB, Cl. B | 2,590,685 | 29,696,111 | ||||||
Commercial Services & Supplies—0.9% | ||||||||
Secom Co. Ltd. | 390,600 | 20,103,748 | ||||||
Electrical Equipment—1.3% | ||||||||
Emerson Electric Co. | 480,500 | 17,591,105 | ||||||
Mitsubishi Electric Corp. | 1,642,000 | 10,267,217 | ||||||
27,858,322 | ||||||||
Industrial Conglomerates—5.2% | ||||||||
3M Co. | 499,400 | 28,735,476 | ||||||
Koninklijke (Royal) Philips Electronics NV | 1,400,000 | 27,358,848 | ||||||
Siemens AG | 748,055 | 56,415,296 | ||||||
112,509,620 | ||||||||
Machinery—0.4% | ||||||||
Fanuc Ltd. | 126,400 | 8,982,511 | ||||||
Information Technology—27.6% | ||||||||
Communications Equipment—7.4% | ||||||||
Corning, Inc. | 1,959,900 | 18,677,847 | ||||||
Juniper Networks, Inc.1 | 2,363,200 | 41,379,632 | ||||||
Tandberg ASA | 1,117,450 | 12,398,509 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 11,164,280 | 86,501,253 | ||||||
158,957,241 | ||||||||
Electronic Equipment & Instruments—3.6% | ||||||||
Hoya Corp. | 1,012,800 | 17,580,622 | ||||||
Keyence Corp. | 95,840 | 19,608,685 | ||||||
Kyocera Corp. | 157,600 | 11,360,485 | ||||||
Murata Manufacturing Co. Ltd. | 597,500 | 23,403,833 | ||||||
Nidec Corp. | 166,800 | 6,481,465 | ||||||
78,435,090 | ||||||||
Internet Software & Services—1.4% | ||||||||
eBay, Inc.1 | 2,218,900 | 30,975,844 | ||||||
IT Services—3.0% | ||||||||
Automatic Data Processing, Inc. | 933,200 | 36,712,088 | ||||||
Infosys Technologies Ltd. | 1,237,326 | 28,665,476 | ||||||
65,377,564 | ||||||||
Semiconductors & Semiconductor Equipment—4.8% | ||||||||
Altera Corp. | 1,347,500 | 22,516,725 | ||||||
Cree, Inc.1 | 588,595 | 9,341,003 | ||||||
Linear Technology Corp. | 541,496 | 11,977,892 | ||||||
Maxim Integrated Products, Inc. | 1,319,465 | 15,068,290 | ||||||
MediaTek, Inc. | 2,652,238 | 17,912,620 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 12,511,942 | 17,121,822 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 1,103,573 | 8,718,227 | ||||||
102,656,579 |
Shares | Value | |||||||
Software—7.4% | ||||||||
Adobe Systems, Inc. 1 | 1,294,163 | $ | 27,552,730 | |||||
Intuit,Inc.1 | 1,543,000 | 36,707,970 | ||||||
Microsoft Corp. | 1,965,300 | 38,205,432 | ||||||
Nintendo Co. Ltd. | 50,000 | 19,194,922 | ||||||
SAP AG | 1,067,019 | 38,127,142 | ||||||
159,788,196 | ||||||||
Telecommunication Services—3.8% | ||||||||
Wireless Telecommunication Services—3.8% | ||||||||
KDDI Corp. | 5,916 | 42,103,537 | ||||||
SK Telecom Co. Ltd., ADR | 612,660 | 11,138,159 | ||||||
Turkcell Iletisim Hizmetleri AS, ADR | 516,000 | 7,523,280 | ||||||
Vodafone Group plc | 10,793,252 | 22,041,622 | ||||||
82,806,598 | ||||||||
Utilities—0.9% | ||||||||
Electric Utilities—0.9% | ||||||||
Fortum Oyj | 928,500 | 20,039,033 | ||||||
Total Common Stocks (Cost $2,527,078,435) | 2,099,425,330 | |||||||
Preferred Stocks—1.6% | ||||||||
Bayerische Motoren Werke (BMW) AG, Preference | 228,797 | 4,581,285 | ||||||
Companhia de Bebidas das Americas, ADR, Preference | 368,415 | 16,324,469 | ||||||
Porsche Automobil Holding, Preference | 137,289 | 10,930,839 | ||||||
Schering-Plough Corp., 6% Cv. | 8,750 | 1,526,875 | ||||||
Total Preferred Stocks (Cost $21,345,146) | 33,363,468 | |||||||
Principal | ||||||||
Amount | ||||||||
Convertible Corporate Bonds and Notes—0.1% | ||||||||
Theravance, Inc., 3% Cv. Sub. Nts.,1/15/15 (Cost $2,882,000) | $ | 2,882,000 | 1,779,635 | |||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Dish TV India Ltd. Rts., Strike Price 22INR, Exp.1/9/091,2 (Cost $0) | 3,008,933 | 25,128 | ||||||
Shares | ||||||||
Investment Company—1.1% | ||||||||
Oppenheimer Institutional | ||||||||
Money Market Fund, Cl. E, 1.96%3,4 (Cost $24,247,807) | 24,247,807 | 24,247,807 | ||||||
Total Investments, at Value (Cost $2,575,553,388) | 99.9 | % | $ | 2,158,841,368 | ||||
Other Assets Net of Liabilities | 0.1 | 2,448,349 | ||||||
Net Assets | 100.0 | % | $ | 2,161,289,717 | ||||
INR Indian Rupee
1. | Non-income producing security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $25,128, which represents less than 0.005% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
3. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Shares | |||||||||||||||
December 31, | Gross | Gross | December 31, | |||||||||||||
2007 | Additions | Reductions | 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 129,524,610 | 129,524,610 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl.E | 68,796,760 | 564,819,419 | 609,368,372 | 24,247,807 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 161,932 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 24,247,807 | 1,607,885 | ||||||
$ | 24,247,807 | $ | 1,769,817 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
4. | Rate shown is the 7-day yield as of December 31, 2008. |
�� | ||||||||
Investments | Other Financial | |||||||
Valuation Description | in Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 899,174,483 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 1,259,666,885 | (531 | ) | |||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 2,158,841,368 | $ | (531 | ) | |||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their |
Contract Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Euro (EUR) | Buy | 334 | EUR | 1/2/09-1/5/09 | $ | 466,061 | $ | — | $ | 3,683 | ||||||||||||||
Norwegian Krone (NOK) | Buy | 502 | NOK | 1/5/09 | 72,229 | 1,891 | — | |||||||||||||||||
Swedish Krona (SEK) | Buy | 8,679 | SEK | 1/5/09 | 1,108,585 | 4,748 | — | |||||||||||||||||
Swiss Franc (CHF) | Buy | 646 | CHF | 1/5/09 | 605,990 | — | 3,487 | |||||||||||||||||
Total unrealized appreciation and depreciation | $ | 6,639 | $ | 7,170 | ||||||||||||||||||||
Geographic Holdings (Unaudited) | Value | Percent | ||||||
United States | $ | 730,995,625 | 33.9 | % | ||||
Japan | 304,766,575 | 14.1 | ||||||
United Kingdom | 181,383,657 | 8.4 | ||||||
Sweden | 177,928,747 | 8.2 | ||||||
Germany | 160,730,823 | 7.4 | ||||||
France | 140,662,768 | 6.5 | ||||||
Switzerland | 96,729,829 | 4.5 | ||||||
Mexico | 63,560,163 | 2.9 | ||||||
The Netherlands | 44,927,837 | 2.1 | ||||||
India | 44,453,395 | 2.1 | ||||||
Taiwan | 43,752,669 | 2.0 | ||||||
Spain | 32,514,613 | 1.5 | ||||||
Brazil | 30,449,587 | 1.4 | ||||||
Italy | 24,181,149 | 1.1 | ||||||
Canada | 23,830,057 | 1.1 | ||||||
Finland | 20,039,033 | 0.9 | ||||||
Norway | 12,398,509 | 0.6 | ||||||
Korea, Republic of South | 11,138,159 | 0.5 | ||||||
Turkey | 7,523,280 | 0.4 | ||||||
Cayman Islands | 5,557,770 | 0.3 | ||||||
Australia | 1,317,123 | 0.1 | ||||||
Total | $ | 2,158,841,368 | 100.0 | % | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,551,305,581) | $ | 2,134,593,561 | ||
Affiliated companies (cost $24,247,807) | 24,247,807 | |||
2,158,841,368 | ||||
Cash | 499,266 | |||
Cash—foreign currencies (cost $411) | 411 | |||
Unrealized appreciation on foreign currency exchange contracts | 6,639 | |||
Receivables and other assets: | ||||
Interest and dividends | 3,318,367 | |||
Shares of beneficial interest sold | 2,475,317 | |||
Investments sold | 222,298 | |||
Due from Manager | 66 | |||
Other | 214,484 | |||
Total assets | 2,165,578,216 | |||
Liabilities | ||||
Unrealized depreciation on foreign currency exchange contracts | 7,170 | |||
Payables and other liabilities: | ||||
Investments purchased | 2,253,058 | |||
Shares of beneficial interest redeemed | 1,202,221 | |||
Distribution and service plan fees | 507,549 | |||
Shareholder communications | 134,570 | |||
Trustees’ compensation | 25,732 | |||
Transfer and shareholder servicing agent fees | 3,440 | |||
Other | 154,759 | |||
Total liabilities | 4,288,499 | |||
Net Assets | $ | 2,161,289,717 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 107,267 | ||
Additional paid-in capital | 2,525,706,042 | |||
Accumulated net investment income | 47,532,805 | |||
Accumulated net realized gain on investments and foreign currency transactions | 4,517,239 | |||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (416,573,636 | ) | ||
Net Assets | $ | 2,161,289,717 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,150,113,178 and 56,896,358 shares of beneficial interest outstanding) | $ | 20.21 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $772,106,849 and 38,571,163 shares of beneficial interest outstanding) | $ | 20.02 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $175,971,338 and 8,650,393 shares of beneficial interest outstanding) | $ | 20.34 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $63,098,352 and 3,149,441 shares of beneficial interest outstanding) | $ | 20.03 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $3,750,833) | $ | 76,486,584 | ||
Affiliated companies | 1,607,885 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 2,062,471 | |||
Affiliated companies | 161,932 | |||
Interest | 121,992 | |||
Total investment income | 80,440,864 | |||
Expenses | ||||
Management fees | 19,436,828 | |||
Distribution and service plan fees: | ||||
Service shares | 2,631,693 | |||
Class 4 shares | 234,211 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Class 3 shares | 9,994 | |||
Class 4 shares | 9,994 | |||
Shareholder communications: | ||||
Non-Service shares | 79,228 | |||
Service shares | 49,587 | |||
Class 3 shares | 12,706 | |||
Class 4 shares | 4,408 | |||
Custodian fees and expenses | 345,880 | |||
Trustees’ compensation | 63,901 | |||
Other | 129,120 | |||
Total expenses | 23,027,538 | |||
Less reduction to custodian expenses | (1,915 | ) | ||
Less waivers and reimbursements of expenses | (50,784 | ) | ||
Net expenses | 22,974,839 | |||
Net Investment Income | 57,466,025 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 10,488,755 | |||
Foreign currency transactions | 14,259,003 | |||
Net realized gain | 24,747,758 | |||
Net change in unrealized depreciation on: | ||||
Investments | (1,514,074,821 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (82,199,935 | ) | ||
Net change in unrealized depreciation | (1,596,274,756 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (1,514,060,973 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 57,466,025 | $ | 44,674,647 | ||||
Net realized gain | 24,747,758 | 240,399,758 | ||||||
Net change in unrealized appreciation (depreciation) | (1,596,274,756 | ) | (48,606,722 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,514,060,973 | ) | 236,467,683 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (26,708,494 | ) | (30,881,671 | ) | ||||
Service shares | (13,401,398 | ) | (12,491,101 | ) | ||||
Class 3 shares | (4,326,225 | ) | (5,291,097 | ) | ||||
Class 4 shares | (1,190,079 | ) | (1,330,580 | ) | ||||
(45,626,196 | ) | (49,994,449 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (117,354,093 | ) | (112,256,514 | ) | ||||
Service shares | (71,861,924 | ) | (52,238,025 | ) | ||||
Class 3 shares | (19,045,871 | ) | (19,263,594 | ) | ||||
Class 4 shares | (6,614,741 | ) | (5,788,329 | ) | ||||
(214,876,629 | ) | (189,546,462 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (78,197,928 | ) | (104,231,544 | ) | ||||
Service shares | 71,375,736 | 321,202,694 | ||||||
Class 3 shares | (30,841,100 | ) | (34,573,579 | ) | ||||
Class 4 shares | (6,272,856 | ) | 9,459,510 | |||||
(43,936,148 | ) | 191,857,081 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (1,818,499,946 | ) | 188,783,853 | |||||
Beginning of period | 3,979,789,663 | 3,791,005,810 | ||||||
End of period (including accumulated net investment income of $47,532,805 and $31,615,758, respectively) | $ | 2,161,289,717 | $ | 3,979,789,663 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.60 | $ | 36.79 | $ | 33.38 | $ | 29.51 | $ | 25.08 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .55 | .45 | .43 | .32 | .26 | |||||||||||||||
Net realized and unrealized gain (loss) | (14.46 | ) | 1.69 | 5.20 | 3.85 | 4.49 | ||||||||||||||
Total from investment operations | (13.91 | ) | 2.14 | 5.63 | 4.17 | 4.75 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | (.32 | ) | ||||||||||
Distributions from net realized gain | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||
Total dividends and/or distributions to shareholders | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | (.32 | ) | ||||||||||
Net asset value, end of period | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | $ | 29.51 | ||||||||||
Total Return, at Net Asset Value2 | (40.19 | )% | 6.32 | % | 17.69 | % | 14.31 | % | 19.16 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,150,113 | $ | 2,193,638 | $ | 2,297,315 | $ | 2,124,413 | $ | 2,518,867 | ||||||||||
Average net assets (in thousands) | $ | 1,679,720 | $ | 2,302,726 | $ | 2,189,511 | $ | 2,123,523 | $ | 2,451,188 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 1.95 | % | 1.21 | % | 1.27 | % | 1.08 | % | 1.01 | % | ||||||||||
Total expenses | 0.65 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5,6 | 0.67 | %5 | 0.66 | %5 | ||||||||||
Portfolio turnover rate | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Reduction to custodian expenses less than 0.005%. | |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.27 | $ | 36.49 | $ | 33.16 | $ | 29.33 | $ | 24.96 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .47 | .33 | .33 | .24 | .20 | |||||||||||||||
Net realized and unrealized gain (loss) | (14.32 | ) | 1.72 | 5.16 | 3.84 | 4.46 | ||||||||||||||
Total from investment operations | (13.85 | ) | 2.05 | 5.49 | 4.08 | 4.66 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.44 | ) | (.30 | ) | (.25 | ) | (.29 | ) | ||||||||||
Distributions from net realized gain | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||
Total dividends and/or distributions to shareholders | (2.40 | ) | (2.27 | ) | (2.16 | ) | (.25 | ) | (.29 | ) | ||||||||||
Net asset value, end of period | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | $ | 29.33 | ||||||||||
Total Return, at Net Asset Value2 | (40.33 | )% | 6.08 | % | 17.36 | % | 14.06 | % | 18.88 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 772,107 | $ | 1,300,989 | $ | 983,558 | $ | 557,284 | $ | 346,403 | ||||||||||
Average net assets (in thousands) | $ | 1,051,239 | $ | 1,180,656 | $ | 750,499 | $ | 413,849 | $ | 247,490 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 1.70 | % | 0.91 | % | 0.98 | % | 0.79 | % | 0.77 | % | ||||||||||
Total expenses | 0.90 | %4,5,6 | 0.89 | %4,5,6 | 0.91 | %4,5,6 | 0.92 | %5 | 0.91 | %5 | ||||||||||
Portfolio turnover rate | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.90 | % | ||
Year Ended December 31, 2007 | 0.89 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
5. | Reduction to custodian expenses less than 0.005%. | |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. |
Class 3 Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.82 | $ | 36.99 | $ | 33.55 | $ | 29.65 | $ | 25.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .56 | .45 | .43 | .32 | .26 | |||||||||||||||
Net realized and unrealized gain (loss) | (14.56 | ) | 1.71 | 5.23 | 3.88 | 4.52 | ||||||||||||||
Total from investment operations | (14.00 | ) | 2.16 | 5.66 | 4.20 | 4.78 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | (.32 | ) | ||||||||||
Distributions from net realized gain | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||
Total dividends and/or distributions to shareholders | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | (.32 | ) | ||||||||||
Net asset value, end of period | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | $ | 29.65 | ||||||||||
Total Return, at Net Asset Value2 | (40.19 | )% | 6.34 | % | 17.69 | % | 14.34 | % | 19.19 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 175,971 | $ | 361,621 | $ | 395,901 | $ | 346,064 | $ | 265,044 | ||||||||||
Average net assets (in thousands) | $ | 269,650 | $ | 391,270 | $ | 369,406 | $ | 296,252 | $ | 199,388 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 1.95 | % | 1.22 | % | 1.26 | % | 1.06 | % | 1.00 | % | ||||||||||
Total expenses | 0.65 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5,6 | 0.67 | %5 | 0.66 | %5 | ||||||||||
Portfolio turnover rate | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Reduction to custodian expenses less than 0.005%. | |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. |
Class 4 Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 20041 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 36.28 | $ | 36.49 | $ | 33.15 | $ | 29.35 | $ | 25.21 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .47 | .34 | .34 | .24 | .09 | |||||||||||||||
Net realized and unrealized gain (loss) | (14.34 | ) | 1.70 | 5.16 | 3.84 | 4.05 | ||||||||||||||
Total from investment operations | (13.87 | ) | 2.04 | 5.50 | 4.08 | 4.14 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.36 | ) | (.42 | ) | (.30 | ) | (.28 | ) | — | |||||||||||
Distributions from net realized gain | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||
Total dividends and/or distributions to shareholders | (2.38 | ) | (2.25 | ) | (2.16 | ) | (.28 | ) | — | |||||||||||
Net asset value, end of period | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | $ | 29.35 | ||||||||||
Total Return, at Net Asset Value3 | (40.35 | )% | 6.06 | % | 17.40 | % | 14.05 | % | 16.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 63,099 | $ | 123,542 | $ | 114,232 | $ | 90,604 | $ | 37,384 | ||||||||||
Average net assets (in thousands) | $ | 93,909 | $ | 122,385 | $ | 100,973 | $ | 61,380 | $ | 19,774 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.69 | % | 0.93 | % | 1.00 | % | 0.79 | % | 0.53 | % | ||||||||||
Total expenses | 0.91 | %5,6,7 | 0.90 | %5,6,7 | 0.91 | %5,6,7 | 0.93 | %6 | 0.94 | %6 | ||||||||||
Portfolio turnover rate | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | For the period from May 3, 2004 (inception of offering) to December 31, 2004. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
6. | Reduction to custodian expenses less than 0.005%. | |
7. | Waiver or reimbursement of indirect management fees less than 0.005%. |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3 | Income Tax Purposes | |||||||||
$49,324,546 | $ | 49,781,773 | $ | 23,157,860 | $ | 440,446,473 |
1. | As of December 31, 2008, the Fund had $23,157,860 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
2. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
3. | During the fiscal year ended December 31, 2007, the Fund did not utilize any capital loss carryforward. |
Increase | Reduction to | |||||||
to Accumulated | Accumulated Net | |||||||
Increase to | Net Investment | Realized Gain | ||||||
Paid-in Capital | Income | on Investments4 | ||||||
$6,509,001 | $ | 4,077,218 | $ | 10,586,219 |
4. | $6,509,001, all of which was long-term capital gain, was distributed in connection with Fund share redemptions. |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 52,262,946 | $ | 64,685,816 | ||||
Long-term capital gain | 208,239,879 | 174,855,095 | ||||||
Total | $ | 260,502,825 | $ | 239,540,911 | ||||
Federal tax cost of securities | $ | 2,599,426,756 | ||
Federal tax cost of other investments | 2,252,865 | |||
Total federal tax cost | $ | 2,601,679,621 | ||
Gross unrealized appreciation | $ | 238,151,866 | ||
Gross unrealized depreciation | (678,598,339 | ) | ||
Net unrealized depreciation | $ | (440,446,473 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 9,646,046 | $ | 259,758,983 | 6,411,129 | $ | 236,447,298 | ||||||||||
Dividends and/or distributions reinvested | 4,840,813 | 144,062,587 | 4,207,471 | 143,138,185 | ||||||||||||
Redeemed | (17,521,140 | ) | (482,019,498 | ) | (13,131,133 | ) | (483,817,027 | ) | ||||||||
Net decrease | (3,034,281 | ) | $ | (78,197,928 | ) | (2,512,533 | ) | $ | (104,231,544 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 6,325,047 | $ | 162,252,325 | 10,073,670 | $ | 368,640,666 | ||||||||||
Dividends and/or distributions reinvested | 2,887,346 | 85,263,322 | 1,916,196 | 64,729,126 | ||||||||||||
Redeemed | (6,514,971 | ) | (176,139,911 | ) | (3,068,408 | ) | (112,167,098 | ) | ||||||||
Net increase | 2,697,422 | $ | 71,375,736 | 8,921,458 | $ | 321,202,694 | ||||||||||
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class 3 Shares | ||||||||||||||||
Sold | 277,654 | $ | 8,012,360 | 404,332 | $ | 14,980,587 | ||||||||||
Dividends and/or distributions reinvested | 780,370 | 23,372,096 | 717,554 | 24,554,691 | ||||||||||||
Redeemed | (2,229,618 | ) | (62,225,556 | )1 | (2,002,496 | ) | (74,108,857 | )2 | ||||||||
Net decrease | (1,171,594 | ) | $ | (30,841,100 | ) | (880,610 | ) | $ | (34,573,579 | ) | ||||||
Class 4 Shares | ||||||||||||||||
Sold | 101,469 | $ | 2,904,870 | 392,793 | $ | 14,359,772 | ||||||||||
Dividends and/or distributions reinvested | 264,033 | 7,804,820 | 210,681 | 7,118,909 | ||||||||||||
Redeemed | (621,183 | ) | (16,982,546 | )1 | (328,721 | ) | (12,019,171 | )2 | ||||||||
Net increase (decrease) | (255,681 | ) | $ | (6,272,856 | ) | 274,753 | $ | 9,459,510 | ||||||||
1. | Net of redemption fees of $7,921 and $5,109 for Class 3 and Class 4, respectively. | |
2. | Net of redemption fees of $11,158 and $4,865 for Class 3 and Class 4, respectively. |
Purchases | Sales | |||||||
Investment securities | $ | 575,234,267 | $ | 763,285,976 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Denver, Colorado
February 11, 2009
Name, Position(s) Held with the Funds, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Bhaman and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Rajeev Bhaman, Vice President and Portfolio Manager (since 2004) Age: 45 | Senior Vice President of the Manager (since May 2006); Vice President of the Manager (January 1997-May 2006). A portfolio manager and officer of 2 portfolios in the OppenheimerFunds complex. |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc.(since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 224.70 | $ | 2.50 | ||||||
Service shares | 1,000.00 | 226.00 | 3.28 | |||||||||
Class 3 | 1,000.00 | 222.40 | 2.47 | |||||||||
Class 4 | 1,000.00 | 225.50 | 3.47 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,021.06 | 4.12 | |||||||
Service shares | 1,000.00 | 1,019.81 | 5.40 | |||||||||
Class 3 | 1,000.00 | 1,021.11 | 4.07 | |||||||||
Class 4 | 1,000.00 | 1,019.51 | 5.70 |
Class | Expense Ratios | |||
Non-Service shares | 0.81 | % | ||
Service shares | 1.06 | |||
Class 3 | 0.80 | |||
Class 4 | 1.12 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—0.2% | ||||||||
Ameriquest Mortgage Securities, Inc., Home Equity Mtg. Obligations, Series 2005-R10, Cl. A2B, 0.691%, 12/25/351 | $ | 264,347 | $ | 219,060 | ||||
Mastr Asset-Backed Securities Trust 2005-WF1, Mtg. Pass-Through Certificates, Series 2005-WF1, Cl. A2C, 0.711%, 6/25/351 | 128,105 | 113,958 | ||||||
Total Asset-Backed Securities (Cost $389,178) | 333,018 | |||||||
Mortgage-Backed Obligations—8.2% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2008-1, Cl. AJ, 6.201%, 1/1/181 | 1,290,000 | 360,857 | ||||||
Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.779%, 10/25/361 | 103,175 | 49,899 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AJ, 5.398%, 12/1/49 | 1,110,000 | 284,426 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 2006-A5, Cl. 1A1, 0.871%, 10/25/361 | 321,924 | 139,163 | ||||||
Series 2006-A5, Cl. 1A13, 0.921%, 10/25/361 | 168,278 | 68,752 | ||||||
CitiMortgage Alternative Loan Trust 2007-A2, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2007-A2, Cl. 1A5, 6%, 2/25/37 | 4,183,710 | 2,483,682 | ||||||
CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 | 280,000 | 206,920 | ||||||
CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 | 210,000 | 160,893 | ||||||
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 | 266,323 | 170,574 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2520, Cl. SE, 70.518%, 5/15/222 | 287,271 | 28,321 | ||||||
Series 2527, Cl. SG, 31.83%, 2/15/322 | 263,278 | 16,870 | ||||||
Series 2531, Cl. ST, 35.211%, 2/15/302 | 302,908 | 19,682 | ||||||
Series 2574, Cl. IN, (2.915)%, 12/15/222 | 1,477,355 | 180,342 | ||||||
Series 2989, Cl. TS, 77.854%, 6/15/252 | 1,556,188 | 114,740 | ||||||
Federal National Mortgage Assn., 5.50%, 11/1/33 | 92,397 | 94,957 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2002-60, Cl. SM, 42.196%, 8/25/322 | 731,286 | 75,999 | ||||||
Trust 2002-7, Cl. SK, 43.23%, 1/25/322 | 280,423 | 29,784 | ||||||
Trust 2002-77, Cl. BS, 32.357%, 12/18/322 | 435,063 | 57,766 | ||||||
Trust 2002-90, Cl. SN, 43.76%, 8/25/322 | 375,767 | 40,446 | ||||||
Trust 2002-90, Cl. SY, 45.591%, 9/25/322 | 193,343 | 20,487 | ||||||
Trust 2003-14, Cl. OI, 0.356%, 3/25/332 | 270,531 | 46,687 | ||||||
Trust 2003-23, Cl. ES, 75.427%, 10/25/222 | 602,492 | 43,884 | ||||||
Trust 2003-52, Cl. NS, 63.973%, 6/25/232 | 648,223 | 56,712 | ||||||
Trust 2003-89, Cl. XS, 20.272%, 11/25/322 | 490,388 | 38,313 | ||||||
Trust 2005-86, Cl. AI, (4.411)%, 10/1/352 | 279,662 | 38,991 | ||||||
Trust 2006-33, Cl. SP, 48.204%, 5/25/362 | 437,903 | 45,623 | ||||||
Trust 302, Cl. 2, (9.691)%, 6/1/292 | 551,700 | 78,044 | ||||||
Trust 331, Cl. 18, 13.467%, 2/1/332 | 808,975 | 91,782 | ||||||
Trust 334, Cl. 3, 13.538%, 7/1/332 | 287,209 | 32,225 | ||||||
Trust 334, Cl. 4, 13.717%, 7/1/332 | 452,116 | 50,720 | ||||||
Trust 339, Cl. 12, 13.466%, 7/1/332 | 124,953 | 16,048 | ||||||
Trust 339, Cl. 17, 13.133%, 8/1/332 | 1,212,918 | 193,240 | ||||||
Trust 339, Cl. 8, 12.211%, 8/1/332 | 158,642 | 17,803 | ||||||
Trust 342, Cl. 2, (6.399)%, 9/1/332 | 83,493 | 11,939 | ||||||
Trust 343, Cl. 13, 12.001%, 9/1/332 | 100,391 | 10,617 | ||||||
Trust 343, Cl. 18, 14.18%, 5/1/342 | 291,725 | 40,894 | ||||||
Trust 343, Cl. 20, 13.788%, 10/1/332 | 1,142,541 | 161,592 | ||||||
Trust 346, Cl. 2, (12.874)%, 12/1/332 | 506,450 | 60,838 | ||||||
Trust 351, Cl. 10, 14.256%, 4/1/342 | 265,431 | 28,760 | ||||||
Trust 355, Cl. 7, 9.047%, 11/1/332 | 182,157 | 23,750 | ||||||
Trust 356, Cl. 6, 13.305%, 12/1/332 | 235,570 | 25,706 | ||||||
Trust 364, Cl. 16, 14.77%, 9/1/352 | 130,015 | 20,678 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 85,160 | 62,261 | ||||||
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates, Series 2004-J4, Cl. A7, 5.50%, 9/25/34 | 190,000 | 151,900 | ||||||
GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 | 211,636 | 174,488 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.14%, 11/25/351 | 1,324,359 | 837,916 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 430,000 | 112,517 | ||||||
Series 2008-C2, Cl. AJ, 6.579%, 2/1/511 | 2,170,000 | 590,429 |
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
LB-UBS Commercial Mortgage Trust 2003-C5, Commercial Mtg. Pass-Through Certificates, Series 2003-C5, Cl. A2, 3.478%, 7/15/27 | $ | 19,707 | $ | 19,592 | ||||
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 0.921%, 10/25/361 | 4,084,541 | 2,574,946 | ||||||
Merrill Lynch Mortgage Investors Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 1A1, 5.801%, 9/1/371 | 145,305 | 123,773 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.657%, 5/1/391 | 890,000 | 280,635 | ||||||
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.416%, 6/25/361 | 130,000 | 90,100 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/361 | 408,228 | 231,434 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR14 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR14, Cl. 1A7, 5.631%, 11/1/361 | 1,631,248 | 529,759 | ||||||
Series 2006-AR14, Cl. 2A4, 5.752%, 11/1/361,3 | 445,374 | 111,343 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.127%, 8/25/361 | 381,579 | 253,827 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 1A2, 5.706%, 2/25/371,3 | 79,440 | 18,271 | ||||||
Series 2007-HY1, Cl. 2A4, 5.863%, 2/1/371 | 728,270 | 313,094 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A2, 5.606%, 12/1/361,3 | 1,744,744 | 279,159 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.668%, 3/1/371 | 208,087 | 53,781 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.548%, 11/1/361 | 140,645 | 92,425 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.647%, 5/1/371 | 149,528 | 95,618 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.368%, 9/1/341 | 67,855 | 48,576 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 4A1, 5.557%, 7/25/361 | 199,232 | 130,678 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/361 | 333,401 | 214,326 | ||||||
Total Mortgage-Backed Obligations (Cost $23,966,497) | 13,130,254 | |||||||
Corporate Bonds and Notes—65.4% | ||||||||
Consumer Discretionary—22.2% | ||||||||
Auto Components—1.0% | ||||||||
Goodyear Tire & Rubber Co. (The): | ||||||||
7.857% Nts., 8/15/11 | 330,000 | 275,550 | ||||||
9% Sr. Unsec. Nts., 7/1/15 | 230,000 | 186,300 | ||||||
Lear Corp., 8.75% Sr. Unsec. Nts., Series B, 12/1/16 | 3,945,000 | 1,163,775 | ||||||
1,625,625 | ||||||||
Automobiles—2.8% | ||||||||
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 | 4,390,000 | 3,138,850 | ||||||
General Motors Acceptance Corp., 8% Bonds, 11/1/31 | 2,210,000 | 1,295,416 | ||||||
4,434,266 | ||||||||
Diversified Consumer Services—0.2% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 465,000 | 369,675 | ||||||
Hotels, Restaurants & Leisure—6.3% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/134 | 1,655,000 | 860,600 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/134,5,6 | 2,525,000 | 606,000 | ||||||
Harrah’s Operating Co., Inc., 10.75% Sr. Unsec. Nts., 2/1/164 | 2,620,000 | 759,800 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 2,650,000 | 1,139,500 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued | ||||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/154 | $ | 1,770,000 | $ | 703,575 | ||||
MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 | 780,000 | 468,000 | ||||||
Mohegan Tribal Gaming Authority: | ||||||||
6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 1,925,000 | 1,222,375 | ||||||
8% Sr. Sub. Nts., 4/1/12 | 3,415,000 | 2,100,225 | ||||||
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 | 885,000 | 677,025 | ||||||
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/144 | 540,000 | 467,100 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/14 | 5,860,000 | 366,250 | ||||||
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 | 1,350,000 | 185,625 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 790,000 | 600,400 | ||||||
10,156,475 | ||||||||
Household Durables—2.2% | ||||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 | 1,175,000 | 1,122,125 | ||||||
Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 | 625,000 | 429,688 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 545,000 | 122,625 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 1,275,000 | 376,125 | ||||||
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 | 1,110,000 | 1,015,650 | ||||||
William Lyon Homes, Inc.: | ||||||||
7.50% Sr. Unsec. Nts., 2/15/14 | 220,000 | 53,900 | ||||||
10.75% Sr. Nts., 4/1/13 | 1,510,000 | 385,050 | ||||||
3,505,163 | ||||||||
Leisure Equipment & Products—0.4% | ||||||||
Leslie’s Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 | 795,000 | 639,975 | ||||||
Media—7.8% | ||||||||
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 | 565,000 | 280,381 | ||||||
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 | 990,000 | 613,800 | ||||||
American Media Operations, Inc.: | ||||||||
8.875% Sr. Unsec. Sub. Nts., 1/15/113 | 32,724 | 7,854 | ||||||
8.875% Sr. Unsec. Sub. Nts., 1/15/11 | 875,000 | 180,469 | ||||||
CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/15 | 1,455,000 | 261,900 | ||||||
Cinemark, Inc., 0%/9.75% Sr. Unsec. Nts., 3/15/147 | 835,000 | 679,481 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 | 450,000 | 426,375 | ||||||
EchoStar DBS Corp., 6.375% Sr. Unsec. Nts., 10/1/11 | 1,180,000 | 1,100,350 | ||||||
Idearc, Inc., 8% Sr. Unsec. Nts., 11/15/16 | 3,045,000 | 243,600 | ||||||
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 | 790,000 | 633,975 | ||||||
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 | 1,035,000 | 499,388 | ||||||
Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/141 | 2,180,000 | 1,122,700 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/14 | 1,460,000 | 100,375 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/13 | 2,510,000 | 172,563 | ||||||
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 | 1,340,000 | 998,300 | ||||||
R.H. Donnelley Corp.: | ||||||||
6.875% Sr. Nts., 1/15/13 | 1,780,000 | 249,200 | ||||||
6.875% Sr. Nts., Series A-2, 1/15/13 | 1,960,000 | 274,400 | ||||||
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 | 430,000 | 213,925 | ||||||
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/124 | 275,000 | 248,875 | ||||||
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 | 2,700,000 | 2,038,500 | ||||||
Videotron Ltd., 9.125% Sr. Nts., 4/15/184 | 445,000 | 416,075 | ||||||
Virgin Media Finance plc, 8.75% Sr. Unsec. Nts., 4/15/14 | 410,000 | 309,550 | ||||||
Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 | 800,000 | 472,000 | ||||||
WMG Holdings Corp., 0%/9.50% Sr. Nts., 12/15/147 | 2,335,000 | 875,625 | ||||||
12,419,661 | ||||||||
Specialty Retail—1.1% | ||||||||
Claire’s Stores, Inc., 10.50% Sr. Unsec. Sub. Nts., 6/1/17 | 2,805,000 | 490,875 | ||||||
GameStop Corp., 8% Sr. Unsec. Nts., 10/1/12 | 490,000 | 458,150 | ||||||
Sally Holdings LLC: | ||||||||
9.25% Sr. Unsec. Nts., 11/15/14 | 450,000 | 389,250 | ||||||
10.50% Sr. Unsec. Sub. Nts., 11/15/16 | 545,000 | 373,325 | ||||||
1,711,600 | ||||||||
Textiles, Apparel & Luxury Goods—0.4% | ||||||||
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 | 905,000 | 674,225 |
Principal | ||||||||
Amount | Value | |||||||
Consumer Staples—3.8% | ||||||||
Food & Staples Retailing—1.9% | ||||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | $ | 3,560,000 | $ | 2,153,800 | ||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 900,000 | 912,381 | ||||||
Real Time Data Co., 11% Nts., 5/31/093,5,6,8 | 476,601 | — | ||||||
3,066,181 | ||||||||
Food Products—1.6% | ||||||||
Dole Food Co., Inc.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/10 | 420,000 | 295,050 | ||||||
8.625% Sr. Nts., 5/1/09 | 687,000 | 625,170 | ||||||
8.875% Sr. Unsec. Nts., 3/15/11 | 146,000 | 91,980 | ||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 2,475,000 | 1,348,875 | ||||||
Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 | 360,000 | 257,400 | ||||||
2,618,475 | ||||||||
Personal Products—0.3% | ||||||||
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 | 625,000 | 409,375 | ||||||
Energy—7.4% | ||||||||
Energy Equipment & Services—1.1% | ||||||||
Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/164 | 1,210,000 | 647,350 | ||||||
Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 | 1,740,000 | 1,157,100 | ||||||
1,804,450 | ||||||||
Oil, Gas & Consumable Fuels—6.3% | ||||||||
Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/184 | 1,590,000 | 977,850 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 630,000 | 428,400 | ||||||
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 | 1,035,000 | 564,075 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.75% Sr. Nts., 6/1/184 | 1,465,000 | 996,200 | ||||||
Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 | 905,000 | 647,075 | ||||||
Enterprise Products Operating LP, 8.375% Jr. Sub. Nts., 8/1/661 | 2,075,000 | 1,142,553 | ||||||
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 | 795,000 | 671,775 | ||||||
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 | 1,382,000 | 1,150,092 | ||||||
Quicksilver Resources, Inc.: | ||||||||
7.125% Sr. Sub. Nts., 4/1/16 | 1,720,000 | 928,800 | ||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 340,000 | 217,600 | ||||||
Sabine Pass LNG LP: | ||||||||
7.25% Sr. Sec. Nts., 11/30/13 | 450,000 | 330,750 | ||||||
7.50% Sr. Sec. Nts., 11/30/16 | 1,325,000 | 960,625 | ||||||
Tesoro Corp., 6.625% Sr. Unsec. Nts., 11/1/15 | 1,855,000 | 1,085,175 | ||||||
10,100,970 | ||||||||
Financials—11.1% | ||||||||
Capital Markets—1.4% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 2,255,000 | 992,200 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 1,350,000 | 982,188 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/386 | 5,341,000 | 534 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 990,000 | 282,150 | ||||||
2,257,072 | ||||||||
Commercial Banks—4.4% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds9 | 4,940,000 | 2,859,618 | ||||||
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A4,9 | 5,700,000 | 2,214,256 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/351 | 4,900,000 | 2,052,473 | ||||||
7,126,347 | ||||||||
Consumer Finance—1.4% | ||||||||
SLM Corp., 4.50% Nts., Series A, 7/26/10 | 2,600,000 | 2,257,252 | ||||||
Diversified Financial Services—3.0% | ||||||||
AAC Group Holding Corp., 0%/10.25% Sr. Unsec. Nts., 10/1/127 | 200,000 | 133,000 | ||||||
Bank of America Corp.: | ||||||||
8% Unsec. Perpetual Bonds, Series K9 | 830,000 | 597,866 | ||||||
8.125% Perpetual Bonds, Series M9 | 285,000 | 213,536 | ||||||
Citigroup, Inc.: | ||||||||
8.30% Jr. Sub. Bonds, 12/21/571 | 585,000 | 452,192 | ||||||
8.40% Perpetual Bonds, Series E9 | 2,345,000 | 1,551,311 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 19 | 2,130,000 | 1,776,475 | ||||||
4,724,380 | ||||||||
Insurance—0.7% | ||||||||
MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/381 | 200,000 | 139,777 | ||||||
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/361 | 1,210,000 | 727,678 | ||||||
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/234 | 210,000 | 202,788 |
Principal | ||||||||
Amount | Value | |||||||
Insurance Continued | ||||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/254 | $ | 160,000 | $ | 108,118 | ||||
1,178,361 | ||||||||
Real Estate Investment Trusts—0.2% | ||||||||
iStar Financial, Inc., 2.471% Sr. Unsec. Nts., 3/16/091 | 415,000 | 299,319 | ||||||
Health Care—8.2% | ||||||||
Health Care Equipment & Supplies—1.4% | ||||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/151 | 1,750,000 | 1,023,750 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/158 | 1,790,000 | 1,279,850 | ||||||
2,303,600 | ||||||||
Health Care Providers & Services—5.9% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/158 | 1,155,000 | 444,675 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 490,000 | 453,250 | ||||||
DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 | 705,000 | 673,275 | ||||||
Fresenius Medical Care Capital Trust IV, 7.875% Sr. Sub. Nts., 6/15/11 | 235,000 | 224,425 | ||||||
HCA, Inc.: | ||||||||
6.375% Nts., 1/15/15 | 2,490,000 | 1,531,350 | ||||||
9.25% Sr. Sec. Nts., 11/15/16 | 345,000 | 317,400 | ||||||
HealthSouth Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 1,350,000 | 1,245,375 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 2,290,000 | 1,225,150 | ||||||
US Oncology Holdings, Inc., 8.334% Sr. Unsec. Nts., 3/15/121,8 | 1,057,000 | 671,195 | ||||||
US Oncology, Inc., 9% Sr. Unsec. Nts., 8/15/12 | 515,000 | 471,225 | ||||||
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/157 | 2,765,000 | 2,184,350 | ||||||
9,441,670 | ||||||||
Pharmaceuticals—0.9% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 1,915,000 | 1,388,375 | ||||||
Industrials—3.9% | ||||||||
Aerospace & Defense—0.7% | ||||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 245,000 | 221,113 | ||||||
L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 | 1,020,000 | 923,100 | ||||||
1,144,213 | ||||||||
Building Products—0.2% | ||||||||
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 | 860,000 | 202,100 | ||||||
Commercial Services & Supplies—1.5% | ||||||||
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 | 1,195,000 | 1,130,482 | ||||||
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/053,5,6 | 200,000 | — | ||||||
Iron Mountain, Inc., 8.625% Sr. Unsec. Sub. Nts., 4/1/13 | 1,300,000 | 1,228,500 | ||||||
2,358,982 | ||||||||
Road & Rail—0.9% | ||||||||
Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 2,370,000 | 699,150 | ||||||
Hertz Corp.: | ||||||||
8.875% Sr. Unsec. Nts., 1/1/14 | 90,000 | 55,800 | ||||||
10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 1,570,000 | 724,163 | ||||||
1,479,113 | ||||||||
Trading Companies & Distributors—0.6% | ||||||||
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 | 1,605,000 | 987,075 | ||||||
Information Technology—0.0% | ||||||||
Communications Equipment—0.0% | ||||||||
Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/073,5,6 | 1,150,000 | 12 | ||||||
Internet Software & Services—0.0% | ||||||||
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/093,5,6 | 844,866 EUR | — | ||||||
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/103,5,6 | 240,208 | — | ||||||
— | ||||||||
Materials—4.3% | ||||||||
Chemicals—0.4% | ||||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 2,255,000 | 676,500 | ||||||
Construction Materials—0.2% | ||||||||
NTK Holdings, Inc., 0%/10.75% Sr. Unsec. Nts., 3/1/147 | 1,535,000 | 337,700 | ||||||
Containers & Packaging—1.9% | ||||||||
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 | 720,000 | 720,000 | ||||||
Graham Packaging Co., Inc., 9.875% Sr. Unsec. Sub. Nts., 10/15/14 | 1,315,000 | 815,300 | ||||||
Graphic Packaging International Corp., 8.50% Sr. Nts., 8/15/11 | 1,715,000 | 1,440,600 | ||||||
2,975,900 |
Principal | ||||||||
Amount | Value | |||||||
Metals & Mining—1.5% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | $ | 1,695,000 | $ | 1,391,826 | ||||
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 | 660,000 | 564,936 | ||||||
Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 | 600,000 | 441,000 | ||||||
2,397,762 | ||||||||
Paper & Forest Products—0.3% | ||||||||
NewPage Corp., 10% Sr. Sec. Nts., 5/1/12 | 990,000 | 440,550 | ||||||
Telecommunication Services—4.3% | ||||||||
Diversified Telecommunication Services—2.4% | ||||||||
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 | 1,280,000 | 1,094,400 | ||||||
FairPoint Communications, Inc., 13.125% Sr. Nts., 4/1/18 | 1,340,000 | 649,900 | ||||||
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 | 1,080,000 | 1,004,400 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/083,5,6 | 400,000 | — | ||||||
Windstream Corp.: | ||||||||
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 | 700,000 | 647,500 | ||||||
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 570,000 | 507,300 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/103,5,6 | 1,000,000 | — | ||||||
3,903,500 | ||||||||
Wireless Telecommunication Services—1.9% | ||||||||
American Tower Corp., 7.50% Sr. Nts., 5/1/12 | 430,000 | 425,700 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 2,040,000 | 857,190 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 2,470,000 | 1,670,389 | ||||||
2,953,279 | ||||||||
Utilities—0.2% | ||||||||
Gas Utilities—0.2% | ||||||||
Ferrellgas Partners LP, 6.75% Sr. Nts,, 5/1/144 | 520,000 | 361,400 | ||||||
Total Corporate Bonds and Notes (Cost $184,573,474) | 104,730,578 | |||||||
Shares | Value | |||||||
Preferred Stocks—0.4% | ||||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.3,5,8 | 13,764 | $ | — | |||||
Eagle-Picher Holdings, Inc., | ||||||||
11.75% Cum. Exchangeable, Series B, Non-Vtg.3,5 | 8,000 | — | ||||||
Fannie Mae, 8.25% Non-Cum. Sub., Series S, Non-Vtg. | 160,075 | 132,858 | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.3,5,8 | 342 | — | ||||||
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A3 | 545 | 453,713 | ||||||
Total Preferred Stocks (Cost $5,592,567) | 586,571 | |||||||
Common Stocks—0.1% | ||||||||
Global Aero Logistics, Inc.3,5 | 4,647 | 4,647 | ||||||
Revlon, Inc., Cl. A5 | 28,649 | 191,089 | ||||||
Total Common Stocks (Cost $395,996) | 195,736 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/113,5 (Cost $4,339) | 570 | 6 | ||||||
Shares | ||||||||
Investment Company—48.0% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%10,11 (Cost $76,839,590) | 76,839,590 | 76,839,590 | ||||||
Total Investments, at Value (Cost $291,761,641) | 122.3 | % | 195,815,753 | |||||
Liabilities in Excess of Other Assets | (22.3 | ) | (35,651,430 | ) | ||||
Net Assets | 100.0 | % | $ | 160,164,323 | ||||
Footnotes to Statement of Investments | ||
Principal amount is reported in U.S. Dollars, except for those denoted in the following currency: | ||
EUR | Euro | |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $1,719,283 or 1.07% of the Fund’s net assets as of December 31, 2008. | |
3. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $875,005, which represents 0.55% of the Fund’s net assets. See Note 7 of accompanying Notes. | |
4. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $9,569,987 or 5.98% of the Fund’s net assets as of December 31, 2008. | |
5. | Non-income producing security. | |
6. | Issue is in default. See Note 1 of accompanying Notes. | |
7. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
8. | Interest or dividend is paid-in-kind, when applicable. | |
9. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
10. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 10,989,620 | 348,482,278 | 282,632,308 | 76,839,590 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 76,839,590 | $ | 371,423 |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 77,030,679 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 118,780,421 | (44,330,311 | ) | |||||
Level 3—Significant Unobservable Inputs | 4,653 | — | ||||||
Total | $ | 195,815,753 | $ | (44,330,311 | ) | |||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments | ||||||
Value as of December 31, 2007: | $ | — | $ | — | ||||
Realized gain (loss) | (2,473,993 | ) | — | |||||
Change in unrealized appreciation (depreciation) | 2,448,807 | — | ||||||
Accretion/(amortization) of premium discount1 | (1,251 | ) | — | |||||
Net purchases (sales) | (3,763 | ) | — | |||||
Transfers in and out of Level 3 | 34,853 | — | ||||||
Value as of December 31, 2008 | $ | 4,653 | $ | — | ||||
1. | Included in net investment income for fixed income securities |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
ABX.HE.AA.06-2 Index: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 1,760 | 0.170 | % | 5/25/46 | $ | 1,361,567 | $ | (1,545,719 | ) | |||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 380 | 0.170 | 5/25/46 | 30,359 | (333,735 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 730 | 0.170 | 5/25/46 | 72,997 | (641,122 | ) | |||||||||||||||||||
Total | 2,870 | 1,464,923 | (2,520,576 | ) | ||||||||||||||||||||||
American International Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 140 | 3.000 | 3/20/09 | — | (821 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 260 | 4.000 | 3/20/09 | — | (896 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 170 | 5.350 | 3/20/09 | — | (32 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 325 | 4.000 | 3/20/09 | — | (1,120 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 195 | 4.000 | 3/20/09 | — | (672 | ) | |||||||||||||||||||
Total | 1,090 | — | (3,541 | ) | ||||||||||||||||||||||
ARAMARK Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 705 | 6.000 | 3/20/13 | — | (12,628 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 60 | 4.750 | 12/20/13 | — | (4,048 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 835 | 5.920 | 3/20/13 | — | (17,179 | ) | |||||||||||||||||||
Total | 1,600 | — | (33,855 | ) | ||||||||||||||||||||||
Cablevision Systems Corp. | Citibank NA, New York | Sell | 160 | 3.100 | 12/20/10 | — | (15,228 | ) | ||||||||||||||||||
Total | 160 | — | (15,228 | ) | ||||||||||||||||||||||
Capmark Financial Group, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 160 | 5.000 | 6/20/12 | 44,800 | (75,275 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 3,300 | 7.125 | 12/20/12 | — | (1,506,436 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,485 | 9.700 | 12/20/12 | — | (625,254 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,235 | 9.750 | 12/20/12 | — | (519,142 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,060 | 3.500 | 6/20/12 | — | (520,039 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,120 | 5.200 | 12/20/12 | — | (540,957 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 550 | 6.250 | 12/20/12 | — | (257,698 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 530 | 7.400 | 12/20/12 | — | (239,936 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 550 | 7.150 | 12/20/12 | — | (250,883 | ) | |||||||||||||||||||
Total | 9,990 | 44,800 | (4,535,620 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 10: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,720 | 5.000 | 6/20/13 | 243,289 | (423,713 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,275 | 5.000 | 6/20/13 | 211,701 | (354,392 | ) | |||||||||||||||||||
UBS AG | Sell | 2,720 | 5.000 | 6/20/13 | 243,289 | (423,713 | ) | |||||||||||||||||||
UBS AG | Sell | 1,515 | 5.000 | 6/20/13 | 140,979 | (236,002 | ) | |||||||||||||||||||
Total | 9,230 | 839,258 | (1,437,820 | ) | ||||||||||||||||||||||
Cemex SAB de CV | Deutsche Bank AG | Sell | 190 | 2.000 | 3/20/09 | — | (2,779 | ) | ||||||||||||||||||
Total | 190 | — | (2,779 | ) | ||||||||||||||||||||||
Charter Communications Holdings LLC/Charter Communications Holdings Capital: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 175 | 5.000 | 9/20/17 | 35,000 | (95,730 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 635 | 5.000 | 9/20/17 | 127,000 | (347,363 | ) | |||||||||||||||||||
Total | 810 | 162,000 | (443,093 | ) |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
CIT Group, Inc. | Barclays Bank plc | Sell | $ | 75 | 10.500 | % | 6/20/09 | $ | — | $ | 991 | |||||||||||||||
Total | 75 | — | 991 | |||||||||||||||||||||||
CMBX.3.AJ Index: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,000 | 1.470 | 12/13/49 | 119,886 | (575,856 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,190 | 1.470 | 12/13/49 | 365,209 | (1,261,125 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,500 | 1.470 | 12/13/49 | 328,412 | (1,439,641 | ) | |||||||||||||||||||
Total | 5,690 | 813,507 | (3,276,622 | ) | ||||||||||||||||||||||
CMBX.4.AJ Index: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,000 | 0.960 | 2/17/51 | 169,360 | (622,020 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,190 | 0.960 | 2/17/51 | 450,444 | (1,362,225 | ) | |||||||||||||||||||
Total | 3,190 | 619,804 | (1,984,245 | ) | ||||||||||||||||||||||
Constellation Brands, Inc. JPMorgan Chase Bank NA, NY Branch | Sell | 475 | 3.970 | 9/20/13 | — | (19,221 | ) | |||||||||||||||||||
Total | 475 | — | (19,221 | ) | ||||||||||||||||||||||
Dean Foods Co.: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 930 | 1.030 | 6/20/11 | — | (73,511 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 930 | 1.060 | 6/20/11 | — | (72,880 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 460 | 1.050 | 6/20/11 | — | (36,152 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,200 | 1.080 | 6/20/11 | — | (93,496 | ) | |||||||||||||||||||
Total | 3,520 | — | (276,039 | ) | ||||||||||||||||||||||
Eastman Kodak Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Buy | 905 | 3.700 | 12/20/18 | — | 170,107 | ||||||||||||||||||||
Credit Suisse International | Buy | 405 | 4.050 | 12/20/18 | — | 68,441 | ||||||||||||||||||||
Credit Suisse International | Buy | 385 | 4.010 | 12/20/18 | — | 65,896 | ||||||||||||||||||||
Total | 1,695 | — | 304,444 | |||||||||||||||||||||||
Barclays Bank plc | Sell | 405 | 4.000 | 12/20/13 | — | (53,028 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 385 | 3.960 | 12/20/13 | — | (50,963 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 905 | 3.650 | 12/20/13 | — | (129,882 | ) | |||||||||||||||||||
Total | 1,695 | — | (233,873 | ) | ||||||||||||||||||||||
El Paso Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 505 | 2.800 | 3/20/18 | — | (133,067 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 530 | 2.900 | 3/20/18 | — | (137,046 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,345 | 2.890 | 3/20/18 | — | (348,449 | ) | |||||||||||||||||||
Total | 2,380 | — | (618,562 | ) | ||||||||||||||||||||||
Energy Future Holdings Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 925 | 1.530 | 6/20/11 | — | (276,670 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 410 | 1.610 | 6/20/11 | — | (122,068 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 125 | 5.910 | 12/20/12 | — | (34,307 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 115 | 6.050 | 12/20/12 | — | (31,191 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 125 | 6.000 | 12/20/12 | — | (34,048 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 925 | 1.590 | 6/20/11 | — | (275,715 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,150 | 1.620 | 6/20/11 | — | (342,188 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,310 | 2.060 | 6/20/11 | — | (379,885 | ) | |||||||||||||||||||
Total | 5,085 | — | (1,496,072 | ) | ||||||||||||||||||||||
Ford Motor Co.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 2,750 | 5.800 | 12/20/16 | — | (1,837,943 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 550 | 8.200 | 3/20/18 | — | (373,631 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 25 | 5.000 | 12/20/18 | 13,500 | (17,657 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,335 | 6.000 | 12/20/16 | — | (1,556,836 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 2,070 | 5.300 | 12/20/12 | — | (1,311,510 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,335 | 6.150 | 12/20/16 | — | (1,554,026 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 150 | 5.900 | 12/20/16 | — | (100,131 | ) | |||||||||||||||||||
Total | 10,215 | 13,500 | (6,751,734 | ) | ||||||||||||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 1,700 | 2.320 | 3/20/12 | — | (271,573 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 3,280 | 2.385 | 3/20/12 | — | (523,512 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 875 | 2.550 | 3/20/12 | — | (139,342 | ) | |||||||||||||||||||
Total | 5,855 | — | (934,427 | ) |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
General Electric Capital Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 910 | 8.000 | % | 12/20/09 | $ | — | $ | 26,811 | ||||||||||||||||
Credit Suisse International | Sell | 865 | 8.000 | 12/20/09 | — | 25,486 | ||||||||||||||||||||
Total | 1,775 | — | 52,297 | |||||||||||||||||||||||
General Motors Corp.: | ||||||||||||||||||||||||||
Goldman Sachs Bank USA | Sell | 1,865 | 4.950 | 12/20/16 | — | (1,488,977 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 500 | 5.950 | 12/20/17 | — | (394,876 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,760 | 4.750 | 12/20/16 | — | (2,208,315 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 2,550 | 4.050 | 12/20/12 | — | (2,039,010 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,865 | 4.900 | 12/20/16 | — | (1,489,786 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 120 | 4.620 | 12/20/16 | — | (96,149 | ) | |||||||||||||||||||
Total | 9,660 | — | (7,717,113 | ) | ||||||||||||||||||||||
GMAC LLC: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 1,915 | 5.000 | 3/20/09 | 277,675 | (224,875 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,095 | 1.390 | 3/20/17 | — | (321,494 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,030 | 1.370 | 3/20/17 | — | (302,677 | ) | |||||||||||||||||||
Total | 4,040 | 277,675 | (849,046 | ) | ||||||||||||||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 355 | 5.750 | 12/20/09 | — | 7,235 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 360 | 5.500 | 12/20/09 | — | 6,462 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 285 | 5.450 | 12/20/09 | — | 4,978 | ||||||||||||||||||||
Total | 1,000 | — | 18,675 | |||||||||||||||||||||||
Harrah’s Operating Co., Inc. | Credit Suisse International | Sell | 1,160 | 5.000 | 3/20/10 | 73,950 | (265,191 | ) | ||||||||||||||||||
Total | 1,160 | 73,950 | (265,191 | ) | ||||||||||||||||||||||
Hartford Financial Services Group, Inc. | Morgan Stanley Capital Services, Inc. | Sell | 195 | 2.400 | 3/20/09 | — | (1,948 | ) | ||||||||||||||||||
Total | 195 | — | (1,948 | ) | ||||||||||||||||||||||
HCP, Inc. | Barclays Bank plc | Sell | 285 | 4.600 | 3/20/09 | — | 327 | |||||||||||||||||||
Total | 285 | — | 327 | |||||||||||||||||||||||
Idearc, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 25 | 5.000 | 12/20/09 | 5,125 | (18,085 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 620 | 5.000 | 9/20/09 | 201,075 | (452,480 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 280 | 5.000 | 9/20/09 | 36,400 | (204,346 | ) | |||||||||||||||||||
Total | 925 | 242,600 | (674,911 | ) | ||||||||||||||||||||||
Intelsat Ltd.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 545 | 5.000 | 3/20/09 | — | 980 | ||||||||||||||||||||
Credit Suisse International | Sell | 555 | 4.400 | 3/20/09 | — | 867 | ||||||||||||||||||||
Credit Suisse International | Sell | 55 | 5.750 | 3/20/09 | — | 115 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 220 | 4.400 | 3/20/09 | — | 344 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 550 | 4.750 | 3/20/09 | — | 936 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 325 | 5.000 | 3/20/09 | — | 585 | ||||||||||||||||||||
Total | 2,250 | — | 3,827 | |||||||||||||||||||||||
iStar Financial, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 345 | 4.400 | 12/20/12 | — | (187,051 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 135 | 4.000 | 12/20/12 | — | (73,534 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 845 | 4.150 | 12/20/12 | — | (459,469 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 185 | 12.000 | 3/20/09 | — | (20,230 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,035 | 4.000 | 12/20/12 | — | (563,759 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 460 | 12.000 | 3/20/09 | — | (50,303 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 2,310 | 3.950 | 12/20/12 | — | (1,258,971 | ) | |||||||||||||||||||
UBS AG | Sell | 550 | 4.560 | 12/20/12 | — | (297,644 | ) | |||||||||||||||||||
Total | 5,865 | — | (2,910,961 | ) |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
J.C. Penney Corp., Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | $ | 370 | 1.070 | % | 12/20/17 | $ | — | $ | (72,072 | ) | |||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 385 | 1.300 | 12/20/17 | — | (69,505 | ) | |||||||||||||||||||
Total | 755 | — | (141,577 | ) | ||||||||||||||||||||||
Jefferson Smurfit Corp. US: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 145 | 8.000 | 12/20/13 | — | (104,566 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 495 | 6.700 | 6/20/13 | — | (362,382 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 710 | 6.800 | 6/20/13 | — | (519,172 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 360 | 7.950 | 12/20/13 | — | (259,768 | ) | |||||||||||||||||||
Total | 1,710 | — | (1,245,888 | ) | ||||||||||||||||||||||
Jones Apparel Group, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 210 | 2.635 | 6/20/18 | — | 46,901 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 425 | 2.970 | 6/20/18 | — | 87,185 | ||||||||||||||||||||
Total | 635 | — | 134,086 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 210 | 2.720 | 6/20/13 | — | (41,646 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 425 | 3.200 | 6/20/13 | — | (77,745 | ) | |||||||||||||||||||
Total | 635 | — | (119,391 | ) | ||||||||||||||||||||||
Kohl’s Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Buy | 210 | 1.180 | 6/20/18 | — | 18,748 | ||||||||||||||||||||
Barclays Bank plc | Buy | 205 | 1.040 | 6/20/18 | — | 20,389 | ||||||||||||||||||||
Deutsche Bank AG | Buy | 205 | 1.300 | 6/20/18 | — | 16,513 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 555 | 0.660 | 12/20/17 | — | 67,702 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 575 | 0.870 | 12/20/17 | — | 61,695 | ||||||||||||||||||||
Total | 1,750 | — | 185,047 | |||||||||||||||||||||||
Barclays Bank plc | Sell | 210 | 1.080 | 6/20/13 | — | (14,128 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 205 | 0.900 | 6/20/13 | — | (15,253 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 205 | 1.180 | 6/20/13 | — | (12,980 | ) | |||||||||||||||||||
Total | 620 | — | (42,361 | ) | ||||||||||||||||||||||
Liz Claiborne, Inc.: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 415 | 2.900 | 6/20/18 | — | 128,494 | ||||||||||||||||||||
Total | 415 | — | 128,494 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 765 | 3.250 | 6/20/09 | — | (22,462 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 415 | 3.100 | 6/20/13 | — | (110,158 | ) | |||||||||||||||||||
Total | 1,180 | — | (132,620 | ) | ||||||||||||||||||||||
Louisiana-Pacific Corp. | Morgan Stanley Capital Services, Inc. | Sell | 375 | 6.250 | 9/20/09 | — | (32,043 | ) | ||||||||||||||||||
Total | 375 | — | (32,043 | ) | ||||||||||||||||||||||
Massey Energy Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 460 | 5.000 | 3/20/13 | — | (31,994 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 210 | 5.000 | 3/20/13 | — | (14,606 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 690 | 5.100 | 9/20/12 | — | (47,257 | ) | |||||||||||||||||||
UBS AG | Sell | 375 | 5.050 | 9/20/12 | — | (26,237 | ) | |||||||||||||||||||
UBS AG | Sell | 430 | 5.100 | 9/20/12 | — | (29,450 | ) | |||||||||||||||||||
Total | 2,165 | — | (149,544 | ) | ||||||||||||||||||||||
MGM Mirage: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 440 | 5.000 | 12/20/13 | 145,200 | (161,435 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 440 | 8.400 | 12/20/13 | — | (126,620 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 675 | 5.000 | 12/20/13 | 168,750 | (247,655 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 725 | 8.400 | 12/20/13 | — | (208,636 | ) | |||||||||||||||||||
Total | 2,280 | 313,950 | (744,346 | ) | ||||||||||||||||||||||
Morgan Stanley: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 1,555 | 7.800 | 12/20/13 | — | 232,584 | ||||||||||||||||||||
Credit Suisse International | Sell | 495 | 7.800 | 12/20/13 | — | 74,038 | ||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,830 | 7.800 | 12/20/13 | — | 273,717 | ||||||||||||||||||||
Total | 3,880 | — | 580,339 |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Nalco Co.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 420 | 4.500 | % | 9/20/13 | $ | — | $ | (41,815 | ) | |||||||||||||||
Citibank NA, New York | Sell | 435 | 3.600 | 9/20/12 | — | (43,331 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 455 | 4.170 | 9/20/13 | — | (50,570 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 860 | 3.400 | 9/20/12 | — | (90,815 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 425 | 3.600 | 9/20/12 | — | (42,335 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 455 | 4.250 | 9/20/13 | — | (49,292 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 465 | 3.700 | 9/20/12 | — | (44,927 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 425 | 4.700 | 9/20/13 | — | (39,329 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 760 | 4.700 | 9/20/13 | — | (70,330 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 425 | 4.650 | 9/20/13 | — | (40,075 | ) | |||||||||||||||||||
Total | 5,125 | — | (512,819 | ) | ||||||||||||||||||||||
Owens-Illinois, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 500 | 2.500 | 6/20/13 | — | (24,265 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 290 | 2.500 | 6/20/13 | — | (14,074 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 140 | 2.500 | 6/20/13 | — | (6,794 | ) | |||||||||||||||||||
Total | 930 | — | (45,133 | ) | ||||||||||||||||||||||
Reliant Energy, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 465 | 2.450 | 9/20/11 | — | (67,758 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,070 | 2.600 | 9/20/11 | — | (152,324 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,035 | 3.900 | 9/20/11 | — | (117,233 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 175 | 9.000 | 12/20/09 | — | (4,392 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 175 | 9.000 | 12/20/09 | — | (4,392 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 420 | 2.050 | 9/20/11 | — | (64,960 | ) | |||||||||||||||||||
Total | 3,340 | — | (411,059 | ) | ||||||||||||||||||||||
RH Donnelley Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 450 | 5.000 | 9/20/10 | 81,000 | (202,946 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 430 | 9.000 | 3/20/09 | — | (18,540 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 650 | 5.000 | 9/20/10 | 143,000 | (293,145 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 270 | 5.000 | 9/20/10 | 48,600 | (121,768 | ) | |||||||||||||||||||
Total | 1,800 | 272,600 | (636,399 | ) | ||||||||||||||||||||||
Rite Aid Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 395 | 7.500 | 3/20/09 | — | (20,213 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 715 | 8.060 | 3/20/09 | — | (35,661 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 350 | 5.000 | 12/20/09 | 99,038 | (79,753 | ) | |||||||||||||||||||
Total | 1,460 | 99,038 | (135,627 | ) | ||||||||||||||||||||||
SLM Corp. | Deutsche Bank AG | Sell | 580 | 2.010 | 9/20/09 | — | (49,205 | ) | ||||||||||||||||||
Total | 580 | — | (49,205 | ) | ||||||||||||||||||||||
Sprint Nextel Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 825 | 6.300 | 3/20/09 | — | (11,489 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 295 | 6.300 | 3/20/09 | — | (4,108 | ) | |||||||||||||||||||
Total | 1,120 | — | (15,597 | ) | ||||||||||||||||||||||
Station Casinos, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 505 | 5.000 | 6/20/13 | 90,900 | (399,943 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 315 | 5.000 | 6/20/13 | 55,519 | (247,729 | ) | |||||||||||||||||||
Total | 820 | 146,419 | (647,672 | ) | ||||||||||||||||||||||
Temple-Inland, Inc. | Deutsche Bank AG | Sell | 95 | 3.000 | 9/20/09 | — | (5,648 | ) | ||||||||||||||||||
Total | 95 | — | (5,648 | ) | ||||||||||||||||||||||
Tribune Co.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 525 | 5.000 | 1/16/09 | 168,000 | (492,252 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 540 | 5.000 | 1/16/09 | 176,850 | (506,316 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 540 | 5.000 | 1/16/09 | 178,200 | (506,316 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 555 | 5.000 | 1/16/09 | 194,250 | (520,380 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 545 | 6.350 | 1/16/09 | — | (511,004 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 40 | 5.000 | 1/16/09 | 8,800 | (37,505 | ) |
Upfront | ||||||||||||||||||||||||||
Notional | Pay/ | Payment | ||||||||||||||||||||||||
Buy/Sell Credit | Amount | Receive | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Tribune Co. Continued: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | $ | 170 | 5.000 | % | 1/16/09 | $ | 39,100 | $ | (159,396 | ) | |||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 260 | 5.000 | 1/16/09 | 62,400 | (243,782 | ) | |||||||||||||||||||
Total | 3,175 | 827,600 | (2,976,951 | ) | ||||||||||||||||||||||
Univision Communications, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 435 | 5.000 | 12/20/09 | 30,450 | (149,384 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,265 | 14.600 | 3/20/09 | — | (91,428 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 980 | 5.000 | 6/20/09 | 98,000 | (323,982 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 270 | 5.000 | 6/20/09 | 29,700 | (89,260 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 465 | 5.000 | 6/20/09 | 27,900 | (153,726 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 750 | 5.000 | 6/20/09 | 97,500 | (247,946 | ) | |||||||||||||||||||
UBS AG | Sell | 450 | 5.000 | 6/20/09 | 40,500 | (148,767 | ) | |||||||||||||||||||
Total | 4,615 | 324,050 | (1,204,493 | ) | ||||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 840 | 0.630 | 3/20/17 | — | 137,722 | ||||||||||||||||||||
Total | 840 | — | 137,722 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 840 | 1.050 | 3/20/17 | — | (113,254 | ) | |||||||||||||||||||
Total | 840 | — | (113,254 | ) | ||||||||||||||||||||||
Vornado Realty LP: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 190 | 3.600 | 3/20/09 | — | (1,651 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 385 | 3.875 | 6/20/09 | — | (3,087 | ) | |||||||||||||||||||
Total | 575 | — | (4,738 | ) | ||||||||||||||||||||||
XL Capital Ltd.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 425 | 3.550 | 9/20/09 | — | (31,542 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 485 | 3.550 | 9/20/09 | — | (35,995 | ) | |||||||||||||||||||
Total | 910 | — | (67,537 | ) | ||||||||||||||||||||||
Grand Total Buys | 5,335 | — | 889,793 | |||||||||||||||||||||||
Grand Total Sells | 130,260 | 6,535,674 | (45,779,923 | ) | ||||||||||||||||||||||
Total Credit Default Swaps | $ | 6,535,674 | $ | (44,890,130 | ) | |||||||||||||||||||||
Type of Reference Asset | Total Maximum Potential | |||||||||||
on which the Fund | Payments for Selling Credit | Reference Asset | ||||||||||
Sold Protection | Protection (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||
Asset-Backed Indexes | $ | 2,870,000 | $ | — | AA | |||||||
CMBS Indexes | 8,880,000 | — | AAA | |||||||||
High Yield Indexes | 9,230,000 | — | B | |||||||||
Single Name Corporate Debt | 28,720,000 | 620,000 | AAA to BBB- | |||||||||
Single Name Corporate Debt | 80,560,000 | 2,745,000 | BB+ to D | |||||||||
Total | $ | 130,260,000 | $ | 3,365,000 | ||||||||
* | Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The reference asset security rating, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential payment by the Fund if the reference asset experiences a credit event as of period end. |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
USD BBA LIBOR: | ||||||||||||||||||||
Credit Suisse International | $ | 3,710 | 4.353 | % | Three-Month USD BBA LIBOR | 10/21/16 | $ | (530,278 | ) | |||||||||||
Credit Suisse International | 2,740 | 2.225 | Three-Month USD BBA LIBOR | 11/20/10 | (38,743 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 17,000 | 4.488 | Three-Month USD BBA LIBOR | 10/17/16 | (2,592,016 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 20,000 | 2.820 | Three-Month USD BBA LIBOR | 10/29/10 | (456,066 | ) | ||||||||||||||
Goldman Sachs International | 4,000 | 4.820 | Three-Month USD BBA LIBOR | 8/22/28 | (1,335,612 | ) | ||||||||||||||
UBS AG | 3,620 | 2.230 | Three-Month USD BBA LIBOR | 11/20/10 | (51,543 | ) | ||||||||||||||
Total where Fund pays a fixed rate | 51,070 | (5,004,258 | ) | |||||||||||||||||
Credit Suisse International | 9,000 | Three-Month USD BBA LIBOR | 3.173 | % | 11/28/28 | 668,925 | ||||||||||||||
Goldman Sachs International | 10,000 | Three-Month USD BBA LIBOR | 4.519 | 8/22/18 | 1,919,770 | |||||||||||||||
Total where Fund pays a variable rate | 19,000 | 2,588,695 | ||||||||||||||||||
Total Interest Rate Swaps | $ | (2,415,563 | ) | |||||||||||||||||
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Banc of America Securities LLC AAA 10 yr. CMBS Daily Index*: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 47,110 | A | D | 3/31/09 | $ | 10,147,886 | ) | ||||||||||||
Goldman Sachs Group, Inc. (The) | 45,430 | B | C | 1/31/09 | (10,793,032 | ) | ||||||||||||||
Morgan Stanley | 6,240 | B | C | 3/31/09 | (1,539,668 | ) | ||||||||||||||
Reference Entity Total | (2,184,814 | ) | ||||||||||||||||||
Barclays Capital U.S. CMBS AAA Index*: | ||||||||||||||||||||
Citibank NA | 19,800 | A | D | 2/1/09 | 2,163,413 | ) | ||||||||||||||
Citibank NA | 11,500 | A | D | 2/1/09 | 1,264,038 | ) | ||||||||||||||
Morgan Stanley | 2,200 | A | D | 2/1/09 | 240,644 | ) | ||||||||||||||
Morgan Stanley | 3,800 | A | D | 3/1/09 | 416,408 | ) | ||||||||||||||
Reference Entity Total | 4,084,503 | ) | ||||||||||||||||||
Barclays Capital U.S. CMBS AAA 8.5+ Index*: | ||||||||||||||||||||
Barclays Bank plc | 7,820 | B | C | 4/1/09 | (1,484,675 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 10,800 | A | D | 3/1/09 | 1,850,682 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 4,200 | A | D | 3/1/09 | 709,686 | |||||||||||||||
Reference Entity Total | 1,075,693 | |||||||||||||||||||
Total of Total Return Swaps | $ | 2,975,382 | ||||||||||||||||||
* | The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index’s underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index’s underlying holdings, the spread widens. |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | $ | 415 | $ | 39,137 | ||||||
Credit Default Sell Protection | 7,465 | (2,584,048 | ) | |||||||
Total Return | 7,820 | (1,484,675 | ) | |||||||
(4,029,586 | ) | |||||||||
Citibank NA, New York | Credit Default Sell Protection | 17,120 | (5,600,199 | ) | ||||||
Citibank NA | Total Return | 31,300 | 3,427,451 | |||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 1,695 | 304,444 | ||||||||
Credit Default Sell Protection | 24,945 | (5,572,997 | ) | |||||||
Interest Rate | 15,450 | 99,904 | ||||||||
(5,168,649 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 1,255 | 201,136 | ||||||||
Credit Default Sell Protection | 10,780 | (3,124,958 | ) | |||||||
(2,923,822 | ) | |||||||||
Goldman Sachs Bank USA | Credit Default Sell Protection | 2,320 | (1,538,269 | ) | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 37,000 | (3,048,082 | ) | |||||||
Total Return | 107,540 | 1,915,222 | ||||||||
(1,132,860 | ) | |||||||||
Goldman Sachs International: | ||||||||||
Credit Default Sell Protection | 12,400 | (4,339,624 | ) | |||||||
Interest Rate | 14,000 | 584,158 | ||||||||
(3,755,466 | ) | |||||||||
JPMorgan Chase Bank NA, NY Branch | Credit Default Sell Protection | 19,630 | (6,498,824 | ) | ||||||
Merrill Lynch International | Credit Default Sell Protection | 11,865 | (6,040,085 | ) | ||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 1,970 | 345,076 | ||||||||
Credit Default Sell Protection | 17,695 | (9,319,106 | ) | |||||||
(8,974,030 | ) | |||||||||
Morgan Stanley | Total Return | 12,240 | (882,616 | ) | ||||||
UBS AG: | ||||||||||
Credit Default Sell Protection | 6,040 | (1,161,813 | ) | |||||||
Interest Rate | 3,620 | (51,543 | ) | |||||||
(1,213,356 | ) | |||||||||
Total Swaps | $ | (44,330,311 | ) | |||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $214,922,051) | $ | 118,976,163 | ||
Affiliated companies (cost $76,839,590) | 76,839,590 | |||
195,815,753 | ||||
Cash | 7,688,751 | |||
Swaps, at value (upfront payment received $376,713) | 20,623,073 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 4,014,143 | |||
Investments sold | 707,969 | |||
Shares of beneficial interest sold | 592,220 | |||
Due from Manager | 211 | |||
Other | 12,586 | |||
Total assets | 229,454,706 | |||
Liabilities | ||||
Swaps, at value (upfront payment received $6,158,961) | 64,953,384 | |||
Payables and other liabilities: | ||||
Terminated investment contracts | 4,164,301 | |||
Shareholder communications | 44,656 | |||
Shares of beneficial interest redeemed | 35,260 | |||
Distribution and service plan fees | 31,474 | |||
Trustees’ compensation | 6,357 | |||
Transfer and shareholder servicing agent fees | 2,726 | |||
Other | 52,225 | |||
Total liabilities | 69,290,383 | |||
Net Assets | $ | 160,164,323 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 101,322 | ||
Additional paid-in capital | 488,096,558 | |||
Accumulated net investment income | 35,234,239 | |||
Accumulated net realized loss on investments and foreign currency transactions | (229,527,271 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (133,740,525 | ) | ||
Net Assets | $ | 160,164,323 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $111,040,118 and 70,203,241 shares of beneficial interest outstanding) | $ | 1.58 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $43,374,578 and 27,493,189 shares of beneficial interest outstanding) | $ | 1.58 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,582,575 and 1,008,930 shares of beneficial interest outstanding) | $ | 1.57 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $4,167,052 and 2,616,813 shares of beneficial interest outstanding) | $ | 1.59 |
Investment Income | ||||
Interest | $ | 33,736,606 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $3,460) | 570,689 | |||
Affiliated companies | 371,423 | |||
Fee income | 20,238 | |||
Total investment income | 34,698,956 | |||
Expenses | ||||
Management fees | 2,529,797 | |||
Distribution and service plan fees: | ||||
Service shares | 287,674 | |||
Class 4 shares | 24,493 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Class 3 shares | 255 | |||
Class 4 shares | 5,210 | |||
Shareholder communications: | ||||
Non-Service shares | 80,297 | |||
Service shares | 43,899 | |||
Class 3 shares | 1,953 | |||
Class 4 shares | 3,811 | |||
Trustees’ compensation | 12,928 | |||
Custodian fees and expenses | 2,512 | |||
Other | 62,841 | |||
Total expenses | 3,075,658 | |||
Less reduction to custodian expenses | (2,129 | ) | ||
Less waivers and reimbursements of expenses | (81,045 | ) | ||
Net expenses | 2,992,484 | |||
Net Investment Income | 31,706,472 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | (85,561,562 | ) | ||
Closing and expiration of futures contracts | 2,278,201 | |||
Foreign currency transactions | 402,036 | |||
Short positions | (76,620 | ) | ||
Swap contracts | (158,865,141 | ) | ||
Net realized loss | (241,823,086 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (76,156,186 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (606,244 | ) | ||
Futures contracts | (346,624 | ) | ||
Short positions | 23,908 | |||
Swap contracts | (24,813,985 | ) | ||
Net change in unrealized depreciation | (101,899,131 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (312,015,745 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 31,706,472 | $ | 35,258,258 | ||||
Net realized gain (loss) | (241,823,086 | ) | 2,744,711 | |||||
Net change in unrealized depreciation | (101,899,131 | ) | (38,060,297 | ) | ||||
Net decrease in net assets resulting from operations | (312,015,745 | ) | (57,328 | ) | ||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (16,471,157 | ) | (24,967,707 | ) | ||||
Service shares | (8,570,925 | ) | (11,831,305 | ) | ||||
Class 3 shares | (292,606 | ) | — | |||||
Class 4 shares | (611,268 | ) | — | |||||
(25,945,956 | ) | (36,799,012 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 19,699,234 | (42,430,203 | ) | |||||
Service shares | 5,209,593 | (3,835,518 | ) | |||||
Class 3 shares | 1,808,854 | 5,091,701 | ||||||
Class 4 shares | 4,859,490 | 9,835,657 | ||||||
31,577,171 | (31,338,363 | ) | ||||||
Net Assets | ||||||||
Total decrease | (306,384,530 | ) | (68,194,703 | ) | ||||
Beginning of period | 466,548,853 | 534,743,556 | ||||||
End of period (including accumulated net investment income of $35,234,239 and $38,507,913, respectively) | $ | 160,164,323 | $ | 466,548,853 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.95 | $ | 8.55 | $ | 8.44 | $ | 8.80 | $ | 8.61 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .54 | .57 | .58 | .57 | .58 | |||||||||||||||
Net realized and unrealized gain (loss) | (6.44 | ) | (.56 | ) | .17 | (.37 | ) | .15 | ||||||||||||
Total from investment operations | (5.90 | ) | .01 | .75 | .20 | .73 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.47 | ) | (.61 | ) | (.64 | ) | (.56 | ) | (.54 | ) | ||||||||||
Net asset value, end of period | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | $ | 8.80 | ||||||||||
Total Return, at Net Asset Value2 | (78.67 | )% | (0.10 | )% | 9.42 | % | 2.31 | % | 8.97 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 111,040 | $ | 294,819 | $ | 361,445 | $ | 384,726 | $ | 479,405 | ||||||||||
Average net assets (in thousands) | $ | 211,186 | $ | 335,702 | $ | 365,154 | $ | 444,477 | $ | 460,877 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 9.30 | % | 6.96 | % | 7.05 | % | 6.79 | % | 6.91 | % | ||||||||||
Total expenses | 0.80 | %4 | 0.75 | %4 | 0.74 | %4 | 0.75 | % | 0.75 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.74 | % | 0.74 | % | 0.75 | % | 0.75 | % | ||||||||||
Portfolio turnover rate | 53 | %5 | 67 | %5 | 57 | % | 64 | 51 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.80 | % | ||
Year Ended December 31, 2007 | 0.76 | % | ||
Year Ended December 31, 2006 | 0.74 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.89 | $ | 8.50 | $ | 8.39 | $ | 8.76 | $ | 8.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .54 | .55 | .56 | .55 | .56 | |||||||||||||||
Net realized and unrealized gain (loss) | (6.40 | ) | (.57 | ) | .17 | (.38 | ) | .15 | ||||||||||||
Total from investment operations | (5.86 | ) | (.02 | ) | .73 | .17 | .71 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.45 | ) | (.59 | ) | (.62 | ) | (.54 | ) | (.53 | ) | ||||||||||
Net asset value, end of period | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | $ | 8.76 | ||||||||||
Total Return, at Net Asset Value2 | (78.57 | )% | (0.47 | )% | 9.23 | % | 2.01 | % | 8.73 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,375 | $ | 157,333 | $ | 173,299 | $ | 155,617 | $ | 134,013 | ||||||||||
Average net assets (in thousands) | $ | 116,236 | $ | 169,569 | $ | 160,703 | $ | 141,287 | $ | 101,464 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 9.13 | % | 6.71 | % | 6.80 | % | 6.54 | % | 6.63 | % | ||||||||||
Total expenses | 1.05 | %4 | 1.01 | %4 | 1.00 | %4 | 1.00 | % | 1.01 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.03 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.01 | % | ||||||||||
Portfolio turnover rate | 53 | %5 | 67 | %5 | 57 | % | 64 | % | 51 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 1.05 | % | ||
Year Ended December 31, 2007 | 1.02 | % | ||
Year Ended December 31, 2006 | 1.00 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Class 3 Shares Year Ended December 31, | 2008 | 20071 | ||||||
Per Share Operating Data | ||||||||
Net asset value, beginning of period | $ | 7.98 | $ | 8.26 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income2 | .56 | .37 | ||||||
Net realized and unrealized loss | (6.50 | ) | (.65 | ) | ||||
Total from investment operations | (5.94 | ) | (.28 | ) | ||||
Dividends and/or distributions to shareholders: | ||||||||
Dividends from net investment income | (.47 | ) | — | |||||
Net asset value, end of period | $ | 1.57 | $ | 7.98 | ||||
Total Return, at Net Asset Value3 | (78.89 | )% | (3.39 | )% | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $ | 1,582 | $ | 4,921 | ||||
Average net assets (in thousands) | $ | 5,292 | $ | 3,750 | ||||
Ratios to average net assets:4 | ||||||||
Net investment income | 9.29 | % | 6.90 | % | ||||
Total expenses5 | 0.80 | % | 0.76 | % | ||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.75 | % | ||||
Portfolio turnover rate6 | 53 | % | 67 | % |
1. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.80 | % | ||
Period Ended December 31, 2007 | 0.77 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Period Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Class 4 Shares Year Ended December 31, | 2008 | 20071 | ||||||
Per Share Operating Data | ||||||||
Net asset value, beginning of period | $ | 7.97 | $ | 8.26 | ||||
Income (loss) from investment operations: | ||||||||
Net investment income2 | .54 | .36 | ||||||
Net realized and unrealized loss | (6.46 | ) | (.65 | ) | ||||
Total from investment operations | (5.92 | ) | (.29 | ) | ||||
Dividends and/or distributions to shareholders: | ||||||||
Dividends from net investment income | (.46 | ) | — | |||||
Net asset value, end of period | $ | 1.59 | $ | 7.97 | ||||
Total Return, at Net Asset Value3 | (78.63 | )% | (3.51 | )% | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (in thousands) | $ | 4,167 | $ | 9,476 | ||||
Average net assets (in thousands) | $ | 10,658 | $ | 7,201 | ||||
Ratios to average net assets:4 | ||||||||
Net investment income | 9.00 | % | 6.61 | % | ||||
Total expenses5 | 1.07 | % | 1.05 | % | ||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.04 | % | ||||
Portfolio turnover rate6 | 53 | % | 67 | % |
1. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 1.07 | % | ||
Period Ended December 31, 2007 | 1.06 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Period Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5 | Tax Purposes | |||||||||
$ — | $ | — | $ | 229,873,294 | $ | 98,153,945 |
1. | As of December 31, 2008, the Fund had $135,987,641 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2009 | $ | 22,696,701 | ||
2010 | 56,061,391 | |||
2011 | 8,529,303 | |||
2012 | 128,504 | |||
2016 | 48,571,742 | |||
Total | $ | 135,987,641 | ||
2. | As of December 31, 2008, the Fund had $93,885,653 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
4. | During the fiscal year ended December 31, 2007, the Fund utilized $4,768,054 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
5. | During the fiscal year ended December 31, 2008, $9,779,664 of unused capital loss carryforward expired. |
Reduction to | ||||||||
Reduction to | Accumulated Net | |||||||
Reduction to Paid-in | Accumulated Net | Realized Loss on | ||||||
Capital | Investment Income | Investments | ||||||
$107,447,213 | $ | 9,034,190 | $ | 116,481,403 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 25,945,956 | $ | 36,799,012 |
Federal tax cost of securities | $ | 291,496,007 | ||
Federal tax cost of other investments | (41,856,620 | ) | ||
Total federal tax cost | $ | 249,639,387 | ||
Gross unrealized appreciation | $ | 2,609,753 | ||
Gross unrealized depreciation | (100,763,698 | ) | ||
Net unrealized depreciation | $ | (98,153,945 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 20071 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 46,686,845 | $ | 99,443,229 | 6,787,194 | $ | 55,828,051 | ||||||||||
Dividends and/or distributions reinvested | 2,553,668 | 16,471,157 | 3,059,768 | 24,967,707 | ||||||||||||
Redeemed | (16,133,552 | ) | (96,215,152 | ) | (15,007,275 | ) | (123,225,961 | ) | ||||||||
Net increase (decrease) | 33,106,961 | $ | 19,699,234 | (5,160,313 | ) | $ | (42,430,203 | ) | ||||||||
Service Shares | ||||||||||||||||
Sold | 11,108,688 | $ | 27,272,759 | 3,742,971 | $ | 30,663,500 | ||||||||||
Dividends and/or distributions reinvested | 1,335,035 | 8,570,925 | 1,457,057 | 11,831,305 | ||||||||||||
Redeemed | (4,887,160 | ) | (30,634,091 | ) | (5,655,204 | ) | (46,330,323 | ) | ||||||||
Net increase (decrease) | 7,556,563 | $ | 5,209,593 | (455,176 | ) | $ | (3,835,518 | ) | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 1,353,807 | $ | 7,210,645 | 881,563 | $ | 7,225,930 | ||||||||||
Dividends and/or distributions reinvested | 45,225 | 292,606 | — | — | ||||||||||||
Redeemed | (1,006,838 | ) | (5,694,397 | )2 | (264,827 | ) | (2,134,229 | )3 | ||||||||
Net increase | 392,194 | $ | 1,808,854 | 616,736 | $ | 5,091,701 | ||||||||||
Class 4 Shares | ||||||||||||||||
Sold | 2,743,234 | $ | 12,307,065 | 1,978,987 | $ | 16,140,299 | ||||||||||
Dividends and/or distributions reinvested | 94,331 | 611,268 | — | — | ||||||||||||
Redeemed | (1,409,411 | ) | (8,058,843 | )2 | (790,328 | ) | (6,304,642 | )3 | ||||||||
Net increase | 1,428,154 | $ | 4,859,490 | 1,188,659 | $ | 9,835,657 | ||||||||||
1. | For the year ended December 31, 2007, for non-service and service shares, and for the period from May 1, 2007 (inception of offering) to December 31, 2007 for Class 3 and Class 4 shares. | |
2. | Net of redemption fees of $3,056 and $11,199 for Class 3 and Class 4 shares, respectively. | |
3. | Net of redemption fees of $10,660 and $30,654 for Class 3 and Class 4 shares, respectively. |
Purchases | Sales | |||||||
Investment securities | $ | 156,305,813 | $ | 346,254,575 | ||||
To Be Announced (TBA) mortgage- related securities | 40,240,084 | 41,196,921 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Over $1 billion | 0.50 |
February 11, 2009
Name, Position(s) Held with the Funds, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several posi- tions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924; for Messrs. Bomfim, Caan, Gord and Swaney, 470 Atlantic Avenue, 11th Floor, Boston, Massachusetts 02210. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Antulio N. Bomfim, Vice President and Portfolio Manager (since 2006) Age: 41 | Vice President of the Manager (since October 2003); Senior Economist at the Board of Governors of the Federal Reserve System (June 1992-October 2003). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Geoffrey Caan, Vice President and Portfolio Manager (since 2006) Age: 39 | Vice President of the Manager (since August 2003); Vice President of ABN AMRO NA, Inc. (June 2002-August 2003); Vice President of Zurich Scudder Investments (January 1999-June 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. |
Benjamin J. Gord, Vice President and Portfolio Manager (since 2006) Age: 46 | Vice President of the Manager (since April 2002) of HarbourView Asset Management Corporation (since April 2002) and of OFI Institutional Asset Management, Inc. (as of June 2002); Executive Director and senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (April 1992-March 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Thomas Swaney, Vice President and Portfolio Manager (since 2006) Age: 36 | Vice President of the Manager (since April 2006); senior analyst, high grade investment team (June 2002- March 2006); senior fixed income analyst at Miller Anderson & Sherrerd, a division of Morgan Stanley Investment Management (May 1998-May 2002). A portfolio manager and officer of 11 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: | |
OAC (since March 1999), Centennial Asset Management Corporation (March 1999- October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | ||
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
December 31, 2008 Oppenheimer Management Main Street Fund®/VA Commentaries and A Series of Oppenheimer Variable Account Funds Annual Report M A N A G E M E N T C O M M E N T A R I E S Listing of Top Holdings A N N U A L R E P O RT Fund Performance Discussion Listing of Investments Financial Statements 1234 |
3 | OPPENHEIMER MAIN STREET FUND/VA
4 | OPPENHEIMER MAIN STREET FUND/VA
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
5 | OPPENHEIMER MAIN STREET FUND/VA
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 680.40 | $ | 2.84 | ||||||
Service Shares | 1,000.00 | 679.50 | 3.89 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.77 | 3.41 | |||||||||
Service Shares | 1,000.00 | 1,020.51 | 4.68 |
Class | Expense Ratios | |||
Non-Service Shares | 0.67 | % | ||
Service Shares | 0.92 |
6 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Common Stocks—99.2% | ||||||||
Consumer Discretionary—9.5% | ||||||||
Auto Components—0.5% | ||||||||
ArvinMeritor, Inc.1 | 56,400 | $ | 160,740 | |||||
Autoliv, Inc. | 52,500 | 1,126,650 | ||||||
BorgWarner, Inc.1 | 44,000 | 957,880 | ||||||
Exide Technologies2 | 5,300 | 28,037 | ||||||
Federal-Mogul Corp.2 | 500 | 2,115 | ||||||
Gentex Corp. | 54,400 | 480,352 | ||||||
Goodyear Tire & Rubber Co. (The)2 | 130,700 | 780,279 | ||||||
Johnson Controls, Inc. | 136,500 | 2,478,840 | ||||||
Lear Corp.2 | 63,500 | 89,535 | ||||||
TRW Automotive Holdings Corp.2 | 100,700 | 362,520 | ||||||
WABCO Holdings, Inc. | 62,400 | 985,296 | ||||||
7,452,244 | ||||||||
Automobiles—0.0% | ||||||||
Thor Industries, Inc.1 | 45,000 | 593,100 | ||||||
Distributors—0.0% | ||||||||
LKQ Corp.1,2 | 17,100 | 199,386 | ||||||
Diversified Consumer Services—0.2% | ||||||||
Brink’s Home Security Holdings, Inc.2 | 11,100 | 243,312 | ||||||
Career Education Corp.1,2 | 44,631 | 800,680 | ||||||
Corinthian Colleges, Inc.2 | 22,200 | 363,414 | ||||||
Hillenbrand, Inc. | 2,700 | 45,036 | ||||||
Regis Corp. | 14,000 | 203,420 | ||||||
Service Corp. International1 | 92,800 | 461,216 | ||||||
2,117,078 | ||||||||
Hotels, Restaurants & Leisure—0.9% | ||||||||
Ameristar Casinos, Inc.1 | 8,800 | 76,032 | ||||||
Bally Technologies, Inc.2 | 8,200 | 197,046 | ||||||
Bob Evans Farms, Inc. | 23,600 | 482,148 | ||||||
Boyd Gaming Corp.1 | 90,700 | 429,011 | ||||||
Brinker International, Inc.1 | 76,500 | 806,310 | ||||||
Carnival Corp. | 70,400 | 1,712,128 | ||||||
CEC Entertainment, Inc.2 | 37,400 | 906,950 | ||||||
Chipotle Mexican Grill, Inc., Cl. B2 | 619 | 35,463 | ||||||
International Speedway Corp., Cl. A | 16,300 | 468,299 | ||||||
Interval Leisure Group, Inc.2 | 16,840 | 90,768 | ||||||
Jack in the Box, Inc.2 | 48,400 | 1,069,156 | ||||||
Life Time Fitness, Inc.1,2 | 16,400 | 212,380 | ||||||
McDonald’s Corp. | 37,800 | 2,350,782 | ||||||
Panera Bread Co., Cl. A1,2 | 14,500 | 757,480 | ||||||
Papa John’s International, Inc.2 | 5,900 | 108,737 | ||||||
Sonic Corp.2 | 20,000 | 243,400 | ||||||
Speedway Motorsports, Inc. | 13,000 | 209,430 | ||||||
Vail Resorts, Inc.1,2 | 20,800 | 553,280 | ||||||
WMS Industries, Inc.1,2 | 38,700 | 1,041,030 | ||||||
Wyndham Worldwide Corp. | 109,700 | 718,535 | ||||||
12,468,365 | ||||||||
Household Durables—0.4% | ||||||||
American Greetings Corp., Cl. A | 36,577 | 276,888 | ||||||
Centex Corp.1 | 45,900 | 488,376 | ||||||
Harman International Industries, Inc. | 54,300 | 908,439 | ||||||
Jarden Corp.2 | 8,800 | 101,200 | ||||||
KB Home | 21,300 | 290,106 | ||||||
Lennar Corp., Cl. A1 | 72,800 | 631,176 | ||||||
MDC Holdings, Inc. | 5,900 | 178,770 | ||||||
Meritage Homes Corp.2 | 10,600 | 129,002 | ||||||
Pulte Homes, Inc. | 7,900 | 86,347 | ||||||
Ryland Group, Inc. (The) | 29,000 | 512,430 | ||||||
Snap-On, Inc. | 28,000 | 1,102,640 | ||||||
Stanley Works (The) | 25,100 | 855,910 | ||||||
Tempur-Pedic International, Inc.1 | 71,100 | 504,099 | ||||||
6,065,383 | ||||||||
Internet & Catalog Retail—0.3% | ||||||||
Expedia, Inc.2 | 114,600 | 944,304 | ||||||
HSN, Inc.2 | 16,840 | 122,427 | ||||||
Liberty Media Corp.-Interactive, Series A2 | 201,500 | 628,680 | ||||||
NetFlix.com, Inc.1,2 | 48,500 | 1,449,665 | ||||||
Priceline.com, Inc.1,2 | 17,100 | 1,259,415 | ||||||
Ticketmaster Entertainment, Inc.2 | 16,840 | 108,113 | ||||||
4,512,604 | ||||||||
Leisure Equipment & Products—0.1% | ||||||||
Brunswick Corp.1 | 97,100 | 408,791 | ||||||
Callaway Golf Co. | 71,100 | 660,519 | ||||||
Polaris Industries, Inc.1 | 20,700 | 593,055 | ||||||
Pool Corp. | 7,852 | 141,100 | ||||||
1,803,465 | ||||||||
Media—3.4% | ||||||||
Arbitron, Inc. | 6,100 | 81,008 | ||||||
Cablevision Systems Corp. New York Group, Cl. A | 63,200 | 1,064,288 | ||||||
CBS Corp., Cl. B1 | 816,600 | 6,687,954 | ||||||
Central European Media Enterprises Ltd., Cl. A1,2 | 4,200 | 91,224 | ||||||
Cinemark Holdings, Inc. | 700 | 5,201 | ||||||
Clear Channel Outdoor Holdings, Inc., Cl. A1,2 | 25,200 | 154,980 |
F1 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Media Continued | ||||||||
Cox Radio, Inc., Cl. A1,2 | 20,196 | $ | 121,378 | |||||
DirecTV Group, Inc. (The)2 | 148,300 | 3,397,553 | ||||||
Dish Network Corp., Cl. A2 | 88,400 | 980,356 | ||||||
DreamWorks Animation SKG, Inc., Cl. A2 | 47,800 | 1,207,428 | ||||||
Gannett Co., Inc.1 | 84,300 | 674,400 | ||||||
Harte-Hanks, Inc. | 15,800 | 98,592 | ||||||
Hearst-Argyle Television, Inc. | 2,700 | 16,362 | ||||||
Lamar Advertising Co., Cl. A1,2 | 48,500 | 609,160 | ||||||
Liberty Media Corp.-Entertainment, Series A2 | 54,400 | 950,912 | ||||||
Liberty Media Holding Corp.-Capital, Series A2 | 16,900 | 79,599 | ||||||
McGraw-Hill Cos., Inc. (The) | 113,400 | 2,629,746 | ||||||
Mediacom Communications Corp.2 | 1,300 | 5,590 | ||||||
Meredith Corp.1 | 54,300 | 929,616 | ||||||
News Corp., Inc., Cl. A | 690,669 | 6,278,181 | ||||||
Scholastic Corp. | 28,200 | 382,956 | ||||||
Time Warner, Inc. | 1,569,400 | 15,788,164 | ||||||
Viacom, Inc., Cl. B2 | 90,173 | 1,718,697 | ||||||
Walt Disney Co. (The) | 250,600 | 5,686,114 | ||||||
Warner Music Group Corp. | 31,200 | 94,224 | ||||||
49,733,683 | ||||||||
Multiline Retail—0.4% | ||||||||
Big Lots, Inc.1,2 | 56,600 | 820,134 | ||||||
Dillard’s, Inc., Cl. A1 | 96,400 | 382,708 | ||||||
Dollar Tree, Inc.2 | 36,300 | 1,517,340 | ||||||
Kohl’s Corp.2 | 49,600 | 1,795,520 | ||||||
Macy’s, Inc. | 112,800 | 1,167,480 | ||||||
Nordstrom, Inc.1 | 55,000 | 732,050 | ||||||
6,415,232 | ||||||||
Specialty Retail—2.7% | ||||||||
Aaron Rents, Inc. | 14,800 | 393,976 | ||||||
Abercrombie & Fitch Co., Cl. A1 | 46,800 | 1,079,676 | ||||||
Aeropostale, Inc.2 | 83,300 | 1,341,130 | ||||||
American Eagle Outfitters, Inc. | 91,100 | 852,696 | ||||||
AnnTaylor Stores Corp.2 | 107,700 | 621,429 | ||||||
AutoNation, Inc.1,2 | 127,400 | 1,258,712 | ||||||
Barnes & Noble, Inc.1 | 55,500 | 832,500 | ||||||
bebe stores, inc. | 34,400 | 256,968 | ||||||
Best Buy Co., Inc.1 | 300,500 | 8,447,055 | ||||||
Buckle, Inc. (The)1 | 32,100 | 700,422 | ||||||
Chico’s FAS, Inc.2 | 7,500 | 31,350 | ||||||
Children’s Place Retail Stores, Inc.1,2 | 43,800 | 949,584 | ||||||
Dress Barn, Inc. (The)1,2 | 62,200 | 668,028 | ||||||
Foot Locker, Inc. | 74,400 | 546,096 | ||||||
Gap, Inc. (The) | 493,300 | 6,605,287 | ||||||
Guess?, Inc. | 31,100 | 477,385 | ||||||
Gymboree Corp.2 | 13,600 | 354,824 | ||||||
Home Depot, Inc. (The) | 90,400 | 2,081,008 | ||||||
J. Crew Group, Inc.2 | 3,800 | 46,360 | ||||||
Limited Brands, Inc. | 115,200 | 1,156,608 | ||||||
Lowe’s Cos., Inc. | 26,000 | 559,520 | ||||||
Men’s Wearhouse, Inc. (The)1 | 51,500 | 697,310 | ||||||
Office Depot, Inc.2 | 192,500 | 573,650 | ||||||
OfficeMax, Inc. | 11,300 | 86,332 | ||||||
Penske Automotive Group, Inc.1 | 35,600 | 273,408 | ||||||
RadioShack Corp. | 67,200 | 802,368 | ||||||
Rent-A-Center, Inc.2 | 47,300 | 834,845 | ||||||
Ross Stores, Inc. | 16,300 | 484,599 | ||||||
Sally Beauty Holdings, Inc.1,2 | 63,600 | 361,884 | ||||||
Sherwin-Williams Co. | 20,100 | 1,200,975 | ||||||
Signet Jewelers Ltd. | 1,000 | 8,670 | ||||||
Talbots, Inc. (The)1 | 36,600 | 87,474 | ||||||
TJX Cos., Inc. (The) | 82,600 | 1,699,082 | ||||||
Tractor Supply Co.1,2 | 31,600 | 1,142,024 | ||||||
Urban Outfitters, Inc.2 | 17,200 | 257,656 | ||||||
Williams-Sonoma, Inc. | 116,300 | 914,118 | ||||||
Zale Corp.1,2 | 39,804 | 132,547 | ||||||
38,817,556 | ||||||||
Textiles, Apparel & Luxury Goods—0.6% | ||||||||
Carter’s, Inc.2 | 28,100 | 541,206 | ||||||
Coach, Inc.2 | 79,200 | 1,644,984 | ||||||
Fossil, Inc.2 | 39,300 | 656,310 | ||||||
Jones Apparel Group, Inc. | 81,300 | 476,418 | ||||||
Liz Claiborne, Inc.1 | 155,500 | 404,300 | ||||||
Phillips/Van Heusen Corp. | 42,202 | 849,526 | ||||||
Polo Ralph Lauren Corp., Cl. A | 18,500 | 840,085 | ||||||
Quicksilver, Inc.2 | 67,800 | 124,752 | ||||||
Skechers USA, Inc., Cl. A2 | 20,000 | 256,400 | ||||||
Timberland Co., Cl. A2 | 49,000 | 565,950 | ||||||
UniFirst Corp. | 4,600 | 136,574 | ||||||
Warnaco Group, Inc. (The)2 | 63,900 | 1,254,357 | ||||||
Wolverine World Wide, Inc. | 37,700 | 793,208 | ||||||
8,544,070 | ||||||||
Consumer Staples—5.4% | ||||||||
Beverages—0.9% | ||||||||
Coca-Cola Co. (The) | 162,200 | 7,342,794 | ||||||
PepsiCo, Inc. | 96,250 | 5,271,613 | ||||||
12,614,407 |
F2 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Food & Staples Retailing—1.9% | ||||||||
Casey’s General Stores, Inc. | 22,800 | $ | 519,156 | |||||
CVS Caremark Corp. | 59,000 | 1,695,660 | ||||||
Kroger Co. (The) | 156,700 | 4,138,447 | ||||||
Safeway, Inc. | 413,600 | 9,831,272 | ||||||
SUPERVALU, Inc. | 27,800 | 405,880 | ||||||
Wal-Mart Stores, Inc. | 205,300 | 11,509,118 | ||||||
Weis Markets, Inc. | 2,400 | 80,712 | ||||||
Winn-Dixie Stores, Inc.2 | 4,100 | 66,010 | ||||||
28,246,255 | ||||||||
Food Products—0.1% | ||||||||
Bunge Ltd. | 4,700 | 243,319 | ||||||
Darling International, Inc.2 | 15,600 | 85,644 | ||||||
Del Monte Foods Co. | 24,100 | 172,074 | ||||||
Fresh Del Monte Produce, Inc.2 | 5,600 | 125,552 | ||||||
Ralcorp Holdings, Inc.2 | 6,200 | 362,080 | ||||||
988,669 | ||||||||
Household Products—1.4% | ||||||||
Procter & Gamble Co. (The) | 341,299 | 21,099,104 | ||||||
Personal Products—0.2% | ||||||||
Chattem, Inc.1,2 | 7,700 | 550,781 | ||||||
Herbalife Ltd. | 53,400 | 1,157,712 | ||||||
NBTY, Inc.2 | 53,200 | 832,580 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A | 16,600 | 173,138 | ||||||
Revlon, Inc., Cl. A2 | 3,000 | 20,010 | ||||||
2,734,221 | ||||||||
Tobacco—0.9% | ||||||||
Altria Group, Inc. | 91,000 | 1,370,460 | ||||||
Philip Morris International, Inc. | 250,200 | 10,886,202 | ||||||
Universal Corp.1 | 12,200 | 364,414 | ||||||
12,621,076 | ||||||||
Energy—20.0% | ||||||||
Energy Equipment & Services—3.2% | ||||||||
Baker Hughes, Inc. | 147,100 | 4,717,497 | ||||||
Basic Energy Services, Inc.2 | 15,400 | 200,816 | ||||||
BJ Services Co. | 69,500 | 811,065 | ||||||
Complete Production Services, Inc.2 | 75,100 | 612,065 | ||||||
Diamond Offshore Drilling, Inc.1 | 29,900 | 1,762,306 | ||||||
Dresser-Rand Group, Inc.2 | 50,860 | 877,335 | ||||||
Dril-Quip, Inc.2 | 12,800 | 262,528 | ||||||
ENSCO International, Inc. | 35,200 | 999,328 | ||||||
Exterran Holdings, Inc.1,2 | 23,300 | 496,290 | ||||||
Gulfmark Offshore, Inc.2 | 10,600 | 252,174 | ||||||
Halliburton Co. | 226,400 | 4,115,952 | ||||||
Helix Energy Solutions Group, Inc.2 | 33,049 | 239,275 | ||||||
Helmerich & Payne, Inc. | 26,200 | 596,050 | ||||||
Hercules Offshore, Inc.1,2 | 3,800 | 18,050 | ||||||
Hornbeck Offshore Services, Inc.2 | 1,300 | 21,242 | ||||||
ION Geophysical Corp.2 | 3,600 | 12,348 | ||||||
Key Energy Services, Inc.2 | 137,500 | 606,375 | ||||||
Lufkin Industries, Inc. | 6,800 | 234,600 | ||||||
Nabors Industries Ltd.2 | 65,300 | 781,641 | ||||||
National Oilwell Varco, Inc.2 | �� | 123,200 | 3,011,008 | |||||
Noble Corp. | 308,700 | 6,819,183 | ||||||
Oceaneering International, Inc.2 | 24,800 | 722,672 | ||||||
Oil States International, Inc.1,2 | 56,745 | 1,060,564 | ||||||
Parker Drilling Co.2 | 70,200 | 203,580 | ||||||
Patterson-UTI Energy, Inc. | 65,200 | 750,452 | ||||||
Pioneer Drilling Co.2 | 3,300 | 18,381 | ||||||
Precision Drilling Trust1 | 5,763 | 47,697 | ||||||
Pride International, Inc.2 | 45,900 | 733,482 | ||||||
Schlumberger Ltd. | 137,000 | 5,799,210 | ||||||
Seacor Holdings, Inc.1,2 | 15,900 | 1,059,735 | ||||||
Smith International, Inc. | 6,100 | 139,629 | ||||||
Superior Energy Services, Inc.2 | 51,600 | 821,988 | ||||||
Tetra Technologies, Inc.2 | 10,400 | 50,544 | ||||||
Tidewater, Inc. | 20,400 | 821,508 | ||||||
Transocean Ltd.2 | 70,000 | 3,307,500 | ||||||
Unit Corp.2 | 35,855 | 958,046 | ||||||
Weatherford International Ltd.2 | 221,400 | 2,395,548 | ||||||
46,337,664 | ||||||||
Oil, Gas & Consumable Fuels—16.8% | ||||||||
Anadarko Petroleum Corp. | 337,900 | 13,026,045 | ||||||
Apache Corp. | 205,000 | 15,278,650 | ||||||
Arena Resources, Inc.2 | 8,000 | 224,720 | ||||||
Berry Petroleum Co., Cl. A | 44,600 | 337,176 | ||||||
Bill Barrett Corp.2 | 26,200 | 553,606 | ||||||
BPZ Resources, Inc.2 | 2,100 | 13,440 | ||||||
Carrizo Oil & Gas, Inc.2 | 14,100 | 227,010 | ||||||
Chesapeake Energy Corp.1 | 116,500 | 1,883,805 | ||||||
Chevron Corp. | 437,326 | 32,349,004 | ||||||
Cimarex Energy Co. | 29,300 | 784,654 | ||||||
ConocoPhillips | 445,483 | 23,076,019 | ||||||
Contango Oil & Gas Co.2 | 1,000 | 56,300 | ||||||
CVR Energy, Inc.2 | 14,000 | 56,000 | ||||||
Delta Petroleum Corp.1,2 | 22,000 | 104,720 | ||||||
Denbury Resources, Inc.2 | 71,100 | 776,412 | ||||||
Devon Energy Corp. | 84,500 | 5,552,495 | ||||||
Encore Acquisition Co.2 | 24,500 | 625,240 |
F3 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Exxon Mobil Corp. | 827,456 | $ | 66,055,812 | |||||
Foundation Coal Holdings, Inc. | 64,400 | 902,888 | ||||||
Frontier Oil Corp. | 83,900 | 1,059,657 | ||||||
Frontline Ltd.1 | 21,200 | 627,732 | ||||||
Hess Corp.1 | 176,800 | 9,483,552 | ||||||
Holly Corp. | 19,400 | 353,662 | ||||||
International Coal Group, Inc.2 | 6,200 | 14,260 | ||||||
Marathon Oil Corp. | 355,800 | 9,734,688 | ||||||
Mariner Energy, Inc.2 | 89,200 | 909,840 | ||||||
Massey Energy Co. | 49,700 | 685,363 | ||||||
McMoRan Exploration Co.2 | 18,400 | 180,320 | ||||||
Murphy Oil Corp. | 159,600 | 7,078,260 | ||||||
Noble Energy, Inc. | 139,300 | 6,856,346 | ||||||
Nordic American Tanker Shipping Ltd. | 400 | 13,500 | ||||||
Occidental Petroleum Corp. | 361,800 | 21,704,382 | ||||||
Overseas Shipholding Group, Inc. | 26,400 | 1,111,704 | ||||||
Pioneer Natural Resources Co. | 21,800 | 352,724 | ||||||
Plains Exploration & Production Co.2 | 40,700 | 945,868 | ||||||
Quicksilver Resources, Inc.2 | 61,600 | 343,112 | ||||||
Rosetta Resources, Inc.2 | 35,400 | 250,632 | ||||||
St. Mary Land & Exploration Co. | 10,200 | 207,162 | ||||||
Stone Energy Corp.2 | 64,245 | 707,980 | ||||||
Sunoco, Inc.1 | 32,300 | 1,403,758 | ||||||
Swift Energy Co.2 | 39,400 | 662,314 | ||||||
Tesoro Corp. | 133,200 | 1,754,244 | ||||||
Valero Energy Corp. | 477,900 | 10,341,756 | ||||||
W&T Offshore, Inc. | 66,700 | 955,144 | ||||||
Walter Industries, Inc. | 14,300 | 250,393 | ||||||
Whiting Petroleum Corp.2 | 6,400 | 214,144 | ||||||
Williams (Clayton) Energy, Inc.2 | 2,100 | 95,424 | ||||||
World Fuel Services Corp. | 700 | 25,900 | ||||||
XTO Energy, Inc. | 109,600 | 3,865,592 | ||||||
244,073,409 | ||||||||
Financials—8.9% | ||||||||
Capital Markets—1.6% | ||||||||
Affiliated Managers Group, Inc.2 | 5,700 | 238,944 | ||||||
Ameriprise Financial, Inc. | 47,600 | 1,111,936 | ||||||
BlackRock, Inc.1 | 10,400 | 1,395,160 | ||||||
Cohen & Steers, Inc. | 800 | 8,792 | ||||||
E*TRADE Financial Corp.1,2 | 274,400 | 315,560 | ||||||
Franklin Resources, Inc. | 49,600 | 3,163,488 | ||||||
GAMCO Investors, Inc., Cl. A | 3,500 | 95,620 | ||||||
GLG Partners, Inc. | 1,600 | 3,632 | ||||||
Goldman Sachs Group, Inc. (The)1 | 57,000 | 4,810,230 | ||||||
Greenhill & Co., Inc.1 | 9,000 | 627,930 | ||||||
Investment Technology Group, Inc.2 | 11,600 | 263,552 | ||||||
Janus Capital Group, Inc. | 65,500 | 525,965 | ||||||
Jefferies Group, Inc. | 15,900 | 223,554 | ||||||
KBW, Inc.1,2 | 12,600 | 289,800 | ||||||
Knight Capital Group, Inc., Cl. A2 | 52,700 | 851,105 | ||||||
Lazard Ltd., Cl. A | 13,500 | 401,490 | ||||||
Legg Mason, Inc. | 48,300 | 1,058,253 | ||||||
Piper Jaffray Cos., Inc.2 | 17,800 | 707,728 | ||||||
SEI Investments Co. | 28,900 | 454,019 | ||||||
Stifel Financial Corp.2 | 13,000 | 596,050 | ||||||
T. Rowe Price Group, Inc.1 | 84,700 | 3,001,768 | ||||||
TD Ameritrade Holding Corp.2 | 178,800 | 2,547,900 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 4,800 | 74,208 | ||||||
22,766,684 | ||||||||
Commercial Banks—1.6% | ||||||||
Cathay Bancorp, Inc.1 | 17,400 | 413,250 | ||||||
Colonial BancGroup, Inc. (The)1 | 118,400 | 245,088 | ||||||
East West Bancorp, Inc. | 54,700 | 873,559 | ||||||
First BanCorp | 16,100 | 179,354 | ||||||
First Citizens BancShares, Inc., Cl. A | 200 | 30,560 | ||||||
First Commonwealth Financial Corp. | 700 | 8,666 | ||||||
First Horizon National Corp. | 150,618 | 1,592,032 | ||||||
First Midwest Bancorp, Inc.1 | 20,600 | 411,382 | ||||||
FirstMerit Corp. | 17,100 | 352,089 | ||||||
Hancock Holding Co.1 | 6,800 | 309,128 | ||||||
International Bancshares Corp. | 14,400 | 314,352 | ||||||
National Penn Bancshares, Inc.1 | 33,300 | 483,183 | ||||||
Old National Bancorp1 | 30,300 | 550,248 | ||||||
Pacific Capital Bancorp | 56,600 | 955,408 | ||||||
PacWest Bancorp1 | 24,411 | 656,656 | ||||||
Park National Corp.1 | 1,900 | 136,325 | ||||||
Popular, Inc.1 | 148,000 | 763,680 | ||||||
Regions Financial Corp. | 163,900 | 1,304,644 | ||||||
Sterling Financial Corp., Western US1 | 13,000 | 114,400 | ||||||
Susquehanna Bancshares, Inc.1 | 35,900 | 571,169 | ||||||
Trustmark Corp.1 | 14,700 | 317,373 | ||||||
U.S. Bancorp | 182,000 | 4,551,820 |
F4 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Commercial Banks Continued | ||||||||
UCBH Holdings, Inc. | 55,500 | $ | 381,840 | |||||
Umpqua Holdings Corp.1 | 19,600 | 283,612 | ||||||
United Community Banks, Inc.1 | 11,430 | 155,219 | ||||||
Webster Financial Corp. | 55,000 | 757,900 | ||||||
Wells Fargo & Co. | 197,200 | 5,813,456 | ||||||
Whitney Holding Corp. | 10,000 | 159,900 | ||||||
Wintrust Financial Corp. | 2,400 | 49,368 | ||||||
Zions Bancorp | 17,500 | 428,925 | ||||||
23,164,586 | ||||||||
Consumer Finance—0.3% | ||||||||
AmeriCredit Corp.1,2 | 71,900 | 549,316 | ||||||
Capital One Financial Corp. | 23,800 | 758,982 | ||||||
Cash America International, Inc. | 33,500 | 916,225 | ||||||
Discover Financial Services | 150,300 | 1,432,359 | ||||||
EZCORP, Inc., Cl. A2 | 8,100 | 123,201 | ||||||
Nelnet, Inc., Cl. A | 11,700 | 167,661 | ||||||
Student Loan Corp. (The) | 2,700 | 110,700 | ||||||
4,058,444 | ||||||||
Diversified Financial Services—1.6% | ||||||||
Bank of America Corp. | 589,109 | 8,294,655 | ||||||
CIT Group, Inc. | 163,200 | 740,928 | ||||||
Interactive Brokers Group, Inc., Cl. A2 | 39,200 | 701,288 | ||||||
JPMorgan Chase & Co. | 349,444 | 11,017,969 | ||||||
NYSE Euronext | 93,500 | 2,560,030 | ||||||
PHH Corp.1,2 | 24,400 | 310,612 | ||||||
Pico Holdings, Inc.2 | 400 | 10,632 | ||||||
23,636,114 | ||||||||
Insurance—3.7% | ||||||||
Allied World Assurance Holdings Ltd. | 24,900 | 1,010,940 | ||||||
Allstate Corp. | 44,400 | 1,454,544 | ||||||
American Financial Group, Inc. | 55,200 | 1,262,976 | ||||||
American National Insurance Co. | 500 | 36,865 | ||||||
AmTrust Financial Services, Inc. | 3,200 | 37,120 | ||||||
Arch Capital Group Ltd.2 | 10,000 | 701,000 | ||||||
Aspen Insurance Holdings Ltd. | 46,100 | 1,117,925 | ||||||
Assured Guaranty Ltd.1 | 23,000 | 262,200 | ||||||
Axis Capital Holdings Ltd. | 45,300 | 1,319,136 | ||||||
Berkley (W.R.) Corp. | 53,200 | 1,649,200 | ||||||
Berkshire Hathaway, Inc., Cl. B2 | 1,664 | 5,348,096 | ||||||
Brown & Brown, Inc. | 61,200 | 1,279,080 | ||||||
Chubb Corp.1 | 114,900 | 5,859,900 | ||||||
Cincinnati Financial Corp. | 25,056 | 728,378 | ||||||
CNA Financial Corp. | 55,600 | 914,064 | ||||||
CNA Surety Corp.2 | 4,600 | 88,320 | ||||||
Conseco, Inc.2 | 35,800 | 185,444 | ||||||
Delphi Financial Group, Inc., Cl. A | 33,300 | 614,052 | ||||||
Employers Holdings, Inc. | 27,200 | 448,800 | ||||||
Endurance Specialty Holdings Ltd. | 19,300 | 589,229 | ||||||
FBL Financial Group, Inc., Cl. A | 1,500 | 23,175 | ||||||
Fidelity National Title Group, Inc., Cl. A | 22,500 | 399,375 | ||||||
First American Corp. | 5,700 | 164,673 | ||||||
Flagstone Reinsurance Holdings Ltd. | 2,000 | 19,540 | ||||||
Genworth Financial, Inc., Cl. A | 126,500 | 357,995 | ||||||
Hanover Insurance Group, Inc. | 20,000 | 859,400 | ||||||
Harleysville Group, Inc. | 9,600 | 333,408 | ||||||
Hartford Financial Services Group, Inc. (The) | 31,100 | 510,662 | ||||||
HCC Insurance Holdings, Inc. | 30,200 | 807,850 | ||||||
Infinity Property & Casualty Corp. | 1,100 | 51,403 | ||||||
IPC Holdings Ltd. | 35,100 | 1,049,490 | ||||||
Lincoln National Corp. | 52,800 | 994,752 | ||||||
Loews Corp. | 170,933 | 4,828,857 | ||||||
Max Capital Group Ltd. | 37,700 | 667,290 | ||||||
Montpelier Re Holdings Ltd. | 15,700 | 263,603 | ||||||
Nationwide Financial Services, Inc., Cl. A | 8,100 | 422,901 | ||||||
Navigators Group, Inc. (The)2 | 4,900 | 269,059 | ||||||
Odyssey Re Holdings Corp. | 24,600 | 1,274,526 | ||||||
Old Republic International Corp. | 39,300 | 468,456 | ||||||
OneBeacon Insurance Group Ltd. | 11,700 | 122,148 | ||||||
Partnerre Holdings Ltd. | 14,800 | 1,054,796 | ||||||
Phoenix Cos., Inc. (The) | 32,600 | 106,602 | ||||||
Platinum Underwriters Holdings Ltd. | 34,700 | 1,251,976 | ||||||
ProAssurance Corp.2 | 14,300 | 754,754 | ||||||
Protective Life Corp. | 73,100 | 1,048,985 | ||||||
Prudential Financial, Inc. | 128,000 | 3,873,280 | ||||||
RLI Corp. | 10,800 | 660,528 | ||||||
Selective Insurance Group, Inc. | 24,500 | 561,785 | ||||||
StanCorp Financial Group, Inc. | 25,700 | 1,073,489 | ||||||
State Auto Financial Corp. | 2,400 | 72,144 | ||||||
Transatlantic Holdings, Inc. | 6,400 | 256,384 | ||||||
Travelers Cos., Inc. (The) | 86,100 | 3,891,720 | ||||||
United Fire & Casualty Co. | 4,700 | 146,029 | ||||||
Unitrin, Inc. | 31,400 | 500,516 |
F5 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Insurance Continued | ||||||||
Validus Holdings Ltd. | 2,000 | $ | 52,320 | |||||
XL Capital Ltd., Cl. A1 | 53,100 | 196,470 | ||||||
Zenith National Insurance Corp. | 11,700 | 369,369 | ||||||
54,666,979 | ||||||||
Real Estate Management & Development—0.0% | ||||||||
CB Richard Ellis Group, Inc., Cl. A2 | 59,500 | 257,040 | ||||||
Forest City Enterprises, Inc., Cl. A1 | 31,700 | 212,390 | ||||||
Jones Lang LaSalle, Inc. | 8,100 | 224,370 | ||||||
693,800 | ||||||||
Thrifts & Mortgage Finance—0.1% | ||||||||
MGIC Investment Corp. | 64,500 | 224,460 | ||||||
NewAlliance Bancshares, Inc. | 15,200 | 200,184 | ||||||
Northwest Bancorp, Inc. | 800 | 17,104 | ||||||
Provident Financial Services, Inc. | 20,700 | 316,710 | ||||||
Tree.com, Inc.2 | 2,806 | 7,296 | ||||||
765,754 | ||||||||
Health Care—9.1% | ||||||||
Biotechnology—1.1% | ||||||||
Amgen, Inc.2 | 151,000 | 8,720,250 | ||||||
Celera Corp.2 | 600 | 6,678 | ||||||
Cubist Pharmaceuticals, Inc.2 | 24,100 | 582,256 | ||||||
Facet Biotech Corp.2 | 17,040 | 163,414 | ||||||
Genentech, Inc.2 | 57,600 | �� | 4,775,616 | |||||
Martek Biosciences Corp.1 | 17,000 | 515,270 | ||||||
PDL BioPharma, Inc. | 85,200 | 526,536 | ||||||
15,290,020 | ||||||||
Health Care Equipment & Supplies—0.3% | ||||||||
American Medical Systems Holdings, Inc.2 | 3,300 | 29,667 | ||||||
Analogic Corp. | 6,700 | 182,776 | ||||||
Hill-Rom Holdings, Inc.1 | 23,200 | 381,872 | ||||||
Inverness Medical Innovations, Inc.2 | 11,100 | 209,901 | ||||||
Medtronic, Inc. | 32,000 | 1,005,440 | ||||||
Sirona Dental Systems, Inc.1,2 | 14,500 | 152,250 | ||||||
Steris Corp. | 10,300 | 246,067 | ||||||
Zimmer Holdings, Inc.2 | 52,500 | 2,122,050 | ||||||
4,330,023 | ||||||||
Health Care Providers & Services—2.7% | ||||||||
Aetna, Inc. | 465,300 | 13,261,050 | ||||||
AMERIGROUP Corp.1,2 | 48,700 | 1,437,624 | ||||||
Brookdale Senior Living, Inc.1 | 38,300 | 213,714 | ||||||
Cardinal Health, Inc. | 12,700 | 437,769 | ||||||
Catalyst Health Solutions, Inc.2 | 12,500 | 304,375 | ||||||
Centene Corp.2 | 51,500 | 1,015,065 | ||||||
Chemed Corp. | 22,300 | 886,871 | ||||||
CIGNA Corp. | 81,700 | 1,376,645 | ||||||
Community Health Systems, Inc.2 | 13,200 | 192,456 | ||||||
Coventry Health Care, Inc.2 | 46,000 | 684,480 | ||||||
Emergency Medical Services LP, Cl. A1,2 | 5,300 | 194,033 | ||||||
Health Net, Inc.2 | 78,000 | 849,420 | ||||||
Healthspring, Inc.2 | 23,000 | 459,310 | ||||||
Kindred Healthcare, Inc.2 | 31,200 | 406,224 | ||||||
LifePoint Hospitals, Inc.1,2 | 42,753 | 976,479 | ||||||
Lincare Holdings, Inc.1,2 | 29,100 | 783,663 | ||||||
Magellan Health Services, Inc.2 | 7,200 | 281,952 | ||||||
Molina Healthcare, Inc.1,2 | 5,200 | 91,572 | ||||||
Omnicare, Inc. | 25,300 | 702,328 | ||||||
Owens & Minor, Inc. | 5,200 | 195,780 | ||||||
Pediatrix Medical Group, Inc.2 | 13,800 | 437,460 | ||||||
PharMerica Corp.1,2 | 1,000 | 15,670 | ||||||
Universal American Corp.2 | 15,400 | 135,828 | ||||||
Universal Health Services, Inc., Cl. B | 21,300 | 800,241 | ||||||
VCA Antech, Inc.2 | 1,200 | 23,856 | ||||||
WellCare Health Plans, Inc.2 | 23,300 | 299,638 | ||||||
WellPoint, Inc.2 | 307,600 | 12,959,188 | ||||||
39,422,691 | ||||||||
Health Care Technology—0.0% | ||||||||
Allscripts-Misys Healthcare Solutions, Inc. | 11,700 | 116,064 | ||||||
IMS Health, Inc. | 11,800 | 178,888 | ||||||
294,952 | ||||||||
Life Sciences Tools & Services—0.1% | ||||||||
Thermo Fisher Scientific, Inc.2 | 19,500 | 664,365 | ||||||
Varian, Inc.2 | 8,200 | 274,782 | ||||||
939,147 | ||||||||
Pharmaceuticals—4.9% | ||||||||
Abbott Laboratories | 61,200 | 3,266,244 | ||||||
Eli Lilly & Co.1 | 172,500 | 6,946,575 | ||||||
Endo Pharmaceuticals Holdings, Inc.1,2 | 41,600 | 1,076,608 | ||||||
Forest Laboratories, Inc.2 | 71,160 | 1,812,445 | ||||||
Johnson & Johnson | 376,706 | 22,538,320 | ||||||
K-V Pharmaceutical Co., Cl. A1,2 | 2,900 | 8,352 |
F6 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Pharmaceuticals Continued | ||||||||
King Pharmaceuticals, Inc.1,2 | 149,700 | $ | 1,589,814 | |||||
Medicis Pharmaceutical Corp., Cl. A1 | 72,000 | 1,000,800 | ||||||
Merck & Co., Inc. | 317,900 | 9,664,160 | ||||||
Pfizer, Inc. | 1,185,200 | 20,989,892 | ||||||
Sepracor, Inc.2 | 44,700 | 490,806 | ||||||
Warner Chilcott Ltd., Cl. A2 | 2,400 | 34,800 | ||||||
Watson Pharmaceuticals, Inc.2 | 29,700 | 789,129 | ||||||
Wyeth | 34,125 | 1,280,029 | ||||||
71,487,974 | ||||||||
Industrials—14.1% | ||||||||
Aerospace & Defense—3.7% | ||||||||
BE Aerospace, Inc.2 | 82,800 | 636,732 | ||||||
Boeing Co. | 155,700 | 6,643,719 | ||||||
Ceradyne, Inc.2 | 38,400 | 779,904 | ||||||
Cubic Corp. | 8,500 | 231,200 | ||||||
DynCorp International, Inc., Cl. A2 | 1,500 | 22,755 | ||||||
Esterline Technologies Corp.2 | 32,500 | 1,231,425 | ||||||
General Dynamics Corp. | 87,500 | 5,039,125 | ||||||
Goodrich Corp. | 32,200 | 1,192,044 | ||||||
Honeywell International, Inc. | 166,500 | 5,466,195 | ||||||
L-3 Communications Holdings, Inc. | 52,900 | 3,902,962 | ||||||
Lockheed Martin Corp. | 18,400 | 1,547,072 | ||||||
Northrop Grumman Corp. | 250,700 | 11,291,528 | ||||||
Orbital Sciences Corp.2 | 19,500 | 380,835 | ||||||
Precision Castparts Corp. | 47,400 | 2,819,352 | ||||||
Raytheon Co. | 112,700 | 5,752,208 | ||||||
Spirit Aerosystems Holdings, Inc., Cl. A2 | 29,100 | 295,947 | ||||||
Triumph Group, Inc. | 18,502 | 785,595 | ||||||
United Technologies Corp. | 109,197 | 5,852,959 | ||||||
53,871,557 | ||||||||
Air Freight & Logistics—0.1% | ||||||||
Hub Group, Inc., Cl. A2 | 17,400 | 461,622 | ||||||
Pacer International, Inc. | 9,700 | 101,171 | ||||||
UTi Worldwide, Inc. | 17,200 | 246,648 | ||||||
809,441 | ||||||||
Airlines—0.3% | ||||||||
Alaska Air Group, Inc.2 | 16,800 | 491,400 | ||||||
Continental Airlines, Inc., Cl. B1,2 | 61,700 | 1,114,302 | ||||||
SkyWest, Inc. | 41,500 | 771,900 | ||||||
UAL Corp. | 87,600 | 965,352 | ||||||
US Airways Group, Inc.2 | 80,592 | 622,976 | ||||||
3,965,930 | ||||||||
Building Products—0.2% | ||||||||
Ameron International Corp. | 700 | 44,044 | ||||||
Armstrong World Industries, Inc. | 23,700 | 512,394 | ||||||
Lennox International, Inc. | 34,600 | 1,117,234 | ||||||
Owens Corning, Inc.2 | 43,900 | 759,470 | ||||||
Simpson Manufacturing Co., Inc. | 5,400 | 149,904 | ||||||
2,583,046 | ||||||||
Commercial Services & Supplies—1.3% | ||||||||
Administaff, Inc. | 16,200 | 351,216 | ||||||
American Reprographics Co.2 | 4,200 | 28,980 | ||||||
Brink’s Co. (The) | 20,000 | 537,600 | ||||||
Clean Harbors, Inc.2 | 6,000 | 380,640 | ||||||
Copart, Inc.2 | 18,600 | 505,734 | ||||||
Corporate Executive Board Co. (The) | 18,900 | 416,934 | ||||||
CoStar Group, Inc.1,2 | 13,000 | 428,220 | ||||||
Deluxe Corp. | 68,700 | 1,027,752 | ||||||
EnergySolutions, Inc. | 2,600 | 14,690 | ||||||
Equifax, Inc. | 37,800 | 1,002,456 | ||||||
First Advantage Corp., Cl. A2 | 4,394 | 62,175 | ||||||
HNI Corp.1 | 47,571 | 753,525 | ||||||
Interface, Inc., Cl. A | 40,100 | 186,064 | ||||||
Korn-Ferry International2 | 60,900 | 695,478 | ||||||
M&F Worldwide Corp.2 | 1,000 | 15,450 | ||||||
Manpower, Inc. | 34,300 | 1,165,857 | ||||||
Miller (Herman), Inc. | 42,900 | 558,987 | ||||||
Monster Worldwide, Inc.1,2 | 109,700 | 1,326,273 | ||||||
MPS Group, Inc.1,2 | 124,800 | 939,744 | ||||||
Navigant Consulting, Inc.1,2 | 7,800 | 123,786 | ||||||
Pitney Bowes, Inc. | 49,500 | 1,261,260 | ||||||
R.R. Donnelley & Sons Co. | 73,100 | 992,698 | ||||||
Resources Connection, Inc.2 | 39,064 | 639,868 | ||||||
Robert Half International, Inc. | 71,200 | 1,482,384 | ||||||
Steelcase, Inc., Cl. A | 120,400 | 676,648 | ||||||
Sykes Enterprises, Inc.2 | 10,100 | 193,112 | ||||||
TrueBlue, Inc.2 | 21,800 | 208,626 | ||||||
United Stationers, Inc.2 | 8,800 | 294,712 | ||||||
Viad Corp. | 5,200 | 128,648 | ||||||
Waste Management, Inc. | 56,200 | 1,862,468 | ||||||
Watson Wyatt & Co. Holdings | 21,100 | 1,009,002 | ||||||
19,270,987 |
F7 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Construction & Engineering—0.7% | ||||||||
Aecom Technology Corp.2 | 1,218 | $ | 37,429 | |||||
Chicago Bridge & Iron Co. NV | 70,200 | 705,510 | ||||||
EMCOR Group, Inc.2 | 70,300 | 1,576,829 | ||||||
Fluor Corp.1 | 85,700 | 3,845,359 | ||||||
Granite Construction, Inc. | 26,800 | 1,177,324 | ||||||
KBR, Inc. | 19,100 | 290,320 | ||||||
MasTec, Inc.2 | 41,800 | 484,044 | ||||||
Perini Corp.2 | 52,100 | 1,218,098 | ||||||
Shaw Group, Inc. (The)2 | 29,500 | 603,865 | ||||||
9,938,778 | ||||||||
Electrical Equipment—1.1% | ||||||||
Acuity Brands, Inc.1 | 38,400 | 1,340,544 | ||||||
Baldor Electric Co. | 60,900 | 1,087,065 | ||||||
Belden, Inc. | 55,000 | 1,148,400 | ||||||
Brady Corp., Cl. A | 12,400 | 296,980 | ||||||
Cooper Industries Ltd., Cl. A | 22,700 | 663,521 | ||||||
Emerson Electric Co. | 145,400 | 5,323,094 | ||||||
GrafTech International Ltd.2 | 152,400 | 1,267,968 | ||||||
Hubbell, Inc., Cl. B | 22,500 | 735,300 | ||||||
Regal-Beloit Corp.1 | 5,200 | 197,548 | ||||||
Rockwell Automation, Inc. | 35,300 | 1,138,072 | ||||||
Roper Industries, Inc. | 9,700 | 421,077 | ||||||
Smith (A.O.) Corp. | 21,600 | 637,632 | ||||||
Thomas & Betts Corp.2 | 35,700 | 857,514 | ||||||
Woodward Governor Co. | 39,600 | 911,592 | ||||||
16,026,307 | ||||||||
Industrial Conglomerates—1.8% | ||||||||
3M Co. | 77,200 | 4,442,088 | ||||||
Carlisle Cos., Inc. | 4,800 | 99,360 | ||||||
General Electric Co. | 1,278,500 | 20,711,700 | ||||||
McDermott International, Inc.2 | 14,700 | 145,236 | ||||||
Tyco International Ltd. | 23,475 | 507,060 | ||||||
25,905,444 | ||||||||
Machinery—3.9% | ||||||||
Actuant Corp., Cl. A | 22,900 | 435,558 | ||||||
AGCO Corp.2 | 5,400 | 127,386 | ||||||
Barnes Group, Inc. | 15,400 | 223,300 | ||||||
Briggs & Stratton Corp.1 | 27,700 | 487,243 | ||||||
Bucyrus International, Inc., Cl. A | 42,600 | 788,952 | ||||||
Caterpillar, Inc. | 216,500 | 9,671,055 | ||||||
Chart Industries, Inc.2 | 9,900 | 105,237 | ||||||
CIRCOR International, Inc. | 15,500 | 426,250 | ||||||
Crane Co. | 35,500 | 612,020 | ||||||
Cummins, Inc.1 | 213,875 | 5,716,879 | ||||||
Deere & Co. | 43,100 | 1,651,592 | ||||||
Dover Corp. | 51,900 | 1,708,548 | ||||||
Eaton Corp. | 2,200 | 109,362 | ||||||
EnPro Industries, Inc.2 | 22,652 | 487,924 | ||||||
Flowserve Corp. | 4,500 | 231,750 | ||||||
Gardner Denver, Inc.2 | 49,985 | 1,166,650 | ||||||
Graco, Inc. | 29,300 | 695,289 | ||||||
Harsco Corp. | 39,100 | 1,082,288 | ||||||
IDEX Corp. | 40,700 | 982,905 | ||||||
Illinois Tool Works, Inc. | 122,800 | 4,304,140 | ||||||
Ingersoll-Rand Co. Ltd., Cl. A | 243,500 | 4,224,725 | ||||||
Joy Global, Inc. | 34,000 | 778,260 | ||||||
Kennametal, Inc. | 66,200 | 1,468,978 | ||||||
Lincoln Electric Holdings, Inc.1 | 22,300 | 1,135,739 | ||||||
Manitowoc Co., Inc. (The) | 106,500 | 922,290 | ||||||
Mueller Industries, Inc. | 34,400 | 862,752 | ||||||
Mueller Water Products, Inc., Cl. A1 | 58,900 | 494,760 | ||||||
Navistar International Corp.2 | 23,100 | 493,878 | ||||||
Nordson Corp.1 | 23,700 | 765,273 | ||||||
Oshkosh Corp. | 80,300 | 713,867 | ||||||
Parker-Hannifin Corp. | 203,800 | 8,669,652 | ||||||
Robbins & Myers, Inc. | 35,200 | 569,184 | ||||||
Sauer-Danfoss, Inc. | 1,700 | 14,875 | ||||||
Terex Corp.2 | 26,200 | 453,784 | ||||||
Timken Co. | 76,600 | 1,503,658 | ||||||
Titan International, Inc.1 | 40,800 | 336,600 | ||||||
Toro Co. (The)1 | 36,600 | 1,207,800 | ||||||
Trinity Industries, Inc.1 | 59,900 | 944,024 | ||||||
Wabtec Corp. | 1,700 | 67,575 | ||||||
Watts Water Technologies, Inc., Cl. A1 | 29,000 | 724,130 | ||||||
57,366,132 | ||||||||
Marine—0.1% | ||||||||
Alexander & Baldwin, Inc.1 | 12,900 | 323,274 | ||||||
Excel Maritime Carriers Ltd.1 | 6,700 | 47,168 | ||||||
Genco Shipping & Trading Ltd.1 | 34,300 | 507,640 | ||||||
Kirby Corp.2 | 7,600 | 207,936 | ||||||
TBS International Ltd., Cl. A1,2 | 1,600 | 16,048 | ||||||
1,102,066 | ||||||||
Road & Rail—0.6% | ||||||||
Amerco1,2 | 1,600 | 55,248 | ||||||
Arkansas Best Corp.1 | 35,100 | 1,056,861 |
F8 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Road & Rail Continued | ||||||||
Avis Budget Group, Inc.2 | 52,800 | $ | 36,960 | |||||
CSX Corp. | 37,700 | 1,224,119 | ||||||
Heartland Express, Inc. | 18,500 | 291,560 | ||||||
Hertz Global Holdings, Inc.1,2 | 139,800 | 708,786 | ||||||
Norfolk Southern Corp.1 | 108,800 | 5,119,040 | ||||||
Old Dominion Freight Line, Inc.2 | 1,200 | 34,152 | ||||||
Ryder Systems, Inc. | 2,400 | 93,072 | ||||||
Werner Enterprises, Inc. | 54,700 | 948,498 | ||||||
YRC Worldwide, Inc.1,2 | 28,300 | 81,221 | ||||||
9,649,517 | ||||||||
Trading Companies & Distributors—0.3% | ||||||||
Applied Industrial Technologies, Inc. | 27,900 | 527,868 | ||||||
GATX Corp. | 12,700 | 393,319 | ||||||
MSC Industrial Direct Co., Inc., Cl. A1 | 26,800 | 987,044 | ||||||
RSC Holdings, Inc.2 | 10,700 | 91,164 | ||||||
Textainer Group Holdings Ltd. | 5,200 | 55,120 | ||||||
United Rentals, Inc.1,2 | 100,412 | 915,757 | ||||||
Watsco, Inc.1 | 12,900 | 495,360 | ||||||
WESCO International, Inc.2 | 56,900 | 1,094,187 | ||||||
4,559,819 | ||||||||
Information Technology—22.8% | ||||||||
Communications Equipment—3.2% | ||||||||
3Com Corp.2 | 227,800 | 519,384 | ||||||
ADTRAN, Inc. | 54,700 | 813,936 | ||||||
Avocent Corp.2 | 57,000 | 1,020,870 | ||||||
Brocade Communications Systems, Inc.2 | 315,100 | 882,280 | ||||||
Ciena Corp.1,2 | 93,300 | 625,110 | ||||||
Cisco Systems, Inc.2 | 1,400,100 | 22,821,630 | ||||||
CommScope, Inc.2 | 68,500 | 1,064,490 | ||||||
Comtech Telecommunications Corp.2 | 6,700 | 306,994 | ||||||
Corning, Inc. | 210,300 | 2,004,159 | ||||||
EchoStar Holding Corp.1,2 | 31,660 | 470,784 | ||||||
Emulex Corp.2 | 128,200 | 894,836 | ||||||
F5 Networks, Inc.2 | 66,900 | 1,529,334 | ||||||
Harris Corp. | 33,600 | 1,278,480 | ||||||
InterDigital, Inc.2 | 37,600 | 1,034,000 | ||||||
JDS Uniphase Corp.2 | 293,700 | 1,072,005 | ||||||
Plantronics, Inc. | 69,400 | 916,080 | ||||||
Polycom, Inc.1,2 | 49,700 | 671,447 | ||||||
QUALCOMM, Inc. | 183,800 | 6,585,554 | ||||||
Sonus Networks, Inc.2 | 4,400 | 6,952 | ||||||
Starent Networks Corp.2 | 6,700 | 79,931 | ||||||
Tekelec, Inc.2 | 50,700 | 676,338 | ||||||
Tellabs, Inc.2 | 322,300 | 1,327,876 | ||||||
ViaSat, Inc.2 | 3,800 | 91,504 | ||||||
46,693,974 | ||||||||
Computers & Peripherals—5.0% | ||||||||
Apple, Inc.2 | 98,300 | 8,389,905 | ||||||
Avid Technology, Inc.2 | 15,700 | 171,287 | ||||||
Dell, Inc.2 | 80,900 | 828,416 | ||||||
Electronics for Imaging, Inc.2 | 22,300 | 213,188 | ||||||
EMC Corp.2 | 309,400 | 3,239,418 | ||||||
Hewlett-Packard Co. | 670,700 | 24,339,703 | ||||||
Intermec, Inc.2 | 18,800 | 249,664 | ||||||
International Business Machines Corp. | 295,500 | 24,869,280 | ||||||
Lexmark International, Inc., Cl. A1,2 | 48,300 | 1,299,270 | ||||||
NCR Corp.2 | 75,300 | 1,064,742 | ||||||
NetApp, Inc.2 | 46,300 | 646,811 | ||||||
QLogic Corp.2 | 114,000 | 1,532,160 | ||||||
SanDisk Corp.2 | 90,800 | 871,680 | ||||||
Seagate Technology | 426,600 | 1,889,838 | ||||||
Sun Microsystems, Inc.2 | 236,300 | 902,666 | ||||||
Synaptics, Inc.1,2 | 44,500 | 736,920 | ||||||
Teradata Corp.2 | 52,900 | 784,507 | ||||||
Western Digital Corp.2 | 76,300 | 873,635 | ||||||
72,903,090 | ||||||||
Electronic Equipment & Instruments—1.2% | ||||||||
Agilent Technologies, Inc.2 | 117,400 | 1,834,962 | ||||||
Amphenol Corp., Cl. A | 34,700 | 832,106 | ||||||
Anixter International, Inc.1,2 | 26,100 | 786,132 | ||||||
Arrow Electronics, Inc.2 | 60,800 | 1,145,472 | ||||||
Avnet, Inc.2 | 67,200 | 1,223,712 | ||||||
AVX Corp. | 28,200 | 223,908 | ||||||
Benchmark Electronics, Inc.2 | 83,200 | 1,062,464 | ||||||
Cogent, Inc.1,2 | 35,400 | 480,378 | ||||||
Cognex Corp. | 11,500 | 170,200 | ||||||
Coherent, Inc.2 | 15,367 | 329,776 | ||||||
Dolby Laboratories, Inc., Cl. A2 | 23,300 | 763,308 | ||||||
Ingram Micro, Inc., Cl. A2 | 92,000 | 1,231,880 | ||||||
Itron, Inc.1,2 | 9,300 | 592,782 | ||||||
Jabil Circuit, Inc. | 125,500 | 847,125 | ||||||
L-1 Identity Solutions, Inc.2 | 10,000 | 67,400 | ||||||
Littlefuse, Inc.2 | 500 | 8,300 | ||||||
Molex, Inc. | 73,100 | 1,059,219 |
F9 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Electronic Equipment & Instruments Continued | ||||||||
MTS Systems Corp. | 1,200 | $ | 31,968 | |||||
National Instruments Corp. | 29,100 | 708,876 | ||||||
Plexus Corp.2 | 19,500 | 330,525 | ||||||
Rofin-Sinar Technologies, Inc.2 | 12,100 | 249,018 | ||||||
ScanSource, Inc.2 | 2,800 | 53,956 | ||||||
SYNNEX Corp.1,2 | 14,100 | 159,753 | ||||||
Tech Data Corp.2 | 18,975 | 338,514 | ||||||
Technitrol, Inc. | 5,700 | 19,836 | ||||||
Trimble Navigation Ltd.2 | 53,800 | 1,162,618 | ||||||
Tyco Electronics Ltd. | 78,200 | 1,267,622 | ||||||
Vishay Intertechnology, Inc.2 | 190,100 | 650,142 | ||||||
17,631,952 | ||||||||
Internet Software & Services—0.9% | ||||||||
Akamai Technologies, Inc.1,2 | 67,100 | 1,012,539 | ||||||
Digital River, Inc.2 | 43,200 | 1,071,360 | ||||||
EarthLink, Inc.2 | 95,900 | 648,284 | ||||||
eBay, Inc.2 | 162,700 | 2,271,292 | ||||||
Google, Inc., Cl. A2 | 12,500 | 3,845,625 | ||||||
IAC/InterActiveCorp2 | 1,325 | 20,842 | ||||||
j2 Global Communications, Inc.1,2 | 57,800 | 1,158,312 | ||||||
Open Text Corp.1,2 | 22,400 | 674,912 | ||||||
RealNetworks, Inc.2 | 8,500 | 30,005 | ||||||
Sohu.com, Inc.2 | 16,200 | 766,908 | ||||||
ValueClick, Inc.2 | 94,900 | 649,116 | ||||||
VeriSign, Inc.2 | 51,400 | 980,712 | ||||||
VistaPrint Ltd.1,2 | 12,500 | 232,625 | ||||||
WebMD Health Corp., Cl. A2 | 300 | 7,077 | ||||||
13,369,609 | ||||||||
IT Services—0.9% | ||||||||
Acxiom Corp. | 87,900 | 712,869 | ||||||
Affiliated Computer Services, Inc., Cl. A2 | 5,200 | 238,940 | ||||||
Broadridge Financial Solutions, Inc. | 69,400 | 870,276 | ||||||
Computer Sciences Corp.1,2 | 44,900 | 1,577,786 | ||||||
Convergys Corp.2 | 155,100 | 994,191 | ||||||
CSG Systems International, Inc.2 | 25,300 | 441,991 | ||||||
DST Systems, Inc.1,2 | 18,200 | 691,236 | ||||||
Euronet Worldwide, Inc.1,2 | 1,100 | 12,771 | ||||||
Fidelity National Information Services, Inc. | 24,600 | 400,242 | ||||||
Gartner, Inc.1,2 | 37,600 | 670,408 | ||||||
Heartland Payment Systems, Inc.1 | 6,700 | 117,250 | ||||||
Hewitt Associates, Inc.2 | 28,700 | 814,506 | ||||||
NeuStar, Inc., Cl. A2 | 38,400 | 734,592 | ||||||
Perot Systems Corp., Cl. A2 | 68,900 | 941,863 | ||||||
Sapient Corp.2 | 85,100 | 377,844 | ||||||
Syntel, Inc. | 3,500 | 80,920 | ||||||
TeleTech Holdings, Inc.2 | 47,100 | 393,285 | ||||||
Total System Services, Inc. | 60,500 | 847,000 | ||||||
Unisys Corp.2 | 110,400 | 93,840 | ||||||
Western Union Co. | 161,800 | 2,320,212 | ||||||
13,332,022 | ||||||||
Office Electronics—0.7% | ||||||||
Xerox Corp. | 1,147,200 | 9,143,184 | ||||||
Zebra Technologies Corp., Cl. A2 | 50,200 | 1,017,052 | ||||||
10,160,236 | ||||||||
Semiconductors & Semiconductor Equipment—5.0% | ||||||||
Advanced Micro Devices, Inc.1,2 | 21,600 | 46,656 | ||||||
Altera Corp.1 | 103,800 | 1,734,498 | ||||||
Amkor Technology, Inc.2 | 197,172 | 429,835 | ||||||
Analog Devices, Inc. | 81,300 | 1,546,326 | ||||||
Applied Materials, Inc. | 886,100 | 8,976,193 | ||||||
Atheros Communications, Inc.1,2 | 48,900 | 699,759 | ||||||
Atmel Corp.2 | 167,700 | 524,901 | ||||||
Broadcom Corp., Cl. A2 | 109,700 | 1,861,609 | ||||||
Cabot Microelectronics Corp.1,2 | 13,300 | 346,731 | ||||||
Cymer, Inc.2 | 24,276 | 531,887 | ||||||
Entegris, Inc.2 | 31,300 | 68,547 | ||||||
Fairchild Semiconductor International, Inc., Cl. A2 | 163,200 | 798,048 | ||||||
FEI Co.2 | 7,500 | 141,450 | ||||||
Integrated Device Technology, Inc.2 | 189,200 | 1,061,412 | ||||||
Intel Corp. | 1,632,500 | 23,932,450 | ||||||
International Rectifier Corp.2 | 30,100 | 406,350 | ||||||
Intersil Corp., Cl. A | 97,600 | 896,944 | ||||||
KLA-Tencor Corp. | 56,600 | 1,233,314 | ||||||
LSI Corp.2 | 303,600 | 998,844 | ||||||
Marvell Technology Group Ltd.2 | 161,600 | 1,077,872 | ||||||
MEMC Electronic Materials, Inc.2 | 70,900 | 1,012,452 | ||||||
Microsemi Corp.2 | 18,100 | 228,784 | ||||||
MKS Instruments, Inc.2 | 60,400 | 893,316 | ||||||
National Semiconductor Corp. | 70,500 | 709,935 | ||||||
Novellus Systems, Inc.2 | 80,200 | 989,668 | ||||||
NVIDIA Corp.2 | 137,800 | 1,112,046 | ||||||
ON Semiconductor Corp.2 | 72,800 | 247,520 | ||||||
PMC-Sierra, Inc.2 | 167,600 | 814,536 | ||||||
Power Integrations, Inc. | 4,200 | 83,496 |
F10 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
RF Micro Devices, Inc.2 | 76,800 | $ | 59,904 | |||||
Semtech Corp.2 | 81,700 | 920,759 | ||||||
Silicon Laboratories, Inc.1,2 | 43,600 | 1,080,408 | ||||||
Skyworks Solutions, Inc.1,2 | 82,900 | 459,266 | ||||||
Teradyne, Inc.2 | 237,100 | 1,000,562 | ||||||
Tessera Technologies, Inc.2 | 18,500 | 219,780 | ||||||
Texas Instruments, Inc. | 861,700 | 13,373,584 | ||||||
Varian Semiconductor Equipment Associates, Inc.2 | 33,500 | 607,020 | ||||||
Verigy Ltd.2 | 39,000 | 375,180 | ||||||
Xilinx, Inc. | 70,200 | 1,250,964 | ||||||
72,752,806 | ||||||||
Software—5.9% | ||||||||
Adobe Systems, Inc.2 | 25,400 | 540,766 | ||||||
Advent Software, Inc.1,2 | 3,300 | 65,901 | ||||||
Amdocs Ltd.2 | 71,200 | 1,302,248 | ||||||
Ansys, Inc.2 | 24,900 | 694,461 | ||||||
Autodesk, Inc.2 | 67,900 | 1,334,235 | ||||||
Blackbaud, Inc. | 600 | 8,100 | ||||||
BMC Software, Inc.2 | 18,400 | 495,144 | ||||||
CA, Inc.1 | 181,900 | 3,370,607 | ||||||
Cadence Design Systems, Inc.2 | 210,700 | 771,162 | ||||||
Check Point Software Technologies Ltd.2 | 30,000 | 569,700 | ||||||
Citrix Systems, Inc.2 | 47,500 | 1,119,575 | ||||||
Compuware Corp.2 | 180,500 | 1,218,375 | ||||||
Concur Technologies, Inc.1,2 | 11,700 | 383,994 | ||||||
FactSet Research Systems, Inc.1 | 18,800 | 831,712 | ||||||
Fair Isaac Corp. | 65,100 | 1,097,586 | ||||||
Henry (Jack) & Associates, Inc. | 23,600 | 458,076 | ||||||
Informatica Corp.2 | 34,300 | 470,939 | ||||||
Lawson Software, Inc.2 | 48,800 | 231,312 | ||||||
Mentor Graphics Corp.2 | 37,100 | 191,807 | ||||||
MICROS Systems, Inc.2 | 33,400 | 545,088 | ||||||
Microsoft Corp. | 1,673,700 | 32,536,728 | ||||||
MicroStrategy, Inc., Cl. A2 | 2,200 | 81,686 | ||||||
Net 1 UEPS Technologies, Inc.2 | 35,900 | 491,830 | ||||||
Nuance Communications, Inc.2 | 79,200 | 820,512 | ||||||
Oracle Corp.2 | 813,267 | 14,419,224 | ||||||
Parametric Technology Corp.2 | 88,400 | 1,118,260 | ||||||
Progress Software Corp.2 | 18,100 | 348,606 | ||||||
Quest Software, Inc.2 | 66,200 | 833,458 | ||||||
Solera Holdings, Inc.2 | 12,300 | 296,430 | ||||||
Sybase, Inc.2 | 50,000 | 1,238,500 | ||||||
Symantec Corp.1,2 | 1,007,800 | 13,625,456 | ||||||
Synopsys, Inc.2 | 61,500 | 1,138,980 | ||||||
Take-Two Interactive Software, Inc. | 65,800 | 497,448 | ||||||
THQ, Inc.2 | 15,900 | 66,621 | ||||||
TIBCO Software, Inc.2 | 218,400 | 1,133,496 | ||||||
Wind River Systems, Inc.2 | 76,700 | 692,601 | ||||||
85,040,624 | ||||||||
Materials—5.5% | ||||||||
Chemicals—1.7% | ||||||||
Air Products & Chemicals, Inc. | 8,900 | 447,403 | ||||||
Ashland, Inc. | 90,258 | 948,612 | ||||||
Cabot Corp. | 8,000 | 122,400 | ||||||
Celanese Corp., Series A | 52,500 | 652,575 | ||||||
CF Industries Holdings, Inc. | 18,700 | 919,292 | ||||||
Chemtura Corp. | 161,700 | 226,380 | ||||||
Cytec Industries, Inc. | 25,100 | 532,622 | ||||||
Dow Chemical Co. (The) | 66,500 | 1,003,485 | ||||||
E.I. du Pont de Nemours & Co. | 27,900 | 705,870 | ||||||
Eastman Chemical Co. | 23,000 | 729,330 | ||||||
Ferro Corp. | 28,200 | 198,810 | ||||||
Fuller (H.B.) Co. | 46,600 | 750,726 | ||||||
Koppers Holdings, Inc. | 9,300 | 201,066 | ||||||
Minerals Technologies, Inc. | 15,800 | 646,220 | ||||||
Monsanto Co. | 67,700 | 4,762,695 | ||||||
Mosaic Co. (The) | 197,900 | 6,847,340 | ||||||
Nalco Holding Co.1 | 51,600 | 595,464 | ||||||
NewMarket Corp. | 10,000 | 349,100 | ||||||
NOVA Chemicals Corp. | 56,200 | 268,074 | ||||||
Olin Corp. | 28,700 | 518,896 | ||||||
OM Group, Inc.2 | 1,200 | 25,332 | ||||||
Rockwood Holdings, Inc.2 | 24,000 | 259,200 | ||||||
RPM International, Inc. | 56,000 | 744,240 | ||||||
Scotts Miracle-Gro Co. (The), Cl. A | 15,700 | 466,604 | ||||||
Terra Industries, Inc. | 55,300 | 921,851 | ||||||
Valhi, Inc.1 | 3,000 | 32,100 | ||||||
Valspar Corp. (The) | 42,000 | 759,780 | ||||||
W.R. Grace & Co.2 | 6,400 | 38,208 | ||||||
Westlake Chemical Corp.1 | 20,200 | 329,058 | ||||||
25,002,733 | ||||||||
Containers & Packaging—0.4% | ||||||||
Owens-Illinois, Inc.2 | 53,800 | 1,470,354 | ||||||
Packaging Corp. of America | 25,700 | 345,922 | ||||||
Rock-Tenn Co., Cl. A | 17,900 | 611,822 | ||||||
Sealed Air Corp. | 64,900 | 969,606 |
F11 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Containers & Packaging Continued | ||||||||
Smurfit-Stone Container Corp.2 | 123,300 | $ | 31,442 | |||||
Sonoco Products Co. | 43,000 | 995,880 | ||||||
Temple-Inland, Inc.1 | 161,300 | 774,240 | ||||||
5,199,266 | ||||||||
Metals & Mining—3.2% | ||||||||
AK Steel Holding Corp. | 112,900 | 1,052,228 | ||||||
Alcoa, Inc.1 | 714,800 | 8,048,648 | ||||||
Allegheny Technologies, Inc. | 34,200 | 873,126 | ||||||
Carpenter Technology Corp. | 56,600 | 1,162,564 | ||||||
Century Aluminum Co.1,2 | 62,200 | 622,000 | ||||||
Commercial Metals Co. | 77,400 | 918,738 | ||||||
Compass Minerals International, Inc. | 4,900 | 287,434 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Cl. B1 | 292,900 | 7,158,476 | ||||||
Kaiser Aluminum Corp. | 9,000 | 202,680 | ||||||
Nucor Corp. | 239,000 | 11,041,800 | ||||||
Olympic Steel, Inc. | 2,500 | 50,925 | ||||||
Reliance Steel & Aluminum Co. | 43,200 | 861,408 | ||||||
RTI International Metals, Inc.1,2 | 1,700 | 24,327 | ||||||
Schnitzer Steel Industries, Inc.1 | 32,600 | 1,227,390 | ||||||
Southern Copper Corp.1 | 669,500 | 10,752,170 | ||||||
United States Steel Corp. | 39,600 | 1,473,120 | ||||||
Worthington Industries, Inc.1 | 47,400 | 522,348 | ||||||
46,279,382 | ||||||||
Paper & Forest Products—0.2% | ||||||||
Domtar Corp.2 | 369,000 | 616,230 | ||||||
International Paper Co. | 148,900 | 1,757,020 | ||||||
Louisiana-Pacific Corp. | 28,900 | 45,084 | ||||||
MeadWestvaco Corp. | 31,100 | 348,009 | ||||||
2,766,343 | ||||||||
Telecommunication Services—3.3% | ||||||||
Diversified Telecommunication Services—2.9% | ||||||||
AT&T, Inc. | 866,128 | 24,684,648 | ||||||
Cincinnati Bell, Inc.2 | 108,300 | 209,019 | ||||||
Embarq Corp. | 50,200 | 1,805,192 | ||||||
Global Crossing Ltd.2 | 7,800 | 61,932 | ||||||
NTELOS Holdings Corp. | 25,000 | 616,500 | ||||||
Premiere Global Services, Inc.2 | 30,500 | 262,605 | ||||||
Qwest Communications International, Inc.1 | 375,200 | 1,365,728 | ||||||
tw telecom, Inc.2 | 107,800 | 913,066 | ||||||
Verizon Communications, Inc. | 334,656 | 11,344,838 | ||||||
Windstream Corp. | 122,100 | 1,123,320 | ||||||
42,386,848 | ||||||||
Wireless Telecommunication Services—0.4% | ||||||||
Centennial Communications Corp.2 | 35,800 | 288,548 | ||||||
NII Holdings, Inc.2 | 44,500 | 809,010 | ||||||
Sprint Nextel Corp.2 | 951,023 | 1,740,372 | ||||||
Syniverse Holdings, Inc.2 | 49,000 | 585,060 | ||||||
Telephone & Data Systems, Inc. | 42,300 | 1,343,025 | ||||||
United States Cellular Corp.2 | 16,800 | 726,432 | ||||||
5,492,447 | ||||||||
Utilities—0.6% | ||||||||
Electric Utilities—0.3% | ||||||||
Duke Energy Corp. | 269,500 | 4,045,195 | ||||||
UniSource Energy Corp. | 17,400 | 510,864 | ||||||
4,556,059 | ||||||||
Energy Traders—0.1% | ||||||||
Mirant Corp.2 | 40,900 | 771,783 | ||||||
Reliant Energy, Inc.2 | 104,400 | 603,432 | ||||||
1,375,215 | ||||||||
Gas Utilities—0.1% | ||||||||
Laclede Group, Inc. (The) | 10,900 | 510,556 | ||||||
South Jersey Industries, Inc. | 300 | 11,955 | ||||||
Southwest Gas Corp. | 9,700 | 244,634 | ||||||
WGL Holdings, Inc. | 10,900 | 356,321 | ||||||
1,123,466 | ||||||||
Multi-Utilities—0.1% | ||||||||
Avista Corp. | 37,000 | 717,060 | ||||||
CH Energy Group, Inc. | 2,700 | 138,753 | ||||||
Integrys Energy Group, Inc. | 8,100 | 348,139 | ||||||
1,203,952 | ||||||||
Total Common Stocks (Cost $1,817,887,648) | 1,441,273,187 | |||||||
Other Securities—0.0% | ||||||||
Seagate Technology International, Inc.2,3,4 (Cost $0) | 31,000 | 3,100 | ||||||
Preferred Stocks—0.0% | ||||||||
Wachovia Corp., Dividend Equalization Preferred Shares2,3 (Cost $0) | 6,000 | 8 | ||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Dime Bancorp, Inc. Wts., Strike Price $1, Exp. 1/2/102 | 31,900 | 638 | ||||||
Progress Energy, Inc., Contingent Value Obligation2,3 | 32,000 | 10,560 | ||||||
Total Rights, Warrants and Certificates (Cost $0) | 11,198 |
F12 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Investment Company—0.5% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%5,6 (Cost $7,043,996) | 7,043,996 | $ | 7,043,996 | |||||
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $1,824,931,644) | 1,448,331,489 | |||||||
Principal | ||||||||
Amount/Shares | ||||||||
Investments Purchased with Cash Collateral from Securities Loaned—7.2%7 | ||||||||
ANZ National (Int’l) Ltd., 0.34%, 3/6/09 | $ | 4,000,000 | 3,999,064 | |||||
CAM US Finance SA Unipersonal, 3.24%, 2/2/09 | 4,500,000 | 4,493,547 | ||||||
CC USA, Inc., 0.35%, 2/13/09 | 1,500,000 | 1,492,944 | ||||||
GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 0.56%, 1/26/09 | 510,456 | 451,277 | ||||||
OFI Liquid Assets Fund, LLC, 1.71% 5,6 | 93,229,008 | 93,229,008 | ||||||
Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $103,739,160) | 103,665,840 | |||||||
Total Investments, at Value (Cost $1,928,670,804) | 106.9 | % | 1,551,997,329 | |||||
Liabilities in Excess of Other Assets | (6.9 | ) | (99,534,290 | ) | ||||
Net Assets | 100.0 | % | $ | 1,452,463,039 | ||||
Footnotes to Statement of Investments | ||
1. | Partial or fully-loaned security. See Note 6 of accompanying Notes. | |
2. | Non-income producing security. | |
3. | Illiquid security. The aggregate value of illiquid securities as of December 31, 2008 was $13,668, which represents less than 0.005% of the Fund’s net assets. See Note 5 of accompanying Notes. | |
4. | Escrow shares received as the result of issuer reorganization. | |
5. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 880,960,875 | 787,731,867 | 93,229,008 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 15,628,720 | 535,769,480 | 544,354,204 | 7,043,996 | ||||||||||||
Value | Income | |||||||||||||||
OFI Liquid Assets Fund, LLC | $ | 93,229,008 | $ | 855,830 | a | |||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 7,043,996 | 363,249 | ||||||||||||||
$ | 100,273,004 | $ | 1,219,079 | |||||||||||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
6. | Rate shown is the 7-day yield as of December 31, 2008. | |
7. | The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 6 of accompanying Notes. |
F13 | OPPENHEIMER MAIN STREET FUND/VA
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 1,541,546,199 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 10,451,130 | — | ||||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 1,551,997,329 | $ | — | ||||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
F14 | OPPENHEIMER MAIN STREET FUND/VA
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,828,397,800) | $ | 1,451,724,325 | ||
Affiliated companies (cost $100,273,004) | 100,273,004 | |||
1,551,997,329 | ||||
Cash | 1,934,570 | |||
Receivables and other assets: | ||||
Dividends | 2,240,977 | |||
Investments sold | 1,155,974 | |||
Due from Manager | 19 | |||
Other | 236,560 | |||
Total assets | 1,557,565,429 | |||
Liabilities | ||||
Return of collateral for securities loaned | 103,600,720 | |||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 721,396 | |||
Distribution and service plan fees | 597,492 | |||
Shareholder communications | 86,063 | |||
Investments purchased | 32,123 | |||
Trustees’ compensation | 13,276 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 49,600 | |||
Total liabilities | 105,102,390 | |||
Net Assets | $ | 1,452,463,039 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 100,405 | ||
Additional paid-in capital | 2,086,211,841 | |||
Accumulated net investment income | 24,769,636 | |||
Accumulated net realized loss on investments | (281,945,368 | ) | ||
Net unrealized depreciation on investments | (376,673,475 | ) | ||
Net Assets | $ | 1,452,463,039 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $432,360,158 and 29,686,094 shares of beneficial interest outstanding) | $ | 14.56 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,020,102,881 and 70,718,803 shares of beneficial interest outstanding) | $ | 14.42 |
F15 | OPPENHEIMER MAIN STREET FUND/VA
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $2,950) | $ | 38,981,517 | ||
Affiliated companies | 363,249 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 527,756 | |||
Affiliated companies | 855,830 | |||
Interest | 26,476 | |||
Total investment income | 40,754,828 | |||
Expenses | ||||
Management fees | 12,491,552 | |||
Distribution and service plan fees—Service shares | 3,174,088 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Shareholder communications: | ||||
Non-Service shares | 53,996 | |||
Service shares | 112,985 | |||
Trustees’ compensation | 46,079 | |||
Custodian fees and expenses | 11,848 | |||
Other | 83,054 | |||
Total expenses | 15,993,590 | |||
Less reduction to custodian expenses | (857 | ) | ||
Less waivers and reimbursements of expenses | (11,091 | ) | ||
Net expenses | 15,981,642 | |||
Net Investment Income | 24,773,186 | |||
Realized and Unrealized Loss | ||||
Net realized loss on investments from unaffiliated companies | (267,651,680 | ) | ||
Net change in unrealized depreciation on investments | (632,729,270 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (875,607,764 | ) | |
F16 | OPPENHEIMER MAIN STREET FUND/VA
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 24,773,186 | $ | 26,378,059 | ||||
Net realized gain (loss) | (267,651,680 | ) | 194,658,587 | |||||
Net change in unrealized appreciation (depreciation) | (632,729,270 | ) | (129,622,213 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (875,607,764 | ) | 91,414,433 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (10,725,797 | ) | (10,356,753 | ) | ||||
Service shares | (15,635,174 | ) | (9,852,371 | ) | ||||
(26,360,971 | ) | (20,209,124 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (46,604,473 | ) | — | |||||
Service shares | (82,181,746 | ) | — | |||||
(128,786,219 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (112,358,225 | ) | (175,658,859 | ) | ||||
Service shares | 223,159,438 | 331,431,603 | ||||||
110,801,213 | 155,772,744 | |||||||
Net Assets | ||||||||
Total increase (decrease) | (919,953,741 | ) | 226,978,053 | |||||
Beginning of period | 2,372,416,780 | 2,145,438,727 | ||||||
End of period (including accumulated net investment income of $24,769,636 and $26,296,748, respectively) | $ | 1,452,463,039 | $ | 2,372,416,780 | ||||
F17 | OPPENHEIMER MAIN STREET FUND/VA
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.61 | $ | 24.78 | $ | 21.79 | $ | 20.84 | $ | 19.20 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .29 | .33 | .27 | .26 | .27 | |||||||||||||||
Net realized and unrealized gain (Loss) | (9.64 | ) | .75 | 2.98 | .97 | 1.53 | ||||||||||||||
Total from investment operations | (9.35 | ) | 1.08 | 3.25 | 1.23 | 1.80 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.32 | ) | (.25 | ) | (.26 | ) | (.28 | ) | (.16 | ) | ||||||||||
Distributions from net realized gain | (1.38 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (1.70 | ) | (.25 | ) | (.26 | ) | (.28 | ) | (.16 | ) | ||||||||||
Net asset value, end of period | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | $ | 20.84 | ||||||||||
Total Return, at Net Asset Value2 | (38.47 | )% | 4.43 | % | 15.03 | % | 5.98 | % | 9.46 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 432,360 | $ | 907,727 | $ | 1,046,146 | $ | 1,121,476 | $ | 1,238,948 | ||||||||||
Average net assets (in thousands) | $ | 670,994 | $ | 1,006,655 | $ | 1,054,522 | $ | 1,156,299 | $ | 1,216,081 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 1.42 | % | 1.28 | % | 1.19 | % | 1.26 | % | 1.39 | % | ||||||||||
Total expenses | 0.66 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5 | 0.67 | %6 | 0.67 | %6 | ||||||||||
Portfolio turnover rate | 132 | % | 111 | % | 100 | % | 88 | % | 82 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
F18 | OPPENHEIMER MAIN STREET FUND/VA
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 25.38 | $ | 24.58 | $ | 21.63 | $ | 20.70 | $ | 19.10 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .24 | .26 | .22 | .21 | .25 | |||||||||||||||
Net realized and unrealized gain (loss) | (9.56 | ) | .75 | 2.95 | .96 | 1.49 | ||||||||||||||
Total from investment operations | (9.32 | ) | 1.01 | 3.17 | 1.17 | 1.74 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.21 | ) | (.22 | ) | (.24 | ) | (.14 | ) | ||||||||||
Distributions from net realized gain | (1.38 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (1.64 | ) | (.21 | ) | (.22 | ) | (.24 | ) | (.14 | ) | ||||||||||
Net asset value, end of period | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | $ | 20.70 | ||||||||||
Total Return, at Net Asset Value2 | (38.63 | )% | 4.15 | % | 14.76 | % | 5.74 | % | 9.15 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,020,103 | $ | 1,464,690 | $ | 1,099,293 | $ | 598,348 | $ | 372,845 | ||||||||||
Average net assets (in thousands) | $ | 1,268,430 | $ | 1,315,488 | $ | 810,181 | $ | 462,272 | $ | 262,660 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 1.20 | % | 1.03 | % | 0.95 | % | 1.02 | % | 1.30 | % | ||||||||||
Total expenses | 0.91 | %4,5,6 | 0.90 | %4,5,6 | 0.91 | %4,5 | 0.91 | %6 | 0.92 | %6 | ||||||||||
Portfolio turnover rate | 132 | % | 111 | % | 100 | % | 88 | % | 82 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
F19 | OPPENHEIMER MAIN STREET FUND/VA
F20 | OPPENHEIMER MAIN STREET FUND/VA
F21 | OPPENHEIMER MAIN STREET FUND/VA
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost | ||||||||||||
Undistributed | Undistributed | Accumulated | of Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4 | Income Tax Purposes | |||||||||
$24,782,907 | $ | — | $ | 248,263,528 | $ | 410,355,317 |
1. | As of December 31, 2008, the Fund had $217,993,206 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforward were as follows: |
Expiring | ||||
2016 | $ | 217,993,206 |
2. | As of December 31, 2008, the Fund had $30,270,322 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
3. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
4. | During the fiscal year ended December 31, 2007, the Fund utilized $51,195,980 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase | ||||
Increase | to Accumulated | |||
to Accumulated | Net Realized Loss | |||
Net Investment Income | on Investments | |||
| | ||||
$60,673 | $ | 60,673 |
F22 | OPPENHEIMER MAIN STREET FUND/VA
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 48,772,351 | $ | 20,209,124 | ||||
Long-term capital gain | 106,374,839 | — | ||||||
Total | $ | 155,147,190 | $ | 20,209,124 | ||||
Federal tax cost of securities | $ | 1,962,352,646 | ||
Federal tax cost of other investments | (69,838 | ) | ||
Total federal tax cost | $ | 1,962,282,808 | ||
Gross unrealized appreciation | $ | 98,174,535 | ||
Gross unrealized depreciation | (508,529,852 | ) | ||
Net unrealized depreciation | $ | (410,355,317 | ) | |
F23 | OPPENHEIMER MAIN STREET FUND/VA
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 4,118,231 | $ | 80,935,200 | 2,948,386 | $ | 76,016,214 | ||||||||||
Dividends and/or distributions reinvested | 2,774,941 | 57,330,270 | 425,853 | 10,356,753 | ||||||||||||
Redeemed | (12,645,946 | ) | (250,623,695 | ) | (10,151,162 | ) | (262,031,826 | ) | ||||||||
Net decrease | (5,752,774 | ) | $ | (112,358,225 | ) | (6,776,923 | ) | $ | (175,658,859 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 17,273,881 | $ | 299,271,029 | 18,707,352 | $ | 478,137,931 | ||||||||||
Dividends and/or distributions reinvested | 4,768,240 | 97,748,917 | 407,708 | 9,846,137 | ||||||||||||
Redeemed | (9,024,762 | ) | (173,860,508 | ) | (6,139,866 | ) | (156,552,465 | ) | ||||||||
Net increase | 13,017,359 | $ | 223,159,438 | 12,975,194 | $ | 331,431,603 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 2,588,552,424 | $ | 2,601,405,624 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
F24 | OPPENHEIMER MAIN STREET FUND/VA
F25 | OPPENHEIMER MAIN STREET FUND/VA
F26 | OPPENHEIMER MAIN STREET FUND/VA
February 11, 2009
F27 | OPPENHEIMER MAIN STREET FUND/VA
F28 | OPPENHEIMER MAIN STREET FUND/VA
7 | OPPENHEIMER MAIN STREET FUND/VA
8 | OPPENHEIMER MAIN STREET FUND/VA
9 | OPPENHEIMER MAIN STREET FUND/VA
Name, Position(s) Held with the Funds, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1995) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) |
10 | OPPENHEIMER MAIN STREET FUND/VA
Robert J. Malone, Continued | (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001-December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Reinganum, Zavanelli, Zhou and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Dr. Marc Reinganum, Vice President and Portfolio Manager (since 2003) Age: 55 | Vice President of the Manager (since September 2002); Director of Quantitative Research and Portfolio Strategist for Equities; the Mary Jo Vaughn Rauscher Chair in Financial Investments at Southern Methodist University (1995-2002). Director of the Finance Institute, Chairman of the Finance Department, President of the Faculty at the Cox School of Business and member of the Board of Trustee Investment Committee while at Southern Methodist University. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Mark Zavanelli, Vice President and Portfolio Manager (since 2008) Age: 38 | Vice President of the Manager (since November 2000); a Chartered Financial Analyst. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. |
11 | OPPENHEIMER MAIN STREET FUND/VA
Dr. Wentong Alex Zhou, Vice President and Portfolio Manager (since 2008) Age: 42 | Senior quantitative analyst of the Manager (since June 1999), assisting in the management and maintenance of the quantitative models for the Main Street Funds. A portfolio manager of the Manager (since January 2007) and an Assistant Vice President of the Manager (since 2001). A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999- October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
12 | OPPENHEIMER MAIN STREET FUND/VA
December 31, 2008 Oppenheimer Management Main Street Small Cap Commentaries Fund®/VA and Annual Report A Series of Oppenheimer Variable Account Funds M A N A G E M E N T C O M M E N TA R I E S Listing of Top Holdings A N N U A L R E P O RT Fund Performance Discussion Listing of Investments Financial Statements |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2008 | December 31, 2008 | December 31, 2008 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 683.60 | $ | 3.35 | ||||||
Service Shares | 1,000.00 | 682.60 | 4.33 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.17 | 4.02 | |||||||||
Service Shares | 1,000.00 | 1,020.01 | 5.19 |
Class | Expense Ratios | |||
Non-Service Shares | 0.79 | % | ||
Service Shares | 1.02 |
Shares | Value | |||||||
Common Stocks—98.2% | ||||||||
Consumer Discretionary—16.3% | ||||||||
Auto Components—1.0% | ||||||||
American Axle & Manufacturing Holdings, Inc.1 | 137,800 | $ | 398,242 | |||||
Amerigon, Inc.1,2 | 2,800 | 9,128 | ||||||
ArvinMeritor, Inc.1 | 140,271 | 399,772 | ||||||
Autoliv, Inc. | 57,800 | 1,240,388 | ||||||
Cooper Tire & Rubber Co. | 116,476 | 717,492 | ||||||
Drew Industries, Inc.2 | 34,800 | 417,600 | ||||||
Exide Technologies2 | 42,200 | 223,238 | ||||||
Fuel Systems Solutions, Inc.2 | 579 | 18,968 | ||||||
Goodyear Tire & Rubber Co. (The)2 | 30,500 | 182,085 | ||||||
Hayes Lemmerz International, Inc.2 | 7,500 | 3,375 | ||||||
Lear Corp.2 | 146,400 | 206,424 | ||||||
Modine Manufacturing Co. | 28,374 | 138,181 | ||||||
Shiloh Industries, Inc. | 2,700 | 8,100 | ||||||
Stoneridge, Inc.2 | 44,487 | 202,861 | ||||||
Superior Industries International, Inc.1 | 32,100 | 337,692 | ||||||
Tenneco, Inc.1,2 | 145,900 | 430,405 | ||||||
TRW Automotive Holdings Corp.2 | 168,600 | 606,960 | ||||||
Visteon Corp.2 | 15,700 | 5,495 | ||||||
WABCO Holdings, Inc. | 42,500 | 671,075 | ||||||
6,217,481 | ||||||||
Automobiles—0.2% | ||||||||
Thor Industries, Inc.1 | 66,000 | 869,880 | ||||||
Winnebago Industries, Inc. | 31,500 | 189,945 | ||||||
1,059,825 | ||||||||
Distributors—0.0% | ||||||||
Core-Mark Holding Co., Inc.2 | 4,900 | 105,448 | ||||||
Diversified Consumer Services—0.6% | ||||||||
Career Education Corp.1,2 | 41,700 | 748,098 | ||||||
Coinstar, Inc.2 | 3,000 | 58,530 | ||||||
Noah Education Holdings Ltd., ADR1 | 19,500 | 61,425 | ||||||
Pre-Paid Legal Services, Inc.1,2 | 7,105 | 264,945 | ||||||
Regis Corp. | 66,800 | 970,604 | ||||||
Service Corp. International | 38,600 | 191,842 | ||||||
Steiner Leisure Ltd.2 | 23,738 | 700,746 | ||||||
Stewart Enterprises, Inc.1 | 97,800 | 294,378 | ||||||
Universal Technical Institute, Inc.2 | 19,400 | 333,098 | ||||||
3,623,666 | ||||||||
Hotels, Restaurants & Leisure—2.5% | ||||||||
AFC Enterprises, Inc.2 | 5,200 | 24,388 | ||||||
Ameristar Casinos, Inc.1 | 19,900 | 171,936 | ||||||
Bally Technologies, Inc.2 | 15,400 | 370,062 | ||||||
BJ’s Restaurants, Inc.2 | 9,100 | 98,007 | ||||||
Bob Evans Farms, Inc. | 69,014 | 1,409,956 | ||||||
Boyd Gaming Corp.1 | 115,617 | 546,868 | ||||||
Brinker International, Inc.1 | 110,920 | 1,169,097 | ||||||
California Pizza Kitchen, Inc.2 | 39,200 | 420,224 | ||||||
CEC Entertainment, Inc.2 | 53,070 | 1,286,948 | ||||||
Cheesecake Factory, Inc. (The)2 | 37,042 | 374,124 | ||||||
Churchill Downs, Inc. | 4,100 | 165,722 | ||||||
CKE Restaurants, Inc. | 74,000 | 642,320 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 41,550 | 855,515 | ||||||
Denny’s Corp.2 | 186,300 | 370,737 | ||||||
DineEquity, Inc.1 | 13,400 | 154,904 | ||||||
Domino’s Pizza, Inc.2 | 6,200 | 29,202 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 2,100 | 6,678 | ||||||
International Speedway Corp., Cl. A | 21,200 | 609,076 | ||||||
Interval Leisure Group, Inc.2 | 14,720 | 79,341 | ||||||
Isle of Capri Casinos, Inc.1,2 | 16,500 | 52,800 | ||||||
Jack in the Box, Inc.2 | 46,000 | 1,016,140 | ||||||
Krispy Kreme Doughnuts, Inc.1,2 | 57,700 | 96,936 | ||||||
Life Time Fitness, Inc.1,2 | 16,821 | 217,832 | ||||||
Marcus Corp. (The) | 19,500 | 316,485 | ||||||
Morgans Hotel Group Co.2 | 3,500 | 16,310 | ||||||
O’Charley’s, Inc. | 5,400 | 10,800 | ||||||
Orient-Express Hotel Ltd., Cl. A1 | 25,600 | 196,096 | ||||||
Panera Bread Co., Cl. A1,2 | 14,800 | 773,152 | ||||||
Peet’s Coffee & Tea, Inc.2 | 3,900 | 90,675 | ||||||
Pinnacle Entertainment, Inc.1,2 | 36,100 | 277,248 | ||||||
Red Robin Gourmet Burgers, Inc.2 | 16,500 | 277,695 | ||||||
Riviera Holdings Corp.2 | 700 | 2,100 | ||||||
Ruby Tuesday, Inc.2 | 52,000 | 81,120 | ||||||
Shuffle Master, Inc.2 | 20,096 | 99,676 | ||||||
Sonic Corp.2 | 13,600 | 165,512 | ||||||
Speedway Motorsports, Inc. | 25,479 | 410,467 | ||||||
Steak n Shake Co. (The)1,2 | 20,800 | 123,760 | ||||||
Town Sports International Holdings, Inc.2 | 9,300 | 29,667 | ||||||
Vail Resorts, Inc.1,2 | 19,500 | 518,700 | ||||||
WMS Industries, Inc.1,2 | 49,314 | 1,326,547 | ||||||
Wyndham Worldwide Corp. | 72,643 | 475,812 | ||||||
15,360,635 | ||||||||
Household Durables—1.6% | ||||||||
American Greetings Corp., Cl. A1 | 99,355 | 752,117 | ||||||
Beazer Homes USA, Inc.2 | 78,000 | 123,240 |
Shares | Value | |||||||
Household Durables Continued | ||||||||
Blyth, Inc. | 66,080 | $ | 518,067 | |||||
Brookfield Homes Corp. | 3,300 | 14,256 | ||||||
Cavco Industries, Inc.1,2 | 3,900 | 104,871 | ||||||
Centex Corp.1 | 43,000 | 457,520 | ||||||
Champion Enterprises, Inc.2 | 132,900 | 74,424 | ||||||
CSS Industries, Inc.1 | 12,350 | 219,089 | ||||||
Ethan Allen Interiors, Inc.1 | 26,800 | 385,116 | ||||||
Furniture Brands International, Inc.1 | 81,300 | 179,673 | ||||||
Harman International Industries, Inc. | 46,700 | 781,291 | ||||||
Helen of Troy Ltd.2 | 44,710 | 776,166 | ||||||
Hooker Furniture Corp.1 | 20,210 | 154,809 | ||||||
Hovnanian Enterprises, Inc., Cl. A1,2 | 164,798 | 283,453 | ||||||
Jarden Corp.2 | 10,300 | 118,450 | ||||||
KB Home1 | 31,200 | 424,944 | ||||||
La-Z-Boy, Inc.1 | 98,749 | 214,285 | ||||||
Lennar Corp., Cl. A1 | 123,900 | 1,074,213 | ||||||
M/I Homes, Inc. | 29,836 | 314,471 | ||||||
MDC Holdings, Inc. | 3,600 | 109,080 | ||||||
Meritage Homes Corp.2 | 44,400 | 540,348 | ||||||
National Presto Industries, Inc. | 8,100 | 623,700 | ||||||
Palm Harbor Homes, Inc.1,2 | 6,600 | 32,868 | ||||||
Ryland Group, Inc. (The)1 | 49,900 | 881,733 | ||||||
Sealy Corp. | 59,220 | 148,642 | ||||||
Standard Pacific Corp.2 | 27,900 | 49,662 | ||||||
Tempur-Pedic International, Inc.1 | 75,500 | 535,295 | ||||||
Universal Electronics, Inc.2 | 300 | 4,866 | ||||||
9,896,649 | ||||||||
Internet & Catalog Retail—0.9% | ||||||||
1-800-FLOWERS.com, Inc.2 | 68,600 | 262,052 | ||||||
Bidz.com, Inc.1,2 | 4,100 | 18,860 | ||||||
Blue Nile, Inc.1,2 | 10,400 | 254,696 | ||||||
Expedia, Inc.2 | 43,400 | 357,616 | ||||||
Gaiam, Inc.2 | 8,300 | 38,346 | ||||||
HSN, Inc.2 | 13,420 | 97,563 | ||||||
Liberty Media Corp.-Interactive, Series A2 | 71,700 | 223,704 | ||||||
NetFlix.com, Inc.1,2 | 57,700 | 1,724,653 | ||||||
NutriSystem, Inc.1 | 51,050 | 744,820 | ||||||
Orbitz Worldwide, Inc.2 | 32,500 | 126,100 | ||||||
Overstock.com, Inc.2 | 25,789 | 278,005 | ||||||
PetMed Express, Inc.1,2 | 32,800 | 578,264 | ||||||
Priceline.com, Inc.1,2 | 2,700 | 198,855 | ||||||
Shutterfly, Inc.2 | 9,300 | 65,007 | ||||||
Stamps.com, Inc.2 | 36,083 | 354,696 | ||||||
Ticketmaster Entertainment, Inc.2 | 20,220 | 129,812 | ||||||
5,453,049 | ||||||||
Leisure Equipment & Products—0.8% | ||||||||
Brunswick Corp.1 | 230,000 | 968,300 | ||||||
Callaway Golf Co.1 | 165,300 | 1,535,637 | ||||||
JAKKS Pacific, Inc.1,2 | 40,700 | 839,641 | ||||||
Leapfrog Enterprises, Inc.1,2 | 70,700 | 247,450 | ||||||
Polaris Industries, Inc.1 | 25,800 | 739,170 | ||||||
Pool Corp. | 8,700 | 156,339 | ||||||
RC2 Corp.2 | 14,000 | 149,380 | ||||||
Steinway Musical Instruments, Inc.2 | 10,627 | 186,079 | ||||||
4,821,996 | ||||||||
Media—1.2% | ||||||||
Arbitron, Inc. | 8,000 | 106,240 | ||||||
Ascent Media Corp., Cl. A2 | 1,900 | 41,496 | ||||||
Belo Corp., Cl. A | 139,600 | 217,776 | ||||||
Cablevision Systems Corp. New York Group, Cl. A | 9,800 | 165,032 | ||||||
CBS Corp., Cl. B | 22,400 | 183,456 | ||||||
Central European Media Enterprises Ltd., Cl. A1,2 | 4,500 | 97,740 | ||||||
Charter Communications, Inc., Cl. A2 | 358,100 | 29,293 | ||||||
Clear Channel Outdoor Holdings, Inc., Cl. A2 | 10,200 | 62,730 | ||||||
Cox Radio, Inc., Cl. A1,2 | 50,585 | 304,016 | ||||||
CTC Media, Inc.2 | 3,900 | 18,720 | ||||||
Cumulus Media, Inc., Cl. A2 | 24,100 | 60,009 | ||||||
Dish Network Corp., Cl. A2 | 21,100 | 233,999 | ||||||
Entercom Communications Corp. | 10,300 | 12,669 | ||||||
Entravision Communications Corp.2 | 133,515 | 208,283 | ||||||
EW Scripps Co. (The), Cl. A | 60,700 | 134,147 | ||||||
Fisher Communications, Inc. | 900 | 18,576 | ||||||
Gannett Co., Inc.1 | 13,600 | 108,800 | ||||||
Global Sources Ltd.1,2 | 46,536 | 253,621 | ||||||
Harte-Hanks, Inc.1 | 34,300 | 214,032 | ||||||
Hearst-Argyle Television, Inc.1 | 4,100 | 24,846 | ||||||
Journal Communications, Inc. | 22,100 | 54,145 | ||||||
Knology, Inc.2 | 16,600 | 85,656 | ||||||
Lamar Advertising Co., Cl. A1,2 | 38,800 | 487,328 | ||||||
Liberty Media Holding Corp.-Capital, Series A2 | 8,600 | 40,506 | ||||||
Lin TV Corp., Cl. A2 | 27,500 | 29,975 | ||||||
McClatchy Co., Cl. A1 | 71,300 | 57,040 |
Shares | Value | |||||||
Media Continued | ||||||||
McGraw-Hill Cos., Inc. (The) | 12,100 | $ | 280,599 | |||||
Media General, Inc., Cl. A1 | 21,400 | 37,450 | ||||||
Mediacom Communications Corp.2 | 59,400 | 255,420 | ||||||
Meredith Corp.1 | 83,300 | 1,426,096 | ||||||
National CineMedia, Inc. | 35,510 | 360,071 | ||||||
RCN Corp.2 | 3,300 | 19,470 | ||||||
Scholastic Corp. | 66,600 | 904,428 | ||||||
Sinclair Broadcast Group, Inc., Cl. A1 | 111,099 | 344,407 | ||||||
Valassis Communications, Inc.2 | 9,000 | 11,880 | ||||||
Warner Music Group Corp. | 75,500 | 228,010 | ||||||
7,117,962 | ||||||||
Multiline Retail—0.5% | ||||||||
Big Lots, Inc.1,2 | 81,700 | 1,183,833 | ||||||
Dillard’s, Inc., Cl. A1 | 174,986 | 694,694 | ||||||
Fred’s, Inc. | 84,798 | 912,426 | ||||||
Macy’s, Inc. | 19,200 | 198,720 | ||||||
Nordstrom, Inc.1 | 10,800 | 143,748 | ||||||
Retail Ventures, Inc.2 | 2,500 | 8,675 | ||||||
3,142,096 | ||||||||
Specialty Retail—5.3% | ||||||||
Abercrombie & Fitch Co., Cl. A1 | 15,400 | 355,278 | ||||||
Aeropostale, Inc.2 | 101,400 | 1,632,540 | ||||||
America’s Car-Mart, Inc.1,2 | 19,530 | 269,709 | ||||||
American Eagle Outfitters, Inc. | 13,900 | 130,104 | ||||||
AnnTaylor Stores Corp.2 | 164,500 | 949,165 | ||||||
Asbury Automotive Group, Inc.1 | 61,400 | 280,598 | ||||||
AutoNation, Inc.1,2 | 134,600 | 1,329,848 | ||||||
Barnes & Noble, Inc.1 | 62,500 | 937,500 | ||||||
bebe stores, inc. | 61,300 | 457,911 | ||||||
Big 5 Sporting Goods Corp. | 2,826 | 14,723 | ||||||
Blockbuster, Inc., Cl. A1,2 | 180,600 | 222,138 | ||||||
Books-A-Million, Inc. | 3,100 | 7,905 | ||||||
Borders Group, Inc.2 | 69,792 | 27,917 | ||||||
Brown Shoe Co., Inc.1 | 107,375 | 909,466 | ||||||
Buckle, Inc. (The)1 | 61,500 | 1,341,930 | ||||||
Cato Corp., Cl. A | 36,200 | 546,620 | ||||||
Charlotte Russe Holding, Inc.2 | 29,300 | 190,157 | ||||||
Charming Shoppes, Inc.1,2 | 104,127 | 254,070 | ||||||
Chico’s FAS, Inc.2 | 52,800 | 220,704 | ||||||
Children’s Place Retail Stores, Inc.2 | 61,600 | 1,335,488 | ||||||
Christopher & Banks Corp. | 41,300 | 231,280 | ||||||
Citi Trends, Inc.1,2 | 37,527 | 552,397 | ||||||
Coldwater Creek, Inc.2 | 78,600 | 224,010 | ||||||
Conn’s, Inc.1,2 | 18,197 | 154,311 | ||||||
Dress Barn, Inc. (The)1,2 | 124,704 | 1,339,321 | ||||||
Finish Line, Inc. (The), Cl. A | 122,100 | 683,760 | ||||||
Foot Locker, Inc. | 52,300 | 383,882 | ||||||
Genesco, Inc.1,2 | 37,600 | 636,192 | ||||||
Group 1 Automotive, Inc.1 | 42,600 | 458,802 | ||||||
Guess?, Inc. | 7,700 | 118,195 | ||||||
Gymboree Corp.1,2 | 13,100 | 341,779 | ||||||
Haverty Furniture Cos., Inc.1 | 52,400 | 488,892 | ||||||
hhgregg, Inc.2 | 2,300 | 19,964 | ||||||
Hibbett Sports, Inc.1,2 | 28,000 | 439,880 | ||||||
Hot Topic, Inc.2 | 89,220 | 827,069 | ||||||
J. Crew Group, Inc.2 | 4,400 | 53,680 | ||||||
Jo-Ann Stores, Inc.2 | 59,317 | 918,820 | ||||||
Limited Brands, Inc. | 21,700 | 217,868 | ||||||
Lumber Liquidators, Inc.1,2 | 14,300 | 151,008 | ||||||
Men’s Wearhouse, Inc. (The)1 | 65,400 | 885,516 | ||||||
Monro Muffler Brake, Inc. | 5,180 | 132,090 | ||||||
New York & Co., Inc.2 | 69,200 | 160,544 | ||||||
Office Depot, Inc.2 | 263,900 | 786,422 | ||||||
OfficeMax, Inc. | 117,700 | 899,228 | ||||||
Pacific Sunwear of California, Inc.2 | 122,000 | 193,980 | ||||||
Penske Automotive Group, Inc.1 | 89,700 | 688,896 | ||||||
Pep Boys-Manny, Moe & Jack1 | 71,988 | 297,310 | ||||||
Pier 1 Imports, Inc.2 | 16,000 | 5,920 | ||||||
RadioShack Corp. | 60,400 | 721,176 | ||||||
Rent-A-Center, Inc.2 | 103,100 | 1,819,715 | ||||||
Sally Beauty Holdings, Inc.1,2 | 122,300 | 695,887 | ||||||
Sonic Automotive, Inc.1 | 56,300 | 224,074 | ||||||
Stage Stores, Inc. | 71,400 | 589,050 | ||||||
Systemax, Inc.1 | 34,600 | 372,642 | ||||||
Talbots, Inc. (The)1 | 88,200 | 210,798 | ||||||
Tractor Supply Co.1,2 | 54,505 | 1,969,811 | ||||||
Tween Brands, Inc.2 | 45,600 | 196,992 | ||||||
Wet Seal, Inc., Cl. A2 | 164,800 | 489,456 | ||||||
Williams-Sonoma, Inc.1 | 140,100 | 1,101,186 | ||||||
Zale Corp.1,2 | 74,400 | 247,752 | ||||||
Zumiez, Inc.2 | 17,300 | 128,885 | ||||||
32,472,211 | ||||||||
Textiles, Apparel & Luxury Goods—1.7% | ||||||||
American Apparel, Inc.2 | 11,500 | 22,885 | ||||||
Coach, Inc.2 | 15,800 | 328,166 | ||||||
Crocs, Inc.1,2 | 36,900 | 45,756 | ||||||
FGX International Holdings Ltd.2 | 3,500 | 48,090 | ||||||
Jones Apparel Group, Inc. | 169,400 | 992,684 | ||||||
K-Swiss, Inc., Cl. A | 7,100 | 80,940 |
Shares | Value | |||||||
Textiles, Apparel & Luxury Goods Continued | ||||||||
Kenneth Cole Productions, Inc., Cl. A | 11,200 | $ | 79,296 | |||||
Liz Claiborne, Inc.1 | 308,903 | 803,148 | ||||||
Maidenform Brands, Inc.2 | 26,500 | 268,975 | ||||||
Movado Group, Inc. | 9,300 | 87,327 | ||||||
Oxford Industries, Inc. | 25,300 | 221,881 | ||||||
Perry Ellis International, Inc.2 | 35,100 | 222,534 | ||||||
Phillips/Van Heusen Corp. | 49,000 | 986,370 | ||||||
Polo Ralph Lauren Corp., Cl. A | 3,500 | 158,935 | ||||||
Quicksilver, Inc.2 | 249,800 | 459,632 | ||||||
Steven Madden Ltd.2 | 35,000 | 746,200 | ||||||
Timberland Co., Cl. A2 | 71,800 | 829,290 | ||||||
True Religion Apparel, Inc.1,2 | 30,900 | 384,396 | ||||||
Unifi, Inc.2 | 58,100 | 163,842 | ||||||
UniFirst Corp. | 15,754 | 467,736 | ||||||
Volcom, Inc.2 | 2,700 | 29,430 | ||||||
Warnaco Group, Inc. (The)2 | 72,104 | 1,415,402 | ||||||
Wolverine World Wide, Inc. | 65,450 | 1,377,068 | ||||||
10,219,983 | ||||||||
Consumer Staples—2.1% | ||||||||
Beverages—0.0% | ||||||||
Boston Beer Co., Inc., Cl. A1,2 | 6,400 | 181,760 | ||||||
Coca-Cola Bottling Co. Consolidated | 600 | 27,576 | ||||||
209,336 | ||||||||
Food & Staples Retailing—0.5% | ||||||||
Andersons, Inc. (The) | 1,600 | 26,368 | ||||||
Arden Group, Inc., Cl. A | 1,405 | 177,030 | ||||||
Casey’s General Stores, Inc. | 8,100 | 184,437 | ||||||
Ingles Markets, Inc., Cl. A | 8,100 | 142,479 | ||||||
Nash Finch Co.1 | 19,800 | 888,822 | ||||||
Pantry, Inc. (The)2 | 46,700 | 1,001,715 | ||||||
Spartan Stores, Inc. | 19,400 | 451,050 | ||||||
SUPERVALU, Inc. | 11,700 | 170,820 | ||||||
Winn-Dixie Stores, Inc.2 | 1,100 | 17,710 | ||||||
3,060,431 | ||||||||
Food Products—0.5% | ||||||||
Agria Corp., ADR2 | 965 | 1,438 | ||||||
B&G Foods, Inc., Cl. A | 4,100 | 22,140 | ||||||
Bunge Ltd. | 1,900 | 98,363 | ||||||
Chiquita Brands International, Inc.1,2 | 48,300 | 713,874 | ||||||
Darling International, Inc.2 | 166,000 | 911,340 | ||||||
Del Monte Foods Co. | 31,400 | 224,196 | ||||||
Diamond Foods, Inc. | 23,200 | 467,480 | ||||||
J&J Snack Foods Corp. | 1,600 | 57,408 | ||||||
Omega Protein Corp.2 | 36,622 | 146,854 | ||||||
Ralcorp Holdings, Inc.2 | 5,000 | 292,000 | ||||||
Reddy Ice Holdings, Inc. | 5,400 | 7,776 | ||||||
2,942,869 | ||||||||
Household Products—0.1% | ||||||||
Central Garden & Pet Co., Cl. A2 | 39,663 | 234,012 | ||||||
WD-40 Co. | 16,886 | 477,705 | ||||||
711,717 | ||||||||
Personal Products—0.8% | ||||||||
American Oriental Bioengineering, Inc.1,2 | 138,700 | 941,773 | ||||||
Bare Escentuals, Inc.2 | 34,800 | 182,004 | ||||||
Elizabeth Arden, Inc.2 | 25,335 | 319,474 | ||||||
Herbalife Ltd. | 50,900 | 1,103,512 | ||||||
Inter Parfums, Inc. | 27,450 | 210,816 | ||||||
NBTY, Inc.2 | 77,300 | 1,209,745 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A | 20,400 | 212,772 | ||||||
Prestige Brands Holdings, Inc.2 | 71,300 | 752,215 | ||||||
Revlon, Inc., Cl. A2 | 1,888 | 12,593 | ||||||
4,944,904 | ||||||||
Tobacco—0.2% | ||||||||
Universal Corp.1 | 32,000 | 955,840 | ||||||
Energy—6.4% | ||||||||
Energy Equipment & Services—2.9% | ||||||||
Allis-Chalmers Energy, Inc.1,2 | 51,400 | 282,700 | ||||||
Basic Energy Services, Inc.1,2 | 53,100 | 692,424 | ||||||
BJ Services Co. | 24,300 | 283,581 | ||||||
Bronco Drilling Co., Inc.2 | 7,834 | 50,608 | ||||||
Complete Production Services, Inc.2 | 108,000 | 880,200 | ||||||
Dawson Geophysical Co.1,2 | 11,200 | 199,472 | ||||||
Dresser-Rand Group, Inc.2 | 24,300 | 419,175 | ||||||
Dril-Quip, Inc.2 | 14,600 | 299,446 | ||||||
ENGlobal Corp.2 | 37,100 | 120,575 | ||||||
ENSCO International, Inc. | 13,465 | 382,271 | ||||||
Exterran Holdings, Inc.1,2 | 28,500 | 607,050 | ||||||
Forbes Energy Services Ltd.2 | 23,600 | 29,871 | ||||||
Forbes Energy Services Ltd., Legend Shares2,3 | 101,800 | 128,850 | ||||||
Global Industries Ltd.2 | 36,300 | 126,687 | ||||||
Gulf Island Fabrication, Inc. | 35,874 | 516,944 | ||||||
Gulfmark Offshore, Inc.2 | 26,900 | 639,951 | ||||||
Helix Energy Solutions Group, Inc.2 | 36,400 | 263,536 | ||||||
Helmerich & Payne, Inc. | 3,700 | 84,175 |
Shares | Value | |||||||
Energy Equipment & Services Continued | ||||||||
Hercules Offshore, Inc.1,2 | 55,358 | $ | 262,951 | |||||
Hornbeck Offshore Services, Inc.2 | 22,000 | 359,480 | ||||||
ION Geophysical Corp.1,2 | 54,600 | 187,278 | ||||||
Key Energy Services, Inc.2 | 187,700 | 827,757 | ||||||
Matrix Service Co.2 | 15,600 | 119,652 | ||||||
Nabors Industries Ltd.2 | 33,400 | 399,798 | ||||||
NATCO Group, Inc., Cl. A2 | 10,128 | 153,743 | ||||||
Natural Gas Services Group2 | 17,200 | 174,236 | ||||||
Newpark Resources, Inc.2 | 117,097 | 433,259 | ||||||
Noble Corp. | 11,200 | 247,408 | ||||||
North American Energy Partners, Inc.2 | 18,900 | 63,126 | ||||||
Oceaneering International, Inc.2 | 9,200 | 268,088 | ||||||
Oil States International, Inc.1,2 | 89,400 | 1,670,886 | ||||||
Parker Drilling Co.2 | 202,800 | 588,120 | ||||||
Patterson-UTI Energy, Inc. | 58,900 | 677,939 | ||||||
Pioneer Drilling Co.2 | 58,900 | 328,073 | ||||||
Precision Drilling Trust1 | 57,868 | 478,944 | ||||||
Pride International, Inc.2 | 15,700 | 250,886 | ||||||
Seacor Holdings, Inc.1,2 | 21,800 | 1,452,970 | ||||||
Smith International, Inc. | 2,500 | 57,225 | ||||||
Superior Energy Services, Inc.2 | 21,900 | 348,867 | ||||||
T-3 Energy Services, Inc.2 | 600 | 5,664 | ||||||
Technicoil Corp.2 | 126,700 | 41,914 | ||||||
Technicoil Corp., Legend Shares2 | 7,100 | 2,349 | ||||||
Tetra Technologies, Inc.2 | 76,350 | 371,061 | ||||||
Tidewater, Inc. | 4,400 | 177,188 | ||||||
Union Drilling, Inc.2 | 30,948 | 160,620 | ||||||
Unit Corp.2 | 33,900 | 905,808 | ||||||
Weatherford International Ltd.2 | 23,800 | 257,516 | ||||||
Willbros Group, Inc.2 | 30,650 | 259,606 | ||||||
17,539,928 | ||||||||
Oil, Gas & Consumable Fuels—3.5% | ||||||||
Abraxas Petroleum Corp.2 | 14,300 | 10,296 | ||||||
Alberta Clipper Energy, Inc.2 | 3,287 | 1,216 | ||||||
Alon USA Energy, Inc.1 | 3,300 | 30,195 | ||||||
Alpha Natural Resources, Inc.2 | 8,000 | 129,520 | ||||||
Arena Resources, Inc.2 | 4,600 | 129,214 | ||||||
ATP Oil & Gas Corp.1,2 | 66,300 | 387,855 | ||||||
Berry Petroleum Co., Cl. A | 106,900 | 808,164 | ||||||
Bill Barrett Corp.2 | 45,200 | 955,076 | ||||||
BPZ Resources, Inc.1,2 | 14,800 | 94,720 | ||||||
Brigham Exploration Co.2 | 75,900 | 242,880 | ||||||
Callon Petroleum Co.2 | 49,004 | 127,410 | ||||||
Cano Petroleum, Inc.2 | 6,500 | 2,860 | ||||||
Carrizo Oil & Gas, Inc.2 | 7,600 | 122,360 | ||||||
Celtic Exploration Ltd., Legend Shares2 | 2,800 | 29,019 | ||||||
Cimarex Energy Co.1 | 30,700 | 822,146 | ||||||
Contango Oil & Gas Co.2 | 1,100 | 61,930 | ||||||
Crosstex Energy, Inc. | 10,000 | 39,000 | ||||||
CVR Energy, Inc.2 | 67,800 | 271,200 | ||||||
Delek US Holdings, Inc. | 40,022 | 211,716 | ||||||
Delphi Energy Corp., Legend Shares2 | 3,700 | 3,011 | ||||||
Denbury Resources, Inc.2 | 34,700 | 378,924 | ||||||
DHT Maritime, Inc. | 2,100 | 11,634 | ||||||
Enbridge Energy Management LLC2 | 419 | 10,245 | ||||||
Encore Acquisition Co.2 | 9,800 | 250,096 | ||||||
Energy Partners Ltd.2 | 64,732 | 87,388 | ||||||
Foundation Coal Holdings, Inc. | 93,500 | 1,310,870 | ||||||
Frontier Oil Corp. | 79,500 | 1,004,085 | ||||||
Frontline Ltd.1 | 3,800 | 112,518 | ||||||
Galleon Energy, Inc., Cl. A2 | 14,350 | 60,150 | ||||||
Galleon Energy, Inc., Subscription Receipts, Legend Shares2 | 11,250 | 47,156 | ||||||
Gasco Energy, Inc.2 | 89,600 | 34,944 | ||||||
General Maritime Corp.1 | 41,086 | 443,729 | ||||||
GeoResources, Inc.2 | 8,400 | 72,996 | ||||||
Great Plains Exploration, Inc.2 | 32,360 | 7,447 | ||||||
Gulfport Energy Corp.2 | 8,624 | 34,065 | ||||||
Holly Corp. | 23,600 | 430,228 | ||||||
Houston American Energy Corp. | 1,600 | 5,408 | ||||||
International Coal Group, Inc.1,2 | 26,100 | 60,030 | ||||||
Jura Energy Corp., Legend Shares2 | 110,300 | 8,612 | ||||||
Knightsbridge Tankers Ltd.1 | 29,300 | 429,245 | ||||||
Mariner Energy, Inc.2 | 130,500 | 1,331,100 | ||||||
Massey Energy Co. | 32,900 | 453,691 | ||||||
McMoRan Exploration Co.2 | 28,200 | 276,360 | ||||||
Meridian Resource Corp. (The)2 | 44,200 | 25,194 | ||||||
Midnight Oil Exploration Ltd.2 | 45,050 | 27,770 | ||||||
Overseas Shipholding Group, Inc.1 | 18,503 | 779,161 | ||||||
Paramount Resources Ltd., Cl. A2 | 4,500 | 25,409 | ||||||
PetroQuest Energy, Inc.2 | 73,300 | 495,508 | ||||||
Pioneer Natural Resources Co. | 7,400 | 119,732 | ||||||
Plains Exploration & Production Co.2 | 18,700 | 434,588 | ||||||
Quicksilver Resources, Inc.2 | 56,500 | 314,705 | ||||||
Rentech, Inc.2 | 11,700 | 7,956 | ||||||
Rosetta Resources, Inc.2 | 105,300 | 745,524 | ||||||
St. Mary Land & Exploration Co. | 5,900 | 119,829 | ||||||
Stone Energy Corp.2 | 95,284 | 1,050,030 | ||||||
Sunoco, Inc.1 | 6,600 | 286,836 | ||||||
Swift Energy Co.2 | 60,800 | 1,022,048 | ||||||
Teekay Tankers Ltd., Cl. A1 | 25,600 | 325,120 |
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Tesoro Corp. | 78,121 | $ | 1,028,854 | |||||
Tristar Oil & Gas Ltd.2 | 4,800 | 45,014 | ||||||
Tusk Energy Corp.2 | 38,312 | 28,969 | ||||||
Tusk Energy Corp., Legend Shares2,4 | 21,300 | 16,106 | ||||||
Tusk Energy Corp., Legend Shares2 | 77,900 | 58,904 | ||||||
VAALCO Energy, Inc.2 | 127,200 | 946,368 | ||||||
Venoco, Inc.1,2 | 7,500 | 20,325 | ||||||
Vero Energy, Inc.2 | 22,282 | 99,625 | ||||||
W&T Offshore, Inc. | 78,900 | 1,129,848 | ||||||
Walter Industries, Inc. | 11,700 | 204,867 | ||||||
Warren Resources, Inc.2 | 25,700 | 51,143 | ||||||
Western Refining, Inc.1 | 54,500 | 422,920 | ||||||
Westmoreland Coal Co.2 | 3,800 | 42,180 | ||||||
Williams (Clayton) Energy, Inc.2 | 2,400 | 109,056 | ||||||
World Fuel Services Corp. | 3,400 | 125,800 | ||||||
21,450,098 | ||||||||
Financials—15.9% | ||||||||
Capital Markets—1.2% | ||||||||
Affiliated Managers Group, Inc.2 | 4,700 | 197,024 | ||||||
Ameriprise Financial, Inc. | 12,400 | 289,664 | ||||||
BGC Partners, Inc., Cl. A | 7,000 | 19,320 | ||||||
Cohen & Steers, Inc.1 | 6,518 | 71,633 | ||||||
E*TRADE Financial Corp.1,2 | 461,200 | 530,380 | ||||||
GAMCO Investors, Inc., Cl. A | 7,840 | 214,189 | ||||||
GFI Group, Inc. | 8,800 | 31,152 | ||||||
Investment Technology Group, Inc.2 | 13,000 | 295,360 | ||||||
Janus Capital Group, Inc. | 54,400 | 436,832 | ||||||
KBW, Inc.1,2 | 10,000 | 230,000 | ||||||
Knight Capital Group, Inc., Cl. A2 | 40,342 | 651,523 | ||||||
LaBranche & Co., Inc.2 | 124,900 | 598,271 | ||||||
Legg Mason, Inc. | 8,700 | 190,617 | ||||||
NGP Capital Resources Co. | 4,600 | 38,502 | ||||||
Penson Worldwide, Inc.2 | 22,900 | 174,498 | ||||||
Piper Jaffray Cos., Inc.2 | 21,000 | 834,960 | ||||||
Sanders Morris Harris Group, Inc. | 5,700 | 34,143 | ||||||
SEI Investments Co. | 2,800 | 43,988 | ||||||
Stifel Financial Corp.2 | 24,150 | 1,107,278 | ||||||
SWS Group, Inc. | 56,556 | 1,071,736 | ||||||
TD Ameritrade Holding Corp.2 | 200 | 2,850 | ||||||
thinkorswim Group, Inc.2 | 23,300 | 130,946 | ||||||
Thomas Weisel Partners Group, Inc.2 | 4,600 | 21,712 | ||||||
Tradestation Group, Inc.2 | 14,900 | 96,105 | ||||||
U.S. Global Investors, Inc., Cl. A | 1,200 | 5,868 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 20,500 | 316,930 | ||||||
7,635,481 | ||||||||
Commercial Banks—4.5% | ||||||||
1st Source Corp. | 2,964 | 70,039 | ||||||
Amcore Financial, Inc. | 6,534 | 23,653 | ||||||
BancFirst Corp. | 3,800 | 201,096 | ||||||
Banco Latinoamericano de Exportaciones SA, Cl. E | 12,900 | 185,244 | ||||||
Boston Private Financial Holdings, Inc.1 | 39,678 | 271,398 | ||||||
Capitol Bancorp Ltd.1 | 2,860 | 22,308 | ||||||
Cascade Bancorp1 | 6,900 | 46,575 | ||||||
Cathay Bancorp, Inc.1 | 26,200 | 622,250 | ||||||
Central Pacific Financial Corp.1 | 52,900 | 531,116 | ||||||
Chemical Financial Corp. | 10,700 | 298,316 | ||||||
Citizens Republic Bancorp, Inc. | 43,500 | 129,630 | ||||||
City Bank Lynnwood, WA | 4,100 | 21,320 | ||||||
City Holding Co. | 21,500 | 747,770 | ||||||
CoBiz Financial, Inc.1 | 9,500 | 92,530 | ||||||
Colonial BancGroup, Inc. (The)1 | 157,600 | 326,232 | ||||||
Columbia Banking System, Inc. | 7,900 | 94,247 | ||||||
Community Bank System, Inc. | 35,600 | 868,284 | ||||||
Community Trust Bancorp, Inc. | 13,800 | 507,150 | ||||||
East West Bancorp, Inc. | 77,018 | 1,229,977 | ||||||
F.N.B. Corp. | 3,700 | 48,840 | ||||||
First Community Bancshares, Inc.1 | 5,800 | 202,246 | ||||||
First Financial Bancorp | 15,800 | 195,762 | ||||||
First Horizon National Corp.1 | 162,415 | 1,716,727 | ||||||
First Merchants Corp. | 18,100 | 402,001 | ||||||
First Midwest Bancorp, Inc.1 | 30,700 | 613,079 | ||||||
First Security Group, Inc.1 | 14,300 | 66,066 | ||||||
Frontier Financial Corp.1 | 53,070 | 231,385 | ||||||
Glacier Bancorp, Inc. | 2,500 | 47,550 | ||||||
Greene Bankshares, Inc.1 | 7,550 | 102,227 | ||||||
Guaranty Bancorp2 | 11,100 | 22,200 | ||||||
Hancock Holding Co.1 | 1,700 | 77,282 | ||||||
Hanmi Financial Corp. | 16,100 | 33,166 | ||||||
Huntington Bancshares, Inc. | 45,100 | 345,466 | ||||||
IBERIABANK Corp. | 5,000 | 240,000 | ||||||
Independent Bank Corp. | 4,800 | 125,568 | ||||||
International Bancshares Corp. | 15,000 | 327,450 | ||||||
MainSource Financial Group, Inc. | 8,700 | 134,850 | ||||||
MB Financial, Inc.1 | 3,700 | 103,415 | ||||||
National Penn Bancshares, Inc.1 | 80,700 | 1,170,957 | ||||||
NBT Bancorp, Inc.1 | 17,400 | 486,504 | ||||||
Old National Bancorp1 | 32,390 | 588,202 | ||||||
Old Second Bancorp, Inc. | 600 | 6,960 | ||||||
Oriental Financial Group, Inc. | 31,100 | 188,155 | ||||||
Pacific Capital Bancorp1 | 90,300 | 1,524,264 | ||||||
PacWest Bancorp1 | 32,200 | 866,180 |
Shares | Value | |||||||
Commercial Banks Continued | ||||||||
Park National Corp.1 | 2,700 | $ | 193,725 | |||||
Popular, Inc.1 | 161,900 | 835,404 | ||||||
Porter Bancorp, Inc. | 2,520 | 38,682 | ||||||
Prosperity Bancshares, Inc. | 6,100 | 180,499 | ||||||
Provident Bankshares Corp.1 | 76,100 | 735,126 | ||||||
Regions Financial Corp. | 42,400 | 337,504 | ||||||
Renasant Corp. | 5,900 | 100,477 | ||||||
Republic Bancorp, Inc., Cl. A1 | 4,700 | 127,840 | ||||||
Sandy Spring Bancorp, Inc.1 | 7,100 | 154,993 | ||||||
Santander BanCorp1 | 8,600 | 107,414 | ||||||
Signature Bank2 | 1,800 | 51,642 | ||||||
Simmons First National Corp. | 9,600 | 282,912 | ||||||
South Financial Group, Inc. (The) | 75,000 | 324,000 | ||||||
Southside Bancshares, Inc. | 8,400 | 197,400 | ||||||
Southwest Bancorp, Inc. | 400 | 5,184 | ||||||
Sterling Bancorp | 34,300 | 481,229 | ||||||
Sterling Financial Corp., Western US | 32,700 | 287,760 | ||||||
Susquehanna Bancshares, Inc.1 | 106,800 | 1,699,188 | ||||||
Tompkins Financial Corp.1 | 8,830 | 511,699 | ||||||
TowneBank | 700 | 17,353 | ||||||
Trustmark Corp. | 4,200 | 90,678 | ||||||
UCBH Holdings, Inc. | 84,700 | 582,736 | ||||||
UMB Financial Corp. | 3,900 | 191,646 | ||||||
Umpqua Holdings Corp.1 | 25,200 | 364,644 | ||||||
United Bankshares, Inc. | 1,200 | 39,864 | ||||||
United Community Banks, Inc.1 | 34,296 | 465,740 | ||||||
Webster Financial Corp.1 | 87,000 | 1,198,860 | ||||||
WesBanco, Inc. | 18,800 | 511,548 | ||||||
West Coast Bancorp | 4,208 | 27,731 | ||||||
Westamerica Bancorp | 1,800 | 92,070 | ||||||
Western Alliance Bancorp1,2 | 15,808 | 159,503 | ||||||
Whitney Holding Corp.1 | 37,900 | 606,021 | ||||||
Wintrust Financial Corp.1 | 25,000 | 514,250 | ||||||
27,670,959 | ||||||||
Consumer Finance—0.8% | ||||||||
Advance America Cash Advance Centers, Inc. | 3,500 | 6,615 | ||||||
Advanta Corp., Cl. B | 38,250 | 79,943 | ||||||
AmeriCredit Corp.1,2 | 131,200 | 1,002,368 | ||||||
Cash America International, Inc. | 48,682 | 1,331,453 | ||||||
Discover Financial Services | 42,200 | 402,166 | ||||||
Dollar Financial Corp.2 | 3,085 | 31,776 | ||||||
EZCORP, Inc., Cl. A2 | 27,590 | 419,644 | ||||||
First Cash Financial Services, Inc.2 | 37,500 | 714,750 | ||||||
First Marblehead Corp. (The)1,2 | 42,200 | 54,438 | ||||||
Nelnet, Inc., Cl. A | 19,400 | 278,002 | ||||||
Student Loan Corp. (The) | 1,100 | 45,100 | ||||||
World Acceptance Corp.1,2 | 30,500 | 602,680 | ||||||
4,968,935 | ||||||||
Diversified Financial Services—0.7% | ||||||||
Asset Acceptance Capital Corp.1,2 | 23,000 | 117,530 | ||||||
CIT Group, Inc. | 144,100 | 654,214 | ||||||
Encore Capital Group, Inc.1,2 | 4,600 | 33,120 | ||||||
Financial Federal Corp.1 | 38,586 | 897,896 | ||||||
Interactive Brokers Group, Inc., Cl. A2 | 38,800 | 694,132 | ||||||
Life Partners Holdings, Inc.1 | 1,700 | 74,188 | ||||||
MarketAxess Holdings, Inc.2 | 16,900 | 137,904 | ||||||
NewStar Financial, Inc.2 | 3,500 | 13,965 | ||||||
NYSE Euronext | 10,100 | 276,538 | ||||||
PHH Corp.1,2 | 88,800 | 1,130,424 | ||||||
Pico Holdings, Inc.2 | 4,200 | 111,636 | ||||||
4,141,547 | ||||||||
Insurance—4.8% | ||||||||
Allied World Assurance Holdings Ltd. | 24,340 | 988,204 | ||||||
American Equity Investment Life Holding Co.1 | 64,800 | 453,600 | ||||||
American Financial Group, Inc. | 11,700 | 267,696 | ||||||
American Physicians Capital, Inc. | 21,150 | 1,017,315 | ||||||
Amerisafe, Inc.2 | 42,900 | 880,737 | ||||||
AmTrust Financial Services, Inc. | 57,500 | 667,000 | ||||||
Aspen Insurance Holdings Ltd. | 72,800 | 1,765,400 | ||||||
Assured Guaranty Ltd. | 6,400 | 72,960 | ||||||
Axis Capital Holdings Ltd. | 6,200 | 180,544 | ||||||
Citizens, Inc.1,2 | 5,300 | 51,410 | ||||||
CNA Financial Corp. | 20,700 | 340,308 | ||||||
CNA Surety Corp.2 | 31,100 | 597,120 | ||||||
Conseco, Inc.2 | 218,900 | 1,133,902 | ||||||
Delphi Financial Group, Inc., Cl. A | 48,950 | 902,638 | ||||||
Donegal Group, Inc., Cl. A | 1,066 | 17,877 | ||||||
eHealth, Inc.2 | 2,400 | 31,872 | ||||||
EMC Insurance Group, Inc. | 1,492 | 38,270 | ||||||
Employers Holdings, Inc. | 47,900 | 790,350 | ||||||
Endurance Specialty Holdings Ltd. | 10,300 | 314,459 | ||||||
FBL Financial Group, Inc., Cl. A | 27,510 | 425,030 | ||||||
First Mercury Financial Corp.2 | 3,100 | 44,206 | ||||||
FPIC Insurance Group, Inc.2 | 16,900 | 739,882 | ||||||
Genworth Financial, Inc., Cl. A | 85,700 | 242,531 | ||||||
Hallmark Financial Services, Inc.2 | 7,400 | 64,898 | ||||||
Harleysville Group, Inc. | 19,000 | 659,870 |
Shares | Value | |||||||
Insurance Continued | ||||||||
Horace Mann Educators Corp. | 45,707 | $ | 420,047 | |||||
Infinity Property & Casualty Corp. | 16,200 | 757,026 | ||||||
IPC Holdings Ltd. | 54,500 | 1,629,550 | ||||||
Lincoln National Corp. | 9,700 | 182,748 | ||||||
Maiden Holdings Ltd. | 2,200 | 6,886 | ||||||
Max Capital Group Ltd.1 | 103,500 | 1,831,950 | ||||||
Meadowbrook Insurance Group, Inc. | 39,405 | 253,768 | ||||||
National Financial Partners Corp. | 27,000 | 82,080 | ||||||
National Interstate Corp.1 | 10,000 | 178,700 | ||||||
National Western Life Insurance Co., Cl. A | 500 | 84,585 | ||||||
Nationwide Financial Services, Inc., Cl. A | 13,600 | 710,056 | ||||||
Navigators Group, Inc. (The)2 | 12,200 | 669,902 | ||||||
NYMAGIC, Inc. | 500 | 9,525 | ||||||
Old Republic International Corp. | 4,200 | 50,064 | ||||||
OneBeacon Insurance Group Ltd. | 18,880 | 197,107 | ||||||
Phoenix Cos., Inc. (The)1 | 86,994 | 284,470 | ||||||
Platinum Underwriters Holdings Ltd. | 45,200 | 1,630,816 | ||||||
PMA Capital Corp., Cl. A2 | 12,500 | 88,500 | ||||||
Presidential Life Corp. | 6,083 | 60,161 | ||||||
ProAssurance Corp.1,2 | 25,300 | 1,335,334 | ||||||
Protective Life Corp. | 68,700 | 985,845 | ||||||
RLI Corp.1 | 13,700 | 837,892 | ||||||
Safety Insurance Group, Inc. | 15,300 | 582,318 | ||||||
Seabright Insurance Holdings, Inc.2 | 21,000 | 246,540 | ||||||
Selective Insurance Group, Inc.1 | 43,272 | 992,227 | ||||||
StanCorp Financial Group, Inc. | 6,500 | 271,505 | ||||||
State Auto Financial Corp. | 2,800 | 84,168 | ||||||
Stewart Information Services Corp. | 7,574 | 177,913 | ||||||
Transatlantic Holdings, Inc. | 3,200 | 128,192 | ||||||
United America Indemnity Ltd., Cl. A2 | 31,973 | 409,574 | ||||||
United Fire & Casualty Co. | 6,700 | 208,169 | ||||||
Unitrin, Inc. | 44,500 | 709,330 | ||||||
UnumProvident Corp. | 21,400 | 398,040 | ||||||
Zenith National Insurance Corp. | 4,276 | 134,993 | ||||||
29,318,060 | ||||||||
Real Estate Investment Trusts—2.9% | ||||||||
Acadia Realty Trust | 2,400 | 34,248 | ||||||
Agree Realty Corp. | 9,000 | 163,170 | ||||||
Alexander’s, Inc.1 | 300 | 76,470 | ||||||
Alexandria Real Estate Equities, Inc. | 10,600 | 639,604 | ||||||
American Campus Communities, Inc. | 4,300 | 88,064 | ||||||
Arbor Realty Trust, Inc.1 | 3,800 | 11,210 | ||||||
Ashford Hospitality Trust | 48,200 | 55,430 | ||||||
Associated Estates Realty Corp. | 5,700 | 52,041 | ||||||
BioMed Realty Trust, Inc. | 49,430 | 579,320 | ||||||
Brandywine Realty Trust1 | 22,814 | 175,896 | ||||||
Capital Lease Funding, Inc.1 | 16,900 | 29,237 | ||||||
CBL & Associates Properties, Inc. | 18,400 | 119,600 | ||||||
Cedar Shopping Centers, Inc. | 10,400 | 73,632 | ||||||
Colonial Properties Trust1 | 9,800 | 81,634 | ||||||
Corporate Office Properties Trust1 | 13,110 | 402,477 | ||||||
DCT Industrial Trust, Inc. | 11,400 | 57,684 | ||||||
DiamondRock Hospitality Co. | 86,200 | 437,034 | ||||||
Digital Realty Trust, Inc.1 | 17,800 | 584,730 | ||||||
EastGroup Properties, Inc. | 13,600 | 483,888 | ||||||
Entertainment Properties Trust | 21,340 | 635,932 | ||||||
Equity Lifestyle Properties, Inc. | 4,600 | 176,456 | ||||||
Equity One, Inc.1 | 3,700 | 65,490 | ||||||
Extra Space Storage, Inc. | 26,900 | 277,608 | ||||||
FelCor Lodging Trust, Inc. | 71,500 | 131,560 | ||||||
First Industrial Realty Trust, Inc.1 | 43,800 | 330,690 | ||||||
First Potomac Realty Trust | 4,900 | 45,570 | ||||||
Glimcher Realty Trust | 4,800 | 13,488 | ||||||
Gramercy Capital Corp. | 5,800 | 7,424 | ||||||
Healthcare Realty Trust, Inc. | 15,900 | 373,332 | ||||||
Hersha Hospitality Trust | 10,300 | 30,900 | ||||||
Highwoods Properties, Inc. | 31,000 | 848,160 | ||||||
Home Properties of New York, Inc.1 | 15,400 | 625,240 | ||||||
Inland Real Estate Corp. | 39,200 | 508,816 | ||||||
Investors Real Estate Trust | 1,900 | 20,349 | ||||||
Kite Realty Group Trust | 21,900 | 121,764 | ||||||
LaSalle Hotel Properties1 | 19,800 | 218,790 | ||||||
Lexington Realty Trust1 | 32,000 | 160,000 | ||||||
LTC Properties, Inc. | 14,800 | 300,144 | ||||||
Medical Properties Trust, Inc.1 | 30,400 | 191,824 | ||||||
Mid-America Apartment Communities, Inc. | 16,600 | 616,856 | ||||||
National Health Investors, Inc. | 8,300 | 227,669 | ||||||
National Retail Properties, Inc. | 50,900 | 874,971 | ||||||
Nationwide Health Properties, Inc. | 29,400 | 844,368 | ||||||
Omega Healthcare Investors, Inc. | 50,240 | 802,333 | ||||||
Parkway Properties, Inc. | 12,300 | 221,400 | ||||||
Pennsylvania Real Estate Investment Trust1 | 23,400 | 174,330 | ||||||
Post Properties, Inc. | 4,900 | 80,850 | ||||||
Potlatch Corp. | 14,210 | 369,602 | ||||||
PS Business Parks, Inc. | 6,500 | 290,290 | ||||||
Ramco-Gershenson Properties Trust | 7,400 | 45,732 |
Shares | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
Realty Income Corp.1 | 23,900 | $ | 553,285 | |||||
Saul Centers, Inc. | 3,200 | 126,400 | ||||||
Senior Housing Properties Trust1 | 64,900 | 1,163,008 | ||||||
SL Green Realty Corp. | 13,300 | 344,470 | ||||||
Sovran Self Storage, Inc. | 4,900 | 176,400 | ||||||
Strategic Hotels & Resorts, Inc. | 39,700 | 66,696 | ||||||
Sunstone Hotel Investors, Inc. | 35,179 | 217,758 | ||||||
Tanger Factory Outlet Centers, Inc. | 9,700 | 364,914 | ||||||
Taubman Centers, Inc. | 10,300 | 262,238 | ||||||
Universal Health Realty Income Trust | 500 | 16,455 | ||||||
Urstadt Biddle Properties, Inc., Cl. A | 1,200 | 19,116 | ||||||
Washington Real Estate Investment Trust | 14,100 | 399,030 | ||||||
17,487,077 | ||||||||
Real Estate Management & Development—0.1% | ||||||||
Avatar Holdings, Inc.2 | 2,446 | 64,868 | ||||||
CB Richard Ellis Group, Inc., Cl. A2 | 40,700 | 175,824 | ||||||
Consolidated-Tomoka Land Co. | 400 | 15,276 | ||||||
Forest City Enterprises, Inc., Cl. A1 | 22,100 | 148,070 | ||||||
Forestar Group, Inc.2 | 2,600 | 24,752 | ||||||
Jones Lang LaSalle, Inc. | 9,400 | 260,380 | ||||||
Tejon Ranch Co.2 | 100 | 2,474 | ||||||
691,644 | ||||||||
Thrifts & Mortgage Finance—0.9% | ||||||||
Anchor BanCorp Wisconsin, Inc.1 | 10,500 | 28,980 | ||||||
Bank Mutual Corp. | 33,100 | 381,974 | ||||||
BankFinancial Corp. | 2,684 | 27,350 | ||||||
Corus Bankshares, Inc.1 | 4,000 | 4,440 | ||||||
Dime Community Bancshares, Inc. | 49,200 | 654,360 | ||||||
Doral Financial Corp.2 | 800 | 6,000 | ||||||
Encore Bancshares, Inc.2 | 8,400 | 92,400 | ||||||
First Niagara Financial Group, Inc. | 5,000 | 80,850 | ||||||
First Place Financial Corp. | 4,648 | 17,802 | ||||||
Flagstar Bancorp, Inc.2 | 15,900 | 11,289 | ||||||
Flushing Financial Corp. | 26,800 | 320,528 | ||||||
MGIC Investment Corp.1 | 227,599 | 792,045 | ||||||
NewAlliance Bancshares, Inc. | 11,000 | 144,870 | ||||||
OceanFirst Financial Corp. | 4,800 | 79,680 | ||||||
Ocwen Financial Corp.1,2 | 54,200 | 497,556 | ||||||
PMI Group, Inc. (The) | 164,500 | 320,775 | ||||||
Provident Financial Services, Inc.1 | 39,500 | 604,350 | ||||||
Provident New York Bancorp | 34,100 | 422,840 | ||||||
Radian Group, Inc.1 | 157,100 | 578,128 | ||||||
TierOne Corp. | 8,100 | 30,375 | ||||||
Tree.com, Inc.2 | 1,386 | 3,604 | ||||||
Trustco Bank Corp. NY | 3,100 | 29,481 | ||||||
WSFS Financial Corp. | 4,100 | 196,759 | ||||||
5,326,436 | ||||||||
Health Care—7.5% | ||||||||
Biotechnology—1.3% | ||||||||
Acorda Therapeutics, Inc.2 | 10,500 | 215,355 | ||||||
Alexion Pharmaceuticals, Inc.1,2 | 11,900 | 430,661 | ||||||
Allos Therapeutics, Inc.2 | 33,870 | 207,284 | ||||||
Alnylam Pharmaceuticals, Inc.1,2 | 4,300 | 106,339 | ||||||
Array BioPharma, Inc.2 | 5,300 | 21,465 | ||||||
Celldex Therapeutics, Inc.2 | 9,375 | 74,250 | ||||||
Cepheid, Inc.2 | 7,900 | 82,002 | ||||||
Cubist Pharmaceuticals, Inc.2 | 46,800 | 1,130,688 | ||||||
CV Therapeutics, Inc.2 | 38,900 | 358,269 | ||||||
Dendreon Corp.2 | 48,700 | 223,046 | ||||||
Emergent Biosolutions, Inc.2 | 31,910 | 833,170 | ||||||
Enzon Pharmaceuticals, Inc.1,2 | 72,400 | 422,092 | ||||||
Facet Biotech Corp.2 | 23,120 | 221,721 | ||||||
Geron Corp.1,2 | 17,200 | 80,324 | ||||||
GTx, Inc.1,2 | 11,400 | 191,976 | ||||||
Halozyme Therapeutics, Inc.2 | 4,500 | 25,200 | ||||||
Human Genome Sciences, Inc.2 | 50,400 | 106,848 | ||||||
Incyte Corp.2 | 25,300 | 95,887 | ||||||
Isis Pharmaceuticals, Inc.2 | 4,900 | 69,482 | ||||||
Ligand Pharmaceuticals, Inc., Cl. B2 | 8,400 | 23,016 | ||||||
MannKind Corp.1,2 | 29,592 | 101,501 | ||||||
Martek Biosciences Corp.1 | 19,019 | 576,466 | ||||||
Momenta Pharmaceuticals, Inc.1,2 | 43,300 | 502,280 | ||||||
Myriad Genetics, Inc.2 | 7,400 | 490,324 | ||||||
Nabi Biopharmaceuticals, Inc.2 | 7,800 | 26,130 | ||||||
NPS Pharmaceuticals, Inc.2 | 9,000 | 55,890 | ||||||
OSI Pharmaceuticals, Inc.2 | 2,400 | 93,720 | ||||||
Osiris Therapeutics, Inc.1,2 | 5,500 | 105,380 | ||||||
PDL BioPharma, Inc. | 115,600 | 714,408 | ||||||
Progenics Pharmaceuticals, Inc.1,2 | 23,589 | 243,203 | ||||||
Rigel Pharmaceuticals, Inc.2 | 10,600 | 84,800 | ||||||
RXi Pharmaceuticals Corp.1,2 | 3,885 | 22,339 | ||||||
Savient Pharmaceuticals, Inc.1,2 | 50,185 | 290,571 | ||||||
ZymoGenetics, Inc.1,2 | 8,200 | 24,600 | ||||||
8,250,687 | ||||||||
Health Care Equipment & Supplies—1.6% | ||||||||
Abaxis, Inc.2 | 7,690 | 123,271 | ||||||
Advanced Medical Optics, Inc.2 | 32,512 | 214,904 | ||||||
Align Technology, Inc.1,2 | 35,300 | 308,875 |
Shares | Value | |||||||
Health Care Equipment & Supplies Continued | ||||||||
American Medical Systems Holdings, Inc.2 | 7,900 | $ | 71,021 | |||||
Analogic Corp. | 30,900 | 842,952 | ||||||
AngioDynamics, Inc.2 | 12,200 | 167,018 | ||||||
Cardiac Science Corp.2 | 1,398 | 10,485 | ||||||
ConMed Corp.2 | 23,700 | 567,378 | ||||||
CryoLife, Inc.2 | 42,800 | 415,588 | ||||||
Cyberonics, Inc.1,2 | 42,403 | 702,618 | ||||||
Datascope Corp. | 13,900 | 726,136 | ||||||
Exactech, Inc.2 | 11,100 | 186,924 | ||||||
Invacare Corp.1 | 5,200 | 80,704 | ||||||
Inverness Medical Innovations, Inc.2 | 6,500 | 122,915 | ||||||
IRIS International, Inc.2 | 8,600 | 119,884 | ||||||
Kensey Nash Corp.2 | 26,700 | 518,247 | ||||||
Merit Medical Systems, Inc.2 | 38,800 | 695,684 | ||||||
Natus Medical, Inc.2 | 27,000 | 349,650 | ||||||
Neogen Corp.2 | 1,910 | 47,712 | ||||||
Orthofix International NV2 | 7,500 | 114,975 | ||||||
Palomar Medical Technologies, Inc.2 | 11,000 | 126,830 | ||||||
Quidel Corp.2 | 42,200 | 551,554 | ||||||
Sirona Dental Systems, Inc.1,2 | 7,000 | 73,500 | ||||||
Somanetics Corp.2 | 24,000 | 396,240 | ||||||
SonoSite, Inc.1,2 | 14,417 | 275,076 | ||||||
Spectranetics Corp. (The)2 | 1,700 | 4,437 | ||||||
Stereotaxis, Inc.1,2 | 4,900 | 21,560 | ||||||
Steris Corp. | 19,800 | 473,022 | ||||||
Symmetry Medical, Inc.2 | 13,900 | 110,783 | ||||||
Synovis Life Technologies, Inc.2 | 15,300 | 286,722 | ||||||
VNUS Medical Technologies, Inc.2 | 15,460 | 250,761 | ||||||
Volcano Corp.2 | 5,600 | 84,000 | ||||||
Zoll Medical Corp.2 | 31,700 | 598,813 | ||||||
9,640,239 | ||||||||
Health Care Providers & Services—3.2% | ||||||||
Air Methods Corp.2 | 2,000 | 31,980 | ||||||
Alliance Imaging, Inc.2 | 42,900 | 341,913 | ||||||
Almost Family, Inc.1,2 | 4,200 | 188,916 | ||||||
AMERIGROUP Corp.2 | 70,500 | 2,081,160 | ||||||
AMN Healthcare Services, Inc.2 | 36,400 | 307,944 | ||||||
Assisted Living Concepts, Inc.1,2 | 11,600 | 48,140 | ||||||
athenahealth, Inc.2 | 1,800 | 67,716 | ||||||
Brookdale Senior Living, Inc.1 | 44,300 | 247,194 | ||||||
Catalyst Health Solutions, Inc.2 | 25,448 | 619,659 | ||||||
Centene Corp.2 | 87,100 | 1,716,741 | ||||||
Chemed Corp. | 25,360 | 1,008,567 | ||||||
Chindex International, Inc.1,2 | 4,750 | 37,763 | ||||||
CIGNA Corp. | 18,300 | 308,355 | ||||||
Community Health Systems, Inc.2 | 7,700 | 112,266 | ||||||
CorVel Corp.2 | 5,900 | 129,682 | ||||||
Coventry Health Care, Inc.2 | 7,900 | 117,552 | ||||||
Cross Country Healthcare, Inc.2 | 25,700 | 225,903 | ||||||
Enstar Group, Inc. (The) | 2,300 | 38,502 | ||||||
Gentiva Health Services, Inc.2 | 9,500 | 277,970 | ||||||
Hanger Orthopedic Group, Inc.2 | 45,800 | 664,558 | ||||||
Health Management Associates, Inc., Cl. A2 | 31,900 | 57,101 | ||||||
Health Net, Inc.2 | 43,400 | 472,626 | ||||||
HEALTHSOUTH Corp.2 | 3,700 | 40,552 | ||||||
Healthspring, Inc.2 | 70,700 | 1,411,879 | ||||||
Healthways, Inc.2 | 24,137 | 277,093 | ||||||
InVentiv Health, Inc.2 | 20,582 | 237,516 | ||||||
Kindred Healthcare, Inc.2 | 59,700 | 777,294 | ||||||
Landauer, Inc. | 13,200 | 967,560 | ||||||
LifePoint Hospitals, Inc.1,2 | 76,800 | 1,754,112 | ||||||
Lincare Holdings, Inc.1,2 | 31,100 | 837,523 | ||||||
MedCath Corp.2 | 10,800 | 112,752 | ||||||
Molina Healthcare, Inc.1,2 | 36,200 | 637,482 | ||||||
Odyssey Healthcare, Inc.2 | 18,700 | 172,975 | ||||||
Owens & Minor, Inc. | 1,100 | 41,415 | ||||||
Pediatrix Medical Group, Inc.2 | 9,700 | 307,490 | ||||||
PharMerica Corp.1,2 | 43,900 | 687,913 | ||||||
Providence Service Corp.2 | 4,400 | 6,380 | ||||||
RehabCare Group, Inc.2 | 37,500 | 568,500 | ||||||
Res-Care, Inc.2 | 23,156 | 347,803 | ||||||
Skilled Healthcare Group, Inc., Cl. A2 | 7,300 | 61,612 | ||||||
Sun Healthcare Group, Inc.2 | 7,792 | 68,959 | ||||||
Universal American Corp.2 | 26,507 | 233,792 | ||||||
WellCare Health Plans, Inc.2 | 48,440 | 622,938 | ||||||
19,275,748 | ||||||||
Health Care Technology—0.1% | ||||||||
Allscripts-Misys Healthcare Solutions, Inc. | 26,200 | 259,904 | ||||||
Computer Programs & Systems, Inc. | 7,100 | 190,280 | ||||||
IMS Health, Inc. | 4,600 | 69,736 | ||||||
Omnicell, Inc.2 | 23,187 | 283,113 | ||||||
803,033 | ||||||||
Life Sciences Tools & Services—0.6% | ||||||||
Albany Molecular Research, Inc.2 | 38,600 | 375,964 | ||||||
Bio-Rad Laboratories, Inc., Cl. A2 | 3,700 | 278,647 | ||||||
Bruker Corp.2 | 6,100 | 24,644 |
Shares | Value | |||||||
Life Sciences Tools & Services Continued | ||||||||
Dionex Corp.2 | 900 | $ | 40,365 | |||||
Enzo Biochem, Inc.2 | 2,300 | 11,247 | ||||||
eResearch Technology, Inc.2 | 65,800 | 436,254 | ||||||
Kendle International, Inc.2 | 3,700 | 95,164 | ||||||
Life Sciences Research, Inc.2 | 6,600 | 62,040 | ||||||
Luminex Corp.1,2 | 24,600 | 525,456 | ||||||
Medivation, Inc.1,2 | 20,300 | 295,771 | ||||||
Nektar Therapeutics2 | 36,000 | 200,160 | ||||||
Parexel International Corp.2 | 53,600 | 520,456 | ||||||
Sequenom, Inc.2 | 8,700 | 172,608 | ||||||
Varian, Inc.2 | 10,900 | 365,259 | ||||||
3,404,035 | ||||||||
Pharmaceuticals—0.7% | ||||||||
Adolor Corp.2 | 47,440 | 78,750 | ||||||
Auxilium Pharmaceuticals, Inc.2 | 14,100 | 401,004 | ||||||
BioMimetic Therapeutics, Inc.1,2 | 4,500 | 41,490 | ||||||
CPEX Pharmaceuticals, Inc.2 | 350 | 3,413 | ||||||
Cypress Bioscience, Inc.2 | 9,800 | 67,032 | ||||||
Durect Corp.2 | 4,298 | 14,570 | ||||||
Forest Laboratories, Inc.2 | 11,710 | 298,254 | ||||||
K-V Pharmaceutical Co., Cl. A2 | 7,313 | 21,061 | ||||||
King Pharmaceuticals, Inc.1,2 | 35,700 | 379,134 | ||||||
Medicis Pharmaceutical Corp., Cl. A1 | 106,400 | 1,478,960 | ||||||
MiddleBrook Pharmaceuticals, Inc.1,2 | 20,000 | 30,000 | ||||||
Noven Pharmaceuticals, Inc.2 | 32,877 | 361,647 | ||||||
Optimer Pharmaceuticals, Inc.2 | 2,400 | 29,064 | ||||||
Pain Therapeutics, Inc.1,2 | 30,001 | 177,606 | ||||||
Par Pharmaceutical Cos., Inc.2 | 21,700 | 290,997 | ||||||
Pozen, Inc.1,2 | 16,800 | 84,672 | ||||||
Questcor Pharmaceuticals, Inc.2 | 4,900 | 45,619 | ||||||
Salix Pharmaceuticals Ltd.1,2 | 20,600 | 181,898 | ||||||
Valeant Pharmaceuticals International, Inc.2 | 3,700 | 84,730 | ||||||
ViroPharma, Inc.2 | 5,500 | 71,610 | ||||||
Vivus, Inc.1,2 | 43,000 | 228,760 | ||||||
4,370,271 | ||||||||
Industrials—21.0% | ||||||||
Aerospace & Defense—1.5% | ||||||||
Aerovironment, Inc.1,2 | 9,268 | 341,155 | ||||||
American Science & Engineering, Inc. | 1,600 | 118,336 | ||||||
Applied Signal Technology, Inc. | 1,000 | 17,940 | ||||||
Argon ST, Inc.2 | 12,700 | 239,522 | ||||||
Astronics Corp., Cl. B2 | 812 | 6,975 | ||||||
Axsys Technologies, Inc.2 | 3,113 | 170,779 | ||||||
BE Aerospace, Inc.2 | 98,700 | 759,003 | ||||||
Ceradyne, Inc.1,2 | 57,240 | 1,162,544 | ||||||
Cubic Corp. | 41,030 | 1,116,016 | ||||||
Ducommun, Inc. | 30,400 | 507,680 | ||||||
DynCorp International, Inc., Cl. A2 | 46,800 | 709,956 | ||||||
Esterline Technologies Corp.2 | 45,500 | 1,723,995 | ||||||
Gencorp, Inc.1,2 | 56,000 | 206,080 | ||||||
Goodrich Corp. | 6,400 | 236,928 | ||||||
Herley Industries, Inc.2 | 3,000 | 36,840 | ||||||
Ladish Co., Inc.2 | 6,900 | 95,565 | ||||||
Precision Castparts Corp. | 5,300 | 315,244 | ||||||
Taser International, Inc.2 | 21,444 | 113,224 | ||||||
Triumph Group, Inc.1 | 23,600 | 1,002,056 | ||||||
8,879,838 | ||||||||
Air Freight & Logistics—0.3% | ||||||||
Air Transport Services Group, Inc.2 | 11,100 | 1,998 | ||||||
Atlas Air Worldwide Holdings, Inc.2 | 30,000 | 567,000 | ||||||
Hub Group, Inc., Cl. A2 | 8,844 | 234,631 | ||||||
Pacer International, Inc. | 86,200 | 899,066 | ||||||
1,702,695 | ||||||||
Airlines—0.8% | ||||||||
Continental Airlines, Inc., Cl. B1,2 | 23,310 | 420,979 | ||||||
Hawaiian Holdings, Inc.2 | 86,900 | 554,422 | ||||||
Republic Airways Holdings, Inc.2 | 70,500 | 752,235 | ||||||
SkyWest, Inc. | 77,000 | 1,432,200 | ||||||
UAL Corp. | 72,900 | 803,358 | ||||||
US Airways Group, Inc.2 | 158,500 | 1,225,205 | ||||||
5,188,399 | ||||||||
Building Products—1.3% | ||||||||
Aaon, Inc. | 29,500 | 615,960 | ||||||
American Woodmark Corp.1 | 10,835 | 197,522 | ||||||
Ameron International Corp. | 16,614 | 1,045,353 | ||||||
Apogee Enterprises, Inc. | 44,600 | 462,056 | ||||||
Armstrong World Industries, Inc. | 27,700 | 598,874 | ||||||
Gibraltar Industries, Inc. | 61,100 | 729,534 | ||||||
Griffon Corp.1,2 | 51,119 | 476,940 | ||||||
Insteel Industries, Inc.1 | 53,600 | 605,144 | ||||||
Lennox International, Inc. | 9,100 | 293,839 | ||||||
NCI Building Systems, Inc.1,2 | 49,600 | 808,480 | ||||||
Quanex Building Products Corp. | 71,730 | 672,110 | ||||||
Trex Co., Inc.1,2 | 31,460 | 517,832 | ||||||
Universal Forest Products, Inc.1 | 31,920 | 858,967 | ||||||
7,882,611 |
Shares | Value | |||||||
Commercial Services & Supplies—5.3% | ||||||||
Acco Brands Corp.2 | 38,513 | $ | 132,870 | |||||
Administaff, Inc. | 55,800 | 1,209,744 | ||||||
Advisory Board Co. (The)2 | 2,100 | 46,830 | ||||||
American Ecology Corp. | 30,700 | 621,061 | ||||||
American Reprographics Co.2 | 50,300 | 347,070 | ||||||
AMREP Corp.1,2 | 1,676 | 52,425 | ||||||
ATC Technology Corp.2 | 25,500 | 373,065 | ||||||
Bowne & Co., Inc. | 41,600 | 244,608 | ||||||
Brink’s Co. (The) | 10,100 | 271,488 | ||||||
Casella Waste Systems, Inc., Cl. A2 | 10,475 | 42,738 | ||||||
CBIZ, Inc.1,2 | 90,600 | 783,690 | ||||||
CDI Corp. | 48,187 | 623,540 | ||||||
Cenveo, Inc.1,2 | 40,300 | 179,335 | ||||||
Clean Harbors, Inc.2 | 3,700 | 234,728 | ||||||
Comfort Systems USA, Inc.1 | 86,700 | 924,222 | ||||||
COMSYS IT Partners, Inc.2 | 9,500 | 21,280 | ||||||
Consolidated Graphics, Inc.2 | 28,900 | 654,296 | ||||||
Copart, Inc.2 | 2,000 | 54,380 | ||||||
Cornell Corrections, Inc.2 | 25,900 | 481,481 | ||||||
Corporate Executive Board Co. (The) | 23,800 | 525,028 | ||||||
CoStar Group, Inc.2 | 17,100 | 563,274 | ||||||
Courier Corp. | 4,424 | 79,190 | ||||||
CRA International, Inc.2 | 21,500 | 578,995 | ||||||
Deluxe Corp. | 124,000 | 1,855,040 | ||||||
EnergySolutions, Inc. | 39,600 | 223,740 | ||||||
Ennis, Inc. | 19,700 | 238,567 | ||||||
Equifax, Inc. | 7,300 | 193,596 | ||||||
Exponent, Inc.2 | 32,880 | 989,030 | ||||||
First Advantage Corp., Cl. A2 | 13,300 | 188,195 | ||||||
G&K Services, Inc., Cl. A | 23,000 | 465,060 | ||||||
Heidrick & Struggles International, Inc.1 | 26,600 | 572,964 | ||||||
Hill International, Inc.2 | 41,000 | 288,640 | ||||||
HNI Corp.1 | 73,400 | 1,162,656 | ||||||
Hudson Highland Group, Inc.2 | 29,000 | 97,150 | ||||||
ICF International, Inc.2 | 17,600 | 432,432 | ||||||
Interface, Inc., Cl. A | 128,800 | 597,632 | ||||||
Kelly Services, Inc., Cl. A | 37,585 | 488,981 | ||||||
Kforce, Inc.2 | 22,026 | 169,160 | ||||||
Kimball International, Inc., Cl. B | 22,400 | 192,864 | ||||||
Knoll, Inc. | 61,478 | 554,532 | ||||||
Korn-Ferry International2 | 102,300 | 1,168,266 | ||||||
M&F Worldwide Corp.2 | 3,541 | 54,708 | ||||||
Manpower, Inc. | 11,400 | 387,486 | ||||||
McGrath Rentcorp | 12,800 | 273,408 | ||||||
Metalico, Inc.1,2 | 37,700 | 58,435 | ||||||
Miller (Herman), Inc. | 101,300 | 1,319,939 | ||||||
Monster Worldwide, Inc.1,2 | 125,940 | 1,522,615 | ||||||
MPS Group, Inc.2 | 204,700 | 1,541,391 | ||||||
On Assignment, Inc.2 | 35,200 | 199,584 | ||||||
PRG-Schultz International, Inc.2 | 1,300 | 5,304 | ||||||
R.R. Donnelley & Sons Co. | 33,600 | 456,288 | ||||||
Resources Connection, Inc.2 | 79,900 | 1,308,762 | ||||||
Schawk, Inc. | 27,300 | 312,858 | ||||||
School Specialty, Inc.2 | 22,300 | 426,376 | ||||||
Spherion Corp.2 | 53,700 | 118,677 | ||||||
Standard Parking Corp.2 | 6,200 | 119,908 | ||||||
Standard Register Co. (The) | 43,710 | 390,330 | ||||||
Steelcase, Inc., Cl. A | 185,400 | 1,041,948 | ||||||
Sykes Enterprises, Inc.2 | 23,100 | 441,672 | ||||||
Team, Inc.1,2 | 18,834 | 521,702 | ||||||
TrueBlue, Inc.2 | 105,700 | 1,011,549 | ||||||
United Stationers, Inc.2 | 24,788 | 830,150 | ||||||
Viad Corp. | 42,900 | 1,061,346 | ||||||
Waste Services, Inc.2 | 13,300 | 87,514 | ||||||
32,415,793 | ||||||||
Construction & Engineering—1.9% | ||||||||
Baker (Michael) Corp.2 | 14,800 | 546,268 | ||||||
Chicago Bridge & Iron Co. NV1 | 80,180 | 805,809 | ||||||
Dycom Industries, Inc.2 | 103,700 | 852,414 | ||||||
EMCOR Group, Inc.2 | 114,900 | 2,577,207 | ||||||
Fluor Corp.1 | 6,800 | 305,116 | ||||||
Furmanite Corp.2 | 7,800 | 42,042 | ||||||
Granite Construction, Inc.1 | 22,766 | 1,000,110 | ||||||
Insituform Technologies, Inc., Cl. A1,2 | 38,600 | 760,034 | ||||||
Integrated Electrical Services, Inc.1,2 | 16,186 | 141,789 | ||||||
KBR, Inc. | 1,300 | 19,760 | ||||||
Layne Christensen Co.2 | 3,970 | 95,320 | ||||||
MasTec, Inc.2 | 92,000 | 1,065,360 | ||||||
Northwest Pipe Co.1,2 | 14,700 | 626,367 | ||||||
Orion Marine Group, Inc.2 | 1,200 | 11,592 | ||||||
Perini Corp.2 | 80,171 | 1,874,398 | ||||||
Pike Electric Corp.2 | 35,406 | 435,494 | ||||||
Shaw Group, Inc. (The)1,2 | 16,400 | 335,708 | ||||||
11,494,788 | ||||||||
Electrical Equipment—2.0% | ||||||||
Acuity Brands, Inc.1 | 54,600 | 1,906,086 | ||||||
Advanced Battery Technologies, Inc.1,2 | 7,000 | 18,620 |
Shares | Value | |||||||
Electrical Equipment Continued | ||||||||
AZZ, Inc.1,2 | 23,200 | $ | 582,320 | |||||
Baldor Electric Co.1 | 81,290 | 1,451,027 | ||||||
Belden, Inc. | 84,900 | 1,772,712 | ||||||
Brady Corp., Cl. A | 13,100 | 313,745 | ||||||
C&D Technologies, Inc.1,2 | 19,000 | 59,470 | ||||||
Day4 Energy, Inc., Legend Shares2 | 82,300 | 58,849 | ||||||
Encore Wire Corp.1 | 44,300 | 839,928 | ||||||
EnerSys, Inc.2 | 12,200 | 134,200 | ||||||
FuelCell Energy, Inc.2 | 7,300 | 28,324 | ||||||
Fushi Copperweld, Inc.2 | 2,100 | 11,067 | ||||||
GrafTech International Ltd.1,2 | 230,100 | 1,914,432 | ||||||
Hubbell, Inc., Cl. B | 4,000 | 130,720 | ||||||
II-VI, Inc.2 | 5,100 | 97,359 | ||||||
LSI Industries, Inc. | 14,900 | 102,363 | ||||||
Plug Power, Inc.2 | 3,900 | 3,978 | ||||||
Polypore International, Inc.2 | 5,534 | 41,837 | ||||||
Powell Industries, Inc.2 | 19,300 | 560,086 | ||||||
Regal-Beloit Corp.1 | 1,500 | 56,985 | ||||||
Rockwell Automation, Inc. | 7,400 | 238,576 | ||||||
Smith (A.O.) Corp. | 43,000 | 1,269,360 | ||||||
Valence Technology, Inc.1,2 | 50,000 | 91,000 | ||||||
Vicor Corp. | 17,370 | 114,816 | ||||||
Woodward Governor Co. | 12,200 | 280,844 | ||||||
12,078,704 | ||||||||
Industrial Conglomerates—0.3% | ||||||||
McDermott International, Inc.2 | 6,100 | 60,268 | ||||||
Raven Industries, Inc. | 20,300 | 489,230 | ||||||
Standex International Corp. | 11,000 | 218,240 | ||||||
Tredegar Corp. | 44,127 | 802,229 | ||||||
1,569,967 | ||||||||
Machinery—5.2% | ||||||||
3D Systems Corp.2 | 600 | 4,764 | ||||||
Actuant Corp., Cl. A1 | 65,239 | 1,240,846 | ||||||
AGCO Corp.2 | 2,100 | 49,539 | ||||||
Albany International Corp., Cl. A | 2,100 | 26,964 | ||||||
Altra Holdings, Inc.2 | 31,950 | 252,725 | ||||||
American Railcar Industries, Inc. | 3,100 | 32,643 | ||||||
Ampco-Pittsburgh Corp. | 26,100 | 566,370 | ||||||
Astec Industries, Inc.2 | 1,480 | 46,368 | ||||||
Badger Meter, Inc.1 | 26,720 | 775,414 | ||||||
Barnes Group, Inc.1 | 77,700 | 1,126,650 | ||||||
Blount International, Inc.2 | 70,100 | 664,548 | ||||||
Briggs & Stratton Corp.1 | 33,100 | 582,229 | ||||||
Bucyrus International, Inc., Cl. A | 17,900 | 331,508 | ||||||
Cascade Corp. | 4,946 | 147,688 | ||||||
Chart Industries, Inc.2 | 61,800 | 656,934 | ||||||
CIRCOR International, Inc. | 35,699 | 981,723 | ||||||
Colfax Corp.2 | 11,400 | 118,446 | ||||||
Columbus McKinnon Corp.2 | 42,570 | 581,081 | ||||||
Commercial Vehicle Group, Inc.2 | 3,600 | 3,348 | ||||||
Crane Co. | 37,200 | 641,328 | ||||||
Cummins, Inc.1 | 17,100 | 457,083 | ||||||
Dover Corp. | 12,900 | 424,668 | ||||||
Dynamic Materials Corp. | 5,400 | 104,274 | ||||||
EnPro Industries, Inc.2 | 53,400 | 1,150,236 | ||||||
Federal Signal Corp. | 86,400 | 709,344 | ||||||
Flowserve Corp. | 1,200 | 61,800 | ||||||
Gardner Denver, Inc.2 | 84,000 | 1,960,560 | ||||||
Gorman-Rupp Co. (The)1 | 29,843 | 928,714 | ||||||
Graco, Inc. | 28,300 | 671,559 | ||||||
Graham Corp.1 | 12,500 | 135,250 | ||||||
Greenbrier Cos., Inc.1 | 6,000 | 41,220 | ||||||
Harsco Corp. | 11,800 | 326,624 | ||||||
Hurco Cos., Inc.1,2 | 5,076 | 60,912 | ||||||
IDEX Corp. | 7,100 | 171,465 | ||||||
Ingersoll-Rand Co. Ltd., Cl. A | 44,000 | 763,400 | ||||||
John Bean Technologies Corp. | 15,513 | 126,741 | ||||||
Joy Global, Inc. | 6,400 | 146,496 | ||||||
K-Tron International, Inc.2 | 1,000 | 79,900 | ||||||
Kadant, Inc.2 | 31,500 | 424,620 | ||||||
Kennametal, Inc. | 47,700 | 1,058,463 | ||||||
L.B. Foster Co., Cl. A2 | 11,700 | 365,976 | ||||||
Lincoln Electric Holdings, Inc. | 4,200 | 213,906 | ||||||
Lydall, Inc.2 | 16,100 | 92,575 | ||||||
Manitowoc Co., Inc. (The) | 97,178 | 841,561 | ||||||
McCoy Corp., Legend Shares3 | 46,600 | 51,705 | ||||||
Met-Pro Corp. | 2,100 | 27,972 | ||||||
Mueller Industries, Inc. | 57,200 | 1,434,576 | ||||||
Mueller Water Products, Inc., Cl. A1 | 94,400 | 792,960 | ||||||
NACCO Industries, Inc., Cl. A | 3,200 | 119,712 | ||||||
Navistar International Corp.2 | 9,700 | 207,386 | ||||||
NN, Inc. | 11,000 | 25,190 | ||||||
Nordson Corp. | 2,600 | 83,954 | ||||||
Oshkosh Corp. | 143,200 | 1,273,048 | ||||||
Parker-Hannifin Corp. | 4,800 | 204,192 | ||||||
RBC Bearings, Inc.2 | 4,200 | 85,176 | ||||||
Robbins & Myers, Inc. | 46,549 | 752,697 | ||||||
Sauer-Danfoss, Inc. | 19,437 | 170,074 | ||||||
Sun Hydraulics Corp.1 | 32,750 | 617,010 |
Shares | Value | |||||||
Machinery Continued | ||||||||
Tecumseh Products Co., Cl. A2 | 40,500 | $ | 387,990 | |||||
Tennant Co. | 11,100 | 170,940 | ||||||
Terex Corp.2 | 20,240 | 350,557 | ||||||
Thermadyne Holdings Corp.2 | 5,800 | 39,846 | ||||||
Timken Co. | 75,745 | 1,486,874 | ||||||
Titan International, Inc.1 | 91,849 | 757,754 | ||||||
Toro Co. (The)1 | 55,900 | 1,844,700 | ||||||
TriMas Corp.2 | 600 | 828 | ||||||
Trinity Industries, Inc.1 | 31,500 | 496,440 | ||||||
Twin Disc, Inc. | 4,400 | 30,316 | ||||||
Wabash National Corp. | 41,000 | 184,500 | ||||||
Watts Water Technologies, Inc., Cl. A | 1,513 | 37,780 | ||||||
Xerium Technologies, Inc.2 | 34,952 | 23,068 | ||||||
31,805,708 | ||||||||
Marine—0.4% | ||||||||
Alexander & Baldwin, Inc. | 2,800 | 70,168 | ||||||
American Commercial Lines, Inc.1,2 | 71,800 | 351,820 | ||||||
Excel Maritime Carriers Ltd.1 | 18,000 | 126,720 | ||||||
Genco Shipping & Trading Ltd.1 | 49,600 | 734,080 | ||||||
Horizon Lines, Inc., Cl. A | 11,700 | 40,833 | ||||||
Kirby Corp.2 | 9,100 | 248,976 | ||||||
Safe Bulkers, Inc.1 | 54,100 | 361,388 | ||||||
Star Bulk Carriers Corp.1 | 56,694 | 145,704 | ||||||
TBS International Ltd., Cl. A1,2 | 50,900 | 510,527 | ||||||
Ultrapetrol Ltd. (Bahamas)2 | 2,500 | 7,975 | ||||||
2,598,191 | ||||||||
Road & Rail—0.8% | ||||||||
Amerco2 | 3,800 | 131,214 | ||||||
Arkansas Best Corp.1 | 51,100 | 1,538,621 | ||||||
Avis Budget Group, Inc.2 | 220,400 | 154,280 | ||||||
Celadon Group, Inc.2 | 14,200 | 121,126 | ||||||
Hertz Global Holdings, Inc.1,2 | 70,400 | 356,928 | ||||||
Marten Transport Ltd.2 | 35,400 | 671,184 | ||||||
Werner Enterprises, Inc.1 | 80,100 | 1,388,934 | ||||||
YRC Worldwide, Inc.1,2 | 128,700 | 369,369 | ||||||
4,731,656 | ||||||||
Trading Companies & Distributors—1.2% | ||||||||
Applied Industrial Technologies, Inc. | 64,675 | 1,223,651 | ||||||
Beacon Roofing Supply, Inc.1,2 | 38,300 | 531,604 | ||||||
BlueLinx Holdings, Inc.2 | 3,600 | 6,804 | ||||||
DXP Enterprises, Inc.2 | 6,500 | 94,965 | ||||||
GATX Corp. | 20,428 | 632,655 | ||||||
H&E Equipment Services, Inc.2 | 25,867 | 199,435 | ||||||
Houston Wire & Cable Co.1 | 40,000 | 372,400 | ||||||
Interline Brands, Inc.2 | 10,100 | 107,363 | ||||||
MSC Industrial Direct Co., Inc., Cl. A1 | 6,200 | 228,346 | ||||||
RSC Holdings, Inc.2 | 12,000 | 102,240 | ||||||
Rush Enterprises, Inc., Cl. A2 | 54,200 | 464,494 | ||||||
TAL International Group, Inc. | 9,511 | 134,105 | ||||||
Textainer Group Holdings Ltd. | 12,568 | 133,221 | ||||||
United Rentals, Inc.1,2 | 149,643 | 1,364,744 | ||||||
Watsco, Inc. | 3,000 | 115,200 | ||||||
WESCO International, Inc.2 | 89,800 | 1,726,854 | ||||||
7,438,081 | ||||||||
Transportation Infrastructure—0.0% | ||||||||
CAI International, Inc.2 | 33,400 | 105,878 | ||||||
Information Technology—21.0% | ||||||||
Communications Equipment—3.1% | ||||||||
3Com Corp.2 | 324,830 | 740,612 | ||||||
Acme Packet, Inc.2 | 26,900 | 141,494 | ||||||
ADTRAN, Inc. | 60,000 | 892,800 | ||||||
Avocent Corp.2 | 97,900 | 1,753,389 | ||||||
Bel Fuse, Inc., Cl. A | 4,800 | 86,592 | ||||||
BigBand Networks, Inc.2 | 19,500 | 107,640 | ||||||
Black Box Corp. | 16,320 | 426,278 | ||||||
Brocade Communications Systems, Inc.2 | 356,800 | 999,040 | ||||||
Ciena Corp.1,2 | 119,600 | 801,320 | ||||||
CommScope, Inc.2 | 56,400 | 876,456 | ||||||
Comtech Telecommunications Corp.2 | 6,300 | 288,666 | ||||||
DG Fastchannel, Inc.1,2 | 1,300 | 16,224 | ||||||
Digi International, Inc.2 | 15,400 | 124,894 | ||||||
EchoStar Holding Corp.1,2 | 8,900 | 132,343 | ||||||
EMS Technologies, Inc.2 | 22,100 | 571,727 | ||||||
Emulex Corp.2 | 189,938 | 1,325,767 | ||||||
Extreme Networks, Inc.2 | 21,620 | 50,591 | ||||||
F5 Networks, Inc.2 | 8,700 | 198,882 | ||||||
Finisar Corp.2 | 102,000 | 38,760 | ||||||
Harris Stratex Networks, Inc., Cl. A2 | 10,800 | 55,728 | ||||||
Hughes Communications, Inc.2 | 4,300 | 68,542 | ||||||
InterDigital, Inc.2 | 46,206 | 1,270,665 | ||||||
Ixia2 | 63,100 | 364,718 | ||||||
JDS Uniphase Corp.2 | 358,314 | 1,307,846 | ||||||
Loral Space & Communications Ltd.2 | 400 | 5,812 | ||||||
Netgear, Inc.2 | 14,700 | 167,727 | ||||||
Oplink Communications, Inc.2 | 6,664 | 57,310 | ||||||
ParkerVision, Inc.1,2 | 15,500 | 38,285 | ||||||
Performance Technologies, Inc.2 | 3,200 | 10,688 | ||||||
Plantronics, Inc.1 | 117,800 | 1,554,960 |
Shares | Value | |||||||
Communications Equipment Continued | ||||||||
Polycom, Inc.2 | 33,000 | $ | 445,830 | |||||
Powerwave Technologies, Inc.2 | 230,900 | 115,450 | ||||||
SeaChange International, Inc.2 | 33,855 | 244,095 | ||||||
ShoreTel, Inc.1,2 | 13,600 | 61,064 | ||||||
Sonus Networks, Inc.2 | 33,300 | 52,614 | ||||||
Starent Networks Corp.2 | 8,000 | 95,440 | ||||||
Symmetricom, Inc.2 | 5,300 | 20,935 | ||||||
Tekelec, Inc.1,2 | 81,953 | 1,093,253 | ||||||
Tellabs, Inc.2 | 392,066 | 1,615,312 | ||||||
UTStarcom, Inc.2 | 123,192 | 227,905 | ||||||
ViaSat, Inc.2 | 22,800 | 549,024 | ||||||
18,996,678 | ||||||||
Computers & Peripherals—1.6% | ||||||||
3PAR, Inc.1,2 | 27,250 | 207,918 | ||||||
Adaptec, Inc.2 | 127,100 | 419,430 | ||||||
Avid Technology, Inc.1,2 | 45,200 | 493,132 | ||||||
Compellent Technologies, Inc.2 | 3,400 | 33,082 | ||||||
Electronics for Imaging, Inc.2 | 73,200 | 699,792 | ||||||
Hutchinson Technology, Inc.1,2 | 14,900 | 51,852 | ||||||
Hypercom Corp.2 | 1,900 | 2,052 | ||||||
Imation Corp. | 44,500 | 603,865 | ||||||
Intermec, Inc.2 | 12,800 | 169,984 | ||||||
Lexmark International, Inc., Cl. A1,2 | 12,600 | 338,940 | ||||||
NCR Corp.2 | 23,500 | 332,290 | ||||||
NetApp, Inc.2 | 5,100 | 71,247 | ||||||
Netezza Corp.2 | 49,000 | 325,360 | ||||||
Palm, Inc.1,2 | 56,700 | 174,069 | ||||||
QLogic Corp.2 | 171,050 | 2,298,912 | ||||||
Rackable Systems, Inc.2 | 10,400 | 40,976 | ||||||
Seagate Technology | 91,600 | 405,788 | ||||||
STEC, Inc.1,2 | 90,700 | 386,382 | ||||||
Stratasys, Inc.2 | 4,400 | 47,300 | ||||||
Sun Microsystems, Inc.2 | 61,900 | 236,458 | ||||||
Synaptics, Inc.1,2 | 79,550 | 1,317,348 | ||||||
Teradata Corp.2 | 9,700 | 143,851 | ||||||
Western Digital Corp.2 | 68,100 | 779,745 | ||||||
Xyratex Ltd.2 | 14,200 | 41,890 | ||||||
9,621,663 | ||||||||
Electronic Equipment & Instruments—3.1% | ||||||||
Acacia Research Corp.2 | 16,300 | 49,552 | ||||||
Agilent Technologies, Inc.2 | 21,700 | 339,171 | ||||||
Agilysys, Inc. | 4,734 | 20,309 | ||||||
Amphenol Corp., Cl. A | 15,500 | 371,690 | ||||||
Anixter International, Inc.1,2 | 16,200 | 487,944 | ||||||
Arrow Electronics, Inc.2 | 49,100 | 925,044 | ||||||
Avnet, Inc.2 | 10,400 | 189,384 | ||||||
Benchmark Electronics, Inc.2 | 138,209 | 1,764,929 | ||||||
Brightpoint, Inc.2 | 57,500 | 250,125 | ||||||
Cogent, Inc.1,2 | 24,450 | 331,787 | ||||||
Cognex Corp. | 37,000 | 547,600 | ||||||
Coherent, Inc.2 | 26,300 | 564,398 | ||||||
CPI International, Inc.2 | 100 | 866 | ||||||
CTS Corp. | 69,700 | 384,047 | ||||||
Daktronics, Inc.1 | 18,000 | 168,480 | ||||||
DTS, Inc.1,2 | 30,400 | 557,840 | ||||||
Electro Rent Corp. | 500 | 5,580 | ||||||
Electro Scientific Industries, Inc.2 | 26,900 | 182,651 | ||||||
Gerber Scientific, Inc.2 | 9,700 | 49,567 | ||||||
Ingram Micro, Inc., Cl. A2 | 23,800 | 318,682 | ||||||
Insight Enterprises, Inc.2 | 52,800 | 364,320 | ||||||
Itron, Inc.1,2 | 2,500 | 159,350 | ||||||
Jabil Circuit, Inc. | 19,700 | 132,975 | ||||||
L-1 Identity Solutions, Inc.2 | 2,812 | 18,953 | ||||||
Littlefuse, Inc.2 | 31,263 | 518,966 | ||||||
Measurement Specialties, Inc.2 | 300 | 2,085 | ||||||
Methode Electronics, Inc. | 76,090 | 512,847 | ||||||
Molex, Inc. | 20,200 | 292,698 | ||||||
MTS Systems Corp. | 19,800 | 527,472 | ||||||
Multi-Fineline Electronix, Inc.2 | 42,234 | 493,715 | ||||||
NAM TAI Electronics, Inc. | 16,200 | 89,100 | ||||||
National Instruments Corp. | 5,300 | 129,108 | ||||||
Newport Corp.2 | 28,000 | 189,840 | ||||||
OSI Systems, Inc.2 | 18,000 | 249,300 | ||||||
Park Electrochemical Corp. | 24,000 | 455,040 | ||||||
PC Connection, Inc.2 | 7,100 | 36,352 | ||||||
Plexus Corp.2 | 62,190 | 1,054,121 | ||||||
RadiSys Corp.2 | 800 | 4,424 | ||||||
Rofin-Sinar Technologies, Inc.1,2 | 56,000 | 1,152,480 | ||||||
Rogers Corp.2 | 19,200 | 533,184 | ||||||
Sanmina-SCI Corp.2 | 369,600 | 173,712 | ||||||
ScanSource, Inc.2 | 26,010 | 501,213 | ||||||
SYNNEX Corp.1,2 | 59,500 | 674,135 | ||||||
Tech Data Corp.2 | 56,168 | 1,002,037 | ||||||
Technitrol, Inc. | 58,900 | 204,972 | ||||||
Trimble Navigation Ltd.2 | 16,800 | 363,048 | ||||||
TTM Technologies, Inc.1,2 | 92,500 | 481,925 | ||||||
Universal Display Corp.2 | 2,600 | 24,570 | ||||||
Vishay Intertechnology, Inc.2 | 314,740 | 1,076,411 | ||||||
Zygo Corp.2 | 1,500 | 10,365 | ||||||
18,938,364 |
Shares | Value | |||||||
Internet Software & Services—2.0% | ||||||||
Akamai Technologies, Inc.1,2 | 7,100 | $ | 107,139 | |||||
Art Technology Group, Inc.2 | 54,200 | 104,606 | ||||||
AsiaInfo Holdings, Inc.2 | 59,000 | 698,560 | ||||||
Digital River, Inc.2 | 63,300 | 1,569,840 | ||||||
EarthLink, Inc.1,2 | 126,364 | 854,221 | ||||||
Imergent, Inc.1 | 12,700 | 52,705 | ||||||
Interwoven, Inc.2 | 25,390 | 319,914 | ||||||
j2 Global Communications, Inc.2 | 86,100 | 1,725,444 | ||||||
Knot, Inc. (The)2 | 13,000 | 108,160 | ||||||
Limelight Networks, Inc.2 | 1,300 | 3,185 | ||||||
LoopNet, Inc.1,2 | 34,400 | 234,608 | ||||||
Marchex, Inc., Cl. B | 37,037 | 215,926 | ||||||
ModusLink Global Solutions, Inc.2 | 32,210 | 93,087 | ||||||
Move, Inc.2 | 11,900 | 19,040 | ||||||
National Information Consortium, Inc.1 | 39,800 | 183,080 | ||||||
NaviSite, Inc.2 | 11,700 | 4,680 | ||||||
Open Text Corp.1,2 | 52,600 | 1,584,838 | ||||||
Perficient, Inc.2 | 6,900 | 32,982 | ||||||
RealNetworks, Inc.2 | 44,672 | 157,692 | ||||||
S1 Corp.2 | 113,800 | 897,882 | ||||||
Sohu.com, Inc.2 | 5,000 | 236,700 | ||||||
SonicWALL, Inc.2 | 65,860 | 262,123 | ||||||
SoundBite Communications, Inc.1,2 | 17,200 | 22,188 | ||||||
Switch & Data Facilities Co.2 | 9,892 | 73,102 | ||||||
TheStreet.com, Inc.1 | 16,150 | 46,835 | ||||||
United Online, Inc. | 107,742 | 653,994 | ||||||
ValueClick, Inc.2 | 145,400 | 994,536 | ||||||
VeriSign, Inc.2 | 9,900 | 188,892 | ||||||
Vignette Corp.2 | 54,240 | 510,398 | ||||||
VistaPrint Ltd.2 | 12,550 | 233,556 | ||||||
Vocus, Inc.2 | 17,000 | 309,570 | ||||||
Zix Corp.1,2 | 12,600 | 14,994 | ||||||
12,514,477 | ||||||||
IT Services—2.1% | ||||||||
Acxiom Corp. | 156,400 | 1,268,404 | ||||||
Cass Information Systems, Inc. | 200 | 6,092 | ||||||
CIBER, Inc.2 | 138,373 | 665,574 | ||||||
Computer Sciences Corp.2 | 9,600 | 337,344 | ||||||
Convergys Corp.2 | 227,567 | 1,458,704 | ||||||
CSG Systems International, Inc.1,2 | 71,900 | 1,256,093 | ||||||
DST Systems, Inc.1,2 | 3,300 | 125,334 | ||||||
Euronet Worldwide, Inc.2 | 10,589 | 122,938 | ||||||
Exlservice Holdings, Inc.2 | 12,900 | 110,553 | ||||||
Forrester Research, Inc.2 | 19,374 | 546,541 | ||||||
Gartner, Inc.1,2 | 25,900 | 461,797 | ||||||
Global Cash Access, Inc.2 | 56,312 | 125,013 | ||||||
Hackett Group, Inc. (The)2 | 3,700 | 10,804 | ||||||
Heartland Payment Systems, Inc.1 | 13,300 | 232,750 | ||||||
Hewitt Associates, Inc.2 | 9,700 | 275,286 | ||||||
iGate Corp.2 | 31,656 | 206,081 | ||||||
infoGROUP, Inc. | 16,300 | 77,262 | ||||||
Integral Systems, Inc.1,2 | 36,154 | 435,656 | ||||||
Mastech Holdings, Inc.2 | 540 | 1,285 | ||||||
Maximus, Inc. | 5,600 | 196,616 | ||||||
NCI, Inc., Cl. A2 | 7,100 | 213,923 | ||||||
Ness Technologies, Inc.2 | 19,500 | 83,460 | ||||||
NeuStar, Inc., Cl. A2 | 43,200 | 826,416 | ||||||
Online Resources & Communications Corp.2 | 1,000 | 4,740 | ||||||
Perot Systems Corp., Cl. A2 | 89,800 | 1,227,566 | ||||||
RightNow Technologies, Inc.2 | 45,470 | 351,483 | ||||||
Sapient Corp.2 | 176,800 | 784,992 | ||||||
Syntel, Inc. | 5,700 | 131,784 | ||||||
TeleTech Holdings, Inc.2 | 82,500 | 688,875 | ||||||
TNS, Inc.2 | 400 | 3,756 | ||||||
Total System Services, Inc. | 11,000 | 154,000 | ||||||
Unisys Corp.2 | 252,700 | 214,795 | ||||||
Wright Express Corp.2 | 9,600 | 120,960 | ||||||
12,726,877 | ||||||||
Office Electronics—0.2% | ||||||||
Xerox Corp. | 41,400 | 329,958 | ||||||
Zebra Technologies Corp., Cl. A2 | 47,400 | 960,324 | ||||||
1,290,282 | ||||||||
Semiconductors & Semiconductor Equipment—5.6% | ||||||||
Actel Corp.2 | 46,840 | 548,965 | ||||||
Advanced Analogic Technologies, Inc.2 | 2,300 | 6,946 | ||||||
Advanced Energy Industries, Inc.2 | 70,700 | 703,465 | ||||||
Advanced Micro Devices, Inc.1,2 | 25,000 | 54,000 | ||||||
Amkor Technology, Inc.2 | 366,600 | 799,188 | ||||||
Analog Devices, Inc. | 21,000 | 399,420 | ||||||
Applied Micro Circuits Corp.2 | 83,400 | 327,762 | ||||||
Atheros Communications, Inc.2 | 25,160 | 360,040 | ||||||
Atmel Corp.2 | 536,800 | 1,680,184 | ||||||
ATMI, Inc.2 | 51,200 | 790,016 | ||||||
Broadcom Corp., Cl. A2 | 23,000 | 390,310 | ||||||
Brooks Automation, Inc.2 | 97,291 | 565,261 | ||||||
Cabot Microelectronics Corp.1,2 | 36,000 | 938,520 | ||||||
Cirrus Logic, Inc.2 | 106,129 | 284,426 | ||||||
Cohu, Inc. | 19,200 | 233,280 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
Conexant Systems, Inc.2 | 16,820 | $ | 11,522 | |||||
Cymer, Inc.1,2 | 34,900 | 764,659 | ||||||
DSP Group, Inc.2 | 17,801 | 142,764 | ||||||
Entegris, Inc.2 | 279,000 | 611,010 | ||||||
Exar Corp.2 | 38,000 | 253,460 | ||||||
Fairchild Semiconductor International, Inc., Cl. A2 | 258,400 | 1,263,576 | ||||||
FEI Co.2 | 15,100 | 284,786 | ||||||
Integrated Device Technology, Inc.2 | 301,600 | 1,691,976 | ||||||
Intellon Corp.2 | 17,600 | 44,176 | ||||||
International Rectifier Corp.2 | 35,000 | 472,500 | ||||||
Intersil Corp., Cl. A | 76,600 | 703,954 | ||||||
IXYS Corp. | 19,800 | 163,548 | ||||||
KLA-Tencor Corp. | 9,300 | 202,647 | ||||||
Kulicke & Soffa Industries, Inc.2 | 19,600 | 33,320 | ||||||
Lattice Semiconductor Corp.2 | 199,389 | 301,077 | ||||||
LSI Corp.2 | 186,100 | 612,269 | ||||||
Marvell Technology Group Ltd.2 | 64,000 | 426,880 | ||||||
Mattson Technology, Inc.2 | 10,700 | 15,087 | ||||||
MEMC Electronic Materials, Inc.2 | 15,100 | 215,628 | ||||||
Micrel, Inc.1 | 119,900 | 876,469 | ||||||
Microtune, Inc.2 | 15,500 | 31,620 | ||||||
MKS Instruments, Inc.2 | 94,000 | 1,390,260 | ||||||
Monolithic Power Systems, Inc.2 | 59,100 | 745,251 | ||||||
National Semiconductor Corp. | 13,400 | 134,938 | ||||||
Netlogic Microsystems, Inc.2 | 31,000 | 682,310 | ||||||
Novellus Systems, Inc.2 | 66,500 | 820,610 | ||||||
NVIDIA Corp.2 | 29,000 | 234,030 | ||||||
OmniVision Technologies, Inc.1,2 | 68,500 | 359,625 | ||||||
ON Semiconductor Corp.2 | 66,800 | 227,120 | ||||||
Pericom Semiconductor Corp.2 | 68,808 | 377,068 | ||||||
PMC-Sierra, Inc.2 | 268,300 | 1,303,938 | ||||||
RF Micro Devices, Inc.2 | 273,500 | 213,330 | ||||||
Rudolph Technologies, Inc.2 | 5,200 | 18,356 | ||||||
Semtech Corp.2 | 115,900 | 1,306,193 | ||||||
Silicon Image, Inc.2 | 173,300 | 727,860 | ||||||
Silicon Laboratories, Inc.1,2 | 56,600 | 1,402,548 | ||||||
Silicon Storage Technology, Inc.2 | 60,800 | 139,232 | ||||||
Skyworks Solutions, Inc.1,2 | 225,200 | 1,247,608 | ||||||
Spansion, Inc., Cl. A2 | 9,800 | 1,855 | ||||||
Standard Microsystems Corp.2 | 26,500 | 433,010 | ||||||
Supertex, Inc.2 | 19,666 | 472,181 | ||||||
Techwell, Inc.2 | 6,200 | 40,300 | ||||||
Teradyne, Inc.2 | 305,496 | 1,289,193 | ||||||
Tessera Technologies, Inc.2 | 4,500 | 53,460 | ||||||
TriQuint Semiconductor, Inc.2 | 74,400 | 255,936 | ||||||
Ultra Clean Holdings, Inc.2 | 4,100 | 8,241 | ||||||
Ultratech, Inc.1,2 | 45,475 | 543,881 | ||||||
Varian Semiconductor Equipment Associates, Inc.2 | 37,400 | 677,688 | ||||||
Veeco Instruments, Inc.1,2 | 71,100 | 450,774 | ||||||
Verigy Ltd.2 | 49,000 | 471,380 | ||||||
Volterra Semiconductor Corp.1,2 | 60,000 | 429,000 | ||||||
Zoran Corp.2 | 37,736 | 257,737 | ||||||
33,919,624 | ||||||||
Software—3.3% | ||||||||
Actuate Corp.2 | 2,421 | 7,166 | ||||||
Advent Software, Inc.1,2 | 6,800 | 135,796 | ||||||
ArcSight, Inc.2 | 1,600 | 12,816 | ||||||
Aspen Technology, Inc.2 | 96,400 | 715,288 | ||||||
Autodesk, Inc.2 | 17,700 | 347,805 | ||||||
Blackbaud, Inc. | 7,300 | 98,550 | ||||||
Bottomline Technologies, Inc.2 | 9,300 | 66,030 | ||||||
Cadence Design Systems, Inc.2 | 269,674 | 987,007 | ||||||
Commvault Systems, Inc.2 | 6,410 | 85,958 | ||||||
Compuware Corp.2 | 64,700 | 436,725 | ||||||
DemandTec, Inc.2 | 2,800 | 22,596 | ||||||
Double-Take Software, Inc.2 | 5,820 | 52,205 | ||||||
EPIQ Systems, Inc.1,2 | 27,476 | 459,124 | ||||||
FactSet Research Systems, Inc.1 | 3,300 | 145,992 | ||||||
Fair Isaac Corp. | 101,100 | 1,704,546 | ||||||
FalconStor Software, Inc.2 | 12,500 | 34,750 | ||||||
Henry (Jack) & Associates, Inc.1 | 8,200 | 159,162 | ||||||
i2 Technologies, Inc.1,2 | 5,700 | 36,423 | ||||||
Interactive Intelligence, Inc.1,2 | 12,400 | 79,484 | ||||||
JDA Software Group, Inc.2 | 55,300 | 726,089 | ||||||
Kenexa Corp.2 | 22,900 | 182,742 | ||||||
Lawson Software, Inc.2 | 30,819 | 146,082 | ||||||
Manhattan Associates, Inc.2 | 46,740 | 738,959 | ||||||
Mentor Graphics Corp.1,2 | 88,400 | 457,028 | ||||||
MICROS Systems, Inc.2 | 17,100 | 279,072 | ||||||
MicroStrategy, Inc., Cl. A2 | 16,400 | 608,932 | ||||||
MSC.Software Corp.2 | 11,200 | 74,816 | ||||||
Net 1 UEPS Technologies, Inc.2 | 77,500 | 1,061,750 | ||||||
NetScout Systems, Inc.2 | 27,500 | 237,050 | ||||||
Nuance Communications, Inc.2 | 4,100 | 42,476 | ||||||
Parametric Technology Corp.2 | 117,200 | 1,482,580 | ||||||
Pegasystems, Inc.1 | 8,800 | 108,768 | ||||||
Phoenix Technologies Ltd.2 | 3,800 | 13,300 | ||||||
Progress Software Corp.2 | 29,500 | 568,170 |
Shares | Value | |||||||
Software Continued | ||||||||
PROS Holdings, Inc.2 | 3,250 | $ | 18,688 | |||||
Quest Software, Inc.2 | 109,400 | 1,377,346 | ||||||
Radiant Systems, Inc.2 | 36,300 | 122,331 | ||||||
Renaissance Learning, Inc. | 400 | 3,596 | ||||||
Smith Micro Software, Inc.2 | 15,600 | 86,736 | ||||||
Solera Holdings, Inc.2 | 3,000 | 72,300 | ||||||
SPSS, Inc.2 | 21,800 | 587,728 | ||||||
Sybase, Inc.2 | 13,600 | 336,872 | ||||||
Symyx Technologies, Inc.2 | 6,900 | 40,986 | ||||||
Synchronoss Technologies, Inc.1,2 | 22,700 | 241,982 | ||||||
Synopsys, Inc.2 | 9,000 | 166,680 | ||||||
Take-Two Interactive Software, Inc. | 71,100 | 537,516 | ||||||
Taleo Corp., Cl. A2 | 28,340 | 221,902 | ||||||
The9 Ltd., ADR2 | 2,700 | 35,964 | ||||||
TIBCO Software, Inc.2 | 350,900 | 1,821,171 | ||||||
Tyler Technologies, Inc.1,2 | 41,400 | 495,972 | ||||||
Ultimate Software Group, Inc. (The)2 | 7,500 | 109,500 | ||||||
Wind River Systems, Inc.2 | 140,100 | 1,265,103 | ||||||
19,857,610 | ||||||||
Materials—5.6% | ||||||||
Chemicals—2.7% | ||||||||
American Vanguard Corp. | 6,600 | 77,220 | ||||||
Arch Chemicals, Inc. | 300 | 7,821 | ||||||
Ashland, Inc. | 115,159 | 1,210,321 | ||||||
Balchem Corp. | 10,430 | 259,811 | ||||||
Cabot Corp. | 8,200 | 125,460 | ||||||
Calgon Carbon Corp.2 | 29,180 | 448,205 | ||||||
Celanese Corp., Series A | 4,400 | 54,692 | ||||||
CF Industries Holdings, Inc. | 7,100 | 349,036 | ||||||
Chemtura Corp. | 419,800 | 587,720 | ||||||
Cytec Industries, Inc. | 15,600 | 331,032 | ||||||
Eastman Chemical Co. | 4,500 | 142,695 | ||||||
Ferro Corp.1 | 76,438 | 538,888 | ||||||
Fuller (H.B.) Co. | 73,300 | 1,180,863 | ||||||
GenTek, Inc.1,2 | 2,600 | 39,130 | ||||||
ICO, Inc.1,2 | 32,600 | 103,016 | ||||||
Innophos Holdings, Inc. | 35,900 | 711,179 | ||||||
Innospec, Inc. | 37,888 | 223,160 | ||||||
Koppers Holdings, Inc. | 48,600 | 1,050,732 | ||||||
Landec Corp.2 | 21,200 | 139,496 | ||||||
LSB Industries, Inc.1,2 | 18,700 | 155,584 | ||||||
Minerals Technologies, Inc. | 17,800 | 728,020 | ||||||
NewMarket Corp.1 | 18,000 | 628,380 | ||||||
NOVA Chemicals Corp. | 97,500 | 465,075 | ||||||
Olin Corp. | 70,300 | 1,271,024 | ||||||
OM Group, Inc.1,2 | 35,140 | 741,805 | ||||||
Penford Corp.1 | 1,500 | 15,180 | ||||||
PolyOne Corp.2 | 147,300 | 463,995 | ||||||
Quaker Chemical Corp. | 15,300 | 251,685 | ||||||
Rockwood Holdings, Inc.2 | 34,300 | 370,440 | ||||||
Schulman (A.), Inc. | 40,111 | 681,887 | ||||||
ShengdaTech, Inc.1,2 | 5,882 | 20,705 | ||||||
Spartech Corp. | 39,800 | 249,148 | ||||||
Stepan Co. | 10,400 | 488,696 | ||||||
Terra Industries, Inc. | 32,300 | 538,441 | ||||||
Valhi, Inc. | 1,200 | 12,840 | ||||||
Valspar Corp. (The) | 36,400 | 658,476 | ||||||
W.R. Grace & Co.2 | 8,400 | 50,148 | ||||||
Zep, Inc. | 39,300 | 758,883 | ||||||
Zoltek Cos., Inc.1,2 | 23,400 | 210,366 | ||||||
16,341,255 | ||||||||
Construction Materials—0.1% | ||||||||
Headwaters, Inc.1,2 | 94,100 | 635,175 | ||||||
Containers & Packaging—0.4% | ||||||||
Myers Industries, Inc. | 42,200 | 337,600 | ||||||
Packaging Corp. of America | 1,500 | 20,190 | ||||||
Rock-Tenn Co., Cl. A | 21,600 | 738,288 | ||||||
Sealed Air Corp. | 8,500 | 126,990 | ||||||
Smurfit-Stone Container Corp.2 | 246,900 | 62,960 | ||||||
Sonoco Products Co. | 9,700 | 224,652 | ||||||
Temple-Inland, Inc.1 | 230,843 | 1,108,046 | ||||||
2,618,726 | ||||||||
Metals & Mining—1.9% | ||||||||
A. M. Castle & Co. | 33,827 | 366,346 | ||||||
AK Steel Holding Corp. | 112,800 | 1,051,296 | ||||||
Allegheny Technologies, Inc. | 8,400 | 214,452 | ||||||
Amerigo Resources Ltd. | 118,700 | 37,072 | ||||||
Brush Engineered Materials, Inc.2 | 29,600 | 376,512 | ||||||
Carpenter Technology Corp. | 75,900 | 1,558,986 | ||||||
Century Aluminum Co.1,2 | 100,800 | 1,008,000 | ||||||
Farallon Resources Ltd.2 | 156,700 | 19,319 | ||||||
General Steel Holdings, Inc.1,2 | 13,700 | 53,978 | ||||||
Haynes International, Inc.2 | 18,900 | 465,318 | ||||||
Hecla Mining Co.1,2 | 133,800 | 374,640 | ||||||
Kaiser Aluminum Corp. | 11,543 | 259,948 | ||||||
Olympic Steel, Inc.1 | 26,200 | 533,694 | ||||||
Redcorp Ventures Ltd., Legend Shares2,3 | 666,400 | 21,908 |
Shares | Value | |||||||
Metals & Mining Continued | ||||||||
Reliance Steel & Aluminum Co. | 30,700 | $ | 612,158 | |||||
RTI International Metals, Inc.1,2 | 62,400 | 892,944 | ||||||
Schnitzer Steel Industries, Inc.1 | 47,800 | 1,799,670 | ||||||
Sims Metal Management Ltd., Sponsored ADR | 65,825 | 817,547 | ||||||
Stillwater Mining Co.2 | 26,042 | 128,647 | ||||||
Sutor Technology Group Ltd.2 | 1,400 | 3,234 | ||||||
United States Steel Corp. | 5,600 | 208,320 | ||||||
Universal Stainless & Alloy Products, Inc.2 | 4,700 | 68,103 | ||||||
Worthington Industries, Inc.1 | 56,398 | 621,506 | ||||||
Yamana Gold, Inc. | 2,011 | 15,619 | ||||||
11,509,217 | ||||||||
Paper & Forest Products—0.5% | ||||||||
Buckeye Technologies, Inc.2 | 47,027 | 171,178 | ||||||
Clearwater Paper Corp.2 | 4,060 | 34,063 | ||||||
Deltic Timber Corp. | 3,300 | 150,975 | ||||||
Domtar Corp.2 | 208,300 | 347,861 | ||||||
Glatfelter | 54,000 | 502,200 | ||||||
International Paper Co. | 27,000 | 318,600 | ||||||
Louisiana-Pacific Corp. | 83,000 | 129,480 | ||||||
MeadWestvaco Corp. | 7,700 | 86,163 | ||||||
Mercer International, Inc.2 | 12,300 | 23,616 | ||||||
Neenah Paper, Inc. | 11,800 | 104,312 | ||||||
Schweitzer-Mauduit International, Inc. | 12,850 | 257,257 | ||||||
Verso Paper Corp. | 3,700 | 3,811 | ||||||
Wausau Paper Corp. | 73,100 | 836,264 | ||||||
2,965,780 | ||||||||
Telecommunication Services—1.9% | ||||||||
Diversified Telecommunication Services—1.4% | ||||||||
Alaska Communications Systems Group, Inc.1 | 31,100 | 291,718 | ||||||
Atlantic Tele-Network, Inc. | 16,400 | 435,420 | ||||||
Cbeyond, Inc.1,2 | 21,500 | 343,570 | ||||||
Cincinnati Bell, Inc.2 | 434,500 | 838,585 | ||||||
Cogent Communications Group, Inc.1,2 | 38,478 | 251,261 | ||||||
Embarq Corp. | 19,700 | 708,412 | ||||||
General Communication, Inc., Cl. A2 | 16,200 | 131,058 | ||||||
Global Crossing Ltd.2 | 20,644 | 163,913 | ||||||
Iowa Telecommunications Services, Inc.1 | 48,337 | 690,252 | ||||||
NTELOS Holdings Corp. | 63,000 | 1,553,580 | ||||||
PAETEC Holding Corp.2 | 9,600 | 13,824 | ||||||
Premiere Global Services, Inc.2 | 160,300 | 1,380,183 | ||||||
Qwest Communications International, Inc. | 87,500 | 318,500 | ||||||
tw telecom, Inc.2 | 154,000 | 1,304,380 | ||||||
8,424,656 | ||||||||
Wireless Telecommunication Services—0.5% | ||||||||
Centennial Communications Corp.2 | 179,900 | 1,449,994 | ||||||
ICO Global Communication Holdings Ltd.2 | 8,200 | 9,266 | ||||||
iPCS, Inc.1,2 | 17,534 | 120,283 | ||||||
NII Holdings, Inc.2 | 8,400 | 152,712 | ||||||
Syniverse Holdings, Inc.2 | 68,600 | 819,084 | ||||||
Telephone & Data Systems, Inc. | 6,400 | 203,200 | ||||||
United States Cellular Corp.2 | 6,600 | 285,384 | ||||||
USA Mobility, Inc. | 33,300 | 385,281 | ||||||
3,425,204 | ||||||||
Utilities—0.5% | ||||||||
Energy Traders—0.1% | ||||||||
Canadian Hydro Developers, Inc., Legend Shares2 | 14,000 | 34,289 | ||||||
Mirant Corp.2 | 10,500 | 198,135 | ||||||
232,424 | ||||||||
Gas Utilities—0.1% | ||||||||
Laclede Group, Inc. (The) | 5,000 | 234,200 | ||||||
Northwest Natural Gas Co. | 1,080 | 47,768 | ||||||
WGL Holdings, Inc. | 15,500 | 506,695 | ||||||
788,663 | ||||||||
Multi-Utilities—0.2% | ||||||||
Avista Corp. | 42,200 | 817,836 | ||||||
CH Energy Group, Inc. | 9,848 | 506,089 | ||||||
1,323,925 | ||||||||
Water Utilities—0.1% | ||||||||
Cascal NV | 46,800 | 188,136 | ||||||
SJW Corp. | 14,700 | 440,115 | ||||||
628,251 | ||||||||
Total Common Stocks (Cost $836,165,654) | 598,941,436 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Redcorp Ventures Ltd. Wts., Strike Price 0.65CAD, Exp. 7/5/092,4 (Cost $0) | 333,200 | — |
Shares | Value | |||||||
Investment Companies—1.0% | ||||||||
Capital Southwest Corp. | 200 | $ | 21,632 | |||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%5,6 | 6,344,806 | 6,344,806 | ||||||
Total Investment Companies (Cost $6,370,123) | 6,366,438 | |||||||
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $842,535,777) | 605,307,874 | |||||||
Principal | ||||||||
Amount/Shares | ||||||||
Investments Purchased with Cash Collateral from Securities Loaned—18.4%7 | ||||||||
American General Finance Corp., 4.34%, 1/9/09 | $ | 6,500,000 | 6,465,927 | |||||
American Honda Finance Corp., 2.25%, 3/9/09 | 6,500,000 | 6,493,039 | ||||||
ANZ National (Int’l) Ltd., 0.34%, 3/6/09 | 8,000,000 | 7,998,128 | ||||||
Beta Finance, Inc., 0.35%, 2/17/09 | 5,000,000 | 4,974,015 | ||||||
CAM US Finance SA Unipersonal, 3.24%, 2/2/09 | $ | 6,000,000 | $ | 5,991,396 | ||||
CC USA, Inc., 0.35%, 2/13/09 | 4,500,000 | 4,478,832 | ||||||
GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 0.56%, 1/26/09 | 510,456 | 451,277 | ||||||
MBIA Global Funding LLC, 0.37%, 3/13/09 | 4,000,000 | 3,950,512 | ||||||
OFI Liquid Assets Fund, LLC, 1.71%5,6 | 65,710,173 | 65,710,173 | ||||||
Wachovia Bank NA, 0.36%, 2/23/09 | 6,000,000 | 5,962,992 | ||||||
Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $112,720,343) | 112,476,291 | |||||||
Total Investments, at Value (Cost $955,256,120) | 117.6 | % | 717,784,165 | |||||
Liabilities in Excess of Other Assets | (17.6 | ) | (107,661,684 | ) | ||||
Net Assets | 100.0 | % | $ | 610,122,481 | ||||
CAD Canadian Dollar
1. | Partial or fully-loaned security. See Note 7 of accompanying Notes. | |
2. | Non-income producing security. | |
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $202,463 or 0.03% of the Fund’s net assets as of December 31, 2008. | |
4. | Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of December 31, 2008 was $16,106, which represents less than 0.005% of the Fund’s net assets, all of which is considered restricted. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||||
Tusk Energy Corp., Legend Shares | 11/15/04 | $ | 38,148 | $ | 16,106 | $ | 22,042 |
5. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 439,699,213 | 373,989,040 | 65,710,173 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 10,327,619 | 290,890,004 | 294,872,817 | 6,344,806 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | 65,710,173 | $ | 1,425,660 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 6,344,806 | 241,632 | ||||||
$ | 72,054,979 | $ | 1,667,292 | |||||
6. | Rate shown is the 7-day yield as of December 31, 2008. | |
7. | The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 7 of accompanying Notes. |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 671,016,762 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 46,767,403 | — | ||||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 717,784,165 | $ | — | ||||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $883,201,141) | $ | 645,729,186 | ||
Affiliated companies (cost $72,054,979) | 72,054,979 | |||
717,784,165 | ||||
Cash | 3,527,345 | |||
Receivables and other assets: | ||||
Dividends and interest | 674,171 | |||
Investments sold | 627,153 | |||
Shares of beneficial interest sold | 452,800 | |||
Due from Manager | 17 | |||
Other | 325,250 | |||
Total assets | 723,390,901 | |||
Liabilities | ||||
Return of collateral for securities loaned | 112,509,871 | |||
Payables and other liabilities: | ||||
Distribution and service plan fees | 338,590 | |||
Shares of beneficial interest redeemed | 233,823 | |||
Shareholder communications | 87,648 | |||
Investments purchased | 35,138 | |||
Trustees’ compensation | 4,337 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Other | 57,293 | |||
Total liabilities | 113,268,420 | |||
Net Assets | $ | 610,122,481 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 57,827 | ||
Additional paid-in capital | 977,246,157 | |||
Accumulated net investment income | 4,880,816 | |||
Accumulated net realized loss on investments and foreign currency transactions | (134,590,364 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (237,471,955 | ) | ||
Net Assets | $ | 610,122,481 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $58,478,295 and 5,491,620 shares of beneficial interest outstanding) | $ | 10.65 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $551,644,186 and 52,335,848 shares of beneficial interest outstanding) | $ | 10.54 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $10,042) | $ | 10,073,374 | ||
Affiliated companies | 241,632 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 1,086,082 | |||
Affiliated companies | 1,425,660 | |||
Interest | 14,692 | |||
Total investment income | 12,841,440 | |||
Expenses | ||||
Management fees | 5,909,561 | |||
Distribution and service plan fees - Service shares | 1,924,705 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Shareholder communications: | ||||
Non-Service shares | 23,257 | |||
Service shares | 219,530 | |||
Trustees’ compensation | 21,873 | |||
Custodian fees and expenses | 5,592 | |||
Other | 78,911 | |||
Total expenses | 8,203,417 | |||
Less reduction to custodian expenses | (1,682 | ) | ||
Less waivers and reimbursements of expenses | (7,346 | ) | ||
Net expenses | 8,194,389 | |||
Net Investment Income | 4,647,051 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | (131,278,404 | ) | ||
Foreign currency transactions | 18,140 | |||
Net realized loss | (131,260,264 | ) | ||
Net change in unrealized depreciation on: | ||||
Investments | (252,024,252 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (701,011 | ) | ||
Net change in unrealized depreciation | (252,725,263 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (379,338,476 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 4,647,051 | $ | 2,253,546 | ||||
Net realized gain (loss) | (131,260,264 | ) | 50,386,224 | |||||
Net change in unrealized appreciation (depreciation) | (252,725,263 | ) | (75,276,464 | ) | ||||
Net decrease in net assets resulting from operations | (379,338,476 | ) | (22,636,694 | ) | ||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (406,564 | ) | (284,891 | ) | ||||
Service shares | (2,093,583 | ) | (1,096,034 | ) | ||||
(2,500,147 | ) | (1,380,925 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (4,514,393 | ) | (3,038,041 | ) | ||||
Service shares | (43,539,151 | ) | (23,704,364 | ) | ||||
(48,053,544 | ) | (26,742,405 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 5,447,779 | 17,695,373 | ||||||
Service shares | 118,985,953 | 230,810,116 | ||||||
124,433,732 | 248,505,489 | |||||||
Net Assets | ||||||||
Total increase (decrease) | (305,458,435 | ) | 197,745,465 | |||||
Beginning of period | 915,580,916 | 717,835,451 | ||||||
End of period (including accumulated net investment income of $4,880,816 and $2,449,399, respectively) | $ | 610,122,481 | $ | 915,580,916 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.20 | $ | 19.15 | $ | 17.18 | $ | 16.05 | $ | 13.44 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .12 | .09 | .08 | .04 | .01 | |||||||||||||||
Net realized and unrealized gain (loss) | (6.73 | ) | (.30 | ) | 2.46 | 1.51 | 2.60 | |||||||||||||
Total from investment operations | (6.61 | ) | (.21 | ) | 2.54 | 1.55 | 2.61 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.06 | ) | (.03 | ) | — | — | ||||||||||||
Distributions from net realized gain | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | — | |||||||||||
Total dividends and/or distributions to shareholders | (.94 | ) | (.74 | ) | (.57 | ) | (.42 | ) | — | |||||||||||
Net asset value, end of period | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | $ | 16.05 | ||||||||||
Total Return, at Net Asset Value2 | (37.83 | )% | (1.21 | )% | 15.00 | % | 9.92 | % | 19.42 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 58,478 | $ | 93,939 | $ | 81,405 | $ | 44,820 | $ | 38,636 | ||||||||||
Average net assets (in thousands) | $ | 80,406 | $ | 94,815 | $ | 62,659 | $ | 39,708 | $ | 30,871 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 0.80 | % | 0.48 | % | 0.46 | % | 0.23 | % | 0.06 | % | ||||||||||
Total expenses | 0.75 | %4,5,6 | 0.73 | %4,5,6 | 0.77 | %4,5 | 0.81 | %6 | 0.83 | %6 | ||||||||||
Portfolio turnover rate | 130 | % | 115 | % | 110 | % | 110 | % | 147 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total Expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.75 | % | ||
Year Ended December 31, 2007 | 0.73 | % | ||
Year Ended December 31, 2006 | 0.77 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 18.03 | $ | 18.98 | $ | 17.06 | $ | 15.97 | $ | 13.40 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | .08 | .05 | .04 | — | 2 | (.02 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (6.67 | ) | (.29 | ) | 2.42 | 1.51 | 2.59 | |||||||||||||
Total from investment operations | (6.59 | ) | (.24 | ) | 2.46 | 1.51 | 2.57 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.04 | ) | (.03 | ) | — | 2 | — | — | ||||||||||||
Distributions from net realized gain | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | — | |||||||||||
Total dividends and/or distributions to shareholders | (.90 | ) | (.71 | ) | (.54 | ) | (.42 | ) | — | |||||||||||
Net asset value, end of period | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | $ | 15.97 | ||||||||||
Total Return, at Net Asset Value3 | (38.00 | )% | (1.39 | )% | 14.66 | % | 9.71 | % | 19.18 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 551,644 | $ | 821,642 | $ | 636,430 | $ | 314,868 | $ | 173,612 | ||||||||||
Average net assets (in thousands) | $ | 769,150 | $ | 766,102 | $ | 479,456 | $ | 221,324 | $ | 112,279 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income (loss) | 0.52 | % | 0.23 | % | 0.23 | % | 0.02 | % | (0.14 | )% | ||||||||||
Total expenses | 0.99 | %5,6,7 | 0.97 | %5,6,7 | 1.00 | %5,6 | 1.04 | %7 | 1.06 | %7 | ||||||||||
Portfolio turnover rate | 130 | % | 115 | % | 110 | % | 110 | % | 147 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 0.99 | % | ||
Year Ended December 31, 2007 | 0.97 | % | ||
Year Ended December 31, 2006 | 1.00 | % |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
7. | Reduction to custodian expenses less than 0.005%. |
Net Unrealized | ||||||||||||
Depreciation Based | ||||||||||||
on Cost of Securities | ||||||||||||
Undistributed | Undistributed | Accumulated | and Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5,6 | Tax Purposes | |||||||||
$4,877,031 | $ | — | $ | 113,847,637 | $ | 258,206,559 |
1. | As of December 31, 2008, the Fund had $91,820,783 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforward were as follows: |
Expiring | ||||
2016 | $ | 91,820,783 |
Increase | ||||
Increase | to Accumulated Net | |||
to Accumulated Net | Realized Loss | |||
Investment Income | on Investments | |||
$284,513 | $284,513 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,557,183 | $ | 2,813,251 | ||||
Long-term capital gain | 42,996,508 | 25,310,079 | ||||||
Total | $ | 50,553,691 | $ | 28,123,330 | ||||
Federal tax cost of securities | $ | 975,990,724 | ||
Federal tax cost of other investments | (781,938 | ) | ||
Total federal tax cost | $ | 975,208,786 | ||
Gross unrealized appreciation | $ | 24,051,648 | ||
Gross unrealized depreciation | (282,258,207 | ) | ||
Net unrealized depreciation | $ | (258,206,559 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,628,830 | $ | 24,176,255 | 1,931,787 | $ | 37,725,561 | ||||||||||
Dividends and/or distributions reinvested | 326,974 | 4,920,957 | 177,034 | 3,322,932 | ||||||||||||
Redeemed | (1,624,446 | ) | (23,649,433 | ) | (1,200,537 | ) | (23,353,120 | ) | ||||||||
Net increase | 331,358 | $ | 5,447,779 | 908,284 | $ | 17,695,373 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 14,415,062 | $ | 222,143,048 | 15,587,096 | $ | 300,314,601 | ||||||||||
Dividends and/or distributions reinvested | 3,047,035 | 45,492,232 | 1,328,184 | 24,744,065 | ||||||||||||
Redeemed | (10,696,966 | ) | (148,649,327 | ) | (4,874,156 | ) | (94,248,550 | ) | ||||||||
Net increase | 6,765,131 | $ | 118,985,953 | 12,041,124 | $ | 230,810,116 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 1,177,910,057 | $ | 1,100,973,230 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
February 11, 2009
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Funds, Length of Service, Age | the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 – June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1998) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1998) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Zavanelli, Reinganum and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite or until his or her resignation, retirement, death or removal. | |
Mark Zavanelli, Vice President and Portfolio Manager (since 2001) Age: 38 | Vice President of the Manager (since November 2000); a Chartered Financial Analyst. Prior to joining the Manager in May 1998, President of Waterside Capital Management, a registered investment advisor (August 1995-April 1998). A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Dr. Marc Reinganum, Vice President and Portfolio Manager (since 2008) Age: 55 | Vice President of the Manager (since September 2002); Director of Quantitative Research and Portfolio Strategist for Equities; the Mary Jo Vaughn Rauscher Chair in Financial Investments at Southern Methodist University (1995-2002) where he also served as the Director of the Finance Institute, Chairman of the Finance Department, President of the Faculty at the Cox School of Business and member of the Board of Trustee Investment Committee. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999- October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2008 | December 31, 2008 | December 31, 2008 | |||||||||
$ | 1,000.00 | $ | 1,012.30 | $ | 2.58 | |||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
1,000.00 | 1,022.57 | 2.60 |
Expense Ratio | ||||
0.51 | % |
Principal | ||||||||
Amount | Value | |||||||
Certificates of Deposit—22.9% | ||||||||
Domestic Certificates of Deposit—3.7% | ||||||||
Citibank NA: | ||||||||
1.40%, 3/20/09 | $ | 3,000,000 | $ | 3,000,000 | ||||
1.45%, 3/20/09 | 3,000,000 | 3,000,000 | ||||||
1.65%, 1/8/09 | 1,000,000 | 1,000,000 | ||||||
1.85%, 3/12/09 | 2,000,000 | 2,000,000 | ||||||
9,000,000 | ||||||||
Yankee Certificates of Deposit—19.2% | ||||||||
Bank of Nova Scotia, Houston, TX: | ||||||||
2.46%, 9/4/091 | 3,000,000 | 3,000,000 | ||||||
2.501%, 9/8/091 | 3,000,000 | 3,000,000 | ||||||
BNP Paribas, New York: | ||||||||
1.97%, 2/12/09 | 6,000,000 | 6,000,000 | ||||||
2.12%, 3/6/09 | 1,500,000 | 1,500,000 | ||||||
2.29%, 2/10/09 | 2,000,000 | 2,000,552 | ||||||
3.10%, 2/27/09 | 1,800,000 | 1,800,000 | ||||||
Lloyds TSB Bank plc: | ||||||||
0.33%, 1/22/09 | 3,000,000 | 3,000,000 | ||||||
3.50%, 1/23/09 | 3,000,000 | 3,001,089 | ||||||
Rabobank Nederland NV, New York: | ||||||||
0.75%, 6/24/09 | 2,000,000 | 2,000,000 | ||||||
1.25%, 6/16/09 | 4,000,000 | 4,000,000 | ||||||
Royal Bank of Canada, New York, | ||||||||
2.71%, 8/7/091 | 5,000,000 | 5,000,000 | ||||||
Societe Generale: | ||||||||
4%, 1/16/09 | 5,000,000 | 5,000,000 | ||||||
4%, 1/20/09 | 2,000,000 | 2,000,000 | ||||||
Toronto Dominion Bank, New York: | ||||||||
3.03%, 2/5/09 | 3,000,000 | 3,000,000 | ||||||
3.13%, 1/30/09 | 2,500,000 | 2,500,000 | ||||||
46,801,641 | ||||||||
Total Certificates of Deposit (Cost $55,801,641) | 55,801,641 | |||||||
Direct Bank Obligations—15.6% | ||||||||
Bank of America NA, 2.18%, 2/27/09 | 5,000,000 | 4,999,849 | ||||||
Barclays US Funding LLC, 1.55%, 1/5/09 | 1,000,000 | 999,828 | ||||||
Calyon North America, Inc.: | ||||||||
0.44%, 1/21/09 | 1,500,000 | 1,499,633 | ||||||
0.45%, 1/12/09 | 1,000,000 | 999,704 | ||||||
Danske Corp.: | ||||||||
1.285%, 3/30/092 | 2,000,000 | 1,993,718 | ||||||
1.79%, 3/12/092 | 1,000,000 | 995,975 | ||||||
1.80%, 1/5/092 | 2,000,000 | 1,999,600 | ||||||
2.03%, 3/9/092 | 2,000,000 | 1,992,444 | ||||||
2.03%, 3/10/092 | 2,000,000 | 1,992,331 | ||||||
Deutsche Bank Financial LLC, | ||||||||
0.39%, 1/13/09 | 1,000,000 | 999,870 | ||||||
HSBC Bank USA NA, 2.53%, 8/14/091 | 3,000,000 | 2,970,267 | ||||||
National Australia Funding (Delaware), Inc.: | ||||||||
0.69%, 3/18/092 | $ | 2,000,000 | $ | 1,997,087 | ||||
1.25%, 3/2/092 | 3,000,000 | 2,993,750 | ||||||
1.75%, 2/11/092 | 1,000,000 | 998,007 | ||||||
Nordea North America, Inc.: | ||||||||
1.02%, 3/17/09 | 2,500,000 | 2,494,688 | ||||||
2.04%, 3/11/09 | 2,000,000 | 1,992,180 | ||||||
Rabobank USA Financial Corp., | ||||||||
1.30%, 2/4/09 | 3,000,000 | 2,996,317 | ||||||
Royal Bank of Canada, 4.95%, 7/15/091 | 3,000,000 | 3,000,000 | ||||||
Total Direct Bank Obligations (Cost $37,915,248) | 37,915,248 | |||||||
Short-Term Notes—58.9% | ||||||||
Air Freight & Couriers—0.8% | ||||||||
United Parcel Service, Inc., | ||||||||
0.40%, 1/8/09 | 2,000,000 | 1,999,844 | ||||||
Automobiles—2.9% | ||||||||
BMW US Capital LLC, 2%, 1/8/092 | 7,000,000 | 6,997,278 | ||||||
Building Products—0.8% | ||||||||
Illinois Tool Works, Inc., 1.20%, 2/2/09 | 2,000,000 | 1,997,867 | ||||||
Capital Markets—2.1% | ||||||||
Banc of America Securities LLC, | ||||||||
0.19%, 1/1/091 | 5,000,000 | 5,000,000 | ||||||
Chemicals—0.4% | ||||||||
BASF AG, 1.47%, 1/7/09 | 1,000,000 | 999,755 | ||||||
Commercial Finance—0.8% | ||||||||
Private Export Funding Corp., | ||||||||
0.80%, 1/13/092 | 2,000,000 | 1,999,467 | ||||||
Diversified Financial Services—4.6% | ||||||||
General Electric Capital Corp.: | ||||||||
2.60%, 1/29/09 | 4,300,000 | 4,291,304 | ||||||
3%, 1/27/09 | 5,000,000 | 4,989,167 | ||||||
3.10%, 1/23/09 | 2,000,000 | 1,996,211 | ||||||
11,276,682 | ||||||||
Diversified Telecommunication Services—0.8% | ||||||||
AT&T, Inc., 1.15%, 1/30/09 | 2,000,000 | 1,998,147 | ||||||
Food Products—1.0% | ||||||||
Nestle Capital Corp.: | ||||||||
2.395%, 3/13/092 | 1,500,000 | 1,492,915 | ||||||
2.40%, 3/6/092 | 1,000,000 | 995,733 | ||||||
2,488,648 | ||||||||
Insurance—5.3% | ||||||||
Jackson National Life Global Funding, | ||||||||
Series 2004-6, 1.29%, 8/15/091,3 | 2,500,000 | 2,500,000 | ||||||
Jackson National Life Global Funding, | ||||||||
Series 2008-1, 2.69%, 2/10/091,4 | 1,000,000 | 1,000,000 | ||||||
MetLife Funding, Inc.: | ||||||||
0.40%, 1/28/09 | 4,500,000 | 4,498,650 | ||||||
1%, 1/14/09 | 1,000,000 | 999,639 |
Principal | ||||||||
Amount | Value | |||||||
Insurance Continued | ||||||||
Security Life of Denver, 2.13%, 9/8/091,3 | $ | 2,000,000 | $ | 2,000,000 | ||||
United of Omaha Life Insurance Co., | ||||||||
1.64%, 12/28/091 | 2,000,000 | 2,000,000 | ||||||
12,998,289 | ||||||||
Leasing & Factoring—6.3% | ||||||||
American Honda Finance Corp.: | ||||||||
1.998%, 9/18/091,4 | 1,000,000 | 1,000,000 | ||||||
2.989%, 5/5/091,4 | 3,000,000 | 3,000,000 | ||||||
Toyota Motor Credit Corp.: | ||||||||
1.25%, 3/23/09 | 3,000,000 | 2,991,563 | ||||||
2.50%, 2/2/09 | 2,900,000 | 2,892,009 | ||||||
2.65%, 1/26/09 | 2,400,000 | 2,395,583 | ||||||
3.55%, 1/22/09 | 3,000,000 | 2,993,788 | ||||||
15,272,943 | ||||||||
Municipal—1.9% | ||||||||
Alta Mira LLC, Series 2004, | ||||||||
2.29%, 1/2/091 | 2,205,000 | 2,205,000 | ||||||
Hayward, CA Multifamily Housing | ||||||||
Revenue Bonds, Lord Tennyson Apts. | ||||||||
Project, Series A-T, 1.75%, 1/2/091 | 710,000 | 710,000 | ||||||
St. Johns Cnty., FL Industrial | ||||||||
Development Authority Revenue Bonds, | ||||||||
Presbyterian Retirement Communities | ||||||||
Project, Series 2004B, 3.38%, 1/7/091 | 1,000,000 | 1,000,000 | ||||||
Taxable Adjustable Demand | ||||||||
Health Care Revenue Bonds, | ||||||||
SFO Associates Project, Series 1994, | ||||||||
10%, 1/1/091 | 785,000 | 785,000 | ||||||
4,700,000 | ||||||||
Oil, Gas & Consumable Fuels—2.1% | ||||||||
BP Capital Markets plc, 1.15%, 3/2/09 | 2,000,000 | 1,996,167 | ||||||
Shell International Finance BV, | ||||||||
0.40%, 4/3/092 | 1,000,000 | 998,978 | ||||||
Total Capital, 1.10%, 1/5/092 | 2,000,000 | 1,999,733 | ||||||
4,994,878 | ||||||||
Personal Products—2.9% | ||||||||
Kimberly-Clark Worldwide, | ||||||||
0.45%, 2/9/092 | 1,000,000 | 999,513 | ||||||
Procter & Gamble Co., 1%, 1/21/092 | 2,000,000 | 1,998,889 | ||||||
Reckitt Benckiser Treasury Services plc: | ||||||||
2.27%, 2/13/092 | 2,000,000 | 1,994,577 | ||||||
2.30%, 3/3/092 | 2,000,000 | 1,992,206 | ||||||
6,985,185 | ||||||||
Pharmaceuticals—2.1% | ||||||||
Johnson & Johnson, 0.50%, 1/27/09 | $ | 2,000,000 | $ | 1,999,278 | ||||
Merck & Co., Inc., 0.15%, 2/5/09 | 1,000,000 | 999,854 | ||||||
Pfizer, Inc., 0.85%, 2/2/092 | 2,000,000 | 1,998,489 | ||||||
4,997,621 | ||||||||
Receivables Finance—23.5% | ||||||||
Amsterdam Funding Corp., | ||||||||
3.08%, 3/5/092 | 3,000,000 | 2,983,830 | ||||||
Barton Capital Corp., 1.10%, 1/15/092 | 1,000,000 | 999,572 | ||||||
Chariot Funding LLC, 1.40%, 1/2/094 | 1,500,000 | 1,499,942 | ||||||
Falcon Asset Securitization Co. LLC: | ||||||||
1.40%, 1/28/092 | 5,000,000 | 4,994,750 | ||||||
1.40%, 2/9/092 | 5,000,000 | 4,992,417 | ||||||
Gemini Securitization Corp.: | ||||||||
0.75%, 3/19/092 | 6,000,000 | 5,990,375 | ||||||
3.25%, 1/27/092 | 2,000,000 | 1,995,306 | ||||||
4.35%, 1/15/092 | 1,600,000 | 1,597,293 | ||||||
4.35%, 1/16/092 | 2,000,000 | 1,996,375 | ||||||
Legacy Capital LLC, 2.70%, 1/12/09 | 5,000,000 | 4,995,875 | ||||||
Lexington Parker Capital Co. LLC: | ||||||||
2.50%, 1/9/092 | 9,000,000 | 8,995,000 | ||||||
3.10%, 1/6/092 | 2,000,000 | 1,999,139 | ||||||
Old Line Funding Corp., | ||||||||
0.50%, 1/22/092 | 1,000,000 | 999,708 | ||||||
Park Avenue Receivables Co. LLC, | ||||||||
1.40%, 1/6/09 | 3,000,000 | 2,999,417 | ||||||
Ranger Funding Co. LLC, | ||||||||
1.55%, 1/5/094 | 4,150,000 | 4,149,354 | ||||||
Sheffield Receivables Corp., | ||||||||
0.60%, 1/13/092 | 1,000,000 | 999,800 | ||||||
Thunder Bay Funding LLC, | ||||||||
3%, 1/23/094 | 3,000,000 | 2,994,500 | ||||||
Windmill Funding Corp., | ||||||||
3.10%, 1/7/092 | 2,000,000 | 1,998,967 | ||||||
57,181,620 | ||||||||
Special Purpose Financial—0.6% | ||||||||
Ticonderoga Funding LLC, | ||||||||
0.35%, 1/22/09 | 1,500,000 | 1,499,694 | ||||||
Total Short-Term Notes (Cost $143,387,918) | 143,387,918 | |||||||
U.S. Government Agencies—2.5% | ||||||||
Federal Home Loan Bank, | ||||||||
2.75%, 4/27/09 | 4,000,000 | 3,964,551 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
0.12%, 2/2/09 | 1,000,000 | 999,893 |
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Agencies Continued | ||||||||
Federal National Mortgage Assn., | ||||||||
0.10%, 2/2/09 | $ | 1,000,000 | $ | 999,911 | ||||
Total U.S. Government Agencies (Cost $5,964,355) | 5,964,355 | |||||||
Total Investments, at Value (Cost $243,069,162) | 99.9 | % | 243,069,162 | |||||
Other Assets Net of Liabilities | 0.1 | 287,222 | ||||||
Net Assets | 100.0 | % | $ | 243,356,384 | ||||
Investments | Other Financial | |||||||
Valuation Description | in Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | — | $ | — | ||||
Level 2—Other Significant Observable Inputs | 243,069,162 | — | ||||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 243,069,162 | $ | — | ||||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Assets | ||||
Investments, at value (cost $243,069,162)—see accompanying statement of investments | $ | 243,069,162 | ||
Cash | 491,436 | |||
Receivables and other assets: | ||||
Interest | 337,885 | |||
Shares of beneficial interest sold | 20,525 | |||
Other | 34,425 | |||
Total assets | 243,953,433 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 449,341 | |||
Dividends | 103,648 | |||
Shareholder communications | 12,874 | |||
Trustees’ compensation | 2,460 | |||
Transfer and shareholder servicing agent fees | 860 | |||
Other | 27,866 | |||
Total liabilities | 597,049 | |||
Net Assets | $ | 243,356,384 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 243,331 | ||
Additional paid-in capital | 243,113,801 | |||
Accumulated net investment loss | (1,067 | ) | ||
Accumulated net realized gain on investments | 319 | |||
Net Assets—applicable to 243,331,044 shares of beneficial interest outstanding | $ | 243,356,384 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 1.00 |
Investment Income | ||||
Interest | $ | 6,843,139 | ||
Expenses | ||||
Management fees | 955,875 | |||
Shareholder communications | 24,894 | |||
Insurance expense | 23,373 | |||
Transfer and shareholder servicing agent fees | 9,994 | |||
Trustees’ compensation | 6,792 | |||
Custodian fees and expenses | 1,257 | |||
Other | 33,803 | |||
Total expenses | 1,055,988 | |||
Net Investment Income | 5,787,151 | |||
Net Realized Gain on Investments | 321 | |||
Net Increase in Net Assets Resulting from Operations | $ | 5,787,472 | ||
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 5,787,151 | $ | 8,813,949 | ||||
Net realized gain (loss) | 321 | (2 | ) | |||||
Net increase in net assets resulting from operations | 5,787,472 | 8,813,947 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (5,787,153 | ) | (8,813,949 | ) | ||||
Distributions from net realized gain | — | (3,645 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase in net assets resulting from beneficial interest transactions | 53,607,490 | 18,231,526 | ||||||
Net Assets | ||||||||
Total increase | 53,607,809 | 18,227,879 | ||||||
Beginning of period | 189,748,575 | 171,520,696 | ||||||
End of period (including accumulated net investment loss of $1,067 and $1,065, respectively) | $ | 243,356,384 | $ | 189,748,575 | ||||
Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Income from investment operations–net investment income and net realized gain1 | .03 | .05 | .05 | .03 | .01 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | ||||||||||
Distributions from net realized gain | — | — | 2 | — | 2 | — | — | |||||||||||||
Total dividends and/or distributions to shareholders | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | ||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total Return3 | 2.78 | % | 4.98 | % | 4.71 | % | 2.86 | % | 0.98 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 243,356 | $ | 189,749 | $ | 171,521 | $ | 173,162 | $ | 196,503 | ||||||||||
Average net assets (in thousands) | $ | 212,564 | $ | 181,271 | $ | 171,118 | $ | 186,453 | $ | 218,243 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 2.72 | % | 4.86 | % | 4.61 | % | 2.80 | % | 0.97 | % | ||||||||||
Total expenses | 0.50 | % | 0.50 | %5 | 0.49 | % | 0.48 | %5 | 0.48 | %5 |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Reduction to custodian expenses less than 0.005%. |
Undistributed Net | Undistributed | Accumulated Loss | ||||||
Investment Income | Long-Term Gains | Carryforward1,2 | ||||||
$152,499 | $— | $— |
1. | During the fiscal year ended December 31, 2008, the Fund utilized $2 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
2. | During the fiscal year ended December 31, 2007, the Fund did not utilize any capital loss carryforwards. |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $5,787,153 | $8,817,594 |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | 163,835,502 | $ | 163,835,502 | 142,287,227 | $ | 142,287,227 | ||||||||||
Dividends and/or distributions reinvested | 5,787,153 | 5,787,153 | 8,817,594 | 8,817,594 | ||||||||||||
Redeemed | (116,015,165 | ) | (116,015,165 | ) | (132,873,295 | ) | (132,873,295 | ) | ||||||||
Net increase | 53,607,490 | $ | 53,607,490 | 18,231,526 | $ | 18,231,526 | ||||||||||
Fee Schedule | ||||
Up to $500 million | 0.450 | % | ||
Next $500 million | 0.425 | |||
Next $500 million | 0.400 | |||
Over $1.5 billion | 0.375 |
February 11, 2009
Name, Position(s) Held with the Funds, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate bro- kerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1990) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several posi- tions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey, Wixted and Ms. Wolf, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retire- ment, death or removal. | |
Carol E. Wolf, Vice President and Portfolio Manager (since 1998) Age: 57 | Senior Vice President of the Manager (since June 2000) and of HarbourView Asset Management Corporation (since June 2003); formerly Vice President of the Manager (June 1990-June 2000). An officer of 6 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, Treasurer and Principal | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: | |
Financial & Accounting Officer (since 1999) Age: 49 | HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999- October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2008 | December 31, 2008 | December 31, 2008 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 839.20 | $ | 2.69 | ||||||
Service Shares | 1,000.00 | 839.80 | 3.85 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,022.22 | 2.95 | |||||||||
Service Shares | 1,000.00 | 1,020.96 | 4.23 |
Class | Expense Ratios | |||
Non-Service Shares | 0.58 | % | ||
Service Shares | 0.83 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—1.4% | ||||||||
Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 0.651%, 11/25/351 | $ | 3,298 | $ | 3,267 | ||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivables Nts., Series 2007-1, Cl. D, 5.62%, 9/8/142 | 1,319,000 | 854,053 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.951%, 5/25/341 | 924,857 | 714,313 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.571%, 9/25/361 | 530,000 | 424,829 | ||||||
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.571%, 5/26/361 | 418,823 | 382,802 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 262,000 | 200,549 | ||||||
Capital Auto Receivables Asset Trust 2008-2, Automobile Asset-Backed Securities, Series 2008-2, Cl. A2A, 3.74%, 3/15/11 | 2,950,000 | 2,889,639 | ||||||
Capital One Auto Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 1.225%, 5/15/131 | 1,312,000 | 912,432 | ||||||
Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 1.215%, 4/15/111 | 5,278,299 | 5,124,536 | ||||||
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.571%, 5/16/361 | 460,392 | 441,089 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.571%, 10/31/361 | 603,989 | 554,084 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/361 | 1,530,000 | 1,223,613 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/361 | 233,158 | 201,064 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.591%, 12/5/291 | 1,050,000 | 807,320 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 1.425%, 12/15/351 | 269,812 | 105,890 | ||||||
Series 2006-H, Cl. 2A1A, 1.345%, 11/15/361 | 96,537 | 25,010 | ||||||
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates, Series 2008-B, Cl. A2A, 3.81%, 6/8/11 | 2,950,000 | 2,887,528 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/252,3,4 | 1,820,063 | 13,650 | ||||||
First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 0.681%, 11/25/351 | 112,308 | 110,855 | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.561%, 7/25/361 | 1,000,000 | 867,049 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.581%, 7/7/361 | 430,000 | 366,527 | ||||||
First Franklin Mortgage Loan | ||||||||
Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA, Cl. A3, 0.591%, 9/25/361 | 1,027,653 | 240,410 | ||||||
Harley-Davidson Motorcycle | ||||||||
Trust, Motorcycle Receivable Nts., Series 2007-3, Cl. A3, 1.545%, 6/15/121 | 8,340,000 | 7,983,594 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.363%, 6/1/35 | 1,046,000 | 332,257 | ||||||
Home Equity Mortgage Trust 2006-5, Mtg. Pass-Through Certificates, Series 2006-5, Cl. A1, 5.50%, 1/25/37 | 443,748 | 104,160 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 0.768%, 1/20/351 | $ | 235,534 | $ | 167,442 | ||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.618%, 3/20/361 | 440,000 | 368,666 | ||||||
Hyundai Auto Receivables Trust 2008-A, Asset-Backed Automobile Securities, Series 2008-A, Cl. A2, 4.16%, 5/16/11 | 4,160,000 | 4,085,053 | ||||||
Ice Em CLO, Collateralized Loan Obligations: | ||||||||
Series 2007-1A, Cl. B, 4.795%, 8/15/221,2 | 7,870,000 | 3,541,500 | ||||||
Series 2007-1A, Cl. C, 6.095%, 8/15/221,2 | 5,270,000 | 1,224,748 | ||||||
Series 2007-1A, Cl. D, 8.095%, 8/15/221,2 | 5,270,000 | 909,602 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/351 | 74,150 | 72,760 | ||||||
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | 101,682 | 92,689 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.571%, 8/25/361 | 1,310,000 | 390,146 | ||||||
NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 6.368%, 1/25/291,2 | 66,744 | 8,510 | ||||||
Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.571%, 7/1/361 | 2,879,098 | 2,537,112 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 394,533 | 358,623 | ||||||
RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 0.551%, 7/25/361 | 42,744 | 42,341 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.571%, 9/25/361 | 1,097,501 | 998,574 | ||||||
Securitized Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities, Series 2007-BR2, Cl. A2, 0.701%, 2/25/371 | 786,579 | 365,811 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 2.396%, 6/15/391 | 2,487,000 | 722,984 | ||||||
Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations: | ||||||||
Series 2005-BC3, Cl. A2B, 0.721%, 6/25/361 | 7,489 | 7,421 | ||||||
Series 2006-BC1, Cl. A2B, 0.621%, 12/25/361 | 960,290 | 918,516 | ||||||
Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F, 19.193%, 6/7/111,2 | 1,630,000 | 1,075,800 | ||||||
Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates, Series 2006-1A, Cl. C, 4.739%, 11/14/131,2 | 503,102 | 457,823 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%, 5/1/37 | 217,897 | 56,554 | ||||||
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.571%, 7/25/361 | 839,051 | 791,865 | ||||||
Total Asset-Backed Securities (Cost $66,300,323) | 46,965,060 | |||||||
Mortgage-Backed Obligations—27.5% | ||||||||
Government Agency—15.1% | ||||||||
FHLMC/FNMA/Sponsored—14.8% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
4.50%, 12/15/18-5/15/19 | 1,409,950 | 1,451,275 | ||||||
5%, 8/15/33-9/15/33 | 4,030,980 | 4,130,036 | ||||||
6%, 5/15/18-3/15/33 | 2,706,039 | 2,805,117 | ||||||
6.50%, 3/15/18-6/15/35 | 5,673,041 | 5,927,302 | ||||||
7%, 12/1/23-10/1/31 | 376,154 | 395,682 | ||||||
7.50%, 4/25/36 | 1,250,923 | 1,320,646 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Participation Certificates, Series 1897, Cl. K, 7%, 9/15/26 | 2,894,861 | 3,105,296 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | $ | 1,525,940 | $ | 1,645,370 | ||||
Series 151, Cl. F, 9%, 5/15/21 | 39,507 | 39,495 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 1,161,700 | 1,237,551 | ||||||
Series 2006-11, Cl. PS, 22.839%, 3/25/361 | 709,683 | 809,089 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 854,683 | 891,040 | ||||||
Series 2106, Cl. FG, 1.645%, 12/15/281 | 2,033,041 | 1,904,899 | ||||||
Series 2122, Cl. F, 1.645%, 2/15/291 | 66,133 | 62,467 | ||||||
Series 2135, Cl. OH, 6.50%, 3/15/29 | 1,141,881 | 1,195,930 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 1,958,086 | 2,027,023 | ||||||
Series 2173, Cl. Z, 6.50%, 7/15/29 | 725,872 | 752,313 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 869,205 | 912,782 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 141,676 | 148,349 | ||||||
Series 2344, Cl. FP, 2.145%, 8/15/311 | 613,095 | 597,326 | ||||||
Series 2351, Cl. PZ, 6.50%, 8/15/31 | 1,216,486 | 1,279,087 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 583,773 | 611,665 | ||||||
Series 2410, Cl. PF, 2.175%, 2/15/321 | 2,936,062 | 2,864,436 | ||||||
Series 2412, Cl. GF, 2.145%, 2/15/321 | 1,431,199 | 1,396,539 | ||||||
Series 2415, Cl. ZA, 6.50%, 2/15/32 | 1,660,399 | 1,739,055 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 1,167,194 | 1,183,899 | ||||||
Series 2449, Cl. FL, 1.745%, 1/15/321 | 800,029 | 778,460 | ||||||
Series 2451, Cl. FD, 2.195%, 3/15/321 | 451,300 | 440,214 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 239,763 | 251,377 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,767,878 | 1,865,446 | ||||||
Series 2464, Cl. FI, 2.195%, 2/15/321 | 467,954 | 456,308 | ||||||
Series 2470, Cl. AF, 2.195%, 3/15/321 | 774,589 | 765,985 | ||||||
Series 2470, Cl. LF, 2.195%, 2/15/321 | 478,884 | 459,586 | ||||||
Series 2471, Cl. FD, 2.195%, 3/15/321 | 870,843 | 829,863 | ||||||
Series 2477, Cl. FZ, 1.745%, 6/15/311 | 1,765,378 | 1,714,782 | ||||||
Series 2500, Cl. FD, 1.695%, 3/15/321 | 45,676 | 44,219 | ||||||
Series 2517, Cl. GF, 2.195%, 2/15/321 | 416,365 | 400,642 | ||||||
Series 2526, Cl. FE, 1.595%, 6/15/291 | 65,532 | 63,207 | ||||||
Series 2551, Cl. FD, 1.595%, 1/15/331 | 50,652 | 49,290 | ||||||
Series 2641, Cl. CE, 3.50%, 9/15/25 | 524,202 | 523,789 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 3,843,000 | 3,860,902 | ||||||
Series 2727, Cl. UA, 3.50%, 10/15/22 | 141,251 | 141,184 | ||||||
Series 2736, Cl. DB, 3.30%, 11/15/26 | 2,527,797 | 2,522,031 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 6,037,000 | 6,243,903 | ||||||
Series 2777, Cl. PJ, 4%, 5/15/24 | 158,227 | 158,301 | ||||||
Series 2857, Cl. MG, 5%, 9/1/34 | 2,045,000 | 2,101,682 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 6,120,000 | 6,283,610 | ||||||
Series 2934, Cl. NA, 5%, 4/15/24 | 697,933 | 702,854 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 4,858,000 | 4,975,906 | ||||||
Series 2939, Cl. PE, 5%, 2/15/35 | 1,585,000 | 1,626,874 | ||||||
Series 2947, Cl. HE, 5%, 3/1/35 | 1,650,000 | 1,689,966 | ||||||
Series 2991, Cl. QG, 5%, 8/1/34 | 2,430,000 | 2,501,430 | ||||||
Series 3015, Cl. GM, 5%, 8/1/35 | 3,480,000 | 3,552,410 | ||||||
Series 3022, Cl. HU, 5%, 8/1/35 | 3,300,000 | 3,369,499 | ||||||
Series 3025, Cl. SJ, 20.368%, 8/15/351 | 867,796 | 992,159 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 2,353,082 | 2,385,515 | ||||||
Series 3094, Cl. HS, 20.002%, 6/15/341 | 482,047 | 536,911 | ||||||
Series 3105, Cl. BD, 5.50%, 1/15/26 | 1,500,000 | 1,572,224 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 177, Cl. IO, 3.886%, 7/1/265 | 167,410 | 33,807 | ||||||
Series 192, Cl. IO, 4.761%, 2/1/285 | 43,815 | 6,190 | ||||||
Series 200, Cl. IO, 4.398%, 1/1/295 | 54,033 | 9,215 | ||||||
Series 2003-13, Cl. IO, 0.349%, 3/25/335 | 980,301 | 173,874 | ||||||
Series 2003-26, Cl. DI, 1.332%, 4/25/335 | 757,832 | 130,904 | ||||||
Series 205, Cl. IO, 0.467%, 9/1/295 | 226,100 | 50,485 | ||||||
Series 2074, Cl. S, 37.242%, 7/17/285 | 56,766 | 6,807 | ||||||
Series 2079, Cl. S, 43.579%, 7/17/285 | 90,719 | 10,722 | ||||||
Series 208, Cl. IO, (26.473)%, 6/1/305 | 251,734 | 43,292 | ||||||
Series 2136, Cl. SG, 77.287%, 3/15/295 | 2,479,485 | 231,093 | ||||||
Series 216, Cl. IO, 2.681%, 12/1/315 | 252,209 | 31,897 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Series 2177, Cl. S, 70.604%, 8/15/295 | $ | 2,723,238 | $ | 278,234 | ||||
Series 224, Cl. IO, 0.314%, 3/1/335 | 1,695,804 | 252,829 | ||||||
Series 2399, Cl. SG, 57.918%, 12/15/265 | 1,475,093 | 145,661 | ||||||
Series 243, Cl. 6, 15.224%, 12/15/325 | 723,034 | 94,556 | ||||||
Series 2437, Cl. SB, 77.883%, 4/15/325 | 4,280,534 | 404,536 | ||||||
Series 2526, Cl. SE, 30.034%, 6/15/295 | 122,517 | 16,682 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/335 | 1,151,660 | 109,571 | ||||||
Series 2920, Cl. S, 54.415%, 1/15/355 | 989,338 | 97,233 | ||||||
Series 2989, Cl. TS, 77.854%, 6/15/255 | 22,612,207 | 1,667,234 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/255 | 1,156,231 | 92,509 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 657,294 | 47,251 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 192, Cl. PO, 8.464%, 2/1/286 | 43,815 | 39,381 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 5/25/18-6/1/20 | 22,163,053 | 22,746,584 | ||||||
4.50%, 1/1/227 | 1,385,000 | 1,415,730 | ||||||
5%, 12/1/17-11/1/33 | 92,630,489 | 95,262,023 | ||||||
5%, 1/1/397 | 11,486,000 | 11,728,286 | ||||||
5.296%, 10/1/36 | 22,978,570 | 23,266,379 | ||||||
5.50%, 4/25/21-7/1/33 | 71,470,489 | 73,520,615 | ||||||
5.50%, 1/1/24-1/1/397 | 6,320,000 | 6,487,752 | ||||||
6%, 10/25/16-4/1/35 | 35,722,870 | 36,951,546 | ||||||
6%, 1/1/247 | 11,081,000 | 11,491,341 | ||||||
6.50%, 3/25/17-1/1/34 | 11,665,312 | 12,157,761 | ||||||
6.50%, 1/1/397 | 17,211,000 | 17,875,241 | ||||||
7%, 11/1/17-6/25/34 | 9,755,061 | 10,320,358 | ||||||
7%, 1/1/397 | 1,160,000 | 1,214,738 | ||||||
7.50%, 2/25/27-3/25/33 | 4,503,559 | 4,776,206 | ||||||
8.50%, 7/1/32 | 6,995 | 7,607 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 889,222 | 920,052 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 1,682,087 | 1,760,238 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 453,875 | 477,724 | ||||||
Trust 2001-69, Cl. PF, 1.471%, 12/25/311 | 1,057,081 | 1,030,468 | ||||||
Trust 2001-70, Cl. LR, 6%, 9/25/30 | 3,711 | 3,704 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 5,476,298 | 5,671,183 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 1,134,985 | 1,175,699 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 724,894 | 759,222 | ||||||
Trust 2002-29, Cl. F, 1.471%, 4/25/321 | 512,730 | 499,710 | ||||||
Trust 2002-56, Cl. KW, 6%, 4/25/23 | 3,432,792 | 3,493,134 | ||||||
Trust 2002-60, Cl. FH, 1.471%, 8/25/321 | 1,075,119 | 1,047,635 | ||||||
Trust 2002-64, Cl. FJ, 1.471%, 4/25/321 | 157,886 | 152,988 | ||||||
Trust 2002-66, Cl. FG, 1.471%, 9/25/321 | 2,107,148 | 2,053,255 | ||||||
Trust 2002-68, Cl. FH, 1.384%, 10/18/321 | 357,276 | 346,602 | ||||||
Trust 2002-71, Cl. UB, 5%, 11/25/15 | 2,028,560 | 2,045,921 | ||||||
Trust 2002-84, Cl. FB, 1.471%, 12/25/321 | 2,107,091 | 1,983,182 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 746,746 | 782,112 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 914,355 | 957,658 | ||||||
Trust 2002-90, Cl. FH, 0.971%, 9/25/321 | 1,178,923 | 1,140,384 | ||||||
Trust 2003-11, Cl. FA, 1.471%, 9/25/321 | 2,107,139 | 2,004,003 | ||||||
Trust 2003-116, Cl. FA, 0.871%, 11/25/331 | 130,250 | 126,657 | ||||||
Trust 2003-130, Cl. CS, 13.158%, 12/25/331 | 2,819,037 | 2,832,597 | ||||||
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 | 1,452,000 | 1,514,020 | ||||||
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 | 2,883,000 | 2,983,746 | ||||||
Trust 2003-73, Cl. HF, 0.921%, 1/25/311 | 7,222,409 | 7,051,647 | ||||||
Trust 2003-81, Cl. PW, 4%, 3/25/25 | 524,999 | 525,151 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,825,000 | 1,850,602 | ||||||
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 | 827,070 | 827,872 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 571,000 | 584,471 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,160,000 | 2,213,721 | ||||||
Trust 2005-25, Cl. PS, 26.087%, 4/25/351 | 742,013 | 876,789 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued | ||||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | $ | 560,000 | $ | 577,243 | ||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 480,000 | 477,512 | ||||||
Trust 2006-29, Cl. PA, 5.50%, 8/25/26 | 4,037,216 | 4,091,608 | ||||||
Trust 2006-46, Cl. SW, 22.471%, 6/25/361 | 1,218,794 | 1,362,048 | ||||||
Trust 2006-50, Cl. KS, 22.472%, 6/25/361 | 523,586 | 588,421 | ||||||
Trust 2007-79, Cl. ME, 5.50%, 8/1/37 | 4,155,000 | 4,205,404 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 41.60%, 11/18/315 | 582,527 | 78,586 | ||||||
Trust 2001-63, Cl. SD, 28.236%, 12/18/315 | 134,828 | 19,106 | ||||||
Trust 2001-68, Cl. SC, 22.655%, 11/25/315 | 93,596 | 12,893 | ||||||
Trust 2001-81, Cl. S, 25.023%, 1/25/325 | 106,304 | 15,002 | ||||||
Trust 2002-28, Cl. SA, 26.929%, 4/25/325 | 63,664 | 8,447 | ||||||
Trust 2002-38, Cl. IO, 39.536%, 4/25/325 | 308,450 | 33,345 | ||||||
Trust 2002-48, Cl. S, 24.46%, 7/25/325 | 101,573 | 14,097 | ||||||
Trust 2002-52, Cl. SL, 25.018%, 9/25/325 | 63,972 | 8,755 | ||||||
Trust 2002-56, Cl. SN, 27.036%, 7/25/325 | 139,574 | 19,266 | ||||||
Trust 2002-77, Cl. IS, 32.064%, 12/18/325 | 525,507 | 72,717 | ||||||
Trust 2002-77, Cl. SH, 29.712%, 12/18/325 | 140,087 | 17,604 | ||||||
Trust 2002-9, Cl. MS, 23.565%, 3/25/325 | 135,265 | 17,030 | ||||||
Trust 2003-117, Cl. KS, 42.312%, 8/25/335 | 10,763,425 | 966,465 | ||||||
Trust 2003-118, Cl. S, 32.829%, 12/25/335 | 1,222,012 | 147,602 | ||||||
Trust 2003-33, Cl. SP, 22.276%, 5/25/335 | 974,184 | 129,398 | ||||||
Trust 2003-38, Cl. SA, 32.155%, 3/25/235 | 1,772,110 | 191,154 | ||||||
Trust 2003-4, Cl. S, 37.988%, 2/25/335 | 294,688 | 37,799 | ||||||
Trust 2005-105, Cl. S, 95.971%, 12/25/355 | 2,843,627 | 242,790 | ||||||
Trust 2005-40, Cl. SA, 55.764%, 5/25/355 | 2,820,267 | 289,503 | ||||||
Trust 2005-40, Cl. SB, 88.518%, 5/25/355 | 4,507,788 | 444,182 | ||||||
Trust 2005-63, Cl. SA, 88.04%, 10/25/315 | 220,428 | 22,604 | ||||||
Trust 2005-71, Cl. SA, 73.09%, 8/25/255 | 731,570 | 54,853 | ||||||
Trust 2005-83, Cl. SL, 91.42%, 10/25/355 | 4,149,656 | 357,360 | ||||||
Trust 2005-85, Cl. SA, 99.999%, 10/25/355 | 11,172,208 | 860,528 | ||||||
Trust 2005-87, Cl. SE, 99.999%, 10/25/355 | 11,012,981 | 781,884 | ||||||
Trust 2005-87, Cl. SG, 98.88%, 10/25/355 | 2,956,356 | 250,580 | ||||||
Trust 2006-119, Cl. MS, 93.23%, 12/25/365 | 2,268,516 | 196,561 | ||||||
Trust 2006-33, Cl. SP, 65.426%, 5/25/365 | 2,728,083 | 284,226 | ||||||
Trust 2006-34, Cl. SK, 64.101%, 5/25/365 | 4,974,373 | 525,733 | ||||||
Trust 2006-42, Cl. CI, 26.305%, 6/25/365 | 7,263,196 | 844,126 | ||||||
Trust 2006-48, Cl. QA, 28.061%, 6/25/365 | 5,434,825 | 626,428 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/365 | 2,723,625 | 311,039 | ||||||
Trust 214, Cl. 2, 17.299%, 3/1/235 | 685,768 | 154,573 | ||||||
Trust 221, Cl. 2, 13.048%, 5/1/235 | 75,389 | 17,110 | ||||||
Trust 240, Cl. 2, 15.05%, 9/1/235 | 145,978 | 22,654 | ||||||
Trust 254, Cl. 2, 7.227%, 1/1/245 | 1,206,632 | 275,472 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/335 | 1,066,707 | 121,362 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/355 | 1,935,685 | 190,509 | ||||||
Trust 301, Cl. 2, (6.448)%, 4/1/295 | 317,378 | 63,814 | ||||||
Trust 302, Cl. 2, (9.691)%, 6/1/295 | 1,200,842 | 169,872 | ||||||
Trust 313, Cl. 2, 19.507%, 6/1/315 | 3,578,530 | 479,166 | ||||||
Trust 319, Cl. 2, (1.244)%, 2/1/325 | 103,187 | 14,546 | ||||||
Trust 321, Cl. 2, (1.40)%, 4/1/325 | 460,403 | 64,028 | ||||||
Trust 324, Cl. 2, (6.999)%, 7/1/325 | 798,261 | 113,018 | ||||||
Trust 328, Cl. 2, (10.302)%, 12/1/325 | 7,458,311 | 1,097,060 | ||||||
Trust 331, Cl. 5, 15.597%, 2/1/335 | 1,774,652 | 244,032 | ||||||
Trust 332, Cl. 2, (8.02)%, 3/1/335 | 5,898,199 | 851,996 | ||||||
Trust 333, Cl. 2, (12.058)%, 4/1/335 | 5,077,803 | 621,018 | ||||||
Trust 334, Cl. 12, 11.559%, 2/1/335 | 1,519,559 | 199,444 | ||||||
Trust 334, Cl. 3, 13.538%, 7/1/335 | 905,613 | 101,609 | ||||||
Trust 334, Cl. 5, 13.586%, 5/1/335 | 1,065,235 | 121,458 | ||||||
Trust 338, Cl. 2, (13.036)%, 7/1/335 | 1,163,300 | 140,405 | ||||||
Trust 339, Cl. 15, 18.711%, 7/1/335 | 3,938,661 | 479,246 | ||||||
Trust 339, Cl. 7, 11.479%, 7/1/335 | 7,345,028 | 813,156 | ||||||
Trust 339, Cl. 8, 12.211%, 8/1/335 | 499,871 | 56,097 | ||||||
Trust 342, Cl. 2, (3.295)%, 9/1/335 | 124,764 | 17,840 | ||||||
Trust 344, Cl. 2, (3.987)%, 12/1/335 | 4,341,032 | 621,658 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 345, Cl. 9, 13.498%, 1/1/345 | $ | 1,901,595 | $ | 207,692 | ||||
Trust 346, Cl. 2, (12.874)%, 12/1/335 | 1,219,327 | 146,474 | ||||||
Trust 351, Cl. 10, 14.256%, 4/1/345 | 835,327 | 90,509 | ||||||
Trust 351, Cl. 11, 12.86%, 11/1/345 | 442,843 | 49,168 | ||||||
Trust 351, Cl. 8, 12.789%, 4/1/345 | 1,335,155 | 144,652 | ||||||
Trust 351, Cl. 9, 11.821%, 10/1/345 | 16,506,254 | 1,812,205 | ||||||
Trust 356, Cl. 10, 13.15%, 6/1/355 | 1,186,202 | 130,243 | ||||||
Trust 356, Cl. 12, 13.355%, 2/1/355 | 614,150 | 66,393 | ||||||
Trust 362, Cl. 12, 12.982%, 8/1/355 | 1,127,114 | 150,168 | ||||||
Trust 362, Cl. 13, 12.967%, 8/1/355 | 671,170 | 89,328 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 322, Cl. 1, 9.641%, 4/1/326 | 5,834,820 | 5,112,614 | ||||||
Trust 324, Cl. 1, 9.911%, 7/1/326 | 199,332 | 178,158 | ||||||
511,595,121 | ||||||||
GNMA/Guaranteed—0.3% | ||||||||
Government National Mortgage Assn.: | ||||||||
5.125%, 12/9/251 | 6,999 | 6,903 | ||||||
7%, 3/29/28-7/29/28 | 369,707 | 391,554 | ||||||
7.50%, 3/1/27 | 22,913 | 24,288 | ||||||
8%, 11/29/25-5/29/26 | 102,404 | 108,997 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 1,427,484 | 1,567,336 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 3,392,499 | 3,728,756 | ||||||
Series 2001-62, Cl. KZ, 6.50%, 12/16/31 | 2,932,808 | 3,072,529 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 33.215%, 7/16/285 | 182,671 | 24,857 | ||||||
Series 1998-6, Cl. SA, 52.99%, 3/16/285 | 114,064 | 17,923 | ||||||
Series 2001-21, Cl. SB, 66.977%, 1/16/275 | 860,271 | 123,346 | ||||||
Series 2006-47, Cl. SA, 69.726%, 8/16/365 | 4,372,439 | 524,199 | ||||||
9,590,688 | ||||||||
Non-Agency—12.4% | ||||||||
Commercial—4.6% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-5, Cl. A2, 5.317%, 10/10/11 | 3,160,000 | 2,682,880 | ||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 3,900,000 | 1,799,958 | ||||||
Series 2008-1, Cl. A4, 6.158%, 12/1/171 | 3,670,000 | 2,843,766 | ||||||
Series 2008-1, Cl. AJ, 6.201%, 1/1/181 | 940,000 | 262,950 | ||||||
Series 2008-1, Cl. AM, 6.201%, 1/1/181 | 2,920,000 | 1,371,131 | ||||||
Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 | 284,215 | 272,117 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PW13, Commercial Mtg. Pass-Through Certificates, Series PW13, Cl. A4, 5.54%, 9/1/41 | 5,760,000 | 4,535,937 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 1.495%, 9/25/361 | 141,158 | 135,246 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 3,740,000 | 2,826,575 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.563%, 12/20/351 | 214,205 | 120,659 | ||||||
Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.724%, 3/1/491 | 2,940,000 | 2,314,640 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 | 29,882 | 29,635 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 9,170,000 | 7,628,443 | ||||||
Series 2007-CD4, Cl. AJ, 5.398%, 12/1/49 | 2,680,000 | 686,722 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 1A13, 0.921%, 10/25/361 | 2,451,010 | 1,001,393 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.723%, 6/1/391 | $ | 1,560,000 | $ | 995,246 | ||||
CWABS, Inc. Asset-Backed Certificates Trust 2006-8, Asset-Backed Certificates, Series 2006-8, Cl. 2A1, 0.501%, 1/25/461 | 180,569 | 178,725 | ||||||
CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 | 4,974,109 | 4,401,491 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB1, Cl. A2A, 5.50%, 2/25/36 | 784,112 | 761,790 | ||||||
Series 2006-AB2, Cl. A1, 5.888%, 6/25/36 | 1,327,246 | 1,069,485 | ||||||
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 | 268,944 | 247,545 | ||||||
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 | 114,365 | 110,222 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 1,777,912 | 1,424,531 | ||||||
Series 2007-RS1, Cl. A2, 0.971%, 1/27/371,2 | 1,661,504 | 492,220 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 1,129,157 | 1,061,539 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.132%, 11/1/371 | 5,673,742 | 3,780,385 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 2,135,000 | 2,101,586 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 6.987%, 5/15/301 | 1,567,000 | 1,562,299 | ||||||
Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 | 1,990,000 | 1,574,147 | ||||||
Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 | 7,325,000 | 5,491,435 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 | 1,960,000 | 1,560,627 | ||||||
GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 | 3,149,724 | 2,596,855 | ||||||
Indymac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2 A2, 5.315%, 1/1/361 | 603,797 | 194,526 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 630,000 | 164,850 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 5,600,000 | 4,058,180 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 6,380,000 | 2,941,707 | ||||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 | 8,390,000 | 5,971,217 | ||||||
Series 2008-C2, Cl. AJ, 6.579%, 2/1/511 | 3,210,000 | 873,400 | ||||||
Series 2008-C2, Cl. AM, 6.579%, 2/1/51 | 4,990,000 | 2,389,482 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDPX, Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 4,410,000 | 3,131,400 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-LD11, Cl. A2, 5.804%, 6/15/491 | 5,390,000 | 4,136,691 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 5,682,000 | 4,447,080 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 2,380,000 | 1,881,445 | ||||||
JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 | 2,080,804 | 2,081,892 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
JPMorgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4, 5.678%, 4/1/361 | $ | 2,853,741 | $ | 959,358 | ||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.793%, 1/1/371 | 1,087,383 | 798,668 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 1,650,000 | 1,440,966 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 | 8,330,000 | 6,664,892 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.15%, 4/11/411 | 2,610,000 | 1,207,298 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 415,749 | 303,965 | ||||||
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 0.921%, 10/25/361 | 6,433,152 | 4,055,539 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A9, Mtg. Asset-Backed Certificates, Series 2005-A9, Cl. 4A1, 5.492%, 12/1/351 | 3,185,002 | 2,083,083 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.657%, 5/1/391 | 1,175,000 | 370,501 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 | 3,420,000 | 2,571,563 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 329,712 | 329,273 | ||||||
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 | 556,000 | 484,416 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 5.376%, 4/25/351 | 164,706 | 41,644 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 | 1,583,844 | 691,645 | ||||||
Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 | 1,025,649 | 501,747 | ||||||
Residential Asset Securitization Trust, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 1,172,311 | 668,095 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.827%, 2/1/371 | 14,105,693 | 8,098,627 | ||||||
STARM Mortgage Loan Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 1A1, 5.66%, 6/1/371,2 | 3,006,838 | 1,503,419 | ||||||
Structured Asset Mortgage Investments, Inc., Mtg. Pass-Through Certificates, Series 2002-AR3, Cl. A2, 1.081%, 9/19/321,2 | 670,350 | 375,396 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 | 2,997,000 | 2,459,679 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.903%, 2/1/511 | 5,790,000 | 4,202,974 | ||||||
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. AJ, 5.952%, 5/1/461 | 2,610,000 | 693,763 | ||||||
Wachovia Mortgage Loan Trust LLC, Mtg. Pass-Through Certificates, Series 2007-A, Cl. 1A1, 5.981%, 3/1/371 | 4,295,579 | 2,317,376 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A7, 5.631%, 11/1/361 | 1,704,637 | 553,593 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 3.096%, 11/1/461,2 | $ | 1,563,095 | $ | 578,345 | ||||
WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.871%, 8/1/461 | 7,588,474 | 4,224,206 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 1A2, 5.706%, 2/25/371,2 | 2,669,186 | 613,913 | ||||||
Series 2007-HY1, Cl. 2A4, 5.863%, 2/1/371 | 665,623 | 286,161 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.668%, 3/1/371 | 3,865,607 | 999,094 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 5A1, 5.548%, 11/1/361 | 734,477 | 482,663 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.647%, 5/1/371 | 772,564 | 494,025 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 4.019%, 4/1/471,2 | 1,080,095 | 356,431 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A2, 4.388%, 12/1/341 | 6,051,866 | 4,575,895 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-U Trust, Mtg. Pass-Through Certificates, Series 2004-U, Cl. A1, 5.245%, 10/1/341 | 1,157,231 | 988,099 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.986%, 10/1/341 | 3,699,864 | 3,396,692 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 4.543%, 11/1/341 | 1,284,021 | 782,787 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 4.542%, 2/1/351 | 6,439,032 | 4,069,086 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 5.205%, 4/25/361 | 3,895,387 | 2,560,537 | ||||||
157,979,464 | ||||||||
Manufactured Housing—0.1% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.099%, 9/25/361 | 6,541,337 | 4,205,075 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.093%, 3/25/361 | 1,891,134 | 1,177,194 | ||||||
5,382,269 | ||||||||
Multifamily—0.6% | ||||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2003-E, Cl. 2A2, 4.71%, 6/25/331 | 2,572,909 | 2,033,592 | ||||||
Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.779%, 10/25/361 | 2,627,276 | 1,270,650 | ||||||
CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through Certificates, Series 2003-46, Cl. 1A2, 5.15%, 1/19/341 | 4,046,645 | 3,413,059 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY1, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A1, 5.68%, 4/25/371 | 6,412,236 | 3,498,748 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 4.487%, 2/1/351 | 1,465,115 | 893,824 |
Principal | ||||||||
Amount | Value | |||||||
Multifamily Continued | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 2A1, 5.628%, 7/25/361 | $ | 1,510,283 | $ | 809,030 | ||||
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A1, 5.545%, 4/1/361 | 10,267,993 | 5,746,905 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/361 | 2,746,287 | 1,972,396 | ||||||
19,638,204 | ||||||||
Other—0.0% | ||||||||
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.719%, 2/25/321 | 1,542,685 | 1,151,707 | ||||||
Residential—7.1% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.812%, 8/1/171 | 6,560,000 | 3,040,754 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 4.404%, 5/1/341,2 | 5,564,397 | 3,755,968 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 5.028%, 11/1/341 | 3,683,947 | 2,845,586 | ||||||
Chase Mortgage Finance Trust 2006-S3, Multiclass Mtg. Pass-Through Certificates, Series 2006-S3, Cl. 1A2, 6%, 11/1/36 | 4,210,000 | 1,971,551 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 4.567%, 2/1/371 | 3,956,944 | 3,221,943 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | 3,698,833 | 3,432,466 | ||||||
CHL Mortgage Pass-Through Trust 2005-27, Mtg. Pass-Through Certificates, Series 2005-27, Cl. 2A1, 5.50%, 12/1/35 | 3,312,369 | 2,078,949 | ||||||
CHL Mortgage Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates, Series 2005-31, Cl. 2A4, 5.471%, 1/1/361,2 | 1,434,223 | 372,898 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 2,110,000 | 1,489,689 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 5.617%, 6/1/471,2 | 3,220,515 | 1,674,668 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY4, Cl. 1A1, 6.086%, 9/1/471 | 18,149,299 | 9,327,059 | ||||||
Series 2007-HY4, Cl. 1A2, 6.086%, 9/1/471,2 | 3,914,900 | 782,980 | ||||||
Series 2007-HY4, Cl. 2A2, 6.232%, 11/1/371,2 | 866,388 | 173,278 | ||||||
Series 2007-HY4, Cl. 3A2, 6.388%, 11/1/371,2 | 917,681 | 183,536 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY5, Cl. 1A2, 5.93%, 9/1/371,2 | 4,311,384 | 1,336,529 | ||||||
Series 2007-HY5, Cl. 2A2, 6.001%, 9/1/371,2 | 1,103,806 | 342,180 | ||||||
Series 2007-HY5, Cl. 3A2, 6.201%, 9/1/371,2 | 2,760,486 | 855,751 | ||||||
Citigroup Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-C6, Cl. A2, 5.70%, 8/1/121 | 1,110,000 | 864,813 | ||||||
Series 2007-C6, Cl. A4, 5.70%, 12/1/491 | 6,170,000 | 4,670,085 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.096%, 12/1/491 | 3,800,000 | 2,946,019 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.951%, 5/1/351,2 | 4,180,613 | 2,704,007 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.199%, 8/1/351 | 8,250,741 | 4,686,525 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Asset-Backed Pass-Through Certificates, Series 2006-AR1, Cl. 3A2, 5.50%, 3/1/361,2 | $ | 4,368,582 | $ | 1,092,146 | ||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Asset-Backed Pass-Through Certificates: | ||||||||
Series 2006-AR2, Cl. 1A2, 5.523%, 3/1/361 | 9,148,567 | 4,937,452 | ||||||
Series 2006-AR2, Cl. 1AB, 5.591%, 3/1/362 | 3,946,659 | 986,665 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 5,680,000 | 2,565,222 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 3,148,890 | 2,304,221 | ||||||
CitiMortgage Alternative Loan Trust 2007-A2, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2007-A2, Cl. 1A5, 6%, 2/25/37 | 5,438,071 | 3,228,340 | ||||||
COMM 2007-C9 Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C9, Cl. A4, 5.816%, 7/1/171 | 5,160,000 | 3,928,849 | ||||||
CWALT Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 | 4,940,616 | 3,164,347 | ||||||
CWALT Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/372 | 15,350,647 | 7,577,080 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 4.506%, 5/1/341 | 3,943,742 | 2,720,198 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates: | ||||||||
Series 2005-AR6, Cl. 1A4, 4.586%, 9/1/351 | 10,350,399 | 7,960,402 | ||||||
Series 2005-AR6, Cl. 3A1, 4.56%, 9/25/351 | 4,877,866 | 3,121,048 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.346%, 11/25/351 | 5,195,288 | 3,224,831 | ||||||
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-AR1, Cl. 2A1, 5.999%, 3/1/371 | 20,242,291 | 10,760,136 | ||||||
Series 2007-AR1, Cl. 4A1, 5.826%, 3/1/371,2 | 3,784,523 | 1,892,261 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 5.298%, 7/1/351,2 | 6,365,009 | 4,264,556 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3, 6.009%, 5/1/371,2 | 1,849,813 | 347,210 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/451 | 10,430,000 | 4,933,973 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 | 261,515 | 241,019 | ||||||
Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 5.036%, 4/1/361 | 3,416,847 | 2,441,709 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.076%, 10/25/361 | 6,258,839 | 4,661,527 | ||||||
Merrill Lynch Mortgage Investors Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 1A1, 5.801%, 9/1/371 | 2,650,364 | 2,257,624 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through | ||||||||
Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 3,585,512 | 2,424,855 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 598,223 | 575,781 | ||||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 242,833 | 237,441 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,492,027 | 702,935 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 3,720,000 | 1,461,315 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | $ | 6,096,850 | $ | 4,153,555 | ||||
Residential Funding Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, 5.764%, 7/1/371,2 | 3,191,978 | 414,319 | ||||||
WaMu Asset-Backed Certificates 2005-AR12 Trust, Mtg. Asset-Backed Certificates, Series 2007-AR12, Cl. 1A8, 4.834%, 10/1/351 | 3,837,785 | 2,808,274 | ||||||
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.491%, 9/25/331 | 1,615,691 | 1,393,290 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A1, 5.048%, 12/1/351 | 4,112,750 | 3,316,314 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.929%, 9/1/361 | 4,631,471 | 3,933,647 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/361 | 4,787,396 | 2,714,085 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 2A4, 5.752%, 11/1/361,2 | 521,923 | 130,481 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 5.449%, 2/1/371 | 19,311,771 | 11,536,240 | ||||||
Series 2007-HY1, Cl. 5A1, 5.762%, 2/1/371 | 11,197,735 | 6,998,897 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY2, Cl. 1A1, 5.606%, 12/1/361 | 12,984,526 | 6,462,853 | ||||||
Series 2007-HY2, Cl. 1A2, 5.606%, 12/1/361,2 | 1,550,884 | 248,141 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 4A1, 5.347%, 3/1/371 | 12,491,694 | 7,161,692 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 4A1, 5.506%, 9/25/361 | 11,231,639 | 7,877,913 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.688%, 6/25/371 | 5,796,955 | 2,847,176 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.859%, 7/1/371 | 3,144,264 | 1,673,951 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 | 4,958,706 | 4,338,196 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-EE Trust, Mtg. Pass-Through Certificates, Series 2004-EE, Cl. 3A1, 4.388%, 12/1/341 | 2,523,704 | 1,967,235 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.368%, 9/1/341 | 402,603 | 288,219 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2005-AR12, Cl. 2A6, 4.359%, 7/1/351 | 2,190,422 | 1,499,291 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.876%, 10/1/351 | 2,483,796 | 1,668,342 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-12 Trust, Mtg. Pass-Through Certificates, Series 2006-12, Cl. A1, 6%, 10/25/36 | 1,753,273 | 1,605,292 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR10, Cl. 2A2, 5.628%, 7/1/361,2 | 2,368,921 | 592,230 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Continued | ||||||||
Series 2006-AR10, Cl. 3A2, 4.818%, 7/1/361,2 | $ | 968,614 | $ | 242,154 | ||||
Series 2006-AR10, Cl. 4A2, 5.557%, 7/1/361,2 | 3,468,106 | 867,026 | ||||||
Series 2006-AR10, Cl. 5A3, 5.594%, 7/1/361 | 1,733,849 | 988,251 | ||||||
Series 2006-AR10, Cl. 5A6, 5.594%, 7/1/361 | 17,318,280 | 9,551,293 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR13, Cl. A2, 5.75%, 9/1/361 | 20,083,874 | 13,537,395 | ||||||
Series 2006-AR13, Cl. A4, 5.75%, 9/1/361 | 11,440,000 | 6,149,967 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 5.24%, 4/1/361 | 2,666,235 | 1,359,871 | ||||||
245,095,967 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,137,444,785) | 950,433,420 | |||||||
U.S. Government Obligations—11.1% | ||||||||
Federal Home Loan Bank Unsec. Bonds, 3.625%, 10/18/138 | 10,695,000 | 11,263,407 | ||||||
Federal Home Loan Mortgage Corp. Unsec. Nts.: | ||||||||
3.75%, 6/28/138 | 4,400,000 | 4,690,418 | ||||||
4.125%, 9/27/138 | 18,280,000 | 19,718,471 | ||||||
5.25%, 5/21/098 | 6,940,000 | 7,068,064 | ||||||
Federal National Mortgage Assn. Sr. Unsec. Nts.: | ||||||||
4.375%, 9/13/108 | 37,160,000 | 39,243,487 | ||||||
4.875%, 5/18/128 | 28,970,000 | 31,572,201 | ||||||
Federal National Mortgage Assn. Unsec. Nts.: | ||||||||
3.25%, 4/9/138 | 19,165,000 | 19,989,842 | ||||||
3.875%, 7/12/138 | 11,457,000 | 12,170,783 | ||||||
4.625%, 10/15/148,9 | 9,070,000 | 10,083,600 | ||||||
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 5.155%, 1/15/2110 | 5,667,000 | 3,572,397 | ||||||
U.S. Treasury Bonds: | ||||||||
STRIPS, 4.201%, 2/15/1110 | 900,000 | 885,758 | ||||||
STRIPS, 4.808%, 2/15/1610 | 4,491,000 | 3,726,313 | ||||||
U.S. Treasury Inflationary Index Nts., 0.64%, 4/15/1311,12 | 222,620,000 | 218,159,431 | ||||||
Total U.S. Government Obligations (Cost $364,603,908) | 382,144,172 | |||||||
Foreign Government Obligations—22.7% | ||||||||
Argentina—0.1% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
3.127%, 8/3/121 | 571,500 | 307,969 | ||||||
Series GDP, 1.626%, 12/15/351 | 8,600,000 | 258,000 | ||||||
Series V, 7%, 3/28/11 | 2,320,000 | 898,968 | ||||||
Series VII, 7%, 9/12/13 | 3,035,000 | 975,499 | ||||||
2,440,436 | ||||||||
Australia—0.1% | ||||||||
New South Wales Treasury Corp. Sr. Bonds, | ||||||||
Series 12RG, 6%, 5/1/12 | 1,115,000 | AUD | 825,707 | |||||
New South Wales Treasury Corp. Sr. Unsec. Bonds, Series 14RG, 5.50%, 8/1/14 | 1,625,000 | AUD | 1,191,305 | |||||
2,017,012 | ||||||||
Belgium—0.1% | ||||||||
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 | 2,235,000 | EUR | 3,549,640 | |||||
Brazil—2.7% | ||||||||
Banco Nacional de Desenvolvimento Economico e Social Nts., 6.369%, 6/16/1813 | 5,340,000 | 5,099,700 | ||||||
Brazil (Federal Republic of) Bonds: | ||||||||
6%, 1/17/17 | 11,870,000 | 12,315,125 | ||||||
8%, 1/15/18 | 11,545,000 | 12,988,125 | ||||||
8.75%, 2/4/25 | 2,950,000 | 3,643,250 | ||||||
8.875%, 10/14/19 | 4,610,000 | 5,647,250 | ||||||
10.50%, 7/14/14 | 6,288,000 | 7,922,880 | ||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
10%, 1/10/10 | 18,216,000 | BRR | 7,978,599 | |||||
10%, 1/1/12 | 36,251,000 | BRR | 15,405,096 | |||||
10%, 1/1/17 | 54,018,000 | BRR | 20,703,486 | |||||
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 | 130,000 | 148,200 | ||||||
91,851,711 | ||||||||
Bulgaria—0.0% | ||||||||
Bulgaria (Republic of) Bonds: | ||||||||
8.25%, 1/15/15 | 740,000 | 725,200 | ||||||
8.25%, 1/15/1513 | 710,000 | 695,800 | ||||||
1,421,000 | ||||||||
Canada—0.2% | ||||||||
Canada (Government of) Bonds: | ||||||||
3.50%, 6/1/13 | 2,380,000 | CAD | 2,105,264 | |||||
5%, 6/1/37 | 2,500,000 | CAD | 2,627,599 | |||||
Canada (Government of) Nts.: | ||||||||
3.75%, 6/1/10 | 1,785,000 | CAD | 1,524,094 | |||||
4.25%, 6/1/18 | 1,090,000 | CAD | 1,011,209 | |||||
7,268,166 |
Principal | ||||||||
Amount | Value | |||||||
Colombia—0.6% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/2813 | 3,058,000,000 | COP | $ | 1,126,925 | ||||
Colombia (Republic of) Bonds: | ||||||||
7.375%, 9/18/37 | 3,805,000 | 3,747,925 | ||||||
10.75%, 1/15/13 | 750,000 | 877,500 | ||||||
12%, 10/22/15 | 17,234,000,000 | COP | 8,437,500 | |||||
Colombia (Republic of) Nts., 8.25%, 12/22/14 | 2,394,000 | 2,591,505 | ||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 960,000 | 1,003,200 | ||||||
EEB International Ltd. Sr. Unsec. Bonds, 8.75%, 10/31/1413 | 3,330,000 | 3,105,225 | ||||||
20,889,780 | ||||||||
Denmark—0.1% | ||||||||
Denmark (Kingdom of) Bonds, 5%, 11/15/13 | 15,195,000 | DKK | 3,109,446 | |||||
Egypt—0.2% | ||||||||
Egypt (The Arab Republic of) Treasury Bills: | ||||||||
Series 182, 11.021%, 1/6/0910 | 11,600,000 | EGP | 2,106,464 | |||||
Series 364, 8.371%, 1/6/0910 | 9,800,000 | EGP | 1,778,173 | |||||
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/1213 | 22,870,000 | EGP | 3,441,083 | |||||
7,325,720 | ||||||||
France—1.2% | ||||||||
France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 10/25/38 | 13,150,000 | EUR | 19,215,877 | |||||
France (Government of) Treasury Nts.: | ||||||||
3.75%, 1/12/13 | 11,770,000 | EUR | 17,116,288 | |||||
4.50%, 7/12/12 | 4,660,000 | EUR | 6,934,123 | |||||
43,266,288 | ||||||||
Germany—2.3% | ||||||||
Germany (Federal Republic of) Bonds: | ||||||||
5.50%, 1/4/31 | 7,260,000 | EUR | 12,631,450 | |||||
Series 03, 3.75%, 7/4/13 | 26,250,000 | EUR | 38,843,012 | |||||
Series 05, 4%, 1/4/37 | 18,125,000 | EUR | 27,190,410 | |||||
78,664,872 | ||||||||
Greece—0.2% | ||||||||
Greece (Republic of) Bonds, 4.60%, 5/20/13 | 5,200,000 | EUR | 7,197,365 | |||||
Hungary—0.3% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 12/C, 6%, 10/24/12 | 1,609,000,000 | HUF | 7,650,463 | |||||
Series 14/C, 5.50%, 2/12/14 | 503,700,000 | HUF | 2,288,413 | |||||
9,938,876 | ||||||||
Indonesia—0.6% | ||||||||
Indonesia (Republic of) Nts.: | ||||||||
6.75%, 3/10/1413 | 7,620,000 | 6,819,900 | ||||||
6.875%, 1/17/1813 | 4,490,000 | 3,872,670 | ||||||
7.25%, 4/20/1513 | 4,870,000 | 4,358,650 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/3813 | 605,000 | 505,175 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/3513 | 6,700,000 | 5,728,500 | ||||||
21,284,895 | ||||||||
Israel—0.4% | ||||||||
Israel (State of) Bonds: | ||||||||
5.50%, 2/28/17 | 24,370,000 | ILS | 7,072,458 | |||||
Series 2682, 7.50%, 3/31/14 | 25,080,000 | ILS | 7,780,692 | |||||
14,853,150 | ||||||||
Italy—0.3% | ||||||||
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4.70%, 7/1/091 | 6,945,000 | EUR | 9,702,991 | |||||
Japan—4.6% | ||||||||
Japan (Government of) Bonds: | ||||||||
2 yr., Series 269, 0.90%, 6/15/10 | 4,006,000,000 | JPY | 44,507,027 | |||||
5 yr., Series 72, 1.50%, 6/20/13 | 4,596,000,000 | JPY | 52,556,111 | |||||
10 yr., Series 279, 2%, 3/20/16 | 748,000,000 | JPY | 8,970,091 | |||||
10 yr., Series 282, 1.70%, 9/20/16 | 2,095,000,000 | JPY | 24,431,814 | |||||
20 yr., Series 61, 1%, 3/20/23 | 1,245,000,000 | JPY | 12,771,039 | |||||
20 yr., Series 73, 2%, 12/20/24 | 933,000,000 | JPY | 10,827,750 | |||||
20 yr., Series 75, 2.10%, 3/20/25 | 520,000,000 | JPY | 6,112,312 | |||||
160,176,144 | ||||||||
Malaysia—0.1% | ||||||||
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/122 | 7,980,000 | MYR | 2,350,787 | |||||
Mexico—1.6% | ||||||||
United Mexican States Bonds: | ||||||||
8.375%, 1/14/11 | 11,650,000 | 12,640,250 | ||||||
Series A, 6.375%, 1/16/13 | 3,800,000 | 4,009,000 | ||||||
Series MI10, 8%, 12/19/13 | 126,490,000 | MXN | 9,307,110 | |||||
Series M20, 10%, 12/5/241 | 125,300,000 | MXN | 10,540,263 | |||||
United Mexican States Treasury Bills, Series BI, 8.15%, 4/2/0910 | 255,600,000 | MXN | 18,264,107 | |||||
54,760,730 | ||||||||
Nigeria—0.6% | ||||||||
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 | 61,631 | 57,601 | ||||||
Nigeria (Federal Republic of) Treasury Bills: | ||||||||
Series 364, 9.186%, 1/8/0910 | 773,700,000 | NGN | 5,538,296 |
Principal | ||||||||
Amount | Value | |||||||
Nigeria Continued | ||||||||
Nigeria (Federal Republic of) Treasury Bills: Continued | ||||||||
Series 364, 9.17%, 2/5/0910 | $605,400,000 | NGN | $ | 4,331,405 | ||||
Series 364, 9.30%, 4/9/0910 | 175,100,000 | NGN | 1,240,866 | |||||
Nigeria (Federal Republic of) Treasury Bonds: | ||||||||
Series 3 yr., 9.23%, 5/25/12 | 278,300,000 | NGN | 1,885,547 | |||||
Series 3Y2S, 12.50%, 2/24/09 | 60,500,000 | NGN | 437,402 | |||||
Series 3Y1S, 15%, 1/27/09 | 116,700,000 | NGN | 839,538 | |||||
Series 5 yr., 9.50%, 2/23/12 | 278,300,000 | NGN | 1,892,520 | |||||
Series 10 yr., 9.35%, 8/31/17 | 600,000,000 | NGN | 3,697,924 | |||||
19,921,099 | ||||||||
Norway—0.0% | ||||||||
Norway (Kingdom of) Bonds, 6.50%, 5/15/13 | 8,165,000 | NOK | 1,331,058 | |||||
Panama—0.5% | ||||||||
Panama (Republic of) Bonds: | ||||||||
6.70%, 1/26/36 | 7,190,000 | 6,506,950 | ||||||
7.25%, 3/15/15 | 6,230,000 | 6,385,750 | ||||||
8.875%, 9/30/27 | 1,375,000 | 1,409,375 | ||||||
9.375%, 4/1/29 | 655,000 | 723,775 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 2,760,000 | 2,615,100 | ||||||
17,640,950 | ||||||||
Peru—1.5% | ||||||||
Peru (Republic of) Bonds: | ||||||||
7.84%, 8/12/20 | 28,080,000 | PEN | 9,108,598 | |||||
9.91%, 5/5/15 | 10,351,000 | PEN | 3,711,566 | |||||
Series 7, 8.60%, 8/12/17 | 27,250,000 | PEN | 9,280,214 | |||||
Series 8-1, 12.25%, 8/10/11 | 52,015,000 | PEN | 18,627,991 | |||||
Peru (Republic of) Certificates of Deposit: | ||||||||
4.066%, 4/13/0910 | 604,000 | PEN | 188,061 | |||||
5.713%, 1/5/0910 | 28,800,000 | PEN | 9,174,562 | |||||
Peru (Republic of) Sr. Nts., 4.533%, 2/28/1610 | 363,871 | 245,358 | ||||||
50,336,350 | ||||||||
Philippines—0.2% | ||||||||
Philippines (Republic of the) Unsec. Bonds: | ||||||||
7.75%, 1/14/31 | 510,000 | 517,650 | ||||||
9%, 2/15/13 | 7,625,000 | 8,120,625 | ||||||
8,638,275 | ||||||||
Poland—0.1% | ||||||||
Poland (Republic of) Bonds: | ||||||||
Series WS0922, 5.75%, 9/23/22 | 1,000,000 | PLZ | 346,169 | |||||
Series 0413, 5.25%, 4/25/13 | 11,430,000 | PLZ | 3,847,593 | |||||
4,193,762 | ||||||||
Sweden—0.1% | ||||||||
Sweden (Kingdom of) Bonds, | ||||||||
Series 1049, 4.50%, 8/12/15 | 24,395,000 | SEK | 3,554,911 | |||||
Turkey—2.8% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.75%, 4/3/18 | 10,035,000 | 9,583,425 | ||||||
7%, 9/26/16 | 6,560,000 | 6,428,800 | ||||||
7%, 3/11/19 | 1,285,000 | 1,249,444 | ||||||
14%, 1/19/111 | 15,250,000 | TRY | 9,406,889 | |||||
15.861%, 10/7/0910 | 18,240,000 | TRY | 10,518,459 | |||||
15.935%, 6/23/1010 | 6,200,000 | TRY | 3,206,251 | |||||
16%, 3/7/121 | 50,110,000 | TRY | 31,959,153 | |||||
18.141%, 1/13/1010 | 28,520,000 | TRY | 15,797,692 | |||||
Series CPI, 10%, 2/15/121 | 6,810,000 | TRY | 4,830,691 | |||||
Series CPI, 12%, 8/14/131 | 1,455,000 | TRY | 872,165 | |||||
Turkey (Republic of) Nts., 7.25%, 3/15/15 | 4,115,000 | 4,115,000 | ||||||
97,967,969 | ||||||||
United Kingdom—0.6% | ||||||||
United Kingdom Gilt Bonds: | ||||||||
4.75%, 6/7/10 | 2,675,000 | GBP | 4,106,745 | |||||
5%, 3/7/12 | 2,440,000 | GBP | 3,859,454 | |||||
United Kingdom Treasury Bonds: | ||||||||
4.75%, 12/7/38 | 5,215,000 | GBP | 9,046,592 | |||||
5%, 3/7/18 | 2,605,000 | GBP | 4,399,393 | |||||
21,412,184 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds: | ||||||||
4.25%, 4/5/27 | 48,300,000 | UYU | 1,118,340 | |||||
7.625%, 3/21/36 | 3,525,000 | 2,978,625 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds: | ||||||||
5%, 9/14/18 | 54,110,000 | UYU | 1,771,167 | |||||
8%, 11/18/22 | 7,030,000 | 6,537,900 | ||||||
12,406,032 | ||||||||
Venezuela—0.2% | ||||||||
Venezuela (Republic of) Bonds, 9%, 5/7/23 | 3,495,000 | 1,502,850 | ||||||
Venezuela (Republic of) Nts., 10.75%, 9/19/13 | 2,385,000 | 1,574,100 | ||||||
Venezuela (Republic of) Unsec. Bonds, 7.65%, 4/21/25 | 7,445,000 | 3,043,144 | ||||||
6,120,094 | ||||||||
Total Foreign Government Obligations (Cost $815,484,092) | 785,591,693 | |||||||
Loan Participations—1.3% | ||||||||
Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine, 8.625% Nts., 7/15/1113 | 8,210,000 | 3,284,000 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations Continued | ||||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 8.40% Sec. Nts., 2/9/162 | $ | 4,340,000 | $ | 781,200 | ||||
Dali Capital plc/Bank of Moscow, 7.25% Sec. Nts., Series 28, Tranche 1, 11/25/09 | 37,000,000 | RUR | 817,819 | |||||
Dali Capital SA (ROSBANK), 8% Sec. Nts., Series 23, Tranche 1, 9/30/09 | 36,400,000 | RUR | 866,446 | |||||
Gaz Capital SA: | ||||||||
7.288% Sr. Sec. Nts., 8/16/3713 | 13,510,000 | 7,970,900 | ||||||
7.51% Sr. Sec. Nts., 7/31/1313 | 5,970,000 | 4,537,200 | ||||||
8.625% Sr. Sec. Nts., 4/28/3413 | 3,590,000 | 2,692,500 | ||||||
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/1813 | 2,010,000 | 1,306,500 | ||||||
Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/1313 | 5,310,000 | 2,840,850 | ||||||
TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67% Sec. Bonds, 3/5/142,7 | 1,070,000 | 693,681 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/1813 | 6,680,000 | 3,640,600 | ||||||
VTB Capital SA: | ||||||||
6.315% Sub. Unsec. Nts., 2/4/15 | 16,280,000 | 10,300,421 | ||||||
6.875% Sr. Sec. Nts., 5/29/1813 | 6,940,000 | 4,580,400 | ||||||
Total Loan Participations (Cost $75,307,101) | 44,312,517 | |||||||
Corporate Bonds and Notes—15.0% | ||||||||
AAC Group Holding Corp., 0%/10.25% Sr. Unsec. Nts., 10/1/1214 | 100,000 | 66,500 | ||||||
AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/1513 | 1,245,000 | 491,775 | ||||||
AES Panama SA, 6.35% Sr. Nts., 12/21/1613 | 615,000 | 493,936 | ||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | 4,210,000 | 2,547,050 | ||||||
Alcoa, Inc., 6.75% Sr. Unsec. Unsub. Nts., 7/15/18 | 2,060,000 | 1,688,131 | ||||||
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 | 890,000 | 441,663 | ||||||
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 | 3,070,000 | 2,904,251 | ||||||
Allstate Life Global Funding Trust, 5.375% Nts., 4/30/13 | 206,000 | 202,979 | ||||||
Alrosa Finance SA, 8.875% Nts., 11/17/1413 | 13,025,000 | 7,880,125 | ||||||
AmBev International Finance Co. Ltd., 9.50% Bonds, 7/24/1713 | 4,470,000 | BRR | 1,390,538 | |||||
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 | 895,000 | 554,900 | ||||||
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 52,700,000 | MXN | 2,891,301 | |||||
American Express Credit Corp., 5.875% Sr. Unsec. Nts., 5/2/13 | 661,000 | 635,136 | ||||||
American International Group, Inc., 8.25% Sr. Nts., 8/15/1813 | 500,000 | 366,500 | ||||||
American Media Operations, Inc.: | ||||||||
8.875% Sr. Unsec. Sub. Nts., 1/15/112 | 5,454 | 1,309 | ||||||
8.875% Sr. Unsec. Sub. Nts., 1/15/11 | 145,000 | 29,906 | ||||||
American Tower Corp., 7.50% Sr. Nts., 5/1/12 | 1,715,000 | 1,697,850 | ||||||
Anheuser-Busch Cos., Inc., 5.50% Nts., 1/15/18 | 1,321,000 | 1,202,802 | ||||||
AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 | 1,747,000 | 1,874,791 | ||||||
Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/1813 | 3,870,000 | 2,380,050 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 2,530,000 | 1,720,400 | ||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/2613 | 4,551,750 | 1,957,253 | ||||||
Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 7,055,000 | 2,081,225 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 2,520,000 | EUR | 3,345,512 | |||||
Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 | 1,895,000 | EUR | 2,663,964 | |||||
Banco BMG SA, 9.15% Nts., 1/15/1613 | 3,520,000 | 2,129,600 | ||||||
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/211,13 | 1,345,000 | 1,143,250 | ||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/1613 | 1,585,000 | 499,275 | ||||||
Banco Invex SA, 26.951% Mtg.-Backed Certificates, Series 062U, 3/13/341,12 | 4,830,734 | MXN | 1,281,755 | |||||
Bank of America Corp.: | ||||||||
4.90% Sr. Unsec. Nts., 5/1/13 | 2,750,000 | 2,726,504 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes Continued | ||||||||
8% Unsec. Perpetual Bonds, Series K15 | $ | 3,875,000 | $ | 2,791,240 | ||||
8.125% Perpetual Bonds, Series M15 | 2,470,000 | 1,850,648 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 8,545,000 | EUR | 11,250,937 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 4,784,000 | EUR | 5,975,545 | |||||
Barclays Bank plc, 6.278% Perpetual Bonds15 | 12,320,000 | 7,131,678 | ||||||
Bausch & Lomb, Inc., 9.875% Sr. Unsec. Nts., 11/1/1513 | 1,095,000 | 823,988 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 950,000 | 857,375 | ||||||
BellSouth Corp., 5.20% Sr. Unsec. Nts., 12/15/16 | 1,488,000 | 1,429,480 | ||||||
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 | 905,000 | 493,225 | ||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 4,905,000 | 2,158,200 | ||||||
Biomet, Inc., 10% Sr. Unsec. Bonds, 10/15/17 | 895,000 | 863,675 | ||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/1813 | 5,350,000 | 3,825,250 | ||||||
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs.13,15 | 3,070,000 | 1,463,414 | ||||||
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 | 5,910,000 | 4,225,650 | ||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1516 | 4,045,000 | 1,557,325 | ||||||
Caterpillar Financial Services Corp., 5.45% Sr. Unsec. Nts., 4/15/18 | 2,750,000 | 2,579,363 | ||||||
CBS Corp., 5.625% Sr. Unsec. Nts., 8/15/12 | 1,486,000 | 1,223,942 | ||||||
CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/15 | 3,955,000 | 711,900 | ||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/1313 | 1,335,000 | 694,200 | ||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 | 2,410,000 | 2,301,550 | ||||||
Cinemark, Inc., 0%/9.75% Sr. Unsec. Nts., 3/15/1414 | 2,110,000 | 1,717,013 | ||||||
CIT Group, Inc., 7.625% Sr. Unsec. Nts., Series A, 11/30/12 | 967,000 | 816,964 | ||||||
Citigroup, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 4/11/13 | 6,884,000 | 6,709,105 | ||||||
6.50% Sr. Nts., 8/19/13 | 2,753,000 | 2,780,756 | ||||||
8.40% Perpetual Bonds, Series E15 | 6,895,000 | 4,561,318 | ||||||
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 | 5,040,000 | 4,309,200 | ||||||
Claire’s Stores, Inc., 10.50% Sr. Unsec. Sub. Nts., 6/1/17 | 10,715,000 | 1,875,125 | ||||||
Cloverie plc, 5.775% Sec. Nts., Series 2005-93, 12/20/101,2 | 1,100,000 | 703,230 | ||||||
Comcast Corp., 5.70% Unsec. Unsub. Nts., 5/15/18 | 3,302,000 | 3,102,123 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 2,025,000 | 1,873,125 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.75% Sr. Nts., 6/1/1813 | 2,705,000 | 1,839,400 | ||||||
Coriolanus Ltd.: | ||||||||
3.359% Pass-Through Sec. Nts., 12/31/172,10 | 23,130,000 | BRR | 6,865,548 | |||||
10.62% Sec. Nts., 8/10/102 | 3,300,000 | 216,150 | ||||||
Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 | 593,000 | 573,936 | ||||||
Credit Suisse New York, 5% Sr. Unsec. Nts., 5/15/13 | 2,754,000 | 2,653,085 | ||||||
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 | 2,740,000 | 2,740,000 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 | 1,265,000 | 1,198,588 | ||||||
CSX Corp., 6.25% Sr. Unsec. Unsub. Nts., 4/1/15 | 1,376,000 | 1,352,414 | ||||||
DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 | 2,160,000 | 2,062,800 | ||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 3,395,000 | 3,441,705 | ||||||
Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 | 3,560,000 | 2,545,400 | ||||||
Depfa ACS Bank, 3.875% Sec. Nts., 11/14/16 | 485,000 | EUR | 583,078 | |||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 2,415,000 | 1,750,875 | ||||||
Dole Food Co., Inc.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/10 | 100,000 | 70,250 | ||||||
8.625% Sr. Nts., 5/1/09 | 306,000 | 278,460 | ||||||
8.875% Sr. Unsec. Nts., 3/15/11 | 71,000 | 44,730 | ||||||
E.I. du Pont de Nemours & Co., 6% Sr. Unsec. Unsub. Nts., 7/15/18 | 897,000 | 943,818 | ||||||
EchoStar DBS Corp., 6.375% Sr. Unsec. Nts., 10/1/11 | 2,795,000 | 2,606,338 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes Continued | ||||||||
Eirles Two Ltd.: | ||||||||
5.13% Sec. Nts., Series 335, 4/30/121,2 | $ | 6,300,000 | $ | 2,197,440 | ||||
7.379% Sec. Nts., Series 324, 4/30/121,2 | 4,100,000 | 1,593,260 | ||||||
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/1013 | 1,115,000 | BRR | 487,767 | |||||
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 | 2,370,000 | 1,552,350 | ||||||
Enterprise Products Operating LP, 8.375% Jr. Sub. Nts., 8/1/661 | 7,465,000 | 4,110,438 | ||||||
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/092,3,4 | 337,947 | EUR | — | |||||
FairPoint Communications, Inc., 13.125% Sr. Nts., 4/1/18 | 5,015,000 | 2,432,275 | ||||||
Ferrellgas Partners LP, 6.75% Sr. Nts., 5/1/1413 | 600,000 | 417,000 | ||||||
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 | 605,000 | 511,225 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 6,274,000 | 5,151,807 | ||||||
Fresenius Medical Care Capital Trust IV, 7.875% Sr. Sub. Nts., 6/15/11 | 885,000 | 845,175 | ||||||
GameStop Corp., 8% Sr. Unsec. Nts., 10/1/12 | 1,870,000 | 1,748,450 | ||||||
Gaz Capital SA, 8.146% Sr. Sec. Nts., 4/11/1813 | 3,220,000 | 2,125,200 | ||||||
Gazprom International SA, 7.201% Unsec. Unsub. Bonds, 2/1/2013 | 1,851,520 | 1,360,867 | ||||||
General Electric Capital Corp., 5.40% Sr. Unsec. Nts., Series A, 9/20/13 | 2,755,000 | 2,761,810 | ||||||
General Mills, Inc., 5.25% Sr. Unsec. Nts., 8/15/13 | 550,000 | 553,876 | ||||||
General Motors Acceptance Corp., 8% Bonds, 11/1/31 | 8,220,000 | 4,818,243 | ||||||
GlaxosmithKline Capital, Inc., 6.375% Sr. Unsec. Nts., 5/15/38 | 413,000 | 468,271 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 5,345,000 | 3,888,739 | ||||||
Goldman Sachs Group, Inc. (The), 6.15% Sr. Unsec. Nts., 4/1/18 | 5,492,000 | 5,286,720 | ||||||
Goodyear Tire & Rubber Co. (The): | ||||||||
7.857% Nts., 8/15/11 | 1,290,000 | 1,077,150 | ||||||
9% Sr. Unsec. Nts., 7/1/15 | 845,000 | 684,450 | ||||||
Graham Packaging Co., Inc., 9.875% Sr. Unsec. Sub. Nts., 10/15/14 | 3,045,000 | 1,887,900 | ||||||
Graphic Packaging International Corp., 8.50% Sr. Nts., 8/15/11 | 3,045,000 | 2,557,800 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/133,4,13 | 2,510,000 | 602,400 | ||||||
GTL Trade Finance, Inc., 7.25% Sr. Unsec. Nts., 10/20/1713 | 5,620,000 | 4,721,609 | ||||||
Harrah’s Operating Co., Inc., 10.75% Sr. Unsec. Nts., 2/1/1613 | 5,845,000 | 1,695,050 | ||||||
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A13,15 | 14,615,000 | 5,677,431 | ||||||
HCA, Inc.: | ||||||||
6.375% Nts., 1/15/15 | 4,670,000 | 2,872,050 | ||||||
9.25% Sr. Sec. Nts., 11/15/16 | 1,230,000 | 1,131,600 | ||||||
HealthSouth Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 1,785,000 | 1,646,663 | ||||||
Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/1613 | 3,380,000 | 1,808,300 | ||||||
Hertz Corp.: | ||||||||
8.875% Sr. Unsec. Nts., 1/1/14 | 610,000 | 378,200 | ||||||
10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 1,135,000 | 523,519 | ||||||
Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 | 2,203,000 | 1,732,532 | ||||||
HSBC Bank plc: | ||||||||
11.601% Sr. Unsec. Nts., 1/12/1010 | 2,510,000 | 1,959,306 | ||||||
12.278% Sr. Unsec. Nts., 3/9/0910 | 1,960,000 | 1,786,736 | ||||||
9.751% Sr. Unsec. Nts., 7/8/0910 | 1,960,000 | 1,777,720 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/351 | 12,600,000 | 5,277,787 | ||||||
HSBK Europe BV: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/1713 | 1,360,000 | 741,200 | ||||||
9.25% Sr. Nts., 10/16/1313 | 15,930,000 | 11,708,550 | ||||||
ICICI Bank Ltd., 6.375% Bonds, 4/30/221,13 | 6,960,000 | 3,664,530 | ||||||
Idearc, Inc., 8% Sr. Unsec. Nts., 11/15/16 | 2,770,000 | 221,600 | ||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/2413 | 8,340,652 | 6,046,973 | ||||||
Inter-American Development Bank: | ||||||||
6.26% Nts., 12/8/091 | 920,000 | BRR | 371,657 | |||||
11.108% Nts., 1/25/121 | 618,500,012 | COP | 268,140 | |||||
International Business Machines Corp. (IBM), 8% Sr. Unsec. Unsub. Nts., 10/15/38 | 4,136,000 | 5,524,559 | ||||||
International Paper Co., 7.40% Sr. Unsec. Nts., 6/15/14 | 1,485,000 | 1,218,552 | ||||||
Iron Mountain, Inc., 8.625% Sr. Unsec. Sub. Nts., 4/1/13 | 1,765,000 | 1,667,925 | ||||||
ISA Capital do Brasil SA: | ||||||||
7.875% Sr. Nts., 1/30/1213 | 510,000 | 484,500 | ||||||
8.80% Sr. Nts., 1/30/1713 | 1,410,000 | 1,247,850 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes Continued | ||||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | $ | 7,270,000 | $ | 3,126,100 | ||||
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 | 2,570,000 | 2,199,827 | ||||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/1913 | 8,015,000 | 7,488,102 | ||||||
iStar Financial, Inc., 2.471% Sr. Unsec. Nts., 3/16/091 | 1,595,000 | 1,150,394 | ||||||
Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 | 2,300,000 | 1,581,250 | ||||||
Johnson & Johnson, 5.85% Sr. Unsec. Nts., 7/15/38 | 1,495,000 | 1,813,130 | ||||||
JPMorgan Chase & Co.: | ||||||||
6.40% Sr. Unsec. Nts., 5/15/38 | 5,500,000 | 6,529,771 | ||||||
7.90% Perpetual Bonds, Series 115 | 6,780,000 | 5,654,696 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
6.47% Sec. Nts., 8/26/352 | 5,923,219 | MXN | 362,431 | |||||
24.791% Mtg.-Backed Certificates, Series 06U, 9/25/351 | 2,661,229 | MXN | 557,259 | |||||
JSC Astana Finance, 9.16% Nts., 3/14/122 | 7,200,000 | 3,333,547 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 410,000 | 92,250 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 975,000 | 287,625 | ||||||
Kazmunaigaz Finance Sub BV, 9.125% Nts., 7/2/1813 | 14,880,000 | 9,746,400 | ||||||
Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 | 2,060,000 | 1,369,900 | ||||||
Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 | 1,166,000 | 970,338 | ||||||
Kraft Foods, Inc., 6.125% Sr. Unsec. Nts., 8/23/18 | 256,000 | 252,837 | ||||||
L-3 Communications Corp.: | ||||||||
5.875% Sr. Sub. Nts., 1/15/15 | 2,905,000 | 2,629,025 | ||||||
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 | 1,185,000 | 1,113,900 | ||||||
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 | 3,030,000 | 2,431,575 | ||||||
Lear Corp., 8.75% Sr. Unsec. Nts., Series B, 12/1/16 | 10,135,000 | 2,989,825 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/384 | 4,656,000 | 466 | ||||||
Leslie’s Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 | 1,430,000 | 1,151,150 | ||||||
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 | 3,655,000 | 2,722,975 | ||||||
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 | 3,885,000 | 1,874,513 | ||||||
Majapahit Holding BV: | ||||||||
7.25% Nts., 10/17/1113 | 1,990,000 | 1,522,350 | ||||||
7.75% Nts., 10/17/1613 | 4,230,000 | 2,432,250 | ||||||
Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/141 | 2,010,000 | 1,035,150 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/1513 | 6,615,000 | 2,629,463 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/14 | 1,330,000 | 91,438 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/13 | 2,870,000 | 197,313 | ||||||
MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 | 2,965,000 | 1,779,000 | ||||||
MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/1113 | 1,360,000 | 605,200 | ||||||
Mohegan Tribal Gaming Authority: | ||||||||
6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 1,770,000 | 1,123,950 | ||||||
8% Sr. Sub. Nts., 4/1/12 | 3,770,000 | 2,318,550 | ||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 4,245,000 | 1,273,500 | ||||||
Morgan Stanley, 6% Sr. Unsec. Unsub. Nts., Series F, 4/28/15 | 8,262,000 | 7,136,856 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 109,600,000 | PHP | 1,961,263 | |||||
NewPage Corp., 10% Sr. Sec. Nts., 5/1/12 | 3,730,000 | 1,659,850 | ||||||
News America, Inc., 6.15% Sr. Unsec. Unsub. Nts., 3/1/37 | 1,749,000 | 1,637,108 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 4,590,000 | 1,928,677 | ||||||
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 | 2,620,000 | 615,700 | ||||||
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/102,3,4 | 200,173 | — | ||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/151 | 2,780,000 | 1,626,300 | ||||||
NTK Holdings, Inc., 0%/10.75% Sr. Unsec. Nts., 3/1/1414 | 6,170,000 | 1,357,400 | ||||||
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 | 2,735,000 | 2,037,575 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/102,3,4 | 90,000 | — | ||||||
Oracle Corp., 5.75% Sr. Unsec. Unsub. Nts., 4/15/18 | 2,001,000 | 2,096,746 | ||||||
Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/072,3,4 | 675,000 | 7 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/2613 | 3,665,000 | 2,034,075 | ||||||
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 | 5,275,000 | 3,507,875 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes Continued | ||||||||
PECO Energy Co., 5.35% Sec. Nts., 3/1/18 | $ | 892,000 | $ | 853,055 | ||||
Pemex Project Funding Master Trust, 6.625% Nts., 6/15/3813 | 6,680,000 | 5,594,500 | ||||||
Petrobras International Finance Co., 5.785% Sr. Unsec. Nts., 3/1/18 | 10,040,000 | 9,076,160 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/1113 | 2,394,239 | 2,223,649 | ||||||
Philip Morris International, Inc., 5.65% Sr. Unsec. Unsub. Nts., 5/16/18 | 917,000 | 910,686 | ||||||
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 | 3,230,000 | 2,470,950 | ||||||
Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 2,985,000 | 1,626,825 | ||||||
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/1413 | 1,345,000 | 1,163,425 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/082,3,4 | 250,000 | — | ||||||
Quicksilver Resources, Inc.: | ||||||||
7.125% Sr. Sub. Nts., 4/1/16 | 2,740,000 | 1,479,600 | ||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 1,330,000 | 851,200 | ||||||
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 | 4,925,000 | 4,580,250 | ||||||
R.H. Donnelley Corp.: | ||||||||
6.875% Sr. Nts., 1/15/13 | 860,000 | 120,400 | ||||||
6.875% Sr. Nts., Series A-2, 1/15/13 | 1,865,000 | 261,100 | ||||||
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 | 1,630,000 | 810,925 | ||||||
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/1213 | 2,020,000 | 1,828,100 | ||||||
Real Time Data Co., 11% Nts., 5/31/092,3,4,16 | 142,981 | — | ||||||
Sabine Pass LNG LP: | ||||||||
7.25% Sr. Sec. Nts., 11/30/13 | 710,000 | 521,850 | ||||||
7.50% Sr. Sec. Nts., 11/30/16 | 1,470,000 | 1,065,750 | ||||||
Salisbury International Investments Ltd., 8.653% Sec. Nts., Series 2006-003, Tranche E, 7/20/111,2 | 1,100,000 | 468,490 | ||||||
Sally Holdings LLC: | ||||||||
9.25% Sr. Unsec. Nts., 11/15/14 | 1,725,000 | 1,492,125 | ||||||
10.50% Sr. Unsec. Sub. Nts., 11/15/16 | 1,315,000 | 900,775 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 2,265,000 | 1,211,775 | ||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 1,080,000 | 858,600 | ||||||
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 | 3,095,000 | 2,336,725 | ||||||
SLM Corp., 4.50% Nts., Series A, 7/26/10 | 4,245,000 | 3,685,381 | ||||||
Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 | 1,350,000 | 965,250 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 9,555,000 | 6,461,769 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/14 | 7,485,000 | 467,813 | ||||||
Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 | 2,295,000 | 1,686,825 | ||||||
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/1613 | 3,290,100 | PEN | 956,223 | |||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/082,3,4 | 500,000 | — | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/1413 | 1,819,990 | 1,392,292 | ||||||
Tesoro Corp., 6.625% Sr. Unsec. Nts., 11/1/15 | 2,375,000 | 1,389,375 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/1713 | 6,100,000 | 5,581,500 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/9714 | 2,695,000 | 889,350 | ||||||
Time Warner Cable, Inc., 6.20% Sr. Unsec. Nts., 7/1/13 | 1,926,000 | 1,823,535 | ||||||
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 | 1,000,000 | 915,000 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 545,000 | 155,325 | ||||||
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 | 1,240,000 | 170,500 | ||||||
Union Pacific Corp., 7.875% Sr. Unsec. Nts., 1/15/19 | 1,376,000 | 1,574,778 | ||||||
United Parcel Service, Inc., 5.50% Sr. Unsec. Nts., 1/15/18 | 1,183,000 | 1,265,862 | ||||||
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 | 3,905,000 | 2,401,575 | ||||||
United Technologies Corp., 6.125% Sr. Unsec. Nts., 7/15/38 | 825,000 | 899,785 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/1516 | 1,965,000 | 1,404,975 | ||||||
US Oncology Holdings, Inc., 8.334% Sr. Unsec. Nts., 3/15/121,16 | 1,319,000 | 837,565 | ||||||
US Oncology, Inc., 9% Sr. Unsec. Nts., 8/15/12 | 1,945,000 | 1,779,675 | ||||||
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/1514 | 2,770,000 | 2,188,300 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes Continued | ||||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/1813 | $ | 11,010,000 | $ | 5,780,250 | ||||
Verizon Communications, Inc., 6.90% Sr. Unsec. Unsub. Bonds, 4/15/38 | 1,377,000 | 1,554,672 | ||||||
Videotron Ltd., 9.125% Sr. Nts., 4/15/1813 | 1,765,000 | 1,650,275 | ||||||
Virgin Media Finance plc, 8.75% Sr. Unsec. Nts., 4/15/14 | 1,820,000 | 1,374,100 | ||||||
Wal-Mart Stores, Inc., 5.80% Sr. Unsec. Unsub. Nts., 2/15/18 | 2,477,000 | 2,745,834 | ||||||
Walt Disney Co. (The), 4.50% Sr. Unsec. Unsub. Nts., Series D, 12/15/13 | 689,000 | 694,307 | ||||||
Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 | 500,000 | 295,000 | ||||||
Wells Fargo & Co., 5.25% Sr. Unsec. Unsub. Nts., 10/23/12 | 5,608,000 | 5,716,823 | ||||||
William Lyon Homes, Inc.: | ||||||||
7.50% Sr. Unsec. Nts., 2/15/14 | 160,000 | 39,200 | ||||||
10.75% Sr. Nts., 4/1/13 | 1,390,000 | 354,450 | ||||||
Windstream Corp.: | ||||||||
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 | 2,900,000 | 2,682,500 | ||||||
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 1,970,000 | 1,753,300 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/102,3,4 | 250,000 | — | ||||||
WM Covered Bond Program: | ||||||||
3.875% Sec. Nts., Series 1, 9/27/11 | 8,725,000 | EUR | 11,222,278 | |||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 10,485,000 | EUR | 12,654,226 | |||||
WMG Holdings Corp., 0%/9.50% Sr. Nts., 12/15/1414 | 2,030,000 | 761,250 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 4,615,000 | 3,507,400 | ||||||
XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 | 1,954,000 | 1,894,917 | ||||||
Total Corporate Bonds and Notes (Cost $694,267,395) | 519,305,734 | |||||||
Shares | Value | |||||||
Preferred Stocks—0.0% | ||||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.2,3,16 | 4,253 | — | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.2,3 | 5,000 | — | ||||||
Fannie Mae, 8.25% Non-Cum. Sub., Series S, Non-Vtg. | 148,310 | 123,097 | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.2,3,16 | 151 | — | ||||||
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A2 | 250 | 208,125 | ||||||
Total Preferred Stocks (Cost $4,486,155) | 331,222 | |||||||
Common Stocks—0.0% | ||||||||
Arco Capital Corp. Ltd.2,3 | 690,638 | 690,638 | ||||||
Global Aero Logistics, Inc.2,3 | 2,168 | 2,168 | ||||||
National Maintenance Group, Inc.3 | 9,420 | 47 | ||||||
Revlon, Inc., Cl. A3 | 134,166 | 894,887 | ||||||
Total Common Stocks (Cost $12,158,364) | 1,587,740 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/112,3 | 266 | 3 | ||||||
MHP SA, GDR Wts., Strike Price 0.01UAH, Exp. 5/8/093 | 56,610 | 183,982 | ||||||
Total Rights, Warrants and Certificates (Cost $2,025) | 183,985 | |||||||
Principal | ||||||||
Amount | ||||||||
Structured Securities—5.0% | ||||||||
Barclays Bank plc: | ||||||||
Custom Basket of African Currencies Cv. Unsec. Unsub. Nts., 10.25%, 5/15/092 | $ | 3,030,000 | 2,650,038 | |||||
Custom Basket of African Currencies Cv. Unsec. Unsub. Nts., 10.25%, 5/7/092 | 3,030,000 | 2,639,130 | ||||||
Citibank NA, New York: | ||||||||
Dominican Republic Credit Linked Nts., 12%, 2/22/112 | 22,200,000 | DOP | 509,623 | |||||
Dominican Republic Credit Linked Nts., 14.218%, 5/11/0910 | 61,180,000 | DOP | 1,596,580 | |||||
Citigroup Funding, Inc., Custom Basket of African Currencies Credit Linked Nts., (0.055)%, 4/29/0910 | 6,070,000 | 5,358,900 | ||||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 9.762%, 1/3/172 | 8,850,000 | BRR | 3,216,765 | |||||
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.809%, 1/5/1010 | 2,480,096 | BRR | 954,499 | |||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 3,255,000,000 | COP | 1,497,713 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Citigroup Global Markets Holdings, Inc.: Continued | ||||||||
Colombia (Republic of) Credit Linked Nts., 12.710%, 2/26/152,12 | 2,199,000,000 | COP | $ | 1,908,265 | ||||
Colombia (Republic of) Credit Linked Nts., Series 01, 12.710%, 2/26/152,12 | 811,000,000 | COP | 703,776 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 12.710% 12/26/152,12 | 1,345,000,000 | COP | 1,167,174 | |||||
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 | 552,359,546 | COP | 280,057 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 1,034,000,000 | COP | 524,257 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/122 | 1,200,000,000 | COP | 608,422 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 927,000,000 | COP | 470,006 | |||||
Dominican Republic Unsec. Credit Linked Nts., 13.182%, 2/23/0910 | 90,800,000 | DOP | 2,481,906 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 49,300,000 | DOP | 1,104,595 | |||||
Egypt (The Arab Republic of) Credit Linked Nts., 5.765%, 2/5/0910 | 18,110,000 | EGP | 3,256,520 | |||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.089%, 3/5/0910 | 12,920,000 | EGP | 2,302,282 | |||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.267%, 3/26/0910 | 17,610,000 | EGP | 3,116,948 | |||||
Egypt (The Arab Republic of) Credit Linked Nts., 6.641%, 2/19/0910 | 17,850,000 | EGP | 3,195,194 | |||||
Egypt (The Arab Republic of) Credit Linked Nts., 7.812%, 4/16/0910 | 7,100,000 | EGP | 1,248,300 | |||||
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 6.529%, 3/26/0910 | 17,690,000 | EGP | 3,131,108 | |||||
Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10 | 2,990,000 | GHS | 2,057,695 | |||||
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/111,2 | 347,000,000 | NGN | 2,527,660 | |||||
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/2/10 | 880,000 | UAH | 94,532 | |||||
Zambia (Republic of) Credit Linked Nts., 10.717%, 3/4/0910 | 3,850,000,000 | ZMK | 764,722 | |||||
Zambia (Republic of) Credit Linked Nts., 10.793%, 2/25/0910 | 3,850,000,000 | ZMK | 761,985 | |||||
Zambia (Republic of) Credit Linked Nts., 11.399%, 6/11/0910 | 2,165,000,000 | ZMK | $ | 404,530 | ||||
Credit Suisse First Boston International: | ||||||||
Boryspil Airport Total Return Linked Nts., 10%, 4/19/101 | 4,840,000 | UAH | 257,777 | |||||
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 | 14,800,000,000 | IDR | 1,362,046 | |||||
Moitk Total Return Linked Nts., 8.966%, 3/26/111,2 | 59,900,000 | RUR | 659,954 | |||||
NAK Naftogaz of Ukraine Credit Linked Nts., 5%, 1/20/09 | 3,890,000 | 3,720,007 | ||||||
Oreniz Total Return Linked Nts., 9.24%, 2/21/121,2 | 116,835,000 | RUR | 1,609,051 | |||||
RuRail Total Return Linked Nts., 6.67%, 1/22/091,2 | 49,210,000 | RUR | 1,206,342 | |||||
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/092 | 2,195,000 | UAH | 192,132 | |||||
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/172 | 14,609,000,000 | VND | 510,687 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch): | ||||||||
Russian Specialized Construction and Installation Administration Credit Linked Nts., 5/20/101,2 | 97,250,000 | RUR | 267,865 | |||||
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/092 | 5,650,000 | UAH | 494,554 | |||||
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 | 661,000 | UAH | 57,858 | |||||
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/092 | 4,170,000 | UAH | 365,007 | |||||
Credit Suisse Group, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/24/122 | 106,500,000 | RUR | 1,466,718 | |||||
Deutsche Bank AG: | ||||||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/112 | 9,127,796 | MXN | 618,495 | |||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/112 | 6,053,427 | MXN | 410,178 | |||||
Brazil Real Credit Linked Nts., 13.882%, 3/3/1010 | 4,580,760 | BRR | 1,746,067 | |||||
Brazil Real Total Return Linked Nts., 6%, 8/18/10 | 2,065,000 | BRR | 1,588,966 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Deutsche Bank AG: Continued | ||||||||
Colombia (Republic of) Credit Linked Nts., 13.50%, 9/16/14 | $2,002,000,000 | COP | $ | 995,524 | ||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 109, (0.196)%, 3/25/092 | 2,190,000 | 2,168,100 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 110, (2.256)%, 12/22/112 | 900,000 | 900,000 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 112, 0.004%, 12/7/092 | 650,000 | 638,950 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, (2.186)%, 4/26/112 | 655,000 | 586,225 | ||||||
European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/102,10 | 705,000 | 563,859 | ||||||
Grupo TMM SA Credit Linked Nts., 6%, 9/7/122 | 2,069,512 | 1,138,232 | ||||||
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 | 820,000 | 617,343 | ||||||
Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 | 29,700,000,000 | IDR | 2,869,237 | |||||
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/22/13 | 873,600 | 814,931 | ||||||
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 | 67,900,000 | NGN | 508,788 | |||||
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 | 91,000,000 | NGN | 695,039 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1A, 10.75%, 9/24/141,2 | 14,850,000 | MXN | 1,081,967 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1B, 10.75%, 9/24/141,2 | 2,970,000 | MXN | 216,393 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1C, 10.75%, 9/24/141,2 | 4,950,000 | MXN | 360,656 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 12.25%, 5/22/151,2 | 1,417,014 | MXN | 103,243 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 12.25%, 5/22/151,2 | 2,479,100 | MXN | 180,627 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 12.25%, 5/22/151,2 | 37,378,810 | MXN | 2,723,411 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 12.25%, 5/22/151,2 | 2,724,116 | MXN | 198,478 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 12.25%, 5/22/151,2 | 1,979,122 | MXN | 144,198 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 12.25%, 5/22/151,2 | 1,263,966 | MXN | 92,092 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 12.25%, 5/22/151,2 | 232,771 | MXN | 16,960 | |||||
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/27/10 | 885,000 | 500,078 | ||||||
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 3/1/11 | 885,000 | 448,031 | ||||||
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/29/11 | 885,000 | 406,392 | ||||||
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/29/12 | 885,000 | 377,709 | ||||||
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/30/12 | 885,000 | 359,089 | ||||||
United Mexican States Credit Linked Nts., 9.52%, 1/5/112 | 6,045,360 | MXN | 409,631 | |||||
Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 | 1,630,000 | 1,785,421 | ||||||
Deutsche Bank AG, Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%, 4/20/17 | 36,800,000,000 | VND | 893,323 | |||||
Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%, 12/12/111,2 | 34,190,000 | RUR | 964,600 | |||||
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/172,10 | 21,980,000 | TRY | 3,099,030 | |||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/372,10 | 63,720,800,000 | COP | 416,572 | |||||
Goldman Sachs International, Rosselkhozbank Total Return Linked Nts., 8%, 5/13/091 | 84,500,000 | RUR | 2,592,669 | |||||
Hallertau SPC, Philippines (Republic of) Credit Linked Nts., Series 2007-01, 3.914%, 12/20/171,2 | 14,290,000 | 10,410,265 | ||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 8.636%, 9/17/131,2 | 19,430,000 | 19,676,761 | ||||||
Hallertau SPC Segregated Portfolio, Brazil (Federal Republic of) Credit Linked Nts., Series 2008-01, 9.888%, 8/2/102,4,10 | 14,337,604 | BRR | 1,256,283 | |||||
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/092 | 4,689,000 | UAH | 378,615 | |||||
JPMorgan Chase Bank NA: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 10.564%, 5/16/452 | 1,445,000 | BRR | 934,552 | |||||
Brazil (Federal Republic of) Credit Linked Nts., 15.326%, 1/2/1510 | 10,948,600 | BRR | 2,237,855 | |||||
Brazil (Federal Republic of) Credit Linked Nts., Series III, 12.184%, 1/2/152,10 | 5,245,000 | BRR | 1,072,059 | |||||
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/162,10 | 20,100,000,000 | COP | 4,329,146 | |||||
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/162,10 | 12,177,000,000 | COP | 2,406,070 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
JPMorgan Chase Bank NA: Continued | ||||||||
Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/162,10 | 12,125,000,000 | COP | $ | 2,395,795 | ||||
Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/152,10 | 3,470,000 | PEN | 592,485 | |||||
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/102 | 1,120,000 | 1,185,408 | ||||||
JPMorgan Chase Bank NA London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/212 | 25,490,000,000 | IDR | 2,438,706 | |||||
Lehman Brothers Treasury Co. BV: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 6.357%, 4/20/114,10,13 | 13,157,420 | BRR | 1,249,955 | |||||
Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/122 | 7,541,026 | 6,811,054 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/162 | 1,784,000,000 | COP | 743,168 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/172 | 4,885,000 | PEN | 947,545 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 93,152,901 | RUR | 1,621,714 | |||||
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/9/122 | 20,420,042 | RUR | 562,450 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/222,10 | 28,914,000 | BRR | 287,329 | |||||
Brazil (Federal Republic of) Credit Linked Nts., 14.40%, 8/4/162 | 5,793,682 | BRR | 1,900,938 | |||||
Ukraine (Republic of) Credit Linked Nts., 6.176%, 10/15/171,2 | 8,300,000 | 2,075,000 | ||||||
Ukraine (Republic of) Credit Linked Nts., Series 2, 7.046%, 10/15/171,2 | 6,800,000 | 1,700,000 | ||||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/152 | 2,000,000 | 1,800,000 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/122 | 4,440,493 | 2,729,127 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/122 | 5,934,498 | 3,669,300 | ||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/112 | 1,222,052 | GHS | 621,505 | |||||
Total Structured Securities (Cost $243,160,515) | 172,966,769 | |||||||
Event-Linked Bonds—1.4% | ||||||||
Aiolos Ltd. Catastrophe Linked Nts., 10.095%, 4/8/091,13 | 2,050,000 | EUR | 2,823,579 | |||||
Akibare Ltd. Catastrophe Linked Nts., Cl. A, 5.103%, 5/22/121,13 | 1,888,000 | 1,831,077 | ||||||
Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 10.653%, 6/1/091,13 | 2,750,000 | 2,756,463 | ||||||
Cascadia Ltd. Catastrophe Linked Nts., 6.203%, 8/31/091,13 | 1,130,000 | 1,123,559 | ||||||
Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 4.585%, 5/19/091,13 | 3,200,000 | 3,130,880 | ||||||
Champlain Ltd. Catastrophe Linked Nts., Series A, 17.084%, 1/7/091,13 | 2,190,000 | 2,184,416 | ||||||
Eurus Ltd. Catastrophe Linked Nts., 9.758%, 4/8/091,13 | 1,400,000 | 1,379,210 | ||||||
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 7.093%, 8/10/111,13 | 2,880,000 | 2,781,216 | ||||||
Foundation Re II Ltd. Catastrophe Linked Nts., 11.841%, 1/8/091,13 | 926,000 | 923,569 | ||||||
Fusion 2007 Ltd. Catastrophe Linked Nts., 8.239%, 5/19/091,13 | 3,350,000 | 3,318,678 | ||||||
Lakeside Re Ltd. Catastrophe Linked Nts., 7.959%, 12/31/091,13 | 4,100,000 | 4,073,350 | ||||||
Medquake Ltd. Catastrophe Linked Nts., 7.249%, 5/31/101,13 | 1,500,000 | 1,467,450 | ||||||
Midori Ltd. Catastrophe Linked Nts., 7.503%, 10/24/121,13 | 1,850,000 | 1,791,910 | ||||||
Muteki Ltd. Catastrophe Linked Nts., 6.549%, 5/24/111,13 | 2,100,000 | 1,993,950 | ||||||
Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 14.049%, 6/21/101,13 | 3,340,000 | 3,222,432 | ||||||
Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts., Series D, 9.753%, 1/15/101,13 | 890,000 | 870,865 | ||||||
Residential Reinsurance 2007 Ltd. Catastrophe Linked Nts.: | ||||||||
Series CL2, 13.703%, 6/6/111,13 | 2,590,000 | 2,499,674 | ||||||
Series CL3, 14.453%, 6/7/101,13 | 1,000,000 | 966,400 | ||||||
VASCO Re 2006 Ltd. Catastrophe Linked Nts., 10.701%, 6/5/091,13 | 3,550,000 | 3,563,668 | ||||||
Vega Capital Ltd. Catastrophe Linked Nts., Series D, 0%, 6/24/112,10 | 4,205,000 | 4,310,125 | ||||||
Willow Re Ltd. Catastrophe Linked Nts., 8.545%, 6/16/101,13 | 2,480,000 | 1,494,820 | ||||||
Total Event-Linked Bonds (Cost $49,914,507) | 48,507,291 |
Expiration | Notional | |||||||||||
Date | Amount | Value | ||||||||||
Swaptions Purchased—0.0% | ||||||||||||
J Aron & Co., Swap Counterparty, Interest Rate Swap call option; Swap Terms-Receive fixed rate of 9.32% and pay floating rate based on 28 day MXN TIIE BANXICO; terminating 5/31/213,17 (Cost $333,398) | 6/11/09 | 117,625,000 | MXN | $ | 632,280 | |||||||
Principal | ||||||||||||
Amount | ||||||||||||
Short-Term Notes—5.3% | ||||||||||||
Federal Home Loan Mortgage Corp.: | ||||||||||||
2.74%, 2/26/098,18 | $ | 60,000,000 | 59,748,000 | |||||||||
Federal National Mortgage Assn.: | ||||||||||||
2.67%, 2/23/098,19 | 63,830,000 | 63,579,095 | ||||||||||
2.76%, 2/25/098,20 | 60,000,000 | 59,750,667 | ||||||||||
Total Short-Term Notes (Cost $183,077,762) | 183,077,762 | |||||||||||
Shares | ||||||||||||
Investment Companies—12.4% | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%21,22 | 314,416,821 | 314,416,821 | ||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC 21 | 1,404,749 | $ | 13,761,909 | |||||||||
Oppenheimer Master Loan Fund, LLC21 | 14,194,313 | 102,098,787 | ||||||||||
Total Investment Companies (Cost $477,509,586) | 430,277,517 | |||||||||||
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $4,124,049,916) | 3,566,317,162 | |||||||||||
Investments Purchased with Cash Collateral from Securities Loaned—9.4%23 | ||||||||||||
OFI Liquid Assets Fund, LLC, 1.71%21,22 (Cost $325,265,870) | 325,265,870 | 325,265,870 | ||||||||||
Total Investments, at Value (Cost $4,449,315,786) | 112.5 | % | 3,891,583,032 | |||||||||
Liabilities in Excess of Other Assets | (12.5 | ) | (432,698,291 | ) | ||||||||
Net Assets | 100.0 | % | $ | 3,458,884,741 | ||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NGN | Nigeria Naira | |
NOK | Norwegian Krone | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
UYU | Uruguay Peso | |
VND | Vietnam Dong | |
ZMK | Zambian Kwacha |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of December 31, 2008 was $178,278,234, which represents 5.15% of the Fund’s net assets, of which $5,118,025 is considered restricted. See Note 9 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 10.75%, 9/24/14 | 12/27/07 | $ | 1,364,764 | $ | 1,081,967 | $ | 282,797 | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 10.75%, 9/24/14 | 6/12/08 | 286,334 | 216,393 | 69,941 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 10.75%, 9/24/14 | 8/12/08 | 487,085 | 360,656 | 126,429 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 12.25%, 5/22/15 | 5/21/08 | 136,622 | 103,243 | 33,379 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 12.25%, 5/22/15 | 6/12/08 | 239,007 | 180,627 | 58,380 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 12.25%, 5/22/15 | 6/18/08 | 3,626,317 | 2,723,411 | 902,906 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 12.25%, 5/22/15 | 7/8/08 | 264,086 | 198,478 | 65,608 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 12.25%, 5/22/15 | 7/15/08 | 192,185 | 144,198 | 47,987 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 12.25%, 5/22/15 | 8/8/08 | 124,426 | 92,092 | 32,334 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 12.25%, 5/22/15 | 8/22/08 | 22,959 | 16,960 | 5,999 | ||||||||||||
$ | 6,743,785 | $ | 5,118,025 | $ | 1,625,760 | |||||||||||
3. | Non-income producing security. | |
4. | Issue is in default. See Note 1 of accompanying Notes. | |
5. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $22,444,545 or 0.65% of the Fund’s net assets as of December 31, 2008. | |
6. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $5,330,153 or 0.15% of the Fund’s net assets as of December 31, 2008. | |
7. | When-issued security or delayed delivery to be delivered and settled after December 31, 2008. See Note 1 of accompanying Notes. | |
8. | Partial or fully-loaned security. See Note 10 of accompanying Notes. | |
9. | A sufficient amount of liquid assets has been designated to cover outstanding written put options. See Note 7 of accompanying Notes. | |
10. | Zero coupon bond reflects effective yield on the date of purchase. | |
11. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $45,907,536. See Note 6 of accompanying Notes. | |
12. | Denotes an inflation-indexed security: coupon and principal are indexed to the consumer price index. | |
13. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $233,849,534 or 6.76% of the Fund’s net assets as of December 31, 2008. | |
14. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
15. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
16. | Interest or dividend is paid-in-kind, when applicable. | |
17. | Swap contract terms if the option was exercised on exercise date. | |
18. | All or a portion of the security was segregated by the Fund in the amount of $3,562,000, which represented 97.43% of the market value of securities sold short. See Note 1 of accompanying Notes. | |
19. | A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See Note 5 of accompanying Notes. | |
20. | A sufficient amount of liquid assets has been designated to cover outstanding written call options. See Note 7 of accompanying Notes. |
21. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 429,325,708 | 104,059,838 | 325,265,870 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 587,306,313 | 4,222,709,843 | 4,495,599,335 | 314,416,821 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | — | 1,404,749 | — | 1,404,749 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 14,194,313 | — | — | 14,194,313 |
Realized | ||||||||||||||||
Value | Income | Gain/(Loss) | ||||||||||||||
OFI Liquid Assets Fund, LLC | $ | 325,265,870 | $ | 1,405,615 | a | $ | — | |||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 314,416,821 | 16,462,436 | — | |||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 13,761,909 | 503,808 | b | 178,059 | b | |||||||||||
Oppenheimer Master Loan Fund, LLC | 102,098,787 | 11,532,172 | c | (4,315,961 | )c | |||||||||||
$ | 755,543,387 | $ | 29,904,031 | $ | (4,137,902 | ) | ||||||||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | ||
b. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | ||
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
22. | Rate shown is the 7-day yield as of December 31, 2008. | |
23. | The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 10 of accompanying Notes. |
Principal | ||||||||
Amount | ||||||||
Sold Short | Value | |||||||
Mortgage-Backed Obligations Sold Short—(0.1)% | ||||||||
Federal National Mortgage Assn., 5%, 1/1/247 | $ | (3,562,000 | ) | $ | (3,656,058 | ) | ||
(Proceeds $3,628,788) |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 756,438,321 | $ | (4,080,437 | ) | |||
Level 2—Other Significant Observable Inputs | 3,134,767,144 | (53,323,121 | ) | |||||
Level 3—Significant Unobservable Inputs | 377,567 | — | ||||||
Total | $ | 3,891,583,032 | $ | (57,403,558 | ) | |||
* | Other financial instruments include options written, currency contracts, futures, forwards, swap contracts, short contracts and unfunded loan commitments. Currency contracts, forwards and unfunded loan commitments are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written, swaps and short contracts are reported at their market value at measurement date. |
Contracts | ||||||||||||||||||||||||
Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Argentine Peso (ARP) | Buy | 22,800 | ARP | 2/3/09 | $ | 6,267,404 | $ | 679,168 | $ | — | ||||||||||||||
Australian Dollar (AUD) | Sell | 17,965 | AUD | 1/9/09-1/27/09 | 12,752,407 | — | 798,928 | |||||||||||||||||
Australian Dollar (AUD) | Buy | 28,035 | AUD | 1/16/09-2/3/09 | 19,855,125 | 1,131,925 | — | |||||||||||||||||
Brazilian Real (BRR) | Sell | 15,740 | BRR | 2/3/09 | 6,731,205 | — | 276,417 | |||||||||||||||||
Brazilian Real (BRR) | Buy | 112,958 | BRR | 2/3/09-1/5/10 | 48,066,940 | 3,556,527 | 280,132 | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 16,875 | GBP | 1/9/09-2/5/09 | 24,595,247 | 6,827,231 | — | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 16,810 | GBP | 1/16/09-2/3/09 | 24,495,688 | 36,364 | 908,278 | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 52,585 | CAD | 1/9/09-2/9/09 | 43,206,232 | 1,078,951 | 1,357,828 | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 4,420 | CAD | 1/16/09 | 3,631,695 | 154,118 | — | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 167,350 | CNY | 5/13/09-12/17/09 | 23,996,852 | 66,865 | 858,090 | |||||||||||||||||
Colombian Peso (COP) | Sell | 21,229,000 | COP | 1/21/09-4/2/09 | 9,361,003 | 12,628 | 367,710 | |||||||||||||||||
Czech Koruna (CZK) | Sell | 274,303 | CZK | 2/9/09-12/31/09 | 14,244,197 | 26,026 | 632,351 | |||||||||||||||||
Euro (EUR) | Sell | 94,305 | EUR | 1/9/09-3/3/09 | 131,530,414 | 2,783,968 | 7,130,922 | |||||||||||||||||
Euro (EUR) | Buy | 40,710 | EUR | 1/9/09-1/16/09 | 56,821,566 | 2,092,409 | 2,506,521 | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 51,100 | HKD | 2/4/09 | 6,595,067 | 151 | — | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 1,337,906 | HUF | 2/2/09-12/31/09 | 7,042,153 | 6,364 | 487,866 | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 4,495,000 | HUF | 2/2/09 | 23,664,489 | 19,190 | 466,627 | |||||||||||||||||
Indian Rupee (INR) | Sell | 802,000 | INR | 2/3/09-3/9/09 | 16,288,830 | — | 666,361 | |||||||||||||||||
Indian Rupee (INR) | Buy | 324,000 | INR | 1/30/09 | 6,612,245 | 295,224 | — | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 43,750,000 | IDR | 2/17/09-2/19/09 | 3,852,595 | 2,147 | 28,857 | |||||||||||||||||
Israeli Shekel (ILS) | Sell | 51,660 | ILS | 1/30/09-2/9/09 | 13,642,344 | 13,307 | 401,415 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 7,740,000 | JPY | 1/16/09-2/5/09 | 85,368,279 | 160,555 | 3,890,591 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 11,963,000 | JPY | 1/9/09-3/3/09 | 131,928,005 | 4,196,667 | 26,797 | |||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 36,255 | MYR | 1/9/09-2/18/09 | 10,435,435 | — | 113,812 | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 18,030 | MYR | 1/9/09-2/17/09 | 5,181,918 | 8,864 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 37,410 | MXN | 2/18/09 | 2,683,640 | 17,443 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 223,025 | MXN | 1/21/09-2/18/09 | 16,071,076 | — | 260,518 | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 413,000 | TWD | 3/2/09 | 12,611,137 | — | 196,805 | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 51,835 | TRY | 1/20/09-2/13/09 | 33,220,797 | — | 1,005,366 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 10,775 | TRY | 1/26/09 | 6,920,666 | 209,194 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 4,305 | NZD | 1/27/09 | 2,519,979 | — | 36,747 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 25,675 | NZD | 1/16/09 | 15,054,656 | — | 3,753,397 | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 208,800 | NOK | 1/9/09 | 30,035,420 | — | 191,927 | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 103,805 | NOK | 1/9/09-1/16/09 | 14,926,519 | 53,196 | 3,338,659 | |||||||||||||||||
Peruvian New Sol (PEN) | Sell | 70,534 | PEN | 1/7/09-2/26/09 | 22,390,003 | 410,732 | — | |||||||||||||||||
Philippines Peso (PHP) | Sell | 92,900 | PHP | 2/17/09 | 1,932,214 | — | 125,138 | |||||||||||||||||
Philippines Peso (PHP) | Buy | 325,000 | PHP | 1/26/09 | 6,792,587 | 413,784 | — | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 90,218 | PLZ | 1/9/09-12/31/09 | 30,286,191 | 2,626,488 | 144,496 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 50,390 | PLZ | 1/9/09-2/3/09 | 16,895,884 | 12,699 | 218,463 | |||||||||||||||||
Russian Ruble (RUR) | Sell | 603,290 | RUR | 9/18/09-11/18/09 | 17,277,621 | 3,318,461 | — | |||||||||||||||||
Russian Ruble (RUR) | Buy | 222,470 | RUR | 2/11/09 | 7,207,394 | — | 318,655 | |||||||||||||||||
Singapore Dollar (SGD) | Sell | 9,900 | SGD | 1/30/09 | 6,904,488 | — | 337,324 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 2,060 | SGD | 1/9/09 | 1,437,639 | 28,610 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 176,355 | ZAR | 1/20/09 | 18,644,512 | — | 2,225,002 | |||||||||||||||||
South African Rand (ZAR) | Buy | 3,872 | ZAR | 12/31/09 | 384,503 | — | 90,284 | |||||||||||||||||
South Korean Won (KRW) | Sell | 9,610,000 | KRW | 1/30/09 | 7,294,118 | — | 810,293 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 85,080 | SEK | 1/16/09 | 10,865,402 | 2,178,743 | 110,588 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 91,405 | CHF | 1/9/09-2/4/09 | 85,757,178 | — | 7,629,825 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 34,713 | CHF | 1/9/09-2/3/09 | 32,561,136 | 2,959,676 | — | |||||||||||||||||
Ukraine Hryvnia (UAH) | Sell | 12,850 | UAH | 1/28/09 | 1,417,165 | 343,107 | — | |||||||||||||||||
Ukraine Hryvnia (UAH) | Buy | 12,850 | UAH | 1/28/09 | 1,417,165 | — | 1,048,769 | |||||||||||||||||
Total unrealized appreciation and depreciation | $ | 35,720,782 | $ | 43,041,759 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Amsterdam Exchange Index | Buy | 51 | 1/16/09 | $ | 3,509,586 | $ | (49,843 | ) | ||||||||||||
CAC 40 10 Euro Index | Sell | 143 | 1/16/09 | 6,433,242 | (52,155 | ) | ||||||||||||||
Canadian Bond, 10 yr. | Buy | 241 | 3/20/09 | 25,108,211 | 1,507,181 | |||||||||||||||
DAX Index | Sell | 99 | 3/20/09 | 16,712,057 | (535,972 | ) | ||||||||||||||
DAX Index | Buy | 36 | 3/20/09 | 6,077,112 | 194,868 | |||||||||||||||
Euro-Bundesobligation, 5 yr. | Buy | 2,065 | 3/6/09 | 335,171,195 | 3,138,810 | |||||||||||||||
Euro-Bundesobligation, 10 yr. | Buy | 2,276 | 3/6/09 | 396,852,525 | 2,268,948 | |||||||||||||||
Euro-Bundesobligation, 10 yr. | Sell | 68 | 3/6/09 | 11,856,754 | (26,969 | ) | ||||||||||||||
Euro-Schatz | Buy | 591 | 3/6/09 | 88,711,079 | 372,065 | |||||||||||||||
FTSE 100 Index | Sell | 181 | 3/20/09 | 11,589,095 | (388,718 | ) | ||||||||||||||
FTSE 100 Index | Buy | 17 | 3/20/09 | 1,088,479 | 36,495 | |||||||||||||||
H Shares Index | Sell | 70 | 1/29/09 | 3,566,295 | (149,944 | ) | ||||||||||||||
Japan (Government of) Bonds, 10 yr. | Sell | 49 | 3/11/09 | 75,682,099 | (590,489 | ) | ||||||||||||||
Japan (Government of) Mini Bonds, 10 yr. | Buy | 38 | 3/10/09 | 5,853,726 | 30,151 | |||||||||||||||
Mexican Bolsa Index | Sell | 215 | 3/20/09 | 3,581,140 | (363,682 | ) | ||||||||||||||
MSCI Taiwan Stock Index | Buy | 182 | 1/20/09 | 3,174,080 | 214,458 | |||||||||||||||
NASDAQ 100 E-Mini Index | Sell | 468 | 3/20/09 | 11,349,000 | 98,445 | |||||||||||||||
Nikkei 225 Index | Sell | 99 | 3/12/09 | 9,635,913 | (497,018 | ) | ||||||||||||||
Nikkei 225 Index | Buy | 38 | 3/12/09 | 3,698,633 | 190,713 | |||||||||||||||
OMXS30 Index | Sell | 711 | 1/23/09 | 5,985,705 | 37,763 | |||||||||||||||
SGX CNX Nifty Index | Sell | 568 | 1/29/09 | 3,368,240 | 156,869 | |||||||||||||||
Standard & Poor’s 500 E-Mini | Sell | 965 | 3/20/09 | 43,425,000 | (712,762 | ) | ||||||||||||||
Standard & Poor’s 500 E-Mini | Buy | 154 | 3/20/09 | 6,930,000 | 113,190 | |||||||||||||||
Standard & Poor’s/MIB Index, 10 yr. | Buy | 27 | 3/20/09 | 3,662,105 | 19,974 | |||||||||||||||
Standard & Poor’s/Toronto Stock Exchange 60 Index | Buy | 67 | 3/19/09 | 5,946,133 | 282,172 | |||||||||||||||
U.S. Treasury Bonds, 10 yr. | Sell | 767 | 3/20/09 | 96,450,250 | (4,342,008 | ) | ||||||||||||||
U.S. Treasury Bonds, 10 yr. | Buy | 1,327 | 3/20/09 | 166,870,250 | 896,638 | |||||||||||||||
U.S. Treasury Bonds, 20 yr. | Buy | 1,293 | 3/20/09 | 178,494,609 | 13,693,696 | |||||||||||||||
U.S. Treasury Bonds, 20 yr. | Sell | 121 | 3/20/09 | 16,703,672 | (555,617 | ) | ||||||||||||||
U.S. Treasury Bonds, 20 yr. | Sell | 3,109 | 3/31/09 | 370,141,025 | (8,911,488 | ) | ||||||||||||||
U.S. Treasury Bonds, 20 yr. | Buy | 583 | 3/31/09 | 69,408,883 | 1,280,613 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 1,335 | 3/31/09 | 291,113,438 | (1,447,421 | ) | ||||||||||||||
United Kingdom Long Gilt | Sell | 8 | 3/27/09 | 1,440,648 | (47,064 | ) | ||||||||||||||
$ | 5,861,899 | |||||||||||||||||||
Number of | Exercise | Expiration | Premiums | |||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | ||||||||||||||||||
Euro (EUR) | Call | 2,485,000 | $ | 1.411 | 1/6/09 | $ | 40,673 | $ | (17,093 | ) | ||||||||||||||
Euro (EUR) | Call | 2,460,000 | 1.392 | 1/7/09 | 37,847 | (43,652 | ) | |||||||||||||||||
Euro (EUR) | Put | 2,485,000 | 1.411 | 1/6/09 | 40,673 | (53,647 | ) | |||||||||||||||||
Euro (EUR) | Put | 2,460,000 | 1.392 | 1/7/09 | 37,847 | (29,925 | ) | |||||||||||||||||
$ | 157,040 | $ | (144,317 | ) | ||||||||||||||||||||
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||||
ABX.HE.AA.06-2 Index: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 1,630 | 0.170 | % | 5/25/46 | $ | 1,260,997 | $ | (1,431,546 | ) | |||||||||||||||||
Deutsche Bank AG | Sell | 720 | 0.170 | 5/25/46 | 86,393 | (632,339 | ) | |||||||||||||||||||||
Goldman Sachs International | Sell | 240 | 0.170 | 5/25/46 | 19,774 | (210,780 | ) | |||||||||||||||||||||
Goldman Sachs International | Sell | 970 | 0.170 | 5/25/46 | 383,127 | (851,902 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 240 | 0.170 | 5/25/46 | 19,174 | (210,780 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 480 | 0.170 | 5/25/46 | 47,998 | (421,560 | ) | |||||||||||||||||||||
Total | 4,280 | 1,817,463 | (3,758,907 | ) | ||||||||||||||||||||||||
ABX-HE-AAA 06-2 Index: | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 1,720 | 0.110 | 5/25/46 | 85,989 | (875,955 | ) | |||||||||||||||||||||
Deutsche Bank AG | Sell | 1,720 | 0.110 | 5/25/46 | 85,974 | (875,955 | ) | |||||||||||||||||||||
Goldman Sachs International | Sell | 1,000 | 0.110 | 5/25/46 | 110,607 | (509,276 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
ABX-HE-AAA 06-2 Index: Continued | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | $ | 1,535 | 0.110 | % | 5/25/46 | $ | 475,770 | $ | (781,739 | ) | |||||||||||||||
UBS AG | Sell | 1,035 | 0.110 | 5/25/46 | 323,384 | (527,101 | ) | |||||||||||||||||||
Total | 7,010 | 1,081,724 | (3,570,026 | ) | ||||||||||||||||||||||
ARAMARK Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 690 | 6.000 | 3/20/13 | — | (12,360 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 550 | 4.750 | 12/20/13 | — | (37,108 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 750 | 5.920 | 3/20/13 | — | (15,430 | ) | |||||||||||||||||||
Total | 1,990 | — | (64,898 | ) | ||||||||||||||||||||||
Bolivarian Republic of Venezuela | Goldman Sachs International | Sell | 645 | 6.350 | 5/20/13 | — | (318,048 | ) | ||||||||||||||||||
Total | 645 | — | (318,048 | ) | ||||||||||||||||||||||
Cablevision Systems Corp. | Citibank NA, New York | Sell | 100 | 3.100 | 12/20/10 | — | (9,517 | ) | ||||||||||||||||||
Total | 100 | — | (9,517 | ) | ||||||||||||||||||||||
Capmark Financial Group, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 2,480 | 7.125 | 12/20/12 | — | (1,132,110 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,620 | 9.700 | 12/20/12 | — | (682,095 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,350 | 9.750 | 12/20/12 | — | (567,483 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 790 | 5.200 | 12/20/12 | — | (381,568 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 415 | 6.250 | 12/20/12 | — | (194,445 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 460 | 7.400 | 12/20/12 | — | (208,247 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 415 | 7.150 | 12/20/12 | — | (189,303 | ) | |||||||||||||||||||
Total | 7,530 | — | (3,355,251 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 7: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 1,254 | 3.250 | 12/20/11 | (47,467 | ) | (125,935 | ) | ||||||||||||||||||
Deutsche Bank AG | Sell | 3,543 | 3.250 | 12/20/11 | (134,056 | ) | (355,667 | ) | ||||||||||||||||||
Total | 4,797 | (181,523 | ) | (481,602 | ) | |||||||||||||||||||||
CDX North America High Yield Index, Series 8: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 2,847 | 2.750 | 6/20/12 | 144,826 | (418,106 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 3,425 | 2.750 | 6/20/12 | 174,240 | (503,023 | ) | |||||||||||||||||||
Total | 6,272 | 319,066 | (921,129 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 9: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 7,512 | 3.750 | 12/20/12 | (15,170 | ) | (1,399,706 | ) | ||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 6,326 | 3.750 | 12/20/12 | 6,724 | (1,178,748 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 5,767 | 3.750 | 12/20/12 | 31,264 | (1,074,660 | ) | |||||||||||||||||||
Total | 19,605 | 22,818 | (3,653,114 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 10: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 11,050 | 5.000 | 6/20/13 | 593,170 | (1,732,118 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 15,840 | 5.000 | 6/20/13 | 508,200 | (2,482,963 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 12,740 | 5.000 | 6/20/13 | 744,051 | (1,997,030 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 11,110 | 5.000 | 6/20/13 | 738,352 | (1,741,523 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 5,495 | 5.000 | 6/20/13 | 491,497 | (855,994 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 8,235 | 5.000 | 6/20/13 | 766,312 | (1,282,823 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 15,800 | 5.000 | 6/20/13 | 459,736 | (2,476,693 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 15,840 | 5.000 | 6/20/13 | 528,000 | (2,482,963 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 3,385 | 5.000 | 6/20/13 | 302,769 | (527,305 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 4,125 | 5.000 | 6/20/13 | 383,854 | (642,580 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 15,780 | 5.000 | 6/20/13 | 543,533 | (2,473,558 | ) | |||||||||||||||||||
UBS AG | Sell | 15,850 | 5.000 | 6/20/13 | 516,226 | (2,484,531 | ) | |||||||||||||||||||
UBS AG | Sell | 3,385 | 5.000 | 6/20/13 | 302,769 | (527,305 | ) | |||||||||||||||||||
UBS AG | Sell | 2,750 | 5.000 | 6/20/13 | 255,903 | (428,386 | ) | |||||||||||||||||||
Total | 141,385 | 7,134,372 | (22,135,772 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
CDX North America High Yield Index, Series 11: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 8,275 | 5.000 | % | 12/20/13 | $ | 1,553,861 | $ | (1,640,580 | ) | |||||||||||||||
Barclays Bank plc | Sell | 9,460 | 5.000 | 12/20/13 | 1,776,378 | (1,875,515 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 555 | 5.000 | 12/20/13 | 99,823 | (110,033 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 2,745 | 5.000 | 12/20/13 | 493,719 | (544,217 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 2,380 | 5.000 | 12/20/13 | 409,889 | (471,853 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 975 | 5.000 | 12/20/13 | 171,437 | (193,301 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 4,645 | 5.000 | 12/20/13 | 905,130 | (920,906 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 3,690 | 5.000 | 12/20/13 | 750,813 | (731,570 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 6,390 | 5.000 | 12/20/13 | 1,267,350 | (1,266,865 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 6,390 | 5.000 | 12/20/13 | 1,299,300 | (1,266,865 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 8,275 | 5.000 | 12/20/13 | 1,522,830 | (1,640,580 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 8,075 | 5.000 | 12/20/13 | 1,529,764 | (1,600,929 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 2,815 | 5.000 | 12/20/13 | 568,865 | (558,095 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 13,420 | 5.000 | 12/20/13 | 2,566,575 | (2,660,615 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,605 | 5.000 | 12/20/13 | 276,194 | (318,203 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 8,050 | 5.000 | 12/20/13 | 1,549,625 | (1,595,972 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 8,055 | 5.000 | 12/20/13 | 1,690,431 | (1,596,964 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 8,275 | 5.000 | 12/20/13 | 1,595,236 | (1,640,580 | ) | |||||||||||||||||||
UBS AG | Sell | 8,060 | 5.000 | 12/20/13 | 1,561,625 | (1,597,955 | ) | |||||||||||||||||||
Total | 112,135 | 21,588,845 | (22,231,598 | ) | ||||||||||||||||||||||
CDX North America Investment Grade Index, Series 10: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 12,986 | 1.550 | 6/20/13 | (268,597 | ) | (215,244 | ) | ||||||||||||||||||
Barclays Bank plc | Sell | 5,192 | 1.550 | 6/20/13 | (118,435 | ) | (86,065 | ) | ||||||||||||||||||
Barclays Bank plc | Sell | 3,894 | 1.550 | 6/20/13 | (22,848 | ) | (64,549 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 12,986 | 1.550 | 6/20/13 | (278,443 | ) | (215,244 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 7,793 | 1.550 | 6/20/13 | (146,662 | ) | (129,179 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,894 | 1.550 | 6/20/13 | (57,383 | ) | (64,549 | ) | ||||||||||||||||||
Total | 46,745 | (892,368 | ) | (774,830 | ) | |||||||||||||||||||||
Cemex SAB de CV: | ||||||||||||||||||||||||||
UBS AG | Buy | 1,535 | 5.300 | 10/20/13 | — | 101,681 | ||||||||||||||||||||
UBS AG | Buy | 1,535 | 5.300 | 10/20/13 | — | 101,681 | ||||||||||||||||||||
Total | 3,070 | — | 203,362 | |||||||||||||||||||||||
Charter Communications Holdings LLC/Charter Communications Holdings Capital: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 235 | 5.000 | 9/20/17 | 47,000 | (128,552 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 285 | 5.000 | 9/20/17 | 57,000 | (155,903 | ) | |||||||||||||||||||
Total | 520 | 104,000 | (284,455 | ) | ||||||||||||||||||||||
CMBX.3.AJ Index: | ||||||||||||||||||||||||||
Goldman Sachs Bank USA | Sell | 1,500 | 1.470 | 12/13/49 | 184,417 | (863,784 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 700 | 1.470 | 12/13/49 | 83,920 | (403,099 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 5,800 | 1.470 | 12/13/49 | 1,282,806 | (3,339,966 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,050 | 1.470 | 12/13/49 | 269,298 | (1,180,505 | ) | |||||||||||||||||||
Total | 10,050 | 1,820,441 | (5,787,354 | ) | ||||||||||||||||||||||
CMBX.4.AJ Index: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 700 | 0.960 | 2/17/51 | 118,552 | (435,414 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,260 | 0.960 | 2/17/51 | 670,524 | (2,027,787 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,050 | 0.960 | 2/17/51 | 348,319 | (1,280,858 | ) | |||||||||||||||||||
Total | 6,010 | 1,137,395 | (3,744,059 | ) | ||||||||||||||||||||||
CMBX.AAA.4 Index: | ||||||||||||||||||||||||||
Credit Suisse International | Buy | 6,250 | 0.350 | 2/17/51 | (2,037,952 | ) | 1,904,199 | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Buy | 12,500 | 0.350 | 2/17/51 | (4,075,903 | ) | 3,808,398 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 14,100 | 0.350 | 2/17/51 | (4,496,814 | ) | 4,295,873 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 12,500 | 0.350 | 2/17/51 | (3,866,610 | ) | 3,808,398 | |||||||||||||||||||
Total | 45,350 | (14,477,279 | ) | 13,816,868 |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
Constellation Brands, Inc. JPMorgan Chase Bank NA, NY Branch | Sell | $ | 525 | 3.970 | % | 9/20/13 | $ | — | $ | (21,244 | ) | |||||||||||||||
Total | 525 | — | (21,244 | ) | ||||||||||||||||||||||
Dean Foods Co.: | ||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 915 | 1.030 | 6/20/11 | — | (72,325 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 915 | 1.060 | 6/20/11 | — | (71,704 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 500 | 1.050 | 6/20/11 | — | (39,296 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 975 | 1.080 | 6/20/11 | — | (75,965 | ) | |||||||||||||||||||
Total | 3,305 | — | (259,290 | ) | ||||||||||||||||||||||
Development Bank of Kazakhstan JSC Credit Suisse International | Sell | 8,170 | 3.750 | 2/20/13 | — | (1,608,114 | ) | |||||||||||||||||||
Total | 8,170 | — | (1,608,114 | ) | ||||||||||||||||||||||
Eastman Kodak Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Buy | 625 | 4.050 | 12/20/18 | — | 105,619 | ||||||||||||||||||||
Credit Suisse International | Buy | 665 | 4.010 | 12/20/18 | — | 113,821 | ||||||||||||||||||||
Credit Suisse International | Buy | 1,110 | 3.700 | 12/20/18 | — | 208,640 | ||||||||||||||||||||
Total | 2,400 | — | 428,080 | |||||||||||||||||||||||
Barclays Bank plc | Sell | 625 | 4.000 | 12/20/13 | — | (81,833 | ) | |||||||||||||||||||
Barclays Bank plc | Sell | 665 | 3.960 | 12/20/13 | — | (88,027 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,110 | 3.650 | 12/20/13 | — | (159,302 | ) | |||||||||||||||||||
Total | 2,400 | — | (329,162 | ) | ||||||||||||||||||||||
El Paso Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 435 | 2.800 | 3/20/18 | — | (114,622 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 460 | 2.900 | 3/20/18 | — | (118,946 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,175 | 2.890 | 3/20/18 | — | (304,407 | ) | |||||||||||||||||||
Total | 2,070 | — | (537,975 | ) | ||||||||||||||||||||||
Energy Future Holdings Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 940 | 1.530 | 6/20/11 | — | (281,156 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 490 | 1.610 | 6/20/11 | — | (145,886 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 935 | 1.530 | 6/20/11 | — | (279,661 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 960 | 1.580 | 6/20/11 | — | (286,313 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 960 | 1.590 | 6/20/11 | — | (286,148 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,210 | 1.620 | 6/20/11 | — | (360,041 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,405 | 2.060 | 6/20/11 | — | (407,433 | ) | |||||||||||||||||||
Total | 6,900 | — | (2,046,638 | ) | ||||||||||||||||||||||
Federative Republic of Brazil | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 3,250 | 4.250 | 12/20/13 | — | 183,797 | ||||||||||||||||||||
Total | 3,250 | — | 183,797 | |||||||||||||||||||||||
Ford Motor Co.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 720 | 5.000 | 12/20/18 | 388,800 | (508,518 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 2,065 | 6.000 | 12/20/16 | — | (1,376,816 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 3,180 | 5.850 | 12/20/16 | — | (2,124,056 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 2,540 | 5.800 | 12/20/16 | — | (1,697,591 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,065 | 6.000 | 12/20/16 | — | (1,376,816 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 2,450 | 5.300 | 12/20/12 | — | (1,552,270 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 2,065 | 6.150 | 12/20/16 | — | (1,374,332 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,690 | 5.000 | 12/20/13 | 929,500 | (1,145,006 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 520 | 5.900 | 12/20/16 | — | (347,121 | ) | |||||||||||||||||||
Total | 17,295 | 1,318,300 | (11,502,526 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | $ | 1,800 | 2.320 | % | 3/20/12 | $ | — | $ | (287,548 | ) | |||||||||||||||
Credit Suisse International | Sell | 3,425 | 2.385 | 3/20/12 | — | (546,655 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,150 | 2.550 | 3/20/12 | — | (183,135 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 2,760 | 2.390 | 3/20/12 | — | (440,486 | ) | |||||||||||||||||||
Total | 9,135 | — | (1,457,824 | ) | ||||||||||||||||||||||
General Electric Capital Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,064 | 8.000 | 12/20/09 | — | 31,349 | ||||||||||||||||||||
Barclays Bank plc | Sell | 1,745 | 5.750 | 12/20/09 | — | 13,658 | ||||||||||||||||||||
Credit Suisse International | Sell | 936 | 8.000 | 12/20/09 | — | 27,577 | ||||||||||||||||||||
Total | 3,745 | — | 72,584 | |||||||||||||||||||||||
General Motors Corp.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 3,465 | 5.000 | 12/20/13 | 2,217,600 | (2,742,500 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 3,220 | 5.000 | 12/20/18 | 2,157,400 | (2,549,307 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,650 | 4.750 | 12/20/16 | — | (1,320,188 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 2,035 | 4.680 | 12/20/16 | — | (1,629,468 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 1,650 | 4.950 | 12/20/16 | — | (1,317,326 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,545 | 4.750 | 12/20/16 | — | (2,036,291 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 1,635 | 4.050 | 12/20/12 | — | (1,307,365 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,650 | 4.900 | 12/20/16 | — | (1,318,041 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 420 | 4.620 | 12/20/16 | — | (336,522 | ) | |||||||||||||||||||
Total | 18,270 | 4,375,000 | (14,557,008 | ) | ||||||||||||||||||||||
Gisad Dis Ticaret AS | Morgan Stanley Capital Services, Inc. | Sell | 6,386 EUR | 3.000 | 3/23/13 | — | (847,671 | ) | ||||||||||||||||||
Total | 6,386 EUR | — | (847,671 | ) | ||||||||||||||||||||||
GMAC LLC: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 1,690 | 1.390 | 3/20/17 | — | (496,187 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 3,205 | 5.000 | 3/20/09 | 464,725 | (376,357 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,040 | 1.390 | 3/20/17 | — | (305,346 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,200 | 1.370 | 3/20/17 | — | (352,634 | ) | |||||||||||||||||||
Total | 7,135 | 464,725 | (1,530,524 | ) | ||||||||||||||||||||||
Harrah’s Operating Co., Inc. Credit Suisse International | Sell | 1,275 | 5.000 | 3/20/10 | 81,281 | (291,481 | ) | |||||||||||||||||||
Total | 1,275 | 81,281 | (291,481 | ) | ||||||||||||||||||||||
HSBK Europe BV: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 1,600 | 4.950 | 3/20/13 | — | (258,177 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,200 | 4.780 | 3/20/13 | — | (532,357 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,200 | 4.880 | 3/20/13 | — | (522,943 | ) | |||||||||||||||||||
Total | 8,000 | — | (1,313,477 | ) | ||||||||||||||||||||||
Idearc, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 35 | 5.000 | 12/20/09 | 7,175 | (25,319 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,560 | 5.000 | 9/20/09 | 213,150 | (1,138,498 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 315 | 5.000 | 9/20/09 | 40,950 | (229,889 | ) | |||||||||||||||||||
Total | 1,910 | 261,275 | (1,393,706 | ) | ||||||||||||||||||||||
Intelsat Ltd.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 430 | 5.000 | 3/20/09 | — | 774 | ||||||||||||||||||||
Credit Suisse International | Sell | 425 | 4.400 | 3/20/09 | — | 664 | ||||||||||||||||||||
Credit Suisse International | Sell | 50 | 5.750 | 3/20/09 | — | 105 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 175 | 4.400 | 3/20/09 | — | 274 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 430 | 4.750 | 3/20/09 | — | 731 | ||||||||||||||||||||
Deutsche Bank AG | Sell | 260 | 5.000 | 3/20/09 | — | 468 | ||||||||||||||||||||
Total | 1,770 | — | 3,016 |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
Islamic Republic of Pakistan Citibank NA, New York | Sell | $ | 1,570 | 5.100 | % | 3/20/13 | $ | — | $ | (680,019 | ) | |||||||||||||||
Total | 1,570 | — | (680,019 | ) | ||||||||||||||||||||||
Istanbul Bond Company SA | Morgan Stanley Capital Services, Inc. | Sell | 5,180 | 1.300 | 3/24/13 | — | (950,334 | ) | ||||||||||||||||||
Total | 5,180 | — | (950,334 | ) | ||||||||||||||||||||||
iStar Financial, Inc.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 100 | 4.000 | 12/20/12 | — | (54,469 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 765 | 4.150 | 12/20/12 | — | (415,969 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 410 | 12.000 | 3/20/09 | — | (44,835 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 560 | 4.320 | 12/20/12 | — | (303,901 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 770 | 4.500 | 12/20/12 | — | (416,992 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 935 | 4.000 | 12/20/12 | — | (509,289 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 1,015 | 12.000 | 3/20/09 | — | (110,994 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 2,060 | 3.950 | 12/20/12 | — | (1,122,719 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 450 | 4.860 | 12/20/12 | — | (242,677 | ) | |||||||||||||||||||
UBS AG | Sell | 410 | 4.560 | 12/20/12 | — | (221,880 | ) | |||||||||||||||||||
Total | 7,475 | — | (3,443,725 | ) | ||||||||||||||||||||||
Jefferson Smurfit Corp. US: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 275 | 8.000 | 12/20/13 | — | (198,315 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 515 | 6.700 | 6/20/13 | — | (377,023 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 640 | 6.800 | 6/20/13 | — | (467,986 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 685 | 7.950 | 12/20/13 | — | (494,281 | ) | |||||||||||||||||||
Total | 2,115 | — | (1,537,605 | ) | ||||||||||||||||||||||
Massey Energy Co.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 605 | 5.000 | 3/20/13 | — | (42,079 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 215 | 5.000 | 3/20/13 | — | (14,954 | ) | |||||||||||||||||||
UBS AG | Sell | 360 | 5.050 | 9/20/12 | — | (25,187 | ) | |||||||||||||||||||
UBS AG | Sell | 600 | 5.100 | 9/20/12 | — | (41,093 | ) | |||||||||||||||||||
Total | 1,780 | — | (123,313 | ) | ||||||||||||||||||||||
MGM Mirage: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 1,465 | 5.000 | 12/20/13 | 483,450 | (537,504 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,565 | 5.000 | 12/20/13 | 391,250 | (574,193 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 545 | 8.400 | 12/20/13 | — | (156,837 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 905 | 8.400 | 12/20/13 | — | (260,435 | ) | |||||||||||||||||||
Total | 4,480 | 874,700 | (1,528,969 | ) | ||||||||||||||||||||||
Morgan Stanley: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 1,910 | 7.800 | 12/20/13 | — | 285,683 | ||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 2,250 | 7.800 | 12/20/13 | — | 336,537 | ||||||||||||||||||||
Total | 4,160 | — | 622,220 | |||||||||||||||||||||||
Nalco Co.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 575 | 4.500 | 9/20/13 | — | (57,247 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 595 | 3.600 | 9/20/12 | — | (59,269 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 555 | 4.170 | 9/20/13 | — | (61,684 | ) | |||||||||||||||||||
Goldman Sachs Bank USA | Sell | 555 | 4.250 | 9/20/13 | — | (60,126 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 660 | 3.700 | 9/20/12 | — | (63,767 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 590 | 4.700 | 9/20/13 | — | (54,598 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 1,070 | 4.700 | 9/20/13 | — | (99,017 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 590 | 4.650 | 9/20/13 | — | (55,634 | ) | |||||||||||||||||||
Total | 5,190 | — | (511,342 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
Owens-Illinois, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | $ | 520 | 2.500 | % | 6/20/13 | $ | — | $ | (25,236 | ) | |||||||||||||||
Credit Suisse International | Sell | 305 | 2.500 | 6/20/13 | — | (14,802 | ) | |||||||||||||||||||
Deutsche Bank AG | Sell | 145 | 2.500 | 6/20/13 | — | (7,037 | ) | |||||||||||||||||||
Total | 970 | — | (47,075 | ) | ||||||||||||||||||||||
PEMEX Project Funding Master | Goldman Sachs International | Buy | 1,005 | 3.450 | 11/20/13 | — | (16,121 | ) | ||||||||||||||||||
Total | 1,005 | — | (16,121 | ) | ||||||||||||||||||||||
Reliant Energy, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 500 | 2.450 | 9/20/11 | — | (72,858 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 1,200 | 2.600 | 9/20/11 | — | (170,831 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 970 | 5.750 | 12/20/13 | — | (147,183 | ) | |||||||||||||||||||
Merrill Lynch International | Sell | 595 | 2.050 | 9/20/11 | — | (92,027 | ) | |||||||||||||||||||
Total | 3,265 | — | (482,899 | ) | ||||||||||||||||||||||
Republic of Peru | Deutsche Bank AG | Buy | 1,900 | 1.710 | 12/20/16 | — | 224,755 | |||||||||||||||||||
Total | 1,900 | — | 224,755 | |||||||||||||||||||||||
Republic of the Philippines: | ||||||||||||||||||||||||||
UBS AG | Sell | 3,095 | 1.450 | 6/20/17 | — | (479,516 | ) | |||||||||||||||||||
UBS AG | Sell | 1,870 | 2.500 | 6/20/17 | — | (170,893 | ) | |||||||||||||||||||
Total | 4,965 | — | (650,409 | ) | ||||||||||||||||||||||
Republic of Turkey: | ||||||||||||||||||||||||||
Citibank NA, New York | Buy | 3,250 | 5.250 | 12/20/13 | — | (122,621 | ) | |||||||||||||||||||
Goldman Sachs International | Buy | 6,500 | 5.290 | 12/20/13 | — | (255,809 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 3,230 | 2.670 | 9/20/13 | — | 186,067 | ||||||||||||||||||||
Total | 12,980 | — | (192,363 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 940 | 2.640 | 8/20/13 | — | (52,118 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,285 | 2.680 | 9/20/13 | — | (73,489 | ) | |||||||||||||||||||
Total | 2,225 | — | (125,607 | ) | ||||||||||||||||||||||
R.H. Donnelley Corp.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 535 | 5.000 | 9/20/10 | 96,300 | (241,281 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 745 | 5.000 | 9/20/10 | 163,900 | (335,989 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 325 | 5.000 | 9/20/10 | 58,500 | (146,572 | ) | |||||||||||||||||||
Total | 1,605 | 318,700 | (723,842 | ) | ||||||||||||||||||||||
Rite Aid Corp.: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 10 | 7.500 | 3/20/09 | — | (512 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 55 | 8.060 | 3/20/09 | — | (2,743 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 2,600 | 5.000 | 12/20/09 | 185,250 | (592,454 | ) | |||||||||||||||||||
Total | 2,665 | 185,250 | (595,709 | ) | ||||||||||||||||||||||
Russian Federation | Citibank NA, New York | Sell | 10,000 | 0.360 | 1/20/11 | — | (1,325,541 | ) | ||||||||||||||||||
Total | 10,000 | — | (1,325,541 | ) | ||||||||||||||||||||||
Standard Bank London Holdings | ||||||||||||||||||||||||||
PLC for NAK Naftogaz Ukrainy | Credit Suisse International | Sell | 2,570 | 3.250 | 4/20/11 | — | (1,043,967 | ) | ||||||||||||||||||
Total | 2,570 | — | (1,043,967 | ) | ||||||||||||||||||||||
Station Casinos, Inc.: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 500 | 5.000 | 6/20/13 | 90,000 | (395,983 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 295 | 5.000 | 6/20/13 | 51,994 | (232,000 | ) | |||||||||||||||||||
Total | 795 | 141,994 | (627,983 | ) | ||||||||||||||||||||||
Tribune Co.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 435 | 5.000 | 1/16/09 | 139,200 | (407,866 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 460 | 5.000 | 1/16/09 | 150,650 | (431,306 | ) | |||||||||||||||||||
Citibank NA, New York | Sell | 520 | 5.000 | % | 1/16/09 | 171,600 | (487,563 | ) | ||||||||||||||||||
Citibank NA, New York | Sell | 475 | 5.000 | 1/16/09 | 166,250 | (445,370 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 370 | 6.350 | 1/16/09 | — | (346,920 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 70 | 5.000 | 1/16/09 | 15,400 | (65,634 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | |||||||||||||||||||||||
Credit | Amount | Fixed | Termination | Received/ | ||||||||||||||||||||||
Swap Reference Entity | Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | |||||||||||||||||||
Tribune Co.: Continued Credit Suisse International | Sell | $ | 315 | 5.000 | 1/16/09 | $ | 72,450 | $ | (295,351 | ) | ||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 520 | 5.000 | 1/16/09 | 124,800 | (487,563 | ) | |||||||||||||||||||
Total | 3,165 | 840,350 | (2,967,573 | ) | ||||||||||||||||||||||
Troy Capital SA for Yasar Holdings SA: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,340 | 8.750 | 6/20/10 | — | (227,909 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,340 | 8.500 | 10/20/09 | — | (149,551 | ) | |||||||||||||||||||
Total | 2,680 | — | (377,460 | ) | ||||||||||||||||||||||
Ukraine: | ||||||||||||||||||||||||||
Citibank NA, New York | Buy | 1,660 | 4.180 | 8/20/13 | — | 908,306 | ||||||||||||||||||||
Citibank NA, New York | Buy | 2,340 | 6.650 | 10/20/13 | — | 1,248,168 | ||||||||||||||||||||
Goldman Sachs International | Buy | 7,580 | 4.220 | 8/20/13 | — | 4,144,509 | ||||||||||||||||||||
Merrill Lynch International | Buy | 7,580 | 4.300 | 8/20/13 | — | 4,138,415 | ||||||||||||||||||||
UBS AG | Buy | 3,350 | 4.180 | 8/20/13 | — | 1,833,026 | ||||||||||||||||||||
Total | 22,510 | — | 12,272,424 | |||||||||||||||||||||||
Univision Communications, Inc.: | ||||||||||||||||||||||||||
Citibank NA, New York | Sell | 670 | 5.000 | 12/20/09 | 46,900 | (230,086 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 535 | 14.600 | 3/20/09 | — | (38,667 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 510 | 5.000 | 6/20/09 | 51,000 | (168,603 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 125 | 5.000 | 6/20/09 | 13,750 | (41,324 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 105 | 5.000 | 6/20/09 | 6,300 | (34,712 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 340 | 5.000 | 6/20/09 | 44,200 | (112,402 | ) | |||||||||||||||||||
UBS AG | Sell | 235 | 5.000 | 6/20/09 | 21,150 | (77,690 | ) | |||||||||||||||||||
Total | 2,520 | 183,300 | (703,484 | ) | ||||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 995 | 0.630 | 3/20/17 | — | 163,135 | ||||||||||||||||||||
Total | 995 | — | 163,135 | |||||||||||||||||||||||
Deutsche Bank AG | Sell | 995 | 1.050 | 3/20/17 | — | (134,152 | ) | |||||||||||||||||||
Total | 995 | — | (134,152 | ) | ||||||||||||||||||||||
VTB Capital SA | Goldman Sachs International | Buy | 3,300 | 7.400 | 5/28/13 | — | 407,923 | |||||||||||||||||||
Total | 3,300 | — | 407,923 | |||||||||||||||||||||||
Grand Total Buys | (14,477,279 | ) | 27,308,063 | |||||||||||||||||||||||
Grand Total Sells | 42,997,108 | (126,486,591 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 28,519,829 | $ | (99,178,528 | ) | |||||||||||||||||||||
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which the | Payments for Selling Credit | Reference Asset | ||||||||||
Fund Sold Protection | Protection (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||
Asset-Backed Indexes | $ | 11,290,000 | $ | — | AAA to AA | |||||||
CMBS Indexes | 16,060,000 | — | AAA | |||||||||
Investment Grade Corporate Debt Indexes | 53,131,520 | — | A to A- | |||||||||
Non-Investment Grade Corporate Debt Indexes | 284,194,000 | — | B- | |||||||||
Single Name Corporate Debt | 32,075,000 | — | AAA to BBB- | |||||||||
Single Name Corporate Debt | 104,750,000 | 2,400,000 | BB+ to D | |||||||||
Sovereign Debt | 10,000,000 | — | BBB | |||||||||
Sovereign Debt | 29,485,000 | — | BB+ to CCC+ | |||||||||
Total | $ | 540,985,520 | $ | 2,400,000 | ||||||||
* | Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The reference asset security rating, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential payment by the Fund if the reference asset experiences a credit event as of period end. |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
AUD BBR BBSW | ||||||||||||||||||||
Six-Month | ||||||||||||||||||||
Westpac Banking Corp. | 25,500 AUD | AUD BBR BBSW | 4.880 | % | 12/3/18 | $ | 696,838 | |||||||||||||
BZDI: | ||||||||||||||||||||
Banco Santander Central Hispano SA | 56,000 BRR | BZDI | 12.290 | 1/4/10 | 866,506 | |||||||||||||||
Banco Santander Central Hispano SA | 4,420 BRR | BZDI | 14.000 | 1/3/12 | 101,628 | |||||||||||||||
Banco Santander SA, Inc. | 32,480 BRR | BZDI | 14.900 | 1/2/12 | 567,828 | |||||||||||||||
Banco Santander SA, Inc. | 8,490 BRR | BZDI | 13.550 | 1/2/17 | 159,393 | |||||||||||||||
Goldman Sachs Capital Markets LP | 21,000 BRR | BZDI | 14.550 | 1/4/10 | 410,455 | |||||||||||||||
Goldman Sachs International | 2,640 BRR | BZDI | 14.100 | 1/2/17 | 45,150 | |||||||||||||||
Goldman Sachs International | 17,000 BRR | BZDI | 13.900 | 1/2/17 | 224,897 | |||||||||||||||
J Aron & Co. | 43,800 BRR | BZDI | 10.670 | 1/2/12 | (1,178,550 | ) | ||||||||||||||
J Aron & Co. | 8,745 BRR | BZDI | 14.160 | 1/2/17 | 226,932 | |||||||||||||||
J Aron & Co. | 8,790 BRR | BZDI | 12.920 | 1/2/14 | 12,028 | |||||||||||||||
J Aron & Co. | 4,390 BRR | BZDI | 12.870 | 1/2/14 | 3,003 | |||||||||||||||
J Aron & Co. | 8,750 BRR | BZDI | 12.710 | 1/4/10 | 63,448 | |||||||||||||||
J Aron & Co. | 15,140 BRR | BZDI | 12.610 | 1/4/10 | 103,570 | |||||||||||||||
J Aron & Co. | 19,400 BRR | BZDI | 12.390 | 1/2/12 | (39,416 | ) | ||||||||||||||
J Aron & Co. | 25,560 BRR | BZDI | 14.890 | 1/4/10 | 772,929 | |||||||||||||||
J Aron & Co. | 6,910 BRR | BZDI | 12.260 | 1/2/15 | (90,244 | ) | ||||||||||||||
J Aron & Co. | 3,160 BRR | BZDI | 12.290 | 1/2/15 | (40,361 | ) | ||||||||||||||
J Aron & Co. | 4,420 BRR | BZDI | 14.050 | 1/2/12 | 102,656 | |||||||||||||||
J Aron & Co. | 13,000 BRR | BZDI | 14.300 | 1/2/17 | 394,263 | |||||||||||||||
J Aron & Co. | 8,550 BRR | BZDI | 13.670 | 1/2/17 | 160,527 | |||||||||||||||
J Aron & Co. | 10,360 BRR | BZDI | 13.100 | 1/2/17 | (5,559 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 19,400 BRR | BZDI | 12.380 | 1/2/12 | (39,814 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 17,080 BRR | BZDI | 13.900 | 1/2/17 | 226,073 | |||||||||||||||
JPMorgan Chase Bank NA | 8,750 BRR | BZDI | 13.910 | 1/2/12 | 201,970 | |||||||||||||||
JPMorgan Chase Bank NA | 15,800 BRR | BZDI | 13.900 | 1/2/17 | 325,710 | |||||||||||||||
Morgan Stanley | 12,860 BRR | BZDI | 14.950 | 1/2/17 | 493,892 | |||||||||||||||
Morgan Stanley | 12,860 BRR | BZDI | 15.000 | 1/2/17 | 496,976 | |||||||||||||||
Morgan Stanley | 8,540 BRR | BZDI | 14.800 | 1/2/17 | 259,052 | |||||||||||||||
Morgan Stanley | 32,000 BRR | BZDI | 13.900 | 1/2/17 | 659,665 | |||||||||||||||
Morgan Stanley | 8,540 BRR | BZDI | 14.860 | 1/2/17 | 259,049 | |||||||||||||||
Morgan Stanley Capital Services, Inc. | 5,590 BRR | BZDI | 13.930 | 1/2/17 | 104,917 | |||||||||||||||
UBS AG | 9,100 BRR | BZDI | 14.340 | 1/2/17 | 276,039 | |||||||||||||||
Reference Entity Total | 473,525 BRR | 6,124,612 | ||||||||||||||||||
CNY CFXSREPOFIX01 | ||||||||||||||||||||
CNY | ||||||||||||||||||||
CFXSREPOFIX | ||||||||||||||||||||
Goldman Sachs International | 18,300 cny | 4.00 | % | 01 | 2/16/17 | (199,593 | ) | |||||||||||||
CZK PRIBOR PRBO: | ||||||||||||||||||||
Six-Month CZK | ||||||||||||||||||||
Citibank NA, New York | 297,000 CZK | PRIBOR PRBO | 3.560 | 9/27/10 | 327,625 | |||||||||||||||
Six-Month CZK | 2.76% times | |||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 338,000 CZK | PRIBOR PRBO | UDI | 12/5/10 | 102,350 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 142,000 CZK | PRIBOR PRBO | 3.760 | 10/6/18 | 354,415 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
JPMorgan Chase Bank NA | 338,000 CZK | PRIBOR PRBO | 2.750 | 12/5/10 | 100,135 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
JPMorgan Chase Bank NA | 294,700 CZK | PRIBOR PRBO | 3.470 | 9/18/10 | 298,233 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
JPMorgan Chase Bank NA | 240,000 CZK | PRIBOR PRBO | 3.560 | 9/12/10 | 267,393 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
JPMorgan Chase Bank NA | 326,000 CZK | PRIBOR PRBO | 3.300 | 10/17/10 | 298,591 | |||||||||||||||
Six-Month CZK | ||||||||||||||||||||
Morgan Stanley | 140,800 CZK | PRIBOR PRBO | 3.830 | 10/3/18 | 396,999 | |||||||||||||||
Reference Entity Total | 2,116,500 CZK | 2,145,741 |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
HUF BUBOR Reuters: | ||||||||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Barclays Bank plc | 1,433,000 HUF | BUBOR Reuters | 7.820 | % | 9/19/13 | $ | (36,212 | ) | ||||||||||||
Six-Month HUF | ||||||||||||||||||||
Barclays Bank plc | 866,000 HUF | BUBOR Reuters | 7.180 | 10/8/18 | (133,134 | ) | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Citibank NA | 852,000 HUF | BUBOR Reuters | 7.200 | 10/8/18 | (79,424 | ) | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Citibank NA | 853,000 HUF | BUBOR Reuters | 7.180 | 10/3/18 | (132,447 | ) | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 866,000 HUF | BUBOR Reuters | 7.200 | 10/6/18 | (80,729 | ) | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 1,905,000 HUF | BUBOR Reuters | 8.600 | 12/17/10 | 53,169 | |||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 666,000 HUF | BUBOR Reuters | 7.890 | 9/12/13 | (8,590 | ) | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 1,142,000 HUF | BUBOR Reuters | 8.480 | 6/6/13 | 365,682 | |||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 753,000 HUF | BUBOR Reuters | 7.880 | 8/12/13 | (14,794 | ) | ||||||||||||||
Reference Entity Total | 9,336,000 HUF | (66,479 | ) | |||||||||||||||||
ILS TELBOR01 Reuters: | ||||||||||||||||||||
Three-Month ILS | ||||||||||||||||||||
Credit Suisse International | 6,220 ILS | TELBOR01 Reuters | 4.650 | 12/22/18 | 24,296 | |||||||||||||||
Three-Month ILS | ||||||||||||||||||||
Credit Suisse International | 6,640 ILS | TELBOR01 Reuters | 4.940 | 12/15/18 | 57,670 | |||||||||||||||
Three-Month ILS | ||||||||||||||||||||
UBS AG | 15,300 ILS | TELBOR01 | 5.880 | 8/28/10 | 485,654 | |||||||||||||||
Three-Month ILS | ||||||||||||||||||||
UBS AG | 15,550 ILS | TELBOR01 | 5.850 | 9/4/18 | 482,001 | |||||||||||||||
Three-Month ILS | ||||||||||||||||||||
UBS AG | 16,930 ILS | TELBOR01 Reuters | 5.036 | 12/12/18 | 149,638 | |||||||||||||||
Reference Entity Total | 60,640 ILS | 1,199,259 | ||||||||||||||||||
MXN TIIE BANXICO: | ||||||||||||||||||||
Banco Santander SA, Inc. | 90,600 MXN | MXN TIIE BANXICO | 8.540 | 9/27/13 | 128,840 | |||||||||||||||
Banco Santander SA, Inc. | 28,100 MXN | MXN TIIE BANXICO | 8.645 | 5/17/18 | 41,078 | |||||||||||||||
Banco Santander SA, Inc. | 31,310 MXN | MXN TIIE BANXICO | 8.570 | 5/3/18 | 34,214 | |||||||||||||||
Citibank NA | 175,200 MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 348,498 | |||||||||||||||
Credit Suisse International | 35,800 MXN | MXN TIIE BANXICO | 8.560 | 9/27/13 | 52,115 | |||||||||||||||
Credit Suisse International | 22,480 MXN | MXN TIIE | 8.300 | 12/17/26 | (39,725 | ) | ||||||||||||||
Goldman Sachs Capital Markets LP | 62,900 MXN | MXN TIIE | 8.140 | 1/10/18 | (62,148 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 54,800 MXN | MXN TIIE BANXICO | 8.540 | 9/27/13 | 77,930 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 174,000 MXN | MXN TIIE BANXICO | 9.350 | 11/18/11 | 473,800 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 563,000 MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 626,909 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 212,800 MXN | MXN TIIE BANXICO | 9.270 | 11/21/11 | 551,637 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 211,300 MXN | MXN TIIE BANXICO | 9.080 | 11/22/11 | 469,571 | |||||||||||||||
J Aron & Co. | 22,300 MXN | MXN TIIE | 9.150 | 8/27/26 | 100,170 | |||||||||||||||
One-Month MXN | ||||||||||||||||||||
J Aron & Co. | 9,700 MXN | TIIE BANXICO | 9.330 | 9/16/26 | 56,119 | |||||||||||||||
One-Month MXN | ||||||||||||||||||||
JPMorgan Chase Bank NA | 224,300 MXN | TIIE BANXICO | 9.580 | 10/23/18 | 1,447,385 | |||||||||||||||
JPMorgan Chase Bank NA | 560,000 MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 623,569 | |||||||||||||||
JPMorgan Chase Bank NA | 171,100 MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 340,343 | |||||||||||||||
JPMorgan Chase Bank NA | 27,055 MXN | MXN TIIE BANXICO | 9.320 | 6/1/18 | 121,672 | |||||||||||||||
Merrill Lynch Capital Services, Inc. | 36,370 MXN | MXN TIIE BANXICO | 8.570 | 5/11/18 | 40,143 | |||||||||||||||
One-Month MXN | ||||||||||||||||||||
Morgan Stanley | 67,300 MXN | TIIE BANXICO | 9.070 | 11/26/18 | 240,451 | |||||||||||||||
Reference Entity Total | 2,780,415 MXN | 5,672,571 |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
PLZ WIBOR WIBO: | ||||||||||||||||||||
Six-Month PLZ | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 21,640 PLZ | WIBOR WIBO | 5.330 | % | 10/6/18 | $ | 508,035 | |||||||||||||
Six-Month PLZ | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 21,700 PLZ | WIBOR WIBO | 5.320 | 10/3/18 | 507,851 | |||||||||||||||
Six-Month PLZ | ||||||||||||||||||||
Goldman Sachs International | 23,970 PLZ | WIBOR WIBO | 6.140 | 8/26/10 | 212,618 | |||||||||||||||
Six-Month PLZ | ||||||||||||||||||||
JPMorgan Chase Bank NA | 15,840 PLZ | WIBOR WIBO | 6.040 | 8/8/13 | 393,362 | |||||||||||||||
Reference Entity Total | 83,150 PLZ | 1,621,866 | ||||||||||||||||||
SEK STIBOR SIDE: | ||||||||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Barclays Bank plc | 40,595 SEK | 3.14 | % | STIBOR SIDE | 12/9/18 | 14,718 | ||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Barclays Bank plc | 30,400 SEK | 3.22 | STIBOR SIDE | 12/22/18 | (3,785 | ) | ||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Barclays Bank plc | 50,700 SEK | 3.52 | STIBOR SIDE | 12/15/18 | (195,662 | ) | ||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Deutsche Bank AG, London | 10,150 SEK | 3.13 | STIBOR SIDE | 12/09/18 | 24,436 | |||||||||||||||
Total where Fund pays a fixed rate | 131,845 SEK | (160,293 | ) | |||||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Deutsche Bank AG | 59,900 SEK | STIBOR SIDE | 5.110 | 7/16/18 | 1,357,549 | |||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Goldman Sachs International | 59,900 SEK | STIBOR SIDE | 5.080 | 7/17/18 | 1,337,339 | |||||||||||||||
Three-Month SEK | ||||||||||||||||||||
Goldman Sachs International | 44,200 SEK | STIBOR SIDE | 4.840 | 8/21/18 | 851,459 | |||||||||||||||
Total where Fund pays a variable rate | 164,000 SEK | 3,546,347 | ||||||||||||||||||
Reference Entity Total | 295,845 SEK | 3,386,054 | ||||||||||||||||||
ZAR JIBAR SAFEX: | ||||||||||||||||||||
Three-Month ZAR | ||||||||||||||||||||
JPMorgan Chase Bank NA | 85,400 ZAR | 8.93 | JIBAR SAFEX | 11/3/18 | (680,757 | ) | ||||||||||||||
Three-Month ZAR | ||||||||||||||||||||
UBS AG | 85,400 ZAR | 8.92 | JIBAR SAFEX | 11/3/18 | (681,438 | ) | ||||||||||||||
Reference Entity Total | 170,800 ZAR | (1,362,195 | ) | |||||||||||||||||
Total Interest Rate Swaps | $ | 19,218,674 | ||||||||||||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CNY | Chinese Renminbi (Yuan) | |
CZK | Czech Koruna | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
MXN | Mexican Nuevo Peso | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand | |
Abbreviations/Definitions are as follows: | ||
BANXICO | Banco de Mexico | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian financial market) | |
BUBOR Reuters | Budapest Interbank Offered Rate | |
BZDI | Brazil Interbank Deposit Rate | |
CFXSREPOFIX01 | Chinese Renminbi 7 Days Repurchase Fixing Rates | |
JIBAR | South African Rand-Johannesburg Interbank Agreed Rate |
PRIBOR PRBO | Prague Interbank Offering Rate | |
SAFEX | South African Futures Exchange | |
STIBOR-SIDE | Stockholm Interbank Offered Rate | |
TELBOR01 | Tel Aviv Interbank Offered Rate 1 Month | |
TIIE | Interbank Equilibrium Interest Rate | |
UDI | Unidad de Inversion (Unit of Investment) | |
WIBOR-WIBO | Poland Warsaw Interbank Offer Bid Rate |
Notional | Upfront | |||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | Payment | |||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Received/(Paid) | Value | ||||||||||||||||||
Banc of America Securities LLC | ||||||||||||||||||||||||
AAA 10 yr. CMBS Daily Index*: | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 49,660 | A | D | 3/31/09 | $ | — | $ | 10,697,178 | |||||||||||||||
Morgan Stanley | 15,320 | B | C | 3/31/09 | — | 3,767,316 | ||||||||||||||||||
Reference Entity Total | — | 14,464,494 | ||||||||||||||||||||||
Barclays Capital U.S. | ||||||||||||||||||||||||
CMBS AAA Index*: | ||||||||||||||||||||||||
Citibank NA | 15,700 | A | D | 2/1/09 | — | 1,715,434 | ||||||||||||||||||
Citibank NA | 7,800 | A | D | 2/1/09 | — | 857,347 | ||||||||||||||||||
Morgan Stanley | 28,300 | A | D | 3/1/09 | — | 3,101,147 | ||||||||||||||||||
Reference Entity Total | — | 5,673,928 | ||||||||||||||||||||||
Barclays Capital U.S. | ||||||||||||||||||||||||
CMBS AAA 8.5+ Index*: | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 11,540 | A | D | 3/1/09 | — | 1,957,376 | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 6,830 | A | D | 1/1/09 | — | 1,166,789 | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 24,720 | A | D | 2/1/09 | — | 4,220,835 | ||||||||||||||||||
JPMorgan Chase | 6,520 | A | D | 2/1/09 | — | 1,103,750 | ||||||||||||||||||
Morgan Stanley | 5,110 | A | D | 3/1/09 | — | 871,329 | ||||||||||||||||||
Morgan Stanley | 5,280 | A | D | 2/1/09 | — | 888,941 | ||||||||||||||||||
Morgan Stanley | 5,280 | A | D | 2/1/09 | — | 898,522 | ||||||||||||||||||
Morgan Stanley | 12,530 | A | D | 1/1/09 | — | 2,134,377 | ||||||||||||||||||
Morgan Stanley | 9,120 | A | D | 2/1/09 | — | 1,559,164 | ||||||||||||||||||
Morgan Stanley | 11,490 | A | D | 2/1/09 | — | 1,948,895 | ||||||||||||||||||
Reference Entity Total | — | 16,749,978 | ||||||||||||||||||||||
BOVESPA Index | ||||||||||||||||||||||||
If negative, the absolute | ||||||||||||||||||||||||
If positive, the | value of the Total | |||||||||||||||||||||||
Total Return of the | Return of the | |||||||||||||||||||||||
Citibank NA | 8,844 BRR | BOVESPA Index | BOVESPA Index | 2/20/09 | — | 213,901 | ||||||||||||||||||
Constant Maturity Option Price: | ||||||||||||||||||||||||
The Constant Maturity | ||||||||||||||||||||||||
Option Price divided | ||||||||||||||||||||||||
Merrill Lynch | 54,700 | 4.66 | % | by 10,000 | 6/11/17 | (1,823,698 | ) | (3,066,091 | ) | |||||||||||||||
The Constant Maturity | ||||||||||||||||||||||||
Option Price divided | ||||||||||||||||||||||||
Merrill Lynch | 15,380 | 5.33 | by 10,000 | 8/13/17 | 91,511 | (2,032,151 | ) | |||||||||||||||||
Reference Entity Total | (1,732,187 | ) | (5,098,242 | ) | ||||||||||||||||||||
Custom basket of securities: | ||||||||||||||||||||||||
One-Month USD BBA | ||||||||||||||||||||||||
LIBOR plus 20 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Deutsche Bank AG, London | 8,408 | equity basket | equity basket | 10/5/09 | — | 317,946 | ||||||||||||||||||
One-Month EUR BBA | ||||||||||||||||||||||||
LIBOR plus 25 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Morgan Stanley | 5,365 EUR | basket of securities | basket of securities | 3/6/09 | — | 522,105 | ||||||||||||||||||
One-Month EUR BBA | ||||||||||||||||||||||||
LIBOR plus 30 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Morgan Stanley International | 5,208 EUR | basket of securities | basket of securities | 10/7/08 | — | 298,665 | ||||||||||||||||||
Reference Entity Total | — | 1,138,716 |
Notional | Upfront | |||||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | Payment | |||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Received/(Paid) | Value | ||||||||||||||||||
Custom basket of securities traded on the London Stock Exchange | One-Month GBP BBA | |||||||||||||||||||||||
LIBOR plus 35 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Citibank NA, New York | 6,530 | GBP | basket of securities | basket of securities | 5/8/09 | $ | — | $ | (94,244 | ) | ||||||||||||||
Custom basket of securities traded on the New York Stock Exchange | One-Month USD BBA | |||||||||||||||||||||||
LIBOR plus 30 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Goldman Sachs International | 34,457 | equity basket | equity basket | 6/8/09 | — | 5,191,739 | ||||||||||||||||||
Custom basket of securities traded on the Tokyo Stock Exchange, Inc. | One-Month JPY BBA | |||||||||||||||||||||||
LIBOR plus 40 basis | ||||||||||||||||||||||||
points and if negative, | ||||||||||||||||||||||||
the absolute value of the | If positive, the Total | |||||||||||||||||||||||
Total Return of a custom | Return of a custom | |||||||||||||||||||||||
Citibank NA, New York | 902,674 | JPY | basket of securities | basket of securities | 4/14/09 | — | 1,383,993 | |||||||||||||||||
Each of JSC “Rushydro” (Open Joint Stock Company, Federal Hydrogeneration Company) and OJSC Saratovskaya HPP and any Successor(s) to these Reference Entities | 7.75% from debt | |||||||||||||||||||||||
obligations of JSC | ||||||||||||||||||||||||
Morgan Stanley | Three-Month USD | Rushydro and OJSC | ||||||||||||||||||||||
Capital Services, Inc. | 271,430 | RUR | BBA LIBOR | Saratovskaya HPP | 12/26/13 | — | (4,693,128 | ) | ||||||||||||||||
EURX/EURX SMI INDEX | If negative, the absolute | |||||||||||||||||||||||
value of the Total | If positive, the Total | |||||||||||||||||||||||
Goldman Sachs Group, | Return of the | Return of the | ||||||||||||||||||||||
Inc. (The) | 3,812 | CHF | EURX SMI Index | EURX SMI Index | 3/24/09 | — | (19,934 | ) | ||||||||||||||||
MSCI DAILY TR NET BELGIUM | One-Month USD BBA | |||||||||||||||||||||||
LIBOR and if negative, | If positive, the Total | |||||||||||||||||||||||
the absolute value MSCI | Return of the MSCI | |||||||||||||||||||||||
Daily of the Net Belgium | Daily Net Belgium | |||||||||||||||||||||||
Citibank NA | 989 | USD Market Index | USD Market Index | 10/7/09 | — | 102,593 | ||||||||||||||||||
MSCI DAILY TR NET BELGIUM | One-Month USD BBA | |||||||||||||||||||||||
LIBOR and if negative, | If positive, the Total | |||||||||||||||||||||||
the absolute value MSCI | Return of the MSCI | |||||||||||||||||||||||
Daily of the Net Belgium | Daily Net Belgium | |||||||||||||||||||||||
Citibank NA | 4,234 | USD Market Index | USD Market Index | 10/7/09 | — | 291,811 | ||||||||||||||||||
MXN TIIE BANXICO: | ||||||||||||||||||||||||
Deutsche Bank AG | 1,620 | Six-Month USD BBA LIBOR | 5.46% times UDI | 5/13/15 | — | 62,682 | ||||||||||||||||||
Deutsche Bank AG | 930 | Six-Month USD LIBOR | 5.25% times UDI | 6/23/15 | — | 10,549 | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 920 | Six-Month USD BBA LIBOR | 5.10% times UDI | 1/14/15 | — | 43,550 | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 920 | Six-Month BBA LIBOR | 5.08% times UDI | 1/20/15 | — | 51,815 | ||||||||||||||||||
Reference Entity Total | — | 168,596 | ||||||||||||||||||||||
Total of Total Return Swaps | $ | (1,732,187 | ) | $ | 35,474,201 | |||||||||||||||||||
* | The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index’s underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index’s underlying holdings, the spread widens. |
BRR | Brazilian Real | |
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
RUR | Russian Ruble | |
Abbreviations/Definitions are as follows: | ||
BANXICO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BOVESPA | Bovespa Index that trades on the Sao Paulo Stock Exchange | |
CMBS | Commercial Mortgage Backed Securities | |
EURX | Euro Index | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
MXN-TIIE | Mexican Nuevo Peso-Interbank Equilibrium Interest Rate | |
SMI | Swiss Market Index | |
UDI | Unidad de Inversion (Unit of Investment) |
B — The Fund makes periodic payments when credit spreads, as represented by the Reference Entity, narrow.
C — The Fund receives periodic payments when credit spreads, as represented by the Reference Entity, widen.
D — The Fund receives periodic payments when credit spreads, as represented by the Reference Entity, narrow.
Notional | ||||||||||||||||||||||
Swap | Amount | Paid by | Received by | Termination | ||||||||||||||||||
Reference Entity | Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
USD BBA LIBOR: | ||||||||||||||||||||||
Three Month USD | ||||||||||||||||||||||
Credit Suisse International | 3,170 TRY | BBA LIBOR | 16.75 | % | 2/26/12 | $ | 158,012 | |||||||||||||||
Three Month USD | ||||||||||||||||||||||
Credit Suisse International | 1,255 TRY | BBA LIBOR | 17.25 | 2/7/12 | 84,253 | |||||||||||||||||
Three Month USD | ||||||||||||||||||||||
Credit Suisse International | 1,890 TRY | BBA LIBOR | 17.30 | 2/9/12 | 125,319 | |||||||||||||||||
Three Month BBA | ||||||||||||||||||||||
Merrill Lynch International | 1,960 TRY | LIBOR | 17.10 | 2/6/12 | 197,343 | |||||||||||||||||
Reference Entity Total | 564,927 | |||||||||||||||||||||
Total Currency Swaps | $ | 564,927 | ||||||||||||||||||||
BBA LIBOR British Bankers’ Association London-Interbank Offered Rate
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
Banco Santander Central Hispano SA | Interest Rate | 60,420 | BRR | $ | 968,134 | |||||||
Banco Santander SA, Inc.: | ||||||||||||
Interest Rate | 40,970 | BRR | 727,221 | |||||||||
Interest Rate | 150,010 | MXN | 204,132 | |||||||||
931,353 | ||||||||||||
Barclays Bank plc: | ||||||||||||
Credit Default Sell Protection | 74,916 | (11,638,473 | ) | |||||||||
Interest Rate | 2,299,000 | HUF | (169,346 | ) | ||||||||
Interest Rate | 121,695 | SEK | (184,729 | ) | ||||||||
(11,992,548 | ) |
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
Citibank NA: | ||||||||||||
Interest Rate | 1,705,000 | HUF | $ | (211,871 | ) | |||||||
Interest Rate | 175,200 | MXN | 348,498 | |||||||||
Total Return | 28,723 | 2,967,185 | ||||||||||
Total Return | 8,844 | BRR | 213,901 | |||||||||
3,317,713 | ||||||||||||
Citibank NA, New York: | ||||||||||||
Credit Default Buy Protection | 7,250 | 2,033,853 | ||||||||||
Credit Default Sell Protection | 32,180 | (7,341,947 | ) | |||||||||
Interest Rate | 297,000 | CZK | 327,625 | |||||||||
Total Return | 6,530 | GBP | (94,244 | ) | ||||||||
Total Return | 902,674 | JPY | 1,383,993 | |||||||||
(3,690,720 | ) | |||||||||||
Credit Suisse International: | ||||||||||||
Credit Default Buy Protection | 8,650 | 2,332,279 | ||||||||||
Credit Default Sell Protection | 71,567 | (14,700,116 | ) | |||||||||
Currency | 6,315 | TRY | 367,584 | |||||||||
Interest Rate | 12,860 | ILS | 81,966 | |||||||||
Interest Rate | 58,280 | MXN | 12,390 | |||||||||
(11,905,897 | ) | |||||||||||
Deutsche Bank AG: | ||||||||||||
Credit Default Buy Protection | 2,895 | 387,890 | ||||||||||
Credit Default Sell Protection | 108,974 | (31,030,392 | ) | |||||||||
Interest Rate | 59,900 | SEK | 1,357,549 | |||||||||
Total Return | 2,550 | 73,231 | ||||||||||
(29,211,722 | ) | |||||||||||
Deutsche Bank AG, London: | ||||||||||||
Interest Rate | 10,150 | SEK | 24,436 | |||||||||
Total Return | 8,408 | 317,946 | ||||||||||
342,382 | ||||||||||||
Goldman Sachs Bank USA | Credit Default Sell Protection | 3,705 | (2,241,236 | ) | ||||||||
Goldman Sachs Capital Markets LP: | ||||||||||||
Interest Rate | 21,000 | BRR | 410,455 | |||||||||
Interest Rate | 62,900 | MXN | (62,148 | ) | ||||||||
348,307 | ||||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||||
Interest Rate | 480,000 | CZK | 456,765 | |||||||||
Interest Rate | 1,215,900 | MXN | 2,199,847 | |||||||||
Interest Rate | 43,340 | PLZ | 1,015,886 | |||||||||
Total Return | 94,590 | 18,137,543 | ||||||||||
Total Return | 3,812 | CHF | (19,934 | ) | ||||||||
21,790,107 | ||||||||||||
Goldman Sachs International: | ||||||||||||
Credit Default Buy Protection | 18,385 | 4,280,502 | ||||||||||
Credit Default Sell Protection | 32,175 | (9,171,538 | ) | |||||||||
Interest Rate | 19,640 | BRR | 270,047 | |||||||||
Interest Rate | 18,300 | CNY | (199,593 | ) | ||||||||
Interest Rate | 23,970 | PLZ | 212,618 | |||||||||
Interest Rate | 104,100 | SEK | 2,188,798 | |||||||||
Total Return | 34,457 | 5,191,739 | ||||||||||
2,772,573 | ||||||||||||
J Aron & Co.: | ||||||||||||
Interest Rate | 180,975 | BRR | 485,226 | |||||||||
Interest Rate | 32,000 | MXN | 156,289 | |||||||||
641,515 | ||||||||||||
JPMorgan Chase | Total Return | 6,520 | 1,103,750 |
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
JPMorgan Chase Bank NA: | ||||||||||||
Interest Rate | 61,030 | BRR | $ | 713,939 | ||||||||
Interest Rate | 1,198,700 | CZK | 964,352 | |||||||||
Interest Rate | 5,332,000 | HUF | 314,738 | |||||||||
Interest Rate | 982,455 | MXN | 2,532,969 | |||||||||
Interest Rate | 15,840 | PLZ | 393,362 | |||||||||
Interest Rate | 85,400 | ZAR | (680,757 | ) | ||||||||
4,238,603 | ||||||||||||
JPMorgan Chase Bank NA, NY Branch: | ||||||||||||
Credit Default Buy Protection | 12,500 | 3,808,398 | ||||||||||
Credit Default Sell Protection | 54,981 | (13,881,297 | ) | |||||||||
(10,072,899 | ) | |||||||||||
Merrill Lynch | Total Return | 70,080 | (5,098,242 | ) | ||||||||
Merrill Lynch Capital Services, Inc. | Interest Rate | 36,370 | MXN | 40,143 | ||||||||
Merrill Lynch International: | ||||||||||||
Credit Default Buy Protection | 7,580 | 4,138,415 | ||||||||||
Credit Default Sell Protection | 15,230 | (6,652,104 | ) | |||||||||
Currency | 1,960 | TRY | 197,343 | |||||||||
(2,316,346 | ) | |||||||||||
Morgan Stanley: | ||||||||||||
Interest Rate | 74,800 | BRR | 2,168,634 | |||||||||
Interest Rate | 140,800 | CZK | 396,999 | |||||||||
Interest Rate | 67,300 | MXN | 240,451 | |||||||||
Total Return | 92,430 | 15,169,691 | ||||||||||
Total Return | 5,365 | EUR | 522,105 | |||||||||
18,497,880 | ||||||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||
Credit Default Buy Protection | 29,830 | 8,290,338 | ||||||||||
Credit Default Sell Protection | 103,221 | (22,400,280 | ) | |||||||||
Credit Default Sell Protection | 6,386 | EUR | (847,671 | ) | ||||||||
Interest Rate | 5,590 | BRR | 104,917 | |||||||||
Total Return | 271,430 | RUR | (4,693,128 | ) | ||||||||
(19,545,824 | ) | |||||||||||
Morgan Stanley International | Total Return | 5,208 | EUR | 298,665 | ||||||||
UBS AG: | ||||||||||||
Credit Default Buy Protection | 6,420 | 2,036,388 | ||||||||||
Credit Default Sell Protection | 37,650 | (6,581,537 | ) | |||||||||
Interest Rate | 9,100 | BRR | 276,039 | |||||||||
Interest Rate | 47,780 | ILS | 1,117,293 | |||||||||
Interest Rate | 85,400 | ZAR | (681,438 | ) | ||||||||
(3,833,255 | ) | |||||||||||
Westpac Banking Corp. | Interest Rate | 25,500 | AUD | 696,838 | ||||||||
Total Swaps | $ | (43,920,726 | ) | |||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CHF | Swiss Franc | |
CNY | Chinese Renminbi (Yuan) | |
CZK | Czech Koruna | |
EUR | Euro | |
GBP | British Pound Sterling | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
ZAR | South African Rand |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $3,646,540,330) | $ | 3,136,039,645 | ||
Affiliated companies (cost $802,775,456) | 755,543,387 | |||
3,891,583,032 | ||||
Cash | 21,028,099 | |||
Cash—foreign currencies (cost $716,523) | 711,182 | |||
Unrealized appreciation on foreign currency exchange contracts | 35,720,782 | |||
Swaps, at value (upfront payments received $6,041,484) | 77,876,379 | |||
Unrealized appreciation on unfunded loan commitments | 1,718,957 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 45,560,981 | |||
Closed foreign currency contracts | 35,028,779 | |||
Investments sold (including $26,790,819 sold on a when-issued or delayed delivery basis) | 27,223,240 | |||
Shares of beneficial interest sold | 392,382 | |||
Due from Manager | 861 | |||
Other | 424,643 | |||
Total assets | 4,137,269,317 | |||
Liabilities | ||||
Short positions, at value (proceeds of $3,628,788)—see accompanying statement of investments | 3,656,058 | |||
Options written, at value (premiums received $157,040)—see accompanying statement of investments | 144,317 | |||
Return of collateral for securities loaned | 325,265,870 | |||
Unrealized depreciation on foreign currency exchange contracts | 43,041,759 | |||
Swaps, at value (net upfront payments received $20,746,158) | 121,797,105 | |||
Payables and other liabilities: | ||||
Investments purchased (including $72,960,143 purchased on a when-issued or delayed delivery basis) | 110,038,691 | |||
Closed foreign currency contracts | 35,220,680 | |||
Shares of beneficial interest redeemed | 17,920,869 | |||
Futures margins | 4,080,437 | |||
Distribution and service plan fees | 1,767,335 | |||
Shareholder communications | 223,613 | |||
Trustees’ compensation | 11,710 | |||
Transfer and shareholder servicing agent fees | 1,720 | |||
Terminated investment contracts | 14,926,192 | |||
Other | 288,220 | |||
Total liabilities | 678,384,576 | |||
Net Assets | $ | 3,458,884,741 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 760,749 | ||
Additional paid-in capital | 4,016,806,288 | |||
Accumulated net investment income | 54,184,535 | |||
Accumulated net realized loss on investments and foreign currency transactions | (37,509,630 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (575,357,201 | ) | ||
Net Assets | $ | 3,458,884,741 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $648,570,029 and 144,352,029 shares of beneficial interest outstanding) | $ | 4.49 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $2,810,314,712 and 616,397,008 shares of beneficial interest outstanding) | $ | 4.56 |
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund: | ||||
Interest | $ | 499,946 | ||
Dividends | 3,862 | |||
Expenses2 | (34,605 | ) | ||
Net investment income from Oppenheimer Master Event-Linked Bond Fund, LLC | 469,203 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | 11,145,892 | |||
Dividends | 386,280 | |||
Expenses3 | (513,160 | ) | ||
Net investment income from Oppenheimer Master Loan Fund, LLC | 11,019,012 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $66,874) | 216,600,047 | |||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $8,406) | 608,546 | |||
Affiliated companies | 16,462,436 | |||
Fee income | 1,045,297 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 156,398 | |||
Affiliated companies | 1,405,615 | |||
Total investment income | 236,278,339 | |||
Expenses | ||||
Management fees | 21,372,387 | |||
Distribution and service plan fees—Service shares | 7,876,236 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 9,994 | |||
Service shares | 9,994 | |||
Shareholder communications: | ||||
Non-Service shares | 135,876 | |||
Service shares | 582,180 | |||
Custodian fees and expenses | 270,995 | |||
Trustees’ compensation | 57,498 | |||
Other | 234,583 | |||
Total expenses | 30,549,743 | |||
Less reduction to custodian expenses | (2,127 | ) | ||
Less waivers and reimbursements of expenses | (936,254 | ) | ||
Net expenses | 29,611,362 | |||
Net Investment Income | 218,155,192 |
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | (42,357,137 | ) | |
Closing and expiration of option contracts written | 10,315,924 | |||
Closing and expiration of futures contracts | 79,749,778 | |||
Foreign currency transactions | (5,229,231 | ) | ||
Short positions | (896,457 | ) | ||
Swap contracts | (234,962,614 | ) | ||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 178,059 | |||
Allocated from Oppenheimer Master Loan Fund, LLC | (4,315,961 | ) | ||
Net realized loss | (197,517,639 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (462,371,211 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (132,606,093 | ) | ||
Futures contracts | 8,034,576 | |||
Option contracts written | (290,527 | ) | ||
Short positions | 412,795 | |||
Swap contracts | (12,546,395 | ) | ||
Unfunded loan commitments | 1,718,957 | |||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | (838,725 | ) | ||
Allocated from Oppenheimer Master Loan Fund, LLC | (45,192,707 | ) | ||
Net change in unrealized depreciation | (643,679,330 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (623,041,777 | ) | |
1. | The fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. See Note 1 of accompanying Notes. | |
2. | Net of expense waivers and/or reimbursements of $147. | |
3. | Net of expense waivers and/or reimbursements of $10,253. |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 218,155,192 | $ | 140,904,592 | ||||
Net realized gain (loss) | (197,517,639 | ) | 93,909,628 | |||||
Net change in unrealized appreciation (depreciation) | (643,679,330 | ) | 19,532,851 | |||||
Net increase (decrease) in net assets resulting from operations | (623,041,777 | ) | 254,347,071 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (36,989,595 | ) | (22,674,018 | ) | ||||
Service shares | (140,242,199 | ) | (53,839,537 | ) | ||||
(177,231,794 | ) | (76,513,555 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (8,547,484 | ) | — | |||||
Service shares | (33,595,865 | ) | — | |||||
(42,143,349 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net increase in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 73,339,965 | 88,509,398 | ||||||
Service shares | 617,334,287 | 1,341,464,972 | ||||||
690,674,252 | 1,429,974,370 | |||||||
Net Assets | ||||||||
Total increase (decrease) | (151,742,668 | ) | 1,607,807,886 | |||||
Beginning of period | 3,610,627,409 | 2,002,819,523 | ||||||
End of period (including accumulated net investment income of $54,184,535 and $174,553,620, respectively) | $ | 3,458,884,741 | $ | 3,610,627,409 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.56 | $ | 5.26 | $ | 5.11 | $ | 5.21 | $ | 5.05 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .30 | .28 | .26 | .25 | .22 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.04 | ) | .21 | .11 | (.12 | ) | .20 | |||||||||||||
Total from investment operations | (.74 | ) | .49 | .37 | .13 | .42 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.26 | ) | ||||||||||
Distributions from net realized gain | (.06 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions to shareholders | (.33 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.26 | ) | ||||||||||
Net asset value, end of period | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | $ | 5.21 | ||||||||||
Total Return, at Net Asset Value2 | (14.21 | )% | 9.69 | % | 7.49 | % | 2.67 | % | 8.67 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 648,570 | $ | 734,611 | $ | 606,632 | $ | 538,141 | $ | 614,915 | ||||||||||
Average net assets (in thousands) | $ | 753,062 | $ | 664,668 | $ | 564,248 | $ | 550,201 | $ | 584,878 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.78 | % | 5.34 | % | 5.05 | % | 4.91 | % | 4.50 | % | ||||||||||
Total expenses | 0.59 | %5 | 0.59 | %5 | 0.64 | %5 | 0.71 | % | 0.74 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.57 | % | 0.57 | % | 0.63 | % | 0.71 | % | 0.74 | % | ||||||||||
Portfolio turnover rate6 | 86 | % | 76 | % | 93 | % | 98 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the Master Funds’ allocated expenses and/or net investment income. | |
5. | Total expenses including indirect expenses from Oppenheimer Institutional Money Market Fund and OFI Liquid Assets Fund, LLC were as follows: |
Year Ended December 31, 2008 | 0.60 | % | ||
Year Ended December 31, 2007 | 0.61 | % | ||
Year Ended December 31, 2006 | 0.64 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 634,319,548 | $ | 594,845,589 | ||||
Year Ended December 31, 2007 | $ | 1,061,009,472 | $ | 1,120,098,096 | ||||
Year Ended December 31, 2006 | $ | 742,785,501 | $ | 749,719,239 | ||||
Year Ended December 31, 2005 | $ | 890,029,144 | $ | 873,786,459 | ||||
Year Ended December 31, 2004 | $ | 959,649,113 | $ | 973,488,511 |
Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.65 | $ | 5.34 | $ | 5.19 | $ | 5.29 | $ | 5.13 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .29 | .28 | .25 | .21 | .19 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.06 | ) | .22 | .11 | (.08 | ) | .22 | |||||||||||||
Total from investment operations | (.77 | ) | .50 | .36 | .13 | .41 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.19 | ) | (.21 | ) | (.23 | ) | (.25 | ) | ||||||||||
Distributions from net realized gain | (.06 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions to shareholders | (.32 | ) | (.19 | ) | (.21 | ) | (.23 | ) | (.25 | ) | ||||||||||
Net asset value, end of period | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | $ | 5.29 | ||||||||||
Total Return, at Net Asset Value2 | (14.49 | )% | 9.55 | % | 7.23 | % | 2.48 | % | 8.43 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,810,315 | $ | 2,876,016 | $ | 1,396,188 | $ | 658,107 | $ | 242,705 | ||||||||||
Average net assets (in thousands) | $ | 3,152,967 | $ | 2,075,028 | $ | 1,016,582 | $ | 408,515 | $ | 150,040 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.54 | % | 5.08 | % | 4.83 | % | 4.20 | % | 3.82 | % | ||||||||||
Total expenses | 0.84 | %5 | 0.84 | %5 | 0.89 | %5 | 0.96 | % | 0.99 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.82 | % | 0.82 | % | 0.88 | % | 0.96 | % | 0.99 | % | ||||||||||
Portfolio turnover rate6 | 86 | % | 76 | % | 93 | % | 98 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the Master Funds’ allocated expenses and/or net investment income. | |
5. | Total expenses including indirect expenses from Oppenheimer Institutional Money Market Fund and OFI Liquid Assets Fund, LLC were as follows: |
Year Ended December 31, 2008 | 0.85 | % | ||
Year Ended December 31, 2007 | 0.86 | % | ||
Year Ended December 31, 2006 | 0.89 | % |
6. | The portfolio turnover rate excludes purchases and sales of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 634,319,548 | $ | 594,845,589 | ||||
Year Ended December 31, 2007 | $ | 1,061,009,472 | $ | 1,120,098,096 | ||||
Year Ended December 31, 2006 | $ | 742,785,501 | $ | 749,719,239 | ||||
Year Ended December 31, 2005 | $ | 890,029,144 | $ | 873,786,459 | ||||
Year Ended December 31, 2004 | $ | 959,649,113 | $ | 973,488,511 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 72,960,143 | ||
Sold securities | 26,790,819 |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5,6 | Tax Purposes | |||||||||
$13,516,297 | $ | — | $ | 34,364,903 | $ | 537,299,769 |
1. | As of December 31, 2008, the Fund had $4,149,094 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. | |
2. | The Fund had $29,563,300 of post-October foreign currency losses which were deferred. | |
3. | The Fund had $66,312 of post-October passive foreign investment company losses which were deferred. | |
4. | The Fund had $586,197 of straddle losses which were deferred. | |
5. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. | |
6. | During the fiscal year ended December 31, 2007, the Fund utilized $13,349,869 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. | ||
Accordingly, the following amounts have been reclassified for December 31, 2008. Net assets of the Fund were unaffected by the reclassifications. |
Reduction to | Reduction to | |||||||
Accumulated | Accumulated Net | |||||||
Increase | Net Investment | Realized Loss | ||||||
to Paid-in Capital | Income | on Investments7 | ||||||
$241,246 | $ | 161,292,483 | $ | 161,051,237 |
7. | $241,246 was distributed in connection with Fund share redemptions. |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 184,452,300 | $ | 76,513,555 | ||||
Long-term capital gain | 34,922,843 | — | ||||||
Total | $ | 219,375,143 | $ | 76,513,555 | ||||
Federal tax cost of securities | $ | 4,450,823,896 | ||
Federal tax cost of other investments | 62,378,815 | |||
Total federal tax cost | $ | 4,513,202,711 | ||
Gross unrealized appreciation | $ | 228,283,863 | ||
Gross unrealized depreciation | (765,583,632 | ) | ||
Net unrealized depreciation | $ | (537,299,769 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 44,736,337 | $ | 230,966,547 | 27,845,638 | $ | 149,207,278 | ||||||||||
Dividends and/or distributions reinvested | 8,575,721 | 45,537,079 | 4,394,189 | 22,674,018 | ||||||||||||
Redeemed | (40,970,673 | ) | (203,163,661 | ) | (15,524,784 | ) | (83,371,898 | ) | ||||||||
Net increase | 12,341,385 | $ | 73,339,965 | 16,715,043 | $ | 88,509,398 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 147,318,126 | $ | 805,889,322 | 244,861,091 | $ | 1,327,141,100 | ||||||||||
Dividends and/or distributions reinvested | 32,192,234 | 173,838,064 | 10,255,150 | 53,839,537 | ||||||||||||
Redeemed | (72,462,189 | ) | (362,393,099 | ) | (7,224,289 | ) | (39,515,665 | ) | ||||||||
Net increase | 107,048,171 | $ | 617,334,287 | 247,891,952 | $ | 1,341,464,972 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 1,943,814,933 | $ | 1,746,455,568 | ||||
U.S. government and government agency obligations | 607,453,670 | 435,933,647 | ||||||
To Be Announced (TBA) mortgage-related securities | 634,319,548 | 594,845,589 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Over $1 billion | 0.50 |
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of December 31, 2007 | 2,878,960,000 | $ | 384,268 | 6,960,000 | $ | 52,511 | ||||||||||
Options written | 29,120,540,000 | 9,814,468 | 29,271,190,000 | 10,018,159 | ||||||||||||
Options closed or expired | (14,995,360,000 | ) | (5,562,707 | ) | (17,435,710,000 | ) | (4,923,106 | ) | ||||||||
Options exercised | (16,999,195,000 | ) | (4,557,509 | ) | (11,837,495,000 | ) | (5,069,044 | ) | ||||||||
Options outstanding as of December 31, 2008 | 4,945,000 | $ | 78,520 | 4,945,000 | $ | 78,520 | ||||||||||
Commitment | ||||||||
Termination | Unfunded | |||||||
Date | Amount | |||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts. | 10/23/13 | $ | 9,735,999 |
Commitment | ||||||||||||||||
Interest | Termination | Unfunded | Unrealized | |||||||||||||
Rate | Date | Amount | Appreciation | |||||||||||||
Deutsche Bank AG; An unfunded commitment that the Fund receives 0.125% quarterly; and will pay out, upon request, up to 12,000,000 USD to a Peruvian Trust through Deutsche Bank’s Global Note Program. Upon funding requests, the unfunded portion decreases and new structured securities will be created and held by the fund to maintain a consistent exposure level. | 0.50 | % | 9/20/10 | $ | 12,000,000 | $ | 1,718,957 |
February 11, 2009
Name, Position(s) Held with | ||
the Funds, Length of Service, | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Age | the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 1999) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 1999) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 1993) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 1996) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2002) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
John V. Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 59 | Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Arthur P. Steinmetz, Vice President and Portfolio Manager (since 1993) Age: 50 | Senior Vice President of the Manager (since March 1993) and of HarbourView Asset Management Corporation (since March 2000). A portfolio manager and officer of 5 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: | |
Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 | HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2008 | December 31, 2008 | December 31, 2008 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 714.30 | $ | 5.36 | ||||||
Service shares | 1,000.00 | 656.50 | 6.23 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,018.90 | 6.31 | |||||||||
Service shares | 1,000.00 | 1,017.65 | 7.58 |
Class | Expense Ratios | |||
Non-Service shares | 1.24 | % | ||
Service shares | 1.49 |
Shares | Value | |||||||
Common Stocks—92.2% | ||||||||
Consumer Discretionary—6.7% | ||||||||
Media—6.7% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 1,380 | $ | 23,239 | |||||
Cinemark Holdings, Inc. | 5,400 | 40,122 | ||||||
Liberty Global, Inc., Series C1 | 3,198 | 48,546 | ||||||
News Corp., Inc., Cl. A | 15,142 | 137,641 | ||||||
Time Warner Cable, Inc., Cl. A1 | 3,120 | 66,924 | ||||||
316,472 | ||||||||
Consumer Staples—9.0% | ||||||||
Beverages—2.6% | ||||||||
Molson Coors Brewing Co., Cl. B | 720 | 35,222 | ||||||
PepsiCo, Inc. | 1,560 | 85,441 | ||||||
120,663 | ||||||||
Food & Staples Retailing—2.9% | ||||||||
Kroger Co. (The) | 5,200 | 137,332 | ||||||
Food Products—1.2% | ||||||||
Campbell Soup Co. | 1,830 | 54,918 | ||||||
Tobacco—2.3% | ||||||||
Philip Morris International, Inc. | 2,481 | 107,948 | ||||||
Energy—8.8% | ||||||||
Oil, Gas & Consumable Fuels—8.8% | ||||||||
Chevron Corp. | 3,300 | 244,101 | ||||||
Devon Energy Corp. | 2,580 | 169,532 | ||||||
413,633 | ||||||||
Financials—18.3% | ||||||||
Capital Markets—7.7% | ||||||||
Credit Suisse Group AG, ADR | 3,640 | 102,866 | ||||||
Julius Baer Holding AG | 4,129 | 158,558 | ||||||
Morgan Stanley | 6,210 | 99,608 | ||||||
361,032 | ||||||||
Consumer Finance—2.3% | ||||||||
SLM Corp.1 | 12,240 | 108,936 | ||||||
Diversified Financial Services—3.2% | ||||||||
Bank of America Corp. | 5,810 | 81,805 | ||||||
JPMorgan Chase & Co. | 2,070 | 65,267 | ||||||
147,072 | ||||||||
Insurance—5.1% | ||||||||
Assurant, Inc. | 790 | 23,700 | ||||||
Everest Re Group Ltd. | 2,697 | 205,350 | ||||||
National Financial Partners Corp. | 3,730 | 11,339 | ||||||
240,389 | ||||||||
Health Care—15.1% | ||||||||
Health Care Providers & Services—5.1% | ||||||||
Aetna, Inc. | 4,330 | 123,405 | ||||||
WellPoint, Inc.1 | 2,820 | 118,807 | ||||||
242,212 | ||||||||
Life Sciences Tools & Services—0.9% | ||||||||
Thermo Fisher Scientific, Inc.1 | 1,220 | 41,565 | ||||||
Pharmaceuticals—9.1% | ||||||||
Abbott Laboratories | 2,560 | 136,627 | ||||||
Schering-Plough Corp. | 8,650 | 147,310 | ||||||
Wyeth | 3,780 | 141,788 | ||||||
425,725 | ||||||||
Industrials—9.6% | ||||||||
Aerospace & Defense—1.7% | ||||||||
Goodrich Corp. | 2,160 | 79,963 | ||||||
Air Freight & Logistics—1.0% | ||||||||
United Parcel Service, Inc., Cl. B | 850 | 46,886 | ||||||
Industrial Conglomerates—4.4% | ||||||||
Siemens AG, Sponsored ADR | 554 | 41,966 | ||||||
Tyco International Ltd. | 7,550 | 163,080 | ||||||
205,046 | ||||||||
Machinery—1.9% | ||||||||
Navistar International Corp.1 | 4,103 | 87,722 | ||||||
Trading Companies & Distributors—0.6% | ||||||||
Aircastle Ltd. | 6,020 | 28,776 | ||||||
Information Technology—5.8% | ||||||||
Communications Equipment—4.8% | ||||||||
QUALCOMM, Inc. | 3,540 | 126,838 | ||||||
Research in Motion Ltd.1 | 2,390 | 96,986 | ||||||
223,824 | ||||||||
Semiconductors & Semiconductor Equipment—1.0% | ||||||||
Lam Research Corp.1 | 810 | 17,237 | ||||||
Varian Semiconductor | ||||||||
Equipment Associates, Inc.1 | 1,780 | 32,254 | ||||||
49,491 | ||||||||
Materials—6.7% | ||||||||
Chemicals—6.7% | ||||||||
Lubrizol Corp. (The) | 5,897 | 214,592 | ||||||
Mosaic Co. (The) | 2,950 | 102,070 | ||||||
316,662 | ||||||||
Telecommunication Services—3.9% | ||||||||
Diversified Telecommunication Services—3.9% | ||||||||
AT&T, Inc. | 6,440 | 183,540 |
Shares | Value | |||||||
Utilities—8.3% | ||||||||
Electric Utilities—4.9% | ||||||||
American Electric Power Co., Inc. | 3,600 | $ | 119,808 | |||||
Exelon Corp. | 1,976 | 109,885 | ||||||
229,693 | ||||||||
Multi-Utilities—3.4% | ||||||||
PG&E Corp. | 4,120 | 159,485 | ||||||
Total Common Stocks (Cost $5,092,221) | 4,328,985 | |||||||
Preferred Stocks—2.7% | ||||||||
Petroleo Brasileiro SA, Sponsored ADR (Cost $206,305) | 6,290 | 128,379 | ||||||
Investment Company—14.2% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 1.96%2,3 (Cost $664,973) | 664,973 | 664,973 | ||||||
Total Investments, at Value (Cost $5,963,499) | 109.1 | % | 5,122,337 | |||||
Liabilities in Excess of Other Assets | (9.1 | ) | (426,193 | ) | ||||
Net Assets | 100.0 | % | $ | 4,696,144 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 31, 2008, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2007 | Additions | Reductions | December 31, 2008 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 177,433 | 5,896,250 | 5,408,710 | 664,973 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 664,973 | $ | 8,029 |
3. | Rate shown is the 7-day yield as of December 31, 2008. |
Investments in | Other Financial | |||||||
Valuation Description | Securities | Instruments* | ||||||
Level 1—Quoted Prices | $ | 4,963,779 | $ | — | ||||
Level 2—Other Significant Observable Inputs | 158,558 | — | ||||||
Level 3—Significant Unobservable Inputs | — | — | ||||||
Total | $ | 5,122,337 | $ | — | ||||
* | Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $5,298,526) | $ | 4,457,364 | ||
Affiliated companies (cost $664,973) | 664,973 | |||
5,122,337 | ||||
Cash | 33,965 | |||
Receivables and other assets: | ||||
Investments sold | 135,001 | |||
Shares of beneficial interest sold | 20,958 | |||
Dividends | 11,030 | |||
Due from Manager | 15 | |||
Other | 5,105 | |||
Total assets | 5,328,411 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 578,768 | |||
Shareholder communications | 9,467 | |||
Shares of beneficial interest redeemed | 7,240 | |||
Distribution and service plan fees | 3,984 | |||
Trustees’ compensation | 1,780 | |||
Transfer and shareholder servicing agent fees | 9 | |||
Other | 31,019 | |||
Total liabilities | 632,267 | |||
Net Assets | $ | 4,696,144 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 692 | ||
Additional paid-in capital | 7,763,131 | |||
Accumulated net investment income | 2,584 | |||
Accumulated net realized loss on investments and foreign currency transactions | (2,229,198 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (841,065 | ) | ||
Net Assets | $ | 4,696,144 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $6,215 and 1,246 shares of beneficial interest outstanding) | $ | 4.99 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $4,689,929 and 690,778 shares of beneficial interest outstanding) | $ | 6.79 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $4,734) | $ | 141,789 | ||
Affiliated companies | 8,029 | |||
Interest | 87 | |||
Total investment income | 149,905 | |||
Expenses | ||||
Management fees | 48,203 | |||
Distribution and service plan fees—Service shares | 11,571 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 22 | |||
Service shares | 84 | |||
Shareholder communications: | ||||
Non-Service shares | 2,014 | |||
Service shares | 23,599 | |||
Legal, auditing and other professional fees | 30,845 | |||
Trustees’ compensation | 6,062 | |||
Custodian fees and expenses | 49 | |||
Other | 8,464 | |||
Total expenses | 130,913 | |||
Less reduction to custodian expenses | (41 | ) | ||
Less waivers and reimbursements of expenses | (37,020 | ) | ||
Net expenses | 93,852 | |||
Net Investment Income | 56,053 | |||
Realized and Unrealized Loss | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (1,910,920 | ) | ||
Foreign currency transactions | (16,477 | ) | ||
Net realized loss | (1,927,397 | ) | ||
Net change in unrealized depreciation on: | ||||
Investments | (1,269,415 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (3,599 | ) | ||
Net change in unrealized depreciation | (1,273,014 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (3,144,358 | ) | |
Year Ended December 31, | 2008 | 2007 | ||||||
Operations | ||||||||
Net investment income | $ | 56,053 | $ | 39,402 | ||||
Net realized loss | (1,927,397 | ) | (87,194 | ) | ||||
Net change in unrealized appreciation (depreciation) | (1,273,014 | ) | 7,138 | |||||
Net decrease in net assets resulting from operations | (3,144,358 | ) | (40,654 | ) | ||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (2,000 | ) | (14,051 | ) | ||||
Service shares | (47,216 | ) | (22,582 | ) | ||||
(49,216 | ) | (36,633 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (64,829 | ) | |||||
Service shares | — | (232,359 | ) | |||||
— | (297,188 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (1,475,254 | ) | (1,050,500 | ) | ||||
Service shares | 1,155,875 | 6,521,885 | ||||||
(319,379 | ) | 5,471,385 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (3,512,953 | ) | 5,096,910 | |||||
Beginning of period | 8,209,097 | 3,112,187 | ||||||
End of period (including accumulated net investment income (loss) of $2,584 and $(2,761), respectively) | $ | 4,696,144 | $ | 8,209,097 | ||||
Non-Service Shares Year Ended December 31, | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.73 | $ | 11.58 | $ | 11.16 | $ | 12.26 | $ | 12.90 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | .12 | .10 | (.03 | ) | .02 | (.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (4.44 | ) | .59 | 1.61 | .71 | 1.82 | ||||||||||||||
Total from investment operations | (4.32 | ) | .69 | 1.58 | .73 | 1.81 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (2.42 | ) | (.10 | ) | (.01 | ) | (.02 | ) | (.03 | ) | ||||||||||
Distributions from net realized gain | — | (.44 | ) | (1.15 | ) | (1.81 | ) | (2.42 | ) | |||||||||||
Total dividends and/or distributions to shareholders | (2.42 | ) | (.54 | ) | (1.16 | ) | (1.83 | ) | (2.45 | ) | ||||||||||
Net asset value, end of period | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | $ | 12.26 | ||||||||||
Total Return, at Net Asset Value2 | (36.43 | )% | 5.89 | % | 14.03 | % | 5.88 | % | 14.50 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6 | $ | 1,728 | $ | 2,657 | $ | 2,562 | $ | 2,815 | ||||||||||
Average net assets (in thousands) | $ | 857 | $ | 2,753 | $ | 2,695 | $ | 2,878 | $ | 3,370 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income (loss) | 1.07 | % | 0.80 | % | (0.29 | )% | 0.15 | % | (0.08 | )% | ||||||||||
Total expenses | 1.48 | %4 | 1.49 | %4 | 2.14 | %4 | 1.78 | % | 1.82 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.25 | % | 1.25 | % | 2.14 | % | 1.78 | % | 1.82 | % | ||||||||||
Portfolio turnover rate | 175 | % | 142 | % | 124 | % | 86 | % | 100 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 1.48 | % | ||
Year Ended December 31, 2007 | 1.49 | % | ||
Year Ended December 31, 2006 | 2.14 | % |
Service Shares Year Ended December 31, | 2008 | 2007 | 20061 | |||||||||
Per Share Operating Data | ||||||||||||
Net asset value, beginning of period | $ | 11.75 | $ | 11.57 | $ | 11.89 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)2 | .08 | .06 | (.05 | ) | ||||||||
Net realized and unrealized gain (loss) | (4.97 | ) | .60 | .88 | ||||||||
Total from investment operations | (4.89 | ) | .66 | .83 | ||||||||
Dividends and/or distributions to shareholders: | ||||||||||||
Dividends from net investment income | (.07 | ) | (.04 | ) | — | |||||||
Distributions from net realized gain | — | (.44 | ) | (1.15 | ) | |||||||
Total dividends and/or distributions to shareholders | (.07 | ) | (.48 | ) | (1.15 | ) | ||||||
Net asset value, end of period | $ | 6.79 | $ | 11.75 | $ | 11.57 | ||||||
Total Return, at Net Asset Value3 | (41.62 | )% | 5.70 | % | 6.81 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 4,690 | $ | 6,481 | $ | 455 | ||||||
Average net assets (in thousands) | $ | 5,561 | $ | 3,527 | $ | 268 | ||||||
Ratios to average net assets:4 | ||||||||||||
Net investment income (loss) | 0.84 | % | 0.49 | % | (1.30 | )% | ||||||
Total expenses5 | 2.13 | % | 1.63 | % | 2.89 | % | ||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.50 | % | 1.50 | % | 2.88 | % | ||||||
Portfolio turnover rate | 175 | % | 142 | % | 124 | % |
1. | For the period from September 18, 2006 (inception of offering) to December 31, 2006. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 31, 2008 | 2.13 | % | ||
Year Ended December 31, 2007 | 1.63 | % | ||
Period Ended December 31, 2006 | 2.89 | % |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4 | Tax Purposes | |||||||||
$4,364 | $ | — | $ | 2,053,476 | $ | 1,016,789 |
1. | As of December 31, 2008, the Fund had $1,303,597 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of December 31, 2008, details of the capital loss carryforward was as follows: |
Expiring | ||||
2016 | $ | 1,303,597 |
2. | As of December 31, 2008, the Fund had $749,879 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2017. |
3. | During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward. |
4. | During the fiscal year ended December 31, 2007, the Fund did not utilize any capital loss carryforward. |
Reduction to | ||||
Reduction to | Accumulated Net | |||
Accumulated Net | Realized Loss on | |||
Investment Income | Investments | |||
$1,492 | $ | 1,492 |
Year Ended | Year Ended | |||||||
December 31, 2008 | December 31, 2007 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 49,216 | $ | 113,473 | ||||
Long-term capital gain | — | 220,348 | ||||||
Total | $ | 49,216 | $ | 333,821 | ||||
Federal tax cost of securities | $ | 6,139,223 | ||
Federal tax cost of other investments | 375 | |||
Total federal tax cost | $ | 6,139,598 | ||
Gross unrealized appreciation | $ | 98,017 | ||
Gross unrealized depreciation | (1,114,806 | ) | ||
Net unrealized depreciation | $ | (1,016,789 | ) | |
Year Ended December 31, 2008 | Year Ended December 31, 2007 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 957 | $ | 8,036 | — | $ | — | ||||||||||
Dividends and/or distributions reinvested | 409 | 2,000 | — | — | ||||||||||||
Redeemed | (147,464 | ) | (1,485,290 | ) | (82,215 | ) | (1,050,500 | ) | ||||||||
Net decrease | (146,098 | ) | $ | (1,475,254 | ) | (82,215 | ) | $ | (1,050,500 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 461,846 | $ | 4,322,028 | 525,491 | $ | 6,694,320 | ||||||||||
Dividends and/or distributions reinvested | 7,057 | 47,216 | 21,569 | 254,941 | ||||||||||||
Redeemed | (329,902 | ) | (3,213,369 | ) | (34,566 | ) | (427,376 | ) | ||||||||
Net increase | 139,001 | $ | 1,155,875 | 512,494 | $ | 6,521,885 | ||||||||||
Purchases | Sales | |||||||
Investment securities | $ | 10,970,714 | $ | 11,375,242 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
February 11, 2009
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Funds, Length of Service, Age | the Funds Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees and Trustee (since 2003) Age: 71 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. | |
George C. Bowen, Trustee (since 2003) Age: 72 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Edward L. Cameron, Trustee (since 2003) Age: 70 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 – June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel, Trustee (since 2003) Age: 66 | Director of UNUMProvident (insurance company) (since June 2002); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Sam Freedman, Trustee (since 2003) Age: 68 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 41 portfolios in the OppenheimerFunds complex. | |
Beverly L. Hamilton, Trustee (since 2003) Age: 62 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment commit- tees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 41 portfolios in the OppenheimerFunds complex. |
Robert J. Malone, Trustee (since 2003) Age: 64 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 41 portfolios in the OppenheimerFunds complex. | |
F. William Marshall, Jr., Trustee (since 2003) Age: 66 | Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 43 portfolios in the OppenheimerFunds complex. | |
INTERESTED TRUSTEE AND OFFICER John V. Murphy, Trustee (since 2003), President and Principal Executive Officer (since 2001) Age: 59 | The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001- December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 105 portfolios in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 58 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 2003) Age: 49 | Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial |
Brian W. Wixted, Continued | Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003). An officer of 105 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2003) Age: 60 | Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 105 portfolios in the OppenheimerFunds complex. |
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. | ||
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. | ||
(2) 100% | ||
(f) | Not applicable as less than 50%. | |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $3,926 in fiscal 2008 and $44,807 in fiscal 2007 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. | |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. | |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. | |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. | ||
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” | |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Exhibit attached hereto. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
By: | /s/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 02/11/2009 |
By: | /s/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 02/11/2009 |
By: | /s/ Brian W. Wixted | |||
Principal Financial Officer | ||||
Date: | 02/11/2009 |