UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-05029
Name of Registrant: Legg Mason Income Trust, Inc.
Address of Principal Executive Offices: 100 Light Street, Baltimore, MD 21202
Name and address of agent for service:
Richard M. Wachterman, Esq.
Legg Mason & Co., LLC
100 Light Street
Baltimore, MD 21202
Registrant’s telephone number, including area code: (410) 539-0000
Date of fiscal year-end: December 31, 2006
Date of reporting period: June 30, 2006
Net Asset Value | ||||||||||||
SEC YieldA | Average Life | Per Share | ||||||||||
Core Bond | 5.04% | 9.62 years | $ | 9.40 | ||||||||
High Yield | 7.11% | 7.52 years | $ | 8.95 | ||||||||
Investment Grade | 5.72% | 10.16 years | $ | 10.03 | ||||||||
Limited Duration | 4.94% | 3.07 years | $ | 10.11 |
A | SEC yields are for the 30 days ended June 30, 2006, and are the average annualized net investment income per share for this period. Yields are subject to change at any time. |
Sincerely, |
John F. Curley, Jr. Chairman | Mark R. Fetting President |
Beginning | Ending | Expenses PaidA | |||||||||||
Account | Account | During the | |||||||||||
Value | Value | Period | |||||||||||
1/1/06 | 6/30/06 | 1/1/06 to 6/30/06 | |||||||||||
Primary Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 987.80 | $ | 4.93 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 5.01 |
A | These calculations are based on expenses incurred in the most recent fiscal half-year. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio of 1.00% multiplied by the average value over the period, multiplied by the number of days in the most recent fiscal half-year (181), and divided by 365. |
Cumulative | Average Annual | ||||||||
Total Return | Total Return | ||||||||
One Year | -1.95% | -1.95% | |||||||
Life of Class* | +1.62% | +0.69% | |||||||
* Inception date: February 27, 2004 | |||||||||
A | A market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed rate, publicly placed, dollar-denominated, and nonconvertible investment grade debt issues with at least $100 million par amount outstanding and with at least one year to final maturity. Index returns are for the periods beginning February 29, 2004. |
B | The Fund is actively managed. As a result, the composition of its portfolio holdings and sectors is subject to change at any time. |
C | Standard & Poor’s Ratings Services provide capital markets with credit ratings for the evaluation and assessment of credit risk. |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Long-Term Securities — 120.4% | |||||||||||||||
Corporate Bonds and Notes — 23.4% | |||||||||||||||
Aerospace/ Defense — 0.1% | |||||||||||||||
Northrop Grumman Corporation | 4.079% | 11/16/06 | $ | 40 | $ | 40 | |||||||||
United Technologies Corporation | 5.400% | 5/1/35 | 20 | 18 | |||||||||||
58 | |||||||||||||||
Automotive — 2.1% | |||||||||||||||
Ford Motor Company | 7.450% | 7/16/31 | 720 | 520 | |||||||||||
General Motors Corporation | 8.250% | 7/15/23 | 1,000 | 787 | |||||||||||
General Motors Corporation | 8.375% | 7/15/33 | 150 | 121 | |||||||||||
1,428 | |||||||||||||||
Banking and Finance — 3.4% | |||||||||||||||
Ford Motor Credit Company | 4.950% | 1/15/08 | 40 | 38 | |||||||||||
Ford Motor Credit Company | 6.625% | 6/16/08 | 190 | 181 | |||||||||||
Ford Motor Credit Company | 7.375% | 10/28/09 | 590 | 545 | |||||||||||
Ford Motor Credit Company | 7.375% | 2/1/11 | 230 | 206 | |||||||||||
Ford Motor Credit Company | 7.250% | 10/25/11 | 210 | 186 | |||||||||||
General Motors Acceptance Corporation | 6.125% | 8/28/07 | 230 | 228 | |||||||||||
General Motors Acceptance Corporation | 5.625% | 5/15/09 | 685 | 652 | |||||||||||
General Motors Acceptance Corporation | 7.750% | 1/19/10 | 110 | 109 | |||||||||||
HSBC Finance Corporation | 4.125% | 11/16/09 | 225 | 214 | |||||||||||
Residential Capital Corporation | 6.125% | 11/21/08 | 20 | 20 | |||||||||||
2,379 | |||||||||||||||
Banks — 0.9% | |||||||||||||||
Bank of America Corporation | 3.875% | 1/15/08 | 90 | 88 | |||||||||||
Bank of America Corporation | 4.500% | 8/1/10 | 120 | 115 | |||||||||||
Bank One Corporation | 2.625% | 6/30/08 | 335 | 316 | |||||||||||
Rabobank Capital Funding Trust II | 5.260% | 12/31/49 | 10 | 10 | A,B | ||||||||||
Rabobank Capital Funding Trust III | 5.254% | 12/29/49 | 20 | 18 | A,B | ||||||||||
Wachovia Capital Trust III | 5.800% | 3/15/42 | 100 | 97 | B | ||||||||||
644 | |||||||||||||||
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Cable — 0.4% | |||||||||||||||
Comcast Corporation | 6.500% | 1/15/15 | $ | 240 | $ | 242 | |||||||||
Cox Communications, Inc. | 3.875% | 10/1/08 | 70 | 67 | |||||||||||
309 | |||||||||||||||
Computer Services and Systems — N.M. | |||||||||||||||
Electronic Data Systems Corporation | 7.125% | 10/15/09 | 10 | 10 | |||||||||||
Diversified Financial Services — 1.6% | |||||||||||||||
CIT Group Inc. | 4.000% | 5/8/08 | 5 | 5 | |||||||||||
Citigroup Inc. | 5.125% | 2/14/11 | 230 | 225 | |||||||||||
General Electric Capital Corporation | 4.250% | 1/15/08 | 70 | 69 | |||||||||||
General Electric Capital Corporation | 4.125% | 9/1/09 | 90 | 86 | |||||||||||
Marsh & McLennan Companies, Inc. | 5.150% | 9/15/10 | 650 | 627 | |||||||||||
Wells Fargo & Company | 4.200% | 1/15/10 | 105 | 100 | |||||||||||
1,112 | |||||||||||||||
Electric — 0.7% | |||||||||||||||
Dominion Resources, Inc. | 4.750% | 12/15/10 | 30 | 29 | |||||||||||
Dominion Resources, Inc. | 5.700% | 9/17/12 | 95 | 93 | |||||||||||
FirstEnergy Corp. | 7.375% | 11/15/31 | 285 | 306 | |||||||||||
Oncor Electric Delivery Company | 6.375% | 1/15/15 | 10 | 10 | |||||||||||
The Cleveland Electric Illuminating Company | 5.650% | 12/15/13 | 20 | 19 | |||||||||||
457 | |||||||||||||||
Energy — 2.6% | |||||||||||||||
Duke Energy Corporation | 6.250% | 1/15/12 | 50 | 51 | |||||||||||
Duke Energy Corporation | 5.625% | 11/30/12 | 90 | 89 | |||||||||||
Pacific Gas and Electric Company | 6.050% | 3/1/34 | 135 | 127 | |||||||||||
TXU Corp. | 5.550% | 11/15/14 | 20 | 18 | |||||||||||
TXU Corp. | 6.550% | 11/15/34 | 800 | 703 | |||||||||||
TXU Energy Co. | 7.000% | 3/15/13 | 770 | 786 | |||||||||||
1,774 | |||||||||||||||
Environmental Services — 0.1% | |||||||||||||||
Waste Management, Inc. | 6.375% | 11/15/12 | 85 | 87 | |||||||||||
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Food, Beverage and Tobacco — 0.5% | |||||||||||||||
Altria Group, Inc. | 7.000% | 11/4/13 | $ | 155 | $ | 164 | |||||||||
Anheuser-Busch Companies, Inc. | 4.950% | 1/15/14 | 155 | 147 | |||||||||||
Kraft Foods Inc. | 5.625% | 11/1/11 | 65 | 64 | |||||||||||
375 | |||||||||||||||
Investment Banking/ Brokerage — 0.6% | |||||||||||||||
Lehman Brothers Holdings Inc. | 4.000% | 1/22/08 | 115 | 112 | |||||||||||
Morgan Stanley | 3.625% | 4/1/08 | 190 | 184 | |||||||||||
The Goldman Sachs Group, Inc. | 4.500% | 6/15/10 | 70 | 67 | |||||||||||
The Goldman Sachs Group, Inc. | 5.000% | 1/15/11 | 40 | 38 | |||||||||||
401 | |||||||||||||||
Media — 0.4% | |||||||||||||||
Clear Channel Communications, Inc. | 4.625% | 1/15/08 | 30 | 29 | |||||||||||
Clear Channel Communications, Inc. | 4.250% | 5/15/09 | 50 | 47 | |||||||||||
Clear Channel Communications, Inc. | 5.500% | 9/15/14 | 15 | 14 | |||||||||||
Time Warner Inc. | 6.875% | 5/1/12 | 75 | 77 | |||||||||||
Time Warner Inc. | 7.700% | 5/1/32 | 75 | 82 | |||||||||||
249 | |||||||||||||||
Medical Care Facilities — 0.9% | |||||||||||||||
HCA, Inc. | 5.750% | 3/15/14 | 700 | 626 | |||||||||||
Oil and Gas — 1.9% | |||||||||||||||
Amerada Hess Corporation | 7.300% | 8/15/31 | 245 | 260 | |||||||||||
Apache Corporation | 6.250% | 4/15/12 | 35 | 36 | |||||||||||
Conoco Inc. | 6.950% | 4/15/29 | 225 | 245 | |||||||||||
ConocoPhillips | 4.750% | 10/15/12 | 60 | 57 | |||||||||||
Devon Energy Corporation | 7.950% | 4/15/32 | 140 | 161 | |||||||||||
Kerr-McGee Corporation | 6.875% | 9/15/11 | 300 | 310 | |||||||||||
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 50 | 45 | A |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Oil and Gas — Continued | |||||||||||||||
XTO Energy, Inc. | 7.500% | 4/15/12 | $ | 145 | $ | 154 | |||||||||
XTO Energy, Inc. | 6.250% | 4/15/13 | 20 | 20 | |||||||||||
1,288 | |||||||||||||||
Paper and Forest Products — 0.3% | |||||||||||||||
Weyerhaeuser Company | 6.750% | 3/15/12 | 235 | 240 | |||||||||||
Photo Equipment and Supplies — 0.8% | |||||||||||||||
Eastman Kodak Company | 7.250% | 11/15/13 | 540 | 520 | |||||||||||
Retail — 0.5% | |||||||||||||||
Target Corporation | 5.400% | 10/1/08 | 155 | 155 | |||||||||||
Wal-Mart Stores, Inc. | 3.375% | 10/1/08 | 190 | 181 | |||||||||||
336 | |||||||||||||||
Special Purpose — 4.7% | |||||||||||||||
ASIF Global Financing XIX | 4.900% | 1/17/13 | 40 | 38 | A | ||||||||||
DaimlerChrysler NA Holding Corporation | 4.050% | 6/4/08 | 95 | 92 | |||||||||||
DaimlerChrysler NA Holding Corporation | 7.200% | 9/1/09 | 50 | 52 | |||||||||||
Devon Financing Corp ULC | 6.875% | 9/30/11 | 10 | 10 | |||||||||||
Lilacs Repackaging 05-I | 5.138% | 1/15/64 | 500 | 477 | A | ||||||||||
Sprint Capital Corporation | 4.780% | 8/17/06 | 15 | 15 | |||||||||||
Sprint Capital Corporation | 6.000% | 1/15/07 | 270 | 270 | |||||||||||
Sprint Capital Corporation | 8.375% | 3/15/12 | 2,040 | 2,254 | |||||||||||
Verizon Global Funding Corp. | 7.375% | 9/1/12 | 35 | 37 | |||||||||||
3,245 | |||||||||||||||
Telecommunications — 0.1% | |||||||||||||||
AT&T Inc. | 5.100% | 9/15/14 | 90 | 84 | |||||||||||
BellSouth Corporation | 4.750% | 11/15/12 | 10 | 9 | |||||||||||
93 | |||||||||||||||
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Transportation — 0.8% | |||||||||||||||
JetBlue Airways Corporation | 5.545% | 8/15/16 | $ | 293 | $ | 292 | C | ||||||||
JetBlue Airways Corporation | 5.620% | 11/15/16 | 300 | 295 | C | ||||||||||
587 | |||||||||||||||
Total Corporate Bonds and Notes (Identified Cost — $17,152) | 16,218 | ||||||||||||||
Asset-Backed Securities — 2.3% | |||||||||||||||
Fixed Rate Securities — 0.4% | |||||||||||||||
Bank One Issuance Trust 2003-C1 | 4.540% | 9/15/10 | 200 | 196 | |||||||||||
MMCA Automobile Owner Trust 2002-4 | 3.050% | 11/16/09 | 45 | 45 | |||||||||||
241 | |||||||||||||||
Indexed SecuritiesC — 1.9% | |||||||||||||||
AAA Trust 2005-2 | 5.423% | 11/26/35 | 33 | 33 | A | ||||||||||
Ace Securities Corp. Home Equity Loan Trust, Series 2006-SL3 | 5.450% | 6/25/36 | 600 | 600 | |||||||||||
Bayview Financial Acquisition Trust 2004-C | 5.761% | 5/28/44 | 384 | 385 | |||||||||||
Bayview Financial Acquisition Trust 2005-B | 5.231% | 4/28/39 | 82 | 82 | |||||||||||
Credit-Based Asset Servicing and Securitization 2005-RP1 | 5.503% | 1/25/35 | 112 | 114 | A | ||||||||||
EQCC Trust 2002-1 | 5.623% | 11/25/31 | 6 | 6 | |||||||||||
Morgan Stanley ABS Capital I 2005-WMC2 | 5.403% | 2/25/35 | 9 | 9 | |||||||||||
Residential Asset Mortgage Product Inc. 2004-RPIA | 5.623% | 11/25/42 | 6 | 6 | A | ||||||||||
Wachovia Asset Securitization, Inc. 2002-HE1 | 5.693% | 9/27/32 | 100 | 100 | |||||||||||
1,335 | |||||||||||||||
Total Asset-Backed Securities (Identified Cost — $1,580) | 1,576 | ||||||||||||||
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Mortgage-Backed Securities — 21.8% | |||||||||||||||
Fixed Rate Securities — 2.8% | |||||||||||||||
Asset Securitization Corporation 1996-D2 | 6.920% | 2/14/29 | $ | 7 | $ | 7 | |||||||||
Banc of America Commercial Mortgage Incorporated 2005-3 | 4.668% | 7/10/43 | 500 | 459 | |||||||||||
Countrywide Alternative Loan Trust 2004-2 CB | 4.250% | 3/25/34 | 245 | 238 | |||||||||||
GS Mortgage Securities Corporation II 2005-GG4 | 4.680% | 7/10/39 | 200 | 189 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP4 | 4.918% | 10/15/42 | 200 | 186 | |||||||||||
LB-UBS Commercial Mortgage Trust 2005-C3 A5 | 4.739% | 7/15/30 | 140 | 129 | |||||||||||
LB-UBS Commercial Mortgage Trust 2005-C3 AAB | 4.664% | 7/15/30 | 200 | 188 | |||||||||||
MASTR Reperforming Loan Trust 2005-1 | 7.000% | 8/25/34 | 279 | 283 | A | ||||||||||
Morgan Stanley Capital I, Series 2005-HQ6 | 4.989% | 8/13/42 | 240 | 225 | |||||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1 | 7.000% | 3/25/34 | 89 | 89 | |||||||||||
1,993 | |||||||||||||||
Indexed SecuritiesC — 17.7% | |||||||||||||||
ABFS Mortgage Loan Trust 2003-2 | 5.823% | 4/25/34 | 83 | 83 | A | ||||||||||
Banc of America Funding Corporation 2005-E | 5.054% | 6/20/35 | 456 | 457 | |||||||||||
Brazos Texas Higher Education Authority, Inc. 2005-1 | 4.990% | 9/26/16 | 369 | 368 | |||||||||||
Countrywide Alternative Loan Trust 2005-17 | 5.583% | 7/25/35 | 495 | 496 | |||||||||||
Countrywide Alternative Loan Trust 2005-38 | 5.673% | 9/25/35 | 482 | 485 | |||||||||||
Countrywide Home Loans 2005-3, 1A2 | 5.613% | 4/25/35 | 379 | 380 |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Mortgage-Backed Securities — Continued | |||||||||||||||
Indexed Securities — Continued | |||||||||||||||
Countrywide Home Loans 2005-9, 1A1 | 5.623% | 5/25/35 | $ | 401 | $ | 403 | |||||||||
Countrywide Home Loans 2005-11, 3A3 | 5.425% | 4/25/35 | 405 | 408 | |||||||||||
Countrywide Home Loans 2005-11, 6A1 | 5.623% | 3/25/35 | 340 | 342 | |||||||||||
DSLA Mortgage Loan Trust 2006-AR1 1A1A | 5.063% | 4/19/36 | 670 | 670 | |||||||||||
Greenpoint Mortgage Funding Trust 2005-AR1 | 5.543% | 6/25/45 | 356 | 357 | |||||||||||
Greenpoint Mortgage Funding Trust 2005-AR4 | 5.583% | 10/25/45 | 225 | 225 | |||||||||||
GSMPS Mortgage Loan Trust 2005-RP2 | 5.673% | 3/25/35 | 315 | 317 | A | ||||||||||
Harborview Mortgage Loan Trust 2005-7 | 5.474% | 6/19/45 | 553 | 555 | |||||||||||
Harborview Mortgage Loan Trust 2005-9 | 5.607% | 6/20/35 | 428 | 430 | |||||||||||
Impac CMB Trust 2003-7 | 5.963% | 8/25/33 | 147 | 147 | |||||||||||
IXIS Real Estate Capital Trust 2006-HE2 | 5.383% | 8/25/36 | 678 | 678 | |||||||||||
Lehman XS Trust Series 2005-7N 1A1B | 5.623% | 12/25/35 | 346 | 347 | |||||||||||
Lehman XS Trust Series 2006-GP2 1A1A | 5.393% | 6/25/46 | 698 | 699 | |||||||||||
MSDWCC Heloc Trust 2005-1 | 5.513% | 7/25/17 | 57 | 57 | |||||||||||
Thornburg Mortgage Securities Trust 2005-2 A1 | 5.543% | 7/25/35 | 185 | 185 | |||||||||||
Thornburg Mortgage Securities Trust 2005-2 A2 | 5.553% | 7/25/45 | 359 | 359 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6 | 5.553% | 4/25/45 | 395 | 396 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR8 | 5.593% | 7/25/45 | 361 | 362 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR11 | 5.643% | 8/25/45 | 1,177 | 1,181 |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Mortgage-Backed Securities — Continued | |||||||||||||||
Indexed Securities — Continued | |||||||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13 | 5.613% | 10/25/45 | $ | 500 | $ | 503 | |||||||||
WaMu Mortgage Pass-Through Certificates, Series 2005-AR19 | 5.613% | 12/25/45 | 724 | 727 | |||||||||||
Zuni Mortgage Loan Trust 2006-0A1 | 5.407% | 7/25/36 | 600 | 600 | |||||||||||
12,217 | |||||||||||||||
Stripped Securities — 0.1% | |||||||||||||||
Mach One Trust, Commercial Mortgage-Backed Securities 2004-1A | 1.612% | 5/28/40 | 1,285 | 57 | D1,E | ||||||||||
Variable Rate SecuritiesF — 1.2% | |||||||||||||||
Bear Stearns ARM Trust, Mortgage Pass-Through Certificates, Series 2004-4 | 3.513% | 6/25/34 | 200 | 190 | |||||||||||
Credit-Based Asset Servicing and Securitization 1999-3 | 6.665% | 1/3/29 | 41 | 39 | A | ||||||||||
GE Commercial Mortgage Corporation 2005-C4 | 5.511% | 11/10/45 | 360 | 348 | |||||||||||
IndyMac INDX Mortgage Loan Trust 2005-AR15 | 5.099% | 9/25/35 | 149 | 141 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2005-CIBC13 | 5.472% | 1/12/43 | 100 | 96 | |||||||||||
814 | |||||||||||||||
Total Mortgage-Backed Securities (Identified Cost — $15,251) | 15,081 | ||||||||||||||
U.S. Government and Agency Obligations — 13.8% | |||||||||||||||
Fixed Rate Securities — 8.9% | |||||||||||||||
Fannie Mae | 6.625% | 9/15/09 | 160 | 166 | |||||||||||
Fannie Mae | 5.200% | 11/8/10 | 170 | 167 | |||||||||||
Fannie Mae | 5.625% | 5/19/11 | 290 | 289 | |||||||||||
Fannie Mae | 4.610% | 10/10/13 | 560 | 525 |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
U.S. Government and Agency Obligations — Continued | |||||||||||||||
Fixed Rate Securities — Continued | |||||||||||||||
Freddie Mac | 4.625% | 2/21/08 | $ | 170 | $ | 168 | |||||||||
Freddie Mac | 4.125% | 10/18/10 | 40 | 38 | |||||||||||
Freddie Mac | 4.750% | 1/18/11 | 110 | 107 | |||||||||||
Freddie Mac | 5.250% | 2/24/11 | 340 | 334 | |||||||||||
Freddie Mac | 4.650% | 10/10/13 | 600 | 564 | |||||||||||
Freddie Mac | 5.625% | 11/23/35 | 210 | 191 | |||||||||||
United States Treasury Bonds | 6.250% | 8/15/23 | 300 | 331 | |||||||||||
United States Treasury Bonds | 5.250% | 11/15/28 | 20 | 20 | |||||||||||
United States Treasury Bonds | 5.250% | 2/15/29 | 340 | 338 | |||||||||||
United States Treasury Bonds | 4.500% | 2/15/36 | 1,103 | 989 | |||||||||||
United States Treasury Notes | 3.750% | 5/15/08 | 40 | 39 | |||||||||||
United States Treasury Notes | 4.500% | 2/15/09 | 60 | 59 | |||||||||||
United States Treasury Notes | 4.125% | 8/15/10 | 100 | 96 | |||||||||||
United States Treasury Notes | 3.875% | 2/15/13 | 800 | 745 | |||||||||||
United States Treasury Notes | 4.500% | 2/15/16 | 80 | 76 | |||||||||||
United States Treasury Notes | 5.125% | 5/15/16 | 900 | 899 | |||||||||||
6,141 | |||||||||||||||
Stripped Securities — 0.3% | |||||||||||||||
United States Treasury Bonds | 0.000% | 11/15/21 | 420 | 185 | D2 | ||||||||||
Treasury Inflation-Protected SecuritiesG — 4.6% | |||||||||||||||
United States Treasury Inflation-Protected Security | 3.375% | 1/15/12 | 79 | 83 | |||||||||||
United States Treasury Inflation-Protected Security | 2.000% | 1/15/14 | 71 | 69 | |||||||||||
United States Treasury Inflation-Protected Security | 2.000% | 1/15/16 | 345 | 330 | |||||||||||
United States Treasury Inflation-Protected Security | 2.375% | 1/15/25 | 1,945 | 1,893 | |||||||||||
United States Treasury Inflation-Protected Security | 2.000% | 1/15/26 | 568 | 520 |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
U.S. Government and Agency Obligations — Continued | |||||||||||||||
Treasury Inflation-Protected Securities — Continued | |||||||||||||||
United States Treasury Inflation-Protected Security | 3.875% | 4/15/29 | $ | 233 | $ | 288 | |||||||||
3,183 | |||||||||||||||
Total U.S. Government and Agency Obligations (Identified Cost — $9,854) | 9,509 | ||||||||||||||
U.S. Government Agency Mortgage-Backed Securities — 50.8% | |||||||||||||||
Fixed Rate Securities — 50.8% | |||||||||||||||
Fannie Mae | 5.500% | 12/1/17 to 9/1/35 | 1,234 | 1,189 | |||||||||||
Fannie Mae | 5.000% | 10/1/20 to 6/1/36 | 2,199 | 2,099 | |||||||||||
Fannie Mae | 6.000% | 3/1/32 to 12/1/35 | 2,179 | 2,150 | |||||||||||
Fannie Mae | 6.500% | 12/1/34 | 308 | 311 | |||||||||||
Fannie Mae | 4.500% | 9/1/35 | 97 | 87 | |||||||||||
Fannie Mae | 5.000% | 12/1/36 | 9,000 | 8,411 | H | ||||||||||
Fannie Mae | 5.500% | 12/1/36 | 5,250 | 5,041 | H | ||||||||||
Fannie Mae | 6.000% | 12/1/16 to 12/1/36 | 6,990 | 6,884 | H | ||||||||||
Fannie Mae | 6.500% | 12/1/36 | 2,350 | 2,362 | H | ||||||||||
Freddie Mac | 4.500% | 4/1/19 | 300 | 284 | |||||||||||
Freddie Mac | 5.000% | 7/1/20 to 9/1/35 | 1,444 | 1,383 | |||||||||||
Government National Mortgage Association | 6.000% | 11/15/28 to 12/15/33 | 783 | 778 | |||||||||||
Government National Mortgage Association | 6.500% | 2/15/32 | 313 | 317 | |||||||||||
Government National Mortgage Association | 5.000% | 8/15/33 to 5/15/34 | 1,002 | 950 | |||||||||||
Government National Mortgage Association | 5.500% | 2/15/35 | 2,869 | 2,782 | |||||||||||
Government National Mortgage Association | 5.000% | 12/1/36 | 100 | 94 | H | ||||||||||
Total U.S. Government Agency Mortgage-Backed Securities (Identified Cost — $35,695) | 35,122 | ||||||||||||||
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Yankee BondsI — 7.9% | |||||||||||||||
Banking and Finance — 0.2% | |||||||||||||||
Eksportfinans ASA | 5.500% | 5/25/16 | $ | 160 | $ | 159 | |||||||||
Banks — 1.3% | |||||||||||||||
Glitnir Banki HF | 6.693% | 6/15/16 | 120 | 119 | A,B | ||||||||||
Kaupthing Bank Hf | 5.758% | 4/12/11 | 270 | 270 | |||||||||||
Kaupthing Bank Hf | 7.125% | 5/19/16 | 440 | 440 | A | ||||||||||
Shinsei Finance Cayman Limited | 6.418% | 1/29/49 | 100 | 94 | A,B | ||||||||||
923 | |||||||||||||||
Cable — 0.1% | |||||||||||||||
Rogers Cable Inc. | 5.500% | 3/15/14 | 90 | 80 | |||||||||||
Foreign Governments — 2.4% | |||||||||||||||
Russian Federation | 5.000% | 3/31/30 | 860 | 915 | B | ||||||||||
United Mexican States | 5.625% | 1/15/17 | 4 | 4 | |||||||||||
United Mexican States | 8.300% | 8/15/31 | 120 | 138 | |||||||||||
United Mexican States | 7.500% | 4/8/33 | 572 | 608 | |||||||||||
1,665 | |||||||||||||||
Investment Banking/ Brokerage — 0.2% | |||||||||||||||
BNP Paribas NY | 6.875% | 3/1/09 | 110 | 113 | |||||||||||
Manufacturing (Diversified) — 2.1% | |||||||||||||||
Tyco International Group SA | 6.375% | 10/15/11 | 45 | 46 | |||||||||||
Tyco International Group SA | 6.000% | 11/15/13 | 100 | 99 | |||||||||||
Tyco International Group SA | 7.000% | 6/15/28 | 10 | 11 | |||||||||||
Tyco International Group SA | 6.875% | 1/15/29 | 1,235 | 1,273 | |||||||||||
1,429 | |||||||||||||||
Special Purpose — 1.2% | |||||||||||||||
Anadarko Finance Company | 6.750% | 5/1/11 | 125 | 128 | |||||||||||
Apache Finance Canada Corporation | 4.375% | 5/15/15 | 60 | 54 | |||||||||||
Banagricola DPR Funding Ltd. | 6.250% | 3/15/10 | 188 | 190 | A,C | ||||||||||
ChevronTexaco Capital Company | 3.500% | 9/17/07 | 140 | 137 | |||||||||||
Conoco Funding Company | 6.350% | 10/15/11 | 10 | 10 |
Par/ | |||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||
Yankee Bonds — Continued | |||||||||||||||
Special Purpose — Continued | |||||||||||||||
Deutsche Telekom International Finance BV | 5.750% | 3/23/16 | $ | 75 | $ | 71 | |||||||||
MUFG Capital Finance 1 Limited | 6.346% | 7/25/49 | 100 | 97 | B | ||||||||||
Resona PFD Global Securities | 7.191% | 12/29/49 | 140 | 140 | A,B | ||||||||||
827 | |||||||||||||||
Telecommunications — 0.4% | |||||||||||||||
British Telecommunications plc | 8.375% | 12/15/10 | 100 | 110 | |||||||||||
Koninklijke (Royal) KPN NV | 8.000% | 10/1/10 | 80 | 85 | |||||||||||
Telecom Italia Capital S.p.A. | 4.950% | 9/30/14 | 70 | 62 | |||||||||||
Telecom Italia Capital S.p.A. | 5.250% | 10/1/15 | 20 | 18 | |||||||||||
275 | |||||||||||||||
Total Yankee Bonds (Identified Cost — $5,538) | 5,471 | ||||||||||||||
Preferred Stocks — 0.4% | |||||||||||||||
Fannie Mae | 5.375% | 0.001 | shs | 93 | J | ||||||||||
General Motors Corporation | 5.250% | 8 | 153 | J | |||||||||||
Total Preferred Stocks (Identified Cost — $245) | 246 | ||||||||||||||
Total Long-Term Securities (Identified Cost — $85,315) | 83,223 | ||||||||||||||
Short-Term Securities — 13.5% | |||||||||||||||
U.S. Government and Agency Obligations — 0.2% | |||||||||||||||
Fannie Mae | 0.000% | 9/25/06 | $ | 139 | 137 | K,L | |||||||||
Yankee BondsI — 0.1% | |||||||||||||||
Government of Canada | 0.000% | 9/20/06 | 90 | 89 | K | ||||||||||
Par/ | ||||||||||||||
Shares | Value | |||||||||||||
Options PurchasedM — 0.1% | ||||||||||||||
Eurodollar Futures Call, December 2006, Strike Price $94.50 | 23 | N | 6 | |||||||||||
Eurodollar Futures Call, September 2006, Strike Price $94.00 | 34 | N | 36 | |||||||||||
Eurodollar Futures Call, September 2006, Strike Price $94.50 | 16 | N | 3 | |||||||||||
U.S. Treasury Bond Futures Call, September 2006, Strike Price $108.00 | 2 | N | 1 | |||||||||||
46 | ||||||||||||||
Repurchase Agreements — 13.1% | ||||||||||||||
Lehman Brothers, Inc. 5.05%, dated 6/30/06, to be repurchased at $4,528 on 7/3/06 (Collateral: $4,625 Freddie Mac notes, 6.4%, due 5/2/16, value $4,617) | $ | 4,526 | 4,526 | |||||||||||
Merrill Lynch Government Securities, Inc. 5.14%, dated 6/30/06, to be repurchased at $4,527 on 7/3/06 (Collateral: $11,145 Resolution Funding Co. principal-only securities, due 7/15/17 to 1/15/30, value $4,615) | 4,525 | 4,525 | ||||||||||||
9,051 | ||||||||||||||
Total Short-Term Securities (Identified Cost — $9,409) | 9,323 | |||||||||||||
Total Investments — 133.9% (Identified Cost — $94,724) | 92,546 | |||||||||||||
Other Assets Less Liabilities — (33.9)% | (23,432 | ) | ||||||||||||
Net Assets — 100.0% | $ | 69,114 | ||||||||||||
Actual | Appreciation/ | ||||||||||
Expiration | Contracts | (Depreciation) | |||||||||
Futures Contracts PurchasedM | |||||||||||
Eurodollar Futures | September 2006 | 28 | $ | (20 | ) | ||||||
Eurodollar Futures | December 2006 | 5 | (7 | ) | |||||||
Eurodollar Futures | March 2008 | 4 | (3 | ) | |||||||
U.S. Treasury Note Futures | September 2006 | 78 | (35 | ) | |||||||
U.S. Treasury Note Futures | September 2006 | 13 | (8 | ) | |||||||
$ | (73 | ) | |||||||||
Futures Contracts WrittenM | |||||||||||
U.S. Treasury Bond Futures | September 2006 | 16 | $ | 5 | |||||||
Actual | Appreciation/ | ||||||||||
Expiration | Contracts | (Depreciation) | |||||||||
Option WrittenM | |||||||||||
Eurodollar Futures Call, Strike Price $94.75 | September 2006 | 41 | $ | 8 | |||||||
Eurodollar Futures Call, Strike Price $94.875 | September 2006 | 6 | 1 | ||||||||
Eurodollar Futures Call, Strike Price $95.00 | September 2006 | 45 | 9 | ||||||||
Eurodollar Futures Call, Strike Price $95.25 | September 2006 | 4 | 1 | ||||||||
Eurodollar Futures Call, Strike Price $95.50 | September 2006 | 5 | 2 | ||||||||
Eurodollar Futures Put, Strike Price $94.50 | September 2006 | 3 | (1 | ) | |||||||
Eurodollar Futures Put, Strike Price $94.625 | September 2006 | 10 | (3 | ) | |||||||
U.S. Treasury Bond Futures Call, Strike Price $109.00 | September 2006 | 6 | 3 | ||||||||
U.S. Treasury Bond Futures Call, Strike Price $111.00 | September 2006 | 12 | 8 | ||||||||
U.S. Treasury Bond Futures Call, Strike Price $113.00 | September 2006 | 4 | 4 | ||||||||
U.S. Treasury Bond Futures Put, Strike Price $104.00 | September 2006 | 6 | 2 | ||||||||
U.S. Treasury Bond Futures Put, Strike Price $105.00 | September 2006 | 7 | 1 | ||||||||
U.S. Treasury Bond Futures Put, Strike Price $108.00 | September 2006 | 3 | (2 | ) | |||||||
U.S. Treasury Bond Futures Put, Strike Price $100.00 | December 2006 | 13 | 3 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $106.00 | August 2006 | 3 | 1 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $104.50 | September 2006 | 17 | 4 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $105.00 | September 2006 | 9 | 2 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $105.50 | September 2006 | 1 | 0.2 |
Actual | Appreciation/ | ||||||||||
Expiration | Contracts | (Depreciation) | |||||||||
Option Written — Continued | |||||||||||
U.S. Treasury Note Futures Call, Strike Price $106.00 | September 2006 | 3 | $ | 1 | |||||||
U.S. Treasury Note Futures Call, Strike Price $107.00 | September 2006 | 34 | 13 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $108.00 | September 2006 | 17 | 7 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $109.00 | September 2006 | 6 | 2 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $110.00 | September 2006 | 5 | 3 | ||||||||
U.S. Treasury Note Futures Call, Strike Price $105.00 | December 2006 | 4 | (0.2 | ) | |||||||
U.S. Treasury Note Futures Call, Strike Price $107.00 | December 2006 | 4 | (0.1 | ) | |||||||
U.S. Treasury Note Futures Call, Strike Price $109.00 | December 2006 | 4 | 1 | ||||||||
U.S. Treasury Note Futures Put, Strike Price $103.50 | September 2006 | 2 | (0.3 | ) | |||||||
$ | 70 | ||||||||||
A | Rule 144a Security — A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 3.5% of net assets. |
B | Stepped coupon security — A security with a predetermined schedule of interest or dividend rate changes. |
C | Indexed security — The rates of interest earned on these securities are tied to the London Interbank Offered Rate (“LIBOR”) or the ten year Treasury Bill Constant Maturity Rate. The coupon rates are the rates as of June 30, 2006. |
D | Stripped security — Security with interest-only or principal-only payment streams, denoted by a 1 or 2 respectively. For interest-only securities, the amount shown as principal is the notional balance used to calculate the amount of interest due. |
E | Illiquid security valued at fair value under procedures approved by the Board of Directors. |
F | The coupon rates shown on variable rate securities are the rates at June 30, 2006. These rates vary with the weighted average coupon of the underlying loans. |
G | Inflation-Protected Securities — Security whose principal value is adjusted daily or monthly in accordance with changes to the Consumer Price Index for All Urban Consumers. Interest is calculated on the basis of the current adjusted principal value. |
H | When-issued security — Security purchased on a delayed delivery basis. Final settlement amount and maturity have not yet been announced. |
I | Yankee Bond — A dollar-denominated bond issued in the U.S. by foreign entities. |
J | Convertible Security — Security may be converted into the issuer’s common stock. |
K | Zero coupon bond — A bond with no periodic interest payments which is sold at such a discount as to produce a current yield to maturity. |
L | Collateral to cover options and futures contracts. |
M | Options and futures are described in more detail in the notes to financial statements. |
N | Par represents actual number of contracts. |
Assets: | ||||||||||
Investment securities at market value (Identified Cost – $85,315) | $ | 83,223 | ||||||||
Short-term securities at value (Identified Cost – $9,409) | 9,323 | |||||||||
Cash | 1 | |||||||||
Receivable for securities sold | 2,998 | |||||||||
Receivable for fund shares sold | 198 | |||||||||
Receivable for futures variation margin | 14 | |||||||||
Interest and dividends receivable | 607 | |||||||||
Total assets | 96,364 | |||||||||
Liabilities: | ||||||||||
Payable for securities purchased | $ | 25,906 | ||||||||
Payable for fund shares repurchased | 1,079 | |||||||||
Income distribution payable | 138 | |||||||||
Written options at market value (Proceeds – $109) | 39 | |||||||||
Accrued management fee | 3 | |||||||||
Accrued distribution and service fees | 29 | |||||||||
Accrued expenses | 56 | |||||||||
Total liabilities | 27,250 | |||||||||
Net Assets | $ | 69,114 | ||||||||
Net assets consist of: | ||||||||||
Accumulated paid-in capital applicable to: | ||||||||||
7,350 Primary Class shares outstanding | $ | 72,952 | ||||||||
Overdistribution of net investment income | — | A | ||||||||
Accumulated net realized loss on investments, options, and futures | (1,662 | ) | ||||||||
Unrealized appreciation/(depreciation) of investments, options and futures | (2,176 | ) | ||||||||
Net Assets | $ | 69,114 | ||||||||
Net Asset Value Per Share: | ||||||||||
Primary Class | $ | 9.40 | ||||||||
A | Amount less than $1. |
Investment Income: | |||||||||||
Interest | $ | 1,787 | |||||||||
Dividends | 8 | ||||||||||
Total income | $ | 1,795 | |||||||||
Expenses: | |||||||||||
Management fees | 160 | ||||||||||
Distribution and service fees | |||||||||||
Primary Class | 178 | ||||||||||
Audit and legal fees | 32 | ||||||||||
Custodian fees | 50 | ||||||||||
Directors’ fees and expenses | 14 | ||||||||||
Registration fees | 14 | ||||||||||
Reports to shareholders | 20 | ||||||||||
Transfer agent and shareholder servicing expense | 25 | ||||||||||
Other expenses | 14 | ||||||||||
507 | |||||||||||
Less: Fees waived | (149 | ) | |||||||||
Compensating balance credits | (3 | ) A | |||||||||
Total expenses, net of waivers and compensating balance credits | 355 | ||||||||||
Net Investment Income | 1,440 | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments: | |||||||||||
Realized gain/(loss) on: | |||||||||||
Investments | (434 | ) | |||||||||
Options | 110 | ||||||||||
Futures | (603 | ) | |||||||||
(927 | ) | ||||||||||
Change in unrealized appreciation/(depreciation) of investments, options and futures | (1,364 | ) | |||||||||
Net Realized and Unrealized Loss on Investments | (2,291 | ) | |||||||||
Change in Net Assets Resulting From Operations | $ | (851 | ) | ||||||||
A | See note 1, Compensating Balance Credits, in the notes to financial statements. |
For the | For the | |||||||||
Six Months Ended | Year Ended | |||||||||
6/30/06 | 12/31/05 | |||||||||
(Unaudited) | ||||||||||
Change in Net Assets: | ||||||||||
Net investment income | $ | 1,440 | $ | 2,333 | ||||||
Net realized loss on investments, options and futures | (927 | ) | (663 | ) | ||||||
Change in unrealized depreciation of investments, options and futures | (1,364 | ) | (1,045 | ) | ||||||
Change in net assets resulting from operations | (851 | ) | 625 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income: | ||||||||||
Primary Class | (1,440 | ) | (2,400 | ) | ||||||
From net realized gain on investments: | ||||||||||
Primary Class | — | (11 | ) | |||||||
Change in net assets from Fund share transactions: | ||||||||||
Primary Class | (420 | ) | 9,838 | |||||||
Change in net assets | (2,711 | ) | 8,052 | |||||||
Net Assets: | ||||||||||
Beginning of period | 71,825 | 63,773 | ||||||||
End of period | $ | 69,114 | $ | 71,825 | ||||||
Overdistribution of net investment income | $ | — | A | $ | — | A | ||||
A | Amount less than $1. |
Six Months | |||||||||||||
Ended | Year Ended December 31, | ||||||||||||
June 30, | |||||||||||||
2006 | 2005 | 2004A | |||||||||||
(Unaudited) | |||||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 9.95 | $ | 10.00 | |||||||
Investment operations: | |||||||||||||
Net investment income | .19 | .32 | .18 | ||||||||||
Net realized and unrealized gain/(loss) on investments | (.31 | ) | (.23 | ) | .004 | ||||||||
Total from investment operations | (.12 | ) | .09 | .18 | |||||||||
Distributions: | |||||||||||||
From net investment income | (.19 | ) | (.33 | ) | (.21 | ) | |||||||
From net realized gain on investments | — | (.002 | ) | (.02 | ) | ||||||||
Total distributions | (.19 | ) | (.33 | ) | (.23 | ) | |||||||
Net asset value, end of period | $ | 9.40 | $ | 9.71 | $ | 9.95 | |||||||
Total return | (1.22 | )%B | .94 | % | 1.90 | %B | |||||||
Ratios to Average Net Assets:C | |||||||||||||
Total expenses | 1.43 | %D | 1.38 | % | 1.56 | %D | |||||||
Expenses net of waivers, if any | 1.01 | %D | 1.00 | % | 1.00 | %D | |||||||
Expenses net of all reductions | 1.00 | %D | 1.00 | % | 1.00 | %D | |||||||
Net investment income | 4.06 | %D | 3.29 | % | 2.50 | %D | |||||||
Supplemental Data: | |||||||||||||
Portfolio turnover rate | 208.4 | %B | 435.7 | % | 233.8 | %B | |||||||
Net assets, end of period (in thousands) | $ | 69,114 | $ | 71,825 | $ | 63,773 | |||||||
A | For the period February 27, 2004 (commencement of operations) to December 31, 2004. |
B | Not annualized. |
C | Total expenses reflects operating expenses prior to any voluntary expense waivers and/or compensating balance credits. Expenses net of waivers reflects total expenses before compensating balance credits but net of any voluntary expense waivers. Expenses net of all reductions reflects expenses less any compensating balance credits and/or voluntary expense waivers. |
D | Annualized. |
Beginning | Ending | Expenses PaidA | |||||||||||
Account | Account | During the | |||||||||||
Value | Value | Period | |||||||||||
1/1/06 | 6/30/06 | 1/1/06 to 6/30/06 | |||||||||||
Primary Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.70 | $ | 7.33 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,017.60 | 7.25 | ||||||||||
Institutional Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.80 | $ | 4.81 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.08 | 4.76 |
A | These calculations are based on expenses incurred in the most recent fiscal half-year. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratios of 1.45% and 0.95% for the Primary Class and Institutional Class, respectively, multiplied by the average values over the period, multiplied by the number of days in the most recent fiscal half-year (181), and divided by 365. |
Cumulative | Average Annual | |||||||
Total Return | Total Return | |||||||
One Year | +5.81% | +5.81% | ||||||
Five Years | +36.05% | +6.35% | ||||||
Ten Years | +52.13% | +4.28% | ||||||
A | A market value-weighted index that tracks the daily price, coupon, and total return performance of non-investment grade, fixed rate, publicly placed, dollar-denominated, and non-convertible debt registered with the U.S. Securities and Exchange Commission. The index limits the maximum exposure to any one issuer to 2%. |
B | A market value-weighted index that tracks the daily price, coupon, and total return performance of non-investment grade, fixed rate, publicly placed, dollar-denominated, and non-convertible debt registered with the U.S. Securities and Exchange Commission. |
Cumulative | Average Annual | ||||||||
Total Return | Total Return | ||||||||
One Year | +6.41% | +6.41% | |||||||
Five Years | +39.21% | +6.84% | |||||||
Life of Class* | +19.09% | +2.17% | |||||||
*Inception date: May 5, 1998 | |||||||||
C | Index returns are for periods beginning April 30, 1998. |
D | The Fund is actively managed. As a result, the composition of its portfolio holdings and sectors is subject to change at any time. |
E | Standard & Poor’s Ratings Services provides capital markets with credit ratings for the evaluation and assessment of credit risk. |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Long-Term Securities — 97.7% | |||||||||||||||||
Corporate Bonds and Notes — 85.8% | |||||||||||||||||
Advertising — 1.3% | |||||||||||||||||
Affinion Group Inc. | 10.125% | 10/15/13 | $ | 790 | $ | 794 | A | ||||||||||
R.H. Donnelley Corp. | 6.875% | 1/15/13 | 525 | 483 | A | ||||||||||||
R.H. Donnelley Corp. | 6.875% | 1/15/13 | 960 | 883 | A | ||||||||||||
2,160 | |||||||||||||||||
Aerospace and Defense — 1.1% | |||||||||||||||||
Alliant Techsystems Inc. | 6.750% | 4/1/16 | 490 | 472 | |||||||||||||
DRS Technologies, Inc. | 6.625% | 2/1/16 | 340 | 329 | |||||||||||||
DRS Technologies, Inc. | 7.625% | 2/1/18 | 470 | 467 | |||||||||||||
TransDigm Inc. | 7.750% | 7/15/14 | 460 | 458 | A | ||||||||||||
1,726 | |||||||||||||||||
Apparel — 1.6% | |||||||||||||||||
Levi Strauss & Co. | 9.750% | 1/15/15 | 750 | 750 | |||||||||||||
Levi Strauss & Co. | 8.875% | 4/1/16 | 50 | 48 | A | ||||||||||||
Oxford Industries, Inc. | 8.875% | 6/1/11 | 891 | 891 | |||||||||||||
Russell Corporation | 9.250% | 5/1/10 | 858 | 897 | |||||||||||||
2,586 | |||||||||||||||||
Auto and Automotive Parts — 1.9% | |||||||||||||||||
Commercial Vehicle Group, Inc | 8.000% | 7/1/13 | 590 | 565 | |||||||||||||
Keystone Automotive Operations Inc. | 9.750% | 11/1/13 | 1,260 | 1,191 | |||||||||||||
TRW Automotive | 9.375% | 2/15/13 | 260 | 276 | |||||||||||||
Visteon Corporation | 8.250% | 8/1/10 | 1,164 | 1,088 | |||||||||||||
3,120 | |||||||||||||||||
Automotive — 0.7% | |||||||||||||||||
Ford Motor Company | 7.450% | 7/16/31 | 285 | 206 | |||||||||||||
General Motors Corporation | 8.375% | 7/15/33 | 1,180 | 950 | |||||||||||||
1,156 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Banking and Finance — 3.8% | |||||||||||||||||
Ford Motor Credit Company | 7.375% | 2/1/11 | $ | 1,775 | $ | 1,589 | |||||||||||
General Motors Acceptance Corporation | 6.875% | 8/28/12 | 640 | 603 | |||||||||||||
General Motors Acceptance Corporation | 8.000% | 11/1/31 | 4,100 | 3,941 | |||||||||||||
6,133 | |||||||||||||||||
Building Materials — 2.9% | |||||||||||||||||
Associated Materials Incorporated | 11.250% | 3/1/14 | 1,650 | 994 | |||||||||||||
Interface, Inc. | 10.375% | 2/1/10 | 943 | 1,031 | |||||||||||||
K Hovnanian Enterprises Inc. | 6.250% | 1/15/16 | 1,240 | 1,076 | |||||||||||||
K Hovnanian Enterprises Inc. | 8.625% | 1/15/17 | 90 | 89 | |||||||||||||
Nortek, Inc. | 8.500% | 9/1/14 | 1,140 | 1,103 | |||||||||||||
NTK Holdings, Inc. | 0.000% | 3/1/14 | 265 | 192 | B | ||||||||||||
U.S. Concrete, Inc. | 8.375% | 4/1/14 | 85 | 84 | A | ||||||||||||
4,569 | |||||||||||||||||
Cable — 3.7% | |||||||||||||||||
Charter Communications Holdings, LLC | 8.625% | 4/1/09 | 170 | 131 | |||||||||||||
Charter Communications Holdings, LLC | 10.750% | 10/1/09 | 1,000 | 790 | |||||||||||||
Charter Communications Holdings, LLC | 9.625% | 11/15/09 | 360 | 277 | |||||||||||||
Charter Communications Holdings, LLC | 10.250% | 9/15/10 | 1,215 | 1,218 | |||||||||||||
CSC Holdings Inc. | 7.250% | 4/15/12 | 965 | 931 | A | ||||||||||||
CSC Holdings Inc. | 7.875% | 2/15/18 | 430 | 429 | |||||||||||||
EchoStar DBS Corporation | 5.750% | 10/1/08 | 90 | 88 | |||||||||||||
EchoStar DBS Corporation | 6.625% | 10/1/14 | 950 | 893 | |||||||||||||
EchoStar DBS Corporation | 7.125% | 2/1/16 | 330 | 318 | A | ||||||||||||
LodgeNet Entertainment Corporation | 9.500% | 6/15/13 | 782 | 833 | |||||||||||||
5,908 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Casino Resorts — 3.0% | |||||||||||||||||
Boyd Gaming Corporation | 8.750% | 4/15/12 | $ | 340 | $ | 356 | |||||||||||
Boyd Gaming Corporation | 6.750% | 4/15/14 | 180 | 171 | |||||||||||||
Inn of The Mountain Gods Resort and Casino | 12.000% | 11/15/10 | 1,660 | 1,764 | |||||||||||||
Pinnacle Entertainment, Inc. | 8.250% | 3/15/12 | 800 | 802 | |||||||||||||
Premier Entertainment Biloxi LLC | 10.750% | 2/1/12 | 1,681 | 1,735 | |||||||||||||
4,828 | |||||||||||||||||
Chemicals — 0.3% | |||||||||||||||||
Westlake Chemical Corporation | 6.625% | 1/15/16 | 525 | 485 | |||||||||||||
Coal — 0.9% | |||||||||||||||||
Alpha Natural Resources LLC | 10.000% | 6/1/12 | 1,010 | 1,081 | |||||||||||||
International Coal Group, Inc. | 10.250% | 7/15/14 | 400 | 399 | A | ||||||||||||
1,480 | |||||||||||||||||
Computer Services and Systems — 1.2% | |||||||||||||||||
Activant Solutions, Inc. | 9.500% | 5/1/16 | 275 | 266 | A | ||||||||||||
Sungard Data Systems Incorporated | 10.250% | 8/15/15 | 1,620 | 1,675 | A | ||||||||||||
1,941 | |||||||||||||||||
Containers and Packaging — 1.9% | |||||||||||||||||
Graham Packaging Company Inc. | 8.500% | 10/15/12 | 174 | 171 | |||||||||||||
Graham Packaging Company Inc. | 9.875% | 10/15/14 | 596 | 590 | |||||||||||||
Graphic Packaging International Corp. | 9.500% | 8/15/13 | 954 | 944 | |||||||||||||
Owens Brockway Glass Containers | 8.750% | 11/15/12 | 440 | 458 | |||||||||||||
Plastipak Holdings Inc. | 8.500% | 12/15/15 | 840 | 840 | A | ||||||||||||
3,003 | |||||||||||||||||
Diversified Financial Services — 0.6% | |||||||||||||||||
CitiSteel USA, Inc. | 12.490% | 9/1/10 | 790 | 816 | C | ||||||||||||
CitiSteel USA, Inc. | 15.000% | 10/1/10 | 155 | 155 | A,D | ||||||||||||
971 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Drug and Grocery Store Chains — 0.7% | |||||||||||||||||
Delhaize America, Inc. | 8.125% | 4/15/11 | $ | 464 | $ | 488 | |||||||||||
Delhaize America, Inc. | 9.000% | 4/15/31 | 630 | 691 | |||||||||||||
1,179 | |||||||||||||||||
Educational Services — 0.2% | |||||||||||||||||
Education Management LLC | 8.750% | 6/1/14 | 390 | 386 | A | ||||||||||||
Electric — 1.4% | |||||||||||||||||
Mirant Americas Generation, LLC | 8.300% | 5/1/11 | 950 | 938 | |||||||||||||
The AES Corporation | 7.750% | 3/1/14 | 405 | 407 | |||||||||||||
The AES Corporation | 9.000% | 5/15/15 | 763 | 820 | A | ||||||||||||
2,165 | |||||||||||||||||
Electronics — 1.6% | |||||||||||||||||
Amkor Technology, Inc. | 2.500% | 5/15/11 | 655 | 604 | E | ||||||||||||
L-3 Communications Corporation | 6.375% | 10/15/15 | 1,260 | 1,203 | |||||||||||||
Rayovac Corporation | 8.500% | 10/1/13 | 957 | 818 | |||||||||||||
2,625 | |||||||||||||||||
Energy — 3.8% | |||||||||||||||||
Edison Mission Energy | 7.500% | 6/15/13 | 95 | 93 | A | ||||||||||||
Edison Mission Energy | 7.750% | 6/15/16 | 520 | 511 | A | ||||||||||||
Elwood Energy LLC | 8.159% | 7/5/26 | 1,007 | 1,089 | |||||||||||||
Midwest Generation LLC | 8.560% | 1/2/16 | 1,241 | 1,303 | |||||||||||||
NRG Energy, Inc. | 7.375% | 2/1/16 | 2,170 | 2,116 | |||||||||||||
Sierra Pacific Resources | 6.750% | 8/15/17 | 980 | 926 | |||||||||||||
6,038 | |||||||||||||||||
Entertainment — 0.5% | |||||||||||||||||
Blockbuster Inc. | 9.000% | 9/1/12 | 440 | 410 | |||||||||||||
Warner Music Group | 7.375% | 4/15/14 | 420 | 408 | |||||||||||||
818 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Food, Beverage and Tobacco — 0.9% | |||||||||||||||||
Domino’s, Inc. | 8.250% | 7/1/11 | $ | 814 | $ | 845 | |||||||||||
Reynolds American Inc. | 6.500% | 7/15/10 | 580 | 561 | A | ||||||||||||
1,406 | |||||||||||||||||
Funeral Parlors and Cemeteries — 0.3% | |||||||||||||||||
Service Corporation International | 8.000% | 6/15/17 | 480 | 449 | A | ||||||||||||
Gaming — 0.8% | |||||||||||||||||
River Rock Entertainment Authority | 9.750% | 11/1/11 | 1,290 | 1,358 | |||||||||||||
Gas and Pipeline Utilities — 2.8% | |||||||||||||||||
ANR Pipeline, Inc. | 9.625% | 11/1/21 | 282 | 329 | |||||||||||||
Colorado Interstate Gas Company | 6.800% | 11/15/15 | 500 | 482 | |||||||||||||
Dynegy Holdings Inc. | 8.750% | 2/15/12 | 180 | 183 | |||||||||||||
Southern Natural Gas Company | 8.000% | 3/1/32 | 415 | 429 | |||||||||||||
The Williams Companies, Inc. | 7.500% | 1/15/31 | 440 | 424 | |||||||||||||
The Williams Companies, Inc. | 8.750% | 3/15/32 | 2,351 | 2,557 | |||||||||||||
4,404 | |||||||||||||||||
Health Care — 2.0% | |||||||||||||||||
Tenet Healthcare Corporation | 9.875% | 7/1/14 | 2,417 | 2,417 | |||||||||||||
Tenet Healthcare Corporation | 9.250% | 2/1/15 | 770 | 756 | A | ||||||||||||
3,173 | |||||||||||||||||
Homebuilding — 0.9% | |||||||||||||||||
Beazer Homes USA, Inc. | 8.625% | 5/15/11 | 265 | 267 | |||||||||||||
Beazer Homes USA, Inc. | 8.375% | 4/15/12 | 230 | 230 | |||||||||||||
Beazer Homes USA, Inc. | 8.125% | 6/15/16 | 515 | 495 | A | ||||||||||||
Kimball Hill Inc. | 10.500% | 12/15/12 | 490 | 453 | |||||||||||||
1,445 | |||||||||||||||||
Insurance — 0.4% | |||||||||||||||||
Crum & Forster Holdings Corp. | 10.375% | 6/15/13 | 700 | 712 | |||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Investment Banking/ Brokerage — 0.5% | |||||||||||||||||
E*Trade Financial Corporation | 7.375% | 9/15/13 | $ | 450 | $ | 450 | |||||||||||
E*Trade Financial Corporation | 7.875% | 12/1/15 | 332 | 340 | |||||||||||||
790 | |||||||||||||||||
Lodging/ Hotels — 0.3% | |||||||||||||||||
Host Marriott Corporation | 6.750% | 6/1/16 | 420 | 401 | A | ||||||||||||
Machinery — 0.5% | |||||||||||||||||
Terex Corporation | 7.375% | 1/15/14 | 760 | 756 | |||||||||||||
Manufacturing (Diversified) — 0.8% | |||||||||||||||||
Jacuzzi Brands Incorporated | 9.625% | 7/1/10 | 1,150 | 1,215 | |||||||||||||
Media — 3.2% | |||||||||||||||||
AMC Entertainment Inc. | 11.000% | 2/1/16 | 1,120 | 1,198 | |||||||||||||
CMP Susquehanna Corp. | 9.875% | 5/15/14 | 130 | 121 | A | ||||||||||||
Lamar Media Corporation | 6.625% | 8/15/15 | 460 | 426 | |||||||||||||
LIN Television Corporation | 6.500% | 5/15/13 | 435 | 397 | |||||||||||||
LIN Television Corporation | 6.500% | 5/15/13 | 250 | 228 | |||||||||||||
PRIMEDIA Inc. | 8.875% | 5/15/11 | 1,270 | 1,219 | |||||||||||||
Sinclair Broadcast Group, Inc. | 8.000% | 3/15/12 | 865 | 878 | |||||||||||||
XM Satellite Radio Inc. | 9.649% | 5/1/13 | 170 | 156 | A,C | ||||||||||||
XM Satellite Radio Inc. | 9.750% | 5/1/14 | 545 | 499 | A | ||||||||||||
5,122 | |||||||||||||||||
Medical Care Facilities — 1.4% | |||||||||||||||||
DaVita, Inc. | 7.250% | 3/15/15 | 1,160 | 1,114 | |||||||||||||
HCA, Inc. | 9.000% | 12/15/14 | 270 | 293 | |||||||||||||
HCA, Inc. | 7.690% | 6/15/25 | 330 | 312 | |||||||||||||
HCA, Inc. | 7.500% | 11/6/33 | 425 | 388 | |||||||||||||
HCA, Inc. | 7.500% | 11/15/95 | 155 | 129 | |||||||||||||
2,236 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Medical Products — 0.2% | |||||||||||||||||
Fresenius Medical Care Capital Trust II | 7.875% | 2/1/08 | $ | 100 | $ | 101 | F | ||||||||||
Fresenius Medical Care Capital Trust IV | 7.875% | 6/15/11 | 170 | 172 | |||||||||||||
273 | |||||||||||||||||
Metals — 0.5% | |||||||||||||||||
Metals USA, Inc. | 11.125% | 12/1/15 | 665 | 728 | A | ||||||||||||
Oil and Gas — 9.9% | |||||||||||||||||
Belden & Blake Corporation | 8.750% | 7/15/12 | 2,055 | 2,086 | |||||||||||||
Chesapeake Energy Corporation | 7.625% | 7/15/13 | 375 | 377 | |||||||||||||
Chesapeake Energy Corporation | 6.500% | 8/15/17 | 205 | 187 | |||||||||||||
Chesapeake Energy Corporation | 6.250% | 1/15/18 | 810 | 739 | |||||||||||||
El Paso Corporation | 7.750% | 6/15/10 | 230 | 234 | A | ||||||||||||
El Paso Corporation | 8.050% | 10/15/30 | 950 | 952 | |||||||||||||
El Paso Corporation | 7.800% | 8/1/31 | 2,150 | 2,088 | |||||||||||||
Encore Acquisition Company | 6.250% | 4/15/14 | 160 | 147 | |||||||||||||
Encore Acquisition Company | 6.000% | 7/15/15 | 310 | 279 | |||||||||||||
Encore Acquisition Company | 7.250% | 12/1/17 | 400 | 384 | |||||||||||||
Exco Resources, Inc. | 7.250% | 1/15/11 | 810 | 777 | |||||||||||||
Kerr-Mcgee Corporation | 6.950% | 7/1/24 | 940 | 945 | |||||||||||||
Mariner Energy Inc. | 7.500% | 4/15/13 | 295 | 284 | A | ||||||||||||
Petrohawk Energy Corporation | 9.125% | 7/15/13 | 390 | 388 | A | ||||||||||||
Plains Exploration & Production Company | 7.125% | 6/15/14 | 810 | 798 | |||||||||||||
Pogo Producing Company | 6.875% | 10/1/17 | 910 | 843 | |||||||||||||
Pride International, Inc. | 7.375% | 7/15/14 | 940 | 945 | |||||||||||||
SemGroup, L.P. | 8.750% | 11/15/15 | 1,030 | 1,025 | A | ||||||||||||
SESI, L.L.C | 6.875% | 6/1/14 | 30 | 29 | A | ||||||||||||
Stone Energy Corporation | 8.250% | 12/15/11 | 230 | 232 | |||||||||||||
Stone Energy Corporation | 6.750% | 12/15/14 | 285 | 286 |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Oil and Gas — Continued | |||||||||||||||||
Suburban Propane Partners LP | 6.875% | 12/15/13 | $ | 1,110 | $ | 1,038 | |||||||||||
Whiting Peteroleum Corporation | 7.000% | 2/1/14 | 820 | 775 | |||||||||||||
15,838 | |||||||||||||||||
Paper and Forest Products — 1.3% | |||||||||||||||||
Appleton Papers Inc. | 9.750% | 6/15/14 | 830 | 838 | |||||||||||||
Glatfelter | 7.125% | 5/1/16 | 160 | 158 | A | ||||||||||||
NewPage Corporation | 12.000% | 5/1/13 | 1,085 | 1,123 | |||||||||||||
2,119 | |||||||||||||||||
Personal Products — 0.1% | |||||||||||||||||
Playtex Products, Inc. | 8.000% | 3/1/11 | 230 | 238 | |||||||||||||
Pet Products — 0.2% | |||||||||||||||||
Nutro Products, Inc. | 9.230% | 10/15/13 | 90 | 92 | A,E | ||||||||||||
Nutro Products, Inc. | 10.750% | 4/15/14 | 190 | 195 | A | ||||||||||||
287 | |||||||||||||||||
Pharmaceuticals — 0.6% | |||||||||||||||||
Leiner Health Products Inc. | 11.000% | 6/1/12 | 940 | 889 | |||||||||||||
Printing and Copying Services — 0.4% | |||||||||||||||||
Xerox Corporation | 6.400% | 3/15/16 | 620 | 585 | |||||||||||||
Real Estate — 1.0% | |||||||||||||||||
Forest City Enterprises, Inc. | 6.500% | 2/1/17 | 830 | 776 | |||||||||||||
Ventas, Inc. | 8.750% | 5/1/09 | 475 | 499 | |||||||||||||
Ventas, Inc. | 6.750% | 6/1/10 | 200 | 198 | |||||||||||||
Ventas, Inc. | 9.000% | 5/1/12 | 158 | 173 | |||||||||||||
1,646 | |||||||||||||||||
Rental and Lease Services — 1.9% | |||||||||||||||||
Avis Budget Car Rental Llc | 7.625% | 5/15/14 | 110 | 107 | A | ||||||||||||
Hertz Corporation | 8.875% | 1/1/14 | 470 | 482 | A |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Rental and Lease Services — Continued | |||||||||||||||||
Hertz Corporation | 10.500% | 1/1/16 | $ | 1,290 | $ | 1,367 | A | ||||||||||
NationsRent Inc. | 9.500% | 10/15/10 | 1,090 | 1,161 | |||||||||||||
3,117 | |||||||||||||||||
Retail — 2.8% | |||||||||||||||||
American Greetings Corporation | 7.375% | 6/1/16 | 60 | 60 | |||||||||||||
Brookstone Company Inc. | 12.000% | 10/15/12 | 810 | 713 | A | ||||||||||||
El Pollo Loco, Inc. | 11.750% | 11/15/13 | 570 | 651 | A | ||||||||||||
FTD, Inc. | 7.750% | 2/15/14 | 425 | 419 | |||||||||||||
Norcraft Companies | 9.000% | 11/1/11 | 1,420 | 1,445 | |||||||||||||
The Neiman Marcus Group, Inc. | 9.000% | 10/15/15 | 1,090 | 1,139 | A | ||||||||||||
4,427 | |||||||||||||||||
Special Purpose — 9.0% | |||||||||||||||||
AAC Group Holding Corp. | 0.000% | 10/1/12 | 1,820 | 1,420 | B | ||||||||||||
CCM Merger Inc. | 8.000% | 8/1/13 | 165 | 156 | A | ||||||||||||
Denny’s Holdings, Inc. | 10.000% | 10/1/12 | 350 | 348 | |||||||||||||
Di Finance Corporation | 9.500% | 2/15/13 | 1,460 | 1,518 | |||||||||||||
H & E Equipment Services LLC | 11.125% | 6/15/12 | 1,444 | 1,595 | |||||||||||||
H-Lines Finance Holding Corp. | 0.000% | 4/1/13 | 994 | 852 | B | ||||||||||||
Hexion U.S. Finance Corp./ Hexion Nova Scotia Finance, ULC | 9.000% | 7/15/14 | 790 | 800 | |||||||||||||
Hughes Network Systems Llc | 9.500% | 4/15/14 | 355 | 348 | A | ||||||||||||
Milacron Escrow Corporation | 11.500% | 5/15/11 | 1,665 | 1,544 | |||||||||||||
Rainbow National Services LLC | 8.750% | 9/1/12 | 510 | 535 | A | ||||||||||||
Rainbow National Services LLC | 10.375% | 9/1/14 | 360 | 399 | A | ||||||||||||
Standard Aero Holdings Inc. | 8.250% | 9/1/14 | 1,405 | 1,251 | |||||||||||||
UCAR Finance Inc. | 10.250% | 2/15/12 | 435 | 459 | |||||||||||||
UGS Corporation | 10.000% | 6/1/12 | 900 | 968 | |||||||||||||
Vanguard Health Holding Company I LLC | 11.250% | 10/1/15 | 475 | 335 | B | ||||||||||||
Vanguard Health Holding Company II LLC | 9.000% | 10/1/14 | 1,605 | 1,601 | |||||||||||||
Visant Holding Corporation | 8.750% | 12/1/13 | 330 | 318 | A | ||||||||||||
14,447 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Steel Products — 1.1% | |||||||||||||||||
Chaparral Steel Company | 10.000% | 7/15/13 | $ | 790 | $ | 861 | |||||||||||
Rathgibson Inc. | 11.250% | 2/15/14 | 835 | 860 | A | ||||||||||||
1,721 | |||||||||||||||||
Telecommunications — 4.0% | |||||||||||||||||
Cincinnati Bell Inc. | 7.000% | 2/15/15 | 699 | 659 | |||||||||||||
Cincinnati Bell Inc. | 6.300% | 12/1/28 | 330 | 285 | |||||||||||||
Citizens Communications Company | 9.000% | 8/15/31 | 505 | 511 | |||||||||||||
Hawaiian Telcom Communications, Inc. | 12.500% | 5/1/15 | 1,810 | 1,896 | |||||||||||||
Qwest Communications International Inc. | 7.250% | 2/15/11 | 703 | 682 | |||||||||||||
Qwest Communications International Inc. | 7.500% | 2/15/14 | 620 | 605 | |||||||||||||
Qwest Corporation | 7.875% | 9/1/11 | 830 | 840 | |||||||||||||
Windstream Corporation | 8.625% | 8/1/16 | 925 | 946 | A | ||||||||||||
6,424 | |||||||||||||||||
Telecommunications (Cellular/ Wireless) — 0.7% | |||||||||||||||||
Rural Cellular Corporation | 9.875% | 2/1/10 | 490 | 504 | |||||||||||||
Ubiquitel Operating Company | 9.875% | 3/1/11 | 610 | 663 | |||||||||||||
1,167 | |||||||||||||||||
Transportation — 4.2% | |||||||||||||||||
American Airlines, Inc. | 7.800% | 10/1/06 | 830 | 831 | |||||||||||||
American Commercial Lines Llc | 9.500% | 2/15/15 | 500 | 548 | |||||||||||||
Gulfmark Offshore, Inc. | 7.750% | 7/15/14 | 820 | 799 | |||||||||||||
Horizon Lines, LLC | 9.000% | 11/1/12 | 428 | 434 | |||||||||||||
Kansas City Southern Railway | 7.500% | 6/15/09 | 710 | 710 | |||||||||||||
Progress Rail Corp. | 8.500% | 4/1/12 | 900 | 972 | A | ||||||||||||
United Air Lines, Inc. | 7.811% | 10/1/09 | 344 | 358 |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Transportation — Continued | |||||||||||||||||
United Air Lines, Inc. | 7.032% | 10/1/10 | $ | 566 | $ | 573 | |||||||||||
United Air Lines, Inc. | 7.186% | 10/1/12 | 1,488 | 1,500 | |||||||||||||
6,725 | |||||||||||||||||
Total Corporate Bonds and Notes (Identified Cost — $139,277) | 137,375 | ||||||||||||||||
Mortgage-Backed Securities — 0.3% | |||||||||||||||||
Blackrock Capital Finance L.P. 1996-R1 | 9.515% | 9/25/26 | 550 | 330 | |||||||||||||
Blackrock Capital Finance L.P. 1997-R1 | 7.750% | 3/25/37 | 472 | 99 | A | ||||||||||||
Ocwen Residential Mortgage Corporation 1998-R1 | 7.000% | 10/25/40 | 174 | 17 | |||||||||||||
Total Mortgage-Backed Securities (Identified Cost — $768) | 446 | ||||||||||||||||
Yankee BondsG — 10.5% | |||||||||||||||||
Cable — 0.7% | |||||||||||||||||
Rogers Cable Inc. | 5.500% | 3/15/14 | 790 | 701 | |||||||||||||
Rogers Cable Inc. | 6.750% | 3/15/15 | 530 | 505 | |||||||||||||
1,206 | |||||||||||||||||
Chemicals — 0.6% | |||||||||||||||||
Basell AF SCA | 8.375% | 8/15/15 | 980 | 942 | A | ||||||||||||
Electric — 0.6% | |||||||||||||||||
AES China Generating Co. Ltd. | 8.250% | 6/26/10 | 995 | 984 | |||||||||||||
Foreign Governments — 0.2% | |||||||||||||||||
Federative Republic of Brazil | 8.000% | 1/15/18 | 310 | 327 | |||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Yankee Bonds — Continued | |||||||||||||||||
Media — 1.8% | |||||||||||||||||
Kabel Deutschland GmbH | 10.625% | 7/1/14 | $ | 1,200 | $ | 1,266 | A | ||||||||||
Quebecor Media Inc. | 7.750% | 3/15/16 | 1,325 | 1,299 | A | ||||||||||||
Quebecor World Capital Corp. | 8.750% | 3/15/16 | 340 | 310 | A | ||||||||||||
2,875 | |||||||||||||||||
Oil and Gas — 0.8% | |||||||||||||||||
Utilicorp Canada Finance Corp | 7.750% | 6/15/11 | 510 | 528 | |||||||||||||
Western Oil Sands Inc. | 8.375% | 5/1/12 | 640 | 680 | |||||||||||||
1,208 | |||||||||||||||||
Paper and Forest Products — 0.4% | |||||||||||||||||
Domtar Inc. | 7.875% | 10/15/11 | 450 | 423 | |||||||||||||
Domtar Inc. | 5.375% | 12/1/13 | 310 | 251 | |||||||||||||
674 | |||||||||||||||||
Pharmaceuticals — 0.2% | |||||||||||||||||
Angiotech Pharmaceuticals, Inc. | 7.750% | 4/1/14 | 370 | 353 | A | ||||||||||||
Semiconductor Equipment and Production — 0.5% | |||||||||||||||||
MagnaChip Semiconductor S.A. | 8.000% | 12/15/14 | 880 | 730 | |||||||||||||
Services — 0.5% | |||||||||||||||||
Compagnie Generale de Geophysique SA (CGG) | 7.500% | 5/15/15 | 780 | 763 | |||||||||||||
Special Purpose — 0.5% | |||||||||||||||||
Montell Finance Co BV | 8.100% | 3/15/27 | 850 | 769 | A | ||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Yankee Bonds — Continued | |||||||||||||||||
Telecommunications — 2.4% | |||||||||||||||||
Intelsat (Bermuda), Ltd. | 7.625% | 4/15/12 | $ | 1,040 | $ | 858 | |||||||||||
Intelsat (Bermuda), Ltd. | 9.250% | 6/15/16 | 635 | 656 | A | ||||||||||||
Intelsat (Bermuda), Ltd. | 11.250% | 6/15/16 | 1,145 | 1,173 | A | ||||||||||||
Nordic Telephone Company Holding | 8.875% | 5/1/16 | 380 | 391 | A | ||||||||||||
Wind Acquisition Finance SA | 10.750% | 12/1/15 | 790 | 839 | A | ||||||||||||
3,917 | |||||||||||||||||
Telecommunications (Cellular/ Wireless) — 0.2% | |||||||||||||||||
Rogers Wireless | 7.250% | 12/15/12 | 330 | 333 | |||||||||||||
Transportation — 1.1% | |||||||||||||||||
Grupo Transportacion Ferroviaria Mexicana, S.A. de C.V. (TFM) | 9.375% | 5/1/12 | 370 | 394 | |||||||||||||
OMI Corporation | 7.625% | 12/1/13 | 966 | 964 | |||||||||||||
Teekay Shipping Corporation | 8.875% | 7/15/11 | 376 | 394 | |||||||||||||
1,752 | |||||||||||||||||
Total Yankee Bonds (Identified Cost — $17,273) | 16,833 | ||||||||||||||||
Common Stocks — N.M. | |||||||||||||||||
Washington Group International, Inc. | 0.3 | shs | 18 | ||||||||||||||
Total Common Stocks (Identified Cost — $0) | 18 | ||||||||||||||||
Preferred Stocks — 1.1% | |||||||||||||||||
Chespeake Energy Corporation | 6.250% | 1 | 174 | ||||||||||||||
Paxson Communications Corporation | 14.250% | 0.2 | 1,643 | D,H | |||||||||||||
Total Preferred Stocks (Identified Cost — $1,695) | 1,817 | ||||||||||||||||
Par/ | |||||||||||||||||
Shares | Value | ||||||||||||||||
Warrants — N.M. | |||||||||||||||||
Next Generation Network, Inc. | 16 | wts | $ | 0.2 | I | ||||||||||||
Total Warrants (Identified Cost — $237) | 0.2 | ||||||||||||||||
Total Long-Term Securities (Identified Cost — $159,250) | 156,489 | ||||||||||||||||
Short-Term Securities — 2.6% | |||||||||||||||||
Repurchase Agreements — 2.6% | |||||||||||||||||
Goldman, Sachs & Company 5.21%, dated 6/30/06, to be repurchased at $2,092 on 7/3/06 (Collateral: $2,255 Fannie Mae notes, 4.375%, due 7/17/13 value $2,134) | $ | 2,091 | 2,091 | ||||||||||||||
Lehman Brothers, Inc. 5.05%, dated 6/30/06, to be repurchased at $2,092 on 7/3/06 (Collateral: $9,225 Federal Home Loan Bank zero-coupon bonds, due 9/29/28, value $2,133) | 2,091 | 2,091 | |||||||||||||||
Total Short-Term Securities (Identified Cost — $4,182) | 4,182 | ||||||||||||||||
Total Investments — 100.3% (Identified Cost — $163,432) | 160,671 | ||||||||||||||||
Other Assets Less Liabilities — (0.3)% | (484 | ) | |||||||||||||||
Net Assets — 100.0% | $ | 160,187 | |||||||||||||||
A | Rule 144a Security — A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 20.5% of net assets. |
B | Stepped coupon security — A security with a predetermined schedule of interest or dividend rate changes. |
C | Indexed Security — The rates of interest earned on these securities are tied to the London Interbank Offered Rate (“LIBOR”). The coupon rates are the rates as of June 30, 2006. |
D | Pay-in-Kind (“PIK”) security — A security in which interest or dividends during the initial few years is paid in additional PIK securities rather than in cash. |
E | Convertible Security — Security may be converted into issuer’s common stock. |
F | Unit — A security which consists of a bond and warrants to purchase the stock of the issuer. |
G | Yankee Bond — A dollar-denominated bond issued in the U.S. by foreign entities. |
H | Private placement. |
I | Non-income producing. |
Assets: | ||||||||||
Investment securities at market value (Identified Cost – $159,250) | $ | 156,489 | ||||||||
Short-term securities at value (Identified Cost – $4,182) | 4,182 | |||||||||
Interest and dividends receivable | 3,453 | |||||||||
Receivable for fund shares sold | 285 | |||||||||
Receivable for securities sold | 254 | |||||||||
Total assets | 164,663 | |||||||||
Liabilities: | ||||||||||
Payable for securities purchased | $ | 3,863 | ||||||||
Payable for fund shares repurchased | 373 | |||||||||
Accrued management fee | 86 | |||||||||
Accrued distribution and service fees | 61 | |||||||||
Accrued expenses | 93 | |||||||||
Total liabilities | 4,476 | |||||||||
Net Assets | $ | 160,187 | ||||||||
Net assets consist of: | ||||||||||
Accumulated paid-in capital applicable to: | ||||||||||
16,370 Primary Class shares outstanding | $ | 302,215 | ||||||||
1,523 Institutional Class shares outstanding | 13,965 | |||||||||
Undistributed net investment income | 473 | |||||||||
Accumulated net realized loss on investments | (153,705 | ) | ||||||||
Unrealized appreciation/(depreciation) of investments | (2,761 | ) | ||||||||
Net Assets | $ | 160,187 | ||||||||
Net Asset Value Per Share: | ||||||||||
Primary Class | $8.95 | |||||||||
Institutional Class | $8.99 | |||||||||
Investment Income: | |||||||||||
Interest | $ | 7,295 | |||||||||
Dividends | 115 | ||||||||||
Total income | $ | 7,410 | |||||||||
Expenses: | |||||||||||
Management fees | 538 | ||||||||||
Distribution and service fees | |||||||||||
Primary Class | 381 | ||||||||||
Audit and legal fees | 36 | ||||||||||
Custodian fees | 40 | ||||||||||
Directors’ fees and expenses | 15 | ||||||||||
Registration fees | 27 | ||||||||||
Reports to shareholders | 26 | ||||||||||
Transfer agent and shareholder servicing expense: | |||||||||||
Primary Class | 74 | ||||||||||
Institutional Class | 7 | ||||||||||
Other expenses | 21 | ||||||||||
1,165 | |||||||||||
Less: Compensating balance credits | (2 | )A | |||||||||
Total expenses, net of compensating balance credits | 1,163 | ||||||||||
Net Investment Income | 6,247 | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments: | |||||||||||
Realized gain on investments | 1,173 | ||||||||||
Change in unrealized appreciation/(depreciation) of investments | (1,049 | ) | |||||||||
Net Realized and Unrealized Gain/(Loss) on Investments | 124 | ||||||||||
Change in Net Assets Resulting From Operations | $ | 6,371 | |||||||||
A | See note 1, Compensating Balance Credits, in the notes to financial statements. |
For the | For the | |||||||||
Six Months Ended | Year Ended | |||||||||
6/30/06 | 12/31/05 | |||||||||
(Unaudited) | ||||||||||
Change in Net Assets: | ||||||||||
Net investment income | $ | 6,247 | $ | 14,117 | ||||||
Net realized gain on investments | 1,173 | 765 | ||||||||
Change in unrealized appreciation/(depreciation) on investments | (1,049 | ) | (10,653 | ) | ||||||
Change in net assets resulting from operations | 6,371 | 4,229 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income: | ||||||||||
Primary Class | (5,288 | ) | (13,197 | ) | ||||||
Institutional Class | (487 | ) | (861 | ) | ||||||
Change in net assets from Fund share transactions: | ||||||||||
Primary Class | (11,461 | ) | (38,618 | ) | ||||||
Institutional Class | 1,264 | 4,174 | ||||||||
Change in net assets | (9,601 | ) | (44,273 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 169,788 | 214,061 | ||||||||
End of period | $ | 160,187 | $ | 169,788 | ||||||
Undistributed net investment income | $ | 473 | $ | 1 | ||||||
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.93 | $ | 9.39 | $ | 9.10 | $ | 7.96 | $ | 9.22 | $ | 10.18 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .34 | .67 | .62 | .63 | .77 | .94 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (.01 | ) | (.46 | ) | .29 | 1.15 | (1.26 | ) | (.94 | ) | |||||||||||||||
Total from investment operations | .33 | .21 | .91 | 1.78 | (.49 | ) | — | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.31 | ) | (.67 | ) | (.62 | ) | (.64 | ) | (.77 | ) | (.96 | ) | |||||||||||||
Total distributions | (.31 | ) | (.67 | ) | (.62 | ) | (.64 | ) | (.77 | ) | (.96 | ) | |||||||||||||
Net asset value, end of period | $ | 8.95 | $ | 8.93 | $ | 9.39 | $ | 9.10 | $ | 7.96 | $ | 9.22 | |||||||||||||
Total return | 3.77 | %A | 2.39 | % | 10.51 | % | 23.03 | % | (5.28 | )% | (.13 | )% | |||||||||||||
Ratios to Average Net Assets:B | |||||||||||||||||||||||||
Total expenses | 1.45 | %C | 1.40 | % | 1.36 | % | 1.41 | % | 1.36 | % | 1.51 | % | |||||||||||||
Expenses net of waivers, if any | 1.45 | %C | 1.40 | % | 1.36 | % | 1.41 | % | 1.36 | % | 1.51 | % | |||||||||||||
Expenses net of all reductions | 1.45 | %C | 1.40 | % | 1.36 | % | 1.41 | % | 1.36 | % | 1.51 | % | |||||||||||||
Net investment income | 7.51 | %C | 7.28 | % | 6.79 | % | 7.26 | % | 9.06 | % | 9.59 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 49.3 | %A | 134.0 | % | 109.1 | % | 122.3 | % | 96.6 | % | 130.0 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 146,502 | $ | 157,399 | $ | 205,314 | $ | 223,773 | $ | 162,175 | $ | 199,214 | |||||||||||||
A | Not annualized. |
B | Total expenses reflects operating expenses prior to any voluntary expense waivers and/or compensating balance credits. Expenses net of waivers reflects total expenses before compensating balance credits but net of any voluntary expense waivers. Expenses net of all reductions reflects expenses less any compensating balance credits and/or voluntary expense waivers. |
C | Annualized. |
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.96 | $ | 9.41 | $ | 9.11 | $ | 7.96 | $ | 9.20 | $ | 10.18 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .36 | .71 | .66 | .66 | .78 | 1.01 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | — | (.45 | ) | .31 | 1.15 | (1.24 | ) | (1.00 | ) | ||||||||||||||||
Total from investment operations | .36 | .26 | .97 | 1.81 | (.46 | ) | .01 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.33 | ) | (.71 | ) | (.67 | ) | (.66 | ) | (.78 | ) | (.99 | ) | |||||||||||||
Total distributions | (.33 | ) | (.71 | ) | (.67 | ) | (.66 | ) | (.78 | ) | (.99 | ) | |||||||||||||
Net asset value, end of period | $ | 8.99 | $ | 8.96 | $ | 9.41 | $ | 9.11 | $ | 7.96 | $ | 9.20 | |||||||||||||
Total return | 4.08 | %A | 2.94 | % | 11.15 | % | 23.54 | % | (5.00 | )% | (.06 | )% | |||||||||||||
Ratios to Average Net Assets:B | |||||||||||||||||||||||||
Total expenses | .95 | %C | .85 | % | .80 | % | .85 | % | .82 | % | .97 | % | |||||||||||||
Expenses net of waivers, if any | .95 | %C | .85 | % | .80 | % | .85 | % | .82 | % | .97 | % | |||||||||||||
Expenses net of all reductions | .95 | %C | .84 | % | .80 | % | .85 | % | .82 | % | .97 | % | |||||||||||||
Net investment income | 8.01 | %C | 7.93 | % | 7.38 | % | 7.78 | % | 9.63 | % | 10.20 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 49.3 | %A | 134.0 | % | 109.1 | % | 122.3 | % | 96.6 | % | 130.0 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 13,685 | $ | 12,389 | $ | 8,747 | $ | 6,434 | $ | 2,704 | $ | 1,331 | |||||||||||||
Beginning | Ending | Expenses PaidA | |||||||||||
Account | Account | During the | |||||||||||
Value | Value | Period | |||||||||||
1/1/06 | 6/30/06 | 1/1/06 to 6/30/06 | |||||||||||
Primary Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 988.50 | $ | 4.93 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 5.01 | ||||||||||
Institutional Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 991.00 | $ | 2.47 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.32 | 2.51 |
A | These calculations are based on expenses incurred in the most recent fiscal half-year. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratios of 1.00% and 0.50% for the Primary Class and Institutional Class, respectively, multiplied by the average values over the period, multiplied by the number of days in the most recent fiscal half-year (181), and divided by 365. |
Cumulative | Average Annual | |||||||
Total Return | Total Return | |||||||
One Year | -1.75% | -1.75% | ||||||
Five Years | +31.75% | +5.67% | ||||||
Ten Years | +85.68% | +6.38% | ||||||
A | This index includes all publicly issued, fixed rate, non-convertible, investment grade, domestic corporate debt. It also includes Yankee bonds, which are dollar-denominated, SEC- registered public, non-convertible debt issued or guaranteed by foreign sovereign governments, municipalities, governmental agencies, and international agencies. |
B | A market value-weighted index that tracks the daily price, coupon, pay-downs, and total return performance of fixed rate, publicly placed, dollar-denominated, and nonconvertible investment grade debt issues with at least $100 million par amount outstanding and with at least one year to final maturity. |
Cumulative | Average Annual | |||||||
Total Return | Total Return | |||||||
One Year | -1.12% | -1.12% | ||||||
Five Years | +35.36% | +6.24% | ||||||
Ten Years | +95.95% | +6.96% | ||||||
C | The Fund is actively managed. As a result, the composition of its portfolio holdings and sectors is subject to change at any time. |
D | Standard & Poor’s Ratings Services provides capital markets with credit ratings for the evaluation and assessment of credit risk. |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Long-Term Securities — 98.5% | |||||||||||||||||
Corporate Bonds and Notes — 72.7% | |||||||||||||||||
Aerospace/ Defense — 1.0% | |||||||||||||||||
L-3 Communications Corp. | 7.625% | 6/15/12 | $ | 1,000 | $ | 1,015 | |||||||||||
Lockheed Martin Corporation | 8.500% | 12/1/29 | 760 | 956 | |||||||||||||
Northrop Grumman Corporation | 7.750% | 2/15/31 | 170 | 199 | |||||||||||||
Raytheon Company | 6.150% | 11/1/08 | 489 | 494 | |||||||||||||
Raytheon Company | 5.375% | 4/1/13 | 1,240 | 1,204 | |||||||||||||
3,868 | |||||||||||||||||
Auto Parts and Equipment — 0.4% | |||||||||||||||||
Johnson Controls, Inc. | 5.250% | 1/15/11 | 1,460 | 1,423 | |||||||||||||
Automotive — 1.0% | |||||||||||||||||
Ford Motor Company | 7.450% | 7/16/31 | 1,975 | 1,427 | |||||||||||||
Ford Motor Company | 8.900% | 1/15/32 | 370 | 295 | |||||||||||||
General Motors Corporation | 8.250% | 7/15/23 | 650 | 512 | |||||||||||||
General Motors Corporation | 8.375% | 7/15/33 | 1,990 | 1,602 | |||||||||||||
3,836 | |||||||||||||||||
Banking and Finance — 7.9% | |||||||||||||||||
Boeing Capital Corporation | 6.500% | 2/15/12 | 1,000 | 1,035 | |||||||||||||
Boeing Capital Corporation | 5.800% | 1/15/13 | 530 | 531 | |||||||||||||
Countrywide Home Loans, Inc. | 3.250% | 5/21/08 | 1,200 | 1,148 | |||||||||||||
Countrywide Home Loans, Inc. | 4.125% | 9/15/09 | 340 | 324 | |||||||||||||
Ford Motor Credit Company | 7.375% | 10/28/09 | 2,970 | 2,746 | |||||||||||||
Ford Motor Credit Company | 7.375% | 2/1/11 | 2,390 | 2,140 | |||||||||||||
Ford Motor Credit Company | 10.486% | 6/15/11 | 6,829 | 6,853 | A,B | ||||||||||||
Ford Motor Credit Company | 7.250% | 10/25/11 | 2,410 | 2,138 | |||||||||||||
General Motors Acceptance Corporation | 6.125% | 8/28/07 | 2,680 | 2,652 | |||||||||||||
General Motors Acceptance Corporation | 6.311% | 11/30/07 | 320 | 308 | |||||||||||||
General Motors Acceptance Corporation | 5.625% | 5/15/09 | 590 | 561 | |||||||||||||
General Motors Acceptance Corporation | 6.875% | 9/15/11 | 750 | 716 |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Banking and Finance — Continued | |||||||||||||||||
General Motors Acceptance Corporation | 0.000% | 6/15/15 | $ | 2,700 | $ | 1,252 | C | ||||||||||
HSBC Finance Corporation | 4.750% | 4/15/10 | 1,325 | 1,278 | |||||||||||||
HSBC Finance Corporation | 5.500% | 1/19/16 | 1,610 | 1,533 | |||||||||||||
John Deere Capital Corporation | 4.500% | 8/22/07 | 5 | 5 | |||||||||||||
MBNA America Bank | 5.375% | 1/15/08 | 1,200 | 1,196 | |||||||||||||
National Rural Utilities Cooperative Finance Corporation | 7.250% | 3/1/12 | 1,700 | 1,811 | |||||||||||||
Residential Capital Corporation | 6.125% | 11/21/08 | 530 | 523 | |||||||||||||
Residential Capital Corporation | 6.000% | 2/22/11 | 1,970 | 1,909 | |||||||||||||
SB Treasury Company LLC | 9.400% | 12/29/49 | 840 | 892 | A,D | ||||||||||||
31,551 | |||||||||||||||||
Banks — 6.9% | |||||||||||||||||
Bank of America Corporation | 7.400% | 1/15/11 | 3,165 | 3,367 | |||||||||||||
Bank of America Corporation | 4.750% | 8/15/13 | 110 | 103 | |||||||||||||
BankAmerica Capital III | 5.638% | 1/15/27 | 585 | 567 | B | ||||||||||||
BB&T Capital Trust II | 6.750% | 6/7/36 | 1,750 | 1,743 | |||||||||||||
CBA Capital Trust I | 5.805% | 12/31/49 | 3,510 | 3,381 | A | ||||||||||||
Chase Capital II | 5.649% | 2/1/27 | 1,980 | 1,902 | B | ||||||||||||
HSBC Finance Capital Trust IX | 5.911% | 11/30/35 | 2,500 | 2,386 | D | ||||||||||||
Key Bank NA | 5.800% | 7/1/14 | 535 | 528 | |||||||||||||
Rabobank Capital Funding Trust II | 5.260% | 12/31/49 | 320 | 300 | A,D | ||||||||||||
Rabobank Capital Funding Trust III | 5.254% | 12/29/49 | 3,120 | 2,858 | A,D | ||||||||||||
RBS Capital Trust III | 5.512% | 9/29/49 | 4,020 | 3,748 | D | ||||||||||||
Suntrust Bank | 5.000% | 9/1/15 | 770 | 723 | |||||||||||||
UnionBanCal Corporation | 5.250% | 12/16/13 | 785 | 750 | |||||||||||||
Wachovia Bank NA | 7.800% | 8/18/10 | 2,640 | 2,826 | |||||||||||||
Wachovia Capital Trust III | 5.800% | 3/15/42 | 520 | 505 | D | ||||||||||||
Washington Mutual, Inc. | 4.200% | 1/15/10 | 700 | 666 | |||||||||||||
Washington Mutual, Inc. | 4.625% | 4/1/14 | 1,000 | 903 | |||||||||||||
27,256 | |||||||||||||||||
Building Materials — N.M. | |||||||||||||||||
American Standard, Inc. | 8.250% | 6/1/09 | 37 | 39 | |||||||||||||
American Standard, Inc. | 7.625% | 2/15/10 | 5 | 5 | |||||||||||||
44 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Cable — 1.7% | |||||||||||||||||
Comcast Cable Communications, Inc. | 6.750% | 1/30/11 | $ | 960 | $ | 991 | |||||||||||
Comcast Corporation | 7.050% | 3/15/33 | 1,800 | 1,826 | |||||||||||||
Comcast Corporation | 6.450% | 3/15/37 | 1,100 | 1,033 | |||||||||||||
Cox Communications, Inc. | 4.625% | 1/15/10 | 1,410 | 1,345 | |||||||||||||
CSC Holdings Inc. | 7.625% | 7/15/18 | 1,500 | 1,485 | |||||||||||||
Tele-Communications, Inc. | 7.125% | 2/15/28 | 180 | 177 | |||||||||||||
6,857 | |||||||||||||||||
Casino Resorts — 0.6% | |||||||||||||||||
Harrah’s Operating Company, Inc. | 5.500% | 7/1/10 | 410 | 400 | |||||||||||||
Harrah’s Operating Company, Inc. | 5.750% | 10/1/17 | 2,110 | 1,922 | |||||||||||||
2,322 | |||||||||||||||||
Chemicals — 0.7% | |||||||||||||||||
E. I. du Pont de Nemours and Company | 4.875% | 4/30/14 | 1,100 | 1,029 | |||||||||||||
The Dow Chemical Company | 6.000% | 10/1/12 | 750 | 756 | |||||||||||||
The Dow Chemical Company | 7.375% | 11/1/29 | 800 | 888 | |||||||||||||
2,673 | |||||||||||||||||
Computer Services and Systems — 0.8% | |||||||||||||||||
Electronic Data Systems Corporation | 7.125% | 10/15/09 | 530 | 548 | |||||||||||||
Electronic Data Systems Corporation | 6.500% | 8/1/13 | 500 | 493 | |||||||||||||
Electronic Data Systems Corporation | 7.450% | 10/15/29 | 570 | 587 | |||||||||||||
International Business Machines Corporation | 4.750% | 11/29/12 | 1,750 | 1,658 | |||||||||||||
3,286 | |||||||||||||||||
Consumer Products — 0.1% | |||||||||||||||||
The Clorox Company | 5.000% | 1/15/15 | 350 | 328 | |||||||||||||
The Procter & Gamble Company | 4.300% | 8/15/08 | 200 | 195 | |||||||||||||
523 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Diversified Financial Services — 7.6% | |||||||||||||||||
AIG SunAmerica Global Financing VI | 6.300% | 5/10/11 | $ | 5,170 | $ | 5,283 | A | ||||||||||
Associates Corporation of North America | 8.150% | 8/1/09 | 775 | 828 | |||||||||||||
Beaver Valley Funding Corp. | 9.000% | 6/1/17 | 1,100 | 1,223 | |||||||||||||
Capital One Bank | 4.875% | 5/15/08 | 150 | 148 | |||||||||||||
Capital One Bank | 5.750% | 9/15/10 | 870 | 868 | |||||||||||||
Capital One Bank | 6.500% | 6/13/13 | 690 | 705 | |||||||||||||
Capital One Financial Corporation | 7.125% | 8/1/08 | 340 | 348 | |||||||||||||
General Electric Capital Corporation | 4.000% | 6/15/09 | 3,640 | 3,484 | |||||||||||||
General Electric Capital Corporation | 3.750% | 12/15/09 | 4,900 | 4,611 | |||||||||||||
General Electric Capital Corporation | 5.450% | 1/15/13 | 1,740 | 1,710 | |||||||||||||
General Electric Capital Corporation | 6.750% | 3/15/32 | 5 | 5 | |||||||||||||
iStar Financial Inc. | 5.375% | 4/15/10 | 3,180 | 3,105 | |||||||||||||
iStar Financial Inc. | 6.000% | 12/15/10 | 580 | 578 | |||||||||||||
Marsh & McLennan Companies, Inc. | 5.150% | 9/15/10 | 240 | 231 | |||||||||||||
Marsh & McLennan Companies, Inc. | 5.875% | 8/1/33 | 900 | 782 | |||||||||||||
Mizuho Preferred Capital Corp. LLC | 8.790% | 12/29/49 | 1,520 | 1,597 | A,D | ||||||||||||
ZFS Finance (USA) Trust I | 6.150% | 12/15/65 | 2,490 | 2,386 | A,D | ||||||||||||
ZFS Finance (USA) Trust II | 6.450% | 12/15/65 | 2,500 | 2,287 | A,D | ||||||||||||
30,179 | |||||||||||||||||
Drug and Grocery Store Chains — 0.6% | |||||||||||||||||
Kroger Company | 8.000% | 9/15/29 | 1,000 | 1,086 | |||||||||||||
Safeway Inc. | 7.500% | 9/15/09 | 600 | 627 | |||||||||||||
Safeway Inc. | 5.800% | 8/15/12 | 750 | 732 | |||||||||||||
2,445 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Electric — 3.9% | |||||||||||||||||
AEP Texas Central Company | 5.500% | 2/15/13 | $ | 1,060 | $ | 1,023 | |||||||||||
American Electric Power Company, Inc. | 5.250% | 6/1/15 | 350 | 327 | |||||||||||||
Commonwealth Edison Company | 6.150% | 3/15/12 | 560 | 566 | |||||||||||||
Dominion Resources, Inc. | 5.125% | 12/15/09 | 490 | 478 | |||||||||||||
Dominion Resources, Inc. | 4.750% | 12/15/10 | 140 | 133 | |||||||||||||
Dominion Resources, Inc. | 5.700% | 9/17/12 | 510 | 499 | |||||||||||||
FirstEnergy Corp. | 6.450% | 11/15/11 | 2,285 | 2,325 | |||||||||||||
FirstEnergy Corp. | 7.375% | 11/15/31 | 4,440 | 4,763 | |||||||||||||
Niagara Mohawk Power Corporation | 7.750% | 10/1/08 | 1,010 | 1,051 | |||||||||||||
System Energy Resources, Inc. | 4.875% | 10/1/07 | 1,020 | 1,004 | |||||||||||||
Tampa Electric Company | 6.375% | 8/15/12 | 380 | 388 | |||||||||||||
The Cleveland Electric Illuminating Company | 5.650% | 12/15/13 | 940 | 911 | |||||||||||||
The Cleveland Electric Illuminating Company | 7.880% | 11/1/17 | 850 | 955 | |||||||||||||
The Detroit Edison Company | 5.200% | 10/15/12 | 1,260 | 1,211 | |||||||||||||
15,634 | |||||||||||||||||
Energy — 3.7% | |||||||||||||||||
Alabama Power Company | 3.125% | 5/1/08 | 920 | 880 | |||||||||||||
DTE Energy Company | 6.375% | 4/15/33 | 350 | 331 | |||||||||||||
Duke Energy Corporation | 5.625% | 11/30/12 | 270 | 267 | |||||||||||||
Exelon Corporation | 6.750% | 5/1/11 | 2,000 | 2,067 | |||||||||||||
MidAmerican Energy Holdings Company | 5.875% | 10/1/12 | 750 | 744 | |||||||||||||
Pacific Gas and Electric Company | 6.050% | 3/1/34 | 4,610 | 4,351 | |||||||||||||
Sempra Energy | 5.659% | 5/21/08 | 1,685 | 1,686 | B | ||||||||||||
TXU Corp. | 6.550% | 11/15/34 | 2,730 | 2,398 | |||||||||||||
TXU Energy Co. | 7.000% | 3/15/13 | 930 | 949 | |||||||||||||
Xcel Energy, Inc. | 7.000% | 12/1/10 | 900 | 937 | |||||||||||||
14,610 | |||||||||||||||||
Environmental Services — 0.3% | |||||||||||||||||
Waste Management, Inc. | 6.375% | 11/15/12 | 310 | 316 | |||||||||||||
Waste Management, Inc. | 7.375% | 5/15/29 | 690 | 750 | |||||||||||||
1,066 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Food, Beverage and Tobacco — 1.3% | |||||||||||||||||
Altria Group, Inc. | 7.000% | 11/4/13 | $ | 1,385 | $ | 1,461 | |||||||||||
Kellogg Company | 6.600% | 4/1/11 | 1,000 | 1,033 | |||||||||||||
Kellogg Company | 7.450% | 4/1/31 | 650 | 738 | |||||||||||||
Reynolds American Inc. | 7.875% | 5/15/09 | 860 | 877 | A | ||||||||||||
The Pepsi Bottling Group, Inc. | 7.000% | 3/1/29 | 340 | 366 | |||||||||||||
Tyson Foods, Inc. | 7.000% | 1/15/28 | 800 | 738 | |||||||||||||
5,213 | |||||||||||||||||
Gas and Pipeline Utilities — 1.5% | |||||||||||||||||
CenterPoint Energy Resources Corp. | 7.875% | 4/1/13 | 1,010 | 1,098 | |||||||||||||
Dynegy Holdings Inc. | 8.750% | 2/15/12 | 1,690 | 1,715 | |||||||||||||
Tennessee Gas Pipeline Company | 8.375% | 6/15/32 | 1,000 | 1,070 | |||||||||||||
The Williams Companies, Inc. | 7.625% | 7/15/19 | 2,000 | 2,030 | |||||||||||||
5,913 | |||||||||||||||||
Health Care — 1.6% | |||||||||||||||||
Humana Inc. | 6.450% | 6/1/16 | 600 | 594 | |||||||||||||
Tenet Healthcare Corporation | 9.875% | 7/1/14 | 2,310 | 2,310 | |||||||||||||
Tenet Healthcare Corporation | 6.875% | 11/15/31 | 750 | 600 | |||||||||||||
Universal Health Services, Inc. | 7.125% | 6/30/16 | 1,450 | 1,457 | |||||||||||||
WellPoint Inc. | 5.000% | 12/15/14 | 1,330 | 1,237 | |||||||||||||
6,198 | |||||||||||||||||
Homebuilding — 0.3% | |||||||||||||||||
Centex Corporation | 5.125% | 10/1/13 | 420 | 384 | |||||||||||||
D.R. Horton, Inc. | 5.250% | 2/15/15 | 610 | 542 | |||||||||||||
Pulte Homes, Inc. | 6.250% | 2/15/13 | 385 | 375 | |||||||||||||
1,301 | |||||||||||||||||
Insurance — 0.9% | |||||||||||||||||
Aetna Inc. | 5.750% | 6/15/11 | 1,490 | 1,480 | |||||||||||||
Liberty Mutual Group | 5.750% | 3/15/14 | 720 | 676 | A | ||||||||||||
The St. Paul Travelers Companies, Inc. | 6.250% | 6/20/16 | 780 | 777 | |||||||||||||
Willis Group North America | 5.125% | 7/15/10 | 760 | 733 | |||||||||||||
3,666 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Investment Banking/ Brokerage — 3.8% | |||||||||||||||||
JPMorgan Chase & Co. | 5.125% | 9/15/14 | $ | 5 | $ | 5 | |||||||||||
JPMorgan Chase & Co. | 4.891% | 9/1/15 | 1,035 | 996 | D | ||||||||||||
Lehman Brothers Holdings Inc. | 5.500% | 4/4/16 | 4,690 | 4,482 | |||||||||||||
Merrill Lynch & Co., Inc. | 3.375% | 9/14/07 | 1,345 | 1,313 | |||||||||||||
Merrill Lynch & Co., Inc. | 6.000% | 2/17/09 | 800 | 805 | |||||||||||||
Morgan Stanley | 5.050% | 1/21/11 | 900 | 873 | |||||||||||||
Morgan Stanley | 4.750% | 4/1/14 | 65 | 59 | |||||||||||||
The Bear Stearns Companies Inc. | 4.550% | 6/23/10 | 1,600 | 1,534 | |||||||||||||
The Goldman Sachs Group, Inc. | 6.345% | 2/15/34 | 2,025 | 1,888 | |||||||||||||
UBS Preferred Funding Trust V | 6.243% | 5/12/49 | 3,030 | 2,985 | D | ||||||||||||
14,940 | |||||||||||||||||
Machinery — 0.3% | |||||||||||||||||
Case New Holland Incorporated | 9.250% | 8/1/11 | 1,000 | 1,052 | |||||||||||||
Media — 2.8% | |||||||||||||||||
Clear Channel Communications, Inc. | 4.400% | 5/15/11 | 1,210 | 1,096 | |||||||||||||
Clear Channel Communications, Inc. | 5.500% | 9/15/14 | 500 | 453 | |||||||||||||
Liberty Media Corporation | 7.875% | 7/15/09 | 1,000 | 1,035 | |||||||||||||
Liberty Media Corporation | 8.500% | 7/15/29 | 340 | 331 | |||||||||||||
Liberty Media Corporation | 8.250% | 2/1/30 | 120 | 115 | |||||||||||||
News America, Inc. | 6.550% | 3/15/33 | 1,495 | 1,394 | |||||||||||||
News America, Inc. | 6.200% | 12/15/34 | 115 | 104 | |||||||||||||
Time Warner Entertainment Co., L.P. | 8.375% | 7/15/33 | 855 | 967 | |||||||||||||
Time Warner Inc. | 6.150% | 5/1/07 | 1,390 | 1,395 | |||||||||||||
Time Warner Inc. | 9.125% | 1/15/13 | 1,130 | 1,292 | |||||||||||||
Time Warner Inc. | 7.700% | 5/1/32 | 1,625 | 1,766 | |||||||||||||
Viacom Inc. | 7.700% | 7/30/10 | 90 | 96 | |||||||||||||
Viacom Inc. | 5.625% | 8/15/12 | 1,095 | 1,070 | |||||||||||||
11,114 | |||||||||||||||||
Media and Entertainment — 0.3% | |||||||||||||||||
The Walt Disney Company | 6.200% | 6/20/14 | 1,220 | 1,240 | |||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Medical Care Facilities — 1.6% | |||||||||||||||||
Coventry Health Care, Inc. | 5.875% | 1/15/12 | $ | 1,050 | $ | 1,008 | |||||||||||
HCA, Inc. | 6.300% | 10/1/12 | 1,790 | 1,683 | |||||||||||||
HCA, Inc. | 6.250% | 2/15/13 | 2,130 | 1,989 | |||||||||||||
HCA, Inc. | 5.750% | 3/15/14 | 150 | 134 | |||||||||||||
Health Care REIT, Inc. | 5.875% | 5/15/15 | 1,440 | 1,374 | |||||||||||||
6,188 | |||||||||||||||||
Metals and Minerals — 0.7% | |||||||||||||||||
Vale Overseas Limited | 6.250% | 1/11/16 | 2,885 | 2,748 | |||||||||||||
Oil and Gas — 6.0% | |||||||||||||||||
Amerada Hess Corporation | 7.875% | 10/1/29 | 3,770 | 4,206 | |||||||||||||
Apache Corporation | 6.250% | 4/15/12 | 1,150 | 1,178 | |||||||||||||
Conoco Inc. | 6.950% | 4/15/29 | 600 | 653 | |||||||||||||
ConocoPhillips | 4.750% | 10/15/12 | 2,290 | 2,178 | |||||||||||||
Devon Energy Corporation | 7.950% | 4/15/32 | 1,080 | 1,244 | |||||||||||||
El Paso Corporation | 7.800% | 8/1/31 | 1,660 | 1,612 | |||||||||||||
El Paso Corporation | 7.750% | 1/15/32 | 340 | 331 | |||||||||||||
Kerr-McGee Corporation | 7.875% | 9/15/31 | 4,700 | 5,305 | |||||||||||||
Ocean Energy Inc. | 4.375% | 10/1/07 | 965 | 949 | |||||||||||||
Panhandle Eastern Pipe Line Company | 4.800% | 8/15/08 | 1,170 | 1,141 | |||||||||||||
Pemex Project Funding Master Trust | 8.500% | 2/15/08 | 100 | 104 | |||||||||||||
Pemex Project Funding Master Trust | 6.625% | 6/15/35 | 2,900 | 2,625 | A | ||||||||||||
Pride International, Inc. | 7.375% | 7/15/14 | 800 | 804 | |||||||||||||
Valero Energy Corporation | 6.875% | 4/15/12 | 565 | 586 | |||||||||||||
XTO Energy, Inc. | 6.250% | 4/15/13 | 745 | 745 | |||||||||||||
23,661 | |||||||||||||||||
Paper and Forest Products — 1.0% | |||||||||||||||||
Weyerhaeuser Company | 6.750% | 3/15/12 | 2,150 | 2,197 | |||||||||||||
Weyerhaeuser Company | 7.375% | 3/15/32 | 1,785 | 1,807 | |||||||||||||
4,004 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Pharmaceuticals — 0.8% | |||||||||||||||||
Bristol-Myers Squibb Company | 5.750% | 10/1/11 | $ | 1,160 | $ | 1,157 | |||||||||||
Wyeth | 6.950% | 3/15/11 | 2,000 | 2,086 | |||||||||||||
3,243 | |||||||||||||||||
Photo Equipment and Supplies — 0.3% | |||||||||||||||||
Eastman Kodak Company | 3.625% | 5/15/08 | 975 | 922 | |||||||||||||
Eastman Kodak Company | 7.250% | 11/15/13 | 500 | 482 | |||||||||||||
1,404 | |||||||||||||||||
Real Estate — 0.4% | |||||||||||||||||
EOP Operating Limited Partnership | 6.750% | 2/15/12 | 1,500 | 1,548 | |||||||||||||
Retail — 0.6% | |||||||||||||||||
May Department Stores Company | 5.750% | 7/15/14 | 1,070 | 1,039 | |||||||||||||
Target Corporation | 5.875% | 3/1/12 | 860 | 869 | |||||||||||||
Wal-Mart Stores, Inc. | 6.875% | 8/10/09 | 475 | 492 | |||||||||||||
2,400 | |||||||||||||||||
Special Purpose — 6.8% | |||||||||||||||||
Ahold Finance USA, Inc. | 8.250% | 7/15/10 | 960 | 1,001 | |||||||||||||
ASIF Global Financing XIX | 4.900% | 1/17/13 | 1,120 | 1,061 | A | ||||||||||||
Caterpillar Financial Services Corporation | 4.500% | 6/15/09 | 1,040 | 1,009 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 5.780% | 9/10/07 | 1,520 | 1,524 | B | ||||||||||||
DaimlerChrysler NA Holding Corporation | 4.050% | 6/4/08 | 160 | 155 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 7.200% | 9/1/09 | 260 | 268 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 5.875% | 3/15/11 | 300 | 295 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 7.300% | 1/15/12 | 735 | 765 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 6.500% | 11/15/13 | 290 | 290 | |||||||||||||
DaimlerChrysler NA Holding Corporation | 8.500% | 1/18/31 | 1,800 | 2,038 |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Special Purpose — Continued | |||||||||||||||||
Deutsche Bank Capital Funding Trust | 5.628% | 1/19/49 | $ | 1,760 | $ | 1,630 | A,D | ||||||||||
Duke Capital Corporation | 6.250% | 2/15/13 | 340 | 343 | |||||||||||||
Fosters Finance Corporation | 4.875% | 10/1/14 | 840 | 768 | A | ||||||||||||
ILFC E-Capital Trust I | 5.900% | 12/21/65 | 1,980 | 1,930 | A,D | ||||||||||||
Sprint Capital Corporation | 8.375% | 3/15/12 | 1,860 | 2,055 | |||||||||||||
Sprint Capital Corporation | 8.750% | 3/15/32 | 3,300 | 3,980 | |||||||||||||
TCI Communications Financing III | 9.650% | 3/31/27 | 3,350 | 3,572 | |||||||||||||
Unilever Capital Corporation | 7.125% | 11/1/10 | 480 | 504 | |||||||||||||
Verizon Global Funding Corp. | 6.125% | 6/15/07 | 2,065 | 2,073 | |||||||||||||
Verizon Global Funding Corp. | 7.750% | 6/15/32 | 375 | 404 | |||||||||||||
Verizon Global Funding Corp. | 5.850% | 9/15/35 | 1,580 | 1,374 | |||||||||||||
27,039 | |||||||||||||||||
Telecommunications — 2.2% | |||||||||||||||||
AT&T Inc. | 5.100% | 9/15/14 | 1,910 | 1,772 | |||||||||||||
AT&T Corp. | 8.000% | 11/15/31 | 1,200 | 1,378 | |||||||||||||
BellSouth Corporation | 4.750% | 11/15/12 | 830 | 770 | |||||||||||||
Embarq Corporation | 6.738% | 6/1/13 | 950 | 947 | |||||||||||||
Embarq Corporation | 7.082% | 6/1/16 | 1,500 | 1,492 | |||||||||||||
Qwest Corporation | 5.625% | 11/15/08 | 550 | 536 | |||||||||||||
Verizon New York Inc. | 6.875% | 4/1/12 | 1,820 | 1,844 | |||||||||||||
8,739 | |||||||||||||||||
Telecommunications (Cellular/ Wireless) — 1.4% | |||||||||||||||||
Motorola, Inc. | 7.625% | 11/15/10 | 135 | 144 | |||||||||||||
New Cingular Wireless Services Inc. | 7.500% | 5/1/07 | 1,500 | 1,521 | |||||||||||||
New Cingular Wireless Services Inc. | 8.125% | 5/1/12 | 570 | 627 | |||||||||||||
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 980 | 1,202 | |||||||||||||
Nextel Communications, Inc. | 5.950% | 3/15/14 | 469 | 450 | |||||||||||||
Nextel Communications, Inc. | 7.375% | 8/1/15 | 1,600 | 1,629 | |||||||||||||
5,573 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||||
Transportation — 0.9% | |||||||||||||||||
Burlington Northern Railroad Company | 6.960% | 3/22/09 | $ | 157 | $ | 161 | |||||||||||
Burlington Northern Railroad Company | 7.330% | 6/23/10 | 121 | 125 | |||||||||||||
Continental Airlines, Inc. | 7.256% | 3/15/20 | 521 | 534 | |||||||||||||
Continental Airlines, Inc. | 6.545% | 8/2/20 | 161 | 159 | |||||||||||||
CSX Transportation, Inc. | 7.875% | 5/15/43 | 252 | 296 | |||||||||||||
Delta Air Lines, Inc. | 7.570% | 5/18/12 | 300 | 301 | |||||||||||||
Norfolk Southern Corporation | 7.875% | 5/15/43 | 348 | 412 | |||||||||||||
Union Pacific Corporation | 4.875% | 1/15/15 | 1,740 | 1,617 | |||||||||||||
3,605 | |||||||||||||||||
Total Corporate Bonds and Notes (Identified Cost — $298,095) | 288,362 | ||||||||||||||||
U.S. Government and Agency Obligations — 4.8% | |||||||||||||||||
Fixed Rate Securities — 4.8% | |||||||||||||||||
Tennessee Valley Authority | 5.375% | 11/13/08 | 150 | 150 | |||||||||||||
United States Treasury Bonds | 6.250% | 5/15/30 | 40 | 45 | |||||||||||||
United States Treasury Notes | 4.500% | 2/15/09 | 3,885 | 3,824 | |||||||||||||
United States Treasury Notes | 4.125% | 8/15/10 | 10,300 | 9,931 | |||||||||||||
United States Treasury Notes | 4.875% | 5/31/11 | 5,070 | 5,018 | |||||||||||||
Total U.S. Government and Agency Obligations (Identified Cost — $19,082) | 18,968 | ||||||||||||||||
U.S. Government Agency Mortgage-Backed Securities — N.M. | |||||||||||||||||
Indexed SecuritiesB — N.M. | |||||||||||||||||
Freddie Mac | 5.923% | 9/1/24 | 72 | 73 | |||||||||||||
Total U.S. Government and Agency Obligations (Identified Cost — $72) | 73 | ||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Yankee BondsE — 21.0% | |||||||||||||||||
Banking and Finance — 2.6% | |||||||||||||||||
AIFUL CORPORATION | 5.000% | 8/10/10 | $ | 2,685 | $ | 2,553 | A | ||||||||||
Corporacion Andina de Fomento | 5.458% | 1/26/07 | 1,260 | 1,260 | B | ||||||||||||
HBOS Capital Funding LP | 6.071% | 6/30/49 | 1,490 | 1,452 | A,D | ||||||||||||
HBOS Treasury Services plc | 4.000% | 9/15/09 | 1,080 | 1,029 | A | ||||||||||||
Mizuho Financial Group, Inc. | 5.790% | 4/15/14 | 3,565 | 3,490 | A | ||||||||||||
Sumitomo Mitsui Banking Corporation | 5.625% | 7/29/49 | 730 | 681 | A,D | ||||||||||||
10,465 | |||||||||||||||||
Banks — 4.1% | |||||||||||||||||
BOI Capital Funding | 5.571% | 2/1/49 | 2,000 | 1,846 | A,D | ||||||||||||
Glitnir Banki HF | 6.693% | 6/15/16 | 1,900 | 1,889 | A,D | ||||||||||||
HSBC Holdings plc | 5.250% | 12/12/12 | 830 | 802 | |||||||||||||
Kaupthing Bank Hf | 5.758% | 4/12/11 | 1,440 | 1,441 | A | ||||||||||||
Kaupthing Bank Hf | 7.125% | 5/19/16 | 3,585 | 3,586 | A | ||||||||||||
RSHB Capital SA | 7.175% | 5/16/13 | 3,690 | 3,658 | A | ||||||||||||
Shinsei Finance Cayman Limited | 6.418% | 1/29/49 | 3,055 | 2,869 | A,D | ||||||||||||
16,091 | |||||||||||||||||
Cable — 0.2% | |||||||||||||||||
British Sky Broadcasting Group plc | 6.875% | 2/23/09 | 870 | 891 | |||||||||||||
Electric — 1.0% | |||||||||||||||||
Empresa Nacional de Electricidad S.A. | 8.350% | 8/1/13 | 2,011 | 2,165 | |||||||||||||
Hydro-Quebec | 7.500% | 4/1/16 | 1,625 | 1,831 | |||||||||||||
3,996 | |||||||||||||||||
Foreign Governments — 3.0% | |||||||||||||||||
Federative Republic of Brazil | 8.875% | 4/15/24 | 240 | 266 | |||||||||||||
Federative Republic of Brazil | 10.125% | 5/15/27 | 740 | 920 | |||||||||||||
Federative Republic of Brazil | 12.250% | 3/6/30 | 340 | 499 | |||||||||||||
Province of Nova Scotia | 5.750% | 2/27/12 | 1,000 | 1,008 | |||||||||||||
Republic of Colombia | 11.750% | 2/25/20 | 359 | 472 | |||||||||||||
Republic of Panama | 7.125% | 1/29/26 | 740 | 714 | |||||||||||||
Republic of Panama | 6.700% | 1/26/36 | 353 | 323 | |||||||||||||
Russian Federation | 5.000% | 3/31/30 | 980 | 1,043 | D | ||||||||||||
United Mexican States | 11.500% | 5/15/26 | 1,100 | 1,623 |
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Yankee Bonds — Continued | |||||||||||||||||
Foreign Governments — Continued | |||||||||||||||||
United Mexican States | 8.300% | 8/15/31 | $ | 820 | $ | 947 | |||||||||||
United Mexican States | 7.500% | 4/8/33 | 3,942 | 4,188 | |||||||||||||
12,003 | |||||||||||||||||
Insurance — 0.5% | |||||||||||||||||
Axa | 8.600% | 12/15/30 | 1,630 | 1,940 | |||||||||||||
XL Capital Ltd. | 5.250% | 9/15/14 | 20 | 18 | |||||||||||||
1,958 | |||||||||||||||||
Manufacturing (Diversified) — 0.8% | |||||||||||||||||
Tyco International Group SA | 6.375% | 10/15/11 | 250 | 255 | |||||||||||||
Tyco International Group SA | 7.000% | 6/15/28 | 554 | 578 | |||||||||||||
Tyco International Group SA | 6.875% | 1/15/29 | 2,051 | 2,114 | |||||||||||||
2,947 | |||||||||||||||||
Oil and Gas — 1.4% | |||||||||||||||||
Petrobras International Finance Company (PIFCO) | 9.750% | 7/6/11 | 905 | 1,023 | |||||||||||||
Petroliam Nasional Berhad | 7.625% | 10/15/26 | 610 | 690 | A | ||||||||||||
YPF Sociedad Anonima | 10.000% | 11/2/28 | 3,500 | 3,990 | F | ||||||||||||
5,703 | |||||||||||||||||
Special Purpose — 3.2% | |||||||||||||||||
Anadarko Finance Company | 6.750% | 5/1/11 | 970 | 997 | |||||||||||||
Conoco Funding Company | 6.350% | 10/15/11 | 520 | 535 | |||||||||||||
Deutsche Telekom International Finance BV | 8.250% | 6/15/30 | 1,400 | 1,617 | |||||||||||||
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 670 | 845 | |||||||||||||
General Motors Nova Scotia Finance Company | 6.850% | 10/15/08 | 1,160 | 1,099 | |||||||||||||
HSBC Capital Funding LP | 4.610% | 12/29/49 | 760 | 683 | A,D | ||||||||||||
Molson Coors Capital Finance | 4.850% | 9/22/10 | 1,305 | 1,256 | |||||||||||||
Petronas Capital Ltd. | 7.875% | 5/22/22 | 770 | 881 | A | ||||||||||||
Resona Preferred Global Securities Limited | 7.191% | 12/29/49 | 2,880 | 2,889 | A,D | ||||||||||||
Telefonica Europe BV | 8.250% | 9/15/30 | 800 | 904 | |||||||||||||
UFJ Finance Aruba AEC | 6.750% | 7/15/13 | 920 | 958 | |||||||||||||
12,664 | |||||||||||||||||
Par/ | |||||||||||||||||
Rate | Maturity Date | Shares | Value | ||||||||||||||
Yankee Bonds — Continued | |||||||||||||||||
Telecommunications — 3.4% | |||||||||||||||||
British Telecommunications plc | 8.375% | 12/15/10 | $ | 900 | $ | 988 | |||||||||||
British Telecommunications plc | 8.875% | 12/15/30 | 420 | 516 | |||||||||||||
France Telecom SA | 7.750% | 3/1/11 | 3,000 | 3,223 | |||||||||||||
France Telecom SA | 8.500% | 3/1/31 | 340 | 409 | |||||||||||||
INTELSAT | 7.625% | 4/15/12 | 32 | 27 | |||||||||||||
INTELSAT | 6.500% | 11/1/13 | 1,333 | 1,013 | |||||||||||||
Koninklijke (Royal) KPN NV | 8.000% | 10/1/10 | 990 | 1,050 | |||||||||||||
Koninklijke (Royal) KPN NV | 8.375% | 10/1/30 | 655 | 703 | |||||||||||||
Tele Norte Leste Participacoes S.A. | 8.000% | 12/18/13 | 1,080 | 1,123 | |||||||||||||
Telecom Italia Capital S.p.A. | 5.250% | 11/15/13 | 2,025 | 1,872 | |||||||||||||
Telecom Italia Capital S.p.A. | 4.950% | 9/30/14 | 1,860 | 1,665 | |||||||||||||
Telus Corporation | 7.500% | 6/1/07 | 700 | 710 | |||||||||||||
13,299 | |||||||||||||||||
Telecommunications (Cellular/ Wireless) — 0.2% | |||||||||||||||||
Rogers Wireless Communications Inc. | 6.375% | 3/1/14 | 1,000 | 952 | |||||||||||||
Transportation — 0.2% | |||||||||||||||||
Qantas Airways Limited | 6.050% | 4/15/16 | 980 | 949 | A | ||||||||||||
Utilities — 0.4% | |||||||||||||||||
United Utilities plc | 5.375% | 2/1/19 | 1,550 | 1,403 | |||||||||||||
Total Yankee Bonds (Identified Cost — $84,393) | 83,321 | ||||||||||||||||
Total Long-Term Securities (Identified Cost — $401,642) | 390,724 | ||||||||||||||||
Short-Term Securities — 0.5% | |||||||||||||||||
U.S. Government and Agency Obligations — N.M. | |||||||||||||||||
Fannie Mae | 0.000% | 9/25/06 | 200 | 198 | C,G | ||||||||||||
Repurchase Agreements — 0.5% | ||||||||||||||||
Goldman, Sachs & Company 5.21%, dated 6/30/06, to be repurchased at $994 on 7/3/06 (Collateral: $995 Fannie Mae notes, 4.75%, due 1/2/07, value $1,015) | $ | 994 | $ | 994 | ||||||||||||
Merrill Lynch Government Securities, Inc. 5.14%, dated 6/30/06, to be repurchased at $993 on 7/3/06 (Collateral: $2,075 Resolution Funding Co. principal-only securities, due 7/15/15 to 1/15/26, value $1,014) | 993 | 993 | ||||||||||||||
1,987 | ||||||||||||||||
Total Short-Term Securities (Identified Cost — $2,185) | 2,185 | |||||||||||||||
Total Investments — 99.0% (Identified Cost — $403,827) | 392,909 | |||||||||||||||
Other Assets Less Liabilities — 1.0% | 3,869 | |||||||||||||||
Net Assets — 100.0% | $ | 396,778 | ||||||||||||||
Actual | Appreciation/ | ||||||||||||
Expiration | Contracts | (Depreciation) | |||||||||||
Futures Contracts PurchasedH | |||||||||||||
U.S. Treasury Bond Futures | September 2006 | 41 | $ | (31 | ) | ||||||||
U.S. Treasury Note Futures | September 2006 | 255 | (162 | ) | |||||||||
$ | (193 | ) | |||||||||||
Futures Contracts WrittenH | |||||||||||||
U.S. Treasury Note Futures | September 2006 | 435 | $ | 270 | |||||||||
A | Rule 144a Security — A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 16.6% of net assets. |
B | Indexed Security — The rates of interest earned on these securities are tied to the London Interbank Offered Rate (“LIBOR”) or the ten year Treasury Bill Constant Maturity Rate. The coupon rates are the rates as of June 30, 2006. |
C | Zero coupon bond — A bond with no periodic interest payments which is sold at such a discount as to produce a current yield to maturity. |
D | Stepped coupon security — A security with a predetermined schedule of interest or dividend rate changes. |
E | Yankee Bond — A dollar-denominated bond issued in the U.S. by foreign entities. |
F | Illiquid security valued at fair value under procedures approved by the Board of Directors. |
G | Collateral to cover futures and options contracts. |
H | Futures are described in more detail in the notes to financial statements. |
Assets: | ||||||||||
Investment securities at market value (Identified Cost – $401,642) | $ | 390,724 | ||||||||
Short-term securities at value (Identified Cost – $2,185) | 2,185 | |||||||||
Cash | 68 | |||||||||
Receivable for fund shares sold | 805 | |||||||||
Interest and dividends receivable | 6,244 | |||||||||
Other assets | 1 | |||||||||
Total assets | 400,027 | |||||||||
Liabilities: | ||||||||||
Payable for fund shares repurchased | $ | 1,337 | ||||||||
Payable for securities purchased | 583 | |||||||||
Payable for futures variation margin | 105 | |||||||||
Income distribution payable | 868 | |||||||||
Accrued management fee | 129 | |||||||||
Accrued distribution and service fees | 124 | |||||||||
Accrued expenses | 103 | |||||||||
Total liabilities | 3,249 | |||||||||
Net Assets | $ | 396,778 | ||||||||
Net assets consist of: | ||||||||||
Accumulated paid-in capital applicable to: | ||||||||||
37,285 Primary Class shares outstanding | $ | 385,171 | ||||||||
2,266 Institutional Class shares outstanding | 24,022 | |||||||||
Overdistribution of net investment income | (109 | ) | ||||||||
Accumulated net realized loss on investments and futures | (1,465 | ) | ||||||||
Unrealized appreciation/(depreciation) of investments and futures | (10,841 | ) | ||||||||
Net Assets | $ | 396,778 | ||||||||
Net Asset Value Per Share: | ||||||||||
Primary Class | $10.03 | |||||||||
Institutional Class | $10.04 | |||||||||
Investment Income: | |||||||||||
Interest | $ | 11,520 | |||||||||
Expenses: | |||||||||||
Management fees | 1,163 | ||||||||||
Distribution and service fees | |||||||||||
Primary Class | 915 | ||||||||||
Audit and legal fees | 35 | ||||||||||
Custodian fees | 65 | ||||||||||
Directors’ fees and expenses | 26 | ||||||||||
Registration fees | 57 | ||||||||||
Reports to shareholders | 44 | ||||||||||
Transfer agent and shareholder servicing expense: | |||||||||||
Primary Class | 166 | ||||||||||
Institutional Class | 1 | ||||||||||
Other expenses | 42 | ||||||||||
2,514 | |||||||||||
Less: Fees waived | (629 | ) | |||||||||
Compensating balance credits | (1 | )A | |||||||||
Total expenses, net of waivers and compensating balance credits | $ | 1,884 | |||||||||
Net Investment Income | 9,636 | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments: | |||||||||||
Realized gain/(loss) on: | |||||||||||
Investments | (1,283 | ) | |||||||||
Futures | 7 | ||||||||||
(1,276 | ) | ||||||||||
Change in unrealized appreciation/(depreciation) of investments and futures | (12,881 | ) | |||||||||
Net Realized and Unrealized Loss on Investments | (14,157 | ) | |||||||||
Change in Net Assets Resulting From Operations | $ | (4,521 | ) | ||||||||
A | See note 1, Compensating Balance Credits, in the notes to financial statements. |
For the | For the | |||||||||
Six Months Ended | Year Ended | |||||||||
6/30/06 | 12/31/05 | |||||||||
(Unaudited) | ||||||||||
Change in Net Assets: | ||||||||||
Net investment income | $ | 9,636 | $ | 18,980 | ||||||
Net realized gain/(loss) on investments and futures | (1,276 | ) | 2,302 | |||||||
Change in unrealized appreciation/(depreciation) of investments and futures | (12,881 | ) | (14,161 | ) | ||||||
Change in net assets resulting from operations | (4,521 | ) | 7,121 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income: | ||||||||||
Primary Class | (9,038 | ) | (18,146 | ) | ||||||
Institutional Class | (589 | ) | (836 | ) | ||||||
From net realized gain on investments: | ||||||||||
Primary Class | (15 | ) | (3,431 | ) | ||||||
Institutional Class | (1 | ) | (157 | ) | ||||||
Change in net assets from Fund share transactions: | ||||||||||
Primary Class | 21,075 | (22,272 | ) | |||||||
Institutional Class | 3,097 | 10,914 | ||||||||
Change in net assets | 10,008 | (26,807 | ) | |||||||
Net Assets: | ||||||||||
Beginning of period | 386,770 | 413,577 | ||||||||
End of period | $ | 396,778 | $ | 386,770 | ||||||
Overdistribution of net investment income | $ | (109 | ) | $ | (118 | ) | ||||
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.40 | $ | 10.81 | $ | 10.88 | $ | 10.42 | $ | 10.10 | $ | 9.97 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .25 | .49 | .49 | .50 | .54 | .60 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments, options and futures | (.37 | ) | (.31 | ) | .18 | .53 | .32 | .14 | |||||||||||||||||
Total from investment operations | (.12 | ) | .18 | .67 | 1.03 | .86 | .74 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.25 | ) | (.49 | ) | (.49 | ) | (.50 | ) | (.54 | ) | (.61 | ) | |||||||||||||
From net realized gain on investments | —A | (.10 | ) | (.25 | ) | (.07 | ) | — | — | ||||||||||||||||
Total distributions | (.25 | ) | (.59 | ) | (.74 | ) | (.57 | ) | (.54 | ) | (.61 | ) | |||||||||||||
Net asset value, end of period | $ | 10.03 | $ | 10.40 | $ | 10.81 | $ | 10.88 | $ | 10.42 | $ | 10.10 | |||||||||||||
Total return | (1.15 | )%B | 1.69 | % | 6.29 | % | 10.16 | % | 8.82 | % | 7.52 | % | |||||||||||||
Ratios to Average Net Assets:C | |||||||||||||||||||||||||
Total expenses | 1.33 | %D | 1.30 | % | 1.27 | % | 1.28 | % | 1.30 | % | 1.27 | % | |||||||||||||
Expenses net of waivers, if any | 1.00 | %D | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | |||||||||||||
Expenses net of all reductions | 1.00 | %D | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | |||||||||||||
Net investment income | 4.95 | %D | 4.64 | % | 4.47 | % | 4.62 | % | 5.32 | % | 5.90 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 32.3 | %B | 51.1 | % | 74.9 | % | 78.2 | % | 131.0 | % | 131.3 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 374,036 | $ | 366,329 | $ | 403,361 | $ | 408,685 | $ | 334,763 | $ | 255,298 | |||||||||||||
A | $(.0004) per share. |
B | Not annualized. |
C | Total expenses reflects operating expenses prior to any voluntary expense waivers and/or compensating balance credits. Expenses net of waivers reflects total expenses before compensating balance credits but net of any voluntary expense waivers. Expenses net of all reductions reflects expenses less any compensating balance credits and/or voluntary expense waivers. |
D | Annualized. |
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.41 | $ | 10.82 | $ | 10.89 | $ | 10.43 | $ | 10.11 | $ | 9.97 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .28 | .55 | .54 | .55 | .59 | .66 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments, options and futures | (.37 | ) | (.31 | ) | .17 | .53 | .31 | .14 | |||||||||||||||||
Total from investment operations | (.09 | ) | .24 | .71 | 1.08 | .90 | .80 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.28 | ) | (.55 | ) | (.53 | ) | (.55 | ) | (.58 | ) | (.66 | ) | |||||||||||||
From net realized gain on investments | —A | (.10 | ) | (.25 | ) | (.07 | ) | — | — | ||||||||||||||||
Total distributions | (.28 | ) | (.65 | ) | (.78 | ) | (.62 | ) | (.58 | ) | (.66 | ) | |||||||||||||
Net asset value, end of period | $ | 10.04 | $ | 10.41 | $ | 10.82 | $ | 10.89 | $ | 10.43 | $ | 10.11 | |||||||||||||
Total return | (.90 | )%B | 2.27 | % | 6.85 | % | 10.71 | % | 9.38 | % | 8.16 | % | |||||||||||||
Ratios to Average Net Assets:C | |||||||||||||||||||||||||
Total expenses | .74 | %D | .74 | % | .74 | % | .78 | % | .78 | % | .74 | % | |||||||||||||
Expenses net of waivers, if any | .50 | %D | .44 | % | .47 | % | .50 | % | .48 | % | .47 | % | |||||||||||||
Expenses net of all reductions | .50 | %D | .44 | % | .47 | % | .50 | % | .48 | % | .47 | % | |||||||||||||
Net investment income | 5.46 | %D | 5.26 | % | 5.02 | % | 5.13 | % | 5.85 | % | 6.50 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 32.3 | %B | 51.1 | % | 74.9 | % | 78.2 | % | 131.0 | % | 131.3 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 22,742 | $ | 20,441 | $ | 10,216 | $ | 5,895 | $ | 2,836 | $ | 1,424 | |||||||||||||
Beginning | Ending | Expenses PaidA | |||||||||||
Account | Account | During the | |||||||||||
Value | Value | Period | |||||||||||
1/1/06 | 6/30/06 | 1/1/06 to 6/30/06 | |||||||||||
Primary Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.50 | $ | 4.99 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.84 | 5.01 | ||||||||||
Institutional Class: | |||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.00 | $ | 2.50 | |||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.32 | 2.51 |
A | These calculations are based on expenses incurred in the most recent fiscal half-year. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratios of 1.00% and 0.50% for the Primary Class and Institutional Class respectively, multiplied by the average values over the period, multiplied by the number of days in the most recent fiscal half-year (181), and divided by 365. |
Cumulative | Average Annual | |||||||
Total Return | Total Return | |||||||
One Year | +1.99% | +1.99% | ||||||
Five Years | +18.07% | +3.38% | ||||||
Ten Years | +57.77% | +4.66% | ||||||
A | A total rate of return index based on daily closing prices and consisting of Treasury bills with a maturity of 1-3 years. |
B | A total return index consisting of investment grade corporate debt issues as well as U.S. government securities. The debt issues all maintain maturities within a range of 1 to 10 years. |
Cumulative | Average Annual | |||||||
Total Return | Total Return | |||||||
One Year | +2.43% | +2.43% | ||||||
Five Years | +21.16% | +3.91% | ||||||
Ten Years | +66.31% | +5.22% | ||||||
C | The Fund is actively managed. As a result, the composition of its portfolio holdings and sectors is subject to change at any time. |
D | Standard & Poor’s Ratings Services provides capital markets with credit ratings for the evaluation and assessment of credit risk. |
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Long-Term Securities — 97.8% | |||||||||||||||
Corporate Bonds and Notes — 27.0% | |||||||||||||||
Auto Parts and Equipment — 0.1% | |||||||||||||||
Johnson Controls, Inc. | 5.298% | 1/17/08 | $ | 270 | $ | 270 | A | ||||||||
Banking and Finance — 8.1% | |||||||||||||||
Countrywide Financial Corporation | 5.680% | 3/24/09 | 850 | 850 | A | ||||||||||
Ford Motor Credit Company | 6.320% | 9/28/07 | 1,020 | 998 | A | ||||||||||
Ford Motor Credit Company | 6.625% | 6/16/08 | 4,810 | 4,578 | |||||||||||
General Motors Acceptance Corporation | 6.599% | 9/23/08 | 4,000 | 3,919 | A | ||||||||||
HSBC Finance Corporation | 5.410% | 5/10/10 | 690 | 693 | A | ||||||||||
iStar Financial Inc. | 5.661% | 3/3/08 | 1,160 | 1,162 | A | ||||||||||
iStar Financial Inc. | 5.650% | 9/15/11 | 1,400 | 1,369 | |||||||||||
Residential Capital Corporation | 6.875% | 6/29/07 | 1,630 | 1,635 | A | ||||||||||
SLM Corporation | 5.240% | 7/27/09 | 1,140 | 1,141 | A | ||||||||||
Wachovia Capital Trust III | 5.800% | 3/15/42 | 1,210 | 1,174 | B | ||||||||||
17,519 | |||||||||||||||
Cable — 0.3% | |||||||||||||||
Comcast Cable Communications, Inc. | 6.875% | 6/15/09 | 700 | 720 | |||||||||||
Casino Resorts — 0.2% | |||||||||||||||
Caesars Entertainment, Inc. | 7.500% | 9/1/09 | 330 | 343 | |||||||||||
Chemicals — 0.4% | |||||||||||||||
The Dow Chemical Company | 5.750% | 12/15/08 | 560 | 561 | |||||||||||
The Dow Chemical Company | 5.970% | 1/15/09 | 330 | 332 | |||||||||||
893 | |||||||||||||||
Computer Services and Systems — 0.5% | |||||||||||||||
Electronic Data Systems Corporation | 7.125% | 10/15/09 | 1,000 | 1,033 | |||||||||||
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Diversified Financial Services — 0.7% | |||||||||||||||
ZFS Finance USA Trust III | 6.479% | 12/15/65 | $ | 1,500 | $ | 1,503 | A,C | ||||||||
Electric — 1.6% | |||||||||||||||
Appalachian Power Company | 3.600% | 5/15/08 | 1,700 | 1,635 | |||||||||||
Commonwealth Edison Company | 3.700% | 2/1/08 | 580 | 562 | |||||||||||
FirstEnergy Corp. | 6.450% | 11/15/11 | 370 | 376 | |||||||||||
Niagara Mohawk Power Corporation | 7.750% | 10/1/08 | 460 | 479 | |||||||||||
Ohio Edison Company | 4.000% | 5/1/08 | 440 | 425 | |||||||||||
3,477 | |||||||||||||||
Energy — 3.2% | |||||||||||||||
Alabama Power Company | 5.400% | 8/25/09 | 1,000 | 1,003 | A | ||||||||||
CenterPoint Energy, Inc. | 5.875% | 6/1/08 | 440 | 439 | |||||||||||
Duke Energy Corporation | 3.750% | 3/5/08 | 1,500 | 1,454 | |||||||||||
Pacific Gas and Electric Company | 3.600% | 3/1/09 | 1,000 | 949 | |||||||||||
Sempra Energy | 5.659% | 5/21/08 | 2,000 | 2,001 | A | ||||||||||
TXU Corp. | 4.800% | 11/15/09 | 1,080 | 1,028 | |||||||||||
6,874 | |||||||||||||||
Environmental Services — 0.5% | |||||||||||||||
Waste Management, Inc. | 7.375% | 8/1/10 | 1,150 | 1,213 | |||||||||||
Food, Beverage and Tobacco — 1.5% | |||||||||||||||
Altria Group, Inc. | 5.625% | 11/4/08 | 3,000 | 2,990 | |||||||||||
Sara Lee Corporation | 6.250% | 9/15/11 | 230 | 229 | |||||||||||
3,219 | |||||||||||||||
Investment Banking/ Brokerage — 0.7% | |||||||||||||||
Morgan Stanley | 5.318% | 1/18/11 | 880 | 881 | A | ||||||||||
The Bear Stearns Companies Inc. | 5.356% | 1/31/11 | 580 | 580 | A | ||||||||||
1,461 | |||||||||||||||
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Media — 0.9% | |||||||||||||||
Clear Channel Communications, Inc. | 6.625% | 6/15/08 | $ | 140 | $ | 141 | |||||||||
Clear Channel Communications, Inc. | 4.250% | 5/15/09 | 790 | 749 | |||||||||||
Liberty Media Corporation | 7.875% | 7/15/09 | 1,120 | 1,160 | |||||||||||
2,050 | |||||||||||||||
Oil and Gas — 3.6% | |||||||||||||||
Amerada Hess Corporation | 6.650% | 8/15/11 | 1,710 | 1,757 | |||||||||||
Anadarko Petroleum Corporation | 3.250% | 5/1/08 | 1,440 | 1,371 | |||||||||||
Ocean Energy Inc. | 4.375% | 10/1/07 | 580 | 571 | |||||||||||
Pemex Project Funding Master Trust | 8.500% | 2/15/08 | 866 | 901 | |||||||||||
Pemex Project Funding Master Trust | 5.871% | 12/3/12 | 2,568 | 2,560 | A,C | ||||||||||
XTO Energy, Inc. | 5.650% | 4/1/16 | 640 | 607 | |||||||||||
7,767 | |||||||||||||||
Paper and Forest Products — 0.8% | |||||||||||||||
International Paper Company | 3.800% | 4/1/08 | 1,150 | 1,111 | |||||||||||
Weyerhaeuser Company | 6.125% | 3/15/07 | 395 | 395 | |||||||||||
Weyerhaeuser Company | 5.950% | 11/1/08 | 170 | 170 | |||||||||||
1,676 | |||||||||||||||
Photo Equipment and Supplies — N.M. | |||||||||||||||
Eastman Kodak Company | 7.250% | 11/15/13 | 110 | 106 | |||||||||||
Special Purpose — 2.7% | |||||||||||||||
BAE Systems Holdings Inc. | 5.570% | 8/15/08 | 680 | 681 | A,C | ||||||||||
DaimlerChrysler NA Holding Corporation | 5.875% | 3/15/11 | 1,790 | 1,761 | |||||||||||
ILFC E-Capital Trust I | 5.900% | 12/21/65 | 1,110 | 1,082 | B,C | ||||||||||
International Lease Finance Corporation | 5.000% | 4/15/10 | 650 | 631 |
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Corporate Bonds and Notes — Continued | |||||||||||||||
Special Purpose — Continued | |||||||||||||||
National Rural Utilities Cooperative Finance Corporation | 5.750% | 12/1/08 | $ | 330 | $ | 330 | |||||||||
Sprint Capital Corporation | 6.125% | 11/15/08 | 1,150 | 1,159 | |||||||||||
Verizon Global Funding Corp. | 7.250% | 12/1/10 | 240 | 252 | |||||||||||
5,896 | |||||||||||||||
Telecommunications — 0.3% | |||||||||||||||
AT&T Inc. | 4.125% | 9/15/09 | 160 | 152 | |||||||||||
AT&T Inc. | 5.300% | 11/15/10 | 540 | 527 | |||||||||||
679 | |||||||||||||||
Telecommunications (Cellular/ Wireless) — 0.9% | |||||||||||||||
Motorola, Inc. | 4.608% | 11/16/07 | 1,500 | 1,479 | |||||||||||
New Cingular Wireless Services Inc. | 8.125% | 5/1/12 | 390 | 429 | |||||||||||
1,908 | |||||||||||||||
Total Corporate Bonds and Notes (Identified Cost — $59,591) | 58,607 | ||||||||||||||
Asset-Backed Securities — 11.5% | |||||||||||||||
Fixed Rate Securities — 3.0% | |||||||||||||||
AmeriCredit Automobile Receivables Trust 2003-BX | 2.720% | 1/6/10 | 1,912 | 1,884 | |||||||||||
MBNA Practice Solutions Owners Trust 2005-2 | 4.100% | 5/15/09 | 2,700 | 2,652 | C | ||||||||||
Prestige Auto Receivables Trust 2005-1A | 4.370% | 6/15/12 | 1,300 | 1,267 | C | ||||||||||
Structured Asset Securities Corporation 2003-AL1 | 3.356% | 4/25/31 | 714 | 634 | C | ||||||||||
6,437 | |||||||||||||||
Indexed SecuritiesA — 8.2% | |||||||||||||||
Asset Backed Funding Certificates 2002-WF2 | 6.073% | 5/25/32 | 221 | 222 | |||||||||||
Bear Stearns Asset Backed Securities, Inc. 2004-1 | 5.843% | 6/25/34 | 3,000 | 3,022 | |||||||||||
CHEC Loan Trust 2004-2 | 5.653% | 2/25/31 | 3,500 | 3,503 |
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Asset-Backed Securities — Continued | |||||||||||||||
Indexed Securities — Continued | |||||||||||||||
Citibank Credit Card Issuance Trust 2002-B1 | 5.790% | 6/25/09 | $ | 1,675 | $ | 1,679 | |||||||||
Countrywide Home Equity Loan Trust 2004-O | 5.479% | 2/15/34 | 976 | 978 | |||||||||||
Fremont Home Loan Trust 2004-C | 5.593% | 1/25/32 | 410 | 410 | |||||||||||
GSAA Home Equity Trust 2004-9 | 5.703% | 9/25/34 | 873 | 874 | |||||||||||
Magnetite CBO II, Ltd. | 5.640% | 8/25/12 | 24 | 24 | C,D | ||||||||||
RAAC Series 2005-RP1 | 5.663% | 7/25/37 | 1,158 | 1,158 | C | ||||||||||
Rental Car Finance Corp. 2003-1A | 5.723% | 5/25/08 | 3,000 | 3,008 | C | ||||||||||
Rental Car Finance Corp. 2004-1A | 5.523% | 6/25/09 | 3,000 | 3,004 | C | ||||||||||
17,882 | |||||||||||||||
Stripped Securities — 0.3% | |||||||||||||||
HSI Asset Securitization Corporation Trust, Series 2006-OPT4 | 1.500% | 3/25/36 | 33,017 | 570 | E1 | ||||||||||
Total Asset-Backed Securities (Identified Cost — $25,074) | 24,889 | ||||||||||||||
Mortgage-Backed Securities — 22.6% | |||||||||||||||
Fixed Rate Securities — 3.0% | |||||||||||||||
Blackrock Capital Finance L.P. 1997-R3 | 7.220% | 11/25/28 | 141 | 141 | C | ||||||||||
Prime Mortgage Trust 2005-2 | 7.596% | 10/25/32 | 1,622 | 1,655 | |||||||||||
Residential Asset Mortgage Products, Inc. 2005-SL1 A7 | 8.000% | 5/25/32 | 1,694 | 1,747 | |||||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2004-RA1 | 7.000% | 3/25/34 | 2,954 | 2,978 | |||||||||||
6,521 | |||||||||||||||
Indexed SecuritiesA — 14.8% | |||||||||||||||
Banc of America Mortgage Securities 2005-F | 5.023% | 7/25/35 | 2,323 | 2,269 | |||||||||||
Bear Stearns Arm Trust 2004-10 | 4.548% | 1/25/35 | 893 | 877 |
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Mortgage-Backed Securities — Continued | |||||||||||||||
Indexed Securities — Continued | |||||||||||||||
Countrywide Alternative Loan Trust 2005-59 1A1 | 5.597% | 11/20/35 | $ | 2,217 | $ | 2,226 | |||||||||
Countrywide Alternative Loan Trust 2006-0a2 A5 | 5.497% | 5/20/46 | 2,459 | 2,461 | |||||||||||
Harborview Mortgage Loan Trust 2004-8 | 5.652% | 11/19/34 | 1,031 | 1,034 | |||||||||||
HomeBanc Mortgage Trust 2004-2 | 5.693% | 12/25/34 | 1,779 | 1,783 | |||||||||||
HomeBanc Mortgage Trust 2005-1 | 5.573% | 3/25/35 | 2,128 | 2,128 | |||||||||||
Impac CMB Trust 2004-2 | 5.583% | 4/25/34 | 635 | 635 | |||||||||||
Impac CMB Trust 2004-6 | 5.713% | 10/25/34 | 846 | 848 | |||||||||||
Impac Secured Assets Corp. 2004-3 | 5.523% | 11/25/34 | 43 | 44 | |||||||||||
Lehman XS Trust 2005-5N 3A1A | 5.623% | 11/25/35 | 2,635 | 2,637 | |||||||||||
Luminent Mortgage Trust 2006-2 A1A | 5.523% | 2/25/46 | 2,552 | 2,548 | |||||||||||
MASTR Specialized Loan Trust 2006-01 A | 5.623% | 1/25/36 | 1,153 | 1,153 | C | ||||||||||
Provident Funding Mortgage Loan Trust 2005-1 1A1 | 4.168% | 5/25/35 | 2,078 | 2,031 | |||||||||||
Sequoia Mortgage Trust 2003-2 A2 | 5.560% | 6/20/33 | 818 | 817 | |||||||||||
Sequoia Mortgage Trust 2003-7 A1 | 5.587% | 1/20/34 | 893 | 894 | |||||||||||
Thornburg Mortgage Securities Trust 2005-4 | 5.533% | 12/25/35 | 2,275 | 2,272 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2003-AR10 | 4.065% | 10/25/33 | 2,100 | 2,034 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2004-AR8 | 5.545% | 6/25/44 | 1,428 | 1,431 | |||||||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR1 | 5.643% | 2/25/36 | 2,053 | 2,055 | |||||||||||
32,177 | |||||||||||||||
Stripped Securities — N.M. | |||||||||||||||
Nomura Asset Acceptance Corporation, Series 2006-AP1 | 4.500% | 2/15/28 | 400 | 14 | E1 | ||||||||||
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Mortgage-Backed Securities — Continued | |||||||||||||||
Variable Rate SecuritiesF — 4.8% | |||||||||||||||
Banc of America Funding Corporation 2004-B | 4.193% | 12/20/34 | $ | 1,231 | $ | 1,221 | |||||||||
Countrywide Alternative Loan Trust 2004-33, 1A1 | 5.002% | 12/25/34 | 849 | 846 | |||||||||||
Countrywide Alternative Loan Trust 2004-33, 2A1 | 4.950% | 12/25/34 | 439 | 434 | |||||||||||
J.P. Morgan Mortgage Trust 2003-A1 | 4.363% | 10/25/33 | 2,344 | 2,245 | |||||||||||
MASTR Adjustable Rate Mortgages Trust 2004-13 | 3.786% | 11/21/34 | 3,000 | 2,823 | |||||||||||
MLCC Mortgage Investors, Inc. 2005-1 2A2 | 4.968% | 4/25/35 | 2,894 | 2,832 | |||||||||||
10,401 | |||||||||||||||
Total Mortgage-Backed Securities (Identified Cost — $49,742) | 49,113 | ||||||||||||||
U.S. Government and Agency Obligations — 5.4% | |||||||||||||||
Fixed Rate Securities — 3.3% | |||||||||||||||
Fannie Mae | 5.250% | 6/15/08 | 440 | 438 | |||||||||||
Freddie Mac | 3.800% | 12/27/06 | 5,000 | 4,959 | |||||||||||
United States Treasury Bonds | 5.375% | 2/15/31 | 190 | 193 | |||||||||||
United States Treasury Notes | 4.375% | 1/31/08 | 1,650 | 1,630 | |||||||||||
7,220 | |||||||||||||||
Treasury Inflation-Protected SecuritiesG — 2.1% | |||||||||||||||
United States Treasury Inflation-Protected Security | 3.000% | 7/15/12 | 2,325 | 2,394 | |||||||||||
United States Treasury Inflation-Protected Security | 2.375% | 1/15/25 | 2,137 | 2,080 | |||||||||||
4,474 | |||||||||||||||
Total U.S. Government and Agency Obligations (Identified Cost — $12,019) | 11,694 | ||||||||||||||
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities — 25.9% | |||||||||||||||
Fixed Rate Securities — 15.6% | |||||||||||||||
Fannie Mae | 8.500% | 6/1/10 to 8/1/11 | $ | 29 | $ | 29 | |||||||||
Fannie Mae | 7.000% | 1/1/13 to 1/1/33 | 4,892 | 5,013 | |||||||||||
Fannie Mae | 6.500% | 7/1/13 to 10/1/32 | 1,848 | 1,865 | |||||||||||
Fannie Mae | 9.500% | 7/1/14 | 41 | 43 | |||||||||||
Fannie Mae | 11.000% | 12/1/15 | 55 | 57 | |||||||||||
Fannie Mae | 12.500% | 1/1/18 to 4/1/18 | 44 | 48 | |||||||||||
Fannie Mae | 9.000% | 11/1/21 | 123 | 130 | |||||||||||
Fannie Mae | 6.000% | 11/1/27 | 0.2 | 0.2 | |||||||||||
Fannie Mae | 5.000% | 12/1/36 | 17,500 | 16,355 | H | ||||||||||
Fannie Mae | 5.500% | 12/1/36 | 3,800 | 3,649 | H | ||||||||||
Freddie Mac | 8.250% | 2/1/08 | 8 | 8 | |||||||||||
Freddie Mac | 8.500% | 12/1/08 to 6/1/21 | 39 | 39 | |||||||||||
Freddie Mac | 9.750% | 11/1/09 to 11/1/14 | 23 | 24 | |||||||||||
Freddie Mac | 9.000% | 1/1/17 to 1/1/21 | 145 | 152 | |||||||||||
Freddie Mac | 8.000% | 2/1/31 | 245 | 258 | |||||||||||
Freddie Mac | 7.000% | 4/1/32 | 1,943 | 1,991 | |||||||||||
Freddie Mac | 5.000% | 12/1/36 | 200 | 187 | H | ||||||||||
Government National Mortgage Association | 9.000% | 8/15/06 to 9/15/22 | 7 | 8 | |||||||||||
Government National Mortgage Association | 6.000% | 5/15/14 to 11/15/28 | 261 | 261 | |||||||||||
Government National Mortgage Association | 5.500% | 12/1/36 | 3,800 | 3,682 | H | ||||||||||
33,799 | |||||||||||||||
Indexed SecuritiesA — 10.2% | |||||||||||||||
Fannie Mae | 4.324% | 11/1/34 | 1,208 | 1,173 | |||||||||||
Fannie Mae | 4.214% | 12/1/34 | 1,399 | 1,346 | |||||||||||
Fannie Mae | 4.330% | 1/1/35 | 1,195 | 1,149 | |||||||||||
Fannie Mae | 4.865% | 1/1/35 | 2,158 | 2,116 | |||||||||||
Fannie Mae | 4.801% | 2/1/35 | 4,686 | 4,573 | |||||||||||
Fannie Mae | 4.545% | 3/1/35 | 2,663 | 2,601 | |||||||||||
Fannie Mae | 4.964% | 3/1/35 | 4,840 | 4,773 | |||||||||||
Freddie Mac | 4.350% | 12/1/34 | 545 | 528 | |||||||||||
Freddie Mac | 4.462% | 12/1/34 | 2,687 | 2,615 |
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
U.S. Government Agency Mortgage-Backed Securities — Continued | |||||||||||||||
Indexed Securities — Continued | |||||||||||||||
Freddie Mac | 4.083% | 1/1/35 | $ | 515 | $ | 496 | |||||||||
Freddie Mac | 4.104% | 1/1/35 | 882 | 849 | |||||||||||
22,219 | |||||||||||||||
Stripped Securities — 0.1% | |||||||||||||||
Government National Mortgage Association | 3.250% | 6/16/26 | 2,072 | 147 | E1 | ||||||||||
Government National Mortgage Association | 3.300% | 8/16/26 | 1,592 | 148 | E1 | ||||||||||
295 | |||||||||||||||
Total U.S. Government Agency Mortgage-Backed Securities (Identified Cost — $58,710) | 56,313 | ||||||||||||||
Yankee BondsD — 5.2% | |||||||||||||||
Banking and Finance — 0.3% | |||||||||||||||
AIFUL CORPORATION | 5.000% | 8/10/10 | 670 | 637 | C | ||||||||||
Banks — 0.5% | |||||||||||||||
Kaupthing Bank Hf | 5.758% | 4/12/11 | 1,000 | 1,000 | |||||||||||
Energy — 0.4% | |||||||||||||||
SP PowerAssets Limited Global | 3.800% | 10/22/08 | 1,000 | 957 | C | ||||||||||
Foreign Governments — 0.8% | |||||||||||||||
Russian Federation | 3.000% | 5/14/08 | 1,940 | 1,831 | |||||||||||
Manufacturing (Diversified) — 0.7% | |||||||||||||||
Tyco International Group SA | 6.375% | 10/15/11 | 1,480 | 1,510 | |||||||||||
Special Purpose — 0.3% | |||||||||||||||
MUFG Capital Finance 1 Limited | 6.346% | 7/25/49 | 600 | 579 | B | ||||||||||
Par/ | |||||||||||||||
Rates | Maturity Date | Shares | Value | ||||||||||||
Yankee Bonds — Continued | |||||||||||||||
Telecommunications — 1.9% | |||||||||||||||
British Telecommunications plc | 8.375% | 12/15/10 | $ | 1,520 | $ | 1,669 | |||||||||
Koninklijke (Royal) KPN NV | 8.000% | 10/1/10 | 900 | 955 | |||||||||||
Telecom Italia Capital | 5.629% | 2/1/11 | 1,040 | 1,045 | A | ||||||||||
Telefonica Emisiones SAU | 5.714% | 6/19/09 | 400 | 400 | A | ||||||||||
4,069 | |||||||||||||||
Telecommunications (Cellular/ Wireless) — 0.3% | |||||||||||||||
Vodafone Group Plc | 3.950% | 1/30/08 | 730 | 711 | |||||||||||
Total Yankee Bonds (Identified Cost — $11,550) | 11,294 | ||||||||||||||
Preferred Stocks — 0.2% | |||||||||||||||
Home Ownership Funding Corporation | 13.331% | 1 | shs | 101 | B,C | ||||||||||
Home Ownership Funding Corporation II | 13.338% | 1 | 281 | B,C | |||||||||||
Total Preferred Stocks (Identified Cost — $1,538) | 382 | ||||||||||||||
Total Long-Term Securities (Identified Cost — $218,224) | 212,292 | ||||||||||||||
Short-Term Securities — 13.4% | |||||||||||||||
U.S. Government and Agency Obligations — 0.1% | |||||||||||||||
Fannie Mae | 0.000% | 9/25/06 | $ | 220 | 217 | I,J | |||||||||
Repurchase Agreements — 13.3% | |||||||||||||||
Goldman, Sachs & Company 5.21%, dated 6/30/06, to be repurchased at $14,434 (Collateral: $14,720 Freddie Mac notes, 5.25%, due 5/21/09, value $14,720) | $ | 14,428 | $ | 14,428 | |||||||||||
Merrill Lynch Government Securities, Inc. 5.14%, dated 6/30/06, to be repurchased at $14,434 (Collateral: $15,535 Fannie Mae notes, 4.625%, due 10/15/14, value $14,719) | 14,428 | 14,428 | |||||||||||||
28,856 | |||||||||||||||
Total Short-Term Securities (Identified Cost — $29,073) | 29,073 | ||||||||||||||
Value | ||||||||||||||
Total Investments — 111.2% (Identified Cost — $247,297) | $ | 241,365 | ||||||||||||
Other Assets Less Liabilities — (11.2)% | (24,287 | ) | ||||||||||||
Net Assets — 100.0% | $ | 217,078 | ||||||||||||
Actual | Appreciation/ | ||||||||||||
Expiration | Contracts | (Depreciation) | |||||||||||
Futures Contracts PurchasedK | |||||||||||||
Eurodollar Futures | September 2006 | 35 | $ | (24 | ) | ||||||||
U.S. Treasury Note Futures | September 2006 | 561 | (340 | ) | |||||||||
$ | (364 | ) | |||||||||||
Futures Contracts WrittenK | |||||||||||||
U.S. Treasury Note Futures | September 2006 | 256 | $ | 171 | |||||||||
U.S. Treasury Note Futures | September 2006 | 309 | 176 | ||||||||||
$ | 347 | ||||||||||||
A | Indexed Security — The rates of interest earned on these securities are tied to the London Interbank Offered Rate (“LIBOR”) or the ten year Treasury Bill Constant Maturity Rate. The coupon rates are the rates as of June 30, 2006. |
B | Stepped coupon security — A security with a predetermined schedule of interest or dividend rate changes. |
C | Rule 144a Security — A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 9.6% of net assets. |
D | Yankee Bond — A dollar-denominated bond issued in the U.S. by foreign entities. |
E | Stripped security — Security with interest-only or principal-only payment streams, denoted by a 1 or 2 respectively. For interest-only securities, the amount shown as principal is the notional balance used to calculate the amount of interest due. |
F | The coupon rates shown on variable rate securities are the rates at June 30, 2006. These rates vary with the weighted average coupon of the underlying loans. |
G | Treasury Inflation - Protected Security — Treasury security whose principal value is adjusted daily in accordance with changes to the Consumer Price Index for all urban consumers. Interest is calculated on the basis of the current adjusted principal value. |
H | When Issued security — Securities purchased on a delayed delivery basis. Final settlement amount and maturity date have not yet been announced. |
I | Zero coupon bond — A bond with no periodic interest payments which is sold at such a discount as to produce a current yield to maturity. The amount shown as principal is the notional balance used to calculate the amount of interest due. |
J | Collateral to cover futures and options contracts. |
K | Futures are described in more detail in the notes to financial statements. |
Assets: | ||||||||||
Investment securities at market value (Identified Cost – $218,224) | $ | 212,292 | ||||||||
Short-term securities at value (Identified Cost – $29,073) | 29,073 | |||||||||
Cash | 27 | |||||||||
Receivable for securities sold | 2,787 | |||||||||
Receivable for fund shares sold | 145 | |||||||||
Interest and dividends receivable | 1,230 | |||||||||
Other assets | 11 | |||||||||
Total assets | 245,565 | |||||||||
Liabilities: | ||||||||||
Payable for securities purchases | $ | 26,831 | ||||||||
Payable for fund shares repurchased | 937 | |||||||||
Payable for futures variation margin | 110 | |||||||||
Income distribution payable | 401 | |||||||||
Accrued management fee | 62 | |||||||||
Accrued distribution and service fees | 72 | |||||||||
Accrued expenses | 74 | |||||||||
Total liabilities | 28,487 | |||||||||
Net Assets | $ | 217,078 | ||||||||
Net assets consist of: | ||||||||||
Accumulated paid-in capital applicable to: | ||||||||||
19,840 Primary Class shares outstanding | $ | 216,807 | ||||||||
1,634 Institutional Class shares outstanding | 16,859 | |||||||||
Overdistribution of net investment income | (178 | ) | ||||||||
Accumulated net realized loss on investments and futures | (10,461 | ) | ||||||||
Unrealized appreciation/(depreciation) of investments and futures | (5,949 | ) | ||||||||
Net Assets | $ | 217,078 | ||||||||
Net Asset Value Per Share: | ||||||||||
Primary Class | $10.11 | |||||||||
Institutional Class | $10.11 | |||||||||
Investment Income: | |||||||||||
Interest | $ | 5,514 | |||||||||
Dividends | 127 | ||||||||||
Total income | $5,641 | ||||||||||
Expenses: | |||||||||||
Management fees | 507 | ||||||||||
Distribution and service fees | |||||||||||
Primary Class | 520 | ||||||||||
Audit and legal fees | 30 | ||||||||||
Custodian fees | 55 | ||||||||||
Directors’ fees and expenses | 25 | ||||||||||
Registration fees | 24 | ||||||||||
Reports to shareholders | 24 | ||||||||||
Transfer agent and shareholder servicing expense: | |||||||||||
Primary Class | 86 | ||||||||||
Institutional Class | 1 | ||||||||||
Other expenses | 27 | ||||||||||
1,299 | |||||||||||
Less: Fees waived | (214 | ) | |||||||||
Compensating balance credits | (2 | ) A | |||||||||
Total expenses, net of waivers and compensating balance credits | 1,083 | ||||||||||
Net Investment Income | 4,558 | ||||||||||
Net Realized and Unrealized Gain/(Loss) on Investments: | |||||||||||
Realized gain/(loss) on: | |||||||||||
Investments | (806 | ) | |||||||||
Futures | 324 | ||||||||||
(482 | ) | ||||||||||
Change in unrealized appreciation/(depreciation) of investments and futures | (1,424 | ) | |||||||||
Net Realized and Unrealized Loss on Investments | (1,906 | ) | |||||||||
Change in Net Assets Resulting From Operations | $2,652 | ||||||||||
A | See note 1, Compensating Balance Credits, in the notes to financial statements. |
For the | For the | |||||||||
Six Months Ended | Year Ended | |||||||||
6/30/06 | 12/31/05 | |||||||||
(Unaudited) | ||||||||||
Change in Net Assets: | ||||||||||
Net investment income | $ | 4,558 | $ | 8,707 | ||||||
Net realized loss on investments and futures | (482 | ) | (1,274 | ) | ||||||
Change in unrealized appreciation/(depreciation) of investments and futures | (1,424 | ) | (2,592 | ) | ||||||
Change in net assets resulting from operations | 2,652 | 4,841 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income: | ||||||||||
Primary Class | (4,250 | ) | (8,515 | ) | ||||||
Institutional Class | (389 | ) | (574 | ) | ||||||
Change in net assets from Fund share transactions: | ||||||||||
Primary Class | (17,102 | ) | (51,090 | ) | ||||||
Institutional Class | (1,543 | ) | 8,896 | |||||||
Change in net assets | (20,632 | ) | (46,442 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 237,710 | 284,152 | ||||||||
End of period | $ | 217,078 | $ | 237,710 | ||||||
Overdistribution of net investment income | $ | (178 | ) | $ | (97 | ) | ||||
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.20 | $ | 10.36 | $ | 10.54 | $ | 10.70 | $ | 10.32 | $ | 10.26 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .20 | .33 | .29 | .26 | .41 | .53 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments and futures | (.08 | ) | (.14 | ) | (.09 | ) | (.14 | ) | .38 | .06 | |||||||||||||||
Total from investment operations | .12 | .19 | .20 | .12 | .79 | .59 | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.21 | ) | (.35 | ) | (.37 | ) | (.28 | ) | (.41 | ) | (.53 | ) | |||||||||||||
From net realized gain on investments | — | — | (.01 | ) | — | — | — | ||||||||||||||||||
Total distributions | (.21 | ) | (.35 | ) | (.38 | ) | (.28 | ) | (.41 | ) | (.53 | ) | |||||||||||||
Net asset value, end of period | $ | 10.11 | $ | 10.20 | $ | 10.36 | $ | 10.54 | $ | 10.70 | $ | 10.32 | |||||||||||||
Total return | 1.15 | %A | 1.83 | % | 1.89 | % | 1.11 | % | 7.79 | % | 5.83 | % | |||||||||||||
Ratios to Average Net Assets:B | |||||||||||||||||||||||||
Total expenses | 1.20 | %C | 1.15 | % | 1.21 | % | 1.21 | % | 1.19 | % | 1.17 | % | |||||||||||||
Expenses net of waivers, if any | 1.00 | %C | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | |||||||||||||
Expenses net of all reductions | 1.00 | %C | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | |||||||||||||
Net investment income | 4.03 | %C | 3.21 | % | 2.81 | % | 2.48 | % | 3.85 | % | 5.08 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 120.7 | %A | 81.6 | % | 238.0 | % | 487.3 | % | 204.1 | % | 535.2 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 200,557 | $ | 219,497 | $ | 274,606 | $ | 326,844 | $ | 379,793 | $ | 300,597 | |||||||||||||
A | Not annualized. |
B | Total expenses reflects operating expenses prior to any voluntary expense waivers and/or compensating balance credits. Expenses net of waivers reflects total expenses before compensating balance credits but net of any voluntary expense waivers. Expenses net of all reductions reflects expenses less any compensating balance credits and/or voluntary expense waivers. |
C | Annualized. |
Six Months | |||||||||||||||||||||||||
Ended | Years Ended December 31, | ||||||||||||||||||||||||
June 30, | |||||||||||||||||||||||||
2006 | 2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.20 | $ | 10.37 | $ | 10.55 | $ | 10.70 | $ | 10.32 | $ | 10.27 | |||||||||||||
Investment operations: | |||||||||||||||||||||||||
Net investment income | .23 | .40 | .35 | .32 | .46 | .58 | |||||||||||||||||||
Net realized and unrealized gain/(loss) on investments, options and futures | (.09 | ) | (.17 | ) | (.10 | ) | (.14 | ) | .38 | .05 | |||||||||||||||
Total from investment operations | .14 | .23 | .25 | .18 | .84 | .63 | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||
From net investment income | (.23 | ) | (.40 | ) | (.42 | ) | (.33 | ) | (.46 | ) | (.58 | ) | |||||||||||||
From net realized gain on investments | — | — | (.01 | ) | — | — | — | ||||||||||||||||||
Total distributions | (.23 | ) | (.40 | ) | (.43 | ) | (.33 | ) | (.46 | ) | (.58 | ) | |||||||||||||
Net asset value, end of period | $ | 10.11 | $ | 10.20 | $ | 10.37 | $ | 10.55 | $ | 10.70 | $ | 10.32 | |||||||||||||
Total return | 1.40 | %A | 2.29 | % | 2.41 | % | 1.71 | % | 8.35 | % | 6.30 | % | |||||||||||||
Ratios to Average Net Assets:B | |||||||||||||||||||||||||
Total expenses | .63 | %C | .62 | % | .70 | % | .68 | % | .66 | % | .63 | % | |||||||||||||
Expenses net of waivers, if any | .50 | %C | .46 | % | .48 | % | .46 | % | .47 | % | .46 | % | |||||||||||||
Expenses net of all reductions | .50 | %C | .46 | % | .48 | % | .46 | % | .47 | % | .46 | % | |||||||||||||
Net investment income | 4.30 | %C | 3.85 | % | 3.22 | % | 3.03 | % | 4.38 | % | 5.63 | % | |||||||||||||
Supplemental Data: | |||||||||||||||||||||||||
Portfolio turnover rate | 120.7 | %A | 81.6 | % | 238.0 | % | 487.3 | % | 204.1 | % | 535.2 | % | |||||||||||||
Net assets, end of period (in thousands) | $ | 16,521 | $ | 18,213 | $ | 9,546 | $ | 7,740 | $ | 9,485 | $ | 7,221 | |||||||||||||
Purchases | Proceeds From Sales | |||||||||||||||
U.S. Gov’t. | U.S. Gov’t. | |||||||||||||||
Securities | Other | Securities | Other | |||||||||||||
Core Bond | $ | 176,772 | $ | 5,880 | $ | 175,921 | $ | 5,662 | ||||||||
High Yield | — | 80,183 | — | 88,662 | ||||||||||||
Investment Grade | 62,008 | 86,521 | 55,888 | 67,475 | ||||||||||||
Limited Duration | 233,152 | 36,568 | 232,353 | 58,165 |
Purchased option: | Impact on the Fund: | |
The option expires | Realize a loss in the amount of the cost of the option. | |
The option is closed through a closing sale transaction | Realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. | |
The Fund exercises a call option | The cost of the security purchased through the exercise of the option will be increased by the premium originally paid to purchase the option. | |
The Fund exercises a put option | Realize a gain or loss from the sale of the underlying security. The proceeds of that sale will be reduced by the premium originally paid to purchase the put option. | |
Written option: | Impact on the Fund: | |
The option expires | Realize a gain equal to the amount of the premium received. | |
The option is closed through a closing purchase transaction | Realize a gain or loss without regard to any unrealized gain or loss on the underlying security and eliminate the option liability. The Fund will realize a loss in this transaction if the cost of the closing purchase exceeds the premium received when the option was written. | |
A written call option is exercised by the option purchaser | Realize a gain or loss from the sale of the underlying security. The proceeds of that sale will be increased by the premium originally received when the option was written. | |
A written put option is exercised by the option purchaser | The amount of the premium originally received will reduce the cost of the security that the Fund purchased when the option was exercised. | |
Calls | Puts | |||||||||||||||
Actual | Actual | |||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding at December 31, 2005 | 104 | $ | 58 | 68 | $ | 43 | ||||||||||
Options written | 399 | 184 | 73 | 41 | ||||||||||||
Options closed | (54 | ) | (40 | ) | (22 | ) | (15 | ) | ||||||||
Options expired | (214 | ) | (114 | ) | (50 | ) | (35 | ) | ||||||||
Options exercised | (5 | ) | (1 | ) | (25 | ) | (12 | ) | ||||||||
Options outstanding at June 30, 2006 | 230 | $ | 87 | 44 | $ | 22 | ||||||||||
Six Months Ended | |||||||||||||
June 30, 2006 | |||||||||||||
Expense | Management Fees | ||||||||||||
Fund | Management Fee | Limitation | Waived | ||||||||||
Core Bond | 0.45% | 1.00% | $ | (149 | ) | ||||||||
High Yield | |||||||||||||
— Primary Class | 0.65% | None | — | ||||||||||
— Institutional Class | 0.65% | �� | None | — | |||||||||
Investment Grade | |||||||||||||
— Primary Class | 0.60% | 1.00% | (437 | ) | |||||||||
— Institutional Class | 0.60% | 0.50% | (26 | ) | |||||||||
Limited Duration | |||||||||||||
— Primary Class | 0.45% | 1.00% | (132 | ) | |||||||||
— Institutional Class | 0.45% | 0.50% | (11 | ) |
Distribution | Service | |||||||
Fee | Fee | |||||||
Core Bond | 0.25% | 0.25% | ||||||
High Yield | 0.25% | 0.25% | ||||||
Investment Grade | 0.25% | 0.25% | ||||||
Limited Duration | 0.25% | 0.25% |
Core Bond | |||||||||||||||||
Six Months | Year | ||||||||||||||||
Ended | Ended | ||||||||||||||||
6/30/06 | 12/31/05 | ||||||||||||||||
Shares | |||||||||||||||||
Sold | 1,055 | 3,168 | |||||||||||||||
Reinvestment of Distributions | 126 | 226 | |||||||||||||||
Repurchased | (1,229 | ) | (2,404 | ) | |||||||||||||
Net Change | (48 | ) | 990 | ||||||||||||||
Amount | |||||||||||||||||
Sold | $ | 10,123 | $ | 31,295 | |||||||||||||
Reinvestment of Distributions | 1,198 | 2,215 | |||||||||||||||
Repurchased | (11,741 | ) | (23,672 | ) | |||||||||||||
Net Change | $ | (420 | ) | $ | 9,838 | ||||||||||||
High Yield | |||||||||||||||||
Primary Class | Institutional Class | ||||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
6/30/06 | 12/31/05 | 6/30/06 | 12/31/05 | ||||||||||||||
Shares | |||||||||||||||||
Sold | 1,364 | 2,693 | 280 | 855 | |||||||||||||
Reinvestment of Distributions | 434 | 1,090 | 54 | 94 | |||||||||||||
Repurchased | (3,061 | ) | (8,012 | ) | (194 | ) | (495 | ) | |||||||||
Net Change | (1,263 | ) | (4,229 | ) | 140 | 454 | |||||||||||
Amount | |||||||||||||||||
Sold | $ | 12,327 | $ | 24,689 | $ | 2,539 | $ | 7,866 | |||||||||
Reinvestment of Distributions | 3,909 | 9,912 | 484 | 857 | |||||||||||||
Repurchased | (27,697 | ) | (73,219 | ) | (1,759 | ) | (4,549 | ) | |||||||||
Net Change | $ | (11,461 | ) | $ | (38,618 | ) | $ | 1,264 | $ | 4,174 | |||||||
Investment Grade | |||||||||||||||||
Primary Class | Institutional Class | ||||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
6/30/06 | 12/31/05 | 6/30/06 | 12/31/05 | ||||||||||||||
Shares | |||||||||||||||||
Sold | 6,476 | 6,762 | 535 | 1,449 | |||||||||||||
Reinvestment of Distributions | 721 | 1,834 | 51 | 92 | |||||||||||||
Repurchased | (5,124 | ) | (10,700 | ) | (284 | ) | (521 | ) | |||||||||
Net Change | 2,073 | (2,104 | ) | 302 | 1,020 | ||||||||||||
Amount | |||||||||||||||||
Sold | $ | 66,212 | $ | 72,007 | $ | 5,501 | $ | 15,490 | |||||||||
Reinvestment of Distributions | 7,356 | 19,415 | 518 | 970 | |||||||||||||
Repurchased | (52,493 | ) | (113,694 | ) | (2,922 | ) | (5,546 | ) | |||||||||
Net Change | $ | 21,075 | $ | (22,272 | ) | $ | 3,097 | $ | 10,914 | ||||||||
Limited Duration | |||||||||||||||||
Primary Class | Institutional Class | ||||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||||
6/30/06 | 12/31/05 | 6/30/06 | 12/31/05 | ||||||||||||||
Shares | |||||||||||||||||
Sold | 1,537 | 3,474 | 244 | 1,392 | |||||||||||||
Reinvestment of Distributions | 347 | 743 | 28 | 49 | |||||||||||||
Repurchased | (3,566 | ) | (9,200 | ) | (423 | ) | (577 | ) | |||||||||
Net Change | (1,682 | ) | (4,983 | ) | (151 | ) | 864 | ||||||||||
Amount | |||||||||||||||||
Sold | $ | 15,629 | $ | 35,740 | $ | 2,478 | $ | 14,310 | |||||||||
Reinvestment of Distributions | 3,526 | 7,624 | 287 | 510 | |||||||||||||
Repurchased | (36,257 | ) | (94,454 | ) | (4,308 | ) | (5,924 | ) | |||||||||
Net Change | $ | (17,102 | ) | $ | (51,090 | ) | $ | (1,543 | ) | $ | 8,896 | ||||||
% of | ||||||||
Shares Voted | Outstanding Shares | |||||||
Affirmative | 16,173,762 | 56.54% | ||||||
Against | 8,017 | 0.03% | ||||||
Abstain | — | 0.00% |
Legg Mason Fund Adviser, Inc. Baltimore, MD |
Western Asset Management Company Pasadena, CA |
John F. Curley, Jr., Chairman Mark R. Fetting, President Dr. Ruby P. Hearn Arnold L. Lehman Robin J.W. Masters Dr. Jill E. McGovern Arthur S. Mehlman G. Peter O’Brien S. Ford Rowan Robert M. Tarola |
Marie K. Karpinski, Vice President and Chief Financial Officer Gregory T. Merz, Vice President and Chief Legal Officer Amy M. Olmert, Vice President and Chief Compliance Officer Erin K. Morris, Treasurer Richard M. Wachterman, Secretary |
Boston Financial Data Services Braintree, MA |
State Street Bank & Trust Company Boston, MA |
Kirkpatrick & Lockhart Nicholson Graham LLP Washington, DC |
PricewaterhouseCoopers LLP Baltimore, MD |
Equity Funds American Leading Companies Trust Classic Valuation Fund Growth Trust Special Investment Trust U.S. Small-Capitalization Value Trust Value Trust Specialty Funds Balanced Trust Financial Services Fund Opportunity Trust Global Funds Emerging Markets Trust Global Income Trust International Equity Trust Taxable Bond Funds Core Bond Fund High Yield Portfolio Investment Grade Income Portfolio Limited Duration Bond Portfolio Tax-Free Bond Funds Maryland Tax-Free Income Trust Pennsylvania Tax-Free Income Trust Tax-Free Intermediate-Term Income Trust | Legg Mason, Inc., based in Baltimore, Maryland, has built its reputation, at least in part, on the success of the Legg Mason Funds, introduced in 1979. The primary purpose of our funds is to enable investors to diversify their portfolios across various asset classes and, consequently, enjoy the stability and growth prospects generally associated with diversification. The success of our funds is contingent on the experience, discipline, and acumen of our fund managers. We believe the quality of our managers is crucial to investment success. Unlike many firms, which focus on a particular asset class or the fluctuations of the market, at Legg Mason we focus on providing a collection of top-notch managers in all the major asset classes. Information about the policies and procedures that each Fund uses to determine how to vote proxies relating to its portfolio securities is contained in the Statement of Additional Information, available without charge upon request by calling 1-800-822-5544 or on the Securities and Exchange Commission’s (“SEC”) website (http://www.sec.gov). Information regarding how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is also available on the SEC’s website or through the Legg Mason Funds’ website at www.leggmasonfunds.com/about. Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. You may obtain a free copy of each Fund’s portfolio holdings as filed on Form N-Q, by contacting each Fund at the appropriate phone number, address or website listed below. Additionally, each Fund’s Form N-Q is available on the SEC’s website (http://www.sec.gov) or may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information about the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. |
Legg Mason Funds For Primary Class Shareholders c/o BFDS P.O. Box 55214 Boston, MA 02205-8504 800-822-5544 www.leggmasonfunds.com | Legg Mason Investor Services — Institutional For FI and I Class Shareholders c/o BFDS P.O. Box 8037 Boston, MA 02206-8037 888-425-6432 www.lminstitutionalfunds.com |
Item 2. Code of Ethics.
Not applicable for semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semiannual reports.
Item 5. Audit Committee of Listed Registrants.
The Registrant is not a listed issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934. |
Item 6. Schedule of Investments
The schedule of investments in securities of unaffiliated issuers is included as part of the report to shareholders filed under Item 1 of this Form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the effectiveness of the design and operation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report that the Registrant’s disclosure controls and procedures are effective, and that the disclosure controls and procedures are reasonably designed to ensure that the information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms and that information required to be disclosed is properly communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate, to allow timely decisions regarding the required disclosures.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) during the Registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) (1) Not applicable for semiannual reports. | |
(a) (2) Separate certifications for the Registrant’s principal executive officer and principal financial officer are attached. | |
(b) Separate certifications for the Registrant’s principal executive officer and principal financial officer are attached. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Legg Mason Income Trust, Inc.
By: /s/ Mark R. Fetting
Mark R. Fetting
President, Legg Mason Income Trust, Inc.
Date: August 23, 2006 ��
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ Mark R. Fetting
Mark R. Fetting
President, Legg Mason Income Trust, Inc.
Date: August 23, 2006
By: /s/ Marie K. Karpinski
Marie K. Karpinski
Vice President and Chief Financial Officer, Legg Mason Income Trust, Inc.
Date: August 21, 2006