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: 811-5151
JPMorgan Mutual Fund Group
(Exact name of registrant as specified in charter)
522 Fifth Avenue
New York, NY 10036
(Address of principal executive offices) (Zip code)
Stephen M. Benham
522 Fifth Avenue
New York, NY 10036
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: August 31
Date of reporting period: September 1, 2005 to February 28, 2006
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
SIX MONTHS ENDED FEBRUARY 28, 2006 (UNAUDITED)
JPMorgan Funds |
Income Funds |
JPMorgan Bond Fund JPMorgan Emerging Markets Debt Fund JPMorgan Enhanced Income Fund JPMorgan Global Strategic Income Fund JPMorgan Real Return Fund JPMorgan Short Term Bond Fund JPMorgan Short Term Bond Fund II |
President’s Letter | 1 | |||||
Fund Commentaries: | ||||||
Bond Fund | 2 | |||||
Emerging Markets Debt Fund | 4 | |||||
Enhanced Income Fund | 6 | |||||
Global Strategic Income Fund | 8 | |||||
Real Return Fund | 10 | |||||
Short Term Bond Fund | 12 | |||||
Short Term Bond Fund II | 14 | |||||
Schedules of Portfolio Investments | 16 | |||||
Financial Statements | 76 | |||||
Financial Highlights | 94 | |||||
Notes to Financial Statements | 110 | |||||
Trustees | 120 | |||||
Officers | 122 | |||||
Schedule of Shareholder Expenses | 123 | |||||
Board Approval of Investment Advisory Agreement | 126 |
• | Economic growth remains healthy |
• | Federal Reserve maintains campaign |
• | Environment promotes lackluster returns |
• | Growth may slow |
MARCH 14, 2006 (Unaudited)
![]() | “Although we are impressed by the strength of the economy so far in 2006, we must discount somewhat the strength of the first two months of the year.” |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/georgecwgatch-sig.jpg)
President
JPMorgan Funds
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 7/26/93 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $1,431,009 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 4.43 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Bond Fund, which seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity, returned 0.43% (Institutional Class Shares) for the six-month period ended February 28, 2006.* This compares to the (0.11)% return of its benchmark, the Lehman Brothers Aggregate Bond Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The majority of outperformance relative to the index came from investments in high-yield and emerging markets debt as these sectors outperformed the broader market over the six-month period. Duration management also contributed positively. Given the Federal Reserve’s (Fed) continued tightening, we positioned the Fund to take advantage of the yield curve flattening potential. Other positives included our holdings in asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS). Detracting from performance was the Fund’s allocation to public mortgages. |
Q: | HOW WAS THE FUND MANAGED? |
A: | High yield debt posted strong returns, supported by favorable earnings, healthy supply and low default rates. We modestly reduced our allocation to high yield as spreads have tightened versus our target. The emerging markets debt sector had an impressive rally, driven by credit upgrades, high commodity prices and supportive fundamentals. Nonetheless, we modestly reduced our exposure to emerging markets debt as we were concerned about political uncertainties. Capital inflows reached record highs recently as investors continue to seek higher yields. |
Given the rising-rate environment, we managed interest-rate risk from a tactical perspective, with a bias toward being short in intermediate maturities. As the Fed continued raising the fed funds rate, we positioned the Fund to take advantage of the flattening yield curve. Curve-flattener trades in the long end of the yield curve were a strong contributor to performance. |
The investment-grade credit sector was supported by robust earnings releases and healthy supply. We remained concerned about the single-name volatility associated with shareholder-friendly activity (Single name volatility is volatility associated with one firm). Consequently, we moved from a neutral to slightly underweight position in corporates, while still favoring BBB names and financial institutions. Security selection in structured products (ABS and CMBS) contributed positively to performance. |
Mortgage Pass-Through Securities | 42.7 | % | ||||
Corporate Bonds | 36.3 | |||||
Collateralized Mortgage Obligations | 22.0 | |||||
Asset Backed Securities | 14.7 | |||||
U.S. Treasury Obligations | 13.0 | |||||
Foreign Government Securities | 4.7 | |||||
U.S. Government Agency Securities | 4.3 | |||||
Commercial Mortgage Backed Securities | 2.1 | |||||
Short-Term Investments | 1.6 | |||||
Private Placements | 1.4 | |||||
Other (less than 1%) | 1.0 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 Year | 5 Year | 10 Year | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/2001 | |||||||||||||||||
Without Sales Charge | 2.82 | % | 5.21 | % | 5.93 | % | ||||||||||||
With Sales Charge* | (1.79 | ) | 4.25 | 5.44 | ||||||||||||||
CLASS B SHARES | 9/10/2001 | |||||||||||||||||
Without CDSC | 2.09 | 4.36 | 5.50 | |||||||||||||||
With CDSC** | (2.91 | ) | 4.02 | 5.50 | ||||||||||||||
CLASS C SHARES | 3/31/2003 | |||||||||||||||||
Without CDSC | 2.03 | 4.46 | 5.55 | |||||||||||||||
With CDSC*** | 1.03 | 4.46 | 5.55 | |||||||||||||||
SELECT CLASS SHARES | 9/10/2001 | 2.96 | 5.16 | 5.90 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 7/26/1993 | 2.99 | 5.33 | 6.07 | ||||||||||||||
ULTRA SHARES | 9/10/2001 | 3.11 | 5.42 | 6.17 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, a 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_bond-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 4/17/97 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $92,750 | |||||
Primary Benchmark | Emerging Markets Bond Index Global | |||||
Average Credit Quality | B– | |||||
Duration | 6.56 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Emerging Markets Debt Fund, which seeks to provide high total return from a portfolio of fixed income securities of emerging markets issuers, had a total return of 9.78% (Select Class Shares) for the six-month period ended February 28, 2006.* This compares to the 7.17% return from the Emerging Markets Bond Index Global. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Strong fundamentals, improved credit quality and sustained inflows drove an ongoing rally in emerging markets throughout the period. The Fund benefited from an overweight in Argentina, as strong growth figures coupled with heavy investor inflows led its debt to rally late in the period. Security selection was a major source of performance, as our holdings in Venezuela, a major oil exporter, benefited from strong global demand for oil. Also contributing were the numerous credit upgrades given by the rating agencies, as countries demonstrated a greater willingness and ability to repay debt. Detractors from performance included our underweight allocation in Brazil and Uruguay, as the rebound in commodity prices led these markets to outperform. The rating of the overall EMBI Global was raised from BB to BB+ in accordance with a credit rating upgrade by Standard & Poor’s, which suggest fundamental improvements in the sector. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Overall, the Fund was invested in countries that provided strong insulation from a higher-rate environment. Economic indicators suggested that the global economy was resilient in the face of sharp energy price increases in 2005. Market fundamentals were positive, supported by global growth and strong demand for commodity-based goods. New issuance continued to be ahead of schedule and several countries announced debt repurchasing plans. |
Foreign Government Securities | 71.1 | % | ||||
U.S. Treasury Obligations | 13.5 | |||||
Corporate Bonds | 9.8 | |||||
Short-Term Investments | 6.6 | |||||
Other | 0.1 |
United States | 21.7 | % | ||||
Brazil | 14.6 | |||||
Russia | 10.6 | |||||
Argentina | 8.6 | |||||
Venezuela | 8.4 | |||||
Mexico | 6.6 | |||||
Germany | 4.9 | |||||
Ukraine | 4.6 | |||||
Peru | 3.9 | |||||
Panama | 3.5 | |||||
Turkey | 2.8 | |||||
Dominican Republic | 2.8 | |||||
Luxembourg | 2.1 | |||||
El Salvador | 1.7 | |||||
Phillippines | 1.5 | |||||
Indonesia | 1.4 | |||||
Ecuador | 1.1 | |||||
Uruguay | 0.3 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SELECT CLASS SHARES | 4/17/1997 | 18.22 | % | 14.97 | % | 11.74 | % |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_emd-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 11/30/01 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $136,004 | |||||
Primary Benchmark* | Merrill Lynch USD LIBOR 3 Month Constant Maturity Index | |||||
Average Credit Quality | AA | |||||
Duration | 0.14 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Enhanced Income Fund, which seeks high current income consistent with principal preservation, returned 1.93% (Institutional Class Shares) for the six-month period ended February 28, 2006.** This compares to the 1.96% return of its benchmark, the Merrill Lynch USD LIBOR 3 Month Constant Maturity Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The majority of the Fund’s performance was driven by its allocation to floating-rate notes as short-term yields continued to rise. Duration and curve positioning added modestly to performance. Select mortgage positions had an adverse impact; however, the Fund had positive total returns each month in the period, amid volatility in the spread sectors. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short versus the benchmark early in the period but ended the period in a neutral position. We continued to increase our allocation to collateralized mortgage obligations (CMOs), swapping out of lower yielding corporates and agencies. We increased our targeted allocation to floating-rate CMOs as yields continue to rise. Meanwhile, select mortgage overlay trades hurt performance as the sector experienced high volatility in the fourth quarter. |
Corporate Bonds | 40.2 | % | ||||
Asset Backed Securities | 27.3 | |||||
Collateralized Mortgage Obligations | 26.2 | |||||
Mortgage Pass-Through Securities | 7.0 | |||||
Commercial Mortgage Backed Securities | 3.6 | |||||
Short-Term Investments | 1.4 | |||||
Other (less than 1%) | 0.3 |
* | The Fund’s benchmark changed to the Merrill Lynch USD LIBOR 3 Month Constant Maturity Index effective December 31, 2005. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL CLASS SHARES | 11/30/2001 | 3.60 | % | 2.08 | % | 2.03 | % |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_enhancedincome-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 3/17/97 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $22,350 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | A+ | |||||
Duration | 4.43 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Global Strategic Income Fund, which seeks to provide high total return from a portfolio of fixed income securities of foreign and domestic issuers, had a total return of 2.09% (Institutional Class Shares) for the six-month period ended February 28, 2006.* This compares to the (0.11)% return of its benchmark, the Lehman Brothers Aggregate Bond Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The strongest contributors to performance relative to the index were our holdings in emerging market and high-yield debt. Emerging market debt continued to prosper due to strong capital inflows from investors, high commodity prices and numerous credit upgrades. High-yield debt outperformed as corporate earnings were strong, default rates remained low and new issuance was well received in the primary market. Our decision to underweight Treasuries proved favorable as the sector underperformed. Our allocation to prepayment-sensitive mortgages was a modest negative. However, our security selection in the sector added to performance. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We maintained significant exposure to emerging market and high-yield debt, focusing on bottom-up security selection. This decision proved favorable as the global economy has been resilient to increased energy prices. Within emerging markets, the Fund was positioned in countries with lower current financing needs. Recently, we reduced exposure to the riskier segments of the market as the sector has rallied substantially. |
Corporate Bonds | 28.6 | % | ||||
Mortgage Pass-Through Securities | 27.0 | |||||
Short-Term Investments | 21.4 | |||||
Foreign Government Securities | 19.1 | |||||
Private Placements | 8.4 | |||||
U.S. Treasury Obligations | 6.9 | |||||
Commercial Mortgage Backed Securities | 1.9 | |||||
Asset Backed Securities | 1.3 | |||||
Collateralized Mortgage Obligations | 1.0 |
United States | 93.4 | % | ||||
France | 3.2 | |||||
Germany | 2.2 | |||||
Canada | 2.0 | |||||
Venezuela | 1.5 | |||||
Argentina | 1.4 | |||||
Dominican Republic | 1.2 | |||||
Ukraine | 1.2 | |||||
Peru | 1.1 | |||||
Panama | 1.0 | |||||
Other (less than 1.0%) | 7.4 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 Year | 5 Year | Since Inception | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/2001 | |||||||||||||||||
Without Sales Charge | 5.11 | % | 4.97 | % | 5.38 | % | ||||||||||||
With Sales Charge* | 0.34 | 4.00 | 4.84 | |||||||||||||||
CLASS B SHARES | 2/18/2005 | |||||||||||||||||
Without CDSC | 4.57 | 4.85 | 5.32 | |||||||||||||||
With CDSC** | (0.43 | ) | 4.52 | 5.32 | ||||||||||||||
CLASS C SHARES | 2/18/2005 | |||||||||||||||||
Without CDSC | 4.58 | 4.86 | 5.32 | |||||||||||||||
With CDSC*** | 3.58 | 4.86 | 5.32 | |||||||||||||||
CLASS M SHARES | 2/18/2005 | |||||||||||||||||
Without Sales Charge | 4.90 | 4.92 | 5.36 | |||||||||||||||
With Sales Charge**** | 1.70 | 4.29 | 5.00 | |||||||||||||||
SELECT CLASS SHARES | 9/10/2001 | 5.48 | 5.26 | 5.54 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 3/17/1997 | 5.71 | 5.59 | 5.87 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, a 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes 1% CDSC for the one year period and 0% CDSC thereafter. |
**** | Sales charge on Class M Shares is 3.00%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_gsi-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 9/1/05 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $58,086 | |||||
Primary Benchmark | Lehman Brothers U.S. Treasury Inflation-Protected Securities (TIPS) Index | |||||
Average Credit Quality | AAA | |||||
Duration | 8.7 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation protected return, returned (0.91)% (Select Class Shares) for the six-month period ended February 28, 2006.* This compares to the (0.62)% return of its benchmark, the Lehman Brothers U.S. TIPS Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | Fund underperformance was driven by initial investment costs along with negative performance for non-benchmark positions held in non-U.S. dollar fixed income markets. In particular, the Fund held positions that suffered from the dramatic outperformance of longer-maturity United Kingdom bonds at the end of 2005 and beginning of 2006. Our U.S. interest rates strategy and an overweight in longer-maturity U.S. Treasury bonds relative to intermediate portions of the yield curve benefited portfolio returns. The Fund’s allocation to the U.S. mortgage sector benefited portfolio returns in the first month of 2006. Our Treasury Inflation- Protected Securities (TIPS) exposure also benefited portfolio returns. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The period was characterized by a general increase in U.S. interest rates given the robust economic activity and perception that the Fed tightening cycle would continue through mid 2006. A continuation of high headline inflation as measured by the CPI-U, the reference consumer price index used to adjust TIPS coupon and principal repayments, benefited inflation-linked securities relative to conventional nominal U.S. Treasury securities. At inception, the Fund was managed close to the benchmark. Subsequently, our allocation in TIPS was based upon our perceived valuation for the sector and fundamental outlook for inflation. |
The third quarter of 2005 witnessed an increase in headline inflation volatility due to energy price fluctuations, resulting from hurricane-related disruptions in exploration and refining. With the market considering the hurricanes a threat to sustained economic expansion, we lowered our interest rate risk relative to the benchmark. We believed that the damage would be temporary, and looked to continued economic growth and moderate inflation. We also took advantage of yield curve flattening by buying into longer-maturity bonds. Additionally, longer-term TIPS frequently offered value during the period |
We increased our allocation in U.S. mortgage-backed securities (MBS) and we believe the U.S. mortgage sector may perform well should the Fed be near the end of its tightening cycle. We believe that investments in emerging market countries are attractive, although we remain cautious about the political risks and macro volatility in the sector. |
U.S. Treasury Obligations | 83.8 | % | ||||
Collateralized Mortgage Obligations | 6.4 | |||||
Asset Backed Securities | 4.3 | |||||
Short-Term Investments | 3.3 | |||||
Mortgage Pass-Through Securities | 3.1 | |||||
Corporate Bonds | 1.3 | |||||
Other (less than 1%) | 0.4 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | Since Inception | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/1/2005 | |||||||||
Without Sales Charge | (1.16 | )% | ||||||||
With Sales Charge* | (5.60 | ) | ||||||||
CLASS C SHARES | 9/1/2005 | |||||||||
Without CDSC | (1.35 | ) | ||||||||
With CDSC** | (2.35 | ) | ||||||||
SELECT CLASS SHARES | 9/1/2005 | (0.91 | ) | |||||||
INSTITUTIONAL CLASS SHARES | 9/1/2005 | (0.87 | ) | |||||||
LEHMAN BROTHERS U.S. TREASURY INFLATION-PROTECTED SECURITIES (TIPS) INDEX | (0.62 | ) | ||||||||
LIPPER TIPS FUNDS INDEX | (0.17 | ) |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes 1% CDSC for the one year period and 0% CDSC thereafter. |
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 9/13/93 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $596,772 | |||||
Primary Benchmark | Merrill Lynch 1–3 Year Treasury Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.76 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund, which seeks to provide high total returns, consistent with low volatility of principal, returned 0.98% (Institutional Class Shares) for the six-month period ended February 28, 2006.* This compares to the 0.69% return of its benchmark, the Merrill Lynch 1–3 Year Treasury Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The majority of performance came from investments in corporate bonds, structured products, and duration and curve positioning. The Fund also benefited from its allocation in high-yield and international (non-emerging market debt) positions. Emerging markets debt and select mortgage-backed positions had an adverse impact on the Fund’s performance. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short versus the benchmark early in the period but ended the period in a neutral position. We added 10-year Treasury Inflation Protected Securities (TIPS), which we believe may enhance performance should inflation rise. We continued to increase our allocation in collateralized mortgage obligations (CMOs), swapping out of lower-yielding corporates and agencies. We also continued to add asset-backed securities, in particular, home equity loans, which remained well supported by strong CDO (collateralized debt obligation) and real money demand from buy-and-hold investors, such as asset managers and pension plan managers. |
The investment-grade corporate sector performed well on solid earnings and continuing robust fundamentals. We participated in deals that offered attractive relative value and diversification opportunities. We held a bias toward financials as valuations remained attractive, and favored higher-yielding securities. |
Our allocation in the extended sectors posted mixed results. The Fund benefited from high yield as the sector had strong performance due to low default rates, favorable earnings and strong technicals. Meanwhile, emerging markets debt detracted from performance despite an impressive rally in the sector. Most of the underperformance came in the fourth quarter of 2005 due to our allocation in Venezuela and Argentina, which was hurt by declining oil prices and political uncertainty, respectively. Similarly, select mortgage-backed positions also hurt performance in the fourth quarter of 2005 as the sector witnessed an increase in rate volatility. These positions, however, returned to positive territory toward the end of the period. |
Lastly, in the international non-dollar sector, we held a euro-zone curve flattener position based on our view that strong demand for long-dated bonds may cause the yield curve to flatten. Furthermore, in Japan we added a short duration position in 10-year maturities as yield levels became attractive. |
Corporate Bonds | 35.5 | % | ||||
Collateralized Mortgage Obligations | 25.6 | |||||
Asset Backed Securities | 16.7 | |||||
Mortgage Pass-Through Securities | 13.3 | |||||
Commercial Mortgage Backed Securities | 12.5 | |||||
Short-Term Investments | 6.1 | |||||
Foreign Government Securities | 2.9 | |||||
Preferred Stocks | 1.5 | |||||
U.S. Treasury Obligations | 1.0 | |||||
Other (less than 1%) | 0.4 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/2001 | |||||||||||||||||
Without Sales Charge | 1.90 | % | 3.03 | % | 4.41 | % | ||||||||||||
With Sales Charge* | (1.15 | ) | 2.41 | 4.09 | ||||||||||||||
SELECT CLASS SHARES | 9/10/2001 | 2.11 | 3.21 | 4.49 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/13/1993 | 2.35 | 3.47 | 4.77 |
* | Sales Charge for Class A Shares is 3.00%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_stbond-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
Fund Inception | 11/30/90 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 2/28/06 (In Thousands) | $697,220 | |||||
Primary Benchmark | Lehman Brothers 1–3 Year U.S. Government Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.81 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund II, which seeks a high level of income consistent with preservation of capital, returned 0.67% (Select Class Shares) for the six-month period ended February 28, 2006.* This compares to the 0.73% return of its benchmark, the Lehman Brothers 1–3 Year U.S. Government Bond Index. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
The Fund underperformed its benchmark primarily due to its holdings in select mortgage-backed positions and agency sector debt, as the sector witnessed an increase in rate volatility. The Fund’s performance benefited from its allocations to corporate bonds, structured products and collateralized mortgage obligations (CMOs). It also benefited from the Fund’s duration and curve positioning. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short, versus the benchmark early in the period but ended the period in a neutral position. We added 10-year Treasury Inflation Protected Securities (TIPS), which we believe may enhance performance should inflation rise. We continued to increase our allocation in collateralized mortgage obligations (CMOs), swapping out of lower-yielding corporates and agencies. We also continued to add asset-backed securities, particularly home equity loans, which remained well supported by strong CDO (collateralized debt obligation) and real money demand from buy-and-hold investors, such as asset managers and pension plan managers. |
We held an underweight position in agencies relative to the benchmark throughout the period, which had an adverse impact on the Fund, as the sector benefited from continued strong demand from the hedge fund community and Asian investors. |
However, overweight positions in the investment- grade corporate sector was the largest contributor to performance. We held a bias toward financials, especially foreign banks, which made up the majority of the return from this sector. The sector remained well supported by solid earnings and continuing robust fundamentals. |
Corporate Bonds | 30.5 | % | ||||
Collateralized Mortgage Obligations | 28.7 | |||||
Asset Backed Securities | 20.4 | |||||
Commercial Mortgage Backed Securities | 16.4 | |||||
Mortgage Pass-Through Securities | 9.2 | |||||
Short-Term Investments | 2.9 | |||||
Foreign Government Securities | 2.3 | |||||
U.S. Treasury Obligations | 1.0 | |||||
Other (less than 1%) | 0.5 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | Percentages indicated are based upon net assets as of February 28, 2006. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 Year | 5 Year | 10 Year | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/6/1996 | |||||||||||||||||
Without Sales Charge | 1.71 | % | 2.81 | % | 4.13 | % | ||||||||||||
With Sales Charge* | (1.33 | ) | 2.19 | 3.81 | ||||||||||||||
CLASS M SHARES | 7/1/1999 | |||||||||||||||||
Without Sales Charge | 1.44 | 2.55 | 3.96 | |||||||||||||||
With Sales Charge** | (0.05 | ) | 2.25 | 3.80 | ||||||||||||||
SELECT CLASS SHARES | 11/30/1990 | 1.85 | 3.07 | 4.44 |
*Sales Charge for Class A Shares is 3.00%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-06-001527/d18575_stbondii-line.jpg)
AS OF FEBRUARY 28, 2006 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 141.3% | ||||||||||
Asset Backed Securities — 14.7% | ||||||||||
2,797 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.07%, 02/15/12 (e) (m) | 2,803 | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||
43 | Series 2003-DM, Class A3B, FRN, 4.79%, 12/06/07 (m) | 43 | ||||||||
2,790 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 2,747 | ||||||||
980 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 965 | ||||||||
Capital Auto Receivables Asset Trust | ||||||||||
3,455 | Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 3,414 | ||||||||
7,500 | Series 2006-1, Class A2A, 5.03%, 09/15/08 (m) | 7,498 | ||||||||
Capital One Auto Finance Trust | ||||||||||
1,140 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,119 | ||||||||
3,250 | Series 2004-A, Class A4, FRN, 4.67%, 03/15/11 (m) | 3,251 | ||||||||
6,480 | Capital One Master Trust, Series 2001-8A, Class A, 4.60%, 08/17/09 (m) | 6,467 | ||||||||
Capital One Multi-Asset Execution Trust | ||||||||||
7,580 | Series 2003-A, FRN, 5.82%, 12/15/10 (i) | 7,745 | ||||||||
6,233 | Series 2003-A4, Class A4, 3.65%, 07/15/11 (m) | 6,034 | ||||||||
1,500 | Capital One Prime Auto Receivables Trust, Series 2005-1, Class A4, FRN, 4.59%, 04/15/11 (m) | 1,500 | ||||||||
905 | Carmax Auto Owner Trust, Series 2003-2, Class A4, 3.07%, 10/15/10 (m) | 888 | ||||||||
CARSS Finance LP (Cayman Islands) | ||||||||||
394 | Series 2004-A, Class B1, FRN, 4.85%, 01/15/11 (e) (m) | 394 | ||||||||
647 | Series 2004-A, Class B2, FRN, 5.52%, 01/15/11 (e) (m) | 649 | ||||||||
391 | Centex Home Equity, Series 2004-A, Class AV2, FRN, 4.83%, 06/25/34 (m) | 392 | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||
660 | Series 2003-C2, Class C2, FRN, 5.50%, 03/20/08 (m) | 660 | ||||||||
1,555 | Series 2004-A8, Class A8, 4.90%, 12/12/16 (m) | 1,532 | ||||||||
1,145 | Series 2005-A9, Class A9, 5.10%, 11/20/17 (m) | 1,142 | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||||
2,163 | Series 2003-HE3, Class A, FRN, 4.96%, 12/25/33 (m) | 2,168 | ||||||||
2,230 | Series 2005-OPT1, Class A1B, FRN, 4.79%, 02/25/35 (m) | 2,232 | ||||||||
1,995 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 1,969 | ||||||||
Countrywide Asset-Backed Certificates | ||||||||||
4,775 | Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 4,731 | ||||||||
799 | Series 2004-1, Class 3A, FRN, 4.86%, 04/25/34 (m) | 800 | ||||||||
1,320 | Series 2004-1, Class M1, FRN, 5.08%, 03/25/34 (m) | 1,326 | ||||||||
1,080 | Series 2004-1, Class M2, FRN, 5.13%, 03/25/34 (m) | 1,084 | ||||||||
304 | Series 2004-BC, Class 1A, FRN, 4.81%, 04/25/34 (m) | 304 | ||||||||
1,835 | Series 2005-3, Class AF3, VAR, 4.82%, 03/25/35 (m) | 1,811 | ||||||||
2,225 | Series 2005-11, Class 3AV1, FRN, 4.74%, 02/25/36 (m) | 2,225 | ||||||||
940 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) | 922 | ||||||||
778 | Countrywide Home Equity Loan Trust, Series 2004-I, Class A, FRN, 4.86%, 05/15/29 (m) | 780 | ||||||||
1,154 | Countrywide Home Loans Mortgage Pass Through Trust, Series 2004-K, Class 2A, FRN, 4.87%, 11/15/29 (m) | 1,156 | ||||||||
1,270 | Credit-Based Asset Servicing and Securitization, Series 2006-CB1, Class AF1, SUB, 5.46%, 01/25/36 (m) | 1,270 | ||||||||
2,600 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2005-FF2, Class A2B, FRN, 4.76%, 03/25/35 (m) | 2,601 | ||||||||
3,070 | Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 3,004 | ||||||||
3,250 | Ford Credit Floorplan Master Owner Trust II, Series 2005-1, Class A, FRN, 4.72%, 05/15/10 (m) | 3,250 | ||||||||
3,000 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 2,968 | ||||||||
1,000 | GMAC Mortgage Corp. Loan Trust, Series 2004-HE1, Class A2, FRN, 4.68%, 06/25/34 (m) | 1,000 | ||||||||
1,325 | Gracechurch Card Funding PLC (United Kingdom), Series 7, Class A, FRN, 4.59%, 11/16/09 (m) | 1,325 | ||||||||
1,750 | GS Auto Loan Trust, Series 2004-1, Class A4, 2.65%, 05/15/11 (m) | 1,695 | ||||||||
GSAMP Trust | ||||||||||
1,137 | Series 2004-OPT, Class A1, FRN, 4.92%, 11/25/34 (m) | 1,140 | ||||||||
2,000 | Series 2005-WMC2, Class A2B, FRN, 4.84%, 11/25/35 (m) | 2,002 | ||||||||
Home Equity Asset Trust | ||||||||||
1,465 | Series 2005-8, Class M2, FRN, 5.03%, 02/25/36 (m) | 1,468 | ||||||||
7,000 | Series 2006-3, Class 2A3, FRN, 4.93%, 07/07/36 (m) | 6,996 | ||||||||
920 | Honda Auto Receivables Owner Trust, Series 2003-3, Class A4, 2.77%, 11/21/08 (m) | 902 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Asset Backed Securities — Continued | ||||||||||
4,085 | Household Automotive Trust, Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 3,991 | ||||||||
535 | Household Mortgage Loan Trust, Series 2004-HC1, Class A, FRN, 4.92%, 01/20/34 (m) | 536 | ||||||||
Long Beach Mortgage Loan Trust | ||||||||||
2,000 | Series 2003-4, Class M1, FRN, 5.26%, 08/25/33 (m) | 2,007 | ||||||||
2,030 | Series 2004-1, Class M1, FRN, 5.08%, 02/25/34 (m) | 2,036 | ||||||||
1,360 | Series 2004-1, Class M2, FRN, 5.13%, 02/25/34 (m) | 1,363 | ||||||||
834 | Series 2004-3, Class A3, FRN, 4.84%, 07/25/34 (m) | 834 | ||||||||
1,500 | Series 2004-3, Class M1, FRN, 5.15%, 07/25/34 (m) | 1,509 | ||||||||
1,510 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 (m) | 1,476 | ||||||||
MASTR Asset Backed Securities Trust | ||||||||||
1,828 | Series 2005-NC1, Class A4, FRN, 4.81%, 12/25/34 (m) | 1,830 | ||||||||
14,000 | Series 2006-AB1, Class A1, FRN, 4.75%, 02/25/36 (m) | 14,000 | ||||||||
5,000 | Series 2006-NC1, Class A3, FRN, 4.76%, 01/25/36 (m) | 5,000 | ||||||||
MBNA Credit Card Master Note Trust | ||||||||||
3,000 | Series 2001-C2, Class C2, FRN, 5.72%, 12/15/13 (e) (m) | 3,066 | ||||||||
4,875 | Series 2003-A1, Class A1, 3.30%, 07/15/10 (m) | 4,724 | ||||||||
5,000 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 4.78%, 01/25/37 (m) | 5,000 | ||||||||
New Century Home Equity Loan Trust | ||||||||||
1,215 | Series 2005-1, Class A2B, FRN, 4.80%, 03/25/35 (m) | 1,216 | ||||||||
1,350 | Series 2005-1, Class M1, FRN, 5.03%, 03/25/35 (m) | 1,352 | ||||||||
1,565 | Series 2005-2, Class A2B, FRN, 4.76%, 06/25/35 (m) | 1,565 | ||||||||
1,000 | Series 2005-B, Class A2B, FRN, 4.76%, 10/25/35 (m) | 1,000 | ||||||||
Nissan Auto Receivables Owner Trust | ||||||||||
6,255 | Series 2003-B, Class A4, 2.05%, 03/16/09 (m) | 6,102 | ||||||||
1,500 | Series 2006-A, Class A2, 4.80%, 06/16/08 (m) | 1,498 | ||||||||
905 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 892 | ||||||||
Option One Mortgage Loan Trust | ||||||||||
529 | Series 2003-1, Class A2, FRN, 5.00%, 02/25/33 (m) | 530 | ||||||||
490 | Series 2003-5, Class A2, FRN, 4.90%, 08/25/33 (m) | 491 | ||||||||
267 | Series 2005-2, Class A2, FRN, 4.66%, 05/25/35 (m) | 267 | ||||||||
2,000 | Peco Energy Transition Trust, Series 2000-A, Class A3, 7.63%, 03/01/10 (m) | 2,135 | ||||||||
5,998 | PP&L Transition Bond Co. LLC, Series 1999-1, Class A8, 7.15%, 06/25/09 (m) | 6,264 | ||||||||
2,650 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 2,866 | ||||||||
2,000 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, FRN, 4.81%, 02/25/34 (m) | 2,002 | ||||||||
Residential Asset Securities Corp. | ||||||||||
914 | Series 2002-KS4, Class AIIB, FRN, 4.83%, 07/25/32 (m) | 915 | ||||||||
1,934 | Series 2003-KS5, Class AIIB, FRN, 4.87%, 07/25/33 (m) | 1,937 | ||||||||
875 | Series 2005-AHL2, Class M2, FRN, 5.02%, 10/01/35 (m) | 877 | ||||||||
1,500 | Series 2005-KS2, Class AI2, FRN, 4.78%, 05/25/34 (m) | 1,501 | ||||||||
SLM Student Loan Trust | ||||||||||
4,975 | Series 2003-11, Class A5, 2.99%, 12/15/22 (e) (m) | 4,900 | ||||||||
1,393 | Series 2003-12, Class A2, FRN, 4.54%, 12/15/12 (m) | 1,393 | ||||||||
2,000 | Specialty Underwriting & Residential Finance, Series 2005-BC3, Class A2B, FRN, 4.83%, 06/25/36 (m) | 2,004 | ||||||||
1,600 | Toyota Auto Receivables Owner Trust, Series 2003-B, Class A4, 2.79%, 01/15/10 (m) | 1,577 | ||||||||
5,170 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 (m) | 5,061 | ||||||||
1,755 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 (m) | 1,715 | ||||||||
Wachovia Asset Securitization, Inc. | ||||||||||
2,742 | Series 2002-HE2, Class A, FRN, 5.01%, 12/25/32 (m) | 2,755 | ||||||||
1,428 | Series 2003-HE3, Class A, FRN, 4.83%, 11/25/33 (m) | 1,429 | ||||||||
WFS Financial Owner Trust | ||||||||||
1,675 | Series 2002-2, Class A4, SUB, 4.50%, 02/20/10 (m) | 1,674 | ||||||||
1,775 | Series 2003-3, Class A4, 3.25%, 05/20/11 (m) | 1,742 | ||||||||
4,400 | Series 2003-4, Class A4, 3.15%, 05/20/11 (m) | 4,319 | ||||||||
Total Asset Backed Securities (Cost $211,717) | 209,723 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Commercial Mortgage Backed Securities — 2.1% | ||||||||||
Banc of America Commercial Mortgage, Inc. | ||||||||||
1,570 | Series 2005-2, Class A5, VAR, 4.86%, 07/10/43 (m) | 1,519 | ||||||||
1,655 | Series 2005-4, Class A5A, 4.93%, 07/10/45 (m) | 1,612 | ||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||
4,655 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) | 4,510 | ||||||||
4,155 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) | 4,043 | ||||||||
2,515 | Series 2005-T20, Class A4A, VAR, 5.16%, 10/12/42 (m) | 2,503 | ||||||||
Greenwich Capital Commercial Funding Corp. | ||||||||||
5,405 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) | 5,215 | ||||||||
5,405 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) | 5,200 | ||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||
1,200 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 1,159 | ||||||||
2,170 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) | 2,141 | ||||||||
1,755 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 1,714 | ||||||||
370 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) | 364 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $30,962) | 29,980 | |||||||||
Collateralized Mortgage Obligations — 22.0% | ||||||||||
Agency CMO — 7.1% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
6,813 | Series 2370, Class VC, 6.00%, 10/15/19 (m) | 6,912 | ||||||||
850 | Series 2508, Class PE, 5.50%, 05/15/28 (m) | 853 | ||||||||
11,628 | Series 2564, Class LS, IF, IO, 3.08%, 01/15/17 (m) | 687 | ||||||||
4,992 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 610 | ||||||||
1,000 | Series 2701, Class SH, IF, 6.90%, 12/15/26 (m) | 988 | ||||||||
15,389 | Series 2701, Class ST, IF, IO, 2.43%, 08/15/21 (m) | 813 | ||||||||
6,235 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 391 | ||||||||
3,409 | Series 2760, Class GI, IO, 4.50%, 02/15/11 (m) | 104 | ||||||||
7,034 | Series 2772 Class GI, IO, 5.00%, 11/15/22 (m) | 508 | ||||||||
9,230 | Series 2779, Class SM, IF, IO, 2.58%, 10/15/18 (m) | 611 | ||||||||
5,125 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 364 | ||||||||
33,008 | Series 2791, Class SI, IF, IO, 2.58%, 12/15/31 (m) | 1,970 | ||||||||
26,497 | Series 2813, Class SB, IF, IO, 2.48%, 02/15/34 (m) | 1,598 | ||||||||
4,761 | Series 2857, Class NI, IO, 5.00%, 04/15/17 (m) | 171 | ||||||||
27,176 | Series 2861, Class GS, IF, IO, 2.63%, 01/15/21 (m) | 1,045 | ||||||||
6,323 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 538 | ||||||||
9,730 | Series 2894, Class S, IF, IO, 2.63%, 03/15/31 (m) | 605 | ||||||||
7,098 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 7,042 | ||||||||
3,903 | Series 2959, Class DA, 5.50%, 03/15/23 (m) | 3,906 | ||||||||
5,256 | Series 2970, Class CB, 5.50%, 08/15/23 (m) | 5,261 | ||||||||
8,090 | Series 2970, Class DA, 5.50%, 01/15/23 (m) | 8,090 | ||||||||
6,937 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) | 744 | ||||||||
6,385 | Series 2975, Class HA, 5.50%, 07/15/23 (m) | 6,392 | ||||||||
1,113 | Series 2980, Class QB, 6.50%, 05/15/35 (m) | 1,142 | ||||||||
9,713 | Series 3029, Class S, IF, IO, 2.63%, 08/15/35 (m) | 879 | ||||||||
50,000 | Series 3117, Class ES, IF, IO, 2.66%, 02/15/36 (m) | 4,546 | ||||||||
31,365 | Federal Home Loan Mortgage Corp., Series 231, Class IO, IO, 5.50%, 08/01/35 (m) | 7,263 | ||||||||
Federal National Mortgage Association | ||||||||||
20,788 | Series 340, Class 1, PO, 0.00%, 09/01/33 (m) | 15,448 | ||||||||
20,788 | Series 340, Class 2, IO, 5.00%, 08/01/33 (m) | 4,778 | ||||||||
16,396 | Series 354, Class 2, IO, 5.50%, 11/01/34 (m) | 3,653 | ||||||||
34,409 | Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 8,054 | ||||||||
452 | Series 2003-18, Class DB, 4.50%, 09/25/22 (m) | 451 | ||||||||
9,512 | Series 2004-61, Class TS, IF, IO, 2.52%, 10/25/31 (m) | 425 | ||||||||
7,568 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 892 | ||||||||
Federal National Mortgage Association Whole Loan | ||||||||||
195 | Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 192 | ||||||||
2,550 | Series 2003-W6, Class 1A41, 5.40%, 10/25/42 (m) | 2,515 | ||||||||
Government National Mortgage Association | ||||||||||
3,636 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 182 | ||||||||
5,886 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 451 | ||||||||
2,118 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 87 | ||||||||
101,161 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Non-Agency CMO — 14.9% | ||||||||||
Adjustable Rate Mortgage Trust | ||||||||||
1,062 | Series 2005-4, Class 7A2, FRN, 4.81%, 08/25/35 (m) | 1,065 | ||||||||
3,450 | Series 2005-5, Class 6A21, FRN, 4.81%, 09/25/35 (m) | 3,457 | ||||||||
818 | Series 2005-6A Class 2A1, FRN, 4.89%, 11/25/35 (m) | 821 | ||||||||
Citicorp Mortgage Securities, Inc. | ||||||||||
2,538 | Series 2005-7, Class 1A1, 5.50%, 10/25/35 (m) | 2,509 | ||||||||
3,150 | Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 3,110 | ||||||||
Countrywide Alternative Loan Trust | ||||||||||
7,345 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 7,361 | ||||||||
7,124 | Series 2005-51, Class 1A1, FRN, 4.89%, 11/20/35 (m) | 7,151 | ||||||||
14,000 | Series 2006-OA1, Class 2A1, FRN, 4.82%, 03/20/46 (m) | 14,000 | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | ||||||||||
12,759 | Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 12,720 | ||||||||
Countrywide Mortgage Backed Securities, Inc. | ||||||||||
10,546 | Series 2004-28R, Class A1, 5.50%, 08/25/33 (m) | 10,417 | ||||||||
6,500 | Series 2006, Class A1, 0.00%, 02/25/36 (m) | 6,451 | ||||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||||
754 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) | 762 | ||||||||
2,052 | Series 2004-4, Class 1A1, 6.00%, 08/25/34 (m) | 2,052 | ||||||||
3,793 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 3,795 | ||||||||
6,000 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR1, Class 3A2, VAR, 5.57%, 02/25/36 | 6,000 | ||||||||
2,872 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005- AR6, Class 2A1A, FRN, 4.86%, 10/19/45 (m) | 2,881 | ||||||||
2,668 | Granite Mortgages PLC (United Kingdom), Series 2004-3, Class 1A3, FRN, 4.60%, 09/20/44 (m) | 2,669 | ||||||||
2,012 | Greenpoint Mortgage Funding Trust, Series 2005-AR4, Class 4A1A, FRN, 4.89%, 10/25/45 (m) | 2,017 | ||||||||
6,000 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 4.75%, 02/25/36 (m) | 6,000 | ||||||||
6,461 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 4.93%, 01/25/35 (e) (m) | 6,489 | ||||||||
Harborview Mortgage Loan Trust | ||||||||||
9,418 | Series 2005-3, Class 2A1A, FRN, 4.81%, 06/19/35 (m) | 9,430 | ||||||||
1,950 | Series 2005-8, Class 1A2A, FRN, 4.90%, 09/19/35 (m) | 1,953 | ||||||||
5,000 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 4.79%, 01/25/36 (m) | 5,000 | ||||||||
Indymac Index Mortgage Loan Trust | ||||||||||
3,912 | Series 2004-AR7, Class A1, FRN, 5.02%, 09/25/34 (m) | 3,941 | ||||||||
1,421 | Series 2005-AR14, Class 2A1A, FRN, 4.88%, 08/25/35 (m) | 1,427 | ||||||||
15,500 | Series 2006-AR2, Class 1A1A, FRN, 4.80%, 04/25/46 (m) | 15,500 | ||||||||
4,100 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 4,079 | ||||||||
1,983 | Lehman XS Trust, Series 2005-7N, Class 1A1A, FRN, 4.80%, 11/25/35 (m) | 1,990 | ||||||||
1,651 | Medallion Trust (Australia), Series 2004-1G, Class A1, FRN, 4.93%, 05/25/35 (m) | 1,655 | ||||||||
2,500 | Permanent Financing PLC (United Kingdom) Series 4, Class 2A, FRN, 4.55%, 03/10/09 (m) | 2,500 | ||||||||
RESI Finance LP (Cayman Islands) | ||||||||||
3,817 | Series 2003-B, Class B3, FRN, 6.12%, 07/10/35 (e) (m) | 3,895 | ||||||||
6,557 | Series 2003-C, Class B3, FRN, 5.97%, 09/10/35 (e) (m) | 6,669 | ||||||||
1,255 | Series 2003-C, Class B4, FRN, 6.17%, 09/10/35 (e) (m) | 1,268 | ||||||||
1,405 | Series 2003-D, Class B3, FRN, 5.87%, 12/10/35 (e) (m) | 1,409 | ||||||||
2,033 | Series 2003-D, Class B4, FRN, 6.07%, 12/10/35 (e) (m) | 2,038 | ||||||||
2,374 | Series 2005-A, Class B3, FRN, 5.15%, 03/10/37 (e) (m) | 2,367 | ||||||||
795 | Series 2005-A, Class B4, FRN, 5.25%, 03/10/37 (e) (m) | 795 | ||||||||
1,468 | Residental Accredit Loans, Inc., Series 2005-QO4, Class 2AI, FRN, 4.86%, 12/25/45 (m) | 1,471 | ||||||||
7,996 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 7,903 | ||||||||
133 | RMAC PLC (United Kingdom), Series 2004-NS1A, Class A1B, FRN, 4.59%, 12/12/20 (e) (m) | 133 | ||||||||
464 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (m) | 463 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Structured Asset Mortgage Investments, Inc. | ||||||||||
2,466 | Series 2005-AK2, Class 2A1, FRN, 4.81%, 05/25/45 (m) | 2,466 | ||||||||
10,000 | Series 2006-AR1, Class 3A1, FRN, 4.84%, 02/25/36 (m) | 10,000 | ||||||||
1,029 | Structured Asset Securities Corp., Series 2005-5, Class 2A1, 5.50%, 04/25/35 (m) | 1,020 | ||||||||
2,291 | Wamu Alternative Mortgage Pass-Through Certificates, Series 2005-5, Class CB14, 5.50%, 07/25/35 (m) | 2,275 | ||||||||
Washington Mutual Mortgage Securities Corp. | ||||||||||
2,013 | Series 2005-AR2, Class 2A21, FRN, 4.91%, 01/25/45 (m) | 2,023 | ||||||||
3,626 | Series 2005-AR9, Class A1A, FRN, 4.85%, 07/25/45 (m) | 3,638 | ||||||||
2,454 | Series 2005-AR15, Class A1A1, FRN, 4.84%, 11/25/45 (m) | 2,457 | ||||||||
1,478 | Washington Mutual, Inc., Series 2005-AR17, Class A1A1, FRN, 4.85%, 12/25/45 (m) | 1,480 | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||
3,151 | Series 2003-2, Class A6, 5.25%, 03/25/18 (m) | 3,118 | ||||||||
7,867 | Series 2005-11, Class 2A1, 5.50%, 10/25/35 (m) | 7,775 | ||||||||
213,865 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $319,733) | 315,026 | |||||||||
Corporate Bonds — 36.3% | ||||||||||
Aerospace & Defense — 0.7% | ||||||||||
General Dynamics Corp. | ||||||||||
1,505 | 2.13%, 05/15/06 (m) | 1,497 | ||||||||
1,040 | 4.25%, 05/15/13 (m) | 983 | ||||||||
915 | L-3 Communications Corp. 5.88%, 01/15/15 (m) | 878 | ||||||||
825 | Northrop Grumman Corp. 7.13%, 02/15/11 (m) | 888 | ||||||||
5,140 | United Technologies Corp. 4.38%, 05/01/10 (m) | 5,011 | ||||||||
9,257 | ||||||||||
Auto Components — 0.0% (g) | ||||||||||
549 | TRW Automotive, Inc. FRN, 9.38%, 02/15/13 (m) | 596 | ||||||||
Automobiles — 0.2% | ||||||||||
DaimlerChrysler N.A. Holding Corp. | ||||||||||
1,250 | 6.40%, 05/15/06 (m) | 1,253 | ||||||||
85 | 8.50%, 01/18/31 (m) | 103 | ||||||||
2,000 | Series E, FRN, 5.21%, 10/31/08 (m) | 2,007 | ||||||||
3,363 | ||||||||||
Beverages — 0.3% | ||||||||||
450 | Diageo Capital PLC (United Kingdom) 3.38%, 03/20/08 (m) | 434 | ||||||||
3,875 | Diageo Finance BV (Netherlands) 3.00%, 12/15/06 (m) | 3,812 | ||||||||
4,246 | ||||||||||
Capital Markets — 3.9% | ||||||||||
1,395 | Arch Western Finance LLC 6.75%, 07/01/13 (m) | 1,399 | ||||||||
1,020 | Banque Paribas 6.88%, 03/01/09 (m) | 1,067 | ||||||||
Bear Stearns Cos., Inc. (The) | ||||||||||
520 | 4.00%, 01/31/08 (m) | 510 | ||||||||
3,130 | 5.30%, 10/30/15 (m) | 3,100 | ||||||||
1,640 | FRN, 4.81%, 04/29/08 (e) (m) | 1,643 | ||||||||
2,290 | Series B, FRN, 4.76%, 01/16/07 (m) | 2,293 | ||||||||
Citigroup, Inc. | ||||||||||
1,720 | 5.63%, 08/27/12 (m) | 1,756 | ||||||||
200 | 5.85%, 12/11/34 (m) | 208 | ||||||||
Credit Suisse First Boston USA, Inc. | ||||||||||
390 | 6.13%, 11/15/11 (m) | 405 | ||||||||
2,190 | FRN, 4.53%, 06/02/08 (e) (m) | 2,193 | ||||||||
1,275 | Goldman Sachs Group LP 5.00%, 10/01/14 (m) | 1,236 | ||||||||
Goldman Sachs Group, Inc. | ||||||||||
1,550 | 4.13%, 01/15/08 (m) | 1,524 | ||||||||
180 | 4.75%, 07/15/13 (m) | 173 | ||||||||
8,650 | 5.35%, 01/15/16 (m) | 8,559 | ||||||||
1,150 | FRN, 6.35%, 02/15/34 (e) (m) | 1,199 | ||||||||
Lehman Brothers Holdings, Inc. | ||||||||||
580 | 6.63%, 01/18/12 (m) | 619 | ||||||||
10,080 | Series G, 3.95%, 11/10/09 (m) | 9,607 | ||||||||
Merrill Lynch & Co., Inc. | ||||||||||
2,000 | Series C, FRN, 4.73%, 10/27/08 (m) | 2,000 | ||||||||
1,900 | Series C, FRN, 4.96%, 02/06/09 (m) | 1,905 | ||||||||
Morgan Stanley | ||||||||||
8,835 | 5.38%, 10/15/15 (m) | 8,775 | ||||||||
2,310 | FRN, 4.71%, 01/12/07 (m) | 2,312 | ||||||||
1,650 | FRN, 4.83%, 02/09/09 (m) | 1,649 | ||||||||
1,000 | FRN, 4.84%, 11/09/07 (m) | 1,001 | ||||||||
55,133 | ||||||||||
Chemicals — 0.2% | ||||||||||
490 | Huntsman International LLC 9.88%, 03/01/09 (m) | 514 | ||||||||
500 | Huntsman LLC 11.50%, 07/15/12 (m) | 571 | ||||||||
1,310 | ICI Wilmington, Inc. 4.38%, 12/01/08 (m) | 1,268 | ||||||||
775 | PolyOne Corp. 10.63%, 05/15/10 (m) | 831 | ||||||||
3,184 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Commercial Banks — 6.5% | ||||||||||
300 | Abbey National Capital Trust I, VAR, 8.96%, 12/31/49 (m) | 408 | ||||||||
Bank of America Corp. | ||||||||||
2,100 | 3.25%, 08/15/08 (m) | 2,011 | ||||||||
2,415 | 4.25%, 10/01/10 (m) | 2,327 | ||||||||
2,695 | 4.38%, 12/01/10 (m) | 2,606 | ||||||||
1,230 | 5.88%, 02/15/09 (m) | 1,254 | ||||||||
275 | 7.40%, 01/15/11 (m) | 300 | ||||||||
2,495 | Bank of New York Co., Inc. (The), 5.20%, 07/01/07 (m) | 2,495 | ||||||||
1,595 | Barclays Bank PLC (United Kingdom) 7.40%, 12/15/09 (m) | 1,714 | ||||||||
1,670 | Bayerische Landesbank, 2.60%, 10/16/06 (m) | 1,644 | ||||||||
620 | BB&T Capital Trust I, 5.85%, 08/18/35 (m) | 618 | ||||||||
2,700 | BOI Capital Funding No. 3 (Ireland), VAR, 6.11%, 12/31/49 (e) (m) | 2,700 | ||||||||
460 | DBS Bank Ltd. (Singapore), VAR, 5.00%, 11/15/19 (e) (m) | 443 | ||||||||
45 | Bank of America Corp. 3.85%, 02/15/08 (m) | 44 | ||||||||
1,720 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) (m) | 1,642 | ||||||||
1,500 | Islandsbanki HF (Iceland), FRN, 4.76%, 10/15/08 (e) (m) | 1,501 | ||||||||
1,000 | KEY Bank N.A., 7.55%, 09/15/06 (m) | 1,011 | ||||||||
2,100 | KeyCorp Series G, FRN, 4.81%, 07/23/07 (m) | 2,105 | ||||||||
1,795 | KFW International Finance, 4.75%, 01/24/07 (m) | 1,786 | ||||||||
2,385 | Manufacturers & Traders Trust Co., VAR, 5.59%, 12/28/20 (m) | 2,383 | ||||||||
650 | National Australia Bank Ltd. (Australia), Series A, 8.60%, 05/19/10 (m) | 729 | ||||||||
Popular North America, Inc. | ||||||||||
1,080 | 4.25%, 04/01/08 (m) | 1,056 | ||||||||
2,930 | Series E, 6.13%, 10/15/06 (m) | 2,945 | ||||||||
2,565 | Rabobank Capital Funding Trust, VAR, 5.25%, 12/31/49 (e) (m) | 2,479 | ||||||||
4,385 | RBS Capital Trust I, VAR, 4.71%, 12/31/49 (m) | 4,128 | ||||||||
305 | Royal Bank of Scotland Group PLC (United Kingdom), VAR, 7.65%, 12/31/49 (m) | 365 | ||||||||
1,660 | Shinhan Bank (South Korea), VAR, 5.66%, 03/02/35 | 1,593 | ||||||||
1,545 | Standard Chartered First Bank Korea Ltd. (South Korea), VAR, 7.27%, 03/03/34 (e) (m) | 1,695 | ||||||||
2,920 | Suntrust Bank, 2.50%, 11/01/06 (m) | 2,868 | ||||||||
6,150 | UBS AG (Jersey), Series E, FRN, 5.02%, 07/20/06 | 6,147 | ||||||||
6,885 | UBS Preferred Funding Trust I, VAR, 8.62%, 12/31/49 (m) | 7,764 | ||||||||
2,005 | United Overseas Bank Ltd. (Singapore), VAR, 5.38%, 09/03/19 (e) (m) | 1,976 | ||||||||
U.S. Bank N.A. | ||||||||||
3,830 | 2.85%, 11/15/06 (m) | 3,772 | ||||||||
1,210 | 6.38%, 08/01/11 (m) | 1,274 | ||||||||
1,780 | VTB Capital S.A. for Vneshtorgbank (Luxembourg) FRN, 5.25%, 09/21/07 (e) (m) | 1,784 | ||||||||
1,360 | Wachovia Bank N.A., 5.00%, 08/15/15 (m) | 1,319 | ||||||||
1,500 | Wachovia Bank N.A./Charlotte, 5.80%, 12/01/08 (m) | 1,527 | ||||||||
9,520 | Wachovia Capital Trust III, VAR, 5.80%, 12/31/49 (m) | 9,466 | ||||||||
Wachovia Corp. | ||||||||||
50 | 5.50%, 08/01/35 (m) | 48 | ||||||||
2,140 | FRN, 4.69%, 07/20/07 (m) | 2,143 | ||||||||
Wells Fargo & Co. | ||||||||||
185 | 4.20%, 01/15/10 (m) | 179 | ||||||||
140 | 5.13%, 09/01/12 (m) | 139 | ||||||||
1,500 | FRN, 4.56%, 03/23/07 (m) | 1,501 | ||||||||
2,070 | Wells Fargo Bank N.A. 6.45%, 02/01/11 (m) | 2,184 | ||||||||
2,800 | Westpac Banking Corp. (Australia), FRN, 4.86%, 05/25/07 (e) (m) | 2,803 | ||||||||
2,335 | Woori Bank (South Korea), VAR, 5.75%, 03/13/14 (e) (m) | 2,348 | ||||||||
93,224 | ||||||||||
Commercial Services & Supplies — 0.3% | ||||||||||
435 | Allied Waste North America, 6.13%, 02/15/14 (m) | 418 | ||||||||
1,915 | Cendant Corp., 6.88%, 08/15/06 (m) | 1,927 | ||||||||
360 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 357 | ||||||||
945 | Iron Mountain, Inc., 6.63%, 01/01/16 (m) | 890 | ||||||||
3,592 | ||||||||||
Communications Equipment — 0.8% | ||||||||||
Cisco Systems, Inc. | ||||||||||
4,000 | FRN, 4.85%, 02/20/09 (m) | 4,003 | ||||||||
6,755 | 5.25%, 02/22/11 (m) | 6,767 | ||||||||
10,770 | ||||||||||
Computers & Peripherals — 0.1% | ||||||||||
695 | International Business Machines Corp. 5.38%, 02/01/09 (m) | 701 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Consumer Finance — 3.3% | ||||||||||
American General Finance Corp. | ||||||||||
4,722 | Series H, 4.50%, 11/15/07 (m) | 4,677 | ||||||||
2,580 | Series H, 5.38%, 10/01/12 (m) | 2,567 | ||||||||
2,910 | Capital One Financial Corp. 8.75%, 02/01/07 (m) | 2,998 | ||||||||
1,090 | Household Finance Corp. FRN, 4.87%, 02/09/07 (m) | 1,092 | ||||||||
1,500 | HSBC Finance Capital Trust IX VAR, 5.91%, 11/30/35 (m) | 1,508 | ||||||||
HSBC Finance Corp. | ||||||||||
6,460 | 5.00%, 06/30/15 (m) | 6,223 | ||||||||
990 | 6.38%, 10/15/11 (m) | 1,036 | ||||||||
1,275 | 6.38%, 11/27/12 (m) | 1,342 | ||||||||
60 | 6.50%, 11/15/08 (m) | 62 | ||||||||
1,885 | 7.88%, 03/01/07 (m) | 1,932 | ||||||||
2,000 | FRN, 4.62%, 09/15/08 (e) (m) | 2,005 | ||||||||
3,110 | FRN, 4.86%, 05/09/08 (m) | 3,114 | ||||||||
International Lease Finance Corp. | ||||||||||
2,595 | 4.75%, 01/13/12 (m) | 2,502 | ||||||||
1,330 | 4.88%, 09/01/10 (m) | 1,303 | ||||||||
210 | 5.88%, 05/01/13 (m) | 214 | ||||||||
900 | John Deere Capital Corp. 3.90%, 01/15/08 (m) | 881 | ||||||||
1,815 | Mizuho JGB Investment LLC VAR, 9.87%, 12/31/49 (e) (m) | 1,983 | ||||||||
2,680 | Mizuho Preferred Capital Co. LLC VAR, 8.79%, 12/31/49 (e) (m) | 2,866 | ||||||||
SLM Corp. | ||||||||||
1,655 | 3.63%, 03/17/08 (m) | 1,604 | ||||||||
3,920 | 4.00%, 01/15/10 (m) | 3,714 | ||||||||
650 | 5.63%, 08/01/33 (m) | 642 | ||||||||
270 | Series A, 5.38%, 01/15/13 (m) | 269 | ||||||||
1,900 | Series A, FRN, 4.70%, 01/25/08 (m) | 1,901 | ||||||||
1,250 | TIAA Global Markets, Inc. FRN, 4.67%, 01/12/11 (e) (m) | 1,249 | ||||||||
47,684 | ||||||||||
Containers & Packaging — 0.1% | ||||||||||
200 | Crown Americas LLC and Crown Americas Capital Corp. 7.75%, 11/15/15 (e) (m) | 208 | ||||||||
320 | Graphic Packaging International Corp. 8.50%, 08/15/11 (m) | 322 | ||||||||
1,210 | Owens-Brockway Glass Container, Inc. 8.25%, 05/15/13 (m) | 1,261 | ||||||||
1,791 | ||||||||||
Diversified Consumer Services — 0.0% (g) | ||||||||||
430 | Service Corp. International 6.75%, 04/01/16 (m) | 429 | ||||||||
Diversified Financial Services — 4.7% | ||||||||||
1,300 | American Honda Finance Corp. FRN, 4.84%, 05/11/07 (e) (m) | 1,302 | ||||||||
2,250 | Aries Vermoegensverwaltungs GmbH (Germany) 9.60%, 10/25/14 (e)(m) | 2,889 | ||||||||
615 | AXA Financial, Inc. 7.75%, 08/01/10 (m) | 674 | ||||||||
3,255 | Caterpillar Financial Services Corp., Series F, FRN, 4.87%, 02/26/07 (m) | 3,261 | ||||||||
3,100 | CIT Group Holdings, Inc. FRN, 4.81%, 01/30/09 (m) | 3,099 | ||||||||
CIT Group, Inc. | ||||||||||
1,300 | 4.00%, 05/08/08 (m) | 1,268 | ||||||||
1,795 | 5.50%, 11/30/07 (m) | 1,803 | ||||||||
750 | Consolidated Communications Holdings, Inc. 9.75%, 04/01/12 (m) | 802 | ||||||||
Countrywide Home Loans, Inc. | ||||||||||
570 | 5.63%, 07/15/09 (m) | 575 | ||||||||
4,370 | Series J, 5.50%, 08/01/06 (m) | 4,379 | ||||||||
955 | Deutsche Bank Capital Funding Trust VII VAR, 5.63%, 12/31/49 (e) (m) | 947 | ||||||||
Ford Motor Credit Co. | ||||||||||
900 | 7.25%, 10/25/11 (m) | 805 | ||||||||
1,100 | FRN, 5.45%, 03/21/07 (m) | 1,083 | ||||||||
195 | FRN, 6.17%, 01/15/10 (m) | 176 | ||||||||
General Electric Capital Corp. | ||||||||||
100 | Series A, 4.75%, 09/15/14 (m) | 97 | ||||||||
390 | Series A, 5.45%, 01/15/13 (m) | 395 | ||||||||
190 | Series A, 6.75%, 03/15/32 (m) | 222 | ||||||||
3,360 | Series A, 4.25%, 01/15/08 (m) | 3,309 | ||||||||
1,000 | Series A, FRN, 4.82%, 05/19/08 (m) | 1,001 | ||||||||
1,290 | General Motors Acceptance Corp. 6.88%, 08/28/12 (m) | 1,149 | ||||||||
2,495 | ILFC E-Capital Trust I VAR, 5.90%, 12/21/65 (e) (m) | 2,485 | ||||||||
1,225 | ILFC E-Capital Trust II VAR, 6.25%, 12/21/65 (e) (m) | 1,231 | ||||||||
3,100 | Links Finance LLC FRN, 4.74%, 09/15/08 (e) (i) | 3,101 | ||||||||
1,570 | Mantis Reef Ltd. (Australia), Series B, 4.80%, 11/03/09 (e) (m) | 1,527 | ||||||||
4,225 | Pricoa Global Funding I FRN, 4.68%, 12/22/06 (e) (m) | 4,232 | ||||||||
Residential Capital Corp. | ||||||||||
7,865 | 6.13%, 11/21/08 (m) | 7,853 | ||||||||
2,885 | 6.38%, 06/30/10 (m) | 2,913 | ||||||||
1,000 | 6.88%, 06/30/15 (m) | 1,049 | ||||||||
2,100 | FRN, 6.07%, 11/21/08 (m) | 2,116 | ||||||||
1,560 | Temasek Financial I Ltd. (Singapore) 4.50%, 09/21/15 (e) (m) | 1,488 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Diversified Financial Services — Continued | ||||||||||
1,250 | Targeted Return Index (TRAINS), Series 2005-1, VAR, 7.65%, 06/15/15 (d) (e) (m) | 1,283 | ||||||||
635 | UGS Corp., 10.00%, 06/01/12 (m) | 696 | ||||||||
215 | Unilever Capital Corp., 7.13%, 11/01/10 (m) | 230 | ||||||||
125 | Visant Corp., 7.63%, 10/01/12 (m) | 127 | ||||||||
6,900 | ZFS Finance USA Trust I, VAR, 6.45%, 12/15/65 (e) (m) | 6,947 | ||||||||
66,514 | ||||||||||
Diversified Telecommunication Services — 2.1% | ||||||||||
BellSouth Corp. | ||||||||||
850 | 5.20%, 09/15/14 (m) | 839 | ||||||||
115 | 6.55%, 06/15/34 (m) | 121 | ||||||||
France Telecom S.A. (France) | ||||||||||
5,025 | 7.75%, 03/01/11 (m) | 5,540 | ||||||||
295 | 8.50%, 03/01/31 (m) | 387 | ||||||||
280 | Qwest Communications International, Inc., FRN, 8.25%, 02/15/09 (m) | 286 | ||||||||
340 | Qwest Corp., 8.87%, 03/15/12 (m) | 381 | ||||||||
Sprint Capital Corp. | ||||||||||
2,190 | 6.00%, 01/15/07 (m) | 2,205 | ||||||||
1,880 | 6.90%, 05/01/19 (m) | 2,069 | ||||||||
1,975 | 7.63%, 01/30/11 (m) | 2,159 | ||||||||
1,660 | 8.38%, 03/15/12 (m) | 1,907 | ||||||||
490 | 8.75%, 03/15/32 (m) | 644 | ||||||||
975 | Verizon Communications, Inc., 5.35%, 02/15/11 (m) | 975 | ||||||||
Verizon Global Funding Corp. | ||||||||||
1,915 | 4.90%, 09/15/15 (m) | 1,827 | ||||||||
2,125 | 5.85%, 09/15/35 (m) | 2,006 | ||||||||
1,340 | 7.38%, 09/01/12 (m) | 1,477 | ||||||||
55 | 7.75%, 12/01/30 (m) | 64 | ||||||||
7,000 | FRN, 4.88%, 08/15/07 (m) | 6,999 | ||||||||
340 | Verizon/New England, Series C, 4.75%, 10/01/13 (m) | 315 | ||||||||
30,201 | ||||||||||
Electric Utilities — 1.7% | ||||||||||
5,160 | �� | Alabama Power Co., Series Y, 2.80%, 12/01/06 (m) | 5,076 | |||||||
925 | Appalachian Power Co., Series L, 5.80%, 10/01/35 (m) | 905 | ||||||||
Dominion Resources, Inc. | ||||||||||
1,220 | 5.00%, 03/15/13 (m) | 1,175 | ||||||||
225 | 6.30%, 03/15/33 (m) | 229 | ||||||||
2,290 | Series A, 8.13%, 06/15/10 (m) | 2,514 | ||||||||
1,985 | Series C, 5.15%, 07/15/15 (m) | 1,907 | ||||||||
1,600 | Series D, FRN, 4.82%, 09/28/07 (m) | 1,601 | ||||||||
1,090 | Series E, 7.20%, 09/15/14 (m) | 1,196 | ||||||||
80 | Florida Power & Light Co., 5.63%, 04/01/34 (m) | 80 | ||||||||
735 | FPL Group Capital, Inc., 7.63%, 09/15/06 (m) | 744 | ||||||||
Nisource Finance Corp. | ||||||||||
4,785 | 5.25%, 09/15/17 (m) | 4,597 | ||||||||
1,985 | 5.45%, 09/15/20 (m) | 1,893 | ||||||||
1,890 | Public Service Enterprise Group, Inc., FRN, 4.88%, 09/21/08 (m) | 1,891 | ||||||||
110 | San Diego Gas & Electric Co., 5.35%, 05/15/35 (m) | 107 | ||||||||
23,915 | ||||||||||
Electronic Equipment & Instruments — 0.0% (g) | ||||||||||
545 | Celestica, Inc. (Canada), 7.88%, 07/01/11 (m) | 556 | ||||||||
Food Products — 0.1% | ||||||||||
95 | Archer-Daniels-Midland Co., 5.94%, 10/01/32 (m) | 98 | ||||||||
1,425 | General Mills, Inc., 5.13%, 02/15/07 (m) | 1,424 | ||||||||
1,522 | ||||||||||
Gas Utilities — 0.3% | ||||||||||
1,155 | Enterprise Products Operating LP, Series B, 6.65%, 10/15/34 (m) | 1,206 | ||||||||
3,500 | Oneok, Inc., 5.51%, 02/16/08 (m) | 3,503 | ||||||||
4,709 | ||||||||||
Health Care Equipment & Supplies — 0.0% (g) | ||||||||||
615 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 638 | ||||||||
Health Care Providers & Services — 0.4% | ||||||||||
HCA, Inc. | ||||||||||
1,035 | 6.38%, 01/15/15 (m) | 1,033 | ||||||||
1,000 | 6.50%, 02/15/16 (m) | 997 | ||||||||
2,000 | Mariner Health Group, Inc., Series B, 9.50%, 04/01/06 (d) (f) (m) | — | (h) | |||||||
2,970 | WellPoint, Inc., 5.00%, 01/15/11 (m) | 2,932 | ||||||||
4,962 | ||||||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||||
620 | Sheraton Holding Corp., 7.38%, 11/15/15 (m) | 673 | ||||||||
1,190 | MGM Mirage, Inc., 5.88%, 02/27/14 (m) | 1,147 | ||||||||
585 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) | 587 | ||||||||
2,407 | ||||||||||
Household Durables — 0.2% | ||||||||||
Beazer Homes USA, Inc. | ||||||||||
1,025 | 6.50%, 11/15/13 (m) | 974 | ||||||||
200 | 6.88%, 07/15/15 (m) | 192 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Household Durables — Continued | ||||||||||
730 | DR Horton, Inc., 5.25%, 02/15/15 (m) | 679 | ||||||||
780 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 815 | ||||||||
2,660 | ||||||||||
Household Products — 0.2% | ||||||||||
725 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 673 | ||||||||
1,917 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) | 1,653 | ||||||||
2,326 | ||||||||||
Industrial Conglomerates — 0.3% | ||||||||||
3,365 | Hutchison Whampoa International Ltd. (Cayman Islands), 7.45%, 11/24/33 (e) (m) | 3,895 | ||||||||
Insurance — 2.5% | ||||||||||
Allstate Corp. (The) | ||||||||||
1,100 | 5.00%, 08/15/14 (m) | 1,082 | ||||||||
285 | 6.13%, 02/15/12 (m) | 296 | ||||||||
135 | 6.13%, 12/15/32 (m) | 143 | ||||||||
1,210 | Aspen Insurance Holdings Ltd. (Bermuda), 6.00%, 08/15/14 (m) | 1,194 | ||||||||
570 | AXA S.A. (France), 8.60%, 12/15/30 (m) | 764 | ||||||||
830 | Axis Capital Holdings Ltd. (Bermuda), 5.75%, 12/01/14 (m) | 824 | ||||||||
80 | Cincinnati Financial Corp., 6.13%, 11/01/34 (m) | 83 | ||||||||
Endurance Specialty Holdings Ltd. (Bermuda) | ||||||||||
200 | 6.15%, 10/15/15 (m) | 202 | ||||||||
1,150 | 7.00%, 07/15/34 (m) | 1,222 | ||||||||
1,000 | GE Global Insurance Holding Corp., 7.75%, 06/15/30 (m) | 1,252 | ||||||||
Hartford Financial Services Group, Inc. | ||||||||||
240 | 4.70%, 09/01/07 (m) | 238 | ||||||||
360 | 7.90%, 06/15/10 (m) | 396 | ||||||||
5,545 | ING Capital Funding Trust III, VAR, 8.44%, 12/31/49 (m) | 6,222 | ||||||||
1,640 | ING Groep NV (Netherlands), VAR, 5.77%, 12/31/49 (m) | 1,643 | ||||||||
80 | MBIA, Inc., 5.70%, 12/01/34 (m) | 78 | ||||||||
Metlife, Inc. | ||||||||||
3,215 | 5.00%, 06/15/15 (m) | 3,133 | ||||||||
415 | 5.38%, 12/15/12 (m) | 418 | ||||||||
295 | 6.13%, 12/01/11 (m) | 307 | ||||||||
145 | 6.50%, 12/15/32 (m) | 161 | ||||||||
3,085 | Mony Group, Inc., 8.35%, 03/15/10 (m) | 3,403 | ||||||||
2,500 | Nippon Life Insurance (Japan), 4.88%, 08/09/10 (e) (m) | 2,444 | ||||||||
Protective Life Secured Trust | ||||||||||
4,505 | 3.70%, 11/24/08 (m) | 4,340 | ||||||||
3,390 | 4.00%, 10/07/09 (m) | 3,277 | ||||||||
1,250 | FRN, 4.68%, 01/14/08 (m) | 1,252 | ||||||||
1,700 | Stingray Pass-Through Trust (Cayman Islands), 5.90%, 01/12/15 (e) (m) | 1,656 | ||||||||
36,030 | ||||||||||
IT Services — 0.1% | ||||||||||
900 | Sungard Data Systems, Inc., 10.25%, 08/15/15 (e) (m) | 944 | ||||||||
Machinery — 0.0% | ||||||||||
255 | Deere & Co., 6.95%, 04/25/14 (m) | 283 | ||||||||
Media — 0.7% | ||||||||||
460 | Cablevision Systems Corp., Series B, 8.00%, 04/15/12 (m) | 452 | ||||||||
500 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) | 488 | ||||||||
455 | Charter Communications Operating LLC, 8.00%, 04/30/12 (e) (m) | 458 | ||||||||
615 | Comcast Corp., 4.95%, 06/15/16 (m) | 575 | ||||||||
1,900 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 1,596 | ||||||||
580 | DirecTV Holdings LLC, 6.38%, 06/15/15 (m) | 578 | ||||||||
Echostar DBS Corp. | ||||||||||
495 | 6.38%, 10/01/11 (m) | 484 | ||||||||
990 | 7.13%, 02/01/16 (e) (m) | 980 | ||||||||
245 | News America Holdings, Inc., 7.75%, 01/20/24 (m) | 275 | ||||||||
1,925 | News America, Inc., 6.20%, 12/15/34 (m) | 1,904 | ||||||||
1,285 | TCI Communications, Inc., 8.75%, 08/01/15 (m) | 1,534 | ||||||||
200 | Tele-Communications — TCI Group, 7.13%, 02/15/28 (m) | 214 | ||||||||
9,538 | ||||||||||
Metals & Mining — 0.3% | ||||||||||
805 | Teck Cominco Ltd. (Canada), 6.13%, 10/01/35 (m) | 798 | ||||||||
Falconbridge Ltd. (Canada) | ||||||||||
1,000 | 5.50%, 06/15/17 (m) | 961 | ||||||||
1,465 | 6.00%, 10/15/15 (m) | 1,478 | ||||||||
885 | 6.20%, 06/15/35 (m) | 866 | ||||||||
840 | Newmont Mining Corp., 5.88%, 04/01/35 (m) | 826 | ||||||||
4,929 | ||||||||||
Multiline Retail — 0.2% | ||||||||||
Target Corp. | ||||||||||
1,570 | 5.88%, 03/01/12 (m) | 1,636 | ||||||||
190 | 7.50%, 08/15/10 (m) | 208 | ||||||||
Wal-Mart Stores, Inc. | ||||||||||
1,600 | 4.13%, 02/15/11 (m) | 1,533 | ||||||||
90 | 5.25%, 09/01/35 (m) | 87 | ||||||||
3,464 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Oil, Gas & Consumable Fuels — 2.3% | ||||||||||
150 | Alberta Energy Co. Ltd (Canada), 7.38%, 11/01/31 (m) | 183 | ||||||||
255 | Atlantic Richfield Co., 5.90%, 04/15/09 (m) | 262 | ||||||||
4,785 | BP Canada Finance Co. (Canada), 3.38%, 10/31/07 (m) | 4,659 | ||||||||
765 | BP Capital Markets PLC (United Kingdom), 2.75%, 12/29/06 (m) | 752 | ||||||||
1,395 | Chesapeake Energy Corp., 6.50%, 08/15/17 (m) | 1,404 | ||||||||
4,700 | ChevronTexaco Capital Co. (Canada), 3.50%, 09/17/07 (m) | 4,594 | ||||||||
1,255 | Conoco Funding Co. (Canada), 6.35%, 10/15/11 (m) | 1,324 | ||||||||
4,000 | Enterprise Products Operating LP, Series B, 5.00%, 03/01/15 (m) | 3,797 | ||||||||
908 | Gazprom International S.A. (Luxembourg), Regulation S, 7.20%, 02/01/20 | 967 | ||||||||
5,770 | Gazstream S.A. for OAO Gazprom (Luxembourg), 5.63%, 07/22/13 (e) | 5,741 | ||||||||
Kinder Morgan Energy Partners LP | ||||||||||
735 | 5.00%, 12/15/13 (m) | 710 | ||||||||
2,915 | 5.13%, 11/15/14 (m) | 2,822 | ||||||||
4,725 | 5.70%, 01/05/16 (e) (m) | 4,726 | ||||||||
35 | 7.40%, 03/15/31 (m) | 40 | ||||||||
10 | Lasmo USA, Inc., 7.30%, 11/15/27 (m) | 12 | ||||||||
800 | Nexen, Inc. (Canada), 5.88%, 03/10/35 (m) | 791 | ||||||||
380 | Ras Laffan LNG III (Qatar), 5.84%, 09/30/27 (e) (m) | 377 | ||||||||
40 | Suncor Energy, Inc. (Canada), 7.15%, 02/01/32 (m) | 49 | ||||||||
100 | Tosco Corp., 8.13%, 02/15/30 (m) | 133 | ||||||||
33,343 | ||||||||||
Paper & Forest Products — 0.1% | ||||||||||
1,400 | Georgia-Pacific Corp., 7.70%, 06/15/15 (m) | 1,407 | ||||||||
Personal Products — 0.0% (g) | ||||||||||
500 | DEL Laboratories, Inc., 8.00%, 02/01/12 (m) | 412 | ||||||||
100 | Procter & Gamble Co., 4.95%, 08/15/14 (m) | 99 | ||||||||
511 | ||||||||||
Pharmaceuticals — 0.5% | ||||||||||
2,670 | Abbott Laboratories, 5.63%, 07/01/06 (m) | 2,676 | ||||||||
1,550 | Merck & Co., Inc., 5.25%, 07/01/06 (m) | 1,550 | ||||||||
3,305 | Teva Pharmaceutical Finance LLC, 6.15%, 02/01/36 (m) | 3,320 | ||||||||
7,546 | ||||||||||
Real Estate — 0.6% | ||||||||||
iStar Financial, Inc. | ||||||||||
1,210 | 5.15%, 03/01/12, REIT (m) | 1,180 | ||||||||
1,425 | 5.80%, 03/15/11, REIT (m) | 1,437 | ||||||||
2,710 | 5.88%, 03/15/16, REIT (m) | 2,713 | ||||||||
3,490 | 6.00%, 12/15/10, REIT (m) | 3,559 | ||||||||
8,889 | ||||||||||
Road & Rail — 0.5% | ||||||||||
4,005 | BNSF Funding Trust I, VAR, 6.61%, 12/15/55 (m) | 4,207 | ||||||||
3,093 | CSX Corp., FRN, 4.99%, 08/03/06 (m) | 3,096 | ||||||||
7,303 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.0% (g) | ||||||||||
136 | Advanced Micro Devices, Inc., 7.75%, 11/01/12 (m) | 144 | ||||||||
Software — 0.2% | ||||||||||
880 | Computer Associates International, Inc., 5.63%, 12/01/14 (e) (m) | 861 | ||||||||
2,405 | Oracle Corp. and Ozark Holding, Inc., FRN, 4.81%, 01/13/09 (e) (m) | 2,405 | ||||||||
3,266 | ||||||||||
Specialty Retail — 0.0% (g) | ||||||||||
50 | Lowe’s Cos., Inc., 6.88%, 02/15/28 (m) | 58 | ||||||||
Supranational — 0.4% | ||||||||||
5,000 | European Investment Bank, 4.88%, 02/16/16 (m) | 4,980 | ||||||||
Thrifts & Mortgage Finance — 0.7% | ||||||||||
1,250 | Sovereign Bancorp, Inc., FRN, 4.69%, 03/01/09 (e) (m) | 1,251 | ||||||||
9,100 | Washington Mutual Preferred Funding Delaware, VAR, 6.53%, 12/31/49 (e) | 9,108 | ||||||||
10,359 | ||||||||||
Wireless Telecommunication Services — 0.6% | ||||||||||
1,000 | iPCS, Inc., 11.50%, 05/01/12 (m) | 1,147 | ||||||||
2,080 | Motorola, Inc., 7.50%, 05/15/25 (m) | 2,484 | ||||||||
New Cingular Wireless Services, Inc. | ||||||||||
610 | 7.88%, 03/01/11 (m) | 676 | ||||||||
1,110 | 8.13%, 05/01/12 (m) | 1,272 | ||||||||
390 | 8.75%, 03/01/31 (m) | 518 | ||||||||
220 | PanAmSat Corp., 9.00%, 08/15/14 (m) | 232 | ||||||||
500 | PanAmSat Holding Corp., SUB, 0.00%, 11/01/14 (m) | 356 | ||||||||
860 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 (m) | 869 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Wireless Telecommunication Services — Continued | ||||||||||
1,170 | Vodafone Group PLC (United Kingdom), 7.75%, 02/15/10 (m) | 1,269 | ||||||||
8,823 | ||||||||||
Total Corporate Bonds (Cost $527,801) | 520,092 | |||||||||
Foreign Government Securities — 4.7% | ||||||||||
5,145 | Bundesrepublik Deutschland (Germany), 4.75%, 07/04/34 (m) | 7,215 | ||||||||
2,660 | Export-Import Bank Of Korea (South Korea), 4.63%, 03/16/10 (m) | 2,598 | ||||||||
Government of Argentina (Argentina) | ||||||||||
2,886 | 8.28%, 12/31/33 (m) | 2,897 | ||||||||
8,125 | FRN, 4.89%, 08/03/12 (m) | 6,646 | ||||||||
7,864 | VAR, 0.00%, 12/15/35 (m) | 602 | ||||||||
8,675 | Government of Egypt (Egypt), 4.45%, 09/15/15 (m) | 8,406 | ||||||||
7,395 | Government of France (France), 4.75%, 04/25/35 (m) | 10,362 | ||||||||
4,715 | Government of Italy (Italy), 4.50%, 01/21/15 (m) | 4,532 | ||||||||
Government of Peru (Peru) | ||||||||||
440 | 7.35%, 07/21/25 (m) | 463 | ||||||||
1,266 | 7.35%, 07/21/25 (m) | 1,332 | ||||||||
3,140 | FRN, 4.69%, 03/07/27 | 3,014 | ||||||||
Government of Ukraine (Ukraine) | ||||||||||
742 | 6.88%, 03/04/11 (e) (m) | 761 | ||||||||
2,663 | 7.65%, 06/11/13 (m) | 2,866 | ||||||||
Government of Venezuela (Venezuela) | ||||||||||
3,200 | 10.75%, 09/19/13 (m) | 4,032 | ||||||||
2,530 | 9.38%, 01/13/34 (m) | 3,302 | ||||||||
2,000 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (m) | 1,996 | ||||||||
250 | Province of Quebec (Canada), 7.50%, 09/15/29 (m) | 326 | ||||||||
215 | Region of Lombardy Italy (Italy), 5.80%, 10/25/32 (m) | 235 | ||||||||
3,090 | Russian Federation (Russia), 12.75%, 06/24/28 (m) | 5,709 | ||||||||
Total Foreign Government Securities (Cost $65,957) | 67,294 | |||||||||
Private Placements — 1.4% | ||||||||||
4,087 | 180 East End Avenue, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.88%, 12/28/28 (i) (f) | 4,518 | ||||||||
728 | 200 East 27th St., Secured by Second Mortgage and Agreement on Co-op Apartment Building in New York City, 6.72%, 01/01/13 (i) (f) | 757 | ||||||||
10,517 | 200 East 57th St., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.50%, 01/01/14 (i) (f) | 11,127 | ||||||||
3,001 | 81 Irving Place, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.95%, 01/01/29 (i) (f) | 3,324 | ||||||||
Total Private Placements (Cost $18,333) | 19,726 | |||||||||
Mortgage Pass-Through Securities — 42.7% | ||||||||||
Federal Home Loan Mortgage Corp. Gold Pool | ||||||||||
978 | 6.00%, 02/01/11-01/01/35 (m) | 991 | ||||||||
85 | 7.00%, 12/01/25-02/01/26 (m) | 88 | ||||||||
203 | 7.50%, 10/01/26-02/01/27 (m) | 214 | ||||||||
155 | 8.00%, 04/01/26-07/01/26 (m) | 166 | ||||||||
39,500 | TBA, 5.50%, 03/15/36 | 39,154 | ||||||||
87,000 | TBA, 5.50%, 04/15/36 | 86,157 | ||||||||
31,710 | TBA, 6.00%, 03/15/36 | 32,007 | ||||||||
3 | Federal Home Loan Mortgage Corp. Pool, 9.75%, 11/01/08 (m) | 3 | ||||||||
Federal National Mortgage Association Pool | ||||||||||
1,158 | 4.96%, 11/01/08 (m) | 1,146 | ||||||||
10,192 | 6.00%, 10/01/23-03/01/35 (m) | 10,299 | ||||||||
3,453 | 6.50%, 04/01/29-03/01/35 (m) | 3,537 | ||||||||
1,075 | 7.00%, 02/01/35-03/01/35 (m) | 1,112 | ||||||||
139 | 7.50%, 03/01/35 (m) | 145 | ||||||||
— | (h) | 8.00%, 08/01/22 (m) | — | (h) | ||||||
— | (h) | 8.50%, 10/01/25 (m) | — | (h) | ||||||
15,000 | TBA, 4.50%, 04/25/34-03/25/36 | 14,119 | ||||||||
70,290 | TBA, 5.00%, 04/25/21-04/25/36 | 68,236 | ||||||||
73,166 | TBA, 5.50%, 04/18/21-04/25/36 | 73,239 | ||||||||
224,190 | TBA, 6.00%, 03/25/36 | 226,222 | ||||||||
11,800 | TBA, 6.50%, 03/25/36- 04/25/36 | 12,071 | ||||||||
Government National Mortgage Association Pool | ||||||||||
1,614 | 7.00%, 09/15/31 (m) | 1,687 | ||||||||
49 | 9.00%, 02/15/10- 04/15/11 (m) | 51 | ||||||||
40,500 | TBA, 5.50%, 03/15/36 | 40,589 | ||||||||
Total Mortgage Pass-Through Securities (Cost $608,737) | 611,233 | |||||||||
U.S. Government Agency Securities — 4.3% (m) | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
8,670 | 4.00%, 06/12/13 | 8,148 | ||||||||
4,040 | 4.88%, 11/15/13 | 4,029 | ||||||||
11,950 | 5.75%, 01/15/12 | 12,433 | ||||||||
4,640 | 6.25%, 07/15/32 | 5,523 | ||||||||
2,315 | 6.75%, 03/15/31 | 2,913 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
6,680 | 7.00%, 03/15/10 | 7,181 | ||||||||
Federal National Mortgage Association | ||||||||||
2,025 | 2.38%, 02/15/07 | 1,977 | ||||||||
14,745 | 3.25%, 08/15/08 | 14,182 | ||||||||
2,600 | 5.25%, 08/01/12 | 2,605 | ||||||||
830 | 6.13%, 03/15/12 | 880 | ||||||||
15 | 7.13%, 01/15/30 | 19 | ||||||||
1,600 | Tennessee Valley Authority, 6.79%, 05/23/12 | 1,749 | ||||||||
Total U.S. Government Agency Securities (Cost $62,650) | 61,639 | |||||||||
U.S. Treasury Obligations — 13.0% (m) | ||||||||||
U.S. Treasury Bonds | ||||||||||
10,325 | 5.38%, 02/15/31 | 11,493 | ||||||||
5,918 | 6.13%, 11/15/27 | 7,075 | ||||||||
8,076 | 6.25%, 05/15/30 | 9,948 | ||||||||
350 | 7.25%, 05/15/16 (k) | 424 | ||||||||
88 | U.S. Treasury Inflation Indexed Bonds, 1.63%, 01/15/15 | 85 | ||||||||
U.S. Treasury Notes | ||||||||||
1,300 | 3.38%, 02/28/07-10/15/09 | 1,274 | ||||||||
1,305 | 3.50%, 02/15/10 (k) | 1,251 | ||||||||
41,765 | 3.88%, 07/31/07-09/15/10 (k) | 41,270 | ||||||||
495 | 4.00%, 02/15/15 | 473 | ||||||||
13,554 | 4.13%, 08/15/08-05/15/15 (k) | 13,285 | ||||||||
37,215 | 4.25%, 01/15/11 | 36,645 | ||||||||
34,475 | 4.38%, 11/15/08-12/15/10 | 34,123 | ||||||||
27,600 | 4.50%, 11/15/15-02/15/16 | 27,413 | ||||||||
1,745 | 4.88%, 02/15/12 | 1,769 | ||||||||
Total U.S. Treasury Obligations (Cost $188,032) | 186,528 | |||||||||
SHARES | ||||||||||
Preferred Stock — 0.1% | ||||||||||
Insurance — 0.1% | ||||||||||
780 | Axis Capital Holdings Ltd. (Bermuda), Series B, VAR, 7.50%, 12/01/15 (m) | |||||||||
Total Preferred Stocks (Cost $780) | 811 | |||||||||
Total Long-Term Investments (Cost $2,034,702) | 2,022,052 |
NUMBER OF CONTRACTS/ NOTIONAL VALUE | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.9% | ||||||||||
Call Options Purchased — 0.5% | ||||||||||
2 | 1 Year Mid Curve Euro Dollar, expiring 06/16/06 @ $95.75, American style | 60 | ||||||||
— | (h) | U.S. 5 Year Treasury Note, expiring 03/24/06 @ $105.5, American style | 75 | |||||||
1 | U.S. 5 Year Treasury Note, expiring 04/21/06 @ $106, American style | 84 | ||||||||
Receiver Swaption on Interest Rate: | ||||||||||
65,405 | Expiring 04/18/06. If exercised the Fund receives 4.97% and pays floating 3 month LIBOR expiring 04/20/16, European Style. | 265 | ||||||||
125,960 | Expiring 6/23/06. If exercised the Fund receives 4.08% and pays floating 3 month LIBOR expiring 06/27/07, European Style. | 1 | ||||||||
8,500 | Expiring 12/02/15. If exercised the Fund receives 5.50% and pays floating 3 month LIBOR expiring 12/04/35, European Style. | 703 | ||||||||
8,500 | Expiring 12/04/06. If exercised the Fund receives 5.05% and pays floating 3 month LIBOR expiring 12/06/11, European Style. | 93 | ||||||||
8,650 | Expiring 12/14/06. If exercised the Fund receives 4.92% and pays floating 3 month LIBOR expiring 12/19/11, European Style. | 76 | ||||||||
8,650 | Expiring 12/14/15. If exercised the Fund receives 5.38% and pays floating 3 month LIBOR expiring 12/17/35, European Style. | 672 | ||||||||
10,410 | Expiring 01/22/07. If exercised the Fund receives 4.79% and pays floating 3 month LIBOR expiring 01/24/12, European Style. | 78 | ||||||||
10,410 | Expiring 01/20/16. If exercised the Fund receives 5.16% and pays floating 3 month LIBOR expiring 01/22/36, European Style. | 714 | ||||||||
4,758 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 219 | ||||||||
27,145 | Expiring 02/03/16. If exercised the Fund receives 5.25% and pays floating 3 month LIBOR expiring 02/05/36, European Style. | 1,952 | ||||||||
27,145 | Expiring 02/05/07. If exercised the Fund receives 5.05% and pays floating 3 month LIBOR expiring 02/07/12, European Style. | 350 | ||||||||
21,602 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 996 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
NUMBER OF CONTRACTS/ NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | ||||||||||
Call Options Purchased — Continued | ||||||||||
11,658 | Expiring 02/12/07. If exercised the Fund receives 5.06% and pays floating 3 month LIBOR expiring 02/16/37, European Style. | 494 | ||||||||
13,730 | Expiring 05/24/06. If exercised the Fund receives 4.90% and pays floating 3 month LIBOR expiring 05/26/11, European Style. | 40 | ||||||||
6,872 | ||||||||||
Put Options Purchased — 0.4% | ||||||||||
— | (h) | 1 Year Mid Curve Euro Dollar, expiring 03/10/06 @ $95.00, American style | 10 | |||||||
1 | 90 Day Euro Dollar, expiring 06/19/06 @ $94.13, American style | 417 | ||||||||
— | (h) | U.S. 10 Year Treasury Note, expiring 03/24/06 @ $108.00, American style | 31 | |||||||
— | (h) | U.S. 5 Year Treasury Note, expiring 03/24/06 @ $105.00, American style | 97 | |||||||
1 | U.S. 5 Year Treasury Note, expiring 04/21/06 @ $104.00, American style | 63 | ||||||||
— | (h) | U.S. 10 Year Treasury Note, expiring 04/21/06 @ $107.00, American style | 103 | |||||||
Payer Swaption on Interest Rate: | ||||||||||
8,500 | Expiring 12/04/06. If exercised the Fund pays 5.05% and receives floating 3 month LIBOR expiring 12/06/11, European Style. | 99 | ||||||||
8,500 | Expiring 12/02/15. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 12/04/35, European Style. | 448 | ||||||||
8,650 | Expiring 12/14/06. If exercised the Fund pays 4.92% and receives floating 3 month LIBOR expiring 12/19/11, European Style. | 129 | ||||||||
8,650 | Expiring 12/14/15. If exercised the Fund pays 5.38% and receives floating 3 month LIBOR expiring 12/17/35, European Style. | 488 | ||||||||
10,410 | Expiring 01/22/07. If exercised the Fund pays 4.79% and receives floating 3 month LIBOR expiring 01/24/12, European Style. | 197 | ||||||||
4,758 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 223 | ||||||||
10,410 | Expiring 01/20/16. If exercised the Fund pays 5.16% and receives floating 3 month LIBOR expiring 01/22/36, European Style. | 666 | ||||||||
27,145 | Expiring 02/03/16. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 02/05/36, European Style. | 1,654 | ||||||||
27,145 | Expiring 02/05/07. If exercised the Fund pays 5.05% and receives floating 3 month LIBOR expiring 02/07/12, European Style. | 367 | ||||||||
21,602 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 1,012 | ||||||||
11,658 | Expiring 02/12/07. If exercised the Fund pays 5.06% and receives floating 3 month LIBOR expiring 02/16/37, European Style. | 502 | ||||||||
13,730 | Expiring 05/24/06. If exercised the Fund pays 5.30% and receives floating 3 month LIBOR expiring 05/26/11, European Style. | 37 | ||||||||
6,543 | ||||||||||
Total Options Purchased (Cost $14,612) | 13,415 | |||||||||
PRINCIPAL AMOUNT($) | ||||||||||
Short-Term Investments — 1.6% | ||||||||||
Commercial Paper — 0.4% | ||||||||||
4,750 | Royal Bank, 4.51%, 04/07/06 (m) | 4,728 | ||||||||
SHARES | ||||||||||
Investment Company — 1.2% | ||||||||||
17,369 | JPMorgan Prime Money Market Fund (b) (m) | 17,369 | ||||||||
Total Short-Term Investments (Cost $22,097) | 22,097 | |||||||||
Total Investments — 143.8% (Cost $2,071,411) | 2,057,564 | |||||||||
Liabilities in Excess of Other Assets — (43.8)% | (626,555 | ) | ||||||||
NET ASSETS — 100.0% | 1,431,009 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
84 | 2 Year U.S. Treasury Notes | June, 2006 | $ | 17,168 | $ | 17 | ||||||||||||
231 | 5 Year U.S. Treasury Notes | June, 2006 | 24,298 | 47 | ||||||||||||||
150 | Eurodollar | June, 2006 | 35,599 | (17 | ) | |||||||||||||
150 | Eurodollar | December, 2006 | 35,595 | (37 | ) | |||||||||||||
441 | U.S. Treasury Bonds | June, 2020 | 49,874 | 115 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(515) | Euro Bobl | March, 2006 | (68,840 | ) | 162 | |||||||||||||
(8) | 10 Year Japanese Government Fund | March, 2006 | (9,398 | ) | 51 | |||||||||||||
(444) | 5 Year U.S. Treasury Notes | June, 2006 | (46,703 | ) | (59 | ) | ||||||||||||
(623) | 10 Year U.S. Treasury Notes | June, 2006 | (67,226 | ) | (123 | ) | ||||||||||||
(117) | U.S. Treasury Bonds | June, 2006 | (13,232 | ) | (32 | ) | ||||||||||||
(60) | Eurodollar | March, 2007 | (14,250 | ) | — | (h) | ||||||||||||
(60) | Eurodollar | June, 2007 | (14,258 | ) | — | (h) | ||||||||||||
(200) | Eurodollar | December, 2007 | (47,543 | ) | 14 | |||||||||||||
(500) | Eurodollar | March, 2008 | (118,850 | ) | (2 | ) | ||||||||||||
136 |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
15,278 EUR | 03/24/06 | $18,270 | $ | 18,236 | $ | 34 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(209,600) | Federal National Mortgage Association, 6.00%, 04/25/36 TBA | $ | (211,303 | ) | ||||||
(23,460) | Federal National Mortgage Association, 5.00%, 03/25/36 TBA | (22,786 | ) | |||||||
Total Short Positions (Proceeds $233,406) | $ | (234,089 | ) |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
(Amounts in thousands, except notional amount and number of contracts)
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call option on 1 Year Euro Dollar Future | $ | 95.50 | 06/16/06 | 970 | $ | (179 | ) | $ | (79 | ) | ||||||||||||
Call option on U.S. 10 Year Treasury Note Future, American style | 112.00 | 05/26/06 | 102 | (27 | ) | (3 | ) | |||||||||||||||
Call option on U.S. 10 Year Treasury Note Future, American style | 112.00 | 08/25/06 | 91 | (29 | ) | (16 | ) | |||||||||||||||
$ | (235 | ) | $ | (98 | ) |
DESCRIPTION | | COUNTERPARTY | | EXERCISE RATE* | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call option on Interest Rate Swap | Merrill Lynch Capital Services | 4.98 | % | 01/20/09 | $ | 24,515,000 | $ | (1,047 | ) | $ | (879 | ) | ||||||||||||||
Call option on Interest Rate Swap | Merrill Lynch Capital Services | 5.15 | % | 12/15/08 | 19,200,000 | (855 | ) | (786 | ) | |||||||||||||||||
Call option on Interest Rate Swap | Merrill Lynch Capital Services | 5.27 | % | 12/02/08 | 21,250,000 | (958 | ) | (964 | ) | |||||||||||||||||
Call option on Interest Rate Swap | �� | Credit Suisse International | 5.04 | % | 02/12/07 | 22,948,000 | (602 | ) | (502 | ) | ||||||||||||||||
Call option on Interest Rate Swap | Deutsche Bank AG, New York | 5.10 | % | 02/24/09 | 54,920,000 | (1,298 | ) | (1,309 | ) | |||||||||||||||||
Call option on Interest Rate Swap | Citibank, N.A. | 4.99 | % | 04/18/06 | 267,735,000 | (333 | ) | (225 | ) | |||||||||||||||||
Call option on Interest Rate Swap | Citibank, N.A. | 4.25 | % | 06/23/06 | 24,900,000 | (411 | ) | (3 | ) | |||||||||||||||||
Call option on Interest Rate Swap | Deutsche Bank AG, New York | 5.15 | % | 02/03/09 | 63,438,000 | (2,737 | ) | (2,663 | ) | |||||||||||||||||
$ | (8,241 | ) | $ | (7,331 | ) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR. |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put option on 90 Day Euro Dollar Future | $ | 94.88 | 06/19/06 | 759 | $ | (53 | ) | $ | (104 | ) | ||||||||||||
Put option on 1 Year Mid Curve Euro Dollar | 95.00 | 06/16/06 | 759 | (205 | ) | (251 | ) | |||||||||||||||
Put option on U.S. 10 Year Treasury Note Future | 107.00 | 03/24/06 | 61 | (26 | ) | (10 | ) | |||||||||||||||
Put option on U.S. 10 Year Treasury Note Future | 106.00 | 05/26/06 | 102 | (32 | ) | (26 | ) | |||||||||||||||
Put option on U.S. 10 Year Treasury Note Future | 106.00 | 04/21/06 | 219 | (37 | ) | (27 | ) | |||||||||||||||
Put option on U.S. 10 Year Treasury Note Future | 104.00 | 08/25/06 | 91 | (31 | ) | (19 | ) | |||||||||||||||
$ | (384 | ) | $ | (437 | ) |
DESCRIPTION | | COUNTERPARTY | | EXERCISE RATE** | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put option on Interest Rate Swap | Merrill Lynch Capital Services | 4.98 | % | 01/20/09 | $ | 24,515,000 | $ | (1,047 | ) | $ | (1,062 | ) | ||||||||||||||
Put option on Interest Rate Swap | Merrill Lynch Capital Services | 5.15 | % | 12/15/08 | 19,200,000 | (855 | ) | (709 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Merrill Lynch Capital Services | 5.27 | % | 12/02/08 | 21,250,000 | (958 | ) | (695 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Credit Suisse International | 5.04 | % | 02/12/07 | 22,948,000 | (602 | ) | (548 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Deutsche Bank AG, New York | 5.10 | % | 02/24/09 | 54,920,000 | (1,298 | ) | (1,259 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Deutsche Bank AG, New York | 5.15 | % | 02/03/09 | 63,438,000 | (2,737 | ) | (2,404 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Goldman Sachs Credit Management | 5.18 | % | 03/13/06 | 10,590,000 | (57 | ) | (10 | ) | |||||||||||||||||
Put option on Interest Rate Swap | Deutsche Bank AG, New York | 5.18 | % | 03/13/06 | 13,750,000 | (61 | ) | (20 | ) | |||||||||||||||||
$ | (7,615 | ) | $ | (6,707 | ) |
** | The Fund will receive a floating rate based on 3-month USD LIBOR. |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Barclays Capital | 5.09%, semi-annually | 3 month LIBOR, quarterly | 02/22/11 | $ | 44,350 | $ | (59 | ) | ||||||||||||||
Barclays Capital | 5.15%, semi-annually | 3 month LIBOR, quarterly | 02/16/16 | 20,920 | (129 | ) | ||||||||||||||||
Barclays Capital | 3 month LIBOR, quarterly | 5.09%, semi-annually | 03/02/06 | 102,850 | 31 | |||||||||||||||||
Citibank, N.A. | 5.00%, semi-annually | 3 month LIBOR, quarterly | 02/07/11 | 24,425 | 63 | |||||||||||||||||
Citibank, N.A. | 3 month LIBOR, quarterly | 4.89%, semi-annually | 11/19/07 | 42,865 | 387 | |||||||||||||||||
Citibank, N.A. | 4.98%, semi-annually | 3 month LIBOR, quarterly | 11/17/10 | 18,400 | (163 | ) | ||||||||||||||||
Citibank, N.A. | 5.10%, semi-annually | 3 month LIBOR, quarterly | 02/17/11 | 44,000 | (11 | ) | ||||||||||||||||
Citibank, N.A. | 5.12%, semi-annually | 3 month LIBOR, quarterly | 02/16/16 | 18,460 | (67 | ) | ||||||||||||||||
Citibank, N.A. | 3 month LIBOR, quarterly | 4.99%, semi-annually | 02/07/08 | 56,910 | (81 | ) | ||||||||||||||||
Credit Suisse International | 5.12%, semi-annually | 3 month LIBOR, quarterly | 11/14/15 | 4,185 | (71 | ) | ||||||||||||||||
Credit Suisse International | 5.05%, semi-annually | 3 month LIBOR, quarterly | 02/07/16 | 27,500 | 33 | |||||||||||||||||
Credit Suisse International | 5.06%, semi-annually | 3 month LIBOR, quarterly | 02/14/37 | 872 | 1 | |||||||||||||||||
Credit Suisse International | 3 month LIBOR, quarterly | 5.04%, semi-annually | 02/14/17 | 872 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.03%, semi-annually | 3 month LIBOR, quarterly | 11/15/10 | 6,390 | (68 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.07%, semi-annually | 3 month LIBOR, quarterly | 03/02/16 | 49,260 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.08%, semi-annually | 3 month LIBOR, quarterly | 02/21/16 | 10,500 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.09%, semi-annually | 3 month LIBOR, quarterly | 01/26/21 | 2,260 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York | 5.09%, semi-annually | 3 month LIBOR, quarterly | 01/26/21 | 2,666 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | 5.10%, semi-annually | 3 month LIBOR, quarterly | 02/21/11 | 22,175 | (21 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.14%, semi-annually | 3 month LIBOR, quarterly | 05/15/16 | 49,365 | (211 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.08%, semi-annually | 03/02/36 | 12,525 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.09%, semi-annually | 02/21/08 | 51,425 | 9 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.09%, semi-annually | 03/02/08 | 101,540 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.10%, semi-annually | 02/26/14 | 3,300 | 3 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.11%, semi-annually | 05/15/08 | 101,885 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.15%, semi-annually | 02/05/19 | 6,344 | 26 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR, quarterly | 5.18%, semi-annually | 05/15/36 | 12,600 | 189 | |||||||||||||||||
Deutsche Bank AG, New York | 4.47%, semi-annually | 3 month LIBOR, quarterly | 07/12/10 | 5,850 | 137 | |||||||||||||||||
Goldman Sachs Credit Management | 5.07%, semi-annually | 3 month LIBOR, quarterly | 02/11/11 | 41,000 | (14 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.21%, semi-annually | 3 month LIBOR, quarterly | 09/09/10 | 15,675 | 383 | |||||||||||||||||
Lehman Brothers Special Financing | 4.28%, semi-annually | 3 month LIBOR, quarterly | 09/09/10 | 12,410 | 264 | |||||||||||||||||
Lehman Brothers Special Financing | 4.37%, semi-annually | 3 month LIBOR, quarterly | 09/08/10 | 3,315 | 57 | |||||||||||||||||
Lehman Brothers Special Financing | 5.06%, semi-annually | 3 month LIBOR, quarterly | 02/24/11 | 43,740 | 1 | |||||||||||||||||
Lehman Brothers Special Financing | 5.09%, semi-annually | 3 month LIBOR, quarterly | 05/15/11 | 42,735 | (73 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.09%, semi-annually | 3 month LIBOR, quarterly | 05/16/16 | 50,140 | (64 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR, quarterly | 4.50%, semi-annually | 09/09/10 | 15,700 | (179 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR, quarterly | 4.50%, semi-annually | 09/09/10 | 15,700 | (179 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR, quarterly | 5.08%, semi-annually | 02/24/08 | 101,670 | (4 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR, quarterly | 5.09%, semi-annually | 05/15/08 | 77,710 | (30 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR, quarterly | 5.12%, semi-annually | 05/15/36 | 15,955 | 97 | |||||||||||||||||
Merrill Lynch Capital Services | 5.16%, semi-annually | 3 month LIBOR, quarterly | 01/22/36 | 3,331 | (19 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.25%, semi-annually | 3 month LIBOR, quarterly | 02/05/36 | 9,226 | (112 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.38%, semi-annually | 3 month LIBOR, quarterly | 12/17/35 | 2,800 | (63 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.50%, semi-annually | 3 month LIBOR, quarterly | 12/04/35 | 2,890 | (90 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR, quarterly | 4.98%, semi-annually | 01/22/19 | 2,452 | (17 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR, quarterly | 5.15%, semi-annually | 12/17/18 | 1,740 | 8 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR, quarterly | 5.27%, semi-annually | 12/04/18 | 1,910 | 25 | |||||||||||||||||
Morgan Stanley Capital Services | 5.17%, semi-annually | 3 month LIBOR, quarterly | 09/15/15 | 6,800 | (94 | ) | ||||||||||||||||
$ | (107 | ) |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | Computer Sciences Corp, 7.38%, 6/15/11 | Buy | 155.7 BPS quarterly | 3/20/11 | $ | 5,950 | $ | (197 | ) | |||||||||||||||||
Barclays | Residential Capital Corp., 6.38%, 6/30/10 | Sell | 116 BPS quarterly | 3/20/11 | 6,000 | (19 | ) | |||||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Buy | 114 BPS semi-annually | 10/20/07 | 2,850 | (33 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 9/15/27 | Buy | 116.5 BPS quarterly | 5/20/10 | 15,000 | (418 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 9/15/27 | Buy | 125 BPS quarterly | 6/20/10 | 11,000 | (335 | ) | |||||||||||||||||||
Citibank, N.A. | Colombia Government International Bond, 8.38%, 2/15/27 | Buy | 207 BPS semi-annually | 9/20/10 | 5,000 | (304 | ) | |||||||||||||||||||
Citibank, N.A. | �� | Colombia Government International Bond, 10.38%, 1/28/33 | Buy | 236 BPS semi-annually | 9/20/10 | 9,200 | (681 | ) | ||||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 296.5 BPS semi-annually | 10/20/10 | 2,850 | 123 | ||||||||||||||||||||
Citibank, N.A.* | Dow Jones CDX.NA.HY.BB.5 | Buy | 250 BPS quarterly | 12/20/10 | 2,400 | (12 | ) | |||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30%, 8/15/31 | Sell | 100 BPS semi-annually | 5/20/10 | 15,000 | 394 | ||||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30%, 8/15/31 | Sell | 105 BPS semi-annually | 6/20/10 | 11,000 | 304 | ||||||||||||||||||||
Citibank, N.A. | Government of Venezuela, 9.25%, 9/15/27 | Sell | 232 BPS semi-annually | 9/20/10 | 5,000 | 304 | ||||||||||||||||||||
Citibank, N.A. | Government of Venezuela, 9.25%, 9/15/27 | Sell | 258 BPS semi-annually | 9/20/10 | 9,200 | 670 | ||||||||||||||||||||
Citibank, N.A. | Government of Ukraine, 7.65%, 6/11/13 | Sell | 195.5 BPS semi-annually | 3/16/06 | 4,750 | 70 | ||||||||||||||||||||
Credit Suisse International | Arrow Electronics, Inc., 6.88%, 6/1/18 | Buy | 65 BPS quarterly | 3/20/11 | 1,950 | (8 | ) | |||||||||||||||||||
Credit Suisse International | Arrow Electronics, Inc., 6.88%, 6/1/18 | Buy | 60 BPS quarterly | 3/20/11 | 2,500 | — | (h) | |||||||||||||||||||
Credit Suisse International | Cendant Corp., 7.38%, 1/15/13 | Buy | 100 BPS quarterly | 3/20/11 | 6,000 | 36 | ||||||||||||||||||||
Deutsche Bank AG, New York | Avon Products, 7.15%, 11/15/09 | Buy | 35 BPS quarterly | 6/20/13 | 2,730 | (22 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Brazilian Government International Bond, 12.25%, 3/6/30 | Buy | 105 BPS semi-annually | 4/20/06 | 9,750 | (50 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 4/8/33 | Buy | 105 BPS semi-annually | 6/20/10 | 10,000 | (259 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 4/8/33 | Buy | 106 BPS semi-annually | 6/20/10 | 8,000 | (210 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 4/8/33 | Buy | 108 BPS semi-annually | 4/20/10 | 10,000 | (281 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 4/8/33 | Buy | 96 BPS semi-annually | 7/20/10 | 6,000 | (129 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 3/31/30 | Buy | 123 BPS semi-annually | 2/20/10 | 30,000 | (892 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Aries Vermoegensverwaltungs, 9.60%, 10/25/14 | Sell | 126 BPS semi-annually | 2/20/10 | 30,000 | 1,097 | ||||||||||||||||||||
Deutsche Bank AG, New York | Brazilian Government International Bond, 12.25%, 3/6/30 | Sell | 235 BPS semi-annually | 4/20/07 | 9,750 | 312 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Venezuela, 9.25%, 9/15/27 | Sell | 52 BPS annually | 4/20/06 | 7,700 | 20 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 3/31/30 | Sell | 101 BPS semi-annually | 7/20/10 | 6,000 | 138 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 3/31/30 | Sell | 104 BPS semi-annually | 6/20/10 | 10,000 | 248 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 3/31/30 | Sell | 105 BPS semi-annually | 6/20/10 | 8,000 | 202 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 3/31/30 | Sell | 119 BPS semi-annually | 4/20/10 | 10,000 | 323 | ||||||||||||||||||||
Goldman Sachs Credit Management | Computer Sciences Corp, 7.38%, 6/15/11 | Buy | 148 BPS quarterly | 12/20/10 | 1,450 | (47 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Computer Sciences Corp, 7.38%, 6/15/11 | Buy | 113 BPS quarterly | 3/20/11 | 6,000 | (83 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Jones Apparel Group, Inc., 5.13%, 11/15/14 | Buy | 100 BPS quarterly | 3/20/11 | 3,950 | (52 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Masco Corp., 6.75%, 3/15/06 | Buy | 49 BPS quarterly | 12/20/10 | 1,950 | (3 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Nucor Corp, 4.88%, 10/01/12 | Buy | 37 BPS quarterly | 12/20/10 | 1,950 | (8 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Radioshack Corp., 7.38%, 5/15/11 | Buy | 107 BPS quarterly | 3/20/11 | 3,950 | 24 | ||||||||||||||||||||
Goldman Sachs Credit Management | V.F. Corp., 8.50%, 10/1/10 | Buy | 54 BPS quarterly | 3/20/11 | 1,950 | (18 | ) | |||||||||||||||||||
Goldman Sachs Credit Management | Residential Capital Corp., 6.38%, 6/30/10 | Sell | 118 BPS quarterly | 12/20/10 | 1,300 | — | (h) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
HSBC Bank | Jones Appareal Group, Inc., 5.13%, 11/15/14 | Buy | 89 BPS quarterly | 6/20/11 | $ | 6,000 | $ | (27 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 3/6/33 | Buy | 165 BPS semi-annually | 2/20/11 | 9,040 | (208 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 3/6/30 | Buy | 261.5 BPS semi-annually | 10/20/10 | 13,000 | (945 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 3/6/30 | Buy | 300 BPS semi-annually | 9/20/10 | 6,250 | (564 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | H.J. Heinz, 6.00%, 3/15/08 | Buy | 47 BPS quarterly | 3/20/11 | 4,050 | 16 | ||||||||||||||||||||
Lehman Brothers Special Financing | United Mexican States, 7.50%, 4/8/33 | Buy | 53 BPS semi-annually | 3/20/11 | 25,500 | (47 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Colombia Government International Bond, 10.38%, 1/28/33 | Buy | 110 BPS semi-annually | 2/20/11 | 9,500 | (55 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 3/31/30 | Buy | 54 BPS semi-annually | 10/20/07 | 9,000 | (60 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 3/31/30 | Buy | 61 BPS semi-annually | 10/20/07 | 9,000 | (72 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Tribune Co., 5.50%, 10/6/08 | Buy | 95 BPS quarterly | 3/20/11 | 3,850 | (45 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Tribune Co., 5.50%, 10/6/08 | Buy | 81 BPS quarterly | 6/20/11 | 6,000 | (3 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Tyson Foods, Inc., 8.25%, 10/01/11 | Buy | 87 BPS quarterly | 6/20/11 | 4,100 | 16 | ||||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 292 BPS semi-annually | 2/20/11 | 9,040 | 201 | ||||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 303.5 BPS semi-annually | 10/20/10 | 13,000 | 545 | ||||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 343 BPS semi-annually | 9/20/10 | 6,250 | 382 | ||||||||||||||||||||
Lehman Brothers Special Financing * | Dow Jones CDX.NA.HY.B.5 | Sell | 340 BPS quarterly | 12/20/10 | 3,600 | (78 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 4/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 9,000 | 123 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 4/28/34 | Sell | 111 BPS semi-annually | 10/20/07 | 9,000 | 135 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Venezuela, 9.25%, 9/15/27 | Sell | 133 BPS semi-annually | 2/20/11 | 9,500 | 38 | ||||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 3/31/30 | Sell | 54 BPS semi-annually | 3/20/11 | 25,500 | 87 | ||||||||||||||||||||
Merrill Lynch Capital Services * | Dow Jones CDX.NA.IG.5 | Sell | 45 BPS quarterly | 12/20/10 | 3,200 | (6 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Alltel Corp., 7.00%, 7/1/12 | Buy | 37 BPS quarterly | 12/20/10 | 3,200 | 4 | ||||||||||||||||||||
Morgan Stanley Capital Services | Alltel Corp., 7.00%, 7/01/12 | Buy | 63 BPS quarterly | 3/20/11 | 10,000 | (74 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 3/6/30 | Buy | 290 BPS semi-annually | 10/20/10 | 5,250 | (452 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 3/6/30 | Buy | 335 BPS semi-annually | 10/20/10 | 3,900 | (170 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Centurytel, Inc., 7.88%, 8/15/12 | Buy | 73 BPS quarterly | 3/20/11 | 9,000 | (60 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 4/8/33 | Buy | 112 BPS semi-annually | 4/20/10 | 9,000 | (292 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Colombia Government International Bond, 10.38%, 1/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 18,700 | (179 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Colombia Government International Bond, 10.38%, 1/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 4,500 | (42 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 3/31/30 | Buy | 64 BPS semi-annually | 9/20/10 | 7,000 | (76 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 3/31/30 | Buy | 75 BPS semi-annually | 8/20/10 | 8,500 | (108 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 3/31/30 | Buy | 90 BPS semi-annually | 7/20/10 | 11,000 | (214 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 5,250 | 314 | ||||||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 3,900 | 139 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Venezuela, 9.25%, 9/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 4,500 | 61 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | Government of Venezuela, 9.25%, 9/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | $ | 18,700 | $ | 258 | ||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 3/31/30 | Sell | 140 BPS semi-annually | 4/20/10 | 9,000 | 379 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 6/11/13 | Sell | 170 BPS semi-annually | 8/20/10 | 8,500 | 65 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 6/11/13 | Sell | 176 BPS semi-annually | 9/20/10 | 7,000 | 119 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 6/11/13 | Sell | 190 BPS semi-annually | 7/20/10 | 11,000 | 195 | ||||||||||||||||||||
Morgan Stanley Credit Products Ltd. | Autozone, Inc., 5.88%, 10/15/12 | Buy | 68 BPS quarterly | 3/20/11 | 5,800 | (1 | ) | |||||||||||||||||||
Morgan Stanley Credit Products Ltd. | Office Depot, Inc., 6.25%, 8/15/13 | Buy | 69 BPS quarterly | 3/20/13 | 6,100 | 20 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Cendant Corp., 7.38%, 1/15/13 | Buy | 104 BPS quarterly | 3/20/11 | 3,900 | 3 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 3/31/30 | Buy | 90 BPS semi-annually | 8/20/10 | 7,250 | (167 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Government of Ukraine, 7.65%, 6/11/13 | Sell | 184 BPS semi-annually | 8/20/10 | 7,250 | 160 | ||||||||||||||||||||
$ | (481 | ) | ||||||||||||||||||||||||
* Premiums received of $43 |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 4.86% semi-annually | 3/13/06 | $ | 850,000 | $ | (24 | ) | ||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.08% semi-annually | 6/19/06 | 574,000 | 7 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.09% semi-annually | 6/19/06 | 652,900 | 32 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.09% semi-annually | 6/19/06 | 326,400 | 16 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.10% semi-annually | 6/19/06 | 307,000 | 23 | |||||||||||||||||
$ | 54 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Capital (a) | FNMA, 5.50%, 03/06 | $ | 98.52 | 03/06/06 | $ | 9,000 | $ | (44 | ) | |||||||||||||
Barclays Capital (a) | FNMA, 6.00%, 03/06 | 100.56 | 03/06/06 | 12,000 | 37 | |||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 5.00%, 04/06 | 96.69 | 04/05/06 | 51,700 | (135 | ) | ||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.00%, 05/06 | 96.72 | 05/04/06 | 21,000 | 28 | |||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.00%, 05/06 | 96.72 | 05/04/06 | 40,500 | 53 | |||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 63,000 | — | |||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 6,000 | — | |||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 48,725 | — | |||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 12,000 | — | |||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 6.00%, 03/06 | 100.88 | 03/06/06 | 14,000 | 3 | |||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 6.00%, 04/06 | 100.59 | 04/05/06 | 37,000 | (79 | ) | ||||||||||||||||
Citibank, N.A. (b) | 15 Year FNMA, 5.50%, 04/06 | 100.22 | 04/11/06 | 13,700 | 16 | |||||||||||||||||
Deutsche Bank AG, New York (a) | 30 Year FNMA, 6.63%, 11/10 | 106.73 | 03/16/06 | 6,000 | 9 | |||||||||||||||||
Deutsche Bank AG, New York (b) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 26,500 | — | |||||||||||||||||
Deutsche Bank AG, New York (a) | Treasury Note, 5.38%, 02/31 | 110.79 | 03/31/06 | 24,000 | 72 | |||||||||||||||||
Deutsche Bank AG, New York (b) | Treasury Note, 4.50%, 02/16 | 99.23 | 03/31/06 | 48,435 | (112 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FHLMC, 4.50%, 01/14 | 97.38 | 04/05/06 | 10,495 | (5 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | 15 Year FNMA, 5.50%, 04/06 | 100.20 | 04/11/06 | 38,000 | 53 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing (a) | 30 Year FNMA, 6.00%, 05/11 | $ | 104.48 | 03/16/06 | $ | 41,470 | $ | 82 | ||||||||||||||
Lehman Brothers Special Financing (b) | FHLMC, 4.13%, 07/10 | 96.93 | 04/04/06 | 5,850 | (1 | ) | ||||||||||||||||
Lehman Brothers Special Financing (a) | 30 Year FNMA, 5.00%, 03/06 | 98.64 | 03/06/06 | 32,585 | (173 | ) | ||||||||||||||||
Morgan Stanley Capital Services (a) | 30 Year FNMA, 5.50%, 03/06 | 98.63 | 03/06/06 | 26,500 | (103 | ) | ||||||||||||||||
Morgan Stanley Capital Services (b) | 15 Year FNMA, 5.50%, 04/06 | 100.13 | 04/11/06 | 38,000 | 79 | |||||||||||||||||
Union Bank of Switzerland AG, London (a) | 30 Year FNMA, 5.00%, 04/06 | 96.16 | 04/03/06 | 13,500 | 103 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 15 Year FNMA, 5.50%, 04/06 | 99.98 | 04/12/06 | 14,000 | 53 | |||||||||||||||||
Union Bank of Switzerland AG, London (a) | 30 Year FNMA, 5.00%, 04/06 | 96.16 | 04/06/06 | 50,000 | 383 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FNMA, 5.50%, 03/06 | 98.63 | 03/06/06 | 55,000 | 215 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FNMA, 5.50%, 03/06 | 98.63 | 03/06/06 | 18,850 | 35 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FNMA, 6.00%, 03/06 | 100.69 | 03/06/06 | 10,000 | 21 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FNMA, 6.50%, 03/06 | 102.30 | 03/06/06 | 9,000 | 6 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FNMA, 4.50%, 03/06 | 93.84 | 03/06/06 | 11,500 | 29 | |||||||||||||||||
Union Bank of Switzerland AG, London (b) | 30 Year FHLMC Gold, 5.50%, 03/06 | 98.81 | 03/06/06 | 31,650 | 84 | |||||||||||||||||
$ | 709 |
SWAP COUNTERPARTY | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing (b) | 10 Year Swap Spread Lock | $48.73 | 03/30/06 | $24,315 | $(20) |
(a) | Fund pays the excess of the market price over the price lock and receives the excess of the price lock over the market price. |
(b) | Fund pays the excess of the price lock over the market price and receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2006 (Unaudited)
PRINCIPAL AMOUNT (USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 94.5% | ||||||||||
Corporate Bonds — 9.8% | ||||||||||
Brazil — 1.0% | ||||||||||
BRL 1,730 | Citibank N.A., 15.00%, 07/02/10 (e) | 887 | ||||||||
Germany — 4.9% | ||||||||||
$250 | Aries Vermoegensverwaltungs GmbH, 9.60%, 10/25/14 (e) | 321 | ||||||||
3,540 | OAO Gazprom, 9.63%, 03/01/13 (e) | 4,279 | ||||||||
4,600 | ||||||||||
Luxembourg — 2.1% | ||||||||||
550 | Gaz Capital S.A., 8.63%, 04/28/34 (e) | 710 | ||||||||
908 | Gazprom International S.A. (Luxembourg), Regulation S, 7.20%, 02/01/20 | 967 | ||||||||
286 | Gazstream S.A. (Gazprom), 5.63%, 07/22/13 (e) | 285 | ||||||||
1,962 | ||||||||||
United States — 1.6% | ||||||||||
Pemex Project Funding Master Trust | ||||||||||
402 | 6.63%, 06/15/35 | 419 | ||||||||
1,065 | Regulation S, 5.75%, 12/15/15 | 1,063 | ||||||||
1,482 | ||||||||||
Ukraine — 0.2% | ||||||||||
195 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 | 199 | ||||||||
Total Corporate Bonds (Cost $8,852) | 9,130 | |||||||||
Foreign Government Securities — 71.1% | ||||||||||
Argentina — 8.6% | ||||||||||
Republic of Argentina | ||||||||||
$ 5,325 | FRN, 4.89%, 08/03/12 (m) | 4,356 | ||||||||
ARS 250 | VAR, 5.83%, 12/31/33 | 108 | ||||||||
ARS 14,014 | VAR, 5.83%, 12/15/35 | 292 | ||||||||
ARS 7,373 | VAR, 5.88%, 12/31/33 (m) | 3,184 | ||||||||
7,940 | ||||||||||
Brazil — 13.6% | ||||||||||
$300 | Banco Nacional de Desenvolvimento Economico e Social, Regulation S, VAR, 5.73%, 06/16/08 | 292 | ||||||||
Federal Republic of Brazil | ||||||||||
720 | 8.25%, 01/20/34 | 858 | ||||||||
1,950 | 8.75%, 02/04/25 | 2,364 | ||||||||
437 | 11.00%, 08/17/40 | 581 | ||||||||
2,299 | 12.25%, 03/06/30 | 3,742 | ||||||||
BRL 4,750 | 12.50%, 01/05/16 | 2,326 | ||||||||
$1,705 | FRN, 5.25%, 04/15/12 | 1,705 | ||||||||
605 | Series B, 8.88%, 04/15/24 | 738 | ||||||||
12,606 | ||||||||||
Dominican Republic — 2.8% | ||||||||||
Dominican Republic | ||||||||||
$2,313 | 9.04%, 01/23/18 (e) | 2,568 | ||||||||
48 | Regulation S, 9.50%, 09/27/11 | 52 | ||||||||
2,620 | ||||||||||
Ecuador — 1.1% | ||||||||||
Republic of Ecuador | ||||||||||
370 | Regulation S, SUB, 9.00%, 08/15/30 | 366 | ||||||||
610 | Regulation S, 9.38%, 12/15/15 | 639 | ||||||||
1,005 | ||||||||||
El Salvador — 1.7% | ||||||||||
Republic of El Salvador | ||||||||||
675 | 7.63%, 09/21/34 (e) | 757 | ||||||||
735 | 8.25%, 04/10/32 (e) (m) | 862 | ||||||||
1,619 | ||||||||||
Indonesia — 1.4% | ||||||||||
1,245 | Republic of Indonesia, 7.25%, 04/20/15 (e) (m) | 1,289 | ||||||||
Mexico — 6.6% | ||||||||||
United Mexican States | ||||||||||
MXN 54,800 | 8.00%, 12/19/13 | 5,270 | ||||||||
$ 350 | 8.00%, 09/24/22 | 433 | ||||||||
350 | 8.30%, 08/15/31 | 458 | ||||||||
6,161 | ||||||||||
Panama — 3.5% | ||||||||||
Republic of Panama | ||||||||||
609 | 6.70%, 01/26/36 | 619 | ||||||||
1300 | 7.13%, 01/29/26 | 1,377 | ||||||||
897 | 7.25%, 03/15/15 | 964 | ||||||||
25 | 8.88%, 09/30/27 | 31 | ||||||||
33 | 9.38%, 07/23/12 | 39 | ||||||||
155 | 9.38%, 04/01/29 | 203 | ||||||||
3,233 | ||||||||||
Peru — 3.9% | ||||||||||
Republic of Peru | ||||||||||
770 | 7.35%, 07/21/25 | 810 | ||||||||
730 | 8.38%, 05/03/16 | 843 | ||||||||
541 | 8.75%, 11/21/33 | 655 | ||||||||
1,379 | VAR, 5.00%, 03/07/17 | 1,341 | ||||||||
3,649 | ||||||||||
Phillippines — 1.5% | ||||||||||
Republic of Phillippines | ||||||||||
730 | 9.88%, 01/15/19 | 880 | ||||||||
380 | 10.63%, 03/16/25 | 493 | ||||||||
1,373 |
PRINCIPAL AMOUNT (USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Russia — 10.6% | ||||||||||
Russian Federation | ||||||||||
$ 5,020 | Regulation S, 8.25%, 03/31/10 | 5,309 | ||||||||
235 | Regulation S, 11.00%, 07/24/18 | 347 | ||||||||
2,270 | Regulation S, 12.75%, 06/24/28 | 4,194 | ||||||||
9,850 | ||||||||||
Turkey — 2.8% | ||||||||||
Republic of Turkey | ||||||||||
1,795 | 7.38%, 02/05/25 | 1,914 | ||||||||
625 | 8.00%, 02/14/34 | 711 | ||||||||
2,625 | ||||||||||
Ukraine — 4.4% | ||||||||||
Government of Ukraine | ||||||||||
620 | 7.65%, 06/11/13 (e) (m) | 667 | ||||||||
595 | Regulation S, 6.88%, 03/04/11 | 610 | ||||||||
2,585 | Regulation S, 7.65%, 06/11/13 | 2,782 | ||||||||
4,059 | ||||||||||
Uruguay — 0.3% | ||||||||||
240 | Republic of Uruguay, 9.25%, 05/17/17 | 284 | ||||||||
Venezuela — 8.3% | ||||||||||
Republic of Venezuela | ||||||||||
435 | 7.65%, 04/21/25 | 473 | ||||||||
242 | 9.25%, 09/15/27 | 311 | ||||||||
2,512 | 9.38%, 01/13/34 | 3,278 | ||||||||
1,996 | 10.75%, 09/19/13 | 2,515 | ||||||||
320 | 13.63%, 08/15/18 | 496 | ||||||||
85 | Regulation S, 7.00%, 12/01/18 | 87 | ||||||||
500 | Series A, VAR, 6.75%, 03/31/20 | 501 | ||||||||
7,661 | ||||||||||
Total Foreign Government Securities (Cost $62,223) | 65,974 | |||||||||
U.S. Treasury Obligations — 13.5% | ||||||||||
United States — 13.5% | ||||||||||
U.S. Treasury Notes | ||||||||||
$ 8,000 | 4.25%, 01/15/11 (m) | 7,878 | ||||||||
4,500 | 4.50%, 02/15/16 (m) | 4,483 | ||||||||
135 | 6.88%, 05/15/06 (m) (k) | 136 | ||||||||
(Cost $12,483) | 12,497 | |||||||||
SHARES | ||||||||||
Warrants — 0.1% | ||||||||||
1 | Republic of Venezuela Expires 04/15/20 (a) (Cost $0) | 39 | ||||||||
Total Long-Term Investments (Cost $83,558) | 87,640 | |||||||||
Short-Term Investment — 6.6% | ||||||||||
Investment Company — 6.6% | ||||||||||
6,085 | JPMorgan Prime Money Market Fund (b) (m) (Cost $6,085) | 6,085 | ||||||||
Total Investments — 101.1% (Cost $89,643) | 93,725 | |||||||||
Liabilities in Excess of Other Assets — (1.1)% | (975 | ) | ||||||||
NET ASSETS — 100.0% | $ | 92,750 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED DEPRECIATION (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
60 | 5 Year U.S. Treasury Notes | June, 2006 | $6,311 | $10 | ||||||||||||||
91 | 10 year U.S. Treasury Notes | June, 2006 | 9,819 | 23 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(69) | U.S. Treasury Bonds | June, 2006 | (7,803 | ) | (19) | |||||||||||||
$14 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. | Government of Argentina, 8.28% 12/31/33 | Buy | 114 BPS semi-annually | 10/20/07 | $ | 160 | $ | (2 | ) | |||||||||||||||||
Citibank, N.A. | Government of Argentina, 8.28% 12/31/33 | Sell | 296.5 BPS semi-annually | 10/20/10 | 160 | 7 | ||||||||||||||||||||
Citibank, N.A. | Government of Colombia, 8.38% 2/15/27 | Buy | 207 BPS semi-annually | 9/20/10 | 450 | (27 | ) | |||||||||||||||||||
Citibank, N.A. | Government of Colombia, 10.38% 1/28/33 | Buy | 236 BPS semi-annually | 9/20/10 | 300 | (22 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50% 9/15/27 | Buy | 125 BPS quarterly | 6/20/10 | 1,000 | (30 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50% 9/15/27 | Buy | 127 BPS quarterly | 4/20/10 | 1,300 | (43 | ) | |||||||||||||||||||
Citibank, N.A. | Republic of Venezuela, 9.25% 9/15/27 | Sell | 258 BPS semi-annually | 9/20/10 | 300 | 22 | ||||||||||||||||||||
Citibank, N.A. | Republic of Venezuela, 9.25% 9/15/27 | Sell | 232 BPS semi-annually | 9/20/10 | 450 | 27 | ||||||||||||||||||||
Citibank, N.A. | Russian Federation, 5.00% 3/31/30 | Sell | 149 BPS semi-annually | 4/20/10 | 1,300 | 59 | ||||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30% 8/15/31 | Sell | 105 BPS semi-annually | 6/20/10 | 1,000 | 28 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Brazil, 12.25% 3/6/30 | Sell | 235 BPS semi-annually | 4/20/07 | 300 | 10 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Brazil, 12.25% 3/6/30 | Buy | 105 BPS semi-annually | 4/20/06 | 300 | (2 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Republic of Venezuela, 9.25% 9/15/27 | Sell | 52 BPS annually | 4/20/06 | 450 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00% 3/31/30 | Sell | 77 BPS semi-annually | 8/20/10 | 70 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50% 04/08/33 | Buy | 81 BPS semi-annually | 8/20/10 | 70 | (1 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63% 4/28/34 | Sell | 104 BPS semi-annually | 10/20/07 | 500 | 6 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63% 4/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 500 | 7 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28% 12/31/33 | Sell | 303.5 BPS semi-annually | 10/20/10 | 750 | 31 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28% 12/31/33 | Sell | 343 BPS semi-annually | 9/20/10 | 350 | 21 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25% 3/6/30 | Buy | 261.5 BPS semi-annually | 10/20/10 | 750 | (55 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25% 3/6/30 | Buy | 300 BPS semi-annually | 9/20/10 | 350 | (32 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 2.25% 3/31/30 | Buy | 54 BPS semi-annually | 10/20/07 | 500 | (3 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75% 6/24/28 | Buy | 61 BPS semi-annually | 10/20/07 | 500 | (4 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28% 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 400 | 24 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Brazil, 12.25% 3/6/30 | Buy | 290 BPS semi-annually | 10/20/10 | 400 | (34 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65% 6/11/13 | Sell | 190 BPS semi-annually | 7/20/10 | 500 | 9 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65% 6/11/13 | Sell | 170 BPS semi-annually | 8/20/10 | 750 | 6 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65% 6/11/13 | Sell | 176 BPS semi-annually | 9/20/10 | 400 | 7 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Colombia, 10.38% 1/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 1,100 | (10 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Colombia, 10.38% 1/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 300 | (3 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Republic of Venezuela, 9.25% 9/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 300 | 4 | ||||||||||||||||||||
Morgan Stanley Capital Services | Republic of Venezuela, 9.25% 9//15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 1,100 | 14 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00% 3/31/30 | Buy | 64 BPS semi-annually | 9/20/10 | 400 | (4 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00% 3/31/30 | Buy | 75 BPS semi-annually | 8/20/10 | 750 | (9 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00% 3/31/30 | Buy | 90 BPS semi-annually | 7/20/10 | 500 | (10 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00% 3/31/30 | Sell | 101 BPS semi-annually | 7/20/10 | 2,000 | 48 | ||||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50% 4/8/33 | Buy | 96 BPS semi-annually | 7/20/10 | 2,000 | (47 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Government of Ukraine, 7.65% 6/11/13 | Sell | 184 BPS semi-annually | 8/20/10 | 300 | 7 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00% 3/31/30 | Buy | 90 BPS semi-annually | 8/20/10 | 300 | (7 | ) | |||||||||||||||||||
$ | (6 | ) |
AS OF FEBRUARY 28, 2006 (Unaudited)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 105.3% | ||||||||||
Preferred Stock — 0.3% | ||||||||||
Diversified Financial Services — 0.3% | ||||||||||
—(h) | Zurich RegCaPS Funding Trust, VAR, 6.01% (e) (Cost $457) | 456 | ||||||||
PRINCIPAL AMOUNT($) | ||||||||||
Asset Backed Securities — 27.3% | ||||||||||
1,501 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 4.97%, 02/15/12 (e) (m) | 1,504 | ||||||||
Ameriquest Mortgage Securities, Inc. | ||||||||||
550 | Series 2004-R11, Class M1, FRN, 5.19%, 11/25/34 (m) | 553 | ||||||||
500 | Series 2005-R2, Class M2, FRN, 5.01%, 04/25/35 (m) | 501 | ||||||||
400 | Asset Backed Funding Certificates, Series 2005-HE1, Class M2, FRN, 4.97%, 02/25/35 (m) | 401 | ||||||||
350 | Bear Stearns Asset Backed Securities, Inc., Series 2005-HE3, Class M1, FRN, 4.96%, 03/25/35 (m) | 351 | ||||||||
1,650 | Capital One Multi-Asset Execution Trust, Series 2003-A, FRN, 5.72%, 12/15/10 (i) | 1,686 | ||||||||
437 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 4.75%, 01/15/11 (e) (m) | 438 | ||||||||
Centex Home Equity | ||||||||||
278 | Series 2004-B, Class AV1, FRN, 4.73%, 03/25/34 (m) | 278 | ||||||||
451 | Series 2004-C, Class AV2, FRN, 4.78%, 06/25/34 (m) | 451 | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||
2,050 | Series 2003-C2, Class C2, FRN, 5.50%, 03/20/08 (m) | 2,051 | ||||||||
2,900 | Series 2004-B1, Class B1, FRN, 4.71%, 05/20/11 (m) | 2,908 | ||||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||||
1,156 | Series 2003-HE3, Class A, FRN, 4.91%, 12/25/33 (m) | 1,159 | ||||||||
1,250 | Series 2005-OPT1, Class A1B, FRN, 4.74%, 02/25/35 (m) | 1,251 | ||||||||
1,050 | Series 2005-OPT4, Class M2, FRN, 4.96%, 07/25/35 (m) | 1,051 | ||||||||
900 | Series 2006-WMC1, Class A2C, FRN, 4.77%, 12/25/35 (m) | 900 | ||||||||
Countrywide Asset-Backed Certificates | ||||||||||
348 | Series 2004-6, Class 2A4, FRN, 4.98%, 11/25/34 (m) | 349 | ||||||||
200 | Series 2005-BC1, Class M1, FRN, 4.94%, 03/25/35 (m) | 200 |
PRINCIPAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
200 | Series 2005-BC1, Class M2, FRN, 4.97%, 05/25/35 (m) | 200 | ||||||||
Countrywide Home Equity Loan Trust | ||||||||||
1,520 | Series 2003-C, Class A, FRN, 4.74%, 05/15/29 (m) | 1,522 | ||||||||
900 | Series 2004-BC1, Class M1, FRN, 5.03%, 02/25/34 (m) | 903 | ||||||||
1,140 | Fifth Third Home Equity Loan Trust, Series 2003-1, Class A, FRN, 4.74%, 09/20/23 (m) | 1,141 | ||||||||
1,084 | Fleet Home Equity Trust, Series 2003-1, Class A, FRN, 4.74%, 01/20/33 (m) | 1,085 | ||||||||
700 | Ford Credit Floorplan Master Owner Trust, Series 2005-1A, Class A, FRN, 4.62%, 05/15/10 (m) | 700 | ||||||||
GE Corporate Aircraft Financing LLC | ||||||||||
118 | Series 2003-1A, Class A1, FRN, 4.70%, 06/25/10 (e) (m) | 118 | ||||||||
951 | Series 2004-1A, Class A1, FRN, 4.62%, 08/25/11 (e) (m) | 951 | ||||||||
950 | GMAC Mortgage Corp Loan Trust, Series 2004-HE4, Class A2, FRN, 4.72%, 03/25/35 (m) | 952 | ||||||||
180 | Greenpoint Home Equity Loan Trust, Series 2003-1, Class A, FRN, 4.74%, 04/15/29 (m) | 180 | ||||||||
141 | Household Automotive Trust, Series 2002-3, Class A4B, FRN, 4.81%, 05/18/09 | 141 | ||||||||
Long Beach Mortgage Loan Trust | ||||||||||
2,050 | Series 2003-4, Class M1, FRN, 5.21%, 08/25/33 | 2,057 | ||||||||
450 | Series 2005-1, Class 2A2, FRN, 4.78%, 02/25/35 | 450 | ||||||||
765 | MASTR Asset Backed Securities Trust, Series 2006-CI14, Class N1, 6.00%, 07/26/35 | 765 | ||||||||
Morgan Stanley ABS Capital I | ||||||||||
150 | Series 2005-HE2, Class M3, FRN, 5.01%, 01/25/35 | 150 | ||||||||
100 | Series 2005-HE2, Class M4, FRN, 5.16%, 01/25/35 | 100 | ||||||||
550 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, FRN, 5.15%, 11/25/34 | 553 | ||||||||
Option One Mortgage Loan Trust | ||||||||||
175 | Series 2002-1, Class A3, FRN, 4.82%, 02/25/32 | 175 | ||||||||
300 | Series 2005-2, Class M1, FRN, 4.97%, 05/25/35 | 300 | ||||||||
550 | Park Place Securities, Inc., Series 2004-WHQ2, Class M2, FRN, 5.16%, 02/25/35 | 552 | ||||||||
2,400 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, FRN, 4.76%, 02/25/34 | 2,402 | ||||||||
Residential Asset Securities Corp. | ||||||||||
49 | Series 2003-KS11, Class A11B, FRN, 4.83%, 01/25/34 | 49 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Asset Backed Securities — Continued | ||||||||||
350 | Series 2005-KS11, Class M2, FRN, 4.95%, 12/25/35 | 350 | ||||||||
437 | Residential Funding Mortgage Securities II, Series 2003-HS4, Class A1B, FRN, 4.79%, 01/25/29 | 437 | ||||||||
77 | RMAC plc (United Kingdom), Series 2004-NS1A, Class A1B, FRN, 4.59%, 12/12/20 (e) | 77 | ||||||||
Securitized Asset Backed Receivables LLC Trust | ||||||||||
1,700 | Series 2006-OP1, Class A2B, FRN, 4.67%, 10/25/35 | 1,700 | ||||||||
500 | Series 2005-OP1, Class M2, FRN, 4.98%, 01/25/35 | 501 | ||||||||
224 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class N1, 5.68%, 12/25/35 (e) | 224 | ||||||||
1,341 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, FRN, 4.75%, 06/25/34 (e) | 1,342 | ||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, FRN, 4.88%, 01/23/11 (e) | 1,000 | ||||||||
Total Asset Backed Securities (Cost $37,086) | 37,109 | |||||||||
Collateralized Mortgage Obligations — 26.2% | ||||||||||
Agency CMO — 3.6% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
2,644 | Series 2638, ClassKI, IO, 5.00%, 11/15/27 (m) | 316 | ||||||||
3,180 | Series 2645, Class SB, FRN, IO, 2.63%, 07/15/27 (m) | 189 | ||||||||
1,343 | Series 2827, Class AS, FRN, IO, 2.63%, 06/15/22 (m) | 70 | ||||||||
2,251 | Series 2928, Class IN, IO, 5.00%, 10/15/24 (m) | 222 | ||||||||
1,844 | Series 2975, Class IO, IO, 5.50%, 06/15/26 (m) | 212 | ||||||||
3,829 | Federal Home Loan Mortgage Corp. Series 364, Class 6, IO, 5.00%, 11/01/35 (m) | 812 | ||||||||
Federal National Mortgage Association | ||||||||||
5,000 | Series 2002-81, Class SJ, FRN, IO, 2.97%, 04/25/32 (m) | 497 | ||||||||
2,779 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 288 | ||||||||
2,000 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 (m) | 204 | ||||||||
Federal National Mortgage Association Grantor Trust | ||||||||||
353 | Series 2002-36, Class FS, FRN, 5.03%, 06/25/32 (m) | 357 | ||||||||
526 | Series 2002-36, Class FT, FRN, 5.03%, 06/25/32 (m) | 532 | ||||||||
91 | Federal National Mortgage Association Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 21 | ||||||||
1,122 | Federal National Mortgage Association Whole Loan Series 2003-121, Class FC, FRN, 4.93%, 02/25/28 (m) | 1,127 | ||||||||
4,847 | ||||||||||
Non-Agency CMO — 22.6% | ||||||||||
Adjustable Rate Mortgage Trust | ||||||||||
1,276 | Series 2004-5, Class 7A2, FRN, 4.91%, 04/25/35 (m) | 1,273 | ||||||||
1,474 | Series 2005-1, Class 5A2, FRN, 4.86%, 05/25/35 (m) | 1,470 | ||||||||
638 | Series 2005-8, Class 7A2, FRN, 4.81%, 11/25/35 (m) | 640 | ||||||||
723 | Series 2005-11, Class 5A1, FRN, 4.80%, 02/25/36 (m) | 725 | ||||||||
1,314 | Countrywide Alternative Loan Trust, Series 2005-9CB, Class 1A1, FRN, 5.03%, 05/25/35 (m) | 1,306 | ||||||||
108 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2002-31, Class A3, 5.75%, 01/25/33 (m) | 108 | ||||||||
776 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, FRN, 4.81%, 08/19/45 (m) | 778 | ||||||||
1,920 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 4.88%, 01/25/35 (e) (m) | 1,928 | ||||||||
Harborview Mortgage Loan Trust | ||||||||||
747 | Series 2005-3, Class 2A1A, FRN, 4.72%, 06/19/35 (m) | 748 | ||||||||
1,462 | Series 2005-8, Class 1A2A, FRN, 4.81%, 09/19/35 (m) | 1,465 | ||||||||
1,773 | Series 2005-15, Class 2A11, FRN, 4.76%, 10/20/45 (m) | 1,777 | ||||||||
Indymac Index Mortgage Loan Trust | ||||||||||
1,459 | Series 2004-AR7, Class A1, FRN, 4.97%, 09/25/34 | 1,469 | ||||||||
458 | Series 2004-AR8, Class 2A1, FRN, 4.94%, 11/25/34 | 462 | ||||||||
1,550 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 | 1,542 | ||||||||
Lehman XS Trust | ||||||||||
2,037 | Series 2006-2N, Class 1A1, FRN, 4.80%, 02/25/46 | 2,037 | ||||||||
965 | Series 2005-2, Class 1A1, FRN, 4.81%, 08/25/35 | 967 | ||||||||
1,140 | Series 2005-7N, Class 1A1A, FRN, 4.80%, 11/25/35 | 1,144 | ||||||||
1,695 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, FRN, 4.85%, 10/25/35 | 1,702 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Non-Agency CMO — Continued | ||||||||||
Thornburg Mortgage Securities Trust | ||||||||||
857 | Series 2003-2, Class A1, FRN, 4.87%, 04/25/43 | 858 | ||||||||
1,597 | Series 2004-3, Class A, FRN, 4.90%, 09/25/34 | 1,605 | ||||||||
2,667 | Wamu Alternative Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1A, FRN, 4.78%, 02/25/36 | 2,668 | ||||||||
Washington Mutual, Inc. | ||||||||||
2,001 | Series 2005-AR13, Class A1A1, FRN, 4.82%, 10/25/45 | 2,010 | ||||||||
2,130 | Series 2005-AR9, Class A1A, FRN, 4.85%, 07/25/45 | 2,137 | ||||||||
30,819 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $35,531) | 35,666 | |||||||||
Commercial Mortgage Backed Securities — 3.6% | ||||||||||
1,427 | CalSTRS Trust, Series 2002-C6, Class A1, FRN, 4.79%, 11/20/12 (e) (m) | 1,430 | ||||||||
850 | Calwest Industrial Trust, Series 2003-CALA, Series A, FRN, 4.74%, 06/15/15 (e) (m) | 850 | ||||||||
998 | CR, Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) | 1,023 | ||||||||
135 | GS Mortgage Securities Corp. II, Series 2003-FL6A, Class A1, FRN, 4.62%, 11/15/15 (e) (m) | 135 | ||||||||
1,450 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 1,396 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $4,932) | 4,834 | |||||||||
Corporate Bonds — 40.2% | ||||||||||
Automobiles — 1.0% | ||||||||||
1,300 | DaimlerChrysler N.A. Holding Corp., FRN, 5.21%, 10/31/08 (m) | 1,305 | ||||||||
Capital Markets — 0.6% | ||||||||||
750 | Lehman Brothers Holdings E-Capital Trust I, FRN, 5.15%, 08/19/65 (e) | 752 | ||||||||
Commercial Banks — 9.9% | ||||||||||
3,300 | Banco Santander Chile (Chile), FRN, 4.81%, 12/09/09 (e) (m) | 3,304 | ||||||||
3,200 | Deutsche Bank AG, FRN, 4.57%, 05/15/07 (m) | 3,199 | ||||||||
1,300 | ING Bank NV (Netherlands), FRN, 4.85%, 10/14/14 | 1,301 | ||||||||
Islandsbanki HF (Iceland) | ||||||||||
1,600 | FRN, 4.76%, 10/15/08 (e) | 1,601 | ||||||||
400 | FRN, 4.89%, 02/22/08 (e) | 400 | ||||||||
National Australia Bank Ltd. (Australia) | ||||||||||
700 | FRN, 4.76%, 08/29/13 | 702 | ||||||||
1,600 | FRN, 4.98%, 03/12/13 | 1,609 | ||||||||
1,000 | VAR, 4.80%, 06/23/14 | 1,004 | ||||||||
350 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 5.25%, 09/21/07 (e) | 351 | ||||||||
13,471 | ||||||||||
Communications Equipment — 0.3% | ||||||||||
400 | Cisco Systems Inc., FRN, 4.85%, 02/20/09 (m) | 400 | ||||||||
Consumer Finance — 1.5% | ||||||||||
2,000 | SLM Corp., FRN, 4.76%, 07/27/09 | 1,997 | ||||||||
Diversified Financial Services — 12.0% | ||||||||||
2,500 | CIT Group Holdings Inc., FRN, 4.81%, 01/30/09 (m) | 2,499 | ||||||||
Counts Trust | ||||||||||
1,400 | Series 2002-10, FRN, 5.12%, 08/15/07 (e) (i) | 1,409 | ||||||||
1,400 | Series 2002-11, FRN, 5.17%, 08/15/07 (e) (i) | 1,409 | ||||||||
500 | Ford Motor Credit Co., FRN, 5.45%, 03/21/07 (m) | 493 | ||||||||
500 | International Lease Finance Corp., VAR, 6.98%, 10/15/14 | 505 | ||||||||
2,100 | Links Finance LLC, FRN, 4.74%, 09/15/08 (e) (i) | 2,100 | ||||||||
RACERS | ||||||||||
2,000 | Series 2005-7, Class C, FRN 4.37%, 05/09/06 (e) (i) | 1,999 | ||||||||
1,700 | Series 2005-16, Class C, FRN, 4.49%, 09/20/07 (e) (i) | 1,695 | ||||||||
700 | Residential Capital Corp., FRN, 5.67%, 11/21/08 | 705 | ||||||||
1,700 | Sigma Finance Corp. (Cayman Islands), FRN, 4.01%, 09/15/08 (e) (i) | 1,700 | ||||||||
1,200 | Twin Reefs Pass-Through Trust, FRN, 5.42%, 12/31/49 (e) | 1,200 | ||||||||
600 | ZFS Finance USA Trust I, FRN, 5.65%, 12/15/65 (e) | 620 | ||||||||
16,334 | ||||||||||
Diversified Telecommunication Services — 1.0% | ||||||||||
400 | Sprint Capital Corp., SUB, 4.78%, 08/17/06 (m) | 399 | ||||||||
1,000 | Verizon Global Funding Corp., FRN, 4.88%, 08/15/07 | 1,000 | ||||||||
1,399 | ||||||||||
Electric Utilities — 2.2% | ||||||||||
900 | Appalachian Power Co., FRN, 4.85%, 06/29/07 (m) | 902 | ||||||||
750 | Dominion Resources Inc., FRN, 4.82%, 09/28/07 (m) | 751 | ||||||||
500 | Pepco Holdings, Inc., FRN, 5.03%, 06/01/10 | 503 | ||||||||
850 | PSEG Funding Trust I, 5.38%, 11/16/07 | 848 | ||||||||
3,004 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Insurance — 4.4% | ||||||||||
2,400 | ASIF Global Financing, FRN, 4.74%, 03/14/08 (e) | 2,405 | ||||||||
1,950 | Oil Insurance Ltd. (Bermuda), VAR, 4.74%, 10/06/06 (e) (i) | 1,950 | ||||||||
1,550 | Two-Rock Pass Through Trust (Bermuda), FRN, 5.27%, 12/31/49 (e) | 1,540 | ||||||||
5,895 | ||||||||||
Property & Casualty Insurance — 0.9% | ||||||||||
1,250 | Chubb Corp., 4.93%, 11/16/07 (m) | 1,244 | ||||||||
Real Estate — 3.6% | ||||||||||
300 | Duke Realty LP, FRN, 4.76%, 12/22/06 REIT (m) | 300 | ||||||||
1,000 | iStar Financial, Inc., FRN, 4.83%, 03/03/08 REIT | 1,002 | ||||||||
900 | Kimco Realty Corp., FRN, 4.88%, 08/01/06 REIT (m) | 900 | ||||||||
2,700 | Westfield Capital Corp Ltd. (Australia), FRN, 4.98%, 11/02/07 (e) | 2,707 | ||||||||
4,909 | ||||||||||
Software — 1.0% | ||||||||||
1,400 | Oracle Corp and Ozark Holding Inc., FRN, 4.81%, 01/13/09 (e) | 1,400 | ||||||||
Thrifts & Mortgage Finance — 1.8% | ||||||||||
2,200 | Countrywide Financial Corp., FRN, 4.77%, 12/19/08 (m) | 2,203 | ||||||||
300 | Sovereign Bancorp, Inc., FRN, 4.69%, 03/01/09 (e) | 300 | ||||||||
2,503 | ||||||||||
Total Corporate Bonds (Cost $54,575) | 54,613 | |||||||||
Municipal Bond — 0.1% | ||||||||||
North Carolina — 0.1% | ||||||||||
200 | Wake Forest University, VAR, 4.57%, 07/01/17 (Cost $200) | 200 | ||||||||
Mortgage Pass-Through Securities — 7.0% | ||||||||||
Federal National Mortgage Association Pool | ||||||||||
2,050 | 5.50%, 03/25/36, TBA (m) | 2,030 | ||||||||
3,700 | 6.00%, 03/25/36, TBA (m) | 3,734 | ||||||||
3,750 | 6.00%, 04/25/36, TBA (m) | 3,780 | ||||||||
Total Mortgage Pass-Through Securities (Cost $9,487) | 9,544 | |||||||||
U.S. Treasury Obligations — 0.6% | ||||||||||
412 | U.S. Treasury Inflation Indexed Bonds, 1.63%, 01/15/15 | 400 | ||||||||
U.S. Treasury Notes | ||||||||||
150 | 4.50%, 02/15/36 (m) | 150 | ||||||||
225 | 5.38%, 02/15/31 (m) | 250 | ||||||||
Total U.S. Treasury Obligations (Cost $792) | 800 | |||||||||
Total Long-Term Investments (Cost $143,060) | 143,222 | |||||||||
NUMBER OF CONTRACTS | ||||||||||
Options Purchased — 0.0% (g) | ||||||||||
Call Option Purchased — 0.0% (g) | ||||||||||
— | (h) | U.S. 5 Year Treasury Note, expiring 03/24/06 @ $106.00, American Style. | 1 | |||||||
Put Option Purchased — 0.0% (g) | ||||||||||
— | (h) | 90 Day Euro-Dollar, expiring 06/19/06 @ $95.13, American Style. | 30 | |||||||
Total Options Purchased (Cost $16) | 31 | |||||||||
SHARES | ||||||||||
Short-Term Investments — 1.4% | ||||||||||
Investment Company — 1.2% | ||||||||||
1,593 | JPMorgan Prime Money Market Fund (b) (m) | 1,593 | ||||||||
PRINCIPAL AMOUNT($) | ||||||||||
U.S. Treasury Obligations — 0.2% | ||||||||||
260 | U.S. Treasury Bill, 3.95%, 03/23/06 (k) (m) (n) | 259 | ||||||||
Total Short-Term Investments (Cost $1,852) | 1,852 | |||||||||
Total Investments — 106.7% (Cost $144,928) | 145,105 | |||||||||
Liabilities in Excess of Other Assets — (6.7)% | (9,101 | ) | ||||||||
NET ASSETS — 100.0% | 136,004 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
71 | Euro-Dollars | March, 2006 | 16,883 | (13 | ) | |||||||||||||
28 | Euro-Dollars | June, 2006 | 6,645 | 2 | ||||||||||||||
51 | 2 Year U.S. Treasury Notes | June, 2006 | 10,423 | 11 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(25) | 5 Year U.S. Treasury Notes | June, 2006 | (2,630 | ) | (3 | ) | ||||||||||||
(10) | Euro-Dollars | March, 2007 | (2,375 | ) | — | (h) | ||||||||||||
(10) | Euro-Dollars | June, 2007 | (2,376 | ) | — | (h) | ||||||||||||
(12) | 10 Year U.S. Treasury Notes | June, 2006 | (1,295 | ) | (3 | ) | ||||||||||||
(10) | Euro-Dollars | December, 2007 | (2,377 | ) | — | (h) | ||||||||||||
(10) | Euro-Dollars | March, 2008 | (2,377 | ) | — | (h) | ||||||||||||
(6 | ) |
(Amounts in thousands, except number of contracts)
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year Euro-Dollar, American Style | $ | 95.00 | 06/16/06 | 53 | $ | (9 | ) | $ | (17 | ) | ||||||||||||
90 Day Euro-Dollar, American Style | 94.88 | 06/19/06 | 53 | (3 | ) | (8 | ) | |||||||||||||||
(12 | ) | (25 | ) |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.09% semi-annually | 5/15/08 | $ | 2,700 | $ | (1 | ) | ||||||||||||||
Lehman Brothers Special Financing | 5.09% semi-annually | 3 month LIBOR quarterly | 5/15/16 | 1,750 | (2 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.12% semi-annually | 5/15/36 | 550 | 3 | |||||||||||||||||
$ | — |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing (b) | 30 YR FNMA, 5.5%, TBA, 3/06 | 98.64 | 3/6/06 | $ | 6,500 | $ | (21 | ) |
(b) | Fund pays the excess of the price lock over the market price and receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2006 (Unaudited)
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 94.2% | ||||||||||
Asset Backed Securities — 1.3% | ||||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||
10 | Series 2003-CF, Class A4, 3.48%, 05/06/10 (m) | 10 | ||||||||
15 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 15 | ||||||||
10 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 10 | ||||||||
25 | Capital Auto Receivables Asset Trust, Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 24 | ||||||||
10 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 10 | ||||||||
15 | Citibank Credit Card Issuance Trust, Series 2001-A6, Class A6, 5.65%, 06/16/08 (m) | 15 | ||||||||
15 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 15 | ||||||||
75 | Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 73 | ||||||||
10 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 | 10 | ||||||||
Onyx Acceptance Grantor Trust | ||||||||||
13 | Series 2003-C, Class A4, 2.66%, 05/17/10 | 12 | ||||||||
10 | Series 2003-D, Series A4, 3.20%, 03/15/10 | 10 | ||||||||
3 | Option One Mortgage Loan Trust, Series 2003-5, Class A2, FRN, 4.90%, 08/25/33 | 3 | ||||||||
20 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 | 22 | ||||||||
Residential Asset Securities Corp. | ||||||||||
2 | Series 2002-KS4, Class AIIB, FRN, 4.83%, 07/25/32 | 2 | ||||||||
5 | Series 2003-KS5, Class AIIB, FRN, 4.87%, 07/25/33 | 5 | ||||||||
20 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 | 20 | ||||||||
9 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, FRN, 5.01%, 12/25/32 | 9 | ||||||||
15 | WFS Financial Owner Trust, Series 2003-4, Class A4, 3.15%, 05/20/11 | 15 | ||||||||
Total Asset Backed Securities (Cost $286) | 280 | |||||||||
Collateralized Mortgage Obligations — 1.0% | ||||||||||
Agency CMO — 0.9% | ||||||||||
814 | Federal National Mortgage Association, Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 191 | ||||||||
Non-Agency CMO — 0.1% | ||||||||||
1,770 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.91%, 06/25/20 (e) (m) | 9 | ||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, VAR, 97.96%, 07/28/27 (e) (m) | 1 | ||||||||
22 | MASTR Alternative Loans Trust Series 2004-13, Class 10A1, 8.00%, 01/25/35 | 22 | ||||||||
32 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $409) | 223 | |||||||||
Commercial Mortgage Backed Securities — 1.9% | ||||||||||
25 | Bear Stearns Commercial Mortgage Securities, Series 2004-PWR6, Class A4, 4.52% 11/11/41 (m) | 24 | ||||||||
150 | CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A3, 6.38%, 12/16/35 (m) | 156 | ||||||||
Greenwich Capital Commercial Funding Corp. | ||||||||||
45 | Series 2003-C1, Class A4, 4.11%, 07/05/35 | 42 | ||||||||
40 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 | 39 | ||||||||
40 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 | 38 | ||||||||
60 | LB-UBS Commercial Mortgage Trust, Series 2001-C2, Class A2, 6.65%, 11/15/27 | 64 | ||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 | 20 | ||||||||
40 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 | 39 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $419) | 422 | |||||||||
Corporate Bonds — 28.6% | ||||||||||
Aerospace & Defense — 0.3% | ||||||||||
15 | General Dynamics Corp., 2.13%, 05/15/06 (m) | 15 | ||||||||
L-3 Communications Corp. | ||||||||||
10 | 5.88%, 01/15/15 | 9 | ||||||||
40 | 6.38%, 10/15/15 | 40 | ||||||||
64 | ||||||||||
Auto Components — 0.4% | ||||||||||
5 | Rexnord Corp., 10.13%, 12/15/12 | 5 | ||||||||
35 | Tenneco Automotive, Inc., 8.63%, 11/15/14 | 35 | ||||||||
30 | TRW Automotive, Inc., 11.00%, 02/15/13 | 34 | ||||||||
15 | United Components, Inc., 9.38%, 06/15/13 | 15 | ||||||||
89 |
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Automobiles — 0.3% | ||||||||||
Ford Motor Credit Co. | ||||||||||
20 | 7.00%, 10/01/13 (m) | 18 | ||||||||
65 | FRN, 6.17%, 01/15/10 (m) | 58 | ||||||||
76 | ||||||||||
Building Products — 0.1% | ||||||||||
30 | Jacuzzi Brands, Inc., 9.63%, 07/01/10 | 32 | ||||||||
Capital Markets — 2.1% | ||||||||||
35 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 35 | ||||||||
170 | Morgan Stanley, 4.75%, 04/01/14 | 162 | ||||||||
220 | OAO Gazprom, 9.63%, 03/01/13 (e) | 266 | ||||||||
15 | Nell AF SARL (Luxembourg), 8.38%, 08/15/15 (e) | 15 | ||||||||
478 | ||||||||||
Chemicals — 0.8% | ||||||||||
10 | Huntsman International LLC, 7.87%, 01/01/15 (e) | 10 | ||||||||
25 | Huntsman LLC, 11.50%, 07/15/12 | 29 | ||||||||
20 | Ineos Group Holdings (United Kingdom) plc, 8.50%, 02/15/16 (e) | 20 | ||||||||
40 | Lyondell Chemical Co., 10.50%, 06/01/13 | 45 | ||||||||
15 | Nalco Co., 7.75%, 11/15/11 | 15 | ||||||||
PolyOne Corp. | ||||||||||
20 | 8.88%, 05/01/12 | 20 | ||||||||
10 | 10.63%, 05/15/10 | 11 | ||||||||
Terra Capital, Inc. | ||||||||||
5 | 11.50%, 06/01/10 | 5 | ||||||||
25 | 12.88%, 10/15/08 | 29 | ||||||||
184 | ||||||||||
Commercial Banks — 0.5% | ||||||||||
20 | ANZ Capital Trust, 5.36%, 12/31/49 (e) (m) | 19 | ||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) | 10 | ||||||||
5 | ForeningsSparbanken AB (Sweden), VAR, 9.00%, 12/31/49 (e) | 6 | ||||||||
30 | HSBC Capital Funding LP/Jersey Channel Islands (Jersey), VAR, 9.55%, 12/31/49 (e) | 35 | ||||||||
15 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) | 14 | ||||||||
5 | RBS Capital Trust I, VAR, 6.42%, 12/29/49 | 5 | ||||||||
20 | Suntrust Bank, 2.50%, 11/01/06 (m) | 20 | ||||||||
109 | ||||||||||
Commercial Services & Supplies — 0.5% | ||||||||||
70 | Allied Waste North America, Series B7, 7.38%, 04/15/14 (m) | 69 | ||||||||
30 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 30 | ||||||||
25 | United Rentals North America, Inc., 6.50%, 02/15/12 | 25 | ||||||||
124 | ||||||||||
Consumer Finance — 1.2% | ||||||||||
American General Finance Corp. | ||||||||||
25 | Series H,3.00%, 11/15/06 (m) | 25 | ||||||||
5 | Series H,4.50%, 11/15/07 (m) | 5 | ||||||||
75 | General Motors Acceptance Corp., 6.88%, 08/28/12 (m) | 67 | ||||||||
140 | 5.38%, 05/15/14 | 139 | ||||||||
35 | 5.63%, 04/10/07 | 35 | ||||||||
271 | ||||||||||
Containers & Packaging — 0.7% | ||||||||||
20 | AEP Industries, Inc., 7.88%, 03/15/13 (m) | 20 | ||||||||
25 | Crown Americas LLC, 7.75%, 11/15/15 (i) (m) | 26 | ||||||||
Graphic Packaging International Corp. | ||||||||||
25 | 8.50%, 08/15/11 (m) | 25 | ||||||||
15 | 9.50%, 08/15/13 | 14 | ||||||||
20 | Group 1 Automotive, Inc., 8.25%, 08/15/13 | 20 | ||||||||
25 | Jefferson Smurfit Corp. US, 7.50%, 06/01/13 | 23 | ||||||||
35 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 | 37 | ||||||||
165 | ||||||||||
Diversified Consumer Services — 0.1% | ||||||||||
Service Corp. International, | ||||||||||
15 | 6.75%, 04/01/16 | 15 | ||||||||
Diversified Financial Services — 5.8% | ||||||||||
200 | Citigroup, Inc., 5.00%, 09/15/14 (m) | 196 | ||||||||
29 | Consolidated Communications Holdings, Inc., 9.75%, 04/01/12 (m) | 31 | ||||||||
960 | Core Investment Grade Bond Trust I, 4.66%, 11/30/07 (m) | 943 | ||||||||
5 | National Rural Utilities Cooperative Finance Corp., 6.50%, 03/01/07 (m) | 5 | ||||||||
5 | Prudential Holdings LLC, 8.70%, 12/18/23 (e) | 6 | ||||||||
55 | UGS Corp., 10.00%, 06/01/12 | 60 | ||||||||
45 | Visant Corp., 7.63%, 10/01/12 | 46 | ||||||||
1,287 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Diversified Telecommunication Services — 2.3% | ||||||||||
20 | BellSouth Corp., 6.00%, 11/15/34 (m) | 20 | ||||||||
40 | Citizens Communications Co., 6.25%, 01/15/13 (m) | 39 | ||||||||
France Telecom S.A. (France) | ||||||||||
15 | 7.75%, 03/01/11 (m) | 17 | ||||||||
10 | 8.50%, 03/01/31 (m) | 13 | ||||||||
30 | Insight Midwest LP/Insight Capital, Inc., 10.50%, 11/01/10 | 32 | ||||||||
30 | Qwest Communications International, Inc., FRN, 8.25%, 02/15/09 | 31 | ||||||||
10 | Qwest Corp., 8.87%, 03/15/12 | 11 | ||||||||
75 | Royal KPN NV (Netherlands), 8.00%, 10/01/10 | 81 | ||||||||
55 | Sprint Capital Corp., 6.90%, 05/01/19 | 60 | ||||||||
180 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 198 | ||||||||
20 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) | 21 | ||||||||
523 | ||||||||||
Electric Utilities — 0.6% | ||||||||||
10 | Alabama Power Co., Series Y, 2.80%, 12/01/06 (m) | 10 | ||||||||
50 | Dominion Resources, Inc., 6.30%, 03/15/33 (m) | 51 | ||||||||
5 | DTE Energy Co., 6.38%, 04/15/33 (m) | 5 | ||||||||
15 | FPL Group Capital, Inc., 7.63%, 09/15/06 (m) | 15 | ||||||||
Inergy Finance Corp. | ||||||||||
5 | 6.88%, 12/15/14 | 5 | ||||||||
10 | 8.25%, 03/01/16 (e) | 10 | ||||||||
10 | Pacificorp, 4.30%, 09/15/08 | 10 | ||||||||
Sierra Pacific Resources | ||||||||||
25 | 8.63%, 03/15/14 | 27 | ||||||||
5 | 6.75%, 08/15/17 (e) | 5 | ||||||||
138 | ||||||||||
Electronic Equipment & Instruments — 0.1% | ||||||||||
15 | Celestica, Inc. (Canada), 7.88%, 07/01/11 (m) | 15 | ||||||||
Energy Equipment & Services — 0.2% | ||||||||||
25 | Hanover Compressor Co., 9.00%, 06/01/14 | 27 | ||||||||
5 | Transocean, Inc. (Cayman Islands), 7.50%, 04/15/31 | 7 | ||||||||
34 | ||||||||||
Gas Utilities — 0.0% (g) | ||||||||||
5 | Copano Energy LLC, 8.13%, 03/01/16 (e) (m) | 5 | ||||||||
Health Care Equipment & Supplies — 0.1% | ||||||||||
25 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 26 | ||||||||
Health Care Providers & Services — 1.2% | ||||||||||
15 | Alderwoods Group, Inc., 7.75%, 09/15/12 (m) | 16 | ||||||||
25 | Extendicare Health Services, Inc., 6.88%, 05/01/14 (m) | 26 | ||||||||
HCA, Inc. | ||||||||||
5 | 6.50%, 02/15/16 | 5 | ||||||||
60 | 6.75%, 07/15/13 | 61 | ||||||||
700 | Mariner Health Group, Inc., 9.50%, 04/01/06 (d) (m) | — | (h) | |||||||
45 | Select Medical Corp., 7.63%, 02/01/15 | 38 | ||||||||
40 | 7.00%, 06/15/17 (e) | 41 | ||||||||
35 | Stewart Enterprises, Inc., 7.75%, 02/15/13 (e) | 34 | ||||||||
30 | Tenet Healthcare Corp., 9.50%, 02/01/15 (e) | 30 | ||||||||
15 | Triad Hospitals, Inc., 7.00%, 11/15/13 | 15 | ||||||||
266 | ||||||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||||
50 | ITT Corp., 7.38%, 11/15/15 | 55 | ||||||||
70 | MGM Mirage, 6.75%, 09/01/12 | 71 | ||||||||
45 | Vail Resorts, Inc., 6.75%, 02/15/14 | 45 | ||||||||
171 | ||||||||||
Household Durables — 0.7% | ||||||||||
25 | ALH Finance LLC/ALH Finance Corp., 8.50%, 01/15/13 (m) | 24 | ||||||||
20 | Ames True Temper, FRN, 8.60%, 01/15/12 (m) | 19 | ||||||||
Beazer Homes USA, Inc. | ||||||||||
10 | 6.50%, 11/15/13 (m) | 10 | ||||||||
35 | 6.88%, 07/15/15 (m) | 34 | ||||||||
5 | 8.38%, 04/15/12 (m) | 5 | ||||||||
35 | DR Horton, Inc., 5.25%, 02/15/15 (m) | 32 | ||||||||
35 | Sealy Mattress Co., 8.25%, 06/15/14 | 37 | ||||||||
161 | ||||||||||
Household Products — 0.6% | ||||||||||
40 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 37 | ||||||||
45 | Gregg Appliances, Inc., 9.00%, 02/01/13 | 42 | ||||||||
60 | Spectrum Brands, Inc., 7.38%, 02/01/15 | 52 | ||||||||
131 | ||||||||||
Independent Power Producers & Energy Traders — 0.1% | ||||||||||
15 | NRG Energy, Inc., 7.25%, 02/01/14 | 15 | ||||||||
Industrial Conglomerates — 0.2% | ||||||||||
35 | Covalence Specialty Materials Corp., 10.25%, 03/01/16 (e) (m) | 36 |
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Insurance — 1.2% | ||||||||||
20 | Aspen Insurance Holdings Ltd. (Bermuda), 6.00%, 08/15/14 (m) | 20 | ||||||||
210 | ING Capital Funding Trust III, VAR, 8.44%, 12/31/49 | 236 | ||||||||
20 | Monumental Global Funding II, 3.90%, 06/15/09 (e) | 19 | ||||||||
275 | ||||||||||
Internet & Catalog Retail — 0.1% | ||||||||||
20 | Brookstone Co., Inc., 12.00%, 10/15/12 (e) (m) | 19 | ||||||||
IT Services — 0.3% | ||||||||||
35 | Iron Mountain, Inc. 7.75%, 01/15/15 | 36 | ||||||||
20 | Sungard Data Systems, Inc., 9.13%, 08/15/13 (e) | 21 | ||||||||
10 | Unisys Corp., 8.00%, 10/15/12 | 10 | ||||||||
67 | ||||||||||
Leisure Equipment & Products — 0.0% (g) | ||||||||||
5 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) | 5 | ||||||||
Machinery — 0.2% | ||||||||||
50 | Terex Corp., 7.38%, 01/15/14 | 52 | ||||||||
Media — 3.1% | ||||||||||
25 | Cablevision Systems Corp., 8.00%, 04/15/12 (m) | 25 | ||||||||
35 | CanWest Media, Inc. (Canada), 8.00%, 09/15/12 | 36 | ||||||||
65 | Charter Communications Operating LLC/ Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 65 | ||||||||
115 | Comcast Corp., 4.95%, 06/15/16 (m) | 107 | ||||||||
10 | CSC Holdings, Inc., 7.63%, 07/15/18 (m) | 10 | ||||||||
85 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 71 | ||||||||
50 | DirecTV Holdings LLC, 6.38%, 06/15/15 (m) | 50 | ||||||||
Echostar DBS Corp. | ||||||||||
45 | 6.38%, 10/01/11 (m) | 44 | ||||||||
15 | 7.13%, 02/01/16 (i) (m) | 15 | ||||||||
15 | Houghton Mifflin Co., 9.88%, 02/01/13 | 16 | ||||||||
25 | Lodgenet Entertainment Corp., 9.50%, 06/15/13 | 27 | ||||||||
5 | News America, Inc., 6.20%, 12/15/34 | 5 | ||||||||
20 | Quebecor Media, Inc. (Canada), 7.75%, 03/15/16 (e) | 20 | ||||||||
30 | RH Donnelley Finance Corp. I, 10.88%, 12/15/12 (e) | 34 | ||||||||
25 | RH Donnelley, Inc., 8.88%, 01/15/16 (e) | 26 | ||||||||
30 | Sun Media Corp. (Canada), 7.63%, 02/15/13 | 31 | ||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 | 11 | ||||||||
10 | Time Warner Entertainment Co. LP, 8.38%, 03/15/23 | 12 | ||||||||
15 | Vertis, Inc., 9.75%, 04/01/09 | 16 | ||||||||
25 | Videotron Ltee (Canada), 6.88%, 01/15/14 | 26 | ||||||||
40 | Warner Music Group, 7.38%, 04/15/14 | 40 | ||||||||
687 | ||||||||||
Metals & Mining — 0.1% | ||||||||||
25 | Novelis, Inc. (Canada), 7.75%, 02/15/15 (e) | 24 | ||||||||
Multi-Utilities — 0.4% | ||||||||||
25 | AES Corp. (The), 8.88%, 02/15/11 (m) | 27 | ||||||||
15 | Dominion Resources, Inc., Series A, 8.13%, 06/15/10 (m) | 17 | ||||||||
20 | Dynegy Holdings, Inc., 10.13%, 07/15/13 (e) (m) | 23 | ||||||||
10 | PSEG Power LLC, 8.63%, 04/15/31 | 13 | ||||||||
80 | ||||||||||
Office Electronics — 0.1% | ||||||||||
20 | Xerox Corp., 7.63%, 06/15/13 | 21 | ||||||||
Oil, Gas & Consumable Fuels — 1.0% | ||||||||||
5 | Alberta Energy Co., Ltd. (Canada), 7.38%, 11/01/31 (m) | 6 | ||||||||
15 | BP Capital Markets plc (United Kingdom), 2.75%, 12/29/06 (m) | 15 | ||||||||
Chesapeake Energy Corp. | ||||||||||
5 | 6.50%, 08/15/17 (m) | 5 | ||||||||
5 | 6.50%, 08/15/17 (m) | 5 | ||||||||
40 | 7.00%, 08/15/14 (m) | 42 | ||||||||
30 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) | 31 | ||||||||
Kinder Morgan Energy Partners LP | ||||||||||
5 | 5.13%, 11/15/14 | 5 | ||||||||
10 | 7.40%, 03/15/31 | 11 | ||||||||
18 | Pemex Project Funding Master Trust, 6.63%, 06/15/35 | 18 | ||||||||
45 | Pogo Producing Co., 6.63%, 03/15/15 | 45 | ||||||||
15 | Whiting Petroleum Corp., 7.25%, 05/01/13 | 15 | ||||||||
15 | Williams Cos, Inc., 7.63%, 07/15/19 | 17 | ||||||||
215 | ||||||||||
Paper & Forest Products — 0.5% | ||||||||||
25 | Ainsworth Lumber Co., Ltd. (Canada), 7.25%, 10/01/12 (m) | 23 | ||||||||
75 | Georgia-Pacific Corp., 9.50%, 12/01/11 (m) | 82 | ||||||||
5 | International Paper Co., 5.85%, 10/30/12 | 5 | ||||||||
110 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Personal Products — 0.2% | ||||||||||
10 | DEL Laboratories, Inc., FRN, 9.68%, 11/01/11 (m) | 10 | ||||||||
311 | Drypers Corp., Series B, 10.25%, 06/15/07 (d) (m) | 3 | ||||||||
20 | Playtex Products, Inc., 8.00%, 03/01/11 | 21 | ||||||||
34 | ||||||||||
Real Estate — 0.1% | ||||||||||
30 | Host Marriott LP, 6.38%, 03/15/15 | 30 | ||||||||
Road & Rail — 0.2% | ||||||||||
Hertz Corp. | ||||||||||
20 | 8.88%, 01/01/14 (e) | 21 | ||||||||
5 | 10.50%, 01/01/16 (e) | 5 | ||||||||
Norfolk Southern Corp. | ||||||||||
2 | 5.59%, 05/17/25 | 2 | ||||||||
4 | 5.64%, 05/17/29 | 4 | ||||||||
3 | 7.25%, 02/15/31 | 4 | ||||||||
1 | 7.80%, 05/15/27 | 1 | ||||||||
37 | ||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||
16 | Advanced Micro Devices, Inc., 7.75%, 11/01/12 (m) | 17 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% | ||||||||||
35 | Russell Corp., 9.25%, 05/01/10 | 36 | ||||||||
Wireless Telecommunication Services — 1.2% | ||||||||||
25 | AirGate PCS, Inc., FRN, 8.35%, 10/15/11 (m) | 26 | ||||||||
20 | Intelsat Bermuda Ltd. (Bermuda), FRN, 9.61%, 01/15/12 (e) | 20 | ||||||||
New Cingular Wireless Services, Inc. | ||||||||||
10 | 7.88%, 03/01/11 (m) | 11 | ||||||||
75 | 8.13%, 05/01/12 (m) | 86 | ||||||||
10 | 8.75%, 03/01/31 (m) | 13 | ||||||||
15 | PanAmSat Corp., 9.00%, 08/15/14 | 16 | ||||||||
25 | PanAmSat Holding Corp., SUB, 0.00%, 11/01/14 | 18 | ||||||||
40 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | 40 | ||||||||
35 | Rural Cellular Corp., 8.25%, 03/15/12 | 37 | ||||||||
267 | ||||||||||
Total Corporate Bonds (Cost $7,289) | 6,391 | |||||||||
Foreign Government Securities — 19.1% | ||||||||||
Argentina — 1.4% | ||||||||||
Government of Argentina | ||||||||||
742 | VAR, 0.00%, 12/15/35 | 57 | ||||||||
75 | FRN, 4.89%, 08/03/12 | 62 | ||||||||
191 | 8.28%, 12/31/33 | 191 | ||||||||
310 | ||||||||||
Barbados — 0.1% | ||||||||||
25 | Barbados Government International Bond, 7.25%, 12/15/21 | 28 | ||||||||
Belgium — 0.1% | ||||||||||
EUR 25 | Kingdom of Belgium, 4.25%, 09/28/13 | 32 | ||||||||
Brazil — 0.9% | ||||||||||
Brazilian Government International Bond | ||||||||||
$45 | 8.75%, 02/04/25 | 54 | ||||||||
20 | 8.25%, 01/20/34 | 24 | ||||||||
Federal Republic of Brazil | ||||||||||
31 | FRN, 5.25%, 04/15/12 | 31 | ||||||||
20 | 8.88%, 10/14/19 | 24 | ||||||||
45 | 12.25%, 03/06/30 | 73 | ||||||||
206 | ||||||||||
Canada — 1.0% | ||||||||||
Government of Canada | ||||||||||
CAD 35 | 5.50%, 06/01/10 | 33 | ||||||||
CAD 10 | 8.00%, 06/01/27 | 13 | ||||||||
Province of Quebec | ||||||||||
$ 100 | 6.13%, 01/22/11 | 105 | ||||||||
50 | 7.50%, 09/15/29 | 65 | ||||||||
216 | ||||||||||
Colombia — 0.3% | ||||||||||
50 | Government of Colombia, 8.25%, 12/22/14 | 58 | ||||||||
Dominican Republic — 1.2% | ||||||||||
Dominican Republic | ||||||||||
190 | 9.04%, 01/23/18 (e) | 211 | ||||||||
62 | 9.50%, 09/27/11 | 67 | ||||||||
278 | ||||||||||
El Salvador — 0.6% | ||||||||||
Government of El Salvador | ||||||||||
35 | 7.63%, 09/21/34 (e) | 39 | ||||||||
80 | 8.25%, 04/10/32 (e) (m) | 94 | ||||||||
133 |
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
France — 3.0% | ||||||||||
Government of France | ||||||||||
EUR 80 | 3.50%, 04/25/15 | 95 | ||||||||
EUR 230 | 4.00%, 04/25/09 | 281 | ||||||||
EUR 20 | 4.00%, 04/25/13 | 25 | ||||||||
EUR 50 | 4.00%, 04/25/14 | 62 | ||||||||
EUR 115 | 4.75%, 04/25/35 | 161 | ||||||||
EUR 40 | 5.00%, 10/25/16 | 54 | ||||||||
678 | ||||||||||
Germany — 2.2% | ||||||||||
Bundesrepublik Deutschland | ||||||||||
EUR 150 | 3.75%, 01/04/15 | 183 | ||||||||
EUR 170 | 4.75%, 07/04/34 | 238 | ||||||||
EUR 50 | 6.25%, 01/04/24 | 80 | ||||||||
501 | ||||||||||
Indonesia — 0.7% | ||||||||||
$ 154 | Government of Indonesia, 7.25%, 04/20/15 | 159 | ||||||||
Malaysia — 0.3% | ||||||||||
50 | Government of Malaysia, 7.50%, 07/15/11 | 55 | ||||||||
Mexico — 0.3% | ||||||||||
45 | United Mexican States, 8.30%, 08/15/31 | 59 | ||||||||
Panama — 1.0% | ||||||||||
Government of Panama | ||||||||||
75 | 7.25%, 03/15/15 | 81 | ||||||||
45 | 8.88%, 09/30/27 | 56 | ||||||||
60 | 7.13%, 01/29/26 | 64 | ||||||||
10 | 9.38%, 07/23/12 | 12 | ||||||||
213 | ||||||||||
Peru — 1.1% | ||||||||||
Government of Peru | ||||||||||
95 | VAR, 5.00%, 03/07/17 | 92 | ||||||||
107 | VAR, 5.00%, 03/07/17 | 104 | ||||||||
46 | 8.38%, 05/03/16 | 53 | ||||||||
249 | ||||||||||
Phillippines — 0.4% | ||||||||||
75 | Government of Philippines, 10.63%, 03/16/25 | 97 | ||||||||
Russia — 0.7% | ||||||||||
25 | Government of Russia, 11.00%, 07/24/18 | 37 | ||||||||
Russian Federation | ||||||||||
55 | 8.25%, 03/31/10 | 58 | ||||||||
35 | 12.75%, 06/24/28 | 65 | ||||||||
160 | ||||||||||
South Africa — 0.4% | ||||||||||
65 | Government of South Africa, 8.50%, 06/23/17 | 81 | ||||||||
Turkey — 0.4% | ||||||||||
Government of Turkey | ||||||||||
35 | 7.38%, 02/05/25 | 37 | ||||||||
50 | 8.00%, 02/14/34 | 57 | ||||||||
94 | ||||||||||
Ukraine — 1.2% | ||||||||||
Government of Ukraine | ||||||||||
150 | 6.88%, 03/04/11 (e) | 154 | ||||||||
100 | 7.65%, 06/11/13 | 107 | ||||||||
261 | ||||||||||
United Kingdom — 0.3% | ||||||||||
U.K. Treasury Gilt | ||||||||||
GBP 10 | 4.75%, 09/07/15 | 18 | ||||||||
GBP 20 | 6.00%, 12/07/28 | 46 | ||||||||
64 | ||||||||||
Venezuela — 1.5% | ||||||||||
Government of Venezuela | ||||||||||
$148 | 10.75%, 09/19/13 | 187 | ||||||||
35 | 13.63%, 08/15/18 | 54 | ||||||||
80 | 9.38%, 01/13/34 | 104 | ||||||||
345 | ||||||||||
Total Foreign Government Securities (Cost $3,940) | 4,277 | |||||||||
Private Placements — 8.4% | ||||||||||
1,241 | 270 5th Ave., Secured by First Mortgage and Agreement on Co-op Apartment Building in Brooklyn, New York 6.93%, 08/01/18 (f) (i) | 1,329 | ||||||||
491 | 3512 Oxford Ave., Secured by First Mortgage and Agreement on Co-op Apartment in Riverdale, New York 8.45%, 06/01/17 (f) (i) | 552 | ||||||||
Total Private Placements (Cost $1,732) | 1,881 | |||||||||
Mortgage Pass-Through Securities — 27.0% | ||||||||||
Federal Home Loan Mortgage Corp. Gold Pool | ||||||||||
56 | 6.00%, 05/01/17 - 01/01/35 | 56 | ||||||||
1,500 | TBA, 5.50%, 04/15/36 (e) | 1,485 | ||||||||
Federal National Mortgage Association Pool | ||||||||||
823 | 5.50%, 06/01/34 - 12/01/34 (m) | 817 | ||||||||
763 | 6.00%, 03/01/33 - 01/01/35 (m) | 771 | ||||||||
400 | 6.50%, 01/01/35 - 02/01/35 (m) | 410 | ||||||||
11 | 7.00%, 02/01/35 (m) | 11 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT(USD) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Mortgage Pass-Through Securities — Continued | ||||||||||
Federal National Mortgage Association Pool | ||||||||||
200 | TBA, 4.50%, 04/25/34 (e) | 188 | ||||||||
750 | TBA, 5.00%, 04/25/36 (e) | 727 | ||||||||
510 | TBA, 5.50%, 03/25/36 (e) | 506 | ||||||||
350 | TBA, 6.00%, 03/25/36 (e) | 353 | ||||||||
715 | Government National Mortgage Association Pool TBA, 5.50%, 03/15/36 (e) | 717 | ||||||||
Total Mortgage Pass-Through Securities (Cost $6,080) | 6,041 | |||||||||
U.S. Treasury Obligations — 6.9% | ||||||||||
115 | U.S. Treasury Bond, 6.25%, 05/15/30 (m) | 142 | ||||||||
U.S. Treasury Notes | ||||||||||
30 | 2.50%, 09/30/06 (m) | 30 | ||||||||
25 | 2.63%, 11/15/06 (k) (m) | 25 | ||||||||
110 | 3.13%, 01/31/07 (m) | 108 | ||||||||
90 | 3.50%, 02/15/10 (m) | 86 | ||||||||
40 | 3.63%, 04/30/07 (m) | 39 | ||||||||
30 | 3.63%, 01/15/10 (m) | 29 | ||||||||
10 | 3.63%, 06/15/10 (m) | 10 | ||||||||
15 | 3.75%, 05/15/08 (m) | 15 | ||||||||
5 | 3.88%, 05/15/10 (m) | 5 | ||||||||
15 | 4.00%, 08/31/07 (m) | 15 | ||||||||
130 | 4.00%, 03/15/10 (m) | 127 | ||||||||
10 | 4.00%, 04/15/10 (m) | 10 | ||||||||
25 | 4.00%, 02/15/15 (m) | 24 | ||||||||
15 | 4.13%, 08/15/10 (m) | 15 | ||||||||
80 | 4.13%, 05/15/15 (m) | 77 | ||||||||
10 | 4.25%, 01/15/11 (m) | 10 | ||||||||
178 | 4.25%, 11/15/14 (m) | 173 | ||||||||
195 | 4.25%, 08/15/15 (m) | 190 | ||||||||
20 | 4.38%, 11/15/08 (m) | 20 | ||||||||
50 | 4.38%, 12/15/10 (m) | 49 | ||||||||
180 | 4.50%, 11/15/15 (m) | 179 | ||||||||
10 | 5.38%, 02/15/31 (m) | 11 | ||||||||
125 | 5.50%, 08/15/28 (k) (m) | 139 | ||||||||
20 | 6.63%, 05/15/07 (k) (m) | 20 | ||||||||
Total U.S. Treasury Obligations (Cost $1,551) | 1,548 | |||||||||
SHARES | ||||||||||
Warrants — 0.0% (g) | ||||||||||
—(h) | Startec Global Communications Corp. (a) | — | (h) | |||||||
Total Long-Term Investments Cost ($21,706) | 21,063 | |||||||||
Short-Term Investments — 21.4% | ||||||||||
Discount Notes — 0.9% | ||||||||||
200 | Federal Home Loan Bank Discount Notes 4.43%, 03/01/06 (m) (n) | 200 | ||||||||
SHARES | ||||||||||
Investment Company — 20.4% | ||||||||||
4,553 | JPMorgan Prime Money Market Fund (b) (m) | 4,553 | ||||||||
PRINCIPAL AMOUNT(USD) | ||||||||||
U.S. Treasury Securities — 0.1% | ||||||||||
26 | U.S. Treasury Bills, 4.36%, 04/27/06 (k) (m) (n) | 26 | ||||||||
Total Short-Term Investments (Cost $4,779) | 4,779 | |||||||||
Total Investments — 115.6% (Cost $26,485) | 25,842 | |||||||||
Liabilities in Excess of Other Assets — (15.6)% | (3,492 | ) | ||||||||
NET ASSETS — 100.0% | $ | 22,350 |
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
2 | EURO SCHATZ | March, 2006 | $ | 251 | $ | (1 | ) | |||||||||||
9 | U.S. Treasury Bonds | June, 2006 | 1,018 | 3 | ||||||||||||||
8 | 2 Year U.S. Treasury Notes | June, 2006 | 1,635 | 2 | ||||||||||||||
11 | 5 Year U.S. Treasury Notes | June, 2006 | 1,157 | 2 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(2) | EURO-BUND | March, 2006 | (287 | ) | (1 | ) | ||||||||||||
(8) | EURO-BOBL | March, 2006 | (1,069 | ) | 4 | |||||||||||||
(1) | U.S. Treasury Bonds | June, 2006 | (113 | ) | — | (h) | ||||||||||||
(7) | 5 Year U.S. Treasury Notes | June, 2006 | (736 | ) | (1 | ) | ||||||||||||
(22) | 10 Year U.S. Treasury Notes | June, 2006 | (2,374 | ) | (4 | ) | ||||||||||||
$ | 4 |
(Amounts in thousands)
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
7 EUR | 3/29/2006 | $ | 9 | $ | 9 | — | (h) | ||||||||||||||||
6 GBP | 3/29/2006 | 10 | 10 | — | (h) | ||||||||||||||||||
$ | 19 | $ | 19 | — | (h) |
CONTRACTS TO SELL | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
52 CAD | 3/29/2006 | $ | 45 | $ | 46 | $ | (1 | ) | |||||||||||||||
1,054 EUR | 3/29/2006 | 1,276 | 1,258 | 18 | |||||||||||||||||||
42 GBP | 3/29/2006 | 74 | 74 | — | (h) | ||||||||||||||||||
$ | 1,395 | $ | 1,378 | $ | 17 |
AS OF FEBRUARY 28, 2006 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long Term Investments — 99.3% | ||||||||||
Asset Backed Securities — 4.3% | ||||||||||
1,000 | GSAMP Trust, Series 2005-WMC2, Class A2B, FRN, 4.84%, 11/25/35 | 1,001 | ||||||||
Residential Asset Securities Corp. | ||||||||||
250 | Series 2005-AHL2, Class M1, FRN, 5.00%, 10/25/35 | 250 | ||||||||
1,000 | Series 2005-KS10, Class 1A2, FRN, 4.83%, 11/25/35 | 1,001 | ||||||||
250 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class M2, FRN, 5.13%, 12/25/35 | 250 | ||||||||
Total Asset Backed Securities (Cost $2,500) | 2,502 | |||||||||
Collateralized Mortgage Obligations — 6.4% | ||||||||||
Non-Agency CMO — 6.4% | ||||||||||
464 | Adjustable Rate Mortgage Trust, Series 2005-12, Class 5A1, FRN, 4.83%, 03/25/36 | 465 | ||||||||
735 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005- AR6, Class 2A1A, FRN, 4.86%, 10/19/45 | 737 | ||||||||
Harborview Mortgage Loan Trust | ||||||||||
731 | Series 2005-8, Class 1A2A, FRN, 4.90%, 09/19/35 | 732 | ||||||||
956 | Series 2005-11, Class 2A1A, FRN, 4.88%, 08/19/45 | 960 | ||||||||
807 | Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, FRN, 4.89%, 10/25/36 | 813 | ||||||||
Total Collateralized Mortgage Obligations (Cost $3,694) | 3,707 | |||||||||
Corporate Bonds — 1.3% | ||||||||||
Diversified Financial Services — 0.9% | ||||||||||
500 | Merrill Lynch & Co., Inc., Series C, FRN, 4.73%, 10/27/08 | 500 | ||||||||
Diversified Telecommunication Services — 0.4% | ||||||||||
250 | AT&T, Inc., FRN, 4.95%, 11/14/08 | 251 | ||||||||
Total Corporate Bonds (Cost $750) | 751 | |||||||||
Foreign Government Securities — 0.4% | ||||||||||
MXN 2,500 | United Mexican States, Series MI10, 8.00%, 12/19/13 (Cost $235) | 241 | ||||||||
Mortgage Pass-Through Securities — 3.1% | ||||||||||
1,800 | Federal National Mortgage Association Pool, 5.50%, 03/25/36, TBA (Cost $1,774) | 1,783 | ||||||||
U.S. Treasury Obligations — 83.8% | ||||||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||||
4,986 | 0.88%, 04/15/10 | 4,780 | ||||||||
1,577 | 1.63%, 01/15/15 | 1,530 | ||||||||
3,750 | 1.88%, 07/15/13 | 3,726 | ||||||||
2,307 | 1.88%, 07/15/15 | 2,285 | ||||||||
1,938 | 1.98%, 01/15/26 | 1,950 | ||||||||
2,812 | 2.00%, 01/15/14 | 2,814 | ||||||||
3,918 | 2.00%, 07/15/14 | 3,923 | ||||||||
3,099 | 2.00%, 01/15/16 | 3,099 | ||||||||
4,787 | 2.38%, 01/15/25 | 5,088 | ||||||||
7,032 | 3.00%, 07/15/12 | 7,476 | ||||||||
1,059 | 3.38%, 04/15/32 | 1,400 | ||||||||
3,082 | 3.63%, 01/15/08 | 3,191 | ||||||||
2,484 | 3.88%, 01/15/09 | 2,628 | ||||||||
4,398 | 4.25%, 01/15/10 | 4,790 | ||||||||
Total U.S. Treasury Obligations (Cost $49,174) | 48,680 | |||||||||
Total Long Term Investments (Cost $58,127) | 57,664 | |||||||||
NUMBER OF CONTRACTS | ||||||||||
Options Purchased — 0.0% (g) | ||||||||||
Call Options Purchased — 0.0% (g) | ||||||||||
6 | Call option on Eurodollar, expiring on 05/04/06 @ $20.81 | — | (h) | |||||||
6 | Call option on Eurodollar, expiring on 05/29/06 @ $22.50 | 2 | ||||||||
2 | ||||||||||
Put Options Purchased — 0.0% (g) | ||||||||||
—(h) | Put option on 90 day Eurodollar Future, expiring on 06/19/06 @ $95.13 | 12 | ||||||||
3 | Put option on Treasury Notes, expiring on 03/22/06 @ $1.38 | — | (h) | |||||||
12 | ||||||||||
Total Options Purchased (Cost $8) | 14 | |||||||||
SHARES | ||||||||||
Short-Term Investments — 3.3% | ||||||||||
Investment Company — 3.2% | ||||||||||
1,877 | JPMorgan Prime Money Market Fund (b) (m) | 1,877 | ||||||||
PRINCIPAL AMOUNT($) | ||||||||||
U.S. Treasury Bills — 0.1% | ||||||||||
40 | U.S. Treasury Bills, 4.30%, 04/27/06 (n) (k) | 40 | ||||||||
Total Short-Term Investments (Cost $1,917) | 1,917 | |||||||||
Total Investments — 102.6% (Cost $60,052) | 59,595 | |||||||||
Liabilities in Excess of Other Assets — (2.6)% | (1,509 | ) | ||||||||
NET ASSETS — 100.0% | 58,086 |
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
4 | Canadian 10 Year Bond Index | June, 2006 | $ | 397 | $ | 1 | ||||||||||||
9 | Euro-Schatz Future | March, 2006 | 1,128 | (1 | ) | |||||||||||||
9 | EuriBor Future | September, 2006 | 2,600 | (1 | ) | |||||||||||||
2 | 10 year JGB TSE Index | March, 2006 | 2,350 | (3 | ) | |||||||||||||
46 | U.S. 2 Year Treasury Note | June, 2006 | 9,401 | 11 | ||||||||||||||
$ | 7 | |||||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
57 | U.S. 5 Year Treasury Note | June, 2006 | 5,996 | $ | (7 | ) | ||||||||||||
16 | U.S. 10 Year Treasury Note | June, 2006 | 1,727 | (4 | ) | |||||||||||||
$ | (11 | ) |
(Amounts in thousands)
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
119 | AUD | 05/15/06 | $ | 88 | $ | 88 | $ | — | (h) | |||||||||||
170 | AUD for | |||||||||||||||||||
163 | CHF | 05/15/06 | 126 | 125 | (1 | ) | ||||||||||||||
86 | CAD for | |||||||||||||||||||
8,719 | JPY | 05/15/06 | 76 | 76 | — | (h) | ||||||||||||||
163 | CHF for | |||||||||||||||||||
171 | AUD | 05/15/06 | 125 | 127 | 2 | |||||||||||||||
92 | EUR | 05/15/06 | 112 | 111 | (1 | ) | ||||||||||||||
29 | EUR for | |||||||||||||||||||
4,026 | JPY | 05/15/06 | 34 | 35 | 1 | |||||||||||||||
15 | EUR for | |||||||||||||||||||
25 | TRY | 05/15/06 | 18 | # | 19 | # | 1 | |||||||||||||
44 | GBP | 03/17/06 | 75 | 77 | 2 | |||||||||||||||
221 | GBP | 05/15/06 | 385 | 388 | 3 | |||||||||||||||
10,149 | JPY | 05/15/06 | 87 | 89 | 2 | |||||||||||||||
8,707 | JPY for | |||||||||||||||||||
86 | CAD | 05/15/06 | 76 | # | 76 | # | — | (h) | ||||||||||||
1,160 | MXN | 05/15/06 | 110 | 110 | — | (h) | ||||||||||||||
57 | NZD for | |||||||||||||||||||
51 | AUD | 05/15/06 | 38 | # | 38 | # | — | (h) |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
550 | PLN for | ||||||||||||||||||||||
145 | EUR | 05/15/06 | 174 | 173 | (1 | ) | |||||||||||||||||
1,057 | SEK | 05/15/06 | 137 | 134 | (3 | ) | |||||||||||||||||
59 | SGD | 05/15/06 | 36 | 36 | — | (h) | |||||||||||||||||
1,487 | THB | 05/15/06 | 38 | 38 | — | (h) | |||||||||||||||||
60 | TRY | 05/15/06 | 45 | 45 | — | (h) | |||||||||||||||||
26 | TRY for | ||||||||||||||||||||||
16 | EUR | 05/15/06 | 20 | # | 19 | # | (1 | ) | |||||||||||||||
222 | ZAR for | ||||||||||||||||||||||
383 | MXN | 05/15/06 | 36 | # | 36 | # | — | (h) | |||||||||||||||
$ | 1,836 | $ | 1,840 | $ | 4 |
# | For cross-currency exchange contracts, the settlement value is the market value at 02/28/06 of the currency being sold, and the value at 02/28/06 of the currency being purchased. |
CONTRACTS TO SELL | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
179 | AUD | 05/15/06 | $ | 133 | $ | 133 | $ | — | (h) | ||||||||||||
207 | CAD | 03/17/06 | 181 | 182 | (1 | ) | |||||||||||||||
301 | CHF | 05/15/06 | 234 | 232 | 2 | ||||||||||||||||
408 | EUR | 05/15/06 | 491 | 489 | 2 | ||||||||||||||||
109 | GBP | 03/17/06 | 192 | 190 | 2 | ||||||||||||||||
19,759 | JPY | 05/15/06 | 169 | 172 | (3 | ) | |||||||||||||||
394 | MXN | 05/15/06 | 37 | 37 | — | (h) | |||||||||||||||
262 | NOK | 05/15/06 | 39 | 39 | — | (h) | |||||||||||||||
59 | SGD | 05/15/06 | 36 | 36 | — | (h) | |||||||||||||||
1,487 | THB | 05/15/06 | 38 | 38 | — | (h) | |||||||||||||||
62 | TRY | 05/15/06 | 46 | 47 | (1 | ) | |||||||||||||||
444 | ZAR | 05/15/06 | 72 | 72 | — | (h) | |||||||||||||||
$ | 1,668 | $ | 1,667 | $ | 1 |
(Amounts in thousands, except number of contracts)
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Written | ||||||||||||||||||||||
Put option on 90 days Eurodollar future | $ | 94.88 | 06/19/06 | 22 | $ | (1 | ) | $ | (3 | ) | ||||||||||||
Put option on 1-year Mid-Curve Eurodollar future | 95.00 | 06/16/06 | 22 | (4 | ) | (7 | ) | |||||||||||||||
$ | (5 | ) | $ | (10 | ) |
SWAP COUNTERPARTY | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Capital | Russian Federation, 5.00%, 03/31/30 | Buy | 77 BPS semi-annually | 10/20/10 | $ | 1,000 | $ | (16 | ) | |||||||||||||||
Barclays Capital | Gazpru, 8.63%, 04/28/34 | Sell | 156 BPS quarterly | 10/20/10 | 1,000 | 33 | ||||||||||||||||||
Deutsche Bank AG, New York | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 52 BPS semi-annually | 04/20/06 | 500 | 1 | ||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Buy | 53 BPS semi-annually | 02/20/11 | 600 | (2 | ) | |||||||||||||||||
Deutsche Bank AG, New York | Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 02/20/11 | 600 | 4 | ||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 550 | 7 | ||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 550 | 8 | ||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 54 BPS semi-annually | 10/20/07 | 550 | (4 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 61 BPS semi-annually | 10/20/07 | 550 | (4 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 503.5 BPS semi-annually | 10/20/10 | 800 | 34 | ||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 261.5 BPS semi-annually | 10/20/10 | 800 | (58 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Mexico Government International Bond, 7.50%, 04/08/33 | Buy | 53 BPS semi-annually | 03/20/11 | 1,250 | (2 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Russia Government International Bond, 5.00%, 03/31/30 | Sell | 54 BPS semi-annually | 03/20/11 | 1,250 | 4 | ||||||||||||||||||
Morgan Stanley Capital Services | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 400 | 6 | ||||||||||||||||||
Morgan Stanley Capital Services | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 1,750 | 24 | ||||||||||||||||||
Morgan Stanley Capital Services | Republic Of Columbia, 10.38%, 01/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 1,750 | (17 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Republic Of Columbia, 10.38%, 01/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 400 | (4 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | 300 | (26 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 335 BPS semi-annually | 10/20/10 | 100 | (11 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 300 | 18 | ||||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 100 | 9 | ||||||||||||||||||
4 |
RATE TYPE | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | | | |||||||||||||||
Lehman Brothers International (Europe) | 6 month JPY LIBOR semi-annually | 0.79% semi-annually | 02/24/08 | JPY 690,000 | $ (8 | ) | ||||||||||||||||||||
Lehman Brothers International (Europe) | 3.40% annually | 6 month EURIBOR semi-annually | 02/10/11 | EUR 1,600 | 5 | |||||||||||||||||||||
Lehman Brothers International (Europe) | 1.98% semi-annually | 6 month JPY LIBOR semi-annually | 02/24/17 | JPY 70,000 | 5 | |||||||||||||||||||||
Lehman Brothers International (Europe) | 6 month EURIBOR semi-annually | 3.98% annually | 02/11/36 | EUR 420 | — | |||||||||||||||||||||
Lehman Brothers Special Financing | 3.18% annually | 6 month EURIBOR semi-annually | 01/12/11 | EUR 1,470 | 20 | |||||||||||||||||||||
Lehman Brothers Special Financing | 6 month EURIBOR semi-annually | 3.71% annually | 01/14/36 | EUR 370 | (21 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services | 1.72% semi-annually | 6 month JPY LIBOR semi-annually | 02/21/16 | JPY 55,000 | 3 | |||||||||||||||||||||
Morgan Stanley Capital Services | 1.77% semi-annually | 6 month JPY LIBOR semi-annually | 02/28/16 | JPY 198,000 | 4 | |||||||||||||||||||||
8 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing (a) | Government of France, 3.15%, 07/25/32 | $ | 136.25 | 03/28/06 | EUR 150 | $ | — | (h) | ||||||||||||||
Lehman Brothers Special Financing (b) | U.S. Treasury TIPS, 3.88%, 04/15/29 | 135.10 | 03/30/06 | $ | 5,405 | 78 | ||||||||||||||||
Lehman Brothers Special Financing (b) | U.K. Treasury Gilt, 2.00%, 01/26/35 | 147.81 | 07/25/06 | GBP 95 | 7 | |||||||||||||||||
$ | 85 |
(a) | Fund pays the excess of the market price over the price lock and receives the excess of the price lock over the market price. |
(b) | Fund pays the excess of the price lock over the market price and receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2006 (Unaudited)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 109.0% | ||||||||||
Preferred Stocks — 1.5% | ||||||||||
Capital Markets — 1.2% | ||||||||||
7 | Pinto Totta International Finance, VAR, 7.77% (e) (m) | 6,878 | ||||||||
Commercial Banks — 0.1% | ||||||||||
400 | Royal Bank of Scotland Group plc ADR (United Kingdom), 9.12%, 12/31/49 (m) | 452 | ||||||||
Consumer Finance — 0.2% | ||||||||||
13 | SLM Corp., Series B, VAR, 5.19% (m) | 1,291 | ||||||||
Total Preferred Stocks (Cost $9,292) | 8,621 |
PRINCIPAL AMOUNT($) | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Backed Securities — 16.7% | ||||||||||
2,251 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.07%, 02/15/12 (e) (m) | 2,256 | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||
2,800 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 2,721 | ||||||||
4,900 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 4,858 | ||||||||
1,278 | Asset Backed Funding Corp. NIM Trust, Series 2005-WMC1, Class N1, 5.90%, 07/26/35 (e) (m) | 1,277 | ||||||||
550 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 540 | ||||||||
3,400 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 3,335 | ||||||||
CARSS Finance LP (Cayman Islands) | ||||||||||
262 | Series 2004-A, Class B1, FRN, 4.85%, 01/15/11 (e) (m) | 263 | ||||||||
604 | Series 2004-A, Class B2, FRN, 5.52%, 01/15/11 (e) (m) | 606 | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||
4,375 | Series 2001-C3, Class C3, 6.65%, 05/15/08 (m) | 4,390 | ||||||||
5,050 | Series 2003-C2, Class C2, FRN, 5.50%, 03/20/08 (m) | 5,051 | ||||||||
3,600 | Citigroup Mortgage Loan Trust Inc, Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 3,551 | ||||||||
3,250 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 3,207 | ||||||||
Countrywide Asset-Backed Certificates | ||||||||||
2,200 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 2,154 | ||||||||
3,750 | Series 2006-3, Class 2A2, FRN, 4.75%, 10/25/34 (m) | 3,751 | ||||||||
500 | EQCC Home Equity Loan Trust, Series 2002-1, Class 2A, FRN, 4.88%, 11/25/31 (m) | 500 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Backed Securities — Continued | ||||||||||
4,750 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 4.75%, 02/25/36 (m) | 4,750 | ||||||||
4,400 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 4.93%, 07/25/36 (m) | 4,397 | ||||||||
1,700 | Household Automotive Trust, Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 1,661 | ||||||||
HSI Asset Securitization Corp. Trust | ||||||||||
5,550 | Series 2006-OPT1, Class 2A3, FRN, 4.77%, 12/25/35 (m) | 5,550 | ||||||||
5,700 | Series 2006-OPT2, Class 2A3, FRN, 4.80%, 01/25/36 (m) | 5,700 | ||||||||
Long Beach Mortgage Loan Trust | ||||||||||
4,000 | Series 2004-3, Class M1, FRN, 5.15%, 07/25/34 (m) | 4,024 | ||||||||
6,000 | Series 2006-2, Class 2A3, FRN, 4.74%, 03/25/36 (m) | 6,000 | ||||||||
4,850 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3 , FRN, 4.76%, 01/25/36 (m) | 4,850 | ||||||||
2,900 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 4.78%, 01/25/37 (m) | 2,900 | ||||||||
3,900 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 3,847 | ||||||||
4,200 | Residential Asset Mortgage Products, Inc. Series 2006-EFC1, Class A2, FRN, 4.78%, 04/25/35 (m) | 4,201 | ||||||||
5,400 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 4.77%, 03/25/35 (m) | 5,400 | ||||||||
4,150 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 4.79%, 12/25/35 (m) | 4,150 | ||||||||
1,047 | Soundview Home Equity Loan Trust (Cayman Islands), Series 2005- OPT4, Class N1, 5.68%, 12/25/35 (e) (m) | 1,045 | ||||||||
2,792 | WFS Financial Owner Trust, Series 2002-2, Class A4, SUB, 4.50%, 02/20/10 (m) | 2,790 | ||||||||
Total Asset Backed Securities (Cost $100,301) | 99,725 | |||||||||
Collateralized Mortgage Obligations — 25.6% | ||||||||||
Agency CMO — 8.9% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
390 | Series 364, Class 6, IO, 5.00%, 11/01/35 (m) | 83 | ||||||||
2,124 | Series 1565, Class P, 6.00%, 08/15/08 (m) | 2,136 | ||||||||
7,280 | Series 2564, Class LS, IF, IO, 3.08%,01/15/17 (m) | 430 | ||||||||
9,129 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 465 | ||||||||
3,698 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 452 | ||||||||
8,688 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 533 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Collateralized Mortgage Obligations — Continued | ||||||||||
6,574 | Series 2780, Class IE, IO, 4.50%, 05/15/11 (m) | 163 | ||||||||
16,504 | Series 2791, Class SI, IF, IO, 2.58%, 12/15/31 (m) | 985 | ||||||||
15,118 | Series 2814, Class S, IF, IO, 2.53%, 10/15/30 (m) | 650 | ||||||||
11,250 | Series 2852, Class IO, IO, 5.00%, 11/15/25 (m) | 1,227 | ||||||||
6,102 | Series 2894, Class S, IF, IO, 2.63%, 03/15/31 (m) | 380 | ||||||||
6,500 | Series 2929, Class PB, 5.00%, 09/15/24 (m) | 6,443 | ||||||||
3,950 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 3,919 | ||||||||
7,498 | Series 2939, Class HP, 5.00%, 04/15/28 (m) | 7,432 | ||||||||
8,018 | Series 2975, Class HA, 5.50%, 07/15/23 (m) | 8,026 | ||||||||
9,237 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 925 | ||||||||
19,000 | Series 3126, Class BS, 2.60%, 03/30/36 (m) | 1,591 | ||||||||
Federal National Mortgage Association | ||||||||||
5,680 | Series 354, Class 2, IO, 5.50%, 11/01/34 (m) | 1,266 | ||||||||
19,534 | Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 4,572 | ||||||||
12,123 | Series 2004-61, Class TS, IF, IO, 2.52%, 10/25/31 (m) | 542 | ||||||||
3,448 | Series 2005-41, Class WA, 5.50%, 10/25/23 (m) | 3,444 | ||||||||
5,126 | Series 2005-55, Class LC, 5.50%, 03/25/24 (m) | 5,117 | ||||||||
Government National Mortgage Association | ||||||||||
34,126 | Series 2003-85, Class CS, IF, IO, 2.63%, 02/20/24 (m) | 1,400 | ||||||||
11,596 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 889 | ||||||||
53,070 | ||||||||||
Non-Agency CMO — 16.7% | ||||||||||
705 | ABN Amro Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 701 | ||||||||
5,085 | Banc of America Funding Corp., Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 5,030 | ||||||||
2,465 | Bank of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 2,453 | ||||||||
Citicorp Mortgage Securities, Inc. | ||||||||||
1,609 | Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) | 1,600 | ||||||||
2,207 | Series 2005-7, Class 1A1, 5.50%, 10/25/35 (m) | 2,181 | ||||||||
7,613 | Countrywide Alternative Loan Trust, Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 7,570 | ||||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||||
3,593 | Series 2005-18, Class A1, 5.50%, 10/25/35 (m) | 3,556 | ||||||||
6,371 | Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 6,298 | ||||||||
4,961 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 4,904 | ||||||||
2,900 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 2,885 | ||||||||
8,571 | Morgan Stanley Mortgage Loan Trust, Series 2005-4, Class 5A3, 5.50%, 08/25/35 (m) | 8,490 | ||||||||
6,083 | Residential Accredit Loans, Inc., Series 2005-QS17, Class A10, 6.00%, 12/25/35 (m) | 6,088 | ||||||||
4,693 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 4,639 | ||||||||
5,463 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.99%, 06/25/34 (m) | 5,339 | ||||||||
Structured Asset Securities Corp. | ||||||||||
1,080 | Series 2005-5, Class 2A1, 5.50%, 04/25/35 (m) | 1,071 | ||||||||
3,828 | Series 2005-17, Class 4A1, 5.50%, 10/25/35 (m) | 3,784 | ||||||||
8,702 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 (m) | 8,636 | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||
2,849 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 (m) | 2,835 | ||||||||
10,100 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 (m) | 10,021 | ||||||||
5,492 | Series 2005-9, Class 1A8, 5.50%, 10/25/35 (m) | 5,428 | ||||||||
6,281 | Series 2005-11, Class 2A1, 5.50%, 10/25/35 (m) | 6,207 | ||||||||
99,716 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $156,596) | 152,786 | |||||||||
Commercial Mortgage Backed Securities — 12.5% | ||||||||||
1,250 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%,11/10/41 (m) | 1,209 | ||||||||
10,020 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%,11/20/12 (e) (m) | 9,832 | ||||||||
1,973 | Calwest Industrial Trust, Series 2003-CALA, Class A, FRN, 4.84%,06/15/15 (e) (m) | 1,974 | ||||||||
2,594 | CR, Series 2000-ZC2, Class A4A, 6.70%,08/10/14 (e) (i) | 2,660 | ||||||||
CS First Boston Mortgage Securities Corp. | ||||||||||
3,800 | Series 2001-CP4, Class A4, 6.18%,12/15/35 (m) | 3,956 | ||||||||
3,700 | Series 2004-C3, Class A3, 4.30%,07/15/36 (m) | 3,595 | ||||||||
1,824 | First Union Commercial Mortgage Securities, Inc., Series 1997-C1, Class A3, 7.38%,04/18/29 (m) | 1,845 | ||||||||
4,100 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, 4.31%,08/10/42 (m) | 3,974 | ||||||||
5,550 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%,08/10/38 (m) | 5,447 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Commercial Mortgage Backed Securities — Continued | ||||||||||
LB-UBS Commercial Mortgage Trust | ||||||||||
1,800 | Series 2006-C1, Class A2, 5.08%,02/15/31 (m) | 1,788 | ||||||||
2,950 | Series 2003-C1, Class A2, 3.32%,03/15/27 (m) | 2,850 | ||||||||
8,300 | Series 2004-C7, Class A2, 3.99%,10/15/29 (m) | 7,987 | ||||||||
7,300 | Series 2003-C5, Class A2, 3.48%,07/15/27 (m) | 7,027 | ||||||||
1,700 | Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class A2, VAR, 5.22%,11/12/37 (m) | 1,698 | ||||||||
Morgan Stanley Capital I | ||||||||||
4,300 | Series 2006-T21, Class A2, 5.09%,10/12/52 (m) | 4,281 | ||||||||
6,368 | Series 1998-HF2, Class A2, 6.48%,11/15/30 (m) | 6,519 | ||||||||
7,900 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%,03/15/42 (m) | 7,765 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $77,059) | 74,407 | |||||||||
Corporate Bonds — 35.5% | ||||||||||
Advertising — 0.4% | ||||||||||
2,000 | RH Donnelley, Inc., 10.88%, 12/15/12 (m) | 2,250 | ||||||||
Automobiles — 1.2% | ||||||||||
DaimlerChrysler NA Holding Corp. | ||||||||||
3,000 | 4.13%, 03/07/07 (m) | 2,960 | ||||||||
3,950 | FRN, 5.38%, 05/24/06 (m) | 3,953 | ||||||||
6,913 | ||||||||||
Capital Markets — 0.6% | ||||||||||
3,600 | BNP US Funding LLC, VAR, 7.74%, 12/31/49 (e) (m) | 3,738 | ||||||||
Chemicals — 1.0% | ||||||||||
3,500 | Huntsman International LLC, 9.88%, 03/01/09 (m) | 3,667 | ||||||||
1,900 | Terra Capital, Inc., 12.88%, 10/15/08 (m) | 2,199 | ||||||||
5,866 | ||||||||||
Commercial Banks — 10.1% | ||||||||||
1,764 | Abbey National plc (United Kingdom), VAR, 7.35%, 12/31/49 (m) | 1,791 | ||||||||
2,500 | Bacob Bank SC (Belgium), VAR, 7.25%, 12/31/49 (e) (m) | 2,568 | ||||||||
1,200 | Chohung Bank (South Korea), VAR, 4.62%, 11/03/14 (e) (m) | 1,154 | ||||||||
Citibank Korea, Inc. (South Korea) | ||||||||||
2,800 | 6.95%, 12/06/11 (m) | 2,828 | ||||||||
3,350 | VAR, 4.68%, 06/18/13 (m) | 3,283 | ||||||||
1,300 | Deutsche Bank Capital Funding Trust I (Germany), VAR, 7.87%, 12/31/49 (e) (m) | 1,393 | ||||||||
3,500 | ForeningsSparbanken AB (Sweden), VAR, 7.50%, 12/31/49 (e) (m) | 3,555 | ||||||||
1,000 | Hana Bank (South Korea), 4.13%, 03/11/09 | 963 | ||||||||
2,000 | HSBC Capital Funding LP/Jersey Channel Islands (Jersey), VAR, 9.55%, 12/31/49 (e) (m) | 2,310 | ||||||||
2,000 | KBC Bank Funding Trust III, VAR, 9.86%, 11/29/49 (e) (m) | 2,283 | ||||||||
5,000 | Korea First Bank (South Korea), VAR, 6.25%, 10/02/13 | 4,908 | ||||||||
2,000 | Mizuho Preferred Capital Co. LLC, 8.79%, 12/31/49 (e) (m) | 2,139 | ||||||||
3,170 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (m) | 3,164 | ||||||||
1,700 | Nordea Bank Finland plc, VAR, 7.50%, 12/31/49 (e) (m) | 1,732 | ||||||||
3,600 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 3,584 | ||||||||
5,150 | Skandinaviska Enskilda Banken AB (Sweden), VAR, 8.12%, 09/06/49 (e) (m) | 5,229 | ||||||||
2,950 | Svenska Handelsbanken (Sweden), VAR, 7.12%, 12/31/49 (e) (m) | 3,007 | ||||||||
2,000 | Unicredito Italiano Capital Trust II, VAR, 9.20%, 12/31/49 (e) (m) | 2,286 | ||||||||
7,800 | UBS AG, FRN, 5.02%, 07/20/06 (m) | 7,796 | ||||||||
2,000 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 5.25%, 09/21/07 (e) (m) | 2,004 | ||||||||
800 | Wachovia Capital Trust III, VAR, 5.80%, 12/31/49 (m) | 796 | ||||||||
1,430 | Woori Bank (South Korea), VAR, 5.75%, 03/13/14 (e) (m) | 1,438 | ||||||||
60,211 | ||||||||||
Consumer Finance — 0.1% | ||||||||||
400 | MBNA America Bank NA, 4.63%, 08/03/09 (m) | 394 | ||||||||
Containers & Packaging — 1.0% | ||||||||||
2,550 | Owens Brockway Glass Container, Inc., 8.88%, 02/15/09 (m) | 2,655 | ||||||||
3,500 | Smurfit-Stone Container Enterprises, Inc., 9.75%, 02/01/11 (m) | 3,583 | ||||||||
6,238 | ||||||||||
Diversified Financial Services — 9.3% | ||||||||||
Counts Trust | ||||||||||
3,450 | Series 2002-10, FRN, 5.53%, 08/15/07 (e) (i) | 3,473 | ||||||||
3,450 | Series 2002-11, FRN, 5.58%, 08/15/07 (e) (i) | 3,472 | ||||||||
1,750 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) | 1,743 | ||||||||
International Lease Finance Corp. | ||||||||||
1,400 | 3.13%, 05/03/07 (m) | 1,367 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Diversified Financial Services — Continued | ||||||||||
2,100 | 4.35%, 09/15/08 (m) | 2,049 | ||||||||
2,900 | VAR, 6.98%, 10/15/14 (m) | 2,928 | ||||||||
8,200 | Links Finance LLC, FRN, 4.74%, 09/15/08 (e) (i) | 8,201 | ||||||||
1,650 | Mantis Reef Ltd. (Australia), 4.69%, 11/14/08 (e) (m) | 1,613 | ||||||||
6,490 | Natexis Ambs Co. LLC, VAR, 8.44%, 12/31/49 (e) (m) | 6,912 | ||||||||
RACERS | ||||||||||
3,300 | Series 2005-7, Class C, FRN, 4.52%, 05/09/06 (e) (i) | 3,298 | ||||||||
6,100 | Series 2005-16, Class C, FRN, 4.49%, 09/20/07 (e) (i) | 6,081 | ||||||||
6,600 | Sigma Finance Corp. (Cayman Islands), FRN, 4.01%, 09/15/08 (e) (i) | 6,600 | ||||||||
1,700 | Tokai Preferred Capital Co. LLC, VAR, 9.98%, 12/31/49 (e) (m) | 1,860 | ||||||||
3,100 | Twin Reefs Pass-Through Trust, FRN, 5.57%, 12/31/49 (e) (m) | 3,100 | ||||||||
2,800 | ZFS Finance USA Trust, VAR, 6.15%, 12/15/65 (e) (m) | 2,804 | ||||||||
55,501 | ||||||||||
Diversified Telecommunication Services — 0.3% | ||||||||||
2,000 | Sprint Capital Corp., SUB, 4.78%, 08/17/06 (m) | 1,997 | ||||||||
Electric Utilities — 2.3% | ||||||||||
1,600 | CC Funding Trust I, 6.90%, 02/16/07 (m) | 1,623 | ||||||||
2,900 | Dominion Resources, Inc., SUB, 5.75%, 05/15/08 (m) | 2,916 | ||||||||
6,050 | FPL Group Capital, Inc., 5.55%, 02/16/08 (m) | 6,082 | ||||||||
3,300 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 3,293 | ||||||||
13,914 | ||||||||||
Gas Utilities — 0.5% | ||||||||||
3,300 | Oneok, Inc., 5.51%, 02/16/08 (m) | 3,303 | ||||||||
Hotels, Restaurants & Leisure — 0.4% | ||||||||||
2,650 | Starwood Hotels & Resorts Worldwide, Inc., 7.38%, 05/01/07 (m) | 2,703 | ||||||||
Insurance — 2.5% | ||||||||||
5,350 | ASIF Global Financing, FRN, 4.74%, 03/14/08 (e) (m) | 5,362 | ||||||||
1,500 | Nippon Life Insurance (Japan), 4.88%, 08/09/10 (e) (m) | 1,466 | ||||||||
3,650 | Oil Insurance Ltd. (Bermuda), VAR, 4.75%, 10/06/06 (e) (i) | 3,649 | ||||||||
4,150 | Two-Rock Pass Through Trust (Bermuda), FRN, 5.68%, 12/31/49 (e) (m) | 4,123 | ||||||||
14,600 | ||||||||||
Media — 1.1% | ||||||||||
2,600 | Comcast Cable Communications, Inc., 6.20%, 11/15/08 (m) | 2,654 | ||||||||
850 | Dex Media East LLC/Dex Media East Finance Co., 12.13%, 11/15/12 (m) | 981 | ||||||||
2,850 | Echostar DBS Corp., 5.75%, 10/01/08 (m) | 2,814 | ||||||||
6,449 | ||||||||||
Oil, Gas & Consumable Fuels — 1.0% | ||||||||||
1,800 | Pemex Project Funding Master Trust, FRN, 5.79%, 06/15/10 (e) (m) | 1,854 | ||||||||
4,000 | OAO Gazprom (Germany), 9.13%, 04/25/07 (m) | 4,160 | ||||||||
6,014 | ||||||||||
Real Estate — 1.1% | ||||||||||
3,500 | Host Marriott LP REIT, 9.25%, 10/01/07 (m) | 3,684 | ||||||||
iStar Financial, Inc. REIT | ||||||||||
2,000 | 4.88%, 01/15/09 (m) | 1,969 | ||||||||
950 | 5.38%, 04/15/10 (m) | 943 | ||||||||
6,596 | ||||||||||
Thrifts & Mortgage Finance — 2.6% | ||||||||||
3,300 | Countrywide Home Loans, Inc., 4.13%, 09/15/09 (m) | 3,169 | ||||||||
6,750 | Spintab AB (Sweden), VAR, 7.50%, 08/14/49 (e) (m) | 6,827 | ||||||||
3,000 | Washington Mutual Preferred Funding, VAR, 6.53%, 12/31/49 (e) (m) | 3,002 | ||||||||
2,500 | Washington Mutual, Inc., 7.50%, 08/15/06 (m) | 2,528 | ||||||||
15,526 | ||||||||||
Total Corporate Bonds (Cost $215,231) | 212,213 | |||||||||
Foreign Government Securities — 2.9% | ||||||||||
2,250 | Bundesrepublik Deutschland (Germany), 4.75%, 07/04/34 (m) | 3,155 | ||||||||
4,250 | Government of Chile (Chile), FRN, 5.06%, 01/28/08 (m) | 4,272 | ||||||||
3,319 | Government of Colombia, 9.75%, 04/09/11 (m) | 3,734 | ||||||||
2,850 | Government of France Bond OAT (France), 4.75%, 04/25/35 (m) | 3,993 | ||||||||
2,250 | Government of Ukraine (Ukraine), 7.65%, 06/11/13 (m) | 2,422 | ||||||||
Total Foreign Government Securities (Cost $17,620) | 17,576 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — 13.3% | ||||||||||
Federal National Mortgage Association Pool | ||||||||||
56,840 | 5.50%, 03/25/36, TBA (m) | 56,306 | ||||||||
17,450 | 5.50%, 04/25/36, TBA (m) | 17,276 | ||||||||
5,750 | 6.00%, 03/25/36, TBA (m) | 5,893 | ||||||||
Total Mortgage Pass-Through Securities (Cost $78,782) | 79,475 | |||||||||
U.S. Treasury Obligations — 1.0% | ||||||||||
1,752 | U.S. Treasury Inflation Indexed Bonds, 1.63%, 01/15/15 (m) | 1,700 | ||||||||
U.S. Treasury Notes | ||||||||||
2,300 | 5.38%, 02/15/31 (m) | 2,561 | ||||||||
1,450 | 4.50%, 02/15/36 (m) | 1,449 | ||||||||
Total U.S. Treasury Obligations (Cost $5,639) | 5,710 | |||||||||
Total Long-Term Investments (Cost $660,520) | 650,513 | |||||||||
NUMBER OF CONTRACTS/ NOTIONAL VALUE | ||||||||||
Options Purchased — 0.4% | ||||||||||
Call Options Purchased — 0.2% | ||||||||||
—(h) | Euro 1 Year Mid Curve expiring 06/06/07 @ 95.75 | 9 | ||||||||
—(h) | U.S. 5 Year Treasury Note expiring 04/06/06 @ 106 | 8 | ||||||||
Receiver Swaption on Interest Rate: | ||||||||||
9,000 | Expiring 01/24/07. If exercised the Fund receives 4.81% and pays floating 3 month LIBOR expiring 01/26/12, European Style. | 71 | ||||||||
5,650 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 261 | ||||||||
5,650 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 103 | ||||||||
9,000 | Expiring 01/25/16. If exercised the Fund receives 5.20% and pays floating 3 month LIBOR expiring 01/27/36, European Style. | 630 | ||||||||
1,766 | Expiring 02/12/07. If exercised the Fund receives 5.06% and pays floating 3 month LIBOR expiring 02/16/36, European Style. | 75 | ||||||||
20,335 | Expiring 04/18/06. If exercised the Fund receives 4.97% and pays floating 3 month LIBOR expiring 04/20/16, European Style. | 82 | ||||||||
4,275 | Expiring 05/24/06. If exercised the Fund receives 4.90% and pays floating 3 month LIBOR expiring 05/26/11, European Style. | 13 | ||||||||
1,252 |
NUMBER OF CONTRACTS/ NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.2% | ||||||||||
—(h) | Euro 1 Year Mid Curve expiring 06/06/07 @ 95.75 | 2 | ||||||||
—(h) | 90 Day Euro expiring 06/06/06 @ 95.13 | 128 | ||||||||
—(h) | U.S. 10 Year Treasury Note expiring 04/06/06 @ 108 | 5 | ||||||||
—(h) | U.S. 10 Year Treasury Note expiring 05/06/06 @ 107 | 16 | ||||||||
Payer Swaption on Interest Rate: | ||||||||||
9,000 | Expiring 01/24/07. If exercised the Fund pays 4.81% and receives floating 3 month LIBOR expiring 05/26/11, European Style. | 166 | ||||||||
5,650 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 105 | ||||||||
5,650 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 265 | ||||||||
9,000 | Expiring 01/25/16. If exercised the Fund pays 5.20% and receives floating 3 month LIBOR expiring 01/27/36, European Style. | 563 | ||||||||
1,766 | Expiring 02/12/07. If exercised the Fund pays 5.06% and receives floating 3 month LIBOR expiring 02/16/37, European Style. | 76 | ||||||||
4,275 | Expiring 05/24/06. If exercised the Fund pays 5.30% and receives floating 3 month LIBOR expiring 05/26/11, European Style. | 11 | ||||||||
1,337 | ||||||||||
Total Options Purchased (Cost $2,728) | 2,589 | |||||||||
SHARES | ||||||||||
Short-Term Investments — 6.1% | ||||||||||
Investment Company — 5.9% | ||||||||||
35,123 | JPMorgan Prime Money Market Fund (b) (m) | 35,123 | ||||||||
PRINCIPAL AMOUNT($) | ||||||||||
U.S. Treasury Securities — 0.2% | ||||||||||
1,275 | U.S. Treasury Bills, 4.09%, 03/23/06 (k) (m) (n) | 1,272 | ||||||||
Total Short-Term Investments (Cost $36,395) | 36,395 | |||||||||
Total Investments — 115.5% (Cost $699,643) | 689,497 | |||||||||
Liabilities in Excess of Other Assets — (15.5)% | (92,725 | ) | ||||||||
NET ASSETS — 100.0% | 596,772 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
526 | Euro-Dollars | March, 2006 | $ | 125,080 | $ | (34 | ) | |||||||||||
126 | Euro-Dollars | June, 2006 | 29,903 | 8 | ||||||||||||||
457 | 2 Year U.S. Treasury Notes | June, 2006 | 93,399 | 59 | ||||||||||||||
60 | 3 month Euribor | September, 2006 | 17,331 | (6 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(208 | ) | Euro-Bundesobligation | March, 2006 | (27,803 | ) | 146 | ||||||||||||
(4 | ) | 10 Year Japanese Government Bond | March, 2006 | (4,699 | ) | 25 | ||||||||||||
(191 | ) | 5 Year U.S. Treasury Notes | June, 2006 | (20,091 | ) | (27 | ) | |||||||||||
(32 | ) | Euro-Dollars | December, 2006 | (7,594 | ) | 3 | ||||||||||||
(25 | ) | Euro-Dollars | March, 2007 | (5,938 | ) | — | (h) | |||||||||||
(25 | ) | Euro-Dollars | June, 2007 | (5,941 | ) | — | (h) | |||||||||||
(107 | ) | 10 Year U.S. Treasury Notes | June, 2006 | (11,546 | ) | (22 | ) | |||||||||||
(83 | ) | Euro-Dollars | December, 2007 | (19,730 | ) | 80 | ||||||||||||
250 | Euro-Dollars | March, 2008 | (59,425 | ) | (32 | ) | ||||||||||||
$ | 200 |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 2/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
6,298 EUR | 03/24/06 | $7,573 | $ | 7,518 | $ | 55 |
(Amounts in thousands, except notional value and number of contracts)
COUNTERPARTY | | EXERCISE RATE* | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. | 5% quarterly | 04/18/06 | $ | 83,245,000 | $ | (103 | ) | $ | (70 | ) | ||||||||||||
Credit Suisse | 5.04% quarterly | 02/12/07 | 3,476,000 | (91 | ) | (76 | ) | |||||||||||||||
Deutsche Bank AG, New York | 5.12% quarterly | 02/24/09 | 17,090,000 | (404 | ) | (408 | ) | |||||||||||||||
Merril Lynch | 5.04% quarterly | 01/24/09 | 21,150,000 | (911 | ) | (790 | ) | |||||||||||||||
$ | (1,509 | ) | $ | (1,344 | ) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR. |
COUNTERPARTY | | EXERCISE RATE** | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse | 5.04% quarterly | 02/12/07 | $ | 3,476,000 | $ | (91 | ) | $ | (83 | ) | ||||||||||||
Deutsche Bank AG, New York | 5.12% quarterly | 02/24/09 | 17,090,000 | (404 | ) | (392 | ) | |||||||||||||||
Goldman Sachs Capital Management | 5.20% quarterly | 03/13/06 | 7,500,000 | (40 | ) | (7 | ) | |||||||||||||||
Merril Lynch | 5.04% quarterly | 01/24/09 | 21,150,000 | (911 | ) | (884 | ) | |||||||||||||||
$ | (1,446 | ) | $ | (1,366 | ) |
** | The Fund will receive a floating rate based on 3-month USD LIBOR. |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June, 2006 1 Year Mid Curve | $ | 95.5 | 06/01/06 | 146 | $ | (27 | ) | $ | (12 | ) | ||||||||||||
September, 2006 10 Year United States Treasury Note | 104 | 09/01/06 | 14 | (4 | ) | (3 | ) | |||||||||||||||
$ | (31 | ) | $ | (15 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June, 2006 90 Day Euro | $ | 94.88 | 06/01/06 | 233 | $ | (11 | ) | $ | (32 | ) | ||||||||||||
June, 2006 1 Year Mid Curve | 95 | 06/01/06 | 233 | (40 | ) | (77 | ) | |||||||||||||||
April, 2006 10 Year United States Treasury Note | 107 | 04/01/06 | 9 | (1 | ) | (1 | ) | |||||||||||||||
May, 2006 10 Year United States Treasury Note | 106 | 05/01/06 | 34 | (6 | ) | (4 | ) | |||||||||||||||
September, 2006 10 Year United States Treasury Note | 104 | 09/01/06 | 14 | (5 | ) | (3 | ) | |||||||||||||||
$ | (63 | ) | $ | (117 | ) |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | |||||||||||||
Bank Of America | Radioshack Corp., 7.38%, 05/15/11 | Buy | 133 BPS quarterly | 03/20/11 | $ | 2,000 | $ | (8 | ) | |||||||||||||||
Barclays Capital | Jones Apparel Group, 5.13%, 11/15/14 | Buy | 89 BPS quarterly | 03/20/11 | 2,000 | (17 | ) | |||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Buy | 114 BPS semi-annually | 10/20/07 | 3,000 | (34 | ) | |||||||||||||||||
Citibank, N.A. | General Electric Capital Corp., 3.50%, 05/01/08 | Sell | 14 BPS quarterly | 12/20/07 | 15,000 | 14 | ||||||||||||||||||
Citibank, N.A. | Russian Federation, 5.00%, 03/31/30 | Buy | 155 BPS semi-annually | 04/20/10 | 10,000 | (477 | ) | |||||||||||||||||
Citibank, N.A. | Gazpru, 8.63%, 04/28/34 | Sell | 250 BPS quarterly | 04/20/10 | 10,000 | 711 | ||||||||||||||||||
Citibank, N.A. | Mexico International Bond, 8.30%, 08/15/31 | Sell | 100 BPS semi-annually | 05/20/10 | 7,000 | 184 | ||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 116.50 BPS quarterly | 05/20/10 | 7,000 | (195 | ) | |||||||||||||||||
Citibank, N.A. | Mexico International Bond, 8.30%, 08/15/31 | Sell | 105 BPS semi-annually | 06/20/10 | 5,000 | 138 | ||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 125 BPS quarterly | 06/20/10 | 5,000 | (152 | ) | |||||||||||||||||
Citibank, N.A. | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 232 BPS semi-annually | 09/20/10 | 5,300 | 323 | ||||||||||||||||||
Citibank, N.A. | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 258 BPS semi-annually | 09/20/10 | 9,450 | 688 | ||||||||||||||||||
Citibank, N.A. | Republic Of Colombia, 10.38%, 01/28/33 | Buy | 207 BPS semi-annually | 09/20/10 | 5,300 | (322 | ) | |||||||||||||||||
Citibank, N.A. | Republic Of Colombia, 10.38%, 01/28/33 | Buy | 236 BPS semi-annually | 09/20/10 | 9,450 | (700 | ) | |||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 296.5 BPS semi-annually | 10/20/10 | 3,000 | 129 | ||||||||||||||||||
Deutsche Bank AG, New York | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 52 BPS annually | 04/20/06 | 8,000 | 21 | ||||||||||||||||||
Deutsche Bank AG, New York | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 105 BPS semi-annually | 04/20/06 | 8,200 | (42 | ) | |||||||||||||||||
Deutsche Bank AG, New York | Prudential, 6.38%, 06/23/06 | Sell | 19 BPS quarterly | 09/20/06 | 7,600 | 10 | ||||||||||||||||||
Deutsche Bank AG, New York | Coca Cola, 5.75%, 03/15/11 | Sell | 16 BPS quarterly | 12/31/06 | 5,300 | 7 | ||||||||||||||||||
Deutsche Bank AG, New York | Brazilian Government International Bond, 12.25%, 03/06/30 | Sell | 235 BPS semi-annually | 04/20/07 | 8,200 | 263 | ||||||||||||||||||
Deutsche Bank AG, New York | Suntrust Capital Iii, 2.48%, 03/15/28 | Sell | 48 BPS quarterly | 06/30/07 | 7,600 | 15 | ||||||||||||||||||
Deutsche Bank AG, New York | Berkshire Hathaway, Inc., 9.75%, 01/15/18 | Sell | 20 BPS quarterly | 03/20/10 | 12,100 | 13 | ||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 99 | ||||||||||||||||||
Deutsche Bank AG, New York | Mexico International Bond, 7.50%, 04/08/33 | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (104 | ) | |||||||||||||||||
Deutsche Bank AG, New York | Mexico International Bond, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 07/20/10 | 10,000 | (215 | ) | |||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 07/20/10 | 10,000 | 237 | ||||||||||||||||||
Goldman Sachs Capital Management | Autozone, Inc., 5.88%, 10/15/12 | Buy | 78 BPS quarterly | 03/20/11 | 2,000 | (12 | ) | |||||||||||||||||
Goldman Sachs Capital Management | Tyson Foods, Inc., 8.25%, 10/01/11 | Buy | 86 BPS quarterly | 03/20/11 | 2,000 | 18 | ||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 9,600 | 133 | ||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 9,600 | 146 | ||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 54 BPS semi-annually | 10/20/07 | 9,600 | (65 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 61 BPS semi-annually | 10/20/07 | 9,600 | (78 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 343 BPS semi-annually | 09/20/10 | 6,500 | 397 | ||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 300 BPS semi-annually | 09/20/10 | 6,500 | (587 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 261.5 BPS semi-annually | 10/20/10 | 13,000 | (230 | ) |
SWAP COUNTERPARTY | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | |||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 303.5 BPS semi-annually | 10/20/10 | $ | 13,000 | $ | 133 | ||||||||||||||
Morgan Stanley Capital Services | Republic Of Colombia, 10.38%, 01/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 19,750 | (189 | ) | |||||||||||||||
Morgan Stanley Capital Services | Republic Of Venezuela, 9.25%, 09/15/27 | Sell | 100 BPS semi-annually | 10/20/07 | 4,800 | 65 | ||||||||||||||||
Morgan Stanley Capital Services | Republic Of Venezuela, 9.38%, 01/13/34 | Sell | 100 BPS semi-annually | 10/20/07 | 19,750 | 273 | ||||||||||||||||
Morgan Stanley Capital Services | Republic Of Colombia, 10.38%, 01/28/33 | Buy | 70 BPS semi-annually | 10/20/07 | 4,800 | (45 | ) | |||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 140 BPS semi-annually | 04/20/10 | 7,000 | 294 | ||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 112 BPS semi-annually | 04/20/10 | 7,000 | (227 | ) | |||||||||||||||
Morgan Stanley Capital Services | Ukraine, 7.65%, 06/11/13 | Sell | 190 BPS semi-annually | 07/20/10 | 10,000 | 177 | ||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 07/20/10 | 10,000 | (194 | ) | |||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 75 BPS semi-annually | 08/20/10 | 12,000 | (152 | ) | |||||||||||||||
Morgan Stanley Capital Services | Ukraine, 7.65%, 06/11/13 | Sell | 170 BPS semi-annually | 08/20/10 | 12,000 | 91 | ||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 64 BPS semi-annually | 09/20/10 | 2,700 | (29 | ) | |||||||||||||||
Morgan Stanley Capital Services | Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 09/20/10 | 2,700 | 46 | ||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | 6,200 | (534 | ) | |||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 335 BPS semi-annually | 10/20/10 | 3,850 | (153 | ) | |||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 6,200 | 371 | ||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 3,850 | 126 | ||||||||||||||||
Union Bank Of Switzerland AG, London | Aries, 9.60%, 10/25/14 | Sell | 142 BPS quarterly | 04/20/10 | 31,000 | 1,775 | ||||||||||||||||
Union Bank Of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Sell | 125 BPS semi-annually | 04/20/10 | 20,000 | 846 | ||||||||||||||||
Union Bank Of Switzerland AG, London | Mexico International Bond, 7.50%, 04/08/33 | Buy | 113 BPS semi-annually | 04/20/10 | 20,000 | (724 | ) | |||||||||||||||
Union Bank Of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 144 BPS semi-annually | 04/20/10 | 31,000 | (1,601 | ) | |||||||||||||||
Union Bank Of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 08/20/10 | 6,500 | (150 | ) | |||||||||||||||
Union Bank Of Switzerland AG, London | Ukraine, 7.65%, 06/11/13 | Sell | 184 BPS semi-annually | 08/20/10 | 6,500 | 143 | ||||||||||||||||
$ | 650 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | ||||||||||||
Barclays Capital | 5.15% semi-annually | 3 month LIBOR quarterly | 02/16/16 | $ 6,445 | $ (40 | ) | ||||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 4.55% semi-annually | 10/04/07 | 10,325 | 32 | |||||||||||||||||
Citibank, N.A. | 4.63% semi-annually | 3 month LIBOR quarterly | 10/04/10 | 4,450 | 28 | |||||||||||||||||
Citibank, N.A. | 5.12% semi-annually | 3 month LIBOR quarterly | 02/16/16 | 5,690 | (21 | ) | ||||||||||||||||
Credit Suisse | 5.12% semi-annually | 3 month LIBOR quarterly | 11/14/15 | 3,570 | (61 | ) | ||||||||||||||||
Credit Suisse | 3 month LIBOR quarterly | 5.04% semi-annually | 02/14/17 | 132 | — | |||||||||||||||||
Credit Suisse | 5.06% semi-annually | 3 month LIBOR quarterly | 02/14/37 | 132 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.10% semi-annually | 02/26/14 | 1,050 | 1 | |||||||||||||||||
Deutsche Bank AG, New York | 5.08% semi-annually | 3 month LIBOR quarterly | 02/21/16 | 7,780 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.09% semi-annually | 3 month LIBOR quarterly | 01/26/21 | 790 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.09% semi-annually | 3 month LIBOR quarterly | 01/26/21 | 791 | 1 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.09% semi-annually | 05/15/08 | 23,550 | (9 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.09% semi-annually | 3 month LIBOR quarterly | 05/15/16 | 15,200 | (20 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.12% semi-annually | 05/15/36 | 4,850 | 30 | |||||||||||||||||
Merril Lynch | 3 month LIBOR quarterly | 5.02% semi-annually | 01/28/29 | 2,115 | (17 | ) | ||||||||||||||||
Merril Lynch | 5.20% semi-annually | 3 month LIBOR quarterly | 01/27/36 | 2,970 | (26 | ) | ||||||||||||||||
$ (102 | ) |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Merril Lynch | 3 month LIBOR | 4.82% semi-annually | 03/13/06 | $ | 513,600 | $ | (23 | ) | ||||||||||||||
Merril Lynch | 3 month LIBOR | 5.08% semi-annually | 06/19/06 | 177,000 | 2 | |||||||||||||||||
Merril Lynch | 3 month LIBOR | 5.09% semi-annually | 06/19/06 | 200,600 | 10 | |||||||||||||||||
Merril Lynch | 3 month LIBOR | 5.09% semi-annually | 06/19/06 | 139,500 | 7 | |||||||||||||||||
Merril Lynch | 3 month LIBOR | 5.10% semi-annually | 06/19/06 | 94,400 | 7 | |||||||||||||||||
$ | 3 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse (a) | Treasury Note, 4.00%, 03/15/10 | $ | 98.23 | 03/02/06 | $ | 70,400 | $ | 427 | ||||||||||||||
Credit Suisse (b) | Treasury Note, 3.88%, 07/31/07 | �� | 98.86 | 04/05/06 | 182,700 | (33 | ) | |||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 63,700 | — | (h) | ||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 6.00%, 04/06 | 100.59 | 04/05/06 | 24,000 | (51 | ) | ||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 17,000 | — | (h) | ||||||||||||||||
Citibank, N.A. (a) | 30 Year FNMA, 5.00%, 04/06 | 96.69 | 04/05/06 | 13,900 | (36 | ) | ||||||||||||||||
Citibank, N.A. (b) | 30 Year FNMA, 5.00%, 04/06 | 96.67 | 04/05/06 | 24,000 | 32 | |||||||||||||||||
Deutsche Bank AG, New York (b) | 30 Year FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 7,000 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York (a) | 15 Year FNMA, 5.50%, 04/06 | 100.20 | 04/11/06 | 10,000 | 14 | |||||||||||||||||
Morgan Stanley Capital Services (a) | 30 Year FNMA, 5.50%, 03/06 | 98.63 | 03/06/06 | 7,000 | (27 | ) | ||||||||||||||||
Morgan Stanley Capital Services (b) | 15 Year FNMA, 5.50%, 04/06 | 100.13 | 04/11/06 | 10,000 | 21 | |||||||||||||||||
$ | 347 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (b) | 4 Year Swap Spread Lock | $ | 49.32 | 05/01/06 | $ | 19,000 | $ | 3 |
(a) | Fund pays the excess of the market price over the price lock and receives the excess of the price lock over the market price. |
(b) | Fund pays the excess of the price lock over the market price and receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2006 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 109.0% | ||||||||||
Asset Backed Securities — 20.4% | ||||||||||
3,718 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.07%, 02/15/12 (e) (m) | 3,726 | ||||||||
AmeriCredit Automobile Receivables Trust | ||||||||||
3,650 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 3,547 | ||||||||
6,850 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 6,792 | ||||||||
1,800 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,767 | ||||||||
3,100 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 3,040 | ||||||||
1,443 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 4.85%, 01/15/11 (e) (m) | 1,445 | ||||||||
Citibank Credit Card Issuance Trust | ||||||||||
7,250 | Series 2001-C3, Class C3, 6.65%, 05/15/08 (m) | 7,276 | ||||||||
8,500 | Series 2003-C2, Class C2, FRN, 5.50%, 03/20/08 (m) | 8,502 | ||||||||
5,100 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 5,030 | ||||||||
2,350 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 2,319 | ||||||||
6,700 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 6,559 | ||||||||
5,600 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 4.75%, 02/25/36 (m) | 5,600 | ||||||||
5,350 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 4.93%, 07/07/36 (m) | 5,347 | ||||||||
HSI Asset Securitization Corp. Trust | ||||||||||
6,850 | Series 2006-OPT1, Class 2A3, FRN, 4.77%, 12/25/35 (m) | 6,850 | ||||||||
7,369 | Series 2006-OPT2, Class 2A3, FRN, 4.79%, 01/25/36 (m) | 7,369 | ||||||||
7,100 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, FRN, 4.74%, 03/25/36 (m) | 7,100 | ||||||||
5,950 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 4.76%, 01/25/36 (m) | 5,950 | ||||||||
3,500 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 4.78%, 01/25/37 (m) | 3,500 | ||||||||
7,000 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 6,905 | ||||||||
7,300 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 7,200 | ||||||||
5,000 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 4.78%, 04/25/35 (m) | 5,001 | ||||||||
6,450 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 4.77%, 03/25/35 (m) | 6,450 | ||||||||
4,950 | Securitized Asset Backed Receivables LLC Trust, Class 2006-WM1, Class A2B, FRN, 4.79%, 12/25/35 (m) | 4,950 | ||||||||
1,346 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class N1, 5.68%, 12/25/35 (e) (m) | 1,344 | ||||||||
7,900 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 (m) | 7,734 | ||||||||
4,300 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 (m) | 4,202 | ||||||||
7,200 | World Omni Auto Receivables Trust, Series 2003-B, Class A4, 2.87%, 11/15/10 (m) | 7,037 | ||||||||
Total Asset Backed Securities (Cost $143,925) | 142,542 | |||||||||
Collateralized Mortgage Obligations — 28.7% | ||||||||||
Agency CMO — 9.1% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
1,706 | Series 364, Class 6, IO, 5.00%, 11/01/35 (m) | 362 | ||||||||
10,161 | Series 2564, Class LS, IF, IO, 3.08%, 01/15/17 (m) | 600 | ||||||||
19,777 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 1,007 | ||||||||
5,547 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 678 | ||||||||
5,245 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 373 | ||||||||
24,756 | Series 2791, Class SI, IF, IO, 2.58%, 12/15/31 (m) | 1,478 | ||||||||
27,013 | Series 2813, Class SB, IF, IO, 2.48%, 02/15/34 (m) | 1,629 | ||||||||
41,519 | Series 2850, Class SM, IF, IO, 2.58%, 12/15/30 (m) | 1,906 | ||||||||
8,575 | Series 2894, Class S, IF, IO, 2.63%, 03/15/31 (m) | 533 | ||||||||
8,044 | Series 2929, Class PA, 5.00%, 08/15/18 (m) | 8,021 | ||||||||
9,308 | Series 2939, Class HP, 5.00%, 04/15/28 (m) | 9,225 | ||||||||
10,745 | Series 2975, Class HA, 5.50%, 07/15/23 (m) | 10,757 | ||||||||
9,237 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 925 | ||||||||
Federal National Mortgage Association | ||||||||||
7,120 | Series 354, Class 2,5.50%, IO, 11/01/34 (m) | 1,586 | ||||||||
8,063 | Series 2003-3, Class HS, IO, FRN, 3.07%, 09/25/16 (m) | 430 | ||||||||
9,482 | Series 2004-61, Class TS, IF, IO, 2.52%, 10/25/31 (m) | 424 | ||||||||
5,130 | Series 2005-41, Class WA, 5.50%, 10/25/23 (m) | 5,124 | ||||||||
13,896 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 1,442 | ||||||||
9,545 | Series 2005-55, Class LC, 5.50%, 03/25/24 (m) | 9,529 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Agency CMO — Continued | ||||||||||
27,560 | Series 357, Class 2, IO, 5.00%, 02/01/35 (m) | 6,451 | ||||||||
Government National Mortgage Association | ||||||||||
14 | Series 2002-24, Class FA, FRN, 5.07%, 04/16/32 (m) | 14 | ||||||||
3,573 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 179 | ||||||||
5,871 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 450 | ||||||||
2,067 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 85 | ||||||||
63,208 | ||||||||||
Non-Agency CMO — 19.6% | ||||||||||
1,101 | ABN Amro Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 1,094 | ||||||||
6,332 | Bank of America Funding Corp., Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 6,264 | ||||||||
4,037 | Bank of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 4,016 | ||||||||
2,734 | Citicorp Mortgage Securities, Inc., Series 2005-7, Class 1A1, 5.50%, 10/25/35 (m) | 2,703 | ||||||||
9,077 | Countrywide Alternative Loan Trust, Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 9,025 | ||||||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||||
8,321 | Series 2005-18, Class A1, 5.50%, 10/25/35 (m) | 8,235 | ||||||||
7,645 | Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 7,558 | ||||||||
5,642 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 5,577 | ||||||||
4,150 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 4,128 | ||||||||
10,876 | Morgan Stanley Mortgage Loan Trust, Series 2005-4, Class 5A3, 5.50%, 08/25/35 (m) | 10,772 | ||||||||
6,144 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 6,073 | ||||||||
9,058 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.99%, 06/25/34 (m) | 8,851 | ||||||||
Structured Asset Securities Corp. | ||||||||||
8,048 | Series 2005-17, Class 4A1, 5.50%, 10/25/35 (m) | 7,957 | ||||||||
1,755 | Series 2005-5, Class 2A1, 5.50%, 04/25/35 (m) | 1,740 | ||||||||
3,868 | Wamu Alternative Mortgage Pass-Through Certificates, Series 2005-5, Class CB14, 5.50%, 07/25/35 (m) | 3,840 | ||||||||
12,953 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 (m) | 12,855 | ||||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||||||
4,895 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 (m) | 4,871 | ||||||||
16,988 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 (m) | 16,856 | ||||||||
6,767 | Series 2005-9, Class 1A8, 5.50%, 10/25/35 (m) | 6,688 | ||||||||
7,753 | Series 2005-11, Class 2A1, 5.50%, 10/25/35 (m) | 7,662 | ||||||||
136,765 | ||||||||||
Total Collateralized Mortgage Obligations (Cost $203,779) | 199,973 | |||||||||
Commercial Mortgage Backed Securities — 16.4% | ||||||||||
1,950 | Bank of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,886 | ||||||||
18,314 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 17,970 | ||||||||
3,339 | Calwest Industrial Trust, Series 2003-CALA, Class A, FRN, 4.74%, 06/15/15 (e) (m) | 3,340 | ||||||||
3,990 | CR, Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (i) | 4,093 | ||||||||
CS First Boston Mortgage Securities Corp. | ||||||||||
3,800 | Series 2001-CP4, Class A4, 6.18%,12/15/35 (m) | 3,956 | ||||||||
6,200 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 6,024 | ||||||||
3,124 | First Union Commercial Mortgage Securities, Inc., Series 1997-C1, Class A3, 7.38%, 04/18/29 (m) | 3,161 | ||||||||
5,900 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, VAR, 4.31%, 08/10/42 (m) | 5,719 | ||||||||
9,300 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 9,127 | ||||||||
LB-UBS Comercial Mortgage Trust | ||||||||||
5,100 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 4,928 | ||||||||
9,300 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 8,952 | ||||||||
5,700 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 5,406 | ||||||||
8,700 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 8,372 | ||||||||
2,200 | Series 2006-C1, Class A2, 5.08%, 02/15/31 (m) | 2,186 | ||||||||
2,150 | Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class A2, VAR, 5.22%, 11/12/37 (m) | 2,148 | ||||||||
Morgan Stanley Capital I | ||||||||||
10,844 | Series 1998-HF2, Class A2, 6.48%, 11/15/30 (m) | 11,100 | ||||||||
5,200 | Series 2006-T21, Class A2, 5.09%, 10/12/52 (m) | 5,176 | ||||||||
11,250 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 (m) | 11,057 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $118,888) | 114,601 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | ||||||||||
Corporate Bonds — 30.5% | ||||||||||
Automobiles — 0.5% | ||||||||||
3,600 | DaimlerChrysler NA Holding Corp., 4.13%, 03/07/07 (m) | 3,552 | ||||||||
Capital Markets — 0.8% | ||||||||||
5,400 | BNP US Funding LLC, VAR, 7.74%, 12/31/49 (e) (m) | 5,606 | ||||||||
Commercial Banks — 9.9% | ||||||||||
2,900 | Abbey National plc (United Kingdom), VAR, 7.35%, 12/31/49 (m) | 2,944 | ||||||||
4,500 | Bacob Bank SC (Belgium), VAR, 7.25%, 12/31/49 (e) (m) | 4,622 | ||||||||
1,900 | Deutsche Bank Capital Funding Trust I (Germany), VAR, 7.87%, 12/31/49 (e) (m) | 2,036 | ||||||||
6,200 | ForeningsSparbanken AB (Sweden), VAR, 7.50%, 12/31/49 (e) (m) | 6,297 | ||||||||
1,700 | Hana Bank (South Korea), 4.13%, 03/11/09 | 1,637 | ||||||||
2,850 | Korea First Bank (South Korea), VAR, 6.25%, 10/02/13 | 2,798 | ||||||||
5,400 | Mizuho JGB Investment LLC, VAR, 9.87%, 12/31/49 (e) (m) | 5,900 | ||||||||
2,750 | Nordea Bank Finland plc, VAR, 7.50%, 12/31/49 (e) (m) | 2,802 | ||||||||
5,100 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 5,077 | ||||||||
600 | Royal Bank of Scotland Group plc ADR (United Kingdom), Series 1, 9.12%, 12/31/49 (m) | 679 | ||||||||
9,050 | Skandinaviska Enskilda Banken AB (Sweden), VAR, 8.12%, 09/06/49 (e) (m) | 9,190 | ||||||||
3,750 | Standard Chartered First Bank Korea Ltd. (South Korea), VAR, 5.75%, 03/10/13 (e) (m) | 3,755 | ||||||||
4,950 | Svenska Handelsbanken (Sweden), VAR, 7.12%, 12/31/49 (e) (m) | 5,045 | ||||||||
11,400 | UBS AG, FRN, 5.09%, 07/20/06 | 11,394 | ||||||||
1,850 | VTB Capital SA for Vneshtorgbank, FRN, 5.25%, 09/21/07 (e) (m) | 1,854 | ||||||||
1,000 | Wachovia Capital Trust III, VAR, 5.80%, 12/31/49 (m) | 994 | ||||||||
1,950 | Woori Bank (South Korea), VAR, 4.88%, 07/02/13 (m) | 1,935 | ||||||||
68,959 | ||||||||||
Diversified Financial Services — 10.7% | ||||||||||
Counts Trust | ||||||||||
6,050 | Series 2002-10, FRN, 5.53%, 08/15/07 (e) (i) | 6,089 | ||||||||
6,050 | Series 2002-11, FRN, 5.58%, 08/15/07 (e) (i) | 6,089 | ||||||||
2,400 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) | 2,391 | ||||||||
International Lease Finance Corp., | ||||||||||
3,400 | 4.35%, 09/15/08 (m) | 3,318 | ||||||||
3,600 | VAR, 6.98%, 10/15/14 (m) | 3,634 | ||||||||
11,800 | Links Finance LLC, FRN, 4.74%, 09/15/08 (e) (i) | 11,802 | ||||||||
2,700 | Mantis Reef Ltd. (Australia), 4.69%, 11/14/08 (e) (m) | 2,639 | ||||||||
10,100 | Natexis Ambs Co. LLC, VAR, 8.44%, 12/31/49 (e) (m) | 10,756 | ||||||||
RACERS | ||||||||||
9,100 | FRN, 4.49%, 09/20/07 (e) (i) | 9,071 | ||||||||
4,700 | Series 2005-HE2, Class M4, FRN, 4.52%, 05/09/06 (e) (i) | 4,698 | ||||||||
4,600 | Twin Reefs Pass-Through Trust, FRN, 5.57%, 12/31/49 (e) (m) | 4,600 | ||||||||
6,000 | Two-Rock Pass Through Trust (Bermuda), FRN, 5.68%, 12/31/49 (e) (m) | 5,962 | ||||||||
3,600 | ZFS Finance USA Trust, VAR, 6.15%, 12/15/65 (e) (m) | 3,605 | ||||||||
74,654 | ||||||||||
Electric Utilities — 1.1% | ||||||||||
7,500 | FPL Group Capital, Inc., Series B, 5.55%, 02/16/08 (m) | 7,539 | ||||||||
Gas Utilities — 0.5% | ||||||||||
3,550 | Oneok, Inc., 5.51%, 02/16/08 (m) | 3,553 | ||||||||
Insurance — 2.4% | ||||||||||
9,100 | ASIF Global Financing, FRN, 4.74%, 03/14/08 (e) (m) | 9,120 | ||||||||
2,100 | Nippon Life Insurance (Japan), 4.88%, 08/09/10 (e) (m) | 2,053 | ||||||||
6,150 | Oil Insurance Ltd. (Bermuda), VAR, 4.74%, 10/06/06 (e) (i) | 6,148 | ||||||||
17,321 | ||||||||||
Multi-Utilities — 1.2% | ||||||||||
3,500 | Dominion Resources, Inc., SUB, 5.75%, 05/15/08 (m) | 3,520 | ||||||||
4,700 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 4,689 | ||||||||
8,209 | ||||||||||
Oil, Gas & Consumable Fuels — 0.5% | ||||||||||
3,300 | Pemex Project Funding Master Trust, FRN, 5.79%, 06/15/10 (e) (m) | 3,399 | ||||||||
Real Estate — 1.3% | ||||||||||
iStar Financial, Inc., REIT | ||||||||||
1,300 | 5.38%, 04/15/10, (m) | 1,291 | ||||||||
2,900 | Series B, 4.88%, 01/15/09, (m) | 2,856 | ||||||||
4,600 | Socgen Real Estate Co. LLC, VAR, 7.64%, 12/31/49 (e) (m) | 4,751 | ||||||||
8,898 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Thrifts & Mortgage Finance — 1.6% | ||||||||||
7,500 | Spintab AB (Sweden), VAR, 7.50%, 08/14/49 (e) (m) | 7,585 | ||||||||
3,400 | Washington Mutual Preferred Funding, VAR, 6.53%, 12/31/49 (e) (m) | 3,403 | ||||||||
10,988 | ||||||||||
Total Corporate Bonds (Cost $215,711) | 212,678 | |||||||||
Foreign Government Securities — 2.3% | ||||||||||
7,550 | Government of Chile (Chile), FRN, 5.06%, 01/28/08 (m) | 7,589 | ||||||||
4,670 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 4,661 | ||||||||
3,300 | United Mexican States (Mexico), FRN, 5.28%, 01/13/09 (m) | 3,351 | ||||||||
Total Foreign Government Securities (Cost $15,744) | 15,601 | |||||||||
Mortgage Pass-Through Securities — 9.2% | ||||||||||
56,950 | Federal National Mortgage Association Pool, 5.50%, 04/25/36 | 56,389 | ||||||||
7,950 | Federal National Mortgage Association Pool TBA, 5.50%, 03/25/36 | 7,989 | ||||||||
20 | Government National Mortgage Association Pool, 8.50%, 08/15/30 | 21 | ||||||||
Total Mortgage Pass-Through Securities (Cost $63,476) | 64,399 | |||||||||
U.S. Treasury Obligations — 1.0% | ||||||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||||
2,164 | 1.63%, 01/15/15 (m) | 2,100 | ||||||||
1,800 | 4.50%, 02/15/36 (m) | 1,799 | ||||||||
2,850 | U.S. Treasury Notes, 5.38%, 02/15/31 (m) | 3,173 | ||||||||
Total U.S. Treasury Obligations (Cost $6,985) | 7,072 | |||||||||
Total Long-Term Investments (Cost $768,508) | 756,866 | |||||||||
NUMBER OF CONTRACTS/ NOTIONAL VALUE | ||||||||||
Options Purchased — 0.5% | ||||||||||
Call Options Purchased — 0.2% | ||||||||||
2,750 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 127 | ||||||||
11,000 | Expiring 01/24/07. If exercised the Fund receives 4.81% and pays floating 3 month LIBOR expiring 01/26/12, European Style. | 87 |
NUMBER OF CONTRACTS/ NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
11,000 | Expiring 01/25/16. If exercised the Fund receives 5.20% and pays floating 3 month LIBOR expiring 01/27/36, European Style. | 770 | ||||||||
6,950 | Expiring 01/24/11. If exercised the Fund receives 5.09% and pays floating 3 month LIBOR expiring 01/26/21, European Style. | 320 | ||||||||
2,119 | Expiring 02/12/07. If exercised the Fund receives 5.06% and pays floating 3 month LIBOR expiring 02/16/37, European Style. | 90 | ||||||||
24,180 | Expiring 04/18/06. If exercised the Fund receives 4.97% and pays floating 3 month LIBOR expiring 04/20/16, European Style. | 98 | ||||||||
5,030 | Expiring 05/24/06. If exercised the Fund receives 4.90% and pays floating 3 month LIBOR expiring 05/26/11, European Style. | 15 | ||||||||
—(h) | Euro 1 Year Mid Curve expiring 06/06/07 @ $95.75 | 11 | ||||||||
—(h) | U.S. 5 Year Treasury Note expiring 04/06/06 @ $106.00 | 10 | ||||||||
1,528 | ||||||||||
Put Options Purchased — 0.3% | ||||||||||
—(h) | Euro 1 Year Mid Curve expiring 06/06/07 @ $95.75 | 2 | ||||||||
—(h) | 90 Day Euro expiring 06/06/06 @ $95.13 | 158 | ||||||||
—(h) | �� | U.S. 10 Year Treasury Note expiring 04/06/06 @ $108.00 | 6 | |||||||
—(h) | U.S. 10 Year Treasury Note expiring 05/06/06 @ $107.00 | 19 | ||||||||
5,030 | Expiring 05/24/06. If exercised the Fund pays 5.30% and receives floating 3 month LIBOR expiring 05/26/11, European Style. | 13 | ||||||||
2,750 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 129 | ||||||||
11,000 | Expiring 01/25/16. If exercised the Fund pays 5.20% and receives floating 3 month LIBOR expiring 01/27/36, European Style. | 687 | ||||||||
11,000 | Expiring 01/24/07. If exercised the Fund pays 4.81% and receives floating 3 month LIBOR expiring 01/26/12, European Style. | 203 | ||||||||
6,950 | Expiring 01/24/11. If exercised the Fund pays 5.09% and receives floating 3 month LIBOR expiring 01/26/21, European Style. | 326 | ||||||||
2,119 | Expiring 02/12/07. If exercised the Fund pays 5.06% and receives floating 3 month LIBOR expiring 02/16/37, European Style. | 91 | ||||||||
1,634 | ||||||||||
Total Options Purchased (Cost $3,330) | 3,162 |
NUMBER OF CONTRACTS/ NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 2.9% | ||||||||||
Investment Companies — 2.7% | ||||||||||
18,492 | JPMorgan Prime Money Market Fund (b) (m) | 18,492 | ||||||||
U.S. Treasury Securities — 0.2% | ||||||||||
U.S. Treasury Bills | ||||||||||
1,515 | 4.02%, 03/23/06 (k) (m) (n) | 1,511 | ||||||||
100 | 4.36%, 04/27/06 (k) (m) (n) | 100 | ||||||||
1,611 | ||||||||||
Total Short-Term Investments (Cost $20,102) | 20,103 | |||||||||
Total Investments — 111.9% (Cost $791,940) | 780,131 | |||||||||
Liabilities in Excess of Other Assets — (11.9)% | (82,911 | ) | ||||||||
NET ASSETS — 100.0% | 697,220 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
891 | Eurodollars | March, 2006 | 211,874 | (64 | ) | |||||||||||||
151 | Eurodollars | June, 2006 | 35,836 | 9 | ||||||||||||||
273 | 2 Year U.S. Treasury Notes | June, 2006 | 55,794 | 19 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(177) | 5 Year U.S. Treasury Notes | June, 2006 | (18,618 | ) | (23 | ) | ||||||||||||
(134) | 10 Year U.S. Treasury Notes | June, 2006 | (14,459 | ) | (27 | ) | ||||||||||||
(32) | Eurodollars | December, 2006 | (7,594 | ) | 3 | |||||||||||||
(100) | Eurodollars | March, 2007 | (23,750 | ) | — | (h) | ||||||||||||
(100) | Eurodollars | June, 2007 | (23,764 | ) | — | (h) | ||||||||||||
(133) | Eurodollars | December, 2007 | (31,616 | ) | 128 | |||||||||||||
45 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
COUNTERPARTY | | EXERCISE RATE* | | EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. | 5.00% quarterly | 04/18/06 | 98,970,000 | $ | (123 | ) | $ | (83 | ) | |||||||||||||
Credit Suisse International | 5.04% quarterly | 02/12/07 | 4,172,000 | (110 | ) | (91 | ) | |||||||||||||||
Deutsche Bank AG, New York | 5.12% quarterly | 02/24/09 | 20,130,000 | (475 | ) | (479 | ) | |||||||||||||||
Merrill Lynch Capital Services | 5.04% quarterly | 01/24/09 | 25,850,000 | (1,113 | ) | (966 | ) | |||||||||||||||
$ | (1,821 | ) | $ | (1,619 | ) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR. |
COUNTERPARTY | | EXERCISE RATE** | | EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.04% quarterly | 02/12/07 | 4,172,000 | $ | (110 | ) | $ | (100 | ) | |||||||||||||
Deutsche Bank AG, New York | 5.12% quarterly | 02/24/09 | 20,130,000 | (475 | ) | (461 | ) | |||||||||||||||
Goldman Sachs Capital Management | 5.20% quarterly | 03/13/06 | 9,155,000 | (49 | ) | (9 | ) | |||||||||||||||
Merrill Lynch Capital Services | 5.12% quarterly | 01/24/09 | 25,850,000 | (1,113 | ) | (1,080 | ) | |||||||||||||||
$ | (1,747 | ) | $ | (1,650 | ) |
** | The Fund will receive a floating rate based on 3-month USD LIBOR. |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June, 2006 1 Year Mid Curve | $ | 95.50 | �� | 06/01/06 | 178 | $ | (33 | ) | $ | (15 | ) | |||||||||||
September, 2006 10 Year U.S. Treasury Note | 112.00 | 09/01/06 | 17 | (6 | ) | (3 | ) | |||||||||||||||
$ | (39 | ) | $ | (18 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
April, 2006 10 Year U.S. Treasury Note | $ | 107.00 | 04/01/06 | 11 | $ | (2 | ) | $ | (2 | ) | ||||||||||||
May, 2006 10 Year U.S. Treasury Note | 106.00 | 05/01/06 | 40 | (7 | ) | (5 | ) | |||||||||||||||
June, 2006 1 Year Mid Curve | 94.88 | 06/01/06 | 287 | (13 | ) | (40 | ) | |||||||||||||||
June, 2006 1 Year Mid Curve | 95.00 | 06/01/06 | 287 | (49 | ) | (95 | ) | |||||||||||||||
September, 2006 10 Year U.S. Treasury Note | 104.00 | 09/01/06 | 17 | (5 | ) | (3 | ) | |||||||||||||||
$ | (76 | ) | $ | (145 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank Of America | Radioshack Corp., 7.38%, 05/15/11 | Buy | 133 BPS quarterly | 03/20/11 | $ | 3,000 | $ | (12 | ) | |||||||||||||||||
Barclays Capital | Jones Apparel Group, 5.13%, 11/15/14 | Buy | 89 BPS quarterly | 03/20/11 | 3,000 | (26 | ) | |||||||||||||||||||
Citibank, N.A. | General Electric Capital Corp., 3.50%, 05/01/08 | Sell | 14 BPS quarterly | 12/20/07 | 23,000 | 22 | ||||||||||||||||||||
Deutsche Bank AG, New York | Suntrust Capital, 2.48%, 03/15/28 | Sell | 48 BPS quarterly | 06/30/07 | 12,400 | 25 | ||||||||||||||||||||
Deutsche Bank AG, New York | Berkshire Hathaway, Inc., 9.75%, 01/15/18 | Sell | 20 BPS quarterly | 03/20/10 | 8,000 | 20 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 99 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (104 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 07/20/10 | 15,000 | (323 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 07/20/10 | 15,000 | 344 | ||||||||||||||||||||
Goldman Sachs Capital Management | Autozone Inc., 5.88%, 10/15/12 | Buy | 78 BPS quarterly | 03/20/11 | 3,000 | (18 | ) | |||||||||||||||||||
Goldman Sachs Capital Management | Tyson Foods Inc., 8.25%, 01/10/11 | Buy | 86 BPS quarterly | 03/20/11 | 3,000 | 27 | ||||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 112 BPS semi-annually | 04/20/10 | 10,000 | (325 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 140 BPS semi-annually | 04/20/10 | 10,000 | 421 | ||||||||||||||||||||
Union Bank Of Switzerland AG, London | United Mexican States, 7.50%, 04/08/33 | Buy | 113 BPS semi-annually | 04/20/10 | 30,000 | (1,086 | ) | |||||||||||||||||||
Union Bank Of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 125 BPS semi-annually | 04/20/10 | 44,000 | (1,862 | ) | |||||||||||||||||||
Union Bank Of Switzerland AG, London | Aries, 9.60%, 10/25/14 | Sell | 120 BPS semi-annually | 04/20/10 | 44,000 | 2,046 | ||||||||||||||||||||
Union Bank Of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Sell | 125 BPS semi-annually | 04/20/10 | 30,000 | 1,269 | ||||||||||||||||||||
�� | $ | 517 |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | ||||||||||||
Barclays Capital | 5.15% semi-annually | 3 month LIBOR quarterly | 02/16/16 | $ 7,730 | $ (47 | ) | ||||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 4.55% semi-annually | 10/04/07 | 13,075 | 41 | |||||||||||||||||
Citibank, N.A. | 4.63% semi-annually | 3 month LIBOR quarterly | 10/04/10 | 11,300 | 36 | |||||||||||||||||
Citibank, N.A. | 5.12% semi-annually | 3 month LIBOR quarterly | 02/16/16 | 6,820 | (25 | ) | ||||||||||||||||
Credit Suisse International | 5.12% semi-annually | 3 month LIBOR quarterly | 11/14/15 | 4,255 | (73 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.04% semi-annually | 02/14/17 | 159 | — | |||||||||||||||||
Credit Suisse International | 5.06% semi-annually | 3 month LIBOR quarterly | 02/14/37 | 159 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.10% semi-annually | 02/26/14 | 1,200 | 1 | |||||||||||||||||
Deutsche Bank AG, New York | 5.08% semi-annually | 3 month LIBOR quarterly | 02/22/16 | 10,000 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.09% semi-annually | 3 month LIBOR quarterly | 01/26/21 | 970 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.09% semi-annually | 3 month LIBOR quarterly | 01/26/21 | 973 | 1 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.09% semi-annually | 05/15/08 | 28,250 | (11 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.09% semi-annually | 3 month LIBOR quarterly | 05/15/16 | 18,250 | (23 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.12% semi-annually | 05/15/36 | 5,800 | 35 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.02% semi-annually | 01/28/29 | 2,585 | (20 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.20% semi-annually | 3 month LIBOR quarterly | 01/27/36 | 3,630 | (32 | ) | ||||||||||||||||
$(117 | ) |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (a) | Treasury Note, 4.00%, 03/10 | 97.65 | 04/03/06 | $ | 78,800 | $ | (46 | ) | ||||||||||||||
Citibank, N.A. (a) | 30 Year, FNMA, 5.00%, 04/06 | 96.69 | 04/05/06 | 16,400 | (43 | ) | ||||||||||||||||
Citibank, N.A. (b) | 30 Year, FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 20,000 | — | (h) | ||||||||||||||||
Citibank, N.A. (a) | 30 Year, FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 52,000 | — | (h) | ||||||||||||||||
Citibank, N.A. (a) | 30 Year, FNMA, 6.00%, 04/06 | 100.59 | 04/05/06 | 30,000 | (64 | ) | ||||||||||||||||
Citibank, N.A. (b) | 30 Year, FNMA, 5.00%, 05/06 | 96.72 | 05/04/06 | 30,000 | 39 | |||||||||||||||||
Credit Suisse International (b) | Treasury Note, 3.88%, 07/07 | 98.86 | 04/05/06 | 272,700 | (49 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | 30 Year, FNMA, 5.50%, 04/06 | 98.91 | 04/05/06 | 8,500 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York (a) | 15 Year, FNMA, 5.50%, 04/06 | 100.20 | 04/11/06 | 12,000 | 17 | |||||||||||||||||
Morgan Stanley Capital Services (a) | 30 Year, FNMA, 5.50%, 03/06 | 98.63 | 03/06/06 | 8,500 | �� | (33 | ) | |||||||||||||||
Morgan Stanley Capital Services (b) | 15 Year, FNMA, 5.50%, 04/06 | 100.13 | 04/11/06 | 12,000 | 25 | |||||||||||||||||
$ | (154 | ) |
(a) | Fund pays the excess of the market price over the price lock and receives the excess of the price lock over the market price. |
(b) | Fund pays the excess of the price lock over the market price and receives the excess of the market price over the price lock. |
RATE TYPE | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 4.82% semi-annually | 03/13/06 | $ | 643,700 | $ | (29 | ) | ||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.08% semi-annually | 06/19/06 | 212,200 | 3 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.09% semi-annually | 06/19/06 | 240,500 | 12 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.09% semi-annually | 06/19/06 | 175,200 | 9 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR | 5.10% semi-annually | 06/19/06 | 113,200 | 8 | |||||||||||||||||
$ | 3 |
AS OF FEBRUARY 28, 2006 (Unaudited)
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(d)— | Defaulted Security. |
(e)— | All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. |
(f)— | Fair Valued Investment. The following are approximately the market value and percentage of the investments based on net assets that are fair valued (amounts in thousands) |
Fund | | Market Value | | Percentages | ||||||
---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Bond Fund | $19,726 | 1.38 | % | |||||||
JPMorgan Global Strategic Income Fund | 1,881 | 8.42 |
(g)— | Amount rounds to less than 0.1%. |
(h)— | Amount rounds to less than one thousand. |
(i)— | Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
(k)— | Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(m)— | All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBA, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
(n)— | The rate shown is the effective yield at the date of purchase. |
(r)— | Rates shown are per annum and payments are as described. |
ADR— | American Depositary Receipt |
ARS— | Argentine Peso |
AUD— | Australian Dollar |
BRL— | Brazilian Real |
CAD— | Canadian Dollar |
CHF— | Swiss Franc |
CMO— | Collateralized Mortgage Obligation |
EUR— | Euro |
FNMA— | Federal National Mortgage Association |
FRN— | Floating Rate Note. The rate shown is the rate in effect as of February 28, 2006. |
GBP— | British Pound |
GNMA— | Government National Mortgage Association |
IF— | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. |
IO— | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
JPY— | Japanese Yen |
MXN— | Mexican Peso |
NZD— | New Zealand Dollar |
PLN— | Polish Zloty |
RACERS— | Restructured Asset Securities with Enhanced Returns. |
REIT— | Real Estate Investment Trust |
SEK— | Swedish Krona |
SGD— | Singapore Dollar |
STRIPS— | Separate Trading of Registered Interest and Principal Securities. |
SUB— | Step-Up Bond. The rate shown is the rate in effect as of February 28, 2006. |
TBA— | To be announced. |
THB— | Thai Baht |
TRAINS— | Targeted Return Index |
TRY— | New Turkish Lira |
USD— | United States Dollar. |
VAR— | Variable. The interest rate shown is the rate in effect at February 28, 2006. |
ZAR— | South African Rand |
AS OF FEBRUARY 28, 2006 (Unaudited)
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Global Strategic Income Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 2,040,195 | $ | 87,640 | $ | 143,512 | $ | 21,289 | ||||||||||
Investments in affiliates, at value | 17,369 | 6,085 | 1,593 | 4,553 | ||||||||||||||
Total investment securities, at value | 2,057,564 | 93,725 | 145,105 | 25,842 | ||||||||||||||
Cash | — | — | (a) | 42 | 31 | |||||||||||||
Foreign currency, at value | — | 192 | — | 17 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 1,290,445 | 1,668 | 46,891 | 3,163 | ||||||||||||||
Fund shares sold | 1,234 | 371 | — | 216 | ||||||||||||||
Interest and dividends | 11,999 | 1,417 | 523 | 262 | ||||||||||||||
Variation margin on futures contracts | 490 | 48 | 14 | 10 | ||||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 34 | — | — | 18 | ||||||||||||||
Outstanding swap contracts, at value | 10,680 | 339 | 3 | — | ||||||||||||||
Expense reimbursements | — | — | — | 24 | ||||||||||||||
Prepaid expenses and other assets | — | — | �� | — | 8 | |||||||||||||
Total Assets | 3,372,446 | 97,760 | 192,578 | 29,591 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Due to custodian | 3,313 | — | — | — | ||||||||||||||
Dividends | 3,637 | 189 | 53 | 37 | ||||||||||||||
Investment securities purchased | 1,673,493 | 4,214 | 56,371 | 7,103 | ||||||||||||||
Securities sold short, at value | 234,089 | — | — | — | ||||||||||||||
Fund shares redeemed | 712 | 88 | — | 46 | ||||||||||||||
Variation margin on futures contracts | 415 | 41 | 14 | 13 | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | — | — | — | 1 | ||||||||||||||
Outstanding options written, at fair value | 14,573 | — | 25 | — | ||||||||||||||
Outstanding swap contracts, at value | 10,525 | 345 | 24 | — | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 228 | 38 | 8 | — | ||||||||||||||
Administration fees | 85 | 5 | — | (a) | — | |||||||||||||
Shareholder servicing fees | 190 | — | — | 4 | ||||||||||||||
Distribution fees | 4 | — | — | 8 | ||||||||||||||
Custodian and accounting fees | 23 | 19 | 4 | 29 | ||||||||||||||
Trustees’ fees — deferred compensation plan | 3 | — | (a) | 1 | — | (a) | ||||||||||||
Other | 147 | 71 | 74 | — | ||||||||||||||
Total liabilities | 1,941,437 | 5,010 | 56,574 | 7,241 | ||||||||||||||
Net Assets | $ | 1,431,009 | $ | 92,750 | $ | 136,004 | $ | 22,350 |
(a) | Amount rounds to less than $1,000. |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Global Strategic Income Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||||||
Paid in capital | $ | 1,451,882 | $ | 88,140 | $ | 143,318 | $ | 49,439 | ||||||||||
Accumulated undistributed (distributions in excess of) net investment income | (532 | ) | (14 | ) | 11 | 167 | ||||||||||||
Accumulated net realized gains (losses) | (8,079 | ) | 531 | (7,462 | ) | (26,634 | ) | |||||||||||
Net unrealized appreciation (depreciation) | (12,262 | ) | 4,093 | 137 | (622 | ) | ||||||||||||
Total Net Assets | $ | 1,431,009 | $ | 92,750 | $ | 136,004 | $ | 22,350 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 9,637 | $ | — | $ | — | $ | 4,708 | ||||||||||
Class B | 2,480 | — | — | 6,236 | ||||||||||||||
Class C | 1,200 | — | — | 2,531 | ||||||||||||||
Class M | — | — | — | 4,189 | ||||||||||||||
Select Class | 1,039,803 | 92,750 | — | 1,981 | ||||||||||||||
Institutional Class | 236,583 | — | 136,004 | 2,705 | ||||||||||||||
Ultra | 141,306 | — | — | — | ||||||||||||||
Total | $ | 1,431,009 | $ | 92,750 | $ | 136,004 | $ | 22,350 | ||||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||||
Class A | 1,025 | — | — | 509 | ||||||||||||||
Class B | 266 | — | — | 675 | ||||||||||||||
Class C | 128 | — | — | 274 | ||||||||||||||
Class M | — | — | — | 453 | ||||||||||||||
Select Class | 111,730 | 10,904 | — | 214 | ||||||||||||||
Institutional Class | 25,427 | — | 13,916 | 292 | ||||||||||||||
Ultra | 15,187 | — | — | — | ||||||||||||||
Net Asset Value: | ||||||||||||||||||
Class A — Redemption price per share | $ | 9.40 | $ | — | $ | — | $ | 9.24 | ||||||||||
Class B — Offering price per share (a) | 9.33 | — | — | 9.24 | ||||||||||||||
Class C — Offering price per share (a) | 9.38 | — | — | 9.24 | ||||||||||||||
Class M — Redemption price per share | — | — | — | 9.25 | ||||||||||||||
Select Class — Offering and redemption price per share | 9.31 | 8.51 | — | 9.25 | ||||||||||||||
Institutional Class — Offering and redemption price per share | 9.30 | — | 9.77 | 9.25 | ||||||||||||||
Ultra — Offering and redemption price per share | 9.30 | — | — | — | ||||||||||||||
Class A maximum sales charge | 4.50 | % | — | — | 4.50 | % | ||||||||||||
Class A maximum public offering price per share (net asset value per share/100% – maximum sales charge) | $ | 9.84 | $ | — | $ | — | $ | 9.68 | ||||||||||
Class M maximum sales charge | — | — | — | 3.00 | % | |||||||||||||
Class M maximum public offering price per share (net asset value per share/100% – maximum sales charge) | $ | — | $ | — | $ | — | $ | 9.54 | ||||||||||
Cost of investments | $ | 2,071,411 | $ | 89,643 | $ | 144,928 | $ | 26,485 | ||||||||||
Cost of foreign currency | — | 191 | — | 17 | ||||||||||||||
Premiums received from options written | 16,475 | — | 12 | — | ||||||||||||||
Proceeds received from securities sold short | 233,406 | — | — | — | ||||||||||||||
Premiums received from swaps | 43 | — | — | — |
(a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
| Real Return Fund (a) | | Short Term Bond Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 57,718 | $ | 654,374 | $ | 761,639 | ||||||||
Investments in affiliates, at value | 1,877 | 35,123 | 18,492 | |||||||||||
Total investment securities, at value | 59,595 | 689,497 | 780,131 | |||||||||||
Cash | 62 | — | — | |||||||||||
Foreign currency, at value | 67 | 229 | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 4,040 | 283,805 | 375,737 | |||||||||||
Fund shares sold | — | (b) | 445 | 183 | ||||||||||
Interest and dividends | 181 | 5,178 | 5,118 | |||||||||||
Variation margin on futures contracts | 14 | 450 | 60 | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 17 | 55 | — | |||||||||||
Outstanding swap contracts, at value | 270 | 8,501 | 4,500 | |||||||||||
Expense reimbursements | 4 | — | — | |||||||||||
Total Assets | 64,250 | 988,160 | 1,165,729 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Due to custodian | — | 1,048 | 818 | |||||||||||
Dividends | — | 1,209 | 3,115 | |||||||||||
Investment securities purchased | 5,829 | 377,904 | 455,363 | |||||||||||
Securities sold short, at value | — | — | — | |||||||||||
Fund shares redeemed | 18 | 334 | 934 | |||||||||||
Variation margin on futures contracts | 47 | 185 | 112 | |||||||||||
Unrealized loss on forward foreign currency exchange contracts | 12 | — | — | |||||||||||
Outstanding options written, at fair value | 10 | 2,842 | 3,432 | |||||||||||
Outstanding swap contracts, at value | 173 | 7,600 | 4,251 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | — | 100 | 142 | |||||||||||
Administration fees | — | 4 | 35 | |||||||||||
Shareholder servicing fees | 7 | 35 | 84 | |||||||||||
Distribution fees | — | (b) | 1 | 76 | ||||||||||
Custodian and accounting fees | 13 | 16 | 27 | |||||||||||
Trustees’ fees — deferred compensation plan | — | (b) | 3 | 5 | ||||||||||
Other | 55 | 107 | 115 | |||||||||||
Total liabilities | 6,164 | 391,388 | 468,509 | |||||||||||
Net Assets | $ | 58,086 | $ | 596,772 | $ | 697,220 |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
| Real Return Fund (a) | | Short Term Bond Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 59,534 | $ | 619,987 | $ | 731,228 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (417 | ) | 1,258 | 817 | ||||||||||
Accumulated net realized gains (losses) | (655 | ) | (15,690 | ) | (23,562 | ) | ||||||||
Net unrealized appreciation (depreciation) | (376 | ) | (8,783 | ) | (11,263 | ) | ||||||||
Total Net Assets | $ | 58,086 | $ | 596,772 | $ | 697,220 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 341 | $ | 3,902 | $ | 36,694 | ||||||||
Class C | 15 | — | — | |||||||||||
Class M | — | — | 248,698 | |||||||||||
Select Class | 57,715 | 188,160 | 411,828 | |||||||||||
Institutional Class | 15 | 404,710 | — | |||||||||||
Total | $ | 58,086 | $ | 596,772 | $ | 697,220 | ||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 35 | 410 | 3,715 | |||||||||||
Class C | 1 | — | — | |||||||||||
Class M | — | — | 25,176 | |||||||||||
Select Class | 5,957 | 19,748 | 41,625 | |||||||||||
Institutional Class | 2 | 42,468 | — | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 9.67 | $ | 9.53 | $ | 9.88 | ||||||||
Class C — Offering price per share (b) | 9.67 | — | — | |||||||||||
Class M — Redemption price per share | — | — | 9.88 | |||||||||||
Select Class — Offering and redemption price per share | 9.69 | 9.53 | 9.89 | |||||||||||
Institutional Class — Offering and redemption price per share | 9.69 | 9.53 | — | |||||||||||
Class A maximum sales charge | 4.50 | % | 3.00 | % | 3.00 | % | ||||||||
Class A maximum public offering price per share (net asset value per share/100% – maximum sales charge) | $ | 10.13 | $ | 9.82 | $ | 10.19 | ||||||||
Class M maximum sales charge | — | — | 1.50 | % | ||||||||||
Class M maximum public offering price per share (net asset value per share/100% – maximum sales charge) | $ | — | $ | — | $ | 10.03 | ||||||||
Cost of investments | $ | 60,052 | $ | 699,643 | $ | 791,940 | ||||||||
Cost of foreign currency | 65 | 229 | — | |||||||||||
Premiums received from options written | 5 | 3,049 | 3,683 |
(a) | Commencement of operations was September 1, 2005. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006 (Unaudited)
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Global Strategic Income Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Interest income | $ | 18,615 | $ | 1,435 | $ | 3,587 | $ | 579 | ||||||||||
Dividend Income | — | — | 46 | — | ||||||||||||||
Dividend income from affiliates (a) | 576 | 53 | 115 | 61 | ||||||||||||||
Foreign taxes withheld | (11 | ) | (2 | ) | (1 | ) | — | (b) | ||||||||||
Total Investment Income | 19,180 | 1,486 | 3,747 | 640 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment advisory fees | 1,061 | 156 | 188 | 49 | ||||||||||||||
Administration fees | 369 | 23 | 78 | 11 | ||||||||||||||
Distribution fees: | ||||||||||||||||||
Class A | 9 | — | — | 5 | ||||||||||||||
Class B | 9 | — | — | 24 | ||||||||||||||
Class C | 3 | — | — | 10 | ||||||||||||||
Class M | — | — | — | 11 | ||||||||||||||
Shareholder servicing fees: | ||||||||||||||||||
Class A | 9 | — | — | 5 | ||||||||||||||
Class B | 3 | — | — | 8 | ||||||||||||||
Class C | 1 | — | — | 3 | ||||||||||||||
Class M | — | — | — | 7 | ||||||||||||||
Select Class | 393 | 56 | — | 2 | ||||||||||||||
Institutional Class | 122 | — | 75 | 1 | ||||||||||||||
Custodian and accounting fees | 49 | 33 | 14 | 41 | ||||||||||||||
Interest expense | — | 1 | 1 | — | (b) | |||||||||||||
Professional fees | 63 | 58 | 41 | 63 | ||||||||||||||
Trustees’ fees | 5 | — | (b) | 1 | — | (b) | ||||||||||||
Printing and mailing costs | 38 | 6 | 7 | 25 | ||||||||||||||
Registration and filing fees | 45 | 12 | 9 | 40 | ||||||||||||||
Transfer agent fees | 103 | 10 | 4 | 32 | ||||||||||||||
Other | 33 | 4 | 11 | 5 | ||||||||||||||
Total expenses | 2,315 | 359 | 429 | 342 | ||||||||||||||
Less amounts waived | (350 | ) | (79 | ) | (273 | ) | (61 | ) | ||||||||||
Less earnings credits | (18 | ) | — | (b) | (3 | ) | (1 | ) | ||||||||||
Less expense reimbursements | — | — | — | (135 | ) | |||||||||||||
Net expenses | 1,947 | 280 | 153 | 145 | ||||||||||||||
Net Investment Income (Loss) | 17,233 | 1,206 | 3,594 | 495 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) | Amount rounds to less than $1,000. |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Global Strategic Income Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||||
Investments | $ | (8,115 | ) | $ | 1,397 | $ | (233 | ) | $ | 253 | ||||||||
Securities sold short | (1,373 | ) | — | (111 | ) | — | ||||||||||||
Options written | 4,535 | — | 172 | — | ||||||||||||||
Futures | (30 | ) | (105 | ) | (320 | ) | 22 | |||||||||||
Swaps | (1,490 | ) | 31 | (56 | ) | — | ||||||||||||
Foreign currency transactions | 16 | 86 | — | (a) | (34 | ) | ||||||||||||
Net realized gain (loss) | (6,457 | ) | 1,409 | (548 | ) | 241 | ||||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments | (6,178 | ) | 1,676 | 59 | (426 | ) | ||||||||||||
Securities sold short | 880 | — | — | — | ||||||||||||||
Options written | 1,955 | — | (22 | ) | — | |||||||||||||
Futures | (23 | ) | 70 | (125 | ) | 20 | ||||||||||||
Swaps | (760 | ) | (43 | ) | (21 | ) | — | |||||||||||
Foreign currency translations | 233 | 5 | 1 | 48 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,893 | ) | 1,708 | (108 | ) | (358 | ) | |||||||||||
Net realized/unrealized gains (losses) | (10,350 | ) | 3,117 | (656 | ) | (117 | ) | |||||||||||
Change in net assets resulting from operations | $ | 6,883 | $ | 4,323 | $ | 2,938 | $ | 378 |
(a) | Amount rounds to less than $1,000. |
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006 (Unaudited) (continued)
| Real Return Fund (a) | | Short Term Bond Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income | $ | 932 | $ | 14,104 | $ | 19,387 | ||||||||
Dividend income | — | 271 | — | |||||||||||
Dividend income from affiliates (b) | 49 | 978 | 549 | |||||||||||
Foreign taxes withheld | — | (7 | ) | (11 | ) | |||||||||
Total Investment Income | 981 | 15,346 | 19,925 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 92 | 755 | 945 | |||||||||||
Administration fees | 27 | 315 | 394 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | — | (c) | 4 | 49 | ||||||||||
Class C | — | (c) | — | — | ||||||||||
Class M | — | — | 519 | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | — | (c) | 4 | 49 | ||||||||||
Class C | — | (c) | — | — | ||||||||||
Class M | — | — | 371 | |||||||||||
Select Class | 65 | 200 | 525 | |||||||||||
Institutional Class | — | (c) | 220 | — | ||||||||||
Custodian and accounting fees | 17 | 36 | 38 | |||||||||||
Interest expense | — | — | 1 | |||||||||||
Professional fees | 44 | 50 | 75 | |||||||||||
Trustees’ fees | — | (c) | 4 | 5 | ||||||||||
Printing and mailing costs | 6 | 24 | 35 | |||||||||||
Registration and filing fees | 56 | 22 | 14 | |||||||||||
Transfer agent fees | 19 | 28 | 38 | |||||||||||
Other | 5 | 22 | 60 | |||||||||||
Total expenses | 331 | 1,684 | 3,118 | |||||||||||
Less amounts waived | (145 | ) | (554 | ) | (425 | ) | ||||||||
Less earnings credits | (1 | ) | (17 | ) | (13 | ) | ||||||||
Less expense reimbursements | (15 | ) | — | — | ||||||||||
Net expenses | 170 | 1,113 | 2,680 | |||||||||||
Net Investment Income (Loss) | 811 | 14,233 | 17,245 |
(a) | Commencement of operations was September 1, 2005. |
(b) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(c) | Amount rounds to less than $1,000. |
| Real Return Fund (a) | | Short Term Bond Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments | $ | (558 | ) | $ | (4,673 | ) | $ | (8,215 | ) | |||||
Securities sold short | (101 | ) | (395 | ) | (540 | ) | ||||||||
Options written | 81 | (20 | ) | (17 | ) | |||||||||
Futures | (51 | ) | (847 | ) | (1,141 | ) | ||||||||
Swaps | (26 | ) | (435 | ) | (361 | ) | ||||||||
Foreign currency transactions | — | (b) | 29 | — | ||||||||||
Net realized gain (loss) | (655 | ) | (6,341 | ) | (10,274 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments | (457 | ) | (4,117 | ) | (3,627 | ) | ||||||||
Securities sold short | — | — | — | |||||||||||
Options written | (5 | ) | 137 | 153 | ||||||||||
Futures | (4 | ) | 588 | 685 | ||||||||||
Swaps | 97 | 653 | (322 | ) | ||||||||||
Foreign currency translations | (7 | ) | 61 | — | ||||||||||
Change in net unrealized appreciation (depreciation) | (376 | ) | (2,678 | ) | (3,111 | ) | ||||||||
Net realized/unrealized gains (losses) | (1,031 | ) | (9,019 | ) | (13,385 | ) | ||||||||
Change in net assets resulting from operations | $ | (220 | ) | $ | 5,214 | $ | 3,860 |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 17,233 | $ | 30,901 | $ | 1,206 | $ | 2,203 | |||||||||||
Net realized gain (loss) | (6,457 | ) | 21,795 | 1,409 | 6,189 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | (3,893 | ) | (10,912 | ) | 1,708 | (2,325 | ) | ||||||||||||
Change in net assets resulting from operations | 6,883 | 41,784 | 4,323 | 6,067 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (161 | ) | (164 | ) | — | — | |||||||||||||
From net realized gains | (198 | ) | (91 | ) | — | — | |||||||||||||
Class B | |||||||||||||||||||
From net investment income | (45 | ) | (62 | ) | — | — | |||||||||||||
From net realized gains | (68 | ) | (55 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | (16 | ) | (9 | ) | — | — | |||||||||||||
From net realized gains | (24 | ) | (6 | ) | — | — | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (7,569 | ) | (8,133 | ) | (1,349 | ) | (2,457 | ) | |||||||||||
From net realized gains | (5,719 | ) | (5,643 | ) | (6,019 | ) | (4,588 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | (5,577 | ) | (12,001 | ) | — | — | |||||||||||||
From net realized gains | (6,859 | ) | (8,858 | ) | — | — | |||||||||||||
Ultra | |||||||||||||||||||
From net investment income | (3,277 | ) | (13,890 | ) | — | — | |||||||||||||
From net realized gains | (3,926 | ) | (10,597 | ) | — | — | |||||||||||||
Total distributions to shareholders | (33,439 | ) | (59,509 | ) | (7,368 | ) | (7,045 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 860,266 | (277,832 | ) | 61,347 | (719 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 833,710 | (295,557 | ) | 58,302 | (1,697 | ) | |||||||||||||
Beginning of period | 597,299 | 892,856 | 34,448 | 36,145 | |||||||||||||||
End of period | $ | 1,431,009 | $ | 597,299 | $ | 92,750 | $ | 34,448 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (532 | ) | $ | (1,120 | ) | $ | (14 | ) | $ | 129 |
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 3,594 | $ | 6,157 | $ | 495 | $ | 1,380 | |||||||||||
Net realized gain (loss) | (548 | ) | (464 | ) | 241 | 2,413 | |||||||||||||
Change in net unrealized appreciation (depreciation) | (108 | ) | 105 | (358 | ) | (1,738 | ) | ||||||||||||
Change in net assets resulting from operations | 2,938 | 5,798 | 378 | 2,055 | |||||||||||||||
Net equalization credits (debits) | — | — | 1 | — | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | — | — | (112 | ) | (104 | ) | |||||||||||||
Class B | |||||||||||||||||||
From net investment income | — | — | (159 | ) | (149 | ) | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | — | — | (66 | ) | (58 | ) | |||||||||||||
Class M | |||||||||||||||||||
From net investment income | — | — | (111 | ) | (124 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | — | — | (52 | ) | (96 | ) | |||||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | (3,538 | ) | (6,102 | ) | (73 | ) | (782 | ) | |||||||||||
Total distributions to shareholders | (3,538 | ) | (6,102 | ) | (573 | ) | (1,313 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | (26,740 | ) | (130,104 | ) | 242 | (20,984 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | (27,340 | ) | (130,408 | ) | 48 | (20,242 | ) | ||||||||||||
Beginning of period | 163,344 | 293,752 | 22,302 | 42,544 | |||||||||||||||
End of period | $ | 136,004 | $ | 163,344 | $ | 22,350 | $ | 22,302 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 11 | $ | (45 | ) | $ | 167 | $ | 245 |
FOR THE PERIODS INDICATED (continued)
Real Return Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2006 (a) (Unaudited) | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||
Net investment income (loss) | $ | 811 | $ | 14,233 | $ | 24,577 | $ | 17,245 | $ | 29,791 | |||||||||||||
Net realized gain (loss) | (655 | ) | (6,341 | ) | (8,477 | ) | (10,274 | ) | (11,671 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | (376 | ) | (2,678 | ) | (4,908 | ) | (3,111 | ) | (7,917 | ) | |||||||||||||
Change in net assets resulting from operations | (220 | ) | 5,214 | 11,192 | 3,860 | 10,203 | |||||||||||||||||
Net equalization credits (debits) | — | — | — | (257 | ) | — | |||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
From net investment income | (3 | ) | (69 | ) | (107 | ) | (753 | ) | (1,413 | ) | |||||||||||||
Class C | |||||||||||||||||||||||
From net investment income | — | (b) | — | — | — | — | |||||||||||||||||
Class M | |||||||||||||||||||||||
From net investment income | — | — | — | (5,191 | ) | (13,004 | ) | ||||||||||||||||
Select Class | |||||||||||||||||||||||
From net investment income | (1,225 | ) | (3,316 | ) | (4,429 | ) | (8,711 | ) | (14,903 | ) | |||||||||||||
Institutional Class | |||||||||||||||||||||||
From net investment income | — | (b) | (9,271 | ) | (21,549 | ) | — | — | |||||||||||||||
Total distributions to shareholders | (1,228 | ) | (12,656 | ) | (26,085 | ) | (14,655 | ) | (29,320 | ) | |||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||
Change in net assets from capital transactions | 59,534 | (29,674 | ) | (90,441 | ) | (136,851 | ) | (326,704 | ) | ||||||||||||||
NET ASSETS: | |||||||||||||||||||||||
Change in net assets | 58,086 | (37,116 | ) | (105,334 | ) | (147,903 | ) | (345,821 | ) | ||||||||||||||
Beginning of period | — | 633,888 | 739,222 | 845,123 | 1,190,944 | ||||||||||||||||||
End of period | $ | 58,086 | $ | 596,772 | $ | 633,888 | $ | 697,220 | $ | 845,123 | |||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (417 | ) | $ | 1,258 | $ | (319 | ) | $ | 817 | $ | (1,773 | ) |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 5,506 | $ | 3,751 | $ | — | $ | — | |||||||||||
Dividends reinvested | 319 | 240 | — | — | |||||||||||||||
Cost of shares redeemed | (1,835 | ) | (981 | ) | — | — | |||||||||||||
Change in net assets from Class A capital transactions | $ | 3,990 | $ | 3,010 | $ | — | $ | — | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 492 | $ | 811 | $ | — | $ | — | |||||||||||
Dividends reinvested | 58 | 53 | — | — | |||||||||||||||
Cost of shares redeemed | (241 | ) | (523 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | 309 | $ | 341 | $ | — | $ | — | |||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 822 | $ | 414 | $ | — | $ | — | |||||||||||
Dividends reinvested | 37 | 14 | — | — | |||||||||||||||
Cost of shares redeemed | (49 | ) | (210 | ) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | 810 | $ | 218 | $ | — | $ | — | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 146,637 | $ | 89,091 | $ | 69,769 | $ | 39,420 | |||||||||||
Subscriptions in kind (Note 9) | 744,265 | — | — | — | |||||||||||||||
Dividends reinvested | 7,443 | 12,184 | 6,396 | 6,068 | |||||||||||||||
Cost of shares redeemed | (53,197 | ) | (83,731 | ) | (14,828 | ) | (46,207 | ) | |||||||||||
Redemption fees | — | — | 10 | — | (b) | ||||||||||||||
Change in net assets from Select Class capital transactions | $ | 845,148 | $ | 17,544 | $ | 61,347 | $ | (719 | ) | ||||||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | 37,899 | $ | 73,182 | $ | — | $ | — | |||||||||||
Dividends reinvested | 8,709 | 13,217 | — | — | |||||||||||||||
Cost of shares redeemed | (58,213 | ) | (138,577 | ) | — | — | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (11,605 | ) | $ | (52,178 | ) | $ | — | $ | — | |||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | 30,718 | $ | 57,221 | $ | — | $ | — | |||||||||||
Dividends reinvested | 3,866 | 21,223 | — | — | |||||||||||||||
Cost of shares redeemed | (12,970 | ) | (325,211 | ) | — | — | |||||||||||||
Change in net assets from Ultra capital transactions | $ | 21,614 | $ | (246,767 | ) | $ | — | $ | — |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 578 | 383 | — | — | |||||||||||||||
Reinvested | 34 | 24 | — | — | |||||||||||||||
Redeemed | (193 | ) | (100 | ) | — | — | |||||||||||||
Change in Class A Shares | 419 | 307 | — | — | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 52 | 83 | — | — | |||||||||||||||
Reinvested | 6 | 5 | — | — | |||||||||||||||
Redeemed | (25 | ) | (53 | ) | — | — | |||||||||||||
Change in Class B Shares | 33 | 35 | — | — | |||||||||||||||
Class C | |||||||||||||||||||
Issued | 86 | 42 | — | — | |||||||||||||||
Reinvested | 4 | 1 | — | — | |||||||||||||||
Redeemed | (5 | ) | (21 | ) | — | — | |||||||||||||
Change in Class C Shares | 85 | 22 | — | — | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 15,693 | 9,140 | 8,107 | 4,280 | |||||||||||||||
Subscriptions in kind (Note 9) | 80,114 | — | — | — | |||||||||||||||
Reinvested | 797 | 1,251 | 774 | 681 | |||||||||||||||
Redeemed | (5,641 | ) | (8,565 | ) | (1,685 | ) | (5,026 | ) | |||||||||||
Change in Select Class Shares | 90,963 | 1,826 | 7,196 | (65 | ) | ||||||||||||||
Institutional Class | |||||||||||||||||||
Issued | 4,008 | 7,505 | — | — | |||||||||||||||
Reinvested | 933 | 1,358 | — | — | |||||||||||||||
Redeemed | (6,140 | ) | (14,161 | ) | — | — | |||||||||||||
Change in Institutional Class Shares | (1,199 | ) | (5,298 | ) | — | — | |||||||||||||
Ultra | |||||||||||||||||||
Issued | 3,191 | 5,835 | — | — | |||||||||||||||
Reinvested | 414 | 2,179 | — | — | |||||||||||||||
Redeemed | (1,361 | ) | (33,265 | ) | — | — | |||||||||||||
Change in Ultra Shares | 2,244 | (25,251 | ) | — | — |
(b) | Amount rounds to less than 1,000. |
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,490 | $ | 1,178 | |||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 3,011 | |||||||||||||||
Dividends reinvested | — | — | 68 | 69 | |||||||||||||||
Cost of shares redeemed | — | — | (782 | ) | (1,137 | ) | |||||||||||||
Change in net assets from Class A capital transactions | $ | — | $ | — | $ | 776 | $ | 3,121 | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 408 | $ | 482 | |||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 7,328 | |||||||||||||||
Dividends reinvested | — | — | 89 | 80 | |||||||||||||||
Cost of shares redeemed | — | — | (913 | ) | (1,218 | ) | |||||||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (416 | ) | $ | 6,672 | ||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 376 | $ | 276 | |||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 2,925 | |||||||||||||||
Dividends reinvested | — | — | 42 | 36 | |||||||||||||||
Cost of shares redeemed | — | — | (494 | ) | (626 | ) | |||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | (76 | ) | $ | 2,611 | ||||||||||
Class M | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 6 | $ | 14 | |||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 6,507 | |||||||||||||||
Cost of shares redeemed | — | — | (829 | ) | (1,492 | ) | |||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | (823 | ) | $ | 5,029 | ||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 356 | $ | 695 | |||||||||||
Dividends reinvested | — | — | 44 | 88 | |||||||||||||||
Cost of shares redeemed | — | — | (296 | ) | (1,313 | ) | |||||||||||||
Change in net assets from Select Class capital transactions | $ | — | $ | — | $ | 104 | $ | (530 | ) | ||||||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | 49,626 | $ | 56,236 | $ | 775 | $ | 1,797 | |||||||||||
Dividends reinvested | 3,137 | 4,840 | 70 | 103 | |||||||||||||||
Cost of shares redeemed | (79,503 | ) | (191,180 | ) | (168 | ) | (39,787 | ) | |||||||||||
Change in net assets from Institutional Class capital transactions | $ | (26,740 | ) | $ | (130,104 | ) | $ | 677 | $ | (37,887 | ) |
FOR THE PERIODS INDICATED (continued)
Enhanced Income Fund | Global Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | — | — | 161 | 128 | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 325 | |||||||||||||||
Reinvested | — | — | 7 | 7 | |||||||||||||||
Redeemed | — | — | (84 | ) | (123 | ) | |||||||||||||
Change in Class A Shares | — | — | 84 | 337 | |||||||||||||||
Class B | |||||||||||||||||||
Issued | — | — | 44 | 51 | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 792 | |||||||||||||||
Reinvested | — | — | 10 | 9 | |||||||||||||||
Redeemed | — | — | (99 | ) | (132 | ) | |||||||||||||
Change in Class B Shares | — | — | (45 | ) | 720 | ||||||||||||||
Class C | |||||||||||||||||||
Issued | — | — | 41 | 30 | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 316 | |||||||||||||||
Reinvested | — | — | 5 | 4 | |||||||||||||||
Redeemed | — | — | (54 | ) | (68 | ) | |||||||||||||
Change in Class C Shares | — | — | (8 | ) | 282 | ||||||||||||||
Class M | |||||||||||||||||||
Issued | — | — | 1 | 2 | |||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 702 | |||||||||||||||
Redeemed | — | — | (90 | ) | (162 | ) | |||||||||||||
Change in Class M Shares | — | — | (89 | ) | 542 | ||||||||||||||
Select Class | |||||||||||||||||||
Issued | — | — | 39 | 75 | |||||||||||||||
Reinvested | — | — | 4 | 10 | |||||||||||||||
Redeemed | — | — | (32 | ) | (142 | ) | |||||||||||||
Change in Select Class Shares | — | — | 11 | (57 | ) | ||||||||||||||
Institutional Class | |||||||||||||||||||
Issued | 5,060 | 5,720 | 84 | 193 | |||||||||||||||
Reinvested | 321 | 492 | 7 | 11 | |||||||||||||||
Redeemed | (8,107 | ) | (19,434 | ) | (18 | ) | (4,321 | ) | |||||||||||
Change in Institutional Class Shares | (2,726 | ) | (13,222 | ) | 73 | (4,117 | ) |
Real Return Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2006 (a) (Unaudited) | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
Proceeds from shares issued | $ | 446 | $ | 1,451 | $ | 2,274 | $ | 1,365 | $ | 4,516 | |||||||||||||
Dividends reinvested | 1 | 66 | 88 | 676 | 1,265 | ||||||||||||||||||
Cost of shares redeemed | (105 | ) | (968 | ) | (1,576 | ) | (6,092 | ) | (19,040 | ) | |||||||||||||
Change in net assets from Class A capital transactions | $ | 342 | $ | 549 | $ | 786 | $ | (4,051 | ) | $ | (13,259 | ) | |||||||||||
Class C | |||||||||||||||||||||||
Proceeds from shares issued | $ | 15 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Dividends reinvested | — | (b) | — | — | — | — | |||||||||||||||||
Cost of shares redeemed | — | (b) | — | — | — | — | |||||||||||||||||
Change in net assets from Class C capital transactions | $ | 15 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Class M | |||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 387 | $ | 27,844 | |||||||||||||
Dividends reinvested | — | — | — | 1 | 2 | ||||||||||||||||||
Cost of shares redeemed | — | — | — | (118,979 | ) | (289,937 | ) | ||||||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | — | $ | (118,591 | ) | $ | (262,091 | ) | |||||||||||
Select Class | |||||||||||||||||||||||
Proceeds from shares issued | $ | 58,734 | $ | 65,494 | $ | 117,275 | $ | 43,962 | $ | 87,195 | |||||||||||||
Dividends reinvested | 442 | 920 | 1,911 | 288 | 876 | ||||||||||||||||||
Cost of shares redeemed | (15 | ) | (35,378 | ) | (52,431 | ) | (58,459 | ) | (139,425 | ) | |||||||||||||
Change in net assets from Select Class capital transactions | $ | 59,161 | $ | 31,036 | $ | 66,755 | $ | (14,209 | ) | $ | (51,354 | ) | |||||||||||
Institutional Class | |||||||||||||||||||||||
Proceeds from shares issued | $ | 16 | $ | 64,035 | $ | 115,405 | $ | — | $ | — | |||||||||||||
Dividends reinvested | — | (b) | 6,371 | 14,337 | — | — | |||||||||||||||||
Cost of shares redeemed | — | (b) | (131,665 | ) | (287,724 | ) | — | — | |||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 16 | $ | (61,259 | ) | $ | (157,982 | ) | $ | — | $ | — |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Real Return Fund | Short Term Bond Fund | Short Term Bond Fund II | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2006 (a) (Unaudited) | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | | Six Months Ended 2/28/2006 (Unaudited) | | Year Ended 8/31/2005 | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
Issued | 46 | 152 | 233 | 138 | 447 | ||||||||||||||||||
Reinvested | — | (b) | 7 | 9 | 68 | 125 | |||||||||||||||||
Redeemed | (11 | ) | (101 | ) | (162 | ) | (615 | ) | (1,885 | ) | |||||||||||||
Change in Class A Shares | 35 | 58 | 80 | (409 | ) | (1,313 | ) | ||||||||||||||||
Class C | |||||||||||||||||||||||
Issued | 1 | — | — | — | — | ||||||||||||||||||
Reinvested | — | (b) | — | — | — | — | |||||||||||||||||
Redeemed | — | (b) | — | — | — | — | |||||||||||||||||
Change in Class C Shares | 1 | — | — | — | — | ||||||||||||||||||
Class M | |||||||||||||||||||||||
Issued | — | — | — | 39 | 2,759 | ||||||||||||||||||
Reinvested | — | — | — | — | (b) | — | (b) | ||||||||||||||||
Redeemed | — | — | — | (11,969 | ) | (28,681 | ) | ||||||||||||||||
Change in Class M Shares | — | — | — | (11,930 | ) | (25,922 | ) | ||||||||||||||||
Select Class | |||||||||||||||||||||||
Issued | 5,913 | 6,850 | 12,075 | 4,424 | 8,603 | ||||||||||||||||||
Reinvested | 46 | 97 | 196 | 29 | 86 | ||||||||||||||||||
Redeemed | (2 | ) | (3,695 | ) | (5,395 | ) | (5,885 | ) | (13,773 | ) | |||||||||||||
Change in Select Class Shares | 5,957 | 3,252 | 6,876 | (1,432 | ) | (5,084 | ) | ||||||||||||||||
Institutional Class | |||||||||||||||||||||||
Issued | 2 | 6,673 | 11,837 | — | — | ||||||||||||||||||
Reinvested | — | (b) | 667 | 1,475 | — | — | |||||||||||||||||
Redeemed | — | (b) | (13,772 | ) | (29,572 | ) | — | — | |||||||||||||||
Change in Institutional Class Shares | 2 | (6,432 | ) | (16,260 | ) | — | — |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.85 | $ | 0.20 | $(0.18 | ) | $ | 0.02 | $ | (0.20 | ) | $ | (0.27 | ) | $ | — | |||||||||||||||
Year Ended August 31, 2005 | 10.05 | 0.36 | 0.13 | 0.49 | (0.39 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 10.03 | 0.32 | 0.32 | 0.64 | (0.32 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.07 | 0.40 | 0.04 | 0.44 | (0.40 | ) | (0.08 | ) | — | ||||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.08 | 0.31 | 0.05 | 0.36 | (0.31 | ) | (0.06 | ) | — | ||||||||||||||||||||||
September 10, 2001(e) to October 31, 2001 | 9.89 | 0.06 | (g) | 0.20 | 0.26 | (0.07 | ) | — | — | ||||||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.33 | 0.22 | (g) | (0.06 | ) | 0.16 | (0.25 | ) | — | — | |||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | 0.30 | 0.33 | 0.63 | (0.38 | ) | — | — | |||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.48 | (g) | 0.15 | 0.63 | (0.47 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 8.64 | 0.40 | (g) | 0.31 | 0.71 | (0.43 | ) | — | — | ||||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 8.91 | 0.55 | (0.33 | ) | 0.22 | (0.47 | ) | (0.02 | ) | — | |||||||||||||||||||||
September 10, 2001(e) to October 31, 2001 | 9.13 | 0.09 | (g) | (0.22 | ) | (0.13 | ) | (0.09 | ) | — | — | ||||||||||||||||||||
Real Return Fund | �� | ||||||||||||||||||||||||||||||
Six months ended February 28, 2006(f) (Unaudited) | 10.00 | 0.14 | (g) | (0.26 | ) | (0.12 | ) | (0.21 | ) | — | — | ||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.64 | 0.20 | (0.13 | ) | 0.07 | (0.18 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.31 | (0.19 | ) | 0.12 | (0.32 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.85 | 0.20 | (0.01 | ) | 0.19 | (0.20 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.03 | 0.24 | (0.03 | ) | 0.21 | (0.25 | ) | (0.14 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.01 | 0.27 | 0.05 | 0.32 | (0.26 | ) | (0.04 | ) | — | ||||||||||||||||||||||
September 10, 2001(e) to October 31, 2001 | 9.87 | 0.05 | (g) | 0.15 | 0.20 | (0.06 | ) | — | — | ||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 10.02 | 0.23 | (0.18 | ) | 0.05 | (0.19 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 10.23 | 0.21 | (g) | (0.02 | ) | 0.19 | (0.21 | ) | — | — | (h) | ||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.23 | (g) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | — | (h) | |||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.38 | 0.25 | 0.06 | 0.31 | (0.25 | ) | (0.11 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.43 | (g) | 0.53 | 0.96 | (0.47 | ) | — | �� | — | |||||||||||||||||||||
Year Ended October 31, 2000 | 9.94 | 0.56 | (0.05 | ) | 0.51 | (0.56 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Commencement of offering of class of shares. |
(f) | Commencement of operations was September 1, 2005. |
(g) | Calculated based on average shares outstanding. |
(h) | Rounds to less than $0.01. |
(i) | Includes interest expense for custody overdraft of 1 basis point. |
(j) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
Ratios/Supplemental data | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$(0.47) | $ | 9.40 | 0.30 | % | $ | 9,637 | 0.74 | % | 4.61 | % | 0.99 | % | 355 | % | |||||||||||||||||
(0.69) | 9.85 | 5.06 | 5,963 | 0.75 | 3.63 | 1.31 | 559 | ||||||||||||||||||||||||
(0.62) | 10.05 | 6.61 | 3,004 | 0.75 | 3.19 | 1.88 | 571 | ||||||||||||||||||||||||
(0.48) | 10.03 | 4.32 | 2,000 | 0.75 | 3.86 | 1.59 | 679 | ||||||||||||||||||||||||
(0.37) | 10.07 | 3.72 | 1,000 | 0.75 | 3.59 | 5.64 | 572 | ||||||||||||||||||||||||
(0.07) | 10.08 | 2.63 | 70,000 | 0.75 | 3.93 | 10.75 | 423 | ||||||||||||||||||||||||
(0.25) | 9.24 | 1.78 | 4,708 | 1.15 | 4.75 | 2.95 | 107 | ||||||||||||||||||||||||
(0.38) | 9.33 | 7.04 | 3,965 | 1.17 | 4.29 | 2.11 | 461 | ||||||||||||||||||||||||
(0.47) | 9.08 | 7.20 | 802 | 1.27 | (i) | 5.31 | 4.23 | 152 | |||||||||||||||||||||||
(0.43) | 8.92 | 8.33 | 300 | 1.25 | 4.45 | 7.26 | 248 | ||||||||||||||||||||||||
(0.49) | 8.64 | 2.54 | 70 | 1.25 | 6.20 | 35.90 | (j) | 178 | |||||||||||||||||||||||
(0.09) | 8.91 | (2.30 | ) | 70 | 1.25 | 6.99 | 11.01 | 107 | |||||||||||||||||||||||
(0.21) | 9.67 | (1.16 | ) | 341 | 0.90 | 2.88 | 1.55 | 99 | |||||||||||||||||||||||
(0.18) | 9.53 | 0.77 | 3,902 | 0.75 | 4.40 | 0.92 | 333 | ||||||||||||||||||||||||
(0.32) | 9.64 | 1.29 | 3,393 | 0.75 | 3.20 | 1.21 | 194 | ||||||||||||||||||||||||
(0.20) | 9.84 | 1.92 | 3,000 | 0.75 | 2.00 | 1.17 | 261 | ||||||||||||||||||||||||
(0.39) | 9.85 | 2.08 | 9,000 | 0.75 | 2.39 | 1.10 | 386 | ||||||||||||||||||||||||
(0.30) | 10.03 | 3.18 | 10,000 | 0.75 | 3.01 | 1.00 | 215 | ||||||||||||||||||||||||
(0.06) | 10.01 | 2.01 | 2,000 | 0.75 | 3.62 | 10.76 | 160 | ||||||||||||||||||||||||
(0.19) | 9.88 | 0.55 | 36,694 | 0.75 | 4.54 | 0.93 | 256 | ||||||||||||||||||||||||
(0.30) | 10.02 | 1.09 | 41,311 | 0.75 | 2.94 | 1.00 | 201 | ||||||||||||||||||||||||
(0.21) | 10.21 | 1.85 | 55,000 | 0.75 | 2.03 | 1.10 | 253 | ||||||||||||||||||||||||
(0.29) | 10.23 | 1.88 | 44,000 | 0.75 | 2.31 | 0.96 | 319 | ||||||||||||||||||||||||
(0.36) | 10.33 | 3.06 | 70,000 | 0.75 | 2.66 | 1.00 | 192 | ||||||||||||||||||||||||
(0.47) | 10.38 | 9.95 | 52,000 | 0.75 | 4.25 | 1.15 | 315 | ||||||||||||||||||||||||
(0.56) | 9.89 | 5.27 | 19,000 | 0.75 | 5.68 | 1.37 | 139 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.78 | $0.19 | $ | (0.19 | ) | $ | — | $ | (0.18 | ) | $ | (0.27 | ) | $ | — | |||||||||||||||
Year Ended August 31, 2005 | 9.97 | 0.29 | 0.12 | 0.41 | (0.30 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.95 | 0.25 | 0.32 | 0.57 | (0.25 | ) | (0.30 | ) | — | (g) | |||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.08 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.08 | 0.24 | 0.03 | 0.27 | (0.24 | ) | (0.06 | ) | — | ||||||||||||||||||||||
September 10, 2001(e) to October 31, 2001 | 9.89 | 0.06 | (f) | 0.19 | 0.25 | (0.06 | ) | — | — | ||||||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.32 | 0.20 | (f) | (0.05 | ) | 0.15 | (0.23 | ) | — | — | |||||||||||||||||||||
February 18, 2005(e) to August 31, 2005 | 9.26 | 0.19 | 0.06 | 0.25 | (0.19 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Commencement of offering of class of shares. |
(f) | Calculated based upon average shares outstanding. |
(g) | Amount rounds to less than $0.01. |
(h) | Amount rounds to less than 0.01%. |
Ratios/Supplemental data | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$(0.45) | $ | 9.33 | 0.00 | %(h) | $ | 2,480 | 1.40 | % | 4.04 | % | 1.50 | % | 355 | % | |||||||||||||||||
(0.60) | 9.78 | 4.23 | 2,283 | 1.44 | 2.93 | 1.90 | 559 | ||||||||||||||||||||||||
(0.55) | 9.97 | 5.89 | 1,972 | 1.50 | 2.48 | 2.36 | 571 | ||||||||||||||||||||||||
(0.40) | 9.95 | 2.94 | 2,000 | 1.50 | 3.19 | 2.14 | 679 | ||||||||||||||||||||||||
(0.30) | 10.05 | 2.83 | 1,000 | 1.50 | 2.80 | 6.02 | 572 | ||||||||||||||||||||||||
(0.06) | 10.08 | 2.53 | 64 | 1.48 | 4.07 | 11.25 | 423 | ||||||||||||||||||||||||
(0.23) | 9.24 | 1.62 | 6,236 | 1.65 | 4.28 | 3.45 | 107 | ||||||||||||||||||||||||
(0.19) | 9.32 | 2.77 | 6,715 | 1.65 | 3.91 | 2.43 | 461 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.83 | $ | 0.15 | $(0.15 | ) | $ | — | $ | (0.18 | ) | $ | (0.27 | ) | $ | (0.45 | ) | ||||||||||||||
Year Ended August 31, 2005 | 10.03 | 0.28 | 0.12 | 0.40 | (0.30 | ) | (0.30 | ) | (0.60 | ) | |||||||||||||||||||||
Year Ended August 31, 2004 | 10.01 | 0.24 | 0.33 | 0.57 | (0.25 | ) | (0.30 | ) | (0.55 | ) | |||||||||||||||||||||
March 31, 2003(d) to August 31, 2003 | 10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.33 | 0.20 | (f) | (0.06 | ) | 0.14 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||
February 18, 2005(d) to August 31, 2005 | 9.26 | 0.19 | 0.07 | 0.26 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006(e) (Unaudited) | 10.00 | 0.11 | (f) | (0.25 | ) | (0.14 | ) | (0.19 | ) | — | (0.19 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Commencement of offering of class of shares. |
(e) | Commencement of operations was September 1, 2005. |
(f) | Calculated based on average shares outstanding. |
Ratios/Supplemental data | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$9.38 | 0.04 | % | $ | 1,200 | 1.39 | % | 3.98 | % | 1.49 | % | 355 | % | |||||||||||||||
9.83 | 4.13 | 425 | 1.42 | 2.96 | 1.82 | 559 | |||||||||||||||||||||
10.03 | 5.84 | 211 | 1.50 | 2.45 | 2.36 | 571 | |||||||||||||||||||||
10.01 | (0.69 | ) | 200 | 1.50 | 3.02 | 1.78 | 679 | ||||||||||||||||||||
9.24 | 1.52 | 2,531 | 1.65 | 4.28 | 3.46 | 107 | |||||||||||||||||||||
9.33 | 2.88 | 2,631 | 1.65 | 3.91 | 2.42 | 461 | |||||||||||||||||||||
9.67 | (1.35 | ) | 15 | 1.40 | 2.38 | 2.01 | 99 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.33 | $ | 0.21 | (f) | $(0.05 | ) | $ | 0.16 | $ | (0.24 | ) | $ | — | $ | — | |||||||||||||||
February 18, 2005(d) to August 31, 2005 | 9.26 | 0.20 | 0.07 | 0.27 | (0.20 | ) | — | — | |||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 10.02 | 0.20 | (0.16 | ) | 0.04 | (0.18 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 10.23 | 0.18 | (f) | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (g) | ||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.21 | (f) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | — | (g) | |||||||||||||||||||
November 1, 2001 to August 31, 2002(e) | 10.37 | 0.23 | 0.06 | 0.29 | (0.22 | ) | (0.11 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.35 | (f) | 0.58 | 0.93 | (0.45 | ) | — | — | ||||||||||||||||||||||
Year Ended October 31, 2000 | 9.94 | 0.54 | (0.05 | ) | 0.49 | (0.54 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | Commencement of offering of class of shares. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Calculated based on average shares outstanding. |
(g) | Rounds to less than $0.01. |
Ratios/Supplemental data | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$(0.24) | $ | 9.25 | 1.71 | % | $ | 4,189 | 1.45 | % | 4.47 | % | 3.25 | % | 107 | % | |||||||||||||||||
(0.20) | 9.33 | 3.00 | 5,057 | 1.45 | 4.09 | 2.20 | 461 | ||||||||||||||||||||||||
(0.18) | 9.88 | 0.42 | 248,698 | 1.00 | 4.24 | 1.02 | 256 | ||||||||||||||||||||||||
(0.27) | 10.02 | 0.83 | 371,756 | 1.00 | 2.67 | 1.03 | 201 | ||||||||||||||||||||||||
(0.18) | 10.21 | 1.58 | 643,278 | 1.00 | 1.75 | 1.04 | 253 | ||||||||||||||||||||||||
(0.27) | 10.23 | 1.64 | 1,168,000 | 1.00 | 2.07 | 1.04 | 319 | ||||||||||||||||||||||||
(0.33) | 10.33 | 2.92 | 1,127,000 | 1.00 | 2.41 | 1.03 | 192 | ||||||||||||||||||||||||
(0.45) | 10.37 | 9.63 | 689,000 | 1.00 | 3.45 | 1.11 | 315 | ||||||||||||||||||||||||
(0.54) | 9.89 | 5.04 | 13,000 | 0.99 | 5.51 | 1.73 | 139 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.76 | $ | 0.21 | $(0.18 | ) | $ | 0.03 | $ | (0.21 | ) | $ | (0.27 | ) | $ | — | $ | (0.48 | ) | ||||||||||||||||
Year Ended August 31, 2005 | 9.97 | 0.36 | 0.13 | 0.49 | (0.40 | ) | (0.30 | ) | — | (0.70 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.94 | 0.33 | 0.33 | 0.66 | (0.33 | ) | (0.30 | ) | — | (0.63 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.04 | 0.40 | (0.01 | ) | 0.39 | (0.41 | ) | (0.08 | ) | — | (0.49 | ) | |||||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.08 | 0.32 | 0.02 | 0.34 | (0.32 | ) | (0.06 | ) | — | (0.38 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001(e) | 9.43 | 0.52 | (h) | 0.70 | 1.22 | (0.57 | ) | — | — | (0.57 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2000 | 9.41 | 0.58 | 0.02 | 0.60 | (0.58 | ) | — | — | (0.58 | ) | |||||||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.29 | 0.21 | 0.61 | 0.82 | (0.25 | ) | (1.35 | ) | — | (1.60 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 9.58 | 0.61 | 1.08 | 1.69 | (0.67 | ) | (1.31 | ) | — | (1.98 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.02 | 0.67 | 0.60 | 1.27 | (0.71 | ) | — | — | (0.71 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2003 | 7.53 | 0.68 | 1.53 | 2.21 | (0.72 | ) | — | — | (0.72 | ) | |||||||||||||||||||||||||
August 1, 2002 to August 31, 2002(f) | 7.05 | 0.05 | 0.49 | 0.54 | (0.06 | ) | — | — | (0.06 | ) | |||||||||||||||||||||||||
Year Ended July 31, 2002 | 7.82 | 0.77 | (0.77 | ) | — | (0.77 | ) | — | — | (0.77 | ) | ||||||||||||||||||||||||
Year Ended July 31, 2001 | 8.77 | 0.88 | (0.87 | ) | 0.01 | (0.96 | ) | — | — | (0.96 | ) | ||||||||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.33 | 0.23 | (h) | (0.05 | ) | 0.18 | (0.26 | ) | — | — | (0.26 | ) | |||||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | 0.46 | 0.19 | 0.65 | (0.40 | ) | — | — | (0.40 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.49 | (h) | 0.16 | 0.65 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.45 | (h) | 0.27 | 0.72 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 8.95 | 0.45 | (0.31 | ) | 0.14 | (0.42 | ) | — | (0.02 | ) | (0.44 | ) | |||||||||||||||||||||||
Year Ended October 31, 2001(e) | 9.42 | 0.67 | (h) | (0.38 | ) | 0.29 | (0.76 | ) | — | — | (0.76 | ) | |||||||||||||||||||||||
Year Ended October 31, 2000 | 9.47 | 0.87 | (0.26 | ) | 0.61 | (0.66 | ) | — | — | (0.66 | ) | ||||||||||||||||||||||||
Real Return Fund | �� | ||||||||||||||||||||||||||||||||||
Six months ended February 28, 2006(g) (Unaudited) | 10.00 | 0.15 | (h) | (0.24 | ) | (0.09 | ) | (0.22 | ) | — | — | (0.22 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split. |
(f) | The Fund changed its fiscal year end from July 31 to August 31. |
(g) | Commencement of operations was September 1, 2005. |
(h) | Calculated based upon average shares outstanding. |
(i) | Amount rounds to less than $0.01. |
(j) | Includes interest expense for custody overdraft of 1 basis point. |
(k) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio, in which the Fund invested all of its investable assets. |
(l) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The Emerging Markets Debt Portfolio, in which the Fund invested all of its investable assets. |
(m) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The Global Strategic Income Portfolio, in which the Fund invested all of its investable assets. |
| | | Ratios/Supplemental data | | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||||||
Redemption fees | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$— | $ | 9.31 | 0.37 | % | $ | 1,039,803 | 0.65 | % | 4.73 | % | 0.75 | % | 355 | % | |||||||||||||||||
— | 9.76 | 5.12 | 202,659 | 0.66 | 3.72 | 0.74 | 559 | ||||||||||||||||||||||||
— | 9.97 | 6.88 | 188,775 | 0.66 | 3.33 | 0.78 | 571 | ||||||||||||||||||||||||
— | 9.94 | 3.82 | 308,000 | 0.66 | 3.97 | 0.76 | 679 | ||||||||||||||||||||||||
— | 10.04 | 3.57 | 312,000 | 0.66 | 3.95 | 0.74 | 572 | ||||||||||||||||||||||||
— | 10.08 | 13.32 | 315,000 | 0.69 | 5.77 | 0.70 | 423 | (k) | |||||||||||||||||||||||
— | 9.43 | 6.61 | 240,000 | 0.69 | 6.19 | 0.69 | 531 | (k) | |||||||||||||||||||||||
—(i) | 8.51 | 9.78 | 92,750 | 1.26 | (j) | 5.41 | 1.61 | 103 | |||||||||||||||||||||||
—(i) | 9.29 | 19.87 | 34,448 | 1.25 | 6.56 | 1.72 | 337 | ||||||||||||||||||||||||
— | 9.58 | 14.56 | 36,145 | 1.26 | (j) | 7.01 | 1.65 | 166 | |||||||||||||||||||||||
— | 9.02 | 30.49 | 60,000 | 1.25 | 8.11 | 1.52 | 157 | ||||||||||||||||||||||||
— | 7.53 | 7.69 | 41,000 | 1.25 | 9.86 | 1.30 | 12 | ||||||||||||||||||||||||
— | 7.05 | (0.67 | ) | 35,000 | 1.25 | 9.59 | 1.54 | 110 | (l) | ||||||||||||||||||||||
— | 7.82 | (0.17 | ) | 35,000 | 1.25 | 11.20 | 1.92 | 141 | (l) | ||||||||||||||||||||||
— | 9.25 | 2.00 | 1,981 | 0.90 | 5.02 | 2.70 | 107 | ||||||||||||||||||||||||
— | 9.33 | 7.30 | 1,892 | 0.95 | 4.30 | 1.86 | 461 | ||||||||||||||||||||||||
— | 9.08 | 7.48 | 2,364 | 1.01 | (j) | 5.44 | 1.95 | 152 | |||||||||||||||||||||||
— | 8.92 | 8.48 | 3,000 | 1.00 | 5.10 | 1.48 | 248 | ||||||||||||||||||||||||
— | 8.65 | 1.61 | 5,000 | 1.00 | 6.08 | 1.48 | 178 | ||||||||||||||||||||||||
— | 8.95 | 5.46 | 5,000 | 1.00 | 7.32 | 2.63 | 107 | (m) | |||||||||||||||||||||||
— | 9.42 | 6.57 | 7,000 | 1.00 | 7.05 | 2.50 | 266 | (m) | |||||||||||||||||||||||
— | 9.69 | (0.91 | ) | 57,715 | 0.65 | 3.13 | 1.27 | 99 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.64 | $ | 0.21 | $(0.13 | ) | $ | 0.08 | $ | (0.19 | ) | $ | — | $ | — | ||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.32 | (0.17 | ) | 0.15 | (0.35 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.04 | 0.26 | (0.03 | ) | 0.23 | (0.27 | ) | (0.14 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.03 | 0.28 | 0.04 | 0.32 | (0.27 | ) | (0.04 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001(e) | 9.61 | 0.51 | (f) | 0.46 | 0.97 | (0.55 | ) | — | — | ||||||||||||||||||||||
Year Ended October 31, 2000 | 9.70 | 0.58 | (0.09 | ) | 0.49 | (0.58 | ) | — | — | ||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 10.03 | 0.24 | (0.17 | ) | 0.07 | (0.21 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 10.25 | 0.23 | (f) | (0.03 | ) | 0.20 | (0.23 | ) | — | — | (g) | ||||||||||||||||||||
Year Ended August 31, 2003 | 10.35 | 0.27 | (f) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | — | (g) | |||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.40 | 0.26 | 0.07 | 0.33 | (0.27 | ) | (0.11 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001 | 9.90 | 0.42 | (f) | 0.57 | 0.99 | (0.49 | ) | — | — | ||||||||||||||||||||||
Year Ended October 31, 2000 | 9.95 | 0.59 | (0.05 | ) | 0.54 | (0.59 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split. |
(f) | Calculated based upon average shares outstanding. |
(g) | Amount rounds to less than $0.01. |
(h) | Percentages prior to September 10, 2001 reflect the portfolio turnover The Short Term Bond Portfolio, in which the Fund invested all of its investable assets. |
Ratios/Supplemental data | | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | |||||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||||||
$(0.19) | $ | 9.53 | 0.86 | % | $ | 188,160 | 0.55 | % | 4.58 | % | 0.67 | % | 333 | % | ||||||||||||||||||||
(0.35) | 9.64 | 1.52 | 159,035 | 0.56 | 3.48 | 0.68 | 194 | |||||||||||||||||||||||||||
(0.22) | 9.84 | 1.99 | 94,681 | 0.58 | 2.22 | 0.73 | 261 | |||||||||||||||||||||||||||
(0.41) | 9.86 | 2.28 | 122,000 | 0.56 | 2.59 | 0.71 | 386 | |||||||||||||||||||||||||||
(0.31) | 10.04 | 3.21 | 122,000 | 0.57 | 3.22 | 0.72 | 215 | |||||||||||||||||||||||||||
(0.55) | 10.03 | 10.39 | 67,000 | 0.60 | 5.22 | 0.82 | 160 | (h) | ||||||||||||||||||||||||||
(0.58) | 9.61 | 5.19 | 38,000 | 0.60 | 6.00 | 0.82 | 271 | (h) | ||||||||||||||||||||||||||
(0.21) | 9.89 | 0.67 | 411,828 | 0.50 | 4.79 | 0.68 | 256 | |||||||||||||||||||||||||||
(0.33) | 10.03 | 1.35 | 432,056 | 0.50 | 3.21 | 0.68 | 201 | |||||||||||||||||||||||||||
(0.23) | 10.22 | 2.01 | 492,178 | 0.50 | 2.26 | 0.70 | 253 | |||||||||||||||||||||||||||
(0.32) | 10.25 | 2.15 | 342,000 | 0.50 | 2.58 | 0.70 | 319 | |||||||||||||||||||||||||||
(0.38) | 10.35 | 3.30 | 144,000 | 0.50 | 2.91 | 0.70 | 192 | |||||||||||||||||||||||||||
(0.49) | 10.40 | 10.29 | 144,000 | 0.50 | 4.15 | 0.77 | 315 | |||||||||||||||||||||||||||
(0.59) | 9.90 | 5.56 | 21,000 | 0.45 | 5.99 | 1.02 | 139 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.75 | $ | 0.24 | $(0.20 | ) | $ | 0.04 | $ | (0.22 | ) | $ | (0.27 | ) | $ | — | |||||||||||||||
Year Ended August 31, 2005 | 9.96 | 0.38 | 0.13 | 0.51 | (0.42 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.94 | 0.35 | 0.32 | 0.67 | (0.35 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.04 | 0.42 | (0.02 | ) | 0.40 | (0.42 | ) | (0.08 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.08 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001 | 9.43 | 0.58 | (g) | 0.65 | 1.23 | (0.58 | ) | — | — | ||||||||||||||||||||||
Year Ended October 31, 2000 | 9.41 | 0.60 | 0.02 | 0.62 | (0.60 | ) | — | (h) | — | ||||||||||||||||||||||
Enhanced Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.82 | 0.24 | (0.05 | ) | 0.19 | (0.24 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.28 | (0.02 | ) | 0.26 | (0.28 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 9.98 | 0.23 | (0.12 | ) | 0.11 | (0.23 | ) | — | — | ||||||||||||||||||||||
November 30, 2001(e) to August 31, 2002 | 10.00 | 0.18 | (0.02 | ) | 0.16 | (0.18 | ) | — | — | ||||||||||||||||||||||
Global Strategic Income Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.33 | 0.24 | (g) | (0.05 | ) | 0.19 | (0.27 | ) | — | — | |||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | (0.12 | ) | 0.80 | 0.68 | (0.43 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.51 | (g) | 0.17 | 0.68 | (0.52 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.48 | (g) | 0.27 | 0.75 | (0.48 | ) | — | — | ||||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 8.95 | 0.47 | (0.30 | ) | 0.17 | (0.45 | ) | — | (0.02 | ) | |||||||||||||||||||||
Year Ended October 31, 2001 | 9.29 | 0.69 | (g) | (0.16 | ) | 0.53 | (0.87 | ) | — | — | |||||||||||||||||||||
Year Ended October 31, 2000 | 9.35 | 0.88 | (0.25 | ) | 0.63 | (0.69 | ) | — | — | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (f) (Unaudited) | 10.00 | 0.16 | (g) | (0.25 | ) | (0.09 | ) | (0.22 | ) | — | — | ||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | 9.64 | 0.23 | (0.14 | ) | 0.09 | (0.20 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2005 | 9.85 | 0.36 | (0.19 | ) | 0.17 | (0.38 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.25 | (0.02 | ) | 0.23 | (0.24 | ) | — | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.28 | (0.04 | ) | 0.24 | (0.29 | ) | (0.14 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.03 | 0.29 | 0.06 | 0.35 | (0.29 | ) | (0.04 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001 | 9.58 | 0.54 | (g) | 0.46 | 1.00 | (0.55 | ) | — | — | ||||||||||||||||||||||
Year Ended October 31, 2000 | 9.67 | 0.60 | (0.08 | ) | 0.52 | (0.61 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Commencement of operations of class of shares. |
(f) | Commencement of operations was September 1, 2005. |
(g) | Calculated based upon average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
(i) | Includes interest expense for custody overdraft of 1 basis point. |
(j) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio, in which the Fund invested all of its investable assets. |
(k) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The Global Strategic Income Portfolio, in which the Fund invested all of its investable assets. |
(l) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The Short Term Bond Portfolio, in which the Fund invested all of its investable assets. |
Ratios/Supplemental data | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$(0.49) | $ | 9.30 | 0.43 | % | $ | 236,583 | 0.49 | % | 4.97 | % | 0.60 | % | 355 | % | |||||||||||||||||
(0.72) | 9.75 | 5.33 | 259,697 | 0.49 | 3.85 | 0.59 | 559 | ||||||||||||||||||||||||
(0.65) | 9.96 | 6.96 | 318,100 | 0.49 | 3.51 | 0.62 | 571 | ||||||||||||||||||||||||
(0.50) | 9.94 | 3.99 | 478,000 | 0.49 | 4.10 | 0.60 | 679 | ||||||||||||||||||||||||
(0.40) | 10.04 | 3.71 | 747,000 | 0.49 | 4.14 | 0.58 | 572 | ||||||||||||||||||||||||
(0.58) | 10.08 | 13.46 | 1,016,000 | 0.49 | 5.98 | 0.51 | 423 | (j) | |||||||||||||||||||||||
(0.60) | 9.43 | 6.83 | 907,000 | 0.49 | 6.37 | 0.49 | 531 | (j) | |||||||||||||||||||||||
(0.24) | 9.77 | 1.93 | 136,004 | 0.20 | 4.78 | 0.57 | 188 | ||||||||||||||||||||||||
(0.28) | 9.82 | 2.69 | 163,344 | 0.20 | 2.66 | 0.56 | 128 | ||||||||||||||||||||||||
(0.14) | 9.84 | 1.28 | 293,752 | 0.20 | 1.47 | 0.56 | 156 | ||||||||||||||||||||||||
(0.23) | 9.86 | 1.14 | 354,000 | 0.20 | 2.33 | 0.56 | 328 | ||||||||||||||||||||||||
(0.18) | 9.98 | 1.58 | 300,000 | 0.20 | 2.40 | 0.68 | 120 | ||||||||||||||||||||||||
(0.27) | 9.25 | 2.09 | 2,705 | 0.65 | 5.27 | 2.57 | 107 | ||||||||||||||||||||||||
(0.43) | 9.33 | 7.63 | 2,042 | 0.65 | 4.45 | 1.36 | 461 | ||||||||||||||||||||||||
(0.52) | 9.08 | 7.85 | 40,000 | 0.66 | (i) | 5.63 | 1.22 | 152 | |||||||||||||||||||||||
(0.48) | 8.92 | 8.86 | 108,000 | 0.65 | 5.42 | 0.97 | 248 | ||||||||||||||||||||||||
(0.47) | 8.65 | 1.92 | 135,000 | 0.65 | 6.44 | 0.98 | 178 | ||||||||||||||||||||||||
(0.87) | 8.95 | 5.86 | 143,000 | 0.65 | 7.50 | 0.80 | 107 | (k) | |||||||||||||||||||||||
(0.69) | 9.29 | 6.93 | 163,000 | 0.65 | 7.36 | 0.80 | 266 | (k) | |||||||||||||||||||||||
(0.22) | 9.69 | (0.87 | ) | 15 | 0.50 | 3.28 | 1.12 | 99 | |||||||||||||||||||||||
(0.20) | 9.53 | 0.98 | 404,710 | 0.30 | 4.77 | 0.52 | 333 | ||||||||||||||||||||||||
(0.38) | 9.64 | 1.75 | 471,460 | 0.30 | 3.60 | 0.53 | 194 | ||||||||||||||||||||||||
(0.24) | 9.85 | 2.38 | 641,869 | 0.30 | 2.49 | 0.55 | 261 | ||||||||||||||||||||||||
(0.43) | 9.86 | 2.44 | 806,000 | 0.30 | 2.85 | 0.55 | 386 | ||||||||||||||||||||||||
(0.33) | 10.05 | 3.55 | 618,000 | 0.30 | 3.53 | 0.54 | 215 | ||||||||||||||||||||||||
(0.55) | 10.03 | 10.70 | 697,000 | 0.30 | 5.52 | 0.48 | 160 | (l) | |||||||||||||||||||||||
(0.61) | 9.58 | 5.49 | 415,000 | 0.30 | 6.30 | 0.47 | 271 | (l) |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | | |||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Six months ended February 28, 2006 (Unaudited) | $ | 9.76 | $ | 0.24 | $(0.21 | ) | $ | 0.03 | $ | (0.22 | ) | $ | (0.27 | ) | $ | — | |||||||||||||||
Year Ended August 31, 2005 | 9.97 | 0.32 | 0.20 | 0.52 | (0.43 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2004 | 9.95 | 0.36 | 0.32 | 0.68 | (0.36 | ) | (0.30 | ) | — | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.43 | (0.02 | ) | 0.41 | (0.43 | ) | (0.08 | ) | — | |||||||||||||||||||||
November 1, 2001 to August 31, 2002(d) | 10.09 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | — | ||||||||||||||||||||||
Year Ended October 31, 2001(e) | 9.47 | 0.54 | (f) | 0.72 | 1.26 | (0.62 | ) | (0.02 | ) | — | |||||||||||||||||||||
Year Ended October 31, 2000 | 9.46 | 0.64 | (0.02 | ) | 0.62 | (0.61 | ) | — | — |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) | The Fund changed its fiscal year from October 31 to August 31. |
(e) | Prior to the open of business on September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split. |
(f) | Calculated based upon average shares outstanding. |
(g) | Percentages prior to September 10, 2001 reflect the portfolio turnover of The U.S. Fixed Income Portfolio, in which the Fund invested all of its investable assets. |
Ratios/Supplemental data | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Total distributions | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||
$(0.49) | $ | 9.30 | 0.39 | % | $ | 141,306 | 0.40 | % | 5.06 | % | 0.50 | % | 355 | % | |||||||||||||||||
(0.73) | 9.76 | 5.45 | 126,272 | 0.40 | 3.90 | 0.51 | 559 | ||||||||||||||||||||||||
(0.66) | 9.97 | 7.05 | 380,794 | 0.40 | 3.59 | 0.56 | 571 | ||||||||||||||||||||||||
(0.51) | 9.95 | 4.08 | 444,000 | 0.40 | 4.19 | 0.55 | 679 | ||||||||||||||||||||||||
(0.40) | 10.05 | 3.80 | 609,000 | 0.40 | 4.20 | 0.53 | 572 | ||||||||||||||||||||||||
(0.64) | 10.09 | 13.63 | 598,000 | 0.37 | 6.08 | 0.47 | 423 | (g) | |||||||||||||||||||||||
(0.61) | 9.47 | 6.92 | 466,000 | 0.35 | 6.49 | 0.42 | 531 | (g) |
AS OF FEBRUARY 28, 2006 (Unaudited)
| Classes Offered | |||||
---|---|---|---|---|---|---|
Bond Fund | Class A, Class B, Class C, Select Class, Institutional Class and Ultra | |||||
Emerging Markets Debt Fund | Select Class | |||||
Enhanced Income Fund | Institutional Class | |||||
Global Strategic Income Fund | Class A, Class B, Class C, Class M, Select Class and Institutional Class | |||||
Real Return Fund | Class A, Class C, Select Class and Institutional Class | |||||
Short Term Bond Fund | Class A, Select Class and Institutional Class | |||||
Short Term Bond Fund II | Class A, Class M and Select Class |
Illiquid | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Market Value | | Percentage | ||||||||
Bond Fund | $ | 30,572 | 2.14 | % | |||||||
Enhanced Income Fund | 14,971 | 10.35 | |||||||||
Global Strategic Income Fund | 1,881 | 8.42 | |||||||||
Short Term Bond Fund | 37,434 | 6.27 | |||||||||
Short Term Bond Fund II | 47,990 | 6.88 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the Fund realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. If a call option is exercised, the premium is added to the proceeds from the sale of underlying security in determining whether there has been a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the security.
Bond Fund | Enhanced Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Notional value/ Number of contracts | | Premiums Received | | Notional value/ Number of contracts | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | 656,652,428 | $ | 8,532 | 18,200,000 | $ | 48 | |||||||||||||
Options written | 2,001,806,605 | 28,347 | 95,140,135 | 326 | |||||||||||||||
Options expired or terminated in closing purchase transactions | (1,928,938,879 | ) | (20,404 | ) | (113,340,029 | ) | (362 | ) | |||||||||||
Options exercised | — | — | — | — | |||||||||||||||
Options outstanding at February 28, 2006 | 729,520,154 | $ | 16,475 | 106 | $ | 12 |
Real Return Fund | Short Term Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Notional value/ Number of contracts | | Premiums Received | | Notional value/ Number of contracts | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | — | $ | — | 141,600,000 | $ | 378 | |||||||||||||
Options written | 6,117,453 | 88 | 899,148,235 | 5,279 | |||||||||||||||
Options expired or terminated in closing purchase transactions | (6,117,409 | ) | (83 | ) | (866,570,552 | ) | (2,608 | ) | |||||||||||
Options exercised | — | — | — | — | |||||||||||||||
Options outstanding at February 28, 2006 | 44 | $ | 5 | 174,177,683 | $ | 3,049 |
Short Term Bond Fund II | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Notional value/ Number of contracts | | Premiums Received | | | |||||||||||||
Options outstanding at August 31, 2005 | 201,000,000 | $ | 536 | |||||||||||||||
Options written | 1,150,900,540 | 6,555 | ||||||||||||||||
Options expired or terminated in closing purchase transactions | (1,143,470,703 | ) | (3,408 | ) | ||||||||||||||
Options exercised | — | — | ||||||||||||||||
Options outstanding at February 28, 2006 | 208,429,837 | $ | 3,683 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
amount of undistributed net investment income on the date of the transaction, is credited or charged to undistributed net investment income. As a result, undistributed net investment income per share is unaffected by sales or redemptions of Fund shares.
| ||||||
---|---|---|---|---|---|---|
Bond Fund | 0.30 | % | ||||
Emerging Markets Debt Fund | 0.70 | |||||
Enhanced Income Fund | 0.25 | |||||
Global Strategic Income Fund | 0.45 | |||||
Real Return Fund | 0.35 | |||||
Short Term Bond Fund | 0.25 | |||||
Short Term Bond Fund II | 0.25 |
| Period Ended 2/28/2006 | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 26 | ||||
Emerging Markets Debt Fund | 2 | |||||
Enhanced Income Fund | 5 | |||||
Global Strategic Income Fund | 3 | |||||
Real Return Fund | 2 | |||||
Short Term Bond Fund | 45 | |||||
Short Term Bond Fund II | 24 |
| Class A | | Class B | | Class C | | Class M | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||||
Global Strategic Income Fund | 0.25 | 0.75 | 0.75 | 0.50 | % | |||||||||||||
Real Return Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||||
Short Term Bond Fund | 0.25 | n/a | n/a | n/a | ||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | n/a | 0.35 |
| Front-End Sales Charge | | CDSC | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 82 | $ | 3 | ||||||
Emerging Markets Debt Fund | — | — | ||||||||
Enhanced Income Fund | — | — | ||||||||
Global Strategic Income Fund | 18 | 7 | ||||||||
Real Return Fund | 12 | — | ||||||||
Short Term Bond Fund | 5 | — | (a) | |||||||
Short Term Bond Fund II | 1 | — |
| Class A | | Class B | | Class C | | Class M | | Select Class | | Institutional Class | | Ultra | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.25 | % | 0.10 | % | 0.00 | % | |||||||||||||||||
Emerging Markets Debt Fund | n/a | n/a | n/a | n/a | 0.25 | n/a | n/a | |||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | 0.10 | n/a | |||||||||||||||||||||||
Global Strategic Income Fund | 0.25 | 0.25 | 0.25 | 0.30 | % | 0.25 | 0.10 | n/a | ||||||||||||||||||||||
Real Return Fund | 0.25 | n/a | 0.25 | n/a | 0.25 | 0.10 | n/a | |||||||||||||||||||||||
Short Term Bond Fund | 0.25 | n/a | n/a | n/a | 0.25 | 0.10 | n/a | |||||||||||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | n/a | 0.25 | 0.25 | n/a | n/a |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
| Class A | | Class B | | Class C | | Class M | | Select Class | | Institutional Class | | Ultra | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.75 | % | 1.50 | % | 1.50 | % | n/a | 0.69 | % | 0.49 | % | 0.40 | % | |||||||||||||||||
Emerging Markets Debt Fund | n/a | n/a | n/a | n/a | 1.25 | n/a | n/a | |||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | |||||||||||||||||||||||
Global Strategic Income Fund | 1.15 | 1.65 | 1.65 | 1.45 | % | 0.90 | 0.65 | n/a | ||||||||||||||||||||||
Real Return Fund | 0.90 | n/a | 1.40 | n/a | 0.65 | 0.50 | n/a | |||||||||||||||||||||||
Short Term Bond Fund | 0.75 | n/a | n/a | n/a | 0.60 | 0.30 | n/a | |||||||||||||||||||||||
Short Term Bond Fund II | 0.75 | n/a | n/a | 1.00 | 0.50 | n/a | n/a |
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Servicing | | Total | | Contractual Reimbursements | |||||||||||||
Bond Fund | $ | 211 | $ | 57 | $ | 18 | $ | 286 | $ | — | ||||||||||||
Emerging Markets Debt Fund | 20 | 3 | 56 | 79 | — | |||||||||||||||||
Enhanced Income Fund | 125 | 35 | 75 | 235 | — | |||||||||||||||||
Global Strategic Income Fund | 49 | 11 | 1 | 61 | 135 | |||||||||||||||||
Real Return Fund | 92 | 27 | 26 | 145 | 15 | |||||||||||||||||
Short Term Bond Fund | 52 | 241 | 221 | 514 | — | |||||||||||||||||
Short Term Bond Fund II | — | 81 | 344 | 425 | — |
Voluntary Waivers | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Servicing | | Total | ||||||||||||
Bond Fund | $ | 24 | $ | 40 | — | $ | 64 | ||||||||||||
Enhanced Income Fund | — | 38 | — | 38 | |||||||||||||||
Short Term Bond Fund | — | 40 | — | 40 |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 3,051,699 | $ | 2,752,245 | $ | 1,606,990 | $ | 1,200,979 | ||||||||||
Emerging Markets Debt Fund | 79,356 | 40,412 | 18,393 | 6,122 | ||||||||||||||
Enhanced Income Fund | 188,974 | 201,084 | 139,890 | 154,835 | ||||||||||||||
Global Strategic Income Fund | 5,297 | 8,099 | 17,018 | 14,616 | ||||||||||||||
Real Return Fund | 10,077 | 2,898 | 95,638 | 43,995 | ||||||||||||||
Short Term Bond Fund | 1,124,086 | 935,629 | 1,521,189 | 1,599,429 | ||||||||||||||
Short Term Bond Fund II | 1,366,248 | 1,261,320 | 1,125,586 | 1,259,097 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 2,071,411 | $ | 11,247 | $ | (25,094 | ) | $ | (13,847 | ) | ||||||||
Emerging Markets Debt Fund | 89,643 | 4,150 | (68 | ) | 4,082 | |||||||||||||
Enhanced Income Fund | 144,928 | 459 | (282 | ) | 177 | |||||||||||||
Global Strategic Income Fund | 26,485 | 674 | (1,317 | ) | (643 | ) | ||||||||||||
Real Return Fund | 60,052 | 102 | (559 | ) | (457 | ) | ||||||||||||
Short Term Bond Fund | 699,643 | 1,746 | (11,892 | ) | (10,146 | ) | ||||||||||||
Short Term Bond Fund II | 791,940 | 2,211 | (14,020 | ) | (11,809 | ) |
| Average Borrowings | | Number of Days Used | | Interest Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 1,561 | 3 | $ | 1 | |||||||||
Enhanced Income Fund | 751 | 13 | 1 | |||||||||||
Short Term Bond Fund II | 1,269 | 5 | 1 |
AS OF FEBRUARY 28, 2006 (Unaudited) (continued)
| Shares Outstanding | | Net Assets | | Net Asset Value Per Share | | Net Unrealized Appreciation | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Target Fund | ||||||||||||||||||
JPMorgan Strategic Income Fund | $ | 828 | ||||||||||||||||
Class A | 322 | $ | 3,011 | $ | 9.34 | |||||||||||||
Class B | 784 | 7,328 | 9.35 | |||||||||||||||
Class C | 313 | 2,925 | 9.35 | |||||||||||||||
Class M | 698 | 6,507 | 9.32 | |||||||||||||||
Acquiring Fund | ||||||||||||||||||
JPMorgan Global Strategic Income Fund | 360 | |||||||||||||||||
Class A | 89 | 827 | 9.26 | |||||||||||||||
Institutional | 2,506 | 23,220 | 9.27 | |||||||||||||||
Select | 270 | 2,502 | 9.26 | |||||||||||||||
Post Reorganization | ||||||||||||||||||
JPMorgan Global Strategic Income Fund | 1,188 | |||||||||||||||||
Class A | 414 | 3,838 | 9.26 | |||||||||||||||
Class B | 792 | 7,328 | 9.26 | |||||||||||||||
Class C | 316 | 2,925 | 9.26 | |||||||||||||||
Class M | 702 | 6,507 | 9.26 | |||||||||||||||
Institutional | 2,506 | 23,220 | 9.27 | |||||||||||||||
Select | 270 | 2,502 | 9.26 |
| Market Value of Securities Transferred to the Bond Fund (amounts in thousands) | | Number of Select Class Shares Issued (amounts in thousands) | |||||||
---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase Bank Fixed Income Fund | $ | 164,784 | 17,738 | |||||||
JPMorgan Chase Bank Intermediate Fixed Income Fund | 361,940 | 38,960 | ||||||||
JPMorgan Chase Bank Intermediate Term Bond Trust | 186,712 | 20,098 | ||||||||
JPMorgan Chase Bank Fixed Income Trust | 30,829 | 3,318 | ||||||||
$ | 744,265 | 80,114 |
(Unaudited)
Name (Year of Birth); Positions With the Funds | | Principal Occupations During Past 5 Years | | Number of Funds in Fund Complex Overseen by Trustee (1) | | Other Directorships Held Outside Fund Complex | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | ||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, Eduneering, Inc. (internet business education supplier) (2000–2001); Vice President & Treasurer of Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 123 | None. | |||||||||||
Roland R. Eppley, Jr. (1932); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1989. | Retired; President & Chief Executive Officer, Eastern States Bankcard (1971–1988). | 123 | None. | |||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 122* | Director, Cardinal Health, Inc (CAH) (1994–present); Chairman, The Columbus Association for the Performing Arts (CAPA) (2003–present). | |||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 123 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000– present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | |||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration, State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 123 | None. | |||||||||||
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2002–present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000–2002); President, DCI Marketing, Inc. (1992–2000). | 122* | None. | |||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 122* | Trustee, Mather LifeWays (1994–present); Trustee, Carleton College (2003–present). | |||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 123 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). |
Name (Year of Birth); Positions With the Funds | | Principal Occupations During Past 5 Years | | Number of Funds in Fund Complex Overseen by Trustee (1) | | Other Directorships Held Outside Fund Complex | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | ||||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 122* | Director, American University in Cairo. | |||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 123 | Trustee, Morgan Stanley Funds (198 portfolios) (1995–present). | |||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2002–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 122* | Director, AMS Group (2001–present); Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | |||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director, Bankers Trust Company (financial services) (1968–1998). | 123 | None. | |||||||||||
Interested Trustee | ||||||||||||||
Leonard M. Spalding, Jr.** (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President & Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 123 | Director, Glenview Trust Company, LLC (2001–present); Trustee, St. Catherine College (1998–present); Trustee, Bellarmine University (2000–present); Director, Springfield-Washington County Economic Development Authority (1997–present); Trustee, Marion and Washington County, Kentucky Airport Board (1998–present); Trustee, Catholic Education Foundation (2005–present). |
(1) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex which the Board of Trustees currently oversees includes nine registered investment companies (123 funds). |
* | This Trustee does not oversee the UM Investment Trust II which is the registered investment company for the Undiscovered Managers Spinnaker Fund, and therefore oversees eight registered investment companies (122 funds). |
** | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President since 2005 | Managing Director of JPMorgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of JPMorgan Funds. Mr. Gatch has been an employee since 1986 and has held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank, as well as positions in business management, marketing and sales. | |||||
Robert L. Young (1963), Senior Vice President since 2005* | Director and Vice President of JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to 2005. | |||||
Patricia A. Maleski (1960), Vice President and Chief Administrative Officer since 2005 | Vice President, JPMorgan Funds Management, Inc.; previously, Treasurer, JPMorgan Funds and Head of Funds Administration and Board Liaison. Ms. Maleski was Vice President of Finance for the Pierpont Group, Inc., an independent company owned by the Board of Directors/Trustees of the JPMorgan Funds, prior to joining J.P. Morgan Chase & Co. in 2001. | |||||
Stephanie J. Dorsey (1969), Treasurer since 2005* | Vice President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co., (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. | |||||
Stephen M. Ungerman (1953), Senior Vice President and Chief Compliance Officer since 2005 | Senior Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman held a number of positions in Prudential Financial’s asset management business prior to 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer since 2005 | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business units from July 2000 to 2004. | |||||
Stephen M. Benham (1959), Secretary since 2005 | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2004; Vice President (Legal Advisory) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004; attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. | |||||
Elizabeth A. Davin (1964), Assistant Secretary since 2005* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation) from 2004–2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |||||
Jessica K. Ditullio (1962), Assistant Secretary since 2005* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. | |||||
Nancy E. Fields (1949), Assistant Secretary since 2005* | Vice President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; From 1999 to 2005, Director, Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative Services, Inc.) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Ellen W. O’Brien (1957), Assistant Secretary since 2005** | Assistant Vice President, JPMorgan Investor Services, Co., responsible for Blue Sky registration. Ms. O’Brien has served in this capacity since joining the firm in 1991. | |||||
Suzanne E. Cioffi (1967), Assistant Treasurer since 2005 | Vice President, JPMorgan Funds Management, Inc., responsible for mutual fund financial reporting. Ms. Cioffi has overseen various fund accounting, custody and administration conversion projects during the past five years. | |||||
Arthur A. Jensen (1966), Assistant Treasurer since 2005* | Vice President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001 until 2005; Mr. Jensen was Section Manager at Northern Trust Company and Accounting Supervisor at Allstate Insurance Company prior to 2001. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
** | The contact address for the officer is 73 Tremont Street, Floor 1, Boston MA 02108. |
(Unaudited)
February 28, 2006
| Beginning Account Value, September 1, 2005 | | Ending Account Value, February 28, 2005 | | Expenses Paid During Period September 1, 2005 to February 28, 2006* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $1,000.00 | $1,003.00 | $3.68 | 0.74 | % | |||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 1,000.00 | 6.94 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,000.40 | 6.89 | 1.39 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,003.70 | 3.23 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,004.30 | 2.44 | 0.49 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.36 | 2.46 | 0.49 | ||||||||||||||
Ultra | ||||||||||||||||||
Actual | 1,000.00 | 1,003.90 | 1.99 | 0.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.81 | 2.01 | 0.40 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
(Unaudited) (continued)
February 28, 2006
| Beginning Account Value, September 1, 2005 | | Ending Account Value, February 28, 2005 | | Expenses Paid During Period September 1, 2005 to February 28, 2006* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Market Debt Fund | ||||||||||||||||||
Select Class | ||||||||||||||||||
Actual | $1,000.00 | $1,097.80 | $6.53 | 1.26 | % | |||||||||||||
Hypothetical | 1,000.00 | 1,018.56 | 6.29 | 1.26 | ||||||||||||||
Enhanced Income Fund | ||||||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,019.30 | 1.00 | 0.20 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||||
Global Strategic Income Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,017.80 | 5.75 | 1.15 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 1,016.20 | 8.25 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,015.20 | 8.24 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 1,017.10 | 7.25 | 1.45 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,020.00 | 4.51 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.32 | 4.51 | 0.90 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,020.90 | 3.26 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 988.40 | 4.41 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 986.50 | 6.86 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 990.90 | 3.19 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 991.30 | 2.46 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.27 | 2.51 | 0.50 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| Beginning Account Value, September 1, 2005 | | Ending Account Value, February 28, 2005 | | Expenses Paid During Period September 1, 2005 to February 28, 2006* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Term Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $1,000.00 | $1,007.70 | $3.73 | 0.75 | % | |||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,008.60 | 2.74 | 0.55 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,009.80 | 1.49 | 0.30 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,005.50 | 3.73 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 1,004.20 | 4.97 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,006.70 | 2.49 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.31 | 2.51 | 0.50 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
ADVISORY AGREEMENT
© JPMorgan Chase & Co., 2006 All rights reserved. February 2006. | SAN-INC-206 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption AUDIT FEES, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption AUDIT-RELATED FEES, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption TAX FEES, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption ALL OTHER FEES, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b)If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS
File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b))
The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
There were no changes in the Registrant's internal control over financial reporting that occurred 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) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Mutual Fund Group
By:/s/_____________________________________
George C.W. Gatch
President and Principal Executive Officer
May 3, 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/_____________________________________
George C.W. Gatch
President and Principal Executive Officer
May 3, 2006
By:/s/_____________________________________
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
May 3, 2006