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: 811-05151
JPMorgan Mutual Fund Group
(Exact name of registrant as specified in charter)
245 Park Avenue
New York, NY 10167
(Address of principal executive offices) (Zip code)
Stephen M. Benham
245 Park Avenue
New York, NY 10167
(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, 2006 to August 31, 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).
JPMorgan Emerging Markets Debt Fund
JPMorgan Enhanced Income Fund
JPMorgan Real Return Fund
JPMorgan Short Term Bond Fund
JPMorgan Short Term Bond Fund II
JPMorgan Strategic Income Fund
(formerly JPMorgan Global Strategic Income Fund)
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/jpmorgan_asstmngklogo.jpg)
President’s Letter | 1 | |||||
Fund Commentaries: | ||||||
JPMorgan Bond Fund | 2 | |||||
JPMorgan Emerging Markets Debt Fund | 4 | |||||
JPMorgan Enhanced Income Fund | 6 | |||||
JPMorgan Real Return Fund | 8 | |||||
JPMorgan Short Term Bond Fund | 10 | |||||
JPMorgan Short Term Bond Fund II | 12 | |||||
JPMorgan Strategic Income Fund | 14 | |||||
Schedules of Portfolio Investments | 16 | |||||
Financial Statements | 84 | |||||
Financial Highlights | 102 | |||||
Notes to Financial Statements | 120 | |||||
Report of Independent Registered Public Accounting Firm | 132 | |||||
Trustees | 133 | |||||
Officers | 135 | |||||
Schedule of Shareholder Expenses | 137 | |||||
Board Approval of Investment Advisory Agreement | 140 | |||||
Tax Letter | 143 |
• | Rate hike, energy price and inflation concerns pressed upon investors |
• | FOMC’s tightening campaign paused in August after 17 consecutive rate increases |
• | Bond rally underscored by better-than-expected inflation data |
• | Cooling housing market began seeping into the broad market |
SEPTEMBER 15, 2006 (Unaudited)
“Although we do not forecast a recession, a classic economic slowdown appears to be unfolding, and this points to a potentially supportive environment for fixed income investors.”
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/gatch-photo.jpg)
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/georgecwgatch-sig.jpg)
President
JPMorgan Funds
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | July 26, 1993 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $1,740,080 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 4.3 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 1.81% (Institutional Class Shares) over the 12 months ended August 31, 2006, compared to the 1.71% return for the Lehman Brothers Aggregate Bond Index over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period due primarily to emerging markets debt, which significantly outperformed the broader fixed income market. The sector experienced an impressive rally for the year, fueled by surging capital inflows, high commodity prices, improving credit quality and the announcement of debt repurchase programs by a number of countries. Asset-backed securities (ABS), commercial mortgage-backed securities (CMBS) and high-yield investments (“junk bonds”) also contributed to positive performance. The high-yield sector was well supported by solid corporate earnings, low default rates and robust technicals. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Given the rising rate environment for most of the year, we managed interest rate risk from a tactical perspective, with a bias toward being short in intermediate maturities. This approach proved beneficial as interest rates rose during the Federal Reserve’s tightening cycle but came to a halt in July and August 2006 when interest rates rallied significantly. |
Corporate Bonds | 33.8 | % | ||||
Mortgage Pass-Through Securities | 31.4 | |||||
Collateralized Mortgage Obligations | 18.1 | |||||
Asset Backed Securities | 13.7 | |||||
Short-Term Investments | 8.6 | |||||
U.S. Government Agency Securities | 6.4 | |||||
Commercial Mortgage Backed Securities | 5.0 | |||||
Foreign Government Securities | 4.0 | |||||
U.S. Treasury Obligations | 3.4 | |||||
Other (less than 1.0%) | 2.1 |
* | 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 August 31, 2006. The Fund’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 | 1.42 | % | 4.76 | % | 6.09 | % | ||||||||||||
With Sales Charge* | (2.34 | ) | 3.97 | 5.69 | ||||||||||||||
CLASS B SHARES | 9/10/2001 | |||||||||||||||||
Without CDSC | 0.90 | 3.87 | 5.64 | |||||||||||||||
With CDSC** | (4.10 | ) | 3.52 | 5.64 | ||||||||||||||
CLASS C SHARES | 3/31/2003 | |||||||||||||||||
Without CDSC | 0.97 | 3.97 | 5.69 | |||||||||||||||
With CDSC*** | (0.03 | ) | 3.97 | 5.69 | ||||||||||||||
SELECT CLASS SHARES | 9/10/2001 | 1.55 | 4.72 | 6.07 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 7/26/1993 | 1.81 | 4.90 | 6.25 | ||||||||||||||
ULTRA SHARES | 9/10/2001 | 1.80 | 4.99 | 6.35 |
* | Sales Charge for Class A Shares is 3.75%. |
** | 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-CSR/0001145443-06-003392/d19875_bond-line.jpg)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | April 17, 1997 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $119,917 | |||||
Primary Benchmark | Emerging Markets Bond Index Global | |||||
Average Credit Quality | BB+ | |||||
Duration | 6.3 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, returned 10.99% (Select Class Shares) over the 12 months ended August 31, 2006, compared to the 9.00% return for the Emerging Markets Bond Index Global over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period due to strong economic fundamentals in emerging economies, improved credit quality and sustained inflows. The Fund benefited from an overweight in Argentina, as strong growth figures coupled with heavy investor inflows led its debt to rally. An underweight in Turkey contributed as well, as its dollar-denominated debt underperformed. Security selection played a vital role in the Fund’s outperformance, as our holdings in Venezuela, a major oil exporter, benefited from strong global demand for oil. Brazilian holdings performed well, as the government continued their plan to buy back up to $20 billion in external debt. Mexican local bonds also performed well, as local inflation continued to moderate. In addition, numerous credit upgrades from rating agencies benefited returns, as countries demonstrated a greater willingness and ability to repay debt. In March, Standard & Poor’s upgraded Argentina’s rating from B– to B, while Brazilian local debt was upgraded in late August by Moody’s from Ba3 to Ba2. On the negative side, an underweight in Peru hindered performance, as the country recovered quickly following the election of Ollanta Humala. In addition, overweights in Russia, which lagged the overall market, and the Ukraine, which was still besieged by political difficulties, hurt returns. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Overall, the Fund was positioned in countries that provided strong insulation from a higher-rate environment. Economic indicators suggested that the global economy was resilient to sharply increased energy prices during 2005, which benefited commodities during the first two quarters of 2006. 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. Investors’ demand has been quite strong, while new issuance has been oversubscribed. We also found that technicals favored the market’s weak supply. |
Foreign Government Securities | 65.0 | % | ||||
Corporate Bonds | 21.2 | |||||
U.S. Treasury Obligations | 7.4 | |||||
Short-Term Investments | 2.5 |
Brazil | 16.6 | % | ||||
Russia | 15.4 | |||||
Venezuela | 11.5 | |||||
United States | 9.9 | |||||
Argentina | 7.5 | |||||
Mexico | 6.9 | |||||
Indonesia | 3.3 | |||||
Peru | 3.2 | |||||
Uruguay | 2.9 | |||||
Turkey | 2.5 | |||||
Ukraine | 2.5 | |||||
Colombia | 2.5 | |||||
Dominican Republic | 2.2 | |||||
Luxembourg | 2.1 | |||||
Panama | 2.1 | |||||
Chile | 1.7 | |||||
El Salvador | 1.7 | |||||
Other (less than 1.0%) | 1.6 |
* | 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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A Shares | 6/30/06 | |||||||||||||||||
Without Sales Charge | 10.95 | % | 15.22 | % | 11.20 | % | ||||||||||||
With Sales Charge* | 6.81 | 14.33 | 10.75 | |||||||||||||||
CLASS C SHARES | 6/30/06 | |||||||||||||||||
Without CDSC | 10.89 | 15.21 | 11.20 | |||||||||||||||
With CDSC** | 9.89 | 15.21 | 11.20 | |||||||||||||||
R CLASS SHARES | 5/15/06 | 11.07 | 15.24 | 11.22 | ||||||||||||||
SELECT CLASS SHARES | 4/17/97 | 10.99 | 15.23 | 11.21 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_emd-line.jpg)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | November 30, 2001 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $131,238 | |||||
Primary Benchmark* | Merrill Lynch USD LIBOR 3 Month Constant Maturity Index | |||||
Average Credit Quality | AA– | |||||
Duration | 0.2 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Enhanced Income Fund, which seeks to provide high current income consistent with principal preservation, returned 4.61% (Institutional Class Shares) over the 12 months ended August 31, 2006, compared to the 4.54% return for the Merrill Lynch USD LIBOR 3 Month Constant Maturity Index over the same period.** |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period due primarily to investments in investment-grade corporate bonds, asset-backed securities (ABS) and mortgage-backed securities (MBS). The investment-grade corporate sector was well supported by solid earnings, low default rates and robust fundamentals. On the negative side, select mortgage overlay trades hurt performance in fourth quarter 2005, as the sector experienced high volatility. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short versus the benchmark. This approach proved beneficial as interest rates rose during the Federal Reserve’s tightening cycle but came to a halt in July and August 2006 when interest rates rallied significantly. |
Corporate Bonds | 37.8 | % | ||||
Asset Backed Securities | 25.5 | |||||
Collateralized Mortgage Obligations | 22.7 | |||||
Short-Term Investments | 16.6 | |||||
Mortgage Pass Through Securities | 3.1 | |||||
Commercial Mortgage Backed Securities | 3.0 | |||||
Other (less than 1.0%) | 0.6 |
* | 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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL CLASS SHARES | 11/30/01 | 4.61 | % | 2.85 | % | 2.37 | % |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_enhancedincome-line.jpg)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | September 1, 2005 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $60,434 | |||||
Primary Benchmark | Lehman Brothers U.S. Treasury Inflation-Protected Securities (TIPS) Index | |||||
Average Credit Quality | AAA | |||||
Duration | 7.7 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation protected return, returned –0.09% (Select Class Shares) for the since-inception period ended August 31, 2006, compared to the 1.53% return for the Lehman Brothers U.S. Treasury Inflation-Protected Securities (TIPS) Index over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due to its interest-rate and yield curve strategies, particularly in the latter half of the year when interest rates rallied on fears that U.S. economic growth would fall below trend. Short-duration exposures in foreign markets, such as the U.K. and Japan, hindered performance as bond markets rallied despite fundamentally positive economic growth. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Major gains in wholesale energy markets led to an overweight in short-term TIPS due to anticipated high rates of headline inflation in the second and third quarters of 2006. |
U.S. Treasury Obligations | 80.8 | % | ||||
Mortgage Pass-Through Securities | 11.3 | |||||
Collateralized Mortgage Obligations | 7.8 | |||||
Short-Term Investments | 4.9 | |||||
Asset Backed Securities | 4.2 | |||||
Corporate Bonds | 1.6 | |||||
Other (less than 1.0%) | 2.1 |
* | 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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | Since Inception | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | �� | 9/1/05 | ||||||||
Without Sales Charge | (0.43 | )% | ||||||||
With Sales Charge* | (4.17 | ) | ||||||||
CLASS C SHARES | 9/1/05 | |||||||||
Without CDSC | (0.91 | ) | ||||||||
With CDSC** | (1.91 | ) | ||||||||
SELECT CLASS SHARES | 9/1/05 | (0.09 | ) | |||||||
INSTITUTIONAL CLASS SHARES | 9/1/05 | 0.12 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_realreturn-line.jpg)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | September 13, 1993 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $1,026,269 | |||||
Primary Benchmark | Merrill Lynch 1–3 Year Treasury Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.6 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund, which seeks to provide high total return, consistent with low volatility of principal, returned 3.47% (Institutional Class Shares) over the 12 months ended August 31, 2006, compared to the 2.95% return for the Merrill Lynch 1–3 Year Treasury Index over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period due to investments in corporate bonds, high yield securities (“junk bonds”), structured products, and duration and curve positioning. The investment-grade corporate sector was supported by solid earnings, low default rates and robust fundamentals. Within corporate, we held a bias toward financials, as valuations remained attractive. Additionally, we continued to favor short-term BBB-rated securities, relative to more defensive higher-rated names, given the tight level of spreads. The high-yield sector posted strong performance on account of low default rates, favorable earnings and strong technicals. Our holdings in the high-yield sector were highly diversified across different industries. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short versus the benchmark. Our short duration bias proved beneficial, as interest rates rose over the year. The Fund’s allocation to collateralized mortgage obligations (CMOs) was increased, swapping out of lower-yielding corporates and agencies. We selectively added names in the investment-grade corporate sector that offered attractive relative value and diversification opportunities. We also added more asset-backed securities, such as home equity loans, which remain well supported by strong CDO (collateralized debt obligation) and real money demand. |
Short-Term Investments | 29.3 | % | ||||
Corporate Bonds | 28.2 | |||||
Asset Backed Securities | 17.3 | |||||
Collateralized Mortgage Obligations | 14.8 | |||||
Mortgage Pass-Through Securities | 11.1 | |||||
Commercial Mortgage Backed Securities | 9.4 | |||||
Foreign Government Securities | 1.9 | |||||
Preferred Stock | 1.3 | |||||
Other (less than 1.0%) | 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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||
Without Sales Charge | 3.04 | % | 2.75 | % | 4.47 | % | ||||||||||||
With Sales Charge* | 0.74 | 2.28 | 4.23 | |||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 3.22 | 2.94 | 4.56 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/13/93 | 3.47 | 3.22 | 4.83 |
* | Sales Charge for Class A Shares is 2.25%. |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_stbond-line.jpg)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | November 30, 1990 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $616,938 | |||||
Primary Benchmark | Lehman Brothers 1–3 Year U.S. Government Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.6 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 2.91% (Select Class Shares) over the 12 months ended August 31, 2006, compared to the 3.02% return for the Lehman Brothers 1–3 Year U.S. Government Bond Index over the same period.* |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due to select agency holdings and duration trades. Even though agencies received a boost from persistently strong demand from the hedge fund community and Asian investors, holding an underweight in the sector prevented the Fund from benefiting and adversely impacted results. Duration trades also detracted from performance when rates rallied significantly in July and August. On the positive side, the Fund’s allocation in corporate bonds, structured products and collateralized mortgage obligations (CMOs) contributed to performance. We also took profit on our duration and curve positioning. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration with a bias toward being short versus the benchmark. Our short duration bias proved beneficial, as interest rates rose over the year. The Fund’s allocation to CMOs was increased as we swapped out of lower-yielding corporates and agencies. We also added more asset-backed securities, such as home equity loans, which remained well supported by strong CDO (collateralized debt obligation) and real money demand. |
Corporate Bonds | 29.5 | % | ||||
Asset Backed Securities | 21.0 | |||||
Collateralized Mortgage Obligations | 19.8 | |||||
Commercial Mortgage Backed Securities | 13.7 | |||||
Short-Term Investments | 13.1 | |||||
Mortgage Pass-Through Securities | 12.6 | |||||
Foreign Government Securities | 2.8 | |||||
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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 Year | 5 Year | 10 Year | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/6/96 | |||||||||||||||||
Without Sales Charge | 2.66 | % | 2.58 | % | 4.15 | % | ||||||||||||
With Sales Charge* | 0.36 | 2.12 | 3.91 | |||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||
Without Sales Charge | 2.40 | 2.32 | 3.96 | |||||||||||||||
With Sales Charge** | 0.89 | 2.00 | 3.81 | |||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 2.91 | 2.82 | 4.45 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_stbondii-line.jpg)
(formerly JPMorgan Global Strategic Income Fund)
AS OF AUGUST 31, 2006 (Unaudited)
Fund Inception | March 17, 1997 | |||||
Fiscal Year-End | August 31 | |||||
Net Asset as of 8/31/06 (In Thousands) | $25,048 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | A+ | |||||
Duration | 4.1 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Strategic Income Fund, which seeks to provide high total return primarily from a portfolio of fixed income investments of foreign and domestic issuers and counterparties, returned 3.81% (Institutional Class Shares) over the 12 months ended August 31, 2006, compared to the 1.71% return for the Lehman Brothers Aggregate Bond Index over the same period.** |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period due to significant exposure to and security selection in emerging market and high-yield debt (“junk bonds”), which outperformed the broader fixed income market. Despite some volatility in the sector, emerging market debt continued to prosper due to strong capital inflows, rising energy prices and improving credit quality. The sector’s returns were fueled by the underlying strength in commodity prices, firm fundamentals and the continued support of debt buy-backs by emerging market countries. High-yield debt outperformed as well on the back of strong corporate earnings, low default rates and new issuance that was well received in the primary market. The Fund’s investment in mortgages also contributed positively. On the negative side, an underweight in corporates detracted from performance. Returns for the international sector were flat for the period. |
Q: | HOW WAS THE FUND MANAGED? |
A. | As spreads in the emerging market debt and high-yield markets narrowed, we reduced our exposure, taking some profit. This approach proved beneficial, as these sectors experienced volatility toward the end of the second quarter. |
Corporate Bonds | 33.0 | % | ||||
Mortgage Pass-Through Securities | 32.9 | |||||
Short-Term Investments | 20.5 | |||||
Foreign Government Securities | 12.9 | |||||
Non-Call Mortgages | 7.3 | |||||
Asset Backed Securities | 5.1 | |||||
U.S. Treasury Obligations | 2.7 | |||||
Collateralized Mortgage Obligations | 2.1 | |||||
Commercial Mortgage Backed Securities | 1.6 |
United States | 103.2 | % | ||||
Venezuela | 1.7 | |||||
Argentina | 1.4 | |||||
Dominican Republic | 1.1 | |||||
Ukraine | 1.0 | |||||
Mexico | 1.0 | |||||
Other (less than 1.0%) | 8.7 |
* | The Fund’s name was changed from JPMorgan Global Strategic Income Fund to JPMorgan Strategic Income Fund on June 16, 2006. Its investment objective and strategies also changed on the same date. |
** | 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 August 31, 2006. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 Year | 5 Year | Since Inception | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||
Without Sales Charge | 3.24 | % | 5.08 | % | 5.25 | % | ||||||||||||
With Sales Charge* | (0.59 | ) | 4.28 | 4.82 | ||||||||||||||
CLASS B SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | 2.80 | 4.91 | 5.16 | |||||||||||||||
With CDSC** | (2.20 | ) | 4.58 | 5.16 | ||||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | 2.71 | 4.92 | 5.16 | |||||||||||||||
With CDSC *** | 1.71 | 4.92 | 5.16 | |||||||||||||||
CLASS M SHARES | 2/19/05 | |||||||||||||||||
Without Sales Charge | 2.99 | 5.00 | 5.20 | |||||||||||||||
With Sales Charge**** | (0.11 | ) | 4.35 | 4.86 | ||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 3.58 | 5.39 | 5.41 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 3/17/97 | 3.81 | 5.72 | 5.74 |
* | Sales Charge for Class A Shares is 3.75%. |
** | 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 for Class M Shares is 3.00%. |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/d19875_sif-line.jpg)
AS OF AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 117.0% | |||||||||||
Asset Backed Securities — 13.7% | |||||||||||
5,000 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, FRN, 5.50%, 04/25/36 (m) | 5,007 | |||||||||
2,022 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.83%, 02/15/12 (e) (m) | 2,027 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
2,058 | Series 2003-DM, Class A4A, 2.84%, 08/06/10 (m) | 2,027 | |||||||||
747 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 739 | |||||||||
5,000 | Asset Backed Securities Corp Home Equity, Series 2006-HE5, Class M2, FRN, 5.62%, 07/25/36 (m) | 5,000 | |||||||||
6,000 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.56%, 11/15/11 (m) | 5,998 | |||||||||
Capital Auto Receivables Asset Trust, | |||||||||||
2,093 | Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 2,090 | |||||||||
6,320 | Series 2006-1 A2A, 5.03%, 09/15/08 (m) | 6,307 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
1,107 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,091 | |||||||||
3,250 | Series 2004-A, Class A4, FRN, 5.43%, 03/15/11 (m) | 3,251 | |||||||||
6,480 | Capital One Master Trust, Series 2001-8A, Class A, 4.60%, 08/17/09 (m) | 6,473 | |||||||||
Capital One Multi-Asset Execution Trust, | |||||||||||
7,580 | Series 2003-A, IF, 6.58%, 12/15/10 (e) (i) (m) | 7,702 | |||||||||
6,233 | Series 2003-A4, Class A4, 3.65%, 07/15/11 (m) | 6,057 | |||||||||
1,500 | Capital One Prime Auto Receivables Trust, Series 2005-1, Class A4, FRN, 5.35%, 04/15/11 (m) | 1,500 | |||||||||
Carmax Auto Owner Trust, | |||||||||||
818 | Series 2003-2, Class A4, 3.07%, 10/15/10 (m) | 807 | |||||||||
5,000 | Series 2006-1, Class A4, 5.41%, 06/15/11 (m) | 5,039 | |||||||||
CARSS Finance LP (Cayman Islands), | |||||||||||
273 | Series 2004-A, Class B1, FRN, 5.61%, 01/15/11 (e) (m) | 273 | |||||||||
182 | Series 2004-A, Class B2, FRN, 6.28%, 01/15/11 (e) (m) | 182 | |||||||||
94 | Centex Home Equity, Series 2004-A, Class AV2, FRN, 5.57%, 06/25/34 (m) | 94 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
1,555 | Series 2004-A8, Class A8, 4.90%, 12/12/16 (m) | 1,514 | |||||||||
1,145 | Series 2005-A9, Class A9, 5.10%, 11/20/17 (m) | 1,126 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
1,867 | Series 2003-HE3, Class A, FRN, 5.70%, 12/25/33 (m) | 1,875 | |||||||||
1,563 | Series 2005-OPT1, Class A1B, FRN, 5.53%, 02/25/35 (m) | 1,564 | |||||||||
1,995 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 1,967 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
4,775 | Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 4,728 | |||||||||
439 | Series 2004-1, Class 3A, FRN, 5.60%, 04/25/34 (m) | 439 | |||||||||
1,320 | Series 2004-1, Class M1, FRN, 5.82%, 03/25/34 (m) | 1,327 | |||||||||
1,080 | Series 2004-1, Class M2, FRN, 5.87%, 03/25/34 (m) | 1,086 | |||||||||
157 | Series 2004-BC, Class 1A, FRN, 5.55%, 04/25/34 (m) | 157 | |||||||||
1,835 | Series 2005-3, Class AF3, VAR, 4.82%, 08/25/35 (m) | 1,819 | |||||||||
1,290 | Series 2005-11, Class 3AV1, FRN, 5.48%, 02/25/36 (m) | 1,290 | |||||||||
940 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) | 925 | |||||||||
553 | Countrywide Home Equity Loan Trust, Series 2004-I, Class A, FRN, 5.62%, 05/15/29 (m) | 555 | |||||||||
784 | Series 2004-K, Class 2A, FRN, 5.63%, 11/15/29 (m) | 786 | |||||||||
981 | Credit-Based Asset Servicing and Securitization, Series 2006-CB1, Class AF1, SUB, 5.46%, 01/25/36 (m) | 976 | |||||||||
5,000 | Daimler Chrysler Auto Trust, Series 2006-B, Class A2, 5.30%, 10/08/08 (m) | 4,998 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, | |||||||||||
2,600 | Series 2005-FF2, Class A2B, FRN, 5.50%, 03/25/35 (m) | 2,602 | |||||||||
6,000 | Series 2006-FF10, Class M1, FRN, 5.60%, 07/25/36 (m) | 6,002 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
3,070 | Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 3,017 | |||||||||
6,000 | Series 2006-B, Class A2A, 5.42%, 07/15/09 (m) | 6,006 | |||||||||
2,800 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 2,773 | |||||||||
1,000 | GMAC Mortgage Corp. Loan Trust, Series 2004-HE1, Class A2, FRN, 5.42%, 06/25/34 (m) | 1,000 | |||||||||
1,325 | Gracechurch Card Funding plc (United Kingdom), Series 2005-7, Class A, FRN, 5.35%, 11/16/09 (m) | 1,325 | |||||||||
1,750 | GS Auto Loan Trust, Series 2004-1, Class A4, 2.65%, 05/15/11 (m) | 1,720 | |||||||||
GSAMP Trust, | |||||||||||
784 | Series 2004-OPT, Class A1, FRN, 5.66%, 11/25/34 (m) | 786 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset Backed Securities — Continued | |||||||||||
2,000 | Series 2005-WMC2, Class A2B, FRN, 5.58%, 11/25/35 (m) | 2,004 | |||||||||
6,000 | Series 2006-NC1, Class A2, FRN, 5.50%, 02/25/36 (m) | 6,009 | |||||||||
Home Equity Asset Trust, | |||||||||||
1,465 | Series 2005-8, Class M2, FRN, 5.77%, 02/25/36 (m) | 1,473 | |||||||||
7,000 | Series 2006-3, Class2A3, FRN, 5.50%, 07/25/36 (m) | 7,011 | |||||||||
662 | Honda Auto Receivables Owner Trust, Series 2003-3, Class A4, 2.77%, 11/21/08 (m) | 651 | |||||||||
Household Automotive Trust, | |||||||||||
3,905 | Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 3,836 | |||||||||
2,000 | Series 2006-1 A2, 5.40%, 06/17/09 (m) | 2,000 | |||||||||
6,650 | Series 2006-2 A2, 5.61%, 06/17/09 (m) | 6,664 | |||||||||
330 | Household Mortgage Loan Trust, Series 2004-HC1, Class A, FRN, 5.68%, 02/20/34 (m) | 331 | |||||||||
5,000 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 5,010 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
2,000 | Series 2003-4, Class M1, FRN, 6.00%, 08/25/33 (m) | 2,007 | |||||||||
2,030 | Series 2004-1, Class M1, FRN, 5.82%, 02/25/34 (m) | 2,035 | |||||||||
1,360 | Series 2004-1, Class M2, FRN, 5.87%, 02/25/34 (m) | 1,364 | |||||||||
81 | Series 2004-3, Class A3, FRN, 5.58%, 07/25/34 (m) | 81 | |||||||||
1,500 | Series 2004-3, Class M1, FRN, 5.89%, 07/25/34 (m) | 1,512 | |||||||||
1,510 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 (m) | 1,486 | |||||||||
MASTR Asset Backed Securities Trust, | |||||||||||
1,194 | Series 2005-NC1, Class A4, FRN, 5.55%, 12/25/34 (m) | 1,194 | |||||||||
10,560 | Series 2006-AB1 A1, FRN, 5.46%, 02/25/36 (m) | 10,562 | |||||||||
5,000 | Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 5,010 | |||||||||
MBNA Credit Card Master Note Trust, | |||||||||||
3,000 | Series 2001-C2, Class C2, FRN, 6.48%, 12/15/10 (e) (m) | 3,054 | |||||||||
4,875 | Series 2003-A1, Class A1, 3.30%, 07/15/10 (m) | 4,747 | |||||||||
5,000 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1 A2C, FRN, 5.52%, 01/25/37 (m) | 5,001 | |||||||||
New Century Home Equity Loan Trust, | |||||||||||
1,215 | Series 2005-1, Class A2B, FRN, 5.54%, 03/25/35 (m) | 1,216 | |||||||||
1,350 | Series 2005-1, Class M1, FRN, 5.77%, 03/25/35 (m) | 1,356 | |||||||||
1,565 | Series 2005-2, Class A2B, FRN, 5.50%, 06/25/35 (m) | 1,566 | |||||||||
1,000 | Series 2005-B, Class A2B, FRN, 5.50%, 10/25/35 (m) | 1,000 | |||||||||
4,000 | Newcastle Mortgage Securities Trust, Series 2006-1, Class A2, FRN, 5.44%, 03/25/36 (m) | 4,001 | |||||||||
1,500 | Nissan Auto Receivables Owner Trust, Series 2006-A, Class A2, 4.80%, 06/16/08 (m) | 1,495 | |||||||||
686 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 677 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
529 | Series 2003-1, Class A2, FRN, 5.74%, 02/25/33 (m) | 530 | |||||||||
311 | Series 2003-5, Class A2, FRN, 5.64%, 08/25/33 (m) | 312 | |||||||||
2,000 | Peco Energy Transition Trust, Series 2000-A, Class A3, 7.63%, 03/01/10 (m) | 2,112 | |||||||||
5,998 | PP&L Transition Bond Co. LLC, Series 1999-1, Class A8, 7.15%, 06/25/09 (m) | 6,188 | |||||||||
2,650 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 2,832 | |||||||||
2,000 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, FRN, 5.55%, 01/25/36 (m) | 2,003 | |||||||||
Residential Asset Securities Corp., | |||||||||||
643 | Series 2002-KS4, Class AIIB, FRN, 5.57%, 07/25/32 (m) | 644 | |||||||||
1,200 | Series 2003-KS5, Class AIIB, FRN, 5.61%, 07/25/33 (m) | 1,201 | |||||||||
875 | Series 2005-AHL2, Class M2, FRN, 5.76%, 10/25/35 (m) | 879 | |||||||||
1,301 | Series 2005-KS2, Class AI2, FRN, 5.52%, 05/25/34 (m) | 1,302 | |||||||||
2,000 | Specialty Underwriting & Residential Finance, Series 2005- BC3, Class A2B, FRN, 5.57%, 06/25/36 (m) | 2,004 | |||||||||
6,365 | Structured Asset Securities Corp, Series 2006-WF2, Class M2, FRN, 5.61%, 07/25/36 (m) | 6,368 | |||||||||
4,722 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 (m) | 4,635 | |||||||||
1,755 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 (m) | 1,726 | |||||||||
Wachovia Asset Securitization, Inc., | |||||||||||
1,800 | Series 2002-HE2, Class A, FRN, 5.76%, 12/25/32 (m) | 1,802 | |||||||||
1,112 | Series 2003-HE3, Class A, FRN, 5.57%, 11/25/33 (m) | 1,114 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset Backed Securities — Continued | |||||||||||
WFS Financial Owner Trust, | |||||||||||
1,397 | Series 2003-3, Class A4, 3.25%, 05/20/11 (m) | 1,376 | |||||||||
3,252 | Series 2003-4, Class A4, 3.15%, 05/20/11 (m) | 3,202 | |||||||||
Total Asset Backed Securities (Cost $239,957) | 238,610 | ||||||||||
Collateralized Mortgage Obligations — 18.1% | |||||||||||
Agency CMO — 5.4% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
9,843 | Series 237, Class S22, IF, IO, 1.82%, 05/15/36 (m) | 794 | |||||||||
17,718 | Series 237, Class S23, IF, IO, 1.77%, 05/15/36 (m) | 1,390 | |||||||||
49,874 | Series 239, Class 30, IF, IO, 2.37%, 08/15/36 (m) | 4,177 | |||||||||
57,854 | Series 239, Class S29, IF, IO, 2.42%, 08/15/36 (m) | 4,972 | |||||||||
41,869 | Series 240, Class S22, IF, IO, 1.82%, 07/15/36 (m) | 3,369 | |||||||||
839 | Series 2508, Class PE, 5.50%, 05/15/28 (m) | 838 | |||||||||
10,395 | Series 2564, Class LS, IF, IO, 2.32%, 01/15/17 (m) | 617 | |||||||||
4,488 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 508 | |||||||||
13,912 | Series 2701, Class ST, IF, IO, 1.67%, 08/15/21 (m) | 743 | |||||||||
5,041 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 255 | |||||||||
2,195 | Series 2760, Class GI, IO, 4.50%, 02/15/11 (m) | 42 | |||||||||
5,820 | Series 2772, Class GI, IO, 5.00%, 11/15/22 (m) | 351 | |||||||||
8,443 | Series 2779, Class SM, IF, IO,1.82%, 10/15/18 (m) | 501 | |||||||||
4,280 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 252 | |||||||||
30,641 | Series 2791, Class SI, IF, IO, 1.82%, 12/15/31 (m) | 1,609 | |||||||||
24,356 | Series 2813, Class SB, IF, IO, 1.72%, 02/15/34 (m) | 1,378 | |||||||||
3,317 | Series 2857, Class NI, IO, 5.00%, 04/15/17 (m) | 74 | |||||||||
23,416 | Series 2861, Class GS, IF, IO, 1.87%, 01/15/21 (m) | 842 | |||||||||
5,588 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 404 | |||||||||
8,975 | Series 2894, Class S, IF, IO, 1.87%, 03/15/31 (m) | 516 | |||||||||
3,774 | Series 2897, Class SI, IF, 4.77%, 10/15/31 (m) | 3,511 | |||||||||
1,379 | Series 2921, Class SC, IF, 7.28%, 10/15/32 (m) | 1,342 | |||||||||
6,625 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 6,569 | |||||||||
6,408 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) | 637 | |||||||||
901 | Series 2980, Class QB, 6.50%, 05/15/35 (m) | 926 | |||||||||
9,267 | Series 3029, Class S, IF, IO, 1.87%, 08/15/35 (m) | 834 | |||||||||
48,499 | Series 3117, Class ES, IF, IO, 1.82%, 02/15/36 (m) | 3,872 | |||||||||
19,691 | Series 3174, Class SA, IF, IO, 2.37%, 04/15/36 (m) | 1,674 | |||||||||
Federal National Mortgage Association, | |||||||||||
8,110 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 324 | |||||||||
6,622 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 746 | |||||||||
3,584 | Series 2006-3, Class SY, IF, 7.05%, 03/25/36 (m) | 3,549 | |||||||||
5,736 | Series 2006-43, Class GS, IF, 6.75%, 06/25/36 (m) | 5,662 | |||||||||
2,432 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 2,488 | |||||||||
10,364 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 10,601 | |||||||||
24,754 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 25,287 | |||||||||
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) | 2,512 | |||||||||
Government National Mortgage Association, | |||||||||||
2,627 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 108 | |||||||||
4,924 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 321 | |||||||||
1,421 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 39 | |||||||||
94,826 | |||||||||||
Non-Agency CMO — 12.7% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
775 | Series 2005-4, Class 7A2, FRN, 5.55%, 08/25/35 (m) | 778 | |||||||||
2,823 | Series 2005-6, Class 6A21, FRN, 5.55%, 09/25/35 (m) | 2,824 | |||||||||
605 | Series 2005-6A Class 2A1, FRN, 5.63%, 11/25/35 (m) | 607 | |||||||||
14,906 | American Home Mortgage Assets, Series 2006-2 Class 2A1, FRN, 5.51%, 09/25/46 (m) | 14,902 | |||||||||
2,846 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 2,802 | |||||||||
2,222 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2, Class A2A, SUB, 5.91%, 05/25/36 (m) | 2,216 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
11,130 | Series 2006-OA10, Class 3A1, FRN, 5.51%, 08/25/46 (m) | 11,124 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
4,231 | Series 2006-OA9, Class 1A1, FRN, 5.52%, 07/20/46 (m) | 4,231 | |||||||||
3,949 | Series 2006-OT9, Class 2A1B, FRN, 5.52%, 07/20/46 (m) | 3,949 | |||||||||
12,989 | Series 2006-OA1, Class 2A1, FRN, 5.54%, 03/20/46 (m) | 13,002 | |||||||||
6,213 | Series 2006-OA2, Class A1, FRN, 5.54%, 05/20/46 (m) | 6,225 | |||||||||
5,986 | Series 2006-OA12, Class A2, FRN, 5.54%, 09/20/46 (m) | 5,985 | |||||||||
6,409 | Series 2005-51 Class 1A1, FRN, 5.65%, 11/20/35 (m) | 6,438 | |||||||||
6,144 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 6,108 | |||||||||
11,570 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 11,517 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
583 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) | 586 | |||||||||
990 | Series 2004-4, Class 1A1, 6.00%, 08/25/34 (m) | 987 | |||||||||
3,327 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 3,327 | |||||||||
6,000 | Deutsche ALT — A Securities Inc Alternate Loan Trust, Series 2006-AR1, Class 3A2, VAR, 5.57%, 02/25/36 (m) | 6,003 | |||||||||
2,634 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 5.61%, 10/19/45 (m) | 2,644 | |||||||||
3,000 | Granite Master Issuer plc, Series 2006-2 Class A4, FRN, 5.54%, 12/20/54 (m) | 3,020 | |||||||||
1,439 | Granite Mortgages plc (United Kingdom), Series 2004-3, Class 1A3, FRN, 5.51%, 09/20/44 (m) | 1,439 | |||||||||
1,642 | Greenpoint Mortgage Funding Trust, Series 2005-AR4, Class 4A1A, FRN, 5.63%, 10/25/45 (m) | 1,649 | |||||||||
5,665 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 5.67%, 01/25/35 (e) (m) | 5,687 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
7,215 | Series 2005-3, Class 2A1A, FRN, 5.57%, 06/19/35 (m) | 7,232 | |||||||||
1,727 | Series 2005-8, Class 1A2A, FRN, 5.66%, 09/19/35 (m) | 1,733 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
3,095 | Series 2004-AR7, Class A1, FRN, 5.76%, 09/25/34 (m) | 3,123 | |||||||||
1,174 | Series 2005-AR14, Class 2A1A, FRN, 5.62%, 08/25/35 (m) | 1,180 | |||||||||
14,733 | Series 2006-AR2, Class 1A1A, FRN, 5.54%, 04/25/46 (m) | 14,745 | |||||||||
4,100 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 4,080 | |||||||||
1,866 | Lehman XS Trust, Series 2005-7N, Class 1A1A, FRN, 5.59%, 11/25/35 (m) | 1,875 | |||||||||
1,395 | Medallion Trust (Australia), Series 2004-1G, Class A1, FRN, 5.53%, 05/25/35 (m) | 1,398 | |||||||||
Permanent Financing plc (United Kingdom), | |||||||||||
2,500 | Series 4, Class 2A, FRN, 5.37%, 03/10/09 (m) | 2,500 | |||||||||
5,000 | Series 9A, Class 2A, FRN, 5.34%, 03/10/15 (e) (m) | 5,000 | |||||||||
RESI Finance LP (Cayman Islands), | |||||||||||
3,777 | Series 2003-B, Class B3, FRN, 6.92%, 07/10/35 (e) (m) | 3,849 | |||||||||
6,502 | Series 2003-C, Class B3, FRN, 6.77%, 09/10/35 (e) (m) | 6,616 | |||||||||
1,245 | Series 2003-C, Class B4, FRN, 6.97%, 09/10/35 (e) (m) | 1,287 | |||||||||
1,388 | Series 2003-D, Class B3, FRN, 6.67%, 12/10/35 (e) (m) | 1,392 | |||||||||
2,008 | Series 2003-D, Class B4, FRN, 6.87%, 12/10/35 (e) (m) | 2,014 | |||||||||
2,356 | Series 2005-A, Class B3, FRN, 5.95%, 03/10/37 (e) (m) | 2,360 | |||||||||
789 | Series 2005-A, Class B4, FRN, 6.05%, 03/10/37 (e) (m) | 795 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
1,357 | Series 2005-Q04, Class 2A1, FRN, 5.60%, 12/25/45 (m) | 1,362 | |||||||||
10,000 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 10,078 | |||||||||
4,149 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 05/25/36 (m) | 4,133 | |||||||||
362 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (i) (m) | 358 | |||||||||
Structured Asset Mortgage Investments, Inc., | |||||||||||
1,937 | Series 2005-AR2, Class 2A1, FRN, 5.55%, 05/25/45 (m) | 1,942 | |||||||||
9,612 | Series 2006-AR1, Class 3A1, FRN, 5.55%, 02/25/36 (m) | 9,621 | |||||||||
1,332 | Washington Mutual, Inc., Series 2005-AR17, Class A1A1, FRN, 5.59%, 12/25/45 (m) | 1,336 | |||||||||
Washington Mutual Mortgage Securities Corp., | |||||||||||
1,532 | Series 2005-AR2, Class 2A21, FRN, 5.65%, 01/25/45 (m) | 1,536 | |||||||||
2,528 | Series 2005-AR9, Class A1A, FRN, 5.64%, 07/25/45 (m) | 2,533 | |||||||||
2,279 | Series 2005-AR15, Class A1A1, FRN, 5.58%, 11/25/45 (m) | 2,286 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
2,666 | Series 2003-2, Class A6, 5.25%, 03/25/18 (m) | 2,638 | |||||||||
4,084 | Series 2006-AR3, Class A1, FRN, 5.72%, 03/25/36 (m) | 4,074 | |||||||||
221,126 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $318,493) | 315,952 | ||||||||||
Commercial Mortgage Backed Securities — 5.0% | |||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
4,655 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) | 4,464 | |||||||||
4,155 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) | 4,009 | |||||||||
2,515 | Series 2005-T20, Class A4A, VAR, 5.30%, 10/12/42 (m) | 2,474 | |||||||||
5,000 | Series 2006-PW12, Class A4, VAR, 5.90%, 09/11/38 (m) | 5,124 | |||||||||
5,790 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A3, VAR, 5.91%, 03/15/49 (m) | 5,930 | |||||||||
10,000 | Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, VAR, 5.96%, 06/10/46 (m) | 10,266 | |||||||||
8,610 | Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, VAR, 6.02%, 06/15/38 (m) | 8,870 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
5,405 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) | 5,170 | |||||||||
5,405 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) | 5,171 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
1,200 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 1,166 | |||||||||
2,170 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) | 2,122 | |||||||||
4,060 | Series 2006-C4, Class A4, VAR, 6.10%, 06/15/38 (m) | 4,212 | |||||||||
6,500 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-FFLA, Class A2, FRN, 5.45%, 09/15/21 (e) (m) | 6,500 | |||||||||
7,610 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.84%, 05/12/39 (m) | 7,757 | |||||||||
5,000 | Morgan Stanley Capital I, Series 2006-IQ11, Class A4, VAR, 5.95%, 10/15/42 (m) | 5,121 | |||||||||
1,755 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 1,710 | |||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||
370 | Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) | 360 | |||||||||
5,605 | Series 2006-C26, Class A3, VAR, 6.01%, 06/15/45 (m) | 5,819 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $85,982) | 86,245 | ||||||||||
Corporate Bonds — 33.8% | |||||||||||
Aerospace & Defense — 0.3% | |||||||||||
900 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 851 | |||||||||
3,500 | United Technologies Corp., FRN, 5.47%, 06/01/09 (m) | 3,501 | |||||||||
4,352 | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
549 | TRW Automotive, Inc., 9.38%, 02/15/13 (m) | 586 | |||||||||
Automobiles — 0.9% | |||||||||||
DaimlerChrysler NA Holding Corp., | |||||||||||
10,280 | 5.88%, 03/15/11 (m) | 10,322 | |||||||||
3,425 | FRN, 5.74%, 03/13/09 (m) | 3,429 | |||||||||
2,000 | FRN, 6.02%, 10/31/08 (m) | 2,008 | |||||||||
15,759 | |||||||||||
Beverages — 0.2% | |||||||||||
450 | Diageo Capital plc (United Kingdom), 3.38%, 03/20/08 (m) | 437 | |||||||||
3,875 | Diageo Finance BV (United Kingdom), 3.00%, 12/15/06 (m) | 3,849 | |||||||||
4,286 | |||||||||||
Capital Markets — 4.3% | |||||||||||
1,395 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 1,346 | |||||||||
1,020 | Banque Paribas, 6.88%, 03/01/09 (m) | 1,057 | |||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
520 | 4.00%, 01/31/08 (m) | 511 | |||||||||
1,640 | FRN, 5.64%, 04/29/08 (m) | 1,644 | |||||||||
2,190 | Credit Suisse First Boston USA, Inc., FRN, 5.50%, 06/02/08 (m) | 2,193 | |||||||||
Credit Suisse USA, Inc., | |||||||||||
3,000 | FRN, 5.41%, 12/09/08 (m) | 3,005 | |||||||||
2,000 | FRN, 5.47%, 06/05/09 (m) | 2,000 | |||||||||
Goldman Sachs Group, Inc., | |||||||||||
1,550 | 4.13%, 01/15/08 (m) | 1,528 | |||||||||
5,565 | 6.45%, 05/01/36 (m) | 5,633 | |||||||||
7,000 | FRN, 5.53%, 12/22/08 (m) | 7,006 | |||||||||
4,275 | FRN, 5.54%, 06/23/09 (m) | 4,275 | |||||||||
2,235 | Kaupthing Bank (Iceland), 7.13%, 05/19/16 (e) (m) | 2,294 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
12,000 | FRN, 5.43%, 05/29/08 (m) | 12,004 | |||||||||
7,000 | FRN, 5.49%, 08/21/09 (m) | 6,998 | |||||||||
3,100 | Links Finance LLC, FRN, 5.58%, 09/15/06 (e) (i) (m) | 3,103 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
2,000 | FRN, 5.58%, 10/27/08 (m) | 2,003 | |||||||||
1,900 | FRN, 5.73%, 02/06/09 (m) | 1,909 | |||||||||
Morgan Stanley, | |||||||||||
8,835 | 5.38%, 10/15/15 (m) | 8,644 | |||||||||
7,000 | FRN, 5.55%, 02/09/09 (m) | 7,012 | |||||||||
1,000 | FRN, 5.56%, 11/09/07 (m) | 1,002 | |||||||||
75,167 | |||||||||||
Chemicals — 0.2% | |||||||||||
1,025 | Huntsman LLC, 11.50%, 07/15/12 (m) | 1,163 | |||||||||
835 | Nalco Co., 7.75%, 11/15/11 (m) | 850 | |||||||||
705 | PolyOne Corp., 10.63%, 05/15/10 (m) | 756 | |||||||||
2,769 | |||||||||||
Commercial Banks — 4.9% | |||||||||||
Bank of America Corp., | |||||||||||
2,100 | 3.25%, 08/15/08 (m) | 2,023 | |||||||||
2,415 | 4.25%, 10/01/10 (m) | 2,331 | |||||||||
2,695 | 4.38%, 12/01/10 (m) | 2,606 | |||||||||
1,230 | 5.88%, 02/15/09 (m) | 1,249 | |||||||||
2,495 | Bank of New York Co., Inc. (The), 5.20%, 07/01/07 (m) | 2,490 | |||||||||
1,595 | Barclays Bank plc (United Kingdom), 7.40%, 12/15/09 (m) | 1,696 | |||||||||
1,670 | Bayerische Landesbank/New York, 2.60%, 10/16/06 (m) | 1,664 | |||||||||
620 | BB&T Capital Trust I, 5.85%, 08/18/35 (m) | 586 | |||||||||
4,995 | Commonwealth Bank of Australia (Australia), VAR, 6.02%, 12/31/49 (e) (m) | 4,957 | |||||||||
4,750 | Deutsche Bank Capital Funding Trust VII, VAR, 5.63%, 12/31/49 (e) (m) | 4,592 | |||||||||
2,660 | Export-Import Bank of Korea (South Korea), 4.63%, 03/16/10 (m) | 2,589 | |||||||||
1,500 | Glitnir Banki HF (Iceland), FRN, 5.67%, 10/15/08 (e) (m) | 1,490 | |||||||||
5,000 | HBOS plc (United Kingdom), VAR, 5.92%, 12/31/49 (e) (m) | 4,804 | |||||||||
1,720 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) (m) | 1,646 | |||||||||
1,000 | KEY Bank NA, 7.55%, 09/15/06 (m) | 1,001 | |||||||||
2,100 | KeyCorp, FRN, 5.71%, 07/23/07 (m) | 2,105 | |||||||||
1,795 | KFW International Finance, 4.75%, 01/24/07 (m) | 1,789 | |||||||||
4,250 | Landesbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) | 4,258 | |||||||||
2,930 | Popular North America, Inc., Series E, 6.13%, 10/15/06 (m) | 2,932 | |||||||||
305 | Royal Bank of Scotland Group plc (United Kingdom), VAR, 7.65%, 12/31/49 (m) | 346 | |||||||||
12,390 | Sberbank of Russia (Russia), FRN, 7.24%, 10/24/06 | 12,445 | |||||||||
3,845 | Shinsei Finance II (Cayman Islands), VAR, 7.16%, 12/31/49 (e) (m) | 3,802 | |||||||||
1,545 | Standard Chartered First Bank Korea Ltd. (South Korea), VAR, 7.27%, 03/03/34 (e) (m) | 1,644 | |||||||||
2,920 | Suntrust Bank, 2.50%, 11/01/06 (m) | 2,906 | |||||||||
2,005 | United Overseas Bank Ltd. (Singapore), VAR, 5.38%, 09/03/19 (e) (m) | 1,952 | |||||||||
6,955 | Vneshtorgbank (Luxembourg), FRN, 6.17%, 09/21/07 (e) (m) | 6,973 | |||||||||
1,500 | Wachovia Bank NA/Charlotte, 5.80%, 12/01/08 (m) | 1,520 | |||||||||
2,140 | Wachovia Corp., FRN, 5.59%, 07/20/07 (m) | 2,142 | |||||||||
Wells Fargo & Co., | |||||||||||
185 | 4.20%, 01/15/10 (m) | 179 | |||||||||
140 | 5.13%, 09/01/12 (m) | 139 | |||||||||
2,070 | Wells Fargo Bank, 6.45%, 02/01/11 (m) | 2,165 | |||||||||
2,335 | Woori Bank (South Korea), VAR, 5.75%, 03/13/14 (e) (m) | 2,329 | |||||||||
85,350 | |||||||||||
Commercial Services & Supplies — 0.1% | |||||||||||
725 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 687 | |||||||||
415 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 401 | |||||||||
Iron Mountain, Inc., | |||||||||||
945 | 6.63%, 01/01/16 (m) | 879 | |||||||||
480 | 7.75%, 01/15/15 (m) | 475 | |||||||||
2,442 | |||||||||||
Communications Equipment — 1.1% | |||||||||||
Cisco Systems, Inc., | |||||||||||
15,205 | 5.25%, 02/22/11 (m) | 15,205 | |||||||||
4,000 | FRN, 5.48%, 02/20/09 (m) | 4,006 | |||||||||
19,211 | |||||||||||
Computers & Peripherals — 0.2% | |||||||||||
3,500 | Hewlett-Packard Co., FRN, 5.52%, 05/22/09 (m) | 3,503 | |||||||||
695 | International Business Machines Corp., 5.38%, 02/01/09 (m) | 699 | |||||||||
4,202 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Consumer Finance — 2.1% | |||||||||||
2,500 | AIG SunAmerica Global Financing VII, 5.85%, 08/01/08 (e) (m) | 2,525 | |||||||||
4,722 | American General Finance Corp., Series H, 4.50%, 11/15/07 (m) | 4,677 | |||||||||
2,910 | Capital One Financial Corp., 8.75%, 02/01/07 (m) | 2,946 | |||||||||
Ford Motor Credit Co., | |||||||||||
900 | 7.25%, 10/25/11 (m) | 860 | |||||||||
1,100 | FRN, 6.37%, 03/21/07 (m) | 1,098 | |||||||||
195 | FRN, 7.08%, 01/15/10 (m) | 184 | |||||||||
1,290 | General Motors Acceptance Corp., 6.88%, 08/28/12 (m) | 1,259 | |||||||||
HSBC Finance Corp., | |||||||||||
6,460 | 5.00%, 06/30/15 (m) | 6,202 | |||||||||
1,885 | 7.88%, 03/01/07 (m) | 1,907 | |||||||||
2,000 | FRN, 5.46%, 09/15/08 (m) | 2,005 | |||||||||
3,110 | FRN, 5.58%, 05/09/08 (m) | 3,117 | |||||||||
International Lease Finance Corp., | |||||||||||
1,330 | 4.88%, 09/01/10 (m) | 1,310 | |||||||||
3,500 | FRN, 5.62%, 05/24/10 (m) | 3,504 | |||||||||
900 | John Deere Capital Corp., 3.90%, 01/15/08 (m) | 883 | |||||||||
SLM Corp., | |||||||||||
1,655 | 3.63%, 03/17/08 (m) | 1,614 | |||||||||
1,900 | Series A, FRN, 5.56%, 01/25/08 (m) | 1,903 | |||||||||
35,994 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
1,210 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 1,225 | |||||||||
Diversified Consumer Services — 0.1% | |||||||||||
Service Corp. International, | |||||||||||
680 | 6.75%, 04/01/16 (m) | 646 | |||||||||
250 | 7.70%, 04/15/09 (m) | 256 | |||||||||
902 | |||||||||||
Diversified Financial Services — 4.1% | |||||||||||
Caterpillar Financial Services Corp., | |||||||||||
3,250 | FRN, 5.45%, 08/11/09 (m) | 3,248 | |||||||||
3,255 | FRN, 5.47%, 02/26/07 (m) | 3,258 | |||||||||
4,250 | FRN, 5.47%, 05/18/09 (m) | 4,252 | |||||||||
3,100 | CIT Group Holdings, Inc., FRN, 5.64%, 01/30/09 (m) | 3,106 | |||||||||
CIT Group, Inc., | |||||||||||
1,300 | 4.00%, 05/08/08 (m) | 1,273 | |||||||||
1,795 | 5.50%, 11/30/07 (m) | 1,795 | |||||||||
4,000 | FRN, 5.38%, 06/08/09 (m) | 4,003 | |||||||||
General Electric Capital Corp., | |||||||||||
3,360 | 4.25%, 01/15/08 (m) | 3,316 | |||||||||
1,000 | FRN, 5.44%, 05/19/08 (m) | 1,001 | |||||||||
865 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) | 865 | |||||||||
9,000 | K2 Corp., 5.43%, 11/15/06 (e) (i) (m) | 9,000 | |||||||||
4,770 | Mizuho Capital Investment 1 Ltd. (Cayman Islands), VAR, 6.69%, 12/31/49 (e) (m) | 4,778 | |||||||||
1,815 | Mizuho JGB Investment LLC, VAR, 9.87%, 12/30/06 (e) (m) | 1,947 | |||||||||
7,073 | Mizuho Preferred Capital Co. LLC, VAR, 8.79%, 12/31/49 (e) (m) | 7,457 | |||||||||
4,810 | MUFG Capital Finance 1 Ltd. (Cayman Islands), VAR, 6.35%, 12/31/49 (m) | 4,815 | |||||||||
6,425 | Pemex Finance Ltd. (Cayman Islands), 7.31%, 10/15/09 (m) | 6,634 | |||||||||
4,225 | Pricoa Global Funding I, FRN, 5.62%, 12/22/06 (e) (m) | 4,228 | |||||||||
2,610 | Resona Preferred Global Securities Cayman Ltd., VAR 7.19%, 12/31/49 (e) (m) | 2,685 | |||||||||
1,250 | TIAA Global Markets, Inc., FRN, 5.60%, 01/12/11 (e) (m) | 1,251 | |||||||||
1,100 | TRAINS HY-1-2006, 7.55%, 05/01/16 (e) (m) | 1,091 | |||||||||
1,045 | Visant Corp., 7.63%, 10/01/12 (m) | 1,024 | |||||||||
71,027 | |||||||||||
Diversified Telecommunication Services — 3.3% | |||||||||||
AT&T, Inc., | |||||||||||
5,750 | FRN, 5.50%, 05/15/08 (m) | 5,750 | |||||||||
3,250 | 6.80%, 05/15/36 (m) | 3,360 | |||||||||
4,700 | BellSouth Corp., FRN, 5.58%, 08/15/08 (m) | 4,700 | |||||||||
750 | Consolidated Communications Holdings, Inc., 9.75%, 04/01/12 (m) | 786 | |||||||||
Embarq Corp., | |||||||||||
4,350 | 6.74%, 06/01/13 (m) | 4,438 | |||||||||
2,845 | 7.08%, 06/01/16 (m) | 2,903 | |||||||||
655 | 8.00%, 06/01/36 (m) | 685 | |||||||||
280 | Qwest Communications International, Inc., FRN, 8.90%, 02/15/09 (m) | 284 | |||||||||
590 | Qwest Corp., 8.88%, 03/15/12 (m) | 639 | |||||||||
Sprint Capital Corp., | |||||||||||
2,190 | 6.00%, 01/15/07 (m) | 2,193 | |||||||||
835 | 6.90%, 05/01/19 (m) | 867 | |||||||||
1,975 | 7.63%, 01/30/11 (m) | 2,119 | |||||||||
1,660 | 8.38%, 03/15/12 (m) | 1,855 | |||||||||
490 | 8.75%, 03/15/32 (m) | 594 | |||||||||
2,995 | Telecom Italia Capital S.A. (Luxembourg), 7.20%, 07/18/36 (m) | 3,128 | |||||||||
10,000 | Telefonica Emisones SAU (Spain), FRN, 5.71%, 06/19/09 (m) | 10,011 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
Verizon Communications, Inc., | |||||||||||
975 | 5.35%, 02/15/11 (m) | 971 | |||||||||
7,000 | FRN, 5.54%, 08/15/07 (m) | 7,005 | |||||||||
Verizon Global Funding Corp., | |||||||||||
1,915 | 4.90%, 09/15/15 (m) | 1,793 | |||||||||
2,125 | 5.85%, 09/15/35 (m) | 1,956 | |||||||||
1,340 | 7.38%, 09/01/12 (m) | 1,458 | |||||||||
55 | 7.75%, 12/01/30 (m) | 62 | |||||||||
57,557 | |||||||||||
Electric Utilities — 1.1% | |||||||||||
5,160 | Alabama Power Co., Series Y, 2.80%, 12/01/06 (m) | 5,128 | |||||||||
Appalachian Power Co. | |||||||||||
1,445 | 6.38%, 04/01/36 (m) | 1,448 | |||||||||
925 | Series L, 5.80%, 10/01/35 (m) | 860 | |||||||||
80 | Florida Power & Light Co., 5.63%, 04/01/34 (m) | 78 | |||||||||
735 | FPL Group Capital, Inc., 7.63%, 09/15/06 (m) | 735 | |||||||||
3,975 | Midamerican Energy Holdings Co., 6.13%, 04/01/36 (e) (m) | 3,925 | |||||||||
NiSource Finance Corp., | |||||||||||
2,935 | 5.25%, 09/15/17 (m) | 2,704 | |||||||||
1,730 | 5.45%, 09/15/20 (m) | 1,588 | |||||||||
1,890 | Public Service Enterprise Group, Inc., FRN, 5.80%, 09/21/08 (m) | 1,893 | |||||||||
110 | San Diego Gas & Electric Co., 5.35%, 05/15/35 (m) | 103 | |||||||||
18,462 | |||||||||||
Food Products — 0.1% | |||||||||||
1,425 | General Mills, Inc., 5.13%, 02/15/07 (m) | 1,423 | |||||||||
Gas Utilities — 0.1% | |||||||||||
2,005 | Duke Capital LLC, 6.75%, 02/15/32 (m) | 2,063 | |||||||||
Health Care Equipment & Supplies — 0.0% (g) | |||||||||||
615 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 629 | |||||||||
Health Care Providers & Services — 0.3% | |||||||||||
HCA, Inc., | |||||||||||
1,555 | 6.50%, 02/15/16 (m) | 1,224 | |||||||||
345 | 6.95%, 05/01/12 (m) | 302 | |||||||||
2,970 | WellPoint, Inc., 5.00%, 01/15/11 (m) | 2,920 | |||||||||
4,446 | |||||||||||
Hotels, Restaurants & Leisure — 0.1% | |||||||||||
620 | ITT Corp., 7.38%, 11/15/15 (m) | 660 | |||||||||
1,190 | MGM Mirage, Inc., 5.88%, 02/27/14 (m) | 1,086 | |||||||||
585 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) | 567 | |||||||||
2,313 | |||||||||||
Household Durables — 0.2% | |||||||||||
Beazer Homes USA, Inc. | |||||||||||
1,025 | 6.50%, 11/15/13 (m) | 915 | |||||||||
200 | 6.88%, 07/15/15 (m) | 178 | |||||||||
730 | DR Horton, Inc., 5.63%, 09/15/14 (m) | 684 | |||||||||
500 | Jarden Corp., 9.75%, 05/01/12 (m) | 518 | |||||||||
780 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 788 | |||||||||
3,083 | |||||||||||
Household Products — 0.1% | |||||||||||
Spectrum Brands, Inc., | |||||||||||
1,917 | 7.38%, 02/01/15 (m) | 1,485 | |||||||||
250 | 8.50%, 10/01/13 (m) | 208 | |||||||||
1,693 | |||||||||||
Industrial Conglomerates — 0.3% | |||||||||||
4,485 | Hutchison Whampoa International Ltd. (Cayman Islands), 7.45%, 11/24/33 (e) (m) | 5,020 | |||||||||
Insurance — 1.4% | |||||||||||
1,765 | American International Group, Inc., 6.25%, 05/01/36 (m) | 1,812 | |||||||||
1,000 | GE Global Insurance Holding Corp., 7.75%, 06/15/30 (m) | 1,176 | |||||||||
240 | Hartford Financial Services Group, Inc., 4.70%, 09/01/07 (m) | 238 | |||||||||
3,440 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) | 3,564 | |||||||||
1,570 | Monumental Global Funding II, 3.85%, 03/03/08 (e) (m) | 1,535 | |||||||||
3,085 | Mony Group, Inc., 8.35%, 03/15/10 (m) | 3,370 | |||||||||
Protective Life Secured Trust, | |||||||||||
4,505 | 3.70%, 11/24/08 (m) | 4,359 | |||||||||
3,390 | 4.00%, 10/07/09 (m) | 3,270 | |||||||||
1,250 | FRN, 5.58%, 01/14/08 (m) | 1,252 | |||||||||
3,630 | Stingray Pass-Through (Cayman Islands), 5.90%, 01/12/15 (e) (m) | 3,231 | |||||||||
1,205 | Swiss RE Capital I LP, VAR, 6.85%, 12/31/49 (e) (m) | 1,231 | |||||||||
25,038 | |||||||||||
IT Services — 0.1% | |||||||||||
900 | SunGard Data Systems, Inc., 10.25%, 08/15/15 (m) | 919 | |||||||||
Media — 2.3% | |||||||||||
500 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) | 500 | |||||||||
455 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 456 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Media — Continued | |||||||||||
Comcast Corp., | |||||||||||
615 | 4.95%, 06/15/16 (m) | 567 | |||||||||
1,730 | 5.90%, 03/15/16 (m) | 1,715 | |||||||||
2,690 | 6.50%, 01/15/17 (m) | 2,780 | |||||||||
7,775 | FRN, 5.80%, 07/14/09 (m) | 7,787 | |||||||||
1,900 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 1,582 | |||||||||
685 | DirecTV Holdings LLC, 6.38%, 06/15/15 (m) | 640 | |||||||||
1,560 | Echostar DBS Corp., 7.13%, 02/01/16 (e) (m) | 1,519 | |||||||||
245 | News America Holdings, Inc., 7.75%, 01/20/24 (m) | 267 | |||||||||
TCI Communications, Inc., | |||||||||||
200 | 7.13%, 02/15/28 (m) | 207 | |||||||||
1,285 | 8.75%, 08/01/15 (m) | 1,505 | |||||||||
Viacom, Inc., | |||||||||||
2,625 | 5.75%, 04/30/11 (e) (m) | 2,603 | |||||||||
6,900 | 6.25%, 04/30/16 (e) (m) | 6,811 | |||||||||
10,000 | FRN, 5.69%, 06/16/09 (e) (m) | 10,003 | |||||||||
380 | WMG Holdings Corp., 0.00%, SUB, 12/15/14 (m) | 274 | |||||||||
39,216 | |||||||||||
Metals & Mining — 0.0% | |||||||||||
840 | Newmont Mining Corp., 5.88%, 04/01/35 (m) | 779 | |||||||||
Multi-Utilities — 0.7% | |||||||||||
Dominion Resources, Inc., | |||||||||||
1,220 | 5.00%, 03/15/13 (m) | 1,170 | |||||||||
225 | 6.30%, 03/15/33 (m) | 223 | |||||||||
2,290 | Series A, 8.13%, 06/15/10 (m) | 2,487 | |||||||||
6,135 | Series C, 5.15%, 07/15/15 (m) | 5,833 | |||||||||
1,600 | Series D, FRN, 5.79%, 09/28/07 (m) | 1,601 | |||||||||
1,090 | Series E, 7.20%, 09/15/14 (m) | 1,179 | |||||||||
12,493 | |||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||
255 | Atlantic Richfield Co., 5.90%, 04/15/09 (m) | 260 | |||||||||
4,785 | BP Canada Finance Co. (Canada), 3.38%, 10/31/07 (m) | 4,680 | |||||||||
960 | Chesapeake Energy Corp., 6.50%, 08/15/17 (m) | 890 | |||||||||
4,700 | ChevronTexaco Capital Co. (Canada), 3.50%, 09/17/07 (m) | 4,614 | |||||||||
Enterprise Products Operating LP, | |||||||||||
4,000 | Series B, 5.00%, 03/01/15 (m) | 3,734 | |||||||||
1,155 | Series B, 6.65%, 10/15/34 (m) | 1,148 | |||||||||
3,050 | Gazprom International S.A. (Luxembourg), 7.20%, 02/01/20 (m) | 3,195 | |||||||||
5,469 | Gazstream S.A. (Germany), 5.63%, 07/22/13 (e) | 5,414 | |||||||||
2,925 | OAO Gazprom (Russia), 9.13%, 04/25/07 (m) | 2,986 | |||||||||
40 | Suncor Energy, Inc. (Canada), 7.15%, 02/01/32 (m) | 46 | |||||||||
26,967 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
1,200 | Georgia Pacific Corp., 7.70%, 06/15/15 (m) | 1,189 | |||||||||
Personal Products — 0.0% | |||||||||||
500 | DEL Laboratories, Inc., 8.00%, 02/01/12 (m) | 425 | |||||||||
Pharmaceuticals — 0.2% | |||||||||||
3,305 | Teva Pharmaceutical Finance LLC, 6.15%, 02/01/36 (m) | 3,122 | |||||||||
Road & Rail — 0.1% | |||||||||||
1,705 | BNSF Funding Trust I, VAR, 6.61%, 12/15/55 (m) | 1,693 | |||||||||
Software — 0.2% | |||||||||||
2,405 | Oracle Corp and Ozark Holding Inc., FRN, 5.73%, 01/13/09 (m) | 2,408 | |||||||||
635 | UGS Corp., 10.00%, 06/01/12 (m) | 682 | |||||||||
3,090 | |||||||||||
Thrifts & Mortgage Finance — 2.7% | |||||||||||
5,800 | Bancaja US Debt S.A., FRN, 5.66%, 07/10/09 (e) (m) | 5,801 | |||||||||
4,500 | Countrywide Financial Corp., FRN, 5.68%, 03/24/09 (m) | 4,504 | |||||||||
570 | Countrywide Home Loans, Inc., 5.63%, 07/15/09 (m) | 574 | |||||||||
Residential Capital Corp., | |||||||||||
7,865 | 6.13%, 11/21/08 (m) | 7,882 | |||||||||
2,885 | 6.38%, 06/30/10 (m) | 2,910 | |||||||||
1,000 | 6.88%, 06/30/15 (m) | 1,035 | |||||||||
2,400 | FRN, 6.61%, 04/17/09 (m) | 2,410 | |||||||||
2,100 | FRN, 6.69%, 11/21/08 (m) | 2,122 | |||||||||
14,825 | FRN, 7.34%, 04/17/09 (e) (m) | 14,891 | |||||||||
1,250 | Sovereign Bancorp, Inc., FRN, 5.68%, 03/01/09 (e) (m) | 1,252 | |||||||||
4,000 | Washington Mutual Bank, FRN, 5.58%, 05/01/09 (m) | 4,003 | |||||||||
47,384 | |||||||||||
Wireless Telecommunication Services — 0.3% | |||||||||||
1,000 | iPCS, Inc., 11.50%, 05/01/12 (m) | 1,125 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
610 | 7.88%, 03/01/11 (m) | 665 | |||||||||
1,110 | 8.13%, 05/01/12 (m) | 1,243 | |||||||||
390 | 8.75%, 03/01/31 (m) | 493 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Wireless Telecommunication Services — Continued | |||||||||||
860 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 (m) | 843 | |||||||||
1,170 | Vodafone Group plc (United Kingdom), 7.75%, 02/15/10 (m) | 1,251 | |||||||||
5,620 | |||||||||||
Total Corporate Bonds (Cost $590,665) | 587,896 | ||||||||||
Foreign Government Securities — 4.0% | |||||||||||
4,220 | Federal Republic of Brazil, 12.25%, 03/06/30 (m) | 6,752 | |||||||||
Bundesrepublik Deutschland (Germany), | |||||||||||
EUR 780 | 4.00%, 01/04/37 (m) | 996 | |||||||||
EUR 4,215 | 4.75%, 07/04/34 (m) | 6,043 | |||||||||
$1,875 | Arab Republic of Egypt (Egypt), 4.45%, 09/15/15 (m) | 1,797 | |||||||||
10,610 | Government of Argentina (Argentina), FRN, 5.59%, 08/03/12 (m) | 7,427 | |||||||||
6,640 | Government of Peru (Peru), FRN, 6.23%, 03/07/27 (m) | 6,374 | |||||||||
6,660 | Mexico Government International Bond (Mexico), 8.00%, 09/24/22 (m) | 8,009 | |||||||||
2,000 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (m) | 2,008 | |||||||||
4,875 | Russia Government International Bond (Russia), 12.75%, 06/24/28 (m) | 8,702 | |||||||||
8,550 | United Mexican States (Mexico), FRN, 6.20%, 01/13/09 (m) | 8,631 | |||||||||
Government of Venezuela (Venezuela), | |||||||||||
4,048 | 5.75%, 02/26/16 (m) | 3,764 | |||||||||
415 | 7.00%, 12/01/18 (m) | 420 | |||||||||
5,265 | 9.38%, 01/13/34 (m) | 6,613 | |||||||||
833 | 13.63%, 08/15/18 (m) | 1,258 | |||||||||
Total Foreign Government Securities (Cost $66,959) | 68,794 | ||||||||||
Mortgage Pass-Through Securities — 31.4% | |||||||||||
Federal Home Loan Mortgage Corp. Various Pools, | |||||||||||
720 | 6.00%, 02/01/11–10/15/36 (m) | 723 | |||||||||
78 | 7.00%, 12/01/25–02/01/26 (m) | 80 | |||||||||
165 | 7.50%, 10/01/26–02/01/27 (m) | 172 | |||||||||
138 | 8.00%, 04/01/26–07/01/26 (m) | 144 | |||||||||
2 | 9.75%, 11/01/08 | 2 | |||||||||
28,200 | TBA, 5.50%, 10/15/36 | 27,693 | |||||||||
97,010 | TBA, 6.00%, 09/01/36–10/15/36 | 97,171 | |||||||||
75,000 | TBA, 6.50%, 09/15/36 | 76,189 | |||||||||
Federal National Mortgage Association Various Pools, | |||||||||||
222 | 7.00%, 09/01/36 (m) | 227 | |||||||||
28,000 | TBA, 4.50%, 09/25/21 | 26,933 | |||||||||
1,149 | 4.96%, 11/01/08 (m) | 1,137 | |||||||||
12,095 | 5.00%, 09/25/21–10/25/21 | 11,848 | |||||||||
3,216 | TBA, 5.50%, 09/25/21–10/25/21 | 3,203 | |||||||||
8,561 | 6.00%, 10/01/23–03/01/35 | 8,588 | |||||||||
2,830 | 6.50%, 04/01/29–03/01/35 | 2,874 | |||||||||
81,903 | 7.00%, 04/01/34–09/25/36 (m) | 84,099 | |||||||||
1,215 | 7.50%, 03/01/35–01/01/36 (m) | 1,255 | |||||||||
1,398 | 8.00%, 08/01/22–01/01/36 (m) | 1,475 | |||||||||
—(h) | 8.50%, 10/01/25 (m) | — | (h) | ||||||||
26,000 | TBA, 6.00%, 09/25/21 | 26,301 | |||||||||
106,200 | TBA, 6.50%, 09/25/36–11/01/36 | 107,801 | |||||||||
Government National Mortgage Association Pool, | |||||||||||
1,352 | 7.00%, 09/15/31 (m) | 1,395 | |||||||||
18 | 9.00%, 02/15/10 (m) | 19 | |||||||||
18 | 9.00%, 04/15/11 (m) | 19 | |||||||||
16,500 | TBA, 5.50%, 09/15/36 | 16,360 | |||||||||
35,000 | TBA, 6.00%, 09/15/36 | 35,350 | |||||||||
14,000 | TBA, 6.50%, 09/15/36 | 14,326 | |||||||||
Total Mortgage Pass-Through Securities (Cost $542,291) | 545,384 | ||||||||||
Private Placements — 0.9% | |||||||||||
10,474 | 200 East 57th St., 200 East Tenants Corporation, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.50%, 01/01/14 (f) (i) (m) | 10,982 | |||||||||
725 | 200 East 57th St., 200 East Tenants Corporation, Secured by Second Mortgage and Agreement on Co-op Apartment Building in New York City, 6.72%, 01/01/13 (f) (i) (m) | 752 | |||||||||
2,974 | 81 Irving Place, Irving Tenants Corporation, Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.95%, 01/01/29 (f) (i) (m) | 3,226 | |||||||||
Total Private Placements (Cost $14,173) | 14,960 | ||||||||||
Supranational — 0.3% | |||||||||||
5,000 | European Investment Bank, 4.88%, 02/16/16 (m) (Cost $4,994) | 4,912 | |||||||||
U.S. Government Agency Securities — 6.4% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
8,670 | 4.00%, 06/12/13 (m) | 8,134 | |||||||||
4,040 | 4.88%, 11/15/13 (m) | 3,988 | |||||||||
11,950 | 5.75%, 01/15/12 (m) | 12,336 | |||||||||
4,640 | 6.25%, 07/15/32 (m) | 5,290 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
U.S. Government Agency Securities — Continued | |||||||||||
2,315 | 6.75%, 03/15/31 (m) | 2,782 | |||||||||
6,680 | 7.00%, 03/15/10 (m) | 7,099 | |||||||||
Federal National Mortgage Association, | |||||||||||
2,025 | 2.38%, 02/15/07 (m) | 1,998 | |||||||||
14,745 | 3.25%, 08/15/08 (m) | 14,240 | |||||||||
39,000 | 3.88%, 02/15/10 (m) | 37,599 | |||||||||
13,415 | 5.00%, 03/15/16 (m) | 13,304 | |||||||||
2,600 | 5.25%, 08/01/12 (m) | 2,599 | |||||||||
830 | 6.13%, 03/15/12 (m) | 873 | |||||||||
15 | 7.13%, 01/15/30 (m) | 19 | |||||||||
1,600 | Tennessee Valley Authority, 6.79%, 05/23/12 (m) | 1,736 | |||||||||
Total U.S. Government Agency Securities (Cost $112,734) | 111,997 | ||||||||||
U.S. Treasury Obligations — 3.4% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
2,680 | 4.50%, 02/15/36 (m) | 2,522 | |||||||||
12,580 | 5.38%, 02/15/31 (m) | 13,384 | |||||||||
350 | 7.25%, 05/15/16 (k) (m) | 417 | |||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
90 | 1.63%, 01/15/15 (m) | 86 | |||||||||
U.S. Treasury Notes, | |||||||||||
1,000 | 3.38%, 02/28/07 (k) (m) | 992 | |||||||||
300 | 3.38%, 10/15/09 (k) (m) | 289 | |||||||||
1,220 | 3.50%, 02/15/10 (k) (m) | 1,173 | |||||||||
785 | 3.88%, 07/31/07 (k) (m) | 777 | |||||||||
1,075 | 3.88%, 05/15/09 (k) (m) | 1,052 | |||||||||
495 | 4.00%, 02/15/15 (k) (m) | 470 | |||||||||
2,795 | 4.13%, 08/15/08 (k) (m) | 2,764 | |||||||||
160 | 4.38%, 01/31/08 (k) (m) | 159 | |||||||||
1,125 | 4.38%, 11/15/08 (k) (m) | 1,116 | |||||||||
250 | 4.50%, 02/15/16 (k) (m) | 245 | |||||||||
13,950 | 4.88%, 08/15/16 (m) | 14,108 | |||||||||
1,000 | 5.00%, 07/31/08 (k) (m) | 1,004 | |||||||||
18,570 | 5.13%, 05/15/16 (m) | 19,097 | |||||||||
Total U.S. Treasury Obligations (Cost $58,688) | 59,655 | ||||||||||
Total Long-Term Investments (Cost $2,034,936) | 2,034,405 | ||||||||||
CONTRACTS | |||||||||||
Option Purchased — 0.9% | |||||||||||
Call Options Purchased — 0.4% | |||||||||||
536 | U.S. 5 Year Treasury Note Future Expiring 09/22/06 @ $105.50 American Style | 75 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Call Options Purchased — Continued | ||||||||||
Receiver Swaption on Interest Rate: | ||||||||||
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 | 499 | ||||||||
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 | 528 | ||||||||
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 | 1,445 | ||||||||
Receiver/Payer Straddle on Interest Rate: | ||||||||||
30,325 | Expiring 09/29/06. If exercised the Fund receives 5.29% and pays floating 3 month LIBOR expiring 10/03/16, European Style | — | ||||||||
41,220 | Expiring 10/25/06. If exercised the Fund receives 5.64% and pays floating 3 month LIBOR expiring 10/27/16, European Style | 1,175 | ||||||||
80,512 | Expiring 08/04/08. If exercised the Fund receives 5.49% and pays floating 3 month LIBOR expiring 08/06/13, European Style | 3,120 | ||||||||
24,295 | Expiring 09/15/06. If exercised the Fund receives 5.48% and pays floating 3 month LIBOR expiring 09/19/16, European Style | 370 | ||||||||
7,137 | ||||||||||
Total Call Options Purchased | 7,212 | |||||||||
CONTRACTS | ||||||||||
Put Options Purchased — 0.5% | ||||||||||
332 | U.S. 10 Year Treasury Note Future Expiring 09/22/06 @ $105.00 American Style | 5 | ||||||||
473 | Euro CDs Expiring 09/18/06 @ $94.13 American Style | 3 | ||||||||
1,787 | Euro CDs Expiring 09/18/06 @ $94.50 American Style | 11 | ||||||||
433 | Euro CDs Expiring 12/18/06 @ $94.63 American Style | — | ||||||||
19 | ||||||||||
NOTIONAL AMOUNT($) | ||||||||||
21,000 | FNMA, 30 year fixed, 5.00%, TBA Expiring 10/12/06 @ $93.56, European Style | 13 | ||||||||
39,560 | FNMA, 30 year fixed, 6.00%, TBA Expiring 09/06/06 @ $97.90, European Style | — | (h) | |||||||
130,920 | FNMA, 30 year fixed, 6.00%, TBA Expiring 09/06/06 @ $98.44, European Style | — | (h) | |||||||
35,700 | FNMA, 30 year fixed, 6.50%, TBA Expiring 09/06/06 @ $100.69, European Style | — | (h) | |||||||
Payer Swaption on Interest Rate: |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — Continued | |||||||||||||
39,987 | Expiring 09/06/06. If exercised the Fund pays 6.10% and receives floating 3 month LIBOR expiring 09/08/16, European Style. | — | (h) | ||||||||||
166,890 | Expiring 05/19/08. If exercised the Fund pays 5.76% and receives floating 3 month LIBOR expiring 05/21/38, European Style. | 5,652 | |||||||||||
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. | 604 | |||||||||||
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. | 821 | |||||||||||
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. | 2,039 | |||||||||||
9,129 | |||||||||||||
Total Put Options Purchased | 9,148 | ||||||||||||
Total Options Purchased (Cost $22,597) | 16,360 | ||||||||||||
PRINCIPAL AMOUNT($) | |||||||||||||
Short-Term Investments — 8.6% | |||||||||||||
Commercial Paper — 0.7% | |||||||||||||
5,500 | CBA Delaware Finance, Inc. 5.34%, 09/05/06 (m) (n) | 5,495 | |||||||||||
6,100 | UBS Finance Delaware LLC 5.26%, 09/25/06 (m) (n) | 6,079 | |||||||||||
Total Commercial Paper (Cost $11,575) | 11,574 | ||||||||||||
SHARES | |||||||||||||
Investment Company — 7.9% | |||||||||||||
138,063 | JPMorgan Prime Money Market Fund (b) (m) (Cost $138,063) | 138,063 | |||||||||||
Total Short-Term Investments Cost ($149,638) | 149,637 | ||||||||||||
Total Investments — 126.5% (Cost $2,207,171) | 2,200,402 | ||||||||||||
Liabilities in Excess of Other Assets — (26.5)% | (460,322 | ) | |||||||||||
NET ASSETS — 100.0% | $ | 1,740,080 |
AS OF AUGUST 31, 2006 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
666 | 2 Year U.S. Treasury Notes | December, 2006 | $ | 136,093 | $ | 267 | ||||||||||||
2,134 | 5 Year U.S. Treasury Notes | December, 2006 | 224,303 | 714 | ||||||||||||||
923 | 10 Year U.S. Treasury Notes | December, 2006 | 99,107 | 378 | ||||||||||||||
123 | U.K. Treasury Gilt | December, 2006 | 25,809 | 63 | ||||||||||||||
758 | U.S. Treasury Bond | December, 2006 | 84,185 | 421 | ||||||||||||||
107 | Eurodollar | September, 2006 | 25,307 | 13 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(837) | 5 Year U.S. Treasury Notes | December, 2006 | (87,977 | ) | (177 | ) | ||||||||||||
(380) | Euro-Bobl | September, 2006 | (53,771 | ) | (306 | ) | ||||||||||||
(302) | Euro-Bund | September, 2006 | (45,759 | ) | (835 | ) | ||||||||||||
(144) | Eurodollar | September, 2006 | (34,058 | ) | (15 | ) | ||||||||||||
(8) | 10 Year Japanese Government Bond | September, 2006 | (9,198 | ) | (219 | ) | ||||||||||||
(229) | U.S. Treasury Bond | September, 2006 | (25,433 | ) | (137 | ) | ||||||||||||
(219) | Eurodollar | December, 2006 | (51,824 | ) | (21 | ) | ||||||||||||
(154) | 10 Year U.S. Treasury Notes | December, 2006 | (16,535 | ) | (62 | ) | ||||||||||||
(229) | Eurodollar | March, 2007 | (54,264 | ) | (13 | ) | ||||||||||||
(219) | Eurodollar | June, 2007 | (51,971 | ) | (36 | ) | ||||||||||||
(350) | Eurodollar | September, 2007 | (83,164 | ) | (124 | ) | ||||||||||||
(159) | Eurodollar | December, 2007 | (37,806 | ) | (96 | ) | ||||||||||||
(389) | Eurodollar | March, 2008 | (92,509 | ) | (318 | ) | ||||||||||||
(179) | Eurodollar | June, 2008 | (42,562 | ) | (179 | ) | ||||||||||||
(15) | Eurodollar | September, 2008 | (3,566 | ) | (1 | ) | ||||||||||||
$ | (683 | ) |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5,830,000 EUR | 10/31/06 | $ | 7,504 | $ | 7,494 | $ | 10 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE(USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
FNMA: | ||||||||||
$(26,500) | TBA, 5.00%, 09/25/36–10/01/36 | $ | (25,404 | ) | ||||||
(28,315) | TBA, 5.50%, 09/25/36–11/01/36 | (27,802 | ) | |||||||
(11,710) | TBA, 6.00%, 09/25/36–11/01/36 | (11,690 | ) | |||||||
(Proceeds received $68,100) | $ | (64,896 | ) |
(Amounts in thousands, except for number of contracts)
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future, American Style | $ | 106.00 | 11/21/06 | 374 | $ | (386 | ) | $ | (625 | ) | ||||||||||||
U.S. 10 Year Treasury Note Future, American Style | 108.00 | 9/22/06 | 358 | (43 | ) | (67 | ) | |||||||||||||||
$ | (429 | ) | $ | (692 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Merrill Lynch Capital Services | 5.42% quarterly | 03/22/16 | 03/24/26 | $ 73,030 | $ (3,292) | $ (3,018) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.61% quarterly | 08/04/08 | 08/06/18 | $ 45,850 | $(2,987) | $(3,011) | ||||||||||||||||||||
Credit Suisse International | 5.52% quarterly | 08/17/09 | 08/19/19 | 16,145 | (1,211) | (1,258) | ||||||||||||||||||||
Credit Suisse International | 5.49% quarterly | 08/18/09 | 08/20/19 | 24,185 | (1,818) | (1,883) | ||||||||||||||||||||
Deutsche Bank AG, New York | 5.33% quarterly | 02/02/07 | 02/06/09 | 177,132 | (1,417) | (1,383) | ||||||||||||||||||||
$(7,433) | $(7,535) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Euro Dollar Future, American Style | $ | 94.63 | 09/18/06 | 649 | $ | (47 | ) | $ | — | |||||||||||||
U.S. 10 Year Treasury Note Future, American Style | 106.00 | 11/21/06 | 374 | (285 | ) | (116 | ) | |||||||||||||||
$ | (332 | ) | $ | (116 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 6.00% TBA, European Style | $ | 97.07 | 09/06/06 | $ | 79,120 | $ | (226 | ) | $ | — | (h) | |||||||||||
FNMA, 30 Year Fixed, 6.00% TBA, European Style | 97.38 | 09/06/06 | 261,840 | (869 | ) | — | (h) | |||||||||||||||
FNMA, 30 Year Fixed, 6.50% TBA, European Style | 99.91 | 09/06/06 | 71,400 | (156 | ) | — | (h) | |||||||||||||||
FNMA, 30 Year Fixed, 6.50% TBA, European Style | 100.41 | 10/12/06 | 42,000 | (180 | ) | (8 | ) | |||||||||||||||
$ | (1,431 | ) | $ | (8 | ) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE (USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | $550,737 | $(10,993) | $(6,378) | ||||||||||||||||||||
Merrill Lynch Capital Services | 5.42% quarterly | 03/22/16 | 03/24/26 | 73,030 | (3,292) | (3,612) | ||||||||||||||||||||
$(14,285) | $(9,990) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund will pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund will receive a floating rate based on 3-month USD LIBOR, if exercised. |
AS OF AUGUST 31, 2006 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Barclays Capital | 5.45% semi-annually | 3 month LIBOR quarterly | 06/08/11 | $ | 21,750 | $ | (251 | ) | ||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 5.63% semi-annually | 07/13/08 | 91,990 | 646 | |||||||||||||||||
Citibank, N.A. | 5.63% semi-annually | 3 month LIBOR quarterly | 07/13/11 | 40,005 | (758 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.32% semi-annually | 04/25/08 | 100,780 | 1,396 | |||||||||||||||||
Credit Suisse International | 5.53% semi-annually | 3 month LIBOR quarterly | 04/25/16 | 49,465 | (1,600 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.67% semi-annually | 04/25/36 | 13,170 | 685 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.39% semi-annually | 06/07/08 | 100,200 | 279 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.47% semi-annually | 06/14/08 | 74,695 | 302 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.41% semi-annually | 08/02/08 | 123,325 | 404 | |||||||||||||||||
Deutsche Bank AG, New York | 5.33% semi-annually | 3 month LIBOR quarterly | 08/31/08 | 8,239 | (21 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.31% semi-annually | 09/29/08 | 276,350 | 656 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.23% semi-annually | 02/20/09 | 20,597 | 55 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.19% semi-annually | 02/22/09 | 14,418 | 30 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.08% semi-annually | 03/05/09 | 37,898 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.03% semi-annually | 3 month LIBOR quarterly | 11/15/10 | 6,390 | (45 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.43% semi-annually | 3 month LIBOR quarterly | 08/02/11 | 106,770 | (1,093 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 08/19/11 | 12,000 | (290 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 219,454 | (3,191 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 06/07/16 | 49,180 | (1,064 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.55% semi-annually | 3 month LIBOR quarterly | 06/14/16 | 36,710 | (750 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.55% semi-annually | 08/02/16 | 30,305 | 608 | |||||||||||||||||
Deutsche Bank AG, New York | 5.29% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 9,233 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.40% semi-annually | 3 month LIBOR quarterly | 09/29/16 | 180,130 | (1,553 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.37% semi-annually | 09/05/18 | 10,270 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.69% semi-annually | 06/07/36 | 13,050 | 545 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.63% semi-annually | 06/14/36 | 9,685 | 311 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.52% semi-annually | 09/29/36 | 59,330 | 974 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 62,564 | 2,805 | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.51% semi-annually | 07/24/08 | 92,310 | 444 | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.32% semi-annually | 08/18/08 | 167,370 | 317 | |||||||||||||||||
Goldman Sachs Capital Management | 5.53% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 40,050 | (580 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.30% semi-annually | 3 month LIBOR quarterly | 08/18/11 | 68,050 | (332 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.15% semi-annually | 03/24/08 | 100,960 | 1,077 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.50% semi-annually | 07/24/08 | 123,080 | 581 | |||||||||||||||||
Lehman Brothers Special Financing | 5.42% semi-annually | 3 month LIBOR quarterly | 05/21/09 | 7,897 | (155 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.39% semi-annually | 3 month LIBOR quarterly | 04/15/11 | 4,735 | (100 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.09% semi-annually | 3 month LIBOR quarterly | 05/15/11 | 25,582 | (231 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.52% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 106,800 | (1,516 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.22% semi-annually | 3 month LIBOR quarterly | 03/24/16 | 49,365 | (414 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.79% semi-annually | 3 month LIBOR quarterly | 06/27/16 | 15,860 | (614 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.62% semi-annually | 07/24/16 | 30,405 | 757 | |||||||||||||||||
Lehman Brothers Special Financing | 5.41% semi-annually | 3 month LIBOR quarterly | 08/18/16 | 7,930 | (71 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.64% semi-annually | 3 month LIBOR quarterly | 08/30/16 | 23,990 | (644 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.31% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 8,805 | — | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.29% semi-annually | 03/24/36 | 12,780 | (60 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.53% semi-annually | 07/24/08 | 123,080 | 635 | |||||||||||||||||
Merrill Lynch Capital Services | 5.54% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 53,400 | (802 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.42% semi-annually | 03/24/26 | 19,718 | (160 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.38% semi-annually | 3 month LIBOR quarterly | 12/17/35 | 2,800 | 34 | |||||||||||||||||
Merrill Lynch Capital Services | 5.16% semi-annually | 3 month LIBOR quarterly | 01/22/36 | 3,331 | 93 | |||||||||||||||||
Merrill Lynch Capital Services | 5.25% semi-annually | 3 month LIBOR quarterly | 02/05/36 | 9,226 | 202 | |||||||||||||||||
$ | (2,459 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bear Stearns Credit Products | Republic of Peru, 8.75%, 11/21/33 | Buy | 123 BPS semi-annually | 9/20/11 | $ | 2,500 | $ | 2 | ||||||||||||||||||
Bear Stearns Credit Products | XL Capital, 5.25%, 09/15/14 | Buy | 43 BPS quarterly | 9/20/11 | 5,600 | (10 | ) | |||||||||||||||||||
Bear Stearns Credit Products | Tribune Co., 5.50%, 10/06/08 | Buy | 169 BPS quarterly | 9/20/13 | 3,000 | (5 | ) | |||||||||||||||||||
Bank of America | Sara Lee Corp., 6.13%, 11/01/32 | Buy | 49 BPS quarterly | 9/20/11 | 6,300 | (13 | ) | |||||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Buy | 114 BPS semi-annually | 10/20/07 | 2,850 | (32 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 116.50 BPS quarterly | 5/20/10 | 15,000 | (377 | ) | |||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30%, 08/15/31 | Sell | 100 BPS semi-annually | 5/20/10 | 15,000 | 366 | ||||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 125 BPS quarterly | 6/20/10 | 11,000 | (302 | ) | |||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30%, 08/15/31 | Sell | 105 BPS semi-annually | 6/20/10 | 11,000 | 281 | ||||||||||||||||||||
Citibank, N.A. | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 296.50 BPS semi-annually | 10/20/10 | 2,850 | 132 | ||||||||||||||||||||
Citibank, N.A. | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 6/20/11 | 4,085 | (76 | ) | |||||||||||||||||||
Citibank, N.A. | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 6/20/11 | 4,085 | 71 | ||||||||||||||||||||
Deutsche Bank AG, New York | Brazilian Government International Bond, 12.25%, 03/06/30 | Sell | 235 BPS semi-annually | 4/20/07 | 9,750 | 217 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 108 BPS semi-annually | 4/20/10 | 10,000 | (276 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 119 BPS semi-annually | 4/20/10 | 10,000 | 292 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 105 BPS semi-annually | 6/20/10 | 8,000 | 182 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 106 BPS semi-annually | 6/20/10 | 8,000 | (203 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 105 BPS semi-annually | 6/20/10 | 10,000 | (251 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 104 BPS semi-annually | 6/20/10 | 10,000 | 224 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 7/20/10 | 6,000 | (127 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 7/20/10 | 6,000 | 124 | ||||||||||||||||||||
Deutsche Bank AG, New York* | Dow Jones CDX.NA.IG.6 | Buy | 40 BPS quarterly | 6/20/11 | 135,600 | (224 | ) | |||||||||||||||||||
Deutsche Bank AG, New York** | Dow Jones CDX.NA.IG.HVOL 6 | Sell | 75 BPS quarterly | 6/20/11 | 32,500 | (43 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 6/20/11 | 10,070 | (213 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 6/20/11 | 10,070 | 177 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 221 BPS quarterly | 6/20/11 | 5,055 | (156 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 205 BPS quarterly | 6/20/11 | 5,055 | 133 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 190 BPS quarterly | 9/20/11 | 5,050 | (52 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 176.5 BPS quarterly | 9/20/11 | 5,050 | 39 | ||||||||||||||||||||
Goldman Sachs Capital Management*** | Dow Jones CDX.NA.IG.6 | Sell | 40 BPS quarterly | 6/20/11 | 43,200 | 138 | ||||||||||||||||||||
Goldman Sachs Capital Management**** | Dow Jones CDX.HY.100 S6 0611.6 | Buy | 345 BPS quarterly | 6/20/11 | 10,000 | (107 | ) | |||||||||||||||||||
Goldman Sachs Capital Management | Gannett Co., 6.38%, 04/01/12 | Buy | 27 BPS quarterly | 6/20/11 | 6,000 | 20 | ||||||||||||||||||||
Goldman Sachs Capital Management | Cox Communications, 6.80%, 08/01/28 | Sell | 64 BPS quarterly | 6/20/11 | 5,900 | 24 | ||||||||||||||||||||
Goldman Sachs Capital Management | V.F. Corp., 8.50%, 10/01/10 | Buy | 30 BPS quarterly | 9/20/11 | 7,550 | (20 | ) | |||||||||||||||||||
Goldman Sachs Capital Management | Tribune Co., 5.50%, 10/06/08 | Buy | 161 BPS quarterly | 9/20/13 | 1,150 | — | (h) | |||||||||||||||||||
Goldman Sachs Capital Management | Verizon Communications, 7.25%, 12/01/10 | Buy | 97 BPS quarterly | 12/20/13 | 3,800 | (4 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 9,000 | 99 | ||||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 54 BPS semi-annually | 10/20/07 | 9,000 | (43 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 9,000 | 108 |
AS OF AUGUST 31, 2006 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 61 BPS semi-annually | 10/20/07 | $ | 9,000 | $ | (52 | ) | |||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 58 BPS semi-annually | 6/20/08 | 32,195 | (158 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 300 BPS semi-annually | 9/20/10 | 6,250 | (531 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 343 BPS semi-annually | 9/20/10 | 6,250 | 412 | ||||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 261.50 BPS semi-annually | 10/20/10 | 13,000 | (875 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 303.50 BPS semi-annually | 10/20/10 | 13,000 | 604 | ||||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 165 BPS semi-annually | 2/20/11 | �� | 9,040 | (194 | ) | ||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 292 BPS semi-annually | 2/20/11 | 9,040 | 251 | ||||||||||||||||||||
Lehman Brothers Special Financing | United Mexican States, 7.50%, 04/08/33 | Buy | 53 BPS semi-annually | 3/20/11 | 25,500 | (146 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Sell | 54 BPS semi-annually | 3/20/11 | 25,500 | 138 | ||||||||||||||||||||
Lehman Brothers Special Financing***** | Dow Jones CDX.HY.100 S6 0611 | Buy | 345 BPS quarterly | 6/20/11 | 17,000 | (204 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 173 BPS semi-annually | 6/20/11 | 14,175 | 317 | ||||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 140 BPS semi-annually | 8/20/11 | 3,970 | (39 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 260 BPS semi-annually | 8/20/11 | 3,970 | 40 | ||||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 140 BPS semi-annually | 8/20/11 | 4,530 | (50 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 259 BPS semi-annually | 8/20/11 | 4,530 | 49 | ||||||||||||||||||||
Lehman Brothers Special Financing | Limited Brands Inc., 6.13%, 12/01/12 | Buy | 67 BPS quarterly | 9/20/11 | 6,050 | (37 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Sell | 119 BPS semi-annually | 9/20/11 | 4,050 | — | ||||||||||||||||||||
Lehman Brothers Special Financing | Brazilian Government International Bond, 12.25%, 03/06/30 | Sell | 120 BPS semi-annually | 9/20/11 | 4,190 | — | ||||||||||||||||||||
Merrill Lynch, Inc. | Ace Ina Holdings, 8.88%, 08/15/29 | Buy | 31 BPS quarterly | 6/20/11 | 3,250 | 11 | ||||||||||||||||||||
Merrill Lynch, Inc. | Allstate, 6.75%, 05/15/18 | Buy | 21 BPS quarterly | 6/20/11 | 3,250 | 1 | ||||||||||||||||||||
Merrill Lynch, Inc. | Liberty Mutual, 7.88%, 10/15/26 | Buy | 30 BPS quarterly | 6/20/11 | 3,250 | 4 | ||||||||||||||||||||
Merrill Lynch, Inc. | St. Paul Travelers, 8.13%, 04/15/10 | Buy | 26 BPS quarterly | 6/20/11 | 3,250 | 4 | ||||||||||||||||||||
Morgan Stanley International | Landesbanki Island, 3.30%, 10/19/10 | Sell | 45 BPS quarterly | 9/20/07 | EUR 6,800 | (5 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | ALROSA Finance, SA, 8.88%, 11/17/14 | Sell | 65 BPS quarterly | 11/1/06 | $ | 750 | — | (h) | ||||||||||||||||||
Morgan Stanley Capital Services | Linde AG Loan Facility, Tranche B, 5.85%, 11/03/07 | Sell | 25 BPS quarterly | 3/20/08 | GBP 3,010 | (3 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 112 BPS semi-annually | 4/20/10 | $ | 9,000 | (271 | ) | ||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 140 BPS semi-annually | 4/20/10 | 9,000 | 330 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 7/20/10 | 11,000 | (181 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 190 BPS semi-annually | 7/20/10 | 11,000 | 216 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 75 BPS semi-annually | 8/20/10 | 8,500 | (89 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 170 BPS semi-annually | 8/20/10 | 8,500 | 89 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 64 BPS semi-annually | 9/20/10 | 7,000 | (64 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 9/20/10 | 7,000 | 137 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | $ | 5,250 | $ | (432 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 5,250 | 334 | ||||||||||||||||||||
Morgan Stanley Capital Services | Brazilian Government International Bond, 12.25%, 03/06/30 | Buy | 335 BPS semi-annually | 10/20/10 | 1,600 | (161 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Argentina Government International Bond, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 1,600 | 141 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 53 BPS semi-annually | 8/20/11 | 12,700 | (18 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 203 BPS semi-annually | 8/20/11 | 12,700 | 236 | ||||||||||||||||||||
Morgan Stanley Capital Services | Gannett Co., 6.38%, 04/01/12 | Buy | 37 BPS quarterly | 9/20/11 | 5,750 | (9 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Sara Lee Corp., 6.13%, 11/01/32 | Buy | 51 BPS quarterly | 9/20/11 | 5,600 | (17 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, Warburg | Weyerhaeuser Co., 6.75%, 03/15/12 | Buy | 51 BPS quarterly | 9/20/11 | 7,100 | 4 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 8/20/10 | 7,250 | (119 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Government of Ukraine, 7.65%, 06/11/13 | Sell | 184 BPS semi-annually | 8/20/10 | 7,250 | 128 | ||||||||||||||||||||
$ | (114 | ) |
* | Premium received of $112 |
** | Premium paid of $3 |
*** | Premium paid of $251 |
**** | Premium received of $277 |
***** | Premium received of $612 |
AS OF AUGUST 31, 2006 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (b) | FNMA 30 Year TBA, 6.00%, 9/06 | $99.21 | 09/06/06 | $ | 93,600 | $ | (866 | ) | ||||||||||||||||||
Citibank, N.A. (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 99.34 | 09/06/06 | 325,000 | (2,588 | ) | ||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 6.00%, 9/06 | 99.50 | 09/06/06 | 57,500 | 368 | |||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 6.00%, 8/07 | 100.47 | 09/06/06 | 50,000 | 539 | |||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.01 | 09/06/06 | 117,000 | 630 | |||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.19 | 09/06/06 | 124,000 | 445 | |||||||||||||||||||||
Citibank, N.A. (b) | FNMA 15 Year TBA, 5.00%, 9/06 | 97.16 | 09/11/06 | 28,800 | (231 | ) | ||||||||||||||||||||
Citibank, N.A. (a) | FNMA 15 Year TBA, 5.50%, 9/06 | 99.16 | 09/11/06 | 32,000 | 315 | |||||||||||||||||||||
Citibank, N.A. (b) | U.S. Treasury Note, 4.50%, 02/15/16 | 96.75 | 09/28/06 | 22,150 | (318 | ) | ||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 5.00%, 10/06 | 95.44 | 10/05/06 | 21,000 | 84 | |||||||||||||||||||||
Citibank, N.A. (a) | FNMA 30 Year TBA, 5.50%, 9/06 | 97.94 | 10/05/06 | 124,000 | 255 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 5.00%, 9/06 | 93.66 | 09/06/06 | 62,000 | (1,370 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 5.50%, 9/06 | 97.01 | 09/06/06 | 28,500 | 336 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 5.50%, 9/06 | 97.19 | 09/06/06 | 171,300 | 1,712 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 5.50%, 9/06 | 97.94 | 09/06/06 | 154,000 | 385 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 98.74 | 09/06/06 | 1,400 | (20 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.00%, 9/06 | 98.88 | 09/06/06 | 12,000 | 152 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 99.48 | 09/06/06 | 130,000 | (858 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 99.50 | 09/06/06 | 340,000 | (2,177 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 99.94 | 09/06/06 | 612,000 | (1,242 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 6.00%, 9/06 | 100.02 | 09/06/06 | 19,000 | (24 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.00 | 09/06/06 | 169,100 | 924 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.16 | 09/06/06 | 383,500 | 1,497 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.44 | 09/06/06 | 154,000 | 168 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.50%, 9/06 | 101.47 | 09/06/06 | 100,050 | 78 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 7.00%, 9/06 | 102.61 | 09/06/06 | 38,000 | 30 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FHLB, 5.38%, 08/19/11 | 101.03 | 09/21/06 | 18,040 | 88 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FHLMC, 4.50%, 01/15/14 | 95.82 | 09/21/06 | 10,495 | 75 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FHLMC (GOLD) 30 Year TBA, 5.50%, 10/06 | 97.94 | 10/05/06 | 31,650 | 86 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 7.00%, 10/06 | 102.44 | 10/05/06 | 157,000 | 270 | |||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 6.63%, 11/15/10 | 105.66 | 10/05/06 | 6,000 | 15 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA 30 Year TBA, 5.50%, 11/06 | 97.91 | 11/06/06 | 61,000 | (116 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA 30 Year TBA, 6.50%, 11/06 | 101.34 | 11/06/06 | 122,000 | 80 | |||||||||||||||||||||
Lehman Brothers Special Financing (a) | FHLMC, 5.75%, 06/27/16 | 100.70 | 09/07/06 | 15,860 | 354 | |||||||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 5.13%, 04/15/11 | 99.97 | 09/21/06 | 4,735 | 13 | |||||||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 6.00%, 05/15/11 | 103.71 | 10/05/06 | 24,825 | 21 | |||||||||||||||||||||
Lehman Brothers Special Financing (a) | FHLMC, 5.25%, 05/21/09 | 100.40 | 10/19/06 | 7,987 | 14 | |||||||||||||||||||||
Union Bank of Switzerland AG, Warburg (a) | FNMA 30 Year TBA, 5.00%, 10/06 | 95.63 | 10/05/06 | 50,000 | 107 | |||||||||||||||||||||
Union Bank of Switzerland AG, Warburg (a) | GNMA 30 Year TBA, 5.50%, 10/06 | 98.06 | 10/05/06 | 55,000 | — | |||||||||||||||||||||
$ | (769 | ) |
(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. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | EXPIRATION DATE | | NOTIONAL VALUE (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | Lehman AAA 8.5 Year+CMBS Index | Spread Lock with Carry Amount+10 bps | Total Return on Lehman AAA 8.5 Year+CMBS Index | 12/01/07 | $ | 62,250 | $ | 5 |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Merrill Lynch Capital Services | 5.09% semi-annually | 3 month LIBOR quarterly | 03/19/08 | $ | 200,000 | $ | (95 | ) | ||||||||||||||
Merrill Lynch Capital Services | 5.09% semi-annually | 3 month LIBOR quarterly | 06/18/08 | 500,000 | (254 | ) | ||||||||||||||||
$ | (349 | ) |
AS OF AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 93.6% | |||||||||||
Corporate Bonds — 21.2% | |||||||||||
Brazil — 2.5% | |||||||||||
BRL 1,730 | Citibank N.A., Brazilian Real Notes, 15.00%, 07/02/10 (e) | 862 | |||||||||
$2,000 | Morgan Stanley & Co., Inc., 14.40%, 08/04/16 (e) (linked to Brazilian Sovereign debt securities) | 2,065 | |||||||||
2,927 | |||||||||||
Indonesia — 3.3% | |||||||||||
2,970 | Deutsche Bank Financial, Inc., 15.00%, 07/20/18 (linked to Indonesia Government Bond, 15.00%, 07/15/18) | 4,002 | |||||||||
Luxembourg — 2.1% | |||||||||||
2,569 | Gazstream S.A. (Gazprom), 5.63%, 07/22/13 (e) | 2,543 | |||||||||
Mexico — 2.3% | |||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 | 1,781 | |||||||||
$1,065 | Pemex Project Funding Master Trust, Regulation S, 5.75%, 12/15/15 | 1,036 | |||||||||
2,817 | |||||||||||
Russia — 10.8% | |||||||||||
3,465 | Gaz Capital S.A., 8.63%, 04/28/34 (e) | 4,312 | |||||||||
4,850 | Gazprom International S.A. (Luxembourg), Regulation S, 7.20%, 02/01/20 | 5,080 | |||||||||
1,740 | Morgan Stanley Bank AG for OAO Gazprom, 9.63%, 03/01/13 (e) | 2,056 | |||||||||
720 | RSHB Capital SA for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 (e) | 743 | |||||||||
500 | Sberbank of Russia, FRN, 7.24%, 10/24/06 (m) | 502 | |||||||||
260 | VTB Capital SA for Vneshtorgbank, FRN, 8.39%, 07/30/07 (m) | 266 | |||||||||
12,959 | |||||||||||
Ukraine — 0.2% | |||||||||||
195 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 | 197 | |||||||||
Total Corporate Bonds (Cost $24,670) | 25,445 | ||||||||||
Foreign Government Securities — 65.0% | |||||||||||
Argentina — 7.5% | |||||||||||
Republic of Argentina, | |||||||||||
8,730 | FRN, 5.59%, 08/03/12 (m) | 6,111 | |||||||||
ARS 55,514 | VAR, 0.00%, 12/15/35 | 1,542 | |||||||||
ARS 250 | VAR, 5.83%, 12/31/33 | 101 | |||||||||
ARS 3,138 | VAR, 5.88%, 12/31/33 | 1,281 | |||||||||
9,035 | |||||||||||
Brazil — 14.1% | |||||||||||
$300 | Banco Nacional de Desenvolvimento Economico e Social, Regulation S, VAR, 5.87%, 06/16/08 | 295 | |||||||||
Federal Republic of Brazil, | |||||||||||
1,600 | 8.75%, 02/04/25 | 1,902 | |||||||||
1,250 | 8.88%, 04/15/24 | 1,503 | |||||||||
120 | 11.00%, 08/17/40 | 157 | |||||||||
3,495 | 12.25%, 03/06/30 | 5,592 | |||||||||
BRL 9,090 | 12.50%, 01/05/16 | 4,271 | |||||||||
$340 | 12.75%, 01/15/20 | 515 | |||||||||
2,240 | Series B, 8.88%, 04/15/24 | 2,694 | |||||||||
16,929 | |||||||||||
Chile — 1.7% | |||||||||||
2,000 | Government of Chile, 6.88%, 04/28/09 | 2,074 | |||||||||
Colombia — 2.5% | |||||||||||
Government of Colombia, | |||||||||||
1,075 | 7.38%, 01/27/17 | 1,118 | |||||||||
1,500 | 10.75%, 01/15/13 | 1,833 | |||||||||
2,951 | |||||||||||
Dominican Republic — 2.2% | |||||||||||
Government of Dominican Republic, | |||||||||||
340 | 8.63%, 04/20/27 (e) | 357 | |||||||||
1,985 | 9.04%, 01/23/18 (e) | 2,173 | |||||||||
49 | Regulation S, 9.50%, 09/27/11 | 53 | |||||||||
2,583 | |||||||||||
Ecuador — 0.9% | |||||||||||
1,065 | Republic of Ecuador, Regulation S, SUB, 10.00%, 08/15/30 | 1,060 | |||||||||
El Salvador — 1.7% | |||||||||||
Republic of El Salvador, | |||||||||||
675 | 7.63%, 09/21/34 (e) | 727 | |||||||||
480 | 7.65%, 06/15/35 (e) | 503 | |||||||||
735 | 8.25%, 04/10/32 (e) (m) | 820 | |||||||||
2,050 | |||||||||||
Iraq — 0.7% | |||||||||||
1,250 | Republic of Iraq 5.80%, 01/15/28 (e) | 806 | |||||||||
Mexico — 4.6% | |||||||||||
United Mexican States, | |||||||||||
850 | 6.38%, 01/16/13 | 884 | |||||||||
1,400 | 7.50%, 01/14/12 | 1,531 | |||||||||
MXN 12,496 | 8.00%, 12/24/08 | 1,159 | |||||||||
MXN 18,000 | 10.00%, 12/05/24 | 1,886 | |||||||||
5,460 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Panama — 2.1% | |||||||||||
Republic of Panama, | |||||||||||
$1,300 | 7.13%, 01/29/26 | 1,334 | |||||||||
897 | 7.25%, 03/15/15 | 946 | |||||||||
25 | 8.88%, 09/30/27 | 31 | |||||||||
33 | 9.38%, 07/23/12 | 38 | |||||||||
155 | 9.38%, 04/01/29 | 197 | |||||||||
2,546 | |||||||||||
Peru — 3.2% | |||||||||||
Republic of Peru, | |||||||||||
570 | 7.35%, 07/21/25 | 601 | |||||||||
835 | 9.88%, 02/06/15 | 1,027 | |||||||||
2,213 | VAR, 5.00%, 03/07/17 | 2,178 | |||||||||
3,806 | |||||||||||
Russia — 4.6% | |||||||||||
3,100 | Russian Federation, Regulation S, 12.75%, 06/24/28 | 5,533 | |||||||||
Turkey — 2.5% | |||||||||||
Republic of Turkey, | |||||||||||
1,795 | 7.38%, 02/05/25 | 1,788 | |||||||||
620 | 8.00%, 02/14/34 | 649 | |||||||||
535 | 9.50%, 01/15/14 | 613 | |||||||||
3,050 | |||||||||||
Ukraine — 2.3% | |||||||||||
Government of Ukraine, | |||||||||||
1,595 | Regulation S, 6.88%, 03/04/11 | 1,623 | |||||||||
1,075 | Regulation S, 7.65%, 06/11/13 | 1,147 | |||||||||
2,770 | |||||||||||
Uruguay — 2.9% | |||||||||||
Republic of Uruguay, | |||||||||||
595 | 7.63%, 03/21/36 | 592 | |||||||||
2,455 | 8.00%, 11/18/22 | 2,572 | |||||||||
240 | 9.25%, 05/17/17 | 279 | |||||||||
3,443 | |||||||||||
Venezuela — 11.5% | |||||||||||
Republic of Venezuela, | |||||||||||
435 | 7.65%, 04/21/25 | 465 | |||||||||
465 | 9.25%, 09/15/27 | 578 | |||||||||
3,934 | 9.38%, 01/13/34 | 4,941 | |||||||||
3,406 | 10.75%, 09/19/13 | 4,172 | |||||||||
1,020 | 13.63%, 08/15/18 | 1,540 | |||||||||
2,074 | Regulation S, 7.00%, 12/01/18 | 2,100 | |||||||||
13,796 | |||||||||||
Total Foreign Government Securities (Cost $75,320) | 77,892 | ||||||||||
U.S. Treasury Obligations — 7.4% | |||||||||||
United States — 7.4% | |||||||||||
9,250 | U.S. Treasury Inflation Indexed Bonds, 4.50%, 02/15/36 (m) | 8,706 | |||||||||
145 | U.S. Treasury Notes, 4.88%, 04/30/08 (k) (m) | 145 | |||||||||
Total U.S. Treasury Obligations (Cost $8,728) | 8,851 | ||||||||||
SHARES | |||||||||||
Warrants — 0.0% (g) | |||||||||||
1 | Republic of Venezuela, expires 04/15/20 (a) (Cost $0) | 46 | |||||||||
Total Long-Term Investments (Cost $108,718) | 112,234 | ||||||||||
Short-Term Investment — 2.5% | |||||||||||
Investment Company — 2.5% | |||||||||||
3,027 | JPMorgan Prime Money Market Fund (b) (m) (Cost $3,027) | 3,027 | |||||||||
Total Investments — 96.1% (Cost $111,745) | 115,261 | ||||||||||
Other Assets in Excess of Liabilities — 3.9% | 4,656 | ||||||||||
NET ASSETS — 100.0% | $ | 119,917 |
AS OF AUGUST 31, 2006 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Futures Outstanding | ||||||||||||||||||
(83) | 5 Year U.S. Treasury Notes | December, 2006 | $ | (8,724 | ) | $ | (28 | ) | ||||||||||
(33) | 10 Year U.S. Treasury Notes | December, 2006 | (3,543 | ) | (13 | ) | ||||||||||||
(38) | U.S. Treasury Bonds | December, 2006 | (4,220 | ) | (35 | ) | ||||||||||||
$ | (76 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (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. | United Mexican States, 8.30%, 08/15/31 | Sell | 105 BPS semi-annually | 6/20/10 | 1,000 | 25 | ||||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 125 BPS quarterly | 6/20/10 | 1,000 | (27 | ) | |||||||||||||||||||
Citibank, N.A. | Government of Argentina, 8.28%, 12/31/33 | Sell | 296.50 BPS semi-annually | 10/20/10 | 160 | 8 | ||||||||||||||||||||
Citibank, N.A. | Republic of Hungary, 4.75%, 02/03/15 | Buy | 37 BPS semi-annually | 5/20/11 | 1,600 | (1 | ) | |||||||||||||||||||
Citibank, N.A. | Republic of Kazakhstan, 11.13%, 05/11/07 | Sell | 63 BPS semi-annually | 5/20/11 | 1,600 | 6 | ||||||||||||||||||||
Citibank, N.A. | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 6/20/11 | 300 | 5 | ||||||||||||||||||||
Citibank, N.A. | Government of Philippines,10.63%, 03/16/25 | Buy | 199 BPS quarterly | 6/20/11 | 300 | (6 | ) | |||||||||||||||||||
Credit Suisse International | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 64 BPS semi-annually | 6/20/08 | 820 | (19 | ) | |||||||||||||||||||
Credit Suisse International | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 175 BPS semi-annually | 6/20/11 | 395 | 27 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Brazil, 12.25%, 03/06/30 | Sell | 235 BPS semi-annually | 4/20/07 | 300 | 7 | ||||||||||||||||||||
Deutsche Bank AG, New York | Russian Standard Bank, 7.80%, 09/28/07 | Sell | 235 BPS semi-annually | 6/15/07 | 3,200 | (6 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 81 BPS semi-annually | 8/20/10 | 70 | (1 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 77 BPS semi-annually | 8/20/10 | 70 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 6/20/11 | 730 | 13 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 205 BPS quarterly | 6/20/11 | 365 | 10 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 6/20/11 | 730 | (15 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 221 BPS quarterly | 6/20/11 | 365 | (11 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 500 | 5 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 500 | 5 | ||||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 54 BPS semi-annually | 10/20/07 | 500 | (2 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 61 BPS semi-annually | 10/20/07 | 500 | (3 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 58 BPS semi-annually | 6/20/08 | 1,320 | (6 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 343 BPS semi-annually | 9/20/10 | 350 | 23 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 300 BPS semi-annually | 9/20/10 | 350 | (30 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 303.50 BPS semi-annually | 10/20/10 | 750 | 35 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 261.50 BPS semi-annually | 10/20/10 | 750 | (50 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 295 BPS semi-annually | 3/20/11 | 2,500 | 105 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 142 BPS semi-annually | 3/20/11 | 2,500 | (47 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Gazprom International SA, 7.20%, 02/01/20 | Buy | 112 BPS quarterly | 4/20/11 | 5,180 | (80 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | VTB Capital Vneshtorgbank, 7.50%, 10/12/11 | Sell | 109 BPS quarterly | 4/20/11 | 5,180 | 70 | ||||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 173 BPS semi-annually | 6/20/11 | 560 | 12 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Sell | 119 BPS semi-annually | 9/20/11 | 270 | — |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | Termination Date | | Notional Amount (USD) | | Value (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Sell | 120 BPS semi-annually | 9/20/11 | $ | 280 | $ | — | ||||||||||||||||||
Morgan Stanley Capital Services | ALROSA Finance, SA, 8.88%, 11/17/14 | Sell | 65 BPS quarterly | 11/1/06 | 430 | — | (h) | |||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 7/20/10 | 2,000 | (43 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 190 BPS semi-annually | 7/20/10 | 500 | 9 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 7/20/10 | 500 | (8 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 7/20/10 | 2,000 | 41 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 170 BPS semi-annually | 8/20/10 | 750 | 7 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 75 BPS semi-annually | 8/20/10 | 750 | (8 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 64 BPS semi-annually | 9/20/10 | 400 | (4 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 400 | 25 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Brazil, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | 400 | (32 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 203 BPS semi-annually | 8/20/11 | 660 | 11 | ||||||||||||||||||||
Morgan Stanley Capital Services | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 132.5 BPS semi-annually | 8/20/11 | 610 | (1 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 53 BPS semi-annually | 8/20/11 | 660 | (1 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 9/20/20 | 400 | 7 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Government of Ukraine, 7.65%, 06/11/13 | Sell | 184 BPS semi-annually | 8/20/10 | 300 | 5 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 8/20/10 | 300 | (5 | ) | |||||||||||||||||||
$ | 54 |
RATE TYPE (r) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||||
Morgan Stanley Capital Services | Red Arrow International Leasing, Public Limited Company 8.38%, 06/30/12 | LIBOR+40 bps | Total Return on Red Arrow International Leasing, Public Limited Company, 8.38%, 06/30/12 | 06/30/12 | RUB 42,500 | $ | 77 |
AS OF AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 92.7% | |||||||||||
Asset Backed Securities — 25.5% | |||||||||||
1,085 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.83%, 02/15/12 (e) (m) | 1,087 | |||||||||
Ameriquest Mortgage Securities, Inc., | |||||||||||
550 | Series 2004-R11, Class M1, FRN, 5.98%, 11/25/34 (m) | 554 | |||||||||
500 | Series 2005-R2, Class M2, FRN, 5.80%, 04/25/35 (m) | 502 | |||||||||
400 | Asset Backed Funding Certificates, Series 2005-HE1, Class M2, FRN, 5.76%, 12/25/34 (m) | 402 | |||||||||
600 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.56%, 11/15/11 (m) | 600 | |||||||||
350 | Bear Stearns Asset Backed Securities, Inc., Series 2005-HE3, Class M1, FRN, 5.75%, 03/25/35 (m) | 352 | |||||||||
1,650 | Capital One Multi-Asset Execution Trust, Series 2003-A, FRN, 6.58%, 12/15/10 (i) | 1,677 | |||||||||
303 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 5.61%, 01/15/11 (e) | 303 | |||||||||
Centex Home Equity, | |||||||||||
42 | Series 2004-B, Class AV1, FRN, 5.52%, 03/25/34 | 42 | |||||||||
108 | Series 2004-C, Class AV2, FRN, 5.57%, 06/25/34 | 109 | |||||||||
2,400 | Citibank Credit Card Issuance Trust, Series 2004-B1, Class B1, FRN, 5.55%, 05/20/11 | 2,407 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
998 | Series 2003-HE3, Class A, FRN, 5.70%, 12/25/33 | 1,002 | |||||||||
1,050 | Series 2005-OPT4, Class M2, FRN, 5.75%, 07/25/35 | 1,054 | |||||||||
1,200 | Series 2006-WFH2, Class A2A, FRN, 5.48%, 08/25/36 | 1,200 | |||||||||
900 | Series 2006-WMC1, Class A2C, FRN, 5.52%, 12/25/35 | 902 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
236 | Series 2004-6, Class 2A4, FRN, 5.77%, 11/25/34 | 237 | |||||||||
200 | Series 2005-BC1, Class M1, FRN, 5.73%, 03/25/35 | 201 | |||||||||
200 | Series 2005-BC1, Class M2, FRN, 5.76%, 05/25/35 | 201 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
1,167 | Series 2003-C, Class A, FRN, 5.60%, 05/15/29 | 1,169 | |||||||||
900 | Series 2004-BC1, Class M1, FRN, 5.82%, 02/25/34 | 905 | |||||||||
927 | Fifth Third Home Equity Loan Trust, Series 2003-1, Class A, FRN, 5.58%, 09/20/23 | 929 | |||||||||
859 | Fleet Home Equity Trust, Series 2003-1, Class A, FRN, 5.58%, 01/20/33 | 860 | |||||||||
950 | GMAC Mortgage Corp Loan Trust, Series 2004-HE4, Class A2, FRN, 5.51%, 03/25/35 | 952 | |||||||||
139 | Greenpoint Home Equity Loan Trust, Series 2003-1, Class A, FRN, 5.60%, 04/15/29 | 139 | |||||||||
234 | Hasco NIM Trust, Series 2006-OP2A A, 5.86%, 01/25/36 (e) | 234 | |||||||||
96 | Household Automotive Trust, Series 2002-3, Class A4B, FRN, 5.67%, 05/18/09 | 96 | |||||||||
800 | HSI Asset Securitization Corp. Trust, Series 2006-OPT3 A3A, FRN, 5.50%, 02/25/36 | 801 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
2,050 | Series 2003-4, Class M1, FRN, 6.00%, 08/25/33 | 2,058 | |||||||||
229 | Series 2005-1, Class 2A2, FRN, 5.57%, 02/25/35 | 229 | |||||||||
1,700 | Series 2006-7, Class 2A3, FRN, 5.49%, 08/25/36 | 1,700 | |||||||||
372 | MASTR Asset Backed Securities Trust, Series 2006-CI14, Class N1, 6.00%, 07/26/35 (e) | 371 | |||||||||
Morgan Stanley ABS Capital I, | |||||||||||
150 | Series 2005-HE2, Class M3, FRN, 5.80%, 01/25/35 | 151 | |||||||||
100 | Series 2005-HE2, Class M4, FRN, 5.95%, 01/25/35 | 101 | |||||||||
550 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, FRN, 5.94%, 11/25/34 | 553 | |||||||||
1,000 | Nomura Asset Acceptance Corp., Series 2006-WF1, Class A1, FRN, 5.34%, 06/25/36 | 1,000 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
128 | Series 2002-1, Class A3, FRN, 5.90%, 02/25/32 | 128 | |||||||||
300 | Series 2005-2, Class M1, FRN, 5.76%, 05/25/35 | 301 | |||||||||
550 | Park Place Securities, Inc., Series 2004-WHQ2, Class M2, FRN, 5.95%, 02/25/35 | 553 | |||||||||
2,400 | Residential Asset Mortgage Products, Inc. Series 2006-RS1, Class AI2, FRN, 5.55%, 02/25/34 | 2,404 | |||||||||
Residential Asset Securities Corp., | |||||||||||
1 | Series 2003-KS11, Class A11B, FRN, 5.62%, 01/25/34 | 1 | |||||||||
350 | Series 2005-KS11, Class M2, FRN, 5.74%, 12/25/35 | 351 | |||||||||
319 | Residential Funding Mortgage Securities II, Series 2003-HS4, Class A1B, FRN, 5.58%, 01/25/29 | 319 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset Backed Securities — Continued | |||||||||||
Securitized Asset Backed Receivables LLC Trust, | |||||||||||
500 | Series 2005-OP1, Class M2, FRN, 5.77%, 01/25/35 | 502 | |||||||||
1,700 | Series 2006-OP1, Class A2B, FRN, 5.52%, 10/25/35 | 1,703 | |||||||||
91 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class N1, 5.68%, 12/25/35 (e) | 90 | |||||||||
1,018 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, FRN, 5.54%, 06/25/34 | 1,019 | |||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, FRN, 5.78%, 01/23/11 (e) | 1,000 | |||||||||
Total Asset Backed Securities (Cost $33,411) | 33,451 | ||||||||||
Collateralized Mortgage Obligations — 22.7% | |||||||||||
Agency CMO — 3.5% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
2,504 | Series 2638, Class KI, IO, 5.00%, 11/15/27 | 269 | |||||||||
2,937 | Series 2645, Class SB, FRN, IO, 1.77%, 07/15/27 | 176 | |||||||||
1,261 | Series 2686, Class FL, FRN, 5.73%, 03/15/28 | 1,267 | |||||||||
1,203 | Series 2827, Class AS, FRN, IO, 1.77%, 06/15/22 | 52 | |||||||||
2,049 | Series 2928, Class IN, IO, 5.00%, 10/15/24 | 171 | |||||||||
1,694 | Series 2975, IO, 5.50%, 06/15/26 | 173 | |||||||||
Federal National Mortgage Association, | |||||||||||
5,000 | Series 2002-81, Class SJ, FRN, IO, 2.18%, 04/25/32 | 448 | |||||||||
2,549 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 | 227 | |||||||||
1,896 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 | 152 | |||||||||
Federal National Mortgage Association Grantor Trust, | |||||||||||
302 | Series 2002-36, Class FS, FRN, 5.82%, 06/25/32 | 305 | |||||||||
450 | Series 2002-36, Class FT, FRN, 5.82%, 06/25/32 | 454 | |||||||||
961 | Federal National Mortgage Association Whole Loan, Series 2003-121, Class FC, FRN, 5.72%, 02/25/28 | 965 | |||||||||
4,659 | |||||||||||
Non-Agency CMO — 19.2% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
898 | Series 2004-5, Class 7A2, FRN, 5.70%, 04/25/35 (m) | 896 | |||||||||
1,037 | Series 2005-1 Class 5A2, FRN, 5.65%, 05/25/35 (m) | 1,035 | |||||||||
494 | Series 2005-8, Class 7A2, FRN, 5.60%, 11/25/35 (m) | 496 | |||||||||
615 | Series 2005-11, Class 5A1, FRN, 5.59%, 02/25/36 (m) | 616 | |||||||||
845 | American Home Mortgage Assets, Series 2006-2, Class 2A1, FRN, 5.52%, 09/25/46 (m) | 844 | |||||||||
70 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2002-31, Class A3, 5.75%, 01/25/33 | 69 | |||||||||
680 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, FRN, 5.65%, 08/19/45 | 682 | |||||||||
1,683 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 5.67%, 01/25/35 (e) | 1,690 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
572 | Series 2005-3, Class 2A1A, FRN, 5.56%, 06/19/35 | 573 | |||||||||
1,296 | Series 2005-8, Class 1A2A, FRN, 5.65%, 09/19/35 | 1,300 | |||||||||
1,456 | Series 2005-15, Class 2A11, FRN, 5.60%, 10/20/45 | 1,461 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
1,154 | Series 2004-AR7, Class A1, FRN, 5.76%, 09/25/34 | 1,165 | |||||||||
360 | Series 2004-AR8,Class 2A1, FRN, 5.73%, 11/25/34 | 363 | |||||||||
Lehman Mortgage Trust, | |||||||||||
1,550 | Series 2005-3, Class 2A3, 5.50%, 01/25/36 | 1,542 | |||||||||
Lehman XS Trust, | |||||||||||
739 | Series 2005-2, Class 1A1, FRN, 5.60%, 08/25/35 | 741 | |||||||||
1,073 | Series 2005-7N, Class 1A1A, FRN, 5.59%, 11/25/35 | 1,078 | |||||||||
1,852 | Series 2006-2N, Class 1A1, FRN, 5.58%, 02/25/46 | 1,855 | |||||||||
1,340 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, FRN, 5.64%, 10/25/35 | 1,345 | |||||||||
Thornburg Mortgage Securities Trust, | |||||||||||
726 | Series 2003-2, Class A1, FRN, 5.66%, 04/25/43 | 727 | |||||||||
1,370 | Series 2004-3, Class A, FRN, 5.69%, 09/25/34 | 1,377 | |||||||||
2,226 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1A, FRN, 5.57%, 02/25/36 | 2,232 | |||||||||
Washington Mutual Mortgage Securities Corp., | |||||||||||
1,485 | Series 2005-AR9, Class A1A, FRN, 5.64%, 07/25/45 | 1,488 | |||||||||
1,605 | Series 2005-AR13, Class A1A1, FRN, 5.61%, 10/25/45 | 1,615 | |||||||||
25,190 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $29,738) | 29,849 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Mortgage Backed Securities — 3.0% | |||||||||||
1,144 | CalSTRS Trust, Series 2002-C6, Class A1, FRN, 5.63%, 11/20/12 (e) | 1,147 | |||||||||
998 | CR, Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) | 1,011 | |||||||||
1,450 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 1,405 | |||||||||
450 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 5.45%, 09/15/21 (e) | 450 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $4,110) | 4,013 | ||||||||||
Corporate Bonds — 37.8% | |||||||||||
Automobiles — 0.7% | |||||||||||
900 | DaimlerChrysler NA Holding Corp., FRN, 5.74%, 03/13/09 | 901 | |||||||||
Beverages — 1.0% | |||||||||||
1,300 | Diageo Finance BV, FRN, 5.62%, 03/30/09 | 1,301 | |||||||||
Capital Markets — 1.6% | |||||||||||
2,100 | Links Finance LLC, FRN, 5.58%, 09/15/06 (e) (i) | 2,102 | |||||||||
Commercial Banks — 9.6% | |||||||||||
1,200 | Banco Santander Chile (Chile), FRN, 5.63%, 12/09/09 (e) (m) | 1,206 | |||||||||
400 | Barclays Bank plc (United Kingdom), FRN, 5.91%, 04/10/12 | 401 | |||||||||
3,200 | Deutsche Bank AG (Germany), FRN, 5.64%, 05/15/07 (m) | 3,202 | |||||||||
1,600 | Glitnir Banki HF (Iceland), FRN, 5.67%, 10/15/08 (e) | 1,589 | |||||||||
1,300 | ING Bank NV (Netherlands), FRN, 5.75%, 10/14/14 | 1,302 | |||||||||
400 | Islandsbanki HF (Iceland), FRN, 5.52%, 02/22/08 (e) | 397 | |||||||||
National Australia Bank Ltd. (Australia), | |||||||||||
700 | FRN, 5.75%, 08/29/13 | 702 | |||||||||
1,600 | FRN, 5.80%, 03/12/13 | 1,607 | |||||||||
1,000 | VAR, 5.75%, 06/23/14 | 1,003 | |||||||||
600 | Sberbank of Russia (Russia), FRN, 7.24%, 10/24/06 (m) | 603 | |||||||||
650 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 6.17%, 09/21/07 (e) (m) | 651 | |||||||||
12,663 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
500 | Ford Motor Credit Co., FRN, 6.37%, 03/21/07 | 499 | |||||||||
500 | International Lease Finance Corp., VAR, 6.98%, 10/15/06 | 501 | |||||||||
1,000 | |||||||||||
Diversified Financial Services — 9.4% | |||||||||||
1,800 | CIT Group, Inc., FRN, 5.55%, 08/17/09 (m) | 1,799 | |||||||||
Counts Trust, | |||||||||||
1,400 | Series 2002-10, FRN, 6.19%, 08/15/07 (e) (i) (m) | 1,408 | |||||||||
1,400 | Series 2002-11, FRN, 6.24%, 08/15/07 (e) (i) (m) | 1,408 | |||||||||
1,500 | K2 Corp., VAR, 5.43%, 02/15/09 (i) | 1,500 | |||||||||
500 | Meridian Funding Co. LLC, FRN, 5.75%, 07/21/11 (e) | 500 | |||||||||
1,700 | RACERS, Series 2005-16, Class C, FRN, 5.41%, 09/20/07 (e) (i) (m) | 1,696 | |||||||||
1,700 | Sigma Finance Corp. (Cayman Islands), FRN, 5.07%, 09/15/08 (e) (i) | 1,700 | |||||||||
200 | Twin Reefs Pass-Through Trust, FRN, 6.37%, 12/31/49 (e) | 200 | |||||||||
1,550 | Two-Rock Pass Through Trust (Bermuda), FRN, 6.34%, 12/31/49 (e) | 1,525 | |||||||||
600 | ZFS Finance USA Trust, FRN, 6.48%, 12/15/65 (e) | 601 | |||||||||
12,337 | |||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
600 | Telefonica Emisones SAU (Spain), FRN, 5.71%, 06/19/09 | 601 | |||||||||
Electric Utilities — 2.3% | |||||||||||
900 | Appalachian Power Co., FRN, 5.83%, 06/29/07 (m) | 901 | |||||||||
500 | Pepco Holdings, Inc., FRN, 5.86%, 06/01/10 | 502 | |||||||||
850 | PSEG Funding Trust I, 5.38%, 11/16/07 | 848 | |||||||||
750 | Southwestern Public Service Co., 5.13%, 11/01/06 (m) | 749 | |||||||||
3,000 | |||||||||||
Insurance — 4.3% | |||||||||||
2,400 | ASIF Global Financing, FRN, 5.62%, 03/14/08 (e) (m) | 2,405 | |||||||||
1,250 | Chubb Corp., 4.93%, 11/16/07 | 1,243 | |||||||||
1,950 | Oil Insurance Ltd. (Bermuda), VAR, 5.62%, 10/06/06 (e) (i) (m) | 1,950 | |||||||||
5,598 | |||||||||||
Media — 0.8% | |||||||||||
500 | Comcast Corp., FRN, 5.80%, 07/14/09 | 501 | |||||||||
500 | Viacom, Inc., FRN, 5.69%, 06/16/09 (e) | 500 | |||||||||
1,001 | |||||||||||
Multi-Utilities — 0.6% | |||||||||||
750 | Dominion Resources, Inc., FRN, 5.79%, 09/28/07 (m) | 751 | |||||||||
Real Estate Investment Trusts (REITs) — 0.8% | |||||||||||
1,000 | iStar Financial, Inc., FRN, 5.66%, 03/03/08 REIT | 1,003 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Real Estate Management & Development — 2.2% | |||||||||||
300 | Duke Realty LP, FRN, 5.70%, 12/22/06 (m) | 300 | |||||||||
2,700 | Westfield Capital Corp Ltd. (Australia), FRN, 5.77%, 11/02/07 (e) | 2,707 | |||||||||
3,007 | |||||||||||
Software — 1.1% | |||||||||||
1,400 | Oracle Corp. and Ozark Holdings, Inc., FRN, 5.73%, 01/13/09 | 1,402 | |||||||||
Thrifts & Mortgage Finance — 2.3% | |||||||||||
950 | Countrywide Financial Corp., FRN, 5.67%, 12/19/08 | 952 | |||||||||
600 | Residential Capital Corp., FRN, 6.61%, 04/17/09 | 602 | |||||||||
300 | Sovereign Bancorp, Inc., FRN, 5.51%, 03/01/09 (e) | 301 | |||||||||
1,150 | Washington Mutual, Inc., FRN, 5.54%, 08/24/09 | 1,150 | |||||||||
3,005 | |||||||||||
Total Corporate Bonds (Cost $49,678) | 49,672 | ||||||||||
Foreign Government Securities — 0.4% | |||||||||||
500 | United Mexican States (Mexico), FRN, 6.20%, 01/13/09 (Cost $504) | 505 | |||||||||
Municipal Bonds — 0.2% | |||||||||||
North Carolina — 0.2% | |||||||||||
200 | Wake Forest University, VAR, 5.38%, 07/01/17 (e) (Cost $200) | 200 | |||||||||
Mortgage Pass Through Securities — 3.1% | |||||||||||
3,900 | Federal National Mortgage Association Pool, TBA, 7.00%, 09/25/36 (Cost $3,997) | 4,005 | |||||||||
Total Long-Term Investments (Cost $121,638) | 121,695 | ||||||||||
NUMBER OF CONTRACTS | |||||||||||
Options Purchased — 0.0% (g) | |||||||||||
Put Options Purchased — 0.0% (g) | |||||||||||
14 | U.S. 10 Year Treasury Note Future Expiring 09/22/06 @ $105.00, American Style (Cost $2) | — | (h) | ||||||||
Short-Term Investments — 16.6% | |||||||||||
Commercial Paper — 5.3% | |||||||||||
3,200 | DnB NORBank ASA, 5.08%, 10/02/06 (m) (n) | 3,186 | |||||||||
3,200 | Intesa Funding, 5.21%, 09/29/06 (m) (n) | 3,187 | |||||||||
500 | Rockies Express Pipeline, 5.61%, 10/31/06 (m) (n) | 495 | |||||||||
Total Commercial Paper (Cost $6,868) | 6,868 | ||||||||||
SHARES | |||||||||||
Investment Company — 11.2% | |||||||||||
14,740 | JPMorgan Prime Money Market Fund (b) (m) (Cost $14,740) | 14,740 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
U.S. Treasury Obligation — 0.1% | |||||||||||
160 | U.S. Treasury Bill, 4.95%, 10/05/06 (k) (m) (n) (Cost $159) | 159 | |||||||||
Total Short-Term Investments (Cost $21,767) | 21,767 | ||||||||||
Total Investments — 109.3% (Cost $143,407) | 143,462 | ||||||||||
Liabilities in Excess of Other Assets — (9.3)% | (12,224 | ) | |||||||||
NET ASSETS — 100.0% | $ | 131,238 |
AS OF AUGUST 31, 2006 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
80 | 2 Year U.S. Treasury Notes | December, 2006 | $ | 16,347 | $ | 32 | ||||||||||||
35 | 5 Year U.S. Treasury Notes | December, 2006 | 3,679 | 12 | ||||||||||||||
24 | 10 Year U.S. Treasury Notes | December, 2006 | 2,577 | 10 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(83) | 5 Year U.S. Treasury Notes | December, 2006 | (8,724 | ) | (27 | ) | ||||||||||||
(2) | Eurodollar | September, 2006 | (473 | ) | 1 | |||||||||||||
(2) | Eurodollar | December, 2006 | (473 | ) | — | (h) | ||||||||||||
(12) | Eurodollar | March, 2007 | (2,844 | ) | 5 | |||||||||||||
(12) | Eurodollar | June, 2007 | (2,848 | ) | 2 | |||||||||||||
(2) | Eurodollar | September, 2007 | (475 | ) | (1 | ) | ||||||||||||
(12) | Eurodollar | December, 2007 | (2,853 | ) | (2 | ) | ||||||||||||
(12) | Eurodollar | March, 2008 | (2,854 | ) | (3 | ) | ||||||||||||
$ | 29 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FIXED RATE/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bear Stearns Credit Products | Lehman Brothers, 6.63%, 01/18/12 | Sell | 8.0 BPS quarterly | 06/20/07 | $ | 1,000 | $ | 1 | ||||||||||||||||||
Deutsche Bank AG, New York | Bear Stearns & Co., 7.63%, 12/07/09 | Sell | 8.0 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Deutsche Bank AG, New York | Goldman Sachs Group, 6.60%, 01/15/12 | Sell | 7.5 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co., 6.00%, 02/17/09 | Sell | 7.5 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co., 6.00%, 02/17/09 | Sell | 9.5 BPS quarterly | 12/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Deutsche Bank AG, New York | Morgan Stanley, 6.60%, 04/01/12 | Sell | 8.0 BPS quarterly | 06/20/07 | 1,000 | 1 | ||||||||||||||||||||
$ | 2 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (b) | FNMA 30 year TBA, 5.00%, 9/06 | $ 94.91 | 09/06/06 | $ | 5,600 | $ | (54 | ) |
(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 AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 106.6% | |||||||||||
Asset Backed Securities — 4.2% | |||||||||||
GSAMP Trust, | |||||||||||
1,000 | Series 2005-WMC2, Class A2B, FRN, 5.58%, 11/25/35 (m) | 1,002 | |||||||||
Residential Asset Securities Corp, | |||||||||||
250 | Series 2005-AHL2, Class M1, FRN, 5.74%, 10/25/35 (m) | 251 | |||||||||
1,000 | Series 2005-KS10, Class 1A2, FRN, 5.57%, 11/25/35 (m) | 1,002 | |||||||||
Soundview Home Equity Loan Trust, | |||||||||||
250 | Series 2005-OPT4, Class M2, FRN, 5.87%, 12/25/35 (m) | 251 | |||||||||
Total Asset Backed Securities (Cost $2,500) | 2,506 | ||||||||||
Collateralized Mortgage Obligations — 7.8% | |||||||||||
Non-Agency CMO — 7.8% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
387 | Series 2005-12, Class 5A1, FRN, 5.57%, 03/25/36 (m) | 388 | |||||||||
785 | Series 2006-3, Class 4A11, FRN, 5.50%, 08/25/36 (m) | 785 | |||||||||
Downey Savings & Loan Association Mortgage Loan Trust, | |||||||||||
674 | Series 2005-AR6, Class 2A1A, FRN, 5.62%, 10/19/45 (m) | 677 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
648 | Series 2005-8, Class 1A2A, FRN, 5.66%, 09/19/35 (m) | 650 | |||||||||
785 | Series 2005-11, Class 2A1A, FRN, 5.64%, 08/19/45 (m) | 788 | |||||||||
250 | Series 2006-8, Class 2A1A, FRN, 5.65%, 08/21/46 (m) | 250 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
681 | Series 2005-AR18, Class 2A1A, FRN, 5.63%, 10/25/36 (m) | 682 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
496 | Series 2006-QO4, Class 2A1, FRN, 5.51%, 04/25/46 (m) | 496 | |||||||||
Total Collateralized Mortgage Obligations (Cost $4,707) | 4,716 | ||||||||||
Corporate Bonds — 1.6% | |||||||||||
Capital Markets — 0.8% | |||||||||||
500 | Merrill Lynch & Co., Inc., FRN, 5.58%, 10/27/08 (m) | 501 | |||||||||
Commercial Banks — 0.4% | |||||||||||
200 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 6.17%, 09/21/07 (m) | 200 | |||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
250 | AT&T, Inc., FRN, 5.61%, 11/14/08 (m) | 251 | |||||||||
Total Corporate Bonds (Cost $950) | 952 | ||||||||||
Foreign Government Securities — 0.9% | |||||||||||
MXN 6,200 | United Mexican States, Series MI10, 8.00%, 12/19/13 (Cost $577) | 566 | |||||||||
Mortgage Pass-Through Securities — 11.3% | |||||||||||
Federal National Mortgage Association Pools, | |||||||||||
1,750 | TBA, 5.50%, 10/01/36 | 1,717 | |||||||||
5,050 | TBA, 6.50%, 09/25/36 | 5,128 | |||||||||
Total U.S. Mortgage Pass-Through Securities (Cost $6,840) | 6,845 | ||||||||||
U.S. Treasury Obligations — 80.8% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
3,272 | 0.88%, 04/15/10 (m) | 3,108 | |||||||||
1,259 | 1.63%, 01/15/15 | 1,199 | |||||||||
6,093 | 1.88%, 07/15/13 (m) | 5,942 | |||||||||
2,899 | 2.00%, 01/15/14 (m) | 2,847 | |||||||||
8,114 | 2.00%, 07/15/14 (m) | 7,963 | |||||||||
3,788 | 2.00%, 01/15/16 | 3,708 | |||||||||
434 | 2.00%, 01/15/26 (m) | 419 | |||||||||
4,559 | 2.38%, 04/15/11 | 4,578 | |||||||||
4,214 | 2.38%, 01/15/25 (m) | 4,301 | |||||||||
4,542 | 3.00%, 07/15/12 (k) (m) | 4,728 | |||||||||
2,320 | 3.50%, 01/15/11 (m) | 2,438 | |||||||||
2,637 | 3.63%, 01/15/08 (m) | 2,672 | |||||||||
2,561 | 3.88%, 01/15/09 (m) | 2,646 | |||||||||
1,791 | 4.25%, 01/15/10 (m) | 1,903 | |||||||||
425 | 4.50%, 02/15/36 | 400 | |||||||||
Total U.S. Treasury Obligations (Cost $49,653) | 48,852 | ||||||||||
Total Long-Term Investments (Cost $65,227) | 64,437 |
CONTRACTS | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.2% | |||||||||||
Call Options Purchased — 0.6% | |||||||||||
25 | Call Option on 5 Year Treasury Note Future Expiring 09/22/06 @ $105.50, American Style | 4 | |||||||||
47,943 | EUR Call/USD Put expiring 09/07/06 @ $1.26, Vanilla, European Style | — | (h) | ||||||||
982 | USD Call/ZAR Put expiring 09/26/06 @ ZAR 7.60, One Touch, European Style | — | (h) | ||||||||
1,199 | EUR Call/JPY Put expiring 09/26/06 @ JPY 145.20, One Touch, European Style | — | (h) | ||||||||
15,237 | USD Call/TRY Put expiring 10/09/06 @ TRY 1.55, European Style | 1 | |||||||||
47,943 | EUR Call/USD Put expiring 10/26/06 @ $1.26, Vanilla, European Style | — | (h) |
AS OF AUGUST 31, 2006 (continued)
CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Call Options Purchased — Continued | |||||||||||
15,238 | USD Call/ZAR Put Expiring 11/22/06 @ ZAR 7.40, KnockOut 6.7, European Style | — | (h) | ||||||||
4,080 | USD Call/JPY Put expiring 11/23/06 @ JPY 122.00, One Touch, European Style | 1 | |||||||||
6 | |||||||||||
NOTIONAL AMOUNT($) | |||||||||||
Receiver Swaption on Interest Rate: | |||||||||||
875 | Expiring 07/13/16. If exercised the Fund receives 4.85% and pays floating 3 month LIBOR expiring 07/13/36, European Style | 82 | |||||||||
1,500 | Expiring 08/09/11. If exercised the Fund receives 4.44% and pays floating 3 month LIBOR expiring 08/11/16, European Style | 47 | |||||||||
6,000 | Expiring 04/26/08. If exercised the Fund receives 4.09% and pays floating 3 month LIBOR expiring 04/30/09, European Style | 36 | |||||||||
Receiver/Payer Straddle on Interest Rate Swap: | |||||||||||
1,803 | Expiring 10/25/06. If exercised the Fund receives 5.64% and pays floating 3 month LIBOR expiring 10/27/16, European Style | 51 | |||||||||
3,423 | Expiring 08/04/08. If exercised the Fund receives 5.49% and pays floating 3 month LIBOR expiring 08/06/13, European Style | 133 | |||||||||
1,150 | Expiring 09/15/06. If exercised the Fund receives 5.48% and pays floating 3 month LIBOR expiring 09/19/16, European Style | 18 | |||||||||
367 | |||||||||||
Total Call Options Purchased | 373 | ||||||||||
CONTRACTS | |||||||||||
Put Options Purchased — 0.6% | |||||||||||
15 | U.S. 10 Year Treasury Note Future, expiring 09/22/06 @ $105.00, European Style | — | (h) | ||||||||
17 | Euro CDs, expiring 09/18/06 @ $94.13, European Style | — | (h) | ||||||||
78 | Euro CDs, expiring 09/18/06 @ $94.50, European Style | — | (h) | ||||||||
20 | Euro CDs, expiring 12/18/06 @ $94.63, European Style | 3 | |||||||||
47,943 | EUR Call/USD Put expiring 09/07/06 @ $1.30, Vanilla, European Style | — | (h) | ||||||||
47,943 | EUR Call/USD Put expiring 10/26/06 @ $1.26, Vanilla, European Style | — | (h) | ||||||||
20,394 | EUR Put/PLN Call expiring 12/29/06 @ PLN 140.00, Vanilla, European Style | — | (h) | ||||||||
2,586 | EUR Call/GBP Put expiring 02/06/07 @ GBP 0.65, One Touch, European Style | — | (h) | ||||||||
12,674 | EUR Call/USD Put expiring 06/25/07 @ $1.00, One Touch, European Style | — | (h) | ||||||||
3 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — Continued | ||||||||||||||||||
1,500 | FNMA, 30 Year Fixed, 6.50%, TBA Expiring 09/06/06 @ $100.69, European Style | — | (h) | |||||||||||||||
3,945 | FNMA, 30 Year Fixed, 5.50%, TBA Expiring 09/06/06 @ $96.09, European Style | — | (h) | |||||||||||||||
1,370 | FNMA, 30 Year Fixed, 6.00%, TBA Expiring 09/06/06 @ $97.90, European Style | — | (h) | |||||||||||||||
Payer Swaption on Interest Rate: | ||||||||||||||||||
6,000 | Expiring 04/26/08. If exercised the Fund pays 4.09% and receives floating 3 month LIBOR expiring 04/30/09, European Style | 15 | ||||||||||||||||
1,500 | Expiring 08/09/11. If exercised the Fund pays 4.44% and receives floating 3 month LIBOR expiring 08/11/16, European Style | 34 | ||||||||||||||||
875 | Expiring 07/13/16. If exercised the Fund pays 4.85% and receives floating 3 month LIBOR expiring 07/13/36, European Style | 50 | ||||||||||||||||
3,620 | Expiring 05/19/08. If exercised the Fund pays 5.76% and receives floating 3 month LIBOR expiring 05/21/38, European Style | 123 | ||||||||||||||||
3,475 | Expiring 05/19/08. If exercised the Fund pays 5.76% and receives floating 3 month LIBOR expiring 05/21/38, European Style | 118 | ||||||||||||||||
1,432 | Expiring 09/06/06. If exercised the Fund pays 6.10% and receives floating 3 month LIBOR expiring 09/08/16, European Style | — | (h) | |||||||||||||||
1,600 | Expiring 12/06/06. If exercised the Fund pays 4.25% and receives floating 3 month LIBOR expiring 12/08/06, European Style | 23 | ||||||||||||||||
363 | ||||||||||||||||||
Total Put Options Purchased | 366 | |||||||||||||||||
Total Options Purchased (Cost $946) | 739 |
PRINCIPAL AMOUNT($) | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 4.9% | |||||||||||
Investment Company — 4.7% | |||||||||||
2,842 | JPMorgan Prime Money Market Fund (b) (m) (Cost $2,842) | 2,842 | |||||||||
U.S. Treasury Bills — 0.2% | |||||||||||
100 | U.S. Treasury Bills, 4.83%, 09/28/06 (m) (Cost $100) | 100 | |||||||||
Total Short-Term Investments (Cost $2,942) | 2,942 | ||||||||||
Total Investments — 112.7% (Cost $69,115) | 68,118 | ||||||||||
Liabilities in Excess of Other Assets — (12.7)% | (7,684 | ) | |||||||||
NET ASSETS — 100.0% | $ | 60,434 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
5 | Eurodollar | September, 2006 | $ | 1,183 | $ | 1 | ||||||||||||
5 | Australia 90 Day Treasury Bill | December, 2006 | 1,467 | 1 | ||||||||||||||
27 | Canada 3 Month Bankers | December, 2006 | 5,856 | 14 | ||||||||||||||
5 | U.K. Treasury Gilt | December, 2006 | 1,049 | 3 | ||||||||||||||
17 | 2 Year U.S. Treasury Notes | December, 2006 | 3,474 | 7 | ||||||||||||||
43 | 5 Year U.S. Treasury Notes | December, 2006 | 4,520 | 14 | ||||||||||||||
19 | 10 Year U.S. Treasury Notes | December, 2006 | 2,040 | 9 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(9) | Euro-Schatz | September, 2006 | (1,202 | ) | — | (h) | ||||||||||||
(15) | Euro-Bobl | September, 2006 | (2,123 | ) | (12 | ) | ||||||||||||
(10) | Euro-Bund | September, 2006 | (1,515 | ) | (6 | ) | ||||||||||||
(5) | Australia 90 Day Treasury Bill | December, 2006 | (1,467 | ) | 5 | |||||||||||||
(1) | Euro-Bobl | December, 2006 | (141 | ) | — | (h) | ||||||||||||
(5) | 2 Year U.S. Treasury Notes | December, 2006 | (1,022 | ) | (2 | ) | ||||||||||||
(35) | 5 Year U.S. Treasury Notes | December, 2006 | (3,679 | ) | (6 | ) | ||||||||||||
(23) | 10 Year U.S. Treasury Notes | December, 2006 | (2,470 | ) | (11 | ) | ||||||||||||
(27) | Canada 3 Month Bankers | March, 2007 | (5,859 | ) | (17 | ) | ||||||||||||
(6) | Euro Swiss Franc 3 Month LIFFE | March, 2007 | (1,192 | ) | — | (h) | ||||||||||||
$ | — | (h) |
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
79,195 | AUD for | |||||||||||||||||||||||
67,290 | CAD | 11/14/2006 | $ | 61 | # | $ | 60 | # | $ | (1 | ) | |||||||||||||
80,007 | AUD for | |||||||||||||||||||||||
74,063 | CHF | 11/14/2006 | 60 | # | 61 | # | 1 | |||||||||||||||||
39,889 | AUD for | |||||||||||||||||||||||
48,348 | NZD | 11/14/2006 | 31 | # | 30 | # | (1 | ) | ||||||||||||||||
33,531 | CAD for | |||||||||||||||||||||||
39,525 | AUD | 11/14/2006 | 30 | # | 31 | # | 1 | |||||||||||||||||
68,793 | CAD for | |||||||||||||||||||||||
48,122 | EUR | 11/14/2006 | 61 | # | 62 | # | 1 | |||||||||||||||||
65,449 | CAD for | |||||||||||||||||||||||
6,821,257 | JPY | 11/14/2006 | 58 | # | 59 | # | 1 | |||||||||||||||||
74,772 | CAD | 11/14/2006 | 68 | 68 | — | (h) | ||||||||||||||||||
74,782 | CHF for | |||||||||||||||||||||||
79,959 | AUD | 11/14/2006 | 61 | # | 61 | # | — | (h) | ||||||||||||||||
26,134 | EUR for | |||||||||||||||||||||||
3,845,045 | JPY | 11/14/2006 | 33 | # | 34 | # | 1 |
AS OF AUGUST 31, 2006 (continued)
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
24,048 | EUR for | |||||||||||||||||||||||
194,023 | NOK | 11/14/2006 | 31 | # | 31 | # | — | (h) | ||||||||||||||||
38,131 | EUR for | |||||||||||||||||||||||
148,969 | PLN | 11/14/2006 | 48 | # | 49 | # | 1 | |||||||||||||||||
138,211 | EUR | 09/25/2006 | 177 | 177 | — | (h) | ||||||||||||||||||
179,375 | EUR | 11/14/2006 | 232 | 230 | (2 | ) | ||||||||||||||||||
30,555 | GBP | 09/25/2006 | 57 | 58 | 1 | |||||||||||||||||||
49,501 | GBP | 11/14/2006 | 94 | 94 | — | (h) | ||||||||||||||||||
7,292,408 | JPY for | |||||||||||||||||||||||
71,137 | CAD | 11/14/2006 | 65 | # | 63 | # | (2 | ) | ||||||||||||||||
3,484,752 | JPY for | |||||||||||||||||||||||
23,687 | EUR | 11/14/2006 | 31 | # | 30 | # | (1 | ) | ||||||||||||||||
1,760,500 | JPY for | |||||||||||||||||||||||
24,241 | SGD | 11/14/2006 | 16 | # | 15 | # | (1 | ) | ||||||||||||||||
2,723,371 | JPY | 09/25/2006 | 24 | 23 | (1 | ) | ||||||||||||||||||
8,829,550 | JPY | 11/14/2006 | 78 | 76 | (2 | ) | ||||||||||||||||||
194,022 | NOK for | |||||||||||||||||||||||
24,000 | EUR | 11/14/2006 | 31 | # | 31 | # | — | (h) | ||||||||||||||||
189,633 | NOK for | |||||||||||||||||||||||
216,640 | SEK | 11/14/2006 | 31 | # | 31 | # | — | (h) | ||||||||||||||||
48,348 | NZD for | |||||||||||||||||||||||
40,209 | AUD | 11/14/2006 | 31 | # | 32 | # | 1 | |||||||||||||||||
51,585 | NZD | 11/14/2006 | 32 | 34 | 2 | |||||||||||||||||||
233,525 | PLN for | |||||||||||||||||||||||
59,232 | EUR | 11/14/2006 | 76 | # | 75 | # | (1 | ) | ||||||||||||||||
550,000 | PLN | 09/25/2006 | 173 | 179 | 6 | |||||||||||||||||||
48,004 | SGD for | |||||||||||||||||||||||
3,522,406 | JPY | 11/14/2006 | 30 | # | 31 | # | 1 | |||||||||||||||||
577,392 | THB for | |||||||||||||||||||||||
11,940 | EUR | 11/14/2006 | 15 | # | 15 | # | — | (h) | ||||||||||||||||
67,957 | TRY | 11/14/2006 | 45 | 45 | — | (h) | ||||||||||||||||||
$ | 1,780 | $ | 1,785 | $ | 5 |
CONTRACTS TO SELL | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
137,461 | CAD | 11/14/06 | $ | 123 | $ | 125 | $ | (2 | ) | |||||||||||||||
138,211 | EUR | 09/25/06 | 176 | 177 | (1 | ) | ||||||||||||||||||
146,317 | EUR | 11/14/06 | 188 | 188 | — | (h) | ||||||||||||||||||
50,862 | GBP | 09/25/06 | 94 | 97 | (3 | ) | ||||||||||||||||||
49,501 | GBP | 11/14/06 | 94 | 94 | — | (h) | ||||||||||||||||||
2,723,371 | JPY | 09/25/06 | 24 | 23 | 1 | |||||||||||||||||||
10,446,070 | JPY | 11/14/06 | 91 | 90 | 1 | |||||||||||||||||||
3,071,746 | MXN | 09/25/06 | 267 | 281 | (14 | ) | ||||||||||||||||||
328,446 | MXN | 11/14/06 | 30 | 30 | — | (h) | ||||||||||||||||||
98,663 | NZD | 11/14/06 | 63 | 64 | (1 | ) | ||||||||||||||||||
47,734 | SGD | 11/14/06 | 30 | 30 | — | (h) | ||||||||||||||||||
577,392 | THB | 11/14/06 | 15 | 15 | — | (h) | ||||||||||||||||||
90,829 | TRY | 11/14/06 | 60 | 60 | — | (h) | ||||||||||||||||||
$ | 1,255 | $ | 1,274 | $ | (19 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 08/31/06 of the currency being sold and the value at 08/31/06 is the U.S. Dollar market value of the currency being purchased. |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE(USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(2,900) | FNMA,TBA, 5.00%, 09/25/36 (Proceeds received $2,751) | $(2,780) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future | $ | 106.00 | 11/21/06 | 16 | $ | (17 | ) | $ | (27 | ) | ||||||||||||
USD Call/TRY Put | 1.65 | 10/09/06 | 15,237 | — | (h) | — | (h) | |||||||||||||||
USD Call/ZAR Put, Vanilla | 8.00 | 11/22/06 | 15,238 | — | (h) | — | (h) | |||||||||||||||
�� | $ | (17 | ) | $ | (27 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Euro Dollar Future | $ | 94.63 | 09/18/06 | 30 | $ | (2 | ) | $ | (2 | ) | ||||||||||||
U.S. 10 Year Treasury Note Future | 108.00 | 09/22/06 | 17 | (2 | ) | (3 | ) | |||||||||||||||
U.S. 10 Year Treasury Note Future | 106.00 | 11/21/06 | 16 | (12 | ) | (5 | ) | |||||||||||||||
1 Year Mid Curve Future | 95.13 | 09/20/06 | 11 | (3 | ) | (8 | ) | |||||||||||||||
$ | (19 | ) | $ | (18 | ) |
AS OF AUGUST 31, 2006 (continued)
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL VALUE(USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA, American Style | $ | 94.95 | 09/06/06 | $ | 7,890 | $ | (32 | ) | $ | — | (h) | |||||||||||
FNMA, 30 Year Fixed, 6.50%, TBA, American Style | 99.91 | 09/06/06 | 3,000 | (7 | ) | — | (h) | |||||||||||||||
FNMA, 30 Year Fixed, 6.00%, TBA, European Style | 97.07 | 09/06/06 | 2,740 | (8 | ) | — | (h) | |||||||||||||||
$ | (47 | ) | $ | — | (h) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE(USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.52% quarterly | 08/17/09 | 08/19/19 | $ 710 | $ (53) | $ (55) | ||||||||||||||||||||
Credit Suisse International | 5.49% quarterly | 08/18/09 | 08/20/19 | 1,060 | (80) | (83) | ||||||||||||||||||||
Credit Suisse International | 5.61% quarterly | 08/04/08 | 08/06/18 | 1,949 | (127) | (128) | ||||||||||||||||||||
Deutsche Bank AG, New York | 5.33% quarterly | 02/02/07 | 02/06/09 | 7,795 | (62) | (61) | ||||||||||||||||||||
$(322) | $ (327) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE(USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | 3.92% quarterly | 04/26/07 | 04/30/08 | EUR 8,000 | $(23) | $(24) | ||||||||||||||||||||
Morgan Stanley Capital Services | 4.21% quarterly | 09/08/06 | 09/12/16 | EUR 1,000 | (12) | — | ||||||||||||||||||||
Morgan Stanley Capital Services | 3.93% quarterly | 08/09/07 | 08/03/08 | EUR 3,750 | (11) | (8) | ||||||||||||||||||||
Morgan Stanley Capital Services | 4.46% quarterly | 07/07/07 | 07/11/17 | EUR 940 | (22) | (44) | ||||||||||||||||||||
$(68) | $(76) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE(USD) | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | $ 11,946 | $(235) | $(138) | ||||||||||||||||||||
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | 11,468 | (232) | (133) | ||||||||||||||||||||
Morgan Stanley Capital Services | 3.92% quarterly | 04/26/07 | 04/30/08 | EUR 8,000 | (23) | (13) | ||||||||||||||||||||
Morgan Stanley Capital Services | 4.21% quarterly | 09/08/06 | 09/12/16 | EUR 1,000 | (12) | (21) | ||||||||||||||||||||
Morgan Stanley Capital Services | 4.46% quarterly | 07/07/07 | 07/11/17 | EUR 940 | (22) | (8) | ||||||||||||||||||||
Morgan Stanley Capital Services | 3.93% quarterly | 08/09/07 | 08/13/08 | EUR 3,750 | (11) | (14) | ||||||||||||||||||||
$(535) | $(327) |
* | The Fund will pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund will pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund will receive a floating rate based on 3-month USD LIBOR, if exercised. |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
Barclays Capital | 5.45% semi-annually | 3 month LIBOR quarterly | 06/08/11 | $ | 920 | $ | (11 | ) | ||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 5.63% semi-annually | 07/13/08 | 3,220 | 23 | |||||||||||||||||
Citibank, N.A. | 5.63% semi-annually | 3 month LIBOR quarterly | 07/13/11 | 1,400 | (27 | ) | ||||||||||||||||
Citibank, N.A. | 2.20% semi-annually | 6 month JPY LIBOR | 07/11/16 | JPY 30,000 | (8 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.69% semi-annually | 06/07/36 | $ | 560 | 23 | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 1,600 | 73 |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | $ | 1,593 | $ | 48 | |||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.39% semi-annually | 06/07/08 | 4,310 | 12 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.41% semi-annually | 08/02/08 | 5,785 | 20 | |||||||||||||||||
Deutsche Bank AG, New York | 5.33% semi-annually | 3 month LIBOR quarterly | 08/31/08 | 363 | (1 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.23% semi-annually | 02/20/09 | 906 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.19% semi-annually | 02/22/09 | 634 | 1 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.08% semi-annually | 03/05/09 | 1,668 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.66% semi-annually | 3 month LIBOR quarterly | 07/05/11 | 1,050 | (21 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.43% semi-annually | 3 month LIBOR quarterly | 08/02/11 | 5,005 | (51 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.33% semi-annually | 3 month LIBOR quarterly | 08/18/11 | 1,100 | (7 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 08/19/11 | 830 | (13 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.27% semi-annually | 3 month LIBOR quarterly | 08/22/11 | 900 | (3 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 11,281 | (136 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 06/07/16 | 2,115 | (46 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.75% semi-annually | 3 month LIBOR quarterly | 07/05/16 | 400 | (14 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.55% semi-annually | 08/02/16 | 1,420 | 28 | |||||||||||||||||
Deutsche Bank AG, New York | 5.43% semi-annually | 3 month LIBOR quarterly | 08/18/16 | 400 | (4 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.37% semi-annually | 3 month LIBOR quarterly | 08/22/16 | 500 | (3 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.29% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 404 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.37% semi-annually | 09/05/18 | 437 | — | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.51% semi-annually | 07/24/08 | 4,250 | 20 | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.32% semi-annually | 08/18/08 | 8,690 | 16 | |||||||||||||||||
Goldman Sachs Capital Management | 5.53% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 1,845 | (28 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.30% semi-annually | 3 month LIBOR quarterly | 08/18/11 | 3,570 | (17 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.15% annually | 6 month EURIBOR | 03/20/36 | EUR 360 | (9 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.50% semi-annually | 07/24/08 | $ | 5,825 | 28 | ||||||||||||||||
Lehman Brothers Special Financing | 5.52% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 5,055 | (72 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3.88% annually | 6 month EURIBOR | 03/21/16 | EUR 750 | 6 | |||||||||||||||||
Lehman Brothers Special Financing | 5.79% semi-annually | 3 month LIBOR quarterly | 06/27/16 | $ | 555 | (21 | ) | |||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.62% semi-annually | 07/24/16 | 1,440 | 36 | |||||||||||||||||
Lehman Brothers Special Financing | 5.41% semi-annually | 3 month LIBOR quarterly | 08/18/16 | 375 | (3 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.64% semi-annually | 3 month LIBOR quarterly | 08/30/16 | 1,050 | (28 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.31% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 415 | — | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.53% semi-annually | 07/24/08 | 5,665 | 29 | |||||||||||||||||
Merrill Lynch Capital Services | 5.54% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 2,460 | (37 | ) | ||||||||||||||||
Merrill Lynch Capital Services, Inc. | 4.79% annually | 3 month CDOR | 07/07/11 | CAD 370 | (7 | ) | ||||||||||||||||
Merrill Lynch Capital Services, Inc. | 4.00% annually | 3 month SEK STIBOR | 08/25/11 | SEK 1,000 | — | |||||||||||||||||
Morgan Stanley Capital Services | 4.40% semi-annually | 6 month GBP LIBOR | 04/07/36 | GBP 200 | 19 | |||||||||||||||||
Morgan Stanley Capital Services | 4.85 % semi-annually | 6 month EURIBOR | 07/11/36 | EUR 181 | (7 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3.03% at expiration | Percentage difference between the UKRPI as of March 2046 and 195 | 05/25/46 | GBP 130 | 3 | |||||||||||||||||
Morgan Stanley Capital Services | 3.13% at expiration | Percentage difference between the UKRPI as of June 2046 and 198.5 | 08/15/46 | GBP 40 | (1 | )�� | ||||||||||||||||
Morgan Stanley Capital Services | 6 month LIBOR | 4.75% semi-annually | 03/07/11 | GBP 780 | (20 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3.99% annually | 3 month SEK STIBOR | 08/04/11 | SEK 2,390 | (2 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 4.07% annually | 3 month SEK STIBOR | 08/11/11 | SEK 2,380 | (3 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 4.44% semi-annually | 6 month EURIBOR semi-annually | 08/11/11 | EUR 160 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3.94% annually | 6 month EURIBOR semi-annually | 08/21/11 | EUR 160 | $ | (1 | ) | |||||||||||||||
Morgan Stanley Capital Services | 6 month Polish WIBOR | 5.40% semi-annually | 08/21/11 | PLN 630 | — |
AS OF AUGUST 31, 2006 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
Morgan Stanley Capital Services | Percentage difference between the UKRPI as of March 2016 and 195 | 2.99% at expiration, semi-annually | 05/25/16 | GBP 400 | $ | (9 | ) | |||||||||||||||
Morgan Stanley Capital Services | Percentage difference between the UKRPI as of June 2016 and 198.5 | 3.11% at expiration | 08/15/16 | GBP 100 | 1 | |||||||||||||||||
Morgan Stanley Capital Services | 6 month EURIBOR | 4.46% semi-annually | 07/11/17 | EUR 40 | 2 | |||||||||||||||||
$ | (221 | ) |
(r) | Rates shown are per annum and payments are as described. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Capital | Gazprom, 8.63%, 04/28/34 | Sell | 156 BPS quarterly | 10/20/10 | $ | 1,000 | $ | 35 | ||||||||||||||||||
Barclays Capital | Russian Federation, 5.00%, 03/31/30 | Buy | 77 BPS semi-annually | 10/20/10 | 1,000 | (15 | ) | |||||||||||||||||||
Credit Suisse International | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 64 BPS semi-annually | 06/20/08 | 1,560 | (11 | ) | |||||||||||||||||||
Credit Suisse International | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 175 BPS semi-annually | 06/20/11 | 710 | 16 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 29 BPS semi-annually | 05/20/08 | 3,430 | (9 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Buy | 53 BPS semi-annually | 02/20/11 | 600 | 3 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 02/20/11 | 600 | (1 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Sell | 66.75 BPS semi-annually | 05/20/11 | 1,540 | 16 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 06/20/11 | 430 | (9 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 06/20/11 | 430 | 8 | ||||||||||||||||||||
Deutsche Bank AG, New York* | Dow Jones CDX.NA.IG.6 | Buy | 40 BPS quarterly | 06/20/11 | 1,800 | (3 | ) | |||||||||||||||||||
Deutsche Bank AG, New York** | Dow Jones CDX.NA.IG.6 | Buy | 40 BPS quarterly | 06/20/11 | 4,800 | (8 | ) | |||||||||||||||||||
Deutsche Bank AG, New York*** | Dow Jones CDX.NA.IG.6 | Buy | 40 BPS quarterly | 06/20/11 | 1,750 | (3 | ) | |||||||||||||||||||
Deutsche Bank AG, New York**** | Dow Jones CDX.NA.IG.HVOL 6 | Sell | 75 BPS quarterly | 06/20/11 | 1,200 | (1 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 190 BPS quarterly | 09/20/11 | 400 | (4 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 176.50 BPS quarterly | 09/20/11 | 400 | 3 | ||||||||||||||||||||
Lehman Brothers Special Financing***** | Dow Jones CDX.NA.IG.6 | Buy | 40 BPS quarterly | 06/20/11 | 1,800 | 3 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 550 | 6 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 550 | 6 | ||||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 54 BPS semi-annually | 10/20/07 | 550 | (2 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Buy | 61 BPS semi-annually | 10/20/07 | 550 | (3 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 58 BPS semi-annually | 06/20/08 | 500 | (2 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 58 BPS semi-annually | 06/20/08 | 500 | (2 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 261.50 BPS semi-annually | 10/20/10 | 800 | (54 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 303.50 BPS semi-annually | 10/20/10 | 800 | 37 | ||||||||||||||||||||
Lehman Brothers Special Financing | United Mexican States, 8.30%, 05/08/33 | Buy | 53 BPS semi-annually | 03/18/11 | 1,250 | (7 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 5.00%, 03/31/30 | Sell | 54 BPS semi-annually | 03/18/11 | 1,250 | 6 | ||||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 173 BPS semi-annually | 06/20/11 | 210 | 4 | ||||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 173 BPS semi-annually | 06/20/11 | 210 | 4 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Sell | 119 BPS semi-annually | 09/20/11 | 140 | — | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 120 BPS semi-annually | 09/20/11 | 140 | — | ||||||||||||||||||||
Morgan Stanley Capital Services | ALROSA Finance, SA, 8.88%, 11/17/14 | Sell | 65 BPS semi-annually | 11/01/06 | 260 | — | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Brazil, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | 300 | (25 | ) |
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 Brazil, 12.25%, 03/06/30 | Buy | 335 BPS semi-annually | 10/20/10 | $ | 100 | $ | (10 | ) | |||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 300 | 19 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 100 | 9 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 2.25%, 03/31/30 | Buy | 69 BPS semi-annually | 06/20/11 | 1,150 | (11 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 206 BPS semi-annually | 06/20/11 | 1,150 | 26 | ||||||||||||||||||||
Morgan Stanley Capital Services | Republic of Venezuela, 9.25%, 08/20/11 | Sell | 132.50 BPS semi-annually | 08/20/11 | 370 | (1 | ) | |||||||||||||||||||
$ | 20 |
* | Premium received of $2 |
** | Premium received of $4 |
*** | Premium paid of $1 |
**** | Premium paid of less than $1 |
***** | Premium received of $1 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, London (a) | Government of Japan, 1.00%, 06/10/16 | 102.02 | 10/05/06 | JPY 19,000 | — | |||||||||||||||||
Deutsche Bank AG, London (b) | 10 Year Japanese Government Bond, 1.90%, 06/20/16 | 100.13 | 10/05/06 | JPY 19,000 | — | |||||||||||||||||
Deutsche Bank AG, New York (a) | FHLB, 5.38%, 8/19/11 | $ | 101.03 | 09/21/06 | $ | 830 | $ | 4 | ||||||||||||||
Lehman Brothers Special Financing (a) | FHLMC, 5.75%, 6/27/16 | 100.70 | 09/07/06 | 555 | 13 | |||||||||||||||||
Lehman Brothers Special Financing (a) | U.S. Treasury TIPS, 2.00%, 01/15/26 | 95.73 | 09/28/06 | 3,535 | 23 | |||||||||||||||||
Lehman Brothers Special Financing (a) | U.S. Treasury TIPS, 3.88%, 04/15/29 | 129.10 | 09/28/06 | 5,405 | 45 | |||||||||||||||||
Morgan Stanley Capital Services (a) | Government of Japan, 1.00%, 06/10/16 | 99.40 | 10/03/06 | JPY 19,000 | 1 | |||||||||||||||||
Morgan Stanley Capital Services (b) | 10 Year Japanese Government Bond, 1.90%, 06/20/16 | 99.81 | 10/03/06 | JPY 20,000 | (4 | ) | ||||||||||||||||
Union Bank of Switzerland AG, Warburg (a) | Government of France, 3.15%, 07/15/32 | 129.23 | 09/26/06 | EUR 155 | 1 | |||||||||||||||||
Union Bank of Switzerland AG, Warburg (b) | U.K. Treasury Gilt, 2.00%, 01/26/35 | 134.14 | 09/09/06 | GBP 75 | (8 | ) | ||||||||||||||||
$ | 75 |
(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. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | Expiration Date | | Notional Amount(USD) | | Value (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | Lehman AAA 8.5 Year+CMBS Index | Spread Lock with carry amount+10 bps | Total Return on Lehman AAA 8.5 Year+CMBS Index | 12/01/07 | $ | 2,200 | $ | — | (h) |
AS OF AUGUST 31, 2006
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 84.0% | |||||||||||
Preferred Stocks — 1.3% | |||||||||||
Commercial Banks — 0.1% | |||||||||||
700 | Royal Bank of Scotland Group plc (ADR) (United Kingdom), Series 1, 9.12%, 12/31/49 | 779 | |||||||||
Diversified Financial Services — 0.7% | |||||||||||
7 | Pinto Totta International Finance, VAR, 7.77%, 08/01/07 (e) (m) | 6,738 | |||||||||
Electric Utilities — 0.2% | |||||||||||
2,100 | Alabama Power Capital Trust, VAR, 5.50%, 10/01/42 (m) | 2,089 | |||||||||
Oil, Gas & Consumable Fuels — 0.3% | |||||||||||
3,600 | Valero Energy Corp., 3.50%, 04/01/09 (a) | 3,438 | |||||||||
Total Preferred Stocks (Cost $13,889) | 13,044 |
PRINCIPAL AMOUNT($) | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Backed Securities — 17.3% | ||||||||||
American Express Credit Account Master Trust, | ||||||||||
1,627 | Series 2004-C, Class C, FRN, 5.83%, 02/15/12 (e) (m) | 1,631 | ||||||||
2,800 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 2,742 | ||||||||
4,900 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 4,865 | ||||||||
544 | Asset Backed Funding Corp. NIM Trust, Series 2005-WMC1, Class N1, 5.90%, 07/26/35 (e) (m) | 543 | ||||||||
4,158 | Asset Backed Securities Corp Home Equity, Series 2006-HE5, Class M2, FRN, 5.62%, 07/25/36 (m) | 4,158 | ||||||||
3,500 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.56%, 11/15/11 (m) | 3,499 | ||||||||
Capital One Auto Finance Trust, | ||||||||||
534 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 526 | ||||||||
5,500 | Series 2006-B, Class A3A, 5.45%, 02/15/11 (m) | 5,520 | ||||||||
3,400 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 3,348 | ||||||||
CARSS Finance LP (Cayman Islands), | ||||||||||
182 | Series 2004-A, Class B1, FRN, 5.61%, 01/15/11 (e) (m) | 182 | ||||||||
170 | Series 2004-A, Class B2, FRN, 6.28%, 01/15/11 (e) (m) | 170 | ||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||
10,250 | Series 2006-WFH2, Class A2A, FRN, 5.48%, 08/25/36 (m) | 10,250 | ||||||||
3,600 | Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 3,548 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset Backed Securities — Continued | |||||||||||
3,250 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 3,204 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
2,200 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 2,171 | |||||||||
3,750 | Series 2006-3, Class 2A2, FRN, 5.50%, 10/25/34 (m) | 3,756 | |||||||||
9,000 | Series 2006-11, Class 1AF2, VAR, 6.02%, 09/25/46 (m) | 9,079 | |||||||||
289 | EQCC Home Equity Loan Trust, Series 2002-1, Class 2A, FRN, 5.62%, 11/25/31 (m) | 289 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, | |||||||||||
2,400 | Series 2002-1, Class 2A, FRN, 5.51%, 03/25/36 (m) | 2,404 | |||||||||
6,000 | Series 2006-FF11, Class 2A3, FRN, 5.49%, 08/25/36 | 6,000 | |||||||||
12,000 | GE-WMC Mortgage Securities LLC, Series 2006-1, Class A2B, FRN, 5.47%, 08/25/36 (m) | 12,000 | |||||||||
9,000 | GSAA Trust, Series 2006-11, Class 2A2, FRN, 5.49%, 07/25/36 (m) | 9,000 | |||||||||
4,750 | GSAMP Trust, Series 2006-NC1, Class A2, 5.50%, 02/25/36 (m) | 4,758 | |||||||||
4,400 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 5.50%, 07/25/36 (m) | 4,407 | |||||||||
Household Automotive Trust, | |||||||||||
1,625 | Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 1,596 | |||||||||
9,000 | Series 2006-2, Class A3, 5.61%, 08/17/11 (m) | 9,088 | |||||||||
HSI Asset Securitization Corp. Trust, | |||||||||||
5,550 | Series 2006-OPT1, Class 2A3, FRN, 5.51%, 12/25/35 (m) | 5,561 | |||||||||
5,700 | Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 5,711 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
4,000 | Series 2004-3, Class M1, FRN, 5.89%, 07/25/34 (m) | 4,032 | |||||||||
6,000 | Series 2006-2, Class 2A3, FRN, 5.51%, 03/25/36 (m) | 6,011 | |||||||||
2,400 | Series 2006-5, Class M1, FRN, 5.61%, 06/25/36 (m) | 2,401 | |||||||||
2,000 | Series 2006-5, Class M2, FRN, 5.63%, 06/25/36 (m) | 2,000 | |||||||||
4,850 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 4,860 | |||||||||
2,900 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 5.52%, 01/25/37 (m) | 2,901 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset Backed Securities — Continued | |||||||||||
3,827 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 3,788 | |||||||||
4,200 | Residential Asset Mortgage Products, Inc., Series 2006-EFCI, Class A2, FRN, 5.52%, 04/25/35 | 4,207 | |||||||||
5,400 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 5.51%, 03/25/35 | 5,401 | |||||||||
4,150 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 5.50%, 12/25/35 | 4,157 | |||||||||
423 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class N1, 5.68%, 12/25/35 (e) | 421 | |||||||||
6,000 | Structured Asset Securities Corp, Series 2006-WF2, Class M2, FRN, 5.61%, 07/25/36 | 6,002 | |||||||||
Volkswagen Auto Lease Trust, | |||||||||||
6,500 | Series 2006-2, Class A3, 5.50%, 09/21/09 | 6,536 | |||||||||
5,000 | Series 2006-2, Class M1, FRN, 5.60%, 07/25/36 | 5,000 | |||||||||
Total Asset Backed Securities (Cost $177,732) | 177,723 | ||||||||||
Collateralized Mortgage Obligations — 14.8% | |||||||||||
Agency CMO — 4.8% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
49,874 | Series 239, Class S30, IF, IO, 2.35%, 08/15/36 (m) | 4,177 | |||||||||
24,922 | Series 240, Cass S22, IF, IO, 1.82%, 07/15/36 (m) | 2,005 | |||||||||
6,508 | Series 2564, Class LS, IF, IO, 2.32%, 01/15/17 (m) | 386 | |||||||||
6,971 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 269 | |||||||||
3,325 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 376 | |||||||||
6,955 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 341 | |||||||||
3,815 | Series 2780, Class IE, IO, 4.50%, 05/15/11 (m) | 52 | |||||||||
15,320 | Series 2791, Class SI, IF, IO, 1.82%, 12/15/31 (m) | 804 | |||||||||
13,083 | Series 2814, Class S, IF, IO, 1.77%, 10/15/30 (m) | 552 | |||||||||
10,334 | Series 2852, IO, 5.00%, 11/15/25 (m) | 973 | |||||||||
5,628 | Series 2894, Class S, IF, IO, 1.87%, 03/15/31 (m) | 324 | |||||||||
8,463 | Series 2980, Class LI, IO, 5.50%, 04/15/25 (m) | 775 | |||||||||
18,503 | Series 3126, Class BS, IF, IO, 1.87%, 02/15/36 (m) | 1,553 | |||||||||
Federal National Mortgage Association, | |||||||||||
10,337 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 414 | |||||||||
10,098 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 10,329 | |||||||||
4,864 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 4,975 | |||||||||
8,311 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 8,501 | |||||||||
10,608 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 10,851 | |||||||||
Government National Mortgage Association, | |||||||||||
27,572 | Series 2003-85, Class CS, IF, IO, 1.88%, 02/20/24 (m) | 939 | |||||||||
9,914 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 647 | |||||||||
49,243 | |||||||||||
Non-Agency CMO — 10.0% | |||||||||||
413 | ABN Amro Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 410 | |||||||||
4,836 | Bank of America Funding Corp., Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 4,789 | |||||||||
2,183 | Bank of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 2,169 | |||||||||
1,531 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) | 1,519 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
7,198 | Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 7,163 | |||||||||
6,930 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) | 6,903 | |||||||||
6,110 | Countrywide Home Loan Mortgage Pass Through Trust Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 6,047 | |||||||||
4,703 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 4,651 | |||||||||
2,900 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 2,886 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
5,353 | Series 2005-QS17, Class A10, 6.00%, 12/25/35 | 5,340 | |||||||||
13,323 | Series 2006-QS6, Class 1A2, 6.00%, 06/25/36 (m) | 13,177 | |||||||||
Residential Asset Securitization Trust, | |||||||||||
4,830 | Series 2006-A2, Class A3, 6.00%, 05/25/36 (m) | 4,811 | |||||||||
2,792 | Series 2006-A8, Class 1A1, 6.00%, 08/25/36 | 2,782 | |||||||||
4,400 | Residential Funding Mortgage Section I Series 2005-S7, Class A5, 5.50%, 11/25/35 | 4,351 | |||||||||
4,454 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.98%, 06/25/34 | 4,428 | |||||||||
7,466 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 7,433 | |||||||||
Washington Mutual Alternative Loan Trust, | |||||||||||
9,732 | Series 2006-5, Class 2CB1, 6.00%, 07/25/36 | 9,689 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
2,410 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 2,394 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
2,079 | Series 2004-F, Class A8, FRN, 4.73%, 06/25/34 | 2,042 | |||||||||
10,100 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 10,029 | |||||||||
103,013 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $154,530) | 152,256 | ||||||||||
Commercial Mortgage Backed Securities — 9.4% | |||||||||||
1,250 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,216 | |||||||||
9,900 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 9,743 | |||||||||
2,594 | CR, Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (m) | 2,629 | |||||||||
9,650 | Credit Suisse Mortgage Capital Certificates, Series 2006-C1, Class A2, VAR, 5.51%, 02/15/39 (m) | 9,718 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
3,800 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 3,933 | |||||||||
3,700 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 3,610 | |||||||||
835 | First Union Commercial Mortgage Securities, Inc., Series 1997-C1, Class A3, 7.38%, 04/18/29 (m) | 837 | |||||||||
4,100 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A2, 4.31%, 08/10/42 (m) | 3,991 | |||||||||
5,550 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 5,461 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
2,950 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 2,866 | |||||||||
7,300 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 7,071 | |||||||||
8,300 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 8,016 | |||||||||
1,800 | Series 2006-C1, Class A2, 5.08%, 02/15/31 (m) | 1,788 | |||||||||
Merrill Lynch Mortgage Trust, | |||||||||||
1,700 | Series 2005-CKI1, Class A2, VAR, 5.40%, 11/12/37 (m) | 1,700 | |||||||||
10,000 | Series 2006-C1, Class A2, VAR, 5.80%, 05/12/39 (m) | 10,150 | |||||||||
Morgan Stanley Capital I, | |||||||||||
6,220 | Series 1998-HF2, Class A2, 6.48%, 11/15/30 (m) | 6,320 | |||||||||
4,300 | Series 2006-T21, Class A2, 5.09%, 10/12/52 (m) | 4,269 | |||||||||
5,000 | Series 2006-T23, Class A2, VAR, 5.91%, 08/12/41 (m) | 5,107 | |||||||||
7,900 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 7,781 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $98,173) | 96,206 | ||||||||||
Corporate Bonds — 28.2% | |||||||||||
Air Freight & Logistics — 0.4% | |||||||||||
3,950 | FedEx Corp., FRN, 5.58%, 08/08/08 (m) | 3,950 | |||||||||
Automobiles — 0.2% | |||||||||||
2,150 | DaimlerChrysler NA Holding Corp., 5.75%, 05/18/09 (m) | 2,157 | |||||||||
Capital Markets — 4.5% | |||||||||||
7,000 | Bear Stearns Cos., Inc. (The), FRN, 5.64%, 04/29/08 (m) | 7,018 | |||||||||
Goldman Sachs Group, Inc. | |||||||||||
8,900 | FRN, 5.53%, 12/22/08 (m) | 8,908 | |||||||||
3,000 | FRN, 5.54%, 11/10/08 (m) | 3,003 | |||||||||
3,300 | FRN, 5.54%, 06/23/09 (m) | 3,300 | |||||||||
8,200 | Links Finance LLC, FRN, 5.58%, 09/15/08 (e) (i) (m) | 8,207 | |||||||||
10,000 | Merrill Lynch & Co., Inc., FRN, 5.49%, 08/14/09 (m) | 9,998 | |||||||||
Morgan Stanley & Co., Inc. | |||||||||||
4,000 | FRN, 5.51%, 04/25/08 (m) | 4,002 | |||||||||
2,270 | FRN, 5.55%, 02/09/09 (m) | 2,274 | |||||||||
46,710 | |||||||||||
Chemicals — 0.5% | |||||||||||
3,014 | Huntsman International LLC, 9.88%, 03/01/09 (m) | 3,135 | |||||||||
1,900 | Terra Capital, Inc., 12.88%, 10/15/08 | 2,123 | |||||||||
5,258 | |||||||||||
Commercial Banks — 5.1% | |||||||||||
2,500 | Artesia Bank SC (Belgium), VAR, 7.25%, 09/29/49 (e) (m) | 2,542 | |||||||||
1,200 | Chohung Bank (South Korea), VAR, 4.62%, 11/03/14 (e) (m) | 1,150 | |||||||||
Citibank Korea, Inc. (South Korea), | |||||||||||
2,800 | 6.95%, 12/06/11 | 2,808 | |||||||||
3,350 | VAR, 4.68%, 06/18/13 | 3,335 | |||||||||
1,300 | Deutsche Bank Capital Funding Trust I (Germany), VAR, 7.87%, 12/23/49 (e) (m) | 1,375 | |||||||||
3,940 | ForeningsSparbanken AB (Sweden), VAR, 7.50%, 11/29/49 (e) | 3,951 | |||||||||
2,200 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 2,239 | |||||||||
1,000 | Hana Bank (South Korea), 4.13%, 03/11/09 | 968 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
2,000 | HSBC Capital Funding LP/Jersey Channel Islands (Jersey), VAR, 9.55%, 12/31/49 (e) (m) | 2,267 | |||||||||
2,000 | KBC Bank Funding Trust III, VAR, 9.86%, 11/29/49 (e) (m) | 2,237 | |||||||||
2,200 | Landesbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) | 2,204 | |||||||||
1,700 | Nordea Bank Finland plc (Finland), VAR, 7.50%, 12/31/49 (e) (m) | 1,713 | |||||||||
3,600 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 3,590 | |||||||||
1,800 | Santander US Debt S.A. Unipersonal (Spain), FRN, 5.58%, 10/21/08 (e) | 1,800 | |||||||||
4,200 | Sberbank of Russia (Russia), FRN, 7.24%, 10/24/06 (m) | 4,219 | |||||||||
5,150 | Skandinaviska Enskilda Banken AB (Sweden), VAR, 8.12%, 09/06/06 (e) | 5,150 | |||||||||
2,950 | Svenska Handelsbanken (Sweden), VAR, 7.12%, 03/29/49 (e) | 2,976 | |||||||||
2,000 | UniCredito Italiano Capital Trust II, VAR, 9.20%, 10/29/49 (e) | 2,244 | |||||||||
3,550 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 6.17%, 09/21/07 (e) (m) | 3,556 | |||||||||
800 | Wachovia Capital Trust III, VAR, 5.80%, 03/15/42 | 796 | |||||||||
1,430 | Woori Bank (South Korea), VAR, 5.75%, 03/13/14 (e) | 1,426 | |||||||||
52,546 | |||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||
2,500 | Allied Waste North America, Inc., 8.50%, 12/01/08 (m) | 2,600 | |||||||||
Consumer Finance — 1.3% | |||||||||||
7,000 | HSBC Finance Corp., FRN, 5.70%, 11/16/09 (m) | 7,038 | |||||||||
International Lease Finance Corp. | |||||||||||
1,400 | 3.13%, 05/03/07 (m) | 1,378 | |||||||||
2,100 | 4.35%, 09/15/08 (m) | 2,061 | |||||||||
2,900 | VAR, 6.98%, 10/15/16 (m) | 2,904 | |||||||||
13,381 | |||||||||||
Containers & Packaging — 0.2% | |||||||||||
2,242 | Owens Brockway Glass Container, Inc., 8.88%, 02/15/09 (m) | 2,304 | |||||||||
Diversified Consumer Services — 0.2% | |||||||||||
2,300 | Service Corp. International, 7.70%, 04/15/09 | 2,352 | |||||||||
Diversified Financial Services — 5.8% | |||||||||||
3,600 | BNP US Funding LLC, VAR, 7.74%, 12/29/49 (e) (m) | 3,688 | |||||||||
7,500 | CIT Group, Inc., FRN, 5.61%, 05/23/08 (m) | 7,523 | |||||||||
Counts Trust | |||||||||||
3,450 | Series 2002-10, FRN, 6.19%, 08/15/07 (e) (i) (m) | 3,470 | |||||||||
3,450 | Series 2002-11, FRN, 6.23%, 08/15/07 (e) (i) (m) | 3,469 | |||||||||
6,000 | K2 Corp., VAR, 5.43%, 02/15/09 (i) (m) | 6,000 | |||||||||
2,000 | Mizuho Preferred Capital Co. LLC, VAR, 8.79%, 12/29/49 (e) (m) | 2,109 | |||||||||
6,490 | Natexis Ambs Co. LLC, VAR, 8.44%, 12/29/49 (e) (m) | 6,819 | |||||||||
4,000 | Pemex Finance Ltd. (Cayman Islands), 8.88%, 11/15/10 (m) | 4,292 | |||||||||
6,100 | RACERS, Series 2005-16, Class C, FRN, 5.41%, 03/20/07 (e) (i) (m) | 6,087 | |||||||||
6,600 | Sigma Finance Corp. (Cayman Islands), FRN, 5.07%, 09/15/08 (e) (i) | 6,600 | |||||||||
1,700 | Tokai Preferred Capital Co. LLC, VAR, 9.98%, 12/29/49 (e) | 1,825 | |||||||||
1,100 | Twin Reefs Pass-Through Trust, FRN, 6.37%, 12/31/49 (e) | 1,097 | |||||||||
4,150 | Two-Rock Pass Through Trust (Bermuda), FRN, 6.34%, 12/31/49 (e) | 4,083 | |||||||||
2,800 | ZFS Finance USA Trust, VAR, 6.15%, 12/15/65 (e) | 2,759 | |||||||||
59,821 | |||||||||||
Diversified Telecommunication Services — 0.8% | |||||||||||
2,500 | Qwest Corp., 7.88%, 09/01/11 (m) | 2,606 | |||||||||
2,150 | Telecom Italia Capital S.A. (Luxembourg), 6.20%, 07/18/11 | 2,188 | |||||||||
3,400 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 | 3,451 | |||||||||
8,245 | |||||||||||
Electric Utilities — 1.2% | |||||||||||
1,000 | Appalachian Power Co., 5.55%, 04/01/11 (m) | 1,002 | |||||||||
1,600 | CC Funding Trust I, 6.90%, 02/16/07 (m) | 1,609 | |||||||||
6,050 | FPL Group Capital, Inc. 5.55%, 02/16/08 (m) | 6,050 | |||||||||
3,300 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 3,291 | |||||||||
11,952 | |||||||||||
Energy Equipment & Services — 0.2% | |||||||||||
1,650 | Noble Drilling Corp., 6.95%, 03/15/09 (m) | 1,710 | |||||||||
Food Products — 0.2% | |||||||||||
2,400 | Dean Foods Co., 6.63%, 05/15/09 (m) | 2,406 | |||||||||
Gas Utilities — 0.2% | |||||||||||
1,700 | Southern Natural Gas Co., 8.88%, 03/15/10 | 1,783 | |||||||||
Health Care Equipment & Supplies — 0.3% | |||||||||||
Fresenius Medical Care Capital Trust II, | |||||||||||
2,500 | 7.88%, 02/01/08 (m) | 2,556 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Providers & Services — 0.2% | |||||||||||
2,400 | HCA, Inc., 5.50%, 12/01/09 (m) | 2,367 | |||||||||
Hotels, Restaurants & Leisure — 0.5% | |||||||||||
2,515 | MGM Mirage, 6.00%, 10/01/09 (m) | 2,459 | |||||||||
2,650 | Starwood Hotels & Resorts Worldwide, Inc., 7.38%, 05/01/07 (m) | 2,673 | |||||||||
5,132 | |||||||||||
Insurance — 1.6% | |||||||||||
5,350 | ASIF Global Financing, FRN, 5.62%, 03/14/08 (e) (m) | 5,361 | |||||||||
7,000 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 7,039 | |||||||||
3,650 | Oil Insurance Ltd. (Bermuda), VAR, 5.53%, 10/06/06 (i) (m) | 3,650 | |||||||||
16,050 | |||||||||||
Media — 1.1% | |||||||||||
2,600 | Comcast Cable Communications, Inc., 6.20%, 11/15/08 (m) | 2,646 | |||||||||
850 | Dex Media East LLC/Dex Media East Finance Co., 12.13%, 11/15/12 (m) | 948 | |||||||||
2,850 | Echostar DBS Corp., 5.75%, 10/01/08 (m) | 2,821 | |||||||||
2,000 | RH Donnelley, Inc., 10.88%, 12/15/12 | 2,190 | |||||||||
2,900 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 | 2,994 | |||||||||
11,599 | |||||||||||
Multi-Utilities — 0.3% | |||||||||||
2,900 | Dominion Resources, Inc., SUB, 5.69%, 05/15/08 (m) | 2,910 | |||||||||
Oil, Gas & Consumable Fuels — 0.7% | |||||||||||
4,000 | OAO Gazprom (Russia), 9.13%, 04/25/07 | 4,083 | |||||||||
1,450 | OAO Siberian Oil Co. (Russia), 11.50%, 02/13/07 | 1,483 | |||||||||
1,800 | Pemex Project Funding Master Trust, FRN, 6.63%, 06/15/10 (e) (m) | 1,841 | |||||||||
7,407 | |||||||||||
Real Estate Investment Trusts (REIT) — 0.9% | |||||||||||
3,500 | Host Marriott LP, REIT, Series G, 9.25%, 10/01/07 (m) | 3,618 | |||||||||
iStar Financial, Inc., REIT | |||||||||||
4,988 | Series B, 4.88%, 01/15/09 (m) | 4,914 | |||||||||
950 | 5.38%, 04/15/10 (m) | 942 | |||||||||
9,474 | |||||||||||
Real Estate Management & Development — 0.8% | |||||||||||
7,600 | Socgen Real Estate Co. LLC, VAR, 7.64%, 12/19/49 (e) | 7,770 | |||||||||
Thrifts & Mortgage Finance — 0.6% | |||||||||||
1,764 | Abbey National plc (United Kingdom), VAR, 7.35%, 10/15/06 (m) | 1,769 | |||||||||
4,000 | Washington Mutual Bank, FRN, 5.58%, 05/01/09 | 4,002 | |||||||||
5,771 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
1,100 | Alamosa Delaware, Inc., 11.00%, 07/31/10 (m) | 1,202 | |||||||||
Total Corporate Bonds (Cost $291,578) | 289,413 | ||||||||||
Foreign Government Securities — 1.9% | |||||||||||
950 | Bundesrepublik Deutschland (Germany), 4.00%, 01/04/37 | 1,213 | |||||||||
3,084 | Colombia Government International Bond (Colombia), 9.75%, 04/09/11 (m) | 3,362 | |||||||||
1,650 | France Government Bond OAT (France), 4.75%, 04/25/35 | 2,362 | |||||||||
4,250 | Government of Chile (Chile), FRN, 5.90%, 01/28/08 (m) | 4,265 | |||||||||
3,170 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 3,183 | |||||||||
1,515 | Russian Federation (Russia), 10.00%, 06/26/07 (e) | 1,566 | |||||||||
3,400 | United Mexican States (Mexico), FRN, 6.20%, 01/13/09 | 3,432 | |||||||||
Total Foreign Government Securities (Cost $19,594) | 19,383 | ||||||||||
Mortgage Pass-Through Securities — 11.1% | |||||||||||
Federal National Mortgage Association Pool | |||||||||||
22,000 | TBA, 6.50%, 09/25/36 | 22,325 | |||||||||
89,200 | TBA, 7.00%, 09/25/36 | 91,597 | |||||||||
Total Mortgage Pass-Through Securities (Cost $113,717) | 113,922 | ||||||||||
Total Long-Term Investments (Cost $869,213) | 861,947 |
NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.4% | |||||||||||
Call Options Purchased — 0.2% | |||||||||||
Receiver Swaption on Interest Rate: | |||||||||||
$3,253 | Expiring 09/06/06. If exercised the Fund receives 6.10% and pays floating 3 month LIBOR expiring 09/08/16, European Style. | — | (h) | ||||||||
39,935 | Expiring 05/19/08. If exercised the Fund receives 5.76% and pays floating 3 month LIBOR expiring 05/21/38, European Style. | 1,352 |
NOTIONAL VALUE | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$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. | 694 | ||||||||
Total Call Options Purchased | 2,046 |
NUMBER OF CONTRACTS | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.2% | ||||||||||
198 | U.S. 10 Year Treasury Note Future expiring 09/22/06 @ $105.00, American Style | 3 | ||||||||
517 | Euro CDs expiring 09/18/06 @ $94.50, American Style | 3 | ||||||||
6 |
NOTIONAL VALUE | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
$11,275 | Put Option on FNMA, 30 Year Fixed, 5.50%, TBA Expiring 09/06/06 @ $96.09, European Style. | — | (h) | |||||||
5,410 | Put Option on FNMA, 30 Year Fixed, 6.00%, TBA Expiring 09/06/06 @ $97.90, European Style. | — | (h) | |||||||
Payer Swaption on Interest Rate: | ||||||||||
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. | 467 | ||||||||
Receiver/Payer Straddle on Interest Rate: | ||||||||||
11,638 | Expiring 10/25/06. If exercised the Fund pays 5.64% and receives floating 3 month LIBOR expiring 10/27/16, European Style. | 332 | ||||||||
4,460 | Expiring 09/29/06. If exercised the Fund pays 5.29% and receives floating 3 month LIBOR expiring 10/03/16, European Style. | 48 | ||||||||
19,266 | Expiring 08/04/08. If exercised the Fund pays 5.49% and receives floating 3 month LIBOR expiring 08/06/13, European Style. | 747 | ||||||||
3,525 | Expiring 09/15/06. If exercised the Fund pays 5.48% and receives floating 3 month LIBOR expiring 09/19/16, European Style. | 54 | ||||||||
1,648 | ||||||||||
Total Put Options Purchased | 1,654 | |||||||||
Total Options Purchased (Cost $4,889) | 3,700 |
SHARES | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 29.3% | |||||||||||
Investment Company — 6.9% | |||||||||||
70,917 | JPMorgan Prime Money Market Fund (b) (m) (Cost $70,917) | 70,917 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Certificates of Deposit — 0.2% | ||||||||||
2,115 | Regions Bank, 5.46%, 12/07/06 (m) (n) (Cost $2,113) | 2,113 | ||||||||
Commercial Paper — 22.0% | ||||||||||
Abbey National plc (United Kingdom), | ||||||||||
10,300 | 5.05%, 09/29/06 (f) (m) (n) | 10,258 | ||||||||
13,800 | 5.25%, 09/12/06 (m) (n) | 13,776 | ||||||||
3,000 | ANZ Delaware, Inc., 5.32%, 11/15/06 (m) (n) | 2,967 | ||||||||
9,900 | BNP Paribas, 5.23%, 11/17/06 (f) (m) (n) | 9,786 | ||||||||
4,350 | BNP US Funding LLC, 5.25%, 09/11/06 (m) (n) | 4,343 | ||||||||
4,600 | CBA Delaware Finance, Inc., 5.27%, 09/11/06 (m) (n) | 4,592 | ||||||||
11,000 | Corporate Asset Funding Co., Inc., 5.41%, 09/22/06 (m) (n) | 10,960 | ||||||||
20,000 | Crown Point Capital Co. LLC, 5.44%, 10/05/06 (m) (n) | 19,890 | ||||||||
4,200 | European Investment Bank, 5.24%, 09/07/06 (m) (n) | 4,196 | ||||||||
23,000 | Galaxy Funding, Inc., 5.28%, 09/12/06 (f) (m) (n) | 22,958 | ||||||||
7,600 | Intesa Funding, 5.06%, 09/29/06 (m) (n) | 7,569 | ||||||||
15,000 | Lake Constance Funding LLC, 5.30%, 09/11/06 (m) (n) | 14,976 | ||||||||
20,200 | Lexington Parker Capital Corp., 5.27%, 09/13/06 (m) (n) | 20,162 | ||||||||
Natexis Banques Populaires U.S. Finance Co., | ||||||||||
11,975 | 5.29%, 09/07/06 (m) (n) | 11,963 | ||||||||
20,200 | 5.24%, 09/13/06 (m) (n) | 20,162 | ||||||||
5,900 | 5.30%, 10/13/06 (m) (n) | 5,863 | ||||||||
3,900 | Rockies Express Pipeline, 5.61%, 10/31/06 (m) (n) | 3,864 | ||||||||
7,500 | Scaldis Capital LLC, 5.27%, 09/18/06 (m) (n) | 7,480 | ||||||||
3,800 | Ticonderoga Funding LLC, 5.27%, 09/18/06 (m) (n) | 3,790 | ||||||||
26,000 | UBS Finance Delaware LLC, 5.24%, 09/13/06 (m) (n) | 25,951 | ||||||||
Total Commercial Paper (Cost $225,550) | 225,506 | |||||||||
U.S. Treasury Securities — 0.2% | ||||||||||
2,775 | U.S. Treasury Bills, 4.95%, 10/05/06 (k) (m) (n) (Cost $2,762) | 2,762 | ||||||||
Total Short-Term Investments (Cost $301,342) | 301,298 | |||||||||
Total Investments — 113.7% (Cost $1,175,444) | 1,166,945 | |||||||||
Liabilities in Excess of Other Assets — (13.7%) | (140,676 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,026,269 |
AS OF AUGUST 31, 2006 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
1,702 | 2 Year U.S. Treasury Notes | December, 2006 | $ | 347,793 | $ | 504 | ||||||||||||
353 | 5 Year U.S. Treasury Notes | December, 2006 | 37,104 | 118 | ||||||||||||||
302 | 10 Year U.S. Treasury Notes | December, 2006 | 32,427 | 129 | ||||||||||||||
31 | Eurodollar | September, 2006 | 7,332 | 4 | ||||||||||||||
73 | U.K. Treasury Gilt | December, 2006 | 15,313 | 37 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(305) | 5 Year U.S. Treasury Notes | December, 2006 | (32,058 | ) | (102 | ) | ||||||||||||
(4) | 10 Year Japanese Government Bond | September, 2006 | (4,599 | ) | (110 | ) | ||||||||||||
(4) | 10 Year U.S. Treasury Notes | December, 2006 | (430 | ) | (2 | ) | ||||||||||||
(324) | Euro-Bobl | September, 2006 | (45,847 | ) | (239 | ) | ||||||||||||
(174) | Euro-Bund | September, 2006 | (26,365 | ) | (497 | ) | ||||||||||||
(15) | Eurodollar | September, 2006 | (3,548 | ) | 3 | |||||||||||||
(47) | Eurodollar | December, 2006 | (11,122 | ) | 26 | |||||||||||||
(40) | Eurodollar | March, 2007 | (9,479 | ) | 11 | |||||||||||||
(40) | Eurodollar | June, 2007 | (9,493 | ) | 5 | |||||||||||||
(15) | Eurodollar | September, 2007 | (3,564 | ) | (10 | ) | ||||||||||||
(98) | Eurodollar | December, 2007 | (23,302 | ) | 62 | |||||||||||||
(265) | Eurodollar | March, 2008 | (63,020 | ) | (74 | ) | ||||||||||||
$ | (135 | ) |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2,842,000 EUR | 10/27/2006 | $3,656 | $ | 3,653 | $ | 3 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE(USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
FNMA: | ||||||||||
$(24,000) | TBA, 5.00%, 09/25/36 | $ | (23,008 | ) | ||||||
(3,500) | TBA, 5.50%, 09/25/36–11/01/36 | (3,426 | ) | |||||||
(5,600) | TBA, 6.00%, 09/25/36–11/01/36 | (5,597 | ) | |||||||
(Proceeds received $32,341) | $ | (32,031 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future | $ | 106.00 | 11/21/06 | 108 | $ | (111 | ) | $ | (181 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Merrill Lynch Capital Services | 5.42% quarterly | 03/24/16 | 03/24/26 | $14,210 | $(641) | $(587) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.61% quarterly | 08/04/08 | 08/06/18 | $10,972 | $(715) | $(721) | ||||||||||||||||||||
Credit Suisse International | 5.52% quarterly | 08/17/09 | 08/19/19 | 4,685 | (351) | (365) | ||||||||||||||||||||
Credit Suisse International | 5.49% quarterly | 08/18/09 | 08/20/19 | 7,030 | (528) | (547) | ||||||||||||||||||||
Deutsche Bank AG, New York | 5.33% quarterly | 02/02/07 | 02/06/09 | 49,851 | (399) | (389) | ||||||||||||||||||||
$(1,993) | $(2,022) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future | $ | 106.00 | 11/21/2006 | 108 | $ | (83 | ) | $ | (34 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA, American Style | $ | 94.95 | 09/06/06 | $ | 22,550 | $ | (92 | ) | $ | — | (h) | |||||||||||
FNMA, 30 Year Fixed, 6.00%, TBA, European Style | 97.07 | 09/06/06 | 10,820 | (31 | ) | — | (h) | |||||||||||||||
$ | (123 | ) | $ | — | (h) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | $131,786 | $(2,631) | $(1,526) | ||||||||||||||||||||
Merrill Lynch Capital Services | 5.42% quarterly | 03/24/16 | 03/24/26 | 14,210 | (640) | (703) | ||||||||||||||||||||
$(3,271) | $(2,229) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund will pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund will receive a floating rate based on 3-month USD LIBOR, if exercised. |
AS OF AUGUST 31, 2006 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Barclays Capital | 5.45% semi-annually | 3 month LIBOR quarterly | 06/08/11 | $ | 7,780 | $ | (90 | ) | ||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 4.55% semi-annually | 10/04/07 | 10,325 | 12 | |||||||||||||||||
Citibank, N.A. | 4.63% semi-annually | 3 month LIBOR quarterly | 10/04/10 | 4,450 | 42 | |||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.42% semi-annually | 05/10/08 | 11,850 | 191 | |||||||||||||||||
Credit Suisse International | 5.65% semi-annually | 3 month LIBOR quarterly | 05/10/16 | 5,845 | (242 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.77% semi-annually | 05/10/36 | 1,565 | 105 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.39% semi-annually | 06/07/08 | 12,435 | 35 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.41% semi-annually | 08/02/08 | 17,625 | 58 | |||||||||||||||||
Deutsche Bank AG, New York | 5.33% semi-annually | 3 month LIBOR quarterly | 08/31/08 | 2,319 | (6 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.23% semi-annually | 02/20/09 | 5,797 | 15 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.19% semi-annually | 02/22/09 | 4,058 | 9 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.08% semi-annually | 03/05/09 | 10,666 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.43% semi-annually | 3 month LIBOR quarterly | 08/02/11 | 15,255 | (156 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 31,768 | (462 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 20,745 | (302 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 06/07/16 | 6,105 | (132 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.55% semi-annually | 08/02/16 | 4,330 | 87 | |||||||||||||||||
Deutsche Bank AG, New York | 5.29% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 2,607 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.37% semi-annually | 09/05/18 | 2,458 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.69% semi-annually | 06/07/36 | 1,620 | 68 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 8,915 | 400 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 4,849 | 272 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.50% semi-annually | 07/24/08 | 17,300 | 82 | |||||||||||||||||
Lehman Brothers Special Financing | 5.52% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 15,015 | (213 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.62% semi-annually | 07/24/16 | 4,275 | 106 | |||||||||||||||||
Lehman Brothers Special Financing | 5.41% semi-annually | 3 month LIBOR quarterly | 08/18/16 | 1,150 | (10 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.64% semi-annually | 3 month LIBOR quarterly | 08/30/16 | 6,774 | (182 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.31% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 1,275 | — | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.42% semi-annually | 03/24/26 | 3,837 | (31 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.20% semi-annually | 3 month LIBOR quarterly | 01/27/36 | 2,970 | 75 | |||||||||||||||||
$ | (269 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bear Stearns Credit Products | Lehman Brothers, 6.63%, 01/18/12 | Sell | 8 BPS quarterly | 06/20/07 | $ | 6,600 | $ | 2 | ||||||||||||||||||
Bear Stearns Credit Products | Sara Lee Corp., 6.13%, 11/01/32 | Buy | 45 BPS quarterly | 06/20/11 | 3,000 | (4 | ) | |||||||||||||||||||
Bank of America | St. Paul Travelers, 8.13%, 04/15/10 | Buy | 34 BPS quarterly | 06/20/11 | 3,000 | (9 | ) | |||||||||||||||||||
Bank of America | Allstate, 6.75%, 05/15/18 | Buy | 27 BPS quarterly | 06/20/11 | 3,000 | (12 | ) | |||||||||||||||||||
Citibank, N.A. | Government of Argentina, 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 | 18 | ||||||||||||||||||||
Citibank, N.A. | Gazprom, 8.63%, 04/28/34 | Sell | 250 BPS quarterly | 04/20/10 | 10,000 | 687 | ||||||||||||||||||||
Citibank, N.A. | Russian Federation, 5.00%, 03/31/30 | Buy | 155 BPS semi-annually | 04/20/10 | 10,000 | (422 | ) | |||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 116.5 BPS quarterly | 05/20/10 | 7,000 | (176 | ) | |||||||||||||||||||
Citibank, N.A. | United Mexican States, 8.30%, 08/15/31 | Sell | 100 BPS semi-annually | 05/20/10 | 7,000 | 171 | ||||||||||||||||||||
Citibank, N.A. | Pemex, 9.50%, 09/15/27 | Buy | 125 BPS quarterly | 06/20/10 | 5,000 | (137 | ) | |||||||||||||||||||
Citibank, N.A. | United Mexical States, 8.30%, 08/15/31 | Sell | 105 BPS semi-annually | 06/20/10 | 5,000 | 127 | ||||||||||||||||||||
Citibank, N.A. | Government of Argentina, 8.28%, 12/31/33 | Sell | 296.5 BPS semi-annually | 10/20/10 | 3,000 | 139 | ||||||||||||||||||||
Citibank, N.A. | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 06/20/11 | 1,955 | (36 | ) | |||||||||||||||||||
Citibank, N.A. | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 06/20/11 | 1,955 | 34 | ||||||||||||||||||||
Deutsche Bank AG, New York | Prudential, 6.38%, 09/20/06 | Sell | 19 BPS quarterly | 09/20/06 | 7,600 | 4 | ||||||||||||||||||||
Deutsche Bank AG, New York | Coca Cola, 5.75%, 03/15/11 | Sell | 16 BPS quarterly | 12/31/06 | 5,300 | 4 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Brazil, 12.25%, 03/06/30 | Sell | 235 BPS semi-annually | 04/20/07 | 8,200 | 182 | ||||||||||||||||||||
Deutsche Bank AG, New York | Bear Stearns & Co., 7.63%, 12/07/09 | Sell | 8 BPS quarterly | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Goldman Sachs Group, 6.60%, 01/15/12 | Sell | 7.5 BPS quarterly | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co., 6.00%, 02/17/09 | Sell | 7.5 BPS quarterly | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Morgan Stanley, 6.60%, 04/01/12 | Sell | 8 BPS semi-annually | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | SunTrust Capital, 2.48%, 03/15/28 | Sell | 48 BPS quarterly | 06/30/07 | 7,600 | 16 | ||||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co., 6.00% 02/17/09 | Sell | 9.5 BPS quarterly | 12/20/07 | 12,500 | 3 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 29 BPS semi-annually | 05/20/08 | 38,240 | (104 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Berkshire Hathaway Inc, 9.75%, 01/15/18 | Sell | 20 BPS quarterly | 03/20/10 | 6,000 | 31 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (100 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 89 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 07/20/10 | 10,000 | (211 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 07/20/10 | 10,000 | 206 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Sell | 66.75 BPS semi-annually | 05/20/11 | 16,990 | 181 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 199 BPS quarterly | 06/20/11 | 4,815 | (102 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 221 BPS quarterly | 06/20/11 | 2,420 | (75 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 185 BPS quarterly | 06/20/11 | 4,815 | 84 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 205 BPS quarterly | 06/20/11 | 2,420 | 64 | ||||||||||||||||||||
Deutsche Bank AG, New York | Government of Philippines, 10.63%, 03/16/25 | Buy | 190 BPS quarterly | 09/20/11 | 4,610 | (47 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Government of Indonesia, 6.75%, 03/10/14 | Sell | 176.5 BPS quarterly | 09/20/11 | 4,610 | 36 | ||||||||||||||||||||
Goldman Sachs Capital Management | Corning Inc., 6.30%, 03/01/09 | Sell | 43 BPS quarterly | 06/20/11 | 2,000 | 10 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 104 BPS quarterly | 10/20/07 | 9,600 | 107 | ||||||||||||||||||||
Lehman Brothers Special Financing | Gazprom, 8.63%, 04/28/34 | Sell | 111 BPS quarterly | 10/20/07 | 9,600 | 117 | ||||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 54 BPS semi-annually | 10/20/07 | 9,600 | (46 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Russian Federation, 12.75%, 06/24/28 | Buy | 61 BPS semi-annually | 10/20/07 | 9,600 | (56 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Buy | 58 BPS semi-annually | 06/20/08 | 19,005 | (94 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 300 BPS semi-annually | 09/20/10 | 6,500 | (553 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 343 BPS semi-annually | 09/20/10 | 6,500 | 428 |
AS OF AUGUST 31, 2006 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 303.5 BPS semi-annually | 10/20/10 | $ | 3,160 | $ | 147 | ||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 261.5 BPS semi-annually | 10/20/10 | 3,160 | (213 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 173 BPS semi-annually | 06/20/11 | 8,340 | 188 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Buy | 140 BPS semi-annually | 06/20/11 | 7,750 | (81 | ) | |||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina 8.28%, 12/31/33 | Sell | 259 BPS semi-annually | 08/20/11 | 4,130 | 45 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Argentina, 8.28%, 12/31/33 | Sell | 260 BPS semi-annually | 08/20/11 | 3,620 | 36 | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Sell | 119 BPS semi-annually | 09/20/11 | 2,380 | — | ||||||||||||||||||||
Lehman Brothers Special Financing | Government of Brazil, 12.25%, 03/06/30 | Sell | 120 BPS semi-annually | 09/20/11 | 2,460 | — | ||||||||||||||||||||
Morgan Stanley International | Landesbanki Island, 3.30%, 10/19/10 | Sell | 45 BPS quarterly | 09/20/07 | EUR 6,000 | (5 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | ALROSA Finance, S.A., 8.88%, 11/17/14 | Sell | 65 BPS quarterly | 11/01/06 | $ | 4,310 | 2 | |||||||||||||||||||
Morgan Stanley Capital Services | Linde AG Loan Facility, Tranche B, 5.85%, 11/03/07 | Sell | 25 BPS quarterly | 03/20/08 | GBP 1,925 | (2 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 112 BPS semi-annually | 04/20/10 | $ | 7,000 | (211 | ) | ||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 140 BPS semi-annually | 04/20/10 | 7,000 | 256 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 07/20/10 | 5,950 | (98 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 190 BPS semi-annually | 07/20/10 | 5,950 | 117 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 64 BPS semi-annually | 09/20/10 | 2,700 | (25 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 176 BPS semi-annually | 09/20/10 | 2,700 | 53 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Brazil, 12.25%, 03/06/30 | Buy | 290 BPS semi-annually | 10/20/10 | 6,200 | (510 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Brazil, 12.25%, 03/06/30 | Buy | 335 BPS semi-annually | 10/20/10 | 1,450 | (146 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28%, 12/31/33 | Sell | 338 BPS semi-annually | 10/20/10 | 6,200 | 394 | ||||||||||||||||||||
Morgan Stanley Capital Services | Government of Argentina, 8.28%, 12/31/33 | Sell | 400 BPS semi-annually | 10/20/10 | 1,450 | 128 | ||||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Buy | 69 BPS semi-annually | 06/20/11 | 2,770 | (27 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Government of Ukraine, 7.65%, 06/11/13 | Sell | 206 BPS semi-annually | 06/20/11 | 2,770 | 68 | ||||||||||||||||||||
Morgan Stanley Capital Services | Republic of Venezuela, 9.25%, 09/15/27 | Sell | 132.5 BPS semi-annually | 08/20/11 | 6,220 | (12 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, Warburg | V.F. Corp., 8.50%, 10/01/10 | Buy | 30 BPS quarterly | 09/20/11 | 4,000 | 119 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | United Mexican States, 7.50%, 04/08/33 | Buy | 113 BPS semi-annually | 04/20/10 | 11,100 | (330 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Sell | 125 BPS semi-annually | 04/20/10 | 11,100 | 352 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Buy | 90 BPS semi-annually | 08/20/10 | 6,500 | (107 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Government of Ukraine, 7.65%, 06/11/13 | Sell | 184 BPS semi-annually | 08/20/10 | 6,500 | 115 | ||||||||||||||||||||
$ | 779 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (a) | FNMA, 30 YR, 6.50%, TBA | $ | 101.01 | 09/06/06 | $ | 55,000 | $ | 296 | ||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 6.50%, TBA | 101.19 | 09/06/06 | 46,000 | 165 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 15 YR, 5.50%, TBA | 99.16 | 09/11/06 | 14,000 | 138 | |||||||||||||||||
Citibank, N.A. (a) | U.S. Treasury Note, 3.38%, 9/15/09 | 95.80 | 09/18/06 | 84,650 | 486 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 5.00%, TBA | 95.44 | 10/05/06 | 24,000 | 96 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 5.50%, TBA | 97.94 | 10/05/06 | 46,000 | 95 | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 YR, 6.00%, TBA | 99.21 | 09/06/06 | 44,000 | (407 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 YR, 6.00%, TBA | 99.34 | 09/06/06 | 116,000 | (924 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 15 YR, 5.00%, TBA | 97.16 | 09/11/06 | 12,600 | (101 | ) | ||||||||||||||||
Credit Suisse International (a) | U.S. Treasury Note, 3.38%, 2/15/08 | 97.95 | 10/03/06 | 207,400 | 239 | |||||||||||||||||
Credit Suisse International (b) | U.S. Treasury Note, 3.88%, 9/15/10 | 96.84 | 10/04/06 | 98,800 | (255 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 5.50%, TBA | 97.19 | 09/06/06 | 74,200 | 742 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 5.50%, TBA | 97.94 | 09/06/06 | 59,000 | 147 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.00 | 09/06/06 | 77,200 | 422 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.06 | 09/06/06 | 80,000 | 387 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.44 | 09/06/06 | 59,000 | 64 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.47 | 09/06/06 | 40,100 | 31 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 7.00%, TBA | 102.61 | 09/06/06 | 21,000 | 16 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 7.00%, TBA | 102.44 | 10/05/06 | 54,000 | 93 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.34 | 11/06/06 | 48,000 | 32 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 5.00%, TBA | 93.89 | 09/06/06 | 31,000 | (611 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 99.94 | 09/06/06 | 246,000 | (500 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 98.74 | 09/06/06 | 9,000 | (126 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 99.50 | 09/06/06 | 109,600 | (702 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 100.02 | 09/06/06 | 10,500 | (13 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 5.50%, TBA | 97.91 | 11/05/06 | 24,000 | (45 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 YR, 5.00%, TBA | 95.63 | 10/12/06 | 30,000 | (64 | ) | ||||||||||||||||
$ | (299 | ) |
(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. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | SPREAD LOCK | | EXPIRATION DATE | | NOTIONAL AMOUNT(USD) | | VALUE (USD) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (a) | 3 Year Swap Spread Lock | Mid Market Swap Spread – 0.4725% | 11/06/09 | $54,000 | $— |
(a) | Fund receives the excess of the rate spread over the spread lock and pays the excess of the spread lock over the rate spread. |
AS OF AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 99.4% | |||||||||||
Asset Backed Securities — 21.0% | |||||||||||
2,688 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.83%, 02/15/12 (e) (m) | 2,694 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
3,650 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 3,574 | |||||||||
6,850 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 6,800 | |||||||||
1,749 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 1,723 | |||||||||
3,100 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 3,053 | |||||||||
1,000 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 5.61%, 01/15/11 (e) (m) | 1,001 | |||||||||
5,100 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 5,026 | |||||||||
2,350 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 2,317 | |||||||||
6,700 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 6,611 | |||||||||
7,600 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, FRN, 5.51%, 03/25/36 (m) | 7,612 | |||||||||
5,600 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 5.50%, 02/25/36 (m) | 5,609 | |||||||||
5,350 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 5.50%, 07/25/36 (m) | 5,358 | |||||||||
HSI Asset Securitization Corp. Trust, | |||||||||||
6,850 | Series 2006-OPT1, Class 2A3, FRN, 5.51%, 12/25/35 (m) | 6,863 | |||||||||
7,369 | Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 7,383 | |||||||||
7,100 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, FRN, 5.51%, 03/25/36 (m) | 7,113 | |||||||||
5,950 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 5,962 | |||||||||
3,500 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 5.52%, 01/25/37 (m) | 3,501 | |||||||||
6,869 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 6,799 | |||||||||
5,535 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 5,462 | |||||||||
5,000 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 5.52%, 02/25/36 | 5,008 | |||||||||
6,450 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 5.51%, 03/25/36 | 6,452 | |||||||||
4,950 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 5.50%, 12/25/35 | 4,958 | |||||||||
544 | Soundview NIM Trust, Series 2005-OPT4, Class N1, 5.68%, 12/25/35 (e) | 542 | |||||||||
7,215 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 | 7,082 | |||||||||
4,300 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 | 4,229 | |||||||||
7,200 | World Omni Auto Receivables Trust, Series 2003-B, Class A4, 2.87%, 11/15/10 | 7,086 | |||||||||
Total Asset Backed Securities (Cost $130,563) | 129,818 | ||||||||||
Collateralized Mortgage Obligations — 19.8% | |||||||||||
Agency CMO — 5.8% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
49,844 | Series 240, Class S22, FRN, IO, 1.82%, 07/25/36 (m) | 4,011 | |||||||||
9,084 | Series 2564, Class LS, IF, IO, 2.32%, 01/15/17 (m) | 539 | |||||||||
15,102 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 583 | |||||||||
4,987 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 564 | |||||||||
4,380 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 258 | |||||||||
22,981 | Series 2791, Class SI, IF, IO, 1.82%, 12/15/31 (m) | 1,206 | |||||||||
24,831 | Series 2813, Class SB, IF, IO, 1.72%, 02/15/34 (m) | 1,404 | |||||||||
37,182 | Series 2850, Class SM, IF, IO, 1.82%, 12/15/30 (m) | 1,605 | |||||||||
7,910 | Series 2894, Class S, IF, IO, 1.87%, 03/15/31 (m) | 455 | |||||||||
8,463 | Series 2980, Class LI, IO, 5.50%, 04/15/25 (m) | 775 | |||||||||
Federal National Mortgage Association, | |||||||||||
7,090 | Series 2003-3, Class HS, IF, IO, 2.33%, 09/25/16 (m) | 356 | |||||||||
8,276 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 331 | |||||||||
12,746 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 1,133 | |||||||||
6,330 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 6,474 | |||||||||
8,213 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 8,401 | |||||||||
7,089 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 7,251 | |||||||||
Government National Mortgage Association, | |||||||||||
12 | Series 2002-24, Class FA, FRN, 5.83%, 04/16/32 (m) | 12 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
2,680 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 111 | |||||||||
5,020 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 328 | |||||||||
1,449 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 40 | |||||||||
35,837 | |||||||||||
Non-Agency CMO — 14.0% | |||||||||||
645 | ABN Amro Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 640 | |||||||||
3,575 | Bank of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 3,551 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
8,582 | Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 8,540 | |||||||||
4,923 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) | 4,903 | |||||||||
7,333 | Countrywide Home Loans, Inc., Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 7,256 | |||||||||
4,150 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 4,130 | |||||||||
9,447 | Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A2, 6.00%, 06/25/36 | 9,344 | |||||||||
2,792 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 | 2,782 | |||||||||
5,761 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 | 5,697 | |||||||||
7,385 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.99%, 06/25/34 | 7,342 | |||||||||
11,113 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 11,064 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
4,141 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 4,113 | |||||||||
16,988 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 16,869 | |||||||||
86,231 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $124,248) | 122,068 | ||||||||||
Commercial Mortgage Backed Securities — 13.7% | |||||||||||
1,950 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,897 | |||||||||
18,095 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 17,808 | |||||||||
3,990 | CR, Series 2000-ZC2, Class A4A, 6.70%, 08/10/14 (e) (m) | 4,044 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
3,800 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 3,933 | |||||||||
6,200 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 6,049 | |||||||||
1,431 | First Union Lehman Brothers Co., Series 1997-C1, Class A3, 7.38%, 04/18/29 (m) | 1,434 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
5,100 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 4,955 | |||||||||
9,300 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 9,008 | |||||||||
5,700 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 5,446 | |||||||||
8,700 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 8,402 | |||||||||
2,150 | Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class A2, VAR, 5.40%, 11/12/37 (m) | 2,150 | |||||||||
Morgan Stanley Capital I, | |||||||||||
10,591 | Series 1998-HF2, Class A2, 6.48%, 11/15/30 (m) | 10,761 | |||||||||
5,200 | Series 2006-T21, Class A2, 5.09%, 10/12/52 (m) | 5,162 | |||||||||
3,250 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 3,201 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $87,562) | 84,250 | ||||||||||
Corporate Bonds — 29.5% | |||||||||||
Automobiles — 0.3% | |||||||||||
2,150 | DaimlerChrysler N.A. Holding Corp., 5.75%, 05/18/09 (m) | 2,157 | |||||||||
Capital Markets — 1.9% | |||||||||||
11,800 | Links Finance LLC, FRN, 5.58%, 09/15/08 (e) (i) (m) | 11,810 | |||||||||
Commercial Banks — 7.9% | |||||||||||
4,500 | Artesia Bank SC (Belgium), VAR, 7.25%, 09/29/49 (e) (m) | 4,576 | |||||||||
1,900 | Deutsche Bank Capital Funding Trust I (Germany), VAR, 7.87%, 12/29/49 (e) (m) | 2,010 | |||||||||
1,500 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 1,527 | |||||||||
1,700 | Hana Bank (South Korea), 4.13%, 03/11/09 | 1,645 | |||||||||
1,400 | Landesbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) | 1,403 | |||||||||
2,750 | Nordea Bank Finland plc, VAR, 7.50%, 12/31/49 (e) (m) | 2,772 | |||||||||
5,100 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 5,086 | |||||||||
600 | Royal Bank of Scotland Group plc ADR (United Kingdom), Series 1 9.12%, 03/31/49 | 667 | |||||||||
2,700 | Sberbank of Russia (Russia), 7.24%, 10/24/06 (m) | 2,712 |
As of August 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
9,050 | Skandinaviska Enskilda Banken AB (Sweden), VAR, 8.12%, 09/06/06 (e) | 9,050 | |||||||||
4,950 | Svenska Handelsbanken (Sweden), VAR, 7.12%, 03/29/49 (e) | 4,993 | |||||||||
6,670 | Swedbank (Sweden), VAR, 7.50%, 11/01/06 (e) | 6,689 | |||||||||
2,900 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 6.17%, 09/21/07 (e) (m) | 2,904 | |||||||||
1,000 | Wachovia Capital Trust III, VAR, 5.80%, 03/15/42 | 995 | |||||||||
1,950 | Woori Bank, 4.88%, 07/02/13 | 1,916 | |||||||||
48,945 | |||||||||||
Diversified Financial Services — 10.5% | |||||||||||
5,400 | BNP US Funding LLC, VAR, 7.74%, 12/29/49 (e) (m) | 5,532 | |||||||||
Counts Trust, | |||||||||||
6,050 | Series 2002-10, FRN, 6.19%, 08/15/07 (e) (i) (m) | 6,086 | |||||||||
6,050 | Series 2002-11, FRN, 6.23%, 08/15/07 (e) (i) (m) | 6,082 | |||||||||
3,600 | International Lease Finance Corp., VAR, 6.98%, 10/15/16 (m) | 3,605 | |||||||||
7,500 | K2 Corp., 5.43%, 02/15/09 (i) (m) | 7,500 | |||||||||
5,400 | Mizuho JGB Investment LLC, VAR, 9.87%, 12/31/49 (e) (m) | 5,792 | |||||||||
10,100 | Natexis Ambs Co. LLC, VAR, 8.44%, 12/29/49 (e) (m) | 10,611 | |||||||||
9,100 | RACERS, Series 2005-16, Class C, FRN, 5.41%, 09/20/07 (e) (i) (m) | 9,081 | |||||||||
1,100 | Twin Reefs Pass-Through Trust, FRN, 6.37%, 12/31/49 (e) | 1,098 | |||||||||
6,000 | Two-Rock Pass Through Trust (Bermuda), FRN, 6.34%, 12/31/49 (e) | 5,904 | |||||||||
3,600 | ZFS Finance USA Trust I, VAR, 6.15%, 12/15/65 (e) | 3,548 | |||||||||
64,839 | |||||||||||
Diversified Telecommunication Services — 0.7% | |||||||||||
1,400 | Telecom Italia Capital S.A. (Luxembourg), 6.20%, 07/18/11 | 1,425 | |||||||||
3,150 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 | 3,197 | |||||||||
4,622 | |||||||||||
Electric Utilities — 1.3% | |||||||||||
2,300 | Alabama Power Capital Trust V VAR, 5.50%, 10/01/42 (m) | 2,289 | |||||||||
1,100 | Appalachian Power Co., 5.55%, 04/01/11 (m) | 1,102 | |||||||||
4,700 | PSEG Funding Trust I, 5.38%, 11/16/07 | 4,688 | |||||||||
8,079 | |||||||||||
Energy Equipment & Services — 0.2% | |||||||||||
1,050 | Noble Corp., 6.95%, 03/15/09 (m) | 1,088 | |||||||||
Insurance — 3.1% | |||||||||||
9,100 | ASIF Global Financing, FRN, 5.62%, 03/14/08 (e) (m) | 9,119 | |||||||||
3,600 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 3,620 | |||||||||
6,150 | Oil Insurance Ltd. (Bermuda), VAR, 5.62%, 10/06/06 (e) (i) (m) | 6,150 | |||||||||
18,889 | |||||||||||
Media — 0.5% | |||||||||||
3,000 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 | 3,097 | |||||||||
Multi-Utilities — 0.6% | |||||||||||
3,500 | Dominion Resources, Inc., SUB, 5.69%, 05/15/08 (m) | 3,512 | |||||||||
Oil, Gas & Consumable Fuels — 0.5% | |||||||||||
3,300 | Pemex Project Funding Master Trust, FRN, 6.63%, 06/15/10 (e) | 3,376 | |||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||
iStar Financial, Inc. REIT, | |||||||||||
1,300 | 5.38%, 04/15/10 (m) | 1,289 | |||||||||
2,900 | Series B, 4.88%, 01/15/09 (m) | 2,857 | |||||||||
4,146 | |||||||||||
Real Estate Management & Development — 0.8% | |||||||||||
4,600 | Socgen Real Estate Co. LLC, VAR, 7.64%, 12/31/49 (e) | 4,703 | |||||||||
Thrifts & Mortgage Finance — 0.5% | |||||||||||
2,900 | Abbey National plc (United Kingdom), VAR, 7.35%, 10/15/06 (m) | 2,908 | |||||||||
Total Corporate Bonds (Cost $184,994) | 182,171 | ||||||||||
Foreign Government Securities — 2.8% | |||||||||||
4,670 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 4,690 | |||||||||
7,550 | Republic of Chile (Chile), FRN, 5.90%, 01/28/08 (m) | 7,577 | |||||||||
1,800 | Russian Federation (Russia), 10.00%, 06/26/07 (e) | 1,861 | |||||||||
3,300 | United Mexican States (Mexico), FRN, 6.20%, 01/13/09 | 3,331 | |||||||||
Total Foreign Government Securities (Cost $17,596) | 17,459 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||||
Mortgage Pass-Through Securities — 12.6% | |||||||||||||
Federal National Mortgage Association Pool, | |||||||||||||
4,330 | TBA, 5.00%, 09/25/36–10/01/36 (e) | 4,162 | |||||||||||
7,200 | TBA, 6.00%, 09/25/36–11/01/36 (e) | 7,214 | |||||||||||
9,650 | TBA, 6.50%, 09/25/36–10/01/36 (e) | 9,794 | |||||||||||
54,900 | TBA, 7.00%, 09/25/36 (e) | 56,375 | |||||||||||
13 | Government National Mortgage Association Pool, 8.50%, 08/15/30 (m) | 14 | |||||||||||
Total Mortgage Pass-Through Securities (Cost $76,711) | 77,559 | ||||||||||||
Total Long-Term Investments (Cost $621,674) | 613,325 | ||||||||||||
NOTIONAL VALUE($) | |||||||||||||
Options Purchased — 0.5% | |||||||||||||
Call Options Purchased — 0.3% | |||||||||||||
Receiver Swaption on Interest Rate: | |||||||||||||
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. | 847 | |||||||||||
20,260 | Expiring 05/19/08. If exercised the Fund receives 5.76% and pays floating 3 month LIBOR expiring 05/21/38, European Style. | 686 | |||||||||||
9,323 | Expiring 05/19/08. If exercised the Fund receives 5.76% and pays floating 3 month LIBOR expiring 05/21/38, European Style. | 316 | |||||||||||
3,190 | Expiring 09/06/06. If exercised the Fund receives 6.10% and pays floating 3 month LIBOR expiring 09/08/16, European Style. | — | (h) | ||||||||||
Total Call Options Purchased | 1,849 | ||||||||||||
NUMBER OF CONTRACTS | |||||||||||||
Put Options Purchased — 0.2% | |||||||||||||
319 | 90 Day Euro expiring 09/18/06 @ $94.50, American Style | 2 | |||||||||||
98 | U.S. 10 Year Treasury Note Future expiring 09/22/06 @ $105.00, American Style | 2 | |||||||||||
4 | |||||||||||||
NOTIONAL VALUE($) | |||||||||||||
11,060 | FNMA, 30 Year Fixed, 5.50%, TBA Expiring 09/06/06 @ $96.09, European Style. | — | (h) | ||||||||||
3,620 | FNMA, 30 Year Fixed, 6.00%, TBA Expiring 09/06/06 @ $97.90, European Style. | — | (h) | ||||||||||
Payer Swaption on Interest Rate: | |||||||||||||
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, | 571 | |||||||||||
Receiver/Payer Straddle on Interest Rate: | |||||||||||||
7,420 | Expiring 10/25/06. If exercised the Fund pays 5.64% and receives floating 3 month LIBOR expiring 10/27/16. European Style. | 212 | |||||||||||
14,272 | Expiring 08/04/08. If exercised the Fund pays 5.49% and receives floating 3 month LIBOR, expiring 08/06/13, European Style. | 553 | |||||||||||
2,165 | Expiring 09/15/06. If exercised the Fund pays 5.48% and receives floating 3 month LIBOR expiring 09/19/16, European Style. | 33 | |||||||||||
2,680 | Expiring 09/29/06. If exercised the Fund pays 5.29% and receives floating 3 month LIBOR expiring 10/03/16, European Style. | 29 | |||||||||||
1,398 | |||||||||||||
Total Put Options Purchased | 1,402 | ||||||||||||
Total Options Purchased (Cost $4,179) | 3,251 | ||||||||||||
Short-Term Investments — 13.1% | |||||||||||||
Commercial Paper — 9.1% | |||||||||||||
15,000 | Intesa Funding Corp., 5.25%, 09/13/06 (m) (n) | 14,971 | |||||||||||
12,300 | Lexington Parker Capital Corp., 5.27%, 09/13/06 (m) (n) | 12,277 | |||||||||||
12,300 | Natexis Banques Populaires U.S. Finance Co., 5.24%, 09/13/06 (m) (n) | 12,277 | |||||||||||
1,500 | Rockies Express Pipeline Co., 5.61%, 10/31/06 (m) (n) | 1,486 | |||||||||||
15,000 | UBS Finance Delaware LLC, Zero Coupon, 09/13/06 (m) | 14,974 | |||||||||||
Total Commercial Paper (Cost $55,967) | 55,985 | ||||||||||||
Investment Company — 3.8% | |||||||||||||
23,558 | JPMorgan Prime Money Market Fund (b) (m) (Cost $23,558) | 23,558 | |||||||||||
U.S. Treasury Securities — 0.2% | |||||||||||||
1,175 | U.S. Treasury Bills 4.95%, 10/05/06 (k) (m) (n) (Cost $1,170) | 1,170 | |||||||||||
Total Short-Term Investments (Cost $80,695) | 80,713 | ||||||||||||
Total Investments — 113.0% (Cost $706,548) | 697,289 | ||||||||||||
Liabilities in Excess of Other Assets — (13.0)% | (80,351 | ) | |||||||||||
NET ASSETS — 100.0% | $ | 616,938 |
As of August 31, 2006 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
480 | 2 Year U.S. Treasury Notes | December, 2006 | $ | 98,085 | $ | 167 | ||||||||||||
202 | 5 Year U.S. Treasury Notes | December, 2006 | 21,232 | 68 | ||||||||||||||
163 | 10 Year U.S. Treasury Notes | December, 2006 | 17,502 | 70 | ||||||||||||||
19 | Eurodollar | September, 2006 | 4,494 | 2 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(570) | 5 Year U.S. Treasury Notes | December, 2006 | 59,912 | (191 | ) | |||||||||||||
(5) | 10 Year U.S. Treasury Notes | December, 2006 | 537 | (2 | ) | |||||||||||||
(20) | Eurodollar | September, 2006 | 4,730 | 4 | ||||||||||||||
(52) | Eurodollar | December, 2006 | 12,305 | 26 | ||||||||||||||
(120) | Eurodollar | March, 2007 | 28,436 | 51 | ||||||||||||||
(120) | Eurodollar | June, 2007 | 28,478 | 27 | ||||||||||||||
(120) | Eurodollar | September, 2007 | 28,514 | (41 | ) | |||||||||||||
(93) | Eurodollar | December, 2007 | 22,113 | 84 | ||||||||||||||
(100) | Eurodollar | March, 2008 | 23,781 | (111 | ) | |||||||||||||
(80) | Eurodollar | June, 2008 | 19,022 | (129 | ) | |||||||||||||
$ | 25 |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future, American Style | $ | 106 | 11/21/2006 | 66 | $ | (68 | ) | $ | (110 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Merrill Lynch Capital Services | 5.42% quarterly | 03/22/16 | 03/24/26 | $ | 17,370 | $ | (783 | ) | $ | (718 | ) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.52% quarterly | 08/17/09 | 08/19/19 | $ | 2,860 | $ | (214 | ) | $ | (223 | ) | |||||||||||||||
Credit Suisse International | 5.49% quarterly | 08/18/09 | 08/20/19 | 4,290 | (322 | ) | (334 | ) | ||||||||||||||||||
Credit Suisse International | 5.61% quarterly | 08/04/08 | 08/06/18 | 8,128 | (529 | ) | (534 | ) | ||||||||||||||||||
Deutsche Bank AG, New York | 5.33% quarterly | 02/02/07 | 02/06/09 | 31,863 | (255 | ) | (249 | ) | ||||||||||||||||||
$ | (1,320 | ) | $ | (1,340 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. 10 Year Treasury Note Future, American Style | $ | 106 | 11/21/06 | 66 | $ | (50 | ) | $ | (21 | ) |
NAME OF ISSUER | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA, American Style | $ | 94.95 | 09/06/06 | 22,120 | $ | (90 | ) | $ | — | (h) | ||||||||||||
FNMA, 30 Year Fixed, 6.00%, TBA, European Style | 97.07 | 09/06/06 | 7,240 | (21 | ) | — | (h) | |||||||||||||||
$ | (111 | ) | $ | — | (h) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL VALUE | | PREMIUM (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | $ | 66,858 | $ | (1,315 | ) | $ | (774 | ) | |||||||||||||||
Deutsche Bank AG, New York | 5.58% quarterly | 05/19/08 | 05/21/13 | 30,766 | (624 | ) | (356 | ) | ||||||||||||||||||
Merrill Lynch Capital Services | 5.42% quarterly | 03/24/16 | 03/24/26 | 17,370 | (783 | ) | (859 | ) | ||||||||||||||||||
$ | (2,722 | ) | $ | (1,989 | ) |
* | The Fund will pay a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund will pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund will receive a floating rate based on 3-month USD LIBOR, if exercised. |
As of August 31, 2006 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Barclays Capital | 5.45% semi-annually | 3 month LIBOR quarterly | 06/08/11 | $ | 7,765 | $ | (90 | ) | ||||||||||||||
Citibank, N.A. | 3 month LIBOR quarterly | 4.55% semi-annually | 10/04/07 | 13,075 | 15 | |||||||||||||||||
Citibank, N.A. | 4.63% semi-annually | 3 month LIBOR quarterly | 10/04/10 | 5,650 | 54 | |||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.42% semi-annually | 05/10/08 | 12,025 | 194 | |||||||||||||||||
Credit Suisse International | 5.65% semi-annually | 3 month LIBOR quarterly | 05/10/16 | 5,935 | (246 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.77% semi-annually | 05/10/36 | 1,590 | 107 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.39% semi-annually | 06/07/08 | 11,920 | 33 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.41% semi-annually | 08/02/08 | 11,100 | 36 | |||||||||||||||||
Deutsche Bank AG, New York | 5.33% semi-annually | 3 month LIBOR quarterly | 08/31/08 | 1,482 | (4 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.23% semi-annually | 02/20/09 | 3,705 | 10 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.19% semi-annually | 02/22/09 | 2,594 | 5 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.08% semi-annually | 03/05/09 | 6,817 | — | |||||||||||||||||
Deutsche Bank AG, New York | 5.43% semi-annually | 3 month LIBOR quarterly | 08/02/11 | 9,610 | (98 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 31,910 | (464 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.58% semi-annually | 3 month LIBOR quarterly | 05/21/13 | 6,990 | (102 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.56% semi-annually | 3 month LIBOR quarterly | 06/07/16 | 5,850 | (127 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.55% semi-annually | 08/02/16 | 2,730 | 55 | |||||||||||||||||
Deutsche Bank AG, New York | 5.29% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 1,662 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.37% semi-annually | 09/05/18 | 1,820 | — | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.69% semi-annually | 06/07/36 | 1,550 | 65 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 8,955 | 402 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.76% semi-annually | 05/21/38 | 1,241 | 96 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.50% semi-annually | 07/24/08 | 11,110 | 52 | |||||||||||||||||
Lehman Brothers Special Financing | 5.52% semi-annually | 3 month LIBOR quarterly | 07/24/11 | 9,645 | (137 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.62% semi-annually | 07/24/16 | 2,745 | 68 | |||||||||||||||||
Lehman Brothers Special Financing | 5.41% semi-annually | 3 month LIBOR quarterly | 08/18/16 | 705 | (6 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.64% semi-annually | 3 month LIBOR quarterly | 08/30/16 | 4,319 | (116 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.31% semi-annually | 3 month LIBOR quarterly | 09/05/16 | 785 | — | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.42% semi-annually | 03/24/26 | 4,690 | (38 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 5.20% semi-annually | 3 month LIBOR quarterly | 01/27/36 | 3,630 | 92 | |||||||||||||||||
$ | (144 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bear Stearns Credit Products | Lehman Brothers, 6.63%, 01/18/12 | Sell | 8 BPS quarterly | 06/20/07 | $ | 7,400 | $ | 3 | ||||||||||||||||||
Bear Stearns Credit Products | Sara Lee Corp. 6.13%, 11/01/32 | Buy | 45 BPS quarterly | 06/20/11 | 3,000 | (4 | ) | |||||||||||||||||||
Bank of America | St. Paul Travelers, 8.13%, 04/15/10 | Buy | 34 BPS quarterly | 06/20/11 | 3,000 | (9 | ) | |||||||||||||||||||
Bank of America | Allstate, 6.75%, 05/15/18 | Buy | 27 BPS quarterly | 06/20/11 | 3,000 | (12 | ) | |||||||||||||||||||
Citibank, N.A. | General Electric Capital Corp., 3.50%, 05/01/08 | Sell | 14 BPS quarterly | 12/20/07 | 23,000 | 27 | ||||||||||||||||||||
Deutsche Bank AG, New York | Bear Stearns & Co. 7.63%, 12/07/09 | Sell | 8.0 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Goldman Sachs Group, 6.60%, 01/15/12 | Sell | 7.5 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co. 6.00%, 02/17/09 | Sell | 7.5 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | Morgan Stanley, 6.60%, 04/01/12 | Sell | 8.0 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Deutsche Bank AG, New York | SunTrust Capital, 2.48%, 03/15/28 | Sell | 48 BPS quarterly | 06/30/07 | 12,400 | 26 | ||||||||||||||||||||
Deutsche Bank AG, New York | Merrill Lynch & Co. 6.00%, 02/17/09 | Sell | 9.5 BPS quarterly | 12/20/07 | 6,000 | 2 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 29 BPS semi-annually | 05/20/08 | 39,240 | (106 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Berkshire Hathaway Inc, 9.75%, 01/15/18 | Sell | 20 BPS quarterly | 03/20/10 | 8,800 | 45 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (100 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 89 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Buy | 96 BPS semi-annually | 07/20/10 | 15,000 | (317 | ) | |||||||||||||||||||
Deutsche Bank AG, New York | Russian Federation, 5.00%, 03/31/30 | Sell | 101 BPS semi-annually | 07/20/10 | 15,000 | 310 | ||||||||||||||||||||
Deutsche Bank AG, New York | United Mexican States, 7.50%, 04/08/33 | Sell | 66.75 BPS semi-annually | 05/20/11 | 17,440 | 185 | ||||||||||||||||||||
Goldman Sachs Capital Management | Corning Inc., 6.30%, 03/01/09 | Sell | 43 BPS quarterly | 06/20/11 | 3,000 | 6 | ||||||||||||||||||||
Morgan Stanley Capital Services | United Mexican States, 7.50%, 04/08/33 | Buy | 112 BPS semi-annually | 04/20/10 | 10,000 | (301 | ) | |||||||||||||||||||
Morgan Stanley Capital Services | Russian Federation, 5.00%, 03/31/30 | Sell | 140 BPS semi-annually | 04/20/10 | 10,000 | 366 | ||||||||||||||||||||
Union Bank of Switzerland AG, Warburg | V.F. Corp., 8.5%, 10/01/10 | Buy | 30 BPS quarterly | 09/20/11 | 3,000 | 89 | ||||||||||||||||||||
Union Bank of Switzerland AG, London | United Mexican States, 7.50%, 04/08/33 | Buy | 113 BPS semi-annually | 04/20/10 | 15,990 | (475 | ) | |||||||||||||||||||
Union Bank of Switzerland AG, London | Russian Federation, 5.00%, 03/31/30 | Sell | 125 BPS semi-annually | 04/20/10 | 15,990 | 507 | ||||||||||||||||||||
$ | 335 |
As of August 31, 2006 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (b) | FNMA, 15 YR, 5.00%, TBA | $ | 97.16 | 09/11/06 | $ | 7,200 | $ | (58 | ) | |||||||||||||
Citibank, N.A. (a) | FNMA, 15 YR, 5.50%, TBA | 99.16 | 09/11/06 | 8,000 | 79 | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 YR, 5.00%, TBA | 94.91 | 09/06/06 | 34,330 | (330 | ) | ||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 5.00%, TBA | 95.44 | 10/05/06 | 30,000 | 120 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 5.50%, TBA | 97.94 | 10/05/06 | 30,000 | 62 | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 YR, 6.00%, TBA | 99.22 | 09/06/06 | 22,400 | (207 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 YR, 6.00%, TBA | 99.34 | 09/06/06 | 90,000 | (717 | ) | ||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 6.50%, TBA | 101.01 | 09/06/06 | 28,000 | 151 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 YR, 6.50%, TBA | 101.19 | 09/06/06 | 30,000 | 108 | |||||||||||||||||
Citibank, N.A. (a) | U.S. Treasury Note, 3.38%, 9/15/09 | 95.80 | 09/19/06 | 66,100 | 379 | |||||||||||||||||
Citibank, N.A. (b) | U.S. Treasury Note, 4.13%, 8/15/10 | 97.24 | 09/19/06 | 52,950 | (407 | ) | ||||||||||||||||
Credit Suisse International (a) | U.S. Treasury Note, 3.38%, 2/15/08 | 97.95 | 10/03/06 | 244,300 | 281 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 5.00%, TBA | 93.66 | 09/06/06 | 15,000 | (332 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 5.50%, TBA | 97.19 | 09/06/06 | 42,300 | 423 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 5.50%, TBA | 97.91 | 11/06/06 | 15,000 | (29 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 5.50%, TBA | 97.94 | 09/06/06 | 37,000 | 93 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 98.74 | 09/06/06 | 9,900 | (139 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 99.50 | 09/06/06 | 72,800 | (466 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 99.94 | 09/06/06 | 68,000 | (138 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 99.94 | 09/06/06 | 74,000 | (150 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 YR, 6.00%, TBA | 100.02 | 09/06/06 | 3,500 | (4 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.00 | 09/06/06 | 52,700 | 288 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.06 | 09/06/06 | 52,000 | 252 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.34 | 11/06/06 | 30,000 | 20 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.44 | 09/06/06 | 37,000 | 40 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 6.50%, TBA | 101.47 | 09/06/06 | 22,350 | 18 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 7.00%, TBA | 102.44 | 10/05/06 | 39,000 | 67 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 YR, 7.00%, TBA | 102.61 | 09/06/06 | 7,000 | 5 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 YR, 5.00%, TBA | 95.63 | 10/12/06 | 20,000 | (43 | ) | ||||||||||||||||
$ | (634 | ) |
(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 AUGUST 31, 2006
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 97.6% | |||||||||||
Asset Backed Securities — 5.1% | |||||||||||
AmeriCredit Automobile Receivables Trust | |||||||||||
7 | Series 2003-CF, Class A4, 3.48%, 05/06/10 (m) | 7 | |||||||||
11 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 11 | |||||||||
8 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 8 | |||||||||
15 | Capital Auto Receivables Asset Trust, Series 2003-2, Class A4A, 1.96%, 01/15/09 (m) | 15 | |||||||||
10 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 10 | |||||||||
250 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, FRN, 5.48%, 08/25/36 (m) | 250 | |||||||||
15 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 15 | |||||||||
200 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF12, Class M2, FRN, 5.62%, 09/25/36 (m) | 200 | |||||||||
75 | Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 74 | |||||||||
250 | GE-WMC Mortgage Securities LLC, Series 2006-1, Class A2B, FRN, 5.47%, 08/25/36 (m) | 250 | |||||||||
130 | Harley-Davidson Motorcycle Trust, Series 2006-3, Class A2, 5.42%, 02/15/10 | 130 | |||||||||
10 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 | 10 | |||||||||
225 | MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A3, FRN, 5.58%, 08/25/36 | 225 | |||||||||
Onyx Acceptance Grantor Trust, | |||||||||||
9 | Series 2003-C, Class A4, 2.66%, 05/17/10 | 8 | |||||||||
8 | Series 2003-D, Series A4, 3.20%, 03/15/10 | 7 | |||||||||
2 | Option One Mortgage Loan Trust, Series 2003-5, Class A2, FRN, 5.64%, 08/25/33 | 2 | |||||||||
20 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 | 21 | |||||||||
Residential Asset Securities Corp., | |||||||||||
2 | Series 2002-KS4, Class AIIB, FRN, 5.57%, 07/25/32 | 2 | |||||||||
3 | Series 2003-KS5, Class AIIB, FRN, 5.61%, 07/25/33 | 3 | |||||||||
18 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 | 18 | |||||||||
6 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, FRN, 5.76%, 12/25/32 | 6 | |||||||||
11 | WFS Financial Owner Trust, Series 2003-4, Class A4, 3.15%, 05/20/11 | 11 | |||||||||
Total Asset Backed Securities (Cost $1,287) | 1,283 | ||||||||||
Collateralized Mortgage Obligations — 2.1% | |||||||||||
Non-Agency CMO — 2.1% | |||||||||||
1,507 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.89%, 06/25/20 (e) (m) | 15 | |||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, VAR, HB, 88.94%, 07/28/27 (e) (i) (m) | 1 | |||||||||
250 | Harborview Mortgage Loan Trust, FRN, 0.00%, 10/25/36 | 250 | |||||||||
248 | Lehman XS Trust, Series 2006-12N, Class A1, FRN, 5.40%, 08/25/46 | 248 | |||||||||
19 | MASTR Alternative Loans Trust, Series 2004-13, Class 10A1, 8.00%, 01/25/35 | 19 | |||||||||
Total Collateralized Mortgage Obligations (Cost $679) | 533 | ||||||||||
Commercial Mortgage Backed Securities — 1.6% | |||||||||||
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%, 12/18/35 (m) | 156 | |||||||||
45 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4, 4.11%, 07/05/35 | 42 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
60 | Series 2001-C2, Class A2, 6.65%, 11/15/27 | 63 | |||||||||
100 | Series 2006-LLFA, Class A2, 5.45%, 09/15/21 | 100 | |||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 | 19 | |||||||||
Total Commercial Mortgage Backed Securities (Cost $399) | 404 | ||||||||||
Corporate Bonds — 33.0% | |||||||||||
Aerospace & Defense — 0.2% | |||||||||||
40 | L-3 Communications Corp., 5.88%, 01/15/15 | 38 | |||||||||
Air Freight & Logistics — 0.5% | |||||||||||
125 | FedEx Corp., FRN, 5.58%, 08/08/08 (m) | 125 | |||||||||
Auto Components — 0.3% | |||||||||||
35 | Tenneco, Inc., 8.63%, 11/15/14 | 35 | |||||||||
30 | TRW Automotive, Inc., 11.00%, 02/15/13 | 32 | |||||||||
15 | United Components, Inc., 9.38%, 06/15/13 | 15 | |||||||||
82 | |||||||||||
Building Products — 0.1% | |||||||||||
15 | Goodman Global Holding Co., Inc., 7.88%, 12/15/12 | 14 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Capital Markets — 4.6% | |||||||||||
45 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 43 | |||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
200 | 5.30%, 10/30/15 (m) | 196 | |||||||||
125 | FRN, 5.49%, 08/21/09 (m) | 125 | |||||||||
200 | Citigroup, Inc., 5.00%, 09/15/14 (m) | 193 | |||||||||
100 | Goldman Sachs Group, Inc., 6.45%, 05/01/36 | 101 | |||||||||
85 | Lehman Brothers Holdings, Inc., 5.50%, 04/04/16 | 84 | |||||||||
250 | Merrill Lynch & Co., Inc., FRN, 5.49%, 08/14/09 | 250 | |||||||||
170 | Morgan Stanley, 4.75%, 04/01/14 | 161 | |||||||||
1,153 | |||||||||||
Chemicals — 0.7% | |||||||||||
25 | Huntsman LLC, 11.50%, 07/15/12 | 28 | |||||||||
20 | Ineos Group Holdings (United Kingdom) plc, 8.50%, 02/15/16 (e) | 19 | |||||||||
40 | Lyondell Chemical Co., 10.50%, 06/01/13 | 44 | |||||||||
15 | Nalco Co., 7.75%, 11/15/11 | 15 | |||||||||
30 | PolyOne Corp., 8.88%, 05/01/12 | 30 | |||||||||
Terra Capital, Inc., | |||||||||||
5 | 11.50%, 06/01/10 | 6 | |||||||||
25 | 12.88%, 10/15/08 | 28 | |||||||||
170 | |||||||||||
Commercial Banks — 0.2% | |||||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) | 10 | |||||||||
20 | Suntrust Bank, 2.50%, 11/01/06 (m) | 20 | |||||||||
10 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 8.39%, 07/30/07 (m) | 10 | |||||||||
40 | |||||||||||
Commercial Services & Supplies — 0.6% | |||||||||||
40 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 38 | |||||||||
Allied Waste North America, | |||||||||||
15 | 7.25%, 03/15/15 (m) | 15 | |||||||||
25 | Series B, 7.38%, 04/15/14 (m) | 24 | |||||||||
Corrections Corp. of America, | |||||||||||
30 | 6.25%, 03/15/13 (m) | 29 | |||||||||
5 | 6.75%, 01/31/14 (m) | 5 | |||||||||
35 | Iron Mountain, Inc., 7.75%, 01/15/15 | 35 | |||||||||
15 | Quebecor World Capital Corp (Canada), 8.75%, 03/15/16 (e) | 14 | |||||||||
160 | |||||||||||
Consumer Finance — 2.2% | |||||||||||
25 | American General Finance Corp., Series H, 3.00%, 11/15/06 (m) | 25 | |||||||||
Ford Motor Credit Co., | |||||||||||
20 | 7.00%, 10/01/13 (m) | 19 | |||||||||
65 | FRN, 7.08%, 01/15/10 (m) | 61 | |||||||||
75 | General Motors Acceptance Corp., 6.88%, 08/28/12 (m) | 73 | |||||||||
200 | HSBC Finance Corp., 5.50%, 01/19/16 | 199 | |||||||||
SLM Corp., | |||||||||||
140 | 5.38%, 05/15/14 | 138 | |||||||||
35 | 5.63%, 04/10/07 (m) | 35 | |||||||||
550 | |||||||||||
Containers & Packaging — 0.5% | |||||||||||
20 | AEP Industries, Inc., 7.88%, 03/15/13 (m) | 20 | |||||||||
Ball Corp., | |||||||||||
15 | 6.63%, 03/15/18 (m) | 14 | |||||||||
5 | 6.88%, 12/15/12 (m) | 5 | |||||||||
20 | Crown Americas LLC and Crown Americas Capital Corp., 7.75%, 11/15/15 (m) | 20 | |||||||||
25 | Jefferson Smurfit Corp. US, 7.50%, 06/01/13 | 23 | |||||||||
35 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 | 36 | |||||||||
5 | Packaging Dynamics Finance Corp., 10.00%, 05/01/16 (e) | 5 | |||||||||
123 | |||||||||||
Diversified Consumer Services — 0.2% | |||||||||||
Service Corp. International, | |||||||||||
20 | 6.75%, 04/01/16 | 19 | |||||||||
10 | 7.70%, 04/15/09 | 10 | |||||||||
20 | 8.00%, 06/15/17 (e) | 19 | |||||||||
48 | |||||||||||
Diversified Financial Services — 11.3% | |||||||||||
15 | Basell AF SCA (Luxembourg), 8.38%, 08/15/15 (e) | 15 | |||||||||
125 | Caterpillar Financial Services Corp., FRN, 5.45%, 08/11/09 (m) | 125 | |||||||||
300 | CIT Group, Inc., 5.60%, 04/27/11 (m) | 302 | |||||||||
2,153 | Core Investment Grade Bond Trust I, 4.66%, 11/30/07 (m) | 2,135 | |||||||||
5 | National Rural Utilities Cooperative Finance Corp., 6.50%, 03/01/07 (m) | 5 | |||||||||
200 | TRAINS, Series HY-1-2006, 7.55%, 05/01/16 (e) | 198 | |||||||||
45 | Visant Corp., 7.63%, 10/01/12 | 44 | |||||||||
2,824 | |||||||||||
Diversified Telecommunication Services — 1.4% | |||||||||||
10 | Citizens Communications Co., 6.25%, 01/15/13 (m) | 10 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
29 | Consolidated Communications Holdings, Inc., 9.75%, 04/01/12 (m) | 30 | |||||||||
30 | Qwest Communications International, Inc., FRN, 8.90%, 02/15/09 | 30 | |||||||||
Qwest Corp., | |||||||||||
5 | 7.50%, 10/01/14 (e) | 5 | |||||||||
10 | 8.88%, 03/15/12 | 11 | |||||||||
45 | Sprint Capital Corp., 6.90%, 05/01/19 | 47 | |||||||||
180 | Verizon Global Funding Corp., 7.38%, 09/01/12 | 196 | |||||||||
20 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) | 22 | |||||||||
351 | |||||||||||
Electric Utilities — 0.3% | |||||||||||
15 | AES Corp., 8.88%, 02/15/11 (m) | 16 | |||||||||
10 | Alabama Power Co., Series Y, 2.80%, 12/01/06 (e) (m) | 10 | |||||||||
15 | FPL Group Capital, Inc., 7.63%, 09/15/06 (m) | 15 | |||||||||
10 | Inergy LP/Inergy Finance Corp., 8.25%, 03/01/16 | 10 | |||||||||
15 | Midwest Generation LLC, 8.75%, 05/01/34 | 16 | |||||||||
Sierra Pacific Resources, | |||||||||||
5 | 6.75%, 08/15/17 | 5 | |||||||||
15 | 8.63%, 03/15/14 | 16 | |||||||||
88 | |||||||||||
Electronic Equipment & Instruments — 0.0% (g) | |||||||||||
10 | Celestica, Inc. (Canada), 7.88%, 07/01/11 (m) | 10 | |||||||||
Energy Equipment & Services — 0.1% | |||||||||||
25 | Hanover Compressor Co., 9.00%, 06/01/14 | 26 | |||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
35 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 36 | |||||||||
Health Care Providers & Services — 0.8% | |||||||||||
25 | Extendicare Health Services, Inc., 6.88%, 05/01/14 (m) | 26 | |||||||||
HCA, Inc., | |||||||||||
5 | 5.50%, 12/01/09 | 5 | |||||||||
5 | 6.50%, 02/15/16 | 4 | |||||||||
60 | 6.75%, 07/15/13 | 50 | |||||||||
25 | Select Medical Corp. 7.63%, 02/01/15 | 22 | |||||||||
35 | Stewart Enterprises, Inc., 6.25%, 2/15/13 | 31 | |||||||||
30 | Tenet Healthcare Corp., 9.25%, 02/01/15 | 28 | |||||||||
25 | Triad Hospitals, Inc., 7.00%, 11/15/13 | 24 | |||||||||
190 | |||||||||||
Hotels, Restaurants & Leisure — 0.6% | |||||||||||
50 | ITT Corp., 7.38%, 11/15/15 | 53 | |||||||||
MGM Mirage, | |||||||||||
15 | 6.75%, 09/01/12 | 15 | |||||||||
60 | 6.75%, 04/01/13 (e) | 58 | |||||||||
20 | Vail Resorts, Inc., 6.75%, 02/15/14 | 19 | |||||||||
145 | |||||||||||
Household Durables — 0.6% | |||||||||||
25 | ALH Finance LLC/ALH Finance Corp., 8.50%, 01/15/13 (m) | 25 | |||||||||
20 | Ames True Temper, FRN, 9.51%, 01/15/12 (m) | 20 | |||||||||
Beazer Homes USA, Inc., | |||||||||||
10 | 6.50%, 11/15/13 (m) | 9 | |||||||||
35 | 6.88%, 07/15/15 (m) | 31 | |||||||||
35 | DR Horton, Inc., 5.63%, 09/15/14 (m) | 33 | |||||||||
35 | Sealy Mattress Co., 8.25%, 06/15/14 | 35 | |||||||||
153 | |||||||||||
Household Products — 0.3% | |||||||||||
45 | Gregg Appliances, Inc., 9.00%, 02/01/13 | 41 | |||||||||
60 | Spectrum Brands, Inc., 7.38%, 02/01/15 | 46 | |||||||||
87 | |||||||||||
Industrial Conglomerates — 0.1% | |||||||||||
30 | Jacuzzi Brands, Inc., 9.63%, 07/01/10 | 32 | |||||||||
Insurance — 0.9% | |||||||||||
210 | ING Capital Funding Trust III, VAR, 8.44%, 12/31/49 (m) | 232 | |||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
20 | Brookstone Co., Inc., 12.00%, 10/15/12 (m) | 18 | |||||||||
IT Services — 0.1% | |||||||||||
20 | SunGard Data Systems, Inc., 9.13%, 08/15/13 | 21 | |||||||||
10 | Unisys Corp., 8.00%, 10/15/12 | 9 | |||||||||
30 | |||||||||||
Leisure Equipment & Products — 0.0% (g) | |||||||||||
10 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) | 10 | |||||||||
Machinery — 0.2% | |||||||||||
50 | Terex Corp., 7.38%, 01/15/14 | 50 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Media — 1.8% | |||||||||||
20 | Cablevision Systems Corp., Series B, 8.00%, 04/15/12 (m) | 20 | |||||||||
15 | CanWest Media, Inc. (Canada), 8.00%, 09/15/12 | 15 | |||||||||
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) | 106 | |||||||||
50 | DirecTV Holdings LLC 6.38%, 06/15/15 (m) | 47 | |||||||||
Echostar DBS Corp. | |||||||||||
5 | 6.38%, 10/01/11 (m) | 5 | |||||||||
45 | 7.13%, 02/01/16 (e) (m) | 44 | |||||||||
15 | Houghton Mifflin Co., 9.88%, 02/01/13 | 16 | |||||||||
25 | Lodgenet Entertainment Corp., 9.50%, 06/15/13 | 27 | |||||||||
30 | RH Donnelley Finance Corp. I, 10.88%, 12/15/12 (e) | 33 | |||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 | 11 | |||||||||
30 | Videotron Ltee (Canada), 6.88%, 01/15/14 | 29 | |||||||||
15 | Warner Music Group, 7.38%, 04/15/14 | 14 | |||||||||
35 | WMG Holdings Corp. SUB, 0.00%, 12/15/14 | 25 | |||||||||
457 | |||||||||||
Metals & Mining — 0.1% | |||||||||||
25 | Novelis, Inc. (Canada), 8.25%, 02/15/15 (e) | 24 | |||||||||
Multi-Utilities — 0.3% | |||||||||||
Dominion Resources, Inc., | |||||||||||
50 | 6.30%, 03/15/33 (m) | 50 | |||||||||
15 | Series A, 8.13%, 06/15/10 (m) | 16 | |||||||||
66 | |||||||||||
Office Electronics — 0.1% | |||||||||||
Xerox Corp., | |||||||||||
15 | 6.40%, 03/15/16 | 15 | |||||||||
5 | 6.75%, 02/01/17 | 5 | |||||||||
20 | |||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||
15 | BP Capital Markets plc (United Kingdom), 2.75%, 12/29/06 (m) | 15 | |||||||||
Chesapeake Energy Corp., | |||||||||||
10 | 6.50%, 08/15/17 (m) | 9 | |||||||||
40 | 7.00%, 08/15/14 (m) | 40 | |||||||||
25 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) | 25 | |||||||||
34 | Gaz Capital S.A. (Luxembourg), 8.63%, 04/28/34 | 42 | |||||||||
65 | Gazprom International S.A. (Luxembourg), 7.20%, 02/01/20 | 68 | |||||||||
15 | Newfield Exploration Co., 6.63%, 04/15/16 | 15 | |||||||||
120 | OAO Gazprom (Germany), 9.63%, 03/01/13 (e) | 142 | |||||||||
20 | Pogo Producing Co., 6.63%, 03/15/15 | 19 | |||||||||
10 | Williams Cos., Inc., 8.12%, 03/15/12 | 10 | |||||||||
385 | |||||||||||
Paper & Forest Products — 0.4% | |||||||||||
25 | Ainsworth Lumber Co., Ltd. (Canada), 7.25%, 10/01/12 (m) | 18 | |||||||||
75 | Georgia-Pacific Corp., 9.50%, 12/01/11 (m) | 81 | |||||||||
99 | |||||||||||
Personal Products — 0.1% | |||||||||||
10 | Del Laboratories, Inc., FRN, 10.49%, 11/01/11 (m) | 10 | |||||||||
311 | Drypers Corp., Series B, 10.25%, 06/15/07 (d) (f) (m) | 3 | |||||||||
13 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||||||
30 | Host Marriott LP REIT, Series Q, 6.75%, 06/01/16 | 29 | |||||||||
15 | Rouse Co LP/TRC Co-Issuer, Inc., 6.75%, 05/01/13 (e) | 15 | |||||||||
44 | |||||||||||
Road & Rail — 0.2% | |||||||||||
20 | Hertz Corp., 8.88%, 01/01/14 (e) | 21 | |||||||||
25 | United Rentals North America, Inc., 6.50%, 02/15/12 | 23 | |||||||||
44 | |||||||||||
Software — 0.2% | |||||||||||
35 | UGS Corp., 10.00%, 06/01/12 | 38 | |||||||||
Thrifts & Mortgage Finance — 0.3% | |||||||||||
80 | Washington Mutual, Inc., FRN, 5.54%, 08/24/09 | 80 | |||||||||
Wireless Telecommunication Services — 0.8% | |||||||||||
25 | AirGate PCS, Inc., FRN, 9.26%, 10/16/06 (m) | 26 | |||||||||
15 | Intelsat Bermuda Ltd. (Bermuda), 9.25%, 06/15/16 (e) | 16 | |||||||||
20 | Intelsat Subsidiary Holding Co., Ltd. (Bermuda), FRN, 10.48%, 01/15/12 | 20 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
10 | 7.88%, 03/01/11 (m) | 11 | |||||||||
75 | 8.13%, 05/01/12 (m) | 84 | |||||||||
10 | 8.75%, 03/01/31 (m) | 12 | |||||||||
30 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 | 29 | |||||||||
198 | |||||||||||
Total Corporate Bonds (Cost $8,504) | 8,253 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Foreign Government Securities — 12.9% | |||||||||||
Argentina — 1.4% | |||||||||||
Government of Argentina, | |||||||||||
200 | 8.28%, 12/31/33 | 197 | |||||||||
210 | FRN, 5.59%, 08/03/12 | 147 | |||||||||
344 | |||||||||||
Barbados — 0.1% | |||||||||||
15 | Barbados Government International Bond, Regulation S, 7.25%, 12/15/21 | 16 | |||||||||
Brazil — 0.7% | |||||||||||
110 | Federal Republic of Brazil, 12.25%, 03/06/30 | 176 | |||||||||
Canada — 0.2% | |||||||||||
50 | Province of Quebec, 7.50%, 09/15/29 | 63 | |||||||||
Colombia — 0.6% | |||||||||||
Government of Colombia, | |||||||||||
65 | 8.25%, 12/22/14 | 71 | |||||||||
20 | 10.38%, 01/28/33 | 27 | |||||||||
40 | 10.75%, 01/15/13 | 49 | |||||||||
147 | |||||||||||
Dominican Republic — 1.1% | |||||||||||
Government of Dominican Republic, | |||||||||||
210 | 9.04%, 01/23/18 (e) | 230 | |||||||||
42 | 9.50%, 09/27/11 | 45 | |||||||||
275 | |||||||||||
El Salvador — 0.5% | |||||||||||
El Salvador Government International Bond, | |||||||||||
35 | 7.63%, 09/21/34 (e) | 38 | |||||||||
80 | 8.25%, 04/10/32 (e) (m) | 89 | |||||||||
127 | |||||||||||
Indonesia — 0.5% | |||||||||||
119 | Government of Indonesia, 7.25%, 04/20/15 | 124 | |||||||||
Malaysia — 0.5% | |||||||||||
Government of Malaysia, | |||||||||||
50 | 7.50%, 07/15/11 | 54 | |||||||||
70 | 8.75%, 06/01/09 | 76 | |||||||||
130 | |||||||||||
Mexico — 1.0% | |||||||||||
United Mexican States, | |||||||||||
40 | 7.50%, 01/14/12 | 44 | |||||||||
25 | 8.00%, 09/24/22 | 30 | |||||||||
35 | 8.30%, 08/15/31 | 44 | |||||||||
125 | FRN, 6.20%, 01/13/09 | 126 | |||||||||
244 | |||||||||||
Panama — 0.6% | |||||||||||
Government of Panama, | |||||||||||
60 | 7.13%, 01/29/26 | 61 | |||||||||
15 | 7.25%, 03/15/15 | 16 | |||||||||
45 | 8.88%, 09/30/27 | 55 | |||||||||
10 | 9.38%, 07/23/12 | 12 | |||||||||
144 | |||||||||||
Peru — 0.8% | |||||||||||
Government of Peru, | |||||||||||
197 | 5.00%, 03/07/17 | 194 | |||||||||
Philippines — 0.2% | |||||||||||
40 | Government of Philippines, 10.63%, 03/16/25 | 53 | |||||||||
Russia — 0.8% | |||||||||||
Russian Federation, | |||||||||||
75 | 12.75%, 06/24/28 | 134 | |||||||||
69 | SUB, 5.00%, 03/31/30 | 76 | |||||||||
210 | |||||||||||
South Africa — 0.3% | |||||||||||
65 | Government of South Africa, 8.50%, 06/23/17 | 78 | |||||||||
Trinidad & Tobago — 0.3% | |||||||||||
50 | Trinidad & Tobago Government International Bond, 9.75%, 07/01/20 | 66 | |||||||||
Turkey — 0.2% | |||||||||||
Government of Turkey, | |||||||||||
35 | 7.38%, 02/05/25 | 35 | |||||||||
16 | 8.00%, 02/14/34 | 17 | |||||||||
52 | |||||||||||
Ukraine — 1.0% | |||||||||||
250 | Government of Ukraine, 6.88%, 03/04/11 (e) | 254 | |||||||||
Uruguay — 0.4% | |||||||||||
100 | Government of Uruguay, 8.00%, 11/18/22 | 105 | |||||||||
Venezuela — 1.7% | |||||||||||
Government of Venezuela, | |||||||||||
20 | 7.00%, 12/01/18 | 20 | |||||||||
15 | 9.25%, 09/15/27 | 19 | |||||||||
50 | 9.38%, 01/13/34 | 63 | |||||||||
223 | 10.75%, 09/19/13 | 273 | |||||||||
40 | 13.63%, 08/15/18 | 60 | |||||||||
435 | |||||||||||
Total Foreign Government Securities (Cost $3,039) | 3,237 |
AS OF AUGUST 31, 2006 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Private Placements — 7.3% | |||||||||||
1,209 | 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) | 1,283 | |||||||||
478 | 3512 Oxford Ave., Secured by First Mortgage and Agreement on Co-op Apartment in Riverdale, New York, 8.45%, 06/01/17 (f) (i) | 532 | |||||||||
Total Private Placements (Cost $1,687) | 1,815 | ||||||||||
Mortgage Pass-Through Securities — 32.9% | |||||||||||
Federal Home Loan Mortgage Corp. Gold Pool | |||||||||||
52 | 6.00%, 05/01/17–01/01/35 (m) | 52 | |||||||||
400 | TBA, 6.00%, 09/15/36 | 400 | |||||||||
175 | TBA, 6.50%, 09/15/36 | 178 | |||||||||
Federal National Mortgage Association Various Pool | |||||||||||
776 | 5.50%, 06/01/34–12/01/34 (m) | 763 | |||||||||
681 | 6.00%, 03/01/33–01/01/35 (m) | 683 | |||||||||
321 | 6.50%, 01/01/35–02/01/35 (m) | 326 | |||||||||
308 | 7.00%, 02/01/35–07/01/36 (m) | 315 | |||||||||
950 | TBA, 4.50%, 09/25/20 | 914 | |||||||||
900 | TBA, 5.00%, 09/25/36 | 863 | |||||||||
1,835 | TBA, 6.50%, 09/25/36 | 1,863 | |||||||||
1,000 | TBA, 7.00%, 09/25/36 | 1,027 | |||||||||
Government National Mortgage Association Various Pools | |||||||||||
50 | TBA, 5.50%, 09/15/36 | 50 | |||||||||
200 | TBA, 6.00%, 09/15/36 | 202 | |||||||||
600 | TBA, 6.50%, 09/15/36 | 614 | |||||||||
Total Mortgage Pass-Through Securities (Cost $8,282) | 8,250 | ||||||||||
U.S. Treasury Obligations — 2.7% | |||||||||||
60 | U.S. Treasury Bonds, 5.38%, 02/15/31 (k) (m) | 64 | |||||||||
U.S. Treasury Notes | |||||||||||
30 | 2.50%, 09/30/06 (m) | 30 | |||||||||
25 | 2.63%, 11/15/06 (m) | 25 | |||||||||
15 | 3.63%, 04/30/07 (m) | 15 | |||||||||
15 | 4.13%, 08/15/10 (m) | 15 | |||||||||
10 | 4.25%, 08/15/15 (m) | 10 | |||||||||
350 | 5.13%, 06/30/11 (k) (m) | 356 | |||||||||
125 | 5.50%, 08/15/28 (m) | 134 | |||||||||
20 | 6.63%, 05/15/07 (m) | 20 | |||||||||
Total U.S. Treasury Obligations (Cost $653) | 669 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Warrants — 0.0% (g) | |||||||||||
—(h) | Startec Global Communications Corp., expiring 05/15/08 (a) (f) (Cost $—(h)) | — | (h) | ||||||||
Total Long-Term Investments (Cost $24,530) | 24,444 | ||||||||||
NOTIONAL VALUE | |||||||||||
Options Purchased — 0.0% (g) | |||||||||||
Option Straddle Purchased — 0.0% (g) | |||||||||||
Receiver/Payer Straddle on Interest Rate: | |||||||||||
910 | Expiring 09/29/06. If exercised the Fund pays 5.29% and receives floating 3 month LIBOR expiring 10/03/16, European Style. (Cost $10) | 10 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Short-Term Investments — 20.5% | |||||||||||
Commercial Paper — 19.9% | |||||||||||
250 | Abbey National plc (United Kingdom), 5.03%, 09/08/06 (m) (n) | 250 | |||||||||
250 | CBA Delaware Finance, Inc., 4.98%, 09/05/06 (m) (n) | 250 | |||||||||
500 | Charta Corp., 5.14%, 09/20/06 (m) (n) | 499 | |||||||||
250 | Corporate Asset Funding Co., Inc., 5.14%, 09/27/06 (m) (n) | 249 | |||||||||
500 | Crown Point Capital Co. LLC, 5.22%, 10/16/06 (m) (n) | 497 | |||||||||
500 | Danske Corp., 5.21%, 10/17/06 (m) (n) | 497 | |||||||||
500 | Galleon Capital LLC, 5.28%, 09/21/06 (m) (n) | 498 | |||||||||
250 | Nordea North America, Inc., 5.10%, 09/12/06 (m) (n) | 249 | |||||||||
500 | Ranger Funding, 5.12%, 09/13/06 (m) (n) | 499 | |||||||||
500 | Societe Generale, 4.99%, 09/06/06 (m) (n) | 500 | |||||||||
1,000 | UBS Finance Delaware LLC, 5.26%, 09/25/06 (m) (n) | 996 | |||||||||
Total Commercial Paper (Cost $4,984) | 4,984 | ||||||||||
SHARES | |||||||||||
Investment Company — 0.6% | |||||||||||
156 | JPMorgan Prime Money Market Fund (b) (m) (Cost $156) | 156 | |||||||||
Total Short-Term Investments (Cost $5,140) | 5,140 | ||||||||||
Total Investments — 118.1% (Cost $29,680) | 29,594 | ||||||||||
Liabilities in Excess of Other Assets — (18.1)% | (4,546 | ) | |||||||||
NET ASSETS — 100.0% | $ | 25,048 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/06 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
1 | U.K. Treasury Gilt | December, 2006 | $ | 210 | $ | 1 | ||||||||||||
7 | U.S. Treasury Bonds | December, 2006 | 777 | 4 | ||||||||||||||
1 | 10 Year U.S. Treasury Notes | December, 2006 | 107 | — | (h) | |||||||||||||
13 | 2 Year U.S. Treasury Notes | December, 2006 | 2,656 | 5 | ||||||||||||||
2 | 5 Year U.S. Treasury Notes | December, 2006 | 210 | — | (h) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(3) | Euro-Bobl | September, 2006 | (425 | ) | (1 | ) | ||||||||||||
(1) | Euro-Bund | September, 2006 | (152 | ) | (1 | ) | ||||||||||||
(19) | 5 Year U.S. Treasury Notes | December, 2006 | (1,997 | ) | (4 | ) | ||||||||||||
$ | 4 |
CONTRACTS TO BUY | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
160,330 CAD | 9/27/2006 | $ | 143 | $ | 145 | $ | 2 | |||||||||||
1,088,436 EUR | 9/27/2006 | 1,405 | 1,396 | (9 | ) | |||||||||||||
1,871 EUR for | ||||||||||||||||||
2,703 CAD | 9/27/2006 | 2 | # | 2 | # | — | (h) | |||||||||||
52,368 GBP | 9/27/2006 | 100 | 100 | — | (h) | |||||||||||||
$ | 1,650 | $ | 1,643 | $ | (7 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 08/31/06 of the currency being sold, and the value at 08/31/06 is the U.S. Dollar market value of the currency being purchased. |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 08/31/06 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
157,627 CAD | 9/27/2006 | $ | 138 | $ | 142 | $ | (4 | ) | ||||||||||
1,090,010 EUR | 9/27/2006 | 1,384 | 1,399 | (15 | ) | |||||||||||||
52,369 GBP | 9/27/2006 | 97 | 100 | (3 | ) | |||||||||||||
$ | 1,619 | $ | 1,641 | $ | (22 | ) |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Deutsche Bank AG, New York | 5.24% semi-annually | 3 month LIBOR quarterly | 08/30/11 | $ | 6,450 | $ | (16 | ) | ||||||||||||||
Deutsche Bank AG, New York | 5.34% semi-annually | 3 month LIBOR quarterly | 08/30/16 | 3,650 | (14 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.29% semi-annually | 08/30/08 | 7,500 | 11 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.29% semi-annually | 08/30/08 | 7,500 | 11 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.32% semi-annually | 08/30/16 | 1,825 | 5 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 5.45% semi-annually | 08/30/36 | 955 | 6 | |||||||||||||||||
$ | 3 |
AS OF AUGUST 31, 2006 (continued)
(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 | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 14,960 | 0.9 | % | ||||||
Short Term Bond Fund | 43,002 | 4.2 | ||||||||
Strategic Income Fund | 1,818 | 7.3 |
(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. |
BPS | — Basis Points |
BRL | — Brazilian Real |
CAD | — Canadian Dollar |
CDOR | — Canadian Dollar Offered Rate |
CHF | — Swiss Franc |
CMBS | — Commercial Mortgage Backed Securities |
CMO | — Collateralized Mortgage Obligation |
EUR | — Euro |
EURIBOR | — Euro Interbank Offered Rate |
FHLB | — Federal Home Loan Bank |
FHLMC | — Federal Home Loan Mortgage Corporation |
FNMA | — Federal National Mortgage Association |
FRN | — Floating Rate Note. The rate shown is the rate in effect as of August 31, 2006. |
GBP | — British Pound |
HB | — High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit (REMIC) trust and allocating them to the small principal of the HB class. |
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 exceed 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. |
LIBOR | — London Interbank Offered Rate |
MXN | — Mexican Peso |
NOK | — Norwegian Krone |
NZD | — New Zealand Dollar |
PLN | — Polish Zloty |
RACERS | — Restructured Asset Securities with Enhanced Returns. |
REIT | — Real Estate Investment Trust |
RUB | — Russian Ruble |
SEK | — Swedish Krona. |
SGD | — Singapore Dollar. |
STIBOR | — Stockholm Interbank Offered Rate |
SUB | — Step-Up Bond. The rate shown is the rate in effect as of August 31, 2006. |
TBA | — To Be Announced |
THB | — Thai Baht |
TRAINS | — Targeted Return Index |
TRY | — New Turkish Lira |
UKRPI | — United Kingdom Retail Price Index |
USD | — United States Dollar. |
VAR | — Variable. The interest rate shown is the rate in effect at August 31, 2006. |
WIBOR | — Warsaw Interbank Offered Rate |
ZAR | — South African Rand |
AS OF AUGUST 31, 2006
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund (a) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 2,062,339 | $ | 112,234 | $ | 128,722 | $ | 65,276 | ||||||||||
Investments in affiliates, at value | 138,063 | 3,027 | 14,740 | 2,842 | ||||||||||||||
Total investment securities, at value | 2,200,402 | 115,261 | 143,462 | 68,118 | ||||||||||||||
Cash | — | 11 | — | 17 | ||||||||||||||
Foreign currency, at value | 257 | 69 | — | 112 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 1,803,692 | 10,917 | 768 | 11,440 | ||||||||||||||
Fund shares sold | 1,280 | 805 | — | 24 | ||||||||||||||
Interest and dividends | 13,108 | 1,683 | 613 | 238 | ||||||||||||||
Variation margin on futures contracts | 1,139 | — | 39 | 34 | ||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 10 | — | — | 19 | ||||||||||||||
Outstanding swap contracts, at value | 28,957 | 539 | 2 | 678 | ||||||||||||||
Total Assets | 4,048,845 | 129,285 | 144,884 | 80,680 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Due to custodian | 4,376 | — | — | — | ||||||||||||||
Dividends | 6,095 | 109 | 61 | 1 | ||||||||||||||
Investment securities purchased | 2,175,388 | 8,603 | 13,409 | 15,704 | ||||||||||||||
Securities sold short, at value | 64,896 | — | — | 2,780 | ||||||||||||||
Fund shares redeemed | 2,095 | 50 | — | — | ||||||||||||||
Variation margin on futures contracts | 827 | 34 | 23 | 28 | ||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 33 | ||||||||||||||
Outstanding options written, at fair value | 21,359 | — | — | 775 | ||||||||||||||
Outstanding swap contracts, at value | 32,643 | 408 | 54 | 804 | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 404 | 42 | 5 | 10 | ||||||||||||||
Administration fees | 136 | 5 | 3 | 1 | ||||||||||||||
Shareholder servicing fees | 300 | 23 | — | 8 | ||||||||||||||
Distribution fees | 6 | — | (b) | — | — | (b) | ||||||||||||
Custodian and accounting fees | 27 | 13 | 6 | 5 | ||||||||||||||
Trustees’ and Officers’ fees | 6 | — | (b) | 1 | — | (b) | ||||||||||||
Other | 207 | 81 | 84 | 97 | ||||||||||||||
Total Liabilities | 2,308,765 | 9,368 | 13,646 | 20,246 | ||||||||||||||
Net Assets | $ | 1,740,080 | $ | 119,917 | $ | 131,238 | $ | 60,434 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund (a) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||||||
Paid in capital | $ | 1,770,021 | $ | 116,730 | $ | 138,722 | $ | 62,811 | ||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 961 | 96 | (1 | ) | 23 | |||||||||||||
Accumulated net realized gains (losses) | (29,571 | ) | (480 | ) | (7,515 | ) | (1,476 | ) | ||||||||||
Net unrealized appreciation (depreciation) | (1,331 | ) | 3,571 | 32 | (924 | ) | ||||||||||||
Total Net Assets | $ | 1,740,080 | $ | 119,917 | $ | 131,238 | $ | 60,434 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 13,632 | $ | 41 | $ | — | $ | 584 | ||||||||||
Class B | 2,814 | — | — | — | ||||||||||||||
Class C | 2,574 | 27 | — | 24 | ||||||||||||||
R Class | — | 2,426 | — | — | ||||||||||||||
Select Class | 1,310,157 | 117,423 | — | 58,882 | ||||||||||||||
Institutional Class | 265,279 | — | 131,238 | 944 | ||||||||||||||
Ultra | 145,624 | — | — | — | ||||||||||||||
Total | $ | 1,740,080 | $ | 119,917 | $ | 131,238 | $ | 60,434 | ||||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||||
Class A | 1,468 | 5 | — | 61 | ||||||||||||||
Class B | 305 | — | — | — | ||||||||||||||
Class C | 277 | 3 | — | 3 | ||||||||||||||
R Class | — | 289 | — | — | ||||||||||||||
Select Class | 142,445 | 13,991 | — | 6,181 | ||||||||||||||
Institutional Class | 28,852 | — | 13,448 | 99 | ||||||||||||||
Ultra | 15,835 | — | — | — | ||||||||||||||
�� | ||||||||||||||||||
Net Asset Value: | ||||||||||||||||||
Class A — Redemption price per share | $ | 9.29 | $ | 8.39 | $ | — | $ | 9.51 | ||||||||||
Class B — Offering price per share (c) | 9.23 | — | — | — | ||||||||||||||
Class C — Offering price per share (c) | 9.27 | 8.39 | — | 9.50 | ||||||||||||||
R Class — Offering and redemption price per share | — | 8.39 | — | — | ||||||||||||||
Select Class — Offering and redemption price per share | 9.20 | 8.39 | — | 9.53 | ||||||||||||||
Institutional Class — Offering and redemption price per share | 9.19 | — | 9.76 | 9.53 | ||||||||||||||
Ultra — Offering and redemption price per share | 9.20 | — | — | — | ||||||||||||||
Class A Maximum sales charge | 3.75 | % | 3.75 | % | — | 3.75 | % | |||||||||||
Class A Maximum public offering price per share (net asset value per share/100% – maximum sales charge) | $ | 9.65 | $ | 8.72 | $ | — | $ | 9.87 | ||||||||||
Cost of investments | $ | 2,207,171 | $ | 111,745 | $ | 143,407 | $ | 69,115 | ||||||||||
Cost of foreign currency | 257 | 69 | — | 110 | ||||||||||||||
Proceeds received from short positions | 68,100 | — | — | 2,751 | ||||||||||||||
Premiums received from options written | 27,202 | — | — | 1,008 | ||||||||||||||
Premiums paid on swaps | 254 | — | — | 1 | ||||||||||||||
Premiums received from swaps | 1,001 | — | — | 7 |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
(c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
AS OF AUGUST 31, 2006 (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 1,096,028 | $ | 673,731 | $ | 29,438 | ||||||||
Investments in affiliates, at value | 70,917 | 23,558 | 156 | |||||||||||
Total investment securities, at value | 1,166,945 | 697,289 | 29,594 | |||||||||||
Cash | 391 | 45 | 2 | |||||||||||
Foreign currency, at value | 224 | — | — | (b) | ||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 254,373 | 323,440 | 7,411 | |||||||||||
Fund shares sold | 1,756 | 257 | 1,757 | |||||||||||
Interest and dividends | 6,650 | 4,534 | 237 | |||||||||||
Variation margin on futures contracts | 913 | 70 | 4 | |||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 3 | — | 2 | |||||||||||
Outstanding swap contracts, at value | 9,770 | 5,329 | 33 | |||||||||||
Total Assets | 1,441,025 | 1,030,964 | 39,040 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Dividends | 2,659 | 2,225 | 51 | |||||||||||
Investment securities purchased | 360,290 | 400,837 | 13,706 | |||||||||||
Securities sold short, at value | 32,031 | — | — | |||||||||||
Fund shares redeemed | 3,912 | 485 | 101 | |||||||||||
Variation margin on futures contracts | 744 | 65 | 4 | |||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 31 | |||||||||||
Outstanding options written, at fair value | 5,053 | 4,178 | — | |||||||||||
Outstanding swap contracts, at value | 9,559 | 5,772 | 30 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 189 | 58 | — | |||||||||||
Administration fees | 36 | 46 | — | |||||||||||
Shareholder servicing fees | 134 | 79 | 5 | |||||||||||
Distribution fees | 1 | 70 | 9 | |||||||||||
Custodian and accounting fees | 9 | 10 | 13 | |||||||||||
Trustees’ and Officers’ fees | 5 | 7 | — | (b) | ||||||||||
Other | 134 | 194 | 42 | |||||||||||
Total Liabilities | 414,756 | 414,026 | 13,992 | |||||||||||
Net Assets | $ | 1,026,269 | $ | 616,938 | $ | 25,048 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 1,050,386 | $ | 653,390 | $ | 51,947 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,310 | 190 | 73 | |||||||||||
Accumulated net realized gains (losses) | (18,487 | ) | (27,841 | ) | (26,864 | ) | ||||||||
Net unrealized appreciation (depreciation) | (6,940 | ) | (8,801 | ) | (108 | ) | ||||||||
Total Net Assets | $ | 1,026,269 | $ | 616,938 | $ | 25,048 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 5,819 | $ | 32,557 | $ | 6,660 | ||||||||
Class B | — | — | 5,996 | |||||||||||
Class C | — | — | 3,285 | |||||||||||
Class M | — | 209,284 | 3,460 | |||||||||||
Select Class | 640,217 | 375,097 | 1,796 | |||||||||||
Institutional Class | 380,233 | — | 3,851 | |||||||||||
Total | $ | 1,026,269 | $ | 616,938 | $ | 25,048 | ||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 612 | 3,308 | 731 | |||||||||||
Class B | — | — | 658 | |||||||||||
Class C | — | — | 360 | |||||||||||
Class M | — | 21,263 | 379 | |||||||||||
Select Class | 67,339 | 38,049 | 197 | |||||||||||
Institutional Class | 39,989 | — | 422 | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 9.50 | $ | 9.84 | $ | 9.11 | ||||||||
Class B — Offering price per share (c) | — | — | 9.11 | |||||||||||
Class C — Offering price per share (c) | — | — | 9.12 | |||||||||||
Class M — Offering price per share | — | 9.84 | 9.12 | |||||||||||
Select Class — Offering and redemption price per share | 9.51 | 9.86 | 9.12 | |||||||||||
Institutional Class — Offering and redemption price per share | 9.51 | — | 9.12 | |||||||||||
Class A Maximum sales charge | 2.25 | % | 2.25 | % | 3.75 | % | ||||||||
Class A Maximum public offering price per share (net asset value per share/ 100% – maximum sales charge) | $ | 9.72 | $ | 10.07 | $ | 9.46 | ||||||||
Class M Maximum sales charge | — | 1.50 | % | 3.00 | % | |||||||||
Class M Maximum public offering price per share (net asset value per share/ 100% – maximum sales charge) | $ | — | $ | 9.99 | $ | 9.40 | ||||||||
Cost of investments | $ | 1,175,444 | $ | 706,548 | $ | 29,680 | ||||||||
Cost of foreign currency | 224 | — | — | (b) | ||||||||||
Proceeds received from short positions | 32,341 | — | — | |||||||||||
Premiums received from options written | 6,222 | 5,054 | — |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | Amount rounds to less than $1,000. |
(c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
FOR THE YEAR ENDED AUGUST 31, 2006
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund (a) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Interest income | $ | 59,097 | $ | 5,073 | $ | 7,073 | $ | 3,164 | ||||||||||
Dividend income | — | — | 52 | — | ||||||||||||||
Dividend income from affiliates (b) | 1,771 | 120 | 196 | 117 | ||||||||||||||
Foreign taxes withheld | — | — | (2 | ) | — | |||||||||||||
Total investment income | 60,868 | 5,193 | 7,319 | 3,281 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment advisory fees | 3,407 | 517 | 349 | 196 | ||||||||||||||
Administration fees | 1,159 | 75 | 143 | 57 | ||||||||||||||
Distribution fees: | ||||||||||||||||||
Class A Shares | 24 | — | (c) | — | 1 | |||||||||||||
Class B Shares | 19 | — | — | — | ||||||||||||||
Class C Shares | 10 | — | (c) | — | — | (c) | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||||
Class A Shares | 24 | — | (c) | — | 1 | |||||||||||||
Class B Shares | 6 | — | — | — | ||||||||||||||
Class C Shares | 3 | — | (c) | — | — | (c) | ||||||||||||
R Class Shares | — | — | (c) | — | — | |||||||||||||
Select Class Shares | 1,832 | 184 | — | 138 | ||||||||||||||
Institutional Class Shares | 249 | — | 140 | — | (c) | |||||||||||||
Custodian and accounting fees | 133 | 67 | 36 | 33 | ||||||||||||||
Interest expense | — | (c) | 5 | 3 | — | (c) | ||||||||||||
Professional fees | 114 | 81 | 72 | 85 | ||||||||||||||
Trustees’ and Officers’ fees | 18 | 1 | 2 | 1 | ||||||||||||||
Printing and mailing costs | 159 | 18 | 24 | 17 | ||||||||||||||
Registration and filing fees | 71 | 51 | 16 | 101 | ||||||||||||||
Transfer agent fees | 211 | 41 | 7 | 39 | ||||||||||||||
Other | 36 | 8 | 8 | 8 | ||||||||||||||
Total expenses | 7,475 | 1,048 | 800 | 677 | ||||||||||||||
Less amounts waived | (749 | ) | (120 | ) | (515 | ) | (290 | ) | ||||||||||
Less earnings credits | (56 | ) | (1 | ) | (4 | ) | (3 | ) | ||||||||||
Less expense reimbursements | — | — | — | (20 | ) | |||||||||||||
Net expenses | 6,670 | 927 | 281 | 364 | ||||||||||||||
Net investment income (loss) | 54,198 | 4,266 | 7,038 | 2,917 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund (a) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||||
Investments | $ | (40,170 | ) | $ | 641 | $ | (330 | ) | $ | (1,075 | ) | |||||||
Securities sold short | (1,061 | ) | — | (38 | ) | (27 | ) | |||||||||||
Options written | 7,746 | — | 110 | 159 | ||||||||||||||
Futures | 8,358 | (166 | ) | (289 | ) | (55 | ) | |||||||||||
Swaps | (6,020 | ) | (65 | ) | (63 | ) | (541 | ) | ||||||||||
Foreign currency transactions | (531 | ) | (273 | ) | (1 | ) | (56 | ) | ||||||||||
Net realized gain (loss) | (31,678 | ) | 137 | (611 | ) | (1,595 | ) | |||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments | 902 | 1,110 | (63 | ) | (997 | ) | ||||||||||||
Securities sold short | 4,767 | — | — | (29 | ) | |||||||||||||
Options written | 5,896 | — | (9 | ) | 233 | |||||||||||||
Futures | (842 | ) | (20 | ) | (90 | ) | — | (c) | ||||||||||
Swaps | (3,897 | ) | 94 | (52 | ) | (120 | ) | |||||||||||
Foreign currency translations | 214 | 2 | 1 | (11 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 7,040 | 1,186 | (213 | ) | (924 | ) | ||||||||||||
Net realized/unrealized gains (losses) | (24,638 | ) | 1,323 | (824 | ) | (2,519 | ) | |||||||||||
Change in net assets resulting from operations | $ | 29,560 | $ | 5,589 | $ | 6,214 | $ | 398 |
(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. |
FOR THE YEAR ENDED AUGUST 31, 2006 (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income | $ | 33,459 | $ | 35,585 | $ | 1,178 | ||||||||
Dividend income | 580 | — | — | |||||||||||
Dividend income from affiliates (b) | 2,449 | 1,263 | 109 | |||||||||||
Foreign taxes withheld | — | — | — | (c) | ||||||||||
Total investment income | 36,488 | 36,848 | 1,287 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 1,748 | 1,770 | 99 | |||||||||||
Administration fees | 717 | 727 | 23 | |||||||||||
Distribution fees: | ||||||||||||||
Class A Shares | 11 | 92 | 12 | |||||||||||
Class B Shares | — | — | 47 | |||||||||||
Class C Shares | �� | — | — | 20 | ||||||||||
Class M Shares | — | 915 | 20 | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A Shares | 11 | 92 | 12 | |||||||||||
Class B Shares | — | — | 16 | |||||||||||
Class C Shares | — | — | 7 | |||||||||||
Class M Shares | — | 653 | 12 | |||||||||||
Select Class Shares | 704 | 1,024 | 5 | |||||||||||
Institutional Class Shares | 413 | — | 2 | |||||||||||
Custodian and accounting fees | 62 | 62 | 71 | |||||||||||
Interest expense | — | (c) | 1 | — | (c) | |||||||||
Professional fees | 89 | 190 | 206 | |||||||||||
Trustees’ and Officers’ fees | 11 | 10 | — | (c) | ||||||||||
Printing and mailing costs | 106 | 143 | 75 | |||||||||||
Registration and filing fees | 45 | 25 | 133 | |||||||||||
Transfer agent fees | 47 | 81 | 68 | |||||||||||
Other | 25 | 160 | 10 | |||||||||||
Total expenses | 3,989 | 5,945 | 838 | |||||||||||
Less amounts waived | (1,139 | ) | (982 | ) | (124 | ) | ||||||||
Less earnings credits | (28 | ) | (25 | ) | (2 | ) | ||||||||
Less expense reimbursements | — | — | (419 | ) | ||||||||||
Net expenses | 2,822 | 4,938 | 293 | |||||||||||
Net investment income (loss) | 33,666 | 31,910 | 994 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments | $ | (9,764 | ) | $ | (14,631 | ) | $ | (480 | ) | |||||
Securities sold short | 943 | 1,471 | — | |||||||||||
Options written | 220 | 198 | — | |||||||||||
Futures | 1,144 | (406 | ) | 58 | ||||||||||
Swaps | (47 | ) | (748 | ) | — | |||||||||
Foreign currency transactions | (127 | ) | — | (25 | ) | |||||||||
Net realized gain (loss) | (7,631 | ) | (14,116 | ) | (447 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments | (2,470 | ) | (1,077 | ) | 131 | |||||||||
Securities sold short | 310 | — | — | |||||||||||
Options written | 1,099 | 778 | — | |||||||||||
Futures | 253 | 665 | 20 | |||||||||||
Swaps | (37 | ) | (1,014 | ) | 3 | |||||||||
Foreign currency translations | 10 | (1 | ) | 2 | ||||||||||
Change in net unrealized appreciation (depreciation) | (835 | ) | (649 | ) | 156 | |||||||||
Net realized/unrealized gains (losses) | (8,466 | ) | (14,765 | ) | (291 | ) | ||||||||
Change in net assets resulting from operations | $ | 25,200 | $ | 17,145 | $ | 703 |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(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. |
FOR THE PERIODS INDICATED
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a)(b) | | Year Ended 8/31/2005 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 54,198 | $ | 30,901 | $ | 4,266 | $ | 2,203 | |||||||||||
Net realized gain (loss) | (31,678 | ) | 21,795 | 137 | 6,189 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 7,040 | (10,912 | ) | 1,186 | (2,325 | ) | |||||||||||||
Change in net assets resulting from operations | 29,560 | 41,784 | 5,589 | 6,067 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (450 | ) | (164 | ) | — | (c) | — | ||||||||||||
From net realized gains | (198 | ) | (91 | ) | — | — | |||||||||||||
Class B | |||||||||||||||||||
From net investment income | (97 | ) | (62 | ) | — | — | |||||||||||||
From net realized gains | (68 | ) | (55 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | (55 | ) | (9 | ) | — | (c) | — | ||||||||||||
From net realized gains | (24 | ) | (6 | ) | — | — | |||||||||||||
R Class | |||||||||||||||||||
From net investment income | — | — | (33 | ) | — | ||||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (35,004 | ) | (8,133 | ) | (4,005 | ) | (2,457 | ) | |||||||||||
From net realized gains | (5,719 | ) | (5,643 | ) | (6,019 | ) | (4,588 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | (11,743 | ) | (12,001 | ) | — | — | |||||||||||||
From net realized gains | (6,859 | ) | (8,858 | ) | — | — | |||||||||||||
Ultra | |||||||||||||||||||
From net investment income | (6,786 | ) | (13,890 | ) | — | — | |||||||||||||
From net realized gains | (3,926 | ) | (10,597 | ) | — | — | |||||||||||||
Total distributions to shareholders | (70,929 | ) | (59,509 | ) | (10,057 | ) | (7,045 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 1,184,150 | (277,832 | ) | 89,788 | (719 | ) | |||||||||||||
Voluntary contribution from Advisor | — | — | 149 | — | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 1,142,781 | (295,557 | ) | 85,469 | (1,697 | ) | |||||||||||||
Beginning of period | 597,299 | 892,856 | 34,448 | 36,145 | |||||||||||||||
End of period | $ | 1,740,080 | $ | 597,299 | $ | 119,917 | $ | 34,448 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 961 | $ | (1,120 | ) | $ | 96 | $ | 129 |
(a) | Commencement of offering of Class A and Class C Shares on June 30, 2006. |
(b) | Commencement of offering of R Class Shares on May 15, 2006. |
(c) | Amount rounds to less than $1,000. |
Enhanced Income Fund | Real Return Fund | Short Term Bond Fund | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||||||||||||
Net investment income (loss) | $ | 7,038 | $ | 6,157 | $ | 2,917 | $ | 33,666 | $ | 24,577 | ||||||||||||||||
Net realized gain (loss) | (611 | ) | (464 | ) | (1,595 | ) | (7,631 | ) | (8,477 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (213 | ) | 105 | (924 | ) | (835 | ) | (4,908 | ) | |||||||||||||||||
Change in net assets resulting from operations | 6,214 | 5,798 | 398 | 25,200 | 11,192 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||
From net investment income | — | — | (12 | ) | (203 | ) | (107 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||
From net investment income | — | — | (1 | ) | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||
From net investment income | — | — | (2,740 | ) | (14,040 | ) | (4,429 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||
From net investment income | (6,984 | ) | (6,102 | ) | (22 | ) | (19,301 | ) | (21,549 | ) | ||||||||||||||||
Total distributions to shareholders | (6,984 | ) | (6,102 | ) | (2,775 | ) | (33,544 | ) | (26,085 | ) | ||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||
Change in net assets from capital transactions | (31,336 | ) | (130,104 | ) | 62,811 | 400,725 | (90,441 | ) | ||||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||||
Change in net assets | (32,106 | ) | (130,408 | ) | 60,434 | 392,381 | (105,334 | ) | ||||||||||||||||||
Beginning of period | 163,344 | 293,752 | — | 633,888 | 739,222 | �� | ||||||||||||||||||||
End of period | $ | 131,238 | $ | 163,344 | $ | 60,434 | $ | 1,026,269 | $ | 633,888 | ||||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1 | ) | $ | (45 | ) | $ | 23 | $ | 1,310 | $ | (319 | ) |
(a) | Commencement of operations was September 1, 2005. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund II | Strategic Income Fund (a) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (b) | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 31,910 | $ | 29,791 | $ | 994 | $ | 1,380 | |||||||||||
Net realized gain (loss) | (14,116 | ) | (11,671 | ) | (447 | ) | 2,413 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (649 | ) | (7,917 | ) | 156 | (1,738 | ) | ||||||||||||
Change in net assets resulting from operations | 17,145 | 10,203 | 703 | 2,055 | |||||||||||||||
Net equalization credits (debits) | (370 | ) | — | 5 | — | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (1,562 | ) | (1,413 | ) | (265 | ) | (104 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | — | — | (314 | ) | (149 | ) | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | — | — | (136 | ) | (58 | ) | |||||||||||||
Class M | |||||||||||||||||||
From net investment income | (10,192 | ) | (13,004 | ) | (207 | ) | (124 | ) | |||||||||||
Select Class | |||||||||||||||||||
From net investment income | (18,630 | ) | (14,903 | ) | (113 | ) | (96 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | — | — | (151 | ) | (782 | ) | |||||||||||||
Total distributions to shareholders | (30,384 | ) | (29,320 | ) | (1,186 | ) | (1,313 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | (214,576 | ) | (326,704 | ) | 3,224 | (20,984 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | (228,185 | ) | (345,821 | ) | 2,746 | (20,242 | ) | ||||||||||||
Beginning of period | 845,123 | 1,190,944 | 22,302 | 42,544 | |||||||||||||||
End of period | $ | 616,938 | $ | 845,123 | $ | 25,048 | $ | 22,302 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 190 | $ | (1,773 | ) | $ | 73 | $ | 245 |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a)(b) | | Year Ended 8/31/2005 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 13,249 | $ | 3,751 | $ | 40 | $ | — | |||||||||||
Dividends reinvested | 575 | 240 | — | (c) | — | ||||||||||||||
Cost of shares redeemed | (5,735 | ) | (981 | ) | — | — | |||||||||||||
Redemption fees | — | — | — | (c) | — | ||||||||||||||
Change in net assets from Class A capital transactions | $ | 8,089 | $ | 3,010 | $ | 40 | $ | — | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 1,245 | $ | 811 | $ | — | $ | — | |||||||||||
Dividends reinvested | 87 | 53 | — | — | |||||||||||||||
Cost of shares redeemed | (665 | ) | (523 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | 667 | $ | 341 | $ | — | $ | — | |||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 2,350 | $ | 414 | $ | 26 | $ | — | |||||||||||
Dividends reinvested | 67 | 14 | — | (c) | — | ||||||||||||||
Cost of shares redeemed | (225 | ) | (210 | ) | — | — | |||||||||||||
Redemption fees | — | — | — | (c) | — | ||||||||||||||
Change in net assets from Class C capital transactions | $ | 2,192 | $ | 218 | $ | 26 | $ | — | |||||||||||
R Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,254 | $ | — | |||||||||||
Dividends reinvested | — | — | 33 | — | |||||||||||||||
Redemption fees | — | — | — | (c) | — | ||||||||||||||
Change in net assets from R Class capital transactions | $ | — | $ | — | $ | 2,287 | $ | — | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 597,386 | $ | 89,091 | $ | 118,045 | $ | 39,420 | |||||||||||
Subscriptions in-kind (Note 9) | 744,265 | — | — | — | |||||||||||||||
Dividends reinvested | 10,560 | 12,184 | 7,995 | 6,068 | |||||||||||||||
Cost of shares redeemed | (226,087 | ) | (83,731 | ) | (38,629 | ) | (46,207 | ) | |||||||||||
Redemption fees | — | — | 24 | — | (c) | ||||||||||||||
Change in net assets from Select Class capital transactions | $ | 1,126,124 | $ | 17,544 | $ | 87,435 | $ | (719 | ) | ||||||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | 115,518 | $ | 73,182 | $ | — | $ | — | |||||||||||
Dividends reinvested | 12,418 | 13,217 | — | — | |||||||||||||||
Cost of shares redeemed | (108,417 | ) | (138,577 | ) | — | — | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 19,519 | $ | (52,178 | ) | $ | — | $ | — | ||||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | 54,168 | $ | 57,221 | $ | — | $ | — | |||||||||||
Dividends reinvested | 5,728 | 21,223 | — | — | |||||||||||||||
Cost of shares redeemed | (32,337 | ) | (325,211 | ) | — | — | |||||||||||||
Change in net assets from Ultra capital transactions | $ | 27,559 | $ | (246,767 | ) | $ | — | $ | — |
(a) | Commencement of offering of Class A Shares and Class C Shares was June 30, 2006. |
(b) | Commencement of offering of R Class Shares on May 15, 2006. |
(c) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a)(b) | | Year Ended 8/31/2005 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 1,415 | 383 | 5 | — | |||||||||||||||
Reinvested | 62 | 24 | — | (c) | — | ||||||||||||||
Redeemed | (615 | ) | (100 | ) | — | — | |||||||||||||
Change in Class A Shares | 862 | 307 | 5 | — | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 134 | 83 | — | — | |||||||||||||||
Reinvested | 9 | 5 | — | — | |||||||||||||||
Redeemed | (71 | ) | (53 | ) | — | — | |||||||||||||
Change in Class B Shares | 72 | 35 | — | — | |||||||||||||||
Class C | |||||||||||||||||||
Issued | 251 | 42 | 3 | — | |||||||||||||||
Reinvested | 7 | 1 | — | (c) | — | ||||||||||||||
Redeemed | (24 | ) | (21 | ) | — | — | |||||||||||||
Change in Class C Shares | 234 | 22 | 3 | — | |||||||||||||||
R Class | |||||||||||||||||||
Issued | — | — | 285 | — | |||||||||||||||
Reinvested | — | — | 4 | — | |||||||||||||||
Redeemed | — | — | — | — | |||||||||||||||
Change in R Class Shares | — | — | 289 | — | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 64,971 | 9,140 | 13,930 | 4,280 | |||||||||||||||
Subscriptions in-kind (Note 9) | 80,114 | — | — | — | |||||||||||||||
Reinvested | 1,138 | 1,251 | 969 | 681 | |||||||||||||||
Redeemed | (24,545 | ) | (8,565 | ) | (4,616 | ) | (5,026 | ) | |||||||||||
Change in Select Class Shares | 121,678 | 1,826 | 10,283 | (65 | ) | ||||||||||||||
Institutional Class | |||||||||||||||||||
Issued | 12,514 | 7,505 | — | — | |||||||||||||||
Reinvested | 1,339 | 1,358 | — | — | |||||||||||||||
Redeemed | (11,627 | ) | (14,161 | ) | — | — | |||||||||||||
Change in Institutional Class Shares | 2,226 | (5,298 | ) | — | — | ||||||||||||||
Ultra | |||||||||||||||||||
Issued | 5,754 | 5,835 | — | — | |||||||||||||||
Reinvested | 617 | 2,179 | — | — | |||||||||||||||
Redeemed | (3,479 | ) | (33,265 | ) | — | — | |||||||||||||
Change in Ultra Shares | 2,892 | (25,251 | ) | — | — |
(a) | Commencement of offering of Class A Shares and Class C Shares was June 30, 2006. |
(b) | Commencement of offering of R Class Shares on May 15, 2006. |
(c) | Amount rounds to less than 1,000. |
Enhanced Income Fund | Real Return Fund | Short Term Bond Fund | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | ||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 691 | $ | 3,712 | $ | 2,274 | ||||||||||||||||
Dividends reinvested | — | — | 6 | 197 | 88 | |||||||||||||||||||||
Cost of shares redeemed | — | — | (107 | ) | (1,428 | ) | (1,576 | ) | ||||||||||||||||||
Change in net assets from Class A capital transactions | $ | — | $ | — | $ | 590 | $ | 2,481 | $ | 786 | ||||||||||||||||
Class C | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 24 | $ | — | $ | — | ||||||||||||||||
Dividends reinvested | — | — | 1 | — | — | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (b) | — | — | ||||||||||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | 25 | $ | — | $ | — | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 60,834 | $ | 560,733 | $ | 117,275 | ||||||||||||||||
Dividends reinvested | — | — | 1,957 | 2,346 | 1,911 | |||||||||||||||||||||
Cost of shares redeemed | — | — | (1,530 | ) | (79,887 | ) | (52,431 | ) | ||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | — | $ | — | $ | 61,261 | $ | 483,192 | $ | 66,755 | ||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | 93,886 | $ | 56,236 | $ | 928 | $ | 141,259 | $ | 115,405 | ||||||||||||||||
Dividends reinvested | 6,204 | 4,840 | 22 | 13,896 | 14,337 | |||||||||||||||||||||
Cost of shares redeemed | (131,426 | ) | (191,180 | ) | (15 | ) | (240,103 | ) | (287,724 | ) | ||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (31,336 | ) | $ | (130,104 | ) | $ | 935 | $ | (84,948 | ) | $ | (157,982 | ) |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Enhanced Income Fund | Real Return Fund | Short Term Bond Fund | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | ||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||
Issued | — | — | 72 | 389 | 233 | |||||||||||||||||||||
Reinvested | — | — | — | (b) | 21 | 9 | ||||||||||||||||||||
Redeemed | — | — | (11 | ) | (150 | ) | (162 | ) | ||||||||||||||||||
Change in Class A Shares | — | 61 | 260 | 80 | ||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||
Issued | — | — | 3 | — | — | |||||||||||||||||||||
Reinvested | — | — | — | (b) | — | — | ||||||||||||||||||||
Redeemed | — | — | — | (b) | — | — | ||||||||||||||||||||
Change in Class C Shares | — | — | 3 | — | — | |||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||
Issued | — | — | 6,135 | 58,968 | 12,075 | |||||||||||||||||||||
Reinvested | — | — | 207 | 247 | 196 | |||||||||||||||||||||
Redeemed | — | — | (161 | ) | (8,372 | ) | (5,395 | ) | ||||||||||||||||||
Change in Select Class Shares | — | — | 6,181 | 50,843 | 6,876 | |||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||
Issued | 9,579 | 5,720 | 98 | 14,788 | 11,837 | |||||||||||||||||||||
Reinvested | 635 | 492 | 2 | 1,460 | 1,475 | |||||||||||||||||||||
Redeemed | (13,408 | ) | (19,434 | ) | (1 | ) | (25,159 | ) | (29,572 | ) | ||||||||||||||||
Change in Institutional Class Shares | (3,194 | ) | (13,222 | ) | 99 | (8,911 | ) | (16,260 | ) |
(a) | Commencement of operations was September 1, 2005. |
(b) | Amount rounds to less than 1,000. |
Short Term Bond Fund II | Strategic Income Fund (a) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (b) | | ||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||
Proceeds from shares issued | $ | 4,577 | $ | 4,516 | $ | 4,254 | $ | 1,178 | ||||||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 3,011 | ||||||||||||||||||
Dividends reinvested | 1,410 | 1,265 | 156 | 69 | ||||||||||||||||||
Cost of shares redeemed | (14,049 | ) | (19,040 | ) | (1,650 | ) | (1,137 | ) | ||||||||||||||
Redemption fees | — | — | 1 | — | ||||||||||||||||||
Change in net assets from Class A capital transactions | $ | (8,062 | ) | $ | (13,259 | ) | $ | 2,761 | $ | 3,121 | ||||||||||||
Class B | ||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 909 | $ | 482 | ||||||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 7,328 | ||||||||||||||||||
Dividends reinvested | — | — | 179 | 80 | ||||||||||||||||||
Cost of shares redeemed | — | — | (1,660 | ) | (1,218 | ) | ||||||||||||||||
Redemption fees | — | — | 2 | — | ||||||||||||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (570 | ) | $ | 6,672 | |||||||||||||
Class C | ||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,583 | $ | 276 | ||||||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 2,925 | ||||||||||||||||||
Dividends reinvested | — | — | 89 | 36 | ||||||||||||||||||
Cost of shares redeemed | — | — | (970 | ) | (626 | ) | ||||||||||||||||
Redemption fees | — | — | 1 | — | ||||||||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | 703 | $ | 2,611 | ||||||||||||||
Class M | ||||||||||||||||||||||
Proceeds from shares issued | $ | 388 | $ | 27,844 | $ | 7 | $ | 14 | ||||||||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | — | 6,507 | ||||||||||||||||||
Dividends reinvested | 1 | 2 | 18 | — | ||||||||||||||||||
Cost of shares redeemed | (157,508 | ) | (289,937 | ) | (1,518 | ) | (1,492 | ) | ||||||||||||||
Redemption fees | — | — | 1 | — | ||||||||||||||||||
Change in net assets from Class M capital transactions | $ | (157,119 | ) | $ | (262,091 | ) | $ | (1,492 | ) | $ | 5,029 | |||||||||||
Select Class | ||||||||||||||||||||||
Proceeds from shares issued | $ | 103,808 | $ | 87,195 | $ | 984 | $ | 695 | ||||||||||||||
Dividends reinvested | 728 | 876 | 94 | 88 | ||||||||||||||||||
Cost of shares redeemed | (153,931 | ) | (139,425 | ) | (1,123 | ) | (1,313 | ) | ||||||||||||||
Redemption fees | — | — | — | (c) | — | |||||||||||||||||
Change in net assets from Select Class capital transactions | $ | (49,395 | ) | $ | (51,354 | ) | $ | (45 | ) | $ | (530 | ) | ||||||||||
Institutional Class | ||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,481 | $ | 1,797 | ||||||||||||||
Dividends reinvested | — | — | 144 | 103 | ||||||||||||||||||
Cost of shares redeemed | — | — | (759 | ) | (39,787 | ) | ||||||||||||||||
Redemption fees | — | — | 1 | — | ||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 1,867 | $ | (37,887 | ) |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
(c) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund II | Strategic Income Fund (a) | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (b) | | ||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||
Issued | 464 | 447 | 469 | 128 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 325 | ||||||||||||||||||
Reinvested | 143 | 125 | 17 | 7 | ||||||||||||||||||
Redeemed | (1,423 | ) | (1,885 | ) | (180 | ) | (123 | ) | ||||||||||||||
Change in Class A Shares | (816 | ) | (1,313 | ) | 306 | 337 | ||||||||||||||||
Class B | ||||||||||||||||||||||
Issued | — | — | 100 | 51 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 792 | ||||||||||||||||||
Reinvested | — | — | 20 | 9 | ||||||||||||||||||
Redeemed | — | — | (182 | ) | (132 | ) | ||||||||||||||||
Change in Class B Shares | — | — | (62 | ) | 720 | |||||||||||||||||
Class C | ||||||||||||||||||||||
Issued | — | — | 175 | 30 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 316 | ||||||||||||||||||
Reinvested | — | — | 10 | 4 | ||||||||||||||||||
Redeemed | — | — | (107 | ) | (68 | ) | ||||||||||||||||
Change in Class C Shares | — | — | 78 | 282 | ||||||||||||||||||
Class M | ||||||||||||||||||||||
Issued | 39 | 2,759 | 1 | 2 | ||||||||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | — | 702 | ||||||||||||||||||
Reinvested | — | (c) | — | (c) | 2 | — | ||||||||||||||||
Redeemed | (15,882 | ) | (28,681 | ) | (166 | ) | (162 | ) | ||||||||||||||
Change in Class M Shares | (15,843 | ) | (25,922 | ) | (163 | ) | 542 | |||||||||||||||
Select Class | ||||||||||||||||||||||
Issued | 10,490 | 8,603 | 108 | 75 | ||||||||||||||||||
Reinvested | 74 | 86 | 10 | 10 | ||||||||||||||||||
Redeemed | (15,572 | ) | (13,773 | ) | (124 | ) | (142 | ) | ||||||||||||||
Change in Select Class Shares | (5,008 | ) | (5,084 | ) | (6 | ) | (57 | ) | ||||||||||||||
Institutional Class | ||||||||||||||||||||||
Issued | — | — | 271 | 193 | ||||||||||||||||||
Reinvested | — | — | 16 | 11 | ||||||||||||||||||
Redeemed | — | — | (84 | ) | (4,321 | ) | ||||||||||||||||
Change in Institutional Class Shares | — | — | 203 | (4,117 | ) |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
(c) | Amount rounds to less than 1,000. |
FOR THE YEAR ENDED AUGUST 31, 2006
| Enhanced Income Fund | |||||
---|---|---|---|---|---|---|
Increase (decrease) in cash: | ||||||
Cash flows provided (used) by operating activities: | ||||||
Net interest and dividend income received | $ | 7,989 | ||||
Operating expenses paid | (279 | ) | ||||
Purchases of long-term investments | (437,618 | ) | ||||
Net (purchases)/sales of short-term investments | (16,997 | ) | ||||
Proceeds from disposition of long-term investments and principal paydowns | 487,473 | |||||
Net cash provided by options written | 62 | |||||
Net cash used by swap transactions | (63 | ) | ||||
Net cash used by futures contracts | (356 | ) | ||||
Net cash provided by operating activities | 40,211 | |||||
Cash flows provided (used) by financing activities | ||||||
Proceeds from shares sold | 93,886 | |||||
Payments of shares repurchased and redeemed | (131,426 | ) | ||||
Dividend and capital gain distributions paid (includes dividend reinvestments of $6,204) | (789 | ) | ||||
Payments of cash overdrafts | (1,882 | ) | ||||
Net cash used by financing activities | (40,211 | ) | ||||
Net increase in cash | — | |||||
Cash at beginning of period | — | |||||
Cash at end of period | $ | — | ||||
Reconciliation of change in net assets resulting from operations to net cash provided (used) by operating activities: | ||||||
Change in net assets resulting from operations | $ | 6,214 | ||||
Decrease in market value of investment securities | 48,929 | |||||
Increase in receivable for investment securities sold | 19,713 | |||||
Decrease in interest and dividends receivable | 83 | |||||
Increase in variation margin payable | 23 | |||||
Decrease in payable for investment securities purchased | (34,757 | ) | ||||
Decrease in dividends payable | (9 | ) | ||||
Increase in net outstanding swap contracts payable | 52 | |||||
Decrease in market value of outstanding options written | (39 | ) | ||||
Increase in accrued expenses and other payables | 2 | |||||
Total Adjustments | 33,997 | |||||
Net cash provided by operating activities | $ | 40,211 |
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 | | Total distributions | ||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.85 | $ | 0.41 | $ | (0.28 | ) | $ | 0.13 | $ | (0.42 | ) | $ | (0.27 | ) | $ | — | $ | (0.69 | ) | |||||||||||||||
Year Ended August 31, 2005 | 10.05 | 0.36 | 0.13 | 0.49 | (0.39 | ) | (0.30 | ) | — | (0.69 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 10.03 | 0.32 | 0.32 | 0.64 | (0.32 | ) | (0.30 | ) | — | (0.62 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.07 | 0.40 | 0.04 | 0.44 | (0.40 | ) | (0.08 | ) | — | (0.48 | ) | ||||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 10.08 | 0.31 | 0.05 | 0.36 | (0.31 | ) | (0.06 | ) | — | (0.37 | ) | ||||||||||||||||||||||||
September 10, 2001 (e) through October 31, 2001 | 9.89 | 0.06 | (h) | 0.20 | 0.26 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
June 30, 2006 (e) through August 31, 2006 | 7.93 | 0.08 | 0.46 | 0.54 | (0.08 | ) | — | — | (0.08 | ) | |||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
Year ended August 31, 2006 (f) | 10.00 | 0.42 | (0.46 | ) | (0.04 | ) | (0.45 | ) | — | — | (0.45 | ) | |||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.64 | 0.42 | (0.15 | ) | 0.27 | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.31 | (0.19 | ) | 0.12 | (0.32 | ) | — | — | (0.32 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.85 | 0.20 | (0.01 | ) | 0.19 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.03 | 0.24 | (0.03 | ) | 0.21 | (0.25 | ) | (0.14 | ) | — | (0.39 | ) | |||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 10.01 | 0.27 | 0.05 | 0.32 | (0.26 | ) | (0.04 | ) | — | (0.30 | ) | ||||||||||||||||||||||||
September 10, 2001 (e) through October 31, 2001 | 9.87 | 0.05 | (h) | 0.15 | 0.20 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||
�� | |||||||||||||||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | — | — | (0.30 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 10.23 | 0.21 | (h) | (0.02 | ) | 0.19 | (0.21 | ) | — | — | (i) | (0.21 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.23 | (h) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | — | (i) | (0.29 | ) | |||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 10.38 | 0.25 | 0.06 | 0.31 | (0.25 | ) | (0.11 | ) | — | (0.36 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.43 | (h) | 0.53 | 0.96 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Strategic Income Fund (g) | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.43 | (h) | (0.14 | ) | 0.29 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | 0.30 | 0.33 | 0.63 | (0.38 | ) | — | — | (0.38 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.48 | (h) | 0.15 | 0.63 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.64 | 0.40 | (h) | 0.31 | 0.71 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 8.91 | 0.55 | (0.33 | ) | 0.22 | (0.47 | ) | (0.02 | ) | — | (0.49 | ) | |||||||||||||||||||||||
September 10, 2001 (e) through October 31, 2001 | 9.13 | 0.09 | (h) | (0.22 | ) | (0.13 | ) | (0.09 | ) | — | — | (0.09 | ) |
(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) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(h) | Calculated based on average shares outstanding. |
(i) | Amount rounds to less than $0.01. |
(j) | Includes interest expense of 0.01%. |
(k) | Due to the size of net assets and fixed expenses, ratios may appear disproportionate. |
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) | ||||||||||||||||||
$— | $ | 9.29 | 1.42 | % | $ | 13,632 | 0.75 | % | 4.55 | % | 0.97 | % | 711 | % | ||||||||||||||||||
— | 9.85 | 5.06 | 5,963 | 0.75 | 3.63 | 1.31 | 559 | |||||||||||||||||||||||||
— | 10.05 | 6.61 | 3,004 | 0.75 | 3.19 | 1.88 | 571 | |||||||||||||||||||||||||
— | 10.03 | 4.32 | 2,000 | 0.75 | 3.86 | 1.59 | 679 | |||||||||||||||||||||||||
— | 10.07 | 3.72 | 1,000 | 0.75 | 3.59 | 5.64 | 572 | |||||||||||||||||||||||||
— | 10.08 | 2.63 | 70,000 | 0.75 | 3.93 | 10.75 | 423 | |||||||||||||||||||||||||
— | (i) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | ||||||||||||||||||||||||
— | 9.51 | (0.33 | ) | 584 | 0.90 | 3.96 | 1.45 | 223 | ||||||||||||||||||||||||
— | 9.50 | 2.93 | 5,819 | 0.75 | 4.49 | 0.91 | 540 | |||||||||||||||||||||||||
— | 9.64 | 1.29 | 3,393 | 0.75 | 3.20 | 1.21 | 194 | |||||||||||||||||||||||||
— | 9.84 | 1.92 | 3,000 | 0.75 | 2.00 | 1.17 | 261 | |||||||||||||||||||||||||
— | 9.85 | 2.08 | 9,000 | 0.75 | 2.39 | 1.10 | 386 | |||||||||||||||||||||||||
— | 10.03 | 3.18 | 10,000 | 0.75 | 3.01 | 1.00 | 215 | |||||||||||||||||||||||||
— | 10.01 | 2.01 | 2,000 | 0.75 | 3.62 | 10.76 | 160 | |||||||||||||||||||||||||
— | 9.84 | 2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | |||||||||||||||||||||||||
— | 10.02 | 1.09 | 41,311 | 0.75 | 2.94 | 1.00 | 201 | |||||||||||||||||||||||||
— | 10.21 | 1.85 | 55,000 | 0.75 | 2.03 | 1.10 | 253 | |||||||||||||||||||||||||
— | 10.23 | 1.88 | 44,000 | 0.75 | 2.31 | 0.96 | 319 | |||||||||||||||||||||||||
— | 10.33 | 3.06 | 70,000 | 0.75 | 2.66 | 1.00 | 192 | |||||||||||||||||||||||||
— | 10.38 | 9.95 | 52,000 | 0.75 | 4.25 | 1.15 | 315 | |||||||||||||||||||||||||
— | (i) | 9.11 | 3.24 | 6,660 | 1.15 | 4.67 | 3.77 | 299 | ||||||||||||||||||||||||
— | 9.33 | 7.04 | 3,965 | 1.17 | 4.29 | 2.11 | 461 | |||||||||||||||||||||||||
— | 9.08 | 7.20 | 802 | 1.27 | (j) | 5.31 | 4.23 | 152 | ||||||||||||||||||||||||
— | 8.92 | 8.33 | 300 | 1.25 | 4.45 | 7.26 | 248 | |||||||||||||||||||||||||
— | 8.64 | 2.54 | 70 | 1.25 | 6.20 | 35.90 | (k) | 178 | ||||||||||||||||||||||||
— | 8.91 | (2.30 | ) | 70 | 1.25 | 6.99 | 11.01 | 107 |
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 | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.78 | $ | 0.36 | $ | (0.28 | ) | $ | 0.08 | $ | (0.36 | ) | $ | (0.27 | ) | $ | — | $ | (0.63 | ) | |||||||||||||||
Year Ended August 31, 2005 | 9.97 | 0.29 | 0.12 | 0.41 | (0.30 | ) | (0.30 | ) | — | (0.60 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.95 | 0.25 | 0.32 | 0.57 | (0.25 | ) | (0.30 | ) | — | (h) | (0.55 | ) | |||||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.08 | ) | — | (0.40 | ) | |||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 10.08 | 0.24 | 0.03 | 0.27 | (0.24 | ) | (0.06 | ) | — | (0.30 | ) | ||||||||||||||||||||||||
September 10, 2001 (e) to October 31, 2001 | 9.89 | 0.06 | (g) | 0.19 | 0.25 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||
Strategic Income Fund (f) | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.32 | 0.39 | (g) | (0.14 | ) | 0.25 | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||||
February 18, 2005 (e) to August 31, 2005 | 9.26 | 0.19 | 0.06 | 0.25 | (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) | The Fund changed its fiscal year end from October 31 to August 31. |
(e) | Commencement of offering of class of shares. |
(f) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(g) | Calculated based upon average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
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) | ||||||||||||||||||
$— | $ | 9.23 | 0.90 | % | $ | 2,814 | 1.40 | % | 3.99 | % | 1.47 | % | 711 | % | ||||||||||||||||||
— | 9.78 | 4.23 | 2,283 | 1.44 | 2.93 | 1.90 | 559 | |||||||||||||||||||||||||
— | 9.97 | 5.89 | 1,972 | 1.50 | 2.48 | 2.36 | 571 | |||||||||||||||||||||||||
— | 9.95 | 2.94 | 2,000 | 1.50 | 3.19 | 2.14 | 679 | |||||||||||||||||||||||||
— | 10.05 | 2.83 | 1,000 | 1.50 | 2.80 | 6.02 | 572 | |||||||||||||||||||||||||
— | 10.08 | 2.53 | 64 | 1.48 | 4.07 | 11.25 | 423 | |||||||||||||||||||||||||
— | (h) | 9.11 | 2.80 | 5,996 | 1.65 | 4.21 | 4.08 | 299 | ||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.83 | $ | 0.32 | $ | (0.25 | ) | $ | 0.07 | $ | (0.36 | ) | $ | (0.27 | ) | $ | (0.63 | ) | |||||||||||||
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) through August 31, 2003 | 10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
June 30, 2006 (d) through August 31, 2006 | 7.93 | 0.07 | 0.47 | 0.54 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Year ended August 31, 2006 (e) | 10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||||
Strategic Income Fund (f) | |||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.38 | (g) | (0.13 | ) | 0.25 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||||
February 18, 2005 (d) through August 31, 2005 | 9.26 | 0.19 | 0.07 | 0.26 | (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) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(g) | Calculated based on average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
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) | ||||||||||||||||||
— | $ | 9.27 | 0.87 | % | $ | 2,574 | 1.39 | % | 3.90 | % | 1.46 | % | 711 | % | ||||||||||||||||||
— | 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 | ||||||||||||||||||||||||
— | (h) | 8.39 | 6.77 | 27 | 2.00 | 5.87 | 2.20 | 270 | ||||||||||||||||||||||||
— | 9.50 | (0.80 | ) | 24 | 1.40 | 4.58 | 1.95 | 223 | ||||||||||||||||||||||||
— | (h) | 9.12 | 2.82 | 3,285 | 1.65 | 4.20 | 4.16 | 299 | ||||||||||||||||||||||||
— | 9.33 | 2.88 | 2,631 | 1.65 | 3.91 | 2.42 | 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 | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 10.02 | $ | 0.41 | $ | (0.19 | ) | $ | 0.22 | $ | (0.40 | ) | $ | — | $ | — | $ | (0.40 | ) | ||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 10.23 | 0.18 | (g) | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (h) | (0.18 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.21 | (g) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | — | (h) | (0.27 | ) | |||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 10.37 | 0.23 | 0.06 | 0.29 | (0.22 | ) | (0.11 | ) | — | (0.33 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.35 | (g) | 0.58 | 0.93 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
Strategic Income Fund (e) | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.40 | (g) | (0.13 | ) | 0.27 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||||
February 18, 2005 (f) through August 31, 2005 | 9.26 | 0.20 | 0.07 | 0.27 | (0.20 | ) | — | — | (0.20 | ) |
(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 June 16, 2006, the Fund was named Global Strategic Income Fund. |
(f) | Commencement of offering of class of shares. |
(g) | Calculated based on average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
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) | ||||||||||||||||||
$— | $ | 9.84 | 2.30 | % | $ | 209,284 | 1.00 | % | 4.19 | % | 1.05 | % | 479 | % | ||||||||||||||||||
— | 10.02 | 0.83 | 371,756 | 1.00 | 2.67 | 1.03 | 201 | |||||||||||||||||||||||||
— | 10.21 | 1.58 | 643,278 | 1.00 | 1.75 | 1.04 | 253 | |||||||||||||||||||||||||
— | 10.23 | 1.64 | 1,168,000 | 1.00 | 2.07 | 1.04 | 319 | |||||||||||||||||||||||||
— | 10.33 | 2.92 | 1,127,000 | 1.00 | 2.41 | 1.03 | 192 | |||||||||||||||||||||||||
— | 10.37 | 9.63 | 689,000 | 1.00 | 3.45 | 1.11 | 315 | |||||||||||||||||||||||||
— | (h) | 9.12 | 2.99 | 3,460 | 1.45 | 4.41 | 3.82 | 299 | ||||||||||||||||||||||||
— | 9.33 | 3.00 | 5,057 | 1.45 | 4.09 | 2.20 | 4.61 |
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 | ||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
May 15, 2006 (d) through August 31, 2006 | $ | 8.07 | $ | 0.14 | $ | 0.33 | $ | 0.47 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) |
(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) | Amount rounds to less than $0.01. |
Ratios/Supplemental data | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||||
Redemption fees | | Net asset value, end of period | | Total return (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) | ||||||||||||||||||
$—(e) | $ | 8.39 | 5.88 | % | $ | 2,426 | 1.05 | % | 7.23 | % | 1.23 | % | 270 | % |
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 | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.76 | $ | 0.42 | $ | (0.28 | ) | $ | 0.14 | $ | (0.43 | ) | $ | (0.27 | ) | $ | — | $ | (0.70 | ) | |||||||||||||||
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 through 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 | ) | ||||||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.29 | 0.45 | 0.42 | 0.87 | (0.46 | ) | (1.35 | ) | — | (1.81 | ) | ||||||||||||||||||||||||
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 through 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 | ) | ||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
Year ended August 31, 2006 (g) | 10.00 | 0.48 | (0.49 | ) | (0.01 | ) | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.64 | 0.44 | (0.14 | ) | 0.30 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.32 | (0.17 | ) | 0.15 | (0.35 | ) | — | — | (0.35 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.04 | 0.26 | (0.03 | ) | 0.23 | (0.27 | ) | (0.14 | ) | — | (0.41 | ) | |||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 10.03 | 0.28 | 0.04 | 0.32 | (0.27 | ) | (0.04 | ) | — | (0.31 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 (e) | 9.61 | 0.51 | (h) | 0.46 | 0.97 | (0.55 | ) | — | — | (0.55 | ) |
(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. The net asset value at the beginning of the period was 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 of 0.01%. |
(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 The Short Term Bond Portfolio, in which the Fund invested all of its investable assets. |
(n) | Voluntary contribution from Advisor. The total return without the voluntary contribution would have been 10.46%. |
| | | | Ratios/Supplemental data | | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||||||||||
Contribution from affiliate | | Redemption fees | | Net asset value, end of period | | Total return (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) | | |||||||||||||||||||||
$— | $ | — | $ | 9.20 | 1.55 | % | $ | 1,310,157 | 0.65 | % | 4.69 | % | 0.71 | % | 711 | % | ||||||||||||||||||||||
— | — | 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) | |||||||||||||||||||||||||||||
0.04 | (n) | — | (i) | 8.39 | 10.99 | (n) | 117,423 | 1.26 | (j) | 5.77 | 1.42 | 270 | ||||||||||||||||||||||||||
— | — | (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) | ||||||||||||||||||||||||||||
— | — | 9.53 | 0.01 | 58,882 | 0.65 | 5.20 | 1.21 | 223 | ||||||||||||||||||||||||||||||
— | — | 9.51 | 3.22 | 640,217 | 0.55 | 4.73 | 0.65 | 540 | ||||||||||||||||||||||||||||||
— | — | 9.64 | 1.52 | 159,035 | 0.56 | 3.48 | 0.68 | 194 | ||||||||||||||||||||||||||||||
— | — | 9.84 | 1.99 | 94,681 | 0.58 | 2.22 | 0.73 | 261 | ||||||||||||||||||||||||||||||
— | — | 9.86 | 2.28 | 122,000 | 0.56 | 2.59 | 0.71 | 386 | ||||||||||||||||||||||||||||||
— | — | 10.04 | 3.21 | 122,000 | 0.57 | 3.22 | 0.72 | 215 | ||||||||||||||||||||||||||||||
— | — | 10.03 | 10.39 | 67,000 | 0.60 | 5.22 | 0.82 | 160 | (m) |
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 | ||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 10.03 | $ | 0.47 | $ | (0.19 | ) | $ | 0.28 | $ | (0.45 | ) | $ | — | $ | — | $ | (0.45 | ) | ||||||||||||||||
Year Ended August 31, 2005 | 10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | — | — | (0.33 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 10.25 | 0.23 | (g) | (0.03 | ) | 0.20 | (0.23 | ) | — | — | (h) | (0.23 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.35 | 0.27 | (g) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | — | (h) | (0.32 | ) | |||||||||||||||||||||
November 1, 2001 to August 31, 2002 (d) | 10.40 | 0.26 | 0.07 | 0.33 | (0.27 | ) | (0.11 | ) | — | (0.38 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.90 | 0.42 | (g) | 0.57 | 0.99 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Strategic Income Fund (e) | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.45 | (g) | (0.13 | ) | 0.32 | (0.53 | ) | — | — | (0.53 | ) | |||||||||||||||||||||||
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 | (g) | 0.16 | 0.65 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.45 | (g) | 0.27 | 0.72 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 8.95 | 0.45 | (0.31 | ) | 0.14 | (0.42 | ) | — | (0.02 | ) | (0.44 | ) | |||||||||||||||||||||||
Year Ended October 31, 2001 (f) | 9.42 | 0.67 | (g) | (0.38 | ) | 0.29 | (0.76 | ) | — | — | (0.76 | ) |
(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 June 16, 2006, the Fund was named Global Strategic Income Fund. |
(f) | Prior to the open of business on September 10, 2001, the class underwent a split of shares. The net asset value at the beginning of the period was restated to reflect the split. |
(g) | Calculated based upon average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
(i) | Includes interest expense of 0.01%. |
(j) | 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 (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) | |||||||||||||||||||||
$— | $ | 9.86 | 2.91 | % | $ | 375,097 | 0.50 | % | 4.71 | % | 0.70 | % | 479 | % | |||||||||||||||||||||
— | 10.03 | 1.35 | 432,056 | 0.50 | 3.21 | 0.68 | 201 | ||||||||||||||||||||||||||||
— | 10.22 | 2.01 | 492,178 | 0.50 | 2.26 | 0.70 | 253 | ||||||||||||||||||||||||||||
— | 10.25 | 2.15 | 342,000 | 0.50 | 2.58 | 0.70 | 319 | ||||||||||||||||||||||||||||
— | 10.35 | 3.30 | 144,000 | 0.50 | 2.91 | 0.70 | 192 | ||||||||||||||||||||||||||||
— | 10.40 | 10.29 | 144,000 | 0.50 | 4.15 | 0.77 | 315 | ||||||||||||||||||||||||||||
— | (i) | 9.12 | 3.58 | 1,796 | 0.90 | 4.94 | 3.32 | 299 | |||||||||||||||||||||||||||
— | 9.33 | 7.30 | 1,892 | 0.95 | 4.30 | 1.86 | 461 | ||||||||||||||||||||||||||||
— | 9.08 | 7.48 | 2,364 | 1.01 | (i) | 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 | (j) |
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 | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.75 | $ | 0.46 | $ | (0.31 | ) | $ | 0.15 | $ | (0.44 | ) | $ | (0.27 | ) | — | $ | (0.71 | ) | ||||||||||||||||
Year Ended August 31, 2005 | 9.96 | 0.38 | 0.13 | 0.51 | (0.42 | ) | (0.30 | ) | — | (0.72 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.94 | 0.35 | 0.32 | 0.67 | (0.35 | ) | (0.30 | ) | — | (0.65 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.04 | 0.42 | (0.02 | ) | 0.40 | (0.42 | ) | (0.08 | ) | — | (0.50 | ) | |||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 10.08 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | — | (0.40 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.43 | 0.58 | (h) | 0.65 | 1.23 | (0.58 | ) | — | — | (0.58 | ) | ||||||||||||||||||||||||
Enhanced Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.82 | 0.50 | (0.06 | ) | 0.44 | (0.50 | ) | — | — | (0.50 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 9.84 | 0.28 | (0.02 | ) | 0.26 | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 9.98 | 0.23 | (0.12 | ) | 0.11 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||||
November 30, 2001 (e) through August 31, 2002 | 10.00 | 0.18 | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
Year ended August 31, 2006 (f) | 10.00 | 0.49 | (0.49 | ) | — | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.64 | 0.48 | (0.15 | ) | 0.33 | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2005 | 9.85 | 0.36 | (0.19 | ) | 0.17 | (0.38 | ) | — | — | (0.38 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 9.86 | 0.25 | (0.02 | ) | 0.23 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.28 | (0.04 | ) | 0.24 | (0.29 | ) | (0.14 | ) | — | (0.43 | ) | |||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 10.03 | 0.29 | 0.06 | 0.35 | (0.29 | ) | (0.04 | ) | — | (0.33 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.58 | 0.54 | (h) | 0.46 | 1.00 | (0.55 | ) | — | — | (0.55 | ) | ||||||||||||||||||||||||
Strategic Income Fund (g) | |||||||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.48 | (h) | (0.14 | ) | 0.34 | (0.55 | ) | — | — | (0.55 | ) | |||||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | (0.12 | ) | 0.80 | 0.68 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.51 | (h) | 0.17 | 0.68 | (0.52 | ) | — | — | (0.52 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.48 | (h) | 0.27 | 0.75 | (0.48 | ) | — | — | (0.48 | ) | ||||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 8.95 | 0.47 | (0.30 | ) | 0.17 | (0.45 | ) | — | (0.02 | ) | (0.47 | ) | |||||||||||||||||||||||
Year Ended October 31, 2001 | 9.29 | 0.69 | (h) | (0.16 | ) | 0.53 | (0.87 | ) | — | — | (0.87 | ) |
(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) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(h) | Calculated based upon average shares outstanding. |
(i) | Amount rounds to less than $0.01. |
(j) | Includes interest expense of 0.01%. |
(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 Short Term Bond 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 (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) | ||||||||||||||||||
$— | $ | 9.19 | 1.70 | % | $ | 265,279 | 0.49 | % | 4.91 | % | 0.58 | % | 711 | % | ||||||||||||||||||
— | 9.75 | 5.33 | 259,697 | 0.49 | 3.85 | 0.59 | 559 | |||||||||||||||||||||||||
— | 9.96 | 6.96 | 318,100 | 0.49 | 3.51 | 0.62 | 571 | |||||||||||||||||||||||||
— | 9.94 | 3.99 | 478,000 | 0.49 | 4.10 | 0.60 | 679 | |||||||||||||||||||||||||
— | 10.04 | 3.71 | 747,000 | 0.49 | 4.14 | 0.58 | 572 | |||||||||||||||||||||||||
— | 10.08 | 13.46 | 1,016,000 | 0.49 | 5.98 | 0.51 | 423 | (k) | ||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||
— | 9.76 | 4.61 | 131,238 | 0.20 | 5.04 | 0.57 | 264 | |||||||||||||||||||||||||
— | 9.82 | 2.69 | 163,344 | 0.20 | 2.66 | 0.56 | 128 | |||||||||||||||||||||||||
— | 9.84 | 1.28 | 293,752 | 0.20 | 1.47 | 0.56 | 156 | |||||||||||||||||||||||||
— | 9.86 | 1.14 | 354,000 | 0.20 | 2.33 | 0.56 | 328 | |||||||||||||||||||||||||
— | 9.98 | 1.58 | 300,000 | 0.20 | 2.40 | 0.68 | 120 | |||||||||||||||||||||||||
— | 9.53 | 0.12 | 944 | 0.50 | 7.35 | 0.98 | 223 | |||||||||||||||||||||||||
— | 9.51 | 3.47 | 380,233 | 0.30 | 4.87 | 0.51 | 540 | |||||||||||||||||||||||||
— | 9.64 | 1.75 | 471,460 | 0.30 | 3.60 | 0.53 | 194 | |||||||||||||||||||||||||
— | 9.85 | 2.38 | 641,869 | 0.30 | 2.49 | 0.55 | 261 | |||||||||||||||||||||||||
— | 9.86 | 2.44 | 806,000 | 0.30 | 2.85 | 0.55 | 386 | |||||||||||||||||||||||||
— | 10.05 | 3.55 | 618,000 | 0.30 | 3.53 | 0.54 | 215 | |||||||||||||||||||||||||
— | 10.03 | 10.70 | 697,000 | 0.30 | 5.52 | 0.48 | 160 | (l) | ||||||||||||||||||||||||
— | (i) | 9.12 | 3.81 | 3,851 | 0.65 | 5.20 | 3.20 | 299 | ||||||||||||||||||||||||
— | 9.33 | 7.63 | 2,042 | 0.65 | 4.45 | 1.36 | 461 | |||||||||||||||||||||||||
— | 9.08 | 7.85 | 40,000 | 0.66 | (j) | 5.63 | 1.22 | 152 | ||||||||||||||||||||||||
— | 8.92 | 8.86 | 108,000 | 0.65 | 5.42 | 0.97 | 248 | |||||||||||||||||||||||||
— | 8.65 | 1.92 | 135,000 | 0.65 | 6.44 | 0.98 | 178 | |||||||||||||||||||||||||
— | 8.95 | 5.86 | 143,000 | 0.65 | 7.50 | 0.80 | 107 | (m) |
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 | |||||||||||||||||||||||||||||||
Year Ended August 31, 2006 | $ | 9.76 | $ | 0.48 | $ | (0.32 | ) | $ | 0.16 | $ | (0.45 | ) | $ | (0.27 | ) | $ | (0.72 | ) | |||||||||||||
Year Ended August 31, 2005 | 9.97 | 0.32 | 0.20 | 0.52 | (0.43 | ) | (0.30 | ) | (0.73 | ) | |||||||||||||||||||||
Year Ended August 31, 2004 | 9.95 | 0.36 | 0.32 | 0.68 | (0.36 | ) | (0.30 | ) | (0.66 | ) | |||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.43 | (0.02 | ) | 0.41 | (0.43 | ) | (0.08 | ) | (0.51 | ) | ||||||||||||||||||||
November 1, 2001 through August 31, 2002 (d) | 10.09 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | (0.40 | ) | |||||||||||||||||||||
Year Ended October 31, 2001 (e) | 9.47 | 0.54 | (f) | 0.72 | 1.26 | (0.62 | ) | (0.02 | ) | (0.64 | ) |
(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. The net asset value at the beginning of the period was 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) | ||||||||||||||||||||||||||||
Net asset value, end of period | | Total return (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) | ||||||||||||||||
$9.20 | 1.80 | % | $ | 145,624 | 0.40 | % | 5.00 | % | 0.48 | % | 711 | % | ||||||||||||||||
9.76 | 5.45 | 126,272 | 0.40 | 3.90 | 0.51 | 559 | ||||||||||||||||||||||
9.97 | 7.05 | 380,794 | 0.40 | 3.59 | 0.56 | 571 | ||||||||||||||||||||||
9.95 | 4.08 | 444,000 | 0.40 | 4.19 | 0.55 | 679 | ||||||||||||||||||||||
10.05 | 3.80 | 609,000 | 0.40 | 4.20 | 0.53 | 572 | ||||||||||||||||||||||
10.09 | 13.63 | 598,000 | 0.37 | 6.08 | 0.47 | 423 | (g) |
AS OF AUGUST 31, 2006
| Classes Offered | |||||
---|---|---|---|---|---|---|
Bond Fund | Class A, Class B, Class C, Select Class, Institutional Class and Ultra | |||||
Emerging Markets Debt Fund | Class A, Class C, R Class and Select Class | |||||
Enhanced Income Fund | 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 | |||||
Strategic Income Fund | Class A, Class B, Class C, Class M, Select Class and Institutional Class |
| Sales Charge Effective August 1, 2006 | | Sales Charge Prior to August 1, 2006 | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 3.75 | % | 4.50 | % | ||||||
Emerging Markets Debt Fund | 3.75 | 4.50 | ||||||||
Real Return Fund | 3.75 | 4.50 | ||||||||
Short Term Bond Fund | 2.25 | 3.00 | ||||||||
Short Term Bond Fund II | 2.25 | 3.00 | ||||||||
Strategic Income Fund | 3.75 | 4.50 |
which approximates market value. Futures, options and other derivatives are valued on the basis of available market quotations. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
| Amount | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 35,123 | 2.0 | % | ||||||
Enhanced Income Fund | 13,441 | 10.2 | ||||||||
Short Term Bond Fund | 37,483 | 3.7 | ||||||||
Short Term Bond Fund II | 46,709 | 7.6 | ||||||||
Strategic Income Fund | 1,816 | 7.3 |
AS OF AUGUST 31, 2006 (continued)
Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | Premiums Received | | |||||||||||
Options outstanding at August 31, 2005 | 2,428 | $ | 1,190 | $ | 656,650 | $7,342 | ||||||||||||
Options written | 30,127 | 6,195 | 5,276,364 | 62,541 | ||||||||||||||
Options exercised or terminated in closing purchase transactions | (30,800 | ) | (6,624 | ) | (4,518,545 | ) | (43,442) | |||||||||||
Options outstanding at August 31, 2006 | 1,755 | $ | 761 | $ | 1,414,469 | $26,441 |
Enhanced Income Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | — | $ | — | $ | 18,200 | $ | 48 | ||||||||||||
Options written | 135 | 13 | 95,140 | 312 | |||||||||||||||
Options exercised or terminated in closing purchase transactions | (135 | ) | (13 | ) | (113,340 | ) | (360 | ) | |||||||||||
Options outstanding at August 31, 2006 | — | $ | — | $ | — | $ | — |
Real Return Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | — | $ | — | $ | — | $ | — | ||||||||||||
Options written | 31,168 | 133 | 129,632 | 1,269 | |||||||||||||||
Options exercised or terminated in closing purchase transactions | (603 | ) | (97 | ) | (53,664 | ) | (297 | ) | |||||||||||
Options outstanding at August 31, 2006 | 30,565 | $ | 36 | $ | 75,968 | $ | 972 |
Short Term Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | — | $ | — | $ | 141,600 | $ | 378 | ||||||||||||
Options written | 3,621 | 691 | 1,468,430 | 12,837 | |||||||||||||||
Options exercised or terminated in closing purchase transactions | (3,405 | ) | (497 | ) | (1,343,916 | ) | (7,187 | ) | |||||||||||
Options outstanding at August 31, 2006 | 216 | $ | 194 | $ | 266,114 | $ | 6,028 |
Short Term Bond Fund II | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2005 | — | $ | — | $ | 201,000 | $ | 536 | ||||||||||||
Options written | 3,491 | 623 | 1,665,237 | 13,423 | |||||||||||||||
Options exercised or terminated in closing purchase transactions | (3,359 | ) | (505 | ) | (1,657,372 | ) | (9,023 | ) | |||||||||||
Options outstanding at August 31, 2006 | 132 | $ | 118 | $ | 208,865 | $ | 4,936 |
AS OF AUGUST 31, 2006 (continued)
agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. The Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that the Funds are required to purchase may decline below the agreed upon repurchase price of those securities.
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | (5,747 | ) | $ | 2,018 | $ | 3,729 | |||||||
Emerging Markets Debt Fund | — | (261 | ) | 261 | ||||||||||
Enhanced Income Fund | — | (10 | ) | 10 | ||||||||||
Real Return Fund | — | (a) | (119 | ) | 119 | |||||||||
Short Term Bond Fund | — | 1,507 | (1,507 | ) | ||||||||||
Short Term Bond Fund II | — | 437 | (437 | ) | ||||||||||
Strategic Income Fund | (478 | ) | 20 | 458 |
(a) | Amount rounds to less than $1,000. |
| ||||||
---|---|---|---|---|---|---|
Bond Fund | 0.30 | % | ||||
Emerging Markets Debt Fund | 0.70 | |||||
Enhanced Income Fund | 0.25 | |||||
Real Return Fund | 0.35 | |||||
Short Term Bond Fund | 0.25 | |||||
Short Term Bond Fund II | 0.25 | |||||
Strategic Income Fund | 0.45 |
| Year Ended 8/31/2006 | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 70 | ||||
Emerging Markets Debt Fund | 5 | |||||
Enhanced Income Fund | 8 | |||||
Real Return Fund | 4 | |||||
Short Term Bond Fund | 100 | |||||
Short Term Bond Fund II | 51 | |||||
Strategic Income Fund | 5 |
AS OF AUGUST 31, 2006 (continued)
| Class A | | Class B | | Class C | | Class M | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||||
Emerging Markets Debt Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||||
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 | % | |||||||||||||
Strategic Income Fund | 0.25 | 0.75 | 0.75 | 0.50 |
| Front-End Sales Charge | | CDSC | | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 24 | $ | 10 | ||||||||||||||
Emerging Markets Debt Fund | — | (a) | — | |||||||||||||||
Real Return Fund | 2 | — | ||||||||||||||||
Short Term Bond Fund | 1 | — | ||||||||||||||||
Short Term Bond Fund II | — | (a) | 6 | |||||||||||||||
Strategic Income Fund | 8 | 13 |
(a) | Amount rounds to less than $1,000. |
| Class A | | Class B | | Class C | | Class M | R Class | | Select Class | | Institutional Class | | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | n/a | 0.25% | 0.10% | ||||||||||||||||||||
Emerging Markets Debt Fund | 0.25 | n/a | 0.25 | n/a | 0.05% | 0.25 | n/a | |||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | n/a | 0.10 | |||||||||||||||||||||||
Real Return Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.25 | 0.10 | |||||||||||||||||||||||
Short Term Bond Fund | 0.25 | n/a | n/a | n/a | n/a | 0.25 | 0.10 | |||||||||||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | n/a | 0.25 | % | n/a | 0.25 | n/a | ||||||||||||||||||||||
Strategic Income Fund | 0.25 | 0.25 | 0.25 | 0.30 | n/a | 0.25 | 0.10 |
| Class A | | Class B | | Class C | | Class M | | R Class | | Select Class | | Institutional Class | | Ultra | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | 0.75 | % | 1.50 | % | 1.50 | % | n/a | n/a | 0.69 | % | 0.49 | % | 0.40 | % | ||||||||||||||||||||
Emerging Markets Debt Fund | 1.50 | n/a | 2.00 | n/a | 1.05 | % | 1.25 | n/a | n/a | |||||||||||||||||||||||||
Enhanced Income Fund | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | ||||||||||||||||||||||||||
Real Return Fund | 0.90 | n/a | 1.40 | n/a | n/a | 0.65 | 0.50 | n/a | ||||||||||||||||||||||||||
Short Term Bond Fund | 0.75 | n/a | 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 | % | n/a | 0.50 | n/a | n/a | |||||||||||||||||||||||||
Strategic Income Fund | 1.15 | 1.65 | 1.65 | 1.45 | n/a | 0.90 | 0.65 | n/a |
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Servicing | | Total | | Contractual Reimbursements | |||||||||||||
Bond Fund | $ | 331 | $ | 86 | $ | 40 | $ | 457 | $ | — | ||||||||||||
Emerging Markets Debt Fund | 46 | 15 | 59 | 120 | — | |||||||||||||||||
Enhanced Income Fund | 253 | 52 | 140 | 445 | — | |||||||||||||||||
Real Return Fund | 180 | 54 | 56 | 290 | 20 | |||||||||||||||||
Short Term Bond Fund | 171 | 412 | 416 | 999 | — | |||||||||||||||||
Short Term Bond Fund II | 129 | 183 | 670 | 982 | — | |||||||||||||||||
Strategic Income Fund | 99 | 23 | 2 | 124 | 419 |
Voluntary Waivers | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Total | ||||||||||
Bond Fund | $ | 171 | $ | 121 | $ | 292 | |||||||||
Enhanced Income Fund | — | 70 | 70 | ||||||||||||
Short Term Bond Fund | — | 140 | 140 |
AS OF AUGUST 31, 2006 (continued)
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 12,792,629 | $ | 11,506,532 | $ | 916,928 | $ | 868,070 | ||||||||||
Emerging Markets Debt Fund | 224,796 | 156,158 | 44,463 | 35,744 | ||||||||||||||
Enhanced Income Fund | 396,247 | 459,489 | 3,462 | 3,630 | ||||||||||||||
Real Return Fund | 81,716 | 64,147 | 105,508 | 54,368 | ||||||||||||||
Short Term Bond Fund | 4,465,418 | 4,189,670 | 38,637 | 40,657 | ||||||||||||||
Short Term Bond Fund II | 4,278,236 | 4,488,546 | 44,996 | 47,841 | ||||||||||||||
Strategic Income Fund | 64,817 | 61,202 | 1,508 | 1,916 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 2,206,907 | $ | 21,784 | $ | 28,289 | $ | (6,505 | ) | |||||||||
Emerging Markets Debt Fund | 112,385 | 3,809 | 933 | 2,876 | ||||||||||||||
Enhanced Income Fund | 143,407 | 338 | 283 | 55 | ||||||||||||||
Real Return Fund | 69,287 | 72 | 1,241 | (1,169 | ) | |||||||||||||
Short Term Bond Fund | 1,176,797 | 2,984 | 12,836 | (9,852 | ) | |||||||||||||
Short Term Bond Fund II | 708,088 | 2,337 | 13,136 | (10,799 | ) | |||||||||||||
Strategic Income Fund | 29,682 | 463 | 551 | (88 | ) |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
Bond Fund | $ | 68,590 | $ | 2,339 | $ | 70,929 | ||||||||
Emerging Markets Debt Fund | 5,618 | 4,439 | 10,057 | |||||||||||
Enhanced Income Fund | 6,984 | — | 6,984 | |||||||||||
Real Return Fund | 2,775 | — | 2,775 | |||||||||||
Short Term Bond Fund | 33,544 | — | 33,544 | |||||||||||
Short Term Bond Fund II | 30,384 | — | 30,384 | |||||||||||
Strategic Income Fund | 1,186 | — | 1,186 |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
Bond Fund | $ | 47,067 | $ | 12,442 | $ | 59,509 | ||||||||
Emerging Markets Debt Fund | 2,840 | 4,205 | 7,045 | |||||||||||
Enhanced Income Fund | 6,102 | — | 6,102 | |||||||||||
Short Term Bond Fund | 26,085 | — | 26,085 | |||||||||||
Short Term Bond Fund II | 29,320 | — | 29,320 | |||||||||||
Strategic Income Fund | 1,313 | — | 1,313 |
| Current Distributable Ordinary Income | | Current Distributable Long-term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 7,923 | $ | (6,291 | ) | $ | (1,589 | ) | ||||||
Emerging Markets Debt Fund | 464 | 85 | 3,007 | |||||||||||
Enhanced Income Fund | 62 | (7,119 | ) | 6 | ||||||||||
Real Return Fund | 186 | (427 | ) | (1,096 | ) | |||||||||
Short Term Bond Fund | 3,976 | (11,496 | ) | (8,856 | ) | |||||||||
Short Term Bond Fund II | 2,421 | (17,130 | ) | (10,299 | ) | |||||||||
Strategic Income Fund | 100 | (26,299 | ) | (88 | ) |
Expires | | ||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | | 2008 | | 2009 | | 2010 | | 2011 | | 2012 | | 2013 | | 2014 | | Total | ||||||||||||||||||||||
Bond Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,291 | $ | 6,291 | |||||||||||||||||||||
Enhanced Income Fund | — | — | — | 1,180 | 792 | 3,941 | 526 | 680 | 7,119 | ||||||||||||||||||||||||||||||
Real Return Fund | 427 | 427 | |||||||||||||||||||||||||||||||||||||
Short Term Bond Fund | — | — | — | — | — | 1,803 | 1,217 | 8,476 | 11,496 | ||||||||||||||||||||||||||||||
Short Term Bond Fund II | — | — | — | — | — | 1,675 | 656 | 14,799 | 17,130 | ||||||||||||||||||||||||||||||
Strategic Income Fund | 4,926 | 7,690 | * | 5,237 | * | 8,446 | * | — | — | — | — | 26,299 |
* | A portion of this capital loss carried forward was acquired through the merger with JPMorgan Strategic Income Fund and may be limited under IRC Sections 381-384. |
| Capital Losses | | Currency Losses | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 23,884 | $ | — | ||||||
Emerging Markets Debt Fund | — | 261 | ||||||||
Enhanced Income Fund | 369 | 1 | ||||||||
Real Return Fund | 898 | 155 | ||||||||
Short Term Bond Fund | 5,077 | — | ||||||||
Short Term Bond Fund II | 9,213 | — | ||||||||
Strategic Income Fund | 554 | 6 |
AS OF AUGUST 31, 2006 (continued)
| Average Borrowings | | Number of Days Used | | Interest Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 1,263 | 11 | $ | 2 | |||||||||
Enhanced Income Fund | 1,311 | 17 | 3 | |||||||||||
Real Return Fund | 342 | 1 | — | (a) | ||||||||||
Short Term Bond Fund II | 1,269 | 5 | 1 | |||||||||||
Strategic Income Fund | 402 | 1 | — | (a) |
(a) | Amount rounds to less than $1,000. |
| 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 |
* | Effective June 16, 2006, the Board of Trustees approved the name change from JPMorgan Global Strategic Income Fund to JPMorgan Strategic Income Fund. |
| 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 |
JPMorgan Mutual Fund Group and JPMorgan Trust I:
New York, New York
October 27, 2006
(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 since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 122 | None. | ||||||||||||
Roland R. Eppley, Jr. (1932); Trustee since 2005; Trustee of heritage JPMorgan Funds since 1989. | Retired; President and Chief Executive Officer, Eastern States Bankcard (1971–1988). | 122 | None. | ||||||||||||
John F. Finn (1947); Trustee 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 of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 122 | 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 since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 122 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Self-employed business consultant (2001–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 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 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). | 122 | 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). |
(Unaudited) (continued)
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 (continued) | |||||||||||||||
Robert A. Oden, Jr. (1946); Trustee 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 (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). | 122 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 122 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 122 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 122 | 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 for which the Board of Trustees serves currently includes 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 Trust | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President since 2005 | Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan 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, 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 | Managing Director, 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. from 1996–2001, an independent company owned by the Board of Directors/Trustees of the JPMorgan Funds, prior to joining JPMorgan 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 to 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) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.). | |||||
Michael C. Raczynski (1975), Assistant Secretary since 2006 | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since 2006; Associate, Stroock & Stroock & Lavan LLP from 2001 to 2006. | |||||
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. |
(Unaudited) (continued)
Name (Year of Birth), Positions Held with the Trust | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
Laura S. Melman (1966) Assistant Treasurer since 2006 | Vice President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |||||
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. | |||||
Jeffrey D. House (1972) Assistant Treasurer since 2006* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services at BISYS Fund Services, Inc. from 1995 until 2006. |
* | 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)
August 31, 2006
| Beginning Account Value, March 1, 2006 | | Ending Account Value, August 31, 2006 | | Expenses Paid During Period March 1, 2006 to August 31, 2006 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,011.20 | $ | 3.80 | 0.75 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,009.10 | 7.09 | 1.40 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.15 | 7.12 | 1.40 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,009.40 | 7.04 | 1.39 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 7.07 | 1.39 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.80 | 3.30 | 0.65 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.93 | 3.31 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,013.80 | 2.49 | 0.49 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,022.74 | 2.50 | 0.49 | ||||||||||||||
Ultra | ||||||||||||||||||
Actual* | 1,000.00 | 1,014.10 | 2.03 | 0.40 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,023.19 | 2.04 | 0.40 |
(Unaudited) (continued)
August 31, 2006
| Beginning Account Value, March 1, 2006 | | Ending Account Value, August 31, 2006 | | Expenses Paid During Period March 1, 2006 to August 31, 2006 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual** | $ | 1,000.00 | $ | 1,010.60 | $ | 2.56 | 1.50 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,017.64 | 7.63 | 1.50 | ||||||||||||||
Class C | ||||||||||||||||||
Actual** | 1,000.00 | 1,010.10 | 3.41 | 2.00 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,015.12 | 10.16 | 2.00 | ||||||||||||||
R Class | ||||||||||||||||||
Actual*** | 1,000.00 | 1,011.70 | 3.13 | 1.05 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.91 | 5.35 | 1.05 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.00 | 6.34 | 1.25 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.90 | 6.36 | 1.25 | ||||||||||||||
Enhanced Income Fund | ||||||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,026.30 | 1.02 | 0.20 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,024.20 | 1.02 | 0.20 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | 1,000.00 | 1,007.40 | 4.55 | 0.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,020.67 | 4.58 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,004.50 | 7.07 | 1.40 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,018.15 | 7.12 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,008.20 | 3.29 | 0.65 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.93 | 3.31 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,009.90 | 2.53 | 0.50 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||||
Short Term Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | 1,000.00 | 1,022.50 | 3.82 | 0.75 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,023.40 | 2.81 | 0.55 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,024.70 | 1.53 | 0.30 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,023.69 | 1.53 | 0.30 |
| Beginning Account Value, March 1, 2006 | | Ending Account Value, August 31, 2006 | | Expenses Paid During Period March 1, 2006 to August 31, 2006 | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,021.00 | $ | 3.82 | 0.75 | % | ||||||||||
Hypothetical* | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual* | 1,000.00 | 1,019.80 | 5.09 | 1.00 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,022.30 | 2.55 | 0.50 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||||
Strategic Income Fund**** | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual* | 1,000.00 | 1,014.40 | 5.84 | 1.15 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,019.41 | 5.85 | 1.15 | ||||||||||||||
Class B | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.60 | 8.37 | 1.65 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,016.89 | 8.39 | 1.65 | ||||||||||||||
Class C | ||||||||||||||||||
Actual* | 1,000.00 | 1,011.70 | 8.37 | 1.65 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,016.89 | 8.39 | 1.65 | ||||||||||||||
Select M | ||||||||||||||||||
Actual* | 1,000.00 | 1,012.60 | 7.36 | 1.45 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,017.90 | 7.37 | 1.45 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,015.50 | 4.57 | 0.90 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,020.67 | 4.58 | 0.90 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual* | 1,000.00 | 1,016.80 | 3.30 | 0.65 | ||||||||||||||
Hypothetical* | 1,000.00 | 1,021.93 | 3.31 | 0.65 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 62/365 (to reflect the actual period). |
*** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 108/365 (to reflect the actual period). |
**** | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(Unaudited)
providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Advisor. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular advisor, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of each of the Investment Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
(Unaudited) (continued)
three and five year periods, respectively, and concluded that the performance was reasonable.
(Unaudited)
| Long-Term Capital Gain Distribution | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 2,339 | ||||
Emerging Markets Debt Fund | 4,439 |
| Qualified Interest Income | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 45,281 | ||||
Emerging Markets Debt Fund | 402 | |||||
Enhanced Income Fund | 5,893 | |||||
Real Return Fund | 2,710 | |||||
Short Term Bond Fund | 27,609 | |||||
Short Term Bond Fund II | 27,529 | |||||
Strategic Income Fund | 702 |
| Qualified Short-Term Gain | |||||
---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 347 |
![](https://capedge.com/proxy/N-CSR/0001145443-06-003392/jpmorgan_asstmngklogo.jpg)
© JPMorgan Chase & Co., 2006 All rights reserved. August 2006. | AN-INC-806 |
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.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its 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, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the 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 third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
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.
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.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(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)).
The audit committee financial expert is William Armstrong. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(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.
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.
AUDIT FEES
2005 – $77,610 |
2006 – $71,596 |
(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.
AUDIT-RELATED FEES (On a calendar year basis) | ||
2004 – | $9,397,000 |
|
2005 – $10,110,000 |
|
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm 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 investment adviser that provides ongoing services to the Registrant (“Service Affiliates”), that were reasonably related to the performance of the annual audit of the Registrant's financial statements.
(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.
TAX FEES |
|
2005 – $7,800 | |
2006 – $7,990 |
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended August 31, 2005 and 2006.
(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.
ALL OTHER FEES |
|
2005 – Not applicable |
2006 – Not applicable
(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.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee will pre-approve the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit
services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee will annually review and pre-approve the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee will add to, or subtract from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(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.
2005 – 100.00%
2006 – 100.00%
(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.
None.
(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.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $25.5 million in 2004 and $19.1 million in 2005.
(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.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
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.
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 last fiscal quarter 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
November 8, 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
November 8, 2006
By: | /s/______________________________________ |
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
November 8, 2006