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: Last day of February
Date of reporting period: September 1, 2006 through February 28, 2007
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/0001145443-07-001439/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 | 100 | |||||
Financial Highlights | 120 | |||||
Notes to Financial Statements | 138 | |||||
Report of Independent Registered Public Accounting Firm | 151 | |||||
Trustees | 152 | |||||
Officers | 154 | |||||
Schedule of Shareholder Expenses | 156 | |||||
Tax Letter | 159 |
• | The Fed’s August pause in monetary policy generated optimism among bond investors |
• | Bond yields bounced around in a fairly wide range |
• | Several events in late-February helped spark a rally in the bond market |
• | Lower-quality securities generated the best performance |
March 9, 2007 (Unaudited)
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/gatch-photo.jpg)
“Once again, lower-quality securities generated the best performance within the fixed income universe, driven by investors’ strong demand for risk.”
• | Chinese stocks plunged, triggering a worldwide stock market sell-off. Major U.S. stock market indexes tumbled more than 3% in a single day, February 27. |
• | January durable goods orders suffered a greater-than-expected decline of 7.8%. |
• | In a speech in which he addressed the state of the U.S. economy, former Federal Reserve Chairman Alan Greenspan warned of a potential recession. |
• | The revised report on fourth-quarter 2006 GDP showed the economy grew at a much slower pace than previously announced — that is, 2.2% rather than 3.5%. |
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/georgecwgatch-sig.jpg)
President
JPMorgan Funds
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | July 26, 1993 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $2,049,959 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 4.0 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 3.77%* (Institutional Class Shares) for the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 3.66% 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 sector allocation and security selection, primarily from its allocation to the investment-grade corporate and emerging markets debt sectors. Within the investment-grade corporate sector, we held a bias toward financials and BBB-rated securities, which comprised most of the sector’s return. The asset-backed securities and mortgage-backed securities sectors also contributed modestly. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We manage the Fund to seek diversified returns across a global set of opportunities. By balancing top-down macroeconomic themes with bottom-up security selection, we employ interest rate management to enhance returns and control risks. Specifically, we seek to outperform the broad market by enhancing returns through allocations to extended sectors, including emerging markets debt and high-yield debt (junk bonds). We establish sector and duration strategy through structured, global debate. We also seek to combine best ideas in security selection from our distinctive teams of sector specialists with a goal of repeatable and consistent performance across market cycles. |
Mortgage Pass-Through Securities | 43.6 | % | ||||
Corporate Bonds | 24.9 | |||||
Collateralized Mortgage Obligations | 13.4 | |||||
Asset-Backed Securities | 7.6 | |||||
Commercial Mortgage-Backed Securities | 3.5 | |||||
Foreign Government Securities | 2.0 | |||||
U.S. Government Agency Securities | 1.5 | |||||
Short-Term Investments | 1.3 | |||||
Other (less than 1.0%) | 2.2 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The portfolio’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 | 4.77 | % | 4.92 | % | 5.89 | % | ||||||||||||
With Sales Charge * | 0.80 | 4.11 | 5.48 | |||||||||||||||
CLASS B SHARES | 9/10/01 | |||||||||||||||||
Without CDSC | 4.25 | 4.04 | 5.41 | |||||||||||||||
With CDSC ** | (0.75 | ) | 3.70 | 5.41 | ||||||||||||||
CLASS C SHARES | 3/31/03 | |||||||||||||||||
Without CDSC | 4.27 | 4.14 | 5.46 | |||||||||||||||
With CDSC *** | 3.27 | 4.14 | 5.46 | |||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 4.92 | 4.89 | 5.88 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 7/26/93 | 5.19 | 5.06 | 6.06 | ||||||||||||||
ULTRA SHARES | 9/10/01 | 5.30 | 5.17 | 6.17 |
* | 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/0001145443-07-001439/d20822_bond-line.jpg)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | April 17, 1997 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $137,478 | |||||
Primary Benchmark | JPMorgan Emerging Markets Bond Index Global | |||||
Average Credit Quality | BBB– | |||||
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 7.17%* (Select Class Shares) over the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 5.89% return for the JPMorgan Emerging Markets Bond Index Global benchmark over the same period.** |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period primarily due to strong economic fundamentals, buoyant global equity markets and continued support from global central banks. Contributing to the rally in emerging markets was the Fund’s allocation in local currency bonds in Brazil, Indonesia and Mexico. Our underweight in Ecuador also contributed to the Fund’s performance as its dollar-denominated debt sold off in the past six months because of political concerns. Another contributor to returns was the Fund’s security selection in Russia. Numerous credit upgrades given by rating agencies benefited the Fund, as countries demonstrated a greater willingness and ability to repay debt. Standard & Poor’s upgraded Russia’s rating from BBB to BBB+; and Peruvian local debt was upgraded from BB to BB+. Alternatively, the Fund’s underweight in the Philippines detracted from performance as these securities outperformed despite economic issues. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Overall, the Fund seeks to achieve excess returns through the expertise of our sector-specialist portfolio managers in identifying relative-value security selection opportunities (i.e., overweighting undervalued names and underweighting overvalued names). For the period, the Fund was positioned with a bias toward countries that provide strong insulation from a higher-rate environment (e.g., those with a relatively lower need for current financing). We have favored commodity exporters and countries with trade surpluses. |
Foreign Government Securities | 61.6 | % | ||||
Corporate Bonds | 32.3 | |||||
U.S. Treasury Obligations | 3.1 | |||||
Short-Term Investments | 3.0 |
Russia | 16.7 | % | ||||
Brazil | 14.7 | |||||
Argentina | 11.9 | |||||
Mexico | 8.7 | |||||
United States | 6.1 | |||||
Colombia | 4.5 | |||||
Indonesia | 4.3 | |||||
Peru | 4.0 | |||||
Turkey | 4.0 | |||||
Venezuela | 3.2 | |||||
Chile | 2.9 | |||||
Dominican Republic | 2.5 | |||||
Ukraine | 2.5 | |||||
Kazakhstan | 2.4 | |||||
Guatemala | 2.3 | |||||
Uruguay | 2.3 | |||||
Costa Rica | 2.2 | |||||
El Salvador | 1.6 | |||||
Egypt | 1.4 | |||||
Others (less than 1.0%) | 1.8 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/30/06 | |||||||||||||||||
Without Sales Charge | 8.10 | % | 15.03 | % | 11.37 | % | ||||||||||||
With Sales Charge * | 4.07 | 14.17 | 10.94 | |||||||||||||||
CLASS C SHARES | 6/30/06 | |||||||||||||||||
Without CDSC | 7.81 | 14.97 | 11.34 | |||||||||||||||
With CDSC ** | 6.81 | 14.97 | 11.34 | |||||||||||||||
R CLASS SHARES | 5/15/06 | 8.53 | 15.12 | 11.41 | ||||||||||||||
SELECT CLASS SHARES | 4/17/97 | 8.35 | 15.09 | 11.39 |
* | 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/0001145443-07-001439/d20822_emd-line.jpg)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | November 30, 2001 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $183,102 | |||||
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 2.66%* (Institutional Class Shares) over the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 2.71% 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 underperformed its benchmark primarily due to duration management positioning in this high-volatility period. Our short duration primarily detracted from performance early in the period and again in February when interest rates rallied sharply. In terms of yield curve positioning, in late 2006 the market continued to forecast that weakness in the economy would lead to lower short-term rates, counter to our expectations. We trimmed our short duration position at the short end of the curve to reduce risk. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration over the six-month period with a bias toward being short versus the benchmark. Additionally, we increased our allocation to CMOs, targeting a 25% allocation by the end of the period. We also held a bias toward financials as valuations remained attractive, selectively adding floating-rate corporate securities on a specific name basis. |
Corporate Bonds | 47.5 | % | ||||
Asset-Backed Securities | 25.2 | |||||
Collateralized Mortgage Obligations | 21.5 | |||||
Mortgage Pass-Through Securities | 2.6 | |||||
Commercial Mortgage-Backed Securities | 2.4 | |||||
Other (less than 1.0%) | 0.8 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The portfolio’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL CLASS SHARES | 11/30/01 | 5.36 | % | 2.69 | % | 2.66 | % |
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/d20822_enhancedincome-line.jpg)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | September 1, 2005 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $68,523 | |||||
Primary Benchmark | Lehman Brothers U.S. Treasury Inflation-Protected Securities (TIPS) Index | |||||
Average Credit Quality | AAA | |||||
Duration | 8.1 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation-protected return, returned 1.46%* (Select Class Shares) over the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 1.11% 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 outperformed its benchmark for the period, primarily due to the underweighting of Treasury Inflation Protected Securities (TIPS) and security selection. Declining energy costs caused the headline consumer price index (CPI) to dip below measures of the core CPI, significantly eroding the coupon yield of TIPS. Other positive contributors to the Fund included cross-market spread trades, an overweight to emerging markets debt and active currency management. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We underweighted TIPS relative to nominal Treasury exposures during the latter half of 2006. We generally managed interest rates from a tactical perspective, allowing flexibility to react to the changing economic environment. Our short-duration bias primarily detracted from performance early in the period and again in February when interest rates rallied sharply. Looking ahead, we believe this flight-to-quality bid is temporary and the risk reduction occurring globally will not provoke the Federal Reserve (Fed) into cutting short-term interest rates. We currently maintain a short position in intermediate yields. |
U.S. Treasury Obligations | 75.1 | % | ||||
Mortgage Pass-Through Securities | 10.9 | |||||
Collateralized Mortgage Obligations | 4.9 | |||||
Asset-Backed Securities | 2.9 | |||||
Short-Term Investments | 2.0 | |||||
Corporate Bonds | 1.8 | |||||
Options Purchased | �� | 1.7 | ||||
Other (less than 1.0%) | 0.7 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The portfolio’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A Shares | 9/1/05 | |||||||||||||
Without Sales Charge | 2.17 | % | 0.66 | % | ||||||||||
With Sales Charge* | (1.69 | ) | (1.89 | ) | ||||||||||
CLASS C SHARES | 9/1/05 | |||||||||||||
Without CDSC | 1.57 | 0.13 | ||||||||||||
With CDSC** | (0.57 | ) | 0.13 | |||||||||||
SELECT CLASS SHARES | 9/1/05 | 2.30 | 0.91 | |||||||||||
INSTITUTIONAL CLASS SHARES | 9/1/05 | 2.50 | 1.07 |
* | 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/0001145443-07-001439/d20822_realreturn-line.jpg)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | September 13, 1993 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $1,653,298 | |||||
Primary Benchmark | Merrill Lynch 1–3 Year Treasury Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.4 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 2.84%* (Institutional Class Shares) over the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 2.47% 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, benefiting from well-diversified sector allocation and security selection. One of the most significant contributors to performance came from the investment-grade corporate sector, where we added names that offered attractive relative value and diversification opportunities. Despite the market sell-off in late February, high-yield securities (i.e., junk bonds), which were highly diversified across different industries, and emerging markets debt positively added to returns. Our investments in structured products and the international non-dollar sector also contributed to excess returns. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Over the period, we managed interest rate risk from a tactical perspective, which allowed for flexibility to react to the changing economic environment. In the mortgage sector, we tactically traded across different coupons and agencies. In addition, we largely maintained our target in fixed-rate collateralized mortgage obligations (CMOs) at 0.40 years throughout the first five months, and trimmed it to 0.25 years in February. Despite the volatility in the asset-backed securities (ABS) sub-prime market, our holdings in home equity loans were unaffected from the credit perspective. While recent news has mainly affected lower-quality home equity loan ABS, a majority of our holdings are higher quality, with AAA and AA ratings and backed by credit enhancements, such as over-collateralization and excess spread. Difficulties faced by the sub-prime market have so far been contained to the lower-quality market; however, we continue to monitor developments to assess the impact on broader markets and the potential for investment opportunities. We also added to our fixed-rate commercial mortgage-backed securities (CMBS) and agency sector investments. |
Corporate Bonds | 28.2 | % | ||||
Asset-Backed Securities | 17.8 | |||||
Mortgage Pass-Through Securities | 15.8 | |||||
Short-Term Investments | 13.5 | |||||
Collateralized Mortgage Obligations | 11.0 | |||||
Commercial Mortgage-Backed Securities | 10.0 | |||||
Foreign Government Securities | 1.8 | |||||
Other (less than 1.0%) | 1.9 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The portfolio’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 | 4.84 | % | 2.75 | % | 4.34 | % | ||||||||||||
With Sales Charge * | 2.47 | 2.28 | 4.10 | |||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 5.12 | 2.95 | 4.46 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/13/93 | 5.38 | 3.20 | 4.74 |
* | Sales Charge for Class A Shares is 2.25% |
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/d20822_stbond-line.jpg)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | November 30, 1990 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $352,121 | |||||
Primary Benchmark | Lehman Brothers 1–3 Year U.S. Government Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.1 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 2.64%* (Select Class Shares) for the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 2.53% 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 outperformed its benchmark for the period, resulting primarily from an overweight in the investment-grade corporate sector, where we added names that offered attractive relative value and diversification opportunities. The sector remained well supported by solid earnings and robust fundamentals. Other positive contributors to returns included asset-backed securities (ABS), mortgage-backed securities (MBS) and commercial mortgage-backed securities (CMBS). |
Q: | HOW WAS THE FUND MANAGED? |
A: | We tactically traded duration over the period, holding a short-duration bias compared to the benchmark for a majority of the time. |
Mortgage Pass-Through Securities | 25.4 | % | ||||
Corporate Bonds | 25.1 | |||||
Asset-Backed Securities | 16.1 | |||||
Commercial Mortgage-Backed Securities | 13.1 | |||||
Collateralized Mortgage Obligations | 12.8 | |||||
Foreign Government Securities | 3.5 | |||||
U.S. Government Agency Securities | 1.7 | |||||
Short-Term Investments | 1.1 | |||||
Other (less than 1.0%) | 1.2 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of February 28, 2007. The portfolio’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 | 4.47 | % | 2.53 | % | 4.05 | % | ||||||||||||
With Sales Charge * | 2.09 | 2.07 | 3.81 | |||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||
Without Sales Charge | 4.31 | 2.30 | 3.86 | |||||||||||||||
With Sales Charge ** | 2.75 | 1.99 | 3.71 | |||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 4.93 | 2.81 | 4.37 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/d20822_stbondii-line.jpg)
(formerly JPMorgan Global Strategic Income Fund)
AS OF FEBRUARY 28, 2007 (Unaudited)
Fund Inception | March 17, 1997 | |||||
Fiscal Year-End | Last Day of February | |||||
Net Asset as of 2/28/07 (In Thousands) | $24,605 | |||||
Primary Benchmark | Lehman Brothers Aggregate Bond Index | |||||
Average Credit Quality | AA– | |||||
Duration | 3.0 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 4.19%** (Institutional Class Shares) over the six months ended February 28, 2007, the Fund’s new fiscal year-end, compared to the 3.66% 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 due to strong sector allocation and security selection, particularly in the emerging markets debt and high yield (“junk bond”) sectors, which outperformed the broader fixed income market. Emerging markets debt continued to deliver favorable returns, sustained by strong economic fundamentals, and continued local government support. The high yield sector also posted strong performance and solid fundamentals, but as high yield spreads continued to tighten, we became cautious about valuations late in 2006 and reduced our exposure. In the mortgages and investment grade corporates sectors we also benefited from security selection. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We manage the Fund to seek diversified returns across a global set of opportunities by balancing top-down macroeconomic themes with bottom-up security selection. We employ interest rate management to enhance returns and control risks. This includes aggressive strategic allocations to high beta sectors that are actively managed. We establish sector and duration strategy through structured, global debate. We also seek to combine best ideas in security selection from our teams of sector specialists with a goal of repeatable and consistent performance across market cycles. |
Mortgage Pass-Through Securities | 30.5 | % | ||||
Corporate Bonds | 30.0 | |||||
Foreign Government Securities | 8.6 | |||||
Asset-Backed Securities | 6.5 | |||||
Collateralized Mortgage Obligations | 6.3 | |||||
Short-Term Investments | 5.7 | |||||
Private Placements | 5.4 | |||||
Options Purchased | 3.6 | |||||
Commercial Mortgage-Backed Securities | 1.8 | |||||
U.S. Treasury Obligations | 1.6 |
United States | 81.5 | % | ||||
United Kingdom | 2.6 | |||||
Iceland | 1.4 | |||||
Argentina | 1.2 | |||||
Brazil | 1.2 | |||||
Luxembourg | 1.2 | |||||
Australia | 1.0 | |||||
Cayman Islands | 1.0 | |||||
Mexico | 1.0 | |||||
Other (less than 1.0%) | 7.9 |
* | 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 return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Portfolio composition percentages are based on total investments as of February 28, 2007. 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 | 5.43 | % | 5.90 | % | 5.39 | % | ||||||||||||
With Sales Charge * | 1.48 | 5.09 | 4.98 | |||||||||||||||
CLASS B SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | 4.88 | 5.68 | 5.27 | |||||||||||||||
With CDSC ** | (0.12 | ) | 5.36 | 5.27 | ||||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | 4.89 | 5.68 | 5.28 | |||||||||||||||
With CDSC *** | 3.89 | 5.68 | 5.28 | |||||||||||||||
CLASS M SHARES | 2/19/05 | |||||||||||||||||
Without Sales Charge | 5.09 | 5.79 | 5.33 | |||||||||||||||
With Sales Charge**** | 1.90 | 5.16 | 5.01 | |||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 5.57 | 6.14 | 5.55 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 3/17/97 | 5.95 | 6.48 | 5.88 |
* | 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/0001145443-07-001439/d20822_sif-line.jpg)
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 164.4% | |||||||||||
Asset-Backed Securities — 12.7% | |||||||||||
5,000 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, FRN, 5.50%, 04/25/36 (m) | 5,008 | |||||||||
1,769 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.82%, 02/15/12 (e) (m) | 1,773 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
1,458 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 1,446 | |||||||||
370 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 368 | |||||||||
5,000 | Asset Backed Securities Corp. Home Equity, Series 2006-HE5, Class M2, FRN, 5.62%, 07/25/36 (m) | 5,004 | |||||||||
6,000 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.55%, 11/15/11 (m) | 6,002 | |||||||||
3,518 | Capital Auto Receivables Asset Trust, Series 2006-1, Class A2A, 5.03%, 09/15/08 (m) | 3,515 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
763 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 756 | |||||||||
2,616 | Series 2004-A, Class A4, FRN, 5.42%, 03/15/11 (m) | 2,617 | |||||||||
Capital One Multi-Asset Execution Trust, | |||||||||||
7,580 | Series 2003-A, FRN, 6.57%, 12/15/10 (i) | 7,662 | |||||||||
6,233 | Series 2003-A4, Class A4, 3.65%, 07/15/11 (m) | 6,106 | |||||||||
1,500 | Capital One Prime Auto Receivables Trust, Series 2005-1, Class A4, FRN, 5.34%, 04/15/11 (m) | 1,500 | |||||||||
CarMax Auto Owner Trust, | |||||||||||
522 | Series 2003-2, Class A4, 3.07%, 10/15/10 (m) | 518 | |||||||||
5,000 | Series 2006-1, Class A4, 5.41%, 06/15/11 (m) | 5,051 | |||||||||
5,000 | Series 2007-1, Class A4, 5.24%, 06/15/12 (m) | 5,040 | |||||||||
CARSS Finance LP (Cayman Islands), | |||||||||||
33 | Series 2004-A, Class B1, FRN, 5.60%, 01/15/11 (e) (m) | 33 | |||||||||
82 | Series 2004-A, Class B2, FRN, 6.27%, 01/15/11 (e) (m) | 82 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
1,555 | Series 2004-A8, Class A8, 4.90%, 12/12/16 (m) | 1,537 | |||||||||
1,145 | Series 2005-A9, Class A9, 5.10%, 11/20/17 (m) | 1,144 | |||||||||
9,950 | Series 2006-C4, Class C4, FRN, 5.54%, 01/09/12 (m) | 9,950 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
1,644 | Series 2003-HE3, Class A, FRN, 5.70%, 12/25/33 (m) | 1,651 | |||||||||
346 | Series 2005-OPT1, Class A1B, FRN, 5.53%, 02/25/35 (m) | 346 | |||||||||
1,095 | Series 2006-WF2, Class A2A, SUB, 5.91%, 05/25/36 (m) | 1,093 | |||||||||
1,995 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 1,979 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
4,775 | Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 4,763 | |||||||||
18 | Series 2004-1, Class 3A, FRN, 5.60%, 04/25/34 (m) | 17 | |||||||||
1,320 | Series 2004-1, Class M1, FRN, 5.82%, 03/25/34 (m) | 1,324 | |||||||||
1,080 | Series 2004-1, Class M2, FRN, 5.87%, 03/25/34 (m) | 1,084 | |||||||||
1,353 | Series 2005-3, Class AF3, VAR, 4.82%, 08/25/35 (m) | 1,345 | |||||||||
505 | Series 2005-11, Class 3AV1, FRN, 5.48%, 02/25/36 (m) | 505 | |||||||||
940 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) | 930 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
418 | Series 2004-I, Class A, FRN, 5.61%, 02/15/34 (m) | 419 | |||||||||
563 | Series 2004-K, Class 2A, FRN, 5.62%, 02/15/34 (m) | 564 | |||||||||
641 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF1, SUB, 5.46%, 01/25/36 (m) | 638 | |||||||||
2,953 | Daimler Chrysler Auto Trust, Series 2006-B, Class A2, 5.30%, 10/08/08 (m) | 2,954 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, | |||||||||||
829 | Series 2005-FF2, Class A2B, FRN, 5.50%, 03/25/35 (m) | 830 | |||||||||
6,000 | Series 2006-FF10, Class M1, FRN, 5.59%, 07/25/36 (m) | 5,998 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
3,070 | Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 3,044 | |||||||||
6,000 | Series 2006-B, Class A2A, 5.42%, 07/15/09 (m) | 6,006 | |||||||||
5,000 | Series 2006-C, Class A3, 5.16%, 11/15/10 (m) | 5,015 | |||||||||
2,583 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 2,568 | |||||||||
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 7, Class A, FRN, 5.34%, 11/16/09 (m) | 1,325 | |||||||||
GS Auto Loan Trust, | |||||||||||
1,364 | Series 2004-1, Class A4, 2.65%, 05/15/11 (m) | 1,353 | |||||||||
13,750 | Series 2006-1, Class A3, 5.37%, 12/15/10 (m) | 13,803 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
GSAMP Trust, | |||||||||||
237 | Series 2004-OPT, Class A1, FRN, 5.66%, 11/25/34 (m) | 237 | |||||||||
2,000 | Series 2005-WMC2, Class A2B, FRN, 5.58%, 11/25/35 (m) | 2,003 | |||||||||
6,000 | Series 2006-NC1, Class A2, FRN, 5.50%, 02/25/36 (m) | 6,009 | |||||||||
10,000 | Harley-Davidson Motorcycle Trust, Series 2007-1, Class A3, 5.22%, 03/15/12 (m) | 10,050 | |||||||||
Home Equity Asset Trust, | |||||||||||
1,465 | Series 2005-8, Class M2, FRN, 5.77%, 02/25/36 (m) | 1,472 | |||||||||
7,000 | Series 2006-3, Class2A3, FRN, 5.50%, 07/25/36 (m) | 7,013 | |||||||||
376 | Honda Auto Receivables Owner Trust, Series 2003-3, Class A4, 2.77%, 11/21/08 (m) | 376 | |||||||||
Household Automotive Trust, | |||||||||||
2,769 | Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 2,737 | |||||||||
1,397 | Series 2006-1, Class A2, 5.40%, 06/17/09 (m) | 1,398 | |||||||||
6,127 | Series 2006-2, Class A2, 5.61%, 06/17/09 (m) | 6,135 | |||||||||
5,000 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 5,010 | |||||||||
1,453 | Lehman XS Trust, Series 2005-7N, Class 1A1A, FRN, 5.59%, 11/25/35 (m) | 1,460 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
2,000 | Series 2003-4, Class M1, FRN, 6.00%, 08/25/33 (m) | 2,006 | |||||||||
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) | 1,363 | |||||||||
1,500 | Series 2004-3, Class M1, FRN, 5.89%, 07/25/34 (m) | 1,511 | |||||||||
991 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 (m) | 981 | |||||||||
MASTR Asset Backed Securities Trust, | |||||||||||
75 | Series 2005-NC1, Class A4, FRN, 5.55%, 12/25/34 (m) | 75 | |||||||||
7,071 | Series 2006-AB1, Class A1, FRN, 5.46%, 02/25/36 (m) | 7,072 | |||||||||
5,000 | Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 5,009 | |||||||||
MBNA Credit Card Master Note Trust, | |||||||||||
3,000 | Series 2001-C2, Class C2, FRN, 6.47%, 12/15/10 (e) (m) | 3,041 | |||||||||
4,875 | Series 2003-A1, Class A1, 3.30%, 07/15/10 (m) | 4,791 | |||||||||
5,000 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 5.52%, 01/25/37 (m) | 5,002 | |||||||||
New Century Home Equity Loan Trust, | |||||||||||
478 | Series 2005-1, Class A2B, FRN, 5.54%, 03/25/35 (m) | 479 | |||||||||
1,350 | Series 2005-1, Class M1, FRN, 5.77%, 03/25/35 (m) | 1,354 | |||||||||
1,334 | Series 2005-2, Class A2B, FRN, 5.50%, 06/25/35 (m) | 1,334 | |||||||||
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 | |||||||||
806 | Nissan Auto Receivables Owner Trust, Series 2006-A, Class A2, 4.80%, 06/16/08 (m) | 805 | |||||||||
460 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 455 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
529 | Series 2003-1, Class A2, FRN, 5.74%, 02/25/33 (m) | 529 | |||||||||
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) | 2,096 | |||||||||
5,998 | PP&L Transition Bond Co. LLC, Series 1999-1, Class A8, 7.15%, 06/25/09 (m) | 6,140 | |||||||||
2,650 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 2,847 | |||||||||
2,000 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, FRN, 5.50%, 01/25/36 (m) | 2,003 | |||||||||
Residential Asset Securities Corp., | |||||||||||
465 | Series 2002-KS4, Class AIIB, FRN, 5.82%, 07/25/32 (m) | 465 | |||||||||
785 | Series 2003-KS5, Class AIIB, FRN, 5.61%, 07/25/33 (m) | 785 | |||||||||
609 | Series 2005-KS2, Class AI2, FRN, 5.52%, 05/25/34 (m) | 610 | |||||||||
2,000 | Specialty Underwriting & Residential Finance, Series 2005-BC3, Class A2B, FRN, 5.57%, 06/25/36 (m) | 2,003 | |||||||||
6,365 | Structured Asset Securities Corp., Series 2006-WF2, Class M2, FRN, 5.61%, 07/25/36 (m) | 6,370 | |||||||||
Triad Auto Receivables Owner Trust, | |||||||||||
3,360 | Series 2003-B, Class A4, 3.20%, 12/13/10 (m) | 3,308 | |||||||||
8,000 | Series 2006-C, Class A3, 5.26%, 11/14/11 (m) | 8,026 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
1,135 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 (m) | 1,122 | |||||||||
Wachovia Asset Securitization, Inc., | |||||||||||
1,248 | Series 2002-HE2, Class A, FRN, 5.75%, 12/25/32 (m) | 1,249 | |||||||||
818 | Series 2003-HE3, Class A, FRN, 5.57%, 11/25/33 (m) | 820 | |||||||||
6,700 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A2, 5.28%, 04/20/10 (e) (m) | 6,702 | |||||||||
WFS Financial Owner Trust, | |||||||||||
969 | Series 2003-3, Class A4, 3.25%, 05/20/11 (m) | 960 | |||||||||
2,296 | Series 2003-4, Class A4, 3.15%, 05/20/11 (m) | 2,274 | |||||||||
Total Asset-Backed Securities (Cost $260,977) | 260,501 | ||||||||||
Collateralized Mortgage Obligations — 22.5% | |||||||||||
Agency CMO — 8.4% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
18,955 | Series 237, Class S22, IF, IO, 1.83%, 05/15/36 (m) | 1,493 | |||||||||
17,059 | Series 237, Class S23, IF, IO, 1.78%, 05/15/36 (m) | 1,314 | |||||||||
55,002 | Series 239, Class S29, IF, IO, 2.43%, 08/15/36 (m) | 4,667 | |||||||||
85,348 | Series 239, Class S30, IF, IO, 2.38%, 08/15/36 (m) | 6,940 | |||||||||
46,236 | Series 240, Class S22, IF, IO, 1.83%, 07/15/36 (m) | 3,598 | |||||||||
84,919 | Series 242, Class S29, IF, IO, 2.43%, 11/15/36 (m) | 6,843 | |||||||||
693 | Series 2508, Class PE, 5.50%, 05/15/28 (m) | 693 | |||||||||
9,330 | Series 2564, Class LS, IF, IO, 2.33%, 01/15/17 (m) | 448 | |||||||||
4,047 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 416 | |||||||||
12,602 | Series 2701, Class ST, IF, IO, 1.68%, 08/15/21 (m) | 556 | |||||||||
3,868 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 156 | |||||||||
1,032 | Series 2760, Class GI, IO, 4.50%, 02/15/11 (m) | 9 | |||||||||
4,683 | Series 2772 Class GI, IO, 5.00%, 11/15/22 (m) | 232 | |||||||||
7,763 | Series 2779, Class SM, IF, IO, 1.83%, 10/15/18 (m) | 420 | |||||||||
3,421 | Series 2781, Class PL, IO, 5.00%, 10/15/23 (m) | 167 | |||||||||
28,346 | Series 2791, Class SI, IF, IO, 1.83%, 12/15/31 (m) | 1,701 | |||||||||
22,606 | Series 2813, Class SB, IF, IO, 1.73%, 02/15/34 (m) | 1,420 | |||||||||
1,655 | Series 2857, Class NI, IO, 5.00%, 04/15/17 (m) | 18 | |||||||||
20,075 | Series 2861, Class GS, IF, IO, 1.88%, 01/15/21 (m) | 472 | |||||||||
4,717 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 294 | |||||||||
8,313 | Series 2894, Class S, IF, IO, 1.88%, 03/15/31 (m) | 436 | |||||||||
3,774 | Series 2897, Class SI, IF, 4.80%, 10/15/31 (m) | 3,636 | |||||||||
1,326 | Series 2921, Class SC, IF, 7.32%, 10/15/32 (m) | 1,424 | |||||||||
6,047 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 6,038 | |||||||||
5,743 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) | 499 | |||||||||
752 | Series 2980, Class QB, 6.50%, 05/15/35 (m) | 779 | |||||||||
8,802 | Series 3029, Class S, IF, IO, 1.88%, 08/15/35 (m) | 788 | |||||||||
46,297 | Series 3117, Class ES, IF, IO, 1.83%, 02/15/36 (m) | 3,887 | |||||||||
9,000 | Series 3149, Class IU, IO, 6.00%, 09/15/25 (m) | 932 | |||||||||
18,199 | Series 3174, Class SA, IF, IO, 2.38%, 04/15/36 (m) | 1,575 | |||||||||
35,613 | Series 3199, Class AD, 6.50%, 12/15/33 (m) | 36,280 | |||||||||
Federal National Mortgage Association, | |||||||||||
50,300 | Series 367, Class 2, IO, 5.50%, 01/01/36 (m) | 11,375 | |||||||||
17,877 | Series 378, Class 5, IO, 5.00%, 07/01/36 (m) | 3,923 | |||||||||
7,273 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 339 | |||||||||
5,838 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 580 | |||||||||
3,438 | Series 2006-3, Class SY, IF, 7.08%, 03/25/36 (m) | 3,479 | |||||||||
5,029 | Series 2006-43, Class GS, IF, 6.78%, 06/25/36 (m) | 4,977 | |||||||||
2,106 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 2,139 | |||||||||
8,997 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 9,134 | |||||||||
20,957 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 21,292 | |||||||||
16,100 | Series 2006-104, Class FC, FRN, 5.57%, 11/25/36 (m) | 16,216 | |||||||||
8,354 | Series 2006-115, Class BF, FRN, 5.56%, 12/25/36 (m) | 8,379 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
186 | Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 185 | |||||||||
2,411 | Series 2003-W6, Class 1A41, 5.40%, 10/25/42 (m) | 2,387 | |||||||||
Government National Mortgage Association, | |||||||||||
1,883 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 53 | |||||||||
4,173 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 206 | |||||||||
876 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 13 | |||||||||
172,808 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — 14.1% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
580 | Series 2005-4, Class 7A2, FRN, 5.55%, 08/25/35 (m) | 582 | |||||||||
2,186 | Series 2005-6, Class 6A21, FRN, 5.55%, 09/25/35 (m) | 2,188 | |||||||||
394 | Series 2005-6A, Class 2A1, FRN, 5.63%, 11/25/35 (m) | 395 | |||||||||
13,519 | American Home Mortgage Assets, Series 2006-2, Class 2A1, FRN, 5.51%, 09/25/46 (m) | 13,534 | |||||||||
2,617 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 2,586 | |||||||||
32,330 | CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1A4, 6.00%, 11/25/36 (m) | 32,721 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
5,283 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 5,293 | |||||||||
4,958 | Series 2005-51, Class 1A1, FRN, 5.64%, 11/20/35 (m) | 4,977 | |||||||||
11,047 | Series 2006-OA1, Class 2A1, FRN, 5.53%, 03/20/46 (m) | 11,055 | |||||||||
5,689 | Series 2006-OA2, Class A1, FRN, 5.53%, 05/20/46 (m) | 5,700 | |||||||||
3,877 | Series 2006-OA9, Class 1A1, FRN, 5.52%, 07/20/46 (m) | 3,865 | |||||||||
3,575 | Series 2006-OA9, Class 2A1B, FRN, 5.52%, 07/20/46 (m) | 3,583 | |||||||||
10,321 | Series 2006-OA10, Class 3A1, FRN, 5.51%, 08/25/46 (m) | 10,303 | |||||||||
5,322 | Series 2006-OA12, Class A2, FRN, 5.53%, 09/20/46 (m) | 5,316 | |||||||||
9,924 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 9,886 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
477 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) | 477 | |||||||||
334 | Series 2004-4, Class 1A1, 6.00%, 08/25/34 (m) | 333 | |||||||||
2,626 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 2,626 | |||||||||
6,000 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR1, Class 1A2, FRN, 5.53%, 02/25/36 (m) | 6,013 | |||||||||
2,101 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005- AR6, Class 2A1A, FRN, 5.61%, 10/19/45 (m) | 2,110 | |||||||||
3,000 | Granite Master Issuer plc (United Kingdom), Series 2006-2 Class A4, FRN, 5.40%, 12/20/54 (m) | 2,994 | |||||||||
338 | Granite Mortgages plc (United Kingdom), Series 2004-3, Class 1A3, FRN, 5.47%, 09/20/44 (m) | 338 | |||||||||
Greenpoint Mortgage Funding Trust, | |||||||||||
1,284 | Series 2005-AR4, Class 4A1A, FRN, 5.63%, 10/25/45 (m) | 1,287 | |||||||||
13,250 | Series 2006-OH1, Class A1, FRN, 5.50%, 01/25/37 (m) | 13,254 | |||||||||
5,008 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 5.67%, 01/25/35 (e) (m) | 5,029 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
5,369 | Series 2005-3, Class 2A1A, FRN, 5.56%, 06/19/35 (m) | 5,382 | |||||||||
1,300 | Series 2005-8, Class 1A2A, FRN, 5.65%, 09/19/35 (m) | 1,304 | |||||||||
2,911 | Series 2006-8, Class 2A1A, FRN, 5.51%, 08/21/46 (m) | 2,916 | |||||||||
11,927 | Series 2006-14, Class 2A1A, FRN, 5.50%, 02/19/46 (m) | 11,920 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
2,373 | Series 2004-AR7, Class A1, FRN, 5.76%, 09/25/34 (m) | 2,384 | |||||||||
941 | Series 2005-AR14, Class 2A1A, FRN, 5.62%, 08/25/35 (m) | 944 | |||||||||
12,426 | Series 2006-AR2, Class 1A1A, FRN, 5.54%, 04/25/46 (m) | 12,435 | |||||||||
27,828 | Series 2006-AR2, Class 4A1, VAR, 6.00%, 09/25/36 (m) | 28,043 | |||||||||
2,500 | K2 Corp. Commercial Mortgage Trust, 5.37%, 02/15/10 (m) | 2,500 | |||||||||
3,931 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 3,947 | |||||||||
1,192 | Medallion Trust (Australia), Series 2004-1G, Class A1, FRN, 5.49%, 05/25/35 (m) | 1,192 | |||||||||
Permanent Financing plc (United Kingdom), | |||||||||||
2,500 | Series 4, Class 2A, FRN, 5.42%, 03/10/09 (m) | 2,500 | |||||||||
5,000 | Series 9A, Class 2A, FRN, 5.39%, 03/10/15 (e) (m) | 4,999 | |||||||||
13,075 | Permanent Master Issuer plc (United Kingdom), Series 2006-1, Class 2A, FRN, 5.40%, 10/15/15 (m) | 13,075 | |||||||||
RESI Finance LP (Cayman Islands), | |||||||||||
6,445 | Series 2003-C, Class B3, FRN, 6.72%, 09/10/35 (e) (m) | 6,553 | |||||||||
1,234 | Series 2003-C, Class B4, FRN, 6.92%, 09/10/35 (e) (m) | 1,274 | |||||||||
1,373 | Series 2003-D, Class B3, FRN, 6.62%, 12/10/35 (e) (m) | 1,377 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — continued | |||||||||||
1,987 | Series 2003-D, Class B4, FRN, 6.82%, 12/10/35 (e) (m) | 1,993 | |||||||||
2,337 | Series 2005-A, Class B3, FRN, 5.90%, 03/10/37 (e) (m) | 2,361 | |||||||||
782 | Series 2005-A, Class B4, FRN, 6.00%, 03/10/37 (e) (m) | 788 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
1,081 | Series 2005-QO4, Class 2AI, FRN, 5.60%, 12/25/45 (m) | 1,085 | |||||||||
8,994 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 9,097 | |||||||||
—(h) | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 05/25/36 (m) | — | (h) | ||||||||
283 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (i) | 280 | |||||||||
Structured Asset Mortgage Investments, Inc., | |||||||||||
1,487 | Series 2005-AK2, Class 2A1, FRN, 5.55%, 05/25/45 (m) | 1,488 | |||||||||
8,705 | Series 2006-AR1, Class 3A1, FRN, 5.55%, 02/25/36 (m) | 8,711 | |||||||||
2,121 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 1A, FRN, 5.51%, 07/25/46 (m) | 2,124 | |||||||||
Washington Mutual, Inc., | |||||||||||
1,121 | Series 2005-AR2, Class 2A21, FRN, 5.65%, 01/25/45 (m) | 1,125 | |||||||||
1,793 | Series 2005-AR9, Class A1A, FRN, 5.64%, 07/25/45 (m) | 1,799 | |||||||||
1,685 | Series 2005-AR15, Class A1A1, FRN, 5.58%, 11/25/45 (m) | 1,690 | |||||||||
985 | Series 2005-AR17, Class A1A1, FRN, 5.59%, 12/25/45 (m) | 988 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
2,270 | Series 2003-2, Class A6, 5.25%, 03/25/18 (m) | 2,254 | |||||||||
3,692 | Series 2006-AR3, Class A1, FRN, 5.71%, 03/25/36 (m) | 3,693 | |||||||||
288,666 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $462,016) | 461,474 | ||||||||||
Commercial Mortgage-Backed Securities — 5.8% | |||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
4,655 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) | 4,539 | |||||||||
4,155 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) | 4,076 | |||||||||
2,515 | Series 2005-T20, Class A4A, VAR, 5.30%, 10/12/42 (m) | 2,512 | |||||||||
5,000 | Series 2006-PW12, Class A4, VAR, 5.71%, 09/11/38 (m) | 5,187 | |||||||||
5,790 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A3, VAR, 5.72%, 03/15/49 (m) | 6,002 | |||||||||
10,000 | Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A4, VAR, 5.77%, 06/10/46 (m) | 10,405 | |||||||||
8,610 | Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, VAR, 5.83%, 06/15/38 (m) | 8,989 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
5,405 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) | 5,258 | |||||||||
5,405 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) | 5,255 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
1,200 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 1,177 | |||||||||
20,000 | Series 2003-C1, Class A4, 5.42%, 02/15/40 (m) | 20,100 | |||||||||
2,170 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) | 2,153 | |||||||||
4,060 | Series 2006-C4, Class A4, VAR, 5.90%, 06/15/38 (m) | 4,262 | |||||||||
6,232 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-FFLA, Class A2, FRN, 5.44%, 09/15/21 (e) (m) | 6,234 | |||||||||
7,610 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.66%, 05/12/39 (m) | 7,864 | |||||||||
10,585 | Morgan Stanley Capital I, Series 2006-IQ12, Class A4, 5.33%, 12/15/43 (m) | 10,610 | |||||||||
1,755 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 1,734 | |||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||
370 | Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) | 365 | |||||||||
5,605 | Series 2006-C26, Class A3, VAR, 6.01%, 06/15/45 (m) | 5,895 | |||||||||
7,030 | Series 2006-C29, Class A4, 5.31%, 11/15/48 (m) | 7,026 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $118,487) | 119,643 | ||||||||||
Corporate Bonds — 42.0% | |||||||||||
Aerospace & Defense — 0.2% | |||||||||||
900 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 877 | |||||||||
3,500 | United Technologies Corp., FRN, 5.44%, 06/01/09 (m) | 3,505 | |||||||||
4,382 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
549 | TRW Automotive, Inc., 9.38%, 02/15/13 (m) | 590 | |||||||||
Automobiles — 0.8% | |||||||||||
DaimlerChrysler NA Holding Corp., | |||||||||||
10,280 | 5.88%, 03/15/11 (m) | 10,462 | |||||||||
3,425 | FRN, 5.79%, 03/13/09 (m) | 3,436 | |||||||||
2,000 | Series E, FRN, 5.89%, 10/31/08 (m) | 2,009 | |||||||||
15,907 | |||||||||||
Beverages — 0.1% | |||||||||||
680 | Constellation Brands, Inc., 7.25%, 09/01/16 (m) | 706 | |||||||||
450 | Diageo Capital plc (United Kingdom), 3.38%, 03/20/08 (m) | 441 | |||||||||
1,147 | |||||||||||
Building Products — 0.2% | |||||||||||
3,455 | Owens Corning, Inc., 7.00%, 12/01/36 (e) (m) | 3,615 | |||||||||
Capital Markets — 5.7% | |||||||||||
1,395 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 1,371 | |||||||||
2,495 | Bank of New York Co., Inc. (The), 5.20%, 07/01/07 (m) | 2,495 | |||||||||
1,020 | Banque Paribas (France), 6.88%, 03/01/09 (m) | 1,056 | |||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
520 | 4.00%, 01/31/08 (m) | 515 | |||||||||
5,000 | FRN, 5.45%, 08/21/09 (m) | 5,006 | |||||||||
1,640 | FRN, 5.51%, 04/29/08 (m) | 1,644 | |||||||||
Credit Suisse, Nassau Branch (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (Turkey) | |||||||||||
TRL 4,715 | 14.00%, 01/19/11 | 2,973 | |||||||||
2,395 | 14.00%, 01/19/11 | 1,510 | |||||||||
Credit Suisse USA, Inc., | |||||||||||
$1,845 | 5.50%, 08/16/11 (m) | 1,878 | |||||||||
2,000 | FRN, 5.43%, 06/05/09 (m) | 2,002 | |||||||||
2,190 | FRN, 5.48%, 06/02/08 (m) | 2,194 | |||||||||
3,000 | FRN, 5.48%, 12/09/08 (m) | 3,006 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
1,550 | 4.13%, 01/15/08 (m) | 1,536 | |||||||||
4,120 | 5.63%, 01/15/17 (m) | 4,124 | |||||||||
6,340 | 5.95%, 01/15/27 (m) | 6,316 | |||||||||
7,000 | FRN, 5.46%, 12/22/08 (m) | 7,009 | |||||||||
6,525 | FRN, 5.46%, 06/23/09 (m) | 6,530 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
4,665 | 5.25%, 02/06/12 (m) | 4,676 | |||||||||
1,480 | 5.75%, 07/18/11 (m) | 1,518 | |||||||||
3,835 | 5.75%, 01/03/17 (m) | 3,888 | |||||||||
12,000 | FRN, 5.39%, 05/29/08 (m) | 12,011 | |||||||||
7,000 | FRN, 5.46%, 08/21/09 (m) | 7,004 | |||||||||
3,100 | Links Finance LLC, FRN, 5.61%, 09/15/08 (e) (i) | 3,103 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
2,730 | 6.11%, 01/29/37 | 2,726 | |||||||||
4,885 | 6.22%, 09/15/26 (m) | 5,007 | |||||||||
2,000 | FRN, 5.45%, 10/27/08 (m) | 2,002 | |||||||||
7,250 | FRN, 5.56%, 11/01/11 (m) | 7,267 | |||||||||
1,900 | FRN, 5.61%, 02/06/09 (m) | 1,907 | |||||||||
Morgan Stanley, | |||||||||||
5,850 | 5.45%, 01/09/17 (m) | 5,811 | |||||||||
1,800 | 5.63%, 01/09/12 (m) | 1,835 | |||||||||
7,000 | FRN, 5.47%, 02/09/09 (m) | 7,012 | |||||||||
1,000 | FRN, 5.48%, 11/09/07 (m) | 1,001 | |||||||||
117,933 | |||||||||||
Chemicals — 0.1% | |||||||||||
1,025 | Huntsman LLC, 11.50%, 07/15/12 (m) | 1,148 | |||||||||
835 | Nalco Co., 7.75%, 11/15/11 (m) | 862 | |||||||||
705 | PolyOne Corp., 10.63%, 05/15/10 (m) | 747 | |||||||||
2,757 | |||||||||||
Commercial Banks — 6.0% | |||||||||||
Barclays Bank plc (United Kingdom), | |||||||||||
5,535 | 5.93% to 12/15/16; thereafter VAR, 12/31/49 (e) (m) | 5,656 | |||||||||
3,300 | 6.28% to 12/15/34; thereafter VAR, 12/29/49 (m) | 3,344 | |||||||||
1,595 | 7.40%, 12/15/09 (m) | 1,692 | |||||||||
620 | BB&T Capital Trust I, 5.85%, 08/18/35 (m) | 616 | |||||||||
6,195 | Commonwealth Bank of Australia (Australia), 6.02% to 03/15/16; thereafter VAR, 03/29/49 (e) (m) | 6,369 | |||||||||
4,770 | DBS Capital Funding Corp. (Cayman Islands), 7.66% to 03/15/11; thereafter VAR, 03/31/49 (e) (m) | 5,174 | |||||||||
4,750 | Deutsche Bank Capital Funding Trust VII, 5.63% to 01/19/16; thereafter VAR, 01/19/49 (e) (m) | 4,733 | |||||||||
Glitnir Banki HF (Iceland), | |||||||||||
3,500 | 7.45% to 09/14/16; thereafter VAR, 09/14/49 (e) (m) | 3,824 | |||||||||
1,500 | FRN, 5.52%, 10/15/08 (e) (m) | 1,498 | |||||||||
6,675 | FRN, 5.80%, 01/21/11 (e) (m) | 6,678 | |||||||||
5,000 | HBOS plc (United Kingdom), 5.92% to 10/01/15; thereafter VAR, 09/29/49 (e) (m) | 4,980 | |||||||||
23,615 | HBOS Treasury Services plc (United Kingdom), 5.25%, 02/21/17 (e) (m) | 23,965 | |||||||||
2,675 | ICICI Bank Ltd. (India), FRN, 5.90%, 01/12/10 (e) (m) | 2,703 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
1,720 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) (m) | 1,674 | |||||||||
4,250 | Landsbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) | 4,400 | |||||||||
4,640 | Lloyds TSB Group plc (United Kingdom), 6.27% to 11/14/16; thereafter VAR, 12/31/49 (e) (m) | 4,678 | |||||||||
305 | Royal Bank of Scotland Group plc (United Kingdom), 7.65% to 09/30/31; thereafter VAR, 08/29/49 (m) | 370 | |||||||||
6,600 | Shinsei Finance II (Cayman Islands), 7.16% to 07/25/16; thereafter VAR, 07/29/49 (e) (m) | 6,858 | |||||||||
5,200 | Standard Chartered plc (United Kingdom), 6.41% to 01/30/17; thereafter VAR, 12/21/49 (e) (m) | 5,214 | |||||||||
3,705 | SunTrust Preferred Capital I, 5.85% to 12/15/11; thereafter VAR, 12/31/49 (m) | 3,780 | |||||||||
VTB Capital SA for Vneshtorgbank (Luxembourg), | |||||||||||
8,525 | FRN, 5.96%, 08/01/08 (e) (m) | 8,533 | |||||||||
5,175 | FRN, 6.11%, 09/21/07 | 5,180 | |||||||||
1,780 | FRN, 6.11%, 09/21/07 (e) (m) | 1,783 | |||||||||
1,500 | Wachovia Bank NA, 5.80%, 12/01/08 (m) | 1,519 | |||||||||
2,140 | Wachovia Corp., FRN, 5.44%, 07/20/07 (m) | 2,141 | |||||||||
Wells Fargo & Co., | |||||||||||
185 | 4.20%, 01/15/10 (m) | 181 | |||||||||
140 | 5.13%, 09/01/12 (m) | 141 | |||||||||
2,070 | Wells Fargo Bank NA, 6.45%, 02/01/11 (m) | 2,175 | |||||||||
2,335 | Woori Bank (South Korea), VAR, 5.75%, 03/13/14 (e) (m) | 2,361 | |||||||||
122,220 | |||||||||||
Commercial Services & Supplies — 0.1% | |||||||||||
725 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 721 | |||||||||
400 | Allied Waste North America, Inc., 6.13%, 02/15/14 (m) | 390 | |||||||||
415 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 414 | |||||||||
530 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (e) (m) | 542 | |||||||||
2,067 | |||||||||||
Communications Equipment — 0.2% | |||||||||||
4,000 | Cisco Systems, Inc., FRN, 5.44%, 02/20/09 (m) | 4,005 | |||||||||
Computers & Peripherals — 0.2% | |||||||||||
3,500 | Hewlett-Packard Co., FRN, 5.48%, 05/22/09 (m) | 3,504 | |||||||||
695 | International Business Machines Corp., 5.38%, 02/01/09 (m) | 700 | |||||||||
4,204 | |||||||||||
Consumer Finance — 1.8% | |||||||||||
2,500 | AIG SunAmerica Global Financing VII, 5.85%, 08/01/08 (e) (m) | 2,522 | |||||||||
4,722 | American General Finance Corp., Series H, 4.50%, 11/15/07 (m) | 4,702 | |||||||||
2,310 | Capital One Capital III, 7.69%, 08/15/36 | 2,607 | |||||||||
Ford Motor Credit Co., | |||||||||||
1,075 | 7.25%, 10/25/11 (m) | 1,057 | |||||||||
1,100 | FRN, 6.32%, 03/21/07 (m) | 1,100 | |||||||||
195 | FRN, 6.93%, 01/15/10 (m) | 194 | |||||||||
2,250 | General Electric Capital Corp., FRN, 5.39%, 10/26/09 (m) | 2,249 | |||||||||
1,290 | General Motors Acceptance Corp. LLC, 6.88%, 08/28/12 (m) | 1,300 | |||||||||
HSBC Finance Corp., | |||||||||||
1,885 | 7.88%, 03/01/07 (m) | 1,885 | |||||||||
2,000 | FRN, 5.49%, 09/15/08 (m) | 2,004 | |||||||||
3,110 | FRN, 5.50%, 05/09/08 (m) | 3,117 | |||||||||
International Lease Finance Corp., | |||||||||||
1,330 | 4.88%, 09/01/10 (m) | 1,321 | |||||||||
3,500 | FRN, 5.58%, 05/24/10 (m) | 3,513 | |||||||||
900 | John Deere Capital Corp., 3.90%, 01/15/08 (m) | 890 | |||||||||
SLM Corp., | |||||||||||
1,655 | 3.63%, 03/17/08 (m) | 1,627 | |||||||||
1,900 | FRN, 5.44%, 01/25/08 (m) | 1,902 | |||||||||
4,500 | FRN, 5.50%, 07/27/09 (m) | 4,505 | |||||||||
36,495 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
1,210 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 1,267 | |||||||||
Diversified Consumer Services — 0.0% (g) | |||||||||||
Service Corp. International, | |||||||||||
250 | 7.70%, 04/15/09 (m) | 259 | |||||||||
750 | 7.38%, 10/01/14 (m) | 786 | |||||||||
1,045 | |||||||||||
Diversified Financial Services — 8.1% | |||||||||||
ABX Financing Co., (Cayman Islands) | |||||||||||
25,000 | 5.75%, 10/15/16 (e) (m) | 25,200 | |||||||||
3,635 | 6.35%, 10/15/36 (e) (m) | 3,707 | |||||||||
Bank of America Corp., | |||||||||||
2,100 | 3.25%, 08/15/08 (m) | 2,048 | |||||||||
2,415 | 4.25%, 10/01/10 (m) | 2,360 | |||||||||
2,695 | 4.38%, 12/01/10 (m) | 2,639 | |||||||||
1,230 | 5.88%, 02/15/09 (m) | 1,251 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
3,250 | FRN, 5.41%, 08/11/09 (m) | 3,250 | |||||||||
4,250 | FRN, 5.42%, 05/18/09 (m) | 4,256 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Financial Services — Continued | |||||||||||
CIT Group, Inc., | |||||||||||
1,300 | 4.00%, 05/08/08 (m) | 1,283 | |||||||||
1,795 | 5.50%, 11/30/07 (m) | 1,799 | |||||||||
4,000 | FRN, 5.46%, 06/08/09 (m) | 4,005 | |||||||||
3,500 | FRN, 5.49%, 08/17/09 (m) | 3,505 | |||||||||
3,100 | FRN, 5.51%, 01/30/09 (m) | 3,106 | |||||||||
General Electric Capital Corp., | |||||||||||
1,000 | FRN, 5.41%, 05/19/08 (m) | 1,001 | |||||||||
3,360 | Series A, 4.25%, 01/15/08 (m) | 3,335 | |||||||||
7,000 | Glen Meadow Pass-Through Trust, VAR, 6.50%, 02/12/67 (e) (m) | 7,242 | |||||||||
9,000 | K2 Corp., VAR, 5.37%, 02/15/09 (i) | 9,000 | |||||||||
Kaupthing Bank (Iceland), | |||||||||||
17,400 | 5.75%, 10/04/11 (e) (m) | 17,697 | |||||||||
9,600 | FRN, 6.06%, 01/15/10 (e) (m) | 9,704 | |||||||||
4,770 | Mizuho Capital Investment 1 Ltd. (Cayman Islands), 6.69% to 6/30/16; thereafter VAR, 03/29/49 (e) (m) | 4,897 | |||||||||
1,815 | Mizuho JGB Investment LLC, 9.87% to 06/30/08; thereafter VAR, 12/29/49 (e) (m) | 1,916 | |||||||||
7,073 | Mizuho Preferred Capital Co. LLC, 8.79% to 6/30/08; thereafter VAR, 12/29/49 (e) (m) | 7,380 | |||||||||
4,810 | MUFG Capital Finance 1 Ltd. (Cayman Islands), 6.35% to 07/25/16; thereafter VAR, 07/29/49 (m) | 4,990 | |||||||||
6,425 | Pemex Finance Ltd. (Cayman Islands), 7.16%, 10/15/09 | 6,656 | |||||||||
Preferred Term Securities XXIV Ltd. (Cayman Islands), | |||||||||||
2,450 | FRN, 5.73%, 03/22/37 (e) (m) | 2,452 | |||||||||
2,450 | FRN, 5.93%, 03/22/37 (e) (m) | 2,453 | |||||||||
3,075 | Resona Preferred Global Securities Cayman Ltd., (Cayman Islands) 7.19% to 07/30/15; thereafter VAR, 12/29/49 (e) (m) | 3,311 | |||||||||
5,720 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08% to 01/25/17; thereafter VAR, 01/29/49 (e) (m) | 5,787 | |||||||||
1,250 | TIAA Global Markets, Inc., FRN, 5.46%, 01/12/11 (e) (m) | 1,251 | |||||||||
1,900 | TRAINS HY-1-2006, 7.55%, 05/01/16 (e) (m) | 1,927 | |||||||||
1,045 | Visant Corp., 7.63%, 10/01/12 (m) | 1,071 | |||||||||
15,000 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 5.71%, 11/13/09 (e) (m) | 15,009 | |||||||||
165,488 | |||||||||||
Diversified Telecommunication Services — 1.9% | |||||||||||
AT&T, Inc., | |||||||||||
3,250 | 6.80%, 05/15/36 (m) | 3,562 | |||||||||
5,750 | FRN, 5.45%, 05/15/08 (m) | 5,754 | |||||||||
4,700 | BellSouth Corp., FRN, 5.46%, 08/15/08 (m) | 4,704 | |||||||||
750 | Consolidated Communications Holdings, Inc., 9.75%, 04/01/12 (m) | 801 | |||||||||
1,000 | Insight Midwest LP/Insight Capital, Inc., 9.75%, 10/01/09 (m) | 1,017 | |||||||||
280 | Qwest Communications International, Inc., FRN, 8.86%, 02/15/09 (m) | 283 | |||||||||
590 | Qwest Corp., 8.87%, 03/15/12 (m) | 652 | |||||||||
5,395 | Sprint Capital Corp., 6.13%, 11/15/08 (m) | 5,473 | |||||||||
10,000 | Telefonica Emisones SAU (Spain), FRN, 5.66%, 06/19/09 (m) | 10,024 | |||||||||
975 | Verizon Communications, Inc., 5.35%, 02/15/11 (m) | 982 | |||||||||
Verizon Global Funding Corp., | |||||||||||
1,915 | 4.90%, 09/15/15 (m) | 1,852 | |||||||||
2,125 | 5.85%, 09/15/35 (m) | 2,073 | |||||||||
1,340 | 7.38%, 09/01/12 (m) | 1,477 | |||||||||
55 | 7.75%, 12/01/30 (m) | 66 | |||||||||
38,720 | |||||||||||
Electric Utilities — 0.4% | |||||||||||
Appalachian Power Co. | |||||||||||
1,445 | 6.38%, 04/01/36 (m) | 1,531 | |||||||||
925 | Series L, 5.80%, 10/01/35 (m) | 903 | |||||||||
80 | Florida Power & Light Co., 5.63%, 04/01/34 (m) | 81 | |||||||||
2,415 | ITC Holdings Corp., 6.38%, 09/30/36 (e) (m) | 2,508 | |||||||||
2,935 | Nisource Finance Corp., 5.25%, 09/15/17 (m) | 2,814 | |||||||||
110 | San Diego Gas & Electric Co., 5.35%, 05/15/35 (m) | 106 | |||||||||
7,943 | |||||||||||
Electronic Equipment & Instruments — 0.0% (g) | |||||||||||
715 | NXP BV/NXP Funding LLC, 9.50%, 10/15/15 (e) (m) | 738 | |||||||||
Food & Staples Retailing — 0.2% | |||||||||||
3,140 | CVS Lease Pass-Through, 6.04%, 12/10/28 (e) (m) | 3,167 | |||||||||
Food Products — 0.5% | |||||||||||
20 | Dole Food Co., Inc., 7.25%, 06/15/10 (m) | 20 | |||||||||
10,000 | Tate & Lyle International Finance plc (United Kingdom), 5.00%, 11/15/14 (e) (m) | 9,657 | |||||||||
9,677 | |||||||||||
Gas Utilities — 0.2% | |||||||||||
3,520 | Nakilat, Inc. (Qatar), 6.07%, 12/31/33 (e) (m) | 3,527 | |||||||||
Health Care Equipment & Supplies — 0.0% (g) | |||||||||||
615 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 626 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Health Care Providers & Services — 0.2% | |||||||||||
HCA, Inc., | |||||||||||
470 | 9.25%, 11/15/16 (e) (m) | 503 | |||||||||
460 | 9.63%, 11/15/16 (e) (m) | 497 | |||||||||
2,970 | WellPoint, Inc., 5.00%, 01/15/11 (m) | 2,962 | |||||||||
3,962 | |||||||||||
Hotels, Restaurants & Leisure — 0.0% (g) | |||||||||||
1,190 | MGM Mirage, Inc., 5.88%, 02/27/14 (m) | 1,107 | |||||||||
Household Durables — 0.2% | |||||||||||
Beazer Homes USA, Inc., | |||||||||||
1,025 | 6.50%, 11/15/13 (m) | 984 | |||||||||
200 | 6.88%, 07/15/15 (m) | 192 | |||||||||
1,280 | Jarden Corp., 7.50%, 05/01/17 (m) | 1,297 | |||||||||
520 | K. Hovnanian Enterprises, Inc., 8.63%, 01/15/17 (m) | 549 | |||||||||
780 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 823 | |||||||||
3,845 | |||||||||||
Household Products — 0.0% (g) | |||||||||||
1,120 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) | 953 | |||||||||
Insurance — 3.2% | |||||||||||
1,765 | American International Group, Inc., 6.25%, 05/01/36 (m) | 1,912 | |||||||||
3,190 | AXA S.A. (France), 6.38% to 12/14/36; thereafter VAR, 12/14/49 (e) (m) | 3,176 | |||||||||
2,000 | Genworth Financial, Inc., VAR, 6.15%, 11/15/66 (m) | 2,011 | |||||||||
Hartford Financial Services Group, Inc., | |||||||||||
240 | 4.70%, 09/01/07 (m) | 239 | |||||||||
1,900 | 5.25%, 10/15/11 (m) | 1,913 | |||||||||
3,750 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) | 4,159 | |||||||||
7,140 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) | 7,637 | |||||||||
4,275 | MetLife, Inc., 6.40%, 12/15/36 (m) | 4,354 | |||||||||
1,570 | Monumental Global Funding II, 3.85%, 03/03/08 (e) (m) | 1,547 | |||||||||
3,085 | Mony Group, Inc., 8.35%, 03/15/10 (m) | 3,345 | |||||||||
Protective Life Secured Trust, | |||||||||||
4,505 | 3.70%, 11/24/08 (m) | 4,397 | |||||||||
3,390 | 4.00%, 10/07/09 (m) | 3,297 | |||||||||
1,250 | FRN, 5.44%, 01/14/08 (m) | 1,251 | |||||||||
7,500 | Nationwide Life Global Funding, 5.41%, 10/09/09 (m) | 7,500 | |||||||||
4,725 | Reinsurance Group of America, Inc., VAR, 6.75%, 12/15/65 (m) | 4,818 | |||||||||
3,630 | Stingray Pass-Through Trust (Cayman Islands), 5.90%, 01/12/15 (e) (m) | 3,303 | |||||||||
8,745 | Swiss RE Capital I LP, 6.85% to 05/25/16; thereafter VAR, 05/29/49 (e) (m) | 9,266 | |||||||||
64,125 | |||||||||||
IT Services — 0.1% | |||||||||||
Iron Mountain, Inc., | |||||||||||
945 | 6.63%, 01/01/16 (m) | 907 | |||||||||
480 | 7.75%, 01/15/15 (m) | 491 | |||||||||
900 | SunGard Data Systems, Inc., 10.25%, 08/15/15 (m) | 979 | |||||||||
2,377 | |||||||||||
Media — 3.1% | |||||||||||
500 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) | 520 | |||||||||
455 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 477 | |||||||||
7,775 | Comcast Corp., FRN, 5.66%, 07/14/09 (m) | 7,794 | |||||||||
1,900 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 1,757 | |||||||||
3,000 | Dex Media West LLC/Dex Media Finance Co., 9.88%, 08/15/13 (m) | 3,266 | |||||||||
685 | DIRECTV Holdings LLC, 6.38%, 06/15/15 (m) | 658 | |||||||||
1,560 | Echostar DBS Corp., 7.13%, 02/01/16 (m) | 1,613 | |||||||||
245 | News America Holdings, Inc., 7.75%, 01/20/24 (m) | 282 | |||||||||
Time Warner, Inc., | |||||||||||
13,365 | 5.50%, 11/15/11 (m) | 13,516 | |||||||||
1,430 | 6.50%, 11/15/36 (m) | 1,484 | |||||||||
7,550 | FRN, 5.59%, 11/13/09 (m) | 7,564 | |||||||||
Viacom, Inc., | |||||||||||
12,625 | 5.75%, 04/30/11 (m) | 12,831 | |||||||||
1,045 | 6.25%, 04/30/16 (m) | 1,067 | |||||||||
4,900 | FRN, 5.71%, 06/16/09 (m) | 4,917 | |||||||||
4,650 | Walt Disney Co., (The), FRN, 5.45%, 09/10/09 (m) | 4,657 | |||||||||
1,645 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) | 1,596 | |||||||||
380 | WMG Holdings Corp., SUB, 0.00%, 12/15/14 (m) | 298 | |||||||||
64,297 | |||||||||||
Multi-Utilities — 1.0% | |||||||||||
Dominion Resources, Inc., | |||||||||||
1,220 | 5.00%, 03/15/13 (m) | 1,203 | |||||||||
6,135 | 5.15%, 07/15/15 (m) | 6,056 | |||||||||
1,600 | FRN, 5.66%, 09/28/07 (m) | 1,601 | |||||||||
2,290 | Series A, 8.13%, 06/15/10 (m) | 2,500 | |||||||||
1,090 | Series E, 7.20%, 09/15/14 (m) | 1,215 | |||||||||
3,975 | MidAmerican Energy Holdings Co., 6.13%, 04/01/36 (m) | 4,109 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Multi-Utilities — Continued | |||||||||||
1,225 | NRG Energy, Inc., 7.38%, 02/01/16 (m) | 1,249 | |||||||||
1,890 | Public Service Enterprise Group, Inc., FRN, 5.74%, 09/21/08 (m) | 1,892 | |||||||||
19,825 | |||||||||||
Oil, Gas & Consumable Fuels — 2.3% | |||||||||||
5,000 | Anadarko Petroleum Corp., FRN, 5.76%, 09/15/09 (m) | 5,010 | |||||||||
255 | Atlantic Richfield Co., 5.90%, 04/15/09 (m) | 259 | |||||||||
4,785 | BP Canada Finance Co. (Canada), 3.38%, 10/31/07 (m) | 4,731 | |||||||||
960 | Chesapeake Energy Corp., 6.50%, 08/15/17 (m) | 946 | |||||||||
4,700 | ChevronTexaco Capital Co. (Canada), 3.50%, 09/17/07 (m) | 4,659 | |||||||||
1,175 | Energy Transfer Partners LP, 6.63%, 10/15/36 (m) | 1,241 | |||||||||
Enterprise Products Operating LP, | |||||||||||
5,300 | 5.00%, 03/01/15 (m) | 5,110 | |||||||||
1,155 | Series B, 6.65%, 10/15/34 (m) | 1,222 | |||||||||
4,340 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 | 4,559 | |||||||||
3,335 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 (m) | 3,433 | |||||||||
2,925 | OAO Gazprom (Russia), 9.13%, 04/25/07 | 2,939 | |||||||||
3,415 | ONEOK Partners LP, 5.90%, 04/01/12 (m) | 3,498 | |||||||||
6,210 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 6,241 | |||||||||
2,995 | Ras Laffan Liquefied Natural Gas Co. Ltd III (Qatar), 5.83%, 09/30/16 (e) (m) | 3,040 | |||||||||
40 | Suncor Energy, Inc. (Canada), 7.15%, 02/01/32 (m) | 48 | |||||||||
46,936 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
1,200 | Georgia Pacific Corp., 7.70%, 06/15/15 (m) | 1,236 | |||||||||
Personal Products — 0.0% (g) | |||||||||||
500 | DEL Laboratories, Inc., 8.00%, 02/01/12 (m) | 476 | |||||||||
Real Estate Investment Trusts (REITs) — 1.1% | |||||||||||
iStar Financial, Inc., | |||||||||||
10,000 | 5.95%, 10/15/13 (e) (m) | 10,154 | |||||||||
6,600 | FRN, 5.76%, 03/03/08 (m) | 6,616 | |||||||||
5,900 | WEA Finance LLC/WCI Finance LLC (Australia), 5.70%, 10/01/16 (e) (m) | 6,052 | |||||||||
22,822 | |||||||||||
Software — 0.2% | |||||||||||
700 | Open Solutions, Inc., 9.75%, 02/01/15 (e) (m) | 723 | |||||||||
2,405 | Oracle Corp. and Ozark Holding, Inc., FRN, 5.59%, 01/13/09 (m) | 2,407 | |||||||||
635 | UGS Corp., 10.00%, 06/01/12 (m) | 695 | |||||||||
3,825 | |||||||||||
Specialty Retail — 0.2% | |||||||||||
3,575 | Home Depot, Inc., 5.88%, 12/16/36 (m) | 3,587 | |||||||||
Thrifts & Mortgage Finance — 2.7% | |||||||||||
5,800 | Bancaja US Debt S.A. (Spain), FRN, 5.51%, 07/10/09 (e) (m) | 5,805 | |||||||||
5,000 | CAM US Finance S.A. Sociedad Unipersonal (Spain), FRN, 5.51%, 02/01/10 (e) (m) | 4,999 | |||||||||
4,500 | Countrywide Financial Corp., FRN, 5.59%, 03/24/09 (m) | 4,503 | |||||||||
570 | Countrywide Home Loans, Inc., 5.63%, 07/15/09 (m) | 576 | |||||||||
Residential Capital LLC, | |||||||||||
7,865 | 6.13%, 11/21/08 (m) | 7,896 | |||||||||
5,475 | FRN, 5.85%, 06/09/08 (m) | 5,458 | |||||||||
2,400 | FRN, 6.46%, 04/17/09 (m) | 2,409 | |||||||||
2,100 | FRN, 6.66%, 11/21/08 (m) | 2,116 | |||||||||
1,250 | Sovereign Bancorp, Inc., FRN, 5.65%, 03/01/09 (m) | 1,253 | |||||||||
4,000 | Washington Mutual Bank, FRN, 5.45%, 05/01/09 (m) | 4,002 | |||||||||
11,000 | Washington Mutual Preferred Funding, 6.53% to 03/15/11; thereafter VAR, 03/29/49 (e) (m) | 11,086 | |||||||||
5,500 | Washington Mutual Preferred Funding II, 6.67% to 12/15/16; thereafter VAR, 12/31/49 (e) (m) | 5,544 | |||||||||
55,647 | |||||||||||
Wireless Telecommunication Services — 0.8% | |||||||||||
5,100 | America Movil S.A. de C.V. (Mexico), FRN, 5.47%, 06/27/08 (e) (m) | 5,094 | |||||||||
420 | Dobson Cellular Systems, Inc., 8.38%, 11/01/11 (m) | 446 | |||||||||
530 | Intelsat Bermuda Ltd. (Bermuda), 9.25%, 06/15/16 (e) (m) | 586 | |||||||||
1,000 | iPCS, Inc., 11.50%, 05/01/12 (m) | 1,105 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
610 | 7.88%, 03/01/11 (m) | 670 | |||||||||
1,110 | 8.13%, 05/01/12 (m) | 1,256 | |||||||||
390 | 8.75%, 03/01/31 (m) | 519 | |||||||||
450 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 (m) | 462 | |||||||||
5,210 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) | 5,190 | |||||||||
1,170 | Vodafone Group plc (United Kingdom), 7.75%, 02/15/10 (m) | 1,250 | |||||||||
16,578 | |||||||||||
Total Corporate Bonds (Cost $852,696) | 859,118 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Foreign Government Securities — 3.4% | |||||||||||
1,875 | Arab Republic of Egypt (Egypt), 4.45%, 09/15/15 (m) | 1,821 | |||||||||
Bundesrepublik Deutschland (Germany), | |||||||||||
EUR 780 | 4.00%, 01/04/37 (m) | 1,015 | |||||||||
EUR 3,545 | 4.75%, 07/04/34 (m) | 5,176 | |||||||||
2,660 | Export-Import Bank of Korea (South Korea), 4.63%, 03/16/10 (m) | 2,625 | |||||||||
2,465 | Federal Republic of Brazil (Brazil), 12.25%, 03/06/30 (m) | 4,203 | |||||||||
11,610 | Government of Argentina (Argentina), FRN, 5.48%, 08/03/12 (m) | 8,281 | |||||||||
Government of Peru (Peru), | |||||||||||
6,640 | FRN, 5.00%, 03/07/27 | 6,574 | |||||||||
10,263 | VAR, 5.00%, 03/07/17 | 10,211 | |||||||||
2,820 | Government of Ukraine (Ukraine), 6.58%, 11/21/16 (e)(m) | 2,852 | |||||||||
2,305 | IIRSA Norte Finance Ltd. (Peru), 8.75%, 05/30/24 | 2,720 | |||||||||
2,000 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 2,025 | |||||||||
2,770 | Russian Federation (Russia), 12.75%, 06/24/28 | 5,028 | |||||||||
United Mexican States (Mexico), | |||||||||||
6,860 | 8.00%, 09/24/22 (m) | 8,352 | |||||||||
8,550 | FRN, 6.06%, 01/13/09 (m) | 8,610 | |||||||||
Total Foreign Government Securities (Cost $67,537) | 69,493 | ||||||||||
Mortgage Pass-Through Securities — 73.4% | |||||||||||
Federal Home Loan Mortgage Corp., Various Pools, | |||||||||||
429 | 6.00%, 02/01/11 – 04/01/11 (m) | 435 | |||||||||
188 | 6.00%, 01/01/35 (m) | 190 | |||||||||
71 | 7.00%, 12/01/25 – 02/01/26 (m) | 74 | |||||||||
159 | 7.50%, 10/01/26 – 02/01/27 (m) | 166 | |||||||||
133 | 8.00%, 04/01/26 – 07/01/26 (m) | 142 | |||||||||
1 | 9.75%, 11/01/08 (m) | 1 | |||||||||
23,000 | TBA, 5.00%, 03/15/37 | 22,317 | |||||||||
73,200 | TBA, 5.50%, 03/15/37 | 72,628 | |||||||||
177,010 | TBA, 6.00%, 03/15/37 | 178,614 | |||||||||
85,000 | TBA, 6.50%, 03/15/36 | 86,620 | |||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
1,141 | 4.96%, 11/01/08 (m) | 1,131 | |||||||||
7,798 | 6.00%, 10/01/23 – 03/01/35 (m) | 7,887 | |||||||||
2,490 | 6.50%, 04/01/29 – 03/01/35 (m) | 2,539 | |||||||||
88,444 | 7.00%, 02/01/30 – 02/01/37 (m) | 90,939 | |||||||||
1,004 | 7.50%, 03/01/35 – 07/01/36 (m) | 1,036 | |||||||||
1,025 | 8.00%, 08/01/22 – 07/01/36 (m) | 1,079 | |||||||||
—(h) | 8.50%, 10/01/25 (m) | — | (h) | ||||||||
19,736 | FRN, 5.77%, 09/01/36 (m) | 19,888 | |||||||||
22,200 | TBA, 4.50%, 03/25/22 | 21,513 | |||||||||
16,750 | TBA, 4.50%, 03/25/36 | 15,803 | |||||||||
49,965 | TBA, 5.00%, 03/25/36 – 05/25/36 | 48,497 | |||||||||
13,895 | TBA, 5.00%, 03/25/22 | 13,708 | |||||||||
37,016 | TBA, 5.50%, 03/25/22 | 37,097 | |||||||||
47,900 | TBA, 5.50%, 03/25/37 | 47,511 | |||||||||
111,800 | TBA, 6.00%, 03/25/21 – 04/25/21 | 113,512 | |||||||||
488,500 | TBA, 6.00%, 03/25/37 | 492,622 | |||||||||
146,500 | TBA, 7.00%, 03/25/36 | 150,529 | |||||||||
Government National Mortgage Association Pools, | |||||||||||
1,276 | 7.00%, 09/15/31 (m) | 1,329 | |||||||||
26 | 9.00%, 02/15/10 – 04/15/11 (m) | 27 | |||||||||
75,000 | TBA, 6.00%, 03/15/37 | 76,125 | |||||||||
Total Mortgage Pass-Through Securities (Cost $1,494,922) | 1,503,959 | ||||||||||
Private Placements — 0.7% | |||||||||||
10,429 | 200 East 57th St., 200 East Tenants Corp., Secured by First Mortgage Agreement on Co-op Apartment Building in New York City, 6.50%, 01/01/14 (f)(i) | 10,998 | |||||||||
722 | 200 East 57th St., 200 East Tenants Corp., Secured by Second Mortgage Agreement and Apartment on Co-op Apartment Building in New York City, 6.72%, 01/01/13 (f)(i) | 750 | |||||||||
2,946 | 81 Irving Place, Irving Tenants Corp., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.95%, 01/01/29 (f)(i) | 3,270 | |||||||||
Total Private Placements (Cost $14,097) | 15,018 | ||||||||||
Supranational — 0.2% | |||||||||||
5,000 | European Investment Bank, 4.88%, 02/16/16 (m) (Cost $4,994) | 4,979 | |||||||||
U.S. Government Agency Securities — 2.4% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
8,670 | 4.00%, 06/12/13 (m) | 8,241 | |||||||||
4,040 | 4.88%, 11/15/13 (m) | 4,046 | |||||||||
11,950 | 5.75%, 01/15/12 (m) | 12,423 | |||||||||
4,640 | 6.25%, 07/15/32 (m) | 5,402 | |||||||||
2,315 | 6.75%, 03/15/31 (m) | 2,834 | |||||||||
6,680 | 7.00%, 03/15/10 (m) | 7,089 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
U.S. Government Agency Securities — Continued | |||||||||||
Federal National Mortgage Association, | |||||||||||
2,600 | 5.25%, 08/01/12 (m) | 2,635 | |||||||||
4,605 | 5.25%, 09/15/16 (m) | 4,721 | |||||||||
830 | 6.13%, 03/15/12 (m) | 877 | |||||||||
15 | 7.13%, 01/15/30 (m) | 19 | |||||||||
1,600 | Tennessee Valley Authority, 6.79%, 05/23/12 (m) | 1,742 | |||||||||
Total U.S. Government Agency Securities (Cost $50,244) | 50,029 | ||||||||||
U.S. Treasury Obligations — 0.8% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
1,140 | 4.50%, 02/15/36 (m) | 1,106 | |||||||||
350 | 7.25%, 05/15/16 (k) (m) | 419 | |||||||||
3,907 | U.S. Treasury Inflation Indexed Bond, 2.38%, 01/15/27 (m) | 3,998 | |||||||||
90 | U.S. Treasury Inflation Indexed Note, 1.63%, 01/15/15 (m) | 86 | |||||||||
U.S. Treasury Notes, | |||||||||||
300 | 3.38%, 10/15/09 (m) | 291 | |||||||||
1,220 | 3.50%, 02/15/10 (k) (m) | 1,185 | |||||||||
785 | 3.88%, 07/31/07 (k) (m) | 781 | |||||||||
1,075 | 3.88%, 05/15/09 (k) (m) | 1,059 | |||||||||
495 | 4.00%, 02/15/15 (k) (m) | 477 | |||||||||
2,795 | 4.13%, 08/15/08 (k) (m) | 2,772 | |||||||||
160 | 4.38%, 01/31/08 (k) (m) | 159 | |||||||||
1,125 | 4.38%, 11/15/08 (k) (m) | 1,119 | |||||||||
250 | 4.50%, 02/15/16 (k) (m) | 249 | |||||||||
1,320 | 4.88%, 08/15/09 (k) (m) | 1,329 | |||||||||
1,000 | 5.00%, 07/31/08 (k) (m) | 1,003 | |||||||||
Total U.S. Treasury Obligations (Cost $16,030) | 16,033 | ||||||||||
SHARES | |||||||||||
Preferred Stocks — 0.5% | |||||||||||
Insurance — 0.5% | |||||||||||
200 | Aspen Insurance Holdings Ltd (Bermuda), VAR, 7.40%, 01/01/17 (m) | 5,232 | |||||||||
5,000 | Axis Capital Holdings Ltd. (Bermuda), Series B, VAR, 7.50%, 12/01/15 (m) | 5,388 | |||||||||
Total Prefered Stocks (Cost $10,428) | 10,620 | ||||||||||
Total Long-Term Investments (Cost $3,352,428) | 3,370,867 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.6% | |||||||||||
Call Options Purchased — 0.4% | |||||||||||
920 | 10 Year U.S. Treasury Note Futures, Expiring 05/25/07 @ $110.00, American Style | 359 | |||||||||
900 | 10 Year U.S. Treasury Note Futures, Expiring 05/25/07 @ $111.00, American Style | 197 | |||||||||
612 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 38 | |||||||||
310 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $95.00, American Style | 3 | |||||||||
1,112 | 90 Day Eurodollar Futures, Expiring 03/19/07 @ $94.75, American Style | 14 | |||||||||
1,072 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.75, American Style | 54 |
NOTIONAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
70,000 | 30 Year FNMA, 5.50%, TBA, Expiring 04/05/07 @ 99.79, American Style | 408 | ||||||||
102,466 | U.S. Treasury Note, 4.63%, 02/15/17, Expiring 05/07/07 @ 101.61, American Style | 500 | ||||||||
Call Options Purchased on Interest Rate Swaps: | ||||||||||
367,210 | Expiring 11/02/09. If exercised the Fund receives 4.49% and pays floating 3 month LIBOR expiring 11/04/19, European Style | 5,746 | ||||||||
Total Call Options Purchased | 7,319 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 1.0% | ||||||||||
40,555 | Expiring 03/02/07. If exercised the Fund pays/receives 5.31% and receives/pays floating 3 month LIBOR expiring 03/06/17, European Style | 678 | ||||||||
40,555 | Expiring 03/13/07. If exercised the Fund pays/receives 5.33% and receives/pays floating 3 month LIBOR expiring 03/15/17, European Style | 765 | ||||||||
52,330 | Expiring 03/16/07. If exercised the Fund pays/receives 5.19% and receives/pays floating 3 month LIBOR expiring 03/20/17, European Style | 608 | ||||||||
35,585 | Expiring 03/23/07. If exercised the Fund pays/receives 5.20% and receives/pays floating 3 month LIBOR expiring 03/27/17, European Style | 487 | ||||||||
40,480 | Expiring 03/27/07. If exercised the Fund pays/receives 5.10% and receives/pays floating 3 month LIBOR expiring 03/29/17, European Style | 529 | ||||||||
461,590 | Expiring 04/10/07. If exercised the Fund pays/receives 4.88% and receives/pays floating 3 month LIBOR expiring 04/12/08, European Style | 1,353 | ||||||||
547,050 | Expiring 06/01/07. If exercised the Fund pays/receives 4.74% and receives/pays floating 3 month LIBOR expiring 06/05/08, European Style | 1,973 |
As of February 28, 2007 (continued)
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | ||||||||||
Receiver/Payer Straddles on Interest Rate Swaps — Continued | ||||||||||
184,636 | Expiring 01/03/08. If exercised the Fund pays/receives 4.89% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 949 | ||||||||
184,636 | Expiring 01/03/08. If exercised the Fund pays/receives 4.95% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 956 | ||||||||
277,811 | Expiring 01/04/08. If exercised the Fund pays/receives 4.84% and receives/pays floating 3 month LIBOR expiring 01/08/09, European Style | 1,432 | ||||||||
186,350 | Expiring 01/07/08. If exercised the Fund pays/receives 4.94% and receives/pays floating 3 month LIBOR expiring 01/09/09, European Style | 973 | ||||||||
371,135 | Expiring 01/22/08. If exercised the Fund pays/receives 5.12% and receives/pays floating 3 month LIBOR expiring 01/24/09, European Style | 2,146 | ||||||||
286,190 | Expiring 10/02/08. If exercised the Fund pays/receives 4.46% and receives/pays floating 3 month LIBOR expiring 10/06/18, European Style | 2,927 | ||||||||
32,636 | Expiring 01/03/14. If exercised the Fund pays/receives 5.42% and receives/pays floating 3 month LIBOR expiring 01/07/24, European Style | 2,767 | ||||||||
27,725 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 1,614 | ||||||||
22,180 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 1,291 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 21,448 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.2% | ||||||||||
372 | 30 Day Federal Funds Futures, Expiring 05/31/07 @ $94.63, American Style | 4 | ||||||||
372 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.69, American Style | 4 | ||||||||
1,447 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 30 | ||||||||
1,044 | 90 Day Eurodollar Futures, Expiring 12/17/07 @ $94.75, American Style | 196 | ||||||||
485 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.00, American Style | 212 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — Continued | |||||||||||
120,000 | 30 Year FNMA, 5.50%, TBA, Expiring 04/05/07 @ 98.00, American Style | 57 | |||||||||
58,000 | 30 Year FNMA, 5.50%, TBA, Expiring 04/05/07 @ 98.92, American Style | 133 | |||||||||
Put Options Purchased on Interest Rate Swaps: | |||||||||||
992,765 | Expiring 04/26/07. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 04/25/08, European Style | 405 | |||||||||
249,690 | Expiring 05/01/07. If exercised the Fund pays 5.54% and receives floating 3 month LIBOR expiring 05/03/12, European Style | 67 | |||||||||
149,725 | Expiring 05/08/07. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 05/10/12, European Style | 64 | |||||||||
249,905 | Expiring 05/16/07. If exercised the Fund pays 5.41% and receives floating 3 month LIBOR expiring 05/18/12, European Style | 215 | |||||||||
192,955 | Expiring 06/15/07. If exercised the Fund pays 4.91% and receives floating 3 month LIBOR expiring 06/19/08, European Style | 397 | |||||||||
76,727 | Expiring 02/16/10. If exercised the Fund pays 5.85% and receives floating 3 month LIBOR expiring 02/18/20, European Style | 1,425 | |||||||||
Total Put Options Purchased | 3,209 | ||||||||||
Total Options Purchased (Cost $37,441) | 31,976 | ||||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Short-Term Investments — 2.2% | |||||||||||
Commercial Paper — 0.4% | |||||||||||
7,650 | Barton Capital Corp., 5.28%, 03/21/07 (m) (n) | 7,627 | |||||||||
SHARES | |||||||||||
Investment Company — 1.8% | |||||||||||
38,029 | JPMorgan Prime Money Market Fund (b) (m) | 38,029 | |||||||||
Total Short-Term Investments (Cost $45,656) | 45,656 | ||||||||||
Total Investments — 168.2% (Cost $3,435,525) | 3,448,499 | ||||||||||
Liabilities in Excess of Other Assets — (68.2)% | (1,398,540 | ) | |||||||||
NET ASSETS — 100.0% | $ | 2,049,959 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
4 | 10 Year Japan Bond | March, 2007 | $ | 4,561 | $ | 18 | ||||||||||||
18 | 30 Day Federal Funds | April, 2007 | 7,107 | 1 | ||||||||||||||
795 | 90 Day Eurodollar | June, 2007 | 188,435 | 9 | ||||||||||||||
247 | U.K. Treasury Gilt | June, 2007 | 53,017 | 149 | ||||||||||||||
907 | U.S. Treasury Bonds | June, 2007 | 102,434 | 624 | ||||||||||||||
279 | 2 Year U.S. Treasury Notes | June, 2007 | 57,182 | 127 | ||||||||||||||
628 | 5 Year U.S. Treasury Notes | June, 2007 | 66,539 | 269 | ||||||||||||||
46 | 10 Year Canada Bonds | June, 2007 | 4,482 | 35 | ||||||||||||||
411 | 10 Year U.S. Treasury Notes | June, 2007 | 44,632 | (152 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(240) | Euro-Bund | March, 2007 | (36,909 | ) | 642 | |||||||||||||
(56) | 90 Day Eurodollar | March, 2007 | (13,253 | ) | 1 | |||||||||||||
(55) | 90 Day Eurodollar | June, 2007 | (13,036 | ) | (21 | ) | ||||||||||||
(219) | U.S. Treasury Bonds | June, 2007 | (24,733 | ) | (223 | ) | ||||||||||||
(1,264) | 5 Year U.S. Treasury Notes | June, 2007 | (133,925 | ) | (246 | ) | ||||||||||||
(793) | 10 Year U.S. Treasury Notes | June, 2007 | (86,115 | ) | (608 | ) | ||||||||||||
(53) | 90 Day Eurodollar | September, 2007 | (12,587 | ) | (32 | ) | ||||||||||||
(52) | 90 Day Eurodollar | December, 2007 | (12,370 | ) | (37 | ) | ||||||||||||
(731) | Euro-Schatz | December, 2007 | (100,200 | ) | (156 | ) | ||||||||||||
(397) | 90 Day Eurodollar | March, 2008 | (94,536 | ) | (135 | ) | ||||||||||||
$ | 265 |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
4,800,000 | EUR | 04/30/07 | $ | 6,335 | $ | 6,368 | $ | (33 | ) |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE (USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(60,100) | FNMA, TBA, 5.00%, 04/25/36 | $ | (58,334 | ) | ||||||
(186,100) | FNMA, TBA, 5.50%, 04/25/37 | (184,588 | ) | |||||||
(496,210) | FNMA, TBA, 6.00%, 04/25/37 | (500,242 | ) | |||||||
(41,250) | FNMA, TBA, 6.50%, 03/25/37 | (42,049 | ) | |||||||
(31,850) | FNMA, TBA, 6.50%, 04/25/37 | (32,457 | ) | |||||||
(3,500) | GNMA , TBA, 6.50%, 03/15/37 | (3,590 | ) | |||||||
(41,000) | FHLMC, TBA, 5.50%, 04/15/37 | (40,680 | ) | |||||||
(28,600) | FHLMC, TBA, 6.00%, 04/15/36 | (28,850 | ) | |||||||
(Proceeds received $886,861) | $ | (890,790 | ) |
AS OF FEBRUARY 28, 2007 (continued)
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 94.63 | 03/19/07 | 556 | $ | (52 | ) | |||||||||||
90 Day Eurodollar Futures, American Style | 96.00 | 09/17/07 | 2,144 | (54 | ) | |||||||||||||
(Premiums Received $485) | $ | (106 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA | $ | 99.26 | 04/05/07 | $ | 140,000 | $ | (401 | ) | ||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 04/05/07 | 120,000 | (164 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 05/07/07 | 91,000 | (205 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 05/07/07 | 126,000 | — | ||||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.89 | 05/07/07 | 182,000 | (337 | ) | |||||||||||||
(Premiums Received $916) | $ | (1,107 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Capital Management | 4.74% semi-annually | 06/01/07 | 06/05/08 | $ | 547,050 | $ | (88 | ) | ||||||||||||||
(Premiums Received $388) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Federal Funds, American Style | $ | 94.75 | 04/30/07 | 372 | $ | (8 | ) | |||||||||||
30 Day Federal Funds, American Style | 94.94 | 04/30/07 | 155 | (116 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 94.75 | 09/17/07 | 970 | (133 | ) | |||||||||||||
(Premiums Received $268) | $ | (257 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA | $ | 97.33 | 04/05/07 | $ | 240,000 | $ | (21 | ) | ||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 04/05/07 | 120,000 | (57 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.39 | 04/05/07 | 116,000 | (112 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 05/07/07 | 91,000 | (131 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 05/07/07 | 126,000 | — | ||||||||||||||
(Premiums Received $1,306) | $ | (321 | ) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | 5.99% semi-annually | 11/02/09 | 11/04/19 | $ | 367,210 | $ | (5,115 | ) | ||||||||||||||
Barclays Bank plc | 5.49% semi-annually | 04/02/07 | 04/04/12 | 312,115 | (24 | ) | ||||||||||||||||
Barclays Bank plc | 5.40% semi-annually | 04/26/07 | 04/30/08 | 992,765 | (113 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.45% semi-annually | 04/05/07 | 04/11/12 | 187,315 | (27 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.36% semi-annually | 04/16/07 | 04/18/12 | 312,355 | (167 | ) | ||||||||||||||||
(Premiums Received $8,656) | $ | (5,446 | ) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.96% semi-annually | 10/02/08 | 10/06/18 | $ | 245,390 | $ | (1,757 | ) | ||||||||||||||
Barclays Bank plc | 5.19% semi-annually | 01/04/12 | 01/06/17 | 93,175 | (4,510 | ) | ||||||||||||||||
Bear Stearns | 5.24% semi-annually | 01/04/10 | 01/06/20 | 29,373 | (2,038 | ) | ||||||||||||||||
Credit Suisse International | 5.20% semi-annually | 01/05/09 | 01/07/19 | 48,301 | (2,791 | ) | ||||||||||||||||
Credit Suisse International | 5.56% semi-annually | 01/24/14 | 01/29/24 | 18,483 | (1,566 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.73% semi-annually | 12/12/07 | 12/14/08 | 553,908 | (2,780 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.25% semi-annually | 01/25/10 | 01/25/10 | 102,062 | (4,229 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.23% semi-annually | 12/06/13 | 12/10/23 | 55,948 | (4,791 | ) | ||||||||||||||||
(Premiums Received $27,139) | $ | (24,462 | ) |
* | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund would pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** | European Style |
AS OF FEBRUARY 28, 2007 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Bank of America | 5.26% semi-annually | 3 month LIBOR quarterly | 02/16/17 | $ | 14,185 | $ | (181 | ) | ||||||||||||||
Bank of America | 5.24% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 195,320 | (331 | ) | ||||||||||||||||
Bank of America | 5.47% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 7,083 | (126 | ) | ||||||||||||||||
Barclays Bank plc | 4.85% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 25,978 | — | |||||||||||||||||
Barclays Bank plc | 4.96% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 23,110 | (22 | ) | ||||||||||||||||
Barclays Bank plc | 5.01% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 19,387 | (27 | ) | ||||||||||||||||
Barclays Bank plc | 5.00% semi-annually | 3 month LIBOR quarterly | 01/07/09 | 30,503 | (44 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.84% semi-annually | 01/08/09 | 13,520 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.03% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 28,348 | (51 | ) | ||||||||||||||||
Barclays Bank plc | 5.07% semi-annually | 3 month LIBOR quarterly | 11/13/11 | 8,915 | (150 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.10% semi-annually | 01/27/15 | 6,685 | — | |||||||||||||||||
Barclays Bank plc | 5.12% semi-annually | 3 month LIBOR quarterly | 03/27/17 | 10,675 | (25 | ) | ||||||||||||||||
Barclays Bank plc | 5.21% semi-annually | 3 month LIBOR quarterly | 10/06/18 | 110,005 | (596 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.35% semi-annually | 02/18/20 | 25,176 | 195 | |||||||||||||||||
Citibank, N.A. | 5.11% semi-annually | 3 month LIBOR quarterly | 02/15/17 | 35,865 | — | |||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/15/17 | 35,585 | (298 | ) | ||||||||||||||||
Citibank, N.A. | 5.25% semi-annually | 3 month LIBOR quarterly | 02/16/17 | 5,235 | (62 | ) | ||||||||||||||||
Citibank, N.A. | 5.19% semi-annually | 3 month LIBOR quarterly | 02/23/17 | 33,075 | (234 | ) | ||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/27/17 | 10,465 | (84 | ) | ||||||||||||||||
Citibank, N.A. | 5.16% semi-annually | 3 month LIBOR quarterly | 02/28/17 | 13,085 | (69 | ) | ||||||||||||||||
Citibank, N.A. | 5.10% semi-annually | 3 month LIBOR quarterly | 03/02/17 | 39,250 | — | |||||||||||||||||
Credit Suisse International | 4.77% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 88,184 | 49 | |||||||||||||||||
Credit Suisse International | 5.40% semi-annually | 3 month LIBOR quarterly | 01/06/17 | 3,895 | (21 | ) | ||||||||||||||||
Credit Suisse International | 5.48% semi-annually | 3 month LIBOR quarterly | 01/07/24 | 4,755 | (22 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.56% semi-annually | 01/29/24 | 2,495 | 22 | |||||||||||||||||
Credit Suisse International | 5.41% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 2,033 | (49 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.20% semi-annually | 3 month LIBOR quarterly | 02/08/10 | 61,200 | (377 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.21% semi-annually | 3 month LIBOR quarterly | 02/16/10 | 26,100 | (174 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.03% semi-annually | 3 month LIBOR quarterly | 11/15/10 | 6,390 | (95 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.30% semi-annually | 3 month LIBOR quarterly | 01/26/17 | 7,800 | (121 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.25% semi-annually | 3 month LIBOR quarterly | 02/21/17 | 15,760 | (189 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.42% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 2,588 | (65 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.31% semi-annually | 06/05/08 | 265,320 | 564 | |||||||||||||||||
Goldman Sachs Capital Management | 5.18% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 149,245 | (528 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.20% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 180,855 | (675 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.25% semi-annually | 01/27/15 | 5,103 | 29 | |||||||||||||||||
Goldman Sachs Capital Management | 5.24% semi-annually | 3 month LIBOR quarterly | 01/24/17 | 24,000 | (265 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.21% semi-annually | 02/22/17 | 14,505 | 134 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.41% semi-annually | 04/12/08 | 29,532 | 66 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.35% semi-annually | 06/19/08 | 144,295 | 385 | |||||||||||||||||
Lehman Brothers Special Financing | 5.42% semi-annually | 3 month LIBOR quarterly | 05/21/09 | 7,897 | (176 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.02% semi-annually | 3 month LIBOR quarterly | 11/06/11 | 9,650 | (137 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.06% semi-annually | 3 month LIBOR quarterly | 11/06/13 | 9,600 | (144 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 5.79% semi-annually | 3 month LIBOR quarterly | 06/27/16 | 15,860 | (840 | ) | ||||||||||||||||
Lehman Brothers Special Financing (1) | 3 month LIBOR quarterly | 5.16% semi-annually | 04/12/08 | 356,819 | (58 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.04% semi-annually | 01/24/09 | 21,280 | 41 | |||||||||||||||||
Merrill Lynch Capital Services | 5.00% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 27,432 | (43 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.13% semi-annually | 3 month LIBOR quarterly | 12/04/16 | 29,125 | (66 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.14% semi-annually | 3 month LIBOR quarterly | 12/04/16 | 22,850 | (65 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.23% semi-annually | 12/04/36 | 14,875 | (7 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.26% semi-annually | 12/04/36 | 11,830 | 42 | |||||||||||||||||
$ | (4,891 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Akzo, 4.25%, 06/14/11 | Citibank, N.A. | Buy | 23 BPS quarterly | 12/20/11 | $ | 10,000 | $ | 8 | ||||||||||||||||||
Alltel, 7.00%, 07/01/12 | Morgan Stanley Capital Services | Sell | 91 BPS quarterly | 03/20/12 | 12,500 | 136 | ||||||||||||||||||||
Alltel, 7.00%, 07/01/12 | Morgan Stanley Capital Services | Buy | 129 BPS quarterly | 03/20/14 | 10,000 | (138 | ) | |||||||||||||||||||
Autozone Inc., 5.88%, 10/15/12 | Bank of America | Sell | 40 BPS quarterly | 03/20/12 | 3,990 | 8 | ||||||||||||||||||||
Autozone Inc., 5.88%, 10/15/12 | Bank of America | Buy | 58 BPS quarterly | 03/20/14 | 5,700 | (16 | ) | |||||||||||||||||||
Barrick Gold, 4.88%, 11/15/14 | Lehman Brothers Special Financing | Buy | 45 BPS quarterly | 09/20/16 | 25,000 | (255 | ) | |||||||||||||||||||
BASF, 3.50%, 07/08/10 | Union Bank of Switzerland AG | Buy | 10.5 BPS quarterly | 12/20/11 | 10,000 | (4 | ) | |||||||||||||||||||
Burlington Northern Santa Fe, 6.75%, 07/15/11 | Deutsche Bank AG, New York | Buy | 38 BPS quarterly | 03/20/14 | 3,200 | 6 | ||||||||||||||||||||
Caterpillar, 6.55%, 05/01/11 | Morgan Stanley Capital Services | Buy | 16 BPS quarterly | 03/20/12 | 4,600 | (7 | ) | |||||||||||||||||||
Coca-Cola, 6.13%, 08/15/11 | Merrill Lynch International | Buy | 23 BPS quarterly | 03/20/12 | 5,000 | (12 | ) | |||||||||||||||||||
Countrywide Financial, 4.00%, 03/22/11 | Bank of America | Sell | 51 BPS quarterly | 03/20/12 | 7,000 | (41 | ) | |||||||||||||||||||
CSX Corp., 5.30%, 02/15/14 | Citibank, N.A. | Buy | 39 BPS quarterly | 03/20/14 | 1,600 | 3 | ||||||||||||||||||||
CSX Corp., 5.30%, 02/15/14 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 1,600 | — | (h) | |||||||||||||||||||
Dow Jones CDX.HY.100 S6 0611 | Lehman Brothers Special Financing (1) | Buy | 345 BPS quarterly | 06/20/11 | 17,000 | (925 | ) | |||||||||||||||||||
Dow Jones CDX.HY.100 S6 0611.6 | Goldman Sachs Capital Management (2) | Buy | 345 BPS quarterly | 06/20/11 | 10,000 | (488 | ) | |||||||||||||||||||
Dow Jones CDX.NA.HY.7 | Deutsche Bank AG, New York (3) | Buy | 325 BPS quarterly | 12/20/11 | 19,500 | — | ||||||||||||||||||||
Dow Jones CDX.NA.HY.7 | Goldman Sachs Capital Management (4) | Buy | 325 BPS quarterly | 12/20/11 | 6,500 | — | ||||||||||||||||||||
Dow Jones CDX.NA.IG.6 | Goldman Sachs Capital Management (5) | Sell | 40 BPS quarterly | 06/20/11 | 43,200 | 214 | ||||||||||||||||||||
Dow Jones CDX.NA.IG.6 | Lehman Brothers Special Financing (6) | Sell | 50 BPS quarterly | 06/20/13 | 9,600 | 258 | ||||||||||||||||||||
Dow Jones CDX.NA.IG.6 | Lehman Brothers Special Financing (7) | Sell | 50 BPS quarterly | 06/20/13 | 3,200 | 18 | ||||||||||||||||||||
Dow Jones CDX.NA.IG.7 | Deutsche Bank AG, New York (8) | Buy | 40 BPS quarterly | 12/20/11 | 96,600 | — | ||||||||||||||||||||
Dow Jones CDX.NA.IG.HVOL.7, 12/20/11 | Deutsche Bank AG, New York (9) | Buy | 75 BPS quarterly | 12/20/11 | 9,350 | 8 | ||||||||||||||||||||
Gannett Co., Inc, 6.38%, 04/01/12 | Bank of America | Buy | 67 BPS quarterly | 03/20/17 | 10,350 | (95 | ) | |||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Citibank, N.A. | Sell | 296.50 BPS semi-annually | 10/20/10 | 2,850 | 160 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 343 BPS semi-annually | 09/20/10 | 6,250 | 455 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 303.50 BPS semi-annually | 10/20/10 | 1,540 | 85 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 292 BPS semi-annually | 02/20/11 | 9,040 | 360 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 260 BPS semi-annually | 08/20/11 | 3,970 | 102 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 259 BPS semi-annually | 08/20/11 | 4,530 | 131 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 338 BPS semi-annually | 10/20/10 | 5,250 | 363 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 400 BPS semi-annually | 10/20/10 | 1,600 | 147 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 208.5 BPS semi-annually | 09/20/11 | 8,240 | (91 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 108.5 BPS semi-annually | 12/20/11 | 12,510 | (89 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 10,880 | (108 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Bear Stearns | Buy | 103 BPS semi-annually | 12/20/11 | 4,545 | (11 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Sell | 235 BPS semi-annually | 04/20/07 | 9,750 | 112 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 300 BPS semi-annually | 09/20/10 | 6,250 | (538 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 261.50 BPS semi-annually | 10/20/10 | 1,540 | (107 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 165 BPS semi-annually | 02/20/11 | 9,040 | (255 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 140 BPS semi-annually | 08/20/11 | 3,970 | (76 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 140 BPS semi-annually | 08/20/11 | 4,530 | (99 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 120 BPS semi-annually | 09/20/11 | 4,190 | 71 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 119 BPS semi-annually | 09/20/11 | 4,050 | 67 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 290 BPS semi-annually | 10/20/10 | 5,250 | (433 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 335 BPS semi-annually | 10/20/10 | 1,600 | (158 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 9,090 | (67 | ) |
AS OF FEBRUARY 28, 2007 (continued)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | $ | 9,705 | $ | (67 | ) | |||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Citibank, N.A. | Sell | 185 BPS quarterly | 06/20/11 | 4,085 | 132 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 185 BPS quarterly | 06/20/11 | 10,070 | 361 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 205 BPS quarterly | 06/20/11 | 5,055 | 222 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 176.5 BPS quarterly | 09/20/11 | 5,050 | 154 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Morgan Stanley Capital Services | Sell | 127 BPS quarterly | 12/20/11 | 4,270 | 11 | ||||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Citibank, N.A. | Buy | 199 BPS quarterly | 06/20/11 | 4,085 | (151 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 199 BPS quarterly | 06/20/11 | 10,070 | (397 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 221 BPS quarterly | 06/20/11 | 5,055 | (244 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 190 BPS quarterly | 09/20/11 | 5,050 | (173 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Morgan Stanley Capital Services | Buy | 132 BPS quarterly | 12/20/11 | 4,270 | (15 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 137.5 BPS semi-annually | 02/20/12 | 21,855 | (108 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 145 BPS semi-annually | 02/20/12 | 18,525 | (2 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 189 BPS semi-annually | 10/20/11 | 3,600 | 98 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 175 BPS semi-annually | 10/20/11 | 6,550 | 178 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 190 BPS semi-annually | 07/20/10 | 11,000 | 303 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 170 BPS semi-annually | 08/20/10 | 8,500 | 164 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 176 BPS semi-annually | 09/20/10 | 7,000 | 197 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 203 BPS semi-annually | 08/20/11 | 12,700 | 332 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 162 BPS semi-annually | 11/20/11 | 7,540 | 98 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Union Bank of Switzerland AG | Sell | 184 BPS semi-annually | 08/20/10 | 7,250 | 181 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Lehman Brothers Special Financing | Sell | 169 BPS semi-annually | 11/20/11 | 1,500 | 26 | ||||||||||||||||||||
Hanover Finance SA, 5.75%, 02/26/24 | Morgan Stanley Capital Services | Buy | 9.5 BPS quarterly | 12/20/11 | 20,000 | (12 | ) | |||||||||||||||||||
ICICI Bank Ltd., 5.75%, 11/16/10 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | 8,000 | — | ||||||||||||||||||||
iStar Financial, Inc., 6.00%, 12/15/10 | Credit Suisse International | Buy | 49 BPS quarterly | 12/20/13 | 10,000 | 35 | ||||||||||||||||||||
Kaupthing Bunadarbanki HF, 5.55%, 12/01/09 | Deutsche Bank AG, New York | Buy | 52 BPS quarterly | 12/20/11 | 10,000 | (102 | ) | |||||||||||||||||||
Kaupthing Bunadarbanki HF, 5.55%, 12/01/09 | Morgan Stanley Capital Services | Sell | 31 BPS quarterly | 12/20/07 | 17,200 | 43 | ||||||||||||||||||||
Kinder Morgan, 6.50%, 09/01/12 | Lehman Brothers Special Financing | Sell | 118 BPS quarterly | 03/20/12 | 12,700 | 215 | ||||||||||||||||||||
Kinder Morgan, 6.50%, 09/01/12 | Lehman Brothers Special Financing | Buy | 159 BPS quarterly | 03/20/14 | 10,000 | (231 | ) | |||||||||||||||||||
Kroger Co., 5.50%, 02/01/13 | Lehman Brothers Special Financing | Sell | 38 BPS quarterly | 03/20/12 | 3,750 | (5 | ) | |||||||||||||||||||
Kroger Co., 5.50%, 02/01/13 | Lehman Brothers Special Financing | Buy | 58 BPS quarterly | 03/20/14 | 5,300 | 4 | ||||||||||||||||||||
Landsbanki Island, 3.70%, 10/19/10 | Morgan Stanley International | Sell | 45 BPS quarterly | 09/20/07 | 6,800 | 20 | ||||||||||||||||||||
Linde AG Loan Facility, Tranche B | Morgan Stanley Capital Services | Sell | 25 BPS quarterly | 03/20/08 | GBP 412 | (1 | ) | |||||||||||||||||||
Munich Re Finance, BV, 6.75%, 06/21/23 | Morgan Stanley Capital Services | Buy | 7 BPS quarterly | 12/20/11 | $ | 10,000 | (3 | ) | ||||||||||||||||||
Munich Re Finance, BV, 6.75%, 12/21/23 | Morgan Stanley Capital Services | Buy | 7 BPS quarterly | 12/20/11 | 10,000 | (3 | ) | |||||||||||||||||||
Nordstrom, 6.95%, 03/14/28 | Goldman Sachs Capital Management | Buy | 30 BPS quarterly | 03/20/14 | 7,700 | (35 | ) | |||||||||||||||||||
Norfolk, 7.70%, 05/15/17 | Deutsche Bank AG, New York | Buy | 39 BPS quarterly | 03/20/14 | 3,200 | 4 | ||||||||||||||||||||
Pemex, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 116.50 BPS semi-annually | 05/20/10 | 15,000 | (349 | ) | |||||||||||||||||||
Pemex, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 125 BPS semi-annually | 06/20/10 | 11,000 | (278 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Bear Stearns | Buy | 123 BPS semi-annually | 09/20/11 | 2,500 | 45 | ||||||||||||||||||||
RESCAP, 6.50%, 04/17/13 | Deutsche Bank AG, New York | Sell | 143 BPS quarterly | 03/20/12 | 5,000 | 66 | ||||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 1,875 | 1 | ||||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 18,385 | 6 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 1,875 | (1 | ) | |||||||||||||||||||
Russian Federation, 5.50%, 03/30/31 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 19,410 | 9 | ||||||||||||||||||||
Russian Federation, 5.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 18,180 | 12 | ||||||||||||||||||||
Russian Federation, 5.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 18,385 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Bear Stearns | Sell | 45.5 BPS semi-annually | 12/20/11 | 9,090 | (11 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 5.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | $ | 21,760 | $ | 70 | ||||||||||||||||||
Russian Federation, 5.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 25,020 | 63 | ||||||||||||||||||||
Russian Federation, 5.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 50 BPS semi-annually | 11/20/11 | 7,540 | (18 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 75 BPS semi-annually | 08/20/10 | 8,500 | (92 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 64 BPS semi-annually | 09/20/10 | 7,000 | (70 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 119 BPS semi-annually | 04/20/10 | 10,000 | 277 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 105 BPS semi-annually | 06/20/10 | 8,000 | 174 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 104 BPS semi-annually | 06/20/10 | 10,000 | 215 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 101 BPS semi-annually | 07/20/10 | 6,000 | 119 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Lehman Brothers Special Financing | �� | Sell | 54 BPS semi-annually | 03/20/11 | 25,500 | 160 | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Sell | 140 BPS semi-annually | 04/20/10 | 9,000 | 310 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 90 BPS semi-annually | 07/20/10 | 11,000 | (178 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 53 BPS semi-annually | 08/20/11 | 12,700 | (32 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 90 BPS semi-annually | 08/20/10 | 7,250 | (118 | ) | |||||||||||||||||||
Sara Lee, 6.13%, 11/01/32 | Goldman Sachs Capital Management | Buy | 81 BPS quarterly | 03/20/17 | 5,550 | (14 | ) | |||||||||||||||||||
Solvay, 4.63%, 6/27/18 | Union Bank of Switzerland AG | Buy | 16.5 BPS quarterly | 12/20/11 | 10,000 | (4 | ) | |||||||||||||||||||
Southwest Airlines, 6.50%, 03/01/12 | Lehman Brothers Special Financing | Buy | 30 BPS quarterly | 09/20/13 | 3,400 | 22 | ||||||||||||||||||||
Talisman Energy, Inc., 7.25%, 10/15/27 | Morgan Stanley Capital Services | Buy | 40 BPS quarterly | 12/20/11 | 5,800 | 26 | ||||||||||||||||||||
Tate & Lyle, 6.50%, 06/28/12 | Lehman Brothers Special Financing | Buy | 42 BPS quarterly | 12/20/14 | 10,000 | 77 | ||||||||||||||||||||
Thales Sa, 4.38%, 07/22/11 | Morgan Stanley Capital Services | Buy | 18 BPS quarterly | 12/20/11 | 10,000 | (23 | ) | |||||||||||||||||||
Transocean, Inc., 7.38%, 04/15/18 | Goldman Sachs Capital Management | Buy | 31 BPS quarterly | 03/20/12 | 6,900 | (29 | ) | |||||||||||||||||||
Union Pacific Corp., 6.13%, 01/15/12 | Citibank, N.A. | Buy | 39 BPS quarterly | 03/20/14 | 1,600 | 3 | ||||||||||||||||||||
Union Pacific Corp., 6.13%, 01/15/12 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 1,600 | — | (h) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Lehman Brothers Special Financing | Buy | 53 BPS semi-annually | 03/20/11 | 25,500 | (175 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 108 BPS semi-annually | 04/20/10 | 10,000 | (252 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 106 BPS semi-annually | 06/20/10 | 8,000 | (187 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 105 BPS semi-annually | 06/20/10 | 10,000 | (230 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 96 BPS semi-annually | 07/20/10 | 6,000 | (116 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 112 BPS semi-annually | 04/20/10 | 9,000 | (244 | ) | |||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 100 BPS semi-annually | 05/20/10 | 15,000 | 338 | ||||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 105 BPS semi-annually | 06/20/10 | 11,000 | 259 | ||||||||||||||||||||
Viacom, 5.75%, 04/30/11 | Morgan Stanley Capital Services | Buy | 45 BPS quarterly | 06/20/11 | 10,000 | (74 | ) | |||||||||||||||||||
VTB Capital SA for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS quarterly | 03/20/08 | 9,550 | — | ||||||||||||||||||||
$ | (315 | ) |
AS OF FEBRUARY 28, 2007 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (2) | FHLMC, 5.00%, 02/16/17 | $ | 99.71 | 03/20/07 | $ | 14,185 | $ | 123 | ||||||||||||||||||
Barclays Bank plc (2) | U.S. Treasury Note, 4.63%, 11/15/16 | 99.12 | 03/22/07 | 90,000 | 1,199 | |||||||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 5.00%, TBA | 96.05 | 04/05/07 | 106,000 | (1,038 | ) | ||||||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 509,100 | (1,246 | ) | ||||||||||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 5.50%, TBA | 98.38 | 03/06/07 | 198,000 | 1,638 | |||||||||||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 6.00%, TBA | 100.50 | 03/06/07 | 57,500 | 206 | |||||||||||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 6.50%, TBA | 101.81 | 03/06/07 | 215,000 | 285 | |||||||||||||||||||||
Citibank, N.A. (2) | U.S. Treasury Note, 4.63%, 02/15/17 | 99.46 | 03/14/07 | 35,140 | 402 | |||||||||||||||||||||
Citibank, N.A. (2) | U.S. Treasury Note, 4.63%, 02/15/17 | 100.41 | 03/14/07 | 34,968 | — | |||||||||||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 5.00%, TBA | 96.03 | 04/05/07 | 76,000 | 762 | |||||||||||||||||||||
Deutsche Bank AG, New York (1) | FHLMC, 30 Year, 6.00%, TBA | 100.44 | 03/06/07 | 45,000 | (211 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 5.50%, TBA | 98.78 | 03/06/07 | 240,400 | (1,013 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 5.50%, TBA | 98.93 | 03/06/07 | 340,000 | (929 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 5.00%, TBA | 96.48 | 04/05/07 | 64,000 | (356 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 6.00%, TBA | 100.63 | 04/05/07 | 358,900 | (767 | ) | ||||||||||||||||||||
Deutsche Bank AG, New York (2) | FHLMC, 30 Year, 5.00%, TBA | 96.05 | 03/06/07 | 64,000 | 619 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FHLMC, 30 Year, 5.50%, TBA | 98.59 | 03/06/07 | 31,650 | 200 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.50%, TBA | 98.50 | 03/06/07 | 3,500 | 25 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.00%, TBA | 100.38 | 03/06/07 | 45,000 | 218 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.00%, TBA | 100.70 | 03/06/07 | 170,000 | 272 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.00%, TBA | 100.50 | 03/06/07 | 7,000 | 25 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.50%, TBA | 101.72 | 03/06/07 | 28,750 | 65 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.50%, TBA | 101.66 | 03/06/07 | 119,500 | 345 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 7.00%, TBA | 102.47 | 03/06/07 | 184,500 | 547 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | U.S. Treasury Note, 4.50%, 09/30/11 | 98.60 | 03/15/07 | 120,000 | 1,456 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FHLMC, 4.50%, 01/15/14 | 97.41 | 03/20/07 | 10,495 | 64 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FHLMC, 5.75%, 06/27/16 | 103.69 | 03/29/07 | 15,860 | 189 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 6.63%, 11/15/10 | 105.38 | 03/29/07 | 6,000 | 39 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 96.06 | 04/05/07 | 227,900 | 2,213 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 96.06 | 04/05/07 | 97,050 | 943 | |||||||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 97.14 | 04/05/07 | 170,000 | — | |||||||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.59 | 03/06/07 | 203,500 | (1,239 | ) | ||||||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.78 | 03/06/07 | 300,000 | (1,265 | ) | ||||||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.94 | 03/06/07 | 120,000 | (318 | ) | ||||||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.75 | 04/05/07 | 23,915 | (106 | ) | ||||||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 338,000 | (827 | ) | ||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 5.00%, TBA | 96.47 | 03/06/07 | 150,000 | 820 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.00%, TBA | 100.69 | 03/06/07 | 77,000 | 132 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.50% , TBA | 101.81 | 03/06/07 | 324,600 | 431 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.50%, TBA | 101.80 | 03/06/07 | 50,000 | 74 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 7.00%, TBA | 102.41 | 03/06/07 | 22,000 | 79 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FHLMC, 5.25%, 05/21/09 | 100.31 | 03/15/07 | 7,897 | 45 | |||||||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 5.00%, TBA | 96.03 | 04/05/07 | 398,000 | 3,989 | |||||||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.91 | 03/06/07 | 69,000 | (205 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.95 | 03/06/07 | 138,000 | (355 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 6.50%, TBA | 101.71 | 03/06/07 | 15,000 | (34 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.91 | 04/05/07 | 479,000 | (1,384 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 6.00%, TBA | $ | 100.59 | 04/05/07 | $ | 138,000 | $ | (338 | ) | |||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.09 | 03/06/07 | 274,000 | 2,117 | |||||||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.69 | 03/06/07 | 138,000 | 237 | |||||||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.70 | 03/06/07 | 69,000 | 113 | |||||||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 7.00%, TBA | 102.40 | 03/06/07 | 20,000 | 73 | |||||||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 5.00%, TBA | 96.01 | 04/05/07 | 274,000 | 2,810 | |||||||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 5.00%, TBA | 97.08 | 04/05/07 | 175,000 | — | |||||||||||||||||||||
Union Bank of Switzerland AG (1) | FNMA, 30 Year, 6.00%, TBA | 100.63 | 04/05/07 | 334,000 | (714 | ) | ||||||||||||||||||||
Union Bank of Switzerland AG (2) | FNMA, 30 Year, 5.50%, TBA | 98.72 | 03/06/07 | 222,000 | 1,074 | |||||||||||||||||||||
Union Bank of Switzerland AG (2) | FNMA, 30 Year, 6.50%, TBA | 101.72 | 03/06/07 | 167,000 | 378 | |||||||||||||||||||||
Union Bank of Switzerland AG (2) | FNMA, 30 Year, 5.00%, TBA | 96.04 | 04/05/07 | 112,935 | 1,123 | |||||||||||||||||||||
$ | 12,985 |
(1) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(2) | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
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 | 3 month LIBOR quarterly | 5.18% semi-annually | 09/19/07 | $ | 2,614,360 | $ | — | |||||||||||||||
Merrill Lynch Capital Services | 4.66% semi-annually | 3 month LIBOR quarterly | 09/17/08 | 1,642,700 | — | |||||||||||||||||
$ | — |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 96.8% | |||||||||||
Corporate Bonds — 32.3% | |||||||||||
Brazil — 3.3% | |||||||||||
BRL 1,730 | Citibank N.A., Brazilian Real Notes, 15.00%, 07/02/10 (e) | 914 | |||||||||
$3,600 | Morgan Stanley & Co., Inc., 12.15%, 01/05/22 (linked to Republic of Brazil Government Bond, 12.15%, 01/05/22) (e) (m) | 3,571 | |||||||||
4,485 | |||||||||||
Dominican Republic — 0.7% | |||||||||||
1,030 | Citigroup Funding, Inc., Zero Coupon, 10/08/07 (linked to Dominican Republic Government Bond, Zero Coupon, 10/05/07) (e) (m) | 951 | |||||||||
Egypt — 1.4% | |||||||||||
1,845 | Citigroup Funding, Inc., Zero Coupon, 10/02/07 (linked to Egypt Treasury Bill 0.00%, 10/02/07) (e) (m) | 1,936 | |||||||||
Indonesia — 4.3% | |||||||||||
1,602 | Citigroup Funding, Inc., VAR, 0.00%, 08/20/18 (linked to Republic of Indonesia Government Bond, 11.60%, 08/15/18) (e) (m) | 1,558 | |||||||||
2,970 | Deutsche Bank Financial, Inc., 15.00%, 07/20/18 (linked to Indonesia Government Bond, 15.00%, 07/15/18) | 4,300 | |||||||||
5,858 | |||||||||||
Kazakhstan — 2.4% | |||||||||||
3,330 | Citigroup Funding, Inc., VAR, 0.00%, 02/16/08 (linked to Republic of Kazakhstan Government bond, 6.00%, 02/09/08) (e) (m) | 3,330 | |||||||||
Mexico — 2.1% | |||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 | 1,832 | |||||||||
$1,065 | Pemex Project Funding Master Trust, Regulation S, 5.75%, 12/15/15 | 1,060 | |||||||||
2,892 | |||||||||||
Peru — 1.3% | |||||||||||
1,460 | IIRSA Norte Finance Ltd., Regulation S, 8.75%, 05/30/24 | 1,723 | |||||||||
Russia — 12.2% | |||||||||||
1,590 | Gaz Capital for Gazprom (Luxembourg), 6.21%, 11/22/16 (e) | 1,589 | |||||||||
1,400 | Gaz Capital S.A. (Luxembourg), 8.63%, 04/28/34 (e) | 1,789 | |||||||||
4,626 | Gazprom International S.A. (Luxembourg), Regulation S, 7.20%, 02/01/20 | 4,859 | |||||||||
3,721 | Gazstream S.A. (Luxembourg), 5.63%, 07/22/13 (e) | 3,707 | |||||||||
720 | RSHB Capital SA for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 (e) | 752 | |||||||||
2,210 | TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67%, 03/05/14 (e) | 2,198 | |||||||||
VTB Capital SA for Vneshtorgbank, | |||||||||||
260 | FRN, 8.26%, 07/30/07 (m) | 263 | |||||||||
1,600 | Regulation S, 6.25%, 06/30/35 | 1,630 | |||||||||
16,787 | |||||||||||
Turkey — 2.5% | |||||||||||
Credit Suisse, Nassau Branch (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) | |||||||||||
TRL 3,630 | 14.00%, 01/19/11 | 2,289 | |||||||||
1,845 | 14.00%, 01/19/11 | 1,163 | |||||||||
3,452 | |||||||||||
Ukraine — 2.1% | |||||||||||
Credit Suisse First Boston International for CJSC The EXIM of Ukraine, | |||||||||||
$320 | 6.80%, 10/04/12 | 314 | |||||||||
2,345 | 7.65%, 09/07/11 | 2,405 | |||||||||
195 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 | 200 | |||||||||
2,919 | |||||||||||
Total Corporate Bonds (Cost $43,623) | 44,333 | ||||||||||
Foreign Government Securities — 61.5% | |||||||||||
Argentina — 12.0% | |||||||||||
ARS 11,961 | Central Bank of Argentina, VAR, 0.00%, 02/04/18 (m) | 5,732 | |||||||||
$750 | Province of Buenos Aires, 9.38%, 09/14/18 | 767 | |||||||||
Republic of Argentina, | |||||||||||
6,383 | 11.83%, 01/20/10 (m) | 2,145 | |||||||||
ARS 4,698 | VAR, 0.00%, 12/31/33 (m) | 2,228 | |||||||||
ARS 43,114 | VAR, 0.00%, 12/15/35 (m) | 1,536 | |||||||||
EUR 6,430 | VAR, 0.00%, 12/15/35 | 1,059 | |||||||||
$8,914 | Zero Coupon, 01/06/10 (m) | 3,004 | |||||||||
16,471 | |||||||||||
Barbados — 0.3% | |||||||||||
390 | Government of Barbados, 6.63%, 12/05/35 (e) (m) | 401 | |||||||||
Brazil — 11.3% | |||||||||||
300 | Banco Nacional de Desenvolvimento Economico e Social, Regulation S, VAR, 5.17%, 06/16/08 | 296 | |||||||||
Federal Republic of Brazil, | |||||||||||
2,400 | 7.13%, 01/20/37 | 2,604 | |||||||||
1,600 | 8.75%, 02/04/25 | 2,016 | |||||||||
800 | 8.88%, 10/14/19 | 992 | |||||||||
5,695 | 12.25%, 03/06/30 (m) | 9,710 | |||||||||
15,618 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Chile — 2.9% | |||||||||||
3,650 | Government of Chile, 7.13%, 01/11/12 | 3,959 | |||||||||
Columbia — 4.5% | |||||||||||
Republic of Colombia, | |||||||||||
1,075 | 7.38%, 01/27/17 | 1,159 | |||||||||
460 | 7.38%, 09/18/37 | 491 | |||||||||
1,500 | 10.75%, 01/15/13 | 1,856 | |||||||||
COP 5,065,000 | 12.00%, 10/22/15 | 2,700 | |||||||||
6,206 | |||||||||||
Costa Rica — 2.2% | |||||||||||
$2,313 | Republic of Costa Rica, Regulation S, 9.99%, 08/01/20 | 3,053 | |||||||||
Dominican Republic — 1.8% | |||||||||||
Government of Dominican Republic, | |||||||||||
190 | 8.63%, 04/20/27 (e) | 220 | |||||||||
1,739 | 9.04%, 01/23/18 (e) | 2,007 | |||||||||
161 | Regulation S, 9.04%, 01/23/18 | 186 | |||||||||
51 | Regulation S, 9.50%, 09/27/11 | 54 | |||||||||
2,467 | |||||||||||
El Salvador — 1.6% | |||||||||||
Republic of El Salvador, | |||||||||||
675 | 7.63%, 09/21/34 (e) | 763 | |||||||||
480 | 7.65%, 06/15/35 (e) | 545 | |||||||||
735 | 8.25%, 04/10/32 (e) (m) | 882 | |||||||||
2,190 | |||||||||||
Guatemala — 2.3% | |||||||||||
2,665 | Republic of Guatemala, 8.13%, 10/06/34 | 3,115 | |||||||||
Iraq — 0.6% | |||||||||||
1,250 | Republic of Iraq, 5.80%, 01/15/28 (e) | 813 | |||||||||
Mexico — 6.6% | |||||||||||
United Mexican States, | |||||||||||
850 | 6.38%, 01/16/13 | 892 | |||||||||
900 | 7.50%, 01/14/12 | 984 | |||||||||
MXN 12,496 | �� | 8.00%, 12/24/08 (m) | 1,126 | ||||||||
$2,875 | 8.30%, 08/15/31 | 3,690 | |||||||||
MXN 23,000 | 10.00%, 12/05/24 (m) | 2,427 | |||||||||
9,119 | |||||||||||
Panama — 0.9% | |||||||||||
Republic of Panama, | |||||||||||
$897 | 7.25%, 03/15/15 | 969 | |||||||||
25 | 8.88%, 09/30/27 | 32 | |||||||||
33 | 9.38%, 07/23/12 | 38 | |||||||||
155 | 9.38%, 04/01/29 | 207 | |||||||||
1,246 | |||||||||||
Peru — 2.8% | |||||||||||
Republic of Peru, | |||||||||||
570 | 7.35%, 07/21/25 | 640 | |||||||||
3,209 | VAR, 5.00%, 03/07/17 | 3,193 | |||||||||
3,833 | |||||||||||
Russia — 4.5% | |||||||||||
3,380 | Russian Federation, Regulation S, 12.75%, 06/24/28 | 6,135 | |||||||||
Turkey — 1.4% | |||||||||||
Republic of Turkey, | |||||||||||
1,295 | 7.38%, 02/05/25 | 1,319 | |||||||||
620 | 8.00%, 02/14/34 | 667 | |||||||||
1,986 | |||||||||||
Ukraine — 0.4% | |||||||||||
Government of Ukraine, | |||||||||||
390 | 6.58%, 11/21/16 (e) | 394 | |||||||||
105 | Regulation S, 7.65%, 06/11/13 | 113 | |||||||||
507 | |||||||||||
Uruguay — 2.3% | |||||||||||
Republic of Uruguay, | |||||||||||
UYU 50,960 | 5.00%, 09/14/18 (m) | 2,334 | |||||||||
$465 | 7.50%, 03/15/15 | 498 | |||||||||
240 | 9.25%, 05/17/17 | 293 | |||||||||
3,125 | |||||||||||
Venezuela — 3.1% | |||||||||||
Republic of Venezuela, | |||||||||||
2,291 | 10.75%, 09/19/13 | 2,784 | |||||||||
1,020 | 13.63%, 08/15/18 | 1,499 | |||||||||
4,283 | |||||||||||
Total Foreign Government Securities (Cost $79,894) | 84,527 | ||||||||||
U.S. Treasury Obligations — 3.0% | |||||||||||
United States — 3.0% | |||||||||||
U.S. Treasury Notes, | |||||||||||
4,000 | 4.63%, 02/15/17 (k) (m) | 4,023 | |||||||||
155 | 4.88%, 04/30/08 (k) (m) | 155 | |||||||||
Total U.S. Treasury Obligations (Cost $4,167) | 4,178 | ||||||||||
SHARES | |||||||||||
Warrants — 0.0% (g) | |||||||||||
1 | Republic of Venezuela, expires 04/15/20 (a) (Cost $0) | 45 | |||||||||
Total Long-Term Investments (Cost $127,684) | 133,083 | ||||||||||
Short-Term Investment — 3.0% | |||||||||||
Investment Company — 3.0% | |||||||||||
4,151 | JPMorgan Prime Money Market Fund (b) (m) (Cost $4,151) | 4,151 | |||||||||
Total Investments — 99.8% (Cost $131,835) | 137,234 | ||||||||||
Other Assets in Excess of Liabilities — 0.2% | 244 | ||||||||||
NET ASSETS — 100.0% | $ | 137,478 |
AS OF FEBRUARY 28, 2007 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
30 | 2 Year U.S. Treasury Notes | June, 2007 | $ | 6,149 | $ | 18 | ||||||||||||
194 | 10 Year U.S. Treasury Notes | June, 2007 | 21,067 | 150 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(31) | 5 Year U.S. Treasury Notes | June, 2007 | (3,285 | ) | (19 | ) | ||||||||||||
(54) | U.S. Treasury Bonds | June, 2007 | (6,099 | ) | (41 | ) | ||||||||||||
$ | 108 |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
900,000 | EUR | 03/30/07 | $ | 1,164 | $ | 1,194 | $ | (30 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY /SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dow Jones CDX.EM.6 | Deutsche Bank AG, New York (1) | Sell | 140 BPS semi-annually | 12/20/11 | $ | 5,600 | $ | 62 | ||||||||||||||||||
Gazprom International S.A., 7.20%, 02/01/20 | Lehman Brothers Special Financing | Buy | 112 BPS semi-annually | 04/20/11 | 5,180 | (96 | ) | |||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Citibank, N.A. | Sell | 296.5 BPS semi-annually | 10/20/10 | 160 | 9 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 343 BPS semi-annually | 09/20/10 | 350 | 25 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 303.5 BPS semi-annually | 10/20/10 | 750 | 42 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 295 BPS semi-annually | 03/20/11 | 840 | 45 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 338 BPS semi-annually | 10/20/10 | 400 | 28 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 208.5 BPS semi-annually | 09/20/11 | 550 | (6 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Bear Stearns | Buy | 103 BPS semi-annually | 12/20/11 | 300 | (1 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Sell | 235 BPS semi-annually | 04/20/07 | 300 | 4 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 108.5 BPS semi-annually | 12/20/11 | 790 | (6 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 300 BPS semi-annually | 09/20/10 | 350 | (30 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 261.5 BPS semi-annually | 10/20/10 | 750 | (53 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 142 BPS semi-annually | 03/20/11 | 840 | (22 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 120 BPS semi-annually | 09/20/11 | 280 | 5 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 119 BPS semi-annually | 09/20/11 | 270 | 4 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 680 | (7 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 600 | (4 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | 635 | (4 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/6/30 | Morgan Stanley Capital Services | Buy | 290 BPS semi-annually | 10/20/10 | 400 | (33 | ) | |||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Citibank, N.A. | Sell | 185 BPS quarterly | 06/20/11 | 300 | 10 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 185 BPS quarterly | 06/20/11 | 730 | 26 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 205 BPS quarterly | 06/20/11 | 365 | 16 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Morgan Stanley Capital Services | Sell | 127 BPS quarterly | 12/20/11 | 400 | 1 | ||||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Citibank, N.A. | Buy | 199 BPS quarterly | 06/20/11 | 300 | (11 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 199 BPS quarterly | 06/20/11 | 730 | (29 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY /SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 221 BPS quarterly | 06/20/11 | $ | 365 | $ | (17 | ) | |||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Morgan Stanley Capital Services | Buy | 132 BPS quarterly | 12/20/11 | 400 | (1 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 175 BPS semi-annually | 10/20/11 | 3,030 | 82 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 189 BPS semi-annually | 10/20/11 | 1,670 | 46 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 190 BPS semi-annually | 07/20/10 | 500 | 14 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 170 BPS semi-annually | 08/20/10 | 750 | 14 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 176 BPS semi-annually | 09/20/10 | 400 | 11 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 203 BPS semi-annually | 08/20/11 | 660 | 17 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 162 BPS semi-annually | 11/20/11 | 740 | 10 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Union Bank of Switzerland AG | Sell | 184 BPS semi-annually | 08/20/10 | 300 | 7 | ||||||||||||||||||||
Pemex 9.50%, 09/15/27 | Citibank, N.A. | Buy | 125 BPS semi-annually | 06/20/10 | 1,000 | (25 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 63 BPS semi-annually | 05/20/11 | 1,600 | 10 | ||||||||||||||||||||
Republic of Poland, 5.25%, 01/15/14 | Lehman Brothers Special Financing | Buy | 20.4 BPS semi-annually | 05/20/11 | 1,600 | 7 | ||||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 120 | — | (h) | |||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 1,190 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Bear Stearns | Sell | 45.5 BPS semi-annually | 12/20/11 | 600 | (1 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 120 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 77 BPS semi-annually | 08/20/10 | 70 | 1 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 1,580 | 4 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 1,360 | 4 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 90 BPS semi-annually | 07/20/10 | 500 | (8 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Sell | 101 BPS semi-annually | 07/20/10 | 2,000 | 39 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 75 BPS semi-annually | 08/20/10 | 750 | (8 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 64 BPS semi-annually | 09/20/10 | 400 | (4 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 53 BPS semi-annually | 08/20/11 | 660 | (2 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 50 BPS semi-annually | 11/20/11 | 740 | (2 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 1,190 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 90 BPS semi-annually | 08/20/10 | 300 | (5 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 1,200 | 1 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 1,270 | 1 | ||||||||||||||||||||
Russian Standard Bank, 7.80%, 09/28/2007 | Deutsche Bank AG, New York | Sell | 235 BPS semi-annually | 06/15/07 | 3,200 | 14 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 81 BPS semi-annually | 08/20/10 | 70 | (1 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 96 BPS semi-annually | 07/20/10 | 2,000 | (40 | ) | |||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 105 BPS semi-annually | 06/20/10 | 1,000 | 24 | ||||||||||||||||||||
VTB Capital Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 1,360 | — | (h) | |||||||||||||||||||
VTB Capital Vneshtorgbank, 7.50%, 10/12/11 | Lehman Brothers Special Financing | Sell | 109 BPS semi-annually | 04/20/11 | 5,180 | 88 | ||||||||||||||||||||
$ | 255 |
(1) | Premium paid of $69 |
AS OF FEBRUARY 28, 2007 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. | National Bank of Republic of Kazakhstan, 03/05/07 | Total Return on National Bank of Republic of Kazakhstan,03/05/07 | 1 Month Libor | 03/05/07 | $ | 390 | $ | 3 | ||||||||||||||||||
Morgan Stanley Capital Services | OGK/Rushydro’s, 12/13/13 | Total Return on OGK/ Rushydro’s, 12/13/13 | 3 Month Libor + 20 BPS | 12/25/10 | 2,400 | 41 | ||||||||||||||||||||
Morgan Stanley Capital Services | Red Arrow International Leasing, Public Limited Company, 8.38%, 06/30/12 | 3 Month Libor + 40 BPS | Total Return on Red Arrow International Leasing, Public Limited Company, 8.38%, 06/30/12 | 06/30/12 | 1,530 | 120 | ||||||||||||||||||||
$ | 164 |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 100.4% | |||||||||||
Asset-Backed Securities — 25.3% | |||||||||||
949 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.82%, 02/15/12 (e) (m) | 952 | |||||||||
Ameriquest Mortgage Securities, Inc., | |||||||||||
550 | Series 2004-R11, Class M1, FRN, 5.98%, 11/25/34 (m) | 552 | |||||||||
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 | |||||||||
1,400 | Arkle Master Issuer plc (United Kingdom), Series 2006-1A, Class 3A, FRN, 5.41%, 08/17/11 (e) (m) | 1,400 | |||||||||
600 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.55%, 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, 6.57%, 12/15/10 (i) | 1,668 | |||||||||
400 | Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A3, FRN, 5.50%, 02/25/35 (m) | 400 | |||||||||
36 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 5.60%, 01/15/11 (e) (m) | 36 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
2,400 | Series 2004-B1, Class B1, FRN, 5.54%, 05/20/11 (m) | 2,408 | |||||||||
800 | Series 2006-C4, Class C4, FRN, 5.54%, 01/09/12 (m) | 800 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
879 | Series 2003-HE3, Class A, FRN, 5.70%, 12/25/33 (m) | 883 | |||||||||
1,050 | Series 2005-OPT4, Class M2, FRN, 5.75%, 07/25/35 (m) | 1,054 | |||||||||
1,200 | Series 2006-WFH2, Class A2A, FRN 5.47%, 08/25/36 (m) | 1,200 | |||||||||
900 | Series 2006-WMC1, Class A2C, FRN, 5.52%, 12/25/35 (m) | 901 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
170 | Series 2004-6, Class 2A4, FRN, 5.77%, 11/25/34 (m) | 171 | |||||||||
817 | Series 2004-BC1, Class M1, FRN, 5.82%, 02/25/34 (m) | 818 | |||||||||
200 | Series 2005-BC1, Class M1, FRN, 5.73%, 05/25/35 (m) | 200 | |||||||||
200 | Series 2005-BC1, Class M2, FRN, 5.76%, 05/25/35 (m) | 200 | |||||||||
928 | Countrywide Home Equity Loan Trust, Series 2003-C, Class A, FRN, 5.59%, 05/15/29 (m) | 929 | |||||||||
779 | Fifth Third Home Equity Loan Trust, Series 2003-1, Class A, FRN, 5.57%, 09/20/23 | 781 | |||||||||
2,500 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2C, FRN, 5.48%, 10/25/36 | 2,500 | |||||||||
712 | Fleet Home Equity Trust, Series 2003-1, Class A, FRN, 5.57%, 01/20/33 | 713 | |||||||||
400 | GE-WMC Mortgage Securities LLC, Series 2006-1, Class A2B, FRN, 5.47%, 08/25/36 | 400 | |||||||||
950 | GMAC Mortgage Corp. Loan Trust, Series 2004-HE4, Class A2, FRN, 5.51%, 03/25/35 | 951 | |||||||||
70 | Hasco NIM Trust, Series 2006-OP2A, Class A, 5.86%, 01/25/36 (e) | 70 | |||||||||
800 | HSI Asset Securitization Corp. Trust, Series 2006-OPT3, Class 3A3, FRN, 5.50%, 02/25/36 | 801 | |||||||||
2,300 | Holmes Master Issuer plc (United Kingdom), Series 2006-1A, Class 2A, FRN, 5.42%, 07/15/21 (e) | 2,300 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
2,050 | Series 2003-4, Class M1, FRN, 6.00%, 08/25/33 | 2,056 | |||||||||
3,700 | Series 2006-7, Class 2A3, FRN, 5.48%, 08/25/36 | 3,691 | |||||||||
2,300 | Series 2006-10, Class 2A3, FRN, 5.48%, 11/25/36 | 2,301 | |||||||||
119 | MASTR Asset Backed Securities Trust, Series 2006-CI14, Class N1, 6.00%, 07/26/35 (e) | 119 | |||||||||
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 | |||||||||
713 | Nomura Asset Acceptance Corp., Series 2006-WF1, Class A1, FRN, 5.42%, 06/25/36 | 713 | |||||||||
550 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, FRN, 5.94%, 11/25/34 | 552 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
98 | Series 2002-1, Class A, FRN, 5.90%, 02/25/32 | 98 | |||||||||
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 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
2,400 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, FRN, 5.50%, 01/25/36 | 2,403 | |||||||||
350 | Residential Asset Securities Corp., Series 2005-KS11, Class M2, FRN, 5.74%, 12/25/35 | 351 | |||||||||
248 | Residential Funding Mortgage Securities II, Series 2003-HS4, Class AIB, FRN, 5.58%, 01/25/29 | 248 | |||||||||
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 | 1,702 | |||||||||
2,000 | Series 2006-WM3, Class A2, FRN, 5.48%, 10/25/36 | 2,000 | |||||||||
805 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, FRN, 5.54%, 06/25/34 | 806 | |||||||||
1,800 | Wells Fargo Home Equity Trust, Series 2006-3, Class A2, FRN, 5.47%, 01/25/37 | 1,800 | |||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, FRN, 5.63%, 01/23/11 (e) | 1,000 | |||||||||
Total Asset-Backed Securities (Cost $46,378) | 46,392 | ||||||||||
Collateralized Mortgage Obligations — 21.7% | |||||||||||
Agency CMO — 3.3% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
2,375 | Series 2638, Class KI, IO, 5.00%, 11/15/27 | 207 | |||||||||
2,736 | Series 2645, Class SB, IF, IO, 1.78%, 07/15/27 | 140 | |||||||||
1,087 | Series 2686, Class FL, FRN, 5.72%, 03/15/28 | 1,090 | |||||||||
1,073 | Series 2827, Class AS, IF, IO, 1.78%, 06/15/22 | 50 | |||||||||
1,799 | Series 2928, Class IN, IO, 5.00%, 10/15/24 | 129 | |||||||||
1,517 | Series 2975, IO, 5.50%, 06/15/26 | 131 | |||||||||
Federal National Mortgage Association, | |||||||||||
271 | Series 2002-36, Class FS, FRN, 5.82%, 06/25/32 | 273 | |||||||||
403 | Series 2002-36, Class FT, FRN, 5.82%, 06/25/32 | 407 | |||||||||
5,000 | Series 2002-81, Class SJ, IF, IO, 2.18%, 04/25/32 | 426 | |||||||||
846 | Series 2002-121, Class FC, FRN, 5.72%, 02/25/28 | 850 | |||||||||
2,257 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 | 171 | |||||||||
1,591 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 | 115 | |||||||||
2,047 | Series 2006-115, Class BF, FRN, 5.56%, 12/25/36 | 2,053 | |||||||||
6,042 | |||||||||||
Non-Agency CMO — 18.4% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
404 | Series 2004-5, Class 7A2, FRN, 5.70%, 04/25/35 (m) | 404 | |||||||||
666 | Series 2005-1 Class 5A2, FRN, 5.65%, 05/25/35 (m) | 667 | |||||||||
407 | Series 2005-8, Class 7A2, FRN, 5.60%, 11/25/35 (m) | 408 | |||||||||
498 | Series 2005-11, Class 5A1, FRN, 5.59%, 02/25/36 (m) | 499 | |||||||||
689 | Series 2006-3, Class 4A11, FRN, 5.50%, 08/25/36 (m) | 689 | |||||||||
766 | American Home Mortgage Assets, Series 2006-2, Class 2A1, FRN, 5.51%, 09/25/46 (m) | 767 | |||||||||
1,389 | Banc of America Funding Corp., Series 2007-A, Class 2A1, FRN, 5.48%, 02/20/47 (m) | 1,388 | |||||||||
1,037 | Countrywide Alternative Loan Trust, Series 2006-OA21, Class, A1, FRN, 5.51%, 03/20/47 (m) | 1,038 | |||||||||
39 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2002-31, Class A3, 5.75%, 01/25/33 (m) | 39 | |||||||||
794 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, FRN, 5.65%, 08/19/45 (m) | 797 | |||||||||
1,488 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF, FRN, 5.67%, 01/25/35 (e) | 1,494 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
505 | Series 2005-3, Class 2A1A, FRN, 5.56%, 06/19/35 | 507 | |||||||||
1,202 | Series 2005-8, Class 1A2A, FRN, 5.65%, 09/19/35 | 1,206 | |||||||||
353 | Series 2005-10, Class 2A1A, FRN, 5.63%, 11/19/35 | 354 | |||||||||
1,029 | Series 2005-15, Class 2A11, FRN, 5.59%, 10/20/45 | 1,032 | |||||||||
1,242 | Series 2006-14, Class 2A1A, FRN, 5.47%, 03/19/38 | 1,242 | |||||||||
900 | Series 2007-1, Class 2A1A, FRN, 5.46%, 03/19/37 | 904 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
885 | Series 2004-AR7, Class A1, FRN, 5.76%, 09/25/34 | 889 | |||||||||
268 | Series 2004-AR8, Class 2A1, FRN, 5.73%, 11/25/34 | 269 | |||||||||
1,905 | Series 2006-AR35, Class 2A1A, FRN, 5.49%, 01/25/37 | 1,905 | |||||||||
1,486 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 | 1,492 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
Lehman XS Trust, | |||||||||||
760 | Series 2005-2, Class 1A1, FRN, 5.60%, 08/25/35 | 762 | |||||||||
1,053 | Series 2005-7N, Class 1A1A, FRN, 5.59%, 12/25/35 | 1,058 | |||||||||
1,724 | Series 2006-2N, Class 1A1, FRN, 5.58%, 02/25/46 | 1,727 | |||||||||
200 | Permanent Financing plc (United Kingdom), Series 4, Class 2A, FRN, 5.43%, 03/10/09 | 200 | |||||||||
905 | Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, FRN, 5.50%, 11/25/36 | 904 | |||||||||
1,231 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1, FRN, 5.64%, 10/25/35 | 1,235 | |||||||||
Thornburg Mortgage Securities Trust, | |||||||||||
638 | Series 2003-2, Class A1, FRN, 5.66%, 04/25/43 | 638 | |||||||||
1,478 | Series 2004-3, Class A, FRN, 5.69%, 09/25/34 | 1,482 | |||||||||
3,516 | Series 2006-6, Class A1, FRN, 5.43%, 12/25/36 | 3,512 | |||||||||
1,809 | Wamu Alternative Mortgage Pass-Through Certificates, Series 2006-AR1, Class A1A, FRN, 5.57%, 02/25/36 | 1,815 | |||||||||
Washington Mutual, Inc., | |||||||||||
1,054 | Series 2005-AR9, Class A1A, FRN, 5.64%, 07/25/45 | 1,057 | |||||||||
1,224 | Series 2005-AR13, Class A1A1, FRN, 5.61%, 10/25/45 | 1,226 | |||||||||
33,606 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $39,580) | 39,648 | ||||||||||
Commercial Mortgage-Backed Securities — 2.4% | |||||||||||
685 | CalSTRS Trust, Series 2002-C6, Class A1, FRN, 5.62%, 11/20/12 (e) (m) | 686 | |||||||||
500 | CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) | 524 | |||||||||
500 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2, 5.38%, 03/10/39 | 502 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
1,450 | Series 2003-C5, Class A2, 3.48%, 07/15/27 | 1,417 | |||||||||
750 | Series 2007-C1, Class A2, 5.32%, 02/15/40 | 753 | |||||||||
431 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 5.44%, 09/15/21 (e) | 432 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $4,327) | 4,314 | ||||||||||
Corporate Bonds — 47.7% | |||||||||||
Automobiles — 0.5% | |||||||||||
825 | DaimlerChrysler N.A. Holding Corp., FRN, 5.79%, 03/13/09 (m) | 828 | |||||||||
Beverages — 0.7% | |||||||||||
1,300 | Diageo Finance BV (Netherlands), FRN, 5.48%, 03/30/09 (m) | 1,302 | |||||||||
Capital Markets — 10.5% | |||||||||||
Credit Suisse USA, Inc., | |||||||||||
1,000 | FRN, 5.44%, 11/20/09 (m) | 1,000 | |||||||||
3,000 | FRN, 5.60%, 01/15/10 (m) | 3,014 | |||||||||
2,800 | Goldman Sachs Group, Inc., (The), FRN, 5.44%, 11/16/09 | 2,801 | |||||||||
3,300 | Lehman Brothers Holdings, Inc., FRN, 5.46%, 11/16/09 | 3,301 | |||||||||
2,100 | Links Finance LLC, FRN, 5.61%, 09/15/08 (e) (i) | 2,102 | |||||||||
3,900 | Merrill Lynch & Co., Inc., FRN, 5.58%, 02/05/10 | 3,914 | |||||||||
3,000 | Morgan Stanley, FRN, 5.64%, 01/15/10 | 3,016 | |||||||||
19,148 | |||||||||||
Commercial Banks — 10.1% | |||||||||||
3,050 | BAC Capital Trust XIII, 5.76% to 03/15/12; thereafter FRN, 12/31/49 (m) | 3,054 | |||||||||
1,200 | Banco Santander Chile S.A. (Chile), FRN, 5.70%, 12/09/09 (e) (m) | 1,212 | |||||||||
400 | Barclays Bank plc (United Kingdom), FRN, 5.76%, 04/10/12 | 400 | |||||||||
3,200 | Deutsche Bank AG (New York), FRN, 5.59%, 05/15/07 (m) | 3,202 | |||||||||
1,450 | DnB NORBank ASA (Norway), FRN, 5.43%, 10/13/09 (e) (m) | 1,450 | |||||||||
1,600 | Glitnir Banki HF (Iceland), FRN, 5.52%, 10/15/08 (e) | 1,597 | |||||||||
400 | ICICI Bank Ltd. (India), FRN, 5.90%, 01/12/10 (e) | 404 | |||||||||
1,300 | ING Bank NV (Netherlands), FRN, 5.61%, 10/14/14 | 1,301 | |||||||||
400 | Islandsbanki HF (Iceland) FRN, 5.48%, 02/22/08 (e) (m) | 400 | |||||||||
600 | Landsbanki Islands HF (Iceland), FRN, 6.06%, 08/25/09 (e) | 604 | |||||||||
National Australia Bank Ltd. (Australia), | |||||||||||
700 | FRN, 5.71%, 08/29/13 | 702 | |||||||||
1,600 | FRN, 5.86%, 03/12/13 | 1,605 | |||||||||
1,000 | VAR, 5.67%, 06/23/14 | 1,003 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
VTB Capital S.A. for Vneshtorgbank (Luxembourg), | |||||||||||
1,000 | FRN, 5.96%, 08/01/08 (e) | 1,001 | |||||||||
650 | FRN, 6.12%, 09/21/07 (e) (m) | 651 | |||||||||
18,586 | |||||||||||
Consumer Finance — 8.9% | |||||||||||
1,400 | Aiful Corp. (Japan), 6.00%, 12/12/11 (e) (m) | 1,419 | |||||||||
2,000 | American Express Co., FRN, 5.48%, 06/05/08 (m) | 2,003 | |||||||||
3,500 | American Honda Finance Corp., FRN, 5.41%, 11/20/09 (e) (m) | 3,499 | |||||||||
1,000 | Capital One Financial Corp., FRN, 5.63%, 09/10/09 (m) | 1,003 | |||||||||
500 | Ford Motor Credit Co., FRN 6.32%, 03/21/07 | 500 | |||||||||
HSBC Finance Corp., | |||||||||||
1,000 | FRN, 5.42%, 10/21/09 | 1,000 | |||||||||
2,900 | FRN, 5.64%, 11/16/09 | 2,918 | |||||||||
1,000 | International Lease Finance Corp., FRN, 5.76%, 01/15/10 | 1,009 | |||||||||
2,900 | SLM Corp., FRN, 5.50%, 07/27/09 | 2,903 | |||||||||
16,254 | |||||||||||
Diversified Financial Services — 5.7% | |||||||||||
Counts Trust, | |||||||||||
1,400 | Series 2002-10, FRN, 6.14%, 08/15/07 (e) (i) | 1,404 | |||||||||
1,400 | Series 2002-11, FRN, 6.19%, 08/15/07 (e) (i) | 1,404 | |||||||||
1,500 | K2 (USA) LLC, FRN, 5.37%, 02/15/09 (i) | 1,500 | |||||||||
500 | Meridian Funding Co. LLC, FRN, 5.59%, 07/21/11 (e) | 501 | |||||||||
1,700 | RACERS, Series 2005-16, Class C, FRN, 5.36%, 09/20/07 (e) (i) | 1,700 | |||||||||
1,700 | Sigma Finance Corp. (Cayman Islands), FRN, 5.43%, 09/15/08 (e) (i) | 1,700 | |||||||||
1,000 | Sigma Finance, Inc., VAR, 5.43%, 02/19/10 (e) | 1,000 | |||||||||
550 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 5.71%, 11/13/09 (e) | 550 | |||||||||
600 | ZFS Finance USA Trust III, FRN, 6.51%, 12/15/65 (e) | 611 | |||||||||
10,370 | |||||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||
600 | Telefonica Emisiones SAU (Spain), FRN, 5.67%, 06/19/09 | 601 | |||||||||
Electric Utilities — 1.2% | |||||||||||
900 | Appalachian Power Co., FRN, 5.69%, 06/29/07 (m) | 900 | |||||||||
500 | Pepco Holdings, Inc., FRN, 5.99%, 06/01/10 | 501 | |||||||||
850 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 850 | |||||||||
2,251 | |||||||||||
Food Products — 0.5% | |||||||||||
1,000 | Tate & Lyle International Finance plc (United Kingdom), 5.00%, 11/15/14 (e) | 966 | |||||||||
Insurance — 0.2% | |||||||||||
400 | Aleutian Investments LLC, FRN, 5.53%, 05/20/14 (e) (m) | 400 | |||||||||
Media — 1.4% | |||||||||||
500 | Comcast Corp., FRN, 5.66%, 07/14/09 (m) | 501 | |||||||||
500 | COX Communications, Inc., FRN, 5.91%, 12/14/07 (m) | 502 | |||||||||
1,400 | Time Warner, Inc., FRN, 5.59%, 11/13/09 | 1,402 | |||||||||
200 | Viacom, Inc., FRN, 5.71%, 06/16/09 | 201 | |||||||||
2,606 | |||||||||||
Multi-Utilities — 0.8% | |||||||||||
Dominion Resources, Inc., | |||||||||||
700 | FRN, 5.54%, 11/14/08 | 701 | |||||||||
750 | FRN, 5.66%, 09/28/07 (m) | 750 | |||||||||
1,451 | |||||||||||
Oil, Gas & Consumable Fuels — 0.5% | |||||||||||
Anadarko Petroleum Corp., | |||||||||||
350 | FRN, 5.76%, 09/15/09 (m) | 351 | |||||||||
Pemex Project Funding Master Trust, | |||||||||||
400 | FRN, 6.66%, 06/15/10 (e) | 411 | |||||||||
150 | FRN, 7.16%, 10/15/09 (e) | 155 | |||||||||
917 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.6% | |||||||||||
iStar Financial, Inc., | |||||||||||
650 | FRN, 5.70%, 09/15/09 (e) | 651 | |||||||||
425 | FRN, 5.91%, 03/16/09 | 428 | |||||||||
1,079 | |||||||||||
Specialty Retail — 0.2% | |||||||||||
350 | Home Depot, Inc., FRN, 5.49%, 12/16/09 | 350 | |||||||||
Software — 0.8% | |||||||||||
1,400 | Oracle Corp. and Ozark Holding, Inc., FRN, 5.59%, 01/13/09 | 1,401 | |||||||||
Thrifts & Mortgage Finance — 4.6% | |||||||||||
2,900 | CAM U.S. Finance S.A. Sociedad Unipersonal (Spain), FRN, 5.51%, 02/01/10 (e) (m) | 2,899 | |||||||||
Countrywide Financial Corp., | |||||||||||
1,210 | FRN, 5.59%, 03/24/09 (m) | 1,211 | |||||||||
950 | FRN, 5.64%, 12/19/08 (m) | 952 | |||||||||
Residential Capital LLC, | |||||||||||
400 | FRN, 5.85%, 06/09/08 | 399 | |||||||||
600 | FRN, 6.46%, 04/17/09 | 602 | |||||||||
300 | Sovereign Bancorp, Inc., FRN, 5.65%, 03/01/09 | 301 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Thrifts & Mortgage Finance — Continued | |||||||||||
950 | Washington Mutual Bank, FRN, 5.45%, 11/06/09 | 951 | |||||||||
1,150 | Washington Mutual, Inc., FRN, 5.50%, 08/24/09 | 1,150 | |||||||||
8,465 | |||||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
400 | America Movil S.A. de C.V. (Mexico), FRN, 5.47%, 06/27/08 (e) (m) | 399 | |||||||||
Total Corporate Bonds (Cost $87,290) | 87,374 | ||||||||||
Foreign Government Securities — 0.3% | |||||||||||
500 | United Mexican States (Mexico), FRN, 6.06%, 01/13/09 (Cost $503) | 504 | |||||||||
Mortgage Pass-Through Securities — 2.6% | |||||||||||
4,658 | Federal National Mortgage Association Pool, 7.00%, 09/01/35 – 10/01/36 (Cost $4,775) | 4,792 | |||||||||
Municipal Bond — 0.1% | |||||||||||
North Carolina — 0.1% | |||||||||||
200 | Wake Forest University, VAR, 5.32%, 07/01/17 (Cost $200) | 200 | |||||||||
U.S. Treasury Obligation — 0.3% | |||||||||||
600 | U.S. Treasury Inflation Indexed Bond, 2.38%, 01/15/17 (Cost $606) | 611 | |||||||||
Total Long-Term Investments (Cost $183,659) | 183,835 | ||||||||||
NUMBER OF CONTRACTS | |||||||||||
Option Purchased — 0.0% (g) | |||||||||||
Call Option Purchased — 0.0% (g) | |||||||||||
25 | 90 Day Eurodollar Futures, Expiring 04/13/07 @ $94.88, American Style (Cost $3) | 3 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 0.1% | |||||||||||
Investment Company — 0.0% (g) | |||||||||||
26 | JPMorgan Prime Money Market Fund (b) (m) (Cost $26) | 26 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
U.S. Treasury Securities — 0.1% | |||||||||||
U.S. Treasury Bill, | |||||||||||
145 | 4.88%, 03/08/07 (k) (m) (n) | 145 | |||||||||
20 | 5.06%, 05/24/07 (k) (m) (n) | 19 | |||||||||
Total U.S. Treasury Securities Cost ($164) | 164 | ||||||||||
Total Short-Term Investments (Cost $190) | 190 | ||||||||||
Total Investments — 100.5% (Cost $183,852) | 184,028 | ||||||||||
Liabilities in Excess of Other Assets — (0.5)% | (926 | ) | |||||||||
NET ASSETS — 100.0% | $ | 183,102 |
AS OF FEBRUARY 28, 2007 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
74 | Eurodollar | March, 2007 | $ | 17,513 | $ | (9 | ) | |||||||||||
Short Futures Outstanding | ||||||||||||||||||
(12) | Eurodollar | March, 2007 | (2,840 | ) | 9 | |||||||||||||
(61) | 2 Year U.S. Treasury Notes | June, 2007 | (12,502 | ) | (12 | ) | ||||||||||||
(119) | 5 Year U.S. Treasury Notes | June, 2007 | (12,608 | ) | (64 | ) | ||||||||||||
(8) | 10 Year U.S. Treasury Notes | June, 2007 | (869 | ) | (5 | ) | ||||||||||||
(12) | Eurodollar | June, 2007 | (2,844 | ) | 9 | |||||||||||||
(2) | Eurodollar | September, 2007 | (475 | ) | (1 | ) | ||||||||||||
(12) | Eurodollar | December, 2007 | (2,855 | ) | (4 | ) | ||||||||||||
(12) | Eurodollar | March, 2008 | (2,858 | ) | (7 | ) | ||||||||||||
$ | (84 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Merrill Lynch & Co., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | $ | 1,000 | $ | — | (h) | |||||||||||||||||
Morgan Stanley, 6.60%, 04/01/12 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Bear Stearns Cos., 7.63%, 12/07/09 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Goldman Sachs Group, Inc., 6.60%, 01/15/12 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Lehman Brothers Holdings, Inc., 6.63%, 01/18/12 | Bear Stearns Credit Products | Sell | 8 BPS quarterly | 06/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Merrill Lynch & Co., Inc., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 9.5 BPS quarterly | 12/20/07 | 1,000 | — | (h) | |||||||||||||||||||
Montpelier Re Holdings, Ltd., 6.13%, 08/15/13 | Deutsche Bank AG, New York | Sell | 40 BPS quarterly | 12/20/07 | 1,800 | 1 | ||||||||||||||||||||
ICICI Bank, Ltd., 5.75%, 11/16/10 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | 700 | — | (h) | |||||||||||||||||||
Tate & Lyle Global, 6.50%, 06/28/12 | Lehman Brothers Special Financing | Buy | 42 BPS semi-annually | 12/20/14 | 1,000 | 8 | ||||||||||||||||||||
Aiful Corp., 4.45%, 02/16/10 | Morgan Stanley Capital Services | Buy | 52.5 BPS quarterly | 12/20/11 | 1,400 | (2 | ) | |||||||||||||||||||
Wells Fargo & Co., 5.56%, 10/28/15 | Royal Bank of Scotland | Sell | 2.5 BPS quarterly | 12/20/07 | 6,000 | — | (h) | |||||||||||||||||||
$ | 7 |
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 | 5.30% semi-annually | 3 month LIBOR quarterly | 01/26/17 | $ | 800 | $ | (12 | ) | ||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.31% semi-annually | 01/31/09 | 26,000 | 129 | |||||||||||||||||
Merrill Lynch Capital Services | 5.12% semi-annually | 3 month LIBOR quarterly | 02/23/12 | 1,330 | (8 | ) | ||||||||||||||||
$ | 109 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing (1) | U.S. 5 Year Treasury Note, American Style | $100.29 | 03/29/07 | $ | 25,350 | $ | (29 | ) |
(1) | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 110.1% | |||||||||||
Asset-Backed Securities — 3.3% | |||||||||||
1,000 | GSAMP Trust, Series 2005-WMC2, Class A2B, FRN, 5.58%, 11/25/35 (m) | 1,001 | |||||||||
1,000 | Residential Asset Securities Corp, Series 2005-KS10, Class 1A2, FRN, 5.57%, 11/25/35 (m) | 1,001 | |||||||||
250 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class M2, FRN, 5.87%, 12/25/35 (m) | 253 | |||||||||
Total Asset-Backed Securities (Cost $2,250) | 2,255 | ||||||||||
Collateralized Mortgage Obligations — 5.6% | |||||||||||
Non-Agency CMO — 5.6% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
319 | Series 2005-12, Class 5A1, FRN, 5.57%, 03/25/36 (m) | 320 | |||||||||
689 | Series 2006-3, Class 4A11, FRN, 5.50%, 08/25/36 (m) | 688 | |||||||||
538 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 5.61%, 10/19/45 (m) | 540 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
487 | Series 2005-8, Class 1A2A, FRN, 5.65%, 09/19/35 (m) | 489 | |||||||||
564 | Series 2005-11, Class 2A1A, FRN, 5.63%, 08/19/45 (m) | 565 | |||||||||
221 | Series 2006-8, Class 2A1A, FRN, 5.51%, 08/21/46 (m) | 221 | |||||||||
533 | Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, FRN, 5.63%, 10/25/36 (m) | 534 | |||||||||
475 | Residential Accredit Loans, Inc., Series 2006-QO4, Class 2A1, FRN, 5.51%, 04/25/46 (m) | 475 | |||||||||
Total Collateralized Mortgage Obligations (Cost $3,827) | 3,832 | ||||||||||
Corporate Bonds — 2.1% | |||||||||||
Capital Markets — 0.7% | |||||||||||
500 | Merrill Lynch & Co., Inc., FRN, 5.45%, 10/27/08 (m) | 500 | |||||||||
Commercial Banks — 1.0% | |||||||||||
465 | HBOS Treasury Services plc (United Kingdom), 5.25%, 02/21/17 (e) | 472 | |||||||||
200 | VTB Capital S.A. for Vneshtorgbank (Luxembourg), FRN, 6.11%, 09/21/07 (m) | 200 | |||||||||
672 | |||||||||||
Diversified Telecommunication Services — 0.4% | |||||||||||
250 | AT&T, Inc., FRN, 5.57%, 11/14/08 (m) | 251 | |||||||||
Total Corporate Bonds (Cost $1,420) | 1,423 | ||||||||||
Foreign Government Securities — 0.8% | |||||||||||
MXN 6,200 | United Mexican States, Series MI10, 8.00%, 12/19/13 (Cost $577) | 557 | |||||||||
Mortgage Pass-Through Securities — 12.4% | |||||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
$650 | TBA, 5.00%, 05/25/36 | 631 | |||||||||
7,850 | TBA, 6.00%, 03/25/37 | 7,916 | |||||||||
Total Mortgage Pass-Through Securities (Cost $8,482) | 8,547 | ||||||||||
U.S. Treasury Obligations — 85.9% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
971 | 2.00%, 01/15/26 (m) | 936 | |||||||||
4,620 | 2.38%, 01/15/25 (m) | 4,710 | |||||||||
1,526 | 2.38%, 01/15/27 (m) | 1,561 | |||||||||
571 | 3.88%, 04/15/29 (m) | 736 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
4,570 | 0.88%, 04/15/10 (m) | 4,397 | |||||||||
3,974 | 1.63%, 01/15/15 (m) | 3,811 | |||||||||
7,807 | 1.88%, 07/15/13 (m) | 7,686 | |||||||||
5,748 | 1.88%, 07/15/15 (m) | 5,618 | |||||||||
2,883 | 2.00%, 01/15/14 (m) | 2,851 | |||||||||
4,901 | 2.00%, 07/15/14 (m) | 4,845 | |||||||||
2,557 | 2.00%, 01/15/16 | 2,520 | |||||||||
4,575 | 2.38%, 04/15/11 | 4,619 | |||||||||
1,130 | 2.38%, 01/15/17 | 1,150 | |||||||||
465 | 2.50%, 07/15/16 | 478 | |||||||||
4,517 | 3.00%, 07/15/12 (k) (m) | 4,723 | |||||||||
2,307 | 3.50%, 01/15/11 (m) | 2,430 | |||||||||
3,778 | 3.88%, 01/15/09 (m) | 3,906 | |||||||||
1,781 | 4.25%, 01/15/10 (m) | 1,890 | |||||||||
Total U.S. Treasury Obligations (Cost $58,800) | 58,867 | ||||||||||
Total Long-Term Investments (Cost $75,356) | 75,481 |
AS OF FEBRUARY 28, 2007 (continued)
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 2.0% | ||||||||||||||||||
Call Options Purchased — 0.5% | ||||||||||||||||||
29 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 2 | ||||||||||||||||
14 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $95.00, American Style | — | (h) | |||||||||||||||
40 | 90 Day Eurodollar Futures, Expiring 03/19/07 @ $94.75, American Style | 1 | ||||||||||||||||
6 | 90 Day Eurodollar Futures, Expiring 04/13/07 @ $94.88, American Style | 1 | ||||||||||||||||
16 | 90 Day Eurodollar Futures, Expiring 06/18/07 @ $94.75, American Style | 5 | ||||||||||||||||
24 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.00, American Style | 10 | ||||||||||||||||
51 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.75, American Style | 3 | ||||||||||||||||
37 | 90 Day Sterling Futures, Expiring 03/21/07 @ $94.75, American Style | — | ||||||||||||||||
8 | 90 Day Sterling Futures, Expiring 06/20/07 @ $94.75, American Style | — | ||||||||||||||||
6 | 90 Day Sterling Futures, Expiring 06/20/07 @ $94.88, American Style | — | ||||||||||||||||
8 | 90 Day Sterling Futures, Expiring 09/19/07 @ $94.25, American Style | 3 | ||||||||||||||||
34 | 90 Day Sterling Futures, Expiring 09/19/07 @ $94.38, American Style | 7 | ||||||||||||||||
8 | 90 Day Sterling Futures, Expiring 09/19/07 @ $94.63, American Style | — | (h) | |||||||||||||||
18 | 90 Day Sterling Futures, Expiring 12/19/07 @ $94.38, American Style | 6 | ||||||||||||||||
10,000 | EUR Call/PLN Put Futures, Expiring 09/07/07 @ 1 EUR to 4.25 PLN, Vanilla, European Style | — | (h) | |||||||||||||||
103,457 | EUR Call/USD Put Futures, Expiring 05/10/07 @ 1 EUR to 1.32 USD, One Touch, European Style | 3 | ||||||||||||||||
12,674 | EUR Call/USD Put Futures, Expiring 06/25/07 @ 1 EUR to 1 USD, One Touch, European Style | — | ||||||||||||||||
39,119 | USD Call/JPY Put Futures, Expiring 10/04/07 @ 1 USD to 117 JPY, Vanilla, European Style | 1 | ||||||||||||||||
42 | ||||||||||||||||||
NOTIONAL AMOUNT($) | ||||||||||||||||||
Call Options Purchased on Interest Rate Swaps: | ||||||||||||||||||
EUR 600 | Expiring 2/27/09. If exercised the Fund receives 4.33% and pays floating 6 month EURIBOR expiring 03/03/39, European Style | 34 | ||||||||||||||||
$12,685 | Expiring 11/02/09. If exercised the Fund receives 4.49% and pays floating 3 month LIBOR expiring 11/04/19, European Style | 198 | ||||||||||||||||
EUR 500 | Expiring 10/24/11. If exercised the Fund receives 4.25% and pays floating 6 month EURIBOR expiring 10/26/16, European Style | 12 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Call Options Purchased — Continued | ||||||||||
EUR 900 | Expiring 02/27/12. If exercised the Fund receives 4.31% and pays floating 6 month EURIBOR expiring 02/28/17, European Style | 21 | ||||||||
EUR 438 | Expiring 07/11/16. If exercised the Fund receives 4.85% and pays floating 6 month EURIBOR expiring 07/13/36, European Style | 21 | ||||||||
286 | ||||||||||
Total Call Options Purchased | 328 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 1.3% | ||||||||||
$1,015 | Expiring 03/02/07. If exercised the Fund pays/receives 5.31% and receives/pays floating 3 month LIBOR expiring 03/06/17, European Style | 17 | ||||||||
1,015 | Expiring 03/13/07. If exercised the Fund pays/receives 5.33% and receives/pays floating 3 month LIBOR expiring 03/15/17, European Style | 19 | ||||||||
1,260 | Expiring 03/16/07. If exercised the Fund pays/receives 5.19% and receives/pays floating 3 month LIBOR expiring 03/20/17, European Style | 15 | ||||||||
1,005 | Expiring 03/23/07. If exercised the Fund pays/receives 5.20% and receives/pays floating 3 month LIBOR expiring 03/27/17, European Style | 14 | ||||||||
995 | Expiring 03/27/07. If exercised the Fund pays/receives 5.10% and receives/pays floating 3 month LIBOR expiring 03/29/17, European Style | 13 | ||||||||
19,540 | Expiring 04/10/07. If exercised the Fund pays/receives 4.88% and receives/pays floating 3 month LIBOR expiring 04/12/08, European Style | 57 | ||||||||
27,315 | Expiring 04/26/07. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 04/25/08, European Style | 11 | ||||||||
6,240 | Expiring 05/01/07. If exercised the Fund 5.54% and receives floating 3 month LIBOR expiring 05/03/12, European Style | 2 | ||||||||
3,740 | Expiring 05/08/07. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 05/10/12, European Style | 2 | ||||||||
6,205 | Expiring 05/16/07. If exercised the Fund pays 5.41% and receives floating 3 month LIBOR expiring 05/18/12, European Style | 5 | ||||||||
13,425 | Expiring 06/01/07. If exercised the Fund pays/receives 4.74% and receives/pays floating 3 month LIBOR expiring 06/05/08, European Style | 48 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Receiver/Payer Straddles on Interest Rate Swaps — Continued | |||||||||||
4,695 | Expiring 06/15/07. If exercised the Fund pays 4.91% and receives floating 3 month LIBOR expiring 06/19/08, European Style | 10 | |||||||||
7,816 | Expiring 01/03/08. If exercised the Fund pays/receives 4.89% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 40 | |||||||||
7,816 | Expiring 01/03/08. If exercised the Fund pays/receives 4.95% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 40 | |||||||||
11,536 | Expiring 01/04/08. If exercised the Fund pays/receives 4.84% and receives/pays floating 3 month LIBOR expiring 01/08/09, European Style | 59 | |||||||||
7,440 | Expiring 01/07/08. If exercised the Fund pays/receives 4.94% and receives/pays floating 3 month LIBOR expiring 01/09/09, European Style | 39 | |||||||||
15,595 | Expiring 01/22/08. If exercised the Fund pays/receives 5.12% and receives/pays floating 3 month LIBOR expiring 01/24/09, European Style | 90 | |||||||||
13,495 | Expiring 10/02/08. If exercised the Fund pays/receives 4.46% and receives/pays floating 3 month LIBOR expiring 10/06/18, European Style | 138 | |||||||||
2,969 | Expiring 02/16/10. If exercised the Fund pays 5.85% and receives floating 3 month LIBOR expiring 02/18/20, European Style | 55 | |||||||||
1,309 | Expiring 01/03/14. If exercised the Fund pays/receives 5.42% and receives/pays floating 3 month LIBOR expiring 01/07/24, European Style | 111 | |||||||||
925 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 54 | |||||||||
1,155 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 67 | |||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 906 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.2% | ||||||||||
5 | 2 Year U.S. Treasury Note Futures, Expiring 03/23/07 @ $101.50, American Style | 1 | ||||||||
3 | 3 Month Euro-bund Futures, Expiring 05/24/07 @ $113.00, American Style | — | (h) | |||||||
1 | 3 Month EURO EURIBOR Futures, Expiring 03/19/07 @ $96.00, American Style | — | ||||||||
18 | 3 Month EURO EURIBOR Futures, Expiring 03/19/07 @ $96.13, American Style | 2 | ||||||||
11 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.69, American Style | — | (h) | |||||||
60 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 1 | ||||||||
11 | 30 Day Federal Funds Futures, Expiring 05/31/07 @ $94.63, American Style | 1 | ||||||||
12 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.00, American Style | 5 | ||||||||
25 | 90 Day Eurodollar Futures, Expiring 12/17/07 @ $94.75, American Style | 5 | ||||||||
18 | 90 Day Sterling Futures, Expiring 06/20/07 @ $94.00, American Style | 1 | ||||||||
103,457 | EUR Put/USD Call, Expiring 05/10/07 @ 1 EUR to 1.29 USD, Vanilla, European Style | — | (h) | |||||||
95,904 | NZD Put/JPY Call, Expiring 01/21/08 @ 1 NZD to 75 JPY, Vanilla, European Style | 2 | ||||||||
36,671 | NZD Put/MXN Call, Expiring 01/03/08 @ 1 NZD to 6.9 MXN, Vanilla, European Style | — | (h) | |||||||
130,657 | USD Put/JPY Call, Expiring 12/28/07 @ 1 USD to 110 JPY, KnockOut 122.00, European Style | 1 | ||||||||
39,119 | USD Put/JPY Call, Expiring 10/04/07 @ 1 USD to 108 JPY, Vanilla, European Style | — | (h) | |||||||
6,574 | NZD Put/MXN Call, Expiring 12/28/07 @ 1 NZD to 6.0 MXN, One Touch, European Style | — | (h) | |||||||
55,760 | AUD Call/USD Put, Expiring 03/05/07 @ 1 AUD to 0.8 USD, Vanilla, European Style | — | (h) | |||||||
19 |
AS OF FEBRUARY 28, 2007 (continued)
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Put Options Purchased — Continued | |||||||||||
Put Options Purchased on Interest Rate Swaps: | |||||||||||
EUR 600 | Expiring 2/27/09. If exercised the Fund receives 4.33% and pays floating 6 month EURIBOR expiring 03/03/39, European Style | 34 | |||||||||
EUR 500 | Expiring 10/24/11. If exercised the Fund pays 4.25% and receives floating 6 month EURIBOR expiring 10/26/16, European Style | 11 | |||||||||
EUR 900 | Expiring 02/27/12. If exercised the Fund pays 4.31% and receives floating 6 month EURIBOR expiring 02/28/17, European Style | 21 | |||||||||
EUR 438 | Expiring 07/11/16. If exercised the Fund pays 4.85% and receives floating 6 month EURIBOR expiring 07/13/16, European Style | 42 | |||||||||
108 | |||||||||||
Total Put Options Purchased | 127 | ||||||||||
Total Options Purchased (Cost $1,558) | 1,361 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 2.3% | |||||||||||
Investment Company — 2.1% | |||||||||||
1,434 | JPMorgan Prime Money Market Fund (b) (m) (Cost $1,434) | 1,434 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
U.S. Treasury Security — 0.2% | |||||||||||
140 | U.S. Treasury Bill, 5.08%, 08/09/07 (k) (m) (n) (Cost $137) | 137 | |||||||||
Total Short-Term Investments (Cost $1,571) | 1,571 | ||||||||||
Total Investments — 114.4% (Cost $78,485) | 78,413 | ||||||||||
Liabilities in Excess of Other Assets — (14.4)% | (9,890 | ) | |||||||||
NET ASSETS — 100.0% | $ | 68,523 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
4 | Euro-Bobl | March, 2007 | $ | 577 | $ | 2 | ||||||||||||
12 | Euro-Bund | March, 2007 | 1,845 | 15 | ||||||||||||||
11 | Euro-EURIBOR 3 Month | March, 2007 | 3,497 | — | (h) | |||||||||||||
2 | 10 Year Canada Bonds | March, 2007 | 196 | 3 | ||||||||||||||
1 | 10 Year Japan Bonds | March, 2007 | 1,140 | 5 | ||||||||||||||
1 | 2 Year U.S. Treasury Notes | June, 2007 | 205 | 1 | ||||||||||||||
1 | 5 Year U.S. Treasury Notes | June, 2007 | 106 | 1 | ||||||||||||||
3 | 10 Year Canada Bonds | June, 2007 | 292 | 2 | ||||||||||||||
13 | 10 Year U.S. Treasury Notes | June, 2007 | 1,412 | (4 | ) | |||||||||||||
11 | Canada Bankers Acceptance | June, 2007 | 2,251 | 2 | ||||||||||||||
19 | Eurodollar | June, 2007 | 4,503 | — | (h) | |||||||||||||
4 | U.K. Treasury Gilt | June, 2007 | 859 | 3 | ||||||||||||||
8 | 90 Day Australia Bank Bill | September, 2007 | 5,900 | 6 | ||||||||||||||
16 | 90 Day Sterling LIBOR | December, 2007 | 3,706 | 6 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(54) | Euro-Schatz | March, 2007 | (7,402 | ) | (9 | ) | ||||||||||||
(8) | 90 Day Australia Treasury Bill | March, 2007 | (1,410 | ) | — | (h) | ||||||||||||
(3) | 90 Day Sterling LIBOR | March, 2007 | (695 | ) | (1 | ) | ||||||||||||
(4) | Euro Swiss Franc 3 Month LIFFE | June, 2007 | (800 | ) | — | (h) | ||||||||||||
(10) | Eurodollar | June, 2007 | (2,370 | ) | (4 | ) | ||||||||||||
(38) | 2 Year U.S. Treasury Notes | June, 2007 | (7,788 | ) | (16 | ) | ||||||||||||
(58) | 5 Year U.S. Treasury Notes | June, 2007 | (6,145 | ) | (16 | ) | ||||||||||||
(30) | 10 Year U.S. Treasury Notes | June, 2007 | (3,258 | ) | (16 | ) | ||||||||||||
(13) | 90 Day Sterling LIBOR | June, 2007 | (3,010 | ) | (5 | ) | ||||||||||||
$ | (25 | ) |
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
77,178 | AUD for | |||||||||||||||||||||||
70,233 | CAD | 05/14/07 | $ | 60 | $ | 61 | # | $ | 1 | |||||||||||||||
42,821 | AUD for | |||||||||||||||||||||||
41,496 | CHF | 05/14/07 | 34 | 34 | # | — | (h) | |||||||||||||||||
5,138 | AUD for | |||||||||||||||||||||||
5,813 | NZD | 03/20/07 | 4 | 4 | # | — | (h) | |||||||||||||||||
82,471 | AUD for | |||||||||||||||||||||||
92,739 | NZD | 05/14/07 | 65 | 65 | # | — | (h) | |||||||||||||||||
797,135 | AUD | 05/14/07 | 618 | 627 | 9 | |||||||||||||||||||
77,956 | CAD for | |||||||||||||||||||||||
86,010 | AUD | 05/14/07 | 68 | 67 | # | (1 | ) |
AS OF FEBRUARY 28, 2007 (continued)
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
78,378 | CAD for | |||||||||||||||||||||||
50,613 | EUR | 05/14/07 | $ | 67 | $ | 67 | # | $ | — | (h) | ||||||||||||||
39,705 | CAD for | |||||||||||||||||||||||
4,023,168 | JPY | 05/14/07 | 34 | 34 | # | — | (h) | |||||||||||||||||
157,042 | CAD for | |||||||||||||||||||||||
830,105 | NOK | 05/14/07 | 136 | 135 | # | (1 | ) | |||||||||||||||||
33,331 | CAD | 03/20/07 | 28 | 29 | 1 | |||||||||||||||||||
149,989 | CAD | 05/14/07 | 127 | 129 | 2 | |||||||||||||||||||
171,519 | CHF for | |||||||||||||||||||||||
178,938 | AUD | 05/14/07 | 141 | 142 | # | 1 | ||||||||||||||||||
41,302 | CHF for | |||||||||||||||||||||||
39,643 | CAD | 05/14/07 | 34 | 34 | # | — | (h) | |||||||||||||||||
1,012,712 | CHF for | |||||||||||||||||||||||
626,549 | EUR | 05/14/07 | 832 | 836 | # | 4 | ||||||||||||||||||
163,720 | CHF for | |||||||||||||||||||||||
68,007 | GBP | 05/14/07 | 134 | 135 | # | 1 | ||||||||||||||||||
341,823 | CHF for | |||||||||||||||||||||||
33,190,820 | JPY | 05/14/07 | 283 | 282 | # | (1 | ) | |||||||||||||||||
1,355,503 | CHF | 05/14/07 | 1,103 | 1,119 | 16 | |||||||||||||||||||
204,893 | EUR for | |||||||||||||||||||||||
343,959 | AUD | 05/14/07 | 270 | 272 | # | 2 | ||||||||||||||||||
610,451 | EUR for | |||||||||||||||||||||||
986,967 | CHF | 05/14/07 | 815 | 810 | # | (5 | ) | |||||||||||||||||
5,246 | EUR for | |||||||||||||||||||||||
3,517 | GBP | 03/20/07 | 7 | 7 | # | — | (h) | |||||||||||||||||
102,431 | EUR for | |||||||||||||||||||||||
69,053 | GBP | 05/14/07 | 136 | 136 | # | — | (h) | |||||||||||||||||
102,932 | EUR for | |||||||||||||||||||||||
16,128,606 | JPY | 05/14/07 | 138 | 137 | # | (1 | ) | |||||||||||||||||
103,236 | EUR for | |||||||||||||||||||||||
837,247 | NOK | 05/14/07 | 137 | 137 | # | — | (h) | |||||||||||||||||
154,893 | EUR for | |||||||||||||||||||||||
1,415,840 | SEK | 05/14/07 | 203 | 206 | # | 3 | ||||||||||||||||||
64,669 | EUR | 03/20/07 | 85 | 86 | 1 | |||||||||||||||||||
1,166,216 | EUR | 05/14/07 | 1,525 | 1,548 | 23 | |||||||||||||||||||
3,260 | GBP for | |||||||||||||||||||||||
7,338 | CAD | 03/20/07 | 6 | 6 | # | — | (h) | |||||||||||||||||
68,866 | GBP for | |||||||||||||||||||||||
156,726 | CAD | 05/14/07 | 134 | 135 | # | 1 | ||||||||||||||||||
106,228 | GBP for | |||||||||||||||||||||||
256,096 | CHF | 05/14/07 | 211 | 209 | # | (2 | ) | |||||||||||||||||
50,731 | GBP for | |||||||||||||||||||||||
2,126,000 | CZK | 05/14/07 | 100 | 100 | # | — | (h) |
CONTRACTS TO BUY | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
19,116 | GBP for | |||||||||||||||||||||||
28,545 | EUR | 03/20/07 | $ | 38 | $ | 38 | # | $ | — | (h) | ||||||||||||||
85,476 | GBP for | |||||||||||||||||||||||
127,888 | EUR | 05/14/07 | 170 | 168 | # | (2 | ) | |||||||||||||||||
20,672 | GBP for | |||||||||||||||||||||||
4,843,306 | JPY | 05/14/07 | 41 | 41 | # | — | (h) | |||||||||||||||||
15,000 | GBP | 03/20/07 | 29 | 29 | — | (h) | ||||||||||||||||||
340,919 | GBP | 05/14/07 | 664 | 670 | 6 | |||||||||||||||||||
3,075,362 | JPY for | |||||||||||||||||||||||
30,184 | CAD | 05/14/07 | 26 | 26 | # | — | (h) | |||||||||||||||||
20,672,230 | JPY for | |||||||||||||||||||||||
214,164 | CHF | 05/14/07 | 177 | 176 | # | (1 | ) | |||||||||||||||||
2,132,615 | JPY for | |||||||||||||||||||||||
13,757 | EUR | 03/20/07 | 18 | 18 | # | — | (h) | |||||||||||||||||
16,128,316 | JPY for | |||||||||||||||||||||||
103,356 | EUR | 05/14/07 | 137 | 138 | # | 1 | ||||||||||||||||||
8,058,295 | JPY for | |||||||||||||||||||||||
98,000 | NZD | 05/14/07 | 68 | 69 | # | 1 | ||||||||||||||||||
405,362 | JPY for | |||||||||||||||||||||||
23,918 | SEK | 03/20/07 | 4 | 3 | # | (1 | ) | |||||||||||||||||
2,184,086 | JPY | 03/20/07 | 18 | 18 | — | (h) | ||||||||||||||||||
90,348,875 | JPY | 05/14/07 | 758 | 770 | 12 | |||||||||||||||||||
6,891,550 | MXN | 03/20/07 | 624 | 617 | (7 | ) | ||||||||||||||||||
2,298,892 | NOK | 05/14/07 | 371 | 376 | 5 | |||||||||||||||||||
20,724 | NZD for | |||||||||||||||||||||||
10,996 | EUR | 03/20/07 | 15 | 15 | # | — | (h) | |||||||||||||||||
98,088 | NZD for | |||||||||||||||||||||||
7,953,766 | JPY | 05/14/07 | 68 | 69 | # | 1 | ||||||||||||||||||
293,191 | NZD | 05/14/07 | 199 | 205 | 6 | |||||||||||||||||||
550,000 | PLN | 03/20/07 | 192 | 186 | (6 | ) | ||||||||||||||||||
2,827,620 | SEK for | |||||||||||||||||||||||
305,694 | EUR | 05/14/07 | 406 | 406 | # | — | (h) | |||||||||||||||||
937,197 | SEK for | |||||||||||||||||||||||
834,369 | NOK | 05/14/07 | 136 | 135 | # | (1 | ) | |||||||||||||||||
31,046 | SEK | 03/20/07 | 5 | 4 | (1 | ) | ||||||||||||||||||
715,582 | SEK | 05/14/07 | 103 | 103 | — | (h) | ||||||||||||||||||
$ | 11,802 | $ | 11,869 | $ | 67 |
AS OF FEBRUARY 28, 2007 (continued)
CONTRACTS TO SELL | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
38,248 | AUD | 03/20/07 | $ | 30 | $ | 30 | $ | — | (h) | |||||||||||||||
238,689 | AUD | 05/14/07 | 187 | 188 | (1 | ) | ||||||||||||||||||
50,827 | CAD | 03/20/07 | 44 | 43 | 1 | |||||||||||||||||||
545,892 | CAD | 05/14/07 | 466 | 468 | (2 | ) | ||||||||||||||||||
40,000 | CHF | 03/20/07 | 33 | 33 | — | (h) | ||||||||||||||||||
2,416,801 | CHF | 05/14/07 | 1,950 | 1,996 | (46 | ) | ||||||||||||||||||
82,023 | EUR | 03/20/07 | 108 | 109 | (1 | ) | ||||||||||||||||||
1,136,433 | EUR | 05/14/07 | 1,493 | 1,508 | (15 | ) | ||||||||||||||||||
43,605 | GBP | 03/20/07 | 85 | 86 | (1 | ) | ||||||||||||||||||
230,551 | GBP | 05/14/07 | 451 | 453 | (2 | ) | ||||||||||||||||||
6,340,119 | JPY | 03/20/07 | 53 | 54 | (1 | ) | ||||||||||||||||||
142,600,998 | JPY | 05/14/07 | 1,190 | 1,216 | (26 | ) | ||||||||||||||||||
6,640,795 | MXN | 03/20/07 | 615 | 594 | 21 | |||||||||||||||||||
14,934 | NZD | 03/20/07 | 10 | 11 | (1 | ) | ||||||||||||||||||
93,543 | NZD | 05/14/07 | 64 | 65 | (1 | ) | ||||||||||||||||||
$ | 6,779 | $ | 6,854 | $ | (75 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 02/28/07 of the currency being sold and the value at 02/28/07 is the U.S. Dollar market value of the currency being purchased. |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE (USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$ (700) | FNMA, TBA, 5.00%, 04/30/36 | $ | (679 | ) | ||||||
(2,250) | FNMA, TBA, 5.50%, 03/30/37 | (2,232 | ) | |||||||
(7,850) | FNMA, TBA, 6.00%, 04/30/37 | (7,914 | ) | |||||||
(Proceeds received $10,781) | $ | (10,825 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Future, American Style | $ | 94.63 | 03/19/07 | 20 | $ | (2 | ) | |||||||||||
90 Day Eurodollar Future, American Style | 95.13 | 06/18/07 | 16 | (1 | ) | |||||||||||||
90 Day Eurodollar Future, American Style | 95.50 | 09/17/07 | 48 | (6 | ) | |||||||||||||
90 Day Eurodollar Future, American Style | 96.00 | 09/17/07 | 54 | (1 | ) | |||||||||||||
90 Day Sterling Future, American Style | 94.50 | 09/19/07 | 16 | (2 | ) | |||||||||||||
90 Day Sterling Future, American Style | 94.88 | 03/21/07 | 29 | — | ||||||||||||||
90 Day Sterling Future, American Style | 95.13 | 06/20/07 | 14 | — | ||||||||||||||
Canada 3 Month Bankers, American Style | 95.63 | 03/19/07 | 6 | (1 | ) | |||||||||||||
EUR Call/PLN Put, Vanilla, European Style | 4.60 | 09/07/07 | 10,000 | — | (h) | |||||||||||||
(Premiums Received $19) | $ | (13 | ) |
COUNTERPARTY | | EXERCISE RATE | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Capital Management | 4.74% semi-annually (1) | 06/01/07 | 06/05/08 | $ | 13,425 | $ | (2 | ) | ||||||||||||||
Morgan Stanley Capital Services | 4.50% semi-annually (2) | 02/22/12 | 02/24/22 | EUR 500 | (23 | ) | ||||||||||||||||
(Premiums Received $10) | $ | (25 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2 Year U.S. Treasury Note Future, American Style | $101.25 | 03/23/07 | 5 | $— | ||||||||||||||
30 Day Fed Funds Future, American Style | 94.75 | 04/30/07 | 11 | — | ||||||||||||||
30 Day Fed Funds Future, American Style | 94.94 | 04/30/07 | 7 | (5) | ||||||||||||||
90 Day Eurodollar Future, American Style | 94.75 | 09/17/07 | 24 | (3) | ||||||||||||||
90 Day Sterling Future, American Style | 94.00 | 12/19/07 | 18 | (2) | ||||||||||||||
Canada 3 Month Bankers, American Style | 95.63 | 03/19/07 | 6 | — | ||||||||||||||
Euro-bund Future, American Style | 112.00 | 05/24/07 | 3 | — | ||||||||||||||
NZD Put/JPY Call, Vanilla, European Style | 70.00 | 01/23/08 | 95,904 | — | ||||||||||||||
(Premiums Received $15) | $(10) |
COUNTERPARTY | | EXERCISE RATE | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | 5.99% semi-annually (3) | 11/02/09 | 11/04/19 | $ | 12,685 | $ | (177 | ) | ||||||||||||||
Barclays Bank plc | 5.40% semi-annually (3) | 04/26/07 | 04/30/08 | 27,315 | (3 | ) | ||||||||||||||||
Barclays Bank plc | 5.49% semi-annually (3) | 04/02/07 | 04/04/12 | 7,800 | (1 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.36% semi-annually (3) | 04/16/07 | 04/18/12 | 7,760 | (4 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.45% semi-annually (3) | 04/05/07 | 04/11/12 | 4,680 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 4.50% semi-annually (4) | 02/22/12 | 02/24/22 | EUR 500 | (19 | ) | ||||||||||||||||
(Premiums Received $325) | $ | (205 | ) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.19% semi-annually | 01/04/12 | 01/06/17 | $ | 3,720 | $ | (180 | ) | ||||||||||||||
Barclays Bank plc | 5.96% semi-annually | 10/02/18 | 10/06/18 | 11,571 | (83 | ) | ||||||||||||||||
Bear Stearns | 5.24% semi-annually | 01/04/10 | 01/06/20 | 1,176 | (82 | ) | ||||||||||||||||
Credit Suisse International | 5.2% semi-annually | 01/05/09 | 01/07/19 | 1,937 | (112 | ) | ||||||||||||||||
Credit Suisse International | 5.56% semi-annually | 01/24/14 | 01/29/24 | 771 | (65 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.73% semi-annually | 12/12/08 | 12/14/08 | 23,448 | (118 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.23% semi-annually | 12/06/23 | 12/10/23 | 2,242 | (192 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.25% semi-annually | 01/25/10 | 01/25/10 | 4,289 | (178 | ) | ||||||||||||||||
(Premiums Received $1,129) | $ | (1,010 | ) |
(1) | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
(2) | The Fund would receive a floating rate based on 6-month EURO EURIBOR, if exercised. |
(3) | The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
(4) | The Fund would pay a floating rate based on 6-month EURO EURIBOR, if exercised. |
* | European Style |
** | The Fund would pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
AS OF FEBRUARY 28, 2007 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Bank of America | 5.26% semi-annually | 3 month LIBOR quarterly | 02/16/17 | $ | 825 | $ | (11 | ) | ||||||||||||||
Bank of America | 5.24% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 6,752 | (11 | ) | ||||||||||||||||
Bank of America | 5.47% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 256 | (5 | ) | ||||||||||||||||
Barclays Bank plc | 4.85% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 1,073 | — | (h) | ||||||||||||||||
Barclays Bank plc | 4.96% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 969 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.01% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 821 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.00% semi-annually | 3 month LIBOR quarterly | 01/07/09 | 1,202 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.84% semi-annually | 01/08/09 | 561 | — | (h) | ||||||||||||||||
Barclays Bank plc | 5.03% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 1,109 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.10% semi-annually | 01/27/15 | 313 | — | (h) | ||||||||||||||||
Barclays Bank plc | 5.12% semi-annually | 3 month LIBOR quarterly | 03/27/17 | 300 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.21% semi-annually | 3 month LIBOR quarterly | 10/06/18 | 5,177 | (28 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.35% semi-annually | 02/18/20 | 974 | 8 | |||||||||||||||||
BNP Paribas | 3 month STIBOR quarterly | 3.65% quarterly | 09/19/07 | SEK 46,000 | — | (h) | ||||||||||||||||
BNP Paribas | 4.08% quarterly | 3 month EURIBOR quarterly | 09/19/07 | EUR 5,000 | (1 | ) | ||||||||||||||||
BNP Paribas | 3 month STIBOR quarterly | 3.74% quarterly | 12/19/07 | SEK 47,000 | — | (h) | ||||||||||||||||
BNP Paribas | 4.16% quarterly | 3 month EURIBOR quarterly | 12/19/07 | EUR 5,000 | (1 | ) | ||||||||||||||||
BNP Paribas | 3 month STIBOR quarterly | 3.74% annually | 02/22/08 | SEK 24,000 | — | (h) | ||||||||||||||||
BNP Paribas | 4.19% annually | 3 month STIBOR quarterly | 02/22/11 | SEK 6,300 | (2 | ) | ||||||||||||||||
BNP Paribas | 3 month JIBOR quarterly | 8.24% quarterly | 02/21/12 | ZAR 1,750 | (2 | ) | ||||||||||||||||
BNP Paribas | 4.18% annually | 6 month EURIBOR semi-annually | 02/23/12 | EUR 170 | (1 | ) | ||||||||||||||||
BNP Paribas | 3 month JIBOR quarterly | 8.40% quarterly | 02/28/12 | ZAR 2,070 | — | |||||||||||||||||
BNP Paribas | 4.10% annually | 6 month EURIBOR semi-annually | 03/02/12 | EUR 200 | — | |||||||||||||||||
Citibank, N.A. | 6 month JPY LIBOR semi-annually | 0.9% semi-annually | 05/12/08 | JPY 152,000 | 1 | |||||||||||||||||
Citibank, N.A. | 0.92% semi-annually | 6 month JPY LIBOR semi-annually | 12/07/08 | JPY 299,000 | (3 | ) | ||||||||||||||||
Citibank, N.A. | 6 month JPY LIBOR semi-annually | 1.77% semi-annually | 12/07/16 | JPY 64,000 | 2 | |||||||||||||||||
Citibank, N.A. | 5.11% semi-annually | 3 month LIBOR quarterly | 02/15/17 | $ | 1,030 | — | (h) | |||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/15/17 | 1,005 | (8 | ) | ||||||||||||||||
Citibank, N.A. | 5.25% semi-annually | 3 month LIBOR quarterly | 02/16/17 | 125 | (1 | ) | ||||||||||||||||
Citibank, N.A. | 5.19% semi-annually | 3 month LIBOR quarterly | 02/23/17 | 800 | (6 | ) | ||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/27/17 | 255 | (2 | ) | ||||||||||||||||
Citibank, N.A. | 5.16% semi-annually | 3 month LIBOR quarterly | 02/28/17 | 315 | (2 | ) | ||||||||||||||||
Citibank, N.A. | 5.10% semi-annually | 3 month LIBOR quarterly | 03/02/17 | 950 | — | (h) | ||||||||||||||||
Credit Suisse International | 4.77% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 3,637 | 2 | |||||||||||||||||
Credit Suisse International | 6 month LIBOR semi-annually | 5.66% semi-annually | 02/21/09 | GBP 1,430 | 1 | |||||||||||||||||
Credit Suisse International | 5.40% semi-annually | 3 month LIBOR quarterly | 01/06/17 | $ | 223 | (1 | ) | |||||||||||||||
Credit Suisse International | 5.48% semi-annually | 3 month LIBOR quarterly | 01/07/24 | 191 | (1 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.56% semi-annually | 01/29/24 | 104 | 1 | |||||||||||||||||
Credit Suisse International | 5.41% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 85 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York | JPY-TONA-OIS-COMPOUND monthly | 0.47% monthly | 05/17/07 | JPY 5,268,000 | (3 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 0.51% monthly | JPY-TONA-OIS-COMPOUND monthly | 07/13/07 | JPY 7,583,000 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | JPY-TONA-OIS-COMPOUND termination date + 2 | 0.63% termination date + 2 | 09/19/07 | JPY 420,000 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York | 0.92% termination date + 2 | JPY-TONA-OIS-COMPOUND termination date + 2 | 06/18/08 | JPY 420,000 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York | 0.96% semi-annually | 6 month JPY LIBOR semi-annually | 12/08/08 | JPY 303,000 | (5 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 1.13% semi-annually | 02/27/09 | JPY 243,000 | — | (h) | ||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 1.42% semi-annually | 10/24/11 | JPY 78,000 | 6 | |||||||||||||||||
Deutsche Bank AG, New York | 1.35% semi-annually | 6 month JPY LIBOR semi-annually | 12/04/11 | JPY 46,000 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 1.84% semi-annually | 6 month JPY LIBOR semi-annually | 09/05/16 | JPY 76,000 | (10 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 1.96% semi-annually | 6 month JPY LIBOR semi-annually | 10/24/16 | JPY 82,000 | (16 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 1.82% semi-annually | 12/04/16 | JPY 24,000 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 1.79% semi-annually | 12/08/16 | JPY 65,000 | 3 |
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 | 1.80% semi-annually | 6 month JPY LIBOR semi-annually | 12/12/16 | JPY 81,000 | $ | (4 | ) | |||||||||||||||
Deutsche Bank AG, New York | 5.25% semi-annually | 3 month LIBOR quarterly | 02/21/17 | $ | 465 | (6 | ) | |||||||||||||||
Deutsche Bank AG, New York | Inflation-linked annually | 3.14% annually | 08/11/21 | AUD 450 | (6 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 2.36% semi-annually | 09/05/26 | JPY 43,000 | 10 | |||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 2.46% semi-annually | 10/24/26 | JPY 23,000 | 8 | |||||||||||||||||
Deutsche Bank AG, New York | 6 month JPY LIBOR semi-annually | 2.25% semi-annually | 12/12/26 | JPY 46,000 | 1 | |||||||||||||||||
Deutsche Bank AG, New York | 5.42% semi-annually | 3 month LIBOR quarterly | 01/26/32 | $ | 108 | (3 | ) | |||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.31% semi-annually | 06/05/08 | 6,510 | 14 | |||||||||||||||||
Goldman Sachs Capital Management | 5.18% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 3,735 | (13 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.20% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 4,435 | (17 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.17% annually | 6 month EURIBOR semi-annually | 02/08/12 | EUR 460 | (2 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 6 month WIBOR semi-annually | 4.94% annually | 02/08/12 | PLN 1,810 | (3 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.25% semi-annually | 01/27/15 | $ | 214 | 1 | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.21% semi-annually | 02/22/17 | 516 | 5 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.41% semi-annually | 04/12/08 | 1,249 | 3 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.35% semi-annually | 06/19/08 | 3,510 | 9 | |||||||||||||||||
Lehman Brothers Special Financing | 3.88% annually | 6 month EURIBOR semi-annually | 03/20/16 | EUR 750 | 1 | |||||||||||||||||
Lehman Brothers Special Financing | 5.79% semi-annually | 3 month LIBOR quarterly | 06/27/16 | $ | 555 | (29 | ) | |||||||||||||||
Lehman Brothers Special Financing | 6 month EURIBOR semi-annually | 4.15% annually | 03/20/36 | EUR 360 | (2 | ) | ||||||||||||||||
Lehman Brothers Special Financing* | 3 month LIBOR quarterly | 5.16% semi-annually | 04/12/08 | $ | 14,129 | (2 | ) | |||||||||||||||
Merrill Lynch International | 3 month LIBOR quarterly | 5.04% semi-annually | 01/24/09 | 670 | 1 | |||||||||||||||||
Merrill Lynch International | 5.00% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 1,196 | (2 | ) | ||||||||||||||||
Merrill Lynch International | 4.43% semi-annually | 3 month Canadian Bankers Acceptance semi-annually | 01/31/12 | CAD 215 | (2 | ) | ||||||||||||||||
Merrill Lynch International | 3 month Canadian Bankers Acceptance semi-annually | 4.65% semi-annually | 01/31/17 | CAD 240 | 3 | |||||||||||||||||
Merrill Lynch International | 4.82% semi-annually | 3 month Canadian Bankers Acceptance semi-annually | 01/31/37 | CAD 60 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3-month US LIBOR quarterly | 5.09% semi-annually | 12/05/36 | $ | 205 | (4 | ) | |||||||||||||||
Morgan Stanley Capital Services | 4.33% annually | 6 month EURIBOR semi-annually | 03/02/39 | EUR 40 | — | (h) | ||||||||||||||||
Morgan Stanley Capital Services | 3.13% annually | Inflation-linked annually | 08/15/46 | GBP 40 | — | (h) | ||||||||||||||||
Morgan Stanley Capital Services | 6 month LIBOR semi-annually | 5.21% semi-annually | 10/06/08 | GBP 910 | (12 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 6 month WIBOR semi-annually | 4.62% annually | 01/29/09 | PLN 5,090 | (5 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3 month USD-LIBOR-BBA v.s 3 | 0.99% quarterly | 01/25/11 | AUD 6,760 | 1 | |||||||||||||||||
month AUD-BBR quarterly | ||||||||||||||||||||||
Morgan Stanley Capital Services | 3 month NZD-BBR quarterly | 6.66% semi-annually | 04/15/15 | NZD 310 | (2 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3 month NZD-BBR quarterly | 6.76% semi-annually | 04/15/15 | NZD 171 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3 month NZD-BBR quarterly | 6.76% semi-annually | 04/15/15 | NZD 180 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 3 month NZD-BBR quarterly | 2.99% annually | 05/25/16 | GBP 400 | (14 | ) | ||||||||||||||||
Morgan Stanley Capital Services | Inflation-linked annually | 3.11% annually | 08/15/16 | GBP 100 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 4.92% semi-annually | 6 month LIBOR semi-annually | 10/06/16 | GBP 440 | 19 | |||||||||||||||||
Morgan Stanley Capital Services | 5.03% annually | 6 month WIBOR semi-annually | 01/29/17 | PLN 1,230 | 3 | |||||||||||||||||
Morgan Stanley Capital Services | 4.30% annually | 6 month EURIBOR semi-annually | 10/04/36 | EUR 140 | 2 | |||||||||||||||||
Morgan Stanley Capital Services | 6 month LIBOR semi-annually | 4.38% semi-annually | 10/06/36 | GBP 110 | (7 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 4.05% annually | 6 month EURIBOR semi-annually | 12/05/36 | EUR 140 | 8 | |||||||||||||||||
Morgan Stanley Capital Services | 3.03% annually | Inflation-linked annually | 05/25/46 | GBP 130 | 7 | |||||||||||||||||
Union Bank of Switzerland AG | JPY-TONA-OIS-COMPOUND quarterly | 0.65% quarterly | 09/20/07 | JPY 988,000 | (1 | ) | ||||||||||||||||
Union Bank of Switzerland AG | JPY-TONA-OIS-COMPOUND quarterly | 0.67% quarterly | 09/20/07 | JPY 1,196,000 | (1 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 0.95% quarterly | JPY-TONA-OIS-COMPOUND quarterly | 06/19/08 | JPY 988,000 | 1 | |||||||||||||||||
Union Bank of Switzerland AG | 0.98% quarterly | JPY-TONA-OIS-COMPOUND quarterly | 06/19/08 | JPY 1,196,000 | 1 | |||||||||||||||||
Union Bank of Switzerland AG | 0.89% semi-annually | JPY-TONA-OIS-COMPOUND semi-annually | 11/10/08 | JPY 296,608 | (3 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 0.93% semi-annually | 6 month JPY LIBOR semi-annually | 11/24/08 | JPY 188,000 | (2 | ) |
AS OF FEBRUARY 28, 2007 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Union Bank of Switzerland AG | 6 month JPY LIBOR semi-annually | 0.95% semi-annually | 01/03/09 | JPY 85,000 | $ | — | (h) | |||||||||||||||
Union Bank of Switzerland AG | 0.92% semi-annually | 6 month JPY LIBOR semi-annually | 02/19/09 | JPY 219,000 | — | (h) | ||||||||||||||||
Union Bank of Switzerland AG | 6 month JPY LIBOR semi-annually | 0.94% semi-annually | 02/23/09 | JPY 201,000 | — | (h) | ||||||||||||||||
Union Bank of Switzerland AG | JPY-TONA-OIS-COMPOUND semi-annually | 1.89% semi-annually | 11/10/16 | JPY 64,000 | 9 | |||||||||||||||||
Union Bank of Switzerland AG | 6 month JPY LIBOR semi-annually | 1.85% semi-annually | 11/24/16 | JPY 40,000 | 4 | |||||||||||||||||
Union Bank of Switzerland AG | 5.13% semi-annually | 3 month LIBOR quarterly | 12/04/16 | $ | 1,000 | (2 | ) | |||||||||||||||
Union Bank of Switzerland AG | 5.14% semi-annually | 3 month LIBOR quarterly | 12/04/16 | 940 | (3 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 1.79% annually | 6 month EURIBOR semi-annually | 03/01/17 | JPY 18,000 | — | (h) | ||||||||||||||||
Union Bank of Switzerland AG | 6 month JPY LIBOR semi-annually | 1.88% semi-annually | 02/19/17 | JPY 47,000 | 4 | |||||||||||||||||
Union Bank of Switzerland AG | 1.84% semi-annually | 6 month JPY LIBOR semi-annually | 02/23/17 | JPY 43,000 | (2 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.23% semi-annually | 12/04/36 | $ | 505 | — | (h) | |||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.26% semi-annually | 12/04/36 | 490 | 2 | |||||||||||||||||
$ | (139 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Gazprom, 8.63%, 4/28/34 | Barclays Bank plc | Sell | 156 BPS semi-annually | 10/20/10 | $ | 1,000 | $ | 35 | ||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 208.5 BPS semi-annually | 09/20/11 | 280 | (3 | ) | |||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 303.5 BPS semi-annually | 10/20/10 | 800 | 45 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 338 BPS semi-annually | 10/20/10 | 300 | 21 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 400 BPS semi-annually | 10/20/10 | 100 | 9 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Bear Stearns | Buy | 103 BPS semi-annually | 12/20/11 | 140 | — | (h) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 108.5 BPS semi-annually | 12/20/11 | 400 | (3 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 350 | (3 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 261.5 BPS semi-annually | 10/20/10 | 800 | (56 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 119 BPS semi-annually | 09/20/11 | 140 | 2 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 120 BPS semi-annually | 09/20/11 | 140 | 2 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 290 BPS semi-annually | 10/20/10 | 300 | (25 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 335 BPS semi-annually | 10/20/10 | 100 | (10 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | 295 | (2 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 280 | (2 | ) | |||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 176.5 BPS quarterly | 09/20/11 | 400 | 12 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 185 BPS quarterly | 06/20/11 | 430 | 15 | ||||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 190 BPS quarterly | 09/20/11 | 400 | (14 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 199 BPS quarterly | 06/20/11 | 430 | (17 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Deutsche Bank AG, New York | Sell | 176 BPS semi-annually | 02/20/11 | 300 | (1 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 162 BPS semi-annually | 11/20/11 | 160 | 2 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 206 BPS semi-annually | 06/20/11 | 1,150 | 36 | ||||||||||||||||||||
Russian Agricultural Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 60 | — | (h) | |||||||||||||||||||
Russian Agricultural Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 610 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Barclays Bank plc | Buy | 77 BPS semi-annually | 10/20/10 | 1,000 | (15 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Bear Stearns | Sell | 45.5 BPS semi-annually | 12/20/11 | 280 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 60 | — | (h) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Buy | 53 BPS semi-annually | 02/20/11 | $ | 300 | $ | 5 | ||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 800 | 2 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 700 | 2 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Lehman Brothers Special Financing | Sell | 54 BPS semi-annually | 03/20/11 | 1,250 | 8 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 50 BPS semi-annually | 11/20/11 | 160 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 69 BPS semi-annually | 06/20/11 | 1,150 | (12 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 610 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 590 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 560 | — | (h) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 29 BPS semi-annually | 05/20/08 | 3,430 | (5 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Sell | 66.75 BPS semi-annually | 05/20/11 | 1,540 | 17 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Lehman Brothers Special Financing | Buy | 53 BPS semi-annually | 03/20/11 | 1,250 | (8 | ) | |||||||||||||||||||
VTB Capital Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 320 | — | (h) | |||||||||||||||||||
$ | 37 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (2) | FHLMC, 5.00%, 02/16/17 | $ | 99.71 | 03/20/07 | $ | 825 | $ | 7 | ||||||||||||||
Citibank, N.A. (2) | 10 Year U.S. Treasury Note, 4.63%, 02/15/17 | 99.46 | 03/14/07 | 992 | 11 | |||||||||||||||||
Citibank, N.A. (2) | 10 Year U.S. Treasury Note, 4.63%, 02/15/17 | 100.41 | 03/14/07 | 1,004 | — | (h) | ||||||||||||||||
Credit Suisse International (2) | U.S. Treasury TIPS, 2.00%, 01/15/26 | 96.03 | 03/29/07 | 3,535 | 18 | |||||||||||||||||
Credit Suisse International (2) | U.S. Treasury TIPS, 3.88%, 04/15/29 | 128.43 | 03/29/07 | 5,405 | 35 | |||||||||||||||||
Deutsche Bank AG, New York (2) | FHLMC, 5.75%, 06/27/16 | 103.69 | 03/29/07 | 555 | 7 | |||||||||||||||||
Morgan Stanley Capital Services (1) | Government of New Zealand, 6.00%, 04/15/15 | 100.10 | 03/06/07 | NZD 620 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York (2) | Government of Japan, 1.00%, 06/10/16 | 98.03 | 05/07/07 | JPY 19,000 | (1 | ) | ||||||||||||||||
Deutsche Bank AG, New York (1) | Government of Japan, 10 Year Bond, 1.90%, 06/20/16 | 101.72 | 05/07/07 | JPY 19,000 | — | (h) | ||||||||||||||||
$ | 75 |
(1) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(2) | Fund pays the excess of the price lock over the market price or 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) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. | National Bank of Republic of Kazakhstan 03/05/07 | National Bank of Republic of Kazakhstan 03/05/07 | 1 Month LIBOR | 03/05/07 | $ | 200 | $ | 2 | ||||||||||||||||||
Morgan Stanley Capital Services | OGK/Rushydro’s 12/13/13 | OGK/Rushydro’s 12/13/13 | 3 Month LIBOR + 20 BPS | 12/25/10 | 500 | 8 | ||||||||||||||||||||
$ | 10 |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 96.2% | |||||||||||
Asset-Backed Securities — 19.9% | |||||||||||
2,374 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.82%, 02/15/12 (e) (m) | 2,379 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
3,469 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 3,415 | |||||||||
6,056 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 6,035 | |||||||||
269 | Asset Backed Funding Corp. NIM Trust (Cayman Islands), Series 2005-WMC1, Class N1, 5.90%, 07/26/35 (e) (m) | 268 | |||||||||
4,158 | Asset Backed Securities Corp. Home Equity, Series 2006-HE5, Class M2, FRN, 5.62%, 07/25/36 (m) | 4,161 | |||||||||
3,500 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 5.55%, 11/15/11 (m) | 3,502 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
837 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 829 | |||||||||
5,500 | Series 2006-B, Class A3A, 5.45%, 02/15/11 (m) | 5,521 | |||||||||
12,000 | Series 2006-C, Class A3A, 5.07%, 07/15/11 (m) | 12,003 | |||||||||
4,650 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 4,619 | |||||||||
6,600 | Capital One Prime Auto Receivables Trust, Series 2006-2, Class A4, 4.94%, 07/15/12 (m) | 6,598 | |||||||||
CARSS Finance LP (Cayman Islands), | |||||||||||
69 | Series 2004-A, Class B1, FRN, 5.60%, 01/15/11 (e) (m) | 69 | |||||||||
77 | Series 2004-A, Class B2, FRN, 6.27%, 01/15/11 (e) (m) | 77 | |||||||||
5,600 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 5.54%, 01/09/12 (m) | 5,600 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
5,650 | Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 5,591 | |||||||||
10,250 | Series 2006-WFH2, Class A2A, FRN, 5.47%, 08/25/36 (m) | 10,255 | |||||||||
4,200 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 4,166 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
4,900 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 4,854 | |||||||||
3,750 | Series 2006-3, Class 2A2, FRN, 5.50%, 06/25/36 (m) | 3,756 | |||||||||
9,000 | Series 2006-11, Class 1AF2, VAR, 6.02%, 09/25/46 (m) | 9,065 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, | |||||||||||
5,450 | Series 2006-FF4, Class A2, FRN, 5.51%, 03/25/36 (m) | 5,459 | |||||||||
6,000 | Series 2006-FF11, Class 2A3, FRN, 5.47%, 08/25/36 (m) | 6,005 | |||||||||
12,000 | Ford Credit Auto Owner Trust, Series 2006-C, Class A3, 5.16%, 11/15/10 (m) | 12,036 | |||||||||
12,000 | GE-WMC Mortgage Securities LLC, Series 2006-1, Class A2B, FRN, 5.47%, 08/25/36 (m) | 12,003 | |||||||||
9,885 | GS Auto Loan Trust, Series 2006-1, Class A3, 5.37%, 12/15/10 (m) | 9,923 | |||||||||
9,000 | GSAA Trust, Series 2006-11, Class 2A2, FRN, 5.48%, 07/25/36 (m) | 9,005 | |||||||||
7,000 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 5.50%, 02/25/36 (m) | 7,010 | |||||||||
9,500 | Holmes Master Issuer plc (United Kingdom), Series 2006-1A, Class 2A, FRN, 5.42%, 07/15/21 (e) (m) | 9,500 | |||||||||
6,550 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 5.50%, 07/25/36 (m) | 6,563 | |||||||||
Household Automotive Trust, | |||||||||||
1,152 | Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 1,139 | |||||||||
9,000 | Series 2006-2, Class A3, 5.61%, 08/17/11 (m) | 9,081 | |||||||||
7,000 | Series 2006-3, Class A3, 5.28%, 09/17/11 (m) | 7,036 | |||||||||
HSI Asset Securitization Corp. Trust, | |||||||||||
8,300 | �� | Series 2006-OPT1, Class 2A3, FRN, 5.51%, 12/25/35 (m) | 8,318 | ||||||||
8,650 | Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 8,667 | |||||||||
7,100 | Hyundai Auto Receivables Trust, Series 2006-B, Class A3, 5.11%, 04/15/11 (m) | 7,113 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
4,000 | Series 2004-3, Class M1, FRN, 5.89%, 07/25/34 (m) | 4,031 | |||||||||
8,850 | Series 2006-2, Class 2A3, FRN, 5.51%, 03/25/36 (m) | 8,868 | |||||||||
2,400 | Series 2006-5, Class M1, FRN, 5.60%, 06/25/36 (m) | 2,388 | |||||||||
2,000 | Series 2006-5, Class M2, FRN, 5.62%, 06/25/36 (m) | 1,994 | |||||||||
4,500 | Series 2006-8, Class 2A3, FRN, 5.48%, 09/25/36 (m) | 4,501 | |||||||||
2,551 | Series 2006-8, Class M2, FRN, 5.63%, 09/25/36 (m) | 2,551 | |||||||||
1,500 | Series 2006-9, Class M2, FRN, 5.63%, 10/25/36 (m) | 1,500 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
7,250 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 7,263 | |||||||||
4,300 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 5.52%, 01/25/37 (m) | 4,302 | |||||||||
1,750 | Morgan Stanley ABS Capital I, Series 2006-HE6, Class M2, FRN, 5.62%, 09/25/36 (m) | 1,750 | |||||||||
3,903 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 3,868 | |||||||||
1,472 | Onyx Acceptance Grantor Trust, Series 2003-D, Class A4, 3.20%, 03/15/10 (m) | 1,457 | |||||||||
6,200 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 5.52%, 02/25/36 | 6,209 | |||||||||
8,000 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 5.51%, 03/25/36 (m) | 8,005 | |||||||||
6,150 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 5.50%, 12/25/35 | 6,158 | |||||||||
6,000 | Structured Asset Securities Corp., Series 2006-WF2, Class M2, FRN, 5.61%, 07/25/36 | 6,005 | |||||||||
Triad Auto Receivables Owner Trust, | |||||||||||
2,047 | Series 2003-B, Class A4, 3.20%, 12/13/10 | 2,016 | |||||||||
8,000 | Series 2006-C, Class A3, 5.26%, 11/14/11 | 8,026 | |||||||||
10,000 | USAA Auto Owner Trust, Series 2006-4, Class A3, 5.01%, 06/15/11 | 10,005 | |||||||||
6,500 | Volkswagen Auto Lease Trust, Series 2006-4, Class A3, 5.50%, 09/20/09 | 6,537 | |||||||||
1,099 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 | 1,087 | |||||||||
11,500 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A4, 5.08%, 04/20/12 (e) | 11,521 | |||||||||
5,000 | Wells Fargo Home Equity Trust, Series 2006-2, Class M1, FRN, 5.59%, 07/25/36 | 4,996 | |||||||||
2,018 | World Omni Auto Receivables Trust, Series 2003-B, Class A4, 2.87%, 11/15/10 | 1,996 | |||||||||
Total Asset-Backed Securities (Cost $328,238) | 328,655 | ||||||||||
Collateralized Mortgage Obligations — 12.3% | |||||||||||
Agency CMO — 3.6% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
47,415 | Series 239, Class S30, IF, IO, 2.38%, 08/01/36 (m) | 3,856 | |||||||||
43,346 | Series 240, Class S22, IF, IO, 1.83%, 07/01/36 (m) | 3,373 | |||||||||
9,097 | Series 2564, Class LS, IF, IO, 2.33%, 01/15/17 (m) | 437 | |||||||||
9,369 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 241 | |||||||||
4,796 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 494 | |||||||||
5,315 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 203 | |||||||||
1,284 | Series 2780, Class IE, IO, 4.50%, 05/15/11 (m) | 5 | |||||||||
1,402 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 68 | |||||||||
22,677 | Series 2791, Class SI, IF, IO, 1.83%, 12/15/31 (m) | 1,361 | |||||||||
9,210 | Series 2813, Class SB, IF, IO, 1.73%, 02/15/34 (m) | 578 | |||||||||
11,300 | Series 2814, Class S, IF, IO, 1.78%, 10/15/30 (m) | 426 | |||||||||
13,287 | Series 2850, Class SM, IF, IO, 1.83%, 12/15/30 (m) | 545 | |||||||||
9,096 | Series 2852, IO, 5.00%, 11/15/25 (m) | 752 | |||||||||
8,137 | Series 2894, Class S, IF, IO, 1.88%, 03/15/31 (m) | 427 | |||||||||
10,488 | Series 2980, Class LI, IO, 5.50%, 04/15/25 (m) | 819 | |||||||||
17,663 | Series 3126, Class BS, IF, IO, 1.88%, 02/15/36 (m) | 1,492 | |||||||||
Federal National Mortgage Association, | |||||||||||
23,040 | Series 367, Class 2, IO, 5.50%, 01/01/36 (m) | 5,210 | |||||||||
2,480 | Series 2003-3, Class HS, IF, IO, 2.33%, 09/25/16 (m) | 111 | |||||||||
12,233 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 570 | |||||||||
4,513 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 342 | |||||||||
11,200 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 11,365 | |||||||||
4,212 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 4,278 | |||||||||
10,058 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 10,211 | |||||||||
11,671 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 11,849 | |||||||||
Government National Mortgage Association, | |||||||||||
22,984 | Series 2003-85, Class CS, IF, IO, 1.88%, 02/20/24 (m) | 722 | |||||||||
700 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 20 | |||||||||
9,752 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 481 | |||||||||
316 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 4 | |||||||||
60,240 | |||||||||||
Non-Agency CMO — 8.7% | |||||||||||
317 | ABN AMRO Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 315 | |||||||||
3,391 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 3,391 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
4,668 | Banc of America Funding Corp. , Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 4,662 | |||||||||
1,906 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) | 1,897 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
10,001 | Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 10,031 | |||||||||
14,665 | Series 2005-J14, Class A3, 5.50%, 12/25/35 (m) | 14,618 | |||||||||
8,412 | Countrywide Home Loan Mortgage Pass-Through Trust , Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 8,297 | |||||||||
13,525 | First Horizon Alternative Mortgage Securities, Series 2006-FA4, Class 1A1, 6.00%, 08/25/36 (m) | 13,538 | |||||||||
4,494 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 4,480 | |||||||||
4,363 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 4,380 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
4,539 | Series 2005-QS17, Class A10, 6.00%, 12/25/35 | 4,558 | |||||||||
8,914 | Series 2006-QS10, Class 1A1, 6.00%, 08/25/36 (m) | 8,976 | |||||||||
13,771 | Series 2006-QS16, Class A7, 6.00%, 11/25/36 (m) | 13,818 | |||||||||
3,581 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 | 3,592 | |||||||||
6,174 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 | 6,145 | |||||||||
6,196 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.98%, 06/25/34 | 6,165 | |||||||||
10,261 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 10,252 | |||||||||
8,519 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1, 6.00%, 07/25/36 | 8,526 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
3,595 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 3,556 | |||||||||
1,811 | Series 2004-F, Class A8, FRN, 4.73%, 06/25/34 | 1,789 | |||||||||
10,399 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 10,348 | |||||||||
143,334 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $204,931) | 203,574 | ||||||||||
Commercial Mortgage-Backed Securities — 11.2% | |||||||||||
2,050 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%,11/10/41 (m) | 2,006 | |||||||||
16,939 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 16,776 | |||||||||
9,650 | Credit Suisse Mortgage Capital Certificates, Series 2006-C1, Class A2, VAR, 5.51%, 02/15/39 (m) | 9,762 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
7,650 | Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) | 8,016 | |||||||||
11,500 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 11,929 | |||||||||
4,800 | Series 2002-CKN2, Class A3, 6.13%,04/15/37 (m) | 5,004 | |||||||||
6,200 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 6,081 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
4,500 | Series 2003-C1, Class A2, 3.29%, 07/05/35 (m) | 4,329 | |||||||||
4,100 | Series 2005-GG3, Class A2, 4.31%,08/10/42 (m) | 4,019 | |||||||||
8,100 | Series 2007-GG9, Class A2, 5.38%, 03/10/39 | 8,140 | |||||||||
11,850 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%,08/10/38 (m) | 11,707 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
5,000 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 4,904 | |||||||||
11,000 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 10,750 | |||||||||
2,300 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 2,221 | |||||||||
11,800 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 11,478 | |||||||||
1,800 | Series 2006-C1, Class A2, 5.08%, 02/15/31 (m) | 1,801 | |||||||||
10,600 | Series 2006-C6, Class A2, 5.26%, 09/15/39 (m) | 10,665 | |||||||||
13,000 | Series 2007-C1, Class A2, 5.32%, 02/15/40 (m) | 13,061 | |||||||||
Merrill Lynch Mortgage Trust, | |||||||||||
2,550 | Series 2005-CKI1, Class A2, VAR, 5.22%, 11/12/37 (m) | 2,566 | |||||||||
10,000 | Series 2006-C1, Class A2, VAR, 5.61%, 05/12/39 (m) | 10,207 | |||||||||
Morgan Stanley Capital I, | |||||||||||
9,355 | Series 1998-HF2, Class A2, 6.48%, 11/15/30 (m) | 9,459 | |||||||||
6,400 | Series 2006-T21, Class A2, 5.09%, 10/12/52 (m) | 6,397 | |||||||||
5,000 | Series 2006-T23, Class A2, VAR, 5.74%, 08/12/41 (m) | 5,134 | |||||||||
9,200 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 9,113 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $186,300) | 185,525 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Corporate Bonds — 31.6% | |||||||||||
Air Freight & Logistics — 0.3% | |||||||||||
3,950 | FedEx Corp., FRN, 5.44%, 08/08/07 (m) | 3,954 | |||||||||
Auto Components — 0.2% | |||||||||||
2,463 | TRW Automotive, Inc., 9.38%, 02/15/13 | 2,645 | |||||||||
Automobiles — 0.5% | |||||||||||
DaimlerChrysler NA Holding Corp., | |||||||||||
3,000 | 5.75%, 05/18/09 (m) | 3,028 | |||||||||
5,300 | 5.75%, 09/08/11 (m) | 5,373 | |||||||||
8,401 | |||||||||||
Beverages — 0.3% | |||||||||||
5,400 | Miller Brewing Co., 4.25%, 08/15/08 (e) (m) | 5,321 | |||||||||
Capital Markets — 4.6% | |||||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
9,850 | 5.30%, 02/14/12 (m) | 9,910 | |||||||||
3,000 | FRN, 5.45%, 12/23/09 (m) | 3,001 | |||||||||
3,300 | FRN, 5.46%, 06/23/09 (m) | 3,302 | |||||||||
8,900 | Series B, FRN, 5.46%, 12/22/08 (m) | 8,912 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
4,000 | 7.88%, 08/15/10 (m) | 4,325 | |||||||||
18,000 | FRN, 5.46%, 11/16/09 (m) | 18,006 | |||||||||
16,200 | Links Finance LLC, FRN, 5.61%, 09/15/08 (e) (i) | 16,213 | |||||||||
10,000 | Merrill Lynch & Co., Inc., FRN, 5.45%, 08/14/09 (m) | 10,006 | |||||||||
2,270 | Morgan Stanley, Series G, FRN, 5.47%, 02/09/09 (m) | 2,274 | |||||||||
75,949 | |||||||||||
Chemicals — 0.4% | |||||||||||
2,153 | Huntsman International LLC, 9.88%, 03/01/09 | 2,206 | |||||||||
4,000 | Huntsman LLC, 11.50%, 07/15/12 (m) | 4,480 | |||||||||
6,686 | |||||||||||
Commercial Banks — 5.5% | |||||||||||
4,300 | Artesia Bank S.C. (Belgium), 7.25% to 09/17/07; thereafter VAR, 09/29/49 (e) (m) | 4,342 | |||||||||
6,900 | BAC Capital Trust XIV, 5.63% to 03/15/12; thereafter VAR, 12/31/49 (m) | 6,968 | |||||||||
5,750 | BNP US Funding LLC, 7.74% to 12/05/07; thereafter VAR, 12/31/49 (e) (m) | 5,835 | |||||||||
3,350 | Citibank Korea, Inc. (South Korea), Series E, VAR, 4.68%, 06/18/13 | 3,385 | |||||||||
5,100 | DBS Capital Funding Corp. (Cayman Islands), 7.66% to 03/15/11; thereafter VAR, 03/31/49 (e) (m) | 5,532 | |||||||||
2,050 | Deutsche Bank Capital Funding Trust I, 7.87% to 06/30/09; thereafter VAR, 12/29/49 (e) (m) | 2,163 | |||||||||
2,800 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 2,923 | |||||||||
1,700 | Hana Bank (South Korea), Series E, 4.13%, 03/11/09 | 1,666 | |||||||||
2,000 | HSBC Capital Funding LP/Jersey Channel Islands, 9.55% to 06/30/10; thereafter VAR, 12/29/49 (e) (m) | 2,252 | |||||||||
7,000 | ICICI Bank Ltd. (Singapore), 5.75%, 11/16/10 (e) (m) | 7,072 | |||||||||
2,000 | KBC Bank Funding Trust III, 9.86% to 11/02/29; thereafter VAR, 11/29/49 (e) (m) | 2,223 | |||||||||
Landsbanki Islands HF (Iceland), | |||||||||||
2,750 | 6.10%, 08/25/11 (e) (m) | 2,847 | |||||||||
2,700 | FRN, 6.06%, 08/25/09 (e) (m) | 2,720 | |||||||||
5,650 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 5,684 | |||||||||
950 | Royal Bank of Scotland Group plc ADR (United Kingdom), Series I, 9.12%, 03/31/49 | 1,053 | |||||||||
3,500 | Santander US Debt SA Unipersonal (Spain), FRN, 5.43%, 11/20/09 (e) | 3,501 | |||||||||
1,200 | Shinhan Bank (South Korea), VAR, 4.63%, 11/03/14 (e) (m) | 1,175 | |||||||||
1,000 | SunTrust Preferred Capital I, 5.85% to 12/15/11; thereafter VAR, 12/31/49 | 1,020 | |||||||||
4,950 | Svenska Handelsbanken AB (Sweden), 7.13% to 09/07/07; thereafter VAR, 03/29/49 (e) | 4,956 | |||||||||
2,000 | Unicredito Italiano Capital Trust II, 9.20% to 10/05/10; thereafter VAR, 10/29/49 (e) | 2,252 | |||||||||
VTB Capital S.A. for Vneshtorgbank (Luxembourg), | |||||||||||
3,100 | FRN, 5.96%, 08/01/08 (e) | 3,103 | |||||||||
5,200 | FRN, 6.12%, 09/21/07 (e) (m) | 5,207 | |||||||||
9,100 | Wachovia Capital Trust III, 5.80% to 03/15/11; thereafter VAR, 03/15/42 | 9,252 | |||||||||
Woori Bank (South Korea), | |||||||||||
800 | Series E, VAR, 4.88%, 07/02/13 | 793 | |||||||||
1,430 | VAR, 5.75%, 03/13/14 (e) | 1,446 | |||||||||
89,370 | |||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||
2,500 | Allied Waste North America, Inc., Series B, 8.50%, 12/01/08 (m) | 2,625 | |||||||||
1,830 | Corrections Corp. of America, 7.50%, 05/01/11 (m) | 1,885 | |||||||||
4,510 |
AS OF FEBRUARy 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Consumer Finance — 1.5% | |||||||||||
2,700 | Capital One Financial Corp., 5.70%, 09/15/11 (m) | 2,745 | |||||||||
4,000 | Ford Motor Credit Co., 7.38%, 10/28/09 (m) | 4,030 | |||||||||
3,350 | GMAC LLC, 5.85%, 01/14/09 (m) | 3,323 | |||||||||
7,000 | HSBC Finance Corp., FRN, 5.64%, 11/16/09 (m) | 7,044 | |||||||||
7,400 | International Lease Finance Corp., 5.35%, 03/01/12 (m) | 7,448 | |||||||||
24,590 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
2,242 | Owens Brockway Glass Container, Inc., 8.88%, 02/15/09 (m) | 2,292 | |||||||||
Diversified Consumer Services — 0.1% | |||||||||||
2,300 | Service Corp. International, 7.70%, 04/15/09 | 2,386 | |||||||||
Diversified Financial Services — 7.1% | |||||||||||
4,420 | Alamosa Delaware, Inc., 11.00%, 07/31/10 (m) | 4,741 | |||||||||
CIT Group, Inc., | |||||||||||
3,300 | 5.40%, 02/13/12 (m) | 3,326 | |||||||||
7,300 | 5.75%, 09/25/07 (m) | 7,319 | |||||||||
1,850 | FRN, 5.49%, 08/17/09 (m) | 1,853 | |||||||||
11,000 | FRN, 5.51%, 01/30/09 (m) | 11,021 | |||||||||
Counts Trust, | |||||||||||
7,450 | Series 2002-10, FRN, 6.14%, 08/15/07 (e) (i) | 7,472 | |||||||||
7,450 | Series 2002-11, FRN, 6.19%, 08/15/07 (e) (i) | 7,470 | |||||||||
1,900 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) | 1,928 | |||||||||
K2 Corp., | |||||||||||
9,500 | 5.37%, 02/15/09 (i) | 9,500 | |||||||||
1,000 | 5.37%, 02/15/10 (m) | 1,000 | |||||||||
4,400 | Kaupthing Bank HF (Iceland), 5.75%, 10/04/11 (e) (m) | 4,475 | |||||||||
4,396 | Mizuho JGB Investment LLC, 9.87% to 06/30/08; thereafter VAR, 12/29/49 (e) (m) | 4,640 | |||||||||
2,000 | Mizuho Preferred Capital Co. LLC, 8.79% to 06/30/08; thereafter VAR, 12/29/49 (e) (m) | 2,087 | |||||||||
10,540 | Natexis Ambs Co. LLC, 8.44% to 6/30/08; thereafter VAR, 12/29/49 (e) (m) | 10,954 | |||||||||
4,000 | Pemex Finance Ltd. (Cayman Islands), 8.88%, 11/15/10 (m) | 4,314 | |||||||||
5,100 | Premium Asset Trust, 4.13%, 03/12/09 (e) (m) | 4,775 | |||||||||
12,100 | RACERS, FRN, 5.36%, 09/20/07 (e) (i) | 12,096 | |||||||||
6,600 | Sigma Finance Corp. (Cayman Islands), FRN, 5.43%, 09/15/08 (e) (i) | 6,600 | |||||||||
1,700 | Tokai Preferred Capital Co. LLC, 9.98% to 06/30/08; thereafter VAR, 12/29/49 (e) | 1,796 | |||||||||
1,600 | Two-Rock Pass-Through Trust (Bermuda), 6.30% to 02/11/10; thereafter FRN, 12/31/49 (e) | 1,574 | |||||||||
4,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 5.71%, 11/13/09 (e) | 4,303 | |||||||||
4,250 | ZFS Finance USA Trust, VAR, 6.15%, 12/15/65 (e) | 4,346 | |||||||||
117,590 | |||||||||||
Diversified Telecommunication Services — 0.5% | |||||||||||
1,500 | Qwest Communications International, Inc., FRN, 8.86%, 02/15/09 | 1,515 | |||||||||
2,500 | Qwest Corp., 7.88%, 09/01/11 (m) | 2,653 | |||||||||
4,650 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 | 4,779 | |||||||||
8,947 | |||||||||||
Electric Utilities — 0.9% | |||||||||||
Appalachian Power Co., | |||||||||||
1,450 | 5.55%, 04/01/11 (m) | 1,464 | |||||||||
2,640 | Series G, 3.60%, 05/15/08 (m) | 2,593 | |||||||||
6,050 | FPL Group Capital, Inc. , Series B, 5.55%, 02/16/08 (m) | 6,068 | |||||||||
5,200 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 5,200 | |||||||||
15,325 | |||||||||||
Food & Staples Retailing — 0.3% | |||||||||||
4,800 | CVS Corp., 4.00%, 09/15/09 (m) | 4,666 | |||||||||
Food Products — 0.6% | |||||||||||
2,400 | Dean Foods Co., 6.63%, 05/15/09 (m) | 2,442 | |||||||||
7,650 | Tate & Lyle International Finance plc (United Kingdom), 5.00%, 11/15/14 (e) | 7,388 | |||||||||
9,830 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
1,700 | Southern Natural Gas Co., 8.88%, 03/15/10 | 1,775 | |||||||||
Health Care Equipment & Supplies — 0.2% | |||||||||||
2,500 | Fresenius Medical Care Capital Trust II (Germany), 7.88%, 02/01/08 (m) | 2,544 | |||||||||
Hotels, Restaurants & Leisure — 0.3% | |||||||||||
2,515 | MGM Mirage, Inc., 6.00%, 10/01/09 (m) | 2,512 | |||||||||
2,650 | Starwood Hotels & Resorts Worldwide, Inc., 7.38%, 05/01/07 (m) | 2,656 | |||||||||
5,168 | |||||||||||
Insurance — 0.5% | |||||||||||
8,450 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 8,496 | |||||||||
Media — 2.6% | |||||||||||
Comcast Cable Communications, Inc., | |||||||||||
2,600 | 6.20%, 11/15/08 (m) | 2,646 | |||||||||
3,200 | 6.75%, 01/30/11 (m) | 3,375 | |||||||||
9,800 | COX Communications, Inc., 4.63%, 01/15/10 (m) | 9,666 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Media — Continued | |||||||||||
Dex Media East LLC/Dex Media East Finance Co., | |||||||||||
4,000 | 9.88%, 11/15/09 (m) | 4,190 | |||||||||
850 | 12.13%, 11/15/12 (m) | 932 | |||||||||
2,850 | Echostar DBS Corp., 5.75%, 10/01/08 (m) | 2,850 | |||||||||
2,000 | RH Donnelley, Inc., 10.88%, 12/15/12 (m) | 2,170 | |||||||||
4,100 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 | 4,197 | |||||||||
9,100 | Time Warner, Inc., 5.50%, 11/15/11 | 9,203 | |||||||||
4,000 | Viacom, Inc., 5.75%, 04/30/11 | 4,065 | |||||||||
43,294 | |||||||||||
Multi-Utilities — 0.7% | |||||||||||
Dominion Resources, Inc., | |||||||||||
2,000 | Series 2006-B, VAR, 6.30%, 09/30/66 (m) | 2,038 | |||||||||
4,300 | Series A, SUB, 5.69%, 05/15/08 (m) | 4,322 | |||||||||
5,500 | MidAmerican Energy Holdings Co., 7.52%, 09/15/08 (m) | 5,674 | |||||||||
12,034 | |||||||||||
Oil, Gas & Consumable Fuels — 1.5% | |||||||||||
6,200 | Pemex Project Funding Master Trust, FRN, 6.66%, 06/15/10 (e) (m) | 6,364 | |||||||||
14,200 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 14,271 | |||||||||
4,000 | Salomon Brothers AG for OAO Gazprom (Germany), 9.13%, 04/25/07 (m) | 4,020 | |||||||||
24,655 | |||||||||||
Real Estate Investment Trusts (REITs) — 1.1% | |||||||||||
iStar Financial, Inc., | |||||||||||
1,450 | 5.38%, 04/15/10 (m) | 1,449 | |||||||||
10,900 | 5.95%, 10/15/13 (e) (m) | 11,068 | |||||||||
6,138 | Series B, 4.88%, 01/15/09 (m) | 6,092 | |||||||||
18,609 | |||||||||||
Real Estate Management & Development — 0.6% | |||||||||||
9,450 | Socgen Real Estate LLC, 7.64% to 09/30/07; thereafter VAR, 12/29/49 (e) | 9,573 | |||||||||
Thrifts & Mortgage Finance — 0.8% | |||||||||||
4,000 | Washington Mutual Bank, FRN, 5.45%, 05/01/09 | 4,002 | |||||||||
9,100 | Washington Mutual Preferred Funding Delaware, 6.53% to 03/15/11; thereafter VAR, 03/29/49 (e) | 9,171 | |||||||||
13,173 | |||||||||||
Total Corporate Bonds (Cost $521,451) | 521,783 | ||||||||||
Foreign Government Securities — 2.0% | |||||||||||
EUR 1,550 | Bundesrepublik Deutschland (Germany), 4.00%, 01/04/37 | 2,018 | |||||||||
$7,250 | Government of Chile (Chile), FRN, 5.76%, 01/28/08 (m) | 7,268 | |||||||||
3,170 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 3,210 | |||||||||
11,300 | Province of Manitoba (Canada), 4.90%, 12/06/16 (m) | 11,245 | |||||||||
2,837 | Republic of Colombia (Colombia), 9.75%, 04/09/11 (m) | 3,079 | |||||||||
2,215 | Russian Federation (Russia), 10.00%, 06/26/07 (e) | 2,244 | |||||||||
3,400 | United Mexican States (Mexico), FRN, 6.06%, 01/13/09 | 3,424 | |||||||||
Total Foreign Government Securities (Cost $32,597) | 32,488 | ||||||||||
Mortgage Pass-Through Securities — 17.6% | |||||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
685 | 7.00%, 06/01/26 (m) | 707 | |||||||||
86,666 | 7.00%, 08/01/31 – 10/01/36 (m) | 89,153 | |||||||||
39,130 | TBA, 5.00%, 03/25/36 | 37,981 | |||||||||
117,300 | TBA, 6.00%, 03/25/21 – 04/25/37 | 118,603 | |||||||||
3,000 | TBA, 6.50%, 04/25/37 | 3,057 | |||||||||
41,100 | TBA, 7.00%, 03/25/36 | 42,230 | |||||||||
Total Mortgage Pass-Through Securities (Cost $290,833) | 291,731 | ||||||||||
U.S. Treasury Obligations — 0.8% | |||||||||||
1,700 | U.S. Treasury Bonds, 4.50%, 02/15/36 (m) | 1,649 | |||||||||
10,907 | U.S. Treasury Inflation Indexed Notes, 2.38%, 01/15/17 | 11,093 | |||||||||
Total U.S. Treasury Obligations (Cost $12,695) | 12,742 | ||||||||||
SHARES | |||||||||||
Preferred Stocks — 0.8% | |||||||||||
Diversified Financial Services — 0.4% | |||||||||||
7 | Pinto Totta International Finance VAR, 7.77%, 08/01/07 (e) (m) | 6,783 | |||||||||
Electric Utilities — 0.2% | |||||||||||
3,000 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) | 3,012 | |||||||||
Oil, Gas & Consumable Fuels — 0.2% | |||||||||||
3,600 | Valero Energy Corp. 3.50%, 04/01/09 | 3,486 | |||||||||
Total Preferred Stocks (Cost $14,024) | 13,281 | ||||||||||
Total Long-Term Investments (Cost $1,591,069) | 1,589,779 |
AS OF FEBRUARY 28, 2007 (continued)
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.6% | |||||||||||
Call Options Purchased — 0.2% | |||||||||||
25 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 2 | |||||||||
46 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $95.00, American Style | — | (h) | ||||||||
298 | 90 Day Eurodollar Future, Expiring 04/13/07 @ $94.88, American Style | 34 | |||||||||
176 | 90 Day Eurodollar Future, Expiring 09/17/07 @ $95.75, American Style | 9 | |||||||||
900 | U.S. 10 Year Treasury Note Future Expiring 05/25/07 @ $110.00, American Style | 352 | |||||||||
NOTIONAL AMOUNT($) | |||||||||||
33,000 | FNMA, 30 Year Fixed, 5.50%, TBA, Expiring 04/05/07 @ $99.79, American Style | 192 | |||||||||
46,729 | U.S. 10 Year Treasury Note Future Expiring 05/07/07 @ $101.61, American Style | 228 | |||||||||
Call Options Purchased on Interest Rate Swaps: | |||||||||||
125,450 | Expiring 11/02/09. If exercised the Fund receives 4.49% and pays floating 3 month LIBOR expiring 11/04/19, European Style | 1,962 | |||||||||
Total Call Options Purchased | 2,779 | ||||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 0.4% | |||||||||||
11,845 | Expiring 03/02/07. If exercised the Fund pays/receives 5.31% and receives/pays floating 3 month LIBOR expiring 03/06/17, European Style | 198 | |||||||||
11,845 | Expiring 03/13/07. If exercised the Fund pays/receives 5.33% and receives/pays floating 3 month LIBOR expiring 03/15/17, European Style | 223 | |||||||||
9,860 | Expiring 03/16/07. If exercised the Fund pays/receives 5.19% and receives/pays floating 3 month LIBOR expiring 03/20/17, European Style | 115 | |||||||||
12,185 | Expiring 03/27/07. If exercised the Fund pays/receives 5.10% and receives/pays floating 3 month LIBOR expiring 03/29/17, European Style | 159 | |||||||||
150,630 | Expiring 04/10/07. If exercised the Fund pays/receives 4.88% and receives/pays floating 3 month LIBOR expiring 04/12/08, European Style | 442 | |||||||||
89,415 | Expiring 06/01/07. If exercised the Fund pays/receives 4.74% and receives/pays floating 3 month LIBOR expiring 06/05/08, European Style | 323 | |||||||||
60,252 | Expiring 01/03/08. If exercised the Fund pays/receives 4.89% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 310 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver/Payer Straddles on Interest Rate Swaps — Continued | ||||||||||
60,252 | Expiring 01/03/08. If exercised the Fund pays/receives 4.95% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 312 | ||||||||
91,797 | Expiring 01/04/08. If exercised the Fund pays/receives 4.84% and receives/pays floating 3 month LIBOR expiring 01/08/09, European Style | 473 | ||||||||
63,090 | Expiring 01/07/08. If exercised the Fund pays/receives 4.94% and receives/pays floating 3 month LIBOR expiring 01/09/09, European Style | 329 | ||||||||
140,365 | Expiring 01/22/08. If exercised the Fund pays/receives 5.12% and receives/pays floating 3 month LIBOR expiring 01/24/09, European Style | 812 | ||||||||
88,300 | Expiring 10/02/08. If exercised the Fund pays/receives 4.46% and receives/pays floating 3 month LIBOR expiring 10/06/18, European Style | 903 | ||||||||
10,677 | Expiring 01/03/14. If exercised the Fund pays/receives 5.42% and receives/pays floating 3 month LIBOR expiring 01/07/24, European Style | 904 | ||||||||
8,545 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 497 | ||||||||
10,680 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 622 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 6,622 | |||||||||
NUMBER OF CONTRACTS | ||||||||||
Put Options Purchased — 0.0% (g) | ||||||||||
286 | 30 Day Federal Funds Future, Expiring 04/30/07 @ $94.75, American Style | 6 | ||||||||
79 | 90 Day Eurodollar Future, Expiring 09/17/07 @ $95.00, American Style | 35 | ||||||||
196 | 90 Day Eurodollar Future, Expiring 12/17/07 @ $94.75, American Style | 37 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Put Options Purchased — Continued | |||||||||||
54,000 | FNMA, 30 Year Fixed, 5.50%, TBA, Expiring 04/05/07 @ $98.00, American Style | 26 | |||||||||
27,000 | FNMA, 30 Year Fixed, 5.50%, TBA, Expiring 04/05/07 @ $98.92, American Style | 62 | |||||||||
Put Options Purchased on Interest Rate Swaps: | |||||||||||
155,505 | Expiring 04/26/07. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 04/25/08, European Style | 63 | |||||||||
72,900 | Expiring 05/01/07. If exercised the Fund pays 5.54% and receives floating 3 month LIBOR expiring 05/03/12, European Style | 20 | |||||||||
43,715 | Expiring 05/08/07. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 05/10/12, European Style | 19 | |||||||||
73,795 | Expiring 05/16/07. If exercised the Fund pays 5.41% and receives floating 3 month LIBOR expiring 05/18/12, European Style | 63 | |||||||||
31,855 | Expiring 06/15/07. If exercised the Fund pays 4.91% and receives floating 3 month LIBOR expiring 06/19/08, European Style | 66 | |||||||||
25,376 | Expiring 02/16/10. If exercised the Fund pays 5.85% and receives floating 3 month LIBOR expiring 02/18/20, European Style | 471 | |||||||||
Total Put Options Purchased | 868 | ||||||||||
Total Options Purchased (Cost $11,626) | 10,269 | ||||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Short-Term Investments — 15.0% | |||||||||||
Commercial Paper — 6.4% | |||||||||||
15,250 | Countrywide Financial Corp., 5.31%, 03/01/07 (m) (n) | 15,248 | |||||||||
20,000 | Galleon Capital LLC, 5.28%, 03/08/07 (m) (n) | 19,976 | |||||||||
3,500 | General Electric Capital Corp., 5.30%, 05/21/07 (m) (n) | 3,459 | |||||||||
7,700 | Lexington Parker Capital Corp., 5.30%, 05/22/07 (m) (n) | 7,607 | |||||||||
20,000 | Picaros Funding LLC, 5.28%, 03/12/07 (m) (n) | 19,965 | |||||||||
30,000 | Solitaire Funding Ltd., 5.29%, 03/01/07 (m) (n) | 29,996 | |||||||||
10,000 | UBS Finance Delaware LLC, 5.31%, 06/08/07 (m) (n) | 9,856 | |||||||||
Total Commercial Paper (Cost $106,121) | 106,107 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 8.4% | ||||||||||
139,256 | JPMorgan Prime Money Market Fund (b) (m) (Cost $139,256) | 139,256 | ||||||||
PRINCIPAL AMOUNT($) | ||||||||||
U.S. Treasury Securities — 0.2% | ||||||||||
U.S. Treasury Bills, | ||||||||||
3,275 | 4.90%, 03/08/07 (k) (m) (n) | 3,272 | ||||||||
150 | 5.07%, 05/24/07 (m) (n) | 148 | ||||||||
Total U.S. Treasury Securities (Cost $3,420) | 3,420 | |||||||||
Total Short-Term Investments (Cost $248,797) | 248,783 | |||||||||
Total Investments — 111.8% (Cost $1,851,492) | 1,848,831 | |||||||||
Liabilities in Excess of Other Assets — (11.8)% | (195,533 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,653,298 |
AS OF FEBRUARY 28, 2007 (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
8 | 10 Year Japan Bonds | March, 2007 | $ | 9,122 | $ | 37 | ||||||||||||
49 | 30 Day Federal Fund | April, 2007 | 19,347 | (3 | ) | |||||||||||||
35 | 10 Year Canada Bonds | June, 2007 | 3,410 | 26 | ||||||||||||||
184 | Canada Bankers Acceptance | June, 2007 | 37,646 | 27 | ||||||||||||||
150 | Eurodollar | June, 2007 | 35,554 | 2 | ||||||||||||||
140 | Tokyo Financial Exchange 3 Months | June, 2007 | 29,348 | 34 | ||||||||||||||
249 | U.K. Treasury Gilt | June, 2007 | 53,446 | 150 | ||||||||||||||
1,757 | U.S. 2 Year Treasury Notes | June, 2007 | 360,103 | 679 | ||||||||||||||
138 | U.S. 10 Year Treasury Notes | June, 2007 | 14,986 | (54 | ) | |||||||||||||
128 | Euro EURIBOR | December, 2008 | 40,670 | (95 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(165) | Euro-Bund | March, 2007 | (25,375 | ) | 420 | |||||||||||||
(839) | Euro-Schatz | March, 2007 | (115,004 | ) | (161 | ) | ||||||||||||
(244) | Eurodollar | June, 2007 | (57,834 | ) | 60 | |||||||||||||
(1,022) | U.S. 2 Year Treasury Notes | June, 2007 | (209,462 | ) | (300 | ) | ||||||||||||
(2,267) | U.S. 5 Year Treasury Notes | June, 2007 | (240,196 | ) | (1,257 | ) | ||||||||||||
(257) | U.S. 10 Year Treasury Notes | June, 2007 | (27,909 | ) | (191 | ) | ||||||||||||
(63) | Eurodollar | September, 2007 | (14,962 | ) | 1 | |||||||||||||
(135) | Eurodollar | December, 2007 | (32,113 | ) | 59 | |||||||||||||
(128) | Euro EURIBOR | March, 2008 | (40,649 | ) | 100 | |||||||||||||
(305) | Eurodollar | March, 2008 | (72,628 | ) | (98 | ) | ||||||||||||
(140) | Tokyo Financial Exchange 3 Months | March, 2008 | (29,260 | ) | (39 | ) | ||||||||||||
(32) | Eurodollar | June, 2008 | (7,623 | ) | (16 | ) | ||||||||||||
$ | (619 | ) |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE (USD) | | VALUE AT 02/28/07 (USD) | | NET UNREALIZED APPRECIATION (DEPRECIATION) (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,521,000 | EUR | 04/26/07 | $ | 2,000 | $ | 2,017 | $ | (17 | ) |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE(USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(16,430) | FNMA, TBA, 5.00%, 04/25/36 | $ | (15,947 | ) | ||||||
(56,200) | FNMA, TBA, 5.50%, 03/25/37 | (55,744 | ) | |||||||
(6,500) | FNMA, TBA, 5.50%, 04/25/37 | (6,447 | ) | |||||||
(24,800) | FNMA, TBA, 6.50%, 03/25/37 | (25,281 | ) | |||||||
(Proceeds received $103,478) | $ | (103,419 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Future, American Style | $ | 96.00 | 09/17/07 | 352 | $ | (9 | ) | |||||||||||
(Premiums Received $61) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA | $ | 99.26 | 04/05/07 | $ | 66,000 | $ | (189 | ) | ||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 04/05/07 | 54,000 | (74 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 05/07/07 | 42,000 | (95 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.75 | 05/07/07 | 62,000 | — | ||||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 99.89 | 05/07/07 | 83,000 | (154 | ) | |||||||||||||
(Premiums Received $437) | $ | (512 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Capital Management | 4.74% semi-annually | 06/01/07 | 06/05/08 | $89,415 | $(14) | |||||||||||||||||||||
(Premiums Received $63) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Fed Funds Future, American Style | $ | 94.94 | 04/30/07 | 23 | $ | (17 | ) | |||||||||||
90 Day Eurodollar Future, American Style | 94.75 | 09/17/07 | 158 | (22 | ) | |||||||||||||
(Premiums Received $40) | $ | (39 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year Fixed, 5.50%, TBA | $ | 97.33 | 04/05/07 | $ | 108,000 | $ | (9 | ) | ||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 04/05/07 | 54,000 | (26 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.39 | 04/05/07 | 54,000 | (52 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 05/07/07 | 42,000 | (61 | ) | |||||||||||||
FNMA, 30 Year Fixed, 5.50%, TBA | 98.00 | 05/07/07 | 62,000 | — | ||||||||||||||
(Premiums Received $611) | $ | (148 | ) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | 5.99% semi-annually | 11/02/09 | 11/04/19 | $ | 125,450 | $ | (1,748 | ) | ||||||||||||||
Barclays Bank plc | 5.40% semi-annually | 04/26/07 | 04/30/08 | 155,505 | (18 | ) | ||||||||||||||||
Barclays Bank plc | 5.49% semi-annually | 04/02/07 | 04/04/12 | 91,130 | (7 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.45% semi-annually | 04/05/07 | 04/11/12 | 54,690 | (8 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.36% semi-annually | 04/16/07 | 04/18/12 | 92,235 | (49 | ) | ||||||||||||||||
(Premiums Received $2,773) | $ | (1,830 | ) |
AS OF FEBRUARY 28, 2007 (continued)
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.19% semi-annually | 01/04/12 | 01/06/17 | $ | 31,545 | $ | (1,527 | ) | ||||||||||||||
Barclays Bank plc | 5.96% semi-annually | 10/02/08 | 10/06/18 | 75,712 | (542 | ) | ||||||||||||||||
Bear Stearns Credit Products | 5.24% semi-annually | 01/04/10 | 01/06/20 | 9,607 | (666 | ) | ||||||||||||||||
Credit Suisse International | 5.20% semi-annually | 01/05/09 | 01/07/19 | 15,802 | (913 | ) | ||||||||||||||||
Credit Suisse International | 5.56% semi-annually | 01/24/14 | 01/29/24 | 7,121 | (603 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.73% semi-annually | 12/12/07 | 12/14/08 | 180,756 | (907 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.23% semi-annually | 12/06/13 | 12/10/23 | 18,302 | (1,567 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.25% semi-annually | 01/25/10 | 01/25/10 | 38,600 | (1,599 | ) | ||||||||||||||||
(Premiums Received $9,162) | $ | (8,324 | ) |
* | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund would pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** | European Style |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Bank of America | 5.24% semi-annually | 3 month LIBOR quarterly | 11/04/19 | $ | 62,938 | $ | (113 | ) | ||||||||||||||
Bank of America | 5.47% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 2,391 | (43 | ) | ||||||||||||||||
Barclays Bank plc | 4.85% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 9,336 | — | |||||||||||||||||
Barclays Bank plc | 4.96% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 8,329 | (8 | ) | ||||||||||||||||
Barclays Bank plc | 5.01% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 6,326 | (9 | ) | ||||||||||||||||
Barclays Bank plc | 5.00% semi-annually | 3 month LIBOR quarterly | 01/07/09 | 10,030 | (14 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.84% semi-annually | 01/08/09 | 4,467 | — | (h) | ||||||||||||||||
Barclays Bank plc | 5.03% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 10,866 | (20 | ) | ||||||||||||||||
Barclays Bank plc | 5.07% semi-annually | 3 month LIBOR quarterly | 11/13/11 | 3,565 | (60 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.10% semi-annually | 01/27/15 | 2,405 | — | |||||||||||||||||
Barclays Bank plc | 5.21% semi-annually | 3 month LIBOR quarterly | 10/06/18 | 33,967 | (184 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.35% semi-annually | 02/18/20 | 8,327 | 64 | |||||||||||||||||
Citibank, N.A. | 5.25% semi-annually | 3 month LIBOR quarterly | 02/16/17 | 985 | (12 | ) | ||||||||||||||||
Citibank, N.A. | 5.19% semi-annually | 3 month LIBOR quarterly | 02/23/17 | 6,235 | (44 | ) | ||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/27/17 | 1,975 | (16 | ) | ||||||||||||||||
Citibank, N.A. | 5.16% semi-annually | 3 month LIBOR quarterly | 02/28/17 | 2,465 | (13 | ) | ||||||||||||||||
Citibank, N.A. | 5.10% semi-annually | 3 month LIBOR quarterly | 03/02/17 | 7,400 | — | |||||||||||||||||
Credit Suisse International | 4.77% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 31,739 | 17 | |||||||||||||||||
Credit Suisse International | 5.05% semi-annually | 3 month LIBOR quarterly | 11/02/11 | 4,360 | (68 | ) | ||||||||||||||||
Credit Suisse International | 5.09% semi-annually | 3 month LIBOR quarterly | 11/02/13 | 10,500 | (175 | ) | ||||||||||||||||
Credit Suisse International | 5.40% semi-annually | 3 month LIBOR quarterly | 01/06/17 | 1,348 | (7 | ) | ||||||||||||||||
Credit Suisse International | 5.48% semi-annually | 3 month LIBOR quarterly | 01/07/24 | 1,556 | (7 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.56% semi-annually | 01/29/24 | 961 | 8 | |||||||||||||||||
Credit Suisse International | 5.41% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 783 | (19 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.20% semi-annually | 3 month LIBOR quarterly | 02/08/10 | 27,900 | (172 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.21% semi-annually | 3 month LIBOR quarterly | 02/16/10 | 11,700 | (78 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.30% semi-annually | 3 month LIBOR quarterly | 01/26/17 | 5,900 | (91 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.42% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 997 | (25 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.31% semi-annually | 06/05/08 | 43,365 | 92 | |||||||||||||||||
Goldman Sachs Capital Management | 5.18% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 43,595 | (154 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.20% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 29,565 | (110 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.25% semi-annually | 01/27/15 | 1,930 | 11 |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.21% semi-annually | 02/22/17 | $ | 5,041 | $ | 47 | |||||||||||||||
Lehman Brothers Special Financing (1) | 3 month LIBOR quarterly | 5.16% semi-annually | 04/12/08 | 116,442 | (19 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.41% semi-annually | 04/12/08 | 9,635 | 22 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.35% semi-annually | 06/19/08 | 23,820 | 64 | |||||||||||||||||
Lehman Brothers Special Financing | 5.02% semi-annually | 3 month LIBOR quarterly | 11/06/11 | 4,250 | (60 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.04% semi-annually | 01/24/09 | 8,858 | 17 | |||||||||||||||||
Merrill Lynch Capital Services | 5.00% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 9,423 | (15 | ) | ||||||||||||||||
$ | (1,194 | ) |
(1) | Premium received of $305 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Akzo, 4.25%, 06/14/11 | Citibank, N.A. | Buy | 23 BPS quarterly | 12/20/11 | $ | 6,700 | $ | 6 | ||||||||||||||||||
Alltel, 7.00%, 07/01/12 | Bank of America | Sell | 82 BPS quarterly | 03/20/12 | 9,800 | 64 | ||||||||||||||||||||
Alltel, 7.00%, 07/01/12 | Morgan Stanley Capital Services | Buy | 117 BPS quarterly | 03/20/14 | 8,150 | (51 | ) | |||||||||||||||||||
Autozone, Inc., 5.88%, 10/15/12 | Bank of America | Sell | 40 BPS quarterly | 03/20/12 | 2,985 | 6 | ||||||||||||||||||||
Autozone, Inc., 5.88%, 10/15/12 | Bank of America | Buy | 58 BPS quarterly | 03/20/14 | 4,250 | (12 | ) | |||||||||||||||||||
BASF, 3.50%, 07/08/10 | Union Bank of Switzerland AG | Buy | 10.5 BPS quarterly | 12/20/11 | 6,700 | (3 | ) | |||||||||||||||||||
Bear Stearns & Co., Inc., 7.63% 12/07/09 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Berkshire Hathaway, Inc., 9.75%, 01/15/18 | Deutsche Bank AG, New York | Sell | 20 BPS quarterly | 03/20/10 | 6,000 | 30 | ||||||||||||||||||||
Burlington Northern Santa Fe, 6.75, 07/15/11 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 3,700 | (2 | ) | |||||||||||||||||||
Caterpillar, 6.55%, 05/01/11 | Morgan Stanley Capital Services | Buy | 16 BPS quarterly | 03/20/12 | 3,000 | (5 | ) | |||||||||||||||||||
Cisco System, 5.25%, 02/22/11 | Lehman Brothers Special Financing | Buy | 11 BPS quarterly | 03/20/12 | 6,000 | (9 | ) | |||||||||||||||||||
Coca-Cola, 6.13%, 08/15/11 | Merrill Lynch International | Buy | 23 BPS quarterly | 03/20/12 | 3,300 | (8 | ) | |||||||||||||||||||
Corning, Inc., 6.30%, 03/01/09 | Goldman Sachs Capital Management | Sell | 43 BPS quarterly | 06/20/11 | 2,000 | 31 | ||||||||||||||||||||
Countrywide Financial, 4.00%, 03/22/11 | Citibank, N.A. | Sell | 49 BPS quarterly | 03/20/12 | 5,500 | 4 | ||||||||||||||||||||
CSX Corp., 5.30%, 02/15/14 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 3,700 | — | (h) | |||||||||||||||||||
DaimlerChrysler, 6.50%, 11/15/13 | Lehman Brothers Special Financing | Buy | 49 BPS quarterly | 09/20/11 | 5,300 | (31 | ) | |||||||||||||||||||
Dow Jones CDX.NA.IG.6 (1) | Lehman Brothers Special Financing | Sell | 50 BPS quarterly | 06/20/13 | 14,800 | 82 | ||||||||||||||||||||
Gannett Co., 6.38%, 03/31/12 | Lehman Brothers Special Financing | Buy | 63 BPS quarterly | 03/20/14 | 4,950 | (72 | ) | |||||||||||||||||||
Gazprom, 9.63%, 03/01/13 | Union Bank of Switzerland AG | Sell | 39 BPS semi-annually | 12/20/07 | 13,000 | 1 | ||||||||||||||||||||
Gazpru, 8.63%, 04/28/34 | Citibank, N.A. | Sell | 250 BPS semi-annually | 04/20/10 | 10,000 | 633 | ||||||||||||||||||||
General Electric Capital Corp., 3.50%, 05/01/08 | Citibank, N.A. | Sell | 14 BPS quarterly | 12/20/07 | 15,000 | 20 | ||||||||||||||||||||
Goldman Sachs Group, 6.60%, 01/15/12 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | 4,200 | — | (h) | |||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Citibank, N.A. | Sell | 296.5 BPS semi-annually | 10/20/10 | 3,000 | 169 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 343 BPS semi-annually | 09/20/10 | 1,440 | 105 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 303.5 BPS semi-annually | 10/20/10 | 3,160 | 175 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 259 BPS semi-annually | 08/20/11 | 4,130 | 119 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 260 BPS semi-annually | 08/20/11 | 3,620 | 93 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 208.5 BPS semi-annually | 09/20/11 | 4,840 | (54 | ) | |||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 338 BPS semi-annually | 10/20/10 | 6,200 | 429 | ||||||||||||||||||||
Government of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 400 BPS semi-annually | 10/20/10 | 1,450 | 133 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Bear Stearns Credit Products | Buy | 103 BPS semi-annually | 12/20/11 | 2,885 | (7 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Sell | 235 BPS semi-annually | 04/20/07 | 8,200 | 95 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 108.5 BPS semi-annually | 12/20/11 | 8,450 | (60 | ) |
AS OF FEBRUARY 28, 2007 (continued)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 300 BPS semi-annually | 09/20/10 | $ | 1,440 | $ | (124 | ) | |||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 261.5 BPS semi-annually | 10/20/10 | 3,160 | (221 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 140 BPS semi-annually | 08/20/11 | 3,620 | (69 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 140 BPS semi-annually | 08/20/11 | 4,130 | (90 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 119 BPS semi-annually | 09/20/11 | 2,380 | 39 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 120 BPS semi-annually | 09/20/11 | 2,460 | 42 | ||||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 7,340 | (73 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 290 BPS semi-annually | 10/20/10 | 6,200 | (511 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 335 BPS semi-annually | 10/20/10 | 1,450 | (144 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | 6,155 | (42 | ) | |||||||||||||||||||
Government of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 5,770 | (42 | ) | |||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Citibank, N.A. | Sell | 185 BPS quarterly | 06/20/11 | 1,955 | 63 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 185 BPS quarterly | 06/20/11 | 4,815 | 173 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 205 BPS quarterly | 06/20/11 | 2,420 | 106 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 176.5 BPS quarterly | 09/20/11 | 4,610 | 140 | ||||||||||||||||||||
Government of Indonesia, 6.75%, 03/10/14 | Morgan Stanley Capital Services | Sell | 127 BPS quarterly | 12/20/11 | 5,190 | 13 | ||||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Citibank, N.A. | Buy | 199 BPS quarterly | 06/20/11 | 1,955 | (72 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 199 BPS quarterly | 06/20/11 | 4,815 | (190 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 221 BPS quarterly | 06/20/11 | 2,420 | (117 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 190 BPS quarterly | 09/20/11 | 4,610 | (158 | ) | |||||||||||||||||||
Government of Philippines, 10.63%, 03/16/25 | Morgan Stanley Capital Services | Buy | 132 BPS quarterly | 12/20/11 | 5,190 | (18 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 190 BPS semi-annually | 07/20/10 | 5,950 | 164 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 176 BPS semi-annually | 09/20/10 | 2,700 | 76 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 206 BPS semi-annually | 06/20/11 | 2,770 | 87 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 162 BPS semi-annually | 11/20/11 | 16,640 | 216 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Union Bank of Switzerland AG | Sell | 184 BPS semi-annually | 08/20/10 | 6,500 | 162 | ||||||||||||||||||||
Hanover Finance SA, 5.75%, 02/26/24 | Morgan Stanley Capital Services | Buy | 9.5 BPS quarterly | 12/20/11 | 13,400 | (8 | ) | |||||||||||||||||||
ICICI Bank Ltd., 5.75%, 11/16/2010 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | 7,600 | — | ||||||||||||||||||||
iStar Financial, Inc., 6.00%, 12/15/10 | Goldman Sachs Capital Management | Buy | 53 BPS quarterly | 12/20/13 | 10,900 | 5 | ||||||||||||||||||||
Kaupthing Bunadarbanki HF, 5.55%, 12/01/09 | Credit Suisse International | Buy | 51.4 BPS quarterly | 12/20/11 | 4,400 | (54 | ) | |||||||||||||||||||
Kaupthing Bunadarbanki HF, 5.55%, 12/01/09 | Morgan Stanley Capital Services | Sell | 31 BPS quarterly | 12/20/07 | EUR 11,000 | 27 | ||||||||||||||||||||
Kroger Co., 5.50%, 02/01/13 | Lehman Brothers Special Financing | Sell | 38 BPS quarterly | 03/20/12 | $ | 4,450 | (3 | ) | ||||||||||||||||||
Kroger Co., 5.50%, 02/01/13 | Lehman Brothers Special Financing | Buy | 58 BPS quarterly | 03/20/14 | 3,450 | 3 | ||||||||||||||||||||
Landsbanki Island, 3.30%, 10/19/10 | Morgan Stanley International | Sell | 45 BPS quarterly | 09/20/07 | EUR 6,000 | 18 | ||||||||||||||||||||
Lehman Brothers Special Financing, 6.63%, 01/18/12 | Bear Stearns Credit Products | Sell | 8 BPS quarterly | 06/20/07 | $ | 6,600 | — | (h) | ||||||||||||||||||
Linde AG Loan Facility, Tranche B, 5.85%, 11/03/07 | Morgan Stanley Capital Services | Sell | 25 BPS quarterly | 03/20/08 | GBP 1,925 | (1 | ) | |||||||||||||||||||
Merrill Lynch & Co., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | $ | 4,200 | 1 | |||||||||||||||||||
Merrill Lynch & Co., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 9.5 BPS quarterly | 12/20/07 | 12,500 | 3 | ||||||||||||||||||||
Montpelier Re Holdings Ltd., 6.13%, 08/15/13 | Deutsche Bank AG, New York | Sell | 40 BPS quarterly | 12/20/07 | 8,400 | 5 | ||||||||||||||||||||
Morgan Stanley Dean Witter, 6.60%, 04/01/12 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 4,200 | 1 | ||||||||||||||||||||
Munich Re Finance BV, 6.75%, 06/21/23 | Morgan Stanley Capital Services | Buy | 7 BPS quarterly | 12/20/11 | 13,400 | (4 | ) | |||||||||||||||||||
Nordstrom, 6.95%, 03/14/28 | Goldman Sachs Capital Management | Buy | 30 BPS quarterly | 03/20/14 | 5,500 | (25 | ) | |||||||||||||||||||
Norfolk Southern Corp., 7.70%, 05/15/17 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 3,700 | (2 | ) | |||||||||||||||||||
Pemex, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 116.5 BPS semi-annually | 05/20/10 | 7,000 | (163 | ) | |||||||||||||||||||
Pemex, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 125 BPS semi-annually | 06/20/10 | 5,000 | (126 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | $ | 1,465 | $ | 1 | ||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 14,290 | 4 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 16,900 | 43 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 14,680 | 47 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 50 BPS semi-annually | 11/20/11 | 16,640 | (40 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 11,540 | 8 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 12,310 | 6 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Bear Stearns Credit Products | Sell | 45.5 BPS semi-annually | 12/20/11 | 5,770 | (7 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Citibank, N.A. | Buy | 155 BPS semi-annually | 04/20/10 | 10,000 | (395 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 1,465 | (1 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 86 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 101 BPS semi-annually | 07/20/10 | 10,000 | 198 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Sell | 140 BPS semi-annually | 04/20/10 | 7,000 | 241 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 90 BPS semi-annually | 07/20/10 | 5,950 | (96 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 64 BPS semi-annually | 09/20/10 | 2,700 | (27 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Buy | 69 BPS semi-annually | 06/20/11 | 2,770 | (28 | ) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 14,290 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Sell | 125 BPS semi-annually | 04/20/10 | 11,100 | 332 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 90 BPS semi-annually | 08/20/10 | 6,500 | (106 | ) | |||||||||||||||||||
Sara Lee Corp., 6.13%, 11/01/32 | Bear Stearns Credit Products | Buy | 43 BPS quarterly | 12/20/11 | 1,900 | (4 | ) | |||||||||||||||||||
Solvay, 4.63%, 06/27/18 | Union Bank of Switzerland AG | Buy | 16.5 BPS quarterly | 12/20/11 | 6,700 | (3 | ) | |||||||||||||||||||
Suntrust Capital III, 2.48%, 03/15/28 | Deutsche Bank AG, New York | Sell | 48 BPS quarterly | 06/30/07 | 7,600 | 11 | ||||||||||||||||||||
Tate & Lyle, 6.50%, 06/28/12 | Lehman Brothers Special Financing | Buy | 42 BPS quarterly | 12/20/14 | 7,650 | 59 | ||||||||||||||||||||
Thales SA, 4.38%, 07/22/11 | Morgan Stanley Capital Services | Buy | 18 BPS quarterly | 12/20/11 | 6,700 | (16 | ) | |||||||||||||||||||
Union Pacific Corp., 6.13%, 01/15/12 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 3,700 | 1 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 29 BPS semi-annually | 05/20/08 | 38,240 | (62 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (92 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 96 BPS semi-annually | 07/20/10 | 10,000 | (194 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Sell | 66.75 BPS semi-annually | 05/20/11 | 16,990 | 187 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 112 BPS semi-annually | 04/20/10 | 7,000 | (190 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Union Bank of Switzerland AG | Buy | 113 BPS semi-annually | 04/20/10 | 11,100 | (307 | ) | |||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 100 BPS semi-annually | 05/20/10 | 7,000 | 158 | ||||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 105 BPS semi-annually | 06/20/10 | 5,000 | 118 | ||||||||||||||||||||
Viacom, 5.75%, 04/30/11 | Bear Stearns Credit Products | Buy | 46 BPS quarterly | 06/20/11 | 4,000 | (14 | ) | |||||||||||||||||||
VTB Capital SA for Vnestorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS quarterly | 03/20/08 | 7,670 | — | ||||||||||||||||||||
$ | 887 |
AS OF FEBRUARY 28, 2007 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (2) | FNMA, 30 Year, 5.50%, TBA | $ | 98.38 | 03/06/07 | $ | 96,000 | �� | $ | 794 | |||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 6.50%, TBA | 101.81 | 03/06/07 | 92,300 | 122 | |||||||||||||||||
Citibank, N.A. (2) | U.S. Treasury Note, 3.38%, 09/15/09 | 96.61 | 03/06/07 | 102,400 | 556 | |||||||||||||||||
Citibank, N.A. (2) | U.S. Treasury Note, 3.38%, 09/15/09 | 96.65 | 03/06/07 | 128,500 | 646 | |||||||||||||||||
Citibank, N.A. (2) | U.S. Treasury Note, 5.00%, 07/31/08 | 100.05 | 03/07/07 | 64,650 | 179 | |||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 5.00%, TBA | 96.05 | 04/05/07 | 48,000 | (470 | ) | ||||||||||||||||
Citibank, N.A. (2) | FNMA, 30 Year, 5.00%, TBA | 96.03 | 04/05/07 | 49,000 | 491 | |||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 241,000 | (590 | ) | ||||||||||||||||
Credit Suisse International (1) | U.S. Treasury Note, 3.38%, 09/15/10 | 97.01 | 03/13/07 | 113,900 | (1,105 | ) | ||||||||||||||||
Credit Suisse International (2) | U.S. Treasury Note, 4.75%, 12/31/08 | 99.64 | 03/14/07 | 154,150 | 1,001 | |||||||||||||||||
Credit Suisse International (2) | U.S. Treasury Note, 4.75%, 12/31/08 | 99.75 | 03/14/07 | 142,400 | 761 | |||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 5.50%, TBA | 98.78 | 03/06/07 | 98,300 | (414 | ) | ||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 5.50%, TBA | 98.93 | 03/06/07 | 160,000 | (437 | ) | ||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.00%, TBA | 100.50 | 03/06/07 | 3,000 | 11 | |||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.00%, TBA | 100.70 | 03/06/07 | 80,000 | 128 | |||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 6.50%, TBA | 101.72 | 03/06/07 | 23,500 | 53 | |||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 7.00%, TBA | 102.47 | 03/06/07 | 69,500 | 206 | |||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 6.00%, TBA | 100.63 | 04/05/07 | 94,600 | (202 | ) | ||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 97.14 | 04/05/07 | 80,000 | — | |||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 96.06 | 04/05/07 | 31,800 | 309 | |||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 5.00%, TBA | 96.47 | 03/06/07 | 66,000 | 361 | |||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.59 | 03/06/07 | 103,000 | (627 | ) | ||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.78 | 03/06/07 | 132,000 | (556 | ) | ||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 5.50%, TBA | 98.94 | 03/06/07 | 55,000 | (146 | ) | ||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.00%, TBA | 100.69 | 03/06/07 | 28,000 | 48 | |||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.50%, TBA | 101.80 | 03/06/07 | 25,000 | 37 | |||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 6.50%, TBA | 101.81 | 03/06/07 | 151,500 | 201 | |||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 7.00%, TBA | 102.41 | 03/06/07 | 10,000 | 36 | |||||||||||||||||
Lehman Brothers Special Financing (2) | FNMA, 30 Year, 5.00%, TBA | 96.03 | 04/05/07 | 234,000 | 2,345 | |||||||||||||||||
Lehman Brothers Special Financing (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 159,000 | (389 | ) | ||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.91 | 03/06/07 | 31,000 | (92 | ) | ||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.95 | 03/06/07 | 62,000 | (160 | ) | ||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.09 | 03/06/07 | 126,000 | 974 | |||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.69 | 03/06/07 | 62,000 | 106 | |||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 6.00%, TBA | 100.70 | 03/06/07 | 31,000 | 51 | |||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 6.50%, TBA | 101.71 | 03/06/07 | 7,500 | (17 | ) | ||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 7.00%, TBA | 102.40 | 03/06/07 | 10,000 | 37 | |||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 5.00%, TBA | 96.01 | 04/05/07 | 126,000 | 1,292 | |||||||||||||||||
Morgan Stanley Capital Services (2) | FNMA, 30 Year, 5.00%, TBA | 97.08 | 04/05/07 | 79,000 | — | |||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 5.50%, TBA | 98.91 | 04/05/07 | 221,000 | (638 | ) | ||||||||||||||||
Morgan Stanley Capital Services (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 62,000 | (152 | ) | ||||||||||||||||
Union Bank of Switzerland AG (2) | FNMA, 30 Year, 5.50%, TBA | 98.72 | 03/06/07 | 74,000 | 358 | |||||||||||||||||
Union Bank of Switzerland AG (2) | FNMA, 30 Year, 6.50%, TBA | 101.72 | 03/06/07 | 74,000 | 168 | |||||||||||||||||
Union Bank of Switzerland AG (1) | FNMA, 30 Year, 6.00%, TBA | 100.63 | 04/05/07 | 132,200 | (283 | ) | ||||||||||||||||
$ | 4,993 |
(1) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(2) | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 120.0% | |||||||||||
Asset-Backed Securities — 19.7% | |||||||||||
1,403 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 5.82%, 02/15/12 (e) (m) | 1,406 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
1,796 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 1,768 | |||||||||
3,246 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 3,234 | |||||||||
737 | Capital One Auto Finance Trust, Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 730 | |||||||||
1,850 | Capital One Multi-Asset Execution Trust, Series 2004-B5, Class B5, 3.70%, 05/17/10 (m) | 1,838 | |||||||||
72 | CARSS Finance LP (Cayman Islands), Series 2004-A, Class B1, FRN, 5.60%, 01/15/11 (e) (m) | 73 | |||||||||
1,700 | Citibank Credit Card Issuance Trust, FRN, 5.54%, 01/09/12 (m) | 1,700 | |||||||||
3,050 | Citigroup Mortgage Loan Trust Inc, Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 3,018 | |||||||||
1,400 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 1,389 | |||||||||
4,000 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 3,962 | |||||||||
4,550 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, FRN, 5.51%, 03/25/36 (m) | 4,557 | |||||||||
3,350 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 5.50%, 02/25/36 (m) | 3,355 | |||||||||
3,200 | Home Equity Asset Trust, Series 2006-3, Class2A3, FRN, 5.50%, 07/25/36 (m) | 3,206 | |||||||||
4,419 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 5.51%, 01/25/36 (m) | 4,428 | |||||||||
4,250 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, FRN, 5.51%, 03/25/36 (m) | 4,259 | |||||||||
3,550 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 5.51%, 01/25/36 (m) | 3,556 | |||||||||
2,100 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 5.52%, 01/25/37 (m) | 2,101 | |||||||||
2,650 | Morgan Stanley ABS Capital I, Series 2006-HE6, Class M2, FRN, 5.62%, 09/25/36 (m) | 2,650 | |||||||||
2,447 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 2,425 | |||||||||
2,234 | Onyx Acceptance Grantor Trust, Series 2003-D, Series A4, 3.20%, 03/15/10 (m) | 2,211 | |||||||||
3,000 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 5.52%, 02/25/36 (m) | 3,004 | |||||||||
3,850 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 5.51%, 03/25/36 (m) | 3,852 | |||||||||
2,950 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 5.50%, 12/25/35 (m) | 2,954 | |||||||||
3,087 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 | 3,039 | |||||||||
1,681 | Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A4, 2.94%, 03/22/10 | 1,662 | |||||||||
2,992 | World Omni Auto Receivables Trust, Series 2003-B, Class A4, 2.87%, 11/15/10 | 2,959 | |||||||||
Total Asset Backed Securities (Cost $69,562) | 69,336 | ||||||||||
Collateralized Mortgage Obligations — 15.6% | |||||||||||
Agency CMO — 5.3% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
28,898 | Series 240, Class S22, IF, IO, 1.83%, 07/01/36 (m) | 2,249 | |||||||||
4,898 | Series 2564, Class LS, IF, IO, 2.33%, 01/15/17 (m) | 235 | |||||||||
6,531 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 168 | |||||||||
2,698 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 278 | |||||||||
2,099 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 102 | |||||||||
12,756 | Series 2791, Class SI, IF, IO, 1.83%, 12/15/31 (m) | 766 | |||||||||
13,836 | Series 2813, Class SB, IF, IO, 1.73%, 02/15/34 (m) | 869 | |||||||||
19,930 | Series 2850, Class SM, IF, IO, 1.83%, 12/15/30 (m) | 817 | |||||||||
4,403 | Series 2894, Class S, IF, IO, 1.88%, 03/15/31 (m) | 231 | |||||||||
4,495 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 351 | |||||||||
Federal National Mortgage Association, | |||||||||||
3,720 | Series 2003-3, Class HS, IF, IO, 2.33%, 09/25/16 (m) | 167 | |||||||||
4,457 | Series 2004-61, Class TS, IF, IO, 1.78%, 10/25/31 (m) | 208 | |||||||||
6,770 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 513 | |||||||||
3,390 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 3,440 | |||||||||
4,286 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 4,352 | |||||||||
3,692 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 3,748 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
Government National Mortgage Association, | |||||||||||
11 | Series 2002-24, Class FA, FRN, 5.82%, 04/16/32 (m) | 11 | |||||||||
1,071 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 30 | |||||||||
2,455 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 121 | |||||||||
468 | Series 2004-46, Class IH, IO, 5.50%, 04/20/25 (m) | 7 | |||||||||
18,663 | |||||||||||
Non-Agency CMO — 10.3% | |||||||||||
182 | ABN AMRO Mortgage Corp., Series 2002-10, Class 1A1, 4.00%, 01/25/33 (m) | 181 | |||||||||
1,999 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 1,998 | |||||||||
4,870 | Countrywide Alternative Loan Trust, Series 2005-75CB, Class A3, 5.50%, 01/25/36 (m) | 4,884 | |||||||||
4,118 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 4,062 | |||||||||
2,397 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 2,407 | |||||||||
1,561 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 (m) | 1,566 | |||||||||
3,200 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 3,185 | |||||||||
3,700 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.98%, 06/25/34 | 3,682 | |||||||||
5,756 | Washington Mutual, Inc., Series 2004-S3, Class 2A1, 5.50%, 07/25/34 | 5,751 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
2,206 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 2,181 | |||||||||
6,269 | Series 2004-S, Class A3, FRN, 3.54%, 09/25/34 | 6,239 | |||||||||
36,136 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $55,753) | 54,799 | ||||||||||
Commercial Mortgage-Backed Securities — 16.0% | |||||||||||
1,150 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,125 | |||||||||
10,712 | CalSTRS Trust, Series 2002-C6, Class A2, 3.99%, 11/20/12 (e) (m) | 10,608 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
1,800 | Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) | 1,886 | |||||||||
2,300 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 2,386 | |||||||||
3,700 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 3,629 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
1,350 | Series 2003-C1, Class A2, 3.29%, 07/05/35 (m) | 1,299 | |||||||||
1,800 | Series 2007-GG9 A2, Class A2, 5.38%, 03/10/39 | 1,809 | |||||||||
2,000 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 1,976 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
3,050 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 2,991 | |||||||||
5,600 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 5,473 | |||||||||
3,400 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 3,283 | |||||||||
5,200 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 5,058 | |||||||||
2,900 | Series 2007-C1, Class A2, 5.32%, 02/15/40 (m) | 2,914 | |||||||||
1,300 | Merrill Lynch Mortgage Trust, Series 2005-CKI1, Class A2, VAR, 5.22%, 11/12/37 (m) | 1,308 | |||||||||
Morgan Stanley Capital I, | |||||||||||
5,673 | Series 1998-HF2, Class A2, 6.48%, 11/15/30 (m) | 5,736 | |||||||||
3,100 | Series 2006-T21, Class A2, 5.09%, 10/12/52 (m) | 3,098 | |||||||||
1,950 | Wachovia Bank Commercial Mortgage Trust, Series 2005-CI7, Class A2, 4.78%, 03/15/42 | 1,932 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $57,825) | 56,511 | ||||||||||
Corporate Bonds — 30.6% | |||||||||||
Automobiles — 0.4% | |||||||||||
1,300 | DaimlerChrysler NA Holding Corp., 5.75%, 05/18/09 (m) | 1,312 | |||||||||
Beverages — 0.4% | |||||||||||
1,600 | Miller Brewing Co., 4.25%, 08/15/08 (e) (m) | 1,577 | |||||||||
Capital Markets — 1.8% | |||||||||||
2,350 | Goldman Sachs Group, Inc., (The), 5.30%, 02/14/12 (m) | 2,365 | |||||||||
3,800 | Links Finance LLC, FRN, 5.61%, 09/15/08 (e) (i) | 3,803 | |||||||||
6,168 | |||||||||||
Commercial Banks — 7.6% | |||||||||||
2,700 | Artesia Bank S.C. (Belgium), 7.25% to 09/17/07; thereafter VAR, 09/29/49 (e) (m) | 2,726 | |||||||||
1,600 | BAC Capital Trust XIV, 5.63% to 03/15/12; thereafter VAR, 12/31/49 (m) | 1,616 | |||||||||
3,250 | BNP US Funding LLC, 7.74% to 12/05/07; thereafer VAR, 12/29/49 (e) (m) | 3,298 | |||||||||
1,400 | DBS Capital Funding Corp. (Cayman Islands), 7.66% to 03/15/11; thereafter VAR, 03/31/49 (e) (m) | 1,519 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
1,150 | Deutsche Bank Capital Funding Trust I, 7.87% to 06/30/09; thereafter VAR 12/29/49 (e) (m) | 1,213 | |||||||||
900 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 940 | |||||||||
1,000 | Hana Bank (South Korea), 4.13%, 03/11/09 | 980 | |||||||||
1,350 | ICICI Bank Ltd. (Singapore), 5.75%, 11/16/10 (e) (m) | 1,364 | |||||||||
Landsbanki Islands HF (Iceland), | |||||||||||
850 | 6.10%, 08/25/11 (e) (m) | 880 | |||||||||
1,000 | FRN, 6.06%, 08/25/09 (e) (m) | 1,007 | |||||||||
3,050 | Public Bank Berhad (Malaysia), VAR, 5.63%, 09/22/14 | 3,068 | |||||||||
350 | Royal Bank of Scotland Group plc ADR (United Kingdom), Series 1, 9.12%, 03/31/49 (m) | 388 | |||||||||
2,950 | Svenska Handelsbanken AB (Sweden), 7.13% to 09/07/07; thereafter VAR, 03/29/49 (e) | 2,954 | |||||||||
1,750 | VTB Capital SA for Vneshtorgbank (Luxembourg), FRN, 6.12%, 09/21/07 (e) (m) | 1,753 | |||||||||
1,950 | Wachovia Capital Trust III, 5.80% to 03/15/11; thereafter VAR, 03/15/42 | 1,982 | |||||||||
1,150 | Woori Bank (South Korea), 4.88%, 07/02/13 | 1,140 | |||||||||
26,828 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
800 | Capital One Financial Corp., 5.70%, 09/15/11 (m) | 813 | |||||||||
1,700 | International Lease Finance Corp., 5.35%, 03/01/12 (m) | 1,711 | |||||||||
2,524 | |||||||||||
Diversified Financial Services — 8.2% | |||||||||||
CIT Group, Inc., | |||||||||||
1,500 | 5.40%, 02/13/12 (m) | 1,512 | |||||||||
1,914 | 5.75%, 09/25/07 (m) | 1,919 | |||||||||
Counts Trust, | |||||||||||
2,050 | Series 2002-10, FRN, 6.14%, 08/15/07 (e) (i) | 2,056 | |||||||||
2,050 | Series 2002-11, FRN, 6.19%, 08/15/07 (e) (i) | 2,055 | |||||||||
400 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) | 406 | |||||||||
4,000 | K2 Corp., VAR, 5.37%, 02/15/09 (i) | 4,000 | |||||||||
3,800 | Mizuho JGB Investment LLC, 9.87% to 06/30/08; thereafter VAR, 12/29/49 (e) (m) | 4,011 | |||||||||
6,050 | Natexis Ambs Co. LLC, 8.44% to 06/30/08; thereafter VAR, 12/29/49 (e) (m) | 6,288 | |||||||||
3,100 | RACERS, Series 2005-16, Class C, FRN, 5.36%, 09/20/07 (e) (i) | 3,099 | |||||||||
1,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 5.71%, 11/13/09 (e) | 1,301 | |||||||||
2,150 | ZFS Finance USA Trust I, VAR, 6.15%, 12/15/65 (e) | 2,199 | |||||||||
28,846 | |||||||||||
Diversified Telecommunication Services — 0.5% | |||||||||||
1,900 | Telefonica Emisiones SAU (Spain), 5.98%, 06/20/11 | 1,952 | |||||||||
Electric Utilities — 1.7% | |||||||||||
1,400 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) | 1,405 | |||||||||
Appalachian Power Co., | |||||||||||
1,000 | 3.60%, 05/15/08 (m) | 982 | |||||||||
650 | 5.55%, 04/01/11 (m) | 656 | |||||||||
2,800 | PSEG Funding Trust I, 5.38%, 11/16/07 (m) | 2,800 | |||||||||
5,843 | |||||||||||
Food & Staples Retailing — 0.4% | |||||||||||
1,400 | CVS Corp., 4.00%, 09/15/09 (m) | 1,361 | |||||||||
Food Products — 0.5% | |||||||||||
1,800 | Tate & Lyle International Finance plc (United Kingdom), 5.00%, 11/15/14 (e) | 1,738 | |||||||||
Insurance — 0.6% | |||||||||||
2,150 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 2,162 | |||||||||
Media — 3.0% | |||||||||||
1,000 | Comcast Cable Communications LLC, 6.75%, 01/30/11 (m) | 1,055 | |||||||||
2,850 | COX Communications, Inc., 4.63%, 01/15/10 (m) | 2,811 | |||||||||
1,800 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 | 1,842 | |||||||||
2,500 | Time Warner, Inc., 5.50%, 11/15/11 | 2,528 | |||||||||
2,200 | Viacom, Inc., 5.75%, 04/30/11 | 2,236 | |||||||||
10,472 | |||||||||||
Multi-Utilities — 1.1% | |||||||||||
2,100 | Dominion Resources, Inc., SUB, 5.69%, 05/15/08 (m) | 2,111 | |||||||||
1,700 | Midamerican Energy Holdings Co., 7.52%, 09/15/08 (m) | 1,754 | |||||||||
3,865 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Oil, Gas & Consumable Fuels — 1.7% | |||||||||||
2,450 | Pemex Project Funding Master Trust, FRN, 6.66%, 06/15/10 (e) (m) | 2,515 | |||||||||
3,400 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 3,417 | |||||||||
5,932 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||
iStar Financial, Inc., | |||||||||||
800 | 5.38%, 04/15/10 (m) | 799 | |||||||||
1,750 | Series B, 4.88%, 01/15/09 (m) | 1,737 | |||||||||
2,536 | |||||||||||
Real Estate Management & Development — 0.8% | |||||||||||
2,750 | Socgen Real Estate Co. LLC, 7.64% to 09/30/07; thereafter VAR, 12/29/49 (e) | 2,786 | |||||||||
Thrifts & Mortgage Finance — 0.5% | |||||||||||
1,900 | Washington Mutual Preferred Funding Delaware, 6.53% to 03/15/11; thereafter VAR, 03/29/49 (e) | 1,915 | |||||||||
Total Corporate Bonds (Cost $108,387) | 107,817 | ||||||||||
Foreign Government Securities — 4.3% | |||||||||||
4,670 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 4,730 | |||||||||
3,200 | Province of Manitoba (Canada), 4.90%, 12/06/16 (m) | 3,185 | |||||||||
4,550 | Republic of Chile (Chile), FRN, 5.76%, 01/28/08 (m) | 4,561 | |||||||||
1,100 | Russian Federation (Russia), 10.00%, 06/26/07 (e) (m) | 1,114 | |||||||||
1,500 | United Mexican States (Mexico), FRN, 6.06%, 01/13/09 | 1,510 | |||||||||
Total Foreign Government Securities (Cost $15,237) | 15,100 | ||||||||||
Mortgage Pass-Through Securities — 31.1% | |||||||||||
29,777 | Federal National Mortgage Association, Various Pools, 7.00%, 01/01/35–01/01/37 (m) | 30,615 | |||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
19,330 | TBA, 5.00%, 03/25/36–04/25/36 | 18,762 | |||||||||
21,500 | TBA, 5.50%, 03/25/37 | 21,325 | |||||||||
30,000 | TBA, 6.00%, 03/25/37–04/25/37 | 30,251 | |||||||||
8,250 | TBA, 6.50%, 03/25/37–04/25/37 | 8,409 | |||||||||
13 | Government National Mortgage Association Pool, 8.50%, 08/15/30 (m) | 14 | |||||||||
Total Mortgage Pass-Through Securities (Cost $109,089) | 109,376 | ||||||||||
U.S. Government Agency Securities — 2.0% | |||||||||||
6,700 | Federal National Mortgage Association, 7.25%, 01/15/10 (m) | ||||||||||
(Cost $7,122) | 7,134 | ||||||||||
U.S. Treasury Obligations — 0.7% | |||||||||||
2,401 | U.S. Treasury Inflation Indexed Bonds, 2.38%, 01/15/17 (Cost $2,425) | 2,443 | |||||||||
Total Long-Term Investments (Cost $425,400) | 422,516 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Option Purchased — 0.7% | |||||||||||
Call Options Purchased — 0.1% | |||||||||||
12 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 1 | |||||||||
20 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $95.00, American Style | 1 | |||||||||
64 | 90 Day Eurodollar Futures, Expiring 04/13/07 @ $94.88, American Style | 7 | |||||||||
53 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.75, American Style | 3 | |||||||||
NOTIONAL AMOUNT($) | SECURITY DESCRIPTION | VALUE ($) | |||||||||
Call Options Purchased on Interest Rate Swaps: | |||||||||||
19,400 | Expiring 11/02/09. If exercised the Fund receives 4.49% and pays floating 3 month LIBOR expiring 11/04/19, European Style | 304 | |||||||||
Total Call Options Purchased | 316 | ||||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 0.4% | |||||||||||
2,730 | Expiring 03/02/07. If exercised the Fund pays/receives 5.31% and receives/pays floating 3 month LIBOR expiring 03/06/17, European Style | 46 | |||||||||
2,730 | Expiring 03/13/07. If exercised the Fund pays/receives 5.33% and receives/pays floating 3 month LIBOR expiring 03/15/17, European Style | 51 | |||||||||
2,375 | Expiring 03/16/07. If exercised the Fund pays/receives 5.19% and receives/pays floating 3 month LIBOR expiring 03/20/17, European Style | 28 | |||||||||
2,625 | Expiring 03/27/07. If exercised the Fund pays/receives 5.10% and receives/pays floating 3 month LIBOR expiring 03/29/17, European Style | 34 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
45,125 | Expiring 04/10/07. If exercised the Fund pays/receives 4.88% and receives/pays floating 3 month LIBOR expiring 04/12/08, European Style | 132 | |||||||||
26,960 | Expiring 06/01/07. If exercised the Fund pays/receives 4.74% and receives/pays floating 3 month LIBOR expiring 06/05/08, European Style | 97 | |||||||||
18,050 | Expiring 01/03/08. If exercised the Fund pays/receives 4.89% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 93 | |||||||||
18,050 | Expiring 01/03/08. If exercised the Fund pays/receives 4.95% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 94 | |||||||||
26,900 | Expiring 01/04/08. If exercised the Fund pays/receives 4.84% and receives/pays floating 3 month LIBOR expiring 01/08/09, European Style | 139 | |||||||||
17,700 | Expiring 01/07/08. If exercised the Fund pays/receives 4.94% and receives/pays floating 3 month LIBOR expiring 01/09/09, European Style | 92 | |||||||||
33,575 | Expiring 01/22/08. If exercised the Fund pays/receives 5.12% and receives/pays floating 3 month LIBOR expiring 01/24/09, European Style | 194 | |||||||||
3,506 | Expiring 01/03/14. If exercised the Fund pays/receives 5.42% and receives/pays floating 3 month LIBOR expiring 01/07/24, European Style | 297 | |||||||||
2,010 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 117 | |||||||||
2,515 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 146 | |||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 1,560 | ||||||||||
NUMBER OF CONTRACTS | |||||||||||
Put Options Purchased — 0.2% | |||||||||||
24 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.00, American Style | 11 | |||||||||
48 | 90 Day Eurodollar Futures, Expiring 12/17/07 @ $94.75, American Style | 9 | |||||||||
117 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 2 | |||||||||
NOTIONAL AMOUNT($) | |||||||||||
Put Options Purchased on Interest Rate Swaps: | |||||||||||
86,720 | Expiring 04/26/07. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 04/30/08, European Style | 35 | |||||||||
16,795 | Expiring 05/01/07. If exercised the Fund pays 5.54% and receives floating 3 month LIBOR expiring 05/03/12, European Style | 5 | |||||||||
10,070 | Expiring 05/08/07. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 05/10/12, European Style | 4 | |||||||||
16,445 | Expiring 05/16/07. If exercised the Fund pays 5.41% and receives floating 3 month LIBOR expiring 05/18/12, European Style | 14 | |||||||||
9,370 | Expiring 06/15/07. If exercised the Fund pays 4.91% and receives floating 3 month LIBOR expiring 06/19/08, European Style | 19 | |||||||||
50,780 | Expiring 10/02/08. If exercised the Fund pays 4.46% and receives floating 3 month LIBOR expiring 10/06/18, European Style | 519 | |||||||||
7,197 | Expiring 02/16/10. If exercised the Fund pays 5.85% and receives floating 3 month LIBOR expiring 02/18/20, European Style | 134 | |||||||||
Total Put Options Purchased | 752 | ||||||||||
Total Options Purchased (Cost $3,140) | 2,628 | ||||||||||
SHARES | |||||||||||
Short-Term Investments — 1.4% | |||||||||||
Investment Company — 1.2% | |||||||||||
4,080 | JPMorgan Prime Money Market Fund (b) (m) (Cost $4,080) | 4,080 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Securities — 0.2% | ||||||||||
U.S. Treasury Bills | ||||||||||
790 | 5.04%, 03/08/07 (k) (n) | 789 | ||||||||
25 | 5.07%, 05/24/07 (k) (n) | 25 | ||||||||
Total U.S. Treasury Securities (Cost $814) | 814 | |||||||||
Total Short-Term Investments (Cost $4,894) | 4,894 | |||||||||
Total Investments — 122.1% (Cost $433,434) | 430,038 | |||||||||
Liabilities in Excess of Other Assets — (22.1)% | (77,917 | ) | ||||||||
NET ASSETS — 100.0% | $ | 352,121 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 (USD) | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
22 | 30 Day Federal Funds | April, 2007 | $ | 8,686 | $ | (1 | ) | |||||||||||
36 | Eurodollar | June, 2007 | 8,533 | 1 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(227) | 2 Year U.S. Treasury Notes | June, 2007 | (46,524 | ) | (68 | ) | ||||||||||||
(512) | 5 Year U.S. Treasury Notes | June, 2007 | (54,248 | ) | (283 | ) | ||||||||||||
(70) | 10 Year U.S. Treasury Notes | June, 2007 | (7,602 | ) | (53 | ) | ||||||||||||
(72) | Eurodollar | June, 2007 | (17,066 | ) | 53 | |||||||||||||
(72) | Eurodollar | September, 2007 | (17,099 | ) | (8 | ) | ||||||||||||
(56) | Eurodollar | December, 2007 | (13,321 | ) | 45 | |||||||||||||
(60) | Eurodollar | March, 2008 | (14,288 | ) | (19 | ) | ||||||||||||
(48) | Eurodollar | June, 2008 | (11,435 | ) | (99 | ) | ||||||||||||
$ | (432 | ) |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE (USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(21,500) | FNMA, TBA, 5.50%, 04/25/37 | $ | (21,325 | ) | ||||||
(Proceeds received $21,209) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Future, American Style | $ | 96.00 | 09/17/07 | 106 | $ | (3 | ) | |||||||||||
(Premiums Received $18) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.96% semi-annually | 10/02/08 | 10/06/18 | $ | 43,541 | $ | (312 | ) | ||||||||||||||
Goldman Sachs Capital Management | 4.74% semi-annually | 06/01/07 | 06/05/08 | 26,960 | (4 | ) | ||||||||||||||||
(Premiums Received $607) | $ | (316 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Federal Funds Future, American Style | $ | 94.94 | 04/30/07 | 10 | $ | (7 | ) | |||||||||||
90 Day Eurodollar Future, American Style | 94.75 | 09/17/07 | 48 | (7 | ) | |||||||||||||
(Premiums Received $14) | $ | (14 | ) |
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | 5.99% semi-annually | 11/02/09 | 11/04/19 | $ | 19,400 | $ | (270 | ) | ||||||||||||||
Barclays Bank plc | 5.49% semi-annually | 04/02/07 | 04/04/12 | 20,995 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 5.40% semi-annually | 04/26/07 | 04/30/08 | 86,720 | (10 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.45% semi-annually | 04/05/07 | 04/11/12 | 12,600 | (2 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.36% semi-annually | 04/16/07 | 04/18/12 | 20,555 | (11 | ) | ||||||||||||||||
(Premiums Received $496) | $ | (295 | ) |
COUNTERPARTY | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.19% semi-annually | 01/04/12 | 01/06/17 | $ | 8,850 | $ | (428 | ) | ||||||||||||||
Bear Stearns | 5.24% semi-annually | 01/04/10 | 01/06/20 | 3,154 | (219 | ) | ||||||||||||||||
Credit Suisse International | 5.20% semi-annually | 01/05/09 | 01/07/19 | 5,189 | (300 | ) | ||||||||||||||||
Credit Suisse International | 5.56% semi-annually | 01/24/14 | 01/29/24 | 1,675 | (142 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.73% semi-annually | 12/12/07 | 12/14/08 | 54,150 | (272 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.25% semi-annually | 01/25/10 | 01/25/10 | 9,233 | (382 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.23% semi-annually | 12/06/13 | 12/10/23 | 6,009 | (514 | ) | ||||||||||||||||
(Premiums Received $2,374) | $ | (2,257 | ) |
* | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund would pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** | European Style |
AS OF FEBRUARY 28, 2007 (continued)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Bank of America | 5.24% semi-annually | 3 month LIBOR quarterly | 11/04/19 | $ | 9,447 | $ | (17 | ) | ||||||||||||||
Bank of America | 5.47% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 628 | (11 | ) | ||||||||||||||||
Barclays Bank plc | 4.96% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 2,164 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 4.85% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 2,418 | — | |||||||||||||||||
Barclays Bank plc | 5.01% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 1,895 | (3 | ) | ||||||||||||||||
Barclays Bank plc | 5.00% semi-annually | 3 month LIBOR quarterly | 01/07/09 | 3,201 | (5 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.84% semi-annually | 01/08/09 | 1,309 | — | (h) | ||||||||||||||||
Barclays Bank plc | 5.03% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 2,577 | (5 | ) | ||||||||||||||||
Barclays Bank plc | 5.07% semi-annually | 3 month LIBOR quarterly | 11/13/11 | 1,960 | (33 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.10% semi-annually | 01/27/15 | 643 | — | |||||||||||||||||
Barclays Bank plc | 5.21% semi-annually | 3 month LIBOR quarterly | 10/06/18 | 19,422 | (105 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.35% semi-annually | 02/18/20 | 2,362 | 18 | |||||||||||||||||
Citibank, N.A. | 5.25% semi-annually | 3 month LIBOR quarterly | 02/16/17 | 240 | (3 | ) | ||||||||||||||||
Citibank, N.A. | 5.19% semi-annually | 3 month LIBOR quarterly | 02/23/17 | 1,510 | (11 | ) | ||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/27/17 | 315 | (4 | ) | ||||||||||||||||
Citibank, N.A. | 5.16% semi-annually | 3 month LIBOR quarterly | 02/28/17 | 595 | (3 | ) | ||||||||||||||||
Citibank, N.A. | 5.10% semi-annually | 3 month LIBOR quarterly | 03/02/17 | 1,790 | — | |||||||||||||||||
Credit Suisse International | 4.77% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 8,192 | 5 | |||||||||||||||||
Credit Suisse International | 5.40% semi-annually | 3 month LIBOR quarterly | 01/06/17 | 407 | (2 | ) | ||||||||||||||||
Credit Suisse International | 5.48% semi-annually | 3 month LIBOR quarterly | 01/07/24 | 511 | (2 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.56% semi-annually | 01/29/24 | 226 | 2 | |||||||||||||||||
Credit Suisse International | 5.41% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 184 | (5 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.30% semi-annually | 3 month LIBOR quarterly | 01/26/17 | 1,400 | (22 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.42% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 235 | (6 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.31% semi-annually | 06/05/08 | 13,075 | 28 | |||||||||||||||||
Goldman Sachs Capital Management | 5.18% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 10,040 | (36 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.20% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 8,915 | (33 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.25% semi-annually | 01/27/15 | 462 | 2 | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.21% semi-annually | 02/22/17 | 1,349 | 13 | |||||||||||||||||
Lehman Brothers Special Financing (1) | 3 month LIBOR quarterly | 5.16% semi-annually | �� | 04/12/08 | 26,759 | (6 | ) | |||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.41% semi-annually | 04/12/08 | 2,887 | 6 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.35% semi-annually | 06/19/08 | 7,005 | 19 | |||||||||||||||||
Merrill Lynch Capital Services | 5.00% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 2,683 | (4 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.04% semi-annually | 01/24/09 | 2,157 | 4 | |||||||||||||||||
$ | (221 | ) |
(1) | Premium received of $91 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Alltel, 7.00%, 07/01/12 | Bank of America | Sell | 82 BPS quarterly | 03/20/12 | $ | 2,200 | $ | 14 | ||||||||||||||||||
Alltel, 7.00%, 07/01/12 | Morgan Stanley Capital Services | Buy | 117 BPS quarterly | 03/20/14 | 1,850 | (12 | ) | |||||||||||||||||||
Autozone, Inc., 5.88%, 10/15/12 | Bank of America | Sell | 40 BPS quarterly | 03/20/12 | 660 | 1 | ||||||||||||||||||||
Autozone, Inc., 5.88%, 10/15/12 | Bank of America | Buy | 58 BPS quarterly | 03/20/14 | 950 | (3 | ) | |||||||||||||||||||
Bear Stearns & Co., 7.63%, 12/07/09 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Berkshire Hathaway, Inc., 9.75%, 01/15/18 | Deutsche Bank AG, New York | Sell | 20 BPS quarterly | 03/20/10 | 8,800 | 44 | ||||||||||||||||||||
Burlington Northern Santa Fe Corp., 6.75%, 07/15/11 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 850 | — | (h) | |||||||||||||||||||
Caterpillar, Inc., 6.55%, 05/01/11 | Morgan Stanley Capital Services | Buy | 16 BPS quarterly | 03/20/12 | 850 | (1 | ) | |||||||||||||||||||
Cisco Systems, Inc., 5.25%, 02/22/11 | Lehman Brothers Special Financing | Buy | 11 BPS quarterly | 03/20/12 | 1,500 | (2 | ) | |||||||||||||||||||
Coca-Cola, 6.13%, 08/15/11 | Merrill Lynch International | Buy | 23 BPS quarterly | 03/20/12 | 900 | (2 | ) | |||||||||||||||||||
Corning, Inc., 6.30%, 03/01/09 | Goldman Sachs Capital Management | Sell | 43 BPS quarterly | 06/20/11 | 3,000 | 20 | ||||||||||||||||||||
Countrywide Financial Corp., 4.00%, 03/22/11 | Citibank, N.A. | Sell | 49 BPS quarterly | 03/20/12 | 1,200 | 1 | ||||||||||||||||||||
CSX Corp., 5.30%, 02/15/14 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 850 | — | (h) | |||||||||||||||||||
Dow Jones CDX.NA.IG.6 | Lehman Brothers Special Financing (2) | Sell | 50 BPS quarterly | 06/20/13 | 3,400 | 19 | ||||||||||||||||||||
Gannett Co., 6.38%, 03/31/12 | Lehman Brothers Special Financing | Buy | 63 BPS quarterly | 03/20/14 | 1,350 | (20 | ) | |||||||||||||||||||
Gazprom, 9.63%, 03/01/13 | Union Bank of Switzerland AG | Sell | 39 BPS semi-annually | 12/20/07 | 4,000 | — | (h) | |||||||||||||||||||
General Electric Capital Corp., 3.50%, 05/01/08 | Citibank, N.A. | Sell | 14 BPS quarterly | 12/20/07 | 23,000 | 30 | ||||||||||||||||||||
Goldman Sachs Group, Inc., 6.60%, 01/15/12 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Kroger Co. (The), 5.50%, 02/01/13 | Lehman Brothers Special Financing | Sell | 38 BPS quarterly | 03/20/12 | 600 | (1 | ) | |||||||||||||||||||
Kroger Co. (The), 5.50%, 02/01/13 | Lehman Brothers Special Financing | Buy | 58 BPS quarterly | 03/20/14 | 950 | 1 | ||||||||||||||||||||
Lehman Brothers, Inc., 6.63%, 01/18/12 | Bear Stearns Credit Products | Sell | 8 BPS quarterly | 06/20/07 | 7,400 | — | (h) | |||||||||||||||||||
Merrill Lynch & Co., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 7.5 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Merrill Lynch & Co., 6.00%, 02/17/09 | Deutsche Bank AG, New York | Sell | 9.5 BPS quarterly | 12/20/07 | 6,000 | 2 | ||||||||||||||||||||
Montpelier Re Holdings Ltd., 6.13%, 08/15/13 | Deutsche Bank AG, New York | Sell | 40 BPS quarterly | 12/20/07 | 2,600 | 2 | ||||||||||||||||||||
Morgan Stanley Dean Witter, 6.60%, 04/01/12 | Deutsche Bank AG, New York | Sell | 8 BPS quarterly | 06/20/07 | 4,900 | 1 | ||||||||||||||||||||
Nordstrom, 6.95%, 03/14/28 | Goldman Sachs Capital Management | Buy | 30 BPS quarterly | 03/20/14 | 1,300 | (6 | ) | |||||||||||||||||||
Norfolk Southern Corp., 7.70%, 05/15/17 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 850 | — | (h) | |||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 330 | — | (h) | |||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 3,240 | 1 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 3,240 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 330 | — | (h) | |||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 104 BPS semi-annually | 06/20/10 | 4,000 | 86 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Deutsche Bank AG, New York | Sell | 101 BPS semi-annually | 07/20/10 | 15,000 | 297 | ||||||||||||||||||||
Russian Federation, 5.00%, 03/31/30 | Morgan Stanley Capital Services | Sell | 140 BPS semi-annually | 04/20/10 | 10,000 | 344 | ||||||||||||||||||||
Sara Lee Corp., 6.13%, 11/01/32 | Bear Stearns Credit Products | Buy | 43 BPS quarterly | 12/20/11 | 1,100 | (2 | ) | |||||||||||||||||||
SunTrust Capital, 2.48%, 03/15/28 | Deutsche Bank AG, New York | Sell | 48 BPS quarterly | 06/30/07 | 12,400 | 18 | ||||||||||||||||||||
Tate & Lyle, 6.50%, 06/28/12 | Lehman Brothers Special Financing | Buy | 42 BPS semi-annually | 12/20/14 | 1,800 | 14 | ||||||||||||||||||||
Union Pacific Corp., 6.13%, 01/15/12 | Union Bank of Switzerland AG | Buy | 43 BPS quarterly | 03/20/14 | 850 | — | (h) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 29 BPS semi-annually | 05/20/08 | 26,260 | (42 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 105 BPS semi-annually | 06/20/10 | 4,000 | (92 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 96 BPS semi-annually | 07/20/10 | 15,000 | (291 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Sell | 66.75 BPS semi-annually | 05/20/11 | 11,670 | 128 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 112 BPS semi-annually | 04/20/10 | 10,000 | (271 | ) | |||||||||||||||||||
Viacom, Inc., 5.75%, 04/30/11 | Bear Stearns | Buy | 46 BPS quarterly | 06/20/11 | 2,200 | (8 | ) | |||||||||||||||||||
VTB Capital SA for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 1,650 | — | ||||||||||||||||||||
$ | 273 |
(2) | Premium paid of $15 |
AS OF FEBRUARY 28, 2007 (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (2) | U.S. Treasury Note, 3.38%, 09/15/09 | $ | 96.65 | 03/06/07 | $ | 18,350 | $ | 92 | ||||||||||||||
Citibank, N.A. (1) | U.S. Treasury Note, 4.13%, 08/15/10 | 98.03 | 03/06/07 | 16,950 | (129 | ) | ||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 5.00%, TBA | 96.05 | 04/05/07 | 4,330 | (42 | ) | ||||||||||||||||
Citibank, N.A. (1) | FNMA, 30 Year, 6.00%, TBA | 100.59 | 04/05/07 | 30,000 | (73 | ) | ||||||||||||||||
Credit Suisse International (2) | U.S. Treasury Note, 4.75%, 12/31/08 | 99.64 | 03/14/07 | 182,500 | 1,185 | |||||||||||||||||
Deutsche Bank AG, New York (1) | FNMA, 30 Year, 6.50%, TBA | 101.70 | 03/06/07 | 8,250 | (20 | ) | ||||||||||||||||
Deutsche Bank AG, New York (2) | FNMA, 30 Year, 5.00%, TBA | 97.14 | 04/05/07 | 15,000 | — | |||||||||||||||||
$ | 1,013 |
(2) | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2007
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 121.1% | |||||||||||
Asset-Backed Securities — 8.6% | |||||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
5 | Series 2003-CF, Class A4, 3.48%, 05/06/10 (m) | 5 | |||||||||
8 | Series 2003-DM, Class A4, 2.84%, 08/06/10 (m) | 8 | |||||||||
4 | Series 2004-DF, Class A3, 2.98%, 07/06/09 (m) | 4 | |||||||||
40 | BMW Vehicle Owner Trust, Series 2006-A, Class A3, 5.13%, 09/27/10 (m) | 40 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
17 | Series 2003-B, Class A4, 3.18%, 09/15/10 (m) | 17 | |||||||||
130 | Series 2005-C, Class A4A, 4.71%, 06/15/12 (m) | 129 | |||||||||
65 | Carmax Auto Owner Trust, Series 2006-2, Class A3, 5.15%, 02/15/11 (m) | 65 | |||||||||
125 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 5.54%, 01/09/12 (m) | 125 | |||||||||
250 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A , FRN, 5.47%, 08/25/36 (m) | 250 | |||||||||
80 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, 5.41%, 01/25/34 (m) | 80 | |||||||||
200 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF12, Class M2, FRN, 5.62%, 09/25/36 (m) | 200 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
75 | Series 2004-A, Class A4, 3.54%, 11/15/08 (m) | 74 | |||||||||
105 | Series 2005-C, Class A4, 4.36%, 06/15/10 (m) | 104 | |||||||||
250 | GE-WMC Mortgage Securities LLC, Series 2006-1, Class A2B, FRN, 5.47%, 08/25/36 (m) | 250 | |||||||||
124 | Harley-Davidson Motorcycle Trust, Series 2006-3, Class A2, 5.42%, 02/15/10 (m) | 125 | |||||||||
34 | Household Automotive Trust, Series 2003-2, Class A4, 3.02%, 12/17/10 (m) | 33 | |||||||||
189 | Lehman XS Trust, Series 2006-12N, Class A1A1, FRN, 5.40%, 08/25/46 (m) | 189 | |||||||||
7 | M&I Auto Loan Trust, Series 2003-1, Class A4, 2.97%, 04/20/09 (m) | 6 | |||||||||
225 | MASTR Asset Backed Securities Trust, Series 2006-HE, Class A3, FRN, 5.47%, 08/25/36 (m) | 225 | |||||||||
Onyx Acceptance Grantor Trust, | |||||||||||
6 | Series 2003-C, Class A4, 2.66%, 05/17/10 (m) | 6 | |||||||||
5 | Series 2003-D, Class A4, 3.20%, 03/15/10 (m) | 5 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
7 | Series 2003-4, Class A2, FRN, 5.64%, 07/25/33 (m) | 7 | |||||||||
2 | Series 2003-5, Class A2, FRN , 5.64%, 08/25/33 (m) | 2 | |||||||||
55 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 59 | |||||||||
Residential Asset Securities Corp., | |||||||||||
1 | Series 2002-KS4, Class AIIB, FRN, 5.82%, 07/25/32 (m) | 1 | |||||||||
2 | Series 2003-KS5, Class AIIB, FRN, 5.61%, 07/25/33 (m) | 2 | |||||||||
13 | Triad Auto Receivables Owner Trust, Series 2003-B, Class A4, 3.20%, 12/13/10 (m) | 13 | |||||||||
4 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, FRN, 5.75%, 12/25/32 (m) | 4 | |||||||||
WFS Financial Owner Trust, | |||||||||||
30 | Series 2003-3, Class A4, 3.25%, 05/20/11 (m) | 30 | |||||||||
8 | Series 2003-4, Class A4, 3.15%, 05/20/11 (m) | 8 | |||||||||
55 | World Omni Auto Receivables Trust, Series 2006-B, Class A3, 5.15%, 11/15/10 (m) | 55 | |||||||||
Total Asset-Backed Securities (Cost $2,121) | 2,121 | ||||||||||
Collateralized Mortgage Obligations — 8.5% | |||||||||||
Agency CMO — 2.3% | |||||||||||
68 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class GA, 5.00%, 11/15/28 (m) | 68 | |||||||||
Federal National Mortgage Association, REMIC, | |||||||||||
43 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 44 | |||||||||
51 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 51 | |||||||||
42 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 43 | |||||||||
51 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 52 | |||||||||
46 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 47 | |||||||||
209 | Series 2006-115, Class BF, FRN, 5.56%, 12/25/36 (m) | 209 | |||||||||
48 | Federal National Mortgage Association Whole Loan, Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 47 | |||||||||
561 | |||||||||||
Non-Agency CMO — 6.2% | |||||||||||
88 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 87 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
63 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) | 63 | |||||||||
77 | Series 2006-23CB, Class 2A1, 6.50%, 08/25/36 (m) | 78 | |||||||||
125 | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) | 125 | |||||||||
1,393 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.89%, 06/25/20 (e) | 6 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, HB, VAR, 80.45%, 07/28/27 (e) (i) | 1 | |||||||||
227 | Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, FRN, 5.53%, 11/19/36 (m) | 228 | |||||||||
86 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 87 | |||||||||
16 | MASTR Alternative Loans Trust, Series 2004-13, Class 10A1, 8.00%, 01/25/35 (m) | 17 | |||||||||
200 | Permanent Master Issuer plc (United Kingdom), Series 2006-12A, Class 2A, FRN, 5.40%, 10/15/15 (m) | 200 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
41 | Series 2006-QS6, Class 1A2, 6.00%, 06/25/36 (m) | 41 | |||||||||
90 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 91 | |||||||||
95 | Series 2006-QS16, Class A7, 6.00%, 11/25/36 (m) | 95 | |||||||||
55 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 05/25/36 (m) | 56 | |||||||||
238 | Thornburg Mortgage Securities Trust, Series 2006-6, Class A1, FRN, 5.43%, 12/25/36 (m) | 237 | |||||||||
51 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1, 6.00%, 07/25/36 (m) | 51 | |||||||||
55 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR3, Class A1, FRN, 5.71%, 03/25/36 (m) | 55 | |||||||||
1,518 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $2,071) | 2,079 | ||||||||||
Commercial Mortgage-Backed Securities — 2.4% | |||||||||||
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 (m) | 43 | |||||||||
60 | LB-UBS Commercial Mortgage Trust, Series 2001-C2, Class A2, 6.65%, 11/15/27 (m) | 63 | |||||||||
96 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 5.44%, 09/15/21 (e) (m) | 96 | |||||||||
100 | Morgan Stanley Capital I , Series 2007-HQ11, Class A4, VAR, 5.45%, 02/20/44 (m) | 101 | |||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 20 | |||||||||
85 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.31%, 11/15/48 (m) | 85 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $581) | 588 | ||||||||||
Corporate Bonds — 40.2% | |||||||||||
Aerospace & Defense — 0.2% | |||||||||||
40 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 39 | |||||||||
Air Freight & Logistics — 0.5% | |||||||||||
125 | FedEx Corp., FRN, 5.44%, 08/08/07 (m) | 125 | |||||||||
Auto Components — 0.3% | |||||||||||
35 | Tenneco, Inc., 8.63%, 11/15/14 (m) | 36 | |||||||||
30 | TRW Automotive, Inc., 11.00%, 02/15/13 (m) | 33 | |||||||||
15 | United Components, Inc., 9.38%, 06/15/13 (m) | 16 | |||||||||
85 | |||||||||||
Building Products — 0.2% | |||||||||||
40 | Owens Corning, Inc., 7.00%, 12/01/36 (e) (m) | 42 | |||||||||
Capital Markets — 6.4% | |||||||||||
45 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 44 | |||||||||
250 | Bear Stearns Cos., Inc. (The), FRN, 5.45%, 08/21/09 (m) | 250 | |||||||||
Credit Suisse, Nassau Branch (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (Turkey) | |||||||||||
TRL350 | 14.00%, 01/19/11 | 145 | |||||||||
120 | 14.00%, 01/19/11 | 76 | |||||||||
Goldman Sachs Group, Inc., | |||||||||||
$20 | 5.63%, 01/15/17 (m) | 20 | |||||||||
90 | 5.95%, 01/15/27 (m) | 90 | |||||||||
125 | FRN, 5.46%, 06/23/09 (m) | 125 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
85 | 5.50%, 04/04/16 (m) | 86 | |||||||||
125 | FRN, 5.61%, 11/10/09 (m) | 125 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
100 | 6.22%, 09/15/26 (m) | 103 | |||||||||
250 | FRN, 5.45%, 08/14/09 (m) | 250 | |||||||||
100 | FRN, 5.56%, 11/01/11 (m) | 100 | |||||||||
170 | Morgan Stanley, 4.75%, 04/01/14 (m) | 163 | |||||||||
1,577 | |||||||||||
Chemicals — 0.5% | |||||||||||
15 | Huntsman LLC, 11.50%, 07/15/12 (m) | 17 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Chemicals — Continued | |||||||||||
20 | Ineos Group Holdings (United Kingdom) plc, 8.50%, 02/15/16 (e) (m) | 19 | |||||||||
20 | Lyondell Chemical Co., 10.50%, 06/01/13 (m) | 22 | |||||||||
25 | Nalco Co., 7.75%, 11/15/11 (m) | 26 | |||||||||
30 | PolyOne Corp., 8.88%, 05/01/12 (m) | 30 | |||||||||
114 | |||||||||||
Commercial Banks — 6.5% | |||||||||||
160 | Barclays Bank plc (United Kingdom), 5.93% to 12/15/16; thereafter VAR, 12/31/49 (e) (m) | 164 | |||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) | 10 | |||||||||
285 | Glitnir Banki HF (Iceland), FRN, 5.80%, 01/21/11 (e) (m) | 285 | |||||||||
365 | HBOS Treasury Services plc (United Kingdom), 5.25%, 02/21/17 (e) | 370 | |||||||||
100 | ICICI Bank Ltd. (India), FRN, 5.90%, 01/12/10 (e) (m) | 101 | |||||||||
100 | Lloyds TSB Group plc (United Kingdom), 6.27% to 11/14/16; thereafter VAR 12/31/49 (e) (m) | 101 | |||||||||
100 | Shinsei Finance II (Cayman Islands), 7.16% to 07/25/16; thereafter VAR, 07/29/49 (e) (m) | 104 | |||||||||
50 | SunTrust Preferred Capital I, 5.85% to 12/15/11; thereafter VAR, 12/31/49 (m) | 51 | |||||||||
VTB Capital S.A. for Vneshtorgbank (Luxembourg), | |||||||||||
250 | FRN, 5.96%, 08/01/08 (e) (m) | 250 | |||||||||
10 | FRN, 8.26%, 07/30/07 (m) | 10 | |||||||||
150 | Wachovia Corp., 5.63%, 10/15/16 (m) | 153 | |||||||||
1,599 | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
40 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 40 | |||||||||
Allied Waste North America, Inc., | |||||||||||
15 | 7.25%, 03/15/15 (m) | 15 | |||||||||
25 | Series B, 7.38%, 04/15/14 (m) | 25 | |||||||||
20 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 20 | |||||||||
25 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (e) (m) | 26 | |||||||||
126 | |||||||||||
Consumer Finance — 1.7% | |||||||||||
65 | Ford Motor Credit Co., FRN, 6.93%, 01/15/10 (m) | 65 | |||||||||
55 | GMAC LLC, 6.88%, 08/28/12 (m) | 55 | |||||||||
SLM Corp., | |||||||||||
140 | 5.38%, 05/15/14 (m) | 141 | |||||||||
35 | 5.63%, 04/10/07 (m) | 35 | |||||||||
125 | FRN, 5.50%, 07/27/09 (m) | 125 | |||||||||
421 | |||||||||||
Containers & Packaging — 0.4% | |||||||||||
20 | AEP Industries, Inc., 7.88%, 03/15/13 (m) | 21 | |||||||||
5 | Ball Corp., 6.88%, 12/15/12 (m) | 5 | |||||||||
25 | Crown Americas LLC and Crown Americas Capital Corp., 7.75%, 11/15/15 (m) | 26 | |||||||||
35 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 37 | |||||||||
5 | Packaging Dynamics Finance Corp., 10.00%, 05/01/16 (e) (m) | 5 | |||||||||
94 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
15 | Service Corp. International, 7.38%, 10/01/14 (m) | 16 | |||||||||
Diversified Financial Services — 6.0% | |||||||||||
15 | Basell AF SCA (Luxembourg), 8.38%, 08/15/15 (e) (m) | 16 | |||||||||
125 | Caterpillar Financial Services Corp., FRN, 5.41%, 08/11/09 (m) | 125 | |||||||||
CIT Group, Inc., | |||||||||||
300 | 5.60%, 04/27/11 (m) | 304 | |||||||||
125 | FRN, 5.49%, 08/17/09 (m) | 125 | |||||||||
200 | Citigroup, Inc., 5.00%, 09/15/14 (m) | 196 | |||||||||
Kaupthing Bank Hf (Iceland), | |||||||||||
160 | 5.75%, 10/04/11 (e) (m) | 163 | |||||||||
100 | FRN, 6.06%, 01/15/10 (e) (m) | 101 | |||||||||
70 | Mizuho Capital Investment 1 Ltd. (Cayman Islands), 6.69% to 06/30/16; thereafter VAR, 03/29/49 (e) (m) | 72 | |||||||||
5 | National Rural Utilities Cooperative Finance Corp., 6.50%, 03/01/07 (m) | 5 | |||||||||
35 | Resona Preferred Global Securities Cayman Ltd. (Cayman Islands), 7.19% to 07/30/15; thereafter VAR 12/29/49 (e) (m) | 38 | |||||||||
100 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08% to 01/25/17; thereafter VAR, 01/29/49 (e) (m) | 101 | |||||||||
190 | TRAINS, Series HY-1-2006, 7.55%, 05/01/16 (e) (m) | 193 | |||||||||
45 | Visant Corp., 7.63%, 10/01/12 (m) | 46 | |||||||||
1,485 | |||||||||||
Diversified Telecommunication Services — 1.3% | |||||||||||
10 | Citizens Communications Co., 6.25%, 01/15/13 (m) | 10 | |||||||||
29 | Consolidated Communications Holdings, Inc., 9.75%, 04/01/12 (m) | 31 | |||||||||
30 | Qwest Communications International, Inc., FRN, 8.86%, 02/15/09 (m) | 30 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
Qwest Corp., | |||||||||||
5 | 7.50%, 10/01/14 (m) | 5 | |||||||||
10 | 8.88%, 03/15/12 (m) | 11 | |||||||||
180 | Verizon Global Funding Corp., 7.38%, 09/01/12 (m) | 199 | |||||||||
20 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) (m) | 23 | |||||||||
309 | |||||||||||
Electric Utilities — 0.2% | |||||||||||
35 | ITC Holdings Corp., 6.38%, 09/30/36 (e) (m) | 37 | |||||||||
15 | Midwest Generation LLC, 8.75%, 05/01/34 (m) | 16 | |||||||||
53 | |||||||||||
Electronic Equipment & Instruments — 0.1% | |||||||||||
15 | Celestica, Inc. (Canada), 7.88%, 07/01/11 (m) | 15 | |||||||||
Energy Equipment & Services — 0.1% | |||||||||||
25 | Hanover Compressor Co., 9.00%, 06/01/14 (m) | 27 | |||||||||
Food & Staples Retailing — 0.2% | |||||||||||
45 | CVS Lease Pass-Through, 6.04%, 12/10/28 (e) (m) | 45 | |||||||||
Food Products — 0.0% (g) | |||||||||||
2 | Dole Food Co., Inc., 7.25%, 06/15/10 (m) | 2 | |||||||||
Gas Utilities — 0.0% (g) | |||||||||||
10 | Sonat, Inc., 7.63%, 07/15/11 (m) | 11 | |||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
35 | Fresenius Medical Care Capital Trust II, 7.88%, 02/01/08 (m) | 36 | |||||||||
Health Care Providers & Services — 0.6% | |||||||||||
HCA, Inc., | |||||||||||
35 | 9.25%, 11/15/16 (e) (m) | 38 | |||||||||
30 | 9.63%, 11/15/16 (e) (m) | 32 | |||||||||
15 | Select Medical Corp., 7.63%, 02/01/15 (m) | 13 | |||||||||
30 | Tenet Healthcare Corp., 9.25%, 02/01/15 (m) | 30 | |||||||||
25 | Triad Hospitals, Inc., 7.00%, 11/15/13 (m) | 26 | |||||||||
139 | |||||||||||
Hotels, Restaurants & Leisure — 0.3% | |||||||||||
MGM Mirage, | |||||||||||
5 | 5.88%, 02/27/14 (m) | 5 | |||||||||
35 | 6.75%, 04/01/13 (m) | 35 | |||||||||
15 | 6.88%, 04/01/16 (m) | 14 | |||||||||
20 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) | 20 | |||||||||
74 | |||||||||||
Household Durables — 0.5% | |||||||||||
25 | ALH Finance LLC/ALH Finance Corp., 8.50%, 01/15/13 (m) | 25 | |||||||||
20 | Ames True Temper, FRN, 9.36%, 01/15/12 (m) | 20 | |||||||||
Beazer Homes USA, Inc., | |||||||||||
10 | 6.50%, 11/15/13 (m) | 10 | |||||||||
10 | 6.88%, 07/15/15 (m) | 10 | |||||||||
10 | DR Horton, Inc., 5.63%, 09/15/14 (m) | 10 | |||||||||
25 | Jarden Corp., 7.50%, 05/01/17 (m) | 25 | |||||||||
25 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 26 | |||||||||
126 | |||||||||||
Household Products — 0.3% | |||||||||||
45 | Gregg Appliances, Inc., 9.00%, 02/01/13 (m) | 47 | |||||||||
20 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) | 17 | |||||||||
64 | |||||||||||
Independent Power Producers & Energy Traders — 0.1% | |||||||||||
15 | AES Corp. (The), 8.88%, 02/15/11 (m) | 16 | |||||||||
Insurance — 1.8% | |||||||||||
210 | ING Capital Funding Trust III, 8.44% to 12/31/10; thereafter VAR, 12/29/49 (m) | 233 | |||||||||
70 | Lincoln National Corp., VAR, 7.00%, 05/17/66 | 75 | |||||||||
35 | MetLife, Inc., 6.40%, 12/15/36 (m) | 35 | |||||||||
100 | Swiss RE Capital I LP, 6.85% to 05/25/16; thereafter VAR, 05/29/49 (e) (m) | 106 | |||||||||
449 | |||||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
20 | Brookstone Co., Inc., 12.00%, 10/15/12 (m) | 21 | |||||||||
IT Services — 0.1% | |||||||||||
35 | Iron Mountain, Inc., 7.75%, 01/15/15 (m) | 36 | |||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
15 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) | 15 | |||||||||
Machinery — 0.2% | |||||||||||
50 | Terex Corp., 7.38%, 01/15/14 (m) | 51 | |||||||||
Media — 1.4% | |||||||||||
15 | Cablevision Systems Corp., Series B, 8.00%, 04/15/12 (m) | 15 | |||||||||
65 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 68 | |||||||||
50 | DIRECTV Holdings LLC, 6.38%, 06/15/15 (m) | 48 | |||||||||
Echostar DBS Corp., | |||||||||||
5 | 6.63%, 10/01/14 (m) | 5 | |||||||||
40 | 7.13%, 02/01/16 (m) | 41 | |||||||||
25 | Lodgenet Entertainment Corp., 9.50%, 06/15/13 (m) | 27 | |||||||||
30 | RH Donnelley Finance Corp. I, 10.88%, 12/15/12 (e) (m) | 33 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Media — Continued | |||||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 (m) | 12 | |||||||||
45 | Time Warner, Inc., 5.88%, 11/15/16 (m) | 46 | |||||||||
30 | Videotron Ltee (Canada), 6.88%, 01/15/14 (m) | 30 | |||||||||
25 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) | 24 | |||||||||
349 | |||||||||||
Metals & Mining — 0.1% | |||||||||||
25 | Novelis, Inc. (Canada), 7.25%, 02/15/15 (m) | 26 | |||||||||
Multi-Utilities — 0.4% | |||||||||||
Dominion Resources, Inc., | |||||||||||
50 | 6.30%, 03/15/33 (m) | 52 | |||||||||
15 | Series A, 8.13%, 06/15/10 (m) | 17 | |||||||||
25 | NRG Energy, Inc., 7.38%, 02/01/16 (m) | 25 | |||||||||
94 | |||||||||||
Oil, Gas & Consumable Fuels — 1.7% | |||||||||||
40 | Chesapeake Energy Corp., 7.00%, 08/15/14 (m) | 41 | |||||||||
25 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) | 25 | |||||||||
20 | Energy Transfer Partners LP, 6.63%, 10/15/36 (m) | 21 | |||||||||
34 | Gaz Capital S.A. (Luxembourg), 8.63%, 04/28/34 (m) | 44 | |||||||||
62 | Gazprom International S.A. (Luxembourg), 7.20%, 02/01/20 (m) | 65 | |||||||||
25 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 (m) | 26 | |||||||||
15 | Newfield Exploration Co., 6.63%, 04/15/16 (m) | 15 | |||||||||
120 | OAO Gazprom (Germany), 9.63%, 03/01/13 (e) (m) | 142 | |||||||||
40 | ONEOK Partners LP, 5.90%, 04/01/12 (m) | 41 | |||||||||
420 | |||||||||||
Paper & Forest Products — 0.3% | |||||||||||
75 | Georgia-Pacific Corp., 9.50%, 12/01/11 (m) | 84 | |||||||||
Personal Products — 0.0% (g) | |||||||||||
10 | Del Laboratories, Inc., FRN, 10.36%, 11/01/11 (m) | 10 | |||||||||
Real Estate Investment Trusts (REITs) — 1.9% | |||||||||||
20 | Host Marriott LP REIT, Series Q, 6.75%, 06/01/16 (m) | 20 | |||||||||
100 | iStar Financial, Inc., FRN, 5.76%, 03/03/08 (m) | 100 | |||||||||
15 | Rouse Co LP/TRC Co-Issuer, Inc., 6.75%, 05/01/13 (e) (m) | 16 | |||||||||
320 | WEA Finance LLC/WCI Finance LLC (Australia), 5.70%, 10/01/16 (e) (m) | 328 | |||||||||
464 | |||||||||||
Road & Rail — 0.2% | |||||||||||
20 | Hertz Corp., 8.88%, 01/01/14 (m) | 22 | |||||||||
25 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) | 25 | |||||||||
47 | |||||||||||
Software — 0.2% | |||||||||||
35 | UGS Corp., 10.00%, 06/01/12 (m) | 38 | |||||||||
Specialty Retail — 0.2% | |||||||||||
40 | Home Depot, Inc., 5.88%, 12/16/36 (m) | 40 | |||||||||
Thrifts & Mortgage Finance — 3.1% | |||||||||||
200 | CAM US Finance S.A. Sociedad Unipersonal (Spain), FRN, 5.51%, 02/01/10 (e) (m) | 200 | |||||||||
Residential Capital LLC, | |||||||||||
170 | 6.38%, 06/30/10 (m) | 171 | |||||||||
150 | FRN, 5.85%, 06/09/08 (m) | 150 | |||||||||
50 | Washington Mutual, Inc., FRN, 5.50%, 08/24/09 (m) | 50 | |||||||||
100 | Washington Mutual Preferred Funding Delaware, 6.53% to 03/15/11; thereafter VAR, 03/29/49 (e) (m) | 101 | |||||||||
100 | Washington Mutual Preferred Funding II, 6.67% to 12/15/16; thereafter VAR, 12/31/49 (e) (m) | 101 | |||||||||
773 | |||||||||||
Wireless Telecommunication Services — 1.3% | |||||||||||
100 | America Movil S.A. de C.V. (Mexico), FRN, 5.47%, 06/27/08 (e) (m) | 100 | |||||||||
15 | Intelsat Bermuda Ltd. (Bermuda), 9.25%, 06/15/16 (e) (m) | 17 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
10 | 7.88%, 03/01/11 (m) | 11 | |||||||||
75 | 8.13%, 05/01/12 (m) | 85 | |||||||||
10 | 8.75%, 03/01/31 (m) | 13 | |||||||||
15 | Rogers Wireless, Inc. (Canada), 6.38%, 03/01/14 (m) | 15 | |||||||||
75 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) | 75 | |||||||||
316 | |||||||||||
Total Corporate Bonds (Cost $9,923) | 9,873 | ||||||||||
Foreign Government Securities — 11.4% | |||||||||||
Argentina — 1.6% | |||||||||||
Government of Argentina, | |||||||||||
205 | 8.28%, 12/31/33 (m) | 234 | |||||||||
210 | FRN, 5.48%, 08/03/12 (m) | 150 | |||||||||
384 |
AS OF FEBRUARY 28, 2007 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Barbados — 0.1% | |||||||||||
15 | Barbados Government International Bond, Regulation S, 7.25%, 12/15/21 (m) | 17 | |||||||||
Brazil — 0.7% | |||||||||||
110 | Federal Republic of Brazil, 12.25%, 03/06/30 (m) | 187 | |||||||||
Canada — 0.3% | |||||||||||
50 | Province of Quebec, 7.50%, 09/15/29 (m) | 64 | |||||||||
Colombia — 0.6% | |||||||||||
Government of Colombia, | |||||||||||
65 | 8.25%, 12/22/14 (m) | 74 | |||||||||
20 | 10.38%, 01/28/33 (m) | 29 | |||||||||
40 | 10.75%, 01/15/13 (m) | 49 | |||||||||
152 | |||||||||||
Dominican Republic — 1.2% | |||||||||||
Government of Dominican Republic, | |||||||||||
210 | 9.04%, 01/23/18 (e) (m) | 243 | |||||||||
43 | 9.50%, 09/27/11 (m) | 46 | |||||||||
289 | |||||||||||
El Salvador — 0.5% | |||||||||||
El Salvador Government International Bond, | |||||||||||
35 | 7.63%, 09/21/34 (e) (m) | 40 | |||||||||
80 | 8.25%, 04/10/32 (e) (m) | 96 | |||||||||
136 | |||||||||||
Indonesia — 0.5% | |||||||||||
119 | Government of Indonesia, 7.25%, 04/20/15 (m) | 128 | |||||||||
Malaysia — 0.5% | |||||||||||
Government of Malaysia, | |||||||||||
50 | 7.50%, 07/15/11 (m) | 55 | |||||||||
70 | 8.75%, 06/01/09 (m) | 75 | |||||||||
130 | |||||||||||
Mexico — 1.0% | |||||||||||
United Mexican States, | |||||||||||
40 | 7.50%, 01/14/12 (m) | 44 | |||||||||
25 | 8.00%, 09/24/22 (m) | 30 | |||||||||
35 | 8.30%, 08/15/31 (m) | 45 | |||||||||
125 | FRN, 6.06%, 01/13/09 (m) | 126 | |||||||||
245 | |||||||||||
Panama — 0.6% | |||||||||||
Government of Panama, | |||||||||||
60 | 7.13%, 01/29/26 (m) | 65 | |||||||||
15 | 7.25%, 03/15/15 (m) | 16 | |||||||||
45 | 8.88%, 09/30/27 (m) | 57 | |||||||||
10 | 9.38%, 07/23/12 (m) | 12 | |||||||||
150 | |||||||||||
Peru — 0.8% | |||||||||||
Government of Peru, | |||||||||||
192 | VAR, 5.00%, 03/07/17 (m) | 191 | |||||||||
Philippines — 0.2% | |||||||||||
Government of Philippines, | |||||||||||
40 | 10.63%, 03/16/25 (m) | 57 | |||||||||
Russia — 0.9% | |||||||||||
Russia Federation, | |||||||||||
75 | 12.75%, 06/24/28 (m) | 136 | |||||||||
69 | SUB, 5.00%, 03/31/30 (m) | 78 | |||||||||
214 | |||||||||||
Trinidad & Tobago — 0.3% | |||||||||||
50 | Trinidad & Tobago Government International Bond, 9.75%, 07/01/20 (m) | 67 | |||||||||
Turkey — 0.2% | |||||||||||
Government of Turkey, | |||||||||||
35 | 7.38%, 02/05/25 (m) | 36 | |||||||||
16 | 8.00%, 02/14/34 (m) | 17 | |||||||||
53 | |||||||||||
Ukraine — 1.0% | |||||||||||
250 | Government of Ukraine, 6.88%, 03/04/11 (e) (m) | 257 | |||||||||
Uruguay — 0.4% | |||||||||||
100 | Government of Uruguay, 8.00%, 11/18/22 (m) | 112 | |||||||||
Total Foreign Government Securities (Cost $2,554) | 2,833 | ||||||||||
Mortgage Pass-Through Securities — 40.7% | |||||||||||
Federal Home Loan Mortgage Corp. Various Pools, | |||||||||||
2,175 | TBA, 5.00%, 03/15/37 | 2,111 | |||||||||
50 | TBA, 5.50%, 03/15/37 | 50 | |||||||||
175 | TBA, 6.50%, 03/15/36 | 178 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pool, | |||||||||||
359 | 5.00%, 09/01/35 – 10/01/35 (m) | 349 | |||||||||
9 | 6.00%, 05/01/17 (m) | 9 | |||||||||
38 | 6.00%, 01/01/35 | 38 | |||||||||
185 | 7.00%, 07/01/36 (m) | 190 | |||||||||
Federal National Mortgage Association Various Pools, | |||||||||||
850 | 4.50%, 03/25/22 | 824 | |||||||||
100 | 4.50%, 03/25/36 | 94 | |||||||||
731 | 5.50%, 06/01/34 – 12/01/34 (m) | 727 | |||||||||
1,250 | 6.00%, 03/25/21 (m) | 1,269 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
1,393 | 6.00%, 03/01/33 – 03/25/37 | 1,407 | |||||||||
283 | 6.50%, 01/01/35 – 02/01/35 (m) | 290 | |||||||||
1,012 | 7.00%, 02/01/35 – 07/01/36 | 1,040 | |||||||||
346 | FRN, 5.60%, 12/01/36 (m) | 347 | |||||||||
185 | TBA, 6.50%, 04/25/37 | 188 | |||||||||
Government National Mortgage Association Various Pools, | |||||||||||
280 | TBA, 6.00%, 03/15/37 | 284 | |||||||||
600 | TBA, 6.50%, 03/15/37 | 615 | |||||||||
Total Mortgage Pass-Through Securities (Cost $10,015) | 10,010 | ||||||||||
Private Placements — 7.2% | |||||||||||
1,177 | 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) | 1,258 | |||||||||
464 | 3512 Oxford Ave., Secured by First Mortgage and Agreement on Co-op Apartment in Riverdale, New York, 8.45%, 06/01/17 (f)(i) | 519 | |||||||||
Total Private Placements (Cost $1,641) | 1,777 | ||||||||||
U.S. Treasury Obligations — 2.1% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
25 | 4.50%, 02/15/36 | 24 | |||||||||
125 | 5.50%, 08/15/28 (k) (m) | 137 | |||||||||
80 | U.S. Treasury Inflation Indexed Bond, 2.38%, 01/15/27 (m) | 82 | |||||||||
U.S. Treasury Notes, | |||||||||||
15 | 3.63%, 04/30/07 (m) | 15 | |||||||||
15 | 4.13%, 08/15/10 (m) | 15 | |||||||||
10 | 4.25%, 08/15/15 (m) | 10 | |||||||||
25 | 4.50%, 11/30/11 (m) | 25 | |||||||||
75 | 4.63%, 11/15/16 (m) | 75 | |||||||||
10 | 5.13%, 06/30/08 (m) | 10 | |||||||||
105 | 5.13%, 06/30/11 (k) (m) | 108 | |||||||||
20 | 6.63%, 05/15/07 (m) | 20 | |||||||||
Total U.S. Treasury Obligations (Cost $502) | 521 | ||||||||||
SHARES | |||||||||||
Warrant — 0.0% (g) | |||||||||||
—(h) | Startec Global Communications Corp., expires 05/15/08 (a) (e) (f) (i) (Cost $—(h)) | — | (h) | ||||||||
Total Long-Term Investments (Cost $29,408) | 29,802 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE ($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 4.8% | |||||||||||
Call Options Purchased — 0.9% | |||||||||||
29 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 2 | |||||||||
16 | 30 Day Federal Funds Futures, Expiring 4/30/07 @ $95.00, American Style | — | (h) | ||||||||
26 | 90 Day Eurodollar Futures, Expiring 03/19/07 @ $94.75, American Style | — | (h) | ||||||||
29 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.75, American Style | 1 |
NOTIONAL AMOUNT ($) | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Call Options Purchased on Interest Rate Swaps: | ||||||||||
13,610 | Expiring 11/02/09. If exercised the Fund receives 4.49% and pays floating 3 month LIBOR expiring 11/04/19, European Style | 213 | ||||||||
Total Call Options Purchased | 216 | |||||||||
Receiver/Payer Straddle on Interest Rate Swaps — 3.4% | ||||||||||
1,125 | Expiring 03/02/07. If exercised the Fund pays/receives 5.31% and receives/pays floating 3 month LIBOR expiring 03/06/17, European Style | 19 | ||||||||
1,125 | Expiring 03/13/07. If exercised the Fund pays/receives 5.33% and receives/pays floating 3 month LIBOR expiring 03/15/17, European Style | 21 | ||||||||
1,430 | Expiring 03/16/07. If exercised the Fund pays/receives 5.19% and receives/pays floating 3 month LIBOR expiring 03/20/17, European Style | 17 | ||||||||
815 | Expiring 03/23/07. If exercised the Fund pays/receives 5.20% and receives/pays floating 3 month LIBOR expiring 03/27/17, European Style | 11 | ||||||||
1,105 | Expiring 03/27/07. If exercised the Fund pays/receives 5.10% and receives/pays floating 3 month LIBOR expiring 03/29/17, European Style | 14 | ||||||||
19,180 | Expiring 04/10/07. If exercised the Fund pays/receives 4.88% and receives/pays floating 3 month LIBOR expiring 04/12/08, European Style | 56 | ||||||||
15,270 | Expiring 06/01/07. If exercised the Fund pays/receives 4.74% and receives/pays floating 3 month LIBOR expiring 06/05/08, European Style | 55 | ||||||||
7,672 | Expiring 01/03/08. If exercised the Fund pays/receives 4.89%, and receives/pays 3 month LIBOR expiring 01/07/09, European Style | 39 |
AS OF FEBRUARY 28, 2007 (continued)
NOTIONAL AMOUNT ($) | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver/Payer Straddle on Interest Rate Swaps — Continued | ||||||||||
7,672 | Expiring 01/03/08. If exercised the Fund pays/receives 4.95% and receives/pays floating 3 month LIBOR expiring 01/07/09, European Style | 40 | ||||||||
11,472 | Expiring 01/04/08. If exercised the Fund pays/receives 4.84% and receives/pays floating 3 month LIBOR expiring 01/08/09, European Style | 59 | ||||||||
7,600 | Expiring 01/07/08. If exercised the Fund pays/receives 4.94% and receives/pays floating 3 month LIBOR expiring 01/09/09, European Style | 40 | ||||||||
15,245 | Expiring 01/22/08. If exercised the Fund pays/receives 5.12% and receives/pays floating 3 month LIBOR expiring 01/24/09, European Style | 88 | ||||||||
14,140 | Expiring 10/02/08. If exercised the Fund pays/receives 4.46% and pays/receives floating 3 month LIBOR expiring 10/06/18, European Style | 145 | ||||||||
1,387 | Expiring 01/03/14. If exercised the Fund pays/receives 5.42% and receives/pays floating 3 month LIBOR expiring 01/07/24, European Style | 118 | ||||||||
915 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 53 | ||||||||
1,140 | Expiring 01/25/27. If exercised the Fund pays/receives 5.47% and receives/pays floating 3 month LIBOR expiring 01/27/37, European Style | 66 | ||||||||
Total Receiver/Payer Straddle on Interest Rate Swaps | 841 | |||||||||
NUMBER OF CONTRACTS | ||||||||||
Put Options Purchased — 0.5% | ||||||||||
9 | 30 Day Federal Funds Futures, Expiring 05/31/07 @ $94.63, American Style | 1 | ||||||||
9 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.69, American Style | — | (h) | |||||||
55 | 30 Day Federal Funds Futures, Expiring 04/30/07 @ $94.75, American Style | 1 | ||||||||
29 | 90 Day Eurodollar Futures, Expiring 12/17/07 @ $94.75, American Style | 5 | ||||||||
13 | 90 Day Eurodollar Futures, Expiring 09/17/07 @ $95.00, American Style | 6 |
NOTIONAL VALUE($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — Continued | |||||||||||
Put Options Purchased on Interest Rate Swaps: | |||||||||||
57,225 | Expiring 04/26/07. If exercised the Fund pays 5.25% and receives floating 3 month LIBOR expiring 04/25/08, European Style | 23 | |||||||||
6,900 | Expiring 05/01/07. If exercised the Fund pays 5.54% and receives floating 3 month LIBOR expiring 05/03/12, European Style | 2 | |||||||||
4,140 | Expiring 05/08/07. If exercised the Fund pays 5.50% and receives floating 3 month LIBOR expiring 05/10/12, European Style | 2 | |||||||||
6,855 | Expiring 05/16/07. If exercised the Fund pays 5.41% and receives floating 3 month LIBOR expiring 05/18/12, European Style | 6 | |||||||||
5,285 | Expiring 6/15/07. If exercised the Fund pays 4.91% and receives floating 3 month LIBOR expiring 6/19/08, European Style | 11 | |||||||||
3,155 | Expiring 02/16/10. If exercised the Fund pays 5.85% and receives floating 3 month LIBOR expiring 02/18/20, European Style | 59 | |||||||||
Total Put Options Purchased | 116 | ||||||||||
Total Options Purchased (Cost $1,411) | 1,173 | ||||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Short-Term Investments — 7.6% | |||||||||||
Commercial Paper — 3.0% | |||||||||||
750 | Edison Asset Securitization LLC, 5.29%, 04/04/07 (e) (m) (n) (Cost $746) | 746 | |||||||||
SHARES | |||||||||||
Investment Company — 4.6% | |||||||||||
1,136 | JPMorgan Prime Money Market Fund (b) (m) (Cost $1,136) | 1,136 | |||||||||
Total Short-Term Investments (Cost $1,882) | 1,882 | ||||||||||
Total Investments — 133.5% (Cost $32,701) | 32,857 | ||||||||||
Liabilities in Excess of Other Assets — (33.5)% | (8,252 | ) | |||||||||
NET ASSETS — 100.0% | $ | 24,605 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/28/07 | | UNREALIZED APPRECIATION (DEPRECIATION) (USD) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
12 | Eurodollar | June, 2007 | $ | 2,844 | $ | — | (h) | |||||||||||
3 | U.K. treasury Gilt | June, 2007 | 644 | 2 | ||||||||||||||
6 | U.S. Treasury Bonds | June, 2007 | 678 | 3 | ||||||||||||||
8 | 2 Year U.S. Treasury Notes | June, 2007 | 1,640 | 5 | ||||||||||||||
1 | 10 Year Canada Bond | June, 2007 | 97 | 1 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(3) | Euro-Bund | March, 2007 | (461 | ) | 7 | |||||||||||||
(11) | Euro-Schatz | March, 2007 | (1,508 | ) | (2 | ) | ||||||||||||
(33) | 5 Year U.S. Treasury Notes | June, 2007 | (3,496 | ) | (8 | ) | ||||||||||||
(6) | 10 Year U.S. Treasury Notes | June, 2007 | (652 | ) | (5 | ) | ||||||||||||
$ | 3 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE (USD) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(700) | FNMA, TBA, 5.50%, 03/25/37 (Proceeds received $696) | $ | (694 | ) | ||||||
DESCRIPTION | | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Future, American Style | $ | 94.63 | 03/19/07 | 13 | $ | (1 | ) | |||||||||||||||
90 Day Eurodollar Future, American Style | 96.00 | 09/17/07 | 58 | (1 | ) | |||||||||||||||||
(Premiums received of $13) | $ | (2 | ) |
COUNTERPARTY | | EXERCISE RATE* | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Capital Management | 4.74% semi-annually | 06/01/07 | 06/05/08 | $ | 15,270 | $ | (2 | ) | ||||||||||||||||||
(Premiums received of $11) |
DESCRIPTION | | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE (USD) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Future, American Style | $ | 94.75 | 09/17/07 | 26 | $ | (4 | ) | |||||||||||||||
30 Day Fed Funds Future, American Style | 94.94 | 04/30/07 | 8 | (6 | ) | |||||||||||||||||
30 Day Fed Funds Future, American Style | 94.75 | 04/30/07 | 9 | — | (h) | |||||||||||||||||
(Premiums received of $10) | $ | (10 | ) |
AS OF FEBRUARY 28, 2007 (continued)
COUNTERPARTY | | EXERCISE RATE** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | 5.99% semi-annually | 11/02/09 | 11/04/19 | $ | 13,610 | $ | (189 | ) | ||||||||||||||
Barclays Bank plc | 5.40% semi-annually | 04/26/07 | 04/30/08 | 57,225 | (7 | ) | ||||||||||||||||
Barclays Bank plc | 5.49% semi-annually | 04/02/07 | 04/04/12 | 8,625 | (1 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.45% semi-annually | 04/05/07 | 04/11/12 | 5,175 | (1 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.36% semi-annually | 04/16/07 | 04/18/12 | 8,565 | (5 | ) | ||||||||||||||||
(Premiums received of $326) | $ | (203 | ) |
NAME OF ISSUER | | EXERCISE RATE*** | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 5.19% semi-annually | 01/04/12 | 01/06/17 | $ | 3,800 | $ | (184 | ) | ||||||||||||||
Barclays Bank plc | 5.96% semi-annually | 10/02/08 | 10/06/18 | 12,124 | (87 | ) | ||||||||||||||||
Bear Stearns | 5.24% semi-annually | 01/04/10 | 01/06/20 | 1,246 | (86 | ) | ||||||||||||||||
Credit Suisse International | 5.56% semi-annually | 01/24/14 | 01/29/24 | 763 | (65 | ) | ||||||||||||||||
Credit Suisse International | 5.20% semi-annually | 01/05/09 | 01/07/19 | 2,053 | (119 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.25% semi-annually | 01/25/10 | 01/25/10 | 4,192 | (174 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.23% semi-annually | 12/06/13 | 12/10/23 | 2,376 | (203 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 4.73% semi-annually | 12/12/07 | 12/14/08 | 23,016 | (115 | ) | ||||||||||||||||
(Premiums received of $1,158) | $ | (1,033 | ) |
* | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** | The Fund would pay or receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** | European Style |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
Bank of America | 5.24% semi-annually | 3 month LIBOR quarterly | 11/04/19 | $ | 7,244 | $ | (12 | ) | ||||||||||||||
Bank of America | 5.47% semi-annually | 3 month LIBOR quarterly | 11/04/19 | 273 | (5 | ) | ||||||||||||||||
Barclays Bank plc | 4.96% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 953 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 4.85% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 1,066 | — | |||||||||||||||||
Barclays Bank plc | 5.01% semi-annually | 3 month LIBOR quarterly | 12/14/08 | 806 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.00% semi-annually | 3 month LIBOR quarterly | 01/07/09 | 1,282 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.84% semi-annually | 01/08/09 | 558 | — | (h) | ||||||||||||||||
Barclays Bank plc | 5.03% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 1,128 | (2 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.10% semi-annually | 01/27/15 | 300 | — | |||||||||||||||||
Barclays Bank plc | 5.12% semi-annually | 3 month LIBOR quarterly | 03/27/17 | 245 | (1 | ) | ||||||||||||||||
Barclays Bank plc | 5.21% semi-annually | 3 month LIBOR quarterly | 10/06/18 | 5,425 | (29 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 5.35% semi-annually | 02/18/20 | 1,035 | 8 | |||||||||||||||||
Citibank, N.A. | 5.11% semi-annually | 3 month LIBOR quarterly | 02/15/17 | 805 | — | |||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/15/17 | 820 | (7 | ) | ||||||||||||||||
Citibank, N.A. | 5.25% semi-annually | 3 month LIBOR quarterly | 02/16/17 | 145 | (2 | ) | ||||||||||||||||
Citibank, N.A. | 5.19% semi-annually | 3 month LIBOR quarterly | 02/23/17 | 910 | (6 | ) | ||||||||||||||||
Citibank, N.A. | 5.20% semi-annually | 3 month LIBOR quarterly | 02/27/17 | 290 | (2 | ) | ||||||||||||||||
Citibank, N.A. | 5.16% semi-annually | 3 month LIBOR quarterly | 02/28/17 | 360 | (2 | ) | ||||||||||||||||
Citibank, N.A. | 5.10% semi-annually | 3 month LIBOR quarterly | 03/02/17 | 1,080 | — | |||||||||||||||||
Credit Suisse International | 4.77% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 3,617 | 2 | |||||||||||||||||
Credit Suisse International | 5.40% semi-annually | 3 month LIBOR quarterly | 01/06/17 | 204 | (1 | ) | ||||||||||||||||
Credit Suisse International | 5.48% semi-annually | 3 month LIBOR quarterly | 01/07/24 | 202 | (1 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 5.56% semi-annually | 01/29/24 | 103 | 1 | |||||||||||||||||
Credit Suisse International | 5.41% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 84 | (2 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.25% semi-annually | 3 month LIBOR quarterly | 02/21/17 | 365 | (5 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.42% semi-annually | 3 month LIBOR quarterly | 01/26/32 | 106 | (3 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.31% semi-annually | 06/05/08 | 7,405 | 16 | |||||||||||||||||
Goldman Sachs Capital Management | 5.18% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 4,135 | (15 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 5.20% semi-annually | 3 month LIBOR quarterly | 04/30/09 | 5,050 | (19 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.25% semi-annually | 01/27/15 | 210 | 1 | |||||||||||||||||
Goldman Sachs Capital Management | 3 month LIBOR quarterly | 5.21% semi-annually | 02/22/17 | 590 | 5 | |||||||||||||||||
Lehman Brothers Special Financing (1) | 3 month LIBOR quarterly | 5.16% semi-annually | 04/12/08 | 13,868 | (2 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.41% semi-annually | 04/12/08 | 1,227 | 3 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 5.35% semi-annually | 06/19/08 | 3,950 | 11 | |||||||||||||||||
Merrill Lynch Capital Services | 3 month LIBOR quarterly | 5.04% semi-annually | 01/24/09 | 841 | 2 | |||||||||||||||||
Merrill Lynch Capital Services | 5.00% semi-annually | 3 month LIBOR quarterly | 01/24/09 | 1,150 | (2 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.13% semi-annually | 3 month LIBOR quarterly | 12/04/16 | 595 | (1 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.14% semi-annually | 3 month LIBOR quarterly | 12/04/16 | 615 | (2 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.23% semi-annually | 12/04/36 | 300 | — | (h) | ||||||||||||||||
Union Bank of Switzerland AG | 3 month LIBOR quarterly | 5.26% semi-annually | 12/04/36 | 320 | 1 | |||||||||||||||||
$ | (75 | ) |
AS OF FEBRUARY 28, 2007 (continued)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Akzo, 4.25%, 06/14/11 | Citibank, N.A. | Buy | 23 BPS semi-annually | 12/20/11 | $ | 300 | $ | — | (h) | |||||||||||||||||
BASF, 3.50% , 07/8/10 | Union Bank of Switzerland AG | Buy | 10.5 BPS semi-annually | 12/20/11 | 300 | — | (h) | |||||||||||||||||||
Dow Jones CDX.NA.HY.7 | Deutsche Bank AG, New York (2) | Buy | 325 BPS quarterly | 12/20/11 | 400 | — | ||||||||||||||||||||
Dow Jones CDX.NA.HY.7 | Goldman Sachs Capital Management (4) | Buy | 325 BPS quarterly | 12/20/11 | 200 | — | ||||||||||||||||||||
Dow Jones CDX.NA.IG.7 | Deutsche Bank AG, New York (3) | Buy | 40 BPS quarterly | 12/20/11 | 2,300 | — | ||||||||||||||||||||
Hanover Finance SA, 5.75%, 02/26/24 | Morgan Stanley Capital Services | Buy | 9.5 BPS semi-annually | 12/20/11 | 200 | — | (h) | |||||||||||||||||||
Hanover Finance SA, 5.75%, 02/26/24 | Morgan Stanley Capital Services | Buy | 9.5 BPS semi-annually | 12/20/11 | 300 | — | (h) | |||||||||||||||||||
Munich Re Finance BV, 6.75%, 06/21/23 | Morgan Stanley Capital Services | Buy | 7 BPS semi-annually | 12/20/11 | 300 | — | (h) | |||||||||||||||||||
Munich Re Finance BV, 6.75%, 12/21/23 | Morgan Stanley Capital Services | Buy | 7 BPS semi-annually | 12/20/11 | 200 | — | (h) | |||||||||||||||||||
Thales SA, 4.38%, 07/22/11 | Morgan Stanley Capital Services | Buy | 18 BPS semi-annually | 12/20/11 | 300 | (1 | ) | |||||||||||||||||||
Solvay, 4.63%, 06/27/18 | Union Bank of Switzerland AG | Buy | 16.5 BPS semi-annually | 12/20/11 | 300 | — | (h) | |||||||||||||||||||
$ | (1 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT (USD) | | VALUE (USD) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A.(5) | U.S. Treasury Note, 4.63%, 02/15/17 | $ | 99.46 | 03/14/07 | $ | 810 | $ | 9 | ||||||||||||||
Citibank, N.A.(5) | U.S. Treasury Note, 4.63%, 02/15/17 | 100.41 | 03/14/07 | 785 | — | |||||||||||||||||
$ | 9 |
(1) | Premium received of $39 |
(2) | Premium received of $16 |
(3) | Premium received of $8 |
(4) | Premium received of $8 |
(5) | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
AS OF FEBRUARY 28, 2007
(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. |
(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 | | Percentage | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 15,018 | 0.7 | % | ||||||
Strategic Income Fund | 1,777 | 7.2 |
(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. |
AUD— | Australian Dollar. |
AUD-BBR— | Australia Bank Bill Rate. |
ARS— | Argentine Peso. |
BPS— | Basis Points. |
BRL— | Brazilian Real. |
CAD— | Canadian Dollar. |
CHF— | Swiss Franc. |
CMO— | Collateralized Mortgage Obligation. |
COP— | Colombian Peso. |
CZK— | Czech Republic Krona. |
EUR— | Euro. |
EURIBOR— | Euro Interbank Offered Rate. |
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 February 28, 2007. |
GBP— | British Pound. |
GNMA— | Government National Mortgage Association. |
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. The rate shown is the rate in effect as of February 28, 2007. The rate may be subject to a cap and floor. |
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. |
JIBOR— | Jakarta Interbank Offered Rate. |
JPY— | Japanese Yen. |
JPY-TONA-OIS- COMPOUND— | Tokyo Overnight Index Rate. |
LIBOR— | London Interbank Offered Rate. |
MXN— | Mexican Peso. |
NIM— | Net Interest Margin |
NOK— | Norwegian Krone. |
NZD— | New Zealand Dollar. |
NZO-BBR— | New Zealand Bank Bill Rate. |
PLN— | Polish Zloty. |
RACERS— | Restructured Asset Securities with Enhanced Returns. |
REIT— | Real Estate Investment Trust. |
REMICS— | Real Estate Mortgage Investment Conduits. |
SEK — | Swedish Krona. |
STIBOR— | Stockholm Interbank Offered Rate. |
SUB — | Step-Up Bond. The rate shown is the rate in effect as of February 28, 2007. |
TBA — | To Be Announced. |
TIPS— | Treasury Inflation Protected Securities |
TRAINS— | Targeted Return Index. |
TRL— | Turkish Lira |
USD— | United States Dollar. |
USD-LIBOR-BBA— | 3-Month LIBOR rate set by the British Bankers Association. |
UYU — | Uruguayan Peso. |
VAR — | Variable Rate Note. The interest rate shown is the rate in effect at February 28, 2007. |
WIBOR— | Warsaw Interbank Offered Rate. |
ZAR— | South African Rand. |
AS OF FEBRUARY 28, 2007
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 3,410,470 | $ | 133,083 | $ | 184,002 | $ | 76,979 | ||||||||||
Investments in affiliates, at value | 38,029 | 4,151 | 26 | 1,434 | ||||||||||||||
Total investment securities, at value | 3,448,499 | 137,234 | 184,028 | 78,413 | ||||||||||||||
Cash | — | 7 | — | 89 | ||||||||||||||
Foreign currency, at value | 4 | 353 | — | 274 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 3,541,092 | 3,440 | 1,403 | 25,425 | ||||||||||||||
Fund shares sold | 2,808 | 842 | — | — | ||||||||||||||
Interest and dividends | 17,347 | 1,742 | 769 | 236 | ||||||||||||||
Variation margin on futures contracts | 189,007 | — | 35 | 38 | ||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 119 | ||||||||||||||
Outstanding swap contracts, at value | 34,599 | 835 | 138 | 446 | ||||||||||||||
Total Assets | 7,233,356 | 144,453 | 186,373 | 105,040 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Due to custodian | 79 | — | 88 | — | ||||||||||||||
Dividends | 6,770 | 371 | 236 | — | ||||||||||||||
Investment securities purchased | 4,036,330 | 5,817 | 2,806 | 23,697 | ||||||||||||||
Securities sold short, at value | 890,790 | — | — | 10,825 | ||||||||||||||
Fund shares redeemed | 743 | 133 | — | — | ||||||||||||||
Variation margin on futures contracts | 189,026 | 32 | — | 45 | ||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 33 | 30 | — | 127 | ||||||||||||||
Outstanding options written, at fair value | 31,787 | — | — | 1,263 | ||||||||||||||
Outstanding swap contracts, at value | 26,820 | 416 | 51 | 463 | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 424 | 65 | 14 | 5 | ||||||||||||||
Administration fees | 96 | 9 | 2 | 2 | ||||||||||||||
Shareholder servicing fees | 308 | 24 | — | 7 | ||||||||||||||
Distribution fees | 9 | 1 | — | — | (b) | |||||||||||||
Custodian and accounting fees | 27 | 14 | 6 | 7 | ||||||||||||||
Trustees’ and Officers’ fees | 8 | 1 | 1 | — | (b) | |||||||||||||
Other | 147 | 62 | 67 | 76 | ||||||||||||||
Total Liabilities | 5,183,397 | 6,975 | 3,271 | 36,517 | ||||||||||||||
Net Assets | $ | 2,049,959 | $ | 137,478 | $ | 183,102 | $ | 68,523 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||||||
Paid in capital | $ | 2,056,892 | $ | 129,291 | $ | 190,706 | $ | 70,699 | ||||||||||
Accumulated undistributed (distributions in excess of) net investment income | (2,185 | ) | 304 | (1 | ) | 81 | ||||||||||||
Accumulated net realized gains (losses) | (32,129 | ) | 1,987 | (7,782 | ) | (2,368 | ) | |||||||||||
Net unrealized appreciation (depreciation) | 27,381 | 5,896 | 179 | 111 | ||||||||||||||
Total Net Assets | $ | 2,049,959 | $ | 137,478 | $ | 183,102 | $ | 68,523 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 20,271 | $ | 2,154 | $ | — | $ | 630 | ||||||||||
Class B | 3,564 | — | — | — | ||||||||||||||
Class C | 5,146 | 1,332 | — | 27 | ||||||||||||||
R Class | — | 8,571 | — | — | ||||||||||||||
Select Class | 1,459,959 | 125,421 | — | 61,757 | ||||||||||||||
Institutional Class | 398,771 | — | 183,102 | 6,109 | ||||||||||||||
Ultra | 162,248 | — | — | — | ||||||||||||||
Total | $ | 2,049,959 | $ | 137,478 | $ | 183,102 | $ | 68,523 | ||||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||||
Class A | 2,156 | 247 | — | 66 | ||||||||||||||
Class B | 382 | — | — | — | ||||||||||||||
Class C | 548 | 153 | — | 3 | ||||||||||||||
R Class | — | 981 | — | — | ||||||||||||||
Select Class | 156,815 | 14,357 | — | 6,472 | ||||||||||||||
Institutional Class | 42,843 | — | 18,772 | 639 | ||||||||||||||
Ultra | 17,431 | — | — | — | ||||||||||||||
Net Asset Value: | ||||||||||||||||||
Class A — Redemption price per share | $ | 9.40 | $ | 8.73 | $ | — | $ | 9.52 | ||||||||||
Class B — Offering price per share (a) | 9.34 | — | — | — | ||||||||||||||
Class C — Offering price per share (a) | 9.39 | 8.73 | — | 9.49 | ||||||||||||||
R Class — Offering and redemption price per share | — | 8.73 | — | — | ||||||||||||||
Select Class — Offering and redemption price per share | 9.31 | 8.74 | — | 9.54 | ||||||||||||||
Institutional Class — Offering and redemption price per share | 9.31 | — | 9.75 | 9.55 | ||||||||||||||
Ultra — Offering and redemption price per share | 9.31 | — | — | — | ||||||||||||||
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) | $ | 9.77 | $ | 9.07 | $ | — | $ | 9.89 | ||||||||||
Cost of investments | $ | 3,435,525 | $ | 131,835 | $ | 183,852 | $ | 78,485 | ||||||||||
Cost of foreign currency | 4 | 353 | — | 270 | ||||||||||||||
Proceeds received from short positions | 886,861 | — | — | 10,781 | ||||||||||||||
Premiums received from options written | 39,158 | — | — | 1,498 | ||||||||||||||
Premiums paid on swaps | 333 | 69 | — | — | ||||||||||||||
Premiums received from swaps | 3,191 | — | — | 40 |
(a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
(b) | Amount rounds to less than $1,000. |
AS OF FEBRUARY 28, 2007 (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 1,709,575 | $ | 425,958 | $ | 31,721 | ||||||||
Investments in affiliates, at value | 139,256 | 4,080 | 1,136 | |||||||||||
Total investment securities, at value | 1,848,831 | 430,038 | 32,857 | |||||||||||
Cash | — | 2 | — | |||||||||||
Foreign currency, at value | 23 | — | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 334,349 | 222,098 | 2,178 | |||||||||||
Fund shares sold | 3,520 | 51 | 19 | |||||||||||
Interest and dividends | 11,253 | 2,598 | 244 | |||||||||||
Variation margin on futures contracts | 581 | 149 | 17 | |||||||||||
Outstanding swap contracts, at value | 16,653 | 2,400 | 59 | |||||||||||
Due from advisor | — | — | 53 | |||||||||||
Total Assets | 2,215,210 | 657,336 | 35,427 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Due to Custodian | — | — | 2 | |||||||||||
Dividends | 5,262 | 1,171 | 45 | |||||||||||
Investment securities purchased | 428,818 | 277,651 | 8,450 | |||||||||||
Securities sold short, at value | 103,419 | 21,325 | 694 | |||||||||||
Fund shares redeemed | 601 | 396 | 74 | |||||||||||
Variation margin on futures contracts | 279 | 2 | 3 | |||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 17 | — | — | |||||||||||
Outstanding options written, at fair value | 10,876 | 2,885 | 1,250 | |||||||||||
Outstanding swap contracts, at value | 11,967 | 1,335 | 126 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 269 | 44 | — | (c) | ||||||||||
Administration fees | 56 | 25 | — | |||||||||||
Shareholder servicing fees | 224 | 48 | 4 | |||||||||||
Distribution fees | 2 | 53 | 8 | |||||||||||
Custodian and accounting fees | 23 | 15 | 26 | |||||||||||
Trustees’ and Officers’ fees | 6 | 6 | — | (c) | ||||||||||
Other | 93 | 259 | 140 | |||||||||||
Total Liabilities | 561,912 | 305,215 | 10,822 | |||||||||||
Net Assets | $ | 1,653,298 | $ | 352,121 | $ | 24,605 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund (a) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 1,675,325 | $ | 388,098 | $ | 46,237 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (551 | ) | (34 | ) | (4 | ) | ||||||||
Accumulated net realized gains (losses) | (25,431 | ) | (33,764 | ) | (22,066 | ) | ||||||||
Net unrealized appreciation (depreciation) | 3,955 | (2,179 | ) | 438 | ||||||||||
Total Net Assets | $ | 1,653,298 | $ | 352,121 | $ | 24,605 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 8,510 | $ | 24,652 | $ | 7,705 | ||||||||
Class B | — | — | 5,498 | |||||||||||
Class C | — | — | 3,096 | |||||||||||
Class M | — | 175,836 | 2,995 | |||||||||||
Select Class | 1,190,100 | 151,633 | 1,627 | |||||||||||
Institutional Class | 454,688 | — | 3,684 | |||||||||||
Total | $ | 1,653,298 | $ | 352,121 | $ | 24,605 | ||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 894 | 2,504 | 834 | |||||||||||
Class B | — | — | 595 | |||||||||||
Class C | — | — | 335 | |||||||||||
Class M | — | 17,860 | 324 | |||||||||||
Select Class | 124,927 | 15,372 | 176 | |||||||||||
Institutional Class | 47,730 | — | 398 | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 9.52 | $ | 9.84 | $ | 9.24 | ||||||||
Class B — Offering price per share (b) | — | — | 9.24 | |||||||||||
Class C — Offering price per share (b) | — | — | 9.24 | |||||||||||
Class M — Offering price per share | — | 9.85 | 9.24 | |||||||||||
Select Class — Offering and redemption price per share | 9.53 | 9.86 | 9.24 | |||||||||||
Institutional Class — Offering and redemption price per share | 9.53 | — | 9.25 | |||||||||||
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) | $ | 9.74 | $ | 10.07 | $ | 9.60 | ||||||||
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) | $ | — | $ | 10.00 | $ | 9.53 | ||||||||
Cost of investments | $ | 1,851,492 | $ | 433,434 | $ | 32,701 | ||||||||
Cost of foreign currency | 22 | — | — | |||||||||||
Proceeds received from short positions | 103,478 | 21,209 | 696 | |||||||||||
Premiums received from options written | 13,147 | 3,509 | 1,518 | |||||||||||
Premiums paid on swaps | 69 | 15 | — | |||||||||||
Premiums received from swaps | 305 | 91 | 71 |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
(c) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | Real Return Fund (a) | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | ||||||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||||||||||
Interest income | $ | 52,228 | $ | 59,097 | $ | 3,892 | $ | 5,073 | $ | 4,782 | $ | 7,073 | $ | 480 | $ | 3,164 | |||||||||||||||||||
Dividend income | — | — | — | — | — | 52 | — | — | |||||||||||||||||||||||||||
Dividend income from affiliates (c) | 1,382 | 1,771 | 98 | 120 | 173 | 196 | 112 | 117 | |||||||||||||||||||||||||||
Foreign taxes withheld | — | — | — | — | — | (2 | ) | — | — | ||||||||||||||||||||||||||
Total investment income | 53,610 | 60,868 | 3,990 | 5,193 | 4,955 | 7,319 | 592 | 3,281 | |||||||||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||||||||||
Investment advisory fees | 2,859 | 3,407 | 447 | 517 | 216 | 349 | 114 | 196 | |||||||||||||||||||||||||||
Administration fees | 951 | 1,159 | 64 | 75 | 86 | 143 | 32 | 57 | |||||||||||||||||||||||||||
Distribution fees: | |||||||||||||||||||||||||||||||||||
Class A Shares | 21 | 24 | 1 | — | (d) | — | — | 1 | 1 | ||||||||||||||||||||||||||
Class B Shares | 12 | 19 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Class C Shares | 15 | 10 | 3 | — | (d) | — | — | — | (d) | — | (d) | ||||||||||||||||||||||||
Shareholder servicing fees: | |||||||||||||||||||||||||||||||||||
Class A Shares | 21 | 24 | 1 | — | (d) | — | — | 1 | 1 | ||||||||||||||||||||||||||
Class B Shares | 4 | 6 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Class C Shares | 5 | 3 | 1 | — | (d) | — | — | — | (d) | — | (d) | ||||||||||||||||||||||||
R Class Shares | �� | — | — | 1 | — | (d) | — | — | — | — | |||||||||||||||||||||||||
Select Class Shares | 1,749 | 1,832 | 150 | 184 | — | — | 73 | 138 | |||||||||||||||||||||||||||
Institutional Class Shares | 165 | 249 | — | — | 86 | 140 | 3 | — | (d) | ||||||||||||||||||||||||||
Custodian and accounting fees | 101 | 133 | 37 | 67 | 19 | 36 | 23 | 33 | |||||||||||||||||||||||||||
Interest expense | — | (d) | — | (d) | 1 | 5 | — | (d) | 3 | — | — | (d) | |||||||||||||||||||||||
Professional fees | 171 | 114 | 75 | 81 | 57 | 72 | 62 | 85 | |||||||||||||||||||||||||||
Trustees’ and Officers’ fees | 15 | 18 | 1 | 1 | 1 | 2 | 1 | 1 | |||||||||||||||||||||||||||
Printing and mailing costs | 152 | 159 | 39 | 18 | 5 | 24 | — | 17 | |||||||||||||||||||||||||||
Registration and filing fees | 19 | 71 | 19 | 51 | — | (d) | 16 | 20 | 101 | ||||||||||||||||||||||||||
Transfer agent fees | 16 | 211 | 16 | 41 | 4 | 7 | 21 | 39 | |||||||||||||||||||||||||||
Other | 1 | 36 | 2 | 8 | — | (d) | 8 | 2 | 8 | ||||||||||||||||||||||||||
Total expenses | 6,277 | 7,475 | 858 | 1,048 | 474 | 800 | 353 | 677 | |||||||||||||||||||||||||||
Less amounts waived | (474 | ) | (749 | ) | (61 | ) | (120 | ) | (299 | ) | (515 | ) | (144 | ) | (290 | ) | |||||||||||||||||||
Less earnings credits | (28 | ) | (56 | ) | (1 | ) | (1 | ) | (2 | ) | (4 | ) | (1 | ) | (3 | ) | |||||||||||||||||||
Less expense reimbursements | — | — | — | — | — | — | — | (20 | ) | ||||||||||||||||||||||||||
Net expenses | 5,775 | 6,670 | 796 | 927 | 173 | 281 | 208 | 364 | |||||||||||||||||||||||||||
Net investment income (loss) | 47,835 | 54,198 | 3,194 | 4,266 | 4,782 | 7,038 | 384 | 2,917 |
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | Real Return Fund (a) | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | ||||||||||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||||||||||||||||||||||
Investments | $ | 14,397 | $ | (40,170 | ) | $ | 2,788 | $ | 641 | $ | (89 | ) | $ | (330 | ) | $ | (588 | ) | $ | (1,075 | ) | ||||||||||||||
Securities sold short | (15,380 | ) | (1,061 | ) | — | — | — | (38 | ) | (270 | ) | (27 | ) | ||||||||||||||||||||||
Options written | 9,892 | 7,746 | — | — | — | (d) | 110 | 449 | 159 | ||||||||||||||||||||||||||
Futures | 1,075 | 8,358 | (40 | ) | (166 | ) | 72 | (289 | ) | 43 | (55 | ) | |||||||||||||||||||||||
Swaps | (14,055 | ) | (6,020 | ) | 142 | (65 | ) | (250 | ) | (63 | ) | (503 | ) | (541 | ) | ||||||||||||||||||||
Foreign currency transactions | 197 | (531 | ) | 269 | (273 | ) | — | (1 | ) | 122 | (56 | ) | |||||||||||||||||||||||
Net realized gain (loss) | (3,874 | ) | (31,678 | ) | 3,159 | 137 | (267 | ) | (611 | ) | (747 | ) | (1,595 | ) | |||||||||||||||||||||
Change in net unrealized appreciation (depreciation) of: | |||||||||||||||||||||||||||||||||||
Investments | 19,743 | 902 | 1,883 | 1,110 | 121 | (63 | ) | 925 | (997 | ) | |||||||||||||||||||||||||
Securities sold short | (7,133 | ) | 4,767 | — | — | — | — | (15 | ) | (29 | ) | ||||||||||||||||||||||||
Options written | 1,528 | 5,896 | — | — | — | (9 | ) | 2 | 233 | ||||||||||||||||||||||||||
Futures | 948 | (842 | ) | 184 | (20 | ) | (113 | ) | (90 | ) | (25 | ) | — | (d) | |||||||||||||||||||||
Swaps | 13,576 | (3,897 | ) | 219 | 94 | 139 | (52 | ) | 143 | (120 | ) | ||||||||||||||||||||||||
Foreign currency translations | 50 | 214 | 39 | 2 | — | 1 | 5 | (11 | ) | ||||||||||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 28,712 | 7,040 | 2,325 | 1,186 | 147 | (213 | ) | 1,035 | (924 | ) | |||||||||||||||||||||||||
Net realized/unrealized gains (losses) | 24,838 | (24,638 | ) | 5,484 | 1,323 | (120 | ) | (824 | ) | 288 | (2,519 | ) | |||||||||||||||||||||||
Change in net assets resulting from operations | $ | 72,673 | $ | 29,560 | $ | 8,678 | $ | 5,589 | $ | 4,662 | $ | 6,214 | $ | 672 | $ | 398 |
(a) | Commencement of operations was September 1, 2005. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(d) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund | Short Term Bond Fund II | Strategic Income Fund (a) | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | ||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||||||||||
Interest income | $ | 33,311 | $ | 33,459 | $ | 11,614 | $ | 35,585 | $ | 699 | $ | 1,178 | |||||||||||||||
Dividend income | 261 | 580 | — | — | — | — | |||||||||||||||||||||
Dividend income from affiliates (c) | 2,304 | 2,449 | 524 | 1,263 | 32 | 109 | |||||||||||||||||||||
Foreign taxes withheld | — | — | — | — | — | — | (d) | ||||||||||||||||||||
Total investment income | 35,876 | 36,488 | 12,138 | 36,848 | 731 | 1,287 | |||||||||||||||||||||
EXPENSES: | |||||||||||||||||||||||||||
Investment advisory fees | 1,629 | 1,748 | 576 | 1,770 | 56 | 99 | |||||||||||||||||||||
Administration fees | 650 | 717 | 230 | 727 | 12 | 23 | |||||||||||||||||||||
Distribution fees: | |||||||||||||||||||||||||||
Class A Shares | 10 | 11 | 34 | 92 | 9 | 12 | |||||||||||||||||||||
Class B Shares | — | — | — | — | 22 | 47 | |||||||||||||||||||||
Class C Shares | — | — | — | — | 12 | 20 | |||||||||||||||||||||
Class M Shares | — | — | 337 | 915 | 8 | 20 | |||||||||||||||||||||
Shareholder servicing fees: | |||||||||||||||||||||||||||
Class A Shares | 10 | 11 | 34 | 92 | 9 | 12 | |||||||||||||||||||||
Class B Shares | — | — | — | — | 7 | 16 | |||||||||||||||||||||
Class C Shares | — | — | — | — | 4 | 7 | |||||||||||||||||||||
Class M Shares | — | — | 241 | 653 | 5 | 12 | |||||||||||||||||||||
Select Class Shares | 1,118 | 704 | 301 | 1,024 | 2 | 5 | |||||||||||||||||||||
Institutional Class Shares | 201 | 413 | — | — | 2 | 2 | |||||||||||||||||||||
Custodian and accounting fees | 66 | 62 | 40 | 62 | 61 | 71 | |||||||||||||||||||||
Interest expense | — | (d) | — | (d) | — | (d) | 1 | — | (d) | — | (d) | ||||||||||||||||
Professional fees | 68 | 89 | 121 | 190 | 117 | 206 | |||||||||||||||||||||
Trustees’ and Officers’ fees | 10 | 11 | 4 | 10 | — | (d) | — | (d) | |||||||||||||||||||
Printing and mailing costs | 53 | 106 | 43 | 143 | 111 | 75 | |||||||||||||||||||||
Registration and filing fees | 12 | 45 | 4 | 25 | 12 | 133 | |||||||||||||||||||||
Transfer agent fees | 24 | 47 | 31 | 81 | 28 | 68 | |||||||||||||||||||||
Other | 1 | 25 | 42 | 160 | 1 | 10 | |||||||||||||||||||||
Total expenses | 3,852 | 3,989 | 2,038 | 5,945 | 478 | 838 | |||||||||||||||||||||
Less amounts waived | (747 | ) | (1,139 | ) | (363 | ) | (982 | ) | (70 | ) | (124 | ) | |||||||||||||||
Less earnings credits | (13 | ) | (28 | ) | (9 | ) | (25 | ) | (1 | ) | (2 | ) | |||||||||||||||
Less expense reimbursements | — | — | — | — | (249 | ) | (419 | ) | |||||||||||||||||||
Net expenses | 3,092 | 2,822 | 1,666 | 4,938 | 158 | 293 | |||||||||||||||||||||
Net investment income (loss) | 32,784 | 33,666 | 10,472 | 31,910 | 573 | 994 |
Short Term Bond Fund | Short Term Bond Fund II | Strategic Income Fund (a) | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | ||||||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | |||||||||||||||||||||||||||
Net realized gain (loss) on transactions from: | |||||||||||||||||||||||||||
Investments | $ | (1,021 | ) | $ | (9,764 | ) | $ | (2,385 | ) | $ | (14,631 | ) | $ | (120 | ) | $ | (480 | ) | |||||||||
Securities sold short | (2,707 | ) | 943 | (2,742 | ) | 1,471 | (15 | ) | — | ||||||||||||||||||
Options written | 2,473 | 220 | 1,428 | 198 | 23 | — | |||||||||||||||||||||
Futures | (1,492 | ) | 1,144 | (116 | ) | (406 | ) | 44 | 58 | ||||||||||||||||||
Swaps | (4,832 | ) | (47 | ) | (2,048 | ) | (748 | ) | (63 | ) | — | ||||||||||||||||
Foreign currency transactions | 10 | (127 | ) | — | — | (29 | ) | (25 | ) | ||||||||||||||||||
Net realized gain (loss) | (7,569 | ) | (7,631 | ) | (5,863 | ) | (14,116 | ) | (160 | ) | (447 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) of: | |||||||||||||||||||||||||||
Investments | 5,838 | (2,470 | ) | 5,863 | (1,077 | ) | 242 | 131 | |||||||||||||||||||
Securities sold short | (251 | ) | 310 | (116 | ) | — | 2 | — | |||||||||||||||||||
Options written | 1,102 | 1,099 | (252 | ) | 778 | 268 | — | ||||||||||||||||||||
Futures | (484 | ) | 253 | (457 | ) | 665 | (1 | ) | 20 | ||||||||||||||||||
Swaps | 4,711 | (37 | ) | 1,584 | (1,014 | ) | 1 | 3 | |||||||||||||||||||
Foreign currency translations | (21 | ) | 10 | — | (1 | ) | 34 | 2 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 10,895 | (835 | ) | 6,622 | (649 | ) | 546 | 156 | |||||||||||||||||||
Net realized/unrealized gains (losses) | 3,326 | (8,466 | ) | 759 | (14,765 | ) | 386 | (291 | ) | ||||||||||||||||||
Change in net assets resulting from operations | $ | 36,110 | $ | 25,200 | $ | 11,231 | $ | 17,145 | $ | 959 | $ | 703 |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(d) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) (c) | | Year Ended 8/31/2005 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 47,835 | $ | 54,198 | $ | 30,901 | $ | 3,194 | $ | 4,266 | $ | 2,203 | |||||||||||||||
Net realized gain (loss) | (3,874 | ) | (31,678 | ) | 21,795 | 3,159 | 137 | 6,189 | |||||||||||||||||||
Change in net unrealized appreciation (depreciation) | 28,712 | 7,040 | (10,912 | ) | 2,325 | 1,186 | (2,325 | ) | |||||||||||||||||||
Change in net assets resulting from operations | 72,673 | 29,560 | 41,784 | 8,678 | 5,589 | 6,067 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (440 | ) | (450 | ) | (164 | ) | (30 | ) | — | (d) | — | ||||||||||||||||
From net realized gains | — | (198 | ) | (91 | ) | (3 | ) | — | — | ||||||||||||||||||
Class B | |||||||||||||||||||||||||||
From net investment income | (68 | ) | (97 | ) | (62 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | (68 | ) | (55 | ) | — | — | — | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
From net investment income | (90 | ) | (55 | ) | (9 | ) | (16 | ) | — | (d) | — | ||||||||||||||||
From net realized gains | — | (24 | ) | (6 | ) | (2 | ) | — | — | ||||||||||||||||||
R Class | |||||||||||||||||||||||||||
From net investment income | — | — | — | (172 | ) | (33 | ) | — | |||||||||||||||||||
From net investment income | — | — | — | (21 | ) | — | — | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (35,814 | ) | (35,004 | ) | (8,133 | ) | (3,055 | ) | (4,005 | ) | (2,457 | ) | |||||||||||||||
From net realized gains | — | (5,719 | ) | (5,643 | ) | (378 | ) | (6,019 | ) | (4,588 | ) | ||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (9,118 | ) | (11,743 | ) | (12,001 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | (6,859 | ) | (8,858 | ) | — | — | — | |||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
From net investment income | (4,125 | ) | (6,786 | ) | (13,890 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | (3,926 | ) | (10,597 | ) | — | — | — | |||||||||||||||||||
Total distributions to shareholders | (49,655 | ) | (70,929 | ) | (59,509 | ) | (3,677 | ) | (10,057 | ) | (7,045 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | 286,861 | 1,184,150 | (277,832 | ) | 12,560 | 89,788 | (719 | ) | |||||||||||||||||||
Voluntary contribution from Advisor | — | — | — | — | 149 | — | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | 309,879 | 1,142,781 | (295,557 | ) | 17,561 | 85,469 | (1,697 | ) | |||||||||||||||||||
Beginning of period | 1,740,080 | 597,299 | 892,856 | 119,917 | 34,448 | 36,145 | |||||||||||||||||||||
End of period | $ | 2,049,959 | $ | 1,740,080 | $ | 597,299 | $ | 137,478 | $ | 119,917 | $ | 34,448 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (2,185 | ) | $ | 961 | $ | (1,120 | ) | $ | 304 | $ | 96 | $ | 129 |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Class A and Class C Shares commenced operations on June 30, 2006. |
(c) | R Class Shares commenced operations on May 15, 2006. |
(d) | Amount rounds to less than $1,000. |
Enhanced Income Fund | Real Return Fund (a) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | ||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||
Net investment income (loss) | $ | 4,782 | $ | 7,038 | $ | 6,157 | $ | 384 | $ | 2,917 | |||||||||||||
Net realized gain (loss) | (267 | ) | (611 | ) | (464 | ) | (747 | ) | (1,595 | ) | |||||||||||||
Change in net unrealized appreciation (depreciation) | 147 | (213 | ) | 105 | 1,035 | (924 | ) | ||||||||||||||||
Change in net assets resulting from operations | 4,662 | 6,214 | 5,798 | 672 | 398 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
From net investment income | — | — | — | (4 | ) | (12 | ) | ||||||||||||||||
Class C | |||||||||||||||||||||||
From net investment income | — | — | — | — | (c) | (1 | ) | ||||||||||||||||
Select Class | |||||||||||||||||||||||
From net investment income | — | — | — | (421 | ) | (2,740 | ) | ||||||||||||||||
Institutional Class | |||||||||||||||||||||||
From net investment income | (4,780 | ) | (6,984 | ) | (6,102 | ) | (45 | ) | (22 | ) | |||||||||||||
Total distributions to shareholders | (4,780 | ) | (6,984 | ) | (6,102 | ) | (470 | ) | (2,775 | ) | |||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||
Change in net assets from capital transactions | 51,982 | (31,336 | ) | (130,104 | ) | 7,887 | 62,811 | ||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||
Change in net assets | 51,864 | (32,106 | ) | (130,408 | ) | 8,089 | 60,434 | ||||||||||||||||
Beginning of period | 131,238 | 163,344 | 293,752 | 60,434 | — | ||||||||||||||||||
End of period | $ | 183,102 | $ | 131,238 | $ | 163,344 | $ | 68,523 | $ | 60,434 | |||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1 | ) | $ | (1 | ) | $ | (45 | ) | $ | 81 | $ | 23 |
(a) | Commencement of operations was September 1, 2005. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 32,784 | $ | 33,666 | $ | 24,577 | $ | 10,472 | $ | 31,910 | $ | 29,791 | |||||||||||||||
Net realized gain (loss) | (7,569 | ) | (7,631 | ) | (8,477 | ) | (5,863 | ) | (14,116 | ) | (11,671 | ) | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 10,895 | (835 | ) | (4,908 | ) | 6,622 | (649 | ) | (7,917 | ) | |||||||||||||||||
Change in net assets resulting from operations | 36,110 | 25,200 | 11,192 | 11,231 | 17,145 | 10,203 | |||||||||||||||||||||
Net equalization credits (debits) | — | — | — | (294 | ) | (370 | ) | — | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (203 | ) | (203 | ) | (107 | ) | (641 | ) | (1,562 | ) | (1,413 | ) | |||||||||||||||
Class M | |||||||||||||||||||||||||||
From net investment income | — | — | — | (4,320 | ) | (10,192 | ) | (13,004 | ) | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (23,067 | ) | (14,040 | ) | (4,429 | ) | (5,787 | ) | (18,630 | ) | (14,903 | ) | |||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (10,655 | ) | (19,301 | ) | (21,549 | ) | — | — | — | ||||||||||||||||||
Total distributions to shareholders | (33,925 | ) | (33,544 | ) | (26,085 | ) | (10,748 | ) | (30,384 | ) | (29,320 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | 624,844 | 400,725 | (90,441 | ) | (265,006 | ) | (214,576 | ) | (326,704 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | 627,029 | 392,381 | (105,334 | ) | (264,817 | ) | (228,185 | ) | (345,821 | ) | |||||||||||||||||
Beginning of period | 1,026,269 | 633,888 | 739,222 | 616,938 | 845,123 | 1,190,944 | |||||||||||||||||||||
End of period | $ | 1,653,298 | $ | 1,026,269 | $ | 633,888 | $ | 352,121 | $ | 616,938 | $ | 845,123 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (551 | ) | $ | 1,310 | $ | (319 | ) | $ | (34 | ) | $ | 190 | $ | (1,773 | ) |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
Strategic Income Fund (a) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (c) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||
Net investment income (loss) | $ | 573 | $ | 994 | $ | 1,380 | |||||||||
Net realized gain (loss) | (160 | ) | (447 | ) | 2,413 | ||||||||||
Change in net unrealized appreciation (depreciation) | 546 | 156 | (1,738 | ) | |||||||||||
Change in net assets resulting from operations | 959 | 703 | 2,055 | ||||||||||||
Net equalization credits (debits) | (2 | ) | 5 | — | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||
Class A | |||||||||||||||
From net investment income | (185 | ) | (265 | ) | (104 | ) | |||||||||
Class B | |||||||||||||||
From net investment income | (133 | ) | (314 | ) | (149 | ) | |||||||||
Class C | |||||||||||||||
From net investment income | (73 | ) | (136 | ) | (58 | ) | |||||||||
Class M | |||||||||||||||
From net investment income | (77 | ) | (207 | ) | (124 | ) | |||||||||
Select Class | |||||||||||||||
From net investment income | (48 | ) | (113 | ) | (96 | ) | |||||||||
Institutional Class | |||||||||||||||
From net investment income | (101 | ) | (151 | ) | (782 | ) | |||||||||
Total distributions to shareholders | (617 | ) | (1,186 | ) | (1,313 | ) | |||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||
Change in net assets from capital transactions | (783 | ) | 3,224 | (20,984 | ) | ||||||||||
NET ASSETS: | |||||||||||||||
Change in net assets | (443 | ) | 2,746 | (20,242 | ) | ||||||||||
Beginning of period | 25,048 | 22,302 | 42,544 | ||||||||||||
End of period | $ | 24,605 | $ | 25,048 | $ | 22,302 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (4 | ) | $ | 73 | $ | 245 |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
FOR THE PERIODS INDICATED (continued)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) (c) | | Year Ended 8/31/2005 | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 9,853 | $ | 13,249 | $ | 3,751 | $ | 2,130 | $ | 40 | $ | — | |||||||||||||||
Dividends reinvested | 365 | 575 | 240 | 8 | — | (d) | — | ||||||||||||||||||||
Cost of shares redeemed | (3,778 | ) | (5,735 | ) | (981 | ) | (55 | ) | — | — | |||||||||||||||||
Redemption fees | — | — | — | — | (d) | — | (d) | — | |||||||||||||||||||
Change in net assets from Class A capital transactions | $ | 6,440 | $ | 8,089 | $ | 3,010 | $ | 2,083 | $ | 40 | $ | — | |||||||||||||||
Class B | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,112 | $ | 1,245 | $ | 811 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends reinvested | 44 | 87 | 53 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (444 | ) | (665 | ) | (523 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Class B capital transactions | $ | 712 | $ | 667 | $ | 341 | $ | — | $ | — | $ | — | |||||||||||||||
Class C | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 2,903 | $ | 2,350 | $ | 414 | $ | 1,292 | $ | 26 | $ | — | |||||||||||||||
Dividends reinvested | 54 | 67 | 14 | 15 | — | (d) | — | ||||||||||||||||||||
Cost of shares redeemed | (431 | ) | (225 | ) | (210 | ) | (16 | ) | — | — | |||||||||||||||||
Redemption fees | — | — | — | — | (d) | — | (d) | — | |||||||||||||||||||
Change in net assets from Class C capital transactions | $ | 2,526 | $ | 2,192 | $ | 218 | $ | 1,291 | $ | 26 | $ | — | |||||||||||||||
R Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 5,842 | $ | 2,254 | $ | — | |||||||||||||||
Dividends reinvested | — | — | — | 193 | 33 | — | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (130 | ) | — | — | ||||||||||||||||||||
Redemption fees | — | — | — | — | (d) | — | (d) | — | |||||||||||||||||||
Change in net assets from R Class capital transactions | $ | — | $ | — | $ | — | $ | 5,905 | $ | 2,287 | $ | — | |||||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 450,726 | $ | 597,386 | $ | 89,091 | $ | 31,105 | $ | 118,045 | $ | 39,420 | |||||||||||||||
Subscriptions in-kind (Note 9) | — | 744,265 | — | — | — | — | |||||||||||||||||||||
Dividends reinvested | 3,800 | 10,560 | 12,184 | 1,367 | 7,995 | 6,068 | |||||||||||||||||||||
Cost of shares redeemed | (321,936 | ) | (226,087 | ) | (83,731 | ) | (29,193 | ) | (38,629 | ) | (46,207 | ) | |||||||||||||||
Redemption fees | — | — | — | 2 | 24 | — | (d) | ||||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | 132,590 | $ | 1,126,124 | $ | 17,544 | $ | 3,281 | $ | 87,435 | $ | (719 | ) | ||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 241,014 | $ | 115,518 | $ | 73,182 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends reinvested | 5,432 | 12,418 | 13,217 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (116,742 | ) | (108,417 | ) | (138,577 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 129,704 | $ | 19,519 | $ | (52,178 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Ultra | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 24,334 | $ | 54,168 | $ | 57,221 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends reinvested | 2,196 | 5,728 | 21,223 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (11,641 | ) | (32,337 | ) | (325,211 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Ultra capital transactions | $ | 14,889 | $ | 27,559 | $ | (246,767 | ) | $ | — | $ | — | $ | — |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Commencement of offering of Class A Shares and Class C Shares was June 30, 2006. |
(c) | Commencement of offering of R Class Shares on May 15, 2006. |
(d) | Amount rounds to less than $1,000. |
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) (c) | | Year Ended 8/31/2005 | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 1,053 | 1,415 | 383 | 247 | 5 | — | |||||||||||||||||||||
Reinvested | 39 | 62 | 24 | 1 | — | (d) | — | ||||||||||||||||||||
Redeemed | (404 | ) | (615 | ) | (100 | ) | (6 | ) | — | — | |||||||||||||||||
Change in Class A Shares | 688 | 862 | 307 | 242 | 5 | — | |||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Issued | 120 | 134 | 83 | — | — | — | |||||||||||||||||||||
Reinvested | 5 | 9 | 5 | — | — | — | |||||||||||||||||||||
Redeemed | (48 | ) | (71 | ) | (53 | ) | — | — | — | ||||||||||||||||||
Change in Class B Shares | 77 | 72 | 35 | — | — | — | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Issued | 311 | 251 | 42 | 150 | 3 | — | |||||||||||||||||||||
Reinvested | 6 | 7 | 1 | 2 | — | (d) | — | ||||||||||||||||||||
Redeemed | (46 | ) | (24 | ) | (21 | ) | (2 | ) | — | — | |||||||||||||||||
Change in Class C Shares | 271 | 234 | 22 | 150 | 3 | — | |||||||||||||||||||||
R Class | |||||||||||||||||||||||||||
Issued | — | — | — | 686 | 285 | — | |||||||||||||||||||||
Reinvested | — | — | — | 22 | 4 | — | |||||||||||||||||||||
Redeemed | — | �� | — | — | (16 | ) | — | — | |||||||||||||||||||
Change in R Class Shares | — | — | — | 692 | 289 | — | |||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 48,649 | 64,971 | 9,140 | 3,581 | 13,930 | 4,280 | |||||||||||||||||||||
Subscriptions in-kind (Note 9) | — | 80,114 | — | — | — | — | |||||||||||||||||||||
Reinvested | 410 | 1,138 | 1,251 | 158 | 969 | 681 | |||||||||||||||||||||
Redeemed | (34,689 | ) | (24,545 | ) | (8,565 | ) | (3,373 | ) | (4,616 | ) | (5,026 | ) | |||||||||||||||
Change in Select Class Shares | 14,370 | 121,678 | 1,826 | 366 | 10,283 | (65 | ) | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 25,948 | 12,514 | 7,505 | — | — | — | |||||||||||||||||||||
Reinvested | 586 | 1,339 | 1,358 | — | — | — | |||||||||||||||||||||
Redeemed | (12,543 | ) | (11,627 | ) | (14,161 | ) | — | — | — | ||||||||||||||||||
Change in Institutional Class Shares | 13,991 | 2,226 | (5,298 | ) | — | — | — | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Issued | 2,614 | 5,754 | 5,835 | — | — | — | |||||||||||||||||||||
Reinvested | 237 | 617 | 2,179 | — | — | — | |||||||||||||||||||||
Redeemed | (1,255 | ) | (3,479 | ) | (33,265 | ) | — | — | — | ||||||||||||||||||
Change in Ultra Shares | 1,596 | 2,892 | (25,251 | ) | — | — | — |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Commencement of offering of Class A Shares and Class C Shares was June 30, 2006. |
(c) | Commencement of offering of R Class Shares on May 15, 2006. |
(d) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Enhanced Income Fund | Real Return Fund | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) | ||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 67 | $ | 691 | |||||||||||||
Dividends reinvested | — | — | — | 3 | 6 | ||||||||||||||||||
Cost of shares redeemed | — | — | — | (24 | ) | (107 | ) | ||||||||||||||||
Change in net assets from Class A capital transactions | $ | — | $ | — | $ | — | $ | 46 | $ | 590 | |||||||||||||
Class C | |||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 3 | $ | 24 | |||||||||||||
Dividends reinvested | — | — | — | — | (c) | 1 | |||||||||||||||||
Cost of shares redeemed | — | — | — | — | — | (c) | |||||||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | — | $ | 3 | $ | 25 | |||||||||||||
Select Class | |||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 2,300 | $ | 60,834 | |||||||||||||
Dividends reinvested | — | — | — | 421 | 1,957 | ||||||||||||||||||
Cost of shares redeemed | — | — | — | — | (1,530 | ) | |||||||||||||||||
Change in net assets from Select Class capital transactions | $ | — | $ | — | $ | — | $ | 2,721 | $ | 61,261 | |||||||||||||
Institutional Class | |||||||||||||||||||||||
Proceeds from shares issued | $ | 73,528 | $ | 93,886 | $ | 56,236 | $ | 5,110 | $ | 928 | |||||||||||||
Dividends reinvested | 3,669 | 6,204 | 4,840 | 7 | 22 | ||||||||||||||||||
Cost of shares redeemed | (25,215 | ) | (131,426 | ) | (191,180 | ) | — | (15 | ) | ||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 51,982 | $ | (31,336 | ) | $ | (130,104 | ) | $ | 5,117 | $ | 935 |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Commencement of operations was September 1, 2005. |
(c) | Amount rounds to less than $1,000. |
Enhanced Income Fund | Real Return Fund | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) | ||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||
Class A | |||||||||||||||||||||||
Issued | — | — | — | 7 | 72 | ||||||||||||||||||
Reinvested | — | — | — | — | (c) | — | (c) | ||||||||||||||||
Redeemed | — | — | — | (2 | ) | (11 | ) | ||||||||||||||||
Change in Class A Shares | — | — | 5 | 61 | |||||||||||||||||||
Class C | |||||||||||||||||||||||
Issued | — | — | — | — | (c) | 3 | |||||||||||||||||
Reinvested | — | — | — | — | (c) | — | (c) | ||||||||||||||||
Redeemed | — | — | — | — | — | (c) | |||||||||||||||||
Change in Class C Shares | — | — | — | — | (c) | 3 | |||||||||||||||||
Select Class | |||||||||||||||||||||||
Issued | — | — | — | 247 | 6,135 | ||||||||||||||||||
Reinvested | — | — | — | 44 | 207 | ||||||||||||||||||
Redeemed | — | — | — | — | (161 | ) | |||||||||||||||||
Change in Select Class Shares | — | — | — | 291 | 6,181 | ||||||||||||||||||
Institutional Class | |||||||||||||||||||||||
Issued | 7,523 | 9,579 | 5,720 | 539 | 98 | ||||||||||||||||||
Reinvested | 376 | 635 | 492 | 1 | 2 | ||||||||||||||||||
Redeemed | (2,575 | ) | (13,408 | ) | (19,434 | ) | — | (1 | ) | ||||||||||||||
Change in Institutional Class Shares | 5,324 | (3,194 | ) | (13,222 | ) | 540 | 99 |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Commencement of operations was September 1, 2005. |
(c) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 4,315 | $ | 3,712 | $ | 2,274 | $ | 1,081 | $ | 4,577 | $ | 4,516 | |||||||||||||||
Dividends reinvested | 193 | 197 | 88 | 582 | 1,410 | 1,265 | |||||||||||||||||||||
Cost of shares redeemed | (1,831 | ) | (1,428 | ) | (1,576 | ) | (9,574 | ) | (14,049 | ) | (19,040 | ) | |||||||||||||||
Change in net assets from Class A capital transactions | $ | 2,677 | $ | 2,481 | $ | 786 | $ | (7,911 | ) | $ | (8,062 | ) | $ | (13,259 | ) | ||||||||||||
Class M | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | — | $ | 388 | $ | 27,844 | |||||||||||||||
Dividends reinvested | — | — | — | — | 1 | 2 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (33,459 | ) | (157,508 | ) | (289,937 | ) | ||||||||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | — | $ | (33,459 | ) | $ | (157,119 | ) | $ | (262,091 | ) | ||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 704,823 | $ | 560,733 | $ | 117,275 | $ | 12,169 | $ | 103,808 | $ | 87,195 | |||||||||||||||
Dividends reinvested | 1,999 | 2,346 | 1,911 | 270 | 728 | 876 | |||||||||||||||||||||
Cost of shares redeemed | (158,187 | ) | (79,887 | ) | (52,431 | ) | (236,075 | ) | (153,931 | ) | (139,425 | ) | |||||||||||||||
Change in net assets from Select Class capital transactions | $ | 548,635 | $ | 483,192 | $ | 66,755 | $ | (223,636 | ) | $ | (49,395 | ) | $ | (51,354 | ) | ||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 240,826 | $ | 141,259 | $ | 115,405 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends reinvested | 7,005 | 13,896 | 14,337 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (174,299 | ) | (240,103 | ) | (287,724 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 73,532 | $ | (84,948 | ) | $ | (157,982 | ) | $ | — | $ | — | $ | — |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 454 | 389 | 233 | 110 | 464 | 447 | |||||||||||||||||||||
Reinvested | 20 | 21 | 9 | 59 | 143 | 125 | |||||||||||||||||||||
Redeemed | (192 | ) | (150 | ) | (162 | ) | (973 | ) | (1,423 | ) | (1,885 | ) | |||||||||||||||
Change in Class A Shares | 282 | 260 | 80 | (804 | ) | (816 | ) | (1,313 | ) | ||||||||||||||||||
Class M | |||||||||||||||||||||||||||
Issued | — | — | — | — | 39 | 2,759 | |||||||||||||||||||||
Reinvested | — | — | — | — | — | (b) | — | (b) | |||||||||||||||||||
Redeemed | — | — | — | (3,403 | ) | (15,882 | ) | (28,681 | ) | ||||||||||||||||||
Change in Class M Shares | — | — | — | (3,403 | ) | (15,843 | ) | (25,922 | ) | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 73,963 | 58,968 | 12,075 | 1,234 | 10,490 | 8,603 | |||||||||||||||||||||
Reinvested | 210 | 247 | 196 | 28 | 74 | 86 | |||||||||||||||||||||
Redeemed | (16,585 | ) | (8,372 | ) | (5,395 | ) | (23,939 | ) | (15,572 | ) | (13,773 | ) | |||||||||||||||
Change in Select Class Shares | 57,588 | 50,843 | 6,876 | (22,677 | ) | (5,008 | ) | (5,084 | ) | ||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 25,250 | 14,788 | 11,837 | — | — | — | |||||||||||||||||||||
Reinvested | 736 | 1,460 | 1,475 | — | — | — | |||||||||||||||||||||
Redeemed | (18,245 | ) | (25,159 | ) | (29,572 | ) | — | — | — | ||||||||||||||||||
Change in Institutional Class Shares | 7,741 | (8,911 | ) | (16,260 | ) | — | — | — |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Strategic Income Fund (a) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (c) | ||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||
Class A | |||||||||||||||
Proceeds from shares issued | $ | 1,526 | $ | 4,254 | $ | 1,178 | |||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | 3,011 | ||||||||||||
Dividends reinvested | 105 | 156 | 69 | ||||||||||||
Cost of shares redeemed | (683 | ) | (1,650 | ) | (1,137 | ) | |||||||||
Redemption fees | — | 1 | — | ||||||||||||
Change in net assets from Class A capital transactions | $ | 948 | $ | 2,761 | $ | 3,121 | |||||||||
Class B | |||||||||||||||
Proceeds from shares issued | $ | 315 | $ | 909 | $ | 482 | |||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | 7,328 | ||||||||||||
Dividends reinvested | 78 | 179 | 80 | ||||||||||||
Cost of shares redeemed | (971 | ) | (1,660 | ) | (1,218 | ) | |||||||||
Redemption fees | — | 2 | — | ||||||||||||
Change in net assets from Class B capital transactions | $ | (578 | ) | $ | (570 | ) | $ | 6,672 | |||||||
Class C | |||||||||||||||
Proceeds from shares issued | $ | 428 | $ | 1,583 | $ | 276 | |||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | 2,925 | ||||||||||||
Dividends reinvested | 46 | 89 | 36 | ||||||||||||
Cost of shares redeemed | (707 | ) | (970 | ) | (626 | ) | |||||||||
Redemption fees | — | 1 | — | ||||||||||||
Change in net assets from Class C capital transactions | $ | (233 | ) | $ | 703 | $ | 2,611 | ||||||||
Class M | |||||||||||||||
Proceeds from shares issued | $ | — | $ | 7 | $ | 14 | |||||||||
Net assets acquired in tax-free reorganization (Note 8) | — | — | 6,507 | ||||||||||||
Dividends reinvested | — | 18 | — | ||||||||||||
Cost of shares redeemed | (509 | ) | (1,518 | ) | (1,492 | ) | |||||||||
Redemption fees | — | 1 | — | ||||||||||||
Change in net assets from Class M capital transactions | $ | (509 | ) | $ | (1,492 | ) | $ | 5,029 | |||||||
Select Class | |||||||||||||||
Proceeds from shares issued | $ | 191 | $ | 984 | $ | 695 | |||||||||
Dividends reinvested | 40 | 94 | 88 | ||||||||||||
Cost of shares redeemed | (425 | ) | (1,123 | ) | (1,313 | ) | |||||||||
Redemption fees | — | — | (d) | — | |||||||||||
Change in net assets from Select Class capital transactions | $ | (194 | ) | $ | (45 | ) | $ | (530 | ) | ||||||
Institutional Class | |||||||||||||||
Proceeds from shares issued | $ | 106 | $ | 2,481 | $ | 1,797 | |||||||||
Dividends reinvested | 60 | 144 | 103 | ||||||||||||
Cost of shares redeemed | (383 | ) | (759 | ) | (39,787 | ) | |||||||||
Redemption fees | — | 1 | — | ||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (217 | ) | $ | 1,867 | $ | (37,887 | ) |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
(d) | Amount rounds to less than $1,000. |
Strategic Income Fund (a) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Period Ended 2/28/2007 (b) | | Year Ended 8/31/2006 | | Year Ended 8/31/2005 (c) | ||||||||||
SHARE TRANSACTIONS: | |||||||||||||||
Class A | |||||||||||||||
Issued | 166 | 469 | 128 | ||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | 325 | ||||||||||||
Reinvested | 11 | 17 | 7 | ||||||||||||
Redeemed | (74 | ) | (180 | ) | (123 | ) | |||||||||
Change in Class A Shares | 103 | 306 | 337 | ||||||||||||
Class B | |||||||||||||||
Issued | 34 | 100 | 51 | ||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | 792 | ||||||||||||
Reinvested | 9 | 20 | 9 | ||||||||||||
Redeemed | (106 | ) | (182 | ) | (132 | ) | |||||||||
Change in Class B Shares | (63 | ) | (62 | ) | 720 | ||||||||||
Class C | |||||||||||||||
Issued | 47 | 175 | 30 | ||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | 316 | ||||||||||||
Reinvested | 5 | 10 | 4 | ||||||||||||
Redeemed | (77 | ) | (107 | ) | (68 | ) | |||||||||
Change in Class C Shares | (25 | ) | 78 | 282 | |||||||||||
Class M | |||||||||||||||
Issued | — | 1 | 2 | ||||||||||||
Shares issued in connection with Fund reorganization (Note 8) | — | — | 702 | ||||||||||||
Reinvested | — | 2 | — | ||||||||||||
Redeemed | (55 | ) | (166 | ) | (162 | ) | |||||||||
Change in Class M Shares | (55 | ) | (163 | ) | 542 | ||||||||||
Select Class | |||||||||||||||
Issued | 21 | 108 | 75 | ||||||||||||
Reinvested | 4 | 10 | 10 | ||||||||||||
Redeemed | (46 | ) | (124 | ) | (142 | ) | |||||||||
Change in Select Class Shares | (21 | ) | (6 | ) | (57 | ) | |||||||||
Institutional Class | |||||||||||||||
Issued | 11 | 271 | 193 | ||||||||||||
Reinvested | 7 | 16 | 11 | ||||||||||||
Redeemed | (42 | ) | (84 | ) | (4,321 | ) | |||||||||
Change in Institutional Class Shares | (24 | ) | 203 | (4,117 | ) |
(a) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(b) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(c) | Commencement of offering of Class B, Class C and Class M Shares on February 18, 2005. |
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 | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.29 | $ | 0.22 | $ | 0.12 | $ | 0.34 | $ | (0.23 | ) | $ | — | $ | — | $ | (0.23 | ) | |||||||||||||||||
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 (e) | 10.08 | 0.31 | 0.05 | 0.36 | (0.31 | ) | (0.06 | ) | — | (0.37 | ) | ||||||||||||||||||||||||
September 10, 2001 (f) through October 31, 2001 | 9.89 | 0.06 | (i) | 0.20 | 0.26 | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 8.39 | 0.21 | 0.37 | 0.58 | (0.21 | ) | (0.03 | ) | — | (0.24 | ) | ||||||||||||||||||||||||
June 30, 2006 (f) through August 31, 2006 | 7.93 | 0.08 | 0.46 | 0.54 | (0.08 | ) | — | — | (0.08 | ) | |||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.51 | 0.04 | 0.03 | 0.07 | (0.06 | ) | — | — | (0.06 | ) | |||||||||||||||||||||||||
Year ended August 31, 2006 (g) | 10.00 | 0.42 | (0.46 | ) | (0.04 | ) | (0.45 | ) | — | — | (0.45 | ) | |||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.50 | 0.22 | 0.03 | 0.25 | (0.23 | ) | — | — | (0.23 | ) | |||||||||||||||||||||||||
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 (e) | 10.01 | 0.27 | 0.05 | 0.32 | (0.26 | ) | (0.04 | ) | — | (0.30 | ) | ||||||||||||||||||||||||
September 10, 2001 (f) through October 31, 2001 | 9.87 | 0.05 | (i) | 0.15 | 0.20 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.84 | 0.22 | (i) | 0.02 | 0.24 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
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 | (i) | (0.02 | ) | 0.19 | (0.21 | ) | — | — | (j) | (0.21 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.23 | (i) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | — | (j) | (0.29 | ) | |||||||||||||||||||||
November 1, 2001 through August 31, 2002 (e) | 10.38 | 0.25 | 0.06 | 0.31 | (0.25 | ) | (0.11 | ) | — | (0.36 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.43 | (i) | 0.53 | 0.96 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Strategic Income Fund (h) | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.11 | 0.22 | (i) | 0.15 | 0.37 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.43 | (i) | (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 | (i) | 0.15 | 0.63 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.64 | 0.40 | (i) | 0.31 | 0.71 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
November 1, 2001 to August 31, 2002 (e) | 8.91 | 0.55 | (0.33 | ) | 0.22 | (0.47 | ) | (0.02 | ) | — | (0.49 | ) | |||||||||||||||||||||||
September 10, 2001 (f) through October 31, 2001 | 9.13 | 0.09 | (i) | (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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Commencement of offering of class of shares. |
(g) | Commencement of operations was September 1, 2005. |
(h) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(i) | Calculated based on average shares outstanding. |
(j) | Amount rounds to less than $0.01. |
(k) | Includes interest expense of 0.01%. |
(l) | 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) | ||||||||||||||||||
$— | $ | 9.40 | 3.72 | % | $ | 20,271 | 0.75 | % | 4.89 | % | 0.95 | % | 357 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
—(j) | 8.73 | 6.96 | 2,154 | 1.50 | 5.20 | 1.59 | 68 | |||||||||||||||||||||||||
—(j) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | |||||||||||||||||||||||||
— | 9.52 | 0.78 | 630 | 0.90 | 0.85 | 1.34 | 154 | |||||||||||||||||||||||||
— | 9.51 | (0.33 | ) | 584 | 0.90 | 3.96 | 1.45 | 223 | ||||||||||||||||||||||||
— | 9.52 | 2.64 | 8,510 | 0.75 | 4.77 | 0.89 | 143 | |||||||||||||||||||||||||
— | 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 | 2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.24 | 4.05 | 7,705 | 1.15 | 4.78 | 3.74 | 223 | |||||||||||||||||||||||||
—(j) | 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 | (k) | 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 | (l) | 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 | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.23 | $ | 0.19 | $ | 0.12 | $ | 0.31 | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | |||||||||||||||||
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 | ) | — | (i) | (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 (e) | 10.08 | 0.24 | 0.03 | 0.27 | (0.24 | ) | (0.06 | ) | — | (0.30 | ) | ||||||||||||||||||||||||
September 10, 2001 (f) to October 31, 2001 | 9.89 | 0.06 | (h) | 0.19 | 0.25 | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||||||
Strategic Income Fund (g) | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.11 | 0.20 | (h) | 0.14 | 0.34 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.32 | 0.39 | (h) | (0.14 | ) | 0.25 | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||||
February 18, 2005 (f) 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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Commencement of offering of class of shares. |
(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. |
| 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) | ||||||||||||||||||
$— | $ | 9.34 | 3.42 | % | $ | 3,564 | 1.40 | % | 4.23 | % | 1.45 | % | 357 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.24 | 3.79 | 5,498 | 1.65 | 4.28 | 4.23 | 223 | |||||||||||||||||||||||||
—(i) | 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 | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.27 | $ | 0.19 | $ | 0.13 | $ | 0.32 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | |||||||||||||||
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 (e) through August 31, 2003 | 10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 8.39 | 0.20 | 0.36 | 0.56 | (0.19 | ) | (0.03 | ) | (0.22 | ) | |||||||||||||||||||||
June 30, 2006 (e) through August 31, 2006 | 7.93 | 0.07 | 0.47 | 0.54 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.50 | 0.02 | 0.02 | 0.04 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
Year ended August 31, 2006 (f) | 10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||||
Strategic Income Fund (g) | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.12 | 0.20 | (h) | 0.13 | 0.33 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.38 | (h) | (0.13 | ) | 0.25 | (0.46 | ) | — | (0.46 | ) | ||||||||||||||||||||
February 18, 2005 (e) 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) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(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. |
| 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) | ||||||||||||||||||
$— | $ | 9.39 | 3.53 | % | $ | 5,146 | 1.40 | % | 4.26 | % | 1.45 | % | 357 | % | ||||||||||||||||||
— | 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 | ||||||||||||||||||||||||
—(i) | 8.73 | 6.73 | 1,332 | 2.00 | 4.66 | 2.09 | 68 | |||||||||||||||||||||||||
—(i) | 8.39 | 6.77 | 27 | 2.00 | 5.87 | 2.20 | 270 | |||||||||||||||||||||||||
— | 9.49 | 0.48 | 27 | 1.40 | 0.41 | 1.85 | 154 | |||||||||||||||||||||||||
— | 9.50 | (0.80 | ) | 24 | 1.40 | 4.58 | 1.95 | 223 | ||||||||||||||||||||||||
— | 9.24 | 3.67 | 3,096 | 1.65 | 4.28 | 4.22 | 223 | |||||||||||||||||||||||||
—(i) | 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 | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.84 | $ | 0.21 | (h) | $ | 0.02 | $ | 0.23 | $ | (0.22 | ) | $ | — | $ | — | $ | (0.22 | ) | ||||||||||||||||
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 | (h) | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (i) | (0.18 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.21 | (h) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | — | (i) | (0.27 | ) | |||||||||||||||||||||
November 1, 2001 through August 31, 2002 (e) | 10.37 | 0.23 | 0.06 | 0.29 | (0.22 | ) | (0.11 | ) | — | (0.33 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.89 | 0.35 | (h) | 0.58 | 0.93 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
Strategic Income Fund (f) | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.12 | 0.20 | (h) | 0.14 | 0.34 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.40 | (h) | (0.13 | ) | 0.27 | (0.48 | ) | — | — | (0.48 | ) | |||||||||||||||||||||||
February 18, 2005 (g) 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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(g) | Commencement of offering of class of shares. |
(h) | Calculated based on average shares outstanding. |
(i) | 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) | ||||||||||||||||||
$— | $ | 9.85 | 2.39 | % | $ | 175,836 | 1.00 | % | 4.29 | % | 1.08 | % | 246 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.24 | 3.79 | 2,995 | 1.45 | 4.48 | 4.04 | 223 | |||||||||||||||||||||||||
—(i) | 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 | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 8.39 | $ | 0.24 | $ | 0.36 | $ | 0.60 | $ | (0.23 | ) | $ | (0.03 | ) | $ | (0.26 | ) | ||||||||||||||
May 15, 2006 (e) 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) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(e) | Commencement of offering of class of shares. |
(f) | 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) | ||||||||||||||||||
$—(f) | $ | 8.73 | 7.15 | % | $ | 8,571 | 1.05 | % | 5.42 | % | 1.14 | % | 68 | % | ||||||||||||||||||
—(f) | 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 | | Total distributions | | ||||||||||||||||||||
Bond Fund | ||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.20 | $ | 0.23 | $ | 0.12 | $ | 0.35 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | ||||||||||||||||||
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 (e) | 10.08 | 0.32 | 0.02 | 0.34 | (0.32 | ) | (0.06 | ) | (0.38 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 (f) | 9.43 | 0.52 | (i) | 0.70 | 1.22 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||||||
Emerging Markets Debt Fund | �� | |||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 8.39 | 0.21 | 0.39 | 0.60 | (0.22 | ) | (0.03 | ) | (0.25 | ) | ||||||||||||||||||||||||
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 (g) | 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 | ||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.53 | 0.06 | 0.02 | 0.08 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||||
Year ended August 31, 2006 (h) | 10.00 | 0.48 | (0.49 | ) | (0.01 | ) | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||||
Short Term Bond Fund | ||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.51 | 0.23 | 0.03 | 0.26 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||||||
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 (e) | 10.03 | 0.28 | 0.04 | 0.32 | (0.27 | ) | (0.04 | ) | (0.31 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 (f) | 9.61 | 0.51 | (i) | 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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(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) | The Fund changed its fiscal year end from July 31 to August 31. |
(h) | Commencement of operations was September 1, 2005. |
(i) | Calculated based upon average shares outstanding. |
(j) | Amount rounds to less than $0.01. |
(k) | Includes interest expense of 0.01%. |
(l) | 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. |
(m) | 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. |
(n) | 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. |
(o) | 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) | | |||||||||||||||||||||
$— | $ | — | $ | 9.31 | 3.81 | % | $ | 1,459,959 | 0.65 | % | 4.97 | % | 0.70 | % | 357 | % | ||||||||||||||||||||||
— | — | 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 | (l) | |||||||||||||||||||||||||||||
— | — | (j) | 8.74 | 7.17 | 125,421 | 1.25 | 4.98 | 1.35 | 68 | |||||||||||||||||||||||||||||
0.04(o) | — | (j) | 8.39 | 10.99 | (o) | 117,423 | 1.26 | (k) | 5.77 | 1.42 | 270 | |||||||||||||||||||||||||||
— | — | (j) | 9.29 | 19.87 | 34,448 | 1.25 | 6.56 | 1.72 | 337 | |||||||||||||||||||||||||||||
— | — | 9.58 | 14.56 | 36,145 | 1.26 | (k) | 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 | (m) | ||||||||||||||||||||||||||||
— | — | 9.54 | 0.83 | 61,757 | 0.65 | 1.18 | 1.09 | 154 | ||||||||||||||||||||||||||||||
— | — | 9.53 | 0.01 | 58,882 | 0.65 | 5.20 | 1.21 | 223 | ||||||||||||||||||||||||||||||
— | — | 9.53 | 2.72 | 1,190,100 | 0.55 | 4.96 | 0.64 | 143 | ||||||||||||||||||||||||||||||
— | — | 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 | (n) |
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 | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.86 | $ | 0.23 | (h) | $ | 0.02 | $ | 0.25 | $ | (0.25 | ) | $ | — | $ | — | $ | (0.25 | ) | ||||||||||||||||
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 | (h) | (0.03 | ) | 0.20 | (0.23 | ) | — | — | (i) | (0.23 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.35 | 0.27 | (h) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | — | (i) | (0.32 | ) | |||||||||||||||||||||
November 1, 2001 to August 31, 2002 (e) | 10.40 | 0.26 | 0.07 | 0.33 | (0.27 | ) | (0.11 | ) | — | (0.38 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.90 | 0.42 | (h) | 0.57 | 0.99 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Strategic Income Fund (f) | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.12 | 0.23 | (h) | 0.14 | 0.37 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.45 | (h) | (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 | (h) | 0.16 | 0.65 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.45 | (h) | 0.27 | 0.72 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (e) | 8.95 | 0.45 | (0.31 | ) | 0.14 | (0.42 | ) | — | (0.02 | ) | (0.44 | ) | |||||||||||||||||||||||
Year Ended October 31, 2001 (g) | 9.42 | 0.67 | (h) | (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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(g) | 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. |
(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 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 | 2.54 | % | $ | 151,633 | 0.50 | % | 4.75 | % | 0.72 | % | 246 | % | |||||||||||||||||||||
— | 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 | ||||||||||||||||||||||||||||
— | 9.24 | 4.07 | 1,627 | 0.90 | 5.03 | 3.46 | 223 | ||||||||||||||||||||||||||||
—(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 | (j) | 5.44 | 1.95 | 152 | |||||||||||||||||||||||||||
— | 8.92 | 8.48 | 3,000 | 1.00 | 5.10 | 1.48 | 248 | ||||||||||||||||||||||||||||
— | 8.65 | 1.61 | 5,000 | 1.00 | 6.08 | 1.48 | 178 | ||||||||||||||||||||||||||||
— | 8.95 | 5.46 | 5,000 | 1.00 | 7.32 | 2.63 | 107 | (k) |
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 | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.19 | $ | 0.22 | $ | 0.14 | $ | 0.36 | $ | (0.24 | ) | $ | — | $ | — | $ | (0.24 | ) | |||||||||||||||||
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 (e) | 10.08 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | — | (0.40 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.43 | 0.58 | (i) | 0.65 | 1.23 | (0.58 | ) | — | — | (0.58 | ) | ||||||||||||||||||||||||
Enhanced Income Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.76 | 0.27 | (0.01 | ) | 0.26 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||||
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 (f) through August 31, 2002 | 10.00 | 0.18 | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.53 | 0.06 | 0.03 | 0.09 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||||||
Year ended August 31, 2006 (g) | 10.00 | 0.49 | (0.49 | ) | — | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.51 | 0.24 | 0.03 | 0.27 | (0.25 | ) | — | — | (0.25 | ) | |||||||||||||||||||||||||
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 (e) | 10.03 | 0.29 | 0.06 | 0.35 | (0.29 | ) | (0.04 | ) | — | (0.33 | ) | ||||||||||||||||||||||||
Year Ended October 31, 2001 | 9.58 | 0.54 | (i) | 0.46 | 1.00 | (0.55 | ) | — | — | (0.55 | ) | ||||||||||||||||||||||||
Strategic Income Fund (h) | |||||||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | 9.12 | 0.24 | (i) | 0.15 | 0.39 | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.48 | (i) | (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 | (i) | 0.17 | 0.68 | (0.52 | ) | — | — | (0.52 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.48 | (i) | 0.27 | 0.75 | (0.48 | ) | — | — | (0.48 | ) | ||||||||||||||||||||||||
November 1, 2001 through August 31, 2002 (e) | 8.95 | 0.47 | (0.30 | ) | 0.17 | (0.45 | ) | — | (0.02 | ) | (0.47 | ) | |||||||||||||||||||||||
Year Ended October 31, 2001 | 9.29 | 0.69 | (i) | (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 August 31 to the last day in February. |
(e) | The Fund changed its fiscal year end from October 31 to August 31. |
(f) | Commencement of operations of class of shares. |
(g) | Commencement of operations was September 1, 2005. |
(h) | Prior to June 16, 2006, the Fund was named Global Strategic Income Fund. |
(i) | Calculated based upon average shares outstanding. |
(j) | Amount rounds to less than $0.01. |
(k) | Includes interest expense of 0.01%. |
(l) | 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. |
(m) | 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. |
(n) | 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) | ||||||||||||||||||
$— | $ | 9.31 | 3.99 | % | $ | 398,771 | 0.49 | % | 5.15 | % | 0.55 | % | 357 | % | ||||||||||||||||||
— | 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 | (l) | ||||||||||||||||||||||||
— | 9.75 | 2.66 | 183,102 | 0.20 | 5.53 | 0.55 | 44 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.55 | 0.96 | 6,109 | 0.50 | 1.22 | 0.94 | 154 | |||||||||||||||||||||||||
— | 9.53 | 0.12 | 944 | 0.50 | 7.35 | 0.98 | 223 | |||||||||||||||||||||||||
— | 9.53 | 2.84 | 454,688 | 0.30 | 5.19 | 0.49 | 143 | |||||||||||||||||||||||||
— | 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 | (m) | ||||||||||||||||||||||||
— | 9.25 | 4.30 | 3,684 | 0.65 | 5.28 | 3.34 | 223 | |||||||||||||||||||||||||
—(j) | 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 | (k) | 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 | (n) |
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 | |||||||||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (d) | $ | 9.20 | $ | 0.24 | $ | 0.12 | $ | 0.36 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | |||||||||||||||
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 (e) | 10.09 | 0.34 | 0.02 | 0.36 | (0.34 | ) | (0.06 | ) | (0.40 | ) | |||||||||||||||||||||
Year Ended October 31, 2001 (f) | 9.47 | 0.54 | (g) | 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 end from August 31 to the last day in February. |
(e) | The Fund changed its fiscal year from October 31 to August 31. |
(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) | 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) | |||||||||||||||
$ 9.31 | 3.95 | % | $ | 162,248 | 0.40 | % | 5.23 | % | 0.45 | % | 357 | % | |||||||||||||||
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 | (h) |
AS OF FEBRUARY 28, 2007
| Classes Offered | Trust | | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | Class A, Class B, Class C, Select Class, Institutional Class and Ultra | JPM I | ||||||||
Emerging Markets Debt Fund | Class A, Class C, R Class and Select Class | JPM I | ||||||||
Enhanced Income Fund | Institutional Class | JPM I | ||||||||
Real Return Fund | Class A, Class C, Select Class and Institutional Class | JPM I | ||||||||
Short Term Bond Fund | Class A, Select Class and Institutional Class | JPM I | ||||||||
Short Term Bond Fund II | Class A, Class M and Select Class | MFG | ||||||||
Strategic Income Fund | Class A, Class B, Class C, Class M, Select Class and Institutional Class | JPM I |
| Market Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 35,063 | 1.7 | % | ||||||
Enhanced Income Fund | 11,478 | 6.3 | ||||||||
Short Term Bond Fund | 59,351 | 3.6 | ||||||||
Short Term Bond Fund II | 15,013 | 4.3 | ||||||||
Strategic Income Fund | 1,778 | 7.2 |
AS OF FEBRUARY 28, 2007 (continued)
whether the cost of the closing transaction exceeds the premium received when the option was written. If a call option is exercised, the premium is added to the proceeds from the sale of underlying security in determining whether there has been a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the security.
Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2006 | 1,755 | $ | 761 | $ | 1,414,469 | $ | 26,441 | ||||||||||||
Options written | 11,285 | 2,583 | 7,965,280 | 45,746 | |||||||||||||||
Options expired | — | — | (450,700 | ) | (940 | ) | |||||||||||||
Options terminated in closing purchase transactions | (8,843 | ) | (2,591 | ) | (3,711,599 | ) | (32,842 | ) | |||||||||||
Options outstanding at February 28, 2007 | 4,197 | $ | 753 | $ | 5,217,450 | $ | 38,405 |
Enhanced Income Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2006 | — | $ | — | $ | — | $ | — | ||||||||||||
Options written | 2 | — | (a) | — | — | ||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (2 | ) | — | (a) | — | — | |||||||||||||
Options outstanding at February 28, 2007 | — | $ | — | $ | — | $ | — |
Real Return Fund | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Notional Value | | Premiums Received | ||||||||||||||
Options outstanding at August 31, 2006 | 30,565 | $ | 36 | $ | 48,588 | EUR 27,380 | $ | 972 | |||||||||||||||
Options written | 167,039 | 146 | 226,285 | — | 1,786 | ||||||||||||||||||
Options expired | (15,246 | ) | (1 | ) | (8,140 | ) | — | (18 | ) | ||||||||||||||
Options terminated in closing purchase transactions | (76,177 | ) | (147 | ) | (143,914 | ) | (26,380 | ) | (1,276 | ) | |||||||||||||
Options outstanding at February 28, 2007 | 106,181 | $ | 34 | $ | 122,819 | EUR 1,000 | $ | 1,464 |
Short Term Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2006 | 216 | $ | 194 | $ | 266,114 | $ | 6,028 | ||||||||||||
Options written | 1,533 | 500 | 2,511,002 | 15,372 | |||||||||||||||
Options expired | — | — | (158,890 | ) | (264 | ) | |||||||||||||
Options terminated in closing purchase transactions | (1,216 | ) | (593 | ) | (1,005,356 | ) | (8,090 | ) | |||||||||||
Options outstanding at February 28, 2007 | 533 | $ | 101 | $ | 1,612,870 | $ | 13,046 |
Short Term Bond Fund II | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2006 | 132 | $ | 118 | $ | 208,865 | $ | 4,936 | ||||||||||||
Options written | 594 | 249 | 701,779 | 4,383 | |||||||||||||||
Options expired | — | — | (58,560 | ) | (104 | ) | |||||||||||||
Options terminated in closing purchase transactions | (562 | ) | (335 | ) | (533,053 | ) | (5,738 | ) | |||||||||||
Options outstanding at February 28, 2007 | 164 | $ | 32 | $ | 319,031 | $ | 3,477 |
Strategic Income Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at August 31, 2006 | — | $ | — | $ | — | $ | — | ||||||||||||
Options written | 297 | 55 | 267,255 | 1,974 | |||||||||||||||
Options expired | — | — | (3,450 | ) | (5 | ) | |||||||||||||
Options terminated in closing purchase transactions | (183 | ) | (32 | ) | (105,765 | ) | (474 | ) | |||||||||||
Options outstanding at February 28, 2007 | 114 | $ | 23 | $ | 158,040 | $ | 1,495 |
AS OF FEBRUARY 28, 2007 (continued)
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 10 | $ | (1,326 | ) | $ | 1,316 | |||||||
Emerging Markets Debt Fund | 1 | 287 | (288 | ) | ||||||||||
Enhanced Income Fund | 2 | (2 | ) | — | ||||||||||
Real Return Fund | 1 | 144 | (145 | ) | ||||||||||
Short Term Bond Fund | 95 | (720 | ) | 625 | ||||||||||
Short Term Bond Fund II | 8 | 52 | (60 | ) | ||||||||||
Strategic Income Fund | (4,925 | ) | (33 | ) | 4,958 |
| ||||||
---|---|---|---|---|---|---|
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 |
| Period Ended 2/28/07 | | Year Ended 8/31/06 | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 49 | $ | 70 | ||||||
Emerging Markets Debt Fund | 3 | 5 | ||||||||
Enhanced Income Fund | 6 | 8 | ||||||||
Real Return Fund | 4 | 4 | ||||||||
Short Term Bond Fund | 81 | 100 | ||||||||
Short Term Bond Fund II | 18 | 51 | ||||||||
Strategic Income Fund | 1 | 5 |
AS OF FEBRUARY 28, 2007 (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 | $ | 13 | $ | 12 | ||||||
Emerging Markets Debt Fund | 2 | — | (a) | |||||||
Real Return Fund | — | (a) | — | |||||||
Short Term Bond Fund | — | (a) | 5 | |||||||
Short Term Bond Fund II | 1 | — | ||||||||
Strategic Income Fund | 3 | 7 |
(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 | $ | 130 | $ | 89 | $ | 29 | $ | 248 | $ | — | ||||||||||||
Emerging Markets Debt Fund | 37 | 24 | — | 61 | — | |||||||||||||||||
Enhanced Income Fund | 149 | 31 | 86 | 266 | — | |||||||||||||||||
Real Return Fund | 89 | 22 | 33 | 144 | — | |||||||||||||||||
Short Term Bond Fund | 191 | 240 | 203 | 634 | — | |||||||||||||||||
Short Term Bond Fund II | 140 | 22 | 201 | 363 | — | |||||||||||||||||
Strategic Income Fund | 56 | 12 | 2 | 70 | 249 |
Voluntary Waivers | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Total | ||||||||||
Bond Fund | $ | 156 | $ | 70 | $ | 226 | |||||||||
Enhanced Income Fund | — | 33 | 33 | ||||||||||||
Short Term Bond Fund | 4 | 109 | 113 |
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 |
AS OF FEBRUARY 28, 2007 (continued)
Voluntary Waivers | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Total | ||||||||||
Bond Fund | $ | 171 | $ | 121 | $ | 292 | |||||||||
Enhanced Income Fund | — | 70 | 70 | ||||||||||||
Short Term Bond Fund | — | 140 | 140 |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 13,967,858 | $ | 12,598,055 | $ | 304,581 | $ | 348,037 | ||||||||||
Emerging Markets Debt Fund | 88,935 | 72,955 | 4,022 | 8,703 | ||||||||||||||
Enhanced Income Fund | 132,057 | 68,916 | 2,541 | 1,915 | ||||||||||||||
Real Return Fund | 89,109 | 88,614 | 31,608 | 22,109 | ||||||||||||||
Short Term Bond Fund | 2,626,726 | 1,920,182 | 40,312 | 27,310 | ||||||||||||||
Short Term Bond Fund II | 1,642,706 | 1,928,135 | 9,292 | 6,775 | ||||||||||||||
Strategic Income Fund | 65,521 | 60,705 | 1,794 | 1,918 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 3,434,357 | $ | 30,921 | $ | 16,779 | $ | 14,142 | ||||||||||
Emerging Markets Debt Fund | 132,398 | 5,371 | 535 | 4,836 | ||||||||||||||
Enhanced Income Fund | 183,852 | 322 | 146 | 176 | ||||||||||||||
Real Return Fund | 78,720 | 468 | 775 | (307 | ) | |||||||||||||
Short Term Bond Fund | 1,852,206 | 6,179 | 9,554 | (3,375 | ) | |||||||||||||
Short Term Bond Fund II | 433,728 | 1,308 | 4,998 | (3,690 | ) | |||||||||||||
Strategic Income Fund | 32,684 | 675 | 502 | 173 |
Total Distributions Paid From: | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Total Distributions Paid | |||||||||
Bond Fund | $ | 49,655 | $ | — | $ | 49,655 | ||||||||
Emerging Markets Debt Fund | 3,473 | 204 | 3,677 | |||||||||||
Enhanced Income Fund | 4,780 | — | 4,780 | |||||||||||
Real Return Fund | 470 | — | 470 | |||||||||||
Short Term Bond Fund | 33,925 | — | 33,925 | |||||||||||
Short Term Bond Fund II | 10,748 | — | 10,748 | |||||||||||
Strategic Income Fund | 617 | — | 617 |
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 | $ | 1,736 | $ | (21,199 | ) | $ | 33,108 | |||||||
Emerging Markets Debt Fund | 3,021 | 450 | 5,088 | |||||||||||
Enhanced Income Fund | 237 | (7,540 | ) | 264 | ||||||||||
Real Return Fund | 73 | (1,732 | ) | (66 | ) | |||||||||
Short Term Bond Fund | 4,204 | (17,890 | ) | 5,148 | ||||||||||
Short Term Bond Fund II | 1,043 | (27,443 | ) | (1,946 | ) | |||||||||
Strategic Income Fund | 45 | (21,836 | ) | 448 |
AS OF FEBRUARY 28, 2007 (continued)
Expires | |||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | | 2009 | | 2010 | | 2011 | | 2012 | | 2013 | | 2014 | | 2015 | | Total | ||||||||||||||||||||||
Bond Fund | — | — | — | — | — | — | $ | 6,291 | $ | 14,908 | $ | 21,199 | |||||||||||||||||||||||||||
Enhanced Income Fund | — | — | $ | 1,180 | $ | 792 | $ | 3,941 | $ | 526 | 680 | 421 | 7,540 | ||||||||||||||||||||||||||
Real Return Fund | — | — | — | — | — | — | 427 | 1,305 | 1,732 | ||||||||||||||||||||||||||||||
Short Term Bond Fund | — | — | — | — | 1,803 | 1,217 | 8,476 | 6,394 | 17,890 | ||||||||||||||||||||||||||||||
Short Term Bond Fund II | — | — | — | — | 1,675 | 657 | 14,799 | 10,312 | 27,443 | ||||||||||||||||||||||||||||||
Strategic Income Fund | $ | 7,690 | * | $ | 5,237 | * | 8,446 | * | — | — | — | — | 463 | 21,836 |
* | 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 | $ | 13,504 | $ | — | ||||||
Enhanced Income Fund | 322 | — | ||||||||
Real Return Fund | 365 | — | ||||||||
Short Term Bond Fund | 7,845 | 223 | ||||||||
Short Term Bond Fund II | 6,426 | — | ||||||||
Strategic Income Fund | 236 | 5 |
| Average Borrowings | | Number of Days Used | | Interest Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 653 | 7 | $ | 1 |
| 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 |
AS OF FEBRUARY 28, 2007 (continued)
| Shares Outstanding | | Net Assets | | Net Asset Value Per Share | | Net Unrealized Appreciation | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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
April 27, 2007
(Unaudited)
Name (Year of Birth); Positions With the Funds | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (1) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | |||||||||||||||
William J. Armstrong (1941); Trustee of Trusts 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). | 131 | None. | ||||||||||||
Roland R. Eppley, Jr. (1932); Trustee of Trusts since 2005; Trustee of heritage JPMorgan Funds since 1989. | Retired; President and Chief Executive Officer, Eastern States Bankcard (1971–1988). | 131 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trusts 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). | 131 | Director, Cardinal Health, Inc (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 131 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trusts 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). | 131 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trusts 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). | 131 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 131 | Trustee, Mather LifeWays (1994–present); Trustee, Carleton College (2003–present). |
Name (Year of Birth); Positions With the Funds | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (1) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees | |||||||||||||||
William G. Morton, Jr. (1937); Trustee of Trusts 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). | 131 | 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). | ||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 131 | Director, American University in Cairo. | ||||||||||||
Fergus Reid, III (1932); Trustee of Trusts (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). | 131 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trusts 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). | 131 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 131 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trusts 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). | 131 | 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 (131 funds). |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
George C.W. Gatch (1962), President (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 (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 (2005) | Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |||||
Stephen M. Benham (1959), Secretary (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. | |||||
Stephanie J. Dorsey (1969), Treasurer (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), Chief Compliance Officer (2005) | Vice President, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |||||
Paul L. Gulinello (1950), AML Compliance Officer (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. | |||||
Elizabeth A. Davin (1964), Assistant Secretary (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 (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 (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.). | |||||
Ellen W. O’Brien (1957), Assistant Secretary (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. | |||||
Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. |
Name (Year of Birth), Positions Held with the Trusts (Since) | | Principal Occupations During Past 5 Years | ||||
---|---|---|---|---|---|---|
Arthur A. Jensen (1966), Assistant Treasurer (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. | |||||
Laura S. Melman (1966), Assistant Treasurer (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. | |||||
Francesco Tango (1971) Assistant Treasurer (2007) | Vice President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. |
** | The contact address for the officer is 73 Tremont Street, Floor 1, Boston, MA 02108. |
(Unaudited)
February 28, 2007
| Beginning Account Value, September 1, 2006 | | Ending Account Value, February 28, 2007 | | Expenses Paid During Period September 1, 2006 to February 28, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,037.20 | $ | 3.79 | 0.75 | % | ||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 1,034.20 | 7.06 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,035.30 | 7.07 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,038.10 | 3.28 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,039.90 | 2.48 | 0.49 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.36 | 2.46 | 0.49 | ||||||||||||||
Ultra | ||||||||||||||||||
Actual | 1,000.00 | 1,039.50 | 2.02 | 0.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.81 | 2.01 | 0.40 | ||||||||||||||
Emerging Markets Debt Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,069.60 | 7.70 | 1.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 |
| Beginning Account Value, September 1, 2006 | | Ending Account Value, February 28, 2007 | | Expenses Paid During Period September 1, 2006 to February 28, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class C | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,067.30 | $ | 10.25 | 2.00 | % | ||||||||||
Hypothetical | 1,000.00 | 1,014.88 | 9.99 | 2.00 | ||||||||||||||
R Class | ||||||||||||||||||
Actual | 1,000.00 | 1,071.50 | 5.39 | 1.05 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.59 | 5.26 | 1.05 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,071.70 | 6.42 | 1.25 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||||
Enhanced Income Fund | ||||||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,026.60 | 1.00 | 0.20 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,007.80 | 4.48 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,004.80 | 6.96 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,008.30 | 3.24 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,009.60 | 2.49 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||||
Short Term Bond Fund | ||||||||||||||||||
Class A | �� | |||||||||||||||||
Actual | 1,000.00 | 1,026.40 | 3.77 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,027.20 | 2.76 | 0.55 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,028.40 | 1.51 | 0.30 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.31 | 1.51 | 0.30 | ||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,024.20 | 3.76 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 1,023.90 | 5.02 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,025.40 | 2.51 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 |
(Unaudited) (continued)
February 28, 2007
| Beginning Account Value, September 1, 2006 | | Ending Account Value, February 28, 2007 | | Expenses Paid During Period September 1, 2006 to February 28, 2007* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Income Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.50 | $ | 5.82 | 1.15 | % | ||||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 1,037.90 | 8.34 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||||
Class C | �� | |||||||||||||||||
Actual | 1,000.00 | 1,036.70 | 8.33 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||||
Select M | ||||||||||||||||||
Actual | 1,000.00 | 1,037.90 | 7.33 | 1.45 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,040.70 | 4.55 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,043.00 | 3.29 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.57 | 3.26 | 0.65 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
(Unaudited)
| Long-Term Capital Gain Distribution | |||||
---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 203 |
| Qualified Interest Income | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 39,714 | ||||
Emerging Markets Debt Fund | 340 | |||||
Enhanced Income Fund | 3,993 | |||||
Real Return Fund | 361 | |||||
Short Term Bond Fund | 28,652 | |||||
Short Term Bond Fund II | 9,134 | |||||
Strategic Income Fund | 433 |
| Income from U.S. Treasury Obligations | |||||
---|---|---|---|---|---|---|
Bond Fund | 4.05 | % | ||||
Enhanced Income Fund | 1.28 | |||||
Real Return Fund | 51.00 | |||||
Strategic Income Fund | 3.04 |
![](https://capedge.com/proxy/N-CSR/0001145443-07-001439/jpmorgan_asstmngklogo.jpg)
© JPMorgan Chase & Co., 2007 All rights reserved. February 2007. | AN-INC-207 |
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 and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
| (i) Has at least one audit committee financial expert serving on its audit committee; or |
(ii) Does not have an audit committee financial expert serving on its audit committee.
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
| 2007 – $68,000 * | |
| 2006 – $95,596 |
|
* The Funds’ fiscal year end changed to the last day of February effective February 2007. The fees are for the six months ending February 28, 2007, the new fiscal year end of the Funds.
(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) | |
| 2006 – $9,775,000 |
|
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 |
|
| 2007 – $9,680 * |
2006 – $7,990
* The Funds’ fiscal year end changed to the last day of February effective February 2007. The fees are for the six months ending February 28, 2007, the new fiscal year end of the Funds.
The tax fees include fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2006 and 2005, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(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 |
2007 – 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 pre-approves 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, the Pre-approval Policy lists 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 annually reviews and pre-approves 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 adds to, or subtracts 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.
2007 – 100%
2006 – 100%
(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 $21.6 million in 2006 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.
No material changes to report.
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.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Mutual Fund Group
By: | /s/_____________________________ |
George C.W. Gatch
President and Principal Executive Officer
May 09, 2007
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/___________________________ |
George C.W. Gatch
President and Principal Executive Officer
May 09, 2007
By: | /s/____________________________ |
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
May 09, 2007