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
J.P. Morgan 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)
John Fitzgerald
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: March 1, 2007 through February 29, 2008
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).
ANNUAL REPORT FEBRUARY 29, 2008
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
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/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 | 88 | |||||
Financial Highlights | 110 | |||||
Notes to Financial Statements | 128 | |||||
Report of Independent Registered Public Accounting Firm | 140 | |||||
Trustees | 141 | |||||
Officers | 143 | |||||
Schedule of Shareholder Expenses | 144 | |||||
Tax Letter | 147 |
MARCH 10, 2008 (Unaudited)
![]() | “Despite market volatility, disarray in the credit and sub-prime mortgage markets, increased risk aversion and decelerating economic growth, the U.S. taxable bond market significantly outperformed the stock market, with higher- quality bonds leading the way.” |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/georgecwgatch-sig.jpg)
President
JPMorgan Funds
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | July 26, 1993 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $1,679,550 | |||||
Primary Benchmark | Lehman Brothers U.S. Aggregate Index | |||||
Average Credit Quality | AA– | |||||
Duration | 4.6 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Bond Fund, which seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity,* returned –0.46%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 7.30% return for the Lehman Brothers U.S. Aggregate Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime write-downs, questionable monoline insurance and negative ratings actions caused spreads across the entire ABS sector to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The specific ABS we selected, which were slightly more volatile than those represented in the benchmark, combined with an overweight in the ABS sector detracted from relative performance. An overweight in mortgage-backed securities also detracted from performance, as spreads throughout the mortgage market widened due to liquidity concerns, higher volatility and general risk aversion. Similarly, the Fund’s investment-grade corporate and high-yield allocations hurt returns. Spreads on investment-grade corporate bonds, in general, widened. As concerns about the credit market increased and the market’s flight to quality intensified, the high-yield bond market struggled. |
On the positive side, the Fund’s yield-curve and duration positioning contributed to performance. These strategies benefited from the yield-curve steepening that occurred as the Federal Reserve continued to cut rates aggressively. The Fund’s performance also benefited from its modest position in Treasuries and agencies, which rallied in the flight-to-quality environment. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The portfolio management team balanced top-down macroeconomic themes with bottom-up security selection and interest rate management. The Fund also allocated its investments to extended sectors, such as emerging market and high-yield debt. |
Corporate Bonds | 32.3 | % | ||||
Collateralized Mortgage Obligations | 24.9 | |||||
Mortgage Pass-Through Securities | 19.6 | |||||
Asset-Backed Securities | 8.3 | |||||
Foreign Government Securities | 4.7 | |||||
Commercial Mortgage-Backed Securities | 3.3 | |||||
Options Purchased | 2.0 | |||||
U.S. Treasury Obligations | 1.3 | |||||
Others (each less than 1.0%) | 2.0 | |||||
Short-Term Investments | 1.6 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total long investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||
Without Sales Charge | (0.60 | )% | 3.05 | % | 4.86 | % | ||||||||||||
With Sales Charge* | (4.37 | ) | 2.27 | 4.46 | ||||||||||||||
CLASS B SHARES | 9/10/01 | |||||||||||||||||
Without CDSC | (1.36 | ) | 2.27 | 4.30 | ||||||||||||||
With CDSC** | (6.36 | ) | 1.90 | 4.30 | ||||||||||||||
CLASS C SHARES | 3/31/03 | |||||||||||||||||
Without CDSC | (1.33 | ) | 2.37 | 4.36 | ||||||||||||||
With CDSC*** | (2.33 | ) | 2.37 | 4.36 | ||||||||||||||
SELECT CLASS SHARES | 9/10/01 | (0.60 | ) | 3.07 | 4.85 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 7/26/93 | (0.46 | ) | 3.24 | 5.03 | |||||||||||||
ULTRA SHARES | 9/10/01 | (0.34 | ) | 3.34 | 5.14 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_bond-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | April 17, 1997 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $300,722 | |||||
Primary Benchmark | JPMorgan Emerging Markets Bond Index Global | |||||
Average Credit Quality | BB+ | |||||
Duration | 6.9 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 4.48%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 5.51% return for the JPMorgan Emerging Markets Bond Index Global for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period, as spreads widened in the Fund’s emerging markets holdings. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. Concerns about recession in the U.S. economy and the health of the financial sector continued to weigh on these markets. In particular, the Fund’s positions in Venezuela, Argentina and the Ukraine detracted from performance. In Venezuela, continued high oil prices couldn’t offset the effects of political volatility ahead of a constitutional referendum, leading to a sell-off in the bond market. The Fund’s overweight in Venezuela compounded the impact. Overall, higher-volatility credits, including our Argentinean position, underperformed the market as a whole. On the positive side, the Fund’s underweight in Turkey contributed to performance. In addition, security selection in Brazil and Uruguay helped returns. Although unrest in the U.S. credit markets had an influence on emerging market debt, it did not alter the emerging market’s fundamentals. In particular, commodity prices continued to reach new highs, supporting the trade balance of most emerging market economies. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Although we remained optimistic toward the long-term outlook of emerging markets countries, we pursued our fundamental investment process with caution, given the volatility in the market. We continued to rely on our sector-specialist teams to identify relative-value security selection opportunities in an effort to overweight undervalued issues and underweight overvalued issues. Throughout the one-year period, we positioned the Fund with a bias toward countries with the potential to be strongly insulated from a higher-rate environment, including those we believed unlikely to require current financing. We also favored commodity-exporting countries and those with trade surpluses. |
Foreign Government Securities | 73.6 | % | ||||
Corporate Bonds | 20.1 | |||||
U.S. Treasury Obligations | 2.2 | |||||
Others (each less than 1.0%) | 0.8 | |||||
Short-Term Investment | 3.3 |
Russia | 14.4 | % | ||||
Brazil | 13.0 | |||||
Venezuela | 10.4 | |||||
Argentina | 10.0 | |||||
Ukraine | 7.1 | |||||
United States | 5.5 | |||||
Turkey | 5.4 | |||||
Philippines | 3.8 | |||||
Colombia | 3.4 | |||||
Mexico | 3.3 | |||||
Dominican Republic | 3.0 | |||||
Guatemala | 2.9 | |||||
Indonesia | 2.7 | |||||
Peru | 2.4 | |||||
Egypt | 1.8 | |||||
Costa Rica | 1.4 | |||||
Chile | 1.4 | |||||
Uruguay | 1.2 | |||||
El Salvador | 1.1 | |||||
Trinidad & Tobago | 1.1 | |||||
Ghana | 1.1 | |||||
Others (each less than 1.0%) | 3.6 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/30/06 | |||||||||||||||||
Without Sales Charge | 4.22 | % | 13.84 | % | 10.80 | % | ||||||||||||
With Sales Charge* | 0.31 | 12.98 | 10.39 | |||||||||||||||
CLASS C SHARES | 6/30/06 | |||||||||||||||||
Without CDSC | 3.63 | 13.65 | 10.71 | |||||||||||||||
With CDSC** | 2.63 | 13.65 | 10.71 | |||||||||||||||
CLASS R5 SHARES*** | 5/15/06 | 4.67 | 14.03 | 10.90 | ||||||||||||||
SELECT CLASS SHARES | 4/17/97 | 4.48 | 13.95 | 10.86 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
*** | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_emd-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | November 30, 2001 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $103,178 | |||||
Primary Benchmark | Merrill Lynch USD LIBOR 3 Month Constant Maturity Index | |||||
Average Credit Quality | AA | |||||
Duration | 0.1 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 –2.53%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 5.74% return for the Merrill Lynch USD LIBOR 3 Month Constant Maturity Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Fund’s exposure to certain sub-prime ABS securities performed poorly even though most had quality ratings of AAA and AA. An overweight in mortgage-backed securities also detracted from performance, as spreads widened throughout the sector due to liquidity concerns, higher volatility and general risk aversion. Similarly, the Fund’s investment-grade corporate allocation also hindered performance, as spreads generally widened. On the positive side, the Fund’s performance benefited from hedging strategies we implemented to manage the risks associated with spread-widening in the mortgage-backed securities and collateralized mortgage obligation markets. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to balance top-down macroeconomic themes with bottom-up security selection, using interest rate management. We also attempted to utilize allocations in a broad range of sectors and tactically manage duration. The Fund typically maintained a duration of 1.5 years or less. |
Corporate Bonds | 24.8 | % | ||||
Asset-Backed Securities | 18.7 | |||||
Collateralized Mortgage Obligations | 14.1 | |||||
Mortgage Pass-Through Securities | 5.2 | |||||
Commercial Mortgage-Backed Securities | 1.7 | |||||
Others (each less than 1.0%) | 1.5 | |||||
Short-Term Investments | 34.0 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total long investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL CLASS SHARES | 11/30/01 | (2.53 | )% | 1.78 | % | 1.81 | % |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_enhancedincome-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | September 1, 2005 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $77,695 | |||||
Primary Benchmark | Lehman Brothers U.S. TIPS Index | |||||
Average Credit Quality | AAA | |||||
Duration | 7.7 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation protected return,* returned 12.16%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 14.88% return for the Lehman Brothers U.S. TIPS Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its exposure to mortgage-backed securities (MBS) and asset-backed securities (ABS). In particular, an overweight in MBS detracted from performance, as spreads throughout the mortgage market widened in the wake of liquidity concerns, higher volatility and general risk aversion. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. Spreads also widened dramatically for the Fund’s ABS, which hurt returns as the ABS market responded to news of sub-prime write-downs, questionable monoline insurance and ratings downgrades. The specific ABS we selected, which were slightly more volatile than those represented in the benchmark, combined with an overweight in the ABS sector detracted from relative performance. |
On the positive side, an overweight in Treasury Inflation-Protected Securities (TIPS) contributed to performance. TIPS outperformed on expectations of rising inflation. Increased commodity and food prices, and strong demand for government securities stemming from recession fears and waning liquidity fueled inflation fears. In addition, the Fund’s yield-curve and duration positioning were beneficial to performance. These strategies benefited from the yield-curve steepening that occurred as the Federal Reserve continued to cut rates aggressively. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to seek opportunistic, relative-value investments in inflation-linked (TIPS) and non-inflation linked securities, domestically and globally. We balanced top-down macroeconomic themes with bottom-up security selection. In addition, we employed interest rate management as part of our investment and risk management strategy. |
U.S. Treasury Obligations | 72.3 | % | ||||
Mortgage Pass-Through Securities | 13.0 | |||||
Collateralized Mortgage Obligations | 5.1 | |||||
Options Purchased | 1.7 | |||||
Corporate Bonds | 1.6 | |||||
Asset-Backed Securities | 1.5 | |||||
Others (each less than 1.0%) | 0.6 | |||||
Short-Term Investments | 4.2 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total long investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/1/05 | |||||||||||||
Without Sales Charge | 11.83 | % | 5.00 | % | ||||||||||
With Sales Charge* | 7.67 | 3.40 | ||||||||||||
CLASS C SHARES | 9/1/05 | |||||||||||||
Without CDSC | 11.24 | 4.45 | ||||||||||||
With CDSC** | 10.24 | 4.45 | ||||||||||||
SELECT CLASS SHARES | 9/1/05 | 12.15 | 5.28 | |||||||||||
INSTITUTIONAL CLASS SHARES | 9/1/05 | 12.32 | 5.44 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_realreturn-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | September 13, 1993 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $1,071,994 | |||||
Primary Benchmark | Merrill Lynch 1–3 Year Treasury Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.8 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 1.73%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 9.17% return for the Merrill Lynch 1–3 Year Treasury Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Fund’s exposure to certain sub-prime ABS securities performed poorly, even though most had quality ratings of AAA and AA. The Fund’s allocation to investment-grade corporate bonds also detracted from performance, as spreads on these securities generally widened. The Fund’s position in commercial mortgage-backed securities also suffered from sector-wide spread-widening, stemming from continued economic uncertainty and general risk aversion. |
On the positive side, the Fund’s performance benefited from hedging strategies we implemented to manage the risks associated with corporate spread-widening. The Fund also benefited from favorable yield-curve and duration positioning, as the yield curve steepened during the period due to the Federal Reserve’s aggressive rate cuts. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to balance top-down macroeconomic themes with bottom-up security selection. In addition, we employed interest rate management as part of our investment and risk management strategies. |
Corporate Bonds | 28.7 | % | ||||
Asset-Backed Securities | 17.5 | |||||
U.S. Treasury Obligations | 13.4 | |||||
Mortgage Pass-Through Securities | 12.2 | |||||
U.S. Government Agency Securities | 9.0 | |||||
Collateralized Mortgage Obligations | 7.8 | |||||
Commercial Mortgage-Backed Securities | 7.3 | |||||
Options Purchased | 1.0 | |||||
Others (each less than 1.0%) | 0.2 | |||||
Short-Term Investments | 2.9 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total long investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||
Without Sales Charge | 1.37 | % | 1.99 | % | 3.82 | % | ||||||||||||
With Sales Charge* | (0.92 | ) | 1.53 | 3.58 | ||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 1.58 | 2.19 | 3.96 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/13/93 | 1.73 | 2.42 | 4.22 |
* | Sales Charge for Class A Shares is 2.25% |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_stbond-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | November 30, 1990 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $249,797 | |||||
Primary Benchmark | Lehman Brothers 1–3 Year U.S. Government Bond Index | |||||
Average Credit Quality | AA | |||||
Duration | 1.6 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund II, which seeks a high level of income, consistent with preservation of capital,* returned 3.14%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 8.86% return for the Lehman Brothers 1–3 Year U.S. Government Bond Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Fund’s exposure to certain sub-prime ABS securities performed poorly, even though most had quality ratings of AAA and AA. The Fund’s allocation in investment-grade corporate bonds also experienced spread-widening, as the entire sector fell victim to worries surrounding monoline insurers, commercial real estate and macroeconomic weakness. In addition, the Fund’s holdings in commercial mortgage-backed securities (CMBS) detracted from performance. Continued economic uncertainty and general risk aversion led to spread widening throughout the CMBS market. |
On the positive side, the Fund benefited from its yield-curve and duration strategies, which responded favorably to the period’s yield-curve steepening stemming from the Federal Reserve’s aggressive rate cuts. The Fund also realized positive results from hedging strategies we implemented to protect against the risks associated with spread widening in the collateralized mortgage obligations market. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to balance top-down macroeconomic themes with bottom-up security selection across a global set of opportunities. We also employed interest rate management as part of our investment and risk management strategies. In addition, we utilized allocations in a broad range of sectors, including emerging market debt, while tactically managing duration. |
Corporate Bonds | 31.1 | % | ||||
Asset-Backed Securities | 18.5 | |||||
Commercial Mortgage-Backed Securities | 11.8 | |||||
Collateralized Mortgage Obligations | 10.5 | |||||
Mortgage Pass-Through Securities | 7.6 | |||||
U.S. Government Agency Securities | 7.1 | |||||
Foreign Government Securities | 1.9 | |||||
Others (each less than 1.0%) | 1.6 | |||||
Short-Term Investments | 9.9 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/6/96 | |||||||||||||||||
Without Sales Charge | 2.88 | % | 2.11 | % | 3.74 | % | ||||||||||||
With Sales Charge* | 0.53 | 1.64 | 3.50 | |||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||
Without Sales Charge | 2.53 | 1.85 | 3.52 | |||||||||||||||
With Sales Charge** | 0.99 | 1.54 | 3.36 | |||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 3.13 | 2.39 | 4.04 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_stbondii-line.jpg)
AS OF FEBRUARY 29, 2008 (Unaudited)
Fund Inception | March 17, 1997 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 2/29/2008 (In Thousands) | $15,274 | |||||
Primary Benchmark | Lehman Brothers U.S. Aggregate Index | |||||
Average Credit Quality | AA– | |||||
Duration | 4.4 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 0.53%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 7.30% return for the Lehman Brothers U.S. Aggregate Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund underperformed its benchmark for the period due primarily to its allocations in asset-backed securities (ABS) and mortgage-backed securities (MBS). |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to balance top-down macroeconomic themes with bottom-up security selection across a global set of opportunities. In addition, we employed interest-rate-management strategies, including allocations to actively managed higher-volatility sectors. |
Mortgage Pass-Through Securities | 26.0 | % | ||||
Corporate Bonds | 24.3 | |||||
Foreign Government Securities | 11.3 | |||||
Collateralized Mortgage Obligations | 6.5 | |||||
Private Placements | 6.1 | |||||
U.S. Treasury Obligations | 5.4 | |||||
Asset-Backed Securities | 2.8 | |||||
Commercial Mortgage Backed Securities | 2.0 | |||||
Others (each less than 1.0%) | 0.8 | |||||
Short-Term Investments | 14.8 |
INVESTMENTS BY COUNTRY***
United States | 78.4 | % | ||||
Russia | 2.5 | |||||
Mexico | 2.0 | |||||
Dominican Republic | 1.9 | |||||
Luxembourg | 1.9 | |||||
United Kingdom | 1.8 | |||||
Iceland | 1.7 | |||||
Ghana | 1.6 | |||||
Cayman Islands | 1.0 | |||||
Others (each less than 1.0%) | 7.2 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | 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. |
*** | Percentages indicated are based upon total long investments as of February 29, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||
Without Sales Charge | 0.02 | % | 4.78 | % | 4.30 | % | ||||||||||||
With Sales Charge* | (3.73 | ) | 3.98 | 3.91 | ||||||||||||||
CLASS B SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | (0.41 | ) | 4.47 | 4.15 | ||||||||||||||
With CDSC** | (5.41 | ) | 4.13 | 4.15 | ||||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||||
Without CDSC | (0.39 | ) | 4.48 | 4.15 | ||||||||||||||
With CDSC*** | (1.39 | ) | 4.48 | 4.15 | ||||||||||||||
SELECT CLASS SHARES | 9/10/01 | 0.38 | 5.04 | 4.50 | ||||||||||||||
INSTITUTIONAL CLASS SHARES | �� | 3/17/97 | 0.53 | 5.33 | 4.82 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/d22860_sif-line.jpg)
AS OF FEBRUARY 29, 2008
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 118.3% | |||||||||||
Asset-Backed Securities — 10.2% | |||||||||||
5,000 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, FRN, 3.32%, 04/25/36 (m) | 4,386 | |||||||||
923 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) | 921 | |||||||||
1,450 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 3.35%, 11/15/11 (m) | 1,390 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
1,243 | Series 2004-A, Class A4, FRN, 3.22%, 03/15/11 (m) | 1,240 | |||||||||
8,000 | Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) | 7,799 | |||||||||
Capital One Prime Auto Receivables Trust, | |||||||||||
1,500 | Series 2005-1, Class A4, FRN, 3.14%, 04/15/11 (m) | 1,493 | |||||||||
4,963 | Series 2007-1, Class A2, 5.43%, 02/15/10 (m) | 5,004 | |||||||||
Carmax Auto Owner Trust, | |||||||||||
5,000 | Series 2006-1, Class A4, 5.41%, 06/15/11 (m) | 5,165 | |||||||||
5,000 | Series 2007-1, Class A4, 5.24%, 06/15/12 (m) | 5,176 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
1,555 | Series 2004-A8, Class A8, 4.90%, 12/12/16 (m) | 1,560 | |||||||||
1,145 | Series 2005-A9, Class A9, 5.10%, 11/20/17 (m) | 1,147 | |||||||||
9,950 | Series 2006-C4, Class C4, FRN, 4.44%, 01/09/12 (m) | 9,319 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
1,300 | Series 2003-HE3, Class A, FRN, 3.52%, 12/25/33 (m) | 1,075 | |||||||||
5,122 | Series 2007-AHL2, Class A3A, FRN, 3.21%, 05/25/37 (m) | 4,903 | |||||||||
600 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 601 | |||||||||
Countrywide Asset Backed Certificates, | |||||||||||
4,133 | Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 3,854 | |||||||||
18 | Series 2004-1, Class 3A, FRN, 3.42%, 04/25/34 (m) | 16 | |||||||||
1,320 | Series 2004-1, Class M1, FRN, 3.64%, 03/25/34 (m) | 1,162 | |||||||||
1,080 | Series 2004-1, Class M2, FRN, 3.69%, 03/25/34 (m) | 937 | |||||||||
511 | Series 2005-3, Class AF3, VAR, 4.82%, 09/25/31 (m) | 511 | |||||||||
940 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) | 889 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
282 | Series 2004-I, Class A, FRN, 3.41%, 05/15/29 (m) | 257 | |||||||||
336 | Series 2004-K, Class 2A, FRN, 3.42%, 11/15/29 (m) | 298 | |||||||||
49 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF1, SUB, 5.46%, 01/25/36 (m) | 49 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
1,210 | Series 2006-B, Class A2A, 5.42%, 07/15/09 (m) | 1,213 | |||||||||
5,000 | Series 2006-C, Class A3, 5.16%, 11/15/10 (m) | 5,110 | |||||||||
4,000 | Series 2007-A, Class A2A, 5.42%, 04/15/10 (m) | 4,045 | |||||||||
728 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 731 | |||||||||
GSAMP Trust, | |||||||||||
17 | Series 2004-OPT, Class A1, FRN, 3.48%, 11/25/34 (m) | 15 | |||||||||
1,194 | Series 2005-WMC2, Class A2B, FRN, 3.40%, 11/25/35 (m) | 1,172 | |||||||||
10,000 | Harley-Davidson Motorcycle Trust, Series 2007-1, Class A3, 5.22%, 03/15/12 (m) | 10,230 | |||||||||
6,412 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.82%, 10/20/14 (e) (i) | 5,817 | |||||||||
1,465 | Home Equity Asset Trust, Series 2005-8, Class M2, FRN, 3.59%, 02/25/36 (m) | 1,129 | |||||||||
5,000 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 3.33%, 01/25/36 (m) | 4,156 | |||||||||
K2 (USA) LLC, | |||||||||||
8,000 | Series 2, VAR, 5.61%, 02/15/11 (f) (i) (s) (v) | 1,786 | |||||||||
9,000 | Series 2007-2D, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | 2,009 | |||||||||
8,500 | Series 2007-2I, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | 1,897 | |||||||||
9,000 | Series 2007-2J, VAR, 5.81%, 02/15/11 (f) (i) (s) (v) | 2,009 | |||||||||
2,500 | VAR, 5.62%, 02/15/10 (f) (i) (s) (v) | 558 | |||||||||
1,074 | Lehman XS Trust, Series 2005-7N, Class 1A1A, FRN, 3.41%, 11/25/35 (m) | 923 | |||||||||
3,100 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) | 930 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
2,000 | Series 2003-4, Class M1, FRN, 3.82%, 08/25/33 (m) | 1,723 | |||||||||
2,030 | Series 2004-1, Class M1, FRN, 3.64%, 02/25/34 (m) | 1,831 | |||||||||
1,360 | Series 2004-1, Class M2, FRN, 3.69%, 02/25/34 (m) | 1,202 | |||||||||
1,500 | Series 2004-3, Class M1, FRN, 3.71%, 07/25/34 (m) | 1,316 | |||||||||
MASTR Asset Backed Securities Trust, | |||||||||||
3,041 | Series 2006-AB1, Class A1, FRN, 3.28%, 02/25/36 (m) | 2,980 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
5,000 | Series 2006-NC1, Class A3, FRN, 3.33%, 01/25/36 (m) | 4,585 | |||||||||
3,000 | MBNA Credit Card Master Note Trust, Series 2001-C2, Class C2, FRN, 4.27%, 12/15/10 (e) (m) | 3,000 | |||||||||
5,000 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) | 4,691 | |||||||||
8,000 | Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, FRN, 3.27%, 06/25/37 (m) | 7,165 | |||||||||
New Century Home Equity Loan Trust, | |||||||||||
1,350 | Series 2005-1, Class M1, FRN, 3.59%, 03/25/35 (m) | 1,223 | |||||||||
320 | Series 2005-B, Class A2B, FRN, 3.32%, 10/25/35 (m) | 318 | |||||||||
4,000 | Newcastle Mortgage Securities Trust, Series 2006-1, Class A2, FRN, 3.26%, 03/25/36 (m) | 3,922 | |||||||||
Option One Mortgage Loan Trust, | �� | ||||||||||
507 | Series 2003-1, Class A2, FRN, 3.98%, 02/25/33 (m) | 470 | |||||||||
311 | Series 2003-5, Class A2, FRN, 3.46%, 08/25/33 (m) | 288 | |||||||||
5,307 | Series 2007-4, Class 2A1, FRN, 3.23%, 04/25/37 (m) | 5,021 | |||||||||
2,000 | Peco Energy Transition Trust, Series 2000-A, Class A3, 7.63%, 03/01/10 (m) | 2,081 | |||||||||
2,650 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 2,932 | |||||||||
Residential Asset Mortgage Products, Inc., | |||||||||||
3,550 | Series 2005-EFC5, Class M1, FRN, 3.54%, 10/01/35 (m) | 3,089 | |||||||||
1,838 | Series 2006-RS1, Class AI2, FRN, 3.37%, 01/25/36 (m) | 1,706 | |||||||||
Residential Asset Securities Corp., | |||||||||||
297 | Series 2002-KS4, Class AIIB, FRN, 3.64%, 07/25/32 (m) | 270 | |||||||||
478 | Series 2003-KS5, Class AIIB, FRN, 3.72%, 07/25/33 (m) | 409 | |||||||||
4,870 | Series 2005-KS10, Class M1, FRN, 3.55%, 11/25/35 (m) | 4,362 | |||||||||
540 | Specialty Underwriting & Residential Finance, Series 2005-BC3, Class A2B, FRN, 3.39%, 06/25/36 (m) | 538 | |||||||||
6,365 | Structured Asset Securities Corp., Series 2006-WF2, Class M2, FRN, 3.43%, 07/25/36 (m) | 3,020 | |||||||||
7,855 | Triad Auto Receivables Owner Trust, Series 2006-C, Class A3, 5.26%, 11/14/11 (m) | 7,805 | |||||||||
Wachovia Asset Securitization, Inc., | |||||||||||
658 | Series 2002-HE2, Class A, FRN, 3.57%, 12/25/32 (m) | 621 | |||||||||
412 | Series 2003-HE3, Class A, FRN, 3.39%, 11/25/33 (m) | 370 | |||||||||
918 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A2, 5.28%, 04/20/10 (e) (m) | 920 | |||||||||
Total Asset-Backed Securities (Cost $212,498) | 170,740 | ||||||||||
Collateralized Mortgage Obligations — 30.6% | |||||||||||
Agency CMO — 5.7% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
392 | Series 2508, Class PE, 5.50%, 05/15/28 (m) | 394 | |||||||||
7,122 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) | 507 | |||||||||
3,220 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 268 | |||||||||
10,486 | Series 2701, Class ST, IF, IO, 3.88%, 08/15/21 (m) | 727 | |||||||||
1,839 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 36 | |||||||||
2,557 | Series 2772 Class GI, IO, 5.00%, 11/15/22 (m) | 80 | |||||||||
6,407 | Series 2779, Class SM, IF, IO, 4.03%, 10/15/18 (m) | 554 | |||||||||
1,916 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 51 | |||||||||
24,154 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) | 1,787 | |||||||||
19,751 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) | 1,598 | |||||||||
15,111 | Series 2861, Class GS, IF, IO, 4.08%, 01/15/21 (m) | 665 | |||||||||
6,162 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 248 | |||||||||
7,207 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) | 568 | |||||||||
4,768 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 4,882 | |||||||||
4,172 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) | 220 | |||||||||
570 | Series 2980, Class QB, 6.50%, 05/15/35 (m) | 606 | |||||||||
7,969 | Series 3029, Class S, IF, IO, 4.08%, 08/15/35 (m) | 1,011 | |||||||||
7,551 | Series 3149, Class IU, IO, 6.00%, 09/15/25 (m) | 432 | |||||||||
15,774 | Series 3174, Class SA, IF, IO, 4.58%, 04/15/36 (m) | 1,507 | |||||||||
28,602 | Series 3199, Class AD, 6.50%, 12/15/33 (m) | 29,445 | |||||||||
46,557 | Series 3316, Class SB, IF, IO, 4.08%, 08/15/35 (m) | 5,922 | |||||||||
Federal Home Loan Mortgage Corp., STRIPS, | |||||||||||
17,254 | Series 237, Class S22, IF, IO, 4.03%, 05/15/36 (m) | 2,107 | |||||||||
4,035 | Series 248, Class IO, IO, 5.50%, 07/15/37 (m) | 920 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
5,741 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) | 342 | |||||||||
4,442 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 364 | |||||||||
1,590 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 1,631 | |||||||||
6,773 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 6,942 | |||||||||
17,245 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 17,709 | |||||||||
3,289 | Series 2007-50, Class CS, IF, 20.02%, 09/25/32 (m) | 3,388 | |||||||||
40,261 | Series 2007-55, Class S, IF, IO, 3.63%, 06/25/37 (m) | 3,389 | |||||||||
Federal National Mortgage Association, STRIPS, | |||||||||||
2,821 | Series 370, Class 2, IO, 6.00%, 06/01/36 (m) | 599 | |||||||||
5,303 | Series 372, Class 2, IO, 6.00%, 08/01/36 (m) | 1,121 | |||||||||
16,194 | Series 378, Class 5, IO, 5.00%, 07/01/36 (m) | 3,432 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
156 | Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 164 | |||||||||
2,050 | Series 2003-W6, Class 1A41, 5.40%, 10/25/42 (m) | 2,150 | |||||||||
Government National Mortgage Association, | |||||||||||
339 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 4 | |||||||||
2,184 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 38 | |||||||||
95,808 | |||||||||||
Non-Agency CMO — 24.9% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
296 | Series 2005-4, Class 7A2, FRN, 3.37%, 08/25/35 (m) | 264 | |||||||||
1,393 | Series 2005-5, Class 6A21, FRN, 3.37%, 09/25/35 (m) | 1,216 | |||||||||
244 | Series 2005-6A, Class 2A1, FRN, 3.45%, 11/25/35 (m) | 215 | |||||||||
9,885 | American Home Mortgage Assets, Series 2006-2, Class 2A1, FRN, 3.33%, 09/25/46 (m) | 8,348 | |||||||||
2,188 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 2,207 | |||||||||
29,551 | CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1A4, 6.00%, 11/25/36 (m) | 28,815 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
4,207 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 4,003 | |||||||||
3,485 | Series 2005-51, Class 1A1, FRN, 3.43%, 11/20/35 (m) | 3,165 | |||||||||
8,598 | Series 2006-OA1, Class 2A1, FRN, 3.32%, 03/20/46 (m) | 7,000 | |||||||||
10,974 | Series 2006-OA2, Class A1, FRN, 3.32%, 05/20/46 (m) | 9,391 | |||||||||
2,972 | Series 2006-OA9, Class 1A1, FRN, 3.31%, 07/20/46 (m) | 2,502 | |||||||||
2,868 | Series 2006-OA9, Class 2A1B, FRN, 3.31%, 07/20/46 (m) | 2,415 | |||||||||
9,360 | Series 2006-OA10, Class 3A1, FRN, 3.33%, 08/25/46 (m) | 8,106 | |||||||||
4,337 | Series 2006-OA12, Class A2, FRN, 3.32%, 09/20/46 (m) | 3,474 | |||||||||
8,899 | Series 2006-OA19, Class A1, FRN, 3.29%, 02/20/47 (m) | 7,541 | |||||||||
23,689 | Series 2007-18CB, Class 2A25, 6.00%, 08/25/37 (m) | 20,136 | |||||||||
11,889 | Series 2007-OH1, Class A1D, FRN, 3.35%, 04/25/47 (m) | 10,018 | |||||||||
7,955 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 7,937 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
385 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) | 380 | |||||||||
1,825 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 1,845 | |||||||||
6,000 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR1, Class 1A2, FRN, 3.35%, 02/25/36 (m) | 5,606 | |||||||||
8,768 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 3.41%, 10/19/45 (m) | 8,090 | |||||||||
3,000 | Granite Master Issuer plc (United Kingdom), Series 2006-2, Class A4, FRN, 3.93%, 12/20/54 (m) | 2,844 | |||||||||
Greenpoint Mortgage Funding Trust, | |||||||||||
951 | Series 2005-AR4, Class 4A1A, FRN, 3.45%, 10/25/45 (m) | 866 | |||||||||
12,179 | Series 2006-OH1, Class A1, FRN, 3.32%, 01/25/37 (m) | 10,781 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
3,664 | Series 2005-3, Class 2A1A, FRN, 3.36%, 06/19/35 (m) | 3,442 | |||||||||
963 | Series 2005-8, Class 1A2A, FRN, 3.45%, 09/19/35 (m) | 862 | |||||||||
5,068 | Series 2005-13, Class 2A11, FRN, 3.40%, 02/19/36 (m) | 4,652 | |||||||||
2,263 | Series 2006-8, Class 2A1A, FRN, 3.30%, 07/21/36 (m) | 1,931 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
746 | Series 2004-AR7, Class A1, FRN, 3.58%, 09/25/34 (m) | 684 | |||||||||
735 | Series 2005-AR14, Class 2A1A, FRN, 3.44%, 08/25/35 (m) | 664 | |||||||||
9,419 | Series 2006-AR2, Class 1A1A, FRN, 3.36%, 04/25/46 (m) | 8,175 | |||||||||
23,105 | Series 2006-AR2, Class 4A1, VAR, 5.94%, 09/25/36 (m) | 23,290 | |||||||||
13,014 | Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.50%, 09/25/37 (m) | 13,514 | |||||||||
904 | Medallion Trust (Australia), Series 2004-1G, Class A1, FRN, 3.22%, 05/25/35 (m) | 810 | |||||||||
4,125 | Permanent Master Issuer plc (United Kingdom), Series 2006-1, Class 2A, FRN, 4.30%, 10/17/15 (m) | 4,111 | |||||||||
RESI Finance LP (Cayman Islands), | |||||||||||
6,325 | Series 2003-C, Class B3, FRN, 4.57%, 09/10/35 (e) (m) | 5,817 | |||||||||
1,211 | Series 2003-C, Class B4, FRN, 4.77%, 09/10/35 (e) (m) | 1,146 | |||||||||
1,342 | Series 2003-D, Class B3, FRN, 4.47%, 12/10/35 (e) (m) | 1,216 | |||||||||
1,942 | Series 2003-D, Class B4, FRN, 4.67%, 12/10/35 (e) (m) | 1,782 | |||||||||
2,298 | Series 2005-A, Class B3, FRN, 3.75%, 03/10/37 (e) (m) | 1,769 | |||||||||
769 | Series 2005-A, Class B4, FRN, 3.85%, 03/10/37 (e) (m) | 556 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
849 | Series 2005-QO4, Class 2A1, FRN, 3.42%, 12/25/45 (m) | 769 | |||||||||
6,555 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 6,659 | |||||||||
41,059 | Residential Funding Mortgage Securities I, Series 2007-S8, Class 1A1, 6.00%, 09/25/37 (m) | 40,354 | |||||||||
197 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (i) | 198 | |||||||||
Structured Asset Mortgage Investments, Inc., | |||||||||||
1,120 | Series 2005-AR2, Class 2A1, FRN, 3.37%, 05/25/45 (m) | 1,029 | |||||||||
7,420 | Series 2006-AR1, Class 3A1, FRN, 3.37%, 02/25/36 (m) | 6,094 | |||||||||
WaMu Mortgage Pass Through Certificates, | |||||||||||
692 | Series 2005-AR2, Class 2A21, FRN, 3.47%, 01/25/45 (m) | 626 | |||||||||
1,081 | Series 2005-AR9, Class A1A, FRN, 3.46%, 07/25/45 (m) | 1,006 | |||||||||
1,161 | Series 2005-AR15, Class A1A1, FRN, 3.40%, 11/25/45 (m) | 1,054 | |||||||||
695 | Series 2005-AR17, Class A1A1, FRN, 3.41%, 12/25/45 (m) | 632 | |||||||||
6,067 | Series 2007-HY4, Class 5A1, VAR, 5.67%, 11/25/36 (m) | 6,120 | |||||||||
1,331 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 1A, FRN, 3.33%, 07/25/46 (m) | 1,148 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
1,727 | Series 2003-2, Class A6, 5.25%, 03/25/18 (m) | 1,762 | |||||||||
18,769 | Series 2003-M, Class A1, FRN, 4.71%, 12/25/33 (m) | 18,319 | |||||||||
3,076 | Series 2006-AR3, Class A1, FRN, 5.70%, 03/25/36 (m) | 3,093 | |||||||||
34,685 | Series 2007-10, Class 1A1, 6.00%, 07/25/37 (m) | 34,783 | |||||||||
31,012 | Series 2007-11, Class A96, 6.00%, 08/25/37 (m) | 30,983 | |||||||||
32,035 | Series 2007-AR4, Class A1, VAR, 6.01%, 08/25/37 (m) | 32,179 | |||||||||
418,394 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $529,873) | 514,202 | ||||||||||
Commercial Mortgage-Backed Securities — 4.1% | |||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
4,655 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) (y) | 4,374 | |||||||||
4,155 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) (y) | 3,920 | |||||||||
2,515 | Series 2005-T20, Class A4A, VAR, 5.15%, 10/12/42 (m) (y) | 2,415 | |||||||||
5,000 | Series 2006-PW12, Class A4, VAR, 5.71%, 09/11/38 (m) (y) | 4,901 | |||||||||
10,000 | Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, VAR, 5.77%, 06/10/46 (m) | 9,834 | |||||||||
17,235 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A3, VAR, 5.81%, 09/15/39 (m) | 16,532 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
5,405 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) | 5,100 | |||||||||
5,405 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) | 4,470 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
105 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 104 | |||||||||
2,170 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) | 2,044 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Mortgage-Backed Securities — Continued | |||||||||||
4,060 | Series 2006-C4, Class A4, VAR, 5.88%, 06/15/38 (m) | 4,020 | |||||||||
6,106 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) (m) | 5,856 | |||||||||
2,610 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.66%, 05/12/39 (m) | 2,552 | |||||||||
1,755 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 1,680 | |||||||||
370 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) | 353 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $71,612) | 68,155 | ||||||||||
Corporate Bonds — 39.7% | |||||||||||
Aerospace & Defense — 0.3% | |||||||||||
1,145 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 1,114 | |||||||||
3,500 | United Technologies Corp., FRN, 3.15%, 06/01/09 (m) | 3,484 | |||||||||
4,598 | |||||||||||
Auto Components — 0.2% | |||||||||||
13 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 (m) | 14 | |||||||||
1,295 | Tenneco, Inc., 8.13%, 11/15/15 (e) (m) | 1,298 | |||||||||
TRW Automotive, Inc., | |||||||||||
800 | 7.00%, 03/15/14 (e) (m) | 738 | |||||||||
825 | 7.25%, 03/15/17 (e) (m) | 751 | |||||||||
2,801 | |||||||||||
Automobiles — 0.8% | |||||||||||
Daimler Finance North America LLC, | |||||||||||
10,280 | 5.88%, 03/15/11 (m) | 10,729 | |||||||||
3,425 | FRN, 5.54%, 03/13/09 (m) | 3,400 | |||||||||
14,129 | |||||||||||
Beverages — 0.1% | |||||||||||
1,850 | Constellation Brands, Inc., 7.25%, 09/01/16 (m) | 1,790 | |||||||||
Capital Markets — 4.7% | |||||||||||
1,900 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 1,872 | |||||||||
7,070 | Bear Stearns Cos., Inc. (The), FRN, 3.19%, 05/18/10 (m) (y) | 6,485 | |||||||||
Credit Suisse USA, Inc., | |||||||||||
1,845 | 5.50%, 08/16/11 (m) | 1,935 | |||||||||
2,000 | FRN, 3.09%, 06/05/09 (m) | 1,993 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
3,865 | 5.95%, 01/15/27 (m) | 3,443 | |||||||||
4,125 | 6.75%, 10/01/37 (m) | 3,851 | |||||||||
3,525 | FRN, 4.97%, 06/23/09 (m) | 3,470 | |||||||||
560 | Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Co., PIK, 8.88%, 04/01/15 (m) | 571 | |||||||||
6,375 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) | 4,781 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
4,665 | 5.25%, 02/06/12 (m) | 4,631 | |||||||||
3,835 | 5.75%, 01/03/17 (m) | 3,605 | |||||||||
7,000 | FRN, 3.17%, 08/21/09 (m) | 6,794 | |||||||||
3,500 | FRN, 3.23%, 05/25/10 (m) | 3,311 | |||||||||
2,360 | LVB Acquisition Merger Sub, Inc., PIK, 10.38%, 10/15/17 (e) (m) | 2,407 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
3,015 | 6.05%, 08/15/12 (m) | 3,140 | |||||||||
1,845 | 6.11%, 01/29/37 (m) | 1,544 | |||||||||
820 | 6.22%, 09/15/26 (m) | 733 | |||||||||
1,900 | FRN, 3.40%, 02/06/09 (m) | 1,890 | |||||||||
4,750 | FRN, 3.44%, 11/01/11 (m) | 4,422 | |||||||||
Morgan Stanley, | |||||||||||
5,850 | 5.45%, 01/09/17 (m) | 5,750 | |||||||||
1,800 | 5.63%, 01/09/12 (m) | 1,862 | |||||||||
7,000 | FRN, 3.21%, 02/09/09 (m) | 6,951 | |||||||||
3,500 | FRN, 3.26%, 05/07/10 (m) | 3,382 | |||||||||
78,823 | |||||||||||
Chemicals — 0.4% | |||||||||||
1,060 | Huntsman LLC, 11.50%, 07/15/12 (m) | 1,129 | |||||||||
1,300 | Ineos Group Holdings plc (United Kingdom), 8.50%, 02/15/16 (e) (m) | 975 | |||||||||
Nalco Co., | |||||||||||
1,210 | 7.75%, 11/15/11 (m) | 1,222 | |||||||||
1,000 | 8.88%, 11/15/13 (m) | 1,020 | |||||||||
765 | PolyOne Corp., 8.88%, 05/01/12 (m) | 771 | |||||||||
1,100 | Terra Capital, Inc., 7.00%, 02/01/17 (m) | 1,081 | |||||||||
6,198 | |||||||||||
Commercial Banks — 7.2% | |||||||||||
7,000 | Banco de Sabadell S.A. (Spain), FRN, 3.95%, 04/23/10 (e) (m) | 6,700 | |||||||||
7,855 | Bank of Scotland plc (United Kingdom), 5.25%, 02/21/17 (e) (m) | 8,275 | |||||||||
4,035 | Barclays Bank plc (United Kingdom), 5.93%, 12/15/16 (e) (m) (x) | 3,673 | |||||||||
620 | BB&T Capital Trust I, 5.85%, 08/18/35 (m) | 516 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
4,300 | BNP Paribas (France), 7.20%, 06/25/37 (e) (m) (x) | 3,950 | |||||||||
6,195 | Commonwealth Bank of Australia (Australia), 6.02%, 03/15/16 (e) (m) (x) | 5,728 | |||||||||
5,045 | Credit Agricole S.A. (France), 6.64%, 05/31/17 (e) (m) (x) | 4,313 | |||||||||
4,770 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) | 5,207 | |||||||||
5,300 | Deutsche Bank AG (Germany), 5.38%, 10/12/12 (m) | 5,562 | |||||||||
Glitnir Banki HF (Iceland), | |||||||||||
2,375 | FRN, 4.15%, 04/20/10 (e) (m) | 2,192 | |||||||||
6,675 | FRN, 4.33%, 01/21/11 (e) (m) | 5,804 | |||||||||
1,500 | FRN, 4.42%, 10/15/08 (e) (m) | 1,501 | |||||||||
HBOS plc (United Kingdom), | |||||||||||
5,000 | 5.92%, 10/01/15 (e) (m) (x) | 4,258 | |||||||||
2,015 | 6.66%, 05/21/37 (e) (m) (x) | 1,605 | |||||||||
2,675 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) (m) | 2,575 | |||||||||
1,720 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) (m) | 1,713 | |||||||||
7,500 | Korea Development Bank (South Korea), FRN, 4.84%, 04/03/10 (m) | 7,489 | |||||||||
4,250 | Landsbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) | 4,165 | |||||||||
3,400 | Royal Bank of Scotland Group plc (United Kingdom), 7.64%, 09/29/17 (m) (x) | 3,380 | |||||||||
5,665 | Shinsei Finance II (Cayman Islands), 7.16%, 07/25/16 (e) (m) (x) | 4,240 | |||||||||
5,140 | Societe Generale (France), 5.92%, 04/05/17 (e) (m) (x) | 4,634 | |||||||||
2,200 | Standard Chartered plc (United Kingdom), 6.41%, 01/30/17 (e) (m) (x) | 1,944 | |||||||||
4,500 | VTB 24 Capital plc for Bank VTB 24 OJSC (Ireland), FRN, 3.83%, 12/07/09 | 4,337 | |||||||||
8,525 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) | 8,461 | |||||||||
6,600 | Wachovia Capital Trust III, 5.80%, 03/15/11 (m) (x) | 5,198 | |||||||||
5,000 | Wachovia Corp., 7.98%, 03/15/18 (m) (x) | 5,192 | |||||||||
2,070 | Wells Fargo Bank N.A., 6.45%, 02/01/11 (m) | 2,216 | |||||||||
Woori Bank (South Korea), | |||||||||||
2,335 | VAR, 5.75%, 03/13/14 (e) (m) | 2,333 | |||||||||
4,615 | VAR, 6.21%, 05/02/37 (e) (m) | 3,627 | |||||||||
120,788 | |||||||||||
Commercial Services & Supplies — 0.2% | |||||||||||
1,320 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 1,148 | |||||||||
Allied Waste North America, Inc., | |||||||||||
1,065 | 7.25%, 03/15/15 (m) | 1,058 | |||||||||
495 | 7.38%, 04/15/14 (m) | 476 | |||||||||
415 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 414 | |||||||||
830 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (d) (m) | 403 | |||||||||
3,499 | |||||||||||
Communications Equipment — 0.2% | |||||||||||
4,000 | Cisco Systems, Inc., FRN, 3.16%, 02/20/09 (m) | 3,996 | |||||||||
Consumer Finance — 1.0% | |||||||||||
6,000 | Discover Financial Services, FRN, 5.66%, 06/11/10 (e) (m) | 5,351 | |||||||||
2,830 | Ford Motor Credit Co. LLC, 7.80%, 06/01/12 (m) | 2,440 | |||||||||
2,250 | General Electric Capital Corp., FRN, 3.27%, 10/26/09 (m) | 2,243 | |||||||||
1,335 | GMAC LLC, 6.88%, 08/28/12 (m) | 1,066 | |||||||||
2,000 | HSBC Finance Corp., FRN, 5.12%, 09/15/08 (m) | 1,985 | |||||||||
2,000 | International Lease Finance Corp., FRN, 3.31%, 05/24/10 (m) | 1,910 | |||||||||
1,655 | SLM Corp., 3.63%, 03/17/08 (m) | 1,651 | |||||||||
16,646 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
615 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 637 | |||||||||
1,130 | Smurfit-Stone Container Enterprises, Inc., 8.38%, 07/01/12 (m) | 1,062 | |||||||||
1,699 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
780 | Service Corp. International, 7.38%, 10/01/14 (m) | 796 | |||||||||
985 | Stewart Enterprises, Inc., 6.25%, 02/15/13 (m) | 923 | |||||||||
1,719 | |||||||||||
Diversified Financial Services — 4.5% | |||||||||||
3,250 | Caterpillar Financial Services Corp., FRN, 3.13%, 05/18/09 (m) | 3,234 | |||||||||
CIT Group, Inc., | |||||||||||
3,500 | FRN, 3.19%, 08/17/09 (m) | 3,208 | |||||||||
3,100 | FRN, 3.40%, 01/30/09 (m) | 2,907 | |||||||||
Citigroup, Inc., | |||||||||||
4,870 | 6.00%, 08/15/17 (m) | 4,991 | |||||||||
3,890 | 6.13%, 11/21/17 (m) | 3,993 | |||||||||
8,035 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) | 6,004 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Financial Services — Continued | |||||||||||
3,750 | IBM International Group Capital LLC, 5.05%, 10/22/12 (m) | 3,949 | |||||||||
Kaupthing Bank HF (Iceland), | |||||||||||
6,650 | 5.75%, 10/04/11 (e) (m) | 5,881 | |||||||||
5,275 | FRN, 5.96%, 01/15/10 (e) (m) | 4,745 | |||||||||
1,815 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) | 1,834 | |||||||||
7,073 | Mizuho Preferred Capital Co. LLC, 8.79%, 06/30/08 (e) (m) (x) | 7,147 | |||||||||
3,275 | MUFG Capital Finance 1 Ltd. (Cayman Islands), 6.35%, 07/25/16 (x) | 2,870 | |||||||||
6,425 | Pemex Finance Ltd. (Cayman Islands), FRN, 7.04%, 10/15/09 | 6,521 | |||||||||
7,650 | QBE Capital Funding II LP (United Kingdom), 6.80%, 06/01/17 (e) (m) (x) | 7,019 | |||||||||
3,475 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08%, 01/25/17 (e) (m) (x) | 3,020 | |||||||||
1,250 | TIAA Global Markets, Inc., FRN, 4.48%, 01/12/11 (e) (m) | 1,253 | |||||||||
2,960 | TRAINS, Series HY1-2006, VAR, 7.12%, 05/01/16 (e) (m) | 2,893 | |||||||||
1,105 | Visant Corp., 7.63%, 10/01/12 (m) | 1,066 | |||||||||
3,020 | ZFS Finance USA Trust II, VAR, 6.45%, 12/15/65 (e) (m) | 2,743 | |||||||||
75,278 | |||||||||||
Diversified Telecommunication Services — 1.7% | |||||||||||
1,220 | Consolidated Communications Illinois/Texas Holdings, Inc., 9.75%, 04/01/12 (m) | 1,280 | |||||||||
1,475 | Nordic Telephone Co. Holdings (Denmark), 8.88%, 05/01/16 (e) (m) | 1,453 | |||||||||
94 | Qwest Communications International, Inc., FRN, 6.57%, 02/15/09 (m) | 93 | |||||||||
340 | Qwest Corp., 8.88%, 03/15/12 (m) | 355 | |||||||||
5,395 | Sprint Capital Corp., 6.13%, 11/15/08 (m) | 5,260 | |||||||||
Telefonica Emisiones S.A.U. (Spain), | |||||||||||
9,610 | 5.86%, 02/04/13 (m) | 10,010 | |||||||||
6,000 | FRN, 5.23%, 06/19/09 (m) | 5,926 | |||||||||
4,065 | Verizon Communications, Inc., 6.40%, 02/15/38 (m) | 4,064 | |||||||||
725 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) (m) | 734 | |||||||||
29,175 | |||||||||||
Electrical Equipment — 0.0% (g) | |||||||||||
495 | Baldor Electric Co., 8.63%, 2/15/17 (m) | 485 | |||||||||
Electric Utilities — 0.8% | |||||||||||
10,525 | Abu Dhabi National Energy Co. (United Arab Emirates), 5.62%, 10/25/12 (e) (m) | 10,760 | |||||||||
600 | Mirant Americas Generation LLC, 8.30%, 05/01/11 (m) | 604 | |||||||||
525 | Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 (e) (m) | 512 | |||||||||
1,635 | Virginia Electric and Power Co., 6.35%, 11/30/37 (m) | 1,693 | |||||||||
13,569 | |||||||||||
Electronic Equipment & Instruments — 0.1% | |||||||||||
1,185 | NXP BV/NXP Funding LLC (Netherlands), 9.50%, 10/15/15 (m) | 983 | |||||||||
Food & Staples Retailing — 1.4% | |||||||||||
5,500 | CVS/Caremark Corp., FRN, 3.38%, 06/01/10 (m) | 5,317 | |||||||||
3,068 | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) | 2,959 | |||||||||
3,070 | Kroger Co. (The), 6.40%, 08/15/17 (m) | 3,260 | |||||||||
3,030 | Safeway, Inc., 6.35%, 08/15/17 (m) | 3,211 | |||||||||
Wal-Mart Stores, Inc., | |||||||||||
2,785 | 5.25%, 09/01/35 (m) | 2,475 | |||||||||
4,960 | 5.38%, 04/05/17 (m) | 5,169 | |||||||||
1,500 | 6.50%, 08/15/37 (m) | 1,601 | |||||||||
23,992 | |||||||||||
Food Products — 0.0% (g) | |||||||||||
520 | Del Monte Corp., 6.75%, 02/15/15 (m) | 494 | |||||||||
Gas Utilities — 0.3% | |||||||||||
3,520 | Nakilat, Inc. (Qatar), 6.07%, 12/31/33 (e) (m) | 3,072 | |||||||||
1,710 | Sonat, Inc., 7.63%, 07/15/11 (m) | 1,775 | |||||||||
4,847 | |||||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
1,645 | Cooper Cos., Inc. (The), 7.13%, 02/15/15 (m) | 1,563 | |||||||||
Health Care Providers & Services — 0.6% | |||||||||||
2,225 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) | 2,183 | |||||||||
HCA, Inc., | |||||||||||
1,145 | 9.25%, 11/15/16 (m) | 1,174 | |||||||||
2,500 | PIK, 9.63%, 11/15/16 (m) | 2,581 | |||||||||
5,000 | UnitedHealth Group, Inc., FRN, 5.09%, 06/21/10 (m) | 4,882 | |||||||||
10,820 | |||||||||||
Hotels, Restaurants & Leisure — 0.2% | |||||||||||
1,860 | McDonald’s Corp., 6.30%, 10/15/37 (m) | 1,903 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Hotels, Restaurants & Leisure — Continued | |||||||||||
MGM Mirage, Inc., | |||||||||||
1,225 | 5.88%, 02/27/14 (m) | 1,078 | |||||||||
830 | 6.75%, 04/01/13 (m) | 780 | |||||||||
3,761 | |||||||||||
Household Durables — 0.3% | |||||||||||
Beazer Homes USA, Inc., | |||||||||||
465 | 6.50%, 11/15/13 (m) | 335 | |||||||||
200 | 6.88%, 07/15/15 (m) | 144 | |||||||||
1,610 | Jarden Corp., 7.50%, 05/01/17 (m) | 1,411 | |||||||||
165 | K. Hovnanian Enterprises, Inc., 8.63%, 01/15/17 (m) | 131 | |||||||||
1,795 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 1,634 | |||||||||
1,620 | Simmons Co., SUB, 10.00%, 12/15/14 (m) | 1,081 | |||||||||
4,736 | |||||||||||
Household Products — 0.1% | |||||||||||
585 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) | 382 | |||||||||
Visant Holding Corp., | |||||||||||
435 | 8.75%, 12/01/13 (m) | 412 | |||||||||
350 | SUB, 10.25%, 12/01/13 | 320 | |||||||||
1,114 | |||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||
12 | AES Corp. (The), 8.75%, 05/15/13 (e) (m) | 13 | |||||||||
565 | Energy Future Holdings Corp., 10.88%, 11/01/17 (e) (m) | 557 | |||||||||
2,255 | NRG Energy, Inc., 7.38%, 02/01/16 (m) | 2,173 | |||||||||
2,743 | |||||||||||
Insurance — 2.5% | |||||||||||
1,765 | American International Group, Inc., 6.25%, 05/01/36 (m) | 1,663 | |||||||||
3,750 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) | 3,639 | |||||||||
4,195 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) | 4,060 | |||||||||
4,000 | Metropolitan Life Global Funding I, FRN, 3.11%, 05/17/10 (e) (m) | 3,972 | |||||||||
1,855 | Nationwide Financial Services, 6.75%, 05/15/37 (m) | 1,539 | |||||||||
4,000 | Nationwide Life Global Funding I, FRN, 4.59%, 10/09/09 (e) (m) | 4,000 | |||||||||
4,505 | Protective Life Secured Trusts, 3.70%, 11/24/08 (m) | 4,503 | |||||||||
6,000 | Stancorp Financial Group, Inc., VAR, 6.90%, 05/29/67 (m) | 5,295 | |||||||||
7,630 | Stingray Pass-Through Trust (Cayman Islands), 5.90%, 01/12/15 (e) (m) | 2,594 | |||||||||
6,145 | Swiss RE Capital I LP (United Kingdom), 6.85%, 05/25/16 (e) (m) (x) | 5,803 | |||||||||
6,645 | XL Capital Ltd. (Cayman Islands), 6.50%, 04/15/17 (m) (x) | 4,972 | |||||||||
42,040 | |||||||||||
IT Services — 0.3% | |||||||||||
2,275 | Iron Mountain, Inc., 6.63%, 01/01/16 (m) | 2,167 | |||||||||
SunGard Data Systems, Inc., | |||||||||||
830 | 9.13%, 08/15/13 (m) | 836 | |||||||||
1,330 | 10.25%, 08/15/15 (m) | 1,324 | |||||||||
4,327 | |||||||||||
Leisure Equipment & Products — 0.0% (g) | |||||||||||
1,000 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) | 880 | |||||||||
Machinery — 0.1% | |||||||||||
1,995 | Terex Corp., 8.00%, 11/15/17 (m) | 1,985 | |||||||||
Media — 3.0% | |||||||||||
1,285 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) | 1,128 | |||||||||
485 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 451 | |||||||||
Comcast Corp., | |||||||||||
6,400 | 6.95%, 08/15/37 (m) | 6,479 | |||||||||
4,200 | FRN, 4.68%, 07/14/09 (m) | 4,138 | |||||||||
1,950 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 1,404 | |||||||||
3,000 | Dex Media West LLC/Dex Media Finance Co., 9.88%, 08/15/13 (m) | 2,520 | |||||||||
2,030 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) | 1,883 | |||||||||
2,030 | Echostar DBS Corp., 7.13%, 02/01/16 (m) | 1,994 | |||||||||
1,390 | Quebecor Media, Inc. (Canada), 7.75%, 03/15/16 (e) (m) | 1,275 | |||||||||
Time Warner, Inc., | |||||||||||
13,365 | 5.50%, 11/15/11 (m) | 13,528 | |||||||||
4,050 | FRN, 3.30%, 11/13/09 (m) | 3,916 | |||||||||
1,820 | Time Warner Cable, Inc., 6.55%, 05/01/37 (m) | 1,755 | |||||||||
1,295 | Time Warner Entertainment Co. LP, 8.38%, 07/15/33 (m) | 1,494 | |||||||||
3,400 | Viacom, Inc., FRN, 5.34%, 06/16/09 (m) | 3,321 | |||||||||
4,650 | Walt Disney Co. (The), FRN, 5.25%, 09/10/09 (m) | 4,637 | |||||||||
740 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) | 585 | |||||||||
50,508 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Metals & Mining — 0.9% | |||||||||||
15,000 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) (m) | 14,560 | |||||||||
Multi-Utilities — 0.6% | |||||||||||
Dominion Resources, Inc., | |||||||||||
1,220 | 5.00%, 03/15/13 (m) | 1,261 | |||||||||
5,010 | 5.15%, 07/15/15 (m) | 5,001 | |||||||||
2,620 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 (m) | 2,718 | |||||||||
1,135 | Mirant North America LLC, 7.38%, 12/31/13 (m) | 1,139 | |||||||||
10,119 | |||||||||||
Multiline Retail — 0.3% | |||||||||||
2,725 | Kohl’s Corp., 6.88%, 12/15/37 (m) | 2,504 | |||||||||
700 | Neiman-Marcus Group, Inc., PIK, 9.00%, 10/15/15 (m) | 697 | |||||||||
2,010 | Target Corp., 6.50%, 10/15/37 (m) | 1,974 | |||||||||
5,175 | |||||||||||
Oil, Gas & Consumable Fuels — 3.8% | |||||||||||
5,000 | Anadarko Petroleum Corp., FRN, 5.39%, 09/15/09 (m) | 4,891 | |||||||||
1,980 | Canadian Natural Resources Ltd. (Canada), 6.25%, 03/15/38 (m) | 1,885 | |||||||||
Chesapeake Energy Corp., | |||||||||||
960 | 6.50%, 08/15/17 (m) | 922 | |||||||||
610 | 7.00%, 08/15/14 (m) | 612 | |||||||||
5,458 | Citic Resources Finance Ltd. (Bermuda), 6.75%, 05/15/14 (e) (m) | 5,076 | |||||||||
1,650 | EnCana Corp. (Canada), 6.63%, 08/15/37 (m) | 1,717 | |||||||||
5,220 | Enterprise Products Operating LP, 6.30%, 09/15/17 (m) | 5,455 | |||||||||
Gaz Capital S.A. for Gazprom (Russia), | |||||||||||
1,350 | 6.51%, 03/07/22 (e) | 1,230 | |||||||||
6,110 | �� | 7.29%, 08/16/37 (e) (m) | 5,690 | ||||||||
3,887 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 | 3,989 | |||||||||
Kinder Morgan Energy Partners LP, | |||||||||||
3,420 | 5.85%, 09/15/12 (m) | 3,573 | |||||||||
1,605 | 6.50%, 02/01/37 (m) | 1,542 | |||||||||
3,115 | Nexen, Inc. (Canada), 6.40%, 05/15/37 (m) | 3,014 | |||||||||
3,415 | ONEOK Partners LP, 5.90%, 04/01/12 (m) | 3,566 | |||||||||
15,970 | Petroleos de Venezuela S.A. (Venezuela), 5.50%, 04/12/37 | 9,406 | |||||||||
4,830 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 5,016 | |||||||||
2,995 | Ras Laffan Liquefied Natural Gas Co. Ltd. III (Qatar), 5.83%, 09/30/16 (e) (m) | 3,046 | |||||||||
3,385 | Valero Energy Corp., 6.63%, 06/15/37 (m) | 3,335 | |||||||||
63,965 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
Georgia Pacific LLC, | |||||||||||
765 | 7.00%, 01/15/15 (e) (m) | 717 | |||||||||
1,200 | 7.70%, 06/15/15 (m) | 1,134 | |||||||||
1,851 | |||||||||||
Real Estate — 0.1% | |||||||||||
1,090 | Host Hotels & Resorts LP, 7.13%, 11/01/13 (m) | 1,074 | |||||||||
Real Estate Investment Trusts (REITs) — 0.4% | |||||||||||
6,600 | iStar Financial, Inc., FRN, 5.51%, 03/03/08 (m) | 6,597 | |||||||||
Road & Rail — 0.0% (g) | |||||||||||
425 | RSC Equipment Rental, Inc., 9.50%, 12/01/14 (m) | 348 | |||||||||
7 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) | 6 | |||||||||
354 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
585 | Freescale Semiconductor, Inc., PIK, 9.13%, 12/15/14 (m) | 445 | |||||||||
1,750 | Sensata Technologies BV (Netherlands), 8.00%, 05/01/14 (m) | 1,531 | |||||||||
1,976 | |||||||||||
Software — 0.0% (g) | |||||||||||
700 | Open Solutions, Inc., 9.75%, 02/01/15 (e) (m) | 553 | |||||||||
Specialty Retail — 0.2% | |||||||||||
3,575 | Home Depot, Inc., 5.88%, 12/16/36 (m) | 2,943 | |||||||||
Textiles, Apparel & Luxury Goods — 0.1% | |||||||||||
1,010 | Hanesbrands, Inc., FRN, 8.20%, 12/15/14 (m) | 889 | |||||||||
Thrifts & Mortgage Finance — 0.9% | |||||||||||
5,800 | Bancaja U.S. Debt S.A.U. (Spain), FRN, 4.66%, 07/10/09 (e) (m) | 5,649 | |||||||||
4,000 | CAM U.S. Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) | 3,846 | |||||||||
405 | Countrywide Financial Corp., FRN, 5.10%, 03/24/09 (m) | 363 | |||||||||
1,250 | Sovereign Bancorp, Inc., FRN, 3.29%, 03/01/09 (m) | 1,216 | |||||||||
2,500 | Washington Mutual Bank, FRN, 3.33%, 05/01/09 (m) | 2,342 | |||||||||
2,700 | Washington Mutual Preferred Funding LLC, 6.67%, 12/15/16 (e) (m) (x) | 1,755 | |||||||||
15,171 | |||||||||||
Wireless Telecommunication Services — 0.7% | |||||||||||
5,100 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) | 5,036 | |||||||||
635 | Cricket Communications, Inc., 9.38%, 11/01/14 (m) | 565 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Wireless Telecommunication Services — Continued | |||||||||||
530 | Intelsat Jackson Holdings Ltd. (Bermuda), 9.25%, 06/15/16 (m) | 530 | |||||||||
1,260 | MetroPCS Wireless, Inc., 9.25%, 11/01/14 (m) | 1,109 | |||||||||
6,300 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) | 4,599 | |||||||||
11,839 | |||||||||||
Total Corporate Bonds (Cost $703,153) | 667,052 | ||||||||||
Foreign Government Securities — 5.7% | |||||||||||
6,130 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) | 6,039 | |||||||||
5,250 | Citigroup Funding, Inc., 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) | 4,797 | |||||||||
EGP 17,500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) | 3,159 | |||||||||
TRY 3,600 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) | 2,760 | |||||||||
2,715 | Federal Republic of Brazil (Brazil), 12.25%, 03/06/30 | 4,534 | |||||||||
CAD 11,695 | Government of Canada (Canada), 3.75%, 06/01/12 | 12,157 | |||||||||
3,220 | Government of Ukraine (Ukraine), 6.58%, 11/21/16 (e) | 3,184 | |||||||||
5,590 | IIRSA Norte Finance Ltd. (Peru), 8.75%, 05/30/24 | 6,261 | |||||||||
2,000 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 | 2,040 | |||||||||
Republic of Argentina (Argentina), | |||||||||||
4,504 | FRN, 3.00%, 04/30/13 (m) | 2,889 | |||||||||
8,263 | FRN, 3.09%, 08/03/12 (m) | 4,503 | |||||||||
Republic of Guatemala (Guatemala), | |||||||||||
3,860 | 9.25%, 08/01/13 | 4,449 | |||||||||
4,000 | 10.25%, 11/08/11 | 4,620 | |||||||||
4,430 | Republic of Venezuela (Venezuela), 9.38%, 01/13/34 | 4,341 | |||||||||
Russian Federation (Russia), | |||||||||||
840 | 12.75%, 06/24/28 | 1,513 | |||||||||
1,341 | SUB, 7.50%, 03/31/30 | 1,534 | |||||||||
GBP 4,010 | United Kingdom Treasury Gilt, | ||||||||||
4.50%, 12/07/42 | 8,153 | ||||||||||
United Mexican States (Mexico), | |||||||||||
6,860 | 8.00%, 09/24/22 | 8,618 | |||||||||
MXN 22,500 | 9.50%, 12/18/14 | 2,362 | |||||||||
8,550 | FRN, 5.08%, 01/13/09 (m) | 8,567 | |||||||||
Total Foreign Government Securities (Cost $95,759) | 96,480 | ||||||||||
Loan Assignments & Participations — 0.2% | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
Allison Transmission, Term Loan B, | |||||||||||
643 | 5.92%, 08/07/14 (m) | 565 | |||||||||
355 | 7.90%, 08/07/14 (m) | 312 | |||||||||
877 | |||||||||||
Electric Utilities — 0.1% | |||||||||||
Texas Competitive Electric Holdings Co. LLC, Term Loan, Tranche B-2, | |||||||||||
143 | 6.48%, 08/07/14 (m) | 130 | |||||||||
855 | 6.60%, 08/07/14 (m) | 778 | |||||||||
908 | |||||||||||
IT Services — 0.1% | |||||||||||
First Data Corp., Term Loan B1, | |||||||||||
69 | 7.58%, 09/24/14 (m) | 62 | |||||||||
929 | 7.63%, 09/24/14 (m) | 842 | |||||||||
904 | |||||||||||
Total Loan Assignments & Participations (Cost $2,939) | 2,689 | ||||||||||
Mortgage Pass-Through Securities — 24.0% | |||||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
49,500 | 5.00%, 03/15/37 | 48,727 | |||||||||
42,745 | TBA, 5.50%, 03/15/37 | 42,985 | |||||||||
Federal Home Loan Mortgage Corp., Gold Pools, 15 Year, Single Family, | |||||||||||
231 | 6.00%, 02/01/11-04/01/11 (m) | 238 | |||||||||
30 Year, Single Family, | |||||||||||
186 | 6.00%, 01/01/35 (m) | 190 | |||||||||
61 | 7.00%, 12/01/25-02/01/26 (m) | 66 | |||||||||
136 | 7.50%, 10/01/26-02/01/27 (m) | 148 | |||||||||
114 | 8.00%, 04/01/26-07/01/26 (m) | 125 | |||||||||
— | (h) | 9.75%, 11/01/08 (m) | — | (h) | |||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
20,895 | TBA, 5.00%, 03/25/22 | 21,124 | |||||||||
31,000 | TBA, 5.50%, 03/25/22-04/25/22 | 31,675 | |||||||||
13,300 | TBA, 6.00%, 03/25/22 | 13,736 | |||||||||
30 Year, Single Family, | |||||||||||
14,885 | 5.00%, 12/01/36 | 14,696 | |||||||||
6,774 | 6.00%, 10/01/23-03/01/35 (m) | 6,949 | |||||||||
1,928 | 6.50%, 04/01/29-03/01/35 (m) | 2,003 | |||||||||
46,395 | 7.00%, 02/01/35-05/01/37 (m) | 48,847 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
752 | 7.50%, 03/01/35-01/01/36 (m) | 798 | |||||||||
701 | 8.00%, 08/01/22-01/01/36 (m) | 750 | |||||||||
— | (h) | 8.50%, 10/01/25 (m) | — | (h) | |||||||
13,285 | TBA, 5.00%, 03/25/38 | 13,082 | |||||||||
24,085 | TBA, 5.50%, 03/25/37 | 24,220 | |||||||||
8,300 | TBA, 6.00%, 04/25/37 | 8,463 | |||||||||
64,300 | TBA, 7.00%, 03/25/38 | 67,656 | |||||||||
Other, | |||||||||||
1,123 | 4.96%, 11/01/08 (m) | 1,125 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
1,053 | 7.00%, 09/15/31 (m) | 1,130 | |||||||||
7 | 9.00%, 02/15/10-04/15/11 (m) | 7 | |||||||||
53,000 | TBA, 6.00%, 03/15/37 | 54,822 | |||||||||
Total Mortgage Pass-Through Securities (Cost $400,129) | 403,562 | ||||||||||
Private Placements — 0.9% | |||||||||||
2,887 | 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) | 3,096 | |||||||||
10,335 | 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) | 11,069 | |||||||||
715 | 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) | 764 | |||||||||
Total Private Placements (Cost $13,937) | 14,929 | ||||||||||
Supranational — 0.3% | |||||||||||
5,000 | European Investment Bank, 4.88%, 02/16/16(m) (Cost $4,994) | 5,373 | |||||||||
U.S. Government Agency Securities — 0.4% | |||||||||||
2,315 | Federal Home Loan Mortgage Corp., 6.75%, 03/15/31 (m) | 2,865 | |||||||||
Federal National Mortgage Association, | |||||||||||
15 | 7.13%, 01/15/30 (m) | 19 | |||||||||
1,005 | 7.25%, 05/15/30 (m) | 1,306 | |||||||||
1,600 | Tennessee Valley Authority, 6.79%, 05/23/12 (m) | 1,828 | |||||||||
Total U.S. Government Agency Securities (Cost $5,835) | 6,018 | ||||||||||
U.S. Treasury Obligations — 1.6% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
1,515 | 4.75%, 02/15/37 (m) | 1,597 | |||||||||
3,400 | 5.00%, 05/15/37 (m) | 3,727 | |||||||||
350 | 7.25%, 05/15/16 (k) (m) | 446 | |||||||||
U.S. Treasury Notes, | |||||||||||
1,500 | 2.13%, 01/31/10 (k) (m) | 1,514 | |||||||||
1,500 | 3.38%, 10/15/09 (k) (m) | 1,543 | |||||||||
2,220 | 3.50%, 02/15/10 (k) (m) | 2,299 | |||||||||
1,075 | 3.88%, 05/15/09 (k) (m) | 1,104 | |||||||||
495 | 4.00%, 02/15/15 (k) (m) | 525 | |||||||||
2,795 | 4.13%, 08/15/08 (k) (m) | 2,824 | |||||||||
1,830 | 4.25%, 09/30/12 (m) | 1,974 | |||||||||
1,125 | 4.38%, 11/15/08 (k) (m) | 1,145 | |||||||||
1,275 | 4.50%, 09/30/11 (k) (m) | 1,381 | |||||||||
250 | 4.50%, 02/15/16 (m) | 271 | |||||||||
3,465 | 4.63%, 07/31/09 (k) (m) | 3,613 | |||||||||
1,320 | 4.88%, 08/15/09 (k) (m) | 1,383 | |||||||||
1,000 | 5.00%, 07/31/08 (k) (m) | 1,013 | |||||||||
Total U.S. Treasury Obligations (Cost $25,266) | 26,359 |
SHARES | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Preferred Stocks — 0.6% | ||||||||||
Insurance — 0.6% | ||||||||||
200 | Aspen Insurance Holdings Ltd. (Bermuda), 7.40%, 01/01/17 (m) (x) | 4,414 | ||||||||
67 | Axis Capital Holdings Ltd. (Bermuda), 7.50%, 12/01/15 (m) (x) | 6,503 | ||||||||
Total Preferred Stocks (Cost $12,150) | 10,917 | |||||||||
Total Long-Term Investments (Cost $2,078,145) | 1,986,476 |
NUMBER OF CONTRACTS | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 2.5% | |||||||||||
Call Options Purchased — 0.7% | |||||||||||
310 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style | 1,116 | |||||||||
754 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 566 | |||||||||
35 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.63, American Style | 21 | |||||||||
684 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style | 846 | |||||||||
684 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 1,009 | |||||||||
288 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style | 554 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Call Options Purchased — Continued | |||||||||||
650 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style | 508 | |||||||||
166 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 451 | |||||||||
249 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style | 416 | |||||||||
3,380 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style | 3,803 |
NOTIONAL AMOUNT | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
118,000 | FNMA, 30 Year, TBA, 5.50%, Expiring 05/06/08 @ $98.00, European Style | 2,966 | ||||||||
12,256 | ||||||||||
Interest Rate Caps & Floors — 0.2% | ||||||||||
224,054 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 121 | ||||||||
224,054 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 2,876 | ||||||||
Total Interest Rate Caps & Floors | 2,997 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 1.1% | ||||||||||
46,550 | Expiring 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring 02/04/23, European Style. Counterparty: Credit Suisse International (r) | 5,414 | ||||||||
42,777 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring 02/15/23, European Style. Counterparty: Barclays Bank plc (r) | 4,937 | ||||||||
33,348 | Expiring 02/20/13. If exercised the Fund pays/receives semi-annually 5.82% and receives/pays quarterly floating 3 month LIBOR expiring 02/22/23, European Style. Counterparty: Barclays Bank plc (r) | 3,867 | ||||||||
42,780 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring 02/23/23, European Style. Counterparty: Barclays Bank plc (r) | 4,937 | ||||||||
19,155 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.5% | ||||||||||
500 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $94.50, American Style | 3 | ||||||||
1,000 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $94.63, American Style | — | ||||||||
754 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 302 | ||||||||
90 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style | 6 | ||||||||
346 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style | 103 | ||||||||
1,014 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style | 206 | ||||||||
166 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 241 | ||||||||
275 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style | 120 |
NOTIONAL AMOUNT | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
57,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $97.56, European Style | 435 | ||||||||
66,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $99.34, European Style | 1,074 | ||||||||
79,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 05/06/08 @ $96.59, European Style | 651 | ||||||||
133,500 | FNMA, 30 Year, TBA, 6.00%, Expiring 04/07/08 @ $100.44, European Style | 174 | ||||||||
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
41,390 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European Style. Counterparty: Barclays Bank plc (r) | 1,525 | ||||||||
64,438 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European Style. Counterparty: Lehman Brothers Special Financing (r) | 2,844 | ||||||||
7,684 | ||||||||||
Total Options Purchased (Cost $36,949) | 42,092 |
SHARES | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 2.0% | |||||||||||
Investment Company — 1.1% | |||||||||||
18,180 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $18,180) | 18,180 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — Continued | |||||||||||
U.S. Treasury Obligation — 0.9% | |||||||||||
15,210 | U.S. Treasury Bill, 7.77%, 04/03/08 (k) (n) (Cost $15,173) | 15,183 | |||||||||
Total Short-Term Investments (Cost $33,353) | 33,363 | ||||||||||
Total Investments — 122.8% (Cost $2,148,447) | 2,061,931 | ||||||||||
Liabilities in Excess of Other Assets — (22.8)% | (382,381 | ) | |||||||||
NET ASSETS — 100.0% | $ | 1,679,550 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
93 | 10 Year Australia Bond | March, 2008 | 8,123 | 3 | ||||||||||||||
108 | 10 Year Swap | March, 2008 | 12,349 | 618 | ||||||||||||||
7 | 10 Year U.S. Treasury Note | March, 2008 | 831 | 59 | ||||||||||||||
194 | Euro-Bobl | March, 2008 | 32,793 | 770 | ||||||||||||||
219 | Euro-Bund | March, 2008 | 38,920 | 478 | ||||||||||||||
254 | 2 Year U.S. Treasury Note | June, 2008 | 54,590 | 425 | ||||||||||||||
3,075 | 5 Year U.S. Treasury Note | June, 2008 | 351,319 | 4,770 | ||||||||||||||
2,065 | 10 Year U.S. Treasury Note | June, 2008 | 242,186 | 4,806 | ||||||||||||||
684 | Eurodollar | June, 2008 | 166,964 | 1,824 | ||||||||||||||
604 | U.S. Treasury Bond | June, 2008 | 71,650 | 1,874 | ||||||||||||||
290 | 90 Day Sterling | December, 2008 | 68,710 | 46 | ||||||||||||||
807 | 3 Month EURIBOR | December, 2008 | 295,567 | 104 | ||||||||||||||
4 | Eurodollar | December, 2008 | 978 | 5 | ||||||||||||||
33 | Eurodollar | March, 2009 | 8,063 | 40 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(251) | 3 Year Australia Bond | March, 2008 | (21,832 | ) | (22 | ) | ||||||||||||
(310) | Eurodollar | March, 2008 | (75,322 | ) | (248 | ) | ||||||||||||
(526) | 30 Day Federal Funds | April, 2008 | (214,077 | ) | (250 | ) | ||||||||||||
(1,067) | 2 Year U.S. Treasury Note | June, 2008 | (229,322 | ) | (1,770 | ) | ||||||||||||
(2,726) | 5 Year U.S. Treasury Note | June, 2008 | (311,446 | ) | (5,229 | ) | ||||||||||||
(61) | 10 Year Canadian Bond | June, 2008 | (7,307 | ) | (123 | ) | ||||||||||||
(951) | 10 Year U.S. Treasury Note | June, 2008 | (111,534 | ) | (2,200 | ) | ||||||||||||
(100) | Eurodollar | June, 2008 | (24,410 | ) | (267 | ) | ||||||||||||
(143) | U.K. Treasury Gilt | June, 2008 | (31,344 | ) | (522 | ) | ||||||||||||
(197) | U.S. Treasury Bond | June, 2008 | (23,369 | ) | (586 | ) | ||||||||||||
(93) | Eurodollar | September, 2008 | (22,735 | ) | (472 | ) | ||||||||||||
(54) | Eurodollar | December, 2008 | (13,202 | ) | (199 | ) | ||||||||||||
(54) | Eurodollar | March, 2009 | (13,194 | ) | (191 | ) | ||||||||||||
(738) | Eurodollar | June, 2009 | (180,044 | ) | (576 | ) | ||||||||||||
(54) | Eurodollar | September, 2009 | (13,146 | ) | (83 | ) | ||||||||||||
(47) | Eurodollar | December, 2009 | (11,413 | ) | (146 | ) | ||||||||||||
2,938 |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
12,005 CAD | 03/14/08 | 11,932 | 12,195 | (263 | ) | |||||||||||||
1,400 EUR | 03/14/08 | 2,026 | 2,124 | (98 | ) | |||||||||||||
4,250 GBP | 03/14/08 | 8,310 | 8,439 | (129 | ) | |||||||||||||
(490 | ) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
(1,590) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00%, 03/25/37 | (1,624 | ) | |||||||
(33,400) | FNMA, 30 Year, Single Family, TBA, 5.00%, 04/25/38 | (32,826 | ) | |||||||
(1,900) | FNMA, 30 Year, Single Family, TBA, 5.50%, 04/25/38 | (1,907 | ) | |||||||
(56,710) | FNMA, 30 Year, Single Family, TBA, 6.00%, 03/25/38 | (57,933 | ) | |||||||
(48,335) | FNMA, 30 Year, Single Family, TBA, 6.50%, 03/15/34 | (50,087 | ) | |||||||
(5,865) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 | (6,064 | ) | |||||||
(3,900) | GNMA, 30 Year, Single Family, TBA, 6.50%, 03/25/38 | (4,072 | ) | |||||||
(Proceeds received of $154,289.) | (154,513 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.75 | 06/16/08 | 2,010 | (892 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 1,368 | (838 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 1,368 | (1,137 | ) | |||||||||||||
1 Year Eurodollar Mid-Curve, American Style | 97.63 | 06/13/08 | 35 | (31 | ) | |||||||||||||
5 Year U.S. Treasury Notes Futures, American Style | 113.50 | 03/20/08 | 288 | (342 | ) | |||||||||||||
10 Year U.S. Treasury Notes Futures, American Style | 116.50 | 05/23/08 | 2,774 | (6,761 | ) | |||||||||||||
10 Year U.S. Treasury Notes Futures, American Style | 114.50 | 05/23/08 | 644 | (2,385 | ) | |||||||||||||
10 Year U.S. Treasury Notes Futures, American Style | 120.00 | 05/23/08 | 650 | (640 | ) | |||||||||||||
(Premiums received of $8,455.) | (13,026 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year, TBA, 5.50%, European Style | 99.66 | 05/06/08 | 236,000 | (3,033 | ) | |||||||||||||
(Premiums received of $1,844.) |
COUNTERPARTY | | EXERCISE RATE*(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 4.86% semi-annually | 02/17/09 | 02/19/19 | 28,459 | (2,344 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.80% semi-annually | 02/23/09 | 02/25/19 | 31,178 | (2,550 | ) | ||||||||||||||||
Royal Bank of Scotland | 3.56% semi-annually | 06/16/08 | 06/18/09 | 184,845 | (2,347 | ) | ||||||||||||||||
(Premiums received of $5,861.) | (7,241 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.25 | 06/16/08 | 2,010 | (389 | ) | |||||||||||||
5 Year U.S. Treasury Note Futures, American Style | 110.00 | 03/20/08 | 90 | (1 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.00 | 05/23/08 | 47 | (51 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.50 | 05/23/08 | 507 | (634 | ) | |||||||||||||
20 Year U.S. Treasury Note Futures, American Style | 112.00 | 03/20/08 | 275 | (34 | ) | |||||||||||||
(Premiums received of $1,752.) | (1,109 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year, TBA, 5.00%, European Style | 93.84 | 05/06/08 | 158,000 | (419 | ) | |||||||||||||
FNMA, 30 Year, TBA, 5.00%, European Style | 95.72 | 04/07/08 | 114,000 | (327 | ) | |||||||||||||
FNMA, 30 Year, TBA, 5.00%, European Style | 97.69 | 04/07/08 | 132,000 | (1,068 | ) | |||||||||||||
(Premiums received of $2,881.) | (1,814 | ) |
COUNTERPARTY | | EXERCISE RATE**(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 3.90% semi-annually | 07/15/08 | 07/17/13 | 113,295 | (1,168 | ) | ||||||||||||||||
Credit Suisse International | 4.08% semi-annually | 04/07/08 | 04/09/13 | 103,952 | (153 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3.73% semi-annually | 07/23/08 | 07/25/13 | 170,697 | (2,349 | ) | ||||||||||||||||
(Premiums received of $4,347.) | (3,670 | ) |
* | The Fund would pay/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. |
*** | European Style |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Bank of America | 5.55% semi-annually | 3 month LIBOR quarterly | 06/14/12 | 47,700 | (4,492 | ) | ||||||||||||||||
Barclays Bank plc | 5.10% semi-annually | 3 month LIBOR quarterly | 07/18/12 | 41,680 | (3,196 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.21% semi-annually | 11/29/12 | 87,390 | 4,328 | |||||||||||||||||
Barclays Bank plc | 4.44% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 23,640 | (717 | ) | ||||||||||||||||
Barclays Bank plc | 4.95% semi-annually | 3 month LIBOR quarterly | 11/29/37 | 24,805 | (610 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 3.73% semi-annually | 02/25/13 | 21,000 | 329 | |||||||||||||||||
Credit Suisse International | 3.94% semi-annually | 3 month LIBOR quarterly | 04/09/13 | 41,500 | (991 | ) | ||||||||||||||||
Credit Suisse International | 4.48% semi-annually | 3 month LIBOR quarterly | 02/25/18 | 11,700 | (229 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3.50% semi-annually | 3 month LIBOR quarterly | 08/31/12 | 117,455 | (977 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 3.57% semi-annually | 04/30/13 | 44,150 | 276 | |||||||||||||||||
Deutsche Bank AG, New York | 4.42% semi-annually | 3 month LIBOR quarterly | 03/03/18 | 26,000 | (372 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 4.25% semi-annually | 3 month LIBOR quarterly | 04/30/18 | 24,240 | 49 | |||||||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 41,625 | (3,200 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 3.69% semi-annually | 08/31/12 | 112,470 | 1,756 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 4.20% semi-annually | 12/05/13 | 60,920 | 1,304 | |||||||||||||||||
Lehman Brothers Special Financing | 4.19% semi-annually | 3 month LIBOR quarterly | 02/15/15 | 49,804 | (918 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.38% semi-annually | 3 month LIBOR quarterly | 08/15/16 | 20,985 | (408 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.65% semi-annually | 3 month LIBOR quarterly | 12/05/18 | 34,312 | (479 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.23% semi-annually | 3 month LIBOR quarterly | 06/22/17 | 5,085 | (424 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.69% semi-annually | 3 month LIBOR quarterly | 06/22/17 | 9,710 | (1,164 | ) | ||||||||||||||||
(10,135 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ArcelorMittal, 9.75%, 04/01/14 | Morgan Stanley Capital Services | Sell | 17 BPS quarterly | 06/20/08 | 10,900 | (25 | ) | |||||||||||||||||||
Banca Italease S.p.A., 4.66%, 10/15/09 | Deutsche Bank AG, New York | Sell | 85 BPS quarterly | 06/20/08 | 23,500 | (259 | ) | |||||||||||||||||||
Chubb Corp., 6.60%, 08/15/18 | Goldman Sachs Capital Management | Buy | 130 BPS quarterly | 03/20/13 | 7,000 | (115 | ) | |||||||||||||||||||
Countrywide Financial Corp., 0.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 500 BPS quarterly | 09/20/08 | 11,300 | (24 | ) | |||||||||||||||||||
Countrywide Financial Corp., 0.00%, 03/22/11 | Union Bank of Switzerland AG | Sell | 615 BPS quarterly | 09/20/08 | 10,000 | 65 | ||||||||||||||||||||
CDX.EM.8 | Bear Stearns Credit Products, Inc. [1] | Buy | 175 BPS semi-annually | 12/20/12 | 9,630 | 252 | ||||||||||||||||||||
CDX.EM.8 | Citibank, N.A. [2] | Buy | 175 BPS semi-annually | 12/20/12 | 10,690 | 292 | ||||||||||||||||||||
CDX.EM.8 | Deutsche Bank AG, New York [3] | Buy | 175 BPS semi-annually | 12/20/12 | 24,170 | 659 | ||||||||||||||||||||
CDX.EM.8 | Deutsche Bank AG, New York [4] | Buy | 175 BPS semi-annually | 12/20/12 | 3,810 | 100 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [5] | Buy | 175 BPS semi-annually | 12/20/12 | 19,130 | 552 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [6] | Buy | 175 BPS semi-annually | 12/20/12 | 7,600 | 223 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [7] | Buy | 175 BPS semi-annually | 12/20/12 | 20,270 | 553 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [8] | Buy | 175 BPS semi-annually | 12/20/12 | 23,420 | 639 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [9] | Buy | 175 BPS semi-annually | 12/20/12 | 9,570 | 277 | ||||||||||||||||||||
CDX.EM.8 | Merrill Lynch International [10] | Buy | 175 BPS semi-annually | 12/20/12 | 4,460 | 117 | ||||||||||||||||||||
CDX.EM.8 | Union Bank of Switzerland AG [11] | Buy | 175 BPS semi-annually | 12/20/12 | 640 | 17 | ||||||||||||||||||||
CDX.NA.HY.9 | Barclays Bank plc [12] | Sell | 375 BPS quarterly | 12/20/12 | 12,000 | (1,257 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [13] | Sell | 375 BPS quarterly | 12/20/12 | 19,130 | (2,239 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [14] | Sell | 375 BPS quarterly | 12/20/12 | 7,600 | (860 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [15] | Sell | 375 BPS quarterly | 12/20/12 | 20,000 | (2,251 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.HY.9 | Lehman Brothers Special Financing [16] | Sell | 375 BPS quarterly | 12/20/12 | 9,570 | (1,121 | ) | |||||||||||||||||||
Gannett Co., Inc., 6.38%, 04/01/12 | Bank of America | Buy | 67 BPS quarterly | 03/20/17 | 7,200 | 681 | ||||||||||||||||||||
Gaz Capital S.A. for Gazprom, 8.63%, 04/28/34 | Deutsche Bank AG, New York | Sell | 39 BPS semi-annually | 04/20/08 | 14,560 | (12 | ) | |||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products, Inc. (y) | Buy | 341 BPS semi-annually | 07/20/17 | 3,430 | 472 | ||||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products, Inc. (y) | Buy | 397 BPS semi-annually | 08/20/17 | 910 | 94 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Lehman Brothers Special Financing | Sell | 169 BPS semi-annually | 11/20/11 | 1,500 | (38 | ) | |||||||||||||||||||
ICICI Bank, Ltd., 5.75%, 11/16/10 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | 8,000 | (3 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 175 BPS semi-annually | 08/20/08 | 9,050 | (162 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Buy | 300 BPS semi-annually | 08/20/12 | 1,810 | 234 | ||||||||||||||||||||
Marsh & McLennan Co., Inc., 5.38%, 07/15/14 | Bank of America | Buy | 100 BPS quarterly | 09/20/14 | 4,000 | 18 | ||||||||||||||||||||
Marsh & McLennan Co., Inc., 5.38%, 07/15/14 | Bank of America | Buy | 101 BPS quarterly | 09/20/14 | 4,000 | 15 | ||||||||||||||||||||
MetLife, Inc., 5.00%, 06/15/15 | Goldman Sachs Capital Management | Sell | 220 BPS quarterly | 03/20/13 | 7,000 | 144 | ||||||||||||||||||||
Petroleos de Venezuela S.A., 5.38%, 04/12/27 | Deutsche Bank AG, New York | Sell | 258.5 BPS semi-annually | 05/20/12 | 2,790 | (313 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products, Inc. (y) | Sell | 341 BPS semi-annually | 07/20/17 | 3,430 | (543 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products, Inc. (y) | Sell | 407 BPS semi-annually | 08/20/17 | 910 | (112 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Bear Stearns Credit Products, Inc. (y) | Buy | 103 BPS semi-annually | 12/20/11 | 4,545 | 25 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Bear Stearns Credit Products, Inc. (y) | Sell | 100 BPS semi-annually | 09/20/12 | 5,500 | (63 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 108.5 BPS semi-annually | 12/20/11 | 845 | 3 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 10,880 | 26 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 84 BPS semi-annually | 09/20/12 | 6,350 | (120 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | 9,705 | 56 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 9,090 | 49 | ||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 68 BPS semi-annually | 08/20/12 | 3,330 | (243 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 60 BPS semi-annually | 03/20/12 | 5,150 | (325 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 53.51 BPS semi-annually | 03/20/12 | 8,800 | (580 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 61 BPS semi-annually | 03/20/12 | 3,710 | (233 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 65.5 BPS semi-annually | 08/20/12 | 9,160 | (678 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 71 BPS semi-annually | 08/20/12 | 4,340 | (312 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Deutsche Bank AG, New York | Buy | 239 BPS semi-annually | 08/20/12 | 4,400 | (63 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 145 BPS semi-annually | 07/20/12 | 1,720 | 45 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 146 BPS semi-annually | 07/20/12 | 11,940 | 305 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 194 BPS semi-annually | 08/20/12 | 4,130 | 24 | ||||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 1,875 | (28 | ) | |||||||||||||||||||
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 18,385 | (281 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Bear Stearns Credit Products, Inc. (y) | Sell | 45.5 BPS semi-annually | 12/20/11 | 9,090 | (241 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 1,875 | 7 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 105 BPS semi-annually | 06/20/10 | 8,000 | 14 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 101 BPS semi-annually | 07/20/10 | 6,000 | 19 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 1,690 | (41 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 21,760 | (521 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Sell | 140 BPS semi-annually | 04/20/10 | 3,930 | 41 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 18,385 | 57 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 19,410 | (515 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 18,180 | (479 | ) | |||||||||||||||||||
Southwest Airlines, 6.50%, 03/01/12 | Bank of America | Buy | 58 BPS quarterly | 06/20/14 | 6,900 | 322 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 106 BPS semi-annually | 06/20/10 | 8,000 | (91 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 96 BPS semi-annually | 07/20/10 | 6,000 | (66 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 112 BPS semi-annually | 04/20/10 | 3,930 | (52 | ) | |||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 9,550 | 11 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 64 BPS semi-annually | 05/20/12 | 4,700 | (413 | ) | |||||||||||||||||||
(8,271 | ) |
[1] | Premiums paid of $191. |
[2] | Premium received of $59. |
[3] | Premium received of $275. |
[4] | Premiums paid of $37. |
[5] | Premiums paid of $590. |
[6] | Premiums paid of $136. |
[7] | Premium received of $321. |
[8] | Premium received of $336. |
[9] | Premiums paid of $208. |
[10] | Premiums paid of $30. |
[11] | Premium received of $336. |
[12] | Premium received of $323. |
[13] | Premium received of $1,893. |
[14] | Premium received of $621. |
[15] | Premium received of $494. |
[16] | Premium received of $766. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (b) | BA Covered Bond Issuer, 5.50%, 06/14/12 | 106.55 | 03/12/08 | 47,700 | 332 | |||||||||||||||||
Bank of America (b) | Northern Rock plc, 5.63% 06/22/17 | 102.58 | 03/19/08 | 14,795 | 12 | |||||||||||||||||
Barclays Bank plc (b) | FHLB, 5.38%, 05/18/16 | 106.07 | 03/13/08 | 23,290 | 768 | |||||||||||||||||
Barclays Bank plc (b) | Nationwide Building Society, 5.50%, 07/18/12 | 106.02 | 04/16/08 | 41,410 | 207 | |||||||||||||||||
BNP Paribas (a) | U.S. Treasury Note, 4.75%, 08/15/17 | 106.76 | 03/27/08 | 13,575 | (382 | ) | ||||||||||||||||
BNP Paribas (b) | U.S. Treasury Inflation Index Note, 2.63%, 07/15/17 | 110.43 | 03/27/08 | 12,295 | 433 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 Year, TBA, 5.00% | 99.21 | 03/05/08 | 28,150 | 218 | |||||||||||||||||
Citibank, N.A. (a) | U.S. Treasury Note, 4.25%, 11/15/17 | 103.20 | 03/14/08 | 88,000 | (2,249 | ) | ||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 Year, TBA, 5.50% | 100.15 | 04/07/08 | 97,000 | — | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 Year, TBA, 5.50% | 100.15 | 04/07/08 | 73,330 | — | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 Year, TBA, 6.50% | 103.22 | 04/07/08 | 12,500 | (19 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 6.00% | 100.84 | 04/07/08 | 4,800 | 53 | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 6.00% | 100.84 | 04/07/08 | 15,600 | 173 | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 6.50% | 103.22 | 04/07/08 | 135,000 | 205 |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International (a) | U.S. Treasury Note, 2.13%, 01/31/10 | 100.47 | 03/27/08 | 98,600 | (493 | ) | ||||||||||||||||
Credit Suisse International (b) | FHLB, 5.38%, 05/18/16 | 106.8 | 03/13/08 | 40,910 | 1,040 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FHLMC Gold, 30 Year, TBA, 6.00% | 102.31 | 03/05/08 | 93,145 | 175 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 5.00% | 100.00 | 03/05/08 | 38,500 | 611 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 6.00% | 100.63 | 03/05/08 | 103,700 | (1,571 | ) | ||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 15 Year, TBA, 5.50% | 102.41 | 03/11/08 | 74,000 | 185 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 5.50% | 99.05 | 04/07/08 | 30,600 | (406 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 6.50% | 103.72 | 03/05/08 | 49,500 | 8 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 4.50% | 94.84 | 03/05/08 | 70,000 | 525 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.00% | 100.00 | 03/05/08 | 40,300 | (639 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.00% | 100.00 | 03/05/08 | 11,000 | (175 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 6.00% | 102.38 | 03/05/08 | 148,595 | (348 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 15 Year, TBA, 5.00% | 100.78 | 03/11/08 | 8,000 | 22 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 15 Year, TBA, 6.00% | 103.19 | 03/11/08 | 52,000 | 41 | |||||||||||||||||
Deutsche Bank AG, New York (b) | GNMA, 30 Year, TBA, 6.00% | 102.94 | 03/13/08 | 12,000 | 56 | |||||||||||||||||
Deutsche Bank AG, New York (b) | GNMA, 30 Year, TBA, 6.50% | 104.00 | 03/13/08 | 18,000 | 65 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC, 4.50%, 01/15/14 | 103.19 | 03/26/08 | 10,495 | 139 | |||||||||||||||||
Deutsche Bank AG, New York (b) | U.S. Treasury Note, 4.25%, 11/15/17 | 103.65 | 03/26/08 | 100,000 | 2,064 | |||||||||||||||||
Deutsche Bank AG, New York (b) | U.S. Treasury Note, 3.50%, 02/15/18 | 98.06 | 03/27/08 | 25,900 | 434 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 5.00% | 97.35 | 04/07/08 | 77,000 | 664 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 5.00% | 100.00 | 04/07/08 | 31,650 | 108 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 6.00% | 100.47 | 04/07/08 | 122,000 | 1,763 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.50% | 99.81 | 04/07/08 | 48,400 | 273 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 6.50% | 102.80 | 04/07/08 | 68,000 | 388 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 6.50% | 103.31 | 04/07/08 | 418,100 | — | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 6.50% | 103.31 | 04/07/08 | 136,650 | — | |||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 5.50% | 101.22 | 03/05/08 | 30,915 | 200 | |||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 6.00% | 100.66 | 03/05/08 | 40,000 | (593 | ) | ||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 6.50% | 103.69 | 03/05/08 | 119,000 | 111 | |||||||||||||||||
Lehman Brothers Special Financing (a) | GNMA, 30 Year, TBA, 6.00% | 102.88 | 03/13/08 | 18,000 | (95 | ) | ||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 5.00% | 97.94 | 04/07/08 | 277,900 | — | |||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 5.00% | 97.94 | 04/07/08 | 134,985 | — | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 98.34 | 03/05/08 | 80,000 | 1,780 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 98.38 | 03/05/08 | 160,000 | 3,510 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 100.23 | 03/05/08 | 43,200 | 148 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 101.22 | 03/05/08 | 81,400 | (528 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.00% | 100.73 | 03/05/08 | 59,000 | 834 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.00% | 102.47 | 03/05/08 | 500 | (2 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.50% | 103.69 | 03/05/08 | 21,800 | (20 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 15 Year, TBA, 6.00% | 103.38 | 03/11/08 | 111,000 | (121 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 4.50% | 94.63 | 04/07/08 | 70,000 | 555 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.00% | 100.88 | 04/07/08 | 220,200 | 2,353 | |||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 15 Year, TBA, 6.00% | 103.34 | 03/11/08 | 65,000 | 51 | |||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 30 Year, TBA, 5.00% | 97.63 | 04/07/08 | 118,000 | (738 | ) | ||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 30 Year, TBA, 5.50% | 100.28 | 04/07/08 | 348,000 | — | |||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 6.00% | 101.38 | 03/05/08 | 105,000 | 799 | |||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 6.00% | 102.31 | 03/05/08 | 272,100 | (467 | ) | ||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 6.50% | 103.63 | 03/05/08 | 92,000 | (29 | ) | ||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 5.00% | 97.63 | 04/07/08 | 77,000 | 482 | |||||||||||||||||
Union Bank of Switzerland AG (a) | FNMA, 30 Year, TBA, 5.50% | 99.56 | 03/05/08 | 110,000 | (1,108 | ) | ||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 5.00% | 97.06 | 03/05/08 | 28,500 | 392 | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 5.50% | 101.34 | 03/05/08 | 8,300 | (64 | ) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 6.00% | 101.50 | 03/05/08 | 19,500 | 125 | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 6.00% | 102.38 | 03/05/08 | 82,000 | (192 | ) | ||||||||||||||||
Union Bank of Switzerland AG (b) | FHLMC Gold, 30 Year, TBA, 6.00% | 100.47 | 04/07/08 | 81,100 | 1,172 | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 4.50% | 95.22 | 04/07/08 | 67,000 | — | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 6.50% | 103.13 | 04/07/08 | 48,000 | 117 | |||||||||||||||||
13,352 |
(a) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) | 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 | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | TransCredit Bank, 7.30%, 02/26/09 | 3 Month LIBOR + 20 BPS quarterly | Total Return on TransCredit Bank, 7.30%, 02/26/09 quarterly | 02/26/09 | RUB 486,200 | 769 | ||||||||||||||||||||
Morgan Stanley Capital Services | OGK/ Rushydro’s, 12/13/13 | 3 Month LIBOR + 20 BPS quarterly | Total Return on OGK/ Rushydro’s, 12/13/13 quarterly | 12/25/10 | RUB 99,840 | 129 | ||||||||||||||||||||
898 |
AS OF FEBRUARY 29, 2008
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 95.3% | |||||||||||
Corporate Bonds — 19.8% | |||||||||||
Brazil — 2.2% | |||||||||||
BRL 1,730 | Citibank N.A., Brazilian Real Notes, 15.00%, 07/02/10 (i) | 1,110 | |||||||||
Morgan Stanley & Co., Inc., Brazil Linked Notes, | |||||||||||
3,600 | 12.15%, 01/05/22 (e) (m) | 4,170 | |||||||||
1,000 | 14.40%, 08/04/16 (e) (m) | 1,316 | |||||||||
6,596 | |||||||||||
China — 0.2% | |||||||||||
715 | Citic Resources Finance Ltd., 6.75%, 05/15/14 (e) (m) | 665 | |||||||||
Mexico — 0.7% | |||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 | 1,989 | |||||||||
Russia — 7.9% | |||||||||||
1,945 | ALROSA Finance S.A., 8.88%, 11/17/14 (e) (m) | 2,105 | |||||||||
Gaz Capital S.A. for Gazprom, | |||||||||||
1,590 | 6.21%, 11/22/16 (e) (m) | 1,493 | |||||||||
885 | 6.51%, 03/07/22 (e) (m) | 806 | |||||||||
5,230 | 7.29%, 08/16/37 (e) (m) | 4,871 | |||||||||
1,620 | 8.63%, 04/28/34 (e) (m) | 1,875 | |||||||||
Gazprom International S.A., | |||||||||||
1,965 | 7.20%, 02/01/20 | 2,016 | |||||||||
Gazstream S.A. for OAO Gazprom, | |||||||||||
3,034 | 5.63%, 07/22/13 (e) (m) | 3,027 | |||||||||
2,338 | 5.63%, 07/22/13 | 2,330 | |||||||||
720 | RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 (m) | 737 | |||||||||
2,980 | TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67%, 03/05/14 (e) (m) | 2,895 | |||||||||
1,600 | VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | 1,504 | |||||||||
23,659 | |||||||||||
Singapore — 0.2% | |||||||||||
640 | BW Group Ltd., 6.63%, 06/28/17 (e) (m) | 572 | |||||||||
Trinidad & Tobago — 1.1% | |||||||||||
3,452 | National Gas Co. of Trinidad and Tobago Ltd., 6.05%, 01/15/36 (m) | 3,265 | |||||||||
Ukraine — 3.9% | |||||||||||
Credit Suisse First Boston International for CJSC The EXIM of Ukraine, | |||||||||||
320 | 6.80%, 10/04/12 | 311 | |||||||||
7,855 | 7.65%, 09/07/11 | 7,933 | |||||||||
1,840 | CS International for City of Kiev Ukraine, 8.25%, 11/26/12 (e) (m) | 1,862 | |||||||||
1,695 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 | 1,721 | |||||||||
11,827 | |||||||||||
Venezuela — 3.6% | |||||||||||
970 | Petrobras International Finance Co., 5.88%, 03/01/18 (m) | 958 | |||||||||
Petroleos de Venezuela S.A., | |||||||||||
8,409 | 5.25%, 04/12/17 | 5,844 | |||||||||
6,995 | 5.38%, 04/12/27 | 4,153 | |||||||||
10,955 | |||||||||||
Total Corporate Bonds (Cost $59,984) | 59,528 | ||||||||||
Foreign Government Securities — 72.5% | |||||||||||
Argentina — 9.1% | |||||||||||
Republic of Argentina, | |||||||||||
2,120 | 7.00%, 10/03/15 (m) | 1,771 | |||||||||
ARS 11,300 | VAR, 0.00%, 09/30/14 (m) | 3,661 | |||||||||
ARS 5,505 | VAR, 0.00%, 01/03/16 (m) | 2,445 | |||||||||
ARS 34,971 | VAR, 0.00%, 02/04/18 (m) | 14,197 | |||||||||
ARS 9,812 | VAR, 0.00%, 12/31/33 (m) | 3,517 | |||||||||
5,654 | VAR, 0.63%, 12/15/35 (m) | 752 | |||||||||
ARS 8,480 | VAR, 0.63%, 12/31/38 (m) | 1,087 | |||||||||
27,430 | |||||||||||
Barbados — 0.2% | |||||||||||
Government of Barbados, | |||||||||||
239 | 6.63%, 12/05/35 (m) | 229 | |||||||||
390 | 6.63%, 12/05/35 (e) (m) | 374 | |||||||||
603 | |||||||||||
Brazil — 10.6% | |||||||||||
300 | Banco Nacional de Desenvolvimento Economico e Social, VAR, 5.33%, 06/16/08 (m) | 298 | |||||||||
Federal Republic of Brazil, | |||||||||||
5,605 | 7.13%, 01/20/37 (m) | 6,053 | |||||||||
2,980 | 7.88%, 03/07/15 (m) | 3,412 | |||||||||
1,600 | 8.75%, 02/04/25 (m) | 1,980 | |||||||||
800 | 8.88%, 10/14/19 (m) | 996 | |||||||||
1,197 | 10.13%, 05/15/27 (m) | 1,679 | |||||||||
7,188 | 12.25%, 03/06/30 (m) | 12,004 | |||||||||
BRL 10,055 | Lehman Brothers Holdings, Inc., 10.00%, 01/03/12 (linked to Brazilian Real Notes, 10.00%, 01/03/12) (e) (i) | 5,485 | |||||||||
31,907 | |||||||||||
Chile — 1.4% | |||||||||||
3,650 | Government of Chile, 7.13%, 01/11/12 (m) | 4,079 | |||||||||
Colombia — 3.3% | |||||||||||
COP 3,692,000 | Bogota Distrio Capital, 9.75%, 07/26/28 (e) (m) | 1,743 | |||||||||
Republic of Colombia, | |||||||||||
1,030 | 7.38%, 01/27/17 (m) | 1,134 | |||||||||
1,640 | 7.38%, 09/18/37 (m) | 1,744 | |||||||||
575 | 11.75%, 02/25/20 (m) | 841 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Colombia — Continued | |||||||||||
COP 7,899,000 | 12.00%, 10/22/15 | 4,554 | |||||||||
10,016 | |||||||||||
Costa Rica — 1.4% | |||||||||||
3,268 | Republic of Costa Rica, 10.00%, 08/01/20 (m) | 4,273 | |||||||||
Dominican Republic — 3.0% | |||||||||||
Citigroup Funding, Inc., | |||||||||||
1,700 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) | 1,718 | |||||||||
2,615 | 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) | 2,390 | |||||||||
1,030 | 22.00%, 10/03/11 (linked to Dominican Republic Government Bond, 22.00%, 10/03/11) (e) (i) | 952 | |||||||||
2,065 | VAR, 24.00%, 01/11/13 (linked to Dominican Republic Government Bond, 24.00%, 01/11/13) (e) (i) (m) | 2,025 | |||||||||
Government of Dominican Republic, | |||||||||||
322 | 9.04%, 01/23/18 (e) (m) | 351 | |||||||||
1,350 | 9.04%, 01/23/18 (m) | 1,472 | |||||||||
40 | 9.50%, 09/27/11 (m) | 42 | |||||||||
8,950 | |||||||||||
Egypt — 1.8% | |||||||||||
EGP 17,700 | Arab Republic of Egypt, | ||||||||||
8.75%, 07/18/12 (e) (m) | 3,345 | ||||||||||
Citigroup Funding, Inc., | |||||||||||
475 | 0.00%, 07/17/08 (linked to Egypt Treasury Bill, 0.00%, 07/17/08) (e) (i) (m) | 477 | |||||||||
1,010 | 0.00%, 10/09/08 (linked to Egypt Treasury Bill, 0.00%, 10/09/08) (e) (i) | 1,088 | |||||||||
520 | 0.00%, 01/08/09 (linked to Egypt Treasury Bill, 0.00%, 01/08/09) (e) (i) (m) | 528 | |||||||||
5,438 | |||||||||||
El Salvador — 1.1% | |||||||||||
Republic of El Salvador, | |||||||||||
600 | 7.65%, 06/15/35 (m) | 645 | |||||||||
2,360 | 8.25%, 04/10/32 (e) (m) | 2,690 | |||||||||
3,335 | |||||||||||
Gabon — 0.9% | |||||||||||
2,445 | Republic of Gabon, 8.20%, 12/12/17 (e) (m) | 2,558 | |||||||||
Ghana — 1.1% | |||||||||||
1,550 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) (m) | 1,527 | |||||||||
2,000 | Citigroup Funding, Inc., 15.00%, 06/20/12 (linked to Government of Ghana, 15.00%, 06/20/12) (e) (i) | 1,672 | |||||||||
3,199 | |||||||||||
Guatemala — 2.8% | |||||||||||
Republic of Guatemala, | |||||||||||
1,521 | 8.13%, 10/06/34 (m) | 1,780 | |||||||||
2,930 | 9.25%, 08/01/13 (m) | 3,377 | |||||||||
2,910 | 10.25%, 11/08/11 (m) | 3,361 | |||||||||
8,518 | |||||||||||
Indonesia — 2.7% | |||||||||||
3,160 | Deutsche Bank Financial, Inc., 15.00%, 07/20/18 (linked to Indonesia Government Bond, 15.00%, 07/15/18) (e) (i) | 4,677 | |||||||||
3,320 | Republic of Indonesia, 6.88%, 01/17/18 (e) (m) | 3,453 | |||||||||
8,130 | |||||||||||
Iraq — 0.3% | |||||||||||
1,250 | Republic of Iraq, 5.80%, 01/15/28 (e) | 914 | |||||||||
Mexico — 3.3% | |||||||||||
United Mexican States, | |||||||||||
MXN 9,300 | 8.00%, 12/19/13 (m) | 889 | |||||||||
3,700 | 8.30%, 08/15/31 (m) | 4,778 | |||||||||
MXN 23,000 | 10.00%, 12/05/24 (m) | 2,629 | |||||||||
1,085 | 11.38%, 09/15/16 (m) | 1,562 | |||||||||
9,858 | |||||||||||
Nigeria — 0.5% | |||||||||||
1,380 | Citigroup Funding, Inc., VAR, 0.00%, 12/17/10 (linked to Republic of Nigeria, VAR, 0.00%, 12/17/10) (e) (i) (m) | 1,377 | |||||||||
Peru — 2.4% | |||||||||||
3,420 | IIRSA Norte Finance Ltd., 8.75%, 05/30/24 (m) | 3,831 | |||||||||
Republic of Peru, | |||||||||||
1,193 | 6.55%, 03/14/37 (m) | 1,223 | |||||||||
600 | 8.38%, 05/03/16 (m) | 714 | |||||||||
364 | 8.75%, 11/21/33 (m) | 471 | |||||||||
844 | 9.88%, 02/06/15 (m) | 1,060 | |||||||||
7,299 | |||||||||||
Philippines — 3.7% | |||||||||||
Republic of Philippines, | |||||||||||
4,590 | 7.75%, 01/14/31 (m) | 5,078 | |||||||||
5,449 | 8.25%, 01/15/14 (m) | 6,164 | |||||||||
11,242 | |||||||||||
Russia ��� 6.4% | |||||||||||
Russian Federation, | |||||||||||
1,657 | 8.25%, 03/31/10 | 1,736 | |||||||||
1,729 | 12.75%, 06/24/28 (m) | 3,115 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Russia — Continued | |||||||||||
12,548 | SUB, 7.50%, 03/31/30 (m) | 14,352 | |||||||||
19,203 | |||||||||||
Turkey — 5.2% | |||||||||||
TRY 11,535 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11, (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) | 8,852 | |||||||||
TRY 3,500 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11, (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) | 2,728 | |||||||||
Republic of Turkey, | |||||||||||
2,150 | 6.88%, 03/17/36 (m) | 1,983 | |||||||||
2,000 | 12.38%, 06/15/09 (m) | 2,210 | |||||||||
15,773 | |||||||||||
Uganda — 0.4% | |||||||||||
1,030 | Citigroup Funding, Inc., 0.00%, 03/17/08 (linked to Uganda Treasury Bill, 0.00%, 03/17/08) (e) (i) | 1,147 | |||||||||
Ukraine — 3.1% | |||||||||||
Government of Ukraine, | |||||||||||
1,750 | 6.58%, 11/21/16 | 1,726 | |||||||||
2,390 | 6.58%, 11/21/16 (e) (m) | 2,363 | |||||||||
2,065 | 7.65%, 06/11/13 | 2,199 | |||||||||
3,000 | FRN, 6.39%, 08/05/09 | 3,060 | |||||||||
9,348 | |||||||||||
Uruguay — 1.2% | |||||||||||
Republic of Uruguay, | |||||||||||
UYU 15,000 | 3.70%, 06/26/37 (m) | 654 | |||||||||
UYU 30,960 | 5.00%, 09/14/18 (m) | 1,779 | |||||||||
465 | 7.50%, 03/15/15 (m) | 502 | |||||||||
270 | 7.63%, 03/21/36 (m) | 277 | |||||||||
379 | 8.00%, 11/18/22 (m) | 409 | |||||||||
3,621 | |||||||||||
Venezuela — 6.6% | |||||||||||
Republic of Venezuela, | |||||||||||
2,194 | 8.50%, 10/08/14 (m) | 2,128 | |||||||||
1,311 | 8.50%, 10/08/14 (m) | 1,265 | |||||||||
1,625 | 9.38%, 01/13/34 (m) | 1,593 | |||||||||
12,756 | 10.75%, 09/19/13 (m) | 13,617 | |||||||||
1,020 | 13.63%, 08/15/18 (m) | 1,275 | |||||||||
19,878 | |||||||||||
Total Foreign Government Securities (Cost $216,388) | 218,096 | ||||||||||
U.S. Treasury Obligations — 2.2% | |||||||||||
United States — 2.2% | |||||||||||
U.S. Treasury Notes, | |||||||||||
6,000 | 2.88%, 01/31/13 (m) | 6,106 | |||||||||
520 | 4.88%, 04/30/08 (k) | 522 | |||||||||
Total U.S. Treasury Obligations (Cost $6,545) | 6,628 |
NUMBER OF WARRANTS | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Warrants — 0.8% | ||||||||||
Argentina — 0.8% | ||||||||||
Republic of Argentina, | ||||||||||
ARS 43,114 | Expires 12/15/35 (linked to GDP) (a) (m) | 1,191 | ||||||||
EUR 6,430 | Expires 12/15/35 (linked to GDP) (a) (m) | 1,089 | ||||||||
Total Warrants (Cost $1,973) | 2,280 | |||||||||
Total Long-Term Investments (Cost $284,890) | 286,532 |
SHARES | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 3.2% | |||||||||||
Investment Company — 3.2% | |||||||||||
9,742 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $9,742) | 9,742 | |||||||||
Total Investments — 98.5% (Cost $294,632) | 296,274 | ||||||||||
Other Assets in Excess of Liabilities — 1.5% | 4,448 | ||||||||||
NET ASSETS — 100.0% | $ | 300,722 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
226 | 10 Year U.S. Treasury Note | June, 2008 | 26,506 | 634 | ||||||||||||||
211 | U.S. Treasury Bond | June, 2008 | 25,030 | 577 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(73) | 2 Year U.S. Treasury Note | June, 2008 | (15,689 | ) | (121 | ) | ||||||||||||
(250) | 5 Year U.S. Treasury Note | June, 2008 | (28,563 | ) | (445 | ) | ||||||||||||
645 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5,315,000 | EUR | 03/31/08 | (8,063 | ) | (7,692 | ) | (371 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Gaz Capital S.A. for Gazprom, 8.63%, 04/28/34 | Deutsche Bank AG, New York | Sell | 39 BPS semi-annually | 04/20/08 | 2,340 | (2 | ) | |||||||||||||||||||
Gazprom International S.A., 7.20%, 02/01/20 | Lehman Brothers Special Financing | Buy | 112 BPS semi-annually | 04/20/11 | 5,180 | 5 | ||||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 341 BPS semi-annually | 07/20/17 | 800 | 110 | ||||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 397 BPS semi-annually | 08/20/17 | 210 | 22 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 190 BPS semi-annually | 07/20/10 | 500 | (1 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 170 BPS semi-annually | 08/20/10 | 750 | (9 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Union Bank of Switzerland AG | Sell | 184 BPS semi-annually | 08/20/10 | 300 | (2 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 176 BPS semi-annually | 09/20/10 | 400 | (1 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 203 BPS semi-annually | 08/20/11 | 660 | (10 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 175 BPS semi-annually | 10/20/11 | 3,030 | (62 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 189 BPS semi-annually | 10/20/11 | 1,670 | (25 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 162 BPS semi-annually | 11/20/11 | 740 | (20 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Barclays Bank plc | Sell | 156 BPS semi-annually | 04/20/12 | 530 | (19 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Deutsche Bank AG, New York | Sell | 158 BPS semi-annually | 04/20/12 | 350 | (12 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 137.75 BPS semi-annually | 06/20/12 | 2,860 | (139 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 175 BPS semi-annually | 08/20/08 | 2,100 | (37 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Deutsche Bank AG, New York | Sell | 235 BPS semi-annually | 03/20/12 | 350 | (50 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 220 BPS semi-annually | 03/20/12 | 640 | (94 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 230 BPS semi-annually | 03/20/12 | 1,670 | (240 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Buy | 300 BPS semi-annually | 08/20/12 | 420 | 54 | ||||||||||||||||||||
Kazkommertzbank International BV, 8.00%, 11/03/15 | Morgan Stanley Capital Services | Sell | 230 BPS semi-annually | 03/20/12 | 750 | (108 | ) | |||||||||||||||||||
Pemex, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 125 BPS semi-annually | 06/20/10 | 1,000 | (13 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 278 BPS semi-annually | 06/20/12 | 510 | (55 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 344 BPS semi-annually | 07/20/12 | 520 | (41 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 355 BPS semi-annually | 07/20/12 | 770 | (57 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Bear Stearns Credit Products (y) | Sell | 342 BPS semi-annually | 07/20/12 | 350 | (18 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Bear Stearns Credit Products (y) | Sell | 361 BPS semi-annually | 07/20/12 | 380 | (27 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Morgan Stanley Capital Services | Sell | 340 BPS semi-annually | 07/20/12 | 870 | (69 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Morgan Stanley Capital Services | Sell | 355 BPS semi-annually | 07/20/12 | 960 | (71 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 265 BPS semi-annually | 05/20/12 | 3,100 | (340 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 328 BPS semi-annually | 07/20/12 | 190 | (16 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 340 BPS semi-annually | 07/20/12 | 870 | (79 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 341 BPS semi-annually | 07/20/12 | 870 | (69 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 355 BPS semi-annually | 07/20/12 | 170 | (13 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 343 BPS semi-annually | 09/20/10 | 350 | 1 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 303.5 BPS semi-annually | 10/20/10 | 750 | (10 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 338 BPS semi-annually | 10/20/10 | 400 | — | (h) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 295 BPS semi-annually | 03/20/11 | 840 | (19 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 208.5 BPS semi-annually | 09/20/11 | 550 | 37 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 196 BPS semi-annually | 04/20/12 | 230 | (22 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Citibank, N.A. | Sell | 216 BPS semi-annually | 06/20/12 | 720 | (69 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 214 BPS semi-annually | 06/20/12 | 1,140 | (110 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 216 BPS semi-annually | 06/20/12 | 1,430 | (137 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Buy | 258 BPS semi-annually | 07/20/12 | 350 | 30 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 208 BPS semi-annually | 07/20/12 | 830 | (86 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 232.67 BPS semi-annually | 07/20/12 | 1,450 | (137 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 258 BPS semi-annually | 07/20/12 | 1,060 | 90 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 263 BPS semi-annually | 07/20/12 | 870 | 72 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Buy | 262 BPS semi-annually | 07/20/12 | 870 | 73 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Union Bank of Switzerland AG | Buy | 262 BPS semi-annually | 07/20/12 | 520 | 43 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 397 BPS semi-annually | 11/20/12 | 6,870 | (230 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 341 BPS semi-annually | 07/20/17 | 800 | (127 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 407 BPS semi-annually | 08/20/17 | 210 | (26 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 300 BPS semi-annually | 09/20/10 | 350 | (22 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 261.5 BPS semi-annually | 10/20/10 | 750 | (39 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 290 BPS semi-annually | 10/20/10 | 400 | (24 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 142 BPS semi-annually | 03/20/11 | 840 | (15 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 119 BPS semi-annually | 09/20/11 | 270 | 2 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 120 BPS semi-annually | 09/20/11 | 280 | 2 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 81 BPS semi-annually | 04/20/12 | 230 | 4 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Citibank, N.A. | Buy | 69.5 BPS semi-annually | 06/20/12 | 720 | 17 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 73.21 BPS semi-annually | 06/20/12 | 1,140 | 26 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 69 BPS semi-annually | 06/20/12 | 1,430 | 35 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 71.33 BPS semi-annually | 07/20/12 | 1,450 | 36 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 66 BPS semi-annually | 07/20/12 | 830 | 23 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Deutsche Bank AG, New York | Buy | 91.42 BPS semi-annually | 04/20/12 | 410 | 10 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 82.5 BPS semi-annually | 06/20/12 | 3,990 | 132 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 96 BPS semi-annually | 04/20/12 | 210 | 5 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 98 BPS semi-annually | 04/20/12 | 3,000 | 73 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Morgan Stanley Capital Services | Buy | 100 BPS semi-annually | 04/20/12 | 750 | 18 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Citibank, N.A. | Sell | 185 BPS quarterly | 06/20/11 | 300 | — | (h) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 185 BPS quarterly | 06/20/11 | 730 | — | (h) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 205 BPS quarterly | 06/20/11 | 365 | 2 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Morgan Stanley Capital Services | Sell | 127 BPS quarterly | 12/20/11 | 400 | (11 | ) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 101 BPS quarterly | 06/20/12 | 690 | (32 | ) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 115 BPS quarterly | 09/20/12 | 3,820 | (174 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 63 BPS semi-annually | 05/20/11 | 1,600 | (73 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 60 BPS semi-annually | 03/20/12 | 870 | (55 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 53.51 BPS semi-annually | 03/20/12 | 1,510 | (99 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 61 BPS semi-annually | 03/20/12 | 620 | (39 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 68 BPS semi-annually | 08/20/12 | 3,010 | (220 | ) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 65.5 BPS semi-annually | 08/20/12 | 2,210 | (164 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 71 BPS semi-annually | 08/20/12 | 1,090 | (78 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 62 BPS semi-annually | 06/20/12 | 5,340 | (144 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 108.5 BPS semi-annually | 05/20/17 | 2,155 | (111 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 90 BPS semi-annually | 06/20/17 | 1,380 | (88 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Citibank, N.A. | Buy | 199 BPS quarterly | 06/20/11 | 300 | (2 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 199 BPS quarterly | 06/20/11 | 730 | (4 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 221 BPS quarterly | 06/20/11 | 365 | (5 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Morgan Stanley Capital Services | Buy | 132 BPS quarterly | 12/20/11 | 400 | 10 | ||||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 103 BPS quarterly | 06/20/12 | 690 | 30 | ||||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 116 BPS quarterly | 09/20/12 | 3,820 | 165 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 145 BPS semi-annually | 07/20/12 | 370 | 10 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 146 BPS semi-annually | 07/20/12 | 3,850 | 98 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Deutsche Bank AG, New York | Buy | 239 BPS semi-annually | 08/20/12 | 1,000 | (14 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 194 BPS semi-annually | 08/20/12 | 1,170 | 7 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Barclays Bank plc | Sell | 172.1 BPS semi-annually | 03/20/12 | 1,520 | (157 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Deutsche Bank AG, New York | Sell | 160.42 BPS semi-annually | 04/20/12 | 870 | (97 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Deutsche Bank AG, New York | Sell | 162 BPS semi-annually | 04/20/12 | 410 | (46 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 160.5 BPS semi-annually | 04/20/12 | 210 | (24 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 161 BPS semi-annually | 04/20/12 | 3,000 | (335 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Sell | 169 BPS semi-annually | 04/20/12 | 750 | (82 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 218 BPS semi-annually | 06/20/12 | 3,990 | (395 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 222 BPS semi-annually | 06/20/12 | 860 | (84 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Buy | 203 BPS semi-annually | 06/20/12 | 510 | 53 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Bear Stearns Credit Products (y) | Buy | 266 BPS semi-annually | 07/20/12 | 380 | 33 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Bear Stearns Credit Products (y) | Sell | 250.4 BPS semi-annually | 07/20/12 | 1,550 | (142 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Buy | 260 BPS semi-annually | 07/20/12 | 170 | 15 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Buy | 257 BPS semi-annually | 07/20/12 | 960 | 86 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Buy | 255 BPS semi-annually | 07/20/12 | 770 | 69 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Sell | 251 BPS semi-annually | 07/20/12 | 1,550 | (142 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 301.3 BPS semi-annually | 08/20/12 | 1,680 | (131 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 570 BPS semi-annually | 08/20/12 | 670 | 12 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Sell | 340 BPS semi-annually | 08/20/12 | 90 | (6 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 312 BPS semi-annually | 10/20/12 | 15,030 | (1,007 | ) | |||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 1,190 | (18 | ) | |||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 120 | (2 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 1,190 | 4 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 120 | 1 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 90 BPS semi-annually | 07/20/10 | 500 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Sell | 101 BPS semi-annually | 07/20/10 | 2,000 | 6 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 77 BPS semi-annually | 08/20/10 | 70 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 75 BPS semi-annually | 08/20/10 | 750 | 4 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 90 BPS semi-annually | 08/20/10 | 300 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 64 BPS semi-annually | 09/20/10 | 400 | 3 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 53 BPS semi-annually | 08/20/11 | 660 | 13 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 50 BPS semi-annually | 11/20/11 | 740 | 18 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Bear Stearns Credit Products (y) | Sell | 45.5 BPS semi-annually | 12/20/11 | 600 | (16 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 51 BPS semi-annually | 12/20/11 | 1,580 | (39 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 1,360 | (33 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 1,270 | (34 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 1,200 | (32 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Barclays Bank plc | Buy | 47.5 BPS semi-annually | 04/20/12 | 530 | 15 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Buy | 49.5 BPS semi-annually | 04/20/12 | 350 | 10 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 96 BPS semi-annually | 07/20/10 | 2,000 | (22 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 81 BPS semi-annually | 08/20/10 | 70 | — | (h) | |||||||||||||||||||
United Mexican States, 8.30%, 08/15/31 | Citibank, N.A. | Sell | 105 BPS semi-annually | 06/20/10 | 1,000 | 11 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 1,360 | 2 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 7.50%, 10/12/11 | Lehman Brothers Special Financing | Sell | 109 BPS semi-annually | 04/20/11 | 5,180 | 257 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 64 BPS semi-annually | 05/20/12 | 790 | (69 | ) | |||||||||||||||||||
(5,144 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PAYMENTS MADE BY THE FUND (r) | | PAYMENTS RECEIVED BY THE FUND (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | TransCredit Bank, 7.30%, 02/26/09 | 3 Month LIBOR + 20 BPS quarterly | Total Return on TransCredit Bank, 7.30%, 02/26/09 quarterly | 02/26/09 | RUB 31,200 | 49 | ||||||||||||||||||||
Morgan Stanley Capital Services | OGK/Rushydro’s, 12/13/13 | 3 Month LIBOR + 20 BPS quarterly | Total Return on OGK/Rushydro’s, 12/13/13 quarterly | 12/25/10 | RUB 99,740 | 192 | ||||||||||||||||||||
241 |
AS OF FEBRUARY 29, 2008
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 70.1% | |||||||||||
Asset-Backed Securities — 19.9% | |||||||||||
434 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) | 433 | |||||||||
500 | Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2, FRN, 3.62%, 04/25/35 (m) | 430 | |||||||||
1,400 | Arkle Master Issuer plc (United Kingdom), Series 2006-1A, Class 3A, FRN, 3.12%, 08/17/11 (e) (m) | 1,390 | |||||||||
400 | Asset Backed Funding Certificates, Series 2005-HE1, Class M2, FRN, 3.58%, 03/25/35 (m) | 357 | |||||||||
279 | Bear Stearns Asset Backed Securities Trust, Series 2005-HE3, Class M1, FRN, 3.57%, 03/25/35 (m) (y) | 240 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
750 | Series 2007-B, Class A3B, FRN, 3.12%, 04/15/12 (m) | 714 | |||||||||
750 | Series 2007-B, Class A4, FRN, 3.15%, 04/15/14 (m) | 675 | |||||||||
366 | Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A3, FRN, 3.31%, 02/25/36 | 341 | |||||||||
695 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, FRN, 3.52%, 12/25/33 | 575 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
117 | Series 2004-6, Class 2A4, FRN, 3.58%, 11/25/34 (m) | 105 | |||||||||
156 | Series 2005-BC1, Class M2, FRN, 3.58%, 05/25/35 (m) | 133 | |||||||||
659 | Countrywide Home Equity Loan Trust, Series 2003-C, Class A, FRN, 3.39%, 05/15/29 (m) | 543 | |||||||||
2,600 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B, FRN, 3.25%, 10/25/36 (m) | 2,169 | |||||||||
689 | Equifirst Loan Securitization Trust, Series 2007-1, Class A2A, FRN, 3.20%, 04/25/37 | 643 | |||||||||
2,500 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2C, FRN, 3.30%, 10/25/36 | 2,145 | |||||||||
514 | Fleet Home Equity Loan Trust, Series 2003-1, Class A, FRN, 3.36%, 01/20/33 | 429 | |||||||||
500 | Helios Finance LP (Cayman Islands), Series 2001-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) | �� | 454 | ||||||||
800 | HSI Asset Securitization Corp. Trust, Series 2006-OPT3, Class 3A3, FRN, 3.31%, 02/25/36 | 675 | |||||||||
1,500 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/09 (f) (i) (s) (v) | 335 | |||||||||
2,100 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) | 630 | |||||||||
550 | MBNA Credit Card Master Note Trust, Series 2005-A5, Class A5, FRN, 3.12%, 12/15/10 | 549 | |||||||||
150 | Morgan Stanley ABS Capital I, Series 2005-HE2, Class M3, FRN, 3.62%, 01/25/35 | 126 | |||||||||
278 | Nationstar NIM Trust (Cayman Islands), Series 2007-C, Class A, 8.00%, 06/25/37 (e) (i) | 167 | |||||||||
413 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, FRN, 3.76%, 11/25/34 | 367 | |||||||||
308 | Nomura Asset Acceptance Corp., Series 2006-WF1, Class A1, FRN, 3.23%, 06/25/36 | 304 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
81 | Series 2002-1, Class A, FRN, 3.71%, 02/25/32 | 78 | |||||||||
300 | Series 2005-2, Class M1, FRN, 3.58%, 05/25/35 | 263 | |||||||||
550 | Park Place Securities, Inc., Series 2004-WHQ2, Class M2, FRN, 3.76%, 02/25/35 | 471 | |||||||||
350 | Residential Asset Securities Corp., Series 2005-KS11, Class M2, FRN, 3.56%, 12/25/35 | 284 | |||||||||
160 | Residential Funding Mortgage Securities II Inc., Series 2003-HS4, Class A1B, FRN, 3.40%, 01/25/29 | 138 | |||||||||
Securitized Asset Backed Receivables LLC Trust, | |||||||||||
500 | Series 2005-OP1, Class M2, FRN, 3.58%, 01/25/35 | 433 | |||||||||
781 | Series 2006-OP1, Class A2B, FRN, 3.34%, 10/25/35 | 769 | |||||||||
300 | Sigma Finance Corp. (Cayman Islands), FRN, 5.51%, 09/15/08 (e) (f) (i) (s) | 235 | |||||||||
462 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, FRN, 3.35%, 06/25/34 | 440 | |||||||||
1,800 | Wells Fargo Home Equity Trust, Series 2006-3, Class A2, FRN, 3.29%, 01/25/37 | 1,503 | |||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, FRN, 4.12%, 01/23/11 (e) (i) | 945 | |||||||||
Total Asset-Backed Securities (Cost $25,694) | 20,488 | ||||||||||
Collateralized Mortgage Obligations — 14.9% | |||||||||||
Agency CMO — 3.0% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
1,669 | Series 2638, Class KI, IO, 5.00%, 11/15/27 | 122 | |||||||||
2,366 | Series 2645, Class SB, IF, IO, 3.98%, 07/15/27 | 180 | |||||||||
821 | Series 2686, Class FL, FRN, 3.52%, 03/15/28 | 818 | |||||||||
863 | Series 2827, Class AS, IF, IO, 3.98%, 06/15/22 | 50 | |||||||||
1,242 | Series 2928, Class IN, IO, 5.00%, 10/15/24 | 68 | |||||||||
1,103 | Series 2975, Class IO, IO, 5.50%, 06/15/26 | 69 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
224 | Series 2002-36, Class FS, FRN, 3.63%, 06/25/32 | 226 | |||||||||
333 | Series 2002-36, Class FT, FRN, 3.63%, 06/25/32 | 336 | |||||||||
4,786 | Series 2002-81, Class SJ, IF, IO, 4.37%, 04/25/32 | 477 | |||||||||
635 | Series 2003-121, Class FC, FRN, 3.54%, 02/25/28 | 632 | |||||||||
1,529 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 | 69 | |||||||||
1,039 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 | 42 | |||||||||
3,089 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — 11.9% | |||||||||||
Countrywide Alternative Loan Trust, | |||||||||||
1,164 | Series 2006-OA2, Class A1, FRN, 3.32%, 05/20/46 (m) | 996 | |||||||||
2,548 | Series 2006-OA19, Class A1, FRN, 3.29%, 02/20/47 (m) | 2,160 | |||||||||
825 | Series 2006-OA21, Class A1, FRN, 3.30%, 03/20/47 | 706 | |||||||||
Countrywide Home Loan Mortgage Pass Through Trust, | |||||||||||
3 | Series 2002-31, Class A3, 5.75%, 01/25/33 (m) | 3 | |||||||||
1,067 | Series 2005-2, Class 2A3, FRN, 3.48%, 03/25/35 (m) | 998 | |||||||||
604 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, FRN, 3.45%, 08/19/45 | 546 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
261 | Series 2005-10, Class 2A1A, FRN, 3.43%, 11/19/35 | 222 | |||||||||
1,130 | Series 2006-14, Class 2A1A, FRN, 3.27%, 03/19/38 | 958 | |||||||||
685 | Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, FRN, 3.31%, 11/25/36 | 550 | |||||||||
Thornburg Mortgage Securities Trust, | |||||||||||
415 | Series 2003-2, Class A1, FRN, 3.81%, 04/25/43 | 405 | |||||||||
3,657 | Series 2006-6, Class A1, FRN, 3.25%, 11/25/46 | 3,473 | |||||||||
WaMu Mortgage Pass Through Certificates, | |||||||||||
635 | Series 2005-AR9, Class A1A, FRN, 3.45%, 07/25/45 | 591 | |||||||||
784 | Series 2005-AR13, Class A1A1, FRN, 3.43%, 10/25/45 | 717 | |||||||||
12,325 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $16,703) | 15,414 | ||||||||||
Commercial Mortgage-Backed Securities — 1.8% | |||||||||||
500 | CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3, 6.39%, 08/15/36 | 511 | |||||||||
953 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 944 | |||||||||
423 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) | 405 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,884) | 1,860 | ||||||||||
Corporate Bonds — 26.3% | |||||||||||
Capital Markets — 2.8% | |||||||||||
500 | Citigroup Funding, Inc., FRN, 5.30%, 03/02/09 (m) | 498 | |||||||||
1,000 | Citigroup Global Markets Holdings, Inc., FRN, 5.19%, 03/07/08 (m) | 1,000 | |||||||||
850 | Goldman Sachs Group, Inc. (The), FRN, 4.94%, 06/28/10 | 825 | |||||||||
400 | Lehman Brothers Holdings, Inc., FRN, 3.17%, 11/16/09 | 385 | |||||||||
300 | Lehman Brothers Holdings Capital Trust VIII, 3.92%, 05/31/12 (x) | 214 | |||||||||
2,922 | |||||||||||
Commercial Banks — 5.6% | |||||||||||
1,000 | BAC Capital Trust XIII, FRN, 5.39%, 03/15/43 (m) (x) | 740 | |||||||||
800 | Banco Sabadell S.A. (Spain), FRN, 3.95%, 04/23/10 (e) (m) | 766 | |||||||||
1,600 | Glitnir Banki HF (Iceland), FRN, 4.42%, 10/15/08 (e) (m) | 1,601 | |||||||||
200 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) | 192 | |||||||||
600 | Landsbanki Islands HF (Iceland), FRN, 3.79%, 08/25/09 (e) | 581 | |||||||||
1,900 | Wells Fargo & Co., FRN, 3.67%, 01/29/10 | 1,904 | |||||||||
5,784 | |||||||||||
Computers & Peripherals — 0.8% | |||||||||||
800 | Hewlett-Packard Co., FRN, 0.00%, 09/03/09 | 800 | |||||||||
Consumer Finance — 4.1% | |||||||||||
1,400 | Aiful Corp. (Japan), 6.00%, 12/12/11 (e) (m) | 1,363 | |||||||||
1,000 | American Honda Finance Corp., FRN, 5.17%, 09/18/08 (e) (m) | 1,000 | |||||||||
350 | Capital One Financial Corp., FRN, 5.43%, 09/10/09 (m) | 340 | |||||||||
1,550 | International Lease Finance Corp., FRN, 3.31%, 05/24/10 | 1,481 | |||||||||
4,184 | |||||||||||
Diversified Financial Services — 2.7% | |||||||||||
800 | General Electric Capital Corp., FRN, 5.09%, 06/15/09 | 799 | |||||||||
1,400 | IBM International Group Capital LLC, FRN, 3.65%, 07/29/09 | 1,403 | |||||||||
600 | ZFS Finance USA Trust III, FRN, 6.14%, 12/15/65 (e) | 577 | |||||||||
2,779 | |||||||||||
Electric Utilities — 0.5% | |||||||||||
500 | Pepco Holdings Inc., FRN, 5.75%, 06/01/10 | 499 | |||||||||
Household Products — 0.8% | |||||||||||
850 | Procter & Gamble International Funding SCA (Luxembourg), FRN, 3.29%, 08/19/09 | 850 | |||||||||
Insurance — 2.4% | |||||||||||
500 | Allstate Life Global Funding Trusts, FRN, 3.69%, 02/26/10 (m) | 495 | |||||||||
2,000 | Principal Life Income Funding Trusts, FRN, 5.10%, 06/06/08 (m) | 1,998 | |||||||||
2,493 |
AS OF FEBRUARY 29, 2008 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Media — 0.2% | |||||||||||
200 | Viacom, Inc., FRN, 5.34%, 06/16/09 | 195 | |||||||||
Metals & Mining — 0.5% | |||||||||||
550 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) | 534 | |||||||||
Multi-Utilities — 0.7% | |||||||||||
700 | Dominion Resources Inc., FRN, 3.25%, 11/14/08 (m) | 696 | |||||||||
Real Estate Investment Trusts (REITs) — 0.9% | |||||||||||
iStar Financial Inc., | |||||||||||
650 | FRN, 5.33%, 09/15/09 | 569 | |||||||||
425 | FRN, 5.54%, 03/16/09 (m) | 382 | |||||||||
951 | |||||||||||
Thrifts & Mortgage Finance — 3.9% | |||||||||||
900 | CAM U.S. Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) | 865 | |||||||||
Countrywide Financial Corp., | |||||||||||
160 | FRN, 5.10%, 03/24/09 (m) | 144 | |||||||||
950 | FRN, 5.21%, 12/19/08 (m) | 842 | |||||||||
300 | Sovereign Bancorp, Inc., FRN, 5.40%, 03/01/09 (m) | 292 | |||||||||
950 | Washington Mutual Bank, FRN, 3.23%, 11/06/09 | 860 | |||||||||
1,150 | Washington Mutual, Inc., FRN, 3.23%, 08/24/09 | 1,067 | |||||||||
4,070 | |||||||||||
Wireless Telecommunication Services — 0.4% | |||||||||||
400 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) | 395 | |||||||||
Total Corporate Bonds (Cost $28,257) | 27,152 | ||||||||||
Mortgage Pass-Through Securities — 5.5% | |||||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
5,400 | TBA, 6.00%, 03/25/22 | 5,577 | |||||||||
30 Year, Single Family, | |||||||||||
100 | TBA, 6.50%, 03/25/38 | 104 | |||||||||
Total Mortgage Pass-Through Securities (Cost $5,676) | 5,681 | ||||||||||
U.S. Treasury Obligation — 0.7% | |||||||||||
659 | U.S. Treasury Inflation Indexed Bond, 2.63%, 07/15/17 (k) (Cost $714) | 752 | |||||||||
Certificate of Deposit — 1.0% | |||||||||||
1,000 | Deutsche Bank AG, (Germany) FRN, 3.57%, 02/16/10 (Cost $1,000) | 1,000 | |||||||||
Total Long-Term Investments (Cost $79,928) | 72,347 | ||||||||||
Short-Term Investments — 36.1% | |||||||||||
Certificates of Deposit — 5.6% | |||||||||||
700 | Bank of Ireland, (Ireland) FRN, 0.00%, 03/03/09 (m) | 700 | |||||||||
1,600 | Barclays Bank plc, (United Kingdom) 3.75%, 07/18/08 (m) | 1,604 | |||||||||
1,500 | National Bank of Canada, (Canada) 3.28%, 07/29/08 (m) | 1,502 | |||||||||
2,000 | Societe Generale (France), 3.40%, 04/23/08 (m) | 2,001 | |||||||||
Total Certificates of Deposit (Cost $5,800) | 5,807 | ||||||||||
Commercial Paper — 9.0% (n) | |||||||||||
1,100 | Alpine Securitization Corp., 2.96%, 08/13/08 (m) | 1,084 | |||||||||
1,000 | BNZ International Funding Ltd., 2.98%, 08/20/08 (m) | 986 | |||||||||
2,000 | Charta Corp., 5.34%, 03/25/08 (m) | 1,995 | |||||||||
CRC Funding LLC, | |||||||||||
1,100 | 2.96%, 08/13/08 (e) (m) | 1,084 | |||||||||
2,000 | 5.34%, 03/25/08 (e) (m) | 1,995 | |||||||||
2,100 | St. George Bank Ltd., 3.29%, 04/22/08 (m) | 2,090 | |||||||||
Total Commercial Paper (Cost $9,233) | 9,234 |
SHARES | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 21.3% | ||||||||||
21,994 | JPMorgan Prime Money Market Fund, Institutional Class (b) (Cost $21,994) | 21,994 |
PRINCIPAL AMOUNT($) | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation — 0.2% | ||||||||||
195 | U.S. Treasury Bill, 3.03%, 04/03/08 (k) (n) (Cost $194) | 195 | ||||||||
Total Short-Term Investments (Cost $37,221) | 37,230 | |||||||||
Total Investments — 106.2% (Cost $117,149) | 109,577 | |||||||||
Liabilities in Excess of Other Assets — (6.2)% | (6,399 | ) | ||||||||
NET ASSETS — 100.0% | $ | 103,178 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
45 | Eurodollar | March, 2008 | $ | 10,934 | $ | 131 | ||||||||||||
19 | 2 Year U.S. Treasury Note | June, 2008 | 4,084 | 34 | ||||||||||||||
34 | 10 Year U.S. Treasury Note | June, 2008 | 3,988 | 96 | ||||||||||||||
9 | Eurodollar | June, 2008 | 2,197 | 1 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(55) | 5 Year U.S. Treasury Note | June, 2008 | (6,284 | ) | (105 | ) | ||||||||||||
(16) | 10 Year U.S. Treasury Note | June, 2008 | (1,877 | ) | (44 | ) | ||||||||||||
(3) | Eurodollar | June, 2008 | (732 | ) | (13 | ) | ||||||||||||
(4) | Eurodollar | September, 2008 | (978 | ) | (16 | ) | ||||||||||||
(4) | Eurodollar | December, 2008 | (978 | ) | (15 | ) | ||||||||||||
(9) | Eurodollar | June, 2009 | (2,196 | ) | — | (h) | ||||||||||||
$ | 69 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$ (100) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 | $ | (103 | ) | ||||||
(Proceeds received of $110.) |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Merrill Lynch Capital Services | 5.12% semi-annually | 3 month LIBOR quarterly | 02/23/12 | $ | 1,330 | $ | (99 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Aiful Corp., 4.45%, 02/16/10 | Morgan Stanley Capital Services | Buy | 52.5 BPS quarterly | 12/20/11 | $ | 1,400 | $ | 115 | ||||||||||||||||||
Ambac Financial Group, Inc., 9.38%, 08/01/11 | Deutsche Bank AG, New York | Sell | 105 BPS quarterly | 09/20/08 | 2,400 | (68 | ) | |||||||||||||||||||
ArcelorMittal, 9.75%, 04/01/14 | Morgan Stanley Capital Services | Sell | 17 BPS quarterly | 06/20/08 | 1,000 | (2 | ) | |||||||||||||||||||
Banca Italease S.p.A., 4.66%, 10/15/09 | Deutsche Bank AG, New York | Sell | 85 BPS quarterly | 06/20/08 | 1,800 | (20 | ) | |||||||||||||||||||
CDX.NA.IG.9 | Lehman Brothers Special Financing [1] | Buy | 60 BPS quarterly | 12/20/12 | 6,000 | 263 | ||||||||||||||||||||
FHLMC, 5.08%, 02/07/19 | Deutsche Bank AG, New York | Sell | 3 BPS quarterly | 06/20/08 | 4,800 | (6 | ) | |||||||||||||||||||
Hess Corp., 6.65%, 08/15/11 | Morgan Stanley Capital Services | Sell | 20 BPS quarterly | 06/20/08 | 1,300 | (1 | ) | |||||||||||||||||||
ICICI Bank, Ltd., 5.75%, 11/16/10 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | 700 | — | (h) | |||||||||||||||||||
Merrill Lynch & Co., 6.00%, 02/17/09 | Bear Stearns Credit Products, Inc. (y) | Sell | 10 BPS quarterly | 03/20/08 | 3,900 | (5 | ) | |||||||||||||||||||
Morgan Stanley, 6.60%, 04/01/12 | Royal Bank of Scotland | Sell | 20 BPS quarterly | 09/20/08 | 1,500 | (17 | ) | |||||||||||||||||||
$ | 259 |
AS OF FEBRUARY 29, 2008
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 106.5% | |||||||||||
Asset-Backed Securities — 1.7% | |||||||||||
597 | GSAMP Trust, Series 2005-WMC2, Class A2B, FRN, 3.40%, 11/25/35 (m) | 586 | |||||||||
587 | Residential Asset Securities Corp, Series 2005-KS10, Class 1A2, FRN, 3.39%, 11/25/35 (m) | 563 | |||||||||
250 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class M2, FRN, 3.68%, 12/25/35 (i) | 179 | |||||||||
Total Asset-Backed Securities (Cost $1,434) | 1,328 | ||||||||||
Collateralized Mortgage Obligations — 5.7% | |||||||||||
Agency CMO — 2.4% | |||||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
505 | Series 2003-26, Class QF, FRN, 3.54%, 10/25/17 (m) | 507 | |||||||||
412 | Series 2003-90, Class FL, FRN, 3.58%, 03/25/31 (m) | 410 | |||||||||
975 | Series 2006-60, Class DF, FRN, 3.56%, 04/25/35 (m) | 975 | |||||||||
1,892 | |||||||||||
Non-Agency CMO — 3.3% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
222 | Series 2005-12, Class 5A1, FRN, 3.39%, 03/25/36 (m) | 184 | |||||||||
572 | Series 2006-3, Class 4A11, FRN, 3.31%, 08/25/36 (m) | 467 | |||||||||
400 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 3.41%, 10/19/45 (m) | 369 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
361 | Series 2005-8, Class 1A2A, FRN, 3.45%, 09/19/35 (m) | 323 | |||||||||
396 | Series 2005-11, Class 2A1A, FRN, 3.43%, 08/19/45 (m) | 361 | |||||||||
171 | Series 2006-8, Class 2A1A, FRN, 3.30%, 08/21/36 (m) | 146 | |||||||||
412 | Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, FRN, 3.44%, 10/25/36 (m) | 367 | |||||||||
404 | Residential Accredit Loans, Inc., Series 2006-QO4, Class 2A1, FRN, 3.32%, 04/25/46 (m) | 346 | |||||||||
2,563 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $4,828) | 4,455 | ||||||||||
Corporate Bonds — 1.9% | |||||||||||
Capital Markets — 0.7% | |||||||||||
500 | Merrill Lynch & Co., Inc., FRN, 3.33%, 10/27/08 (m) | 493 | |||||||||
Diversified Telecommunication Services — 0.3% | |||||||||||
250 | AT&T, Inc., FRN, 3.28%, 11/14/08 (m) | 250 | |||||||||
Oil, Gas & Consumable Fuels — 0.9% | |||||||||||
683 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 (i) | 701 | |||||||||
Total Corporate Bonds (Cost $1,454) | 1,444 | ||||||||||
Foreign Government Securities — 0.7% | |||||||||||
Citigroup Funding, Inc., | |||||||||||
105 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) | 106 | |||||||||
50 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) | 50 | |||||||||
170 | 15.00%, 06/20/12 (linked to Government of Ghana, 15.00%, 06/20/12) (e) (i) | 147 | |||||||||
EGP 500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) | 90 | |||||||||
160 | IIRSA Norte Finance Ltd. (Peru), 8.75%, 05/30/24 | 179 | |||||||||
Total Foreign Government Securities (Cost $599) | 572 | ||||||||||
Mortgage Pass-Through Securities — 14.7% | |||||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
1,190 | TBA, 5.00%, 04/25/37 | 1,170 | |||||||||
1,385 | TBA, 5.50%, 03/25/37 - 04/25/37 | 1,390 | |||||||||
4,800 | TBA, 6.00%, 04/25/37 | 4,894 | |||||||||
3,825 | TBA, 6.50%, 03/25/38 | 3,964 | |||||||||
Total Mortgage Pass-Through Securities (Cost $11,370) | 11,418 | ||||||||||
U.S. Treasury Obligations — 81.8% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
1,064 | 2.38%, 01/15/25 (m) | 1,166 | |||||||||
1,786 | 2.38%, 01/15/27 (m) | 1,970 | |||||||||
805 | 3.63%, 04/15/28 (m) | 1,061 | |||||||||
677 | 3.88%, 04/15/29 (m) | 930 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
4,757 | 0.88%, 04/15/10 (m) | 4,897 | |||||||||
4,136 | 1.63%, 01/15/15 (m) | 4,379 | |||||||||
7,703 | 1.88%, 07/15/13 (m) | 8,339 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
U.S. Treasury Obligations — Continued | |||||||||||
4,309 | 1.88%, 07/15/15 (m) | 4,642 | |||||||||
3,001 | 2.00%, 01/15/14 (m) | 3,258 | |||||||||
5,102 | 2.00%, 07/15/14 (m) | 5,549 | |||||||||
3,429 | 2.00%, 01/15/16 | 3,717 | |||||||||
3,969 | 2.38%, 04/15/11 | 4,292 | |||||||||
786 | 2.38%, 01/15/17 | 878 | |||||||||
484 | 2.60%, 07/15/16 | 544 | |||||||||
3,188 | 2.63%, 07/15/17 | 3,637 | |||||||||
6,046 | 3.00%, 07/15/12 (m) | 6,828 | |||||||||
2,402 | 3.50%, 01/15/11 (m) | 2,672 | |||||||||
2,651 | 3.88%, 01/15/09 (m) | 2,761 | |||||||||
1,854 | 4.25%, 01/15/10 (m) | 2,026 | |||||||||
Total U.S. Treasury Obligations (Cost $58,629) | 63,546 | ||||||||||
Total Long-Term Investments (Cost $78,314) | 82,763 |
NUMBER OF CONTRACTS | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 2.0% | |||||||||||
Call Options Purchased — 0.5% | |||||||||||
7 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style | 25 | |||||||||
23 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 17 | |||||||||
1 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.63, American Style | 1 | |||||||||
25 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style | 31 | |||||||||
25 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 37 | |||||||||
10 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style | 19 | |||||||||
32 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style | 25 | |||||||||
8 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 22 | |||||||||
11 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style | 18 | |||||||||
168 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style | 189 |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver Options Purchased on Interest Rate Swaps: | ||||||||||
AUD 7,200 | Expiring 4/21/08. If exercised the Fund receives quarterly 7.00% and pays quarterly 3 month AUD-BBR-BBSW expiring 04/22/09, European Style. Counterparty: Union Bank of Switzerland AG (r) | 1 | ||||||||
Total Call Options Purchased | 385 | |||||||||
Interest Rate Caps & Floors — 0.2% | ||||||||||
10,459 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 6 | ||||||||
10,459 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 134 | ||||||||
Total Interest Rate Caps & Floors | 140 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 1.0% | ||||||||||
2,269 | Expires 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring 02/04/23, European Style. Counterparty: Credit Suisse International (r) | 264 | ||||||||
2,289 | Expires 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring 02/15/23, European Style. Counterparty: Barclays Bank plc (r) | 264 | ||||||||
2,316 | Expires 2/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring 02/23/23, European Style. Counterparty: Barclays Bank plc (r) | 267 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 795 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | |||||||||||
Put Options Purchased — 0.3% | |||||||||||
23 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 9 | |||||||||
3 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style | — | (h) | ||||||||
50 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style | 10 | |||||||||
16 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style | 5 | |||||||||
5 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $113.00, American Style | 3 | |||||||||
8 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 12 | |||||||||
9 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style | 4 | |||||||||
6 | 20 Year U.S. Treasury Bond Futures, Expiring 05/23/08 @ $112.00, American Style | 5 |
NOTIONAL AMOUNT | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
AUD 6,130 | Expiring 04/21/08. If exercised the Fund pays quarterly 7.50% and receives quarterly 3 month AUD-BBR-BBSW expiring 04/22/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 23 | ||||||||
1,149 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European Style. Counterparty: Barclays Bank plc (r) | 42 | ||||||||
1,697 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European Style. Counterparty: Lehman Brothers Special Financing (r) | 75 | ||||||||
Total Put Options Purchased | 188 | |||||||||
Total Options Purchased (Cost $1,276) | 1,508 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 4.7% | |||||||||||
Investment Company — 4.3% | |||||||||||
3,362 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $3,362) | 3,362 |
PRINCIPAL AMOUNT | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation — 0.4% | ||||||||||
300 | U.S. Treasury Bill, 1.96%, 06/12/08 (k) (m) (n) (Cost $298) | 298 | ||||||||
Total Short-Term Investments (Cost $3,660) | 3,660 | |||||||||
Total Investments — 113.2% (Cost $83,250) | 87,931 | |||||||||
Liabilities in Excess of Other Assets — (13.2)% | (10,236 | ) | ||||||||
NET ASSETS — 100.0% | $ | 77,695 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
2 | 5 Year Swap | March, 2008 | 224 | 5 | ||||||||||||||
7 | 10 Year Australia Bond | March, 2008 | 611 | 1 | ||||||||||||||
5 | 10 Year Swap | March, 2008 | 572 | 16 | ||||||||||||||
3 | Euro-Bobl | March, 2008 | 507 | 5 | ||||||||||||||
30 | 3 Month Euro-Swiss Franc LIFFE | June, 2008 | 7,012 | — | (h) | |||||||||||||
15 | 2 Year U.S. Treasury Note | June, 2008 | 3,224 | 20 | ||||||||||||||
72 | 5 Year U.S. Treasury Note | June, 2008 | 8,226 | 111 | ||||||||||||||
78 | 10 Year U.S. Treasury Note | June, 2008 | 9,148 | 168 | ||||||||||||||
28 | Eurodollar | June, 2008 | 6,835 | 60 | ||||||||||||||
2 | U.S. Treasury Bond | June, 2008 | 237 | 7 | ||||||||||||||
109 | 3 Month EURIBOR | December, 2008 | 39,922 | 34 | ||||||||||||||
3 | Eurodollar | March, 2009 | 733 | 8 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(29) | 3 Year Australia Bond | March, 2008 | (2,522 | ) | (1 | ) | ||||||||||||
(12) | Euro-Bund | March, 2008 | (2,133 | ) | (27 | ) | ||||||||||||
(7) | Eurodollar | March, 2008 | (1,701 | ) | (5 | ) | ||||||||||||
(18) | 30 Day Federal Funds | April, 2008 | (7,326 | ) | (8 | ) | ||||||||||||
(2) | 30 Day Interbank | April, 2008 | (426 | ) | — | (h) | ||||||||||||
(4) | 2 Year U.S. Treasury Note | June, 2008 | (860 | ) | (7 | ) | ||||||||||||
(125) | 5 Year U.S. Treasury Note | June, 2008 | (14,281 | ) | (225 | ) | ||||||||||||
(34) | 10 Year U.S. Treasury Note | June, 2008 | (3,988 | ) | (83 | ) | ||||||||||||
(1) | Eurodollar | June, 2008 | (244 | ) | — | (h) | ||||||||||||
(3) | U.S. Treasury Bond | June, 2008 | (356 | ) | (9 | ) | ||||||||||||
(11) | 90 Day Bank Bill | September, 2008 | (9,438 | ) | (3 | ) | ||||||||||||
(28) | Eurodollar | June, 2009 | (6,831 | ) | (19 | ) | ||||||||||||
48 |
CONTRACTS TO BUY | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,346,596 | AUD | 05/16/08 | 1,199 | 1,242 | 43 | |||||||||||||||||
5,876 | CAD | 05/16/08 | 6 | 6 | — | (h) | ||||||||||||||||
3,644 | CAD for | |||||||||||||||||||||
4,245 | AUD | 03/26/08 | 4 | # | 4 | # | — | (h) | ||||||||||||||
342,001 | CAD for | |||||||||||||||||||||
373,267 | AUD | 05/16/08 | 344 | # | 347 | # | 3 | |||||||||||||||
13,279 | CAD for | |||||||||||||||||||||
99,615 | ZAR | 03/26/08 | 13 | # | 13 | # | — | (h) | ||||||||||||||
994,813 | CHF | 05/16/08 | 905 | 955 | 50 | |||||||||||||||||
100,341 | CZK | 05/16/08 | 6 | 6 | — | (h) | ||||||||||||||||
12,620 | EUR | 03/26/08 | 19 | 19 | — | (h) | ||||||||||||||||
263,884 | EUR | 05/16/08 | 388 | 400 | 12 | |||||||||||||||||
7,399 | EUR for | |||||||||||||||||||||
5,524 | GBP | 03/26/08 | 11 | # | 11 | # | — | (h) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
CONTRACTS TO BUY | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
175,898 | EUR for | |||||||||||||||||||||
132,983 | GBP | 05/16/08 | 263 | # | 266 | # | 3 | |||||||||||||||
20,472 | EUR for | |||||||||||||||||||||
5,497,645 | HUF | 05/16/08 | 31 | # | 31 | # | — | (h) | ||||||||||||||
11,891 | EUR for | |||||||||||||||||||||
1,189,621 | ISK | 05/16/08 | 18 | # | 18 | # | — | (h) | ||||||||||||||
20,223 | EUR for | |||||||||||||||||||||
74,779 | RON | 05/16/08 | 30 | # | 31 | # | 1 | |||||||||||||||
206,052 | EUR for | |||||||||||||||||||||
1,919,632 | SEK | 05/16/08 | 310 | # | 312 | # | 2 | |||||||||||||||
11,897 | GBP | 03/26/08 | 23 | 24 | 1 | |||||||||||||||||
422,456 | GBP | 05/16/08 | 825 | 835 | 10 | |||||||||||||||||
6,332 | GBP for | |||||||||||||||||||||
8,431 | EUR | 03/26/08 | 13 | # | 13 | # | — | (h) | ||||||||||||||
129,420 | GBP for | |||||||||||||||||||||
171,298 | EUR | 05/16/08 | 259 | # | 256 | # | (3 | ) | ||||||||||||||
16,815,824 | HUF | 05/16/08 | 92 | 95 | 3 | |||||||||||||||||
20,989 | ILS | 05/16/08 | 6 | 6 | — | (h) | ||||||||||||||||
3,533,933 | ISK | 05/16/08 | 51 | 52 | 1 | |||||||||||||||||
1,523,592 | ISK for | |||||||||||||||||||||
15,186 | EUR | 05/16/08 | 23 | # | 23 | # | — | (h) | ||||||||||||||
46,357,236 | JPY | 05/16/08 | 433 | 448 | 15 | |||||||||||||||||
27,409,107 | JPY for | |||||||||||||||||||||
133,421 | GBP | 05/16/08 | 264 | # | 265 | # | 1 | |||||||||||||||
2,675,162 | MXN | 05/16/08 | 247 | 248 | 1 | |||||||||||||||||
4,011,455 | NOK | 05/16/08 | 731 | 765 | 34 | |||||||||||||||||
1,835,604 | NOK for | |||||||||||||||||||||
345,203 | CAD | 05/16/08 | 350 | # | 350 | # | — | (h) | ||||||||||||||
312,105 | NZD | 05/16/08 | 248 | 247 | (1 | ) | ||||||||||||||||
442,909 | PLN | 03/26/08 | 183 | 190 | 7 | |||||||||||||||||
36,743 | PLN for | |||||||||||||||||||||
10,218 | EUR | 05/16/08 | 15 | # | 16 | # | 1 | |||||||||||||||
66,627 | RON | 05/16/08 | 26 | 27 | 1 | |||||||||||||||||
150,706 | RON for | |||||||||||||||||||||
40,790 | EUR | 05/16/08 | 62 | # | 60 | # | (2 | ) | ||||||||||||||
4,963,495 | SEK | 05/16/08 | 774 | 802 | 28 | |||||||||||||||||
21,465 | SEK for | |||||||||||||||||||||
368,401 | JPY | 03/26/08 | 4 | # | 3 | # | (1 | ) | ||||||||||||||
81,878 | SGD | 05/16/08 | 58 | 59 | 1 | |||||||||||||||||
525,121 | SKK | 05/16/08 | 23 | 24 | 1 |
CONTRACTS TO BUY | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
169,224 | SKK for | |||||||||||||||||||||
5,112 | EUR | 05/16/08 | 8 | # | 8 | # | — | (h) | ||||||||||||||
182,360 | TRY | 05/16/08 | 148 | 146 | (2 | ) | ||||||||||||||||
398,194 | ZAR | 03/26/08 | 58 | 51 | (7 | ) | ||||||||||||||||
138,852 | ZAR | 05/16/08 | 18 | 17 | (1 | ) | ||||||||||||||||
132,605 | ZAR for | |||||||||||||||||||||
12,682 | EUR | 03/26/08 | 19 | # | 17 | # | (2 | ) | ||||||||||||||
8,508 | 8,708 | 200 |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
12,918 | AUD | 03/26/08 | 11 | 12 | (1 | ) | ||||||||||||||||
57,783 | AUD | 05/16/08 | 52 | 53 | (1 | ) | ||||||||||||||||
33,311 | CAD | 03/26/08 | 33 | 34 | (1 | ) | ||||||||||||||||
504,949 | CAD | 05/16/08 | 504 | 512 | (8 | ) | ||||||||||||||||
40,000 | CHF | 03/26/08 | 36 | 38 | (2 | ) | ||||||||||||||||
702,885 | CHF | 05/16/08 | 638 | 675 | (37 | ) | ||||||||||||||||
308,716 | CZK | 05/16/08 | 18 | 19 | (1 | ) | ||||||||||||||||
107,561 | EUR | 03/26/08 | 157 | 163 | (6 | ) | ||||||||||||||||
1,688,226 | EUR | 05/16/08 | 2,458 | 2,557 | (99 | ) | ||||||||||||||||
50,225 | GBP | 03/26/08 | 102 | 100 | 2 | |||||||||||||||||
215,573 | GBP | 05/16/08 | 419 | 426 | (7 | ) | ||||||||||||||||
3,173,186 | HUF | 05/16/08 | 17 | 18 | (1 | ) | ||||||||||||||||
102,126 | ILS | 05/16/08 | 28 | 28 | — | (h) | ||||||||||||||||
3,161,005 | JPY | 03/26/08 | 29 | 30 | (1 | ) | ||||||||||||||||
43,807,879 | JPY | 05/16/08 | 409 | 424 | (15 | ) | ||||||||||||||||
431,351 | MXN | 05/16/08 | 40 | 40 | — | (h) | ||||||||||||||||
491,239 | NOK | 05/16/08 | 90 | 94 | (4 | ) | ||||||||||||||||
2,462 | NZD | 03/26/08 | 2 | 2 | — | (h) | ||||||||||||||||
1,022,571 | NZD | 05/16/08 | 792 | 808 | (16 | ) | ||||||||||||||||
510,355 | PLN | 03/26/08 | 209 | 219 | (10 | ) | ||||||||||||||||
14,308 | PLN | 05/16/08 | 6 | 6 | — | (h) | ||||||||||||||||
29,397 | RON | 05/16/08 | 12 | 12 | — | (h) | ||||||||||||||||
68,243 | SEK | 03/26/08 | 11 | 11 | — | (h) | ||||||||||||||||
589,635 | SEK | 05/16/08 | 92 | 95 | (3 | ) | ||||||||||||||||
412,068 | SGD | 05/16/08 | 292 | 296 | (4 | ) | ||||||||||||||||
2,270,983 | SKK | 05/16/08 | 100 | 106 | (6 | ) | ||||||||||||||||
35,807 | TRY | 05/16/08 | 29 | 29 | — | (h) | ||||||||||||||||
591,966 | ZAR | 03/26/08 | 81 | 75 | 6 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
160,565 | ZAR | 05/16/08 | 21 | 20 | 1 | |||||||||||||||||
6,688 | 6,902 | (214 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 2/29/08 of the currency being sold, and the value at 02/29/08 is the U.S. Dollar market value of the currency being purchased. |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
(1,190) | FNMA, 30 Year, Single Family, TBA, 5.00%, 03/25/38 | (1,172 | ) | |||||||
(2,955) | FNMA, 30 Year, Single Family, TBA, 6.00%, 03/25/38 | (3,019 | ) | |||||||
(425) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 | (439 | ) | |||||||
(Proceeds received of $4,689.) | (4,630 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.75 | 06/16/08 | 60 | (27 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 50 | (31 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 50 | (41 | ) | |||||||||||||
1 Year Eurodollar Mid-Curve, American Style | 95.75 | 03/14/08 | 3 | (15 | ) | |||||||||||||
1 Year Eurodollar Mid-Curve, American Style | 97.63 | 06/13/08 | 1 | (1 | ) | |||||||||||||
5 Year U.S. Treasury Note Futures, American Style | 113.50 | 03/20/08 | 10 | (12 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 114.50 | 05/23/08 | 32 | (118 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 116.50 | 05/23/08 | 139 | (339 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 120.00 | 05/23/08 | 32 | (31 | ) | |||||||||||||
(Premiums received of $387.) | (615 | ) |
COUNTERPARTY | | EXERCISE RATE(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 3.90% semi-annually* | 07/15/08 | 07/17/13 | 3,145 | (32 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3.73% semi-annually* | 07/23/08 | 07/25/13 | 4,495 | (62 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 7.20% semi-annually** | 04/21/08 | 04/22/09 | AUD 7,200 | (1 | ) | ||||||||||||||||
(Premiums received of $108.) | (95 | ) |
COUNTERPARTY | | EXERCISE RATE***(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 4.86% semi-annually | 02/17/09 | 02/19/19 | 1,522 | (125 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.80% semi-annually | 02/23/09 | 02/25/19 | 1,688 | (138 | ) | ||||||||||||||||
Royal Bank of Scotland | 3.56% semi-annually | 06/16/08 | 06/18/09 | 8,629 | (110 | ) | ||||||||||||||||
(Premiums received of $307.) | (373 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.25 | 06/16/08 | 60 | (12) | ||||||||||||||
5 Year U.S. Treasury Note Futures, American Style | 110.00 | 03/20/08 | 3 | — | ||||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 111.50 | 05/23/08 | 5 | (2) | ||||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.00 | 05/23/08 | 3 | (3) | ||||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.50 | 05/23/08 | 25 | (31) | ||||||||||||||
20 Year U.S. Treasury Bond Futures, American Style | 110.00 | 05/23/08 | 6 | (3) | ||||||||||||||
20 Year U.S. Treasury Bond Futures, American Style | 112.00 | 05/23/08 | 9 | (1) | ||||||||||||||
(Premiums received of $83.) | (52) |
COUNTERPARTY | | EXERCISE RATE****(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 7.67% quarterly | 04/21/08 | 04/22/09 | AUD 12,260 | (32 | ) | ||||||||||||||||
(Premiums received of $4.) |
* | The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** | The Fund would receive a floating rate based on 3-month AUD-BBR-BBSW, if exercised. |
*** | The Fund would pay/receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** | The Fund would pay a floating rate based on 3-month AUD-BBR-BBSW, if exercised. |
***** | European Style |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Bank of America | 5.55% semi-annually | 3 month LIBOR quarterly | 06/14/12 | 1,230 | (116 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.21% semi-annually | 11/29/12 | 2,285 | 113 | |||||||||||||||||
Barclays Bank plc | 4.44% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 580 | (17 | ) | ||||||||||||||||
Barclays Bank plc | Inflation-linked to GBP LIBOR annually | 3.54% annually | 10/04/32 | GBP 290 | (12 | ) | ||||||||||||||||
Barclays Bank plc | Inflation-linked to GBP LIBOR annually | 3.48% annually | 01/07/33 | GBP 340 | (18 | ) | ||||||||||||||||
Barclays Bank plc | 4.95% semi-annually | 3 month LIBOR quarterly | 11/29/37 | 645 | (16 | ) | ||||||||||||||||
BNP Paribas | 4.34% annually | 3 month STIBOR quarterly | 05/27/10 | SEK 23,700 | 5 | |||||||||||||||||
BNP Paribas | 6 month CAD-BA-CDOR semi-annually | 3.85% semi-annually | 01/26/11 | CAD 3,290 | 9 | |||||||||||||||||
BNP Paribas | 6 month CAD-BA-CDOR semi-annually | 3.85% semi-annually | 01/30/11 | CAD 2,400 | 6 | |||||||||||||||||
BNP Paribas | 6 month CAD-BA-CDOR semi-annually | 4.39% semi-annually | 01/11/12 | CAD 1,500 | 8 | |||||||||||||||||
BNP Paribas | 3 month JIBAR quarterly | 8.24% quarterly | 02/21/12 | ZAR 1,750 | (15 | ) | ||||||||||||||||
BNP Paribas | 4.18% annually | 6 month EURIBOR semi-annually | 02/23/12 | EUR 170 | (3 | ) | ||||||||||||||||
BNP Paribas | 3 month JIBAR quarterly | 8.40% quarterly | 02/28/12 | ZAR 2,070 | (17 | ) | ||||||||||||||||
BNP Paribas | 4.10% annually | 6 month EURIBOR semi-annually | 03/02/12 | EUR 200 | (8 | ) | ||||||||||||||||
BNP Paribas | 4.25% semi-annually | 6 month CAD-BA-CDOR semi-annually | 01/26/14 | CAD 1,400 | (8 | ) | ||||||||||||||||
BNP Paribas | 4.22% semi-annually | 6 month CAD-BA-CDOR semi-annually | 01/30/14 | CAD 1,030 | (4 | ) | ||||||||||||||||
BNP Paribas | 6 month CAD-BA-CDOR semi-annually | 4.28% semi-annually | 02/13/14 | CAD 1,600 | 9 | |||||||||||||||||
BNP Paribas | 4.55% semi-annually | 3 month CAD-BA-CDOR quarterly | 01/11/15 | CAD 1,280 | (8 | ) | ||||||||||||||||
BNP Paribas | 3 month STIBOR quarterly | 4.73% annually | 05/27/18 | SEK 5,600 | (2 | ) | ||||||||||||||||
BNP Paribas | 4.68% semi-annually | 6 month CAD-BA-CDOR semi-annually | 02/13/19 | CAD 900 | (9 | ) | ||||||||||||||||
BNP Paribas | 6 month CAD-BA-CDOR semi-annually | 4.76% semi-annually | 01/11/20 | CAD 360 | — | (h) | ||||||||||||||||
Citibank, N.A. | 0.83% at termination | 3 month TIBOR quarterly | 06/16/10 | JPY 997,700 | 13 | |||||||||||||||||
Citibank, N.A. | 4.43% semi-annually | 3 month LIBOR quarterly | 01/11/18 | 340 | — | (h) | ||||||||||||||||
Citibank, N.A. | 6 month TIBOR semi-annually | 1.63% semi-annually | 01/11/18 | JPY 32,470 | 1 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Credit Suisse International | 3.95% semi-annually | 3 month LIBOR quarterly | 01/13/12 | 1,490 | (5 | ) | ||||||||||||||||
Credit Suisse International | 3 month LIBOR quarterly | 4.51% semi-annually | 01/13/15 | 1,280 | 7 | |||||||||||||||||
Credit Suisse International | 4.96% semi-annually | 3 month LIBOR quarterly | 01/13/20 | 350 | (1 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 7.26% monthly | AUD-BBR-BBSW monthly | 05/07/08 | AUD 16,000 | 1 | |||||||||||||||||
Deutsche Bank AG, New York | 3.50% semi-annually | 3 month LIBOR quarterly | 08/31/12 | 4,270 | (35 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 9.50% quarterly | 3 month JIBAR quarterly | 11/12/12 | ZAR 6,030 | 21 | |||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 3.57% semi-annually | 04/30/13 | 1,760 | 11 | |||||||||||||||||
Deutsche Bank AG, New York | 5.23% semi-annually | 3 month LIBOR quarterly | 10/19/17 | 575 | (56 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 4.25% semi-annually | 3 month LIBOR quarterly | 04/30/18 | 972 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | Inflation-linked to AUD-BBR-BBSW annually | 3.14% annually | 08/11/21 | AUD 450 | (17 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 6 month BUBOR semi-annually | 7.02% annually | 10/03/09 | HUF 332,710 | (37 | ) | ||||||||||||||||
Goldman Sachs Capital Management | 9.82% quarterly | 3 month JIBAR quarterly | 11/28/12 | ZAR 5,100 | 9 | |||||||||||||||||
Goldman Sachs Capital Management | 9.90% quarterly | 3 month JIBAR quarterly | 12/04/12 | ZAR 16,990 | 21 | |||||||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 1,100 | (84 | ) | ||||||||||||||||
HSBC Bank, N.A. | 6.07% annually | 6 month WIBOR semi-annually | 02/21/10 | PLN 5,150 | 6 | |||||||||||||||||
HSBC Bank, N.A. | 4.77% annually | 6 month EURIBOR semi-annually | 07/27/17 | EUR 190 | (24 | ) | ||||||||||||||||
HSBC Bank, N.A. | 6 month WIBOR semi-annually | 5.60% annually | 07/27/17 | PLN 730 | 11 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 3.69% semi-annually | 08/31/12 | 3,993 | 62 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 4.20% semi-annually | 12/05/13 | 1,875 | 40 | |||||||||||||||||
Lehman Brothers Special Financing | 4.19% semi-annually | 3 month LIBOR quarterly | 02/15/15 | 1,713 | (32 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.38% semi-annually | 3 month LIBOR quarterly | 08/15/16 | 786 | (15 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.65% semi-annually | 3 month LIBOR quarterly | 12/05/18 | 1,056 | (15 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 6 month CAD-BA-CDOR semi-annually | 3.53% semi-annually | 02/19/10 | CAD 4,920 | 11 | |||||||||||||||||
Merrill Lynch Capital Services | 6 month CAD-BA-CDOR semi-annually | 3.69% semi-annually | 01/23/11 | CAD 3,260 | — | (h) | ||||||||||||||||
Merrill Lynch Capital Services | 4.04% semi-annually | 6 month CAD-BA-CDOR semi-annually | 02/19/13 | CAD 2,090 | (17 | ) | ||||||||||||||||
Merrill Lynch Capital Services | 4.11% semi-annually | 6 month CAD-BA-CDOR semi-annually | 01/23/14 | CAD 1,380 | (1 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 6 month WIBOR semi-annually | 5.99% annually | 06/18/09 | PLN 34,900 | (64 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 6 month GBP LIBOR semi-annually | 4.87% semi-annually | 03/20/10 | GBP 2,330 | 3 | |||||||||||||||||
Morgan Stanley Capital Services | 9.65% quarterly | 3 month JIBAR quarterly | 11/21/12 | ZAR 5,130 | 13 | |||||||||||||||||
Morgan Stanley Capital Services | 5.79% annually | 6 month WIBOR semi-annually | 06/18/17 | PLN 4,810 | 14 | |||||||||||||||||
Morgan Stanley Capital Services | 4.92% annually | 6 month EURIBOR semi-annually | 06/26/17 | EUR 190 | (21 | ) | ||||||||||||||||
Morgan Stanley Capital Services | 6 month WIBOR semi-annually | 5.68% annually | 06/26/17 | PLN 770 | 4 | |||||||||||||||||
Morgan Stanley Capital Services | 4.98% semi-annually | 6 month GBP LIBOR semi-annually | 03/20/18 | GBP 560 | 2 | |||||||||||||||||
Royal Bank of Scotland | 3 month STIBOR quarterly | 4.33% annually | 06/03/10 | SEK 22,800 | — | |||||||||||||||||
Royal Bank of Scotland | 5.51% annually | 6 month NIBOR semi-annually | 06/03/10 | NOK 19,500 | — | |||||||||||||||||
Royal Bank of Scotland | 5.51% semi-annually | 6 month GBP LIBOR semi-annually | 09/10/17 | GBP 570 | (21 | ) | ||||||||||||||||
Royal Bank of Scotland | 6 month GBP LIBOR semi-annually | 4.93% semi-annually | 09/10/37 | GBP 280 | (1 | ) | ||||||||||||||||
(297 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.8 | Bear Stearns Credit Products (y) [1] | Buy | 175 BPS semi-annually | 12/20/12 | 390 | 10 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [2] | Buy | 175 BPS semi-annually | 12/20/12 | 190 | 5 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [3] | Buy | 175 BPS semi-annually | 12/20/12 | 300 | 9 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [4] | Buy | 175 BPS semi-annually | 12/20/12 | 370 | 11 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.HY.9 | Lehman Brothers Special Financing [5] | Sell | 375 BPS quarterly | 12/20/12 | 190 | (22 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [6] | Sell | 375 BPS quarterly | 12/20/12 | 300 | (34 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [7] | Sell | 375 BPS quarterly | 12/20/12 | 370 | (43 | ) | |||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 341 BPS semi-annually | 07/20/17 | 100 | 14 | ||||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 397 BPS semi-annually | 08/20/17 | 30 | 3 | ||||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 175 BPS semi-annually | 08/20/08 | 300 | (5 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Buy | 300 BPS semi-annually | 08/20/12 | 60 | 8 | ||||||||||||||||||||
Petroleos De Venezuela, 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 265 BPS semi-annually | 05/20/12 | 220 | (24 | ) | |||||||||||||||||||
Petroleos De Venezuela, 5.50%, 04/12/37 | Barclays Bank plc | Sell | 397 BPS semi-annually | 10/20/12 | 310 | (21 | ) | |||||||||||||||||||
Petroleos De Venezuela, 5.50%, 04/12/37 | Union Bank of Switzerland AG | Sell | 398 BPS semi-annually | 10/20/12 | 160 | (11 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 341 BPS semi-annually | 07/20/17 | 100 | (16 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 407 BPS semi-annually | 08/20/17 | 30 | (4 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Bear Stearns Credit products (y) | Buy | 103 BPS semi-annually | 12/20/11 | 140 | 1 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 111 BPS semi-annually | 12/20/11 | 350 | 1 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 102 BPS semi-annually | 12/20/11 | 295 | 2 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Union Bank of Switzerland AG | Buy | 103 BPS semi-annually | 12/20/11 | 280 | 1 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 84 BPS semi-annually | 09/20/12 | 190 | (4 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 60 BPS semi-annually | 03/20/12 | 170 | (11 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 53.51 BPS semi-annually | 03/20/12 | 310 | (20 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 54.8 BPS semi-annually | 03/20/12 | 320 | (21 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 61 BPS semi-annually | 03/20/12 | 130 | (8 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 68 BPS semi-annually | 08/20/12 | 30 | (2 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 65.5 BPS semi-annually | 08/20/12 | 260 | (19 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 71 BPS semi-annually | 08/20/12 | 120 | (9 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 145 BPS semi-annually | 07/20/12 | 50 | 1 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 146 BPS semi-annually | 07/20/12 | 340 | 9 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Deutsche Bank AG, New York | Buy | 239 BPS semi-annually | 08/20/12 | 130 | (2 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 194 BPS semi-annually | 08/20/12 | 130 | 1 | ||||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 76 BPS semi-annually | 02/20/09 | 610 | (9 | ) | |||||||||||||||||||
Russian AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 72 BPS semi-annually | 03/20/09 | 60 | (1 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 31 BPS semi-annually | 02/20/09 | 610 | 2 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 30 BPS semi-annually | 03/20/09 | 60 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Barclays Bank plc | Buy | 77 BPS semi-annually | 10/20/10 | 1,000 | 7 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Lehman Brothers Special Financing | Sell | 54 BPS semi-annually | 03/20/11 | 960 | (15 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Bear Stearns Credit Products (y) | Sell | 45.5 BPS semi-annually | 12/20/11 | 280 | (7 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 52.5 BPS semi-annually | 12/20/11 | 700 | (17 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 45.5 BPS semi-annually | 12/20/11 | 590 | (16 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 46 BPS semi-annually | 12/20/11 | 560 | (15 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Barclays Bank plc | Sell | 86.5 BPS semi-annually | 09/20/12 | 570 | (8 | ) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 7.50%, 03/31/30 | Goldman Sachs Capital Management | Sell | 75 BPS semi-annually | 11/20/12 | 460 | (8 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Goldman Sachs Capital Management | Sell | 110 BPS semi-annually | 12/20/12 | 430 | (2 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Sell | 99 BPS semi-annually | 01/20/13 | 710 | (8 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Sell | 129 BPS semi-annually | 02/20/13 | 679 | 1 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Lehman Brothers Special Financing | Buy | 53 BPS semi-annually | 03/20/11 | 960 | 6 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 40 BPS semi-annually | 03/20/08 | 320 | — | (h) | |||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 64 BPS semi-annually | 05/20/12 | 140 | (12 | ) | |||||||||||||||||||
(302 | ) |
[1] | Premiums paid of $5. |
[2] | Premiums paid of $4. |
[3] | Premiums paid of $5. |
[4] | Premiums paid of $12. |
[5] | Premiums received of $15. |
[6] | Premiums received of $24. |
[7] | Premiums received of $37. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (b) | BA Covered Bond Issuer, 5.50%, 06/14/12 | 106.55 | 03/12/08 | 1,230 | 9 | |||||||||||||||||
Barclays Bank plc (b) | FHLB, 5.38%, 05/18/16 | 106.07 | 03/13/08 | 570 | 19 | |||||||||||||||||
BNP Paribas (a) | U.S. Treasury Note, 4.75%, 08/15/17 | 106.76 | 03/27/08 | 540 | (15 | ) | ||||||||||||||||
BNP Paribas (b) | U.S. Treasury Inflation Indexed Note, 2.63%, 07/15/17 | 110.43 | 03/27/08 | 490 | 17 | |||||||||||||||||
Citibank, N.A. (a) | U.S. Treasury Note, 4.25%, 11/15/17 | 103.20 | 03/14/08 | 3,000 | (77 | ) | ||||||||||||||||
Credit Suisse International (b) | FHLB, 5.38%, 05/18/16 | 106.80 | 03/13/08 | 1,080 | 27 | |||||||||||||||||
Credit Suisse International (b) | U.S. Treasury Inflation Indexed Note, 2.00%, 01/15/26 | 101.77 | 03/28/08 | 6,900 | 150 | |||||||||||||||||
Credit Suisse International (b) | U.S. Treasury Inflation Indexed Note, 3.88%, 04/15/29 | 134.08 | 03/28/08 | 5,405 | 157 | |||||||||||||||||
287 |
(a) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) | 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 | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | TransCredit Bank, 7.30%, 02/26/09 | 3 Month LIBOR + 20 BPS quarterly | Total Return on TransCredit Bank, 7.30%, 02/26/09 quarterly | 02/26/09 | RUB 2,600 | 4 | ||||||||||||||||||||
Morgan Stanley Capital Services | OGK/Rushydro’s 12/13/13 | 3 Month LIBOR + 20 BPS quarterly | Total Return on OGK/Rushydro’s 12/13/13 quarterly | 12/25/10 | RUB 14,320 | 31 | ||||||||||||||||||||
35 |
AS OF FEBRUARY 29, 2008
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 110.1% | |||||||||||
Asset-Backed Securities — 21.8% | |||||||||||
1,086 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) | 1,083 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
1,718 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 1,717 | |||||||||
1,136 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 1,136 | |||||||||
3,500 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 3.35%, 11/15/11 (m) | 3,355 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
3,630 | Series 2006-B, Class A3A, 5.45%, 02/15/11 (m) | 3,659 | |||||||||
10,564 | Series 2006-C, Class A3A, 5.07%, 07/15/11 (m) | 10,374 | |||||||||
13,750 | Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) | 13,405 | |||||||||
6,600 | Capital One Prime Auto Receivables Trust, Series 2006-2, Class A4, 4.94%, 07/15/12 (m) | 6,768 | |||||||||
5,600 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) | 5,245 | |||||||||
Citigroup Mortgage Loan Trust Inc, | |||||||||||
5,650 | Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 5,561 | |||||||||
10,250 | Series 2006-WFH2, Class A2A, FRN, 3.29%, 08/25/36 (m) | 9,199 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
3,125 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 3,107 | |||||||||
3,750 | Series 2006-3, Class 2A2, FRN, 3.31%, 06/25/36 (m) | 3,452 | |||||||||
9,000 | Series 2006-11, Class 1AF2, VAR, 6.02%, 09/25/46 (m) | 8,863 | |||||||||
5,450 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, FRN, 3.32%, 03/25/36 (m) | 4,824 | |||||||||
12,000 | Ford Credit Auto Owner Trust, Series 2006-C, Class A3, 5.16%, 11/15/10 (m) | 12,263 | |||||||||
9,612 | GS Auto Loan Trust, Series 2006-1, Class A3, 5.37%, 12/15/10 (m) | 9,733 | |||||||||
9,000 | GSAA Trust, Series 2006-11, Class 2A2, FRN, 3.30%, 07/25/36 (m) | 6,512 | |||||||||
2,100 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) | 1,905 | |||||||||
6,550 | Home Equity Asset Trust, Series 2006-3, Class2A3, FRN, 3.31%, 07/25/36 (m) | 5,645 | |||||||||
Household Automotive Trust, | |||||||||||
7,166 | Series 2006-2, Class A3, 5.61%, 08/17/11 (m) | 7,307 | |||||||||
6,959 | Series 2006-3, Class A3, 5.28%, 09/17/11 (m) | 7,051 | |||||||||
8,650 | HSI Asset Securitization Corp. Trust, Series OPT2, Class 2A3, FRN, 3.32%, 01/25/36 (m) | 7,190 | |||||||||
7,100 | Hyundai Auto Receivables Trust, Series 2006-B, Class A3, 5.11%, 04/15/11 (m) | 7,228 | |||||||||
K2 (USA) LLC, | |||||||||||
7,500 | 5.61%, 02/15/10 (f) (i) (s) (v) | 1,674 | |||||||||
1,000 | 5.62%, 02/15/10 (f) (i) (s) (v) | 223 | |||||||||
9,446 | 5.81%, 02/15/09 (f) (i) (s) (v) | 2,109 | |||||||||
16,200 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) | 4,860 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
4,000 | Series 2004-3, Class M1, FRN, 3.71%, 07/25/34 (m) | 3,510 | |||||||||
8,850 | Series 2006-2, Class 2A3, FRN, 3.32%, 03/25/36 (m) | 6,488 | |||||||||
4,500 | Series 2006-8, Class 2A3, FRN, 3.30%, 09/25/36 (m) | 3,021 | |||||||||
7,250 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 3.32%, 01/25/36 (m) | 6,649 | |||||||||
4,300 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) | 4,035 | |||||||||
1,115 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, 4.46%, 08/25/35 (m) | 1,104 | |||||||||
4,528 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 3.34%, 02/25/36 (m) | 4,056 | |||||||||
8,000 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 3.32%, 03/25/36 (m) | 7,049 | |||||||||
5,973 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 3.31%, 12/25/35 (m) | 5,777 | |||||||||
Sigma Finance Corp. (Cayman Islands), | |||||||||||
11,900 | FRN, 2.95%, 08/15/11 (f) (i) (s) | 9,085 | |||||||||
1,600 | FRN, 5.51%, 09/15/08 (e) (f) (i) (s) | 1,252 | |||||||||
7,855 | Triad Auto Receivables Owner Trust, Series 2006-C, Class A3, 5.26%, 11/14/11 (m) | 7,805 | |||||||||
6,500 | Volkswagen Auto Lease Trust, Series 2006-A, Class A3, 5.50%, 09/21/09 (m) | 6,567 | |||||||||
11,500 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A4, 5.08%, 04/20/12 (e) | 11,806 | |||||||||
Total Asset-Backed Securities (Cost $275,866) | 233,652 |
AS OF FEBRUARY 29, 2008 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Collateralized Mortgage Obligations — 8.9% | |||||||||||
Agency CMO — 4.6% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
6,944 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) | 494 | |||||||||
3,033 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 20 | |||||||||
3,816 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 318 | �� | ||||||||
2,395 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 45 | |||||||||
785 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 21 | |||||||||
19,323 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) | 1,430 | |||||||||
8,047 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) | 651 | |||||||||
8,680 | Series 2814, Class S, IF, IO, 3.98%, 10/15/30 (m) | 448 | |||||||||
10,840 | Series 2850, Class SM, IF, IO, 4.03%, 12/15/30 (m) | 643 | |||||||||
6,770 | Series 2852, Class IO, IO, 5.00%, 11/15/25 (m) | 453 | |||||||||
7,054 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) | 556 | |||||||||
7,198 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 326 | |||||||||
15,894 | Series 3126, Class BS, IF, IO, 4.08%, 02/15/36 (m) | 1,875 | |||||||||
2,113 | Federal Home Loan Mortgage Corp., STRIPS, Series 248, Class IO, IO, 5.50%, 07/15/37 (m) | 482 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
1,836 | Series 2003-3, Class HS, IF, IO, 4.52%, 09/25/16 (m) | 127 | |||||||||
9,657 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) | 575 | |||||||||
3,057 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 138 | |||||||||
8,665 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 8,879 | |||||||||
3,180 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 3,262 | |||||||||
15,335 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 15,719 | |||||||||
8,786 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 9,005 | |||||||||
32,866 | Series 2007-55, Class S, IF, IO, 3.62%, 06/25/37 (m) | 2,766 | |||||||||
Federal National Mortgage Association Interest, STRIPS, | |||||||||||
1,451 | Series 370, Class 2, IO, 6.00%, 05/25/36 (m) | 308 | |||||||||
2,983 | Series 372, Class 2, IO, 6.00%, 08/01/36 (m) | 631 | |||||||||
Government National Mortgage Association, | |||||||||||
15,642 | Series 2003-85, Class CS, IF, IO, 4.09%, 02/20/24 (m) | 626 | |||||||||
137 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 2 | |||||||||
5,292 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 92 | |||||||||
49,892 | |||||||||||
Non-Agency CMO — 4.3% | |||||||||||
2,791 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 2,813 | |||||||||
4,186 | Banc of America Funding Corp. , Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 4,233 | |||||||||
1,651 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) | 1,681 | |||||||||
13,403 | Countrywide Alternative Loan Trust, Series 2005-J14, Class A3, 5.50%, 12/25/35 (m) | 13,113 | |||||||||
7,249 | Countrywide Home Loan Mortgage Pass Through Trust , Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 7,340 | |||||||||
3,999 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 4,052 | |||||||||
5,526 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 5,599 | |||||||||
3,102 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 (m) | 3,089 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
2,372 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 2,361 | |||||||||
1,320 | Series 2004-F, Class A8, FRN, 4.73%, 06/25/34 | 1,332 | |||||||||
45,613 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $92,672) | 95,505 | ||||||||||
Commercial Mortgage-Backed Securities — 8.3% | |||||||||||
1,987 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%,11/10/41 (m) | 1,956 | |||||||||
CS First Boston Mortgage Securities Corp. , | |||||||||||
7,650 | Series 2001-CK6, Class A3, 6.39%,08/15/36 (m) | 7,811 | |||||||||
11,500 | Series 2001-CP4, Class A4, 6.18%,12/15/35 (m) | 11,670 | |||||||||
4,800 | Series 2002-CKN2, Class A3, 6.13%,04/15/37 (m) | 4,866 | |||||||||
6,200 | Series 2004-C3, Class A3, 4.30%,07/15/36 (m) | 6,116 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
4,500 | Series 2003-C1, Class A2, 3.29%,07/05/35 (m) | 4,400 | |||||||||
4,100 | Series 2005-GG3, Class A2, 4.31%,08/10/42 (m) | 4,032 | |||||||||
11,850 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%,08/10/38 (m) | 11,743 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Mortgage-Backed Securities — Continued | |||||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
439 | Series 2003-C1, Class A2, 3.32%,03/15/27 (m) | 434 | |||||||||
7,226 | Series 2003-C5, Class A2, 3.48%,07/15/27 (m) | 7,158 | |||||||||
2,300 | Series 2004-C2, Class A2, 3.25%,03/15/29 (m) | 2,257 | |||||||||
11,800 | Series 2004-C7, Class A2, 3.99%,10/15/29 (m) | 11,569 | |||||||||
6,129 | Morgan Stanley Capital I, Series 1998-HF2, Class A2, VAR, 6.48%, 11/15/30 (m) | 6,125 | |||||||||
9,152 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 9,062 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $90,283) | 89,199 | ||||||||||
Corporate Bonds — 31.1% | |||||||||||
Auto Components — 0.1% | |||||||||||
1,492 | Tenneco, Inc., 10.25%, 07/15/13 (m) | 1,583 | |||||||||
Automobiles — 0.3% | |||||||||||
3,000 | Daimler Finance North America LLC, 5.75%, 05/18/09 (m) | 3,052 | |||||||||
Beverages — 0.4% | |||||||||||
4,750 | Coca-Cola Enterprises, Inc., 4.25%, 09/15/10 (m) | 4,875 | |||||||||
Capital Markets — 2.8% | |||||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
5,700 | 4.55%, 06/23/10 (m) (y) | 5,614 | |||||||||
7,500 | 5.85%, 07/19/10 (m) (y) | 7,572 | |||||||||
9,350 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) | 6,986 | |||||||||
3,050 | Goldman Sachs Group, Inc., 5.30%, 02/14/12 (m) | 3,169 | |||||||||
2,500 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) | 1,875 | |||||||||
4,000 | Lehman Brothers Holdings, Inc., 7.88%, 08/15/10 (m) | 4,274 | |||||||||
29,490 | |||||||||||
Chemicals — 0.8% | |||||||||||
4,000 | Huntsman LLC, 11.50%, 07/15/12 (m) | 4,260 | |||||||||
3,860 | Nalco Co., 7.75%, 11/15/11 (m) | 3,899 | |||||||||
8,159 | |||||||||||
Commercial Banks — 12.4% | |||||||||||
6,900 | BAC Capital Trust XIV, 5.63%, 03/15/12 (m) (x) | 5,557 | |||||||||
3,350 | Citibank Korea, Inc. (South Korea), 4.68%, 06/18/13 | 3,362 | |||||||||
11,900 | Commonwealth Bank of Australia (Australia), 8.50%, 06/01/10 (m) | 13,225 | |||||||||
8,100 | DBS Bank Ltd. (Singapore), VAR, 5.12%, 05/16/17 (e) (m) | 7,658 | |||||||||
5,100 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) | 5,568 | |||||||||
2,050 | Deutsche Bank Capital Funding Trust I, 7.87%, 06/30/09 (e) (m) (x) | 2,119 | |||||||||
2,800 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 2,583 | |||||||||
1,700 | �� | Hana Bank (South Korea), 4.13%, 03/11/09 | 1,690 | ||||||||
11,800 | HSBC Capital Funding LP, (United Kingdom) 9.55%, 06/30/10 (e) (m) (x) | 12,832 | |||||||||
7,000 | ICICI Bank Ltd. (India), 5.75%, 11/16/10 (e) (m) | 7,020 | |||||||||
2,000 | KBC Bank Funding Trust III, 9.86%, 11/02/09 (e) (m) (x) | 2,174 | |||||||||
Landsbanki Islands HF (Iceland), | |||||||||||
2,750 | 6.10%, 08/25/11 (e) (m) | 2,695 | |||||||||
2,700 | FRN, 3.79%, 08/25/09 (e) (m) | 2,617 | |||||||||
9,000 | Mellon Capital IV, 6.24%, 06/20/12 (m) (x) | 7,488 | |||||||||
4,396 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) | 4,442 | |||||||||
13,250 | Mizuho Preferred Capital Co. LLC, 8.79%, 06/30/08 (e) (m) (x) | 13,389 | |||||||||
10,540 | Natexis Ambs Co. LLC, 8.44%, 06/30/08 (e) (m) (x) | 10,719 | |||||||||
11,550 | Royal Bank of Scotland Group plc, 9.12%, 03/31/10 (United Kingdom) (m) (x) | 12,575 | |||||||||
1,000 | SunTrust Preferred Capital I, 5.85%, 12/15/11 (m) (x) | 805 | |||||||||
2,000 | Unicredito Italiano Capital Trust II, 9.20%, 10/05/10 (e) (m) (x) | 2,185 | |||||||||
3,100 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) | 3,077 | |||||||||
9,100 | Wachovia Capital Trust III, 5.80%, 03/15/11 (x) | 7,166 | |||||||||
Woori Bank (South Korea), | |||||||||||
800 | 4.88%, 07/02/13 | 794 | |||||||||
1,430 | VAR, 5.75%, 03/13/14 (e) | 1,429 | |||||||||
133,169 | |||||||||||
Commercial Services & Supplies — 0.9% | |||||||||||
5,900 | Allied Waste North America, 6.50%, 11/15/10 (m) | 5,826 | |||||||||
3,980 | Corrections Corp. of America, 7.50%, 05/01/11 (m) | 4,060 | |||||||||
9,886 | |||||||||||
Consumer Finance — 1.4% | |||||||||||
4,000 | Ford Motor Credit Co., LLC, 7.38%, 10/28/09 (m) | 3,793 |
AS OF FEBRUARY 29, 2008 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Consumer Finance — Continued | |||||||||||
3,350 | GMAC LLC, 5.85%, 01/14/09 (m) | 3,233 | |||||||||
7,400 | International Lease Finance Corp., 5.35%, 03/01/12 (m) | 7,570 | |||||||||
14,596 | |||||||||||
Diversified Financial Services — 1.4% | |||||||||||
1,900 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) | 1,693 | |||||||||
5,100 | Premium Asset Trust, 4.13%, 03/12/09 (e) (m) | 4,653 | |||||||||
1,700 | Tokai Preferred Capital Co. LLC, 9.98%, 06/30/08 (e) (m) (x) | 1,723 | |||||||||
7,950 | ZFS Finance USA Trust I, VAR, 5.88%, 05/09/62 (e) | 7,493 | |||||||||
15,562 | |||||||||||
Diversified Telecommunication Services — 1.3% | |||||||||||
5,600 | Deutsche Telekom International Finance BV (Netherlands), 8.00%, 06/15/10 (m) | 6,090 | |||||||||
500 | Qwest Communications International, Inc., FRN, 6.56%, 02/15/09 (m) | 496 | |||||||||
2,500 | Qwest Corp., 7.88%, 09/01/11 (m) | 2,544 | |||||||||
4,650 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 (m) | 4,860 | |||||||||
13,990 | |||||||||||
Electric Utilities — 1.6% | |||||||||||
3,000 | Alabama Power Capital Trust VAR, 5.50%, 10/01/42 (m) | 3,084 | |||||||||
Appalachian Power Co., | |||||||||||
1,450 | 5.55%, 04/01/11 (m) | 1,504 | |||||||||
3,550 | 5.65%, 08/15/12 (m) | 3,736 | |||||||||
8,350 | MidAmerican Energy Co., 5.65%, 07/15/12 (m) | 8,881 | |||||||||
17,205 | |||||||||||
Food & Staples Retailing — 0.4% | |||||||||||
4,800 | CVS/Caremark Corp., 4.00%, 09/15/09 (m) | 4,827 | |||||||||
Food Products — 0.2% | |||||||||||
2,400 | Dean Holdings Co., 6.63%, 05/15/09 (m) | 2,376 | |||||||||
Hotels, Restaurants & Leisure — 0.4% | |||||||||||
4,015 | MGM Mirage, Inc., 6.00%, 10/01/09 (m) | 3,995 | |||||||||
Independent Power Producers & Energy Traders — 0.4% | |||||||||||
4,383 | AES Corp. (The), 9.50%, 06/01/09 (m) | 4,536 | |||||||||
Insurance — 0.5% | |||||||||||
4,378 | Allstate Corp. (The), 7.20%, 12/01/09 (m) | 4,649 | |||||||||
1,600 | Two-Rock Pass Through Trust (Bermuda), FRN, 4.04%, 12/31/49 (e) (i) (m) (x) | 320 | |||||||||
4,969 | |||||||||||
Media — 1.6% | |||||||||||
3,200 | Comcast Cable Communications, LLC 6.75%, 01/30/11 (m) | 3,384 | |||||||||
4,350 | Echostar DBS Corp., 5.75%, 10/01/08 (m) | 4,344 | |||||||||
9,100 | Time Warner, Inc., 5.50%, 11/15/11 (m) | 9,211 | |||||||||
16,939 | |||||||||||
Metals & Mining — 0.4% | |||||||||||
4,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) | 4,174 | |||||||||
Multi-Utilities — 0.2% | |||||||||||
2,000 | Dominion Resources, Inc., VAR, 6.30%, 09/30/66 (m) | 1,838 | |||||||||
Oil, Gas & Consumable Fuels — 2.4% | |||||||||||
1,750 | El Paso Corp., 7.75%, 06/15/10 (m) | 1,831 | |||||||||
11,045 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 11,469 | |||||||||
3,600 | Valero Energy Corp., 3.50%, 04/01/09 (m) | 3,605 | |||||||||
8,550 | XTO Energy, Inc., 5.90%, 08/01/12 | 9,186 | |||||||||
26,091 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||||||||
iStar Financial, Inc., | |||||||||||
6,138 | 4.88%, 01/15/09 (m) | 5,801 | |||||||||
1,450 | 5.38%, 04/15/10 (m) | 1,285 | |||||||||
7,086 | |||||||||||
Thrifts & Mortgage Finance — 0.5% | |||||||||||
4,000 | Washington Mutual Bank, FRN, 3.33%, 05/01/09 | 3,747 | |||||||||
2,000 | Washington Mutual Preferred Funding II, 6.90%, 06/15/12 (e) (x) | 1,300 | |||||||||
5,047 | |||||||||||
Total Corporate Bonds (Cost $344,524) | 333,445 | ||||||||||
Foreign Government Security — 0.3% | |||||||||||
3,170 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (Cost $3,293) | 3,234 | |||||||||
Mortgage Pass-Through Securities — 14.0% | |||||||||||
Federal National Mortgage Association, Various Pools, | |||||||||||
15 Year, Single Family, | |||||||||||
34,000 | TBA, 6.00%, 03/25/22 | 35,116 | |||||||||
20 Year, Single Family, | |||||||||||
87 | 7.00%, 9/01/15 – 06/01/17 (m) | 93 | |||||||||
30 Year, Single Family, | |||||||||||
3,700 | TBA, 5.00%, 04/25/37 | 3,636 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
108,500 | TBA, 6.00%, 04/25/37 – 03/25/38 | 110,774 | |||||||||
Total Mortgage Pass-Through Securities (Cost $149,504) | 149,619 | ||||||||||
U.S. Government Agency Securities — 10.3% | |||||||||||
44,650 | Federal Home Loan Mortgage Corp., 4.75%, 11/03/09 (m) | 46,436 | |||||||||
Federal National Mortgage Association, | |||||||||||
22,600 | 4.75%, 03/12/10 (m) | 23,652 | |||||||||
36,400 | 6.63%, 11/15/10 (m) | 40,109 | |||||||||
Total U.S. Government Agency Securities (Cost $106,433) | 110,197 | ||||||||||
U.S. Treasury Obligations — 15.4% | |||||||||||
8,412 | U.S. Treasury Inflation Indexed Bonds, 2.63%, 07/15/17 (m) | 9,598 | |||||||||
U.S. Treasury Notes, | |||||||||||
19,300 | 4.00%, 09/30/09 (m) | 20,021 | |||||||||
129,150 | 4.00%, 04/15/10 (m) | 135,436 | |||||||||
Total U.S. Treasury Obligations (Cost $157,513) | 165,055 | ||||||||||
Total Long-Term Investments (Cost $1,220,088) | 1,179,906 |
NUMBER OF CONTRACTS | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.1% | |||||||||||
Call Options Purchased — 0.2% | |||||||||||
179 | 90 Day Eurodollar Future, Expiring 06/16/08 @ $97.50, American Style | 134 | |||||||||
166 | 90 Day Eurodollar Future, Expiring 09/15/08 @ $97.50, American Style | 205 | |||||||||
166 | 90 Day Eurodollar Future, Expiring 12/15/08 @ $97.50, American Style | 245 | |||||||||
214 | 10 Year U.S. Treasury Note Future, Expiring 03/20/08 @ $118.00, American Style | 167 | |||||||||
53 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $116.00, American Style | 144 | |||||||||
79 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $118.00, American Style | 132 | |||||||||
1,127 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $119.50, American Style | 1,268 | |||||||||
Total Call Options Purchased | 2,295 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Interest Rate Caps & Floors — 0.1% | ||||||||||
80,550 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 43 | ||||||||
80,550 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 1,034 | ||||||||
Total Interest Rate Caps & Floors | 1,077 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps — 0.5% | ||||||||||
14,784 | Expiring 02/04/23. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring 02/04/23, European Style. Counterparty: Credit Suisse International (r) | 1,720 | ||||||||
14,112 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring 02/15/23, European Style. Counterparty: Barclays Bank plc (r) | 1,629 | ||||||||
13,960 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring 02/23/23, European Style. Counterparty: Barclays Bank plc (r) | 1,611 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 4,960 |
NUMBER OF CONTRACTS | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.3% | ||||||||||
179 | 90 Day Eurodollar Future, Expiring 06/16/08 @ $97.50, American Style | 72 | ||||||||
334 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $110.00, American Style | 68 | ||||||||
112 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $111.00, American Style | 33 | ||||||||
53 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $116.00, American Style | 77 |
NOTIONAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
34,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $97.56, European Style | 259 | ||||||||
40,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $99.34, European Style | 651 | ||||||||
51,000 | FNMA, 30 Year, TBA, 5.50%, Expiring 05/06/08 @ $98.00, European Style | 1,282 |
AS OF FEBRUARY 29, 2008 (continued)
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
10,286 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European Style. Counterparty: Barclays Bank plc (r) | 379 | ||||||||
15,759 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European Style. Counterparty: Lehman Brothers Special Financing (r) | 696 | ||||||||
Total Put Options Purchased | 3,517 | |||||||||
Total Options Purchased (Cost $9,932) | 11,849 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 3.3% | |||||||||||
Investment Company — 2.5% | |||||||||||
26,684 | JPMorgan Prime Money Market Fund, Institutional Fund (b) (m) (Cost $26,684) | 26,684 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation — 0.8% | ||||||||||
9,145 | U.S. Treasury Bill, 2.82%, 04/03/08 (k) (m) (n) (Cost $9,122) | 9,129 | ||||||||
Total Short-Term Investments (Cost $35,806) | 35,813 | |||||||||
Total Investments — 114.5% (Cost $1,265,826) | 1,227,568 | |||||||||
Liabilities in Excess of Other Assets — (14.5)% | (155,574 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,071,994 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
84 | 10 Year Australian Bond | March, 2008 | $ | 7,337 | $ | 2 | ||||||||||||
55 | 10 Year Swap | �� | March, 2008 | 6,289 | 316 | |||||||||||||
133 | Euro-Bobl | March, 2008 | 22,482 | 528 | ||||||||||||||
107 | Euro-Bund | March, 2008 | 19,015 | 266 | ||||||||||||||
501 | 10 Year U.S. Treasury Note | June, 2008 | 58,758 | 1,204 | ||||||||||||||
120 | Eurodollar | June, 2008 | 29,292 | 9 | ||||||||||||||
912 | 2 Year U.S. Treasury Note | June, 2008 | 196,009 | 1,003 | ||||||||||||||
122 | 3 Month Euro-Swiss Franc LIFFE | June, 2008 | 28,516 | — | (h) | |||||||||||||
255 | 5 Year U.S. Treasury Note | June, 2008 | 29,134 | 294 | ||||||||||||||
237 | 90 Day LIFFE | September, 2008 | 55,970 | 346 | ||||||||||||||
215 | 90 Day Sterling | December, 2008 | 50,940 | 178 | ||||||||||||||
1 | Eurodollar | December, 2008 | 244 | 1 | ||||||||||||||
526 | Euro EURIBOR | December, 2008 | 192,649 | 328 | ||||||||||||||
11 | Eurodollar | March, 2009 | 2,688 | 10 | ||||||||||||||
20 | Eurodollar | September, 2009 | 4,869 | (7 | ) | |||||||||||||
20 | Eurodollar | December, 2009 | 4,857 | (11 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(227) | 3 Year Australian Bond | March, 2008 | (19,744 | ) | 1 | |||||||||||||
(127) | 30 Day Federal Funds | April, 2008 | (51,688 | ) | (61 | ) | ||||||||||||
(1090) | 5 Year U.S. Treasury Note | June, 2008 | (124,533 | ) | (2,066 | ) | ||||||||||||
(522) | 10 Year U.S. Treasury Note | June, 2008 | (61,221 | ) | (989 | ) |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(47) | Eurodollar | June, 2008 | $ | (11,473 | ) | $ | (181 | ) | ||||||||||
(71) | U.K. Treasury Gilt | June, 2008 | (15,563 | ) | (260 | ) | ||||||||||||
(42) | Eurodollar | September, 2008 | (10,267 | ) | (162 | ) | ||||||||||||
(34) | Eurodollar | December, 2008 | (8,312 | ) | (127 | ) | ||||||||||||
(154) | Eurodollar | June, 2009 | (37,570 | ) | (98 | ) | ||||||||||||
(34) | Eurodollar | March, 2009 | (8,307 | ) | (122 | ) | ||||||||||||
$ | 402 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$ (500) | FNMA, 30 Year, Single Family, TBA, 5.00%, 03/25/38 | $ | (492 | ) | ||||||
(143,570) | FNMA, 30 Year, Single Family, TBA, 5.50%, 03/25/38 | (144,378 | ) | |||||||
(6,530) | FNMA, 30 Year, Single Family, TBA, 5.50%, 04/25/38 | (6,554 | ) | |||||||
(25,225) | FNMA, 30 Year, Single Family, TBA, 6.50%, 03/25/38 | (26,139 | ) | |||||||
(21,775) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 | (22,517 | ) | |||||||
(3,000) | FNMA, 30 Year, Single Family, TBA, 7.00%, 03/25/38 | (3,157 | ) | |||||||
(Proceeds received of $205,179.) | $ | (203,237 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 97.75 | 06/16/08 | 478 | $ | (212 | ) | |||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 332 | (203 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 332 | (276 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 114.50 | 05/23/08 | 213 | (789 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 116.50 | 05/23/08 | 892 | (2,174 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 120.00 | 05/23/08 | 214 | (211 | ) | |||||||||||||
(Premiums received of $2,525.) | $ | (3,865 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year, TBA, 5.50%, European Style | $ | 99.66 | 05/06/08 | $ | 102,000 | $ | (1,311 | ) | ||||||||||
(Premiums received of $797.) |
COUNTERPARTY | | EXERCISE RATE*(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 4.86% semi-annually | 02/17/09 | 02/19/19 | $ | 9,397 | $ | (774 | ) | ||||||||||||||
Lehman Brothers Special Financing | 4.80% semi-annually | 02/23/09 | 02/25/19 | 10,174 | (832 | ) | ||||||||||||||||
Royal Bank of Scotland | 3.56% semi-annually | 06/16/08 | 06/18/09 | 66,453 | (844 | ) | ||||||||||||||||
(Premiums received of $1,962.) | $ | (2,450 | ) |
AS OF FEBRUARY 29, 2008 (continued)
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 97.25 | 06/16/08 | 478 | $ | (93 | ) | |||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.00 | 05/23/08 | 6 | (6 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 115.50 | 05/23/08 | 167 | (209 | ) | |||||||||||||
(Premiums received of $472.) | $ | (308 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year, TBA, 5.00%, European Style | $ | 95.72 | 04/07/08 | $ | 68,000 | $ | (195 | ) | ||||||||||
FNMA, 30 Year, TBA, 5.00%, European Style | 97.69 | 04/07/08 | 80,000 | (648 | ) | |||||||||||||
(Premiums received of $871.) | $ | (843 | ) |
COUNTERPARTY | | EXERCISE RATE**(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 3.90% semi-annually | 07/15/08 | 07/17/13 | $ | 28,155 | $ | (290 | ) | ||||||||||||||
Lehman Brothers Special Financing | 3.73% semi-annually | 07/23/08 | 07/25/13 | 41,746 | (574 | ) | ||||||||||||||||
(Premiums received of $858.) | $ | (864 | ) |
* | The Fund would pay/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. |
*** | European Style |
RATE TYPE(r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.21% semi-annually | 11/29/12 | $ | 19,825 | $ | 982 | |||||||||||||||
Barclays Bank plc | 4.95% semi-annually | 3 month LIBOR quarterly | 11/29/37 | 5,625 | (138 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3.50% semi-annually | 3 month LIBOR quarterly | 08/31/12 | 28,470 | (237 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.23% semi-annually | 3 month LIBOR quarterly | 06/22/17 | 1,510 | (126 | ) | ||||||||||||||||
Union Bank of Switzerland AG | 5.69% semi-annually | 3 month LIBOR quarterly | 06/22/17 | 2,885 | (346 | ) | ||||||||||||||||
$ | 135 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE(r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ambac Financial Group, Inc., 9.38%, 08/01/11 | Deutsche Bank AG, New York | Sell | 105 BPS quarterly | 09/20/08 | $ | 20,650 | $ | (583 | ) | |||||||||||||||||
ArcelorMittal, 9.75%, 04/01/14 | Morgan Stanley Capital Services | Sell | 17 BPS quarterly | 06/20/08 | 9,400 | (22 | ) | |||||||||||||||||||
Banca Italease S.p.A., 4.66%, 10/15/09 | Deutsche Bank AG, New York | Sell | 85 BPS quarterly | 06/20/08 | 18,600 | (205 | ) | |||||||||||||||||||
Berkshire Hathaway, Inc., 9.75%, 01/15/08 | Deutsche Bank AG, New York | Sell | 20 BPS quarterly | 03/20/10 | 6,000 | (68 | ) | |||||||||||||||||||
CDX.NA.IG.9 | Goldman Sachs Capital Management [1] | Buy | 60 BPS quarterly | 12/20/12 | 71,100 | 3,118 | ||||||||||||||||||||
Corning, Inc., 6.30%, 03/01/09 | Goldman Sachs Capital Management | Sell | 43 BPS quarterly | 06/20/11 | 2,000 | (13 | ) | |||||||||||||||||||
Countrywide Financial Corp., 0.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 500 BPS quarterly | 09/20/08 | 9,150 | (19 | ) | |||||||||||||||||||
FHLMC, 5.08%, 02/07/19 | Deutsche Bank AG, New York | Sell | 3 BPS quarterly | 06/20/08 | 51,600 | (67 | ) | |||||||||||||||||||
Gannett Co., Inc., 6.38%, 04/01/12 | Lehman Brothers Special Financing | Buy | 63 BPS quarterly | 03/20/14 | 4,950 | 341 | ||||||||||||||||||||
Gannett Co., Inc., 6.38%, 04/01/12 | Merrill Lynch International | Buy | 63 BPS quarterly | 06/20/17 | 3,200 | 318 | ||||||||||||||||||||
Hess Corp., 6.65%, 08/15/11 | Morgan Stanley Capital Services | Sell | 20 BPS quarterly | 06/20/08 | 12,600 | (12 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE(r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ICICI Bank Ltd., 5.75%, 11/16/10 | Deutsche Bank AG, New York | Sell | 26 BPS quarterly | 03/20/08 | $ | 7,600 | $ | (2 | ) | |||||||||||||||||
Marsh & McLennan Co., Inc. 5.38%, 07/15/14 | Merrill Lynch International | Buy | 101 BPS quarterly | 09/20/14 | 4,000 | 15 | ||||||||||||||||||||
Residential Capital Corp., 6.50%, 04/17/13 | Lehman Brothers Special Financing | Sell | 775 BPS quarterly | 03/20/08 | 10,000 | (85 | ) | |||||||||||||||||||
Southwest Airlines Co., 6.50%, 03/01/12 | Goldman Sachs Capital Management | Buy | 69 BPS quarterly | 06/20/14 | 6,500 | 263 | ||||||||||||||||||||
$ | 2,979 |
[1] | Premiums received of $160. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (b) | Northern Rock plc, 5.63%, 06/22/17 | $ | 102.58 | 03/19/08 | $ | 4,395 | $ | 4 | ||||||||||||||
BNP Paribas (a) | U.S. Treasury Note, 4.38%, 08/15/12 | 107.23 | 03/06/08 | 57,000 | (754 | ) | ||||||||||||||||
BNP Paribas (a) | U.S. Treasury Note, 3.63%, 12/31/12 | 102.82 | 04/07/08 | 24,900 | (552 | ) | ||||||||||||||||
BNP Paribas (b) | U.S. Treasury Note, 2.13%, 01/31/10 | 99.98 | 04/07/08 | 62,800 | 627 | |||||||||||||||||
Citibank, N.A. (a) | FNMA, 30 Year, TBA, 6.50% | 103.22 | 04/07/08 | 104,000 | (158 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 5.00% | 99.21 | 03/05/08 | 18,700 | (140 | ) | ||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 5.50% | 100.15 | 04/07/08 | 4,000 | — | |||||||||||||||||
Citibank, N.A. (b) | FNMA, 30 Year, TBA, 6.00% | 100.84 | 04/07/08 | 74,500 | 825 | |||||||||||||||||
Credit Suisse International (b) | U.S. Treasury Note, 3.13%, 11/30/09 | 101.04 | 03/03/08 | 164,350 | 2,522 | |||||||||||||||||
Credit Suisse International (b) | U.S. Treasury Note, 3.13%, 11/30/09 | 101.74 | 03/03/08 | 72,900 | 603 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 5.00% | 99.45 | 03/05/08 | 25,600 | 258 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 5.00% | 100.00 | 03/05/08 | 26,700 | 424 | |||||||||||||||||
Deutsche Bank AG, New York (a) | FNMA, 30 Year, TBA, 6.00% | 102.38 | 03/05/08 | 34,100 | 80 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 4.50% | 94.84 | 03/05/08 | 30,000 | 225 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.00% | 97.75 | 03/05/08 | 58,500 | (402 | ) | ||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 6.00% | 100.47 | 04/07/08 | 66,000 | 954 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.50% | 99.81 | 04/07/08 | 2,900 | 16 | |||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 6.50% | 103.31 | 04/07/08 | 239,200 | — | |||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 6.00% | 100.66 | 03/05/08 | 20,000 | (297 | ) | ||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 30 Year, TBA, 6.50% | 103.69 | 03/05/08 | 173,800 | 163 | |||||||||||||||||
Lehman Brothers Special Financing (a) | FNMA, 15 Year, TBA, 6.00% | 103.28 | 03/11/08 | 34,000 | 5 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 98.34 | 03/05/08 | 40,000 | 890 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 98.38 | 03/05/08 | 46,000 | 1,009 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.50% | 101.22 | 03/05/08 | 97,500 | (632 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.00% | 100.73 | 03/05/08 | 27,000 | 381 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 6.00% | 102.47 | 03/05/08 | 67,600 | (222 | ) | ||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 4.50% | 94.63 | 04/07/08 | 30,000 | 238 | |||||||||||||||||
Lehman Brothers Special Financing (b) | FNMA, 30 Year, TBA, 5.00% | 97.94 | 04/07/08 | 2,700 | — | |||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 30 Year, TBA, 6.50% | 103.63 | 03/05/08 | 7,500 | 2 | |||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 30 Year, TBA, 5.00% | 97.63 | 04/07/08 | 46,000 | (288 | ) | ||||||||||||||||
Morgan Stanley Capital Services (a) | FNMA, 30 Year, TBA, 5.50% | 100.28 | 04/07/08 | 90,000 | — | |||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 6.00% | 101.38 | 03/05/08 | 45,000 | 343 | |||||||||||||||||
Morgan Stanley Capital Services (b) | FNMA, 30 Year, TBA, 6.00% | 102.31 | 03/05/08 | 30,000 | (51 | ) | ||||||||||||||||
Union Bank of Switzerland AG (a) | FNMA, 30 Year, TBA, 5.00% | 99.81 | 03/05/08 | 31,000 | 426 | |||||||||||||||||
Union Bank of Switzerland AG (a) | FNMA, 30 Year, TBA, 5.50% | 99.56 | 03/05/08 | 22,000 | (222 | ) | ||||||||||||||||
Union Bank of Switzerland AG (a) | FNMA, 30 Year, TBA, 6.00% | 102.38 | 03/05/08 | 33,200 | 78 | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 4.50% | 95.22 | 04/07/08 | 28,000 | — | |||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 30 Year, TBA, 6.50% | 103.13 | 04/07/08 | 37,000 | 91 | |||||||||||||||||
$ | 6,446 |
(a) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) | 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 29, 2008
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 91.8% | |||||||||||
Asset-Backed Securities — 19.0% | |||||||||||
642 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) | 640 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
889 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) | 889 | |||||||||
609 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) | 609 | |||||||||
2,650 | Capital One Auto Finance Trust, Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) | 2,584 | |||||||||
1,700 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) | 1,592 | |||||||||
3,050 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 3,002 | |||||||||
2,551 | Countrywide Asset Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 2,536 | |||||||||
4,550 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF4, Class A2, FRN, 3.32%, 03/25/36 (m) | 4,027 | |||||||||
3,350 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 3.31%, 02/25/36 (m) | 3,030 | |||||||||
500 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) | 454 | |||||||||
3,200 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 3.31%, 07/25/36 (m) | 2,758 | |||||||||
4,419 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 3.32%, 01/25/36 (m) | 3,673 | |||||||||
4,000 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/09 (f) (i) (s) (v) | 893 | |||||||||
3,800 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) | 1,140 | |||||||||
4,250 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, FRN, 3.32%, 03/25/36 (m) | 3,116 | |||||||||
3,550 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 3.32%, 01/25/36 (m) | 3,255 | |||||||||
2,100 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) | 1,970 | |||||||||
555 | Nationstar NIM Trust (Cayman Islands), Series 2007-C, Class A, 8.00%, 06/25/37 (e) (i) | 333 | |||||||||
699 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 692 | |||||||||
2,191 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 3.34%, 02/25/36 (m) | 1,963 | |||||||||
3,850 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 3.32%, 03/25/36 (m) | 3,393 | |||||||||
2,865 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 3.31%, 12/25/35 | 2,771 | |||||||||
2,900 | Sigma Finance Corp. (Cayman Islands), FRN, 2.95%, 08/15/11 (f) (i) (s) | 2,214 | |||||||||
Total Asset-Backed Securities (Cost $58,868) | 47,534 | ||||||||||
Collateralized Mortgage Obligations — 10.8% | |||||||||||
Agency CMO — 5.7% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
3,739 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) | 266 | |||||||||
2,114 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) | 14 | |||||||||
2,146 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) | 179 | |||||||||
1,175 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 31 | |||||||||
10,869 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) | 804 | |||||||||
12,088 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) | 978 | |||||||||
16,260 | Series 2850, Class SM, IF, IO, 4.03%, 12/15/30 (m) | 964 | |||||||||
3,817 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) | 301 | |||||||||
3,085 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) | 140 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
2,754 | Series 2003-3, Class HS, IF, IO, 4.52%, 09/25/16 (m) | 191 | |||||||||
3,519 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) | 210 | |||||||||
4,586 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) | 207 | |||||||||
2,623 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 2,687 | |||||||||
4,313 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 4,421 | |||||||||
2,779 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 2,849 | |||||||||
Government National Mortgage Association, | |||||||||||
9 | Series 2002-24, Class FA, FRN, 3.62%, 04/16/32 (m) | 9 | |||||||||
209 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 2 | |||||||||
1,333 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 23 | |||||||||
14,276 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — 5.1% | |||||||||||
1,645 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 1,658 | |||||||||
3,549 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 3,594 | |||||||||
1,341 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 (m) | 1,230 | |||||||||
2,865 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 2,903 | |||||||||
1,852 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 | 1,844 | |||||||||
1,455 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 | 1,448 | |||||||||
12,677 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $26,245) | 26,953 | ||||||||||
Commercial Mortgage-Backed Securities — 12.1% | |||||||||||
1,114 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,097 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
1,800 | Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) | 1,838 | |||||||||
2,300 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 2,334 | |||||||||
3,700 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 3,650 | |||||||||
1,350 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.29%, 07/05/35 (m) | 1,320 | |||||||||
2,000 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) | 1,982 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
268 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 265 | |||||||||
3,679 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) | 3,644 | |||||||||
3,400 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) | 3,337 | |||||||||
5,200 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) | 5,098 | |||||||||
3,717 | Morgan Stanley Capital I, Series 1998-HF2, Class A2, VAR, 6.48%, 11/15/30 (m) | 3,714 | |||||||||
1,940 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 1,921 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $30,998) | 30,200 | ||||||||||
Corporate Bonds — 32.1% | |||||||||||
Automobiles — 0.5% | |||||||||||
1,300 | Daimler Finance North America LLC, 5.75%, 05/18/09 (m) | 1,322 | |||||||||
Beverages — 1.1% | |||||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.25%, 09/15/10 (m) | 1,077 | |||||||||
1,600 | Miller Brewing Co., 4.25%, 08/15/08 (e) (m) | 1,606 | |||||||||
2,683 | |||||||||||
Capital Markets — 2.8% | |||||||||||
Bear Stearns Cos., Inc. (The), | |||||||||||
1,500 | 4.55%, 06/23/10 (m) (y) | 1,478 | |||||||||
850 | 5.85%, 07/19/10 (m) (y) | 858 | |||||||||
1,800 | Goldman Sachs Capital II, 5.79%, 06/01/12, (m) (x) | 1,345 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.30%, 02/14/12 (m) | 623 | |||||||||
500 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) | 375 | |||||||||
2,350 | Morgan Stanley, 4.25%, 05/15/10 (m) | 2,364 | |||||||||
7,043 | |||||||||||
Commercial Banks — 11.9% | |||||||||||
1,600 | BAC Capital Trust XIV, 5.63%, 03/15/12 (m) (x) | 1,289 | |||||||||
1,500 | DBS Bank Ltd. (Singapore), VAR, 5.12%, 05/16/17 (e) (m) | 1,418 | |||||||||
1,400 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) | 1,528 | |||||||||
1,150 | Deutsche Bank Capital Funding Trust I, 7.87%, 06/30/09 (e) (m) (x) | 1,189 | |||||||||
900 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) | 830 | |||||||||
1,000 | Hana Bank (South Korea), 4.13%, 03/11/09 | 994 | |||||||||
2,300 | HSBC Capital Funding LP, 9.55%, 06/30/10 (e) (m) (x) | 2,501 | |||||||||
1,350 | ICICI Bank Ltd. (India), 5.75%, 11/16/10 (e) (m) | 1,354 | |||||||||
Landsbanki Islands HF (Iceland), | |||||||||||
850 | 6.10%, 08/25/11 (e) (m) | 833 | |||||||||
1,000 | FRN, 3.79%, 08/25/09 (e) (m) | 969 | |||||||||
1,550 | Mellon Capital IV, 6.24%, 06/20/12 (m) (x) | 1,290 | |||||||||
3,800 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) | 3,840 | |||||||||
6,050 | Natexis Ambs Co. LLC, 8.44%, 06/30/08 (e) (m) (x) | 6,153 | |||||||||
2,450 | Royal Bank of Scotland Group plc, 9.12%, 03/31/10 (United Kingdom) (m) (x) | 2,667 | |||||||||
1,950 | Wachovia Capital Trust III, 5.80%, 03/15/11 (x) | 1,536 |
AS OF FEBRUARY 29, 2008 (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
1,150 | Woori Bank (South Korea), VAR, 4.88%, 07/02/13 | 1,142 | |||||||||
29,533 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
1,700 | International Lease Finance Corp., 5.35%, 03/01/12 (m) | 1,739 | |||||||||
Diversified Financial Services — 1.9% | |||||||||||
3,000 | General Electric Capital Corp., 4.13%, 09/01/09 (m) | 3,055 | |||||||||
400 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) | 356 | |||||||||
1,500 | ZFS Finance USA Trust I, VAR, 5.88%, 05/09/32 (e) | 1,414 | |||||||||
4,825 | |||||||||||
Diversified Telecommunication Services — 0.8% | |||||||||||
1,900 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 | 1,986 | |||||||||
Electric Utilities — 1.7% | |||||||||||
1,400 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) | 1,439 | |||||||||
Appalachian Power Co., | |||||||||||
1,000 | 3.60%, 05/15/08 (m) | 1,000 | |||||||||
650 | 5.55%, 04/01/11 (m) | 674 | |||||||||
200 | 5.65%, 08/15/12 (m) | 211 | |||||||||
1,000 | PSEG Power LLC, 3.75%, 04/01/09 (m) | 1,002 | |||||||||
4,326 | |||||||||||
Food & Staples Retailing — 0.6% | |||||||||||
1,400 | CVS/Caremark Corp., 4.00%, 09/15/09 (m) | 1,408 | |||||||||
Food Products — 0.3% | |||||||||||
600 | Kraft Foods, Inc., 6.00%, 02/11/13 (m) | 632 | |||||||||
Insurance — 1.3% | |||||||||||
900 | Allstate Corp. (The), 7.20%, 12/01/09 (m) | 955 | |||||||||
2,150 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 2,185 | |||||||||
3,140 | |||||||||||
Media — 3.8% | |||||||||||
Comcast Cable Communications, Inc., | |||||||||||
1,200 | 6.20%, 11/15/08 (m) | 1,217 | |||||||||
1,000 | 6.75%, 01/30/11 (m) | 1,057 | |||||||||
2,850 | COX Communications, Inc., 4.63%, 01/15/10 (m) | 2,881 | |||||||||
1,800 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 (m) | 1,829 | |||||||||
2,500 | Time Warner, Inc., 5.50%, 11/15/11 | 2,530 | |||||||||
9,514 | |||||||||||
Metals & Mining — 0.5% | |||||||||||
1,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) | 1,262 | |||||||||
Multi-Utilities — 1.5% | |||||||||||
2,100 | Dominion Resources, Inc., SUB, 5.69%, 05/15/08 (m) | 2,108 | |||||||||
1,450 | Midamerican Energy Holdings Co., 5.65%, 07/15/12 (m) | 1,542 | |||||||||
3,650 | |||||||||||
Oil, Gas & Consumable Fuels — 1.7% | |||||||||||
2,645 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) | 2,746 | |||||||||
1,450 | XTO Energy, Inc., 5.90%, 08/01/12 | 1,558 | |||||||||
4,304 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.9% | |||||||||||
iStar Financial, Inc., | |||||||||||
1,750 | 4.88%, 01/15/09 (m) | 1,654 | |||||||||
800 | 5.38%, 04/15/10 (m) | 709 | |||||||||
2,363 | |||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||
400 | Washington Mutual Preferred Funding II, 6.90%, 06/15/12 (e) (x) | 260 | |||||||||
Total Corporate Bonds (Cost $81,883) | 79,990 | ||||||||||
Foreign Government Securities — 1.9% | |||||||||||
4,670 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (Cost $4,851) | 4,764 | |||||||||
Mortgage Pass-Through Securities — 7.8% | |||||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
11,732 | 6.00%, 08/01/22 (m) | 12,142 | |||||||||
30 Year, Single Family, | |||||||||||
7,000 | TBA, 6.50%, 04/25/38 | 7,239 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
8 | 8.50%, 08/15/30 (m) | 8 | |||||||||
Total Mortgage Pass-Through Securities (Cost $19,015) | 19,389 | ||||||||||
U.S. Government Agency Securities — 7.3% | |||||||||||
11,100 | Federal Home Loan Bank System, 5.38%, 07/17/09 (m) | 11,563 | |||||||||
6,100 | Federal National Mortgage Association, 6.63%, 11/15/10 (m) | 6,722 | |||||||||
Total U.S. Government Agency Securities (Cost $17,774) | 18,285 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
U.S. Treasury Obligations — 0.8% | |||||||||||
1,824 | U.S. Treasury Inflation Indexed Bonds, 2.63%, 07/15/17 (Cost $1,977) | 2,082 | |||||||||
Total Long-Term Investments (Cost $241,611) | 229,197 |
NUMBER OF CONTRACTS | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.8% | |||||||||||
Call Options Purchased — 0.2% | |||||||||||
40 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 30 | |||||||||
38 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style | 47 | |||||||||
38 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 56 | |||||||||
49 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style | 38 | |||||||||
12 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 33 | |||||||||
18 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style | 30 | |||||||||
257 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style | 289 | |||||||||
Total Call Options Purchased | 523 |
NOTIONAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Interest Rate Caps & Floors — 0.1% | ||||||||||
16,630 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 9 | ||||||||
16,630 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of Scotland | 213 | ||||||||
Total Interest Rate Caps & Floors | 222 |
NOTIONAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver/Payer Straddles on Interest Rate Swaps — 0.4% | ||||||||||
3,351 | Expiring 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring 02/04/23, European Style. Counterparty: Credit Suisse International (r) | 391 | ||||||||
3,154 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring 02/15/23, European Style. Counterparty: Barclays Bank plc (r) | 364 | ||||||||
3,181 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring 02/23/23, European Style. Counterparty: Barclays Bank plc (r) | 368 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps | 1,123 |
NUMBER OF CONTRACTS | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.1% | ||||||||||
40 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 16 | ||||||||
76 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style | 15 | ||||||||
25 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style | 7 | ||||||||
12 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style | 17 |
NOTIONAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
2,344 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly 3 month LIBOR expiring 07/17/38, European Style. Counterparty: Barclays Bank plc (r) | 86 | ||||||||
3,604 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly 3 month LIBOR expiring 07/25/38, European Style. Counterparty: Lehman Brothers Special Financing (r) | 159 | ||||||||
Total Put Options Purchased | 300 | |||||||||
Total Options Purchased (Cost $1,860) | 2,168 |
AS OF FEBRUARY 29, 2008 (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 10.2% | |||||||||||
Investment Company — 9.4% | |||||||||||
23,371 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $23,371) | 23,371 |
PRINCIPAL AMOUNT($) | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation — 0.8% | ||||||||||
U.S. Treasury Bill, 3.23%, 04/03/08 (k) (n) (Cost $1,990) | 1,991 | |||||||||
Total Short-Term Investments (Cost $25,361) | 25,362 |
PRINCIPAL AMOUNT($) | | | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Investments — 102.8% (Cost $268,832) | 256,727 | |||||||||
Liabilities in Excess of Other Assets — (2.8)% | (6,930 | ) | ||||||||
NET ASSETS — 100.0% | $ | 249,797 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 2/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
502 | 2 Year U.S. Treasury Note | June, 2008 | $ | 107,891 | $ | 781 | ||||||||||||
59 | 5 Year U.S. Treasury Note | June, 2008 | 6,741 | 68 | ||||||||||||||
164 | 10 Year U.S. Treasury Note | June, 2008 | 19,234 | 411 | ||||||||||||||
28 | Eurodollar | June, 2008 | 6,835 | 2 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(30) | 30 Day Federal Funds | April, 2008 | (12,210 | ) | (14 | ) | ||||||||||||
(325) | 5 Year U.S. Treasury Note | June, 2008 | (37,131 | ) | (595 | ) | ||||||||||||
(47) | 10 Year U.S. Treasury Note | June, 2008 | (5,512 | ) | (110 | ) | ||||||||||||
(17) | Eurodollar | June, 2008 | (4,150 | ) | (80 | ) | ||||||||||||
(16) | Eurodollar | September, 2008 | (3,911 | ) | (64 | ) | ||||||||||||
(5) | Eurodollar | December, 2008 | (1,222 | ) | (19 | ) | ||||||||||||
(6) | Eurodollar | March, 2009 | (1,466 | ) | (22 | ) | ||||||||||||
(34) | Eurodollar | June, 2009 | (8,295 | ) | (18 | ) | ||||||||||||
(6) | Eurodollar | September, 2009 | (1,461 | ) | (20 | ) | ||||||||||||
(6) | Eurodollar | December, 2009 | (1,457 | ) | (19 | ) | ||||||||||||
$ | 301 |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 97.75 | 06/16/08 | 108 | $ | (48 | ) | |||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 76 | (47 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 76 | (63 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 114.50 | 05/23/08 | 49 | (181 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 116.50 | 05/23/08 | 205 | (500 | ) | |||||||||||||
10 Year U.S. Treasury Note Futures, American Style | 120.00 | 05/23/08 | 49 | (48 | ) | |||||||||||||
(Premiums received of $579.) | $ | (887 | ) |
COUNTERPARTY | | EXERCISE RATE*(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 4.86% semi-annually | 02/17/09 | 02/19/19 | $ | 2,096 | $ | (173 | ) | ||||||||||||||
Lehman Brothers Special Financing | 4.80% semi-annually | 02/23/09 | 02/25/19 | 2,318 | (189 | ) | ||||||||||||||||
Royal Bank of Scotland | 3.56% semi-annually | 06/16/08 | 06/18/09 | 13,719 | (174 | ) | ||||||||||||||||
(Premiums received of $434.) | $ | (536 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 97.25 | 06/16/08 | 108 | $ | (21 | ) | |||||||||||
10 Year U.S. Treasury Note Future, American Style | 115.00 | 05/23/08 | 2 | (2 | ) | |||||||||||||
10 Year U.S. Treasury Note Future, American Style | 115.50 | 05/23/08 | 38 | (48 | ) | |||||||||||||
(Premiums received of $108.) | $ | (71 | ) |
COUNTERPARTY | | Exercise Rate**(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers Special Financing | 3.73% quarterly | 07/23/08 | 07/25/13 | $ | 9,547 | $ | (131 | ) | ||||||||||||||
Barclays Bank plc | 3.90% quarterly | 07/15/08 | 07/17/13 | 6,415 | (66 | ) | ||||||||||||||||
(Premiums received of $196.) | $ | (197 | ) |
* | The Fund would pay/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. |
*** | European Style |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.21% semi-annually | 11/29/12 | $ | 4,975 | $ | 246 | |||||||||||||||
Barclays Bank plc | 4.95% semi-annually | 3 month LIBOR quarterly | 11/29/37 | 1,410 | (35 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3.50% semi-annually | 3 month LIBOR quarterly | 08/31/12 | 6,525 | (54 | ) | ||||||||||||||||
$ | 157 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AES Corp., 8.75%, 06/15/08 | Goldman Sachs Capital Management | Sell | 95 BPS quarterly | 06/20/11 | $ | 3,000 | $ | (20 | ) | |||||||||||||||||
Ambac Financial Group, Inc., 9.38%, 08/01/11 | Deutsche Bank AG, New York | Sell | 105 BPS quarterly | 09/20/08 | 3,400 | (96 | ) | |||||||||||||||||||
ArcelorMittal, 9.75%, 04/01/14 | Morgan Stanley Capital Services | Sell | 17 BPS quarterly | 06/20/08 | 1,900 | (5 | ) | |||||||||||||||||||
Banca Italease S.p.A., 4.66%, 10/15/09 | Deutsche Bank AG, New York | Sell | 85 BPS quarterly | 06/20/08 | 3,100 | (34 | ) | |||||||||||||||||||
Berskshire Hathaway, Inc., 9.75%, 01/15/18 | Deutsche Bank AG, New York | Sell | 20 BPS quarterly | 03/20/10 | 8,800 | (101 | ) | |||||||||||||||||||
CDX.NA.IG.9 | Goldman Sachs Capital Management [1] | Buy | 60 BPS quarterly | 12/20/12 | 16,700 | 733 | ||||||||||||||||||||
Countrywide Financial Corp., 0.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 500 BPS quarterly | 09/20/08 | 1,600 | (3 | ) | |||||||||||||||||||
FHLMC, 5.08%, 02/07/19 | Deutsche Bank AG, New York | Sell | 3 BPS quarterly | 06/20/08 | 9,600 | (12 | ) | |||||||||||||||||||
Gannett Co., Inc., 6.38%, 04/01/12 | Lehman Brothers Special Financing | Buy | 63 BPS quarterly | 03/20/14 | 1,350 | 93 |
AS OF FEBRUARY 29, 2008 (continued)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Hess Corp., 6.65%, 08/15/11 | Morgan Stanley Capital Services | Sell | 20 BPS quarterly | 06/20/08 | $ | 2,500 | $ | (2 | ) | |||||||||||||||||
Marsh & McLennan Co., Inc., 5.38%, 07/15/14 | Merrill Lynch International | Buy | 101 BPS quarterly | 09/20/14 | 750 | 3 | ||||||||||||||||||||
Southwest Airlines, Co., 6.50%, 03/01/12 | Goldman Sachs Capital Management | Buy | 69 BPS quarterly | 06/20/14 | 1,100 | 44 | ||||||||||||||||||||
$ | 600 |
[1] | Premiums received of $25. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International (a) | U.S. Treasury Note, 4.50%, 02/28/11 | $ | 105.48 | 03/03/08 | $ | 27,300 | $ | 600 |
(a) | 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 29, 2008
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 108.3% | |||||||||||
Asset-Backed Securities — 3.6% | |||||||||||
65 | Carmax Auto Owner Trust, Series 2006-2, Class A3, 5.15%, 02/15/11 (m) | 66 | |||||||||
125 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) | 117 | |||||||||
250 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, FRN, 3.29%, 08/25/36 (m) | 224 | |||||||||
69 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 65 | |||||||||
65 | Lehman XS Trust, Series 2006-12N, Class A1A1, FRN, 3.22%, 08/25/46 (m) | 64 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
7 | Series 2003-4, Class A2, FRN, 3.45%, 07/25/33 (m) | 7 | |||||||||
2 | Series 2003-5, Class A2, FRN, 3.45%, 08/25/33 (m) | 2 | |||||||||
Residential Asset Securities Corp., | |||||||||||
1 | Series 2002-KS4, Class AIIB, FRN, 3.63%, 07/25/32 (m) | 1 | |||||||||
1 | Series 2003-KS5, Class AIIB, FRN, 3.71%, 07/25/33 (m) | 1 | |||||||||
2 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, FRN, 3.57%, 12/25/32 (m) | 2 | |||||||||
Total Asset-Backed Securities (Cost $586) | 549 | ||||||||||
Collateralized Mortgage Obligations — 8.4% | |||||||||||
Agency CMO — 1.8% | |||||||||||
54 | Federal Home Loan Mortgage Corp., REMICS, Series 2931, Class GA , 5.00%, 11/15/28 (m) | 55 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
33 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 34 | |||||||||
38 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 39 | |||||||||
32 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 33 | |||||||||
38 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 39 | |||||||||
38 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 39 | |||||||||
40 | Federal National Mortgage Association Whole Loan, Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 42 | |||||||||
281 | |||||||||||
Non-Agency CMO — 6.6% | |||||||||||
73 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) | 74 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
50 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) | 49 | |||||||||
60 | Series 2006-23CB, Class 2A1, 6.50%, 08/25/36 (m) | 58 | |||||||||
78 | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) | 78 | |||||||||
1,194 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.91%, 06/25/20 (e) (m) | — | (h) | ||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, HB, VAR, 66.77%, 07/28/27 (e) (i) | 1 | |||||||||
187 | Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, FRN, 3.33%, 11/19/36 (m) | 161 | |||||||||
74 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) | 75 | |||||||||
14 | MASTR Alternative Loans Trust, Series 2004-13, Class 10A1, 8.00%, 01/25/35 (m) | 14 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
33 | Series 2006-QS6, Class 1A2, 6.00%, 06/25/36 (m) | 33 | |||||||||
66 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 67 | |||||||||
79 | Series 2006-QS16, Class A7, 6.00%, 11/25/36 (m) | 77 | |||||||||
51 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 01/25/46 (m) | 51 | |||||||||
187 | Thornburg Mortgage Securities Trust, Series 2006-6, Class A1, FRN, 3.25%, 12/25/46 (m) | 177 | |||||||||
40 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1, 6.00%, 07/25/36 (m) | 41 | |||||||||
46 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR3, Class A1, FRN, 5.70%, 03/25/36 (m) | 46 | |||||||||
1,002 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,459) | 1,283 | ||||||||||
Commercial Mortgage-Backed Securities — 2.5% | |||||||||||
25 | Bear Stearns Commercial Mortgage Securities, Series 2004-PWR6, Class A4, 4.52%, 11/11/41 (m) (y) | 24 | |||||||||
148 | CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A3, 6.38%, 12/18/35 (m) | 151 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Mortgage-Backed Securities — Continued | |||||||||||
45 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4, 4.11%, 07/05/35 (m) | 42 | |||||||||
60 | LB-UBS Commercial Mortgage Trust, Series 2001-C2, Class A2, 6.65%, 11/15/27 (m) | 62 | |||||||||
94 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) (m) | 90 | |||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 19 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $391) | 388 | ||||||||||
Corporate Bonds — 31.2% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
25 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 24 | |||||||||
Auto Components — 0.2% | |||||||||||
1 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 (m) | 1 | |||||||||
20 | Tenneco, Inc., 8.63%, 11/15/14 (m) | 20 | |||||||||
15 | United Components, Inc., 9.38%, 06/15/13 (m) | 14 | |||||||||
35 | |||||||||||
Capital Markets — 0.6% | |||||||||||
35 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 34 | |||||||||
60 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) | 45 | |||||||||
15 | LVB Acquisition Merger Sub, Inc., PIK, 10.38%, 10/15/17 (e) (m) | 15 | |||||||||
94 | |||||||||||
Chemicals — 0.6% | |||||||||||
15 | Huntsman LLC, 11.50%, 07/15/12 (m) | 16 | |||||||||
20 | Ineos Group Holdings plc (United Kingdom), 8.50%, 02/15/16 (e) (m) | 15 | |||||||||
25 | Nalco Co., 7.75%, 11/15/11 (m) | 25 | |||||||||
30 | PolyOne Corp., 8.88%, 05/01/12 (m) | 30 | |||||||||
86 | |||||||||||
Commercial Banks — 6.5% | |||||||||||
160 | Barclays Bank plc (United Kingdom), 5.93%, 12/15/16 (e) (m) (x) | 146 | |||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) | 10 | |||||||||
40 | Credit Agricole S.A. (France), 6.64%, 05/31/17 (e) (m) (x) | 34 | |||||||||
40 | Deutsche Bank AG (Germany), 5.38%, 10/12/12 (m) | 42 | |||||||||
285 | Glitnir Banki HF (Iceland), FRN, 4.33%, 01/21/11 (e) (m) | 248 | |||||||||
100 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) (m) | 96 | |||||||||
100 | Royal Bank of Scotland Group plc (United Kingdom), 6.99%, 12/31/49 (e) (m) (x) | 96 | |||||||||
100 | Shinsei Finance II (Cayman Islands), 7.16%, 07/25/16 (e) (m) (x) | 75 | |||||||||
250 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) | 248 | |||||||||
995 | |||||||||||
Commercial Services & Supplies — 0.5% | |||||||||||
25 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 22 | |||||||||
25 | Allied Waste North America, Inc., 7.38%, 04/15/14 (m) | 24 | |||||||||
20 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 20 | |||||||||
25 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (d) (m) | 12 | |||||||||
78 | |||||||||||
Computers & Peripherals — 0.4% | |||||||||||
55 | Hewlett-Packard Co., 4.50%, 03/01/13 (m) | 56 | |||||||||
Consumer Finance — 1.4% | |||||||||||
Ford Motor Credit Co. LLC, | |||||||||||
10 | 7.25%, 10/25/11 (m) | 9 | |||||||||
55 | FRN, 5.83%, 01/15/10 (m) | 47 | |||||||||
55 | GMAC LLC, 6.88%, 08/28/12 (m) | 44 | |||||||||
125 | SLM Corp., FRN, 3.47%, 07/27/09 (m) | 112 | |||||||||
212 | |||||||||||
Containers & Packaging — 0.3% | |||||||||||
15 | Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15 (m) | 15 | |||||||||
20 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 21 | |||||||||
5 | Packaging Dynamics Finance Corp., 10.00%, 05/01/16 (e) (m) | 4 | |||||||||
40 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
15 | Service Corp. International, 7.38%, 10/01/14 (m) | 15 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Financial Services — 2.4% | |||||||||||
55 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) | 41 | |||||||||
100 | Kaupthing Bank HF (Iceland), FRN, 4.96%, 01/15/10 (e) (m) | 90 | |||||||||
28 | Mizuho Capital Investment USD1 Ltd. (Cayman Islands), 6.69%, 6/30/16 (e) (m) (x) | 25 | |||||||||
30 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08%, 01/25/17 (e) (m) (x) | 26 | |||||||||
148 | TRAINS, Series HY1-2006, 7.55%, 05/01/16 (e) (m) | 145 | |||||||||
45 | Visant Corp., 7.63%, 10/01/12 (m) | 43 | |||||||||
370 | |||||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
50 | AT&T, Inc., 6.50%, 09/01/37 (m) | 51 | |||||||||
10 | Citizens Communications Co., 6.25%, 01/15/13 (m) | 9 | |||||||||
29 | Consolidated Communications Illinois/Texas Holdings, Inc., 9.75%, 04/01/12 (m) | 30 | |||||||||
10 | Qwest Communications International, Inc., FRN, 6.56%, 02/15/09 (m) | 10 | |||||||||
Qwest Corp., | |||||||||||
5 | 7.50%, 10/01/14 (m) | 5 | |||||||||
10 | 8.88%, 03/15/12 (m) | 10 | |||||||||
20 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) | 20 | |||||||||
135 | |||||||||||
Electric Utilities — 1.5% | |||||||||||
100 | Abu Dhabi National Energy Co. (United Arab Emirates), 5.62%, 10/25/12 (e) (m) | 102 | |||||||||
125 | Ohio Power Co., FRN, 4.83%, 04/05/10 (m) | 122 | |||||||||
224 | |||||||||||
Energy Equipment & Services — 0.1% | |||||||||||
15 | Transocean, Inc. (Cayman Islands), 6.80%, 03/15/38 (m) | 16 | |||||||||
Food & Staples Retailing — 1.4% | |||||||||||
100 | CVS/Caremark Corp., FRN, 5.44%, 06/01/10 (m) | 97 | |||||||||
44 | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) | 42 | |||||||||
25 | Kroger Co. (The), 6.40%, 08/15/17 (m) | 27 | |||||||||
25 | Safeway, Inc., 6.35%, 08/15/17 (m) | 26 | |||||||||
15 | Wal-Mart Stores, Inc., 6.50%, 08/15/37 (m) | 16 | |||||||||
208 | |||||||||||
Health Care Providers & Services — 0.8% | |||||||||||
15 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) | 15 | |||||||||
HCA, Inc., | |||||||||||
35 | 9.25%, 11/15/16 (m) | 36 | |||||||||
40 | PIK, 9.63%, 11/15/16 (m) | 41 | |||||||||
30 | Tenet Healthcare Corp., 9.25%, 02/01/15 (m) | 27 | |||||||||
119 | |||||||||||
Hotels, Restaurants & Leisure — 0.5% | |||||||||||
15 | McDonald’s Corp., 6.30%, 10/15/37 (m) | 15 | |||||||||
MGM Mirage, Inc., | |||||||||||
5 | 5.88%, 02/27/14 (m) | 4 | |||||||||
25 | 6.75%, 04/01/13 (m) | 24 | |||||||||
15 | 6.88%, 04/01/16 (m) | 14 | |||||||||
20 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) | 19 | |||||||||
76 | |||||||||||
Household Durables — 0.6% | |||||||||||
25 | ALH Finance LLC/ALH Finance Corp., 8.50%, 01/15/13 (m) | 22 | |||||||||
20 | Ames True Temper, FRN, 8.26%, 01/15/12 (m) | 16 | |||||||||
Beazer Homes USA, Inc., | |||||||||||
10 | 6.50%, 11/15/13 (m) | 7 | |||||||||
10 | 6.88%, 07/15/15 (m) | 7 | |||||||||
10 | DR Horton, Inc., 5.63%, 09/15/14 (m) | 8 | |||||||||
15 | Jarden Corp., 7.50%, 05/01/17 (m) | 13 | |||||||||
25 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 23 | |||||||||
96 | |||||||||||
Household Products — 0.0% (g) | |||||||||||
10 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) | 7 | |||||||||
Independent Power Producers & Energy Traders — 0.3% | |||||||||||
AES Corp. (The), | |||||||||||
2 | 8.75%, 05/15/13 (e) (m) | 2 | |||||||||
15 | 8.88%, 02/15/11 (m) | 16 | |||||||||
27 | NRG Energy, Inc., 7.38%, 02/01/16 (m) | 26 | |||||||||
44 | |||||||||||
Insurance — 2.1% | |||||||||||
36 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) | 35 | |||||||||
45 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) | 44 | |||||||||
30 | Nationwide Financial Services, 6.75%, 05/15/67 (m) | 25 | |||||||||
40 | Reinsurance Group of America, Inc., VAR, 6.75%, 12/15/65 (m) | 35 | |||||||||
100 | Swiss RE Capital I LP (United Kingdom), VAR, 6.85%, 12/31/49 (e) (m) (x) | 94 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Insurance — Continued | |||||||||||
25 | Travelers Cos, Inc., (The) VAR, 6.25%, 03/15/37 (m) | 23 | |||||||||
80 | XL Capital Ltd. (Cayman Islands), 6.50%, 04/15/17 (m) (x) | 60 | |||||||||
316 | |||||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
20 | Brookstone Co., Inc., 12.00%, 10/15/12 (m) | 19 | |||||||||
IT Services — 0.2% | |||||||||||
35 | Iron Mountain, Inc., 7.75%, 01/15/15 (m) | 35 | |||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
15 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) | 13 | |||||||||
Media — 1.9% | |||||||||||
5 | Cablevision Systems Corp., 8.00%, 04/15/12 (m) | 5 | |||||||||
65 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 60 | |||||||||
60 | Comcast Corp., 6.95%, 08/15/37 (m) | 61 | |||||||||
50 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) | 46 | |||||||||
Echostar DBS Corp., | |||||||||||
5 | 6.63%, 10/01/14 (m) | 5 | |||||||||
40 | 7.13%, 02/01/16 (m) | 39 | |||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 (m) | 11 | |||||||||
15 | Time Warner Cable, Inc., 6.55%, 05/01/37 (m) | 14 | |||||||||
30 | Videotron Ltee (Canada), 6.88%, 01/15/14 (m) | 29 | |||||||||
20 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) | 16 | |||||||||
286 | |||||||||||
Multi-Utilities — 0.7% | |||||||||||
50 | Dominion Resources, Inc., 6.30%, 03/15/33 (m) | 50 | |||||||||
55 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 (m) | 57 | |||||||||
107 | |||||||||||
Oil, Gas & Consumable Fuels — 3.3% | |||||||||||
120 | ABN Amro Bank/Deutschland for OAO Gazprom (Russia), 9.63%, 03/01/13 (e) | 137 | |||||||||
25 | Canadian Natural Resources Ltd. (Canada), 6.25%, 03/15/38 (m) | 24 | |||||||||
40 | Chesapeake Energy Corp., 7.00%, 08/15/14 (m) | 40 | |||||||||
25 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) | 25 | |||||||||
34 | Gaz Capital for Gazprom (Russia), 8.63%, 04/28/34 | 40 | |||||||||
56 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 | 57 | |||||||||
25 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 (m) | 24 | |||||||||
15 | Newfield Exploration Co., 6.63%, 04/15/16 (m) | 15 | |||||||||
30 | Nexen, Inc. (Canada), 6.40%, 05/15/37 (m) | 29 | |||||||||
40 | ONEOK Partners LP, 5.90%, 04/01/12 (m) | 42 | |||||||||
75 | Valero Energy Corp., 6.63%, 06/15/37 (m) | 74 | |||||||||
507 | |||||||||||
Paper & Forest Products — 0.5% | |||||||||||
75 | Georgia-Pacific LLC, 9.50%, 12/01/11 (m) | 76 | |||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||
20 | Host Hotels & Resorts LP, 6.75%, 06/01/16 (m) | 19 | |||||||||
60 | WEA Finance LLC/WEA Finance LLC (Australia), 5.70%, 10/01/16 (e) (m) | 56 | |||||||||
75 | |||||||||||
Road & Rail — 0.3% | |||||||||||
20 | Hertz Corp., (The), 8.88%, 01/01/14 (m) | 19 | |||||||||
27 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) | 24 | |||||||||
43 | |||||||||||
Specialty Retail — 0.2% | |||||||||||
40 | Home Depot, Inc., 5.88%, 12/16/36 (m) | 33 | |||||||||
Thrifts & Mortgage Finance — 1.1% | |||||||||||
100 | CAM US Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) | 96 | |||||||||
25 | Countrywide Financial Corp., 5.80%, 06/07/12 (m) | 23 | |||||||||
50 | Washington Mutual, Inc., FRN, 3.23%, 08/24/09 (m) | 46 | |||||||||
165 | |||||||||||
Wireless Telecommunication Services — 1.0% | |||||||||||
100 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) | 99 | |||||||||
15 | Intelsat Jackson Holdings Ltd. (Bermuda), 9.25%, 06/15/16 (m) | 15 | |||||||||
50 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) | 37 | |||||||||
151 | |||||||||||
Total Corporate Bonds (Cost $5,202) | 4,756 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Foreign Government Securities — 14.5% | |||||||||||
Argentina — 1.0% | |||||||||||
180 | Republic of Argentina, 7.00%, 10/03/15 (m) | 147 | |||||||||
Barbados — 0.1% | |||||||||||
11 | Government of Barbados, 7.25%, 12/15/21 | 12 | |||||||||
Brazil — 0.8% | |||||||||||
75 | Federal Republic of Brazil, 12.25%, 03/06/30 (i) | 125 | |||||||||
Colombia — 1.0% | |||||||||||
Republic of Colombia, | |||||||||||
65 | 8.25%, 12/22/14 | 75 | |||||||||
20 | 10.38%, 01/28/33 | 29 | |||||||||
40 | 10.75%, 01/15/13 | 49 | |||||||||
153 | |||||||||||
Dominican Republic — 2.5% | |||||||||||
250 | Citigroup Funding, Inc., 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) | 228 | |||||||||
Government of Dominican Republic, | |||||||||||
101 | 9.04%, 01/23/18 (e) | 110 | |||||||||
34 | 9.50%, 09/27/11 | 36 | |||||||||
374 | |||||||||||
Egypt — 0.6% | |||||||||||
EGP 500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) | 90 | |||||||||
Ghana — 2.1% | |||||||||||
320 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) | 315 | |||||||||
Indonesia — 0.8% | |||||||||||
119 | Republic of Indonesia, 7.25%, 04/20/15 | 126 | |||||||||
Mexico — 1.9% | |||||||||||
United Mexican States, | |||||||||||
40 | 7.50%, 01/14/12 | 45 | |||||||||
25 | 8.00%, 09/24/22 | 31 | |||||||||
35 | 8.30%, 08/15/31 | 45 | |||||||||
MXN 1,000 | 9.50%, 12/18/14 | 105 | |||||||||
60 | FRN, 5.08%, 01/13/09 (m) | 60 | |||||||||
286 | |||||||||||
Peru — 0.7% | |||||||||||
100 | IIRSA Norte Finance Ltd., 8.75%, 05/30/24 | 112 | |||||||||
Philippines — 0.3% | |||||||||||
40 | Bangko Sentral Pilipinas, 8.60%, 06/15/27 | 47 | |||||||||
Russia — 0.9% | |||||||||||
Russian Federation, | |||||||||||
66 | 8.25%, 03/31/10 | 69 | |||||||||
50 | 11.00%, 07/24/18 | 72 | |||||||||
141 | |||||||||||
Trinidad & Tobago — 0.4% | |||||||||||
50 | Republic of Trinidad & Tobago, 9.75%, 07/01/20 | 67 | |||||||||
Turkey — 0.6% | |||||||||||
TRY 120 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) | 92 | |||||||||
Venezuela — 0.8% | |||||||||||
125 | Republic of Venezuela, 9.38%, 01/13/34 | 123 | |||||||||
Total Foreign Government Securities (Cost $2,091) | 2,210 | ||||||||||
Mortgage Pass-Through Securities — 33.3% | |||||||||||
Federal Home Loan Mortgage Corp., Gold Pools, | |||||||||||
15 | ARM, 5.42%, 06/01/37 (m) | 15 | |||||||||
29 | ARM, 5.46%, 07/01/37 (m) | 30 | |||||||||
21 | ARM, 5.58%, 06/01/37 (m) | 22 | |||||||||
15 Year, Single Family, | |||||||||||
8 | 6.00%, 05/01/17 (m) | 9 | |||||||||
30 Year, Single Family, | |||||||||||
27 | 6.00%, 01/01/35 (m) | 28 | |||||||||
100 | 6.00%, 03/15/38 | 102 | |||||||||
695 | TBA, 5.00%, 03/15/37 | 684 | |||||||||
600 | TBA, 5.50%, 03/15/37 | 603 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
450 | TBA, 4.50%, 03/25/22 | 450 | |||||||||
30 Year, Single Family, | |||||||||||
565 | 6.00%, 03/01/33 – 01/01/35 (m) | 579 | |||||||||
1,669 | 6.50%, 01/01/35 – 03/25/38 (m) | 1,730 | |||||||||
100 | TBA, 5.00%, 04/25/37 | 98 | |||||||||
115 | TBA, 6.50%, 04/25/38 | 119 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
390 | TBA, 6.00%, 03/15/37 | 403 | |||||||||
210 | TBA, 6.50%, 03/15/37 | 219 | |||||||||
Total Mortgage Pass-Through Securities (Cost $5,105) | 5,091 |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Private Placement — 7.8% | |||||||||||
1,108 | 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) (Cost $1,108) | 1,197 | |||||||||
U.S. Treasury Obligations — 7.0% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
3 | 4.75%, 02/15/37 (m) | 3 | |||||||||
5 | 5.00%, 05/15/37 (m) | 5 | |||||||||
125 | 5.50%, 08/15/28 (k) (m) | 144 | |||||||||
U.S. Treasury Notes, | |||||||||||
75 | 3.63%, 10/31/09 (m) | 77 | |||||||||
100 | 3.88%, 10/31/12 (m) | 106 | |||||||||
40 | 4.13%, 08/15/10 (m) | 42 | |||||||||
50 | 4.25%, 09/30/12 (k) (m) | 54 | |||||||||
5 | 4.25%, 11/15/17 (m) | 5 | |||||||||
15 | 4.50%, 05/15/10 (m) | 16 | |||||||||
10 | 4.50%, 11/30/11 (m) | 11 | |||||||||
150 | 4.63%, 07/31/09 (m) | 156 | |||||||||
260 | 4.75%, 08/15/17 (m) | 285 | |||||||||
10 | 5.13%, 06/30/08 (m) | 10 | |||||||||
140 | 5.13%, 06/30/11 (m) | 154 | |||||||||
Total U.S. Treasury Obligations (Cost $999) | 1,068 |
NUMBER OF WARRANTS | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Warrant — 0.0% (g) | ||||||||||
— | (h) | Startec Global Communications Corp., expires 05/15/08 (a) (e) (m) (Cost $—(h)) | — | (h) | ||||||
Total Long-Term Investments (Cost $16,941) | 16,542 |
NUMBER OF CONTRACTS | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.1% | ||||||||||
Call Options Purchased — 0.5% | ||||||||||
5 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style | 18 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 11 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style | 17 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 21 | ||||||||
2 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style | 4 | ||||||||
Total Call Options Purchased | 71 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.6% | ||||||||||
14 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style | 6 | ||||||||
1 | 5 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style | — | (h) | |||||||
2 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style | 1 |
NOTIONAL AMOUNT | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
778 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38 , European Style. Counterparty: Barclays Bank plc (r) | 29 | ||||||||
1,205 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38 , European Style. Counterparty: Lehman Brothers Special Financing (r) | 53 | ||||||||
Total Put Options Purchased | 89 | |||||||||
Total Options Purchased (Cost $117) | 160 |
PRINCIPAL AMOUNT | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 19.0% | |||||||||||
Commercial Paper — 9.8% (n) | |||||||||||
500 | Alpine Securitization Corp. 3.29%, 03/19/08 (m) | 499 | |||||||||
500 | Cancara Asset Securitisation LLC, 3.26%, 03/17/08 (e) (m) | 499 | |||||||||
500 | CRC Funding LLC, 3.26%, 04/09/08 (e) (m) | 498 | |||||||||
Total Commercial Paper (Cost $1,496) | 1,496 |
SHARES | | | | | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 9.2% | ||||||||||
1,412 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $1,412) | 1,412 | ||||||||
Total Short-Term Investments (Cost $2,908) | 2,908 | |||||||||
Total Investments — 128.4% (Cost $19,966) | 19,610 | |||||||||
Liabilities in Excess of Other Assets — (28.4)% | (4,336 | ) | ||||||||
NET ASSETS — 100.0% | $ | 15,274 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 02/29/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
1 | 10 Year Australia Bond | March, 2008 | 87 | — | (h) | |||||||||||||
3 | 10 Year Swap | March, 2008 | 343 | 18 | ||||||||||||||
1 | Euro-Bobl | March, 2008 | 169 | 4 | ||||||||||||||
2 | Euro-Bund | March, 2008 | 355 | 3 | ||||||||||||||
5 | 2 Year U.S. Treasury Note | June, 2008 | 1,075 | 8 | ||||||||||||||
21 | 5 Year U.S. Treasury Note | June, 2008 | 2,399 | 24 | ||||||||||||||
4 | 10 Year U.S. Treasury Note | June, 2008 | 469 | 9 | ||||||||||||||
5 | Eurodollar | June, 2008 | 1,221 | 14 | ||||||||||||||
3 | U.S Long Bond | June, 2008 | 356 | 9 | ||||||||||||||
6 | 3 Month EURIBOR | December, 2008 | 2,198 | 1 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(3) | 3 Year Australia Bond | March, 2008 | (261 | ) | — | (h) | ||||||||||||
(5) | Eurodollar | March, 2008 | (1,215 | ) | (4 | ) | ||||||||||||
(10) | 30 Day Federal Funds | April, 2008 | (4,070 | ) | (5 | ) | ||||||||||||
(9) | 5 Year U.S. Treasury Note | June, 2008 | (1,028 | ) | (18 | ) | ||||||||||||
(8) | 10 Year U.S. Treasury Note | June, 2008 | (938 | ) | (20 | ) | ||||||||||||
(5) | Eurodollar | June, 2009 | (1,220 | ) | (4 | ) | ||||||||||||
39 |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 02/29/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
50,000 | EUR | 3/31/2008 | 73 | (76 | ) | (4 | ) |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
(100) | FNMA, 30 Year, Single Family, TBA, 5.00%, 03/25/38 | (98 | ) | |||||||
(Proceeds received of $100.) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.75 | 06/16/08 | 38 | (17 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 06/16/08 | 28 | (17 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 28 | (23 | ) | |||||||||||||
5 Year U.S. Treasury Note Futures, American Style | 113.50 | 09/15/08 | 2 | (3 | ) | |||||||||||||
(Premiums received of $44.) | (60 | ) |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.25 | 06/16/08 | 38 | (7 | ) | |||||||||||||
5 Year U.S. Treasury Note Futures, American Style | 110.00 | 03/20/08 | 1 | — | (h) | |||||||||||||
20 Year U.S. Treasury Bond Futures, American Style | 112.00 | 03/20/08 | 2 | — | (h) | |||||||||||||
(Premiums received of $12.) | (7 | ) |
COUNTERPARTY | | EXERCISE RATE*(r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 3.90% semi-annually | 07/15/08 | 07/17/13 | 2,130 | (22) | |||||||||||||||||
Lehman Brothers Special Financing | 3.73% semi-annually | 07/23/08 | 07/25/13 | 3,192 | (44) | |||||||||||||||||
(Premiums received of $65.) | (66) |
* | The Fund would pay 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 | | VALUE | ||||||||||||
Bank of America | 5.55% semi-annually | 3 month LIBOR quarterly | 06/14/12 | 920 | (87 | ) | ||||||||||||||||
Barclays Bank plc | 3 month LIBOR quarterly | 4.21% semi-annually | 11/29/12 | 1,710 | 85 | |||||||||||||||||
Barclays Bank plc | 4.44% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 335 | (10 | ) | ||||||||||||||||
Barclays Bank plc | 4.95% semi-annually | 3 month LIBOR quarterly | 11/29/37 | 485 | (12 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3.50% semi-annually | 3 month LIBOR quarterly | 08/31/12 | 2,390 | (20 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 3 month LIBOR quarterly | 3.57% semi-annually | 04/30/13 | 305 | 2 | |||||||||||||||||
Deutsche Bank AG, New York | 4.25% semi-annually | 3 month LIBOR quarterly | 04/30/18 | 167 | — | (h) | ||||||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 590 | (45 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 3.69% semi-annually | 08/31/12 | 776 | 12 | |||||||||||||||||
Lehman Brothers Special Financing | 3 month LIBOR quarterly | 4.20% semi-annually | 12/05/13 | 390 | 8 | |||||||||||||||||
Lehman Brothers Special Financing | 4.19% semi-annually | 3 month LIBOR quarterly | 02/15/15 | 343 | (6 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.38% semi-annually | 3 month LIBOR quarterly | 08/15/16 | 112 | (2 | ) | ||||||||||||||||
Lehman Brothers Special Financing | 4.65% semi-annually | 3 month LIBOR quarterly | 12/05/18 | 220 | (3 | ) | ||||||||||||||||
(78 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.8 | Bear Stearns Credit Products (y) [1] | Buy | 175 BPS semi-annually | 12/20/12 | 600 | 16 | ||||||||||||||||||||
CDX.EM.8 | Citibank, N.A. [2] | Buy | 175 BPS semi-annually | 12/20/12 | 120 | 3 | ||||||||||||||||||||
CDX.EM.8 | Deutsche Bank AG, New York [3] | Buy | 175 BPS semi-annually | 12/20/12 | 80 | 2 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [4] | Buy | 175 BPS semi-annually | 12/20/12 | 100 | 3 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [5] | Buy | 175 BPS semi-annually | 12/20/12 | 120 | 3 | ||||||||||||||||||||
CDX.EM.8 | Lehman Brothers Special Financing [6] | Buy | 175 BPS semi-annually | 12/20/12 | 60 | 2 | ||||||||||||||||||||
CDX.EM.8 | Merrill Lynch International [7] | Buy | 175 BPS semi-annually | 12/20/12 | 110 | 3 | ||||||||||||||||||||
CDX.EM.8 | Union Bank of Switzerland AG [8] | Buy | 175 BPS semi-annually | 12/20/12 | 10 | — | (h) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [9] | Sell | 375 BPS quarterly | 12/20/12 | 120 | (15 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [10] | Sell | 375 BPS quarterly | 12/20/12 | 60 | (7 | ) | |||||||||||||||||||
CDX.NA.HY.9 | Lehman Brothers Special Financing [11] | Sell | 375 BPS quarterly | 12/20/12 | 100 | (11 | ) | |||||||||||||||||||
Countrywide Financial Corp., 0.00%, 03/22/11 | Goldman Sachs Capital Management | Sell | 400 BPS quarterly | 09/20/08 | 200 | (2 | ) | |||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 341 BPS semi-annually | 07/20/17 | 120 | 17 | ||||||||||||||||||||
Government of Jamaica, 11.63%, 01/15/22 | Bear Stearns Credit Products (y) | Buy | 397 BPS semi-annually | 08/20/17 | 30 | 3 | ||||||||||||||||||||
Kazkommertzbank International BV, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 64 BPS semi-annually | 05/20/12 | 50 | (4 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 175 BPS semi-annually | 08/20/08 | 300 | (5 | ) | |||||||||||||||||||
Kazkommertzbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Buy | 300 BPS semi-annually | 08/20/12 | 60 | 8 | ||||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 398 BPS semi-annually | 10/20/12 | 100 | (7 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 265 BPS semi- annually | 05/20/12 | 75 | (8 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Barclays Bank plc | Sell | 397 BPS semi-annually | 10/20/12 | 170 | (12 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 341 BPS semi-annually | 07/20/17 | 120 | (19 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Bear Stearns Credit Products (y) | Sell | 407 BPS semi-annually | 08/20/17 | 30 | (4 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 53 BPS semi-annually | 08/20/12 | 130 | (10 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 68 BPS semi-annually | 08/20/12 | 150 | (11 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Credit Suisse International | Sell | 53 BPS semi-annually | 08/20/12 | 210 | (17 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 65.5 BPS semi-annually | 08/20/12 | 310 | (23 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 71 BPS semi-annually | 08/20/12 | 150 | (11 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 145 BPS semi-annually | 07/20/12 | 70 | 2 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Deutsche Bank AG, New York | Buy | 239 BPS semi-annually | 08/20/12 | 150 | (2 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 194 BPS semi-annually | 08/20/12 | 120 | 1 | ||||||||||||||||||||
(105 | ) |
[1] | Premiums paid of $5. |
[2] | Premiums received of $1. |
[3] | Premiums paid of $1. |
[4] | Premiums paid of $2. |
[5] | Premiums paid of $3. |
[6] | Premiums paid of $1. |
[7] | Premiums paid of $1. |
[8] | Premiums received of $5. |
[9] | Premiums received of $12. |
[10] | Premiums received of $5. |
[11] | Premiums received of $8. |
AS OF FEBRUARY 29, 2008 (continued)
(Amounts in thousands, except number of contracts)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America (b) | BA Covered Bond Issuer, 5.50%, 06/14/12 | 106.55 | 03/12/08 | 920 | 6 | |||||||||||||||||||||
Barclays Bank plc (b) | FHLB, 5.38%, 05/18/16 | 106.07 | 03/13/08 | 330 | 11 | |||||||||||||||||||||
BNP Paribas (a) | U.S. Treasury Inflation Indexed Note, 4.75%, 08/15/17 | 106.76 | 03/27/08 | 110 | (3 | ) | ||||||||||||||||||||
BNP Paribas (b) | U.S. Treasury Inflation Indexed Note, 2.63%, 07/15/17 | 110.43 | 03/27/08 | 100 | 4 | |||||||||||||||||||||
Credit Suisse International (b) | FHLB, 5.38%, 05/18/16 | 106.80 | 03/13/08 | 580 | 15 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, TBA, 5.00% | 100.00 | 04/07/08 | 735 | 3 | |||||||||||||||||||||
Deutsche Bank AG, New York (b) | FNMA, 30 Year, TBA, 5.00% | 100.00 | 03/05/08 | 325 | (5 | ) | ||||||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 15 Year, TBA, 5.00% | 101.13 | 03/11/08 | 300 | — | (h) | ||||||||||||||||||||
Union Bank of Switzerland AG (b) | FNMA, 15 Year, TBA, 6.00% | 103.25 | 03/11/08 | 815 | — | (h) | ||||||||||||||||||||
31 |
(a) | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) | 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 | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services | TransCredit Bank, 7.30%, 02/26/09 | 3 month LIBOR + 20 BPS quarterly | Total Return on TransCredit Bank, 7.30%, 02/26/09 quarterly | 02/26/09 | RUB 5,200 | 8 | ||||||||||||||||||||
Morgan Stanley Capital Services | OGK/Rushydro’s 12/13/13 | 3 month LIBOR + 20 BPS quarterly | Total Return on OGK/ Rushydro’s 12/13/13 quarterly | 12/25/10 | RUB 15,030 | 19 | ||||||||||||||||||||
27 |
AS OF FEBRUARY 29, 2008 (continued)
ABBREVIATIONS AND DEFINITIONS:
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(d)— | Defaulted Security. |
(e)— | Security is exempt from registration under Rule 144A of the Investment Company Act of 1933. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f)— | Fair Valued Investment. The following are approximately the market value and percentage of the investments based on total investments that are fair valued (amounts in thousands): |
| Market Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 24,118 | 1.2 | % | ||||||
Enhanced Income Fund | 1,200 | 1.1 | ||||||||
Short Term Bond Fund | 19,203 | 1.8 | ||||||||
Short Term Bond Fund II | 4,247 | 1.7 | ||||||||
Strategic Income Fund | 1,197 | 6.1 |
(g)— | Amount rounds to less than 0.1%. |
(h)— | Amount rounds to less than one thousand (shares or dollars). |
(i)— | Security has been deemed illiquid pursuant to procedures established 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 reserved for current or potential holdings of futures, swaps, options, TBAs, 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. |
(s)— | These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions. |
(v)— | As a result of the issuer missing its most recent coupon payment, the Fund no longer accrues interest from this security. The issuer has until the security’s maturity date to make any missed payments. |
(x)— | Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2008. |
(y)— | Subsequent to February 29, 2008, The Bear Stearns Companies Inc. and its affiliates became affiliated with JPMorgan Chase & Co. (See Note 9) |
ADR— | American Depositary Receipt |
ARM— | Adjustable Rate Mortgage |
ARS— | Argentine Peso |
AUD — | Australian Dollar |
AUD-BBR-BBSW— | Australia Bill Bank Rate |
BPS— | Basis Points |
BRL— | Brazilian Real |
BUBOR— | Budapest Interbank Offered Rate |
CAD— | Canadian Dollar |
CAD-BA-CDOR— | Canadian Bank Bill Overnight Rate |
CHF— | Swiss Franc |
CMO— | Collateralized Mortgage Obligation |
COP— | Colombian Peso |
CZK— | Czech Republic Koruna |
EGP— | Egyptian Pound |
EUR— | Euro |
EURIBOR— | Euro Interbank Offered Rate |
FHLB— | Federal Home Loan Bank |
FHLMC— | Federal Home Loan Mortgage Corp. |
FNMA— | Federal National Mortgage Association |
FRN— | Floating Rate Note. The interest rate shown is the rate in effect as of February 29, 2008. |
GBP— | British Pound |
GDP— | Gross Domestic Product |
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 trust and allocating them to the small principal of the HB class. |
HUF— | Hungarian Forint |
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 29, 2008. The rate may be subject to a cap and floor. |
AS OF FEBRUARY 29, 2008 (continued)
ILS— | Israeli Shekel |
IO— | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal 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. |
ISK— | Iceland Krona |
JIBAR— | Johannesburg Interbank Accepted Rate |
JPY— | Japanese Yen |
LIBOR— | London Interbank Offered Rate |
MXN— | Mexican Peso |
NIBOR— | Norwegian Interbank Offered Rate |
NIM— | Net Interest Margin |
NOK— | Norwegian Krone |
NZD— | New Zealand Dollar |
PIK— | Payment-In-Kind |
PLN— | Polish Zloty |
REMICS— | Real Estate Mortgage Investment Conduits |
RON— | Romanian Leu |
RUB— | Russian Ruble |
SEK— | Swedish Krona |
SGD— | Singapore Dollar |
SKK— | Slovak Koruna |
STIBOR— | Stockholm Interbank Offered Rate |
STRIPS— | Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB— | Step-Up Bond. The interest rate shown is the rate in effect as of February 29, 2008. |
TBA— | To Be Announced |
TIBOR— | Tokyo Interbank Offered Rate |
TRAINS— | Targeted Return Index |
TRY— | New Turkish Lira |
USD— | United States Dollar |
UYU— | Uruguayan Peso |
VAR— | Variable Rate Note. The interest rate shown is the rate in effect as of February 29, 2008. |
WIBOR— | Warsaw Interbank Offered Rate |
ZAR— | South African Rand |
AS OF FEBRUARY 29, 2008
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 2,043,751 | $ | 286,532 | $ | 87,583 | $ | 84,569 | ||||||||||
Investments in affiliates, at value | 18,180 | 9,742 | 21,994 | 3,362 | ||||||||||||||
Total investment securities, at value | 2,061,931 | 296,274 | 109,577 | 87,931 | ||||||||||||||
Cash | 1,926 | 8,039 | 1 | 910 | ||||||||||||||
Foreign currency, at value | 891 | 270 | — | 634 | ||||||||||||||
Deposits at broker for foreign futures contracts | 182 | — | — | — | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 3,173,306 | 6,033 | 30,015 | 55,275 | ||||||||||||||
Fund shares sold | 4,150 | 1,936 | — | 848 | ||||||||||||||
Interest and dividends | 14,544 | 5,961 | 353 | 230 | ||||||||||||||
Variation margin on futures contracts | 10,468 | 818 | 86 | 325 | ||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 228 | ||||||||||||||
Outstanding swap contracts, at value | 38,939 | 2,095 | 378 | 908 | ||||||||||||||
Due from Advisor | — | — | 6 | 85 | ||||||||||||||
Total Assets | 5,306,337 | 321,426 | 140,416 | 147,374 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Dividends | 2,734 | 497 | 125 | 8 | ||||||||||||||
Investment securities purchased | 3,362,798 | 11,982 | 36,613 | 61,971 | ||||||||||||||
Securities sold short, at value | 154,513 | — | 103 | 4,630 | ||||||||||||||
Fund shares redeemed | 24,454 | 51 | — | 9 | ||||||||||||||
Variation margin on futures contracts | 7,709 | 403 | 90 | 264 | ||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 490 | 371 | — | 242 | ||||||||||||||
Outstanding options written, at fair value | 29,893 | — | — | 1,167 | ||||||||||||||
Outstanding swap contracts, at value | 43,095 | 6,998 | 218 | 1,185 | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 256 | 164 | — | — | ||||||||||||||
Administration fees | 70 | 24 | 1 | — | (c) | |||||||||||||
Shareholder servicing fees | 258 | 55 | — | 8 | ||||||||||||||
Distribution fees | 12 | 5 | — | 3 | ||||||||||||||
Custodian and accounting fees | 72 | 43 | 16 | 24 | ||||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 2 | 2 | 1 | ||||||||||||||
Other | 431 | 109 | 70 | 167 | ||||||||||||||
Total Liabilities | 3,626,787 | 20,704 | 37,238 | 69,679 | ||||||||||||||
Net Assets | $ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||||||
Paid in capital | $ | 1,816,726 | $ | 305,502 | $ | 121,978 | $ | 75,181 | ||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 8,104 | 970 | (173 | ) | 338 | |||||||||||||
Accumulated net realized gains (losses) | (56,290 | ) | (2,753 | ) | (11,252 | ) | (2,118 | ) | ||||||||||
Net unrealized appreciation (depreciation) | (88,990 | ) | (2,997 | ) | (7,375 | ) | 4,294 | |||||||||||
Total Net Assets | $ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 25,579 | $ | 8,140 | $ | — | $ | 5,171 | ||||||||||
Class B | 4,113 | — | — | — | ||||||||||||||
Class C | 7,659 | 5,154 | — | 4,023 | ||||||||||||||
Class R5 (a) | — | 22,347 | — | — | ||||||||||||||
Select Class | 1,116,991 | 265,081 | — | 61,551 | ||||||||||||||
Institutional Class | 349,342 | — | 103,178 | 6,950 | ||||||||||||||
Ultra | 175,866 | — | — | — | ||||||||||||||
Total | $ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 | ||||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||||
Class A | 2,885 | 968 | — | 511 | ||||||||||||||
Class B | 467 | — | — | — | ||||||||||||||
Class C | 866 | 613 | — | 399 | ||||||||||||||
Class R5 (a) | — | 2,654 | — | — | ||||||||||||||
Select Class | 127,285 | 31,490 | — | 6,060 | ||||||||||||||
Institutional Class | 39,821 | — | 11,479 | 684 | ||||||||||||||
Ultra | 20,051 | — | — | — | ||||||||||||||
Net Asset Value: | ||||||||||||||||||
Class A — Redemption price per share | $ | 8.87 | $ | 8.41 | $ | — | $ | 10.13 | ||||||||||
Class B — Offering price per share (b) | 8.80 | — | — | — | ||||||||||||||
Class C — Offering price per share (b) | 8.85 | 8.40 | — | 10.08 | ||||||||||||||
Class R5 (a) — Offering and redemption price per share | — | 8.42 | — | — | ||||||||||||||
Select Class — Offering and redemption price per share | 8.78 | 8.42 | — | 10.16 | ||||||||||||||
Institutional Class — Offering and redemption price per share | 8.77 | — | 8.99 | 10.17 | ||||||||||||||
Ultra — Offering and redemption price per share | 8.77 | — | — | — | ||||||||||||||
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)] | $ | 9.22 | $ | 8.74 | $ | — | $ | 10.52 | ||||||||||
Cost of investments in non-affiliates | $ | 2,130,267 | $ | 284,890 | $ | 95,155 | $ | 79,888 | ||||||||||
Cost of investments in affiliates | 18,180 | 9,742 | 21,994 | 3,362 | ||||||||||||||
Cost of foreign currency | 886 | 269 | — | 608 | ||||||||||||||
Cost of deposits at broker for foreign futures contracts | 170 | — | — | — | ||||||||||||||
Proceeds received from short positions | 154,289 | — | 110 | 4,689 | ||||||||||||||
Premiums received from options written | 25,140 | — | — | 889 | ||||||||||||||
Premiums paid on swaps | 1,192 | — | 39 | 26 | ||||||||||||||
Premiums received from swaps | 5,424 | — | — | 76 |
(a) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(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. |
AS OF FEBRUARY 29, 2008 (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 1,200,884 | $ | 233,356 | $ | 18,198 | ||||||||
Investments in affiliates, at value | 26,684 | 23,371 | 1,412 | |||||||||||
Total investment securities, at value | 1,227,568 | 256,727 | 19,610 | |||||||||||
Cash | 848 | 204 | 22 | |||||||||||
Foreign currency, at value | 8 | — | 17 | |||||||||||
Deposits at broker for foreign futures contracts | 169 | — | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 937,977 | 6,349 | 5,250 | |||||||||||
Fund shares sold | 328 | 14 | 4 | |||||||||||
Interest and dividends | 11,097 | 1,933 | 146 | |||||||||||
Tax reclaims | — | — | — | (b) | ||||||||||
Variation margin on futures contracts | 2,873 | 792 | 66 | |||||||||||
Outstanding swap contracts, at value | 15,201 | 1,719 | 236 | |||||||||||
Due from Advisor | — | — | 47 | |||||||||||
Due from affiliate | — | — | 2 | |||||||||||
Total Assets | 2,196,069 | 267,738 | 25,400 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Dividends | 3,845 | 792 | 29 | |||||||||||
Investment securities purchased | 879,314 | 13,553 | 9,287 | |||||||||||
Securities sold short, at value | 203,237 | — | 98 | |||||||||||
Fund shares redeemed | 19,629 | 693 | 20 | |||||||||||
Variation margin on futures contracts | 2,210 | 465 | 34 | |||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 4 | |||||||||||
Outstanding options written, at fair value | 9,641 | 1,691 | 133 | |||||||||||
Outstanding swap contracts, at value | 5,641 | 362 | 361 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 79 | 6 | — | (b) | ||||||||||
Administration fees | 27 | 9 | — | |||||||||||
Shareholder servicing fees | 174 | 38 | 3 | |||||||||||
Distribution fees | 2 | 45 | 5 | |||||||||||
Custodian and accounting fees | 33 | 17 | 24 | |||||||||||
Trustees’ and Chief Compliance Officers’ fees | 10 | 7 | — | (b) | ||||||||||
Other | 233 | 263 | 128 | |||||||||||
Total Liabilities | 1,124,075 | 17,941 | 10,126 | |||||||||||
Net Assets | $ | 1,071,994 | $ | 249,797 | $ | 15,274 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 1,154,696 | $ | 291,276 | $ | 30,429 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 2,585 | (144 | ) | 185 | ||||||||||
Accumulated net realized gains (losses) | (56,943 | ) | (30,539 | ) | (14,898 | ) | ||||||||
Net unrealized appreciation (depreciation) | (28,344 | ) | (10,796 | ) | (442 | ) | ||||||||
Total Net Assets | $ | 1,071,994 | $ | 249,797 | $ | 15,274 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 10,944 | $ | 22,655 | $ | 6,355 | ||||||||
Class B | — | — | 3,492 | |||||||||||
Class C | — | — | 2,177 | |||||||||||
Class M | — | 144,078 | — | |||||||||||
Select Class | 832,289 | 83,064 | 1,086 | |||||||||||
Institutional Class | 228,761 | — | 2,164 | |||||||||||
Total | $ | 1,071,994 | $ | 249,797 | $ | 15,274 | ||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 1,191 | 2,345 | 729 | |||||||||||
Class B | — | — | 400 | |||||||||||
Class C | — | — | 250 | |||||||||||
Class M | — | 14,910 | — | |||||||||||
Select Class | 90,512 | 8,578 | 125 | |||||||||||
Institutional Class | 24,881 | — | 248 | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 9.19 | $ | 9.66 | $ | 8.72 | ||||||||
Class B — Offering price per share (a) | — | — | 8.72 | |||||||||||
Class C — Offering price per share (a) | — | — | 8.72 | |||||||||||
Class M — Offering price per share | — | 9.66 | — | |||||||||||
Select Class — Offering and redemption price per share | 9.20 | 9.68 | 8.72 | |||||||||||
Institutional Class — Offering and redemption price per share | 9.19 | — | 8.72 | |||||||||||
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)] | $ | 9.40 | $ | 9.88 | $ | 9.06 | ||||||||
Class M maximum sales charge | — | 1.50 | % | — | ||||||||||
Class M maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | — | $ | 9.81 | $ | — | ||||||||
Cost of investments in non-affiliates | $ | 1,239,142 | $ | 245,461 | $ | 18,554 | ||||||||
Cost of investments in affiliates | 26,684 | 23,371 | 1,412 | |||||||||||
Cost of foreign currency | 7 | — | 17 | |||||||||||
Cost of deposits at broker for foreign futures contracts | 161 | — | — | |||||||||||
Proceeds received from short positions | 205,179 | — | 100 | |||||||||||
Premiums received from options written | 7,485 | 1,317 | 121 | |||||||||||
Premiums paid on swaps | — | — | 13 | |||||||||||
Premiums received from swaps | 160 | 25 | 31 |
(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. |
FOR THE YEAR ENDED FEBRUARY 29, 2008
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Interest income | $ | 126,712 | $ | 19,720 | $ | 7,620 | $ | 4,188 | ||||||||||
Dividend income | 370 | — | — | — | ||||||||||||||
Dividend income from affiliates (a) | 4,009 | 438 | 921 | 170 | ||||||||||||||
Foreign taxes withheld | — | (36 | ) | — | — | |||||||||||||
Total investment income | 131,091 | 20,122 | 8,541 | 4,358 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment advisory fees | 6,610 | 1,695 | 384 | 250 | ||||||||||||||
Administration fees | 2,188 | 240 | 153 | 71 | ||||||||||||||
Distribution fees: | ||||||||||||||||||
Class A | 65 | 19 | — | 3 | ||||||||||||||
Class B | 30 | — | — | — | ||||||||||||||
Class C | 52 | 26 | — | 4 | ||||||||||||||
Shareholder servicing fees: | ||||||||||||||||||
Class A | 65 | 19 | — | 3 | ||||||||||||||
Class B | 10 | — | — | — | ||||||||||||||
Class C | 17 | 8 | — | 1 | ||||||||||||||
Class R5 (b) | — | 10 | — | — | ||||||||||||||
Select Class | 3,960 | 530 | — | 158 | ||||||||||||||
Institutional Class | 409 | — | 154 | 6 | ||||||||||||||
Custodian and accounting fees | 271 | 115 | 44 | 77 | ||||||||||||||
Interest expense | 10 | — | (c) | — | — | (c) | ||||||||||||
Professional fees | 212 | 100 | 77 | 177 | ||||||||||||||
Trustees’ and Chief Compliance Officers’ fees | 36 | 4 | 2 | 1 | ||||||||||||||
Printing and mailing costs | 179 | 26 | 4 | 1 | ||||||||||||||
Registration and filing fees | 182 | 53 | 21 | 44 | ||||||||||||||
Transfer agent fees | 289 | 96 | 6 | 53 | ||||||||||||||
Other | 205 | 35 | 8 | 92 | ||||||||||||||
Total expenses | 14,790 | 2,976 | 853 | 941 | ||||||||||||||
Less amounts waived | (1,361 | ) | (13 | ) | (544 | ) | (365 | ) | ||||||||||
Less earnings credits | (79 | ) | (2 | ) | (2 | ) | (4 | ) | ||||||||||
Less expense reimbursements | — | — | — | (111 | ) | |||||||||||||
Net expenses | 13,350 | 2,961 | 307 | 461 | ||||||||||||||
Net investment income (loss) | 117,741 | 17,161 | 8,234 | 3,897 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund (a) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||||
Investments | $ | 41,848 | $ | (2,610 | ) | $ | (3,482 | ) | $ | 856 | ||||||||
Securities sold short | (65,434 | ) | — | (230 | ) | (582 | ) | |||||||||||
Written options | 3,570 | — | — | 295 | ||||||||||||||
Futures | (25,035 | ) | 2,599 | (365 | ) | (1,145 | ) | |||||||||||
Swaps | 30,331 | 168 | 271 | 1,078 | ||||||||||||||
Foreign currency transactions | 1,994 | 356 | 1 | 83 | ||||||||||||||
Net realized gain (loss) | (12,726 | ) | 513 | (3,805 | ) | 585 | ||||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments | (99,490 | ) | (3,757 | ) | (7,748 | ) | 4,753 | |||||||||||
Securities sold short | 3,705 | — | 7 | 103 | ||||||||||||||
Written options | (12,124 | ) | — | — | (513 | ) | ||||||||||||
Futures | 2,673 | 537 | 153 | 73 | ||||||||||||||
Swaps | (10,561 | ) | (5,253 | ) | 34 | (250 | ) | |||||||||||
Foreign currency translations | (574 | ) | (420 | ) | — | 17 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (116,371 | ) | (8,893 | ) | (7,554 | ) | 4,183 | |||||||||||
Net realized/unrealized gains (losses) | (129,097 | ) | (8,380 | ) | (11,359 | ) | 4,768 | |||||||||||
Change in net assets resulting from operations | $ | (11,356 | ) | $ | 8,781 | $ | (3,125 | ) | $ | 8,665 |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(c) | Amount rounds to less than $1,000. |
FOR THE YEAR ENDED FEBRUARY 29, 2008 (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income | $ | 84,911 | $ | 15,759 | $ | 1,298 | ||||||||
Dividend income | 256 | — | — | |||||||||||
Dividend income from affiliates (a) | 9,149 | 846 | 37 | |||||||||||
Total investment income | 94,316 | 16,605 | 1,335 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 4,305 | 790 | 89 | |||||||||||
Administration fees | 1,709 | 314 | 20 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 28 | 65 | 18 | |||||||||||
Class B | — | — | 34 | |||||||||||
Class C | — | — | 19 | |||||||||||
Class M | — | 552 | 5 | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 28 | 65 | 18 | |||||||||||
Class B | — | — | 11 | |||||||||||
Class C | — | — | 6 | |||||||||||
Class M | — | 394 | 3 | |||||||||||
Select Class | 3,212 | 332 | 4 | |||||||||||
Institutional Class | 426 | — | 3 | |||||||||||
Custodian and accounting fees | 154 | 52 | 46 | |||||||||||
Interest expense | 1 | — | — | (b) | ||||||||||
Professional fees | 240 | 158 | 94 | |||||||||||
Trustees’ and Chief Compliance Officers’ fees | 25 | 5 | — | (b) | ||||||||||
Printing and mailing costs | 127 | 31 | 19 | |||||||||||
Registration and filing fees | 46 | 14 | 62 | |||||||||||
Transfer agent fees | 82 | 73 | 51 | |||||||||||
Other | 133 | 149 | 46 | |||||||||||
Total expenses | 10,516 | 2,994 | 548 | |||||||||||
Less amounts waived | (2,027 | ) | (554 | ) | (112 | ) | ||||||||
Less earnings credits | (59 | ) | (6 | ) | (1 | ) | ||||||||
Less expense reimbursements | — | — | (189 | ) | ||||||||||
Net expenses | 8,430 | 2,434 | 246 | |||||||||||
Net investment income (loss) | 85,886 | 14,171 | 1,089 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments | $ | (3,618 | ) | $ | (1,972 | ) | $ | (5 | ) | |||||
Securities sold short | (15,944 | ) | 646 | (180 | ) | |||||||||
Written options | (341 | ) | 643 | 80 | ||||||||||
Futures | (9,094 | ) | 998 | (322 | ) | |||||||||
Swaps | 560 | 2,809 | (69 | ) | ||||||||||
Foreign currency transactions | (138 | ) | — | 101 | ||||||||||
Net realized gain (loss) | (28,575 | ) | 3,124 | (395 | ) | |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments | (35,597 | ) | (8,709 | ) | (512 | ) | ||||||||
Securities sold short | 1,883 | 116 | — | (b) | ||||||||||
Written options | (4,427 | ) | (998 | ) | (280 | ) | ||||||||
Futures | 1,021 | 733 | 36 | |||||||||||
Swaps | 4,798 | 241 | (111 | ) | ||||||||||
Foreign currency translations | 23 | — | (13 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | (32,299 | ) | (8,617 | ) | (880 | ) | ||||||||
Net realized/unrealized gains (losses) | (60,874 | ) | (5,493 | ) | (1,275 | ) | ||||||||
Change in net assets resulting from operations | $ | 25,012 | $ | 8,678 | $ | (186 | ) |
(a) | Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
�� | Bond Fund | Emerging Markets Debt Fund | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b)(c) | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 117,741 | $ | 47,835 | $ | 54,198 | $ | 17,161 | $ | 3,194 | $ | 4,266 | |||||||||||||||
Net realized gain (loss) | (12,726 | ) | (3,874 | ) | (31,678 | ) | 513 | 3,159 | 137 | ||||||||||||||||||
Change in net unrealized appreciation (depreciation) | (116,371 | ) | 28,712 | 7,040 | (8,893 | ) | 2,325 | 1,186 | |||||||||||||||||||
Change in net assets resulting from operations | (11,356 | ) | 72,673 | 29,560 | 8,781 | 8,678 | 5,589 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (1,302 | ) | (440 | ) | (450 | ) | (543 | ) | (30 | ) | — | (e) | |||||||||||||||
From net realized gains | — | — | (198 | ) | (205 | ) | (3 | ) | — | ||||||||||||||||||
Class B | |||||||||||||||||||||||||||
From net investment income | (173 | ) | (68 | ) | (97 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | — | (68 | ) | — | — | — | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
From net investment income | (306 | ) | (90 | ) | (55 | ) | (217 | ) | (16 | ) | — | (e) | |||||||||||||||
From net realized gains | — | — | (24 | ) | (79 | ) | (2 | ) | — | ||||||||||||||||||
Class R5 (d) | |||||||||||||||||||||||||||
From net investment income | — | — | — | (1,294 | ) | (172 | ) | (33 | ) | ||||||||||||||||||
From net realized gains | — | — | — | (363 | ) | (21 | ) | — | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (82,232 | ) | (35,814 | ) | (35,004 | ) | (14,385 | ) | (3,055 | ) | (4,005 | ) | |||||||||||||||
From net realized gains | — | — | (5,719 | ) | (4,326 | ) | (378 | ) | (6,019 | ) | |||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (21,498 | ) | (9,118 | ) | (11,743 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | — | (6,859 | ) | — | — | — | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
From net investment income | (9,393 | ) | (4,125 | ) | (6,786 | ) | — | — | — | ||||||||||||||||||
From net realized gains | — | — | (3,926 | ) | — | — | — | ||||||||||||||||||||
Total distributions to shareholders | (114,904 | ) | (49,655 | ) | (70,929 | ) | (21,412 | ) | (3,677 | ) | (10,057 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | (244,149 | ) | 286,861 | 1,184,150 | 175,875 | 12,560 | 89,788 | ||||||||||||||||||||
Voluntary contribution from Advisor | — | — | — | — | — | 149 | |||||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | (370,409 | ) | 309,879 | 1,142,781 | 163,244 | 17,561 | 85,469 | ||||||||||||||||||||
Beginning of period | 2,049,959 | 1,740,080 | 597,299 | 137,478 | 119,917 | 34,448 | |||||||||||||||||||||
End of period | $ | 1,679,550 | $ | 2,049,959 | $ | 1,740,080 | $ | 300,722 | $ | 137,478 | $ | 119,917 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 8,104 | $ | (2,185 | ) | $ | 961 | $ | 970 | $ | 304 | $ | 96 |
(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 for the Emerging Markets Debt Fund. |
(c) | Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) | Amount rounds to less than $1,000. |
Enhanced Income Fund | Real Return Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 8,234 | $ | 4,782 | $ | 7,038 | $ | 3,897 | $ | 384 | $ | 2,917 | |||||||||||||||
Net realized gain (loss) | (3,805 | ) | (267 | ) | (611 | ) | 585 | (747 | ) | (1,595 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (7,554 | ) | 147 | (213 | ) | 4,183 | 1,035 | (924 | ) | ||||||||||||||||||
Change in net assets resulting from operations | (3,125 | ) | 4,662 | 6,214 | 8,665 | 672 | 398 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | — | — | — | (63 | ) | (4 | ) | (12 | ) | ||||||||||||||||||
Class C | |||||||||||||||||||||||||||
From net investment income | — | — | — | (23 | ) | — | (c) | (1 | ) | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | — | — | — | (3,530 | ) | (421 | ) | (2,740 | ) | ||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (8,070 | ) | (4,780 | ) | (6,984 | ) | (359 | ) | (45 | ) | (22 | ) | |||||||||||||||
Return of capital | (189 | ) | — | — | — | — | — | ||||||||||||||||||||
Total distributions to shareholders | (8,259 | ) | (4,780 | ) | (6,984 | ) | (3,975 | ) | (470 | ) | (2,775 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | (68,540 | ) | 51,982 | (31,336 | ) | 4,482 | 7,887 | 62,811 | |||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Change in net assets | (79,924 | ) | 51,864 | (32,106 | ) | 9,172 | 8,089 | 60,434 | |||||||||||||||||||
Beginning of period | 183,102 | 131,238 | 163,344 | 68,523 | 60,434 | — | |||||||||||||||||||||
End of period | $ | 103,178 | $ | 183,102 | $ | 131,238 | $ | 77,695 | $ | 68,523 | $ | 60,434 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (173 | ) | $ | (1 | ) | $ | (1 | ) | $ | 338 | $ | 81 | $ | 23 |
(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 | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 85,886 | $ | 32,784 | $ | 33,666 | $ | 14,171 | $ | 10,472 | $ | 31,910 | |||||||||||||||
Net realized gain (loss) | (28,575 | ) | (7,569 | ) | (7,631 | ) | 3,124 | (5,863 | ) | (14,116 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | (32,299 | ) | 10,895 | (835 | ) | (8,617 | ) | 6,622 | (649 | ) | |||||||||||||||||
Change in net assets resulting from operations | 25,012 | 36,110 | 25,200 | 8,678 | 11,231 | 17,145 | |||||||||||||||||||||
Net equalization credits (debits) | — | — | — | (204 | ) | (294 | ) | (370 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (548 | ) | (203 | ) | (203 | ) | (1,177 | ) | (641 | ) | (1,562 | ) | |||||||||||||||
Class M | |||||||||||||||||||||||||||
From net investment income | — | — | — | (6,753 | ) | (4,320 | ) | (10,192 | ) | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (63,417 | ) | (23,067 | ) | (14,040 | ) | (6,250 | ) | (5,787 | ) | (18,630 | ) | |||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (21,722 | ) | (10,655 | ) | (19,301 | ) | — | — | — | ||||||||||||||||||
Total distributions to shareholders | (85,687 | ) | (33,925 | ) | (33,544 | ) | (14,180 | ) | (10,748 | ) | (30,384 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | (520,629 | ) | 624,844 | 400,725 | (96,618 | ) | (265,006 | ) | (214,576 | ) | |||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Change in net assets | (581,304 | ) | 627,029 | 392,381 | (102,324 | ) | (264,817 | ) | (228,185 | ) | |||||||||||||||||
Beginning of period | 1,653,298 | 1,026,269 | 633,888 | 352,121 | 616,938 | 845,123 | |||||||||||||||||||||
End of period | $ | 1,071,994 | $ | 1,653,298 | $ | 1,026,269 | $ | 249,797 | $ | 352,121 | $ | 616,938 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,585 | $ | (551 | ) | $ | 1,310 | $ | (144 | ) | $ | (34 | ) | $ | 190 |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
Strategic Income Fund | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||
Net investment income (loss) | $ | 1,089 | $ | 573 | $ | 994 | |||||||||
Net realized gain (loss) | (395 | ) | (160 | ) | (447 | ) | |||||||||
Change in net unrealized appreciation (depreciation) | (880 | ) | 546 | 156 | |||||||||||
Change in net assets resulting from operations | (186 | ) | 959 | 703 | |||||||||||
Net equalization credits (debits) | (18 | ) | (2 | ) | 5 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||
Class A | |||||||||||||||
From net investment income | (380 | ) | (185 | ) | (265 | ) | |||||||||
Class B | |||||||||||||||
From net investment income | (215 | ) | (133 | ) | (314 | ) | |||||||||
Class C | |||||||||||||||
From net investment income | (121 | ) | (73 | ) | (136 | ) | |||||||||
Class M | |||||||||||||||
From net investment income | (40 | ) | (77 | ) | (207 | ) | |||||||||
Select Class | |||||||||||||||
From net investment income | (87 | ) | (48 | ) | (113 | ) | |||||||||
Institutional Class | |||||||||||||||
From net investment income | (184 | ) | (101 | ) | (151 | ) | |||||||||
Total distributions to shareholders | (1,027 | ) | (617 | ) | (1,186 | ) | |||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||
Change in net assets from capital transactions | (8,100 | ) | (783 | ) | 3,224 | ||||||||||
NET ASSETS | |||||||||||||||
Change in net assets | (9,331 | ) | (443 | ) | 2,746 | ||||||||||
Beginning of period | 24,605 | 25,048 | 22,302 | ||||||||||||
End of period | $ | 15,274 | $ | 24,605 | $ | 25,048 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 185 | $ | (4 | ) | $ | 73 |
(a) | The Fund changed its fiscal year end from August 31 to the last day of February. |
FOR THE PERIODS INDICATED (continued)
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) (c) | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 20,591 | $ | 9,853 | $ | 13,249 | $ | 15,321 | $ | 2,130 | $ | 40 | |||||||||||||||
Dividends and distributions reinvested | 1,043 | 365 | 575 | 579 | 8 | — | (e) | ||||||||||||||||||||
Cost of shares redeemed | (14,713 | ) | (3,778 | ) | (5,735 | ) | (9,276 | ) | (55 | ) | — | ||||||||||||||||
Redemption fees | — | — | — | 1 | — | (e) | — | (e) | |||||||||||||||||||
Change in net assets from Class A capital transactions | $ | 6,921 | $ | 6,440 | $ | 8,089 | $ | 6,625 | $ | 2,083 | $ | 40 | |||||||||||||||
Class B | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 2,256 | $ | 1,112 | $ | 1,245 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 124 | 44 | 87 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (1,593 | ) | (444 | ) | (665 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Class B capital transactions | $ | 787 | $ | 712 | $ | 667 | $ | — | $ | — | $ | — | |||||||||||||||
Class C | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 6,191 | $ | 2,903 | $ | 2,350 | $ | 4,511 | $ | 1,292 | $ | 26 | |||||||||||||||
Dividends and distributions reinvested | 186 | 54 | 67 | 237 | 15 | — | (e) | ||||||||||||||||||||
Cost of shares redeemed | (3,436 | ) | (431 | ) | (225 | ) | (710 | ) | (16 | ) | — | ||||||||||||||||
Redemption fees | — | — | — | 1 | — | (e) | — | (e) | |||||||||||||||||||
Change in net assets from Class C capital transactions | $ | 2,941 | $ | 2,526 | $ | 2,192 | $ | 4,039 | $ | 1,291 | $ | 26 | |||||||||||||||
Class R5 (d) | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 14,037 | $ | 5,842 | $ | 2,254 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | 1,657 | 193 | 33 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (935 | ) | (130 | ) | — | |||||||||||||||||||
Redemption fees | — | — | — | 4 | — | (e) | — | (e) | |||||||||||||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | — | $ | 14,763 | $ | 5,905 | $ | 2,287 | |||||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 716,798 | $ | 450,726 | $ | 597,386 | $ | 198,351 | $ | 31,105 | $ | 118,045 | |||||||||||||||
Subscriptions in-kind (Note 8) | — | — | 744,265 | — | — | — | |||||||||||||||||||||
Dividends and distributions reinvested | 26,966 | 3,800 | 10,560 | 6,144 | 1,367 | 7,995 | |||||||||||||||||||||
Cost of shares redeemed | (995,991 | ) | (321,936 | ) | (226,087 | ) | (54,085 | ) | (29,193 | ) | (38,629 | ) | |||||||||||||||
Redemption fees | — | — | — | 38 | 2 | 24 | |||||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | (252,227 | ) | $ | 132,590 | $ | 1,126,124 | $ | 150,448 | $ | 3,281 | $ | 87,435 | ||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 166,454 | $ | 241,014 | $ | 115,518 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 13,089 | 5,432 | 12,418 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (205,895 | ) | (116,742 | ) | (108,417 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (26,352 | ) | $ | 129,704 | $ | 19,519 | $ | — | $ | — | $ | — | ||||||||||||||
Ultra | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 46,145 | $ | 24,334 | $ | 54,168 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 5,205 | 2,196 | 5,728 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (27,569 | ) | (11,641 | ) | (32,337 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Ultra capital transactions | $ | 23,781 | $ | 14,889 | $ | 27,559 | $ | — | $ | — | $ | — | |||||||||||||||
Total change in net assets from capital transactions | $ | (244,149 | ) | $ | 286,861 | $ | 1,184,150 | $ | 175,875 | $ | 12,560 | $ | 89,788 |
(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 for the Emerging Markets Debt Fund. |
(c) | Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) | Amount rounds to less than $1,000. |
Bond Fund | Emerging Markets Debt Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b)(c) | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 2,226 | 1,053 | 1,415 | 1,738 | 247 | 5 | |||||||||||||||||||||
Reinvested | 114 | 39 | 62 | 68 | 1 | — | (e) | ||||||||||||||||||||
Redeemed | (1,611 | ) | (404 | ) | (615 | ) | (1,085 | ) | (6 | ) | — | ||||||||||||||||
Change in Class A Shares | 729 | 688 | 862 | 721 | 242 | 5 | |||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Issued | 247 | 120 | 134 | — | — | — | |||||||||||||||||||||
Reinvested | 14 | 5 | 9 | — | — | — | |||||||||||||||||||||
Redeemed | (176 | ) | (48 | ) | (71 | ) | — | — | — | ||||||||||||||||||
Change in Class B Shares | 85 | 77 | 72 | — | — | — | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Issued | 675 | 311 | 251 | 515 | 150 | 3 | |||||||||||||||||||||
Reinvested | 21 | 6 | 7 | 28 | 2 | — | (e) | ||||||||||||||||||||
Redeemed | (378 | ) | (46 | ) | (24 | ) | (83 | ) | (2 | ) | — | ||||||||||||||||
Change in Class C Shares | 318 | 271 | 234 | 460 | 150 | 3 | |||||||||||||||||||||
Class R5 (d) | |||||||||||||||||||||||||||
Issued | — | — | — | 1,586 | 686 | 285 | |||||||||||||||||||||
Reinvested | — | — | — | 193 | 22 | 4 | |||||||||||||||||||||
Redeemed | — | — | — | (106 | ) | (16 | ) | — | |||||||||||||||||||
Change in Class R5 Shares | — | — | — | 1,673 | 692 | 289 | |||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 78,063 | 48,649 | 64,971 | 22,695 | 3,581 | 13,930 | |||||||||||||||||||||
Subscriptions in-kind | — | — | 80,114 | — | — | — | |||||||||||||||||||||
Reinvested | 2,987 | 410 | 1,138 | 717 | 158 | 969 | |||||||||||||||||||||
Redeemed | (110,580 | ) | (34,689 | ) | (24,545 | ) | (6,279 | ) | (3,373 | ) | (4,616 | ) | |||||||||||||||
Change in Select Class Shares | (29,530 | ) | 14,370 | 121,678 | 17,133 | 366 | 10,283 | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 18,319 | 25,948 | 12,514 | — | — | — | |||||||||||||||||||||
Reinvested | 1,449 | 586 | 1,339 | — | — | — | |||||||||||||||||||||
Redeemed | (22,790 | ) | (12,543 | ) | (11,627 | ) | — | — | — | ||||||||||||||||||
Change in Institutional Class Shares | (3,022 | ) | 13,991 | 2,226 | — | — | — | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Issued | 5,126 | 2,614 | 5,754 | — | — | — | |||||||||||||||||||||
Reinvested | 576 | 237 | 617 | — | — | — | |||||||||||||||||||||
Redeemed | (3,082 | ) | (1,255 | ) | (3,479 | ) | — | — | — | ||||||||||||||||||
Change in Ultra Shares | 2,620 | 1,596 | 2,892 | — | — | — |
(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 for the Emerging Markets Debt Fund. |
(c) | Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Enhanced Income Fund | Real Return Fund | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Period Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 4,834 | $ | 67 | $ | 691 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | 49 | 3 | 6 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (481 | ) | (24 | ) | (107 | ) | ||||||||||||||||||
Change in net assets from Class A capital transactions | $ | — | $ | — | $ | — | $ | 4,402 | $ | 46 | $ | 590 | |||||||||||||||
Class C | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 3,908 | $ | 3 | $ | 24 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | 20 | — | (c) | 1 | ||||||||||||||||||||
Cost of shares redeemed | — | — | — | (26 | ) | — | — | (c) | |||||||||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | — | $ | 3,902 | $ | 3 | $ | 25 | |||||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 4,331 | $ | 2,300 | $ | 60,834 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | 3,530 | 421 | 1,957 | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (12,106 | ) | — | (1,530 | ) | |||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | — | $ | — | $ | — | $ | (4,245 | ) | $ | 2,721 | $ | 61,261 | ||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 94,077 | $ | 73,528 | $ | 93,886 | $ | 363 | $ | 5,110 | $ | 928 | |||||||||||||||
Dividends and distributions reinvested | 5,748 | 3,669 | 6,204 | 60 | 7 | 22 | |||||||||||||||||||||
Cost of shares redeemed | (168,365 | ) | (25,215 | ) | (131,426 | ) | — | — | (15 | ) | |||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (68,540 | ) | $ | 51,982 | $ | (31,336 | ) | $ | 423 | $ | 5,117 | $ | 935 | |||||||||||||
Total change in net assets from capital transactions | $ | (68,540 | ) | $ | 51,982 | $ | (31,336 | ) | $ | 4,482 | $ | 7,887 | $ | 62,811 |
(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 | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 (b) | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | — | — | — | 490 | 7 | 72 | |||||||||||||||||||||
Reinvested | — | — | — | 5 | — | (c) | — | (c) | |||||||||||||||||||
Redeemed | — | — | — | (50 | ) | (2 | ) | (11 | ) | ||||||||||||||||||
Change in Class A Shares | — | — | — | 445 | 5 | 61 | |||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Issued | — | — | — | 397 | — | (c) | 3 | ||||||||||||||||||||
Reinvested | — | — | — | 2 | — | (c) | — | (c) | |||||||||||||||||||
Redeemed | — | — | — | (3 | ) | — | — | (c) | |||||||||||||||||||
Change in Class C Shares | — | — | — | 396 | — | (c) | 3 | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | — | — | — | 460 | 247 | 6,135 | |||||||||||||||||||||
Reinvested | — | — | — | 372 | 44 | 207 | |||||||||||||||||||||
Redeemed | — | — | — | (1,244 | ) | — | (161 | ) | |||||||||||||||||||
Change in Select Class Shares | — | — | — | (412 | ) | 291 | 6,181 | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 9,634 | 7,523 | 9,579 | 38 | 539 | 98 | |||||||||||||||||||||
Reinvested | 602 | 376 | 635 | 7 | 1 | 2 | |||||||||||||||||||||
Redeemed | (17,529 | ) | (2,575 | ) | (13,408 | ) | — | — | (1 | ) | |||||||||||||||||
Change in Institutional Class Shares | (7,293 | ) | 5,324 | (3,194 | ) | 45 | 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 | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 10,776 | $ | 4,315 | $ | 3,712 | $ | 6,310 | $ | 1,081 | $ | 4,577 | |||||||||||||||
Dividends and distributions reinvested | 514 | 193 | 197 | 1,118 | 582 | 1,410 | |||||||||||||||||||||
Cost of shares redeemed | (8,426 | ) | (1,831 | ) | (1,428 | ) | (8,955 | ) | (9,574 | ) | (14,049 | ) | |||||||||||||||
Change in net assets from Class A capital transactions | $ | 2,864 | $ | 2,677 | $ | 2,481 | $ | (1,527 | ) | $ | (7,911 | ) | $ | (8,062 | ) | ||||||||||||
Class M | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | 1 | $ | — | $ | 388 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | — | (b) | — | 1 | ||||||||||||||||||||
Cost of shares redeemed | — | — | — | (28,875 | ) | (33,459 | ) | (157,508 | ) | ||||||||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | — | $ | (28,874 | ) | $ | (33,459 | ) | $ | (157,119 | ) | ||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 500,278 | $ | 704,823 | $ | 560,733 | $ | 8,986 | $ | 12,169 | $ | 103,808 | |||||||||||||||
Dividends and distributions reinvested | 3,886 | 1,999 | 2,346 | 272 | 270 | 728 | |||||||||||||||||||||
Cost of shares redeemed | (816,136 | ) | (158,187 | ) | (79,887 | ) | (75,475 | ) | (236,075 | ) | (153,931 | ) | |||||||||||||||
Change in net assets from Select Class capital transactions | $ | (311,972 | ) | $ | 548,635 | $ | 483,192 | $ | (66,217 | ) | $ | (223,636 | ) | $ | (49,395 | ) | |||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 128,940 | $ | 240,826 | $ | 141,259 | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 11,725 | 7,005 | 13,896 | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (352,186 | ) | (174,299 | ) | (240,103 | ) | — | — | — | ||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (211,521 | ) | $ | 73,532 | $ | (84,948 | ) | $ | — | $ | — | $ | — | |||||||||||||
Total change in net assets from capital transactions | $ | (520,629 | ) | $ | 624,844 | $ | 400,725 | $ | (96,618 | ) | $ | (265,006 | ) | $ | (214,576 | ) |
(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. |
Short Term Bond Fund | Short Term Bond Fund II | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | | Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 1,148 | 454 | 389 | 642 | 110 | 464 | |||||||||||||||||||||
Reinvested | 55 | 20 | 21 | 115 | 59 | 143 | |||||||||||||||||||||
Redeemed | (906 | ) | (192 | ) | (150 | ) | (916 | ) | (973 | ) | (1,423 | ) | |||||||||||||||
Change in Class A Shares | 297 | 282 | 260 | (159 | ) | (804 | ) | (816 | ) | ||||||||||||||||||
Class M | |||||||||||||||||||||||||||
Issued | — | — | — | — | (b) | — | 39 | ||||||||||||||||||||
Reinvested | — | — | — | — | (b) | — | — | (b) | |||||||||||||||||||
Redeemed | — | — | — | (2,950 | ) | (3,403 | ) | (15,882 | ) | ||||||||||||||||||
Change in Class M Shares | — | — | — | (2,950 | ) | (3,403 | ) | (15,843 | ) | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 52,766 | 73,963 | 58,968 | 914 | 1,234 | 10,490 | |||||||||||||||||||||
Reinvested | 415 | 210 | 247 | 28 | 28 | 74 | |||||||||||||||||||||
Redeemed | (87,596 | ) | (16,585 | ) | (8,372 | ) | (7,736 | ) | (23,939 | ) | (15,572 | ) | |||||||||||||||
Change in Select Class Shares | (34,415 | ) | 57,588 | 50,843 | (6,794 | ) | (22,677 | ) | (5,008 | ) | |||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 13,637 | 25,250 | 14,788 | — | — | — | |||||||||||||||||||||
Reinvested | 1,250 | 736 | 1,460 | — | — | — | |||||||||||||||||||||
Redeemed | (37,736 | ) | (18,245 | ) | (25,159 | ) | — | — | — | ||||||||||||||||||
Change in Institutional Class Shares | (22,849 | ) | 7,741 | (8,911 | ) | — | — | — |
(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 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||
Class A | |||||||||||||||
Proceeds from shares issued | $ | 1,979 | $ | 1,526 | $ | 4,254 | |||||||||
Dividends and distributions reinvested | 211 | 105 | 156 | ||||||||||||
Cost of shares redeemed | (3,096 | ) | (683 | ) | (1,650 | ) | |||||||||
Redemption fees | — | — | 1 | ||||||||||||
Change in net assets from Class A capital transactions | $ | (906 | ) | $ | 948 | $ | 2,761 | ||||||||
Class B | |||||||||||||||
Proceeds from shares issued | $ | 422 | $ | 315 | $ | 909 | |||||||||
Dividends and distributions reinvested | 131 | 78 | 179 | ||||||||||||
Cost of shares redeemed | (2,283 | ) | (971 | ) | (1,660 | ) | |||||||||
Redemption fees | — | — | 2 | ||||||||||||
Change in net assets from Class B capital transactions | $ | (1,730 | ) | $ | (578 | ) | $ | (570 | ) | ||||||
Class C | |||||||||||||||
Proceeds from shares issued | $ | 676 | $ | 428 | $ | 1,583 | |||||||||
Dividends and distributions reinvested | 77 | 46 | 89 | ||||||||||||
Cost of shares redeemed | (1,528 | ) | (707 | ) | (970 | ) | |||||||||
Redemption fees | — | — | 1 | ||||||||||||
Change in net assets from Class C capital transactions | $ | (775 | ) | $ | (233 | ) | $ | 703 | |||||||
Class M | |||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 7 | |||||||||
Dividends and distributions reinvested | — | — | 18 | ||||||||||||
Cost of shares redeemed | (2,948 | ) | (509 | ) | (1,518 | ) | |||||||||
Redemption fees | — | — | 1 | ||||||||||||
Change in net assets from Class M capital transactions | $ | (2,948 | ) | $ | (509 | ) | $ | (1,492 | ) | ||||||
Select Class | |||||||||||||||
Proceeds from shares issued | $ | 245 | $ | 191 | $ | 984 | |||||||||
Dividends and distributions reinvested | 74 | 40 | 94 | ||||||||||||
Cost of shares redeemed | (761 | ) | (425 | ) | (1,123 | ) | |||||||||
Redemption fees | — | — | — | (b) | |||||||||||
Change in net assets from Select Class capital transactions | $ | (442 | ) | $ | (194 | ) | $ | (45 | ) | ||||||
Institutional Class | |||||||||||||||
Proceeds from shares issued | $ | 867 | $ | 106 | $ | 2,481 | |||||||||
Dividends and distributions reinvested | 71 | 60 | 144 | ||||||||||||
Cost of shares redeemed | (2,237 | ) | (383 | ) | (759 | ) | |||||||||
Redemption fees | — | — | 1 | ||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (1,299 | ) | $ | (217 | ) | $ | 1,867 | |||||||
Total change in net assets from capital transactions | $ | (8,100 | ) | $ | (783 | ) | $ | 3,224 |
(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. |
Strategic Income Fund | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year Ended 2/29/2008 | | Period Ended 2/28/2007 (a) | | Year Ended 8/31/2006 | ||||||||||
SHARE TRANSACTIONS: | |||||||||||||||
Class A | |||||||||||||||
Issued | 220 | 166 | 469 | ||||||||||||
Reinvested | 24 | 11 | 17 | ||||||||||||
Redeemed | (349 | ) | (74 | ) | (180 | ) | |||||||||
Change in Class A Shares | (105 | ) | 103 | 306 | |||||||||||
Class B | |||||||||||||||
Issued | 46 | 34 | 100 | ||||||||||||
Reinvested | 15 | 9 | 20 | ||||||||||||
Redeemed | (256 | ) | (106 | ) | (182 | ) | |||||||||
Change in Class B Shares | (195 | ) | (63 | ) | (62 | ) | |||||||||
Class C | |||||||||||||||
Issued | 76 | 47 | 175 | ||||||||||||
Reinvested | 9 | 5 | 10 | ||||||||||||
Redeemed | (170 | ) | (77 | ) | (107 | ) | |||||||||
Change in Class C Shares | (85 | ) | (25 | ) | 78 | ||||||||||
Class M | |||||||||||||||
Issued | — | — | 1 | ||||||||||||
Reinvested | — | — | 2 | ||||||||||||
Redeemed | (324 | ) | (55 | ) | (166 | ) | |||||||||
Change in Class M Shares | (324 | ) | (55 | ) | (163 | ) | |||||||||
Select Class | |||||||||||||||
Issued | 27 | 21 | 108 | ||||||||||||
Reinvested | 8 | 4 | 10 | ||||||||||||
Redeemed | (86 | ) | (46 | ) | (124 | ) | |||||||||
Change in Select Class Shares | (51 | ) | (21 | ) | (6 | ) | |||||||||
Institutional Class | |||||||||||||||
Issued | 99 | 11 | 271 | ||||||||||||
Reinvested | 8 | 7 | 16 | ||||||||||||
Redeemed | (257 | ) | (42 | ) | (84 | ) | |||||||||
Change in Institutional Class Shares | (150 | ) | (24 | ) | 203 |
(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 YEAR ENDED FEBRUARY 29, 2008
| Emerging Markets Debt Fund | |||||
---|---|---|---|---|---|---|
INCREASE (DECREASE) IN CASH | ||||||
Cash flows used by operating activities: | ||||||
Net increase in net assets from operations | $ | 8,781 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash used by operating activities: | ||||||
Purchase of investment securities | (341,116 | ) | ||||
Proceeds from disposition of investment securities | 180,036 | |||||
Purchases of short-term investments, net | (636 | ) | ||||
Net amortization/accretion | (198 | ) | ||||
Unrealized appreciation/depreciation on foreign currency translations | 420 | |||||
Unrealized appreciation/depreciation on swap contracts | 5,253 | |||||
Unrealized appreciation/depreciation on investments | 3,757 | |||||
Realized gain/loss on investments | 2,610 | |||||
Increase in dividends and interest receivable | (4,219 | ) | ||||
Increase in variation margin receivable | (818 | ) | ||||
Increase in variation margin payable | 371 | |||||
Decrease in premiums paid on swaps | 69 | |||||
Increase in accrued expenses and other liabilities | 226 | |||||
Net cash used by operating activities | (145,464 | ) | ||||
Cash flows provided by financing activities: | ||||||
Net proceeds from shares issued | 231,126 | |||||
Net cost of shares redeemed | (65,088 | ) | ||||
Redemption fees | 44 | |||||
Cash distributions paid | (12,669 | ) | ||||
Net cash provided by financing activities | 153,413 | |||||
Net increase in cash | 7,949 | |||||
Cash: | ||||||
Beginning of period (including foreign currency of $353) | 360 | |||||
End of period (including foreign currency of $270) | $ | 8,309 |
| Strategic Income Fund | |||||
---|---|---|---|---|---|---|
INCREASE (DECREASE) IN CASH | ||||||
Cash flows used by operating activities: | ||||||
Net decrease in net assets from operations | $ | (186 | ) | |||
Adjustments to reconcile net decrease in net assets from operations to net cash used by operating activities: | ||||||
Purchase of investment securities | (215,724 | ) | ||||
Proceeds from disposition of investment securities | 221,950 | |||||
Purchases of short-term investments, net | 4,077 | |||||
Decrease in proceeds received on short positions | (596 | ) | ||||
Net amortization/accretion | (15 | ) | ||||
Decrease in premiums received on written options | (1.397 | ) | ||||
Decrease in premiums received on swaps | (40 | ) | ||||
Increase in premiums payed on swaps | (13 | ) | ||||
Unrealized appreciation/depreciation on foreign currency translations | 13 | |||||
Unrealized appreciation/depreciation on swap contracts | 111 | |||||
Unrealized appreciation/depreciation on written options | 280 | |||||
Unrealized appreciation/depreciation on securities sold short | — | (a) | ||||
Unrealized appreciation/depreciation on investments | 512 | |||||
Realized gain/loss on investments | 185 | |||||
Decrease in dividends and interest receivable | 98 | |||||
Increase in variation margin receivable | (49 | ) | ||||
Increase in due from advisor and affiliates | 4 | |||||
Increase in variation margin payable | 31 | |||||
Decrease in accrued expenses and other liabilities | (18 | ) | ||||
Net cash used by operating activities | 9,223 | |||||
Cash flows provided by financing activities: | ||||||
Net proceeds from shares issued | 4,204 | |||||
Net cost of shares redeemed | (12,907 | ) | ||||
Cash distributions paid | (479 | ) | ||||
Net cash provided by financing activities | (9,182 | ) | ||||
Net increase in cash | 41 | |||||
Cash: | ||||||
Beginning of period (including foreign currency of $0) | (2 | ) | ||||
End of period (including foreign currency of $17) | $ | 39 |
(a) | Rounds to less than $1,000. |
FOR THE PERIODS INDICATED
| | | | Per share operating performance | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.40 | $ | 0.47 | $ | (0.54 | ) | $ | (0.07 | ) | $ | (0.46 | ) | $ | — | $ | — | $ | (0.46 | ) | |||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | ||||||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 8.73 | 0.54 | (0.18 | ) | 0.36 | (0.53 | ) | (0.15 | ) | — | (0.68 | ) | |||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.52 | 0.54 | 0.58 | 1.12 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.52 | 0.44 | (0.32 | ) | 0.12 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | |||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.84 | 0.22 | (h) | 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 | (h) | (0.02 | ) | 0.19 | (0.21 | ) | — | — | (i) | (0.21 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.23 | (h) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | — | (i) | (0.29 | ) | |||||||||||||||||||||
Strategic Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.51 | (h) | (0.54 | ) | (0.03 | ) | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.11 | 0.22 | (h) | 0.15 | 0.37 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.43 | (h) | (0.14 | ) | 0.29 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | 0.30 | 0.33 | 0.63 | (0.38 | ) | — | — | (0.38 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.48 | (h) | 0.15 | 0.63 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.64 | 0.40 | (h) | 0.31 | 0.71 | (0.43 | ) | — | — | (0.43 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Commencement of offering of class of shares. |
(g) | Commencement of operations was September 1, 2005. |
(h) | Calculated based on average shares outstanding. |
(i) | Amount rounds to less than $0.01. |
(j) | Includes interest expense of 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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||||
$— | $ | 8.87 | (0.82 | )% | $ | 25,579 | 0.75 | % | 5.22 | % | 0.97 | % | 821 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | (i) | 8.41 | 4.22 | 8,140 | 1.47 | 7.22 | 1.47 | 80 | ||||||||||||||||||||||||
— | (i) | 8.73 | 6.96 | 2,154 | 1.50 | 5.20 | 1.59 | 68 | ||||||||||||||||||||||||
— | (i) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | ||||||||||||||||||||||||
— | 10.13 | 12.30 | 5,171 | 0.90 | 4.60 | 1.92 | 494 | |||||||||||||||||||||||||
— | 9.52 | 0.78 | 630 | 0.90 | 0.85 | 1.34 | 154 | |||||||||||||||||||||||||
— | 9.51 | (0.33 | ) | 584 | 0.90 | 3.96 | 1.45 | 223 | ||||||||||||||||||||||||
— | 9.19 | 1.26 | 10,944 | 0.75 | 4.69 | 0.90 | 506 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.66 | 2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 8.72 | (0.31 | ) | 6,355 | 1.15 | 5.65 | 2.69 | 704 | ||||||||||||||||||||||||
— | 9.24 | 4.05 | 7,705 | 1.15 | 4.78 | 3.74 | 223 | |||||||||||||||||||||||||
— | (i) | 9.11 | 3.24 | 6,660 | 1.15 | 4.67 | 3.77 | 299 | ||||||||||||||||||||||||
— | 9.33 | 7.04 | 3,965 | 1.17 | 4.29 | 2.11 | 461 | |||||||||||||||||||||||||
— | 9.08 | 7.20 | 802 | 1.27 | (j) | 5.31 | 4.23 | 152 | ||||||||||||||||||||||||
— | 8.92 | 8.33 | 300 | 1.25 | 4.45 | 7.26 | 248 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.34 | $ | 0.41 | $ | (0.55 | ) | $ | (0.14 | ) | $ | (0.40 | ) | $ | — | $ | — | $ | (0.40 | ) | |||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | — | (h) | (0.55 | ) | |||||||||||||||||||||||
Year Ended August 31, 2003 | 10.05 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.08 | ) | — | (0.40 | ) | |||||||||||||||||||||||
Strategic Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.46 | (g) | (0.54 | ) | (0.08 | ) | (0.44 | ) | — | — | (0.44 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.11 | 0.20 | (g) | 0.14 | 0.34 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.32 | 0.39 | (g) | (0.14 | ) | 0.25 | (0.46 | ) | — | — | (0.46 | ) | |||||||||||||||||||||||
February 18, 2005 (f) through 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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Commencement of offering of class of shares. |
(g) | Calculated based on average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
Ratios/Supplemental data | | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||||
Redemption fees | | Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||||
$— | $ | 8.80 | (1.58 | )% | $ | 4,113 | 1.40 | % | 4.56 | % | 1.47 | % | 821 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 8.72 | (0.86 | ) | 3,492 | 1.65 | 5.13 | 3.16 | 704 | ||||||||||||||||||||||||
— | 9.24 | 3.79 | 5,498 | 1.65 | 4.28 | 4.23 | 223 | |||||||||||||||||||||||||
— | (h) | 9.11 | 2.80 | 5,996 | 1.65 | 4.21 | 4.08 | 299 | ||||||||||||||||||||||||
— | 9.32 | 2.77 | 6,715 | 1.65 | 3.91 | 2.43 | 461 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.39 | $ | 0.42 | $ | (0.56 | ) | $ | (0.14 | ) | $ | (0.40 | ) | $ | — | $ | (0.40 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 (f) through August 31, 2003 | 10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 8.73 | 0.50 | (0.19 | ) | 0.31 | (0.49 | ) | (0.15 | ) | (0.64 | ) | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 8.39 | 0.20 | 0.36 | 0.56 | (0.19 | ) | (0.03 | ) | (0.22 | ) | |||||||||||||||||||||
June 30, 2006 (f) through August 31, 2006 | 7.93 | 0.07 | 0.47 | 0.54 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.49 | 0.50 | 0.57 | 1.07 | (0.48 | ) | — | (0.48 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.50 | 0.02 | 0.02 | 0.04 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||
Year Ended August 31, 2006 (g) | 10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||||
Strategic Income Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.46 | (h) | (0.54 | ) | (0.08 | ) | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 (f) 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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Commencement of offering of class of shares. |
(g) | Commencement of operations was September 1, 2005. |
(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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||||
$— | $ | 8.85 | (1.54 | )% | $ | 7,659 | 1.40 | % | 4.57 | % | 1.47 | % | 821 | % | ||||||||||||||||||
— | 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) | 8.40 | 3.63 | 5,154 | 1.97 | 6.50 | 1.98 | 80 | ||||||||||||||||||||||||
— | (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 | ||||||||||||||||||||||||
— | 10.08 | 11.71 | 4,023 | 1.40 | 3.36 | 2.75 | 494 | |||||||||||||||||||||||||
— | 9.49 | 0.48 | 27 | 1.40 | 0.41 | 1.85 | 154 | |||||||||||||||||||||||||
— | 9.50 | (0.80 | ) | 24 | 1.40 | 4.58 | 1.95 | 223 | ||||||||||||||||||||||||
— | 8.72 | (0.84 | ) | 2,177 | 1.65 | 5.10 | 3.19 | 704 | ||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.85 | $ | 0.41 | $ | (0.18 | ) | $ | 0.23 | $ | (0.42 | ) | $ | — | $ | — | $ | (0.42 | ) | ||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.84 | 0.21 | (f) | 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 | (f) | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (g) | (0.18 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.21 | (f) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | — | (g) | (0.27 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Calculated based on average shares outstanding. |
(g) | Amount rounds to less than $0.01. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$ 9.66 | 2.42 | % | $ | 144,078 | 1.00 | % | 4.26 | % | 1.11 | % | 338 | % | |||||||||||||||
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 |
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 | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 8.73 | $ | 0.60 | $ | (0.19 | ) | $ | 0.41 | $ | (0.57 | ) | $ | (0.15 | ) | $ | (0.72 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (f) | 8.39 | 0.24 | 0.36 | 0.60 | (0.23 | ) | (0.03 | ) | (0.26 | ) | |||||||||||||||||||||
May 15, 2006 (g) through August 31, 2006 | 8.07 | 0.14 | 0.33 | 0.47 | (0.15 | ) | — | (0.15 | ) |
(a) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(b) | Annualized for periods less than one year. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(f) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(g) | Commencement of offering of class of shares. |
(h) | Amount rounds to less than $0.01. |
Ratios/Supplemental data | | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (b) | ||||||||||||||||||||||||||||||||
Redemption fees | | Net asset value, end of period | | Total return (c)(d) | | Net assets end of period (000’s) | | Net expenses (e) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (c) | ||||||||||||||||||
$—(h) | $ | 8.42 | 4.79 | % | $ | 22,347 | 1.02 | % | 7.25 | % | 1.03 | % | 80 | % | ||||||||||||||||||
—(h) | 8.73 | 7.15 | 8,571 | 1.05 | 5.42 | 1.14 | 68 | |||||||||||||||||||||||||
—(h) | 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 | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.31 | $ | 0.48 | $ | (0.54 | ) | $ | (0.06 | ) | $ | (0.47 | ) | $ | — | $ | (0.47 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 8.74 | 0.56 | (0.18 | ) | 0.38 | (0.55 | ) | (0.15 | ) | (0.70 | ) | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | ||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.54 | 0.52 | 0.63 | 1.15 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.53 | 0.06 | 0.02 | 0.08 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
Year Ended August 31, 2006 (f) | 10.00 | 0.48 | (0.49 | ) | (0.01 | ) | (0.46 | ) | — | (0.46 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Commencement of operations was September 1, 2005. |
(g) | Includes a voluntary contribution from Advisor. The total return without the voluntary contribution would have been 10.46%. |
(h) | Amount rounds to less than $0.01. |
(i) | Includes interest expense of 0.01%. |
| | | 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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||||||
$— | $ | — | $ | 8.78 | (0.71 | )% | $ | 1,116,991 | 0.65 | % | 5.31 | % | 0.71 | % | 821 | % | |||||||||||||||||||
— | — | 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 | |||||||||||||||||||||||||||
— | — | (h) | 8.42 | 4.48 | 265,081 | 1.22 | 7.10 | 1.23 | 80 | ||||||||||||||||||||||||||
— | — | (h) | 8.74 | 7.17 | 125,421 | 1.25 | 4.98 | 1.35 | 68 | ||||||||||||||||||||||||||
0.04 | (g) | — | (h) | 8.39 | 10.99 | (g) | 117,423 | 1.26 | (i) | 5.77 | 1.42 | 270 | |||||||||||||||||||||||
— | — | (h) | 9.29 | 19.87 | 34,448 | 1.25 | 6.56 | 1.72 | 337 | ||||||||||||||||||||||||||
— | — | 9.58 | 14.56 | 36,145 | 1.26 | (i) | 7.01 | 1.65 | 166 | ||||||||||||||||||||||||||
— | — | 9.02 | 30.49 | 60,000 | 1.25 | 8.11 | 1.52 | 157 | |||||||||||||||||||||||||||
— | — | 10.16 | 12.63 | 61,551 | 0.65 | 5.50 | 1.31 | 494 | |||||||||||||||||||||||||||
— | — | 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 |
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 | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.53 | $ | 0.46 | $ | (0.32 | ) | $ | 0.14 | $ | (0.47 | ) | $ | — | $ | — | $ | (0.47 | ) | ||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | |||||||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.86 | 0.23 | (f) | 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 | (f) | (0.03 | ) | 0.20 | (0.23 | ) | — | — | (g) | (0.23 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.35 | 0.27 | (f) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | — | (g) | (0.32 | ) | |||||||||||||||||||||
Strategic Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.53 | (f) | (0.54 | ) | (0.01 | ) | (0.51 | ) | — | — | (0.51 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.12 | 0.23 | (f) | 0.14 | 0.37 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.45 | (f) | (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 | (f) | 0.16 | 0.65 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.45 | (f) | 0.27 | 0.72 | (0.45 | ) | — | — | (0.45 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Calculated based on average shares outstanding. |
(g) | Amount rounds to less than $0.01. |
(h) | Includes interest expense of 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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | | |||||||||||||||||||
$— | $ | 9.20 | 1.47 | % | $ | 832,289 | 0.55 | % | 4.94 | % | 0.65 | % | 506 | % | ||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||
— | 9.68 | 3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | |||||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||
— | 8.72 | (0.07 | ) | 1,086 | 0.90 | 5.94 | 2.39 | 704 | ||||||||||||||||||||||||||
— | 9.24 | 4.07 | 1,627 | 0.90 | 5.03 | 3.46 | 223 | |||||||||||||||||||||||||||
— | (g) | 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 | (h) | 5.44 | 1.95 | 152 | ||||||||||||||||||||||||||
— | 8.92 | 8.48 | 3,000 | 1.00 | 5.10 | 1.48 | 248 |
FOR THE PERIODS INDICATED (continued)
| | | Per share operating performance | | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.31 | $ | 0.50 | $ | (0.56 | ) | $ | (0.06 | ) | $ | (0.48 | ) | $ | — | $ | — | $ | (0.48 | ) | |||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | |||||||||||||||||||||||
Enhanced Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.75 | 0.53 | (0.76 | ) | (0.23 | ) | (0.51 | ) | — | (0.02 | ) | (0.53 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | ||||||||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.55 | 0.54 | 0.63 | 1.17 | (0.55 | ) | — | — | (0.55 | ) | |||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.53 | 0.06 | 0.03 | 0.09 | (0.07 | ) | — | — | (0.07 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2006 (f) | 10.00 | 0.49 | (0.49 | ) | — | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Short Term Bond Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.53 | 0.52 | (0.37 | ) | 0.15 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) | |||||||||||||||||||||||
Strategic Income Fund | |||||||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | 9.25 | 0.55 | (g) | (0.55 | ) | — | (h) | (0.53 | ) | — | — | (0.53 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.12 | 0.24 | (g) | 0.15 | 0.39 | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.48 | (g) | (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 | (g) | 0.17 | 0.68 | (0.52 | ) | — | — | (0.52 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.48 | (g) | 0.27 | 0.75 | (0.48 | ) | — | — | (0.48 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) | Commencement of operations was September 1, 2005. |
(g) | Calculated based on average shares outstanding. |
(h) | Amount rounds to less than $0.01. |
(i) | Includes interest expense of 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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||||
$— | $ | 8.77 | (0.68 | )% | $ | 349,342 | 0.49 | % | 5.47 | % | 0.56 | % | 821 | % | ||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 8.99 | (2.53 | ) | 103,178 | 0.20 | 5.37 | 0.56 | 269 | ||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 10.17 | 12.79 | 6,950 | 0.50 | 5.60 | 1.18 | 494 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 9.19 | 1.62 | 228,761 | 0.30 | 5.20 | 0.50 | 506 | |||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||
— | 8.72 | 0.08 | 2,164 | 0.65 | 6.15 | 2.23 | 704 | |||||||||||||||||||||||||
— | 9.25 | 4.30 | 3,684 | 0.65 | 5.28 | 3.34 | 223 | |||||||||||||||||||||||||
— | (h) | 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 | (i) | 5.63 | 1.22 | 152 | ||||||||||||||||||||||||
— | 8.92 | 8.86 | 108,000 | 0.65 | 5.42 | 0.97 | 248 |
FOR THE PERIODS INDICATED (continued)
| | | | Per share operating performance | | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gains | | Total distributions | ||||||||||||||||||
Bond Fund | |||||||||||||||||||||||||||||||
Year Ended February 29, 2008 | $ | 9.31 | $ | 0.51 | $ | (0.56 | ) | $ | (0.05 | ) | $ | (0.49 | ) | $ | — | $ | (0.49 | ) | |||||||||||||
September 1, 2006 through February 28, 2007 (e) | 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 | ) |
(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) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) | The Fund changed its fiscal year end from August 31 to the last day in February. |
| 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 (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$ 8.77 | (0.56 | )% | $ | 175,866 | 0.40 | % | 5.56 | % | 0.47 | % | 821 | % | |||||||||||||||
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 |
AS OF FEBRUARY 29, 2008
| 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, Class R5 (formerly 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, Select Class and Institutional Class | JPM I |
no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
| Market Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 46,888 | 2.8 | % | ||||||
Emerging Markets Debt Fund | 37,753 | 12.6 | ||||||||
Enhanced Income Fund | 2,766 | 2.7 | ||||||||
Real Return Fund | 1,273 | 1.6 | ||||||||
Short Term Bond Fund | 21,428 | 2.0 | ||||||||
Short Term Bond Fund II | 5,034 | 2.0 | ||||||||
Strategic Income Fund | 2,048 | 13.4 |
AS OF FEBRUARY 29, 2008 (continued)
Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 28, 2007 | 4,197 | $ | 753 | $ | 5,217,450 | $ | 38,405 | ||||||||||||
Options written | 57,399 | 32,765 | 10,269,928 | 86,104 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (49,530 | ) | (23,311 | ) | (14,214,952 | ) | (109,576 | ) | |||||||||||
Options outstanding at February 29, 2008 | 12,066 | $ | 10,207 | $ | 1,272,426 | $ | 14,933 |
Real Return Fund | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Notional Value | | Notional Value | | Premiums Received | ||||||||||||||||
Options outstanding at February 28, 2007 | 106,181 | $ | 34 | $ | 122,819 | EUR 1,000 | AUD — | $ | 1,464 | ||||||||||||||||||
Options written | (103,605 | ) | 1,379 | 345,393 | — | AUD 19,460 | 2,919 | ||||||||||||||||||||
Options expired | (44 | ) | (2 | ) | (13,106 | ) | — | — | (6 | ) | |||||||||||||||||
Options terminated in closing purchase transactions | (2,044 | ) | (941 | ) | (435,627 | ) | (1,000 | ) | — | (3,958 | ) | ||||||||||||||||
Options outstanding at February 29, 2008 | 488 | $ | 470 | $ | 19,479 | EUR — | AUD 19,460 | $ | 419 |
Short Term Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 28, 2007 | 533 | $ | 101 | $ | 1,612,870 | $ | 13,046 | ||||||||||||
Options written | 13,906 | 10,151 | 3,855,218 | 32,191 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (11,327 | ) | (7,255 | ) | (5,062,163 | ) | (40,749 | ) | |||||||||||
Options outstanding at February 29, 2008 | 3,112 | $ | 2,997 | $ | 405,925 | $ | 4,488 |
Short Term Bond II Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 28, 2007 | 164 | $ | 32 | $ | 319,031 | $ | 3,477 | ||||||||||||
Options written | 2,712 | 2,016 | 486,967 | 5,317 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (2,165 | ) | (1,361 | ) | (771,903 | ) | (8,164 | ) | |||||||||||
Options outstanding at February 29, 2008 | 711 | $ | 687 | $ | 34,095 | $ | 630 |
Strategic Income Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 28, 2007 | 114 | $ | 23 | $ | 158,040 | $ | 1,495 | ||||||||||||
Options written | 1,243 | 450 | 191,982 | 1,887 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (1,220 | ) | (417 | ) | (344,700 | ) | (3,317 | ) | |||||||||||
Options outstanding at February 29, 2008 | 137 | $ | 56 | $ | 5,322 | $ | 65 |
AS OF FEBRUARY 29, 2008 (continued)
the extent of any difference between the sales price and current market value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. However, during the commitment period, these investments earn no interest or dividends.
| Paid-in-capital | | Accumulated Undistributed/ (Overdistributed) Net Investment Income | | Accumulated Net Realized Gain (Loss) on Investments | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 3,983 | $ | 7,452 | $ | (11,435 | ) | |||||||
Emerging Markets Debt Fund | 336 | (56 | ) | (280 | ) | |||||||||
Enhanced Income Fund | (188 | ) | (147 | ) | 335 | |||||||||
Real Return Fund | — | 335 | (335 | ) | ||||||||||
Short Term Bond Fund | — | 2,937 | (2,937 | ) | ||||||||||
Short Term Bond Fund II | — | (101 | ) | 101 | ||||||||||
Strategic Income Fund | (7,690 | ) | 127 | 7,563 |
| ||||||
---|---|---|---|---|---|---|
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 |
AS OF FEBRUARY 29, 2008 (continued)
| ||||||
---|---|---|---|---|---|---|
Bond Fund | $ | 147 | ||||
Emerging Markets Debt Fund | 16 | |||||
Enhanced Income Fund | 34 | |||||
Real Return Fund | 6 | |||||
Short Term Bond Fund | 329 | |||||
Short Term Bond Fund II | 32 | |||||
Strategic Income Fund | 1 |
| 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 | * |
* | Class M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
| Front-End Sales Charge | | CDSC | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 20 | $ | 18 | ||||||
Emerging Markets Debt Fund | 9 | 1 | ||||||||
Real Return Fund | 5 | — | (a) | |||||||
Short Term Bond Fund | 1 | 2 | ||||||||
Short Term Bond Fund II | — | (a) | — | |||||||
Strategic Income Fund | 1 | 7 |
(a) | Amount rounds to less than $1,000. |
| Class A | | Class B | | Class C | | Class M | | Class R5 | | 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 M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
| Class A | | Class B | | Class C | | Class M | | Class R5 | | 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 |
* | Class M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
AS OF FEBRUARY 29, 2008 (continued)
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Servicing | | Total | | Contractual Reimbursements | |||||||||||||
Bond Fund | $ | 465 | $ | 184 | $ | 80 | $ | 729 | $ | — | ||||||||||||
Emerging Markets Debt Fund | 7 | 6 | — | 13 | — | |||||||||||||||||
Enhanced Income Fund | 268 | 46 | 153 | 467 | — | |||||||||||||||||
Real Return Fund | 236 | 58 | 71 | 365 | 111 | |||||||||||||||||
Short Term Bond Fund | 634 | 320 | 431 | 1,385 | — | |||||||||||||||||
Short Term Bond Fund II | 233 | 83 | 238 | 554 | — | |||||||||||||||||
Strategic Income Fund | 89 | 20 | 3 | 112 | 189 |
Voluntary Waivers | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Total | ||||||||||
Bond Fund | $ | 315 | $ | 317 | $ | 632 | |||||||||
Enhanced Income Fund | — | 77 | 77 | ||||||||||||
Short Term Bond Fund | 2 | 640 | 642 |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 35,555,817 | $ | 36,146,655 | $ | 1,621,583 | $ | 1,609,886 | ||||||||||
Emerging Markets Debt Fund | 322,370 | 159,978 | 24,911 | 22,872 | ||||||||||||||
Enhanced Income Fund | 387,589 | 479,767 | 3,347 | 3,224 | ||||||||||||||
Real Return Fund | 431,353 | 407,184 | 65,810 | 66,001 | ||||||||||||||
Short Term Bond Fund | 10,066,062 | 10,228,370 | 458,571 | 314,705 | ||||||||||||||
Short Term Bond Fund II | 1,248,271 | 1,504,207 | 34,165 | 34,547 | ||||||||||||||
Strategic Income Fund | 189,187 | 198,164 | 27,374 | 26,893 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 2,151,927 | $ | 32,479 | $ | 122,475 | $ | (89,996 | ) | |||||||||
Emerging Markets Debt Fund | 295,654 | 7,575 | 6,955 | 620 | ||||||||||||||
Enhanced Income Fund | 117,149 | 246 | 7,818 | (7,572 | ) | |||||||||||||
Real Return Fund | 83,633 | 5,013 | 715 | 4,298 | ||||||||||||||
Short Term Bond Fund | 1,268,548 | 23,856 | 64,836 | (40,980 | ) | |||||||||||||
Short Term Bond Fund II | 268,958 | 3,439 | 15,670 | (12,231 | ) | |||||||||||||
Strategic Income Fund | 19,997 | 332 | 719 | (387 | ) |
Total Distributions Paid From: | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ordinary Income | | Net Long Term Capital Gains | | Return of Capital | | Total Distributions Paid | |||||||||||
Bond Fund | $ | 114,904 | $ | — | $ | — | $ | 114,904 | ||||||||||
Emerging Markets Debt Fund | 19,112 | 2,300 | — | 21,412 | ||||||||||||||
Enhanced Income Fund | 8,070 | — | 189 | 8,259 | ||||||||||||||
Real Return Fund | 3,975 | — | — | 3,975 | ||||||||||||||
Short Term Bond Fund | 85,687 | — | — | 85,687 | ||||||||||||||
Short Term Bond Fund II | 14,180 | — | — | 14,180 | ||||||||||||||
Strategic Income Fund | 1,027 | — | — | 1,027 |
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 |
| Current Distributable Ordinary Income | | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | | Unrealized Appreciation (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 12,154 | $ | (47,666 | ) | $ | (90,266 | ) | ||||||
Emerging Markets Debt Fund | 1,293 | — | (4,293 | ) | ||||||||||
Enhanced Income Fund | — | (10,940 | ) | (7,444 | ) | |||||||||
Real Return Fund | 342 | (1,455 | ) | 4,057 | ||||||||||
Short Term Bond Fund | 7,614 | (45,102 | ) | (28,904 | ) | |||||||||
Short Term Bond Fund II | 787 | (29,735 | ) | (10,962 | ) | |||||||||
Strategic Income Fund | 215 | (14,756 | ) | (430 | ) |
AS OF FEBRUARY 29, 2008 (continued)
| 2009 | | 2010 | | 2011 | | 2012 | | 2013 | | 2014 | | 2015 | | 2016 | | Total | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,291 | $ | 14,908 | $ | 26,467 | $ | 47,666 | ||||||||||||||||||||
Enhanced Income Fund | — | 1,180 | 792 | 3,941 | 526 | 680 | 421 | 3,400 | 10,940 | |||||||||||||||||||||||||||||
Real Return Fund | — | — | — | — | — | 149 | 1,306 | — | 1,455 | |||||||||||||||||||||||||||||
Short Term Bond Fund | — | — | — | 1,803 | 1,217 | 8,476 | 6,394 | 27,212 | 45,102 | |||||||||||||||||||||||||||||
Short Term Bond Fund II | — | — | — | 1,675 | 657 | 14,799 | 10,312 | 2,292 | 29,735 | |||||||||||||||||||||||||||||
Strategic Income Fund | 5,237 | * | 8,447 | * | — | — | — | — | 463 | 609 | 14,756 |
* | A portion of this capital loss carried forward was acquired though the merger with JPMorgan Strategic Income Fund and may be limited under IRC Sections 381-384. |
| ||||||
---|---|---|---|---|---|---|
Real Return Fund | $ | 277 |
| Capital losses | | Currency Losses | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 7,068 | $ | — | ||||||
Emerging Markets Debt Fund | 1,085 | 193 | ||||||||
Enhanced Income Fund | 241 | — | ||||||||
Real Return Fund | 235 | — | ||||||||
Short Term Bond Fund | 8,742 | 544 | ||||||||
Strategic Income Fund | 119 | — |
Date | | Average Borrowings | | Number of Days Used | | Interest Paid | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 15,796 | 4 | $ | 9 | |||||||||
Strategic Income Fund | 640 | 1 | — | (a) |
(a) | Amount rounds to less than $1,000. |
| 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 |
of JPMorgan Mutual Fund Group and JPMorgan Trust I:
New York, New York
April 24, 2008
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000–2001); Vice President and Treasurer, Ingersoll–Rand Company (manufacturer of industrial equipment) (1972–2000). | 145 | None. | ||||||||||||
John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | President and Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979–present). | 145 | Director, Cardinal Health, Inc. (CAH) (1994–present); Chairman, The Columbus Association of the Performing Arts (CAPA) (2003–present). | ||||||||||||
Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Chancellor, City University of New York (1999–present); President, Adelphi University (New York) (1998–1999). | 145 | Director, Albert Einstein School of Medicine (1998–present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000–present); Director, Lincoln Center Institute for the Arts in Education (1999–present). | ||||||||||||
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003–2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971–2001). | 145 | None. | ||||||||||||
Peter C. Marshall (1942); Trustee of Trust 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). | 145 | None. | ||||||||||||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985–present). | 145 | Trustee, Carleton College (2003–present). | ||||||||||||
William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. | Retired; Chairman Emeritus (2001–2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985–2001). | 145 | Director, Radio Shack Corporation (electronics) (1987–present); Director, The National Football Foundation and College Hall of Fame (1994–present); Trustee, Stratton Mountain School (2001–present). |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | | Principal Occupations During Past 5 Years | | Number of Portfolios in Fund Complex Overseen by Trustee (2) | | Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) | |||||||||||||||
Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | President, Carleton College (2002–present); President, Kenyon College (1995–2002). | 145 | Director, American University in Cairo. | ||||||||||||
Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. | Chairman, Lumelite Corporation (plastics manufacturing) (2003–present); Chairman and Chief Executive Officer, Lumelite Corporation (1985–2002). | 145 | Trustee, Morgan Stanley Funds (196 portfolios) (1995–present). | ||||||||||||
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Advisor, Jerome P. Green & Associates, LLC (broker-dealer) (2000–present); Chief Investment Officer, Wabash College (2004–present); self-employed consultant (2000–present); Director of Investments, Eli Lilly and Company (1988–1999). | 145 | Trustee, Wabash College (1988–present); Chairman, Indianapolis Symphony Orchestra Foundation (1994–present). | ||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968–1998). | 145 | None. | ||||||||||||
Interested Trustee | |||||||||||||||
Leonard M. Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989–1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990–1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990–1998). | 145 | 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) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) | 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 (145 funds). |
(3) | Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* | Mr. Spalding is deemed to be an “interested person” due to his ownership of JPMorgan Chase stock. |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (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. | |||||
Elizabeth A. Davin (1964),** Secretary (2008)* | 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. | |||||
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) | Managing Director, 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. | |||||
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.). | |||||
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. | |||||
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 43240. |
** | Prior to February 14, 2008, Ms. Davin was an Assistant Secretary. |
(Unaudited)
| Beginning Account Value, September 1, 2007 | | Ending Account Value, February 29, 2008 | | Expenses Paid During September 1, 2007 to February 29, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,004.50 | $ | 3.74 | 0.75 | % | ||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 1,001.20 | 6.97 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,001.40 | 6.97 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,005.20 | 3.24 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,005.80 | 2.44 | 0.49 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.43 | 2.46 | 0.49 | ||||||||||||||
Ultra | ||||||||||||||||||
Actual | 1,000.00 | 1,006.50 | 2.00 | 0.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.87 | 2.01 | 0.40 |
| Beginning Account Value, September 1, 2007 | | Ending Account Value, February 29, 2008 | | Expenses Paid During September 1, 2007 to February 29, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,062.20 | $ | 7.49 | 1.46 | % | ||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.32 | 1.46 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,058.40 | 10.08 | 1.97 | ||||||||||||||
Hypothetical | 1,000.00 | 1,015.07 | 9.87 | 1.97 | ||||||||||||||
Class R5** | ||||||||||||||||||
Actual | 1,000.00 | 1,064.50 | 5.24 | 1.02 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,063.50 | 6.26 | 1.22 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.80 | 6.12 | 1.22 | ||||||||||||||
Enhanced Income Fund | ||||||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 971.10 | 0.98 | 0.20 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.87 | 1.01 | 0.20 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,107.50 | 4.72 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,103.90 | 7.32 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,108.20 | 3.41 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,108.80 | 2.62 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||||
Short Term Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,010.10 | 3.75 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,012.20 | 2.75 | 0.55 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,012.50 | 1.50 | 0.30 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.37 | 1.51 | 0.30 | ||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,012.80 | 3.75 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 1,010.60 | 5.00 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 |
(Unaudited) (continued)
| Beginning Account Value, September 1, 2007 | | Ending Account Value, February 29, 2008 | | Expenses Paid During September 1, 2007 to February 29, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Select Class | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.90 | $ | 2.50 | 0.50 | % | ||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||||
Strategic Income Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,030.30 | 5.81 | 1.15 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.77 | 1.15 | ||||||||||||||
Class B | �� | |||||||||||||||||
Actual | 1,000.00 | 1,027.50 | 8.32 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,027.70 | 8.32 | 1.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,031.40 | 4.55 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,032.70 | 3.29 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.63 | 3.27 | 0.65 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
** | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(Unaudited)
| Long-Term Capital Gain Distribution | |||||
---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 2,300 |
| Qualified Interest Income | |||||
---|---|---|---|---|---|---|
Bond Fund | $ | 95,004 | ||||
Emerging Markets Debt Fund | 1,398 | |||||
Enhanced Income Fund | 6,985 | |||||
Real Return Fund | 3,686 | |||||
Short Term Bond Fund | 75,739 | |||||
Short Term Bond Fund II | 12,154 | |||||
Strategic Income Fund | 717 |
| Income from U.S. Treasury Obligations | |||||
---|---|---|---|---|---|---|
Bond Fund | 3.09 | % | ||||
Enhanced Income Fund | 1.00 | |||||
Real Return Fund | 93.44 | |||||
Short Term Bond Fund | 5.97 | |||||
Short Term Bond Fund II | 2.42 | |||||
Strategic Income Fund | 5.19 |
![](https://capedge.com/proxy/N-CSR/0001145443-08-001649/jpmorgan_asstmngklogo.jpg)
© JPMorgan Chase & Co., 2008 All rights reserved. February 2008. | AN-INC-208 |
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
2008 – $91,800
2007 – $68,000 *
* The Fund’s 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 Fund.
(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) |
| 2007 – $15,213,000 |
| 2006 – $9,775,000 |
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 |
| 2008 – $9,660 |
| 2007 – $9,680 * |
* The Fund’s 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 Fund.
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2007 and 2006.
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 |
| 2008 – $20,000* |
| 2007 – Not applicable |
* Services for language translation of financial reports.
(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, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee 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.
2008 – 0.0%
2007 – 100.0%*
* The number shown represents the percentage of services that were pre-approved. The percentage of services that were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X was 0%.
(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 $19.9 million in 2007 and $21.6 million in 2006.
(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.
J.P. Morgan Mutual Fund Group
By: | /s/_____________________________ |
George C.W. Gatch
President and Principal Executive Officer
May 8, 2008
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 8, 2008
By: | /s/____________________________ |
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
May 8, 2008