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)
Frank J. Nasta
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, 2008 through August 31, 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).
SEMI-ANNUAL REPORT
SIX MONTHS ENDED AUGUST 31, 2008 (UNAUDITED)
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-CSRS/0001145443-08-003012/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 | 60 | |||||
Financial Highlights | 78 | |||||
Notes to Financial Statements | 90 | |||||
Schedule of Shareholder Expenses | 103 | |||||
Board Approval of Investment Advisory Agreements | 106 |
* | The manager seeks to achieve the stated objective. There can be no guarantee it will be achieved. |
** | Tax Aware Real Return — Because this Fund primarily invests in bonds, it is subject to interest rate risks. Bond prices generally fall when interest rates rise. The Fund may invest in futures contracts and other derivatives. This may make the Fund more volatile. The derivative positions are not included in the holdings-related calculations. The Fund may be subject to the risk that its inflation-linked derivative contracts will be with a limited number of counterparties. This may result in certain concentration risk, including counterparty liquidity, deflation and pricing risk. |
*** | Highbridge Statistical Market Neutral — There is no guarantee that the use of long and short positions will succeed in limiting the Fund’s exposure to domestic stock market movements, capitalization, sector swings or other risk factors. Investment in a portfolio involved in long and short selling may have higher portfolio turnover rates. The Fund anticipates a very high degree of portfolio turnover (likely to be in excess of 600% per year). This will likely result in additional tax consequences. Short selling involves certain risks, including additional costs associated with covering short positions and a possibility of unlimited loss on certain short sale positions. |
SEPTEMBER 30, 2008 (Unaudited)
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• | Developing and sticking with an investment plan that is both dispassionate and independent of short-term market events. While staying the course and sticking to a plan doesn’t eliminate risk, it does reduce the danger of buying and selling at the wrong time, a behavior that can undermine your investment goals. |
• | Managing investment risks through diversification. A diverse mix of investments — including stocks, bonds, and cash, as well as alternative investments such as U.S. REITS, high yield income, commodities, and emerging markets debt — properly aligned to your investment goals, time horizon, and risk tolerance, can provide a smoother path of long-term returns. |
• | Seeking long-term professional advice. As shareholders, you already know the value of professional advice. Take this time to consult with your financial advisor. Your advisor can help you maintain perspective, and ensure that your portfolio is properly positioned to defend against cycles of market volatility. |
![](https://capedge.com/proxy/N-CSRS/0001145443-08-003012/georgecwgatch-sig.jpg)
President and CEO
JPMorgan Funds
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | July 26, 1993 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $343,583 | |||||
Primary Benchmark | Lehman Brothers U.S. Aggregate Index* | |||||
Average Credit Quality | A+ | |||||
Duration | 5.1 |
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 –8.88%*** (Institutional Class Shares) for the six months ended August 31, 2008 compared to the 0.18% return of 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 mortgage-backed securities (MBS). The mortgage market faced significant pressure due to liquidity concerns, heightened volatility and deleveraging (raising cash) by banks and hedge funds. Spreads widened to an all-time high as margin calls forced several hedge funds to liquidate their mortgage 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. The Fund’s MBS were slightly more volatile than those represented in the benchmark. This factor, combined with an overweight in the mortgage sector, detracted from performance. Investment-grade corporate securities, especially financial holdings, also hurt returns. In particular, Fannie Mae and Freddie Mac preferred securities held by the Fund experienced significant volatility due to market concerns about their respective capitalizations. |
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 | 35.6 | % | ||||
Mortgage Pass-Through Securities | 26.0 | |||||
Collateralized Mortgage Obligations | 15.3 | |||||
Asset-Backed Securities | 5.7 | |||||
Foreign Government Securities | 4.8 | |||||
Commercial Mortgage-Backed Securities | 3.2 | |||||
Private Placements | 3.1 | |||||
U.S. Treasury Obligations | 2.4 | |||||
Loan Participations & Assignments | �� | 1.0 | ||||
Others (each less than 1.0%) | 1.5 | |||||
Short-Term Investments | 1.4 |
* | On September 22, 2008, Barclays Capital completed its acquisition of Lehman Brothers’ North American Investment Banking and Capital Markets businesses. As part of the transaction, Lehman Brothers indices have become part of Barclays Capital. Recognizing the industry significance of these indices, Barclays has indicated its commitment to maintain the family of Lehman Brothers indices and the associated index calculation, publication, and analytical infrastructure and tools. |
** | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||||||
Without Sales Charge | (9.01 | )% | (8.50 | )% | 1.26 | % | 3.47 | % | ||||||||||||||
With Sales Charge* | (12.46 | ) | (11.91 | ) | 0.49 | 3.08 | ||||||||||||||||
CLASS B SHARES | 9/10/01 | |||||||||||||||||||||
Without CDSC | (9.27 | ) | (9.16 | ) | 0.59 | 2.89 | ||||||||||||||||
With CDSC** | (14.27 | ) | (14.16 | ) | 0.19 | 2.89 | ||||||||||||||||
CLASS C SHARES | 3/31/03 | |||||||||||||||||||||
Without CDSC | (9.33 | ) | (9.10 | ) | 0.56 | 2.94 | ||||||||||||||||
With CDSC*** | (10.33 | ) | (10.10 | ) | 0.56 | 2.94 | ||||||||||||||||
SELECT CLASS SHARES | 9/10/01 | (8.86 | ) | (8.39 | ) | 1.40 | 3.48 | |||||||||||||||
INSTITUTIONAL CLASS SHARES | 7/26/93 | (8.88 | ) | (8.35 | ) | 1.54 | 3.65 | |||||||||||||||
ULTRA SHARES | 9/10/01 | (8.85 | ) | (8.25 | ) | 1.63 | 3.76 |
* | 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-CSRS/0001145443-08-003012/d23720_bond-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | April 17, 1997 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $320,571 | |||||
Primary Benchmark | JPMorgan Emerging Markets Bond Index Global | |||||
Average Credit Quality | BB+ | |||||
Duration | 6.7 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 –1.02%** (Select Class Shares) for the six months ended August 31, 2008, compared to the 1.05% return of 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 due to spread-widening in the emerging markets, given concerns about the health of the financial sector. 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. In particular, overweights in Argentina, the Ukraine and Russia detracted from performance. In Argentina, political concerns continued to weigh on the market. The military conflict between Russia and Georgia over the South Ossetia region led to poor performance of markets in the Ukraine and Russia and a downgrade of Georgia. Spreads widened in Russia and the Ukraine on fears that Russia might be emboldened to take a more aggressive stance toward the Ukrainian government. |
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 market volatility. 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. We positioned the Fund with a bias toward countries possessing 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 | 73.9 | % | ||||
Corporate Bonds | 21.6 | |||||
Others (each less than 1.0%) | 0.8 | |||||
Short-Term Investment | 3.7 |
Brazil | 20.2 | % | ||||
Russia | 16.5 | |||||
Venezuela | 9.4 | |||||
Ukraine | 6.1 | |||||
Turkey | 5.2 | |||||
United States | 4.0 | |||||
Mexico | 3.8 | |||||
Philippines | 3.4 | |||||
Argentina | 3.1 | |||||
Guatemala | 2.6 | |||||
Indonesia | 2.4 | |||||
Peru | 2.4 | |||||
Uruguay | 2.0 | |||||
Colombia | 1.9 | |||||
Dominican Republic | 1.8 | |||||
Netherlands | 1.8 | |||||
Egypt | 1.7 | |||||
Costa Rica | 1.3 | |||||
Gabon | 1.2 | |||||
Chile | 1.2 | |||||
Iraq | 1.2 | |||||
Trinidad & Tobago | 1.2 | |||||
Ecuador | 1.1 | |||||
Others (each less than 1.0%) | 4.5 |
* | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/30/06 | |||||||||||||||||||||
Without Sales Charge | (1.15 | )% | 4.88 | % | 10.92 | % | 14.60 | % | ||||||||||||||
With Sales Charge* | (4.88 | ) | 0.91 | 10.08 | 14.16 | |||||||||||||||||
CLASS C SHARES | 6/30/06 | |||||||||||||||||||||
Without CDSC | (1.28 | ) | 4.49 | 10.70 | 14.48 | |||||||||||||||||
With CDSC** | (2.28 | ) | 3.49 | 10.70 | 14.48 | |||||||||||||||||
CLASS R5 SHARES | 5/15/06 | (0.92 | ) | 5.35 | 11.15 | 14.72 | ||||||||||||||||
SELECT CLASS SHARES | 4/17/97 | (1.02 | ) | 5.14 | 11.05 | 14.66 |
* | 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-CSRS/0001145443-08-003012/d23720_emd-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | November 30, 2001 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $53,687 | |||||
Primary Benchmark | Merrill Lynch USD LIBOR 3 Month Constant Maturity Index | |||||
Average Credit Quality | AA | |||||
Duration | 0.2 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Enhanced Income Fund, which seeks to provide high current income consistent with principal preservation,* returned –4.85%** (Institutional Class Shares) for the six months ended August 31, 2008, compared to the 1.48% return of 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). Spreads among ABS widened dramatically, resulting from sub-prime write-downs, uncertainties about monoline bond insurers and negative ratings actions. 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 allocation in mortgage-backed securities (MBS) also detracted from performance. The mortgage market faced significant pressure stemming from liquidity concerns, heightened volatility and deleveraging (raising cash) by banks and hedge funds. MBS spreads widened to an all-time high, as margin calls forced several hedge funds to liquidate their mortgage holdings. The Fund’s yield curve positions and positions in investment-grade corporate securities, especially financial holdings, also hurt returns. |
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 (price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates) of 1.5 years or less. |
Corporate Bonds | 33.7 | % | ||||
Asset-Backed Securities | 20.9 | |||||
Collateralized Mortgage Obligations | 12.7 | |||||
Commercial Mortgage-Backed Securities | 2.3 | |||||
Certificate of Deposit | 1.7 | |||||
Short-Term Investments | 28.7 |
* | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE | 6 MONTH | 1 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL CLASS SHARES | 11/30/01 | (4.85)% | (7.60)% | 0.71% | 0.93% |
![](https://capedge.com/proxy/N-CSRS/0001145443-08-003012/d23720_enhancedincome-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | September 1, 2005 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $84,248 | |||||
Primary Benchmark | Lehman Brothers U.S. TIPS Index* | |||||
Average Credit Quality | AAA | |||||
Duration | 7.9 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation protected return,** returned –2.33%*** (Select Class Shares) for the six months ended August 31, 2008, compared to the –0.04% 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 non treasury holdings including mortgages, enhanced cash and corporates. (enhanced cash vehicles are short-term investments that strive for higher yields than money market rates with slightly less liquidity) The market faced significant pressure due to liquidity concerns, heightened volatility and deleveraging (raising cash) by banks and hedge funds, led to a flight to quality that helped U.S. Treasury securities but hurt non-Treasury sectors. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to seek opportunistic, relative-value investments in 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 | 89.1 | % | ||||
Foreign Government Securities | 2.3 | |||||
Collateralized Mortgage Obligations | 1.7 | |||||
Asset-Backed Securities | 1.0 | |||||
Options Purchased | 1.0 | |||||
Others (each less than 1.0%) | 0.9 | |||||
Short-Term Investments | 4.0 |
* | On September 22, 2008, Barclays Capital completed its acquisition of Lehman Brothers’ North American Investment Banking and Capital Markets businesses. As part of the transaction, Lehman Brothers indices have become part of Barclays Capital. Recognizing the industry significance of these indices, Barclays has indicated its commitment to maintain the family of Lehman Brothers indices and the associated index calculation, publication, and analytical infrastructure and tools. |
** | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/1/05 | |||||||||||||||||
Without Sales Charge | (2.45 | )% | 8.15 | % | 3.28 | % | ||||||||||||
With Sales Charge* | (6.15 | ) | 4.12 | 1.97 | ||||||||||||||
CLASS C SHARES | 9/1/05 | |||||||||||||||||
Without CDSC | (2.59 | ) | 7.64 | 2.78 | ||||||||||||||
With CDSC** | (3.59 | ) | 6.64 | 2.78 | ||||||||||||||
SELECT CLASS SHARES | 9/1/05 | (2.33 | ) | 8.35 | 3.56 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 9/1/05 | (2.24 | ) | 8.50 | 3.72 |
* | 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-CSRS/0001145443-08-003012/d23720_realreturn-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | September 13, 1993 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $45,470 | |||||
Primary Benchmark | Merrill Lynch 1–3 Year Treasury Index | |||||
Average Credit Quality | A+ | |||||
Duration | 1.6 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund, which seeks to provide high total return, consistent with low volatility of principal,* returned –5.69%** (Institutional Class Shares) for the six months ended August 31, 2008, compared to the 0.25% return of 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 mortgage-backed securities (MBS). The mortgage market faced significant pressure due to liquidity concerns, heightened volatility and deleveraging (raising cash) by banks and hedge funds. Spreads widened to an all-time high, as margin calls forced several hedge funds to liquidate their mortgage 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. Investment-grade corporate securities, especially financial holdings, also hurt returns. |
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. |
Asset-Backed Securities | 33.6 | % | ||||
U.S. Treasury Obligations | 15.1 | |||||
Corporate Bonds | 12.2 | |||||
Collateralized Mortgage Obligations | 9.8 | |||||
Foreign Government Securities | 1.1 | |||||
Short-Term Investments | 28.2 |
* | 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 investments as of August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||||||
Without Sales Charge | (5.92 | )% | (4.86 | )% | 0.79 | % | 2.88 | % | ||||||||||||||
With Sales Charge* | (8.02 | ) | (6.96 | ) | 0.33 | 2.64 | ||||||||||||||||
SELECT CLASS SHARES | 9/10/01 | (5.89 | ) | (4.74 | ) | 0.97 | 3.02 | |||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/13/93 | (5.69 | ) | (4.51 | ) | 1.24 | 3.29 |
* | Sales Charge for Class A Shares is 2.25% |
![](https://capedge.com/proxy/N-CSRS/0001145443-08-003012/d23720_stbond-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | November 30, 1990 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $202,708 | |||||
Primary Benchmark | Lehman Brothers 1–3 Year U.S. Government Bond Index* | |||||
Average Credit Quality | AA+ | |||||
Duration | 1.7 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Short Term Bond Fund II, which seeks a high level of income, consistent with preservation of capital,** returned –2.80%*** (Select Class Shares) for the six months ended August 31, 2008, compared to the 0.25% return of 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 mortgage-backed securities (MBS). The mortgage market faced significant pressure due to liquidity concerns, heightened volatility and deleveraging (raise cash) by banks and hedge funds. Spreads widened to an all-time high, as margin calls forced several hedge funds to liquidate their mortgage 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. Investment-grade corporate securities, especially financial holdings, also hurt returns. |
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 (price sensitivity of a debt security or a portfolio of debt securities to relative changes in interest rates). |
U.S. Government Agency Securities | 34.7 | % | ||||
Corporate Bonds | 18.5 | |||||
Asset-Backed Securities | 16.0 | |||||
Commercial Mortgage Backed Securities | 11.8 | |||||
Collateralized Mortgage Obligations | 9.1 | |||||
Foreign Government Securities | 2.3 | |||||
Short-Term Investments | 7.6 |
* | On September 22, 2008, Barclays Capital completed its acquisition of Lehman Brothers’ North American Investment Banking and Capital Markets businesses. As part of the transaction, Lehman Brothers indices have become part of Barclays Capital. Recognizing the industry significance of these indices, Barclays has indicated its commitment to maintain the family of Lehman Brothers indices and the associated index calculation, publication, and analytical infrastructure and tools. |
** | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/6/96 | |||||||||||||||||||||
Without Sales Charge | (2.83 | )% | (1.58 | )% | 1.57 | % | 3.15 | % | ||||||||||||||
With Sales Charge* | (4.99 | ) | (3.75 | ) | 1.11 | 2.92 | ||||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||||||
Without Sales Charge | (2.95 | ) | (1.82 | ) | 1.32 | 2.92 | ||||||||||||||||
With Sales Charge** | (4.43 | ) | (3.31 | ) | 1.00 | 2.77 | ||||||||||||||||
SELECT CLASS SHARES | 11/30/90 | (2.80 | ) | (1.33 | ) | 1.83 | 3.44 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-08-003012/d23720_stbondii-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
Fund Inception | March 17, 1997 | |||||
Fiscal Year End | Last Day of February | |||||
Net Assets as of 8/31/2008 (In Thousands) | $11,551 | |||||
Primary Benchmark | Lehman Brothers U.S. Aggregate Index* | |||||
Average Credit Quality | AA– | |||||
Duration | 6.0 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Strategic Income Fund, which seeks to provide high total return primarily from a portfolio of fixed income investments of foreign and domestic issuers and counterparties,** returned –2.69%*** (Institutional Class Shares) for the six months ended August 31, 2008, compared to the 0.18% return of 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 mortgage-backed securities (MBS). The mortgage market faced significant pressure due to liquidity concerns, heightened volatility and deleveraging (raising cash) by banks and hedge funds. Spreads widened to an all-time high, as margin calls forced several hedge funds to liquidate their mortgage 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. The Fund’s MBS were slightly more volatile than those represented in the benchmark. This factor, combined with an overweight in the mortgage sector, detracted from performance. Investment-grade corporate securities, especially financial holdings, also hurt returns. |
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. |
Corporate Bonds | 22.6 | % | ||||
Mortgage Pass-Through Securities | 22.2 | |||||
U.S. Treasury Obligations | 19.0 | |||||
Foreign Government Securities | 10.3 | |||||
Collateralized Mortgage Obligations | 5.3 | |||||
Asset-Backed Securities | 3.8 | |||||
Commercial Mortgage Backed Securities | 2.7 | |||||
Options Purchased | 1.4 | |||||
Others (each less than 1.0%) | 0.7 | |||||
Short-Term Investments | 12.0 |
INVESTMENTS BY COUNTRY****
United States | 82.1 | % | ||||
Dominican Republic | 2.4 | |||||
United Kingdom | 2.2 | |||||
Russia | 1.5 | |||||
Mexico | 1.3 | |||||
Colombia | 1.1 | |||||
Others (each less than 1.0%) | 9.4 |
* | On September 22, 2008, Barclays Capital completed its acquisition of Lehman Brothers’ North American Investment Banking and Capital Markets businesses. As part of the transaction, Lehman Brothers indices have become part of Barclays Capital. Recognizing the industry significance of these indices, Barclays has indicated its commitment to maintain the family of Lehman Brothers indices and the associated index calculation, publication, and analytical infrastructure and tools. |
** | 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 August 31, 2008. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/10/01 | |||||||||||||||||||||
Without Sales Charge | (2.73 | )% | 0.45 | % | 3.68 | % | 4.24 | % | ||||||||||||||
With Sales Charge* | (6.37 | ) | (3.32 | ) | 2.89 | 3.84 | ||||||||||||||||
CLASS B SHARES | 2/19/05 | |||||||||||||||||||||
Without CDSC | (2.95 | ) | 0.06 | 3.32 | 4.06 | |||||||||||||||||
With CDSC** | (7.95 | ) | (4.94 | ) | 2.97 | 4.06 | ||||||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||||||||
Without CDSC | (2.95 | ) | (0.04 | ) | 3.33 | 4.06 | ||||||||||||||||
With CDSC*** | (3.95 | ) | (1.04 | ) | 3.33 | 4.06 | ||||||||||||||||
SELECT CLASS SHARES | 9/10/01 | (2.59 | ) | 0.81 | 3.96 | 4.45 | ||||||||||||||||
INSTITUTIONAL CLASS SHARES | 3/17/97 | (2.69 | ) | 0.72 | 4.20 | 4.75 |
* | 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-CSRS/0001145443-08-003012/d23720_sif-line.jpg)
AS OF AUGUST 31, 2008 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 130.3% | |||||||||||
Asset-Backed Securities — 7.6% | |||||||||||
2,240 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, VAR, 2.65%, 04/25/36 (m) | 1,898 | |||||||||
84 | American Express Credit Account Master Trust, Series 2004-C, Class C, VAR, 2.97%, 02/15/12 (e) (m) | 82 | |||||||||
650 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, VAR, 2.70%, 11/15/11 (m) | 635 | |||||||||
Capital One Prime Auto Receivables Trust, | |||||||||||
491 | Series 2005-1, Class A4, VAR, 2.49%, 04/15/11 (m) | 489 | |||||||||
775 | Series 2007-1, Class A2, 5.43%, 02/15/10 (m) | 778 | |||||||||
1,010 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, VAR, 2.68%, 01/09/12 (m) | 965 | |||||||||
2,085 | Citigroup Mortgage Loan Trust, Inc., Series 2007-12, Class 2A1, 6.50%, 10/25/36 (e) (m) | 1,517 | |||||||||
17 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) | 17 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
1,397 | Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 1,177 | |||||||||
8 | Series 2004-1, Class 3A, VAR, 2.75%, 04/25/34 (m) | 7 | |||||||||
590 | Series 2004-1, Class M1, VAR, 2.97%, 03/25/34 (m) | 448 | |||||||||
480 | Series 2004-1, Class M2, VAR, 3.02%, 03/25/34 (m) | 407 | |||||||||
161 | Series 2005-3, Class AF3, VAR, 4.82%, 08/25/35 (m) | 159 | |||||||||
420 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) | 361 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
112 | Series 2004-1, Class A, VAR, 2.76%, 02/15/34 (m) | 79 | |||||||||
133 | Series 2004-K, Class 2A, VAR, 2.77%, 02/15/34 (m) | 96 | |||||||||
991 | Ford Credit Auto Owner Trust, Series 2007-A, Class A2A, 5.42%, 04/15/10 (m) | 997 | |||||||||
25 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) | 25 | |||||||||
GSAMP Trust, | |||||||||||
7 | Series 2004-OPT, Class A1, VAR, 2.81%, 11/25/34 (m) | 5 | |||||||||
366 | Series 2005-WMC2, Class A2B, VAR, 2.73%, 11/25/35 (m) | 348 | |||||||||
5,112 | Helios Finance LP, (Cayman Islands), Series 2007-S1, Class B1, VAR, 3.17%, 10/20/14 (e) (f) (i) | 2,812 | |||||||||
2,240 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, VAR, 2.66%, 01/25/36 (m) | 1,708 | |||||||||
K2 (USA) LLC, | |||||||||||
2,500 | VAR, 5.62%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
8,000 | Series 2, VAR, 5.61%, 02/15/11 (f) (i) (s) (v) | — | |||||||||
9,000 | Series 2007-2D, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
8,500 | Series 2007-2I, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
9,000 | Series 2007-2J, VAR, 5.81%, 02/15/11 (f) (i) (s) (v) | — | |||||||||
456 | Lehman XS Trust, Series 2005-7N, Class 1A1A, VAR, 2.74%, 12/25/35 (m) | 296 | |||||||||
3,100 | Links Finance LLC, VAR, 3.05%, 09/15/08 (e) (f) (i) (s) | — | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
910 | Series 2004-1, Class M1, VAR, 2.97%, 02/25/34 (m) | 693 | |||||||||
610 | Series 2004-1, Class M2, VAR, 3.02%, 02/25/34 (m) | 456 | |||||||||
670 | Series 2004-3, Class M1, VAR, 3.04%, 07/25/34 (m) | 511 | |||||||||
MASTR Asset Backed Securities Trust, | |||||||||||
696 | Series 2006-AB1, Class A1, VAR, 2.61%, 02/25/36 (m) | 687 | |||||||||
2,240 | Series 2006-NC1, Class A3, VAR, 2.66%, 01/25/36 (m) | 1,952 | |||||||||
1,790 | Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, VAR, 2.60%, 06/25/37 (m) | 1,416 | |||||||||
610 | New Century Home Equity Loan Trust, Series 2005-1, Class M1, VAR, 2.92%, 03/25/35 (m) | 437 | |||||||||
1,200 | Newcastle Mortgage Securities Trust, Series 2006-1, Class A2, VAR, 2.59%, 03/25/36 (m) | 1,188 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
209 | Series 2003-1, Class A2, VAR, 3.31%, 02/25/33 (m) | 171 | |||||||||
140 | Series 2003-5, Class A2, VAR, 2.79%, 08/25/33 (m) | 123 | |||||||||
849 | Peco Energy Transition Trust, Series 2000-A, Class A3, 7.63%, 03/01/10 (m) | 866 | |||||||||
1,190 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) | 1,265 | |||||||||
677 | Residential Asset Mortgage Products, Inc., Series 2006-RS1, Class AI2, VAR, 2.70%, 01/25/36 (m) | 600 | |||||||||
Residential Asset Securities Corp., | |||||||||||
112 | Series 2002-KS4, Class AIIB, VAR, 2.97%, 07/25/32 (m) | 98 | |||||||||
160 | Series 2003-KS5, Class AIIB, VAR, 3.05%, 07/25/33 (m) | 114 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Asset-Backed Securities — Continued | |||||||||||
71 | Specialty Underwriting & Residential Finance, Series 2005-BC3, Class A2B, VAR, 2.72%, 06/25/36 (m) | 70 | |||||||||
Wachovia Asset Securitization, Inc., | |||||||||||
242 | Series 2002-HE2, Class A, VAR, 2.90%, 12/25/32 (m) | 184 | |||||||||
150 | Series 2003-HE3, Class A, VAR, 2.72%, 11/25/33 (m) | 119 | |||||||||
Total Asset-Backed Securities (Cost $72,429) | 26,256 | ||||||||||
Collateralized Mortgage Obligations — 20.3% | |||||||||||
Agency CMO — 2.4% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
108 | Series 2508, Class PE, 5.50%, 05/15/28 (m) | 109 | |||||||||
4,231 | Series 2701, Class ST, IF, IO, 4.53%, 08/15/21 (m) | 333 | |||||||||
345 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 2 | |||||||||
677 | Series 2772, Class GI, IO, 5.00%, 11/15/22 (m) | 11 | |||||||||
2,566 | Series 2779, Class SM, IF, IO, 4.68%, 10/15/18 (m) | 235 | |||||||||
503 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 8 | |||||||||
5,596 | Series 2861, Class GS, IF, IO, 4.73%, 01/15/21 (m) | 294 | |||||||||
1,969 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) | 61 | |||||||||
1,845 | Series 2931, Class GA, 5.00%, 11/15/28 (m) | 1,868 | |||||||||
1,492 | Series 2971, Class PI, IO, 5.50%, 03/15/26 (m) | 89 | |||||||||
245 | Series 2980, Class QB, 6.50%, 05/15/35 (m) | 253 | |||||||||
2,837 | Series 3149, Class IU, IO, 6.00%, 09/15/25 (m) | 207 | |||||||||
6,442 | Series 3174, Class SA, IF, IO, 5.23%, 04/15/36 (m) | 857 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
62 | Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 61 | |||||||||
870 | Series 2003-W6, Class 1A41, 5.40%, 10/25/42 (m) | 864 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
1,656 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 143 | |||||||||
978 | Series 2007-50, Class CS, HB, IF, 24.82%, 09/25/32 (m) | 1,030 | |||||||||
6,887 | Federal National Mortgage Association, STRIPS, Series 378, Class 5, IO, 5.00%, 07/01/36 (m) | 1,729 | |||||||||
Government National Mortgage Association, | |||||||||||
22 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | — | (h) | ||||||||
586 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 10 | |||||||||
8,164 | |||||||||||
Non-Agency CMO — 17.9% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
110 | Series 2005-4, Class 7A2, VAR, 2.70%, 08/25/35 (m) | 70 | |||||||||
525 | Series 2005-5, Class 6A21, VAR, 2.70%, 09/25/35 (m) | 305 | |||||||||
95 | Series 2005-6A, Class 2A1, VAR, 2.78%, 11/25/35 (m) | 62 | |||||||||
4,247 | American Home Mortgage Assets, Series 2006-2, Class 2A1, VAR, 2.66%, 09/25/46 (m) | 2,602 | |||||||||
12,252 | CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1A4, 6.00%, 11/25/36 (m) | 9,762 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
1,738 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 1,321 | |||||||||
3,670 | Series 2006-OA1, Class 2A1, VAR, 2.68%, 03/20/46 (m) | 2,311 | |||||||||
2,981 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 2,804 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
166 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) | 137 | |||||||||
642 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 641 | |||||||||
2,690 | Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2006-AR1, Class 1A2, VAR, 2.68%, 02/25/36 (m) | 2,227 | |||||||||
1,058 | Granite Master Issuer plc, (United Kingdom), Series 2006-2, Class A4, VAR, 2.83%, 12/20/54 (m) | 984 | |||||||||
5,171 | Greenpoint Mortgage Funding Trust, Series 2006-OH1, Class A1, VAR, 2.65%, 01/25/37 (m) | 3,201 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
1,501 | Series 2005-3, Class 2A1A, VAR, 2.71%, 06/19/35 (m) | 909 | |||||||||
2,149 | Series 2005-13, Class 2A11, VAR, 2.75%, 02/19/36 (m) | 1,399 | |||||||||
956 | Series 2006-8, Class 2A1A, VAR, 2.66%, 08/21/36 (m) | 594 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
271 | Series 2004-AR7, Class A1, VAR, 2.91%, 09/25/34 (m) | 145 | |||||||||
9,615 | Series 2006-AR2, Class 4A1, VAR, 5.93%, 09/25/36 (m) | 6,257 | |||||||||
5,538 | Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.50%, 09/25/37 (m) | 4,467 | |||||||||
RESI Finance LP, (Cayman Islands), | |||||||||||
2,805 | Series 2003-C, Class B3, VAR, 3.86%, 09/10/35 (e) (m) | 1,964 | |||||||||
535 | Series 2003-C, Class B4, VAR, 4.06%, 09/10/35 (e) (m) | 353 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
591 | Series 2003-D, Class B3, VAR, 3.76%, 12/10/35 (e) (m) | 416 | |||||||||
856 | Series 2003-D, Class B4, VAR, 3.96%, 12/10/35 (e) (m) | 567 | |||||||||
1,018 | Series 2005-A, Class B3, VAR, 3.04%, 03/10/37 (e) (m) | 584 | |||||||||
346 | Series 2005-A, Class B4, VAR, 3.14%, 03/10/37 (e) (m) | 188 | |||||||||
2,543 | Residential Accredit Loans, Inc., Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) | 1,640 | |||||||||
174 | SACO I, Inc., (Bear Stearns), Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (i) | 175 | |||||||||
423 | Structured Asset Mortgage Investments, Inc., Series 2005-AR2, Class 2A1, VAR, 2.70%, 05/25/45 (m) | 285 | |||||||||
WaMu Mortgage Pass Through Certificates, | |||||||||||
284 | Series 2005-AR02, Class 2A21, VAR, 2.80%, 01/25/45 (m) | 175 | |||||||||
444 | Series 2005-AR09, Class A1A, VAR, 2.79%, 07/25/45 (m) | 301 | |||||||||
486 | Series 2005-AR15, Class A1A1, VAR, 2.73%, 11/25/45 (m) | 309 | |||||||||
289 | Series 2005-AR17, Class A1A1, VAR, 2.74%, 12/25/45 (m) | 180 | |||||||||
892 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 1A, VAR, 2.66%, 07/25/46 (m) | 551 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
628 | Series 2003-2, Class A6, 5.25%, 02/25/18 (m) | 625 | |||||||||
7,983 | Series 2003-M, Class A1, VAR, 4.71%, 12/25/33 (m) | 7,465 | |||||||||
1,235 | Series 2006-AR3, Class A1, VAR, 5.70%, 03/25/36 (m) | 1,096 | |||||||||
5,785 | Series 2007-AR4, Class A1, VAR, 6.00%, 08/25/37 (m) | 4,538 | |||||||||
61,610 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $89,910) | 69,774 | ||||||||||
Commercial Mortgage-Backed Securities — 4.2% | |||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
2,085 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) | 1,926 | |||||||||
1,865 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) | 1,735 | |||||||||
1,125 | Series 2005-T20, Class A4A, VAR, 5.30%, 10/12/42 (m) | 1,061 | |||||||||
Greenwich Capital Commercial Funding Corp., | |||||||||||
2,425 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) | 2,255 | |||||||||
2,425 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) | 2,015 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
22 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) | 22 | |||||||||
970 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) | 881 | |||||||||
1,820 | Series 2006-C4, Class A4, VAR, 6.08%, 06/15/38 (m) | 1,728 | |||||||||
1,014 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, VAR, 2.59%, 09/15/21 (e) (m) | 947 | |||||||||
1,170 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.84%, 05/12/39 (m) | 1,098 | |||||||||
785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) | 757 | |||||||||
170 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) | 160 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $15,919) | 14,585 | ||||||||||
Corporate Bonds — 47.3% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
515 | L-3 Communications Corp., 5.88%, 01/15/15 (m) | 485 | |||||||||
Auto Components — 0.4% | |||||||||||
218 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 (m) | 224 | |||||||||
585 | Tenneco, Inc., 8.13%, 11/15/15 (m) | 525 | |||||||||
TRW Automotive, Inc., | |||||||||||
360 | 7.00%, 03/15/14 (e) (m) | 317 | |||||||||
365 | 7.25%, 03/15/17 (e) (m) | 314 | |||||||||
1,380 | |||||||||||
Beverages — 0.5% | |||||||||||
830 | Constellation Brands, Inc., 7.25%, 09/01/16 (m) | 813 | |||||||||
960 | Dr. Pepper Snapple Group, Inc., 6.82%, 05/01/18 (e) (m) | 978 | |||||||||
1,791 | |||||||||||
Capital Markets — 5.2% | |||||||||||
850 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 848 | |||||||||
1,340 | Credit Suisse Guernsey Ltd., (Switzerland), VAR, 3.49%, 05/15/17 (m) (x) | 998 | |||||||||
1,845 | Goldman Sachs Group, Inc. (The), 6.75%, 10/01/37 (m) | 1,623 | |||||||||
485 | Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Co., PIK, 8.88%, 04/01/15 (m) | 484 | |||||||||
1,790 | Lehman Brothers Holdings Capital Trust V, VAR, 5.86%, 05/31/12 (m) (x) | 935 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
3,140 | VAR, 2.91%, 08/21/09 (m) | 2,948 | |||||||||
1,120 | VAR, 2.95%, 05/25/10 (m) | 1,023 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
Merrill Lynch & Co., Inc., | |||||||||||
1,355 | 6.05%, 08/15/12 (m) | 1,299 | |||||||||
1,010 | VAR, 3.00%, 11/01/11 (m) | 892 | |||||||||
850 | VAR, 3.05%, 02/06/09 (m) | 834 | |||||||||
Morgan Stanley, | |||||||||||
1,470 | 5.45%, 01/09/17 (m) | 1,280 | |||||||||
810 | 5.63%, 01/09/12 (m) | 795 | |||||||||
1,120 | VAR, 2.90%, 05/07/10 (m) | 1,078 | |||||||||
2,400 | VAR, 2.91%, 02/09/09 (m) | 2,379 | |||||||||
630 | VAR, 4.90%, 05/14/10 (m) | 623 | |||||||||
18,039 | |||||||||||
Chemicals — 0.8% | |||||||||||
480 | Huntsman LLC, 11.50%, 07/15/12 (m) | 502 | |||||||||
580 | Ineos Group Holdings plc, (United Kingdom), 8.50%, 02/15/16 (e) (m) | 371 | |||||||||
Nalco Co., | |||||||||||
290 | 7.75%, 11/15/11 (m) | 294 | |||||||||
450 | 8.88%, 11/15/13 (m) | 468 | |||||||||
705 | PolyOne Corp., 8.88%, 05/01/12 (m) | 703 | |||||||||
490 | Terra Capital, Inc., 7.00%, 02/01/17 (m) | 476 | |||||||||
2,814 | |||||||||||
Commercial Banks — 4.3% | |||||||||||
2,380 | Deutsche Bank AG, (Germany), 5.38%, 10/12/12 (m) | 2,393 | |||||||||
670 | Glitnir Banki HF, (Iceland), VAR, 2.95%, 10/15/08 (e) (m) | 669 | |||||||||
1,040 | HBOS plc, (United Kingdom), VAR, 5.92%, 10/01/15 (e) (m) (x) | 673 | |||||||||
715 | HSBC Bank USA N.A., 7.00%, 01/15/39 (m) | 709 | |||||||||
1,195 | ICICI Bank Ltd., (India), VAR, 3.33%, 01/12/10 (e) (m) | 1,161 | |||||||||
3,360 | Korea Development Bank, (South Korea), VAR, 2.93%, 04/03/10 (m) | 3,318 | |||||||||
1,520 | Royal Bank of Scotland Group plc, (United Kingdom), VAR, 7.64%, 09/29/17 (m) (x) | 1,284 | |||||||||
2,535 | Shinsei Finance II, (Cayman Islands), VAR, 7.16%, 07/25/16 (e) (m) (x) | 1,622 | |||||||||
2,020 | VTB 24 Capital S.A. for Bank VTB 24 OSJC, (Ireland), VAR, 3.50%, 12/07/09 | 1,962 | |||||||||
1,045 | Woori Bank, (South Korea), VAR, 5.75%, 03/13/14 (e) (m) | 1,045 | |||||||||
14,836 | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
590 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 496 | |||||||||
Allied Waste North America, Inc., | |||||||||||
475 | 7.25%, 03/15/15 (m) | 481 | |||||||||
225 | 7.38%, 04/15/14 (m) | 227 | |||||||||
185 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 181 | |||||||||
1,385 | |||||||||||
Consumer Finance — 0.6% | |||||||||||
1,270 | Ford Motor Credit Co. LLC, 7.80%, 06/01/12 (m) | 943 | |||||||||
595 | GMAC LLC, 6.88%, 08/28/12 (m) | 349 | |||||||||
650 | John Deere Capital Corp., 5.35%, 04/03/18 (m) | 643 | |||||||||
1,935 | |||||||||||
Containers & Packaging — 0.2% | |||||||||||
275 | Owens Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) | 283 | |||||||||
510 | Smurfit-Stone Container Enterprises, Inc., 8.38%, 07/01/12 (m) | 448 | |||||||||
731 | |||||||||||
Diversified Consumer Services — 0.2% | |||||||||||
350 | Service Corp. International, 7.38%, 10/01/14 (m) | 341 | |||||||||
445 | Stewart Enterprises, Inc., 6.25%, 02/15/13 (m) | 430 | |||||||||
771 | |||||||||||
Diversified Financial Services — 3.2% | |||||||||||
1,615 | Allstate Life Global Funding Trusts, 5.38%, 04/30/13 (m) | 1,613 | |||||||||
275 | Bank of America Corp., 5.65%, 05/01/18 (m) | 254 | |||||||||
Citigroup, Inc., | |||||||||||
1,470 | 5.50%, 04/11/13 (m) | 1,418 | |||||||||
2,240 | 6.50%, 08/19/13 (m) | 2,242 | |||||||||
195 | Digicel Group Ltd., (Bermuda), 8.88%, 01/15/15 (e) (m) | 183 | |||||||||
2,065 | General Electric Capital Corp., 5.88%, 01/14/38 (m) | 1,859 | |||||||||
1,340 | Genworth Life Institutional Funding Trust, 5.88%, 05/03/13 (e) (m) | 1,282 | |||||||||
2,255 | Goldman Sachs Capital II, VAR, 5.79%, 06/01/12 (m) (x) | 1,398 | |||||||||
740 | QBE Capital Funding II LP, (United Kingdom), VAR, 6.80%, 06/01/17 (e) (m) (x) | 600 | |||||||||
10,849 | |||||||||||
Diversified Telecommunication Services — 1.6% | |||||||||||
1,175 | AT&T, Inc., 6.40%, 05/15/38 (m) | 1,123 | |||||||||
665 | Nordic Telephone Co. Holdings, (Denmark), 8.88%, 05/01/16 (e) (m) | 640 | |||||||||
Qwest Communications International, Inc., | |||||||||||
385 | 7.25%, 02/15/11 (m) | 369 | |||||||||
44 | VAR, 6.30%, 02/15/09 (m) | 44 | |||||||||
150 | Qwest Corp., 8.88%, 03/15/12 (m) | 151 | |||||||||
375 | Telecom Italia Capital S.A., (Luxembourg), 7.72%, 06/04/38 (m) | 366 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
1,620 | Telefonica Emisiones S.A.U., (Spain), 5.86%, 02/04/13 (m) | 1,622 | |||||||||
925 | Verizon Communications, Inc., 6.40%, 02/15/38 (m) | 861 | |||||||||
490 | Wind Acquisition Finance S.A., (Luxembourg), 10.75%, 12/01/15 (e) (m) | 502 | |||||||||
5,678 | |||||||||||
Electric Utilities — 1.2% | |||||||||||
1,585 | Abu Dhabi National Energy Co., (United Arab Emirates), 5.62%, 10/25/12 (e) (m) | 1,556 | |||||||||
900 | E.ON International Finance BV, (Netherlands), 5.80%, 04/30/18 (e) (m) | 886 | |||||||||
270 | Mirant Americas Generation LLC, 8.30%, 05/01/11 (m) | 275 | |||||||||
530 | PacificCorp, 5.65%, 07/15/18 (m) | 530 | |||||||||
235 | Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 (e) (m) | 235 | |||||||||
735 | Virginia Electric & Power Co., 6.35%, 11/30/37 (m) | 728 | |||||||||
4,210 | |||||||||||
Electrical Equipment — 0.1% | |||||||||||
225 | Baldor Electric Co., 8.63%, 02/15/17 (m) | 228 | |||||||||
Electronic Equipment & Instruments — 0.1% | |||||||||||
535 | NXP BV / NXP Funding LLC, (Netherlands), 9.50%, 10/15/15 (m) | 362 | |||||||||
Energy Equipment & Services — 0.2% | |||||||||||
585 | Transocean, Inc., (Cayman Islands), 6.80%, 03/15/38 (m) | 584 | |||||||||
Food & Staples Retailing — 2.1% | |||||||||||
1,356 | �� | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) | 1,252 | ||||||||
1,570 | CVS/Caremark Corp., VAR, 2.98%, 06/01/10 (m) | 1,541 | |||||||||
1,380 | Kroger Co. (The), 6.40%, 08/15/17 (m) | 1,410 | |||||||||
1,360 | Safeway, Inc., 6.35%, 08/15/17 (m) | 1,387 | |||||||||
Wal-Mart Stores, Inc., | |||||||||||
1,245 | 5.25%, 09/01/35 (m) | 1,082 | |||||||||
650 | 5.38%, 04/05/17 (m) | 671 | |||||||||
7,343 | |||||||||||
Food Products — 0.1% | |||||||||||
360 | Del Monte Corp., 6.75%, 02/15/15 (m) | 338 | |||||||||
Gas Utilities — 0.7% | |||||||||||
910 | Nakilat, Inc., (Qatar), 6.07%, 12/31/33 (e) (m) | 794 | |||||||||
830 | NGPL PipeCo LLC, 7.12%, 12/15/17 (e) (m) | 838 | |||||||||
770 | Sonat, Inc., 7.63%, 07/15/11 (m) | 785 | |||||||||
2,417 | |||||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||||
1,060 | Biomet, Inc., PIK, 10.38%, 10/15/17 (m) | 1,113 | |||||||||
735 | Cooper Cos., Inc. (The), 7.13%, 02/15/15 (m) | 706 | |||||||||
1,819 | |||||||||||
Health Care Providers & Services — 1.2% | |||||||||||
995 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) | 1,005 | |||||||||
HCA, Inc., | |||||||||||
515 | 9.25%, 11/15/16 (m) | 530 | |||||||||
570 | PIK, 9.63%, 11/15/16 (m) | 575 | |||||||||
2,240 | UnitedHealth Group, Inc., VAR, 2.98%, 06/21/10 (m) | 2,166 | |||||||||
4,276 | |||||||||||
Hotels, Restaurants & Leisure — 0.6% | |||||||||||
830 | McDonald’s Corp., 6.30%, 10/15/37 (m) | 826 | |||||||||
MGM Mirage, Inc., | |||||||||||
545 | 5.88%, 02/27/14 (m) | 436 | |||||||||
370 | 6.75%, 04/01/13 (m) | 322 | |||||||||
455 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) | 424 | |||||||||
2,008 | |||||||||||
Household Durables — 0.5% | |||||||||||
Beazer Homes USA, Inc., | |||||||||||
205 | 6.50%, 11/15/13 (m) | 138 | |||||||||
70 | 6.88%, 07/15/15 (m) | 46 | |||||||||
670 | Jarden Corp., 7.50%, 05/01/17 (m) | 596 | |||||||||
805 | Sealy Mattress Co., 8.25%, 06/15/14 (m) | 648 | |||||||||
730 | Simmons Co., SUB, 10.00%, 12/15/14 (m) | 460 | |||||||||
1,888 | |||||||||||
Household Products — 0.2% | |||||||||||
Visant Holding Corp., | |||||||||||
510 | 8.75%, 12/01/13 (m) | 486 | |||||||||
340 | SUB, 8.75%, 12/01/13 (m) | 331 | |||||||||
817 | |||||||||||
Independent Power Producers & Energy Traders — 0.3% | |||||||||||
12 | AES Corp. (The), 8.75%, 05/15/13 (e) (m) | 12 | |||||||||
255 | Energy Future Holdings Corp., 10.88%, 11/01/17 (e) (m) | 261 | |||||||||
635 | NRG Energy, Inc., 7.38%, 02/01/16 (m) | 627 | |||||||||
900 | |||||||||||
Insurance — 4.4% | |||||||||||
310 | American International Group, Inc., 8.25%, 08/15/18 (e) (m) | 306 | |||||||||
570 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) | 492 | |||||||||
1,885 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) | 1,639 | |||||||||
2,220 | Metropolitan Life Global Funding I, 5.13%, 04/10/13 (e) (m) | 2,200 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Insurance — Continued | |||||||||||
835 | Nationwide Financial Services, 6.75%, 05/15/37 (m) | 615 | |||||||||
1,790 | Nationwide Life Global Funding I, VAR, 2.84%, 10/09/09 (e) (m) | 1,751 | |||||||||
1,435 | Principal Life Income Funding Trusts, 5.30%, 04/24/13 (m) | 1,433 | |||||||||
2,005 | Protective Life Secured Trusts, 3.70%, 11/24/08 (m) | 2,002 | |||||||||
1,790 | StanCorp Financial Group, Inc., VAR, 6.90%, 05/29/67 (m) | 1,511 | |||||||||
3,420 | Stingray Pass-Through Trust, (Cayman Islands), 5.90%, 01/12/15 (e) (i) | 513 | |||||||||
1,855 | Swiss RE Capital I LP, (United Kingdom), VAR, 6.85%, 05/25/16 (e) (m) (x) | 1,598 | |||||||||
1,870 | XL Capital Ltd., (Cayman Islands), VAR, 6.50%, 04/15/17 (m) (x) | 1,122 | |||||||||
15,182 | |||||||||||
IT Services — 0.6% | |||||||||||
1,015 | Iron Mountain, Inc., 6.63%, 01/01/16 (m) | 957 | |||||||||
SunGard Data Systems, Inc., | |||||||||||
370 | 9.13%, 08/15/13 | 376 | |||||||||
600 | 10.25%, 08/15/15 (m) | 604 | |||||||||
1,937 | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
450 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) | 403 | |||||||||
Machinery — 0.3% | |||||||||||
895 | Terex Corp., 8.00%, 11/15/17 (m) | 884 | |||||||||
Media — 3.1% | |||||||||||
575 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) | 542 | |||||||||
215 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 207 | |||||||||
930 | Comcast Corp., 6.95%, 08/15/37 (m) | 907 | |||||||||
1,340 | Dex Media West LLC/Dex Media Finance Co., 9.88%, 08/15/13 (m) | 1,032 | |||||||||
870 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) | 505 | |||||||||
910 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) | 858 | |||||||||
1,180 | Echostar DBS Corp., 7.13%, 02/01/16 (m) | 1,086 | |||||||||
720 | Quebecor Media, Inc., (Canada), 7.75%, 03/15/16 (m) | 677 | |||||||||
Time Warner Cable, Inc., | |||||||||||
820 | 6.55%, 05/01/37 (m) | 756 | |||||||||
450 | 7.30%, 07/01/38 (m) | 452 | |||||||||
Time Warner, Inc., | |||||||||||
1,505 | 5.50%, 11/15/11 (m) | 1,489 | |||||||||
1,820 | VAR, 3.03%, 11/13/09 (m) | 1,783 | |||||||||
250 | Videotron Ltee, (Canada), 6.88%, 01/15/14 (m) | 243 | |||||||||
10,537 | |||||||||||
Metals & Mining — 2.8% | |||||||||||
630 | Freeport-McMoRan Copper & Gold, Inc., 8.25%, 04/01/15 (m) | 661 | |||||||||
2,235 | Rio Tinto Finance USA Ltd., (Australia), 5.88%, 07/15/13 (m) | 2,254 | |||||||||
6,720 | Xstrata Finance Dubai Ltd., (United Arab Emirates), VAR, 3.15%, 11/13/09 (e) | 6,580 | |||||||||
9,495 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
310 | Neiman-Marcus Group, Inc. (The), PIK, 9.00%, 10/15/15 (m) | 301 | |||||||||
415 | Target Corp., 6.50%, 10/15/37 (m) | 409 | |||||||||
710 | |||||||||||
Multi-Utilities — 1.0% | |||||||||||
1,350 | Dominion Resources, Inc., 5.15%, 07/15/15 (m) | 1,300 | |||||||||
1,170 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 (m) | 1,167 | |||||||||
505 | Mirant North America LLC, 7.38%, 12/31/13 (m) | 501 | |||||||||
610 | Veolia Environnement, (France), 6.00%, 06/01/18 (m) | 612 | |||||||||
3,580 | |||||||||||
Oil, Gas & Consumable Fuels — 5.9% | |||||||||||
Anadarko Petroleum Corp., | |||||||||||
720 | 6.45%, 09/15/36 (m) | 662 | |||||||||
2,240 | VAR, 3.18%, 09/15/09 (m) | 2,221 | |||||||||
890 | Canadian Natural Resources Ltd., (Canada), 6.25%, 03/15/38 (m) | 820 | |||||||||
Chesapeake Energy Corp., | |||||||||||
430 | 6.50%, 08/15/17 (m) | 400 | |||||||||
270 | 7.00%, 08/15/14 (m) | 267 | |||||||||
2,448 | Citic Resources Finance Ltd., (Bermuda), 6.75%, 05/15/14 (e) (m) | 2,240 | |||||||||
740 | EnCana Corp., (Canada), 6.63%, 08/15/37 (m) | 704 | |||||||||
1,440 | Enterprise Operating Products LP, 6.30%, 09/15/17 (m) | 1,437 | |||||||||
2,740 | Gaz Capital S.A. for Gazprom, (Russia), 7.29%, 08/16/37 (e) (m) | 2,340 | |||||||||
1,514 | Gazprom International S.A., (Russia), 7.20%, 02/01/20 | 1,505 | |||||||||
180 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 (m) | 168 | |||||||||
665 | Nexen, Inc., (Canada), 6.40%, 05/15/37 (m) | 596 | |||||||||
1,535 | ONEOK Partners LP, 5.90%, 04/01/12 (m) | 1,549 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
1,853 | Qatar Petroleum, (Qatar), 5.58%, 05/30/11 (e) (m) | 1,895 | |||||||||
1,345 | Ras Laffan Liquefied Natural Gas Co., Ltd. III, (Qatar), 5.83%, 09/30/16 (e) (m) | 1,319 | |||||||||
685 | Suncor Energy, Inc., (Canada), 6.85%, 06/01/39 (m) | 686 | |||||||||
680 | Valero Energy Corp., 6.63%, 06/15/37 (m) | 600 | |||||||||
960 | XTO Energy, Inc., 6.38%, 06/15/38 | 865 | |||||||||
20,274 | |||||||||||
Paper & Forest Products — 0.2% | |||||||||||
Georgia-Pacific LLC, | |||||||||||
345 | 7.00%, 01/15/15 (e) (m) | 321 | |||||||||
285 | 7.70%, 06/15/15 (m) | 266 | |||||||||
587 | |||||||||||
Pharmaceuticals — 0.3% | |||||||||||
1,035 | GlaxoSmithKline Capital, Inc., 6.38%, 05/15/38 (m) | 1,036 | |||||||||
Real Estate Investment Trusts (REITs) — 0.2% | |||||||||||
Host Hotels & Resorts LP, | |||||||||||
115 | 6.38%, 03/15/15 (m) | 100 | |||||||||
530 | 7.13%, 11/01/13 (m) | 500 | |||||||||
600 | |||||||||||
Road & Rail — 0.1% | |||||||||||
105 | Hertz Corp. (The), 8.88%, 01/01/14 (m) | 99 | |||||||||
195 | RSC Equipment Rental, Inc., 9.50%, 12/01/14 (m) | 156 | |||||||||
7 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) | 6 | |||||||||
261 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | |||||||||||
265 | Freescale Semiconductor, Inc., PIK, 9.13%, 12/15/14 (m) | 207 | |||||||||
780 | Sensata Technologies BV, (Netherlands), 8.00%, 05/01/14 (m) | 663 | |||||||||
870 | |||||||||||
Software — 0.2% | |||||||||||
310 | Open Solutions, Inc., 9.75%, 02/01/15 (e) (m) | 220 | |||||||||
575 | Oracle Corp., 6.50%, 04/15/38 (m) | 581 | |||||||||
801 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
285 | Sally Holdings LLC, 9.25%, 11/15/14 (m) | 288 | |||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||
650 | Hanesbrands, Inc., VAR, 6.51%, 12/15/14 (m) | 562 | |||||||||
Thrifts & Mortgage Finance — 1.2% | |||||||||||
2,600 | Bancaja U.S. Debt S.A.U., (Spain), VAR, 2.94%, 07/10/09 (e) (m) | 2,517 | |||||||||
185 | Countrywide Financial Corp., VAR, 3.02%, 03/24/09 (m) | 180 | |||||||||
560 | Sovereign Bancorp, Inc., VAR, 2.96%, 03/01/09 (m) | 538 | |||||||||
1,120 | Washington Mutual Bank, VAR, 2.89%, 05/01/09 (m) | 943 | |||||||||
4,178 | |||||||||||
Tobacco — 0.2% | |||||||||||
585 | Philip Morris International, Inc., 6.38%, 05/16/38 (m) | 575 | |||||||||
Wireless Telecommunication Services — 0.6% | |||||||||||
365 | Cricket Communications, Inc., 9.38%, 11/01/14 (m) | 362 | |||||||||
560 | MetroPCS Wireless, Inc., 9.25%, 11/01/14 (m) | 555 | |||||||||
985 | Rogers Communications, Inc., (Canada), 6.80%, 08/15/18 (m) | 999 | |||||||||
1,916 | |||||||||||
Total Corporate Bonds (Cost $177,302) | 162,560 | ||||||||||
Foreign Government Securities — 6.4% | |||||||||||
2,480 | Barclays Bank plc, VAR, 0.00%, 04/07/10 (linked to Government of Ghana, VAR, 0.00%, 04/07/10) (e) (i) | 1,776 | |||||||||
2,100 | Citigroup Funding, Inc., 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) | 1,687 | |||||||||
TRY 1,610 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) | 1,248 | |||||||||
Federal Republic of Brazil, (Brazil), | |||||||||||
1,745 | 8.00%, 01/15/18 | 1,947 | |||||||||
1,155 | 12.25%, 03/06/30 | 1,958 | |||||||||
1,440 | Government of Ukraine, (Ukraine), 6.58%, 11/21/16 (e) | 1,226 | |||||||||
1,970 | IIRSA Norte Finance Ltd., (Peru), 8.75%, 05/30/24 | 2,194 | |||||||||
900 | National Agricultural Cooperative Federation, (South Korea), VAR, 5.75%, 06/18/14 | 906 | |||||||||
3,810 | Republic of Argentina, (Argentina), VAR, 3.00%, 04/30/13 | 1,796 | |||||||||
Republic of Guatemala, (Guatemala), | |||||||||||
1,730 | 9.25%, 08/01/13 | 1,950 | |||||||||
1,790 | 10.25%, 11/08/11 | 2,005 | |||||||||
Russian Federation, (Russia), | |||||||||||
380 | 12.75%, 06/24/28 | 667 | |||||||||
596 | SUB, 7.50%, 03/31/30 | 664 | |||||||||
1,710 | United Mexican States, (Mexico), 8.00%, 09/24/22 | 2,061 | |||||||||
Total Foreign Government Securities (Cost $23,497) | 22,085 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Loan Participations & Assignments — 1.3% | |||||||||||
Auto Components — 0.2% | |||||||||||
Allison Transmission, Term Loan B, | |||||||||||
541 | 5.22%, 08/07/14 | 484 | |||||||||
355 | 5.45%, 08/07/14 | 318 | |||||||||
81 | 5.56%, 08/07/14 | 72 | |||||||||
874 | |||||||||||
Electric Utilities — 0.3% | |||||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | |||||||||||
258 | 5.96%, 10/10/14 | 241 | |||||||||
10 | 6.17%, 10/14/14 | 9 | |||||||||
724 | 6.30%, 10/10/14 | 674 | |||||||||
924 | |||||||||||
IT Services — 0.3% | |||||||||||
First Data Corp., Initial Tranche B1 Term Loan, | |||||||||||
901 | 5.22%, 09/24/14 | 826 | |||||||||
91 | 5.55%, 09/24/14 | 84 | |||||||||
910 | |||||||||||
Wireless Telecommunication Services — 0.5% | |||||||||||
1,696 | Alltel Communications, Tranche B-2 Term Loan, 5.56%, 05/16/15 | 1,676 | |||||||||
Total Loan Participations & Assignments (Cost $4,472) | 4,384 | ||||||||||
Mortgage Pass-Through Securities — 34.6% | |||||||||||
Federal Home Loan Mortgage Corp., Gold Pool, 15 Year, Single Family, | |||||||||||
79 | 6.00%, 02/01/11 – 04/01/11 (m) | 81 | |||||||||
Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, | |||||||||||
83 | 6.00%, 01/01/35 (m) | 84 | |||||||||
26 | 7.00%, 12/01/25 – 02/01/26 (m) | 28 | |||||||||
58 | 7.50%, 10/01/26 – 02/01/27 (m) | 63 | |||||||||
43 | 8.00%, 04/01/26 – 07/01/26 (m) | 46 | |||||||||
—(h) | 9.75%, 11/01/08 (m) | — | (h) | ||||||||
1,500 | TBA, 5.00%, 09/15/38 | 1,441 | |||||||||
6,545 | TBA, 5.50%, 10/15/38 | 6,435 | |||||||||
6,510 | TBA, 6.00%, 09/15/38 | 6,563 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
11,500 | TBA, 4.50%, 09/25/23 | 11,137 | |||||||||
43,000 | TBA, 5.50%, 09/25/23 | 43,349 | |||||||||
7,600 | TBA, 6.00%, 09/25/23 | 7,783 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
1,011 | 6.00%, 10/01/23 – 01/01/29 (m) | 1,030 | |||||||||
811 | 6.50%, 04/01/29 – 03/01/35 (m) | 836 | |||||||||
232 | 7.00%, 02/01/35 – 03/01/35 (m) | 243 | |||||||||
26 | 7.50%, 03/01/35 (m) | 28 | |||||||||
—(h) | 8.00%, 08/01/22 (m) | — | (h) | ||||||||
—(h) | 8.50%, 10/01/25 (m) | — | (h) | ||||||||
19,135 | TBA, 5.50%, 09/25/38 | 18,896 | |||||||||
13,090 | TBA, 6.00%, 09/25/38 | 13,217 | |||||||||
496 | Federal National Mortgage Association, Other, 4.96%, 11/01/08 (m) | 495 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
455 | 7.00%, 09/15/31(m) | 484 | |||||||||
1 | 9.00%, 02/15/10 – 04/15/11 (m) | 1 | |||||||||
2,800 | TBA, 6.00%, 09/15/38 | 2,841 | |||||||||
3,700 | TBA, 6.50%, 09/15/38 | 3,811 | |||||||||
Total Mortgage Pass-Through Securities (Cost $116,687) | 118,892 | ||||||||||
Private Placements — 4.2% | |||||||||||
2,855 | 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) | 2,966 | |||||||||
10,286 | 200 East 57th St., 200 East Tenants Corp., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.50%, 01/01/14 (f) (i) | 10,675 | |||||||||
712 | 200 East 57th St., 200 East Tenants Corp., Secured by Second Mortgage and Agreement on Co-op Apartment Building in New York City, 6.72%, 01/01/13 (f) (i) | 742 | |||||||||
Total Private Placements (Cost $13,853) | 14,383 | ||||||||||
Supranational — 0.7% | |||||||||||
2,240 | European Investment Bank, 4.88%, 02/16/16 (m) (Cost $2,237) | 2,326 | |||||||||
U.S. Treasury Obligations — 3.2% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
550 | 5.00%, 05/15/37 (m) | 601 | |||||||||
100 | 7.25%, 05/15/16 (k) | 124 | |||||||||
525 | U.S. Treasury Inflation Indexed Notes, 2.13%, 04/30/10 (k) (m) | 525 | |||||||||
U.S. Treasury Notes, | |||||||||||
370 | 1.75%, 03/31/10 (k) | 367 | |||||||||
545 | 2.00%, 02/28/10 (k) (m) | 543 | |||||||||
355 | 2.88%, 06/30/10 (k) (m) | 359 | |||||||||
175 | 3.38%, 10/15/09 (k) | 177 | |||||||||
810 | 3.50%, 02/15/10 (k) (m) | 826 | |||||||||
465 | 3.50%, 02/15/18 (m) | 456 | |||||||||
670 | 3.88%, 05/15/09 (k) (m) | 678 | |||||||||
3,460 | 3.88%, 05/15/18 (m) | 3,480 | |||||||||
340 | 4.00%, 02/15/15 (k) | 355 | |||||||||
775 | 4.00%, 08/15/18 (m) | 787 | |||||||||
520 | 4.38%, 11/15/08 (k) (m) | 523 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
U.S. Treasury Obligations — Continued | |||||||||||
435 | 4.50%, 09/30/11 (k) (m) | 459 | |||||||||
85 | 4.63%, 07/31/09 (k) | 87 | |||||||||
465 | 4.88%, 08/15/09 (k) (m) | 477 | |||||||||
Total U.S. Treasury Obligations (Cost $10,647) | 10,824 |
SHARES | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Preferred Stocks — 0.5% | ||||||||||
Insurance — 0.5% | ||||||||||
2,000 | Axis Capital Holdings Ltd., (Bermuda), 7.50%, 12/01/15 (i) (x) (Cost $2,031) | 1,646 | ||||||||
Total Long-Term Investments (Cost $528,984) | 447,715 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE ($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.7% | |||||||||||
Call Options Purchased — 0.7% | |||||||||||
82 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.13, American Style | 15 | |||||||||
75 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $96.88, American Style | 47 | |||||||||
98 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 6 | |||||||||
75 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.63, American Style | 3 |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver Options Purchased on Interest Rate Swaps: | ||||||||||
72,165 | Expiring 10/09/08. If exercised the Fund receives semi-annually 3.19% and pays quarterly floating 3 month LIBOR expiring 10/14/09, European Style. Counterparty: Barclays Bank plc (r) | 138 | ||||||||
60,445 | Expiring 11/28/08. If exercised the Fund receives semi-annually 2.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Barclays Bank plc (r) | 14 | ||||||||
60,445 | Expiring 11/28/08. If exercised the Fund receives semi-annually 2.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 14 | ||||||||
120,895 | Expiring 11/28/08. If exercised the Fund receives semi-annually 3.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 470 | ||||||||
Receiver Options Purchased on Interest Rate Swaps: — Continued | ||||||||||
120,895 | Expiring 12/03/08. If exercised the Fund receives semi-annually 2.26% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 15 | ||||||||
241,790 | Expiring 12/03/08. If exercised the Fund receives semi-annually 3.01% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 394 | ||||||||
125,730 | Expiring 12/11/08. If exercised the Fund receives semi-annually 2.88% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 141 | ||||||||
125,730 | Expiring 12/11/08. If exercised the Fund receives semi-annually 3.63% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 674 | ||||||||
120,895 | Expiring 12/18/08. If exercised the Fund receives semi-annually 2.34% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 26 | ||||||||
241,790 | Expiring 12/18/08. If exercised the Fund receives semi-annually 3.09% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 490 | ||||||||
66,470 | Expiring 02/12/09. If exercised the Fund receives semi-annually 2.57% and pays quarterly floating 3 month LIBOR expiring 02/17/10, European Style. Counterparty: Deutsche Bank AG, New York (r) | 53 | ||||||||
Total Call Options Purchased | 2,500 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.0% (g) | ||||||||||
14 | 30 Day Federal Funds Futures, Expiring 09/30/08 @ $97.94, American Style | 1 | ||||||||
25 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $114.00, American Style | 6 | ||||||||
24 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $115.00, American Style | 10 | ||||||||
Total Put Options Purchased | 17 | |||||||||
Total Options Purchased (Cost $2,460) | 2,517 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 1.9% | |||||||||||
U.S. Treasury Obligation — 0.9% | |||||||||||
2,920 | U.S. Treasury Bill, 1.80%, 09/04/08 (k) (n) (Cost $2,920) | 2,919 |
SHARES | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 1.0% | ||||||||||
3,439 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $3,439) | 3,439 | ||||||||
Total Short-Term Investments (Cost $6,359) | 6,358 |
| SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Investments — 132.9% (Cost $537,803) | 456,590 | |||||||||
Liabilities in Excess of Other Assets — (32.9)% | (113,007 | ) | ||||||||
NET ASSETS — 100.0% | 343,583 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
40 | Euro-Bobl | September, 2008 | 6,349 | 3 | ||||||||||||||
82 | Eurodollar | September, 2008 | 19,921 | 27 | ||||||||||||||
10 | 30 Day Federal Funds | October, 2008 | 4,083 | 2 | ||||||||||||||
138 | 30 Day Federal Funds | November, 2008 | 56,321 | 80 | ||||||||||||||
82 | 2 Year U.S. Treasury Note | December, 2008 | 17,407 | 18 | ||||||||||||||
228 | 5 Year U.S. Treasury Note | December, 2008 | 25,522 | 5 | ||||||||||||||
398 | 10 Year U.S. Treasury Note | December, 2008 | 45,969 | (55 | ) | |||||||||||||
20 | U.K. Treasury Long Gilt | December, 2008 | 4,081 | 4 | ||||||||||||||
115 | U.S. Long Bond | December, 2008 | 13,491 | (66 | ) | |||||||||||||
111 | 90 Day Sterling | June, 2009 | 24,031 | 225 | ||||||||||||||
160 | Eurodollar | June, 2010 | 38,408 | 261 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(25) | Euro-Bund | September, 2008 | (4,187 | ) | (127 | ) | ||||||||||||
(18) | Eurodollar | September, 2008 | (4,373 | ) | 28 | |||||||||||||
(197) | 2 Year U.S. Treasury Note | December, 2008 | (41,819 | ) | (49 | ) | ||||||||||||
(336) | 5 Year U.S. Treasury Note | December, 2008 | (37,611 | ) | (23 | ) | ||||||||||||
(18) | Eurodollar | December, 2008 | (4,366 | ) | 42 | |||||||||||||
(129) | U.S. Treasury Bond | December, 2008 | (15,133 | ) | 76 | |||||||||||||
(271) | U.S. Treasury Note | December, 2008 | (31,301 | ) | 31 | |||||||||||||
(18) | Eurodollar | March, 2009 | (4,367 | ) | (28 | ) | ||||||||||||
(98) | Eurodollar | June, 2009 | (23,744 | ) | 58 | |||||||||||||
(18) | Eurodollar | September, 2009 | (4,352 | ) | 40 | |||||||||||||
(18) | Eurodollar | December, 2009 | (4,339 | ) | (24 | ) | ||||||||||||
(18) | Eurodollar | March, 2010 | (4,330 | ) | (40 | ) | ||||||||||||
(18) | Eurodollar | June, 2010 | (4,321 | ) | (38 | ) | ||||||||||||
(80) | Eurodollar | June, 2011 | (19,107 | ) | (27 | ) | ||||||||||||
423 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
(16,300) | FHLMC, Gold, 30 Year, Single Family, TBA, 5.50%, 09/15/38 | (16,071 | ) | |||||||
(2,205) | FNMA, 15 Year, Single Family, TBA, 5.00%, 09/25/23 | (2,184 | ) | |||||||
(24,800) | FNMA, 30 Year, Single Family, TBA, 5.00%, 09/25/38 | (23,839 | ) | |||||||
(3,405) | FNMA, 30 Year, Single Family, TBA, 6.00%, 10/15/37 | (3,428 | ) | |||||||
(14,350) | FNMA, 30 Year, Single Family, TBA, 6.50%, 09/25/38 | (14,758 | ) | |||||||
(Proceeds received of $60,025.) | (60,280 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.25 | 09/15/08 | 62 | (2 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.50 | 09/15/08 | 4 | — | (h) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.75 | 09/15/08 | 102 | (1 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 94 | (1 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.13 | 12/15/08 | 75 | (18 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.38 | 12/15/08 | 75 | (7 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | �� | 196 | (2 | ) | ||||||||||||
(Premiums received of $208.) | (31 | ) |
COUNTERPARTY | | EXERCISE RATE ** (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 2.59% semi-annually | 12/18/08 | 12/22/09 | 241,790 | (122 | ) | ||||||||||||||||
Barclays Bank plc | 2.84% semi-annually | 12/18/08 | 12/22/09 | 241,790 | (255 | ) | ||||||||||||||||
Barclays Bank plc | 2.89% semi-annually | 10/09/08 | 10/14/09 | 144,330 | (81 | ) | ||||||||||||||||
Barclays Bank plc | 3.13% semi-annually | 12/11/08 | 12/15/09 | 125,730 | (266 | ) | ||||||||||||||||
Barclays Bank plc | 3.38% semi-annually | 12/11/08 | 12/15/09 | 125,730 | (446 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.51% semi-annually | 12/03/08 | 12/05/09 | 241,790 | (98 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.76% semi-annually | 12/03/08 | 12/05/09 | 241,790 | (192 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.93% semi-annually | 11/28/08 | 12/02/09 | 241,790 | (312 | ) | ||||||||||||||||
(Premiums received of $1,974.) | (1,772 | ) |
COUNTERPARTY | | EXERCISE RATE *** (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 4.78% semi-annually | 08/27/09 | 09/03/19 | 3,430 | (229 | ) | ||||||||||||||||
(Premiums received of $230.) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Federal Funds Futures, American Style | 97.75 | 09/30/08 | 28 | — | (h) | |||||||||||||
(Premiums received of $2.) |
* | European Style. |
** | The Fund would receive quarterly a floating rate based on 3 month LIBOR, if exercised. |
*** | The Fund would pay/receive quarterly a floating rate based on 3 month LIBOR, if exercised. |
RATE TYPE (r) | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 21,650 | (1,101 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.9 | Barclays Bank plc [1] | Buy | 2.65% semi-annually | 06/20/13 | 90 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Barclays Bank plc [2] | Buy | 2.65% semi-annually | 06/20/13 | 330 | (2 | ) | |||||||||||||||||||
CDX.EM.9 | Barclays Bank plc [3] | Buy | 2.65% semi-annually | 06/20/13 | 2,480 | (15 | ) | |||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [4] | Buy | 2.65% semi-annually | 06/20/13 | 980 | (6 | ) | |||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [5] | Buy | 2.65% semi-annually | 06/20/13 | 1,930 | (12 | ) | |||||||||||||||||||
CDX.EM.9 | HSBC Bank, N.A. [6] | Buy | 2.65% semi-annually | 06/20/13 | 640 | (4 | ) | |||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [7] | Buy | 2.65% semi-annually | 06/20/13 | 10,540 | (66 | ) | |||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [8] | Buy | 2.65% semi-annually | 06/20/13 | 6,850 | (43 | ) | |||||||||||||||||||
CDX.EM.9 | Morgan Stanley Capital Services [9] | Buy | 2.65% semi-annually | 06/20/13 | 480 | (3 | ) | |||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [10] | Buy | 1.55% quarterly | 06/20/13 | 16,100 | (127 | ) | |||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [11] | Buy | 1.55% quarterly | 06/20/13 | 13,550 | (107 | ) | |||||||||||||||||||
CDX.NA.IG.10 | Lehman Brothers Special Financing [12] | Buy | 1.55% quarterly | 06/20/13 | 12,000 | (95 | ) | |||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [13] | Sell | 3.50% quarterly | 06/20/13 | 4,000 | 16 | ||||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [14] | Sell | 3.50% quarterly | 06/20/13 | 3,650 | 15 | ||||||||||||||||||||
Countrywide Home Loans, Inc., 4.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 5.00% quarterly | 09/20/08 | 11,300 | 116 | ||||||||||||||||||||
Countrywide Home Loans, Inc., 4.00%, 03/22/11 | Union Bank of Switzerland AG | Sell | 6.15% quarterly | 09/20/08 | 10,000 | 132 | ||||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Lehman Brothers Special Financing | Sell | 1.69% semi-annually | 11/20/11 | 1,500 | (87 | ) | |||||||||||||||||||
iTraxx.EUR.SRF.9.1 | Deutsche Bank AG, New York [15] | Buy | 1.65% quarterly | 06/20/13 | EUR 2,000 | (104 | ) | |||||||||||||||||||
iTraxx.EUR.SRF.9.1 | Deutsche Bank AG, New York [16] | Buy | 1.65% quarterly | 06/20/13 | EUR 2,000 | (104 | ) | |||||||||||||||||||
iTraxx.EUR.SRF.9.1 | Deutsche Bank AG, New York [17] | Buy | 1.65% quarterly | 06/20/13 | EUR 2,000 | (104 | ) | |||||||||||||||||||
Petroleos de Venezuela S.A., 5.38%, 04/12/27 | Deutsche Bank AG, New York | Sell | 2.59% semi-annually | 05/20/12 | 1,410 | (146 | ) | |||||||||||||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 0.76% semi-annually | 02/20/09 | 18,385 | (108 | ) | |||||||||||||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 0.72% semi-annually | 03/20/09 | 1,875 | (8 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.31% semi-annually | 02/20/09 | 18,385 | 29 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 0.30% semi-annually | 03/20/09 | 1,875 | 1 | ||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 4,700 | (393 | ) | |||||||||||||||||||
(1,226 | ) |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
[1] | Premiums received of $12. |
[2] | Premiums received of $361. |
[3] | Premiums received of $30. |
[4] | Premiums paid of $7. |
[5] | Premiums received of $23. |
[6] | Premiums received of $20. |
[7] | Premiums received of $132. |
[8] | Premiums received of $82. |
[9] | Premiums received of $47. |
[10] | Premiums received of $1,007. |
[11] | Premiums received of $1,137. |
[12] | Premiums received of $960. |
[13] | Premiums paid of $458. |
[14] | Premiums paid of $528. |
[15] | Premiums received of $124. |
[16] | Premiums received of $127. |
[17] | Premiums received of $118. |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. † | FNMA, 30 Year, Single Family, TBA, 5.00% | 94.19 | 09/04/08 | 24,050 | (477 | ) | ||||||||||||||||
Citibank, N.A. † | FNMA, 30 Year, Single Family, TBA, 5.50% | 97.25 | 09/04/08 | 73,330 | (1,157 | ) | ||||||||||||||||
Citibank, N.A. †† | FNMA, 30 Year, Single Family, TBA, 6.00% | 100.24 | 09/04/08 | 5,800 | 48 | |||||||||||||||||
Citibank, N.A. †† | FNMA, 30 Year, Single Family, TBA, 6.00% | 100.28 | 09/04/08 | 15,600 | 122 | |||||||||||||||||
Citibank, N.A. †† | FNMA, 30 Year, Single Family, TBA, 6.50% | 102.38 | 09/04/08 | 11,000 | 57 | |||||||||||||||||
Credit Suisse International †† | FHLB, 5.38%, 05/18/16 | 105.04 | 11/14/08 | 20,935 | 53 | |||||||||||||||||
Deutsche Bank AG, New York † | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | 100.19 | 09/04/08 | 93,145 | (669 | ) | ||||||||||||||||
Deutsche Bank AG, New York † | FNMA, 15 Year, Single Family, TBA, 5.50% | 99.13 | 09/09/08 | 54,300 | (975 | ) | ||||||||||||||||
Deutsche Bank AG, New York † | U.S. Treasury Note, 4.25%, 11/15/13 | 102.38 | 10/07/08 | 9,100 | 6 | |||||||||||||||||
Deutsche Bank AG, New York †† | FHLMC Gold, 30 Year, Single Family, TBA, 5.00% | 94.00 | 09/04/08 | 24,900 | 521 | |||||||||||||||||
Deutsche Bank AG, New York †† | FNMA, 30 Year, Single Family, TBA, 5.50% | 97.25 | 09/04/08 | 50,000 | 789 | |||||||||||||||||
Deutsche Bank AG, New York †† | FNMA, 15 Year, TBA, Single Family, 5.00% | 96.94 | 09/09/08 | 8,000 | 176 | |||||||||||||||||
Deutsche Bank AG, New York †† | FNMA, 15 Year, Single Family, TBA, 6.00% | 101.31 | 09/09/08 | 23,000 | 273 | |||||||||||||||||
Deutsche Bank AG, New York †† | FHLMC Gold, 30 Year, Single Family, TBA, 5.50% | 97.91 | 10/07/08 | 31,650 | 154 | |||||||||||||||||
Deutsche Bank AG, New York †† | FHLMC, 4.50%, 01/15/14 | 101.56 | 11/20/08 | 10,495 | (27 | ) | ||||||||||||||||
Lehman Brothers Special Financing †† | FNMA, 15 Year, Single Family, TBA, 6.00% | 101.22 | 09/09/08 | 36,600 | 469 | |||||||||||||||||
Morgan Stanley Capital Services † | FNMA, 15 Year, Single Family, TBA, 6.00% | 101.59 | 09/09/08 | 65,000 | (589 | ) | ||||||||||||||||
Morgan Stanley Capital Services †† | FNMA, 30 Year, Single Family, TBA, 5.00% | 94.22 | 09/04/08 | 31,000 | 605 | |||||||||||||||||
Union Bank of Switzerland AG †† | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | 100.16 | 09/04/08 | 81,100 | 608 | |||||||||||||||||
Union Bank of Switzerland AG †† | FNMA, 30 Year, Single Family, TBA, 5.50% | 96.25 | 09/04/08 | 8,300 | 214 | |||||||||||||||||
Union Bank of Switzerland AG †† | FNMA, 30 Year, Single Family, TBA, 6.50% | 102.06 | 09/04/08 | 22,000 | 182 | |||||||||||||||||
383 |
† | Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price at termination. |
†† | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock at termination. |
AS OF AUGUST 31, 2008 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 96.6% | |||||||||||
Corporate Bonds — 21.7% | |||||||||||
Brazil — 2.3% | |||||||||||
BRL 1,730 | Citibank N.A., Brazilian Real Notes, 15.00%, 07/02/10 | 1,098 | |||||||||
Morgan Stanley & Co., Inc., Brazil Linked Notes, | |||||||||||
3,950 | 12.15%, 01/05/22 (e) (m) | 4,024 | |||||||||
1,000 | 14.40%, 08/04/16 (e) (m) | 1,217 | |||||||||
970 | Petrobras International Finance Co., 5.88%, 03/01/18 (m) | 947 | |||||||||
7,286 | |||||||||||
China — 0.2% | |||||||||||
715 | Citic Resources Finance Ltd., 6.75%, 05/15/14 (e) (m) | 654 | |||||||||
Mexico — 0.6% | |||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 | 1,801 | |||||||||
Netherlands — 1.8% | |||||||||||
5,540 | KazMunaiGaz Finance Sub BV, 9.13%, 07/02/18 (e) (m) | 5,658 | |||||||||
Russia — 8.6% | |||||||||||
1,945 | ALROSA Finance S.A., 8.88%, 11/17/14 (e) (m) | 1,969 | |||||||||
1,590 | Gaz Capital S.A., 6.21%, 11/22/16 (e) (m) | 1,434 | |||||||||
7,487 | Gazprom International S.A., 7.20%, 02/01/20 | 7,442 | |||||||||
Gazstream S.A. for OAO Gazprom, | |||||||||||
2,586 | 5.63%, 07/22/13 (e) | 2,565 | |||||||||
1,993 | 5.63%, 07/22/13 (m) | 1,971 | |||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, | |||||||||||
3,230 | 7.13%, 01/14/14 (e) (m) | 3,147 | |||||||||
720 | 7.18%, 05/16/13 (e) (m) | 705 | |||||||||
4,610 | 7.75%, 05/29/18 (e) (m) | 4,325 | |||||||||
2,980 | TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67%, 03/05/14 (e) (m) | 2,723 | |||||||||
1,600 | VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | 1,423 | |||||||||
27,704 | |||||||||||
Singapore — 0.2% | |||||||||||
640 | BW Group Ltd., 6.63%, 06/28/17 (e) (m) | 558 | |||||||||
Trinidad & Tobago — 1.0% | |||||||||||
3,452 | National Gas Co. of Trinidad & Tobago Ltd., 6.05%, 01/15/36 (m) | 3,218 | |||||||||
Ukraine — 3.5% | |||||||||||
Credit Suisse First Boston International for CJSC The EXIM of Ukraine, | |||||||||||
320 | 6.80%, 10/04/12 | 289 | |||||||||
7,855 | 7.65%, 09/07/11 | 7,333 | |||||||||
1,840 | CS International for City of Kiev Ukraine, 8.25%, 11/26/12 (e) | 1,751 | |||||||||
1,695 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 | 1,674 | |||||||||
11,047 | |||||||||||
United Arab Emirates — 0.7% | |||||||||||
2,370 | Abu Dhabi National Energy Co., 6.60%, 08/01/13 (e) (m) | 2,402 | |||||||||
Venezuela — 2.8% | |||||||||||
13,409 | Petroleos de Venezuela S.A., 5.25%, 04/12/17 | 9,118 | |||||||||
Total Corporate Bonds (Cost $72,127) | 69,446 | ||||||||||
Foreign Government Securities — 74.2% | |||||||||||
Argentina — 3.1% | |||||||||||
Republic of Argentina, | |||||||||||
2,120 | 7.00%, 10/03/15 (m) | 1,311 | |||||||||
ARS 4,112 | VAR, 0.00%, 12/31/33 (m) | 1,437 | |||||||||
29,304 | VAR, 0.62%, 12/15/35 (m) | 2,901 | |||||||||
ARS 8,480 | VAR, 0.63%, 12/31/38 (m) | 940 | |||||||||
7,500 | VAR, 3.13%, 08/03/12 (m) | 2,967 | |||||||||
ARS 1,060 | VAR, 17.65%, 02/10/10 (m) | 347 | |||||||||
9,903 | |||||||||||
Barbados — 0.2% | |||||||||||
Government of Barbados, | |||||||||||
629 | 6.63%, 12/05/35 (e) (m) | 606 | |||||||||
Brazil — 18.1% | |||||||||||
5,500 | Banco Nacional de Desenvolvimento Economico e Social, VAR, 6.37%, 06/16/18 (e) (m) | 5,541 | |||||||||
Federal Republic of Brazil, | |||||||||||
5,605 | 7.13%, 01/20/37 (m) | 6,241 | |||||||||
9,381 | 8.00%, 01/15/18 (m) | 10,469 | |||||||||
2,966 | 8.25%, 01/20/34 (m) | 3,684 | |||||||||
1,600 | 8.75%, 02/04/25 (m) | 2,008 | |||||||||
800 | 8.88%, 10/14/19 (m) | 993 | |||||||||
570 | 10.13%, 05/15/27 (m) | 808 | |||||||||
7,188 | 12.25%, 03/06/30 (m) | 12,184 | |||||||||
BRL 10,011 | 12.50%, 01/05/22 (m) | 6,614 | |||||||||
BRL 7,270 | HSBC Bank USA, N.A. VAR, 0.00%, 01/01/17 (linked to Brazilian Real Notes, VAR, 0.00%, 01/01/17) | 3,767 | |||||||||
BRL 10,055 | Lehman Brothers Holdings, Inc., 10.00%, 01/03/12 (linked to Brazilian Real Notes, 10.00%, 01/03/12) (e) (m) | 5,574 | |||||||||
57,883 | |||||||||||
Chile — 1.3% | |||||||||||
3,650 | Government of Chile, 7.13%, 01/11/12 (m) | 4,019 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Colombia — 1.9% | |||||||||||
Republic of Colombia | |||||||||||
1,030 | 7.38%, 01/27/17 (m) | 1,133 | |||||||||
1,640 | 7.38%, 09/18/37 (m) | 1,798 | |||||||||
575 | 11.75%, 02/25/20 (m) | 842 | |||||||||
COP 4,212,000 | 12.00%, 10/22/15 | 2,325 | |||||||||
6,098 | |||||||||||
Costa Rica — 1.3% | |||||||||||
3,268 | Republic of Costa Rica, 10.00%, 08/01/20 (m) | 4,183 | |||||||||
Dominican Republic — 1.8% | |||||||||||
Citigroup Funding, Inc., | |||||||||||
1,205 | 22.00%, 10/03/11 (linked to Dominican Republic Government Bond, 22.00%, 10/03/11) (e) (i) | 1,002 | |||||||||
3,565 | VAR, 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, VAR, 15.00%, 03/09/12) (e) (i) | 2,864 | |||||||||
2,065 | VAR, 24.00%, 01/11/13 (linked to Dominican Republic Government Bond, VAR, 24.00%, 01/11/13) (e) (i) | 1,792 | |||||||||
35 | Government of Dominican Republic, 9.50%, 09/27/11 (m) | 36 | |||||||||
5,694 | |||||||||||
Ecuador — 1.1% | |||||||||||
3,870 | Republic of Ecuador, SUB, 10.00%, 08/15/30 | 3,425 | |||||||||
Egypt — 1.7% | |||||||||||
EGP 17,700 | Arab Republic of Egypt, 8.75%, 07/18/12 (e) (m) | 3,046 | |||||||||
Citigroup Funding, Inc., | |||||||||||
625 | 0.00%, 01/08/09 (linked to Egypt Treasury Bill, 0.00%, 01/08/09) (e) (m) | 657 | |||||||||
1,180 | 0.00%, 10/09/08 (linked to Egypt Treasury Bill, 0.00%, 10/09/08) (e) (m) | 1,286 | |||||||||
610 | 0.00%, 10/16/08 (linked to Egypt Treasury Bill, 0.00%, 10/16/08) (e) (m) | 610 | |||||||||
5,599 | |||||||||||
El Salvador — 0.8% | |||||||||||
2,360 | Republic of El Salvador, 8.25%, 04/10/32 (e) (m) | 2,549 | |||||||||
Gabon — 1.3% | |||||||||||
3,945 | Republic of Gabon, 8.20%, 12/12/17 (e) (m) | 4,024 | |||||||||
Ghana — 0.7% | |||||||||||
1,550 | Barclays Bank plc, VAR, 0.00%, 04/07/10 (linked to Government of Ghana, VAR, 0.00%, 04/07/10) (e) (i) | 1,110 | |||||||||
2,000 | Citigroup Funding, Inc., 15.00%, 06/20/12 (linked to Government of Ghana, 15.00%, 06/20/12) (e) (i) | 1,287 | |||||||||
2,397 | |||||||||||
Guatemala — 2.6% | |||||||||||
Republic of Guatemala, | |||||||||||
1,521 | 8.13%, 10/06/34 (m) | 1,745 | |||||||||
2,930 | 9.25%, 08/01/13 (m) | 3,304 | |||||||||
2,910 | 10.25%, 11/08/11 (m) | 3,259 | |||||||||
8,308 | |||||||||||
Indonesia — 2.4% | |||||||||||
3,470 | Deutsche Bank Financial, Inc., 15.00%, 07/20/18 (linked to Indonesia Government Bond, 15.00%, 07/15/18) | 4,506 | |||||||||
3,320 | Republic of Indonesia, 6.88%, 01/17/18 (e) (m) | 3,316 | |||||||||
7,822 | |||||||||||
Iraq — 1.2% | |||||||||||
5,400 | Republic of Iraq, 5.80%, 01/15/28 (e) | 3,969 | |||||||||
Mexico — 3.2% | |||||||||||
United Mexican States, | |||||||||||
1,800 | 6.05%, 01/11/40 | 1,748 | |||||||||
2,500 | 6.75%, 09/27/34 | 2,694 | |||||||||
MXN 9,300 | 8.00%, 12/19/13 (m) | 889 | |||||||||
MXN 9,560 | 9.50%, 12/18/14 (m) | 978 | |||||||||
MXN 23,000 | 10.00%, 12/05/24 (m) | 2,535 | |||||||||
1,085 | 11.38%, 09/15/16 (m) | 1,497 | |||||||||
10,341 | |||||||||||
Nigeria — 0.5% | |||||||||||
1,490 | Citigroup Funding, Inc., VAR, 0.00%, 12/17/10 (linked to Republic of Nigeria, VAR, 0.00%, 12/17/10) (e) (i) | 1,464 | |||||||||
Panama — 0.3% | |||||||||||
880 | Republic of Panama, 7.25%, 03/15/15 (m) | 956 | |||||||||
Peru — 2.4% | |||||||||||
3,420 | IIRSA Norte Finance Ltd., 8.75%, 05/30/24 (m) | 3,808 | |||||||||
Republic of Peru, | |||||||||||
482 | 6.55%, 03/14/37 (m) | 494 | |||||||||
PEN 5,551 | 6.90%, 08/12/37 (m) | 1,637 | |||||||||
600 | 8.38%, 05/03/16 (m) | 705 | |||||||||
844 | 9.88%, 02/06/15 (m) | 1,042 | |||||||||
7,686 | |||||||||||
Philippines — 3.4% | |||||||||||
Republic of Philippines, | |||||||||||
4,590 | 7.75%, 01/14/31 (m) | 5,037 | |||||||||
5,449 | 8.25%, 01/15/14 (m) | 5,994 | |||||||||
11,031 | |||||||||||
Russia — 8.0% | |||||||||||
Russian Federation, | |||||||||||
1,326 | 8.25%, 03/31/10 | 1,366 | |||||||||
3,729 | 12.75%, 06/24/28 (m) | 6,545 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Russia — Continued | |||||||||||
15,834 | SUB, 7.50%, 03/31/30 (m) | 17,635 | |||||||||
25,546 | |||||||||||
Trinidad & Tobago — 0.2% | |||||||||||
446 | Republic of Trinidad & Tobago, 9.75%, 07/01/20 (m) | 587 | |||||||||
Turkey — 5.2% | |||||||||||
TRY 16,015 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) | 12,485 | |||||||||
Republic of Turkey, | |||||||||||
2,150 | 6.88%, 03/17/36 (m) | 2,021 | |||||||||
2,000 | 12.38%, 06/15/09 (m) | 2,134 | |||||||||
16,640 | |||||||||||
Uganda — 0.4% | |||||||||||
1,280 | Citigroup Funding, Inc., VAR, 0.00%, 03/17/11 (linked to Uganda Treasury Bill, 0.00%, 03/17/11) (e) (i) | 1,322 | |||||||||
Ukraine — 2.6% | |||||||||||
Government of Ukraine, | |||||||||||
4,140 | 6.58%, 11/21/16 (e) (m) | 3,524 | |||||||||
2,065 | 7.65%, 06/11/13 | 1,970 | |||||||||
3,000 | VAR, 6.45%, 08/05/09 | 3,000 | |||||||||
8,494 | |||||||||||
Uruguay — 1.9% | |||||||||||
Republic of Uruguay, | |||||||||||
UYU 60,000 | 3.70%, 06/26/37 (m) | 3,025 | |||||||||
UYU 30,960 | 5.00%, 09/14/18 (m) | 2,046 | |||||||||
465 | 7.50%, 03/15/15 (m) | 502 | |||||||||
270 | 7.63%, 03/21/36 (m) | 274 | |||||||||
379 | 8.00%, 11/18/22 (m) | 402 | |||||||||
6,249 | |||||||||||
Venezuela — 6.6% | |||||||||||
Republic of Venezuela, | |||||||||||
2,194 | 8.50%, 10/08/14 (m) | 2,052 | |||||||||
1,311 | 8.50%, 10/08/14 (m) | 1,219 | |||||||||
41 | 9.25%, 09/15/27 (m) | 38 | |||||||||
1,160 | 9.38%, 01/13/34 (m) | 1,015 | |||||||||
12,756 | 10.75%, 09/19/13 (m) | 13,170 | |||||||||
3,149 | 13.63%, 08/15/18 (m) | 3,716 | |||||||||
21,210 | |||||||||||
Total Foreign Government Securities (Cost $242,670) | 238,005 | ||||||||||
Supranational — 0.5% | |||||||||||
UYU 29,370 | International Bank for Reconstruction & Development, 3.40%, 04/15/17 (m) (Cost $1,491) | 1,530 | |||||||||
U.S. Treasury Obligation — 0.2% | |||||||||||
United States — 0.2% | |||||||||||
835 | U.S. Treasury Note, 3.25%, 12/31/09 (k) (m) (Cost $847) | 846 | |||||||||
Total Long-Term Investments (Cost $317,135) | 309,827 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 3.8% | |||||||||||
Investment Company — 3.8% | |||||||||||
12,045 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $12,045) | 12,045 | |||||||||
Total Investments — 100.4% (Cost $329,180) | 321,872 | ||||||||||
Liabilities in Excess of Other Assets — (0.4)% | (1,301 | ) | |||||||||
NET ASSETS — 100.0% | 320,571 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
235 | 10 Year U.S. Treasury Note | December, 2008 | 27,143 | (18 | ) | |||||||||||||
229 | U.S. Long Bond | December, 2008 | 26,865 | (133 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(7) | 2 Year U.S. Treasury Note | December, 2008 | (1,486 | ) | (2 | ) | ||||||||||||
(438) | 5 Year U.S. Treasury Note | December, 2008 | (49,029 | ) | (35 | ) | ||||||||||||
(188 | ) |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Gazprom International S.A., 7.20%, 02/01/20 | Lehman Brothers Special Financing | Buy | 1.12% semi-annually | 04/20/11 | 5,180 | (111 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 1.90% semi-annually | 07/20/10 | 500 | (11 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 1.70% semi-annually | 08/20/10 | 750 | (22 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Union Bank of Switzerland AG | Sell | 1.84% semi-annually | 08/20/10 | 300 | (8 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 1.76% semi-annually | 09/20/10 | 400 | (9 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 2.03% semi-annually | 08/20/11 | 660 | (31 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 1.89% semi-annually | 10/20/11 | 1,670 | (80 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 1.75% semi-annually | 10/20/11 | 3,030 | (159 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Morgan Stanley Capital Services | Sell | 1.62% semi-annually | 11/20/11 | 740 | (45 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Barclays Bank plc | Sell | 1.56% semi-annually | 04/20/12 | 530 | (38 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Deutsche Bank AG, New York | Sell | 1.58% semi-annually | 04/20/12 | 350 | (25 | ) | |||||||||||||||||||
Government of Ukraine, 7.65%, 06/11/13 | Citibank, N.A. | Sell | 1.38% semi-annually | 06/20/12 | 2,860 | (245 | ) | |||||||||||||||||||
Kazkommertsbank International BV, 7.88%, 04/07/14 | Deutsche Bank AG, New York | Sell | 2.35% semi-annually | 03/20/12 | 350 | (49 | ) | |||||||||||||||||||
Kazkommertsbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 2.30% semi-annually | 03/20/12 | 1,670 | (238 | ) | |||||||||||||||||||
Kazkommertsbank International BV, 7.88%, 04/07/14 | Morgan Stanley Capital Services | Sell | 2.20% semi-annually | 03/20/12 | 640 | (93 | ) | |||||||||||||||||||
Kazkommertsbank International BV, 8.00%, 11/03/15 | Morgan Stanley Capital Services | Sell | 2.30% semi-annually | 03/20/12 | 750 | (107 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 2.78% semi-annually | 06/20/12 | 510 | (52 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 3.55% semi-annually | 07/20/12 | 770 | (63 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.25%, 04/12/17 | Union Bank of Switzerland AG | Sell | 3.44% semi-annually | 07/20/12 | 520 | (45 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Morgan Stanley Capital Services | Sell | 3.55% semi-annually | 07/20/12 | 960 | (67 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.38%, 04/12/27 | Morgan Stanley Capital Services | Sell | 3.40% semi-annually | 07/20/12 | 870 | (76 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 2.65% semi-annually | 05/20/12 | 3,100 | (314 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 3.55% semi-annually | 07/20/12 | 170 | (14 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 3.40% semi-annually | 07/20/12 | 870 | (76 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 3.41% semi-annually | 07/20/12 | 870 | (76 | ) | |||||||||||||||||||
Petroleos De Venezuela S.A., 5.50%, 04/12/37 | Lehman Brothers Special Financing | Sell | 3.28% semi-annually | 07/20/12 | 190 | (17 | ) | |||||||||||||||||||
Petroleos Mexicanos, 9.50%, 09/15/27 | Citibank, N.A. | Buy | 1.25% semi-annually | 06/20/10 | 1,000 | (13 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 3.43% semi-annually | 09/20/10 | 350 | (19 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 3.04% semi-annually | 10/20/10 | 750 | (53 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 3.38% semi-annually | 10/20/10 | 400 | (25 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 2.95% semi-annually | 03/20/11 | 840 | (72 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 2.09% semi-annually | 09/20/11 | 550 | 72 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 1.96% semi-annually | 04/20/12 | 230 | (37 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Citibank, N.A. | Sell | 2.16% semi-annually | 06/20/12 | 720 | (117 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 2.14% semi-annually | 06/20/12 | 1,140 | (186 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Sell | 2.16% semi-annually | 06/20/12 | 1,430 | (232 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 2.08% semi-annually | 07/20/12 | 830 | (141 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Deutsche Bank AG, New York | Sell | 2.33% semi-annually | 07/20/12 | 1,450 | (235 | ) | |||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 2.59% semi-annually | 07/20/12 | 870 | 134 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 2.63% semi-annually | 07/20/12 | 870 | 133 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Buy | 2.58% semi-annually | 07/20/12 | 190 | 29 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Morgan Stanley Capital Services | Buy | 2.62% semi-annually | 07/20/12 | 870 | 133 |
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 | Union Bank of Switzerland AG | Buy | 2.62% semi-annually | 07/20/12 | 520 | 79 | ||||||||||||||||||||
Republic of Argentina, 8.28%, 12/31/33 | Lehman Brothers Special Financing | Sell | 3.97% semi-annually | 11/20/12 | 6,870 | (770 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 3.00% semi-annually | 09/20/10 | 350 | (21 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 2.62% semi-annually | 10/20/10 | 750 | (36 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 2.90% semi-annually | 10/20/10 | 400 | (22 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Buy | 1.42% semi-annually | 03/20/11 | 840 | (17 | ) | |||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 1.20% semi-annually | 09/20/11 | 280 | 4 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Lehman Brothers Special Financing | Sell | 1.19% semi-annually | 09/20/11 | 270 | 3 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 0.81% semi-annually | 04/20/12 | 230 | 1 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Citibank, N.A. | Buy | 0.70% semi-annually | 06/20/12 | 720 | 9 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 0.73% semi-annually | 06/20/12 | 1,140 | 12 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Morgan Stanley Capital Services | Buy | 0.69% semi-annually | 06/20/12 | 1,430 | 18 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 0.66% semi-annually | 07/20/12 | 830 | 12 | ||||||||||||||||||||
Republic of Brazil, 12.25%, 03/06/30 | Deutsche Bank AG, New York | Buy | 0.71% semi-annually | 07/20/12 | 1,450 | 19 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Deutsche Bank AG, New York | Buy | 0.91% semi-annually | 04/20/12 | 410 | 4 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 0.98% semi-annually | 04/20/12 | 1,500 | 10 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 0.98% semi-annually | 04/20/12 | 1,500 | 10 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 0.96% semi-annually | 04/20/12 | 210 | 2 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Morgan Stanley Capital Services | Buy | 1.00% semi-annually | 04/20/12 | 750 | 5 | ||||||||||||||||||||
Republic of Colombia, 10.38%, 01/28/33 | Lehman Brothers Special Financing | Buy | 0.83% semi-annually | 06/20/12 | 3,990 | 64 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Citibank, N.A. | Sell | 1.85% quarterly | 06/20/11 | 300 | 1 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 2.05% quarterly | 06/20/11 | 365 | 2 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 1.85% quarterly | 06/20/11 | 730 | 1 | ||||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Morgan Stanley Capital Services | Sell | 1.27% quarterly | 12/20/11 | 400 | (9 | ) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 1.01% quarterly | 06/20/12 | 690 | (28 | ) | |||||||||||||||||||
Republic of Indonesia, 6.75%, 03/10/14 | Deutsche Bank AG, New York | Sell | 1.15% quarterly | 09/20/12 | 3,820 | (154 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 0.63% semi-annually | 05/20/11 | 1,600 | (41 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 0.60% semi-annually | 03/20/12 | 870 | (36 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.54% semi-annually | 03/20/12 | 1,510 | (67 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.61% semi-annually | 03/20/12 | 620 | (26 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 0.68% semi-annually | 08/20/12 | 3,010 | (151 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.66% semi-annually | 08/20/12 | 2,210 | (112 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.71% semi-annually | 08/20/12 | 1,090 | (53 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 0.62% semi-annually | 06/20/12 | 5,340 | (84 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 1.09% semi-annually | 05/20/17 | 2,155 | (76 | ) | |||||||||||||||||||
Republic of Peru, 8.75%, 11/21/33 | Lehman Brothers Special Financing | Sell | 0.90% semi-annually | 06/20/17 | 1,380 | (69 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Citibank, N.A. | Buy | 1.99% quarterly | 06/20/11 | 300 | (3 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 1.99% quarterly | 06/20/11 | 730 | (7 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 2.21% quarterly | 06/20/11 | 365 | (6 | ) | |||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Morgan Stanley Capital Services | Buy | 1.32% quarterly | 12/20/11 | 400 | 6 | ||||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 1.03% quarterly | 06/20/12 | 690 | 23 | ||||||||||||||||||||
Republic of Philippines, 10.63%, 03/16/25 | Deutsche Bank AG, New York | Buy | 1.16% quarterly | 09/20/12 | 3,820 | 122 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 1.45% semi-annually | 07/20/12 | 370 | 10 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 1.46% semi-annually | 07/20/12 | 3,850 | 104 | ||||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Deutsche Bank AG, New York | Buy | 2.39% semi-annually | 08/20/12 | 1,000 | (4 | ) | |||||||||||||||||||
Republic of Turkey, 11.88%, 01/15/30 | Morgan Stanley Capital Services | Buy | 1.94% semi-annually | 08/20/12 | 1,170 | 15 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Barclays Bank plc | Sell | 1.72% semi-annually | 03/20/12 | 1,520 | (153 | ) |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Republic of Venezuela, 9.25%, 09/15/27 | Deutsche Bank AG, New York | Sell | 1.60% semi-annually | 04/20/12 | 870 | (91 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Deutsche Bank AG, New York | Sell | 1.62% semi-annually | 04/20/12 | 410 | (43 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 1.61% semi-annually | 04/20/12 | 1,500 | (157 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 1.61% semi-annually | 04/20/12 | 1,500 | (157 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 1.61% semi-annually | 04/20/12 | 210 | (22 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Sell | 1.69% semi-annually | 04/20/12 | 750 | (76 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 2.18% semi-annually | 06/20/12 | 3,990 | (375 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 2.22% semi-annually | 06/20/12 | 860 | (80 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Buy | 2.03% semi-annually | 06/20/12 | 510 | 51 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Buy | 2.60% semi-annually | 07/20/12 | 170 | 14 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Buy | 2.57% semi-annually | 07/20/12 | 960 | 82 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Buy | 2.55% semi-annually | 07/20/12 | 770 | 66 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Union Bank of Switzerland AG | Sell | 2.51% semi-annually | 07/20/12 | 1,550 | (136 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 3.01% semi-annually | 08/20/12 | 1,680 | (127 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 5.70% semi-annually | 08/20/12 | 670 | 9 | ||||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Morgan Stanley Capital Services | Sell | 3.40% semi-annually | 08/20/12 | 90 | (6 | ) | |||||||||||||||||||
Republic of Venezuela, 9.25%, 09/15/27 | Lehman Brothers Special Financing | Sell | 3.12% semi-annually | 10/20/12 | 7,790 | (513 | ) | |||||||||||||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 0.76% semi-annually | 02/20/09 | 1,190 | (7 | ) | |||||||||||||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 0.72% semi-annually | 03/20/09 | 120 | (1 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.31% semi-annually | 02/20/09 | 1,190 | 2 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 0.30% semi-annually | 03/20/09 | 120 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 0.90% semi-annually | 07/20/10 | 500 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Sell | 1.01% semi-annually | 07/20/10 | 2,000 | 6 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 0.77% semi-annually | 08/20/10 | 70 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 0.75% semi-annually | 08/20/10 | 750 | 2 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.90% semi-annually | 08/20/10 | 300 | — | (h) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 0.53% semi-annually | 08/20/11 | 660 | 10 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Morgan Stanley Capital Services | Buy | 0.50% semi-annually | 11/20/11 | 740 | 12 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 0.53% semi-annually | 12/20/11 | 1,360 | (23 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 0.51% semi-annually | 12/20/11 | 1,580 | (28 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 1,200 | (23 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 1,270 | (25 | ) | |||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Barclays Bank plc | Buy | 0.48% semi-annually | 04/20/12 | 530 | 11 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Buy | 0.50% semi-annually | 04/20/12 | 350 | 7 | ||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Merrill Lynch Capital Services | Sell | 1.20% semi-annually | 08/20/13 | 18,250 | (77 | ) | |||||||||||||||||||
Russian Federation, 12.75%, 06/24/28 | Morgan Stanley Capital Services | Buy | 0.64% semi-annually | 09/20/10 | 400 | 1 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Citibank, N.A. | Sell | 1.05% semi-annually | 06/20/10 | 1,000 | 10 | ||||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Morgan Stanley Capital Services | Buy | 0.96% semi-annually | 07/20/10 | 2,000 | (15 | ) | |||||||||||||||||||
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 0.81% semi-annually | 08/20/10 | 70 | — | (h) | |||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 790 | (66 | ) | |||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 7.50%, 10/12/11 | Lehman Brothers Special Financing | Sell | 1.09% semi-annually | 04/20/11 | 5,180 | 228 | ||||||||||||||||||||
(5,646 | ) |
AS OF AUGUST 31, 2008 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 79.3% | |||||||||||
Asset-Backed Securities — 23.2% | |||||||||||
88 | American Express Credit Account Master Trust, Series 2004-C, Class C, VAR, 2.97%, 02/15/12 (e) | 86 | |||||||||
500 | Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2, VAR, 2.95%, 04/25/35 | 361 | |||||||||
400 | Asset Backed Funding Certificates, Series 2005-HE1, Class M2, VAR, 2.91%, 03/25/35 | 301 | |||||||||
181 | Bear Stearns Asset Backed Securities Trust, Series 2005-HE3, Class M1, VAR, 2.90%, 03/25/35 | 171 | |||||||||
Capital One Auto Finance Trust, | |||||||||||
750 | Series 2007-B, Class A3B, VAR, 2.47%, 04/15/12 | 722 | |||||||||
750 | Series 2007-B, Class A4, VAR, 2.50%, 04/15/14 | 634 | |||||||||
307 | Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A3, VAR, 2.65%, 12/25/35 | 286 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
117 | Series 2004-6, Class 2A4, VAR, 2.92%, 11/25/34 | 99 | |||||||||
39 | Series 2005-BC1, Class M2, VAR, 2.91%, 05/25/35 | 35 | |||||||||
534 | Countrywide Home Equity Loan Trust, Series 2003-C, Class A, VAR, 2.74%, 05/15/29 | 358 | |||||||||
2,600 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B, VAR, 2.58%, 10/25/36 | 2,140 | |||||||||
2,500 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2C, VAR, 2.63%, 10/25/36 | 1,528 | |||||||||
436 | Fleet Home Equity Loan Trust, Series 2003-1, Class A, 2.72%, 01/20/33 | 257 | |||||||||
800 | HSI Asset Securitization Corp. Trust, Series 2006-OPT3, Class 3A3, VAR, 2.65%, 02/25/36 | 654 | |||||||||
1,500 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
2,100 | Links Finance LLC, VAR, 3.05%, 09/15/08 (e) (f) (i) (s) | — | |||||||||
150 | Morgan Stanley ABS Capital I, Series 2005-HE2, Class M3, VAR, 2.95%, 01/25/35 | 102 | |||||||||
413 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, VAR, 3.09%, 11/25/34 | 314 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
73 | Series 2002-1, Class A, VAR, 3.05%, 02/25/32 | 63 | |||||||||
300 | Series 2005-2, Class M1, VAR, 2.91%, 05/25/35 | 228 | |||||||||
550 | Park Place Securities, Inc., Series 2004-WHQ2, Class M2, VAR, 3.10%, 02/25/35 | 420 | |||||||||
350 | Residential Asset Securities Corp., Series 2005-KS11, Class M2, VAR, 2.89%, 12/25/35 | 162 | |||||||||
140 | Residential Funding Mortgage Securities II, Inc., Series 2003-HS4, Class AIB, VAR, 2.73%, 01/25/29 | 85 | |||||||||
Securitized Asset Backed Receivables LLC Trust, | |||||||||||
500 | Series 2005-OP1, Class M2, VAR, 2.92%, 01/25/35 | 374 | |||||||||
318 | Series 2006-OP1, Class A2B, VAR, 2.67%, 10/25/35 | 312 | |||||||||
300 | Sigma Finance Corp., (Cayman Islands), VAR, 2.70%, 09/15/08* (e) (f) (i) (s) | 240 | |||||||||
372 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, VAR, 2.69%, 06/25/34 | 314 | |||||||||
1,800 | Wells Fargo Home Equity Trust, Series 2006-3, Class A2, VAR, 2.62%, 01/25/37 | 1,342 | |||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, VAR, 3.07%, 01/23/11 (e) (i) | 895 | |||||||||
Total Asset-Backed Securities (Cost $19,869) | 12,483 | ||||||||||
Certificate of Deposit — 1.9% | |||||||||||
1,000 | Deutsche Bank AG, (Germany), VAR, 3.30%, 02/16/10 (Cost $1,000) | 1,000 | |||||||||
Collateralized Mortgage Obligations — 14.1% | |||||||||||
Agency CMO — 2.3% | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
1,198 | Series 2638, Class KI, IO, 5.00%, 11/15/27 | 103 | |||||||||
684 | Series 2686, Class FL, VAR, 2.87%, 03/15/28 | 678 | |||||||||
923 | Series 2928, Class IN, IO, 5.00%, 10/15/24 | 39 | |||||||||
898 | Series 2975, Class IO, IO, 5.50%, 06/15/26 | 56 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
307 | Series 2002-36, Class FT, VAR, 2.97%, 06/25/32 | 305 | |||||||||
1,168 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 | 52 | |||||||||
732 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 | 26 | |||||||||
1,259 | |||||||||||
Non-Agency CMO — 11.8% | |||||||||||
Countrywide Alternative Loan Trust, | |||||||||||
1,130 | Series 2006-OA2, Class A1, VAR, 2.68%, 05/20/46 | 689 | |||||||||
791 | Series 2006-OA21, Class A1, VAR, 2.66%, 03/20/47 | 492 | |||||||||
939 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, VAR, 2.81%, 03/25/35 | 518 | |||||||||
1,091 | Harborview Mortgage Loan Trust, Series 2006-14, Class 2A1A, VAR, 2.62%, 03/19/38 | 675 | |||||||||
191 | Nomura Asset Acceptance Corp., Series 2006-WF1, Class A1, VAR, 2.57%, 06/25/36 | 181 | |||||||||
Thornburg Mortgage Securities Trust, | |||||||||||
306 | Series 2003-2, Class A1, VAR, 3.15%, 04/25/43 | 290 | |||||||||
3,143 | Series 2006-6, Class A1, VAR, 2.58%, 11/25/46 | 3,009 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
731 | WaMu Mortgage Pass Through Certificates, Series 2005-AR13, Class A1A1, VAR, 2.76%, 10/25/45 | 462 | |||||||||
6,316 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $9,569) | 7,575 | ||||||||||
Commercial Mortgage-Backed Securities — 2.6% | |||||||||||
500 | CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3, 6.39%, 08/15/36 | 509 | |||||||||
501 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 | 500 | |||||||||
423 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, VAR, 2.59%, 09/15/21 (e) | 395 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,436) | 1,404 | ||||||||||
Corporate Bonds — 37.5% | |||||||||||
Capital Markets — 4.2% | |||||||||||
Citigroup Funding, Inc., | |||||||||||
500 | VAR, 2.86%, 03/02/09 (m) | 497 | |||||||||
400 | VAR, 3.68%, 05/08/09 (m) | 397 | |||||||||
850 | Goldman Sachs Group, Inc. (The), VAR, 2.90%, 06/28/10 | 828 | |||||||||
300 | Lehman Brothers Holdings Capital Trust V, VAR, 3.64%, 12/31/49 (x) | 161 | |||||||||
400 | Lehman Brothers Holdings, Inc., VAR, 2.91%, 11/16/09 | 370 | |||||||||
2,253 | |||||||||||
Commercial Banks — 10.4% | |||||||||||
1,000 | BAC Capital Trust XIII, VAR, 3.18%, 03/15/43 (x) | 662 | |||||||||
1,600 | Glitnir Banki HF, (Iceland), VAR, 2.95%, 10/15/08 (e) (m) | 1,596 | |||||||||
200 | ICICI Bank, Ltd., (India), VAR, 3.33%, 01/12/10 (e) | 194 | |||||||||
500 | Rabobank Nederland N.V., (Netherlands), VAR, 3.21%, 05/19/10 (e) | 499 | |||||||||
750 | Wachovia Bank N.A., VAR, 2.76%, 10/03/08 | 750 | |||||||||
1,900 | Wells Fargo & Co., VAR, 3.22%, 01/29/10 | 1,900 | |||||||||
5,601 | |||||||||||
Computers & Peripherals — 4.1% | |||||||||||
800 | Hewlett-Packard Co., VAR, 3.08%, 09/03/09 (m) | 802 | |||||||||
1,400 | IBM International Group Capital LLC, VAR, 3.13%, 07/29/09 (m) | 1,405 | |||||||||
2,207 | |||||||||||
Consumer Finance — 5.8% | |||||||||||
700 | American Express Centurion Bank, VAR, 2.53%, 09/22/09 (m) | 693 | |||||||||
1,000 | American Honda Finance Corp., VAR, 3.01%, 09/18/08 (e) (m) | 1,000 | |||||||||
1,550 | International Lease Finance Corp., VAR, 3.03%, 05/24/10 | 1,395 | |||||||||
3,088 | |||||||||||
Diversified Financial Services — 2.5% | |||||||||||
800 | General Electric Capital Corp., VAR, 2.88%, 06/15/09 (m) | 800 | |||||||||
600 | ZFS Finance USA Trust III, VAR, 3.93%, 12/15/65 (e) | 526 | |||||||||
1,326 | |||||||||||
Electric Utilities — 0.9% | |||||||||||
500 | Pepco Holdings, Inc., VAR, 3.31%, 06/01/10 | 493 | |||||||||
Household Products — 1.6% | |||||||||||
850 | Procter & Gamble International Funding SCA, (Luxembourg), VAR, 3.03%, 08/19/09 | 852 | |||||||||
Insurance — 2.4% | |||||||||||
500 | Allstate Life Global Funding Trusts, VAR, 3.41%, 02/26/10 | 498 | |||||||||
800 | Metropolitan Life Global Funding I, 3.80%, 01/20/09 (e) | 799 | |||||||||
1,297 | |||||||||||
Media — 2.2% | |||||||||||
1,000 | Time Warner Entertainment Co. LP, 7.25%, 09/01/08 | 1,000 | |||||||||
200 | Viacom, Inc., VAR, 3.13%, 06/16/09 | 198 | |||||||||
1,198 | |||||||||||
Multi-Utilities — 1.3% | |||||||||||
700 | Dominion Resources, Inc., VAR, 2.98%, 11/14/08 (m) | 699 | |||||||||
Thrifts & Mortgage Finance — 2.1% | |||||||||||
Countrywide Financial Corp., | |||||||||||
160 | VAR, 3.02%, 03/24/09 (m) | 156 | |||||||||
950 | VAR, 3.08%, 12/19/08 (m) | 941 | |||||||||
1,097 | |||||||||||
Total Corporate Bonds (Cost $20,907) | 20,111 | ||||||||||
Total Long-Term Investments (Cost $52,781) | 42,573 | ||||||||||
Short-Term Investments — 32.0% | |||||||||||
Certificates of Deposit — 6.4% | |||||||||||
700 | Bank of Ireland, (Ireland), VAR, 2.81%, 03/03/09 (m) | 699 | |||||||||
900 | Natixis, (France) 2.95%, 10/21/08 | 900 | |||||||||
800 | Royal Bank of Canada, (Canada), 5.33%, 06/05/09 | 808 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — Continued | |||||||||||
Certificates of Deposit — 6.4% | |||||||||||
1,000 | U.S. Bank N.A., 3.35%, 06/18/09 | 1,000 | |||||||||
Total Certificates of Deposit (Cost $3,411) | 3,407 | ||||||||||
Commercial Paper — 4.4% (n) | |||||||||||
1,200 | Liberty Street Funding Corp., 2.88%, 11/26/08 | 1,191 | |||||||||
1,200 | Old Line Funding LLC, 2.77%, 11/05/08 (e) | 1,193 | |||||||||
Total Commercial Paper (Cost $2,386) | 2,384 | ||||||||||
U.S. Treasury Obligation — 0.3% | |||||||||||
150 | U.S. Treasury Bill, 1.91%, 09/04/08 (k) (n) (Cost $150) | 150 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 20.9% | ||||||||||
11,208 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $11,208) | 11,208 | ||||||||
Total Short-Term Investments (Cost $17,155) | 17,149 | |||||||||
Total Investments — 111.3% (Cost $69,936) | 59,722 | |||||||||
Liabilities in Excess of Other Assets — (11.3)% | (6,035 | ) | ||||||||
NET ASSETS — 100.0% | $ | 53,687 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
3 | Eurodollar | September, 2008 | $ | 729 | $ | 4 | ||||||||||||
14 | 2 Year U.S. Treasury Note | December, 2008 | 2,972 | 3 | ||||||||||||||
37 | 10 Year U.S. Treasury Note | December, 2008 | 4,274 | (5 | ) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(40) | 5 Year U.S. Treasury Note | December, 2008 | (4,478 | ) | (3 | ) | ||||||||||||
$ | (1 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.IG.9 | Lehman Brothers Special Financing [1] | Buy | 0.60% quarterly | 12/20/12 | $ | 1,000 | $ | 34 | ||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [2] | Buy | 1.55% quarterly | 06/20/13 | 3,100 | (25 | ) | |||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [3] | Sell | 3.50% quarterly | 06/20/13 | 800 | 3 | ||||||||||||||||||||
Morgan Stanley, 6.60%, 04/01/12 | Royal Bank of Scotland | Sell | 0.20% quarterly | 09/20/08 | 1,500 | (2 | ) | |||||||||||||||||||
$ | 10 |
AS OF AUGUST 31, 2008 (Unaudited)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 96.9% | |||||||||||
Asset-Backed Securities — 1.1% | |||||||||||
407 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 2.73%, 11/25/35 (m) | 387 | |||||||||
441 | Residential Asset Securities Corp., Series 2005-KS10, Class 1A2, VAR, 2.72%, 11/25/35 (m) | 415 | |||||||||
250 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class M2, VAR, 3.02%, 12/25/35 (m) | 76 | |||||||||
Total Asset-Backed Securities (Cost $1,098) | 878 | ||||||||||
Collateralized Mortgage Obligations — 1.8% | |||||||||||
Agency CMO — 1.0% | |||||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
441 | Series 2003-26, Class QF, VAR, 2.87%, 10/25/17 (m) | 436 | |||||||||
371 | Series 2003-90, Class FL, VAR, 2.92%, 03/25/31 (m) | 368 | |||||||||
804 | |||||||||||
Non-Agency CMO — 0.8% | |||||||||||
188 | Adjustable Rate Mortgage Trust, Series 2005-12, Class 5A1, VAR, 2.72%, 03/25/36 (m) | 109 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
366 | Series 2005-11, Class 2A1A, VAR, 2.78%, 08/19/45 (m) | 242 | |||||||||
161 | Series 2006-8, Class 2A1A, VAR, 2.66%, 08/21/36 (m) | 100 | |||||||||
397 | Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, VAR, 2.78%, 10/25/36 (m) | 259 | |||||||||
710 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,919) | 1,514 | ||||||||||
Corporate Bonds — 0.9% | |||||||||||
Capital Markets — 0.6% | |||||||||||
500 | Merrill Lynch & Co., Inc., VAR, 2.89%, 10/27/08 (m) | 498 | |||||||||
Integrated Telecommunication Services — 0.3% | |||||||||||
250 | SBC Communications, Inc., VAR, 3.01%, 11/14/08 (m) | 250 | |||||||||
Total Corporate Bonds (Cost $750) | 748 | ||||||||||
Foreign Government Security — 2.3% | |||||||||||
CAD 1,980 | Canada Housing Trust No. 1, (Canada), 4.80%, 06/15/12 (Cost $2,048) | 1,956 | |||||||||
U.S. Treasury Obligations — 90.8% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
2,414 | 2.38%, 01/15/25 | 2,497 | |||||||||
4,736 | 2.38%, 01/15/27 | 4,900 | |||||||||
1,689 | 3.38%, 04/15/32 | 2,094 | |||||||||
1,075 | 3.63%, 04/15/28 (m) | 1,325 | |||||||||
3,367 | 3.88%, 04/15/29 | 4,318 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
5,994 | 0.88%, 04/15/10 | 6,006 | |||||||||
766 | 1.38%, 07/15/18 | 747 | |||||||||
4,308 | 1.63%, 01/15/15 | 4,372 | |||||||||
3,989 | 1.70%, 01/15/18 | 3,982 | |||||||||
5,498 | 1.88%, 07/15/13 | 5,680 | |||||||||
3,982 | 1.88%, 07/15/15 | 4,096 | |||||||||
3,126 | 2.00%, 01/15/14 | 3,243 | |||||||||
5,314 | 2.00%, 07/15/14 | 5,523 | |||||||||
3,572 | 2.00%, 01/15/16 | 3,689 | |||||||||
668 | 2.16%, 04/15/12 | 690 | |||||||||
3,362 | 2.38%, 04/15/11 | 3,483 | |||||||||
1,253 | 2.38%, 01/15/17 | 1,330 | |||||||||
1,316 | 2.71%, 07/15/16 | 1,409 | |||||||||
4,191 | 2.77%, 07/15/17 | 4,549 | |||||||||
7,593 | 3.00%, 07/15/12 (k) | 8,155 | |||||||||
2,250 | 3.50%, 01/15/11 | 2,395 | |||||||||
1,931 | 4.25%, 01/15/10 | 2,030 | |||||||||
Total U.S. Treasury Obligations (Cost $74,957) | 76,513 | ||||||||||
Total Long-Term Investments (Cost $80,772) | 81,609 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.0% | |||||||||||
Call Options Purchased — 0.5% | |||||||||||
15 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $96.88, American Style | 9 | |||||||||
16 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.13, American Style | 3 | |||||||||
18 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style | 1 | |||||||||
15 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.63, American Style | 1 |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver Options Purchased on Interest Rate Swaps: | ||||||||||
14,910 | Expiring 10/09/08. If exercised the Fund receives semi-annually 3.19% and pays quarterly floating 3 month LIBOR expiring 10/14/09, European Style. Counterparty: Barclays Bank plc (r) | 28 | ||||||||
23,955 | Expiring 12/03/08. If exercised the Fund receives semi-annually 2.26% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 3 | ||||||||
47,910 | Expiring 12/03/08. If exercised the Fund receives semi-annually 3.01% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 78 | ||||||||
25,440 | Expiring 12/11/08. If exercised the Fund receives semi-annually 2.88% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 29 | ||||||||
25,440 | Expiring 12/11/08. If exercised the Fund receives semi-annually 3.63% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 137 | ||||||||
24,300 | Expiring 12/18/08. If exercised the Fund receives semi-annually 2.34% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 5 | ||||||||
48,600 | Expiring 12/18/08. If exercised the Fund receives semi-annually 3.09% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 99 | ||||||||
12,760 | Expiring 02/12/09. If exercised the Fund receives semi-annually 2.57% and pays quarterly floating 3 month LIBOR expiring 02/17/10, European Style. Counterparty: Deutsche Bank AG, New York (r) | 10 | ||||||||
Total Call Options Purchased | 403 | |||||||||
Interest Rate Caps & Floors — 0.5% | ||||||||||
5,591 | Fund receives quarterly the excess of floating 3 month LIBOR above 5.15%, expiring 06/06/18. Counterparty: Credit Suisse International (r) | 189 | ||||||||
5,591 | Fund receives quarterly the excess of 5.15% above floating 3 month LIBOR, expiring 06/06/18. Counterparty: Credit Suisse International (r) | 229 | ||||||||
Total Interest Rate Caps & Floors | 418 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.0% (g) | ||||||||||
2 | 30 Day Fed Funds, Expiring 09/30/08 @ $97.94, American Style | — | (h) | |||||||
5 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $114.00, American Style | 1 | ||||||||
6 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $115.00, American Style | 3 | ||||||||
Total Put Options Purchased | 4 | |||||||||
Total Options Purchased (Cost $783) | 825 |
PRINCIPAL AMOUNT($) | | Security Description | | Value($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 4.1% | |||||||||||
U.S. Treasury Obligation — 0.1% | |||||||||||
70 | U.S. Treasury Bill, 1.93%, 11/20/08 (k) (n) (Cost $70) | 70 |
SHARES | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 4.0% | ||||||||||
3,389 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $3,389) | 3,389 | ||||||||
Total Short-Term Investments (Cost $3,459) | 3,459 | |||||||||
Total Investments — 102.0% (Cost $85,014) | 85,893 | |||||||||
Liabilities in Excess of Other Assets — (2.0)% | (1,645 | ) | ||||||||
NET ASSETS — 100.0% | 84,248 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
18 | Eurodollar | September, 2008 | 4,373 | 14 | ||||||||||||||
2 | 30 Day Federal Funds | October, 2008 | 817 | — | (h) | |||||||||||||
22 | 30 Day Federal Funds | November, 2008 | 8,979 | 9 | ||||||||||||||
6 | 2 Year U.S. Treasury Note | December, 2008 | 1,274 | 1 | ||||||||||||||
1 | 10 Year U.S. Treasury Note | December, 2008 | 116 | — | (h) | |||||||||||||
4 | Canadian Banker’s Acceptance | December, 2008 | 915 | 8 | ||||||||||||||
36 | 3 Month Euroyen TFX | June, 2009 | 8,204 | 2 | ||||||||||||||
36 | Eurodollar | June, 2010 | 8,642 | 58 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(3) | 10 Year Australia Bond | September, 2008 | (263 | ) | (19 | ) | ||||||||||||
(1) | 10 Year Swap | September, 2008 | (112 | ) | (1 | ) | ||||||||||||
(3) | 2 Year U.S. Treasury Note | December, 2008 | (637 | ) | (1 | ) | ||||||||||||
(4) | U.S. Treasury Bond | December, 2008 | (469 | ) | 2 | |||||||||||||
(8) | U.S. Treasury Note | December, 2008 | (924 | ) | 1 | |||||||||||||
(4) | Canadian Banker’s Acceptance | March, 2009 | (916 | ) | (1 | ) | ||||||||||||
(18) | Eurodollar | June, 2009 | (4,361 | ) | — | (h) | ||||||||||||
(18) | Eurodollar | June, 2011 | (4,299 | ) | (7 | ) | ||||||||||||
66 |
CONTRACTS TO BUY | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
35,326 | AUD | 09/26/08 | 31 | 31 | — | (h) | ||||||||||||||||
9,674 | AUD for | |||||||||||||||||||||
915,227 | JPY | 09/26/08 | 8 | # | 8 | # | — | (h) | ||||||||||||||
39 | 39 | — | (h) |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/08 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
45,000 | AUD | 09/26/08 | 39 | 39 | — | (h) | ||||||||||||||||
25,682 | CAD | 09/26/08 | 24 | 24 | — | (h) | ||||||||||||||||
8,877,551 | JPY | 09/26/08 | 81 | 82 | (1 | ) | ||||||||||||||||
144 | 145 | (1 | ) |
# | For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 08/31/08 of the currency being sold, and the value at 08/31/08 is the U.S. Dollar market value of the currency being purchased. |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.25 | 09/15/08 | 6 | — | (h) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.50 | 09/15/08 | 8 | — | (h) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.75 | 09/15/08 | 26 | — | (h) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 10 | — | (h) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.13 | 12/15/08 | 15 | (4 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 97.38 | 12/15/08 | 15 | (1 | ) | |||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 36 | (1 | ) | |||||||||||||
(Premiums received of $38.) | (6 | ) |
COUNTERPARTY | | EXERCISE RATE*** (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 2.89% semi-annually | 10/09/08 | 10/14/09 | 29,820 | (17 | ) | ||||||||||||||||
Barclays Bank plc | 3.13% semi-annually | 12/11/08 | 12/15/09 | 25,440 | (54 | ) | ||||||||||||||||
Barclays Bank plc | 3.38% semi-annually | 12/11/08 | 12/15/09 | 25,440 | (90 | ) | ||||||||||||||||
Barclays Bank plc | 2.84% semi-annually | 12/18/08 | 12/22/09 | 48,600 | (51 | ) | ||||||||||||||||
Barclays Bank plc | 2.59% semi-annually | 12/18/08 | 12/22/09 | 48,600 | (25 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.51% semi-annually | 12/03/08 | 12/05/09 | 47,910 | (19 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.76% semi-annually | 12/03/08 | 12/05/09 | 47,910 | (38 | ) | ||||||||||||||||
(Premiums received of $310.) | (294 | ) |
COUNTERPARTY | | EXERCISE RATE** (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International | 5.26% semi-annually | 06/04/13 | 06/06/18 | 5,591 | (359 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 4.78% semi-annually | 08/27/09 | 09/03/19 | 930 | (62 | ) | ||||||||||||||||
(Premiums received of $402.) | (421 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Federal Fund Futures, American Style | 97.75 | 09/30/08 | 4 | — | ||||||||||||||
(Premiums received of $—(h).) |
* | European Style |
** | The Fund would pay/receive quarterly a floating rate based on 3 month USD LIBOR, if exercised. |
*** | The Fund would receive quarterly a floating rate based on 3 month USD LIBOR, if exercised. |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
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 | (82 | ) | ||||||||||||||||||||
BNP Paribas | 3 month CAD-BA-CDOR semi-annually | 4.39% semi-annually | 01/11/12 | CAD 750 | 12 | |||||||||||||||||||||
BNP Paribas | 4.55% semi-annually | 3 month CAD-BA-CDOR semi-annually | 01/11/15 | CAD 640 | (18 | ) | ||||||||||||||||||||
BNP Paribas | 3 month CAD-BA-CDOR semi-annually | 4.76% semi-annually | 01/11/20 | CAD 180 | 6 | |||||||||||||||||||||
Citibank, N.A. | 0.83% at termination | 3 month TIBOR quarterly | 06/16/10 | JPY 997,700 | 18 | |||||||||||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 1,100 | (56 | ) | ||||||||||||||||||||
Merrill Lynch Capital Services | 3.78% semi-annually | 3 month CAD-BA-CDOR semi-annually | 06/15/12 | CAD 2,030 | (32 | ) | ||||||||||||||||||||
Royal Bank of Scotland | 3.00% at termination | 3 month LIBOR quarterly | 06/17/18 | 810 | (11 | ) | ||||||||||||||||||||
(163 | ) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (R) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.9 | Barclays Bank plc [1] | Buy | 2.65% semi-annually | 06/20/13 | 210 | (1 | ) | |||||||||||||||||||||||
CDX.EM.9 | Barclays Bank plc [2] | Buy | 2.65% semi-annually | 06/20/13 | 40 | — | (h) | |||||||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [3] | Buy | 2.65% semi-annually | 06/20/13 | 170 | (1 | ) | |||||||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [4] | Buy | 2.65% semi-annually | 06/20/13 | 130 | (1 | ) | |||||||||||||||||||||||
CDX.EM.9 | Deutsche Bank AG, New York [5] | Buy | 2.65% semi-annually | 06/20/13 | 150 | (1 | ) | |||||||||||||||||||||||
CDX.EM.9 | HSBC Bank, N.A. [6] | Buy | 2.65% semi-annually | 06/20/13 | 70 | — | (h) | |||||||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [7] | Buy | 2.65% semi-annually | 06/20/13 | 70 | — | (h) | |||||||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [8] | Buy | 2.65% semi-annually | 06/20/13 | 290 | (2 | ) | |||||||||||||||||||||||
CDX.EM.9 | Merrill Lynch International [9] | Buy | 2.65% semi-annually | 06/20/13 | 120 | (1 | ) | |||||||||||||||||||||||
CDX.EM.9 | Morgan Stanley Capital Services [10] | Buy | 2.65% semi-annually | 06/20/13 | 170 | (1 | ) | |||||||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [11] | Buy | 1.55% quarterly | 06/20/13 | 3,000 | (24 | ) | |||||||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [12] | Sell | 3.50% quarterly | 06/20/13 | 750 | 3 | ||||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 0.68% semi-annually | 08/20/12 | 30 | (2 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 0.60% semi-annually | 03/20/12 | 170 | (7 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.54% semi-annually | 03/20/12 | 310 | (14 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.55% semi-annually | 03/20/12 | 320 | (14 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.61% semi-annually | 03/20/12 | 130 | (6 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.66% semi-annually | 08/20/12 | 260 | (13 | ) | |||||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.71% semi-annually | 08/20/12 | 120 | (6 | ) | |||||||||||||||||||||||
RSHB Capital SA for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 0.72% semi-annually | 03/20/09 | 60 | — | (h) | |||||||||||||||||||||||
RSHB Capital SA for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 0.76% semi-annually | 02/20/09 | 610 | (4 | ) | |||||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 0.30% semi-annually | 03/20/09 | �� | 60 | — | (h) | ||||||||||||||||||||||
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.31% semi-annually | 02/20/09 | 610 | 1 | ||||||||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 140 | (12 | ) | |||||||||||||||||||||||
(106 | ) |
[1]Premiums received of $3.
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America † | BA Covered Bond Issuer, 5.50%, 06/14/12 | 101.23 | 09/11/08 | 1,230 | 16 | |||||||||||||||||||||
Credit Suisse International † | U.S. Treasury Inflation Indexed Bond, 3.88%, 04/15/29 | 128.43 | 09/29/08 | 5,000 | (44 | ) | ||||||||||||||||||||
Credit Suisse International † | FHLB, 5.38%, 05/18/16 | 105.04 | 11/14/08 | 1,080 | 3 | |||||||||||||||||||||
(25 | ) |
† | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock at termination. |
AS OF AUGUST 31, 2008 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 71.9% | |||||||||||
Asset-Backed Securities — 33.6% | |||||||||||
834 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 764 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
377 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 359 | |||||||||
512 | Series 2006-3, Class 2A2, VAR, 2.65%, 06/25/36 (m) | 462 | |||||||||
1,380 | Series 2006-11, Class 1AF2, VAR, 6.02%, 09/25/46 (m) | 1,200 | |||||||||
740 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, VAR, 2.66%, 03/25/36 (m) | 629 | |||||||||
1,380 | GSAA Trust, Series 2006-11, Class 2A2, VAR, 2.63%, 07/25/36 (m) | 329 | |||||||||
K2 (USA) LLC, | |||||||||||
7,500 | Series 2, VAR, 5.61%, 02/15/11 (f) (i) (s) (v) | — | |||||||||
9,500 | Series 2007-2D, VAR, 5.81%, 02/15/10, 02/15/09 (f) (i) (s) (v) | — | |||||||||
1,000 | VAR, 5.62%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
16,200 | Links Finance LLC, VAR, 3.05%, 09/15/08 (e) (f) (i) (s) | — | |||||||||
610 | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1, VAR, 3.04%, 07/25/34 (m) | 466 | |||||||||
1,110 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, VAR, 2.66%, 01/25/36 (m) | 967 | |||||||||
660 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, VAR, 2.67%, 01/25/37 (m) | 548 | |||||||||
41 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) | 41 | |||||||||
491 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 2.67%, 02/25/36 | 445 | |||||||||
581 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 2.65%, 12/25/35 | 552 | |||||||||
Sigma Finance Corp., (Cayman Islands), | |||||||||||
1,600 | VAR, 2.70%, 09/15/08* (e) (f) (i) (s) | 1,280 | |||||||||
11,900 | VAR, 2.95%, 08/15/11** (f) (i) (s) | 7,259 | |||||||||
Total Asset-Backed Securities (Cost $56,369) | 15,301 | ||||||||||
Collateralized Mortgage Obligations — 9.8% | |||||||||||
Agency CMO — 0.0% (g) | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, | |||||||||||
158 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) | 1 | |||||||||
70 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 1 | |||||||||
Government National Mortgage Association, | |||||||||||
3 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | — | (h) | ||||||||
486 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 8 | |||||||||
10 | |||||||||||
Non-Agency CMO — 9.8% | |||||||||||
612 | Banc of America Funding Corp., Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) | 560 | |||||||||
237 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) | 228 | |||||||||
1,972 | Countrywide Alternative Loan Trust, Series 2005-J14, Class A3, 5.50%, 12/25/35 (m) | 1,623 | |||||||||
582 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) | 552 | |||||||||
767 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) | 708 | |||||||||
330 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 | 328 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
261 | Series 2003-N, Class 1A4, VAR, 4.60%, 12/25/33 | 258 | |||||||||
175 | Series 2004-F, Class A8, VAR, 4.73%, 06/25/34 | 170 | |||||||||
4,427 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $4,919) | 4,437 | ||||||||||
Corporate Bonds — 12.3% | |||||||||||
Auto Components — 0.5% | |||||||||||
232 | Tenneco, Inc., 10.25%, 07/15/13 | 241 | |||||||||
Capital Markets — 1.5% | |||||||||||
730 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) | 452 | |||||||||
380 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) | 199 | |||||||||
651 | |||||||||||
Chemicals — 1.4% | |||||||||||
610 | Huntsman LLC, 11.50%, 07/15/12 (m) | 637 | |||||||||
Diversified Financial Services — 2.3% | |||||||||||
5,100 | Premium Asset Trust, 4.13%, 03/12/09 (e) (i) | 1,020 | |||||||||
Diversified Telecommunication Services — 1.8% | |||||||||||
80 | Qwest Communications International, Inc., VAR, 6.30%, 02/15/09 (m) | 80 | |||||||||
380 | Qwest Corp., 7.88%, 09/01/11 (m) | 377 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Diversified Telecommunication Services — 1.8% | |||||||||||
360 | Telefonica Emisiones SAU, (Spain), 5.98%, 06/20/11 | 366 | |||||||||
823 | |||||||||||
Electric Utilities — 1.0% | |||||||||||
460 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) | 466 | |||||||||
Hotels, Restaurants & Leisure — 1.3% | |||||||||||
615 | MGM Mirage, Inc., 6.00%, 10/01/09 (m) | 603 | |||||||||
Insurance — 0.1% | |||||||||||
1,600 | Two-Rock Pass Through Trust, (Bermuda), 3.74%, 12/31/49 (e) (i) (x) | 32 | |||||||||
Media — 1.0% | |||||||||||
470 | Time Warner, Inc., 5.50%, 11/15/11 | 465 | |||||||||
Metals & Mining — 0.8% | |||||||||||
360 | Xstrata Finance Dubai Ltd., (United Arab Emirates), VAR, 3.15%, 11/13/09 (e) | 352 | |||||||||
Multi-Utilities — 0.6% | |||||||||||
310 | Dominion Resources, Inc., VAR, 6.30%, 09/30/66 (m) | 282 | |||||||||
Total Corporate Bonds (Cost $11,699) | 5,572 | ||||||||||
Foreign Government Security — 1.1% | |||||||||||
490 | National Agricultural Cooperative Federation, (South Korea), VAR, 5.75%, 06/18/14 (Cost $508) | 493 | |||||||||
U.S. Treasury Obligations — 15.1% | |||||||||||
U.S. Treasury Notes, | |||||||||||
5,300 | 2.75%, 07/31/10 (m) | 5,343 | |||||||||
650 | 4.75%, 03/31/11 (m) | 686 | |||||||||
800 | 4.88%, 07/31/11 (m) | 852 | |||||||||
Total U.S. Treasury Obligations (Cost $6,850) | 6,881 | ||||||||||
Total Long-Term Investments (Cost $80,345) | 32,684 | ||||||||||
Short-Term Investments — 28.2% | |||||||||||
U.S. Treasury Obligations — 16.7% (n) | |||||||||||
U.S. Treasury Bills, | |||||||||||
2,690 | 1.84%, 09/04/08 (k) (m) | 2,689 | |||||||||
5,000 | 2.34%, 07/30/09 (m) | 4,905 | |||||||||
(Cost $7,584) | 7,594 |
SHARES | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 11.5% | ||||||||||
5,224 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $5,224) | 5,224 | ||||||||
Total Short-Term Investments (Cost $12,808) | 12,818 | |||||||||
Total Investments — 100.1% (Cost $93,153) | 45,502 | |||||||||
Liabilities in Excess of Other Assets — (0.1)% | (32 | ) | ||||||||
NET ASSETS — 100.0% | $ | 45,470 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
93 | 2 Year U.S. Treasury Note | December, 2008 | $ | 19,742 | $ | 19 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Countrywide Home Loans, Inc., 4.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 5.00% quarterly | 09/20/08 | $ | 9,150 | $ | 94 |
AS OF AUGUST 31, 2008 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 92.5% | |||||||||||
Asset-Backed Securities — 16.0% | |||||||||||
2,925 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) | 2,679 | |||||||||
2,009 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) | 1,914 | |||||||||
4,008 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, VAR, 2.66%, 03/25/36 | 3,405 | |||||||||
3,020 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 2.65%, 02/25/36 | 2,645 | |||||||||
3,200 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 2.65%, 07/25/36 | 2,743 | |||||||||
4,419 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, VAR, 2.66%, 01/25/36 | 3,370 | |||||||||
4,000 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) | — | |||||||||
3,800 | Links Finance LLC, VAR, 3.05%, 09/15/08 (e) (f) (i) (s) | — | |||||||||
4,250 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, VAR, 2.66%, 03/25/46 | 2,356 | |||||||||
3,550 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, VAR, 2.66%, 01/25/36 | 3,094 | |||||||||
2,100 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, VAR, 2.67%, 01/25/37 | 1,743 | |||||||||
167 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 | 166 | |||||||||
1,551 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 2.67%, 02/25/36 | 1,407 | |||||||||
3,850 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 2.66%, 03/25/36 | 3,481 | |||||||||
1,822 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 2.65%, 12/25/35 | 1,732 | |||||||||
2,900 | Sigma Finance Corp., (Cayman Islands), 3.10%, 08/15/11** (f) (i) (s) | 1,769 | |||||||||
Total Asset-Backed Securities (Cost $47,570) | 32,504 | ||||||||||
Collateralized Mortgage Obligations — 9.1% | |||||||||||
Agency CMO — 4.2% | |||||||||||
687 | Federal Home Loan Mortgage Corp., REMICS, Series 2781, Class PI, IO, 5.00%, 10/15/23 | 11 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
2,298 | Series 2006-43, Class G, 6.50%, 09/25/33 | 2,369 | |||||||||
3,592 | Series 2006-63, Class AB, 6.50%, 10/25/33 | 3,703 | |||||||||
2,315 | Series 2006-63, Class AE, 6.50%, 10/25/33 | 2,387 | |||||||||
Government National Mortgage Association, | |||||||||||
8 | Series 2002-24, Class FA, VAR, 2.97%, 04/16/32 | 8 | |||||||||
30 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 | — | (h) | ||||||||
798 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 | 14 | |||||||||
8,492 | |||||||||||
Non-Agency CMO — 4.9% | |||||||||||
1,519 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) | 1,377 | |||||||||
3,304 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) | 3,113 | |||||||||
1,266 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 | 685 | |||||||||
2,591 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A5, 5.50%, 11/25/35 | 2,392 | |||||||||
1,289 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 | 1,279 | |||||||||
1,047 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A4, VAR, 4.60%, 12/25/33 | 1,034 | |||||||||
9,880 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $19,331) | 18,372 | ||||||||||
Commercial Mortgage-Backed Securities — 11.8% | |||||||||||
1,084 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) | 1,076 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
1,800 | Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) | 1,833 | |||||||||
2,300 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) | 2,332 | |||||||||
3,700 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) | 3,676 | |||||||||
706 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.29%, 07/05/35 | 687 | |||||||||
2,000 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 | 1,993 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
126 | Series 2003-C1, Class A2, 3.32%, 03/15/27 | 126 | |||||||||
1,933 | Series 2003-C5, Class A2, 3.48%, 07/15/27 | 1,929 | |||||||||
3,400 | Series 2004-C2, Class A2, 3.25%, 03/15/29 | 3,377 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Commercial Mortgage-Backed Securities — Continued | |||||||||||
5,200 | Series 2004-C7, Class A2, 3.99%, 10/15/29 | 5,145 | |||||||||
1,823 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 | 1,814 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $24,213) | 23,988 | ||||||||||
Corporate Bonds — 18.5% | |||||||||||
Automobiles — 0.7% | |||||||||||
1,300 | Daimler Finance North America LLC, 5.75%, 05/18/09 (m) | 1,313 | |||||||||
Beverages — 0.5% | |||||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.25%, 09/15/10 (m) | 1,067 | |||||||||
Capital Markets — 2.1% | |||||||||||
1,800 | Goldman Sachs Capital II, 5.79%, 06/01/12 (x) | 1,116 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.30%, 02/14/12 | 599 | |||||||||
500 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (x) | 261 | |||||||||
2,350 | Morgan Stanley, 4.25%, 05/15/10 | 2,319 | |||||||||
4,295 | |||||||||||
Commercial Banks — 1.6% | |||||||||||
1,600 | BAC Capital Trust XIV, 5.63%, 03/15/12 (m) (x) | 1,108 | |||||||||
1,150 | Deutsche Bank Capital Funding Trust I, 7.87%, 06/30/09 (e) (m) (x) | 1,153 | |||||||||
1,000 | Hana Bank, (South Korea), 4.13%, 03/11/09 (m) | 995 | |||||||||
3,256 | |||||||||||
Diversified Financial Services — 1.5% | |||||||||||
3,000 | General Electric Capital Corp., 4.13%, 09/01/09 (m) | 3,026 | |||||||||
Diversified Telecommunication Services — 1.0% | |||||||||||
1,900 | Telefonica Emisiones SAU, (Spain), 5.98%, 06/20/11 | 1,930 | |||||||||
Electric Utilities — 1.6% | |||||||||||
1,400 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) | 1,417 | |||||||||
Appalachian Power Co., | |||||||||||
650 | 5.55%, 04/01/11 (m) | 652 | |||||||||
200 | 5.65%, 08/15/12 (m) | 199 | |||||||||
1,000 | PSEG Power LLC, 3.75%, 04/01/09 (m) | 1,001 | |||||||||
3,269 | |||||||||||
Food & Staples Retailing — 0.7% | |||||||||||
1,400 | CVS/Caremark Corp., 4.00%, 09/15/09 (m) | 1,390 | |||||||||
Food Products — 0.3% | |||||||||||
600 | Kraft Foods, Inc., 6.00%, 02/11/13 | 614 | |||||||||
Insurance — 1.5% | |||||||||||
900 | Allstate Corp. (The), 7.20%, 12/01/09 (m) | 930 | |||||||||
2,150 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) | 2,158 | |||||||||
3,088 | |||||||||||
Media — 4.1% | |||||||||||
Comcast Cable Communications LLC, | |||||||||||
1,200 | 6.20%, 11/15/08 (m) | 1,203 | |||||||||
1,000 | 6.75%, 01/30/11 (m) | 1,038 | |||||||||
2,850 | COX Communications, Inc., 4.63%, 01/15/10 (m) | 2,831 | |||||||||
1,800 | Time Warner Entertainment Co. LP, 7.25%, 09/01/08 (m) | 1,800 | |||||||||
1,450 | Time Warner, Inc., 5.50%, 11/15/11 | 1,434 | |||||||||
8,306 | |||||||||||
Metals & Mining — 0.6% | |||||||||||
1,300 | Xstrata Finance Dubai Ltd., (United Arab Emirates), VAR, 3.15%, 11/13/09 (e) | 1,273 | |||||||||
Multi-Utilities — 0.6% | |||||||||||
1,150 | Midamerican Energy Co., 5.65%, 07/15/12 | 1,183 | |||||||||
Oil, Gas & Consumable Fuels — 1.7% | |||||||||||
2,267 | Qatar Petroleum, (Qatar), 5.58%, 05/30/11 (e) | 2,318 | |||||||||
1,150 | XTO Energy, Inc., 5.90%, 08/01/12 | 1,161 | |||||||||
3,479 | |||||||||||
Total Corporate Bonds (Cost $38,784) | 37,489 | ||||||||||
Foreign Government Security — 2.3% | |||||||||||
4,670 | National Agricultural Cooperative Federation, (South Korea), VAR, 5.75%, 06/18/14 (Cost $4,839) | 4,703 | |||||||||
U.S. Government Agency Securities — 34.8% | |||||||||||
11,100 | Federal Home Loan Bank System, 5.38%, 07/17/09 (m) | 11,327 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
3,250 | 3.25%, 07/16/10 | 3,257 | |||||||||
28,450 | 5.25%, 07/18/11 (m) | 29,780 | |||||||||
Federal National Mortgage Association, | |||||||||||
5,250 | 3.00%, 07/12/10 | 5,237 | |||||||||
14,250 | 3.25%, 08/12/10 | 14,276 | |||||||||
6,100 | 6.63%, 11/15/10 (m) | 6,535 | |||||||||
Total U.S. Government Agency Securities (Cost $70,192) | 70,412 | ||||||||||
Total Long-Term Investments (Cost $204,929) | 187,468 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 7.5% | |||||||||||
U.S. Treasury Obligation — 0.5% | |||||||||||
1,045 | U.S. Treasury Bill, 1.85%, 09/04/08 (k) (m) (n) (Cost $1,045) | 1,045 |
SHARES | | SECURITY DESCRIPTION | | VALUE ($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 7.0% | ||||||||||
14,281 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $14,281) | 14,281 |
| SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Short-Term Investments (Cost $15,326) | 15,326 | |||||||||
Total Investments — 100.0% (Cost $220,255) | 202,794 | |||||||||
Liabilities in Excess of Other Assets — 0.0% | (86 | ) | ||||||||
NET ASSETS — 100.0% | $ | 202,708 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
310 | 2 Year U.S. Treasury Note | December, 2008 | $ | 65,807 | $ | 60 | ||||||||||||
1 | 5 Year U.S. Treasury Note | December, 2008 | 112 | — | (h) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(83) | 5 Year U.S. Treasury Note | December, 2008 | (9,291 | ) | (7 | ) | ||||||||||||
$ | 53 |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.IG.9 | Goldman Sachs Capital Management [1] | Buy | 0.60% quarterly | 12/20/12 | $ | 3,500 | $ | 118 | ||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [2] | Buy | 1.55% quarterly | 06/20/13 | 8,100 | (64 | ) | |||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [3] | Sell | 3.50% quarterly | 06/20/13 | 2,000 | 8 | ||||||||||||||||||||
Countrywide Home Loans, Inc., 4.00%, 03/22/11 | Lehman Brothers Special Financing | Sell | 5.00% quarterly | 09/20/08 | 1,600 | 17 | ||||||||||||||||||||
$ | 79 |
AS OF AUGUST 31, 2008 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — 105.1% | |||||||||||
Asset-Backed Securities — 4.6% | |||||||||||
43 | Carmax Auto Owner Trust, Series 2006-2, Class A3, 5.15%, 02/15/11 (m) | 43 | |||||||||
125 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, VAR, 2.68%, 01/09/12 (m) | 120 | |||||||||
241 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, VAR, 2.62%, 08/25/36 (m) | 209 | |||||||||
52 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 44 | |||||||||
62 | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) | 61 | |||||||||
43 | Lehman XS Trust, Series 2006-12N, Class A1A1, VAR, 2.55%, 08/25/46 | 42 | |||||||||
Option One Mortgage Loan Trust, | |||||||||||
7 | Series 2003-4, Class A2, VAR, 2.79%, 07/25/33 | 6 | |||||||||
2 | Series 2003-5, Class A2, VAR, 2.79%, 08/25/33 | 2 | |||||||||
Residential Asset Securities Corp., | |||||||||||
1 | Series 2002-KS4, Class AIIB, VAR, 2.97%, 07/25/32 | — | (h) | ||||||||
1 | Series 2003-KS5, Class AIIB, VAR, 3.05%, 07/25/33 | 1 | |||||||||
2 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, VAR, 2.90%, 12/25/32 | 1 | |||||||||
Total Asset-Backed Securities (Cost $578) | 529 | ||||||||||
Collateralized Mortgage Obligations — 6.4% | |||||||||||
Agency CMO — 1.5% | |||||||||||
46 | Federal Home Loan Mortgage Corp., REMICS, Series 2931, Class GA, 5.00%, 11/15/28 (m) | 47 | |||||||||
36 | Federal National Mortgage Association Whole Loan, Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) | 36 | |||||||||
Federal National Mortgage Association, REMICS, | |||||||||||
33 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 34 | |||||||||
27 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 27 | |||||||||
33 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 34 | |||||||||
178 | |||||||||||
Non-Agency CMO — 4.9% | |||||||||||
Countrywide Alternative Loan Trust, | |||||||||||
45 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) | 30 | |||||||||
54 | Series 2006-23CB, Class 2A1, 6.50%, 05/25/36 (m) | 34 | |||||||||
1,075 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.91%, 06/25/20 (e) (m) | 29 | |||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, HB, VAR, 60.65%, 07/28/27 (e) (i) | 1 | |||||||||
179 | Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, VAR, 2.68%, 11/19/36 | 111 | |||||||||
69 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 | 60 | |||||||||
12 | MASTR Alternative Loans Trust, Series 2004-13, Class 10A1, 8.00%, 01/25/35 | 11 | |||||||||
57 | Residential Accredit Loans, Inc., Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 | 37 | |||||||||
49 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 01/25/46 | 41 | |||||||||
160 | Thornburg Mortgage Securities Trust, Series 2006-6, Class A1, VAR, 2.58%, 11/25/46 | 154 | |||||||||
36 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1, 6.00%, 07/25/36 | 22 | |||||||||
41 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR3, Class A1, VAR, 5.70%, 03/25/36 | 36 | |||||||||
566 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,019) | 744 | ||||||||||
Commercial Mortgage-Backed Securities — 3.2% | |||||||||||
25 | Bear Stearns Commercial Mortgage Securities, Series 2004-PWR6, Class A4, 4.52%, 11/11/41 (m) | 24 | |||||||||
137 | CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A3, 6.38%, 12/18/35 (m) | 139 | |||||||||
45 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4, 4.11%, 07/05/35 | 42 | |||||||||
60 | LB-UBS Commercial Mortgage Trust, Series 2001-C2, Class A2, 6.65%, 11/15/27 | 62 | |||||||||
94 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, VAR, 2.59%, 09/15/21 (e) | 88 | |||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 | 19 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $380) | 374 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Corporate Bonds — 27.5% | |||||||||||
Aerospace & Defense — 0.2% | |||||||||||
25 | L-3 Communications Corp., 5.88%, 01/15/15 | 24 | |||||||||
Auto Components — 0.3% | |||||||||||
1 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 | 1 | |||||||||
20 | Tenneco, Inc., 8.63%, 11/15/09 | 17 | |||||||||
15 | United Components, Inc., 9.38%, 06/15/13 | 13 | |||||||||
31 | |||||||||||
Beverages — 0.2% | |||||||||||
20 | Dr Pepper Snapple Group, Inc., 6.82%, 05/01/18 (e) (m) | 20 | |||||||||
Capital Markets — 0.3% | |||||||||||
60 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (x) | 31 | |||||||||
Chemicals — 0.4% | |||||||||||
15 | Huntsman LLC, 11.50%, 07/15/12 | 15 | |||||||||
20 | Ineos Group Holdings plc, (United Kingdom), 8.50%, 02/15/16 (e) | 13 | |||||||||
20 | PolyOne Corp., 8.88%, 05/01/12 | 20 | |||||||||
48 | |||||||||||
Commercial Banks — 3.5% | |||||||||||
40 | Bangko Sentral ng Pilipinas, (Philippines), 8.60%, 06/15/27 | 45 | |||||||||
160 | Barclays Bank plc, (United Kingdom), 5.93%, 12/15/16 (e) (i) (m) (x) | 127 | |||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) | 9 | |||||||||
40 | Deutsche Bank AG, (Germany), 5.38%, 10/12/12 (m) | 40 | |||||||||
100 | ICICI Bank, Ltd., (India), VAR, 3.33%, 01/12/10 (e) | 97 | |||||||||
100 | Royal Bank of Scotland Group plc, (United Kingdom), 6.99%, 10/05/17 (e) (x) | 84 | |||||||||
402 | |||||||||||
Commercial Services & Supplies — 0.8% | |||||||||||
25 | ACCO Brands Corp., 7.63%, 08/15/15 (m) | 21 | |||||||||
25 | Allied Waste North America, Inc., 7.38%, 04/15/14 (m) | 25 | |||||||||
20 | Corrections Corp. of America, 6.25%, 03/15/13 (m) | 20 | |||||||||
25 | Iron Mountain, Inc., 7.75%, 01/15/15 | 25 | |||||||||
15 | Quebecor World Capital Corp., (Canada), 0.00%, 03/15/16 (d) | 7 | |||||||||
98 | |||||||||||
Computers & Peripherals — 0.5% | |||||||||||
55 | Hewlett-Packard Co., 4.50%, 03/01/13 | 55 | |||||||||
Consumer Finance — 1.8% | |||||||||||
Ford Motor Credit Co. LLC, | |||||||||||
10 | 7.25%, 10/25/11 | 8 | |||||||||
55 | VAR, 4.36%, 01/15/10 | 47 | |||||||||
55 | GMAC LLC, 6.88%, 08/28/12 | 32 | |||||||||
125 | SLM Corp., VAR, 2.94%, 07/27/09 (m) | 118 | |||||||||
205 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
5 | Crown Americas LLC / Crown Americas Capital Corp., 7.75%, 11/15/15 (m) | 5 | |||||||||
5 | Owens Brockway Glass Container, Inc., 8.25%, 05/15/13 | 5 | |||||||||
5 | Packaging Dynamics Finance Corp., 10.00%, 05/01/16 (e) | 4 | |||||||||
14 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
15 | Service Corp. International, 7.38%, 10/01/14 | 15 | |||||||||
Diversified Financial Services — 1.6% | |||||||||||
30 | Caterpillar Financial Services Corp., 5.45%, 04/15/18 (m) | 30 | |||||||||
55 | Goldman Sachs Capital II, 5.79%, 06/01/12 (x) | 34 | |||||||||
132 | TRAINS, VAR, 7.12%, 05/01/16 (e) | 125 | |||||||||
189 | |||||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
50 | AT&T, Inc., 6.50%, 09/01/37 (m) | 48 | |||||||||
10 | Qwest Communications International, Inc., VAR, 6.30%, 02/15/09 | 10 | |||||||||
Qwest Corp., | |||||||||||
5 | 7.50%, 10/01/14 | 5 | |||||||||
10 | 8.88%, 03/15/12 | 10 | |||||||||
10 | Telecom Italia Capital S.A., (Luxembourg), 7.72%, 06/04/38 | 10 | |||||||||
20 | Wind Acquisition Finance S.A., (Luxembourg), 10.75%, 12/01/15 (e) | 20 | |||||||||
103 | |||||||||||
Electric Utilities — 2.3% | |||||||||||
100 | Abu Dhabi National Energy Co., (United Arab Emirates), 5.62%, 10/25/12 (e) (m) | 98 | |||||||||
50 | Dominion Resources, Inc., 6.30%, 03/15/33 (m) | 48 | |||||||||
125 | Ohio Power Co., VAR, 2.97%, 04/05/10 | 122 | |||||||||
268 | |||||||||||
Energy Equipment & Services — 0.1% | |||||||||||
15 | Transocean, Inc., (Cayman Islands), 6.80%, 03/15/38 | 15 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Food & Staples Retailing — 1.8% | |||||||||||
43 | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) | 40 | |||||||||
100 | CVS/Caremark Corp., VAR, 2.98%, 06/01/10 (m) | 98 | |||||||||
25 | Kroger Co. (The), 6.40%, 08/15/17 | 26 | |||||||||
25 | Safeway, Inc., 6.35%, 08/15/17 | 26 | |||||||||
15 | Wal-Mart Stores, Inc., 6.50%, 08/15/37 | 15 | |||||||||
205 | |||||||||||
Gas Utilities — 0.4% | |||||||||||
40 | ONEOK Partners LP, PIK, 5.90%, 10/15/17 | 40 | |||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
15 | Biomet, Inc., PIK, 10.38%, 10/15/12 (m) | 16 | |||||||||
Health Care Providers & Services — 1.0% | |||||||||||
15 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) | 15 | |||||||||
HCA, Inc., | |||||||||||
25 | 9.25%, 11/15/16 | 26 | |||||||||
40 | PIK, 9.63%, 11/15/16 | 40 | |||||||||
30 | Tenet Healthcare Corp., 9.25%, 02/01/15 | 30 | |||||||||
111 | |||||||||||
Hotels, Restaurants & Leisure — 0.6% | |||||||||||
15 | McDonald’s Corp., 6.30%, 10/15/37 | 15 | |||||||||
MGM Mirage, Inc., | |||||||||||
5 | 5.88%, 02/27/14 | 4 | |||||||||
25 | 6.75%, 04/01/13 | 21 | |||||||||
15 | 6.88%, 04/01/16 | 12 | |||||||||
20 | Vail Resorts, Inc., 6.75%, 02/15/14 | 19 | |||||||||
71 | |||||||||||
Household Durables — 0.6% | |||||||||||
25 | ALH Finance LLC / ALH Finance Corp., 8.50%, 01/15/13 (m) | 23 | |||||||||
20 | Ames True Temper, Inc., VAR, 6.79%, 01/15/12 (m) | 16 | |||||||||
Beazer Homes USA, Inc., | |||||||||||
10 | 6.50%, 11/15/13 (m) | 7 | |||||||||
8 | 6.88%, 07/15/15 (m) | 5 | |||||||||
25 | Sealy Mattress Co., 8.25%, 06/15/14 | 20 | |||||||||
71 | |||||||||||
Household Products — 0.5% | |||||||||||
15 | Jarden Corp., 7.50%, 05/01/17 | 14 | |||||||||
10 | Spectrum Brands, Inc., 7.38%, 02/01/15 | 5 | |||||||||
35 | Visant Holding Corp., SUB,12/01/13 | 34 | |||||||||
53 | |||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||
2 | AES Corp. (The), 8.75%, 05/15/13 (e) (m) | 2 | |||||||||
27 | NRG Energy, Inc., 7.38%, 02/01/16 | 27 | |||||||||
29 | |||||||||||
Insurance — 2.2% | |||||||||||
26 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) | 23 | |||||||||
45 | Lincoln National Corp., VAR, 7.00%, 05/17/66 | 39 | |||||||||
15 | Nationwide Financial Services, 6.75%, 05/15/37 | 11 | |||||||||
40 | Reinsurance Group of America, Inc., VAR, 6.75%, 12/15/65 | 31 | |||||||||
100 | Swiss Re Capital I LP, (Switzerland), VAR, 6.85%, 05/25/16 (e) (x) | 86 | |||||||||
25 | Travelers Cos., Inc. (The), VAR, 6.25%, 03/15/37 | 21 | |||||||||
80 | XL Capital Ltd., (Cayman Islands), 6.50%, 04/15/17 (x) | 48 | |||||||||
259 | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
15 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) | 13 | |||||||||
Media — 2.0% | |||||||||||
65 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) | 63 | |||||||||
10 | Comcast Corp., 6.95%, 08/15/37 (m) | 10 | |||||||||
40 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) | 38 | |||||||||
Echostar DBS Corp., | |||||||||||
5 | 6.63%, 10/01/14 (m) | 4 | |||||||||
40 | 7.13%, 02/01/16 (m) | 37 | |||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 | 10 | |||||||||
Time Warner Cable, Inc., | |||||||||||
15 | 6.55%, 05/01/37 | 14 | |||||||||
20 | 7.30%, 07/01/38 | 20 | |||||||||
30 | Videotron Ltee, (Canada), 6.88%, 01/15/14 | 29 | |||||||||
5 | WMG Acquisition Corp., 7.38%, 04/15/14 | 4 | |||||||||
229 | |||||||||||
Metals & Mining — 0.2% | |||||||||||
25 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) | 25 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Multi-Utilities — 0.5% | |||||||||||
55 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 | 55 | |||||||||
Oil, Gas & Consumable Fuels — 3.1% | |||||||||||
120 | ABN Amro Bank/Deutschland OAO Gazprom, 9.63%, 03/01/13 (e) | 130 | |||||||||
15 | Anadarko Petroleum Corp., 6.45%, 09/15/36 (m) | 14 | |||||||||
25 | Canadian Natural Resources Ltd., (Canada), 6.25%, 03/15/38 (m) | 23 | |||||||||
25 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) | 25 | |||||||||
34 | Gaz Capital S.A. for Gazprom, (Russia), 8.63%, 04/28/34 | 35 | |||||||||
52 | Gazprom International S.A., (Russia), 7.20%, 02/01/20 | 52 | |||||||||
5 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 | 5 | |||||||||
15 | Newfield Exploration Co., 6.63%, 04/15/16 | 14 | |||||||||
30 | Nexen, Inc., (Canada), 6.40%, 05/15/37 | 27 | |||||||||
15 | Suncor Energy, Inc., (Canada), 6.85%, 06/01/39 | 15 | |||||||||
15 | Valero Energy Corp., 6.63%, 06/15/37 | 13 | |||||||||
353 | |||||||||||
Paper & Forest Products — 0.7% | |||||||||||
75 | Georgia-Pacific LLC, 9.50%, 12/01/11 | 76 | |||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
20 | Host Hotels & Resorts LP, 6.75%, 06/01/16 | 17 | |||||||||
Road & Rail — 0.3% | |||||||||||
20 | Hertz Corp., 8.88%, 01/01/14 | 19 | |||||||||
12 | United Rentals North America, Inc., 6.50%, 02/15/12 | 10 | |||||||||
29 | |||||||||||
Wireless Telecommunication Services — 0.0% (g) | |||||||||||
2 | Rural Cellular Corp., 8.25%, 03/15/12 | 2 | |||||||||
Total Corporate Bonds (Cost $3,508) | 3,172 | ||||||||||
Foreign Government Securities — 12.5% | |||||||||||
250 | Citigroup Funding, Inc., VAR, 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, VAR, 15.00%, 03/09/12) (e) (i) | 201 | |||||||||
75 | Federal Republic of Brazil, (Brazil), 12.25%, 03/06/30 | 127 | |||||||||
11 | Government of Barbados, (Barbados), 7.25%, 12/15/21 | 12 | |||||||||
Government of Dominican Republic, (Dominican Republic), | |||||||||||
101 | 9.04%, 01/23/18 (e) | 103 | |||||||||
30 | 9.50%, 09/27/11 | 31 | |||||||||
100 | IIRSA Norte Finance Ltd., (Peru), 8.75%, 05/30/24 | 111 | |||||||||
180 | Republic of Argentina, (Argentina), 7.00%, 10/03/15 | 111 | |||||||||
Republic of Columbia, (Colombia), | |||||||||||
65 | 8.25%, 12/22/14 | 74 | |||||||||
20 | 10.38%, 01/28/33 | 29 | |||||||||
40 | 10.75%, 01/15/13 | 49 | |||||||||
119 | Republic of Indonesia, (Indonesia), 7.25%, 04/20/15 | 122 | |||||||||
50 | Republic of Trinidad & Tobago, (Trinidad & Tobago), 9.75%, 07/01/20 | 66 | |||||||||
125 | Republic of Venezuela, (Venezuela), 9.38%, 01/13/34 | 109 | |||||||||
Russian Federation, (Russia), | |||||||||||
53 | 8.25%, 03/31/10 | 54 | |||||||||
50 | 11.00%, 07/24/18 | 70 | |||||||||
United Mexican States, (Mexico), | |||||||||||
40 | 7.50%, 01/14/12 | 44 | |||||||||
25 | 8.00%, 09/24/22 | 30 | |||||||||
35 | 8.30%, 08/15/31 | 44 | |||||||||
60 | VAR, 3.49%, 10/14/08 | 60 | |||||||||
Total Foreign Government Securities (Cost $1,552) | 1,447 | ||||||||||
Mortgage Pass-Through Securities — 26.9% | |||||||||||
8 | Federal Home Loan Mortgage Corp., 15 Year, Single Family, 6.00%, 05/01/17 (m) | 8 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
22 | 6.00%, 01/01/35 (m) | 22 | |||||||||
745 | TBA, 5.00%, 09/15/38 | 716 | |||||||||
50 | TBA, 5.50%, 09/15/38 | 49 | |||||||||
Federal Home Loan Mortgage Corp., Gold Pools, | |||||||||||
14 | ARM, 5.42%, 07/01/14 (m) | 14 | |||||||||
26 | ARM, 5.46%, 07/01/14 (m) | 27 | |||||||||
18 | ARM, 5.57%, 06/01/14 (m) | 18 | |||||||||
450 | Federal National Mortgage Association, 15 Year, Single Family, TBA, 4.50%, 09/25/23 | 436 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
275 | 6.00%, 03/01/33 (m) | 279 | |||||||||
262 | 6.00%, 01/01/35 (m) | 265 | |||||||||
180 | 6.50%, 01/01/35 (m) | 186 | |||||||||
20 | 6.50%, 02/01/35 | 20 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments — Continued | |||||||||||
Mortgage Pass-Through Securities — Continued | |||||||||||
195 | TBA, 6.00%, 09/25/38 | 197 | |||||||||
615 | TBA, 6.50%, 09/25/38 | 633 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
20 | TBA, 6.00%, 09/15/38 | 20 | |||||||||
210 | TBA, 6.50%, 09/15/38 | 217 | |||||||||
Total Mortgage Pass-Through Securities (Cost $3,086) | 3,107 | ||||||||||
U.S. Government Agency Security — 0.9% | |||||||||||
100 | Federal Home Loan Mortgage Corp., 4.88%, 06/13/18 (m) (Cost $102) | 102 | |||||||||
U.S. Treasury Obligations — 23.1% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
260 | 4.75%, 08/15/17 (m) | 280 | |||||||||
3 | 4.75%, 02/15/37 (m) | 3 | |||||||||
125 | 5.50%, 08/15/28 (k) | 142 | |||||||||
U.S. Treasury Notes, | |||||||||||
75 | 2.50%, 03/31/13 (m) | 73 | |||||||||
1,260 | 2.63%, 05/31/10 (m) | 1,268 | |||||||||
90 | 2.88%, 06/30/10 (m) | 91 | |||||||||
15 | 3.38%, 06/30/13 (m) | 15 | |||||||||
85 | 3.50%, 02/15/18 (m) | 83 | |||||||||
75 | 3.63%, 10/31/09 (m) | 76 | |||||||||
100 | 3.88%, 10/31/12 (m) | 104 | |||||||||
40 | 4.13%, 08/15/10 (m) | 42 | |||||||||
50 | 4.25%, 09/30/12 (k) | 53 | |||||||||
5 | 4.25%, 11/15/17 (m) | 5 | |||||||||
15 | 4.50%, 05/15/10 (m) | 16 | |||||||||
10 | 4.50%, 11/30/11 (m) | 10 | |||||||||
150 | 4.63%, 07/31/09 (k) (m) | 153 | |||||||||
95 | 5.00%, 05/15/37 (m) | 104 | |||||||||
140 | 5.13%, 06/30/11 (k) (m) | 150 | |||||||||
Total U.S. Treasury Obligations (Cost $2,606) | 2,668 | ||||||||||
Total Long-Term Investments (Cost $12,831) | 12,143 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 1.7% | ||||||||||
Call Options Purchased — 1.7% | ||||||||||
6 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.13, American Style | 1 | ||||||||
10 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style | 1 | ||||||||
5 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $96.88, American Style | 3 | ||||||||
5 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.63, American Style | — | (h) |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver Options Purchased on Interest Rate Swaps: | ||||||||||
5,870 | Expiring 10/09/08. If exercised the Fund receives semi-annually 3.19% and pays quarterly floating 3 month LIBOR expiring 10/14/09, European Style. Counterparty: Barclays Bank plc (r) | 11 | ||||||||
4,905 | Expiring 11/28/08. If exercised the Fund receives semi-annually 2.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Barclays Bank plc (r) | 1 | ||||||||
4,905 | Expiring 11/28/08. If exercised the Fund receives semi-annually 2.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 1 | ||||||||
9,810 | Expiring 11/28/08. If exercised the Fund receives semi-annually 3.43% and pays quarterly floating 3 month LIBOR expiring 12/02/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 38 | ||||||||
9,350 | Expiring 12/03/08. If exercised the Fund receives semi-annually 2.26% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 1 | ||||||||
18,700 | Expiring 12/03/08. If exercised the Fund receives semi-annually 3.01% and pays quarterly floating 3 month LIBOR expiring 12/05/09, European Style. Counterparty: Deutsche Bank AG, New York (r) | 30 | ||||||||
9,680 | Expiring 12/11/08. If exercised the Fund receives semi-annually 2.88% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 11 | ||||||||
9,680 | Expiring 12/11/08. If exercised the Fund receives semi-annually 3.63% and pays quarterly floating 3 month LIBOR expiring 12/15/09, European Style. Counterparty: Barclays Bank plc (r) | 52 | ||||||||
9,755 | Expiring 12/18/08. If exercised the Fund receives semi-annually 2.34% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 2 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — Continued | ||||||||||
Receiver Options Purchased on Interest Rate Swaps: — Continued | ||||||||||
19,510 | Expiring 12/18/08. If exercised the Fund receives semi-annually 3.09% and pays quarterly floating 3 month LIBOR expiring 12/22/09, European Style. Counterparty: Barclays Bank plc (r) | 40 | ||||||||
4,730 | Expiring 02/12/09. If exercised the Fund receives semi-annually 2.57% and pays quarterly floating 3 month LIBOR expiring 02/17/10, European Style. Counterparty: Deutsche Bank AG, New York (r) | 4 | ||||||||
Total Call Options Purchased | 196 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE ($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased — 0.0% (g) | |||||||||||
1 | 30 Day Fed Funds Expiring 09/30/08 @ $97.94, American Style | — | (h) | ||||||||
2 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $114.00, American Style | 1 | |||||||||
2 | 20 Year U.S. Treasury Bond Futures, Expiring 09/26/08 @ $115.00, American Style | 1 | |||||||||
Total Put Options Purchased | 2 | ||||||||||
Total Options Purchased (Cost $196) | 198 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 14.6% | |||||||||||
Investment Company — 14.6% | |||||||||||
1,679 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $1,679) | 1,679 | |||||||||
Total Investments — 121.4% (Cost $14,706) | 14,020 | ||||||||||
Liabilities in Excess of Other Assets — (21.4)% | (2,469 | ) | |||||||||
NET ASSETS — 100.0% | 11,551 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/08 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
3 | 10 Year Swap | September, 2008 | 336 | 12 | ||||||||||||||
1 | Euro-Bobl | September, 2008 | 159 | — | (h) | |||||||||||||
6 | Eurodollar | September, 2008 | 1,458 | 2 | ||||||||||||||
1 | 30 Day Federal Funds | October, 2008 | 408 | — | (h) | |||||||||||||
9 | 30 Day Federal Funds | November, 2008 | 3,673 | 4 | ||||||||||||||
9 | 5 Year U.S. Treasury Note | December, 2008 | 1,007 | — | (h) | |||||||||||||
1 | U.K. Treasury Long Gilt | December, 2008 | 204 | — | (h) | |||||||||||||
1 | U.S. Long Bond | December, 2008 | 117 | (1 | ) | |||||||||||||
4 | 90 Day Sterling | June, 2009 | 866 | 7 | ||||||||||||||
12 | Eurodollar | June, 2010 | 2,881 | 19 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(1) | Euro-Bund | September, 2008 | (167 | ) | (6 | ) | ||||||||||||
(2) | 2 Year U.S. Treasury Note | December, 2008 | (425 | ) | — | (h) | ||||||||||||
(1) | U.S. Treasury Bond | December, 2008 | (117 | ) | 1 | |||||||||||||
(2) | U.S. Treasury Note | December, 2008 | (231 | ) | — | (h) | ||||||||||||
(6) | Eurodollar | June, 2009 | (1,454 | ) | — | (h) | ||||||||||||
(6) | Eurodollar | June, 2011 | (1,433 | ) | (2 | ) | ||||||||||||
36 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
(50) | FHLMC, 30 Year, Single Family, TBA, 5.50%, 10/15/38 | (49 | ) | |||||||
(250) | FNMA, 30 Year, Single Family, TBA, 5.50%, 09/25/38 | (247 | ) | |||||||
(Proceeds received of $294.) | (296 | ) |
DESCRIPTION | | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | 97.75 | 09/15/08 | 11 | — | (h) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 97.50 | 09/15/08 | 1 | — | (h) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 09/15/08 | 9 | — | (h) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 97.25 | 09/15/08 | 1 | — | (h) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 98.00 | 12/15/08 | 20 | — | (h) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 97.13 | 12/15/08 | 5 | (1 | ) | |||||||||||||||||
90 Day Eurodollar Futures, American Style | 97.38 | 12/15/08 | 5 | (1 | ) | |||||||||||||||||
(Premiums received of $20.) | (2 | ) |
COUNTERPARTY | | EXERCISE RATE (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc | 2.89% semi-annually | 10/09/08 | 10/14/09 | 11,740 | (7 | ) | ||||||||||||||||
Barclays Bank plc | 3.13% semi-annually | 12/11/08 | 12/15/09 | 9,680 | (20 | ) | ||||||||||||||||
Barclays Bank plc | 3.38% semi-annually | 12/11/08 | 12/15/09 | 9,680 | (34 | ) | ||||||||||||||||
Barclays Bank plc | 2.59% semi-annually | 12/18/08 | 12/22/09 | 19,510 | (10 | ) | ||||||||||||||||
Barclays Bank plc | 2.84% semi-annually | 12/18/08 | 12/22/09 | 19,510 | (21 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.93% semi-annually | 11/28/08 | 12/02/09 | 19,620 | (25 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.76% semi-annually | 12/03/08 | 12/05/09 | 18,700 | (15 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 2.51% semi-annually | 12/03/08 | 12/05/09 | 18,700 | (8 | ) | ||||||||||||||||
(Premiums received of $156) | (140 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
30 Day Federal Funds Futures, American Style | 97.75 | 09/30/08 | 2 | — | ||||||||||||||
(Premiums received of $—(h).) |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
(Amounts in thousands)
COUNTERPARTY | | EXERCISE RATE** (r) | | OPTION EXPIRATION DATE | | SWAP EXPIRATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 4.78% semi-annually | 08/27/09 | 09/03/19 | 350 | (23 | ) | ||||||||||||||||
(Premiums received of $24) |
** | The Fund would pay/receive quarterly a floating rate based on 3 month LIBOR, if exercised. |
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 | (61) | |||||||||||||||||
Goldman Sachs Capital Management | 4.92% semi-annually | 3 month LIBOR quarterly | 05/18/16 | 590 | (30) | |||||||||||||||||
(91) |
REFERENCED OBLIGATION | | SWAP COUNTERPARTY | | BUY/SELL PROTECTION | | FUND PAYS/RECEIVES FIXED RATE (r) | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.9 | Barclays Bank plc [1] | Buy | 2.65% semi-annually | 06/20/13 | 90 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Barclays Bank plc [2] | Buy | 2.65% semi-annually | 06/20/13 | 60 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Barclays Bank plc [3] | Buy | 2.65% semi-annually | 06/20/13 | 30 | — | (h) | |||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [4] | Buy | 2.65% semi-annually | 06/20/13 | 50 | — | (h) | |||||||||||||||||||
CDX.EM.9 | Citibank, N.A. [5] | Buy | 2.65% semi-annually | 06/20/13 | 90 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Deutsche Bank AG, New York [6] | Buy | 2.65% semi-annually | 06/20/13 | 100 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Deutsche Bank AG, New York [7] | Buy | 2.65% semi-annually | 06/20/13 | 210 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | HSBC Bank, N.A. [8] | Buy | 2.65% semi-annually | 06/20/13 | 50 | — | (h) | |||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [9] | Buy | 2.65% semi-annually | 06/20/13 | 90 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [10] | Buy | 2.65% semi-annually | 06/20/13 | 170 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Lehman Brothers Special Financing [11] | Buy | 2.65% semi-annually | 06/20/13 | 190 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Merrill Lynch International [12] | Buy | 2.65% semi-annually | 06/20/13 | 80 | (1 | ) | |||||||||||||||||||
CDX.EM.9 | Morgan Stanley Capital Services [13] | Buy | 2.65% semi-annually | 06/20/13 | 110 | (1 | ) | |||||||||||||||||||
CDX.NA.IG.10 | Goldman Sachs Capital Management [14] | Buy | 1.55% quarterly | 06/20/13 | 500 | (4 | ) | |||||||||||||||||||
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [15] | Sell | 3.50% quarterly | 06/20/13 | 125 | — | (h) | |||||||||||||||||||
Countrywide Home Loans, Inc., 4.00%, 03/22/11 | Goldman Sachs Capital Management | Sell | 4.00% quarterly | 09/20/08 | 200 | 2 | ||||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 0.53% semi-annually | 08/20/12 | 130 | (7 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Barclays Bank plc | Sell | 0.68% semi-annually | 08/20/12 | 150 | (8 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Credit Suisse International | Sell | 0.53% semi-annually | 08/20/12 | 210 | (12 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.66% semi-annually | 08/20/12 | 310 | (16 | ) | |||||||||||||||||||
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.71% semi-annually | 08/20/12 | 150 | (7 | ) | |||||||||||||||||||
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Morgan Stanley Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 50 | (4 | ) | |||||||||||||||||||
(66 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America † | BA Covered Bond Issuer, 5.50%, 06/14/12 | 101.23 | 09/11/08 | 920 | 12 | |||||||||||||||||
Credit Suisse International † | FHLB, 5.38%, 05/18/16 | 105.04 | 11/14/08 | 580 | 2 | |||||||||||||||||
Deutsche Bank AG, New York † | FNMA, 30 Year, Single Family, TBA, 5.00% | 94.19 | 09/04/08 | 325 | 7 | |||||||||||||||||
Union Bank of Switzerland AG † | FNMA, 15 Year, Single Family, TBA, 5.00% | 97.50 | 09/09/08 | 300 | 5 | |||||||||||||||||
Union Bank of Switzerland AG † | FNMA, 15 Year, Single Family, TBA, 6.00% | 101.94 | 09/09/08 | 815 | 5 | |||||||||||||||||
31 |
† | Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock at termination. |
AS OF AUGUST 31, 2008 (Unaudited)
*— | On September 15, 2008, the security’s maturity date, the full principal amount was received. |
**— | The fair value of the security was written down to zero subsequent to August 31, 2008 which resulted in an impact of approximately $1.45 per share for JPMorgan Short Term Bond Fund and $0.09 per share for JPMorgan Short Term Bond Fund II. |
(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 value and percentage of the investments based on total investments that are fair valued (amounts in thousands): |
Value | Percentage | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 17,195 | 3.8 | % | ||||||
Enhanced Income Fund | 240 | 0.4 | ||||||||
Short Term Bond Fund | 8,539 | 18.8 | ||||||||
Short Term Bond Fund II | 1,769 | 0.9 |
(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, reverse repurchase agreements, and forward currency contracts. |
(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 Portfolio 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 August 31, 2008. |
ARM— | Adjustable Rate Mortgage |
ARS— | Argentine Peso |
AUD— | Australian Dollar |
BRL— | Brazilian Real |
CAD— | Canadian Dollar |
CAD-BA-CDOR— | Canadian Bank Bill Overnight Rate |
CMO— | Collateralized Mortgage Obligation |
COP— | Colombian Peso |
EGP— | Egyptian Pound |
EUR— | Euro |
FHLB— | Federal Home Loan Bank |
FHLMC— | Federal Home Loan Mortgage Corp. |
FNMA— | Federal 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 IOs, 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. |
IF— | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of August 31, 2008. The rate may be subject to a cap and floor. |
IO— | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The 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. |
JPY— | Japanese Yen |
LIBOR— | London Interbank Offered Rate |
MXN— | Mexican Peso |
PEN— | Peruvian Nuevo Sol |
PIK— | Payment-In-Kind |
REMICS— | Real Estate Mortgage Investment Conduits |
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 August 31, 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 Security. The interest rate shown is the rate in effect as of August 31, 2008. |
AS OF AUGUST 31, 2008 (Unaudited)
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 453,151 | $ | 309,827 | $ | 48,514 | $ | 82,504 | ||||||||||
Investments in affiliates, at value | 3,439 | 12,045 | 11,208 | 3,389 | ||||||||||||||
Total investment securities, at value | 456,590 | 321,872 | 59,722 | 85,893 | ||||||||||||||
Cash | 319 | 2 | 5 | 1,281 | ||||||||||||||
Foreign currency, at value | 281 | 43 | — | 162 | ||||||||||||||
Receivables: | ||||||||||||||||||
Due from Advisor | — | — | — | (b) | — | |||||||||||||
Investment securities sold | 810,317 | — | 7,757 | 36,102 | ||||||||||||||
Fund shares sold | 500 | 524 | — | 91 | ||||||||||||||
Interest and dividends | 4,082 | 6,543 | 235 | 343 | ||||||||||||||
Variation margin on futures contracts | 634 | — | — | (b) | 26 | |||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | — | (b) | |||||||||||||
Outstanding swap contracts, at value | 4,586 | 1,548 | 37 | 59 | ||||||||||||||
Total Assets | 1,277,309 | 330,532 | 67,756 | 123,957 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payables: | ||||||||||||||||||
Due to broker for foreign futures contracts | 15 | — | — | — | ||||||||||||||
Dividends | 308 | 1,066 | 53 | 81 | ||||||||||||||
Investment securities purchased | 863,493 | — | 7,768 | 38,044 | ||||||||||||||
Securities sold short, at value | �� | 60,280 | — | — | — | |||||||||||||
Fund shares redeemed | 432 | 1,136 | 6,150 | 332 | ||||||||||||||
Variation margin on futures contracts | 163 | 184 | 5 | 24 | ||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 1 | ||||||||||||||
Outstanding options written, at value | 2,032 | — | — | 721 | ||||||||||||||
Outstanding swap contracts, at value | 6,530 | 7,194 | 27 | 353 | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 67 | 189 | — | — | ||||||||||||||
Administration fees | 25 | 28 | — | — | (b) | |||||||||||||
Shareholder servicing fees | 32 | 64 | — | 10 | ||||||||||||||
Distribution fees | 9 | 6 | — | 9 | ||||||||||||||
Custodian and accounting fees | 13 | 20 | 10 | 15 | ||||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | 3 | 2 | 1 | ||||||||||||||
Other | 324 | 71 | 54 | 118 | ||||||||||||||
Total Liabilities | 933,726 | 9,961 | 14,069 | 39,709 | ||||||||||||||
Net Assets | $ | 343,583 | $ | 320,571 | $ | 53,687 | $ | 84,248 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||||||
Paid in capital | $ | 636,237 | $ | 339,696 | $ | 78,147 | $ | 86,547 | ||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 6,200 | 825 | (49 | ) | 957 | |||||||||||||
Accumulated net realized gains (losses) | (219,422 | ) | (6,791 | ) | (14,145 | ) | (4,099 | ) | ||||||||||
Net unrealized appreciation (depreciation) | (79,432 | ) | (13,159 | ) | (10,266 | ) | 843 | |||||||||||
Total Net Assets | $ | 343,583 | $ | 320,571 | $ | 53,687 | $ | 84,248 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 18,211 | $ | 12,700 | $ | — | $ | 8,904 | ||||||||||
Class B | 3,155 | — | — | — | ||||||||||||||
Class C | 5,450 | 4,943 | — | 10,413 | ||||||||||||||
Class R5 | — | 22,486 | — | — | ||||||||||||||
Select Class | 76,636 | 280,442 | — | 58,127 | ||||||||||||||
Institutional Class | 141,811 | — | 53,687 | 6,804 | ||||||||||||||
Ultra | 98,320 | — | — | — | ||||||||||||||
Total | $ | 343,583 | $ | 320,571 | $ | 53,687 | $ | 84,248 | ||||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||||
Class A | 2,330 | 1,582 | — | 931 | ||||||||||||||
Class B | 407 | — | — | — | ||||||||||||||
Class C | 699 | 616 | — | 1,093 | ||||||||||||||
Class R5 | — | 2,797 | — | — | ||||||||||||||
Select Class | 9,903 | 34,889 | — | 6,055 | ||||||||||||||
Institutional Class | 18,340 | — | 6,377 | 708 | ||||||||||||||
Ultra | 12,721 | — | — | — | ||||||||||||||
Net Asset Value: | ||||||||||||||||||
Class A — Redemption price per share | $ | 7.82 | $ | 8.03 | $ | — | $ | 9.57 | ||||||||||
Class B — Offering price per share (a) | 7.76 | — | — | — | ||||||||||||||
Class C — Offering price per share (a) | 7.80 | 8.02 | — | 9.53 | ||||||||||||||
Class R5 — Offering and redemption price per share | — | 8.04 | — | — | ||||||||||||||
Select Class — Offering and redemption price per share | 7.74 | 8.04 | — | 9.60 | ||||||||||||||
Institutional Class — Offering and redemption price per share | 7.73 | — | 8.42 | 9.61 | ||||||||||||||
Ultra — Offering and redemption price per share | 7.73 | — | — | — | ||||||||||||||
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)] | $ | 8.12 | $ | 8.34 | $ | — | $ | 9.94 | ||||||||||
Cost of investments in non-affiliates | $ | 534,364 | $ | 317,135 | $ | 58,728 | $ | 81,625 | ||||||||||
Cost of investments in affiliates | 3,439 | 12,045 | 11,208 | 3,389 | ||||||||||||||
Cost of foreign currency | 268 | 44 | — | 158 | ||||||||||||||
Proceeds received from short positions | 60,025 | — | — | — | ||||||||||||||
Premiums received from options written | 2,414 | — | — | 750 | ||||||||||||||
Premiums paid on swaps | 993 | — | 132 | 32 | ||||||||||||||
Premiums received from swaps | 4,180 | — | 71 | 77 |
(a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
(b) | Amount rounds to less than $1,000. |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 40,278 | $ | 188,513 | $ | 12,341 | ||||||||
Investments in affiliates, at value | 5,224 | 14,281 | 1,679 | |||||||||||
Total investment securities, at value | 45,502 | 202,794 | 14,020 | |||||||||||
Cash | 7 | — | 24 | |||||||||||
Foreign currency, at value | 3 | — | — | |||||||||||
Deposits at broker for foreign futures contracts | — | — | — | (b) | ||||||||||
Receivables: | ||||||||||||||
Investment securities sold | — | — | 3,712 | |||||||||||
Fund shares sold | 83 | — | (b) | 3 | ||||||||||
Interest and dividends | 319 | 1,297 | 153 | |||||||||||
Tax reclaims | — | — | — | (b) | ||||||||||
Variation margin on futures contracts | 8 | 25 | 18 | |||||||||||
Outstanding swap contracts, at value | 94 | 143 | 33 | |||||||||||
Due from advisor | — | — | 19 | |||||||||||
Total Assets | 46,016 | 204,259 | 17,982 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Due to custodian | — | 60 | — | |||||||||||
Due to custodian for foreign currency | — | — | (b) | 74 | ||||||||||
Dividends | 95 | 597 | 14 | |||||||||||
Investment securities purchased | — | — | 5,579 | |||||||||||
Securities sold short, at value | — | — | 296 | |||||||||||
Fund shares redeemed | 216 | 492 | 34 | |||||||||||
Variation margin on futures contracts | — | — | 1 | |||||||||||
Outstanding options written, at value | — | — | 165 | |||||||||||
Outstanding swap contracts, at value | — | 64 | 159 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 5 | 42 | — | (b) | ||||||||||
Administration fees | 9 | 5 | — | |||||||||||
Shareholder servicing fees | 6 | 20 | 3 | |||||||||||
Distribution fees | 2 | 43 | 4 | |||||||||||
Custodian and accounting fees | 2 | 10 | 7 | |||||||||||
Trustees’ and Chief Compliance Officers’ fees | 9 | 7 | — | (b) | ||||||||||
Other | 202 | 211 | 95 | |||||||||||
Total Liabilities | 546 | 1,551 | 6,431 | |||||||||||
Net Assets | $ | 45,470 | $ | 202,708 | $ | 11,551 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 187,958 | $ | 254,794 | $ | 27,470 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 4,849 | (84 | ) | 68 | ||||||||||
Accumulated net realized gains (losses) | (99,799 | ) | (34,620 | ) | (15,264 | ) | ||||||||
Net unrealized appreciation (depreciation) | (47,538 | ) | (17,382 | ) | (723 | ) | ||||||||
Total Net Assets | $ | 45,470 | $ | 202,708 | $ | 11,551 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 8,426 | $ | 19,466 | $ | 6,013 | ||||||||
Class B | — | — | 2,393 | |||||||||||
Class C | — | — | 2,154 | |||||||||||
Class M | — | 129,104 | — | |||||||||||
Select Class | 14,744 | 54,138 | 829 | |||||||||||
Institutional Class | 22,300 | — | 162 | |||||||||||
Total | $ | 45,470 | $ | 202,708 | $ | 11,551 | ||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 1,002 | 2,112 | 731 | |||||||||||
Class B | — | — | 291 | |||||||||||
Class C | — | — | 262 | |||||||||||
Class M | — | 14,003 | — | |||||||||||
Select Class | 1,751 | 5,860 | 101 | |||||||||||
Institutional Class | 2,651 | — | 20 | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 8.41 | $ | 9.22 | $ | 8.22 | ||||||||
Class B — Offering price per share (a) | — | — | 8.23 | |||||||||||
Class C — Offering price per share (a) | — | — | 8.23 | |||||||||||
Class M — Offering price per share | — | 9.22 | — | |||||||||||
Select Class — Offering and redemption price per share | 8.42 | 9.24 | 8.23 | |||||||||||
Institutional Class — Offering and redemption price per share | 8.41 | — | 8.21 | |||||||||||
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)] | $ | 8.60 | $ | 9.43 | $ | 8.54 | ||||||||
Class M maximum sales charge | — | 1.50 | % | — | ||||||||||
Class M maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | — | $ | 9.36 | $ | — | ||||||||
Cost of investments in non-affiliates | $ | 87,929 | $ | 205,974 | $ | 13,027 | ||||||||
Cost of investments in affiliates | 5,224 | 14,281 | 1,679 | |||||||||||
Cost of foreign currency | 3 | — | (b) | 1 | ||||||||||
Proceeds received from short positions | — | — | 294 | |||||||||||
Premiums received from options written | — | — | 200 | |||||||||||
Premiums paid on swaps | — | 239 | 5 | |||||||||||
Premiums received from swaps | — | 186 | 26 |
(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 SIX MONTHS ENDED AUGUST 31, 2008 (Unaudited)
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Interest income | $ | 33,970 | $ | 12,825 | $ | 1,211 | $ | 3,775 | ||||||||||
Interest income from affiliates | 16 | — | — | — | ||||||||||||||
Dividend income | 238 | — | — | — | ||||||||||||||
Dividend income from affiliates (a) | 347 | 172 | 223 | 64 | ||||||||||||||
Foreign taxes withheld | — | 36 | — | — | ||||||||||||||
Total investment income | 34,571 | 13,033 | 1,434 | 3,839 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment advisory fees | 1,661 | 1,097 | 101 | 151 | ||||||||||||||
Administration fees | 564 | 160 | 41 | 44 | ||||||||||||||
Distribution fees: | ||||||||||||||||||
Class A | 26 | 14 | — | 10 | ||||||||||||||
Class B | 13 | — | — | — | ||||||||||||||
Class C | 25 | 20 | — | 37 | ||||||||||||||
Shareholder servicing fees: | ||||||||||||||||||
Class A | 26 | 14 | — | 10 | ||||||||||||||
Class B | 4 | — | — | — | ||||||||||||||
Class C | 8 | 7 | — | 12 | ||||||||||||||
Class R5 | — | 6 | — | — | ||||||||||||||
Select Class | 825 | 343 | — | 76 | ||||||||||||||
Institutional Class | 130 | — | 40 | 3 | ||||||||||||||
Custodian and accounting fees | 79 | 67 | 22 | 78 | ||||||||||||||
Interest expense | 12 | — | — | 2 | ||||||||||||||
Professional fees | 66 | 45 | 32 | 57 | ||||||||||||||
Trustees’ and Chief Compliance Officers’ fees | 9 | 2 | 1 | 1 | ||||||||||||||
Printing and mailing costs | 57 | 9 | 2 | 1 | ||||||||||||||
Registration and filing fees | 63 | 33 | 6 | 21 | ||||||||||||||
Transfer agent fees | 99 | 42 | 2 | 25 | ||||||||||||||
Other | 78 | 16 | 9 | 49 | ||||||||||||||
Total expenses | 3,745 | 1,875 | 256 | 577 | ||||||||||||||
Less amounts waived | (485 | ) | — | (175 | ) | (238 | ) | |||||||||||
Less earnings credits | (4 | ) | (1 | ) | — | (b) | — | (b) | ||||||||||
Less expense reimbursements | — | — | — | (b) | (14 | ) | ||||||||||||
Net expenses | 3,256 | 1,874 | 81 | 325 | ||||||||||||||
Net investment income (loss) | 31,315 | 11,159 | 1,353 | 3,514 |
| Bond Fund | | Emerging Markets Debt Fund | | Enhanced Income Fund | | Real Return Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||||
Investments in non-affiliates | $ | (155,704 | ) | $ | (5,556 | ) | $ | (3,010 | ) | $ | (1,369 | ) | ||||||
Investments in affiliates | (778 | ) | — | — | — | |||||||||||||
Securities sold short | 8,657 | — | 40 | 315 | ||||||||||||||
Written options | 7,635 | — | — | 308 | ||||||||||||||
Futures | (7,641 | ) | 1,953 | 128 | (794 | ) | ||||||||||||
Swaps | (15,264 | ) | 18 | (51 | ) | (448 | ) | |||||||||||
Foreign currency transactions | (37 | ) | (453 | ) | — | 7 | ||||||||||||
Net realized gain (loss) | (163,132 | ) | (4,038 | ) | (2,893 | ) | (1,981 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments in non-affiliates | 4,718 | (8,950 | ) | (2,642 | ) | (3,802 | ) | |||||||||||
Investments in affiliates | 585 | — | — | — | ||||||||||||||
Securities sold short | (31 | ) | — | (7 | ) | (59 | ) | |||||||||||
Written options | 5,135 | — | — | 307 | ||||||||||||||
Futures | (2,515 | ) | (833 | ) | (70 | ) | 18 | |||||||||||
Swaps | 1,167 | (743 | ) | (172 | ) | (22 | ) | |||||||||||
Foreign currency translations | 499 | 364 | — | 107 | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,558 | (10,162 | ) | (2,891 | ) | (3,451 | ) | |||||||||||
Net realized/unrealized gains (losses) | (153,574 | ) | (14,200 | ) | (5,784 | ) | (5,432 | ) | ||||||||||
Change in net assets resulting from operations | $ | (122,259 | ) | $ | (3,041 | ) | $ | (4,431 | ) | $ | (1,918 | ) |
(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 SIX MONTHS ENDED AUGUST 31, 2008 (Unaudited) (continued)
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income | $ | 17,714 | $ | 4,670 | $ | 361 | ||||||||
Interest income from affiliates | 51 | 9 | — | |||||||||||
Dividend income from affiliates (a) | 326 | 338 | 20 | |||||||||||
Total investment income | 18,091 | 5,017 | 381 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 887 | 278 | 29 | |||||||||||
Administration fees | 361 | 113 | 6 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 12 | 27 | 8 | |||||||||||
Class B | — | — | 11 | |||||||||||
Class C | — | — | 8 | |||||||||||
Class M | — | 241 | — | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 12 | 27 | 8 | |||||||||||
Class B | — | — | 4 | |||||||||||
Class C | — | — | 3 | |||||||||||
Class M | — | 172 | — | |||||||||||
Select Class | 697 | 79 | 1 | |||||||||||
Institutional Class | 71 | — | — | (b) | ||||||||||
Custodian and accounting fees | 41 | 38 | 62 | |||||||||||
Interest expense | — | (b) | — | — | ||||||||||
Professional fees | 51 | 60 | 36 | |||||||||||
Trustees’ and Chief Compliance Officers’ fees | 4 | 2 | — | (b) | ||||||||||
Printing and mailing costs | 35 | 42 | 2 | |||||||||||
Registration and filing fees | 15 | 16 | 23 | |||||||||||
Transfer agent fees | 31 | 34 | 20 | |||||||||||
Other | 48 | 62 | 21 | |||||||||||
Total expenses | 2,265 | 1,191 | 242 | |||||||||||
Less amounts waived | (479 | ) | (262 | ) | (35 | ) | ||||||||
Less earnings credits | (3 | ) | (1 | ) | — | (b) | ||||||||
Less expense reimbursements | — | — | (124 | ) | ||||||||||
Net expenses | 1,783 | 928 | 83 | |||||||||||
Net investment income (loss) | 16,308 | 4,089 | 298 |
| Short Term Bond Fund | | Short Term Bond Fund II | | Strategic Income Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments in non-affiliates | $ | (44,566 | ) | $ | (3,690 | ) | $ | (325 | ) | |||||
Investments in affiliates | (802 | ) | (144 | ) | — | |||||||||
Securities sold short | 1,846 | — | 102 | |||||||||||
Written options | 1,796 | 145 | (36 | ) | ||||||||||
Futures | (4,332 | ) | (65 | ) | (43 | ) | ||||||||
Swaps | 3,215 | (327 | ) | (74 | ) | |||||||||
Foreign currency transactions | (13 | ) | — | 10 | ||||||||||
Net realized gain (loss) | (42,856 | ) | (4,081 | ) | (366 | ) | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments in non-affiliates | (9,330 | ) | (5,351 | ) | (330 | ) | ||||||||
Investments in affiliates | (63 | ) | (5 | ) | — | |||||||||
Securities sold short | (1,942 | ) | — | (4 | ) | |||||||||
Written options | 2,156 | 374 | 47 | |||||||||||
Futures | (383 | ) | (248 | ) | (3 | ) | ||||||||
Swaps | (9,626 | ) | (1,356 | ) | 2 | |||||||||
Foreign currency translations | (6 | ) | — | 7 | ||||||||||
Change in net unrealized appreciation (depreciation) | (19,194 | ) | (6,586 | ) | (281 | ) | ||||||||
Net realized/unrealized gains (losses) | (62,050 | ) | (10,667 | ) | (647 | ) | ||||||||
Change in net assets resulting from operations | $ | (45,742 | ) | $ | (6,578 | ) | $ | (349 | ) |
(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 | Enhanced Income Fund | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 31,315 | $ | 117,741 | $ | 11,159 | $ | 17,161 | $ | 1,353 | $ | 8,234 | |||||||||||||||
Net realized gain (loss) | (163,132 | ) | (12,726 | ) | (4,038 | ) | 513 | (2,893 | ) | (3,805 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 9,558 | (116,371 | ) | (10,162 | ) | (8,893 | ) | (2,891 | ) | (7,554 | ) | ||||||||||||||||
Change in net assets resulting from operations | (122,259 | ) | (11,356 | ) | (3,041 | ) | 8,781 | (4,431 | ) | (3,125 | ) | ||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (653 | ) | (1,302 | ) | (416 | ) | (543 | ) | — | — | |||||||||||||||||
From net realized gains | — | — | — | (205 | ) | — | — | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
From net investment income | (103 | ) | (173 | ) | — | — | — | — | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
From net investment income | (186 | ) | (306 | ) | (166 | ) | (217 | ) | — | — | |||||||||||||||||
From net realized gains | — | — | — | (79 | ) | — | — | ||||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||
From net investment income | — | — | (821 | ) | (1,294 | ) | — | — | |||||||||||||||||||
From net realized gains | — | — | — | (363 | ) | — | — | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (18,668 | ) | (82,232 | ) | (9,901 | ) | (14,385 | ) | — | — | |||||||||||||||||
From net realized gains | — | — | — | (4,326 | ) | — | — | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | (8,467 | ) | (21,498 | ) | — | — | (1,229 | ) | (8,070 | ) | |||||||||||||||||
From net realized gains | — | — | — | — | — | (189 | ) | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
From net investment income | (5,142 | ) | (9,393 | ) | — | — | — | — | |||||||||||||||||||
Total distributions to shareholders | (33,219 | ) | (114,904 | ) | (11,304 | ) | (21,412 | ) | (1,229 | ) | (8,259 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | (1,180,489 | ) | (244,149 | ) | 34,194 | 175,875 | (43,831 | ) | (68,540 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | (1,335,967 | ) | (370,409 | ) | 19,849 | 163,244 | (49,491 | ) | (79,924 | ) | |||||||||||||||||
Beginning of period | 1,679,550 | 2,049,959 | 300,722 | 137,478 | 103,178 | 183,102 | |||||||||||||||||||||
End of period | $ | 343,583 | $ | 1,679,550 | $ | 320,571 | $ | 300,722 | $ | 53,687 | $ | 103,178 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 6,200 | $ | 8,104 | $ | 825 | $ | 970 | $ | (49 | ) | $ | (173 | ) |
Real Return Fund | Short Term Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 3,514 | $ | 3,897 | $ | 16,308 | $ | 85,886 | |||||||||||
Net realized gain (loss) | (1,981 | ) | 585 | (42,856 | ) | (28,575 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (3,451 | ) | 4,183 | (19,194 | ) | (32,299 | ) | ||||||||||||
Change in net assets resulting from operations | (1,918 | ) | 8,665 | (45,742 | ) | 25,012 | |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (282 | ) | (63 | ) | (258 | ) | (548 | ) | |||||||||||
Class C | |||||||||||||||||||
From net investment income | (320 | ) | (23 | ) | — | — | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (2,057 | ) | (3,530 | ) | (10,680 | ) | (63,417 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | (236 | ) | (359 | ) | (3,106 | ) | (21,722 | ) | |||||||||||
Total distributions to shareholders | (2,895 | ) | (3,975 | ) | (14,044 | ) | (85,687 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 11,366 | 4,482 | (966,738 | ) | (520,629 | ) | |||||||||||||
NET ASSETS | |||||||||||||||||||
Change in net assets | 6,553 | 9,172 | (1,026,524 | ) | (581,304 | ) | |||||||||||||
Beginning of period | 77,695 | 68,523 | 1,071,994 | 1,653,298 | |||||||||||||||
End of period | $ | 84,248 | $ | 77,695 | $ | 45,470 | $ | 1,071,994 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 957 | $ | 338 | $ | 4,849 | $ | 2,585 |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund II | Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 4,089 | $ | 14,171 | $ | 298 | $ | 1,089 | |||||||||||
Net realized gain (loss) | (4,081 | ) | 3,124 | (366 | ) | (395 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (6,586 | ) | (8,617 | ) | (281 | ) | (880 | ) | |||||||||||
Change in net assets resulting from operations | (6,578 | ) | 8,678 | (349 | ) | (186 | ) | ||||||||||||
Net equalization credits (debits) | (77 | ) | (204 | ) | (3 | ) | (18 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (404 | ) | (1,177 | ) | (205 | ) | (380 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | — | — | (91 | ) | (215 | ) | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | — | — | (67 | ) | (121 | ) | |||||||||||||
Class M | |||||||||||||||||||
From net investment income | (2,406 | ) | (6,753 | ) | — | (40 | ) | ||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (1,219 | ) | (6,250 | ) | (31 | ) | (87 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
From net investment income | — | — | (21 | ) | (184 | ) | |||||||||||||
Total distributions to shareholders | (4,029 | ) | (14,180 | ) | (415 | ) | (1,027 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | (36,405 | ) | (96,618 | ) | (2,956 | ) | (8,100 | ) | |||||||||||
NET ASSETS | |||||||||||||||||||
Change in net assets | (47,089 | ) | (102,324 | ) | (3,723 | ) | (9,331 | ) | |||||||||||
Beginning of period | 249,797 | 352,121 | 15,274 | 24,605 | |||||||||||||||
End of period | $ | 202,708 | $ | 249,797 | $ | 11,551 | $ | 15,274 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (84 | ) | $ | (144 | ) | $ | 68 | $ | 185 |
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 3,217 | $ | 20,591 | $ | 8,290 | $ | 15,321 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 545 | 1,043 | 324 | 579 | — | — | |||||||||||||||||||||
Cost of shares redeemed | (8,506 | ) | (14,713 | ) | (3,528 | ) | (9,276 | ) | — | — | |||||||||||||||||
Redemption fees | — | — | 1 | 1 | — | — | |||||||||||||||||||||
Change in net assets from Class A capital transactions | $ | (4,744 | ) | $ | 6,921 | $ | 5,087 | $ | 6,625 | $ | — | $ | — | ||||||||||||||
Class B | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 173 | $ | 2,256 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 71 | 124 | — | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (747 | ) | (1,593 | ) | — | — | — | — | |||||||||||||||||||
Change in net assets from Class B capital transactions | $ | (503 | ) | $ | 787 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Class C | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,547 | $ | 6,191 | $ | 892 | $ | 4,511 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 129 | 186 | 125 | 237 | — | — | |||||||||||||||||||||
Cost of shares redeemed | (3,045 | ) | (3,436 | ) | (983 | ) | (710 | ) | — | — | |||||||||||||||||
Redemption fees | — | — | — | (a) | 1 | — | — | ||||||||||||||||||||
Change in net assets from Class C capital transactions | $ | (1,369 | ) | $ | 2,941 | $ | 34 | $ | 4,039 | $ | — | $ | — | ||||||||||||||
Class R5 | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 348 | $ | 14,037 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | — | — | 821 | 1,657 | — | — | |||||||||||||||||||||
Cost of shares redeemed | — | — | — | (a) | (935 | ) | — | — | |||||||||||||||||||
Redemption fees | — | — | 1 | 4 | — | — | |||||||||||||||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | 1,170 | $ | 14,763 | $ | — | $ | — | |||||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 61,263 | $ | 716,798 | $ | 65,042 | $ | 198,351 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 7,709 | 26,966 | 1,793 | 6,144 | — | — | |||||||||||||||||||||
Cost of shares redeemed | (652,495 | ) | (995,991 | ) | (38,946 | ) | (54,085 | ) | — | — | |||||||||||||||||
Redemptions in-kind (Note 8) | (359,805 | ) | — | — | — | — | — | ||||||||||||||||||||
Redemption fees | — | — | 14 | 38 | — | — | |||||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | (943,328 | ) | $ | (252,227 | ) | $ | 27,903 | $ | 150,448 | $ | — | $ | — | |||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 24,741 | $ | 166,454 | $ | — | $ | — | $ | 300 | $ | 94,077 | |||||||||||||||
Dividends and distributions reinvested | 6,611 | 13,089 | — | — | 742 | 5,748 | |||||||||||||||||||||
Cost of shares redeemed | (153,446 | ) | (205,895 | ) | — | — | (44,873 | ) | (168,365 | ) | |||||||||||||||||
Redemptions in-kind (Note 8) | (51,776 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | (173,870 | ) | $ | (26,352 | ) | $ | — | $ | — | $ | (43,831 | ) | $ | (68,540 | ) | |||||||||||
Ultra | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 22,537 | $ | 46,145 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 3,253 | 5,205 | — | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (35,258 | ) | (27,569 | ) | — | — | — | — | |||||||||||||||||||
Redemptions in-kind (Note 8) | (47,207 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in net assets from Ultra capital transactions | $ | (56,675 | ) | $ | 23,781 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Total change in net assets from capital transactions | $ | (1,180,489 | ) | $ | (244,149 | ) | $ | 34,194 | $ | 175,875 | $ | (43,831 | ) | $ | (68,540 | ) |
(a) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Bond Fund | Emerging Markets Debt Fund | Enhanced Income Fund | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 398 | 2,226 | 1,007 | 1,738 | — | — | |||||||||||||||||||||
Reinvested | 66 | 114 | 40 | 68 | — | — | |||||||||||||||||||||
Redeemed | (1,019 | ) | (1,611 | ) | (433 | ) | (1,085 | ) | — | — | |||||||||||||||||
Change in Class A Shares | (555 | ) | 729 | 614 | 721 | — | — | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Issued | 21 | 247 | — | — | — | — | |||||||||||||||||||||
Reinvested | 9 | 14 | — | — | — | — | |||||||||||||||||||||
Redeemed | (90 | ) | (176 | ) | — | — | — | — | |||||||||||||||||||
Change in Class B Shares | (60 | ) | 85 | — | — | — | — | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Issued | 184 | 675 | 108 | 515 | — | — | |||||||||||||||||||||
Reinvested | 16 | 21 | 15 | 28 | — | — | |||||||||||||||||||||
Redeemed | (367 | ) | (378 | ) | (120 | ) | (83 | ) | — | — | |||||||||||||||||
Change in Class C Shares | (167 | ) | 318 | 3 | 460 | — | — | ||||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||
Issued | — | — | 42 | 1,586 | — | — | |||||||||||||||||||||
Reinvested | — | — | 101 | 193 | — | — | |||||||||||||||||||||
Redeemed | — | — | — | (a) | (106 | ) | — | — | |||||||||||||||||||
Change in Class R5 Shares | — | — | 143 | 1,673 | — | — | |||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 7,278 | 78,063 | 7,923 | 22,695 | — | — | |||||||||||||||||||||
Reinvested | 932 | 2,987 | 221 | 717 | — | — | |||||||||||||||||||||
Redeemed | (78,985 | ) | (110,580 | ) | (4,745 | ) | (6,279 | ) | — | — | |||||||||||||||||
Redemptions in-kind (Note 8) | (46,607 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in Select Class Shares | (117,382 | ) | (29,530 | ) | 3,399 | 17,133 | — | — | |||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | 2,959 | 18,319 | — | — | 36 | 9,634 | |||||||||||||||||||||
Reinvested | 810 | 1,449 | — | — | 86 | 602 | |||||||||||||||||||||
Redeemed | (18,543 | ) | (22,790 | ) | — | — | (5,224 | ) | (17,529 | ) | |||||||||||||||||
Redemptions in-kind (Note 8) | (6,707 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in Institutional Class Shares | (21,481 | ) | (3,022 | ) | — | — | (5,102 | ) | (7,293 | ) | |||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Issued | 2,751 | 5,126 | — | — | — | — | |||||||||||||||||||||
Reinvested | 400 | 576 | — | — | — | — | |||||||||||||||||||||
Redeemed | (4,366 | ) | (3,082 | ) | — | — | — | — | |||||||||||||||||||
Redemptions in-kind (Note 8) | (6,115 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in Ultra Shares | (7,330 | ) | 2,620 | — | — | — | — |
(a) | Amount rounds to less than 1,000. |
Real Return Fund | Short Term Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 7,632 | $ | 4,834 | $ | 1,242 | $ | 10,776 | |||||||||||
Dividends and distributions reinvested | 259 | 49 | 236 | 514 | |||||||||||||||
Cost of shares redeemed | (3,661 | ) | (481 | ) | (3,174 | ) | (8,426 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | 4,230 | $ | 4,402 | $ | (1,696 | ) | $ | 2,864 | ||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 11,571 | $ | 3,908 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 228 | 20 | — | — | |||||||||||||||
Cost of shares redeemed | (4,843 | ) | (26 | ) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | 6,956 | $ | 3,902 | $ | — | $ | — | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 4,370 | $ | 4,331 | $ | 61,088 | $ | 500,278 | |||||||||||
Dividends and distributions reinvested | 2,056 | 3,530 | 756 | 3,886 | |||||||||||||||
Cost of shares redeemed | (6,484 | ) | (12,106 | ) | (557,088 | ) | (816,136 | ) | |||||||||||
Redemptions in-kind (Note 8) | — | — | (275,798 | ) | — | ||||||||||||||
Change in net assets from Select Class capital transactions | $ | (58 | ) | $ | (4,245 | ) | $ | (771,042 | ) | $ | (311,972 | ) | |||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | 197 | $ | 363 | $ | 29,787 | $ | 128,940 | |||||||||||
Dividends and distributions reinvested | 41 | 60 | 1,734 | 11,725 | |||||||||||||||
Cost of shares redeemed | — | (a) | — | (166,724 | ) | (352,186 | ) | ||||||||||||
Redemptions in-kind (Note 8) | — | — | (58,797 | ) | — | ||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | 238 | $ | 423 | $ | (194,000 | ) | $ | (211,521 | ) | |||||||||
Total change in net assets from capital transactions | $ | 11,366 | $ | 4,482 | $ | (966,738 | ) | $ | (520,629 | ) |
(a) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Real Return Fund | Short Term Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 771 | 490 | 141 | 1,148 | |||||||||||||||
Reinvested | 27 | 5 | 27 | 55 | |||||||||||||||
Redeemed | (378 | ) | (50 | ) | (357 | ) | (906 | ) | |||||||||||
Change in Class A Shares | 420 | 445 | (189 | ) | 297 | ||||||||||||||
Class C | |||||||||||||||||||
Issued | 1,174 | 397 | — | — | |||||||||||||||
Reinvested | 24 | 2 | — | — | |||||||||||||||
Redeemed | (504 | ) | (3 | ) | — | — | |||||||||||||
Change in Class C Shares | 694 | 396 | — | — | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 449 | 460 | 7,042 | 52,766 | |||||||||||||||
Reinvested | 212 | 372 | 86 | 415 | |||||||||||||||
Redeemed | (666 | ) | (1,244 | ) | (63,856 | ) | (87,596 | ) | |||||||||||
Redemptions in-kind (Note 8) | — | — | (32,033 | ) | — | ||||||||||||||
Change in Select Class Shares | (5 | ) | (412 | ) | (88,761 | ) | (34,415 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
Issued | 20 | 38 | 3,442 | 13,637 | |||||||||||||||
Reinvested | 4 | 7 | 198 | 1,250 | |||||||||||||||
Redeemed | — | (a) | — | (19,033 | ) | (37,736 | ) | ||||||||||||
Redemptions in-kind (Note 8) | — | — | (6,837 | ) | — | ||||||||||||||
Change in Institutional Class Shares | 24 | 45 | (22,230 | ) | (22,849 | ) |
(a) | Amount rounds to less than 1,000. |
Short Term Bond Fund II | Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 1,366 | $ | 6,310 | $ | 750 | $ | 1,979 | |||||||||||
Dividends and distributions reinvested | 387 | 1,118 | 113 | 211 | |||||||||||||||
Cost of shares redeemed | (3,925 | ) | (8,955 | ) | (848 | ) | (3,096 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | (2,172 | ) | $ | (1,527 | ) | $ | 15 | $ | (906 | ) | ||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 134 | $ | 422 | |||||||||||
Dividends and distributions reinvested | — | — | 54 | 131 | |||||||||||||||
Cost of shares redeemed | — | — | (1,110 | ) | (2,283 | ) | |||||||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (922 | ) | $ | (1,730 | ) | |||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 439 | $ | 676 | |||||||||||
Dividends and distributions reinvested | — | — | 44 | 77 | |||||||||||||||
Cost of shares redeemed | — | — | (382 | ) | (1,528 | ) | |||||||||||||
Change in net assets from Class C capital transactions | $ | — | $ | — | $ | 101 | $ | (775 | ) | ||||||||||
Class M | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | 1 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | — | (a) | — | (a) | — | — | |||||||||||||
Cost of shares redeemed | (8,472 | ) | (28,875 | ) | — | (2,948 | ) | ||||||||||||
Change in net assets from Class M capital transactions | $ | (8,472 | ) | $ | (28,874 | ) | $ | — | $ | (2,948 | ) | ||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 175 | $ | 8,986 | $ | 6 | $ | 245 | |||||||||||
Dividends and distributions reinvested | 54 | 272 | 25 | 74 | |||||||||||||||
Cost of shares redeemed | (25,990 | ) | (75,475 | ) | (234 | ) | (761 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | (25,761 | ) | $ | (66,217 | ) | $ | (203 | ) | $ | (442 | ) | |||||||
Institutional Class | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | (a) | $ | 867 | ||||||||||
Dividends and distributions reinvested | — | — | 9 | 71 | |||||||||||||||
Cost of shares redeemed | — | — | (1,956 | ) | (2,237 | ) | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | (1,947 | ) | $ | (1,299 | ) | |||||||||
Total change in net assets from capital transactions | $ | (36,405 | ) | $ | (96,618 | ) | $ | (2,956 | ) | $ | (8,100 | ) |
(a) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Short Term Bond Fund II | Strategic Income Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | | Six Months Ended 8/31/2008 (Unaudited) | | Year Ended 2/29/2008 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 146 | 642 | 89 | 220 | |||||||||||||||
Reinvested | 41 | 115 | 13 | 24 | |||||||||||||||
Redeemed | (420 | ) | (916 | ) | (100 | ) | (349 | ) | |||||||||||
Change in Class A Shares | (233 | ) | (159 | ) | 2 | (105 | ) | ||||||||||||
Class B | |||||||||||||||||||
Issued | — | — | 16 | 46 | |||||||||||||||
Reinvested | — | — | 7 | 15 | |||||||||||||||
Redeemed | — | — | (132 | ) | (256 | ) | |||||||||||||
Change in Class B Shares | — | — | (109 | ) | (195 | ) | |||||||||||||
Class C | |||||||||||||||||||
Issued | — | — | 53 | 76 | |||||||||||||||
Reinvested | — | — | 5 | 9 | |||||||||||||||
Redeemed | — | — | (46 | ) | (170 | ) | |||||||||||||
Change in Class C Shares | — | — | 12 | (85 | ) | ||||||||||||||
Class M | �� | ||||||||||||||||||
Issued | — | — | (a) | — | — | ||||||||||||||
Reinvested | — | (a) | — | (a) | — | — | |||||||||||||
Redeemed | (907 | ) | (2,950 | ) | — | (324 | ) | ||||||||||||
Change in Class M Shares | (907 | ) | (2,950 | ) | — | (324 | ) | ||||||||||||
Select Class | |||||||||||||||||||
Issued | 19 | 914 | 1 | 27 | |||||||||||||||
Reinvested | 6 | 28 | 3 | 8 | |||||||||||||||
Redeemed | (2,743 | ) | (7,736 | ) | (28 | ) | (86 | ) | |||||||||||
Change in Select Class Shares | (2,718 | ) | (6,794 | ) | (24 | ) | (51 | ) | |||||||||||
Institutional Class | |||||||||||||||||||
Issued | — | — | — | (a) | 99 | ||||||||||||||
Reinvested | — | — | 1 | 8 | |||||||||||||||
Redeemed | — | — | (229 | ) | (257 | ) | |||||||||||||
Change in Institutional Class Shares | — | — | (228 | ) | (150 | ) |
(a) | Amount rounds to less than 1,000. |
FOR THE SIX MONTHS ENDED AUGUST 31, 2008 (Unaudited)
| Short Term Bond Fund | ||||||
---|---|---|---|---|---|---|---|
INCREASE (DECREASE) IN CASH | |||||||
Cash flows used by operating activities: | |||||||
Net decrease in net assets from operations | $ | (45,742 | ) | ||||
Adjustments to reconcile net decrease in net assets from operations to net cash provided (used) by operating activities: | |||||||
Purchase of investment securities | (1,970,962 | ) | |||||
Proceeds from disposition of investment securities | 3,229,286 | ||||||
Covers of investment securities sold short | (2,273,472 | ) | |||||
Proceeds from disposition of investment securities sold short | 1,615,610 | ||||||
Purchases of short-term investments, net | 26,988 | ||||||
Decrease in premiums received on written options | (7,485 | ) | |||||
Decrease in premiums paid/received on swaps | (160 | ) | |||||
Decrease in unrealized appreciation/depreciation on swap contracts | 9,626 | ||||||
Decrease in unrealized appreciation/depreciation on investments | 9,393 | ||||||
Decrease in unrealized appreciation/depreciation on securities sold short | 1,942 | ||||||
Decrease in unrealized appreciation/depreciation on foreign currency translations | 6 | ||||||
Increase in unrealized appreciation/depreciation on written options | (2,156 | ) | |||||
Realized gain/loss on investments | 45,368 | ||||||
Realized gain/loss on investment securities sold short | (1,846 | ) | |||||
Realized gain/loss on swap contracts | (3,215 | ) | |||||
Realized gain/loss on written options | (1,796 | ) | |||||
Decrease in receivable for investments sold | 937,977 | ||||||
Decrease in interest and dividends receivable | 10,778 | ||||||
Decrease in variation margin receivable | 2,865 | ||||||
Decrease in payable for investments purchased | (879,314 | ) | |||||
Decrease in dividends and distributions payable | (3,750 | ) | |||||
Decrease in variation margin payable | (2,210 | ) | |||||
Decrease in accrued expenses and other liabilities | (323 | ) | |||||
Net amortization/accretion of income | 309 | ||||||
Net cash provided (used) by operating activities | 697,717 | ||||||
Cash flows provided (used) by financing activities: | |||||||
Net proceeds from shares issued | 92,362 | ||||||
Net cost of shares redeemed | (779,776 | ) | |||||
Cash distributions paid (net of reinvestments of $2,726) | (11,318 | ) | |||||
Net cash provided (used) by financing activities | (698,732 | ) | |||||
Net decrease in cash | (1,015 | ) | |||||
Cash: | |||||||
Beginning of period (including foreign currency of $8) | 1,025 | ||||||
End of period (including foreign currency of $3) | $ | 10 |
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 | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 8.87 | $ | 0.22 | (g) | $ | (1.00 | ) | $ | (0.78 | ) | $ | (0.27 | ) | $ | — | $ | — | $ | (0.27 | ) | ||||||||||||||
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 | ) | ||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.80 | 0.19 | (g) | (0.99 | ) | (0.80 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.85 | 0.19 | (g) | (1.00 | ) | (0.81 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.78 | 0.24 | (g) | (1.01 | ) | (0.77 | ) | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||
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 | ) |
(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) | |||||||||||||||||||||||||||
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) | |||||||||||||||
$7.82 | (8.91 | )% | $ | 18,211 | 0.75 | % | 5.32 | % | 0.99 | % | 360 | % | |||||||||||||||
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 | |||||||||||||||||||||
7.76 | (9.17 | ) | 3,155 | 1.40 | 4.65 | 1.49 | 360 | ||||||||||||||||||||
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 | |||||||||||||||||||||
7.80 | (9.23 | ) | 5,450 | 1.40 | 4.66 | 1.49 | 360 | ||||||||||||||||||||
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 | ||||||||||||||||||||
7.74 | (8.86 | ) | 76,636 | 0.65 | 5.67 | 0.73 | 360 | ||||||||||||||||||||
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 |
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 (continued) | |||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 8.77 | $ | 0.23 | (g) | $ | (0.99 | ) | $ | (0.76 | ) | $ | (0.28 | ) | $ | — | $ | — | $ | (0.28 | ) | ||||||||||||||
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 | ) | |||||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.77 | 0.24 | (g) | (1.00 | ) | (0.76 | ) | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||||
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. |
(f) | Commencement of offering of class of shares. |
(g) | Calculated based on average shares outstanding. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$7.73 | (8.78 | )% | $ | 141,811 | 0.49 | % | 5.62 | % | 0.59 | % | 360 | % | |||||||||||||||
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 | |||||||||||||||||||||
7.73 | (8.74 | ) | 98,320 | 0.40 | 5.68 | 0.49 | 360 | ||||||||||||||||||||
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 |
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 | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 8.41 | $ | 0.27 | $ | (0.37 | ) | $ | (0.10 | ) | $ | (0.28 | ) | $ | — | $ | — | $ | (0.28 | ) | |||||||||||||||
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 | ) | |||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.40 | 0.26 | (0.38 | ) | (0.12 | ) | (0.26 | ) | — | — | (0.26 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.42 | 0.30 | (0.38 | ) | (0.08 | ) | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||||||
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 (e) | 8.39 | 0.24 | 0.36 | 0.60 | (0.23 | ) | (0.03 | ) | — | (0.26 | ) | ||||||||||||||||||||||||
May 15, 2006 (f) through August 31, 2006 | 8.07 | 0.14 | 0.33 | 0.47 | (0.15 | ) | — | — | (0.15 | ) | |||||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.42 | 0.29 | (0.38 | ) | (0.09 | ) | (0.29 | ) | — | — | (0.29 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Enhanced Income Fund | |||||||||||||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.99 | 0.14 | (0.57 | ) | (0.43 | ) | (0.14 | ) | — | — | (0.14 | ) | |||||||||||||||||||||||
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 | ) |
(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) | Amount rounds to less than $0.01. |
(h) | Voluntary contribution from Advisor. The total return without the voluntary contribution would have been 10.46%. |
(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 (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) | ||||||||||||||||||||
$— | $ | — | (g) | $ | 8.03 | (1.15 | )% | $ | 12,700 | 1.44 | % | 7.01 | % | 1.44 | % | 23 | % | |||||||||||||||||||
— | — | (g) | 8.41 | 4.22 | 8,140 | 1.47 | 7.22 | 1.47 | 80 | |||||||||||||||||||||||||||
— | — | (g) | 8.73 | 6.96 | 2,154 | 1.50 | 5.20 | 1.59 | 68 | |||||||||||||||||||||||||||
— | — | (g) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | |||||||||||||||||||||||||||
— | — | (g) | 8.02 | (1.40 | ) | 4,943 | 1.93 | 6.36 | 1.93 | 23 | ||||||||||||||||||||||||||
— | — | (g) | 8.40 | 3.63 | 5,154 | 1.97 | 6.50 | 1.98 | 80 | |||||||||||||||||||||||||||
— | — | (g) | 8.73 | 6.73 | 1,332 | 2.00 | 4.66 | 2.09 | 68 | |||||||||||||||||||||||||||
— | — | (g) | 8.39 | 6.77 | 27 | 2.00 | 5.87 | 2.20 | 270 | |||||||||||||||||||||||||||
— | — | (g) | 8.04 | (0.92 | ) | 22,486 | 0.99 | 7.31 | 0.99 | 23 | ||||||||||||||||||||||||||
— | — | (g) | 8.42 | 4.79 | 22,347 | 1.02 | 7.25 | 1.03 | 80 | |||||||||||||||||||||||||||
— | — | (g) | 8.73 | 7.15 | 8,571 | 1.05 | 5.42 | 1.14 | 68 | |||||||||||||||||||||||||||
— | — | (g) | 8.39 | 5.88 | 2,426 | 1.05 | 7.23 | 1.23 | 270 | |||||||||||||||||||||||||||
— | — | (g) | 8.04 | (1.02 | ) | 280,442 | 1.19 | 7.10 | 1.19 | 23 | ||||||||||||||||||||||||||
— | — | (g) | 8.42 | 4.48 | 265,081 | 1.22 | 7.10 | 1.23 | 80 | |||||||||||||||||||||||||||
— | — | (g) | 8.74 | 7.17 | 125,421 | 1.25 | 4.98 | 1.35 | 68 | |||||||||||||||||||||||||||
0.04(h) | — | (g) | 8.39 | 10.99 | (h) | 117,423 | 1.26 | (i) | 5.77 | 1.42 | 270 | |||||||||||||||||||||||||
— | — | (g) | 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 | ||||||||||||||||||||||||||||
— | — | 8.42 | (4.85 | ) | 53,687 | 0.20 | 3.34 | 0.63 | 92 | |||||||||||||||||||||||||||
— | — | 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 |
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 | ||||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 10.13 | $ | 0.37 | $ | (0.61 | ) | $ | (0.24 | ) | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | |||||||||||||
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 (f) | 10.00 | 0.42 | (0.46 | ) | (0.04 | ) | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 10.08 | 0.33 | (0.58 | ) | (0.25 | ) | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||||
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 (f) | 10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 10.16 | 0.41 | (0.64 | ) | (0.23 | ) | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||
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 | ) | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 10.17 | 0.41 | (0.63 | ) | (0.22 | ) | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 9.19 | 0.24 | (g) | (0.77 | ) | (0.53 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 9.20 | 0.20 | (g) | (0.73 | ) | (0.53 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
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 | ) | ||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 9.19 | 0.22 | (g) | (0.73 | ) | (0.51 | ) | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
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 | ) |
(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. |
| 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) | |||||||||||||||
$9.57 | (2.36 | )% | $ | 8,904 | 0.90 | % | 8.10 | % | 1.48 | % | 197 | % | |||||||||||||||
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 | ||||||||||||||||||||
9.53 | (2.49 | ) | 10,413 | 1.40 | 7.62 | 1.98 | 197 | ||||||||||||||||||||
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 | ||||||||||||||||||||
9.60 | (2.23 | ) | 58,127 | 0.65 | 8.20 | 1.24 | 197 | ||||||||||||||||||||
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 | |||||||||||||||||||||
9.61 | (2.15 | ) | 6,804 | 0.50 | 8.33 | 1.09 | 197 | ||||||||||||||||||||
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 | |||||||||||||||||||||
8.41 | (5.81 | ) | 8,426 | 0.75 | 5.33 | 0.92 | 229 | ||||||||||||||||||||
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 | |||||||||||||||||||||
8.42 | (5.79 | ) | 14,744 | 0.55 | 4.50 | 0.66 | 229 | ||||||||||||||||||||
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 | |||||||||||||||||||||
8.41 | (5.59 | ) | 22,300 | 0.30 | 4.87 | 0.51 | 229 | ||||||||||||||||||||
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 |
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 | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 9.66 | $ | 0.18 | $ | (0.44 | ) | $ | (0.26 | ) | $ | (0.18 | ) | $ | — | $ | — | $ | (0.18 | ) | |||||||||||||||
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 | (g) | 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 | (g) | (0.02 | ) | 0.19 | (0.21 | ) | — | — | (h) | (0.21 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.23 | (g) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | — | (h) | (0.29 | ) | |||||||||||||||||||||
Class M | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 9.66 | 0.16 | (0.43 | ) | (0.27 | ) | (0.17 | ) | — | — | (0.17 | ) | |||||||||||||||||||||||
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 | (g) | 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 | (g) | (0.02 | ) | 0.16 | (0.18 | ) | — | — | (h) | (0.18 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.33 | 0.21 | (g) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | — | (h) | (0.27 | ) | |||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 9.68 | 0.24 | (0.49 | ) | (0.25 | ) | (0.19 | ) | — | — | (0.19 | ) | |||||||||||||||||||||||
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 | (g) | 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 | (g) | (0.03 | ) | 0.20 | (0.23 | ) | — | — | (h) | (0.23 | ) | ||||||||||||||||||||||
Year Ended August 31, 2003 | 10.35 | 0.27 | (g) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | — | (h) | (0.32 | ) | |||||||||||||||||||||
Strategic Income Fund | �� | ||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.72 | 0.20 | (g) | (0.42 | ) | (0.22 | ) | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.51 | (g) | (0.54 | ) | (0.03 | ) | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.11 | 0.22 | (g) | 0.15 | 0.37 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.43 | (g) | (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 | (g) | 0.15 | 0.63 | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.64 | 0.40 | (g) | 0.31 | 0.71 | (0.43 | ) | — | — | (0.43 | ) | ||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.72 | 0.18 | (g) | (0.41 | ) | (0.23 | ) | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||
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. |
(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 (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) | | |||||||||||||||||||||
$— | $ | 9.22 | (2.72 | )% | $ | 19,466 | 0.75 | % | 3.75 | % | 1.08 | % | 52 | % | ||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | 9.22 | (2.85 | ) | 129,104 | 1.00 | 3.50 | 1.18 | 52 | ||||||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | 9.24 | (2.59 | ) | 54,138 | 0.50 | 4.00 | 0.83 | 52 | ||||||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | 8.22 | (2.51 | ) | 6,013 | 1.14 | 4.73 | 3.64 | 259 | ||||||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | (h) | 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 | (i) | 5.31 | 4.23 | 152 | ||||||||||||||||||||||||||||
— | 8.92 | 8.33 | 300 | 1.25 | 4.45 | 7.26 | 248 | |||||||||||||||||||||||||||||
— | 8.23 | (2.62 | ) | 2,393 | 1.64 | 4.35 | 4.12 | 259 | ||||||||||||||||||||||||||||
— | 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 | | Tax return of capital | | Total distributions | ||||||||||||||||||||
Strategic Income Fund (continued) | |||||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | $ | 8.72 | $ | 0.18 | (g) | $ | (0.41 | ) | $ | (0.23 | ) | $ | (0.26 | ) | $ | — | $ | — | $ | (0.26 | ) | ||||||||||||||
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) | 9.12 | 0.20 | (g) | 0.13 | 0.33 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.38 | (g) | (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 | ) | |||||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.72 | 0.21 | (g) | (0.41 | ) | (0.20 | ) | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 9.24 | 0.53 | (g) | (0.54 | ) | (0.01 | ) | (0.51 | ) | — | — | (0.51 | ) | ||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (e) | 9.12 | 0.23 | (g) | 0.14 | 0.37 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2006 | 9.33 | 0.45 | (g) | (0.13 | ) | 0.32 | (0.53 | ) | — | — | (0.53 | ) | |||||||||||||||||||||||
Year Ended August 31, 2005 | 9.08 | 0.46 | 0.19 | 0.65 | (0.40 | ) | — | — | (0.40 | ) | |||||||||||||||||||||||||
Year Ended August 31, 2004 | 8.92 | 0.49 | (g) | 0.16 | 0.65 | (0.49 | ) | — | — | (0.49 | ) | ||||||||||||||||||||||||
Year Ended August 31, 2003 | 8.65 | 0.45 | (g) | 0.27 | 0.72 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2008 (Unaudited) | 8.72 | 0.28 | (g) | (0.48 | ) | (0.20 | ) | (0.31 | ) | — | — | (0.31 | ) | ||||||||||||||||||||||
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 offering of class of shares. |
(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 (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) | | |||||||||||||||||||||
$— | �� | $ | 8.23 | (2.62 | )% | $ | 2,154 | 1.64 | % | 4.19 | % | 4.14 | % | 259 | % | |||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | (h) | 9.12 | 2.82 | 3,285 | 1.65 | 4.20 | 4.16 | 299 | ||||||||||||||||||||||||||||
— | 9.33 | 2.88 | 2,631 | 1.65 | 3.91 | 2.42 | 461 | |||||||||||||||||||||||||||||
— | 8.23 | (2.26 | ) | 829 | 0.89 | 5.03 | 3.38 | 259 | ||||||||||||||||||||||||||||
— | 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 | |||||||||||||||||||||||||||||
— | (h) | 9.12 | 3.58 | 1,796 | 0.90 | 4.94 | 3.32 | 299 | ||||||||||||||||||||||||||||
— | 9.33 | 7.30 | 1,892 | 0.95 | 4.30 | 1.86 | 461 | |||||||||||||||||||||||||||||
— | 9.08 | 7.48 | 2,364 | 1.01 | (i) | 5.44 | 1.95 | 152 | ||||||||||||||||||||||||||||
— | 8.92 | 8.48 | 3,000 | 1.00 | 5.10 | 1.48 | 248 | |||||||||||||||||||||||||||||
— | 8.21 | (2.36 | ) | 162 | 0.64 | 6.48 | 3.13 | 259 | ||||||||||||||||||||||||||||
— | 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 |
AS OF AUGUST 31, 2008 (Unaudited)
| 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 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 |
expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Funds’ investments. These inputs are summarized into the three broad levels listed below.
• | Level 1 — quoted prices in active markets for identical securities |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Valuation Inputs | | Investments in Securities | | Liabilities in Securities Sold Short† | | Appreciation in Other Financial Instruments* | | Depreciation in Other Financial Instruments* | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||
Level 1 | $ | 3,527 | $ | (31 | ) | $ | 900 | $ | (477 | ) | ||||||||
Level 2 | 435,868 | (62,281 | ) | 7,948 | (6,705 | ) | ||||||||||||
Level 3 | 17,195 | — | — | — | ||||||||||||||
Total | $ | 456,590 | $ | (62,312 | ) | $ | 8,848 | $ | (7,182 | ) | ||||||||
Emerging Markets Debt Fund | ||||||||||||||||||
Level 1 | $ | 12,045 | $ | — | $ | — | $ | (188 | ) | |||||||||
Level 2 | 309,827 | — | 1,548 | (7,194 | ) | |||||||||||||
Level 3 | — | — | — | — | ||||||||||||||
Total | $ | 321,872 | $ | — | $ | 1,548 | $ | (7,382 | ) | |||||||||
Enhanced Income Fund | ||||||||||||||||||
Level 1 | $ | 11,208 | $ | — | $ | 7 | $ | (8 | ) | |||||||||
Level 2 | 48,274 | — | 47 | (97 | ) | |||||||||||||
Level 3 | 240 | — | — | — | ||||||||||||||
Total | $ | 59,722 | $ | — | $ | 54 | $ | (105 | ) | |||||||||
Real Return Fund | ||||||||||||||||||
Level 1 | $ | 3,407 | $ | (6 | ) | $ | 95 | $ | (30 | ) | ||||||||
Level 2 | 82,486 | (715 | ) | 105 | (354 | ) | ||||||||||||
Level 3 | — | — | — | — | ||||||||||||||
Total | $ | 85,893 | $ | (721 | ) | $ | 200 | $ | (384 | ) | ||||||||
Short Term Bond Fund | ||||||||||||||||||
Level 1 | $ | 5,224 | $ | — | $ | 19 | $ | — | ||||||||||
Level 2 | 31,739 | — | 94 | — | ||||||||||||||
Level 3 | 8,539 | — | — | — | ||||||||||||||
Total | $ | 45,502 | $ | — | $ | 113 | $ | — | ||||||||||
Short Term Bond Fund II | ||||||||||||||||||
Level 1 | $ | 14,281 | $ | — | $ | 60 | $ | (7 | ) | |||||||||
Level 2 | 186,744 | — | 139 | (113 | ) | |||||||||||||
Level 3 | 1,769 | — | — | — | ||||||||||||||
Total | $ | 202,794 | $ | — | $ | 199 | $ | (120 | ) | |||||||||
Strategic Income Fund | ||||||||||||||||||
Level 1 | $ | 1,686 | $ | (2 | ) | $ | 45 | $ | (9 | ) | ||||||||
Level 2 | 12,334 | (459 | ) | 49 | (154 | ) | ||||||||||||
Level 3 | — | — | — | — | ||||||||||||||
Total | $ | 14,020 | $ | (461 | ) | $ | 94 | $ | (163 | ) |
† | Liabilities in securities sold short may include written options. |
* | Other financial instruments may include futures, forwards and swap contracts. |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
| Investments in Securities | | Other Financial Instruments* | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||
Balance as of 02/29/08 | $ | 24,117 | — | |||||||
Realized gain (loss) | — | (a) | — | |||||||
Change in unrealized appreciation (depreciation) | (6,550 | ) | — | |||||||
Net amortization/accretion | — | (a) | — | |||||||
Net purchases (sales) | (3,184 | ) | — | |||||||
Net transfers in (out) of Level 3 | 2,812 | — | ||||||||
Balance as of 08/31/08 | $ | 17,195 | — | |||||||
Enhanced Income Fund | ||||||||||
Balance as of 02/29/08 | $ | 1,199 | — | |||||||
Realized gain (loss) | — | — | ||||||||
Change in unrealized appreciation (depreciation) | 1,141 | — | ||||||||
Net amortization/accretion | — | — | ||||||||
Net purchases (sales) | (2,100 | ) | — | |||||||
Net transfers in (out) of Level 3 | — | (a) | — | |||||||
Balance as of 08/31/08 | $ | 240 | — | |||||||
Short Term Bond Fund | ||||||||||
Balance as of 02/29/08 | $ | 19,202 | — | |||||||
Realized gain (loss) | — | — | ||||||||
Change in unrealized appreciation (depreciation) | 5,539 | — | ||||||||
Net amortization/accretion | 5 | — | ||||||||
Net purchases (sales) | (16,207 | ) | — | |||||||
Net transfers in (out) of Level 3 | — | (a) | — | |||||||
Balance as of 08/31/08 | $ | 8,539 | — | |||||||
Short Term Bond Fund II | ||||||||||
Balance as of 02/29/08 | $ | 4,247 | — | |||||||
Realized gain (loss) | — | — | ||||||||
Change in unrealized appreciation (depreciation) | 1,322 | — | ||||||||
Net amortization/accretion | — | — | ||||||||
Net purchases (sales) | (3,800 ) | — | ||||||||
Net transfers in (out) of Level 3 | — | (a) | — | |||||||
Balance as of 08/31/08 | $ | 1,769 | — | |||||||
Strategic Income Fund | ||||||||||
Balance as of 02/29/08 | $ | 1,197 | — | |||||||
Realized gain (loss) | 141 | — | ||||||||
Change in unrealized appreciation (depreciation) | (89 | ) | — | |||||||
Net amortization/accretion | — | — | ||||||||
Net purchases (sales) | (1,249 | ) | — | |||||||
Net transfers in (out) of Level 3 | — | — | ||||||||
Balance as of 08/31/08 | $ | — | — |
Transfers into Level 3 are valued utilizing values as of the end of the period and transfers out of Level 3 are valued utilizing values as of the beginning of the period.
(a) | Amount rounds to less than $1,000. |
| Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 22,992 | 6.7 | % | ||||||
Emerging Markets Debt Fund | 10,841 | 3.4 | ||||||||
Enhanced Income Fund | 1,135 | 2.1 | ||||||||
Short Term Bond Fund | 9,591 | 21.1 | ||||||||
Short Term Bond Fund II | 1,769 | 0.9 | ||||||||
Strategic Income Fund | 329 | 2.8 |
Affiliate | | Value at February 29, 2008 | | Purchase Cost | | Sales Proceeds | | Realized Gain/(Loss) | | Dividend/ Interest Income | | Shares/Principal Amount ($) at August 31, 2008 | | Value at August 31, 2008 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||||||||||||||
Bear Stearns Cos., Inc. (The), VAR, 3.19%, 05/18/10* | $ | 6,485 | $ | — | $ | 6,292 | $ | (778 | ) | $ | 16 | $ | — | $ | — | |||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | 18,180 | 490,463 | 505,204 | — | 324 | 3,439 | 3,439 | |||||||||||||||||||||||
Total | $ | 24,665 | $ | (778 | ) | $ | 340 | $ | 3,439 | |||||||||||||||||||||
Emerging Markets Debt Fund | ||||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | $ | 9,742 | $ | 98,169 | $ | 95,866 | $ | — | $ | 161 | 12,045 | $ | 12,045 | |||||||||||||||||
Enhanced Income Fund | ||||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | $ | 21,994 | $ | 38,737 | $ | 49,523 | $ | — | $ | 209 | 11,208 | $ | 11,208 | |||||||||||||||||
Real Return Fund | ||||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | $ | 3,362 | $ | 40,601 | $ | 40,574 | $ | — | $ | 60 | 3,389 | $ | 3,389 | |||||||||||||||||
Short Term Bond Fund | ||||||||||||||||||||||||||||||
Bear Stearns Cos., Inc. (The), 4.55%, 06/23/10* | $ | 5,614 | $ | — | $ | 5,273 | $ | (358 | ) | $ | 19 | $ | — | $ | — | |||||||||||||||
Bear Stearns Cos., Inc. (The), 5.85%, 07/19/10* | 7,572 | — | 7,050 | (444 | ) | 32 | $ | — | — | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | 26,684 | 518,223 | 539,681 | — | 304 | 5,224 | 5,224 | |||||||||||||||||||||||
Total | $ | 39,870 | $ | (802 | ) | $ | 355 | $ | 5,224 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
Affiliate | | Value at February 29, 2008 | | Purchase Cost | | Sales Proceeds | | Realized Gain/(Loss) | | Dividend/ Interest Income | | Shares/Principal Amount ($) at August 31, 2008 | | Value at August 31, 2008 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Term Bond Fund II | ||||||||||||||||||||||||||||||
Bear Stearns Cos., Inc. (The), 4.55%, 06/23/10* | $ | 1,478 | $ | — | $ | 1,388 | $ | (94 | ) | $ | 5 | $ | — | $ | — | |||||||||||||||
Bear Stearns Cos., Inc. (The), 5.85%, 07/19/10* | 858 | — | 799 | (50 | ) | 4 | $ | — | — | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | 23,371 | 71,428 | 80,518 | — | 316 | 14,281 | 14,281 | |||||||||||||||||||||||
Total | $ | 25,707 | $ | (144 | ) | $ | 325 | $ | 14,281 | |||||||||||||||||||||
Strategic Income Fund | ||||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class | $ | 1,412 | $ | 6,738 | $ | 6,471 | $ | — | $ | 19 | 1,679 | $ | 1,679 |
subject the Funds to loss only to the extent of the value of the underlying security. The Funds, however, are not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 29, 2008 | 12,066 | $ | 10,207 | $ | 1,272,426 | $ | 14,933 | ||||||||||||
Options written | 6,927 | 3,169 | 4,809,983 | 23,079 | |||||||||||||||
Options expired | — | — | (451,952 | ) | (3,234 | ) | |||||||||||||
Options terminated in closing purchase transactions | (18,357 | ) | (13,166 | ) | (4,022,287 | ) | (32,574 | ) | |||||||||||
Options outstanding at August 31, 2008 | 636 | $ | 210 | $ | 1,608,170 | $ | 2,204 |
Real Return Fund | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Notional Value | | Premiums Received | ||||||||||||||
Options outstanding at February 29, 2008 | 488 | $ | 470 | $ | 19,479 | AUD 19,460 | $ | 419 | |||||||||||||||
Options written | 719 | 299 | 350,389 | — | 1,937 | ||||||||||||||||||
Options expired | — | — | — | AUD (19,460 | ) | (18 | ) | ||||||||||||||||
Options terminated in closing purchase transactions | (1,087 | ) | (731 | ) | (89,627 | ) | — | (1,626 | ) | ||||||||||||||
Options outstanding at August 31, 2008 | 120 | $ | 38 | $ | 280,241 | — | $ | 712 |
Short Term Bond Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 29, 2008 | 3,112 | $ | 2,997 | $ | 405,925 | $ | 4,488 | ||||||||||||
Options written | 2,855 | 1,574 | 76,408 | 4,162 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (5,967 | ) | (4,571 | ) | (482,333 | ) | (8,650 | ) | |||||||||||
Options outstanding at August 31, 2008 | — | $ | — | $ | — | $ | — |
Short Term Bond Fund II | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 29, 2008 | 711 | $ | 687 | $ | 34,095 | $ | 630 | ||||||||||||
Options written | 874 | 420 | 18,156 | 974 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (1,585 | ) | (1,107 | ) | (52,251 | ) | (1,604 | ) | |||||||||||
Options outstanding at August 31, 2008 | — | $ | — | $ | — | $ | — |
Strategic Income Fund | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number of Contracts | | Premiums Received | | Notional Value | | Premiums Received | ||||||||||||
Options outstanding at February 29, 2008 | 137 | $ | 56 | $ | 5,322 | $ | 65 | ||||||||||||
Options written | 59 | 18 | 136,823 | 206 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (142 | ) | (54 | ) | (14,655 | ) | (91 | ) | |||||||||||
Options outstanding at August 31, 2008 | 54 | $ | 20 | $ | 127,490 | $ | 180 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
AS OF AUGUST 31, 2008 (Unaudited) (continued)
| ||||||
---|---|---|---|---|---|---|
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 |
| ||||||
---|---|---|---|---|---|---|
Bond Fund | $ | 23 | ||||
Emerging Markets Debt Fund | 11 | |||||
Enhanced Income Fund | 14 | |||||
Real Return Fund | 4 | |||||
Short Term Bond Fund | 22 | |||||
Short Term Bond Fund II | 22 | |||||
Strategic Income Fund | 1 |
of $25 billion of all such funds. For the six months ended August 31, 2008, the annual effective rate was 0.10% of each Fund’s average daily net assets.
| 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 | n/a |
| Front-End Sales Charge | | CDSC | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 2 | $ | 12 | ||||||
Emerging Markets Debt Fund | 2 | 1 | ||||||||
Enhanced Income Fund | — | — | ||||||||
Real Return Fund | 11 | 6 | ||||||||
Short Term Bond Fund | 1 | 1 | ||||||||
Short Term Bond Fund II | 1 | — | ||||||||
Strategic Income Fund | — | (a) | 3 |
| 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 | n/a | n/a | 0.25 | 0.10 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
| 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 | n/a | n/a | 0.90 | 0.65 | n/a |
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Servicing | | Total | | Contractual Reimbursements | |||||||||||||
Bond Fund | $ | 184 | $ | 136 | $ | 28 | $ | 348 | $ | — | ||||||||||||
Enhanced Income Fund | 97 | 22 | 40 | 159 | — | (a) | ||||||||||||||||
Real Return Fund | 151 | 44 | 43 | 238 | 14 | |||||||||||||||||
Short Term Bond Fund | 234 | 32 | 74 | 340 | — | |||||||||||||||||
Short Term Bond Fund II | 24 | 83 | 155 | 262 | — | |||||||||||||||||
Strategic Income Fund | 29 | 6 | — | 35 | 124 |
Voluntary Waivers | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Total | ||||||||||
Bond Fund | $ | 4 | $ | 133 | $ | 137 | |||||||||
Enhanced Income Fund | — | 16 | 16 | ||||||||||||
Short Term Bond Fund | 22 | 117 | 139 |
(a) | Amount rounds to less than $1,000. |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 8,164,647 | $ | 10,675,410 | $ | 110,376 | $ | 125,494 | ||||||||||
Emerging Markets Debt Fund | 105,055 | 62,477 | 851 | 6,316 | ||||||||||||||
Enhanced Income Fund | 57,408 | 80,279 | 594 | 1,291 | ||||||||||||||
Real Return Fund | 177,030 | 213,813 | 29,399 | 13,112 | ||||||||||||||
Short Term Bond Fund | 1,501,447 | 2,598,303 | 469,515 | 622,060 | ||||||||||||||
Short Term Bond Fund II | 66,662 | 96,630 | 35,033 | 36,971 | ||||||||||||||
Strategic Income Fund | 44,600 | 50,923 | 1,813 | 203 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 537,803 | $ | 8,700 | $ | 89,913 | $ | (81,213 | ) | |||||||||
Emerging Markets Debt Fund | 329,180 | 5,972 | 13,280 | (7,308 | ) | |||||||||||||
Enhanced Income Fund | 69,936 | 97 | 10,311 | (10,214 | ) | |||||||||||||
Real Return Fund | 85,014 | 2,092 | 1,213 | 879 | ||||||||||||||
Short Term Bond Fund | 93,153 | 57 | 47,708 | (47,651 | ) | |||||||||||||
Short Term Bond Fund II | 220,255 | 713 | 18,174 | (17,461 | ) | |||||||||||||
Strategic Income Fund | 14,706 | 236 | 922 | (686 | ) |
| Average Borrowings | | Number of Days Used | | Interest Paid | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | $ | 14,381 | 3 | $ | 3 |
AS OF AUGUST 31, 2008 (Unaudited) (continued)
Bond Fund | | Value (000’s) | | Realized Losses (000’s) | | Type | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Select Class | $ | 359,805 | $ | (39,311 | ) | Redemption in-kind | ||||||||||||
Institutional Class | 51,776 | (5,659 | ) | Redemption in-kind | ||||||||||||||
Ultra | 47,207 | (5,158 | ) | Redemption in-kind |
Short Term Bond Fund | | Value (000’s) | | Realized Losses (000’s) | | Type | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Select Class | $ | 275,798 | $ | (23,050 | ) | Redemption in-kind | ||||||||||||
Institutional Class | 58,797 | (4,913 | ) | Redemption in-kind |
(Unaudited)
| Beginning Account Value, March 1, 2008 | | Ending Account Value, August 31, 2008 | | Expenses Paid During March 1, 2008 to August 31, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 910.90 | $ | 3.60 | 0.75 | % | ||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.81 | 0.75 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 907.30 | 6.71 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 7.10 | 1.40 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 907.70 | 6.71 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 7.10 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 911.40 | 3.12 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 3.30 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 911.20 | 2.35 | 0.49 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.67 | 2.49 | 0.49 | ||||||||||||||
Ultra | ||||||||||||||||||
Actual | 1,000.00 | 912.60 | 1.92 | 0.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.13 | 2.03 | 0.40 | ||||||||||||||
Emerging Markets Debt Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 988.50 | 7.22 | 1.44 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 7.32 | 1.44 |
(Unaudited) (continued)
| Beginning Account Value, March 1, 2008 | | Ending Account Value, August 31, 2008 | | Expenses Paid During March 1, 2008 to August 31, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class C | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.00 | $ | 9.66 | 1.93 | % | ||||||||||
Hypothetical | 1,000.00 | 1,015.48 | 9.80 | 1.93 | ||||||||||||||
Class R5 | ||||||||||||||||||
Actual | 1,000.00 | 990.80 | 4.97 | 0.99 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.21 | 5.04 | 0.99 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 989.80 | 5.97 | 1.19 | ||||||||||||||
Hypothetical | 1,000.00 | 1,019.21 | 6.06 | 1.19 | ||||||||||||||
Enhanced Income Fund | ||||||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 951.50 | 0.98 | 0.20 | ||||||||||||||
Hypothetical | 1,000.00 | 1,024.20 | 1.02 | 0.20 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 976.40 | 4.48 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.67 | 4.58 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 975.10 | 6.97 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.12 | 1.40 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 977.70 | 3.24 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 3.31 | 0.65 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 978.50 | 2.49 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||||
Short Term Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 941.90 | 3.67 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 941.10 | 2.69 | 0.55 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 944.10 | 1.47 | 0.30 | ||||||||||||||
Hypothetical | 1,000.00 | 1,023.69 | 1.53 | 0.30 | ||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 972.80 | 3.73 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 971.50 | 4.97 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 974.10 | 2.49 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.55 | 0.50 |
| Beginning Account Value, March 1, 2008 | | Ending Account Value, August 31, 2008 | | Expenses Paid During March 1, 2008 to August 31, 2008* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Income Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 974.90 | $ | 5.67 | 1.14 | % | ||||||||||
Hypothetical | 1,000.00 | 1,019.46 | 5.80 | 1.14 | ||||||||||||||
Class B | ||||||||||||||||||
Actual | 1,000.00 | 973.80 | 8.16 | 1.64 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.94 | 8.34 | 1.64 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 973.80 | 8.16 | 1.64 | ||||||||||||||
Hypothetical | 1,000.00 | 1,016.94 | 8.34 | 1.64 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 977.40 | 4.44 | 0.89 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.72 | 4.53 | 0.89 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 976.40 | 3.19 | 0.64 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.98 | 3.26 | 0.64 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period). |
(Unaudited)
costs and are calculated using an allocation methodology developed by the Advisor. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular Advisor, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based on their review, the Trustees concluded that the profitability to the Advisor of each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.
(Unaudited) (continued)
Select Class shares for the one, three and five year periods, respectively, and that the independent consultant indicated that the overall performance needed enhancement. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and concluded that they were satisfied with the Advisor’s analysis of the Fund’s performance. The Trustees requested the Fund’s Advisor to review the Fund with members of the Fixed Income subcommittee at each of their regular meetings over the course of the year.
Trustees also considered information provided by JPMFM and JPMDS related to the structure and distribution strategy of the Fund and, in light of this information, considered the fees to be reasonable.
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© JPMorgan Chase & Co., 2008 All rights reserved. August 2008. | SAN-INC-808 |
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.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee
member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
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.
Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Mutual Fund Group
By:
/s/_____________________________
George C.W. Gatch
President and Principal Executive Officer
November 5, 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
November 5, 2008
By:
/s/____________________________
Patricia A. Maleski
Principal Financial Officer
November 5, 2008