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, 2009 through August 31, 2009
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
JPMorgan Real Return Fund
JPMorgan Short Term Bond Fund II
JPMorgan Strategic Income Opportunities Fund
JPMorgan Total Return Fund
![](https://capedge.com/proxy/N-CSRS/0001145443-09-002934/jpmorganlogo_k.jpg)
President’s Letter | 1 | |||||
Fund Commentaries: | ||||||
JPMorgan Emerging Markets Debt Fund | 2 | |||||
JPMorgan Real Return Fund | 5 | |||||
JPMorgan Short Term Bond Fund II | 7 | |||||
JPMorgan Strategic Income Opportunities Fund | 9 | |||||
JPMorgan Total Return Fund | 12 | |||||
Schedules of Portfolio Investments | 14 | |||||
Financial Statements | 56 | |||||
Financial Highlights | 70 | |||||
Notes to Financial Statements | 78 | |||||
Schedule of Shareholder Expenses | 95 | |||||
Board Approval of Investment Advisory Agreements | 97 |
SEPTEMBER 23, 2009 (Unaudited)
![]() | “Declining stock market volatility, lower credit spreads and a rally in financial firm stocks all suggest that the worst of the financial crisis may be behind us.” |
![](https://capedge.com/proxy/N-CSRS/0001145443-09-002934/georgecwgatch-sig.jpg)
President and CEO
J.P. Morgan Funds
AS OF AUGUST 31, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | April 17, 1997 | |||||
Fiscal Year End | Last day of February | |||||
Net Assets as of 8/31/2009 (In Thousands) | $149,314 | |||||
Primary Benchmark | JPMorgan Emerging Markets Bond Index Global | |||||
Average Credit Quality | BB+ | |||||
Duration | 6.4 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 31.21%** (Select Class Shares) for the six months ended August 31, 2009. This compares to the 20.77% return for the JPMorgan Emerging Markets Bond Index Global for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period. Emerging market credit spreads narrowed during the six months ended August 31, 2009. Generally, when credit spreads of a particular group of securities narrow, prices rise, yields fall and total returns increase relative to comparable-duration U.S. Treasuries. The emerging market debt asset class performed well due to a variety of factors, including economic data that showed signs of stabilizing. This was, in part, driven by improvements in manufacturing and exports, as well as the positive impact of government stimulus programs. Also supporting emerging market debt prices were thawing credit markets, a return to profitability at many U.S. financial companies, rising commodity prices and strong investor demand. |
Somewhat detracting from these strong results was the Fund’s lack of exposure to Ecuador and Pakistan, as they performed well during the reporting period. In both cases, we had avoided exposure to these areas as we did not believe that their valuations were attractive.
Q: | HOW WAS THE FUND MANAGED? |
A: | There were no significant changes in terms of strategies used to manage the Fund. The Fund was managed with a focus on weighted spread duration contribution versus the underlying index. Spread duration is a measure of expected price sensitivity to changes in the market spreads. The Fund remained short spread duration during much of the period. This was achieved by having overweight positions relative to the benchmark in bonds that traditionally have a lower risk than the market. We also had underweight positions in bonds with a greater exposure to rollover risks given the volatility of the markets. For example, the Fund had underweight position in Bulgaria, South Korea, Austria and Sweden. We favored larger spread duration overweights in commodity exporting countries, particularly in Latin America, where the global credit contraction had a smaller impact. The Fund’s largest spread duration overweights were in Brazil, Russia, Venezuela, Argentina and Kazakhstan. |
Country | Weighted Spread Duration |
Overweights: | ||||||
Brazil | .28 | |||||
Russia Federation | .15 | |||||
Venezuela | .15 | |||||
Argentina | .13 | �� | ||||
Kazakhstan | .10 | |||||
Underweights: | ||||||
Turkey | –.42 | |||||
Austria | –.39 | |||||
Mexico | –.30 | |||||
Philippines | –.30 | |||||
Malaysia | –.18 |
Foreign Government Securities | 77.0 | % | ||||
Corporate Bonds | 13.7 | |||||
U.S. Treasury Notes | 4.2 | |||||
Supranational | 0.8 | |||||
Short-Term Investment | 4.3 |
Brazil | 17.6 | % | ||||
Russia | 17.0 | |||||
United States | 8.5 | |||||
Venezuela | 8.2 | |||||
Indonesia | 6.6 | |||||
Mexico | 6.5 | |||||
Peru | 5.3 | |||||
Turkey | 4.6 | |||||
Colombia | 4.5 | |||||
Philippines | 3.3 | |||||
Kazakhstan | 2.6 | |||||
Dominican Republic | 2.3 | |||||
Panama | 2.3 | |||||
Uruguay | 2.0 | |||||
Ukraine | 1.9 | |||||
Argentina | 1.9 | |||||
Others (each less than 1.0%) | 4.9 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments as of August 31, 2009. The Fund’s composition is subject to change. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/30/06 | |||||||||||||||||||||
Without Sales Charge | 31.07 | % | (6.93 | )% | 6.41 | % | 11.38 | % | ||||||||||||||
With Sales Charge* | 26.08 | (10.39 | ) | 5.60 | 10.95 | |||||||||||||||||
CLASS C SHARES | 6/30/06 | |||||||||||||||||||||
Without CDSC | 30.99 | (7.35 | ) | 6.10 | 11.22 | |||||||||||||||||
With CDSC** | 29.99 | (8.35 | ) | 6.10 | 11.22 | |||||||||||||||||
CLASS R5 SHARES | 5/15/06 | 31.53 | (6.48 | ) | 6.73 | 11.55 | ||||||||||||||||
SELECT CLASS SHARES | 4/17/97 | 31.21 | (6.77 | ) | 6.57 | 11.46 |
* | 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/0001145443-09-002934/d25375_emd-line.jpg)
AS OF AUGUST 31, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | September 1, 2005 | |||||
Fiscal Year End | Last day of February | |||||
Net Assets as of 8/31/2009 (In Thousands) | $117,662 | |||||
Primary Benchmark | Barclays Capital U.S. TIPS Index | |||||
Average Credit Quality | AAA | |||||
Duration | 7.7 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Real Return Fund, which seeks to maximize inflation protected return,* gained 7.53%** (Select Class Shares) for the six months ended August 31, 2009, compared to the 7.55% return for the Barclays U.S. Capital TIPS Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund slightly underperformed its benchmark for the period. The reporting period was characterized by a return to more normal credit and liquidity conditions and a rally in the spread sectors (non-U.S. Treasury securities). Looking back, spread sector prices fell in 2008, in particular following the September bankruptcy of Lehman Brothers. This triggered periods of extreme volatility in the financial markets, a rapidly weakening economy, frozen credit markets and forced selling by leveraged investors. Collectively, this led to an extreme “flight to quality,” as investors flocked to traditional short-term U.S. Treasuries and sold securities that were perceived to be risky. |
Q: | HOW WAS THE FUND MANAGED? |
A: | Throughout the reporting period, we continued to seek opportunistic, relative-value investments for the Fund’s portfolio. This was accomplished using balanced top-down macroeconomic themes with bottom-up security selection. Adjusting the Fund’s TIPS exposure to a long position (by purchasing TIPS and selling nominal Treasuries) early in the period was not initially rewarded, given lingering deflationary concerns. However, the decision to increase the Fund’s TIPS exposure was beneficial, as their prices rallied. |
U.S. Treasury Obligations | 97.9 | % | ||||
Others (each less than 1.0%) | 0.5 | |||||
Short-Term Investment | 1.6 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments as of August 31, 2009. The Fund’s composition is subject to change. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 3 YEAR | SINCE INCEPTION | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 9/1/05 | |||||||||||||||||||||
Without Sales Charge | 7.42 | % | (2.42 | )% | 2.59 | % | 1.83 | % | ||||||||||||||
With Sales Charge* | 3.35 | (6.05 | ) | 1.29 | 0.86 | |||||||||||||||||
CLASS C SHARES | 9/1/05 | |||||||||||||||||||||
Without CDSC | 7.10 | (2.94 | ) | 2.07 | 1.32 | |||||||||||||||||
With CDSC** | 6.10 | (3.94 | ) | 2.07 | 1.32 | |||||||||||||||||
INSTITUTIONAL CLASS SHARES | 9/1/05 | 7.59 | (2.04 | ) | 2.96 | 2.25 | ||||||||||||||||
SELECT CLASS SHARES | 9/1/05 | 7.53 | (2.24 | ) | 2.81 | 2.08 |
* | 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/0001145443-09-002934/d25375_realreturn-line.jpg)
AS OF AUGUST 31, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | November 30, 1990 | |||||
Fiscal Year End | Last day of February | |||||
Net Assets as of 8/31/2009 (In Thousands) | $117,433 | |||||
Primary Benchmark | Barclays Capital 1–3 Year U.S. Government Bond Index | |||||
Average Credit Quality | AA1 | |||||
Duration | 1.9 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 2.14%** (Select Class Shares) for the six months ended August 31, 2009. This compares to the 1.26% return for the Barclays Capital 1–3 Year U.S. Government Bond Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period. The U.S. economy was generally weak over the period, as gross domestic product (GDP) contracted, unemployment reached a 26-year high and there were continued strains in the housing market. However, there were some signs that a bottom may be at hand, although it may take time for the government’s stimulus programs to gain traction and meaningfully improve economic conditions. Despite the challenging economic environment, spread product (non-U.S. Treasuries) generated strong results. In contrast to last year’s credit crisis, the frozen credit markets began to thaw, liquidity improved and it appeared that investor risk aversion seemed to abate during the reporting period. |
Q: | HOW WAS THE FUND MANAGED? |
A: | During the reporting period, the Fund’s portfolio management team changed and several adjustments were gradually made to its portfolio. For example, we modified certain sector positions and focused on security selection, looking for attractively valued securities. In addition, we adjusted the Fund’s yield curve positioning by adding to its exposure to non-U.S. Treasuries in the three to five portion of the curve, which benefited performance. As in the past, maintaining liquidity and a high quality portfolio remained paramount in the management of the Fund. |
U.S. Government Agency Securities | 31.8 | % | ||||
U.S. Treasury Obligations | 25.1 | |||||
Corporate Bonds | 23.8 | |||||
Asset-Backed Securities | 10.3 | |||||
Collateralized Mortgage Obligations | 5.5 | |||||
Commercial Mortgage-Backed Securities | 2.4 | |||||
Others (each less than 0.1%) | 0.4 | |||||
Short-Term Investment | 0.7 |
* | 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, 2009. The Fund’s composition is subject to change. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/6/96 | |||||||||||||||||||||
Without Sales Charge | 1.90 | % | (1.45 | )% | 0.91 | % | 2.72 | % | ||||||||||||||
With Sales Charge* | (0.37 | ) | (3.65 | ) | 0.44 | 2.48 | ||||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||||||
Without Sales Charge | 1.77 | (1.69 | ) | 0.66 | 2.47 | |||||||||||||||||
With Sales Charge** | 0.29 | (3.16 | ) | 0.34 | 2.31 | |||||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 2.14 | (1.18 | ) | 1.18 | 3.00 |
* | Sales Charge for Class A Shares is 2.25%. |
** | Sales Charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-09-002934/d25375_stbondii-line.jpg)
AS OF AUGUST 31, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Commencement of Operations | October 13, 2008 | |||||
Fiscal Year End | Last day of February | |||||
Net Assets as of 8/31/2009 (In Thousands) | $1,367,381 | |||||
Primary Benchmark | Barclays Capital U.S. Universal Index | |||||
Secondary Benchmark | Strategic Income Opportunities Fund Custom Benchmark | |||||
Average Credit Quality | BBB+ | |||||
Duration | 1.6 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Strategic Income Opportunities Fund, which seeks to provide high total return,* returned 15.59%** (Select Class Shares) for the six months ended August 31, 2009. The Fund’s performance is compared to both the Barclays Capital U.S. Universal Index, which returned 7.71% and the Fund’s customized benchmark, which returned 17.16% for the same period. The customized benchmark is comprised of 33% Barclays Capital U.S. Government Bond Index, 33% Merrill Lynch High Yield Master II Index and 33% Barclays Capital Global Aggregate Index (ex-USD). |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its primary benchmark and underperformed its customized benchmark for the period. The U.S. economy remained weak during the six month period, as gross domestic product (GDP) contracted, consumer spending was weak and unemployment reached a 26-year high. However, as the period progressed, there were signs that the economy may be experiencing a bottoming process. This was due, in part, to the government’s aggressive actions to stabilize the financial markets and flood the system with liquidity. Against this backdrop, investor confidence improved, it appeared that risk aversion began to abate and demand for riskier assets substantially increased. As a result, non-U.S. Treasury securities generated strong returns, as their spreads narrowed from last year’s exceptionally wide levels. Generally, when credit spreads of a particular group of securities narrow, prices rise, yields decline and total returns increase, relative to a comparable-duration U.S. Treasuries. |
Q: | HOW WAS THE FUND MANAGED? |
A: | The Fund is a multi-sector absolute return-oriented Fund. We opportunistically looked for best ideas across multiple fixed income strategies and asset sectors, including the ultra conservative (cash) to moderate (government and high-quality corporate securities), to the more aggressive (high yield and emerging markets). The Fund used security selection and derivatives to adjust allocations among these strategies and sectors. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Significant credit allocations within this period end exposure included approximately 38% in high yield bonds, 9% in non-agency mortgage-backed securities and home equity loans, and 7% in investment grade/crossover securities. The Fund also had a 1% exposure to U.S. government securities.
Corporate Bonds | 33.9 | % | ||||
Collateralized Mortgage Obligations | 7.4 | |||||
Loan Participations & Assignments | 6.3 | |||||
U.S. Treasury Obligations | 4.3 | |||||
Asset-Backed Securities | 1.4 | |||||
Commercial Mortgage-Backed Securities | 1.0 | |||||
Others (each less than 1.0%) | 1.1 | |||||
Short-Term Investments | 44.6 |
* | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
** | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** | Percentages indicated are based upon total investments as of August 31, 2009. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | SINCE INCEPTION | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 10/13/08 | |||||||||||||
Without Sales Charge | 15.53 | % | 18.37 | % | ||||||||||
With Sales Charge* | 11.18 | 13.93 | ||||||||||||
CLASS C SHARES | 10/13/08 | |||||||||||||
Without CDSC | 15.23 | 17.87 | ||||||||||||
With CDSC** | 14.23 | 16.87 | ||||||||||||
CLASS R5 SHARES | 10/13/08 | 15.79 | 18.92 | |||||||||||
SELECT CLASS SHARES | 10/13/08 | 15.59 | 18.66 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period. |
![](https://capedge.com/proxy/N-CSRS/0001145443-09-002934/d25375_strategicincome-line.jpg)
AS OF AUGUST 31, 2009 (Unaudited)
FUND FACTS | ||||||
Fund Inception | June 16, 2008 | |||||
Fiscal Year End | Last day of February | |||||
Net Assets as of 8/31/2009 (In Thousands) | $634,308 | |||||
Primary Benchmark | Barclays Capital U.S. Aggregate Index | |||||
Average Credit Quality | AA– | |||||
Duration | 4.5 Years |
Q: | HOW DID THE FUND PERFORM? |
A: | The JPMorgan Total Return Fund, which seeks to provide high total return,* returned 14.96%** (Select Class Shares) for the six months ended August 31, 2009, compared to the 5.95% return for the Barclays Capital U.S. Aggregate Index for the same period. |
Q: | WHY DID THE FUND PERFORM THIS WAY? |
A: | The Fund outperformed its benchmark for the period. The U.S. economy remained weak during the six month period, as gross domestic product (GDP) contracted, consumer spending was weak and unemployment reached a 26-year high. However, as the period progressed, there were signs that the economy may be experiencing a bottoming. This was due, in part, to the government’s aggressive actions to stabilize the financial markets and flood the system with liquidity. Against this backdrop, investor confidence improved, it appeared that risk aversion began to abate and demand for riskier assets substantially increased. As a result, non-U.S. Treasury securities generated strong returns, as their spreads narrowed from last year’s exceptionally wide levels. Generally, when credit spreads of a particular group of securities narrow, prices rise, yields decline and total returns increase, relative to a comparable-duration U.S. Treasuries. |
Q: | HOW WAS THE FUND MANAGED? |
A: | We continued to actively manage the Fund’s portfolio during the reporting period. After reaping the benefits of the spread sector (non-U.S. Treasuries) rally, we moved to a somewhat more defensive position late in the reporting period. For example, we pared our high yield (i.e., junk bond) and investment grade exposure and captured profits. That said, the Fund maintained its overweight to the spread sectors throughout the reporting period. |
Corporate Bonds | 28.7 | % | ||||
Mortgage Pass-Through Securities | 25.6 | |||||
Collateralized Mortgage Obligations | 8.2 | |||||
U.S. Treasury Obligations | 8.1 | |||||
U.S. Government Agency Securities | 5.7 | |||||
Asset-Backed Securities | 4.8 | |||||
Commercial Mortgage-Backed Securities | 1.7 | |||||
Others (each less than 1.0%) | 0.5 | |||||
Short-Term Investments | 16.7 |
* | 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 long investments as of August 31, 2009. The Fund’s composition is subject to change. |
INCEPTION DATE OF CLASS | 6 MONTH | 1 YEAR | SINCE INCEPTION | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/16/08 | |||||||||||||||||
Without Sales Charge | 15.05 | % | 7.15 | % | 7.82 | % | ||||||||||||
With Sales Charge* | 10.69 | 3.09 | 4.46 | |||||||||||||||
CLASS C SHARES | 6/16/08 | |||||||||||||||||
Without CDSC | 14.55 | 6.35 | 7.09 | |||||||||||||||
With CDSC** | 13.55 | 5.35 | 7.09 | |||||||||||||||
CLASS R5 SHARES | 6/16/08 | 15.05 | 7.41 | 8.05 | ||||||||||||||
SELECT CLASS SHARES | 6/16/08 | 14.96 | 7.24 | 7.91 |
* | Sales Charge for Class A Shares is 3.75%. |
** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-09-002934/d25375_totalreturn-line.jpg)
AS OF AUGUST 31, 2009 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — 13.9% | |||||||||||
Brazil — 1.3% | |||||||||||
1,060 | Centrais Eletricas Brasileiras S.A., 6.875%, 07/30/19 (e) (m) | 1,119 | |||||||||
BRL 10,055 | Lehman Brothers Holdings, Inc., CLN, 10.000%, 01/03/12 (linked to Brazilian Real Notes, 10.000%, 01/03/12; credit rating BBB+) (d) (e) (f) (i) (o) | 814 | |||||||||
1,933 | |||||||||||
Colombia — 1.2% | |||||||||||
1,630 | Ecopetrol S.A., 7.625%, 07/23/19 (e) (m) | 1,738 | |||||||||
Kazakhstan — 2.6% | |||||||||||
KazMunaiGaz Finance Sub BV, | |||||||||||
1,914 | 8.375%, 07/02/13 | 1,868 | |||||||||
1,801 | 9.125%, 07/02/18 (e) (m) | 1,736 | |||||||||
340 | 11.750%, 01/23/15 (e) (m) | 368 | |||||||||
3,972 | |||||||||||
Mexico — 0.8% | |||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 (i) | 1,145 | |||||||||
Philippines — 0.9% | |||||||||||
1,340 | Power Sector Assets & Liabilities Management, 7.250%, 05/27/19 (e) (m) | 1,380 | |||||||||
Russia — 6.0% | |||||||||||
3,412 | Gazprom International S.A., 7.201%, 02/01/20 | 3,412 | |||||||||
1,225 | Gazstream S.A. for Gazprom OAO, 5.625%, 07/22/13 | 1,228 | |||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, | |||||||||||
2,830 | 7.125%, 01/14/14 (e) (m) | 2,803 | |||||||||
720 | 7.175%, 05/16/13 | 720 | |||||||||
820 | 9.000%, 06/11/14 (e) (m) | 871 | |||||||||
9,034 | |||||||||||
Trinidad & Tobago — 0.9% | |||||||||||
1,642 | National Gas Co. of Trinidad & Tobago Ltd., 6.050%, 01/15/36 | 1,281 | |||||||||
Ukraine — 0.2% | |||||||||||
320 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, 6.800%, 10/04/12 | 230 | |||||||||
Total Corporate Bonds (Cost $26,419) | 20,713 | ||||||||||
Foreign Government Securities — 78.0% | |||||||||||
Argentina — 1.9% | |||||||||||
Republic of Argentina, | |||||||||||
6,804 | SUB, 2.500%, 12/31/38 (m) | 1,855 | |||||||||
1,625 | 8.280%, 12/31/33 (m) | 942 | |||||||||
2,797 | |||||||||||
Brazil — 16.6% | |||||||||||
Banco Nacional de Desenvolvimento Economico e Social, | |||||||||||
2,500 | 6.369%, 06/16/18 (e) (m) | 2,575 | |||||||||
930 | 6.500%, 06/10/19 (e) (m) | 970 | |||||||||
BRL 435 | Brazil Notas do Tesouro Nacional, 10.000%, 01/01/17 (m) | 2,048 | |||||||||
Federal Republic of Brazil, | |||||||||||
6,958 | 8.000%, 01/15/18 (m) | 7,914 | |||||||||
2,539 | 8.250%, 01/20/34 (m) | 3,142 | |||||||||
2,100 | 8.750%, 02/04/25 (m) | 2,620 | |||||||||
800 | 8.875%, 10/14/19 (m) | 998 | |||||||||
895 | 8.875%, 04/15/24 (m) | 1,114 | |||||||||
2,038 | 12.250%, 03/06/30 (m) | 3,403 | |||||||||
24,784 | |||||||||||
Colombia — 3.4% | |||||||||||
Republic of Colombia, | |||||||||||
530 | 7.375%, 01/27/17 (m) | 586 | |||||||||
2,085 | 7.375%, 03/18/19 (m) | 2,282 | |||||||||
340 | 7.375%, 09/18/37 (m) | 355 | |||||||||
575 | 11.750%, 02/25/20 (m) | 796 | |||||||||
COP 1,772,000 | 12.000%, 10/22/15 | 1,009 | |||||||||
5,028 | |||||||||||
Costa Rica — 0.7% | |||||||||||
868 | Republic of Costa Rica, 9.995%, 08/01/20 | 1,072 | |||||||||
Dominican Republic — 2.3% | |||||||||||
2,065 | Citigroup Funding, Inc., CLN, 13.000%, 01/11/13 (linked to Dominican Republic Government Bond, 13.000%, 01/11/13; credit rating B) (e) (i) | 1,861 | |||||||||
Government of Dominican Republic, | |||||||||||
820 | 9.040%, 01/23/18 (e) (m) | 766 | |||||||||
896 | 9.040%, 01/23/18 | 838 | |||||||||
25 | 9.500%, 09/27/11 | 26 | |||||||||
3,491 | |||||||||||
El Salvador — 0.5% | |||||||||||
760 | Republic of El Salvador, 8.250%, 04/10/32 (e) (m) | 730 | |||||||||
Gabon — 0.7% | |||||||||||
1,065 | Republic of Gabon, 8.200%, 12/12/17 (e) (m) | 1,042 | |||||||||
Ghana — 0.6% | |||||||||||
1,550 | Barclays Bank plc, CLN, 13.500%, 04/07/10 (linked to Government of Ghana 3-Year Bond, 13.500%, 03/30/10; credit rating B+) (e) (i) | 839 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Foreign Government Securities — Continued | |||||||||||
Guatemala — 0.3% | |||||||||||
Republic of Guatemala, | |||||||||||
216 | 8.125%, 10/06/34 | 242 | |||||||||
130 | 9.250%, 08/01/13 | 146 | |||||||||
388 | |||||||||||
Indonesia — 6.7% | |||||||||||
1,070 | Deutsche Bank AG, London Branch, CLN, 15.000%, 07/20/18 (linked to Indonesia Government Bond, 15.000%, 07/15/18; credit rating BB+) (e) (i) | 1,343 | |||||||||
Republic of Indonesia, | |||||||||||
3,320 | 6.875%, 01/17/18 (e) (m) | 3,411 | |||||||||
552 | 6.875%, 01/17/18 | 567 | |||||||||
400 | 8.500%, 10/12/35 | 450 | |||||||||
3,135 | 11.625%, 03/04/19 (e) (m) | 4,225 | |||||||||
9,996 | |||||||||||
Iraq — 0.6% | |||||||||||
1,279 | Republic of Iraq, 5.800%, 01/15/28 | 883 | |||||||||
Mexico — 5.8% | |||||||||||
United Mexican States, | |||||||||||
2,004 | 5.950%, 03/19/19 | 2,036 | |||||||||
1,000 | 6.050%, 01/11/40 | 938 | |||||||||
2,335 | 7.500%, 04/08/33 | 2,624 | |||||||||
MXN 8,900 | 8.000%, 12/19/13 (m) | 685 | |||||||||
324 | 8.000%, 09/24/22 | 380 | |||||||||
291 | 8.300%, 08/15/31 | 354 | |||||||||
MXN 2,780 | 9.000%, 12/20/12 (m) | 222 | |||||||||
1,085 | 11.375%, 09/15/16 (m) | 1,469 | |||||||||
8,708 | |||||||||||
Nigeria — 0.7% | |||||||||||
1,490 | Citigroup Funding, Inc., CLN, 9.000%, 12/17/10 (linked to Republic of Nigeria Treasury Bond, 9.000%, 12/14/10; credit rating B+) (e) (i) | 1,079 | |||||||||
Panama — 2.3% | |||||||||||
Republic of Panama, | |||||||||||
2,530 | 7.250%, 03/15/15 (m) | 2,806 | |||||||||
500 | 9.375%, 04/01/29 (m) | 640 | |||||||||
3,446 | |||||||||||
Peru — 5.3% | |||||||||||
4,870 | IIRSA Norte Finance Ltd., 8.750%, 05/30/24 | 4,894 | |||||||||
Republic of Peru, | |||||||||||
482 | 6.550%, 03/14/37 | 480 | |||||||||
790 | 7.350%, 07/21/25 | 869 | |||||||||
600 | 8.375%, 05/03/16 (m) | 704 | |||||||||
844 | 9.875%, 02/06/15 (m) | 1,046 | |||||||||
7,993 | |||||||||||
Philippines — 2.4% | |||||||||||
Republic of Philippines, | |||||||||||
600 | 7.500%, 09/25/24 | 651 | |||||||||
890 | 7.750%, 01/14/31 | 969 | |||||||||
1,569 | 8.250%, 01/15/14 | 1,789 | |||||||||
174 | 8.375%, 06/17/19 | 203 | |||||||||
3,612 | |||||||||||
Russia — 11.2% | |||||||||||
16,406 | Russian Federation, SUB, 7.500%, 03/31/30 | 16,755 | |||||||||
Turkey — 4.7% | |||||||||||
Republic of Turkey, | |||||||||||
1,050 | 6.875%, 03/17/36 | 1,005 | |||||||||
1,485 | 7.250%, 03/05/38 | 1,470 | |||||||||
1,000 | 7.500%, 07/14/17 | 1,085 | |||||||||
1,680 | 7.500%, 11/07/19 | 1,815 | |||||||||
1,400 | 11.500%, 01/23/12 | 1,638 | |||||||||
7,013 | |||||||||||
Ukraine — 1.8% | |||||||||||
1,840 | CS International for City of Kiev Ukraine, 8.250%, 11/26/12 (e) (i) | 1,387 | |||||||||
Government of Ukraine, | |||||||||||
20 | 6.580%, 11/21/16 | 16 | |||||||||
880 | 6.750%, 11/14/17 | 725 | |||||||||
570 | 7.650%, 06/11/13 | 524 | |||||||||
2,652 | |||||||||||
Uruguay — 1.2% | |||||||||||
Republic of Uruguay, | |||||||||||
UYU 19,218 | VAR, 6.116%, 09/14/18 (m) | 624 | |||||||||
465 | 7.500%, 03/15/15 | 512 | |||||||||
270 | 7.625%, 03/21/36 | 275 | |||||||||
379 | 8.000%, 11/18/22 | 407 | |||||||||
1,818 | |||||||||||
Venezuela — 8.3% | |||||||||||
Republic of Venezuela, | |||||||||||
11,022 | 5.750%, 02/26/16 | 7,550 | |||||||||
775 | 7.000%, 12/01/18 | 498 | |||||||||
780 | 7.650%, 04/21/25 | 466 | |||||||||
5,580 | 9.250%, 05/07/28 | 3,850 | |||||||||
12,364 | |||||||||||
Total Foreign Government Securities (Cost $110,675) | 116,490 | ||||||||||
Supranational — 0.8% | |||||||||||
UYU 29,370 | International Bank for Reconstruction & Development, 3.400%, 04/15/17 (m) (Cost $1,491) | 1,252 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — 4.3% | |||||||||||
U.S. Treasury Notes, | |||||||||||
5,900 | 2.625%, 07/31/14 (m) | 5,970 | |||||||||
405 | 3.250%, 12/31/09 (k) (m) | 409 | |||||||||
Total U.S. Treasury Obligations (Cost $6,347) | 6,379 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 4.4% | |||||||||||
Investment Company — 4.4% | |||||||||||
6,538 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.230% (b) (l) (m) (Cost $6,538) | 6,538 | |||||||||
Total Investments — 101.4% (Cost $151,470) | 151,372 | ||||||||||
Liabilities in Excess of Other Assets — (1.4)% | (2,058 | ) | |||||||||
NET ASSETS — 100.0% | $ | 149,314 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/09 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
119 | 30 Year U.S. Treasury Bond | 12/21/09 | 14,250 | 115 | ||||||||||||||
49 | 2 Year U.S. Treasury Note | 12/31/09 | 10,601 | 23 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(38) | 10 Year U.S. Treasury Note | 12/21/09 | (4,454 | ) | (37 | ) | ||||||||||||
(129) | 5 Year U.S. Treasury Note | 12/31/09 | (14,867 | ) | (85 | ) | ||||||||||||
16 |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc: | ||||||||||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.100% quarterly | 03/20/14 | 0.477% | $ | 3,290 | (96 | ) | — | ||||||||||||||||||
Republic of Austria, 5.250%, 01/04/11 | 0.493% quarterly | 12/20/13 | 0.674 | 3,070 | 20 | — | ||||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07 | 10.920% semi-annually | 11/20/13 | 3.500 | 1,750 | (543 | ) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.475% semi-annually | 04/20/12 | 2.399 | 530 | 25 | — | ||||||||||||||||||||
Citibank, N.A.: | ||||||||||||||||||||||||||
Republic of Colombia, 10.375%, 01/28/33 | 2.150% semi-annually | 09/20/14 | 1.714 | 790 | (19 | ) | — | |||||||||||||||||||
Republic of Hungary, 4.750%, 02/03/15 | 4.800% semi-annually | 04/20/14 | 2.394 | 4,100 | (498 | ) | — | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
Republic of Austria, 5.250%, 01/04/11 | 0.520% quarterly | 12/20/13 | 0.674 | 1,020 | 5 | — | ||||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
Republic of Austria, 5.250%, 01/04/11 | 0.520% quarterly | 12/20/13 | 0.674 | 5,910 | 31 | — | ||||||||||||||||||||
Republic of Bulgaria, 8.250%, 01/15/15 | 5.000% semi-annually | 10/20/13 | 2.438 | 5,830 | (673 | ) | — | |||||||||||||||||||
Republic of Colombia, 10.375%, 01/28/33 | 0.9142% semi-annually | 04/20/12 | 1.334 | 410 | 3 | — | ||||||||||||||||||||
Republic of Turkey, 11.875%, 01/15/30 | 5.800% semi-annually | 11/20/13 | 2.010 | 1,690 | (279 | ) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.495% semi-annually | 04/20/12 | 2.399 | 350 | 16 | — | ||||||||||||||||||||
United Mexican States, 7.500%, 04/08/33 | 0.810% semi-annually | 08/20/10 | 1.177 | 70 | — | (h) | — |
SWAP COUNTERPARTY/REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services: | ||||||||||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33 | 2.620% semi-annually | 07/20/12 | 16.163 | % | 870 | 258 | — | |||||||||||||||||||
Republic of Colombia, 10.375%, 01/28/33 | 1.000% semi-annually | 04/20/12 | 1.334 | 750 | 4 | — | ||||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27 | 2.570% semi-annually | 07/20/12 | 11.034 | 960 | 189 | — | ||||||||||||||||||||
Russian Federation, 12.750%, 06/24/28 | 0.640% semi-annually | 09/20/10 | 1.514 | 400 | 3 | — | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.900% semi-annually | 07/20/10 | 1.464 | 500 | 2 | — | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.750% semi-annually | 08/20/10 | 1.491 | 750 | 5 | — | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.530% semi-annually | 08/20/11 | 2.166 | 660 | 21 | — | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.500% semi-annually | 11/20/11 | 2.267 | 740 | 27 | — | ||||||||||||||||||||
United Mexican States, 7.500%, 04/08/33 | 0.960% semi-annually | 07/20/10 | 1.155 | 2,000 | 1 | — | ||||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.250% semi-annually | 02/20/14 | 0.591 | 190 | (14 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.197% semi-annually | 02/20/14 | 0.591 | 310 | (21 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.080% semi-annually | 02/20/14 | 0.591 | 510 | (33 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 1.900% semi-annually | 02/20/14 | 0.591 | 640 | (36 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.050% semi-annually | 02/20/14 | 0.591 | 1,410 | (89 | ) | — | |||||||||||||||||||
Union Bank of Switzerland AG: | ||||||||||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33 | 2.620% semi-annually | 07/20/12 | 16.163 | 520 | 154 | — | ||||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27 | 2.030% semi-annually | 06/20/12 | 10.995 | 510 | 104 | — | ||||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27 | 2.550% semi-annually | 07/20/12 | 11.034 | 770 | 152 | — | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/30 | 0.900% semi-annually | 08/20/10 | 1.491 | 300 | 2 | — | ||||||||||||||||||||
(1,279 | ) | — |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank plc: | ||||||||||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.680% semi-annually | 08/20/12 | 3.336 | % | 1,510 | (111 | ) | — | ||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 1.721% semi-annually | 03/20/12 | 10.855 | 1,520 | (293 | ) | — | |||||||||||||||||||
Citibank, N.A.: | ||||||||||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 2.160% semi-annually | 06/20/12 | 16.149 | 720 | (216 | ) | — | |||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.630% semi-annually | 05/20/11 | 2.955 | 1,410 | (52 | ) | — | |||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.600% semi-annually | 03/20/12 | 3.238 | 870 | (53 | ) | — | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 1.960% semi-annually | 04/20/12 | 16.107 | 230 | (66 | ) | — | |||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 2.140% semi-annually | 06/20/12 | 16.149 | 1,140 | (342 | ) | — | |||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 2.080% semi-annually | 07/20/12 | 16.163 | 830 | (257 | ) | — | |||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 2.327% semi-annually | 07/20/12 | 16.163 | 1,450 | (440 | ) | — | |||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.610% semi-annually | 03/20/12 | 3.238 | 620 | (38 | ) | — | |||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.535% semi-annually | 03/20/12 | 3.238 | 1,510 | (95 | ) | — | |||||||||||||||||||
Republic of Kazakhstan, 11.125%, 05/11/07* | 0.710% semi-annually | 08/20/12 | 3.336 | 1,090 | (79 | ) | — | |||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 1.620% semi-annually | 04/20/12 | 10.904 | 410 | (81 | ) | — | |||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 1.604% semi-annually | 04/20/12 | 10.904 | 870 | (173 | ) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30* | 0.770% semi-annually | 08/20/10 | 1.491 | 70 | — | (h) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30* | 0.525% semi-annually | 12/20/11 | 2.297 | 1,360 | (52 | ) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30* | 0.510% semi-annually | 12/20/11 | 2.297 | 1,580 | (61 | ) | — |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
SWAP COUNTERPARTY/REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley Capital Services: | ||||||||||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 3.380% semi-annually | 10/20/10 | 14.138 | % | 400 | (40 | ) | — | ||||||||||||||||||
Republic of Argentina, 8.280%, 12/31/33* | 2.160% semi-annually | 06/20/12 | 16.149 | 1,430 | (428 | ) | — | |||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 1.690% semi-annually | 04/20/12 | 10.904 | 750 | (148 | ) | — | |||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 3.400% semi-annually | 08/20/12 | 11.070 | 90 | (17 | ) | — | |||||||||||||||||||
Russian Federation, 7.500%, 03/31/30* | 1.010% semi-annually | 07/20/10 | 1.464 | 2,000 | (6 | ) | — | |||||||||||||||||||
Union Bank of Switzerland AG: | ||||||||||||||||||||||||||
Republic of Venezuela, 9.250%, 09/15/27* | 2.510% semi-annually | 07/20/12 | 11.034 | 1,550 | (307 | ) | — | |||||||||||||||||||
(3,355 | ) | — |
[1] | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay an upfront premium to the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] | The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[3] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[4] | The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
[5] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
* | The Fund has purchased credit default swaps with identical underlying reference obligations; net amounts received by the Fund from settlement of purchased protection would offset potential amounts paid at a credit event for protection sold. |
AS OF AUGUST 31, 2009 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 0.3% | |||||||||||
154 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.526%, 11/25/35 (m) | 144 | |||||||||
254 | Residential Asset Securities Corp., Series 2005-KS10, Class 1A2, VAR, 0.516%, 11/25/35 (m) | 213 | |||||||||
Total Asset-Backed Securities (Cost $407) | 357 | ||||||||||
Collateralized Mortgage Obligations — 0.2% | |||||||||||
Non-Agency CMO — 0.2% | |||||||||||
150 | Adjustable Rate Mortgage Trust, Series 2005-12, Class 5A1, VAR, 0.516%, 03/25/36 (m) | 80 | |||||||||
308 | Harborview Mortgage Loan Trust, Series 2005-11, Class 2A1A, VAR, 0.589%, 08/19/45 (m) | 165 | |||||||||
Total Collateralized Mortgage Obligations (Cost $459) | 245 | ||||||||||
U.S. Treasury Obligations — 95.5% | |||||||||||
U.S. Treasury Inflation Indexed Bonds, | |||||||||||
2,630 | 1.750%, 01/15/28 | 2,524 | |||||||||
3,990 | 2.000%, 01/15/26 | 4,213 | |||||||||
7,780 | 2.375%, 01/15/25 | 9,097 | |||||||||
1,820 | 2.375%, 01/15/27 | 1,994 | |||||||||
3,460 | 2.500%, 01/15/29 | 3,640 | |||||||||
1,320 | 3.375%, 04/15/32 | 1,926 | |||||||||
2,465 | 3.625%, 04/15/28 (m) | 3,962 | |||||||||
1,710 | 3.875%, 04/15/29 | 2,812 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
5,595 | 0.625%, 04/15/13 | 5,620 | |||||||||
2,775 | 0.875%, 04/15/10 | 3,154 | |||||||||
1,310 | 1.250%, 04/15/14 | 1,335 | |||||||||
3,700 | 1.375%, 07/15/18 | 3,584 | |||||||||
4,945 | 1.625%, 01/15/15 | 5,576 | |||||||||
3,275 | 1.625%, 01/15/18 | 3,335 | |||||||||
6,065 | 1.875%, 07/15/13 | 7,245 | |||||||||
2,790 | 1.875%, 07/15/15 | 3,133 | |||||||||
1,780 | 1.875%, 07/15/19 | 1,815 | |||||||||
5,335 | 2.000%, 04/15/12 | 5,800 | |||||||||
4,685 | 2.000%, 01/15/14 | 5,571 | |||||||||
3,883 | 2.000%, 07/15/14 | 4,534 | |||||||||
6,645 | 2.000%, 01/15/16 | 7,348 | |||||||||
3,025 | 2.125%, 01/15/19 | 3,128 | |||||||||
3,050 | 2.375%, 04/15/11 | 3,393 | |||||||||
3,130 | 2.375%, 01/15/17 | 3,493 | |||||||||
2,990 | 2.500%, 07/15/16 | 3,355 | |||||||||
3,160 | 2.625%, 07/15/17 | 3,499 | |||||||||
3,780 | 3.000%, 07/15/12 (k) | 4,763 | |||||||||
855 | 3.375%, 01/15/12 | 1,095 | |||||||||
1,075 | 3.500%, 01/15/11 | 1,383 | |||||||||
Total U.S. Treasury Obligations (Cost $110,578) | 112,327 |
SHARES | | SECURITY DESCRIPTION | | VALUE ($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 1.5% | |||||||||||
Investment Company — 1.5% | |||||||||||
1,773 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.230% (b) (l) (m) (Cost $1,773) | 1,773 | |||||||||
Total Investments — 97.5% (Cost $113,217) | 114,702 | ||||||||||
Other Assets in Excess of Liabilities — 2.5% | 2,960 | ||||||||||
NET ASSETS — 100.0% | $ | 117,662 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL VALUE AT 08/31/09 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
4 | 10 Year U.S. Treasury Note | 12/21/09 | $ | 469 | $ | 3 | ||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(2) | 10 Year U.S. Treasury Note | 12/21/09 | (234 | ) | (2 | ) | ||||||||||||
(2) | Treasury Bonds | 12/21/09 | (240 | ) | (1 | ) | ||||||||||||
(10) | 2 Year U.S. Treasury Note | 12/31/09 | (2,163 | ) | (4 | ) | ||||||||||||
(6) | 5 Year U.S. Treasury Note | 12/31/09 | (692 | ) | (4 | ) | ||||||||||||
$ | (8 | ) |
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [1] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International (†) | U.S. Treasury Inflation Indexed Bond, 3.875%, 04/15/29 | $ | 126.18 | 09/29/09 | $ | 3,000 | $ | (37 | ) | $ | — |
(†) | If the market price exceeds the price lock at termination, the Fund receives the difference between the market price and the price lock. If the market price is below the price lock at termination, the Fund pays the difference between the price lock and the market price. |
[1] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
AS OF AUGUST 31, 2009 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 10.2% | |||||||||||
125 | AmeriCredit Automobile Receivables Trust, Series 2009-1, Class A3, 3.040%, 10/15/13 | 125 | |||||||||
Bank of America Auto Trust, | |||||||||||
235 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 237 | |||||||||
100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 102 | |||||||||
65 | Capital One Prime Auto Receivables Trust, Series 2007-2, Class A3, 4.890%, 01/15/12 | 66 | |||||||||
Carmax Auto Owner Trust, | |||||||||||
449 | Series 2008-1, Class A2, VAR, 0.973%, 04/15/11 | 450 | |||||||||
400 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 414 | |||||||||
90 | Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.820%, 01/15/16 | 90 | |||||||||
CNH Equipment Trust, | |||||||||||
45 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 47 | |||||||||
365 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 371 | |||||||||
362 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 (i) | 335 | |||||||||
Daimler Chrysler Auto Trust, | |||||||||||
500 | Series 2007-A, Class A3A, 5.000%, 02/08/12 | 513 | |||||||||
150 | Series 2008-B, Class A3A, 4.710%, 09/10/12 | 154 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
721 | Series 2007-A, Class A3A, 5.400%, 08/15/11 | 739 | |||||||||
200 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 203 | |||||||||
526 | GSAMP Trust, Series 2006-NC1, Class A2,VAR, 0.446%, 02/25/36 (i) | 368 | |||||||||
350 | Harley-Davidson Motorcycle Trust, Series 2007-1, Class A4, 5.210%, 06/17/13 | 365 | |||||||||
692 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.446%, 07/25/36 (i) | 532 | |||||||||
Honda Auto Receivables Owner Trust, | |||||||||||
1,000 | Series 2007-2, Class A4, 5.570%, 11/21/13 | 1,049 | |||||||||
100 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 100 | |||||||||
571 | Hyundai Auto Receivables Trust, Series 2008-A, Class A2, 4.160%, 05/16/11 | 577 | |||||||||
Nissan Auto Receivables Owner Trust, | |||||||||||
397 | Series 2006-B, Class A4, 5.220%, 11/15/11 | 403 | |||||||||
250 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 262 | |||||||||
500 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 508 | |||||||||
490 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.466%, 02/25/36 (i) | 432 | |||||||||
537 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.456%, 03/25/36 (i) | 440 | |||||||||
264 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 0.446%, 12/25/35 (i) | 242 | |||||||||
1,000 | USAA Auto Owner Trust, Series 2008-2, Class A3, 4.640%, 10/15/12 | 1,034 | |||||||||
125 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 129 | |||||||||
1,000 | Wachovia Auto Loan Owner Trust, Series 2008-1, Class A3, 4.270%, 04/20/12 | 1,023 | |||||||||
World Omni Auto Receivables Trust, | |||||||||||
448 | Series 2006-A, Class A4, 5.030%, 10/17/11 | 454 | |||||||||
254 | Series 2007-B, Class A3A, 5.280%, 01/17/12 | 260 | |||||||||
Total Asset-Backed Securities (Cost $12,394) | 12,024 | ||||||||||
Collateralized Mortgage Obligations — 5.5% | |||||||||||
Agency CMO — 5.5% | |||||||||||
Federal National Mortgage Association REMICS, | |||||||||||
1,841 | Series 2006-43, Class G, 6.500%, 09/25/33 | 1,901 | |||||||||
2,676 | Series 2006-63, Class AB, 6.500%, 10/25/33 | 2,756 | |||||||||
1,725 | Series 2006-63, Class AE, 6.500%, 10/25/33 | 1,776 | |||||||||
7 | Government National Mortgage Association, Series 2002-24, Class FA, VAR, 0.773%, 04/16/32 (m) | 7 | |||||||||
Total Collateralized Mortgage Obligations (Cost $6,319) | 6,440 | ||||||||||
Commercial Mortgage-Backed Securities — 2.4% | |||||||||||
673 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.176%, 11/10/41 | 672 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
572 | Series 2001-CP4, Class A4, 6.180%, 12/15/35 | 599 | |||||||||
309 | Series 2004-C3, Class A3, 4.302%, 07/15/36 | 308 | |||||||||
623 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.285%, 07/05/35 | 626 | |||||||||
628 | LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A2, 3.246%, 03/15/29 | 629 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $2,795) | 2,834 | ||||||||||
Corporate Bonds — 23.8% | |||||||||||
Consumer Discretionary — 1.7% | |||||||||||
Auto Components — 0.1% | |||||||||||
65 | Johnson Controls, Inc., 5.250%, 01/15/11 | 67 | |||||||||
Media — 1.6% | |||||||||||
1,000 | Comcast Cable Communications LLC, 6.750%, 01/30/11 | 1,063 | |||||||||
725 | Time Warner, Inc., 5.500%, 11/15/11 | 769 | |||||||||
1,832 | |||||||||||
Multiline Retail — 0.0% (g) | |||||||||||
50 | Kohls Corp., 7.375%, 10/15/11 | 54 | |||||||||
Total Consumer Discretionary | 1,953 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Consumer Staples — 2.5% | |||||||||||
Beverages — 1.1% | |||||||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 165 | |||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.250%, 09/15/10 | 1,079 | |||||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 | 88 | |||||||||
1,332 | |||||||||||
Food & Staples Retailing — 0.6% | |||||||||||
700 | CVS/Caremark Corp., 4.000%, 09/15/09 | 701 | |||||||||
Food Products — 0.8% | |||||||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 125 | |||||||||
35 | General Mills, Inc., 5.250%, 08/15/13 | 38 | |||||||||
Kraft Foods, Inc., | |||||||||||
600 | 6.000%, 02/11/13 | 653 | |||||||||
100 | 6.250%, 06/01/12 | 110 | |||||||||
926 | |||||||||||
Total Consumer Staples | 2,959 | ||||||||||
Energy — 0.9% | |||||||||||
Oil, Gas & Consumable Fuels — 0.9% | |||||||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 16 | |||||||||
215 | ConocoPhillips, 8.750%, 05/25/10 | 228 | |||||||||
45 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 | 51 | |||||||||
622 | Qatar Petroleum, (Qatar), 5.579%, 05/30/11 (e) | 640 | |||||||||
100 | StatoilHydro ASA, (Norway), 5.125%, 04/30/14 (e) | 108 | |||||||||
Total Energy | 1,043 | ||||||||||
Financials — 13.7% | |||||||||||
Capital Markets — 2.3% | |||||||||||
200 | Bank of New York Mellon Corp. (The), 4.950%, 11/01/12 | 217 | |||||||||
550 | Credit Suisse USA, Inc., 4.125%, 01/15/10 | 556 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.300%, 02/14/12 | 632 | |||||||||
1,175 | Morgan Stanley, 4.250%, 05/15/10 | 1,195 | |||||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 | 66 | |||||||||
2,666 | |||||||||||
Commercial Banks — 1.5% | |||||||||||
240 | BB&T Corp., 6.500%, 08/01/11 | 251 | |||||||||
75 | Deutsche Bank AG, (Germany), 3.875%, 08/18/14 | 75 | |||||||||
150 | PNC Funding Corp., 4.500%, 03/10/10 | 151 | |||||||||
135 | State Street Corp., 4.300%, 05/30/14 | 142 | |||||||||
250 | U.S. Bank N.A., 6.375%, 08/01/11 | 271 | |||||||||
800 | Wachovia Corp., 5.300%, 10/15/11 | 845 | |||||||||
1,735 | |||||||||||
Consumer Finance — 0.9% | |||||||||||
20 | Capital One Financial Corp., 7.375%, 05/23/14 | 22 | |||||||||
HSBC Finance Corp., | |||||||||||
600 | 4.125%, 11/16/09 | 603 | |||||||||
120 | 6.375%, 11/27/12 | 129 | |||||||||
200 | John Deere Capital Corp., 5.250%, 10/01/12 | 216 | |||||||||
100 | Toyota Motor Credit Corp., VAR, 0.599%, 04/07/10 | 100 | |||||||||
1,070 | |||||||||||
Diversified Financial Services — 1.9% | |||||||||||
BP Capital Markets plc, (United Kingdom), | |||||||||||
60 | 3.125%, 03/10/12 | 62 | |||||||||
80 | 3.625%, 05/08/14 | 82 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
150 | 5.750%, 02/15/12 | 159 | |||||||||
50 | 6.125%, 02/17/14 | 55 | |||||||||
Citigroup, Inc., | |||||||||||
450 | 5.250%, 02/27/12 | 456 | |||||||||
45 | 6.375%, 08/12/14 | 45 | |||||||||
200 | CME Group, Inc., 5.400%, 08/01/13 | 215 | |||||||||
General Electric Capital Corp., | |||||||||||
1,000 | 5.500%, 04/28/11 | 1,045 | |||||||||
125 | 5.900%, 05/13/14 | 134 | |||||||||
2,253 | |||||||||||
FDIC Guaranteed Securities (˜) — 5.6% | |||||||||||
600 | Bank of America Corp., 3.125%, 06/15/12 | 623 | |||||||||
600 | Citigroup, Inc., 2.875%, 12/09/11 | 619 | |||||||||
General Electric Capital Corp., | |||||||||||
700 | 2.125%, 12/21/12 | 704 | |||||||||
800 | 3.000%, 12/09/11 | 828 | |||||||||
300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 313 | |||||||||
600 | HSBC USA, Inc., 3.125%, 12/16/11 | 623 | |||||||||
400 | John Deere Capital Corp., 2.875%, 06/19/12 | 412 | |||||||||
1,300 | Morgan Stanley, 2.900%, 12/01/10 | 1,333 | |||||||||
400 | SunTrust Bank, 3.000%, 11/16/11 | 414 | |||||||||
700 | Wells Fargo & Co., 3.000%, 12/09/11 | 726 | |||||||||
6,595 | |||||||||||
Insurance — 0.9% | |||||||||||
900 | Allstate Corp. (The), 7.200%, 12/01/09 | 910 | |||||||||
100 | Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e) | 103 | |||||||||
1,013 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Thrifts & Mortgage Finance — 0.6% | |||||||||||
700 | Countrywide Financial Corp., 5.800%, 06/07/12 | 726 | |||||||||
Total Financials | 16,058 | ||||||||||
Health Care — 0.0% (g) | |||||||||||
Pharmaceuticals — 0.0% (g) | |||||||||||
50 | Eli Lilly & Co., 3.550%, 03/06/12 | 52 | |||||||||
Total Health Care | 52 | ||||||||||
Industrials — 0.3% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 | 161 | |||||||||
Machinery — 0.1% | |||||||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 | 45 | |||||||||
Road & Rail — 0.1% | |||||||||||
30 | Canadian National Railway Co., (Canada), 4.950%, 01/15/14 | 32 | |||||||||
50 | CSX Corp., 6.300%, 03/15/12 | 54 | |||||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 | 75 | |||||||||
161 | |||||||||||
Total Industrials | 367 | ||||||||||
Information Technology — 0.6% | |||||||||||
Computers & Peripherals — 0.2% | |||||||||||
25 | Dell, Inc., 3.375%, 06/15/12 | 25 | |||||||||
Hewlett-Packard Co., | |||||||||||
20 | 2.950%, 08/15/12 | 20 | |||||||||
120 | 4.250%, 02/24/12 | 127 | |||||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 | 65 | |||||||||
237 | |||||||||||
Office Electronics — 0.1% | |||||||||||
110 | Xerox Corp., 8.250%, 05/15/14 | 124 | |||||||||
Software — 0.3% | |||||||||||
140 | Microsoft Corp., 2.950%, 06/01/14 | 141 | |||||||||
140 | Oracle Corp., 4.950%, 04/15/13 | 150 | |||||||||
291 | |||||||||||
Total Information Technology | 652 | ||||||||||
Telecommunication Services — 1.8% | |||||||||||
Diversified Telecommunication Services — 1.6% | |||||||||||
400 | AT&T, Inc., 6.700%, 11/15/13 | 453 | |||||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 136 | |||||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 54 | |||||||||
950 | Telefonica Emisiones S.A.U., (Spain), 5.984%, 06/20/11 | 1,012 | |||||||||
250 | Verizon Florida LLC, 6.125%, 01/15/13 | 266 | |||||||||
1,921 | |||||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
120 | Verizon Wireless Capital LLC, 3.750%, 05/20/11 (e) | 124 | |||||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 72 | |||||||||
196 | |||||||||||
Total Telecommunication Services | 2,117 | ||||||||||
Utilities — 2.3% | |||||||||||
Electric Utilities — 2.2% | |||||||||||
Appalachian Power Co., | |||||||||||
650 | 5.550%, 04/01/11 | 675 | |||||||||
200 | 5.650%, 08/15/12 | 212 | |||||||||
50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 54 | |||||||||
30 | Duke Energy Corp., 3.950%, 09/15/14 | 30 | |||||||||
1,150 | Midamerican Energy Co., 5.650%, 07/15/12 | 1,250 | |||||||||
250 | Nisource Finance Corp., 7.875%, 11/15/10 | 263 | |||||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 | 17 | |||||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 | 21 | |||||||||
10 | Southern Co. (The), 4.150%, 05/15/14 | 10 | |||||||||
2,532 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 141 | |||||||||
20 | PG&E Corp., 5.750%, 04/01/14 | 22 | |||||||||
163 | |||||||||||
Total Utilities | 2,695 | ||||||||||
Total Corporate Bonds (Cost $26,850) | 27,896 | ||||||||||
Foreign Government Security — 0.0% (g) | |||||||||||
45 | Province of Ontario, (Canada), 4.100%, 06/16/14 (Cost $45) | 47 | |||||||||
Mortgage Pass-Through Security — 0.3% | |||||||||||
332 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 (Cost $353) | 356 | |||||||||
U.S. Government Agency Securities — 31.7% | |||||||||||
Federal Farm Credit Banks, | |||||||||||
400 | 2.625%, 04/17/14 | 399 | |||||||||
685 | 4.900%, 03/06/13 | 746 | |||||||||
4,000 | Federal Home Loan Bank System, 3.625%, 10/18/13 | 4,194 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Securities — Continued | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
3,250 | 3.125%, 10/25/10 | 3,344 | |||||||||
5,500 | 3.250%, 07/16/10 | 5,633 | |||||||||
8,050 | 5.250%, 07/18/11 | 8,687 | |||||||||
Federal National Mortgage Association, | |||||||||||
2,703 | 4.000%, 03/27/13 | 2,879 | |||||||||
4,000 | 4.375%, 03/15/13 | 4,326 | |||||||||
400 | 4.750%, 02/21/13 | 434 | |||||||||
6,100 | 6.625%, 11/15/10 | 6,547 | |||||||||
Total U.S. Government Agency Securities (Cost $36,153) | 37,189 | ||||||||||
U.S. Treasury Obligations — 25.0% | |||||||||||
U.S. Treasury Notes, | |||||||||||
5,775 | 0.875%, 02/28/11 | 5,791 | |||||||||
10,500 | 1.125%, 01/15/12 | 10,476 | |||||||||
4,650 | 1.750%, 11/15/11 | 4,714 | |||||||||
2,500 | 2.750%, 10/31/13 | 2,570 | |||||||||
5,300 | 4.625%, 07/31/12 | 5,785 | |||||||||
Total U.S. Treasury Obligations (Cost $29,270) | 29,336 |
SHARES | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 0.7% | |||||||||||
Investment Company — 0.7% | |||||||||||
869 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.230% (b) (l) (Cost $869) | 869 | |||||||||
Total Investments — 99.6% (Cost $115,048) | 116,991 | ||||||||||
Other Assets in Excess of Liabilities — 0.4% | 442 | ||||||||||
NET ASSETS — 100.0% | $ | 117,433 |
AS OF AUGUST 31, 2009 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 1.5% | |||||||||||
900 | American Express Credit Account Master Trust, Series 2005-1, Class A, VAR, 0.303%, 10/15/12 | 898 | |||||||||
6,110 | Asset Backed Securities Corp. Home Equity, Series 2005-HE4, Class M1, VAR, 0.686%, 05/25/35 | 5,775 | |||||||||
1,200 | Capital One Multi-Asset Execution Trust, Series 2006-A2, Class A, 4.850%, 11/15/13 | 1,250 | |||||||||
2,100 | Centex Home Equity, Series 2005-C, Class AF6, SUB, 4.638%, 06/25/35 | 1,822 | |||||||||
600 | Citibank Credit Card Issuance Trust, Series 2007-A6, Class A6, VAR, 0.500%, 07/12/12 | 597 | |||||||||
2,841 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.964%, 08/25/35 | 2,257 | |||||||||
900 | MBNA Credit Card Master Note Trust, Series 2003-A8, Class A8, VAR, 0.463%, 12/17/12 | 896 | |||||||||
824 | New Century Home Equity Loan Trust, Series 2003-5, Class AI7, VAR, 5.150%, 11/25/33 | 693 | |||||||||
1,200 | Nissan Auto Receivables Owner Trust, Series 2007-A, Class A4, VAR, 0.273%, 06/17/13 | 1,193 | |||||||||
1,025 | Renaissance Home Equity Loan Trust, Series 2005-4, Class A3, SUB, 5.565%, 02/25/36 | 982 | |||||||||
2,490 | Saxon Asset Securities Trust, Series 2002-3, Class AF6, SUB, 5.407%, 05/25/31 | 2,064 | |||||||||
2,255 | SG Mortgage Securities Trust, Series 2006-OPT2, Class A3A, VAR, 0.316%, 10/25/36 | 2,163 | |||||||||
25 | Soundview Home Equity Loan Trust, Series 2006-EQ2, Class A1, VAR, 0.346%, 01/25/37 | 25 | |||||||||
Total Asset-Backed Securities (Cost $20,154) | 20,615 | ||||||||||
Collateralized Mortgage Obligations — 7.8% | |||||||||||
Agency CMO — 0.6% | |||||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
3,721 | Series 2975, Class SJ, IF, IO, 6.377%, 05/15/35 | 383 | |||||||||
971 | Series 3171, Class ST, IF, IO, 6.212%, 06/15/36 | 106 | |||||||||
968 | Series 3218, Class AS, IF, IO, 6.307%, 09/15/36 | 90 | |||||||||
4,321 | Series 3236, Class IS, IF, IO, 6.377%, 11/15/36 | 464 | |||||||||
5,518 | Series 3370, Class SH, IF, IO, 6.177%, 10/15/37 | 589 | |||||||||
3,234 | Series 3419, Class SD, IF, IO, 5.957%, 02/15/38 | 340 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
16,397 | Series 2003-80, Class DI, IO, 5.500%, 10/25/31 | 1,688 | |||||||||
4,757 | Series 2004-17, Class DS, IF, IO, 6.884%, 11/25/32 | 540 | |||||||||
1,017 | Series 2004-41, Class SA, IF, IO, 6.884%, 02/25/32 | 92 | |||||||||
6,031 | Series 2006-69, Class KI, IF, IO, 7.034%, 08/25/36 | 743 | |||||||||
12,171 | Series 2007-109, Class GI, IF, IO, 5.804%, 12/25/37 | 1,411 | |||||||||
22,092 | Series 2008-61, Class S, IF, IO, 5.834%, 07/25/38 | 2,239 | |||||||||
8,685 | |||||||||||
Non-Agency CMO — 7.2% | |||||||||||
5,691 | Banc of America Alternative Loan Trust, Series 2005-2, Class 2CB1, 6.000%, 03/25/35 | 4,167 | |||||||||
3,234 | Citicorp Mortgage Securities, Inc., Series 2007-2, Class 1A5, 5.750%, 02/25/37 | 3,012 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
3,837 | Series 2004-5CB, Class 2A1, 5.000%, 05/25/19 | 3,615 | |||||||||
9,400 | Series 2005-28CB, Class 1A6, 5.500%, 08/25/35 | 6,070 | |||||||||
5,556 | Series 2005-J3, Class 3A1, 6.500%, 09/25/34 | 4,553 | |||||||||
7,021 | Series 2006-19CB, Class A15, 6.000%, 08/25/36 | 5,670 | |||||||||
8,362 | Series 2006-24CB, Class A1, 6.000%, 06/25/36 | 6,654 | |||||||||
13,471 | Series 2006-24CB, Class A23, 6.000%, 06/25/36 | 10,150 | |||||||||
2,584 | Series 2006-28CB, Class A17, 6.000%, 10/25/36 | 1,765 | |||||||||
8,179 | Series 2006-31CB, Class A3, 6.000%, 11/25/36 | 6,718 | |||||||||
3,210 | Series 2006-41CB, Class 2A17, 6.000%, 01/25/37 | 2,526 | |||||||||
2,964 | Series 2006-J3, Class 2A1, 4.750%, 12/25/20 | 2,454 | |||||||||
3,282 | Series 2007-5CB, Class 1A31, 5.500%, 04/25/37 | 2,043 | |||||||||
Countrywide Home Loan Mortgage Pass Through Trust, | |||||||||||
1,025 | Series 2006-10, Class 1A10, 5.850%, 05/25/36 | 930 | |||||||||
2,511 | Series 2006-15, Class A1, 6.250%, 10/25/36 | 2,031 | |||||||||
5,786 | Series 2006-20, Class 1A36, 5.750%, 02/25/37 | 4,509 | |||||||||
19,387 | Series 2007-16, Class A1, 6.500%, 10/25/37 | 15,885 | |||||||||
8,303 | Series 2007-17, Class 1A1, 6.000%, 10/25/37 | 6,494 | |||||||||
3,459 | Residential Accredit Loans, Inc., Series 2007-QS4, Class 5A2, 5.500%, 04/25/22 | 2,775 | |||||||||
2,851 | WaMu Mortgage Pass Through Certificates, Series 2005-8, Class 1A8, 5.500%, 10/25/35 | 2,367 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — 7.2% | |||||||||||
3,622 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 2,956 | |||||||||
1,604 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-11, Class A96, 6.000%, 08/25/37 | �� | 1,367 | ||||||||
98,711 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $96,795) | 107,396 | ||||||||||
Commercial Mortgage-Backed Securities — 1.0% | |||||||||||
2,800 | Banc of America Commercial Mortgage, Inc., Series 2005-3, Class A4, 4.668%, 07/10/43 | 2,603 | |||||||||
2,450 | LB-UBS Commercial Mortgage Trust, Series 2004-C7, Class A2, 3.992%, 10/15/29 | 2,450 | |||||||||
Morgan Stanley Capital I, | |||||||||||
5,002 | Series 2004-HQ3, Class A2, 4.050%, 01/13/41 | 5,050 | |||||||||
4,200 | Series 2004-HQ3, Class A3, 4.490%, 01/13/41 | 4,248 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $13,766) | 14,351 | ||||||||||
Corporate Bonds — 36.1% | |||||||||||
Consumer Discretionary — 9.3% | |||||||||||
Auto Components — 0.5% | |||||||||||
600 | Affinia Group, Inc., 9.000%, 11/30/14 | 529 | |||||||||
2,364 | Exide Technologies, 10.500%, 03/15/13 | 2,269 | |||||||||
Goodyear Tire & Rubber Co. (The), | |||||||||||
390 | 8.625%, 12/01/11 | 394 | |||||||||
295 | 10.500%, 05/15/16 | 315 | |||||||||
1,049 | Tenneco, Inc., 10.250%, 07/15/13 | 1,065 | |||||||||
TRW Automotive, Inc., | |||||||||||
760 | 7.000%, 03/15/14 (e) | 661 | |||||||||
500 | 7.250%, 03/15/17 (e) | 420 | |||||||||
40 | United Components, Inc., 9.375%, 06/15/13 | 31 | |||||||||
5,684 | |||||||||||
Distributors — 0.2% | |||||||||||
KAR Holdings, Inc., | |||||||||||
2,077 | 8.750%, 05/01/14 | 1,957 | |||||||||
353 | 10.000%, 05/01/15 | 325 | |||||||||
2,282 | |||||||||||
Diversified Consumer Services — 0.3% | |||||||||||
Service Corp. International, | |||||||||||
1,800 | 6.750%, 04/01/15 | 1,706 | |||||||||
45 | 7.000%, 06/15/17 | 42 | |||||||||
2,000 | Stewart Enterprises, Inc., 3.125%, 07/15/14 | 1,695 | |||||||||
3,443 | |||||||||||
Hotels, Restaurants & Leisure — 2.6% | |||||||||||
1,155 | Boyd Gaming Corp., 7.125%, 02/01/16 | 962 | |||||||||
4,535 | Harrah’s Operating Co., Inc., 10.000%, 12/15/18 (e) | 3,175 | |||||||||
1,490 | Harrah’s Operating Escrow LLC/Harrah’s Escrow Corp., 11.250%, 06/01/17 (e) | 1,516 | |||||||||
Host Hotels & Resorts LP, | |||||||||||
1,390 | 6.375%, 03/15/15 | 1,303 | |||||||||
890 | 6.750%, 06/01/16 | 828 | |||||||||
295 | 6.875%, 11/01/14 | 279 | |||||||||
5,000 | Isle of Capri Casinos, Inc., 7.000%, 03/01/14 | 4,350 | |||||||||
MGM Mirage, | |||||||||||
2,460 | 5.875%, 02/27/14 | 1,771 | |||||||||
5,365 | 6.750%, 09/01/12 | 4,279 | |||||||||
250 | 6.750%, 04/01/13 | 190 | |||||||||
730 | 7.500%, 06/01/16 | 522 | |||||||||
80 | 10.375%, 05/15/14 (e) | 84 | |||||||||
280 | 11.125%, 11/15/17 (e) | 303 | |||||||||
450 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 (e) | 401 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), | |||||||||||
300 | 6.875%, 12/01/13 | 260 | |||||||||
880 | 7.250%, 06/15/16 | 715 | |||||||||
2,450 | 11.875%, 07/15/15 | 2,560 | |||||||||
4,500 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 3,195 | |||||||||
5,529 | Six Flags Operations, Inc., 12.250%, 07/15/16 (d) (e) | 4,589 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc., | |||||||||||
1,345 | 6.750%, 05/15/18 | 1,217 | |||||||||
10 | 7.875%, 05/01/12 | 10 | |||||||||
470 | 7.875%, 10/15/14 | 468 | |||||||||
300 | Travelport LLC, 9.875%, 09/01/14 | 254 | |||||||||
1,865 | Vail Resorts, Inc., 6.750%, 02/15/14 | 1,790 | |||||||||
35,021 | |||||||||||
Household Durables — 0.6% | |||||||||||
925 | ALH Finance LLC/ALH Finance Corp., 8.500%, 01/15/13 | 856 | |||||||||
555 | Ames True Temper, Inc., VAR, 4.509%, 01/15/12 | 488 | |||||||||
4,000 | K Hovnanian Enterprises, Inc., 11.500%, 05/01/13 | 3,870 | |||||||||
990 | Meritage Homes Corp., 6.250%, 03/15/15 | 851 | |||||||||
385 | Newell Rubbermaid, Inc., 10.600%, 04/15/19 | 449 | |||||||||
1,515 | Sealy Mattress Co., 8.250%, 06/15/14 | 1,341 | |||||||||
525 | Simmons Bedding Co., 7.875%, 01/15/14 (d) | 451 | |||||||||
8,306 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Leisure Equipment & Products — 0.0% (g) | |||||||||||
865 | Steinway Musical Instruments, 7.000%, 03/01/14 (e) | 701 | |||||||||
Media — 3.3% | |||||||||||
2,900 | CBS Corp., 8.200%, 05/15/14 | 3,159 | |||||||||
1,960 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.750%, 11/15/13 (d) | 1,980 | |||||||||
1,400 | Charter Communications Holdings LLC, 8.000%, 04/30/12 | 1,410 | |||||||||
150 | Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., 10.375%, 04/30/14 | 152 | |||||||||
CSC Holdings, Inc., | |||||||||||
125 | 8.500%, 06/15/15 (e) | 126 | |||||||||
135 | 8.625%, 02/15/19 (e) | 137 | |||||||||
DirecTV Holdings LLC/DirecTV Financing Co., | |||||||||||
630 | 6.375%, 06/15/15 | 638 | |||||||||
2,280 | 7.625%, 05/15/16 | 2,400 | |||||||||
DISH DBS Corp., | |||||||||||
2,310 | 7.125%, 02/01/16 | 2,217 | |||||||||
3,015 | 7.750%, 05/31/15 | 2,955 | |||||||||
Intelsat Jackson Holdings Ltd., (Bermuda), | |||||||||||
4,310 | 9.500%, 06/15/16 | 4,429 | |||||||||
100 | 11.250%, 06/15/16 | 104 | |||||||||
10 | Intelsat Subsidiary Holding Co. Ltd., (Bermuda), 8.875%, 01/15/15 (e) | 10 | |||||||||
505 | Mediacom LLC/Mediacom Capital Corp., 9.500%, 01/15/13 | 505 | |||||||||
1,800 | News America, Inc., 6.900%, 08/15/39 (e) | 1,894 | |||||||||
1,685 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 1,588 | |||||||||
2,000 | Univision Communications, Inc., 12.000%, 07/01/14 (e) | 2,100 | |||||||||
6,750 | Valassis Communications, Inc., 8.250%, 03/01/15 | 5,906 | |||||||||
3,000 | Viacom, Inc., 4.375%, 09/15/14 | 3,005 | |||||||||
1,310 | Videotron Ltee, (Canada), 6.875%, 01/15/14 | 1,253 | |||||||||
415 | WMG Acquisition Corp., 9.500%, 06/15/16 (e) | 429 | |||||||||
2,500 | WMG Holdings Corp., SUB, 0.000%, 12/15/14 | 2,175 | |||||||||
3,500 | WPP Finance, (United Kingdom), 8.000%, 09/15/14 | 3,833 | |||||||||
3,000 | XM Satellite Radio, Inc., 13.000%, 08/01/13 (e) | 2,850 | |||||||||
45,255 | |||||||||||
Multiline Retail — 0.3% | |||||||||||
1,725 | HSN, Inc., 11.250%, 08/01/16 | 1,794 | |||||||||
400 | JC Penney Corp., Inc., 7.950%, 04/01/17 | 401 | |||||||||
Macy’s Retail Holdings, Inc., | |||||||||||
455 | 5.900%, 12/01/16 | 401 | |||||||||
1,535 | 8.875%, 07/15/15 | 1,554 | |||||||||
136 | Neiman-Marcus Group, Inc. (The), PIK, 9.000%, 10/15/15 | 102 | |||||||||
4,252 | |||||||||||
Specialty Retail — 1.2% | |||||||||||
255 | Asbury Automotive Group, Inc., 8.000%, 03/15/14 | 228 | |||||||||
5,000 | Burlington Coat Factory Warehouse Corp., 11.125%, 04/15/14 | 4,687 | |||||||||
3,000 | General Nutrition Centers, Inc., VAR, 6.404%, 03/15/14 | 2,618 | |||||||||
1,300 | PEP Boys — Manny, Moe & Jack, 7.500%, 12/15/14 | 1,134 | |||||||||
890 | Sally Holdings LLC/Sally Capital, Inc., 9.250%, 11/15/14 | 919 | |||||||||
7,500 | Toys R Us, Inc., 7.875%, 04/15/13 | 6,394 | |||||||||
15,980 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.3% | |||||||||||
995 | Hanesbrands, Inc., VAR, 4.593%, 12/15/14 | 853 | |||||||||
500 | Levi Strauss & Co., 9.750%, 01/15/15 | 511 | |||||||||
5,344 | Quiksilver, Inc., 6.875%, 04/15/15 | 3,394 | |||||||||
4,758 | |||||||||||
Total Consumer Discretionary | 125,682 | ||||||||||
Consumer Staples — 1.8% | |||||||||||
Beverages — 0.1% | |||||||||||
Constellation Brands, Inc., | |||||||||||
1,390 | 7.250%, 09/01/16 | 1,345 | |||||||||
420 | 8.375%, 12/15/14 | 427 | |||||||||
1,772 | |||||||||||
Food & Staples Retailing — 0.5% | |||||||||||
Rite Aid Corp., | |||||||||||
5,280 | 7.500%, 03/01/17 | 4,409 | |||||||||
330 | 9.500%, 06/15/17 | 237 | |||||||||
325 | 9.750%, 06/12/16 (e) | 344 | |||||||||
1,350 | SUPERVALU, Inc., 8.000%, 05/01/16 | 1,328 | |||||||||
6,318 | |||||||||||
Food Products — 0.7% | |||||||||||
Chiquita Brands International, Inc., | |||||||||||
4,000 | 7.500%, 11/01/14 | 3,775 | |||||||||
1,960 | 8.875%, 12/01/15 | 1,921 | |||||||||
180 | Del Monte Corp., 6.750%, 02/15/15 | 175 | |||||||||
1,340 | Dole Food Co., Inc., 13.875%, 03/15/14 (e) | 1,527 | |||||||||
755 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 (e) | 793 | |||||||||
Smithfield Foods, Inc., | |||||||||||
2,445 | 7.750%, 05/15/13 | 2,017 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Food Products — Continued | |||||||||||
105 | 10.000%, 07/15/14 (e) | 107 | |||||||||
10,315 | |||||||||||
Household Products — 0.4% | |||||||||||
1,167 | Central Garden and Pet Co., 9.125%, 02/01/13 | 1,173 | |||||||||
Jarden Corp., | |||||||||||
590 | 7.500%, 05/01/17 | 568 | |||||||||
825 | 8.000%, 05/01/16 | 845 | |||||||||
2,610 | Visant Holding Corp., SUB, 10.250%, 12/01/13 | 2,636 | |||||||||
5,222 | |||||||||||
Personal Products — 0.1% | |||||||||||
1,500 | Revlon Consumer Products Corp., 9.500%, 04/01/11 | 1,416 | |||||||||
Total Consumer Staples | 25,043 | ||||||||||
Energy — 2.3% | |||||||||||
Energy Equipment & Services — 0.9% | |||||||||||
1,625 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 1,162 | |||||||||
4,739 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) | 4,455 | |||||||||
3,500 | Key Energy Services, Inc., 8.375%, 12/01/14 | 3,167 | |||||||||
2,500 | PHI, Inc., 7.125%, 04/15/13 | 2,319 | |||||||||
810 | Pride International, Inc., 8.500%, 06/15/19 | 850 | |||||||||
11,953 | |||||||||||
Oil, Gas & Consumable Fuels — 1.4% | |||||||||||
2,200 | Anadarko Petroleum Corp., 6.950%, 06/15/19 | 2,404 | |||||||||
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp., | |||||||||||
1,300 | 10.750%, 02/01/18 (e) | 1,313 | |||||||||
260 | 12.125%, 08/01/17 | 274 | |||||||||
Chesapeake Energy Corp., | |||||||||||
2,430 | 6.500%, 08/15/17 | 2,144 | |||||||||
50 | 6.875%, 01/15/16 | 46 | |||||||||
Denbury Resources, Inc., | |||||||||||
800 | 7.500%, 04/01/13 | 792 | |||||||||
100 | 7.500%, 12/15/15 | 98 | |||||||||
1,215 | El Paso Corp., 8.250%, 02/15/16 | 1,227 | |||||||||
Forest Oil Corp., | |||||||||||
90 | 7.250%, 06/15/19 | 85 | |||||||||
860 | 7.750%, 05/01/14 | 839 | |||||||||
600 | Husky Energy, Inc., (Canada), 5.900%, 06/15/14 | 646 | |||||||||
Inergy LP/Inergy Finance Corp., | |||||||||||
195 | 6.875%, 12/15/14 | 182 | |||||||||
230 | 8.250%, 03/01/16 | 228 | |||||||||
500 | Newfield Exploration Co., 6.625%, 04/15/16 | 478 | |||||||||
PetroHawk Energy Corp., | |||||||||||
1,925 | 7.875%, 06/01/15 | 1,867 | |||||||||
145 | 9.125%, 07/15/13 | 147 | |||||||||
750 | Plains All American Pipeline LP, 8.750%, 05/01/19 | 904 | |||||||||
Quicksilver Resources, Inc., | |||||||||||
425 | 8.250%, 08/01/15 | 400 | |||||||||
2,000 | 11.750%, 01/01/16 | 2,120 | |||||||||
750 | Swift Energy Co., 7.125%, 06/01/17 | 593 | |||||||||
350 | Tesoro Corp., 6.625%, 11/01/15 | 313 | |||||||||
3,000 | Western Refining, Inc., 11.250%, 06/15/17 (e) | 2,655 | |||||||||
19,755 | |||||||||||
Total Energy | 31,708 | ||||||||||
Financials — 8.2% | |||||||||||
Capital Markets — 0.3% | |||||||||||
1,732 | Credit Suisse/Guernsey, (Switzerland), VAR, 1.130%, 05/15/17 (x) | 961 | |||||||||
3,100 | Macquarie Group Ltd., (Australia), 7.625%, 08/13/19 (e) | 3,170 | |||||||||
4,131 | |||||||||||
Commercial Banks — 1.0% | |||||||||||
2,500 | Bank of America Corp., 5.250%, 12/01/15 | 2,398 | |||||||||
2,700 | Comerica Bank, VAR, 0.557%, 08/24/11 | 2,544 | |||||||||
2,812 | Royal Bank of Scotland Group plc, (United Kingdom),9.118%, 03/31/10 | 2,531 | |||||||||
GBP 2,700 | SunTrust Bank, VAR, 1.349%, 06/22/12 | 3,923 | |||||||||
3,172 | Wachovia Capital Trust III, VAR, 5.800%, 03/15/11 (x) | 2,046 | |||||||||
13,442 | |||||||||||
Consumer Finance — 1.3% | |||||||||||
1,948 | ACE Cash Express, Inc., 10.250%, 10/01/14 (e) | 1,052 | |||||||||
2,600 | American Honda Finance Corp., VAR, 0.872%, 02/05/10 (e) (m) | 2,597 | |||||||||
Ford Motor Credit Co. LLC, | |||||||||||
400 | 7.000%, 10/01/13 | 357 | |||||||||
1,000 | 7.250%, 10/25/11 | 940 | |||||||||
620 | 7.500%, 08/01/12 | 571 | |||||||||
4,175 | 7.800%, 06/01/12 | 3,862 | |||||||||
GMAC, Inc., | |||||||||||
750 | 6.625%, 05/15/12 (e) | 660 | |||||||||
3,195 | 6.875%, 08/28/12 (e) | 2,780 | |||||||||
SLM Corp., | |||||||||||
204 | 5.000%, 06/15/18 | 122 | |||||||||
987 | 5.400%, 10/25/11 | 860 | |||||||||
2,210 | 8.450%, 06/15/18 | 1,700 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Consumer Finance — Continued | |||||||||||
750 | VAR, 0.804%, 01/27/14 | 476 | |||||||||
2,500 | VAR, 0.829%, 03/15/11 | 2,154 | |||||||||
18,131 | |||||||||||
Diversified Financial Services — 1.8% | |||||||||||
3,200 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 3,428 | |||||||||
4,250 | Capital One Capital V, 10.250%, 08/15/39 | 4,321 | |||||||||
CIT Group, Inc., | |||||||||||
635 | 5.600%, 04/27/11 | 379 | |||||||||
575 | 5.650%, 02/13/17 | 323 | |||||||||
575 | 5.800%, 07/28/11 | 342 | |||||||||
5,400 | Citigroup, Inc., 8.125%, 07/15/39 | 5,551 | |||||||||
Deluxe Corp., | |||||||||||
2,000 | 5.125%, 10/01/14 | 1,690 | |||||||||
1,000 | 7.375%, 06/01/15 | 895 | |||||||||
4,050 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) | 4,111 | |||||||||
4,100 | General Electric Capital Corp., VAR, 0.510%, 08/15/11 | 3,989 | |||||||||
25,029 | |||||||||||
Insurance — 3.7% | |||||||||||
2,350 | Genworth Life Institutional Funding Trust, 5.875%, 05/03/13 (e) | 2,205 | |||||||||
2,900 | Hartford Life Global Funding Trusts, VAR, 0.919%, 10/15/09 (m) | 2,898 | |||||||||
2,600 | Hartford Life Institutional Funding, VAR, 0.760%, 08/15/13 (e) | 2,220 | |||||||||
2,820 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 2,369 | |||||||||
8,500 | Liberty Mutual Group, Inc., VAR, 10.750%, 06/15/58 (e) | 7,480 | |||||||||
1,937 | MetLife, Inc., 10.750%, 08/01/39 | 2,180 | |||||||||
Metropolitan Life Global Funding I, | |||||||||||
3,650 | 5.125%, 11/09/11 (e) | 3,790 | |||||||||
2,400 | 5.125%, 04/10/13 (e) | 2,469 | |||||||||
1,400 | 5.200%, 09/18/13 (e) | 1,419 | |||||||||
3,600 | Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e) | 3,598 | |||||||||
2,700 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 2,864 | |||||||||
Pricoa Global Funding I, | |||||||||||
3,600 | 4.625%, 06/25/12 (e) | 3,548 | |||||||||
4,000 | VAR, 0.734%, 06/26/12 (e) | 3,729 | |||||||||
USI Holdings Corp., | |||||||||||
2,564 | 9.750%, 05/15/15 (e) | 2,093 | |||||||||
575 | VAR, 4.315%, 11/15/14 (e) | 444 | |||||||||
8,000 | Xlliac Global Funding, VAR, 0.764%, 08/10/10 (e) | 6,969 | |||||||||
50,275 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
900 | Mack-Cali Realty Corp., 7.750%, 08/15/19 | 912 | |||||||||
Total Financials | 111,920 | ||||||||||
Health Care — 2.2% | |||||||||||
Health Care Equipment & Supplies — 0.4% | |||||||||||
3,740 | Biomet, Inc., PIK, 10.375%, 10/15/17 | 3,899 | |||||||||
900 | Cooper Cos., Inc. (The), 7.125%, 02/15/15 | 847 | |||||||||
1,250 | DJO Finance LLC/DJO Finance Corp., 10.875%, 11/15/14 | 1,200 | |||||||||
5,946 | |||||||||||
Health Care Providers & Services — 1.4% | |||||||||||
700 | Bausch & Lomb, Inc., 9.875%, 11/01/15 | 702 | |||||||||
1,330 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 1,335 | |||||||||
HCA, Inc., | |||||||||||
2,282 | 5.750%, 03/15/14 | 1,980 | |||||||||
2,816 | 6.375%, 01/15/15 | 2,464 | |||||||||
90 | 8.500%, 04/15/19 (e) | 91 | |||||||||
7,438 | PIK, 9.625%, 11/15/16 | 7,512 | |||||||||
1,460 | Health Management Associates, Inc., 6.125%, 04/15/16 | 1,303 | |||||||||
739 | Surgical Care Affiliates, Inc., PIK, 8.875%, 07/15/15 (e) | 547 | |||||||||
Tenet Healthcare Corp., | |||||||||||
980 | 8.875%, 07/01/19 (e) | 1,005 | |||||||||
980 | 9.250%, 02/01/15 | 938 | |||||||||
410 | 10.000%, 05/01/18 (e) | 442 | |||||||||
595 | United Surgical Partners International, Inc., PIK, 9.250%, 05/01/17 | 526 | |||||||||
550 | US Oncology, Inc., 9.125%, 08/15/17 (e) | 572 | |||||||||
19,417 | |||||||||||
Pharmaceuticals — 0.4% | |||||||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | |||||||||||
2,070 | 7.750%, 11/15/11 | 2,008 | |||||||||
2,855 | VAR, 4.440%, 11/15/11 | 2,684 | |||||||||
4,692 | |||||||||||
Total Health Care | 30,055 | ||||||||||
Industrials — 4.1% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
75 | Bombardier, Inc., (Canada), 8.000%, 11/15/14 (e) | 73 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Aerospace & Defense — Continued | |||||||||||
L-3 Communications Corp., | |||||||||||
1,600 | 5.875%, 01/15/15 | 1,496 | |||||||||
235 | 6.125%, 01/15/14 | 225 | |||||||||
100 | 6.375%, 10/15/15 | 94 | |||||||||
1,888 | |||||||||||
Airlines — 0.9% | |||||||||||
2,000 | American Airlines Pass Through Trust 2001-02, AGC, 7.858%, 10/01/11 | 1,910 | |||||||||
1,000 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 | 1,040 | |||||||||
1,000 | American Airlines, Inc., 13.000%, 08/01/16 (e) | 1,022 | |||||||||
Continental Airlines, Inc., | |||||||||||
760 | 7.875%, 07/02/18 | 498 | |||||||||
6,645 | 9.798%, 04/01/21 | 4,319 | |||||||||
4,175 | Northwest Airlines, Inc., 7.027%, 11/01/19 | 3,340 | |||||||||
12,129 | |||||||||||
Building Products — 0.1% | |||||||||||
1,425 | Associated Materials, Inc., 9.750%, 04/15/12 | 1,275 | |||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
630 | ACCO Brands Corp., 7.625%, 08/15/15 | 469 | |||||||||
2,000 | Cenveo Corp., 10.500%, 08/15/16 (e) | 1,673 | |||||||||
Corrections Corp. of America, | |||||||||||
200 | 6.250%, 03/15/13 | 196 | |||||||||
850 | 7.750%, 06/01/17 | 839 | |||||||||
Iron Mountain, Inc., | |||||||||||
345 | 6.625%, 01/01/16 | 326 | |||||||||
1,250 | 8.750%, 07/15/18 | 1,273 | |||||||||
2,650 | Quebecor World Capital ULC, (Canada), 8.750%, 03/15/16 (d) (e) | 239 | |||||||||
1,050 | World Color Press, Inc., (Canada), 9.750%, 01/15/15 (d) (e) | 94 | |||||||||
2,565 | World Color USA Corp., (Canada), 6.125%, 11/15/13 (d) | 218 | |||||||||
5,327 | |||||||||||
Construction Engineering — 0.2% | |||||||||||
2,365 | United Rentals North America, Inc., 10.875%, 06/15/16 (e) | 2,412 | |||||||||
Electrical Equipment — 0.2% | |||||||||||
2,450 | Viasystems, Inc., 10.500%, 01/15/11 | 2,285 | |||||||||
Electronics — 0.1% | |||||||||||
1,500 | Da-Lite Screen Co., Inc., 9.500%, 05/15/11 | 1,354 | |||||||||
Environmental Control — 0.0% (g) | |||||||||||
120 | Clean Harbors, Inc., 7.625%, 08/15/16 (e) | 120 | |||||||||
Industrial Conglomerates — 0.7% | |||||||||||
Harland Clarke Holdings Corp., | |||||||||||
2,700 | 9.500%, 05/15/15 | 2,295 | |||||||||
6,654 | VAR, 6.000%, 05/15/15 | 4,757 | |||||||||
3,549 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 | 2,946 | |||||||||
9,998 | |||||||||||
Industrial Machinery — 0.2% | |||||||||||
405 | Baldor Electric Co., 8.625%, 02/15/17 | 403 | |||||||||
635 | General Cable Corp., 7.125%, 04/01/17 | 608 | |||||||||
RBS Global, Inc./Rexnord LLC, | |||||||||||
1,602 | 9.500%, 08/01/14 (e) | 1,474 | |||||||||
2,485 | |||||||||||
Information Technology Services — 0.0% (g) | |||||||||||
395 | Anixter, Inc., 10.000%, 03/15/14 | 408 | |||||||||
Machinery — 0.2% | |||||||||||
995 | Case New Holland, Inc., 7.750%, 09/01/13 (e) | 980 | |||||||||
Terex Corp., | |||||||||||
1,225 | 8.000%, 11/15/17 | 1,038 | |||||||||
385 | 10.875%, 06/01/16 | 404 | |||||||||
100 | Titan International, Inc., 8.000%, 01/15/12 | 96 | |||||||||
2,518 | |||||||||||
Road & Rail — 0.8% | |||||||||||
930 | Ashtead Capital, Inc., 9.000%, 08/15/16 (e) | 816 | |||||||||
1,195 | Hertz Corp. (The), 8.875%, 01/01/14 | 1,144 | |||||||||
485 | RailAmerica, Inc., 9.250%, 07/01/17 (e) | 502 | |||||||||
7,188 | RSC Equipment Rental, Inc., 9.500%, 12/01/14 | 6,433 | |||||||||
2,385 | United Rentals North America, Inc., 6.500%, 02/15/12 | 2,290 | |||||||||
11,185 | |||||||||||
Trading Companies & Distributors — 0.2% | |||||||||||
Noble Group Ltd., (Bermuda), | |||||||||||
1,349 | 6.625%, 03/17/15 (e) | 1,302 | |||||||||
1,250 | 8.500%, 05/30/13 (e) | 1,306 | |||||||||
2,608 | |||||||||||
Total Industrials | 55,992 | ||||||||||
Information Technology — 1.1% | |||||||||||
Communications Equipment — 0.3% | |||||||||||
5,700 | Avaya, Inc., 9.750%, 11/01/15 (e) | 4,389 | |||||||||
Electronic Equipment, Instruments & Components — 0.4% | |||||||||||
675 | Aeroflex, Inc., 11.750%, 02/15/15 | 596 | |||||||||
90 | Belden, Inc., 9.250%, 06/15/19 (e) | 90 | |||||||||
Flextronics International Ltd., (Singapore), | |||||||||||
74 | 6.250%, 11/15/14 | 68 | |||||||||
230 | 6.500%, 05/15/13 | 220 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Electronic Equipment, Instruments & Components — Continued | |||||||||||
175 | NXP BV/NXP Funding LLC, (Netherlands), 7.875%, 10/15/14 | 121 | |||||||||
Sanmina-SCI Corp., | |||||||||||
3,417 | 6.750%, 03/01/13 | 3,127 | |||||||||
1,765 | 8.125%, 03/01/16 | 1,522 | |||||||||
5,744 | |||||||||||
IT Services — 0.3% | |||||||||||
1,360 | First Data Corp., 9.875%, 09/24/15 | 1,163 | |||||||||
2,720 | SunGard Data Systems, Inc., 10.250%, 08/15/15 | 2,693 | |||||||||
3,856 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
305 | Advanced Micro Devices, Inc., 7.750%, 11/01/12 | 253 | |||||||||
1,120 | Amkor Technology, Inc., 7.750%, 05/15/13 | 1,106 | |||||||||
100 | Sensata Technologies BV, (Netherlands), 8.000%, 05/01/14 | 86 | |||||||||
1,445 | |||||||||||
Total Information Technology | 15,434 | ||||||||||
Materials — 4.1% | |||||||||||
Chemicals — 0.7% | |||||||||||
990 | Ashland, Inc., 9.125%, 06/01/17 (e) | 1,039 | |||||||||
785 | Dow Chemical Co. (The), 8.550%, 05/15/19 | 855 | |||||||||
Huntsman International LLC, | |||||||||||
175 | 7.375%, 01/01/15 | 151 | |||||||||
390 | 7.875%, 11/15/14 | 347 | |||||||||
5,602 | PolyOne Corp., 8.875%, 05/01/12 | 5,490 | |||||||||
625 | Reichhold Industries, Inc., 9.000%, 08/15/14 (e) | 456 | |||||||||
590 | Terra Capital, Inc., 7.000%, 02/01/17 | 556 | |||||||||
747 | Westlake Chemical Corp., 6.625%, 01/15/16 | 710 | |||||||||
9,604 | |||||||||||
Construction Materials — 0.4% | |||||||||||
3,208 | Hanson Australia Funding Ltd., (Australia), 5.250%, 03/15/13 | 2,695 | |||||||||
Hanson Ltd., (United Kingdom), | |||||||||||
1,830 | 6.125%, 08/15/16 | 1,427 | |||||||||
900 | 7.875%, 09/27/10 | 891 | |||||||||
5,013 | |||||||||||
Containers & Packaging — 1.0% | |||||||||||
460 | Ball Corp., 7.375%, 09/01/19 | 459 | |||||||||
355 | BWAY Corp., 10.000%, 04/15/14 (e) | 368 | |||||||||
530 | Crown Americas LLC/Crown Americas Capital Corp., 7.750%, 11/15/15 | 525 | |||||||||
95 | Crown Americas LLC/Crown Americas Capital Corp. II, 7.625%, 05/15/17 (e) | 94 | |||||||||
Graham Packaging Co. LP/GPC Capital Corp. I, | |||||||||||
525 | 8.500%, 10/15/12 | 525 | |||||||||
965 | 9.875%, 10/15/14 | 960 | |||||||||
75 | Greif, Inc., 7.750%, 08/01/19 (e) | 73 | |||||||||
1,460 | Norampac Industries, Inc., (Canada), 6.750%, 06/01/13 | 1,358 | |||||||||
485 | Owens Brockway Glass Container, Inc., 7.375%, 05/15/16 (e) | 483 | |||||||||
1,750 | Plastipak Holdings, Inc., 8.500%, 12/15/15 (e) | 1,671 | |||||||||
Smurfit-Stone Container Enterprises, Inc., | |||||||||||
3,410 | 8.000%, 03/15/17 (d) | 2,114 | |||||||||
815 | 8.375%, 07/01/12 (d) | 512 | |||||||||
Solo Cup Co., | |||||||||||
5,271 | 8.500%, 02/15/14 | 4,836 | |||||||||
310 | 10.500%, 11/01/13 (e) | 326 | |||||||||
14,304 | |||||||||||
Metals & Mining — 0.9% | |||||||||||
1,750 | AK Steel Corp., 7.750%, 06/15/12 | 1,748 | |||||||||
4,250 | ArcelorMittal, (Luxembourg), 9.850%, 06/01/19 | 4,854 | |||||||||
155 | Arch Coal, Inc., 8.750%, 08/01/16 (e) | 155 | |||||||||
1,405 | Arch Western Finance LLC, 6.750%, 07/01/13 | 1,342 | |||||||||
1,408 | CII Carbon LLC, 11.125%, 11/15/15 (e) | 1,299 | |||||||||
1,450 | FMG Finance Pty Ltd., (Australia), 10.625%, 09/01/16 (e) | 1,559 | |||||||||
Freeport-McMoRan Copper & Gold, Inc., | |||||||||||
20 | 8.250%, 04/01/15 | 21 | |||||||||
835 | 8.375%, 04/01/17 | 870 | |||||||||
52 | Noranda Aluminum Acquisition Corp., PIK, 5.413%, 05/15/15 | 32 | |||||||||
410 | Vedanta Resources plc, (United Kingdom), 9.500%, 07/18/18 (e) | 385 | |||||||||
12,265 | |||||||||||
Paper & Forest Products — 1.1% | |||||||||||
3,502 | Abitibi-Consolidated Co. of Canada, (Canada), 13.750%, 04/01/11 (d) (e) | 3,327 | |||||||||
1,528 | Cascades, Inc., (Canada), 7.250%, 02/15/13 | 1,440 | |||||||||
225 | Clearwater Paper Corp., 10.625%, 06/15/16 (e) | 241 | |||||||||
Georgia-Pacific LLC, | |||||||||||
450 | 7.000%, 01/15/15 (e) | 433 | |||||||||
605 | 7.125%, 01/15/17 (e) | 581 | |||||||||
515 | 8.125%, 05/15/11 | 529 | |||||||||
1,210 | 8.250%, 05/01/16 (e) | 1,222 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Paper & Forest Products — Continued | |||||||||||
180 | Glatfelter, 7.125%, 05/01/16 | 169 | |||||||||
250 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) | 157 | |||||||||
3,800 | MeadWestvaco Corp., 7.375%, 09/01/19 | 3,863 | |||||||||
919 | NewPage Corp., 10.000%, 05/01/12 | 499 | |||||||||
2,250 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 2,306 | |||||||||
14,767 | |||||||||||
Total Materials | 55,953 | ||||||||||
Telecommunication Services — 1.9% | |||||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
Frontier Communications Corp., | |||||||||||
165 | 6.250%, 01/15/13 | 156 | |||||||||
325 | 6.625%, 03/15/15 | 301 | |||||||||
4,744 | Level 3 Financing, Inc., 9.250%, 11/01/14 | 3,914 | |||||||||
1,000 | Nordic Telephone Co. Holdings ApS, (Denmark), 8.875%, 05/01/16 (e) | 1,015 | |||||||||
PAETEC Holding Corp., | |||||||||||
1,230 | 8.875%, 06/30/17 (e) | 1,172 | |||||||||
545 | 9.500%, 07/15/15 | 470 | |||||||||
Qwest Communications International, Inc., | |||||||||||
300 | 7.250%, 02/15/11 | 298 | |||||||||
745 | 7.500%, 02/15/14 | 719 | |||||||||
Qwest Corp., | |||||||||||
150 | 7.500%, 10/01/14 | 149 | |||||||||
1,045 | 8.875%, 03/15/12 | 1,076 | |||||||||
SBA Telecommunications, Inc., | |||||||||||
170 | 8.000%, 08/15/16 (e) | 169 | |||||||||
170 | 8.250%, 08/15/19 (e) | 171 | |||||||||
Wind Acquisition Finance S.A., (Luxembourg), | |||||||||||
600 | 10.750%, 12/01/15 (e) | 645 | |||||||||
1,440 | 11.750%, 07/15/17 (e) | 1,562 | |||||||||
1,125 | Windstream Corp., 8.625%, 08/01/16 | 1,129 | |||||||||
12,946 | |||||||||||
Wireless Telecommunication Services — 1.0% | |||||||||||
860 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 869 | |||||||||
Cricket Communications, Inc., | |||||||||||
1,745 | 9.375%, 11/01/14 | 1,644 | |||||||||
315 | 10.000%, 07/15/15 | 305 | |||||||||
625 | Crown Castle International Corp., 9.000%, 01/15/15 | 650 | |||||||||
Digicel Group Ltd., (Bermuda), | |||||||||||
400 | 8.875%, 01/15/15 (e) | 357 | |||||||||
645 | 12.000%, 04/11/14 (e) | 684 | |||||||||
180 | Digicel Ltd., (Bermuda), 9.250%, 09/01/12 (e) | 180 | |||||||||
101 | iPCS, Inc., PIK, 3.733%, 05/01/14 | 73 | |||||||||
1,815 | MetroPCS Wireless, Inc., 9.250%, 11/01/14 | 1,781 | |||||||||
2,750 | Nextel Communications, Inc., 7.375%, 08/01/15 | 2,348 | |||||||||
770 | NII Capital Corp., 10.000%, 08/15/16 (e) | 762 | |||||||||
4,795 | Sprint Capital Corp., 6.900%, 05/01/19 | 4,028 | |||||||||
13,681 | |||||||||||
Total Telecommunication Services | 26,627 | ||||||||||
Utilities — 1.1% | |||||||||||
Electric Utilities — 0.2% | |||||||||||
375 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 373 | |||||||||
490 | Edison Mission Energy, 7.000%, 05/15/17 | 374 | |||||||||
1,700 | FirstEnergy Solutions Corp., 6.800%, 08/15/39 (e) | 1,737 | |||||||||
2,484 | |||||||||||
Gas Utilities — 0.3% | |||||||||||
3,600 | AGL Capital Corp., 5.250%, 08/15/19 | 3,629 | |||||||||
655 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 8.750%, 04/15/18 | 622 | |||||||||
4,251 | |||||||||||
Independent Power Producers & Energy Traders — 0.5% | |||||||||||
AES Corp. (The), | |||||||||||
90 | 8.000%, 10/15/17 | 86 | |||||||||
1,585 | 9.750%, 04/15/16 (e) | 1,649 | |||||||||
725 | Dynegy Holdings, Inc., 7.500%, 06/01/15 | 587 | |||||||||
Energy Future Holdings Corp., | |||||||||||
1,755 | 10.875%, 11/01/17 | 1,255 | |||||||||
42 | PIK, 11.250%, 11/01/17 | 26 | |||||||||
NRG Energy, Inc., | |||||||||||
2,125 | 7.375%, 02/01/16 | 2,032 | |||||||||
915 | 7.375%, 01/15/17 | 871 | |||||||||
545 | RRI Energy, Inc., 6.750%, 12/15/14 | 545 | |||||||||
7,051 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
965 | Mirant North America LLC, 7.375%, 12/31/13 | 926 | |||||||||
Total Utilities | 14,712 | ||||||||||
Total Corporate Bonds (Cost $446,399) | 493,126 | ||||||||||
Loan Participations & Assignments — 6.7% | |||||||||||
Consumer Discretionary — 3.1% | |||||||||||
Automobiles — 0.4% | |||||||||||
Ford Motor Co., Term Loan B, | |||||||||||
219 | 3.280%, 12/15/13 | 190 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Automobiles — Continued | |||||||||||
6,154 | 3.510%, 12/15/13 | 5,330 | |||||||||
5,520 | |||||||||||
Broadcasting & Cable TV — 0.0% (g) | |||||||||||
202 | Mission Broadcasting, Inc., Term Loan B, 2.348%, 10/01/12 | 170 | |||||||||
190 | Nexstar Broadcasting, Inc., Term Loan B, 2.238%, 10/01/12 | 160 | |||||||||
330 | |||||||||||
Gaming — 0.3% | |||||||||||
Venetian Macau, Delayed Draw Project Term Loan, | |||||||||||
863 | 2.850%, 05/05/13 | 791 | |||||||||
122 | 2.850%, 05/05/13 | 112 | |||||||||
235 | Venetian Macau, Incremental Term Loan, 2.850%, 05/25/13 | 215 | |||||||||
2,271 | Venetian Macau, Term B Funded Project Loan, 2.850%, 05/25/13 | 2,080 | |||||||||
3,198 | |||||||||||
Hotels, Restaurants & Leisure — 0.8% | |||||||||||
CCM Merger, Inc., Term Loan B, | |||||||||||
4,773 | 8.500%, 07/21/12 | 4,463 | |||||||||
983 | 8.500%, 07/21/12 | 919 | |||||||||
468 | 8.500%, 07/21/12 | 438 | |||||||||
667 | Fontainebleau Las Vegas, Delayed Draw Term Loan B, 4.316%, 06/06/14 (d) | 213 | |||||||||
1,333 | Fontainebleau Las Vegas, Initial Term Loan, 4.527%, 06/06/14 (d) | 260 | |||||||||
3,443 | Harrah’s Operating Co., Inc., Term B-2 Loan, 3.504%, 01/28/15 | 2,779 | |||||||||
Harrah’s Operating Co., Inc., Term B-3 Loan, | |||||||||||
668 | 3.504%, 01/28/15 | 538 | |||||||||
14 | 3.598%, 01/28/15 | 11 | |||||||||
2,000 | MGM Mirage, Term Loan, 4.633%, 10/03/11 | 1,694 | |||||||||
11,315 | |||||||||||
Media — 1.3% | |||||||||||
3,000 | CCO Holdings LLC, 3rd Lien Term Loan, 6.750%, 09/06/14 | 2,527 | |||||||||
4,000 | Clear Channel Communications, Inc., Term Loan B, 3.854%, 01/29/16 | 2,781 | |||||||||
688 | Dex Media West, Term Loan B, 7.000%, 10/24/14 | 590 | |||||||||
452 | High Plains Broadcasting Operating Co. LLC, Term Loan, 7.250%, 09/14/16 | 317 | |||||||||
2,799 | Idearc, Inc., Term Loan, 6.250%, 11/17/14 | 1,260 | |||||||||
5,500 | Idearc, Inc., Term Loan B, 3.220%, 11/17/14 (d) | 2,477 | |||||||||
Newport Television LLC, Term Loan, | |||||||||||
5,917 | 7.250%, 09/14/16 | 4,142 | |||||||||
241 | 7.250%, 09/14/16 | 169 | |||||||||
2,133 | 8.000%, 09/14/16 | 1,493 | |||||||||
Univision Communications, Inc., 1st Lien Term Loan, | |||||||||||
3,000 | 2.511%, 09/20/14 | 2,344 | |||||||||
500 | 2.511%, 09/20/14 | 391 | |||||||||
18,491 | |||||||||||
Multiline Retail — 0.1% | |||||||||||
Neiman Marcus Group, Inc., Term Loan, | |||||||||||
385 | 2.304%, 04/26/13 | 317 | |||||||||
615 | 2.629%, 04/26/13 | 507 | |||||||||
824 | |||||||||||
Specialty Retail — 0.2% | |||||||||||
1,987 | Burlington Coat Factory, Term Loan B, 2.630%, 05/28/13 | 1,729 | |||||||||
Claire’s Stores, Term Loan B, | |||||||||||
842 | 3.035%, 05/29/14 | 559 | |||||||||
371 | 3.348%, 05/29/14 | 246 | |||||||||
2,534 | |||||||||||
Total Consumer Discretionary | 42,212 | ||||||||||
Consumer Staples — 0.4% | |||||||||||
Food & Staples Retailing — 0.0% (g) | |||||||||||
260 | Rite Aid Corp., Tranche 4 Term Loan, 9.500%, 06/01/15 | 268 | |||||||||
Household Products — 0.4% | |||||||||||
98 | Spectrum Brands, Inc., Letter of Credit, 6.250%, 03/30/13 (d) | 91 | |||||||||
Spectrum Brands, Inc., Term Loan B, | |||||||||||
4,373 | 5.398%, 03/30/13 (d) | 4,086 | |||||||||
500 | 6.250%, 03/30/13 (d) | 467 | |||||||||
4,644 | |||||||||||
Total Consumer Staples | 4,912 | ||||||||||
Energy — 0.1% | |||||||||||
Oil, Gas & Consumable Fuels — 0.1% | |||||||||||
1 | ATP Oil & Gas Corp., Term B-1 Loan, 8.500%, 07/15/14 | 1 | |||||||||
37 | ATP Oil & Gas Corp., Term B-2 Loan, 9.000%, 01/15/11 | 31 | |||||||||
569 | ATP Oil & Gas, Term B-1 Loan, 8.500%, 07/15/14 | 472 | |||||||||
112 | ATP Oil & Gas, Term B-2 Loan, 9.000%, 01/15/11 | 93 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
1,241 | Western Refining, Inc., Term Loan, 8.250%, 05/30/14 | 1,215 | |||||||||
Total Energy | 1,812 | ||||||||||
Financials — 0.9% | |||||||||||
Capital Markets — 0.1% | |||||||||||
535 | Nuveen Investments, Inc., 2nd Lien Term Loan, 12.500%, 07/21/15 | 505 | |||||||||
Nuveen Investments, Inc., Term Loan B, | |||||||||||
423 | 3.488%, 11/07/14 | 343 | |||||||||
122 | 3.504%, 11/07/14 | 99 | |||||||||
306 | 3.504%, 11/07/14 | 248 | |||||||||
1,195 | |||||||||||
Diversified Financial Services — 0.8% | |||||||||||
3,045 | Capmark Financial Group, 1st Lien Term Loan, 2.929%, 03/23/11 | 2,259 | |||||||||
7,750 | CIT Group, Inc., Term Loan, 10.279%, 01/20/12 | 8,081 | |||||||||
10,340 | |||||||||||
Real Estate Management & Development — 0.0% (g) | |||||||||||
436 | Realogy Corp., 3.310%, 10/10/13 | 333 | |||||||||
404 | Realogy Corp., Delayed Draw Term Loan B, 3.525%, 10/10/13 | 308 | |||||||||
641 | |||||||||||
Total Financials | 12,176 | ||||||||||
Industrials — 0.5% | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
ACCO Brands Corp., U.S. Term Loan, | |||||||||||
55 | 7.750%, 08/17/12 | 52 | |||||||||
51 | 7.750%, 08/17/12 | 48 | |||||||||
53 | ACCO Brands Corp., U.S.Term Loan, 7.750%, 08/17/12 | 50 | |||||||||
5,750 | Quebecor World, Inc., Exit Term Loan, 6.597%, 07/10/12 | 5,683 | |||||||||
5,833 | |||||||||||
Machinery — 0.1% | |||||||||||
800 | Dresser, Inc., 2nd Lien Term Loan, 6.039%, 05/04/15 | 668 | |||||||||
Total Industrials | 6,501 | ||||||||||
Information Technology — 0.5% | |||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||
Aeroflex, Tranche B-1 Term Loan, | |||||||||||
30 | 3.563%, 08/16/14 | 28 | |||||||||
633 | 3.750%, 08/16/14 | 575 | |||||||||
603 | |||||||||||
IT Services — 0.3% | |||||||||||
First Data Corp., Initial Tranche B-1 Term Loan, | |||||||||||
707 | 3.035%, 09/24/14 | 590 | |||||||||
41 | 3.035%, 09/24/14 | 34 | |||||||||
First Data Corp., Initial Tranche B-2 Term Loan, | |||||||||||
1,275 | 3.035%, 09/24/14 | 1,062 | |||||||||
74 | 3.035%, 09/24/14 | 61 | |||||||||
First Data Corp., Initial Tranche B-3 Term Loan, | |||||||||||
1,774 | 3.035%, 09/24/14 | 1,473 | |||||||||
1,521 | 3.035%, 09/24/14 | 1,268 | |||||||||
191 | 3.035%, 09/24/14 | 159 | |||||||||
4,647 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
874 | Freescale Semiconductor, Inc., Incremental Term Loan, 12.500%, 12/15/14 | 819 | |||||||||
957 | Sensata Technologies Finance Co. LLC, U.S. Term Loan, (Netherlands), 2.246%, 04/27/13 | 781 | |||||||||
2 | Sensata Technologies, U.S. Term Loan, 2.094%, 04/27/13 | 2 | |||||||||
1,602 | |||||||||||
Total Information Technology | 6,852 | ||||||||||
Materials — 1.0% | |||||||||||
Chemicals — 0.5% | |||||||||||
1,990 | Cristal Inorganic Chemicals, 1st Lien Term Loan, 2.848%, 05/15/14 | 1,463 | |||||||||
848 | INEOS Holdings, B2 Advance Term Loan, (United Kingdom), 7.501%, 12/14/13 | 651 | |||||||||
848 | INEOS Holdings, C2 Advance Term Loan, (United Kingdom), 8.001%, 12/14/14 | 654 | |||||||||
617 | Lyondell Chemical Co., New Money DIP Term Loan, 13.000%, 12/15/09 | 640 | |||||||||
Lyondell Chemical Co., Roll-Up DIP Term Loan, | |||||||||||
290 | 5.807%, 12/15/09 | 270 | |||||||||
2,000 | 5.940%, 12/15/09 | 1,861 | |||||||||
3,000 | Lyondell Chemical Co., U.S. Tranche B-3 Dollar Term Loan, 7.000%, 12/20/14 | 1,447 | |||||||||
6,986 | |||||||||||
Containers & Packaging — 0.2% | |||||||||||
967 | Smurfit Stone Container Enterprise, DIP Term Loan, 10.000%, 01/28/10 | 972 | |||||||||
1,650 | Smurfit Stone Container, Term Loan, 2.820%, 11/01/11 | 1,566 | |||||||||
2,538 | |||||||||||
Diversified Manufacturing — 0.1% | |||||||||||
1,492 | BOC Edwards, 1st Priority Lien Term Loan, 2.285%, 05/31/14 | 925 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Paper & Forest Products — 0.2% | |||||||||||
1,000 | Abitibi, Inc., Term Loan, 9.500%, 03/31/11 (d) | 779 | |||||||||
3,000 | New Page Corp., Term Loan, 4.063%, 12/21/14 | 2,774 | |||||||||
3,553 | |||||||||||
Total Materials | 14,002 | ||||||||||
Utilities — 0.2% | |||||||||||
Independent Power Producers & Energy Traders — 0.2% | |||||||||||
1,990 | Calpine Corp., 1st Priority Lien Term Loan, 3.475%, 03/29/14 | 1,827 | |||||||||
TXU, Initial Tranche B-2 Term Loan, | |||||||||||
12 | 3.785%, 10/10/14 | 10 | |||||||||
1,586 | 3.802%, 10/10/14 | 1,203 | |||||||||
Total Utilities | 3,040 | ||||||||||
Total Loan Participations & Assignments (Cost 82,137) | 91,507 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investment Companies — 1.0% | |||||||||||
216 | Advent Claymore Global Convertible Securities & Income Fund | 1,552 | |||||||||
137 | Dreyfus High Yield Strategies Fund | 449 | |||||||||
52 | First Trust/Four Corners Senior Floating Rate Income Fund | 571 | |||||||||
452 | ING Prime Rate Trust | 2,114 | |||||||||
619 | Nuveen Multi-Strategy Income and Growth Fund 2 | 4,162 | |||||||||
54 | ProShares UltraShort Real Estate (a) | 619 | |||||||||
72 | SPDR Barclays Capital High Yield Bond ETF | 2,645 | |||||||||
323 | Van Kampen Senior Income Trust | 1,118 | |||||||||
Total Investment Companies (Cost $9,846) | 13,230 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Security — 0.1% | |||||||||||
900 | Federal National Mortgage Association, 30 Year, Single Family, TBA, 4.500%, 09/25/39 (Cost $888) | 905 | |||||||||
U.S. Treasury Obligations — 4.6% | |||||||||||
19,780 | U.S. Treasury Bond, 4.500%, 08/15/39 | 20,846 | |||||||||
40,910 | U.S. Treasury Note, 3.625%, 08/15/19 | 41,677 | |||||||||
Total U.S. Treasury Obligations (Cost $62,009) | 62,523 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.1% | |||||||||||
Call Option Purchased — 0.0% (g) | |||||||||||
987 | 90 Day Eurodollar Futures, Expiring 12/14/09 $99.50, American Style (r) (Cost $102) | 327 | |||||||||
Put Options Purchased — 0.1% | |||||||||||
518 | 1 Year Eurodollar Mid-Curve Futures, Expiring 09/11/09 $98.00, American Style (r) | 13 |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | ||||||||||
13,000 | Expiring 03/25/10. If exercised the Fund pays semi-annually 4.250% and receives quarterly floating 3 month LIBOR terminating 03/29/20, European Style. Counterparty: Deutsche Bank AG, New York (r) | 334 | ||||||||
15,000 | Expiring 06/30/10. If exercised the Fund pays semi-annually 4.698% and receives quarterly floating 3 month LIBOR terminating 07/02/20, European Style. Counterparty: Royal Bank of Scotland (r) | 352 | ||||||||
7,500 | Expiring 07/12/10. If exercised the Fund pays semi-annually 4.389% and receives quarterly floating 3 month LIBOR terminating 03/29/20, European Style. Counterparty: Deutsche Bank AG, New York (r) | 242 | ||||||||
Total Put Options Purchased (Cost $994) | 941 | |||||||||
Total Options Purchased (Cost $1,096) | 1,268 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 47.4% | |||||||||||
U.S. Treasury Obligation — 0.4% | |||||||||||
5,115 | U.S. Treasury Bill, 0.163% 10/15/09 (k) (n) (Cost $5,114) | 5,114 |
SHARES | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 47.0% | ||||||||||
643,021 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.270% (b) (l) (m) (Cost $643,021) | 643,021 | ||||||||
Total Short-Term Investments (Cost $648,135) | 648,135 | |||||||||
Total Investments — 106.3% (Cost $1,381,225) | 1,453,056 | |||||||||
Liabilities in Excess of Other Assets — (6.3)% | (85,675 | ) | ||||||||
NET ASSETS — 100.0% | $ | 1,367,381 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL AMOUNT AT 08/31/09 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
239 | 90 Day Eurodollar | 10/19/09 | $ | 59,523 | $ | 135 | ||||||||||||
435 | 30 Day Federal Funds | 10/30/09 | 180,938 | 180 | ||||||||||||||
330 | 30 Day Federal Funds | 11/30/09 | 137,246 | 334 | ||||||||||||||
1,229 | 90 Day Eurodollar | 12/14/09 | 305,836 | 2,140 | ||||||||||||||
535 | 30 Day Federal Funds | 02/26/10 | 222,293 | 340 | ||||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(151) | 10 Year U.S. Treasury Note | 12/21/09 | (17,700 | ) | (149 | ) | ||||||||||||
(763) | 30 Year U.S. Treasury Bond | 12/21/09 | (91,369 | ) | (752 | ) | ||||||||||||
(19) | 2 Year U.S. Treasury Note | 12/31/09 | (4,111 | ) | (9 | ) | ||||||||||||
(435) | 30 Day Federal Funds | 12/31/09 | (180,920 | ) | (278 | ) | ||||||||||||
(74) | 5 Year U.S. Treasury Note | 12/31/09 | (8,528 | ) | (51 | ) | ||||||||||||
(782) | 90 Day Eurodollar | 09/13/10 | (192,548 | ) | (173 | ) | ||||||||||||
$ | 1,717 |
CONTRACTS TO SELL | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/09 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2,300,000 GBP | 09/17/09 | 3,724 | $ | 3,744 | $ | (20 | ) |
Call Options Written
DESCRIPTION | | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 99.63 | 12/14/09 | 987 | $ | (117 | ) | |||||||||||||||
1 Year Eurodollar Mid-Curve Futures, American Style | 98.63 | 09/11/09 | 74 | (7 | ) | |||||||||||||||||
(Premiums received of $37.) | $ | (124 | ) |
DESCRIPTION | | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 98.38 | 12/14/09 | 987 | $ | (31 | ) | |||||||||||||||
(Premiums received of $76.) |
COUNTERPARTY | | EXERCISE RATE** (r) | | OPTION EXPIRATION DATE | | SWAP TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.388% semi-annually | 07/12/10 | 07/14/20 | $ | 7,500 | $ | (97 | ) | |||||||||||||||
Deutsche Bank AG, New York | 5.545% semi-annually | 03/25/10 | 03/29/20 | 4,360 | (26 | ) | |||||||||||||||||
Royal Bank of Scotland | 5.698% semi-annually | 06/30/10 | 07/02/20 | 15,000 | (138 | ) | |||||||||||||||||
(Premiums received of $432.) | $ | (261 | ) | ||||||||||||||||||||
* European Style | |||||||||||||||||||||||
** The Fund would pay quarterly a floating rate based on 3 month LIBOR, if exercised. |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A.: | ||||||||||||||||||||||||||
Home Depot, Inc., 5.875%, 12/16/36 | 1.000% quarterly | 09/20/14 | 0.720% | $ | 5,000 | $ | (76 | ) | $ | 85 | ||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.000% quarterly | 09/20/14 | 0.675 | 10,000 | (174 | ) | 109 | |||||||||||||||||||
Anadarko Petroleum Corp., 5.950%, 09/15/16 | 1.000% quarterly | 09/20/14 | 1.067 | 3,000 | 3 | 11 | ||||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.317 | 4,000 | (139 | ) | 119 | |||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.322 | 5,000 | (173 | ) | 157 | |||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.420% quarterly | 03/20/14 | 0.477 | 3,350 | (147 | ) | — | |||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.540% quarterly | 03/20/14 | 0.477 | 1,650 | (81 | ) | — | |||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 2,000 | (133 | ) | (80 | ) | ||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.250 | 5,000 | 47 | (47 | ) | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.280% quarterly | 03/20/14 | 0.652 | 550 | (16 | ) | — | |||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 5.000% quarterly | 06/20/14 | 7.321 | 2,100 | 434 | (686 | ) | |||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.317 | 8,000 | (278 | ) | 233 | |||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.580% quarterly | 03/20/14 | 0.477 | 2,500 | (128 | ) | — | |||||||||||||||||||
Kohl’s Corp., 6.250%, 12/15/17 | 1.000% quarterly | 09/20/14 | 1.095 | 4,000 | 10 | 13 | ||||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 4,000 | (266 | ) | (36 | ) | ||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 4,000 | (266 | ) | 87 | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.250 | 2,500 | — | (24 | ) | |||||||||||||||||||
Republic of Austria, 5.250%, 01/04/11 | 1.620% quarterly | 06/20/14 | 0.701 | 7,700 | (345 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.250% semi-annually | 03/20/14 | 0.594 | 5,000 | (417 | ) | — | |||||||||||||||||||
Sara Lee Corp., 6.125%, 11/01/33 | 1.000% quarterly | 06/20/14 | 0.305 | 5,000 | (169 | ) | 133 | |||||||||||||||||||
Sears Roebuck Acceptance Corp., 7.500%, 01/15/13 | 5.000% quarterly | 06/20/14 | 3.659 | 4,000 | (256 | ) | 256 | |||||||||||||||||||
Walt Disney Co. (The), 5.625%, 09/15/16 | 1.000% quarterly | 09/20/14 | 0.480 | 5,000 | — | 133 | ||||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.220% quarterly | 12/20/13 | 0.639 | 1,650 | (43 | ) | — | |||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 0.950% quarterly | 03/20/14 | 0.652 | 7,800 | (115 | ) | — | |||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 5.000% quarterly | 06/20/14 | 7.321 | 1,900 | 144 | (299 | ) | |||||||||||||||||||
Lowe’s Cos., Inc., 5.400%, 10/15/16 | 1.000% quarterly | 09/20/14 | 0.710 | 5,000 | (78 | ) | 94 | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.276 | 5,000 | 54 | (73 | ) | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.276 | 5,000 | 54 | (83 | ) | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.050% semi-annually | 02/20/14 | 0.591 | 1,050 | (66 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.080% semi-annually | 02/20/14 | 0.591 | 260 | (17 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.250% semi-annually | 02/20/14 | 0.591 | 160 | (11 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.197% semi-annually | 02/20/14 | 0.591 | 230 | (16 | ) | — | |||||||||||||||||||
TJX Cos., Inc., 7.450%, 12/15/09 | 1.000% quarterly | 09/20/14 | 0.375 | 8,000 | (256 | ) | 269 | |||||||||||||||||||
$ | (2,920 | ) | $ | 371 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A.: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | % | $ | 9,800 | $ | 2,737 | $ | (2,586 | ) | |||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,510 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,460 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,465 | ) | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,375 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,325 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 5,000 | 452 | (1,200 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 3,500 | 316 | (796 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 2,500 | 226 | (560 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 1,500 | 135 | (308 | ) | |||||||||||||||||||
CMBX.NA.AJ.1.1 | 0.840% monthly | 10/12/52 | 6.974 | 5,000 | 1,455 | (1,475 | ) | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
CDX.EM.11.1 | 5.000% semi-annually | 06/20/14 | 3.209 | 5,000 | (424 | ) | 132 | |||||||||||||||||||
CDX.EM.11.1 | 5.000% semi-annually | 06/20/14 | 3.209 | 5,000 | (424 | ) | 239 | |||||||||||||||||||
CDX.NA.HY.12.8 | 5.000% quarterly | 06/20/14 | 8.360 | 5,000 | 512 | (549 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 5,700 | 515 | (1,097 | ) | |||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 8,800 | 2,457 | (3,000 | ) | |||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 12,100 | 3,379 | (3,595 | ) | |||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 1,500 | 419 | (277 | ) | |||||||||||||||||||
CDX.EM.11.1 | 5.000% semi-annually | 06/20/14 | 3.209 | 5,000 | (424 | ) | (38 | ) | ||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 2,000 | 1,275 | (1,400 | ) | |||||||||||||||||||
$ | 18,981 | $ | (23,645 | ) |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International: | ||||||||||||||||||||||||||
Assured Guaranty U.S. Holdings, Inc., 7.000%, 06/01/34 | 5.000% quarterly | 06/20/14 | 9.394 | % | $ | 2,000 | $ | (292 | ) | $ | 1,047 | |||||||||||||||
Assured Guaranty U.S. Holdings, Inc., 7.000%, 06/01/34 | 5.000% quarterly | 06/20/14 | 9.394 | 2,000 | (292 | ) | 709 | |||||||||||||||||||
XTO Energy, Inc., 4.900%, 02/01/14 | 1.000% quarterly | 09/20/14 | 1.200 | 3,000 | (22 | ) | 10 | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
MetLife, Inc., 5.000%, 06/15/15 | 5.000% quarterly | 06/20/14 | 3.504 | 4,000 | 283 | (78 | ) | |||||||||||||||||||
MetLife, Inc., 5.000%, 06/15/15 | 5.000% quarterly | 06/20/14 | 3.504 | 4,000 | 283 | (153 | ) | |||||||||||||||||||
Prudential Financial, Inc., 4.500%, 07/15/13 | 5.000% quarterly | 06/20/14 | 3.180 | 2,000 | 169 | 330 | ||||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
Radian Group, Inc., 5.375%, 06/15/15 | 5.000% quarterly | 09/20/14 | 18.769 | 5,000 | (1,694 | ) | 1,654 | |||||||||||||||||||
$ | (1,565 | ) | $ | 3,519 |
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America: | ||||||||||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858% | $ | 6,000 | $ | (160 | ) | $ | 175 | ||||||||||||||||
Citibank, N.A.: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 8,900 | (6,357 | ) | 6,050 | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 5,000 | (133 | ) | 161 | |||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 5,000 | (133 | ) | 155 | |||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 10,000 | (266 | ) | 186 | |||||||||||||||||||
CMBX.NA.AAA.4 | 0.350% monthly | 02/17/51 | 4.275 | 5,000 | (1,181 | ) | 1,175 | |||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 1,500 | (1,071 | ) | 808 | |||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 8,000 | (5,714 | ) | 5,800 | |||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 11,000 | (7,857 | ) | 7,782 | |||||||||||||||||||
$ | (22,872 | ) | $ | 22,292 |
[1] | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay an upfront premium to the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] | The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[3] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[4] | The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
[5] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
RATE TYPE (r) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY | | PAYMENTS MADE BY THE FUND | | PAYMENTS RECEIVED BY THE FUND | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [1] | ||||||||||||||
Citibank, N.A. | 3.079% semi-annually | 3 month LIBOR quarterly | 08/17/14 | $ | 99,930 | $ | (1,642 | ) | $ | — |
[1] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
SWAP COUNTERPARTY | | REFERENCED OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | UPFRONT PREMIUMS (PAID)/ RECEIVED [1] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (††) | U.S. Treasury Note, 2.375%, 08/31/14 | 99.44 | 09/29/09 | $ | 100,985 | $ | — | $ | — | |||||||||||||||||
Credit Suisse International (†) | U.S. Treasury Note, 2.750%, 02/15/19 | 91.20 | 09/10/09 | 30,045 | (1,034 | ) | — | |||||||||||||||||||
Credit Suisse International (††) | U.S. Treasury Bond, 8.750%, 08/15/20 | 139.15 | 09/10/09 | 21,055 | 1,180 | — | ||||||||||||||||||||
$ | 146 | $ | — |
[1] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
(†) | If the market price exceeds the price lock at termination, the Fund pays the difference between the market price and the price lock. If the market price is below the price lock at termination, the Fund receives the difference between the price lock and market price. |
(††) | If the market price exceeds the price lock at termination, the Fund receives the difference between the market price and the price lock. If the market price is below the price lock at termination, the Fund pays the difference between the price lock and market price. |
AS OF AUGUST 31, 2009 (Unaudited)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 6.7% | |||||||||||
6,097 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.964%, 08/25/35 (m) | 4,843 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
1,094 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 (m) | 554 | |||||||||
10 | Series 2004-1, Class 3A, VAR, 0.546%, 04/25/34 (m) | 7 | |||||||||
730 | Series 2004-1, Class M1, VAR, 0.766%, 03/25/34 (m) | 573 | |||||||||
600 | Series 2004-1, Class M2, VAR, 0.816%, 03/25/34 (m) | 443 | |||||||||
90 | Series 2005-3, Class AF3, VAR, 4.823%, 08/25/35 (m) | 88 | |||||||||
1,503 | Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 1,393 | |||||||||
2,226 | Series 2006-3, Class 2A2, VAR, 0.446%, 06/25/36 (m) | 1,713 | |||||||||
7,620 | Series 2006-11, Class 1AF2, VAR, 6.017%, 09/25/46 (m) | 5,808 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
122 | Series 2004-I, Class A, VAR, 0.563%, 02/15/34 (m) | 52 | |||||||||
148 | Series 2004-K, Class 2A, VAR, 0.573%, 02/15/34 (m) | 58 | |||||||||
2,800 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, VAR, 0.456%, 03/25/36 | 1,911 | |||||||||
1,168 | Granite Master Issuer plc, (United Kingdom), Series 2006-2, Class A4, VAR, 0.313%, 12/20/54 | 944 | |||||||||
7,620 | GSAA Trust, Series 2006-11, Class 2A2, VAR, 0.426%, 07/25/36 | 2,635 | |||||||||
169 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.526%, 11/25/35 | 159 | |||||||||
4,802 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.446%, 07/25/36 | 3,693 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
1,120 | Series 2004-1, Class M1, VAR, 0.766%, 02/25/34 | 722 | |||||||||
750 | Series 2004-1, Class M2, VAR, 0.816%, 02/25/34 | 479 | |||||||||
4,220 | Series 2004-3, Class M1, VAR, 0.836%, 07/25/34 | 2,969 | |||||||||
6,794 | Series 2006-2, Class 2A3, VAR, 0.456%, 03/25/46 | 2,819 | |||||||||
740 | New Century Home Equity Loan Trust, Series 2005-1, Class M1, VAR, 0.716%, 03/25/35 | 425 | |||||||||
224 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.106%, 02/25/33 | 152 | |||||||||
1,460 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.610%, 06/15/15 | 1,630 | |||||||||
RESI Finance LP, (Cayman Islands), | |||||||||||
3,078 | Series 2003-C, Class B3, VAR, 1.676%, 09/10/35 (e) | 1,265 | |||||||||
660 | Series 2003-D, Class B3, VAR, 1.576%, 12/10/35 (e) | 275 | |||||||||
Residential Asset Mortgage Products, Inc., | |||||||||||
1,715 | Series 2006-EFC1, Class A2, VAR, 0.466%, 02/25/36 | 1,512 | |||||||||
607 | Series 2006-RS1, Class AI2, VAR, 0.496%, 01/25/36 | 342 | |||||||||
4,719 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.456%, 03/25/36 | 3,866 | |||||||||
932 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 0.446%, 12/25/35 | 855 | |||||||||
Wachovia Asset Securitization, Inc., | |||||||||||
243 | Series 2002-HE2, Class A, VAR, 0.696%, 12/25/32 | 140 | |||||||||
153 | Series 2003-HE3, Class A, VAR, 0.516%, 11/25/33 | 77 | |||||||||
Total Asset-Backed Securities (Cost $50,299) | 42,402 | ||||||||||
Collateralized Mortgage Obligations — 11.6% | |||||||||||
Agency CMO — 1.3% | |||||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
3,825 | Series 2701, Class ST, IF, IO, 6.727%, 08/15/21 | 245 | |||||||||
2,369 | Series 2779, Class SM, IF, IO, 6.877%, 10/15/18 | 204 | |||||||||
2,290 | Series 2861, Class GS, IF, IO, 6.927%, 01/15/21 | 36 | |||||||||
508 | Series 2891, Class LI, IO, 5.000%, 06/15/24 | 3 | |||||||||
1,571 | Series 2931, Class GA, 5.000%, 11/15/28 | 1,633 | |||||||||
996 | Series 2971, Class PI, IO, 5.500%, 03/15/26 | 25 | |||||||||
3,050 | Series 2975, Class SJ, IF, IO, 6.377%, 05/15/35 | 314 | |||||||||
262 | Series 2980, Class QB, 6.500%, 05/15/35 | 282 | |||||||||
2,115 | Series 3149, Class IU, IO, 6.000%, 09/15/25 | 41 | |||||||||
4,730 | Series 3370, Class SH, IF, IO, 6.177%, 10/15/37 | 505 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
4,841 | Series 2004-17, Class DS, IF, IO, 6.884%, 11/25/32 | 549 | |||||||||
1,253 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | 76 | |||||||||
9,737 | Series 2007-109, Class GI, IF, IO, 5.804%, 12/25/37 | 1,129 | |||||||||
19,118 | Series 2008-61, Class S, IF, IO, 5.834%, 07/25/38 | 1,938 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
72 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 75 | |||||||||
953 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 978 | |||||||||
8,033 | |||||||||||
Non-Agency CMO — 10.3% | |||||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
105 | Series 2005-4, Class 7A2, VAR, 0.496%, 08/25/35 (m) | 61 | |||||||||
507 | Series 2005-5, Class 6A21, VAR, 0.496%, 09/25/35 (m) | 270 | |||||||||
2,766 | Banc of America Funding Corp., Series 2005-6, Class 2A8, 5.500%, 10/25/35 (m) | 2,125 | |||||||||
966 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.500%, 09/25/35 (m) | 954 | |||||||||
2,199 | Citigroup Mortgage Loan Trust, Inc., Series 2007-12, Class 2A1, 6.500%, 10/25/36 (e) (m) | 1,519 | |||||||||
11,955 | CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1A4, 6.000%, 11/25/36 (m) | 7,579 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
1,856 | Series 2004-28CB, Class 3A1, 6.000%, 01/25/35 (m) | 1,526 | |||||||||
9,823 | Series 2005-J14, Class A3, 5.500%, 12/25/35 (m) | 7,765 | |||||||||
5,277 | Series 2005-J3, Class 3A1, 6.500%, 09/25/34 (m) | 4,324 | |||||||||
8,340 | Series 2006-24CB, Class A1, 6.000%, 06/25/36 (m) | 6,637 | |||||||||
2,111 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A10, 5.850%, 05/25/36 (m) | 1,914 | |||||||||
2,938 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-22, Class A20, 6.250%, 10/25/32 (m) | 2,867 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
201 | Series 2003-29, Class 7A1, 6.500%, 12/25/33 (m) | 175 | |||||||||
318 | Series 2004-5, Class 1A8, 6.000%, 09/25/34 (m) | 319 | |||||||||
2,892 | Deutsche ALT-A Securities, Inc., Alternate Loan Trust, Series 2006-AR1, Class 1A2, VAR, 0.476%, 02/25/36 (m) | 1,956 | |||||||||
2,503 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.500%, 11/25/35 | 2,467 | |||||||||
Harborview Mortgage Loan Trust, | |||||||||||
1,709 | Series 2005-3, Class 2A1A, VAR, 0.519%, 06/19/35 | 883 | |||||||||
2,449 | Series 2005-13, Class 2A11, VAR, 0.559%, 02/19/36 | 1,302 | |||||||||
1,023 | Series 2006-8, Class 2A1A, VAR, 0.459%, 08/21/36 | 499 | |||||||||
6,228 | Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 09/25/37 | 4,792 | |||||||||
477 | Lehman XS Trust, Series 2005-7N, Class 1A1A, VAR, 0.536%, 12/25/35 | 271 | |||||||||
2,765 | Residential Accredit Loans, Inc., Series 2006-QS11, Class 1A1, 6.500%, 08/25/36 | 2,328 | |||||||||
3,455 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A5, 5.500%, 11/25/35 | 3,270 | |||||||||
483 | Structured Asset Mortgage Investments, Inc., Series 2005-AR2, Class 2A1, VAR, 0.496%, 05/25/45 | 251 | |||||||||
WaMu Mortgage Pass-Through Certificates, | |||||||||||
555 | Series 2005-AR15, Class A1A1, VAR, 0.526%, 11/25/45 | 320 | |||||||||
324 | Series 2005-AR17, Class A1A1, VAR, 0.536%, 12/25/45 | 190 | |||||||||
315 | Series 2005-AR2, Class 2A21, VAR, 0.596%, 01/25/45 | 188 | |||||||||
492 | Series 2005-AR9, Class A1A, VAR, 0.586%, 07/25/45 | 295 | |||||||||
336 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 1A, VAR, 0.456%, 07/25/46 | 166 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
299 | Series 2003-2, Class A6, 5.250%, 02/25/18 | 298 | |||||||||
7,025 | Series 2003-M, Class A1, VAR, 4.693%, 12/25/33 | 6,643 | |||||||||
319 | Series 2004-F, Class A8, VAR, 4.725%, 06/25/34 | 306 | |||||||||
1,198 | Series 2006-AR3, Class A1, VAR, 5.713%, 03/25/36 | 863 | |||||||||
65,323 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $75,496) | 73,356 | ||||||||||
Commercial Mortgage-Backed Securities — 2.4% | |||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
2,570 | Series 2005-PWR9, Class A4A, 4.871%, 09/11/42 (m) | 2,394 | |||||||||
2,290 | Series 2005-T18, Class A4, VAR, 4.933%, 02/13/42 (m) | 2,185 | |||||||||
1,390 | Series 2005-T20, Class A4A, VAR, 5.298%, 10/12/42 (m) | 1,381 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Commercial Mortgage-Backed Securities — Continued | |||||||||||
2,980 | Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Class A4, VAR, 4.799%, 08/10/42 | 2,713 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
1,200 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 1,080 | |||||||||
2,240 | Series 2006-C4, Class A4, VAR, 5.882%, 06/15/38 | 2,093 | |||||||||
1,240 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, VAR, 0.393%, 09/15/21 (e) | 807 | |||||||||
1,440 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.840%, 05/12/39 | 1,352 | |||||||||
970 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 | 995 | |||||||||
200 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 195 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $15,600) | 15,195 | ||||||||||
Corporate Bonds — 40.2% | |||||||||||
Consumer Discretionary — 5.3% | |||||||||||
Auto Components — 0.2% | |||||||||||
455 | Goodyear Tire & Rubber Co. (The), 9.000%, 07/01/15 | 462 | |||||||||
TRW Automotive, Inc., | |||||||||||
800 | 7.000%, 03/15/14 (e) | 696 | |||||||||
460 | 7.250%, 03/15/17 (e) | 386 | |||||||||
1,544 | |||||||||||
Diversified Consumer Services — 0.1% | |||||||||||
630 | Service Corp. International, 7.375%, 10/01/14 | 617 | |||||||||
Hotels, Restaurants & Leisure — 0.8% | |||||||||||
855 | Host Hotels & Resorts LP, 6.375%, 03/15/15 | 802 | |||||||||
185 | McDonald’s Corp., 6.300%, 10/15/37 | 215 | |||||||||
MGM Mirage, | |||||||||||
930 | 5.875%, 02/27/14 | 669 | |||||||||
830 | 6.750%, 04/01/13 | 631 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), | |||||||||||
560 | 6.875%, 12/01/13 | 485 | |||||||||
25 | 7.250%, 06/15/16 | 20 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc., | |||||||||||
480 | 6.750%, 05/15/18 | 434 | |||||||||
130 | 7.875%, 05/01/12 | 131 | |||||||||
990 | Vail Resorts, Inc., 6.750%, 02/15/14 | 950 | |||||||||
685 | Yum! Brands, Inc., 6.875%, 11/15/37 | 743 | |||||||||
5,080 | |||||||||||
Household Durables — 0.4% | |||||||||||
150 | ALH Finance LLC/ALH Finance Corp., 8.500%, 01/15/13 (m) | 139 | |||||||||
150 | Ames True Temper, Inc., VAR, 4.509%, 01/15/12 (m) | 132 | |||||||||
110 | Beazer Homes USA, Inc., 6.500%, 11/15/13 (m) | 70 | |||||||||
1,190 | Sealy Mattress Co., 8.250%, 06/15/14 | 1,053 | |||||||||
600 | Simmons Bedding Co., 7.875%, 01/15/14 (d) | 516 | |||||||||
1,290 | Simmons Co., SUB, 10.000%, 12/15/14 | 400 | |||||||||
2,310 | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
550 | Steinway Musical Instruments, 7.000%, 03/01/14 (e) | 446 | |||||||||
Media — 3.2% | |||||||||||
1,010 | CBS Corp., 8.875%, 05/15/19 (m) | 1,086 | |||||||||
710 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.750%, 11/15/13 (d) | 717 | |||||||||
485 | Charter Communications Holdings LLC, 8.000%, 04/30/12 (e) (m) | 489 | |||||||||
725 | Comcast Corp., 6.950%, 08/15/37 (m) | 820 | |||||||||
50 | CSC Holdings, Inc., 8.625%, 02/15/19 (e) (m) | 50 | |||||||||
2,360 | Dex Media West LLC/Dex Media West Finance Co., 9.875%, 08/15/13 (d) | 496 | |||||||||
1,890 | DirecTV Holdings LLC/DirecTV Financing Co., 6.375%, 06/15/15 (m) | 1,914 | |||||||||
DISH DBS Corp., | |||||||||||
1,880 | 7.125%, 02/01/16 (m) | 1,805 | |||||||||
200 | 7.750%, 05/31/15 (m) | 196 | |||||||||
Intelsat Jackson Holdings Ltd., (Bermuda), | |||||||||||
465 | 9.500%, 06/15/16 | 478 | |||||||||
280 | 11.250%, 06/15/16 | 292 | |||||||||
75 | Intelsat Subsidiary Holding Co. Ltd., (Bermuda), 8.875%, 01/15/15 (e) | 75 | |||||||||
1,000 | News America, Inc., 6.900%, 08/15/39 (e) | 1,052 | |||||||||
1,585 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 1,494 | |||||||||
1,265 | Thomson Reuters Corp., (Canada), 6.500%, 07/15/18 | 1,419 | |||||||||
Time Warner Cable, Inc., | |||||||||||
1,000 | 6.550%, 05/01/37 | 1,052 | |||||||||
550 | 7.300%, 07/01/38 | 622 | |||||||||
770 | 7.500%, 04/01/14 | 884 | |||||||||
2,230 | Time Warner, Inc., VAR, 0.684%, 11/13/09 (m) | 2,230 | |||||||||
1,045 | Viacom, Inc., 6.250%, 04/30/16 | 1,121 | |||||||||
435 | Videotron Ltee, (Canada), 6.875%, 01/15/14 | 416 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Media — Continued | |||||||||||
1,765 | WPP Finance, (United Kingdom), 8.000%, 09/15/14 | 1,933 | |||||||||
20,641 | |||||||||||
Multiline Retail — 0.2% | |||||||||||
871 | Neiman-Marcus Group, Inc. (The), PIK, 9.000%, 10/15/15 | 649 | |||||||||
500 | �� | Target Corp., 6.500%, 10/15/37 | 544 | ||||||||
1,193 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
375 | Sally Holdings LLC/Sally Capital, Inc., 9.250%, 11/15/14 | 387 | |||||||||
Textiles, Apparel & Luxury Goods — 0.2% | |||||||||||
1,200 | Hanesbrands, Inc., VAR, 4.593%, 12/15/14 | 1,029 | |||||||||
Total Consumer Discretionary | 33,247 | ||||||||||
Consumer Staples — 2.9% | |||||||||||
Beverages — 1.1% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc., | |||||||||||
1,365 | 6.875%, 11/15/19 (e) (m) | 1,527 | |||||||||
1,300 | 7.200%, 01/15/14 (e) (m) | 1,460 | |||||||||
2,185 | Coca-Cola Enterprises, Inc., 7.375%, 03/03/14 (m) | 2,560 | |||||||||
1,520 | Constellation Brands, Inc., 7.250%, 09/01/16 (m) | 1,471 | |||||||||
7,018 | |||||||||||
Food & Staples Retailing — 0.7% | |||||||||||
1,630 | CVS Pass-Through Trust, 6.036%, 12/10/28 (m) | 1,538 | |||||||||
1,930 | CVS/Caremark Corp., VAR, 0.968%, 06/01/10 (m) | 1,926 | |||||||||
740 | Wal-Mart Stores, Inc., 5.250%, 09/01/35 | 735 | |||||||||
4,199 | |||||||||||
Food Products — 0.1% | |||||||||||
1,005 | Del Monte Corp., 6.750%, 02/15/15 (m) | 975 | |||||||||
Household Products — 0.4% | |||||||||||
220 | Central Garden and Pet Co., 9.125%, 02/01/13 (m) | 221 | |||||||||
1,220 | Jarden Corp., 7.500%, 05/01/17 | 1,174 | |||||||||
Visant Holding Corp., | |||||||||||
630 | 8.750%, 12/01/13 | 637 | |||||||||
410 | SUB, 10.250%, 12/01/13 | 414 | |||||||||
2,446 | |||||||||||
Tobacco — 0.6% | |||||||||||
2,415 | Altria Group, Inc., 9.700%, 11/10/18 (m) | 2,954 | |||||||||
730 | Philip Morris International, Inc., 6.375%, 05/16/38 | 830 | |||||||||
3,784 | |||||||||||
Total Consumer Staples | 18,422 | ||||||||||
Energy — 1.9% | |||||||||||
Oil, Gas & Consumable Fuels — 1.9% | |||||||||||
Anadarko Petroleum Corp., | |||||||||||
970 | 6.450%, 09/15/36 (m) | 960 | |||||||||
2,000 | 8.700%, 03/15/19 (m) | 2,356 | |||||||||
585 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 (m) | 613 | |||||||||
Chesapeake Energy Corp., | |||||||||||
530 | 6.500%, 08/15/17 (m) | 468 | |||||||||
610 | 7.000%, 08/15/14 (m) | 579 | |||||||||
750 | Denbury Resources, Inc., 7.500%, 12/15/15 (m) | 731 | |||||||||
200 | El Paso Corp., 8.250%, 02/15/16 (m) | 202 | |||||||||
260 | Forest Oil Corp., 7.250%, 06/15/19 | 244 | |||||||||
1,065 | Hess Corp., 8.125%, 02/15/19 | 1,260 | |||||||||
290 | Newfield Exploration Co., 6.625%, 04/15/16 | 277 | |||||||||
1,315 | ONEOK Partners LP, 5.900%, 04/01/12 | 1,386 | |||||||||
PetroHawk Energy Corp., | |||||||||||
110 | 7.875%, 06/01/15 | �� | 107 | ||||||||
300 | 9.125%, 07/15/13 | 304 | |||||||||
740 | Plains All American Pipelines LP, 6.500%, 05/01/18 | 783 | |||||||||
230 | Quicksilver Resources, Inc., 8.250%, 08/01/15 | 216 | |||||||||
515 | Tesoro Corp., 6.625%, 11/01/15 | 461 | |||||||||
1,275 | XTO Energy, Inc., 5.750%, 12/15/13 | 1,376 | |||||||||
Total Energy | 12,323 | ||||||||||
Financials — 16.4% | |||||||||||
Capital Markets — 2.7% | |||||||||||
1,660 | Credit Suisse/Guernsey, (Switzerland), VAR, 1.130%, 05/15/17 (m) (x) | 921 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
1,610 | 6.000%, 05/01/14 | 1,736 | |||||||||
1,945 | 6.750%, 10/01/37 | 1,947 | |||||||||
175 | 7.500%, 02/15/19 | 202 | |||||||||
3,795 | Lehman Brothers Holdings Capital Trust VII, 0.000%, 05/31/12 (d) (i) (x) | — | (h) | ||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
1,350 | 0.000%, 08/21/09 (d) | 233 | |||||||||
850 | 0.000%, 05/25/10 (d) | 146 | |||||||||
Macquarie Group Ltd., (Australia), | |||||||||||
1,035 | 7.300%, 08/01/14 (e) | 1,076 | |||||||||
1,255 | 7.625%, 08/13/19 (e) | 1,284 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
Merrill Lynch & Co., Inc., | |||||||||||
175 | 6.050%, 08/15/12 | 182 | |||||||||
1,240 | VAR, 0.683%, 11/01/11 | 1,187 | |||||||||
Morgan Stanley, | |||||||||||
990 | 5.625%, 01/09/12 | 1,045 | |||||||||
2,225 | 6.000%, 05/13/14 | 2,359 | |||||||||
1,380 | VAR, 0.568%, 05/07/10 (m) | 1,373 | |||||||||
770 | VAR, 2.550%, 05/14/10 (m) | 777 | |||||||||
2,500 | UBS AG, (Switzerland), 5.875%, 12/20/17 | 2,477 | |||||||||
16,945 | |||||||||||
Commercial Banks — 3.0% | |||||||||||
Barclays Bank plc, (United Kingdom), | |||||||||||
1,360 | 6.050%, 12/04/17 (e) (m) | 1,342 | |||||||||
940 | 6.750%, 05/22/19 (m) | 1,030 | |||||||||
Credit Suisse, (Switzerland), | |||||||||||
2,410 | 5.000%, 05/15/13 (m) | 2,559 | |||||||||
585 | 5.300%, 08/13/19 (m) | 592 | |||||||||
830 | Glitnir Banki HF, (Iceland)10/15/08 (d) (e) (i) | 164 | |||||||||
675 | HSBC Bank USA N.A., 7.000%, 01/15/39 | 770 | |||||||||
1,670 | Royal Bank of Scotland plc (The), (United Kingdom), 4.875%, 08/25/14 (e) | 1,673 | |||||||||
1,000 | Standard Chartered Bank, (United Kingdom), 6.400%, 09/26/17 (e) | 972 | |||||||||
1,940 | Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) | 2,062 | |||||||||
GBP 2,400 | SunTrust Bank, VAR, 1.349%, 06/22/12 | 3,487 | |||||||||
3,025 | Svenska Handelsbanken AB, (Sweden), 4.875%, 06/10/14 (e) | 3,167 | |||||||||
1,325 | Westpac Banking Corp., (Australia), 4.200%, 02/27/15 | 1,333 | |||||||||
19,151 | |||||||||||
Consumer Finance — 1.6% | |||||||||||
3,735 | American Express Credit Corp., 5.125%, 08/25/14 (m) | 3,780 | |||||||||
3,500 | American Honda Finance Corp., VAR, 0.872%, 02/05/10 (e) (m) | 3,496 | |||||||||
1,935 | Ford Motor Credit Co. LLC, 7.800%, 06/01/12 | 1,790 | |||||||||
GMAC, Inc., | |||||||||||
750 | 6.625%, 05/15/12 (e) | 660 | |||||||||
642 | 6.875%, 08/28/12 (e) | 558 | |||||||||
10,284 | |||||||||||
Diversified Financial Services — 3.3% | |||||||||||
Bank of America Corp., | |||||||||||
3,840 | 5.650%, 05/01/18 (m) | 3,713 | |||||||||
1,075 | 6.500%, 08/01/16 (m) | 1,108 | |||||||||
1,365 | 7.375%, 05/15/14 (m) | 1,496 | |||||||||
980 | Capital One Bank USA N.A., 8.800%, 07/15/19 (m) | 1,050 | |||||||||
1,500 | Capital One Capital V, 10.250%, 08/15/39 (m) | 1,525 | |||||||||
955 | Capital One Financial Corp., 6.750%, 09/15/17 (m) | 959 | |||||||||
Citigroup, Inc., | |||||||||||
4,000 | 6.000%, 08/15/17 (m) | 3,760 | |||||||||
760 | 8.125%, 07/15/39 (m) | 781 | |||||||||
General Electric Capital Corp., | |||||||||||
1,145 | 5.875%, 01/14/38 | 1,017 | |||||||||
5,700 | VAR, 0.510%, 08/15/11 | 5,545 | |||||||||
20,954 | |||||||||||
FDIC Guaranteed Securities (˜) — 1.6% | |||||||||||
3,335 | Bank of America Corp., 3.125%, 06/15/12 (m) | 3,464 | |||||||||
3,335 | Citigroup, Inc., 2.875%, 12/09/11 (m) | 3,442 | |||||||||
3,300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 3,441 | |||||||||
10,347 | |||||||||||
Insurance — 3.7% | |||||||||||
1,445 | ACE INA Holdings, Inc., 5.600%, 05/15/15 (m) | 1,547 | |||||||||
2,000 | Genworth Life Institutional Funding Trust, 5.875%, 05/03/13 (e) | 1,877 | |||||||||
Metropolitan Life Global Funding I, | |||||||||||
1,450 | 5.125%, 04/10/13 (e) | 1,492 | |||||||||
1,500 | 5.125%, 06/10/14 (e) | 1,563 | |||||||||
2,210 | Nationwide Life Global Funding I, VAR, 0.587%, 10/09/09 (e) (m) | 2,206 | |||||||||
705 | Pacific Life Insurance Co., 9.250%, 06/15/39 (e) | 748 | |||||||||
Pricoa Global Funding I, | |||||||||||
3,805 | 5.400%, 10/18/12 (e) | 3,993 | |||||||||
2,500 | VAR, 0.734%, 06/26/12 (e) | 2,331 | |||||||||
1,150 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 1,316 | |||||||||
2,210 | StanCorp Financial Group, Inc., VAR, 6.900%, 06/01/67 | 1,261 | |||||||||
6,000 | Xlliac Global Funding, VAR, 0.764%, 08/10/10 (e) (m) | 5,227 | |||||||||
23,561 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||
1,115 | Camden Property Trust, 5.700%, 05/15/17 (m) | 1,029 | |||||||||
610 | ERP Operating LP, 5.200%, 04/01/13 (m) | 618 | |||||||||
1,315 | Simon Property Group LP, 6.750%, 05/15/14 | 1,409 | |||||||||
3,056 | |||||||||||
Total Financials | 104,298 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Health Care — 2.1% | |||||||||||
Health Care Equipment & Supplies — 0.5% | |||||||||||
2,000 | Biomet, Inc., PIK, 10.375%, 10/15/17 (m) | 2,085 | |||||||||
910 | Cooper Cos., Inc. (The), 7.125%, 02/15/15 (m) | 857 | |||||||||
320 | DJO Finance LLC/DJO Finance Corp., 10.875%, 11/15/14 (m) | 307 | |||||||||
3,249 | |||||||||||
Health Care Providers & Services — 1.3% | |||||||||||
1,825 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 (m) | 1,832 | |||||||||
3,024 | HCA, Inc., PIK, 9.625%, 11/15/16 | 3,054 | |||||||||
900 | Roche Holdings, Inc., 6.000%, 03/01/19 (e) | 996 | |||||||||
350 | United Surgical Partners International, Inc., PIK, 9.250%, 05/01/17 | 310 | |||||||||
2,000 | UnitedHealth Group, Inc., VAR, 0.789%, 06/21/10 (m) | 1,983 | |||||||||
8,175 | |||||||||||
Pharmaceuticals — 0.3% | |||||||||||
1,570 | Pfizer, Inc., 6.200%, 03/15/19 | 1,775 | |||||||||
Total Health Care | 13,199 | ||||||||||
Industrials — 1.8% | |||||||||||
Aerospace & Defense — 0.4% | |||||||||||
1,590 | ITT Corp., 6.125%, 05/01/19 | 1,704 | |||||||||
970 | L-3 Communications Corp., 5.875%, 01/15/15 | 907 | |||||||||
2,611 | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
1,025 | ACCO Brands Corp., 7.625%, 08/15/15 (m) | 763 | |||||||||
495 | Allied Waste North America, Inc., 7.375%, 04/15/14 (m) | 516 | |||||||||
230 | Corrections Corp. of America, 6.250%, 03/15/13 (m) | 225 | |||||||||
1,260 | Iron Mountain, Inc., 6.625%, 01/01/16 | 1,191 | |||||||||
2,695 | |||||||||||
Environmental Services — 0.3% | |||||||||||
1,690 | Republic Services, Inc., 5.500%, 09/15/19 (e) (w) | 1,678 | |||||||||
Industrial Machinery — 0.1% | |||||||||||
395 | Baldor Electric Co., 8.625%, 02/15/17 (m) | 393 | |||||||||
462 | RBS Global, Inc./Rexnord LLC, 9.500%, 08/01/14 (e) | 425 | |||||||||
818 | |||||||||||
Machinery — 0.2% | |||||||||||
1,550 | Terex Corp., 8.000%, 11/15/17 | 1,314 | |||||||||
200 | Titan International, Inc., 8.000%, 01/15/12 | 192 | |||||||||
1,506 | |||||||||||
Road & Rail — 0.4% | |||||||||||
200 | Ashtead Capital, Inc., 9.000%, 08/15/16 (e) (m) | 176 | |||||||||
1,085 | Canadian Pacific Railway Co., (Canada), 7.250%, 05/15/19 (m) | 1,239 | |||||||||
530 | Hertz Corp. (The), 8.875%, 01/01/14 | 508 | |||||||||
530 | RSC Equipment Rental, Inc., 9.500%, 12/01/14 | 474 | |||||||||
2,397 | |||||||||||
Total Industrials | 11,705 | ||||||||||
Information Technology — 0.6% | |||||||||||
Electronic Equipment, Instruments & Components — 0.0% (g) | |||||||||||
150 | Flextronics International Ltd., (Singapore), 6.250%, 11/15/14 | 138 | |||||||||
157 | NXP BV/Funding LLC, (Netherlands), 10.000%, 07/15/13 (e) | 143 | |||||||||
281 | |||||||||||
IT Services — 0.3% | |||||||||||
450 | First Data Corp., 9.875%, 09/24/15 | 385 | |||||||||
1,400 | SunGard Data Systems, Inc., 10.250%, 08/15/15 | 1,386 | |||||||||
1,771 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
441 | Freescale Semiconductor, Inc., PIK, 9.125%, 12/15/14 | 255 | |||||||||
340 | Sensata Technologies BV, (Netherlands), 8.000%, 05/01/14 | 291 | |||||||||
546 | |||||||||||
Software — 0.2% | |||||||||||
215 | Open Solutions, Inc., 9.750%, 02/01/15 (e) | 141 | |||||||||
710 | Oracle Corp., 6.125%, 07/08/39 | 797 | |||||||||
938 | |||||||||||
Total Information Technology | 3,536 | ||||||||||
Materials — 1.5% | |||||||||||
Chemicals — 0.4% | |||||||||||
435 | Dow Chemical Co. (The), 8.550%, 05/15/19 (m) | 474 | |||||||||
720 | Ineos Group Holdings plc, (United Kingdom), 8.500%, 02/15/16 (e) | 331 | |||||||||
1,310 | PolyOne Corp., 8.875%, 05/01/12 | 1,284 | |||||||||
610 | Terra Capital, Inc., 7.000%, 02/01/17 | 575 | |||||||||
2,664 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
300 | Graham Packaging Co. LP/GPC Capital Corp. I, 9.875%, 10/15/14 | 298 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Containers & Packaging — Continued | |||||||||||
895 | Smurfit-Stone Container Enterprises, Inc., 8.375%, 07/01/12 (d) | 562 | |||||||||
860 | |||||||||||
Metals & Mining — 0.9% | |||||||||||
1,305 | ArcelorMittal, (Luxembourg), 9.850%, 06/01/19 (m) | 1,490 | |||||||||
1,125 | Arch Western Finance LLC, 6.750%, 07/01/13 (m) | 1,074 | |||||||||
450 | FMG Finance Pty Ltd., (Australia), 10.625%, 09/01/16 (e) (m) | 484 | |||||||||
1,145 | Freeport-McMoRan Copper & Gold, Inc., 8.250%, 04/01/15 | 1,194 | |||||||||
1,635 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 1,437 | |||||||||
5,679 | |||||||||||
Paper & Forest Products — 0.1% | |||||||||||
Georgia-Pacific LLC, | |||||||||||
420 | 7.000%, 01/15/15 (e) | 405 | |||||||||
445 | 7.125%, 01/15/17 (e) | 427 | |||||||||
832 | |||||||||||
Total Materials | 10,035 | ||||||||||
Telecommunication Services — 4.6% | |||||||||||
Diversified Telecommunication Services — 3.5% | |||||||||||
AT&T, Inc., | |||||||||||
1,090 | 5.800%, 02/15/19 (m) | 1,170 | |||||||||
3,230 | 6.700%, 11/15/13 (m) | 3,659 | |||||||||
British Telecommunications plc, (United Kingdom), | |||||||||||
1,000 | 5.950%, 01/15/18 (m) | 1,019 | |||||||||
735 | 9.625%, 12/15/30 (m) | 924 | |||||||||
600 | Deutsche Telekom International Finance BV, (Netherlands), 6.750%, 08/20/18 (m) | 677 | |||||||||
810 | Nordic Telephone Co. Holdings ApS, (Denmark), 8.875%, 05/01/16 (e) | 822 | |||||||||
315 | PAETEC Holding Corp., 9.500%, 07/15/15 | 272 | |||||||||
565 | Qwest Communications International, Inc., 7.250%, 02/15/11 | 561 | |||||||||
Qwest Corp., | |||||||||||
2,098 | 7.875%, 09/01/11 | 2,140 | |||||||||
340 | 8.875%, 03/15/12 | 350 | |||||||||
2,120 | Telecom Italia Capital S.A., (Luxembourg), 7.721%, 06/04/38 | 2,475 | |||||||||
Telefonica Emisiones S.A.U., (Spain), | |||||||||||
1,990 | 5.855%, 02/04/13 | 2,157 | |||||||||
3,940 | 5.984%, 06/20/11 | 4,195 | |||||||||
Verizon Communications, Inc., | |||||||||||
1,140 | 6.400%, 02/15/38 | 1,232 | |||||||||
125 | 8.750%, 11/01/18 | 158 | |||||||||
610 | Wind Acquisition Finance S.A., (Luxembourg), 10.750%, 12/01/15 (e) | 656 | |||||||||
22,467 | |||||||||||
Wireless Telecommunication Services — 1.1% | |||||||||||
800 | Alltel Corp., 7.875%, 07/01/32 (m) | 981 | |||||||||
1,020 | Cricket Communications, Inc., 9.375%, 11/01/14 (m) | 962 | |||||||||
250 | Crown Castle International Corp., 9.000%, 01/15/15 (m) | 260 | |||||||||
230 | Digicel Group Ltd., (Bermuda), 8.875%, 01/15/15 (e) (m) | 205 | |||||||||
30 | iPCS, Inc., PIK, 3.733%, 05/01/14 | 22 | |||||||||
1,000 | MetroPCS Wireless, Inc., 9.250%, 11/01/14 | 981 | |||||||||
2,000 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 2,265 | |||||||||
1,395 | Sprint Capital Corp., 6.900%, 05/01/19 | 1,172 | |||||||||
6,848 | |||||||||||
Total Telecommunication Services | 29,315 | ||||||||||
Utilities — 3.1% | |||||||||||
Electric Utilities — 1.1% | |||||||||||
85 | Appalachian Power Co., 5.550%, 04/01/11 (m) | 88 | |||||||||
630 | Dominion Resources, Inc., 5.200%, 08/15/19 (m) | 650 | |||||||||
1,345 | Duke Energy Corp., 5.050%, 09/15/19 (m) | 1,359 | |||||||||
1,100 | E.ON International Finance BV, (Netherlands), 5.800%, 04/30/18 (e) (m) | 1,173 | |||||||||
520 | FirstEnergy Solutions Corp., 6.800%, 08/15/39 (e) | 531 | |||||||||
330 | Mirant Americas Generation LLC, 8.300%, 05/01/11 | 332 | |||||||||
1,010 | Nevada Power Co., 7.125%, 03/15/19 | 1,150 | |||||||||
660 | Pacific Gas & Electric Co., 6.250%, 03/01/39 | 744 | |||||||||
290 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 | 192 | |||||||||
615 | Union Electric Co., 8.450%, 03/15/39 | 808 | |||||||||
7,027 | |||||||||||
Gas Utilities — 0.9% | |||||||||||
850 | DCP Midstream LLC, 9.750%, 03/15/19 (e) (m) | 1,011 | |||||||||
1,005 | EQT Corp., 8.125%, 06/01/19 (m) | 1,129 | |||||||||
1,265 | Kinder Morgan Energy Partners LP, 6.850%, 02/15/20 | 1,391 | |||||||||
250 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 8.750%, 04/15/18 | 237 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Gas Utilities — Continued | |||||||||||
1,440 | Sonat, Inc., 7.625%, 07/15/11 | 1,459 | |||||||||
5,227 | |||||||||||
Independent Power Producers & Energy Traders — 0.4% | |||||||||||
Energy Future Holdings Corp., | |||||||||||
1,345 | 10.875%, 11/01/17 (m) | 962 | |||||||||
212 | PIK, 11.250%, 11/01/17 (m) | 129 | |||||||||
1,540 | NRG Energy, Inc., 7.375%, 02/01/16 | 1,473 | |||||||||
2,564 | |||||||||||
Multi-Utilities — 0.7% | |||||||||||
1,065 | DTE Energy Co., 7.625%, 05/15/14 (m) | 1,153 | |||||||||
630 | Mirant North America LLC, 7.375%, 12/31/13 | 605 | |||||||||
1,370 | National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18 | 1,776 | |||||||||
740 | Veolia Environnement, (France), 6.000%, 06/01/18 | 789 | |||||||||
4,323 | |||||||||||
Total Utilities | 19,141 | ||||||||||
Total Corporate Bonds (Cost $246,483) | 255,221 | ||||||||||
Mortgage Pass-Through Securities — 35.9% | |||||||||||
48 | Federal Home Loan Mortgage Corp., Gold Pool, 15 Year, Single Family, | ||||||||||
6.000%, 02/01/11 – 04/01/11 | 51 | ||||||||||
Federal Home Loan Mortgage Corp., Gold Pool, 30 Year, Single Family, | |||||||||||
2,600 | TBA, 4.500%, 09/15/39 | 2,612 | |||||||||
18,825 | TBA, 5.000%, 09/15/39 | 19,325 | |||||||||
24,440 | TBA, 5.500%, 09/15/39 | 25,463 | |||||||||
18,815 | TBA, 6.000%, 09/15/39 | 19,815 | |||||||||
4,900 | TBA, 6.500%, 09/15/39 | 5,214 | |||||||||
100 | 6.000%, 01/01/35 | 106 | |||||||||
27 | 7.000%, 12/01/25 – 02/01/26 | 30 | |||||||||
69 | 7.500%, 10/01/26 – 02/01/27 | 77 | |||||||||
50 | 8.000%, 04/01/26 – 07/01/26 | 56 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
14,365 | TBA, 4.500%, 09/25/24 | 14,769 | |||||||||
11,185 | TBA, 5.000%, 09/25/24 | 11,657 | |||||||||
8,550 | TBA, 5.500%, 09/25/24 | 8,996 | |||||||||
1,695 | TBA, 6.000%, 09/25/24 | 1,802 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
12,600 | TBA, 4.500%, 09/25/39 | 12,667 | |||||||||
15,520 | TBA, 5.000%, 09/25/39 | 15,927 | |||||||||
19,385 | TBA, 5.500%, 09/25/39 | 20,179 | |||||||||
15,800 | TBA, 6.000%, 09/25/39 | 16,624 | |||||||||
11,385 | TBA, 6.500%, 09/25/39 | 12,175 | |||||||||
896 | 6.000%, 10/01/23 – 01/01/29 | 953 | |||||||||
858 | 6.500%, 04/01/29 – 03/01/35 | 921 | |||||||||
233 | 7.000%, 02/01/35 – 03/01/35 | 254 | |||||||||
30 | 7.500%, 03/01/35 | 33 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
7,700 | TBA, 4.500%, 09/15/39 | 7,763 | |||||||||
7,200 | TBA, 5.000%, 09/15/39 | 7,409 | |||||||||
11,500 | TBA, 5.500%, 09/15/39 | 12,010 | |||||||||
9,865 | TBA, 6.000%, 09/15/39 | 10,398 | |||||||||
493 | 7.000%, 09/15/31 | 545 | |||||||||
— | (h) | 9.000%, 04/15/11 | — | (h) | |||||||
Total Mortgage Pass-Through Securities (Cost $225,107) | 227,831 | ||||||||||
Supranational — 0.5% | |||||||||||
2,760 | European Investment Bank, 4.875%, 02/16/16 (m) (Cost $2,808) | 3,003 | |||||||||
U.S. Government Agency Securities — 8.0% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
11,225 | 2.125%, 09/21/12 | 11,323 | |||||||||
4,000 | 3.750%, 03/27/19 | 3,976 | |||||||||
1,800 | 5.125%, 10/18/16 | 1,979 | |||||||||
Federal National Mortgage Association, | |||||||||||
31,240 | 1.750%, 08/10/12 | 31,256 | |||||||||
2,140 | 4.875%, 12/15/16 | 2,324 | |||||||||
50 | 6.625%, 11/15/30 | 63 | |||||||||
Total U.S. Government Agency Securities (Cost $50,497) | 50,921 | ||||||||||
U.S. Treasury Obligations — 11.3% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
5,210 | 3.500%, 02/15/39 (m) | 4,603 | |||||||||
1,960 | 4.250%, 05/15/39 (m) | 1,982 | |||||||||
100 | 4.375%, 02/15/38 (m) | 103 | |||||||||
6,950 | 4.500%, 08/15/39 | 7,325 | |||||||||
310 | 5.500%, 08/15/28 (m) | 365 | |||||||||
300 | 6.250%, 08/15/23 (m) | 371 | |||||||||
690 | 7.250%, 05/15/16 (m) | 871 | |||||||||
750 | 7.500%, 11/15/16 (m) | 961 | |||||||||
6,500 | U.S. Treasury Inflation Indexed Notes, 0.625%, 04/15/13 | 6,529 | |||||||||
U.S. Treasury Notes, | |||||||||||
6,910 | 0.875%, 05/31/11 (m) | 6,917 | |||||||||
9,545 | 1.125%, 06/30/11 (m) | 9,587 | |||||||||
1,252 | 1.375%, 02/15/12 (m) | 1,255 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — Continued | |||||||||||
Multi-Utilities — Continued | |||||||||||
2,305 | 1.750%, 11/15/11 (m) | 2,337 | |||||||||
4,220 | 3.125%, 05/15/19 (m) | 4,120 | |||||||||
5,120 | 3.250%, 07/31/16 (m) | 5,198 | |||||||||
575 | 3.500%, 02/15/18 (m) | 582 | |||||||||
16,935 | 3.625%, 08/15/19 (m) | 17,253 | |||||||||
1,360 | 3.750%, 11/15/18 (m) | 1,397 | |||||||||
Total U.S. Treasury Obligations (Cost $70,552) | 71,756 |
NUMBER OF CONTRACTS | | SECURITY DESCRIPTION | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased — 0.2% | ||||||||||||||
Call Option Purchased — 0.0% (g) | ||||||||||||||
344 | 90 Day Eurodollar Futures, Expiring 09/14/09 $99.50, American Style (r) (Cost $36) | 114 | ||||||||||||
Put Options Purchased — 0.2% | ||||||||||||||
158 | 1 Year Eurodollar Mid-Curve Futures, Expiring 12/11/09 $98.00, American Style (r) | 4 |
NOTIONAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: | |||||||||||
15,070 | Expiring 03/25/10. If exercised the Fund pays semi-annually 4.250% and receives quarterly floating 3 month LIBOR terminating 03/29/20, European Style. Counterparty: Deutsche Bank AG, New York (r) | 387 | |||||||||
11,000 | Expiring 06/30/10. If exercised the Fund pays semi-annually 4.470% and receives quarterly floating 3 month LIBOR terminating 07/02/20, European Style. Counterparty: Royal Bank of Scotland (r) | 259 | |||||||||
5,500 | Expiring 07/12/10. If exercised the Fund pays semi-annually 4.388% and receives quarterly floating 3 month LIBOR terminating 07/14/20, European Style. Counterparty: Deutsche Bank AG, New York (r) | 177 | |||||||||
Total Put Options Purchased (Cost $787) | 827 | ||||||||||
Total Options Purchased (Cost $823) | 941 |
PRINCIPAL AMOUNT | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments — 23.4% | |||||||||||
U.S. Treasury Obligation — 0.6% | |||||||||||
3,680 | U.S. Treasury Bill, 0.162%, 10/15/09 (k) (m) (n) (Cost $3,679) | 3,679 |
SHARES | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 22.8% | ||||||||||
144,876 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.230% (b) (l) (m) (Cost $144,876) | 144,876 | ||||||||
Total Short-Term Investments (Cost $148,555) | 148,555 | |||||||||
Total Investments — 140.2% (Cost $886,220) | 889,181 | |||||||||
Liabilities in Excess of Other Assets — (40.2)% | (254,873 | ) | ||||||||
NET ASSETS — 100.0% | $ | 634,308 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL AMOUNT AT 08/31/09 | | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | |||||||||||||||||||
91 | 90 Day Eurodollar | 10/19/09 | 22,664 | 51 | |||||||||||||||
225 | 30 Day Federal Funds | 10/30/09 | 93,589 | 93 | |||||||||||||||
261 | 30 Day Federal Funds | 11/30/09 | 108,549 | 331 | |||||||||||||||
659 | 90 Day Eurodollar | 12/14/09 | 163,992 | 1,167 | |||||||||||||||
176 | 10 Year U.S. Treasury Note | 12/21/09 | 20,630 | 129 | |||||||||||||||
206 | 30 Year U.S. Treasury Bond | 12/21/09 | 24,668 | 203 | |||||||||||||||
34 | 2 Year U.S. Treasury Note | 12/31/09 | 7,356 | 16 | |||||||||||||||
98 | 5 Year U.S. Treasury Note | 12/31/09 | 11,295 | 61 | |||||||||||||||
216 | 30 Day Federal Funds | 02/26/10 | 89,748 | 137 | |||||||||||||||
Short Futures Outstanding | |||||||||||||||||||
(169) | 10 Year U.S. Treasury Note | 12/21/09 | (19,810 | ) | (163 | ) | |||||||||||||
(204) | 30 Year U.S. Treasury Bond | 12/21/09 | (24,429 | ) | (192 | ) | |||||||||||||
(125) | 2 Year U.S. Treasury Note | 12/31/09 | (27,043 | ) | (71 | ) | |||||||||||||
(225) | 30 Day Federal Funds | 12/31/09 | (93,579 | ) | (144 | ) | |||||||||||||
(110) | 5 Year U.S. Treasury Note | 12/31/09 | (12,678 | ) | (79 | ) | |||||||||||||
(234) | 90 Day Eurodollar | 09/13/10 | (57,617 | ) | (53 | ) | |||||||||||||
1,486 |
CONTRACTS TO SELL | | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/09 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2,050,000 | GBP | 09/17/09 | 3,320 | 3,338 | (18 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ | 99.63 | 12/14/09 | 344 | (41 | ) | ||||||||||||
1 Year Eurodollar Mid-Curve Futures, American Style | 98.63 | 09/11/09 | 145 | (14 | ) | |||||||||||||
(Premiums received of 38.) | (55 | ) |
DESCRIPTION | | EXERCISE PRICE | | EXPIRATION DATE | | NUMBER OF CONTRACTS | | VALUE | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day Eurodollar Futures, American Style | $ 98.38 | 12/14/09 | 344 | (11 | ) | |||||||||||||
(Premiums received of 27.) |
COUNTERPARTY | | EXERCISE RATE** (r) | | OPTION EXPIRATION DATE | | SWAP TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG, New York | 5.388% semi-annually | 07/12/10 | 07/14/20 | 5,500 | (71 | ) | ||||||||||||||||
Deutsche Bank AG, New York | 5.545% semi-annually | 03/25/10 | 03/29/20 | 5,050 | (30 | ) | ||||||||||||||||
Royal Bank of Scotland | 5.698% semi-annually | 06/30/10 | 07/02/20 | 11,000 | (101 | ) | ||||||||||||||||
(Premiums received of 354.) | (202 | ) |
* | European Style |
** | The Fund would pay quarterly a floating rate based on 3 month LIBOR, if exercised. |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A.: | ||||||||||||||||||||||||||
Home Depot, Inc., 5.875%, 12/16/36 | 1.000% quarterly | 09/20/14 | 0.720% | 1,800 | (27 | ) | 30 | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.000% quarterly | 09/20/14 | 0.675 | 2,000 | (35 | ) | 22 | |||||||||||||||||||
Anadarko Petroleum Corp., 5.950%, 09/15/16 | 1.000% quarterly | 09/20/14 | 1.067 | 2,000 | 2 | 8 | ||||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.322 | 1,000 | (35 | ) | 31 | |||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.317 | 3,000 | (104 | ) | 89 | |||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.420% quarterly | 03/20/14 | 0.477 | 2,350 | (103 | ) | — | |||||||||||||||||||
Kingdom of Sweden, 3.875%, 12/29/09 | 1.540% quarterly | 03/20/14 | 0.477 | 1,150 | (57 | ) | — | |||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 1,500 | (100 | ) | (60 | ) | ||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.250 | 1,800 | — | (17 | ) | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.280% quarterly | 03/20/14 | 0.652 | 2,000 | (59 | ) | — | |||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 5.000% quarterly | 06/20/14 | 7.321 | 1,050 | 360 | (534 | ) | |||||||||||||||||||
Gap Inc. (The), 10.050%, 12/15/08 | 1.000% quarterly | 09/20/14 | 0.317 | 6,000 | (209 | ) | 175 | |||||||||||||||||||
Kohl’s Corp., 6.250%, 12/15/17 | 1.000% quarterly | 09/20/14 | 1.095 | 3,000 | 8 | 10 | ||||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 3,000 | (200 | ) | (27 | ) | ||||||||||||||||||
Lincoln National Corp., 6.200%, 12/15/11 | 5.000% quarterly | 06/20/14 | 3.600 | 3,000 | (200 | ) | 65 | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.250 | 900 | — | (9 | ) | |||||||||||||||||||
Republic of Austria, 5.250%, 01/04/11 | 1.620% quarterly | 06/20/14 | 0.701 | 6,100 | (273 | ) | — | |||||||||||||||||||
Sara Lee Corp., 6.125%, 11/01/33 | 1.000% quarterly | 06/20/14 | 0.305 | 2,000 | (68 | ) | 53 | |||||||||||||||||||
Sears Roebuck Acceptance Corp., 7.500%, 01/15/13 | 5.000% quarterly | 06/20/14 | 3.659 | 3,000 | (192 | ) | 192 | |||||||||||||||||||
Walt Disney Co. (The), 5.625%, 09/15/16 | 1.000% quarterly | 09/20/14 | 0.480 | 1,800 | (48 | ) | 48 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Amounts in thousands)
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Royal Bank of Scotland: | ||||||||||||||||||||||||||
Aetna, Inc., 6.625%, 06/15/36 | 1.220% quarterly | 12/20/13 | 0.639% | 6,000 | (158 | ) | — | |||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 5.000% quarterly | 06/20/14 | 7.321 | 1,450 | 110 | (228 | ) | |||||||||||||||||||
Lowe’s Cos., Inc., 5.400%, 10/15/16 | 1.000% quarterly | 09/20/14 | 0.710 | 1,800 | (28 | ) | 34 | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.276 | 1,800 | 19 | (26 | ) | |||||||||||||||||||
RadioShack Corp., 7.375%, 05/15/11 | 1.000% quarterly | 09/20/14 | 1.276 | 1,800 | 19 | (30 | ) | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.050% semi-annually | 02/20/14 | 0.591 | 1,900 | (120 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.080% semi-annually | 02/20/14 | 0.591 | 560 | (36 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.197% semi-annually | 02/20/14 | 0.591 | 520 | (36 | ) | — | |||||||||||||||||||
Republic of Slovenia, 5.375%, 04/11/11 | 2.250% semi-annually | 02/20/14 | 0.591 | 320 | (23 | ) | — | |||||||||||||||||||
TJX Cos., Inc., 7.450%, 12/15/09 | 1.000% quarterly | 09/20/14 | 0.375 | 1,000 | (32 | ) | 34 | |||||||||||||||||||
(1,625 | ) | (140 | ) |
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND PAYS FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A.: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 3,400 | 950 | (897 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (755 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (730 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (732 | ) | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (687 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (662 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 1,500 | 136 | (308 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 2,500 | 226 | (561 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 3,500 | 317 | (796 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 5,000 | 452 | (1,200 | ) | |||||||||||||||||||
CMBX.NA.AJ.1.1 | 0.840% monthly | 10/12/52 | 6.974 | 900 | 262 | (265 | ) | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
CDX.EM.11.1 | 5.000% semi-annually | 06/20/14 | 3.209 | 2,000 | (170 | ) | 96 | |||||||||||||||||||
CDX.NA.HY.12.8 | 5.000% quarterly | 06/20/14 | 8.360 | 2,000 | 205 | (220 | ) | |||||||||||||||||||
CMBX.NA.AAA.1 | 0.100% monthly | 10/12/52 | 1.796 | 5,000 | 452 | (962 | ) | |||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 5,500 | 1,536 | (1,875 | ) | |||||||||||||||||||
ABX.HE.PENAAA.06.2 | 0.110% monthly | 05/25/46 | 44.227 | 11,375 | 3,177 | (2,098 | ) | |||||||||||||||||||
CMBX.NA.A.2.1 | 0.150% monthly | 03/15/49 | 16.646 | 1,000 | 637 | (700 | ) | |||||||||||||||||||
11,365 | (13,352 | ) |
Corporate and Sovereign Issuers:
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International: | ||||||||||||||||||||||||||
Assured Guaranty U.S. Holdings, Inc., 7.000%, 06/01/34 | 5.000% quarterly | 06/20/14 | 9.394 | % | 1,000 | (146 | ) | 355 | ||||||||||||||||||
Assured Guaranty U.S. Holdings, Inc., 7.000%, 06/01/34 | 5.000% quarterly | 06/20/14 | 9.394 | 1,500 | (219 | ) | 785 | |||||||||||||||||||
XTO Energy, Inc., 4.900%, 02/01/14 | 1.000% quarterly | 09/20/14 | 1.200 | 2,000 | (15 | ) | 7 | |||||||||||||||||||
Deutsche Bank AG, New York: | ||||||||||||||||||||||||||
MetLife, Inc., 5.000%, 06/15/15 | 5.000% quarterly | 06/20/14 | 3.504 | 3,000 | 212 | (59 | ) | |||||||||||||||||||
MetLife, Inc., 5.000%, 06/15/15 | 5.000% quarterly | 06/20/14 | 3.504 | 3,000 | 212 | (115 | ) | |||||||||||||||||||
Prudential Financial, Inc., 4.500%, 07/15/13 | 5.000% quarterly | 06/20/14 | 3.180 | 2,000 | 169 | 330 | ||||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
Radian Group, Inc., 5.375%, 06/15/15 | 5.000% quarterly | 09/20/14 | 18.769 | 1,800 | (610 | ) | 595 | |||||||||||||||||||
(397 | ) | 1,898 |
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 08/31/09 [3] | | NOTIONAL AMOUNT [4] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [5] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America: | ||||||||||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | % | 4,000 | (106 | ) | 116 | ||||||||||||||||||
Citibank, N.A.: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 3,100 | (2,214 | ) | 2,107 | |||||||||||||||||||
Credit Suisse International: | ||||||||||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 2,000 | (53 | ) | 65 | |||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 2,000 | (53 | ) | 62 | |||||||||||||||||||
CDX.NA.HY.9.18 | 3.750% quarterly | 12/20/10 | 6.858 | 4,000 | (106 | ) | 75 | |||||||||||||||||||
CMBX.NA.AAA.4 | 0.350% monthly | 02/17/51 | 4.275 | 900 | (212 | ) | 211 | |||||||||||||||||||
Royal Bank of Scotland: | ||||||||||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 5,000 | (3,571 | ) | 3,625 | |||||||||||||||||||
ABX.HE.PENAAA.07.2 | 0.760% monthly | 01/25/38 | 53.137 | 11,375 | (8,124 | ) | 6,126 | |||||||||||||||||||
(14,439 | ) | 12,387 |
[1] | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay an upfront premium to the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] | The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[3] | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[4] | The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
[5] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
AS OF AUGUST 31, 2009 (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 | | UPFRONT PREMIUMS (PAID)/RECEIVED [1] | ||||||||||||||
Citibank, N.A. | 3.079% semi-annually | 3 month LIBOR quarterly | 08/17/14 | 34,780 | (571 | ) | — |
[1] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors. |
SWAP COUNTERPARTY | | REFERENCE OBLIGATION | | PRICE LOCK | | TERMINATION DATE | | NOTIONAL AMOUNT | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [1] | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank, N.A. (††) | U.S. Treasury Note, 2.375%, 08/31/14 | 99.44 | 09/29/09 | 35,155 | — | — | ||||||||||||||||||||
Credit Suisse International (†) | U.S. Treasury Note, 2.750%, 02/15/19 | 91.20 | 09/10/09 | 26,050 | (896 | ) | — | |||||||||||||||||||
Credit Suisse International (††) | U.S. Treasury Bond, 8.750%, 08/15/20 | 139.15 | 09/10/09 | 18,270 | 1,024 | — | ||||||||||||||||||||
128 | — |
[1] | Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
(†) | If the market price exceeds the price lock at termination, the Fund pays the difference between the market price and the price lock. If the market price is below the price lock at termination, the Fund receives the difference between the price lock and market price. |
(††) | If the market price exceeds the price lock at termination, the Fund receives the difference between the market price and the price lock. If the market price is below the price lock at termination, the Fund pays the difference between the price lock and market price. |
AS OF AUGUST 31, 2009 (Unaudited)
AGC— | Insured by Assured Guaranty Corp. |
BRL— | Brazilian Real |
CDX— | Credit Derivative Index |
CLN— | Credit-Linked Notes. The credit ratings disclosed for the underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of principal and interest. The credit ratings on these securities represent the rating from a national statistical rating organization and are as of August 31, 2009. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current ratings would indicate. |
CMO— | Collateralized Mortgage Obligation |
COP— | Colombian Peso |
DA— | Development Authority |
DIP— | Debtor-in-possession |
ETF— | Exchange Traded Fund |
GBP— | British Pound |
GMAC— | General Motors Acceptance Corp. |
HB— | High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
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, 2009. The rate may be subject to a cap and floor. |
IO— | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on 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. |
LIBOR— | London Interbank Offered Rate |
MXN— | Mexican Peso |
PIK— | Payment-in-kind |
REMICS— | Real Estate Mortgage Investment Conduits |
SPDR— | Standard & Poor’s Depository Receipts |
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 rate shown is the rate in effect as of August 31, 2009. |
TBA— | To Be Announced |
UYU— | Uruguayan Peso |
VAR— | Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2009. |
(˜)— | Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full fait and credit of the U.S. government, the payment of principal and interest. The expiration of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. |
(a)— | Non-income producing security. |
(b)— | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc. |
(d)— | Defaulted Security. |
(e)— | Security is exempt from registration under Rule 144A of the Securities 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)— | Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands): |
Value | Percentage | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 814 | 0.5 | % |
(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 approved by the Board of Trustees and may be difficult to sell. |
(k)— | Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(l)— | The rate shown is the current yield as of August 31, 2009. |
(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 foreign currency contracts. |
(n)— | The rate shown is the effective yield at the date of purchase. |
(o)— | CLN issuer is in bankruptcy. |
(r)— | Rates shown are per annum and payments are as described. |
(w)— | When-issued security. |
(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, 2009. |
AS OF AUGUST 31, 2009 (Unaudited)
| Emerging Markets Debt Fund | | Real Return Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 144,834 | $ | 112,929 | $ | 116,122 | ||||||||
Investments in affiliates, at value | 6,538 | 1,773 | 869 | |||||||||||
Total investment securities, at value | 151,372 | 114,702 | 116,991 | |||||||||||
Cash | — | 993 | — | |||||||||||
Foreign currency, at value | 1 | 2 | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 123 | 168 | — | |||||||||||
Fund shares sold | 474 | 3,650 | 14 | |||||||||||
Interest and dividends | 3,339 | 434 | 888 | |||||||||||
Variation margin on futures contracts | 27 | — | — | |||||||||||
Outstanding swap contracts, at value | 1,022 | — | — | |||||||||||
Due from Advisor (See Note 3) | — | — | 80 | |||||||||||
Total Assets | 156,358 | 119,949 | 117,973 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Due to custodian | 1 | — | — | (a) | ||||||||||
Foreign currency due to custodian, at value | — | — | — | (a) | ||||||||||
Dividends | 181 | 95 | 201 | |||||||||||
Investment securities purchased | 195 | 1,883 | — | |||||||||||
Fund shares redeemed | 567 | 44 | 31 | |||||||||||
Interest | 208 | — | — | |||||||||||
Variation margin on futures contracts | — | 4 | — | |||||||||||
Outstanding swap contracts, at value | 5,656 | 37 | — | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 79 | 18 | 26 | |||||||||||
Administration fees | 6 | 5 | 7 | |||||||||||
Shareholder servicing fees | 18 | 11 | 14 | |||||||||||
Distribution fees | 5 | 16 | 33 | |||||||||||
Custodian and accounting fees | 34 | 62 | 17 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | — | (a) | 7 | ||||||||||
Other | 91 | 112 | 204 | |||||||||||
Total Liabilities | 7,044 | 2,287 | 540 | |||||||||||
Net Assets | $ | 149,314 | $ | 117,662 | $ | 117,433 |
| Emerging Markets Debt Fund | | Real Return Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||||||
Paid in capital | $ | 229,943 | $ | 122,858 | $ | 177,173 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,788 | (6 | ) | (708 | ) | |||||||||
Accumulated net realized gains (losses) | (77,703 | ) | (6,632 | ) | (60,975 | ) | ||||||||
Net unrealized appreciation (depreciation) | (4,714 | ) | 1,442 | 1,943 | ||||||||||
Total Net Assets | $ | 149,314 | $ | 117,662 | $ | 117,433 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 11,868 | $ | 19,915 | $ | 7,028 | ||||||||
Class C | 3,632 | 20,708 | — | |||||||||||
Class M | — | — | 106,206 | |||||||||||
Class R5 | 42,280 | — | — | |||||||||||
Institutional Class | — | 28,905 | — | |||||||||||
Select Class | 91,534 | 48,134 | 4,199 | |||||||||||
Total | $ | 149,314 | $ | 117,662 | $ | 117,433 | ||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||
Class A | 1,673 | 2,214 | 798 | |||||||||||
Class C | 512 | 2,316 | — | |||||||||||
Class M | �� | — | — | 12,065 | ||||||||||
Class R5 | 5,950 | — | — | |||||||||||
Institutional Class | — | 3,194 | — | |||||||||||
Select Class | 12,889 | 5,328 | 476 | |||||||||||
Net Asset Value: | ||||||||||||||
Class A — Redemption price per share | $ | 7.10 | $ | 9.00 | $ | 8.80 | ||||||||
Class C — Offering price per share(b) | 7.09 | 8.94 | — | |||||||||||
Class M — Offering price per share | — | — | 8.80 | |||||||||||
Class R5 — Offering and redemption price per share | 7.11 | — | — | |||||||||||
Institutional Class — Offering and redemption price per share | — | 9.05 | — | |||||||||||
Select Class — Offering and redemption price per share | 7.10 | 9.03 | 8.82 | |||||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 2.25 | % | ||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 7.38 | $ | 9.35 | $ | 9.00 | ||||||||
Class M maximum sales charge | — | — | 1.50 | % | ||||||||||
Class M maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | — | $ | — | $ | 8.93 | ||||||||
Cost of investments in non-affiliates | $ | 144,932 | $ | 111,444 | $ | 114,179 | ||||||||
Cost of investments in affiliates | 6,538 | 1,773 | 869 | |||||||||||
Cost of foreign currency | 1 | — | (a) | — | (a) |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
| Strategic Income Opportunities Fund | | Total Return Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||
Investments in non-affiliates, at value | $ | 810,035 | $ | 744,305 | ||||||
Investments in affiliates, at value | 643,021 | 144,876 | ||||||||
Total investment securities, at value | 1,453,056 | 889,181 | ||||||||
Cash | 780 | — | ||||||||
Foreign currency, at value | 52 | 56 | ||||||||
Deposits at broker for foreign futures contracts | — | 312 | ||||||||
Receivables: | ||||||||||
Investment securities sold | 6,885 | 22,867 | ||||||||
Fund shares sold | 26,412 | 299 | ||||||||
Interest and dividends | 11,506 | 4,766 | ||||||||
Unrealized appreciation on unfunded commitments | 24 | — | ||||||||
Outstanding swap contracts, at value | 22,914 | 13,670 | ||||||||
Total Assets | 1,521,629 | 931,151 | ||||||||
LIABILITIES: | ||||||||||
Payables: | ||||||||||
Due to custodian | — | 3,404 | ||||||||
Dividends | 3,183 | 2,342 | ||||||||
Investment securities purchased | 115,058 | 270,578 | ||||||||
Fund shares redeemed | 1,235 | 519 | ||||||||
Variation margin on futures contracts | 628 | 35 | ||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 20 | 18 | ||||||||
Outstanding options written, at fair value | 416 | 268 | ||||||||
Outstanding swap contracts, at value | 32,786 | 19,209 | ||||||||
Accrued liabilities: | ||||||||||
Investment advisory fees | 444 | 163 | ||||||||
Administration fees | 73 | 57 | ||||||||
Shareholder servicing fees | 205 | 102 | ||||||||
Distribution fees | 125 | — | (a) | |||||||
Custodian and accounting fees | 3 | 2 | ||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 2 | ||||||||
Other | 70 | 144 | ||||||||
Total Liabilities | 154,248 | 296,843 | ||||||||
Net Assets | $ | 1,367,381 | $ | 634,308 |
| Strategic Income Opportunities Fund | | Total Return Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | ||||||||||
Paid in capital | $ | 1,289,532 | $ | 631,016 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 684 | 377 | ||||||||
Accumulated net realized gains (losses) | 10,818 | 3,057 | ||||||||
Net unrealized appreciation (depreciation) | 66,347 | (142 | ) | |||||||
Total Net Assets | $ | 1,367,381 | $ | 634,308 | ||||||
Net Assets: | ||||||||||
Class A | $ | 267,512 | $ | 55 | ||||||
Class C | 155,036 | 54 | ||||||||
Class R5 | 225 | 55 | ||||||||
Select Class | 944,608 | 634,144 | ||||||||
Total | $ | 1,367,381 | $ | 634,308 | ||||||
Outstanding units of beneficial interest (shares) | ||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||
Class A | 23,785 | 5 | ||||||||
Class C | 13,789 | 5 | ||||||||
Class R5 | 20 | 5 | ||||||||
Select Class | 83,854 | 61,852 | ||||||||
Net Asset Value: | ||||||||||
Class A — Redemption price per share | $ | 11.25 | $ | 10.25 | ||||||
Class C — Offering price per share(b) | 11.24 | 10.24 | ||||||||
Class R5 — Offering and redemption price per share | 11.27 | 10.25 | ||||||||
Select Class — Offering and redemption price per share | 11.26 | 10.25 | ||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | ||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 11.69 | $ | 10.65 | ||||||
Cost of investments in non-affiliates | $ | 738,204 | $ | 741,344 | ||||||
Cost of investments in affiliates | 643,021 | 144,876 | ||||||||
Cost of foreign currency | 52 | 56 | ||||||||
Premiums paid on swaps | 25,575 | 14,553 | ||||||||
Premiums received on swaps | 28,112 | 15,346 | ||||||||
Premiums received from options written | 545 | 419 |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
FOR THE SIX MONTHS ENDED AUGUST 31, 2009 (Unaudited)
| Emerging Markets Debt Fund | | Real Return Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income from non-affiliates | $ | 6,870 | $ | 3,267 | $ | 1,819 | ||||||||
Dividend income from affiliates (a) | 40 | 22 | 26 | |||||||||||
Total investment income | 6,910 | 3,289 | 1,845 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 524 | 163 | 152 | |||||||||||
Administration fees | 79 | 49 | 64 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 8 | 16 | 8 | |||||||||||
Class C | 11 | 44 | — | |||||||||||
Class M | — | — | 193 | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 8 | 16 | 8 | |||||||||||
Class C | 3 | 15 | — | |||||||||||
Class M | — | — | 138 | |||||||||||
Class R5 | 9 | — | — | |||||||||||
Institutional Class | — | 13 | — | |||||||||||
Select Class | 132 | 52 | 6 | |||||||||||
Custodian and accounting fees | 68 | 78 | 28 | |||||||||||
Interest expense | 208 | — | — | |||||||||||
Professional fees | 73 | 61 | 58 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | 1 | |||||||||||
Printing and mailing costs | 19 | 8 | 20 | |||||||||||
Registration and filing fees | 29 | 27 | 16 | |||||||||||
Transfer agent fees | 57 | 36 | 24 | |||||||||||
Other | 4 | 1 | 36 | |||||||||||
Total expenses | 1,233 | 580 | 752 | |||||||||||
Less amounts waived | (106 | ) | (218 | ) | (164 | ) | ||||||||
Less earnings credits | — | (b) | — | (b) | — | (b) | ||||||||
Less expense reimbursements | — | (20 | ) | — | ||||||||||
Net expenses | 1,127 | 342 | 588 | |||||||||||
Net investment income (loss) | 5,783 | 2,947 | 1,257 |
| Emerging Markets Debt Fund | | Real Return Fund | | Short Term Bond Fund II | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments in non-affiliates | $ | (31,150 | ) | $ | (141 | ) | $ | (12,387 | ) | |||||
Futures | 140 | 90 | 25 | |||||||||||
Foreign currency transactions | (1,409 | ) | — | — | (b) | |||||||||
Swaps | (7,924 | ) | 567 | — | ||||||||||
Payments by Advisor (See Note 3) | — | — | 80 | |||||||||||
Net realized gain (loss) | (40,343 | ) | 516 | (12,282 | ) | |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments in non-affiliates | 67,364 | 2,879 | 13,186 | |||||||||||
Futures | 441 | (60 | ) | 28 | ||||||||||
Foreign currency translations | 8 | — | (b) | — | ||||||||||
Swaps | 8,088 | 67 | — | |||||||||||
Change in net unrealized appreciation (depreciation) | 75,901 | 2,886 | 13,214 | |||||||||||
Net realized/unrealized gains (losses) | 35,558 | 3,402 | 932 | |||||||||||
Change in net assets resulting from operations | $ | 41,341 | $ | 6,349 | $ | 2,189 |
(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, 2009 (Unaudited) (continued)
| Strategic Income Opportunities Fund | | Total Return Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||
Interest income from non-affiliates | $ | 20,449 | $ | 17,676 | ||||||
Dividend income from non-affiliates | 581 | 11 | ||||||||
Interest income from affiliates | — | 3 | ||||||||
Dividend income from affiliates (a) | 1,085 | 544 | ||||||||
Foreign taxes withheld | — | (b) | — | (b) | ||||||
Total investment income | 22,115 | 18,234 | ||||||||
EXPENSES: | ||||||||||
Investment advisory fees | 1,591 | 979 | ||||||||
Administration fees | 368 | 345 | ||||||||
Distribution fees: | ||||||||||
Class A | 108 | — | (b) | |||||||
Class C | 175 | — | (b) | |||||||
Shareholder servicing fees: | ||||||||||
Class A | 108 | — | (b) | |||||||
Class C | 58 | — | (b) | |||||||
Class R5 | — | (b) | — | (b) | ||||||
Select Class | 718 | 816 | ||||||||
Custodian and accounting fees | 27 | 41 | ||||||||
Interest expense to affiliates | 5 | — | (b) | |||||||
Professional fees | 64 | 67 | ||||||||
Trustees’ and Chief Compliance Officer’s fees | 4 | 3 | ||||||||
Printing and mailing costs | 60 | 22 | ||||||||
Registration and filing fees | 53 | 28 | ||||||||
Transfer agent fees | 42 | 8 | ||||||||
Other | 3 | — | ||||||||
Total expenses | 3,384 | 2,309 | ||||||||
Less amounts waived | (444 | ) | (187 | ) | ||||||
Less earnings credits | — | (b) | — | (b) | ||||||
Net expenses | 2,940 | 2,122 | ||||||||
Net investment income (loss) | 19,175 | 16,112 |
| Strategic Income Opportunities Fund | | Total Return Fund | |||||||
---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||
Net realized gain (loss) on transactions from: | ||||||||||
Investments in non-affiliates | $ | 2,522 | $ | (2,580 | ) | |||||
Futures | 518 | 4,134 | ||||||||
Securities sold short | — | (301 | ) | |||||||
Foreign currency transactions | 57 | 69 | ||||||||
Options written | 655 | 120 | ||||||||
Swaps | 7,533 | 4,359 | ||||||||
Payments by affiliates (See Note 3) | — | 80 | ||||||||
Net realized gain (loss) | 11,285 | 5,881 | ||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||
Investments in non-affiliates | 72,373 | 70,094 | ||||||||
Futures | 1,743 | 951 | ||||||||
Foreign currency translations | (19 | ) | 27 | |||||||
Options written | 129 | 519 | ||||||||
Swaps | (5,331 | ) | (2,646 | ) | ||||||
Unfunded commitments | 358 | — | ||||||||
Change in net unrealized appreciation (depreciation) | 69,253 | 68,945 | ||||||||
Net realized/unrealized gains (losses) | 80,538 | 74,826 | ||||||||
Change in net assets resulting from operations | $ | 99,713 | $ | 90,938 |
(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
Emerging Markets Debt Fund | Real Return Fund | Short Term Bond Fund II | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | ||||||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 5,783 | $ | 20,417 | $ | 2,947 | $ | 1,233 | $ | 1,257 | $ | 6,381 | |||||||||||||||
Net realized gain (loss) | (40,343 | ) | (37,836 | ) | 516 | (5,348 | ) | (12,282 | ) | (18,183 | ) | ||||||||||||||||
Change in net unrealized appreciation (depreciation) | 75,901 | (77,618 | ) | 2,886 | (5,738 | ) | 13,214 | (475 | ) | ||||||||||||||||||
Change in net assets resulting from operations | 41,341 | (95,037 | ) | 6,349 | (9,853 | ) | 2,189 | (12,277 | ) | ||||||||||||||||||
Net equalization credits (debits) | — | — | — | — | (8 | ) | (147 | ) | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
From net investment income | (185 | ) | (547 | ) | (425 | ) | (345 | ) | (95 | ) | (558 | ) | |||||||||||||||
Class C | |||||||||||||||||||||||||||
From net investment income | (74 | ) | (224 | ) | (375 | ) | (383 | ) | — | — | |||||||||||||||||
Class M | |||||||||||||||||||||||||||
From net investment income | — | — | — | — | (1,421 | ) | (4,395 | ) | |||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||
From net investment income | (1,087 | ) | (1,261 | ) | — | — | — | — | |||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
From net investment income | — | — | (845 | ) | (320 | ) | — | — | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
From net investment income | (2,686 | ) | (15,199 | ) | (1,309 | ) | (2,440 | ) | (75 | ) | (1,629 | ) | |||||||||||||||
Total distributions to shareholders | (4,032 | ) | (17,231 | ) | (2,954 | ) | (3,488 | ) | (1,591 | ) | (6,582 | ) | |||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Change in net assets from capital transactions | (87,528 | ) | 11,079 | 34,001 | 15,912 | (9,052 | ) | (104,896 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Change in net assets | (50,219 | ) | (101,189 | ) | 37,396 | 2,571 | (8,462 | ) | (123,902 | ) | |||||||||||||||||
Beginning of period | 199,533 | 300,722 | 80,266 | 77,695 | 125,895 | 249,797 | |||||||||||||||||||||
End of period | $ | 149,314 | $ | 199,533 | $ | 117,662 | $ | 80,266 | $ | 117,433 | $ | 125,895 | |||||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,788 | $ | 37 | $ | (6 | ) | $ | 1 | $ | (708 | ) | $ | (374 | ) |
Strategic Income Opportunities Fund | Total Return Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(a) | | Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(b) | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 19,175 | $ | 713 | $ | 16,112 | $ | 24,174 | |||||||||||
Net realized gain (loss) | 11,285 | 151 | 5,881 | 2,142 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 69,253 | (2,906 | ) | 68,945 | (69,087 | ) | |||||||||||||
Change in net assets resulting from operations | 99,713 | (2,042 | ) | 90,938 | (42,771 | ) | |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (2,577 | ) | (3 | ) | (1 | ) | (2 | ) | |||||||||||
From net realized gains | — | (1 | ) | — | — | (c) | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | (1,297 | ) | (1 | ) | (1 | ) | (2 | ) | |||||||||||
From net realized gains | — | (1 | ) | — | — | (c) | |||||||||||||
Class R5 | |||||||||||||||||||
From net investment income | (3 | ) | (1 | ) | (2 | ) | (2 | ) | |||||||||||
From net realized gains | — | (1 | ) | — | — | (c) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (14,747 | ) | (602 | ) | (17,560 | ) | (23,774 | ) | |||||||||||
From net realized gains | — | (588 | ) | — | (3,531 | ) | |||||||||||||
Total distributions to shareholders | (18,624 | ) | (1,198 | ) | (17,564 | ) | (27,311 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 940,537 | 348,995 | (89,727 | ) | 720,743 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 1,021,626 | 345,755 | (16,353 | ) | 650,661 | ||||||||||||||
Beginning of period | 345,755 | — | 650,661 | — | |||||||||||||||
End of period | $ | 1,367,381 | $ | 345,755 | $ | 634,308 | $ | 650,661 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 684 | $ | 133 | $ | 377 | $ | 1,829 |
(a) | Commencement of operations was October 13, 2008. |
(b) | Commencement of operations was June 16, 2008. |
(c) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED (continued)
Emerging Markets Debt Fund | Real Return Fund | Short Term Bond Fund II | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | ||||||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 8,619 | $ | 8,860 | $ | 11,712 | $ | 11,505 | $ | 569 | $ | 1,537 | |||||||||||||||
Dividends and distributions reinvested | 176 | 444 | 388 | 316 | 91 | 533 | |||||||||||||||||||||
Cost of shares redeemed | (2,230 | ) | (9,554 | ) | (1,641 | ) | (6,496 | ) | (126 | ) | (16,779 | ) | |||||||||||||||
Redemption fees | — | (a) | 1 | — | — | — | — | ||||||||||||||||||||
Change in net assets from Class A capital transactions | $ | 6,565 | $ | (249 | ) | $ | 10,459 | $ | 5,325 | $ | 534 | $ | (14,709 | ) | |||||||||||||
Class C | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,054 | $ | 1,025 | $ | 13,852 | $ | 13,575 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 62 | 171 | 323 | 283 | — | — | |||||||||||||||||||||
Cost of shares redeemed | (378 | ) | (2,502 | ) | (1,657 | ) | (8,381 | ) | — | — | |||||||||||||||||
Redemption fees | — | (a) | — | (a) | — | — | — | — | |||||||||||||||||||
Change in net assets from Class C capital transactions | $ | 738 | $ | (1,306 | ) | $ | 12,518 | $ | 5,477 | $ | — | $ | — | ||||||||||||||
Class M | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9 | |||||||||||||||
Dividends and distributions reinvested | — | — | — | — | — | — | (a) | ||||||||||||||||||||
Cost of shares redeemed | — | — | — | — | (8,155 | ) | (17,482 | ) | |||||||||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | — | $ | — | $ | (8,155 | ) | $ | (17,473 | ) | |||||||||||||
Class R5 | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 19,141 | $ | 4,330 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | 1,029 | 1,261 | — | — | — | — | |||||||||||||||||||||
Cost of shares redeemed | (779 | ) | (4,485 | ) | — | — | — | — | |||||||||||||||||||
Redemption fees | 1 | 2 | — | — | — | — | |||||||||||||||||||||
Change in net assets from Class R5 capital transactions | $ | 19,392 | $ | 1,108 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,716 | $ | 20,317 | $ | — | $ | — | |||||||||||||||
Dividends and distributions reinvested | — | — | 675 | 83 | — | — | |||||||||||||||||||||
Cost of shares redeemed | — | — | (440 | ) | (977 | ) | — | — | |||||||||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 2,951 | $ | 19,423 | $ | — | $ | — | |||||||||||||||
Select Class | |||||||||||||||||||||||||||
Proceeds from shares issued | $ | 19,056 | $ | 114,105 | $ | 9,108 | $ | 4,476 | $ | 61 | $ | 211 | |||||||||||||||
Dividends and distributions reinvested | 911 | 2,475 | 1,299 | 2,438 | 11 | 73 | |||||||||||||||||||||
Cost of shares redeemed | (134,192 | ) | (105,074 | ) | (2,334 | ) | (21,227 | ) | (1,503 | ) | (72,998 | ) | |||||||||||||||
Redemption fees | 2 | 20 | — | — | — | — | |||||||||||||||||||||
Change in net assets from Select Class capital transactions | $ | (114,223 | ) | $ | 11,526 | $ | 8,073 | $ | (14,313 | ) | $ | (1,431 | ) | $ | (72,714 | ) | |||||||||||
Total change in net assets from capital transactions | $ | (87,528 | ) | $ | 11,079 | $ | 34,001 | $ | 15,912 | $ | (9,052 | ) | $ | (104,896 | ) |
Emerging Markets Debt Fund | Real Return Fund | Short Term Bond Fund II | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | | Six Months Ended 8/31/2009 (Unaudited) | | Year Ended 2/28/2009 | ||||||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Issued | 1,273 | 1,093 | 1,300 | 1,209 | 65 | 164 | |||||||||||||||||||||
Reinvested | 26 | 61 | 43 | 33 | 10 | 58 | |||||||||||||||||||||
Redeemed | (351 | ) | (1,397 | ) | (183 | ) | (699 | ) | (14 | ) | (1,830 | ) | |||||||||||||||
Change in Class A Shares | 948 | (243 | ) | 1,160 | 543 | 61 | (1,608 | ) | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Issued | 158 | 131 | 1,552 | 1,394 | — | — | |||||||||||||||||||||
Reinvested | 9 | 23 | 36 | 30 | — | — | |||||||||||||||||||||
Redeemed | (61 | ) | (361 | ) | (187 | ) | (908 | ) | — | — | |||||||||||||||||
Change in Class C Shares | 106 | (207 | ) | 1,401 | 516 | — | — | ||||||||||||||||||||
Class M | |||||||||||||||||||||||||||
Issued | — | — | — | — | — | — | (b) | ||||||||||||||||||||
Reinvested | — | — | — | — | — | — | (b) | ||||||||||||||||||||
Redeemed | — | — | — | — | (935 | ) | (1,910 | ) | |||||||||||||||||||
Change in Class M Shares | — | — | — | — | (935 | ) | (1,910 | ) | |||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||
Issued | 3,204 | 623 | — | — | — | — | |||||||||||||||||||||
Reinvested | 154 | 177 | — | — | — | — | |||||||||||||||||||||
Redeemed | (114 | ) | (748 | ) | — | — | — | — | |||||||||||||||||||
Change in Class R5 Shares | 3,244 | 52 | — | — | — | — | |||||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Issued | — | — | 301 | 2,283 | — | — | |||||||||||||||||||||
Reinvested | — | — | 75 | 9 | — | — | |||||||||||||||||||||
Redeemed | — | — | (48 | ) | (110 | ) | — | — | |||||||||||||||||||
Change in Institutional Class Shares | — | — | 328 | 2,182 | — | — | |||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Issued | 3,025 | 16,293 | 1,012 | 458 | 7 | 23 | |||||||||||||||||||||
Reinvested | 136 | 337 | 144 | 255 | 1 | 8 | |||||||||||||||||||||
Redeemed | (22,334 | ) | (16,058 | ) | (267 | ) | (2,334 | ) | (172 | ) | (7,969 | ) | |||||||||||||||
Change in Select Class Shares | (19,173 | ) | 572 | 889 | (1,621 | ) | (164 | ) | (7,938 | ) |
(a) | Amount rounds to less than $1,000. |
(b) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Strategic Income Opportunities Fund | Total Return Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(a) | | Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(b) | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 259,184 | $ | 4,125 | $ | — | $ | 50 | |||||||||||
Dividends and distributions reinvested | 2,238 | 3 | 1 | 2 | |||||||||||||||
Cost of shares redeemed | (6,796 | ) | (2 | ) | — | — | |||||||||||||
Change in net assets from Class A capital transactions | $ | 254,626 | $ | 4,126 | $ | 1 | $ | 52 | |||||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 150,654 | $ | 967 | $ | — | $ | 50 | |||||||||||
Dividends and distributions reinvested | 907 | 2 | 1 | 2 | |||||||||||||||
Cost of shares redeemed | (2,224 | ) | — | (c) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | 149,337 | $ | 969 | $ | 1 | $ | 52 | |||||||||||
Class R5 | |||||||||||||||||||
Proceeds from shares issued | $ | 160 | $ | 50 | $ | — | $ | 50 | |||||||||||
Dividends and distributions reinvested | 3 | 1 | 2 | 2 | |||||||||||||||
Change in net assets from Class R5 capital transactions | $ | 163 | $ | 51 | $ | 2 | $ | 52 | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 597,801 | $ | 345,451 | $ | 54,218 | $ | 123,686 | |||||||||||
Subscriptions in-kind (See Note 8) | — | — | — | 793,417 | |||||||||||||||
Dividends and distributions reinvested | 2,042 | 1,021 | 169 | 2,636 | |||||||||||||||
Cost of shares redeemed | (63,432 | ) | (2,623 | ) | (144,118 | ) | (199,152 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | 536,411 | $ | 343,849 | $ | (89,731 | ) | $ | 720,587 | ||||||||||
Total change in net assets from capital transactions | $ | 940,537 | $ | 348,995 | $ | (89,727 | ) | $ | 720,743 |
Strategic Income Opportunities Fund | Total Return Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(a) | | Six Months Ended 8/31/2009 (Unaudited) | | Period Ended 2/28/2009(b) | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 23,787 | 410 | — | 5 | |||||||||||||||
Reinvested | 203 | — | (d) | — | (d) | — | (d) | ||||||||||||
Redeemed | (615 | ) | — | (d) | — | — | |||||||||||||
Change in Class A Shares | 23,375 | 410 | — | (d) | 5 | ||||||||||||||
Class C | |||||||||||||||||||
Issued | 13,811 | 96 | — | 5 | |||||||||||||||
Reinvested | 82 | — | (d) | — | (d) | — | (d) | ||||||||||||
Redeemed | (200 | ) | — | (d) | — | — | |||||||||||||
Change in Class C Shares | 13,693 | 96 | — | (d) | 5 | ||||||||||||||
Class R5 | |||||||||||||||||||
Issued | 15 | 5 | — | 5 | |||||||||||||||
Reinvested | — | (d) | — | (d) | — | (d) | — | (d) | |||||||||||
Change in Class R5 Shares | 15 | 5 | — | (d) | 5 | ||||||||||||||
Select Class | |||||||||||||||||||
Issued | 55,375 | 34,335 | 5,630 | 12,994 | |||||||||||||||
Subscriptions in-kind (See Note 8) | — | — | — | 78,634 | |||||||||||||||
Reinvested | 187 | 104 | 18 | 264 | |||||||||||||||
Redeemed | (5,884 | ) | (263 | ) | (14,855 | ) | (20,833 | ) | |||||||||||
Change in Select Class Shares | 49,678 | 34,176 | (9,207 | ) | 71,059 |
(a) | Commencement of operations was October 13, 2008. |
(b) | Commencement of operations was June 16, 2008. |
(c) | Amount rounds to less than $1,000. |
(d) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED
Per share operating performance | | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Net realized gain | | Total distributions | | Contribution from affiliate | ||||||||||||||||||||
Emerging Markets Debt Fund | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | $ | 5.56 | $ | 0.19 | (j) | $ | 1.53 | $ | 1.72 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | $ | — | ||||||||||||||||
Year Ended February 28, 2009 | 8.41 | 0.55 | (2.97 | ) | (2.42 | ) | (0.43 | ) | — | (0.43 | ) | — | |||||||||||||||||||||||
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 (f) | 8.39 | 0.21 | 0.37 | 0.58 | (0.21 | ) | (0.03 | ) | (0.24 | ) | — | ||||||||||||||||||||||||
June 30, 2006(g) through August 31, 2006 | 7.93 | 0.08 | 0.46 | 0.54 | (0.08 | ) | — | (0.08 | ) | — | |||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 5.55 | 0.21 | (j) | 1.50 | 1.71 | (0.17 | ) | — | (0.17 | ) | — | ||||||||||||||||||||||||
Year Ended February 28, 2009 | 8.40 | 0.50 | (2.95 | ) | (2.45 | ) | (0.40 | ) | — | (0.40 | ) | — | |||||||||||||||||||||||
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 (f) | 8.39 | 0.20 | 0.36 | 0.56 | (0.19 | ) | (0.03 | ) | (0.22 | ) | — | ||||||||||||||||||||||||
June 30, 2006(g) through August 31, 2006 | 7.93 | 0.07 | 0.47 | 0.54 | (0.08 | ) | — | (0.08 | ) | — | |||||||||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 5.56 | 0.24 | (j) | 1.51 | 1.75 | (0.20 | ) | — | (0.20 | ) | — | ||||||||||||||||||||||||
Year Ended February 28, 2009 | 8.42 | 0.56 | (2.96 | ) | (2.40 | ) | (0.46 | ) | — | (0.46 | ) | — | |||||||||||||||||||||||
Year Ended February 29, 2008 | 8.73 | 0.60 | (0.19 | ) | 0.41 | (0.57 | ) | (0.15 | ) | (0.72 | ) | — | |||||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 8.39 | 0.24 | 0.36 | 0.60 | (0.23 | ) | (0.03 | ) | (0.26 | ) | — | ||||||||||||||||||||||||
May 15, 2006(g) through August 31, 2006 | 8.07 | 0.14 | 0.33 | 0.47 | (0.15 | ) | — | (0.15 | ) | — | |||||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 5.56 | 0.26 | (j) | 1.47 | 1.73 | (0.19 | ) | — | (0.19 | ) | — | ||||||||||||||||||||||||
Year Ended February 28, 2009 | 8.42 | 0.54 | (2.95 | ) | (2.41 | ) | (0.45 | ) | — | (0.45 | ) | — | |||||||||||||||||||||||
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 (f) | 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 | ) | 0.04 | (h) | |||||||||||||||||||||||
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 | ) | — |
(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 or unless otherwise noted. |
(e) | Amount rounds to less than $0.01. |
(f) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(g) | Commencement of offering of class of shares. |
(h) | Voluntary contribution from Advisor. The total return without the voluntary contribution would have been 10.46%. |
(i) | Includes interest expense of 0.01%. |
(j) | Calculated based upon average shares outstanding. |
(k) | Includes interest expense of 0.50%, 0.35%, 0.34% and 0.24% for Class A, Class C, Class R5 and Select Class, respectively. |
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 earning credits | Portfolio turnover rate (b) | | |||||||||||||||||
$—(e) | $ | 7.10 | 31.25 | % | $ | 11,868 | 1.99 | %(k) | 5.64 | % | 2.14 | % | 61% | ||||||||||||||||||
—(e) | 5.56 | (29.80 | ) | 4,025 | 1.45 | 7.18 | 1.46 | 63 | |||||||||||||||||||||||
—(e) | 8.41 | 4.22 | 8,140 | 1.47 | 7.22 | 1.47 | 80 | ||||||||||||||||||||||||
—(e) | 8.73 | 6.96 | 2,154 | 1.50 | 5.20 | 1.59 | 68 | ||||||||||||||||||||||||
—(e) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | ||||||||||||||||||||||||
—(e) | 7.09 | 30.99 | 3,632 | 2.34 | (k) | 6.29 | 2.49 | 61 | |||||||||||||||||||||||
—(e) | 5.55 | (30.18 | ) | 2,253 | 1.95 | 6.60 | 1.96 | 63 | |||||||||||||||||||||||
—(e) | 8.40 | 3.63 | 5,154 | 1.97 | 6.50 | 1.98 | 80 | ||||||||||||||||||||||||
—(e) | 8.73 | 6.73 | 1,332 | 2.00 | 4.66 | 2.09 | 68 | ||||||||||||||||||||||||
—(e) | 8.39 | 6.77 | 27 | 2.00 | 5.87 | 2.20 | 270 | ||||||||||||||||||||||||
—(e) | 7.11 | 31.71 | 42,280 | 1.38 | (k) | 7.21 | 1.54 | 61 | |||||||||||||||||||||||
—(e) | 5.56 | (29.54 | ) | 15,046 | 1.01 | 7.77 | 1.03 | 63 | |||||||||||||||||||||||
—(e) | 8.42 | 4.79 | 22,347 | 1.02 | 7.25 | 1.03 | 80 | ||||||||||||||||||||||||
—(e) | 8.73 | 7.15 | 8,571 | 1.05 | 5.42 | 1.14 | 68 | ||||||||||||||||||||||||
—(e) | 8.39 | 5.88 | 2,426 | 1.05 | 7.23 | 1.23 | 270 | ||||||||||||||||||||||||
—(e) | 7.10 | 31.39 | 91,534 | 1.49 | (k) | 8.05 | 1.63 | 61 | |||||||||||||||||||||||
—(e) | 5.56 | (29.67 | ) | 178,209 | 1.21 | 7.55 | 1.23 | 63 | |||||||||||||||||||||||
—(e) | 8.42 | 4.48 | 265,081 | 1.22 | 7.10 | 1.23 | 80 | ||||||||||||||||||||||||
—(e) | 8.74 | 7.17 | 125,421 | 1.25 | 4.98 | 1.35 | 68 | ||||||||||||||||||||||||
—(e) | 8.39 | 10.99 | (h) | 117,423 | 1.26 | (i) | 5.77 | 1.42 | 270 | ||||||||||||||||||||||
—(e) | 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 |
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 asset value, end of period | ||||||||||||||||
Real Return Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | $ | 8.63 | $ | 0.22 | $ | 0.42 | $ | 0.64 | $ | (0.27 | ) | $ | 9.00 | ||||||||||||||
Year Ended February 28, 2009 | 10.13 | 0.22 | (1.33 | ) | (1.11 | ) | (0.39 | ) | 8.63 | ||||||||||||||||||
Year Ended February 29, 2008 | 9.52 | 0.54 | 0.58 | 1.12 | (0.51 | ) | 10.13 | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.51 | 0.04 | 0.03 | 0.07 | (0.06 | ) | 9.52 | ||||||||||||||||||||
Year Ended August 31, 2006 (g) | 10.00 | 0.42 | (0.46 | ) | (0.04 | ) | (0.45 | ) | 9.51 | ||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 8.58 | 0.21 | 0.40 | 0.61 | (0.25 | ) | 8.94 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.08 | 0.16 | (1.30 | ) | (1.14 | ) | (0.36 | ) | 8.58 | ||||||||||||||||||
Year Ended February 29, 2008 | 9.49 | 0.50 | 0.57 | 1.07 | (0.48 | ) | 10.08 | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.50 | 0.02 | 0.02 | 0.04 | (0.05 | ) | 9.49 | ||||||||||||||||||||
Year Ended August 31, 2006 (g) | 10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | 9.50 | ||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 8.68 | 0.30 | 0.36 | 0.66 | (0.29 | ) | 9.05 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.17 | 0.07 | (1.15 | ) | (1.08 | ) | (0.41 | ) | 8.68 | ||||||||||||||||||
Year Ended February 29, 2008 | 9.55 | 0.54 | 0.63 | 1.17 | (0.55 | ) | 10.17 | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.53 | 0.06 | 0.03 | 0.09 | (0.07 | ) | 9.55 | ||||||||||||||||||||
Year Ended August 31, 2006 (g) | 10.00 | 0.49 | (0.49 | ) | — | (0.47 | ) | 9.53 | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 8.66 | 0.28 | 0.37 | 0.65 | (0.28 | ) | 9.03 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.16 | 0.19 | (1.29 | ) | (1.10 | ) | (0.40 | ) | 8.66 | ||||||||||||||||||
Year Ended February 29, 2008 | 9.54 | 0.52 | 0.63 | 1.15 | (0.53 | ) | 10.16 | ||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.53 | 0.06 | 0.02 | 0.08 | (0.07 | ) | 9.54 | ||||||||||||||||||||
Year Ended August 31, 2006 (g) | 10.00 | 0.48 | (0.49 | ) | (0.01 | ) | (0.46 | ) | 9.53 |
(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 or unless otherwise noted. |
(e) | Includes interest expense of 0.01%. |
(f) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(g) | Commencement of operations was September 1, 2005. |
Ratios/Supplemental data | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | ||||||||||||||||||||||||
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 earning credits | | Portfolio turnover rate (b) | ||||||||||||||
7.42% | $ | 19,915 | 0.90 | % | 6.29 | % | 1.40 | % | 12 | % | ||||||||||||||
(11.29) | 9,090 | 0.91 | (e) | 2.26 | 1.48 | 335 | ||||||||||||||||||
12.30 | 5,171 | 0.90 | 4.60 | 1.92 | 494 | |||||||||||||||||||
0.78 | 630 | 0.90 | 0.85 | 1.34 | 154 | |||||||||||||||||||
(0.33) | 584 | 0.90 | 3.96 | 1.45 | 223 | |||||||||||||||||||
7.10 | 20,708 | 1.40 | 5.95 | 1.88 | 12 | |||||||||||||||||||
(11.64) | 7,848 | 1.41 | (e) | 2.39 | 1.97 | 335 | ||||||||||||||||||
11.71 | 4,023 | 1.40 | 3.36 | 2.75 | 494 | |||||||||||||||||||
0.48 | 27 | 1.40 | 0.41 | 1.85 | 154 | |||||||||||||||||||
(0.80) | 24 | 1.40 | 4.58 | 1.95 | 223 | |||||||||||||||||||
7.59 | 28,905 | 0.50 | 6.48 | 1.02 | 12 | |||||||||||||||||||
(10.90) | 24,870 | 0.51 | (e) | (5.77 | ) | 1.11 | 335 | |||||||||||||||||
12.79 | 6,950 | 0.50 | 5.60 | 1.18 | 494 | |||||||||||||||||||
0.96 | 6,109 | 0.50 | 1.22 | 0.94 | 154 | |||||||||||||||||||
0.12 | 944 | 0.50 | 7.35 | 0.98 | 223 | |||||||||||||||||||
7.53 | 48,134 | 0.65 | 6.37 | 1.17 | 12 | |||||||||||||||||||
(11.11) | 38,458 | 0.66 | (e) | 2.66 | 1.23 | 335 | ||||||||||||||||||
12.63 | 61,551 | 0.65 | 5.50 | 1.31 | 494 | |||||||||||||||||||
0.83 | 61,757 | 0.65 | 1.18 | 1.09 | 154 | |||||||||||||||||||
0.01 | 58,882 | 0.65 | 5.20 | 1.21 | 223 |
FOR THE PERIODS INDICATED (continued)
Per share operating performance | | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations | Distributions | ||||||||||||||||||||||||||||||
| Net asset value, beginning of period | | Net investment income (loss) | | Net realized and unrealized gains (losses) on investments | | Total from investment operations | | Net investment income | | Return of capital | | Total distributions | ||||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | $ | 8.76 | $ | 0.10 | (e) | $ | 0.07 | (h) | $ | 0.17 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | |||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.84 | 0.22 | (e) | 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 | (e) | (0.02 | ) | 0.19 | (0.21 | ) | — | (g) | (0.21 | ) | |||||||||||||||||||
Class M | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 8.76 | 0.09 | (e) | 0.06 | (h) | 0.15 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.84 | 0.21 | (e) | 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 | (e) | (0.02 | ) | 0.16 | (0.18 | ) | — | (g) | (0.18 | ) | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 8.77 | 0.11 | (e) | 0.08 | (h) | 0.19 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||
Year Ended February 28, 2009 | 9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||||||
September 1, 2006 through February 28, 2007 (f) | 9.86 | 0.23 | (e) | 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 | (e) | (0.03 | ) | 0.20 | (0.23 | ) | — | (g) | (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 or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | The Fund changed its fiscal year end from August 31 to the last day of February. |
(g) | Amount rounds to less than $0.01. |
(h) | The Advisor will reimburse the Fund for losses incurred from an operational error. Without this payment, the total return for Select Class would have been 2.03% and the net realized and unrealized gain (losses) on investments per share for Select Class would have been $0.07. There was no impact to total return or net realized and unrealized gain (losses) on investments per share for Class A and Class M (See Note 3). |
| 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 earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$8.80 | 1.90 | %(h) | $ | 7,028 | 0.75 | % | 2.28 | % | 1.15 | % | 22 | % | |||||||||||||||
8.76 | (5.93 | ) | 6,456 | 0.75 | 3.61 | 1.09 | 91 | ||||||||||||||||||||
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 | |||||||||||||||||||||
8.80 | 1.77 | (h) | 106,206 | 1.00 | 2.03 | 1.26 | 22 | ||||||||||||||||||||
8.76 | (6.15 | ) | 113,828 | 1.00 | 3.19 | 1.19 | 91 | ||||||||||||||||||||
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 | |||||||||||||||||||||
8.82 | 2.14 | (h) | 4,199 | 0.50 | 2.53 | 0.91 | 22 | ||||||||||||||||||||
8.77 | (5.76 | ) | 5,611 | 0.50 | 3.92 | 0.83 | 91 | ||||||||||||||||||||
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 |
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 gain | | Total distributions | ||||||||||||||||||
Strategic Income Opportunities Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | $ | 9.96 | $ | 0.29 | (e) | $ | 1.24 | $ | 1.53 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | ||||||||||||||
October 13, 2008(f) through February 28, 2009 | 10.00 | 0.09 | (e) | 0.15 | 0.24 | (0.11 | ) | (0.17 | ) | (0.28 | ) | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.96 | 0.27 | (e) | 1.23 | 1.50 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||
October 13, 2008(f) through February 28, 2009 | 10.00 | 0.08 | (e) | 0.15 | 0.23 | (0.10 | ) | (0.17 | ) | (0.27 | ) | ||||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.97 | 0.31 | (e) | 1.25 | 1.56 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||
October 13, 2008(f) through February 28, 2009 | 10.00 | 0.14 | (e) | 0.13 | 0.27 | (0.13 | ) | (0.17 | ) | (0.30 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.97 | 0.30 | (e) | 1.24 | 1.54 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||||
October 13, 2008 (f) through February 28, 2009 | 10.00 | 0.11 | (e) | 0.15 | 0.26 | (0.12 | ) | (0.17 | ) | (0.29 | ) | ||||||||||||||||||||
Total Return Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.15 | 0.23 | 1.13 | (h) | 1.36 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||
June 16, 2008 (f) through February 28, 2009 | 10.00 | 0.35 | (0.82 | ) | (0.47 | ) | (0.33 | ) | (0.05 | ) | (0.38 | ) | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.15 | 0.20 | 1.12 | (h) | 1.32 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||
June 16, 2008 (f) through February 28, 2009 | 10.00 | 0.31 | (0.82 | ) | (0.51 | ) | (0.29 | ) | (0.05 | ) | (0.34 | ) | |||||||||||||||||||
Class R5 | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.16 | 0.24 | 1.12 | (h) | 1.36 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||||
June 16, 2008 (f) through February 28, 2009 | 10.00 | 0.37 | (0.82 | ) | (0.45 | ) | (0.34 | ) | (0.05 | ) | (0.39 | ) | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2009 (Unaudited) | 9.15 | 0.24 | 1.12 | (h) | 1.36 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||
June 16, 2008 (f) through February 28, 2009 | 10.00 | 0.34 | (0.81 | ) | (0.47 | ) | (0.33 | ) | (0.05 | ) | (0.38 | ) |
(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 or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Commencement of operations. |
(g) | Due to the size of net assets and fixed expenses, ratios may appear to be disproportionate. |
(h) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. There was no impact to total return or net realized and unrealized gain (losses) on investments per share (See Note 3). |
| 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 earning credits | | Portfolio turnover rate (b) | |||||||||||||||
$11.25 | 15.53 | % | $ | 267,512 | 1.00 | % | 5.31 | % | 1.11 | % | 38 | % | |||||||||||||||
9.96 | 2.46 | 4,084 | 1.00 | 2.24 | 1.68 | 60 | |||||||||||||||||||||
11.24 | 15.23 | 155,036 | 1.50 | 4.80 | 1.60 | 38 | |||||||||||||||||||||
9.96 | 2.29 | 958 | 1.50 | 2.00 | 2.34 | 60 | |||||||||||||||||||||
11.27 | 15.79 | 225 | 0.55 | 5.69 | 0.67 | 38 | |||||||||||||||||||||
9.97 | 2.71 | 51 | 0.55 | 3.69 | 1.89 | 60 | |||||||||||||||||||||
11.26 | 15.59 | 944,608 | 0.75 | 5.49 | 0.88 | 38 | |||||||||||||||||||||
9.97 | 2.65 | 340,662 | 0.75 | 2.99 | 1.76 | 60 | |||||||||||||||||||||
10.25 | 15.05 | (h) | 55 | 0.75 | 4.83 | 0.96 | 312 | ||||||||||||||||||||
9.15 | (4.80 | ) | 48 | 0.75 | 5.19 | 2.76 | (g) | 353 | |||||||||||||||||||
10.24 | 14.55 | (h) | 54 | 1.40 | 4.18 | 1.46 | 312 | ||||||||||||||||||||
9.15 | (5.17 | ) | 47 | 1.40 | 4.54 | 3.26 | (g) | 353 | |||||||||||||||||||
10.25 | 15.05 | (h) | 55 | 0.51 | 5.07 | 0.51 | 312 | ||||||||||||||||||||
9.16 | (4.56 | ) | 48 | 0.52 | 5.42 | 2.31 | (g) | 353 | |||||||||||||||||||
10.25 | 15.09 | (h) | 634,144 | 0.65 | 4.93 | 0.71 | 312 | ||||||||||||||||||||
9.15 | (4.74 | ) | 650,518 | 0.65 | 5.70 | 0.79 | (g) | 353 |
AS OF AUGUST 31, 2009 (Unaudited)
| Classes Offered | | Trust | | Diversified/ Non-Diversified | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | Class A, Class C, Class R5 and Select Class | JPM I | Non-Diversified | |||||||||||
Real Return Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified | |||||||||||
Short Term Bond Fund II | Class A, Class M and Select Class | MFG | Diversified | |||||||||||
Strategic Income Opportunities Fund | Class A, Class C, Class R5 and Select Class | JPM I | Diversified | |||||||||||
Total Return Fund | Class A, Class C, Class R5 and Select Class | JPM I | Diversified |
• | 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 Funds’ own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Emerging Markets Debt Fund | | Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Debt Securities | ||||||||||||||||||
Corporate Bonds | ||||||||||||||||||
Brazil | $ | — | $ | 1,119 | $ | 814 | $ | 1,933 | ||||||||||
Colombia | — | 1,738 | — | 1,738 | ||||||||||||||
Kazakhstan | — | 3,972 | — | 3,972 | ||||||||||||||
Mexico | — | 1,145 | — | 1,145 | ||||||||||||||
Philippines | — | 1,380 | — | 1,380 | ||||||||||||||
Russia | — | 9,034 | — | 9,034 | ||||||||||||||
Trinidad & Tobago | — | 1,281 | — | 1,281 | ||||||||||||||
Ukraine | — | 230 | — | 230 | ||||||||||||||
Total Corporate Bonds | $ | — | $ | 19,899 | $ | 814 | $ | 20,713 | ||||||||||
Foreign Government Securities | — | 116,490 | — | 116,490 | ||||||||||||||
Supranational | — | 1,252 | — | 1,252 | ||||||||||||||
U.S. Treasury Obligations | — | 6,379 | — | 6,379 | ||||||||||||||
Short-Term Investments | ||||||||||||||||||
Investment Companies | 6,538 | — | — | 6,538 | ||||||||||||||
Total Investments in Securities | $ | 6,538 | $ | 144,020 | $ | 814 | $ | 151,372 | ||||||||||
Appreciation in Other Financial Instruments* | ||||||||||||||||||
Futures | $ | 138 | $ | — | $ | — | $ | 138 | ||||||||||
Swaps | — | 1,022 | — | 1,022 | ||||||||||||||
Total Appreciation in Other Financial Instruments | $ | 138 | $ | 1,022 | $ | — | $ | 1,160 | ||||||||||
Depreciation in Other Financial Instruments* | ||||||||||||||||||
Futures | $ | (122 | ) | $ | — | $ | — | $ | (122 | ) | ||||||||
Swaps | — | (5,656 | ) | — | (5,656 | ) | ||||||||||||
Total Depreciation in Other Financial Instruments | $ | (122 | ) | $ | (5,656 | ) | $ | — | $ | (5,778 | ) |
Real Return Fund | | Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities # | $ | 1,773 | $ | 112,929 | $ | — | $ | 114,702 | ||||||||||
Appreciation in Other Financial Instruments* | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||||
Depreciation in Other Financial Instruments* | $ | (11 | ) | $ | (37 | ) | $ | — | $ | (48 | ) |
Short Term Bond Fund II | | Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities # | $ | 869 | $ | 116,122 | $ | — | $ | 116,991 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Strategic Income Opportunities Fund | | Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 20,615 | $ | — | $ | 20,615 | ||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||
Agency CMO | — | 8,685 | — | 8,685 | ||||||||||||||
Non-Agency CMO | — | 98,711 | — | 98,711 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 14,351 | — | 14,351 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Consumer Discretionary | — | 125,682 | — | 125,682 | ||||||||||||||
Consumer Staples | — | 25,043 | — | 25,043 | ||||||||||||||
Energy | — | 31,708 | — | 31,708 | ||||||||||||||
Financials | — | 111,920 | — | 111,920 | ||||||||||||||
Health Care | — | 30,055 | — | 30,055 | ||||||||||||||
Industrials | — | 55,992 | — | 55,992 | ||||||||||||||
Information Technology | — | 15,434 | — | 15,434 | ||||||||||||||
Materials | — | 55,953 | — | 55,953 | ||||||||||||||
Telecommunication Services | — | 26,627 | — | 26,627 | ||||||||||||||
Utilities | — | 14,712 | — | 14,712 | ||||||||||||||
Total Corporate Bonds | $ | — | $ | 493,126 | $ | — | $ | 493,126 | ||||||||||
Mortgage Pass-Through Securities | — | 905 | — | 905 | ||||||||||||||
U.S. Treasury Obligations | — | 62,523 | — | 62,523 | ||||||||||||||
Investment Companies | 13,230 | — | — | 13,230 | ||||||||||||||
Loan Participations & Assignments | ||||||||||||||||||
Consumer Discretionary | — | 42,212 | — | 42,212 | ||||||||||||||
Consumer Staples | — | 4,912 | — | 4,912 | ||||||||||||||
Energy | — | 1,812 | — | 1,812 | ||||||||||||||
Financials | — | 12,176 | — | 12,176 | ||||||||||||||
Industrials | — | 6,501 | — | 6,501 | ||||||||||||||
Information Technology | — | 6,852 | — | 6,852 | ||||||||||||||
Materials | — | 14,002 | — | 14,002 | ||||||||||||||
Utilities | — | 3,040 | — | 3,040 | ||||||||||||||
Total Loan Participations & Assignments | $ | — | $ | 91,507 | $ | — | $ | 91,507 | ||||||||||
Options Purchased | ||||||||||||||||||
Call Options Purchased | 327 | — | — | 327 | ||||||||||||||
Put Options Purchased | 13 | 928 | — | 941 | ||||||||||||||
Short-Term Investments | ||||||||||||||||||
Investment Companies | 643,021 | — | — | 643,021 | ||||||||||||||
U.S. Treasury Bills | — | 5,114 | — | 5,114 | ||||||||||||||
Total Investments in Securities | $ | 656,591 | $ | 796,465 | $ | — | $ | 1,453,056 | ||||||||||
Liabilities in Securities Sold Short† | ||||||||||||||||||
Options Written | ||||||||||||||||||
Call Options Written | $ | (124 | ) | $ | — | $ | — | $ | (124 | ) | ||||||||
Put Options Written | (31 | ) | (261 | ) | — | (292 | ) | |||||||||||
Total Liabilities in Securities Sold Short | $ | (155 | ) | $ | (261 | ) | $ | — | $ | (416 | ) | |||||||
Appreciation in Other Financial Instruments* | ||||||||||||||||||
Futures | $ | 3,129 | $ | — | $ | — | $ | 3,129 | ||||||||||
Swaps | — | 3,838 | — | 3,838 | ||||||||||||||
Total Appreciation in Other Financial Instruments | $ | 3,129 | $ | 3,838 | $ | — | $ | 6,967 | ||||||||||
Depreciation in Other Financial Instruments* | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (20 | ) | $ | — | $ | (20 | ) | ||||||||
Futures | (1,412 | ) | — | — | (1,412 | ) | ||||||||||||
Swaps | — | (11,173 | ) | — | (11,173 | ) | ||||||||||||
Total Depreciation in Other Financial Instruments | $ | (1,412 | ) | $ | (11,193 | ) | $ | — | $ | (12,605 | ) |
Total Return Fund | | Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 42,402 | $ | — | $ | 42,402 | ||||||||||
Collateralized Mortgage Obligations | ||||||||||||||||||
Agency CMO | — | 8,033 | — | 8,033 | ||||||||||||||
Non-Agency CMO | — | 65,323 | — | 65,323 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 15,195 | — | 15,195 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Consumer Discretionary | — | 33,247 | — | 33,247 | ||||||||||||||
Consumer Staples | — | 18,422 | — | 18,422 | ||||||||||||||
Energy | — | 12,323 | — | 12,323 | ||||||||||||||
Financials | — | 104,298 | — | 104,298 | ||||||||||||||
Health Care | — | 13,199 | — | 13,199 | ||||||||||||||
Industrials | — | 11,705 | — | 11,705 | ||||||||||||||
Information Technology | — | 3,536 | — | 3,536 | ||||||||||||||
Materials | — | 10,035 | — | 10,035 | ||||||||||||||
Telecommunication Services | — | 29,315 | — | 29,315 | ||||||||||||||
Utilities | — | 19,141 | — | 19,141 | ||||||||||||||
Total Corporate Bonds | $ | — | $ | 255,221 | $ | — | $ | 255,221 | ||||||||||
Mortgage Pass-Through Securities | — | 227,831 | — | 227,831 | ||||||||||||||
Supranational | — | 3,003 | — | 3,003 | ||||||||||||||
U.S. Government Agency Securities | — | 50,921 | — | 50,921 | ||||||||||||||
U.S. Treasury Obligations | — | 71,756 | — | 71,756 | ||||||||||||||
Options Purchased | ||||||||||||||||||
Call Options Purchased | 114 | — | — | 114 | ||||||||||||||
Put Options Purchased | 4 | 823 | — | 827 | ||||||||||||||
Short-Term Investments | ||||||||||||||||||
Investment Companies | 144,876 | — | — | 144,876 | ||||||||||||||
U.S. Treasury Bills | — | 3,679 | — | 3,679 | ||||||||||||||
Total Investments in Securities | $ | 144,994 | $ | 744,187 | $ | — | $ | 889,181 | ||||||||||
Liabilities in Securities Sold Short† | ||||||||||||||||||
Options Written | ||||||||||||||||||
Call Options Written | $ | (55 | ) | $ | — | $ | — | $ | (55 | ) | ||||||||
Put Options Written | (11 | ) | (202 | ) | — | (213 | ) | |||||||||||
Total Liabilities in Securities Sold Short | $ | (66 | ) | $ | (202 | ) | $ | — | $ | (268 | ) | |||||||
Appreciation in Other Financial Instruments* | ||||||||||||||||||
Futures | $ | 2,188 | $ | — | $ | — | $ | 2,188 | ||||||||||
Swaps | — | 3,804 | — | 3,804 | ||||||||||||||
Total Appreciation in Other Financial Instruments | $ | 2,188 | $ | 3,804 | $ | — | $ | 5,992 | ||||||||||
Depreciation in Other Financial Instruments* | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (18 | ) | $ | — | $ | (18 | ) | ||||||||
Futures | (702 | ) | — | — | (702 | ) | ||||||||||||
Swaps | — | (8,550 | ) | — | (8,550 | ) | ||||||||||||
Total Depreciation in Other Financial Instruments | $ | (702 | ) | $ | (8,568 | ) | $ | — | $ | (9,270 | ) |
* | Other financial instruments may include futures, forward foreign currency exchange and swap contracts. |
† | Liabilities in securities sold short may include written options. |
# | Portfolio holdings designated in Level 1 and Level 2 are disclosed individually in the Schedule of Portfolio Investments (SOI). Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOI for industry specifics of the portfolio holdings. |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Emerging Markets Debt Fund | | Balance as of 2/28/09 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Net transfers in (out) of Level 3 | | Balance as of 08/31/09 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||||||||||||||
Corporate Bonds — Brazil | $ | 450 | $ | — | $ | 364 | $ | — | $ | — | $ | — | $ | 814 |
Short Term Bond Fund II | | Balance as of 2/28/09 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Net transfers in (out) of Level 3 | | Balance as of 08/31/09 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | (a) | $ | (10,693 | ) | $ | 10,700 | $ | — | $ | (7 | ) | $ | — | $ | — |
(a) | Securities have a zero value. |
Strategic Income Opportunities Fund | | Balance as of 2/28/09 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Net transfers in (out) of Level 3 | | Balance as of 08/31/09 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||||||||||||||
Collateralized Mortgage Obligations — Non-Agency CMO | $ | 3,382 | $ | — | $ | — | $ | — | $ | — | $ | (3,382 | ) | $ | — |
Total Return Fund | | Balance as of 2/28/09 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Net transfers in (out) of Level 3 | | Balance as of 08/31/09 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,421 | $ | (146 | ) | $ | 130 | $ | (1 | ) | $ | (296 | ) | $ | (2,108 | ) | $ | — | ||||||||||||
Foreign Government Securities | 2,480 | — | — | — | — | (2,480 | ) | — | ||||||||||||||||||||||
Total | $ | 4,901 | $ | (146 | ) | $ | 130 | $ | (1 | ) | $ | (296 | ) | $ | (4,588 | ) | $ | — |
| Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 8,468 | 5.7 | % | ||||||
Short Term Bond Fund II | 2,349 | 2.0 | ||||||||
Total Return Fund | 164 | — | (a) |
(a) | Amount rounds to less than 0.1%. |
Commitments | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Security Description | | Term | | Maturity Date | | Rate | | Amount | | Value | |||||||||||||
Lyondell Chemical | New Money DIP Term Loan | 12/15/09 | 1.500 | % | $ | 815 | $ | 839 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Options | Swaptions | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategic Income Opportunities Fund | | Number of Contracts | | Premiums Received | | Notional Amount | | Premiums Received | |||||||||||
Options outstanding at February 28, 2009 | — | $ | — | $ | — | $ | — | ||||||||||||
Options written | 3,495 | 417 | 151,530 | 2,463 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (1,447 | ) | (304 | ) | (124,670 | ) | (2,031 | ) | |||||||||||
Options outstanding at August 31, 2009 | 2,048 | $ | 113 | $ | 26,860 | $ | 432 |
Options | Swaptions | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Return Fund | | Number of Contracts | | Premiums Received | | Notional Amount | | Premiums Received | |||||||||||
Options outstanding at February 28, 2009 | — | $ | — | $ | 82,530 | $ | 116 | ||||||||||||
Options written | 1,813 | 325 | 98,420 | 1,604 | |||||||||||||||
Options expired | — | — | — | — | |||||||||||||||
Options terminated in closing purchase transactions | (980 | ) | (260 | ) | (159,400 | ) | (1,366 | ) | |||||||||||
Options outstanding at August 31, 2009 | 833 | $ | 65 | $ | 21,550 | $ | 354 |
amounts of interest to be paid or received on swaps, is recognized as unrealized appreciation or depreciation. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
Derivative Contract | | Statement of Assets and Liabilities Location | | | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | | | Futures (a) | | Swaps | |||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 138 | $ | — | |||||||||
Credit contracts | Receivables | — | 1,022 | |||||||||||
Total | $ | 138 | $ | 1,022 | ||||||||||
Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (122 | ) | $ | — | ||||||||
Credit contracts | Payables | — | (5,656 | ) | ||||||||||
Total | $ | (122 | ) | $ | (5,656 | ) |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Derivative Contract | | Statement of Assets and Liabilities Location | | | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | | | Futures (a) | | Swaps | |||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 3 | $ | — | |||||||||
Total | $ | 3 | $ | — | ||||||||||
Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (11 | ) | $ | (37 | ) | |||||||
Total | $ | (11 | ) | $ | (37 | ) |
Derivative Contract | | Statement of Assets and Liabilities Location | | | | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | | | Options (b) | | Futures (a) | | Forward Foreign Currency Exchange Contracts | | Swaps | |||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 1,268 | $ | 3,129 | $ | — | $ | 1,180 | |||||||||||||
Credit contracts | Receivables | — | — | — | 21,734 | |||||||||||||||||
Total | $ | 1,268 | $ | 3,129 | $ | — | $ | 22,914 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (416 | ) | $ | (1,412 | ) | $ | — | $ | (2,676 | ) | ||||||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | — | — | (20 | ) | — | ||||||||||||||||
Credit contracts | Payables | — | — | — | (30,110 | ) | ||||||||||||||||
Total | $ | (416 | ) | $ | (1,412 | ) | $ | (20 | ) | $ | (32,786 | ) |
Derivative Contract | | Statement of Assets and Liabilities Location | | | | | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | | | Options (b) | | Futures (a) | | Forward Foreign Currency Exchange Contracts | | Swaps | |||||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 941 | $ | 2,188 | $ | — | $ | 1,024 | |||||||||||||
Credit contracts | Receivables | — | — | — | 12,646 | |||||||||||||||||
Total | $ | 941 | $ | 2,188 | $ | — | $ | 13,670 | ||||||||||||||
Liabilities: | ||||||||||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | $ | (268 | ) | $ | (702 | ) | $ | — | $ | (1,467 | ) | ||||||||||
Foreign exchange contracts | Payables, Net Assets — Unrealized Depreciation | — | — | (18 | ) | — | ||||||||||||||||
Credit contracts | Payables | — | — | — | (17,742 | ) | ||||||||||||||||
Total | $ | (268 | ) | $ | (702 | ) | $ | (18 | ) | $ | (19,209 | ) |
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Portfolio Investments. The Statements of Assets and Liabilities only reflect the current day variation margin receivable/payable to brokers. |
(b) | The market value of purchased options is reported as Investments in non-affiliates, at value on the Statements of Assets and Liabilities. |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Forward Foreign Currency Exchange Contracts | | Swaps | | Total | ||||||||||||
Interest rate contracts | $ | 140 | $ | — | $ | — | $ | 140 | ||||||||||||
Foreign exchange contracts | — | (138 | ) | — | (138 | ) | ||||||||||||||
Credit contracts | — | — | (7,924 | ) | (7,924 | ) | ||||||||||||||
Total | $ | 140 | $ | (138 | ) | $ | (7,924 | ) | $ | (7,922 | ) |
Amount of Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Swaps | | Total | ||||||||||
Interest rate contracts | $441 | $ | — | $ | 441 | |||||||||||
Credit contracts | — | 8,088 | 8,088 | |||||||||||||
Total | $441 | $ | 8,088 | $ | 8,529 |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Swaps | | Total | ||||||||||
Interest rate contracts | $90 | $ | 567 | $ | 657 | |||||||||||
Total | $90 | $ | 567 | $ | 657 |
Amount of Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Swaps | | Total | ||||||||||
Interest rate contracts | $(60) | $ | 67 | $ | 7 | |||||||||||
Total | $(60) | $ | 67 | $ | 7 |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Total | ||||||||
Interest rate contracts | $ | 25 | $ | 25 | ||||||||
Total | $ | 25 | $ | 25 |
Amount of Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Futures | | Total | ||||||||
Interest rate contracts | $ | 28 | $ | 28 | ||||||||
Total | $ | 28 | $ | 28 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Options | | Futures | | Forward Foreign Currency Exchange Contracts | | Swaps | | Total | ||||||||||||||
Interest rate contracts | $ | 22 | $ | 518 | $ | — | $ | 1,358 | $ | 1,898 | ||||||||||||||
Foreign exchange contracts | — | — | 77 | — | 77 | |||||||||||||||||||
Credit contracts | — | — | — | 6,175 | 6,175 | |||||||||||||||||||
Total | $ | 22 | $ | 518 | $ | 77 | $ | 7,533 | $ | 8,150 |
Amount of Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Options | | Futures | | Forward Foreign Currency Exchange Contracts | | Swaps | | Total | ||||||||||||||
Interest rate contracts | $ | 204 | $ | 1,743 | $ | — | $ | (640 | ) | $ | 1,307 | |||||||||||||
Foreign exchange contracts | — | — | (20 | ) | — | (20 | ) | |||||||||||||||||
Credit contracts | — | — | — | (4,691 | ) | (4,691 | ) | |||||||||||||||||
Total | $ | 204 | $ | 1,743 | $ | (20 | ) | $ | (5,331 | ) | $ | (3,404 | ) |
Amount of Realized Gain (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Options | | Futures | | Forward Foreign Currency Exchange Contracts | | Swaps | | Total | ||||||||||||||
Interest rate contracts | $ | 214 | $ | 4,134 | $ | — | $ | (1,305 | ) | $ | 3,043 | |||||||||||||
Foreign exchange contracts | — | — | 69 | — | 69 | |||||||||||||||||||
Credit contracts | — | — | — | 5,664 | 5,664 | |||||||||||||||||||
Total | $ | 214 | $ | 4,134 | $ | 69 | $ | 4,359 | $ | 8,776 |
Amount of Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivative Contract | | Options | | Futures | | Forward Foreign Currency Exchange Contracts | | Swaps | | Total | ||||||||||||||
Interest rate contracts | $ | (190 | ) | $ | 951 | $ | — | $ | 769 | $ | 1,530 | |||||||||||||
Foreign exchange contracts | — | — | (18 | ) | — | (18 | ) | |||||||||||||||||
Credit contracts | — | — | — | (3,415 | ) | (3,415 | ) | |||||||||||||||||
Total | $ | (190 | ) | $ | 951 | $ | (18 | ) | $ | (2,646 | ) | $ | (1,903 | ) |
determined daily by reference to the market value of the short positions. The Fund is subject to risk of loss if the applicable counterparty broker were to fail to perform its obligations under the contractual terms. Dividend or interest expense on securities sold short is treated as an expense on the Statements of Operations. Liabilities for securities sold short are reported at market value in the financial statements. Short sale transactions result in off-balance sheet risk because the ultimate obligation may exceed the related amount shown in the accompanying Statements of Assets and Liabilities. The Fund will incur a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund’s loss on a short sale is potentially unlimited because there is no upward limit on the price a borrowed security could attain. The Fund will realize a gain if the price of the security declines between those dates.
AS OF AUGUST 31, 2009 (Unaudited) (continued)
paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
| ||||||
---|---|---|---|---|---|---|
Emerging Markets Debt Fund | 0.70 | % | ||||
Real Return Fund | 0.35 | |||||
Short Term Bond Fund II | 0.25 | |||||
Strategic Income Opportunities Fund | 0.45 | |||||
Total Return Fund | 0.30 |
| ||||||
---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 9 | ||||
Real Return Fund | 17 | |||||
Short Term Bond Fund II | 6 | |||||
Strategic Income Opportunities Fund | 184 | |||||
Total Return Fund | 114 |
| Class A | | Class C | | Class M | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | 0.25 | % | 0.75 | % | n/a | |||||||||
Real Return Fund | 0.25 | 0.75 | n/a | |||||||||||
Short Term Bond Fund II | 0.25 | n/a | 0.35 | % | ||||||||||
Strategic Income Opportunities Fund | 0.25 | 0.75 | n/a | |||||||||||
Total Return Fund | 0.25 | 0.75 | n/a |
| Front-End Sales Charge | | CDSC | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 7 | $ | 1 | ||||||
Real Return Fund | 38 | 3 | ||||||||
Short Term Bond Fund II | 1 | — | ||||||||
Strategic Income Opportunities Fund | 156 | — | (a) | |||||||
Total Return Fund | — | — |
(a) | Amount rounds to less than $1,000. |
| Class A | | Class C | | Class M | | Class R5 | | Institutional Class | | Select Class | | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||||||
Real Return Fund | 0.25 | 0.25 | n/a | n/a | 0.10 | % | 0.25 | |||||||||||||||||||||||
Short Term Bond Fund II | 0.25 | n/a | 0.25 | % | n/a | n/a | 0.25 | |||||||||||||||||||||||
Strategic Income Opportunities Fund | 0.25 | 0.25 | n/a | 0.05 | n/a | 0.25 | ||||||||||||||||||||||||
Total Return Fund | 0.25 | 0.25 | n/a | 0.05 | n/a | 0.25 |
| Class A | | Class C | | Class M | | Class R5 | | Institutional Class | | Select Class | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | 1.50 | % | 2.00 | % | n/a | 1.05 | % | n/a | 1.25 | % | ||||||||||||||||
Real Return Fund | 0.90 | 1.40 | n/a | n/a | 0.50 | % | 0.65 | |||||||||||||||||||
Short Term Bond Fund II | 0.75 | n/a | 1.00 | % | n/a | n/a | 0.50 | |||||||||||||||||||
Strategic Income Opportunities Fund | 1.00 | 1.50 | n/a | 0.55 | n/a | 0.75 | ||||||||||||||||||||
Total Return Fund | 0.75 | 1.40 | n/a | 0.55 | n/a | 0.65 |
| Class A | | Class C | | Class R5 | | Select Class | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1.40 | % | 1.90 | % | 0.95 | % | 1.15 | % |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
Contractual Waivers | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Investment Advisory | | Administration | | Shareholder Serving | | Total | | Contractual Reimbursements | |||||||||||||
Emerging Markets Debt Fund | $ | 32 | $ | 37 | $ | 37 | $ | 106 | — | |||||||||||||
Real Return Fund | 132 | 39 | 47 | 218 | $ | 20 | ||||||||||||||||
Short Term Bond Fund II | 61 | 34 | 69 | 164 | — | |||||||||||||||||
Strategic Income Opportunities Fund | 140 | 127 | 177 | 444 | — | |||||||||||||||||
Total Return Fund | — | — | 187 | 187 | — |
| Purchases (excluding U.S. Government) | | Sales (excluding U.S. Government) | | Purchases of U.S. Government | | Sales of U.S. Government | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 80,187 | $ | 171,651 | $ | 10,087 | $ | 15,376 | ||||||||||
Real Return Fund | — | 380 | 40,354 | 10,120 | ||||||||||||||
Short Term Bond Fund II | 35,648 | 24,595 | 14,228 | — | ||||||||||||||
Strategic Income Opportunities Fund | 700,643 | 98,084 | 108,920 | 46,557 | ||||||||||||||
Total Return Fund | 2,038,547 | 2,168,471 | 226,768 | 194,869 |
| Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | $ | 151,470 | $ | 9,186 | $ | 9,284 | $ | (98 | ) | |||||||||
Real Return Fund | 113,217 | 2,032 | 547 | 1,485 | ||||||||||||||
Short Term Bond Fund II | 115,048 | 2,490 | 547 | 1,943 | ||||||||||||||
Strategic Income Opportunities Fund | 1,381,225 | 74,861 | 3,030 | 71,831 | ||||||||||||||
Total Return Fund | 886,220 | 25,047 | 22,086 | 2,961 |
requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
| JPMorgan SmartRetirement Funds | | J.P. Morgan Investor Funds | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | 27.2 | % | 30.9 | % | ||||||
Real Return Fund | 19.6 | 40.5 |
AS OF AUGUST 31, 2009 (Unaudited) (continued)
(Unaudited)
| Beginning Account Value, March 1, 2009 | | Ending Account Value, August 31, 2009 | | Expenses Paid During March 1, 2009 to August 31, 2009* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging Markets Debt Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,312.50 | $ | 11.60 | 1.99 | % | ||||||||||
Hypothetical | 1,000.00 | 1,015.17 | 10.11 | 1.99 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,309.90 | 13.62 | 2.34 | ||||||||||||||
Hypothetical | 1,000.00 | 1,013.41 | 11.88 | 2.34 | ||||||||||||||
Class R5 | ||||||||||||||||||
Actual | 1,000.00 | 1,317.10 | 8.06 | 1.38 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.25 | 7.02 | 1.38 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,313.90 | 8.69 | 1.49 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.69 | 7.58 | 1.49 | ||||||||||||||
Real Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,074.20 | 4.71 | 0.90 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.67 | 4.58 | 0.90 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,071.00 | 7.31 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.12 | 1.40 | ||||||||||||||
Institutional Class | ||||||||||||||||||
Actual | 1,000.00 | 1,075.90 | 2.62 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,075.30 | 3.40 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 3.31 | 0.65 |
(Unaudited) (continued)
| Beginning Account Value, March 1, 2009 | | Ending Account Value, August 31, 2009 | | Expenses Paid During March 1, 2009 to August 31, 2009* | | Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Term Bond Fund II | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.00 | $ | 3.82 | 0.75 | % | ||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Class M | ||||||||||||||||||
Actual | 1,000.00 | 1,017.70 | 5.09 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,021.40 | 2.55 | 0.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||||
Strategic Income Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,155.30 | 5.43 | 1.00 | ||||||||||||||
Hypothetical | 1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,152.30 | 8.14 | 1.50 | ||||||||||||||
Hypothetical | 1,000.00 | 1,017.64 | 7.63 | 1.50 | ||||||||||||||
Class R5 | ||||||||||||||||||
Actual | 1,000.00 | 1,157.90 | 2.99 | 0.55 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,155.90 | 4.08 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Total Return Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
Actual | 1,000.00 | 1,150.50 | 4.07 | 0.75 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||||
Class C | ||||||||||||||||||
Actual | 1,000.00 | 1,145.50 | 7.57 | 1.40 | ||||||||||||||
Hypothetical | 1,000.00 | 1,018.15 | 7.12 | 1.40 | ||||||||||||||
Class R5 | ||||||||||||||||||
Actual | 1,000.00 | 1,150.50 | 2.76 | 0.51 | ||||||||||||||
Hypothetical | 1,000.00 | 1,022.63 | 2.60 | 0.51 | ||||||||||||||
Select Class | ||||||||||||||||||
Actual | 1,000.00 | 1,150.90 | 3.52 | 0.65 | ||||||||||||||
Hypothetical | 1,000.00 | 1,021.93 | 3.31 | 0.65 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect the one-half year period). |
(Unaudited)
(Unaudited) (continued)
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 adviser, 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.
while they were satisfied with the Advisor’s analysis of the Fund’s performance, the Fund’s Advisor should provide additional Fund performance information which will be reviewed with members of the Fixed Income subcommittee at each of their regular meetings over the course of the next year.
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© JPMorgan Chase & Co., 2009 All rights reserved. August 2009. | SAN-INC-809 |
---|
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 9, 2009
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 9, 2009
By:
/s/____________________________
Patricia A. Maleski
Treasurer and Principal Financial Officer
November 9, 2009