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, 2010 through August 31, 2010
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 Core Plus Bond Fund
JPMorgan Government Bond Fund
JPMorgan High Yield Fund
JPMorgan Limited Duration Bond Fund
JPMorgan Mortgage-Backed Securities Fund
JPMorgan Short Duration Bond Fund
JPMorgan Short Term Bond Fund II
JPMorgan Treasury & Agency Fund
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/jpmorganlogo_k.jpg)
CEO’s Letter | 1 | |||||
Market Overview | 2 | |||||
Fund Commentaries: | ||||||
JPMorgan Core Bond Fund | 3 | |||||
JPMorgan Core Plus Bond Fund | 5 | |||||
JPMorgan Government Bond Fund | 7 | |||||
JPMorgan High Yield Fund | 9 | |||||
JPMorgan Limited Duration Bond Fund | 11 | |||||
JPMorgan Mortgage-Backed Securities Fund | 13 | |||||
JPMorgan Short Duration Bond Fund | 15 | |||||
JPMorgan Short Term Bond Fund II | 17 | |||||
JPMorgan Treasury & Agency Fund | 19 | |||||
Schedules of Portfolio Investments | 21 | |||||
Financial Statements | 184 | |||||
Financial Highlights | 208 | |||||
Notes to Financial Statements | 226 | |||||
Schedule of Shareholder Expenses | 249 | |||||
Board Approval of Investment Advisory Agreements | 253 |
SEPTEMBER 17, 2010 (Unaudited)
![]() | “The economy appeared to be recovering, with improvements in housing starts, industrial production, and productivity growth all suggesting that the economy was coming out of recession.” |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/georgecwgatch-sig.jpg)
CEO-Investment Management Americas
J.P. Morgan Asset Management
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | |||||||
Fund (Select Class Shares)* | 5.76% | ||||||
Barclays Capital U.S. Aggregate Index | 5.81% | ||||||
Net Assets as of 8/31/2010 (In Thousands) | $17,977,447 | ||||||
Duration | 3.7 years |
Collateralized Mortgage Obligations | 36.7 | % | ||||
U.S. Treasury Obligations | 28.6 | |||||
Corporate Bonds | 12.4 | |||||
Mortgage Pass-Through Securities | 10.5 | |||||
Asset-Backed Securities | 2.4 | |||||
U.S. Government Agency Securities | 1.6 | |||||
Commercial Mortgage-Backed Securities | 1.2 | |||||
Foreign Government Securities | 0.2 | |||||
Others (each less than 1.0%) | 0.1 | |||||
Short-Term Investments | 6.3 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 5/1/92 | |||||||||||||||||||||
Without Sales Charge | 5.66 | % | 9.25 | % | 6.17 | % | 6.54 | % | ||||||||||||||
With Sales Charge** | 1.68 | 5.18 | 5.37 | 6.14 | ||||||||||||||||||
CLASS B SHARES | 8/26/96 | |||||||||||||||||||||
Without CDSC | 5.32 | 8.53 | 5.48 | 6.00 | ||||||||||||||||||
With CDSC*** | 0.32 | 3.53 | 5.15 | 6.00 | ||||||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||||
Without CDSC | 5.30 | 8.52 | 5.48 | 5.85 | ||||||||||||||||||
With CDSC**** | 4.30 | 7.52 | 5.48 | 5.85 | ||||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 5.45 | 8.90 | 5.89 | 6.29 | |||||||||||||||||
CLASS R5 SHARES | 5/15/06 | 5.83 | 9.59 | 6.45 | 6.81 | |||||||||||||||||
SELECT CLASS SHARES | 6/1/91 | 5.76 | 9.42 | 6.33 | 6.75 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 5.86 | 9.63 | 6.54 | 6.87 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
**** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_corebond-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | |||||||
Fund (Select Class Shares)* | 6.50% | ||||||
Barclays Capital U.S. Aggregate Index | 5.81% | ||||||
Net Assets as of 8/31/2010 (In Thousands) | $1,868,826 | ||||||
Duration | 4.4 years |
Corporate Bonds | 34.4 | % | ||||
Collateralized Mortgage Obligations | 20.5 | |||||
U.S. Treasury Obligations | 18.1 | |||||
Mortgage Pass-Through Securities | 3.9 | |||||
Loan Participations & Assignments | 3.1 | |||||
Asset-Backed Securities | 2.3 | |||||
Commercial Mortgage-Backed Securities | 2.2 | |||||
Foreign Government Securities | 1.7 | |||||
Others (each less than 1.0%) | 1.9 | |||||
Short-Term Investment | 11.9 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 3/5/93 | |||||||||||||||||||||
Without Sales Charge | 6.43 | % | 12.29 | % | 5.83 | % | 6.08 | % | ||||||||||||||
With Sales Charge** | 2.39 | 8.05 | 5.02 | 5.67 | ||||||||||||||||||
CLASS B SHARES | 5/31/95 | |||||||||||||||||||||
Without CDSC | 6.06 | 11.53 | 5.22 | 5.58 | ||||||||||||||||||
With CDSC*** | 1.06 | 6.53 | 4.89 | 5.58 | ||||||||||||||||||
CLASS C SHARES | 5/30/00 | |||||||||||||||||||||
Without CDSC | 6.09 | 11.57 | 5.23 | 5.45 | ||||||||||||||||||
With CDSC**** | 5.09 | 10.57 | 5.23 | 5.45 | ||||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 6.23 | 11.74 | 5.50 | 5.74 | |||||||||||||||||
INSTITUTIONAL CLASS SHARES | 6/19/09 | 6.71 | 12.74 | 6.11 | 6.35 | |||||||||||||||||
SELECT CLASS SHARES | 3/5/93 | 6.50 | 12.42 | 6.06 | 6.32 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 6.62 | 12.84 | 6.30 | 6.46 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
**** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_coreplus-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 7.44% | |||||
Barclays Capital U.S. Government Bond Index | 6.01% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $1,571,779 | |||||
Duration | 4.9 years |
Collateralized Mortgage Obligations | 40.1 | % | ||||
U.S. Treasury Obligations | 22.4 | |||||
U.S. Government Agency Securities | 16.5 | |||||
Mortgage Pass-Through Securities | 11.9 | |||||
Short-Term Investment | 9.1 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 3/5/93 | |||||||||||||||||||||
Without Sales Charge | 7.19 | % | 9.71 | % | 5.95 | % | 6.34 | % | ||||||||||||||
With Sales Charge** | 3.14 | 5.64 | 5.14 | 5.93 | ||||||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||||
Without CDSC | 6.79 | 8.91 | 5.19 | 5.76 | ||||||||||||||||||
With CDSC*** | 1.79 | 3.91 | 4.86 | 5.76 | ||||||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||||
Without CDSC | 6.91 | 8.93 | 5.21 | 5.60 | ||||||||||||||||||
With CDSC**** | 5.91 | 7.93 | 5.21 | 5.60 | ||||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 7.17 | 9.48 | 5.71 | 6.10 | |||||||||||||||||
SELECT CLASS SHARES | 2/8/93 | 7.44 | 10.00 | 6.26 | 6.60 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
**** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_govbond-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 5.77% | |||||
Barclays Capital U.S. Corporate High Yield — 2% Issuer Capped Index | 6.62% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $7,218,561 | |||||
Duration | 4.6 years |
Corporate Bonds | 82.8 | % | ||||
Loan Participations & Assignments | 12.2 | |||||
Common Stocks | 1.8 | |||||
Others (each less than 1.0%) | 0.4 | |||||
Short-Term Investment | 2.8 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 11/13/98 | |||||||||||||||||||||
Without Sales Charge | 5.66 | % | 18.87 | % | 6.94 | % | 7.15 | % | ||||||||||||||
With Sales Charge** | 1.70 | 14.38 | 6.12 | 6.74 | ||||||||||||||||||
CLASS B SHARES | 11/13/98 | |||||||||||||||||||||
Without CDSC | 5.30 | 18.03 | 6.25 | 6.58 | ||||||||||||||||||
With CDSC*** | 0.30 | 13.03 | 5.94 | 6.58 | ||||||||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||||||||
Without CDSC | 5.32 | 18.08 | 6.24 | 6.45 | ||||||||||||||||||
With CDSC**** | 4.32 | 17.08 | 6.24 | 6.45 | ||||||||||||||||||
CLASS R2 SHARES | 11/3/08 | 5.54 | 18.63 | 6.63 | 6.85 | |||||||||||||||||
CLASS R5 SHARES | 5/15/06 | 5.81 | 19.14 | 7.24 | 7.45 | |||||||||||||||||
SELECT CLASS SHARES | 11/13/98 | 5.77 | 19.22 | 7.20 | 7.43 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 5.83 | 19.21 | 7.29 | 7.47 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
*** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
**** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_highyield-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 5.27% | |||||
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index | 1.59% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $368,233 | |||||
Duration | 1.6 years |
Collateralized Mortgage Obligations | 47.6 | % | ||||
Mortgage Pass-Through Securities | 20.4 | |||||
Asset-Backed Securities | 12.3 | |||||
Commercial Mortgage-Backed Securities | 2.4 | |||||
Corporate Bonds | 0.4 | |||||
Short-Term Investment | 16.9 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 3/10/93 | |||||||||||||||||||||
Without Sales Charge | 5.13 | % | 12.49 | % | 2.84 | % | 3.25 | % | ||||||||||||||
With Sales Charge** | 2.82 | 10.00 | 2.36 | 3.02 | ||||||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||||
Without CDSC | 4.90 | 11.86 | 2.33 | 2.94 | ||||||||||||||||||
With CDSC*** | 1.90 | 8.86 | 2.33 | 2.94 | ||||||||||||||||||
CLASS C SHARES | 11/1/01 | 4.79 | 11.92 | 2.34 | 2.71 | |||||||||||||||||
SELECT CLASS SHARES | 2/2/93 | 5.27 | 12.78 | 3.12 | 3.52 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 5.36 | 12.96 | 3.32 | 3.64 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_limiteddurabond-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 5.19% | |||||
Barclays Capital U.S. MBS Index | 3.95% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $2,123,768 | |||||
Duration | 2.1 years |
Collateralized Mortgage Obligations | 70.9 | % | ||||
Mortgage Pass-Through Securities | 16.0 | |||||
U.S. Treasury Obligations | 6.4 | |||||
Asset-Backed Securities | 1.3 | |||||
U.S. Government Agency Securities | 1.1 | |||||
Commercial Mortgage-Backed Securities | 0.4 | |||||
Short-Term Investment | 3.9 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 8/18/00 | |||||||||||||||||||||
Without Sales Charge | 5.06 | % | 10.25 | % | 6.74 | % | 6.96 | % | ||||||||||||||
With Sales Charge** | 1.10 | 6.11 | 5.93 | 6.56 | ||||||||||||||||||
SELECT CLASS SHARES | 8/18/00 | 5.19 | 10.43 | 6.99 | 7.20 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 5.36 | 10.68 | 7.16 | 7.30 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 3.75%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_mortgbacksecu-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 1.79% | |||||
Barclays Capital 1–3 Year U.S. Government/Credit Bond Index | 1.59% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $9,729,071 | |||||
Duration | 1.8 years |
U.S. Treasury Obligations | 29.9 | % | ||||
U.S. Government Agency Securities | 23.7 | |||||
Corporate Bonds | 14.2 | |||||
Collateralized Mortgage Obligations | 10.2 | |||||
Asset-Backed Securities | 8.8 | |||||
Mortgage Pass-Through Securities | 8.5 | |||||
Commercial Mortgage-Backed Securities | 1.3 | |||||
Foreign Government Securities | 0.2 | |||||
Short-Term Investment | 3.2 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 2/18/92 | |||||||||||||||||||||
Without Sales Charge | 1.57 | % | 3.61 | % | 4.21 | % | 4.19 | % | ||||||||||||||
With Sales Charge** | (0.70 | ) | 1.27 | 3.74 | 3.95 | |||||||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||||||||
Without CDSC | 1.38 | 3.13 | 3.69 | 3.87 | ||||||||||||||||||
With CDSC*** | (1.62 | ) | 0.13 | 3.69 | 3.87 | |||||||||||||||||
CLASS C SHARES | 11/1/01 | 1.40 | 3.08 | 3.68 | 3.63 | |||||||||||||||||
SELECT CLASS SHARES | 9/4/90 | 1.79 | 3.96 | 4.48 | 4.45 | |||||||||||||||||
ULTRA SHARES | 2/22/05 | 1.91 | 4.20 | 4.74 | 4.60 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_shortdurabond-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 1.50% | |||||
Barclays Capital 1–3 Year U.S. Government Bond Index | 1.40% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $96,853 | |||||
Duration | 1.8 years |
U.S. Treasury Obligations | 33.4 | % | ||||
U.S. Government Agency Securities | 26.6 | |||||
Corporate Bonds | 24.6 | |||||
Asset-Backed Securities | 8.1 | |||||
Collateralized Mortgage Obligations | 4.7 | |||||
Commercial Mortgage-Backed Securities | 1.2 | |||||
Others (each less than 1.0%) | 0.8 | |||||
Short-Term Investment | 0.6 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 6/6/96 | |||||||||||||||||||||
Without Sales Charge | 1.36 | % | 3.06 | % | 1.30 | % | 2.54 | % | ||||||||||||||
With Sales Charge** | (0.88 | ) | 0.77 | 0.84 | 2.31 | |||||||||||||||||
CLASS M SHARES | 7/1/99 | |||||||||||||||||||||
Without Sales Charge | 1.23 | 2.81 | 1.05 | 2.29 | ||||||||||||||||||
With Sales Charge*** | (0.24 | ) | 1.31 | 0.75 | 2.14 | |||||||||||||||||
SELECT CLASS SHARES | 11/30/90 | 1.50 | 3.33 | 1.57 | 2.80 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Sales charge for Class M Shares is 1.50%. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_stbondii-line.jpg)
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
REPORTING PERIOD RETURN: | ||||||
Fund (Select Class Shares)* | 1.61% | |||||
Barclays Capital 1–5 Year U.S. Treasury Index | 2.74% | |||||
Net Assets as of 8/31/2010 (In Thousands) | $511,450 | |||||
Duration | 2.0 years |
U.S. Treasury Obligations | 77.2 | % | ||||
U.S. Government Agency Securities | 21.3 | |||||
Short-Term Investment | 1.5 |
* | The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of August 31, 2010. The Fund’s composition is subject to change. |
SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
INCEPTION DATE OF CLASS | 6 MONTH* | 1 YEAR | 5 YEAR | 10 YEAR | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A SHARES | 1/20/97 | |||||||||||||||||||||
Without Sales Charge | 1.48 | % | 3.03 | % | 4.10 | % | 4.57 | % | ||||||||||||||
With Sales Charge** | (0.81 | ) | 0.66 | 3.62 | 4.34 | |||||||||||||||||
CLASS B SHARES | 1/20/97 | |||||||||||||||||||||
Without CDSC | 1.29 | 2.59 | 3.59 | 4.25 | ||||||||||||||||||
With CDSC*** | (1.71 | ) | (0.41 | ) | 3.59 | 4.25 | ||||||||||||||||
SELECT CLASS SHARES | 1/20/97 | 1.61 | 3.27 | 4.38 | 4.83 |
* | Not annualized. |
** | Sales Charge for Class A Shares is 2.25%. |
*** | Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
![](https://capedge.com/proxy/N-CSRS/0001145443-10-002483/d27236_treasuryagency-line.jpg)
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 2.4% | |||||||||||
15,100 | AH Mortgage Advance Trust, Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 15,100 | |||||||||
Ally Auto Receivables Trust, | |||||||||||
3,000 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 3,065 | |||||||||
5,605 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,659 | |||||||||
10,410 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 10,410 | |||||||||
5,804 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 5,804 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
848 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 866 | |||||||||
323 | Series 2007-CM, Class A3B, VAR, 0.325%, 05/07/12 | 323 | |||||||||
1,103 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 1,122 | |||||||||
2,670 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 2,864 | |||||||||
3,000 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 3,070 | |||||||||
3,140 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 3,141 | |||||||||
2,190 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 2,205 | |||||||||
764 | Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 757 | |||||||||
Bank of America Auto Trust, | |||||||||||
15,000 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 15,235 | |||||||||
3,235 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 3,393 | |||||||||
10,000 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 10,131 | |||||||||
5,575 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 5,637 | |||||||||
5,810 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 5,859 | |||||||||
4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,363 | |||||||||
6,480 | Series 2010-2, Class A2, 0.910%, 10/15/12 | 6,499 | |||||||||
5,110 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 5,156 | |||||||||
7,795 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 7,951 | |||||||||
1,762 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.634%, 04/25/36 | 1,237 | |||||||||
70 | Capital One Auto Finance Trust, Series 2007-C, Class A3A, 5.130%, 04/16/12 | 70 | |||||||||
4,645 | CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 | 4,696 | |||||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | |||||||||||
3,675 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 3,531 | |||||||||
4,250 | Series 2003-6, Class 1A5, SUB, 5.350%, 11/25/34 | 3,994 | |||||||||
15,515 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 14,672 | |||||||||
Chrysler Financial Auto Securitization Trust, | |||||||||||
3,750 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 3,825 | |||||||||
8,500 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 8,519 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
8,282 | Series 2002-C2, Class C2, 6.950%, 02/18/14 | 8,821 | |||||||||
950 | Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,275 | |||||||||
CitiFinancial Auto Issuance Trust, | |||||||||||
14,308 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 14,361 | |||||||||
5,350 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 5,441 | |||||||||
2,353 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 2,368 | |||||||||
1,938 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.644%, 12/25/33 | 1,562 | |||||||||
CNH Equipment Trust, | |||||||||||
553 | Series 2008-B, Class A3A, 4.780%, 07/16/12 | 557 | |||||||||
3,900 | Series 2008-B, Class A4A, 5.600%, 11/17/14 | 4,086 | |||||||||
420 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 431 | |||||||||
1,970 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 1,995 | |||||||||
9,985 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 10,100 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 | 505 | |||||||||
11 | Series 2004-1, Class 3A, VAR, 0.544%, 04/25/34 | 8 | |||||||||
1,290 | Series 2004-1, Class M1, VAR, 0.764%, 03/25/34 | 1,003 | |||||||||
1,060 | Series 2004-1, Class M2, VAR, 0.814%, 03/25/34 | 861 | |||||||||
1,065 | Series 2004-6, Class M1, VAR, 0.864%, 10/25/34 | 621 | |||||||||
715 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.574%, 11/25/35 | 666 | |||||||||
1,175 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 803 | |||||||||
2,400 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 2,690 | |||||||||
1,400 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.364%, 12/25/36 | 1,229 | |||||||||
�� | Ford Credit Auto Owner Trust, | ||||||||||
185 | Series 2006-B, Class A4, 5.250%, 09/15/11 | 187 | |||||||||
6,700 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 6,828 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — Continued | |||||||||||
5,000 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 5,394 | |||||||||
6,000 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 6,091 | |||||||||
1,200 | GE Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 | 1,100 | |||||||||
Harley-Davidson Motorcycle Trust, | |||||||||||
9,361 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 9,365 | |||||||||
5,140 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 5,181 | |||||||||
Honda Auto Receivables Owner Trust, | |||||||||||
5,495 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 5,586 | |||||||||
3,500 | Series 2009-2, Class A4, 4.430%, 07/15/15 | 3,708 | |||||||||
3,155 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 3,206 | |||||||||
4,200 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 4,393 | |||||||||
HSBC Home Equity Loan Trust, | |||||||||||
3,593 | Series 2005-2, Class A1, VAR, 0.536%, 01/20/35 | 3,178 | |||||||||
2,927 | Series 2005-2, Class M2, VAR, 0.756%, 01/20/35 | 2,598 | |||||||||
6,295 | Series 2006-1, Class A1, VAR, 0.426%, 01/20/36 | 5,705 | |||||||||
2,797 | Series 2006-2, Class A1, VAR, 0.416%, 03/20/36 | 2,611 | |||||||||
9,000 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 9,317 | |||||||||
1,178 | Series 2007-1, Class AS, VAR, 0.466%, 03/20/36 | 1,095 | |||||||||
14,954 | Series 2007-3, Class APT, VAR, 1.466%, 11/20/36 | 13,367 | |||||||||
Hyundai Auto Receivables Trust, | |||||||||||
2,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 2,538 | |||||||||
4,590 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,589 | |||||||||
6,300 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 6,300 | |||||||||
1,725 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.464%, 03/25/36 | 1,059 | |||||||||
John Deere Owner Trust, | |||||||||||
3,179 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 3,219 | |||||||||
5,360 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 5,408 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
1,500 | Series 2004-3, Class M1, VAR, 0.834%, 07/25/34 | 1,069 | |||||||||
1,482 | Series 2006-8, Class 2A2, VAR, 0.354%, 09/25/36 | 538 | |||||||||
2,210 | Series 2006-WL2, Class 2A3, VAR, 0.464%, 01/25/36 | 1,823 | |||||||||
4,776 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 5,068 | |||||||||
Mercedes-Benz Auto Receivables Trust, | |||||||||||
3,000 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 3,042 | |||||||||
6,000 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 6,071 | |||||||||
3,044 | Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 1.014%, 01/25/35 | 2,990 | |||||||||
45,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.264%, 12/26/22 (e) | 44,887 | |||||||||
4,000 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 4,057 | |||||||||
292 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.104%, 02/25/33 | 236 | |||||||||
100 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 53 | |||||||||
Residential Asset Securities Corp., | |||||||||||
82 | Series 2002-KS4, Class AIIB, VAR, 0.764%, 07/25/32 | 45 | |||||||||
115 | Series 2003-KS5, Class AIIB, VAR, 0.844%, 07/25/33 | 67 | |||||||||
132 | Series 2003-KS9, Class A2B, VAR, 0.904%, 11/25/33 | 55 | |||||||||
2,266 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,944 | |||||||||
5,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.534%, 06/25/35 | 4,538 | |||||||||
Structured Asset Securities Corp., | |||||||||||
3,293 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 3,262 | |||||||||
1,301 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 1,237 | |||||||||
342 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 375 | |||||||||
USAA Auto Owner Trust, | |||||||||||
8,485 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 8,562 | |||||||||
3,080 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 3,188 | |||||||||
706 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 714 | |||||||||
World Omni Auto Receivables Trust, | |||||||||||
210 | Series 2007-B, Class A3A, 5.280%, 01/17/12 | 211 | |||||||||
1,400 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 1,426 | |||||||||
7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 7,229 | |||||||||
Total Asset-Backed Securities (Cost $427,225) | 433,247 | ||||||||||
Collateralized Mortgage Obligations — 36.7% | |||||||||||
Agency CMO — 23.8% | |||||||||||
Federal Home Loan Bank System, | |||||||||||
1,715 | Series 2000-0606, Class Y, 5.270%, 12/28/12 | 1,845 | |||||||||
27,624 | Series 2000-1067, Class 1, 5.300%, 06/15/12 | 29,756 | |||||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | |||||||||||
652 | Series 8, Class ZA, 7.000%, 03/25/23 | 755 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
398 | Series 24, Class ZE, 6.250%, 11/25/23 | 434 | |||||||||
2,878 | Series 29, Class L, 7.500%, 04/25/24 | 3,090 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
105 | Series 11, Class D, 9.500%, 07/15/19 | 113 | |||||||||
29 | Series 22, Class C, 9.500%, 04/15/20 | 32 | |||||||||
46 | Series 23, Class F, 9.600%, 04/15/20 | 51 | |||||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 3 | |||||||||
20 | Series 46, Class B, 7.800%, 09/15/20 | 23 | |||||||||
10 | Series 47, Class F, 10.000%, 06/15/20 | 12 | |||||||||
1 | Series 85, Class C, 8.600%, 01/15/21 | 1 | |||||||||
34 | Series 99, Class Z, 9.500%, 01/15/21 | 38 | |||||||||
94 | Series 114, Class H, 6.950%, 01/15/21 | 109 | |||||||||
— | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 15 | ||||||||
— | (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 | 1 | ||||||||
18 | Series 1065, Class J, 9.000%, 04/15/21 | 22 | |||||||||
11 | Series 1079, Class S, HB, IF, 32.938%, 05/15/21 | 20 | |||||||||
30 | Series 1084, Class F, VAR, 1.263%, 05/15/21 | 30 | |||||||||
21 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 45 | |||||||||
28 | Series 1116, Class I, 5.500%, 08/15/21 | 30 | |||||||||
81 | Series 1144, Class KB, 8.500%, 09/15/21 | 98 | |||||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 4 | ||||||||
1 | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 29 | |||||||||
70 | Series 1206, Class IA, 7.000%, 03/15/22 | 81 | |||||||||
33 | Series 1212, Class IZ, 8.000%, 02/15/22 | 33 | |||||||||
86 | Series 1250, Class J, 7.000%, 05/15/22 | 99 | |||||||||
218 | Series 1343, Class LA, 8.000%, 08/15/22 | 258 | |||||||||
87 | Series 1343, Class LB, 7.500%, 08/15/22 | 102 | |||||||||
140 | Series 1370, Class JA, VAR, 1.462%, 09/15/22 | 140 | |||||||||
136 | Series 1455, Class WB, IF, 4.519%, 12/15/22 | 136 | |||||||||
1,297 | Series 1466, Class PZ, 7.500%, 02/15/23 | 1,520 | |||||||||
20 | Series 1470, Class F, VAR, 2.797%, 02/15/23 | 21 | |||||||||
235 | Series 1491, Class I, 7.500%, 04/15/23 | 275 | |||||||||
762 | Series 1498, Class I, VAR, 1.462%, 04/15/23 | 763 | |||||||||
988 | Series 1502, Class PX, 7.000%, 04/15/23 | 1,015 | |||||||||
127 | Series 1505, Class Q, 7.000%, 05/15/23 | 147 | |||||||||
544 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 614 | |||||||||
102 | Series 1541, Class M, HB, IF, 20.419%, 07/15/23 | 152 | |||||||||
484 | Series 1541, Class O, VAR, 2.240%, 07/15/23 | 490 | |||||||||
27 | Series 1570, Class F, VAR, 3.297%, 08/15/23 | 29 | |||||||||
1,022 | Series 1573, Class PZ, 7.000%, 09/15/23 | 1,183 | |||||||||
595 | Series 1591, Class PV, 6.250%, 10/15/23 | 638 | |||||||||
47 | Series 1595, Class D, 7.000%, 10/15/13 | 51 | |||||||||
143 | Series 1596, Class D, 6.500%, 10/15/13 | 143 | |||||||||
51 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 87 | |||||||||
32 | Series 1607, Class SA, IF, 18.296%, 10/15/13 | 38 | |||||||||
3,513 | Series 1608, Class L, 6.500%, 09/15/23 | 3,958 | |||||||||
1,467 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 1,787 | |||||||||
1,206 | Series 1642, Class PJ, 6.000%, 11/15/23 | 1,282 | |||||||||
517 | Series 1658, Class GZ, 7.000%, 01/15/24 | 553 | |||||||||
16 | Series 1671, Class L, 7.000%, 02/15/24 | 17 | |||||||||
21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 26 | |||||||||
24 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 38 | |||||||||
428 | Series 1695, Class EB, 7.000%, 03/15/24 | 496 | |||||||||
80 | Series 1699, Class FC, VAR, 0.913%, 03/15/24 | 81 | |||||||||
496 | Series 1700, Class GA, PO, 02/15/24 | 453 | |||||||||
2,316 | Series 1706, Class K, 7.000%, 03/15/24 | 2,507 | |||||||||
38 | Series 1709, Class FA, VAR, 2.120%, 03/15/24 | 38 | |||||||||
1,369 | Series 1720, Class PL, 7.500%, 04/15/24 | 1,411 | |||||||||
1,760 | Series 1737, Class L, 6.000%, 06/15/24 | 1,921 | |||||||||
171 | Series 1745, Class D, 7.500%, 08/15/24 | 200 | |||||||||
1,229 | Series 1798, Class F, 5.000%, 05/15/23 | 1,304 | |||||||||
25 | Series 1807, Class G, 9.000%, 10/15/20 | 27 | |||||||||
283 | Series 1829, Class ZB, 6.500%, 03/15/26 | 308 | |||||||||
33 | Series 1844, Class E, 6.500%, 10/15/13 | 36 | |||||||||
1,816 | Series 1863, Class Z, 6.500%, 07/15/26 | 2,046 | |||||||||
58 | Series 1865, Class D, PO, 02/15/24 | 41 | |||||||||
168 | Series 1890, Class H, 7.500%, 09/15/26 | 188 | |||||||||
471 | Series 1899, Class ZE, 8.000%, 09/15/26 | 559 | |||||||||
1,055 | Series 1927, Class PH, 7.500%, 01/15/27 | 1,176 | |||||||||
1,171 | Series 1927, Class ZA, 6.500%, 01/15/27 | 1,199 | |||||||||
28 | Series 1935, Class FL, VAR, 1.012%, 02/15/27 | 29 | |||||||||
382 | Series 1963, Class Z, 7.500%, 01/15/27 | 447 | |||||||||
54 | Series 1970, Class PG, 7.250%, 07/15/27 | 59 | |||||||||
1,063 | Series 1981, Class Z, 6.000%, 05/15/27 | 1,161 | |||||||||
677 | Series 1983, Class Z, 6.500%, 12/15/23 | 762 | |||||||||
428 | Series 1987, Class PE, 7.500%, 09/15/27 | 502 | |||||||||
625 | Series 2019, Class Z, 6.500%, 12/15/27 | 704 | |||||||||
312 | Series 2025, Class PE, 6.300%, 01/15/13 | 312 | |||||||||
2,389 | Series 2033, Class J, 5.600%, 06/15/23 | 2,573 | |||||||||
282 | Series 2033, Class SN, HB, IF, 23.361%, 03/15/24 | 158 | |||||||||
758 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 164 | |||||||||
1,953 | Series 2040, Class PE, 7.500%, 03/15/28 | 2,288 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
802 | Series 2054, Class PV, 7.500%, 05/15/28 | 846 | |||||||||
250 | Series 2055, Class OE, 6.500%, 05/15/13 | 254 | |||||||||
300 | Series 2056, Class TD, 6.500%, 05/15/18 | 323 | |||||||||
1,271 | Series 2063, Class PG, 6.500%, 06/15/28 | 1,330 | |||||||||
200 | Series 2064, Class TE, 7.000%, 06/15/28 | 232 | |||||||||
807 | Series 2070, Class C, 6.000%, 07/15/28 | 881 | |||||||||
2,619 | Series 2075, Class PH, 6.500%, 08/15/28 | 2,951 | |||||||||
2,802 | Series 2075, Class PM, 6.250%, 08/15/28 | 3,006 | |||||||||
722 | Series 2086, Class GB, 6.000%, 09/15/28 | 769 | |||||||||
888 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 184 | |||||||||
2,882 | Series 2095, Class PE, 6.000%, 11/15/28 | 3,134 | |||||||||
766 | Series 2102, Class TC, 6.000%, 12/15/13 | 810 | |||||||||
420 | Series 2102, Class TU, 6.000%, 12/15/13 | 445 | |||||||||
3,993 | Series 2106, Class ZD, 6.000%, 12/15/28 | 4,318 | |||||||||
7,720 | Series 2110, Class PG, 6.000%, 01/15/29 | 8,418 | |||||||||
1,744 | Series 2115, Class PE, 6.000%, 01/15/14 | 1,831 | |||||||||
1,585 | Series 2125, Class JZ, 6.000%, 02/15/29 | 1,702 | |||||||||
2,710 | Series 2126, Class CB, 6.250%, 02/15/29 | 2,974 | |||||||||
182 | Series 2132, Class SB, HB, IF, 29.200%, 03/15/29 | 287 | |||||||||
128 | Series 2134, Class PI, IO, 6.500%, 03/15/19 | 20 | |||||||||
50 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 4 | |||||||||
94 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 19 | |||||||||
300 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 70 | |||||||||
4,234 | Series 2169, Class TB, 7.000%, 06/15/29 | 4,904 | |||||||||
1,857 | Series 2172, Class QC, 7.000%, 07/15/29 | 2,114 | |||||||||
1,189 | Series 2176, Class OJ, 7.000%, 08/15/29 | 1,377 | |||||||||
6 | Series 2196, Class TL, 7.500%, 11/15/29 | 6 | |||||||||
933 | Series 2201, Class C, 8.000%, 11/15/29 | 1,108 | |||||||||
2,642 | Series 2208, Class PG, 7.000%, 01/15/30 | 3,061 | |||||||||
444 | Series 2209, Class TC, 8.000%, 01/15/30 | 528 | |||||||||
1,365 | Series 2210, Class Z, 8.000%, 01/15/30 | 1,621 | |||||||||
423 | Series 2224, Class CB, 8.000%, 03/15/30 | 503 | |||||||||
518 | Series 2230, Class Z, 8.000%, 04/15/30 | 615 | |||||||||
390 | Series 2234, Class PZ, 7.500%, 05/15/30 | 457 | |||||||||
337 | Series 2247, Class Z, 7.500%, 08/15/30 | 379 | |||||||||
866 | Series 2256, Class MC, 7.250%, 09/15/30 | 1,003 | |||||||||
1,564 | Series 2259, Class ZM, 7.000%, 10/15/30 | 1,811 | |||||||||
36 | Series 2261, Class ZY, 7.500%, 10/15/30 | 42 | |||||||||
115 | Series 2262, Class Z, 7.500%, 10/15/30 | 123 | |||||||||
1,438 | Series 2271, Class PC, 7.250%, 12/15/30 | 1,665 | |||||||||
2,982 | Series 2283, Class K, 6.500%, 12/15/23 | 3,238 | |||||||||
823 | Series 2296, Class PD, 7.000%, 03/15/31 | 953 | |||||||||
5,328 | Series 2301, Class PA, 6.000%, 10/15/13 | 5,575 | |||||||||
311 | Series 2306, Class K, PO, 05/15/24 | 277 | |||||||||
745 | Series 2306, Class SE, IF, IO, 7.630%, 05/15/24 | 143 | |||||||||
571 | Series 2313, Class LA, 6.500%, 05/15/31 | 620 | |||||||||
1,235 | Series 2325, Class PM, 7.000%, 06/15/31 | 1,378 | |||||||||
2,179 | Series 2332, Class ZH, 7.000%, 07/15/31 | 2,384 | |||||||||
283 | Series 2333, Class HC, 6.000%, 07/15/31 | 290 | |||||||||
2,707 | Series 2344, Class QG, 6.000%, 08/15/16 | 2,932 | |||||||||
12,213 | Series 2344, Class ZD, 6.500%, 08/15/31 | 13,435 | |||||||||
1,290 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 1,422 | |||||||||
1,049 | Series 2345, Class NE, 6.500%, 08/15/31 | 1,130 | |||||||||
1,308 | Series 2345, Class PQ, 6.500%, 08/15/16 | 1,406 | |||||||||
475 | Series 2347, Class VP, 6.500%, 03/15/20 | 499 | |||||||||
1,595 | Series 2351, Class PZ, 6.500%, 08/15/31 | 1,729 | |||||||||
3,481 | Series 2353, Class TD, 6.000%, 09/15/16 | 3,748 | |||||||||
1,151 | Series 2355, Class BP, 6.000%, 09/15/16 | 1,244 | |||||||||
348 | Series 2359, Class PM, 6.000%, 09/15/16 | 372 | |||||||||
2,493 | Series 2359, Class ZB, 8.500%, 06/15/31 | 2,869 | |||||||||
1,827 | Series 2360, Class PG, 6.000%, 09/15/16 | 1,924 | |||||||||
317 | Series 2363, Class PF, 6.000%, 09/15/16 | 344 | |||||||||
966 | Series 2366, Class MD, 6.000%, 10/15/16 | 1,040 | |||||||||
1,053 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,155 | |||||||||
1,303 | Series 2388, Class FB, VAR, 0.876%, 01/15/29 | 1,310 | |||||||||
2,906 | Series 2391, Class QR, 5.500%, 12/15/16 | 3,164 | |||||||||
1,115 | Series 2391, Class VQ, 6.000%, 10/15/12 | 1,129 | |||||||||
803 | Series 2394, Class MC, 6.000%, 12/15/16 | 869 | |||||||||
1,308 | Series 2399, Class OH, 6.500%, 01/15/32 | 1,440 | |||||||||
2,086 | Series 2399, Class TH, 6.500%, 01/15/32 | 2,296 | |||||||||
2,360 | Series 2410, Class NG, 6.500%, 02/15/32 | 2,608 | |||||||||
1,227 | Series 2410, Class OE, 6.375%, 02/15/32 | 1,333 | |||||||||
2,947 | Series 2410, Class QS, IF, 18.783%, 02/15/32 | 3,935 | |||||||||
772 | Series 2410, Class QX, IF, IO, 8.374%, 02/15/32 | 188 | |||||||||
3,072 | Series 2412, Class SP, IF, 15.548%, 02/15/32 | 3,705 | |||||||||
2,690 | Series 2420, Class XK, 6.500%, 02/15/32 | 2,960 | |||||||||
1,366 | Series 2423, Class MC, 7.000%, 03/15/32 | 1,522 | |||||||||
1,800 | Series 2423, Class MT, 7.000%, 03/15/32 | 2,007 | |||||||||
2,149 | Series 2423, Class TB, 6.500%, 03/15/32 | 2,365 | |||||||||
757 | Series 2425, Class OB, 6.000%, 03/15/17 | 808 | |||||||||
3,235 | Series 2430, Class WF, 6.500%, 03/15/32 | 3,636 | |||||||||
3,856 | Series 2434, Class TC, 7.000%, 04/15/32 | 4,333 | |||||||||
7,869 | Series 2434, Class ZA, 6.500%, 04/15/32 | 8,866 | |||||||||
1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 | 2,081 | |||||||||
4,395 | Series 2435, Class VH, 6.000%, 07/15/19 | 4,527 | |||||||||
1,581 | Series 2436, Class MC, 7.000%, 04/15/32 | 1,769 | |||||||||
841 | Series 2441, Class GF, 6.500%, 04/15/32 | 945 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,740 | Series 2444, Class ES, IF, IO, 7.674%, 03/15/32 | 328 | |||||||||
1,464 | Series 2450, Class GZ, 7.000%, 05/15/32 | 1,696 | |||||||||
1,135 | Series 2450, Class SW, IF, IO, 7.724%, 03/15/32 | 208 | |||||||||
3,090 | Series 2455, Class GK, 6.500%, 05/15/32 | 3,396 | |||||||||
581 | Series 2458, Class QE, 5.500%, 06/15/17 | 632 | |||||||||
2,379 | Series 2458, Class ZM, 6.500%, 06/15/32 | 2,639 | |||||||||
2,010 | Series 2460, Class VZ, 6.000%, 11/15/29 | 2,027 | |||||||||
2,671 | Series 2463, Class CE, 6.000%, 06/15/17 | 2,902 | |||||||||
2,066 | Series 2466, Class DH, 6.500%, 06/15/32 | 2,277 | |||||||||
3,595 | Series 2466, Class PG, 6.500%, 04/15/32 | 3,811 | |||||||||
1,400 | Series 2466, Class PH, 6.500%, 06/15/32 | 1,611 | |||||||||
2,532 | Series 2474, Class NR, 6.500%, 07/15/32 | 2,814 | |||||||||
6,985 | Series 2475, Class S, IF, IO, 7.724%, 02/15/32 | 1,235 | |||||||||
206 | Series 2480, Class PV, 6.000%, 07/15/11 | 210 | |||||||||
3,932 | Series 2484, Class LZ, 6.500%, 07/15/32 | 4,431 | |||||||||
383 | Series 2488, Class WS, IF, 16.113%, 08/15/17 | 470 | |||||||||
5,753 | Series 2500, Class MC, 6.000%, 09/15/32 | 6,377 | |||||||||
992 | Series 2508, Class AQ, 5.500%, 10/15/17 | 1,087 | |||||||||
4,073 | Series 2512, Class PG, 5.500%, 10/15/22 | 4,619 | |||||||||
922 | Series 2513, Class YO, PO, 02/15/32 | 906 | |||||||||
2,907 | Series 2515, Class DE, 4.000%, 03/15/32 | 3,010 | |||||||||
1,924 | Series 2515, Class MG, 4.000%, 09/15/17 | 2,011 | |||||||||
1,151 | Series 2518, Class PX, 5.500%, 09/15/13 | 1,220 | |||||||||
186 | Series 2519, Class BT, 8.500%, 09/15/31 | 190 | |||||||||
2,201 | Series 2535, Class BK, 5.500%, 12/15/22 | 2,446 | |||||||||
4,642 | Series 2537, Class TE, 5.500%, 12/15/17 | 5,078 | |||||||||
2,000 | Series 2543, Class LX, 5.000%, 12/15/17 | 2,182 | |||||||||
5,462 | Series 2543, Class YX, 6.000%, 12/15/32 | 6,140 | |||||||||
3,640 | Series 2544, Class HC, 6.000%, 12/15/32 | 4,048 | |||||||||
3,565 | Series 2549, Class ZG, 5.000%, 01/15/18 | 3,650 | |||||||||
3,763 | Series 2552, Class ME, 6.000%, 01/15/33 | 4,186 | |||||||||
786 | Series 2565, Class MB, 6.000%, 05/15/30 | 800 | |||||||||
1,904 | Series 2567, Class QD, 6.000%, 02/15/33 | 2,148 | |||||||||
2,313 | Series 2571, Class FY, VAR, 1.026%, 12/15/32 | 2,343 | |||||||||
421 | Series 2571, Class SK, HB, IF, 33.310%, 09/15/23 | 696 | |||||||||
1,364 | Series 2571, Class SY, IF, 17.938%, 12/15/32 | 1,833 | |||||||||
2,580 | Series 2574, Class HP, 5.000%, 02/15/18 | 2,825 | |||||||||
8,791 | Series 2575, Class ME, 6.000%, 02/15/33 | 9,930 | |||||||||
1,416 | Series 2586, Class HD, 5.500%, 03/15/23 | 1,646 | |||||||||
1,950 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 352 | |||||||||
1,557 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 37 | |||||||||
5,311 | Series 2594, Class VQ, 6.000%, 08/15/20 | 5,491 | |||||||||
1,420 | Series 2595, Class HC, 5.500%, 04/15/23 | 1,662 | |||||||||
2,051 | Series 2596, Class QG, 6.000%, 03/15/33 | 2,240 | |||||||||
2,447 | Series 2597, Class AD, 6.500%, 03/15/32 | 2,537 | |||||||||
1,477 | Series 2597, Class DS, IF, IO, 7.274%, 02/15/33 | 67 | |||||||||
3,584 | Series 2599, Class DS, IF, IO, 6.724%, 02/15/33 | 109 | |||||||||
6,189 | Series 2610, Class DS, IF, IO, 6.824%, 03/15/33 | 395 | |||||||||
5,244 | Series 2611, Class SH, IF, IO, 7.374%, 10/15/21 | 254 | |||||||||
1,680 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,774 | |||||||||
3,835 | Series 2617, Class GR, 4.500%, 05/15/18 | 4,164 | |||||||||
230 | Series 2619, Class HR, 3.500%, 11/15/31 | 236 | |||||||||
950 | Series 2619, Class IM, IO, 5.000%, 10/15/21 | 36 | |||||||||
146 | Series 2624, Class IU, IO, 5.000%, 06/15/33 | 1 | |||||||||
7,942 | Series 2626, Class NS, IF, IO, 6.274%, 06/15/23 | 699 | |||||||||
1,000 | Series 2628, Class WA, 4.000%, 07/15/28 | 1,020 | |||||||||
2,664 | Series 2629, Class BY, IO, 4.500%, 03/15/18 | 167 | |||||||||
4,528 | Series 2630, Class S, IF, IO, 6.874%, 01/15/17 | 218 | |||||||||
8,558 | Series 2631, Class LC, 4.500%, 06/15/18 | 9,298 | |||||||||
9,750 | Series 2631, Class SA, IF, 14.344%, 06/15/33 | 11,122 | |||||||||
17,943 | Series 2636, Class Z, 4.500%, 06/15/18 | 19,219 | |||||||||
2,012 | Series 2637, Class SA, IF, IO, 5.824%, 06/15/18 | 193 | |||||||||
920 | Series 2638, Class DS, IF, 8.324%, 07/15/23 | 992 | |||||||||
1,312 | Series 2638, Class SA, IF, IO, 6.824%, 11/15/16 | 49 | |||||||||
1,232 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 134 | |||||||||
8,557 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 616 | |||||||||
322 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 8 | |||||||||
798 | Series 2640, Class VE, 3.250%, 07/15/22 | 826 | |||||||||
1,263 | Series 2642, Class SL, IF, 6.644%, 07/15/33 | 1,274 | |||||||||
279 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | 6 | |||||||||
595 | Series 2646, Class SH, IF, 13.221%, 07/15/33 | 649 | |||||||||
3,933 | Series 2649, Class QE, 4.500%, 08/15/17 | 4,075 | |||||||||
956 | Series 2650, Class PO, PO, 12/15/32 | 922 | |||||||||
4,464 | Series 2650, Class SO, PO, 12/15/32 | 4,293 | |||||||||
18,674 | Series 2651, Class VZ, 4.500%, 07/15/18 | 19,998 | |||||||||
6,106 | Series 2655, Class EO, PO, 02/15/33 | 5,853 | |||||||||
999 | Series 2656, Class SH, HB, IF, 20.772%, 02/15/25 | 1,032 | |||||||||
3,306 | Series 2658, Class PE, 4.500%, 11/15/16 | 3,417 | |||||||||
357 | Series 2663, Class EO, PO, 08/15/33 | 345 | |||||||||
1,895 | Series 2667, Class SW, IF, 6.536%, 01/15/18 | 1,956 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,220 | Series 2668, Class S, IF, 11.448%, 09/15/33 | 3,308 | |||||||||
4,042 | Series 2668, Class SB, IF, 6.955%, 10/15/15 | 4,205 | |||||||||
2,960 | Series 2671, Class S, IF, 14.252%, 09/15/33 | 3,377 | |||||||||
3,598 | Series 2672, Class ME, 5.000%, 11/15/22 | 3,963 | |||||||||
706 | Series 2672, Class SJ, IF, 6.910%, 09/15/16 | 743 | |||||||||
11,345 | Series 2675, Class CK, 4.000%, 09/15/18 | 12,231 | |||||||||
1,431 | Series 2676, Class TS, IF, 15.673%, 01/15/32 | 1,544 | |||||||||
8,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 8,889 | |||||||||
4,580 | Series 2682, Class YS, IF, 8.533%, 10/15/33 | 4,758 | |||||||||
84 | Series 2683, Class VA, 5.500%, 02/15/21 | 85 | |||||||||
18,000 | Series 2684, Class PO, PO, 01/15/33 | 16,101 | |||||||||
277 | Series 2684, Class SN, HB, IF, 26.870%, 10/15/33 | 319 | |||||||||
5,019 | Series 2684, Class TO, PO, 10/15/33 | 4,643 | |||||||||
919 | Series 2686, Class GB, 5.000%, 05/15/20 | 945 | |||||||||
1,996 | Series 2686, Class NS, IF, IO, 7.324%, 10/15/21 | 114 | |||||||||
17,659 | Series 2690, Class SJ, IF, 8.736%, 10/15/33 | 18,678 | |||||||||
2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,610 | |||||||||
2,696 | Series 2691, Class SE, IF, 9.160%, 12/15/28 | 2,989 | |||||||||
2,080 | Series 2691, Class SM, IF, 8.736%, 10/15/33 | 2,170 | |||||||||
2,840 | Series 2691, Class WS, IF, 8.586%, 10/15/33 | 2,949 | |||||||||
2,681 | Series 2692, Class SC, IF, 12.735%, 07/15/33 | 2,920 | |||||||||
1,327 | Series 2694, Class SQ, IF, 8.533%, 10/15/33 | 1,366 | |||||||||
2,000 | Series 2695, Class DE, 4.000%, 01/15/17 | 2,077 | |||||||||
3,573 | Series 2695, Class OB, PO, 10/15/33 | 2,947 | |||||||||
696 | Series 2696, Class CO, PO, 10/15/18 | 666 | |||||||||
313 | Series 2696, Class SM, IF, 13.648%, 12/15/26 | 321 | |||||||||
1,027 | Series 2697, Class LE, 4.500%, 11/15/20 | 1,055 | |||||||||
4,434 | Series 2698, Class SV, IF, 8.586%, 11/15/33 | 4,556 | |||||||||
6,851 | Series 2700, Class S, IF, 8.586%, 11/15/33 | 7,148 | |||||||||
1,791 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,960 | |||||||||
2,238 | Series 2705, Class SC, IF, 8.586%, 11/15/33 | 2,323 | |||||||||
3,587 | �� | Series 2705, Class SD, IF, 8.645%, 11/15/33 | 3,730 | ||||||||
7,400 | Series 2707, Class QE, 4.500%, 11/15/18 | 8,237 | |||||||||
5,000 | Series 2709, Class PG, 5.000%, 11/15/23 | 5,617 | |||||||||
2,240 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,471 | |||||||||
4,480 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,919 | |||||||||
2,240 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,373 | |||||||||
17,303 | Series 2727, Class BS, IF, 8.661%, 01/15/34 | 18,004 | |||||||||
413 | Series 2727, Class PO, PO, 01/15/34 | 379 | |||||||||
10,505 | Series 2733, Class SB, IF, 7.762%, 10/15/33 | 11,813 | |||||||||
319 | Series 2739, Class S, IF, 11.448%, 01/15/34 | 321 | |||||||||
411 | Series 2743, Class HC, 4.500%, 12/15/15 | 414 | |||||||||
2,150 | Series 2743, Class HD, 4.500%, 08/15/17 | 2,264 | |||||||||
5,000 | Series 2743, Class HE, 4.500%, 02/15/19 | 5,545 | |||||||||
2,597 | Series 2744, Class FE, VAR, 0.000%, 02/15/34 | 2,438 | |||||||||
551 | Series 2744, Class PD, 5.500%, 08/15/33 | 569 | |||||||||
2,535 | Series 2744, Class PE, 5.500%, 02/15/34 | 2,876 | |||||||||
6,422 | Series 2744, Class TU, 5.500%, 05/15/32 | 6,787 | |||||||||
3,731 | Series 2748, Class KO, PO, 10/15/23 | 3,558 | |||||||||
686 | Series 2750, Class PO, PO, 06/15/30 | 669 | |||||||||
994 | Series 2752, Class PD, 5.000%, 03/15/26 | 1,002 | |||||||||
1,426 | Series 2753, Class S, IF, 11.448%, 02/15/34 | 1,454 | |||||||||
1,821 | Series 2754, Class JG, 4.500%, 03/15/33 | 1,827 | |||||||||
1,954 | Series 2755, Class PA, PO, 02/15/29 | 1,931 | |||||||||
2,663 | Series 2755, Class SA, IF, 13.648%, 05/15/30 | 2,954 | |||||||||
3,857 | Series 2758, Class AO, PO, 03/15/19 | 3,590 | |||||||||
1,141 | Series 2762, Class LO, PO, 03/15/34 | 1,075 | |||||||||
677 | Series 2764, Class UC, 5.000%, 05/15/27 | 692 | |||||||||
960 | Series 2766, Class SX, IF, 15.565%, 03/15/34 | 1,014 | |||||||||
452 | Series 2769, Class PO, PO, 03/15/34 | 450 | |||||||||
675 | Series 2771, Class FG, VAR, 03/15/34 | 636 | |||||||||
4,766 | Series 2776, Class SK, IF, 8.661%, 04/15/34 | 4,936 | |||||||||
178 | Series 2777, Class SX, IF, 11.759%, 04/15/34 | 179 | |||||||||
338 | Series 2778, Class BS, IF, 15.060%, 04/15/34 | 347 | |||||||||
3,939 | Series 2778, Class US, IF, IO, 6.924%, 06/15/33 | 209 | |||||||||
781 | Series 2780, Class JG, 4.500%, 04/15/19 | 819 | |||||||||
1,000 | Series 2780, Class SY, IF, 15.893%, 11/15/33 | 1,285 | |||||||||
5,672 | Series 2802, Class OH, 6.000%, 05/15/34 | 6,546 | |||||||||
1,554 | Series 2809, Class UB, 4.000%, 09/15/17 | 1,603 | |||||||||
2,000 | Series 2809, Class UC, 4.000%, 06/15/19 | 2,165 | |||||||||
1,334 | Series 2812, Class AB, 4.500%, 10/15/18 | 1,397 | |||||||||
191 | Series 2812, Class EL, 7.500%, 02/15/27 | 192 | |||||||||
6,582 | Series 2812, Class NO, PO, 10/15/33 | 5,397 | |||||||||
6,350 | Series 2827, Class QE, 5.500%, 03/15/33 | 6,854 | |||||||||
255 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 265 | |||||||||
3,204 | Series 2833, Class KO, PO, 08/15/34 | 3,083 | |||||||||
3,839 | Series 2835, Class BO, PO, 12/15/28 | 3,709 | |||||||||
704 | Series 2835, Class QO, PO, 12/15/32 | 649 | |||||||||
185 | Series 2836, Class SG, IF, 11.790%, 05/15/34 | 191 | |||||||||
859 | Series 2840, Class JO, PO, 06/15/23 | 826 | |||||||||
27 | Series 2841, Class YA, 5.500%, 07/15/27 | 27 | |||||||||
1,201 | Series 2863, Class JA, 4.500%, 09/15/19 | 1,239 | |||||||||
2,000 | Series 2864, Class GB, 4.000%, 09/15/19 | 2,152 | |||||||||
4,800 | Series 2865, Class GO, PO, 10/15/33 | 4,343 | |||||||||
835 | Series 2872, Class JD, 4.500%, 01/15/16 | 839 | |||||||||
717 | Series 2890, Class DO, PO, 11/15/34 | 676 | |||||||||
4,337 | Series 2897, Class EO, PO, 10/15/31 | 4,090 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,383 | Series 2903, Class UZ, 5.500%, 07/15/31 | 3,499 | |||||||||
2,665 | Series 2903, Class Z, 5.000%, 12/15/24 | 2,936 | |||||||||
7,872 | Series 2921, Class MD, 5.000%, 06/15/33 | 8,048 | |||||||||
1,843 | Series 2925, Class MW, VAR, 0.000%, 01/15/35 | 1,837 | |||||||||
2,236 | Series 2929, Class MS, HB, IF, 26.946%, 02/15/35 | 3,437 | |||||||||
18,240 | Series 2934, Class EC, PO, 02/15/20 | 16,862 | |||||||||
1,385 | Series 2934, Class EN, PO, 02/15/18 | 1,359 | |||||||||
5,433 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 650 | |||||||||
3,778 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 442 | |||||||||
2,075 | Series 2945, Class SA, IF, 11.797%, 03/15/20 | 2,423 | |||||||||
2,319 | Series 2965, Class GD, 4.500%, 04/15/20 | 2,580 | |||||||||
1,834 | Series 2967, Class S, HB, IF, 32.307%, 04/15/25 | 2,913 | |||||||||
10,244 | Series 2968, Class EH, 6.000%, 04/15/35 | 11,862 | |||||||||
100 | Series 2975, Class KO, PO, 05/15/35 | 100 | |||||||||
4,963 | Series 2981, Class FA, VAR, 0.676%, 05/15/35 | 4,934 | |||||||||
4,099 | Series 2988, Class AF, VAR, 0.576%, 06/15/35 | 4,075 | |||||||||
1,885 | Series 2988, Class GS, IF, 15.935%, 06/15/35 | 2,224 | |||||||||
200 | Series 2988, Class SD, IF, 15.810%, 03/15/35 | 230 | |||||||||
1,180 | Series 2989, Class PO, PO, 06/15/23 | 1,136 | |||||||||
1,772 | Series 2990, Class GO, PO, 02/15/35 | 1,495 | |||||||||
5,690 | Series 2990, Class LK, VAR, 0.646%, 10/15/34 | 5,682 | |||||||||
4,659 | Series 2990, Class SL, HB, IF, 23.482%, 06/15/34 | 7,188 | |||||||||
2,443 | Series 2990, Class WP, IF, 16.316%, 06/15/35 | 2,989 | |||||||||
5,355 | Series 2991, Class EG, 5.500%, 11/15/34 | 5,551 | |||||||||
5,000 | Series 2992, Class LB, 5.000%, 06/15/20 | 5,664 | |||||||||
12,240 | Series 2995, Class FK, VAR, 0.526%, 05/15/34 | 12,196 | |||||||||
1,739 | Series 2996, Class SL, IF, 15.085%, 06/15/35 | 1,879 | |||||||||
6,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 6,380 | |||||||||
4,500 | Series 2999, Class ND, 4.500%, 07/15/20 | 4,985 | |||||||||
739 | Series 3007, Class AI, IO, 5.500%, 07/15/24 | 73 | |||||||||
429 | Series 3014, Class OD, PO, 08/15/35 | 379 | |||||||||
435 | Series 3022, Class GF, VAR, 0.576%, 08/15/35 | 435 | |||||||||
209 | Series 3022, Class OH, PO, 08/15/35 | 207 | |||||||||
928 | Series 3022, Class SX, IF, 16.185%, 08/15/25 | 1,187 | |||||||||
2,148 | Series 3029, Class SO, PO, 09/15/35 | 1,932 | |||||||||
350 | Series 3034, Class FB, VAR, 09/15/35 | 343 | |||||||||
5,373 | Series 3042, Class PF, VAR, 0.526%, 08/15/35 | 5,350 | |||||||||
520 | Series 3044, Class GU, VAR, 10/15/35 | 489 | |||||||||
420 | Series 3044, Class VO, PO, 10/15/35 | 386 | |||||||||
3,012 | Series 3047, Class OB, 5.500%, 12/15/33 | 3,264 | |||||||||
24,828 | Series 3049, Class XF, VAR, 0.626%, 05/15/33 | 24,746 | |||||||||
2,204 | Series 3051, Class DP, HB, IF, 26.814%, 10/15/25 | 3,104 | |||||||||
415 | Series 3058, Class YO, PO, 10/15/35 | 380 | |||||||||
2,268 | Series 3064, Class OB, 5.500%, 07/15/29 | 2,356 | |||||||||
1,844 | Series 3064, Class SG, IF, 19.080%, 11/15/35 | 2,414 | |||||||||
6,963 | Series 3065, Class DF, VAR, 0.656%, 04/15/35 | 6,951 | |||||||||
868 | Series 3066, Class FH, VAR, 1.312%, 01/15/34 | 867 | |||||||||
1,180 | Series 3068, Class AO, PO, 01/15/35 | 1,141 | |||||||||
2,457 | Series 3100, Class MA, VAR, 3.170%, 12/15/35 | 2,405 | |||||||||
2,631 | Series 3101, Class UZ, 6.000%, 01/15/36 | 2,907 | |||||||||
8,817 | Series 3102, Class FB, VAR, 0.576%, 01/15/36 | 8,778 | |||||||||
956 | Series 3102, Class HS, HB, IF, 23.555%, 01/15/36 | 1,429 | |||||||||
10,285 | Series 3117, Class AO, PO, 02/15/36 | 9,580 | |||||||||
2,099 | Series 3117, Class EO, PO, 02/15/36 | 1,939 | |||||||||
2,179 | Series 3117, Class OK, PO, 02/15/36 | 2,024 | |||||||||
6,285 | Series 3122, Class OH, PO, 03/15/36 | 5,717 | |||||||||
5,882 | Series 3122, Class OP, PO, 03/15/36 | 5,488 | |||||||||
120 | Series 3122, Class ZB, 6.000%, 03/15/36 | 121 | |||||||||
828 | Series 3134, Class PO, PO, 03/15/36 | 766 | |||||||||
5,812 | Series 3137, Class XP, 6.000%, 04/15/36 | 6,431 | |||||||||
4,922 | Series 3138, Class PO, PO, 04/15/36 | 4,572 | |||||||||
11,751 | Series 3147, Class PO, PO, 04/15/36 | 10,913 | |||||||||
843 | Series 3149, Class SO, PO, 05/15/36 | 748 | |||||||||
80 | Series 3158, Class LX, VAR, 0.000%, 05/15/36 | 80 | |||||||||
3,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 3,130 | |||||||||
8,241 | Series 3171, Class MO, PO, 06/15/36 | 7,511 | |||||||||
426 | Series 3174, Class CA, 5.500%, 02/15/26 | 430 | |||||||||
1,367 | Series 3174, Class PX, 5.000%, 06/15/17 | 1,503 | |||||||||
3,943 | Series 3179, Class OA, PO, 07/15/36 | 3,636 | |||||||||
3,583 | Series 3181, Class AZ, 6.500%, 07/15/36 | 4,000 | |||||||||
9,361 | Series 3184, Class OA, PO, 02/15/33 | 8,909 | |||||||||
1,494 | Series 3186, Class MT, IF, 4.676%, 07/15/36 | 1,502 | |||||||||
4,636 | Series 3194, Class SA, IF, IO, 6.824%, 07/15/36 | 384 | |||||||||
7,030 | Series 3195, Class PD, 6.500%, 07/15/36 | 8,073 | |||||||||
13,250 | Series 3200, Class AY, 5.500%, 08/15/36 | 14,769 | |||||||||
35,354 | Series 3202, Class HI, IF, IO, 6.374%, 08/15/36 | 5,462 | |||||||||
1,670 | Series 3213, Class OA, PO, 09/15/36 | 1,517 | |||||||||
1,418 | Series 3218, Class AO, PO, 09/15/36 | 1,329 | |||||||||
14,391 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 1,929 | |||||||||
3,704 | Series 3225, Class EO, PO, 10/15/36 | 3,273 | |||||||||
5,743 | Series 3232, Class ST, IF, IO, 6.424%, 10/15/36 | 772 | |||||||||
1,511 | Series 3233, Class OP, PO, 05/15/36 | 1,386 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,028 | Series 3234, Class MA, 4.500%, 03/15/28 | 1,040 | |||||||||
302 | Series 3245, Class MO, PO, 11/15/36 | 298 | |||||||||
917 | Series 3253, Class A, 5.000%, 08/15/20 | 978 | |||||||||
27,951 | Series 3253, Class PO, PO, 12/15/21 | 26,598 | |||||||||
605 | Series 3256, Class KF, VAR, 12/15/36 | 600 | |||||||||
1,622 | Series 3256, Class PO, PO, 12/15/36 | 1,427 | |||||||||
3,347 | Series 3260, Class CS, IF, IO, 5.864%, 01/15/37 | 361 | |||||||||
1,515 | Series 3261, Class OA, PO, 01/15/37 | 1,405 | |||||||||
1,038 | Series 3263, Class TP, VAR, 08/15/35 | 1,035 | |||||||||
929 | Series 3263, Class WE, VAR, 08/15/35 | 922 | |||||||||
9,000 | Series 3266, Class D, 5.000%, 01/15/22 | 10,068 | |||||||||
148 | Series 3269, Class WF, VAR, 0.000%, 01/15/37 | 145 | |||||||||
8,200 | Series 3274, Class B, 6.000%, 02/15/37 | 8,956 | |||||||||
2,470 | Series 3274, Class JO, PO, 02/15/37 | 2,282 | |||||||||
6,942 | Series 3275, Class FL, VAR, 0.716%, 02/15/37 | 6,924 | |||||||||
3,813 | Series 3286, Class PO, PO, 03/15/37 | 3,522 | |||||||||
6,084 | Series 3290, Class SB, IF, IO, 6.174%, 03/15/37 | 763 | |||||||||
5,000 | Series 3299, Class KB, 5.000%, 08/15/29 | 5,075 | |||||||||
3,000 | Series 3302, Class UT, 6.000%, 04/15/37 | 3,371 | |||||||||
5,376 | Series 3305, Class MG, IF, 2.496%, 07/15/34 | 5,357 | |||||||||
432 | Series 3318, Class AO, PO, 05/15/37 | 405 | |||||||||
3,500 | Series 3329, Class WK, 6.000%, 12/15/31 | 3,675 | |||||||||
3,011 | Series 3331, Class PO, PO, 06/15/37 | 2,820 | |||||||||
4,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 4,186 | |||||||||
4,986 | Series 3344, Class SL, IF, IO, 6.324%, 07/15/37 | 678 | |||||||||
6,822 | Series 3347, Class PO, PO, 07/15/37 | 6,748 | |||||||||
2,073 | Series 3356, Class PA, 6.000%, 11/15/26 | 2,092 | |||||||||
3,524 | Series 3369, Class VA, 6.000%, 07/15/18 | 3,791 | |||||||||
1,760 | Series 3371, Class FA, VAR, 0.876%, 09/15/37 | 1,765 | |||||||||
2,797 | Series 3373, Class TO, PO, 04/15/37 | 2,599 | |||||||||
20,951 | Series 3383, Class SA, IF, IO, 6.174%, 11/15/37 | 2,643 | |||||||||
27,063 | Series 3387, Class SA, IF, IO, 6.144%, 11/15/37 | 2,819 | |||||||||
3,798 | Series 3389, Class DQ, 5.750%, 10/15/35 | 4,049 | |||||||||
6,794 | Series 3398, Class PO, PO, 01/15/36 | 6,457 | |||||||||
27,783 | Series 3404, Class SC, IF, IO, 5.724%, 01/15/38 | 3,024 | |||||||||
1,618 | Series 3422, Class SE, IF, 16.760%, 02/15/38 | 1,937 | |||||||||
13,605 | Series 3424, Class PI, IF, IO, 6.524%, 04/15/38 | 1,597 | |||||||||
17,090 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 259 | |||||||||
29,907 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 277 | |||||||||
652 | Series 3443, Class SY, IF, 9.000%, 03/15/37 | 696 | |||||||||
14,500 | Series 3453, Class B, 5.500%, 05/15/38 | 15,619 | |||||||||
9,446 | Series 3455, Class SE, IF, IO, 5.924%, 06/15/38 | 895 | |||||||||
2,334 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,572 | |||||||||
16,303 | Series 3481, Class SJ, IF, IO, 5.574%, 08/15/38 | 1,496 | |||||||||
7,500 | Series 3493, Class LA, 4.000%, 10/15/23 | 8,115 | |||||||||
6,500 | Series 3501, Class CB, 5.500%, 01/15/39 | 7,002 | |||||||||
17,052 | Series 3505, Class SA, IF, IO, 5.724%, 01/15/39 | 1,389 | |||||||||
16,511 | Series 3511, Class SA, IF, IO, 5.724%, 02/15/39 | 1,462 | |||||||||
2,593 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 272 | |||||||||
4,173 | Series 3523, Class SD, IF, 18.904%, 06/15/36 | 5,462 | |||||||||
1,783 | Series 3531, Class MZ, 4.500%, 05/15/39 | 1,786 | |||||||||
6,091 | Series 3546, Class A, VAR, 5.994%, 02/15/39 | 6,476 | |||||||||
7,976 | Series 3564, Class JA, 4.000%, 01/15/18 | 8,504 | |||||||||
10,538 | Series 3607, Class BO, PO, 04/15/36 | 9,312 | |||||||||
8,124 | Series 3607, Class EO, PO, 02/15/33 | 7,778 | |||||||||
6,064 | Series 3607, Class TO, PO, 10/15/39 | 5,474 | |||||||||
16,132 | Series 3611, Class PO, PO, 07/15/34 | 15,087 | |||||||||
4,600 | Series 3632, Class BS, IF, 16.580%, 02/15/40 | 6,632 | |||||||||
2,660 | Series 3645, Class KZ, 5.500%, 08/15/36 | 2,949 | |||||||||
6,800 | Series 3654, Class DC, 5.000%, 04/15/30 | 7,561 | |||||||||
4,039 | Series 3654, Class VB, 5.500%, 10/15/27 | 4,567 | |||||||||
26,414 | Series 3680, Class MA, 4.500%, 07/15/39 | 28,422 | |||||||||
19,953 | Series 3687, Class MA, 4.500%, 02/15/37 | 21,431 | |||||||||
12,017 | Series 3688, Class CU, VAR, 6.831%, 11/15/21 | 13,243 | |||||||||
35,388 | Series 3688, Class GT, VAR, 7.150%, 11/15/46 | 39,734 | |||||||||
98,511 | Series 3704, Class CT, 7.000%, 12/15/36 | 109,994 | |||||||||
44,342 | Series 3704, Class DT, 7.500%, 11/15/36 | 50,439 | |||||||||
41,360 | Series 3704, Class ET, 7.500%, 12/15/36 | 47,047 | |||||||||
15,476 | Series R007, Class ZA, 6.000%, 05/15/36 | 16,902 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS, | |||||||||||
8 | Series 134, Class B, IO, 9.000%, 04/01/22 | 2 | |||||||||
16,054 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 2,179 | |||||||||
13,042 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 1,736 | |||||||||
25,264 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 3,404 | |||||||||
88,727 | Series 239, Class S30, IF, IO, 7.424%, 08/15/36 | 11,359 | |||||||||
7,921 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 771 | |||||||||
4,932 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 482 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
1,352 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 | 1,584 | |||||||||
5,927 | Series T-42, Class A5, 7.500%, 02/25/42 | 6,945 | |||||||||
4,109 | Series T-48, Class 1A, VAR, 6.759%, 07/25/33 | 4,760 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
892 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 1,045 | |||||||||
5,576 | Series T-54, Class 2A, 6.500%, 02/25/43 | 6,283 | |||||||||
1,910 | Series T-54, Class 3A, 7.000%, 02/25/43 | 2,212 | |||||||||
1,596 | Series T-57, Class 1A3, 7.500%, 07/25/43 | 1,870 | |||||||||
598 | Series T-57, Class 1AP, PO, 07/25/43 | 521 | |||||||||
7,748 | Series T-58, Class 4A, 7.500%, 09/25/43 | 9,079 | |||||||||
718 | Series T-58, Class APO, PO, 09/25/43 | 573 | |||||||||
7,404 | Series T-59, Class 1A2, 7.000%, 10/25/43 | 8,372 | |||||||||
831 | Series T-59, Class 1AP, PO, 10/25/43 | 697 | |||||||||
38,179 | Series T-76, Class 2A, VAR, 4.794%, 10/25/37 | 39,368 | |||||||||
Federal National Mortgage Association Grantor Trust, | |||||||||||
2,803 | Series 1999-T2, Class A1, VAR, 7.500%, 01/19/39 | 3,295 | |||||||||
3,069 | Series 2001-T3, Class A1, 7.500%, 11/25/40 | 3,608 | |||||||||
3,708 | Series 2001-T10, Class A2, 7.500%, 12/25/41 | 4,359 | |||||||||
3,516 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 4,076 | |||||||||
1,616 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 1,820 | |||||||||
8,135 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 9,563 | |||||||||
11,839 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 | 13,332 | |||||||||
4,368 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 | 5,064 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
24 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 27 | |||||||||
98 | Series 1989-70, Class G, 8.000%, 10/25/19 | 116 | |||||||||
45 | Series 1989-78, Class H, 9.400%, 11/25/19 | 53 | |||||||||
42 | Series 1989-83, Class H, 8.500%, 11/25/19 | 50 | |||||||||
48 | Series 1989-89, Class H, 9.000%, 11/25/19 | 57 | |||||||||
29 | Series 1990-1, Class D, 8.800%, 01/25/20 | 33 | |||||||||
12 | Series 1990-7, Class B, 8.500%, 01/25/20 | 14 | |||||||||
15 | Series 1990-60, Class K, 5.500%, 06/25/20 | 16 | |||||||||
21 | Series 1990-63, Class H, 9.500%, 06/25/20 | 24 | |||||||||
16 | Series 1990-93, Class G, 5.500%, 08/25/20 | 17 | |||||||||
— | (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 | 3 | ||||||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 8 | ||||||||
110 | Series 1990-102, Class J, 6.500%, 08/25/20 | 123 | |||||||||
95 | Series 1990-120, Class H, 9.000%, 10/25/20 | 111 | |||||||||
11 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 17 | |||||||||
1 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 9 | |||||||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 2 | ||||||||
27 | Series 1991-24, Class Z, 5.000%, 03/25/21 | 30 | |||||||||
32 | Series 1991-42, Class S, IF, 17.183%, 05/25/21 | 42 | |||||||||
5 | Series 1992-101, Class J, 7.500%, 06/25/22 | 6 | |||||||||
805 | Series 1992-117, Class MA, 8.000%, 07/25/22 | 958 | |||||||||
135 | Series 1992-136, Class PK, 6.000%, 08/25/22 | 147 | |||||||||
146 | Series 1992-143, Class MA, 5.500%, 09/25/22 | 164 | |||||||||
940 | Series 1992-150, Class M, 8.000%, 09/25/22 | 1,118 | |||||||||
299 | Series 1992-163, Class M, 7.750%, 09/25/22 | 346 | |||||||||
448 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 526 | |||||||||
218 | Series 1993-21, Class KA, 7.700%, 03/25/23 | 252 | |||||||||
554 | Series 1993-25, Class J, 7.500%, 03/25/23 | 614 | |||||||||
85 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 | 137 | |||||||||
1,387 | Series 1993-37, Class PX, 7.000%, 03/25/23 | 1,525 | |||||||||
480 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 527 | |||||||||
5,093 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 5,905 | |||||||||
231 | Series 1993-62, Class SA, IF, 16.340%, 04/25/23 | 321 | |||||||||
2,958 | Series 1993-99, Class Z, 7.000%, 07/25/23 | 3,429 | |||||||||
131 | Series 1993-122, Class M, 6.500%, 07/25/23 | 143 | |||||||||
2,636 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 | 3,056 | |||||||||
4,080 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 4,730 | |||||||||
118 | Series 1993-165, Class SD, IF, 11.043%, 09/25/23 | 144 | |||||||||
147 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 | 189 | |||||||||
160 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 164 | |||||||||
211 | Series 1993-178, Class PK, 6.500%, 09/25/23 | 237 | |||||||||
100 | Series 1993-179, Class SB, HB, IF, 21.888%, 10/25/23 | 154 | |||||||||
66 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 | 79 | |||||||||
3,988 | Series 1993-183, Class KA, 6.500%, 10/25/23 | 4,451 | |||||||||
1,641 | Series 1993-189, Class PL, 6.500%, 10/25/23 | 1,830 | |||||||||
319 | Series 1993-199, Class FA, VAR, 0.831%, 10/25/23 | 320 | |||||||||
188 | Series 1993-205, Class H, PO, 09/25/23 | 172 | |||||||||
259 | Series 1993-220, Class SG, IF, 15.438%, 11/25/13 | 297 | |||||||||
160 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 201 | |||||||||
277 | Series 1993-225, Class UB, 6.500%, 12/25/23 | 299 | |||||||||
73 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 74 | |||||||||
281 | Series 1993-247, Class FE, VAR, 1.281%, 12/25/23 | 287 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
344 | Series 1993-247, Class SA, HB, IF, 23.051%, 12/25/23 | 547 | |||||||||
130 | Series 1993-247, Class SU, IF, 11.153%, 12/25/23 | 159 | |||||||||
1,116 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 1,194 | |||||||||
2,052 | Series 1993-257, Class C, PO, 06/25/23 | 1,986 | |||||||||
21 | Series 1994-9, Class E, PO, 11/25/23 | 19 | |||||||||
1,117 | Series 1994-37, Class L, 6.500%, 03/25/24 | 1,258 | |||||||||
5,452 | Series 1994-40, Class Z, 6.500%, 03/25/24 | 6,106 | |||||||||
3,835 | Series 1994-63, Class PK, 7.000%, 04/25/24 | 4,329 | |||||||||
164 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 197 | |||||||||
373 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 420 | |||||||||
2,062 | Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23 | 377 | |||||||||
87 | Series 1996-27, Class FC, VAR, 0.781%, 03/25/17 | 87 | |||||||||
1,650 | Series 1996-48, Class Z, 7.000%, 11/25/26 | 1,913 | |||||||||
201 | Series 1996-59, Class J, 6.500%, 08/25/22 | 226 | |||||||||
360 | Series 1996-59, Class K, 6.500%, 07/25/23 | 372 | |||||||||
445 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 | 21 | |||||||||
1,507 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 70 | |||||||||
289 | Series 1997-27, Class J, 7.500%, 04/18/27 | 320 | |||||||||
320 | Series 1997-29, Class J, 7.500%, 04/20/27 | 365 | |||||||||
1,142 | Series 1997-32, Class PG, 6.500%, 04/25/27 | 1,286 | |||||||||
1,301 | Series 1997-39, Class PD, 7.500%, 05/20/27 | 1,487 | |||||||||
321 | Series 1997-42, Class EN, 7.250%, 07/18/27 | 340 | |||||||||
118 | Series 1997-42, Class ZC, 6.500%, 07/18/27 | 133 | |||||||||
— | (h) | Series 1997-51, Class PM, IO, 7.000%, 05/18/12 | — | (h) | |||||||
1,760 | Series 1997-61, Class ZC, 7.000%, 02/25/23 | 2,040 | |||||||||
504 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 115 | |||||||||
74 | Series 1998-4, Class C, PO, 04/25/23 | 67 | |||||||||
1,425 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 1,578 | |||||||||
392 | Series 1998-43, Class SA, IF, IO, 16.747%, 04/25/23 | 155 | |||||||||
643 | Series 1998-66, Class SB, IF, IO, 7.886%, 12/25/28 | 116 | |||||||||
349 | Series 1999-17, Class C, 6.350%, 04/25/29 | 390 | |||||||||
2,326 | Series 1999-18, Class Z, 5.500%, 04/18/29 | 2,568 | |||||||||
684 | Series 1999-38, Class SK, IF, IO, 7.786%, 08/25/23 | 136 | |||||||||
185 | Series 1999-52, Class NS, HB, IF, 22.642%, 10/25/23 | 267 | |||||||||
466 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 520 | |||||||||
2,574 | Series 2000-2, Class ZE, 7.500%, 02/25/30 | 2,865 | |||||||||
744 | Series 2000-20, Class SA, IF, IO, 8.836%, 07/25/30 | 168 | |||||||||
113 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 31 | |||||||||
1,047 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 1,159 | |||||||||
732 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 771 | |||||||||
427 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 488 | |||||||||
1,697 | Series 2001-7, Class PR, 6.000%, 03/25/16 | 1,799 | |||||||||
1,795 | Series 2001-10, Class PR, 6.000%, 04/25/16 | 1,899 | |||||||||
1,163 | Series 2001-30, Class PM, 7.000%, 07/25/31 | 1,329 | |||||||||
424 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 429 | |||||||||
3,100 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 536 | |||||||||
2,067 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 2,357 | |||||||||
2,401 | Series 2001-44, Class MY, 7.000%, 09/25/31 | 2,741 | |||||||||
719 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 820 | |||||||||
500 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 569 | |||||||||
6,256 | Series 2001-48, Class Z, 6.500%, 09/25/21 | 7,119 | |||||||||
705 | Series 2001-49, Class Z, 6.500%, 09/25/31 | 791 | |||||||||
338 | Series 2001-52, Class KB, 6.500%, 10/25/31 | 380 | |||||||||
38 | Series 2001-52, Class XM, 6.500%, 11/25/10 | 38 | |||||||||
1,253 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 1,358 | |||||||||
5,000 | Series 2001-60, Class PX, 6.000%, 11/25/31 | 5,602 | |||||||||
1,487 | Series 2001-60, Class QS, HB, IF, 23.577%, 09/25/31 | 2,398 | |||||||||
3,837 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 4,374 | |||||||||
1,264 | Series 2001-71, Class MB, 6.000%, 12/25/16 | 1,375 | |||||||||
2,174 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 2,363 | |||||||||
291 | Series 2001-72, Class SX, IF, 16.852%, 12/25/31 | 381 | |||||||||
6,836 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 7,437 | |||||||||
1,149 | Series 2001-80, Class PE, 6.000%, 07/25/29 | 1,182 | |||||||||
225 | Series 2001-81, Class LO, PO, 01/25/32 | 204 | |||||||||
1,795 | Series 2002-1, Class G, 7.000%, 07/25/23 | 2,028 | |||||||||
984 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 1,064 | |||||||||
641 | Series 2002-1, Class SA, HB, IF, 24.330%, 02/25/32 | 983 | |||||||||
281 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 457 | |||||||||
1,810 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 1,961 | |||||||||
4,903 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 5,326 | |||||||||
2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 | 3,341 | |||||||||
861 | Series 2002-7, Class OG, 6.000%, 03/25/17 | 935 | |||||||||
2,899 | Series 2002-7, Class TG, 6.000%, 03/25/17 | 3,148 | |||||||||
1,019 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 1,108 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,479 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 167 | |||||||||
60 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 67 | |||||||||
4,613 | Series 2002-16, Class PG, 6.000%, 04/25/17 | 5,025 | |||||||||
7,432 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 7,895 | |||||||||
861 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 935 | |||||||||
175 | Series 2002-21, Class LO, PO, 04/25/32 | 163 | |||||||||
2,280 | Series 2002-21, Class PE, 6.500%, 04/25/32 | 2,532 | |||||||||
3,135 | Series 2002-24, Class AJ, 6.000%, 04/25/17 | 3,459 | |||||||||
4,143 | Series 2002-28, Class PK, 6.500%, 05/25/32 | 4,653 | |||||||||
1,651 | Series 2002-31, Class S, IF, 18.687%, 05/25/17 | 2,101 | |||||||||
2,024 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 2,275 | |||||||||
9,966 | Series 2002-38, Class QE, 6.000%, 06/25/17 | 10,825 | |||||||||
1,120 | Series 2002-42, Class C, 6.000%, 07/25/17 | 1,242 | |||||||||
5,072 | Series 2002-48, Class GH, 6.500%, 11/25/32 | 5,616 | |||||||||
5,000 | Series 2002-54, Class PG, 6.000%, 09/25/22 | 5,733 | |||||||||
713 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 774 | |||||||||
9,665 | Series 2002-56, Class UC, 5.500%, 09/25/17 | 10,575 | |||||||||
3,546 | Series 2002-57, Class AE, 5.500%, 09/25/17 | 3,875 | |||||||||
971 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 1,054 | |||||||||
968 | Series 2002-71, Class AP, 5.000%, 11/25/32 | 1,059 | |||||||||
8,650 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 9,393 | |||||||||
1,296 | Series 2002-77, Class S, IF, 14.000%, 12/25/32 | 1,538 | |||||||||
12,724 | Series 2002-81, Class JO, PO, 04/25/32 | 12,331 | |||||||||
2,270 | Series 2002-83, Class CS, 6.881%, 08/25/23 | 2,558 | |||||||||
1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 | 1,902 | |||||||||
1,470 | Series 2002-90, Class A1, 6.500%, 06/25/42 | 1,656 | |||||||||
347 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 20 | |||||||||
6,216 | Series 2002-94, Class BK, 5.500%, 01/25/18 | 6,912 | |||||||||
1,674 | Series 2003-9, Class NZ, 6.500%, 02/25/33 | 1,870 | |||||||||
1,767 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 236 | |||||||||
4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 4,879 | |||||||||
952 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 984 | |||||||||
1,400 | Series 2003-32, Class KC, 5.000%, 05/25/18 | 1,542 | |||||||||
7,205 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 1,334 | |||||||||
2,614 | Series 2003-34, Class AX, 6.000%, 05/25/33 | 2,922 | |||||||||
2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 | 2,606 | |||||||||
640 | Series 2003-34, Class GB, 6.000%, 03/25/33 | 727 | |||||||||
1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 | 1,390 | |||||||||
1,115 | Series 2003-35, Class EA, PO, 05/25/33 | 1,004 | |||||||||
875 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 127 | |||||||||
1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 | 2,258 | |||||||||
2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 3,227 | |||||||||
1,092 | Series 2003-42, Class GB, 4.000%, 05/25/33 | 1,171 | |||||||||
4,625 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 157 | |||||||||
2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 3,075 | |||||||||
1,527 | Series 2003-52, Class SX, HB, IF, 22.159%, 10/25/31 | 2,218 | |||||||||
358 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 366 | |||||||||
3,493 | Series 2003-64, Class SX, IF, 12.971%, 07/25/33 | 3,947 | |||||||||
102 | Series 2003-65, Class ML, 4.000%, 07/25/33 | 102 | |||||||||
5,000 | Series 2003-67, Class TJ, 4.750%, 07/25/18 | 5,567 | |||||||||
386 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 403 | |||||||||
276 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 283 | |||||||||
4,132 | Series 2003-71, Class DS, IF, 7.051%, 08/25/33 | 4,171 | |||||||||
20,162 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 2,962 | |||||||||
5,442 | Series 2003-73, Class HF, VAR, 0.714%, 01/25/31 | 5,443 | |||||||||
697 | Series 2003-74, Class SH, IF, 9.695%, 08/25/33 | 727 | |||||||||
2,824 | Series 2003-76, Class SH, IF, 13.673%, 09/25/31 | 3,301 | |||||||||
10,295 | Series 2003-80, Class SY, IF, IO, 7.386%, 06/25/23 | 939 | |||||||||
7,000 | Series 2003-81, Class HC, 4.750%, 09/25/18 | 7,645 | |||||||||
1,580 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,737 | |||||||||
2,000 | Series 2003-82, Class VB, 5.500%, 08/25/33 | 2,206 | |||||||||
8,876 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 9,697 | |||||||||
7,244 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 7,302 | |||||||||
1,623 | Series 2003-91, Class SD, IF, 12.060%, 09/25/33 | 1,844 | |||||||||
4,253 | Series 2003-91, Class XT, 4.500%, 12/25/17 | 4,319 | |||||||||
1,220 | Series 2003-92, Class GA, 4.500%, 09/25/18 | 1,259 | |||||||||
320 | Series 2003-92, Class SH, IF, 9.175%, 09/25/18 | 339 | |||||||||
4,556 | Series 2003-106, Class US, IF, 8.679%, 11/25/23 | 4,811 | |||||||||
449 | Series 2003-106, Class WS, IF, 9.239%, 02/25/23 | 461 | |||||||||
7,719 | Series 2003-116, Class SB, IF, IO, 7.336%, 11/25/33 | 999 | |||||||||
8,161 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 8,534 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 2,472 | |||||||||
865 | Series 2003-124, Class SV, IF, 11.247%, 03/25/31 | 899 | |||||||||
1,522 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 1,595 | |||||||||
3,300 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 3,585 | |||||||||
1,528 | Series 2003-130, Class SX, IF, 11.124%, 01/25/34 | 1,702 | |||||||||
1,482 | Series 2003-131, Class SK, IF, 15.673%, 01/25/34 | 1,805 | |||||||||
846 | Series 2003-132, Class OA, PO, 08/25/33 | 805 | |||||||||
5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 | 6,387 | |||||||||
4,866 | Series 2004-4, Class QI, IF, IO, 6.836%, 06/25/33 | 750 | |||||||||
3,619 | Series 2004-4, Class QM, IF, 13.672%, 06/25/33 | 4,245 | |||||||||
3,383 | Series 2004-10, Class SC, HB, IF, 27.545%, 02/25/34 | 4,837 | |||||||||
3,757 | Series 2004-14, Class SD, IF, 8.679%, 03/25/34 | 3,905 | |||||||||
4,433 | Series 2004-17, Class H, 5.500%, 04/25/34 | 4,578 | |||||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,084 | |||||||||
2,624 | Series 2004-21, Class CO, PO, 04/25/34 | 2,327 | |||||||||
721 | Series 2004-22, Class A, 4.000%, 04/25/19 | 740 | |||||||||
3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 3,741 | |||||||||
5,410 | Series 2004-25, Class SA, IF, 18.800%, 04/25/34 | 7,332 | |||||||||
8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 8,773 | |||||||||
12,332 | Series 2004-36, Class FA, VAR, 0.664%, 05/25/34 | 12,339 | |||||||||
2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 | 2,464 | |||||||||
5,273 | Series 2004-36, Class SA, IF, 18.800%, 05/25/34 | 7,020 | |||||||||
1,891 | Series 2004-36, Class SN, IF, 13.672%, 07/25/33 | 2,224 | |||||||||
8,997 | Series 2004-46, Class EP, PO, 03/25/34 | 8,540 | |||||||||
5,843 | Series 2004-46, Class HS, IF, IO, 5.736%, 05/25/30 | 324 | |||||||||
1,283 | Series 2004-46, Class QB, HB, IF, 22.945%, 05/25/34 | 1,744 | |||||||||
1,117 | Series 2004-46, Class SK, IF, 15.775%, 05/25/34 | 1,337 | |||||||||
1,486 | Series 2004-51, Class SY, IF, 13.713%, 07/25/34 | 1,733 | |||||||||
1,400 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,517 | |||||||||
1,578 | Series 2004-59, Class BG, PO, 12/25/32 | 1,435 | |||||||||
2,877 | Series 2004-61, Class CO, PO, 10/25/31 | 2,789 | |||||||||
300 | Series 2004-61, Class SH, HB, IF, 22.933%, 11/25/32 | 439 | |||||||||
903 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 989 | |||||||||
5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 | 5,738 | |||||||||
12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 | 13,004 | |||||||||
1,364 | Series 2004-74, Class SW, IF, 14.961%, 11/25/31 | 1,953 | |||||||||
2,251 | Series 2004-76, Class CL, 4.000%, 10/25/19 | 2,424 | |||||||||
4,805 | Series 2004-79, Class S, IF, 19.075%, 08/25/32 | 6,186 | |||||||||
1,588 | Series 2004-79, Class SP, IF, 19.075%, 11/25/34 | 2,048 | |||||||||
2,000 | Series 2004-81, Class AC, 4.000%, 11/25/19 | 2,159 | |||||||||
9,600 | Series 2004-81, Class JG, 5.000%, 11/25/24 | 10,785 | |||||||||
1,428 | Series 2004-89, Class EA, IF, 12.740%, 01/25/34 | 1,608 | |||||||||
1,981 | Series 2004-92, Class BX, 5.500%, 09/25/34 | 2,211 | |||||||||
720 | Series 2004-92, Class JO, PO, 12/25/34 | 715 | |||||||||
2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 | 2,381 | |||||||||
1,982 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 2,076 | |||||||||
5,600 | Series 2005-16, Class LE, 5.500%, 07/25/33 | 6,147 | |||||||||
5,264 | Series 2005-25, Class PF, VAR, 0.614%, 04/25/35 | 5,248 | |||||||||
842 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 869 | |||||||||
1,305 | Series 2005-40, Class ZM, 5.000%, 05/25/35 | 1,415 | |||||||||
1,360 | Series 2005-42, Class PS, IF, 16.341%, 05/25/35 | 1,862 | |||||||||
2,539 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 2,602 | |||||||||
210 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 213 | |||||||||
559 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 613 | |||||||||
5,399 | Series 2005-56, Class S, IF, IO, 6.446%, 07/25/35 | 901 | |||||||||
2,525 | Series 2005-56, Class TP, IF, 17.359%, 08/25/33 | 3,094 | |||||||||
1,931 | Series 2005-57, Class CD, HB, IF, 24.136%, 01/25/35 | 2,876 | |||||||||
675 | Series 2005-57, Class DC, HB, IF, 20.918%, 12/25/34 | 881 | |||||||||
8,323 | Series 2005-57, Class EG, VAR, 0.564%, 03/25/35 | 8,307 | |||||||||
1,000 | Series 2005-59, Class SU, HB, IF, 24.181%, 06/25/35 | 1,519 | |||||||||
1,430 | Series 2005-66, Class SG, IF, 16.716%, 07/25/35 | 1,833 | |||||||||
8,500 | Series 2005-67, Class EY, 5.500%, 08/25/25 | 9,488 | |||||||||
1,500 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,653 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
7,277 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 8,081 | |||||||||
2,500 | Series 2005-68, Class UC, 5.000%, 06/25/35 | 2,731 | |||||||||
8,280 | Series 2005-72, Class SB, IF, 16.216%, 08/25/35 | 10,329 | |||||||||
2,194 | Series 2005-73, Class PS, IF, 16.041%, 08/25/35 | 2,813 | |||||||||
1,876 | Series 2005-74, Class CP, HB, IF, 23.783%, 05/25/35 | 2,805 | |||||||||
8,173 | Series 2005-74, Class CS, IF, 19.295%, 05/25/35 | 11,125 | |||||||||
5,619 | Series 2005-74, Class SK, IF, 19.405%, 05/25/35 | 7,665 | |||||||||
9,451 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 10,539 | |||||||||
496 | Series 2005-86, Class GB, 5.000%, 10/25/35 | 493 | |||||||||
7,579 | Series 2005-88, Class QO, PO, 11/25/33 | 7,096 | |||||||||
3,012 | Series 2005-90, Class ES, IF, 16.216%, 10/25/35 | 3,769 | |||||||||
1,796 | Series 2005-90, Class PO, PO, 09/25/35 | 1,710 | |||||||||
6,630 | Series 2005-93, Class MF, VAR, 0.514%, 08/25/34 | 6,602 | |||||||||
2,961 | Series 2005-96, Class BP, 5.900%, 02/25/15 | 2,990 | |||||||||
757 | Series 2005-98, Class GO, PO, 11/25/35 | 702 | |||||||||
15,202 | Series 2005-106, Class US, HB, IF, 23.600%, 11/25/35 | 23,007 | |||||||||
7,685 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 8,169 | |||||||||
1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 | 1,150 | |||||||||
17,649 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 18,474 | |||||||||
17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 19,319 | |||||||||
5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 | 6,437 | |||||||||
3,623 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 3,891 | |||||||||
2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 3,227 | |||||||||
1,687 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,837 | |||||||||
35,000 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 36,561 | |||||||||
15,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 16,485 | |||||||||
13,186 | Series 2005-123, Class FG, VAR, 0.714%, 07/25/34 | 13,160 | |||||||||
199 | Series 2005-123, Class LO, PO, 01/25/36 | 198 | |||||||||
4,000 | Series 2006-7, Class TC, 6.000%, 09/25/33 | 4,292 | |||||||||
6,400 | Series 2006-8, Class JZ, 5.500%, 03/25/36 | 7,109 | |||||||||
1,447 | Series 2006-11, Class PS, HB, IF, 23.600%, 03/25/36 | 2,172 | |||||||||
6,400 | Series 2006-12, Class BZ, 5.500%, 03/25/36 | 7,100 | |||||||||
340 | Series 2006-12, Class PA, 5.500%, 03/25/25 | 342 | |||||||||
3,094 | Series 2006-15, Class OT, PO, 01/25/36 | 3,001 | |||||||||
5,112 | Series 2006-16, Class FC, VAR, 0.564%, 03/25/36 | 5,089 | |||||||||
6,400 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 7,063 | |||||||||
1,265 | Series 2006-16, Class OA, PO, 03/25/36 | 1,172 | |||||||||
2,761 | Series 2006-22, Class AO, PO, 04/25/36 | 2,341 | |||||||||
4,392 | Series 2006-23, Class FK, VAR, 0.514%, 04/25/36 | 4,372 | |||||||||
2,277 | Series 2006-23, Class KO, PO, 04/25/36 | 2,110 | |||||||||
6,031 | Series 2006-27, Class OH, PO, 04/25/36 | 5,473 | |||||||||
1,338 | Series 2006-33, Class LS, HB, IF, 28.963%, 05/25/36 | 1,971 | |||||||||
2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,228 | |||||||||
2,945 | Series 2006-42, Class CF, VAR, 0.714%, 06/25/36 | 2,947 | |||||||||
4,513 | Series 2006-43, Class DO, PO, 06/25/36 | 4,044 | |||||||||
1,056 | Series 2006-43, Class G, 6.500%, 09/25/33 | 1,080 | |||||||||
1,660 | Series 2006-43, Class PO, PO, 06/25/36 | 1,452 | |||||||||
3,878 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 4,173 | |||||||||
17,102 | Series 2006-44, Class FP, VAR, 0.664%, 06/25/36 | 17,094 | |||||||||
2,833 | Series 2006-44, Class GO, PO, 06/25/36 | 2,627 | |||||||||
8,961 | Series 2006-44, Class P, PO, 12/25/33 | 8,262 | |||||||||
3,815 | Series 2006-46, Class FW, VAR, 0.664%, 06/25/36 | 3,813 | |||||||||
610 | Series 2006-46, Class SW, HB, IF, 23.232%, 06/25/36 | 909 | |||||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 2,229 | |||||||||
10,427 | Series 2006-50, Class JO, PO, 06/25/36 | 9,340 | |||||||||
14,893 | Series 2006-50, Class PS, PO, 06/25/36 | 13,852 | |||||||||
17,204 | Series 2006-53, Class US, IF, IO, 6.316%, 06/25/36 | 2,057 | |||||||||
1,175 | Series 2006-58, Class AP, PO, 07/25/36 | 1,090 | |||||||||
3,185 | Series 2006-58, Class FL, VAR, 0.724%, 07/25/36 | 3,188 | |||||||||
1,764 | Series 2006-58, Class PO, PO, 07/25/36 | 1,567 | |||||||||
1,046 | Series 2006-59, Class CO, PO, 08/25/35 | 1,022 | |||||||||
5,538 | Series 2006-59, Class QO, PO, 01/25/33 | 5,264 | |||||||||
1,423 | Series 2006-60, Class AK, HB, IF, 27.745%, 07/25/36 | 2,334 | |||||||||
1,388 | Series 2006-62, Class PS, HB, IF, 38.318%, 07/25/36 | 2,643 | |||||||||
9,171 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 10,717 | |||||||||
3,325 | Series 2006-65, Class QO, PO, 07/25/36 | 3,019 | |||||||||
3,651 | Series 2006-66, Class NV, 6.500%, 02/25/24 | 3,879 | |||||||||
14,684 | Series 2006-71, Class ZL, 6.000%, 07/25/36 | 16,812 | |||||||||
6,016 | Series 2006-72, Class GO, PO, 08/25/36 | 5,438 | |||||||||
1,664 | Series 2006-72, Class TO, PO, 08/25/36 | 1,490 | |||||||||
1,430 | Series 2006-75, Class CM, 6.500%, 12/25/33 | 1,457 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
10,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 11,815 | |||||||||
2,606 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 2,895 | |||||||||
3,358 | Series 2006-79, Class DF, VAR, 0.614%, 08/25/36 | 3,356 | |||||||||
2,449 | Series 2006-79, Class DO, PO, 08/25/36 | 2,233 | |||||||||
2,098 | Series 2006-79, Class OP, PO, 08/25/36 | 1,784 | |||||||||
1,296 | Series 2006-85, Class MZ, 6.500%, 09/25/36 | 1,441 | |||||||||
2,462 | Series 2006-86, Class OB, PO, 09/25/36 | 2,228 | |||||||||
2,335 | Series 2006-90, Class AO, PO, 09/25/36 | 2,141 | |||||||||
1,410 | Series 2006-94, Class GK, HB, IF, 31.931%, 10/25/26 | 2,248 | |||||||||
2,445 | Series 2006-95, Class SG, HB, IF, 25.145%, 10/25/36 | 3,619 | |||||||||
313 | Series 2006-102, Class PA, 5.000%, 08/25/26 | 317 | |||||||||
669 | Series 2006-109, Class PO, PO, 11/25/36 | 619 | |||||||||
8,328 | Series 2006-110, Class PO, PO, 11/25/36 | 7,341 | |||||||||
2,660 | Series 2006-111, Class EO, PO, 11/25/36 | 2,462 | |||||||||
3,892 | Series 2006-113, Class PO, PO, 07/25/36 | 3,648 | |||||||||
614 | Series 2006-115, Class ES, HB, IF, 25.505%, 12/25/36 | 988 | |||||||||
2,039 | Series 2006-115, Class OK, PO, 12/25/36 | 1,775 | |||||||||
23,732 | Series 2006-117, Class GS, IF, IO, 6.386%, 12/25/36 | 2,073 | |||||||||
6,145 | Series 2006-118, Class A1, VAR, 0.324%, 12/25/36 | 6,032 | |||||||||
20,867 | Series 2006-118, Class A2, VAR, 0.324%, 12/25/36 | 20,498 | |||||||||
3,173 | Series 2006-119, Class PO, PO, 12/25/36 | 2,841 | |||||||||
1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 | 1,518 | |||||||||
1,580 | Series 2006-128, Class PO, PO, 01/25/37 | 1,400 | |||||||||
8,473 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 1,363 | |||||||||
724 | Series 2007-1, Class SD, HB, IF, 37.417%, 02/25/37 | 964 | |||||||||
645 | Series 2007-2, Class FA, VAR, 0.464%, 02/25/37 | 641 | |||||||||
10,813 | Series 2007-7, Class SG, IF, IO, 6.236%, 08/25/36 | 1,212 | |||||||||
8,775 | Series 2007-10, Class FD, VAR, 0.514%, 02/25/37 | 8,688 | |||||||||
33,350 | Series 2007-14, Class ES, IF, IO, 6.176%, 03/25/37 | 4,448 | |||||||||
2,887 | Series 2007-14, Class OP, PO, 03/25/37 | 2,579 | |||||||||
2,449 | Series 2007-15, Class NO, PO, 03/25/22 | 2,319 | |||||||||
19,673 | Series 2007-16, Class FC, VAR, 1.014%, 03/25/37 | 19,862 | |||||||||
2,422 | Series 2007-22, Class SC, IF, IO, 5.816%, 03/25/37 | 201 | |||||||||
1,750 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,932 | |||||||||
4,803 | Series 2007-29, Class SG, HB, IF, 21.787%, 04/25/37 | 6,795 | |||||||||
18,461 | Series 2007-35, Class SI, IF, IO, 5.836%, 04/25/37 | 1,748 | |||||||||
2,855 | Series 2007-42, Class AO, PO, 05/25/37 | 2,712 | |||||||||
11,000 | Series 2007-42, Class B, 6.000%, 05/25/37 | 12,581 | |||||||||
6,775 | Series 2007-43, Class FL, VAR, 0.564%, 05/25/37 | 6,749 | |||||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,598 | |||||||||
30,905 | Series 2007-53, Class SH, IF, IO, 5.836%, 06/25/37 | 3,737 | |||||||||
47,786 | Series 2007-54, Class FA, VAR, 0.664%, 06/25/37 | 47,777 | |||||||||
5,386 | Series 2007-54, Class WI, IF, IO, 5.836%, 06/25/37 | 631 | |||||||||
46,580 | Series 2007-60, Class AX, IF, IO, 6.886%, 07/25/37 | 6,791 | |||||||||
4,066 | Series 2007-62, Class SE, IF, 15.841%, 07/25/37 | 4,809 | |||||||||
8,095 | Series 2007-64, Class FB, VAR, 0.634%, 07/25/37 | 8,099 | |||||||||
47,855 | Series 2007-65, Class KI, IF, IO, 6.356%, 07/25/37 | 4,101 | |||||||||
1,405 | Series 2007-65, Class PA, 6.000%, 03/25/31 | 1,441 | |||||||||
39,537 | Series 2007-72, Class EK, IF, IO, 6.136%, 07/25/37 | 3,962 | |||||||||
2,215 | Series 2007-75, Class EO, PO, 01/25/36 | 2,157 | |||||||||
3,608 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 3,988 | |||||||||
9,300 | Series 2007-77, Class FG, VAR, 0.764%, 03/25/37 | 9,317 | |||||||||
2,000 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 2,253 | |||||||||
2,000 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 2,151 | |||||||||
5,253 | Series 2007-79, Class SB, HB, IF, 23.050%, 08/25/37 | 7,693 | |||||||||
4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 | 4,540 | |||||||||
2,880 | Series 2007-83, Class PA, 6.000%, 03/25/29 | 2,904 | |||||||||
4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 | 4,971 | |||||||||
2,052 | Series 2007-85, Class SL, IF, 15.491%, 09/25/37 | 2,394 | |||||||||
11,479 | Series 2007-88, Class VI, IF, IO, 6.276%, 09/25/37 | 1,497 | |||||||||
12,118 | Series 2007-91, Class ES, IF, IO, 6.196%, 10/25/37 | 1,747 | |||||||||
3,682 | Series 2007-92, Class YA, 6.500%, 06/25/37 | 4,023 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
6,137 | Series 2007-92, Class YS, IF, IO, 5.516%, 06/25/37 | 574 | |||||||||
4,483 | Series 2007-97, Class FC, VAR, 0.764%, 07/25/37 | 4,489 | |||||||||
8,852 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 | 1,738 | |||||||||
3,468 | Series 2007-97, Class MS, IF, 14.183%, 12/25/31 | 3,726 | |||||||||
2,863 | Series 2007-98, Class FB, VAR, 0.714%, 06/25/37 | 2,478 | |||||||||
3,867 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 4,151 | |||||||||
24,162 | Series 2007-100, Class SM, IF, IO, 6.186%, 10/25/37 | 3,221 | |||||||||
8,263 | Series 2007-106, Class A7, VAR, 6.061%, 10/25/37 | 8,762 | |||||||||
11,962 | Series 2007-108, Class AN, VAR, 8.743%, 11/25/37 | 14,631 | |||||||||
3,328 | Series 2007-108, Class SA, IF, IO, 6.096%, 12/25/37 | 333 | |||||||||
14,679 | Series 2007-112, Class SA, IF, IO, 6.186%, 12/25/37 | 2,074 | |||||||||
51,000 | Series 2007-114, Class A6, VAR, 0.464%, 10/27/37 | 50,909 | |||||||||
29,098 | Series 2007-116, Class HI, IO, VAR, 6.329%, 01/25/38 | 1,991 | |||||||||
1,024 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 63 | |||||||||
29,131 | Series 2008-1, Class BI, IF, IO, 5.646%, 02/25/38 | 3,006 | |||||||||
28,373 | Series 2008-4, Class SD, IF, IO, 5.736%, 02/25/38 | 2,936 | |||||||||
7,221 | Series 2008-10, Class XI, IF, IO, 5.966%, 03/25/38 | 768 | |||||||||
14,733 | Series 2008-16, Class IS, IF, IO, 5.936%, 03/25/38 | 1,270 | |||||||||
2,863 | Series 2008-18, Class SP, IF, 13.473%, 03/25/38 | 3,238 | |||||||||
10,880 | Series 2008-20, Class SA, IF, IO, 6.726%, 03/25/38 | 1,455 | |||||||||
9,416 | Series 2008-27, Class SN, IF, IO, 6.636%, 04/25/38 | 1,114 | |||||||||
3,039 | Series 2008-28, Class QS, IF, 19.909%, 04/25/38 | 3,949 | |||||||||
16,004 | Series 2008-32, Class SA, IF, IO, 6.586%, 04/25/38 | 2,276 | |||||||||
24,798 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 93 | |||||||||
47,410 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 541 | |||||||||
2,439 | Series 2008-42, Class AO, PO, 09/25/36 | 2,279 | |||||||||
590 | Series 2008-44, Class PO, PO, 05/25/38 | 560 | |||||||||
14,412 | Series 2008-46, Class HI, IO, VAR, 6.623%, 06/25/38 | 1,061 | |||||||||
7,802 | Series 2008-47, Class SI, IF, IO, 6.236%, 06/25/23 | 792 | |||||||||
2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 | 2,956 | |||||||||
7,191 | Series 2008-53, Class CI, IF, IO, 6.936%, 07/25/38 | 807 | |||||||||
1,072 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 38 | |||||||||
1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 | 1,646 | |||||||||
2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 | 3,056 | |||||||||
3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 | 4,285 | |||||||||
371 | Series 2008-66, Class GD, 6.000%, 06/25/30 | 384 | |||||||||
24,056 | Series 2008-80, Class SA, IF, IO, 5.586%, 09/25/38 | 2,191 | |||||||||
10,935 | Series 2008-81, Class SB, IF, IO, 5.586%, 09/25/38 | 913 | |||||||||
1,715 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 1,801 | |||||||||
16,439 | Series 2009-6, Class GS, IF, IO, 6.286%, 02/25/39 | 1,931 | |||||||||
10,348 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 1,259 | |||||||||
12,813 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 | 1,476 | |||||||||
4,779 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 | 595 | |||||||||
1,319 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,448 | |||||||||
9,940 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 1,445 | |||||||||
10,000 | Series 2009-59, Class HB, 5.000%, 08/25/39 | 11,010 | |||||||||
1,296 | Series 2009-63, Class P, 5.000%, 03/25/37 | 1,386 | |||||||||
10,031 | Series 2009-69, Class WA, VAR, 6.014%, 09/25/39 | 10,949 | |||||||||
20,744 | Series 2009-84, Class WS, IF, IO, 5.636%, 10/25/39 | 1,626 | |||||||||
21,822 | Series 2009-99, Class SC, IF, IO, 5.916%, 12/25/39 | 1,837 | |||||||||
10,604 | Series 2009-99, Class WA, VAR, 6.290%, 12/25/39 | 12,207 | |||||||||
23,960 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 25,364 | |||||||||
4,176 | Series 2009-113, Class AO, PO, 01/25/40 | 3,860 | |||||||||
3,790 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 | 4,210 | |||||||||
9,225 | Series 2010-16, Class WA, 6.428%, 03/25/40 | 10,090 | |||||||||
7,912 | Series 2010-16, Class WB, 6.237%, 03/25/40 | 8,817 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
28,261 | Series 2010-35, Class SB, IF, IO, 6.156%, 04/25/40 | 2,545 | |||||||||
2,333 | Series 2010-39, Class OT, PO, 10/25/35 | 2,068 | |||||||||
2,931 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 3,219 | |||||||||
9,760 | Series 2010-58, Class MB, 5.500%, 06/25/40 | 11,341 | |||||||||
69,146 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 75,058 | |||||||||
20 | Series G-14, Class L, 8.500%, 06/25/21 | 25 | |||||||||
1 | Series G-17, Class S, HB, VAR, 1,051.957%, 06/25/21 | 30 | |||||||||
100 | Series G-18, Class Z, 8.750%, 06/25/21 | 119 | |||||||||
27 | Series G-22, Class G, 6.000%, 12/25/16 | 30 | |||||||||
94 | Series G-28, Class S, IF, 14.819%, 09/25/21 | 125 | |||||||||
153 | Series G-35, Class M, 8.750%, 10/25/21 | 177 | |||||||||
30 | Series G-51, Class SA, HB, IF, 23.194%, 12/25/21 | 47 | |||||||||
47 | Series G92-15, Class Z, 7.000%, 01/25/22 | 47 | |||||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 68 | ||||||||
688 | Series G92-35, Class E, 7.500%, 07/25/22 | 777 | |||||||||
— | (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 | 8 | ||||||||
61 | Series G92-42, Class Z, 7.000%, 07/25/22 | 69 | |||||||||
2,181 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 2,594 | |||||||||
1,026 | Series G92-45, Class Z, 6.000%, 08/25/22 | 1,124 | |||||||||
61 | Series G92-52, Class FD, VAR, 0.302%, 09/25/22 | 61 | |||||||||
848 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 964 | |||||||||
64 | Series G92-59, Class F, VAR, 2.497%, 10/25/22 | 65 | |||||||||
126 | Series G92-61, Class Z, 7.000%, 10/25/22 | 141 | |||||||||
92 | Series G92-62, Class B, PO, 10/25/22 | 83 | |||||||||
430 | Series G93-1, Class KA, 7.900%, 01/25/23 | 499 | |||||||||
163 | Series G93-5, Class Z, 6.500%, 02/25/23 | 184 | |||||||||
127 | Series G93-14, Class J, 6.500%, 03/25/23 | 141 | |||||||||
290 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 310 | |||||||||
280 | Series G93-27, Class FD, VAR, 1.161%, 08/25/23 | 285 | |||||||||
72 | Series G93-37, Class H, PO, 09/25/23 | 65 | |||||||||
173 | Series G95-1, Class C, 8.800%, 01/25/25 | 204 | |||||||||
Federal National Mortgage Association STRIPS, | |||||||||||
10 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 2 | |||||||||
5 | Series 50, Class 2, IO, 10.500%, 03/01/19 | 1 | |||||||||
67 | Series 218, Class 2, IO, 7.500%, 04/01/23 | 14 | |||||||||
38 | Series 265, Class 2, 9.000%, 03/01/24 | 45 | |||||||||
1,315 | Series 329, Class 1, PO, 01/01/33 | 1,193 | |||||||||
4,024 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 327 | |||||||||
5,809 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 505 | |||||||||
2,811 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 290 | |||||||||
1,965 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 261 | |||||||||
6,428 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 783 | |||||||||
817 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | |||||||||
4,603 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 557 | |||||||||
6,079 | Series 383, Class 33, IO, 6.000%, 01/01/38 | 937 | |||||||||
2,120 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 345 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
140 | Series 2002-W5, Class A10, IF, IO, 7.836%, 11/25/30 | 2 | |||||||||
3,026 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 | 3,407 | |||||||||
711 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 835 | |||||||||
2,892 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 3,256 | |||||||||
1,809 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 | 1,975 | |||||||||
623 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 701 | |||||||||
6,732 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 | 7,524 | |||||||||
7,963 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 9,232 | |||||||||
1,497 | Series 2003-W8, Class 3F1, VAR, 0.664%, 05/25/42 | 1,485 | |||||||||
8,775 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 10,173 | |||||||||
2,898 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 3,360 | |||||||||
2,710 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 3,186 | |||||||||
6,800 | Series 2004-W10, Class A6, 5.750%, 08/25/34 | 7,339 | |||||||||
8,947 | Series 2004-W15, Class 2AF, VAR, 0.514%, 08/25/44 | 8,819 | |||||||||
4,865 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 5,478 | |||||||||
48,793 | Series 2005-W3, Class 2AF, VAR, 0.484%, 03/25/45 | 48,584 | |||||||||
4,120 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 4,498 | |||||||||
34,788 | Series 2006-W2, Class 1AF1, VAR, 0.484%, 02/25/36 | 34,488 | |||||||||
7,796 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 8,510 | |||||||||
80,374 | Series 2007-W1, Class 1AF1, VAR, 0.524%, 11/25/46 | 79,952 | |||||||||
6,718 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 7,565 | |||||||||
4,289 | Series 2007-W5, Class PO, PO, 06/25/37 | 3,556 | |||||||||
4,616 | Series 2007-W7, Class 1A4, HB, IF, 37.598%, 07/25/37 | 6,696 | |||||||||
1,167 | Series 2007-W10, Class 2A, VAR, 6.157%, 08/25/47 | 1,274 | |||||||||
Government National Mortgage Association, | |||||||||||
1,738 | Series 1994-3, Class PQ, 7.488%, 07/16/24 | 1,873 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,762 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 2,093 | |||||||||
6,337 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 7,148 | |||||||||
380 | Series 1995-3, Class DQ, 8.050%, 06/16/25 | 452 | |||||||||
94 | Series 1995-7, Class CQ, 7.500%, 09/16/25 | 106 | |||||||||
1,438 | Series 1996-16, Class E, 7.500%, 08/16/26 | 1,663 | |||||||||
1,057 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 1,113 | |||||||||
238 | Series 1997-11, Class D, 7.500%, 07/20/27 | 279 | |||||||||
712 | Series 1998-26, Class K, 7.500%, 09/17/25 | 835 | |||||||||
5,515 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 6,010 | |||||||||
4,993 | Series 1999-10, Class ZC, 6.500%, 04/20/29 | 5,632 | |||||||||
57 | Series 1999-15, Class E, 6.500%, 01/16/29 | 57 | |||||||||
731 | Series 1999-30, Class S, IF, IO, 8.324%, 08/16/29 | 105 | |||||||||
34 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 | 40 | |||||||||
589 | Series 1999-40, Class ZW, 7.500%, 11/20/29 | 657 | |||||||||
1,093 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 1,298 | |||||||||
455 | Series 1999-44, Class PC, 7.500%, 12/20/29 | �� | 531 | ||||||||
5,441 | Series 1999-44, Class ZC, 8.500%, 12/16/29 | 6,540 | |||||||||
846 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 1,005 | |||||||||
1,098 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 1,287 | |||||||||
416 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 494 | |||||||||
5,432 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 6,529 | |||||||||
617 | Series 2000-12, Class ST, HB, IF, 37.942%, 02/16/30 | 1,258 | |||||||||
1,534 | Series 2000-14, Class PD, 7.000%, 02/16/30 | 1,648 | |||||||||
416 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 456 | |||||||||
4,874 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 5,858 | |||||||||
830 | Series 2000-26, Class TZ, 8.500%, 09/20/30 | 998 | |||||||||
232 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 276 | |||||||||
45 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 | 60 | |||||||||
688 | Series 2000-31, Class Z, 9.000%, 10/20/30 | 827 | |||||||||
202 | Series 2000-34, Class SG, IF, IO, 8.264%, 10/20/30 | 43 | |||||||||
393 | Series 2000-35, Class ZA, 9.000%, 11/20/30 | 447 | |||||||||
61 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 16 | |||||||||
1,374 | Series 2000-37, Class B, 8.000%, 12/20/30 | 1,633 | |||||||||
246 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 284 | |||||||||
364 | Series 2001-4, Class SJ, IF, IO, 7.881%, 01/19/30 | 94 | |||||||||
371 | Series 2001-6, Class SD, IF, IO, 8.274%, 03/16/31 | 109 | |||||||||
1,313 | Series 2001-7, Class PK, 6.500%, 03/20/31 | 1,376 | |||||||||
1,939 | Series 2001-8, Class Z, 6.500%, 03/20/31 | 2,050 | |||||||||
2,763 | Series 2001-22, Class PS, HB, IF, 20.301%, 03/17/31 | 3,999 | |||||||||
68 | Series 2001-32, Class WA, IF, 19.459%, 07/20/31 | 105 | |||||||||
519 | Series 2001-35, Class SA, IF, IO, 7.974%, 08/16/31 | 131 | |||||||||
411 | Series 2001-36, Class S, IF, IO, 7.774%, 08/16/31 | 86 | |||||||||
4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 | 4,901 | |||||||||
3,587 | Series 2001-64, Class MQ, 6.500%, 12/20/31 | 3,840 | |||||||||
500 | Series 2002-3, Class SP, IF, IO, 7.114%, 01/16/32 | 100 | |||||||||
1,038 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 1,171 | |||||||||
2,220 | Series 2002-24, Class AG, IF, IO, 7.674%, 04/16/32 | 430 | |||||||||
206 | Series 2002-24, Class SB, IF, 11.511%, 04/16/32 | 250 | |||||||||
292 | Series 2002-31, Class S, IF, IO, 8.424%, 01/16/31 | 68 | |||||||||
5,383 | Series 2002-31, Class SE, IF, IO, 7.224%, 04/16/30 | 772 | |||||||||
2,501 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 2,657 | |||||||||
88 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 | 99 | |||||||||
9,894 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 10,843 | |||||||||
3,131 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 3,532 | |||||||||
1,117 | Series 2002-47, Class PY, 6.000%, 07/20/32 | 1,224 | |||||||||
4,977 | Series 2002-47, Class ZA, 6.500%, 07/20/32 | 5,360 | |||||||||
199 | Series 2002-51, Class SG, HB, IF, 31.346%, 04/20/31 | 322 | |||||||||
3,378 | Series 2002-52, Class GH, 6.500%, 07/20/32 | 3,643 | |||||||||
1,482 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 1,598 | |||||||||
3,197 | Series 2002-69, Class PO, PO, 02/20/32 | 3,087 | |||||||||
914 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 937 | |||||||||
2,950 | Series 2002-70, Class PS, IF, IO, 7.434%, 08/20/32 | 293 | |||||||||
1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 | 1,635 | |||||||||
1,721 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 1,733 | |||||||||
1,536 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 96 | |||||||||
1,407 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 1,509 | |||||||||
1,105 | Series 2003-8, Class PO, PO, 01/16/32 | 1,071 | |||||||||
2,639 | Series 2003-11, Class SK, IF, IO, 7.424%, 02/16/33 | 433 | |||||||||
1,113 | Series 2003-12, Class SP, IF, IO, 7.434%, 02/20/33 | 195 | |||||||||
448 | Series 2003-24, Class PO, PO, 03/16/33 | 391 | |||||||||
5,234 | Series 2003-25, Class PZ, 5.500%, 04/20/33 | 5,859 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,097 | Series 2003-34, Class TO, PO, 02/16/32 | 1,068 | |||||||||
1,960 | Series 2003-40, Class TC, 7.500%, 03/20/33 | 2,076 | |||||||||
3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 | 3,677 | |||||||||
1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 | 1,301 | |||||||||
2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 | 2,356 | |||||||||
1,721 | Series 2003-52, Class AP, PO, 06/16/33 | 1,597 | |||||||||
3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 | 3,605 | |||||||||
736 | Series 2003-60, Class NS, IF, 15.893%, 07/16/33 | 827 | |||||||||
229 | Series 2003-62, Class HC, 5.000%, 01/20/29 | 229 | |||||||||
162 | Series 2003-66, Class ED, 5.000%, 08/20/28 | 162 | |||||||||
2,142 | Series 2003-76, Class LS, IF, IO, 6.934%, 09/20/31 | 177 | |||||||||
304 | Series 2003-90, Class PO, PO, 10/20/33 | 266 | |||||||||
4,190 | Series 2003-97, Class SA, IF, IO, 6.274%, 11/16/33 | 695 | |||||||||
354 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 357 | |||||||||
3,823 | Series 2003-112, Class SA, IF, IO, 6.274%, 12/16/33 | 565 | |||||||||
20,000 | Series 2003-112, Class TS, IF, IO, 6.684%, 10/20/32 | 3,307 | |||||||||
1,000 | Series 2003-114, Class SH, IF, 14.205%, 11/17/32 | 1,181 | |||||||||
11,975 | Series 2004-11, Class SW, IF, IO, 5.234%, 02/20/34 | 1,456 | |||||||||
6,900 | Series 2004-15, Class SA, IF, 18.930%, 12/20/32 | 8,224 | |||||||||
887 | Series 2004-27, Class VJ, 6.000%, 02/20/15 | 909 | |||||||||
1,308 | Series 2004-28, Class S, IF, 18.904%, 04/16/34 | 1,869 | |||||||||
3,719 | Series 2004-34, Class JO, PO, 02/20/34 | 3,600 | |||||||||
4,293 | Series 2004-46, Class PO, PO, 06/20/34 | 3,882 | |||||||||
5,206 | Series 2004-49, Class Z, 6.000%, 06/20/34 | 5,962 | |||||||||
2,470 | Series 2004-68, Class PO, PO, 05/20/31 | 2,393 | |||||||||
2,396 | Series 2004-71, Class SB, HB, IF, 28.157%, 09/20/34 | 3,490 | |||||||||
2,396 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 2,600 | |||||||||
1,998 | Series 2004-73, Class AE, IF, 14.294%, 08/17/34 | 2,405 | |||||||||
11,009 | Series 2004-73, Class JL, IF, IO, 6.274%, 09/16/34 | 1,644 | |||||||||
1,779 | Series 2004-83, Class AP, IF, 13.660%, 10/16/34 | 2,121 | |||||||||
1,098 | Series 2004-85, Class PO, PO, 01/17/33 | 1,056 | |||||||||
1,440 | Series 2004-87, Class SB, IF, 7.359%, 03/17/33 | 1,522 | |||||||||
1,257 | Series 2004-89, Class LS, HB, IF, 23.372%, 10/16/34 | 1,948 | |||||||||
26,501 | Series 2004-90, Class SI, IF, IO, 5.834%, 10/20/34 | 3,255 | |||||||||
11,634 | Series 2004-96, Class SC, IF, IO, 5.814%, 11/20/34 | 1,596 | |||||||||
13,073 | Series 2005-3, Class SB, IF, IO, 5.834%, 01/20/35 | 1,615 | |||||||||
18,979 | Series 2005-3, Class SK, IF, IO, 6.484%, 01/20/35 | 2,608 | |||||||||
1,386 | Series 2005-6, Class GS, IF, 12.967%, 12/20/32 | 1,669 | |||||||||
5,740 | Series 2005-7, Class JM, IF, 16.127%, 05/18/34 | 6,900 | |||||||||
19,636 | Series 2005-17, Class SL, IF, IO, 6.434%, 07/20/34 | 3,140 | |||||||||
2,659 | Series 2005-35, Class FL, VAR, 0.616%, 03/20/32 | 2,651 | |||||||||
2,468 | Series 2005-44, Class SP, IF, 11.668%, 10/20/34 | 2,883 | |||||||||
2,217 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 331 | |||||||||
399 | Series 2005-65, Class SA, HB, IF, 21.724%, 08/20/35 | 449 | |||||||||
669 | Series 2005-66, Class SP, IF, 19.914%, 08/16/35 | 899 | |||||||||
8,863 | Series 2005-68, Class DP, IF, 15.779%, 06/17/35 | 11,145 | |||||||||
39,001 | Series 2005-68, Class KI, IF, IO, 6.034%, 09/20/35 | 5,991 | |||||||||
6,716 | Series 2005-69, Class SY, IF, IO, 6.484%, 11/20/33 | 1,151 | |||||||||
2,619 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 2,955 | |||||||||
1,920 | Series 2005-82, Class PO, PO, 10/20/35 | 1,760 | |||||||||
4,046 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 | 558 | |||||||||
1,908 | Series 2005-93, Class JO, PO, 03/20/31 | 1,866 | |||||||||
3,882 | Series 2006-16, Class OP, PO, 03/20/36 | 3,619 | |||||||||
4,650 | Series 2006-20, Class QA, 5.750%, 02/20/36 | 5,032 | |||||||||
5,212 | Series 2006-33, Class Z, 6.500%, 07/20/36 | 5,730 | |||||||||
1,012 | Series 2006-34, Class PO, PO, 07/20/36 | 937 | |||||||||
1,234 | Series 2006-38, Class SW, IF, IO, 6.234%, 06/20/36 | 112 | |||||||||
5,443 | Series 2006-38, Class ZK, 6.500%, 08/20/36 | 6,067 | |||||||||
13,000 | Series 2006-40, Class VB, 6.000%, 11/20/26 | 13,704 | |||||||||
1,856 | Series 2006-57, Class PZ, 5.565%, 10/20/36 | 2,081 | |||||||||
6,897 | Series 2006-59, Class SD, IF, IO, 6.434%, 10/20/36 | 653 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
14,887 | Series 2006-65, Class SA, IF, IO, 6.534%, 11/20/36 | 1,370 | |||||||||
10,745 | Series 2007-9, Class CI, IF, IO, 5.934%, 03/20/37 | 1,219 | |||||||||
17,828 | Series 2007-9, Class DI, IF, IO, 6.244%, 03/20/37 | 2,001 | |||||||||
20,480 | Series 2007-17, Class AF, VAR, 0.476%, 04/16/37 | 20,379 | |||||||||
15,163 | Series 2007-17, Class JI, IF, IO, 6.534%, 04/16/37 | 2,027 | |||||||||
5,883 | Series 2007-17, Class JO, PO, 04/16/37 | 5,598 | |||||||||
8,052 | Series 2007-19, Class SD, IF, IO, 5.934%, 04/20/37 | 867 | |||||||||
4,714 | Series 2007-25, Class FN, VAR, 0.576%, 05/16/37 | 4,695 | |||||||||
19,673 | Series 2007-26, Class SC, IF, IO, 5.934%, 05/20/37 | 1,913 | |||||||||
42,554 | Series 2007-26, Class SW, IF, IO, 5.934%, 05/20/37 | 4,255 | |||||||||
12,661 | Series 2007-27, Class SD, IF, IO, 5.934%, 05/20/37 | 1,281 | |||||||||
1,478 | Series 2007-28, Class BO, PO, 05/20/37 | 1,369 | |||||||||
14,497 | Series 2007-35, Class PO, PO, 06/16/37 | 12,739 | |||||||||
1,657 | Series 2007-35, Class TO, PO, 04/20/35 | 1,625 | |||||||||
2,564 | Series 2007-36, Class HO, PO, 06/16/37 | 2,391 | |||||||||
10,989 | Series 2007-36, Class SE, IF, IO, 6.194%, 06/16/37 | 1,292 | |||||||||
14,610 | Series 2007-36, Class SJ, IF, IO, 5.984%, 06/20/37 | 1,479 | |||||||||
10,767 | Series 2007-40, Class SD, IF, IO, 6.484%, 07/20/37 | 1,043 | |||||||||
25,875 | Series 2007-42, Class SC, IF, IO, 6.484%, 07/20/37 | 2,480 | |||||||||
16,600 | Series 2007-45, Class QA, IF, IO, 6.374%, 07/20/37 | 2,072 | |||||||||
4,463 | Series 2007-49, Class NO, PO, 12/20/35 | 4,351 | |||||||||
5,867 | Series 2007-50, Class AI, IF, IO, 6.509%, 08/20/37 | 563 | |||||||||
10,201 | Series 2007-53, Class ES, IF, IO, 6.284%, 09/20/37 | 1,065 | |||||||||
4,127 | Series 2007-53, Class SW, IF, 19.406%, 09/20/37 | 5,337 | |||||||||
13,873 | Series 2007-57, Class PO, PO, 03/20/37 | 12,653 | |||||||||
15,204 | Series 2007-57, Class QA, IF, IO, 6.234%, 10/20/37 | 1,667 | |||||||||
15,565 | Series 2007-67, Class SI, IF, IO, 6.244%, 11/20/37 | 2,052 | |||||||||
6,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 6,444 | |||||||||
12,528 | Series 2007-71, Class SB, IF, IO, 6.434%, 07/20/36 | 944 | |||||||||
13,344 | Series 2007-72, Class US, IF, IO, 6.284%, 11/20/37 | 1,432 | |||||||||
14,732 | Series 2007-73, Class MI, IF, IO, 5.734%, 11/20/37 | 1,195 | |||||||||
8,217 | Series 2007-74, Class SL, IF, IO, 6.264%, 11/16/37 | 1,212 | |||||||||
28,751 | Series 2007-76, Class SB, IF, IO, 6.234%, 11/20/37 | 3,133 | |||||||||
21,356 | Series 2007-79, Class SY, IF, IO, 6.284%, 12/20/37 | 1,887 | |||||||||
16,370 | Series 2007-82, Class SA, IF, IO, 6.264%, 12/20/37 | 1,634 | |||||||||
1,559 | Series 2008-7, Class SK, IF, 19.151%, 11/20/37 | 1,886 | |||||||||
2,171 | Series 2008-7, Class SP, IF, 12.868%, 10/20/37 | 2,428 | |||||||||
4,468 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 | 492 | |||||||||
4,308 | Series 2008-20, Class PO, PO, 09/20/37 | 4,073 | |||||||||
2,330 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 168 | |||||||||
9,606 | Series 2008-25, Class SB, IF, IO, 6.634%, 03/20/38 | 906 | |||||||||
4,680 | Series 2008-29, Class PO, PO, 02/17/33 | 4,376 | |||||||||
19,615 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 2,875 | |||||||||
6,657 | Series 2008-33, Class XS, IF, IO, 7.424%, 04/16/38 | 777 | |||||||||
6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 6,848 | |||||||||
17,796 | Series 2008-36, Class SH, IF, IO, 6.034%, 04/20/38 | 1,508 | |||||||||
34,256 | Series 2008-40, Class SA, IF, IO, 6.124%, 05/16/38 | 4,812 | |||||||||
15,614 | Series 2008-41, Class SA, IF, IO, 6.074%, 05/20/38 | 1,334 | |||||||||
1,979 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 2,091 | |||||||||
3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 | 3,920 | |||||||||
5,693 | Series 2008-55, Class SA, IF, IO, 5.934%, 06/20/38 | 531 | |||||||||
23,572 | Series 2008-60, Class CS, IF, IO, 5.884%, 07/20/38 | 2,611 | |||||||||
4,277 | Series 2008-60, Class PO, PO, 01/20/38 | 4,129 | |||||||||
1,990 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 2,095 | |||||||||
10,798 | Series 2008-69, Class QD, 5.750%, 07/20/38 | 11,873 | |||||||||
9,309 | Series 2008-71, Class SC, IF, IO, 5.734%, 08/20/38 | 913 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
9,430 | Series 2008-79, Class CS, IF, 6.534%, 06/20/35 | 9,682 | |||||||||
20,338 | Series 2008-93, Class AS, IF, IO, 5.434%, 12/20/38 | 1,403 | |||||||||
12,786 | Series 2008-96, Class SL, IF, IO, 5.734%, 12/20/38 | 1,012 | |||||||||
14,619 | Series 2009-6, Class SA, IF, IO, 5.824%, 02/16/39 | 1,130 | |||||||||
13,871 | Series 2009-6, Class SH, IF, IO, 5.774%, 02/20/39 | 1,311 | |||||||||
21,892 | Series 2009-10, Class SA, IF, IO, 5.684%, 02/20/39 | 1,878 | |||||||||
7,404 | Series 2009-10, Class SL, IF, IO, 6.224%, 03/16/34 | 681 | |||||||||
15,493 | Series 2009-11, Class SC, IF, IO, 5.874%, 02/16/39 | 1,428 | |||||||||
5,983 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 716 | |||||||||
11,877 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 1,241 | |||||||||
38,671 | Series 2009-22, Class SA, IF, IO, 6.004%, 04/20/39 | 3,281 | |||||||||
21,756 | Series 2009-24, Class DS, IF, IO, 6.034%, 03/20/39 | 1,802 | |||||||||
10,349 | Series 2009-25, Class SE, IF, IO, 7.334%, 09/20/38 | 1,220 | |||||||||
21,725 | Series 2009-31, Class ST, IF, IO, 6.084%, 03/20/39 | 1,964 | |||||||||
26,151 | Series 2009-31, Class TS, IF, IO, 6.034%, 03/20/39 | 2,607 | |||||||||
6,388 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 744 | |||||||||
6,459 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 747 | |||||||||
17,323 | Series 2009-35, Class SN, IF, IO, 6.124%, 12/16/38 | 1,640 | |||||||||
33,422 | Series 2009-42, Class SC, IF, IO, 5.814%, 06/20/39 | 3,046 | |||||||||
22,955 | Series 2009-43, Class SA, IF, IO, 5.684%, 06/20/39 | 1,933 | |||||||||
11,689 | Series 2009-44, Class MV, 6.000%, 04/20/20 | 13,285 | |||||||||
4,204 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 4,610 | |||||||||
8,470 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 783 | |||||||||
3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 | 3,544 | |||||||||
19,214 | Series 2009-79, Class OK, PO, 11/16/37 | 17,894 | |||||||||
20,565 | Series 2009-83, Class TS, IF, IO, 5.834%, 08/20/39 | 1,830 | |||||||||
5,495 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 6,233 | |||||||||
27,472 | Series 2009-106, Class AS, IF, IO, 6.124%, 11/16/39 | 2,196 | |||||||||
4,500 | Series 2010-14, Class CO, PO, 08/20/35 | 3,566 | |||||||||
6,198 | Series 2010-41, Class WA, VAR, 5.867%, 10/20/33 | 6,799 | |||||||||
4,000 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 4,485 | |||||||||
Vendee Mortgage Trust, | |||||||||||
13,852 | Series 1993-1, Class ZB, 7.250%, 02/15/23 | 16,227 | |||||||||
2,647 | Series 1994-1, Class 1, VAR, 5.627%, 02/15/24 | 2,986 | |||||||||
9,742 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 10,988 | |||||||||
3,831 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 4,181 | |||||||||
1,765 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 2,043 | |||||||||
5,260 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 6,161 | |||||||||
3,568 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 4,129 | |||||||||
4,272,669 | |||||||||||
Non-Agency CMO — 12.9% | |||||||||||
660 | ABN Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 | 656 | |||||||||
American General Mortgage Loan Trust, | |||||||||||
3,863 | Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) | 3,885 | |||||||||
4,283 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 4,606 | |||||||||
24,489 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 25,120 | |||||||||
16,389 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 16,896 | |||||||||
33,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 32,083 | |||||||||
10,977 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 11,260 | |||||||||
8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.159%, 09/25/35 | 3,563 | |||||||||
ASG Resecuritization Trust, | |||||||||||
9,282 | Series 2009-1, Class A60, VAR, 5.489%, 06/26/37 (e) | 9,375 | |||||||||
27,371 | Series 2009-2, Class A55, VAR, 5.570%, 05/24/36 (e) | 27,576 | |||||||||
51,341 | Series 2009-3, Class A65, VAR, 5.438%, 03/26/37 (e) | 51,226 | |||||||||
28,911 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 29,200 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
7,371 | Series 2009-5, Class A50, VAR, 5.600%, 02/28/37 (e) | 7,408 | |||||||||
15,086 | Series 2010-1, Class A85, VAR, 0.727%, 02/27/36 (e) | 14,030 | |||||||||
21,914 | Series 2010-2, Class A60, VAR, 5.189%, 01/28/37 (e) | 21,805 | |||||||||
27,139 | Series 2010-3, Class 2A22, VAR, 0.523%, 10/28/36 (e) | 26,461 | |||||||||
Banc of America Alternative Loan Trust, | |||||||||||
475 | Series 2003-1, Class APO, PO, 02/25/33 | 315 | |||||||||
5,417 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 | 5,451 | |||||||||
9,121 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 9,387 | |||||||||
10,728 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 10,965 | |||||||||
10,104 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 | 10,602 | |||||||||
8,332 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 8,747 | |||||||||
1,116 | Series 2003-11, Class PO, PO, 01/25/34 | 774 | |||||||||
3,209 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 3,212 | |||||||||
605 | Series 2004-6, Class 15PO, PO, 07/25/19 | 489 | |||||||||
1,729 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,764 | |||||||||
4,694 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 | 4,861 | |||||||||
1,428 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 | 1,107 | |||||||||
4,721 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 | 705 | |||||||||
Banc of America Funding Corp., | |||||||||||
1,297 | Series 2003-3, Class 1A33, 5.500%, 10/25/33 | 1,323 | |||||||||
1,573 | Series 2004-1, Class PO, PO, 03/25/34 | 1,130 | |||||||||
2,185 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 | 2,187 | |||||||||
11,446 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 11,411 | |||||||||
6,525 | Series 2004-C, Class 1A1, VAR, 5.032%, 12/20/34 | 6,673 | |||||||||
2,418 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 2,259 | |||||||||
2,564 | Series 2005-7, Class 30PO, PO, 11/25/35 | 1,617 | |||||||||
1,084 | Series 2005-8, Class 30PO, PO, 01/25/36 | 681 | |||||||||
4,236 | Series 2005-E, Class 4A1, VAR, 2.959%, 03/20/35 | 4,056 | |||||||||
2,711 | �� | Series 2006-1, Class XPO, PO, 01/25/36 | 1,754 | ||||||||
6,438 | Series 2010-R4, Class 5A1, VAR, 0.412%, 07/26/36 (e) | 6,213 | |||||||||
21,570 | Series 2010-R5, Class 5A6, VAR, 0.562%, 05/26/37 (e) | 21,404 | |||||||||
4,564 | Series 2010-R7, Class A1, VAR, 0.442%, 06/25/46 (e) | 4,437 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
5,842 | Series 2003-3, Class 2A1, VAR, 0.814%, 05/25/18 | 5,558 | |||||||||
1,199 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 | 1,248 | |||||||||
2,778 | Series 2003-6, Class 2A1, VAR, 0.714%, 08/25/18 | 2,678 | |||||||||
361 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 373 | |||||||||
2,283 | Series 2003-8, Class 3A3, 5.500%, 11/25/33 | 2,259 | |||||||||
1,011 | Series 2003-8, Class APO, PO, 11/25/33 | 726 | |||||||||
1,974 | Series 2003-C, Class 3A1, VAR, 3.028%, 04/25/33 | 2,034 | |||||||||
5,359 | Series 2003-E, Class 2A2, VAR, 2.870%, 06/25/33 | 5,014 | |||||||||
540 | Series 2004-1, Class APO, PO, 02/25/34 | 442 | |||||||||
7,285 | Series 2004-3, Class 15IO, IO, VAR, 0.230%, 04/25/19 | 28 | |||||||||
1,436 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 1,439 | |||||||||
386 | Series 2004-4, Class APO, PO, 05/25/34 | 280 | |||||||||
3,664 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 | 3,551 | |||||||||
3,103 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 3,109 | |||||||||
1,180 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 | 1,214 | |||||||||
2,248 | Series 2004-6, Class APO, PO, 07/25/34 | 1,544 | |||||||||
144 | Series 2004-8, Class 5PO, PO, 05/25/32 | 109 | |||||||||
768 | Series 2004-8, Class XPO, PO, 10/25/34 | 622 | |||||||||
2,925 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 3,013 | |||||||||
312 | Series 2004-9, Class 3PO, PO, 09/25/32 | 247 | |||||||||
3,314 | Series 2004-J, Class 3A1, VAR, 5.096%, 11/25/34 | 3,041 | |||||||||
8,334 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 8,243 | |||||||||
BCAP LLC Trust, | |||||||||||
15,476 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 15,321 | |||||||||
24,054 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 24,294 | |||||||||
6,452 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 6,420 | |||||||||
6,912 | Series 2009-RR14, Class 3A2, VAR, 2.918%, 08/26/35 (e) | 6,497 | |||||||||
4,023 | Series 2009-RR14, Class 4A1, VAR, 5.649%, 03/26/36 (e) | 4,001 | |||||||||
8,040 | Series 2010-RR4, Class 2A1, VAR, 1.012%, 06/26/37 (e) | 7,798 | |||||||||
10,000 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 10,050 | |||||||||
13,800 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 13,679 | |||||||||
10,000 | Series 2010-RR6, Class 22A3, VAR, 5.640%, 06/26/36 (e) | 10,000 | |||||||||
7,804 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 7,843 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
19,321 | Series 2010-RR7, Class 15A1, VAR, 1.142%, 01/26/36 (e) | 17,582 | |||||||||
15,468 | Series 2010-RR7, Class 16A1, VAR, 1.086%, 02/26/47 (e) | 14,308 | |||||||||
32,000 | Series 2010-RR7, Class 1A5, VAR, 5.033%, 04/26/35 (e) | 32,160 | |||||||||
53,854 | Series 2010-RR7, Class 2A1, VAR, 5.104%, 07/26/45 (e) | 54,393 | |||||||||
11,020 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 11,255 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | |||||||||||
4,788 | Series 2003-2, Class A5, VAR, 2.791%, 01/25/33 (e) | 4,357 | |||||||||
695 | Series 2003-7, Class 3A, VAR, 3.011%, 10/25/33 | 671 | |||||||||
9,861 | Series 2004-2, Class 14A, VAR, 5.137%, 05/25/34 | 10,306 | |||||||||
19,227 | Series 2005-5, Class A1, VAR, 2.300%, 08/25/35 | 18,223 | |||||||||
13,376 | Series 2006-1, Class A1, VAR, 4.625%, 02/25/36 | 11,948 | |||||||||
Cendant Mortgage Corp., | |||||||||||
1,827 | Series 2003-8, Class 1P, PO, 10/25/33 | 1,112 | |||||||||
575 | Series 2004-1, Class P, PO, 02/25/34 | 358 | |||||||||
Chase Mortgage Finance Corp., | |||||||||||
2,005 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 2,055 | |||||||||
1,117 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 1,150 | |||||||||
3,446 | Series 2003-S9, Class AP, PO, 10/25/18 | 2,861 | |||||||||
6,431 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 6,611 | |||||||||
7,638 | Series 2007-A1, Class 2A1, VAR, 2.894%, 02/25/37 | 7,534 | |||||||||
4,493 | Series 2007-A1, Class 9A1, VAR, 4.315%, 02/25/37 | 4,507 | |||||||||
2,882 | Series 2007-A2, Class 1A1, VAR, 2.901%, 07/25/37 | 2,807 | |||||||||
Citicorp Mortgage Securities, Inc., | |||||||||||
261 | Series 1993-14, Class A3, VAR, 1.464%, 11/25/23 | 253 | |||||||||
3,112 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 3,139 | |||||||||
5,200 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 5,334 | |||||||||
966 | Series 2004-2, Class A1, 5.000%, 03/25/34 | 958 | |||||||||
1,776 | Series 2004-2, Class A2, VAR, 0.714%, 03/25/34 | 1,750 | |||||||||
901 | Series 2004-3, Class A8, 5.250%, 05/25/34 | 901 | |||||||||
1,571 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 1,612 | |||||||||
1,011 | Series 2004-8, Class 1A1, 5.500%, 10/25/34 | 1,010 | |||||||||
5,000 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 | 4,127 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
7,002 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 7,239 | |||||||||
602 | Series 2003-1, Class 2A6, PO, 10/25/33 | 429 | |||||||||
780 | Series 2003-1, Class PO2, PO, 10/25/33 | 493 | |||||||||
743 | Series 2003-1, Class PO3, PO, 09/25/33 | 475 | |||||||||
86 | Series 2003-1, Class WPO1, PO, 06/25/16 | 77 | |||||||||
784 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 799 | |||||||||
3,953 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 4,109 | |||||||||
1,109 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 871 | |||||||||
535 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 427 | |||||||||
4,436 | Series 2004-UST1, Class A6, VAR, 5.081%, 08/25/34 | 4,369 | |||||||||
679 | Series 2005-1, Class 2A1A, VAR, 3.074%, 04/25/35 | 396 | |||||||||
1,981 | Series 2005-5, Class 1A2, VAR, 2.679%, 08/25/35 | 1,083 | |||||||||
4,931 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) | 4,562 | |||||||||
15,662 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 15,701 | |||||||||
7,918 | Series 2010-7, Class 10A1, VAR, 2.866%, 02/25/35 (e) | 7,878 | |||||||||
12,855 | Series 2010-7, Class 4A1, VAR, 1.312%, 09/25/37 (e) | 12,843 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
2,854 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 2,768 | |||||||||
628 | Series 2002-12, Class PO, PO, 11/25/32 | 432 | |||||||||
56 | Series 2002-17, Class A7, 2.500%, 01/25/33 | 55 | |||||||||
4,183 | Series 2002-18, Class M, 6.000%, 02/25/33 | 3,746 | |||||||||
793 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 626 | |||||||||
10,358 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 9,655 | |||||||||
10,000 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 9,990 | |||||||||
2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 | 2,125 | |||||||||
11,437 | Series 2005-1CB, Class 1A6, IF, IO, 6.836%, 03/25/35 | 1,640 | |||||||||
1,524 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 1,570 | |||||||||
20,186 | Series 2005-20CB, Class 3A8, IF, IO, 4.486%, 07/25/35 | 1,869 | |||||||||
620 | Series 2005-26CB, Class A10, IF, 12.572%, 07/25/35 | 634 | |||||||||
7,967 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 | 6,600 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
272 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 259 | |||||||||
378 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 300 | |||||||||
9,300 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 7,485 | |||||||||
40,850 | Series 2005-54CB, Class 1A2, IF, IO, 4.586%, 11/25/35 | 4,411 | |||||||||
434 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 408 | |||||||||
3,324 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 2,029 | |||||||||
26,261 | Series 2005-22T1, Class A2, IF, IO, 4.806%, 06/25/35 | 2,762 | |||||||||
80,044 | Series 2005-37T1, Class A2, IF, IO, 4.786%, 09/25/35 | 9,767 | |||||||||
18,821 | Series 2005-J1, Class 1A4, IF, IO, 4.836%, 02/25/35 | 1,732 | |||||||||
8,000 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 1,943 | |||||||||
1,500 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) | 146 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
563 | Series 2002-18, Class PO, PO, 11/25/32 | 505 | |||||||||
2,894 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 2,913 | |||||||||
5,811 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 5,511 | |||||||||
2,320 | Series 2003-29, Class A1, 5.500%, 08/25/33 | 2,411 | |||||||||
873 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 893 | |||||||||
5,800 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 5,995 | |||||||||
8,508 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 8,519 | |||||||||
1,120 | Series 2003-44, Class A9, PO, 10/25/33 | 945 | |||||||||
3,053 | Series 2003-J7, Class 4A3, IF, 9.432%, 08/25/18 | 3,194 | |||||||||
8,545 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 8,730 | |||||||||
349 | Series 2003-J13, Class PO, PO, 01/25/34 | 213 | |||||||||
436 | Series 2004-7, Class 2A1, VAR, 2.424%, 06/25/34 | 412 | |||||||||
11,621 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 11,845 | |||||||||
796 | Series 2004-HYB1, Class 2A, VAR, 3.297%, 05/20/34 | 671 | |||||||||
3,055 | Series 2004-HYB3, Class 2A, VAR, 2.612%, 06/20/34 | 2,503 | |||||||||
1,977 | Series 2004-HYB6, Class A3, VAR, 3.399%, 11/20/34 | 1,670 | |||||||||
1,605 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 | 1,622 | |||||||||
1,164 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 1,207 | |||||||||
1,223 | Series 2005-14, Class A2, 5.500%, 07/25/35 | 1,229 | |||||||||
1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 897 | |||||||||
7,448 | Series 2005-22, Class 2A1, VAR, 5.021%, 11/25/35 | 5,528 | |||||||||
353 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) | 230 | |||||||||
Credit Suisse Mortgage Capital Certificates, | |||||||||||
14,366 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 14,366 | |||||||||
13,715 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 13,801 | |||||||||
42,947 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 43,108 | |||||||||
4,477 | Series 2010-14R, Class 1A1, VAR, 1.012%, 11/26/37 | 4,475 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
85 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) | 88 | |||||||||
2,275 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 2,037 | |||||||||
5,024 | Series 2003-23, Class 1P, PO, 10/25/33 | 3,286 | |||||||||
4,273 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 | 4,256 | |||||||||
1,823 | Series 2003-23, Class 3A10, 5.750%, 09/25/33 | 1,823 | |||||||||
958 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 | 964 | |||||||||
6,409 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 6,567 | |||||||||
1,542 | Series 2003-AR15, Class 3A1, VAR, 2.748%, 06/25/33 | 1,499 | |||||||||
802 | Series 2004-4, Class 3A5, 5.500%, 08/25/34 | 801 | |||||||||
342 | Series 2004-5, Class 5P, PO, 08/25/19 | 270 | |||||||||
5,024 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 5,022 | |||||||||
1,750 | Series 2005-4, Class 3A24, IF, 18.112%, 06/25/35 | 1,664 | |||||||||
1,226 | Series 2005-9, Class AP, PO, 10/25/35 | 806 | |||||||||
8,243 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 1,308 | |||||||||
620 | Series 2005-10, Class AP, PO, 11/25/35 | 378 | |||||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, | |||||||||||
3,198 | Series 2005-1, Class 2A1, VAR, 5.585%, 02/25/20 | 3,121 | |||||||||
4,261 | Series 2005-3, Class 1A1, VAR, 5.295%, 06/25/20 | 4,060 | |||||||||
Deutsche Mortgage Securities, Inc., | |||||||||||
353 | Series 2004-1, Class 2APO, PO, 10/25/18 | 295 | |||||||||
13,180 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 12,851 | |||||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, | |||||||||||
65 | Series C, Class IO, IO, 10.965%, 04/25/17 | 10 | |||||||||
36 | Series C, Class PO, PO, 04/25/17 | 35 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
First Horizon Alternative Mortgage Securities, | |||||||||||
3,274 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 2,543 | |||||||||
26,740 | Series 2007-FA4, Class 1A2, IF, IO, 5.386%, 08/25/37 | 3,503 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
478 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 496 | |||||||||
4,509 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 4,665 | |||||||||
3,069 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 2,973 | |||||||||
2,670 | Series 2004-AR2, Class 2A1, VAR, 2.884%, 05/25/34 | 2,514 | |||||||||
2,737 | Series 2004-AR7, Class 2A1, VAR, 2.870%, 02/25/35 | 2,683 | |||||||||
798 | Series 2004-AR7, Class 2A2, VAR, 2.870%, 02/25/35 | 739 | |||||||||
7,317 | Series 2005-AR1, Class 2A2, VAR, 2.875%, 04/25/35 | 7,466 | |||||||||
GMAC Mortgage Corp. Loan Trust, | |||||||||||
17,300 | Series 2003-AR1, Class A4, VAR, 3.784%, 10/19/33 | 17,077 | |||||||||
9,906 | Series 2003-AR2, Class 2A4, VAR, 3.684%, 12/19/33 | 9,617 | |||||||||
1,923 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 1,997 | |||||||||
465 | Series 2003-J7, Class A2, 4.500%, 11/25/33 | 465 | |||||||||
952 | Series 2003-J7, Class A3, VAR, 0.714%, 11/25/33 | 946 | |||||||||
12,657 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 12,051 | |||||||||
1,104 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 1,147 | |||||||||
3,322 | Series 2004-J5, Class A2, VAR, 0.664%, 01/25/35 | 3,291 | |||||||||
9,421 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 9,645 | |||||||||
6,530 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 6,720 | |||||||||
2,025 | Series 2005-AR3, Class 3A3, VAR, 3.241%, 06/19/35 | 1,939 | |||||||||
5,000 | Series 2005-AR3, Class 3A4, VAR, 3.241%, 06/19/35 | 3,943 | |||||||||
28,203 | Series 2010-1, Class A, 5.000%, 07/25/40 (e) | 28,742 | |||||||||
GSMPS Mortgage Loan Trust, | |||||||||||
1,477 | Series 2004-4, Class 1AF, VAR, 0.664%, 06/25/34 (e) | 1,200 | |||||||||
2,738 | Series 2005-RP2, Class 1AF, VAR, 0.614%, 03/25/35 (e) | 2,267 | |||||||||
GSR Mortgage Loan Trust, | |||||||||||
1,546 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 | 1,453 | |||||||||
1,167 | Series 2003-6F, Class A2, VAR, 0.664%, 09/25/32 | 1,095 | |||||||||
3,859 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 3,972 | |||||||||
6,619 | Series 2004-9, Class 5A5, VAR, 3.881%, 08/25/34 | 6,758 | |||||||||
543 | Series 2004-10F, Class 1A1, 4.500%, 08/25/19 | 544 | |||||||||
733 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 753 | |||||||||
945 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 639 | |||||||||
247 | Series 2004-15F, Class AP, PO, 12/25/34 | 145 | |||||||||
6,677 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 6,761 | |||||||||
13,743 | Series 2005-5F, Class 8A3, VAR, 0.764%, 06/25/35 | 12,384 | |||||||||
8,910 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 8,050 | |||||||||
588 | Series 2005-AR6, Class 3A1, VAR, 2.845%, 09/25/35 | 530 | |||||||||
4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 | 3,118 | |||||||||
11,000 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 8,338 | |||||||||
817 | Series 2006-2F, Class 2A15, 5.750%, 02/25/36 | 822 | |||||||||
13,000 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 11,993 | |||||||||
Impac Secured Assets CMN Owner Trust, | |||||||||||
2,857 | Series 2003-2, Class A1, 5.500%, 08/25/33 | 2,961 | |||||||||
134 | Series 2004-3, Class 1A4, VAR, 1.064%, 11/25/34 | 118 | |||||||||
15,674 | Series 2006-2, Class 2A1, VAR, 0.614%, 08/25/36 | 13,538 | |||||||||
34,946 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.394%, 08/25/35 | 306 | |||||||||
JP Morgan Mortgage Trust, | |||||||||||
2,779 | Series 2004-A3, Class 4A1, VAR, 4.283%, 07/25/34 | 2,815 | |||||||||
5,560 | Series 2004-A4, Class 1A1, VAR, 4.591%, 09/25/34 | 5,676 | |||||||||
4,598 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 4,770 | |||||||||
7,550 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 7,549 | |||||||||
8,144 | Series 2005-A1, Class 5A1, VAR, 4.479%, 02/25/35 | 8,169 | |||||||||
54,506 | Series 2006-A2, Class 4A1, VAR, 2.932%, 08/25/34 | 52,980 | |||||||||
3,432 | Series 2006-A2, Class 5A3, VAR, 3.284%, 11/25/33 | 3,344 | |||||||||
7,640 | Series 2006-A3, Class 6A1, VAR, 3.011%, 08/25/34 | 6,995 | |||||||||
4,744 | Series 2007-A1, Class 5A1, VAR, 3.322%, 07/25/35 | 4,547 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1,898 | Series 2007-A1, Class 5A2, VAR, 3.322%, 07/25/35 | 1,766 | |||||||||
11,701 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.337%, 08/26/35 (e) | 11,730 | |||||||||
Lehman Mortgage Trust, | |||||||||||
3,440 | Series 2006-2, Class 1A1, VAR, 6.403%, 04/25/36 | 3,198 | |||||||||
2,297 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 1,512 | |||||||||
10,000 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 7,976 | |||||||||
LVII Resecuritization Trust, | |||||||||||
8,619 | Series 2009-2, Class A2, VAR, 3.000%, 09/27/37 (e) | 8,617 | |||||||||
18,500 | Series 2009-2, Class A3, VAR, 3.000%, 09/27/37 (e) | 18,454 | |||||||||
MASTR Adjustable Rate Mortgages Trust, | |||||||||||
1,972 | Series 2004-3, Class 4A2, VAR, 2.322%, 04/25/34 | 1,781 | |||||||||
4,363 | Series 2004-13, Class 2A1, VAR, 2.961%, 04/21/34 | 4,310 | |||||||||
21,006 | Series 2004-13, Class 3A6, VAR, 2.906%, 11/21/34 | 20,883 | |||||||||
788 | Series 2004-15, Class 3A1, VAR, 3.558%, 12/25/34 | 616 | |||||||||
MASTR Alternative Loans Trust, | |||||||||||
6,007 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 | 6,169 | |||||||||
975 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 940 | |||||||||
2,337 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 2,407 | |||||||||
6,921 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 | 7,071 | |||||||||
1,358 | Series 2004-6, Class 30PO, PO, 07/25/34 | 883 | |||||||||
734 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 734 | |||||||||
1,183 | Series 2004-7, Class 30PO, PO, 08/25/34 | 798 | |||||||||
3,691 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 3,789 | |||||||||
1,511 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 1,528 | |||||||||
4,572 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 | 4,113 | |||||||||
MASTR Asset Securitization Trust, | |||||||||||
60 | Series 2003-1, Class 2A12, 5.000%, 06/25/30 | 60 | |||||||||
1,134 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 1,160 | |||||||||
769 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 772 | |||||||||
2,000 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 | 2,080 | |||||||||
672 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 682 | |||||||||
1,502 | Series 2003-9, Class 15PO, PO, 10/25/18 | 1,195 | |||||||||
1,106 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 | 1,142 | |||||||||
950 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 968 | |||||||||
803 | Series 2003-12, Class 30PO, PO, 12/25/33 | 509 | |||||||||
2,296 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 2,353 | |||||||||
534 | Series 2004-1, Class 30PO, PO, 02/25/34 | 337 | |||||||||
403 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 419 | |||||||||
758 | Series 2004-6, Class 15PO, PO, 05/25/19 | 625 | |||||||||
4,141 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 4,257 | |||||||||
673 | Series 2004-8, Class PO, PO, 08/25/19 | 529 | |||||||||
1,811 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 1,757 | |||||||||
832 | Series 2004-10, Class 5A1, VAR, 0.664%, 11/25/34 | 800 | |||||||||
2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 1,944 | |||||||||
MASTR Reperforming Loan Trust, | |||||||||||
22,877 | Series 2005-2, Class 1A1F, VAR, 0.614%, 05/25/35 (e) | 18,703 | |||||||||
2,572 | Series 2006-2, Class 1A1, VAR, 5.635%, 05/25/36 (e) | 2,446 | |||||||||
9,536 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 6,103 | |||||||||
489 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.448%, 05/25/35 | 468 | |||||||||
2,723 | Mellon Residential Funding Corp., Series 2000-TBC3, Class A1, VAR, 0.716%, 12/15/30 | 2,534 | |||||||||
5,934 | Merrill Lynch Mortgage Backed Securities Trust, Series 2007-3, Class 1A3, VAR, 1.626%, 06/25/37 | 5,414 | |||||||||
Merrill Lynch Mortgage Investors, Inc., | |||||||||||
2,896 | Series 2003-A5, Class 2A6, VAR, 2.573%, 08/25/33 | 2,752 | |||||||||
4,843 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 4,895 | |||||||||
8,820 | Series 2005-A2, Class A1, VAR, 2.802%, 02/25/35 | 8,165 | |||||||||
147 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 165 | |||||||||
MLCC Mortgage Investors, Inc., | |||||||||||
3,291 | Series 2003-E, Class A1, VAR, 0.574%, 10/25/28 | 3,039 | |||||||||
5,378 | Series 2004-C, Class A2, VAR, 1.349%, 07/25/29 | 5,156 | |||||||||
3,533 | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A, VAR, 5.452%, 11/25/19 | 3,506 | |||||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,174.130%, 04/20/21 | 37 | ||||||||
2,608 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.584%, 02/25/35 | 1,971 | |||||||||
Nomura Asset Acceptance Corp., | |||||||||||
1,817 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 1,858 | |||||||||
750 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 783 | |||||||||
152 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 158 | |||||||||
103 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 105 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1,603 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 1,584 | |||||||||
Paine Webber CMO Trust, | |||||||||||
9 | Series H, Class 4, 8.750%, 04/01/18 | 10 | |||||||||
30 | Series P, Class 4, 8.500%, 08/01/19 | 33 | |||||||||
Prime Mortgage Trust, | |||||||||||
5,652 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 5,864 | |||||||||
69 | Series 2004-R1, Class A4, PO, 07/27/33 | 51 | |||||||||
RBSSP Resecuritization Trust, | |||||||||||
7,413 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 7,561 | |||||||||
8,532 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 8,452 | |||||||||
8,515 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) | 8,555 | |||||||||
9,350 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 9,378 | |||||||||
23,310 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 23,051 | |||||||||
10,836 | Series 2009-12, Class 3A1, VAR, 0.504%, 12/25/35 (e) | 10,213 | |||||||||
5,257 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 5,242 | |||||||||
4,021 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 3,987 | |||||||||
10,529 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 10,713 | |||||||||
11,000 | Series 2010-9, Class 1A1, VAR, 0.449%, 07/26/37 (e) | 9,419 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
2,368 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 2,423 | |||||||||
4,165 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 | 4,162 | |||||||||
1,059 | Series 2002-QS16, Class A3, IF, 16.071%, 10/25/17 | 1,178 | |||||||||
2,946 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 2,598 | |||||||||
1,817 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 1,581 | |||||||||
1,032 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 1,043 | |||||||||
1,928 | Series 2003-QS3, Class A2, IF, 15.920%, 02/25/18 | 2,150 | |||||||||
2,058 | Series 2003-QS3, Class A8, IF, IO, 7.336%, 02/25/18 | 250 | |||||||||
5,306 | Series 2003-QS9, Class A3, IF, IO, 7.286%, 05/25/18 | 772 | |||||||||
2,846 | Series 2003-QS12, Class A2A, IF, IO, 7.336%, 06/25/18 | 429 | |||||||||
866 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 120 | |||||||||
6,938 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 7,024 | |||||||||
7,342 | Series 2003-QS15, Class A7, 5.500%, 08/25/33 | 7,479 | |||||||||
2,061 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 2,094 | |||||||||
14,646 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 14,797 | |||||||||
10,746 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 9,219 | |||||||||
1,284 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 1,262 | |||||||||
3,000 | Series 2005-QA6, Class A32, VAR, 5.558%, 05/25/35 | 2,025 | |||||||||
600 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 391 | |||||||||
Residential Asset Securitization Trust, | |||||||||||
4,677 | Series 2003-A8, Class A5, 4.250%, 10/25/18 | 4,414 | |||||||||
2,028 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 1,710 | |||||||||
243 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 247 | |||||||||
23,791 | Series 2005-A2, Class A4, IF, IO, 4.786%, 03/25/35 | 2,630 | |||||||||
922 | Series 2005-A11, Class PO, PO, 10/25/35 | 636 | |||||||||
3,105 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,929 | |||||||||
Residential Funding Mortgage Securities I, | |||||||||||
2,526 | Series 2003-S7, Class A17, 4.000%, 05/25/33 | 2,509 | |||||||||
526 | Series 2003-S12, Class 4A5, 4.500%, 12/25/32 | 525 | |||||||||
1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,601 | |||||||||
909 | Series 2003-S14, Class A4, PO, 07/25/18 | 883 | |||||||||
2,707 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 2,771 | |||||||||
3,757 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 3,847 | |||||||||
460 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 413 | |||||||||
2,222 | Series 2005-SA4, Class 1A1, VAR, 3.241%, 09/25/35 | 1,752 | |||||||||
194 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 | 164 | |||||||||
Salomon Brothers Mortgage Securities VII, Inc., | |||||||||||
10,199 | Series 2003-HYB1, Class A, VAR, 3.677%, 09/25/33 | 9,968 | |||||||||
405 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 340 | |||||||||
Sequoia Mortgage Trust, | |||||||||||
3,191 | Series 2004-8, Class A1, VAR, 0.616%, 09/20/34 | 2,790 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
4,988 | Series 2004-8, Class A2, VAR, 0.938%, 09/20/34 | 4,684 | |||||||||
1,508 | Series 2004-10, Class A1A, VAR, 0.576%, 11/20/34 | 1,409 | |||||||||
60,000 | Station Place Securitization Trust, Series 2009-1, Class A, VAR, 1.764%, 01/25/40 (e) | 60,131 | |||||||||
4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 4,085 | |||||||||
Structured Asset Securities Corp., | |||||||||||
140 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 101 | |||||||||
1,429 | Series 2002-17, Class B1, VAR, 6.097%, 09/25/32 | 1,297 | |||||||||
1,714 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 1,647 | |||||||||
9,009 | Series 2003-16, Class A3, VAR, 0.764%, 06/25/33 | 8,230 | |||||||||
1,186 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 1,208 | |||||||||
7,768 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 | 7,967 | |||||||||
1,586 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 | 1,636 | |||||||||
3,716 | Series 2003-30, Class 3A2, VAR, 0.764%, 10/25/33 | 3,492 | |||||||||
1,413 | Series 2003-31A, Class B1, VAR, 2.855%, 10/25/33 | 529 | |||||||||
1,484 | Series 2003-32, Class 1A1, VAR, 5.129%, 11/25/33 | 1,501 | |||||||||
9,793 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 9,793 | |||||||||
11,787 | Series 2003-37A, Class 2A, VAR, 4.997%, 12/25/33 | 12,047 | |||||||||
17,500 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 17,896 | |||||||||
6,615 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 | 6,614 | |||||||||
4,369 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 4,298 | |||||||||
3,893 | Series 2005-6, Class 5A8, IF, 13.372%, 05/25/35 | 3,902 | |||||||||
2,163 | Series 2005-RF3, Class 1A, VAR, 0.614%, 06/25/35 (e) | 1,781 | |||||||||
3,154 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.584%, 09/25/43 | 2,891 | |||||||||
WaMu Mortgage Pass-Through Certificates, | |||||||||||
5,128 | Series 2003-AR7, Class A7, VAR, 2.675%, 08/25/33 | 4,932 | |||||||||
26,021 | Series 2003-AR9, Class 1A6, VAR, 2.766%, 09/25/33 | 25,913 | |||||||||
4,568 | Series 2003-AR9, Class 2A, VAR, 2.801%, 09/25/33 | 4,566 | |||||||||
2,405 | Series 2003-S4, Class 2A10, VAR, 16.737%, 06/25/33 | 2,512 | |||||||||
6,402 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 6,568 | |||||||||
1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 | 1,961 | |||||||||
1,891 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,915 | |||||||||
20,113 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 19,576 | |||||||||
868 | Series 2003-S9, Class P, PO, 10/25/33 | 549 | |||||||||
1,393 | Series 2003-S10, Class A2, 5.000%, 10/25/18 | 1,444 | |||||||||
1,090 | Series 2003-S10, Class A6, PO, 10/25/18 | 1,075 | |||||||||
10,479 | Series 2003-S11, Class 2A5, IF, 16.325%, 11/25/33 | 10,657 | |||||||||
3,321 | Series 2003-S13, Class 23A1, VAR, 0.814%, 12/25/18 | 3,134 | |||||||||
6,691 | Series 2004-AR3, Class A1, VAR, 2.708%, 06/25/34 | 6,336 | |||||||||
8,598 | Series 2004-AR3, Class A2, VAR, 2.708%, 06/25/34 | 8,418 | |||||||||
3,563 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 3,711 | |||||||||
3,747 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 3,877 | |||||||||
1,372 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 | 1,177 | |||||||||
2,467 | Series 2004-S1, Class 1A3, VAR, 0.664%, 03/25/34 | 2,407 | |||||||||
9,582 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 9,936 | |||||||||
99 | Series 2004-S3, Class 2A3, IF, 18.112%, 07/25/34 | 100 | |||||||||
2,000 | Series 2006-AR8, Class 1A2, VAR, 5.758%, 08/25/46 | 1,276 | |||||||||
708 | Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36 | 400 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | |||||||||||
7,051 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 6,493 | |||||||||
501 | Series 2005-1, Class CP, PO, 03/25/35 | 322 | |||||||||
27,500 | Series 2005-2, Class 1A4, IF, IO, 4.786%, 04/25/35 | 2,883 | |||||||||
7,462 | Series 2005-2, Class 2A3, IF, IO, 4.736%, 04/25/35 | 757 | |||||||||
7,903 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 6,554 | |||||||||
8,930 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 | 1,587 | |||||||||
2,328 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,995 | |||||||||
1,009 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 | 811 | |||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | |||||||||||
95 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 98 | |||||||||
1,565 | Series 2003-MS5, Class 1A4, VAR, 0.764%, 03/25/18 | 1,506 | |||||||||
181 | Series 2003-MS7, Class P, PO, 03/25/33 | 145 | |||||||||
Wells Fargo Alternative Loan Trust, | |||||||||||
472 | Series 2003-1, Class APO, PO, 09/25/33 | 327 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1,383 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 | 894 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust, | |||||||||||
3,914 | Series 2003-3, Class 2A1, 5.250%, 04/25/33 | 3,988 | |||||||||
1,109 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 1,134 | |||||||||
3,360 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 3,396 | |||||||||
1,073 | Series 2003-11, Class 1APO, PO, 10/25/18 | 872 | |||||||||
3,320 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 3,396 | |||||||||
19,099 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 19,793 | |||||||||
437 | Series 2003-15, Class APO, PO, 12/25/18 | 339 | |||||||||
1,261 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 1,293 | |||||||||
1,810 | Series 2003-J, Class 2A5, VAR, 4.427%, 10/25/33 | 1,831 | |||||||||
21,902 | Series 2003-K, Class 1A1, VAR, 4.471%, 11/25/33 | 21,512 | |||||||||
839 | Series 2003-K, Class 1A2, VAR, 4.471%, 11/25/33 | 824 | |||||||||
1,710 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 1,771 | |||||||||
2,006 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 2,087 | |||||||||
2,297 | Series 2004-8, Class APO, PO, 08/25/19 | 1,786 | |||||||||
7,091 | Series 2004-B, Class A1, VAR, 4.901%, 02/25/34 | 7,216 | |||||||||
4,204 | Series 2004-BB, Class A4, VAR, 2.897%, 01/25/35 | 4,170 | |||||||||
5,250 | Series 2004-E, Class A8, VAR, 4.852%, 05/25/34 | 5,265 | |||||||||
9,788 | Series 2004-EE, Class 2A1, VAR, 2.898%, 12/25/34 | 9,425 | |||||||||
6,659 | Series 2004-EE, Class 2A2, VAR, 2.898%, 12/25/34 | 6,473 | |||||||||
9,446 | Series 2004-EE, Class 3A1, VAR, 3.100%, 12/25/34 | 9,181 | |||||||||
3,084 | Series 2004-EE, Class 3A2, VAR, 3.100%, 12/25/34 | 2,965 | |||||||||
11,397 | Series 2004-I, Class 1A1, VAR, 3.210%, 07/25/34 | 11,180 | |||||||||
11,050 | Series 2004-P, Class 2A1, VAR, 2.914%, 09/25/34 | 10,827 | |||||||||
6,622 | Series 2004-V, Class 1A1, VAR, 2.914%, 10/25/34 | 6,486 | |||||||||
8,495 | Series 2004-V, Class 1A2, VAR, 2.914%, 10/25/34 | 8,416 | |||||||||
8,277 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 8,595 | |||||||||
1,347 | Series 2005-14, Class 2APO, PO, 12/25/35 | 894 | |||||||||
5,827 | Series 2005-AR8, Class 2A1, VAR, 2.957%, 06/25/35 | 5,831 | |||||||||
101 | Series 2006-5, Class 1A1, 5.250%, 04/25/36 | 100 | |||||||||
1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,334 | |||||||||
11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 | 10,898 | |||||||||
9,775 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 8,179 | |||||||||
2,312,389 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $6,230,419) | 6,585,058 | ||||||||||
Commercial Mortgage-Backed Securities — 1.2% | |||||||||||
Banc of America Commercial Mortgage, Inc., | |||||||||||
5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 5,247 | |||||||||
10,625 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 9,655 | |||||||||
2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 2,724 | |||||||||
9,700 | Series 2005-6, Class ASB, VAR, 5.350%, 09/10/47 | 10,432 | |||||||||
2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 3,134 | |||||||||
7,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 7,449 | |||||||||
11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 12,308 | |||||||||
9,500 | Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.698%, 06/24/50 (e) | 10,382 | |||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
4,150 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 | 4,359 | |||||||||
8,560 | Series 2006-PW11, Class A4, VAR, 5.623%, 03/11/39 | 9,409 | |||||||||
1,329 | Series 2006-PW14, Class A1, 5.044%, 12/11/38 | 1,356 | |||||||||
2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 2,954 | |||||||||
1,860 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.919%, 03/15/49 | 1,886 | |||||||||
4,700 | Commercial Mortgage Asset Trust, Series 1999-C1, Class D, VAR, 7.350%, 01/17/32 | 5,160 | |||||||||
6,300 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 | 6,847 | |||||||||
2,150 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.846%, 03/15/39 | 2,269 | |||||||||
16,695 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 17,194 | |||||||||
9,471 | First Union National Bank Commercial Mortgage, Series 2000-C2, Class B, VAR, 7.281%, 10/15/32 | 9,462 | |||||||||
GMAC Commercial Mortgage Securities, Inc., | |||||||||||
445 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 452 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Commercial Mortgage-Backed Securities — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
14,000 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 15,004 | |||||||||
GS Mortgage Securities Corp. II, | |||||||||||
7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 7,826 | |||||||||
5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 5,253 | |||||||||
1,600 | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4, 5.399%, 05/15/45 | 1,717 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
5,000 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 5,391 | |||||||||
1,470 | Series 2006-C4, Class A4, VAR, 6.080%, 06/15/38 | 1,610 | |||||||||
Merrill Lynch Mortgage Trust, | |||||||||||
2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 2,745 | |||||||||
6,704 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 | 7,039 | |||||||||
2,200 | Series 2006-C1, Class A4, VAR, 5.838%, 05/12/39 | 2,361 | |||||||||
4,950 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR, 5.594%, 02/12/39 | 5,460 | |||||||||
Morgan Stanley Capital I, | |||||||||||
904 | Series 2006-IQ12, Class A1, 5.257%, 12/15/43 | 917 | |||||||||
392 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 398 | |||||||||
25 | Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 | 26 | |||||||||
27,950 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.044%, 08/15/39 | 31,166 | |||||||||
9,197 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 | 9,250 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $194,720) | 218,842 | ||||||||||
Corporate Bonds — 12.4% | |||||||||||
Consumer Discretionary — 0.9% | |||||||||||
Automobiles — 0.0% (g) | |||||||||||
3,600 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 3,875 | |||||||||
Broadcasting & Cable TV — 0.1% | |||||||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., | |||||||||||
5,600 | 4.600%, 02/15/21 | 5,717 | |||||||||
12,465 | 6.000%, 08/15/40 | 13,119 | |||||||||
18,836 | |||||||||||
Hotels, Restaurants & Leisure — 0.0% (g) | |||||||||||
2,025 | McDonald’s Corp., 4.300%, 03/01/13 | 2,194 | |||||||||
Household Durables — 0.0% (g) | |||||||||||
3,000 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 3,144 | |||||||||
Media — 0.7% | |||||||||||
CBS Corp., | |||||||||||
1,426 | 5.750%, 04/15/20 | 1,584 | |||||||||
3,025 | 7.875%, 07/30/30 | 3,703 | |||||||||
Comcast Cable Communications Holdings, Inc., | |||||||||||
6,417 | 8.375%, 03/15/13 | 7,456 | |||||||||
5,250 | 9.455%, 11/15/22 | 7,379 | |||||||||
2,200 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 2,524 | |||||||||
Comcast Cable Holdings LLC, | |||||||||||
7,039 | 9.800%, 02/01/12 | 7,853 | |||||||||
1,800 | 10.125%, 04/15/22 | 2,623 | |||||||||
Comcast Corp., | |||||||||||
2,574 | 5.500%, 03/15/11 | 2,638 | |||||||||
1,300 | 5.900%, 03/15/16 | 1,502 | |||||||||
1,000 | 6.500%, 01/15/17 | 1,185 | |||||||||
Cox Communications, Inc., | |||||||||||
2,600 | 5.450%, 12/15/14 | 2,930 | |||||||||
1,740 | 7.750%, 11/01/10 | 1,759 | |||||||||
2,650 | Cox Enterprises, Inc., 7.375%, 07/15/27 (e) | 3,172 | |||||||||
3,365 | Historic TW, Inc., 9.150%, 02/01/23 | 4,633 | |||||||||
News America Holdings, Inc., | |||||||||||
1,100 | 8.000%, 10/17/16 | 1,388 | |||||||||
1,050 | 8.875%, 04/26/23 | 1,448 | |||||||||
News America, Inc., | |||||||||||
2,500 | 6.200%, 12/15/34 | 2,736 | |||||||||
1,500 | 6.900%, 08/15/39 | 1,798 | |||||||||
1,965 | 7.250%, 05/18/18 | 2,420 | |||||||||
4,400 | 7.300%, 04/30/28 | 5,087 | |||||||||
1,337 | TCI Communications, Inc., 7.125%, 02/15/28 | 1,564 | |||||||||
Thomson Reuters Corp., (Canada), | |||||||||||
2,150 | 4.700%, 10/15/19 | 2,380 | |||||||||
1,125 | 5.950%, 07/15/13 | 1,265 | |||||||||
Time Warner Cable, Inc., | |||||||||||
1,700 | 5.850%, 05/01/17 | 1,939 | |||||||||
4,550 | 6.750%, 07/01/18 | 5,431 | |||||||||
2,000 | 6.750%, 06/15/39 | 2,348 | |||||||||
2,450 | 7.300%, 07/01/38 | 3,027 | |||||||||
1,590 | 8.250%, 02/14/14 | 1,899 | |||||||||
2,150 | 8.250%, 04/01/19 | 2,758 | |||||||||
785 | 8.750%, 02/14/19 | 1,029 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Media — Continued | |||||||||||
Time Warner Entertainment Co. LP, | |||||||||||
2,020 | 8.375%, 03/15/23 | 2,643 | |||||||||
6,500 | 8.375%, 07/15/33 | 8,539 | |||||||||
2,165 | 10.150%, 05/01/12 | 2,465 | |||||||||
Time Warner, Inc., | |||||||||||
3,125 | 6.200%, 03/15/40 | 3,440 | |||||||||
3,825 | 7.625%, 04/15/31 | 4,768 | |||||||||
255 | 7.700%, 05/01/32 | 321 | |||||||||
3,190 | Viacom, Inc., 6.250%, 04/30/16 | 3,718 | |||||||||
115,352 | |||||||||||
Multiline Retail — 0.0% (g) | |||||||||||
1,000 | Kohl’s Corp., 6.250%, 12/15/17 | 1,190 | |||||||||
Target Corp., | |||||||||||
2,100 | 6.000%, 01/15/18 | 2,539 | |||||||||
1,900 | 7.000%, 01/15/38 | 2,488 | |||||||||
6,217 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
4,600 | Home Depot, Inc., 5.400%, 03/01/16 | 5,183 | |||||||||
3,500 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 4,602 | |||||||||
1,775 | Staples, Inc., 9.750%, 01/15/14 | 2,203 | |||||||||
11,988 | |||||||||||
Total Consumer Discretionary | 161,606 | ||||||||||
Consumer Staples — 0.6% | |||||||||||
Beverages — 0.2% | |||||||||||
Anheuser-Busch Cos., Inc., | |||||||||||
1,000 | 5.500%, 01/15/18 | 1,128 | |||||||||
1,100 | 5.750%, 04/01/36 | 1,196 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., | |||||||||||
800 | 7.200%, 01/15/14 (e) | 932 | |||||||||
7,050 | 7.750%, 01/15/19 (e) | 9,030 | |||||||||
Coca-Cola Co. (The), | |||||||||||
1,550 | 3.625%, 03/15/14 | 1,680 | |||||||||
1,550 | 4.875%, 03/15/19 | 1,789 | |||||||||
1,650 | Coca-Cola Enterprises, Inc., 8.500%, 02/01/12 | 1,816 | |||||||||
2,780 | Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20 | 3,154 | |||||||||
Diageo Finance B.V., (Netherlands), | |||||||||||
2,150 | 5.300%, 10/28/15 | 2,457 | |||||||||
3,600 | 5.500%, 04/01/13 | 3,978 | |||||||||
3,975 | FBG Finance Ltd., (Australia), 5.125%, 06/15/15 (e) | 4,387 | |||||||||
1,075 | PepsiCo, Inc., 7.900%, 11/01/18 | 1,438 | |||||||||
SABMiller plc, (United Kingdom), | |||||||||||
1,900 | 5.500%, 08/15/13 (e) | 2,090 | |||||||||
850 | 6.500%, 07/01/16 (e) | 1,021 | |||||||||
36,096 | |||||||||||
Food & Staples Retailing — 0.1% | |||||||||||
2,000 | CVS/Caremark Corp., 6.125%, 09/15/39 | 2,246 | |||||||||
Kroger Co. (The), | |||||||||||
924 | 5.400%, 07/15/40 | 975 | |||||||||
2,225 | 7.500%, 01/15/14 | 2,633 | |||||||||
Wal-Mart Stores, Inc., | |||||||||||
1,820 | 4.550%, 05/01/13 | 1,994 | |||||||||
1,200 | 5.250%, 09/01/35 | 1,315 | |||||||||
1,050 | 6.200%, 04/15/38 | 1,294 | |||||||||
700 | 7.550%, 02/15/30 | 968 | |||||||||
11,425 | |||||||||||
Food Products — 0.3% | |||||||||||
Bunge Ltd. Finance Corp., | |||||||||||
2,125 | 5.875%, 05/15/13 | 2,280 | |||||||||
4,760 | 8.500%, 06/15/19 | 5,756 | |||||||||
605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 647 | |||||||||
Cargill, Inc., | |||||||||||
1,650 | 5.200%, 01/22/13 (e) | 1,792 | |||||||||
900 | 6.375%, 06/01/12 (e) | 976 | |||||||||
2,850 | 7.350%, 03/06/19 (e) | 3,615 | |||||||||
1,270 | General Mills, Inc., 6.000%, 02/15/12 | 1,361 | |||||||||
Kellogg Co., | |||||||||||
1,500 | 4.250%, 03/06/13 | 1,611 | |||||||||
2,600 | 5.125%, 12/03/12 | 2,830 | |||||||||
Kraft Foods, Inc., | |||||||||||
5,888 | 5.375%, 02/10/20 | 6,543 | |||||||||
4,250 | 6.125%, 02/01/18 | 4,972 | |||||||||
2,000 | 6.125%, 08/23/18 | 2,348 | |||||||||
8,705 | 6.500%, 08/11/17 | 10,393 | |||||||||
1,000 | 6.750%, 02/19/14 | 1,160 | |||||||||
1,600 | 6.875%, 02/01/38 | 1,973 | |||||||||
2,700 | 6.875%, 01/26/39 | 3,344 | |||||||||
51,601 | |||||||||||
Household Products — 0.0% (g) | |||||||||||
500 | Kimberly-Clark Corp., 7.500%, 11/01/18 | 661 | |||||||||
2,328 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 3,078 | |||||||||
1,000 | Procter & Gamble Co., 5.500%, 02/01/34 (c) | 1,173 | |||||||||
4,912 | |||||||||||
Total Consumer Staples | 104,034 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Energy — 0.7% | |||||||||||
Energy Equipment & Services — 0.1% | |||||||||||
Halliburton Co., | |||||||||||
750 | 6.150%, 09/15/19 | 888 | |||||||||
5,050 | 7.450%, 09/15/39 | 6,799 | |||||||||
7,687 | |||||||||||
Oil, Gas & Consumable Fuels — 0.6% | |||||||||||
455 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 | 560 | |||||||||
Anadarko Petroleum Corp., | |||||||||||
405 | 5.750%, 06/15/14 | 411 | |||||||||
8,500 | 7.625%, 03/15/14 (c) | 9,138 | |||||||||
1,100 | 8.700%, 03/15/19 (c) | 1,210 | |||||||||
BP Capital Markets plc, (United Kingdom), | |||||||||||
1,380 | 3.125%, 03/10/12 | 1,382 | |||||||||
9,100 | 5.250%, 11/07/13 | 9,445 | |||||||||
Canadian Natural Resources Ltd., (Canada), | |||||||||||
400 | 5.900%, 02/01/18 | 465 | |||||||||
2,000 | 6.750%, 02/01/39 | 2,480 | |||||||||
2,495 | Cenovus Energy, Inc., (Canada), 5.700%, 10/15/19 | 2,887 | |||||||||
6,500 | Chevron Corp., 4.950%, 03/03/19 | 7,508 | |||||||||
1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 1,363 | |||||||||
ConocoPhillips, | |||||||||||
1,500 | 5.200%, 05/15/18 | 1,714 | |||||||||
2,000 | 5.750%, 02/01/19 | 2,388 | |||||||||
1,450 | 6.000%, 01/15/20 | 1,763 | |||||||||
1,450 | 6.500%, 02/01/39 | 1,849 | |||||||||
900 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 957 | |||||||||
2,750 | EnCana Corp., (Canada), 6.500%, 05/15/19 (c) | 3,350 | |||||||||
1,800 | EOG Resources, Inc., 6.875%, 10/01/18 | 2,256 | |||||||||
1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 | 1,327 | |||||||||
1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 | 1,245 | |||||||||
1,980 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 | 2,188 | |||||||||
Marathon Oil Corp., | |||||||||||
3,100 | 5.900%, 03/15/18 | 3,581 | |||||||||
2,800 | 6.000%, 10/01/17 | 3,247 | |||||||||
1,150 | PC Financial Partnership, 5.000%, 11/15/14 | 1,262 | |||||||||
�� | Petro-Canada, (Canada), | ||||||||||
2,549 | 6.050%, 05/15/18 | 2,971 | |||||||||
3,200 | 6.800%, 05/15/38 | 3,848 | |||||||||
2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 | 2,104 | |||||||||
Shell International Finance B.V., (Netherlands), | |||||||||||
2,330 | 1.875%, 03/25/13 | 2,378 | |||||||||
994 | 3.100%, 06/28/15 | 1,041 | |||||||||
2,330 | 4.000%, 03/21/14 | 2,526 | |||||||||
3,000 | 4.300%, 09/22/19 | 3,253 | |||||||||
8,580 | 4.375%, 03/25/20 | 9,405 | |||||||||
6,000 | 6.375%, 12/15/38 | 7,624 | |||||||||
2,950 | Statoil ASA, (Norway), 3.125%, 08/17/17 | 3,045 | |||||||||
Suncor Energy, Inc., (Canada), | |||||||||||
1,900 | 6.100%, 06/01/18 | 2,218 | |||||||||
900 | 6.850%, 06/01/39 | 1,092 | |||||||||
475 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 599 | |||||||||
300 | Tosco Corp., 7.800%, 01/01/27 | 391 | |||||||||
XTO Energy, Inc., | |||||||||||
3,000 | 4.625%, 06/15/13 | 3,299 | |||||||||
2,800 | 5.750%, 12/15/13 | 3,211 | |||||||||
112,981 | |||||||||||
Total Energy | 120,668 | ||||||||||
Financials — 6.9% | |||||||||||
Capital Markets — 1.6% | |||||||||||
Bank of New York Mellon Corp. (The), | |||||||||||
8,000 | 2.950%, 06/18/15 | 8,369 | |||||||||
3,750 | 4.600%, 01/15/20 (c) | 4,152 | |||||||||
1,000 | 5.125%, 08/27/13 | 1,112 | |||||||||
BlackRock, Inc., | |||||||||||
3,245 | 3.500%, 12/10/14 | 3,438 | |||||||||
9,294 | 5.000%, 12/10/19 | 10,248 | |||||||||
1,600 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 1,767 | |||||||||
Credit Suisse USA, Inc., | |||||||||||
1,200 | 4.875%, 01/15/15 | 1,315 | |||||||||
1,803 | 5.125%, 01/15/14 | 1,959 | |||||||||
15,099 | 6.125%, 11/15/11 | 16,013 | |||||||||
2,500 | FMR LLC, 6.450%, 11/15/39 (e) | 2,657 | |||||||||
2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 | 1,952 | |||||||||
1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) | 1,123 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
7,300 | 3.700%, 08/01/15 | 7,390 | |||||||||
2,694 | 4.750%, 07/15/13 | 2,862 | |||||||||
3,185 | 5.150%, 01/15/14 | 3,418 | |||||||||
3,810 | 5.250%, 10/15/13 | 4,123 | |||||||||
4,201 | 5.375%, 03/15/20 | 4,336 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
10 | 5.700%, 09/01/12 | 11 | |||||||||
12,900 | 5.950%, 01/18/18 | 13,966 | |||||||||
1,875 | 6.000%, 06/15/20 | 2,020 | |||||||||
650 | 6.150%, 04/01/18 | 710 | |||||||||
7,470 | 6.250%, 09/01/17 | 8,289 | |||||||||
9,056 | 6.600%, 01/15/12 | 9,675 | |||||||||
1,600 | 6.750%, 10/01/37 | 1,634 | |||||||||
6,716 | 6.875%, 01/15/11 (c) | 6,868 | |||||||||
15,080 | 7.500%, 02/15/19 | 17,586 | |||||||||
Jefferies Group, Inc., | |||||||||||
2,750 | 5.500%, 03/15/16 | 2,916 | |||||||||
5,600 | 6.450%, 06/08/27 | 5,634 | |||||||||
2,825 | 8.500%, 07/15/19 | 3,277 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
151 | 3.950%, 11/10/09 (d) | 32 | |||||||||
3,480 | 4.800%, 03/13/14 (d) | 731 | |||||||||
800 | 5.750%, 05/17/13 (d) | 168 | |||||||||
3,000 | 6.000%, 07/19/12 (d) | 630 | |||||||||
3,962 | 6.625%, 01/18/12 (d) | 832 | |||||||||
450 | 6.750%, 12/28/17 (d) | — | (h) | ||||||||
219 | 7.875%, 11/01/09 (d) | 46 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
700 | 5.000%, 01/15/15 | 741 | |||||||||
3,723 | 5.450%, 07/15/14 | 3,987 | |||||||||
1,000 | 5.700%, 05/02/17 | 1,041 | |||||||||
275 | 6.050%, 08/15/12 | 295 | |||||||||
6,654 | 6.150%, 04/25/13 | 7,252 | |||||||||
7,987 | 6.400%, 08/28/17 | 8,612 | |||||||||
6,348 | 6.875%, 04/25/18 | 6,986 | |||||||||
Morgan Stanley, | |||||||||||
6,626 | 4.000%, 07/24/15 | 6,657 | |||||||||
4,263 | 4.200%, 11/20/14 | 4,390 | |||||||||
2,711 | 4.750%, 04/01/14 | 2,792 | |||||||||
1,000 | 5.300%, 03/01/13 | 1,069 | |||||||||
7,503 | 5.500%, 07/24/20 | 7,559 | |||||||||
8,050 | 5.625%, 09/23/19 | 8,192 | |||||||||
1,300 | 5.750%, 08/31/12 | 1,389 | |||||||||
5,800 | 6.000%, 05/13/14 | 6,321 | |||||||||
3,294 | 6.000%, 04/28/15 | 3,591 | |||||||||
1,070 | 6.250%, 08/28/17 | 1,165 | |||||||||
8,078 | 6.600%, 04/01/12 | 8,668 | |||||||||
4,425 | 6.625%, 04/01/18 | 4,863 | |||||||||
12,306 | 6.750%, 04/15/11 | 12,762 | |||||||||
2,000 | 7.300%, 05/13/19 | 2,273 | |||||||||
Nomura Holdings, Inc., (Japan), | |||||||||||
828 | 5.000%, 03/04/15 | 889 | |||||||||
6,114 | 6.700%, 03/04/20 | 6,982 | |||||||||
887 | Northern Trust Corp., 5.500%, 08/15/13 | 995 | |||||||||
1,250 | State Street Corp., 4.300%, 05/30/14 | 1,372 | |||||||||
UBS AG, (Switzerland), | |||||||||||
2,927 | 2.250%, 08/12/13 | 2,941 | |||||||||
13,050 | �� | 3.875%, 01/15/15 | 13,485 | ||||||||
2,000 | 4.875%, 08/04/20 | 2,080 | |||||||||
2,400 | 5.750%, 04/25/18 | 2,695 | |||||||||
1,025 | 5.875%, 12/20/17 | 1,157 | |||||||||
284,460 | |||||||||||
Commercial Banks — 2.0% | |||||||||||
2,930 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 2,969 | |||||||||
3,441 | Bank of Nova Scotia, (Canada), 3.400%, 01/22/15 | 3,660 | |||||||||
4,367 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 4,649 | |||||||||
Barclays Bank plc, (United Kingdom), | |||||||||||
9,400 | 2.500%, 01/23/13 | 9,571 | |||||||||
3,858 | 3.900%, 04/07/15 (c) | 4,037 | |||||||||
1,100 | 5.000%, 09/22/16 | 1,194 | |||||||||
4,500 | 5.125%, 01/08/20 | 4,784 | |||||||||
5,500 | 5.200%, 07/10/14 | 6,050 | |||||||||
3,700 | 6.050%, 12/04/17 (e) | 3,983 | |||||||||
500 | 6.750%, 05/22/19 | 591 | |||||||||
BB&T Corp., | |||||||||||
2,350 | 3.375%, 09/25/13 | 2,461 | |||||||||
10,800 | 3.850%, 07/27/12 | 11,313 | |||||||||
6,250 | 3.950%, 04/29/16 | 6,562 | |||||||||
2,750 | 4.900%, 06/30/17 | 2,912 | |||||||||
1,650 | 6.850%, 04/30/19 | 2,007 | |||||||||
Branch Banking & Trust Co., | |||||||||||
598 | 4.875%, 01/15/13 | 637 | |||||||||
4,650 | 5.625%, 09/15/16 | 5,262 | |||||||||
1,500 | Cadets Trust, 4.800%, 07/15/13 (e) | 1,538 | |||||||||
37,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 38,203 | |||||||||
1,250 | Comerica Bank, 5.200%, 08/22/17 | 1,324 | |||||||||
Credit Suisse, (Switzerland), | |||||||||||
2,700 | 3.450%, 07/02/12 | 2,796 | |||||||||
3,290 | 4.375%, 08/05/20 | 3,308 | |||||||||
2,995 | 5.000%, 05/15/13 | 3,241 | |||||||||
6,300 | 5.300%, 08/13/19 | 6,922 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
2,000 | 5.500%, 05/01/14 | 2,214 | |||||||||
3,520 | Deutsche Bank AG, (Germany), 3.875%, 08/18/14 | 3,751 | |||||||||
1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 | 1,509 | |||||||||
HSBC Bank plc, (United Kingdom), | |||||||||||
4,624 | 3.500%, 06/28/15 (e) | 4,821 | |||||||||
5,961 | 4.125%, 08/12/20 (e) | 6,052 | |||||||||
6,805 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 7,264 | |||||||||
3,150 | KeyBank N.A., 5.500%, 09/17/12 | 3,358 | |||||||||
1,650 | KeyCorp, 6.500%, 05/14/13 | 1,807 | |||||||||
4,500 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 5,196 | |||||||||
2,750 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | �� | 2,799 | ||||||||
National Australia Bank Ltd., (Australia), | |||||||||||
18,650 | 2.500%, 01/08/13 (e) | 18,945 | |||||||||
3,455 | 3.750%, 03/02/15 (e) | 3,639 | |||||||||
4,000 | National City Bank, 5.800%, 06/07/17 | 4,393 | |||||||||
2,000 | PNC Bank N.A., 6.875%, 04/01/18 | 2,328 | |||||||||
PNC Funding Corp., | |||||||||||
1,015 | 3.000%, 05/19/14 | 1,043 | |||||||||
4,534 | 4.375%, 08/11/20 | 4,602 | |||||||||
5,700 | 5.125%, 02/08/20 | 6,151 | |||||||||
2,400 | 5.250%, 11/15/15 | 2,613 | |||||||||
2,100 | 6.700%, 06/10/19 | 2,500 | |||||||||
12,700 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 13,138 | |||||||||
1,200 | Regions Financial Corp., 7.375%, 12/10/37 | 1,113 | |||||||||
2,450 | SouthTrust Bank, 7.690%, 05/15/25 | 2,976 | |||||||||
SunTrust Banks, Inc., | |||||||||||
4,015 | 5.250%, 11/05/12 | 4,249 | |||||||||
1,000 | 6.000%, 09/11/17 | 1,097 | |||||||||
2,021 | 6.375%, 04/01/11 | 2,080 | |||||||||
505 | 7.250%, 03/15/18 | 572 | |||||||||
9,045 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 9,214 | |||||||||
U.S. Bancorp, | |||||||||||
4,680 | 2.000%, 06/14/13 | 4,790 | |||||||||
4,299 | 2.875%, 11/20/14 | 4,486 | |||||||||
1,400 | 7.500%, 06/01/26 | 1,646 | |||||||||
690 | U.S. Bank N.A., 6.375%, 08/01/11 | 726 | |||||||||
Wachovia Bank N.A., | |||||||||||
3,500 | 5.000%, 08/15/15 | 3,772 | |||||||||
10,890 | 6.000%, 11/15/17 | 12,289 | |||||||||
2,700 | 6.600%, 01/15/38 | 3,060 | |||||||||
4,430 | VAR, 0.867%, 03/15/16 | 4,046 | |||||||||
Wachovia Corp., | |||||||||||
2,130 | 4.875%, 02/15/14 | 2,265 | |||||||||
8,400 | 5.500%, 05/01/13 | 9,222 | |||||||||
3,050 | 5.750%, 06/15/17 | 3,424 | |||||||||
11,100 | 5.750%, 02/01/18 | 12,541 | |||||||||
Wells Fargo & Co., | |||||||||||
16,700 | 3.750%, 10/01/14 | 17,601 | |||||||||
8,185 | 5.625%, 12/11/17 | 9,243 | |||||||||
Wells Fargo Bank N.A., | |||||||||||
970 | 4.750%, 02/09/15 | 1,029 | |||||||||
2,000 | 5.750%, 05/16/16 | 2,234 | |||||||||
319 | 6.450%, 02/01/11 | 326 | |||||||||
Westpac Banking Corp., (Australia), | |||||||||||
4,800 | 4.200%, 02/27/15 | 5,131 | |||||||||
10,711 | 4.875%, 11/19/19 | 11,402 | |||||||||
358,631 | |||||||||||
Consumer Finance — 0.3% | |||||||||||
American Express Credit Corp., | |||||||||||
4,100 | 5.875%, 05/02/13 | 4,509 | |||||||||
5,650 | 7.300%, 08/20/13 | 6,473 | |||||||||
1,479 | American General Finance Corp., 5.375%, 10/01/12 | 1,346 | |||||||||
2,060 | American Honda Finance Corp., 2.375%, 03/18/13 (e) | 2,104 | |||||||||
517 | Capital One Bank USA N.A., 5.750%, 09/15/10 | 518 | |||||||||
Capital One Financial Corp., | |||||||||||
1,175 | 5.700%, 09/15/11 | 1,223 | |||||||||
3,105 | 6.250%, 11/15/13 | 3,451 | |||||||||
5,300 | 6.750%, 09/15/17 | 6,285 | |||||||||
2,970 | 7.375%, 05/23/14 | 3,460 | |||||||||
HSBC Finance Corp., | |||||||||||
311 | 4.750%, 07/15/13 | 329 | |||||||||
2,000 | 5.000%, 06/30/15 | 2,157 | |||||||||
1,600 | 5.250%, 01/15/14 | 1,713 | |||||||||
200 | 5.500%, 01/19/16 | 219 | |||||||||
2,251 | 6.375%, 10/15/11 | 2,378 | |||||||||
1,078 | 6.375%, 11/27/12 | 1,174 | |||||||||
4,500 | 7.000%, 05/15/12 | 4,859 | |||||||||
308 | 7.350%, 11/27/32 | 340 | |||||||||
1,700 | VAR, 0.776%, 01/15/14 | 1,611 | |||||||||
John Deere Capital Corp., | |||||||||||
450 | 4.500%, 04/03/13 | 487 | |||||||||
4,750 | 5.250%, 10/01/12 | 5,145 | |||||||||
2,437 | SLM Corp., 5.375%, 01/15/13 | 2,390 | |||||||||
5,538 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 5,849 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Consumer Finance — Continued | |||||||||||
2,002 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 2,006 | |||||||||
1,750 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 1,817 | |||||||||
61,843 | |||||||||||
Diversified Financial Services — 1.9% | |||||||||||
9,250 | Associates Corp. of North America, 6.950%, 11/01/18 | 10,248 | |||||||||
18,700 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 19,778 | |||||||||
Bank of America Corp., | |||||||||||
2,035 | 3.700%, 09/01/15 | 2,031 | |||||||||
4,633 | 4.500%, 04/01/15 | 4,801 | |||||||||
5,500 | 4.900%, 05/01/13 | 5,835 | |||||||||
1,000 | 5.625%, 10/14/16 | 1,066 | |||||||||
6,730 | 5.625%, 07/01/20 | 6,933 | |||||||||
3,305 | 5.650%, 05/01/18 | 3,435 | |||||||||
5,000 | 6.500%, 08/01/16 | 5,586 | |||||||||
3,000 | 7.375%, 05/15/14 | 3,425 | |||||||||
3,079 | 7.400%, 01/15/11 | 3,153 | |||||||||
7,420 | Bank of America N.A., 5.300%, 03/15/17 | 7,600 | |||||||||
BHP Billiton Finance USA Ltd., (Australia), | |||||||||||
1,600 | 5.400%, 03/29/17 | 1,812 | |||||||||
1,150 | 5.500%, 04/01/14 | 1,294 | |||||||||
2,750 | 6.500%, 04/01/19 | 3,339 | |||||||||
5,500 | BP Capital Markets plc, (United Kingdom), 3.875%, 03/10/15 (c) | 5,448 | |||||||||
2,750 | Capital One Bank USA N.A., 8.800%, 07/15/19 | 3,483 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
1,850 | 4.850%, 12/07/12 | 2,003 | |||||||||
1,900 | 4.900%, 08/15/13 | 2,091 | |||||||||
1,000 | 5.450%, 04/15/18 | 1,159 | |||||||||
900 | 5.500%, 03/15/16 | 1,047 | |||||||||
4,800 | 6.200%, 09/30/13 | 5,500 | |||||||||
3,500 | 7.050%, 10/01/18 | 4,424 | |||||||||
600 | 7.150%, 02/15/19 | 773 | |||||||||
Citigroup, Inc., | |||||||||||
1,500 | 4.700%, 05/29/15 | 1,538 | |||||||||
3,400 | 4.750%, 05/19/15 | 3,503 | |||||||||
3,929 | 5.375%, 08/09/20 | 3,965 | |||||||||
2,400 | 5.500%, 04/11/13 | 2,548 | |||||||||
6,000 | 5.500%, 10/15/14 | 6,390 | |||||||||
1,000 | 5.500%, 02/15/17 | 1,027 | |||||||||
5,286 | 5.625%, 08/27/12 | 5,543 | |||||||||
3,100 | 6.000%, 12/13/13 | 3,345 | |||||||||
13,500 | 6.000%, 08/15/17 | 14,468 | |||||||||
5,350 | 6.125%, 11/21/17 | 5,782 | |||||||||
3,675 | 6.375%, 08/12/14 | 4,021 | |||||||||
2,850 | 8.125%, 07/15/39 | 3,547 | |||||||||
5,375 | 8.500%, 05/22/19 | 6,572 | |||||||||
CME Group, Inc., | |||||||||||
7,200 | 5.400%, 08/01/13 | 8,040 | |||||||||
700 | 5.750%, 02/15/14 | 793 | |||||||||
1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 | 1,443 | |||||||||
400 | Diageo Investment Corp., 9.000%, 08/15/11 | 431 | |||||||||
General Electric Capital Corp., | |||||||||||
7,675 | 3.500%, 06/29/15 | 7,948 | |||||||||
16,000 | 5.250%, 10/19/12 | 17,229 | |||||||||
1,500 | 5.400%, 02/15/17 | 1,638 | |||||||||
2,000 | 5.500%, 06/04/14 | 2,221 | |||||||||
10,250 | 5.500%, 01/08/20 (c) | 11,217 | |||||||||
7,400 | 5.625%, 09/15/17 | 8,174 | |||||||||
18,000 | 5.625%, 05/01/18 | 19,846 | |||||||||
26,603 | 5.875%, 02/15/12 | 28,359 | |||||||||
1,900 | 5.875%, 01/14/38 | 1,954 | |||||||||
4,700 | 5.900%, 05/13/14 | 5,314 | |||||||||
24,792 | 6.000%, 06/15/12 | 26,796 | |||||||||
5,300 | 6.000%, 08/07/19 | 5,957 | |||||||||
4,941 | 6.750%, 03/15/32 | 5,586 | |||||||||
900 | 6.875%, 01/10/39 | 1,053 | |||||||||
2,625 | VAR, 0.648%, 04/10/12 | 2,608 | |||||||||
International Lease Finance Corp., | |||||||||||
987 | 5.875%, 05/01/13 | 940 | |||||||||
4,000 | 6.375%, 03/25/13 | 3,865 | |||||||||
National Rural Utilities Cooperative Finance Corp., | |||||||||||
530 | 2.625%, 09/16/12 | 547 | |||||||||
3,550 | 4.750%, 03/01/14 | 3,949 | |||||||||
2,155 | 10.375%, 11/01/18 | 3,098 | |||||||||
2,400 | Textron Financial Corp., 5.400%, 04/28/13 | 2,512 | |||||||||
340,031 | |||||||||||
Insurance — 0.9% | |||||||||||
2,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 2,262 | |||||||||
2,118 | Aflac, Inc., 6.450%, 08/15/40 | 2,223 | |||||||||
5,000 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 5,520 | |||||||||
American International Group, Inc., | |||||||||||
3,284 | 4.250%, 05/15/13 | 3,288 | |||||||||
2,800 | 5.450%, 05/18/17 | 2,688 | |||||||||
1,425 | 5.600%, 10/18/16 | 1,384 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Insurance — Continued | |||||||||||
5,641 | ASIF Global Financing XIX, 4.900%, 01/17/13 (e) | 5,754 | |||||||||
Berkshire Hathaway Finance Corp., | |||||||||||
3,500 | 4.000%, 04/15/12 | 3,681 | |||||||||
3,800 | 4.600%, 05/15/13 | 4,146 | |||||||||
750 | 5.000%, 08/15/13 | 833 | |||||||||
6,200 | 5.400%, 05/15/18 | 7,108 | |||||||||
1,300 | 5.750%, 01/15/40 | 1,465 | |||||||||
1,130 | Chubb Corp. (The), 5.750%, 05/15/18 | 1,304 | |||||||||
5,063 | CNA Financial Corp., 5.875%, 08/15/20 | 5,096 | |||||||||
4,800 | Genworth Global Funding Trusts, 5.200%, 10/08/10 | 4,819 | |||||||||
Jackson National Life Global Funding, | |||||||||||
3,400 | 5.375%, 05/08/13 (e) | 3,662 | |||||||||
4,115 | 6.125%, 05/30/12 (e) | 4,406 | |||||||||
2,980 | Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) | 3,125 | |||||||||
MassMutual Global Funding II, | |||||||||||
1,628 | 2.875%, 04/21/14 (e) | 1,705 | |||||||||
5,150 | 3.625%, 07/16/12 (e) | 5,376 | |||||||||
815 | MetLife, Inc., 6.817%, 08/15/18 | 971 | |||||||||
Metropolitan Life Global Funding I, | |||||||||||
9,335 | 2.500%, 01/11/13 (e) | 9,541 | |||||||||
8,000 | 2.875%, 09/17/12 (e) | 8,211 | |||||||||
3,000 | 5.125%, 04/10/13 (e) | 3,268 | |||||||||
2,497 | 5.200%, 09/18/13 (e) | 2,741 | |||||||||
1,450 | 5.750%, 07/25/11 (e) | 1,505 | |||||||||
1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 1,082 | |||||||||
Nationwide Financial Services, | |||||||||||
1,130 | 5.900%, 07/01/12 | 1,198 | |||||||||
1,661 | 6.250%, 11/15/11 | 1,731 | |||||||||
New York Life Global Funding, | |||||||||||
3,000 | 3.000%, 05/04/15 (e) | 3,119 | |||||||||
5,910 | 4.650%, 05/09/13 (e) | 6,405 | |||||||||
5,914 | 5.375%, 09/15/13 (e) | 6,530 | |||||||||
Pacific Life Global Funding, | |||||||||||
4,000 | 5.000%, 05/15/17 (e) | 4,230 | |||||||||
2,500 | 5.150%, 04/15/13 (e) | 2,689 | |||||||||
6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 7,116 | |||||||||
Principal Life Global Funding I, | |||||||||||
1,600 | 5.050%, 03/15/15 (e) | 1,670 | |||||||||
11,236 | 6.250%, 02/15/12 (e) | 11,920 | |||||||||
Principal Life Income Funding Trusts, | |||||||||||
5,900 | 5.100%, 04/15/14 | 6,413 | |||||||||
1,750 | 5.150%, 06/17/11 | 1,812 | |||||||||
1,475 | 5.300%, 12/14/12 | 1,588 | |||||||||
2,900 | 5.300%, 04/24/13 | 3,143 | |||||||||
4,955 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 5,048 | |||||||||
1,070 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 1,218 | |||||||||
3,200 | Travelers Life & Annuity Global Funding I, 5.125%, 08/15/14 (e) | 3,535 | |||||||||
890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 966 | |||||||||
167,495 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
3,890 | CommonWealth REIT, 6.650%, 01/15/18 | 4,171 | |||||||||
Simon Property Group LP, | |||||||||||
450 | 4.200%, 02/01/15 | 481 | |||||||||
1,300 | 4.375%, 03/01/21 | 1,313 | |||||||||
1,775 | 5.625%, 08/15/14 | 2,020 | |||||||||
1,100 | 5.650%, 02/01/20 | 1,232 | |||||||||
2,120 | 6.100%, 05/01/16 | 2,450 | |||||||||
2,000 | 6.125%, 05/30/18 | 2,321 | |||||||||
1,645 | 6.750%, 05/15/14 | 1,904 | |||||||||
6,277 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 7,344 | |||||||||
23,236 | |||||||||||
Thrifts & Mortgage Finance — 0.1% | |||||||||||
4,000 | Countrywide Financial Corp., 6.250%, 05/15/16 | 4,289 | |||||||||
6,270 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 6,384 | |||||||||
10,673 | |||||||||||
Total Financials | 1,246,369 | ||||||||||
Health Care — 0.2% | |||||||||||
Biotechnology — 0.1% | |||||||||||
Amgen, Inc., | |||||||||||
1,188 | 4.500%, 03/15/20 | 1,324 | |||||||||
1,975 | 5.700%, 02/01/19 | 2,380 | |||||||||
3,541 | 5.750%, 03/15/40 | 4,157 | |||||||||
7,861 | |||||||||||
Health Care Equipment & Supplies — 0.0% (g) | |||||||||||
Baxter International, Inc., | |||||||||||
1,150 | 4.000%, 03/01/14 | 1,256 | |||||||||
500 | 4.625%, 03/15/15 | 559 | |||||||||
700 | Becton Dickinson and Co., 5.000%, 05/15/19 | 805 | |||||||||
2,620 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Health Care Providers & Services — 0.0% (g) | |||||||||||
WellPoint, Inc., | |||||||||||
492 | 5.875%, 06/15/17 | 567 | |||||||||
340 | 7.000%, 02/15/19 | 415 | |||||||||
982 | |||||||||||
Pharmaceuticals — 0.1% | |||||||||||
350 | Abbott Laboratories, 6.150%, 11/30/37 | 433 | |||||||||
3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 | 3,666 | |||||||||
1,095 | Eli Lilly & Co., 3.550%, 03/06/12 | 1,140 | |||||||||
GlaxoSmithKline Capital, Inc., | |||||||||||
1,000 | 4.375%, 04/15/14 | 1,106 | |||||||||
3,100 | 4.850%, 05/15/13 | 3,405 | |||||||||
2,100 | 6.375%, 05/15/38 | 2,665 | |||||||||
1,040 | Merck & Co., Inc., 6.000%, 09/15/17 | 1,265 | |||||||||
790 | Wyeth, 6.450%, 02/01/24 | 1,006 | |||||||||
14,686 | |||||||||||
Total Health Care | 26,149 | ||||||||||
Industrials — 0.4% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
Boeing Co. (The), | |||||||||||
250 | 3.500%, 02/15/15 | 270 | |||||||||
500 | 4.875%, 02/15/20 | 570 | |||||||||
1,500 | Honeywell International, Inc., 5.300%, 03/01/18 | 1,763 | |||||||||
Lockheed Martin Corp., | |||||||||||
1,000 | 4.250%, 11/15/19 | 1,094 | |||||||||
3,993 | 5.720%, 06/01/40 (e) | 4,663 | |||||||||
Northrop Grumman Systems Corp., | |||||||||||
2,700 | 7.125%, 02/15/11 | 2,777 | |||||||||
1,100 | 7.750%, 03/01/16 | 1,395 | |||||||||
679 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 705 | |||||||||
5 | United Technologies Corp., 6.100%, 05/15/12 | 5 | |||||||||
13,242 | |||||||||||
Airlines — 0.0% (g) | |||||||||||
573 | Continental Airlines, 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20 | 592 | |||||||||
1,000 | Continental Airlines, 2002-2 Class A-2 Pass-Through Trust, 7.487%, 10/02/10 | 1,004 | |||||||||
1,596 | |||||||||||
Building Products — 0.0% (g) | |||||||||||
800 | Masco Corp., 5.850%, 03/15/17 | 777 | |||||||||
Commercial Services & Supplies — 0.1% | |||||||||||
2,850 | Allied Waste North America, Inc., 6.875%, 06/01/17 | 3,146 | |||||||||
Waste Management, Inc., | |||||||||||
1,885 | 4.750%, 06/30/20 | 2,018 | |||||||||
1,365 | 7.375%, 03/11/19 | 1,710 | |||||||||
6,874 | |||||||||||
Industrial Conglomerates — 0.0% (g) | |||||||||||
1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) | 1,571 | |||||||||
2,650 | Tyco International Finance S.A., (Luxembourg), 8.500%, 01/15/19 | 3,540 | |||||||||
5,111 | |||||||||||
Machinery — 0.0% (g) | |||||||||||
2,650 | Eaton Corp., 5.600%, 05/15/18 | 3,094 | |||||||||
775 | Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 | 862 | |||||||||
350 | PACCAR, Inc., 6.375%, 02/15/12 | 376 | |||||||||
775 | Parker Hannifin Corp., 5.500%, 05/15/18 | 909 | |||||||||
5,241 | |||||||||||
Road & Rail — 0.2% | |||||||||||
Burlington Northern Santa Fe LLC, | |||||||||||
3,660 | 5.650%, 05/01/17 | 4,214 | |||||||||
1,675 | 5.750%, 03/15/18 | 1,952 | |||||||||
600 | 6.700%, 08/01/28 | 722 | |||||||||
700 | 6.750%, 07/15/11 | 737 | |||||||||
1,300 | 7.000%, 02/01/14 | 1,523 | |||||||||
2,223 | 7.125%, 12/15/10 | 2,265 | |||||||||
1,300 | 7.290%, 06/01/36 | 1,683 | |||||||||
CSX Corp., | |||||||||||
1,700 | 6.250%, 04/01/15 | 1,989 | |||||||||
850 | 6.300%, 03/15/12 | 910 | |||||||||
700 | 7.375%, 02/01/19 | 884 | |||||||||
400 | Erac USA Finance Co., 6.375%, 10/15/17 (e) | 464 | |||||||||
2,718 | Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 | 3,000 | |||||||||
Norfolk Southern Corp., | |||||||||||
299 | 5.590%, 05/17/25 | 333 | |||||||||
871 | 5.640%, 05/17/29 | 969 | |||||||||
2,500 | 6.750%, 02/15/11 | 2,562 | |||||||||
326 | 7.250%, 02/15/31 | 417 | |||||||||
135 | 7.700%, 05/15/17 | 172 | |||||||||
34 | 7.800%, 05/15/27 | 46 | |||||||||
2,690 | Ryder System, Inc., 3.600%, 03/01/16 | 2,721 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Road & Rail — Continued | |||||||||||
Union Pacific Corp., | |||||||||||
175 | 4.875%, 01/15/15 | 194 | |||||||||
1,800 | 5.650%, 05/01/17 | 2,091 | |||||||||
1,700 | 5.700%, 08/15/18 | 1,983 | |||||||||
1,000 | 5.780%, 07/15/40 (e) | 1,142 | |||||||||
3,000 | 7.000%, 02/01/16 | 3,656 | |||||||||
United Parcel Service of America, Inc., | |||||||||||
2,350 | 8.375%, 04/01/20 | 3,348 | |||||||||
600 | SUB, 8.375%, 04/01/30 | 851 | |||||||||
40,828 | |||||||||||
Total Industrials | 73,669 | ||||||||||
Information Technology — 0.4% | |||||||||||
Communications Equipment — 0.1% | |||||||||||
Cisco Systems, Inc., | |||||||||||
1,500 | 5.500%, 02/22/16 | 1,769 | |||||||||
2,360 | 5.500%, 01/15/40 | 2,639 | |||||||||
4,990 | 5.900%, 02/15/39 | 5,854 | |||||||||
10,262 | |||||||||||
Computers & Peripherals — 0.2% | |||||||||||
Dell, Inc., | |||||||||||
570 | 5.650%, 04/15/18 | 653 | |||||||||
1,900 | 7.100%, 04/15/28 | 2,341 | |||||||||
Hewlett-Packard Co., | |||||||||||
650 | 2.950%, 08/15/12 | 676 | |||||||||
1,000 | 4.500%, 03/01/13 | 1,084 | |||||||||
1,900 | 4.750%, 06/02/14 | 2,130 | |||||||||
2,525 | 5.400%, 03/01/17 | 2,952 | |||||||||
4,400 | 6.125%, 03/01/14 | 5,089 | |||||||||
International Business Machines Corp., | |||||||||||
3,950 | 5.700%, 09/14/17 | 4,732 | |||||||||
660 | 6.220%, 08/01/27 | 800 | |||||||||
4,500 | 7.625%, 10/15/18 | 6,016 | |||||||||
450 | 8.000%, 10/15/38 | 676 | |||||||||
27,149 | |||||||||||
Electronic Equipment, Instruments & Components — 0.0% (g) | |||||||||||
Arrow Electronics, Inc., | |||||||||||
1,200 | 6.000%, 04/01/20 | 1,297 | |||||||||
5,270 | 6.875%, 07/01/13 | 5,871 | |||||||||
7,168 | |||||||||||
IT Services — 0.0% (g) | |||||||||||
2,950 | Electronic Data Systems LLC, 6.000%, 08/01/13 | 3,349 | |||||||||
2,420 | HP Enterprise Services LLC, 7.450%, 10/15/29 | 3,275 | |||||||||
6,624 | |||||||||||
Office Electronics — 0.0% (g) | |||||||||||
Xerox Corp., | |||||||||||
3,200 | 6.750%, 02/01/17 | 3,743 | |||||||||
310 | 8.250%, 05/15/14 | 371 | |||||||||
4,114 | |||||||||||
Software — 0.1% | |||||||||||
850 | Intuit, Inc., 5.750%, 03/15/17 | 961 | |||||||||
Oracle Corp., | |||||||||||
5,300 | 5.000%, 07/08/19 | 6,096 | |||||||||
2,320 | 5.250%, 01/15/16 | 2,692 | |||||||||
3,400 | 5.750%, 04/15/18 | 4,068 | |||||||||
1,950 | 6.500%, 04/15/38 | 2,458 | |||||||||
16,275 | |||||||||||
Total Information Technology | 71,592 | ||||||||||
Materials — 0.2% | |||||||||||
Chemicals — 0.2% | |||||||||||
850 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 900 | |||||||||
Dow Chemical Co. (The), | |||||||||||
1,670 | 4.850%, 08/15/12 | 1,762 | |||||||||
650 | 6.000%, 10/01/12 | 705 | |||||||||
1,776 | 6.125%, 02/01/11 | 1,804 | |||||||||
1,345 | 7.375%, 11/01/29 | 1,544 | |||||||||
EI Du Pont de Nemours & Co., | |||||||||||
125 | 4.125%, 03/06/13 | 133 | |||||||||
500 | 4.875%, 04/30/14 | 559 | |||||||||
3,800 | 6.000%, 07/15/18 | 4,589 | |||||||||
3,750 | Monsanto Co., 7.375%, 08/15/12 | 4,186 | |||||||||
1,450 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 | 1,571 | |||||||||
PPG Industries, Inc., | |||||||||||
2,150 | 5.750%, 03/15/13 | 2,359 | |||||||||
2,100 | 9.000%, 05/01/21 | 2,786 | |||||||||
Praxair, Inc., | |||||||||||
850 | 4.375%, 03/31/14 | 933 | |||||||||
1,900 | 4.625%, 03/30/15 | 2,129 | |||||||||
480 | 5.200%, 03/15/17 | 542 | |||||||||
1,295 | 5.250%, 11/15/14 | 1,484 | |||||||||
27,986 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Metals & Mining — 0.0% (g) | |||||||||||
Rio Tinto Finance USA Ltd., (Australia), | |||||||||||
3,400 | 5.875%, 07/15/13 | 3,785 | |||||||||
1,585 | 8.950%, 05/01/14 | 1,944 | |||||||||
5,729 | |||||||||||
Total Materials | 33,715 | ||||||||||
Telecommunication Services — 1.0% | |||||||||||
Diversified Telecommunication Services — 0.9% | |||||||||||
7,950 | AT&T Corp., 8.000%, 11/15/31 | 10,896 | |||||||||
AT&T, Inc., | |||||||||||
8,300 | 4.950%, 01/15/13 | 9,043 | |||||||||
1,120 | 5.100%, 09/15/14 | 1,259 | |||||||||
2,925 | 5.500%, 02/01/18 | 3,376 | |||||||||
1,300 | 5.600%, 05/15/18 | 1,508 | |||||||||
2,295 | 5.625%, 06/15/16 | 2,660 | |||||||||
7,200 | 6.300%, 01/15/38 | 8,250 | |||||||||
1,330 | BellSouth Corp., 5.200%, 09/15/14 | 1,497 | |||||||||
BellSouth Telecommunications, Inc., | |||||||||||
1,828 | 6.300%, 12/15/15 (c) | 1,997 | |||||||||
1,200 | 7.000%, 10/01/25 | 1,405 | |||||||||
British Telecommunications plc, (United Kingdom), | |||||||||||
5,000 | 5.150%, 01/15/13 | 5,302 | |||||||||
2,800 | 5.950%, 01/15/18 | 3,067 | |||||||||
8,236 | 9.375%, 12/15/10 | 8,419 | |||||||||
300 | 9.875%, 12/15/30 | 412 | |||||||||
Deutsche Telekom International Finance BV, (Netherlands), | |||||||||||
4,200 | 4.875%, 07/08/14 | 4,613 | |||||||||
785 | 5.250%, 07/22/13 | 858 | |||||||||
2,025 | 6.000%, 07/08/19 (c) | 2,382 | |||||||||
200 | 8.750%, 06/15/30 | 281 | |||||||||
France Telecom S.A., (France), | |||||||||||
7,133 | 7.750%, 03/01/11 | 7,382 | |||||||||
1,000 | 8.500%, 03/01/31 | 1,455 | |||||||||
GTE Corp., | |||||||||||
17,200 | 6.840%, 04/15/18 | 20,555 | |||||||||
1,000 | 8.750%, 11/01/21 | 1,356 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), | |||||||||||
4,360 | 4.950%, 09/30/14 | 4,583 | |||||||||
2,300 | 5.250%, 11/15/13 | 2,445 | |||||||||
1,350 | 6.175%, 06/18/14 | 1,480 | |||||||||
2,125 | 6.999%, 06/04/18 | 2,404 | |||||||||
Telefonica Emisiones S.A.U., (Spain), | |||||||||||
4,000 | 5.855%, 02/04/13 | 4,352 | |||||||||
1,500 | 5.877%, 07/15/19 | 1,701 | |||||||||
1,000 | Telefonica Europe B.V., (Netherlands), 7.750%, 09/15/10 | 1,002 | |||||||||
1,839 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 1,933 | |||||||||
Verizon Communications, Inc., | |||||||||||
2,175 | 5.500%, 02/15/18 | 2,486 | |||||||||
250 | 5.550%, 02/15/16 | 288 | |||||||||
1,443 | 5.850%, 09/15/35 | 1,574 | |||||||||
4,400 | 7.350%, 04/01/39 | 5,732 | |||||||||
1,500 | 8.750%, 11/01/18 | 2,022 | |||||||||
6,498 | Verizon Florida LLC, 6.125%, 01/15/13 | 7,093 | |||||||||
7,600 | Verizon Global Funding Corp., 7.750%, 12/01/30 | 9,911 | |||||||||
Verizon Maryland, Inc., | |||||||||||
2,363 | 6.125%, 03/01/12 | 2,519 | |||||||||
3,100 | 7.150%, 05/01/23 | 3,295 | |||||||||
900 | Verizon New England, Inc., 4.750%, 10/01/13 | 972 | |||||||||
880 | Verizon New York, Inc., 7.375%, 04/01/32 | 1,046 | |||||||||
5,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 6,107 | |||||||||
2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 | 2,969 | |||||||||
163,887 | |||||||||||
Wireless Telecommunication Services — 0.1% | |||||||||||
1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,697 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
6,983 | 7.875%, 03/01/11 | 7,235 | |||||||||
1,215 | 8.750%, 03/01/31 | 1,768 | |||||||||
Vodafone Group plc, (United Kingdom), | |||||||||||
5,125 | 5.000%, 09/15/15 | 5,691 | |||||||||
753 | 5.450%, 06/10/19 | 856 | |||||||||
17,247 | |||||||||||
Total Telecommunication Services | 181,134 | ||||||||||
Utilities — 1.1% | |||||||||||
Electric Utilities — 0.8% | |||||||||||
Alabama Power Co., | |||||||||||
711 | 4.700%, 12/01/10 | 718 | |||||||||
700 | 6.125%, 05/15/38 | 843 | |||||||||
1,110 | Arizona Public Service Co., 4.650%, 05/15/15 | 1,193 | |||||||||
Carolina Power & Light Co., | |||||||||||
2,177 | 5.125%, 09/15/13 | 2,417 | |||||||||
2,000 | 5.300%, 01/15/19 | 2,333 | |||||||||
CenterPoint Energy Houston Electric LLC, | |||||||||||
3,100 | 5.750%, 01/15/14 | 3,521 | |||||||||
725 | 7.000%, 03/01/14 | 859 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Electric Utilities — Continued | |||||||||||
3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 | 4,343 | |||||||||
1,550 | Columbus Southern Power Co., 6.050%, 05/01/18 | 1,850 | |||||||||
925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 | 1,072 | |||||||||
3,078 | Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40 | 3,512 | |||||||||
Duke Energy Carolinas LLC, | |||||||||||
1,991 | 4.300%, 06/15/20 | 2,204 | |||||||||
1,400 | 5.100%, 04/15/18 | 1,611 | |||||||||
1,795 | 5.625%, 11/30/12 | 1,967 | |||||||||
1,816 | 6.250%, 01/15/12 | 1,949 | |||||||||
1,875 | Duke Energy Corp., 3.950%, 09/15/14 | 2,009 | |||||||||
Duke Energy Indiana, Inc., | |||||||||||
2,260 | 3.750%, 07/15/20 | 2,378 | |||||||||
3,100 | 6.350%, 08/15/38 | 3,900 | |||||||||
4,600 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 4,750 | |||||||||
Florida Power & Light Co., | |||||||||||
500 | 5.950%, 10/01/33 | 593 | |||||||||
1,000 | 5.950%, 02/01/38 | 1,208 | |||||||||
Florida Power Corp., | |||||||||||
500 | 4.800%, 03/01/13 | 540 | |||||||||
1,125 | 5.650%, 06/15/18 | 1,337 | |||||||||
700 | 6.400%, 06/15/38 | 879 | |||||||||
FPL Group Capital, Inc., | |||||||||||
900 | 5.350%, 06/15/13 | 987 | |||||||||
1,200 | 6.000%, 03/01/19 (c) | 1,408 | |||||||||
1,600 | 7.875%, 12/15/15 | 1,993 | |||||||||
Georgia Power Co., | |||||||||||
1,423 | 4.750%, 09/01/40 | 1,417 | |||||||||
400 | 5.950%, 02/01/39 | 473 | |||||||||
1,100 | 6.000%, 11/01/13 | 1,254 | |||||||||
1,085 | Indiana Michigan Power Co., 7.000%, 03/15/19 | 1,333 | |||||||||
300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 | 374 | |||||||||
264 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) | 269 | |||||||||
700 | MidAmerican Energy Co., 5.300%, 03/15/18 | 809 | |||||||||
1,625 | Midamerican Energy Holdings Co., 5.750%, 04/01/18 | 1,881 | |||||||||
Nevada Power Co., | |||||||||||
950 | 6.500%, 08/01/18 | 1,143 | |||||||||
1,825 | 7.125%, 03/15/19 | 2,252 | |||||||||
1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 1,792 | |||||||||
Nisource Finance Corp., | |||||||||||
2,560 | 6.150%, 03/01/13 | 2,809 | |||||||||
325 | 7.875%, 11/15/10 | 329 | |||||||||
7,850 | 10.750%, 03/15/16 | 10,286 | |||||||||
2,500 | Northern States Power Co., 6.250%, 06/01/36 | 3,125 | |||||||||
2,400 | Ohio Power Co., 5.750%, 09/01/13 | 2,675 | |||||||||
Oncor Electric Delivery Co. LLC, | |||||||||||
820 | 5.950%, 09/01/13 | 914 | |||||||||
3,000 | 6.800%, 09/01/18 | 3,643 | |||||||||
Pacific Gas & Electric Co., | |||||||||||
1,980 | 5.625%, 11/30/17 | 2,305 | |||||||||
750 | 8.250%, 10/15/18 | 990 | |||||||||
PacifiCorp, | |||||||||||
250 | 5.500%, 01/15/19 | 294 | |||||||||
1,000 | 5.650%, 07/15/18 | 1,186 | |||||||||
125 | 6.900%, 11/15/11 | 134 | |||||||||
900 | Peco Energy Co., 5.350%, 03/01/18 | 1,042 | |||||||||
1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 | 1,686 | |||||||||
730 | Progress Energy, Inc., 6.050%, 03/15/14 | 829 | |||||||||
PSEG Power LLC, | |||||||||||
2,411 | 5.125%, 04/15/20 | 2,610 | |||||||||
2,190 | 5.500%, 12/01/15 | 2,466 | |||||||||
1,255 | 8.625%, 04/15/31 | 1,748 | |||||||||
275 | Public Service Co. of Colorado, 5.800%, 08/01/18 | 329 | |||||||||
3,350 | Public Service Co. of Oklahoma, 6.625%, 11/15/37 | 3,994 | |||||||||
Public Service Electric & Gas Co., | |||||||||||
825 | 5.300%, 05/01/18 | 946 | |||||||||
1,138 | 5.375%, 11/01/39 | 1,292 | |||||||||
5,300 | 6.330%, 11/01/13 | 6,059 | |||||||||
Southern California Edison Co., | |||||||||||
1,200 | 4.150%, 09/15/14 | 1,327 | |||||||||
1,400 | 5.500%, 08/15/18 | 1,654 | |||||||||
1,650 | 5.750%, 03/15/14 | 1,894 | |||||||||
645 | 5.950%, 02/01/38 | 781 | |||||||||
2,450 | 6.050%, 03/15/39 | 3,018 | |||||||||
580 | Southern Co., 4.150%, 05/15/14 | 629 | |||||||||
1,000 | Southwestern Public Service Co., 8.750%, 12/01/18 | 1,316 | |||||||||
Spectra Energy Capital LLC, | |||||||||||
2,900 | 5.500%, 03/01/14 | 3,149 | |||||||||
350 | 5.668%, 08/15/14 | 390 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Electric Utilities — Continued | |||||||||||
3,645 | 6.250%, 02/15/13 | 3,973 | |||||||||
3,850 | 8.000%, 10/01/19 | 4,889 | |||||||||
Virginia Electric and Power Co., | |||||||||||
2,550 | 5.100%, 11/30/12 | 2,779 | |||||||||
4,600 | 5.400%, 04/30/18 | 5,357 | |||||||||
800 | 5.950%, 09/15/17 | 957 | |||||||||
149,175 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
1,700 | AGL Capital Corp., 4.450%, 04/15/13 | 1,799 | |||||||||
1,530 | ANR Pipeline Co., 9.625%, 11/01/21 | 2,224 | |||||||||
Atmos Energy Corp., | |||||||||||
320 | 5.125%, 01/15/13 | 346 | |||||||||
690 | 8.500%, 03/15/19 | 899 | |||||||||
530 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 609 | |||||||||
1,950 | Schlumberger Technology Corp., 6.500%, 04/15/12 (e) | 2,115 | |||||||||
1,037 | Southern California Gas Co., 4.800%, 10/01/12 | 1,106 | |||||||||
70 | Texas Eastern Transmission LP, 7.300%, 12/01/10 | 71 | |||||||||
TransCanada Pipelines Ltd., (Canada), | |||||||||||
1,515 | 4.000%, 06/15/13 | 1,626 | |||||||||
1,500 | 6.200%, 10/15/37 | 1,708 | |||||||||
1,900 | 6.500%, 08/15/18 | 2,327 | |||||||||
2,650 | 7.125%, 01/15/19 | 3,406 | |||||||||
2,100 | 7.250%, 08/15/38 | 2,699 | |||||||||
20,935 | |||||||||||
Multi-Utilities — 0.2% | |||||||||||
Dominion Resources, Inc., | |||||||||||
590 | 6.000%, 11/30/17 | 705 | |||||||||
1,879 | 6.250%, 06/30/12 | 2,050 | |||||||||
1,200 | 7.000%, 06/15/38 | 1,562 | |||||||||
1,600 | 8.875%, 01/15/19 | 2,180 | |||||||||
3,250 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 | 3,738 | |||||||||
1,550 | PG&E Corp., 5.750%, 04/01/14 | 1,748 | |||||||||
Sempra Energy, | |||||||||||
1,500 | 6.000%, 10/15/39 | 1,720 | |||||||||
2,300 | 6.150%, 06/15/18 | 2,733 | |||||||||
900 | 6.500%, 06/01/16 | 1,071 | |||||||||
2,760 | 8.900%, 11/15/13 | 3,313 | |||||||||
1,550 | 9.800%, 02/15/19 | 2,178 | |||||||||
Wisconsin Electric Power Co., | |||||||||||
1,400 | 6.000%, 04/01/14 | 1,619 | |||||||||
1,295 | 6.250%, 12/01/15 | 1,561 | |||||||||
601 | Xcel Energy, Inc., 4.700%, 05/15/20 | 656 | |||||||||
26,834 | |||||||||||
Water Utilities — 0.0% (g) | |||||||||||
American Water Capital Corp., | |||||||||||
2,025 | 6.085%, 10/15/17 | 2,312 | |||||||||
3,740 | 6.593%, 10/15/37 | 4,413 | |||||||||
6,725 | |||||||||||
Total Utilities | 203,669 | ||||||||||
Total Corporate Bonds (Cost $2,056,601) | 2,222,605 | ||||||||||
Foreign Government Securities — 0.2% | |||||||||||
3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 3,143 | |||||||||
Province of Ontario, (Canada), | |||||||||||
5,500 | 2.700%, 06/16/15 (c) | 5,756 | |||||||||
12,250 | 2.950%, 02/05/15 (c) | 12,953 | |||||||||
560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 | 710 | |||||||||
United Mexican States, (Mexico), | |||||||||||
2,035 | 5.875%, 01/15/14 (c) | 2,300 | |||||||||
3,398 | 6.375%, 01/16/13 | 3,780 | |||||||||
850 | 6.625%, 03/03/15 (c) | 995 | |||||||||
4,881 | 7.500%, 04/08/33 | 6,528 | |||||||||
2,925 | 8.300%, 08/15/31 (c) | 4,212 | |||||||||
Total Foreign Government Securities (Cost $35,629) | 40,377 | ||||||||||
Mortgage Pass-Through Securities — 10.5% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
122 | ARM, 2.512%, 07/01/19 | 127 | |||||||||
253 | ARM, 2.555%, 01/01/27 | 264 | |||||||||
1,157 | ARM, 2.605%, 12/01/33 | 1,204 | |||||||||
2,284 | ARM, 2.625%, 07/01/26 – 01/01/35 | 2,368 | |||||||||
5,832 | ARM, 2.640%, 05/01/33 | 6,072 | |||||||||
2,128 | ARM, 2.649%, 04/01/34 | 2,195 | |||||||||
98 | ARM, 2.696%, 04/01/30 | 102 | |||||||||
3,992 | ARM, 2.833%, 09/01/34 | 4,153 | |||||||||
244 | ARM, 2.873%, 09/01/32 | 253 | |||||||||
1,112 | ARM, 3.210%, 08/01/35 | 1,167 | |||||||||
1,687 | ARM, 3.433%, 07/01/37 | 1,751 | |||||||||
927 | ARM, 3.476%, 01/01/37 | 971 | |||||||||
1,089 | ARM, 4.340%, 11/01/36 | 1,136 | |||||||||
1,469 | ARM, 4.586%, 02/01/36 | 1,527 | |||||||||
6,651 | ARM, 4.687%, 03/01/36 | 6,946 | |||||||||
4,776 | ARM, 5.320%, 05/01/38 | 5,048 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
2,882 | ARM, 5.501%, 12/01/35 | 3,010 | |||||||||
9,163 | ARM, 5.540%, 05/01/36 | 9,726 | |||||||||
8,241 | ARM, 5.559%, 05/01/36 | 8,677 | |||||||||
5,457 | ARM, 5.637%, 04/01/38 | 5,791 | |||||||||
7,139 | ARM, 5.653%, 03/01/36 | 7,481 | |||||||||
2,646 | ARM, 5.661%, 04/01/37 | 2,822 | |||||||||
6,304 | ARM, 5.671%, 02/01/37 | 6,683 | |||||||||
7,623 | ARM, 5.734%, 06/01/37 | 8,200 | |||||||||
8,548 | ARM, 5.737%, 05/01/37 | 9,060 | |||||||||
3,488 | ARM, 5.738%, 06/01/36 | 3,716 | |||||||||
6,822 | ARM, 5.762%, 01/01/37 | 7,237 | |||||||||
4,598 | ARM, 5.764%, 05/01/37 | 4,888 | |||||||||
2,824 | ARM, 5.778%, 07/01/36 | 2,979 | |||||||||
3,249 | ARM, 5.797%, 05/01/37 | 3,474 | |||||||||
1,260 | ARM, 5.824%, 05/01/37 | 1,342 | |||||||||
3,874 | ARM, 5.836%, 10/01/36 | 4,109 | |||||||||
2,105 | ARM, 5.838%, 05/01/36 | 2,213 | |||||||||
6,495 | ARM, 5.858%, 11/01/36 | 6,907 | |||||||||
5,045 | ARM, 5.874%, 04/01/37 | 5,374 | |||||||||
403 | ARM, 5.877%, 02/01/37 | 429 | |||||||||
6,859 | ARM, 5.888%, 09/01/36 | 7,220 | |||||||||
1,363 | ARM, 5.909%, 02/01/37 | 1,450 | |||||||||
2,236 | ARM, 5.932%, 04/01/37 | 2,402 | |||||||||
3,377 | ARM, 5.935%, 03/01/37 | 3,592 | |||||||||
14,668 | ARM, 6.010%, 06/01/36 | 15,673 | |||||||||
15,183 | ARM, 6.019%, 12/01/36 | 16,109 | |||||||||
3,803 | ARM, 6.023%, 10/01/36 | 3,997 | |||||||||
2,391 | ARM, 6.124%, 05/01/37 | 2,552 | |||||||||
729 | ARM, 6.143%, 12/01/36 | 766 | |||||||||
12,453 | ARM, 6.173%, 12/01/36 | 13,172 | |||||||||
1,880 | ARM, 6.181%, 03/01/37 | 1,981 | |||||||||
13,739 | ARM, 6.207%, 03/01/37 | 14,463 | |||||||||
9,076 | ARM, 6.224%, 02/01/37 | 9,599 | |||||||||
5,351 | ARM, 6.253%, 09/01/36 | 5,575 | |||||||||
1,596 | ARM, 6.262%, 10/01/36 | 1,681 | |||||||||
10,059 | ARM, 6.300%, 10/01/36 | 10,654 | |||||||||
5,251 | ARM, 6.343%, 10/01/36 | 5,572 | |||||||||
13,710 | ARM, 6.352%, 12/01/36 | 14,547 | |||||||||
4,556 | ARM, 6.367%, 05/01/37 | 4,858 | |||||||||
1,950 | ARM, 6.407%, 12/01/36 | 2,092 | |||||||||
1,399 | ARM, 6.409%, 11/01/37 | 1,508 | |||||||||
1,765 | ARM, 6.433%, 02/01/37 | 1,896 | |||||||||
3,512 | ARM, 6.509%, 10/01/36 | 3,723 | |||||||||
1,133 | ARM, 6.573%, 08/01/36 | 1,188 | |||||||||
2,465 | ARM, 6.646%, 07/01/36 | 2,594 | |||||||||
4,982 | ARM, 6.673%, 10/01/36 | 5,277 | |||||||||
6,546 | ARM, 6.682%, 11/01/36 | 7,058 | |||||||||
15,534 | ARM, 6.714%, 08/01/36 | 16,225 | |||||||||
3,030 | ARM, 6.811%, 08/01/36 | 3,169 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | |||||||||||
6,995 | 4.000%, 04/01/14 – 05/01/19 | 7,334 | |||||||||
4,282 | 4.500%, 08/01/18 – 10/01/18 | 4,550 | |||||||||
22,147 | 5.000%, 10/01/17 – 12/01/18 | 23,701 | |||||||||
16,555 | 5.500%, 06/01/17 – 06/01/20 | 17,853 | |||||||||
23,581 | 6.000%, 10/01/17 – 03/01/22 | 25,468 | |||||||||
7,802 | 6.500%, 07/01/16 – 03/01/22 | 8,444 | |||||||||
102 | 7.000%, 09/01/10 – 04/01/17 | 110 | |||||||||
79 | 7.500%, 04/01/11 – 11/01/15 | 83 | |||||||||
55 | 8.500%, 11/01/15 | 64 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | |||||||||||
8,581 | 5.500%, 01/01/23 – 11/01/23 | 9,278 | |||||||||
582 | 6.000%, 12/01/22 | 641 | |||||||||
3,557 | 6.500%, 12/01/13 – 01/01/28 | 3,900 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
5,915 | 4.000%, 10/01/33 | 6,134 | |||||||||
29,796 | 5.000%, 01/01/34 – 03/01/35 | 31,901 | |||||||||
7,462 | 5.500%, 10/01/33 – 07/01/35 | 8,057 | |||||||||
4,957 | 6.000%, 10/01/29 – 12/01/36 | 5,405 | |||||||||
25,027 | 6.500%, 08/01/29 – 03/01/38 | 27,535 | |||||||||
6,260 | 7.000%, 04/01/22 – 02/01/37 | 7,056 | |||||||||
16,945 | 7.500%, 08/01/25 – 09/01/38 | 18,878 | |||||||||
57 | 8.000%, 07/01/20 – 11/01/24 | 65 | |||||||||
160 | 8.500%, 07/01/28 | 186 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | |||||||||||
21,364 | 7.500%, 01/01/32 – 12/01/36 | 24,396 | |||||||||
12,326 | 10.000%, 10/01/30 | 14,689 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | |||||||||||
19,159 | 5.500%, 04/01/18 | 20,327 | |||||||||
3,080 | 6.000%, 11/01/36 | 3,308 | |||||||||
47,331 | 6.500%, 12/01/35 – 06/01/37 | 51,637 | |||||||||
1,778 | 7.000%, 07/01/29 – 08/01/47 | 1,963 | |||||||||
2,530 | 10.000%, 03/17/26 | 2,957 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
40 | 12.000%, 08/01/15 – 07/01/19 | 45 | |||||||||
Federal National Mortgage Association, | |||||||||||
856 | ARM, 1.913%, 08/01/34 | 883 | |||||||||
10,749 | ARM, 1.998%, 01/01/35 | 11,152 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
77 | ARM, 2.226%, 03/01/19 | 80 | |||||||||
1,809 | ARM, 2.244%, 05/01/35 | 1,878 | |||||||||
700 | ARM, 2.261%, 02/01/35 | 727 | |||||||||
7,190 | ARM, 2.392%, 01/01/36 | 7,411 | |||||||||
469 | ARM, 2.444%, 08/01/35 | 486 | |||||||||
250 | ARM, 2.446%, 07/01/34 | 261 | |||||||||
895 | ARM, 2.457%, 04/01/34 | 931 | |||||||||
2,038 | ARM, 2.476%, 09/01/33 – 05/01/35 | 2,100 | |||||||||
2,713 | ARM, 2.584%, 07/01/35 | 2,839 | |||||||||
1,673 | ARM, 2.594%, 03/01/35 | 1,742 | |||||||||
1,751 | ARM, 2.637%, 06/01/36 | 1,824 | |||||||||
2,531 | ARM, 2.638%, 01/01/36 | 2,632 | |||||||||
1,236 | ARM, 2.649%, 08/01/33 | 1,290 | |||||||||
2,591 | ARM, 2.678%, 06/01/34 | 2,702 | |||||||||
844 | ARM, 2.746%, 08/01/34 | 866 | |||||||||
1,158 | ARM, 2.789%, 09/01/35 | 1,215 | |||||||||
1,052 | ARM, 2.922%, 10/01/34 | 1,091 | |||||||||
662 | ARM, 2.926%, 08/01/34 | 679 | |||||||||
198 | ARM, 2.960%, 09/01/34 | 208 | |||||||||
15 | ARM, 3.098%, 06/01/26 | 16 | |||||||||
417 | ARM, 3.107%, 01/01/34 | 434 | |||||||||
16 | ARM, 3.156%, 01/01/19 | 16 | |||||||||
829 | ARM, 3.398%, 09/01/33 | 857 | |||||||||
2,973 | ARM, 3.418%, 04/01/35 | 3,119 | |||||||||
341 | ARM, 3.496%, 09/01/27 | 351 | |||||||||
854 | ARM, 3.527%, 02/01/36 | 895 | |||||||||
153 | ARM, 3.875%, 01/01/36 | 159 | |||||||||
323 | ARM, 4.046%, 03/01/29 | 331 | |||||||||
811 | ARM, 4.447%, 11/01/34 | 850 | |||||||||
1,166 | ARM, 4.698%, 11/01/34 | 1,215 | |||||||||
14 | ARM, 4.786%, 08/01/19 | 15 | |||||||||
1,243 | ARM, 5.008%, 01/01/34 | 1,321 | |||||||||
1,089 | ARM, 5.071%, 01/01/35 | 1,144 | |||||||||
2,204 | ARM, 5.130%, 10/01/34 | 2,305 | |||||||||
1,395 | ARM, 5.146%, 11/01/33 | 1,451 | |||||||||
1,610 | ARM, 5.225%, 09/01/36 | 1,691 | |||||||||
8,405 | ARM, 5.299%, 01/01/38 | 8,957 | |||||||||
3,841 | ARM, 5.362%, 10/01/35 | 4,077 | |||||||||
4,328 | ARM, 5.504%, 07/01/37 | 4,594 | |||||||||
3,481 | ARM, 5.505%, 11/01/37 | 3,701 | |||||||||
1,906 | ARM, 5.528%, 01/01/37 | 2,019 | |||||||||
2,571 | ARM, 5.553%, 08/01/36 | 2,724 | |||||||||
2,847 | ARM, 5.594%, 12/01/36 | 3,012 | |||||||||
3,106 | ARM, 5.611%, 06/01/36 | 3,256 | |||||||||
2,290 | ARM, 5.628%, 08/01/36 | 2,456 | |||||||||
5,199 | ARM, 5.650%, 09/01/36 | 5,505 | |||||||||
28,291 | ARM, 5.696%, 01/01/23 | 30,459 | |||||||||
4,683 | ARM, 5.699%, 11/01/36 | 4,960 | |||||||||
7,211 | ARM, 5.701%, 04/01/37 | 7,667 | |||||||||
11,034 | ARM, 5.714%, 08/01/37 | 11,722 | |||||||||
3,350 | ARM, 5.738%, 02/01/37 | 3,552 | |||||||||
18,188 | ARM, 5.794%, 12/01/37 | 19,434 | |||||||||
10,927 | ARM, 5.827%, 12/01/36 | 11,607 | |||||||||
3,239 | ARM, 5.837%, 11/01/36 | 3,449 | |||||||||
8,733 | ARM, 5.840%, 10/01/36 | 9,264 | |||||||||
597 | ARM, 5.863%, 07/01/37 | 636 | |||||||||
4,461 | ARM, 5.883%, 07/01/36 | 4,720 | |||||||||
3,910 | ARM, 5.906%, 09/01/37 | 4,212 | |||||||||
1,735 | ARM, 5.927%, 09/01/37 | 1,850 | |||||||||
13,379 | ARM, 5.938%, 07/01/37 | 14,231 | |||||||||
4,568 | ARM, 5.939%, 10/01/36 | 4,846 | |||||||||
4,499 | ARM, 5.955%, 09/01/37 | 4,834 | |||||||||
4,405 | ARM, 5.978%, 09/01/37 | 4,704 | |||||||||
2,037 | ARM, 5.979%, 05/01/36 | 2,147 | |||||||||
6,105 | ARM, 6.041%, 08/01/36 | 6,444 | |||||||||
11,550 | ARM, 6.123%, 09/01/36 | 12,335 | |||||||||
3,304 | ARM, 6.124%, 07/01/37 | 3,525 | |||||||||
10,251 | ARM, 6.149%, 11/01/37 | 10,843 | |||||||||
6,494 | ARM, 6.193%, 08/01/36 | 7,001 | |||||||||
9,407 | ARM, 6.205%, 06/01/36 | 9,910 | |||||||||
2,329 | ARM, 6.230%, 09/01/37 | 2,518 | |||||||||
3,789 | ARM, 6.239%, 10/01/36 | 4,005 | |||||||||
4,667 | ARM, 6.307%, 02/01/37 | 4,932 | |||||||||
2,068 | ARM, 6.319%, 09/01/36 | 2,192 | |||||||||
3,082 | ARM, 6.549%, 01/01/37 | 3,315 | |||||||||
7,595 | ARM, 6.619%, 09/01/36 | 8,027 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
757 | 3.500%, 04/01/19 | 788 | |||||||||
13,648 | 4.000%, 07/01/18 – 12/01/20 | 14,559 | |||||||||
49,731 | 4.500%, 05/01/18 – 12/01/19 | 53,199 | |||||||||
42,353 | 5.000%, 12/01/16 – 10/01/19 | 45,394 | |||||||||
48,860 | 5.500%, 02/01/18 – 07/01/20 | 53,044 | |||||||||
85,170 | 6.000%, 06/01/16 – 07/01/24 | 92,081 | |||||||||
13,211 | 6.500%, 12/01/10 – 02/01/24 | 14,363 | |||||||||
1,590 | 7.000%, 03/01/17 – 11/01/17 | 1,719 | |||||||||
190 | 7.500%, 10/01/12 – 03/01/17 | 204 | |||||||||
128 | 8.000%, 11/01/12 – 11/01/15 | 134 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, | |||||||||||
60,181 | 6.000%, 02/01/14 – 09/01/29 | 64,985 | |||||||||
6,499 | 6.500%, 05/01/22 – 04/01/25 | 7,224 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
Federal National Mortgage Association, 30 Year FHA/VA, | |||||||||||
295 | 6.000%, 09/01/33 | 325 | |||||||||
594 | 6.500%, 03/01/29 | 668 | |||||||||
83 | 7.000%, 02/01/33 | 94 | |||||||||
123 | 8.000%, 06/01/28 | 142 | |||||||||
148 | 8.500%, 08/01/27 – 02/01/30 | 171 | |||||||||
190 | 9.000%, 05/01/18 – 12/01/30 | 214 | |||||||||
44 | 9.500%, 12/01/18 | 51 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
2,119 | 4.000%, 12/01/33 | 2,216 | |||||||||
2,758 | 4.500%, 11/01/33 | 2,929 | |||||||||
22,908 | 5.000%, 06/01/33 – 09/01/35 | 24,578 | |||||||||
49,885 | 5.500%, 11/01/32 – 03/01/34 | 53,966 | |||||||||
41,689 | 6.000%, 12/01/28 – 04/01/38 | 45,480 | |||||||||
161,479 | 6.500%, 11/01/29 – 10/01/38 | 177,088 | |||||||||
80,031 | 7.000%, 04/01/17 – 01/01/39 | 89,709 | |||||||||
49,020 | 7.500%, 11/01/22 – 04/01/39 | 55,104 | |||||||||
2,242 | 8.000%, 03/01/21 – 01/01/38 | 2,585 | |||||||||
60 | 8.500%, 07/01/24 – 06/01/25 | 69 | |||||||||
8 | 9.000%, 04/01/26 | 9 | |||||||||
49 | 9.500%, 07/01/28 | 56 | |||||||||
22 | 10.000%, 02/01/24 | 26 | |||||||||
47 | 12.500%, 01/01/16 | 50 | |||||||||
Federal National Mortgage Association, Other, | |||||||||||
1,638 | 4.000%, 09/01/13 – 03/01/14 | 1,689 | |||||||||
1,069 | 4.500%, 11/01/14 | 1,115 | |||||||||
971 | 5.000%, 12/01/32 | 1,034 | |||||||||
10,817 | 5.500%, 03/01/17 – 12/01/35 | 11,424 | |||||||||
28,654 | 6.000%, 02/01/36 – 11/01/48 | 30,561 | |||||||||
9,857 | 6.500%, 04/01/36 – 05/01/37 | 10,755 | |||||||||
8,376 | 7.000%, 02/01/36 – 01/01/38 | 9,257 | |||||||||
727 | 7.500%, 10/01/37 | 802 | |||||||||
3,228 | 8.000%, 11/01/37 | 3,559 | |||||||||
250 | 10.890%, 04/15/19 | 283 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
384 | 6.000%, 03/20/28 | 422 | |||||||||
2,690 | 7.000%, 08/20/38 | 2,986 | |||||||||
236 | 7.500%, 02/20/28 – 09/20/28 | 270 | |||||||||
452 | 8.000%, 12/20/25 – 10/20/28 | 525 | |||||||||
208 | 8.500%, 03/20/25 – 05/20/25 | 243 | |||||||||
Government National Mortgage Association, 15 Year, Single Family, | |||||||||||
249 | 6.000%, 10/15/17 | 270 | |||||||||
301 | 6.500%, 06/15/17 – 12/15/17 | 327 | |||||||||
16 | 7.500%, 02/15/12 – 03/15/12 | 16 | |||||||||
564 | 8.000%, 01/15/16 | 607 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
2,316 | 5.500%, 06/15/33 – 09/15/34 | 2,522 | |||||||||
677 | 6.000%, 11/15/28 | 746 | |||||||||
10,256 | 6.500%, 01/15/24 – 12/15/35 | 11,401 | |||||||||
15,620 | 7.000%, 08/15/23 – 04/15/37 | 17,534 | |||||||||
5,313 | 7.500%, 11/15/22 – 10/15/37 | 5,922 | |||||||||
117 | 8.000%, 05/15/22 – 08/15/28 | 136 | |||||||||
45 | 8.500%, 03/15/17 – 11/15/17 | 49 | |||||||||
79 | 9.000%, 08/15/16 – 11/15/24 | 90 | |||||||||
5,031 | 9.500%, 01/15/17 – 12/15/25 | 6,097 | |||||||||
47 | 12.000%, 11/15/19 | 52 | |||||||||
Total Mortgage Pass-Through Securities (Cost $1,843,228) | 1,888,687 | ||||||||||
Municipal Bond — 0.0% (g) | |||||||||||
Illinois — 0.0% (g) | |||||||||||
5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 (Cost $5,235) | 4,646 | |||||||||
Supranational — 0.0% (g) | |||||||||||
720 | Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $719) | 774 | |||||||||
U.S. Government Agency Securities — 1.6% | |||||||||||
Federal Farm Credit Bank, | |||||||||||
5,000 | 1.875%, 12/07/12 | 5,127 | |||||||||
10,000 | 5.125%, 11/15/18 | 11,828 | |||||||||
15,103 | Federal Home Loan Bank System, 4.720%, 09/20/12 | 16,026 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
38,500 | 4.125%, 12/21/12 | 41,431 | |||||||||
4,000 | 5.125%, 11/17/17 | 4,752 | |||||||||
25,500 | 5.500%, 08/23/17 | 30,745 | |||||||||
1,260 | 5.750%, 01/15/12 | 1,349 | |||||||||
Federal National Mortgage Association, | |||||||||||
45,000 | Zero Coupon, 07/05/14 | 42,273 | |||||||||
7,500 | Zero Coupon, 06/01/17 | 6,302 | |||||||||
26,700 | 5.000%, 05/11/17 | 31,430 | |||||||||
33,400 | 5.375%, 06/12/17 | 40,047 | |||||||||
1,190 | 5.500%, 03/15/11 | 1,224 | |||||||||
2,735 | 6.125%, 03/15/12 | 2,968 | |||||||||
7,494 | 6.250%, 02/01/11 | 7,682 | |||||||||
11,500 | Federal National Mortgage Association Interest Strip, 11/15/21 | 7,712 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Securities — Continued | |||||||||||
13,200 | Financing Corp. Fico, Zero Coupon, 09/26/19 | 9,930 | |||||||||
Tennessee Valley Authority, | |||||||||||
1,195 | 5.250%, 09/15/39 | 1,417 | |||||||||
9,500 | 5.500%, 07/18/17 | 11,462 | |||||||||
Tennessee Valley Authority STRIP, | |||||||||||
7,506 | 01/15/19 | 5,821 | |||||||||
12,000 | 05/01/19 | 9,119 | |||||||||
Total U.S. Government Agency Securities (Cost $277,625) | 288,645 | ||||||||||
U.S. Treasury Obligations — 28.6% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
3,100 | 4.500%, 02/15/36 | 3,658 | |||||||||
500 | 4.750%, 02/15/37 | 614 | |||||||||
650 | 5.250%, 11/15/28 | 835 | |||||||||
3,500 | 5.375%, 02/15/31 | 4,591 | |||||||||
11,350 | 5.500%, 08/15/28 | 14,970 | |||||||||
4,300 | 6.000%, 02/15/26 | 5,884 | |||||||||
2,050 | 6.125%, 11/15/27 | 2,872 | |||||||||
1,000 | 6.250%, 08/15/23 | 1,366 | |||||||||
4,750 | 6.375%, 08/15/27 | 6,809 | |||||||||
7,550 | 6.500%, 11/15/26 | 10,900 | |||||||||
5,100 | 6.625%, 02/15/27 | 7,461 | |||||||||
6,800 | 6.750%, 08/15/26 | 10,021 | |||||||||
2,120 | 7.125%, 02/15/23 | 3,079 | |||||||||
4,990 | 7.250%, 05/15/16 | 6,546 | |||||||||
24,490 | 7.250%, 08/15/22 (m) | 35,721 | |||||||||
155,592 | 7.500%, 11/15/16 (m) | 208,493 | |||||||||
8,717 | 7.875%, 02/15/21 (m) | 12,983 | |||||||||
8,000 | 8.000%, 11/15/21 | 12,131 | |||||||||
61,350 | 8.125%, 08/15/19 | 90,204 | |||||||||
16,650 | 8.125%, 05/15/21 | 25,266 | |||||||||
48,180 | 8.500%, 02/15/20 | 73,079 | |||||||||
185,495 | 8.750%, 05/15/17 (m) | 266,794 | |||||||||
14,000 | 8.750%, 05/15/20 | 21,656 | |||||||||
64,589 | 8.750%, 08/15/20 | 100,285 | |||||||||
372,850 | 8.875%, 08/15/17 (m) | 543,545 | |||||||||
275,936 | 8.875%, 02/15/19 (c) | 419,035 | |||||||||
21,500 | 9.000%, 11/15/18 | 32,808 | |||||||||
24,600 | 9.250%, 02/15/16 | 34,638 | |||||||||
9,594 | 9.875%, 11/15/15 (m) | 13,680 | |||||||||
11,250 | 10.625%, 08/15/15 | 16,287 | |||||||||
3,650 | 11.250%, 02/15/15 (m) | 5,250 | |||||||||
10,109 | U.S. Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 (m) | 18,212 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
1,000 | 2.000%, 04/15/12 | 1,110 | |||||||||
2,000 | 2.000%, 07/15/14 | 2,482 | |||||||||
184,755 | 2.375%, 04/15/11 | 205,421 | |||||||||
15,000 | 3.500%, 01/15/11 | 18,982 | |||||||||
U.S. Treasury Notes, | |||||||||||
36,700 | 1.375%, 09/15/12 | 37,348 | |||||||||
20,060 | 1.375%, 10/15/12 | 20,423 | |||||||||
15,990 | 1.375%, 11/15/12 | 16,280 | |||||||||
17,815 | 1.375%, 02/15/13 | 18,149 | |||||||||
15,000 | 1.750%, 04/15/13 | 15,436 | |||||||||
10,000 | 1.750%, 01/31/14 | 10,303 | |||||||||
20,500 | 1.750%, 03/31/14 | 21,117 | |||||||||
12,000 | 1.875%, 02/28/14 | 12,413 | |||||||||
26,600 | 2.375%, 10/31/14 | 27,976 | |||||||||
6,000 | 2.375%, 02/28/15 | 6,309 | |||||||||
25,000 | 2.375%, 03/31/16 | 26,096 | |||||||||
5,000 | 2.625%, 06/30/14 | 5,310 | |||||||||
121,450 | 2.625%, 07/31/14 | 128,993 | |||||||||
230,000 | 2.625%, 12/31/14 | 244,249 | |||||||||
19,000 | 2.625%, 02/29/16 | 20,099 | |||||||||
30,325 | 2.625%, 04/30/16 | 32,047 | |||||||||
169,500 | 3.125%, 10/31/16 | 183,338 | |||||||||
20,000 | 3.125%, 01/31/17 | 21,598 | |||||||||
136,065 | 3.125%, 04/30/17 | 146,908 | |||||||||
241,700 | 3.250%, 12/31/16 | 262,867 | |||||||||
76,500 | 3.250%, 03/31/17 | 83,194 | |||||||||
77,000 | 4.250%, 11/15/17 | 89,007 | |||||||||
2,000 | 4.500%, 11/30/11 | 2,103 | |||||||||
62,060 | 4.500%, 05/15/17 | 72,431 | |||||||||
9,500 | 4.625%, 02/15/17 | 11,141 | |||||||||
43,750 | 4.750%, 08/15/17 | 51,922 | |||||||||
U.S. Treasury STRIPS, | |||||||||||
4,575 | 08/15/11 | 4,564 | |||||||||
239 | 02/15/12 | 238 | |||||||||
399 | 08/15/12 | 395 | |||||||||
26,132 | 11/15/12 (c) | 25,831 | |||||||||
46,062 | 02/15/13 | 45,405 | |||||||||
31,374 | 08/15/13 | 30,708 | |||||||||
10,750 | 11/15/13 | 10,483 | |||||||||
86,776 | 02/15/14 (m) | 84,093 | |||||||||
64,063 | 05/15/14 (m) | 61,802 | |||||||||
57,062 | 08/15/14 (m) | 54,678 | |||||||||
30,961 | 11/15/14 | 29,518 | |||||||||
40,209 | 02/15/15 (m) | 38,081 | |||||||||
9,895 | 05/15/15 | 9,295 | |||||||||
4,941 | 08/15/15 | 4,612 | |||||||||
15,750 | 08/15/15 | 14,711 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — Continued | |||||||||||
38,361 | 11/15/15 | 35,476 | |||||||||
8,096 | 11/15/15 | 7,491 | |||||||||
94,812 | 02/15/16 (m) | 86,936 | |||||||||
32,950 | 05/15/16 | 29,991 | |||||||||
44,427 | 08/15/16 | 39,913 | |||||||||
46,981 | 11/15/16 (c) | 41,880 | |||||||||
14,200 | 11/15/16 | 12,664 | |||||||||
105,058 | 02/15/17 | 92,759 | |||||||||
24,158 | 05/15/17 | 21,186 | |||||||||
42,303 | 08/15/17 (c) | 36,756 | |||||||||
5,200 | 08/15/17 (c) | 4,523 | |||||||||
90,980 | 11/15/17 | 78,210 | |||||||||
33,450 | 02/15/18 | 28,647 | |||||||||
8,863 | 05/15/18 | 7,566 | |||||||||
41,786 | 08/15/18 | 35,143 | |||||||||
11,897 | 02/15/19 | 9,730 | |||||||||
11,475 | 02/15/19 | 9,406 | |||||||||
105,365 | 05/15/19 (c) | 84,959 | |||||||||
76,575 | 08/15/19 | 60,910 | |||||||||
42,400 | 05/15/20 | 32,573 | |||||||||
4,550 | 05/15/20 | 3,507 | |||||||||
48,400 | 08/15/20 | 36,682 | |||||||||
8,550 | 11/15/20 | 6,415 | |||||||||
1,000 | 02/15/21 | 744 | |||||||||
6,000 | 08/15/21 | 4,348 | |||||||||
27,400 | 11/15/21 | 19,631 | |||||||||
7,708 | 02/15/22 | 5,462 | |||||||||
7,869 | 02/15/23 | 5,319 | |||||||||
1,200 | 02/15/24 | 778 | |||||||||
7,000 | 05/15/24 | 4,486 | |||||||||
5,925 | 08/15/24 | 3,762 | |||||||||
20,400 | 11/15/24 | 12,804 | |||||||||
5,800 | 02/15/25 | 3,599 | |||||||||
2,700 | 05/15/25 | 1,659 | |||||||||
16,000 | 08/15/25 | 9,741 | |||||||||
13,800 | 05/15/26 | 8,129 | |||||||||
9,800 | 08/15/27 (c) | 5,467 | |||||||||
9,250 | 11/15/27 | 5,092 | |||||||||
6,250 | 02/15/28 | 3,402 | |||||||||
1,300 | 05/15/28 | 700 | |||||||||
20,115 | 02/15/29 | 10,467 | |||||||||
3,200 | 05/15/29 | 1,647 | |||||||||
2,800 | 08/15/29 | 1,429 | |||||||||
1,120 | 11/15/29 | 565 | |||||||||
500 | 02/15/30 | 249 | |||||||||
2,500 | 02/15/31 | 1,187 | |||||||||
5,300 | 05/15/31 | 2,487 | |||||||||
10,125 | 08/15/31 | 4,694 | |||||||||
1,700 | 11/15/31 | 778 | |||||||||
3,225 | 02/15/32 | 1,459 | |||||||||
1,700 | 08/15/32 | 751 | |||||||||
2,000 | 02/15/35 | 792 | |||||||||
1,175 | 05/15/36 | 442 | |||||||||
Total U.S. Treasury Obligations (Cost $4,735,455) | 5,144,532 |
SHARES | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock — 0.0% (g) | |||||||||||
Utilities — 0.0% (g) | |||||||||||
Independent Power Producers & Energy Traders — 0.0% (g) | |||||||||||
— | (h) | Dynegy, Inc. (a) (Cost $—) | 1 | ||||||||
Short-Term Investments — 6.3% | |||||||||||
Investment Companies — 6.3% | |||||||||||
395,722 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% (b) (l) | 395,722 | |||||||||
740,185 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% (b) (l) | 740,185 | |||||||||
Total Investment Companies (Cost $1,135,907) | 1,135,907 | ||||||||||
Total Short-Term Investments (Cost $1,135,907) | 1,135,907 |
PRINCIPAL AMOUNT($) | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 0.6% | |||||||||||
Asset-Backed Security — 0.0% (g) | |||||||||||
570 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.334%, 03/25/36 | 422 |
SHARES | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 0.6% | ||||||||||
109,413 | JPMorgan Prime Money Market Fund, Capital Shares, 0.200% (b) (l) | 109,413 | ||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $109,983) | 109,835 | |||||||||
Total Investments — 100.5% (Cost $17,052,746) | 18,073,156 | |||||||||
Liabilities in Excess of Other Assets — (0.5)% | (95,709 | ) | ||||||||
NET ASSETS — 100.0% | $ | 17,977,447 |
AS OF AUGUST 31, 2010 (Unaudited)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 2.4% | |||||||||||
1,280 | AH Mortgage Advance Trust, Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,280 | |||||||||
Ally Auto Receivables Trust, | |||||||||||
1,465 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 1,479 | |||||||||
565 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 565 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
1,510 | Series 2008-AF, Class A4, 6.960%, 10/14/14 | 1,619 | |||||||||
270 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 272 | |||||||||
Ameriquest Mortgage Securities, Inc., | |||||||||||
1,646 | Series 2003-5, Class A6, SUB, 4.541%, 04/25/33 | 1,460 | |||||||||
746 | Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 | 740 | |||||||||
46 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 | 38 | |||||||||
Bear Stearns Asset-Backed Securities Trust, | |||||||||||
960 | Series 2003-SD2, Class 2A, VAR, 3.215%, 06/25/43 | 897 | |||||||||
1,542 | Series 2006-SD1, Class A, VAR, 0.634%, 04/25/36 | 1,082 | |||||||||
262 | Capital One Auto Finance Trust, Series 2007-C, Class A3A, 5.130%, 04/16/12 | 264 | |||||||||
Centex Home Equity, | |||||||||||
435 | Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 430 | |||||||||
135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 | 126 | |||||||||
1,040 | Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32 | 1,045 | |||||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | |||||||||||
979 | Series 2002-1, Class 1A5, SUB, 6.595%, 02/25/32 | 1,028 | |||||||||
728 | Series 2003-5, Class 1A4, 4.396%, 02/25/30 | 726 | |||||||||
943 | Series 2003-6, Class 1A4, 4.499%, 11/25/34 | 924 | |||||||||
1,372 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 | 1,841 | |||||||||
974 | Citifinancial Mortgage Securities, Inc., Series 2003-3, Class AF4, SUB, 5.348%, 08/25/33 | 980 | |||||||||
CNH Equipment Trust, | |||||||||||
145 | Series 2008-B, Class A3A, 4.780%, 07/16/12 | 146 | |||||||||
2,400 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 2,428 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
8 | Series 2004-1, Class 3A, VAR, 0.544%, 04/25/34 | 6 | |||||||||
590 | Series 2004-1, Class M1, VAR, 0.764%, 03/25/34 | 459 | |||||||||
480 | Series 2004-1, Class M2, VAR, 0.814%, 03/25/34 | 390 | |||||||||
1,539 | Series 2004-6, Class M1, VAR, 0.864%, 10/25/34 | 897 | |||||||||
230 | Series 2004-13, Class MV8, VAR, 1.964%, 01/25/35 (f) (i) | 11 | |||||||||
3 | Series 2005-3, Class AF3, VAR, 4.823%, 08/25/35 | 3 | |||||||||
382 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 261 | |||||||||
99 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 93 | |||||||||
635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 | 712 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
95 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 | 101 | |||||||||
276 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 | 276 | |||||||||
1,504 | GE Mortgage Services LLC, Series 1999-HE1, Class A6, VAR, 6.700%, 04/25/29 | 1,570 | |||||||||
37 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.524%, 11/25/35 | 37 | |||||||||
HSBC Home Equity Loan Trust, | |||||||||||
1,233 | Series 2004-1, Class A, VAR, 0.616%, 09/20/33 | 1,135 | |||||||||
266 | Series 2005-2, Class A1, VAR, 0.536%, 01/20/35 | 235 | |||||||||
1,065 | Series 2005-2, Class M1, VAR, 0.726%, 01/20/35 | 953 | |||||||||
1,065 | Series 2005-2, Class M2, VAR, 0.756%, 01/20/35 | 945 | |||||||||
397 | Series 2006-1, Class A1, VAR, 0.426%, 01/20/36 | 360 | |||||||||
959 | Series 2006-2, Class A1, VAR, 0.416%, 03/20/36 | 896 | |||||||||
711 | Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36 | 717 | |||||||||
1,075 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 1,145 | |||||||||
250 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 259 | |||||||||
1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 | 1,518 | |||||||||
1,221 | Series 2007-3, Class APT, VAR, 1.466%, 11/20/36 | 1,091 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — Continued | |||||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
640 | Series 2004-1, Class M3, VAR, 1.314%, 02/25/34 | 555 | |||||||||
44 | Series 2004-2, Class B, VAR, 3.764%, 06/25/34 (e) (f) (i) | 4 | |||||||||
58 | Series 2004-5, Class M6, VAR, 2.764%, 09/25/34 (f) (i) | 4 | |||||||||
1,206 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 1.764%, 03/25/33 | 764 | |||||||||
New Century Home Equity Loan Trust, | |||||||||||
1,000 | Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 1,014 | |||||||||
610 | Series 2005-1, Class M1, VAR, 0.714%, 03/25/35 | 507 | |||||||||
2,100 | Residential Asset Securities Corp., Series 2005-EMX3, Class M1, VAR, 0.694%, 09/25/35 | 1,861 | |||||||||
756 | Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 | 757 | |||||||||
1,588 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 1,363 | |||||||||
112 | Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.344%, 06/25/37 | 98 | |||||||||
1,500 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.534%, 06/25/35 | 1,362 | |||||||||
47 | Structured Asset Securities Corp., Series 2007-OSI, Class A2, VAR, 0.354%, 06/25/37 | 40 | |||||||||
214 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 | 234 | |||||||||
1,500 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 1,472 | |||||||||
295 | USAA Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 | 305 | |||||||||
Total Asset-Backed Securities (Cost $44,085) | 43,780 | ||||||||||
Collateralized Mortgage Obligations — 20.5% | |||||||||||
Agency CMO — 13.3% | |||||||||||
857 | Federal Home Loan Bank System, Series 2000-0606, Class Y, 5.270%, 12/28/12 | 923 | |||||||||
Federal Home Loan Mortgage Corp. — Government National Mortgage Association, | |||||||||||
236 | Series 23, Class KZ, 6.500%, 11/25/23 | 260 | |||||||||
1,675 | Series 24, Class J, 6.250%, 11/25/23 | 1,770 | |||||||||
301 | Series 31, Class Z, 8.000%, 04/25/24 | 357 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
37 | Series 11, Class D, 9.500%, 07/15/19 | 40 | |||||||||
22 | Series 38, Class D, 9.500%, 05/15/20 | 26 | |||||||||
10 | Series 81, Class A, 8.125%, 11/15/20 | 12 | |||||||||
25 | Series 84, Class F, 9.200%, 10/15/20 | 28 | |||||||||
15 | Series 109, Class I, 9.100%, 01/15/21 | 16 | |||||||||
4 | Series 198, Class Z, 8.500%, 09/15/22 | 5 | |||||||||
6 | Series 201, Class Z, 8.000%, 02/15/23 | 6 | |||||||||
21 | Series 1254, Class N, 8.000%, 04/15/22 | 21 | |||||||||
174 | Series 1316, Class Z, 8.000%, 06/15/22 | 207 | |||||||||
62 | Series 1343, Class LB, 7.500%, 08/15/22 | 73 | |||||||||
2 | Series 1351, Class TF, HB, 1,010.000%, 08/15/22 | 51 | |||||||||
120 | Series 1456, Class Z, 7.500%, 01/15/23 | 120 | |||||||||
920 | Series 1543, Class VN, 7.000%, 07/15/23 | 961 | |||||||||
21 | Series 1556, Class H, 6.500%, 08/15/13 | 23 | |||||||||
420 | Series 1577, Class PV, 6.500%, 09/15/23 | 456 | |||||||||
72 | Series 1595, Class D, 7.000%, 10/15/13 | 78 | |||||||||
1,400 | Series 1611, Class Z, 6.500%, 11/15/23 | 1,571 | |||||||||
1,600 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,803 | |||||||||
706 | Series 1630, Class PK, 6.000%, 11/15/23 | 762 | |||||||||
1,000 | Series 1671, Class I, 7.000%, 02/15/24 | 1,169 | |||||||||
16 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 20 | |||||||||
125 | Series 1695, Class G, HB, IF , 23.361%, 03/15/24 | 199 | |||||||||
74 | Series 1710, Class GB, HB, IF, 35.197%, 04/15/24 | 138 | |||||||||
321 | Series 1911, Class SD, IF, IO, 10.169%, 07/15/23 | 84 | |||||||||
161 | Series 2022, Class PE, 6.500%, 01/15/28 | 178 | |||||||||
1,212 | Series 2033, Class K, 6.050%, 08/15/23 | 1,275 | |||||||||
1,016 | Series 2036, Class PG, 6.500%, 01/15/28 | 1,065 | |||||||||
429 | Series 2055, Class OE, 6.500%, 05/15/13 | 436 | |||||||||
149 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 31 | |||||||||
3,680 | Series 2091, Class PG, 6.000%, 11/15/28 | 3,987 | |||||||||
251 | Series 2148, Class ZA, 6.000%, 04/15/29 | 271 | |||||||||
424 | Series 2201, Class C, 8.000%, 11/15/29 | 504 | |||||||||
116 | Series 2261, Class ZY, 7.500%, 10/15/30 | 136 | |||||||||
1,281 | Series 2293, Class ZA, 6.000%, 03/15/31 | 1,399 | |||||||||
157 | Series 2297, Class NB, 6.000%, 03/15/16 | 168 | |||||||||
213 | Series 2310, Class Z, 6.000%, 04/15/31 | 230 | |||||||||
76 | Series 2313, Class LA, 6.500%, 05/15/31 | 83 | |||||||||
647 | Series 2325, Class JO, PO, 06/15/31 | 571 | |||||||||
1,765 | Series 2330, Class PE, 6.500%, 06/15/31 | 1,897 | |||||||||
561 | Series 2344, Class QG, 6.000%, 08/15/16 | 608 | |||||||||
651 | Series 2345, Class PQ, 6.500%, 08/15/16 | 700 | |||||||||
510 | Series 2368, Class TG, 6.000%, 10/15/16 | 550 | |||||||||
1,051 | Series 2394, Class MC, 6.000%, 12/15/16 | 1,137 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
398 | Series 2399, Class PG, 6.000%, 01/15/17 | 432 | |||||||||
300 | Series 2410, Class QB, 6.250%, 02/15/32 | 348 | |||||||||
963 | Series 2430, Class WF, 6.500%, 03/15/32 | 1,082 | |||||||||
1,036 | Series 2466, Class DH, 6.500%, 06/15/32 | 1,142 | |||||||||
2,934 | Series 2530, Class SK, IF, IO, 7.824%, 06/15/29 | 483 | |||||||||
351 | Series 2534, Class SI, HB, IF , 20.343%, 02/15/32 | 495 | |||||||||
2,000 | Series 2543, Class YX, 6.000%, 12/15/32 | 2,248 | |||||||||
4,255 | Series 2545, Class SQ, IF, IO, 7.324%, 05/15/17 | 233 | |||||||||
817 | Series 2557, Class HL, 5.300%, 01/15/33 | 892 | |||||||||
2,182 | Series 2586, Class IO, IO, 6.500%, 03/15/33 | 338 | |||||||||
2,587 | Series 2587, Class XS, IF, IO, 7.374%, 09/15/17 | 163 | |||||||||
587 | Series 2594, Class IV, IO, 7.000%, 03/15/32 | 120 | |||||||||
192 | Series 2602, Class BX, 3.500%, 12/15/22 | 199 | |||||||||
2,045 | Series 2610, Class UI, IO, 6.500%, 05/15/33 | 348 | |||||||||
1,515 | Series 2613, Class H, 4.500%, 05/15/18 | 1,677 | |||||||||
2,000 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,172 | |||||||||
815 | Series 2630, Class KX, 4.050%, 06/15/18 | 814 | |||||||||
2,880 | Series 2630, Class S, IF, IO, 6.874%, 01/15/17 | 138 | |||||||||
5,415 | Series 2636, Class Z, 4.500%, 06/15/18 | 5,800 | |||||||||
4,432 | Series 2641, Class SK, IF, IO, 6.874%, 01/15/18 | 443 | |||||||||
182 | Series 2643, Class SA, HB, IF , 43.706%, 03/15/32 | 333 | |||||||||
223 | Series 2650, Class PO, PO, 12/15/32 | 215 | |||||||||
223 | Series 2650, Class SO, PO, 12/15/32 | 215 | |||||||||
621 | Series 2656, Class AC, 6.000%, 08/15/33 | 686 | |||||||||
1,375 | Series 2656, Class PE, 4.500%, 07/15/18 | 1,519 | |||||||||
1,760 | Series 2658, Class A, 4.500%, 08/15/18 | 1,825 | |||||||||
843 | Series 2668, Class SB, IF, 6.955%, 10/15/15 | 876 | |||||||||
1,058 | Series 2686, Class GB, 5.000%, 05/15/20 | 1,089 | |||||||||
1,149 | Series 2695, Class OB, PO, 10/15/33 | 948 | |||||||||
1,979 | Series 2701, Class ST, IF, IO, 6.724%, 08/15/21 | 118 | |||||||||
1,510 | Series 2707, Class KA, 4.500%, 11/15/18 | 1,588 | |||||||||
1,094 | Series 2707, Class KJ, 5.000%, 11/15/18 | 1,164 | |||||||||
5,000 | Series 2708, Class N, 4.000%, 11/15/18 | 5,399 | |||||||||
265 | Series 2717, Class BA, 6.000%, 11/15/30 | 270 | |||||||||
632 | Series 2723, Class JE, 5.500%, 12/15/33 | 636 | |||||||||
705 | Series 2733, Class SB, IF, 7.762%, 10/15/33 | 793 | |||||||||
322 | Series 2755, Class SA, IF, 13.648%, 05/15/30 | 357 | |||||||||
1,392 | Series 2756, Class NA, 5.000%, 02/15/24 | 1,533 | |||||||||
211 | Series 2761, Class SM, IF, 13.647%, 01/15/33 | 218 | |||||||||
2,000 | Series 2764, Class OE, 4.500%, 03/15/19 | 2,161 | |||||||||
449 | Series 2764, Class S, IF, 13.060%, 07/15/33 | 508 | |||||||||
773 | Series 2776, Class SK, IF, 8.661%, 04/15/34 | 801 | |||||||||
1,353 | Series 2779, Class SM, IF, IO, 6.874%, 10/15/18 | 122 | |||||||||
313 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 325 | |||||||||
1,000 | Series 2845, Class QH, 5.000%, 08/15/34 | 1,043 | |||||||||
4,911 | Series 2864, Class NS, IF, IO, 6.824%, 09/15/34 | 578 | |||||||||
2,241 | Series 2888, Class IN, IO, 5.000%, 10/15/18 | 122 | |||||||||
556 | Series 2915, Class SY, IF, 15.560%, 01/15/35 | 633 | |||||||||
757 | Series 2931, Class GA, 5.000%, 11/15/28 | 784 | |||||||||
144 | Series 2942, Class ES, IF, IO, 6.374%, 03/15/35 | — | (h) | ||||||||
166 | Series 2971, Class PI, IO, 5.500%, 03/15/26 | 1 | |||||||||
159 | Series 2980, Class QB, 6.500%, 05/15/35 | 176 | |||||||||
349 | Series 2990, Class SL, HB, IF , 23.482%, 06/15/34 | 539 | |||||||||
4,655 | Series 2994, Class SC, IF, IO, 5.324%, 02/15/33 | 443 | |||||||||
857 | Series 2995, Class FT, VAR, 0.526%, 05/15/29 | 852 | |||||||||
577 | Series 3005, Class PV, IF, 12.295%, 10/15/33 | 664 | |||||||||
3,199 | Series 3006, Class XD, IF, IO, 6.324%, 07/15/35 | 84 | |||||||||
293 | Series 3020, Class DS, IF, IO, 6.374%, 08/15/35 | 1 | |||||||||
538 | Series 3031, Class BN, HB, IF , 20.792%, 08/15/35 | 605 | |||||||||
982 | Series 3059, Class B, 5.000%, 02/15/35 | 1,084 | |||||||||
1,000 | Series 3064, Class OG, 5.500%, 06/15/34 | 1,100 | |||||||||
197 | Series 3068, Class AO, PO, 01/15/35 | 190 | |||||||||
1,050 | Series 3117, Class EO, PO, 02/15/36 | 970 | |||||||||
510 | Series 3134, Class PO, PO, 03/15/36 | 471 | |||||||||
648 | Series 3138, Class PO, PO, 04/15/36 | 602 | |||||||||
1,505 | Series 3151, Class PD, 6.000%, 11/15/34 | 1,636 | |||||||||
1,324 | Series 3152, Class MO, PO, 03/15/36 | 1,195 | |||||||||
5,089 | Series 3201, Class IN, IF, IO, 5.974%, 08/15/36 | 720 | |||||||||
6,629 | Series 3202, Class HI, IF, IO, 6.374%, 08/15/36 | 1,024 | |||||||||
17 | Series 3205, Class PA, 6.000%, 04/15/27 | 17 | |||||||||
785 | Series 3219, Class OD, 6.000%, 06/15/33 | 844 | |||||||||
148 | Series 3269, Class WF, VAR, 0.000%, 01/15/37 | 145 | |||||||||
2,000 | Series 3274, Class B, 6.000%, 02/15/37 | 2,184 | |||||||||
1,297 | Series 3292, Class DO, PO, 03/15/37 | 1,218 | |||||||||
6,682 | Series 3305, Class IW, IF, IO, 6.174%, 04/15/37 | 983 | |||||||||
495 | Series 3306, Class TB, IF, 3.026%, 04/15/37 | 495 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
436 | Series 3306, Class TC, IF, 2.486%, 04/15/37 | 434 | |||||||||
753 | Series 3331, Class PO, PO, 06/15/37 | 705 | |||||||||
6,144 | Series 3369, Class SB, IF, IO, 6.144%, 09/15/37 | 640 | |||||||||
3,384 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 70 | |||||||||
598 | Series 3542, Class TN, IF, 6.000%, 07/15/36 | 632 | |||||||||
831 | Series 3546, Class A, VAR, 5.994%, 02/15/39 | 883 | |||||||||
1,541 | Series 3572, Class JS, IF, IO, 6.524%, 09/15/39 | 272 | |||||||||
1,086 | Series 3605, Class NC, 5.500%, 06/15/37 | 1,237 | |||||||||
3,623 | Series 3609, Class SA, IF, IO, 6.064%, 12/15/39 | 669 | |||||||||
1,078 | Series 3611, Class PO, PO, 07/15/34 | 1,008 | |||||||||
1,102 | Series 3688, Class GT, VAR, 7.150%, 11/15/46 | 1,238 | |||||||||
782 | Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27 | 669 | |||||||||
1,012 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 4.794%, 10/25/37 | 1,043 | |||||||||
Federal National Mortgage Association Grantor Trust, | |||||||||||
988 | Series 2002-T19, Class A1, 6.500%, 07/25/42 | 1,112 | |||||||||
772 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 | 895 | |||||||||
924 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 | 1,086 | |||||||||
12,541 | Series 2004-T3, Class 1IO4, IO, VAR, 0.599%, 02/25/44 | 206 | |||||||||
Federal National Mortgage Association Interest STRIPS, | |||||||||||
5,140 | Series 203, Class 2, IO, 8.000%, 02/01/23 | 1,109 | |||||||||
875 | Series 266, Class 2, IO, 7.500%, 08/01/24 | 194 | |||||||||
1,613 | Series 348, Class 30, IO, 5.500%, 12/01/18 | 180 | |||||||||
1,554 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 | 159 | |||||||||
1,297 | Series 356, Class 42, IO, 5.500%, 12/01/19 | 159 | |||||||||
3,144 | Series 380, Class S36, IF, IO, 7.571%, 07/25/37 | 404 | |||||||||
1,699 | Series 383, Class 68, IO, 6.500%, 09/01/37 | 294 | |||||||||
2,627 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 | 362 | |||||||||
757 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 | 113 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
18 | Series 1988-13, Class C, 9.300%, 05/25/18 | 22 | |||||||||
166 | Series 1989-72, Class E, 9.350%, 10/25/19 | 194 | |||||||||
6 | Series 1989-98, Class H, 11.500%, 12/25/19 | 8 | |||||||||
10 | Series 1990-1, Class D, 8.800%, 01/25/20 | 12 | |||||||||
12 | Series 1990-110, Class H, 8.750%, 09/25/20 | 14 | |||||||||
9 | Series 1990-117, Class E, 8.950%, 10/25/20 | 11 | |||||||||
94 | Series 1991-141, Class PZ, 8.000%, 10/25/21 | 112 | |||||||||
45 | Series 1992-31, Class M, 7.750%, 03/25/22 | 54 | |||||||||
57 | Series 1992-79, Class Z, 9.000%, 06/25/22 | 70 | |||||||||
48 | Series 1992-101, Class J, 7.500%, 06/25/22 | 50 | |||||||||
485 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 570 | |||||||||
586 | Series 1992-200, Class SK, HB, IF , 20.709%, 11/25/22 | 961 | |||||||||
40 | Series 1993-23, Class PZ, 7.500%, 03/25/23 | 47 | |||||||||
322 | Series 1993-56, Class PZ, 7.000%, 05/25/23 | 373 | |||||||||
174 | Series 1993-60, Class Z, 7.000%, 05/25/23 | 196 | |||||||||
393 | Series 1993-79, Class PL, 7.000%, 06/25/23 | 455 | |||||||||
612 | Series 1993-141, Class Z, 7.000%, 08/25/23 | 710 | |||||||||
307 | Series 1993-149, Class M, 7.000%, 08/25/23 | 346 | |||||||||
1,253 | Series 1993-160, Class ZA, 6.500%, 09/25/23 | 1,413 | |||||||||
106 | Series 1993-165, Class SA, IF, 19.159%, 09/25/23 | 146 | |||||||||
11 | Series 1993-205, Class H, PO, 09/25/23 | 10 | |||||||||
100 | Series 1993-247, Class SM, HB, IF , 22.906%, 12/25/23 | 159 | |||||||||
109 | Series 1993-255, Class E, 7.100%, 12/25/23 | 123 | |||||||||
163 | Series 1993-257, Class C, PO, 06/25/23 | 158 | |||||||||
266 | Series 1994-1, Class L, 6.500%, 01/25/14 | 283 | |||||||||
3,460 | Series 1994-23, Class PX, 6.000%, 08/25/23 | 3,777 | |||||||||
154 | Series 1994-65, Class PK, PO, 04/25/24 | 138 | |||||||||
405 | Series 1995-4, Class Z, 7.500%, 10/25/22 | 488 | |||||||||
649 | Series 1995-19, Class Z, 6.500%, 11/25/23 | 731 | |||||||||
91 | Series 1996-59, Class K, 6.500%, 07/25/23 | 94 | |||||||||
167 | Series 1997-11, Class E, 7.000%, 03/18/27 | 189 | |||||||||
569 | Series 1997-20, Class D, 7.000%, 03/17/27 | 627 | |||||||||
67 | Series 1997-27, Class J, 7.500%, 04/18/27 | 74 | |||||||||
1,668 | Series 1997-37, Class SM, IF, IO, 7.719%, 12/25/22 | 298 | |||||||||
500 | Series 1997-42, Class EG, 8.000%, 07/18/27 | 595 | |||||||||
1,022 | Series 1997-63, Class ZA, 6.500%, 09/18/27 | 1,142 | |||||||||
919 | Series 1998-66, Class FB, VAR, 0.614%, 12/25/28 | 921 | |||||||||
1,548 | Series 1999-47, Class JZ, 8.000%, 09/18/29 | 1,841 | |||||||||
464 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 546 | |||||||||
782 | Series 2001-4, Class PC, 7.000%, 03/25/21 | 865 | |||||||||
291 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 307 | |||||||||
1,197 | Series 2001-14, Class Z, 6.000%, 05/25/31 | 1,326 | |||||||||
891 | Series 2001-36, Class ST, IF, IO, 8.236%, 11/25/30 | 161 | |||||||||
3,677 | Series 2001-72, Class SB, IF, IO, 7.236%, 12/25/31 | 437 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
791 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 860 | |||||||||
238 | Series 2002-19, Class SC, IF, 13.699%, 03/17/32 | 310 | |||||||||
708 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 768 | |||||||||
809 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 878 | |||||||||
337 | Series 2002-73, Class AN, 5.000%, 11/25/17 | 366 | |||||||||
1,004 | Series 2003-8, Class QD, 5.000%, 09/25/16 | 1,024 | |||||||||
2,458 | Series 2003-14, Class EH, IF, IO, 7.336%, 03/25/18 | 300 | |||||||||
1,000 | Series 2003-18, Class GT, 5.000%, 03/25/18 | 1,113 | |||||||||
3,382 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 | 232 | |||||||||
2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 | 2,265 | |||||||||
175 | Series 2003-60, Class DA, 4.250%, 06/25/21 | 178 | |||||||||
1,424 | Series 2003-64, Class KS, IF, 9.242%, 07/25/18 | 1,578 | |||||||||
467 | Series 2003-64, Class SX, IF, 12.971%, 07/25/33 | 528 | |||||||||
1,279 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 1,320 | |||||||||
2,000 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 2,185 | |||||||||
78 | Series 2003-91, Class SD, IF, 12.060%, 09/25/33 | 89 | |||||||||
1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 1,106 | |||||||||
2,000 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 2,191 | |||||||||
4,336 | Series 2003-109, Class TS, IF, IO, 6.836%, 08/25/22 | 421 | |||||||||
614 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 644 | |||||||||
9,247 | Series 2003-128, Class NG, 4.000%, 01/25/19 | 10,047 | |||||||||
1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 | 1,087 | |||||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 | 1,083 | |||||||||
161 | Series 2004-22, Class A, 4.000%, 04/25/19 | 165 | |||||||||
20 | Series 2004-29, Class WS, IF, 10.433%, 02/25/19 | 20 | |||||||||
1,000 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,083 | |||||||||
714 | Series 2004-72, Class F, VAR, 0.764%, 09/25/34 | 715 | |||||||||
648 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 | 29 | |||||||||
1,000 | Series 2004-101, Class PD, 5.000%, 06/25/30 | 1,061 | |||||||||
230 | Series 2005-42, Class PS, IF, 16.341%, 05/25/35 | 315 | |||||||||
1,123 | Series 2005-51, Class MO, PO, 06/25/35 | 986 | |||||||||
4,009 | Series 2005-53, Class CS, IF, IO, 6.436%, 06/25/35 | 598 | |||||||||
2,275 | Series 2005-59, Class PC, 5.500%, 03/25/31 | 2,400 | |||||||||
648 | Series 2005-65, Class KO, PO, 08/25/35 | 577 | |||||||||
6,800 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 7,494 | |||||||||
2,549 | Series 2005-68, Class JK, 5.250%, 05/25/35 | 2,556 | |||||||||
7,243 | Series 2005-72, Class WS, IF, IO, 6.486%, 08/25/35 | 937 | |||||||||
1,575 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 1,757 | |||||||||
489 | Series 2005-90, Class ES, IF, 16.216%, 10/25/35 | 612 | |||||||||
1,094 | Series 2005-97, Class B, 5.500%, 11/25/35 | 1,174 | |||||||||
508 | Series 2005-106, Class US, HB, IF , 23.600%, 11/25/35 | 769 | |||||||||
675 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 735 | |||||||||
1,002 | Series 2006-2, Class IG, IO, 6.000%, 06/25/32 | 11 | |||||||||
767 | Series 2006-22, Class AO, PO, 04/25/36 | 650 | |||||||||
854 | Series 2006-27, Class OH, PO, 04/25/36 | 775 | |||||||||
1,653 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 | 87 | |||||||||
1,530 | Series 2006-59, Class QO, PO, 01/25/33 | 1,454 | |||||||||
1,326 | Series 2006-61, Class AP, 6.000%, 08/25/35 | 1,425 | |||||||||
579 | Series 2006-74, Class UT, IF, 10.500%, 08/25/36 | 594 | |||||||||
2,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 2,813 | |||||||||
2,256 | Series 2006-110, Class PO, PO, 11/25/36 | 1,988 | |||||||||
476 | Series 2006-114, Class DS, VAR, 12/25/36 | 447 | |||||||||
296 | Series 2006-115, Class OM, PO, 12/25/36 | 289 | |||||||||
718 | Series 2006-128, Class PO, PO, 01/25/37 | 636 | |||||||||
830 | Series 2007-10, Class Z, 6.000%, 02/25/37 | 913 | |||||||||
2,906 | Series 2007-22, Class SC, IF, IO, 5.816%, 03/25/37 | 241 | |||||||||
1,074 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 | 141 | |||||||||
1,600 | Series 2007-79, Class PC, 5.000%, 01/25/32 | 1,721 | |||||||||
636 | Series 2007-100, Class SM, IF, IO, 6.186%, 10/25/37 | 85 | |||||||||
7,678 | Series 2008-62, Class SM, IF, IO, 5.936%, 07/25/38 | 723 | |||||||||
1,797 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 198 | |||||||||
1,699 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 | 209 | |||||||||
4,169 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 | 447 | |||||||||
1,719 | Series 2009-29, Class LA, VAR, 5.702%, 05/25/39 | 1,756 | |||||||||
3,897 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 567 | |||||||||
1,381 | Series 2010-10, Class NT, 5.000%, 02/25/40 | 1,533 | |||||||||
16,287 | Series 2010-35, Class SB, IF, IO, 6.156%, 04/25/40 | 1,467 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
4,431 | Series 2010-43, Class CI, IO, 4.500%, 02/25/25 | 391 | |||||||||
510 | Series 2010-45, Class PO, PO, 05/25/40 | 447 | |||||||||
1,170 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 1,270 | |||||||||
38 | Series G-29, Class O, 8.500%, 09/25/21 | 43 | |||||||||
89 | Series G92-15, Class Z, 7.000%, 01/25/22 | 91 | |||||||||
24 | Series G92-30, Class Z, 7.000%, 06/25/22 | 27 | |||||||||
49 | Series G92-62, Class B, PO, 10/25/22 | 44 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
1,064 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 1,234 | |||||||||
24,919 | Series 2002-W7, Class IO1, IO, VAR, 0.924%, 06/25/29 | 709 | |||||||||
15,172 | Series 2002-W10, Class IO, IO, VAR, 0.981%, 08/25/42 | 342 | |||||||||
50 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 | 54 | |||||||||
442 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 497 | |||||||||
688 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 | 734 | |||||||||
372 | Series 2004-W2, Class 1A3F, VAR, 0.614%, 02/25/44 | 368 | |||||||||
390 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 452 | |||||||||
1,020 | Series 2004-W6, Class 3A4, 6.500%, 07/25/34 | 1,110 | |||||||||
912 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 | 1,072 | |||||||||
1,250 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 | 1,364 | |||||||||
50,508 | Series 2004-W11, Class 1IO1, IO, VAR, 0.353%, 05/25/44 | 489 | |||||||||
1,774 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,936 | |||||||||
Government National Mortgage Association, | |||||||||||
207 | Series 1997-7, Class ZA, 9.000%, 05/16/27 | 252 | |||||||||
231 | Series 1997-8, Class PN, 7.500%, 05/16/27 | 243 | |||||||||
3,152 | Series 1999-15, Class S, IF, IO, 7.924%, 05/16/29 | 602 | |||||||||
53 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 66 | |||||||||
568 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 675 | |||||||||
346 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 411 | |||||||||
273 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 324 | |||||||||
623 | Series 2001-63, Class SI, HB, IF , 21.264%, 05/20/26 | 30 | |||||||||
2,762 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 3,196 | |||||||||
2,297 | Series 2002-13, Class QA, IF, IO, 7.774%, 02/16/32 | 442 | |||||||||
1,303 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 1,428 | |||||||||
75 | Series 2002-47, Class HM, 6.000%, 07/16/32 | 83 | |||||||||
8,263 | Series 2002-68, Class SC, IF, IO, 5.424%, 10/16/32 | 1,449 | |||||||||
1,880 | Series 2002-84, Class PH, 6.000%, 11/16/32 | 2,140 | |||||||||
1,432 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 | 40 | |||||||||
351 | Series 2003-52, Class SB, IF, 11.067%, 06/16/33 | 402 | |||||||||
945 | Series 2003-79, Class PV, 5.500%, 10/20/23 | 1,054 | |||||||||
6,787 | Series 2003-101, Class SK, IF, IO, 6.288%, 10/17/33 | 1,065 | |||||||||
54 | Series 2003-116, Class JO, PO, 12/20/33 | 54 | |||||||||
240 | Series 2004-2, Class SA, IF, 19.391%, 01/16/34 | 355 | |||||||||
9,483 | Series 2004-59, Class SG, IF, IO, 6.234%, 07/20/34 | 1,257 | |||||||||
68 | Series 2004-73, Class AE, IF, 14.294%, 08/17/34 | 82 | |||||||||
3,180 | Series 2004-90, Class SI, IF, IO, 5.834%, 10/20/34 | 391 | |||||||||
5,578 | Series 2004-105, Class SN, IF, IO, 5.834%, 12/20/34 | 675 | |||||||||
10,550 | Series 2005-3, Class SD, IF, IO, 5.834%, 01/20/31 | 590 | |||||||||
8,060 | Series 2005-48, Class CS, IF, IO, 6.034%, 04/20/33 | 604 | |||||||||
595 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 | 89 | |||||||||
723 | Series 2006-59, Class PC, 5.500%, 04/20/35 | 793 | |||||||||
4,602 | Series 2007-9, Class CI, IF, IO, 5.934%, 03/20/37 | 522 | |||||||||
548 | Series 2007-17, Class JO, PO, 04/16/37 | 522 | |||||||||
1,000 | Series 2007-22, Class PK, 5.500%, 04/20/37 | 1,145 | |||||||||
3,083 | Series 2007-26, Class SC, IF, IO, 5.934%, 05/20/37 | 300 | |||||||||
2,179 | Series 2007-67, Class SI, IF, IO, 6.244%, 11/20/37 | 287 | |||||||||
651 | Series 2008-29, Class PO, PO, 02/17/33 | 608 | |||||||||
226 | Series 2008-34, Class OC, PO, 06/20/37 | 190 | |||||||||
2,350 | Series 2008-40, Class PS, IF, IO, 6.224%, 05/16/38 | 374 | |||||||||
4,531 | Series 2008-40, Class SA, IF, IO, 6.124%, 05/16/38 | 636 | |||||||||
712 | Series 2008-43, Class NA, 5.500%, 11/20/37 | 752 | |||||||||
1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 515 | |||||||||
293 | Series 2009-75, Class IY, IO, 5.500%, 06/20/39 | 94 | |||||||||
1,400 | Series 2009-79, Class OK, PO, 11/16/37 | 1,304 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,305 | Series 2009-83, Class TS, IF, IO, 5.834%, 08/20/39 | 294 | |||||||||
1,825 | Series 2010-31, Class SK, IF, IO, 5.834%, 11/20/34 | 230 | |||||||||
Vendee Mortgage Trust, | |||||||||||
1,273 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 1,472 | |||||||||
3,313 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 3,833 | |||||||||
421 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 | 476 | |||||||||
248,647 | |||||||||||
Non-Agency CMO — 7.2% | |||||||||||
ABN Amro Mortgage Corp., | |||||||||||
1,111 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 1,136 | |||||||||
531 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 547 | |||||||||
Adjustable Rate Mortgage Trust, | |||||||||||
1,947 | Series 2005-4, Class 7A2, VAR, 0.494%, 08/25/35 | 1,733 | |||||||||
335 | Series 2005-5, Class 6A21, VAR, 0.494%, 09/25/35 | 219 | |||||||||
American General Mortgage Loan Trust, | |||||||||||
1,713 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,842 | |||||||||
2,540 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 2,606 | |||||||||
3,000 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 2,890 | |||||||||
4,943 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.159%, 09/25/35 | 2,072 | |||||||||
345 | ASG Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.570%, 05/24/36 (e) | 347 | |||||||||
Banc of America Alternative Loan Trust, | |||||||||||
753 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 790 | |||||||||
811 | Series 2004-6, Class 4A1, 5.000%, 07/25/19 | 834 | |||||||||
823 | Series 2006-7, Class A1, VAR, 5.900%, 10/25/36 | 813 | |||||||||
Banc of America Funding Corp., | |||||||||||
1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 | 964 | |||||||||
663 | Series 2005-7, Class 30PO, PO, 11/25/35 | 418 | |||||||||
1,694 | Series 2005-E, Class 4A1, VAR, 2.959%, 03/20/35 | 1,622 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
644 | Series 2003-7, Class A2, 4.750%, 09/25/18 | 666 | |||||||||
531 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 | 375 | |||||||||
4,362 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 | 4,072 | |||||||||
797 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 799 | |||||||||
867 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 | 821 | |||||||||
335 | Series 2004-8, Class XPO, PO, 10/25/34 | 272 | |||||||||
67 | Series 2004-11, Class 15PO, PO, 01/25/20 | 54 | |||||||||
1,123 | Series 2004-F, Class 1A1, VAR, 2.766%, 07/25/34 | 1,052 | |||||||||
300 | Series 2005-1, Class 15PO, PO, 02/25/20 | 226 | |||||||||
504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 | 355 | |||||||||
2,043 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 2,020 | |||||||||
333 | Series 2005-10, Class 15PO, PO, 11/25/20 | 261 | |||||||||
443 | Series 2005-11, Class 15PO, PO, 12/25/20 | 343 | |||||||||
610 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 619 | |||||||||
BCAP LLC Trust, | |||||||||||
624 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 618 | |||||||||
1,934 | Series 2010-RR7, Class 16A1, VAR, 1.086%, 02/26/47 (e) | 1,788 | |||||||||
1,939 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,981 | |||||||||
463 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 3.011%, 10/25/33 | 447 | |||||||||
10 | Bear Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 7.096%, 03/25/31 | 11 | |||||||||
1,408 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33 | 1,446 | |||||||||
Chase Mortgage Finance Corp., | |||||||||||
796 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 819 | |||||||||
957 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 996 | |||||||||
1,475 | Series 2004-S1, Class M, VAR, 5.091%, 02/25/19 | 1,451 | |||||||||
1,130 | Citicorp Mortgage Securities, Inc., Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,159 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
149 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 119 | |||||||||
236 | Series 2004-HYB4, Class AA, VAR, 0.594%, 12/25/34 | 202 | |||||||||
410 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 412 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
495 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 510 | |||||||||
2,201 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 | 2,122 | |||||||||
500 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 500 | |||||||||
1,683 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 | 1,716 | |||||||||
1,874 | Series 2004-J13, Class 1A4, SUB, 5.030%, 02/25/35 | 1,889 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
682 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 703 | |||||||||
800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 | 646 | |||||||||
5,000 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 4,024 | |||||||||
2,000 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 1,364 | |||||||||
24 | Series 2005-J1, Class 4A1, 6.000%, 08/25/17 | 23 | |||||||||
387 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 | 387 | |||||||||
100 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 | 63 | |||||||||
531 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 371 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
375 | Series 2002-22, Class A20, 6.250%, 10/25/32 | 377 | |||||||||
1,164 | Series 2003-40, Class A3, 4.500%, 10/25/18 | 1,185 | |||||||||
255 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 | 249 | |||||||||
1,270 | Series 2004-3, Class A25, 5.750%, 04/25/34 | 1,292 | |||||||||
43 | Series 2005-13, Class A1, 5.500%, 06/25/35 | 41 | |||||||||
1,458 | Series 2005-22, Class 2A1, VAR, 5.021%, 11/25/35 | 1,082 | |||||||||
27 | Series 2006-10, Class 1A10, 5.850%, 05/25/36 | 27 | |||||||||
998 | Credit Suisse Mortgage Capital Certificates, Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 998 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
433 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 | 445 | |||||||||
3,766 | Series 2004-4, Class 5A4, IF, IO, 7.286%, 08/25/34 | 466 | |||||||||
1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 | 775 | |||||||||
905 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 | 886 | |||||||||
500 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 | 246 | |||||||||
881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 | 648 | |||||||||
242 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 | 160 | |||||||||
742 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.525%, 09/25/34 | 653 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
467 | Series 2003-8, Class 1A43, PO, 10/25/33 | 330 | |||||||||
354 | Series 2004-AR7, Class 2A1, VAR, 2.870%, 02/25/35 | 346 | |||||||||
GMAC Mortgage Corp. Loan Trust, | |||||||||||
791 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 810 | |||||||||
325 | Series 2005-AR3, Class 3A4, VAR, 3.241%, 06/19/35 | 256 | |||||||||
GSR Mortgage Loan Trust, | |||||||||||
545 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 566 | |||||||||
1,077 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 | 1,108 | |||||||||
718 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 735 | |||||||||
1,000 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 | 839 | |||||||||
1,072 | Impac CMB Trust, Series 2004-10, Class 3A2, VAR, 1.064%, 03/25/35 | 476 | |||||||||
35 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33 | 36 | |||||||||
JP Morgan Mortgage Trust, | |||||||||||
1,487 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 | 1,524 | |||||||||
590 | Series 2006-A2, Class 4A1, VAR, 2.932%, 08/25/34 | 574 | |||||||||
426 | Series 2006-A2, Class 5A3, VAR, 3.284%, 11/25/33 | 415 | |||||||||
1,411 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.337%, 08/26/35 (e) | 1,415 | |||||||||
MASTR Adjustable Rate Mortgages Trust, | |||||||||||
537 | Series 2004-13, Class 2A1, VAR, 2.961%, 04/21/34 | 530 | |||||||||
551 | Series 2004-13, Class 3A6, VAR, 2.906%, 11/21/34 | 548 | |||||||||
MASTR Alternative Loans Trust, | |||||||||||
869 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 | 882 | |||||||||
382 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 384 | |||||||||
1,107 | Series 2003-9, Class 5A1, 4.500%, 12/25/18 | 1,138 | |||||||||
75 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 | 78 | |||||||||
227 | Series 2004-7, Class 30PO, PO, 08/25/34 | 153 | |||||||||
105 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 | 104 | |||||||||
1,107 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 1,137 | |||||||||
2,118 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 2,141 | |||||||||
504 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 | 482 | |||||||||
88 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 | 91 | |||||||||
MASTR Asset Securitization Trust, | |||||||||||
132 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 | 136 | |||||||||
826 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 | 844 | |||||||||
341 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 353 | |||||||||
634 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 | 645 | |||||||||
179 | Series 2004-6, Class 15PO, PO, 05/25/19 | 147 | |||||||||
1,266 | Series 2004-6, Class 3A1, 5.250%, 07/25/19 | 1,300 | |||||||||
341 | Series 2004-8, Class PO, PO, 08/25/19 | 268 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
570 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 | 593 | |||||||||
465 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 298 | |||||||||
2,012 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.544%, 08/25/35 | 1,709 | |||||||||
876 | MLCC Mortgage Investors, Inc., Series 2004-D, Class A3, VAR, 2.312%, 08/25/29 | 826 | |||||||||
461 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.584%, 02/25/35 | 348 | |||||||||
Nomura Asset Acceptance Corp., | |||||||||||
396 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 391 | |||||||||
1,572 | Series 2005-AR1, Class 1A1, VAR, 2.809%, 02/25/35 | 1,165 | |||||||||
Paine Webber CMO Trust, | |||||||||||
12 | Series H, Class 4, 8.750%, 04/01/18 | 13 | |||||||||
12 | Series L, Class 4, 8.950%, 07/01/18 | 14 | |||||||||
1,028 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 1,066 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
1,217 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,233 | |||||||||
803 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 789 | |||||||||
4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 | 2,348 | |||||||||
500 | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 272 | |||||||||
Residential Funding Mortgage Securities I, | |||||||||||
390 | Series 2003-S7, Class A17, 4.000%, 05/25/33 | 387 | |||||||||
1,275 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 | 1,318 | |||||||||
555 | Series 2005-SA4, Class 1A1, VAR, 3.241%, 09/25/35 | 438 | |||||||||
3,948 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 | 2,074 | |||||||||
440 | Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18 | 454 | |||||||||
118 | SACO I, Inc. (Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) | 121 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, | |||||||||||
696 | Series 2004-14, Class 1A, VAR, 2.700%, 10/25/34 | 568 | |||||||||
676 | Series 2005-5, Class A1, VAR, 0.494%, 05/25/35 | 602 | |||||||||
315 | Series 2005-5, Class A2, VAR, 0.494%, 05/25/35 | 281 | |||||||||
Structured Asset Securities Corp., | |||||||||||
283 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 288 | |||||||||
4,867 | Series 2003-26A, Class 3A5, VAR, 2.656%, 09/25/33 | 4,389 | |||||||||
940 | Series 2003-31A, Class B1, VAR, 2.855%, 10/25/33 | 352 | |||||||||
878 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 878 | |||||||||
959 | Series 2003-37A, Class 2A, VAR, 4.997%, 12/25/33 | 980 | |||||||||
686 | Series 2004-7, Class 2A1, VAR, 5.359%, 05/25/24 | 706 | |||||||||
WaMu Mortgage Pass-Through Certificates, | |||||||||||
779 | Series 2002-S4, Class A4, 6.500%, 10/19/29 | 792 | |||||||||
590 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 605 | |||||||||
850 | Series 2003-AR8, Class A, VAR, 2.716%, 08/25/33 | 853 | |||||||||
772 | Series 2003-AR9, Class 1A6, VAR, 2.766%, 09/25/33 | 769 | |||||||||
271 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 | 285 | |||||||||
335 | Series 2004-AR3, Class A1, VAR, 2.708%, 06/25/34 | 317 | |||||||||
759 | Series 2004-AR3, Class A2, VAR, 2.708%, 06/25/34 | 743 | |||||||||
787 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 814 | |||||||||
840 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 873 | |||||||||
1,726 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 1,790 | |||||||||
218 | Series 2005-AR2, Class 2A21, VAR, 0.594%, 01/25/45 | 171 | |||||||||
1,877 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,557 | |||||||||
1,160 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-F, Class A1, VAR, 4.852%, 06/25/33 | 1,172 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust, | |||||||||||
561 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 574 | |||||||||
226 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 233 | |||||||||
500 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 505 | |||||||||
921 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 944 | |||||||||
396 | Series 2003-17, Class 2A9, PO, 01/25/34 | 282 | |||||||||
576 | Series 2003-18, Class A1, 5.500%, 12/25/33 | 596 | |||||||||
411 | Series 2003-J, Class 2A5, VAR, 4.427%, 10/25/33 | 416 | |||||||||
1,158 | Series 2003-M, Class A1, VAR, 4.677%, 12/25/33 | 1,160 | |||||||||
320 | �� | Series 2004-DD, Class 2A8, VAR, 2.873%, 01/25/35 | 203 | ||||||||
514 | Series 2004-EE, Class 3A1, VAR, 3.100%, 12/25/34 | 500 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
709 | Series 2004-EE, Class 3A2, VAR, 3.100%, 12/25/34 | 681 | |||||||||
178 | Series 2004-Q, Class 1A3, VAR, 4.863%, 09/25/34 | 166 | |||||||||
747 | Series 2004-Q, Class 2A2, VAR, 4.816%, 09/25/34 | 508 | |||||||||
575 | Series 2004-U, Class A1, VAR, 3.106%, 10/25/34 | 546 | |||||||||
895 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 921 | |||||||||
2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 | 1,748 | |||||||||
1,277 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 1,326 | |||||||||
227 | Series 2005-AR13, Class A1, VAR, 5.293%, 05/25/35 | 222 | |||||||||
134,029 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $365,877) | 382,676 | ||||||||||
Commercial Mortgage-Backed Securities — 2.2% | |||||||||||
Banc of America Commercial Mortgage, Inc., | |||||||||||
1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 1,102 | |||||||||
2,435 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 2,213 | |||||||||
1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 1,144 | |||||||||
2,000 | Series 2005-6, Class ASB, VAR, 5.350%, 09/10/47 | 2,151 | |||||||||
485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 | 532 | |||||||||
3,010 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 3,203 | |||||||||
1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 1,076 | |||||||||
500 | Banc of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.698%, 06/24/50 (e) | 546 | |||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
532 | Series 2004-T14, Class A3, 4.800%, 01/12/41 | 550 | |||||||||
640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 | 689 | |||||||||
2,570 | Series 2006-PW11, Class A4, VAR, 5.623%, 03/11/39 | 2,825 | |||||||||
75 | Series 2006-PW12, Class A4, VAR, 5.907%, 09/11/38 | 83 | |||||||||
250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 | 273 | |||||||||
1,000 | Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, VAR, 5.846%, 03/15/39 | 1,055 | |||||||||
1,080 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 1,101 | |||||||||
891 | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.663%, 01/12/43 | 901 | |||||||||
GMAC Commercial Mortgage Securities, Inc., | |||||||||||
148 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 151 | |||||||||
645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 | 691 | |||||||||
GS Mortgage Securities Corp. II, | |||||||||||
465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 | 499 | |||||||||
793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) | 757 | |||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | |||||||||||
2,000 | Series 2005-CB13, Class A4, VAR, 5.459%, 01/12/43 | 2,137 | |||||||||
1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 | 1,078 | |||||||||
285 | Series 2006-CB17, Class A4, 5.429%, 12/12/43 | 304 | |||||||||
620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 | 671 | |||||||||
160 | Series 2006-LDP7, Class A4, VAR, 6.063%, 04/15/45 | 176 | |||||||||
LB-UBS Commercial Mortgage Trust, | |||||||||||
405 | Series 2006-C1, Class A4, 5.156%, 02/15/31 | 437 | |||||||||
1,060 | Series 2006-C4, Class A4, VAR, 6.080%, 06/15/38 | 1,160 | |||||||||
560 | Series 2006-C6, Class A4, 5.372%, 09/15/39 | 604 | |||||||||
Merrill Lynch Mortgage Trust, | |||||||||||
1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 | 1,922 | |||||||||
1,755 | Series 2006-C1, Class A4, VAR, 5.838%, 05/12/39 | 1,883 | |||||||||
Merrill Lynch/Countrywide Commercial Mortgage Trust, | |||||||||||
1,725 | Series 2006-1, Class A4, VAR, 5.594%, 02/12/39 | 1,903 | |||||||||
250 | Series 2006-4, Class A3, VAR, 5.172%, 12/12/49 | 258 | |||||||||
Morgan Stanley Capital I, | |||||||||||
645 | Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52 | 698 | |||||||||
446 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 453 | |||||||||
1,575 | Series 2006-T23, Class AM, VAR, 5.981%, 08/12/41 | 1,562 | |||||||||
785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 | 836 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Commercial Mortgage-Backed Securities — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1,290 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.044%, 08/15/39 | 1,438 | |||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||
1,792 | Series 2004-C15, Class A2, 4.039%, 10/15/41 | 1,803 | |||||||||
170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 | 184 | |||||||||
250 | Series 2006-C25, Class A4, VAR, 5.923%, 05/15/43 | 275 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $37,696) | 41,324 | ||||||||||
Convertible Bond — 0.1% | |||||||||||
Materials — 0.1% | |||||||||||
Construction Materials — 0.1% | |||||||||||
665 | U.S. Concrete, Inc., 9.500%, 07/13/15 (f) (Cost $665) | 665 | |||||||||
Corporate Bonds — 34.3% | |||||||||||
Consumer Discretionary — 5.5% | |||||||||||
Auto Components — 0.1% | |||||||||||
1,000 | DPH Holdings Corp., 7.125%, 05/01/29 (d) | 25 | |||||||||
Goodyear Tire & Rubber Co. (The), | |||||||||||
210 | 9.000%, 07/01/15 (c) | 220 | |||||||||
531 | 10.500%, 05/15/16 | 589 | |||||||||
2,049 | UCI Holdco, Inc., PIK, 8.537%, 12/15/13 | 2,008 | |||||||||
2,842 | |||||||||||
Automobiles — 0.4% | |||||||||||
2,000 | Daimler Finance North America LLC, 7.300%, 01/15/12 | 2,152 | |||||||||
400 | Ford Motor Co., 9.215%, 09/15/21 (c) | 418 | |||||||||
Motors Liquidation Co., | |||||||||||
120 | 5.250%, 03/06/32 | 880 | |||||||||
385 | 6.250%, 07/15/33 | 2,854 | |||||||||
21 | 7.250%, 04/15/41 | 151 | |||||||||
1 | 7.250%, 07/15/41 | 4 | |||||||||
42 | 7.250%, 02/15/52 | 296 | |||||||||
55 | 7.375%, 05/15/48 | 392 | |||||||||
1 | 7.375%, 10/01/51 | 10 | |||||||||
2,500 | 7.700%, 04/15/16 (d) | 744 | |||||||||
250 | Navistar International Corp., 8.250%, 11/01/21 | 262 | |||||||||
8,163 | |||||||||||
Broadcasting & Cable TV — 0.6% | |||||||||||
2,004 | Adelphia Communications Corp., 9.375%, 11/15/09 (d) | 30 | |||||||||
Cablevision Systems Corp., | |||||||||||
175 | 7.750%, 04/15/18 | 184 | |||||||||
80 | 8.000%, 04/15/20 (c) | 86 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||||||||
125 | 7.875%, 04/30/18 (e) | 129 | |||||||||
1,080 | 8.125%, 04/30/20 (e) | 1,137 | |||||||||
DISH DBS Corp., | |||||||||||
400 | 7.000%, 10/01/13 | 417 | |||||||||
530 | 7.125%, 02/01/16 | 542 | |||||||||
475 | 7.875%, 09/01/19 | 495 | |||||||||
400 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15 | 397 | |||||||||
1,675 | Sirius XM Radio, Inc., 9.750%, 09/01/15 (e) | 1,822 | |||||||||
1,750 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 1,798 | |||||||||
2,350 | Videotron Ltee, (Canada), 9.125%, 04/15/18 | 2,608 | |||||||||
1,000 | Virgin Media Finance plc, (United Kingdom), 8.375%, 10/15/19 | 1,090 | |||||||||
10,735 | |||||||||||
Distributors — 0.0% (g) | |||||||||||
450 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 397 | |||||||||
Diversified Consumer Services — 0.3% | |||||||||||
750 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) | 720 | |||||||||
500 | Mac-Gray Corp., 7.625%, 08/15/15 | 481 | |||||||||
Service Corp. International, | |||||||||||
495 | 7.000%, 06/15/17 | 512 | |||||||||
2,073 | 7.625%, 10/01/18 | 2,174 | |||||||||
500 | Sotheby’s, 7.750%, 06/15/15 | 508 | |||||||||
Stewart Enterprises, Inc., | |||||||||||
165 | 3.125%, 07/15/14 | 150 | |||||||||
1,863 | 6.250%, 02/15/13 | 1,863 | |||||||||
6,408 | |||||||||||
Gaming — 0.7% | |||||||||||
2,502 | Chukchansi Economic Development Authority, 8.000%, 11/15/13 (e) | 1,451 | |||||||||
1,000 | Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp., 10.250%, 06/15/15 (d) (e) | 3 | |||||||||
3,500 | Harrah’s Operating Co., Inc., 10.000%, 12/15/18 (c) | 2,730 | |||||||||
Mashantucket Western Pequot Tribe, | |||||||||||
250 | 5.912%, 09/01/21 (d) (e) | 168 | |||||||||
1,010 | 8.500%, 11/15/15 (d) (e) | 162 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Gaming — Continued | |||||||||||
1,000 | MGM Resorts International, 6.875%, 04/01/16 (c) | 785 | |||||||||
1,750 | Peninsula Gaming LLC, 8.375%, 08/15/15 (c) | 1,816 | |||||||||
1,000 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 1,047 | |||||||||
1,750 | Seminole Hard Rock Entertainment, Inc., VAR, 3.037%, 03/15/14 (e) | 1,527 | |||||||||
2,000 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) | 1,525 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | |||||||||||
625 | 7.750%, 08/15/20 (e) | 631 | |||||||||
165 | 7.875%, 11/01/17 (e) | 170 | |||||||||
350 | 7.875%, 05/01/20 (c) (e) | 353 | |||||||||
12,368 | |||||||||||
Hotels, Restaurants & Leisure — 0.4% | |||||||||||
700 | AMC Entertainment, Inc., 8.750%, 06/01/19 (c) | 723 | |||||||||
500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 524 | |||||||||
Host Hotels & Resorts LP, | |||||||||||
750 | 6.875%, 11/01/14 | 767 | |||||||||
872 | 7.125%, 11/01/13 | 885 | |||||||||
225 | Landry’s Restaurants, Inc., 11.625%, 12/01/15 | 233 | |||||||||
Marina District Finance Co., Inc., | |||||||||||
175 | 9.500%, 10/15/15 (c) (e) | 174 | |||||||||
175 | 9.875%, 08/15/18 (c) (e) | 174 | |||||||||
500 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 502 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), | |||||||||||
7 | 6.875%, 12/01/13 | 7 | |||||||||
400 | 7.000%, 06/15/13 | 409 | |||||||||
338 | 7.250%, 06/15/16 | 341 | |||||||||
408 | 11.875%, 07/15/15 | 480 | |||||||||
1,000 | Speedway Motorsports, Inc., 6.750%, 06/01/13 | 1,002 | |||||||||
255 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 282 | |||||||||
455 | Vail Resorts, Inc., 6.750%, 02/15/14 | 458 | |||||||||
6,961 | |||||||||||
Household Durables — 0.4% | |||||||||||
1,000 | D.R. Horton, Inc., 5.625%, 01/15/16 | 963 | |||||||||
KB Home, | |||||||||||
1,500 | 5.750%, 02/01/14 | 1,408 | |||||||||
415 | 5.875%, 01/15/15 | 381 | |||||||||
1,875 | Lennar Corp., 6.950%, 06/01/18 (c) (e) | 1,657 | |||||||||
1,000 | Meritage Homes Corp., 7.150%, 04/15/20 | 920 | |||||||||
420 | Newell Rubbermaid, Inc., 4.700%, 08/15/20 | 440 | |||||||||
330 | Simmons Bedding Co., Escrow, 10.000%, 12/15/14 | — | |||||||||
750 | Standard Pacific Corp., 7.000%, 08/15/15 | 690 | |||||||||
6,459 | |||||||||||
Internet & Catalog Retail — 0.1% | |||||||||||
650 | Expedia, Inc., 5.950%, 08/15/20 (e) | 664 | |||||||||
400 | NetFlix, Inc., 8.500%, 11/15/17 | 436 | |||||||||
1,100 | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
250 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 (c) | 253 | |||||||||
1,440 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 1,379 | |||||||||
115 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 113 | |||||||||
750 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 729 | |||||||||
2,474 | |||||||||||
Media — 1.2% | |||||||||||
600 | Belo Corp., 8.000%, 11/15/16 | 636 | |||||||||
500 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 495 | |||||||||
160 | CBS Corp., 8.875%, 05/15/19 | 208 | |||||||||
1,030 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 1,051 | |||||||||
Clear Channel Worldwide Holdings, Inc., | |||||||||||
160 | 9.250%, 12/15/17 | 166 | |||||||||
650 | 9.250%, 12/15/17 | 682 | |||||||||
240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 | 337 | |||||||||
1,500 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 | 1,673 | |||||||||
Comcast Corp., | |||||||||||
850 | 5.900%, 03/15/16 | 982 | |||||||||
240 | 6.300%, 11/15/17 | 283 | |||||||||
900 | CSC Holdings LLC, 7.625%, 07/15/18 | 958 | |||||||||
175 | Entravision Communications Corp., 8.750%, 08/01/17 (e) | 175 | |||||||||
Gannett Co., Inc., | |||||||||||
500 | 8.750%, 11/15/14 (c) (e) | 539 | |||||||||
175 | 9.375%, 11/15/17 (e) | 191 | |||||||||
1,000 | Historic TW, Inc., 9.150%, 02/01/23 | 1,377 | |||||||||
1,225 | Intelsat Jackson Holdings S.A., (Luxembourg), 8.500%, 11/01/19 (e) | 1,295 | |||||||||
1,000 | Intelsat Subsidiary Holding Co. S.A., (Bermuda), 8.500%, 01/15/13 | 1,012 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Media — Continued | |||||||||||
350 | Interpublic Group of Cos., Inc. (The), 10.000%, 07/15/17 | 403 | |||||||||
Lamar Media Corp., | |||||||||||
150 | 6.625%, 08/15/15 | 150 | |||||||||
750 | 6.625%, 08/15/15 | 743 | |||||||||
75 | McClatchy Co. (The), 11.500%, 02/15/17 (e) | 77 | |||||||||
500 | Media General, Inc., 11.750%, 02/15/17 (c) | 532 | |||||||||
News America Holdings, Inc., | |||||||||||
800 | 7.750%, 01/20/24 | 1,020 | |||||||||
147 | 8.875%, 04/26/23 | 203 | |||||||||
News America, Inc., | |||||||||||
600 | 6.750%, 01/09/38 | 692 | |||||||||
200 | 7.850%, 03/01/39 | 264 | |||||||||
141 | Salem Communications Corp., 9.625%, 12/15/16 | 147 | |||||||||
Thomson Reuters Corp., (Canada), | |||||||||||
280 | 4.700%, 10/15/19 | 310 | |||||||||
410 | 5.950%, 07/15/13 | 461 | |||||||||
200 | 6.500%, 07/15/18 | 242 | |||||||||
335 | Time Warner Cable, Inc., 7.300%, 07/01/38 | 414 | |||||||||
Time Warner Entertainment Co. LP, | |||||||||||
415 | 8.375%, 03/15/23 | 543 | |||||||||
945 | 8.375%, 07/15/33 | 1,241 | |||||||||
750 | 10.150%, 05/01/12 | 854 | |||||||||
50 | Viacom, Inc., 6.875%, 04/30/36 | 60 | |||||||||
500 | Walt Disney Co. (The), 5.875%, 12/15/17 | 608 | |||||||||
1,303 | WMG Acquisition Corp., 9.500%, 06/15/16 | 1,362 | |||||||||
22,386 | |||||||||||
Multiline Retail — 0.4% | |||||||||||
2,050 | HSN, Inc., 11.250%, 08/01/16 | 2,327 | |||||||||
QVC, Inc., | |||||||||||
75 | 7.125%, 04/15/17 (e) | 76 | |||||||||
75 | 7.375%, 10/15/20 (e) | 76 | |||||||||
2,050 | 7.500%, 10/01/19 (e) | 2,091 | |||||||||
Target Corp., | |||||||||||
1,430 | 3.875%, 07/15/20 | 1,499 | |||||||||
310 | 7.000%, 01/15/38 | 406 | |||||||||
6,475 | |||||||||||
Specialty Retail — 0.8% | |||||||||||
1,000 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 1,050 | |||||||||
500 | Brown Shoe Co., Inc., 8.750%, 05/01/12 | 509 | |||||||||
265 | Burlington Coat Factory Investment Holdings, Inc., SUB, 14.500%, 10/15/14 | 282 | |||||||||
951 | Lowe’s Cos., Inc., 7.110%, 05/15/37 | 1,250 | |||||||||
Ltd. Brands, Inc., | |||||||||||
375 | 7.000%, 05/01/20 | 392 | |||||||||
1,600 | 8.500%, 06/15/19 | 1,808 | |||||||||
2,250 | Michael’s Stores, Inc., SUB, 11/01/16 (c) | 2,115 | |||||||||
2,000 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 1,800 | |||||||||
Nebraska Book Co., Inc., | |||||||||||
1,500 | 8.625%, 03/15/12 (c) | 1,410 | |||||||||
102 | 10.000%, 12/01/11 | 103 | |||||||||
750 | Sally Holdings LLC/Sally Capital, Inc., 9.250%, 11/15/14 | 787 | |||||||||
200 | Staples, Inc., 9.750%, 01/15/14 | 248 | |||||||||
1,000 | Toys R US - Delaware, Inc., 7.375%, 09/01/16 (e) | 1,010 | |||||||||
2,000 | Toys R Us Property Co. LLC, 8.500%, 12/01/17 (e) | 2,080 | |||||||||
14,844 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.0% (g) | |||||||||||
250 | Hanesbrands, Inc., VAR, 4.121%, 12/15/14 | 237 | |||||||||
120 | Phillips-Van Heusen Corp., 7.375%, 05/15/20 | 124 | |||||||||
361 | |||||||||||
Total Consumer Discretionary | 101,973 | ||||||||||
Consumer Staples — 1.8% | |||||||||||
Beverages — 0.5% | |||||||||||
Anheuser-Busch Cos., Inc., | |||||||||||
325 | 5.500%, 01/15/18 | 367 | |||||||||
550 | 5.750%, 04/01/36 | 598 | |||||||||
280 | 7.550%, 10/01/30 | 361 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., | |||||||||||
160 | 6.875%, 11/15/19 (e) | 198 | |||||||||
280 | 7.200%, 01/15/14 (e) | 326 | |||||||||
275 | 7.750%, 01/15/19 (e) | 352 | |||||||||
Coca-Cola Enterprises, Inc., | |||||||||||
400 | 6.950%, 11/15/26 | 520 | |||||||||
528 | 8.500%, 02/01/12 | 581 | |||||||||
Constellation Brands, Inc., | |||||||||||
330 | 7.250%, 09/01/16 | 346 | |||||||||
1,000 | 7.250%, 05/15/17 | 1,047 | |||||||||
Diageo Finance B.V., (Netherlands), | |||||||||||
575 | 5.300%, 10/28/15 | 657 | |||||||||
325 | 5.500%, 04/01/13 | 359 | |||||||||
1,000 | Diageo Investment Corp., 7.450%, 04/15/35 | 1,374 | |||||||||
PepsiCo, Inc., | |||||||||||
800 | 3.750%, 03/01/14 | 863 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Beverages — Continued | |||||||||||
325 | 7.900%, 11/01/18 | 434 | |||||||||
1,235 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 1,359 | |||||||||
9,742 | |||||||||||
Food & Staples Retailing — 0.6% | |||||||||||
CVS Caremark Corp., | |||||||||||
225 | 5.750%, 06/01/17 | 258 | |||||||||
295 | 6.125%, 09/15/39 | 331 | |||||||||
1,710 | Ingles Markets, Inc., 8.875%, 05/15/17 | 1,789 | |||||||||
Kroger Co. (The), | |||||||||||
215 | 6.400%, 08/15/17 | 257 | |||||||||
712 | 7.500%, 04/01/31 | 927 | |||||||||
300 | 7.700%, 06/01/29 | 395 | |||||||||
4,000 | Rite Aid Corp., 9.500%, 06/15/17 | 3,170 | |||||||||
2,000 | SUPERVALU, Inc., 8.000%, 05/01/16 (c) | 2,005 | |||||||||
Wal-Mart Stores, Inc., | |||||||||||
160 | 5.250%, 09/01/35 | 175 | |||||||||
1,000 | 6.200%, 04/15/38 | 1,232 | |||||||||
260 | 7.550%, 02/15/30 | 360 | |||||||||
10,899 | |||||||||||
Food Products — 0.5% | |||||||||||
Bunge Ltd. Finance Corp., | |||||||||||
370 | 5.875%, 05/15/13 | 397 | |||||||||
655 | 8.500%, 06/15/19 | 792 | |||||||||
148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 | 158 | |||||||||
1,000 | Cargill, Inc., 7.350%, 03/06/19 (e) | 1,268 | |||||||||
135 | ConAgra Foods, Inc., 7.000%, 04/15/19 | 168 | |||||||||
Del Monte Corp., | |||||||||||
185 | 6.750%, 02/15/15 | 190 | |||||||||
1,000 | 7.500%, 10/15/19 | 1,060 | |||||||||
220 | Dole Food Co., Inc., 8.000%, 10/01/16 (e) | 227 | |||||||||
143 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 143 | |||||||||
641 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 735 | |||||||||
Kraft Foods, Inc., | |||||||||||
810 | 6.125%, 02/01/18 | 948 | |||||||||
335 | 6.500%, 08/11/17 | 400 | |||||||||
575 | 6.875%, 02/01/38 | 709 | |||||||||
Smithfield Foods, Inc., | |||||||||||
765 | 7.750%, 05/15/13 | 769 | |||||||||
250 | 10.000%, 07/15/14 (e) | 279 | |||||||||
8,243 | |||||||||||
Household Products — 0.2% | |||||||||||
Jarden Corp., | |||||||||||
695 | 7.500%, 05/01/17 | 708 | |||||||||
100 | 7.500%, 01/15/20 | 102 | |||||||||
1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 | 1,219 | |||||||||
831 | Procter & Gamble - ESOP, 9.360%, 01/01/21 | 1,099 | |||||||||
535 | Spectrum Brands Holdings, Inc., PIK, 12.000%, 08/28/19 | 574 | |||||||||
3,702 | |||||||||||
Personal Products — 0.0% (g) | |||||||||||
Visant Holding Corp., | |||||||||||
360 | 8.750%, 12/01/13 | 367 | |||||||||
340 | SUB, 10.250%, 12/01/13 | 347 | |||||||||
714 | |||||||||||
Tobacco — 0.0% (g) | |||||||||||
250 | Alliance One International, Inc., 10.000%, 07/15/16 | 262 | |||||||||
Total Consumer Staples | 33,562 | ||||||||||
Energy — 2.8% | |||||||||||
Energy Equipment & Services — 0.3% | |||||||||||
405 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 410 | |||||||||
720 | Baker Hughes, Inc., 5.125%, 09/15/40 | 752 | |||||||||
70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 | 80 | |||||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | |||||||||||
300 | 10.000%, 01/15/18 | 294 | |||||||||
250 | 11.750%, 05/27/14 | 275 | |||||||||
Halliburton Co., | |||||||||||
500 | 7.450%, 09/15/39 | 673 | |||||||||
700 | 8.750%, 02/15/21 | 938 | |||||||||
161 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) | 159 | |||||||||
1,000 | Key Energy Services, Inc., 8.375%, 12/01/14 | 1,032 | |||||||||
80 | Parker Drilling Co., 9.125%, 04/01/18 (e) | 80 | |||||||||
500 | PHI, Inc., 7.125%, 04/15/13 | 482 | |||||||||
155 | Pride International, Inc., 6.875%, 08/15/20 | 163 | |||||||||
500 | Sevan Marine ASA, (Norway), 12.000%, 08/10/15 (e) | 507 | |||||||||
5,845 | |||||||||||
Oil, Gas & Consumable Fuels — 2.5% | |||||||||||
2,640 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 (c) | 2,587 | |||||||||
250 | AmeriGas Partners LP, 7.250%, 05/20/15 | 257 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
750 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 770 | |||||||||
Anadarko Petroleum Corp., | |||||||||||
300 | 6.375%, 09/15/17 | 297 | |||||||||
350 | 6.950%, 06/15/19 | 353 | |||||||||
125 | 7.625%, 03/15/14 | 134 | |||||||||
100 | 7.950%, 06/15/39 | 98 | |||||||||
225 | 8.700%, 03/15/19 | 248 | |||||||||
175 | Apache Corp., 6.900%, 09/15/18 | 219 | |||||||||
190 | Arch Coal, Inc., 7.250%, 10/01/20 | 193 | |||||||||
1,500 | Bill Barrett Corp., 9.875%, 07/15/16 | 1,628 | |||||||||
BP Capital Markets plc, (United Kingdom), | |||||||||||
1,835 | 3.875%, 03/10/15 | 1,818 | |||||||||
515 | 4.750%, 03/10/19 (c) | 505 | |||||||||
325 | 5.250%, 11/07/13 | 337 | |||||||||
330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 | 377 | |||||||||
810 | Cenovus Energy, Inc., (Canada), 5.700%, 10/15/19 | 937 | |||||||||
Chesapeake Energy Corp., | |||||||||||
430 | 6.500%, 08/15/17 | 436 | |||||||||
285 | 6.875%, 08/15/18 | 291 | |||||||||
250 | 9.500%, 02/15/15 | 281 | |||||||||
450 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 482 | |||||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | |||||||||||
450 | 8.250%, 12/15/17 (e) | 465 | |||||||||
500 | 8.500%, 12/15/19 (e) | 520 | |||||||||
1,000 | Comstock Resources, Inc., 8.375%, 10/15/17 | 1,023 | |||||||||
425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 | 557 | |||||||||
ConocoPhillips, | |||||||||||
275 | 5.750%, 02/01/19 | 328 | |||||||||
750 | 6.500%, 02/01/39 | 956 | |||||||||
410 | 7.000%, 03/30/29 | 501 | |||||||||
300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 | 387 | |||||||||
Consol Energy, Inc., | |||||||||||
300 | 8.000%, 04/01/17 (e) | 317 | |||||||||
250 | 8.250%, 04/01/20 (e) | 265 | |||||||||
180 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 | 182 | |||||||||
924 | Denbury Resources, Inc., 8.250%, 02/15/20 | 986 | |||||||||
270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 | 368 | |||||||||
100 | Ecopetrol S.A., (Colombia), 7.625%, 07/23/19 | 119 | |||||||||
El Paso Corp., | |||||||||||
1,900 | 6.875%, 06/15/14 (c) | 2,011 | |||||||||
150 | 7.000%, 06/15/17 | 158 | |||||||||
150 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 160 | |||||||||
215 | Encana Corp., (Canada), 6.625%, 08/15/37 | 258 | |||||||||
150 | EnCana Corp., (Canada), 6.500%, 05/15/19 (c) | 183 | |||||||||
200 | EOG Resources, Inc., 6.875%, 10/01/18 | 251 | |||||||||
825 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 852 | |||||||||
500 | Forest Oil Corp., 7.250%, 06/15/19 | 501 | |||||||||
1,000 | Frontier Oil Corp., 8.500%, 09/15/16 | 1,025 | |||||||||
162 | Gazprom International S.A., (Russia), 7.201%, 02/01/20 | 173 | |||||||||
650 | Holly Corp., 9.875%, 06/15/17 | 683 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | |||||||||||
675 | 6.250%, 03/01/15 | 652 | |||||||||
150 | 8.250%, 03/15/18 (e) | 154 | |||||||||
KazMunaiGaz Finance Sub B.V., (Netherlands), | |||||||||||
220 | 8.375%, 07/02/13 | 240 | |||||||||
290 | 9.125%, 07/02/18 | 350 | |||||||||
690 | 11.750%, 01/23/15 | 861 | |||||||||
225 | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 04/15/20 (e) | 237 | |||||||||
250 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 | 276 | |||||||||
410 | Marathon Oil Corp., 6.000%, 10/01/17 | 475 | |||||||||
500 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 8.750%, 04/15/18 | 535 | |||||||||
Newfield Exploration Co., | |||||||||||
750 | 6.875%, 02/01/20 | 782 | |||||||||
450 | 7.125%, 05/15/18 | 471 | |||||||||
225 | Patriot Coal Corp., 8.250%, 04/30/18 | 223 | |||||||||
Pemex Project Funding Master Trust, (Mexico), | |||||||||||
578 | 5.750%, 03/01/18 | 631 | |||||||||
57 | 6.625%, 06/15/35 | 62 | |||||||||
638 | Penn Virginia Corp., 10.375%, 06/15/16 | 694 | |||||||||
325 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 328 | |||||||||
Petro-Canada, (Canada), | |||||||||||
400 | 6.800%, 05/15/38 | 481 | |||||||||
335 | 7.875%, 06/15/26 | 422 | |||||||||
40 | Petroleos Mexicanos, (Mexico), 6.625%, 06/15/35 (e) | 44 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
125 | Petronas Capital Ltd., (Malaysia), 5.250%, 08/12/19 | 140 | |||||||||
130 | Pioneer Drilling Co., 9.875%, 03/15/18 (e) | 130 | |||||||||
Pioneer Natural Resources Co., | |||||||||||
150 | 6.650%, 03/15/17 | 157 | |||||||||
1,075 | 7.500%, 01/15/20 | 1,155 | |||||||||
115 | Plains All American Pipelines LP, 6.500%, 05/01/18 | 131 | |||||||||
150 | Plains Exploration & Production Co., 7.625%, 04/01/20 | 152 | |||||||||
1,315 | QEP Resources, Inc., 6.875%, 03/01/21 | 1,371 | |||||||||
150 | Quicksilver Resources, Inc., 9.125%, 08/15/19 (c) | 161 | |||||||||
Range Resources Corp., | |||||||||||
45 | 6.750%, 08/01/20 | 45 | |||||||||
25 | 7.250%, 05/01/18 | 26 | |||||||||
1,000 | 7.500%, 05/15/16 | 1,040 | |||||||||
Sabine Pass LNG LP, | |||||||||||
500 | 7.250%, 11/30/13 | 470 | |||||||||
350 | 7.500%, 11/30/16 | 310 | |||||||||
Shell International Finance B.V., (Netherlands), | |||||||||||
1,030 | 1.875%, 03/25/13 | 1,051 | |||||||||
679 | 3.100%, 06/28/15 | 711 | |||||||||
500 | 4.300%, 09/22/19 | 542 | |||||||||
270 | Sonat, Inc., 7.625%, 07/15/11 | 280 | |||||||||
375 | Southern Star Central Corp., 6.750%, 03/01/16 | 378 | |||||||||
435 | StatoilHydro ASA, (Norway), 7.150%, 11/15/25 | 563 | |||||||||
100 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.375%, 03/15/20 | 104 | |||||||||
815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 | 988 | |||||||||
1,000 | Swift Energy Co., 7.125%, 06/01/17 | 955 | |||||||||
120 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 | 151 | |||||||||
295 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 7.875%, 10/15/18 (e) | 303 | |||||||||
278 | Union Pacific Resources Group, Inc., 7.150%, 05/15/28 | 264 | |||||||||
Western Refining, Inc., | |||||||||||
1,282 | 11.250%, 06/15/17 (e) | 1,167 | |||||||||
740 | VAR, 10.750%, 06/15/14 (e) | 673 | |||||||||
XTO Energy, Inc., | |||||||||||
325 | 4.625%, 06/15/13 | 357 | |||||||||
175 | 6.250%, 08/01/17 | 216 | |||||||||
47,386 | |||||||||||
Total Energy | 53,231 | ||||||||||
Financials — 10.7% | |||||||||||
Capital Markets — 1.7% | |||||||||||
Bank of New York Mellon Corp. (The), | |||||||||||
525 | 2.950%, 06/18/15 | 549 | |||||||||
530 | 4.600%, 01/15/20 (c) | 587 | |||||||||
440 | 5.125%, 08/27/13 | 489 | |||||||||
978 | BlackRock, Inc., 5.000%, 12/10/19 | 1,078 | |||||||||
750 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 828 | |||||||||
1,690 | Credit Suisse USA, Inc., 6.125%, 11/15/11 | 1,792 | |||||||||
1,000 | FMR LLC, 4.750%, 03/01/13 (e) | 1,053 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
596 | 3.700%, 08/01/15 | 603 | |||||||||
650 | 5.150%, 01/15/14 | 698 | |||||||||
780 | 5.250%, 10/15/13 | 844 | |||||||||
819 | 5.375%, 03/15/20 | 845 | |||||||||
450 | 5.750%, 10/01/16 | 497 | |||||||||
2,100 | 5.950%, 01/18/18 | 2,273 | |||||||||
127 | 6.000%, 06/15/20 | 137 | |||||||||
115 | 6.250%, 09/01/17 | 128 | |||||||||
2,000 | 6.600%, 01/15/12 | 2,137 | |||||||||
965 | 6.750%, 10/01/37 | 985 | |||||||||
180 | 7.500%, 02/15/19 | 210 | |||||||||
Jefferies Group, Inc., | |||||||||||
950 | 6.250%, 01/15/36 | 888 | |||||||||
140 | 6.450%, 06/08/27 | 141 | |||||||||
580 | 8.500%, 07/15/19 | 673 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
235 | 3.600%, 03/13/09 (d) | 50 | |||||||||
1,000 | 5.750%, 05/17/13 (d) | 210 | |||||||||
950 | 6.500%, 07/19/17 (d) | — | (h) | ||||||||
750 | 6.875%, 07/17/37 (d) | — | (h) | ||||||||
295 | 8.500%, 08/01/15 (d) | 62 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
900 | 5.700%, 05/02/17 | 937 | |||||||||
1,710 | 6.875%, 04/25/18 | 1,882 | |||||||||
Morgan Stanley, | |||||||||||
198 | 4.000%, 07/24/15 | 199 | |||||||||
505 | 4.200%, 11/20/14 | 520 | |||||||||
650 | 5.300%, 03/01/13 | 695 | |||||||||
243 | 5.500%, 07/24/20 | 245 | |||||||||
810 | 5.625%, 01/09/12 | 848 | |||||||||
310 | 5.625%, 09/23/19 | 316 | |||||||||
150 | 6.000%, 05/13/14 | 163 | |||||||||
1,315 | 6.000%, 04/28/15 | 1,434 | |||||||||
320 | 6.250%, 08/28/17 | 348 | |||||||||
1,040 | 6.600%, 04/01/12 | 1,116 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
1,250 | 6.625%, 04/01/18 | 1,373 | |||||||||
Nomura Holdings, Inc., (Japan), | |||||||||||
500 | 5.000%, 03/04/15 | 537 | |||||||||
757 | 6.700%, 03/04/20 | 864 | |||||||||
740 | Northern Trust Co. (The), 5.850%, 11/09/17 | 861 | |||||||||
113 | Northern Trust Corp., 5.500%, 08/15/13 | 127 | |||||||||
200 | State Street Corp., 4.300%, 05/30/14 | 220 | |||||||||
UBS AG, (Switzerland), | |||||||||||
305 | 2.250%, 08/12/13 | 306 | |||||||||
650 | 3.875%, 01/15/15 | 672 | |||||||||
900 | 5.750%, 04/25/18 | 1,011 | |||||||||
450 | 5.875%, 12/20/17 | 508 | |||||||||
32,939 | |||||||||||
Commercial Banks — 3.8% | |||||||||||
705 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 714 | |||||||||
Bank of America Corp., | |||||||||||
735 | 3.125%, 06/15/12 | 768 | |||||||||
695 | 3.700%, 09/01/15 | 694 | |||||||||
1,500 | 6.975%, 03/07/37 | 1,687 | |||||||||
1,005 | 7.375%, 05/15/14 | 1,147 | |||||||||
300 | 7.400%, 01/15/11 | 307 | |||||||||
500 | 7.800%, 09/15/16 | 582 | |||||||||
614 | Bank of Nova Scotia, (Canada), 3.400%, 01/22/15 | 653 | |||||||||
679 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) | 723 | |||||||||
250 | Bankers Trust Corp., 7.250%, 10/15/11 | 261 | |||||||||
Barclays Bank plc, (United Kingdom), | |||||||||||
1,615 | 2.500%, 01/23/13 | 1,644 | |||||||||
1,280 | 5.125%, 01/08/20 | 1,361 | |||||||||
980 | 6.050%, 12/04/17 (e) | 1,055 | |||||||||
305 | 6.750%, 05/22/19 | 361 | |||||||||
225 | VAR, 5.926%, 12/15/16 (e) (x) | 197 | |||||||||
575 | VAR, 7.434%, 12/15/17 (e) (x) | 569 | |||||||||
BB&T Corp., | |||||||||||
500 | 3.850%, 07/27/12 | 524 | |||||||||
1,250 | 3.950%, 04/29/16 | 1,312 | |||||||||
500 | 4.900%, 06/30/17 | 530 | |||||||||
1,000 | 6.500%, 08/01/11 | 1,050 | |||||||||
150 | 6.850%, 04/30/19 | 182 | |||||||||
1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 1,864 | |||||||||
2,250 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 2,308 | |||||||||
600 | Capital One Capital V, 10.250%, 08/15/39 | 648 | |||||||||
500 | Capital One Capital VI, 8.875%, 05/15/40 | 526 | |||||||||
Capital One Financial Corp., | |||||||||||
500 | 6.250%, 11/15/13 | 556 | |||||||||
485 | 6.750%, 09/15/17 | 575 | |||||||||
690 | 7.375%, 05/23/14 | 804 | |||||||||
1,045 | Comerica Bank, 5.200%, 08/22/17 | 1,107 | |||||||||
1,000 | Countrywide Capital III, 8.050%, 06/15/27 | 1,030 | |||||||||
700 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 | 713 | |||||||||
1,950 | Credit Agricole S.A., (France), VAR, 6.637%, 05/31/17 (e) (x) | 1,657 | |||||||||
Credit Suisse, (Switzerland), | |||||||||||
2,375 | 5.000%, 05/15/13 | 2,570 | |||||||||
285 | 5.500%, 05/01/14 | 315 | |||||||||
Deutsche Bank AG, (Germany), | |||||||||||
1,475 | 2.375%, 01/11/13 | 1,502 | |||||||||
375 | 3.875%, 08/18/14 | 399 | |||||||||
500 | Fifth Third Bancorp, 5.450%, 01/15/17 | 520 | |||||||||
395 | HSBC Bank, 6.000%, 08/09/17 | 444 | |||||||||
927 | HSBC Bank plc, (United Kingdom), 4.125%, 08/12/20 (e) | 941 | |||||||||
700 | KeyBank N.A., 5.700%, 08/15/12 | 741 | |||||||||
725 | KeyCorp, 6.500%, 05/14/13 | 794 | |||||||||
1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 | 1,443 | |||||||||
370 | Marshall & Ilsley Corp., 5.350%, 04/01/11 | 377 | |||||||||
National Australia Bank Ltd., (Australia), | |||||||||||
3,010 | 2.500%, 01/08/13 (e) | 3,058 | |||||||||
255 | 3.750%, 03/02/15 (e) | 268 | |||||||||
1,500 | National City Bank, 4.625%, 05/01/13 | 1,571 | |||||||||
500 | NB Capital Trust II, 7.830%, 12/15/26 | 501 | |||||||||
PNC Funding Corp., | |||||||||||
1,115 | 3.000%, 05/19/14 | 1,146 | |||||||||
1,057 | 4.375%, 08/11/20 | 1,073 | |||||||||
1,250 | 5.250%, 11/15/15 | 1,361 | |||||||||
2,150 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 2,224 | |||||||||
Regions Financial Corp., | |||||||||||
200 | 6.375%, 05/15/12 | 203 | |||||||||
1,170 | 7.375%, 12/10/37 | 1,085 | |||||||||
RSHB Capital S.A. for OJSC Russian Agricultural Bank, (Russia), | |||||||||||
195 | 7.175%, 05/16/13 | 209 | |||||||||
300 | 9.000%, 06/11/14 | 341 | |||||||||
225 | Standard Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) | 248 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 | 2,428 | |||||||||
2,500 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 2,547 | |||||||||
2,000 | U.S. Bancorp, 7.500%, 06/01/26 | 2,351 | |||||||||
500 | UnionBanCal Corp., 5.250%, 12/16/13 | 546 | |||||||||
Wachovia Bank N.A., | |||||||||||
2,110 | 5.600%, 03/15/16 | 2,303 | |||||||||
750 | 6.000%, 11/15/17 | 846 | |||||||||
750 | 6.600%, 01/15/38 | 850 | |||||||||
500 | Wachovia Capital Trust III, VAR, 5.800%, 03/15/11 (x) | 424 | |||||||||
Wachovia Corp., | |||||||||||
760 | 5.500%, 05/01/13 | 834 | |||||||||
1,555 | 5.750%, 02/01/18 | 1,757 | |||||||||
515 | SUB, 7.574%, 08/01/26 | 623 | |||||||||
Wells Fargo & Co., | |||||||||||
1,025 | 3.750%, 10/01/14 | 1,080 | |||||||||
1,665 | 5.625%, 12/11/17 | 1,881 | |||||||||
Westpac Banking Corp., (Australia), | |||||||||||
670 | 4.200%, 02/27/15 | 716 | |||||||||
942 | 4.875%, 11/19/19 | 1,003 | |||||||||
71,632 | |||||||||||
Consumer Finance — 0.7% | |||||||||||
475 | American Express Co., 7.250%, 05/20/14 | 552 | |||||||||
American Express Credit Corp., | |||||||||||
840 | 5.875%, 05/02/13 | 924 | |||||||||
1,100 | 7.300%, 08/20/13 | 1,260 | |||||||||
American Honda Finance Corp., | |||||||||||
375 | 2.375%, 03/18/13 (e) | 383 | |||||||||
810 | 4.625%, 04/02/13 (e) | 872 | |||||||||
835 | 7.625%, 10/01/18 (e) | 1,059 | |||||||||
Ford Motor Credit Co. LLC, | |||||||||||
125 | 6.625%, 08/15/17 | 127 | |||||||||
3,000 | 8.125%, 01/15/20 (c) | 3,281 | |||||||||
HSBC Finance Corp., | |||||||||||
1,000 | 5.000%, 06/30/15 | 1,079 | |||||||||
500 | 6.375%, 11/27/12 | 544 | |||||||||
400 | 7.350%, 11/27/32 | 442 | |||||||||
John Deere Capital Corp., | |||||||||||
230 | 5.250%, 10/01/12 | 249 | |||||||||
515 | 5.350%, 04/03/18 | 597 | |||||||||
670 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 708 | |||||||||
662 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 663 | |||||||||
12,740 | |||||||||||
Diversified Financial Services — 2.2% | |||||||||||
4,400 | ACE Cash Express, Inc., 10.250%, 10/01/14 (e) (f) (i) | 3,707 | |||||||||
1,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 1,058 | |||||||||
1,500 | Cardtronics, Inc., 8.250%, 09/01/18 | 1,534 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
800 | 4.850%, 12/07/12 | 866 | |||||||||
850 | 5.450%, 04/15/18 | 986 | |||||||||
500 | CIT Group, Inc., 7.000%, 05/01/15 | 481 | |||||||||
Citigroup, Inc., | |||||||||||
291 | 5.375%, 08/09/20 | 294 | |||||||||
375 | 5.500%, 10/15/14 | 399 | |||||||||
1,550 | 5.500%, 02/15/17 | 1,593 | |||||||||
1,000 | 6.000%, 12/13/13 | 1,079 | |||||||||
1,350 | 6.000%, 08/15/17 | 1,446 | |||||||||
260 | 6.375%, 08/12/14 | 284 | |||||||||
645 | 6.875%, 06/01/25 | 697 | |||||||||
1,115 | 7.000%, 12/01/25 | 1,213 | |||||||||
1,260 | 8.500%, 05/22/19 | 1,541 | |||||||||
CME Group, Inc., | |||||||||||
1,500 | 5.400%, 08/01/13 | 1,675 | |||||||||
200 | 5.750%, 02/15/14 | 227 | |||||||||
175 | CNG Holdings, Inc., 12.250%, 02/15/15 (e) | 183 | |||||||||
Deluxe Corp., | |||||||||||
58 | 5.125%, 10/01/14 | 55 | |||||||||
75 | 7.375%, 06/01/15 | 76 | |||||||||
General Electric Capital Corp., | |||||||||||
1,115 | 5.625%, 05/01/18 | 1,229 | |||||||||
5,760 | 5.875%, 02/15/12 | 6,140 | |||||||||
3,370 | 5.875%, 01/14/38 | 3,465 | |||||||||
130 | 5.900%, 05/13/14 | 147 | |||||||||
1,000 | 6.000%, 06/15/12 | 1,081 | |||||||||
1,100 | 6.750%, 03/15/32 | 1,244 | |||||||||
145 | 6.875%, 01/10/39 | 170 | |||||||||
445 | VAR, 0.446%, 08/15/11 | 445 | |||||||||
200 | ILFC E-Capital Trust I, VAR, 5.900%, 12/21/65 (e) | 125 | |||||||||
600 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 382 | |||||||||
International Lease Finance Corp., | |||||||||||
320 | 8.625%, 09/15/15 (e) | 322 | |||||||||
1,820 | 8.750%, 03/15/17 (e) | 1,836 | |||||||||
600 | 8.875%, 09/01/17 | 604 | |||||||||
900 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 828 | |||||||||
110 | National Gas Co. of Trinidad & Tobago Ltd., (Trinidad & Tobago), 6.050%, 01/15/36 | 101 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Diversified Financial Services — Continued | |||||||||||
National Rural Utilities Cooperative Finance Corp., | |||||||||||
385 | 4.750%, 03/01/14 | 428 | |||||||||
400 | 7.250%, 03/01/12 | 437 | |||||||||
170 | 10.375%, 11/01/18 | 245 | |||||||||
1,350 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 1,191 | |||||||||
505 | Textron Financial Corp., 5.400%, 04/28/13 | 528 | |||||||||
180 | Ukreximbank Via Biz Finance PL, (Ukraine), 8.375%, 04/27/15 | 186 | |||||||||
100 | Xstrata Finance Canada Ltd., (Canada), 6.900%, 11/15/37 (e) | 112 | |||||||||
40,640 | |||||||||||
FDIC Guaranteed Securities (˜) — 0.1% | |||||||||||
735 | Citigroup, Inc., 2.875%, 12/09/11 | 758 | |||||||||
750 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 784 | |||||||||
1,542 | |||||||||||
Insurance — 1.7% | |||||||||||
1,310 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 1,481 | |||||||||
558 | Aflac, Inc., 6.450%, 08/15/40 | 586 | |||||||||
190 | Allstate Corp. (The), 7.450%, 05/16/19 | 235 | |||||||||
1,132 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 1,250 | |||||||||
435 | American International Group, Inc., 5.600%, 10/18/16 | 423 | |||||||||
500 | Berkshire Hathaway Finance Corp., 5.750%, 01/15/40 | 563 | |||||||||
315 | Chubb Corp. (The), 5.750%, 05/15/18 | 363 | |||||||||
642 | CNA Financial Corp., 5.875%, 08/15/20 | 646 | |||||||||
2,250 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 2,326 | |||||||||
855 | Genworth Global Funding Trusts, 5.200%, 10/08/10 | 858 | |||||||||
2,000 | HUB International Holdings, Inc., 10.250%, 06/15/15 (e) | 1,890 | |||||||||
1,950 | Jackson National Life Global Funding, 5.375%, 05/08/13 (e) | 2,100 | |||||||||
2,000 | Liberty Mutual Group, Inc., VAR, 10.750%, 06/15/58 (e) | 2,225 | |||||||||
600 | MassMutual Global Funding II, 3.625%, 07/16/12 (e) | 626 | |||||||||
160 | MetLife, Inc., 6.750%, 06/01/16 | 190 | |||||||||
Metropolitan Life Global Funding I, | |||||||||||
190 | 5.125%, 04/10/13 (e) | 207 | |||||||||
875 | 5.200%, 09/18/13 (e) | 960 | |||||||||
600 | 5.750%, 07/25/11 (e) | 623 | |||||||||
315 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 341 | |||||||||
Nationwide Mutual Insurance Co., | |||||||||||
1,465 | 7.875%, 04/01/33 (e) | 1,566 | |||||||||
400 | 9.375%, 08/15/39 (e) | 486 | |||||||||
New York Life Global Funding, | |||||||||||
250 | 3.000%, 05/04/15 (e) | 260 | |||||||||
1,680 | 4.650%, 05/09/13 (e) | 1,821 | |||||||||
Pacific Life Global Funding, | |||||||||||
400 | 5.000%, 05/15/17 (e) | 423 | |||||||||
770 | 5.150%, 04/15/13 (e) | 828 | |||||||||
800 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) | 890 | |||||||||
175 | Principal Financial Group, Inc., 8.875%, 05/15/19 | 227 | |||||||||
300 | Principal Life Global Funding I, 5.250%, 01/15/13 (e) | 323 | |||||||||
Principal Life Income Funding Trusts, | |||||||||||
325 | 5.150%, 06/17/11 | 336 | |||||||||
1,025 | 5.300%, 12/14/12 | 1,104 | |||||||||
1,025 | 5.300%, 04/24/13 | 1,111 | |||||||||
1,100 | Protective Life Secured Trusts, 4.000%, 04/01/11 | 1,121 | |||||||||
205 | Prudential Financial, Inc., 7.375%, 06/15/19 | 249 | |||||||||
405 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 | 461 | |||||||||
2,550 | Travelers Life & Annuity Global Funding I, 5.125%, 08/15/14 (e) | 2,817 | |||||||||
31,916 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||
CommonWealth REIT, | |||||||||||
375 | 6.250%, 08/15/16 | 398 | |||||||||
300 | 6.650%, 01/15/18 | 322 | |||||||||
500 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 529 | |||||||||
2,300 | First Industrial LP, 6.420%, 06/01/14 | 2,177 | |||||||||
750 | Forest City Enterprises, Inc., 7.625%, 06/01/15 | 687 | |||||||||
1,500 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 1,551 | |||||||||
Simon Property Group LP, | |||||||||||
340 | 5.625%, 08/15/14 | 387 | |||||||||
492 | 5.650%, 02/01/20 | 551 | |||||||||
915 | 6.100%, 05/01/16 | 1,057 | |||||||||
310 | 6.750%, 05/15/14 | 359 | |||||||||
788 | WEA Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) | 922 | |||||||||
8,940 | |||||||||||
Total Financials | 200,349 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Health Care — 1.6% | |||||||||||
Biotechnology — 0.2% | |||||||||||
Amgen, Inc., | |||||||||||
150 | 5.700%, 02/01/19 | 181 | |||||||||
618 | 5.750%, 03/15/40 | 725 | |||||||||
400 | 6.900%, 06/01/38 | 534 | |||||||||
1,250 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 1,341 | |||||||||
215 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 234 | |||||||||
3,015 | |||||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
500 | Accellent, Inc., 8.375%, 02/01/17 | 497 | |||||||||
Baxter International, Inc., | |||||||||||
250 | 4.000%, 03/01/14 | 273 | |||||||||
550 | 4.625%, 03/15/15 | 615 | |||||||||
Becton Dickinson and Co., | |||||||||||
100 | 5.000%, 05/15/19 | 115 | |||||||||
400 | 6.000%, 05/15/39 | 492 | |||||||||
400 | Hospira, Inc., 5.550%, 03/30/12 | 425 | |||||||||
2,417 | |||||||||||
Health Care Providers & Services — 0.7% | |||||||||||
115 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 119 | |||||||||
400 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 415 | |||||||||
1,000 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 1,042 | |||||||||
350 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 360 | |||||||||
HCA, Inc., | |||||||||||
750 | 7.250%, 09/15/20 | 784 | |||||||||
160 | 9.125%, 11/15/14 | 168 | |||||||||
440 | 9.250%, 11/15/16 | 472 | |||||||||
2,028 | Health Management Associates, Inc., 6.125%, 04/15/16 | 1,965 | |||||||||
Omnicare, Inc., | |||||||||||
30 | 6.875%, 12/15/15 | 30 | |||||||||
1,350 | 7.750%, 06/01/20 | 1,350 | |||||||||
Roche Holdings, Inc., | |||||||||||
1,000 | 5.000%, 03/01/14 (e) | 1,116 | |||||||||
1,220 | 6.000%, 03/01/19 (e) | 1,479 | |||||||||
2,000 | Tenet Healthcare Corp., 8.875%, 07/01/19 | 2,162 | |||||||||
250 | Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16 | 258 | |||||||||
1,550 | WellPoint, Inc., 6.800%, 08/01/12 | 1,695 | |||||||||
13,415 | |||||||||||
Pharmaceuticals — 0.6% | |||||||||||
400 | Abbott Laboratories, 6.150%, 11/30/37 | 495 | |||||||||
504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 | 550 | |||||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | |||||||||||
225 | 8.750%, 10/15/16 (e) | 218 | |||||||||
750 | VAR, 4.376%, 11/15/11 | 749 | |||||||||
920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 | 1,168 | |||||||||
Mylan, Inc., | |||||||||||
300 | 7.625%, 07/15/17 (e) | 310 | |||||||||
899 | 7.875%, 07/15/20 (e) | 937 | |||||||||
Novartis Capital Corp., | |||||||||||
435 | 4.125%, 02/10/14 | 476 | |||||||||
335 | 4.400%, 04/24/20 | 374 | |||||||||
250 | Pfizer, Inc., 6.200%, 03/15/19 | 309 | |||||||||
1,000 | Schering-Plough Corp., 6.550%, 09/15/37 | 1,316 | |||||||||
Valeant Pharmaceuticals International, | |||||||||||
300 | 7.625%, 03/15/20 (e) | 362 | |||||||||
100 | 8.375%, 06/15/16 | 113 | |||||||||
Wyeth, | |||||||||||
2,350 | 5.500%, 02/01/14 | 2,661 | |||||||||
555 | 5.500%, 02/15/16 | 647 | |||||||||
10,685 | |||||||||||
Total Health Care | 29,532 | ||||||||||
Industrials — 3.2% | |||||||||||
Aerospace & Defense — 0.7% | |||||||||||
BAE Systems Holdings, Inc., | |||||||||||
850 | 5.200%, 08/15/15 (e) | 936 | |||||||||
145 | 6.375%, 06/01/19 (e) | 170 | |||||||||
Bombardier, Inc., (Canada), | |||||||||||
1,075 | 7.500%, 03/15/18 (e) | 1,145 | |||||||||
450 | 7.750%, 03/15/20 (e) | 484 | |||||||||
40 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 28 | |||||||||
2,669 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 2,916 | |||||||||
Esterline Technologies Corp., | |||||||||||
1,000 | 6.625%, 03/01/17 | 1,000 | |||||||||
250 | 7.000%, 08/01/20 (e) | 254 | |||||||||
500 | Hexcel Corp., 6.750%, 02/01/15 | 498 | |||||||||
250 | ITT Corp., 6.125%, 05/01/19 | 297 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Aerospace & Defense — Continued | |||||||||||
210 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 217 | |||||||||
952 | Lockheed Martin Corp., 5.720%, 06/01/40 (e) | 1,112 | |||||||||
1,900 | McDonnell Douglas Corp., 9.750%, 04/01/12 | 2,156 | |||||||||
750 | Moog, Inc., 6.250%, 01/15/15 | 742 | |||||||||
444 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) | 461 | |||||||||
Triumph Group, Inc., | |||||||||||
232 | 8.000%, 11/15/17 | 234 | |||||||||
575 | 8.625%, 07/15/18 (c) (e) | 609 | |||||||||
13,259 | |||||||||||
Air Freight & Logistics — 0.1% | |||||||||||
1,000 | Federal Express Corp., 9.650%, 06/15/12 | 1,138 | |||||||||
Airlines — 0.5% | |||||||||||
247 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 | 281 | |||||||||
250 | Continental Airlines 2001-1 Pass-Through Trust, 6.503%, 06/15/11 | 256 | |||||||||
2,352 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 (c) | 2,234 | |||||||||
738 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 740 | |||||||||
388 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 | 380 | |||||||||
1,228 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 1,203 | |||||||||
Delta Air Lines, Inc., | |||||||||||
225 | 7.111%, 09/18/11 | 235 | |||||||||
81 | 8.021%, 08/10/22 | 80 | |||||||||
77 | 8.954%, 08/10/14 (c) | 78 | |||||||||
50 | 9.500%, 09/15/14 (c) (e) | 54 | |||||||||
570 | 9.750%, 12/17/16 (c) | 599 | |||||||||
610 | 10.000%, 12/05/14 (d) (e) (f) (i) | 207 | |||||||||
674 | Northwest Airlines, Inc., 7.027%, 11/01/19 | 664 | |||||||||
1,383 | UAL 2007-1 Pass-Through Trust, 7.336%, 07/02/19 (e) | 1,245 | |||||||||
244 | United Air Lines, Inc., 10.400%, 11/01/16 | 270 | |||||||||
8,526 | |||||||||||
Building Products — 0.3% | |||||||||||
1,500 | AMH Holdings, Inc., SUB, 11.250%, 03/01/14 | 1,520 | |||||||||
Building Materials Corp of America, | |||||||||||
750 | 6.875%, 08/15/18 (e) | 729 | |||||||||
700 | 7.000%, 02/15/20 (e) | 697 | |||||||||
Masco Corp., | |||||||||||
1,000 | 6.125%, 10/03/16 | 1,005 | |||||||||
2,000 | 7.125%, 03/15/20 | 2,027 | |||||||||
5,978 | |||||||||||
Commercial Services & Supplies — 0.4% | |||||||||||
125 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 (e) | 127 | |||||||||
450 | Cenveo Corp., 8.875%, 02/01/18 | 429 | |||||||||
1,100 | Clean Harbors, Inc., 7.625%, 08/15/16 | 1,127 | |||||||||
Corrections Corp. of America, | |||||||||||
572 | 6.250%, 03/15/13 | 578 | |||||||||
1,050 | 6.750%, 01/31/14 | 1,073 | |||||||||
1,750 | FTI Consulting, Inc., 7.750%, 10/01/16 | 1,816 | |||||||||
271 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 280 | |||||||||
818 | Geo Group, Inc. (The), 7.750%, 10/15/17 (e) | 842 | |||||||||
Power Sector Assets & Liabilities Management, (Philippines), | |||||||||||
130 | 7.250%, 05/27/19 (c) (e) | 158 | |||||||||
100 | 7.390%, 12/02/24 (e) | 121 | |||||||||
Quebecor World Capital Corp., (Canada), | |||||||||||
1,145 | 6.125%, 11/15/13 (d) (f) | 69 | |||||||||
1,160 | 6.500%, 08/01/27 (d) (f) | 69 | |||||||||
265 | 9.750%, 01/15/15 (d) (f) | 16 | |||||||||
6,705 | |||||||||||
Construction & Engineering — 0.1% | |||||||||||
195 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14 | 199 | |||||||||
United Rentals North America, Inc., | |||||||||||
650 | 9.250%, 12/15/19 | 691 | |||||||||
100 | 10.875%, 06/15/16 | 111 | |||||||||
1,001 | |||||||||||
Electrical Equipment — 0.1% | |||||||||||
Belden, Inc., | |||||||||||
500 | 7.000%, 03/15/17 | 502 | |||||||||
250 | 9.250%, 06/15/19 (e) | 270 | |||||||||
185 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 185 | |||||||||
457 | Valmont Industries, Inc., 6.875%, 05/01/14 | 466 | |||||||||
1,423 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Industrial Conglomerates — 0.2% | |||||||||||
571 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 | 553 | |||||||||
Siemens Financieringsmaatschappij N.V., (Netherlands), | |||||||||||
1,830 | 5.750%, 10/17/16 (e) | 2,129 | |||||||||
300 | 6.125%, 08/17/26 (e) | 356 | |||||||||
3,038 | |||||||||||
Industrial Machinery — 0.0% (g) | |||||||||||
335 | Baldor Electric Co., 8.625%, 02/15/17 | 354 | |||||||||
270 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 281 | |||||||||
635 | |||||||||||
Machinery — 0.2% | |||||||||||
310 | Altra Holdings, Inc., 8.125%, 12/01/16 | 316 | |||||||||
550 | Eaton Corp., 5.600%, 05/15/18 | 642 | |||||||||
225 | Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25 | 251 | |||||||||
110 | PACCAR, Inc., 6.375%, 02/15/12 | 118 | |||||||||
440 | Parker Hannifin Corp., 6.250%, 05/15/38 | 542 | |||||||||
SPX Corp., | |||||||||||
1,500 | 6.875%, 09/01/17 (e) | 1,545 | |||||||||
1,000 | 7.625%, 12/15/14 | 1,078 | |||||||||
4,492 | |||||||||||
Marine — 0.1% | |||||||||||
1,250 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 (c) (e) | 1,297 | |||||||||
750 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 739 | |||||||||
2,036 | |||||||||||
Road & Rail — 0.5% | |||||||||||
1,025 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 9.625%, 03/15/18 | 1,071 | |||||||||
698 | Burlington Northern and Santa Fe Railway Co. 2000 Pass Through Trust, Series 00-2, 7.908%, 01/15/20 | 825 | |||||||||
Burlington Northern Santa Fe LLC, | |||||||||||
220 | 5.650%, 05/01/17 | 254 | |||||||||
1,150 | 6.700%, 08/01/28 | 1,384 | |||||||||
280 | Canadian Pacific Ltd., (Canada), 9.450%, 08/01/21 | 402 | |||||||||
165 | Canadian Pacific Railway Co., (Canada), 7.250%, 05/15/19 | 205 | |||||||||
825 | CSX Corp., 7.375%, 02/01/19 | 1,042 | |||||||||
Erac USA Finance Co., | |||||||||||
250 | 6.375%, 10/15/17 (e) | 290 | |||||||||
800 | 6.700%, 06/01/34 (e) | 905 | |||||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | |||||||||||
352 | 7.375%, 06/01/14 | 362 | |||||||||
350 | 7.625%, 12/01/13 | 360 | |||||||||
1,683 | RailAmerica, Inc., 9.250%, 07/01/17 | 1,826 | |||||||||
576 | Ryder System, Inc., 3.600%, 03/01/16 | 583 | |||||||||
390 | Union Pacific Corp., 7.000%, 02/01/16 | 475 | |||||||||
235 | United Parcel Service of America, Inc., SUB, 8.375%, 04/01/30 | 333 | |||||||||
10,317 | |||||||||||
Transportation Services — 0.0% (g) | |||||||||||
750 | Wabtec Corp., 6.875%, 07/31/13 | 780 | |||||||||
Total Industrials | 59,328 | ||||||||||
Information Technology — 1.1% | |||||||||||
Communications Equipment — 0.1% | |||||||||||
Cisco Systems, Inc., | |||||||||||
500 | 5.500%, 01/15/40 | 559 | |||||||||
375 | 5.900%, 02/15/39 | 440 | |||||||||
135 | Nokia OYJ, (Finland), 5.375%, 05/15/19 | 149 | |||||||||
1,148 | |||||||||||
Computers & Peripherals — 0.3% | |||||||||||
1,000 | Dell, Inc., 7.100%, 04/15/28 | 1,232 | |||||||||
Hewlett-Packard Co., | |||||||||||
80 | 2.950%, 08/15/12 | 83 | |||||||||
500 | 5.400%, 03/01/17 | 585 | |||||||||
250 | 5.500%, 03/01/18 | 296 | |||||||||
International Business Machines Corp., | |||||||||||
770 | 5.875%, 11/29/32 | 918 | |||||||||
650 | 7.000%, 10/30/25 | 854 | |||||||||
230 | Seagate HDD Cayman, (Cayman Islands), 6.875%, 05/01/20 (e) | 225 | |||||||||
1,000 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 | 1,015 | |||||||||
5,208 | |||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||
Arrow Electronics, Inc., | |||||||||||
250 | 6.000%, 04/01/20 | 270 | |||||||||
769 | 6.875%, 07/01/13 | 857 | |||||||||
100 | 7.500%, 01/15/27 | 113 | |||||||||
678 | Flextronics International Ltd., (Singapore), 6.250%, 11/15/14 (c) | 688 | |||||||||
50 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 53 | |||||||||
750 | Sanmina-SCI Corp., VAR, 3.287%, 06/15/14 (e) | 700 | |||||||||
2,681 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Internet Software & Services — 0.0% (g) | |||||||||||
300 | Equinix, Inc., 8.125%, 03/01/18 | 313 | |||||||||
IT Services — 0.3% | |||||||||||
900 | Electronic Data Systems LLC, 6.000%, 08/01/13 | 1,021 | |||||||||
Fidelity National Information Services, Inc., | |||||||||||
106 | 7.625%, 07/15/17 (e) | 110 | |||||||||
831 | 7.875%, 07/15/20 (e) | 873 | |||||||||
First Data Corp., | |||||||||||
600 | 8.875%, 08/15/20 (c) (e) | 601 | |||||||||
1,500 | 9.875%, 09/24/15 | 1,125 | |||||||||
600 | 11.250%, 03/31/16 | 395 | |||||||||
1,500 | PIK, 10.550%, 09/24/15 (c) | 1,129 | |||||||||
5,254 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.2% | |||||||||||
415 | Advanced Micro Devices, Inc., 8.125%, 12/15/17 | 424 | |||||||||
1,280 | Amkor Technology, Inc., 7.375%, 05/01/18 (c) (e) | 1,277 | |||||||||
605 | Freescale Semiconductor, Inc., 9.250%, 04/15/18 (e) | 607 | |||||||||
NXP B.V./NXP Funding LLC, (Netherlands), | |||||||||||
125 | 7.875%, 10/15/14 | 125 | |||||||||
375 | VAR, 3.276%, 10/15/13 | 351 | |||||||||
150 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 156 | |||||||||
2,940 | |||||||||||
Software — 0.1% | |||||||||||
115 | Intuit, Inc., 5.750%, 03/15/17 | 130 | |||||||||
Oracle Corp., | |||||||||||
1,000 | 5.250%, 01/15/16 | 1,161 | |||||||||
241 | 5.375%, 07/15/40 (e) | 261 | |||||||||
1,030 | 6.500%, 04/15/38 | 1,298 | |||||||||
2,850 | |||||||||||
Total Information Technology | 20,394 | ||||||||||
Materials — 2.6% | |||||||||||
Chemicals — 0.5% | |||||||||||
200 | Ashland, Inc., 9.125%, 06/01/17 | 229 | |||||||||
CF Industries, Inc., | |||||||||||
300 | 6.875%, 05/01/18 | 316 | |||||||||
340 | 7.125%, 05/01/20 | 364 | |||||||||
360 | Chemtura Corp., 7.875%, 09/01/18 (c) (e) | 368 | |||||||||
EI du Pont de Nemours & Co., | |||||||||||
410 | 3.250%, 01/15/15 | 435 | |||||||||
130 | 5.000%, 07/15/13 | 144 | |||||||||
625 | LBI Escrow Corp., 8.000%, 11/01/17 (e) | 671 | |||||||||
1,537 | Lyondell Chemical Co., 11.000%, 05/01/18 | 1,669 | |||||||||
525 | Monsanto Co., 7.375%, 08/15/12 | 586 | |||||||||
255 | PolyOne Corp., 8.875%, 05/01/12 | 271 | |||||||||
Potash Corp. of Saskatchewan, Inc., (Canada), | |||||||||||
450 | 4.875%, 03/01/13 | 487 | |||||||||
753 | 7.750%, 05/31/11 | 793 | |||||||||
200 | PPG Industries, Inc., 9.000%, 05/01/21 | 265 | |||||||||
Praxair, Inc., | |||||||||||
1,535 | 4.625%, 03/30/15 | 1,720 | |||||||||
375 | 5.200%, 03/15/17 | 423 | |||||||||
650 | 5.250%, 11/15/14 | 745 | |||||||||
445 | Westlake Chemical Corp., 6.625%, 01/15/16 | 447 | |||||||||
9,933 | |||||||||||
Construction Materials — 0.0% (g) | |||||||||||
75 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 75 | |||||||||
Containers & Packaging — 0.4% | |||||||||||
Ball Corp., | |||||||||||
1,500 | 6.750%, 09/15/20 | 1,579 | |||||||||
125 | 7.125%, 09/01/16 | 134 | |||||||||
125 | 7.375%, 09/01/19 | 134 | |||||||||
220 | Berry Plastics Corp., 8.250%, 11/15/15 | 221 | |||||||||
2,000 | Constar International, Inc., VAR, 3.751%, 02/15/12 | 1,700 | |||||||||
376 | Plastipak Holdings, Inc., 8.500%, 12/15/15 (e) | 380 | |||||||||
700 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, 7.750%, 10/15/16 (e) | 705 | |||||||||
500 | Sealed Air Corp., 7.875%, 06/15/17 | 540 | |||||||||
700 | Silgan Holdings, Inc., 7.250%, 08/15/16 | 728 | |||||||||
900 | Solo Cup Co./Solo Cup Operating Corp., 10.500%, 11/01/13 | 910 | |||||||||
7,031 | |||||||||||
Metals & Mining — 0.7% | |||||||||||
375 | AK Steel Corp., 7.625%, 05/15/20 | 378 | |||||||||
225 | Arch Western Finance LLC, 6.750%, 07/01/13 | 226 | |||||||||
BHP Billiton Finance USA Ltd., (Australia), | |||||||||||
570 | 4.800%, 04/15/13 | 619 | |||||||||
575 | 5.400%, 03/29/17 | 651 | |||||||||
500 | 5.500%, 04/01/14 | 562 | |||||||||
120 | 6.500%, 04/01/19 | 146 | |||||||||
1,086 | California Steel Industries, Inc., 6.125%, 03/15/14 | 1,053 | |||||||||
750 | FMG Resources August 2006 Pty Ltd., (Australia), 10.625%, 09/01/16 (e) | 869 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Metals & Mining — Continued | |||||||||||
255 | Freeport-McMoRan Copper & Gold, Inc., 8.250%, 04/01/15 | 273 | |||||||||
1,510 | Nucor Corp., 6.400%, 12/01/37 | 1,870 | |||||||||
Steel Dynamics, Inc., | |||||||||||
1,500 | 6.750%, 04/01/15 | 1,534 | |||||||||
1,500 | 7.625%, 03/15/20 (c) (e) | 1,537 | |||||||||
75 | 7.750%, 04/15/16 | 77 | |||||||||
United States Steel Corp., | |||||||||||
474 | 6.050%, 06/01/17 | 468 | |||||||||
523 | 7.000%, 02/01/18 | 526 | |||||||||
2,000 | 7.375%, 04/01/20 | 2,025 | |||||||||
954 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (d) | 420 | |||||||||
13,234 | |||||||||||
Paper & Forest Products — 1.0% | |||||||||||
Abitibi-Consolidated Co. of Canada, (Canada), | |||||||||||
2,926 | 6.000%, 06/20/13 (d) | 256 | |||||||||
1,999 | 7.750%, 06/15/11 (d) | 175 | |||||||||
4,648 | 8.375%, 04/01/15 (d) | 407 | |||||||||
375 | 13.750%, 04/01/11 (d) (e) | 414 | |||||||||
Abitibi-Consolidated, Inc., (Canada), | |||||||||||
1,199 | 7.500%, 04/01/28 (d) | 106 | |||||||||
730 | 8.850%, 08/01/30 (d) | 66 | |||||||||
1,450 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 1,345 | |||||||||
1,000 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 1,017 | |||||||||
Cascades, Inc., (Canada), | |||||||||||
500 | 7.750%, 12/15/17 | 515 | |||||||||
400 | 7.875%, 01/15/20 | 411 | |||||||||
Domtar Corp., | |||||||||||
126 | 7.125%, 08/15/15 | 134 | |||||||||
19 | 7.875%, 10/15/11 | 20 | |||||||||
950 | 10.750%, 06/01/17 | 1,171 | |||||||||
Georgia-Pacific LLC, | |||||||||||
345 | 7.000%, 01/15/15 (e) | 357 | |||||||||
875 | 7.125%, 01/15/17 (e) | 923 | |||||||||
925 | 7.750%, 11/15/29 | 944 | |||||||||
400 | 8.250%, 05/01/16 (e) | 438 | |||||||||
1,154 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) | 39 | |||||||||
4,150 | NewPage Corp., 11.375%, 12/31/14 (c) | 3,372 | |||||||||
P.H. Glatfelter Co., | |||||||||||
2,000 | 7.125%, 05/01/16 (e) | 2,012 | |||||||||
1,000 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 1,129 | |||||||||
875 | Potlatch Corp., 7.500%, 11/01/19 | 866 | |||||||||
Smurfit-Stone Container Enterprises, Inc., | |||||||||||
1,640 | 8.000%, 03/15/17 (d) | 55 | |||||||||
2,656 | 8.375%, 07/01/12 (d) | 90 | |||||||||
750 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 | 791 | |||||||||
Weyerhaeuser Co., | |||||||||||
350 | 7.375%, 10/01/19 | 383 | |||||||||
750 | 7.375%, 03/15/32 | 761 | |||||||||
18,197 | |||||||||||
Total Materials | 48,470 | ||||||||||
Telecommunication Services — 2.0% | |||||||||||
Diversified Telecommunication Services — 1.3% | |||||||||||
900 | AT&T Corp., 8.000%, 11/15/31 | 1,233 | |||||||||
AT&T, Inc., | |||||||||||
220 | 5.600%, 05/15/18 | 255 | |||||||||
465 | 5.800%, 02/15/19 | 548 | |||||||||
1,500 | 6.300%, 01/15/38 | 1,719 | |||||||||
BellSouth Corp., | |||||||||||
1,285 | 5.200%, 09/15/14 | 1,447 | |||||||||
100 | 6.875%, 10/15/31 | 116 | |||||||||
488 | BellSouth Telecommunications, Inc., 6.300%, 12/15/15 | 533 | |||||||||
Cincinnati Bell, Inc., | |||||||||||
800 | 8.250%, 10/15/17 | 784 | |||||||||
145 | 8.750%, 03/15/18 | 138 | |||||||||
Deutsche Telekom International Finance B.V., (Netherlands), | |||||||||||
100 | 6.750%, 08/20/18 | 122 | |||||||||
1,000 | 8.750%, 06/15/30 | 1,403 | |||||||||
Frontier Communications Corp., | |||||||||||
785 | 7.125%, 03/15/19 | 773 | |||||||||
15 | 7.875%, 04/15/15 | 16 | |||||||||
1,165 | 8.125%, 10/01/18 | 1,235 | |||||||||
15 | 8.250%, 04/15/17 | 16 | |||||||||
215 | 8.500%, 04/15/20 | 228 | |||||||||
15 | 8.750%, 04/15/22 | 16 | |||||||||
800 | GTE Corp., 6.840%, 04/15/18 | 956 | |||||||||
Qwest Communications International, Inc., | |||||||||||
1,000 | 7.125%, 04/01/18 (e) | 1,040 | |||||||||
90 | 8.000%, 10/01/15 (e) | 97 | |||||||||
Qwest Corp., | |||||||||||
1,000 | 6.500%, 06/01/17 | 1,074 | |||||||||
250 | 8.875%, 03/15/12 | 275 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), | |||||||||||
562 | 5.250%, 11/15/13 | 598 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
190 | 7.721%, 06/04/38 | 213 | |||||||||
Telefonica Emisiones S.A.U., (Spain), | |||||||||||
600 | 5.855%, 02/04/13 | 653 | |||||||||
80 | 5.877%, 07/15/19 | 90 | |||||||||
875 | TELUS Corp., (Canada), 8.000%, 06/01/11 | 920 | |||||||||
267 | United Telephone Co. of Florida, 8.375%, 01/15/25 | 298 | |||||||||
400 | Verizon Communications, Inc., 6.900%, 04/15/38 | 495 | |||||||||
Verizon Global Funding Corp., | |||||||||||
500 | 7.750%, 12/01/30 | 652 | |||||||||
290 | 7.750%, 06/15/32 | 380 | |||||||||
2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 | 2,334 | |||||||||
2,400 | Virgin Media Secured Finance plc, (United Kingdom), 6.500%, 01/15/18 | 2,496 | |||||||||
Windstream Corp., | |||||||||||
525 | 8.125%, 08/01/13 | 560 | |||||||||
125 | 8.125%, 09/01/18 (c) (e) | 127 | |||||||||
1,250 | 8.625%, 08/01/16 | 1,291 | |||||||||
25,131 | |||||||||||
Wireless Telecommunication Services — 0.7% | |||||||||||
450 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 491 | |||||||||
1,425 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 | 1,613 | |||||||||
Cricket Communications, Inc., | |||||||||||
140 | 7.750%, 05/15/16 | 144 | |||||||||
215 | 9.375%, 11/01/14 (c) | 218 | |||||||||
260 | MetroPCS Wireless, Inc., 9.250%, 11/01/14 (c) | 270 | |||||||||
1,750 | New Cingular Wireless Services, Inc., 7.875%, 03/01/11 | 1,813 | |||||||||
2,750 | Nextel Communications, Inc., 7.375%, 08/01/15 | 2,723 | |||||||||
NII Capital Corp., | |||||||||||
365 | 8.875%, 12/15/19 | 394 | |||||||||
185 | 10.000%, 08/15/16 | 208 | |||||||||
240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 | 295 | |||||||||
SBA Telecommunications, Inc., | |||||||||||
1,050 | 8.000%, 08/15/16 | 1,120 | |||||||||
500 | 8.250%, 08/15/19 | 542 | |||||||||
800 | Sprint Capital Corp., 8.750%, 03/15/32 | 771 | |||||||||
125 | Sprint Nextel Corp., 8.375%, 08/15/17 (c) | 129 | |||||||||
870 | Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 | 966 | |||||||||
Wind Acquisition Finance S.A., (Luxembourg), | |||||||||||
275 | 11.750%, 07/15/17 (e) | 302 | |||||||||
490 | 12.000%, 12/01/15 (e) | 517 | |||||||||
12,516 | |||||||||||
Total Telecommunication Services | 37,647 | ||||||||||
Utilities — 3.0% | |||||||||||
Electric Utilities — 2.0% | |||||||||||
AES Eastern Energy LP, | |||||||||||
537 | 9.000%, 01/02/17 | 550 | |||||||||
2,000 | 9.670%, 01/02/29 | 2,160 | |||||||||
505 | Alabama Power Co., 6.125%, 05/15/38 | 608 | |||||||||
Carolina Power & Light Co., | |||||||||||
90 | 5.300%, 01/15/19 | 105 | |||||||||
500 | 6.300%, 04/01/38 | 624 | |||||||||
1,000 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 1,136 | |||||||||
100 | Centrais Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e) | 118 | |||||||||
300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 | 331 | |||||||||
925 | Consumers Energy Co., 6.700%, 09/15/19 | 1,144 | |||||||||
180 | Dubai Electricity & Water Authority, (United Arab Emirates), 8.500%, 04/22/15 (e) | 191 | |||||||||
Duke Energy Carolinas LLC, | |||||||||||
780 | 4.300%, 06/15/20 | 863 | |||||||||
200 | 5.250%, 01/15/18 | 233 | |||||||||
500 | 5.625%, 11/30/12 | 548 | |||||||||
1,100 | 6.050%, 04/15/38 | 1,337 | |||||||||
500 | 6.250%, 01/15/12 | 537 | |||||||||
280 | Duke Energy Indiana, Inc., 3.750%, 07/15/20 | 295 | |||||||||
1,200 | Enel Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) | 1,239 | |||||||||
115 | Florida Power Corp., 5.650%, 06/15/18 | 137 | |||||||||
FPL Group Capital, Inc., | |||||||||||
275 | 5.350%, 06/15/13 | 302 | |||||||||
265 | 7.875%, 12/15/15 | 330 | |||||||||
Georgia Power Co., | |||||||||||
386 | 4.750%, 09/01/40 | 385 | |||||||||
562 | 5.250%, 12/15/15 | 646 | |||||||||
140 | 5.950%, 02/01/39 | 165 | |||||||||
172 | Homer City Funding LLC, 8.137%, 10/01/19 | 157 | |||||||||
2,000 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 2,090 | |||||||||
988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) | 1,152 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Electric Utilities — Continued | |||||||||||
860 | MidAmerican Energy Co., 5.300%, 03/15/18 | 994 | |||||||||
810 | Midamerican Funding LLC, 6.750%, 03/01/11 | 835 | |||||||||
600 | Nevada Power Co., 7.125%, 03/15/19 | 740 | |||||||||
300 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) | 331 | |||||||||
Nisource Finance Corp., | |||||||||||
1,470 | 6.400%, 03/15/18 | 1,687 | |||||||||
150 | 6.800%, 01/15/19 | 177 | |||||||||
1,000 | 7.875%, 11/15/10 | 1,013 | |||||||||
290 | 10.750%, 03/15/16 | 380 | |||||||||
Northern States Power Co., | |||||||||||
173 | 5.350%, 11/01/39 | 196 | |||||||||
765 | 6.250%, 06/01/36 | 956 | |||||||||
1,010 | Pacific Gas & Electric Co., 5.625%, 11/30/17 | 1,176 | |||||||||
Pacificorp, | |||||||||||
1,900 | 5.750%, 04/01/37 | 2,222 | |||||||||
250 | 7.240%, 08/16/23 | 317 | |||||||||
Peco Energy Co., | |||||||||||
1,880 | 5.350%, 03/01/18 | 2,177 | |||||||||
500 | 5.950%, 11/01/11 | 528 | |||||||||
360 | Potomac Electric Power Co., 6.500%, 11/15/37 | 460 | |||||||||
50 | Progress Energy, Inc., 6.050%, 03/15/14 | 57 | |||||||||
1,121 | PSEG Power LLC, 5.125%, 04/15/20 | 1,213 | |||||||||
35 | Public Service Co. of Colorado, 6.500%, 08/01/38 | 45 | |||||||||
200 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 219 | |||||||||
Public Service Co. of Oklahoma, | |||||||||||
88 | 5.150%, 12/01/19 | 98 | |||||||||
1,100 | 6.625%, 11/15/37 | 1,311 | |||||||||
Public Service Electric & Gas Co., | |||||||||||
350 | 2.700%, 05/01/15 | 364 | |||||||||
155 | 5.300%, 05/01/18 | 178 | |||||||||
416 | 5.375%, 11/01/39 | 472 | |||||||||
San Diego Gas & Electric Co., | |||||||||||
249 | 4.500%, 08/15/40 | 252 | |||||||||
500 | 6.000%, 06/01/39 | 624 | |||||||||
Southern California Edison Co., | |||||||||||
450 | 5.550%, 01/15/37 | 516 | |||||||||
285 | 5.950%, 02/01/38 | 345 | |||||||||
145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 | 178 | |||||||||
120 | Union Electric Co., 8.450%, 03/15/39 | 180 | |||||||||
235 | Virginia Electric and Power Co., 6.350%, 11/30/37 | 293 | |||||||||
37,917 | |||||||||||
Gas Utilities — 0.4% | |||||||||||
250 | ANR Pipeline Co., 9.625%, 11/01/21 | 363 | |||||||||
600 | Atmos Energy Corp., 5.125%, 01/15/13 | 648 | |||||||||
570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 | 675 | |||||||||
200 | Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875%, 02/15/18 | 207 | |||||||||
155 | EQT Corp., 8.125%, 06/01/19 | 190 | |||||||||
940 | Schlumberger Technology Corp., 6.500%, 04/15/12 (e) | 1,020 | |||||||||
835 | Southern California Gas Co., 4.375%, 01/15/11 | 845 | |||||||||
TransCanada Pipelines Ltd., (Canada), | |||||||||||
1,505 | 4.000%, 06/15/13 | 1,615 | |||||||||
1,000 | 6.200%, 10/15/37 | 1,139 | |||||||||
6,702 | |||||||||||
Independent Power Producers & Energy Traders — 0.5% | |||||||||||
1,700 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 1,785 | |||||||||
750 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 | 683 | |||||||||
Edison Mission Energy, | |||||||||||
2,000 | 7.000%, 05/15/17 | 1,365 | |||||||||
800 | 7.200%, 05/15/19 | 532 | |||||||||
500 | 7.750%, 06/15/16 | 368 | |||||||||
314 | FPL Energy National Wind, 6.125%, 03/25/19 (e) | 298 | |||||||||
327 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 317 | |||||||||
868 | Midwest Generation LLC, 8.560%, 01/02/16 | 846 | |||||||||
2,013 | Mirant Mid Atlantic LLC, 9.125%, 06/30/17 | 2,093 | |||||||||
130 | North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) | 140 | |||||||||
335 | NRG Energy, Inc., 7.375%, 02/01/16 | 338 | |||||||||
376 | Ormat Funding Corp., 8.250%, 12/30/20 | 352 | |||||||||
235 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 (c) | 150 | |||||||||
9,267 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
400 | Dominion Resources, Inc., 7.000%, 06/15/38 | 520 | |||||||||
160 | DTE Energy Co., 7.625%, 05/15/14 | 188 | |||||||||
Sempra Energy, | |||||||||||
255 | 6.150%, 06/15/18 | 303 | |||||||||
75 | 6.500%, 06/01/16 | 89 | |||||||||
220 | 8.900%, 11/15/13 | 264 | |||||||||
420 | 9.800%, 02/15/19 | 591 | |||||||||
1,955 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Water Utilities — 0.0% (g) | |||||||||||
925 | American Water Capital Corp., 6.085%, 10/15/17 | 1,056 | |||||||||
Total Utilities | 56,897 | ||||||||||
Total Corporate Bonds (Cost $610,964) | 641,383 | ||||||||||
Foreign Government Securities — 1.7% | |||||||||||
100 | Banco Nacional de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) | 113 | |||||||||
100 | Citigroup Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13; credit rating BB+), (Indonesia) (e) (f) (i) | 100 | |||||||||
130 | Citigroup Funding, Inc., CLN, 14.990%, 03/13/13 (linked to Government of Ghana 3-Year Bond, 14.990%, 03/11/13; credit rating B), (Ghana) (e) (f) (i) | 140 | |||||||||
60 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11 | 60 | |||||||||
100 | Deutsche Bank AG, London Branch, CLN, 14.275%, 12/22/13 (linked to Indonesia Government Bond, 14.275%, 12/22/13; credit rating BB+), (Indonesia) (e) (f) (i) | 136 | |||||||||
Federal Republic of Brazil, (Brazil), | |||||||||||
70 | 7.125%, 01/20/37 | 91 | |||||||||
662 | 8.000%, 01/15/18 | 787 | |||||||||
160 | 8.250%, 01/20/34 | 229 | |||||||||
90 | 8.750%, 02/04/25 | 129 | |||||||||
460 | 8.875%, 04/15/24 | 658 | |||||||||
BRL10 | 10.000%, 01/01/12 | 57 | |||||||||
BRL63 | 10.000%, 01/01/14 | 349 | |||||||||
500 | 11.000%, 08/17/40 | 685 | |||||||||
299 | 12.250%, 03/06/30 | 561 | |||||||||
BRL930 | 12.500%, 01/05/22 | 651 | |||||||||
131 | Government of Belize, (Belize), SUB, 6.000%, 02/20/29 | 110 | |||||||||
Government of Dominican Republic, (Dominican Republic), | |||||||||||
339 | 9.040%, 01/23/18 (e) | 394 | |||||||||
148 | 9.040%, 01/23/18 | 171 | |||||||||
Government of Ukraine, (Ukraine), | |||||||||||
570 | 6.580%, 11/21/16 (e) | 564 | |||||||||
112 | IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 | 131 | |||||||||
350 | Kingdom of Bahrain, (Bahrain), 5.500%, 03/31/20 | 367 | |||||||||
Petroleos de Venezuela S.A., (Venezuela), | |||||||||||
25 | 5.250%, 04/12/17 | 14 | |||||||||
1,315 | 5.375%, 04/12/27 | 592 | |||||||||
200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 207 | |||||||||
655 | Province of Nova Scotia, (Canada), 9.250%, 03/01/20 | 952 | |||||||||
Province of Ontario, (Canada), | |||||||||||
780 | 2.700%, 06/16/15 | 816 | |||||||||
1,635 | 2.950%, 02/05/15 (c) | 1,729 | |||||||||
300 | Province of Quebec, (Canada), 6.350%, 01/30/26 | 393 | |||||||||
320 | Provincia de Cordoba, (Argentina), 12.375%, 08/17/17 (c) (e) | 318 | |||||||||
Republic of Argentina, (Argentina), | |||||||||||
ARS810 | VAR, 0.000%, 12/31/33 | 272 | |||||||||
672 | VAR, 1.683%, 08/03/12 | 152 | |||||||||
1,037 | SUB, 2.500%, 12/31/38 | 391 | |||||||||
92 | 8.280%, 12/31/33 | 70 | |||||||||
400 | 8.750%, 06/02/17 | 362 | |||||||||
Republic of Colombia, (Colombia), | |||||||||||
465 | 7.375%, 03/18/19 | 578 | |||||||||
110 | 7.375%, 09/18/37 | 142 | |||||||||
120 | 11.750%, 02/25/20 | 187 | |||||||||
Republic of Croatia, (Croatia), | |||||||||||
100 | 6.625%, 07/14/20 (e) | 110 | |||||||||
190 | 6.625%, 07/14/20 | 209 | |||||||||
100 | 6.750%, 11/05/19 | 112 | |||||||||
Republic of Egypt, (Egypt), | |||||||||||
100 | 5.750%, 04/29/20 (e) | 110 | |||||||||
130 | 6.875%, 04/30/40 | 145 | |||||||||
Republic of El Salvador, (El Salvador), | |||||||||||
180 | 7.650%, 06/15/35 | 196 | |||||||||
185 | 8.250%, 04/10/32 (e) | 211 | |||||||||
110 | Republic of Ghana, (Ghana), 8.500%, 10/04/17 | 125 | |||||||||
Republic of Indonesia, (Indonesia), | |||||||||||
645 | Reg. S., 6.750%, 03/10/14 | 729 | |||||||||
50 | Reg. S., 7.750%, 01/17/38 | 68 | |||||||||
460 | 8.500%, 10/12/35 | 672 | |||||||||
130 | 11.625%, 03/04/19 (e) | 198 | |||||||||
250 | Republic of Iraq, (Iraq), 5.800%, 01/15/28 | 215 | |||||||||
150 | Republic of Lithuaninia, (Lithuania), 7.375%, 02/11/20 | 152 | |||||||||
Republic of Panama, (Panama), | |||||||||||
45 | 6.700%, 01/26/36 | 55 | |||||||||
280 | 7.250%, 03/15/15 | 330 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Foreign Government Securities — Continued | |||||||||||
420 | 9.375%, 04/01/29 | 628 | |||||||||
Republic of Peru, (Peru), | |||||||||||
PEN440 | 6.950%, 08/12/31 | 170 | |||||||||
290 | 8.375%, 05/03/16 | 364 | |||||||||
668 | 8.750%, 11/21/33 | 992 | |||||||||
88 | 9.875%, 02/06/15 | 114 | |||||||||
Republic of Philippines, (Philippines), | |||||||||||
140 | 8.250%, 01/15/14 | 166 | |||||||||
100 | 9.500%, 02/02/30 | 154 | |||||||||
81 | 9.875%, 01/15/19 | 116 | |||||||||
670 | 10.625%, 03/16/25 | 1,075 | |||||||||
48 | Republic of Serbia, (Serbia), SUB, 6.750%, 11/01/24 | 48 | |||||||||
Republic of South Africa, (South Africa), | |||||||||||
100 | 5.500%, 03/09/20 | 111 | |||||||||
110 | 5.875%, 05/30/22 | 126 | |||||||||
125 | 6.875%, 05/27/19 | 152 | |||||||||
ZAR 3,135 | 10.500%, 12/21/26 | 518 | |||||||||
Republic of Turkey, (Turkey), | |||||||||||
500 | 6.750%, 04/03/18 | 570 | |||||||||
395 | 7.250%, 03/15/15 | 454 | |||||||||
530 | 7.250%, 03/05/38 | 617 | |||||||||
100 | 7.500%, 07/14/17 | 119 | |||||||||
110 | 7.500%, 11/07/19 | 131 | |||||||||
120 | 8.000%, 02/14/34 | 151 | |||||||||
125 | 9.500%, 01/15/14 | 151 | |||||||||
TRY590 | 10.500%, 01/15/20 | 426 | |||||||||
TRY370 | 11.000%, 08/06/14 | 261 | |||||||||
Republic of Uruguay, (Uruguay), | |||||||||||
420 | 7.625%, 03/21/36 | 546 | |||||||||
300 | 8.000%, 11/18/22 | 389 | |||||||||
Republic of Venezuela, (Venezuela), | |||||||||||
954 | 5.750%, 02/26/16 | 640 | |||||||||
340 | 7.000%, 03/31/38 | 183 | |||||||||
250 | 7.650%, 04/21/25 | 147 | |||||||||
Russian Federation, (Russia), | |||||||||||
100 | 5.000%, 04/29/20 (e) | 102 | |||||||||
2,338 | SUB, 7.500%, 03/31/30 | 2,777 | |||||||||
160 | State of Qatar, (Qatar), 5.250%, 01/20/20 | 176 | |||||||||
United Mexican States, (Mexico), | |||||||||||
300 | 5.625%, 01/15/17 | 336 | |||||||||
200 | 5.875%, 02/17/14 | 224 | |||||||||
188 | 5.950%, 03/19/19 | 217 | |||||||||
166 | 6.050%, 01/11/40 | 189 | |||||||||
100 | 7.500%, 04/08/33 | 134 | |||||||||
360 | 8.300%, 08/15/31 | 518 | |||||||||
MXN 7,410 | 10.000%, 12/05/24 | 739 | |||||||||
Total Foreign Government Securities (Cost $30,893) | 32,226 | ||||||||||
Mortgage Pass-Through Securities — 3.9% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
889 | ARM, 4.687%, 03/01/36 | 928 | |||||||||
508 | ARM, 5.653%, 03/01/36 | 533 | |||||||||
172 | ARM, 6.003%, 05/01/37 | 183 | |||||||||
932 | ARM, 6.034%, 10/01/37 | 993 | |||||||||
483 | ARM, 6.234%, 10/01/36 | 507 | |||||||||
418 | ARM, 6.532%, 08/01/36 | 438 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | |||||||||||
2,522 | 4.000%, 08/01/18 – 05/01/19 | 2,672 | |||||||||
1,317 | 4.500%, 10/01/18 | 1,397 | |||||||||
172 | 5.000%, 05/01/18 | 184 | |||||||||
900 | 5.500%, 01/01/21 | 972 | |||||||||
1,082 | 6.000%, 11/01/21 | 1,172 | |||||||||
740 | 6.500%, 07/01/14 | 783 | |||||||||
66 | 7.000%, 05/01/11 – 06/01/11 | 67 | |||||||||
123 | 7.500%, 05/01/11 – 01/01/17 | 131 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | |||||||||||
1,931 | 6.500%, 11/01/22 – 03/01/26 | 2,140 | |||||||||
509 | 7.000%, 01/01/27 | 567 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
557 | 4.000%, 09/01/33 | 577 | |||||||||
196 | 6.000%, 02/01/29 | 216 | |||||||||
1,607 | 6.500%, 01/01/24 – 11/01/36 | 1,762 | |||||||||
1,586 | 7.000%, 09/01/24 – 10/01/36 (m) | 1,784 | |||||||||
182 | 7.500%, 10/01/19 – 10/01/30 | 201 | |||||||||
179 | 8.000%, 08/01/27 – 03/01/30 | 207 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | |||||||||||
3,253 | 7.500%, 01/01/32 – 12/01/36 | 3,716 | |||||||||
740 | 10.000%, 10/01/30 | 881 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | |||||||||||
236 | 7.000%, 12/01/14 – 03/01/16 | 255 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
6 | 7.500%, 02/01/17 | 7 | |||||||||
11 | 12.000%, 08/01/15 – 07/01/19 | 12 | |||||||||
— | (h) | 13.000%, 06/01/14 | 1 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
— | (h) | 15.000%, 03/01/11 | — | (h) | |||||||
Federal National Mortgage Association, | |||||||||||
413 | ARM, 2.476%, 05/01/35 | 434 | |||||||||
26 | ARM, 2.750%, 10/01/33 | 26 | |||||||||
278 | ARM, 3.107%, 01/01/34 | 289 | |||||||||
166 | ARM, 5.118%, 04/01/37 | 175 | |||||||||
729 | ARM, 5.653%, 03/01/37 | 775 | |||||||||
1,886 | ARM, 5.696%, 01/01/23 | 2,031 | |||||||||
969 | ARM, 5.732%, 04/01/37 | 1,028 | |||||||||
235 | ARM, 5.765%, 06/01/37 | 250 | |||||||||
583 | ARM, 5.811%, 07/01/37 | 623 | |||||||||
482 | ARM, 6.000%, 02/01/37 | 518 | |||||||||
254 | ARM, 6.124%, 07/01/37 | 271 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
7,343 | 3.500%, 09/01/18 – 07/01/19 | 7,639 | |||||||||
4,905 | 4.000%, 07/01/18 – 12/01/18 | 5,234 | |||||||||
536 | 4.500%, 07/01/18 | 573 | |||||||||
2,909 | 5.000%, 05/01/18 – 11/01/18 | 3,123 | |||||||||
1,654 | 5.500%, 08/01/17 – 07/01/20 | 1,794 | |||||||||
3,096 | 6.000%, 01/01/14 – 08/01/22 | 3,348 | |||||||||
107 | 6.500%, 05/01/13 | 115 | |||||||||
— | (h) | 7.000%, 03/01/15 | — | (h) | |||||||
8 | 7.500%, 02/01/12 | 9 | |||||||||
38 | 8.000%, 01/01/16 | 39 | |||||||||
5 | 8.500%, 11/01/11 | 5 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, | |||||||||||
3,002 | 6.000%, 04/01/24 – 08/01/27 | 3,235 | |||||||||
1,278 | 6.500%, 11/01/18 | 1,417 | |||||||||
407 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 | 440 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
622 | 5.500%, 12/01/28 – 07/01/29 | 672 | |||||||||
3,226 | 6.500%, 04/01/28 – 10/01/38 | 3,537 | |||||||||
2,610 | 7.000%, 03/01/28 – 04/01/37 | 2,930 | |||||||||
1,130 | 7.500%, 09/01/25 – 11/01/38 | 1,258 | |||||||||
— | (h) | 8.000%, 08/01/22 | — | (h) | |||||||
91 | 8.500%, 10/01/25 – 12/01/25 | 104 | |||||||||
5 | 9.000%, 01/01/19 – 04/01/25 | 6 | |||||||||
33 | 12.500%, 01/01/16 | 35 | |||||||||
5 | Federal National Mortgage Association, 7 Year, Balloon, 3.500%, 09/01/10 | 5 | |||||||||
Federal National Mortgage Association, Other, | |||||||||||
2,356 | 5.000%, 12/01/32 – 08/01/33 | 2,510 | |||||||||
1,498 | 5.500%, 09/01/17 | 1,596 | |||||||||
636 | 6.500%, 04/01/36 – 07/01/36 | 693 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
22 | 6.500%, 02/20/29 | 25 | |||||||||
122 | 7.500%, 08/20/25 – 07/20/27 | 139 | |||||||||
251 | 8.000%, 08/20/26 – 08/20/28 | 291 | |||||||||
1,467 | Government National Mortgage Association, 15 Year, Single Family, 6.500%, 10/15/23 | 1,611 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
570 | 6.500%, 02/15/28 – 10/15/29 | 641 | |||||||||
178 | 7.000%, 01/15/23 – 02/15/28 | 203 | |||||||||
160 | 7.250%, 07/15/21 – 01/15/28 | 181 | |||||||||
100 | 7.500%, 10/15/22 – 09/15/29 | 114 | |||||||||
8 | 7.750%, 02/15/27 | 10 | |||||||||
7 | 8.500%, 11/15/25 | 8 | |||||||||
139 | 9.000%, 04/15/16 – 01/15/25 | 157 | |||||||||
5 | 10.000%, 11/15/20 | 5 | |||||||||
3 | 13.000%, 01/15/15 | 3 | |||||||||
Total Mortgage Pass-Through Securities (Cost $69,800) | 73,411 | ||||||||||
Municipal Bond — 0.1% | |||||||||||
Illinois — 0.1% | |||||||||||
1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 (Cost $1,960) | 1,671 | |||||||||
Supranational — 0.0% (g) | |||||||||||
330 | Eurasian Development Bank, (Kazakhstan), Reg. S., 7.375%, 09/29/14 (Cost $345) | 353 | |||||||||
U.S. Government Agency Securities — 0.9% | |||||||||||
Federal Home Loan Banks, | |||||||||||
1,500 | 1.750%, 12/14/12 | 1,528 | |||||||||
635 | 5.375%, 05/18/16 (c) | 758 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
915 | 2.500%, 04/23/14 | 960 | |||||||||
385 | 6.750%, 09/15/29 | 542 | |||||||||
Federal National Mortgage Association, | |||||||||||
3,505 | 1.375%, 04/28/11 | 3,530 | |||||||||
1,995 | 1.750%, 03/23/11 | 2,012 | |||||||||
825 | 5.000%, 05/11/17 | 971 | |||||||||
1,500 | 5.625%, 07/15/37 | 1,896 | |||||||||
1,000 | 8.200%, 03/10/16 | 1,321 | |||||||||
1,000 | Federal National Mortgage Association Interest Strip, 11/15/21 | 671 | |||||||||
500 | Financing Corp. Fico, Zero Coupon, 09/26/19 | 376 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Securities — Continued | |||||||||||
Illinois — Continued | |||||||||||
462 | New Valley Generation II, 5.572%, 05/01/20 | 525 | |||||||||
704 | New Valley Generation III, 4.929%, 01/15/21 | 780 | |||||||||
869 | Tennessee Valley Authority, 5.250%, 09/15/39 | 1,031 | |||||||||
500 | Tennessee Valley Authority Principal Strip, 11/01/25 | 274 | |||||||||
Total U.S. Government Agency Securities (Cost $15,815) | 17,175 | ||||||||||
U.S. Treasury Obligations — 18.0% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
85 | 3.500%, 02/15/39 | 84 | |||||||||
555 | 4.375%, 02/15/38 | 642 | |||||||||
3,890 | 4.500%, 05/15/38 | 4,593 | |||||||||
2,500 | 5.250%, 02/15/29 | 3,214 | |||||||||
1,000 | 5.500%, 08/15/28 | 1,319 | |||||||||
2,340 | 6.000%, 02/15/26 | 3,202 | |||||||||
5,000 | 6.250%, 08/15/23 | 6,829 | |||||||||
4,250 | 6.375%, 08/15/27 | 6,092 | |||||||||
7,600 | 7.125%, 02/15/23 | 11,037 | |||||||||
20 | 7.250%, 05/15/16 | 26 | |||||||||
7,200 | 7.250%, 08/15/22 | 10,502 | |||||||||
15,000 | 7.500%, 11/15/16 | 20,100 | |||||||||
4,800 | 7.500%, 11/15/24 | 7,348 | |||||||||
2,625 | 7.875%, 02/15/21 | 3,909 | |||||||||
13,600 | 8.125%, 05/15/21 | 20,638 | |||||||||
10,000 | 8.125%, 08/15/21 | 15,233 | |||||||||
13,325 | 8.750%, 05/15/17 | 19,165 | |||||||||
6,000 | 8.750%, 08/15/20 | 9,316 | |||||||||
31,455 | 8.875%, 08/15/17 (m) | 45,855 | |||||||||
11,280 | 8.875%, 02/15/19 | 17,130 | |||||||||
5,000 | 9.000%, 11/15/18 (m) | 7,630 | |||||||||
1,000 | U.S. Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 | 1,802 | |||||||||
U.S. Treasury Notes, | |||||||||||
3,225 | 0.875%, 04/30/11 | 3,239 | |||||||||
40 | 1.000%, 08/31/11 | 40 | |||||||||
90 | 1.000%, 10/31/11 | 91 | |||||||||
4,000 | 1.375%, 09/15/12 | 4,071 | |||||||||
6,625 | 1.375%, 10/15/12 | 6,745 | |||||||||
5,275 | 1.375%, 11/15/12 | 5,370 | |||||||||
10,000 | 1.875%, 06/15/12 | 10,255 | |||||||||
225 | 2.250%, 05/31/14 | 236 | |||||||||
100 | 2.375%, 03/31/16 | 104 | |||||||||
105 | 2.625%, 04/30/16 | 111 | |||||||||
1,000 | 3.125%, 10/31/16 | 1,082 | |||||||||
880 | 3.125%, 05/15/19 | 937 | |||||||||
2,250 | 3.250%, 03/31/17 | 2,447 | |||||||||
320 | 4.000%, 02/15/15 | 360 | |||||||||
U.S. Treasury STRIPS, | |||||||||||
308 | 05/15/14 | 297 | |||||||||
2,000 | 11/15/14 | 1,907 | |||||||||
2,425 | 11/15/15 | 2,243 | |||||||||
6,980 | 05/15/16 | 6,353 | |||||||||
6,916 | 02/15/17 | 6,106 | |||||||||
5,991 | 05/15/17 | 5,254 | |||||||||
12,248 | 08/15/17 (c) | 10,642 | |||||||||
19,170 | 11/15/17 | 16,479 | |||||||||
6,000 | 02/15/18 | 5,138 | |||||||||
199 | 05/15/18 | 170 | |||||||||
1,606 | 08/15/18 | 1,351 | |||||||||
5,185 | 11/15/20 | 3,890 | |||||||||
22,000 | 11/15/21 | 15,762 | |||||||||
5,000 | 08/15/22 | 3,470 | |||||||||
4,000 | 08/15/24 | 2,540 | |||||||||
2,900 | 02/15/25 | 1,800 | |||||||||
2,550 | 02/15/27 | 1,456 | |||||||||
2,615 | 02/15/28 | 1,423 | |||||||||
Total U.S. Treasury Obligations (Cost $307,009) | 337,035 |
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks — 0.6% | |||||||||||
Consumer Discretionary — 0.0% (g) | |||||||||||
Leisure Equipment & Products — 0.0% (g) | |||||||||||
31 | True Temper Holdings Corp., Inc. (a) (f) (i) | 248 | |||||||||
Media — 0.0% (g) | |||||||||||
14 | Dex One Corp. (a) | 121 | |||||||||
6 | SuperMedia, Inc. (a) | 55 | |||||||||
176 | |||||||||||
Total Consumer Discretionary | 424 | ||||||||||
Consumer Staples — 0.0% (g) | |||||||||||
Food Products — 0.0% (g) | |||||||||||
40 | Eurofresh, Inc., ADR (a) (f) (i) | 52 | |||||||||
Household Products — 0.0% (g) | |||||||||||
13 | Spectrum Brands Holdings, Inc. (a) | 329 | |||||||||
Total Consumer Staples | 381 | ||||||||||
Industrials — 0.0% (g) | |||||||||||
Commercial Services & Supplies — 0.0% (g) | |||||||||||
3 | Quad/Graphics, Inc. (a) | 121 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands)
SHARES | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Information Technology — 0.1% | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
695 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., ADR, (Luxembourg) (a) (f) (i) | 657 | |||||||||
Materials — 0.5% | |||||||||||
Chemicals — 0.3% | |||||||||||
164 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 3,352 | |||||||||
81 | LyondellBasell Industries N.V., (Netherlands), Class B (a) | 1,661 | |||||||||
5,013 | |||||||||||
Construction Materials — 0.1% | |||||||||||
144 | U.S. Concrete, Inc. (a) (f) | 1,440 | |||||||||
Containers & Packaging — 0.1% | |||||||||||
8 | Constar International, Inc. (a) | 39 | |||||||||
171 | Smurfit-Stone Container Corp. (a) | 2,941 | |||||||||
2,980 | |||||||||||
Total Materials | 9,433 | ||||||||||
Telecommunication Services — 0.0% (g) | |||||||||||
Diversified Telecommunication Services — 0.0% (g) | |||||||||||
3 | AboveNet, Inc. (a) | 177 | |||||||||
— | (h) | XO Holdings, Inc. (a) | — | (h) | |||||||
177 | |||||||||||
Wireless Telecommunication Services — 0.0% (g) | |||||||||||
— | (h) | Sprint Nextel Corp. (a) | — | (h) | |||||||
Total Telecommunication Services | 177 | ||||||||||
Utilities — 0.0% (g) | |||||||||||
Independent Power Producers & Energy Traders — 0.0% (g) | |||||||||||
1 | NRG Energy, Inc. (a) | 20 | |||||||||
Total Common Stocks (Cost $14,276) | 11,213 | ||||||||||
Preferred Stocks — 0.2% | |||||||||||
Consumer Discretionary — 0.1% | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
— | (h) | Remy International, Inc., Series B, HB, VAR, 20.533% (a) (c) (x) | 476 | ||||||||
Household Durables — 0.1% | |||||||||||
120 | M/I Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x) | 2,036 | |||||||||
Total Consumer Discretionary | 2,512 | ||||||||||
Consumer Staples — 0.0% (g) | |||||||||||
Food Products — 0.0% (g) | |||||||||||
— | (h) | Eurofresh, Inc., ADR (a) (f) (i) | 56 | ||||||||
Financials — 0.1% | |||||||||||
Commercial Banks — 0.1% | |||||||||||
20 | CoBank ACB, 7.000%, 10/04/10 (e) (f) (i) (x) | 911 | |||||||||
15 | CoBank ACB, Series D, 11.000%, 10/01/14 (f) (i) (x) | 829 | |||||||||
Total Financials | 1,740 | ||||||||||
Total Preferred Stocks (Cost $4,114) | 4,308 |
PRINCIPAL AMOUNT | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — 3.1% | |||||||||||
Consumer Discretionary — 1.2% | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
Remy, 1st Lien Term Loan, | |||||||||||
647 | 5.898%, 12/06/13 | 639 | |||||||||
27 | 6.033%, 12/06/13 | 27 | |||||||||
323 | 6.038%, 12/06/13 | 319 | |||||||||
985 | |||||||||||
Automobiles — 0.1% | |||||||||||
Ford Motor Co., Term Loan B, | |||||||||||
611 | 3.030%, 12/15/13 | 587 | |||||||||
75 | 3.030%, 12/15/13 | 72 | |||||||||
707 | 3.030%, 12/15/13 | 679 | |||||||||
1,338 | |||||||||||
Broadcasting & Cable TV — 0.1% | |||||||||||
1,500 | CCO Holdings LLC, 3rd Lien Term Loan, 2.759%, 09/06/14 | 1,375 | |||||||||
Diversified Consumer Services — 0.0% (g) | |||||||||||
Ati Acquisition Co., Term Loan B, | |||||||||||
195 | 8.250%, 12/31/14 | 188 | |||||||||
1 | 8.250%, 12/31/14 | 1 | |||||||||
189 | |||||||||||
Gaming — 0.4% | |||||||||||
CCM Merger, Inc., Term Loan B, | |||||||||||
2,677 | 8.500%, 07/13/12 | 2,638 | |||||||||
269 | 8.500%, 07/13/12 | 265 | |||||||||
423 | Fontainebleau Las Vegas, Delayed Draw Term Loan B, 4.316%, 06/06/14 (d) | 81 | |||||||||
845 | Fontainebleau Las Vegas, Initial Term Loan, 4.527%, 06/06/14 (d) | 163 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
3,000 | Harrah’s Operating Co., Inc., Term B-2 Loan, 3.498%, 01/28/15 | 2,572 | ||||||||
500 | HSP Gaming, LP, Term Loan, 11.250%, 09/23/14 | 481 | ||||||||
553 | Venetian Macau, Term B Funded Project Loan, 5.040%, 05/25/13 | 544 | ||||||||
6,744 | ||||||||||
Media — 0.5% | ||||||||||
1,694 | Clear Channel Communications, Inc., Term Loan B, 3.910%, 01/29/16 | 1,348 | ||||||||
Dex Media West, New Term Loan, | ||||||||||
229 | 7.000%, 10/24/14 | 199 | ||||||||
37 | 7.500%, 10/24/14 | 32 | ||||||||
219 | 7.500%, 10/24/14 | 190 | ||||||||
403 | High Plains Broadcasting Operating Co. LLC, Term Loan, 9.000%, 09/14/16 | 395 | ||||||||
3,373 | Idearc, Inc., Exit Term Loan, 11.000%, 12/31/15 | 2,688 | ||||||||
1,538 | Newport Television LLC, Term Loan, 9.000%, 09/14/16 | 1,508 | ||||||||
1,750 | Newsday, Fixed Rate Term Loan, 10.500%, 08/01/13 | 1,857 | ||||||||
R.H. Donnelley, Inc., Exit Term Loan, | ||||||||||
86 | 9.000%, 10/24/14 | 74 | ||||||||
641 | 9.000%, 10/24/14 | 551 | ||||||||
678 | 9.000%, 10/24/14 | 582 | ||||||||
Univision Communications, Inc., 1st Lien Term Loan, | ||||||||||
30 | 2.510%, 09/29/14 | 26 | ||||||||
464 | 2.510%, 09/29/14 | 398 | ||||||||
9,848 | ||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||
Claire’s Stores, Term Loan B, | ||||||||||
5 | 3.010%, 05/29/14 | 4 | ||||||||
1,701 | 3.049%, 05/29/14 | 1,457 | ||||||||
283 | 3.225%, 05/29/14 | 242 | ||||||||
311 | Polymer Group, Inc., Term Loan B, 7.000%, 11/22/14 | 311 | ||||||||
2,014 | ||||||||||
Total Consumer Discretionary | 22,493 | |||||||||
Consumer Staples — 0.1% | ||||||||||
Food Products — 0.0% (g) | ||||||||||
150 | Bolthouse Farms, 1st Lien Term Loan, 5.500%, 02/11/16 | 149 | ||||||||
Household Products — 0.1% | ||||||||||
Spectrum Brands, Inc., Term Loan, | ||||||||||
444 | 8.000%, 06/16/16 | 448 | ||||||||
296 | 8.000%, 06/16/16 (d) | 299 | ||||||||
747 | ||||||||||
Total Consumer Staples | 896 | |||||||||
Energy — 0.0% (g) | ||||||||||
Oil, Gas & Consumable Fuels — 0.0% (g) | ||||||||||
175 | Big West Oil, Term Loan B, 12.000%, 01/22/15 | 177 | ||||||||
Financials — 0.4% | ||||||||||
Consumer Finance — 0.0% (g) | ||||||||||
1,000 | American General Finance Corp., Term Loan B, 7.250%, 04/21/15 | 986 | ||||||||
Diversified Financial Services — 0.3% | ||||||||||
2,031 | Capmark Financial Group, Term Roll-Up Certified Tranche, 4.750%, 03/23/11 | 1,672 | ||||||||
6,677 | Capmark Financial Group, U.S. Term Loan, 3.250%, 03/23/13 | 2,385 | ||||||||
850 | Capmark Financial Group, Unsecured Bridge Loan, 5.250%, 03/23/13 | 295 | ||||||||
CIT Group, Inc., Tranche 3 Term Loan, | ||||||||||
54 | 6.250%, 07/27/15 | 54 | ||||||||
27 | 6.250%, 07/27/15 | 27 | ||||||||
98 | 6.250%, 07/27/15 | 97 | ||||||||
67 | 6.250%, 07/27/15 | 67 | ||||||||
285 | 6.250%, 07/27/15 | 284 | ||||||||
87 | 6.250%, 07/27/15 | 87 | ||||||||
206 | 6.250%, 07/27/15 | 205 | ||||||||
5,173 | ||||||||||
Insurance — 0.0% (g) | ||||||||||
89 | USI Holdings Corp., Term Loan, 7.000%, 05/04/14 | 86 | ||||||||
Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
1,470 | General Growth Properties, Inc., Revolver, Term Loan, 5.250%, 2/24/10 (a) (d) | 1,543 | ||||||||
Thrift & Mortgage Finance — 0.0% (g) | ||||||||||
375 | Ocwen Financial Corp., 9.000%, 07/29/15 | 375 | ||||||||
Total Financials | 8,163 | |||||||||
Industrials — 0.5% | ||||||||||
Air Freight & Logistics — 0.1% | ||||||||||
2,000 | Ozborn-Hessey Logistics, 2nd Lien Term Loan, 10.500%, 10/08/16 | 1,970 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amount in thousands, except number of contracts)
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Airlines — 0.0% (g) | ||||||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | ||||||||||
128 | 2.244%, 04/30/12 | 123 | ||||||||
15 | 2.260%, 04/30/12 | 14 | ||||||||
827 | 2.279%, 04/30/12 | 790 | ||||||||
927 | ||||||||||
Building Products — 0.1% | ||||||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | ||||||||||
5 | 2.639%, 02/07/14 | 4 | ||||||||
2,254 | 2.725%, 02/07/14 | 1,830 | ||||||||
266 | Jacuzzi Brands, Inc., 1st Lien, Synthetic Credit Facility, 0.433%, 02/07/14 | 216 | ||||||||
2,050 | ||||||||||
Commercial Services & Supplies — 0.1% | ||||||||||
Clarke American Corp., Term Loan B, | ||||||||||
868 | 2.760%, 06/30/14 | 748 | ||||||||
792 | 2.760%, 06/30/14 | 682 | ||||||||
430 | 2.760%, 06/30/14 | 371 | ||||||||
349 | 3.033%, 06/30/14 | 301 | ||||||||
2,102 | ||||||||||
Electrical Equipment — 0.1% | ||||||||||
Generac Power Systems, Term Loan B, | ||||||||||
1,094 | 2.812%, 11/10/13 | 1,008 | ||||||||
406 | 3.033%, 11/10/13 | 373 | ||||||||
1,381 | ||||||||||
Professional Services — 0.1% | ||||||||||
1,000 | Trans Union LLC, Term Loan, 6.750%, 06/15/17 | 1,009 | ||||||||
Total Industrials | 9,439 | |||||||||
Information Technology — 0.2% | ||||||||||
Internet Software & Services — 0.0% (g) | ||||||||||
Savvis, Inc., Term Loan B, | ||||||||||
495 | 6.750%, 08/04/16 | 489 | ||||||||
5 | 7.250%, 08/04/16 | 5 | ||||||||
494 | ||||||||||
IT Services — 0.2% | ||||||||||
896 | CompuCom Systems, Term Loan, 3.770%, 08/23/14 (f) (i) | 854 | ||||||||
1,000 | EVERTEC, Inc., Term Loan B, 09/24/16 ˆ | 976 | ||||||||
First Data Corp., Initial Tranche B-1 Term Loan, | ||||||||||
37 | 3.010%, 09/24/14 | 31 | ||||||||
754 | 3.014%, 09/24/14 | 643 | ||||||||
23 | 3.014%, 09/24/14 | 20 | ||||||||
First Data Corp., Initial Tranche B-3, | ||||||||||
25 | 3.010%, 09/24/14 | 21 | ||||||||
535 | 3.014%, 09/24/14 | 457 | ||||||||
3,002 | ||||||||||
Total Information Technology | 3,496 | |||||||||
Materials — 0.3% | ||||||||||
Chemicals — 0.1% | ||||||||||
1,428 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, 2.783%, 05/15/14 | 1,344 | ||||||||
Styron LLC, Term Loan, | ||||||||||
217 | 7.500%, 06/17/16 | 219 | ||||||||
3 | 7.500%, 06/17/16 | 2 | ||||||||
1,565 | ||||||||||
Containers & Packaging — 0.0% (g) | ||||||||||
Reynolds Group Holdings, Term Loan, | ||||||||||
153 | 6.250%, 05/06/16 | 152 | ||||||||
744 | 6.250%, 05/06/16 | 741 | ||||||||
893 | ||||||||||
Paper & Forest Products — 0.2% | ||||||||||
3,234 | Abitibi, Inc., Term Loan, 11.000%, 03/31/12 | 3,136 | ||||||||
Total Materials | 5,594 | |||||||||
Telecommunication Services — 0.0% (g) | ||||||||||
Diversified Telecommunication Services — 0.0% (g) | ||||||||||
Cincinnati Bell, Inc., Term Loan B, | ||||||||||
64 | 6.500%, 06/11/17 | 64 | ||||||||
195 | 6.500%, 06/11/17 | 194 | ||||||||
Total Telecommunication Services | 258 | |||||||||
Utilities — 0.4% | ||||||||||
Independent Power Producers & Energy Traders — 0.4% | ||||||||||
649 | Calpine Corp., 1st Priority Lien, 3.415%, 03/29/14 | 620 | ||||||||
1,500 | New Development (Calpine), Term Loan, 7.000%, 07/03/17 | 1,515 | ||||||||
293 | NRG Energy, Inc. (Opco), Credit-Linked Deposit Letter of Credit, 2.000%, 02/01/13 | 285 | ||||||||
1,384 | NRG Energy, Inc. (Opco), Term Loan B, 2.033%, 02/01/13 | 1,346 | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | ||||||||||
911 | 3.793%, 10/10/14 | 690 | ||||||||
205 | 3.795%, 10/10/14 | 155 | ||||||||
13 | 4.033%, 10/10/14 | 10 |
PRINCIPAL AMOUNT | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Independent Power Producers & Energy Traders — Continued | |||||||||||
1,303 | 4.066%, 10/10/14 | 988 | |||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | |||||||||||
1,985 | 3.795%, 10/10/14 | 1,499 | |||||||||
10 | 4.033%, 10/10/14 | 8 | |||||||||
Total Utilities | 7,116 | ||||||||||
Total Loan Participations & Assignments (Cost $59,279) | 57,632 |
NUMBER OF RIGHTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Rights — 0.0% | |||||||||||
Materials — 0.0% | |||||||||||
Paper & Forest Products — 0.0% | |||||||||||
203 | Abitibi-Consolidated Co. of Canada, (Canada), expiring 09/10/10 (a) (f) (i) | — | |||||||||
86 | Abitibi-Consolidated, Inc., (Canada), expiring 09/10/10 (a) (f) (i) | — | |||||||||
Total Rights (Cost $—) | — |
NUMBER OF WARRANTS | | SECURITY DESCRIPTION | | VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Warrant — 0.0% (g) | |||||||||||
Telecommunication Services — 0.0% (g) | |||||||||||
Diversified Telecommunication Services — 0.0% (g) | |||||||||||
1 | AboveNet, Inc., Class W, expiring 09/08/10 (Strike Price $24.00) (a) (f) (i) | 21 | |||||||||
Total Warrants (Cost $112) | 21 |
SHARES | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 11.9% | |||||||||||
Investment Company — 11.9% | |||||||||||
222,209 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% (b) (l) (Cost $222,209) | 222,209 | |||||||||
Investment of Cash Collateral for Securities on Loan — 1.5% | |||||||||||
Investment Company — 1.5% | |||||||||||
27,660 | JPMorgan Prime Money Market Fund, Capital Shares, 0.200%, 09/01/10 (b) (l) (Cost $27,660) | 27,660 | |||||||||
Total Investments —101.4% (Cost $1,812,759) | 1,894,742 | ||||||||||
Liabilities in Excess of Other Assets — (1.4)% | (25,916 | ) | |||||||||
NET ASSETS — 100.0% | $ | 1,868,826 |
NUMBER OF CONTRACTS | | DESCRIPTION | | EXPIRATION DATE | | NOTIONAL AMOUNT AT 08/31/10 | | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding | ||||||||||||||||||
20 | 10 Year U.S. Treasury Note | 12/21/10 | 2,513 | 9 | ||||||||||||||
7 | 2 Year U.S. Treasury Note | 12/31/10 | 1,534 | — | (h) | |||||||||||||
Short Futures Outstanding | ||||||||||||||||||
(3) | 30 Year U.S. Treasury Bond | 12/21/10 | (405 | ) | (3 | ) | ||||||||||||
(11) | 5 Year U.S. Treasury Note | 12/31/10 | (1,324 | ) | (3 | ) | ||||||||||||
3 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
(Amounts in thousands, except number of contracts)
CONTRACTS TO BUY | | COUNTERPARTY | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/10 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
4,850,000 MXN | Barclays Bank plc | 09/15/10 | 373 | 367 | (6 | ) | ||||||||||||||||
5,750,000 MXN | Citibank, N.A. | 09/15/10 | 440 | 435 | (5 | ) | ||||||||||||||||
2,800,000 MXN | Westpac Banking Corp. | 09/15/10 | 216 | 212 | (4 | ) | ||||||||||||||||
1,870,000 ZAR | Barclays Bank plc | 09/15/10 | 254 | 253 | (1 | ) | ||||||||||||||||
1,283 | 1,267 | (16 | ) |
CONTRACTS TO SELL | | COUNTERPARTY | | SETTLEMENT DATE | | SETTLEMENT VALUE | | VALUE AT 08/31/10 | | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,000,000 MXN | BNP Paribas | 09/15/10 | 79 | 76 | 3 | |||||||||||||||||
12,550,000 MXN | Citibank, N.A. | 09/15/10 | 977 | 950 | 27 | |||||||||||||||||
2,800,000 MXN | Royal Bank of Canada | 09/15/10 | 216 | 212 | 4 | |||||||||||||||||
1,900,000 MXN | Westpac Banking Corp. | 09/15/10 | 151 | 143 | 8 | |||||||||||||||||
1,245,000 ZAR | Citibank, N.A. | 09/15/10 | 161 | 168 | (7 | ) | ||||||||||||||||
625,000 ZAR | State Street Corp. | 09/15/10 | 80 | 84 | (4 | ) | ||||||||||||||||
1,950,000 ZAR | Barclays Bank plc | 12/15/10 | 260 | 260 | — | (h) | ||||||||||||||||
1,950,000 ZAR | Societe Generale | 12/15/10 | 258 | 260 | (2 | ) | ||||||||||||||||
2,182 | 2,153 | 29 |
Corporate Issuer
SWAP COUNTERPARTY/ REFERENCE OBLIGATION | | FUND RECEIVES FIXED RATE (r) | | TERMINATION DATE | | IMPLIED CREDIT SPREAD AS OF 8/31/10 [2] | | NOTIONAL AMOUNT [3] | | VALUE | | UPFRONT PREMIUMS (PAID)/RECEIVED [4] | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Capital Management: | |||||||||||||||||||||||||||
FSA Global Funding Ltd., 6.110%, 06/29/15 | 1.950% quarterly | 03/20/13 | 6.742 | % | 1,000 | (106 | ) | — | |||||||||||||||||||
[1] | 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. |
[2] | 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. |
[3] | 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. |
[4] | 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, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — 40.3% | |||||||||||
Agency CMO — 40.3% | |||||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
124 | Series 1343, Class LA, 8.000%, 08/15/22 | 148 | |||||||||
840 | Series 1367, Class K, 5.500%, 09/15/22 | 946 | |||||||||
163 | Series 1591, Class E, 10.000%, 10/15/23 | 180 | |||||||||
1,459 | Series 1633, Class Z, 6.500%, 12/15/23 | 1,579 | |||||||||
1,973 | Series 1694, Class PK, 6.500%, 03/15/24 | 2,147 | |||||||||
7,965 | Series 1785, Class A, 6.000%, 10/15/23 | 8,369 | |||||||||
443 | Series 1999, Class PU, 7.000%, 10/15/27 | 513 | |||||||||
781 | Series 2031, Class PG, 7.000%, 02/15/28 | 853 | |||||||||
2,141 | Series 2035, Class PC, 6.950%, 03/15/28 | 2,213 | |||||||||
1,866 | Series 2064, Class PD, 6.500%, 06/15/28 (m) | 1,948 | |||||||||
1,699 | Series 2095, Class PE, 6.000%, 11/15/28 | 1,848 | |||||||||
555 | Series 2152, Class BD, 6.500%, 05/15/29 | 611 | |||||||||
3,634 | Series 2162, Class TH, 6.000%, 06/15/29 | 3,955 | |||||||||
299 | Series 2345, Class PQ, 6.500%, 08/15/16 | 321 | |||||||||
1,790 | Series 2367, Class ME, 6.500%, 10/15/31 | 1,964 | |||||||||
5,251 | Series 2480, Class EJ, 6.000%, 08/15/32 | 5,775 | |||||||||
6,000 | Series 2562, Class PG, 5.000%, 01/15/18 | 6,639 | |||||||||
3,781 | Series 2571, Class PV, 5.500%, 01/15/14 | 4,067 | |||||||||
6,155 | Series 2580, Class QM, 5.000%, 10/15/31 | 6,359 | |||||||||
2,872 | Series 2611, Class QZ, 5.000%, 05/15/33 | 3,185 | |||||||||
8,148 | Series 2630, Class KS, 4.000%, 01/15/17 | 8,405 | |||||||||
4,134 | Series 2631, Class TE, 4.500%, 02/15/28 | 4,145 | |||||||||
853 | Series 2647, Class A, 3.250%, 04/15/32 | 890 | |||||||||
5,527 | Series 2651, Class VZ, 4.500%, 07/15/18 | 5,918 | |||||||||
9,000 | Series 2656, Class BG, 5.000%, 10/15/32 | 9,876 | |||||||||
10,000 | Series 2684, Class PD, 5.000%, 03/15/29 | 10,443 | |||||||||
2,500 | Series 2688, Class DG, 4.500%, 10/15/23 | 2,756 | |||||||||
8,588 | Series 2727, Class PE, 4.500%, 07/15/32 | 9,412 | |||||||||
5,000 | Series 2749, Class TD, 5.000%, 06/15/21 | 5,236 | |||||||||
6,000 | Series 2773, Class TB, 4.000%, 04/15/19 | 6,498 | |||||||||
4,730 | Series 2780, Class TD, 5.000%, 04/15/28 | 4,885 | |||||||||
7,450 | Series 2841, Class AT, 4.000%, 08/15/19 | 8,075 | |||||||||
3,018 | Series 2882, Class QD, 4.500%, 07/15/34 | 3,215 | |||||||||
6,342 | Series 2915, Class MU, 5.000%, 01/15/35 | 7,021 | |||||||||
4,372 | Series 2927, Class GA, 5.500%, 10/15/34 | 4,840 | |||||||||
3,690 | Series 2929, Class PC, 5.000%, 01/15/28 | 3,777 | |||||||||
5,500 | Series 2931, Class QD, 4.500%, 02/15/20 | 6,127 | |||||||||
11,274 | Series 2976, Class HP, 4.500%, 01/15/33 | 12,019 | |||||||||
10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) | 11,578 | |||||||||
3,852 | Series 3045, Class HN, 4.500%, 09/15/33 | 3,983 | |||||||||
2,838 | Series 3085, Class VS, HB, IF, 27.616%, 12/15/35 | 4,518 | |||||||||
5,500 | Series 3114, Class KB, 5.000%, 09/15/27 | 5,663 | |||||||||
6,275 | Series 3181, Class OP, PO, 07/15/36 | 5,670 | |||||||||
4,500 | Series 3188, Class GE, 6.000%, 07/15/26 | 5,020 | |||||||||
18,815 | Series 3325, Class JL, 5.500%, 06/15/37 | 20,682 | |||||||||
6,000 | Series 3341, Class PE, 6.000%, 07/15/37 | 6,821 | |||||||||
7,000 | Series 3413, Class B, 5.500%, 04/15/37 | 7,657 | |||||||||
4,000 | Series 3699, Class QH, 5.500%, 07/15/40 | 4,555 | |||||||||
119 | Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23 | 24 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
2,764 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 3,114 | |||||||||
3,219 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,627 | |||||||||
1,304 | Series T-56, Class APO, PO, 05/25/43 | 1,184 | |||||||||
1,989 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 | 2,240 | |||||||||
Federal National Mortgage Association Interest STRIPS, | |||||||||||
4,063 | Series 278, Class 1, VAR, 1.542%, 08/01/25 | 3,844 | |||||||||
1,747 | Series 278, Class 3, VAR, 1.191%, 11/01/23 | 1,658 | |||||||||
3,166 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 314 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
165 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) | 190 | |||||||||
101 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) | 109 | |||||||||
387 | Series 1993-110, Class H, 6.500%, 05/25/23 | 436 | |||||||||
303 | Series 1993-146, Class E, PO, 05/25/23 | 269 | |||||||||
5,242 | Series 1993-155, Class PJ, 7.000%, 09/25/23 | 5,932 | |||||||||
57 | Series 1993-205, Class H, PO, 09/25/23 | 52 | |||||||||
83 | Series 1993-217, Class H, PO, 08/25/23 | 78 | |||||||||
64 | Series 1993-228, Class G, PO, 09/25/23 | 58 | |||||||||
1,795 | Series 1994-37, Class L, 6.500%, 03/25/24 | 2,022 | |||||||||
4,442 | Series 1994-43, Class PJ, 6.350%, 12/25/23 | 4,565 | |||||||||
6,445 | Series 1994-51, Class PV, 6.000%, 03/25/24 | 7,154 | |||||||||
2,735 | Series 1994-62, Class PJ, 7.000%, 01/25/24 | 2,814 | |||||||||
3,587 | Series 1998-58, Class PC, 6.500%, 10/25/28 | 3,985 | |||||||||
619 | Series 2000-8, Class Z, 7.500%, 02/20/30 | 728 | |||||||||
2,421 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 419 | |||||||||
856 | Series 2002-2, Class UC, 6.000%, 02/25/17 | 927 | |||||||||
1,503 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 1,631 | |||||||||
6,502 | Series 2002-73, Class OE, 5.000%, 11/25/17 | 6,979 | |||||||||
686 | Series 2002-86, Class EJ, 5.500%, 12/25/32 | 691 | |||||||||
2,210 | Series 2002-92, Class FB, VAR, 0.914%, 04/25/30 | 2,226 | |||||||||
7,003 | Series 2003-21, Class PZ, 4.500%, 03/25/33 | 7,537 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
13,599 | Series 2003-35, Class MD, 5.000%, 11/25/16 | 13,921 | |||||||||
796 | Series 2003-67, Class SA, HB, IF, 43.786%, 10/25/31 | 1,474 | |||||||||
5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 | 5,519 | |||||||||
20,000 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) | 21,862 | |||||||||
5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 | 5,528 | |||||||||
10,000 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) | 10,981 | |||||||||
16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 | 17,328 | |||||||||
4,376 | Series 2004-46, Class QD, HB, IF, 22.945%, 03/25/34 | 5,743 | |||||||||
4,871 | Series 2004-54, Class FL, VAR, 0.664%, 07/25/34 | 4,874 | |||||||||
9,426 | Series 2004-60, Class PA, 5.500%, 04/25/34 | 10,176 | |||||||||
3,923 | Series 2005-16, Class LC, 5.500%, 05/25/28 | 4,004 | |||||||||
7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 | 8,595 | |||||||||
3,198 | Series 2005-29, Class AK, 4.500%, 04/25/35 | 3,454 | |||||||||
6,356 | Series 2005-58, Class EP, 5.500%, 07/25/35 | 7,131 | |||||||||
7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 | 7,610 | |||||||||
5,941 | Series 2005-83, Class LA, 5.500%, 10/25/35 | 6,666 | |||||||||
5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 | 6,001 | |||||||||
31,430 | Series 2006-51, Class FP, VAR, 0.614%, 03/25/36 | 31,372 | |||||||||
1,704 | Series 2006-69, Class SP, IF, 14.455%, 05/25/30 | 1,879 | |||||||||
487 | Series 2006-81, Class FA, VAR, 0.614%, 09/25/36 | 487 | |||||||||
6,940 | Series 2006-110, Class PO, PO, 11/25/36 | 6,117 | |||||||||
7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 | 8,811 | |||||||||
1,980 | Series 2009-89, Class A1, 5.410%, 05/25/35 | 2,137 | |||||||||
2,582 | Series 2010-4, Class SL, IF, 10.994%, 02/25/40 | 2,636 | |||||||||
7,518 | Series 2010-11, Class CB, 4.500%, 02/25/40 | 7,718 | |||||||||
6,000 | Series 2010-47, Class MB, 5.000%, 09/25/39 | 6,602 | |||||||||
32 | Series G92-35, Class EB, 7.500%, 07/25/22 | 37 | |||||||||
375 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 446 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
541 | Series 1999-W4, Class A9, 6.250%, 02/25/29 | 578 | |||||||||
4,168 | Series 2002-W7, Class A4, 6.000%, 06/25/29 | 4,549 | |||||||||
1,484 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 | 1,671 | |||||||||
705 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 829 | |||||||||
6,166 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 6,654 | |||||||||
5,490 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 | 6,182 | |||||||||
5,939 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 6,483 | |||||||||
Government National Mortgage Association, | |||||||||||
967 | Series 1998-22, Class PD, 6.500%, 09/20/28 | 1,015 | |||||||||
555 | Series 1999-17, Class L, 6.000%, 05/20/29 | 588 | |||||||||
5,631 | Series 2001-10, Class PE, 6.500%, 03/16/31 | 6,010 | |||||||||
5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 | 6,470 | |||||||||
59,660 | Series 2003-59, Class XA, IO, VAR, 2.148%, 06/16/34 | 3,464 | |||||||||
3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 | 3,838 | |||||||||
2,612 | Series 2004-62, Class VA, 5.500%, 07/20/15 | 2,783 | |||||||||
14,618 | Series 2005-28, Class AJ, 5.500%, 04/20/35 | 16,433 | |||||||||
15,025 | Series 2008-40, Class SA, IF, IO, 6.124%, 05/16/38 | 2,110 | |||||||||
28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 | 30,817 | |||||||||
9,356 | Series 2009-52, Class MA, 5.000%, 11/20/36 | 10,299 | |||||||||
4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 | 5,404 | |||||||||
Total Collateralized Mortgage Obligations (Cost $584,427) | 633,398 | ||||||||||
Mortgage Pass-Through Securities — 11.9% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
308 | ARM, 2.555%, 01/01/27 | 322 | |||||||||
35 | ARM, 2.696%, 04/01/30 | 37 | |||||||||
25 | ARM, 3.041%, 02/01/19 | 25 | |||||||||
108 | ARM, 3.084%, 08/01/18 | 113 | |||||||||
16 | ARM, 3.103%, 07/01/30 | 16 | |||||||||
41 | ARM, 3.204%, 03/01/18 | 42 | |||||||||
48 | ARM, 3.375%, 06/01/18 | 50 | |||||||||
4 | ARM, 3.576%, 01/01/20 | 4 | |||||||||
140 | ARM, 3.690%, 01/01/21 | 143 | |||||||||
74 | ARM, 3.731%, 11/01/18 | 76 | |||||||||
3,961 | ARM, 6.020%, 03/01/37 | 4,208 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | |||||||||||
720 | 5.000%, 12/01/13 – 12/01/16 | 757 | |||||||||
673 | 6.000%, 04/01/14 | 726 | |||||||||
899 | 6.500%, 12/01/12 – 06/01/14 | 951 | |||||||||
— | (h) | 7.000%, 12/01/14 | — | (h) | |||||||
2,211 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 | 2,342 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
2,212 | 5.500%, 11/01/33 | 2,388 | |||||||||
472 | 6.000%, 02/01/32 | 518 | |||||||||
1,710 | 6.500%, 01/01/24 – 07/01/29 | 1,891 | |||||||||
1,753 | 7.000%, 08/01/25 – 09/01/29 (m) | 2,009 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
107 | 7.500%, 09/01/24 – 08/01/25 | 121 | |||||||||
128 | 8.000%, 11/01/24 – 09/01/25 | 147 | |||||||||
265 | 8.500%, 05/01/24 – 07/01/28 | 307 | |||||||||
8 | 9.000%, 10/01/17 – 11/01/21 | 9 | |||||||||
— | (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 | — | (h) | |||||||
Federal National Mortgage Association, | |||||||||||
35 | ARM, 2.875%, 06/01/17 | 35 | |||||||||
176 | ARM, 3.000%, 08/01/30 | 179 | |||||||||
56 | ARM, 3.037%, 06/01/29 | 57 | |||||||||
461 | ARM, 3.047%, 07/01/17 – 08/01/41 | 467 | |||||||||
48 | ARM, 3.060%, 06/01/20 | 49 | |||||||||
8 | ARM, 3.125%, 07/01/27 | 8 | |||||||||
118 | ARM, 3.225%, 09/01/14 | 120 | |||||||||
29 | ARM, 3.375%, 09/01/17 | 29 | |||||||||
28 | ARM, 3.434%, 10/01/16 | 28 | |||||||||
7 | ARM, 3.500%, 10/01/15 | 7 | |||||||||
216 | ARM, 3.520%, 01/01/29 | 220 | |||||||||
4 | ARM, 3.525%, 06/01/15 | 4 | |||||||||
69 | ARM, 3.555%, 10/01/14 | 70 | |||||||||
150 | ARM, 3.782%, 09/01/27 | 149 | |||||||||
42 | ARM, 3.825%, 08/01/19 | 43 | |||||||||
218 | ARM, 3.882%, 08/01/19 | 228 | |||||||||
14 | ARM, 4.325%, 11/01/16 | 14 | |||||||||
31 | ARM, 5.921%, 04/01/19 | 33 | |||||||||
23 | ARM, 6.000%, 12/01/18 | 24 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
56,073 | 4.000%, 04/01/19 – 09/01/25 | 59,042 | |||||||||
3,627 | 4.500%, 03/01/19 | 3,878 | |||||||||
2,604 | 5.500%, 11/01/16 – 03/01/18 | 2,822 | |||||||||
208 | 6.000%, 03/01/11 – 08/01/14 | 221 | |||||||||
3 | 6.500%, 12/01/10 | 3 | |||||||||
99 | 8.000%, 11/01/12 | 103 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, | |||||||||||
1,698 | 5.000%, 11/01/23 | 1,819 | |||||||||
2,252 | 6.000%, 03/01/22 | 2,478 | |||||||||
88 | 7.500%, 06/01/14 – 07/01/14 | 97 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
4,037 | 4.500%, 03/01/38 | 4,247 | |||||||||
26,926 | 5.000%, 11/01/33 – 12/01/39 | 29,041 | |||||||||
41,486 | 5.500%, 02/01/29 – 05/01/36 (m) | 44,942 | |||||||||
5,590 | 6.000%, 07/01/36 | 6,115 | |||||||||
1,118 | 6.500%, 06/01/26 – 04/01/32 | 1,241 | |||||||||
6,610 | 7.000%, 02/01/24 – 03/01/35 | 7,516 | |||||||||
345 | 7.500%, 03/01/30 – 04/01/30 | 393 | |||||||||
218 | 10.000%, 10/01/16 – 11/01/21 | 241 | |||||||||
230 | Federal National Mortgage Association, Other, 6.000%, 09/01/28 | 250 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
443 | 8.000%, 11/20/26 – 11/20/27 | 514 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
68 | 6.000%, 10/15/23 | 74 | |||||||||
1,420 | 6.500%, 05/15/23 – 02/15/24 (m) | 1,589 | |||||||||
525 | 7.000%, 12/15/22 – 06/15/28 | 598 | |||||||||
623 | 7.500%, 02/15/22 – 02/15/28 | 712 | |||||||||
274 | 8.000%, 07/15/22 – 08/15/26 | 319 | |||||||||
669 | 9.000%, 06/15/16 – 11/15/24 | 768 | |||||||||
38 | 9.500%, 08/15/16 – 12/15/20 | 41 | |||||||||
Total Mortgage Pass-Through Securities (Cost $177,407) | 188,030 | ||||||||||
U.S. Government Agency Securities — 16.6% | |||||||||||
12,824 | Federal Farm Credit Bank, 5.750%, 12/07/28 | 15,702 | |||||||||
Federal National Mortgage Association, | |||||||||||
25,000 | Zero Coupon, 10/09/19 | 16,481 | |||||||||
10,000 | 6.250%, 05/15/29 | 13,218 | |||||||||
Federal National Mortgage Association STRIPS, | |||||||||||
34,750 | 11/15/20 | 24,547 | |||||||||
8,000 | 05/15/23 | 4,970 | |||||||||
9,200 | 05/29/26 | 5,022 | |||||||||
26,153 | Financing Corp., Principal STRIPS, 12/06/18 | 20,686 | |||||||||
Residual Funding Corp., Principal STRIPS, | |||||||||||
34,520 | 10/15/19 | 26,352 | |||||||||
90,500 | 07/15/20 | 66,260 | |||||||||
10,000 | 01/15/30 | 4,736 | |||||||||
5,000 | 04/15/30 | 2,338 | |||||||||
Resolution Funding Corp. Interest STRIPS, | |||||||||||
50,000 | 07/15/20 | 36,461 | |||||||||
15,000 | 04/15/28 | 7,592 | |||||||||
14,740 | Tennessee Valley Authority Principal STRIPS, 12/15/17 | 12,097 | |||||||||
4,500 | Tennessee Valley Authority STRIPS, 07/15/16 | 3,894 | |||||||||
Total U.S. Government Agency Securities (Cost $208,841) | 260,356 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — 22.6% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
20,000 | 5.250%, 11/15/28 | 25,697 | |||||||||
20,000 | 5.250%, 02/15/29 | 25,709 | |||||||||
2,500 | 7.125%, 02/15/23 | 3,631 | |||||||||
13,140 | 7.250%, 05/15/16 | 17,238 | |||||||||
3,935 | 7.250%, 08/15/22 | 5,740 | |||||||||
3,635 | 8.000%, 11/15/21 | 5,512 | |||||||||
4,085 | 8.875%, 08/15/17 | 5,955 | |||||||||
1,020 | 9.000%, 11/15/18 | 1,556 | |||||||||
U.S. Treasury Inflation Indexed Notes, | |||||||||||
25,000 | 1.375%, 07/15/18 | 26,638 | |||||||||
1,450 | 1.625%, 01/15/15 | 1,753 | |||||||||
25,000 | 2.375%, 04/15/11 | 27,796 | |||||||||
U.S. Treasury Notes, | |||||||||||
50,000 | 3.375%, 11/15/19 | 54,004 | |||||||||
25,000 | 3.750%, 11/15/18 | 27,992 | |||||||||
2,085 | 3.875%, 02/15/13 | 2,256 | |||||||||
6,430 | 4.250%, 08/15/13 | 7,105 | |||||||||
25,000 | 4.250%, 11/15/17 | 28,898 | |||||||||
10,000 | 4.500%, 09/30/11 | 10,451 | |||||||||
2,015 | 4.750%, 05/15/14 | 2,300 | |||||||||
U.S. Treasury STRIPS, | |||||||||||
5,845 | 02/15/15 | 5,536 | |||||||||
1,655 | 05/15/15 | 1,555 | |||||||||
600 | 08/15/15 | 560 | |||||||||
1,900 | 08/15/15 | 1,775 | |||||||||
8,810 | 11/15/15 | 8,147 | |||||||||
1,190 | 05/15/16 | 1,083 | |||||||||
72,500 | 05/15/20 | 55,879 | |||||||||
Total U.S. Treasury Obligations (Cost $310,450) | 354,766 |
SHARES | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 9.1% | |||||||||||
Investment Company — 9.1% | |||||||||||
143,816 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $143,816) | 143,816 | |||||||||
Total Investments — 100.5% (Cost $1,424,941) | 1,580,366 | ||||||||||
Liabilities in Excess of Other Assets — (0.5)% | (8,587 | ) | |||||||||
NET ASSETS — 100.0% | $ | 1,571,779 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 0.1% | |||||||||||
460 | Countrywide Asset-Backed Certificates, Series 2004-13, Class MV8, VAR, 1.964%, 01/25/35 (f) (i) | 22 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
309 | Series 2004-2, Class B, VAR, 3.764%, 06/25/34 (e) (f) (i) | 27 | |||||||||
117 | Series 2004-5, Class M6, VAR, 2.764%, 09/25/34 (f) (i) | 8 | |||||||||
7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) | 6,871 | |||||||||
Total Asset-Backed Securities (Cost $7,728) | 6,928 | ||||||||||
Convertible Bond — 0.0% (g) | |||||||||||
Materials — 0.0% (g) | |||||||||||
Construction Materials — 0.0% (g) | |||||||||||
1,839 | U.S. Concrete, Inc., 9.500%, 07/13/15 (f) (Cost $1,839) | 1,839 | |||||||||
Corporate Bonds — 82.1% | |||||||||||
Consumer Discretionary — 22.2% | |||||||||||
Auto Components — 0.4% | |||||||||||
2,025 | Accuride Corp., 9.500%, 08/01/18 (e) | 2,075 | |||||||||
Affinia Group Holdings, Inc., | |||||||||||
10,450 | 9.000%, 11/30/14 (m) | 10,711 | |||||||||
4,385 | 10.750%, 08/15/16 (e) | 4,846 | |||||||||
51 | ArvinMeritor, Inc., 8.750%, 03/01/12 | 54 | |||||||||
8,150 | DPH Holdings Corp., 7.125%, 05/01/29 (d) | 204 | |||||||||
Goodyear Tire & Rubber Co. (The), | |||||||||||
1,599 | 9.000%, 07/01/15 (c) | 1,675 | |||||||||
1,392 | 10.500%, 05/15/16 | 1,545 | |||||||||
3,750 | Tenneco, Inc., 7.750%, 08/15/18 (e) | 3,825 | |||||||||
2,032 | UCI Holdco, Inc., PIK, 8.537%, 12/15/13 | 1,991 | |||||||||
26,926 | |||||||||||
Automobiles — 1.7% | |||||||||||
Ford Holdings LLC, | |||||||||||
37,822 | 9.300%, 03/01/30 (m) | 39,713 | |||||||||
7,750 | 9.375%, 03/01/20 | 8,109 | |||||||||
Ford Motor Co., | |||||||||||
325 | 7.500%, 08/01/26 | 303 | |||||||||
4,545 | 7.750%, 06/15/43 | 4,000 | |||||||||
3,425 | 8.900%, 01/15/32 | 3,476 | |||||||||
3,529 | 9.215%, 09/15/21 (c) | 3,688 | |||||||||
6,228 | 9.980%, 02/15/47 | 6,788 | |||||||||
Motors Liquidation Co., | |||||||||||
3,415 | 03/15/36 (d) | 563 | |||||||||
50 | 1.500%, 06/01/49 | 364 | |||||||||
973 | 5.250%, 03/06/32 | 7,141 | |||||||||
953 | 6.250%, 07/15/33 | 7,067 | |||||||||
955 | 6.750%, 05/01/28 (d) | 286 | |||||||||
246 | 7.250%, 04/15/41 | 1,749 | |||||||||
284 | 7.250%, 07/15/41 | 2,023 | |||||||||
548 | 7.250%, 02/15/52 | 3,897 | |||||||||
404 | 7.375%, 05/15/48 | 2,874 | |||||||||
6,000 | 7.375%, 05/23/48 (c) (d) | 1,740 | |||||||||
47 | 7.375%, 10/01/51 | 332 | |||||||||
5,000 | 7.400%, 09/01/25 (d) | 1,488 | |||||||||
3,500 | 7.700%, 04/15/16 (d) | 1,041 | |||||||||
12,550 | 8.100%, 06/15/24 (d) | 3,828 | |||||||||
9,000 | 8.250%, 07/15/23 (d) | 2,812 | |||||||||
34,006 | 8.375%, 07/15/33 (d) | 10,882 | |||||||||
6,000 | Navistar International Corp., 8.250%, 11/01/21 | 6,285 | |||||||||
120,449 | |||||||||||
Broadcasting & Cable TV — 2.4% | |||||||||||
Adelphia Communications Corp., | |||||||||||
1,075 | 7.750%, 01/15/09 (d) | 16 | |||||||||
1,450 | 8.125%, 07/15/03 (d) | 22 | |||||||||
3,175 | 9.375%, 11/15/09 (c) (d) | 48 | |||||||||
3,500 | 10.875%, 10/01/10 (d) | 52 | |||||||||
9,055 | Adelphia Recovery Trust, Contingent Value12/31/49 | 272 | |||||||||
Cablevision Systems Corp., | |||||||||||
5,000 | 7.750%, 04/15/18 | 5,262 | |||||||||
2,350 | 8.000%, 04/15/20 (c) | 2,509 | |||||||||
3,075 | 8.625%, 09/15/17 (e) | 3,352 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | |||||||||||
3,075 | 7.875%, 04/30/18 (e) | 3,183 | |||||||||
11,000 | 8.125%, 04/30/20 (e) | 11,577 | |||||||||
6,150 | Charter Communications Operating LLC/Charter Communications Operating Capital, 10.875%, 09/15/14 (e) | 6,888 | |||||||||
DISH DBS Corp., | |||||||||||
4,120 | 7.000%, 10/01/13 | 4,290 | |||||||||
2,000 | 7.125%, 02/01/16 | 2,045 | |||||||||
6,750 | 7.875%, 09/01/19 | 7,037 | |||||||||
3,178 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15 | 3,154 | |||||||||
8,180 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 (c) | 8,180 | |||||||||
Sirius XM Radio, Inc., | |||||||||||
7,494 | 8.750%, 04/01/15 (c) (e) | 7,719 | |||||||||
9,790 | 9.750%, 09/01/15 (e) | 10,646 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Broadcasting & Cable TV — Continued | |||||||||||
13,862 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 | 15,699 | |||||||||
14,020 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, (Germany), 8.125%, 12/01/17 (e) | 14,406 | |||||||||
Videotron Ltee, (Canada), | |||||||||||
9,600 | 6.875%, 01/15/14 (m) | 9,648 | |||||||||
6,430 | 9.125%, 04/15/18 | 7,137 | |||||||||
Virgin Media Finance plc, (United Kingdom), | |||||||||||
7,175 | 8.375%, 10/15/19 | 7,821 | |||||||||
15,950 | 9.125%, 08/15/16 | 17,046 | |||||||||
2,000 | 9.500%, 08/15/16 | 2,240 | |||||||||
17,217 | XM Satellite Radio, Inc., 13.000%, 08/01/13 (e) | 19,498 | |||||||||
169,747 | |||||||||||
Distributors — 0.3% | |||||||||||
26,055 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) | 22,994 | |||||||||
Diversified Consumer Services — 0.9% | |||||||||||
3,000 | Carriage Services, Inc., 7.875%, 01/15/15 | 2,940 | |||||||||
17,380 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m) | 16,685 | |||||||||
6,075 | Mac-Gray Corp., 7.625%, 08/15/15 | 5,847 | |||||||||
Service Corp. International, | |||||||||||
925 | 6.750%, 04/01/15 (c) | 964 | |||||||||
3,000 | 6.750%, 04/01/16 | 3,075 | |||||||||
12,755 | 7.000%, 06/15/17 (m) | 13,202 | |||||||||
3,850 | 7.625%, 10/01/18 | 4,038 | |||||||||
4,000 | 8.000%, 11/15/21 | 4,220 | |||||||||
4,850 | Sotheby’s, 7.750%, 06/15/15 | 4,923 | |||||||||
Stewart Enterprises, Inc., | |||||||||||
6,435 | 3.125%, 07/15/14 | 5,840 | |||||||||
5,625 | 3.375%, 07/15/16 | 4,865 | |||||||||
66,599 | |||||||||||
Gaming — 3.5% | |||||||||||
Chukchansi Economic Development Authority, | |||||||||||
20,098 | 8.000%, 11/15/13 (e) | 11,657 | |||||||||
6,120 | VAR, 4.123%, 11/15/12 (e) | 3,488 | |||||||||
2,575 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) | 2,987 | |||||||||
4,000 | Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp., 10.250%, 06/15/15 (d) (e) | 10 | |||||||||
Harrah’s Operating Co., Inc., | |||||||||||
59,250 | 10.000%, 12/15/18 (c) | 46,215 | |||||||||
11,550 | 11.250%, 06/01/17 | 12,359 | |||||||||
13,488 | Isle of Capri Casinos, Inc., 7.000%, 03/01/14 (m) | 11,633 | |||||||||
Marina District Finance Co., Inc., | |||||||||||
4,800 | 9.500%, 10/15/15 (c) (e) | 4,764 | |||||||||
4,800 | 9.875%, 08/15/18 (c) (e) | 4,788 | |||||||||
Mashantucket Western Pequot Tribe, | |||||||||||
3,982 | 5.912%, 09/01/21 (d) (e) | 2,684 | |||||||||
9,770 | 8.500%, 11/15/15 (d) (e) | 1,563 | |||||||||
9,725 | MCE Finance Ltd., (Cayman Islands), 10.250%, 05/15/18 (c) (e) | 10,406 | |||||||||
MGM Resorts International, | |||||||||||
1,671 | 5.875%, 02/27/14 | 1,320 | |||||||||
16,057 | 6.625%, 07/15/15 (c) | 12,705 | |||||||||
7,340 | 7.500%, 06/01/16 (c) | 5,762 | |||||||||
5,470 | 7.625%, 01/15/17 (c) | 4,294 | |||||||||
5,000 | 9.000%, 03/15/20 (e) | 5,187 | |||||||||
3,850 | 10.375%, 05/15/14 | 4,197 | |||||||||
1,500 | 11.125%, 11/15/17 | 1,676 | |||||||||
7,000 | 13.000%, 11/15/13 | 8,085 | |||||||||
4,250 | Midwest Gaming Borrower LLC/Midwest Finance Corp., 11.625%, 04/15/16 (e) | 4,271 | |||||||||
Peninsula Gaming LLC, | |||||||||||
9,630 | 8.375%, 08/15/15 | 9,991 | |||||||||
12,765 | 10.750%, 08/15/17 (c) | 13,403 | |||||||||
Pinnacle Entertainment, Inc., | |||||||||||
4,250 | 8.625%, 08/01/17 | 4,452 | |||||||||
3,850 | 8.750%, 05/15/20 | 3,715 | |||||||||
San Pasqual Casino, | |||||||||||
11,459 | 8.000%, 09/15/13 (e) | 11,173 | |||||||||
17,800 | Seminole Hard Rock Entertainment, Inc., VAR, 3.037%, 03/15/14 (e) | 15,530 | |||||||||
16,700 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) | 12,734 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | |||||||||||
10,250 | 7.750%, 08/15/20 (e) | 10,353 | |||||||||
1,250 | 7.875%, 11/01/17 (e) | 1,284 | |||||||||
11,976 | 7.875%, 05/01/20 (c) (e) | 12,096 | |||||||||
254,782 | |||||||||||
Hotels, Restaurants & Leisure — 1.8% | |||||||||||
11,800 | AMC Entertainment, Inc., 8.750%, 06/01/19 (c) | 12,183 | |||||||||
4,500 | Cinemark USA, Inc., 8.625%, 06/15/19 | 4,714 | |||||||||
16,900 | CKE Restaurants, Inc., 11.375%, 07/15/18 (e) | 16,477 | |||||||||
1,518 | Games Merger Corp., 11.000%, 06/01/18 (e) | 1,594 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Hotels, Restaurants & Leisure — Continued | |||||||||||
Host Hotels & Resorts LP, | |||||||||||
1,050 | 6.875%, 11/01/14 | 1,074 | |||||||||
793 | 7.125%, 11/01/13 | 805 | |||||||||
5,000 | 9.000%, 05/15/17 (c) | 5,500 | |||||||||
4,415 | Landry’s Holdings, Inc., 11.500%, 06/01/14 (e) | 4,062 | |||||||||
11,043 | Landry’s Restaurants, Inc., 11.625%, 12/01/15 | 11,457 | |||||||||
2,550 | O’Charley’s, Inc., 9.000%, 11/01/13 | 2,582 | |||||||||
6,565 | Real Mex Restaurants, Inc., 14.000%, 01/01/13 | 6,598 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), | |||||||||||
1,000 | 7.000%, 06/15/13 | 1,021 | |||||||||
6,666 | 7.250%, 06/15/16 | 6,716 | |||||||||
11,820 | 11.875%, 07/15/15 (m) | 13,918 | |||||||||
Speedway Motorsports, Inc., | |||||||||||
4,650 | 6.750%, 06/01/13 | 4,662 | |||||||||
7,500 | 8.750%, 06/01/16 | 7,931 | |||||||||
2,750 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 | 3,039 | |||||||||
Universal City Development Partners Ltd., | |||||||||||
4,150 | 8.875%, 11/15/15 (e) | 4,212 | |||||||||
15,415 | 10.875%, 11/15/16 (c) (e) | 16,456 | |||||||||
6,101 | Wendy’s/Arby’s Restaurants LLC, 10.000%, 07/15/16 | 6,406 | |||||||||
131,407 | |||||||||||
Household Durables — 1.0% | |||||||||||
D.R. Horton, Inc., | |||||||||||
353 | 5.625%, 09/15/14 | 347 | |||||||||
1,000 | 6.125%, 01/15/14 | 1,014 | |||||||||
18,000 | K Hovnanian Enterprises, Inc., 10.625%, 10/15/16 | 17,460 | |||||||||
KB Home, | |||||||||||
3,450 | 7.250%, 06/15/18 | 3,148 | |||||||||
5,000 | 9.100%, 09/15/17 | 5,050 | |||||||||
Lennar Corp., | |||||||||||
1,800 | 5.600%, 05/31/15 | 1,642 | |||||||||
13,050 | 6.950%, 06/01/18 (e) | 11,533 | |||||||||
Meritage Homes Corp., | |||||||||||
3,664 | 6.250%, 03/15/15 | 3,490 | |||||||||
13,525 | 7.150%, 04/15/20 | 12,443 | |||||||||
Standard Pacific Corp., | |||||||||||
11,201 | 6.250%, 04/01/14 (c) | 10,445 | |||||||||
7,285 | 7.000%, 08/15/15 | 6,702 | |||||||||
425 | 8.375%, 05/15/18 | 409 | |||||||||
73,683 | |||||||||||
Leisure Equipment & Products — 1.0% | |||||||||||
11,350 | Da-Lite Screen Co., Inc., 12.500%, 04/01/15 (c) | 11,463 | |||||||||
43,349 | Eastman Kodak Co., 9.750%, 03/01/18 (e) | 41,507 | |||||||||
10,745 | FGI Holding Co., Inc., PIK, 11.250%, 10/01/15 (e) | 10,584 | |||||||||
5,350 | Steinway Musical Instruments, Inc., 7.000%, 03/01/14 (e) | 5,203 | |||||||||
68,757 | |||||||||||
Media — 4.9% | |||||||||||
12,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 11,820 | |||||||||
4,150 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14 | 3,818 | |||||||||
15,400 | Block Communications, Inc., 8.250%, 12/15/15 (e) | 15,246 | |||||||||
21,890 | Cequel Communications Holdings I LLC and Cequel Capital Corp., 8.625%, 11/15/17 (e) | 22,328 | |||||||||
Clear Channel Worldwide Holdings, Inc., | |||||||||||
4,500 | 9.250%, 12/15/17 | 4,669 | |||||||||
19,460 | 9.250%, 12/15/17 | 20,408 | |||||||||
4,550 | Entravision Communications Corp., 8.750%, 08/01/17 (e) | 4,550 | |||||||||
5,900 | Fisher Communications, Inc., 8.625%, 09/15/14 | 5,848 | |||||||||
Gannett Co., Inc., | |||||||||||
7,950 | 8.750%, 11/15/14 (e) | 8,566 | |||||||||
8,236 | 9.375%, 11/15/17 (e) | 9,019 | |||||||||
4,714 | 10.000%, 04/01/16 | 5,268 | |||||||||
2,900 | Gray Television, Inc., 10.500%, 06/29/15 (c) | 2,791 | |||||||||
20,315 | Intelsat Intermediate Holding Co. S.A., (Luxembourg), SUB, 9.500%, 02/01/15 (m) | 21,077 | |||||||||
Intelsat Jackson Holdings S.A., (Luxembourg), | |||||||||||
5,250 | 8.500%, 11/01/19 (c) (e) | 5,552 | |||||||||
12,780 | 11.250%, 06/15/16 | 13,754 | |||||||||
Intelsat Luxembourg S.A., (Luxembourg), | |||||||||||
41,475 | 11.250%, 02/04/17 (m) | 42,927 | |||||||||
31,135 | PIK, 11.500%, 02/04/17 | 32,069 | |||||||||
Intelsat Subsidiary Holding Co. S.A., (Bermuda), | |||||||||||
6,240 | 8.875%, 01/15/15 (e) | 6,411 | |||||||||
7,250 | 8.875%, 01/15/15 | 7,486 | |||||||||
Lamar Media Corp., | |||||||||||
2,710 | 6.625%, 08/15/15 | 2,683 | |||||||||
4,000 | 6.625%, 08/15/15 | 4,000 | |||||||||
925 | LBI Media, Inc., 8.500%, 08/01/17 (e) | 777 | |||||||||
11,075 | McClatchy Co. (The), 11.500%, 02/15/17 (e) | 11,435 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Media — Continued | |||||||||||
19,550 | Media General, Inc., 11.750%, 02/15/17 (c) | 20,796 | |||||||||
Nexstar Broadcasting, Inc., | |||||||||||
1,498 | 7.000%, 01/15/14 | 1,468 | |||||||||
4,551 | PIK, 0.500%, 01/15/14 (e) | 4,187 | |||||||||
3,850 | Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc., 8.875%, 04/15/17 (e) | 3,913 | |||||||||
2,205 | Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc., SUB, 11.375%, 04/01/13 | 2,186 | |||||||||
Nielsen Finance LLC/Nielsen Finance Co., | |||||||||||
3,800 | 11.500%, 05/01/16 | 4,261 | |||||||||
5,001 | SUB, 08/01/16 | 4,957 | |||||||||
3,750 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 | 3,825 | |||||||||
Radio One, Inc., | |||||||||||
2,850 | 6.375%, 02/15/13 | 2,404 | |||||||||
1,000 | 8.875%, 07/01/11 | 884 | |||||||||
5,739 | Sinclair Television Group, Inc., 9.250%, 11/01/17 (e) | 5,911 | |||||||||
6,682 | Valassis Communications, Inc., 8.250%, 03/01/15 | 6,966 | |||||||||
WMG Acquisition Corp., | |||||||||||
17,453 | 7.375%, 04/15/14 | 15,969 | |||||||||
6,239 | 9.500%, 06/15/16 | 6,520 | |||||||||
8,429 | WMG Holdings Corp., SUB, 9.500%, 12/15/14 | 8,008 | |||||||||
354,757 | |||||||||||
Multiline Retail — 0.4% | |||||||||||
11,445 | HSN, Inc., 11.250%, 08/01/16 | 12,990 | |||||||||
QVC, Inc., | |||||||||||
2,425 | 7.125%, 04/15/17 (e) | 2,468 | |||||||||
2,425 | 7.375%, 10/15/20 (e) | 2,461 | |||||||||
12,300 | 7.500%, 10/01/19 (e) | 12,546 | |||||||||
30,465 | |||||||||||
Specialty Retail — 3.4% | |||||||||||
9,150 | ACE Hardware Corp., 9.125%, 06/01/16 (e) | 9,607 | |||||||||
4,510 | Burlington Coat Factory Investment Holdings, Inc., SUB, 14.500%, 10/15/14 | 4,792 | |||||||||
26,873 | Burlington Coat Factory Warehouse Corp., 11.125%, 04/15/14 (m) | 27,814 | |||||||||
7,195 | Collective Brands, Inc., 8.250%, 08/01/13 | 7,303 | |||||||||
2,715 | Express LLC/Express Finance Corp., 8.750%, 03/01/18 (e) | 2,810 | |||||||||
24,097 | General Nutrition Centers, Inc., PIK, 5.750%, 03/15/14 | 23,043 | |||||||||
146 | KAR Auction Services, Inc., 10.000%, 05/01/15 | 151 | |||||||||
Ltd. Brands, Inc., | |||||||||||
8,920 | 7.000%, 05/01/20 | 9,321 | |||||||||
4,750 | 8.500%, 06/15/19 | 5,368 | |||||||||
Michael’s Stores, Inc., | |||||||||||
12,665 | 11.375%, 11/01/16 (c) | 13,583 | |||||||||
52,074 | SUB, 11/01/16 | 48,950 | |||||||||
10,445 | NBC Acquisition Corp., SUB, 11.000%, 03/15/13 | 9,400 | |||||||||
Nebraska Book Co., Inc., | |||||||||||
14,041 | 8.625%, 03/15/12 (c) | 13,199 | |||||||||
3,692 | 10.000%, 12/01/11 | 3,710 | |||||||||
13,350 | Penske Auto Group, Inc., 7.750%, 12/15/16 (m) | 12,749 | |||||||||
10,700 | PEP Boys - Manny, Moe & Jack, 7.500%, 12/15/14 (m) | 10,539 | |||||||||
7,550 | Susser Holdings LLC/Susser Finance Corp., 8.500%, 05/15/16 (c) (e) | 7,739 | |||||||||
15,570 | Toys R U.S., Inc., 7.875%, 04/15/13 (m) | 16,115 | |||||||||
10,000 | Toys R US — Delaware, Inc., 7.375%, 09/01/16 (e) | 10,100 | |||||||||
9,950 | Toys R Us Property Co. LLC, 8.500%, 12/01/17 (e) | 10,348 | |||||||||
246,641 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.5% | |||||||||||
2,609 | Broder Brothers Co., PIK, 12.000%, 10/15/13 (e) (f) (i) | 2,165 | |||||||||
Hanesbrands, Inc., | |||||||||||
900 | 8.000%, 12/15/16 | 937 | |||||||||
6,743 | VAR, 4.121%, 12/15/14 | 6,406 | |||||||||
10,130 | Levi Strauss & Co., 7.625%, 05/15/20 | 10,307 | |||||||||
3,930 | Phillips-Van Heusen Corp., 7.375%, 05/15/20 | 4,048 | |||||||||
16,391 | Quiksilver, Inc., 6.875%, 04/15/15 (m) | 15,162 | |||||||||
39,025 | |||||||||||
Total Consumer Discretionary | 1,606,232 | ||||||||||
Consumer Staples — 3.9% | |||||||||||
Beverages — 0.3% | |||||||||||
1,790 | CEDC Finance Corp. International, Inc., 9.125%, 12/01/16 (e) | 1,835 | |||||||||
Constellation Brands, Inc., | |||||||||||
2,900 | 7.250%, 09/01/16 | 3,037 | |||||||||
10,375 | 7.250%, 05/15/17 | 10,868 | |||||||||
6,240 | 8.375%, 12/15/14 | 6,786 | |||||||||
1,240 | Cott Beverages USA, Inc., 8.125%, 09/01/18 (e) | 1,276 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Beverages — Continued | |||||||||||
1,000 | Cott Beverages, Inc., 8.375%, 11/15/17 (e) | 1,046 | |||||||||
24,848 | |||||||||||
Food & Staples Retailing — 1.3% | |||||||||||
22,665 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) | 23,713 | |||||||||
Rite Aid Corp., | |||||||||||
24,990 | 7.500%, 03/01/17 (m) | 22,585 | |||||||||
6,500 | 9.500%, 06/15/17 | 5,151 | |||||||||
3,800 | 10.250%, 10/15/19 (c) | 3,904 | |||||||||
2,750 | 10.375%, 07/15/16 (c) | 2,843 | |||||||||
5,875 | Stater Brothers Holdings, 7.750%, 04/15/15 | 5,949 | |||||||||
SUPERVALU, Inc., | |||||||||||
10,850 | 7.500%, 11/15/14 | 10,850 | |||||||||
7,575 | 8.000%, 05/01/16 (c) | 7,594 | |||||||||
12,950 | Tops Markets LLC, 10.125%, 10/15/15 (e) | 13,598 | |||||||||
96,187 | |||||||||||
Food Products— 1.4% | |||||||||||
4,275 | Bumble Bee Foods LLC, 7.750%, 12/15/15 (e) | 4,521 | |||||||||
Chiquita Brands International, Inc., | |||||||||||
17,022 | 7.500%, 11/01/14 (m) | 16,916 | |||||||||
2,900 | 8.875%, 12/01/15 (c) | 2,936 | |||||||||
Dean Foods Co., | |||||||||||
500 | 6.900%, 10/15/17 | 455 | |||||||||
2,000 | 7.000%, 06/01/16 | 1,875 | |||||||||
450 | Del Monte Corp., 7.500%, 10/15/19 | 477 | |||||||||
Dole Food Co., Inc., | |||||||||||
350 | 8.000%, 10/01/16 (e) | 361 | |||||||||
6,300 | 13.875%, 03/15/14 | 7,576 | |||||||||
2,087 | Eurofresh, Inc., 15.000%, 11/18/16 (f) (i) | 2,087 | |||||||||
2,700 | Expedia, Inc., 5.950%, 08/15/20 (e) | 2,757 | |||||||||
13,096 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 15,011 | |||||||||
1,000 | Michael Foods, Inc., 9.750%, 07/15/18 (e) | 1,050 | |||||||||
Smithfield Foods, Inc., | |||||||||||
7,456 | 7.750%, 05/15/13 | 7,493 | |||||||||
16,110 | 7.750%, 07/01/17 | 15,667 | |||||||||
7,105 | 10.000%, 07/15/14 (e) | 7,931 | |||||||||
12,014 | Tyson Foods, Inc., 7.600%, 04/01/16 (m) | 13,125 | |||||||||
100,238 | |||||||||||
Household Products — 0.5% | |||||||||||
Spectrum Brands Holdings, Inc., | |||||||||||
12,150 | 9.500%, 06/15/18 (e) | 12,788 | |||||||||
18,693 | PIK, 12.000%, 08/28/19 | 20,048 | |||||||||
32,836 | |||||||||||
Personal Products — 0.1% | |||||||||||
6,240 | Revlon Consumer Products Corp., 9.750%, 11/15/15 | 6,482 | |||||||||
Tobacco — 0.3% | |||||||||||
16,955 | Alliance One International, Inc., 10.000%, 07/15/16 | 17,760 | |||||||||
Total Consumer Staples | 278,351 | ||||||||||
Energy — 11.1% | |||||||||||
Energy Equipment & Services — 1.3% | |||||||||||
Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), | |||||||||||
18,190 | 10.000%, 01/15/18 | 17,826 | |||||||||
12,386 | 11.750%, 05/27/14 | 13,625 | |||||||||
7,272 | Global Geophysical Services, Inc., 10.500%, 05/01/17 (e) | 7,199 | |||||||||
13,530 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) | 13,327 | |||||||||
14,493 | Key Energy Services, Inc., 8.375%, 12/01/14 (m) | 14,964 | |||||||||
2,400 | Parker Drilling Co., 9.125%, 04/01/18 (e) | 2,400 | |||||||||
13,271 | PHI, Inc., 7.125%, 04/15/13 (m) | 12,790 | |||||||||
4,250 | Pride International, Inc., 6.875%, 08/15/20 | 4,457 | |||||||||
4,500 | Sevan Marine ASA, (Norway), 12.000%, 08/10/15 (e) | 4,568 | |||||||||
91,156 | |||||||||||
Oil, Gas & Consumable Fuels — 9.8% | |||||||||||
19,603 | Alon Refining Krotz Springs, Inc., 13.500%, 10/15/14 | 19,211 | |||||||||
4,250 | AmeriGas Partners LP, 7.250%, 05/20/15 | 4,367 | |||||||||
1,650 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 | 1,693 | |||||||||
7,975 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 7,891 | |||||||||
26,792 | Antero Resources Finance Corp., 9.375%, 12/01/17 | 27,663 | |||||||||
5,200 | Arch Coal, Inc., 7.250%, 10/01/20 | 5,278 | |||||||||
41,152 | Bill Barrett Corp., 9.875%, 07/15/16 (m) | 44,650 | |||||||||
Chesapeake Energy Corp., | |||||||||||
7,560 | 6.875%, 08/15/18 | 7,711 | |||||||||
2,400 | 7.625%, 07/15/13 | 2,595 | |||||||||
10,775 | 9.500%, 02/15/15 | 12,122 | |||||||||
15,260 | Citgo Petroleum Corp., 11.500%, 07/01/17 (e) | 16,328 | |||||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., | |||||||||||
11,455 | 8.250%, 12/15/17 (e) | 11,841 | |||||||||
9,235 | 8.500%, 12/15/19 (e) | 9,593 | |||||||||
36,622 | Comstock Resources, Inc., 8.375%, 10/15/17 | 37,446 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
Consol Energy, Inc., | |||||||||||
9,055 | 8.000%, 04/01/17 (e) | 9,553 | |||||||||
7,000 | 8.250%, 04/01/20 (e) | 7,429 | |||||||||
2,830 | Copano Energy LLC/Copano Energy Finance Corp., 7.750%, 06/01/18 | 2,830 | |||||||||
7,050 | Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875%, 02/15/18 | 7,279 | |||||||||
13,993 | Denbury Resources, Inc., 8.250%, 02/15/20 | 14,938 | |||||||||
El Paso Corp., | |||||||||||
4,305 | 6.875%, 06/15/14 (m) | 4,555 | |||||||||
950 | 7.000%, 06/15/17 | 1,003 | |||||||||
3,869 | 7.250%, 06/01/18 | 4,145 | |||||||||
1,500 | 7.875%, 06/15/12 (c) | 1,589 | |||||||||
5,150 | 8.250%, 02/15/16 | 5,614 | |||||||||
4,950 | 12.000%, 12/12/13 | 5,965 | |||||||||
4,750 | El Paso Performance-Linked Trust, 7.750%, 07/15/11 (e) | 4,925 | |||||||||
4,800 | El Paso Pipeline Partners Operating Co., LLC, 6.500%, 04/01/20 | 5,124 | |||||||||
2,000 | Encore Acquisition Co., 9.500%, 05/01/16 | 2,180 | |||||||||
Ferrellgas LP/Ferrellgas Finance Corp., | |||||||||||
2,400 | 6.750%, 05/01/14 | 2,412 | |||||||||
3,750 | 9.125%, 10/01/17 | 4,012 | |||||||||
21,450 | Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., 8.625%, 06/15/20 | 22,147 | |||||||||
6,950 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 | 6,342 | |||||||||
11,260 | Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 (e) | 11,176 | |||||||||
Forest Oil Corp., | |||||||||||
35,123 | 7.250%, 06/15/19 (m) | 35,167 | |||||||||
8,165 | 8.500%, 02/15/14 | 8,675 | |||||||||
7,355 | Frontier Oil Corp., 8.500%, 09/15/16 | 7,539 | |||||||||
7,270 | Holly Corp., 9.875%, 06/15/17 | 7,633 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp., | |||||||||||
11,575 | 6.250%, 03/01/15 (m) | 11,170 | |||||||||
5,700 | 8.250%, 03/15/18 (e) | 5,857 | |||||||||
Inergy LP/Inergy Finance Corp., | |||||||||||
2,676 | 6.875%, 12/15/14 | 2,689 | |||||||||
7,300 | 8.250%, 03/01/16 | 7,656 | |||||||||
750 | 8.750%, 03/01/15 | 799 | |||||||||
Linn Energy LLC/Linn Energy Finance Corp., | |||||||||||
12,450 | 8.625%, 04/15/20 (e) | 13,135 | |||||||||
2,000 | 11.750%, 05/15/17 | 2,280 | |||||||||
Newfield Exploration Co., | |||||||||||
6,180 | 6.625%, 09/01/14 | 6,319 | |||||||||
8,075 | 6.875%, 02/01/20 | 8,418 | |||||||||
3,675 | 7.125%, 05/15/18 | 3,845 | |||||||||
NFR Energy LLC/NFR Energy Finance Corp., | |||||||||||
26,825 | 9.750%, 02/15/17 (e) | 27,093 | |||||||||
7,500 | Patriot Coal Corp., 8.250%, 04/30/18 | 7,444 | |||||||||
16,777 | Penn Virginia Corp., 10.375%, 06/15/16 (m) | 18,245 | |||||||||
6,550 | Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | 6,615 | |||||||||
182 | Petroleum Development Corp., 12.000%, 02/15/18 | 196 | |||||||||
15,175 | Pioneer Drilling Co., 9.875%, 03/15/18 (e) | 15,175 | |||||||||
Pioneer Natural Resources Co., | |||||||||||
2,499 | 5.875%, 07/15/16 | 2,572 | |||||||||
6,635 | 6.650%, 03/15/17 | 6,927 | |||||||||
4,950 | 6.875%, 05/01/18 | 5,172 | |||||||||
10,000 | 7.500%, 01/15/20 | 10,744 | |||||||||
Plains Exploration & Production Co., | |||||||||||
5,040 | 7.625%, 04/01/20 | 5,091 | |||||||||
7,475 | 10.000%, 03/01/16 | 8,185 | |||||||||
10,534 | QEP Resources, Inc., 6.875%, 03/01/21 | 10,982 | |||||||||
7,750 | Quicksilver Resources, Inc., 11.750%, 01/01/16 | 8,913 | |||||||||
Range Resources Corp., | |||||||||||
1,000 | 6.375%, 03/15/15 | 1,008 | |||||||||
1,080 | 6.750%, 08/01/20 | 1,088 | |||||||||
3,270 | 7.250%, 05/01/18 | 3,384 | |||||||||
19,245 | 7.500%, 05/15/16 (m) | 20,015 | |||||||||
2,000 | 7.500%, 10/01/17 | 2,090 | |||||||||
2,000 | 8.000%, 05/15/19 | 2,140 | |||||||||
11,745 | Sabine Pass LNG LP, 7.250%, 11/30/13 (m) | 11,040 | |||||||||
3,500 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 7.375%, 03/15/20 | 3,649 | |||||||||
Swift Energy Co., | |||||||||||
15,772 | 7.125%, 06/01/17 | 15,062 | |||||||||
11,000 | 8.875%, 01/15/20 | 11,275 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | |||||||||||
8,025 | 7.875%, 10/15/18 (e) | 8,246 | |||||||||
7,985 | 8.250%, 07/01/16 | 8,304 | |||||||||
2,915 | 11.250%, 07/15/17 | 3,352 | |||||||||
10,700 | W&T Offshore, Inc., 8.250%, 06/15/14 (e) | 10,165 | |||||||||
Western Refining, Inc., | |||||||||||
13,061 | 11.250%, 06/15/17 (e) | 11,885 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Oil, Gas & Consumable Fuels — Continued | |||||||||||
9,872 | VAR, 10.750%, 06/15/14 (e) | 8,984 | |||||||||
707,830 | |||||||||||
Total Energy | 798,986 | ||||||||||
Financials — 9.7% | |||||||||||
Commercial Banks — 2.7% | |||||||||||
Bank of America Corp., | |||||||||||
6,175 | VAR, 8.000%, 01/30/18 (x) | 6,299 | |||||||||
11,075 | VAR, 8.125%, 05/15/18 (x) | 11,298 | |||||||||
1,100 | BankAmerica Capital II, 8.000%, 12/15/26 | 1,121 | |||||||||
12,575 | BankAmerica Institutional Capital B, Class B, 7.700%, 12/31/26 (e) | 12,575 | |||||||||
Barclays Bank plc, (United Kingdom), | |||||||||||
21,671 | VAR, 5.926%, 12/15/16 (e) (m) (x) | 18,962 | |||||||||
12,850 | VAR, 7.434%, 12/15/17 (e) (m) (x) | 12,722 | |||||||||
1,385 | Capital One Capital IV, VAR, 6.745%, 02/17/37 | 1,319 | |||||||||
20,275 | Capital One Capital V, 10.250%, 08/15/39 (m) | 21,897 | |||||||||
4,300 | Capital One Capital VI, 8.875%, 05/15/40 | 4,526 | |||||||||
12,671 | Countrywide Capital III, 8.050%, 06/15/27 | 13,051 | |||||||||
41,425 | Credit Agricole S.A., (France), VAR, 6.637%, 05/31/17 (e) (m) (x) | 35,211 | |||||||||
1,922 | NB Capital Trust II, 7.830%, 12/15/26 | 1,927 | |||||||||
4,750 | NB Capital Trust IV, 8.250%, 04/15/27 | 4,867 | |||||||||
1,000 | Regions Financial Corp., 6.375%, 05/15/12 | 1,014 | |||||||||
60,498 | Wachovia Capital Trust III, VAR, 5.800%, 03/15/11 (m) (x) | 51,272 | |||||||||
198,061 | |||||||||||
Consumer Finance — 2.4% | |||||||||||
Ally Financial, Inc., | |||||||||||
5,450 | 7.500%, 09/15/20 (e) | 5,395 | |||||||||
70,360 | 8.000%, 11/01/31 | 69,305 | |||||||||
Ford Motor Credit Co. LLC, | |||||||||||
5,525 | 6.625%, 08/15/17 (c) | 5,616 | |||||||||
6,800 | 7.500%, 08/01/12 (m) | 7,139 | |||||||||
10,500 | 8.000%, 06/01/14 (m) | 11,145 | |||||||||
40,445 | 8.000%, 12/15/16 (m) | 43,920 | |||||||||
10,500 | 8.125%, 01/15/20 (c) | 11,484 | |||||||||
6,850 | 8.700%, 10/01/14 | 7,479 | |||||||||
4,980 | VAR, 3.277%, 01/13/12 (m) | 4,881 | |||||||||
5,053 | GMAC, Inc., 6.750%, 12/01/14 | 5,015 | |||||||||
171,379 | |||||||||||
Diversified Financial Services — 1.5% | |||||||||||
12,624 | ACE Cash Express, Inc., 10.250%, 10/01/14 (e) (f) (i) | 10,636 | |||||||||
3,500 | Aircastle Ltd., (Bermuda), 9.750%, 08/01/18 (e) | 3,544 | |||||||||
7,055 | Cardtronics, Inc., 8.250%, 09/01/18 | 7,214 | |||||||||
CIT Group, Inc., | |||||||||||
18,879 | 7.000%, 05/01/15 (c) | 18,147 | |||||||||
15,600 | 7.000%, 05/01/16 | 14,820 | |||||||||
5,750 | CNG Holdings, Inc., 12.250%, 02/15/15 (e) | 6,009 | |||||||||
Deluxe Corp., | |||||||||||
3,797 | 5.125%, 10/01/14 | 3,626 | |||||||||
2,155 | 7.375%, 06/01/15 | 2,187 | |||||||||
3,520 | ILFC E-Capital Trust I, VAR, 5.900%, 12/21/65 (e) | 2,209 | |||||||||
12,270 | ILFC E-Capital Trust II, VAR, 6.250%, 12/21/65 (e) | 7,807 | |||||||||
International Lease Finance Corp., | |||||||||||
6,095 | 8.625%, 09/15/15 (e) | 6,133 | |||||||||
13,670 | 8.750%, 03/15/17 (e) | 13,790 | |||||||||
11,100 | 8.875%, 09/01/17 | 11,183 | |||||||||
5,655 | SquareTwo Financial Corp., 11.625%, 04/01/17 (e) | 4,990 | |||||||||
�� 112,295 | |||||||||||
Insurance — 2.8% | |||||||||||
6,155 | Crum & Forster Holdings Corp., 7.750%, 05/01/17 | 6,363 | |||||||||
Fairfax Financial Holdings Ltd., (Canada), | |||||||||||
4,675 | 7.750%, 06/15/17 | 4,897 | |||||||||
2,875 | 8.250%, 10/01/15 | 3,098 | |||||||||
21,575 | Genworth Financial, Inc., VAR, 6.150%, 11/15/66 | 15,102 | |||||||||
HUB International Holdings, Inc., | |||||||||||
2,800 | 9.000%, 12/15/14 (e) | 2,677 | |||||||||
40,825 | 10.250%, 06/15/15 (e) (m) | 38,580 | |||||||||
Liberty Mutual Group, Inc., | |||||||||||
7,425 | 7.800%, 03/15/37 (e) | 6,534 | |||||||||
74,267 | VAR, 10.750%, 06/15/58 (e) | 82,622 | |||||||||
Nationwide Mutual Insurance Co., | |||||||||||
3,567 | 8.250%, 12/01/31 (e) | 3,872 | |||||||||
8,250 | 9.375%, 08/15/39 (e) | 10,022 | |||||||||
USI Holdings Corp., | |||||||||||
18,024 | 9.750%, 05/15/15 (e) (m) | 17,168 | |||||||||
10,549 | VAR, 4.251%, 11/15/14 (e) (f) (i) | 8,940 | |||||||||
199,875 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.3% | |||||||||||
9,086 | DuPont Fabros Technology LP, 8.500%, 12/15/17 | 9,608 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Real Estate Investment Trusts (REITs) — Continued | |||||||||||
10,429 | First Industrial LP, 6.420%, 06/01/14 | 9,871 | |||||||||
2,725 | Senior Housing Properties Trust, 6.750%, 04/15/20 | 2,817 | |||||||||
22,296 | |||||||||||
Total Financials | 703,906 | ||||||||||
Health Care — 4.9% | |||||||||||
Biotechnology — 0.1% | |||||||||||
1,925 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 | 2,064 | |||||||||
4,865 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 | 5,291 | |||||||||
7,355 | |||||||||||
Health Care Equipment & Supplies — 0.4% | |||||||||||
4,250 | Accellent, Inc., 8.375%, 02/01/17 | 4,229 | |||||||||
2,050 | Bausch & Lomb, Inc., 9.875%, 11/01/15 | 2,127 | |||||||||
19,425 | Biomet, Inc., 10.000%, 10/15/17 (m) | 21,076 | |||||||||
1,750 | DJO Finance LLC/DJO Finance Corp., 10.875%, 11/15/14 | 1,874 | |||||||||
29,306 | |||||||||||
Health Care Providers & Services — 3.2% | |||||||||||
5,450 | Capella Healthcare, Inc., 9.250%, 07/01/17 (e) | 5,641 | |||||||||
9,112 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 | 9,454 | |||||||||
4,431 | DaVita, Inc., 6.625%, 03/15/13 | 4,453 | |||||||||
8,669 | FMC Finance III S.A., (Luxembourg), 6.875%, 07/15/17 | 9,038 | |||||||||
3,200 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 | 3,296 | |||||||||
HCA, Inc., | |||||||||||
3,716 | 5.750%, 03/15/14 | 3,572 | |||||||||
2,550 | 6.300%, 10/01/12 (m) | 2,595 | |||||||||
5,553 | 6.375%, 01/15/15 | 5,428 | |||||||||
1,275 | 6.750%, 07/15/13 | 1,288 | |||||||||
5,275 | 7.250%, 09/15/20 | 5,512 | |||||||||
8,556 | 8.500%, 04/15/19 | 9,380 | |||||||||
2,050 | 9.125%, 11/15/14 | 2,152 | |||||||||
24,025 | 9.250%, 11/15/16 (m) | 25,767 | |||||||||
5,800 | 9.875%, 02/15/17 | 6,336 | |||||||||
8,992 | Health Management Associates, Inc., 6.125%, 04/15/16 | 8,711 | |||||||||
3,150 | IASIS Healthcare LLC/IASIS Capital Corp., 8.750%, 06/15/14 | 3,213 | |||||||||
13,600 | Multiplan, Inc., 9.875%, 09/01/18 (e) | 13,668 | |||||||||
Omnicare, Inc., | |||||||||||
8,501 | 6.875%, 12/15/15 | 8,416 | |||||||||
2,000 | 7.750%, 06/01/20 | 2,000 | |||||||||
15,050 | OnCure Holdings, Inc., 11.750%, 05/15/17 (e) | 14,034 | |||||||||
8,100 | Radiation Therapy Services, Inc., 9.875%, 04/15/17 (e) | 7,918 | |||||||||
6,464 | Select Medical Corp., 7.625%, 02/01/15 | 6,092 | |||||||||
6,382 | Team Finance LLC/Health Finance Corp., 11.250%, 12/01/13 | 6,645 | |||||||||
Tenet Healthcare Corp., | |||||||||||
19,600 | 8.875%, 07/01/19 | 21,192 | |||||||||
425 | 9.000%, 05/01/15 | 453 | |||||||||
425 | 10.000%, 05/01/18 | 478 | |||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., | |||||||||||
27,700 | 8.000%, 02/01/18 | 27,181 | |||||||||
10,950 | 8.000%, 02/01/18 (e) | 10,662 | |||||||||
Ventas Realty LP/Ventas Capital Corp., | |||||||||||
1,899 | 6.500%, 06/01/16 | 1,957 | |||||||||
3,000 | 6.750%, 04/01/17 | 3,128 | |||||||||
229,660 | |||||||||||
Pharmaceuticals — 1.2% | |||||||||||
8,778 | Catalent Pharma Solutions, Inc., PIK, 10.250%, 04/15/15 | 8,768 | |||||||||
8,593 | Celtic Pharma Phinco B.V., PIK, 17.000%, 06/15/12 (f) (i) | 4,296 | |||||||||
Elan Finance plc/Elan Finance Corp., (Ireland), | |||||||||||
20,900 | 8.750%, 10/15/16 (e) | 20,273 | |||||||||
15,000 | 8.750%, 10/15/16 (c) (e) | 14,475 | |||||||||
9,410 | VAR, 4.376%, 11/15/11 | 9,398 | |||||||||
16,802 | Mylan, Inc., 7.875%, 07/15/20 (e) | 17,516 | |||||||||
Valeant Pharmaceuticals International, | |||||||||||
6,000 | 7.625%, 03/15/20 (e) | 7,230 | |||||||||
3,000 | 8.375%, 06/15/16 | 3,405 | |||||||||
85,361 | |||||||||||
Total Health Care | 351,682 | ||||||||||
Industrials — 8.0% | |||||||||||
Aerospace & Defense — 0.9% | |||||||||||
Bombardier, Inc., (Canada), | |||||||||||
7,420 | 7.500%, 03/15/18 (e) | 7,902 | |||||||||
2,420 | 7.750%, 03/15/20 (e) | 2,602 | |||||||||
4,500 | Colt Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) | 3,206 | |||||||||
16,444 | DigitalGlobe, Inc., 10.500%, 05/01/14 | 17,965 | |||||||||
Esterline Technologies Corp., | |||||||||||
4,910 | 6.625%, 03/01/17 | �� | 4,910 | ||||||||
1,565 | 7.000%, 08/01/20 (e) | 1,593 | |||||||||
3,750 | Hexcel Corp., 6.750%, 02/01/15 | 3,731 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Aerospace & Defense — Continued | |||||||||||
7,195 | Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17 | 7,429 | |||||||||
362 | Moog, Inc., 7.250%, 06/15/18 | 366 | |||||||||
1,500 | Spirit Aerosystems, Inc., 7.500%, 10/01/17 | 1,541 | |||||||||
Triumph Group, Inc., | |||||||||||
10,066 | 8.000%, 11/15/17 | 10,141 | |||||||||
5,380 | 8.625%, 07/15/18 (e) | 5,703 | |||||||||
67,089 | |||||||||||
Airlines — 1.3% | |||||||||||
American Airlines, Inc., | |||||||||||
4,200 | 10.500%, 10/15/12 (e) | 4,462 | |||||||||
1,738 | 13.000%, 08/01/16 | 1,990 | |||||||||
15,731 | Continental Airlines 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 | 14,945 | |||||||||
2,168 | Continental Airlines 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 | 2,174 | |||||||||
12,352 | Continental Airlines 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) | 12,105 | |||||||||
2,561 | Continental Airlines 2006-1 Class G Pass-Through Trust, VAR, FGIC, 0.886%, 06/02/13 | 2,280 | |||||||||
5,808 | Continental Airlines 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) | 5,692 | |||||||||
433 | Continental Airlines, 2002-2 Class A-2 Pass-Through Trust, 7.487%, 10/02/10 | 435 | |||||||||
3,200 | Continental Airlines, Inc., 6.750%, 09/15/15 (e) | 3,168 | |||||||||
Delta Air Lines, Inc., | |||||||||||
395 | 6.619%, 03/18/11 | 401 | |||||||||
5,659 | 8.021%, 08/10/22 | 5,540 | |||||||||
7,790 | 8.300%, 12/15/29 (d) | 139 | |||||||||
7,044 | 8.954%, 08/10/14 (c) | 7,178 | |||||||||
670 | 9.500%, 09/15/14 (e) | 718 | |||||||||
570 | 9.750%, 12/17/16 (c) | 599 | |||||||||
2,510 | 10.125%, 05/15/11 | 45 | |||||||||
Northwest Airlines, Inc., | |||||||||||
25,017 | 7.027%, 11/01/19 | 24,641 | |||||||||
2,318 | 8.028%, 11/01/17 (c) | 2,341 | |||||||||
UAL 2007-1 Pass-Through Trust, | |||||||||||
1,027 | 7.336%, 07/02/19 (e) | 924 | |||||||||
1,369 | VAR, 3.003%, 07/02/14 (e) | 1,095 | |||||||||
4,740 | UAL 2009-2A Pass-Through Trust, 9.750%, 01/15/17 (c) | 5,249 | |||||||||
96,121 | |||||||||||
Building Products — 0.3% | |||||||||||
1,750 | AMH Holdings, Inc., SUB, 11.250%, 03/01/14 | 1,774 | |||||||||
Building Materials Corp of America, | |||||||||||
16,125 | 6.875%, 08/15/18 (e) | 15,681 | |||||||||
5,265 | 7.000%, 02/15/20 (e) | 5,239 | |||||||||
567 | Masco Corp., 5.850%, 03/15/17 | 551 | |||||||||
23,245 | |||||||||||
Commercial Services & Supplies — 1.1% | |||||||||||
Cenveo Corp., | |||||||||||
12,275 | 8.875%, 02/01/18 | 11,692 | |||||||||
9,250 | 10.500%, 08/15/16 (e) | 9,238 | |||||||||
2,000 | FTI Consulting, Inc., 7.750%, 10/01/16 | 2,075 | |||||||||
7,754 | Garda World Security Corp., (Canada), 9.750%, 03/15/17 (e) | 8,006 | |||||||||
Harland Clarke Holdings Corp., | |||||||||||
16,710 | 9.500%, 05/15/15 | 15,917 | |||||||||
23,161 | VAR, 6.000%, 05/15/15 | 19,455 | |||||||||
Iron Mountain, Inc., | |||||||||||
2,938 | 8.000%, 06/15/20 | 3,056 | |||||||||
5,631 | 8.375%, 08/15/21 | 5,983 | |||||||||
3,205 | 8.750%, 07/15/18 | 3,381 | |||||||||
Quebecor World Capital Corp., (Canada), | |||||||||||
8,325 | 6.125%, 11/15/13 (d) (f) | 499 | |||||||||
6,815 | 6.500%, 08/01/27 (d) (f) | 409 | |||||||||
3,825 | 9.750%, 01/15/15 (c) (d) (f) | 230 | |||||||||
79,941 | |||||||||||
Construction & Engineering — 0.8% | |||||||||||
32,176 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/14 (m) | 32,819 | |||||||||
United Rentals North America, Inc., | |||||||||||
12,250 | 9.250%, 12/15/19 (m) | 13,016 | |||||||||
8,865 | 10.875%, 06/15/16 | 9,840 | |||||||||
55,675 | |||||||||||
Electrical Equipment — 0.3% | |||||||||||
Belden, Inc., | |||||||||||
3,408 | 7.000%, 03/15/17 | 3,425 | |||||||||
5,315 | 9.250%, 06/15/19 (e) | 5,733 | |||||||||
1,810 | General Cable Corp., VAR, 2.908%, 04/01/15 (c) | 1,654 | |||||||||
5,910 | International Wire Group, Inc., 9.750%, 04/15/15 (e) | 5,910 | |||||||||
16,722 | |||||||||||
Environmental Services — 0.1% | |||||||||||
7,455 | Casella Waste Systems, Inc., 11.000%, 07/15/14 | 8,145 | |||||||||
Industrial Conglomerates — 0.4% | |||||||||||
28,030 | JB Poindexter & Co., Inc., 8.750%, 03/15/14 (m) | 27,119 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Industrial Machinery — 0.2% | |||||||||||
3,516 | Baldor Electric Co., 8.625%, 02/15/17 (m) | 3,718 | |||||||||
8,495 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) | 8,846 | |||||||||
12,564 | |||||||||||
Machinery — 0.3% | |||||||||||
3,750 | Gardner Denver, Inc., 8.000%, 05/01/13 | 3,820 | |||||||||
SPX Corp., | |||||||||||
5,175 | 6.875%, 09/01/17 (e) | 5,330 | |||||||||
1,325 | 7.625%, 12/15/14 | 1,428 | |||||||||
12,725 | Trimas Corp., 9.750%, 12/15/17 (e) (m) | 13,139 | |||||||||
23,717 | |||||||||||
Marine — 0.8% | |||||||||||
11,300 | American Petroleum Tankers LLC/AP Tankers Co., 10.250%, 05/01/15 (e) | 11,441 | |||||||||
12,586 | Commercial Barge Line Co., 12.500%, 07/15/17 (c) | 13,593 | |||||||||
4,300 | Navios Maritime Holdings, Inc., (Marshall Islands), 9.500%, 12/15/14 | 4,289 | |||||||||
15,200 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 (c) (e) | 15,770 | |||||||||
9,860 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 | 9,712 | |||||||||
54,805 | |||||||||||
Road & Rail — 1.5% | |||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., | |||||||||||
5,925 | 7.750%, 05/15/16 | 5,732 | |||||||||
27,548 | 9.625%, 03/15/18 | 28,788 | |||||||||
Hertz Corp. (The), | |||||||||||
151 | 8.875%, 01/01/14 | 155 | |||||||||
19,516 | 10.500%, 01/01/16 (c) | 20,785 | |||||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), | |||||||||||
1,854 | 7.375%, 06/01/14 | 1,905 | |||||||||
1,960 | 7.625%, 12/01/13 | 2,019 | |||||||||
4,038 | 12.500%, 04/01/16 (m) | 4,840 | |||||||||
7,175 | Kansas City Southern Railway, 8.000%, 06/01/15 (m) | 7,659 | |||||||||
Quality Distribution LLC/QD Capital Corp., | |||||||||||
7,600 | 10.000%, 06/01/13 (f) (i) | 7,600 | |||||||||
2,325 | PIK, 11.750%, 11/01/13 (c) (f) (i) | 2,197 | |||||||||
25,244 | RailAmerica, Inc., 9.250%, 07/01/17 | 27,390 | |||||||||
109,070 | |||||||||||
Total Industrials | 574,213 | ||||||||||
Information Technology — 3.7% | |||||||||||
Communications Equipment — 0.4% | |||||||||||
35,025 | Avaya, Inc., 9.750%, 11/01/15 | 33,186 | |||||||||
Computers & Peripherals — 0.4% | |||||||||||
7,390 | Seagate HDD Cayman, (Cayman Islands), 6.875%, 05/01/20 (e) | 7,242 | |||||||||
16,575 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 (m) | 16,824 | |||||||||
6,400 | Stratus Technologies, Inc., 12.000%, 03/29/15 (e) | 5,568 | |||||||||
29,634 | |||||||||||
Electronic Equipment, Instruments & Components — 0.5% | |||||||||||
2,867 | Flextronics International Ltd., (Singapore), 6.250%, 11/15/14 (c) | 2,910 | |||||||||
6,090 | Intcomex, Inc., 13.250%, 12/15/14 (e) | 6,440 | |||||||||
Sanmina-SCI Corp., | |||||||||||
3,008 | 6.750%, 03/01/13 (c) | 2,978 | |||||||||
9,630 | 8.125%, 03/01/16 | 9,702 | |||||||||
3,200 | VAR, 3.287%, 06/15/14 (e) | 2,984 | |||||||||
2,219 | Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 6.033%, 04/01/12 (f) (i) | 2,152 | |||||||||
9,527 | Viasystems, Inc., 12.000%, 01/15/15 (e) | 10,361 | |||||||||
37,527 | |||||||||||
Electronic Manufacturing Services — 0.2% | |||||||||||
12,358 | Kemet Corp., 10.500%, 05/01/18 (e) | 12,852 | |||||||||
Internet Software & Services — 0.2% | |||||||||||
9,460 | Equinix, Inc., 8.125%, 03/01/18 | 9,886 | |||||||||
5,130 | Terremark Worldwide, Inc., 12.000%, 06/15/17 | 5,797 | |||||||||
15,683 | |||||||||||
IT Services — 0.8% | |||||||||||
2,000 | Compucom Systems, Inc., 12.500%, 10/01/15 (e) | 2,102 | |||||||||
Fidelity National Information Services, Inc., | |||||||||||
2,662 | 7.625%, 07/15/17 (e) | 2,775 | |||||||||
2,177 | 7.875%, 07/15/20 (e) | 2,286 | |||||||||
First Data Corp., | |||||||||||
1,080 | 8.875%, 08/15/20 (c) (e) | 1,083 | |||||||||
17,820 | 9.875%, 09/24/15 | 13,543 | |||||||||
3,045 | Interactive Data Corp., 10.250%, 08/01/18 (e) | 3,151 | |||||||||
7,145 | Sitel LLC/Sitel Finance Corp., 11.500%, 04/01/18 (e) | 5,359 | |||||||||
10,310 | Stream Global Services, Inc., 11.250%, 10/01/14 | 10,207 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
IT Services — Continued | |||||||||||
SunGard Data Systems, Inc., | |||||||||||
2,950 | 9.125%, 08/15/13 | 3,013 | |||||||||
1,050 | 10.625%, 05/15/15 | 1,160 | |||||||||
Unisys Corp., | |||||||||||
4,670 | 12.750%, 10/15/14 (e) | 5,441 | |||||||||
4,745 | 14.250%, 09/15/15 (e) | 5,551 | |||||||||
55,671 | |||||||||||
Semiconductors & Semiconductor Equipment — 1.2% | |||||||||||
Advanced Micro Devices, Inc., | |||||||||||
1,370 | 7.750%, 08/01/20 (e) | 1,356 | |||||||||
21,125 | 8.125%, 12/15/17 | 21,601 | |||||||||
Amkor Technology, Inc., | |||||||||||
10,090 | 7.375%, 05/01/18 (e) | 10,064 | |||||||||
449 | 9.250%, 06/01/16 | 475 | |||||||||
Freescale Semiconductor, Inc., | |||||||||||
8,000 | 9.250%, 04/15/18 (e) | 8,020 | |||||||||
9,240 | 10.125%, 03/15/18 (c) (e) | 9,517 | |||||||||
NXP B.V./NXP Funding LLC, (Netherlands), | |||||||||||
18,027 | 7.875%, 10/15/14 (e) (m) | 18,117 | |||||||||
1,100 | 9.750%, 08/01/18 (e) | 1,133 | |||||||||
11,838 | VAR, 3.276%, 10/15/13 (e) | 11,069 | |||||||||
2,850 | STATS ChipPAC Ltd., (Singapore), 7.500%, 08/12/15 (e) | 2,964 | |||||||||
84,316 | |||||||||||
Total Information Technology | 268,869 | ||||||||||
Materials — 8.1% | |||||||||||
Chemicals — 2.1% | |||||||||||
3,550 | Ashland, Inc., 9.125%, 06/01/17 | 4,056 | |||||||||
CF Industries, Inc., | |||||||||||
10,150 | 6.875%, 05/01/18 | 10,683 | |||||||||
5,085 | 7.125%, 05/01/20 | 5,454 | |||||||||
19,695 | Chemtura Corp., 7.875%, 09/01/18 (c) (e) | 20,114 | |||||||||
19,890 | LBI Escrow Corp., 8.000%, 11/01/17 (e) | 21,357 | |||||||||
45,380 | Lyondell Chemical Co., 11.000%, 05/01/18 | 49,294 | |||||||||
151 | Nova Chemicals Corp., (Canada), 6.500%, 01/15/12 | 154 | |||||||||
5,205 | OXEA Finance/Cy SCA, (Luxembourg), 9.500%, 07/15/17 (e) | 5,315 | |||||||||
24,753 | PolyOne Corp., 8.875%, 05/01/12 (m) | 26,300 | |||||||||
5,350 | �� | Sterling Chemicals, Inc., 10.250%, 04/01/15 | 5,276 | ||||||||
3,706 | Westlake Chemical Corp., 6.625%, 01/15/16 (m) | 3,720 | |||||||||
151,723 | |||||||||||
Construction Materials — 0.5% | |||||||||||
20,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 | 20,560 | |||||||||
12,600 | Texas Industries, Inc., 9.250%, 08/15/20 (e) | 12,820 | |||||||||
33,380 | |||||||||||
Containers & Packaging — 2.0% | |||||||||||
Ball Corp., | |||||||||||
4,125 | 6.750%, 09/15/20 | 4,341 | |||||||||
1,650 | 7.125%, 09/01/16 | 1,770 | |||||||||
1,650 | 7.375%, 09/01/19 | 1,770 | |||||||||
Berry Plastics Corp., | |||||||||||
5,750 | 8.250%, 11/15/15 | 5,764 | |||||||||
16,425 | 8.875%, 09/15/14 | 15,645 | |||||||||
25,500 | 9.500%, 05/15/18 (e) | 23,460 | |||||||||
941 | 10.250%, 03/01/16 (c) | 845 | |||||||||
5,450 | Berry Plastics Holding Corp., VAR, 5.276%, 02/15/15 | 5,096 | |||||||||
1,500 | BWAY Holding Co., 10.000%, 06/15/18 (c) (e) | 1,590 | |||||||||
12,863 | Constar International, Inc., VAR, 3.751%, 02/15/12 | 10,933 | |||||||||
151 | Crown Americas LLC/Crown Americas Capital Corp., 7.750%, 11/15/15 | 157 | |||||||||
4,275 | Graphic Packaging International, Inc., 9.500%, 06/15/17 | 4,553 | |||||||||
3,800 | Greif, Inc., 7.750%, 08/01/19 | 3,990 | |||||||||
Owens-Brockway Glass Container, Inc., | |||||||||||
3,253 | 6.750%, 12/01/14 (m) | 3,351 | |||||||||
1,000 | 7.375%, 05/15/16 | 1,075 | |||||||||
Plastipak Holdings, Inc., | |||||||||||
5,019 | 8.500%, 12/15/15 (e) | 5,069 | |||||||||
8,500 | 10.625%, 08/15/19 (e) | 9,435 | |||||||||
6,600 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, 7.750%, 10/15/16 (e) | 6,649 | |||||||||
20,715 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 8.500%, 05/15/18 (e) | 19,886 | |||||||||
14,910 | Solo Cup Co., 8.500%, 02/15/14 | 12,599 | |||||||||
5,925 | Solo Cup Co./Solo Cup Operating Corp., 10.500%, 11/01/13 | 5,992 | |||||||||
143,970 | |||||||||||
Metals & Mining — 1.4% | |||||||||||
3,748 | AK Steel Corp., 7.625%, 05/15/20 | 3,776 | |||||||||
2,810 | Arch Western Finance LLC, 6.750%, 07/01/13 | 2,824 | |||||||||
4,376 | California Steel Industries, Inc., 6.125%, 03/15/14 | 4,245 | |||||||||
14,581 | Essar Steel Algoma, Inc., (Canada), 9.375%, 03/15/15 (e) | 14,399 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Metals & Mining — Continued | |||||||||||
FMG Resources August 2006 Pty Ltd., (Australia), | |||||||||||
7,656 | 10.000%, 09/01/13 (e) | 8,431 | |||||||||
3,350 | 10.625%, 09/01/16 (e) | 3,882 | |||||||||
3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 | 3,710 | |||||||||
11,550 | Murray Energy Corp., 10.250%, 10/15/15 (e) | 11,810 | |||||||||
1,097 | Noranda Aluminum Acquisition Corp., PIK, 5.373%, 05/15/15 | 861 | |||||||||
Novelis, Inc., (Canada), | |||||||||||
7,244 | 7.250%, 02/15/15 | 7,262 | |||||||||
4,500 | 11.500%, 02/15/15 | 4,950 | |||||||||
4,154 | Rain CII Carbon LLC, 11.125%, 11/15/15 (e) (f) (i) | 4,248 | |||||||||
4,500 | Ryerson, Inc., 12.000%, 11/01/15 | 4,629 | |||||||||
Steel Dynamics, Inc., | |||||||||||
4,475 | 6.750%, 04/01/15 | 4,576 | |||||||||
4,925 | 7.625%, 03/15/20 (e) | 5,048 | |||||||||
United States Steel Corp., | |||||||||||
3,075 | 6.050%, 06/01/17 | 3,037 | |||||||||
231 | 7.000%, 02/01/18 | 232 | |||||||||
13,710 | 7.375%, 04/01/20 | 13,881 | |||||||||
5,310 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (d) | 2,336 | |||||||||
104,137 | |||||||||||
Paper & Forest Products — 2.1% | |||||||||||
Abitibi-Consolidated Co. of Canada, (Canada), | |||||||||||
8,431 | 6.000%, 06/20/13 (d) | 738 | |||||||||
5,141 | 7.750%, 06/15/11 (d) | 450 | |||||||||
14,371 | 8.375%, 04/01/15 (d) | 1,257 | |||||||||
19,851 | 13.750%, 04/01/11 (d) (e) | 21,886 | |||||||||
Abitibi-Consolidated, Inc., (Canada), | |||||||||||
2,425 | 7.500%, 04/01/28 (d) | 215 | |||||||||
680 | 8.550%, 08/01/10 (d) | 62 | |||||||||
2,605 | 8.850%, 08/01/30 (d) | 235 | |||||||||
16,800 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) | 15,582 | |||||||||
5,250 | Boise Paper Holdings LLC/Boise Co.-Issuer Co., 8.000%, 04/01/20 | 5,342 | |||||||||
4,150 | Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d) | 1,385 | |||||||||
Cascades, Inc., (Canada), | |||||||||||
6,710 | 7.750%, 12/15/17 | 6,911 | |||||||||
4,000 | 7.875%, 01/15/20 | 4,110 | |||||||||
Domtar Corp., | |||||||||||
2,015 | 7.125%, 08/15/15 | 2,146 | |||||||||
191 | 7.875%, 10/15/11 | 202 | |||||||||
5,377 | 10.750%, 06/01/17 | 6,627 | |||||||||
Georgia-Pacific LLC, | |||||||||||
4,400 | 7.000%, 01/15/15 (e) | 4,554 | |||||||||
8,090 | 7.125%, 01/15/17 (e) | 8,535 | |||||||||
151 | 8.125%, 05/15/11 | 155 | |||||||||
3,800 | 8.250%, 05/01/16 (e) | 4,161 | |||||||||
61,532 | NewPage Corp., 11.375%, 12/31/14 (c) | 49,995 | |||||||||
6,810 | P.H. Glatfelter Co., 7.125%, 05/01/16 (e) | 6,853 | |||||||||
3,970 | PE Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) | 4,481 | |||||||||
3,200 | Potlatch Corp., 7.500%, 11/01/19 | 3,168 | |||||||||
Smurfit-Stone Container Enterprises, Inc., | |||||||||||
25,818 | 8.000%, 03/15/17 (d) | 868 | |||||||||
19,431 | 8.375%, 07/01/12 (d) | 654 | |||||||||
1,050 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 | 1,108 | |||||||||
151,680 | |||||||||||
Total Materials | 584,890 | ||||||||||
Telecommunication Services — 6.8% | |||||||||||
Diversified Telecommunication Services — 3.5% | |||||||||||
Cincinnati Bell, Inc., | |||||||||||
37 | 7.000%, 02/15/15 | 36 | |||||||||
7,125 | 8.250%, 10/15/17 | 6,982 | |||||||||
4,840 | 8.750%, 03/15/18 | 4,622 | |||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., | |||||||||||
50,823 | 12.000%, 12/01/15 (e) | 50,823 | |||||||||
6,000 | 12.000%, 12/01/15 (e) | 6,015 | |||||||||
Frontier Communications Corp., | |||||||||||
6,340 | 7.125%, 03/15/19 | 6,245 | |||||||||
3,945 | 7.875%, 04/15/15 | 4,162 | |||||||||
800 | 8.125%, 10/01/18 | 848 | |||||||||
775 | 8.250%, 05/01/14 | 837 | |||||||||
3,945 | 8.250%, 04/15/17 | 4,172 | |||||||||
13,095 | 8.500%, 04/15/20 | 13,897 | |||||||||
3,945 | 8.750%, 04/15/22 | 4,162 | |||||||||
2,965 | Global Crossing Ltd., (Bermuda), 12.000%, 09/15/15 | 3,291 | |||||||||
Level 3 Financing, Inc., | |||||||||||
300 | 8.750%, 02/15/17 | 254 | |||||||||
33,483 | 9.250%, 11/01/14 (m) | 29,507 | |||||||||
12,105 | 10.000%, 02/01/18 | 10,441 | |||||||||
14,015 | PAETEC Holding Corp., 8.875%, 06/30/17 (m) | 14,505 | |||||||||
Qwest Communications International, Inc., | |||||||||||
17,455 | 7.125%, 04/01/18 (e) (m) | 18,153 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Diversified Telecommunication Services — Continued | |||||||||||
2,500 | 7.500%, 02/15/14 | 2,547 | |||||||||
4,115 | 8.000%, 10/01/15 (e) | 4,424 | |||||||||
Qwest Corp., | |||||||||||
10,000 | 6.500%, 06/01/17 (m) | 10,737 | |||||||||
1,000 | 7.500%, 10/01/14 (m) | 1,114 | |||||||||
13,125 | 7.625%, 06/15/15 (m) | 14,733 | |||||||||
1,000 | 8.375%, 05/01/16 | 1,165 | |||||||||
2,400 | 8.875%, 03/15/12 | 2,640 | |||||||||
Windstream Corp., | |||||||||||
500 | 7.000%, 03/15/19 | 485 | |||||||||
8,200 | 7.875%, 11/01/17 | 8,323 | |||||||||
10,025 | 8.125%, 08/01/13 (m) | 10,689 | |||||||||
10,190 | 8.125%, 09/01/18 (e) | 10,369 | |||||||||
3,950 | 8.625%, 08/01/16 | 4,078 | |||||||||
250,256 | |||||||||||
Wireless Telecommunication Services — 3.3% | |||||||||||
6,160 | CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) | 6,714 | |||||||||
Cricket Communications, Inc., | |||||||||||
4,810 | 7.750%, 05/15/16 | 4,967 | |||||||||
16,820 | 9.375%, 11/01/14 (c) | 17,030 | |||||||||
3,720 | Crown Castle International Corp., 9.000%, 01/15/15 | 4,036 | |||||||||
4,270 | iPCS, Inc., VAR, 2.591%, 05/01/13 | 3,993 | |||||||||
MetroPCS Wireless, Inc., | |||||||||||
33,845 | 9.250%, 11/01/14 (m) | 35,199 | |||||||||
225 | 9.250%, 11/01/14 | 234 | |||||||||
46,700 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) | 46,233 | |||||||||
NII Capital Corp., | |||||||||||
19,530 | 8.875%, 12/15/19 | 21,092 | |||||||||
7,455 | 10.000%, 08/15/16 | 8,359 | |||||||||
3,250 | NII Holdings, Inc., 3.125%, 06/15/12 | 3,144 | |||||||||
1,025 | SBA Telecommunications, Inc., 8.250%, 08/15/19 | 1,112 | |||||||||
Sprint Nextel Corp., | |||||||||||
67,435 | 6.000%, 12/01/16 (m) | 62,968 | |||||||||
5,425 | 8.375%, 08/15/17 (c) | 5,601 | |||||||||
Wind Acquisition Finance S.A., (Luxembourg), | |||||||||||
10,915 | 11.750%, 07/15/17 (e) | 12,007 | |||||||||
7,827 | PIK, 12.250%, 07/15/17 (e) | 8,101 | |||||||||
240,790 | |||||||||||
Total Telecommunication Services | 491,046 | ||||||||||
Utilities — 3.7% | |||||||||||
Electric Utilities — 0.2% | |||||||||||
1,200 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) | 1,254 | |||||||||
2,500 | PNM Resources, Inc., 9.250%, 05/15/15 | 2,678 | |||||||||
8,000 | Public Service Co. of New Mexico, 7.950%, 05/15/18 | 8,780 | |||||||||
12,712 | |||||||||||
Gas Utilities — 0.0% (g) | |||||||||||
1,627 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 | 1,643 | |||||||||
Independent Power Producers & Energy Traders — 3.3% | |||||||||||
AES Eastern Energy LP, | |||||||||||
2,150 | 9.000%, 01/02/17 | 2,204 | |||||||||
15,145 | 9.670%, 01/02/29 | 16,357 | |||||||||
8,275 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) | 8,689 | |||||||||
10,011 | Calpine Corp., 7.250%, 10/15/17 (e) | 9,986 | |||||||||
5,075 | Calpine Generating Co. LLC, HB, 4,823.931%, 04/01/11 (d) | 698 | |||||||||
Dynegy Holdings, Inc., | |||||||||||
12,200 | 7.125%, 05/15/18 (m) | 7,808 | |||||||||
3,900 | 7.500%, 06/01/15 | 2,983 | |||||||||
151 | 8.375%, 05/01/16 | 113 | |||||||||
3,000 | 8.750%, 02/15/12 | 2,970 | |||||||||
34,441 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m) | 31,341 | |||||||||
Edison Mission Energy, | |||||||||||
11,102 | 7.000%, 05/15/17 | 7,577 | |||||||||
33,656 | 7.200%, 05/15/19 (m) | 22,381 | |||||||||
151 | 7.500%, 06/15/13 (c) | 138 | |||||||||
17,038 | 7.750%, 06/15/16 (m) | 12,544 | |||||||||
828 | FPL Energy Wind Funding LLC, 6.876%, 06/27/17 (e) | 804 | |||||||||
Homer City Funding LLC, | |||||||||||
4,757 | 8.137%, 10/01/19 | 4,352 | |||||||||
4,249 | 8.734%, 10/01/26 | 3,675 | |||||||||
10,774 | Midwest Generation LLC, 8.560%, 01/02/16 | 10,505 | |||||||||
7,130 | Mirant Americas Generation LLC, 8.500%, 10/01/21 (c) | 6,435 | |||||||||
4,070 | North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) | 4,396 | |||||||||
NRG Energy, Inc., | |||||||||||
6,725 | 7.250%, 02/01/14 (c) | 6,860 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Independent Power Producers & Energy Traders — Continued | |||||||||||
8,050 | 7.375%, 02/01/16 | 8,110 | |||||||||
13,325 | 7.375%, 01/15/17 (m) | 13,425 | |||||||||
11,050 | 8.500%, 06/15/19 | 11,354 | |||||||||
2,332 | Ormat Funding Corp., 8.250%, 12/30/20 (m) | 2,180 | |||||||||
RRI Energy, Inc., | |||||||||||
14,004 | 6.750%, 12/15/14 (m) | 14,144 | |||||||||
10,780 | 7.625%, 06/15/14 (m) | 10,591 | |||||||||
2,600 | 7.875%, 06/15/17 (m) | 2,399 | |||||||||
13,903 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 (c) | 8,863 | |||||||||
233,882 | |||||||||||
Multi-Utilities — 0.0% (g) | |||||||||||
650 | Energy Future Holdings Corp., 10.875%, 11/01/17 (c) | 387 | |||||||||
1,690 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/20 | 1,624 | |||||||||
2,011 | |||||||||||
Multi-Utilities & Unregulated Power — 0.2% | |||||||||||
14,950 | Calpine Corp., 7.875%, 07/31/20 (e) | 14,987 | |||||||||
Total Utilities | 265,235 | ||||||||||
Total Corporate Bonds (Cost $5,629,914) | 5,923,410 |
SHARES | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks — 1.8% | |||||||||||
Consumer Discretionary — 0.1% | |||||||||||
Leisure Equipment & Products — 0.1% | |||||||||||
458 | New True Temper Holdings Corp., Inc. (a) (f) (i) | 3,666 | |||||||||
Media — 0.0% (g) | |||||||||||
252 | Dex One Corp. (a) | 2,147 | |||||||||
32 | SuperMedia, Inc. (a) | 287 | |||||||||
2,434 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.0% | |||||||||||
228 | Broder Brothers Co. (a) (f) (i) | — | |||||||||
66 | WestPoint International, Inc. (a) (f) (i) | — | |||||||||
— | |||||||||||
Total Consumer Discretionary | 6,100 | ||||||||||
Consumer Staples — 0.1% | |||||||||||
Food Products — 0.0% (g) | |||||||||||
585 | Eurofresh, Inc., ADR (a) (f) (i) | 760 | |||||||||
Household Products — 0.1% | |||||||||||
153 | Spectrum Brands Holdings, Inc. (a) (c) | 3,895 | |||||||||
Total Consumer Staples | 4,655 | ||||||||||
Industrials — 0.0% (g) | |||||||||||
Commercial Services & Supplies — 0.0% (g) | |||||||||||
22 | Quad/Graphics, Inc. (a) | 947 | |||||||||
Road & Rail — 0.0% (g) | |||||||||||
49 | Quality Distribution, Inc. (a) | 230 | |||||||||
Total Industrials | 1,177 | ||||||||||
Information Technology — 0.1% | |||||||||||
Computers & Peripherals — 0.0% | |||||||||||
575 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | |||||||||
IT Services — 0.0% (g) | |||||||||||
92 | Unisys Corp. (a) (f) (i) | 1,542 | |||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
2,602 | MagnaChip Semiconductor S.A., ADR (a) (f) (i) | 2,458 | |||||||||
1,884 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., ADR, (Luxembourg) (a) (f) (i) | 1,781 | |||||||||
4,239 | |||||||||||
Total Information Technology | 5,781 | ||||||||||
Materials — 1.5% | |||||||||||
Chemicals — 1.1% | |||||||||||
2,024 | LyondellBasell Industries N.V., (Netherlands), Class A (a) | 41,497 | |||||||||
1,855 | LyondellBasell Industries N.V., (Netherlands), Class B (a) | 38,013 | |||||||||
79,510 | |||||||||||
Construction Materials — 0.1% | |||||||||||
399 | U.S. Concrete, Inc. (a) (f) | 3,982 | |||||||||
Containers & Packaging — 0.0% (g) | |||||||||||
174 | Constar International, Inc. (a) | 916 | |||||||||
Paper & Forest Products — 0.3% | |||||||||||
1,425 | Smurfit-Stone Container Corp. (a) | 24,461 | |||||||||
Total Materials | 108,869 | ||||||||||
Telecommunication Services — 0.0% (g) | |||||||||||
Diversified Telecommunication Services — 0.0% (g) | |||||||||||
1 | AboveNet, Inc. (a) | 67 | |||||||||
1 | XO Holdings, Inc. (a) | 1 | |||||||||
Total Telecommunication Services | 68 | ||||||||||
Utilities — 0.0% (g) | |||||||||||
Independent Power Producers & Energy Traders — 0.0% (g) | |||||||||||
7 | Mirant Corp. (a) | 66 | |||||||||
Total Common Stocks (Cost $140,341) | 126,716 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Preferred Stocks — 0.3% | |||||||||||
Consumer Discretionary — 0.0% (g) | |||||||||||
Media — 0.0% (g) | |||||||||||
77 | Spanish Broadcasting System, Inc. (a) (f) (i) | — | (h) | ||||||||
1 | Spanish Broadcasting System, Inc., PIK, 10.750%, 10/15/10 (a) (f) (i) (x) | 617 | |||||||||
Total Consumer Discretionary | 617 | ||||||||||
Consumer Staples — 0.0% (g) | |||||||||||
Food Products — 0.0% (g) | |||||||||||
1 | Eurofresh, Inc., ADR (a) (f) (i) | 817 | |||||||||
Financials — 0.3% | |||||||||||
Commercial Banks — 0.2% | |||||||||||
112 | CoBank ACB, 7.000%, 10/04/10 (e) (f) (i) (x) | 5,103 | |||||||||
161 | CoBank ACB, Series D, 11.000%, 10/01/14 (f) (i) (x) | 8,890 | |||||||||
13,993 | |||||||||||
Consumer Finance — 0.1% | |||||||||||
150 | Ford Motor Credit Co. LLC, 7.375%, 10/15/31 | 3,686 | |||||||||
150 | Ford Motor Credit Co. LLC, 7.600%, 03/01/32 | 3,682 | |||||||||
7,368 | |||||||||||
Total Financials | 21,361 | ||||||||||
Information Technology — 0.0% | |||||||||||
Computers & Peripherals — 0.0% | |||||||||||
131 | Stratus Technologies, Inc., ADR (a) (f) (i) | — | |||||||||
Total Preferred Stocks (Cost $27,611) | 22,795 |
PRINCIPAL AMOUNT($) | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — 12.1% | |||||||||||
Consumer Discretionary — 5.9% | |||||||||||
Auto Components — 0.1% | |||||||||||
Remy, 1st Lien Term Loan, | |||||||||||
5,958 | 5.898%, 12/06/13 | 5,883 | |||||||||
252 | 6.033%, 12/06/13 | 249 | |||||||||
2,979 | 6.038%, 12/06/13 | 2,941 | |||||||||
1,690 | Remy, 2nd Lien Term Loan, 9.037%, 06/06/14 | 1,686 | |||||||||
10,759 | |||||||||||
Automobiles — 0.7% | |||||||||||
Ford Motor Co., Term Loan B, | |||||||||||
22,613 | 3.030%, 12/15/13 | 21,705 | |||||||||
2,670 | 3.030%, 12/15/13 | 2,566 | |||||||||
25,092 | 3.030%, 12/15/13 | 24,118 | |||||||||
48,389 | |||||||||||
Broadcasting & Cable TV — 0.0% (g) | |||||||||||
2,000 | CCO Holdings LLC, 3rd Lien Term Loan, 2.759%, 09/06/14 | 1,834 | |||||||||
Diversified Consumer Services — 0.1% | |||||||||||
Ati Acquisition Co., Term Loan B, | |||||||||||
5,342 | 8.250%, 12/31/14 | 5,155 | |||||||||
24 | 8.250%, 12/31/14 | 23 | |||||||||
5,178 | |||||||||||
Gaming — 1.2% | |||||||||||
CCM Merger, Inc., Term Loan B, | |||||||||||
11,862 | 8.500%, 07/13/12 | 11,690 | |||||||||
1,192 | 8.500%, 07/13/12 | 1,175 | |||||||||
2,464 | Fontainebleau Las Vegas, Delayed Draw Term Loan B, 4.316%, 06/06/14 (d) | 474 | |||||||||
4,929 | Fontainebleau Las Vegas, Initial Term Loan, 4.527%, 06/06/14 (d) | 948 | |||||||||
43,777 | Harrah’s Operating Co., Inc., Term B-2 Loan, 3.498%, 01/28/15 | 37,534 | |||||||||
9,750 | HSP Gaming, LP, Term Loan, 11.250%, 09/23/14 | 9,372 | |||||||||
14,707 | MGM Resorts International, Class D Loan, 6.000%, 10/03/11 | 14,165 | |||||||||
Venetian Macau, Delayed Draw Project Term Loan, | |||||||||||
871 | 5.040%, 05/25/12 | 855 | |||||||||
124 | 5.040%, 05/25/12 | 121 | |||||||||
1,896 | Venetian Macau, Incremental Term Loan, 5.040%, 05/25/13 | 1,865 | |||||||||
6,716 | Venetian Macau, Term B Funded Project Loan, 5.040%, 05/25/13 | 6,607 | |||||||||
84,806 | |||||||||||
Hotels, Restaurants & Leisure — 0.2% | |||||||||||
37 | Outback Steakhouse, Inc., Prefunded RC Commitment, 2.875%, 06/14/13 | 33 | |||||||||
Outback Steakhouse, Prefunded RC Commitment, | |||||||||||
318 | 0.356%, 06/14/13 | 281 | |||||||||
200 | 2.875%, 06/14/13 | 177 | |||||||||
Outback Steakhouse, Term Loan B, | |||||||||||
37 | 2.563%, 06/14/13 | 33 | |||||||||
31 | 2.688%, 06/14/13 | 28 | |||||||||
8,667 | 2.875%, 06/14/14 | 7,663 | |||||||||
4,500 | Wendy’s/Arby’s Group, Inc., 5.000%, 05/24/17 | 4,508 | |||||||||
12,723 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Media — 2.5% | |||||||||||
6,257 | Cengage Learning Acquisitions, Term Loan, 3.030%, 07/03/14 | 5,534 | |||||||||
32,093 | Clear Channel Communications, Inc., Term Loan B, 3.910%, 01/29/16 | 25,542 | |||||||||
Dex Media West, New Term Loan, | |||||||||||
1,728 | 7.000%, 10/24/14 | 1,500 | |||||||||
278 | 7.500%, 10/24/14 | 241 | |||||||||
1,655 | 7.500%, 10/24/14 | 1,436 | |||||||||
Entercom Radio LLC, Term Loan A, | |||||||||||
15,875 | 2.260%, 06/30/12 | 15,062 | |||||||||
499 | 4.250%, 06/30/12 | 473 | |||||||||
4,671 | High Plains Broadcasting Operating Co. LLC, Term Loan, 9.000%, 09/14/16 | 4,579 | |||||||||
39,404 | Idearc, Inc., Exit Term Loan, 11.000%, 12/31/15 | 31,407 | |||||||||
Media General, Inc., Term Loan, | |||||||||||
2,062 | 4.526%, 03/29/13 | 1,859 | |||||||||
5,828 | 4.549%, 03/29/13 | 5,255 | |||||||||
17,824 | Newport Television LLC, Term Loan, 9.000%, 09/14/16 | 17,472 | |||||||||
9,440 | Newsday, Fixed Rate Term Loan, 10.500%, 08/01/13 | 10,018 | |||||||||
R.H. Donnelley, Inc., Exit Term Loan, | |||||||||||
1,920 | 9.000%, 10/24/14 | 1,649 | |||||||||
14,326 | 9.000%, 10/24/14 | 12,304 | |||||||||
15,141 | 9.000%, 10/24/14 | 13,004 | |||||||||
Univision Communications, Inc., 1st Lien Term Loan, | |||||||||||
1,594 | 2.510%, 09/29/14 | 1,367 | |||||||||
39,693 | 2.510%, 09/29/14 | 34,041 | |||||||||
182,743 | |||||||||||
Multiline Retail — 0.0% (g) | |||||||||||
Neiman Marcus Group, Inc., Term Loan, | |||||||||||
482 | 2.295%, 04/26/13 | 458 | |||||||||
938 | 2.295%, 04/26/13 | 891 | |||||||||
1,349 | |||||||||||
Specialty Retail — 0.5% | |||||||||||
Burlington Coat Factory, Term Loan B, | |||||||||||
5,199 | 2.540%, 05/28/13 | 4,930 | |||||||||
4,525 | 2.660%, 05/28/13 | 4,291 | |||||||||
General Nutrition Centers, Inc., Term Loan B, | |||||||||||
2,305 | 2.520%, 09/16/13 | 2,187 | |||||||||
589 | 2.520%, 09/16/13 | 559 | |||||||||
4,738 | 2.790%, 09/16/13 | 4,495 | |||||||||
Gentek, Tranche B Term Loan, | |||||||||||
226 | 7.000%, 10/29/14 | 226 | |||||||||
— | (h) | 7.000%, 10/29/14 | — | (h) | |||||||
Michael Foods Group, Inc., Term Loan B, | |||||||||||
3,392 | 6.250%, 06/29/16 | 3,405 | |||||||||
9 | 6.250%, 06/29/16 | 8 | |||||||||
Michael’s Stores, Term B-1 Loan, | |||||||||||
1,352 | 2.625%, 10/31/13 | 1,278 | |||||||||
472 | 2.625%, 10/31/13 | 447 | |||||||||
2,301 | Zero Coupon, 10/31/13 | 2,174 | |||||||||
47 | 2.750%, 10/31/13 | 44 | |||||||||
1,542 | 2.813%, 10/31/13 | 1,458 | |||||||||
Michael’s Stores, Term B-2 Loan, | |||||||||||
2,049 | 4.875%, 07/31/16 | 1,980 | |||||||||
407 | 4.875%, 07/31/16 | 393 | |||||||||
3,096 | 4.938%, 07/31/16 | 2,992 | |||||||||
63 | 5.000%, 07/31/16 | 61 | |||||||||
2,076 | 5.063%, 07/31/16 | 2,005 | |||||||||
32,933 | |||||||||||
Textiles, Apparel & Luxury Goods — 0.6% | |||||||||||
Claire’s Stores, Term Loan B, | |||||||||||
140 | 3.010%, 05/29/14 | 120 | |||||||||
46,574 | 3.049%, 05/29/14 | 39,896 | |||||||||
7,698 | 3.225%, 05/29/14 | 6,594 | |||||||||
46,610 | |||||||||||
Total Consumer Discretionary | 427,324 | ||||||||||
Consumer Staples — 0.2% | |||||||||||
Food & Staples Retailing — 0.0% (g) | |||||||||||
2,214 | Rite Aid Corp., Term Loan 3, 6.000%, 06/04/14 | 2,137 | |||||||||
Rite Aid Corp., Tranche 2 Term Loan, | |||||||||||
317 | 2.020%, 06/04/14 | 283 | |||||||||
337 | 2.020%, 06/04/14 | 301 | |||||||||
335 | 2.050%, 06/04/14 | 299 | |||||||||
3,020 | |||||||||||
Food Products — 0.2% | |||||||||||
4,439 | Bolthouse Farms, 1st Lien Term Loan, 5.500%, 02/11/16 | 4,421 | |||||||||
Dole Food Co., Term Loan B, | |||||||||||
2,071 | 5.000%, 03/02/17 | 2,072 | |||||||||
183 | 5.500%, 03/02/17 | 183 | |||||||||
Dole Food Co., Term Loan C, | |||||||||||
5,365 | 5.000%, 03/02/17 | 5,368 | |||||||||
232 | 5.500%, 03/02/17 | 232 | |||||||||
12,276 | |||||||||||
Total Consumer Staples | 15,296 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Energy — 0.1% | |||||||||||
Oil, Gas & Consumable Fuels — 0.1% | |||||||||||
5,500 | Big West Oil, Term Loan B, 12.000%, 01/22/15 | 5,576 | |||||||||
Financials — 1.8% | |||||||||||
Consumer Finance — 0.2% | |||||||||||
14,200 | American General Finance Corp., Term Loan B, 7.250%, 04/21/15 | 13,995 | |||||||||
Diversified Financial Services — 1.0% | |||||||||||
32,759 | Capmark Financial Group, Term Roll-Up Certified Tranche, 4.750%, 03/23/11 | 26,971 | |||||||||
63,370 | Capmark Financial Group, U.S. Term Loan, 3.250%, 03/23/13 | 22,640 | |||||||||
7,575 | Capmark Financial Group, Unsecured Bridge Loan, 5.250%, 03/23/13 | 2,626 | |||||||||
Checksmart Financial Co., Term Loan B, | |||||||||||
1,370 | 2.800%, 05/01/12 (f) (i) | 758 | |||||||||
2,833 | 2.990%, 05/01/12 (f) (i) | 1,568 | |||||||||
CIT Group, Inc., Tranche 3 Term Loan, | |||||||||||
835 | 6.250%, 07/27/15 | 832 | |||||||||
417 | 6.250%, 07/27/15 | 416 | |||||||||
1,520 | 6.250%, 07/27/15 | 1,516 | |||||||||
1,049 | 6.250%, 07/27/15 | 1,046 | |||||||||
4,435 | 6.250%, 07/27/15 | 4,422 | |||||||||
1,362 | 6.250%, 07/27/15 | 1,358 | |||||||||
3,206 | 6.250%, 07/27/15 | 3,197 | |||||||||
2,850 | International Lease Corp., 6.750%, 03/17/15 | 2,872 | |||||||||
70,222 | |||||||||||
Insurance — 0.0% (g) | |||||||||||
956 | HMSC Corp., 1st Lien Term Loan, 2.510%, 04/03/14 (f) (i) | 758 | |||||||||
993 | USI Holdings Corp., Term Loan, 7.000%, 05/04/14 | 956 | |||||||||
1,714 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.5% | |||||||||||
30,356 | General Growth Properties, Inc., Revolver, Term Loan, 5.250%, 2/24/10 (a) (d) | 31,865 | |||||||||
Thrift & Mortgage Finance — 0.1% | |||||||||||
10,195 | Ocwen Financial Corp., 9.000%, 07/29/15 | 10,195 | |||||||||
Total Financials | 127,991 | ||||||||||
Health Care — 0.0% (g) | |||||||||||
Health Care Equipment & Supplies — 0.0% (g) | |||||||||||
939 | Carestream Health, Inc., 1st Lien Term Loan, 2.260%, 04/30/13 | 893 | |||||||||
Health Care Providers & Services — 0.0% (g) | |||||||||||
1,646 | Vanguard Health Systems, Term Loan B, 5.000%, 01/15/16 | 1,624 | |||||||||
Total Health Care | 2,517 | ||||||||||
Industrials — 0.6% | |||||||||||
Airlines — 0.1% | |||||||||||
993 | Delta Air Lines, Inc., Senior Secured Term Loan, 8.750%, 09/30/13 | 1,000 | |||||||||
Delta Airlines, Inc., 1st Lien Credit Linked Deposit, | |||||||||||
667 | 2.244%, 04/30/12 | 637 | |||||||||
78 | 2.260%, 04/30/12 | 74 | |||||||||
4,299 | 2.279%, 04/30/12 | 4,107 | |||||||||
5,818 | |||||||||||
Building Products — 0.1% | |||||||||||
Jacuzzi Brands, Inc., 1st Lien Term Loan B, | |||||||||||
13 | 2.639%, 02/07/14 | 10 | |||||||||
6,180 | 2.725%, 02/07/14 | 5,017 | |||||||||
561 | Jacuzzi Brands, Inc., 1st Lien, Synthetic Credit Facility, 0.433%, 02/07/14 | 456 | |||||||||
5,483 | |||||||||||
Commercial Services & Supplies — 0.3% | |||||||||||
Clarke American Corp., Term Loan B, | |||||||||||
10,783 | 2.760%, 06/30/14 | 9,289 | |||||||||
9,846 | 2.760%, 06/30/14 | 8,482 | |||||||||
5,348 | 2.760%, 06/30/14 | 4,607 | |||||||||
4,341 | 3.033%, 06/30/14 | 3,740 | |||||||||
26,118 | |||||||||||
Construction & Engineering — 0.0% (g) | |||||||||||
1,704 | Rental Service Corp., 2nd Lien Term Loan, 4.040%, 11/30/13 | 1,630 | |||||||||
Electrical Equipment — 0.1% | |||||||||||
Generac Power Systems, Term Loan B, | |||||||||||
5,913 | 2.812%, 11/10/13 | 5,446 | |||||||||
2,044 | 3.033%, 11/10/13 | 1,882 | |||||||||
7,328 | |||||||||||
Total Industrials | 46,377 | ||||||||||
Information Technology — 0.8% | |||||||||||
Communications Equipment — 0.2% | |||||||||||
15,874 | Avaya, Inc., Term Loan B, 3.058%, 10/26/14 | 13,849 | |||||||||
Computers & Peripherals — 0.0% (g) | |||||||||||
3,197 | Stratus Technologies, Inc., 2nd Lien Term Loan, 5.310%, 06/30/15 (f) (i) | 1,887 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Electronic Equipment, Instruments & Components — 0.0% (g) | |||||||||||
1,335 | Isola Group S.A.R.L., 1st Lien Term Loan, 11.000%, 12/18/12 (d) (f) (i) | 1,328 | |||||||||
750 | Isola Group S.A.R.L., 2nd Lien Term Loan, 17.750%, 12/18/13 (d) (f) (i) | 694 | |||||||||
2,022 | |||||||||||
Internet Software & Services— 0.1% | |||||||||||
Savvis, Inc., Term Loan B, | |||||||||||
5,945 | 6.750%, 08/04/16 | 5,870 | |||||||||
55 | 7.250%, 08/04/16 | 54 | |||||||||
5,924 | |||||||||||
IT Services — 0.4% | |||||||||||
1,344 | CompuCom Systems, Term Loan, 3.770%, 08/23/14 (f) (i) | 1,281 | |||||||||
First Data Corp., Initial Tranche B-1 Term Loan, | |||||||||||
191 | 3.010%, 09/24/14 | 163 | |||||||||
3,930 | 3.014%, 09/24/14 | 3,352 | |||||||||
119 | 3.014%, 09/24/14 | 102 | |||||||||
First Data Corp., Initial Tranche B-3, | |||||||||||
1,104 | 3.010%, 09/24/14 | 941 | |||||||||
23,385 | 3.014%, 09/24/14 | 19,947 | |||||||||
2,000 | Interactive Data Corp., 6.750%, 01/29/17 | 2,011 | |||||||||
Transaction Network Services, Initial Term Loan, | |||||||||||
4,129 | 6.000%, 12/01/15 | 4,114 | |||||||||
68 | 6.000%, 12/01/15 | 67 | |||||||||
31,978 | |||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||||||||
5,248 | Freescale Semiconductor, Inc., Extended Term Loan, 4.562%, 11/29/13 | 4,697 | |||||||||
Total Information Technology | 60,357 | ||||||||||
Materials — 1.0% | |||||||||||
Chemicals — 0.4% | |||||||||||
7,185 | Cristal Inorganic Chemicals (Millennium), 1st Lien Term Loan, 2.783%, 05/15/14 | 6,763 | |||||||||
4,500 | Cristal Inorganic Chemicals (Millennium), 2nd Lien Term Loan, 6.283%, 11/14/14 (f) (i) | 4,110 | |||||||||
5,848 | Momentive Performance Materials, Inc., Tranche B-1 Term Loan, 2.563%, 12/04/13 | 5,492 | |||||||||
Styron LLC, Term Loan, | |||||||||||
8,327 | 7.500%, 07/10/16 | 8,393 | |||||||||
83 | 7.500%, 07/10/16 | 83 | |||||||||
Texas PetroChemicals LP, Incremental Term Loan, | |||||||||||
244 | 2.875%, 06/27/13 | 228 | |||||||||
242 | 3.125%, 06/27/13 | 226 | |||||||||
Texas PetroChemicals LP, Term Loan B, | |||||||||||
718 | 2.875%, 06/27/13 | 671 | |||||||||
721 | 3.125%, 06/27/13 | 675 | |||||||||
26,641 | |||||||||||
Containers & Packaging — 0.1% | |||||||||||
Berry Plastics Holding, Term Loan C, | |||||||||||
4 | 2.318%, 04/03/15 | 3 | |||||||||
1,477 | 2.376%, 04/03/15 | 1,348 | |||||||||
Reynolds Group Holdings, Term Loan, | |||||||||||
924 | 6.250%, 05/06/16 | 920 | |||||||||
4,492 | 6.250%, 05/06/16 | 4,468 | |||||||||
6,739 | |||||||||||
Diversified Manufacturing — 0.1% | |||||||||||
10,915 | BOC Edwards, 1st Priority Lien, 2.260%, 05/31/14 | 9,833 | |||||||||
Paper & Forest Products — 0.4% | |||||||||||
27,943 | Abitibi, Inc., Term Loan, 11.000%, 03/31/12 | 27,093 | |||||||||
1,500 | Smurfit-Stone Container Corp., 02/22/16 | 1,503 | |||||||||
28,596 | |||||||||||
Total Materials | 71,809 | ||||||||||
Telecommunication Services — 0.5% | |||||||||||
Diversified Telecommunication Services — 0.5% | |||||||||||
Cincinnati Bell, Inc., Term Loan B, | |||||||||||
1,792 | 6.500%, 06/11/17 | 1,784 | |||||||||
5,430 | 6.500%, 06/11/17 | 5,405 | |||||||||
Level 3 Communications, Tranche A Term Loan, | |||||||||||
6,086 | 2.529%, 03/13/14 | 5,446 | |||||||||
15,214 | 2.777%, 03/13/14 | 13,617 | |||||||||
1,000 | Level 3 Communications, Tranche B Term Loan, 11.500%, 03/13/14 | 1,079 | |||||||||
2,494 | Telecordia, Term Loan, 6.750%, 04/30/16 | 2,503 | |||||||||
3,261 | Time Warner Telecom, Term Loan B, 2.020%, 01/07/13 | 3,142 | |||||||||
32,976 | |||||||||||
Wireless Telecommunication Services — 0.0% (g) | |||||||||||
— | (h) | MetroPCS Wireless, Inc., Term Loan B, 2.500%, 11/03/13 | — | (h) | |||||||
Total Telecommunication Services | 32,976 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Loan Participations & Assignments — Continued | |||||||||||
Utilities — 1.2% | |||||||||||
Independent Power Producers & Energy Traders — 1.2% | |||||||||||
21,249 | Calpine Corp., 1st Priority Lien, 3.415%, 03/29/14 | 20,295 | |||||||||
12,000 | New Development (Calpine), Term Loan, 7.000%, 07/03/17 | 12,120 | |||||||||
3,520 | NRG Energy, Inc. (Opco), Credit-Linked Deposit Letter of Credit, 2.000%, 02/01/13 | 3,425 | |||||||||
5,310 | NRG Energy, Inc. (Opco), Term Loan B, 2.033%, 02/01/13 | 5,162 | |||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-1 Term Loan, | |||||||||||
972 | 3.795%, 10/10/14 | 737 | |||||||||
5 | 4.033%, 10/10/14 | 4 | |||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, | |||||||||||
729 | 3.793%, 10/10/14 | 553 | |||||||||
164 | 3.795%, 10/10/14 | 124 | |||||||||
10 | 4.033%, 10/10/14 | 8 | |||||||||
1,044 | 4.066%, 10/10/14 | 791 | |||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, | |||||||||||
49,557 | 3.795%, 10/10/14 | 37,444 | |||||||||
235 | 4.033%, 10/10/14 | 178 | |||||||||
5,500 | TPF Generation Holdings LLC, 2nd Lien Term Loan, 4.783%, 12/15/14 | 4,960 | |||||||||
Total Utilities | 85,801 | ||||||||||
Total Loan Participations & Assignments (Cost $854,211) | 876,024 |
NUMBER OF RIGHTS | | | | | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Rights — 0.0% | |||||||||||
Consumer Discretionary — 0.0% | |||||||||||
Textiles, Apparel & Luxury Goods — 0.0% | |||||||||||
59 | WestPoint International, Inc., expiring 06/08/18 (a) (f) (i) | — | |||||||||
Materials — 0.0% | |||||||||||
Paper & Forest Products — 0.0% | |||||||||||
1,912 | Abitibi-Consolidated Co. of Canada, (Canada), expiring 09/10/10 (a) (f) (i) | — | |||||||||
253 | Abitibi-Consolidated, Inc., (Canada), expiring 09/10/10 (a) (f) (i) | — | |||||||||
Total Materials | — | ||||||||||
Total Rights (Cost $—) | — |
NUMBER OF WARRANTS | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Warrant — 0.0% (g) | |||||||||||
Telecommunication Services — 0.0% (g) | |||||||||||
Diversified Telecommunication Services — 0.0% (g) | |||||||||||
— | (h) | AboveNet, Inc., Class W, expiring 09/08/10 (Strike Price $24.00) (a) (f) (i) (Cost $—) | 9 |
SHARES | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 2.8% | |||||||||||
Investment Company — 2.8% | |||||||||||
199,194 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% (b) (l) (Cost $199,194) | 199,194 |
PRINCIPAL AMOUNT($) | | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Investments of Cash Collateral for Securities on Loan — 3.1% | |||||||||||
Asset-Backed Securities — 0.0% (g) | |||||||||||
407 | GSAA Trust, Series 2005-15, Class 2A1, VAR, 0.354%, 01/25/36 | 395 | |||||||||
570 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.334%, 03/25/36 | 422 | |||||||||
817 |
SHARES | | | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 3.1% | ||||||||||
227,109 | JPMorgan Prime Money Market Fund, Capital Shares, 0.200%, 09/01/10 (b) (l) | 227,109 | ||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $228,086) | 227,926 | |||||||||
Total Investments — 102.3% (Cost $7,088,924) | 7,384,841 | |||||||||
Liabilities in Excess of Other Assets — (2.3)% | (166,280 | ) | ||||||||
NET ASSETS — 100.0% | $ | 7,218,561 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 12.2% | |||||||||||
3,249 | Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 4.460%, 01/25/34 | 2,379 | |||||||||
2,080 | Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.539%, 08/25/33 | 1,739 | |||||||||
Amortizing Residential Collateral Trust, | |||||||||||
91 | Series 2002-BC4, Class A, VAR, 0.844%, 07/25/32 | 70 | |||||||||
1,757 | Series 2002-BC6, Class M1, VAR, 1.389%, 08/25/32 | 998 | |||||||||
4,654 | Series 2002-BC9, Class M1, VAR, 1.914%, 12/25/32 | 3,297 | |||||||||
Amresco Residential Securities Mortgage Loan Trust, | |||||||||||
330 | Series 1997-2, Class M1A, VAR, 0.819%, 06/25/27 | 309 | |||||||||
1,413 | Series 1998-1, Class M1A, VAR, 0.909%, 01/25/28 | 1,188 | |||||||||
1,729 | Series 1998-3, Class M1A, VAR, 0.894%, 09/25/28 | 1,266 | |||||||||
1,904 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 2.026%, 12/15/33 | 1,611 | |||||||||
Bear Stearns Asset Backed Securities Trust, | |||||||||||
3,110 | Series 2003-SD1, Class A, VAR, 0.714%, 12/25/33 | 2,730 | |||||||||
9,348 | Series 2005-CL1, Class M1, VAR, 0.894%, 09/25/34 (f) | 467 | |||||||||
2,860 | Series 2005-HE1, Class M2, VAR, 1.094%, 01/25/35 (f) | 1,484 | |||||||||
1,275 | BNC Mortgage Loan Trust, Series 2007-2, Class A2, VAR, 0.364%, 05/25/37 | 1,134 | |||||||||
454 | Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.114%, 01/25/32 | 242 | |||||||||
1,500 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 1,525 | |||||||||
Countrywide Asset-Backed Certificates, | |||||||||||
219 | Series 2002-1, Class A, VAR, 0.824%, 08/25/32 | 130 | |||||||||
203 | Series 2002-BC1, Class A, VAR, 0.924%, 04/25/32 | 113 | |||||||||
257 | Series 2002-BC2, Class A, VAR, 0.804%, 04/25/32 | 121 | |||||||||
61 | Series 2003-BC2, Class 2A1, VAR, 0.864%, 06/25/33 | 48 | |||||||||
2,131 | Series 2003-BC5, Class M1, VAR, 1.314%, 09/25/33 | 863 | |||||||||
606 | Series 2004-2, Class M4, VAR, 1.264%, 03/25/34 | 351 | |||||||||
727 | Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35 | 591 | |||||||||
Countrywide Home Equity Loan Trust, | |||||||||||
1,886 | Series 2004-A, Class A, VAR, 0.496%, 04/15/30 | 1,209 | |||||||||
1,166 | Series 2005-E, Class 2A, VAR, 0.496%, 11/15/35 | 617 | |||||||||
5,144 | Series 2005-M, Class A1, VAR, 0.516%, 02/15/36 | 2,191 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, | |||||||||||
244 | Series 2002-FF1, Class M1, VAR, 1.314%, 04/25/32 | 111 | |||||||||
1,661 | Series 2002-FF4, Class M1, VAR, 1.839%, 02/25/33 | 528 | |||||||||
702 | Series 2003-FFH1, Class M2, VAR, 2.889%, 09/25/33 | 54 | |||||||||
703 | Series 2004-FF8, Class M4, VAR, 1.334%, 10/25/34 | 90 | |||||||||
855 | Ford Credit Auto Owner Trust, Series 2006-C, Class A4A, 5.150%, 02/15/12 | 868 | |||||||||
3,580 | Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.754%, 07/25/35 | 2,272 | |||||||||
715 | Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.456%, 09/15/30 | 268 | |||||||||
1,500 | Harley-Davidson Motorcycle Trust, Series 2009-2, Class A4, 3.320%, 02/15/17 | 1,558 | |||||||||
1,278 | Household Automotive Trust, Series 2006-1, Class A4, 5.520%, 03/18/13 | 1,280 | |||||||||
467 | Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.904%, 12/25/24 | 228 | |||||||||
123 | Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28 | 123 | |||||||||
1,440 | Long Beach Mortgage Loan Trust, Series 2004-1, Class M3, VAR, 1.314%, 02/25/34 | 1,250 | |||||||||
Morgan Stanley ABS Capital I, | |||||||||||
2,671 | Series 2003-NC6, Class M1, VAR, 1.464%, 06/25/33 | 2,324 | |||||||||
7,500 | Series 2005-WMC4, Class M5, VAR, 0.914%, 04/25/35 (f) | 3,000 | |||||||||
347 | New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.664%, 11/25/33 | 210 | |||||||||
1,523 | Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.164%, 07/25/32 | 1,288 | |||||||||
501 | Residential Asset Mortgage Products, Inc., Series 2003-RS2, Class AII, VAR, 0.944%, 03/25/33 | 309 | |||||||||
Residential Asset Securities Corp., | |||||||||||
650 | Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33 | 161 | |||||||||
521 | Series 2005-EMX4, Class A2, VAR, 0.524%, 11/25/35 | 510 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — Continued | |||||||||||
Residential Funding Mortgage Securities II, Inc., | |||||||||||
878 | Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26 | 805 | |||||||||
866 | Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26 | 708 | |||||||||
224 | Series 2003-HS1, Class AII, VAR, 0.554%, 12/25/32 | 170 | |||||||||
168 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.964%, 04/25/33 | 142 | |||||||||
194 | Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.554%, 01/25/33 | 153 | |||||||||
Total Asset-Backed Securities (Cost $77,055) | 45,083 | ||||||||||
Collateralized Mortgage Obligations — 47.6% | |||||||||||
Agency CMO — 22.8% | |||||||||||
1,189 | Federal Home Loan Mortgage Corp. — Government National Mortgage Association, Series 1, Class S, IF, IO, 8.649%, 10/25/22 | 213 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
32 | Series 1071, Class F, VAR, 1.263%, 04/15/21 | 32 | |||||||||
45 | Series 1343, Class LA, 8.000%, 08/15/22 | 53 | |||||||||
36 | Series 1370, Class JA, VAR, 1.462%, 09/15/22 | 36 | |||||||||
31 | Series 1379, Class W, VAR, 2.240%, 10/15/22 | 31 | |||||||||
9 | Series 1508, Class KA, VAR, 2.397%, 05/15/23 | 9 | |||||||||
33 | Series 1607, Class SA, IF, 18.296%, 10/15/13 | 38 | |||||||||
564 | Series 1689, Class M, PO, 03/15/24 | 504 | |||||||||
233 | Series 1771, Class PK, 8.000%, 02/15/25 | 276 | |||||||||
440 | Series 1974, Class ZA, 7.000%, 07/15/27 | 509 | |||||||||
77 | Series 1981, Class Z, 6.000%, 05/15/27 | 84 | |||||||||
3 | Series 2006, Class I, IO, 8.000%, 10/15/12 | — | (h) | ||||||||
312 | Series 2033, Class PR, PO, 03/15/24 | 280 | |||||||||
47 | Series 2261, Class ZY, 7.500%, 10/15/30 | 55 | |||||||||
20 | Series 2289, Class NA, VAR, 11.816%, 05/15/20 | 22 | |||||||||
164 | Series 2338, Class FN, VAR, 0.776%, 08/15/28 | 165 | |||||||||
333 | Series 2416, Class SA, IF, 15.061%, 02/15/32 | 421 | |||||||||
214 | Series 2416, Class SH, IF, 15.456%, 02/17/32 | 290 | |||||||||
79 | Series 2477, Class FZ, VAR, 0.826%, 06/15/31 | 80 | |||||||||
485 | Series 2628, Class IP, IO, 4.500%, 10/15/16 | 1 | |||||||||
4,937 | Series 2649, Class FK, VAR, 0.826%, 07/15/33 | 4,925 | |||||||||
1,614 | Series 2661, Class FG, VAR, 0.726%, 03/15/17 | 1,619 | |||||||||
1,945 | Series 3085, Class VS, HB, IF, 27.616%, 12/15/35 | 3,095 | |||||||||
4,196 | Series 3300, Class FA, VAR, 0.576%, 08/15/35 | 4,186 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
114 | Series T-51, Class 1APO, PO, 09/25/42 | 95 | |||||||||
1,631 | Series T-54, Class 4A, VAR, 4.303%, 02/25/43 | 1,726 | |||||||||
Federal National Mortgage Association Grantor Trust, | |||||||||||
947 | Series 2001-T8, Class A1, 7.500%, 07/25/41 | 1,114 | |||||||||
2,213 | Series 2002-T6, Class A4, VAR, 4.253%, 03/25/41 | 2,307 | |||||||||
Federal National Mortgage Association Interest STRIPS, | |||||||||||
3,117 | Series 343, Class 23, IO, 4.000%, 10/01/18 | 310 | |||||||||
4,502 | Series 343, Class 27, IO, 4.500%, 01/01/19 | 426 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
44 | Series 1988-15, Class B, VAR, 0.831%, 06/25/18 | 44 | |||||||||
6 | Series 1989-77, Class J, 8.750%, 11/25/19 | 7 | |||||||||
2 | Series 1989-89, Class H, 9.000%, 11/25/19 | 2 | |||||||||
129 | Series 1990-64, Class Z, 10.000%, 06/25/20 | 157 | |||||||||
304 | Series 1990-145, Class A, VAR, 1.492%, 12/25/20 (m) | 307 | |||||||||
159 | Series 1991-142, Class PL, 8.000%, 10/25/21 | 189 | |||||||||
183 | Series 1991-156, Class F, VAR, 1.581%, 11/25/21 | 188 | |||||||||
1 | Series 1992-91, Class SQ, HB, IF, 9,228.750%, 05/25/22 | 150 | |||||||||
399 | Series 1992-112, Class GB, 7.000%, 07/25/22 | 453 | |||||||||
9 | Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22 | 2 | |||||||||
158 | Series 1992-200, Class FK, VAR, 3.097%, 11/25/22 | 164 | |||||||||
169 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 187 | |||||||||
333 | Series 1993-110, Class H, 6.500%, 05/25/23 | 375 | |||||||||
40 | Series 1993-119, Class H, 6.500%, 07/25/23 | 45 | |||||||||
328 | Series 1993-146, Class E, PO, 05/25/23 | 292 | |||||||||
150 | Series 1993-165, Class FH, VAR, 1.431%, 09/25/23 | 153 | |||||||||
734 | Series 1993-179, Class FM, VAR, 3.047%, 10/25/23 | 757 | |||||||||
87 | Series 1997-74, Class E, 7.500%, 10/20/27 | 102 | |||||||||
1,656 | Series 2001-9, Class F, VAR, 0.522%, 02/17/31 | 1,653 | |||||||||
521 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 90 | |||||||||
2,414 | Series 2002-77, Class FY, VAR, 0.664%, 12/25/17 | 2,421 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,873 | Series 2003-17, Class FN, VAR, 0.564%, 03/25/18 | 3,874 | |||||||||
179 | Series 2003-21, Class FK, VAR, 0.664%, 03/25/33 | 179 | |||||||||
4,254 | Series 2003-34, Class BS, IF, IO, 7.386%, 05/25/22 | 252 | |||||||||
783 | Series 2003-60, Class SA, IF, IO, 7.386%, 07/25/21 | 30 | |||||||||
1,485 | Series 2003-60, Class SB, IF, IO, 7.386%, 07/25/21 | 57 | |||||||||
2,699 | Series 2004-17, Class BF, VAR, 0.614%, 01/25/34 | 2,697 | |||||||||
3,029 | Series 2007-2, Class FA, VAR, 0.464%, 02/25/37 | 3,011 | |||||||||
23,790 | Series 2010-42, Class PD, 4.500%, 07/25/39 | 24,850 | |||||||||
113 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 134 | |||||||||
1,757 | Series G94-9, Class PJ, 6.500%, 08/17/24 | 1,897 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
505 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 593 | |||||||||
2,587 | Series 2003-W4, Class 5A, VAR, 4.346%, 10/25/42 | 2,733 | |||||||||
2,943 | Series 2003-W15, Class 3A, VAR, 4.607%, 12/25/42 (m) | 3,079 | |||||||||
624 | Series 2004-W2, Class 1A3F, VAR, 0.614%, 02/25/44 | 619 | |||||||||
1,420 | Series 2004-W2, Class 4A, VAR, 4.359%, 02/25/44 | 1,502 | |||||||||
3,110 | Series 2009-W1, Class A, 6.000%, 12/25/49 | 3,394 | |||||||||
Government National Mortgage Association, | |||||||||||
1,109 | Series 1999-27, Class ZA, 7.500%, 04/17/29 | 1,222 | |||||||||
30 | Series 2000-35, Class F, VAR, 0.826%, 12/16/25 | 30 | |||||||||
731 | Series 2002-31, Class FC, VAR, 0.512%, 09/26/21 | 729 | |||||||||
2,648 | Series 2003-21, Class PI, IO, 5.500%, 06/20/32 | 187 | |||||||||
41,638 | Series 2003-59, Class XA, IO, VAR, 2.148%, 06/16/34 | 2,418 | |||||||||
84,127 | |||||||||||
Non-Agency CMO — 24.8% | |||||||||||
Banc of America Funding Corp., | |||||||||||
2,987 | Series 2005-E, Class 5A1, VAR, 4.971%, 05/20/35 | 2,741 | |||||||||
2,640 | Series 2006-1, Class 2A1, 5.500%, 01/25/36 | 2,521 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
70 | Series 2003-5, Class 2A8, VAR, 0.714%, 07/25/18 | 50 | |||||||||
2,472 | Series 2005-10, Class 1A13, 5.500%, 11/25/35 | 2,377 | |||||||||
2,304 | Series 2005-A, Class 3A1, VAR, 5.021%, 02/25/35 | 2,043 | |||||||||
1,036 | Bear Stearns Asset Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.934%, 11/25/34 | 508 | |||||||||
968 | Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.664%, 08/25/18 | 863 | |||||||||
135 | Citicorp Mortgage Securities, Inc., Series 1988-17, Class A1, VAR, 2.487%, 11/25/18 | 134 | |||||||||
37 | Collateralized Mortgage Obligation Trust, Series 50, Class B, PO, 10/01/18 | 36 | |||||||||
2,223 | Countrywide Alternative Loan Trust, Series 2004-33, Class 3A3, VAR, 3.155%, 12/25/34 | 1,355 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
1,219 | Series 2003-21, Class A1, VAR, 2.934%, 05/25/33 | 1,054 | |||||||||
1,422 | Series 2003-49, Class A4, VAR, 4.280%, 12/19/33 | 1,420 | |||||||||
561 | Series 2004-HYB8, Class 1A1, VAR, 0.616%, 01/20/35 | 367 | |||||||||
813 | Series 2005-1, Class 1A2, VAR, 0.614%, 03/25/35 | 159 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
14 | Series 2002-AR2, Class 1B2, VAR, 3.956%, 02/25/32 | 2 | |||||||||
1,277 | Series 2004-AR3, Class 6M1, VAR, 1.364%, 04/25/34 | 1,092 | |||||||||
2,641 | Series 2003-AR24, Class 2A4, VAR, 2.818%, 10/25/33 | 2,431 | |||||||||
First Horizon Alternative Mortgage Securities, | |||||||||||
767 | Series 2005-AA7, Class 1A2, VAR, 2.494%, 09/25/35 | 60 | |||||||||
1,789 | Series 2005-FA10, Class 2A1, 5.250%, 12/25/20 | 1,680 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
2,291 | Series 2004-AR6, Class 2A1, VAR, 2.997%, 12/25/34 | 2,128 | |||||||||
817 | Series 2004-AR7, Class 2A1, VAR, 2.870%, 02/25/35 | 801 | |||||||||
1,591 | Series 2005-6, Class 1A1, 5.500%, 11/25/35 | 1,522 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
First Republic Mortgage Loan Trust, | |||||||||||
158 | Series 2000-FRB1, Class B1, VAR, 0.764%, 06/25/30 | 107 | |||||||||
787 | Series 2000-FRB2, Class A1, VAR, 0.776%, 11/15/30 | 741 | |||||||||
5,055 | GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34 | 5,233 | |||||||||
4,687 | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34 | 4,810 | |||||||||
Impac CMB Trust, | |||||||||||
1,736 | Series 2004-3, Class 3A, VAR, 0.584%, 03/25/34 | 1,556 | |||||||||
650 | Series 2004-6, Class 1A2, VAR, 1.044%, 10/25/34 | 549 | |||||||||
2,617 | Series 2005-5, Class A1, VAR, 0.584%, 08/25/35 | 1,857 | |||||||||
2,500 | Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 5.506%, 03/25/37 | 1,908 | |||||||||
575 | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1, VAR, 3.548%, 10/25/33 | 563 | |||||||||
MASTR Adjustable Rate Mortgages Trust, | |||||||||||
3,110 | Series 2003-5, Class 5A1, VAR, 3.956%, 10/25/33 | 3,094 | |||||||||
219 | Series 2004-7, Class 6A1, VAR, 0.704%, 08/25/34 | 213 | |||||||||
1,724 | Series 2004-13, Class 2A1, VAR, 2.961%, 04/21/34 | 1,703 | |||||||||
3,220 | Series 2004-13, Class 3A7B, VAR, 2.380%, 11/21/34 | 2,839 | |||||||||
523 | MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.664%, 02/25/33 | 506 | |||||||||
Mellon Residential Funding Corp., | |||||||||||
1,368 | Series 2001-TBC1, Class B1, VAR, 1.156%, 11/15/31 | 965 | |||||||||
292 | Series 2002-TBC1, Class B1, VAR, 1.276%, 09/15/30 | 229 | |||||||||
146 | Series 2002-TBC1, Class B2, VAR, 1.676%, 09/15/30 | 109 | |||||||||
879 | Series 2002-TBC2, Class B1, VAR, 1.126%, 08/15/32 | 650 | |||||||||
249 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 | 281 | |||||||||
MLCC Mortgage Investors, Inc., | |||||||||||
1,279 | Series 2004-1, Class 2A3, VAR, 2.232%, 12/25/34 | 567 | |||||||||
1,908 | Series 2004-D, Class A1, VAR, 0.594%, 08/25/29 | 1,749 | |||||||||
Morgan Stanley Dean Witter Capital I, | |||||||||||
771 | Series 2003-HYB1, Class A4, VAR, 4.200%, 03/25/33 | 728 | |||||||||
570 | Series 2003-HYB1, Class B1, VAR, 1.800%, 03/25/33 | 356 | |||||||||
Morgan Stanley Mortgage Loan Trust, | |||||||||||
955 | Series 2004-5AR, Class 3A3, VAR, 2.425%, 07/25/34 | 543 | |||||||||
4,650 | Series 2004-5AR, Class 3A5, VAR, 2.425%, 07/25/34 | 3,520 | |||||||||
2,092 | Series 2004-11AR, Class 1A2A, VAR, 0.574%, 01/25/35 | 1,648 | |||||||||
Nomura Asset Acceptance Corp., | |||||||||||
589 | Series 2003-A3, Class A1, SUB, 5.000%, 08/25/33 | 541 | |||||||||
172 | Series 2004-AR1, Class 5A1, VAR, 1.024%, 08/25/34 | 145 | |||||||||
2,460 | Series 2004-R3, Class AF, VAR, 0.714%, 02/25/35 (e) | 1,731 | |||||||||
100 | Series 2005-AR1, Class 2A1, VAR, 0.544%, 02/25/35 | 92 | |||||||||
Residential Funding Mortgage Securities I, | |||||||||||
4,500 | Series 2005-SA2, Class 2A2, VAR, 3.075%, 06/25/35 | 3,392 | |||||||||
1,709 | Series 2006-SA4, Class 2A1, VAR, 6.069%, 11/25/36 | 1,295 | |||||||||
14 | Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23 | 14 | |||||||||
Sequoia Mortgage Trust, | |||||||||||
199 | Series 11, Class A, VAR, 1.166%, 12/20/32 | 179 | |||||||||
462 | Series 2003-3, Class A2, VAR, 1.105%, 07/20/33 | 407 | |||||||||
Structured Asset Mortgage Investments, Inc., | |||||||||||
1,858 | Series 2002-AR2, Class A3, VAR, 0.767%, 07/19/32 | 1,578 | |||||||||
317 | Series 2004-AR1, Class 1A1, VAR, 0.617%, 03/19/34 | 270 | |||||||||
Structured Asset Securities Corp., | |||||||||||
1,416 | Series 2003-8, Class 2A9, VAR, 0.764%, 04/25/33 | 1,294 | |||||||||
2,172 | Series 2003-40A, Class 4A, VAR, 5.374%, 01/25/34 | 1,859 | |||||||||
WaMu Mortgage Pass-Through Certificates, | |||||||||||
4,791 | Series 2004-AR3, Class A1, VAR, 2.708%, 06/25/34 | 4,537 | |||||||||
1,977 | Series 2004-AR11, Class A, VAR, 2.763%, 10/25/34 | 1,810 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
322 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS2, Class 2A1, 6.000%, 04/25/17 | 320 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, | |||||||||||
1,085 | Series 2003-F, Class A1, VAR, 4.852%, 06/25/33 | 1,097 | |||||||||
2,710 | Series 2003-K, Class 1A2, VAR, 4.471%, 11/25/33 | 2,662 | |||||||||
1,004 | Series 2004-H, Class A2, VAR, 4.538%, 06/25/34 | 786 | |||||||||
1,412 | Series 2005-AR16, Class 3A2, VAR, 2.921%, 10/25/35 | 1,255 | |||||||||
3,466 | Series 2007-3, Class 3A1, 5.500%, 04/25/22 | 3,492 | |||||||||
91,124 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $187,622) | 175,251 | ||||||||||
Commercial Mortgage-Backed Securities — 2.5% | |||||||||||
2,000 | Banc of America Commercial Mortgage, Inc., Series 2005-2, Class A5, VAR, 4.857%, 07/10/43 | 2,165 | |||||||||
Bayview Commercial Asset Trust, | |||||||||||
918 | Series 2004-3, Class A2, VAR, 0.684%, 01/25/35 (e) | 760 | |||||||||
3,272 | Series 2005-2A, Class A2, VAR, 0.614%, 08/25/35 (e) | 2,368 | |||||||||
653 | Series 2005-2A, Class M1, VAR, 0.694%, 08/25/35 (e) | 418 | |||||||||
1,729 | Series 2007-2A, Class A2, VAR, 0.584%, 07/25/37 (e) | 1,112 | |||||||||
860 | Series 2007-2A, Class M4, VAR, 0.914%, 07/25/37 (e) | 283 | |||||||||
2,704 | Series 2007-3, Class A2, VAR, 0.554%, 07/25/37 (e) | 1,680 | |||||||||
258 | Bear Stearns Commercial Mortgage Securities, Series 2004-BA5A, Class E, VAR, 0.716%, 09/15/19 (e) (f) | 224 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $12,535) | 9,010 | ||||||||||
Corporate Bonds — 0.4% | |||||||||||
Financials — 0.4% | |||||||||||
Capital Markets — 0.3% | |||||||||||
6,355 | Lehman Brothers Holdings, Inc., 5.884%, 02/17/15 (d) (f) (i) | 1,247 | |||||||||
Consumer Finance — 0.1% | |||||||||||
250 | SLM Corp., VAR, 4.141%, 01/31/14 | 209 | |||||||||
Total Corporate Bonds (Cost $6,571) | 1,456 | ||||||||||
Mortgage Pass-Through Securities — 20.4% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
— | (h) | ARM, 2.406%, 02/01/19 | — | (h) | |||||||
156 | ARM, 2.512%, 07/01/19 | 163 | |||||||||
133 | ARM, 2.555%, 01/01/27 | 139 | |||||||||
343 | ARM, 2.604%, 08/01/27 | 359 | |||||||||
842 | ARM, 2.633%, 01/01/23 | 882 | |||||||||
1,468 | ARM, 2.677%, 04/01/32 | 1,534 | |||||||||
299 | ARM, 2.690%, 12/01/27 (m) | 312 | |||||||||
75 | ARM, 2.696%, 04/01/30 | 78 | |||||||||
131 | ARM, 2.709%, 12/01/26 | 138 | |||||||||
578 | ARM, 2.737%, 07/01/30 (m) | 604 | |||||||||
285 | ARM, 2.742%, 12/01/26 | 298 | |||||||||
48 | ARM, 2.763%, 06/01/22 | 50 | |||||||||
26 | ARM, 2.814%, 06/01/25 | 27 | |||||||||
153 | ARM, 2.831%, 02/01/23 | 161 | |||||||||
84 | ARM, 2.868%, 04/01/24 | 88 | |||||||||
16 | ARM, 2.875%, 06/01/26 (m) | 17 | |||||||||
175 | ARM, 2.902%, 07/01/28 | 183 | |||||||||
70 | ARM, 2.945%, 05/01/18 | 73 | |||||||||
29 | ARM, 2.953%, 12/01/29 | 31 | |||||||||
521 | ARM, 3.038%, 01/01/23 (m) | 546 | |||||||||
— | (h) | ARM, 3.155%, 11/01/28 | — | (h) | |||||||
54 | ARM, 3.182%, 10/01/29 | 56 | |||||||||
32 | ARM, 3.280%, 11/01/27 | 33 | |||||||||
31 | ARM, 3.995%, 08/01/19 | 32 | |||||||||
21 | ARM, 4.095%, 12/01/21 | 22 | |||||||||
139 | ARM, 4.402%, 01/01/30 | 144 | |||||||||
44 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17 | 50 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
12 | 7.500%, 05/01/28 | 14 | |||||||||
60 | 8.500%, 07/01/28 | 70 | |||||||||
27 | 9.000%, 02/01/25 | 31 | |||||||||
Federal National Mortgage Association, | |||||||||||
27 | ARM, 1.825%, 04/01/24 | 27 | |||||||||
25 | ARM, 1.953%, 06/01/18 | 26 | |||||||||
202 | ARM, 2.204%, 07/01/20 (m) | 207 | |||||||||
61 | ARM, 2.215%, 05/01/18 | 62 | |||||||||
93 | ARM, 2.223%, 12/01/20 | 95 | |||||||||
75 | ARM, 2.229%, 04/01/21 | 78 | |||||||||
391 | ARM, 2.240%, 11/01/18 | 401 | |||||||||
1,280 | ARM, 2.405%, 05/01/33 | 1,330 | |||||||||
72 | ARM, 2.460%, 11/01/23 | 73 | |||||||||
14 | ARM, 2.480%, 07/01/25 | 14 | |||||||||
71 | ARM, 2.577%, 06/01/26 | 74 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
Consumer Finance — Continued | |||||||||||
18 | ARM, 2.604%, 05/01/29 | 19 | |||||||||
39 | ARM, 2.683%, 03/01/38 | 41 | |||||||||
123 | ARM, 2.690%, 01/01/31 (m) | 129 | |||||||||
74 | ARM, 2.700%, 07/01/30 | 78 | |||||||||
490 | ARM, 2.700%, 09/01/33 | 513 | |||||||||
22 | ARM, 2.731%, 11/01/21 | 23 | |||||||||
40 | ARM, 2.775%, 05/01/30 | 43 | |||||||||
378 | ARM, 2.786%, 08/01/26 | 396 | |||||||||
925 | ARM, 2.799%, 01/01/25 | 967 | |||||||||
127 | ARM, 2.876%, 07/01/27 | 134 | |||||||||
152 | ARM, 3.040%, 03/01/29 | 160 | |||||||||
27 | ARM, 3.095%, 12/01/26 | 28 | |||||||||
234 | ARM, 3.199%, 09/01/19 | 244 | |||||||||
19 | ARM, 3.250%, 03/01/17 | 19 | |||||||||
185 | ARM, 4.251%, 12/01/28 | 186 | |||||||||
154 | ARM, 4.303%, 03/01/15 (f) | 152 | |||||||||
498 | ARM, 4.623%, 02/01/34 | 521 | |||||||||
125 | ARM, 4.689%, 11/01/30 | 131 | |||||||||
53 | ARM, 5.575%, 05/01/31 | 55 | |||||||||
41 | ARM, 5.657%, 05/01/20 | 42 | |||||||||
118 | ARM, 6.000%, 01/01/20 | 124 | |||||||||
— | (h) | Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13 | — | (h) | |||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
23,763 | 4.000%, 02/01/25 | 24,998 | |||||||||
16 | 6.000%, 08/01/14 | 17 | |||||||||
233 | 7.000%, 12/01/10 – 03/01/16 (m) | 244 | |||||||||
17,415 | Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23 | 18,658 | |||||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | |||||||||||
30 | 7.000%, 03/01/27 | 33 | |||||||||
29 | 8.000%, 11/01/27 | 34 | |||||||||
29 | 8.500%, 10/01/24 | 33 | |||||||||
39 | 9.000%, 08/01/21 – 08/01/25 | 40 | |||||||||
30 | Federal National Mortgage Association, 30 Year, Other, 7.250%, 09/01/22 | 34 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
6,749 | 5.000%, 12/01/39 | 7,292 | |||||||||
45 | 7.250%, 09/01/22 | 50 | |||||||||
221 | 7.500%, 06/01/23 – 10/01/30 | 247 | |||||||||
25 | 8.500%, 08/01/17 | 26 | |||||||||
Federal National Mortgage Association, Other, | |||||||||||
48 | 6.500%, 04/01/16 | 51 | |||||||||
61 | 12.000%, 11/01/30 | 73 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
80 | 7.250%, 08/20/22 – 11/20/22 | 90 | |||||||||
129 | 7.400%, 10/20/21 – 03/20/22 | 145 | |||||||||
28 | 7.500%, 10/20/23 | 32 | |||||||||
25 | 7.850%, 12/20/21 | 29 | |||||||||
93 | 8.000%, 07/20/25 – 08/20/26 | 107 | |||||||||
9,244 | Government National Mortgage Association, 15 Year, Single Family, 4.500%, 10/15/24 | 9,880 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
67 | 7.000%, 06/15/24 | 76 | |||||||||
37 | 8.000%, 10/15/27 | 44 | |||||||||
37 | 9.000%, 11/15/24 | 43 | |||||||||
267 | 9.500%, 07/15/25 | 307 | |||||||||
Total Mortgage Pass-Through Securities (Cost $72,998) | 75,110 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 16.8% | |||||||||||
Investment Company — 16.8% | |||||||||||
62,070 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% (b) (l) (Cost $62,070) | 62,070 | |||||||||
Total Investments — 99.9% (Cost $418,851) | 367,980 | ||||||||||
Other Assets in Excess of Liabilities — 0.1% | 253 | ||||||||||
NET ASSETS — 100.0% | $ | 368,233 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 1.3% | |||||||||||
1,750 | AH Mortgage Advance Trust, Series 2010-ADV1, Class A1, 3.968%, 08/15/22 (e) | 1,750 | |||||||||
47 | AmeriCredit Automobile Receivables Trust, Series 2007-CM, Class A3B, VAR, 0.325%, 05/07/12 | 47 | |||||||||
440 | Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.634%, 04/25/36 | 309 | |||||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | |||||||||||
1,400 | Series 2003-4, Class 1A5, SUB, 5.416%, 05/25/33 | 1,345 | |||||||||
1,816 | Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 | 1,718 | |||||||||
345 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.644%, 12/25/33 | 278 | |||||||||
153 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 | 104 | |||||||||
532 | Federal National Mortgage Association Whole Loan, Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 | 531 | |||||||||
200 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.364%, 12/25/36 | 176 | |||||||||
HSBC Home Equity Loan Trust, | |||||||||||
532 | Series 2005-2, Class A1, VAR, 0.536%, 01/20/35 | 471 | |||||||||
708 | Series 2006-1, Class A1, VAR, 0.426%, 01/20/36 | 642 | |||||||||
519 | Series 2006-2, Class A1, VAR, 0.416%, 03/20/36 | 485 | |||||||||
786 | Series 2007-1, Class AS, VAR, 0.466%, 03/20/36 | 730 | |||||||||
2,136 | Series 2007-3, Class APT, VAR, 1.466%, 11/20/36 | 1,909 | |||||||||
401 | Indymac Residential Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.464%, 03/25/36 | 246 | |||||||||
Long Beach Mortgage Loan Trust, | |||||||||||
406 | Series 2006-8, Class 2A2, VAR, 0.354%, 09/25/36 | 147 | |||||||||
789 | Series 2006-WL2, Class 2A3, VAR, 0.464%, 01/25/36 | 651 | |||||||||
417 | Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class 2A, VAR, 2.871%, 07/25/33 | 418 | |||||||||
10,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.264%, 12/26/22 (e) | 9,975 | |||||||||
700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 | 710 | |||||||||
500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 | 267 | |||||||||
Residential Asset Mortgage Products, Inc., | |||||||||||
1,843 | Series 2004-RS6, Class AI4, VAR, 5.457%, 05/25/32 | 1,895 | |||||||||
476 | Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 | 462 | |||||||||
453 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) | 389 | |||||||||
1,000 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.534%, 06/25/35 | 908 | |||||||||
Structured Asset Securities Corp., | |||||||||||
941 | Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 | 932 | |||||||||
774 | Series 2002-AL1, Class A2, 3.450%, 02/25/32 | 736 | |||||||||
Total Asset-Backed Securities (Cost $28,231) | 28,231 | ||||||||||
Collateralized Mortgage Obligations — 70.8% | |||||||||||
Agency CMO — 44.0% | |||||||||||
2,330 | Federal Home Loan Bank System, Series 2000-1067, Class 1, 5.300%, 06/15/12 | 2,510 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
37 | Series 11, Class D, 9.500%, 07/15/19 | 41 | |||||||||
19 | Series 22, Class C, 9.500%, 04/15/20 | 21 | |||||||||
26 | Series 23, Class F, 9.600%, 04/15/20 | 29 | |||||||||
18 | Series 30, Class D, 9.500%, 02/15/20 | 20 | |||||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 | 1 | |||||||||
9 | Series 47, Class F, 10.000%, 06/15/20 | 11 | |||||||||
121 | Series 77, Class H, 8.500%, 09/15/20 | 145 | |||||||||
4 | Series 81, Class A, 8.125%, 11/15/20 | 4 | |||||||||
9 | Series 84, Class F, 9.200%, 10/15/20 | 10 | |||||||||
9 | Series 99, Class Z, 9.500%, 01/15/21 | 10 | |||||||||
— | (h) | Series 180, Class J, HB, 1,010.000%, 09/15/21 | — | (h) | |||||||
— | (h) | Series 186, Class I, HB, 1,009.500%, 08/15/21 | 1 | ||||||||
— | (h) | Series 189, Class K, HB, 1,009.500%, 10/15/21 | 1 | ||||||||
— | (h) | Series 204, Class E, HB, IF, 1,826.308%, 05/15/23 | 8 | ||||||||
— | (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 | 3 | ||||||||
6 | Series 1065, Class J, 9.000%, 04/15/21 | 7 | |||||||||
14 | Series 1079, Class S, HB, IF, 32.938%, 05/15/21 | 24 | |||||||||
— | (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 | 1 | ||||||||
9 | Series 1084, Class F, VAR, 1.263%, 05/15/21 | 9 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
6 | Series 1084, Class S, HB, IF, 43.819%, 05/15/21 | 13 | |||||||||
9 | Series 1133, Class H, 7.000%, 09/15/21 | 11 | |||||||||
22 | Series 1144, Class KB, 8.500%, 09/15/21 | 26 | |||||||||
— | (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 | 2 | ||||||||
— | (h) | Series 1196, Class B, HB, IF, 1,161.253%, 01/15/22 | 9 | ||||||||
11 | Series 1254, Class N, 8.000%, 04/15/22 | 11 | |||||||||
64 | Series 1343, Class LA, 8.000%, 08/15/22 | 76 | |||||||||
32 | Series 1343, Class LB, 7.500%, 08/15/22 | 38 | |||||||||
101 | Series 1374, Class Z, 7.000%, 10/15/22 | 117 | |||||||||
30 | Series 1395, Class G, 6.000%, 10/15/22 | 33 | |||||||||
261 | Series 1401, Class J, 7.000%, 10/15/22 | 296 | |||||||||
374 | Series 1466, Class PZ, 7.500%, 02/15/23 | 438 | |||||||||
11 | Series 1470, Class F, VAR, 2.797%, 02/15/23 | 11 | |||||||||
11 | Series 1505, Class QB, HB, IF, 20.037%, 05/15/23 | 16 | |||||||||
112 | Series 1518, Class G, IF, 8.748%, 05/15/23 | 127 | |||||||||
89 | Series 1526, Class L, 6.500%, 06/15/23 | 94 | |||||||||
20 | Series 1540, Class IA, 7.000%, 06/15/13 | 21 | |||||||||
121 | Series 1541, Class O, VAR, 2.240%, 07/15/23 | 122 | |||||||||
1,121 | Series 1552, Class IA, IF, 15.557%, 08/15/23 | 1,480 | |||||||||
29 | Series 1570, Class F, VAR, 3.297%, 08/15/23 | 30 | |||||||||
72 | Series 1570, Class SA, HB, IF, 20.082%, 08/15/23 | 98 | |||||||||
311 | Series 1578, Class K, 6.900%, 09/15/23 | 361 | |||||||||
35 | Series 1578, Class V, IO, 7.000%, 09/15/23 | 6 | |||||||||
688 | Series 1591, Class PV, 6.250%, 10/15/23 | 738 | |||||||||
132 | Series 1596, Class D, 6.500%, 10/15/13 | 132 | |||||||||
15 | Series 1602, Class SA, HB, IF, 21.734%, 10/15/23 | 26 | |||||||||
230 | Series 1609, Class LG, IF, 16.656%, 11/15/23 | 280 | |||||||||
1,008 | Series 1628, Class LZ, 6.500%, 12/15/23 | 1,135 | |||||||||
685 | Series 1638, Class H, 6.500%, 12/15/23 | 772 | |||||||||
1,036 | Series 1644, Class K, 6.750%, 12/15/23 | 1,113 | |||||||||
1,034 | Series 1658, Class GZ, 7.000%, 01/15/24 | 1,106 | |||||||||
6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 | 7 | |||||||||
437 | Series 1677, Class Z, 7.500%, 07/15/23 | 513 | |||||||||
10 | Series 1686, Class SH, IF, 18.534%, 02/15/24 | 16 | |||||||||
37 | Series 1688, Class W, 7.250%, 03/15/14 | 38 | |||||||||
396 | Series 1695, Class EB, 7.000%, 03/15/24 | 459 | |||||||||
50 | Series 1699, Class FC, VAR, 0.913%, 03/15/24 | 50 | |||||||||
54 | Series 1745, Class D, 7.500%, 08/15/24 | 63 | |||||||||
1,758 | Series 1760, Class ZD, VAR, 2.470%, 02/15/24 | 1,764 | |||||||||
168 | Series 1798, Class F, 5.000%, 05/15/23 | 178 | |||||||||
9 | Series 1807, Class G, 9.000%, 10/15/20 | 10 | |||||||||
1,497 | Series 1813, Class I, PO, 11/15/23 | 1,347 | |||||||||
5,787 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 | 568 | |||||||||
328 | Series 1829, Class ZB, 6.500%, 03/15/26 | 356 | |||||||||
18 | Series 1844, Class E, 6.500%, 10/15/13 | 20 | |||||||||
581 | Series 1863, Class Z, 6.500%, 07/15/26 | 655 | |||||||||
6 | Series 1865, Class D, PO, 02/15/24 | 4 | |||||||||
163 | Series 1899, Class ZE, 8.000%, 09/15/26 | 193 | |||||||||
141 | Series 1963, Class Z, 7.500%, 01/15/27 | 166 | |||||||||
43 | Series 1985, Class PR, IO, 8.000%, 07/15/27 | 12 | |||||||||
69 | Series 1987, Class PE, 7.500%, 09/15/27 | 81 | |||||||||
26 | Series 2025, Class PE, 6.300%, 01/15/13 | 26 | |||||||||
597 | Series 2033, Class J, 5.600%, 06/15/23 | 643 | |||||||||
33 | Series 2033, Class SN, HB, IF, 23.361%, 03/15/24 | 19 | |||||||||
43 | Series 2038, Class PN, IO, 7.000%, 03/15/28 | 9 | |||||||||
340 | Series 2040, Class PE, 7.500%, 03/15/28 | 398 | |||||||||
50 | Series 2042, Class T, 7.000%, 03/15/28 | 51 | |||||||||
133 | Series 2055, Class OE, 6.500%, 05/15/13 | 135 | |||||||||
155 | Series 2060, Class Z, 6.500%, 05/15/28 | 174 | |||||||||
410 | Series 2061, Class DC, IO, 6.500%, 06/15/28 | 76 | |||||||||
25,013 | Series 2065, Class PX, IO, 0.750%, 08/17/27 | 761 | |||||||||
972 | Series 2075, Class PH, 6.500%, 08/15/28 | 1,095 | |||||||||
223 | Series 2086, Class GB, 6.000%, 09/15/28 | 237 | |||||||||
64 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 | 13 | |||||||||
522 | Series 2102, Class TC, 6.000%, 12/15/13 (m) | 552 | |||||||||
333 | Series 2102, Class TU, 6.000%, 12/15/13 (m) | 353 | |||||||||
823 | Series 2110, Class PG, 6.000%, 01/15/29 | 898 | |||||||||
653 | Series 2111, Class SB, IF, IO, 7.224%, 01/15/29 | 91 | |||||||||
316 | Series 2115, Class PE, 6.000%, 01/15/14 | 332 | |||||||||
285 | Series 2125, Class JZ, 6.000%, 02/15/29 | 307 | |||||||||
641 | Series 2130, Class QS, 6.000%, 03/15/29 | 695 | |||||||||
107 | Series 2132, Class SB, HB, IF, 29.200%, 03/15/29 | 169 | |||||||||
159 | Series 2132, Class ZL, 6.500%, 03/15/29 | 174 | |||||||||
13 | Series 2135, Class UK, IO, 6.500%, 03/15/14 | 1 | |||||||||
21 | Series 2141, Class IO, IO, 7.000%, 04/15/29 | 4 | |||||||||
50 | Series 2163, Class PC, IO, 7.500%, 06/15/29 | 12 | |||||||||
115 | Series 2178, Class PB, 7.000%, 08/15/29 | 133 | |||||||||
176 | Series 2201, Class C, 8.000%, 11/15/29 | 209 | |||||||||
510 | Series 2209, Class TC, 8.000%, 01/15/30 | 606 | |||||||||
250 | Series 2210, Class Z, 8.000%, 01/15/30 | 298 | |||||||||
106 | Series 2224, Class CB, 8.000%, 03/15/30 | 125 | |||||||||
62 | Series 2247, Class Z, 7.500%, 08/15/30 | 70 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
361 | Series 2254, Class Z, 9.000%, 09/15/30 | 433 | |||||||||
295 | Series 2256, Class MC, 7.250%, 09/15/30 | 342 | |||||||||
482 | Series 2259, Class ZM, 7.000%, 10/15/30 | 558 | |||||||||
507 | Series 2271, Class PC, 7.250%, 12/15/30 | 587 | |||||||||
518 | Series 2283, Class K, 6.500%, 12/15/23 | 562 | |||||||||
160 | Series 2296, Class PD, 7.000%, 03/15/31 | 185 | |||||||||
266 | Series 2301, Class PA, 6.000%, 10/15/13 | 279 | |||||||||
2,207 | Series 2303, Class ZD, 7.000%, 04/15/31 | 2,409 | |||||||||
1,171 | Series 2303, Class ZN, 8.500%, 04/15/29 | 1,309 | |||||||||
74 | Series 2306, Class K, PO, 05/15/24 | 66 | |||||||||
185 | Series 2306, Class SE, IF, IO, 7.630%, 05/15/24 | 35 | |||||||||
775 | Series 2344, Class QG, 6.000%, 08/15/16 | 839 | |||||||||
1,275 | Series 2344, Class ZD, 6.500%, 08/15/31 | 1,403 | |||||||||
137 | Series 2344, Class ZJ, 6.500%, 08/15/31 | 151 | |||||||||
94 | Series 2345, Class NE, 6.500%, 08/15/31 | 102 | |||||||||
308 | Series 2347, Class VP, 6.500%, 03/15/20 | 324 | |||||||||
296 | Series 2353, Class TD, 6.000%, 09/15/16 | 318 | |||||||||
301 | Series 2355, Class BP, 6.000%, 09/15/16 | 325 | |||||||||
227 | Series 2358, Class PD, 6.000%, 09/15/16 | 239 | |||||||||
483 | Series 2359, Class PM, 6.000%, 09/15/16 | 517 | |||||||||
551 | Series 2359, Class ZB, 8.500%, 06/15/31 | 634 | |||||||||
543 | Series 2360, Class PG, 6.000%, 09/15/16 | 571 | |||||||||
152 | Series 2363, Class PF, 6.000%, 09/15/16 | 166 | |||||||||
285 | Series 2366, Class MD, 6.000%, 10/15/16 | 306 | |||||||||
97 | Series 2368, Class AS, HB, IF, 20.213%, 10/15/31 | 135 | |||||||||
211 | Series 2368, Class TG, 6.000%, 10/15/16 | 228 | |||||||||
103 | Series 2372, Class F, VAR, 0.776%, 10/15/31 | 103 | |||||||||
108 | Series 2383, Class FD, VAR, 0.776%, 11/15/31 | 108 | |||||||||
182 | Series 2388, Class UZ, 8.500%, 06/15/31 | 219 | |||||||||
1,339 | Series 2391, Class QR, 5.500%, 12/15/16 | 1,458 | |||||||||
136 | Series 2394, Class MC, 6.000%, 12/15/16 | 147 | |||||||||
1,646 | Series 2399, Class TH, 6.500%, 01/15/32 | 1,812 | |||||||||
287 | Series 2410, Class OE, 6.375%, 02/15/32 | 312 | |||||||||
379 | Series 2410, Class QS, IF, 18.783%, 02/15/32 | 506 | |||||||||
192 | Series 2410, Class QX, IF, IO, 8.374%, 02/15/32 | 47 | |||||||||
274 | Series 2423, Class MC, 7.000%, 03/15/32 | 306 | |||||||||
350 | Series 2423, Class MT, 7.000%, 03/15/32 | 390 | |||||||||
350 | Series 2425, Class OB, 6.000%, 03/15/17 | 374 | |||||||||
774 | Series 2433, Class SA, HB, IF, 20.213%, 02/15/32 | 1,071 | |||||||||
459 | Series 2434, Class TC, 7.000%, 04/15/32 | 516 | |||||||||
850 | Series 2436, Class MC, 7.000%, 04/15/32 | 951 | |||||||||
251 | Series 2444, Class ES, IF, IO, 7.674%, 03/15/32 | 47 | |||||||||
264 | Series 2450, Class GZ, 7.000%, 05/15/32 | 306 | |||||||||
284 | Series 2450, Class SW, IF, IO, 7.724%, 03/15/32 | 52 | |||||||||
705 | Series 2458, Class QE, 5.500%, 06/15/17 | 768 | |||||||||
355 | Series 2460, Class VZ, 6.000%, 11/15/29 | 358 | |||||||||
781 | Series 2462, Class NB, 6.500%, 06/15/22 | 884 | |||||||||
1,485 | Series 2464, Class FE, VAR, 1.276%, 03/15/32 | 1,507 | |||||||||
81 | Series 2470, Class SL, IF, 9.000%, 01/15/27 | 88 | |||||||||
501 | Series 2474, Class SJ, IF, IO, 7.374%, 07/15/17 | 43 | |||||||||
127 | Series 2480, Class PV, 6.000%, 07/15/11 | 130 | |||||||||
5,037 | Series 2494, Class SX, IF, IO, 6.724%, 02/15/32 | 663 | |||||||||
293 | Series 2513, Class YO, PO, 02/15/32 | 288 | |||||||||
1,537 | Series 2513, Class ZC, 5.500%, 10/15/32 | 1,689 | |||||||||
565 | Series 2515, Class DE, 4.000%, 03/15/32 | 585 | |||||||||
2,211 | Series 2517, Class Z, 5.500%, 10/15/32 | 2,370 | |||||||||
68 | Series 2519, Class BT, 8.500%, 09/15/31 | 70 | |||||||||
1,036 | Series 2533, Class HB, 5.500%, 12/15/17 | 1,147 | |||||||||
491 | Series 2535, Class BK, 5.500%, 12/15/22 | 546 | |||||||||
1,426 | Series 2549, Class ZG, 5.000%, 01/15/18 | 1,460 | |||||||||
436 | Series 2553, Class GF, VAR, 0.676%, 02/15/17 | 437 | |||||||||
142 | Series 2565, Class MB, 6.000%, 05/15/30 | 144 | |||||||||
5,000 | Series 2568, Class KG, 5.500%, 02/15/23 | 5,588 | |||||||||
193 | Series 2571, Class SK, HB, IF, 33.310%, 09/15/23 | 319 | |||||||||
1,530 | Series 2574, Class HP, 5.000%, 02/15/18 | 1,675 | |||||||||
1,403 | Series 2586, Class WI, IO, 6.500%, 03/15/33 | 253 | |||||||||
1,690 | Series 2587, Class CO, PO, 03/15/32 | 1,648 | |||||||||
4,418 | Series 2590, Class IP, IO, 5.500%, 08/15/31 | 194 | |||||||||
1,400 | Series 2591, Class QO, 4.500%, 03/15/18 | 1,528 | |||||||||
916 | Series 2591, Class WI, IO, 5.500%, 02/15/30 | 21 | |||||||||
974 | Series 2594, Class DJ, 4.250%, 10/15/30 | 995 | |||||||||
148 | Series 2597, Class DS, IF, IO, 7.274%, 02/15/33 | 7 | |||||||||
369 | Series 2599, Class DS, IF, IO, 6.724%, 02/15/33 | 11 | |||||||||
482 | Series 2610, Class DS, IF, IO, 6.824%, 03/15/33 | 31 | |||||||||
1,857 | Series 2610, Class DZ, 5.500%, 05/15/33 | 2,104 | |||||||||
1,082 | Series 2611, Class SH, IF, IO, 7.374%, 10/15/21 | 52 | |||||||||
330 | Series 2611, Class SQ, IF, 12.448%, 05/15/33 | 362 | |||||||||
1,036 | Series 2611, Class UH, 4.500%, 05/15/18 | 1,094 | |||||||||
2,330 | Series 2617, Class GR, 4.500%, 05/15/18 | 2,530 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
67 | Series 2624, Class IU, IO, 5.000%, 06/15/33 | 1 | |||||||||
4,406 | Series 2626, Class NS, IF, IO, 6.274%, 06/15/23 | 388 | |||||||||
3,172 | Series 2627, Class GY, 4.500%, 06/15/18 | 3,450 | |||||||||
2,071 | Series 2631, Class LC, 4.500%, 06/15/18 | 2,250 | |||||||||
353 | Series 2631, Class SA, IF, 14.344%, 06/15/33 | 403 | |||||||||
1,217 | Series 2637, Class SA, IF, IO, 5.824%, 06/15/18 | 117 | |||||||||
491 | Series 2640, Class UG, IO, 5.000%, 01/15/32 | 53 | |||||||||
2,139 | Series 2640, Class UP, IO, 5.000%, 01/15/32 | 154 | |||||||||
199 | Series 2640, Class UR, IO, 4.500%, 08/15/17 | 5 | |||||||||
3,023 | Series 2641, Class WI, IO, 5.000%, 01/15/33 | 344 | |||||||||
105 | Series 2643, Class HI, IO, 4.500%, 12/15/16 | 2 | |||||||||
1,000 | Series 2649, Class IG, IO, 5.000%, 11/15/31 | 109 | |||||||||
1,423 | Series 2650, Class PO, PO, 12/15/32 | 1,373 | |||||||||
2,402 | Series 2650, Class SO, PO, 12/15/32 | 2,310 | |||||||||
266 | Series 2656, Class SH, HB, IF, 20.772%, 02/15/25 | 275 | |||||||||
965 | Series 2657, Class MD, 5.000%, 12/15/20 | 1,011 | |||||||||
165 | Series 2663, Class EO, PO, 08/15/33 | 160 | |||||||||
236 | Series 2668, Class S, IF, 11.448%, 09/15/33 | 242 | |||||||||
2,363 | Series 2668, Class SB, IF, 6.955%, 10/15/15 | 2,458 | |||||||||
632 | Series 2671, Class S, IF, 14.252%, 09/15/33 | 722 | |||||||||
1,036 | Series 2672, Class ME, 5.000%, 11/15/22 | 1,141 | |||||||||
392 | Series 2672, Class SJ, IF, 6.910%, 09/15/16 | 412 | |||||||||
6,732 | Series 2675, Class CK, 4.000%, 09/15/18 (m) | 7,258 | |||||||||
7,000 | Series 2677, Class LE, 4.500%, 09/15/18 | 7,778 | |||||||||
1,146 | Series 2682, Class YS, IF, 8.533%, 10/15/33 | 1,191 | |||||||||
47 | Series 2683, Class VA, 5.500%, 02/15/21 | 48 | |||||||||
11,562 | Series 2684, Class PO, PO, 01/15/33 | 10,342 | |||||||||
1,242 | Series 2684, Class TO, PO, 10/15/33 | 1,149 | |||||||||
1,269 | Series 2686, Class GB, 5.000%, 05/15/20 | 1,306 | |||||||||
814 | Series 2686, Class NS, IF, IO, 7.324%, 10/15/21 | 46 | |||||||||
713 | Series 2690, Class SJ, IF, 8.736%, 10/15/33 | 754 | |||||||||
2,500 | Series 2691, Class ND, 5.000%, 10/15/28 | 2,610 | |||||||||
1,078 | Series 2691, Class SE, IF, 9.160%, 12/15/28 | 1,196 | |||||||||
829 | Series 2691, Class WS, IF, 8.586%, 10/15/33 | 860 | |||||||||
1,006 | Series 2692, Class SC, IF, 12.735%, 07/15/33 | 1,095 | |||||||||
194 | Series 2694, Class BA, 4.000%, 06/15/31 | 206 | |||||||||
655 | Series 2695, Class OB, PO, 10/15/33 | 540 | |||||||||
853 | Series 2695, Class SX, IF, 15.781%, 10/15/33 | 1,001 | |||||||||
426 | Series 2695, Class WS, IF, 15.643%, 10/15/33 | 498 | |||||||||
246 | Series 2696, Class SM, IF, 13.648%, 12/15/26 | 253 | |||||||||
1,554 | Series 2702, Class PC, 5.000%, 01/15/23 | 1,701 | |||||||||
468 | Series 2705, Class SC, IF, 8.586%, 11/15/33 | 486 | |||||||||
1,107 | Series 2705, Class SD, IF, 8.645%, 11/15/33 | 1,151 | |||||||||
2,589 | Series 2715, Class OG, 5.000%, 01/15/23 | 2,856 | |||||||||
3,679 | Series 2716, Class UN, 4.500%, 12/15/23 | 4,039 | |||||||||
2,071 | Series 2720, Class PC, 5.000%, 12/15/23 | 2,194 | |||||||||
806 | Series 2725, Class SC, IF, 8.608%, 11/15/33 | 857 | |||||||||
3,108 | Series 2727, Class BS, IF, 8.661%, 01/15/34 | 3,234 | |||||||||
88 | Series 2727, Class PO, PO, 01/15/34 | 80 | |||||||||
80 | Series 2739, Class S, IF, 11.448%, 01/15/34 | 81 | |||||||||
574 | Series 2744, Class FE, VAR, 0.000%, 02/15/34 | 539 | |||||||||
1,081 | Series 2744, Class PD, 5.500%, 08/15/33 | 1,116 | |||||||||
49 | Series 2744, Class QO, PO, 02/15/34 | 47 | |||||||||
2,071 | Series 2744, Class TU, 5.500%, 05/15/32 | 2,189 | |||||||||
339 | Series 2753, Class S, IF, 11.448%, 02/15/34 | 345 | |||||||||
1,656 | Series 2754, Class JG, 4.500%, 03/15/33 | 1,661 | |||||||||
2,592 | Series 2755, Class PA, PO, 02/15/29 | 2,562 | |||||||||
583 | Series 2755, Class SA, IF, 13.648%, 05/15/30 | 647 | |||||||||
541 | Series 2756, Class NA, 5.000%, 02/15/24 | 595 | |||||||||
720 | Series 2760, Class IB, IO, 5.000%, 11/15/27 | 18 | |||||||||
344 | Series 2762, Class LO, PO, 03/15/34 | 324 | |||||||||
685 | Series 2764, Class OE, 4.500%, 03/15/19 | 740 | |||||||||
109 | Series 2769, Class PO, PO, 03/15/34 | 109 | |||||||||
143 | Series 2774, Class QO, PO, 04/15/34 | 137 | |||||||||
801 | Series 2776, Class SK, IF, 8.661%, 04/15/34 | 829 | |||||||||
99 | Series 2777, Class DV, 6.500%, 11/15/17 | 104 | |||||||||
178 | Series 2777, Class SX, IF, 11.759%, 04/15/34 | 179 | |||||||||
78 | Series 2778, Class BS, IF, 15.060%, 04/15/34 | 80 | |||||||||
3,500 | Series 2780, Class BE, 4.500%, 04/15/19 | 3,840 | |||||||||
1,264 | Series 2780, Class JG, 4.500%, 04/15/19 | 1,326 | |||||||||
1,678 | Series 2780, Class YC, 5.000%, 04/15/19 | 1,879 | |||||||||
98 | Series 2801, Class BS, IF, 13.548%, 05/15/34 | 99 | |||||||||
2,050 | Series 2802, Class ZY, 6.000%, 05/15/34 | 2,080 | |||||||||
667 | Series 2812, Class AB, 4.500%, 10/15/18 | 698 | |||||||||
213 | Series 2812, Class EL, 7.500%, 02/15/27 | 213 | |||||||||
3,172 | Series 2812, Class NO, PO, 10/15/33 | 2,601 | |||||||||
229 | Series 2827, Class NT, IF, 8.000%, 01/15/22 | 232 | |||||||||
3,000 | Series 2827, Class QE, 5.500%, 03/15/33 | 3,238 | |||||||||
250 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 | 259 | |||||||||
829 | Series 2835, Class BO, PO, 12/15/28 | 801 | |||||||||
704 | Series 2835, Class QO, PO, 12/15/32 | 649 | |||||||||
4 | Series 2841, Class YA, 5.500%, 07/15/27 | 5 | |||||||||
400 | Series 2863, Class JA, 4.500%, 09/15/19 | 413 | |||||||||
1,370 | Series 2864, Class GB, 4.000%, 09/15/19 | 1,474 | |||||||||
390 | Series 2877, Class KO, PO, 03/15/19 | 371 | |||||||||
1,577 | Series 2897, Class EO, PO, 10/15/31 | 1,487 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
2,226 | Series 2903, Class UZ, 5.500%, 07/15/31 | 2,302 | |||||||||
2,000 | Series 2921, Class MD, 5.000%, 06/15/33 | 2,045 | |||||||||
197 | Series 2925, Class MW, VAR, 0.000%, 01/15/35 | 196 | |||||||||
1,000 | Series 2930, Class AN, 4.500%, 06/15/19 | 1,086 | |||||||||
3,881 | Series 2934, Class EC, PO, 02/15/20 | 3,587 | |||||||||
454 | Series 2934, Class EN, PO, 02/15/18 | 445 | |||||||||
4,036 | Series 2934, Class HI, IO, 5.000%, 02/15/20 | 483 | |||||||||
2,644 | Series 2934, Class KI, IO, 5.000%, 02/15/20 | 310 | |||||||||
1,037 | Series 2945, Class SA, IF, 11.797%, 03/15/20 | 1,212 | |||||||||
1,117 | Series 2967, Class JI, IO, 5.000%, 04/15/20 | 133 | |||||||||
433 | Series 2967, Class S, HB, IF, 32.307%, 04/15/25 | 689 | |||||||||
903 | Series 2971, Class GB, 5.000%, 11/15/16 | 934 | |||||||||
685 | Series 2971, Class GC, 5.000%, 07/15/18 | 745 | |||||||||
27 | Series 2975, Class KO, PO, 05/15/35 | 27 | |||||||||
1,250 | Series 2979, Class BC, 5.000%, 04/15/20 | 1,387 | |||||||||
648 | Series 2989, Class PO, PO, 06/15/23 | 623 | |||||||||
569 | Series 2990, Class LK, VAR, 0.646%, 10/15/34 | 568 | |||||||||
582 | Series 2990, Class SL, HB, IF, 23.482%, 06/15/34 | 899 | |||||||||
349 | Series 2990, Class WP, IF, 16.316%, 06/15/35 | 427 | |||||||||
191 | Series 2996, Class FD, VAR, 0.526%, 06/15/35 | 190 | |||||||||
1,000 | Series 2999, Class NC, 4.500%, 12/15/18 | 1,063 | |||||||||
127 | Series 3000, Class JF, VAR, 0.676%, 04/15/35 | 127 | |||||||||
1,650 | Series 3047, Class OB, 5.500%, 12/15/33 | 1,788 | |||||||||
2,003 | Series 3049, Class XF, VAR, 0.626%, 05/15/33 | 1,996 | |||||||||
1,680 | Series 3054, Class MI, IO, 5.500%, 05/15/34 | 191 | |||||||||
101 | Series 3063, Class ST, SUB, 11/15/35 | 107 | |||||||||
3,176 | Series 3068, Class QB, 4.500%, 06/15/20 | 3,392 | |||||||||
1,194 | Series 3100, Class MA, VAR, 3.170%, 12/15/35 | 1,169 | |||||||||
1,316 | Series 3101, Class UZ, 6.000%, 01/15/36 | 1,454 | |||||||||
1,078 | Series 3117, Class EO, PO, 02/15/36 | 996 | |||||||||
1,306 | Series 3117, Class OK, PO, 02/15/36 | 1,213 | |||||||||
311 | Series 3118, Class DM, 5.000%, 02/15/24 | 312 | |||||||||
338 | Series 3122, Class OH, PO, 03/15/36 | 307 | |||||||||
81 | Series 3122, Class ZB, 6.000%, 03/15/36 | 82 | |||||||||
1,274 | Series 3130, Class KZ, 5.500%, 12/15/34 | 1,411 | |||||||||
255 | Series 3134, Class PO, PO, 03/15/36 | 236 | |||||||||
5,812 | Series 3137, Class XP, 6.000%, 04/15/36 | 6,431 | |||||||||
1,180 | Series 3138, Class PO, PO, 04/15/36 | 1,096 | |||||||||
1,500 | Series 3143, Class BC, 5.500%, 02/15/36 | 1,616 | |||||||||
370 | Series 3149, Class SO, PO, 05/15/36 | 328 | |||||||||
2,000 | Series 3151, Class PD, 6.000%, 11/15/34 | 2,174 | |||||||||
1,324 | Series 3152, Class MO, PO, 03/15/36 | 1,195 | |||||||||
9,220 | Series 3155, Class CG, 6.000%, 11/15/24 | 9,751 | |||||||||
44 | Series 3158, Class LX, VAR, 0.000%, 05/15/36 | 44 | |||||||||
1,000 | Series 3162, Class OB, 6.000%, 11/15/30 | 1,044 | |||||||||
8,000 | Series 3166, Class AC, 5.000%, 06/15/21 (m) | 9,196 | |||||||||
232 | Series 3170, Class FM, VAR, 0.626%, 09/15/33 | 232 | |||||||||
1,051 | Series 3171, Class MO, PO, 06/15/36 | 958 | |||||||||
887 | Series 3174, Class PX, 5.000%, 06/15/17 | 976 | |||||||||
1,594 | Series 3179, Class OA, PO, 07/15/36 | 1,469 | |||||||||
585 | Series 3184, Class OA, PO, 02/15/33 | 557 | |||||||||
2,576 | Series 3194, Class SA, IF, IO, 6.824%, 07/15/36 | 213 | |||||||||
1,480 | Series 3195, Class PD, 6.500%, 07/15/36 | 1,700 | |||||||||
2,677 | Series 3219, Class DI, IO, 6.000%, 04/15/36 | 359 | |||||||||
1,807 | Series 3232, Class ST, IF, IO, 6.424%, 10/15/36 | 243 | |||||||||
2,487 | Series 3253, Class PO, PO, 12/15/21 | 2,366 | |||||||||
1,141 | Series 3260, Class CS, IF, IO, 5.864%, 01/15/37 | 123 | |||||||||
1,372 | Series 3262, Class SG, IF, IO, 6.124%, 01/15/37 | 174 | |||||||||
1,544 | Series 3274, Class JO, PO, 02/15/37 | 1,426 | |||||||||
1,180 | Series 3274, Class MO, PO, 02/15/37 | 1,100 | |||||||||
694 | Series 3275, Class FL, VAR, 0.716%, 02/15/37 | 692 | |||||||||
3,500 | Series 3282, Class YD, 5.500%, 02/15/22 | 3,795 | |||||||||
1,500 | Series 3285, Class PC, 5.500%, 09/15/30 | 1,551 | |||||||||
426 | Series 3288, Class GS, IF, 3.340%, 03/15/37 | 436 | |||||||||
3,276 | Series 3290, Class SB, IF, IO, 6.174%, 03/15/37 | 411 | |||||||||
4,000 | Series 3299, Class KB, 5.000%, 08/15/29 | 4,061 | |||||||||
268 | Series 3299, Class QF, VAR, 04/15/37 | 265 | |||||||||
978 | Series 3305, Class MB, IF, 2.756%, 07/15/34 | 980 | |||||||||
3,000 | Series 3334, Class MC, 5.000%, 04/15/33 | 3,139 | |||||||||
718 | Series 3342, Class HI, IF, IO, 5.724%, 07/15/37 | 4 | |||||||||
4,400 | Series 3342, Class VG, 6.000%, 11/15/23 | 4,879 | |||||||||
1,312 | Series 3347, Class PO, PO, 07/15/37 | 1,298 | |||||||||
415 | Series 3356, Class PA, 6.000%, 11/15/26 | 418 | |||||||||
587 | Series 3371, Class FA, VAR, 0.876%, 09/15/37 | 588 | |||||||||
1,824 | Series 3373, Class TO, PO, 04/15/37 | 1,695 | |||||||||
5,568 | Series 3385, Class SN, IF, IO, 5.724%, 11/15/37 | 462 | |||||||||
2,553 | Series 3387, Class SA, IF, IO, 6.144%, 11/15/37 | 266 | |||||||||
2,374 | Series 3389, Class DQ, 5.750%, 10/15/35 | 2,530 | |||||||||
3,056 | Series 3404, Class SC, IF, IO, 5.724%, 01/15/38 | 333 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
7,513 | Series 3422, Class AI, SUB, IO, 1.860%, 01/15/38 | 116 | |||||||||
1,889 | Series 3422, Class LI, IO, 5.000%, 02/15/23 | 209 | |||||||||
7,178 | Series 3430, Class AI, IO, 1.417%, 09/15/12 | 109 | |||||||||
4,078 | Series 3437, Class AI, IO, 1.335%, 09/15/11 | 38 | |||||||||
3,469 | Series 3451, Class SA, IF, IO, 5.774%, 05/15/38 | 410 | |||||||||
2,049 | Series 3461, Class LZ, 6.000%, 06/15/38 | 2,258 | |||||||||
3,396 | Series 3481, Class SJ, IF, IO, 5.574%, 08/15/38 | 312 | |||||||||
3,956 | Series 3505, Class SA, IF, IO, 5.724%, 01/15/39 | 322 | |||||||||
3,165 | Series 3511, Class IO, IO, 5.000%, 12/15/21 | 345 | |||||||||
2,013 | Series 3511, Class SA, IF, IO, 5.724%, 02/15/39 | 179 | |||||||||
3,354 | Series 3515, Class PI, IO, 5.500%, 07/15/37 | 352 | |||||||||
2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 | 642 | |||||||||
518 | Series 3546, Class A, VAR, 5.994%, 02/15/39 | 550 | |||||||||
3,489 | Series 3564, Class JA, 4.000%, 01/15/18 | 3,720 | |||||||||
4,013 | Series 3572, Class JS, IF, IO, 6.524%, 09/15/39 | 709 | |||||||||
1,600 | Series 3607, Class BO, PO, 04/15/36 | 1,414 | |||||||||
2,031 | Series 3607, Class EO, PO, 02/15/33 | 1,944 | |||||||||
3,318 | Series 3611, Class PO, PO, 07/15/34 | 3,103 | |||||||||
1,343 | Series 3632, Class BS, IF, 16.580%, 02/15/40 | 1,936 | |||||||||
7,968 | Series 3680, Class MA, 4.500%, 07/15/39 | 8,574 | |||||||||
2,885 | Series 3688, Class CU, VAR, 6.831%, 11/15/21 | 3,179 | |||||||||
5,019 | Series 3688, Class GT, VAR, 7.150%, 11/15/46 | 5,636 | |||||||||
9,924 | Series 3688, Class NI, IO, 5.000%, 04/15/32 | 1,229 | |||||||||
12,850 | Series 3704, Class CT, 7.000%, 12/15/36 | 14,348 | |||||||||
8,500 | Series 3704, Class DT, 7.500%, 11/15/36 | 9,668 | |||||||||
6,850 | Series 3704, Class ET, 7.500%, 12/15/36 | 7,792 | |||||||||
2,000 | Series R004, Class VG, 6.000%, 08/15/21 | 2,186 | |||||||||
5,545 | Series R007, Class ZA, 6.000%, 05/15/36 | 6,057 | |||||||||
1,065 | Series R012, Class AI, IO, 5.500%, 12/15/20 | 53 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS, | |||||||||||
4 | Series 1, Class B, IO, 8.000%, 10/15/18 | 1 | |||||||||
18 | Series 134, Class B, IO, 9.000%, 04/01/22 | 4 | |||||||||
1 | Series 16, Class B, IO, 10.000%, 06/01/20 | — | (h) | ||||||||
2,887 | Series 191, Class IO, IO, 8.000%, 01/01/28 | 735 | |||||||||
3,746 | Series 233, Class 11, IO, 5.000%, 09/15/35 | 508 | |||||||||
2,087 | Series 233, Class 12, IO, 5.000%, 09/15/35 | 278 | |||||||||
5,053 | Series 233, Class 13, IO, 5.000%, 09/15/35 | 681 | |||||||||
13,367 | Series 239, Class S30, IF, IO, 7.424%, 08/15/36 | 1,711 | |||||||||
1,853 | Series 243, Class 16, IO, 4.500%, 11/15/20 | 181 | |||||||||
2,959 | Series 243, Class 17, IO, 4.500%, 12/15/20 | 289 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, | |||||||||||
479 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 (m) | 562 | |||||||||
1,841 | Series T-42, Class A5, 7.500%, 02/25/42 | 2,157 | |||||||||
108 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 | 122 | |||||||||
128 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 | 150 | |||||||||
2,971 | Series T-54, Class 2A, 6.500%, 02/25/43 | 3,347 | |||||||||
1,459 | Series T-54, Class 3A, 7.000%, 02/25/43 | 1,690 | |||||||||
276 | Series T-58, Class APO, PO, 09/25/43 | 220 | |||||||||
277 | Series T-59, Class 1AP, PO, 10/25/43 | 232 | |||||||||
7,636 | Series T-76, Class 2A, VAR, 4.794%, 10/25/37 | 7,874 | |||||||||
Federal National Mortgage Association Grantor Trust, | |||||||||||
1,311 | Series 2001-T7, Class A1, 7.500%, 02/25/41 | 1,541 | |||||||||
58 | Series 2001-T10, Class PO, PO, 12/25/41 | 40 | |||||||||
1,221 | Series 2001-T12, Class A2, 7.500%, 08/25/41 | 1,436 | |||||||||
543 | Series 2002-T4, Class A2, 7.000%, 12/25/41 | 630 | |||||||||
1,488 | Series 2002-T4, Class A3, 7.500%, 12/25/41 | 1,749 | |||||||||
422 | Series 2002-T16, Class A2, 7.000%, 07/25/42 | 489 | |||||||||
762 | Series 2002-T19, Class A2, 7.000%, 07/25/42 | 884 | |||||||||
1,710 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 | 1,866 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
86 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 96 | |||||||||
5 | Series 1988-11, Class D, PO, 05/25/18 | 5 | |||||||||
487 | Series 1988-21, Class G, 9.500%, 08/25/18 | 559 | |||||||||
4 | Series 1988-29, Class B, 9.500%, 12/25/18 | 5 | |||||||||
2 | Series 1989-19, Class A, 10.300%, 04/25/19 | 2 | |||||||||
6 | Series 1989-21, Class G, 10.450%, 04/25/19 | 7 | |||||||||
22 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 23 | |||||||||
19 | Series 1989-70, Class G, 8.000%, 10/25/19 | 22 | |||||||||
11 | Series 1989-78, Class H, 9.400%, 11/25/19 | 12 | |||||||||
9 | Series 1989-89, Class H, 9.000%, 11/25/19 | 10 | |||||||||
7 | Series 1990-60, Class K, 5.500%, 06/25/20 | 7 | |||||||||
6 | Series 1990-93, Class G, 5.500%, 08/25/20 | 6 | |||||||||
— | (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 | 6 | ||||||||
48 | Series 1990-102, Class J, 6.500%, 08/25/20 | 53 | |||||||||
6 | Series 1990-134, Class SC, HB, IF, 21.178%, 11/25/20 | 9 | |||||||||
— | (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 | 7 | ||||||||
— | (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 | 1 | ||||||||
398 | Series 1991-44, Class G, 8.500%, 05/25/21 | 479 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
— | (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 | 3 | ||||||||
19 | Series 1992-73, Class H, 7.500%, 05/25/22 | 19 | |||||||||
16 | Series 1992-101, Class J, 7.500%, 06/25/22 | 17 | |||||||||
314 | Series 1992-188, Class PZ, 7.500%, 10/25/22 | 369 | |||||||||
359 | Series 1993-25, Class J, 7.500%, 03/25/23 | 398 | |||||||||
157 | Series 1993-27, Class S, IF, 9.329%, 02/25/23 | 174 | |||||||||
75 | Series 1993-31, Class K, 7.500%, 03/25/23 | 88 | |||||||||
681 | Series 1993-54, Class Z, 7.000%, 04/25/23 | 749 | |||||||||
36 | Series 1993-62, Class SA, IF, 16.340%, 04/25/23 | 51 | |||||||||
34 | Series 1993-97, Class FA, VAR, 1.531%, 05/25/23 | 35 | |||||||||
11 | Series 1993-108, Class D, PO, 02/25/23 | 10 | |||||||||
85 | Series 1993-162, Class F, VAR, 1.231%, 08/25/23 | 86 | |||||||||
14 | Series 1993-165, Class SD, IF, 11.043%, 09/25/23 | 17 | |||||||||
114 | Series 1993-167, Class GA, 7.000%, 09/25/23 | 117 | |||||||||
133 | Series 1993-179, Class SB, HB, IF, 21.888%, 10/25/23 | 205 | |||||||||
192 | Series 1993-220, Class SG, IF, 15.438%, 11/25/13 | 220 | |||||||||
46 | Series 1993-225, Class SG, HB, IF, 26.331%, 12/25/13 | 58 | |||||||||
26 | Series 1993-228, Class G, PO, 09/25/23 | 24 | |||||||||
19 | Series 1993-230, Class FA, VAR, 0.881%, 12/25/23 | 19 | |||||||||
426 | Series 1993-250, Class Z, 7.000%, 12/25/23 | 456 | |||||||||
148 | Series 1993-257, Class C, PO, 06/25/23 | 144 | |||||||||
1,769 | Series 1994-26, Class J, PO, 01/25/24 | 1,611 | |||||||||
207 | Series 1994-37, Class L, 6.500%, 03/25/24 | 233 | |||||||||
52 | Series 1995-2, Class Z, 8.500%, 01/25/25 | 62 | |||||||||
440 | Series 1996-14, Class SE, IF, IO, 7.780%, 08/25/23 | 80 | |||||||||
20 | Series 1996-59, Class J, 6.500%, 08/25/22 | 23 | |||||||||
141 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 | 7 | |||||||||
35 | Series 1997-24, Class Z, 8.000%, 04/18/27 | 42 | |||||||||
35 | Series 1997-27, Class J, 7.500%, 04/18/27 | 38 | |||||||||
654 | Series 1997-46, Class Z, 7.500%, 06/17/27 | 759 | |||||||||
34 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 | 8 | |||||||||
1,760 | Series 1998-30, Class ZA, 6.500%, 05/20/28 | 1,982 | |||||||||
99 | Series 1998-36, Class J, 6.000%, 07/18/28 | 106 | |||||||||
724 | Series 1998-36, Class ZB, 6.000%, 07/18/28 | 802 | |||||||||
272 | Series 1998-43, Class SA, IF, IO, 16.747%, 04/25/23 | 107 | |||||||||
216 | Series 1999-57, Class Z, 7.500%, 12/25/19 | 248 | |||||||||
216 | Series 1999-62, Class PB, 7.500%, 12/18/29 | 240 | |||||||||
825 | Series 2000-18, Class EC, PO, 10/25/23 | 742 | |||||||||
33 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 | 9 | |||||||||
1,531 | Series 2001-4, Class ZA, 6.500%, 03/25/31 | 1,710 | |||||||||
151 | Series 2001-5, Class OW, 6.000%, 03/25/16 | 159 | |||||||||
203 | Series 2001-7, Class PF, 7.000%, 03/25/31 | 231 | |||||||||
392 | Series 2001-31, Class VD, 6.000%, 05/25/31 | 397 | |||||||||
376 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 | 65 | |||||||||
361 | Series 2001-36, Class DE, 7.000%, 08/25/31 | 411 | |||||||||
951 | Series 2001-38, Class FB, VAR, 0.764%, 08/25/31 | 955 | |||||||||
212 | Series 2001-44, Class PD, 7.000%, 09/25/31 | 242 | |||||||||
370 | Series 2001-44, Class PU, 7.000%, 09/25/31 | 421 | |||||||||
667 | Series 2001-49, Class LZ, 8.500%, 07/25/31 | 802 | |||||||||
290 | Series 2001-52, Class XN, 6.500%, 11/25/15 | 314 | |||||||||
1,198 | Series 2001-53, Class FX, VAR, 0.614%, 10/25/31 | 1,195 | |||||||||
1,014 | Series 2001-61, Class Z, 7.000%, 11/25/31 | 1,156 | |||||||||
476 | Series 2001-71, Class QE, 6.000%, 12/25/16 | 517 | |||||||||
269 | Series 2001-72, Class SX, IF, 16.852%, 12/25/31 | 353 | |||||||||
242 | Series 2001-74, Class MB, 6.000%, 12/25/16 | 264 | |||||||||
250 | Series 2002-1, Class HC, 6.500%, 02/25/22 | 271 | |||||||||
125 | Series 2002-1, Class SA, HB, IF, 24.330%, 02/25/32 | 192 | |||||||||
208 | Series 2002-1, Class UD, HB, IF, 23.516%, 12/25/23 | 338 | |||||||||
519 | Series 2002-3, Class PG, 5.500%, 02/25/17 | 563 | |||||||||
894 | Series 2002-7, Class FD, VAR, 0.964%, 04/25/29 | 903 | |||||||||
194 | Series 2002-9, Class ST, IF, 18.687%, 03/25/17 | 241 | |||||||||
1,639 | Series 2002-11, Class QG, 5.500%, 03/25/17 | 1,782 | |||||||||
1,203 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 | 58 | |||||||||
78 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 | 87 | |||||||||
2,340 | Series 2002-18, Class PC, 5.500%, 04/25/17 | 2,485 | |||||||||
478 | Series 2002-19, Class PE, 6.000%, 04/25/17 | 519 | |||||||||
160 | Series 2002-37, Class Z, 6.500%, 06/25/32 | 180 | |||||||||
3,000 | Series 2002-42, Class C, 6.000%, 07/25/17 | 3,326 | |||||||||
1,100 | Series 2002-55, Class QE, 5.500%, 09/25/17 | 1,194 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,226 | Series 2002-56, Class UC, 5.500%, 09/25/17 (m) | 3,530 | |||||||||
1,053 | Series 2002-62, Class ZE, 5.500%, 11/25/17 | 1,143 | |||||||||
647 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 702 | |||||||||
628 | Series 2002-63, Class LB, 5.500%, 10/25/17 | 688 | |||||||||
2,276 | Series 2002-71, Class KM, 5.000%, 11/25/17 | 2,472 | |||||||||
559 | Series 2002-77, Class S, IF, 14.000%, 12/25/32 | 664 | |||||||||
2,127 | Series 2002-81, Class JO, PO, 04/25/32 | 2,061 | |||||||||
37 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 | 2 | |||||||||
1,000 | Series 2002-95, Class XD, 5.000%, 01/25/18 | 1,073 | |||||||||
688 | Series 2003-7, Class A1, 6.500%, 12/25/42 | 775 | |||||||||
2,710 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 | 362 | |||||||||
1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 | 1,111 | |||||||||
1,188 | Series 2003-23, Class CS, IF, IO, 7.836%, 05/25/31 | 91 | |||||||||
2,978 | Series 2003-26, Class XS, IF, IO, 6.786%, 03/25/23 | 375 | |||||||||
1,036 | Series 2003-27, Class DW, 4.500%, 04/25/17 | 1,071 | |||||||||
4,585 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 | 849 | |||||||||
242 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 | 35 | |||||||||
2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 | 2,775 | |||||||||
4,136 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 | 825 | |||||||||
3,171 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 | 107 | |||||||||
166 | Series 2003-52, Class SX, HB, IF, 22.159%, 10/25/31 | 241 | |||||||||
480 | Series 2003-54, Class KH, 4.500%, 06/25/33 | 480 | |||||||||
1,000 | Series 2003-55, Class CD, 5.000%, 06/25/23 | 1,067 | |||||||||
307 | Series 2003-60, Class NJ, 5.000%, 07/25/21 | 313 | |||||||||
182 | Series 2003-67, Class VQ, 7.000%, 01/25/19 | 190 | |||||||||
715 | Series 2003-68, Class QP, 3.000%, 07/25/22 | 732 | |||||||||
2,895 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 | 206 | |||||||||
2,372 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 | 348 | |||||||||
274 | Series 2003-73, Class GA, 3.500%, 05/25/31 | 282 | |||||||||
871 | Series 2003-73, Class HF, VAR, 0.714%, 01/25/31 | 871 | |||||||||
474 | Series 2003-73, Class PB, 4.500%, 08/25/18 | 484 | |||||||||
210 | Series 2003-74, Class SH, IF, 9.695%, 08/25/33 | 219 | |||||||||
1,765 | Series 2003-76, Class SH, IF, 13.673%, 09/25/31 | 2,063 | |||||||||
99 | Series 2003-79, Class NM, 4.000%, 05/25/22 | 102 | |||||||||
3,497 | Series 2003-80, Class SY, IF, IO, 7.386%, 06/25/23 | 319 | |||||||||
1,036 | Series 2003-81, Class LC, 4.500%, 09/25/18 | 1,139 | |||||||||
3,001 | Series 2003-83, Class PG, 5.000%, 06/25/23 | 3,279 | |||||||||
501 | Series 2003-86, Class PX, 4.500%, 02/25/17 | 520 | |||||||||
1,248 | Series 2003-86, Class ZA, 5.500%, 09/25/33 | 1,383 | |||||||||
1,000 | Series 2003-88, Class TH, 4.500%, 09/25/18 | 1,102 | |||||||||
2,402 | Series 2003-91, Class BL, 5.000%, 02/25/29 | 2,421 | |||||||||
404 | Series 2003-91, Class SD, IF, 12.060%, 09/25/33 | 460 | |||||||||
186 | Series 2003-92, Class SH, IF, 9.175%, 09/25/18 | 197 | |||||||||
246 | Series 2003-106, Class PO, PO, 08/25/17 | 240 | |||||||||
1,295 | Series 2003-106, Class US, IF, 8.679%, 11/25/23 | 1,367 | |||||||||
3,985 | Series 2003-106, Class WE, 4.500%, 11/25/22 | 4,366 | |||||||||
2,000 | Series 2003-116, Class SB, IF, IO, 7.336%, 11/25/33 | 259 | |||||||||
2,739 | Series 2003-117, Class JB, 3.500%, 06/25/33 | 2,864 | |||||||||
3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 | 3,175 | |||||||||
777 | Series 2003-122, Class TE, 5.000%, 12/25/22 | 858 | |||||||||
1,923 | Series 2003-123, Class YS, IF, IO, 6.836%, 03/25/24 | 41 | |||||||||
636 | Series 2003-128, Class KE, 4.500%, 01/25/14 | 667 | |||||||||
687 | Series 2003-130, Class SX, IF, 11.124%, 01/25/34 | 764 | |||||||||
445 | Series 2003-131, Class SK, IF, 15.673%, 01/25/34 | 542 | |||||||||
484 | Series 2003-132, Class OA, PO, 08/25/33 | 461 | |||||||||
1,302 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 | 190 | |||||||||
1,636 | Series 2004-4, Class QI, IF, IO, 6.836%, 06/25/33 | 252 | |||||||||
409 | Series 2004-4, Class QM, IF, 13.672%, 06/25/33 | 480 | |||||||||
985 | Series 2004-10, Class SC, HB, IF, 27.545%, 02/25/34 | 1,408 | |||||||||
1,052 | Series 2004-14, Class SD, IF, 8.679%, 03/25/34 | 1,094 | |||||||||
887 | Series 2004-17, Class H, 5.500%, 04/25/34 | 916 | |||||||||
1,384 | Series 2004-21, Class CO, PO, 04/25/34 | 1,228 | |||||||||
667 | Series 2004-22, Class A, 4.000%, 04/25/19 | 684 | |||||||||
1,036 | Series 2004-25, Class PB, 5.500%, 05/25/32 | 1,110 | |||||||||
777 | Series 2004-25, Class PC, 5.500%, 01/25/34 | 888 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,277 | Series 2004-25, Class SA, IF, 18.800%, 04/25/34 | 1,731 | |||||||||
1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 | 1,484 | |||||||||
777 | Series 2004-36, Class PB, 5.500%, 05/25/32 | 839 | |||||||||
992 | Series 2004-36, Class SA, IF, 18.800%, 05/25/34 | 1,320 | |||||||||
328 | Series 2004-36, Class SN, IF, 13.672%, 07/25/33 | 386 | |||||||||
1,636 | Series 2004-46, Class EP, PO, 03/25/34 | 1,553 | |||||||||
2,435 | Series 2004-46, Class HS, IF, IO, 5.736%, 05/25/30 | 135 | |||||||||
535 | Series 2004-46, Class QB, HB, IF, 22.945%, 05/25/34 | 727 | |||||||||
430 | Series 2004-46, Class SK, IF, 15.775%, 05/25/34 | 514 | |||||||||
250 | Series 2004-51, Class SY, IF, 13.713%, 07/25/34 | 291 | |||||||||
299 | Series 2004-53, Class NB, 5.500%, 02/25/21 | 304 | |||||||||
1,554 | Series 2004-53, Class NC, 5.500%, 07/25/24 | 1,683 | |||||||||
1,184 | Series 2004-59, Class BG, PO, 12/25/32 | 1,076 | |||||||||
607 | Series 2004-61, Class CO, PO, 10/25/31 | 588 | |||||||||
287 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 | 315 | |||||||||
475 | Series 2004-92, Class JO, PO, 12/25/34 | 473 | |||||||||
2,667 | Series 2005-7, Class LO, PO, 02/25/35 | 2,173 | |||||||||
648 | Series 2005-13, Class FL, VAR, 0.664%, 03/25/35 | 646 | |||||||||
496 | Series 2005-14, Class BA, 4.500%, 04/25/19 | 519 | |||||||||
469 | Series 2005-15, Class MO, PO, 03/25/35 | 426 | |||||||||
1,692 | Series 2005-45, Class BG, 4.500%, 06/25/25 | 1,735 | |||||||||
193 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 196 | |||||||||
613 | Series 2005-52, Class PA, 6.500%, 06/25/35 | 671 | |||||||||
2,699 | Series 2005-56, Class S, IF, IO, 6.446%, 07/25/35 | 451 | |||||||||
2,705 | Series 2005-57, Class EG, VAR, 0.564%, 03/25/35 | 2,700 | |||||||||
482 | Series 2005-58, Class PO, PO, 07/25/35 | 431 | |||||||||
620 | Series 2005-66, Class SG, IF, 16.716%, 07/25/35 | 794 | |||||||||
4,210 | Series 2005-66, Class SV, IF, IO, 6.486%, 07/25/35 | 564 | |||||||||
1,027 | Series 2005-68, Class BC, 5.250%, 06/25/35 | 1,132 | |||||||||
2,492 | Series 2005-68, Class PG, 5.500%, 08/25/35 | 2,767 | |||||||||
484 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 | 50 | |||||||||
549 | Series 2005-73, Class PS, IF, 16.041%, 08/25/35 | 703 | |||||||||
2,107 | Series 2005-74, Class SK, IF, 19.405%, 05/25/35 | 2,875 | |||||||||
2,157 | Series 2005-84, Class XM, 5.750%, 10/25/35 | 2,406 | |||||||||
1,206 | Series 2005-88, Class QO, PO, 11/25/33 | 1,129 | |||||||||
972 | Series 2005-90, Class AO, PO, 10/25/35 | 898 | |||||||||
2,510 | Series 2005-90, Class ES, IF, 16.216%, 10/25/35 | 3,141 | |||||||||
1,796 | Series 2005-90, Class PO, PO, 09/25/35 | 1,710 | |||||||||
538 | Series 2005-96, Class BP, 5.900%, 02/25/15 | 544 | |||||||||
760 | Series 2005-103, Class SC, IF, 10.782%, 07/25/35 | 842 | |||||||||
1,695 | Series 2005-106, Class US, HB, IF, 23.600%, 11/25/35 | 2,565 | |||||||||
1,921 | Series 2005-109, Class PB, 6.000%, 01/25/34 | 2,042 | |||||||||
3,055 | Series 2005-110, Class GJ, 5.500%, 11/25/30 | 3,198 | |||||||||
2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 | 3,024 | |||||||||
1,925 | Series 2005-110, Class MJ, 5.500%, 01/25/33 | 2,067 | |||||||||
2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 | 2,723 | |||||||||
1,386 | Series 2005-116, Class PB, 6.000%, 04/25/34 | 1,509 | |||||||||
4,500 | Series 2005-118, Class ME, 6.000%, 01/25/32 | 4,701 | |||||||||
6,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 | 6,594 | |||||||||
3,246 | Series 2005-123, Class FG, VAR, 0.714%, 07/25/34 | 3,239 | |||||||||
57 | Series 2006-12, Class PA, 5.500%, 03/25/25 | 58 | |||||||||
908 | Series 2006-15, Class OT, PO, 01/25/36 | 880 | |||||||||
1,203 | Series 2006-16, Class FC, VAR, 0.564%, 03/25/36 | 1,197 | |||||||||
1,920 | Series 2006-16, Class HZ, 5.500%, 03/25/36 | 2,119 | |||||||||
854 | Series 2006-23, Class KO, PO, 04/25/36 | 791 | |||||||||
2,479 | Series 2006-27, Class OH, PO, 04/25/36 | 2,250 | |||||||||
1,052 | Series 2006-33, Class ZB, 6.000%, 05/25/36 | 1,077 | |||||||||
2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 | 2,288 | |||||||||
982 | Series 2006-42, Class CF, VAR, 0.714%, 06/25/36 | 982 | |||||||||
3,534 | Series 2006-43, Class VB, 6.500%, 10/25/17 | 3,803 | |||||||||
1,069 | Series 2006-44, Class FP, VAR, 0.664%, 06/25/36 | 1,068 | |||||||||
1,940 | Series 2006-44, Class GO, PO, 06/25/36 | 1,799 | |||||||||
5,727 | Series 2006-44, Class P, PO, 12/25/33 | 5,281 | |||||||||
1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 | 1,908 | |||||||||
1,192 | Series 2006-50, Class JO, PO, 06/25/36 | 1,068 | |||||||||
2,010 | Series 2006-50, Class PS, PO, 06/25/36 | 1,869 | |||||||||
4,350 | Series 2006-53, Class US, IF, IO, 6.316%, 06/25/36 | 520 | |||||||||
2,525 | Series 2006-56, Class FT, VAR, 1.014%, 07/25/36 | 2,067 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
893 | Series 2006-58, Class AP, PO, 07/25/36 | 829 | |||||||||
1,062 | Series 2006-58, Class FL, VAR, 0.724%, 07/25/36 | 1,062 | |||||||||
2,013 | Series 2006-58, Class PO, PO, 07/25/36 | 1,789 | |||||||||
648 | Series 2006-59, Class CO, PO, 08/25/35 | 634 | |||||||||
3,162 | Series 2006-59, Class QO, PO, 01/25/33 | 3,006 | |||||||||
1,310 | Series 2006-63, Class ZH, 6.500%, 07/25/36 | 1,531 | |||||||||
803 | Series 2006-65, Class QO, PO, 07/25/36 | 729 | |||||||||
1,432 | Series 2006-72, Class GO, PO, 08/25/36 | 1,295 | |||||||||
979 | Series 2006-72, Class HO, PO, 08/25/26 | 922 | |||||||||
1,331 | Series 2006-72, Class TO, PO, 08/25/36 | 1,192 | |||||||||
6,848 | Series 2006-77, Class PC, 6.500%, 08/25/36 | 7,706 | |||||||||
1,731 | Series 2006-78, Class BZ, 6.500%, 08/25/36 | 1,923 | |||||||||
1,302 | Series 2006-79, Class DO, PO, 08/25/36 | 1,187 | |||||||||
1,231 | Series 2006-86, Class OB, PO, 09/25/36 | 1,114 | |||||||||
1,168 | Series 2006-90, Class AO, PO, 09/25/36 | 1,070 | |||||||||
340 | Series 2006-94, Class GK, HB, IF, 31.931%, 10/25/26 | 541 | |||||||||
1,593 | Series 2006-110, Class PO, PO, 11/25/36 | 1,404 | |||||||||
638 | Series 2006-111, Class EO, PO, 11/25/36 | 591 | |||||||||
1,668 | Series 2006-113, Class PO, PO, 07/25/36 | 1,563 | |||||||||
1,456 | Series 2006-115, Class OK, PO, 12/25/36 | 1,268 | |||||||||
4,381 | Series 2006-117, Class GS, IF, IO, 6.386%, 12/25/36 | 383 | |||||||||
963 | Series 2006-118, Class A2, VAR, 0.324%, 12/25/36 | 946 | |||||||||
1,587 | Series 2006-119, Class PO, PO, 12/25/36 | 1,421 | |||||||||
2,326 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 | 416 | |||||||||
2,301 | Series 2006-126, Class AO, PO, 01/25/37 | 2,066 | |||||||||
3,295 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 | 530 | |||||||||
290 | Series 2007-1, Class SD, HB, IF, 37.417%, 02/25/37 | 386 | |||||||||
3,041 | Series 2007-7, Class SG, IF, IO, 6.236%, 08/25/36 | 341 | |||||||||
7,941 | Series 2007-14, Class ES, IF, IO, 6.176%, 03/25/37 | 1,059 | |||||||||
1,443 | Series 2007-14, Class OP, PO, 03/25/37 | 1,290 | |||||||||
588 | Series 2007-15, Class NO, PO, 03/25/22 | 557 | |||||||||
2,557 | Series 2007-16, Class FC, VAR, 1.014%, 03/25/37 | 2,582 | |||||||||
3,498 | Series 2007-16, Class FM, VAR, 0.494%, 03/25/37 | 3,483 | |||||||||
2,422 | Series 2007-22, Class SC, IF, IO, 5.816%, 03/25/37 | 201 | |||||||||
1,500 | Series 2007-24, Class GW, 5.500%, 03/25/29 | 1,656 | |||||||||
333 | Series 2007-39, Class EF, VAR, 0.514%, 05/25/37 | 327 | |||||||||
753 | Series 2007-43, Class FL, VAR, 0.564%, 05/25/37 | 750 | |||||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 | 1,598 | |||||||||
3,350 | Series 2007-54, Class FA, VAR, 0.664%, 06/25/37 | 3,349 | |||||||||
5,386 | Series 2007-54, Class WI, IF, IO, 5.836%, 06/25/37 | 631 | |||||||||
2,948 | Series 2007-60, Class AX, IF, IO, 6.886%, 07/25/37 | 430 | |||||||||
2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 | 2,725 | |||||||||
3,238 | Series 2007-64, Class FB, VAR, 0.634%, 07/25/37 | 3,240 | |||||||||
8,701 | Series 2007-65, Class KI, IF, IO, 6.356%, 07/25/37 | 746 | |||||||||
9,884 | Series 2007-72, Class EK, IF, IO, 6.136%, 07/25/37 | 991 | |||||||||
2,897 | Series 2007-75, Class EO, PO, 01/25/36 | 2,821 | |||||||||
2,405 | Series 2007-76, Class ZG, 6.000%, 08/25/37 | 2,658 | |||||||||
3,277 | Series 2007-77, Class FG, VAR, 0.764%, 03/25/37 | 3,283 | |||||||||
1,500 | Series 2007-78, Class CB, 6.000%, 08/25/37 | 1,690 | |||||||||
2,000 | Series 2007-79, Class PB, 5.000%, 04/25/29 | 2,097 | |||||||||
393 | Series 2007-79, Class SB, HB, IF, 23.050%, 08/25/37 | 576 | |||||||||
1,020 | Series 2007-88, Class VI, IF, IO, 6.276%, 09/25/37 | 133 | |||||||||
3,305 | Series 2007-91, Class ES, IF, IO, 6.196%, 10/25/37 | 477 | |||||||||
867 | Series 2007-97, Class MS, IF, 14.183%, 12/25/31 | 931 | |||||||||
773 | Series 2007-98, Class VA, 6.000%, 11/25/17 | 830 | |||||||||
6,665 | Series 2007-100, Class SM, IF, IO, 6.186%, 10/25/37 | 889 | |||||||||
1,148 | Series 2007-106, Class A7, VAR, 6.061%, 10/25/37 | 1,217 | |||||||||
7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 | 8,077 | |||||||||
7,659 | Series 2007-112, Class SA, IF, IO, 6.186%, 12/25/37 | 1,082 | |||||||||
14,000 | Series 2007-114, Class A6, VAR, 0.464%, 10/27/37 | 13,975 | |||||||||
7,493 | Series 2007-116, Class HI, IO, VAR, 6.329%, 01/25/38 | 513 | |||||||||
512 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 | 31 | |||||||||
5,712 | Series 2008-1, Class BI, IF, IO, 5.646%, 02/25/38 | 589 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
1,999 | Series 2008-10, Class XI, IF, IO, 5.966%, 03/25/38 | 213 | |||||||||
1,701 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 | 189 | |||||||||
5,613 | Series 2008-16, Class IS, IF, IO, 5.936%, 03/25/38 | 484 | |||||||||
3,253 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 | 394 | |||||||||
3,701 | Series 2008-20, Class SA, IF, IO, 6.726%, 03/25/38 | 495 | |||||||||
1,308 | Series 2008-27, Class SN, IF, IO, 6.636%, 04/25/38 | 155 | |||||||||
2,134 | Series 2008-32, Class SA, IF, IO, 6.586%, 04/25/38 | 303 | |||||||||
12,399 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 | 46 | |||||||||
6,305 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 | 72 | |||||||||
5,218 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 | 499 | |||||||||
590 | Series 2008-44, Class PO, PO, 05/25/38 | 560 | |||||||||
4,589 | Series 2008-47, Class SI, IF, IO, 6.236%, 06/25/23 | 466 | |||||||||
6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 | 6,605 | |||||||||
2,188 | Series 2008-53, Class CI, IF, IO, 6.936%, 07/25/38 | 246 | |||||||||
523 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 | 19 | |||||||||
3,962 | Series 2008-80, Class SA, IF, IO, 5.586%, 09/25/38 | 361 | |||||||||
1,616 | Series 2008-81, Class SB, IF, IO, 5.586%, 09/25/38 | 135 | |||||||||
2,000 | Series 2008-95, Class BA, 5.000%, 01/25/24 | 2,281 | |||||||||
884 | Series 2009-4, Class BD, 4.500%, 02/25/39 | 928 | |||||||||
1,934 | Series 2009-6, Class GS, IF, IO, 6.286%, 02/25/39 | 227 | |||||||||
4,527 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 | 551 | |||||||||
3,519 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 | 335 | |||||||||
1,800 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 | 114 | |||||||||
2,900 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 | 181 | |||||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 | 781 | |||||||||
1,319 | Series 2009-47, Class MT, 7.000%, 07/25/39 | 1,448 | |||||||||
4,556 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 | 662 | |||||||||
778 | Series 2009-63, Class P, 5.000%, 03/25/37 | 831 | |||||||||
1,192 | Series 2009-69, Class PO, PO, 09/25/39 | 1,089 | |||||||||
1,031 | Series 2009-79, Class UA, 7.000%, 03/25/38 | 1,195 | |||||||||
5,259 | Series 2009-84, Class WS, IF, IO, 5.636%, 10/25/39 | 412 | |||||||||
3,373 | Series 2009-99, Class SC, IF, IO, 5.916%, 12/25/39 | 284 | |||||||||
1,844 | Series 2009-99, Class WA, VAR, 6.290%, 12/25/39 | 2,123 | |||||||||
10,165 | Series 2009-103, Class MB, 4.000%, 12/25/39 | 10,760 | |||||||||
6,823 | Series 2010-1, Class WA, VAR, 6.130%, 02/25/40 (m) | 7,578 | |||||||||
3,756 | Series 2010-16, Class WA, 6.428%, 03/25/40 | 4,108 | |||||||||
4,074 | Series 2010-16, Class WB, 6.237%, 03/25/40 | 4,540 | |||||||||
4,597 | Series 2010-23, Class KS, IF, IO, 6.836%, 02/25/40 | 611 | |||||||||
7,348 | Series 2010-35, Class SB, IF, IO, 6.156%, 04/25/40 | 662 | |||||||||
1,795 | Series 2010-39, Class OT, PO, 10/25/35 | 1,591 | |||||||||
2,442 | Series 2010-47, Class AV, 5.000%, 05/25/21 | 2,683 | |||||||||
2,215 | Series 2010-61, Class WA, 5.950%, 06/25/40 | 2,441 | |||||||||
12,572 | Series 2010-64, Class DM, 5.000%, 06/25/40 (m) | 13,647 | |||||||||
8,245 | Series 2010-68, Class SA, IF, IO, 4.736%, 07/25/40 | 700 | |||||||||
28 | Series G92-4, Class F, VAR, 2.040%, 12/25/21 | 28 | |||||||||
124 | Series G92-7, Class JQ, 8.500%, 01/25/22 | 149 | |||||||||
25 | Series G92-12, Class B, 7.700%, 02/25/22 | 29 | |||||||||
38 | Series G92-14, Class Z, 7.000%, 02/25/22 | 42 | |||||||||
31 | Series G92-15, Class Z, 7.000%, 01/25/22 | 31 | |||||||||
— | (h) | Series G92-27, Class SQ, HB, IF, 1,698.030%, 05/25/22 | 21 | ||||||||
25 | Series G92-42, Class Z, 7.000%, 07/25/22 | 29 | |||||||||
809 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 963 | |||||||||
139 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 158 | |||||||||
247 | Series G92-61, Class Z, 7.000%, 10/25/22 | 276 | |||||||||
26 | Series G92-62, Class B, PO, 10/25/22 | 23 | |||||||||
162 | Series G93-1, Class KA, 7.900%, 01/25/23 | 188 | |||||||||
107 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 | 115 | |||||||||
884 | Series G94-7, Class PJ, 7.500%, 05/17/24 | 1,040 | |||||||||
140 | Series G97-2, Class ZA, 8.500%, 02/17/27 | 169 | |||||||||
Federal National Mortgage Association STRIPS, | |||||||||||
15 | Series 23, Class 2, IO, 10.000%, 09/01/17 | 3 | |||||||||
10 | Series 59, Class 2, IO, 9.500%, 07/01/17 | 2 | |||||||||
585 | Series 213, Class 2, IO, 8.000%, 03/01/23 | 126 | |||||||||
19 | Series 265, Class 2, 9.000%, 03/01/24 | 22 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
42 | Series 285, Class 1, PO, 02/01/27 | 36 | |||||||||
985 | Series 331, Class 13, IO, 7.000%, 02/01/33 | 168 | |||||||||
2,935 | Series 339, Class 18, IO, 4.500%, 07/01/18 | 238 | |||||||||
3,022 | Series 339, Class 21, IO, 4.500%, 07/01/18 | 263 | |||||||||
2,435 | Series 339, Class 28, IO, 5.500%, 07/01/18 | 252 | |||||||||
5,395 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 | 541 | |||||||||
1,310 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 | 174 | |||||||||
1,879 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 | 225 | |||||||||
2,662 | Series 356, Class 3, IO, 5.000%, 01/01/35 | 333 | |||||||||
4,221 | Series 356, Class 39, IO, 5.000%, 01/01/20 | 428 | |||||||||
3,956 | Series 365, Class 8, IO, 5.500%, 05/01/36 | 482 | |||||||||
817 | Series 368, Class 3, IO, 4.500%, 11/01/20 | 68 | |||||||||
1,534 | Series 374, Class 5, IO, 5.500%, 08/01/36 | 186 | |||||||||
4,805 | Series 383, Class 32, IO, 6.000%, 01/01/38 | 745 | |||||||||
777 | Series 393, Class 6, IO, 5.500%, 04/25/37 | 126 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
2,245 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 | 2,602 | |||||||||
26 | Series 2002-W5, Class A10, IF, IO, 7.836%, 11/25/30 | 1 | |||||||||
10,691 | Series 2002-W10, Class IO, IO, VAR, 0.981%, 08/25/42 | 241 | |||||||||
646 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 | 727 | |||||||||
365 | Series 2003-W1, Class 2A, VAR, 7.500%, 12/25/42 | 429 | |||||||||
714 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 | 804 | |||||||||
130 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 | 147 | |||||||||
885 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 | 1,026 | |||||||||
898 | Series 2003-W8, Class 3F1, VAR, 0.664%, 05/25/42 | 891 | |||||||||
980 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 | 1,058 | |||||||||
1,097 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 | 1,272 | |||||||||
1,399 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 | 1,622 | |||||||||
1,419 | Series 2005-W3, Class 2AF, VAR, 0.484%, 03/25/45 | 1,413 | |||||||||
1,236 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 | 1,349 | |||||||||
1,739 | Series 2006-W2, Class 1AF1, VAR, 0.484%, 02/25/36 | 1,724 | |||||||||
1,095 | Series 2006-W3, Class 1AF1, VAR, 0.504%, 10/25/46 | 1,091 | |||||||||
1,344 | Series 2006-W3, Class 2A, 6.000%, 09/25/46 | 1,467 | |||||||||
16,723 | Series 2007-W1, Class 1AF1, VAR, 0.524%, 11/25/46 (m) | 16,635 | |||||||||
3,152 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 | 3,550 | |||||||||
492 | Series 2007-W7, Class 1A4, HB, IF, 37.598%, 07/25/37 | 714 | |||||||||
Government National Mortgage Association, | |||||||||||
114 | Series 1994-4, Class KQ, 7.988%, 07/16/24 | 135 | |||||||||
1,711 | Series 1994-7, Class PQ, 6.500%, 10/16/24 | 1,929 | |||||||||
237 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) | 275 | |||||||||
47 | Series 1997-2, Class E, 7.500%, 02/20/27 | 55 | |||||||||
54 | Series 1997-11, Class D, 7.500%, 07/20/27 | 63 | |||||||||
97 | Series 1998-26, Class K, 7.500%, 09/17/25 | 113 | |||||||||
561 | Series 1999-4, Class ZB, 6.000%, 02/20/29 | 611 | |||||||||
177 | Series 1999-41, Class Z, 8.000%, 11/16/29 | 210 | |||||||||
21 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 | 27 | |||||||||
98 | Series 1999-44, Class PC, 7.500%, 12/20/29 | 115 | |||||||||
471 | Series 1999-44, Class ZG, 8.000%, 12/20/29 | 559 | |||||||||
282 | Series 2000-6, Class Z, 7.500%, 02/20/30 | 331 | |||||||||
432 | Series 2000-7, Class ST, HB, IF, 37.942%, 01/16/30 | 917 | |||||||||
191 | Series 2000-9, Class Z, 8.000%, 06/20/30 | 228 | |||||||||
1,100 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 | 1,322 | |||||||||
799 | Series 2000-10, Class ZP, 7.500%, 02/16/30 | 883 | |||||||||
427 | Series 2000-12, Class ST, HB, IF, 37.942%, 02/16/30 | 871 | |||||||||
110 | Series 2000-16, Class ZN, 7.500%, 02/16/30 | 120 | |||||||||
986 | Series 2000-21, Class Z, 9.000%, 03/16/30 | 1,185 | |||||||||
158 | Series 2000-26, Class Z, 7.750%, 09/20/30 | 188 | |||||||||
60 | Series 2000-36, Class HC, 7.330%, 11/20/30 | 70 | |||||||||
34 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 | 9 | |||||||||
175 | Series 2000-38, Class AH, 7.150%, 12/20/30 | 203 | |||||||||
1,906 | Series 2001-21, Class PE, 6.500%, 05/16/31 | 2,150 | |||||||||
310 | Series 2001-31, Class SJ, HB, IF, 27.068%, 02/20/31 | 519 | |||||||||
23 | Series 2001-32, Class WA, IF, 19.459%, 07/20/31 | 35 | |||||||||
206 | Series 2001-35, Class SA, IF, IO, 7.974%, 08/16/31 | 52 | |||||||||
190 | Series 2001-36, Class S, IF, IO, 7.774%, 08/16/31 | 40 | |||||||||
1,319 | Series 2001-53, Class SR, IF, IO, 7.884%, 10/20/31 | 142 | |||||||||
72 | Series 2001-55, Class SF, HB, IF, 25.362%, 11/20/31 | 110 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
777 | Series 2002-4, Class TD, 7.000%, 01/20/32 | 899 | |||||||||
224 | Series 2002-7, Class PG, 6.500%, 01/20/32 | 253 | |||||||||
840 | Series 2002-24, Class AG, IF, IO, 7.674%, 04/16/32 | 163 | |||||||||
229 | Series 2002-24, Class SB, IF, 11.511%, 04/16/32 | 277 | |||||||||
641 | Series 2002-24, Class Z, 8.500%, 04/16/32 | 771 | |||||||||
1,730 | Series 2002-31, Class SE, IF, IO, 7.224%, 04/16/30 | 248 | |||||||||
70 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 | 83 | |||||||||
575 | Series 2002-40, Class UK, 6.500%, 06/20/32 | 611 | |||||||||
152 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 | 180 | |||||||||
338 | Series 2002-45, Class QE, 6.500%, 06/20/32 | 370 | |||||||||
437 | Series 2002-47, Class PG, 6.500%, 07/16/32 | 493 | |||||||||
57 | Series 2002-51, Class SG, HB, IF, 31.346%, 04/20/31 | 92 | |||||||||
226 | Series 2002-54, Class GB, 6.500%, 08/20/32 | 244 | |||||||||
376 | Series 2002-69, Class PO, PO, 02/20/32 | 363 | |||||||||
314 | Series 2002-70, Class AV, 6.000%, 03/20/12 | 322 | |||||||||
546 | Series 2002-70, Class PS, IF, IO, 7.434%, 08/20/32 | 54 | |||||||||
183 | Series 2002-88, Class VA, 6.000%, 12/20/17 | 184 | |||||||||
1,293 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 | 59 | |||||||||
417 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 | 26 | |||||||||
380 | Series 2003-4, Class NY, 5.500%, 12/20/13 | 408 | |||||||||
747 | Series 2003-8, Class PO, PO, 01/16/32 | 723 | |||||||||
1,953 | Series 2003-11, Class SK, IF, IO, 7.424%, 02/16/33 | 320 | |||||||||
4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 | 832 | |||||||||
53 | Series 2003-24, Class PO, PO, 03/16/33 | 46 | |||||||||
823 | Series 2003-34, Class TO, PO, 02/16/32 | 801 | |||||||||
1,905 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 | 403 | |||||||||
2,861 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 | 316 | |||||||||
41 | Series 2003-66, Class ED, 5.000%, 08/20/28 | 41 | |||||||||
669 | Series 2003-76, Class LS, IF, IO, 6.934%, 09/20/31 | 55 | |||||||||
121 | Series 2003-90, Class PO, PO, 10/20/33 | 105 | |||||||||
227 | Series 2003-98, Class PC, 5.000%, 02/20/29 | 229 | |||||||||
1,768 | Series 2003-112, Class SA, IF, IO, 6.274%, 12/16/33 | 261 | |||||||||
6,000 | Series 2003-112, Class TS, IF, IO, 6.684%, 10/20/32 | 992 | |||||||||
5,345 | Series 2004-11, Class SW, IF, IO, 5.234%, 02/20/34 | 650 | |||||||||
426 | Series 2004-15, Class SA, IF, 18.930%, 12/20/32 | 508 | |||||||||
723 | Series 2004-24, Class SA, IF, IO, 6.924%, 04/16/31 | 10 | |||||||||
310 | Series 2004-28, Class S, IF, 18.904%, 04/16/34 | 443 | |||||||||
650 | Series 2004-34, Class SZ, IF, 7.500%, 02/20/34 | 688 | |||||||||
701 | Series 2004-46, Class AO, PO, 06/20/34 | 634 | |||||||||
4,341 | Series 2004-59, Class SG, IF, IO, 6.234%, 07/20/34 | 575 | |||||||||
1,140 | Series 2004-68, Class PO, PO, 05/20/31 | 1,105 | |||||||||
240 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 | 260 | |||||||||
330 | Series 2004-73, Class AE, IF, 14.294%, 08/17/34 | 397 | |||||||||
4,957 | Series 2004-73, Class JL, IF, IO, 6.274%, 09/16/34 | 741 | |||||||||
1,620 | Series 2004-85, Class PO, PO, 01/17/33 | 1,558 | |||||||||
2,597 | Series 2004-90, Class SI, IF, IO, 5.834%, 10/20/34 | 319 | |||||||||
2,179 | Series 2005-3, Class SB, IF, IO, 5.834%, 01/20/35 | 269 | |||||||||
4,284 | Series 2005-17, Class SL, IF, IO, 6.434%, 07/20/34 | 685 | |||||||||
700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 | 157 | |||||||||
332 | Series 2005-35, Class FL, VAR, 0.616%, 03/20/32 | 331 | |||||||||
3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 | 890 | |||||||||
1,074 | Series 2005-68, Class DP, IF, 15.779%, 06/17/35 | 1,351 | |||||||||
5,122 | Series 2005-68, Class KI, IF, IO, 6.034%, 09/20/35 | 787 | |||||||||
1,168 | Series 2005-69, Class SY, IF, IO, 6.484%, 11/20/33 | 200 | |||||||||
1,310 | Series 2005-72, Class AZ, 5.500%, 09/20/35 | 1,478 | |||||||||
2,179 | Series 2005-85, Class IO, IO, 5.500%, 01/16/35 | 290 | |||||||||
545 | Series 2005-93, Class JO, PO, 03/20/31 | 533 | |||||||||
1,109 | Series 2006-16, Class OP, PO, 03/20/36 | 1,034 | |||||||||
860 | Series 2006-34, Class PO, PO, 07/20/36 | 797 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
3,290 | Series 2006-38, Class SW, IF, IO, 6.234%, 06/20/36 | 299 | |||||||||
920 | Series 2006-59, Class SD, IF, IO, 6.434%, 10/20/36 | 87 | |||||||||
3,228 | Series 2007-9, Class DI, IF, IO, 6.244%, 03/20/37 | 362 | |||||||||
985 | Series 2007-17, Class AF, VAR, 0.476%, 04/16/37 | 980 | |||||||||
4,986 | Series 2007-17, Class JI, IF, IO, 6.534%, 04/16/37 | 667 | |||||||||
686 | Series 2007-17, Class JO, PO, 04/16/37 | 652 | |||||||||
589 | Series 2007-25, Class FN, VAR, 0.576%, 05/16/37 | 587 | |||||||||
4,328 | Series 2007-26, Class SC, IF, IO, 5.934%, 05/20/37 | 421 | |||||||||
10,378 | Series 2007-26, Class SW, IF, IO, 5.934%, 05/20/37 | 1,038 | |||||||||
1,708 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 | 156 | |||||||||
197 | Series 2007-28, Class BO, PO, 05/20/37 | 183 | |||||||||
494 | Series 2007-35, Class TO, PO, 04/20/35 | 484 | |||||||||
183 | Series 2007-36, Class HO, PO, 06/16/37 | 171 | |||||||||
3,663 | Series 2007-36, Class SE, IF, IO, 6.194%, 06/16/37 | 430 | |||||||||
5,767 | Series 2007-36, Class SG, IF, IO, 6.204%, 06/20/37 | 576 | |||||||||
3,076 | Series 2007-40, Class SD, IF, IO, 6.484%, 07/20/37 | 298 | |||||||||
3,044 | Series 2007-42, Class SB, IF, IO, 6.484%, 07/20/37 | 292 | |||||||||
1,328 | Series 2007-45, Class QA, IF, IO, 6.374%, 07/20/37 | 166 | |||||||||
3,088 | Series 2007-50, Class AI, IF, IO, 6.509%, 08/20/37 | 296 | |||||||||
619 | Series 2007-53, Class SW, IF, 19.406%, 09/20/37 | 801 | |||||||||
2,998 | Series 2007-57, Class PO, PO, 03/20/37 | 2,734 | |||||||||
3,041 | Series 2007-57, Class QA, IF, IO, 6.234%, 10/20/37 | 333 | |||||||||
2,000 | Series 2007-70, Class TA, 5.750%, 08/20/36 | 2,148 | |||||||||
4,396 | Series 2007-71, Class SB, IF, IO, 6.434%, 07/20/36 | 331 | |||||||||
5,478 | Series 2007-74, Class SL, IF, IO, 6.264%, 11/16/37 | 808 | |||||||||
2,968 | Series 2007-76, Class SA, IF, IO, 6.264%, 11/20/37 | 297 | |||||||||
4,449 | Series 2007-79, Class SY, IF, IO, 6.284%, 12/20/37 | 393 | |||||||||
1,518 | Series 2007-81, Class SP, IF, IO, 6.384%, 12/20/37 | 133 | |||||||||
1,191 | Series 2007-82, Class SA, IF, IO, 6.264%, 12/20/37 | 119 | |||||||||
2,143 | Series 2008-2, Class MS, IF, IO, 6.884%, 01/16/38 | 235 | |||||||||
1,530 | Series 2008-10, Class S, IF, IO, 5.564%, 02/20/38 | 108 | |||||||||
5,086 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 | 1,019 | |||||||||
1,402 | Series 2008-20, Class PO, PO, 09/20/37 | 1,325 | |||||||||
1,553 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 | 112 | |||||||||
3,099 | Series 2008-25, Class SB, IF, IO, 6.634%, 03/20/38 | 292 | |||||||||
1,427 | Series 2008-29, Class PO, PO, 02/17/33 | 1,334 | |||||||||
2,961 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 | 434 | |||||||||
1,331 | Series 2008-33, Class XS, IF, IO, 7.424%, 04/16/38 | 155 | |||||||||
1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 | 1,712 | |||||||||
3,236 | Series 2008-36, Class SH, IF, IO, 6.034%, 04/20/38 | 274 | |||||||||
7,212 | Series 2008-40, Class SA, IF, IO, 6.124%, 05/16/38 | 1,013 | |||||||||
3,569 | Series 2008-41, Class SA, IF, IO, 6.074%, 05/20/38 | 305 | |||||||||
845 | Series 2008-47, Class V, 5.500%, 05/16/19 | 965 | |||||||||
2,108 | Series 2008-55, Class SA, IF, IO, 5.934%, 06/20/38 | 197 | |||||||||
1,833 | Series 2008-60, Class PO, PO, 01/20/38 | 1,770 | |||||||||
8,989 | Series 2008-62, Class SA, IF, IO, 5.884%, 07/20/38 | 1,090 | |||||||||
3,316 | Series 2008-64, Class ED, 6.500%, 04/20/28 | 3,492 | |||||||||
1,024 | Series 2008-71, Class SC, IF, IO, 5.734%, 08/20/38 | 100 | |||||||||
2,588 | Series 2008-93, Class AS, IF, IO, 5.434%, 12/20/38 | 179 | |||||||||
2,131 | Series 2008-96, Class SL, IF, IO, 5.734%, 12/20/38 | 169 | |||||||||
3,481 | Series 2009-6, Class SA, IF, IO, 5.824%, 02/16/39 | 269 | |||||||||
5,033 | Series 2009-10, Class SA, IF, IO, 5.684%, 02/20/39 | 432 | |||||||||
3,702 | Series 2009-10, Class SL, IF, IO, 6.224%, 03/16/34 | 340 | |||||||||
5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 | 1,299 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
2,693 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 | 322 | |||||||||
2,828 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 296 | |||||||||
4,156 | Series 2009-24, Class DS, IF, IO, 6.034%, 03/20/39 | 344 | |||||||||
2,010 | Series 2009-25, Class SE, IF, IO, 7.334%, 09/20/38 | 237 | |||||||||
1,597 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 | 186 | |||||||||
2,727 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 | 315 | |||||||||
2,344 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 | 169 | |||||||||
7,036 | Series 2009-42, Class SC, IF, IO, 5.814%, 06/20/39 | 641 | |||||||||
3,577 | Series 2009-43, Class SA, IF, IO, 5.684%, 06/20/39 | 301 | |||||||||
919 | Series 2009-44, Class VA, 5.500%, 05/16/20 | 1,008 | |||||||||
1,475 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 | 136 | |||||||||
6,245 | Series 2009-67, Class SA, IF, IO, 5.774%, 08/16/39 | 569 | |||||||||
970 | Series 2009-79, Class OK, PO, 11/16/37 | 904 | |||||||||
7,345 | Series 2009-83, Class TS, IF, IO, 5.834%, 08/20/39 | 654 | |||||||||
2,355 | Series 2009-104, Class AB, 7.000%, 08/16/39 | 2,671 | |||||||||
6,244 | Series 2009-106, Class AS, IF, IO, 6.124%, 11/16/39 | 499 | |||||||||
2,500 | Series 2010-14, Class CO, PO, 08/20/35 | 1,981 | |||||||||
4,768 | Series 2010-41, Class WA, VAR, 5.867%, 10/20/33 | 5,230 | |||||||||
3,000 | Series 2010-103, Class WA, VAR, 5.768%, 08/20/34 | 3,364 | |||||||||
Vendee Mortgage Trust, | |||||||||||
6,958 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 | 7,849 | |||||||||
877 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 | 957 | |||||||||
484 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 | 559 | |||||||||
954 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 | 1,118 | |||||||||
715 | Series 1998-1, Class 2E, 7.000%, 03/15/28 | 827 | |||||||||
934,392 | |||||||||||
Non-Agency CMO — 26.8% | |||||||||||
ABN Amro Mortgage Corp., | |||||||||||
665 | Series 2003-6, Class 2A1, 4.644%, 05/25/18 | 670 | |||||||||
125 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 128 | |||||||||
132 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 131 | |||||||||
American General Mortgage Loan Trust, | |||||||||||
1,713 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) | 1,842 | |||||||||
4,000 | Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 4,103 | |||||||||
3,000 | Series 2009-1, Class A5, VAR, 5.750%, 09/25/48 (e) | 3,093 | |||||||||
5,300 | Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e) | 5,106 | |||||||||
3,293 | Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e) | 3,378 | |||||||||
1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 2.159%, 09/25/35 | 718 | |||||||||
ASG Resecuritization Trust, | |||||||||||
1,686 | Series 2009-1, Class A60, VAR, 5.489%, 06/26/37 (e) | 1,703 | |||||||||
2,343 | Series 2009-2, Class A55, VAR, 5.570%, 05/24/36 (e) | 2,361 | |||||||||
5,592 | Series 2009-3, Class A65, VAR, 5.438%, 03/26/37 (e) | 5,580 | |||||||||
5,949 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) | 6,009 | |||||||||
5,172 | Series 2010-1, Class A85, VAR, 0.727%, 02/27/36 (e) | 4,810 | |||||||||
10,957 | Series 2010-2, Class A60, VAR, 5.189%, 01/28/37 (e) | 10,902 | |||||||||
4,393 | Series 2010-3, Class 2A22, VAR, 0.523%, 10/28/36 (e) | 4,283 | |||||||||
Banc of America Alternative Loan Trust, | |||||||||||
347 | Series 2003-3, Class APO, PO, 05/25/33 | 229 | |||||||||
2,836 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 | 2,919 | |||||||||
1,141 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 | 1,167 | |||||||||
931 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 | 978 | |||||||||
476 | Series 2003-11, Class PO, PO, 01/25/34 | 330 | |||||||||
449 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 | 450 | |||||||||
1,235 | Series 2004-6, Class 3A2, 6.000%, 07/25/34 | 1,260 | |||||||||
4,665 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 | 723 | |||||||||
4,109 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 | 609 | |||||||||
Banc of America Funding Corp., | |||||||||||
1,153 | Series 2003-3, Class 1A33, 5.500%, 10/25/33 | 1,176 | |||||||||
420 | Series 2004-1, Class PO, PO, 03/25/34 | 302 | |||||||||
1,878 | Series 2004-3, Class 1A1, 5.500%, 10/25/34 | 1,929 | |||||||||
469 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 | 468 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
2,307 | Series 2004-C, Class 1A1, VAR, 5.032%, 12/20/34 | 2,359 | |||||||||
2,446 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 | 375 | |||||||||
567 | Series 2005-4, Class 30PO, PO, 08/25/35 | 358 | |||||||||
1,402 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 | 1,310 | |||||||||
220 | Series 2005-7, Class 30PO, PO, 11/25/35 | 139 | |||||||||
1,059 | Series 2005-8, Class 30PO, PO, 01/25/36 | 665 | |||||||||
2,087 | Series 2005-E, Class 4A1, VAR, 2.959%, 03/20/35 | 1,999 | |||||||||
1,207 | Series 2010-R4, Class 5A1, VAR, 0.412%, 07/26/36 (e) | 1,165 | |||||||||
4,418 | Series 2010-R5, Class 5A6, VAR, 0.562%, 05/26/37 (e) | 4,383 | |||||||||
861 | Series 2010-R7, Class A1, VAR, 0.442%, 06/25/46 (e) | 837 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
637 | Series 2003-3, Class 2A1, VAR, 0.814%, 05/25/18 | 606 | |||||||||
1,852 | Series 2003-6, Class 2A1, VAR, 0.714%, 08/25/18 | 1,785 | |||||||||
1,317 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 | 1,368 | |||||||||
238 | Series 2003-8, Class APO, PO, 11/25/33 | 171 | |||||||||
173 | Series 2003-9, Class 1A2, PO, 12/25/33 | 149 | |||||||||
1,637 | Series 2003-A, Class 4A1, VAR, 3.226%, 02/25/33 | 1,609 | |||||||||
1,333 | Series 2003-C, Class 3A1, VAR, 3.028%, 04/25/33 | 1,373 | |||||||||
2,473 | Series 2003-E, Class 2A2, VAR, 2.870%, 06/25/33 (a) | 2,314 | |||||||||
5,058 | Series 2004-3, Class 15IO, IO, VAR, 0.230%, 04/25/19 | 20 | |||||||||
452 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 456 | |||||||||
312 | Series 2004-4, Class APO, PO, 05/25/34 | 226 | |||||||||
40,647 | Series 2004-5, Class 15IO, IO, VAR, 0.240%, 06/25/19 | 196 | |||||||||
469 | Series 2004-6, Class APO, PO, 07/25/34 | 322 | |||||||||
225 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 | 232 | |||||||||
1,760 | Series 2004-C, Class 2A2, VAR, 3.008%, 04/25/34 | 1,731 | |||||||||
1,581 | Series 2004-J, Class 3A1, VAR, 5.096%, 11/25/34 | 1,451 | |||||||||
BCAP LLC Trust, | |||||||||||
2,872 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) | 2,843 | |||||||||
2,203 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) | 2,225 | |||||||||
1,085 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) | 1,080 | |||||||||
2,000 | Series 2009-RR14, Class 3A2, VAR, 2.918%, 08/26/35 (e) | 1,880 | |||||||||
1,747 | Series 2009-RR14, Class 4A1, VAR, 5.649%, 03/26/36 (e) | 1,738 | |||||||||
2,411 | Series 2010-RR4, Class 2A1, VAR, 1.012%, 06/26/37 (e) | 2,339 | |||||||||
2,747 | Series 2010-RR5, Class 1A4, VAR, 5.000%, 11/26/37 (e) | 2,761 | |||||||||
3,800 | Series 2010-RR5, Class 2A5, VAR, 5.183%, 04/26/37 (e) | 3,766 | |||||||||
2,341 | Series 2010-RR6, Class 5A1, VAR, 5.500%, 11/26/37 (e) | 2,353 | |||||||||
5,520 | Series 2010-RR7, Class 15A1, VAR, 1.142%, 01/26/36 (e) | 5,023 | |||||||||
2,417 | Series 2010-RR7, Class 16A1, VAR, 1.086%, 02/26/47 (e) | 2,236 | |||||||||
8,000 | Series 2010-RR7, Class 1A5, VAR, 5.033%, 04/26/35 (e) | 8,040 | |||||||||
12,861 | Series 2010-RR7, Class 2A1, VAR, 5.104%, 07/26/45 (e) | 12,989 | |||||||||
1,939 | Series 2010-RR8, Class 3A3, VAR, 5.121%, 05/26/35 (e) | 1,981 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, | |||||||||||
1,397 | Series 2003-4, Class 3A1, VAR, 4.997%, 07/25/33 | 1,425 | |||||||||
529 | Series 2003-7, Class 3A, VAR, 3.011%, 10/25/33 | 511 | |||||||||
1,026 | Series 2004-1, Class 12A1, VAR, 3.136%, 04/25/34 | 925 | |||||||||
1,972 | Series 2004-2, Class 14A, VAR, 5.137%, 05/25/34 | 2,061 | |||||||||
2,981 | Series 2005-5, Class A1, VAR, 2.300%, 08/25/35 | 2,825 | |||||||||
3,664 | Series 2006-1, Class A1, VAR, 4.625%, 02/25/36 | 3,273 | |||||||||
1,897 | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1, SUB, 5.250%, 10/25/33 | 1,930 | |||||||||
742 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 | 470 | |||||||||
Chase Mortgage Finance Corp., | |||||||||||
708 | Series 2003-S2, Class A1, 5.000%, 03/25/18 | 725 | |||||||||
515 | Series 2003-S6, Class A1, 5.000%, 06/25/18 | 531 | |||||||||
974 | Series 2003-S10, Class AP, PO, 11/25/18 | 774 | |||||||||
893 | Series 2007-A1, Class 2A1, VAR, 2.894%, 02/25/37 | 881 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
1,380 | Series 2007-A1, Class 7A1, VAR, 2.926%, 02/25/37 | 1,404 | |||||||||
1,685 | Series 2007-A1, Class 9A1, VAR, 4.315%, 02/25/37 | 1,690 | |||||||||
Citicorp Mortgage Securities, Inc., | |||||||||||
75 | Series 2002-11, Class 1A14, 6.000%, 11/25/32 | 78 | |||||||||
1,984 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 | 2,001 | |||||||||
450 | Series 2003-8, Class APO, PO, 08/25/33 | 307 | |||||||||
1,926 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 | 1,976 | |||||||||
2,510 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 | 2,575 | |||||||||
3,297 | Series 2007-3, Class 1A6, IF, IO, 5.136%, 04/25/37 | 219 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
1,514 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 | 1,565 | |||||||||
584 | Series 2003-1, Class PO3, PO, 09/25/33 | 373 | |||||||||
71 | Series 2003-1, Class WA2, 6.500%, 06/25/31 | 74 | |||||||||
154 | Series 2003-1, Class WPO2, PO, 06/25/31 | 115 | |||||||||
182 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 | 186 | |||||||||
1,011 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 | 1,051 | |||||||||
223 | Series 2003-UST1, Class PO1, PO, 12/25/18 | 175 | |||||||||
111 | Series 2003-UST1, Class PO2, PO, 12/25/18 | 90 | |||||||||
82 | Series 2003-UST1, Class PO3, PO, 12/25/18 | 65 | |||||||||
1,083 | Series 2004-UST1, Class A3, VAR, 2.710%, 08/25/34 | 1,062 | |||||||||
1,543 | Series 2004-UST1, Class A6, VAR, 5.081%, 08/25/34 | 1,520 | |||||||||
407 | Series 2005-1, Class 2A1A, VAR, 3.074%, 04/25/35 | 237 | |||||||||
1,200 | Series 2005-5, Class 1A2, VAR, 2.679%, 08/25/35 | 656 | |||||||||
2,937 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) | 2,944 | |||||||||
1,433 | Series 2010-7, Class 10A1, VAR, 2.866%, 02/25/35 (e) | 1,426 | |||||||||
Countrywide Alternative Loan Trust, | |||||||||||
363 | Series 2002-8, Class A4, 6.500%, 07/25/32 | 352 | |||||||||
476 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 | 376 | |||||||||
473 | Series 2003-J1, Class PO, PO, 10/25/33 | 352 | |||||||||
1,498 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 | 1,397 | |||||||||
2,700 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 | 2,697 | |||||||||
252 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 | 256 | |||||||||
3,268 | Series 2005-1CB, Class 1A6, IF, IO, 6.836%, 03/25/35 | 468 | |||||||||
576 | Series 2005-5R, Class A1, 5.250%, 12/25/18 | 594 | |||||||||
9,175 | Series 2005-20CB, Class 3A8, IF, IO, 4.486%, 07/25/35 | 849 | |||||||||
649 | Series 2005-26CB, Class A10, IF, 12.572%, 07/25/35 | 663 | |||||||||
272 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 | 259 | |||||||||
410 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 | 326 | |||||||||
2,054 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 | 1,653 | |||||||||
13,617 | Series 2005-54CB, Class 1A2, IF, IO, 4.586%, 11/25/35 | 1,471 | |||||||||
217 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 | 204 | |||||||||
1,586 | Series 2005-57CB, Class 3A2, IF, IO, 4.836%, 12/25/35 | 192 | |||||||||
893 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 | 545 | |||||||||
1,246 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 | 849 | |||||||||
8,992 | Series 2005-22T1, Class A2, IF, IO, 4.806%, 06/25/35 | 946 | |||||||||
14,732 | Series 2005-37T1, Class A2, IF, IO, 4.786%, 09/25/35 | 1,798 | |||||||||
6,331 | Series 2005-J1, Class 1A4, IF, IO, 4.836%, 02/25/35 | 583 | |||||||||
34,074 | Series 2006-7CB, Class 1A2, IF, IO, 5.036%, 05/25/36 | 3,950 | |||||||||
1,376 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 | 961 | |||||||||
2,500 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) | 607 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
2,035 | Series 2002-36, Class A22, 6.000%, 01/25/33 | 2,012 | |||||||||
235 | Series 2003-18, Class A12, 5.500%, 07/25/33 | 222 | |||||||||
1,120 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 | 1,062 | |||||||||
116 | Series 2003-34, Class A11, 5.250%, 09/25/33 | 118 | |||||||||
600 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 620 | |||||||||
2,836 | Series 2003-39, Class A6, 5.000%, 10/25/33 | 2,840 | |||||||||
212 | Series 2003-44, Class A9, PO, 10/25/33 | 179 | |||||||||
769 | Series 2003-J7, Class 4A3, IF, 9.432%, 08/25/18 | 804 | |||||||||
322 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 | 333 | |||||||||
2,136 | Series 2003-J13, Class 1A7, 5.250%, 01/25/34 | 2,183 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
365 | Series 2004-3, Class PO, PO, 04/25/34 | 261 | |||||||||
298 | Series 2004-7, Class 2A1, VAR, 2.424%, 06/25/34 | 282 | |||||||||
1,578 | Series 2004-28R, Class A1, 5.500%, 08/25/33 | 1,613 | |||||||||
445 | Series 2004-HYB1, Class 2A, VAR, 3.297%, 05/20/34 | 375 | |||||||||
1,599 | Series 2004-HYB3, Class 2A, VAR, 2.612%, 06/20/34 | 1,310 | |||||||||
1,098 | Series 2004-HYB6, Class A3, VAR, 3.399%, 11/20/34 | 928 | |||||||||
911 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 | 945 | |||||||||
1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 | 1,046 | |||||||||
2,914 | Series 2005-22, Class 2A1, VAR, 5.021%, 11/25/35 | 2,163 | |||||||||
9,117 | Series 2007-4, Class 1A52, IF, IO, 5.136%, 05/25/37 | 929 | |||||||||
Credit Suisse Mortgage Capital Certificates, | |||||||||||
3,991 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) | 3,991 | |||||||||
1,840 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) | 1,851 | |||||||||
7,225 | Series 2010-11R, Class A1, VAR, 1.260%, 06/28/47 (e) | 7,252 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
1,479 | Series 2003-1, Class DB1, 6.564%, 02/25/33 | 1,324 | |||||||||
3,560 | Series 2003-27, Class 5A3, 5.250%, 11/25/33 | 3,648 | |||||||||
1,017 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 | 1,051 | |||||||||
689 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 | 713 | |||||||||
1,542 | Series 2003-AR15, Class 3A1, VAR, 2.748%, 06/25/33 | 1,499 | |||||||||
134 | Series 2004-4, Class 3A5, 5.500%, 08/25/34 | 133 | |||||||||
3,075 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 | 3,074 | |||||||||
3,592 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 | 560 | |||||||||
2,473 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 | 392 | |||||||||
1,199 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.585%, 02/25/20 | 1,170 | |||||||||
1,255 | Deutsche Mortgage Securities, Inc., Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) | 1,224 | |||||||||
First Horizon Alternative Mortgage Securities, | |||||||||||
1,653 | Series 2004-AA4, Class A1, VAR, 2.255%, 10/25/34 | 1,415 | |||||||||
501 | Series 2005-AA5, Class 1A2, VAR, 2.330%, 07/25/35 | 124 | |||||||||
897 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 | 697 | |||||||||
12,733 | Series 2007-FA4, Class 1A2, IF, IO, 5.386%, 08/25/37 | 1,668 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
484 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 | 503 | |||||||||
564 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 583 | |||||||||
2,002 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 | 1,940 | |||||||||
366 | Series 2004-4, Class 2A2, 4.500%, 07/25/19 | 370 | |||||||||
728 | Series 2004-AR2, Class 2A1, VAR, 2.884%, 05/25/34 | 685 | |||||||||
890 | Series 2004-AR7, Class 2A1, VAR, 2.870%, 02/25/35 (m) | 872 | |||||||||
685 | Series 2004-AR7, Class 2A2, VAR, 2.870%, 02/25/35 | 635 | |||||||||
1,711 | Series 2005-AR1, Class 2A2, VAR, 2.875%, 04/25/35 | 1,746 | |||||||||
GMAC Mortgage Corp. Loan Trust, | |||||||||||
1,236 | Series 2003-AR1, Class A4, VAR, 3.784%, 10/19/33 | 1,220 | |||||||||
3,176 | Series 2003-AR2, Class 2A4, VAR, 3.684%, 12/19/33 | 3,083 | |||||||||
351 | Series 2003-J7, Class A10, 5.500%, 11/25/33 | 364 | |||||||||
1,406 | Series 2003-J7, Class A7, 5.000%, 11/25/33 | 1,339 | |||||||||
368 | Series 2003-J8, Class A, 5.250%, 12/25/33 | 382 | |||||||||
544 | Series 2004-J2, Class A2, VAR, 0.764%, 06/25/34 | 503 | |||||||||
3,365 | Series 2004-J5, Class A7, 6.500%, 01/25/35 | 3,445 | |||||||||
2,316 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 | 2,384 | |||||||||
757 | Series 2005-AR3, Class 3A3, VAR, 3.241%, 06/19/35 | 724 | |||||||||
3,424 | Series 2005-AR3, Class 3A4, VAR, 3.241%, 06/19/35 | 2,701 | |||||||||
9,216 | Series 2010-1, Class A, 5.000%, 07/25/40 (e) | 9,392 | |||||||||
GSMPS Mortgage Loan Trust, | |||||||||||
782 | Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e) | 681 | |||||||||
393 | Series 2004-4, Class 1AF, VAR, 0.664%, 06/25/34 (e) | 319 | |||||||||
789 | Series 2005-RP2, Class 1AF, VAR, 0.614%, 03/25/35 (e) | 653 | |||||||||
1,775 | Series 2005-RP3, Class 1AF, VAR, 0.614%, 09/25/35 (e) | 1,490 | |||||||||
4,231 | Series 2006-RP2, Class 1AS2, IF, IO, 5.461%, 04/25/36 (e) | 808 | |||||||||
GSR Mortgage Loan Trust, | |||||||||||
293 | Series 2003-6F, Class A2, VAR, 0.664%, 09/25/32 | 275 | |||||||||
1,449 | Series 2003-7F, Class 1A4, 5.250%, 06/25/33 | 1,505 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
916 | Series 2003-13, Class 1A1, VAR, 4.456%, 10/25/33 | 926 | |||||||||
192 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 | 194 | |||||||||
3,388 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 | 3,467 | |||||||||
265 | Series 2004-10F, Class 1A1, 4.500%, 08/25/19 | 266 | |||||||||
283 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 | 290 | |||||||||
296 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 | 200 | |||||||||
2,098 | Series 2005-5F, Class 2A3, 5.500%, 06/25/35 | 2,125 | |||||||||
3,437 | Series 2005-5F, Class 8A3, VAR, 0.764%, 06/25/35 | 3,097 | |||||||||
4,832 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 | 4,365 | |||||||||
1,399 | Series 2006-1F, Class 1AP, PO, 02/25/36 | 916 | |||||||||
7,700 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 | 5,837 | |||||||||
3,100 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 | 2,860 | |||||||||
730 | Impac CMB Trust, Series 2005-2, Class 2M1, VAR, 0.784%, 04/25/35 | 461 | |||||||||
1,724 | Impac Secured Assets CMN Owner Trust, Series 2006-2, Class 2A1, VAR, 0.614%, 08/25/36 | 1,489 | |||||||||
Indymac Index Mortgage Loan Trust, | |||||||||||
11,346 | Series 2005-AR11, Class A7, IO, VAR, 0.394%, 08/25/35 | 99 | |||||||||
394 | Series 2006-AR3, Class 2A1A, VAR, 5.649%, 03/25/36 | 208 | |||||||||
JP Morgan Mortgage Trust, | |||||||||||
1,195 | Series 2004-A3, Class 4A1, VAR, 4.283%, 07/25/34 | 1,210 | |||||||||
1,209 | Series 2004-A4, Class 1A1, VAR, 4.591%, 09/25/34 | 1,234 | |||||||||
884 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 | 917 | |||||||||
2,000 | Series 2005-A1, Class 3A4, VAR, 5.012%, 02/25/35 | 2,000 | |||||||||
2,728 | Series 2005-A1, Class 5A1, VAR, 4.479%, 02/25/35 | 2,737 | |||||||||
3,815 | Series 2006-A2, Class 4A1, VAR, 2.932%, 08/25/34 | 3,708 | |||||||||
1,660 | Series 2006-A2, Class 5A3, VAR, 3.284%, 11/25/33 | 1,618 | |||||||||
1,337 | Series 2006-A3, Class 6A1, VAR, 3.011%, 08/25/34 | 1,224 | |||||||||
1,186 | Series 2007-A1, Class 5A2, VAR, 3.322%, 07/25/35 | 1,104 | |||||||||
1,821 | JP Morgan Reremic, Series 2010-4, Class 7A1, VAR, 4.337%, 08/26/35 (e) | 1,826 | |||||||||
65 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 | 63 | |||||||||
Lehman Mortgage Trust, | |||||||||||
1,720 | Series 2006-2, Class 1A1, VAR, 6.403%, 04/25/36 | 1,599 | |||||||||
919 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 | 605 | |||||||||
1,500 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 | 1,196 | |||||||||
LVII Resecuritization Trust, | |||||||||||
961 | Series 2009-1, Class A1, VAR, 5.949%, 11/27/37 (e) | 981 | |||||||||
3,209 | Series 2009-2, Class A2, VAR, 3.000%, 09/27/37 (e) | 3,208 | |||||||||
5,000 | Series 2009-2, Class A3, VAR, 3.000%, 09/27/37 (e) | 4,987 | |||||||||
MASTR Adjustable Rate Mortgages Trust, | |||||||||||
303 | Series 2004-3, Class 4A2, VAR, 2.322%, 04/25/34 | 274 | |||||||||
98 | Series 2004-4, Class 2A1, VAR, 2.905%, 05/25/34 | 52 | |||||||||
1,037 | Series 2004-13, Class 2A1, VAR, 2.961%, 04/21/34 | 1,025 | |||||||||
5,429 | Series 2004-13, Class 3A6, VAR, 2.906%, 11/21/34 | 5,397 | |||||||||
327 | Series 2004-15, Class 3A1, VAR, 3.558%, 12/25/34 | 255 | |||||||||
MASTR Alternative Loans Trust, | |||||||||||
560 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 | 549 | |||||||||
594 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 | 596 | |||||||||
1,560 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 | 1,609 | |||||||||
316 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 | 304 | |||||||||
206 | Series 2004-1, Class 30PO, PO, 02/25/34 | 132 | |||||||||
1,039 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 | 1,070 | |||||||||
458 | Series 2004-3, Class 30PO, PO, 04/25/34 | 310 | |||||||||
460 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 | 71 | |||||||||
493 | Series 2004-5, Class 30PO, PO, 06/25/34 | 354 | |||||||||
237 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 | 35 | |||||||||
264 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 | 49 | |||||||||
2,514 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 | 2,513 | |||||||||
235 | Series 2004-7, Class 30PO, PO, 08/25/34 | 158 | |||||||||
906 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 | 166 | |||||||||
979 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 | 990 | |||||||||
3,838 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 | 576 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
MASTR Asset Securitization Trust, | |||||||||||
907 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 928 | |||||||||
385 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 | 386 | |||||||||
1,494 | Series 2003-3, Class 3A18, 5.500%, 04/25/33 | 1,467 | �� | ||||||||
313 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 | 313 | |||||||||
315 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 | 328 | |||||||||
484 | Series 2003-7, Class 4A1, 4.250%, 09/25/33 | 484 | |||||||||
537 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 | 546 | |||||||||
548 | Series 2003-8, Class 3A2, VAR, 0.664%, 09/25/33 | 541 | |||||||||
717 | Series 2003-9, Class 15PO, PO, 10/25/18 | 570 | |||||||||
263 | Series 2003-10, Class 15PO, PO, 11/25/18 | 206 | |||||||||
209 | Series 2003-11, Class 15PO, PO, 12/25/18 | 174 | |||||||||
1,148 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 | 1,176 | |||||||||
247 | Series 2004-1, Class 30PO, PO, 02/25/34 | 156 | |||||||||
265 | Series 2004-3, Class PO, PO, 03/25/34 | 203 | |||||||||
1,009 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 | 1,046 | |||||||||
1,118 | Series 2004-6, Class 2A9, 5.250%, 11/26/16 | 1,102 | |||||||||
592 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 | 608 | |||||||||
530 | Series 2004-8, Class PO, PO, 08/25/19 | 417 | |||||||||
181 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 | 176 | |||||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 | 845 | |||||||||
4,575 | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.614%, 05/25/35 (e) | 3,741 | |||||||||
4,772 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) | 3,054 | |||||||||
Merrill Lynch Mortgage Investors, Inc., | |||||||||||
1,448 | Series 2003-A5, Class 2A6, VAR, 2.573%, 08/25/33 | 1,376 | |||||||||
1,937 | Series 2004-A4, Class A2, VAR, 2.786%, 08/25/34 | 1,958 | |||||||||
272 | Series 2005-A1, Class 3A, VAR, 5.255%, 12/25/34 | 266 | |||||||||
Merrill Lynch Trust, | |||||||||||
68 | Series 47, Class Z, 8.985%, 10/20/20 | 76 | |||||||||
1 | Series 7, Class B, PO, 04/20/18 | 1 | |||||||||
MLCC Mortgage Investors, Inc., | |||||||||||
1,188 | Series 2003-A, Class 2A2, VAR, 0.944%, 03/25/28 | 1,122 | |||||||||
1,029 | Series 2003-E, Class A1, VAR, 0.574%, 10/25/28 | 950 | |||||||||
1,437 | Series 2004-D, Class A2, VAR, 0.894%, 08/25/29 | 1,324 | |||||||||
1,175 | Series 2004-E, Class A2A, VAR, 0.784%, 11/25/29 | 1,023 | |||||||||
— | (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,174.130%, 04/20/21 | 16 | ||||||||
MortgageIT Trust, | |||||||||||
858 | Series 2005-1, Class 1A1, VAR, 0.584%, 02/25/35 | 649 | |||||||||
341 | Series 2005-5, Class A1, VAR, 0.524%, 12/25/35 | 234 | |||||||||
Nomura Asset Acceptance Corp., | |||||||||||
453 | Series 2003-A1, Class A1, 5.500%, 05/25/33 | 463 | |||||||||
136 | Series 2003-A1, Class A2, 6.000%, 05/25/33 | 142 | |||||||||
46 | Series 2003-A1, Class A5, 7.000%, 04/25/33 | 48 | |||||||||
117 | Series 2003-A1, Class A7, 5.000%, 04/25/18 | 120 | |||||||||
888 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) | 878 | |||||||||
Prime Mortgage Trust, | |||||||||||
292 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 | 299 | |||||||||
2,261 | Series 2004-CL1, Class 1A1, 6.000%, 02/25/34 | 2,346 | |||||||||
28 | Series 2004-R1, Class A4, PO, 07/27/33 | 20 | |||||||||
1,110 | Series 2005-4, Class 2PO, PO, 10/25/35 | 719 | |||||||||
RBSSP Resecuritization Trust, | |||||||||||
2,224 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) | 2,268 | |||||||||
1,645 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) | 1,630 | |||||||||
1,831 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) | 1,836 | |||||||||
2,500 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) | 2,473 | |||||||||
3,329 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) | 3,320 | |||||||||
2,283 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) | 2,264 | |||||||||
5,089 | Series 2010-4, Class 12A1, 4.500%, 03/26/21 (e) | 5,178 | |||||||||
2,000 | Series 2010-9, Class 1A1, VAR, 0.449%, 07/26/37 (e) | 1,713 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
464 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 | 475 | |||||||||
124 | Series 2002-QS16, Class A3, IF, 16.071%, 10/25/17 | 138 | |||||||||
1,009 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 | 890 | |||||||||
248 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 | 216 | |||||||||
430 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 435 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
373 | Series 2003-QS3, Class A2, IF, 15.920%, 02/25/18 | 416 | |||||||||
738 | Series 2003-QS3, Class A8, IF, IO, 7.336%, 02/25/18 | 90 | |||||||||
929 | Series 2003-QS9, Class A3, IF, IO, 7.286%, 05/25/18 | 135 | |||||||||
1,144 | Series 2003-QS12, Class A2A, IF, IO, 7.336%, 06/25/18 | 172 | |||||||||
501 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 | 70 | |||||||||
1,538 | Series 2003-QS13, Class A5, VAR, 0.914%, 07/25/33 | 1,224 | |||||||||
9,134 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 | 147 | |||||||||
1,333 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 | 1,350 | |||||||||
1,271 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 | 1,291 | |||||||||
1,127 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 | 1,138 | |||||||||
1,563 | Series 2004-QA4, Class NB3, VAR, 5.381%, 09/25/34 | 1,529 | |||||||||
458 | Series 2004-QA6, Class NB2, VAR, 3.345%, 12/26/34 | 349 | |||||||||
1,409 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 | 1,209 | |||||||||
875 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 | 860 | |||||||||
1,054 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 | 977 | |||||||||
2,000 | Series 2005-QA6, Class A32, VAR, 5.558%, 05/25/35 | 1,350 | |||||||||
343 | Series 2005-QA10, Class A31, VAR, 4.846%, 09/25/35 | 224 | |||||||||
760 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 | 495 | |||||||||
Residential Asset Securitization Trust, | |||||||||||
189 | Series 2002-A13, Class A4, 5.250%, 12/25/17 | 188 | |||||||||
894 | Series 2003-A5, Class A1, 5.500%, 06/25/33 | 891 | |||||||||
750 | Series 2003-A13, Class A3, 5.500%, 01/25/34 | 633 | |||||||||
250 | Series 2003-A14, Class A1, 4.750%, 02/25/19 | 254 | |||||||||
7,930 | Series 2005-A2, Class A4, IF, IO, 4.786%, 03/25/35 | 876 | |||||||||
374 | Series 2005-A11, Class PO, PO, 10/25/35 | 258 | |||||||||
4,216 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 | 793 | |||||||||
1,645 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 | 1,022 | |||||||||
1,000 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 | 545 | |||||||||
Residential Funding Mortgage Securities I, | |||||||||||
410 | Series 2003-S7, Class A17, 4.000%, 05/25/33 | 407 | |||||||||
224 | Series 2003-S12, Class 4A5, 4.500%, 12/25/32 | 224 | |||||||||
1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 | 1,481 | |||||||||
476 | Series 2003-S14, Class A4, PO, 07/25/18 | 463 | |||||||||
1,353 | Series 2003-S16, Class A3, 5.000%, 09/25/18 | 1,386 | |||||||||
1,252 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 | 1,282 | |||||||||
788 | Series 2004-S6, Class 2A6, PO, 06/25/34 | 707 | |||||||||
805 | Series 2004-S6, Class 3A5, 4.500%, 06/25/19 | 794 | |||||||||
951 | Series 2005-SA4, Class 1A1, VAR, 3.241%, 09/25/35 | 750 | |||||||||
Residential Funding Securities LLC, | |||||||||||
60 | Series 2002-RM1, Class API, PO, 12/25/17 | 52 | |||||||||
134 | Series 2003-RM2, Class AP-3, PO, 05/25/33 | 113 | |||||||||
Salomon Brothers Mortgage Securities VII, Inc., | |||||||||||
2,072 | Series 2003-HYB1, Class A, VAR, 3.677%, 09/25/33 | 2,024 | |||||||||
153 | Series 2003-UP2, Class PO1, PO, 12/25/18 | 129 | |||||||||
Sequoia Mortgage Trust, | |||||||||||
1,277 | Series 2004-8, Class A1, VAR, 0.616%, 09/20/34 | 1,116 | |||||||||
1,995 | Series 2004-8, Class A2, VAR, 0.938%, 09/20/34 | 1,874 | |||||||||
1,659 | Series 2004-10, Class A1A, VAR, 0.576%, 11/20/34 | 1,550 | |||||||||
1,000 | Station Place Securitization Trust, Series 2009-1, Class A, VAR, 1.764%, 01/25/40 (e) | 1,002 | |||||||||
2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.934%, 06/25/34 | 2,854 | |||||||||
Structured Asset Securities Corp., | |||||||||||
79 | Series 2002-10H, Class 1AP, PO, 05/25/32 | 57 | |||||||||
569 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 547 | |||||||||
974 | Series 2003-16, Class A3, VAR, 0.764%, 06/25/33 | 890 | |||||||||
169 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 | 172 | |||||||||
404 | Series 2003-31A, Class B1, VAR, 2.855%, 10/25/33 | 151 | |||||||||
968 | Series 2003-32, Class 1A1, VAR, 5.129%, 11/25/33 | 979 | |||||||||
1,526 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 | 1,526 | |||||||||
739 | Series 2003-33H, Class 1APO, PO, 10/25/33 | 539 | |||||||||
7,131 | Series 2003-37A, Class 2A, VAR, 4.997%, 12/25/33 | 7,288 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
3,300 | Series 2004-5H, Class A4, 5.540%, 12/25/33 | 3,375 | |||||||||
4,581 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) | 4,581 | |||||||||
1,191 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 | 1,172 | |||||||||
262 | Series 2005-6, Class 5A8, IF, 13.372%, 05/25/35 | 263 | |||||||||
Thornburg Mortgage Securities Trust, | |||||||||||
315 | Series 2003-4, Class A1, VAR, 0.584%, 09/25/43 | 289 | |||||||||
279 | Series 2004-1, Class II2A, VAR, 2.085%, 03/25/44 | 264 | |||||||||
WaMu Mortgage Pass-Through Certificates, | |||||||||||
1,212 | Series 2002-S5, Class B3, 6.389%, 09/25/32 | 846 | |||||||||
244 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 | 250 | |||||||||
1,923 | Series 2003-AR7, Class A7, VAR, 2.675%, 08/25/33 | 1,850 | |||||||||
1,335 | Series 2003-AR8, Class A, VAR, 2.716%, 08/25/33 | 1,340 | |||||||||
5,178 | Series 2003-AR9, Class 1A6, VAR, 2.766%, 09/25/33 | 5,157 | |||||||||
1,166 | Series 2003-AR9, Class 2A, VAR, 2.801%, 09/25/33 | 1,165 | |||||||||
441 | Series 2003-S7, Class A1, 4.500%, 08/25/18 | 450 | |||||||||
2,069 | Series 2003-S8, Class A4, 4.500%, 09/25/18 | 2,122 | |||||||||
1,312 | Series 2003-S8, Class A6, 4.500%, 09/25/18 | 1,329 | |||||||||
4,310 | Series 2003-S9, Class A8, 5.250%, 10/25/33 | 4,195 | |||||||||
268 | Series 2003-S9, Class P, PO, 10/25/33 | 169 | |||||||||
2,119 | Series 2003-S10, Class A5, 5.000%, 10/25/18 | 2,125 | |||||||||
321 | Series 2003-S10, Class A6, PO, 10/25/18 | 316 | |||||||||
931 | Series 2003-S11, Class 2A5, IF, 16.325%, 11/25/33 | 947 | |||||||||
335 | Series 2004-AR3, Class A1, VAR, 2.708%, 06/25/34 | 317 | |||||||||
2,267 | Series 2004-AR3, Class A2, VAR, 2.708%, 06/25/34 | 2,220 | |||||||||
2,064 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 | 2,150 | |||||||||
545 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 | 564 | |||||||||
1,002 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 | 1,041 | |||||||||
2,220 | Series 2004-S1, Class 1A3, VAR, 0.664%, 03/25/34 | 2,166 | |||||||||
3,382 | Series 2004-S2, Class 2A4, 5.500%, 06/25/34 | 3,507 | |||||||||
485 | Series 2006-AR10, Class 2P, VAR, 0.000%, 09/25/36 | 274 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, | |||||||||||
529 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 | 487 | |||||||||
13,989 | Series 2005-2, Class 1A4, IF, IO, 4.786%, 04/25/35 | 1,467 | |||||||||
1,471 | Series 2005-4, Class CB7, 5.500%, 06/25/35 | 1,220 | |||||||||
529 | Series 2005-4, Class DP, PO, 06/25/20 | 428 | |||||||||
1,913 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 | 1,639 | |||||||||
16,990 | Series 2005-11, Class A4, IF, IO, 4.686%, 01/25/36 | 1,788 | |||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, | |||||||||||
167 | Series 2002-MS12, Class A, 6.500%, 05/25/32 | 172 | |||||||||
1,278 | Series 2004-RA2, Class 2A, 7.000%, 07/25/33 | 1,316 | |||||||||
208 | Series 2004-RA4, Class 1P, PO, 04/25/19 | 178 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust, | |||||||||||
1,415 | Series 2003-3, Class 2A1, 5.250%, 04/25/33 | 1,442 | |||||||||
943 | Series 2003-8, Class A9, 4.500%, 08/25/18 | 965 | |||||||||
3,625 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 | 3,664 | |||||||||
636 | Series 2003-11, Class 1APO, PO, 10/25/18 | 517 | |||||||||
1,060 | Series 2003-13, Class A7, 4.500%, 11/25/18 | 1,085 | |||||||||
247 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 | 254 | |||||||||
2,140 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 2,218 | |||||||||
617 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 632 | |||||||||
17,501 | Series 2003-16, Class 2AIO, IO, VAR, 0.120%, 12/25/18 | 46 | |||||||||
1,029 | Series 2003-17, Class APO, PO, 01/25/34 | 694 | |||||||||
1,399 | Series 2003-K, Class 1A1, VAR, 4.471%, 11/25/33 | 1,374 | |||||||||
383 | Series 2003-K, Class 1A2, VAR, 4.471%, 11/25/33 | 376 | |||||||||
470 | Series 2004-1, Class A1102/25/34 | 387 | |||||||||
559 | Series 2004-2, Class APO, PO, 01/25/19 | 456 | |||||||||
546 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 565 | |||||||||
1,884 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 | 1,960 | |||||||||
760 | Series 2004-B, Class A1, VAR, 4.901%, 02/25/34 | 773 | |||||||||
1,445 | Series 2004-BB, Class A4, VAR, 2.897%, 01/25/35 | 1,433 | |||||||||
2,663 | Series 2004-EE, Class 2A1, VAR, 2.898%, 12/25/34 | 2,565 | |||||||||
333 | Series 2004-EE, Class 2A2, VAR, 2.898%, 12/25/34 | 324 | |||||||||
1,363 | Series 2004-EE, Class 3A1, VAR, 3.100%, 12/25/34 | 1,324 | |||||||||
1,826 | Series 2004-I, Class 1A1, VAR, 3.210%, 07/25/34 | 1,791 | |||||||||
2,786 | Series 2004-P, Class 2A1, VAR, 2.914%, 09/25/34 | 2,730 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
255 | Series 2004-Q, Class 1A3, VAR, 4.863%, 09/25/34 | 237 | |||||||||
3,837 | Series 2004-U, Class A1, VAR, 3.106%, 10/25/34 | 3,642 | |||||||||
1,907 | Series 2004-V, Class 1A1, VAR, 2.914%, 10/25/34 | 1,868 | |||||||||
647 | Series 2005-9, Class 1APO, PO, 10/25/35 | 439 | |||||||||
2,069 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 2,149 | |||||||||
338 | Series 2005-15, Class APO, PO, 12/25/20 | 268 | |||||||||
971 | Series 2005-AR8, Class 2A1, VAR, 2.957%, 06/25/35 | 972 | |||||||||
820 | Series 2005-AR16, Class 2A1, VAR, 2.997%, 10/25/35 | 775 | |||||||||
2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 | 1,894 | |||||||||
1,629 | Series 2007-11, Class A14, 6.000%, 08/25/37 | 1,363 | |||||||||
569,290 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,422,919) | 1,503,682 | ||||||||||
Commercial Mortgage-Backed Securities — 0.4% | |||||||||||
Banc of America Commercial Mortgage, Inc., | |||||||||||
700 | Series 2005-3, Class A4, 4.668%, 07/10/43 | 735 | |||||||||
800 | Series 2005-3, Class AM, 4.727%, 07/10/43 | 727 | |||||||||
500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 | 545 | |||||||||
1,000 | Series 2006-3, Class A4, VAR, 5.889%, 07/10/44 | 1,064 | |||||||||
2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 | 2,140 | |||||||||
500 | Bear Stearns Commercial Mortgage Securities, Series 2006-PW11, Class A4, VAR, 5.623%, 03/11/39 | 550 | |||||||||
1,446 | CW Capital Cobalt Ltd., Series 2006-C1, Class A4, 5.223%, 08/15/48 | 1,474 | |||||||||
500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.838%, 05/12/39 | 537 | |||||||||
250 | Morgan Stanley Capital I, Series 2007-T27, Class A4, VAR, 5.802%, 06/11/42 | 275 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $7,457) | 8,047 | ||||||||||
Mortgage Pass-Through Securities — 16.0% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
244 | ARM, 2.560%, 03/01/35 | 253 | |||||||||
366 | ARM, 2.605%, 12/01/33 | 380 | |||||||||
437 | ARM, 2.649%, 04/01/34 | 451 | |||||||||
171 | ARM, 3.453%, 07/01/37 | 178 | |||||||||
478 | ARM, 4.340%, 11/01/36 | 499 | |||||||||
90 | ARM, 4.402%, 01/01/30 | 93 | |||||||||
795 | ARM, 4.687%, 03/01/36 | 830 | |||||||||
565 | ARM, 5.320%, 05/01/38 | 597 | |||||||||
525 | ARM, 5.442%, 03/01/36 | 551 | |||||||||
540 | ARM, 5.501%, 12/01/35 | 564 | |||||||||
740 | ARM, 5.559%, 05/01/36 | 779 | |||||||||
643 | ARM, 5.637%, 04/01/38 | 682 | |||||||||
325 | ARM, 5.797%, 05/01/37 | 347 | |||||||||
1,864 | ARM, 5.836%, 10/01/36 | 1,977 | |||||||||
974 | ARM, 5.858%, 11/01/36 | 1,036 | |||||||||
403 | ARM, 5.877%, 02/01/37 | 429 | |||||||||
292 | ARM, 5.909%, 02/01/37 | 311 | |||||||||
1,128 | ARM, 6.010%, 06/01/36 | 1,206 | |||||||||
814 | ARM, 6.019%, 12/01/36 | 864 | |||||||||
284 | ARM, 6.024%, 10/01/36 | 306 | |||||||||
440 | ARM, 6.032%, 10/01/37 | 469 | |||||||||
625 | ARM, 6.042%, 02/01/37 | 663 | |||||||||
1,691 | ARM, 6.207%, 03/01/37 | 1,780 | |||||||||
465 | ARM, 6.253%, 09/01/36 | 485 | |||||||||
946 | ARM, 6.268%, 09/01/37 | 1,010 | |||||||||
468 | ARM, 6.300%, 10/01/36 | 496 | |||||||||
441 | ARM, 6.433%, 02/01/37 | 474 | |||||||||
830 | ARM, 6.673%, 10/01/36 | 880 | |||||||||
1,309 | ARM, 6.682%, 11/01/36 | 1,412 | |||||||||
505 | ARM, 6.811%, 08/01/36 | 528 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | |||||||||||
319 | 3.500%, 05/01/19 | 329 | |||||||||
9,041 | 4.000%, 06/01/13 – 06/01/19 (m) | 9,516 | |||||||||
3,558 | 4.500%, 07/01/14 – 10/01/18 | 3,719 | |||||||||
578 | 5.000%, 12/01/18 | 619 | |||||||||
880 | 5.500%, 06/01/17 – 02/01/21 | 946 | |||||||||
5,547 | 6.000%, 06/01/17 – 03/01/22 | 5,997 | |||||||||
1,262 | 6.500%, 08/01/12 – 03/01/22 | 1,364 | |||||||||
587 | 7.000%, 01/01/17 – 07/01/17 | 630 | |||||||||
64 | 7.500%, 08/01/11 – 12/01/15 | 66 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | |||||||||||
4,548 | 5.500%, 05/01/27 – 03/01/28 | 4,865 | |||||||||
1,545 | 6.000%, 01/01/14 – 02/01/24 | 1,696 | |||||||||
2,613 | 6.500%, 05/01/22 – 01/01/28 | 2,868 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
2,444 | 4.000%, 10/01/33 | 2,534 | |||||||||
5,922 | 5.500%, 10/01/33 – 07/01/35 | 6,393 | |||||||||
1,374 | 6.000%, 11/01/28 – 12/01/33 | 1,502 | |||||||||
10,222 | 6.500%, 05/01/24 – 03/01/38 (m) | 11,252 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
2,053 | 7.000%, 07/01/29 – 10/01/36 | 2,311 | |||||||||
403 | 7.500%, 09/01/38 | 450 | |||||||||
58 | 8.500%, 08/01/30 | 67 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | |||||||||||
2,207 | 7.500%, 01/01/32 – 12/01/36 | 2,521 | |||||||||
1,487 | 10.000%, 10/01/30 | 1,772 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, | |||||||||||
8,789 | 5.500%, 02/01/18 – 11/01/35 | 9,338 | |||||||||
6,877 | 6.500%, 11/01/36 – 12/01/36 | 7,497 | |||||||||
939 | 7.000%, 12/01/14 – 08/01/47 | 1,030 | |||||||||
168 | 7.500%, 10/01/37 | 186 | |||||||||
145 | 10.500%, 07/20/21 | 163 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
14 | 7.500%, 03/01/17 – 05/01/17 | 15 | |||||||||
11 | 8.750%, 06/01/17 | 12 | |||||||||
5 | 10.500%, 05/01/19 | 6 | |||||||||
15 | 12.000%, 08/01/15 – 07/01/19 | 17 | |||||||||
Federal National Mortgage Association, | |||||||||||
807 | ARM, 1.913%, 08/01/34 | 833 | |||||||||
395 | ARM, 1.987%, 01/01/33 | 406 | |||||||||
4,143 | ARM, 1.998%, 01/01/35 (m) | 4,298 | |||||||||
643 | ARM, 2.088%, 02/01/35 | 667 | |||||||||
25 | ARM, 2.226%, 03/01/19 | 25 | |||||||||
1,413 | ARM, 2.244%, 05/01/35 | 1,467 | |||||||||
350 | ARM, 2.261%, 02/01/35 | 363 | |||||||||
505 | ARM, 2.392%, 01/01/36 | 520 | |||||||||
528 | ARM, 2.468%, 06/01/34 | 554 | |||||||||
240 | ARM, 2.476%, 05/01/35 | 252 | |||||||||
517 | ARM, 2.585%, 05/01/34 | 540 | |||||||||
295 | ARM, 2.617%, 04/01/34 | 308 | |||||||||
913 | ARM, 2.620%, 07/01/33 | 954 | |||||||||
1,445 | ARM, 2.672%, 04/01/35 | 1,507 | |||||||||
639 | ARM, 2.688%, 10/01/34 | 668 | |||||||||
184 | ARM, 2.773%, 05/01/35 | 191 | |||||||||
356 | ARM, 2.789%, 09/01/35 | 374 | |||||||||
559 | ARM, 2.796%, 10/01/34 | 573 | |||||||||
422 | ARM, 2.798%, 06/01/35 | 439 | |||||||||
186 | ARM, 2.804%, 11/01/33 | 194 | |||||||||
552 | ARM, 2.926%, 08/01/34 | 567 | |||||||||
430 | ARM, 2.960%, 10/01/34 | 449 | |||||||||
395 | ARM, 2.960%, 09/01/34 | 416 | |||||||||
643 | ARM, 2.993%, 10/01/34 | 670 | |||||||||
607 | ARM, 3.026%, 02/01/34 | 628 | |||||||||
191 | ARM, 3.107%, 01/01/34 | 198 | |||||||||
567 | ARM, 3.398%, 09/01/33 | 587 | |||||||||
1,107 | ARM, 3.418%, 04/01/35 | 1,161 | |||||||||
41 | ARM, 3.496%, 09/01/27 | 42 | |||||||||
567 | ARM, 3.909%, 08/01/34 | 588 | |||||||||
148 | ARM, 4.046%, 03/01/29 | 152 | |||||||||
359 | ARM, 4.212%, 04/01/34 | 374 | |||||||||
1,007 | ARM, 4.936%, 07/01/33 | 1,067 | |||||||||
1,102 | ARM, 5.130%, 10/01/34 | 1,153 | |||||||||
698 | ARM, 5.146%, 11/01/33 | 726 | |||||||||
805 | ARM, 5.225%, 09/01/36 | 846 | |||||||||
826 | ARM, 5.299%, 01/01/38 | 880 | |||||||||
361 | ARM, 5.504%, 07/01/37 | 383 | |||||||||
304 | ARM, 5.594%, 12/01/36 | 322 | |||||||||
5,658 | ARM, 5.696%, 01/01/23 | 6,092 | |||||||||
1,464 | ARM, 5.794%, 12/01/37 | 1,564 | |||||||||
815 | ARM, 5.827%, 12/01/36 | 866 | |||||||||
648 | ARM, 5.837%, 11/01/36 | 690 | |||||||||
894 | ARM, 5.883%, 07/01/36 | 946 | |||||||||
1,520 | ARM, 5.938%, 07/01/37 | 1,617 | |||||||||
450 | ARM, 5.939%, 10/01/36 | 478 | |||||||||
561 | ARM, 6.041%, 08/01/36 | 593 | |||||||||
820 | ARM, 6.149%, 11/01/37 | 867 | |||||||||
1,254 | ARM, 6.205%, 06/01/36 | 1,321 | |||||||||
649 | ARM, 6.239%, 10/01/36 | 686 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
1,528 | 3.500%, 08/01/18 | 1,589 | |||||||||
13,931 | 4.000%, 07/01/18 – 12/01/18 (m) | 14,861 | |||||||||
6,702 | 4.500%, 07/01/18 – 09/01/20 | 7,177 | |||||||||
3,324 | 5.000%, 12/01/16 – 07/01/20 | 3,564 | |||||||||
9,313 | 5.500%, 11/01/18 – 07/01/20 | 10,101 | |||||||||
16,009 | 6.000%, 06/01/16 – 07/01/24 | 17,310 | |||||||||
3,971 | 6.500%, 09/01/13 – 02/01/24 | 4,315 | |||||||||
2,107 | 7.000%, 12/01/16 – 08/01/21 | 2,288 | |||||||||
160 | 7.500%, 03/01/17 – 10/01/17 | 174 | |||||||||
159 | 8.000%, 04/01/11 – 01/01/16 | 169 | |||||||||
25 | 8.500%, 09/01/11 | 25 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, | |||||||||||
1,216 | 5.500%, 02/01/23 | 1,316 | |||||||||
13,336 | 6.000%, 02/01/14 – 09/01/29 | 14,394 | |||||||||
3,854 | 6.500%, 06/01/16 – 12/01/27 | 4,260 | |||||||||
84 | 7.500%, 09/01/21 | 95 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
Federal National Mortgage Association, 30 Year FHA/VA, | |||||||||||
88 | 6.000%, 09/01/33 | 96 | |||||||||
1,042 | 6.500%, 02/01/29 – 03/01/29 | 1,174 | |||||||||
299 | 7.000%, 10/01/28 – 02/01/33 | 341 | |||||||||
87 | 8.000%, 06/01/28 | 101 | |||||||||
26 | 8.500%, 03/01/30 – 06/01/30 | 30 | |||||||||
415 | 9.000%, 05/01/18 – 06/01/31 | 475 | |||||||||
18 | 10.000%, 07/01/19 | 20 | |||||||||
17 | 10.500%, 11/01/18 | 20 | |||||||||
35 | 11.000%, 04/01/19 | 40 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
2,632 | 4.000%, 08/01/33 – 04/01/34 | 2,752 | |||||||||
1,474 | 4.500%, 05/01/29 – 11/01/33 | 1,565 | |||||||||
4,905 | 5.000%, 05/01/33 – 09/01/35 | 5,261 | |||||||||
11,171 | 5.500%, 11/01/32 – 03/01/34 | 12,101 | |||||||||
7,486 | 6.000%, 12/01/28 – 09/01/36 | 8,189 | |||||||||
34 | 6.250%, 07/01/23 | 38 | |||||||||
25,532 | 6.500%, 11/01/29 – 10/01/38 | 27,934 | |||||||||
10,074 | 7.000%, 04/01/17 – 01/01/39 | 11,324 | |||||||||
7,437 | 7.500%, 08/01/36 – 04/01/39 | 8,594 | |||||||||
1,678 | 8.000%, 03/01/27 – 10/01/36 | 1,926 | |||||||||
175 | 8.500%, 12/01/27 – 02/01/30 | 203 | |||||||||
2 | 9.000%, 04/01/26 | 2 | |||||||||
17 | 9.500%, 07/01/28 | 20 | |||||||||
11 | 10.000%, 02/01/24 | 13 | |||||||||
19 | 12.500%, 01/01/16 | 20 | |||||||||
Federal National Mortgage Association, Other, | |||||||||||
1,280 | 4.000%, 11/01/33 | 1,296 | |||||||||
1,336 | 4.500%, 11/01/14 – 08/01/33 | 1,403 | |||||||||
1,087 | 5.000%, 04/01/22 – 01/01/36 | 1,148 | |||||||||
960 | 5.500%, 05/01/13 – 09/01/33 | 1,007 | |||||||||
2,710 | 6.000%, 02/01/36 – 03/01/37 | 2,890 | |||||||||
1,043 | 6.500%, 10/01/35 – 06/01/36 | 1,136 | |||||||||
3,428 | 7.000%, 12/01/36 – 10/01/46 | 3,789 | |||||||||
39 | 10.195%, 06/15/21 | 44 | |||||||||
14 | 10.250%, 07/15/13 | 15 | |||||||||
12 | 11.000%, 08/20/20 | 13 | |||||||||
190 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17 | 204 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
636 | 3.500%, 09/20/33 | 647 | |||||||||
1,982 | 6.500%, 10/20/33 | 2,204 | |||||||||
30 | 7.500%, 02/20/28 – 09/20/28 | 34 | |||||||||
44 | 8.000%, 06/20/26 – 11/20/28 | 51 | |||||||||
28 | 8.500%, 03/20/25 – 05/20/25 | 32 | |||||||||
1,664 | Government National Mortgage Association II, Other, 6.500%, 09/20/34 | 1,846 | |||||||||
Government National Mortgage Association, 15 Year, Single Family, | |||||||||||
396 | 6.000%, 06/15/18 | 429 | |||||||||
102 | 7.000%, 09/15/14 – 10/15/16 | 110 | |||||||||
70 | 7.500%, 11/15/17 | 76 | |||||||||
288 | 8.000%, 01/15/16 | 310 | |||||||||
Government National Mortgage Association, 20 Year, Single Family, | |||||||||||
749 | 6.500%, 08/15/22 – 11/15/23 | 831 | |||||||||
98 | 7.000%, 08/15/23 | 111 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
186 | 6.375%, 08/15/26 | 206 | |||||||||
5,431 | 6.500%, 10/15/27 – 04/15/33 | 6,042 | |||||||||
4,322 | 7.000%, 09/15/31 – 03/15/37 | 4,909 | |||||||||
121 | 7.500%, 11/15/22 – 01/15/33 | 138 | |||||||||
16 | 8.000%, 09/15/22 – 04/15/28 | 19 | |||||||||
14 | 9.000%, 02/15/30 – 01/15/31 | 17 | |||||||||
1,399 | 9.500%, 10/15/24 | 1,697 | |||||||||
14 | 11.000%, 01/15/21 | 15 | |||||||||
Total Mortgage Pass-Through Securities (Cost $325,556) | 338,819 | ||||||||||
U.S. Government Agency Securities — 1.2% | |||||||||||
2,674 | Federal Home Loan Bank System, 4.720%, 09/20/12 | 2,838 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
13,500 | 4.125%, 12/21/12 | 14,528 | |||||||||
1,000 | 5.500%, 08/23/17 | 1,205 | |||||||||
Federal National Mortgage Association, | |||||||||||
3,000 | Zero Coupon, 07/05/14 | 2,818 | |||||||||
2,000 | 5.375%, 06/12/17 | 2,398 | |||||||||
518 | 5.500%, 03/15/11 | 533 | |||||||||
Total U.S. Government Agency Securities (Cost $23,533) | 24,320 | ||||||||||
U.S. Treasury Obligations — 6.3% | |||||||||||
U.S. Treasury Bonds, | |||||||||||
400 | 7.250%, 05/15/16 | 525 | |||||||||
16,000 | 7.500%, 11/15/16 (m) | 21,440 | |||||||||
350 | 8.500%, 02/15/20 | 531 | |||||||||
10,900 | 8.875%, 08/15/17 | 15,890 | |||||||||
2,000 | 8.875%, 02/15/19 | 3,037 | |||||||||
5,500 | 9.250%, 02/15/16 | 7,744 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — Continued | |||||||||||
1,000 | U.S. Treasury Inflation Indexed Note, 2.375%, 04/15/11 | 1,112 | |||||||||
U.S. Treasury Notes, | |||||||||||
3,000 | 1.375%, 09/15/12 | 3,053 | |||||||||
33,000 | 2.625%, 12/31/14 (m) | 35,044 | |||||||||
2,000 | 2.625%, 04/30/16 | 2,114 | |||||||||
8,500 | 3.125%, 10/31/16 | 9,194 | |||||||||
4,905 | 3.125%, 04/30/17 | 5,296 | |||||||||
9,000 | 3.250%, 12/31/16 | 9,788 | |||||||||
3,000 | 3.250%, 03/31/17 | 3,262 | |||||||||
U.S. Treasury STRIPS, | |||||||||||
932 | 05/15/14 | 899 | |||||||||
12,000 | 08/15/14 | 11,499 | |||||||||
3,000 | 02/15/15 | 2,841 | |||||||||
129 | 02/15/16 | 118 | |||||||||
500 | 11/15/16 | 446 | |||||||||
700 | 05/15/19 | 565 | |||||||||
150 | 02/15/25 | 93 | |||||||||
500 | 02/15/29 | 260 | |||||||||
Total U.S. Treasury Obligations (Cost $126,358) | 134,751 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 3.9% | |||||||||||
Investment Company — 3.9% | |||||||||||
83,362 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% (b) (l) (Cost $83,362) | 83,362 | |||||||||
Total Investments — 99.9% (Cost $2,017,416) | 2,121,212 | ||||||||||
Other Assets in Excess of Liabilities — 0.1% | 2,556 | ||||||||||
NET ASSETS — 100.0% | $ | 2,123,768 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 8.7% | |||||||||||
Ally Auto Receivables Trust, | |||||||||||
5,500 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) | 5,618 | |||||||||
1,171 | Series 2009-B, Class A2, 1.210%, 06/15/12 (e) | 1,174 | |||||||||
6,810 | Series 2009-B, Class A3, 1.980%, 10/15/13 (e) | 6,935 | |||||||||
5,295 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 5,346 | |||||||||
2,000 | Series 2010-1, Class A4, 2.300%, 12/15/14 | 2,056 | |||||||||
5,595 | Series 2010-3, Class A3, 1.110%, 10/15/14 | 5,595 | |||||||||
8,860 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 8,860 | |||||||||
1,220 | American Express Credit Account Master Trust, Series 2008-1, Class A, VAR, 0.726%, 08/15/13 | 1,222 | |||||||||
AmeriCredit Automobile Receivables Trust, | |||||||||||
1,485 | Series 2005-DA, Class A4, 5.020%, 11/06/12 | 1,485 | |||||||||
1,303 | Series 2006-BG, Class A4, 5.210%, 09/06/13 | 1,332 | |||||||||
1,809 | Series 2008-AF, Class A3, 5.680%, 12/12/12 | 1,841 | |||||||||
1,780 | Series 2009-1, Class A2, 2.260%, 05/15/12 | 1,786 | |||||||||
3,875 | Series 2009-1, Class A3, 3.040%, 10/15/13 | 3,966 | |||||||||
3,240 | Series 2010-1, Class A2, 0.970%, 01/15/13 | 3,242 | |||||||||
2,290 | Series 2010-1, Class A3, 1.660%, 03/17/14 | 2,305 | |||||||||
5,000 | Series 2010-A, Class A2, 1.460%, 11/06/13 | 5,014 | |||||||||
123 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.389%, 08/25/32 | 70 | |||||||||
3,480 | BA Credit Card Trust, Series 2006-A9, Class A9, VAR, 0.286%, 02/15/13 | 3,480 | |||||||||
Bank of America Auto Trust, | |||||||||||
1,332 | Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e) | 1,355 | |||||||||
10,680 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 10,847 | |||||||||
2,552 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 2,677 | |||||||||
22,180 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) | 22,471 | |||||||||
12,949 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) | 13,472 | |||||||||
1,945 | Series 2009-3A, Class A2, 0.890%, 04/15/12 (e) | 1,947 | |||||||||
9,110 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 9,211 | |||||||||
3,454 | Series 2009-3A, Class A4, 2.670%, 12/15/16 (e) | 3,582 | |||||||||
7,475 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) | 7,539 | |||||||||
4,120 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) | 4,224 | |||||||||
4,400 | Series 2010-2, Class A3, 1.310%, 07/15/14 | 4,440 | |||||||||
5,100 | Series 2010-2, Class A4, 1.940%, 06/15/17 | 5,202 | |||||||||
Bear Stearns Asset-Backed Securities Trust, | |||||||||||
918 | Series 2003-SD2, Class 2A, VAR, 3.215%, 06/25/43 | 857 | |||||||||
1,079 | Series 2006-SD1, Class A, VAR, 0.634%, 04/25/36 | 757 | |||||||||
Capital Auto Receivables Asset Trust, | |||||||||||
3,085 | Series 2007-1, Class A4A, 5.010%, 04/16/12 | 3,122 | |||||||||
4,870 | Series 2007-2, Class A4A, 5.390%, 02/18/14 | 4,994 | |||||||||
163 | Series 2007-4A, Class A3A, 5.000%, 12/15/11 | 164 | |||||||||
1,010 | Series 2008-1, Class A3A, 3.860%, 08/15/12 | 1,023 | |||||||||
11,498 | Series 2008-1, Class A4A, 4.460%, 07/15/14 | 12,039 | |||||||||
349 | Capital One Auto Finance Trust, Series 2007-C, Class A3A, 5.130%, 04/16/12 | 352 | |||||||||
Capital One Multi-Asset Execution Trust, | |||||||||||
480 | Series 2003-B5, Class B5, 4.790%, 08/15/13 | 482 | |||||||||
2,150 | Series 2006-A2, Class A, 4.850%, 11/15/13 | 2,184 | |||||||||
265 | Series 2006-A6, Class A6, 5.300%, 02/18/14 | 273 | |||||||||
CarMax Auto Owner Trust, | |||||||||||
740 | Series 2006-2, Class A4, 5.140%, 11/15/11 | 744 | |||||||||
1,283 | Series 2007-1, Class A4, 5.240%, 06/15/12 | 1,307 | |||||||||
209 | Series 2007-2, Class A3, 5.230%, 12/15/11 | 210 | |||||||||
1,350 | Series 2007-2, Class A4, 5.270%, 11/15/12 | 1,385 | |||||||||
262 | Series 2007-3, Class A3A, 5.190%, 12/15/11 | 262 | |||||||||
2,169 | Series 2008-1, Class A4A, 4.790%, 02/15/13 | 2,247 | |||||||||
1,674 | Series 2009-1, Class A2, 3.310%, 11/15/11 | 1,678 | |||||||||
17,385 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 17,832 | |||||||||
3,940 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 3,983 | |||||||||
6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 7,097 | |||||||||
553 | Caterpillar Financial Asset Trust, Series 2008-A, Class A3, 4.940%, 04/25/14 | 559 | |||||||||
4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 | 4,641 | |||||||||
Chrysler Financial Auto Securitization Trust, | |||||||||||
38,655 | Series 2009-A, Class A3, 2.820%, 01/15/16 | 39,430 | |||||||||
8,500 | Series 2009-B, Class A2, 1.150%, 11/08/11 | 8,518 | |||||||||
Citibank Credit Card Issuance Trust, | |||||||||||
700 | Series 2007-B6, Class B6, 5.000%, 11/08/12 | 705 | |||||||||
2,500 | Series 2008-A5, Class A5, 4.850%, 04/22/15 | 2,740 | |||||||||
CitiFinancial Auto Issuance Trust, | |||||||||||
9,109 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 9,143 | |||||||||
20,650 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) | 20,998 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — Continued | |||||||||||
CNH Equipment Trust, | |||||||||||
291 | Series 2008-B, Class A3A, 4.780%, 07/16/12 | 294 | |||||||||
920 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 943 | |||||||||
846 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 853 | |||||||||
3,980 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 4,030 | |||||||||
13,500 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 13,655 | |||||||||
410 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 | 413 | |||||||||
1,581 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.864%, 10/25/34 | 921 | |||||||||
2,144 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.574%, 11/25/35 | 1,997 | |||||||||
109 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 | 102 | |||||||||
Daimler Chrysler Auto Trust, | |||||||||||
2,638 | Series 2006-D, Class A4, 4.940%, 02/08/12 | 2,640 | |||||||||
297 | Series 2007-A, Class A3A, 5.000%, 02/08/12 | 299 | |||||||||
2,500 | Series 2007-A, Class A4, 5.280%, 03/08/13 | 2,588 | |||||||||
8,382 | Series 2008-A, Class A4, 4.480%, 08/08/14 | 8,690 | |||||||||
Discover Card Master Trust, | |||||||||||
9,460 | Series 2008-A3, Class A3, 5.100%, 10/15/13 | 9,728 | |||||||||
1,255 | Series 2008-A4, Class A4, 5.650%, 12/15/15 | 1,407 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
261 | Series 2006-B, Class A4, 5.250%, 09/15/11 | 263 | |||||||||
1,378 | Series 2006-C, Class A4A, 5.150%, 02/15/12 | 1,399 | |||||||||
7 | Series 2007-A, Class A3A, 5.400%, 08/15/11 | 7 | |||||||||
1,630 | Series 2007-A, Class A4A, 5.470%, 06/15/12 | 1,669 | |||||||||
1,913 | Series 2007-B, Class A3A, 5.150%, 11/15/11 | 1,930 | |||||||||
3,402 | Series 2007-B, Class A4A, 5.240%, 07/15/12 | 3,513 | |||||||||
1,269 | Series 2008-A, Class A3A, 3.960%, 04/15/12 | 1,283 | |||||||||
135 | Series 2008-B, Class A3A, 4.280%, 05/15/12 | 137 | |||||||||
23,230 | Series 2009-A, Class A4, 6.070%, 05/15/14 | 25,385 | |||||||||
12,045 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 12,276 | |||||||||
6,600 | Series 2009-B, Class A4, 4.500%, 07/15/14 | 7,120 | |||||||||
4,650 | Series 2009-D, Class A3, 2.170%, 10/15/13 | 4,720 | |||||||||
790 | Series 2010-B, Class A3, 0.980%, 10/15/14 | 793 | |||||||||
5,250 | Series 2010-B, Class A4, 1.580%, 09/15/15 | 5,303 | |||||||||
412 | Franklin Auto Trust, Series 2006-1, Class A4, 5.030%, 07/21/14 | 415 | |||||||||
5,000 | GE Capital Credit Card Master Note Trust, Series 2009-3, Class A, 2.540%, 09/15/14 | 5,083 | |||||||||
523 | GS Auto Loan Trust, Series 2007-1, Class A3, 5.390%, 12/15/11 | 525 | |||||||||
Harley-Davidson Motorcycle Trust, | |||||||||||
882 | Series 2006-3, Class A4, 5.220%, 06/15/13 | 903 | |||||||||
2,728 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 2,801 | |||||||||
18,284 | Series 2007-2, Class A4, 5.120%, 08/15/13 | 18,859 | |||||||||
1,915 | Series 2007-3, Class A4, 5.520%, 11/15/13 | 1,981 | |||||||||
4,287 | Series 2009-1, Class A3, 3.190%, 11/15/13 | 4,372 | |||||||||
7,640 | Series 2009-1, Class A4, 4.550%, 01/15/17 | 8,102 | |||||||||
4,679 | Series 2009-3, Class A2, 0.940%, 04/15/12 | 4,681 | |||||||||
6,555 | Series 2009-3, Class A3, 1.740%, 09/15/13 | 6,608 | |||||||||
Honda Auto Receivables Owner Trust, | |||||||||||
3,897 | Series 2007-1, Class A4, 5.090%, 07/18/13 | 3,906 | |||||||||
1,391 | Series 2007-2, Class A4, 5.570%, 11/21/13 | 1,418 | |||||||||
1,477 | Series 2008-1, Class A3, 4.470%, 01/18/12 | 1,488 | |||||||||
4,030 | Series 2008-1, Class A4, 4.880%, 09/18/14 | 4,158 | |||||||||
4,735 | Series 2009-2, Class A3, 2.790%, 01/15/13 | 4,814 | |||||||||
3,025 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 3,073 | |||||||||
1,430 | Series 2009-3, Class A4, 3.300%, 09/15/15 | 1,496 | |||||||||
Household Automotive Trust, | |||||||||||
328 | Series 2006-1, Class A4, 5.520%, 03/18/13 | 328 | |||||||||
1,242 | Series 2006-3, Class A4, 5.340%, 09/17/13 | 1,264 | |||||||||
HSBC Home Equity Loan Trust, | |||||||||||
11,906 | Series 2005-2, Class A1, VAR, 0.536%, 01/20/35 | 10,532 | |||||||||
13,946 | Series 2005-2, Class M1, VAR, 0.726%, 01/20/35 | 12,482 | |||||||||
6,471 | Series 2005-2, Class M2, VAR, 0.756%, 01/20/35 | 5,743 | |||||||||
9,536 | Series 2006-1, Class A1, VAR, 0.426%, 01/20/36 | 8,642 | |||||||||
10,229 | Series 2006-2, Class A1, VAR, 0.416%, 03/20/36 | 9,551 | |||||||||
14,917 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 | 15,897 | |||||||||
9,725 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 | 10,255 | |||||||||
10,020 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 | 10,373 | |||||||||
11,000 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 | 11,323 | |||||||||
10,160 | Series 2007-3, Class APT, VAR, 1.466%, 11/20/36 | 9,081 | |||||||||
40,332 | Huntington Auto Trust, Series 2009-1A, Class A3, 3.940%, 06/17/13 (e) | 41,100 | |||||||||
Hyundai Auto Receivables Trust, | |||||||||||
868 | Series 2006-B, Class A4, 5.150%, 05/15/13 | 878 | |||||||||
629 | Series 2007-A, Class A3A, 5.040%, 01/17/12 | 632 | |||||||||
42 | Series 2007-A, Class A3B, VAR, 0.676%, 01/17/12 | 42 | |||||||||
4,476 | Series 2008-A, Class A3, 4.930%, 12/17/12 | 4,596 | |||||||||
7,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 | 7,615 | |||||||||
725 | Series 2010-A, Class A3, 1.500%, 10/15/14 | 734 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — Continued | |||||||||||
4,300 | Series 2010-B, Class A3, 0.970%, 04/15/15 | 4,299 | |||||||||
10,145 | Series 2010-B, Class A4, 1.630%, 03/15/17 | 10,144 | |||||||||
John Deere Owner Trust, | |||||||||||
2,457 | Series 2009-A, Class A3, 2.590%, 10/15/13 | 2,489 | |||||||||
3,241 | Series 2009-B, Class A2, 0.850%, 03/15/12 | 3,243 | |||||||||
4,770 | Series 2009-B, Class A3, 1.570%, 10/15/13 | 4,813 | |||||||||
239 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 | 254 | |||||||||
Mercedes-Benz Auto Receivables Trust, | |||||||||||
9,680 | Series 2009-1, Class A3, 1.670%, 01/15/14 | 9,814 | |||||||||
7,500 | Series 2010-1, Class A3, 1.420%, 08/15/14 | 7,590 | |||||||||
34,985 | MMCA Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e) | 35,903 | |||||||||
1,189 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 1.764%, 03/25/33 | 753 | |||||||||
1,213 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.364%, 12/25/31 | 788 | |||||||||
Nissan Auto Receivables Owner Trust, | |||||||||||
3,147 | Series 2007-B, Class A4, 5.160%, 03/17/14 | 3,241 | |||||||||
115 | Series 2008-A, Class A3, 3.890%, 08/15/11 | 115 | |||||||||
3,584 | Series 2008-B, Class A3, 4.460%, 04/16/12 | 3,640 | |||||||||
3,222 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 3,322 | |||||||||
7,200 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 7,337 | |||||||||
6,817 | Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.714%, 06/25/35 | 6,754 | |||||||||
53 | Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32 | 44 | |||||||||
25 | Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 | 23 | |||||||||
8,183 | Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.534%, 06/25/35 | 7,428 | |||||||||
TIAA Retail Commercial Trust, | |||||||||||
8,964 | Series 2001-C1A, Class H, 5.770%, 06/19/33 (e) | 9,758 | |||||||||
14,650 | Series 2001-C1A, Class J, 5.770%, 06/19/33 (e) | 15,716 | |||||||||
USAA Auto Owner Trust, | |||||||||||
670 | Series 2006-4, Class A4, 4.980%, 10/15/12 | 673 | |||||||||
3,943 | Series 2007-1, Class A4, 5.550%, 02/15/13 | 4,022 | |||||||||
557 | Series 2008-1, Class A3, 4.160%, 04/16/12 | 560 | |||||||||
2,791 | Series 2008-2, Class A3, 4.640%, 10/15/12 | 2,831 | |||||||||
5,291 | Series 2008-3, Class A3, 4.280%, 10/15/12 | 5,359 | |||||||||
9,560 | Series 2009-2, Class A3, 1.540%, 02/18/14 | 9,647 | |||||||||
1,570 | Series 2009-2, Class A4, 2.530%, 07/15/15 | 1,625 | |||||||||
1,461 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 1,478 | |||||||||
World Omni Auto Receivables Trust, | |||||||||||
561 | Series 2006-B, Class A4, 5.120%, 06/15/12 | 566 | |||||||||
594 | Series 2007-B, Class A3A, 5.280%, 01/17/12 | 596 | |||||||||
5,060 | Series 2007-B, Class A4, 5.390%, 05/15/13 | 5,239 | |||||||||
2,925 | Series 2008-A, Class A4, 4.740%, 10/15/13 | 3,086 | |||||||||
2,206 | Series 2008-B, Class A3A, 5.130%, 04/15/13 | 2,259 | |||||||||
2,000 | Series 2008-B, Class A4, 5.580%, 04/15/14 | 2,151 | |||||||||
5,375 | Series 2009-A, Class A3, 3.330%, 05/15/13 | 5,475 | |||||||||
3,960 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 3,991 | |||||||||
11,865 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 12,175 | |||||||||
Total Asset-Backed Securities (Cost $838,048) | 847,330 | ||||||||||
Collateralized Mortgage Obligations — 10.2% | |||||||||||
Agency CMO — 5.2% | |||||||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, | |||||||||||
1,632 | Series 31, Class Z, 8.000%, 04/25/24 | 1,938 | |||||||||
216 | Series 56, Class Z, 7.500%, 09/20/26 | 253 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, | |||||||||||
20 | Series 2, Class Z, 9.300%, 03/15/19 | 22 | |||||||||
10 | Series 12, Class A, 9.250%, 11/15/19 | 12 | |||||||||
23 | Series 16, Class D, 10.000%, 10/15/19 | 25 | |||||||||
36 | Series 17, Class I, 9.900%, 10/15/19 | 40 | |||||||||
60 | Series 23, Class F, 9.600%, 04/15/20 | 67 | |||||||||
23 | Series 26, Class F, 9.500%, 02/15/20 | 28 | |||||||||
5 | Series 81, Class A, 8.125%, 11/15/20 | 6 | |||||||||
28 | Series 85, Class C, 8.600%, 01/15/21 | 31 | |||||||||
24 | Series 99, Class Z, 9.500%, 01/15/21 | 27 | |||||||||
4 | Series 159, Class H, 4.500%, 09/15/21 | 4 | |||||||||
6 | Series 189, Class D, 6.500%, 10/15/21 | 6 | |||||||||
— | (h) | Series 1045, Class G, HB, IO, 1,066.208%, 02/15/21 | 1 | ||||||||
6 | Series 1053, Class G, 7.000%, 03/15/21 | 7 | |||||||||
17 | Series 1056, Class KZ, 6.500%, 03/15/21 | 18 | |||||||||
7 | Series 1074, Class H, 8.500%, 05/15/21 | 9 | |||||||||
24 | Series 1082, Class C, 9.000%, 05/15/21 | 27 | |||||||||
11 | Series 1087, Class I, 8.500%, 06/15/21 | 13 | |||||||||
31 | Series 1125, Class Z, 8.250%, 08/15/21 | 37 | |||||||||
30 | Series 1142, Class IA, 7.000%, 10/15/21 | 34 | |||||||||
4 | Series 1169, Class G, 7.000%, 11/15/21 | 5 | |||||||||
1 | Series 1173, Class E, 6.500%, 11/15/21 | 1 | |||||||||
62 | Series 1343, Class LA, 8.000%, 08/15/22 | 74 | |||||||||
14 | Series 1424, Class F, VAR, 2.347%, 11/15/22 | 14 | |||||||||
285 | Series 1480, Class LZ, 7.500%, 03/15/23 | 334 | |||||||||
752 | Series 1560, Class Z, 7.000%, 08/15/23 | 871 | |||||||||
58 | Series 1641, Class FA, VAR, 1.263%, 12/15/13 | 58 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
189 | Series 1754, Class Z, 8.500%, 09/15/24 | 227 | |||||||||
408 | Series 1779, Class Z, 8.500%, 04/15/25 | 491 | |||||||||
9 | Series 1807, Class G, 9.000%, 10/15/20 | 10 | |||||||||
— | (h) | Series 1838, Class H, 6.500%, 04/15/11 | — | (h) | |||||||
1,260 | Series 1888, Class Z, 7.000%, 08/15/26 | 1,460 | |||||||||
2,348 | Series 2065, Class PV, 7.000%, 08/17/27 | 2,355 | |||||||||
1,775 | Series 2358, Class PD, 6.000%, 09/15/16 | 1,873 | |||||||||
2,447 | Series 2363, Class PF, 6.000%, 09/15/16 | 2,658 | |||||||||
1,174 | Series 2390, Class CH, 5.500%, 12/15/16 | 1,277 | |||||||||
2,140 | Series 2418, Class MF, 6.000%, 02/15/22 | 2,381 | |||||||||
528 | Series 2425, Class JH, 6.000%, 03/15/17 | 575 | |||||||||
432 | Series 2450, Class PE, 6.000%, 07/15/21 | 435 | |||||||||
1,980 | Series 2453, Class BD, 6.000%, 05/15/17 | 2,150 | |||||||||
1,320 | Series 2458, Class OE, 6.000%, 06/15/17 | 1,440 | |||||||||
952 | Series 2496, Class BK, 5.500%, 09/15/17 | 1,042 | |||||||||
692 | Series 2503, Class TG, 5.500%, 09/15/17 | 758 | |||||||||
744 | Series 2508, Class AQ, 5.500%, 10/15/17 | 815 | |||||||||
3,338 | Series 2513, Class DB, 5.000%, 10/15/17 | 3,624 | |||||||||
10,531 | Series 2517, Class VD, 5.500%, 09/15/20 | 10,639 | |||||||||
95 | Series 2519, Class HB, 5.000%, 10/15/21 | 95 | |||||||||
678 | Series 2528, Class VA, 5.500%, 12/15/12 | 682 | |||||||||
4,565 | Series 2533, Class PE, 5.500%, 12/15/21 | 4,756 | |||||||||
72 | Series 2534, Class HM, 4.500%, 10/15/16 | 74 | |||||||||
6,624 | Series 2561, Class UE, 5.500%, 06/15/22 | 7,081 | |||||||||
450 | Series 2575, Class KA, 5.000%, 11/15/17 | 476 | |||||||||
1,196 | Series 2578, Class DA, 4.500%, 09/15/16 | 1,207 | |||||||||
292 | Series 2579, Class GQ, 4.000%, 01/15/17 | 296 | |||||||||
755 | Series 2583, Class TD, 4.500%, 12/15/13 | 774 | |||||||||
912 | Series 2587, Class WB, 5.000%, 11/15/16 | 929 | |||||||||
18,414 | Series 2600, Class MD, 5.500%, 06/15/32 | 19,808 | |||||||||
1,488 | Series 2617, Class VN, 5.500%, 04/15/14 | 1,576 | |||||||||
1,490 | Series 2632, Class NE, 4.000%, 06/15/13 | 1,503 | |||||||||
6,194 | Series 2635, Class MS, IF, IO, 7.474%, 02/15/18 | 714 | |||||||||
6,900 | Series 2638, Class JG, 5.000%, 02/15/33 | 7,606 | |||||||||
199 | Series 2640, Class VM, 4.500%, 12/15/21 | 205 | |||||||||
3,579 | Series 2641, Class KJ, 4.000%, 01/15/18 | 3,734 | |||||||||
768 | Series 2643, Class ME, 3.500%, 03/15/18 | 800 | |||||||||
1,158 | Series 2666, Class OC, 5.500%, 01/15/22 | 1,234 | |||||||||
2 | Series 2668, Class AD, 4.000%, 01/15/15 | 2 | |||||||||
397 | Series 2685, Class MX, 4.000%, 07/15/16 | 406 | |||||||||
339 | Series 2718, Class TC, 5.000%, 04/15/27 | 344 | |||||||||
488 | Series 2755, Class PA, PO, 02/15/29 | 483 | |||||||||
4,185 | Series 2763, Class PD, 4.500%, 12/15/17 | 4,420 | |||||||||
191 | Series 2763, Class TA, 4.000%, 03/15/11 | 194 | |||||||||
3,266 | Series 2765, Class CA, 4.000%, 07/15/17 | 3,383 | |||||||||
3,500 | Series 2773, Class OB, 5.000%, 02/15/19 | 3,862 | |||||||||
455 | Series 2780, Class YP, 7.500%, 08/15/18 | 484 | |||||||||
390 | Series 2782, Class HE, 4.000%, 09/15/17 | 404 | |||||||||
314 | Series 2786, Class PC, 4.500%, 10/15/16 | 318 | |||||||||
2,245 | Series 2812, Class AB, 4.500%, 10/15/18 | 2,349 | |||||||||
629 | Series 2825, Class VP, 5.500%, 06/15/15 | 692 | |||||||||
4,000 | Series 2836, Class PX, 4.000%, 05/15/18 | 4,226 | |||||||||
147 | Series 2851, Class BD, 4.000%, 02/15/20 | 149 | |||||||||
7,552 | Series 2859, Class SA, IF, IO, 6.974%, 11/15/18 | 567 | |||||||||
3,684 | Series 2875, Class HA, 4.000%, 11/15/18 | 3,863 | |||||||||
2,342 | Series 2924, Class DA, 4.500%, 02/15/19 | 2,454 | |||||||||
644 | Series 2927, Class YN, 4.500%, 10/15/32 | 688 | |||||||||
1,189 | Series 2956, Class LD, 5.000%, 05/15/18 | 1,220 | |||||||||
1,184 | Series 2962, Class WJ, 5.500%, 06/15/24 | 1,252 | |||||||||
17,702 | Series 2989, Class MU, IF, IO, 6.724%, 07/15/34 | 3,159 | |||||||||
2,043 | Series 2993, Class MN, 5.000%, 06/15/23 | 2,141 | |||||||||
1,761 | Series 2995, Class FT, VAR, 0.526%, 05/15/29 | 1,750 | |||||||||
708 | Series 3001, Class YN, 4.500%, 06/15/33 | 740 | |||||||||
1,122 | Series 3005, Class PV, IF, 12.295%, 10/15/33 | 1,290 | |||||||||
4,676 | Series 3036, Class NB, 5.000%, 01/15/29 | 4,865 | |||||||||
602 | Series 3047, Class OB, 5.500%, 12/15/33 | 653 | |||||||||
9,182 | Series 3153, Class JB, 5.500%, 01/15/28 | 9,295 | |||||||||
336 | Series 3173, Class PH, 6.000%, 09/15/27 | 336 | |||||||||
615 | Series 3192, Class GA, 6.000%, 03/15/27 | 615 | |||||||||
5,584 | Series 3197, Class AB, 5.500%, 08/15/13 | 5,675 | |||||||||
168 | Series 3205, Class PA, 6.000%, 04/15/27 | 168 | |||||||||
2,068 | Series 3234, Class MA, 4.500%, 03/15/28 | 2,092 | |||||||||
1,857 | Series 3242, Class NC, 5.750%, 12/15/28 | 1,900 | |||||||||
2,736 | Series 3242, Class PA, 5.750%, 11/15/29 | 2,820 | |||||||||
2,956 | Series 3280, Class MA, 5.500%, 05/15/26 | 2,997 | |||||||||
11,137 | Series 3305, Class IW, IF, IO, 6.174%, 04/15/37 | 1,638 | |||||||||
5,000 | Series 3320, Class TB, 5.500%, 06/15/30 | 5,160 | |||||||||
813 | Series 3329, Class JA, 6.000%, 08/15/28 | 837 | |||||||||
2,857 | Series 3356, Class PA, 6.000%, 11/15/26 | 2,882 | |||||||||
1,032 | Series 3363, Class A, 5.000%, 07/15/16 | 1,079 | |||||||||
69,189 | Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37 | 1,978 | |||||||||
16,395 | Series 3429, Class S, IF, IO, 6.544%, 03/15/38 | 1,979 | |||||||||
43,269 | Series 3437, Class DI, IO, 1.559%, 02/15/12 | 567 | |||||||||
34,972 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 | 719 | |||||||||
7,907 | Series 3546, Class A, VAR, 5.994%, 02/15/39 | 8,407 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
5,184 | Series 3564, Class JA, 4.000%, 01/15/18 | 5,527 | |||||||||
9,228 | Series 3572, Class JS, IF, IO, 6.524%, 09/15/39 | 1,630 | |||||||||
20,839 | Series 3609, Class SA, IF, IO, 6.064%, 12/15/39 | 3,847 | |||||||||
1,666 | Series R008, Class FK, VAR, 0.676%, 07/15/23 | 1,665 | |||||||||
55 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.910%, 09/25/29 | 60 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
19 | Series 1988-7, Class Z, 9.250%, 04/25/18 | 22 | |||||||||
24 | Series 1988-13, Class C, 9.300%, 05/25/18 | 30 | |||||||||
18 | Series 1988-15, Class A, 9.000%, 06/25/18 | 20 | |||||||||
20 | Series 1988-16, Class B, 9.500%, 06/25/18 | 23 | |||||||||
16 | Series 1989-2, Class D, 8.800%, 01/25/19 | 19 | |||||||||
44 | Series 1989-27, Class Y, 6.900%, 06/25/19 | 47 | |||||||||
11 | Series 1989-54, Class E, 8.400%, 08/25/19 | 13 | |||||||||
11 | Series 1989-66, Class J, 7.000%, 09/25/19 | 12 | |||||||||
8 | Series 1989-70, Class G, 8.000%, 10/25/19 | 9 | |||||||||
166 | Series 1989-72, Class E, 9.350%, 10/25/19 | 194 | |||||||||
21 | Series 1989-89, Class H, 9.000%, 11/25/19 | 25 | |||||||||
8 | Series 1989-96, Class H, 9.000%, 12/25/19 | 9 | |||||||||
14 | Series 1990-7, Class B, 8.500%, 01/25/20 | 17 | |||||||||
12 | Series 1990-12, Class G, 4.500%, 02/25/20 | 12 | |||||||||
220 | Series 1990-19, Class G, 9.750%, 02/25/20 | 253 | |||||||||
46 | Series 1990-58, Class J, 7.000%, 05/25/20 | 52 | |||||||||
42 | Series 1990-61, Class H, 7.000%, 06/25/20 | 48 | |||||||||
20 | Series 1990-106, Class J, 8.500%, 09/25/20 | 24 | |||||||||
9 | Series 1990-109, Class J, 7.000%, 09/25/20 | 10 | |||||||||
27 | Series 1990-111, Class Z, 8.750%, 09/25/20 | 29 | |||||||||
12 | Series 1990-117, Class E, 8.950%, 10/25/20 | 14 | |||||||||
13 | Series 1990-123, Class G, 7.000%, 10/25/20 | 15 | |||||||||
13 | Series 1990-132, Class Z, 7.000%, 11/25/20 | 15 | |||||||||
501 | Series 1990-137, Class X, 9.000%, 12/25/20 | 612 | |||||||||
4 | Series 1991-53, Class J, 7.000%, 05/25/21 | 5 | |||||||||
29 | Series 1991-130, Class C, 9.000%, 09/25/21 | 33 | |||||||||
3 | Series 1992-96, Class B, PO, 05/25/22 | 3 | |||||||||
2,596 | Series 1992-131, Class KB, 8.000%, 08/25/22 | 3,088 | |||||||||
2,486 | Series 1992-185, Class L, 8.000%, 10/25/22 | 2,956 | |||||||||
9 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 | 11 | |||||||||
15 | Series 1993-220, Class PJ, 6.000%, 11/25/13 | 15 | |||||||||
— | (h) | Series 1993-225, Class MC, PO, 11/25/23 | — | (h) | |||||||
70 | Series 1993-235, Class G, PO, 09/25/23 | 63 | |||||||||
4,681 | Series 1994-15, Class ZK, 5.500%, 02/25/24 | 5,228 | |||||||||
6,376 | Series 1994-43, Class PK, 6.350%, 02/25/24 | 7,259 | |||||||||
1 | Series 1997-46, Class PN, 6.500%, 07/18/12 | 1 | |||||||||
7 | Series 1997-55, Class B, 7.000%, 02/18/27 | 7 | |||||||||
8,749 | Series 1999-6, Class PB, 6.000%, 03/25/19 | 9,678 | |||||||||
2,914 | Series 1999-42, Class SA, IF, IO, 7.936%, 10/25/28 | 103 | |||||||||
2,100 | Series 2002-2, Class MG, 6.000%, 02/25/17 | 2,289 | |||||||||
1,140 | Series 2002-3, Class OG, 6.000%, 02/25/17 | 1,238 | |||||||||
2,120 | Series 2002-28, Class LD, 6.000%, 05/25/17 | 2,305 | |||||||||
1,233 | Series 2002-58, Class HC, 5.500%, 09/25/17 | 1,347 | |||||||||
2,455 | Series 2002-59, Class UC, 5.500%, 09/25/17 | 2,687 | |||||||||
809 | Series 2002-63, Class KC, 5.000%, 10/25/17 | 878 | |||||||||
2,919 | Series 2003-3, Class PD, 5.000%, 08/25/16 | 2,977 | |||||||||
9,302 | Series 2003-5, Class SE, IF, IO, 7.386%, 08/25/22 | 662 | |||||||||
2,595 | Series 2003-16, Class LJ, 5.000%, 03/25/18 | 2,845 | |||||||||
294 | Series 2003-21, Class M, 5.000%, 02/25/17 | 301 | |||||||||
17,906 | Series 2003-25, Class CS, IF, IO, 7.386%, 03/25/17 | 660 | |||||||||
4,782 | Series 2003-25, Class SC, IF, IO, 7.386%, 03/25/17 | 142 | |||||||||
2,751 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 | 480 | |||||||||
3,908 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 | 683 | |||||||||
8,516 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 | 886 | |||||||||
8,801 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 | 643 | |||||||||
24 | Series 2003-86, Class DM, 4.000%, 09/25/10 | 24 | |||||||||
5,720 | Series 2003-89, Class DC, 5.000%, 12/25/32 | 6,209 | |||||||||
3,881 | Series 2003-92, Class HP, 4.500%, 09/25/18 | 4,206 | |||||||||
160 | Series 2003-108, Class HA, 5.000%, 01/25/27 | 161 | |||||||||
1,442 | Series 2003-120, Class BQ, 4.000%, 09/25/16 | 1,471 | |||||||||
3,221 | Series 2003-129, Class ME, 5.000%, 08/25/23 | 3,572 | |||||||||
8,191 | Series 2004-65, Class EJ, 5.000%, 05/25/23 | 8,628 | |||||||||
1,428 | Series 2004-72, Class F, VAR, 0.764%, 09/25/34 | 1,430 | |||||||||
412 | Series 2004-101, Class AR, 5.500%, 01/25/35 | 462 | |||||||||
1,149 | Series 2005-1, Class HC, 5.000%, 09/25/28 | 1,186 | |||||||||
17,123 | Series 2005-19, Class PA, 5.500%, 07/25/34 | 18,864 | |||||||||
6,186 | Series 2005-19, Class SK, IF, IO, 6.486%, 11/25/22 | 273 | |||||||||
835 | Series 2005-27, Class TH, 5.500%, 07/25/31 | 862 | |||||||||
5,717 | Series 2005-30, Class TA, 5.000%, 04/25/22 | 5,861 | |||||||||
5,139 | Series 2005-38, Class FK, VAR, 0.564%, 05/25/35 | 5,111 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
941 | Series 2005-40, Class YA, 5.000%, 09/25/20 | 987 | |||||||||
630 | Series 2005-47, Class AN, 5.000%, 12/25/16 | 639 | |||||||||
545 | Series 2005-48, Class OM, 5.000%, 03/25/30 | 561 | |||||||||
2,549 | Series 2005-68, Class JK, 5.250%, 05/25/35 | 2,556 | |||||||||
819 | Series 2005-83, Class LJ, 5.000%, 10/25/35 | 819 | |||||||||
589 | Series 2005-84, Class MB, 5.750%, 10/25/35 | 663 | |||||||||
2,757 | Series 2005-104, Class YA, 5.500%, 10/25/19 | 2,780 | |||||||||
6,742 | Series 2006-22, Class DV, 5.500%, 03/25/17 | 7,127 | |||||||||
4,450 | Series 2006-39, Class WB, 5.500%, 10/25/30 | 4,660 | |||||||||
12,707 | Series 2006-58, Class ST, IF, IO, 6.886%, 07/25/36 | 1,184 | |||||||||
21 | Series 2006-81, Class NA, 6.000%, 02/25/27 | 21 | |||||||||
2,854 | Series 2006-102, Class MA, 6.000%, 07/25/27 | 2,871 | |||||||||
1,574 | Series 2007-16, Class FC, VAR, 1.014%, 03/25/37 | 1,589 | |||||||||
3,148 | Series 2007-22, Class SC, IF, IO, 5.816%, 03/25/37 | 261 | |||||||||
19,601 | Series 2007-33, Class MS, IF, IO, 6.326%, 04/25/37 | 3,133 | |||||||||
4,138 | Series 2007-47, Class PA, 5.000%, 02/25/28 | 4,211 | |||||||||
5,583 | Series 2007-54, Class FA, VAR, 0.664%, 06/25/37 | 5,581 | |||||||||
7,478 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 7,893 | |||||||||
2,821 | Series 2007-79, Class MA, 5.500%, 12/25/28 | 2,890 | |||||||||
21,690 | Series 2007-85, Class SH, IF, IO, 6.236%, 09/25/37 | 2,162 | |||||||||
20,368 | Series 2007-95, Class A1, VAR, 0.514%, 08/27/36 | 20,338 | |||||||||
4,809 | Series 2007-106, Class A7, VAR, 6.061%, 10/25/37 | 5,099 | |||||||||
7,920 | Series 2008-18, Class SE, IF, IO, 6.006%, 03/25/38 | 877 | |||||||||
83,780 | Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12 | 1,191 | |||||||||
1,974 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 | 241 | |||||||||
35,019 | Series 2008-95, Class AI, IO, 5.000%, 12/25/23 | 3,856 | |||||||||
7,580 | Series 2009-29, Class LA, VAR, 5.702%, 05/25/39 | 7,742 | |||||||||
71,172 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 | 7,156 | |||||||||
13,341 | Series 2010-9, Class PA, 4.500%, 10/25/39 | 13,683 | |||||||||
20,380 | Series 2010-60, Class IO, IO, 4.000%, 06/25/20 | 2,266 | |||||||||
19,342 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 20,995 | |||||||||
19 | Series G-11, Class Z, 8.500%, 05/25/21 | 22 | |||||||||
8 | Series G-22, Class ZT, 8.000%, 12/25/16 | 10 | |||||||||
11 | Series G-41, Class PT, 7.500%, 10/25/21 | 12 | |||||||||
1,305 | Series G92-19, Class M, 8.500%, 04/25/22 | 1,570 | |||||||||
36 | Series G92-35, Class E, 7.500%, 07/25/22 | 41 | |||||||||
1,125 | Series G92-35, Class EA, 8.000%, 07/25/22 | 1,338 | |||||||||
18 | Series G92-40, Class ZC, 7.000%, 07/25/22 | 20 | |||||||||
156 | Series G92-44, Class ZQ, 8.000%, 07/25/22 | 186 | |||||||||
40 | Series G92-54, Class ZQ, 7.500%, 09/25/22 | 46 | |||||||||
5,963 | Series G92-64, Class J, 8.000%, 11/25/22 | 7,092 | |||||||||
2,382 | Series G92-66, Class K, 8.000%, 12/25/22 | 2,833 | |||||||||
2,305 | Series G94-6, Class PJ, 8.000%, 05/17/24 | 2,741 | |||||||||
Federal National Mortgage Association STRIPS, | |||||||||||
1 | Series 25, Class 1, 6.000%, 02/01/13 | 1 | |||||||||
133 | Series 108, Class 1, PO, 03/01/20 | 131 | |||||||||
3 | Series 268, Class 2, IO, 9.000%, 02/01/23 | — | (h) | ||||||||
2,162 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 | 349 | |||||||||
1,908 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 | 323 | |||||||||
2,636 | Series 334, Class 24, IO, VAR, 5.000%, 02/01/18 | 224 | |||||||||
4,216 | Series 334, Class 9, IO, 6.000%, 03/01/33 | 674 | |||||||||
16,070 | Series 343, Class 21, IO, 4.000%, 09/01/18 | 1,423 | |||||||||
6,896 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 | 674 | |||||||||
2,746 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 | 260 | |||||||||
1,833 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 | 194 | |||||||||
1,992 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 | 243 | |||||||||
2,478 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 | 271 | |||||||||
1,394 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 | 197 | |||||||||
7,251 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 | 810 | |||||||||
10,794 | Series 394, Class C3, IO, 6.500%, 09/25/38 | 2,570 | |||||||||
Federal National Mortgage Association Whole Loan, | |||||||||||
3 | Series 1995-W3, Class A, 9.000%, 04/25/25 | 3 | |||||||||
20,742 | Series 2007-W1, Class 1AF1, VAR, 0.524%, 11/25/46 | 20,633 | |||||||||
Government National Mortgage Association, | |||||||||||
121 | Series 1997-12, Class D, 7.500%, 09/20/27 | 141 | |||||||||
2,327 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 | 399 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Agency CMO — Continued | |||||||||||
13,684 | Series 2008-75, Class SP, IF, IO, 7.204%, 08/20/38 | 1,627 | |||||||||
20,173 | Series 2009-14, Class KS, IF, IO, 6.034%, 03/20/39 | 2,064 | |||||||||
5,373 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 | 562 | |||||||||
48,657 | Series 2009-14, Class SA, IF, IO, 5.814%, 03/20/39 | 4,367 | |||||||||
25 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 | 29 | |||||||||
501,382 | |||||||||||
Non-Agency CMO — 5.0% | |||||||||||
ABN Amro Mortgage Corp., | |||||||||||
7,852 | Series 2003-7, Class A3, 4.500%, 07/25/18 | 8,028 | |||||||||
3,695 | Series 2003-9, Class A1, 4.500%, 08/25/18 | 3,803 | |||||||||
1,221 | Series 2003-9, Class A2, 4.500%, 08/25/18 | 1,213 | |||||||||
20,000 | American General Mortgage Loan Trust, Series 2009-1, Class A4, VAR, 5.750%, 09/25/48 (e) | 20,515 | |||||||||
Banc of America Mortgage Securities, Inc., | |||||||||||
2,873 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 | 2,876 | |||||||||
2,981 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 | 3,005 | |||||||||
8,409 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 | 8,595 | |||||||||
5,118 | Series 2004-5, Class 3A5, 4.750%, 06/25/19 | 5,095 | |||||||||
15,030 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 | 15,063 | |||||||||
2,755 | Series 2004-6, Class 1A8, 5.500%, 07/25/34 | 2,816 | |||||||||
18,383 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 | 18,183 | |||||||||
8,805 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 | 8,931 | |||||||||
BCAP LLC Trust, | |||||||||||
7,719 | Series 2006-RR1, Class PA, 5.000%, 11/25/36 | 7,778 | |||||||||
8,446 | Series 2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) | 8,361 | |||||||||
4,619 | Series 2010-RR4, Class 4A1, VAR, 0.402%, 01/26/37 (e) | 4,527 | |||||||||
9,788 | Series 2010-RR4, Class 5A7, VAR, 0.582%, 05/26/37 (e) | 9,397 | |||||||||
15,448 | Series 2010-RR5, Class 6A1, VAR, 0.372%, 03/26/37 (e) | 15,061 | |||||||||
7,509 | Series 2010-RR6, Class 23A7, VAR, 0.472%, 06/26/37 (e) | 7,472 | |||||||||
463 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 3.011%, 10/25/33 | 447 | |||||||||
1,169 | Cendant Mortgage Corp., Series 2004-3, Class A3, VAR, 5.503%, 06/25/34 | 1,159 | |||||||||
Chase Mortgage Finance Corp., | |||||||||||
8,084 | Series 2003-S10, Class A1, 4.750%, 11/25/18 | 8,311 | |||||||||
2,443 | Series 2003-S13, Class A2, 5.000%, 11/25/33 | 2,542 | |||||||||
1,578 | Citicorp Mortgage Securities, Inc., Series 2004-3, Class A8, 5.250%, 05/25/34 | 1,578 | |||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||
2,570 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 | 2,630 | |||||||||
10,634 | Series 2004-UST1, Class A6, VAR, 5.081%, 08/25/34 | 10,474 | |||||||||
288 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 | 297 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, | |||||||||||
10,929 | Series 2003-34, Class A6, 5.250%, 09/25/33 | 11,298 | |||||||||
3,822 | Series 2003-J13, Class 1A5, 5.250%, 11/25/14 | 3,824 | |||||||||
8,132 | Series 2003-J15, Class 3A1, 5.000%, 01/25/19 | 8,410 | |||||||||
1,885 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 | 1,921 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
5,601 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 | 5,688 | |||||||||
7,925 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 | 8,260 | |||||||||
1,617 | Series 2007-5, Class 5A5, VAR, 5.500%, 12/25/14 | 1,567 | |||||||||
159 | First Horizon Alternative Mortgage Securities, Series 2005-FA7, Class 1A5, 5.500%, 10/25/35 | 159 | |||||||||
First Horizon Asset Securities, Inc., | |||||||||||
9,582 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 | 9,915 | |||||||||
5,945 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 | 6,119 | |||||||||
GMAC Mortgage Corp. Loan Trust, | |||||||||||
8,650 | Series 2003-AR1, Class A4, VAR, 3.784%, 10/19/33 | 8,539 | |||||||||
2 | Series 2003-J1, Class A3, 5.250%, 03/25/18 | 2 | |||||||||
580 | Series 2003-J4, Class 2A1, 4.750%, 09/25/18 | 598 | |||||||||
11,458 | GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19 | 11,332 | |||||||||
2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.624%, 02/25/35 | 1,822 | |||||||||
11,592 | JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1, VAR, 2.932%, 08/25/34 | 11,267 | |||||||||
14 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 | 16 | |||||||||
5,381 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 2.906%, 11/21/34 | 5,349 | |||||||||
369 | MASTR Alternative Loans Trust, Series 2004-8, Class 6A1, 5.500%, 09/25/19 | 379 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateralized Mortgage Obligations — Continued | |||||||||||
Non-Agency CMO — Continued | |||||||||||
MASTR Asset Securitization Trust, | |||||||||||
2,165 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 | 2,223 | |||||||||
5,447 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 | 5,575 | |||||||||
3,446 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 | 3,562 | |||||||||
8,108 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 | 8,384 | |||||||||
4,282 | Series 2006-1, Class 1A1, 5.750%, 05/25/36 | 4,371 | |||||||||
2,180 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.544%, 08/25/35 | 1,852 | |||||||||
7 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 | 7 | |||||||||
663 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 | 671 | |||||||||
Nomura Asset Acceptance Corp., | |||||||||||
2,098 | Series 2005-AR1, Class 1A1, VAR, 2.809%, 02/25/35 | 1,555 | |||||||||
1,000 | Series 2005-AR2, Class 3A1, VAR, 0.514%, 05/25/35 | 858 | |||||||||
2,734 | Series 2005-AR6, Class 4A1, VAR, 0.524%, 12/25/35 | 1,367 | |||||||||
9 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 | 11 | |||||||||
11,622 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 | 11,946 | |||||||||
Residential Accredit Loans, Inc., | |||||||||||
782 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 | 662 | |||||||||
3,820 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 | 3,860 | |||||||||
968 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31 | 968 | |||||||||
3,728 | Residential Funding Mortgage Securities I, Series 2002-S18, Class A1, 5.250%, 12/25/17 | 3,756 | |||||||||
Structured Asset Securities Corp., | |||||||||||
8,241 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 | 7,917 | |||||||||
3,089 | Series 2003-31A, Class B1, VAR, 2.855%, 10/25/33 | 1,157 | |||||||||
7,255 | Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VAR, 0.384%, 07/25/36 | 7,124 | |||||||||
4,800 | WaMu Mortgage Pass-Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 | 5,003 | |||||||||
709 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS3, Class 1A4, 6.500%, 05/25/32 | 710 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust, | |||||||||||
10,376 | Series 2003-10, Class A1, 4.500%, 09/25/18 | 10,709 | |||||||||
7,958 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 | 8,210 | |||||||||
8,263 | Series 2003-12, Class A1, 4.750%, 11/25/18 | 8,521 | |||||||||
9,519 | Series 2003-12, Class A2, 4.500%, 11/25/18 | 9,749 | |||||||||
865 | Series 2003-12, Class A3, 5.000%, 11/25/18 | 894 | |||||||||
7,738 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 | 8,019 | |||||||||
10,809 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 | 11,081 | |||||||||
6,601 | Series 2003-K, Class 1A1, VAR, 4.471%, 11/25/33 | 6,484 | |||||||||
105 | Series 2003-K, Class 1A2, VAR, 4.471%, 11/25/33 | 103 | |||||||||
15,246 | Series 2003-M, Class A1, VAR, 4.677%, 12/25/33 | 15,278 | |||||||||
9,095 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 | 9,419 | |||||||||
3,246 | Series 2004-EE, Class 2A2, VAR, 2.898%, 12/25/34 | 3,155 | |||||||||
4,159 | Series 2004-EE, Class 3A2, VAR, 3.100%, 12/25/34 | 3,999 | |||||||||
9,824 | Series 2004-O, Class A1, VAR, 4.856%, 08/25/34 | 9,962 | |||||||||
16,575 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 | 17,060 | |||||||||
15,564 | Series 2005-13, Class A1, 5.000%, 11/25/20 | 16,163 | |||||||||
486,967 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $973,504) | 988,349 | ||||||||||
Commercial Mortgage-Backed Securities — 1.3% | |||||||||||
Banc of America Commercial Mortgage, Inc., | |||||||||||
1,738 | Series 2002-2, Class A2, 4.772%, 07/11/43 | 1,768 | |||||||||
3,760 | Series 2004-5, Class A3, 4.561%, 11/10/41 | 3,850 | |||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||
5,853 | Series 2002-TOP6, Class A2, 6.460%, 10/15/36 | 6,187 | |||||||||
2,825 | Series 2005-PWR8, Class A4, 4.674%, 06/11/41 | 2,990 | |||||||||
448 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.919%, 03/15/49 | 455 | |||||||||
1,771 | Commercial Mortgage Acceptance Corp., Series 1998-C2, Class F, VAR, 5.440%, 09/15/30 (e) | 1,835 | |||||||||
1,330 | Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 | 1,455 | |||||||||
4,804 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43 | 4,837 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
5,133 | Series 2001-CF2, Class A4, 6.505%, 02/15/34 | 5,150 | |||||||||
2,206 | Series 2002-CKS4, Class A1, 4.485%, 11/15/36 | 2,218 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Commercial Mortgage-Backed Securities — Continued | |||||||||||
2,725 | Series 2005-C6, Class A2FX, VAR, 5.207%, 12/15/40 | 2,727 | |||||||||
16,881 | Defeased Loan Trust, Series 2010-1, Class A, 2.360%, 01/13/14 (e) | 17,385 | |||||||||
13,028 | First Union National Bank Commercial Mortgage, Series 2000-C2, Class B, VAR, 7.281%, 10/15/32 | 13,017 | |||||||||
GMAC Commercial Mortgage Securities, Inc., | |||||||||||
1,383 | Series 2003-C1, Class A1, 3.337%, 05/10/36 | 1,404 | |||||||||
672 | Series 2003-C3, Class A3, 4.646%, 04/10/40 | 682 | |||||||||
2,000 | GS Mortgage Securities Corp. II, Series 2001-GL3A, Class A2, VAR, 6.449%, 08/05/18 (e) | 2,086 | |||||||||
229 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A2, 4.201%, 12/15/29 | 230 | |||||||||
565 | Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41 | 565 | |||||||||
Morgan Stanley Capital I, | |||||||||||
3,875 | Series 2003-T11, Class A3, 4.850%, 06/13/41 | 3,982 | |||||||||
331 | Series 2006-T23, Class A1, 5.682%, 08/12/41 | 335 | |||||||||
Morgan Stanley Dean Witter Capital I, | |||||||||||
2,250 | Series 2001-280, Class A2, 6.494%, 02/03/16 (e) | 2,302 | |||||||||
3,710 | Series 2001-280, Class E, 7.145%, 02/03/16 (e) | 3,805 | |||||||||
2,986 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 | 3,231 | |||||||||
5,007 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 | 5,034 | |||||||||
Prudential Mortgage Capital Funding LLC, | |||||||||||
10,000 | Series 2001-ROCK, Class B, 6.760%, 05/10/34 | 10,328 | |||||||||
10,000 | Series 2001-ROCK, Class C, 6.936%, 05/10/34 | 10,229 | |||||||||
18,325 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.044%, 08/15/39 | 20,433 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $126,624) | 128,520 | ||||||||||
Corporate Bonds — 14.1% | |||||||||||
Consumer Discretionary — 0.4% | |||||||||||
Auto Components — 0.0% (g) | |||||||||||
4,435 | Johnson Controls, Inc., 4.875%, 09/15/13 | 4,805 | |||||||||
Automobiles — 0.0% (g) | |||||||||||
Daimler Finance North America LLC, | |||||||||||
1,000 | 5.750%, 09/08/11 | 1,047 | |||||||||
1,000 | 6.500%, 11/15/13 | 1,142 | |||||||||
2,189 | |||||||||||
Media — 0.2% | |||||||||||
310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 | 360 | |||||||||
1,463 | Comcast Cable Communications LLC, 7.125%, 06/15/13 | 1,678 | |||||||||
Cox Communications, Inc., | |||||||||||
2,160 | 5.450%, 12/15/14 | 2,434 | |||||||||
1,255 | 7.750%, 11/01/10 | 1,269 | |||||||||
Time Warner Cable, Inc., | |||||||||||
3,990 | 3.500%, 02/01/15 | 4,154 | |||||||||
400 | 6.200%, 07/01/13 | 450 | |||||||||
875 | 7.500%, 04/01/14 | 1,030 | |||||||||
2,000 | Viacom, Inc., 4.375%, 09/15/14 | 2,164 | |||||||||
Walt Disney Co. (The), | |||||||||||
585 | 4.700%, 12/01/12 | 635 | |||||||||
1,775 | 6.375%, 03/01/12 | 1,923 | |||||||||
16,097 | |||||||||||
Multiline Retail — 0.1% | |||||||||||
1,256 | Kohl’s Corp., 7.375%, 10/15/11 | 1,336 | |||||||||
Target Corp., | |||||||||||
1,190 | 5.125%, 01/15/13 | 1,302 | |||||||||
505 | 6.350%, 01/15/11 | 516 | |||||||||
1,615 | Wal-Mart Stores, Inc., 2.250%, 07/08/15 (c) | 1,661 | |||||||||
4,815 | |||||||||||
Specialty Retail — 0.1% | |||||||||||
Home Depot, Inc., | |||||||||||
330 | 5.200%, 03/01/11 | 337 | |||||||||
2,555 | 5.250%, 12/16/13 | 2,839 | |||||||||
2,675 | Staples, Inc., 9.750%, 01/15/14 | 3,321 | |||||||||
6,497 | |||||||||||
Total Consumer Discretionary | 34,403 | ||||||||||
Consumer Staples — 0.6% | |||||||||||
Beverages — 0.3% | |||||||||||
1,840 | Bottling Group LLC, 5.000%, 11/15/13 | 2,059 | |||||||||
5,050 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 5,475 | |||||||||
Coca-Cola Enterprises, Inc., | |||||||||||
980 | 5.000%, 08/15/13 | 1,085 | |||||||||
1,665 | 7.375%, 03/03/14 | 2,004 | |||||||||
1,585 | 8.500%, 02/01/12 | 1,745 | |||||||||
475 | Diageo Capital plc, (United Kingdom), 5.200%, 01/30/13 | 518 | |||||||||
5,035 | Diageo Finance B.V., (Netherlands), 5.500%, 04/01/13 | 5,563 | |||||||||
2,975 | PepsiCo, Inc., 3.750%, 03/01/14 | 3,209 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Beverages — Continued | |||||||||||
4,800 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) | 5,281 | |||||||||
26,939 | |||||||||||
Food & Staples Retailing — 0.1% | |||||||||||
1,250 | CVS Caremark Corp., 3.250%, 05/18/15 | 1,303 | |||||||||
2,295 | Kroger Co. (The), 7.500%, 01/15/14 | 2,715 | |||||||||
Wal-Mart Stores, Inc., | |||||||||||
695 | 4.550%, 05/01/13 | 762 | |||||||||
2,780 | 7.250%, 06/01/13 | 3,248 | |||||||||
8,028 | |||||||||||
Food Products — 0.2% | |||||||||||
4,100 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 4,400 | |||||||||
Cargill, Inc., | |||||||||||
1,215 | 4.375%, 06/01/13 (e) | 1,302 | |||||||||
1,385 | 5.000%, 11/15/13 (e) | 1,532 | |||||||||
1,450 | 5.200%, 01/22/13 (e) | 1,575 | |||||||||
2,600 | General Mills, Inc., 5.250%, 08/15/13 | 2,891 | |||||||||
600 | HJ Heinz Finance Co., 6.625%, 07/15/11 | 629 | |||||||||
710 | Kellogg Co., 4.250%, 03/06/13 | 762 | |||||||||
Kraft Foods, Inc., | |||||||||||
1,500 | 5.250%, 10/01/13 | 1,649 | |||||||||
1,115 | 6.000%, 02/11/13 | 1,237 | |||||||||
2,959 | 6.250%, 06/01/12 | 3,215 | |||||||||
2,780 | 6.750%, 02/19/14 | 3,225 | |||||||||
22,417 | |||||||||||
Household Products — 0.0% (g) | |||||||||||
905 | Kimberly-Clark Corp., 5.625%, 02/15/12 | 966 | |||||||||
Total Consumer Staples | 58,350 | ||||||||||
Energy — 0.4% | |||||||||||
Oil, Gas & Consumable Fuels — 0.4% | |||||||||||
Anadarko Petroleum Corp., | |||||||||||
435 | 5.750%, 06/15/14 | 442 | |||||||||
2,000 | 7.625%, 03/15/14 (c) | 2,150 | |||||||||
1,390 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 1,525 | |||||||||
800 | Chevron Corp., 3.950%, 03/03/14 | 873 | |||||||||
ConocoPhillips, | |||||||||||
1,145 | 4.750%, 02/01/14 | 1,270 | |||||||||
2,930 | 9.375%, 02/15/11 | 3,050 | |||||||||
3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 | 3,504 | |||||||||
5,490 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 | 5,839 | |||||||||
1,975 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 | 2,182 | |||||||||
Shell International Finance B.V., (Netherlands), | |||||||||||
2,615 | 1.875%, 03/25/13 | 2,669 | |||||||||
1,322 | 3.100%, 06/28/15 | 1,384 | |||||||||
5,225 | 4.000%, 03/21/14 | 5,663 | |||||||||
2,400 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 2,680 | |||||||||
1,325 | XTO Energy, Inc., 4.625%, 06/15/13 | 1,457 | |||||||||
Total Energy | 34,688 | ||||||||||
Financials — 8.6% | |||||||||||
Capital Markets — 1.9% | |||||||||||
Bank of New York Mellon Corp. (The), | |||||||||||
1,870 | 3.100%, 01/15/15 | 1,962 | |||||||||
2,180 | 4.300%, 05/15/14 | 2,384 | |||||||||
3,000 | 4.500%, 04/01/13 | 3,260 | |||||||||
3,890 | 5.125%, 08/27/13 | 4,326 | |||||||||
BlackRock, Inc., | |||||||||||
1,700 | 2.250%, 12/10/12 | 1,742 | |||||||||
4,000 | 3.500%, 12/10/14 | 4,238 | |||||||||
4,035 | Charles Schwab Corp. (The), 4.950%, 06/01/14 | 4,455 | |||||||||
2,300 | Citicorp, 7.250%, 10/15/11 | 2,430 | |||||||||
Credit Suisse USA, Inc., | |||||||||||
3,222 | 5.125%, 01/15/14 | 3,501 | |||||||||
6,020 | 6.125%, 11/15/11 | 6,384 | |||||||||
4,500 | 6.500%, 01/15/12 | 4,829 | |||||||||
Goldman Sachs Group, Inc. (The), | |||||||||||
3,082 | 3.700%, 08/01/15 | 3,120 | |||||||||
2,000 | 5.000%, 01/15/11 | 2,029 | |||||||||
2,800 | 5.000%, 10/01/14 | 3,003 | |||||||||
4,235 | 5.150%, 01/15/14 | 4,546 | |||||||||
950 | 5.250%, 04/01/13 | 1,023 | |||||||||
5,300 | 5.250%, 10/15/13 | 5,736 | |||||||||
5,335 | 5.450%, 11/01/12 | 5,718 | |||||||||
18,840 | 6.000%, 05/01/14 | 20,866 | |||||||||
3,000 | 6.600%, 01/15/12 | 3,205 | |||||||||
2,050 | Jefferies Group, Inc., 7.750%, 03/15/12 (c) | 2,207 | |||||||||
Lehman Brothers Holdings, Inc., | |||||||||||
2,225 | 3.950%, 11/10/09 (d) | 467 | |||||||||
500 | 5.750%, 07/18/11 (d) | 105 | |||||||||
1,062 | 6.625%, 01/18/12 (d) | 223 | |||||||||
Merrill Lynch & Co., Inc., | |||||||||||
1,000 | 4.500%, 11/04/10 | 1,005 | |||||||||
968 | 5.000%, 01/15/15 | 1,025 | |||||||||
4,376 | 5.450%, 02/05/13 | 4,671 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Capital Markets — Continued | |||||||||||
4,591 | 5.450%, 07/15/14 | 4,916 | |||||||||
1,100 | 6.050%, 08/15/12 | 1,180 | |||||||||
11,601 | 6.150%, 04/25/13 | 12,643 | |||||||||
Morgan Stanley, | |||||||||||
1,600 | 4.100%, 01/26/15 | 1,633 | |||||||||
3,682 | 4.200%, 11/20/14 | 3,792 | |||||||||
915 | 4.750%, 04/01/14 | 942 | |||||||||
7,400 | 5.250%, 11/02/12 | 7,873 | |||||||||
5,805 | 5.750%, 08/31/12 | 6,202 | |||||||||
13,150 | 6.000%, 05/13/14 | 14,331 | |||||||||
3,000 | 6.600%, 04/01/12 | 3,219 | |||||||||
7,790 | Nomura Holdings, Inc., (Japan), 5.000%, 03/04/15 | 8,363 | |||||||||
Northern Trust Corp., | |||||||||||
1,400 | 4.625%, 05/01/14 | 1,548 | |||||||||
2,910 | 5.300%, 08/29/11 | 3,046 | |||||||||
970 | 5.500%, 08/15/13 | 1,088 | |||||||||
5,353 | State Street Corp., 4.300%, 05/30/14 | 5,878 | |||||||||
UBS AG, (Switzerland), | |||||||||||
488 | 2.250%, 08/12/13 | 490 | |||||||||
6,670 | 3.875%, 01/15/15 | 6,892 | |||||||||
182,496 | |||||||||||
Commercial Banks — 2.4% | |||||||||||
1,000 | American Express Bank FSB, 5.500%, 04/16/13 | 1,087 | |||||||||
1,190 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) | 1,206 | |||||||||
2,345 | Bank of America Corp., 5.375%, 09/11/12 | 2,490 | |||||||||
5,300 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 | 5,435 | |||||||||
2,782 | Bank of Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e) | 2,846 | |||||||||
Barclays Bank plc, (United Kingdom), | |||||||||||
8,995 | 2.500%, 01/23/13 | 9,159 | |||||||||
4,450 | 3.900%, 04/07/15 (c) | 4,656 | |||||||||
2,980 | 5.200%, 07/10/14 | 3,278 | |||||||||
BB&T Corp., | |||||||||||
5,269 | 3.375%, 09/25/13 | 5,517 | |||||||||
4,680 | 3.850%, 07/27/12 | 4,902 | |||||||||
4,555 | 4.750%, 10/01/12 | 4,816 | |||||||||
1,232 | 6.500%, 08/01/11 | 1,294 | |||||||||
5,000 | BNY Mellon N.A., 4.750%, 12/15/14 | 5,554 | |||||||||
2,185 | Branch Banking & Trust Co., 4.875%, 01/15/13 | 2,328 | |||||||||
3,000 | Canadian Imperial Bank of Commerce, (Canada), 2.600%, 07/02/15 (e) | 3,077 | |||||||||
Credit Suisse, (Switzerland), | |||||||||||
5,225 | 3.450%, 07/02/12 | 5,411 | |||||||||
7,820 | 3.500%, 03/23/15 | 8,112 | |||||||||
6,514 | 5.000%, 05/15/13 | 7,048 | |||||||||
3,600 | 5.500%, 05/01/14 | 3,985 | |||||||||
Deutsche Bank AG, (Germany), | |||||||||||
8,290 | 2.375%, 01/11/13 | 8,440 | |||||||||
3,890 | 3.875%, 08/18/14 | 4,145 | |||||||||
1,445 | 4.875%, 05/20/13 | 1,560 | |||||||||
600 | 5.375%, 10/12/12 | 648 | |||||||||
6,640 | Deutsche Bank Financial LLC, 5.375%, 03/02/15 | 7,293 | |||||||||
4,000 | HSBC Bank USA N.A., 4.625%, 04/01/14 | 4,270 | |||||||||
1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 | 1,768 | |||||||||
KeyBank N.A., | |||||||||||
1,778 | 5.500%, 09/17/12 | 1,895 | |||||||||
750 | 5.700%, 08/15/12 | 794 | |||||||||
1,290 | 5.800%, 07/01/14 | 1,408 | |||||||||
720 | KeyCorp, 6.500%, 05/14/13 | 788 | |||||||||
1,525 | M&I Marshall & Ilsley Bank, 5.150%, 02/22/12 | 1,513 | |||||||||
805 | M&T Bank Corp., 5.375%, 05/24/12 | 854 | |||||||||
1,213 | Mellon Funding Corp., 6.400%, 05/14/11 | 1,263 | |||||||||
5,070 | National Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e) | 5,150 | |||||||||
800 | National City Corp., 4.900%, 01/15/15 | 881 | |||||||||
6,665 | PNC Funding Corp., 3.625%, 02/08/15 | 7,005 | |||||||||
10,000 | Rabobank Nederland N.V., (Netherlands), 3.200%, 03/11/15 (e) | 10,345 | |||||||||
5,543 | SouthTrust Corp., 5.800%, 06/15/14 | 6,058 | |||||||||
SunTrust Banks, Inc., | |||||||||||
3,272 | 5.250%, 11/05/12 | 3,463 | |||||||||
1,000 | 6.375%, 04/01/11 | 1,029 | |||||||||
6,100 | Toronto-Dominion Bank (The), (Canada), 2.200%, 07/29/15 (e) | 6,214 | |||||||||
U.S. Bancorp, | |||||||||||
5,938 | 2.875%, 11/20/14 | 6,196 | |||||||||
1,595 | 4.200%, 05/15/14 | 1,743 | |||||||||
U.S. Bank N.A., | |||||||||||
4,020 | 4.950%, 10/30/14 | 4,443 | |||||||||
6,202 | 6.375%, 08/01/11 | 6,527 | |||||||||
5,400 | Union Planters Corp., 4.375%, 12/01/10 | 5,433 | |||||||||
5,678 | Wachovia Bank N.A., 4.800%, 11/01/14 | 6,114 | |||||||||
Wachovia Corp., | |||||||||||
630 | 4.875%, 02/15/14 | 670 | |||||||||
1,915 | 5.500%, 05/01/13 | 2,102 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Commercial Banks — Continued | |||||||||||
Wells Fargo & Co., | |||||||||||
9,420 | 3.750%, 10/01/14 | 9,928 | |||||||||
6,780 | 4.375%, 01/31/13 | 7,231 | |||||||||
5,770 | 4.625%, 04/15/14 | 6,143 | |||||||||
2,757 | 4.950%, 10/16/13 | 2,997 | |||||||||
2,240 | 6.375%, 08/01/11 | 2,370 | |||||||||
4,700 | Wells Fargo Bank N.A., 6.450%, 02/01/11 | 4,810 | |||||||||
Westpac Banking Corp., (Australia), | |||||||||||
6,973 | 2.250%, 11/19/12 | 7,093 | |||||||||
3,495 | 4.200%, 02/27/15 | 3,736 | |||||||||
236,521 | |||||||||||
Consumer Finance — 1.0% | |||||||||||
3,088 | American Express Co., 7.250%, 05/20/14 | 3,592 | |||||||||
American Express Credit Corp., | |||||||||||
4,329 | 5.875%, 05/02/13 | 4,761 | |||||||||
9,565 | 7.300%, 08/20/13 | 10,957 | |||||||||
American Honda Finance Corp., | |||||||||||
5,730 | 2.375%, 03/18/13 (e) | 5,853 | |||||||||
5,940 | 4.625%, 04/02/13 (e) | 6,392 | |||||||||
1,000 | 5.125%, 12/15/10 (e) | 1,013 | |||||||||
Boeing Capital Corp., | |||||||||||
1,192 | 5.800%, 01/15/13 | 1,319 | |||||||||
3,200 | 6.500%, 02/15/12 | 3,463 | |||||||||
Capital One Bank USA N.A., | |||||||||||
2,000 | 5.125%, 02/15/14 | 2,169 | |||||||||
767 | 5.750%, 09/15/10 | 768 | |||||||||
1,310 | Capital One Financial Corp., 7.375%, 05/23/14 | 1,526 | |||||||||
1,490 | FIA Card Services N.A., 7.125%, 11/15/12 | 1,625 | |||||||||
HSBC Finance Corp., | |||||||||||
7,250 | 4.750%, 07/15/13 | 7,676 | |||||||||
547 | 5.250%, 01/14/11 | 555 | |||||||||
1,625 | 5.250%, 04/15/15 | 1,759 | |||||||||
3,500 | 5.900%, 06/19/12 | 3,724 | |||||||||
9,601 | 6.375%, 10/15/11 | 10,142 | |||||||||
3,470 | 6.375%, 11/27/12 | 3,778 | |||||||||
2,830 | 7.000%, 05/15/12 | 3,056 | |||||||||
John Deere Capital Corp., | |||||||||||
1,335 | 2.950%, 03/09/15 | 1,406 | |||||||||
2,450 | 4.500%, 04/03/13 | 2,650 | |||||||||
325 | 4.950%, 12/17/12 | 352 | |||||||||
2,327 | 5.100%, 01/15/13 | 2,540 | |||||||||
6,770 | 5.250%, 10/01/12 | 7,333 | |||||||||
2,044 | 5.650%, 07/25/11 | 2,137 | |||||||||
MBNA Corp., | |||||||||||
1,860 | 6.125%, 03/01/13 | 2,013 | |||||||||
500 | 7.500%, 03/15/12 | 540 | |||||||||
2,737 | Toyota Motor Credit Corp., 3.200%, 06/17/15 | 2,891 | |||||||||
993 | Volkswagen International Finance N.V., (Netherlands), 1.625%, 08/12/13 (e) | 995 | |||||||||
2,000 | Washington Mutual Finance Corp., 6.875%, 05/15/11 | 2,077 | |||||||||
99,062 | |||||||||||
Diversified Financial Services — 2.3% | |||||||||||
3,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) | 3,173 | |||||||||
Bank of America Corp., | |||||||||||
6,005 | 4.900%, 05/01/13 | 6,371 | |||||||||
465 | 5.125%, 11/15/14 | 497 | |||||||||
388 | 7.125%, 10/15/11 | 411 | |||||||||
14,040 | 7.375%, 05/15/14 | 16,027 | |||||||||
950 | 7.400%, 01/15/11 | 973 | |||||||||
1,543 | BHP Billiton Finance USA Ltd., (Australia), 5.000%, 12/15/10 | 1,562 | |||||||||
BP Capital Markets plc, (United Kingdom), | |||||||||||
1,190 | 3.125%, 03/10/12 | 1,192 | |||||||||
1,870 | 3.625%, 05/08/14 | 1,856 | |||||||||
2,000 | 3.875%, 03/10/15 (c) | 1,981 | |||||||||
3,015 | 5.250%, 11/07/13 (c) | 3,129 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
6,687 | 4.850%, 12/07/12 | 7,240 | |||||||||
1,665 | 4.900%, 08/15/13 | 1,832 | |||||||||
600 | 5.750%, 02/15/12 | 643 | |||||||||
1,270 | 6.125%, 02/17/14 | 1,460 | |||||||||
1,880 | 6.200%, 09/30/13 | 2,154 | |||||||||
Citigroup, Inc., | |||||||||||
4,535 | 5.300%, 10/17/12 | 4,789 | |||||||||
3,450 | 5.500%, 08/27/12 | 3,655 | |||||||||
10,820 | 5.500%, 04/11/13 | 11,488 | |||||||||
1,385 | 5.500%, 10/15/14 | 1,475 | |||||||||
6,000 | 5.850%, 07/02/13 | 6,426 | |||||||||
11,445 | 6.000%, 12/13/13 | 12,347 | |||||||||
6,445 | 6.375%, 08/12/14 | 7,052 | |||||||||
4,428 | 6.500%, 08/19/13 | 4,843 | |||||||||
8,263 | CME Group, Inc., 5.400%, 08/01/13 | 9,227 | |||||||||
1,000 | Diageo Investment Corp., 9.000%, 08/15/11 | 1,078 | |||||||||
General Electric Capital Corp., | |||||||||||
10,055 | 3.500%, 06/29/15 | 10,412 | |||||||||
5,000 | 3.750%, 11/14/14 | 5,233 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Diversified Financial Services — Continued | |||||||||||
5,000 | 4.750%, 09/15/14 | 5,399 | |||||||||
2,736 | 4.875%, 03/04/15 | 2,991 | |||||||||
10,500 | 5.250%, 10/19/12 | 11,307 | |||||||||
13,757 | 5.450%, 01/15/13 | 14,930 | |||||||||
11,926 | 5.500%, 06/04/14 | 13,242 | |||||||||
3,225 | �� | 5.650%, 06/09/14 | 3,585 | ||||||||
14,910 | 5.875%, 02/15/12 | 15,894 | |||||||||
14,402 | 5.900%, 05/13/14 | 16,282 | |||||||||
7,815 | 6.000%, 06/15/12 | 8,447 | |||||||||
4,365 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 4,522 | |||||||||
885 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 913 | |||||||||
1,000 | Textron Financial Corp., 5.125%, 11/01/10 | 1,004 | |||||||||
227,042 | |||||||||||
FDIC Guaranteed Securities (˜) — 0.1% | |||||||||||
General Electric Capital Corp., | |||||||||||
2,500 | 2.625%, 12/28/12 | 2,604 | |||||||||
3,530 | 3.000%, 12/09/11 | 3,637 | |||||||||
3,150 | Morgan Stanley, 3.250%, 12/01/11 | 3,260 | |||||||||
2,220 | Wells Fargo & Co., 3.000%, 12/09/11 | 2,292 | |||||||||
11,793 | |||||||||||
Insurance — 0.8% | |||||||||||
5,000 | ACE INA Holdings, Inc., 5.600%, 05/15/15 | 5,654 | |||||||||
1,420 | Allstate Corp. (The), 5.000%, 08/15/14 | 1,581 | |||||||||
8,290 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 | 9,152 | |||||||||
Berkshire Hathaway Finance Corp., | |||||||||||
6,615 | 4.000%, 04/15/12 | 6,958 | |||||||||
2,495 | 5.000%, 08/15/13 | 2,770 | |||||||||
915 | Genworth Global Funding Trusts, 5.200%, 10/08/10 | 919 | |||||||||
Jackson National Life Global Funding, | |||||||||||
1,000 | 5.125%, 02/10/11 (e) | 1,012 | |||||||||
2,150 | 5.375%, 05/08/13 (e) | 2,316 | |||||||||
3,445 | MassMutual Global Funding II, 3.625%, 07/16/12 (e) | 3,596 | |||||||||
Metropolitan Life Global Funding I, | |||||||||||
2,663 | 2.500%, 01/11/13 (e) | 2,722 | |||||||||
11,835 | 2.875%, 09/17/12 (e) | 12,148 | |||||||||
2,645 | 5.125%, 04/10/13 (e) | 2,881 | |||||||||
1,200 | 5.200%, 09/18/13 (e) | 1,317 | |||||||||
1,000 | Monumental Global Funding II, 5.650%, 07/14/11 (e) | 1,027 | |||||||||
2,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) | 2,165 | |||||||||
New York Life Global Funding, | |||||||||||
2,730 | 3.000%, 05/04/15 (e) | 2,839 | |||||||||
2,400 | 4.650%, 05/09/13 (e) | 2,601 | |||||||||
1,400 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) | 1,506 | |||||||||
Pricoa Global Funding I, | |||||||||||
500 | 4.625%, 06/25/12 (e) | 523 | |||||||||
1,125 | 5.400%, 10/18/12 (e) | 1,209 | |||||||||
3,450 | 5.450%, 06/11/14 (e) | 3,836 | |||||||||
1,000 | 5.625%, 05/24/11 (e) | 1,033 | |||||||||
609 | Principal Life Global Funding I, 6.250%, 02/15/12 (e) | 646 | |||||||||
Principal Life Income Funding Trusts, | |||||||||||
1,835 | 5.150%, 06/17/11 | 1,900 | |||||||||
335 | 5.300%, 12/14/12 | 361 | |||||||||
4,125 | 5.300%, 04/24/13 | 4,470 | |||||||||
550 | Travelers Property Casualty Corp., 5.000%, 03/15/13 | 597 | |||||||||
77,739 | |||||||||||
Real Estate Investment Trusts (REITs) — 0.1% | |||||||||||
Simon Property Group LP, | |||||||||||
673 | 4.200%, 02/01/15 | 719 | |||||||||
1,470 | 5.375%, 06/01/11 | 1,496 | |||||||||
1,125 | 6.750%, 05/15/14 | 1,302 | |||||||||
3,517 | |||||||||||
Thrifts & Mortgage Finance — 0.0% (g) | |||||||||||
2,150 | Countrywide Financial Corp., 5.800%, 06/07/12 | 2,287 | |||||||||
1,100 | Golden West Financial Corp., 4.750%, 10/01/12 | 1,150 | |||||||||
3,437 | |||||||||||
Total Financials | 841,607 | ||||||||||
Health Care — 0.2% | |||||||||||
Health Care Equipment & Supplies — 0.1% | |||||||||||
Baxter International, Inc., | |||||||||||
1,650 | 1.800%, 03/15/13 | 1,684 | |||||||||
255 | 4.000%, 03/01/14 | 278 | |||||||||
585 | Hospira, Inc., 5.550%, 03/30/12 | 621 | |||||||||
1,925 | Medtronic, Inc., 3.000%, 03/15/15 | 2,034 | |||||||||
4,617 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Health Care Providers & Services — 0.0% (g) | |||||||||||
550 | WellPoint Health Networks, Inc., 6.375%, 01/15/12 | 584 | |||||||||
215 | WellPoint, Inc., 6.000%, 02/15/14 | 245 | |||||||||
829 | |||||||||||
Pharmaceuticals — 0.1% | |||||||||||
2,635 | Abbott Laboratories, 2.700%, 05/27/15 | 2,760 | |||||||||
850 | Eli Lilly & Co., 3.550%, 03/06/12 | 885 | |||||||||
2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 | 2,197 | |||||||||
2,525 | Merck & Co., Inc., 4.750%, 03/01/15 | 2,864 | |||||||||
2,793 | Wyeth, 5.500%, 02/01/14 | 3,162 | |||||||||
11,868 | |||||||||||
Total Health Care | 17,314 | ||||||||||
Industrials — 0.6% | |||||||||||
Aerospace & Defense — 0.1% | |||||||||||
2,335 | BAE Systems Holdings, Inc., 5.200%, 08/15/15 (e) | 2,572 | |||||||||
Boeing Co. (The), | |||||||||||
760 | 3.500%, 02/15/15 | 820 | |||||||||
2,135 | 5.000%, 03/15/14 | 2,400 | |||||||||
2,190 | 5.125%, 02/15/13 | 2,394 | |||||||||
2,460 | General Dynamics Corp., 5.250%, 02/01/14 | 2,790 | |||||||||
1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 | 1,069 | |||||||||
612 | United Technologies Corp., 6.100%, 05/15/12 | 663 | |||||||||
12,708 | |||||||||||
Air Freight & Logistics — 0.0% (g) | |||||||||||
2,540 | United Parcel Service, Inc., 4.500%, 01/15/13 | 2,753 | |||||||||
Commercial Services & Supplies — 0.0% (g) | |||||||||||
1,100 | Waste Management, Inc., 6.375%, 11/15/12 | 1,210 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
3,767 | General Electric Co., 5.000%, 02/01/13 | 4,082 | |||||||||
Honeywell International, Inc., | |||||||||||
1,115 | 3.875%, 02/15/14 | 1,214 | |||||||||
1,285 | 4.250%, 03/01/13 | 1,391 | |||||||||
1,705 | 5.625%, 08/01/12 | 1,857 | |||||||||
8,544 | |||||||||||
Machinery — 0.1% | |||||||||||
745 | Caterpillar, Inc., 7.000%, 12/15/13 | 878 | |||||||||
1,475 | Deere & Co., 6.950%, 04/25/14 | 1,760 | |||||||||
PACCAR, Inc., | |||||||||||
100 | 6.375%, 02/15/12 | 108 | |||||||||
1,150 | 6.875%, 02/15/14 | 1,346 | |||||||||
4,092 | |||||||||||
Road & Rail — 0.3% | |||||||||||
Burlington Northern Santa Fe LLC, | |||||||||||
5,596 | 5.900%, 07/01/12 | 6,068 | |||||||||
3,170 | 6.750%, 07/15/11 | 3,339 | |||||||||
2,000 | 7.000%, 02/01/14 | 2,342 | |||||||||
Canadian National Railway Co., (Canada), | |||||||||||
2,735 | 4.400%, 03/15/13 | 2,936 | |||||||||
605 | 4.950%, 01/15/14 | 675 | |||||||||
539 | 6.375%, 10/15/11 | 572 | |||||||||
CSX Corp., | |||||||||||
3,330 | 6.300%, 03/15/12 | 3,564 | |||||||||
1,100 | 9.780%, 02/14/11 | 1,128 | |||||||||
2,075 | Norfolk Southern Corp., 6.750%, 02/15/11 | 2,127 | |||||||||
1,000 | Ryder System, Inc., 3.600%, 03/01/16 | 1,012 | |||||||||
Union Pacific Corp., | |||||||||||
4,235 | 5.450%, 01/31/13 | 4,639 | |||||||||
1,433 | 6.500%, 04/15/12 | 1,551 | |||||||||
500 | 6.650%, 01/15/11 | 510 | |||||||||
30,463 | |||||||||||
Total Industrials | 59,770 | ||||||||||
Information Technology — 0.6% | |||||||||||
Communications Equipment — 0.0% (g) | |||||||||||
Cisco Systems, Inc., | |||||||||||
1,230 | 2.900%, 11/17/14 | 1,302 | |||||||||
900 | 5.250%, 02/22/11 | 920 | |||||||||
2,222 | |||||||||||
Computers & Peripherals — 0.2% | |||||||||||
Dell, Inc., | |||||||||||
790 | 3.375%, 06/15/12 | 819 | |||||||||
2,310 | 4.700%, 04/15/13 | 2,506 | |||||||||
745 | 5.625%, 04/15/14 | 844 | |||||||||
Hewlett-Packard Co., | |||||||||||
490 | 2.950%, 08/15/12 | 509 | |||||||||
350 | 4.500%, 03/01/13 | 380 | |||||||||
2,500 | 4.750%, 06/02/14 | 2,803 | |||||||||
1,400 | 6.125%, 03/01/14 | 1,619 | |||||||||
950 | 6.500%, 07/01/12 | 1,044 | |||||||||
International Business Machines Corp., | |||||||||||
1,655 | 2.100%, 05/06/13 | 1,707 | |||||||||
2,330 | 4.750%, 11/29/12 | 2,537 | |||||||||
1,250 | 6.500%, 10/15/13 | 1,455 | |||||||||
650 | 7.500%, 06/15/13 | 763 | |||||||||
16,986 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Electronic Equipment, Instruments & Components — 0.1% | |||||||||||
7,416 | Arrow Electronics, Inc., 6.875%, 07/01/13 | 8,262 | |||||||||
IT Services — 0.1% | |||||||||||
7,130 | Electronic Data Systems LLC, 6.000%, 08/01/13 | 8,094 | |||||||||
Office Electronics — 0.1% | |||||||||||
Xerox Corp., | |||||||||||
2,655 | 5.500%, 05/15/12 | 2,833 | |||||||||
1,000 | 6.875%, 08/15/11 | 1,050 | |||||||||
2,505 | 8.250%, 05/15/14 | 3,002 | |||||||||
6,885 | |||||||||||
Software — 0.1% | |||||||||||
2,691 | Intuit, Inc., 5.400%, 03/15/12 | 2,848 | |||||||||
3,155 | Microsoft Corp., 2.950%, 06/01/14 | 3,363 | |||||||||
Oracle Corp., | |||||||||||
4,025 | 3.750%, 07/08/14 | 4,379 | |||||||||
2,555 | 4.950%, 04/15/13 | 2,819 | |||||||||
13,409 | |||||||||||
Total Information Technology | 55,858 | ||||||||||
Materials — 0.4% | |||||||||||
Chemicals — 0.3% | |||||||||||
845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 | 895 | |||||||||
835 | Dow Chemical Co. (The), 4.850%, 08/15/12 | 881 | |||||||||
EI du Pont de Nemours & Co., | |||||||||||
3,225 | 3.250%, 01/15/15 | 3,426 | |||||||||
5,125 | 5.000%, 01/15/13 | 5,599 | |||||||||
1,500 | Monsanto Co., 7.375%, 08/15/12 | 1,675 | |||||||||
3,025 | Potash Corp. of Saskatchewan, Inc., (Canada), 7.750%, 05/31/11 | 3,184 | |||||||||
4,334 | PPG Industries, Inc., 5.750%, 03/15/13 | 4,756 | |||||||||
Praxair, Inc., | |||||||||||
3,045 | 1.750%, 11/15/12 (c) | 3,100 | |||||||||
2,240 | 2.125%, 06/14/13 | 2,301 | |||||||||
1,920 | 3.950%, 06/01/13 | 2,062 | |||||||||
830 | 4.625%, 03/30/15 | 930 | |||||||||
28,809 | |||||||||||
Metals & Mining — 0.1% | |||||||||||
BHP Billiton Finance USA Ltd., (Australia), | |||||||||||
900 | 5.125%, 03/29/12 | 955 | |||||||||
950 | 6.750%, 11/01/13 | 1,093 | |||||||||
650 | Nucor Corp., 5.000%, 06/01/13 | 711 | |||||||||
Rio Tinto Finance USA Ltd., (Australia), | |||||||||||
4,075 | 5.875%, 07/15/13 | 4,536 | |||||||||
3,585 | 8.950%, 05/01/14 | 4,397 | |||||||||
11,692 | |||||||||||
Total Materials | 40,501 | ||||||||||
Telecommunication Services — 1.2% | |||||||||||
Diversified Telecommunication Services — 1.0% | |||||||||||
3,635 | AT&T Corp., 7.300%, 11/15/11 | 3,915 | |||||||||
AT&T, Inc., | |||||||||||
11,875 | 4.950%, 01/15/13 | 12,938 | |||||||||
1,875 | 5.875%, 02/01/12 | 2,002 | |||||||||
16,135 | 6.700%, 11/15/13 | 18,688 | |||||||||
2,615 | BellSouth Corp., 5.200%, 09/15/14 | 2,944 | |||||||||
British Telecommunications plc, (United Kingdom), | |||||||||||
4,050 | 5.150%, 01/15/13 | 4,294 | |||||||||
5,430 | 9.375%, 12/15/10 | 5,551 | |||||||||
Deutsche Telekom International Finance B.V., (Netherlands), | |||||||||||
3,380 | 4.875%, 07/08/14 | 3,713 | |||||||||
2,000 | 5.375%, 03/23/11 | 2,052 | |||||||||
550 | 5.875%, 08/20/13 | 612 | |||||||||
6,510 | France Telecom S.A., (France), 4.375%, 07/08/14 | 7,196 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), | |||||||||||
1,700 | 4.950%, 09/30/14 | 1,787 | |||||||||
1,450 | 6.175%, 06/18/14 | 1,590 | |||||||||
Telefonica Emisiones S.A.U., (Spain), | |||||||||||
1,280 | 4.949%, 01/15/15 | 1,382 | |||||||||
2,110 | 5.855%, 02/04/13 | 2,295 | |||||||||
14,065 | Verizon Communications, Inc., 4.350%, 02/15/13 | 15,136 | |||||||||
2,335 | Verizon Florida LLC, 6.125%, 01/15/13 | 2,549 | |||||||||
1,982 | Verizon Global Funding Corp., 4.375%, 06/01/13 | 2,149 | |||||||||
735 | Verizon Maryland, Inc., 6.125%, 03/01/12 | 784 | |||||||||
3,102 | Verizon New Jersey, Inc., 5.875%, 01/17/12 | 3,286 | |||||||||
94,863 | |||||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
Cellco Partnership/Verizon Wireless Capital LLC, | |||||||||||
2,880 | 3.750%, 05/20/11 | 2,944 | |||||||||
11,235 | 5.550%, 02/01/14 | 12,714 | |||||||||
New Cingular Wireless Services, Inc., | |||||||||||
5,710 | 7.875%, 03/01/11 | 5,916 | |||||||||
1,881 | 8.125%, 05/01/12 | 2,098 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Wireless Telecommunication Services — Continued | |||||||||||
Vodafone Group plc, (United Kingdom), | |||||||||||
2,000 | 4.150%, 06/10/14 | 2,148 | |||||||||
425 | VAR, 0.877%, 06/15/11 | 426 | |||||||||
26,246 | |||||||||||
Total Telecommunication Services | 121,109 | ||||||||||
Utilities — 1.1% | |||||||||||
Electric Utilities — 0.8% | |||||||||||
CenterPoint Energy Houston Electric LLC, | |||||||||||
700 | 5.700%, 03/15/13 | 775 | |||||||||
610 | 5.750%, 01/15/14 | 693 | |||||||||
200 | 7.000%, 03/01/14 | 237 | |||||||||
1,471 | Duke Energy Carolinas LLC, 5.750%, 11/15/13 | 1,678 | |||||||||
Duke Energy Corp., | |||||||||||
1,565 | 3.350%, 04/01/15 | 1,636 | |||||||||
1,095 | 3.950%, 09/15/14 | 1,173 | |||||||||
5,085 | 5.650%, 06/15/13 | 5,672 | |||||||||
1,478 | 6.300%, 02/01/14 | 1,692 | |||||||||
537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 | 549 | |||||||||
1,000 | Exelon Corp., 4.900%, 06/15/15 | 1,096 | |||||||||
1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 | 1,693 | |||||||||
2,500 | FirstEnergy Corp., 6.450%, 11/15/11 | 2,626 | |||||||||
FPL Group Capital, Inc., | |||||||||||
1,239 | 5.350%, 06/15/13 | 1,359 | |||||||||
2,000 | 5.625%, 09/01/11 | 2,093 | |||||||||
4,803 | Georgia Power Co., 6.000%, 11/01/13 | 5,475 | |||||||||
225 | MidAmerican Energy Co., 5.125%, 01/15/13 | 246 | |||||||||
Midamerican Energy Holdings Co., | |||||||||||
1,025 | 3.150%, 07/15/12 | 1,060 | |||||||||
1,567 | 5.875%, 10/01/12 | 1,706 | |||||||||
2,400 | Midamerican Funding LLC, 6.750%, 03/01/11 | 2,473 | |||||||||
Nisource Finance Corp., | |||||||||||
610 | 6.150%, 03/01/13 | 669 | |||||||||
5,205 | 7.875%, 11/15/10 | 5,272 | |||||||||
1,060 | Northern States Power Co., 8.000%, 08/28/12 | 1,205 | |||||||||
Ohio Power Co., | |||||||||||
1,325 | 5.300%, 11/01/10 | 1,334 | |||||||||
2,210 | 5.750%, 09/01/13 | 2,463 | |||||||||
1,650 | Oncor Electric Delivery Co. LLC, 6.375%, 01/15/15 | 1,903 | |||||||||
PacifiCorp, | |||||||||||
750 | 4.950%, 08/15/14 | 842 | |||||||||
3,565 | 6.900%, 11/15/11 | 3,809 | |||||||||
716 | Peco Energy Co., 5.000%, 10/01/14 | 803 | |||||||||
1,837 | PPL Electric Utilities Corp., 7.125%, 11/30/13 | 2,153 | |||||||||
Progress Energy, Inc., | |||||||||||
295 | 6.050%, 03/15/14 | 335 | |||||||||
557 | 7.100%, 03/01/11 | 574 | |||||||||
1,683 | PSEG Power LLC, 2.500%, 04/15/13 | 1,724 | |||||||||
Public Service Electric & Gas Co., | |||||||||||
400 | 2.700%, 05/01/15 | 416 | |||||||||
1,200 | 5.000%, 08/15/14 | 1,351 | |||||||||
420 | Southern California Edison Co., 4.150%, 09/15/14 | 464 | |||||||||
2,952 | Southern Co., 4.150%, 05/15/14 | 3,200 | |||||||||
Spectra Energy Capital LLC, | |||||||||||
4,155 | 5.668%, 08/15/14 | 4,627 | |||||||||
669 | 6.250%, 02/15/13 | 729 | |||||||||
Virginia Electric and Power Co., | |||||||||||
1,000 | 4.750%, 03/01/13 | 1,083 | |||||||||
4,460 | 5.100%, 11/30/12 | 4,861 | |||||||||
73,749 | |||||||||||
Gas Utilities — 0.2% | |||||||||||
810 | AGL Capital Corp., 4.450%, 04/15/13 | 857 | |||||||||
6,915 | Atmos Energy Corp., 7.375%, 05/15/11 | 7,205 | |||||||||
CenterPoint Energy Resources Corp., | |||||||||||
1,600 | 7.750%, 02/15/11 | 1,648 | |||||||||
1,455 | 7.875%, 04/01/13 | 1,678 | |||||||||
2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 | 2,202 | |||||||||
860 | Schlumberger Technology Corp., 6.500%, 04/15/12 (e) | 933 | |||||||||
668 | Southern California Gas Co., 5.500%, 03/15/14 | 759 | |||||||||
4,925 | TransCanada Pipelines Ltd., (Canada), 4.000%, 06/15/13 | 5,285 | |||||||||
20,567 | |||||||||||
Multi-Utilities — 0.1% | |||||||||||
Dominion Resources, Inc., | |||||||||||
425 | 4.750%, 12/15/10 | 430 | |||||||||
1,610 | 5.700%, 09/17/12 | 1,754 | |||||||||
1,515 | PG&E Corp., 5.750%, 04/01/14 | 1,708 | |||||||||
Sempra Energy, | |||||||||||
1,210 | 6.000%, 02/01/13 | 1,331 | |||||||||
6,010 | 8.900%, 11/15/13 | 7,215 | |||||||||
1,815 | Wisconsin Electric Power Co., 6.000%, 04/01/14 | 2,099 | |||||||||
14,537 | |||||||||||
Total Utilities | 108,853 | ||||||||||
Total Corporate Bonds (Cost $1,326,110) | 1,372,453 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Foreign Government Securities — 0.2% | |||||||||||
247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 | 255 | |||||||||
Province of Ontario, (Canada), | |||||||||||
8,655 | 2.700%, 06/16/15 (c) | 9,059 | |||||||||
6,530 | 2.950%, 02/05/15 (c) | 6,905 | |||||||||
1,250 | 4.100%, 06/16/14 | 1,375 | |||||||||
3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 | 3,805 | |||||||||
Total Foreign Government Securities (Cost $20,310) | 21,399 | ||||||||||
Mortgage Pass-Through Securities — 8.5% | |||||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
123 | ARM, 2.555%, 01/01/27 | 129 | |||||||||
412 | ARM, 2.560%, 03/01/35 | 429 | |||||||||
158 | ARM, 2.690%, 12/01/27 | 165 | |||||||||
11 | ARM, 3.768%, 12/01/17 | 11 | |||||||||
9,264 | ARM, 4.687%, 03/01/36 | 9,675 | |||||||||
6,671 | ARM, 5.046%, 10/01/35 | 7,016 | |||||||||
6,917 | ARM, 5.261%, 03/01/35 | 7,274 | |||||||||
942 | ARM, 5.563%, 07/01/36 | 988 | |||||||||
5,168 | ARM, 5.574%, 01/01/38 | 5,480 | |||||||||
395 | ARM, 5.588%, 04/01/37 | 419 | |||||||||
5,457 | ARM, 5.637%, 04/01/38 | 5,791 | |||||||||
5,424 | ARM, 5.653%, 03/01/36 | 5,684 | |||||||||
1,965 | ARM, 5.720%, 03/01/37 | 2,085 | |||||||||
8,904 | ARM, 5.739%, 06/01/37 | 9,461 | |||||||||
4,057 | ARM, 5.797%, 05/01/37 | 4,337 | |||||||||
17,075 | ARM, 5.803%, 06/01/37 | 18,173 | |||||||||
3,271 | ARM, 5.853%, 08/01/37 | 3,487 | |||||||||
2,970 | ARM, 5.858%, 11/01/36 | 3,158 | |||||||||
2,578 | ARM, 5.909%, 02/01/37 | 2,743 | |||||||||
4,538 | ARM, 5.947%, 12/01/36 | 4,834 | |||||||||
3,523 | ARM, 5.992%, 08/01/36 | 3,703 | |||||||||
944 | ARM, 6.008%, 08/01/37 | 1,004 | |||||||||
3,912 | ARM, 6.034%, 03/01/37 – 10/01/37 | 4,168 | |||||||||
1,372 | ARM, 6.040%, 08/01/36 | 1,465 | |||||||||
6 | ARM, 6.067%, 01/01/27 | 6 | |||||||||
3,315 | ARM, 6.101%, 03/01/37 | 3,523 | |||||||||
817 | ARM, 6.112%, 06/01/36 | 862 | |||||||||
2,955 | ARM, 6.195%, 04/01/37 | 3,143 | |||||||||
1,996 | ARM, 6.223%, 12/01/36 | 2,113 | |||||||||
6,766 | ARM, 6.234%, 10/01/36 | 7,101 | |||||||||
3,656 | ARM, 6.407%, 12/01/36 | 3,922 | |||||||||
1,526 | ARM, 6.409%, 11/01/37 | 1,645 | |||||||||
1,544 | ARM, 6.433%, 02/01/37 | 1,659 | |||||||||
4,971 | ARM, 6.445%, 01/01/37 | 5,253 | |||||||||
2,308 | ARM, 6.462%, 08/01/36 | 2,416 | |||||||||
1,180 | ARM, 6.740%, 08/01/37 | 1,259 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, | |||||||||||
7,802 | 4.000%, 07/01/18 – 07/01/19 | 8,308 | |||||||||
3,521 | 4.500%, 04/01/16 – 10/01/18 | 3,757 | |||||||||
20,625 | 5.000%, 03/01/18 – 04/01/19 | 22,091 | |||||||||
34,267 | 5.500%, 11/01/12 – 10/01/23 | 36,910 | |||||||||
37,669 | 6.000%, 06/01/11 – 12/01/23 | 40,725 | |||||||||
3,606 | 6.500%, 02/01/11 – 01/01/17 | 3,901 | |||||||||
49 | 7.000%, 10/01/10 – 03/01/15 | 52 | |||||||||
6 | 7.500%, 11/01/10 – 11/01/11 | 7 | |||||||||
1 | 8.000%, 12/01/10 – 01/01/12 | 1 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, | |||||||||||
38 | 6.000%, 01/01/19 | 42 | |||||||||
112 | 6.500%, 08/01/18 – 05/01/21 | 124 | |||||||||
57 | 7.000%, 03/01/14 | 61 | |||||||||
302 | 7.500%, 10/01/16 – 07/01/18 | 333 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, | |||||||||||
1,479 | 6.000%, 09/01/17 – 07/01/32 | 1,596 | |||||||||
1 | 6.500%, 07/01/13 | 1 | |||||||||
3,177 | 7.000%, 08/01/38 | 3,538 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, | |||||||||||
23,729 | 7.500%, 12/01/36 | 27,089 | |||||||||
8,813 | 10.000%, 10/01/30 | 10,502 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, | |||||||||||
73 | 8.000%, 04/01/17 – 05/01/19 | 80 | |||||||||
13 | 8.250%, 08/01/17 | 14 | |||||||||
Federal National Mortgage Association, | |||||||||||
350 | ARM, 1.998%, 01/01/35 | 363 | |||||||||
64 | ARM, 2.226%, 03/01/19 | 66 | |||||||||
25 | ARM, 2.537%, 06/01/27 | 26 | |||||||||
2,173 | ARM, 3.024%, 09/01/34 | 2,264 | |||||||||
22 | ARM, 3.027%, 05/01/25 | 23 | |||||||||
45 | ARM, 3.100%, 07/01/27 | 45 | |||||||||
34 | ARM, 3.156%, 01/01/19 | 34 | |||||||||
1 | ARM, 3.220%, 10/01/27 | 1 | |||||||||
4,913 | ARM, 3.301%, 03/01/36 | 5,142 | |||||||||
12 | ARM, 3.348%, 10/01/25 | 12 | |||||||||
6,193 | ARM, 3.622%, 10/01/35 | 6,457 | |||||||||
1,307 | ARM, 3.662%, 12/01/35 | 1,359 | |||||||||
9,995 | ARM, 4.127%, 03/01/36 | 10,510 | |||||||||
32 | ARM, 4.375%, 11/01/16 | 34 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
8,589 | ARM, 4.376%, 03/01/36 | 8,979 | |||||||||
14 | ARM, 4.786%, 08/01/19 | 15 | |||||||||
827 | ARM, 5.217%, 01/01/37 | 867 | |||||||||
526 | ARM, 5.321%, 04/01/36 | 552 | |||||||||
413 | ARM, 5.423%, 12/01/36 | 436 | |||||||||
1,184 | ARM, 5.469%, 07/01/36 | 1,241 | |||||||||
6,290 | ARM, 5.505%, 11/01/37 | 6,688 | |||||||||
3,374 | ARM, 5.553%, 08/01/36 | 3,576 | |||||||||
299 | ARM, 5.594%, 06/01/36 | 319 | |||||||||
1,977 | ARM, 5.611%, 03/01/47 | 2,118 | |||||||||
9,831 | ARM, 5.696%, 01/01/23 | 10,585 | |||||||||
181 | ARM, 5.712%, 07/01/37 | 192 | |||||||||
994 | ARM, 5.716%, 10/01/36 | 1,049 | |||||||||
4,030 | ARM, 5.730%, 12/01/37 | 4,291 | |||||||||
1,645 | ARM, 5.732%, 04/01/37 | 1,745 | |||||||||
118 | ARM, 5.761%, 08/01/37 | 125 | |||||||||
3,416 | ARM, 5.773%, 11/01/37 | 3,641 | |||||||||
3,785 | ARM, 5.786%, 11/01/37 | 4,033 | |||||||||
975 | ARM, 5.811%, 07/01/37 | 1,042 | |||||||||
2,245 | ARM, 5.822%, 04/01/37 | 2,399 | |||||||||
776 | ARM, 5.893%, 08/01/36 | 817 | |||||||||
963 | ARM, 5.911%, 12/01/36 | 1,023 | |||||||||
2,709 | ARM, 5.931%, 08/01/36 | 2,856 | |||||||||
4,830 | ARM, 5.941%, 03/01/37 | 5,135 | |||||||||
4,106 | ARM, 5.950%, 08/01/36 – 04/01/38 | 4,386 | |||||||||
18 | ARM, 5.982%, 08/01/17 | 19 | |||||||||
1,081 | ARM, 5.995%, 12/01/36 | 1,147 | |||||||||
2,550 | ARM, 6.041%, 08/01/36 | 2,692 | |||||||||
4,775 | ARM, 6.124%, 07/01/37 | 5,095 | |||||||||
4,892 | ARM, 6.145%, 08/01/37 | 5,220 | |||||||||
8,150 | ARM, 6.186%, 12/01/36 | 8,625 | |||||||||
933 | ARM, 6.212%, 10/01/36 | 979 | |||||||||
954 | ARM, 6.235%, 05/01/36 | 1,007 | |||||||||
4,034 | ARM, 6.307%, 02/01/37 | 4,263 | |||||||||
5,709 | ARM, 6.549%, 01/01/37 | 6,139 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, | |||||||||||
8,834 | 4.000%, 07/01/18 – 01/01/19 | 9,426 | |||||||||
14,349 | 4.500%, 05/01/18 – 05/01/19 | 15,343 | |||||||||
24,456 | 5.000%, 12/01/13 – 07/01/20 | 26,072 | |||||||||
68,566 | 5.500%, 01/01/18 – 09/01/24 | 74,071 | |||||||||
92,019 | 6.000%, 05/01/11 – 07/01/24 | 99,436 | |||||||||
5,013 | 6.500%, 09/01/10 – 01/01/23 | 5,431 | |||||||||
1,757 | 7.000%, 11/01/10 – 01/01/18 | 1,898 | |||||||||
80 | 7.500%, 02/01/11 – 05/01/15 | 87 | |||||||||
956 | 8.000%, 11/01/15 – 10/01/16 | 1,038 | |||||||||
2 | 8.500%, 11/01/11 | 2 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, | |||||||||||
5,957 | 6.000%, 03/01/18 – 04/01/24 | 6,412 | |||||||||
8,812 | 6.500%, 01/01/14 – 03/01/25 | 9,790 | |||||||||
2,755 | 7.000%, 12/01/13 – 08/01/21 | 3,091 | |||||||||
36 | 7.500%, 11/01/13 – 06/01/16 | 39 | |||||||||
71 | 8.000%, 07/01/14 – 11/01/15 | 80 | |||||||||
Federal National Mortgage Association, 30 Year, FHA/VA, | |||||||||||
407 | 5.500%, 08/01/34 | 440 | |||||||||
67 | 6.000%, 07/01/17 | 72 | |||||||||
1 | 8.000%, 02/01/23 | 1 | |||||||||
28 | 8.500%, 03/01/27 | 33 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, | |||||||||||
49,483 | 6.500%, 03/01/26 – 10/01/38 | 54,028 | |||||||||
17,216 | 7.000%, 04/01/37 | 19,155 | |||||||||
233 | 8.000%, 06/01/13 – 12/01/30 | 264 | |||||||||
13 | 8.500%, 09/01/21 | 15 | |||||||||
154 | 9.000%, 02/01/31 | 180 | |||||||||
59 | 9.500%, 07/01/28 | 68 | |||||||||
15 | 10.000%, 02/01/24 | 17 | |||||||||
Federal National Mortgage Association, Other, | |||||||||||
2,270 | 4.000%, 07/01/13 – 07/01/17 | 2,356 | |||||||||
4,001 | 4.500%, 11/01/13 – 12/01/19 | 4,162 | |||||||||
3,934 | 5.000%, 01/01/14 – 05/01/14 | 4,065 | |||||||||
5,072 | 5.500%, 06/01/16 – 09/01/17 | 5,387 | |||||||||
3,649 | 6.000%, 09/01/17 | 3,919 | |||||||||
Government National Mortgage Association II, | |||||||||||
138 | 3.125%, 12/20/17 – 11/20/25 | 142 | |||||||||
180 | 3.375%, 01/20/16 – 01/20/28 | 185 | |||||||||
13 | 3.500%, 10/20/17 – 12/20/17 | 13 | |||||||||
157 | 3.625%, 08/20/16 – 09/20/22 | 162 | |||||||||
30 | 4.000%, 11/20/15 – 08/20/18 | 31 | |||||||||
10 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14 | 10 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, | |||||||||||
40,004 | 7.000%, 08/20/38 – 09/20/38 | 44,415 | |||||||||
27 | 7.500%, 09/20/28 | 30 | |||||||||
57 | 8.000%, 09/20/26 – 12/20/27 | 66 | |||||||||
79 | 8.500%, 03/20/25 – 04/20/25 | 92 | |||||||||
Government National Mortgage Association, 15 Year, Single Family, | |||||||||||
14 | 6.000%, 04/15/14 | 15 | |||||||||
7,902 | 6.500%, 10/15/23 | 8,675 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Pass-Through Securities — Continued | |||||||||||
Government National Mortgage Association, 30 Year, Single Family, | |||||||||||
22 | 8.500%, 04/15/25 | 26 | |||||||||
11 | 9.000%, 09/15/24 – 10/15/26 | 13 | |||||||||
545 | 9.500%, 07/15/20 – 12/15/25 | 633 | |||||||||
39 | 12.000%, 11/15/19 | 43 | |||||||||
Total Mortgage Pass-Through Securities (Cost $809,326) | 824,274 | ||||||||||
U.S. Government Agency Securities — 23.6% | |||||||||||
Federal Farm Credit Bank, | |||||||||||
26,150 | 1.875%, 12/07/12 | 26,815 | |||||||||
4,000 | 2.200%, 04/08/13 | 4,140 | |||||||||
12,400 | 2.250%, 02/17/12 | 12,699 | |||||||||
8,120 | 2.250%, 04/24/12 (c) | 8,342 | |||||||||
38,025 | 2.350%, 09/23/13 (c) | 39,614 | |||||||||
25,000 | 2.500%, 03/26/13 | 26,061 | |||||||||
10,000 | 2.600%, 03/04/13 | 10,443 | |||||||||
2,769 | 2.700%, 08/19/13 | 2,891 | |||||||||
1,480 | 3.000%, 02/12/14 | 1,567 | |||||||||
5,000 | 3.000%, 09/22/14 | 5,335 | |||||||||
10,000 | 3.875%, 08/25/11 | 10,347 | |||||||||
16,493 | 3.875%, 01/10/13 | 17,688 | |||||||||
1,123 | 5.050%, 02/01/11 | 1,146 | |||||||||
2,000 | 5.100%, 09/18/12 | 2,180 | |||||||||
1,390 | 5.250%, 08/21/13 | 1,565 | |||||||||
5,000 | 5.450%, 12/11/13 | 5,709 | |||||||||
8,000 | Federal Farm Credit Banks, 2.625%, 04/17/14 | 8,417 | |||||||||
Federal Home Loan Bank System, | |||||||||||
30,000 | 0.875%, 08/22/12 (c) | 30,125 | |||||||||
42,000 | 1.125%, 05/18/12 | 42,391 | |||||||||
70,000 | 1.875%, 06/21/13 | 71,970 | |||||||||
Federal Home Loan Banks, | |||||||||||
18,000 | 0.800%, 05/06/11 | 18,073 | |||||||||
17,000 | 1.000%, 12/28/11 | 17,123 | |||||||||
119,600 | 1.125%, 03/09/12 | 120,701 | |||||||||
6,000 | 1.375%, 05/16/11 | 6,045 | |||||||||
4,800 | 1.375%, 06/08/12 | 4,866 | |||||||||
84,175 | 1.625%, 11/21/12 (c) | 85,835 | |||||||||
34,125 | 1.625%, 06/14/13 | 34,839 | |||||||||
10,000 | 1.750%, 08/22/12 | 10,213 | |||||||||
30,785 | 1.750%, 12/14/12 | 31,358 | |||||||||
2,000 | 2.250%, 03/05/12 | 2,052 | |||||||||
25,865 | 2.375%, 03/14/14 | 26,939 | |||||||||
40,505 | 2.500%, 06/13/14 | 42,092 | |||||||||
7,000 | 2.625%, 05/20/11 (c) | 7,116 | |||||||||
74,350 | 2.625%, 09/13/13 | 78,126 | |||||||||
18,800 | 3.000%, 06/24/13 | 19,911 | |||||||||
10,000 | 3.050%, 06/28/13 | 10,607 | |||||||||
2,980 | 3.125%, 03/08/13 | 3,152 | |||||||||
119,105 | 3.125%, 12/13/13 (c) | 126,929 | |||||||||
2,500 | 3.375%, 06/24/11 | 2,558 | |||||||||
16,000 | 3.375%, 02/27/13 (c) | 17,014 | |||||||||
16,200 | 3.500%, 03/08/13 | 17,287 | |||||||||
4,000 | 3.560%, 02/11/13 | 4,055 | |||||||||
18,825 | 3.875%, 03/08/13 | 20,264 | |||||||||
2,080 | 4.000%, 02/15/11 | 2,116 | |||||||||
15,895 | 4.250%, 06/14/13 | 17,374 | |||||||||
1,675 | 4.375%, 09/09/11 | 1,744 | |||||||||
10,000 | 4.500%, 09/14/12 | 10,756 | |||||||||
6,000 | 4.875%, 11/18/11 | 6,322 | |||||||||
5,000 | 4.875%, 12/14/12 | 5,467 | |||||||||
10,000 | 4.875%, 11/27/13 | 11,236 | |||||||||
44,470 | 4.875%, 12/13/13 | 49,956 | |||||||||
2,125 | 5.000%, 03/09/12 | 2,269 | |||||||||
24,980 | 5.000%, 03/14/14 | 28,292 | |||||||||
20,025 | 5.250%, 09/13/13 | 22,579 | |||||||||
17,575 | 5.375%, 06/14/13 | 19,753 | |||||||||
29,755 | 5.375%, 06/13/14 | 34,321 | |||||||||
6,550 | 7.000%, 08/15/14 | 7,998 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
25,000 | 1.000%, 08/28/12 | 25,164 | |||||||||
20,000 | 1.375%, 01/09/13 (c) | 20,281 | |||||||||
20,000 | 1.750%, 06/15/12 | 20,408 | |||||||||
58,000 | 2.125%, 03/23/12 | 59,419 | |||||||||
15,000 | 2.500%, 01/07/14 (c) | 15,714 | |||||||||
25,100 | 2.500%, 04/23/14 | 26,334 | |||||||||
11,130 | 2.875%, 02/09/15 | 11,811 | |||||||||
11,038 | 4.000%, 06/12/13 | 11,951 | |||||||||
25,000 | 4.125%, 12/21/12 | 26,903 | |||||||||
55,000 | 4.125%, 09/27/13 | 60,300 | |||||||||
25,000 | 4.500%, 01/15/14 | 27,843 | |||||||||
15,960 | 4.500%, 04/02/14 | 17,845 | |||||||||
9,500 | 4.625%, 10/25/12 | 10,298 | |||||||||
4,000 | 4.750%, 09/22/10 | 4,009 | |||||||||
29,000 | 4.750%, 01/18/11 | 29,502 | |||||||||
37,500 | 4.750%, 03/05/12 | 39,888 | |||||||||
11,400 | 4.875%, 11/15/13 | 12,813 | |||||||||
48,300 | 5.000%, 01/30/14 | 54,713 | |||||||||
25,000 | 5.125%, 07/15/12 | 27,142 | |||||||||
6,500 | 5.250%, 07/18/11 | 6,784 | |||||||||
2,000 | 5.500%, 09/15/11 (c) | 2,107 | |||||||||
17,000 | 5.750%, 01/15/12 | 18,207 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Securities — Continued | |||||||||||
Federal National Mortgage Association, | |||||||||||
5,700 | Zero Coupon, 07/05/14 | 5,354 | |||||||||
5,000 | 0.875%, 01/12/12 (c) | 5,025 | |||||||||
40,000 | 1.000%, 04/04/12 | 40,291 | |||||||||
15,000 | 1.000%, 09/23/13 | 15,022 | |||||||||
30,000 | 1.750%, 02/22/13 | 30,709 | |||||||||
10,800 | 1.875%, 04/20/12 | 11,032 | |||||||||
15,000 | 2.375%, 07/28/15 (c) | 15,536 | |||||||||
8,725 | 2.750%, 04/11/11 | 8,855 | |||||||||
15,700 | 3.000%, 09/16/14 | 16,756 | |||||||||
12,000 | 3.250%, 04/09/13 | 12,768 | |||||||||
3,245 | 4.000%, 03/27/13 | 3,507 | |||||||||
11,310 | 4.000%, 04/15/13 | 12,235 | |||||||||
6,135 | 4.050%, 04/18/13 | 6,646 | |||||||||
5,000 | 4.125%, 04/29/13 | 5,430 | |||||||||
7,839 | 4.125%, 07/11/13 | 8,548 | |||||||||
25,000 | 4.375%, 09/15/12 | 26,866 | |||||||||
107,600 | 4.375%, 07/17/13 | 118,196 | |||||||||
25,000 | 4.625%, 10/15/13 | 27,810 | |||||||||
61,997 | 4.750%, 02/21/13 | 67,910 | |||||||||
35,750 | 4.875%, 05/18/12 | 38,365 | |||||||||
7,000 | 5.000%, 10/15/11 | 7,361 | |||||||||
10,000 | 5.000%, 04/15/15 | 11,569 | |||||||||
10,050 | 6.000%, 05/15/11 | 10,452 | |||||||||
6,000 | 6.260%, 11/26/12 | 6,722 | |||||||||
Total U.S. Government Agency Securities (Cost $2,247,765) | 2,299,184 | ||||||||||
U.S. Treasury Obligations — 29.8% | |||||||||||
10,000 | U.S. Treasury Inflation Indexed Note, 2.375%, 04/15/11 | 11,118 | |||||||||
U.S. Treasury Notes, | |||||||||||
30,000 | 0.625%, 06/30/12 | 30,088 | |||||||||
163,000 | 0.625%, 07/31/12 | 163,490 | |||||||||
68,000 | 0.750%, 11/30/11 | 68,321 | |||||||||
73,000 | 0.750%, 05/31/12 | 73,374 | |||||||||
10,000 | 0.750%, 08/15/13 (c) | 10,013 | |||||||||
30,000 | 0.875%, 12/31/10 (m) | 30,066 | |||||||||
21,000 | 0.875%, 01/31/11 | 21,058 | |||||||||
25,000 | 0.875%, 04/30/11 | 25,105 | |||||||||
30,000 | 0.875%, 05/31/11 | 30,141 | |||||||||
80,000 | 0.875%, 01/31/12 | 80,547 | |||||||||
152,000 | 0.875%, 02/29/12 | 153,087 | |||||||||
170,200 | 1.000%, 08/31/11 | 171,383 | |||||||||
50,000 | 1.000%, 09/30/11 | 50,359 | |||||||||
178,450 | 1.000%, 10/31/11 (m) | 179,788 | |||||||||
110,000 | 1.000%, 12/31/11 | 110,902 | |||||||||
80,000 | 1.000%, 03/31/12 | 80,735 | |||||||||
40,000 | 1.000%, 04/30/12 | 40,367 | |||||||||
35,000 | 1.000%, 07/15/13 | 35,304 | |||||||||
121,000 | 1.125%, 01/15/12 (m) | 122,229 | |||||||||
20,600 | 1.125%, 12/15/12 | 20,864 | |||||||||
170,600 | 1.125%, 06/15/13 (m) | 172,679 | |||||||||
25,000 | 1.250%, 11/30/10 | 25,065 | |||||||||
5,000 | 1.250%, 08/31/15 | 4,978 | |||||||||
142,580 | 1.375%, 02/15/12 (m) | 144,607 | |||||||||
68,300 | 1.375%, 05/15/12 | 69,375 | |||||||||
136,565 | 1.375%, 09/15/12 | 138,976 | |||||||||
79,120 | 1.375%, 10/15/12 (m) | 80,554 | |||||||||
104,680 | 1.375%, 11/15/12 | 106,577 | |||||||||
10,000 | 1.375%, 01/15/13 | 10,187 | |||||||||
10,000 | 1.375%, 02/15/13 | 10,188 | |||||||||
72,000 | 1.375%, 03/15/13 | 73,384 | |||||||||
25,000 | 1.375%, 05/15/13 | 25,483 | |||||||||
93,480 | 1.750%, 11/15/11 | 95,047 | |||||||||
78,210 | 1.750%, 08/15/12 | 80,162 | |||||||||
35,000 | 1.750%, 01/31/14 | 36,061 | |||||||||
35,000 | 1.750%, 07/31/15 | 35,733 | |||||||||
10,000 | 1.875%, 06/15/12 | 10,255 | |||||||||
5,750 | 1.875%, 04/30/14 | 5,946 | |||||||||
20,000 | 1.875%, 06/30/15 | 20,550 | |||||||||
10,000 | 2.250%, 01/31/15 | 10,459 | |||||||||
10,000 | 2.375%, 10/31/14 | 10,517 | |||||||||
4,300 | 3.125%, 08/31/13 | 4,611 | |||||||||
5,000 | 4.000%, 02/15/15 | 5,617 | |||||||||
65,000 | 4.500%, 11/15/10 | 65,569 | |||||||||
22,000 | 4.875%, 04/30/11 | 22,674 | |||||||||
30,000 | 4.875%, 07/31/11 | 31,252 | |||||||||
93,000 | 5.125%, 06/30/11 (m) | 96,745 | |||||||||
Total U.S. Treasury Obligations (Cost $2,875,886) | 2,901,590 | ||||||||||
SHARES | |||||||||||
Short-Term Investment — 3.2% | |||||||||||
Investment Company — 3.2% | |||||||||||
307,003 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $307,003) | 307,003 | |||||||||
PRINCIPAL AMOUNT($) | |||||||||||
Investments of Cash Collateral for Securities on Loan — 0.8% | |||||||||||
Asset-Backed Security — 0.0% (g) | |||||||||||
285 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.334%, 03/25/36 | 211 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
SHARES | | SECURITY DESCRIPTION | | VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company — 0.8% | ||||||||||
74,378 | JPMorgan Prime Money Market Fund, Capital Shares, 0.200%, 09/01/10 (b) (l) | 74,378 | ||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $74,663) | 74,589 | |||||||||
Total Investments — 100.4% (Cost $9,599,239) | 9,764,691 | |||||||||
Liabilities in Excess of Other Assets — (0.4)% | (35,620 | ) | ||||||||
NET ASSETS — 100.0% | $ | 9,729,071 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Asset-Backed Securities — 8.1% | |||||||||||
Ally Auto Receivables Trust, | |||||||||||
50 | Series 2010-1, Class A3, 1.450%, 05/15/14 | 50 | |||||||||
89 | Series 2010-3, Class A4, 1.550%, 08/17/15 | 89 | |||||||||
125 | AmeriCredit Automobile Receivables Trust, Series 2009-1, Class A3, 3.040%, 10/15/13 | 128 | |||||||||
Bank of America Auto Trust, | |||||||||||
235 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) | 239 | |||||||||
100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) | 105 | |||||||||
175 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) | 177 | |||||||||
4 | Capital One Prime Auto Receivables Trust, Series 2007-2, Class A3, 4.890%, 01/15/12 | 4 | |||||||||
CarMax Auto Owner Trust, | |||||||||||
400 | Series 2009-1, Class A3, 4.120%, 03/15/13 | 410 | |||||||||
60 | Series 2010-1, Class A3, 1.560%, 07/15/14 | 61 | |||||||||
202 | Series 2010-1, Class A4, 2.400%, 04/15/15 | 208 | |||||||||
200 | Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.820%, 01/15/16 | 204 | |||||||||
176 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e) | 176 | |||||||||
CNH Equipment Trust, | |||||||||||
38 | Series 2009-A, Class A3, 5.280%, 11/15/12 | 39 | |||||||||
154 | Series 2009-B, Class A3, 2.970%, 03/15/13 | 156 | |||||||||
75 | Series 2009-C, Class A3, 1.850%, 12/16/13 | 76 | |||||||||
125 | Series 2010-A, Class A3, 1.540%, 07/15/14 | 126 | |||||||||
252 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 | 248 | |||||||||
Daimler Chrysler Auto Trust, | |||||||||||
112 | Series 2007-A, Class A3A, 5.000%, 02/08/12 | 112 | |||||||||
117 | Series 2008-B, Class A3A, 4.710%, 09/10/12 | 119 | |||||||||
Ford Credit Auto Owner Trust, | |||||||||||
1 | Series 2007-A, Class A3A, 5.400%, 08/15/11 | 1 | |||||||||
200 | Series 2009-B, Class A3, 2.790%, 08/15/13 | 204 | |||||||||
405 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.444%, 02/25/36 | 328 | |||||||||
Harley-Davidson Motorcycle Trust, | |||||||||||
259 | Series 2007-1, Class A4, 5.210%, 06/17/13 | 266 | |||||||||
100 | Series 2009-4, Class A3, 1.870%, 02/15/14 | 101 | |||||||||
484 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.444%, 07/25/36 | 446 | |||||||||
Honda Auto Receivables Owner Trust, | |||||||||||
795 | Series 2007-2, Class A4, 5.570%, 11/21/13 | 810 | |||||||||
100 | Series 2009-3, Class A3, 2.310%, 05/15/13 | 102 | |||||||||
95 | Hyundai Auto Receivables Trust, Series 2010-B, Class A4, 1.630%, 03/15/17 | 95 | |||||||||
300 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 | 304 | |||||||||
Nissan Auto Receivables Owner Trust, | |||||||||||
386 | Series 2009-1, Class A3, 5.000%, 09/15/14 | 398 | |||||||||
500 | Series 2009-A, Class A3, 3.200%, 02/15/13 | 510 | |||||||||
333 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.464%, 02/25/36 | 315 | |||||||||
369 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.454%, 03/25/36 | 346 | |||||||||
26 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 0.444%, 12/25/35 | 26 | |||||||||
434 | USAA Auto Owner Trust, Series 2008-2, Class A3, 4.640%, 10/15/12 | 441 | |||||||||
52 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 | 53 | |||||||||
278 | Wachovia Auto Loan Owner Trust, Series 2008-1, Class A3, 4.270%, 04/20/12 | 279 | |||||||||
World Omni Auto Receivables Trust, | |||||||||||
25 | Series 2007-B, Class A3A, 5.280%, 01/17/12 | 25 | |||||||||
40 | Series 2010-A, Class A3, 1.340%, 12/16/13 | 40 | |||||||||
45 | Series 2010-A, Class A4, 2.210%, 05/15/15 | 46 | |||||||||
Total Asset-Backed Securities (Cost $7,967) | 7,863 | ||||||||||
Collateralized Mortgage Obligations — 4.7% | |||||||||||
Agency CMO — 4.7% | |||||||||||
363 | Federal Home Loan Mortgage Corp. REMICS, Series 2594, Class QP, 4.000%, 03/15/33 | 386 | |||||||||
Federal National Mortgage Association REMICS, | |||||||||||
186 | Series 2003-42, Class EP, 4.000%, 11/25/22 | 194 | |||||||||
350 | Series 2003-92, Class PE, 4.500%, 09/25/18 | 387 | |||||||||
230 | Series 2005-31, Class PA, 5.500%, 10/25/34 | 253 | |||||||||
200 | Series 2005-48, Class MD, 5.000%, 04/25/34 | 216 | |||||||||
695 | Series 2006-43, Class G, 6.500%, 09/25/33 | 711 | |||||||||
788 | Series 2006-63, Class AB, 6.500%, 10/25/33 | 801 | |||||||||
508 | Series 2006-63, Class AE, 6.500%, 10/25/33 | 517 | |||||||||
195 | Series 2007-76, Class DB, 6.000%, 05/25/33 | 206 | |||||||||
290 | Series 2010-64, Class DM, 5.000%, 06/25/40 | 315 | |||||||||
Government National Mortgage Association, | |||||||||||
6 | Series 2002-24, Class FA, VAR, 0.776%, 04/16/32 (m) | 6 | |||||||||
305 | Series 2003-105, Class VH, 4.500%, 01/16/28 | 327 | |||||||||
248 | Series 2009-67, Class GK, 4.500%, 01/16/37 | 266 | |||||||||
4,585 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $4,518) | 4,585 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Commercial Mortgage-Backed Securities — 1.2% | |||||||||||
2 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.176%, 11/10/41 | 2 | |||||||||
CS First Boston Mortgage Securities Corp., | |||||||||||
483 | Series 2001-CP4, Class A4, 6.180%, 12/15/35 | 494 | |||||||||
214 | Series 2004-C3, Class A3, 4.302%, 07/15/36 | 214 | |||||||||
37 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.285%, 07/05/35 | 37 | |||||||||
373 | LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A2, 3.246%, 03/15/29 | 373 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,113) | 1,120 | ||||||||||
Corporate Bonds — 24.5% | |||||||||||
Consumer Discretionary — 0.5% | |||||||||||
Auto Components — 0.1% | |||||||||||
65 | Johnson Controls, Inc., 4.875%, 09/15/13 | 71 | |||||||||
Automobiles — 0.1% | |||||||||||
50 | Daimler Finance North America LLC, 6.500%, 11/15/13 | 57 | |||||||||
Hotels, Restaurants & Leisure — 0.1% | |||||||||||
80 | McDonald’s Corp., 8.875%, 04/01/11 (a) | 84 | |||||||||
Media — 0.2% | |||||||||||
200 | Comcast Cable Communications LLC, 6.750%, 01/30/11 | 205 | |||||||||
Multiline Retail — 0.0% (g) | |||||||||||
50 | Kohl’s Corp., 7.375%, 10/15/11 | 53 | |||||||||
Total Consumer Discretionary | 470 | ||||||||||
Consumer Staples — 2.5% | |||||||||||
Beverages — 1.4% | |||||||||||
45 | Bottling Group LLC, 5.000%, 11/15/13 | 50 | |||||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 | 174 | |||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.250%, 09/15/10 | 1,051 | |||||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 | 92 | |||||||||
1,367 | |||||||||||
Food & Staples Retailing — 0.1% | |||||||||||
45 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 | 52 | |||||||||
Food Products — 1.0% | |||||||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 | 129 | |||||||||
50 | Cargill, Inc., 4.375%, 06/01/13 (e) | 54 | |||||||||
35 | General Mills, Inc., 5.250%, 08/15/13 | 39 | |||||||||
Kraft Foods, Inc., | |||||||||||
600 | 6.000%, 02/11/13 | 666 | |||||||||
100 | 6.250%, 06/01/12 | 108 | |||||||||
996 | |||||||||||
Total Consumer Staples | 2,415 | ||||||||||
Energy — 0.6% | |||||||||||
Oil, Gas & Consumable Fuels — 0.6% | |||||||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 | 15 | |||||||||
35 | Cenovus Energy, Inc., (Canada), 4.500%, 09/15/14 | 38 | |||||||||
45 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 | 50 | |||||||||
311 | Qatar Petroleum, (Qatar), 5.579%, 05/30/11 (e) | 317 | |||||||||
Shell International Finance B.V., (Netherlands), | |||||||||||
30 | 1.875%, 03/25/13 | 31 | |||||||||
35 | 4.000%, 03/21/14 | 38 | |||||||||
100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) | 112 | |||||||||
Total Energy | 601 | ||||||||||
Financials — 14.1% | |||||||||||
Capital Markets — 1.2% | |||||||||||
200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 | 217 | |||||||||
100 | BlackRock, Inc., 2.250%, 12/10/12 | 103 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.300%, 02/14/12 | 630 | |||||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 | 67 | |||||||||
135 | State Street Corp., 4.300%, 05/30/14 | 148 | |||||||||
1,165 | |||||||||||
Commercial Banks — 2.0% | |||||||||||
45 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 | 46 | |||||||||
240 | BB&T Corp., 6.500%, 08/01/11 | 252 | |||||||||
Deutsche Bank AG, (Germany), | |||||||||||
175 | 3.875%, 08/18/14 | 187 | |||||||||
100 | 5.375%, 10/12/12 | 108 | |||||||||
20 | M&T Bank Corp., 5.375%, 05/24/12 | 21 | |||||||||
100 | PNC Funding Corp., 3.625%, 02/08/15 | 105 | |||||||||
250 | U.S. Bank N.A., 6.375%, 08/01/11 | 263 | |||||||||
800 | Wachovia Corp., 5.300%, 10/15/11 | 839 | |||||||||
128 | Westpac Banking Corp., (Australia), 2.250%, 11/19/12 | 130 | |||||||||
1,951 | |||||||||||
Consumer Finance — 1.3% | |||||||||||
American Express Credit Corp., | |||||||||||
130 | 5.875%, 05/02/13 | 143 | |||||||||
80 | 7.300%, 08/20/13 | 92 | |||||||||
20 | Capital One Financial Corp., 7.375%, 05/23/14 | 23 | |||||||||
720 | HSBC Finance Corp., 6.375%, 11/27/12 | 784 | |||||||||
200 | John Deere Capital Corp., 5.250%, 10/01/12 | 217 | |||||||||
1,259 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Diversified Financial Services — 2.7% | |||||||||||
Bank of America Corp., | |||||||||||
50 | 4.900%, 05/01/13 | 53 | |||||||||
100 | 7.375%, 05/15/14 | 114 | |||||||||
BP Capital Markets plc, (United Kingdom), | |||||||||||
60 | 3.125%, 03/10/12 | 60 | |||||||||
80 | 3.625%, 05/08/14 | 80 | |||||||||
Caterpillar Financial Services Corp., | |||||||||||
150 | 5.750%, 02/15/12 | 161 | |||||||||
50 | 6.125%, 02/17/14 | 57 | |||||||||
Citigroup, Inc., | |||||||||||
520 | 5.500%, 04/11/13 | 552 | |||||||||
45 | 6.375%, 08/12/14 | 49 | |||||||||
200 | CME Group, Inc., 5.400%, 08/01/13 | 223 | |||||||||
General Electric Capital Corp., | |||||||||||
1,000 | 5.500%, 04/28/11 | 1,032 | |||||||||
125 | 5.900%, 05/13/14 | 141 | |||||||||
50 | NASDAQ OMX Group, Inc. (The), 4.000%, 01/15/15 | 52 | |||||||||
20 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 | 21 | |||||||||
2,595 | |||||||||||
FDIC Guaranteed Securities — 6.0% (˜) | |||||||||||
600 | Bank of America Corp., 3.125%, 06/15/12 | 627 | |||||||||
600 | Citigroup, Inc., 2.875%, 12/09/11 | 618 | |||||||||
General Electric Capital Corp., | |||||||||||
700 | 2.125%, 12/21/12 | 722 | |||||||||
800 | 3.000%, 12/09/11 | 824 | |||||||||
300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 | 314 | |||||||||
600 | HSBC USA, Inc., 3.125%, 12/16/11 | 620 | |||||||||
400 | John Deere Capital Corp., 2.875%, 06/19/12 | 416 | |||||||||
1,300 | Morgan Stanley, 2.900%, 12/01/10 | 1,309 | |||||||||
400 | SunTrust Bank, 3.000%, 11/16/11 | 412 | |||||||||
5,862 | |||||||||||
Insurance — 0.1% | |||||||||||
100 | Metropolitan Life Global Funding I, 5.125%, 04/10/13 (e) | 109 | |||||||||
Real Estate Investment Trusts (REITs) — 0.0% (g) | |||||||||||
13 | Simon Property Group LP, 4.200%, 02/01/15 | 14 | |||||||||
Thrifts & Mortgage Finance — 0.8% | |||||||||||
700 | Countrywide Financial Corp., 5.800%, 06/07/12 | 744 | |||||||||
Total Financials | 13,699 | ||||||||||
Health Care — 0.0% (g) | |||||||||||
Pharmaceuticals — 0.0% (g) | |||||||||||
50 | Eli Lilly & Co., 3.550%, 03/06/12 | 52 | |||||||||
Industrials — 0.7% | |||||||||||
Aerospace & Defense — 0.2% | |||||||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 | 164 | |||||||||
Industrial Conglomerates — 0.1% | |||||||||||
100 | Honeywell International, Inc., 3.875%, 02/15/14 | 109 | |||||||||
Machinery — 0.1% | |||||||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 | 47 | |||||||||
Road & Rail — 0.3% | |||||||||||
100 | Burlington Northern Santa Fe LLC, 5.900%, 07/01/12 | 108 | |||||||||
Canadian National Railway Co., (Canada), | |||||||||||
20 | 4.400%, 03/15/13 | 22 | |||||||||
30 | 4.950%, 01/15/14 | 33 | |||||||||
80 | CSX Corp., 6.300%, 03/15/12 | 85 | |||||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 | 77 | |||||||||
325 | |||||||||||
Total Industrials | 645 | ||||||||||
Information Technology — 0.8% | |||||||||||
Computers & Peripherals — 0.3% | |||||||||||
25 | Dell, Inc., 5.625%, 04/15/14 | 28 | |||||||||
Hewlett-Packard Co., | |||||||||||
20 | 2.950%, 08/15/12 | 21 | |||||||||
120 | 4.250%, 02/24/12 | 126 | |||||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 | 65 | |||||||||
240 | |||||||||||
IT Services — 0.1% | |||||||||||
50 | Electronic Data Systems LLC, 6.000%, 08/01/13 | 57 | |||||||||
Office Electronics — 0.1% | |||||||||||
110 | Xerox Corp., 8.250%, 05/15/14 | 132 | |||||||||
Software — 0.3% | |||||||||||
140 | Microsoft Corp., 2.950%, 06/01/14 | 149 | |||||||||
140 | Oracle Corp., 4.950%, 04/15/13 | 155 | |||||||||
304 | |||||||||||
Total Information Technology | 733 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Corporate Bonds — Continued | |||||||||||
Materials — 0.2% | |||||||||||
Chemicals — 0.2% | |||||||||||
EI du Pont de Nemours & Co., | |||||||||||
45 | 3.250%, 01/15/15 | 48 | |||||||||
100 | 5.000%, 01/15/13 | 109 | |||||||||
Total Materials | 157 | ||||||||||
Telecommunication Services — 2.2% | |||||||||||
Diversified Telecommunication Services — 2.0% | |||||||||||
450 | AT&T, Inc., 6.700%, 11/15/13 | 521 | |||||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 | 144 | |||||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 | 55 | |||||||||
950 | Telefonica Emisiones S.A.U., (Spain), 5.984%, 06/20/11 | 985 | |||||||||
250 | Verizon Florida LLC, 6.125%, 01/15/13 | 273 | |||||||||
1,978 | |||||||||||
Wireless Telecommunication Services — 0.2% | |||||||||||
120 | Cellco Partnership/Verizon Wireless Capital LLC, 3.750%, 05/20/11 | 123 | |||||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 | 75 | |||||||||
198 | |||||||||||
Total Telecommunication Services | 2,176 | ||||||||||
Utilities — 2.9% | |||||||||||
Electric Utilities — 2.6% | |||||||||||
Appalachian Power Co., | |||||||||||
650 | 5.550%, 04/01/11 | 667 | |||||||||
200 | 5.650%, 08/15/12 | 214 | |||||||||
50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 | 57 | |||||||||
30 | Duke Energy Corp., 3.950%, 09/15/14 | 32 | |||||||||
1,150 | MidAmerican Energy Co., 5.650%, 07/15/12 | 1,240 | |||||||||
250 | Nisource Finance Corp., 7.875%, 11/15/10 | 253 | |||||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 | 17 | |||||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 | 22 | |||||||||
10 | Southern Co., 4.150%, 05/15/14 | 11 | |||||||||
50 | Spectra Energy Capital LLC, 5.668%, 08/15/14 | 56 | |||||||||
2,569 | |||||||||||
Gas Utilities — 0.1% | |||||||||||
80 | Southern California Gas Co., 5.500%, 03/15/14 | 91 | |||||||||
Multi-Utilities — 0.2% | |||||||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 | 142 | |||||||||
20 | PG&E Corp., 5.750%, 04/01/14 | 22 | |||||||||
164 | |||||||||||
Total Utilities | 2,824 | ||||||||||
Total Corporate Bonds (Cost $22,802) | 23,772 | ||||||||||
Foreign Government Securities — 0.2% | |||||||||||
Province of Ontario, (Canada), | |||||||||||
100 | 2.950%, 02/05/15 | 106 | |||||||||
45 | 4.100%, 06/16/14 | 49 | |||||||||
Total Foreign Government Securities (Cost $145) | 155 | ||||||||||
Mortgage Pass-Through Securities — 0.5% | |||||||||||
236 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 | 255 | |||||||||
261 | Federal National Mortgage Association, 20 Year, Single Family, 5.500%, 02/01/23 | 282 | |||||||||
Total Mortgage Pass-Through Securities (Cost $532) | 537 | ||||||||||
U.S. Government Agency Securities — 26.5% | |||||||||||
400 | Federal Farm Credit Banks, 2.625%, 04/17/14 | 421 | |||||||||
685 | 4.900%, 03/06/13 | 754 | |||||||||
Federal Home Loan Bank System, | |||||||||||
900 | 0.875%, 08/22/12 | 904 | |||||||||
700 | 1.125%, 05/18/12 | 707 | |||||||||
2,500 | 1.875%, 06/21/13 | 2,570 | |||||||||
Federal Home Loan Mortgage Corp., | |||||||||||
1,350 | 3.000%, 07/28/14 | 1,441 | |||||||||
4,000 | 4.875%, 11/15/13 | 4,496 | |||||||||
3,500 | 5.250%, 07/18/11 | 3,653 | |||||||||
Federal National Mortgage Association, | |||||||||||
900 | 1.000%, 04/04/12 | 906 | |||||||||
500 | 2.375%, 07/28/15 | 518 | |||||||||
2,703 | 4.000%, 03/27/13 | 2,921 | |||||||||
4,000 | 4.375%, 03/15/13 | 4,356 | |||||||||
1,400 | 4.625%, 10/15/13 | 1,557 | |||||||||
400 | 4.750%, 02/21/13 | 438 | |||||||||
Total U.S. Government Agency Securities (Cost $25,058) | 25,642 |
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations — 33.3% | |||||||||||
U.S. Treasury Notes, | |||||||||||
200 | 0.625%, 07/31/12 | 201 | |||||||||
300 | 0.750%, 08/15/13 | 300 | |||||||||
5,775 | 0.875%, 02/29/12 | 5,816 | |||||||||
500 | 1.000%, 04/30/12 | 504 | |||||||||
10,500 | 1.125%, 01/15/12 | 10,607 | |||||||||
2,550 | 1.375%, 09/15/12 | 2,595 | |||||||||
1,420 | 1.375%, 02/15/13 | 1,447 | |||||||||
4,650 | 1.750%, 11/15/11 | 4,728 | |||||||||
3,175 | 1.750%, 08/15/12 | 3,254 | |||||||||
100 | 1.750%, 07/31/15 | 102 | |||||||||
2,500 | 2.750%, 10/31/13 | 2,656 | |||||||||
Total U.S. Treasury Obligations (Cost $31,768) | 32,210 |
SHARES | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment — 0.6% | |||||||||||
Investment Company — 0.6% | |||||||||||
561 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% (b) (l) (Cost $561) | 561 | |||||||||
Total Investments — 99.6% (Cost $94,464) | 96,445 | ||||||||||
Other Assets in Excess of Liabilities — 0.4% | 408 | ||||||||||
NET ASSETS — 100.0% | $ | 96,853 |
AS OF AUGUST 31, 2010 (Unaudited)
PRINCIPAL AMOUNT($) | | SECURITY DESCRIPTION | | VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Securities — 21.2% | |||||||||||
Federal Farm Credit Bank, | |||||||||||
20,000 | 3.625%, 07/15/11 (m) | 20,573 | |||||||||
24,000 | 3.875%, 06/04/12 (m) | 25,380 | |||||||||
9,745 | 4.000%, 05/21/13 | 10,564 | |||||||||
25,000 | 4.350%, 09/02/14 (m) | 27,984 | |||||||||
500 | 6.270%, 01/26/16 | 616 | |||||||||
855 | 6.900%, 09/01/10 | 855 | |||||||||
Federal Home Loan Bank System, | |||||||||||
5,000 | 1.125%, 05/18/12 | 5,046 | |||||||||
9,400 | 5.310%, 12/28/12 | 10,385 | |||||||||
1,246 | New Valley Generation I, 7.299%, 03/15/19 | 1,561 | |||||||||
4,879 | New Valley Generation II, 5.572%, 05/01/20 | 5,544 | |||||||||
Total U.S. Government Agency Securities (Cost $101,162) | 108,508 | ||||||||||
U.S. Treasury Obligations — 76.8% | |||||||||||
10,000 | U.S. Treasury Inflation Indexed Note, 2.000%, 04/15/12 | 11,096 | |||||||||
U.S. Treasury Notes, | |||||||||||
25,000 | 0.625%, 06/30/12 | 25,073 | |||||||||
15,000 | 0.875%, 04/30/11 | 15,063 | |||||||||
10,700 | 0.875%, 02/29/12 | 10,777 | |||||||||
40,000 | 1.000%, 09/30/11 | 40,287 | |||||||||
10,665 | 1.375%, 02/15/12 | 10,817 | |||||||||
60,000 | 1.375%, 05/15/12 | 60,945 | |||||||||
21,040 | 1.375%, 02/15/13 | 21,434 | |||||||||
60,290 | 1.750%, 11/15/11 | 61,300 | |||||||||
40,000 | 1.875%, 06/15/12 | 41,022 | |||||||||
12,000 | 1.875%, 04/30/14 | 12,409 | |||||||||
8,000 | 2.375%, 10/31/14 | 8,414 | |||||||||
70,000 | 2.750%, 10/31/13 | 74,359 | |||||||||
Total U.S. Treasury Obligations (Cost $384,151) | 392,996 | ||||||||||
SHARES | |||||||||||
Short-Term Investment — 1.5% | |||||||||||
Investment Company — 1.5% | |||||||||||
7,568 | JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.060%, (b) (l) (Cost $7,568) | 7,568 | |||||||||
Total Investments —99.5% (Cost $492,881) | 509,072 | ||||||||||
Other Assets in Excess of Liabilities — 0.5% | 2,378 | ||||||||||
NET ASSETS — 100.0% | $ | 511,450 |
AS OF AUGUST 31, 2010 (Unaudited)
ADR— | American Depositary Receipt |
ARM— | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of August 31, 2010. |
ARS— | Argentine Peso |
BRL — | Brazilian Real |
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 or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are as of August 31, 2010. 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 |
DA— | Development Authority |
ESOP— | Employee Stock Ownership Program |
FHA— | Federal Housing Administration |
GO— | General Obligation |
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 February 28, 2010. 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. |
MXN— | Mexican Peso |
PEN— | Peru nuevo sol |
PIK— | Payment-in-Kind |
PO— | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REMICS— | Real Estate Mortgage Investment Conduits |
STRIPS— | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB — | Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2010. |
TRY— | New Turkish Lira |
VA— | Veterans Administration |
VAR— | Variable Rate Security. The interest rate shown is the rate in effect as of August 31, 2010. |
ZAR— | South African Rand |
(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. |
(c)— | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(d)— | Defaulted Security. |
(e)— | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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): |
Fund | Value | Percentage | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Core Bond Fund | $ | 2,089 | 0.01 | % | |||||||
Core Plus Bond Fund | 11,811 | 0.62 | |||||||||
High Yield Fund | 96,235 | 1.30 | |||||||||
Limited Duration Bond Fund | 6,574 | 1.79 | |||||||||
Mortgage Backed Securities Fund | 607 | 0.03 |
(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)— | All or portion of this security is deposited 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, 2010. |
(m)— | All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
(r)— | Rates shown are per annum and payments are as described. |
(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, 2010. |
˜— | 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 faith 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. |
ˆ— | Unsettled security, coupon rate is undetermined at August 31, 2010. |
AS OF AUGUST 31, 2010 (Unaudited)
| Core Bond Fund | | Core Plus Bond Fund | | Government Bond Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 16,827,836 | $ | 1,644,873 | $ | 1,436,550 | ||||||||
Investments in affiliates, at value | 1,245,320 | 249,869 | 143,816 | |||||||||||
Total investment securities, at value | 18,073,156 | 1,894,742 | 1,580,366 | |||||||||||
Cash | 176 | 130 | — | |||||||||||
Foreign currency, at value | — | 2 | — | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 14,290 | 5,981 | 55 | |||||||||||
Fund shares sold | 80,598 | 11,072 | 7,449 | |||||||||||
Interest and dividends | 95,503 | 16,683 | 5,988 | |||||||||||
Securities lending income | 21 | 9 | — | |||||||||||
Variation margin on futures contracts | — | 1 | — | |||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 42 | — | |||||||||||
Unrealized appreciation on unfunded commitments | — | — | (a) | — | ||||||||||
Total Assets | 18,263,744 | 1,928,662 | 1,593,858 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Dividends | 11,941 | 4,272 | 2,314 | |||||||||||
Investment securities purchased | 126,363 | 22,917 | 14,734 | |||||||||||
Collateral for securities lending program | 109,983 | 27,660 | — | |||||||||||
Fund shares redeemed | 27,996 | 3,515 | 3,894 | |||||||||||
Unrealized Appreciation on forward foreign currency exchange contracts | — | 29 | — | |||||||||||
Outstanding swap contracts, at value | — | 106 | — | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 2,638 | 394 | 374 | |||||||||||
Administration fees | 1,369 | 82 | 118 | |||||||||||
Shareholder servicing fees | 2,322 | 320 | 58 | |||||||||||
Distribution fees | 2,610 | 229 | 259 | |||||||||||
Custodian and accounting fees | 450 | 74 | 46 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | — | (a) | — | (a) | |||||||||
Other | 622 | 238 | 282 | |||||||||||
Total Liabilities | 286,297 | 59,836 | 22,079 | |||||||||||
Net Assets | $ | 17,977,447 | $ | 1,868,826 | $ | 1,571,779 |
| Core Bond Fund | | Core Plus Bond Fund | | Government Bond Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | |||||||||||||||
Paid in capital | $ | 17,022,566 | $ | 2,072,258 | $ | 1,419,558 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | 472 | (777 | ) | (74 | ) | ||||||||||
Accumulated net realized gains (losses) | (66,001 | ) | (284,548 | ) | (3,130 | ) | |||||||||
Net unrealized appreciation (depreciation) | 1,020,410 | 81,893 | 155,425 | ||||||||||||
Total Net Assets | $ | 17,977,447 | $ | 1,868,826 | $ | 1,571,779 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 3,831,867 | $ | 310,831 | $ | 513,308 | |||||||||
Class B | 101,758 | 7,598 | 29,568 | ||||||||||||
Class C | 2,767,876 | 273,631 | 209,946 | ||||||||||||
Class R2 | 28,529 | 367 | 9,759 | ||||||||||||
Class R5 | 563,815 | — | — | ||||||||||||
Institutional Class | — | 51,983 | — | ||||||||||||
Select Class | 9,243,837 | 1,111,983 | 809,198 | ||||||||||||
Ultra | 1,439,765 | 112,433 | — | ||||||||||||
Total | $ | 17,977,447 | $ | 1,868,826 | $ | 1,571,779 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 328,756 | 38,083 | 45,575 | ||||||||||||
Class B | 8,735 | 926 | 2,627 | ||||||||||||
Class C | 236,387 | 33,403 | 18,699 | ||||||||||||
Class R2 | 2,450 | 45 | 867 | ||||||||||||
Class R5 | 48,443 | — | — | ||||||||||||
Institutional Class | — | 6,366 | — | ||||||||||||
Select Class | 793,533 | 136,315 | 71,894 | ||||||||||||
Ultra | 123,573 | 13,780 | — | ||||||||||||
Net Asset Value: | |||||||||||||||
Class A — Redemption price per share | $ | 11.66 | $ | 8.16 | $ | 11.26 | |||||||||
Class B — Offering price per share (b) | 11.65 | 8.20 | 11.25 | ||||||||||||
Class C — Offering price per share (b) | 11.71 | 8.19 | 11.23 | ||||||||||||
Class R2 — Offering and redemption price per share | 11.64 | 8.16 | 11.26 | ||||||||||||
Class R5 — Offering and redemption price per share | 11.64 | — | — | ||||||||||||
Institutional Class — Offering and redemption price per share | — | 8.17 | — | ||||||||||||
Select Class — Offering and redemption price per share | 11.65 | 8.16 | 11.26 | ||||||||||||
Ultra — Offering and redemption price per share | 11.65 | 8.16 | — | ||||||||||||
Class A maximum sales charge | 3.75 | % | 3.75 | % | 3.75 | % | |||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 12.11 | $ | 8.48 | $ | 11.70 | |||||||||
Cost of investments in non-affiliates | $ | 15,807,426 | $ | 1,562,890 | $ | 1,281,125 | |||||||||
Cost of investments in affiliates | 1,245,320 | 249,869 | 143,816 | ||||||||||||
Cost of foreign currency | — | 2 | — | ||||||||||||
Value of securities on loan | 107,942 | 27,007 | — |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| High Yield Fund | | Limited Duration Bond Fund | | Mortgage-Backed Securities Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 6,958,538 | $ | 305,910 | $ | 2,037,850 | ||||||||
Investments in affiliates, at value | 426,303 | 62,070 | 83,362 | |||||||||||
Total investment securities, at value | 7,384,841 | 367,980 | 2,121,212 | |||||||||||
Cash | 2,401 | — | 592 | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 124,979 | 80 | 939 | |||||||||||
Fund shares sold | 33,249 | 894 | 4,428 | |||||||||||
Interest and dividends | 131,989 | 949 | 9,414 | |||||||||||
Securities lending income | 118 | — | — | |||||||||||
Unrealized appreciation on unfunded commitments | 14 | — | — | |||||||||||
Total Assets | 7,677,591 | 369,903 | 2,136,585 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Due to custodian | — | 3 | — | |||||||||||
Dividends | 32,058 | 452 | 994 | |||||||||||
Investment securities purchased | 181,078 | — | 10,104 | |||||||||||
Collateral for securities lending program | 228,086 | — | — | |||||||||||
Fund shares redeemed | 12,539 | 899 | 1,079 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 3,368 | 36 | 245 | |||||||||||
Administration fees | 485 | 6 | 125 | |||||||||||
Shareholder servicing fees | 520 | 62 | 89 | |||||||||||
Distribution fees | 259 | 61 | 36 | |||||||||||
Custodian and accounting fees | 157 | 27 | 113 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 25 | 5 | 9 | |||||||||||
Other | 455 | 119 | 23 | |||||||||||
Total Liabilities | 459,030 | 1,670 | 12,817 | |||||||||||
Net Assets | $ | 7,218,561 | $ | 368,233 | $ | 2,123,768 |
| High Yield Fund | | Limited Duration Bond Fund | | Mortgage-Backed Securities Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | |||||||||||||||
Paid in capital | $ | 6,908,105 | $ | 510,280 | $ | 2,033,922 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | (82 | ) | (1,218 | ) | (38 | ) | |||||||||
Accumulated net realized gains (losses) | 14,607 | (89,958 | ) | (13,912 | ) | ||||||||||
Net unrealized appreciation (depreciation) | 295,931 | (50,871 | ) | 103,796 | |||||||||||
Total Net Assets | $ | 7,218,561 | $ | 368,233 | $ | 2,123,768 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 598,103 | $ | 75,143 | $ | 176,692 | |||||||||
Class B | 19,859 | 1,283 | — | ||||||||||||
Class C | 193,720 | 68,662 | — | ||||||||||||
Class R2 | 2,088 | — | — | ||||||||||||
Class R5 | 192,784 | — | — | ||||||||||||
Select Class | 5,684,402 | 221,844 | 531,890 | ||||||||||||
Ultra | 527,605 | 1,301 | 1,415,186 | ||||||||||||
Total | $ | 7,218,561 | $ | 368,233 | $ | 2,123,768 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 76,436 | 8,132 | 15,343 | ||||||||||||
Class B | 2,532 | 140 | — | ||||||||||||
Class C | 24,735 | 7,504 | — | ||||||||||||
Class R2 | 267 | — | — | ||||||||||||
Class R5 | 24,549 | — | — | ||||||||||||
Select Class | 724,166 | 24,016 | 47,098 | ||||||||||||
Ultra | 67,261 | 141 | 125,290 | ||||||||||||
Net Asset Value: | |||||||||||||||
Class A — Redemption price per share | $ | 7.82 | $ | 9.24 | $ | 11.52 | |||||||||
Class B — Offering price per share (a) | 7.84 | 9.17 | — | ||||||||||||
Class C — Offering price per share (a) | 7.83 | 9.15 | — | ||||||||||||
Class R2 — Offering and redemption price per share | 7.82 | — | — | ||||||||||||
Class R5 — Offering and redemption price per share | 7.85 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 7.85 | 9.24 | 11.29 | ||||||||||||
Ultra — Offering and redemption price per share | 7.84 | 9.25 | 11.30 | ||||||||||||
Class A maximum sales charge | 3.75 | % | 2.25 | % | 3.75 | % | |||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 8.12 | $ | 9.45 | $ | 11.97 | |||||||||
Cost of investments in non-affiliates | $ | 6,662,621 | $ | 356,781 | $ | 1,934,054 | |||||||||
Cost of investments in affiliates | 426,303 | 62,070 | 83,362 | ||||||||||||
Value of securities on loan | 221,567 | — | — |
(a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| Short Duration Bond Fund | | Short Term Bond Fund II | | Treasury & Agency Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in non-affiliates, at value | $ | 9,383,310 | $ | 95,884 | $ | 501,504 | ||||||||
Investments in affiliates, at value | 381,381 | 561 | 7,568 | |||||||||||
Total investment securities, at value | 9,764,691 | 96,445 | 509,072 | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 5,546 | 315 | — | |||||||||||
Fund shares sold | 33,982 | 1 | 457 | |||||||||||
Interest and dividends | 54,638 | 661 | 3,088 | |||||||||||
Securities lending income | 11 | — | — | |||||||||||
Total Assets | 9,858,868 | 97,422 | 512,617 | |||||||||||
LIABILITIES: | ||||||||||||||
Payables: | ||||||||||||||
Dividends | 10,527 | 111 | 429 | |||||||||||
Investment securities purchased | 32,215 | 283 | — | |||||||||||
Collateral for securities lending program | 74,663 | — | — | |||||||||||
Fund shares redeemed | 7,913 | 4 | 415 | |||||||||||
Accrued liabilities: | ||||||||||||||
Investment advisory fees | 1,561 | 15 | 136 | |||||||||||
Administration fees | 634 | 9 | 43 | |||||||||||
Shareholder servicing fees | 1,509 | 11 | — | (a) | ||||||||||
Distribution fees | 304 | 28 | 22 | |||||||||||
Custodian and accounting fees | 139 | 13 | 14 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 26 | — | (a) | 3 | ||||||||||
Audit fees | 41 | 52 | 37 | |||||||||||
Other | 265 | 43 | 68 | |||||||||||
Total Liabilities | 129,797 | 569 | 1,167 | |||||||||||
Net Assets | $ | 9,729,071 | $ | 96,853 | $ | 511,450 |
| Short Duration Bond Fund | | Short Term Bond Fund II | | Treasury & Agency Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET ASSETS: | |||||||||||||||
Paid in capital | $ | 9,553,792 | $ | 155,599 | $ | 487,988 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | 130 | (18 | ) | (462 | ) | ||||||||||
Accumulated net realized gains (losses) | 9,697 | (60,709 | ) | 7,733 | |||||||||||
Net unrealized appreciation (depreciation) | 165,452 | 1,981 | 16,191 | ||||||||||||
Total Net Assets | $ | 9,729,071 | $ | 96,853 | $ | 511,450 | |||||||||
Net Assets: | |||||||||||||||
Class A | $ | 293,656 | $ | 7,436 | $ | 101,962 | |||||||||
Class B | 3,140 | — | 1,049 | ||||||||||||
Class C | 380,391 | — | — | ||||||||||||
Class M | — | 87,386 | — | ||||||||||||
Select Class | 6,544,432 | 2,031 | 408,439 | ||||||||||||
Ultra | 2,507,452 | — | — | ||||||||||||
Total | $ | 9,729,071 | $ | 96,853 | $ | 511,450 | |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | |||||||||||||||
Class A | 26,684 | 837 | 10,152 | ||||||||||||
Class B | 283 | — | 105 | ||||||||||||
Class C | 34,356 | — | — | ||||||||||||
Class M | — | 9,837 | — | ||||||||||||
Select Class | 594,074 | 228 | 40,716 | ||||||||||||
Ultra | 227,559 | — | — | ||||||||||||
Net Asset Value: | |||||||||||||||
Class A — Redemption price per share | $ | 11.00 | $ | 8.88 | $ | 10.04 | |||||||||
Class B — Offering price per share (b) | 11.11 | — | 10.03 | ||||||||||||
Class C — Offering price per share (b) | 11.07 | — | — | ||||||||||||
Class M — Offering and redemption price per share | — | 8.88 | — | ||||||||||||
Select Class — Offering and redemption price per share | 11.02 | 8.90 | 10.03 | ||||||||||||
Ultra — Offering and redemption price per share | 11.02 | — | — | ||||||||||||
Class A maximum sales charge | 2.25 | % | 2.25 | % | 2.25 | % | |||||||||
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | 11.25 | $ | 9.08 | $ | 10.27 | |||||||||
Class M maximum sales charge | — | 1.50 | % | — | |||||||||||
Class M maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] | $ | — | $ | 9.02 | $ | — | |||||||||
Cost of investments in non-affiliates | $ | 9,217,858 | $ | 93,903 | $ | 485,313 | |||||||||
Cost of investments in affiliates | 381,381 | 561 | 7,568 | ||||||||||||
Value of securities on loan | 73,204 | — | — |
(a) | Amount rounds to less than $1,000. |
(b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
FOR THE SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited)
| Core Bond Fund | | Core Plus Bond Fund | | Government Bond Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income from non-affiliates | $ | 343,830 | $ | 41,947 | $ | 32,001 | ||||||||
Dividend income from non-affiliates | — | 375 | — | |||||||||||
Interest income from affiliates | 10 | — | (a) | — | ||||||||||
Dividend income from affiliates | 846 | 112 | 25 | |||||||||||
Income from securities lending (net) | 93 | 33 | — | |||||||||||
Total investment income | 344,779 | 42,467 | 32,026 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 24,274 | 2,327 | 2,183 | |||||||||||
Administration fees | 7,469 | 716 | 672 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 4,357 | 258 | 591 | |||||||||||
Class B | 411 | 29 | 118 | |||||||||||
Class C | 9,601 | 776 | 713 | |||||||||||
Class R2 | 54 | — | (a) | 17 | ||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 4,357 | 258 | 591 | |||||||||||
Class B | 137 | 10 | 39 | |||||||||||
Class C | 3,200 | 259 | 238 | |||||||||||
Class R2 | 27 | — | (a) | 9 | ||||||||||
Class R5 | 136 | — | — | |||||||||||
Institutional Class | — | 26 | — | |||||||||||
Select Class | 10,174 | 1,293 | 942 | |||||||||||
Custodian and accounting fees | 591 | 107 | 56 | |||||||||||
Professional fees | 121 | 59 | 39 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 93 | 10 | 10 | |||||||||||
Printing and mailing costs | 885 | 62 | 69 | |||||||||||
Registration and filing fees | 312 | 89 | 58 | |||||||||||
Transfer agent fees | 3,147 | 233 | 473 | |||||||||||
Other | 75 | 22 | 4 | |||||||||||
Total expenses | 69,421 | 6,534 | 6,822 | |||||||||||
Less amounts waived | (11,266 | ) | (790 | ) | (1,643 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||||
Net expenses | 58,155 | 5,744 | 5,179 | |||||||||||
Net investment income (loss) | 286,624 | 36,723 | 26,847 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | �� | |||||||||||||
Investments in non-affiliates | 18,217 | 2,686 | 48 | |||||||||||
Investment in affiliates | 309 | 60 | — | |||||||||||
Futures | — | 62 | — | |||||||||||
Foreign currency transactions | — | 18 | — | |||||||||||
Swaps | — | 10 | — | |||||||||||
Net realized gain (loss) | 18,526 | 2,836 | 48 | |||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments in non-affiliates | 600,249 | 58,922 | 75,778 | |||||||||||
Investments in affiliates | (294 | ) | (59 | ) | — | |||||||||
Futures | — | (1 | ) | — | ||||||||||
Foreign currency translations | — | 15 | — | |||||||||||
Swaps | — | (30 | ) | — | ||||||||||
Unfunded commitments | — | — | (a) | — | ||||||||||
Change in net unrealized appreciation (depreciation) | 599,955 | 58,847 | 75,778 | |||||||||||
Net realized/unrealized gains (losses) | 618,481 | 61,683 | 75,826 | |||||||||||
Change in net assets resulting from operations | $ | 905,105 | $ | 98,406 | $ | 102,673 |
(a) | Amount rounds to less than $1,000. |
| High Yield Fund | | Limited Duration Bond Fund | | Mortgage-Backed Securities Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income from non-affiliates | $ | 299,494 | $ | 5,537 | $ | 54,608 | ||||||||
Dividend income from non-affiliates | 2,900 | — | — | |||||||||||
Dividend income from affiliates | 147 | 45 | 92 | |||||||||||
Income from securities lending (net) | 524 | — | — | |||||||||||
Total investment income | 303,065 | 5,582 | 54,700 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 21,373 | 441 | 3,521 | |||||||||||
Administration fees | 3,036 | 163 | 929 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 737 | 95 | 177 | |||||||||||
Class B | 80 | 6 | — | |||||||||||
Class C | 664 | 259 | — | |||||||||||
Class R2 | 4 | — | — | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 737 | 95 | 177 | |||||||||||
Class B | 26 | 2 | — | |||||||||||
Class C | 221 | 86 | — | |||||||||||
Class R2 | 2 | — | — | |||||||||||
Class R5 | 44 | — | — | |||||||||||
Select Class | 6,496 | 257 | 643 | |||||||||||
Custodian and accounting fees | 150 | 38 | 147 | |||||||||||
Professional fees | 66 | 38 | 27 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 35 | 2 | 11 | |||||||||||
Printing and mailing costs | 404 | 9 | 33 | |||||||||||
Registration and filing fees | 125 | 37 | 77 | |||||||||||
Transfer agent fees | 1,613 | 78 | 9 | |||||||||||
Other | 47 | 5 | 19 | |||||||||||
Total expenses | 35,860 | 1,611 | 5,770 | |||||||||||
Less amounts waived | (5,086 | ) | (515 | ) | (2,716 | ) | ||||||||
Less earnings credits | (2 | ) | — | (a) | — | (a) | ||||||||
Net expenses | 30,772 | 1,096 | 3,054 | |||||||||||
Net investment income (loss) | 272,293 | 4,486 | 51,646 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments in non-affiliates | 45,435 | (2,467 | ) | 2,225 | ||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments in non-affiliates | 33,534 | 15,159 | 49,092 | |||||||||||
Unfunded commitments | 14 | — | — | |||||||||||
Change in net unrealized appreciation (depreciation) | 33,548 | 15,159 | 49,092 | |||||||||||
Net realized/unrealized gains (losses) | 78,983 | 12,692 | 51,317 | |||||||||||
Change in net assets resulting from operations | $ | 351,276 | $ | 17,178 | $ | 102,963 |
(a) | Amount rounds to less than $1,000. |
FOR THE SIX MONTHS ENDED AUGUST 31, 2010 (Unaudited) (continued)
| Short Duration Bond Fund | | Short Term Bond Fund II | | Treasury & Agency Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Interest income from non-affiliates | $ | 99,883 | $ | 1,330 | $ | 5,200 | ||||||||
Dividend income from affiliates | 92 | 1 | 2 | |||||||||||
Income from securities lending (net) | 63 | — | — | |||||||||||
Total investment income | 100,038 | 1,331 | 5,202 | |||||||||||
EXPENSES: | ||||||||||||||
Investment advisory fees | 11,000 | 126 | 782 | |||||||||||
Administration fees | 4,062 | 46 | 241 | |||||||||||
Distribution fees: | ||||||||||||||
Class A | 341 | 9 | 123 | |||||||||||
Class B | 12 | — | 5 | |||||||||||
Class C | 1,378 | — | — | |||||||||||
Class M | — | 159 | — | |||||||||||
Shareholder servicing fees: | ||||||||||||||
Class A | 341 | 9 | 123 | |||||||||||
Class B | 4 | — | 2 | |||||||||||
Class C | 459 | — | — | |||||||||||
Class M | — | 114 | — | |||||||||||
Select Class | 7,418 | 3 | 527 | |||||||||||
Custodian and accounting fees | 229 | 17 | 16 | |||||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||||
Professional fees | 93 | 58 | 28 | |||||||||||
Trustees’ and Chief Compliance Officer’s fees | 47 | 2 | 3 | |||||||||||
Printing and mailing costs | 137 | 25 | 24 | |||||||||||
Registration and filing fees | 184 | 15 | 22 | |||||||||||
Transfer agent fees | 160 | 11 | 62 | |||||||||||
Other | 41 | 19 | 12 | |||||||||||
Total expenses | 25,906 | 613 | 1,970 | |||||||||||
Less amounts waived | (3,088 | ) | (127 | ) | (676 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||||
Net expenses | 22,818 | 486 | 1,294 | |||||||||||
Net investment income (loss) | 77,220 | 845 | 3,908 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||
Investments in non-affiliates | 11,482 | 600 | 865 | |||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||
Investments in non-affiliates | 71,565 | (244 | ) | 3,427 | ||||||||||
Net realized/unrealized gains (losses) | 83,047 | 356 | 4,292 | |||||||||||
Change in net assets resulting from operations | $ | 160,267 | $ | 1,201 | $ | 8,200 |
(a) | Amount rounds to less than $1,000. |
FOR THE PERIODS INDICATED
Core Bond Fund | Core Plus Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 286,624 | $ | 489,967 | $ | 36,723 | $ | 59,564 | |||||||||||
Net realized gain (loss) | 18,526 | 418 | 2,836 | 499 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 599,955 | 478,829 | 58,847 | 104,066 | |||||||||||||||
Change in net assets resulting from operations | 905,105 | 969,214 | 98,406 | 164,129 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (61,425 | ) | (113,312 | ) | (4,973 | ) | (6,206 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | (1,531 | ) | (4,896 | ) | (156 | ) | (343 | ) | |||||||||||
Class C | |||||||||||||||||||
From net investment income | (36,587 | ) | (56,032 | ) | (4,377 | ) | (3,874 | ) | |||||||||||
Class R2 | |||||||||||||||||||
From net investment income | (365 | ) | (251 | ) | (5 | ) | (7 | ) | |||||||||||
Class R5 | |||||||||||||||||||
From net investment income | (10,422 | ) | (17,802 | ) | — | — | |||||||||||||
Institutional Class (a) | |||||||||||||||||||
From net investment income | — | — | (1,312 | ) | (1,402 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (151,706 | ) | (244,539 | ) | (25,046 | ) | (46,071 | ) | |||||||||||
Ultra | |||||||||||||||||||
From net investment income | (25,971 | ) | (52,645 | ) | (1,198 | ) | (1,857 | ) | |||||||||||
Total distributions to shareholders | (288,007 | ) | (489,477 | ) | (37,067 | ) | (59,760 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 3,102,292 | 8,411,171 | 475,233 | 478,602 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 3,719,390 | 8,890,908 | 536,572 | 582,971 | |||||||||||||||
Beginning of period | 14,258,057 | 5,367,149 | 1,332,254 | 749,283 | |||||||||||||||
End of period | $ | 17,977,447 | $ | 14,258,057 | $ | 1,868,826 | $ | 1,332,254 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 472 | $ | 1,855 | $ | (777 | ) | $ | (433 | ) |
(a) | Commencement of offering of class of shares effective June 19, 2009. |
FOR THE PERIODS INDICATED (continued)
Government Bond Fund | High Yield Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 26,847 | $ | 49,641 | $ | 272,293 | $ | 345,374 | |||||||||||
Net realized gain (loss) | 48 | 407 | 45,435 | 33,254 | |||||||||||||||
Change in net unrealized appreciation (depreciation) | 75,778 | 15,238 | 33,548 | 919,782 | |||||||||||||||
Change in net assets resulting from operations | 102,673 | 65,286 | 351,276 | 1,298,410 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (8,699 | ) | (16,672 | ) | (23,621 | ) | (39,437 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | (456 | ) | (1,363 | ) | (784 | ) | (1,611 | ) | |||||||||||
Class C | |||||||||||||||||||
From net investment income | (2,789 | ) | (5,436 | ) | (6,718 | ) | (8,640 | ) | |||||||||||
Class R2 | |||||||||||||||||||
From net investment income | (124 | ) | (45 | ) | (60 | ) | (28 | ) | |||||||||||
Class R5 | |||||||||||||||||||
From net investment income | — | — | (7,575 | ) | (10,142 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (14,865 | ) | (26,186 | ) | (220,083 | ) | (269,203 | ) | |||||||||||
Ultra | |||||||||||||||||||
From net investment income | — | — | (17,823 | ) | (16,380 | ) | |||||||||||||
Total distributions to shareholders | (26,933 | ) | (49,702 | ) | (276,664 | ) | (345,441 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 104,715 | 212,449 | 1,305,895 | 2,663,582 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 180,455 | 228,033 | 1,380,507 | 3,616,551 | |||||||||||||||
Beginning of period | 1,391,324 | 1,163,291 | 5,838,054 | 2,221,503 | |||||||||||||||
End of period | $ | 1,571,779 | $ | 1,391,324 | $ | 7,218,561 | $ | 5,838,054 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (74 | ) | $ | 12 | $ | (82 | ) | $ | 4,289 |
Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 4,486 | $ | 10,064 | $ | 51,646 | $ | 88,998 | |||||||||||
Net realized gain (loss) | (2,467 | ) | (43,827 | ) | 2,225 | 15 | |||||||||||||
Change in net unrealized appreciation (depreciation) | 15,159 | 84,743 | 49,092 | 82,299 | |||||||||||||||
Change in net assets resulting from operations | 17,178 | 50,980 | 102,963 | 171,312 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (943 | ) | (1,732 | ) | (3,518 | ) | (2,423 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | (16 | ) | (84 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | (690 | ) | (1,592 | ) | — | — | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (2,859 | ) | (5,196 | ) | (13,243 | ) | (10,196 | ) | |||||||||||
Ultra | |||||||||||||||||||
From net investment income | (19 | ) | (1,427 | ) | (35,427 | ) | (76,478 | ) | |||||||||||
Total distributions to shareholders | (4,527 | ) | (10,031 | ) | (52,188 | ) | (89,097 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 28,668 | (154,849 | ) | 273,561 | 696,596 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 41,319 | (113,900 | ) | 324,336 | 778,811 | ||||||||||||||
Beginning of period | 326,914 | 440,814 | 1,799,432 | 1,020,621 | |||||||||||||||
End of period | $ | 368,233 | $ | 326,914 | $ | 2,123,768 | $ | 1,799,432 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,218 | ) | $ | 1,177 | $ | (38 | ) | $ | 504 |
FOR THE PERIODS INDICATED (continued)
Short Duration Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 77,220 | $ | 128,366 | $ | 845 | $ | 2,353 | |||||||||||
Net realized gain (loss) | 11,482 | 3,945 | 600 | (11,882 | ) | ||||||||||||||
Change in net unrealized appreciation (depreciation) | 71,565 | 104,416 | (244 | ) | 13,496 | ||||||||||||||
Change in net assets resulting from operations | 160,267 | 236,727 | 1,201 | 3,967 | |||||||||||||||
Net equalization credits (debits) | — | — | (6 | ) | (15 | ) | |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Class A | |||||||||||||||||||
From net investment income | (2,029 | ) | (4,393 | ) | (74 | ) | (173 | ) | |||||||||||
Class B | |||||||||||||||||||
From net investment income | (15 | ) | (80 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
From net investment income | (1,762 | ) | (3,307 | ) | — | — | |||||||||||||
Class M | |||||||||||||||||||
From net investment income | — | — | (792 | ) | (2,406 | ) | |||||||||||||
Select Class | |||||||||||||||||||
From net investment income | (51,843 | ) | (86,773 | ) | (26 | ) | (105 | ) | |||||||||||
Ultra | |||||||||||||||||||
From net investment income | (21,866 | ) | (33,326 | ) | — | — | |||||||||||||
Total distributions to shareholders | (77,515 | ) | (127,879 | ) | (892 | ) | (2,684 | ) | |||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Change in net assets from capital transactions | 1,834,978 | 5,229,689 | (6,895 | ) | (23,718 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Change in net assets | 1,917,730 | 5,338,537 | (6,592 | ) | (22,450 | ) | |||||||||||||
Beginning of period | 7,811,341 | 2,472,804 | 103,445 | 125,895 | |||||||||||||||
End of period | $ | 9,729,071 | $ | 7,811,341 | $ | 96,853 | $ | 103,445 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 130 | $ | 425 | $ | (18 | ) | $ | 29 |
Treasury & Agency Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |||||||||||
Net investment income (loss) | $ | 3,908 | $ | 14,559 | |||||||
Net realized gain (loss) | 865 | 12,322 | |||||||||
Change in net unrealized appreciation (depreciation) | 3,427 | (4,734 | ) | ||||||||
Change in net assets resulting from operations | 8,200 | 22,147 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Class A | |||||||||||
From net investment income | (658 | ) | (2,238 | ) | |||||||
From net realized gains | — | (3,339 | ) | ||||||||
Class B | |||||||||||
From net investment income | (5 | ) | (37 | ) | |||||||
From net realized gains | — | (54 | ) | ||||||||
Select Class | |||||||||||
From net investment income | (3,267 | ) | (12,271 | ) | |||||||
From net realized gains | — | (14,626 | ) | ||||||||
Total distributions to shareholders | (3,930 | ) | (32,565 | ) | |||||||
CAPITAL TRANSACTIONS: | |||||||||||
Change in net assets from capital transactions | (21,881 | ) | (131,206 | ) | |||||||
NET ASSETS: | |||||||||||
Change in net assets | (17,611 | ) | (141,624 | ) | |||||||
Beginning of period | 529,061 | 670,685 | |||||||||
End of period | $ | 511,450 | $ | 529,061 | |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (462 | ) | $ | (440 | ) |
FOR THE PERIODS INDICATED (continued)
Core Bond Fund | Core Plus Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 1,038,426 | $ | 2,207,484 | $ | 169,107 | $ | 123,634 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,525 | — | 10,165 | |||||||||||||||
Dividends and distributions reinvested | 53,033 | 97,942 | 3,669 | 4,236 | |||||||||||||||
Cost of shares redeemed | (546,274 | ) | (692,741 | ) | (39,093 | ) | (29,687 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | 545,185 | $ | 1,718,210 | $ | 133,683 | $ | 108,348 | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 2,716 | $ | 33,442 | $ | 910 | $ | 2,766 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 36,304 | — | 2,437 | |||||||||||||||
Dividends and distributions reinvested | 1,255 | 3,918 | 120 | 267 | |||||||||||||||
Cost of shares redeemed | (24,839 | ) | (42,164 | ) | (1,402 | ) | (2,804 | ) | |||||||||||
Change in net assets from Class B capital transactions | $ | (20,868 | ) | $ | 31,500 | $ | (372 | ) | $ | 2,666 | |||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 627,375 | $ | 2,141,459 | $ | 131,992 | $ | 139,327 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 41,325 | — | 5,095 | |||||||||||||||
Dividends and distributions reinvested | 28,928 | 43,720 | 3,217 | 2,836 | |||||||||||||||
Cost of shares redeemed | (312,352 | ) | (203,403 | ) | (22,622 | ) | (16,654 | ) | |||||||||||
Change in net assets from Class C capital transactions | $ | 343,951 | $ | 2,023,101 | $ | 112,587 | $ | 130,604 | |||||||||||
Class R2 | |||||||||||||||||||
Proceeds from shares issued | $ | 15,034 | $ | 15,313 | $ | 147 | $ | 145 | |||||||||||
Dividends and distributions reinvested | 237 | 68 | 3 | 5 | |||||||||||||||
Cost of shares redeemed | (2,229 | ) | (1,060 | ) | (2 | ) | — | (a) | |||||||||||
Change in net assets from Class R2 capital transactions | $ | 13,042 | $ | 14,321 | $ | 148 | $ | 150 | |||||||||||
Class R5 | |||||||||||||||||||
Proceeds from shares issued | $ | 122,564 | $ | 247,419 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 9,054 | 15,203 | — | — | |||||||||||||||
Cost of shares redeemed | (58,880 | ) | (69,126 | ) | — | — | |||||||||||||
Change in net assets from Class R5 capital transactions | $ | 72,738 | $ | 193,496 | $ | — | $ | — | |||||||||||
Institutional Class (b) | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 13,979 | $ | 32,142 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | — | — | 15,799 | |||||||||||||||
Dividends and distributions reinvested | — | — | 552 | 622 | |||||||||||||||
Cost of shares redeemed | — | — | (11,066 | ) | (3,374 | ) | |||||||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 3,465 | $ | 45,189 | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 2,575,037 | $ | 4,929,544 | $ | 176,794 | $ | 332,782 | |||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 576,149 | — | 30,681 | |||||||||||||||
Dividends and distributions reinvested | 104,551 | 153,536 | 3,794 | 7,280 | |||||||||||||||
Cost of shares redeemed | (776,258 | ) | (1,564,604 | ) | (46,963 | ) | (178,480 ) | ||||||||||||
Change in net assets from Select Class capital transactions | $ | 1,903,330 | $ | 4,094,625 | $ | 133,625 | $ | 192,263 | |||||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | 409,000 | $ | 485,735 | $ | 93,792 | $ | 35,673 | |||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 2,249 | |||||||||||||||
Net assets acquired in Fund reorganization (See Note 9) | — | 105,588 | — | 20,544 | |||||||||||||||
Dividends and distributions reinvested | 18,852 | 31,270 | 655 | 559 | |||||||||||||||
Cost of shares redeemed | (182,938 | ) | (286,675 | ) | (2,350 | ) | (59,643 | ) | |||||||||||
Change in net assets from Ultra capital transactions | $ | 244,914 | $ | 335,918 | $ | 92,097 | $ | (618 | ) | ||||||||||
Total change in net assets from capital transactions | $ | 3,102,292 | $ | 8,411,171 | $ | 475,233 | $ | 478,602 |
Core Bond Fund | Core Plus Bond Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 91,202 | 200,398 | 21,035 | 16,285 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,693 | — | 1,371 | |||||||||||||||
Reinvested | 4,643 | 8,862 | 458 | 554 | |||||||||||||||
Redeemed | (48,009 | ) | (62,836 | ) | (4,911 | ) | (3,920 | ) | |||||||||||
Change in Class A Shares | 47,836 | 156,117 | 16,582 | 14,290 | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 243 | 3,080 | 114 | 372 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,337 | — | 327 | |||||||||||||||
Reinvested | 110 | 355 | 15 | 36 | |||||||||||||||
Redeemed | (2,187 | ) | (3,823 | ) | (176 | ) | (370 | ) | |||||||||||
Change in Class B Shares | (1,834 | ) | 2,949 | (47 | ) | 365 | |||||||||||||
Class C | |||||||||||||||||||
Issued | 54,869 | 193,321 | 16,446 | 18,158 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 3,778 | — | 685 | |||||||||||||||
Reinvested | 2,521 | 3,919 | 400 | 367 | |||||||||||||||
Redeemed | (27,294 | ) | (18,251 | ) | (2,822 | ) | (2,169 | ) | |||||||||||
Change in Class C Shares | 30,096 | 182,767 | 14,024 | 17,041 | |||||||||||||||
Class R2 | |||||||||||||||||||
Issued | 1,321 | 1,385 | 18 | 19 | |||||||||||||||
Reinvested | 21 | 6 | — | (a) | 1 | ||||||||||||||
Redeemed | (194 | ) | (95 | ) | — | (a) | — | (a) | |||||||||||
Change in Class R2 Shares | 1,148 | 1,296 | 18 | 20 | |||||||||||||||
Class R5 | |||||||||||||||||||
Issued | 10,849 | 22,309 | — | — | |||||||||||||||
Reinvested | 793 | 1,380 | — | — | |||||||||||||||
Redeemed | (5,135 | ) | (6,289 | ) | — | — | |||||||||||||
Change in Class R5 Shares | 6,507 | 17,400 | — | — | |||||||||||||||
Institutional Class (b) | |||||||||||||||||||
Issued | — | — | 1,753 | 4,151 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | — | — | 2,130 | |||||||||||||||
Reinvested | — | — | 69 | 80 | |||||||||||||||
Redeemed | — | — | (1,384 | ) | (433 | ) | |||||||||||||
Change in Institutional Class Shares | — | — | 438 | 5,928 | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 226,215 | 445,897 | 22,209 | 43,932 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 52,962 | — | 4,141 | |||||||||||||||
Reinvested | 9,155 | 13,876 | 474 | 953 | |||||||||||||||
Redeemed | (68,236 | ) | (141,414 | ) | (5,900 | ) | (23,802 | ) | |||||||||||
Change in Select Class Shares | 167,134 | 371,321 | 16,783 | 25,224 | |||||||||||||||
Ultra | |||||||||||||||||||
Issued | 36,045 | 44,095 | 11,637 | 4,805 | |||||||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 312 | |||||||||||||||
Shares issued in connection with Fund reorganization (See Note 9) | — | 9,703 | — | 2,774 | |||||||||||||||
Reinvested | 1,648 | 2,837 | 82 | 72 | |||||||||||||||
Redeemed | (16,076 | ) | (25,920 | ) | (293 | ) | (7,838 | ) | |||||||||||
Change in Ultra Shares | 21,617 | 30,715 | 11,426 | 125 |
(a) | Amount rounds to less than 1,000 (shares or dollars). |
(b) | Commencement of offering of class of shares effective June 19, 2009. |
FOR THE PERIODS INDICATED (continued)
Government Bond Fund | High Yield Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 120,870 | $ | 249,919 | $ | 219,768 | $ | 570,387 | |||||||||||
Dividends and distributions reinvested | 5,303 | 9,730 | 19,420 | 33,852 | |||||||||||||||
Cost of shares redeemed | (91,036 | ) | (184,105 | ) | (227,568 | ) | (314,911 ) | ||||||||||||
Redemption fees | — | — | 24 | 30 | |||||||||||||||
Change in net assets from Class A capital transactions | $ | 35,137 | $ | 75,544 | $ | 11,644 | $ | 289,358 | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 413 | $ | 5,186 | $ | 534 | $ | 5,451 | |||||||||||
Dividends and distributions reinvested | 344 | 1,060 | 461 | 924 | |||||||||||||||
Cost of shares redeemed | (7,696 | ) | (20,095 | ) | (3,896 | ) | (6,349 | ) | |||||||||||
Redemption fees | — | — | 1 | 2 | |||||||||||||||
Change in net assets from Class B capital transactions | $ | (6,939 | ) | $ | (13,849 | ) | $ | (2,900 | ) | $ | 28 | ||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 54,983 | $ | 123,938 | $ | 51,192 | $ | 120,545 | |||||||||||
Dividends and distributions reinvested | 2,269 | 4,368 | 4,619 | 6,032 | |||||||||||||||
Cost of shares redeemed | (42,633 | ) | (81,288 | ) | (22,599 | ) | (30,007 | ) | |||||||||||
Redemption fees | — | — | 8 | 7 | |||||||||||||||
Change in net assets from Class C capital transactions | $ | 14,619 | $ | 47,018 | $ | 33,220 | $ | 96,577 | |||||||||||
Class R2 | |||||||||||||||||||
Proceeds from shares issued | $ | 8,173 | $ | 3,609 | $ | 1,380 | $ | 966 | |||||||||||
Dividends and distributions reinvested | 50 | 8 | 38 | 20 | |||||||||||||||
Cost of shares redeemed | (2,014 | ) | (643 | ) | (348 | ) | (73 | ) | |||||||||||
Redemption fees | — | — | — | (a) | — | (a) | |||||||||||||
Change in net assets from Class R2 capital transactions | $ | 6,209 | $ | 2,974 | $ | 1,070 | $ | 913 | |||||||||||
Class R5 | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 40,277 | $ | 77,289 | |||||||||||
Dividends and distributions reinvested | — | — | 7,440 | 9,768 | |||||||||||||||
Cost of shares redeemed | — | — | (5,080 | ) | (20,388 | ) | |||||||||||||
Redemption fees | — | — | 8 | 8 | |||||||||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | 42,645 | $ | 66,677 | |||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 119,454 | $ | 358,450 | $ | 1,521,260 | $ | 2,827,285 | |||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 4,090 | |||||||||||||||
Dividends and distributions reinvested | 4,382 | 7,709 | 61,906 | 69,870 | |||||||||||||||
Cost of shares redeemed | (68,147 | ) | (265,397 | ) | (526,910 | ) | (918,806 ) | ||||||||||||
Redemption fees | — | — | 224 | 215 | |||||||||||||||
Change in net assets from Select Class capital transactions | $ | 55,689 | $ | 100,762 | $ | 1,056,480 | $ | 1,982,654 | |||||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 209,029 | $ | 333,303 | |||||||||||
Dividends and distributions reinvested | — | — | 5,295 | 3,858 | |||||||||||||||
Cost of shares redeemed | — | — | (50,606 | ) | (109,799 ) | ||||||||||||||
Redemption fees | — | — | 18 | 13 | |||||||||||||||
Change in net assets from Ultra capital transactions | $ | — | $ | — | $ | 163,736 | $ | 227,375 | |||||||||||
Total change in net assets from capital transactions | $ | 104,715 | $ | 212,449 | $ | 1,305,895 | $ | 2,663,582 |
Government Bond Fund | High Yield Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 11,071 | 23,476 | 27,987 | 81,493 | |||||||||||||||
Reinvested | 486 | 912 | 2,478 | 4,664 | |||||||||||||||
Redeemed | (8,392 | ) | (17,265 | ) | (29,296 | ) | (42,776 | ) | |||||||||||
Change in Class A Shares | 3,165 | 7,123 | 1,169 | 43,381 | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 38 | 486 | 68 | 801 | |||||||||||||||
Reinvested | 31 | 99 | 59 | 129 | |||||||||||||||
Redeemed | (713 | ) | (1,891 | ) | (496 | ) | (909 | ) | |||||||||||
Change in Class B Shares | (644 | ) | (1,306 | ) | (369 | ) | 21 | ||||||||||||
Class C | |||||||||||||||||||
Issued | 5,037 | 11,674 | 6,502 | 17,448 | |||||||||||||||
Reinvested | 208 | 411 | 589 | 828 | |||||||||||||||
Redeemed | (3,944 | ) | (7,666 | ) | (2,881 | ) | (4,107 | ) | |||||||||||
Change in Class C Shares | 1,301 | 4,419 | 4,210 | 14,169 | |||||||||||||||
Class R2 | |||||||||||||||||||
Issued | 753 | 338 | 177 | 128 | |||||||||||||||
Reinvested | 5 | 1 | 5 | 3 | |||||||||||||||
Redeemed | (186 | ) | (60 | ) | (45 | ) | (10 | ) | |||||||||||
Change in Class R2 Shares | 572 | 279 | 137 | 121 | |||||||||||||||
Class R5 | |||||||||||||||||||
Issued | — | — | 5,118 | 11,237 | |||||||||||||||
Reinvested | — | — | 947 | 1,348 | |||||||||||||||
Redeemed | — | — | (651 | ) | (2,654 | ) | |||||||||||||
Change in Class R5 Shares | — | — | 5,414 | 9,931 | |||||||||||||||
Select Class | |||||||||||||||||||
Issued | 10,986 | 33,658 | 193,173 | 391,080 | |||||||||||||||
Subscriptions in-kind (See Note 10) | — | — | — | 690 | |||||||||||||||
Reinvested | 401 | 723 | 7,883 | 9,481 | |||||||||||||||
Redeemed | (6,300 | ) | (24,929 | ) | (67,134 | ) | (127,426 ) | ||||||||||||
Change in Select Class Shares | 5,087 | 9,452 | 133,922 | 273,825 | |||||||||||||||
Ultra | |||||||||||||||||||
Issued | — | — | 26,602 | 45,285 | |||||||||||||||
Reinvested | — | — | 675 | 532 | |||||||||||||||
Redeemed | — | — | (6,509 | ) | (15,149 | ) | |||||||||||||
Change in Ultra Shares | — | — | 20,768 | 30,668 |
(a) | Amount rounds to less than 1,000 (shares or dollars). |
FOR THE PERIODS INDICATED (continued)
Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 21,252 | $ | 35,791 | $ | 97,744 | $ | 94,102 | |||||||||||
Dividends and distributions reinvested | 710 | 1,278 | 3,143 | 2,099 | |||||||||||||||
Cost of shares redeemed | (24,129 | ) | (22,570 | ) | (29,734 | ) | (12,293 ) | ||||||||||||
Change in net assets from Class A capital transactions | $ | (2,167 | ) | $ | 14,499 | $ | 71,153 | $ | 83,908 | ||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 32 | $ | 143 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 13 | 71 | — | — | |||||||||||||||
Cost of shares redeemed | (668 | ) | (5,176 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | (623 | ) | $ | (4,962 | ) | $ | — | $ | — | |||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 8,792 | $ | 17,868 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 599 | 1,377 | — | — | |||||||||||||||
Cost of shares redeemed | (9,046 | ) | (26,768 | ) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | 345 | $ | (7,523 | ) | $ | — | $ | — | ||||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 46,467 | $ | 57,408 | $ | 190,731 | $ | 350,357 | |||||||||||
Dividends and distributions reinvested | 810 | 1,421 | 9,796 | 7,257 | |||||||||||||||
Cost of shares redeemed | (16,164 | ) | (74,888 | ) | (107,421 | ) | (27,094 ) | ||||||||||||
Change in net assets from Select Class capital transactions | $ | 31,113 | $ | (16,059 | ) | $ | 93,106 | $ | 330,520 | ||||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | 1 | $ | 164,461 | $ | 395,291 | |||||||||||
Dividends and distributions reinvested | — | — | 30,909 | 65,387 | |||||||||||||||
Cost of shares redeemed | — | (33,382 | ) | (86,068 | ) | (178,510 ) | |||||||||||||
Redemptions in-kind (See Note 10) | — | (107,423 | ) | — | — | ||||||||||||||
Change in net assets from Ultra capital transactions | $ | — | $ | (140,804 | ) | $ | 109,302 | $ | 282,168 | ||||||||||
Total change in net assets from capital transactions | $ | 28,668 | $ | (154,849 | ) | $ | 273,561 | $ | 696,596 |
Limited Duration Bond Fund | Mortgage-Backed Securities Fund | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 2,335 | 4,199 | 8,596 | 8,448 | |||||||||||||||
Reinvested | 78 | 153 | 276 | 190 | |||||||||||||||
Redeemed | (2,651 | ) | (2,722 | ) | (2,612 | ) | (1,109 | ) | |||||||||||
Change in Class A Shares | (238 | ) | 1,630 | 6,260 | 7,529 | ||||||||||||||
Class B | |||||||||||||||||||
Issued | 4 | 18 | — | — | |||||||||||||||
Reinvested | 1 | 9 | — | — | |||||||||||||||
Redeemed | (74 | ) | (648 | ) | — | — | |||||||||||||
Change in Class B Shares | (69 | ) | (621 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
Issued | 977 | 2,134 | — | — | |||||||||||||||
Reinvested | 66 | 168 | — | — | |||||||||||||||
Redeemed | (1,002 | ) | (3,285 | ) | — | — | |||||||||||||
Change in Class C Shares | 41 | (983 | ) | — | — | ||||||||||||||
Select Class | |||||||||||||||||||
Issued | 5,091 | 6,797 | 17,154 | 31,853 | |||||||||||||||
Reinvested | 89 | 170 | 879 | 671 | |||||||||||||||
Redeemed | (1,774 | ) | (9,328 | ) | (9,592 | ) | (2,490 | ) | |||||||||||
Change in Select Class Shares | 3,406 | (2,361 | ) | 8,441 | 30,034 | ||||||||||||||
Ultra | |||||||||||||||||||
Issued | — | — | (a) | 14,734 | 36,477 | ||||||||||||||
Reinvested | — | — | 2,770 | 6,082 | |||||||||||||||
Redeemed | — | (4,123 | ) | (7,689 | ) | (16,626 ) | |||||||||||||
Redemptions in-kind (See Note 10) | — | (13,361 | ) | — | — | ||||||||||||||
Change in Ultra Shares | — | (17,484 | ) | 9,815 | 25,933 |
(a) | Amount rounds to less than 1,000. |
FOR THE PERIODS INDICATED (continued)
Short Duration Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
CAPITAL TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Proceeds from shares issued | $ | 113,608 | $ | 259,152 | $ | 543 | $ | 1,024 | |||||||||||
Dividends and distributions reinvested | 1,652 | 3,608 | 69 | 166 | |||||||||||||||
Cost of shares redeemed | (79,506 | ) | (102,680 | ) | (463 | ) | (464 | ) | |||||||||||
Change in net assets from Class A capital transactions | $ | 35,754 | $ | 160,080 | $ | 149 | $ | 726 | |||||||||||
Class B | |||||||||||||||||||
Proceeds from shares issued | $ | 580 | $ | 1,719 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 12 | 67 | — | — | |||||||||||||||
Cost of shares redeemed | (939 | ) | (5,118 | ) | — | — | |||||||||||||
Change in net assets from Class B capital transactions | $ | (347 | ) | $ | (3,332 | ) | $ | — | $ | — | |||||||||
Class C | |||||||||||||||||||
Proceeds from shares issued | $ | 148,509 | $ | 422,727 | $ | — | $ | — | |||||||||||
Dividends and distributions reinvested | 1,538 | 2,864 | — | — | |||||||||||||||
Cost of shares redeemed | (117,991 | ) | (106,662 | ) | — | — | |||||||||||||
Change in net assets from Class C capital transactions | $ | 32,056 | $ | 318,929 | $ | — | $ | — | |||||||||||
Class M | |||||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | $ | — | (a) | ||||||||||
Cost of shares redeemed | — | — | (6,703 | ) | (21,165 | ) | |||||||||||||
Change in net assets from Class M capital transactions | $ | — | $ | — | $ | (6,703 | ) | $ | (21,165 | ) | |||||||||
Select Class | |||||||||||||||||||
Proceeds from shares issued | $ | 2,599,548 | $ | 4,655,265 | $ | 405 | $ | 132 | |||||||||||
Dividends and distributions reinvested | 3,336 | 7,101 | 12 | 20 | |||||||||||||||
Cost of shares redeemed | (1,278,384 | ) | (1,604,106 | ) | (758 | ) | (3,431 | ) | |||||||||||
Change in net assets from Select Class capital transactions | $ | 1,324,500 | $ | 3,058,260 | $ | (341 | ) | $ | (3,279 | ) | |||||||||
Ultra | |||||||||||||||||||
Proceeds from shares issued | $ | 1,059,725 | $ | 2,500,432 | $ | — | $ | — | |||||||||||
Subscriptions in-kind (See Note 10) | 11,698 | — | — | — | |||||||||||||||
Dividends and distributions reinvested | 9,152 | 8,224 | — | — | |||||||||||||||
Cost of shares redeemed | (637,560 | ) | (812,904 | ) | — | — | |||||||||||||
Change in net assets from Ultra capital transactions | $ | 443,015 | $ | 1,695,752 | $ | — | $ | — | |||||||||||
Total change in net assets from capital transactions | $ | 1,834,978 | $ | 5,229,689 | $ | (6,895 | ) | $ | (23,718 | ) |
Short Duration Bond Fund | Short Term Bond Fund II | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | | Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||||||
SHARE TRANSACTIONS: | |||||||||||||||||||
Class A | |||||||||||||||||||
Issued | 10,390 | 23,999 | 62 | 117 | |||||||||||||||
Reinvested | 151 | 334 | 7 | 20 | |||||||||||||||
Redeemed | (7,274 | ) | (9,483 | ) | (52 | ) | (54 | ) | |||||||||||
Change in Class A Shares | 3,267 | 14,850 | 17 | 83 | |||||||||||||||
Class B | |||||||||||||||||||
Issued | 53 | 158 | — | — | |||||||||||||||
Reinvested | 1 | 6 | — | — | |||||||||||||||
Redeemed | (85 | ) | (473 | ) | — | — | |||||||||||||
Change in Class B Shares | (31 | ) | (309 | ) | — | — | |||||||||||||
Class C | |||||||||||||||||||
Issued | 13,508 | 38,823 | — | — | |||||||||||||||
Reinvested | 140 | 262 | — | — | |||||||||||||||
Redeemed | (10,735 | ) | (9,760 | ) | — | — | |||||||||||||
Change in Class C Shares | 2,913 | 29,325 | — | — | |||||||||||||||
Class M | |||||||||||||||||||
Issued | — | — | — | — | (a) | ||||||||||||||
Redeemed | — | — | (759 | ) | (2,404 ) | ||||||||||||||
Change in Class M Shares | — | — | (759 | ) | (2,404 | ) | |||||||||||||
Select Class | |||||||||||||||||||
Issued | 237,579 | 428,823 | 46 | 15 | |||||||||||||||
Reinvested | 305 | 655 | 1 | 2 | |||||||||||||||
Redeemed | (116,866 | ) | (147,579 | ) | (86 | ) | (390 | ) | |||||||||||
Change in Select Class Shares | 121,018 | 281,899 | (39 | ) | (373 | ) | |||||||||||||
Ultra | |||||||||||||||||||
Issued | 96,784 | 230,589 | — | — | |||||||||||||||
Subscriptions in-kind (See Note 10) | 1,064 | — | — | — | |||||||||||||||
Reinvested | 835 | 757 | — | — | |||||||||||||||
Redeemed | (58,316 | ) | (74,562 | ) | — | — | |||||||||||||
Change in Ultra Shares | 40,367 | 156,784 | — | — |
(a) | Amount rounds to less than 1,000 (shares or dollars). |
FOR THE PERIODS INDICATED (continued)
Treasury & Agency Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
| Six Months Ended 8/31/2010 (Unaudited) | | Year Ended 2/28/2010 | ||||||||
CAPITAL TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Proceeds from shares issued | $ | 19,720 | $ | 43,462 | |||||||
Dividends and distributions reinvested | 488 | 4,305 | |||||||||
Cost of shares redeemed | (18,638 | ) | (60,690 ) | ||||||||
Change in net assets from Class A capital transactions | $ | 1,570 | $ | (12,923 | ) | ||||||
Class B | |||||||||||
Proceeds from shares issued | $ | 61 | $ | 302 | |||||||
Dividends and distributions reinvested | 4 | 80 | |||||||||
Cost of shares redeemed | (615 | ) | (2,305 | ) | |||||||
Change in net assets from Class B capital transactions | $ | (550 | ) | $ | (1,923 ) | ||||||
Select Class | |||||||||||
Proceeds from shares issued | $ | 105,444 | $ | 234,806 | |||||||
Dividends and distributions reinvested | 553 | 3,420 | |||||||||
Cost of shares redeemed | (128,898 | ) | (354,586 | ) | |||||||
Change in net assets from Select Class capital transactions | $ | (22,901 | ) | $ | (116,360 | ) | |||||
Total change in net assets from capital transactions | $ | (21,881 | ) | $ | (131,206 | ) | |||||
SHARE TRANSACTIONS: | |||||||||||
Class A | |||||||||||
Issued | 1,976 | 4,267 | |||||||||
Reinvested | 49 | 429 | |||||||||
Redeemed | (1,872 | ) | (5,965 | ) | |||||||
Change in Class A Shares | 153 | (1,269 | ) | ||||||||
Class B | |||||||||||
Issued | 6 | 30 | |||||||||
Reinvested | 1 | 8 | |||||||||
Redeemed | (62 | ) | (226 | ) | |||||||
Change in Class B Shares | (55 | ) | (188 | ) | |||||||
Select Class | |||||||||||
Issued | 10,570 | 23,154 | |||||||||
Reinvested | 55 | 341 | |||||||||
Redeemed | (12,918 | ) | (34,885 | ) | |||||||
Change in Select Class Shares | (2,293 | ) | (11,390 | ) |
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 asset value, end of period | ||||||||||||||||
Core Bond Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 11.23 | $ | 0.20 | (e) | $ | 0.43 | $ | 0.63 | $ | (0.20 | ) | $ | 11.66 | |||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.55 | (e) | 0.64 | (f) | 1.19 | (0.55 | ) | 11.23 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.04 | 0.55 | (e) | (0.46 | ) | 0.09 | (0.54 | ) | 10.59 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.48 | (e) | 0.37 | 0.85 | (0.48 | ) | 11.04 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.57 | 0.46 | (e) | 0.10 | 0.56 | (0.46 | ) | 10.67 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 10.91 | 0.34 | (0.35 | ) | (0.01 | ) | (0.33 | ) | 10.57 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.77 | 0.51 | 0.15 | 0.66 | (0.52 | ) | 10.91 | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.22 | 0.17 | (e) | 0.42 | 0.59 | (0.16 | ) | 11.65 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.48 | (e) | 0.63 | (f) | 1.11 | (0.47 | ) | 11.22 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.47 | (e) | (0.45 | ) | 0.02 | (0.47 | ) | 10.58 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.41 | (e) | 0.37 | 0.78 | (0.41 | ) | 11.03 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.39 | (e) | 0.10 | 0.49 | (0.39 | ) | 10.66 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 10.90 | 0.27 | (0.33 | ) | (0.06 | ) | (0.28 | ) | 10.56 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.76 | 0.42 | 0.17 | 0.59 | (0.45 | ) | 10.90 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.28 | 0.17 | (e) | 0.42 | 0.59 | (0.16 | ) | 11.71 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.65 | 0.46 | (e) | 0.65 | (f) | 1.11 | (0.48 | ) | 11.28 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.09 | 0.48 | (e) | (0.45 | ) | 0.03 | (0.47 | ) | 10.65 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.73 | 0.42 | (e) | 0.35 | 0.77 | (0.41 | ) | 11.09 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.62 | 0.39 | (e) | 0.11 | 0.50 | (0.39 | ) | 10.73 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 10.96 | 0.28 | (0.34 | ) | (0.06 | ) | (0.28 | ) | 10.62 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.82 | 0.42 | 0.17 | 0.59 | (0.45 | ) | 10.96 | ||||||||||||||||||||
Class R2 | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.22 | 0.19 | (e) | 0.42 | 0.61 | (0.19 | ) | 11.64 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.49 | (e) | 0.67 | (f) | 1.16 | (0.53 | ) | 11.22 | ||||||||||||||||||
November 3, 2008 (i) through February 28, 2009 | 10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | 10.59 | |||||||||||||||||||
Class R5 (j) | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.21 | 0.22 | (e) | 0.43 | 0.65 | (0.22 | ) | 11.64 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.58 | (e) | 0.63 | (f) | 1.21 | (0.58 | ) | 11.21 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.02 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | 10.58 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.66 | 0.52 | (e) | 0.35 | 0.87 | (0.51 | ) | 11.02 | |||||||||||||||||||
May 15, 2006 (i) through February 28, 2007 | 10.35 | 0.39 | (e) | 0.33 | 0.72 | (0.41 | ) | 10.66 | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.22 | 0.21 | (e) | 0.43 | 0.64 | (0.21 | ) | 11.65 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.58 | 0.56 | (e) | 0.64 | (f) | 1.20 | (0.56 | ) | 11.22 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.56 | (e) | (0.46 | ) | 0.10 | (0.55 | ) | 10.58 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.50 | (e) | 0.35 | 0.85 | (0.49 | ) | 11.03 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.47 | (e) | 0.11 | 0.58 | (0.47 | ) | 10.67 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 10.90 | 0.33 | (0.33 | ) | — | (0.34 | ) | 10.56 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.77 | 0.53 | 0.14 | 0.67 | (0.54 | ) | 10.90 | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.22 | 0.22 | (e) | 0.43 | 0.65 | (0.22 | ) | 11.65 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.59 | 0.59 | (e) | 0.63 | (f) | 1.22 | (0.59 | ) | 11.22 | ||||||||||||||||||
Year Ended February 28, 2009 | 11.03 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | 10.59 | ||||||||||||||||||
Year Ended February 29, 2008 | 10.67 | 0.52 | (e) | 0.36 | 0.88 | (0.52 | ) | 11.03 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.56 | 0.50 | (e) | 0.10 | 0.60 | (0.49 | ) | 10.67 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 10.90 | 0.35 | (0.34 | ) | 0.01 | (0.35 | ) | 10.56 | |||||||||||||||||||
February 22, 2005 (i) through June 30, 2005 | 10.84 | 0.19 | 0.07 | 0.26 | (0.20 | ) | 10.90 |
(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 Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) | Commencement of offering of class of shares. |
(j) | Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
5.66 | % | $ | 3,831,867 | 0.74 | % | 3.53 | % | 0.96 | % | 12 | % | ||||||||||||||||
11.45 | (f) | 3,154,129 | 0.73 | 4.94 | 0.97 | 18 | |||||||||||||||||||||
0.87 | 1,322,130 | 0.75 | 5.12 | 0.98 | 18 | ||||||||||||||||||||||
8.21 | (g) | 780,006 | 0.75 | 4.51 | 0.99 | 14 | |||||||||||||||||||||
5.42 | 560,556 | 0.75 | 4.36 | 0.94 | 8 | ||||||||||||||||||||||
(0.11 | ) | 394,309 | 0.75 | 4.54 | 0.97 | 13 | |||||||||||||||||||||
6.23 | 373,401 | 0.82 | 4.52 | 1.09 | 16 | ||||||||||||||||||||||
5.32 | 101,758 | 1.39 | 2.90 | 1.46 | 12 | ||||||||||||||||||||||
10.71 | (f) | 118,596 | 1.38 | 4.37 | 1.47 | 18 | |||||||||||||||||||||
0.21 | 80,648 | 1.40 | 4.42 | 1.48 | 18 | ||||||||||||||||||||||
7.49 | (g) | 78,048 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||||
4.75 | 74,963 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||||
(0.55 | ) | 85,667 | 1.40 | 3.89 | 1.47 | 13 | |||||||||||||||||||||
5.57 | 94,897 | 1.47 | 3.87 | 1.68 | 16 | ||||||||||||||||||||||
5.30 | 2,767,876 | 1.39 | 2.88 | 1.46 | 12 | ||||||||||||||||||||||
10.65 | (f) | 2,326,774 | 1.38 | 4.12 | 1.47 | �� | 18 | ||||||||||||||||||||
0.33 | 250,444 | 1.40 | 4.46 | 1.48 | 18 | ||||||||||||||||||||||
7.38 | (g) | 133,975 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||||
4.83 | 65,579 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||||
(0.55 | ) | 57,530 | 1.40 | 3.89 | 1.47 | 13 | |||||||||||||||||||||
5.53 | 64,238 | 1.47 | 3.87 | 1.70 | 16 | ||||||||||||||||||||||
5.45 | 28,529 | 0.98 | 3.25 | 1.21 | 12 | ||||||||||||||||||||||
11.16 | (f) | 14,608 | 0.98 | 4.41 | 1.22 | 18 | |||||||||||||||||||||
5.00 | 63 | 1.00 | 4.96 | 1.25 | 18 | ||||||||||||||||||||||
5.83 | 563,815 | 0.44 | 3.83 | 0.51 | 12 | ||||||||||||||||||||||
11.69 | (f) | 470,155 | 0.43 | 5.26 | 0.53 | 18 | |||||||||||||||||||||
1.26 | 259,552 | 0.45 | 5.43 | 0.53 | 18 | ||||||||||||||||||||||
8.41 | (g) | 177,019 | 0.45 | 4.82 | 0.54 | 14 | |||||||||||||||||||||
7.03 | 55,785 | 0.45 | 4.64 | 0.50 | 8 | ||||||||||||||||||||||
5.76 | 9,243,837 | 0.57 | 3.69 | 0.71 | 12 | ||||||||||||||||||||||
11.61 | (f) | 7,029,375 | 0.57 | 5.08 | 0.72 | 18 | |||||||||||||||||||||
1.03 | 2,699,976 | 0.60 | 5.21 | 0.73 | 18 | ||||||||||||||||||||||
8.25 | (g) | 2,456,097 | 0.60 | 4.66 | 0.73 | 14 | |||||||||||||||||||||
5.69 | 2,128,674 | 0.60 | 4.52 | 0.69 | 8 | ||||||||||||||||||||||
(0.02 | ) | 2,742,810 | 0.60 | 4.69 | 0.72 | 13 | |||||||||||||||||||||
6.36 | 2,754,702 | 0.60 | 4.72 | 0.79 | 16 | ||||||||||||||||||||||
5.86 | 1,439,765 | 0.39 | 3.87 | 0.46 | 12 | ||||||||||||||||||||||
11.72 | (f) | 1,144,420 | 0.39 | 5.36 | 0.47 | 18 | |||||||||||||||||||||
1.30 | 754,336 | 0.40 | 5.41 | 0.48 | 18 | ||||||||||||||||||||||
8.48 | (g) | 782,067 | 0.40 | 4.86 | 0.48 | 14 | |||||||||||||||||||||
5.88 | 711,527 | 0.40 | 4.72 | 0.44 | 8 | ||||||||||||||||||||||
0.12 | 703,229 | 0.40 | 4.89 | 0.47 | 13 | ||||||||||||||||||||||
2.44 | 649,060 | 0.40 | 5.00 | 0.43 | 16 |
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 | ||||||||||||||||
Core Plus Bond Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 7.85 | $ | 0.19 | (e) | $ | 0.31 | $ | 0.50 | $ | (0.19 | ) | $ | 8.16 | |||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.43 | (e) | 0.82 | (f) | 1.25 | (0.43 | ) | 7.85 | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.41 | (e) | (0.82 | ) | (0.41 | ) | (0.41 | ) | 7.03 | |||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.37 | 0.07 | 0.44 | (0.37 | ) | 7.85 | ||||||||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.35 | 0.06 | 0.41 | (0.36 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 7.95 | 0.24 | (0.22 | ) | 0.02 | (0.24 | ) | 7.73 | |||||||||||||||||||
Year Ended June 30, 2005 | 7.82 | 0.36 | 0.14 | 0.50 | (0.37 | ) | 7.95 | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.89 | 0.17 | (e) | 0.30 | 0.47 | (0.16 | ) | 8.20 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.06 | 0.38 | (e) | 0.83 | (f) | 1.21 | (0.38 | ) | 7.89 | ||||||||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.83 | ) | (0.46 | ) | (0.37 | ) | 7.06 | |||||||||||||||||
Year Ended February 29, 2008 | 7.82 | 0.32 | 0.08 | 0.40 | (0.33 | ) | 7.89 | ||||||||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | 7.82 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 7.98 | 0.22 | (0.22 | ) | — | (0.21 | ) | 7.77 | |||||||||||||||||||
Year Ended June 30, 2005 | 7.86 | 0.32 | 0.12 | 0.44 | (0.32 | ) | 7.98 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.88 | 0.16 | (e) | 0.32 | 0.48 | (0.17 | ) | 8.19 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.05 | 0.38 | (e) | 0.84 | (f) | 1.22 | (0.39 | ) | 7.88 | ||||||||||||||||||
Year Ended February 28, 2009 | 7.89 | 0.37 | (e) | (0.84 | ) | (0.47 | ) | (0.37 | ) | 7.05 | |||||||||||||||||
Year Ended February 29, 2008 | 7.82 | 0.34 | 0.06 | 0.40 | (0.33 | ) | 7.89 | ||||||||||||||||||||
Year Ended February 28, 2007 | 7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | 7.82 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 7.98 | 0.21 | (0.21 | ) | — | (0.21 | ) | 7.77 | |||||||||||||||||||
Year Ended June 30, 2005 | 7.86 | 0.31 | 0.13 | 0.44 | (0.32 | ) | 7.98 | ||||||||||||||||||||
Class R2 | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.85 | 0.17 | (e) | 0.31 | 0.48 | (0.17 | ) | 8.16 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.03 | 0.40 | (e) | 0.82 | (f) | 1.22 | (0.40 | ) | 7.85 | ||||||||||||||||||
November 3, 2008 (i) through February 28, 2009 | 6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | 7.03 | |||||||||||||||||||
Institutional Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.85 | 0.20 | (e) | 0.32 | 0.52 | (0.20 | ) | 8.17 | |||||||||||||||||||
June 19, 2009 (i) through February 28, 2010 | 7.38 | 0.31 | (e) | 0.48 | (f) | 0.79 | (0.32 | ) | 7.85 | ||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.85 | 0.20 | (e) | 0.30 | 0.50 | (0.19 | ) | 8.16 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.44 | (e) | 0.83 | (f) | 1.27 | (0.44 | ) | 7.85 | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.42 | (e) | (0.82 | ) | (0.40 | ) | (0.43 | ) | 7.02 | |||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.39 | 0.07 | 0.46 | (0.39 | ) | 7.85 | ||||||||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.38 | 0.05 | 0.43 | (0.38 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 7.95 | 0.25 | (0.22 | ) | 0.03 | (0.25 | ) | 7.73 | |||||||||||||||||||
Year Ended June 30, 2005 | 7.82 | 0.38 | 0.13 | 0.51 | (0.38 | ) | 7.95 | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.85 | 0.20 | (e) | 0.31 | 0.51 | (0.20 | ) | 8.16 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.02 | 0.45 | (e) | 0.84 | (f) | 1.29 | (0.46 | ) | 7.85 | ||||||||||||||||||
Year Ended February 28, 2009 | 7.85 | 0.44 | (e) | (0.82 | ) | (0.38 | ) | (0.45 | ) | 7.02 | |||||||||||||||||
Year Ended February 29, 2008 | 7.78 | 0.42 | 0.06 | 0.48 | (0.41 | ) | 7.85 | ||||||||||||||||||||
Year Ended February 28, 2007 | 7.73 | 0.39 | 0.06 | 0.45 | (0.40 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 7.95 | 0.27 | (0.22 | ) | 0.05 | (0.27 | ) | 7.73 | |||||||||||||||||||
February 22, 2005 (i) through June 30, 2005 | 7.94 | 0.15 | 0.03 | 0.18 | (0.17 | ) | 7.95 |
(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 Advisor reimbursed the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) on investments per share for Ultra would have been $0.83, and the total return would have been 18.61%. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class A, Class B, Class C, Class R2, Institutional Class or Select Class. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) | Commencement of offering of class of shares. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
6.43 | % | $ | 310,831 | 0.74 | % | 4.72 | % | 0.97 | % | 8 | % | ||||||||||||||||
18.14 | (f) | 168,775 | 0.77 | 5.59 | 0.97 | 26 | |||||||||||||||||||||
(5.32 | ) | 50,659 | 0.92 | 5.51 | 0.99 | 17 | |||||||||||||||||||||
5.81 | (g) | 52,808 | 0.92 | 4.81 | 0.97 | 31 | |||||||||||||||||||||
5.49 | 45,383 | 0.91 | 4.64 | 0.96 | 26 | ||||||||||||||||||||||
0.31 | 50,622 | 0.90 | 4.65 | 0.94 | 15 | ||||||||||||||||||||||
6.47 | 56,320 | 0.90 | 4.54 | 1.09 | 20 | ||||||||||||||||||||||
6.06 | 7,598 | 1.39 | 4.12 | 1.47 | 8 | ||||||||||||||||||||||
17.49 | (f) | 7,674 | 1.40 | 5.00 | 1.48 | 26 | |||||||||||||||||||||
(5.93 | ) | 4,295 | 1.45 | 4.93 | 1.49 | 17 | |||||||||||||||||||||
5.26 | (g) | 6,665 | 1.45 | 4.28 | 1.47 | 31 | |||||||||||||||||||||
4.91 | 5,464 | 1.45 | 4.09 | 1.46 | 26 | ||||||||||||||||||||||
0.05 | 6,950 | 1.44 | 4.10 | 1.44 | 15 | ||||||||||||||||||||||
5.74 | 9,424 | 1.51 | 3.92 | 1.70 | 20 | ||||||||||||||||||||||
6.09 | 273,631 | 1.39 | 4.07 | 1.47 | 8 | ||||||||||||||||||||||
17.58 | (f) | 152,695 | 1.39 | 4.90 | 1.46 | 26 | |||||||||||||||||||||
(5.99 | ) | 16,495 | 1.45 | 5.08 | 1.50 | 17 | |||||||||||||||||||||
5.27 | (g) | 5,737 | 1.45 | 4.27 | 1.47 | 31 | |||||||||||||||||||||
4.90 | 3,512 | 1.45 | 4.11 | 1.46 | 26 | ||||||||||||||||||||||
0.05 | 3,119 | 1.44 | 4.10 | 1.44 | 15 | ||||||||||||||||||||||
5.74 | 3,492 | 1.50 | 3.94 | 1.69 | 20 | ||||||||||||||||||||||
6.23 | 367 | 1.14 | 4.33 | 1.22 | 8 | ||||||||||||||||||||||
17.71 | (f) | 210 | 1.14 | 5.21 | 1.22 | 26 | |||||||||||||||||||||
3.68 | 52 | 1.17 | 5.83 | 1.29 | 17 | ||||||||||||||||||||||
6.71 | 51,983 | 0.48 | 5.02 | 0.57 | 8 | ||||||||||||||||||||||
10.89 | (f) | 46,561 | 0.48 | 5.73 | 0.56 | 26 | |||||||||||||||||||||
6.50 | 1,111,983 | 0.64 | 4.85 | 0.72 | 8 | ||||||||||||||||||||||
18.46 | (f) | 937,874 | 0.65 | 5.81 | 0.73 | 26 | |||||||||||||||||||||
(5.21 | ) | 662,140 | 0.67 | 5.73 | 0.74 | 17 | |||||||||||||||||||||
6.11 | (g) | 925,240 | 0.67 | 5.05 | 0.72 | 31 | |||||||||||||||||||||
5.74 | 875,275 | 0.66 | 4.89 | 0.71 | 26 | ||||||||||||||||||||||
0.46 | 1,216,897 | 0.65 | 4.90 | 0.69 | 15 | ||||||||||||||||||||||
6.73 | 1,252,911 | 0.65 | 4.79 | 0.77 | 20 | ||||||||||||||||||||||
6.62 | 112,433 | 0.38 | 5.02 | 0.47 | 8 | ||||||||||||||||||||||
18.76 | (f) | 18,465 | 0.40 | 5.94 | 0.48 | 26 | |||||||||||||||||||||
(4.98 | ) | 15,642 | 0.45 | 5.95 | 0.49 | 17 | |||||||||||||||||||||
6.31 | (g) | 17,985 | 0.45 | 5.26 | 0.47 | 31 | |||||||||||||||||||||
5.97 | 12,094 | 0.45 | 5.10 | 0.46 | 26 | ||||||||||||||||||||||
0.62 | 12,738 | 0.44 | 5.10 | 0.44 | 15 | ||||||||||||||||||||||
2.35 | 13,894 | 0.43 | 5.27 | 0.43 | 20 |
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 | ||||||||||||||||
Government Bond Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 10.70 | $ | 0.20 | $ | 0.56 | $ | 0.76 | $ | (0.20 | ) | $ | 11.26 | ||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.42 | 0.14 | 0.56 | (0.42 | ) | 10.70 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.42 | 0.01 | 0.43 | (0.42 | ) | 10.56 | ||||||||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.48 | 0.40 | 0.88 | (0.48 | ) | 10.55 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.15 | 0.45 | 0.01 | 0.46 | (0.46 | ) | 10.15 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.48 | 0.30 | (0.33 | ) | (0.03 | ) | (0.30 | ) | 10.15 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.16 | 0.46 | 0.33 | 0.79 | (0.47 | ) | 10.48 | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.69 | 0.16 | 0.56 | 0.72 | (0.16 | ) | 11.25 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.55 | 0.34 | 0.14 | 0.48 | (0.34 | ) | 10.69 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.54 | 0.35 | 0.01 | 0.36 | (0.35 | ) | 10.55 | ||||||||||||||||||||
Year Ended February 29, 2008 | 10.14 | 0.41 | 0.40 | 0.81 | (0.41 | ) | 10.54 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.38 | 0.01 | 0.39 | (0.39 | ) | 10.14 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.47 | 0.25 | (0.33 | ) | (0.08 | ) | (0.25 | ) | 10.14 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.16 | 0.39 | 0.32 | 0.71 | (0.40 | ) | 10.47 | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.66 | 0.16 | 0.57 | 0.73 | (0.16 | ) | 11.23 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.53 | 0.35 | 0.13 | 0.48 | (0.35 | ) | 10.66 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.53 | 0.34 | 0.01 | 0.35 | (0.35 | ) | 10.53 | ||||||||||||||||||||
Year Ended February 29, 2008 | 10.13 | 0.42 | 0.39 | 0.81 | (0.41 | ) | 10.53 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.13 | 0.38 | 0.01 | 0.39 | (0.39 | ) | 10.13 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.46 | 0.25 | (0.33 | ) | (0.08 | ) | (0.25 | ) | 10.13 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.15 | 0.40 | 0.31 | 0.71 | (0.40 | ) | 10.46 | ||||||||||||||||||||
Class R2 | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.69 | 0.19 | 0.57 | 0.76 | (0.19 | ) | 11.26 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.41 | 0.12 | 0.53 | (0.40 | ) | 10.69 | ||||||||||||||||||||
November 3, 2008 (g) through February 28, 2009 | 10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | 10.56 | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.69 | 0.21 | 0.58 | 0.79 | (0.22 | ) | 11.26 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.56 | 0.45 | 0.13 | 0.58 | (0.45 | ) | 10.69 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.55 | 0.46 | — | (h) | 0.46 | (0.45 | ) | 10.56 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.15 | 0.52 | 0.39 | 0.91 | (0.51 | ) | 10.55 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.14 | 0.48 | 0.01 | 0.49 | (0.48 | ) | 10.15 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.47 | 0.31 | (0.33 | ) | (0.02 | ) | (0.31 | ) | 10.14 | ||||||||||||||||||
Year Ended June 30, 2005 | 10.15 | 0.49 | 0.32 | 0.81 | (0.49 | ) | 10.47 |
(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 a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(g) | Commencement of offering of class of shares. |
(h) | Amount rounds to less than $0.01. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
7.19 | % | $ | 513,308 | 0.74 | % | 3.66 | % | 0.99 | % | 5 | % | ||||||||||||||||
5.42 | 453,605 | 0.74 | 3.96 | 1.03 | 12 | ||||||||||||||||||||||
4.27 | 372,703 | 0.75 | 4.04 | 1.02 | 13 | ||||||||||||||||||||||
8.98 | (e) | 220,780 | 0.75 | 4.70 | 0.98 | 2 | |||||||||||||||||||||
4.65 | 157,598 | 0.75 | 4.51 | 0.98 | 24 | ||||||||||||||||||||||
(0.30 | ) | 146,294 | 0.75 | 4.37 | 0.97 | 6 | |||||||||||||||||||||
7.89 | 140,496 | 0.79 | 4.43 | 1.02 | 10 | ||||||||||||||||||||||
6.79 | 29,568 | 1.47 | 2.96 | 1.49 | 5 | ||||||||||||||||||||||
4.64 | 34,957 | 1.47 | 3.26 | 1.53 | 12 | ||||||||||||||||||||||
3.50 | 48,296 | 1.48 | 3.34 | 1.52 | 13 | ||||||||||||||||||||||
8.20 | (e) | 43,513 | 1.46 | 4.02 | 1.48 | 2 | |||||||||||||||||||||
3.93 | 52,182 | 1.46 | 3.82 | 1.48 | 24 | ||||||||||||||||||||||
(0.78 | ) | 78,500 | 1.45 | 3.67 | 1.47 | 6 | |||||||||||||||||||||
7.07 | 95,143 | 1.47 | 3.76 | 1.62 | 10 | ||||||||||||||||||||||
6.91 | 209,946 | 1.47 | 2.93 | 1.49 | 5 | ||||||||||||||||||||||
4.58 | 185,498 | 1.47 | 3.23 | 1.53 | 12 | ||||||||||||||||||||||
3.46 | 136,707 | 1.48 | 3.24 | 1.52 | 13 | ||||||||||||||||||||||
8.25 | (e) | 46,407 | 1.46 | 3.99 | 1.48 | 2 | |||||||||||||||||||||
3.94 | 22,250 | 1.46 | 3.81 | 1.48 | 24 | ||||||||||||||||||||||
(0.77 | ) | 23,863 | 1.45 | 3.67 | 1.47 | 6 | |||||||||||||||||||||
7.09 | 24,922 | 1.48 | 3.75 | 1.64 | 10 | ||||||||||||||||||||||
7.17 | 9,759 | 0.99 | 3.33 | 1.24 | 5 | ||||||||||||||||||||||
5.09 | 3,151 | 0.99 | 3.62 | 1.27 | 12 | ||||||||||||||||||||||
5.97 | 164 | 1.00 | 2.59 | 1.30 | 13 | ||||||||||||||||||||||
7.44 | 809,198 | 0.47 | 3.93 | 0.74 | 5 | ||||||||||||||||||||||
5.59 | 714,113 | 0.47 | 4.23 | 0.78 | 12 | ||||||||||||||||||||||
4.54 | 605,421 | 0.48 | 4.38 | 0.77 | 13 | ||||||||||||||||||||||
9.26 | (e) | 616,581 | 0.48 | 5.01 | 0.73 | 2 | |||||||||||||||||||||
4.99 | 891,369 | 0.50 | 4.74 | 0.73 | 24 | ||||||||||||||||||||||
(0.16 | ) | 805,018 | 0.54 | 4.58 | 0.72 | 6 | |||||||||||||||||||||
8.15 | 824,646 | 0.56 | 4.67 | 0.71 | 10 |
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 | | Redemption fees | ||||||||||||||||||||
High Yield Fund | |||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 7.72 | $ | 0.32 | $ | 0.10 | $ | 0.42 | $ | (0.32 | ) | $ | — | $ | (0.32 | ) | $ | — | (e) | ||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.58 | 1.94 | (f) | 2.52 | (0.59 | ) | — | (0.59 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.52 | (1.78 | ) | (1.26 | ) | (0.54 | ) | — | (0.54 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.60 | 0.62 | (0.93 | ) | (0.31 | ) | (0.61 | ) | (0.09 | ) | (0.70 | ) | — | (e) | |||||||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.61 | 0.40 | 1.01 | (0.62 | ) | (0.02 | ) | (0.64 | ) | — | (e) | |||||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 8.29 | 0.42 | (0.06 | ) | 0.36 | (0.42 | ) | — | (0.42 | ) | — | (e) | |||||||||||||||||||||||
Year Ended June 30, 2005 | 8.17 | 0.61 | 0.14 | 0.75 | (0.61 | ) | (0.02 | ) | (0.63 | ) | — | (e) | |||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.73 | 0.30 | 0.11 | 0.41 | (0.30 | ) | — | (0.30 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.55 | 1.91 | (f) | 2.46 | (0.54 | ) | — | (0.54 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.51 | (1.80 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.58 | (0.94 | ) | (0.36 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | — | (e) | |||||||||||||||||||||
Year Ended February 28, 2007 | 8.23 | 0.57 | 0.40 | 0.97 | (0.57 | ) | (0.02 | ) | (0.59 | ) | — | (e) | |||||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 8.29 | 0.38 | (0.06 | ) | 0.32 | (0.38 | ) | — | (0.38 | ) | — | (e) | |||||||||||||||||||||||
Year Ended June 30, 2005 | 8.18 | 0.55 | 0.14 | 0.69 | (0.56 | ) | (0.02 | ) | (0.58 | ) | — | (e) | |||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.72 | 0.29 | 0.12 | 0.41 | (0.30 | ) | — | (0.30 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.80 | 0.53 | 1.93 | (f) | 2.46 | (0.54 | ) | — | (0.54 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.59 | 0.50 | (1.79 | ) | (1.29 | ) | (0.50 | ) | — | (0.50 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.57 | (0.94 | ) | (0.37 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | — | (e) | |||||||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.57 | 0.39 | 0.96 | (0.57 | ) | (0.02 | ) | (0.59 | ) | — | (e) | |||||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 8.29 | 0.38 | (0.05 | ) | 0.33 | (0.38 | ) | — | (0.38 | ) | — | (e) | |||||||||||||||||||||||
Year Ended June 30, 2005 | 8.19 | 0.55 | 0.13 | 0.68 | (0.56 | ) | (0.02 | ) | (0.58 | ) | — | (e) | |||||||||||||||||||||||
Class R2 | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.71 | 0.31 | 0.11 | 0.42 | (0.31 | ) | — | (0.31 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.79 | 0.55 | 1.94 | (f) | 2.49 | (0.57 | ) | — | (0.57 | ) | — | (e) | |||||||||||||||||||||||
November 3, 2008 (i) through February 28, 2009 | 5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | — | (0.16 | ) | — | (e) | ||||||||||||||||||||||
Class R5 (j) | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.74 | 0.33 | 0.11 | 0.44 | (0.33 | ) | — | (0.33 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.93 | (f) | 2.54 | (0.61 | ) | — | (0.61 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.61 | 0.55 | (1.79 | ) | (1.24 | ) | (0.56 | ) | — | (0.56 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.63 | 0.66 | (0.95 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (e) | |||||||||||||||||||||
May 15, 2006 (i) through February 28, 2007 | 8.31 | 0.52 | 0.35 | 0.87 | (0.53 | ) | (0.02 | ) | (0.55 | ) | — | (e) | |||||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.74 | 0.32 | 0.12 | 0.44 | (0.33 | ) | — | (0.33 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.60 | 1.93 | (f) | 2.53 | (0.60 | ) | — | (0.60 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.56 | (1.79 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.62 | 0.63 | (0.92 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (e) | |||||||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.64 | 0.40 | 1.04 | (0.64 | ) | (0.02 | ) | (0.66 | ) | — | (e) | |||||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 8.30 | 0.43 | (0.06 | ) | 0.37 | (0.43 | ) | — | (0.43 | ) | — | (e) | |||||||||||||||||||||||
Year Ended June 30, 2005 | 8.18 | 0.63 | 0.14 | 0.77 | (0.63 | ) | (0.02 | ) | (0.65 | ) | — | (e) | |||||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 7.73 | 0.33 | 0.12 | 0.45 | (0.34 | ) | — | (0.34 | ) | — | (e) | ||||||||||||||||||||||||
Year Ended February 28, 2010 | 5.81 | 0.61 | 1.92 | (f) | 2.53 | (0.61 | ) | — | (0.61 | ) | — | (e) | |||||||||||||||||||||||
Year Ended February 28, 2009 | 7.60 | 0.57 | (1.80 | ) | (1.23 | ) | (0.56 | ) | — | (0.56 | ) | — | (e) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 8.61 | 0.65 | (0.93 | ) | (0.28 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | — | (e) | |||||||||||||||||||||
Year Ended February 28, 2007 | 8.24 | 0.65 | 0.39 | 1.04 | (0.65 | ) | (0.02 | ) | (0.67 | ) | — | (e) | |||||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 8.30 | 0.45 | (0.08 | ) | 0.37 | (0.43 | ) | — | (0.43 | ) | — | (e) | |||||||||||||||||||||||
February 22, 2005 (i) through June 30, 2005 | 8.59 | 0.23 | (0.24 | ) | (0.01 | ) | (0.28 | ) | — | (0.28 | ) | — |
(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 Advisor reimbursed the Fund for losses incurred from operational errors. Without these payments, the net realized and unrealized gains (losses) on investments per share for Class A would have been $1.93, and the total return would have been 44.53%. The impact was less than $0.01 to the net realized and unrealized gain (losses) on investments per share and less than 0.01% to total return for Class B, Class C, Class R2, Class R5, Select Class or Ultra. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) | Commencement of offering of class of shares. |
(j) | Effective November 30, 2007, R Class Shares were renamed Class R5 shares. |
| Ratios/Supplemental data | | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$7.82 | 5.52 | % | $ | 598,103 | 1.14 | % | 8.07 | % | 1.32 | % | 21 | % | |||||||||||||||
7.72 | 44.71 | (f) | 580,690 | 1.14 | 8.40 | 1.32 | 45 | ||||||||||||||||||||
5.79 | (17.28 | ) | 184,739 | 1.15 | 8.10 | 1.31 | 18 | ||||||||||||||||||||
7.59 | (3.87 | ) (g) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | ||||||||||||||||||||
8.60 | 12.82 | 83,790 | 1.12 | 7.42 | 1.31 | 69 | |||||||||||||||||||||
8.23 | 4.39 | 62,622 | 1.11 | 7.51 | 1.30 | 47 | |||||||||||||||||||||
8.29 | 9.47 | 68,636 | 1.12 | 7.22 | 1.33 | 68 | |||||||||||||||||||||
7.84 | 5.30 | 19,859 | 1.79 | 7.42 | 1.82 | 21 | |||||||||||||||||||||
7.73 | 43.46 | (f) | 22,430 | 1.79 | 7.80 | 1.82 | 45 | ||||||||||||||||||||
5.81 | (17.68 | ) | 16,720 | 1.80 | 7.33 | 1.81 | 18 | ||||||||||||||||||||
7.60 | (4.51 | ) (g) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | ||||||||||||||||||||
8.61 | 12.19 | 35,667 | 1.77 | 6.78 | 1.81 | 69 | |||||||||||||||||||||
8.23 | 3.92 | 35,105 | 1.76 | 6.86 | 1.80 | 47 | |||||||||||||||||||||
8.29 | 8.71 | 39,697 | 1.77 | 6.58 | 1.93 | 68 | |||||||||||||||||||||
7.83 | 5.32 | 193,720 | 1.79 | 7.42 | 1.82 | 21 | |||||||||||||||||||||
7.72 | 43.58 | (f) | 158,503 | 1.79 | 7.75 | 1.83 | 45 | ||||||||||||||||||||
5.80 | (17.69 | ) | 36,872 | 1.80 | 7.37 | 1.81 | 18 | ||||||||||||||||||||
7.59 | (4.61 | ) (g) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | ||||||||||||||||||||
8.61 | 12.05 | 29,953 | 1.77 | 6.77 | 1.81 | 69 | |||||||||||||||||||||
8.24 | 4.04 | 25,650 | 1.76 | 6.86 | 1.80 | 47 | |||||||||||||||||||||
8.29 | 8.55 | 28,348 | 1.77 | 6.57 | 1.93 | 68 | |||||||||||||||||||||
7.82 | 5.54 | 2,088 | 1.39 | 7.81 | 1.57 | 21 | |||||||||||||||||||||
7.71 | 44.25 | (f) | 1,004 | 1.39 | 8.10 | 1.60 | 45 | ||||||||||||||||||||
5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | ||||||||||||||||||||
7.85 | 5.81 | 192,784 | 0.85 | 8.37 | 0.87 | 21 | |||||||||||||||||||||
7.74 | 44.95 | (f) | 148,162 | 0.84 | 8.71 | 0.87 | 45 | ||||||||||||||||||||
5.81 | (16.99 | ) | 53,497 | 0.85 | 8.55 | 0.87 | 18 | ||||||||||||||||||||
7.61 | (3.71 | ) (g) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | ||||||||||||||||||||
8.63 | 10.90 | 8,732 | 0.86 | 7.57 | 0.86 | 69 | |||||||||||||||||||||
7.85 | 5.77 | 5,684,402 | 0.89 | 8.32 | 1.07 | 21 | |||||||||||||||||||||
7.74 | 44.86 | (f) | 4,567,712 | 0.89 | 8.67 | 1.08 | 45 | ||||||||||||||||||||
5.81 | (16.93 | ) | 1,837,745 | 0.90 | 8.36 | 1.06 | 18 | ||||||||||||||||||||
7.60 | (3.73 | ) (g) | 1,544,252 | 0.87 | 7.81 | 1.06 | 48 | ||||||||||||||||||||
8.62 | 13.18 | 1,038,528 | 0.87 | 7.67 | 1.06 | 69 | |||||||||||||||||||||
8.24 | 4.53 | 960,421 | 0.86 | 7.77 | 1.05 | 47 | |||||||||||||||||||||
8.30 | 9.74 | 988,281 | 0.87 | 7.47 | 1.01 | 68 | |||||||||||||||||||||
7.84 | 5.83 | 527,605 | 0.80 | 8.41 | 0.82 | 21 | |||||||||||||||||||||
7.73 | 44.84 | (f) | 359,553 | 0.79 | 8.76 | 0.83 | 45 | ||||||||||||||||||||
5.81 | (16.84 | ) | 91,880 | 0.80 | 8.44 | 0.81 | 18 | ||||||||||||||||||||
7.60 | (3.58 | ) (g) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | ||||||||||||||||||||
8.61 | 13.12 | 64,497 | 0.81 | 7.74 | 0.81 | 69 | |||||||||||||||||||||
8.24 | 4.60 | 58,131 | 0.80 | 7.95 | 0.80 | 47 | |||||||||||||||||||||
8.30 | (0.12 | ) | 40,477 | 0.79 | 7.91 | 0.85 | 68 |
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 | ||||||||||||||||
Limited Duration Bond Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 8.90 | $ | 0.11 | (e) | $ | 0.35 | $ | 0.46 | $ | (0.12 | ) | $ | 9.24 | |||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.24 | (e) | 1.11 | (f) | 1.35 | (0.25 | ) | 8.90 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.36 | (e) | (1.50 | ) | (1.14 | ) | (0.37 | ) | 7.80 | |||||||||||||||||
Year Ended February 29, 2008 | 9.77 | 0.46 | (0.46 | ) | — | (0.46 | ) | 9.31 | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.45 | 0.03 | 0.48 | (0.45 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 9.83 | 0.26 | (0.08 | ) | 0.18 | (0.27 | ) | 9.74 | |||||||||||||||||||
Year Ended June 30, 2005 | 9.89 | 0.27 | (0.04 | ) | 0.23 | (0.29 | ) | 9.83 | |||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.83 | 0.09 | (e) | 0.34 | 0.43 | (0.09 | ) | 9.17 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.74 | 0.21 | (e) | 1.09 | (f) | 1.30 | (0.21 | ) | 8.83 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.24 | 0.31 | (e) | (1.49 | ) | (1.18 | ) | (0.32 | ) | 7.74 | |||||||||||||||||
Year Ended February 29, 2008 | 9.70 | 0.38 | (0.43 | ) | (0.05 | ) | (0.41 | ) | 9.24 | ||||||||||||||||||
Year Ended February 28, 2007 | 9.67 | 0.38 | 0.05 | 0.43 | (0.40 | ) | 9.70 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 9.76 | 0.22 | (0.08 | ) | 0.14 | (0.23 | ) | 9.67 | |||||||||||||||||||
Year Ended June 30, 2005 | 9.82 | 0.21 | (0.03 | ) | 0.18 | (0.24 | ) | 9.76 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.82 | 0.09 | (e) | 0.33 | 0.42 | (0.09 | ) | 9.15 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.72 | 0.20 | (e) | 1.11 | (f) | 1.31 | (0.21 | ) | 8.82 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.23 | 0.31 | (e) | (1.50 | ) | (1.19 | ) | (0.32 | ) | 7.72 | |||||||||||||||||
Year Ended February 29, 2008 | 9.68 | 0.38 | (0.42 | ) | (0.04 | ) | (0.41 | ) | 9.23 | ||||||||||||||||||
Year Ended February 28, 2007 | 9.66 | 0.38 | 0.04 | 0.42 | (0.40 | ) | 9.68 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 9.75 | 0.22 | (0.08 | ) | 0.14 | (0.23 | ) | 9.66 | |||||||||||||||||||
Year Ended June 30, 2005 | 9.81 | 0.21 | (0.03 | ) | 0.18 | (0.24 | ) | 9.75 | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.90 | 0.13 | (e) | 0.34 | 0.47 | (0.13 | ) | 9.24 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.26 | (e) | 1.11 | (f) | 1.37 | (0.27 | ) | 8.90 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.31 | 0.38 | (e) | (1.50 | ) | (1.12 | ) | (0.39 | ) | 7.80 | |||||||||||||||||
Year Ended February 29, 2008 | 9.77 | 0.49 | (0.47 | ) | 0.02 | (0.48 | ) | 9.31 | |||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.47 | 0.03 | 0.50 | (0.47 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 9.83 | 0.27 | (0.08 | ) | 0.19 | (0.28 | ) | 9.74 | |||||||||||||||||||
Year Ended June 30, 2005 | 9.88 | 0.29 | (0.03 | ) | 0.26 | (0.31 | ) | 9.83 | |||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.91 | 0.14 | (e) | 0.34 | 0.48 | (0.14 | ) | 9.25 | |||||||||||||||||||
Year Ended February 28, 2010 | 7.80 | 0.31 | (e) | 1.09 | (f) | 1.40 | (0.29 | ) | 8.91 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.32 | 0.40 | (e) | (1.51 | ) | (1.11 | ) | (0.41 | ) | 7.80 | |||||||||||||||||
Year Ended February 29, 2008 | 9.77 | 0.50 | (0.45 | ) | 0.05 | (0.50 | ) | 9.32 | |||||||||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.49 | 0.02 | 0.51 | (0.49 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (h) | 9.83 | 0.27 | (0.06 | ) | 0.21 | (0.29 | ) | 9.75 | |||||||||||||||||||
February 22, 2005 (i) through June 30, 2005 | 9.87 | 0.13 | (0.02 | ) | 0.11 | (0.15 | ) | 9.83 |
(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 Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
(g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) | Commencement of offering of class of shares. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
5.13 | % | $ | 75,143 | 0.67 | % | 2.49 | % | 0.96 | % | 15 | % | ||||||||||||||||
17.61 | (f) | 74,529 | 0.67 | 2.88 | 0.98 | 23 | |||||||||||||||||||||
(12.52 | ) | 52,560 | 0.70 | 4.12 | 0.95 | — | |||||||||||||||||||||
(0.06 | ) (g) | 104,590 | 0.70 | 4.70 | 0.91 | 15 | |||||||||||||||||||||
5.03 | 121,385 | 0.70 | 4.53 | 0.91 | 26 | ||||||||||||||||||||||
1.81 | 219,258 | 0.70 | 3.81 | 0.91 | 9 | ||||||||||||||||||||||
2.36 | 281,966 | 0.70 | 2.67 | 1.05 | 26 | ||||||||||||||||||||||
4.90 | 1,283 | 1.17 | 1.98 | 1.46 | 15 | ||||||||||||||||||||||
17.01 | (f) | 1,845 | 1.17 | 2.58 | 1.49 | 23 | |||||||||||||||||||||
(12.97 | ) | 6,423 | 1.20 | 3.62 | 1.44 | — | |||||||||||||||||||||
(0.56 | ) (g) | 18,797 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||||
4.54 | 32,930 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||||
1.46 | 48,750 | 1.20 | 3.31 | 1.41 | 9 | ||||||||||||||||||||||
1.87 | 62,135 | 1.20 | 2.18 | 1.65 | 26 | ||||||||||||||||||||||
4.79 | 68,662 | 1.17 | 1.99 | 1.46 | 15 | ||||||||||||||||||||||
17.22 | (f) | 65,806 | 1.17 | 2.41 | 1.48 | 23 | |||||||||||||||||||||
(13.09 | ) | 65,241 | 1.20 | 3.63 | 1.44 | — | |||||||||||||||||||||
(0.47 | ) (g) | 145,000 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||||
4.45 | 242,277 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||||
1.46 | 338,830 | 1.20 | 3.31 | 1.41 | 9 | ||||||||||||||||||||||
1.88 | 438,955 | 1.20 | 2.17 | 1.66 | 26 | ||||||||||||||||||||||
5.27 | 221,844 | 0.42 | 2.74 | 0.71 | 15 | ||||||||||||||||||||||
17.91 | (f) | 183,481 | 0.42 | 3.14 | 0.73 | 23 | |||||||||||||||||||||
(12.27 | ) | 179,116 | 0.45 | 4.37 | 0.70 | — | |||||||||||||||||||||
0.18 | (g) | 352,600 | 0.45 | 4.95 | 0.66 | 15 | |||||||||||||||||||||
5.29 | 565,561 | 0.45 | 4.79 | 0.66 | 26 | ||||||||||||||||||||||
1.96 | 668,770 | 0.45 | 4.07 | 0.66 | 9 | ||||||||||||||||||||||
2.71 | 764,427 | 0.45 | 2.91 | 0.74 | 26 | ||||||||||||||||||||||
5.36 | 1,301 | 0.22 | 2.94 | 0.46 | 15 | ||||||||||||||||||||||
18.26 | (f) | 1,253 | 0.23 | 3.92 | 0.51 | 23 | |||||||||||||||||||||
(12.21 | ) | 137,474 | 0.25 | 4.56 | 0.44 | — | |||||||||||||||||||||
0.51 | (g) | 573,714 | 0.25 | 5.15 | 0.41 | 15 | |||||||||||||||||||||
5.37 | 648,283 | 0.25 | 5.01 | 0.41 | 26 | ||||||||||||||||||||||
2.20 | 474,681 | 0.25 | 4.30 | 0.41 | 9 | ||||||||||||||||||||||
1.11 | 425,437 | 0.25 | 3.68 | 0.40 | 26 |
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 | ||||||||||||||||
Mortgage-Backed Securities Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 11.22 | $ | 0.26 | $ | 0.31 | $ | 0.57 | $ | (0.27 | ) | $ | 11.52 | ||||||||||||||
Year Ended February 28, 2010 | 10.42 | 0.73 | 0.82 | 1.55 | (0.75 | ) | 11.22 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.97 | 0.61 | (0.57 | ) | 0.04 | (0.59 | ) | 10.42 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.65 | 0.50 | 0.31 | 0.81 | (0.49 | ) | 10.97 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.54 | 0.47 | 0.10 | 0.57 | (0.46 | ) | 10.65 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.83 | 0.33 | (0.29 | ) | 0.04 | (0.33 | ) | 10.54 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.77 | 0.49 | 0.08 | 0.57 | (0.51 | ) | 10.83 | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.01 | 0.28 | 0.29 | 0.57 | (0.29 | ) | 11.29 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.76 | 0.79 | 1.55 | (0.77 | ) | 11.01 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.62 | (0.57 | ) | 0.05 | (0.61 | ) | 10.23 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.52 | 0.31 | 0.83 | (0.52 | ) | 10.79 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.49 | 0.10 | 0.59 | (0.49 | ) | 10.48 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.67 | 0.34 | (0.29 | ) | 0.05 | (0.34 | ) | 10.38 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.61 | 0.42 | 0.17 | 0.59 | (0.53 | ) | 10.67 | ||||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.01 | 0.29 | 0.29 | 0.58 | (0.29 | ) | 11.30 | ||||||||||||||||||||
Year Ended February 28, 2010 | 10.23 | 0.79 | 0.78 | 1.57 | (0.79 | ) | 11.01 | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.79 | 0.63 | (0.56 | ) | 0.07 | (0.63 | ) | 10.23 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.48 | 0.54 | 0.31 | 0.85 | (0.54 | ) | 10.79 | ||||||||||||||||||||
Year Ended February 28, 2007 | 10.38 | 0.50 | 0.10 | 0.60 | (0.50 | ) | 10.48 | ||||||||||||||||||||
July 1, 2005 through February 28, 2006 (f) | 10.67 | 0.35 | (0.29 | ) | 0.06 | (0.35 | ) | 10.38 | |||||||||||||||||||
February 22, 2005 (g) through June 30, 2005 | 10.66 | 0.21 | 0.03 | 0.24 | (0.23 | ) | 10.67 |
(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 a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(g) | Commencement of offering of class of shares. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
5.16 | % | $ | 176,692 | 0.64 | % | 4.76 | % | 0.97 | % | 13 | % | ||||||||||||||||
15.26 | 101,955 | 0.64 | 6.58 | 0.99 | 21 | ||||||||||||||||||||||
0.41 | 16,189 | 0.65 | 5.69 | 0.99 | 15 | ||||||||||||||||||||||
7.88 | (e) | 18,011 | 0.65 | 4.70 | 0.98 | 16 | |||||||||||||||||||||
5.60 | 14,063 | 0.65 | 4.46 | 0.98 | 18 | ||||||||||||||||||||||
0.35 | 13,826 | 0.65 | 4.68 | 0.97 | 16 | ||||||||||||||||||||||
5.40 | 15,077 | 0.65 | 4.50 | 0.92 | 25 | ||||||||||||||||||||||
5.19 | 531,890 | 0.39 | 5.05 | 0.72 | 13 | ||||||||||||||||||||||
15.64 | 425,701 | 0.39 | 6.87 | 0.74 | 21 | ||||||||||||||||||||||
0.58 | 88,231 | 0.40 | 5.93 | 0.74 | 15 | ||||||||||||||||||||||
8.18 | (e) | 96,870 | 0.40 | 4.94 | 0.73 | 16 | |||||||||||||||||||||
5.83 | 111,656 | 0.40 | 4.71 | 0.73 | 18 | ||||||||||||||||||||||
0.54 | 103,491 | 0.40 | 4.92 | 0.72 | 16 | ||||||||||||||||||||||
5.70 | 123,104 | 0.40 | 4.54 | 0.55 | 25 | ||||||||||||||||||||||
5.36 | 1,415,186 | 0.24 | 5.20 | 0.47 | 13 | ||||||||||||||||||||||
15.79 | 1,271,776 | 0.24 | 7.35 | 0.49 | 21 | ||||||||||||||||||||||
0.74 | 916,201 | 0.25 | 6.12 | 0.50 | 15 | ||||||||||||||||||||||
8.33 | (e) | 882,626 | 0.25 | 5.09 | 0.48 | 16 | |||||||||||||||||||||
5.97 | 829,330 | 0.25 | 4.83 | 0.48 | 18 | ||||||||||||||||||||||
0.62 | 1,177,895 | 0.25 | 5.08 | 0.47 | 16 | ||||||||||||||||||||||
2.30 | 1,135,323 | 0.25 | 5.19 | 0.46 | 25 |
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 | ||||||||||||||||
Short Duration Bond Fund | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 10.90 | $ | 0.08 | (e) | $ | 0.10 | $ | 0.18 | $ | (0.08 | ) | $ | 11.00 | |||||||||||||
Year Ended February 28, 2010 | 10.61 | 0.26 | (e) | 0.29 | 0.55 | (0.26 | ) | 10.90 | |||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.38 | (0.19 | ) | 0.19 | (0.38 | ) | 10.61 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.52 | 0.44 | (e) | 0.26 | 0.70 | (0.42 | ) | 10.80 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.43 | 0.39 | (e) | 0.10 | 0.49 | (0.40 | ) | 10.52 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.51 | 0.21 | (0.08 | ) | 0.13 | (0.21 | ) | 10.43 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.62 | 0.28 | (0.10 | ) | 0.18 | (0.29 | ) | 10.51 | |||||||||||||||||||
Class B | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 11.00 | 0.05 | (e) | 0.11 | 0.16 | (0.05 | ) | 11.11 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.70 | 0.22 | (e) | 0.28 | 0.50 | (0.20 | ) | 11.00 | |||||||||||||||||||
Year Ended February 28, 2009 | 10.88 | 0.35 | (0.21 | ) | 0.14 | (0.32 | ) | 10.70 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.60 | 0.39 | (e) | 0.26 | 0.65 | (0.37 | ) | 10.88 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.50 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | 10.60 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.59 | 0.17 | (0.09 | ) | 0.08 | (0.17 | ) | 10.50 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.69 | 0.23 | (0.09 | ) | 0.14 | (0.24 | ) | 10.59 | |||||||||||||||||||
Class C | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.97 | 0.05 | (e) | 0.10 | 0.15 | (0.05 | ) | 11.07 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.68 | 0.20 | (e) | 0.30 | 0.50 | (0.21 | ) | 10.97 | |||||||||||||||||||
Year Ended February 28, 2009 | 10.87 | 0.33 | (0.20 | ) | 0.13 | (0.32 | ) | 10.68 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.59 | 0.39 | (e) | 0.26 | 0.65 | (0.37 | ) | 10.87 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.49 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | 10.59 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.58 | 0.16 | (0.08 | ) | 0.08 | (0.17 | ) | 10.49 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.68 | 0.22 | (0.08 | ) | 0.14 | (0.24 | ) | 10.58 | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.92 | 0.10 | (e) | 0.10 | 0.20 | (0.10 | ) | 11.02 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.29 | (e) | 0.30 | 0.59 | (0.29 | ) | 10.92 | |||||||||||||||||||
Year Ended February 28, 2009 | 10.80 | 0.40 | (0.18 | ) | 0.22 | (0.40 | ) | 10.62 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | 0.46 | (e) | 0.26 | 0.72 | (0.45 | ) | 10.80 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.41 | (e) | 0.10 | 0.51 | (0.42 | ) | 10.53 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.52 | 0.23 | (0.08 | ) | 0.15 | (0.23 | ) | 10.44 | |||||||||||||||||||
Year Ended June 30, 2005 | 10.63 | 0.32 | (0.12 | ) | 0.20 | (0.31 | ) | 10.52 | |||||||||||||||||||
Ultra | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 10.92 | 0.11 | (e) | 0.10 | 0.21 | (0.11 | ) | 11.02 | |||||||||||||||||||
Year Ended February 28, 2010 | 10.62 | 0.31 | (e) | 0.30 | 0.61 | (0.31 | ) | 10.92 | |||||||||||||||||||
Year Ended February 28, 2009 | 10.81 | 0.43 | (0.19 | ) | 0.24 | (0.43 | ) | 10.62 | |||||||||||||||||||
Year Ended February 29, 2008 | 10.53 | 0.49 | (e) | 0.27 | 0.76 | (0.48 | ) | 10.81 | |||||||||||||||||||
Year Ended February 28, 2007 | 10.44 | 0.44 | (e) | 0.10 | 0.54 | (0.45 | ) | 10.53 | |||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.52 | 0.24 | (0.07 | ) | 0.17 | (0.25 | ) | 10.44 | |||||||||||||||||||
February 22, 2005 (h) through June 30, 2005 | 10.56 | 0.13 | (0.02 | ) | 0.11 | (0.15 | ) | 10.52 |
(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) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(g) | The Fund changed its fiscal year end from June 30 to the last day of February. |
(h) | Commencement of offering of class of shares. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
1.67 | % | $ | 293,656 | 0.79 | % | 1.48 | % | 0.86 | % | 20 | % | ||||||||||||||||
5.23 | 255,356 | 0.79 | 2.43 | 0.88 | 31 | ||||||||||||||||||||||
1.79 | 90,891 | 0.80 | 3.55 | 0.89 | 51 | ||||||||||||||||||||||
6.84 | (f) | 56,496 | 0.80 | 4.14 | 0.91 | 40 | |||||||||||||||||||||
4.75 | 94,199 | 0.80 | 3.69 | 0.91 | 44 | ||||||||||||||||||||||
1.22 | 93,187 | 0.80 | 2.97 | 0.91 | 22 | ||||||||||||||||||||||
1.72 | 97,744 | 0.80 | 2.64 | 1.10 | 27 | ||||||||||||||||||||||
1.48 | 3,140 | 1.29 | 0.99 | 1.36 | 20 | ||||||||||||||||||||||
4.71 | 3,458 | 1.29 | 2.05 | 1.38 | 31 | ||||||||||||||||||||||
1.32 | 6,668 | 1.30 | 3.09 | 1.39 | 51 | ||||||||||||||||||||||
6.23 | (f) | 11,328 | 1.30 | 3.65 | 1.41 | 40 | |||||||||||||||||||||
4.27 | 17,787 | 1.30 | 3.17 | 1.41 | 44 | ||||||||||||||||||||||
0.79 | 22,899 | 1.30 | 2.46 | 1.41 | 22 | ||||||||||||||||||||||
1.31 | 29,369 | 1.30 | 2.13 | 1.71 | 27 | ||||||||||||||||||||||
1.40 | 380,391 | 1.29 | 0.99 | 1.36 | 20 | ||||||||||||||||||||||
4.76 | 344,957 | 1.29 | 1.83 | 1.38 | 31 | ||||||||||||||||||||||
1.27 | 22,625 | 1.30 | 3.06 | 1.39 | 51 | ||||||||||||||||||||||
6.26 | (f) | 19,135 | 1.30 | 3.64 | 1.41 | 40 | |||||||||||||||||||||
4.26 | 20,777 | 1.30 | 3.15 | 1.41 | 44 | ||||||||||||||||||||||
0.79 | 38,266 | 1.30 | 2.46 | 1.41 | 22 | ||||||||||||||||||||||
1.30 | 56,296 | 1.30 | 2.12 | 1.71 | 27 | ||||||||||||||||||||||
1.79 | 6,544,432 | 0.54 | 1.73 | 0.61 | 20 | ||||||||||||||||||||||
5.57 | 5,163,875 | 0.54 | 2.67 | 0.63 | 31 | ||||||||||||||||||||||
2.12 | 2,029,713 | 0.55 | 3.80 | 0.64 | 51 | ||||||||||||||||||||||
7.03 | (f) | 1,255,422 | 0.55 | 4.31 | 0.64 | 40 | |||||||||||||||||||||
4.99 | 277,452 | 0.55 | 3.89 | 0.66 | 44 | ||||||||||||||||||||||
1.39 | 497,708 | 0.55 | 3.21 | 0.66 | 22 | ||||||||||||||||||||||
1.94 | 559,775 | 0.55 | 2.85 | 0.79 | 27 | ||||||||||||||||||||||
1.91 | 2,507,452 | 0.29 | 1.98 | 0.36 | 20 | ||||||||||||||||||||||
5.81 | 2,043,695 | 0.29 | 2.87 | 0.38 | 31 | ||||||||||||||||||||||
2.27 | 322,907 | 0.30 | 4.07 | 0.39 | 51 | ||||||||||||||||||||||
7.39 | (f) | 321,055 | 0.30 | 4.64 | 0.41 | 40 | |||||||||||||||||||||
5.24 | 299,838 | 0.30 | 4.18 | 0.41 | 44 | ||||||||||||||||||||||
1.60 | 371,212 | 0.30 | 3.47 | 0.41 | 22 | ||||||||||||||||||||||
1.05 | 392,444 | 0.30 | 3.45 | 0.44 | 27 |
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 | ||||||||||||||||
Short Term Bond Fund II | |||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 8.85 | $ | 0.08 | (e) | $ | 0.04 | $ | 0.12 | $ | (0.09 | ) | $ | 8.88 | |||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.20 | (e) | 0.11 | (f) | 0.31 | (0.22 | ) | 8.85 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | 8.76 | |||||||||||||||||
Year Ended February 29, 2008 | 9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | 9.66 | |||||||||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.22 | (e) | 0.02 | 0.24 | (0.24 | ) | 9.84 | |||||||||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | 9.84 | |||||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | 10.02 | |||||||||||||||||||
Class M | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.85 | 0.07 | (e) | 0.04 | 0.11 | (0.08 | ) | 8.88 | |||||||||||||||||||
Year Ended February 28, 2010 | 8.76 | 0.18 | (e) | 0.11 | (f) | 0.29 | (0.20 | ) | 8.85 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | 8.76 | |||||||||||||||||
Year Ended February 29, 2008 | 9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | 9.66 | |||||||||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.84 | 0.21 | (e) | 0.02 | 0.23 | (0.22 | ) | 9.85 | |||||||||||||||||||
Year Ended August 31, 2006 | 10.02 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | 9.84 | |||||||||||||||||||
Year Ended August 31, 2005 | 10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | 10.02 | |||||||||||||||||||
Select Class | |||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 8.87 | 0.10 | (e) | 0.03 | 0.13 | (0.10 | ) | 8.90 | |||||||||||||||||||
Year Ended February 28, 2010 | 8.77 | 0.22 | (e) | 0.12 | (f) | 0.34 | (0.24 | ) | 8.87 | ||||||||||||||||||
Year Ended February 28, 2009 | 9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | 8.77 | |||||||||||||||||
Year Ended February 29, 2008 | 9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | 9.68 | |||||||||||||||||||
September 1, 2006 through February 28, 2007 (g) | 9.86 | 0.23 | (e) | 0.02 | 0.25 | (0.25 | ) | 9.86 | |||||||||||||||||||
Year Ended August 31, 2006 | 10.03 | 0.47 | (0.19 | ) | 0.28 | (0.45 | ) | 9.86 | |||||||||||||||||||
Year Ended August 31, 2005 | 10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | 10.03 |
(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 Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less thank $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return. |
(g) | The Fund changed its fiscal year end from August 31 to the last day of February. |
| 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 earnings credits | | Portfolio turnover rate (b) | ||||||||||||||||
1.36 | % | $ | 7,436 | 0.75 | % | 1.90 | % | 1.14 | % | 29 | % | ||||||||||||||||
3.61 | (f) | 7,263 | 0.74 | 2.26 | 1.05 | 48 | |||||||||||||||||||||
(5.93 | ) | 6,456 | 0.75 | 3.61 | 1.09 | 91 | |||||||||||||||||||||
2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | ||||||||||||||||||||||
2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | ||||||||||||||||||||||
2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | ||||||||||||||||||||||
1.09 | 41,311 | 0.75 | 2.94 | 1.00 | 201 | ||||||||||||||||||||||
1.23 | 87,386 | 1.00 | 1.65 | 1.24 | 29 | ||||||||||||||||||||||
3.36 | (f) | 93,816 | 0.99 | 2.01 | 1.16 | 48 | |||||||||||||||||||||
(6.15 | ) | 113,828 | 1.00 | 3.19 | 1.19 | 91 | |||||||||||||||||||||
2.42 | 144,078 | 1.00 | 4.26 | 1.11 | 338 | ||||||||||||||||||||||
2.39 | 175,836 | 1.00 | 4.29 | 1.08 | 246 | ||||||||||||||||||||||
2.30 | 209,284 | 1.00 | 4.19 | 1.05 | 479 | ||||||||||||||||||||||
0.83 | 371,756 | 1.00 | 2.67 | 1.03 | 201 | ||||||||||||||||||||||
1.50 | 2,031 | 0.50 | 2.15 | 0.89 | 29 | ||||||||||||||||||||||
3.98 | (f) | 2,366 | 0.49 | 2.51 | 0.84 | 48 | |||||||||||||||||||||
(5.76 | ) | 5,611 | 0.50 | 3.92 | 0.83 | 91 | |||||||||||||||||||||
3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | ||||||||||||||||||||||
2.54 | 151,633 | 0.50 | 4.75 | 0.72 | 246 | ||||||||||||||||||||||
2.91 | 375,097 | 0.50 | 4.71 | 0.70 | 479 | ||||||||||||||||||||||
1.35 | 432,056 | 0.50 | 3.21 | 0.68 | 201 |
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 | ||||||||||||||||||
Treasury & Agency Fund | |||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | $ | 9.96 | $ | 0.07 | (e) | $ | 0.08 | $ | 0.15 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | ||||||||||||||
Year Ended February 28, 2010 | 10.17 | 0.22 | (e) | 0.12 | 0.34 | (0.22 | ) | (0.33 | ) | (0.55 | ) | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.04 | 0.11 | 0.20 | �� | 0.31 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
Year Ended February 29, 2008 | 9.72 | 0.42 | 0.31 | 0.73 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||||||
Year Ended February 28, 2007 | 9.75 | 0.46 | (0.03 | ) | 0.43 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 10.00 | 0.32 | (0.25 | ) | 0.07 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||
Year Ended June 30, 2005 | 10.31 | 0.42 | (0.20 | ) | 0.22 | (0.42 | ) | (0.11 | ) | (0.53 | ) | ||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 9.94 | 0.04 | (e) | 0.09 | 0.13 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||
Year Ended February 28, 2010 | 10.15 | 0.18 | (e) | 0.11 | 0.29 | (0.17 | ) | (0.33 | ) | (0.50 | ) | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.03 | 0.16 | 0.10 | 0.26 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 9.71 | 0.42 | 0.26 | 0.68 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.43 | (0.05 | ) | 0.38 | (0.41 | ) | — | (0.41 | ) | |||||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 9.99 | 0.29 | (0.25 | ) | 0.04 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||||
Year Ended June 30, 2005 | 10.30 | 0.38 | (0.21 | ) | 0.17 | (0.37 | ) | (0.11 | ) | (0.48 | ) | ||||||||||||||||||||
Select Class | |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2010 (Unaudited) | 9.95 | 0.08 | (e) | 0.08 | 0.16 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||
Year Ended February 28, 2010 | 10.16 | 0.24 | (e) | 0.12 | 0.36 | (0.24 | ) | (0.33 | ) | (0.57 | ) | ||||||||||||||||||||
Year Ended February 28, 2009 | 10.02 | 0.13 | 0.22 | 0.35 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||
Year Ended February 29, 2008 | 9.70 | 0.44 | 0.31 | 0.75 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||||||
Year Ended February 28, 2007 | 9.74 | 0.48 | (0.04 | ) | 0.44 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||||
July 1, 2005 through February 28, 2006 (g) | 9.99 | 0.33 | (0.25 | ) | 0.08 | (0.33 | ) | — | (0.33 | ) | |||||||||||||||||||||
Year Ended June 30, 2005 | 10.30 | 0.44 | (0.19 | ) | 0.25 | (0.45 | ) | (0.11 | ) | (0.56 | ) |
(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) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(g) | The Fund changed its fiscal year end from June 30 to the last day of February. |
| | Ratios/Supplemental data | | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | | Total return (excludes sales charge) (b)(c) | | Net assets, end of period (000’s) | | Net expenses (d) | | Net investment income (loss) | | Expenses without waivers, reimbursements and earnings credits | | Portfolio turnover rate (b) | |||||||||||||||
$10.04 | 1.48 | % | $ | 101,962 | 0.70 | % | 1.30 | % | 0.96 | % | 14 | % | |||||||||||||||
9.96 | 3.39 | 99,593 | 0.69 | 2.12 | 0.97 | 51 | |||||||||||||||||||||
10.17 | 3.18 | 114,609 | 0.70 | 0.99 | 0.94 | 154 | |||||||||||||||||||||
10.04 | 7.71 | (f) | 77,234 | 0.69 | 4.33 | 1.01 | 83 | ||||||||||||||||||||
9.72 | 4.48 | 69,390 | 0.70 | 4.70 | 1.03 | 10 | |||||||||||||||||||||
9.75 | 0.71 | 77,632 | 0.70 | 4.83 | 1.03 | 20 | |||||||||||||||||||||
10.00 | 2.22 | 82,360 | 0.67 | 4.05 | 0.99 | 22 | |||||||||||||||||||||
10.03 | 1.29 | 1,049 | 1.20 | 0.81 | 1.46 | 14 | |||||||||||||||||||||
9.94 | 2.86 | 1,588 | 1.19 | 1.75 | 1.47 | 51 | |||||||||||||||||||||
10.15 | 2.64 | 3,538 | 1.20 | 1.07 | 1.43 | 154 | |||||||||||||||||||||
10.03 | 7.17 | (f) | 6,691 | 1.20 | 3.96 | 1.52 | 83 | ||||||||||||||||||||
9.71 | 3.97 | 10,948 | 1.20 | 4.19 | 1.53 | 10 | |||||||||||||||||||||
9.74 | 0.39 | 16,720 | 1.20 | 4.34 | 1.53 | 20 | |||||||||||||||||||||
9.99 | 1.70 | 23,012 | 1.17 | 3.45 | 1.60 | 22 | |||||||||||||||||||||
10.03 | 1.61 | 408,439 | 0.45 | 1.55 | 0.71 | 14 | |||||||||||||||||||||
9.95 | 3.63 | 427,880 | 0.44 | 2.40 | 0.72 | 51 | |||||||||||||||||||||
10.16 | 3.52 | 552,538 | 0.45 | 1.54 | 0.69 | 154 | |||||||||||||||||||||
10.02 | 8.01 | (f) | 620,461 | 0.43 | 3.98 | 0.74 | 83 | ||||||||||||||||||||
9.70 | 4.65 | 67,699 | 0.45 | 4.95 | 0.78 | 10 | |||||||||||||||||||||
9.74 | 0.87 | 48,965 | 0.45 | 5.07 | 0.79 | 20 | |||||||||||||||||||||
9.99 | 2.48 | 45,461 | 0.42 | 4.30 | 0.67 | 22 |
AS OF AUGUST 31, 2010 (Unaudited)
| Classes Offered | | Trust | | Diversified/ Non-Diversified | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Core Bond Fund | Class A, Class B, Class C, Class R2, Class R5, Select Class and Ultra | JPM II | Diversified | |||||||||||
Core Plus Bond Fund | Class A, Class B, Class C, Class R2, Institutional Class, Select Class and Ultra | JPM II | Diversified | |||||||||||
Government Bond Fund | Class A, Class B, Class C, Class R2 and Select Class | JPM II | Diversified | |||||||||||
High Yield Fund | Class A, Class B, Class C, Class R2, Class R5, Select Class and Ultra | JPM II | Diversified | |||||||||||
Limited Duration Bond Fund | Class A, Class B, Class C, Select Class and Ultra | JPM II | Diversified | |||||||||||
Mortgage-Backed Securities Fund | Class A, Select Class and Ultra | JPM II | Diversified | |||||||||||
Short Duration Bond Fund | Class A, Class B, Class C, Select Class and Ultra | JPM II | Diversified | |||||||||||
Short-Term Bond Fund II | Class A, Class M and Select Class | MFG | Diversified | |||||||||||
Treasury & Agency Fund | Class A, Class B and Select Class | JPM II | Diversified |
maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
• | 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) |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Common Stocks | ||||||||||||||||||
Utilities | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||||
Total Common Stocks | 1 | — | — | 1 | ||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | — | 433,247 | — | 433,247 | ||||||||||||||
Collateralized Mortgage Obligations | — | 6,582,969 | 2,089 | 6,585,058 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 218,842 | — | 218,842 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Consumer Discretionary | — | 161,606 | — | 161,606 | ||||||||||||||
Consumer Staples | — | 104,034 | — | 104,034 | ||||||||||||||
Energy | — | 120,668 | — | 120,668 | ||||||||||||||
Financials | — | 1,246,369 | — | 1,246,369 | ||||||||||||||
Health Care | — | 26,149 | — | 26,149 | ||||||||||||||
Industrials | — | 73,669 | — | 73,669 | ||||||||||||||
Information Technology | — | 71,592 | — | 71,592 | ||||||||||||||
Materials | — | 33,715 | — | 33,715 | ||||||||||||||
Telecommunication Services | — | 181,134 | — | 181,134 | ||||||||||||||
Utilities | — | 203,669 | — | 203,669 | ||||||||||||||
Total Corporate Bonds | — | 2,222,605 | — | 2,222,605 | ||||||||||||||
Foreign Government Securities | — | 40,377 | — | 40,377 | ||||||||||||||
Mortgage Pass-Through Securities | — | 1,888,687 | — | 1,888,687 | ||||||||||||||
Municipal Bonds | — | 4,646 | — | 4,646 | ||||||||||||||
Supranational | — | 774 | — | 774 | ||||||||||||||
U.S. Government Agency Securities | — | 288,645 | — | 288,645 | ||||||||||||||
U.S. Treasury Obligations | — | 5,144,532 | — | 5,144,532 | ||||||||||||||
Short-Term Investments | ||||||||||||||||||
Investment Companies | 1,135,907 | — | — | 1,135,907 | ||||||||||||||
Investments of Cash Collateral for Securities on Loan | ||||||||||||||||||
Asset-Backed Securities | — | 422 | — | 422 | ||||||||||||||
Investment Company | 109,413 | — | — | 109,413 | ||||||||||||||
Total Investments in Securities | $ | 1,245,321 | $ | 16,825,746 | $ | 2,089 | $ | 18,073,156 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 176 | $ | — | $ | 248 | $ | 424 | ||||||||||
Consumer Staples | 329 | — | 52 | 381 | ||||||||||||||
Industrials | 121 | — | — | 121 | ||||||||||||||
Information Technology | — | — | 657 | 657 | ||||||||||||||
Materials | 7,993 | — | 1,440 | 9,433 | ||||||||||||||
Telecommunication Services | 177 | — | — | 177 | ||||||||||||||
Utilities | 20 | — | — | 20 | ||||||||||||||
Total Common Stocks | 8,816 | — | 2,397 | 11,213 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Consumer Discretionary | — | 2,512 | — | 2,512 | ||||||||||||||
Consumer Staples | — | — | 56 | 56 | ||||||||||||||
Financials | — | — | 1,740 | 1,740 | ||||||||||||||
Total Preferred Stocks | — | 2,512 | 1,796 | 4,308 | ||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | — | 42,289 | 1,491 | 43,780 | ||||||||||||||
Collateralized Mortgage Obligations | — | 382,676 | — | 382,676 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 41,324 | — | 41,324 | ||||||||||||||
Convertible Bonds | ||||||||||||||||||
Materials | — | — | 665 | 665 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Consumer Discretionary | — | 101,973 | — | 101,973 | ||||||||||||||
Consumer Staples | — | 33,419 | 143 | 33,562 | ||||||||||||||
Energy | — | 53,231 | — | 53,231 | ||||||||||||||
Financials | — | 196,642 | 3,707 | 200,349 | ||||||||||||||
Health Care | — | 29,532 | — | 29,532 | ||||||||||||||
Industrials | — | 58,967 | 361 | 59,328 | ||||||||||||||
Information Technology | — | 20,394 | — | 20,394 | ||||||||||||||
Materials | — | 48,470 | — | 48,470 | ||||||||||||||
Telecommunication Services | — | 37,647 | — | 37,647 | ||||||||||||||
Utilities | — | 56,897 | — | 56,897 | ||||||||||||||
Total Corporate Bonds | — | 637,172 | 4,211 | 641,383 | ||||||||||||||
Foreign Government Securities | — | 31,850 | 376 | 32,226 | ||||||||||||||
Mortgage Pass-Through Securities | — | 73,411 | — | 73,411 | ||||||||||||||
Municipal Bond | — | 1,671 | — | 1,671 | ||||||||||||||
Supranational | — | 353 | — | 353 | ||||||||||||||
U.S. Government Agency Securities | — | 17,175 | — | 17,175 | ||||||||||||||
U.S. Treasury Obligations | — | 337,035 | — | 337,035 | ||||||||||||||
Loan Participations & Assignments | ||||||||||||||||||
Consumer Discretionary | — | 22,493 | — | 22,493 | ||||||||||||||
Consumer Staples | — | 896 | — | 896 | ||||||||||||||
Energy | — | 177 | — | 177 | ||||||||||||||
Financials | — | 8,163 | — | 8,163 | ||||||||||||||
Industrials | — | 9,439 | — | 9,439 | ||||||||||||||
Information Technology | — | 2,642 | 854 | 3,496 | ||||||||||||||
Materials | — | 5,594 | — | 5,594 | ||||||||||||||
Telecommunication Services | — | 258 | — | 258 | ||||||||||||||
Utilities | — | 7,116 | — | 7,116 | ||||||||||||||
Total Loan Participations & Assignments | — | 56,778 | 854 | 57,632 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Rights | ||||||||||||||||||
Materials | $ | — | $ | — | $ | — | (a) | $ | — | (a) | ||||||||
Warrants | ||||||||||||||||||
Telecommunication Services | — | — | 21 | 21 | ||||||||||||||
Short-Term Investment | ||||||||||||||||||
Investment Company | 222,209 | — | — | 222,209 | ||||||||||||||
Investment of Cash Collateral for Securities on Loan | ||||||||||||||||||
Investment Company | 27,660 | — | — | 27,660 | ||||||||||||||
Total Investments in Securities | $ | 258,685 | $ | 1,624,246 | $ | 11,811 | $ | 1,894,742 | ||||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||||
Futures Contracts | $ | 9 | $ | — | $ | — | $ | 9 | ||||||||||
Forward Foreign Currency Exchange Contracts | — | 42 | — | 42 | ||||||||||||||
Unfunded Commitments | — | — | (b) | — | — | (b) | ||||||||||||
Total Appreciation in Other Financial Instruments | $ | 9 | $ | 42 | $ | — | $ | 51 | ||||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||||
Futures Contracts | $ | (6 ) | $ | — | $ | — | $ | (6 ) | ||||||||||
Forward Foreign Currency Exchange Contracts | — | (29 ) | — | (29 ) | ||||||||||||||
Swaps | — | (106 ) | — | (106 ) | ||||||||||||||
Total Depreciation in Other Financial Instruments | $ | (6 ) | $ | (135 ) | $ | — | $ | (141 | ) |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Investments in Securities | $ | 143,816 | $ | 1,436,550 | $ | — | $ | 1,580,366 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Common Stocks | ||||||||||||||||||
Consumer Discretionary | $ | 2,434 | $ | — | $ | 3,666 | $ | 6,100 | ||||||||||
Consumer Staples | 3,895 | — | 760 | 4,655 | ||||||||||||||
Industrials | 1,177 | — | — | 1,177 | ||||||||||||||
Information Technology | — | — | 5,781 | 5,781 | ||||||||||||||
Materials | 104,887 | — | 3,982 | 108,869 | ||||||||||||||
Telecommunication Services | 68 | — | — | 68 | ||||||||||||||
Utilities | 66 | — | — | 66 | ||||||||||||||
Total Common Stocks | 112,527 | — | 14,189 | 126,716 | ||||||||||||||
Preferred Stocks | ||||||||||||||||||
Consumer Discretionary | — | — | 617 | 617 | ||||||||||||||
Consumer Staples | — | — | 817 | 817 | ||||||||||||||
Financials | — | 7,368 | 13,993 | 21,361 | ||||||||||||||
Information Technology | — | — | — | (a) | — | (a) | ||||||||||||
Total Preferred Stocks | — | 7,368 | 15,427 | 22,795 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 6,928 | $ | 6,928 | ||||||||||
Convertible Bonds | ||||||||||||||||||
Materials | — | — | 1,839 | 1,839 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Consumer Discretionary | — | 1,604,067 | 2,165 | 1,606,232 | ||||||||||||||
Consumer Staples | — | 276,264 | 2,087 | 278,351 | ||||||||||||||
Energy | — | 798,986 | — | 798,986 | ||||||||||||||
Financials | — | 684,330 | 19,576 | 703,906 | ||||||||||||||
Health Care | — | 347,386 | 4,296 | 351,682 | ||||||||||||||
Industrials | — | 563,278 | 10,935 | 574,213 | ||||||||||||||
Information Technology | — | 266,717 | 2,152 | 268,869 | ||||||||||||||
Materials | — | 580,642 | 4,248 | 584,890 | ||||||||||||||
Telecommunication Services | — | 491,046 | — | 491,046 | ||||||||||||||
Utilities | — | 265,235 | — | 265,235 | ||||||||||||||
Total Corporate Bonds | — | 5,877,951 | 45,459 | 5,923,410 | ||||||||||||||
Loan Participations & Assignments | ||||||||||||||||||
Consumer Discretionary | — | 427,324 | — | 427,324 | ||||||||||||||
Consumer Staples | — | 15,296 | — | 15,296 | ||||||||||||||
Energy | — | 5,576 | — | 5,576 | ||||||||||||||
Financials | — | 124,907 | 3,084 | 127,991 | ||||||||||||||
Health Care | — | 2,517 | — | 2,517 | ||||||||||||||
Industrials | — | 46,377 | — | 46,377 | ||||||||||||||
Information Technology | — | 55,167 | 5,190 | 60,357 | ||||||||||||||
Materials | — | 67,699 | 4,110 | 71,809 | ||||||||||||||
Telecommunication Services | — | 32,976 | — | 32,976 | ||||||||||||||
Utilities | — | 85,801 | — | 85,801 | ||||||||||||||
Total Loan Participations & Assignments | — | 863,640 | 12,384 | 876,024 | ||||||||||||||
Rights | ||||||||||||||||||
Consumer Discretionary | — | — | — | (a) | — | (a) | ||||||||||||
Materials | — | — | — | (a) | — | (a) | ||||||||||||
Total Rights | — | — | — | (a) | — | (a) | ||||||||||||
Warrants | ||||||||||||||||||
Telecommunication Services | — | — | 9 | 9 | ||||||||||||||
Short-Term Investment | ||||||||||||||||||
Investment Company | 199,194 | — | — | 199,194 | ||||||||||||||
Investments of Cash Collateral for Securities on Loan | ||||||||||||||||||
Asset-Backed Securities | — | 817 | — | 817 | ||||||||||||||
Investment Company | 227,109 | — | — | 227,109 | ||||||||||||||
Total Investments in Securities | $ | 538,830 | $ | 6,749,776 | $ | 96,235 | $ | 7,384,841 | ||||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||||
Unfunded Commitments | — | 14 | — | 14 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 40,132 | $ | 4,951 | $ | 45,083 | ||||||||||
Collateralized Mortgage Obligations | — | 175,251 | — | 175,251 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 8,786 | 224 | 9,010 | ||||||||||||||
Corporate Bonds | ||||||||||||||||||
Financials | — | 209 | 1,247 | 1,456 | ||||||||||||||
Total Corporate Bonds | — | 209 | 1,247 | 1,456 | ||||||||||||||
Mortgage Pass-Through Securities | — | 74,958 | 152 | 75,110 | ||||||||||||||
Short-Term Investment | ||||||||||||||||||
Investment Company | 62,070 | — | — | 62,070 | ||||||||||||||
Total Investments in Securities | $ | 62,070 | $ | 299,336 | $ | 6,574 | $ | 367,980 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | ||||||||||||||||||
Debt Securities | ||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 28,231 | $ | — | $ | 28,231 | ||||||||||
Collateralized Mortgage Obligations | — | 1,503,075 | 607 | 1,503,682 | ||||||||||||||
Commercial Mortgage-Backed Securities | — | 8,047 | — | 8,047 | ||||||||||||||
Mortgage Pass-Through Securities | — | 338,819 | — | 338,819 | ||||||||||||||
U.S. Government Agency Securities | — | 24,320 | — | 24,320 | ||||||||||||||
U.S. Treasury Obligations | — | 134,751 | — | 134,751 | ||||||||||||||
Short-Term Investment | ||||||||||||||||||
Investment Company | 83,362 | — | — | 83,362 | ||||||||||||||
Total Investments in Securities | $ | 83,362 | $ | 2,037,243 | $ | 607 | $ | 2,121,212 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Investments in Securities | $ | 381,381 | $ | 9,383,310 | $ | — | $ | 9,764,691 |
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Investments in Securities | $ | 561 | $ | 95,884 | $ | — | $ | 96,445 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| Level 1 Quoted prices | | Level 2 Other significant observable inputs | | Level 3 Significant unobservable inputs | | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Total Investments in Securities | $ | 7,568 | $ | 501,504 | $ | — | $ | 509,072 |
(a) | Security has zero value. |
(b) | Amount rounds to less than $1,000. |
# | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of the portfolio holdings. |
## | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash and a money market mutual fund held as an investment of cash collateral for securities on loan. Please refer to the SOIs for industry specifics of the portfolio holdings. |
Core Bond Fund | | Balance as of 2/28/10 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 8/31/10 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 2,449 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (2,449 | ) | $ | — | ||||||||||||||||||
Collateralized Mortgage Obligations | 7,560 | — | (229 | ) | 8 | — | �� | — | (5,250 | ) | 2,089 | ||||||||||||||||||||||||
Total | $ | 10,009 | $ | — | $ | (229 | ) | $ | 8 | $ | — | $ | — | $ | (7,699 | ) | $ | 2,089 |
Core Plus Bond Fund | | Balance as of 2/28/10 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 8/31/10 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 5,019 | $ | — | $ | 15 | $ | 4 | $ | (18 | ) | $ | — | $ | (3,529 | ) | $ | 1,491 | |||||||||||||||||
Collateralized Mortgage Obligations | 4,400 | — | — | — | — | — | (4,400 | ) | — | ||||||||||||||||||||||||||
Common Stocks — Consumer Discretionary | 216 | — | 32 | — | — | — | — | 248 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 20 | — | 32 | — | — | — | — | 52 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 573 | 607 | (313 | ) | — | (867 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 97 | — | 560 | — | — | — | — | 657 | |||||||||||||||||||||||||||
Common Stocks — Materials | 57 | (133 | ) | 845 | — | (42 | ) | 713 | — | 1,440 | |||||||||||||||||||||||||
Convertible Bonds — Materials | — | — | — | — | 665 | — | — | 665 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 173 | — | — | — | (30 | ) | — | — | 143 | ||||||||||||||||||||||||||
Corporate Bonds — Energy | 937 | — | (7 | ) | (2 | ) | (928 | ) | — | — | — | ||||||||||||||||||||||||
Corporate Bonds — Financials | 3,001 | 110 | 108 | 53 | 435 | — | — | 3,707 | |||||||||||||||||||||||||||
Corporate Bonds — Industrials | 1,091 | (689 | ) | 772 | 1 | (789 | ) | 183 | (208 | ) | 361 | ||||||||||||||||||||||||
Corporate Bonds — Materials | 761 | — | — | — | — | — | (761 | ) | — | ||||||||||||||||||||||||||
Foreign Government Securities | — | — | 22 | (3 | ) | 130 | 227 | — | 376 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Industrials | 1,961 | — | — | — | — | — | (1,961 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 852 | — | 5 | 2 | (5 | ) | — | — | 854 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 1,335 | — | — | — | — | — | (1,335 | ) | — | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 53 | — | — | — | 3 | — | — | 56 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 769 | — | 158 | — | — | 813 | — | 1,740 | |||||||||||||||||||||||||||
Rights — Materials | — | — | — | — | — | (a) | — | — | — | (a) | |||||||||||||||||||||||||
Warrants — Telecommunication Services | 26 | — | (5 | ) | — | — | — | — | 21 | ||||||||||||||||||||||||||
Total | $ | 21,341 | $ | (105 | ) | $ | 2,224 | $ | 55 | $ | (1,446 | ) | $ | 1,936 | $ | (12,194 | ) | $ | 11,811 |
High Yield Fund | | Balance as of 2/28/10 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 8/31/10 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 6,916 | $ | — | (b) | $ | 99 | $ | 19 | $ | (106 | ) | $ | — | $ | — | $ | 6,928 | |||||||||||||||||
Common Stocks — Consumer Discretionary | 3,208 | — | 458 | — | — | — | — | 3,666 | |||||||||||||||||||||||||||
Common Stocks — Consumer Staples | 292 | — | 468 | — | — | — | — | 760 | |||||||||||||||||||||||||||
Common Stocks — Industrials | 5,510 | 5,846 | (3,016 | ) | — | (8,340 | ) | — | — | — | |||||||||||||||||||||||||
Common Stocks — Information Technology | 628 | — | (b) | 1,943 | — | — | 3,210 | — | 5,781 | ||||||||||||||||||||||||||
Common Stocks — Materials | 745 | (1,658 | ) | 833 | — | (540 | ) | 4,602 | — | 3,982 | |||||||||||||||||||||||||
Convertible Bonds — Materials | — | — | — | — | 1,839 | — | — | 1,839 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Discretionary | 1,875 | — | 104 | 4 | 182 | — | — | 2,165 | |||||||||||||||||||||||||||
Corporate Bonds — Consumer Staples | 11,289 | 118 | 14 | — | (b) | (9,334 | ) | — | — | 2,087 | |||||||||||||||||||||||||
Corporate Bonds — Energy | 628 | — | — | — | — | — | (628 | ) | — | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 36,084 | 2,228 | (649 | ) | 431 | (18,518 | ) | — | — | 19,576 | |||||||||||||||||||||||||
Corporate Bonds — Health Care | 4,752 | — | (1,129 | ) | — | (b) | 673 | — | — | 4,296 | |||||||||||||||||||||||||
Corporate Bonds — Industrials | 14,079 | (12,617 | ) | 13,536 | 35 | (2,102 | ) | — | (1,996 | ) | 10,935 | ||||||||||||||||||||||||
Corporate Bonds — Information Technology | 2,133 | — | 19 | — | — | — | — | 2,152 | |||||||||||||||||||||||||||
Corporate Bonds — Materials | 8,381 | — | 42 | 62 | — | — | (4,237 | ) | 4,248 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Energy | 2,857 | (564 | ) | 805 | — | (3,098 | ) | — | — | — | |||||||||||||||||||||||||
Loan Participations & Assignments — Financials | 1,766 | — | (b) | 135 | (4 | ) | (14 | ) | 1,710 | (509 | ) | 3,084 | |||||||||||||||||||||||
Loan Participations & Assignments — Industrials | 5,243 | — | — | — | — | — | (5,243 | ) | — | ||||||||||||||||||||||||||
Loan Participations & Assignments — Information Technology | 7,215 | 18 | 1,722 | 16 | (3,781 | ) | — | — | 5,190 | ||||||||||||||||||||||||||
Loan Participations & Assignments — Materials | 10,676 | — | 122 | 28 | — | — | (6,716 | ) | 4,110 | ||||||||||||||||||||||||||
Preferred Stocks — Consumer Discretionary | 233 | — | 384 | — | — | — | — | 617 | |||||||||||||||||||||||||||
Preferred Stocks — Consumer Staples | 769 | — | — | — | 48 | — | — | 817 | |||||||||||||||||||||||||||
Preferred Stocks — Financials | 4,308 | — | 967 | — | — | 8,718 | — | 13,993 | |||||||||||||||||||||||||||
Preferred Stocks — Information Technology | — | — | — | — | — | (a) | — | — | — | (a) | |||||||||||||||||||||||||
Rights — Consumer Discretionary | — | (a) | — | — | — | — | — | — | — | (a) | |||||||||||||||||||||||||
Rights — Materials | — | — | — | — | — | (a) | — | — | — | (a) | |||||||||||||||||||||||||
Warrants — Industrials | — | (a) | — | — | — | — | (a) | — | — | — | |||||||||||||||||||||||||
Warrants — Telecommunication Services | 11 | — | (2 | ) | — | — | — | — | 9 | ||||||||||||||||||||||||||
Total | $ | 129,598 | $ | (6,629 | ) | $ | 16,855 | $ | 591 | $ | (43,091 | ) | $ | 18,240 | $ | (19,329 | ) | $ | 96,235 |
Limited Duration Bond Fund | | Balance as of 2/28/10 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 8/31/10 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 1,087 | $ | — | $ | 2,415 | $ | — | (b) | $ | — | $ | 1,449 | $ | — | $ | 4,951 | ||||||||||||||||||
Commercial Mortgage-Backed Securities | 766 | — | 80 | — | (622 | ) | — | — | 224 | ||||||||||||||||||||||||||
Corporate Bonds — Financials | 1,223 | — | 24 | — | — | — | — | 1,247 | |||||||||||||||||||||||||||
Mortgage Pass-Through Securities | 173 | — | (b) | — | (b) | — | (b) | (21 | ) | — | — | 152 | |||||||||||||||||||||||
Total | $ | 3,249 | $ | — | (b) | $ | 2,519 | $ | — | (b) | $ | (643 | ) | $ | 1,449 | $ | — | $ | 6,574 |
Mortgage-Backed Securities Fund | | Balance as of 2/28/10 | | Realized gain (loss) | | Change in unrealized appreciation (depreciation) | | Net amortization/ accretion | | Net purchases (sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance as of 8/31/10 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investments in Securities | |||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 317 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (317 | ) | $ | — | ||||||||||||||||||
Collateralized Mortgage Obligations | 2,401 | — | (16 | ) | 2 | — | — | (1,780 | ) | 607 | |||||||||||||||||||||||||
Total | $ | 2,718 | $ | — | $ | (16 | ) | $ | 2 | $ | — | $ | — | $ | (2,097 | ) | $ | 607 |
(a) | Security has zero value. |
(b) | Amount rounds to less than $1,000. |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
| ||||||
---|---|---|---|---|---|---|
Core Bond Fund | $ | (229 | ) | |||
Core Plus Bond Fund | 610 | |||||
High Yield Fund | 5,423 | |||||
Limited Duration Bond Fund | 2,519 | |||||
Mortgage-Backed Securities Fund | (16 | ) |
Affiliate | | Value at February 28, 2010 | | Purchase Cost | | Sales Proceeds | | Realized Gain (Loss) | | Dividend/ Interest Income | | Shares/Principal Amount ($) at August 31, 2010 | | Value at August 31, 2010 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Core Bond Fund | ||||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 5.700%, 11/15/14* | $ | 1,099 | $ | — | $ | 1,096 | $ | 65 | $ | 3 | $ | — | $ | — | ||||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | 1,624 | — | 1,641 | 244 | 7 | — | — | |||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% | 617,565 | 1,277,369 | 1,499,212 | — | 373 | 395,722 | 395,722 | |||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.200%** | 304,663 | 197,282 | 392,532 | — | 226 | 109,413 | 109,413 | |||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% | 600,111 | 1,456,345 | 1,316,271 | — | 473 | 740,185 | 740,185 | |||||||||||||||||||||||
$ | 1,525,062 | $ | 309 | $ | 1,082 | $ | 1,245,320 | |||||||||||||||||||||||
Core Plus Bond Fund | ||||||||||||||||||||||||||||||
Bear Stearns Cos. LLC (The), 7.250%, 02/01/18* | $ | 429 | $ | — | $ | 429 | $ | 60 | $ | — | (a) | $ | — | $ | — | |||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% | 86,930 | 333,622 | 198,343 | — | 112 | 222,209 | 222,209 | |||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.200%** | 17,954 | 66,972 | 57,266 | — | 25 | 27,660 | 27,660 | |||||||||||||||||||||||
$ | 105,313 | $ | 60 | $ | 137 | $ | 249,869 | |||||||||||||||||||||||
Government Bond Fund | ||||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.080% | $ | 114,616 | $ | 195,972 | $ | 166,772 | $ | — | $ | 25 | 143,816 | $ | 143,816 | |||||||||||||||||
$ | 114,616 | $ | — | $ | 25 | $ | 143,816 | |||||||||||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% | $ | 311,461 | $ | 991,771 | $ | 1,104,038 | $ | — | $ | 147 | 199,194 | $ | 199,194 | |||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.200%** | 197,822 | 485,138 | 455,851 | — | 260 | 227,109 | 227,109 | |||||||||||||||||||||||
$ | 509,283 | $ | — | $ | 407 | $ | 426,303 | |||||||||||||||||||||||
Limited Duration Bond Fund | ||||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% | $ | 81,717 | $ | 87,059 | $ | 106,706 | $ | — | $ | 45 | 62,070 | $ | 62,070 | |||||||||||||||||
$ | 81,717 | $ | — | $ | 45 | $ | 62,070 |
Affiliate | | Value at February 28, 2010 | | Purchase Cost | | Sales Proceeds | | Realized Gain (Loss) | | Dividend/ Interest Income | | Shares/Principal Amount ($) at August 31, 2010 | | Value at August 31, 2010 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mortgage Backed Securities Fund | ||||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.190% | $ | 163,263 | $ | 413,535 | $ | 493,436 | $ | — | $ | 92 | 83,362 | $ | 83,362 | |||||||||||||||||
$ | 163,263 | $ | — | $ | 92 | $ | 83,362 | |||||||||||||||||||||||
Short Duration Bond Fund | ||||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.080% | $ | 399,391 | $ | 1,408,324 | $ | 1,500,712 | $ | — | $ | 92 | 307,003 | $ | 307,003 | |||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares, 0.200%** | 331,094 | 997,177 | 1,253,893 | — | 240 | 74,378 | 74,378 | |||||||||||||||||||||||
$ | 730,485 | $ | — | $ | 332 | $ | 381,381 | |||||||||||||||||||||||
Short Term Bond Fund II | ||||||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.170% | $ | 927 | $ | 10,664 | $ | 11,030 | $ | — | $ | 1 | 561 | $ | 561 | |||||||||||||||||
$ | 927 | $ | — | $ | 1 | $ | 561 | |||||||||||||||||||||||
Treasury and Agency Fund | ||||||||||||||||||||||||||||||
JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.060% | $ | 8,240 | $ | 45,973 | $ | 46,645 | $ | — | $ | 2 | 7,568 | $ | 7,568 | |||||||||||||||||
$ | 8,240 | $ | — | $ | 2 | $ | 7,568 |
(a) | Amount rounds to less than $1,000. |
* | Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
** | Represents investment of cash collateral related to securities on loan, as described in Note 2.H. Dividend income earned from this investment is included in, and represents a significant portion of, income from securities lending (net) in the Statements of Operations. |
| Value | | Percentage | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Core Bond Fund | $ | 2,089 | 0.01 | % | ||||||
Core Plus Bond Fund | 9,552 | 0.51 | ||||||||
High Yield Fund | 89,276 | 1.24 | ||||||||
Limited Duration Bond Fund | 1,247 | 0.34 | ||||||||
Mortgage-Backed Securities Fund | 607 | 0.03 |
AS OF AUGUST 31, 2010 (Unaudited) (continued)
Derivative Contract | | Statement of Assets and Liabilities Location | | | | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | | | Futures |