-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, BjfGeo8ajRt0KVD2VTBR+uopQ9Ifphb5kxVXGYp9x8dLR2Z2pJySWlEvUGmSx0td psygTFXtaPWeEmJso6N7aA== 0000893220-07-002035.txt : 20070525 0000893220-07-002035.hdr.sgml : 20070525 20070525114314 ACCESSION NUMBER: 0000893220-07-002035 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070331 FILED AS OF DATE: 20070525 DATE AS OF CHANGE: 20070525 EFFECTIVENESS DATE: 20070525 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MCMORGAN FUNDS CENTRAL INDEX KEY: 0000919556 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-08370 FILM NUMBER: 07879320 BUSINESS ADDRESS: STREET 1: ONE BUSH STREET STREET 2: STE 800 CITY: SAN FRANCISCO STATE: CA ZIP: 94104 BUSINESS PHONE: 8007889485 MAIL ADDRESS: STREET 1: ONE BUSH ST STREET 2: STE 800 CITY: SAN FRNCISCO STATE: CA ZIP: 94104 FORMER COMPANY: FORMER CONFORMED NAME: MCM FUNDS DATE OF NAME CHANGE: 19940228 0000919556 S000005299 McMorgan Principal Preservation Fund C000014475 McMorgan Class MCPXX 0000919556 S000005307 McMorgan Intermediate Fixed Income Fund C000014491 McMorgan Class MCMNX C000014492 Class Z MCIZX 0000919556 S000005308 McMorgan Fixed Income Fund C000014493 McMorgan Class MCMFX C000014494 Class Z MCFZX C000014495 Class R1 MCMRX C000014496 Class R2 MCMWX 0000919556 S000005309 McMorgan High Yield Fund C000014497 McMorgan Class MCMHX C000014498 Class Z MCHZX 0000919556 S000005310 McMorgan Balanced Fund C000014499 McMorgan Class MCMBX C000014500 Class Z MCBZX 0000919556 S000005311 McMorgan Equity Investment Fund C000014501 McMorgan Class MCMEX C000014502 Class Z MCEZX N-Q 1 w33938nvq.txt FORM N-Q ------------------------- OMB APPROVAL ------------------------- OMB Number: 3235-0578 Expires: April 30, 2010 Estimated average burden hours per response...10.5 ------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-8370 McMorgan Funds (Exact name of registrant as specified in charter) One Bush Street, Suite 800, San Francisco, CA 94104 (Address of principal executive offices) (Zip Code) Teresa Matzelle, One Bush Street, Suite 800, San Francisco, CA 94104 (Name and address of agent for service) Registrant's telephone number, including area code: 800-831-1994 Date of fiscal year end: June 30 Date of reporting period: March 31, 2007 Item 1. Schedule of Investments. The schedule of investments for the period ended March 31, 2007 is filed herewith. PRINCIPAL PRESERVATION FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2007 (Unaudited)
PRINCIPAL AMORTIZED AMOUNT COST ----------- ------------ Fixed Income Securities 99.9% U.S. Government Agency Notes 5.5% Federal Home Loan Bank - 2.7% 5.375%, due 5/2/07 $ 5,000,000 $ 5,000,000 ------------ Federal Home Loan Mortgage Corp. - 1.6% 4.125%, due 4/2/07 3,000,000 2,999,999 ------------ Federal Home Loan Mortgage Corp. (Discount Note) - 1.2% 5.147%, due 4/16/07 2,100,000 2,095,496 ------------ Total U.S. Government Agency Notes (Cost $10,095,495) 10,095,495 ------------ Commercial Paper 57.2% Aluminum Co. of America 5.26%, due 4/16/07 2,000,000 1,995,618 5.26%, due 4/20/07 4,000,000 3,988,895 Apache Corp. 5.40%, due 4/5/07 3,000,000 2,998,200 5.44%, due 4/5/07 3,765,000 3,762,724 AT&T, Inc. 4.214%, due 6/5/07 (a) 1,525,000 1,521,341 Bank of America Corp. 5.25%, due 4/24/07 1,000,000 996,646 Cadbury Schweppes Finance PLC 5.31%, due 5/18/07 1,000,000 993,067 5.32%, due 5/8/07 500,000 497,266 ConocoPhillips 5.47%, due 4/3/07 2,000,000 1,999,392 Cooperative Association Tractor Dealers 5.25%, due 4/12/07 1,640,000 1,637,370 5.25%, due 5/23/07 1,020,000 1,012,265 5.25%, due 6/12/07 2,000,000 1,979,000 Countrywide Financial Corp. 5.26%, due 6/6/07 3,000,000 2,971,070 5.29%, due 4/3/07 2,000,000 1,999,412 DaimlerChrysler North America Holding Corp. 5.32%, due 6/22/07 1,500,000 1,481,824 DaimlerChrysler Revolving Auto Conduit LLC 5.24%, due 4/9/07 1,535,000 1,533,213 5.27%, due 4/23/07 2,000,000 1,993,559 Danaher Corp. 5.70%, due 4/2/07 1,500,000 1,499,762 Duke Energy Carolinas LLC
5.29%, due 5/18/07 1,000,000 993,093 FCAR Owner Trust I 5.25%, due 4/24/07 4,000,000 3,986,583 5.27%, due 4/3/07 1,000,000 999,707 FPL Group Capital, Inc. 5.28%, due 4/16/07 6,200,000 6,186,360 John Deere Capital Co. 5.25%, due 5/17/07 3,000,000 2,979,875 Lincoln National Corp. 5.45%, due 4/2/07 8,000,000 7,998,789 Motorola, Inc. 5.26%, due 4/30/07 2,000,000 1,991,526 5.26%, due 5/4/07 6,000,000 5,971,070 Nationwide Building Society 5.225%, due 6/14/07 7,000,000 6,924,818 PB Finance, Inc. (Delaware) 5.26%, due 4/27/07 3,936,000 3,921,048 5.26%, due 5/17/07 2,000,000 1,986,558 PepsiAmericas, Inc. 5.25%, due 5/8/07 2,000,000 1,989,208 Prudential Financial Corp. 5.23%, due 6/12/07 6,000,000 5,937,240 Southern Co. Funding Corp. 5.34%, due 4/10/07 2,400,000 2,396,796 5.35%, due 4/10/07 5,000,000 4,993,313 Telstra Corp., Ltd. 5.29%, due 4/11/07 1,000,000 998,530 Torchmark Corp. 5.29%, due 4/16/07 897,000 895,023 5.31%, due 4/10/07 5,000,000 4,993,362 5.32%, due 4/19/07 2,038,000 2,032,579 Verizon Communications, Inc. 5.29%, due 4/11/07 1,000,000 998,530 XTO Energy, Inc. 5.31%, due 4/27/07 1,000,000 996,165 ------------ Total Commercial Paper (Cost $105,030,797) 105,030,797 ------------ Corporate Bonds 37.2% American Express Bank 5.40%, due 11/21/07 (b) 7,000,000 7,004,408 American General Finance Corp. 5.48%, due 1/18/08 (b) 3,150,000 3,153,190 BellSouth Corp. 5.485%, due 11/15/07 (b) 6,000,000 6,003,070 Caterpillar Financial Services Corp. 3.10%, due 5/15/07 250,000 249,326 CIT Group, Inc. 5.58%, due 5/18/07 (b) 5,000,000 5,001,453 Citigroup, Inc. 5.42%, due 11/1/07 (b) 2,000,000 2,001,022 Countrywide Home Loans, Inc. 4.25%, due 12/19/07 1,000,000 992,442 5.625%, due 5/15/07 505,000 504,955 Dominion Resources, Inc. 5.65%, due 9/28/07 (b) 1,400,000 1,400,276
General Electric Capital Corp. 3.50%, due 8/15/07 400,000 397,216 8.75%, due 5/21/07 500,000 502,214 Genworth Financial, Inc. 5.505%, due 6/15/07 (b) 7,000,000 7,002,218 Hewlett-Packard Co. 5.50%, due 7/1/07 4,500,000 4,500,557 HSBC Finance Corp. 4.125%, due 3/11/08 4,000,000 3,959,768 IBM Canada Credit Services Co. 3.75%, due 11/30/07 (a) 400,000 395,500 International Lease Finance Corp. 3.125%, due 5/3/07 5,000,000 4,990,092 5.625%, due 6/1/07 350,000 350,108 John Deere Capital Corp. 4.50%, due 8/22/07 373,000 371,695 5.36%, due 4/16/07 (b) 5,000,000 5,000,091 Kimberly-Clark Corp. 7.10%, due 8/1/07 360,000 361,987 Prudential Insurance Co. of America 7.65%, due 7/1/07 (a) 600,000 603,161 Security Capital Group, Inc. 7.15%, due 6/15/07 5,000,000 5,017,683 Time Warner, Inc. 6.15%, due 5/1/07 1,500,000 1,500,689 Verizon Global Funding Corp. 6.125%, due 6/15/07 7,000,000 7,009,951 ------------ Total Corporate Bonds (Cost $68,273,072) 68,273,072 ------------ Total Fixed Income Securities (Cost $183,399,364) (c) 99.9% 183,399,364 Cash and Other Assets, Less Liabilities 0.1 150,275 ----------- ------------ Net Assets 100.0% $183,549,639 =========== ============
(a) May be sold to institutional investors only under Rule 144a or securities offered pursuant to Section 4(2) of the Securities Act of 1933, as amended. The total market value of these securities at March 31, 2007 is $2,520,002 which represents 1.4% of the Fund's net assets. (b) Floating/variable rate. Rate shown is the rate in effect at March 31, 2007. (c) At March 31, 2007, cost is identical for book and federal income tax purposes. INTERMEDIATE FIXED INCOME FUND PORTFOLIO OF INVESTMENTS+++ MARCH 31, 2007 (Unaudited)
PRINCIPAL AMOUNT VALUE ----------- ------------ Fixed Income Securities 100.0% Corporate Asset-Backed Security 1.1% Financials - 1.1% Newcastle Mortgage Securities Trust Series 2006-1 Class A1 5.39%, due 3/25/36 (a) $ 1,850,663 $ 1,850,896 ------------ Total Corporate Asset-Backed Security (Cost $1,850,663) 1,850,896 ------------ Corporate Bonds 28.6% Consumer Discretionary - 3.5% Cox Communications, Inc. 7.125%, due 10/1/12 980,000 1,056,521 DaimlerChrysler North American Holdings Corp. 6.50%, due 11/15/13 1,715,000 1,806,183 7.30%, due 1/15/12 275,000 296,846 Johnson Controls, Inc. 5.25%, due 1/15/11 895,000 896,263 Starwood Hotels & Resorts Worldwide, Inc. 7.875%, due 5/1/12 380,000 408,367 Tele-Communications, Inc. 9.80%, due 2/1/12 1,325,000 1,568,676 ------------ 6,032,856 ------------ Consumer Staples - 0.7% Diageo Finance B.V. 5.50%, due 4/1/13 330,000 332,160 Kraft Foods, Inc. 4.00%, due 10/1/08 930,000 912,779 ------------ 1,244,939 ------------ Energy - 2.9% Anadarko Petroleum Corp. 5.95%, due 9/15/16 595,000 596,253 Devon Financing Corp. 6.875%, due 9/30/11 405,000 430,848 Devon OEI Operating, Inc. 7.25%, due 10/1/11 410,000 439,894 Dominion Resources, Inc. 8.125%, due 6/15/10 1,135,000 1,236,238 EnCana Holdings Finance Corp. 5.80%, due 5/1/14 630,000 642,401 Pacific Gas & Electric Co. 4.20%, due 3/1/11 895,000 866,469
XTO Energy, Inc. 4.90%, due 2/1/14 675,000 651,391 ------------ 4,863,494 ------------ Financials - 16.3% Archstone-Smith Trust 5.75%, due 3/15/16 485,000 491,662 Assurant, Inc. 5.625%, due 2/15/14 355,000 354,730 Bank of America Corp. 4.875%, due 9/15/12 730,000 721,532 5.42%, due 3/15/17 (b) 400,000 395,847 Bank One Corp. 5.90%, due 11/15/11 2,200,000 2,260,832 Capital One Financial Corp. 6.15%, due 9/1/16 675,000 684,646 Citigroup, Inc. 5.00%, due 9/15/14 2,115,000 2,064,790 ERP Operating L.P. 6.625%, due 3/15/12 505,000 537,472 Goldman Sachs Group, Inc. (The) 4.50%, due 6/15/10 370,000 363,740 4.75%, due 7/15/13 720,000 693,940 HSBC Finance Corp. 5.875%, due 2/1/09 420,000 424,778 6.375%, due 10/15/11 1,205,000 1,256,102 6.75%, due 5/15/11 930,000 979,710 International Lease Finance Corp. 5.625%, due 9/20/13 595,000 606,472 iStar Financial, Inc. 5.50%, due 6/15/12 990,000 985,478 5.95%, due 10/15/13 755,000 764,216 Jefferies Group, Inc. 7.75%, due 3/15/12 740,000 808,235 John Deere Capital Corp. 5.65%, due 7/25/11 430,000 438,356 MBNA America Bank N.A. 7.125%, due 11/15/12 665,000 725,181 MetLife, Inc. 6.125%, due 12/1/11 1,145,000 1,194,558 Morgan Stanley 4.75%, due 4/1/14 745,000 707,591 ProLogis 5.50%, due 4/1/12 800,000 807,935 Prudential Financial, Inc. 4.50%, due 7/15/13 570,000 548,707 Realty Income Corp. 5.95%, due 9/15/16 740,000 759,319 Residential Capital LLC 6.375%, due 6/30/10 1,530,000 1,529,588 6.50%, due 4/17/13 1,520,000 1,505,569 SLM Corp. 5.375%, due 5/15/14 745,000 744,994 St. Paul Travelers Cos., Inc. (The) 6.25%, due 6/20/16 680,000 714,103 US Bank N.A. 6.375%, due 8/1/11 960,000 1,005,228
Wachovia Bank N.A. 4.80%, due 11/1/14 1,135,000 1,092,290 Wells Fargo & Co. 4.75%, due 2/9/15 765,000 733,949 Western Union Co. (The) 5.93%, due 10/1/16 1,070,000 1,072,301 ------------ 27,973,851 ------------ Health Care - 0.3% Wyeth 5.95%, due 4/1/37 465,000 457,956 ------------ Industrials - 0.8% International Lease Finance Corp. 5.75%, due 6/15/11 1,320,000 1,352,513 ------------ Materials - 0.4% BHP Billiton Finance USA, Ltd. 5.25%, due 12/15/15 710,000 702,289 ------------ Telecommunication Services - 1.4% Deutsche Telekom International Finance B.V. 5.75%, due 3/23/16 850,000 849,981 Sprint Nextel Corp. 6.00%, due 12/1/16 1,560,000 1,535,205 ------------ 2,385,186 ------------ Utilities - 2.3% Exelon Corp. 4.90%, due 6/15/15 655,000 612,046 FirstEnergy Corp. 6.45%, due 11/15/11 880,000 922,382 MidAmerican Energy Holdings 5.875%, due 10/1/12 955,000 983,199 Progress Energy, Inc. 7.75%, due 3/1/31 300,000 358,785 PSEG Power LLC 7.75%, due 4/15/11 980,000 1,062,801 ------------ 3,939,213 ------------ Total Corporate Bonds (Cost $48,702,874) 48,952,297 ------------ U.S. Government Securities 52.5% U.S. Government Agency Obligations 49.0% Federal Home Loan Bank - 5.5% 4.50%, due 5/21/07 275,000 274,693 4.75%, due 12/16/16 800,000 783,588 & 4.875%, due 11/27/13 5,500,000 5,488,868 5.375%, due 2/28/08 2,890,000 2,887,656 ------------ 9,434,805 ------------ Federal Home Loan Mortgage Corporation - 1.0% 5.125%, due 8/14/08 1,610,000 1,613,700 ------------
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Security) - 0.0% # 6.00%, due 2/1/11 13,574 13,696 ------------ Federal National Mortgage Association - 22.0% & 3.25%, due 2/15/09 15,330,000 14,884,188 & 4.25%, due 9/15/07 4,120,000 4,101,468 & 4.375%, due 3/15/13 10,390,000 10,116,909 4.875%, due 4/10/08 3,045,000 3,039,985 4.875%, due 12/15/16 3,185,000 3,149,984 5.125%, due 4/15/11 2,300,000 2,323,653 7.125%, due 1/15/30 100,000 124,152 ------------ 37,740,339 ------------ Federal National Mortgage Association (Mortgage Pass-Through Securities) - 20.5% 6.094%, due 10/1/36 (a) 1,901,854 1,929,044 6.124%, due 10/1/36 (a) 992,564 1,007,679 6.194%, due 9/1/36 (a) 2,530,975 2,573,325 & 6.50%, due 9/1/33 4,027,663 4,148,616 & 6.50%, due 4/1/37 TBA(c) 24,975,000 25,474,500 ------------ 35,133,164 ------------ Total U.S. Government Agency Obligations (Cost $83,806,039) 83,935,704 ------------ U.S. Treasury Obligations 3.5% United States Treasury Bond - 0.3% 8.125%, due 8/15/19 475,000 620,321 ------------ & United States Treasury Inflation Indexed Bond - 2.1% 2.375%, due 1/15/27 3,572,567 3,602,012 ------------ United States Treasury Strip - 1.1% (zero coupon), due 11/15/21 3,800,000 1,840,735 ------------ Total U.S. Treasury Obligations (Cost $6,051,238) 6,063,068 ------------ Total U.S. Government Securities (Cost $89,857,277) 89,998,772 ------------ Collateralized Mortgage Obligations 17.8% Federal National Mortgage Association - 0.0% # Series D Class 1 6.00%, due 4/1/09 381 379 ------------ Financials - 17.8% Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A4 5.633%, due 4/12/38 (a) 1,475,000 1,500,845 Commercial Mortgage Pass Through Certificates Series 2006-C8 Class A2B
5.248%, due 12/10/46 3,200,000 3,208,695 & Countrywide Alternative Loan Trust Series 2005-76 Class 2A1 5.983%, due 2/25/36 (a) 5,182,052 5,185,602 Greenwich Capital Commercial Funding Corp. Series 2005-GG5 Class A5 5.224%, due 4/10/37 (a) 1,615,000 1,604,557 Series 2004-GG1 Class A7 5.317%, due 6/10/36 (a) 2,300,000 2,307,487 GS Mortgage Securities Corp. Series 2005-GG4 Class A4 4.761%, due 7/10/39 2,578,125 2,481,252 Series 2004-GG2 Class A6 5.396%, due 8/10/38 (a) 1,675,000 1,683,473 & Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1 5.838%, due 5/25/36 (a) 3,422,105 3,461,330 Residential Accredit Loans, Inc. Series 2006-QA1 Class A21 5.986%, due 1/25/36 (a) 2,385,037 2,411,976 & Washington Mutual, Inc. Series 2006-AR7 Class 2A 5.963%, due 7/25/46 (a) 6,607,849 6,605,784 ------------ 30,451,001 ------------ Total Collateralized Mortgage Obligations (Cost $30,502,362) 30,451,380 ------------ Total Fixed Income Securities (Cost $170,913,176) 171,253,345 ------------ Short-Term Investments 13.6% U.S. Government Agencies - 13.6% Federal National Mortgage Association (Discount Notes) 5.12%, due 5/9/07 880,000 875,245 5.14%, due 6/6/07 18,295,000 18,122,768 5.27%, due 4/11/07 4,350,000 4,344,423 ------------ Total Short-Term Investments (Cost $23,341,194) 23,342,436 ------------ Total Investments (Cost $194,254,370) (d) 113.6% 194,595,781 Liabilities in Excess of Cash and Other Assets (13.6) (23,289,165) ----------- ------------ Net Assets 100.0% $171,306,616 =========== ============
- ---------- & Among the Fund's 10 largest holdings, excluding short-term investments. May be subject to change daily. # Less than one tenth of a percent. +++ Fifty percent of the Fund's assets are maintained to cover "senior securities transactions" which may include, but not limited to, forwards, TBA's, options and futures. This percentage is marked-to-market daily against the value of the Fund's "senior securities" holdings to ensure proper coverage for these transactions. (a) Floating/variable rate. Rate shown is the rate in effect at March 31, 2007. (b) May be sold to institutional investors only under Rule 144a or securities offered pursuant to Section 4(2) of the Securities Act of 1933, as amended. The total market value of these securities at March 31, 2007 is $395,847 which represents 0.2% of the Fund's net assets. (c) TBA: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. The market value of these securities at March 31, 2007 is $25,474,500. (d) Aggregate cost for federal income tax purposes is $194,572,455 and net unrealized appreciation is as follows: Gross unrealized appreciation $ 792,541 Gross unrealized depreciation (769,215) --------- Net unrealized appreciation $ 23,326 =========
FIXED INCOME FUND PORTFOLIO OF INVESTMENTS+++ MARCH 31, 2007 (Unaudited)
PRINCIPAL AMOUNT VALUE ----------- ----------- Fixed Income Securities 97.7% Corporate Bonds 39.0% Consumer Discretionary - 4.3% AT&T Broadband Corp. 9.455%, due 11/15/22 $150,000 $ 194,789 Cox Communications, Inc. 7.125%, due 10/1/12 355,000 382,719 DaimlerChrysler North American Holdings Corp. 6.50%, due 11/15/13 595,000 626,635 7.30%, due 1/15/12 285,000 307,640 Johnson Controls, Inc. 5.25%, due 1/15/11 445,000 445,628 News America, Inc. 5.30%, due 12/15/14 210,000 208,286 Starwood Hotels & Resorts Worldwide, Inc. 7.875%, due 5/1/12 145,000 155,824 Target Corp. 5.875%, due 3/1/12 220,000 227,370 Tele-Communications, Inc. 9.80%, due 2/1/12 340,000 402,528 ----------- 2,951,419 ----------- Consumer Staples - 2.2% Diageo Finance B.V. 5.30%, due 10/28/15 385,000 378,666 Kraft Foods, Inc. 4.00%, due 10/1/08 810,000 795,001 Safeway, Inc. 6.50%, due 3/1/11 295,000 306,495 ----------- 1,480,162 ----------- Energy - 4.5% Anadarko Petroleum Corp. 5.95%, due 9/15/16 340,000 340,716 ConocoPhillips 8.75%, due 5/25/10 460,000 510,584 Devon Financing Corp. 6.875%, due 9/30/11 225,000 239,360 Devon OEI Operating, Inc. 7.25%, due 10/1/11 225,000 241,405 Dominion Resources, Inc. 5.15%, due 7/15/15 370,000 360,248 EnCana Holdings Finance Corp. 5.80%, due 5/1/14 315,000 321,200 Halliburton Co. 5.50%, due 10/15/10 370,000 373,995 Valero Energy Corp.
6.875%, due 4/15/12 360,000 383,363 XTO Energy, Inc. 4.90%, due 2/1/14 295,000 284,682 ----------- 3,055,553 ----------- Financials - 19.4% Archstone-Smith Trust 5.75%, due 3/15/16 210,000 212,885 Assurant, Inc. 5.625%, due 2/15/14 260,000 259,802 Bank of America Corp. 4.875%, due 9/15/12 170,000 168,028 5.42%, due 3/15/17 (a) 200,000 197,923 Capital One Financial Corp. 6.15%, due 9/1/16 280,000 284,001 Citigroup, Inc. 5.625%, due 8/27/12 955,000 972,299 ERP Operating L.P. 6.625%, due 3/15/12 345,000 367,184 Goldman Sachs Group, Inc. (The) 5.25%, due 4/1/13 595,000 591,061 HSBC Finance Corp. 6.75%, due 5/15/11 890,000 937,572 7.00%, due 5/15/12 225,000 241,460 International Lease Finance Corp. 5.625%, due 9/20/13 235,000 239,531 iStar Financial, Inc. 5.50%, due 6/15/12 370,000 368,310 5.95%, due 10/15/13 285,000 288,479 Jefferies Group, Inc. 5.50%, due 3/15/16 155,000 151,678 7.75%, due 3/15/12 100,000 109,221 John Deere Capital Corp. 5.65%, due 7/25/11 540,000 550,493 JPMorgan Chase & Co. 5.125%, due 9/15/14 425,000 418,346 5.75%, due 1/2/13 225,000 230,753 7.125%, due 6/15/09 225,000 234,068 MBNA America Bank N.A. 7.125%, due 11/15/12 275,000 299,887 MBNA Corp. 7.50%, due 3/15/12 240,000 264,148 MetLife, Inc. 5.50%, due 6/15/14 125,000 125,890 6.125%, due 12/1/11 415,000 432,962 Morgan Stanley 4.75%, due 4/1/14 370,000 351,421 National Rural Utilities Cooperative Finance Corp. 7.25%, due 3/1/12 385,000 419,492 ProLogis 5.50%, due 4/1/12 325,000 328,224 Prudential Financial, Inc. 4.50%, due 7/15/13 440,000 423,563 Realty Income Corp. 5.95%, due 9/15/16 285,000 292,440 Residential Capital LLC 6.375%, due 6/30/10 600,000 599,839
6.50%, due 4/17/13 550,000 544,778 SLM Corp. 5.45%, due 4/25/11 435,000 440,254 St. Paul Travelers Cos., Inc. (The) 6.25%, due 6/20/16 315,000 330,798 US Bank N.A 6.375%, due 8/1/11 160,000 167,538 Wachovia Bank N.A. 4.80%, due 11/1/14 530,000 510,056 Wells Fargo & Co. 4.75%, due 2/9/15 565,000 542,067 Western Union Co. (The) 5.93%, due 10/1/16 410,000 410,882 ----------- 13,307,333 ----------- Health Care - 0.9% Abbott Laboratories 5.875%, due 5/15/16 185,000 191,382 Wyeth 5.95%, due 4/1/37 145,000 142,803 6.95%, due 3/15/11 275,000 292,375 ----------- 626,560 ----------- Industrials - 1.0% International Lease Finance Corp. 5.75%, due 6/15/11 160,000 163,941 5.875%, due 5/1/13 295,000 304,690 Northrop Grumman Corp. 7.125%, due 2/15/11 180,000 192,496 ----------- 661,127 ----------- Information Technology - 0.4% Cisco Systems, Inc. 5.25%, due 2/22/11 275,000 276,343 ----------- Materials - 0.3% BHP Billiton Finance USA, Ltd. 5.25%, due 12/15/15 215,000 212,665 ----------- Telecommunication Services - 3.4% Deutsche Telekom International Finance B.V. 5.75%, due 3/23/16 460,000 459,989 Sprint Capital Corp. 8.75%, due 3/15/32 365,000 430,524 Telefonica Europe B.V. 7.75%, due 9/15/10 655,000 705,803 Vodafone Group PLC 5.50%, due 6/15/11 730,000 737,856 ----------- 2,334,172 ----------- Utilities - 2.6% Duke Energy Corp. 6.25%, due 1/15/12 505,000 528,466 Exelon Corp. 4.90%, due 6/15/15 300,000 280,326 FirstEnergy Corp. Series C 7.375%, due 11/15/31 140,000 159,049
MidAmerican Energy Holdings Co. 6.125%, due 4/1/36 190,000 189,589 Pacific Gas & Electric Co. 6.05%, due 3/1/34 150,000 150,367 Progress Energy, Inc. 7.75%, due 3/1/31 130,000 155,474 Southern California Edison Co. 5.00%, due 1/15/14 330,000 324,028 ----------- 1,787,299 ----------- Total Corporate Bonds (Cost $26,639,616) 26,692,633 ----------- U.S. Government Securities 47.5% U.S. Government Agency Obligations 33.7% Federal National Mortgage Association - 12.0% 3.25%, due 2/15/09 350,000 339,822 & 4.375%, due 3/15/13 1,605,000 1,562,814 & 4.875%, due 12/15/16 2,955,000 2,922,513 & 5.125%, due 4/15/11 1,270,000 1,283,061 6.375%, due 6/15/09 860,000 886,593 7.125%, due 1/15/30 970,000 1,204,273 ----------- 8,199,076 ----------- Federal National Mortgage Association (Mortgage Pass-Through Securities) - 21.7% 6.094%, due 10/1/36 (b) 821,789 833,538 6.124%, due 10/1/36 (b) 446,654 453,456 6.194%, due 9/1/36 (b) 1,058,408 1,076,118 6.50%, due 9/1/33 686,741 707,364 & 6.50%, due 4/1/37 TBA (c) 11,575,000 11,806,500 ----------- 14,876,976 ----------- Total U.S. Government Agency Obligations (Cost $23,073,302) 23,076,052 ----------- U.S. Treasury Obligations 13.8% United States Treasury Bonds - 10.3% & 4.50%, due 2/15/36 (d) 2,655,000 2,503,166 & 8.125%, due 8/15/19 3,470,000 4,531,605 ----------- 7,034,771 ----------- & United States Treasury Inflation Indexed Bond - 2.0% 2.375%, due 1/15/27 1,384,871 1,396,286 ----------- United States Treasury Strips - 1.5% (zero coupon), due 8/15/19 630,000 346,167 (zero coupon), due 11/15/21 1,450,000 702,386 ----------- 1,048,553 ----------- Total U.S. Treasury Obligations (Cost $9,381,166) 9,479,610 ----------- Total U.S. Government Securities (Cost $32,454,468) 32,555,662 -----------
Collateralized Mortgage Obligations 11.2% Federal Home Loan Mortgage Corporation - 0.1% Series 2113 Class QE 6.00%, due 11/15/27 53,813 53,842 ------------ Financials - 11.1% Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A4 5.633%, due 4/12/38 (b) 575,000 585,075 & Commercial Mortgage Pass Through Certificates Series 2006-C8 Class A2B 5.248%, due 12/10/46 1,575,000 1,579,280 Greenwich Capital Commercial Funding Corp. & Series 2005-GG5 Class A5 5.224%, due 4/10/37 (b) 1,345,000 1,336,303 Series 2004-GG1 Class A7 5.317%, due 6/10/36 (b) 950,000 953,092 GS Mortgage Securities Corp. Series 2004-GG2 Class A6 5.396%, due 8/10/38 (b) 700,000 703,541 & Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1 5.838%, due 5/25/36 (b) 1,427,627 1,443,991 Residential Accredit Loans, Inc. Series 2006-QA1 Class A21 5.986%, due 1/25/36 (b) 1,033,516 1,045,190 ------------ 7,646,472 ------------ Total Collateralized Mortgage Obligations (Cost $7,731,205) 7,700,314 ------------ Total Fixed Income Securities (Cost $66,825,289) 66,948,609 ------------
SHARES ----------- Short-Term Investments 21.0% Investment Company - 1.0% BGI Institutional Money Market Fund (e) 686,878 686,878 ------------ Total Investment Company (Cost $686,878) 686,878 ------------
PRINCIPAL AMOUNT ----------- Repurchase Agreement - 1.9% Morgan Stanley & Co. 5.54%, dated 3/30/07 due 4/2/07 Proceeds at Maturity $1,328,752 (Collateralized by various Corporate Bonds, with rates between 0.00%-8.38% and maturity dates between 8/1/07-9/15/99, with a Principal Amount of $1,350,926 and a Market Value of $1,373,310) (e) $ 1,328,139 1,328,139 ------------ Total Repurchase Agreement (Cost $1,328,139) 1,328,139 ------------
Time Deposit - 0.8% Citigroup, Inc. 5.38%, due 4/2/07 (e) 553,391 553,391 ------------ Total Time Deposit (Cost $553,391) 553,391 ------------ U.S. Government Agency - 17.3% Federal National Mortgage Association (Discount Notes) 5.12%, due 5/9/07 1,050,000 1,044,325 5.14%, due 6/6/07 7,245,000 7,176,794 5.27%, due 4/11/07 3,600,000 3,595,385 ------------ Total U.S. Government Agency (Cost $11,815,476) 11,816,504 ------------ Total Short-Term Investments (Cost $14,383,884) 14,384,912 ------------ Total Investments (Cost $81,209,173) (f) 118.7% 81,333,521 Liabilities in Excess of Cash and Other Assets (18.7) (12,810,046) ----------- ------------ Net Assets 100.0% $ 68,523,475 =========== ============
- ---------- & Among the Fund's 10 largest holdings, excluding short-term investments. May be subject to change daily. +++ Fifty percent of the Fund's assets are maintained to cover "senior securities transactions" which may include, but are not limited to, forwards, TBA's, options and futures. This percentage is marked-to-market daily against the value of the Fund's "senior securities" holdings to ensure proper coverage for these transactions. (a) May be sold to institutional investors only under Rule 144a or securities offered pursuant to Section 4(2) of the Securities Act of 1933, as amended. The total market value of these securities at March 31, 2007 is $197,923 which represents 0.3% of the Fund's net assets. (b) Floating/variable rate. Rate shown is the rate in effect at March 31, 2007. (c) TBA: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. The market value of these securities at March 31, 2007 is $11,806,500. (d) Represents a security, or a portion thereof, which is out on loan. (e) Represents a security, or a portion thereof, purchased with cash collateral received for securities on loan. (f) Aggregate cost for federal income tax purposes is $81,341,987 and net unrealized depreciation is as follows: Gross unrealized appreciation $ 409,032 Gross unrealized depreciation (417,498) ------------ Net unrealized depreciation $ (8,466) ============
HIGH YIELD FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2007 (Unaudited)
PRINCIPAL AMOUNT Value ----------- ------------ Long-Term Bonds 94.1% Corporate Bonds 89.2% Aerospace & Defense - 1.2% DRS Technologies, Inc. 7.625%, due 2/1/18 $ 464,000 $ 482,560 K&F Acquisition, Inc. 7.75%, due 11/15/14 280,000 297,500 Moog, Inc. 6.25%, due 1/15/15 243,000 239,355 TransDigm, Inc. 7.75%, due 7/15/14 332,000 342,790 7.75%, due 7/15/14 (a) 120,000 123,900 ------------ 1,486,105 ------------ Auto Components - 1.0% Accuride Corp. 8.50%, due 2/1/15 292,000 294,190 Commercial Vehicle Group, Inc. 8.00%, due 7/1/13 284,000 286,840 Cooper Standard Automotive, Inc. 8.375%, due 12/15/14 (b) 365,000 305,687 Lear Corp. 8.50%, due 12/1/13 (b) 403,000 389,399 TRW Automotive, Inc. 9.375%, due 2/15/13 250 270 ------------ 1,276,386 ------------ Auto Manufacturers - 1.2% Ford Motor Co. 7.45%, due 7/16/31 (b) 250,000 193,437 & General Motors Corp. 8.375%, due 7/15/33 (b) 1,440,000 1,292,400 ------------ 1,485,837 ------------ Building Materials & Components - 0.6% Ahern Rentals, Inc. 9.25%, due 8/15/13 350,000 365,312 Goodman Global Holding Co., Inc. Series B 8.36%, due 6/15/12 (c) 365,000 367,737 ------------ 733,049 ------------ Building Products - 2.0% Compression Polymers Corp. 10.50%, due 7/1/13 305,000 320,250 Covalence Specialty Materials Corp. 10.25%, due 3/1/16 (a) 398,000 398,000 Da-Lite Screen Co., Inc. 9.50%, due 5/15/11 402,000 420,090 KI Holdings, Inc. 9.875%, beginning 11/15/09 (zero coupon), due 11/15/14 277,000 233,026 Nortek, Inc. 8.50%, due 9/1/14 453,000 440,542 NTK Holdings, Inc.
(zero coupon), due 3/1/14 (b) 306,000 221,850 Ply Gem Industries, Inc. 9.00%, due 2/15/12 (b) 457,000 396,447 ------------ 2,430,205 ------------ Capital Markets - 3.4% & TRAINS HY-2006-1 7.548%, due 5/1/16 (a)(d) 4,115,250 4,184,469 ------------ Chemicals - 3.8% Crystal U.S. Holdings 3 LLC/Crystal U.S. 3 Corp. Series B (zero coupon), due 10/1/14 243,000 225,686 Huntsman International LLC 7.375%, due 1/1/15 (a)(b) 391,000 396,865 Innophos, Inc. 8.875%, due 8/15/14 543,000 562,005 Invista 9.25%, due 5/1/12 (a) 560,000 596,400 Lyondell Chemical Co. 8.25%, due 9/15/16 571,000 610,970 MacDermid, Inc. 9.125%, due 7/15/11 313,000 328,065 9.50%, due 4/15/17 (a) 240,000 246,000 Mosaic Global Holdings, Inc. 7.375%, due 12/1/14 (a) 144,000 150,120 7.625%, due 12/1/16 (a)(b) 133,000 140,315 PQ Corp. 7.50%, due 2/15/13 527,000 532,270 Rockwood Specialties Group, Inc. 7.50%, due 11/15/14 195,000 197,925 10.625%, due 5/15/11 191,000 201,505 Westlake Chemical Corp. 6.625%, due 1/15/16 479,000 467,025 ------------ 4,655,151 ------------ Coal - 0.2% International Coal Group 10.25%, due 7/15/14 280,000 281,400 ------------ Commercial Services & Supplies - 8.0% Allied Waste North America 6.875%, due 6/1/17 460,000 461,150 & 7.875%, due 4/15/13 1,298,000 1,346,675 American Railcar Industries, Inc. 7.50%, due 3/1/14 (a) 390,000 400,725 Aramark Corp. 8.50%, due 2/1/15 (a) 509,000 529,360 Ashtead Capital, Inc. 9.00%, due 8/15/16 (a) 107,000 113,955 Cardtronics, Inc. 9.25%, due 8/15/13 393,000 412,650 Geo Group, Inc. (The) 8.25%, due 7/15/13 435,000 453,487 H&E Equipment Services 8.375%, due 7/15/16 461,000 489,812 Hertz Corp. 8.875%, due 1/1/14 535,000 576,462 Insurance Auto Auctions, Inc. 11.00%, due 4/1/13 424,000 489,720 Mac-Gray Corp. 7.625%, due 8/15/15 459,000 468,180 Mobile Mini, Inc. 9.50%, due 7/1/13 297,000 317,790 Mobile Services Group, Inc. 9.75%, due 8/1/14 (a) 535,000 565,762
RBS Global, Inc., & Rexnord Corp. 9.50%, due 8/1/14 150,000 156,000 Rent-A-Center, Inc. Series B 7.50%, due 5/1/10 461,000 464,457 Rental Services Corp. 9.50%, due 12/1/14 (a) 243,000 258,795 Service Corp. International 7.00%, due 6/15/17 638,000 642,785 United Rentals North America, Inc. 6.50%, due 2/15/12 428,000 426,930 Waste Services, Inc. 9.50%, due 4/15/14 524,000 548,890 WCA Waste Corp. 9.25%, due 6/15/14 597,000 634,312 ------------ 9,757,897 ------------ Construction Materials - 0.4% Texas Industries, Inc. 7.25%, due 7/15/13 88,000 90,640 U.S. Concrete, Inc. 8.375%, due 4/1/14 369,000 374,535 ------------ 465,175 ------------ Containers & Packaging - 2.1% AEP Industries, Inc. 7.875%, due 3/15/13 129,000 131,580 Berry Plastics Holding Corp. 8.875%, due 9/15/14 435,000 444,787 Crown Americas LLC/Crown Americas Capital Corp. 7.625%, due 11/15/13 380,000 390,925 Graham Packaging Co., Inc. 8.50%, due 10/15/12 144,000 146,160 9.875%, due 10/15/14 (b) 195,000 198,900 Owens-Brockway Glass Container, Inc. 7.75%, due 5/15/11 625,000 645,312 Plastipak Holdings, Inc. 8.50%, due 12/15/15 (a) 265,000 280,900 Pregis Corp. 12.375%, due 10/15/13 (a) 269,000 295,900 ------------ 2,534,464 ------------ Diversified Financial Services - 7.3% Altra Industrial Motion, Inc. 9.00%, due 12/1/11 369,000 383,760 BCP Crystal U.S. Holdings Corp. 9.625%, due 6/15/14 103,000 117,000 Couche-Tard U.S. L.P. 7.50%, due 12/15/13 391,000 401,752 Ford Motor Credit Co. 8.00%, due 12/15/16 324,000 311,767 & 9.875%, due 8/10/11 1,412,000 1,495,314 General Motors Acceptance Corp. 6.125%, due 8/28/07 350,000 349,792 & 6.875%, due 9/15/11 936,000 936,907 Global Cash Access LLC/Global Cash Finance Corp. 8.75%, due 3/15/12 218,000 228,355 Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Notes Co. 8.50%, due 4/1/15 (a) 96,000 99,720 8.875%, due 4/1/15 (a) 288,000 297,720 9.75%, due 4/1/17 (a)(b) 96,000 100,320 Idearc, Inc. 8.00%, due 11/15/16 (a) 571,000 587,416 Innophos Investments Holdings, Inc. 13.374%, due 2/15/15 (c)(e) 102,332 106,937 JOSTENS IH Corp. 7.625%, due 10/1/12 535,000 544,362
KRATON Polymers LLC/KRATON Polymers Capital Corp. 8.125%, due 1/15/14 406,000 406,507 Nalco Finance Holdings, Inc. 9.00%, beginning 2/1/09 (zero coupon), due 2/1/14 299,000 263,120 PGS Solutions, Inc. 9.625%, due 2/15/15 (a) 435,000 438,537 Pinnacle Foods LLC/Pinnacle Foods Financial Corp. 9.25%, due 4/1/15 (a) 246,000 241,695 10.625%, due 4/1/17 (a) 99,000 97,391 PNA Intermediate Holdings Corp. 12.36%, due 2/15/13 (a) 270,000 276,750 Rainbow National Services LLC 10.375%, due 9/1/14 (a) 229,000 256,194 Snoqualmie Entertainment Authority 9.125%, due 2/1/15 (a) 185,000 190,781 Southern Star Central Corp. 6.75%, due 3/1/16 162,000 162,000 Standard Aero Holdings, Inc. 8.25%, due 9/1/14 278,000 298,155 Yankee Acquisition Corp. 8.50%, due 2/15/15 (a) 150,000 151,875 9.75%, due 2/15/17 (a) 100,000 101,250 ------------ 8,845,377 ------------ Diversified Telecommunication Services - 1.7% Cincinnati Bell, Inc. 8.375%, due 1/15/14 428,000 437,630 GCI, Inc. 7.25%, due 2/15/14 479,000 479,000 Qwest Capital Funding, Inc. 6.875%, due 7/15/28 682,000 644,490 Time Warner Telecommunications Holdings, Inc. 9.25%, due 2/15/14 468,000 500,760 ------------ 2,061,880 ------------ Electric Utilities - 2.6% CMS Energy Corp. 8.50%, due 4/15/11 767,000 834,112 Edison Mission Energy 7.50%, due 6/15/13 848,000 875,560 Inergy, L.P./Inergy Finance Corp. 6.875%, due 12/15/14 387,000 381,195 Mirant North America LLC 7.375%, due 12/31/13 488,000 500,200 Sierra Pacific Resources 6.75%, due 8/15/17 516,000 526,733 ------------ 3,117,800 ------------ Electronic Equipment & Instruments - 0.4% Itron, Inc. 7.75%, due 5/15/12 520,000 534,300 ------------ Energy Equipment & Services - 0.3% Pride International, Inc. 7.375%, due 7/15/14 317,000 324,925 ------------ Engineering & Construction - 0.3% Esco Corp. 8.625%, due 12/15/13 (a) 323,000 342,380 ------------ Food & Staples Retailing - 0.3% Dole Foods Co. 7.25%, due 6/15/10 44,000 42,020 Stater Brothers Holdings, Inc.
8.125%, due 6/15/12 (b) 273,000 281,190 ------------ 323,210 ------------ Food Products - 0.7% Del Monte Corp. 8.625%, due 12/15/12 280,000 291,200 Reddy Ice Holdings, Inc. 10.50%, beginning 11/1/08 (zero coupon), due 11/1/12 638,000 580,580 ------------ 871,780 ------------ Health Care Equipment & Supplies - 1.8% Advanced Medical Optics, Inc. 7.50%, due 5/1/17 (a) 545,000 549,087 Cooper Cos., Inc. (The) 7.125%, due 2/15/15 (a) 400,000 406,000 Fresenius Medical Capital Trust IV 7.875%, due 6/15/11 240,000 252,000 Hanger Orthopedic Group, Inc. 10.25%, due 6/1/14 218,000 231,625 Norcross Safety Products LLC Series B 9.875%, due 8/15/11 295,000 312,700 Omnicare, Inc. 6.875%, due 12/15/15 271,000 273,371 Safety Products Holdings, Inc. Series B 11.75%, due 1/1/12 (e) 120,017 127,818 ------------ 2,152,601 ------------ Health Care Providers & Services - 3.4% Concentra Operating Corp. 9.125%, due 6/1/12 332,000 354,410 9.50%, due 8/15/10 203,000 214,165 DaVita, Inc. 7.25%, due 3/15/15 258,000 260,902 HCA, Inc. 5.75%, due 3/15/14 394,000 336,377 6.25%, due 2/15/13 44,000 39,985 9.25%, due 11/15/16 (a) 549,000 592,234 IASIS Healthcare LLC 8.75%, due 6/15/14 295,000 305,325 Res-Care, Inc. 7.75%, due 10/15/13 431,000 439,620 Tenet Healthcare Corp. 6.50%, due 6/1/12 111,000 102,397 7.375%, due 2/1/13 44,000 40,865 9.25%, due 2/1/15 442,000 437,580 9.875%, due 7/1/14 111,000 112,110 Triad Hospitals, Inc. 7.00%, due 11/15/13 147,000 153,431 Vanguard Health Holding Co. II 9.00%, due 10/1/14 240,000 243,000 VWR International, Inc. 6.875%, due 4/15/12 177,000 178,770 8.00%, due 4/15/14 273,000 284,602 ------------ 4,095,773 ------------ Hotels, Restaurants & Leisure - 6.7% American Casino & Entertainment Properties LLC 7.85%, due 2/1/12 398,000 413,920 Herbst Gaming, Inc. 8.125%, due 6/1/12 457,000 461,570 Inn of the Mountain Gods Resort & Casino 12.00%, due 11/15/10 320,000 348,000
Isle of Capri Casinos, Inc. 7.00%, due 3/1/14 166,000 162,680 9.00%, due 3/15/12 295,000 307,537 Majestic Star Casino LLC/ Majestic Star Casino Capital Corp. II 9.75%, due 1/15/11 580,000 552,450 Mandalay Resort Group 6.375%, due 12/15/11 571,000 573,855 MGM Mirage 5.875%, due 2/27/14 369,000 343,170 Mohegan Tribal Gaming Authority 7.125%, due 8/15/14 221,000 224,315 Pinnacle Entertainment, Inc. 8.75%, due 10/1/13 339,000 360,187 Pokagon Gaming Authority 10.375%, due 6/15/14 (a) 324,000 357,210 San Pasqual Casino 8.00%, due 9/15/13 (a) 387,000 398,126 Scientific Games Corp. 6.25%, due 12/15/12 424,000 415,520 Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC 7.848%, due 3/15/14 (a) 255,000 260,100 Seneca Gaming Corp. 7.25%, due 5/1/12 332,000 334,075 Six Flags, Inc. 8.875%, due 2/1/10 (b) 103,000 103,772 9.75%, due 4/15/13 (b) 118,000 112,395 Station Casinos, Inc. 7.75%, due 8/15/16 406,000 416,657 TDS Investor Corp. 9.985%, due 9/1/14 (a)(c) 566,000 577,320 Tunica-Biloxi Gaming Authority 9.00%, due 11/15/15 (a) 290,000 308,125 Turning Stone Resort Casino Enterprise 9.125%, due 12/15/10 (a) 181,000 183,715 9.125%, due 9/15/14 (a) 269,000 276,397 Vail Resorts, Inc. 6.75%, due 2/15/14 273,000 273,682 Wynn Las Vegas LLC 6.625%, due 12/1/14 424,000 419,760 ------------ 8,184,538 ------------ Household Durables - 2.9% ALH Finance LLC 8.50%, due 1/15/13 (b) 553,000 551,617 Beazer Homes USA, Inc. 6.50%, due 11/15/13 288,000 257,400 K. Hovnanian Enterprises, Inc. 8.875%, due 4/1/12 (b) 313,000 301,263 KB Home 5.75%, due 2/1/14 360,000 321,816 Norcraft Cos., L.P./Norcraft Finance Corp. 9.00%, due 11/1/11 129,000 132,870 Norcraft Holdings L.P. 9.75%, beginning 9/1/08 (zero coupon), due 9/1/12 361,000 324,900 Sealy Mattress Co. 8.25%, due 6/15/14 424,000 446,260 Simmons Co. 7.875%, due 1/15/14 302,000 309,550 10.00%, beginning 12/15/09 (zero coupon), due 12/15/14 (b) 428,000 352,030 Stanley-Martin Communities LLC 9.75%, due 8/15/15 546,000 489,353 ------------ 3,487,059 ------------ Household Products - 1.1% American Greetings Corp.
7.375%, due 6/1/16 487,000 502,219 JohnsonDiversey Holdings, Inc. 10.67%, beginning 5/15/07 (zero coupon), due 5/15/13 421,000 434,683 JohnsonDiversey, Inc. Series B 9.625%, due 5/15/12 353,000 368,885 ------------ 1,305,787 ------------ IT Services - 1.8% Activant Solutions, Inc. 9.50%, due 5/1/16 284,000 279,740 Iron Mountain, Inc. 8.75%, due 7/15/18 344,000 369,800 Sungard Data Systems, Inc. 9.125%, due 8/15/13 423,000 453,668 UGS Capital Corp. II 10.348%, due 6/1/11 (a)(c)(e) 619,368 630,207 UGS Corp. 10.00%, due 6/1/12 468,000 511,875 ------------ 2,245,290 ------------ Leisure Equipment & Products - 0.8% Leslie's Poolmart 7.75%, due 2/1/13 483,000 487,830 True Temper Sports, Inc. 8.375%, due 9/15/11 553,000 492,170 ------------ 980,000 ------------ Machinery - 1.3% Baldor Electric Co. 8.625%, due 2/15/17 (b) 310,000 327,825 Columbus McKinnon Corp. 8.875%, due 11/1/13 684,000 725,040 Gardner Denver, Inc. 8.00%, due 5/1/13 328,000 346,040 Mueller Group, Inc. 10.00%, due 5/1/12 65,000 70,200 Mueller Holdings, Inc. 14.75%, beginning 4/15/09 (zero coupon), due 4/15/14 204,000 185,640 ------------ 1,654,745 ------------ Machinery & Engineering - 0.2% Douglas Dynamics LLC 7.75%, due 1/15/12 (a) 270,000 251,100 ------------ Media - 9.1% Affinity Group, Inc. 9.00%, due 2/15/12 332,000 341,130 AMC Entertainment, Inc. 8.00%, due 3/1/14 258,000 262,515 CBD Media Holdings 9.25%, due 7/15/12 498,000 521,655 & CCH I LLC 11.00%, due 10/1/15 967,000 1,003,263 CCH II LLC/CCH II Capital Corp. 10.25%, due 9/15/10 369,000 389,295 CCO Holdings LLC/CCO Holdings Capital Corp. 8.75%, due 11/15/13 147,000 152,145 CSC Holdings, Inc. 6.75%, due 4/15/12 (a) 608,000 603,440 7.625%, due 7/15/18 468,000 472,680 Dex Media, Inc. 8.00%, due 11/15/13 91,000 304,823 9.00%, beginning 11/15/08 (zero coupon), due 11/15/13 413,000 384,606
DirectTV Holdings, Inc. 8.375%, due 3/15/13 387,000 407,801 EchoStar DBS Corp. 5.75%, due 10/1/08 465,000 465,581 Mediacom Broadband LLC 8.50%, due 10/15/15 (a) 111,000 113,498 8.50%, due 10/15/15 295,000 301,638 Medianews Group, Inc. 6.375%, due 4/1/14 520,000 456,300 Nexstar Finance Holdings LLC 11.375%, beginning 4/1/08 (zero coupon), due 4/1/13 343,000 331,853 Nexstar Finance, Inc. 7.00%, due 1/15/14 295,000 283,200 PanAmSat Corp. 9.00%, due 8/15/14 257,000 278,203 R.H. Donnelley Corp. 8.875%, due 1/15/16 468,000 497,250 River Rock Entertainment Authority 9.75%, due 11/1/11 221,000 235,365 Salem Communciations Corp. 7.75%, due 12/15/10 560,000 571,200 Sinclair Broadcast Group, Inc. 8.00%, due 3/15/12 553,000 572,355 Umbrella Acquisition 9.75%, due 3/15/15 (a)(b)(e) 560,000 557,900 Vertis, Inc. Series B 10.875%, due 6/15/09 (b) 269,000 271,690 13.50%, due 12/7/09 (a) 221,000 208,845 Warner Music Group 7.375%, due 4/15/14 332,000 316,230 WMG Holdings Corp. 9.50%, beginning 12/15/09 (zero coupon), due 12/15/14 446,000 341,190 Young Broadcasting, Inc. 8.75%, due 1/15/14 74,000 69,005 10.00%, due 3/1/11 375,000 369,375 ------------ 11,084,031 ------------ Metals & Mining - 2.8% AK Steel Corp. 7.875%, due 2/15/09 440,000 440,000 Aleris International, Inc. 9.00%, due 12/15/14 (a) 170,000 179,350 Century Aluminum Co. 7.50%, due 8/15/14 350,000 359,625 Chaparral Steel Co. 10.00%, due 7/15/13 279,000 311,085 Freeport-McMoRan Copper & Gold, Inc. 8.25%, due 4/1/15 490,000 527,363 8.375%, due 4/1/17 490,000 529,813 International Steel Group, Inc. 6.50%, due 4/15/14 258,000 268,643 PNA Group, Inc. 10.75%, due 9/1/16 (a) 269,000 289,175 Steel Dynamics, Inc. 6.75%, due 4/1/15 (a) 480,000 480,600 ------------ 3,385,654 ------------ Multiline Retail - 0.4% Neiman-Marcus Group, Inc. 9.00%, due 10/15/15 (e) 461,000 504,795 ------------ Multi-Utilities & Unregulated Power - 2.6% AES Corp. (The)
8.75%, due 5/15/13 (a) 575,000 612,375 NRG Energy, Inc. 7.25%, due 2/1/14 273,000 279,825 7.375%, due 2/1/16 630,000 647,325 Reliant Energy, Inc. 6.75%, due 12/15/14 313,000 330,606 9.50%, due 7/15/13 203,000 221,016 & Williams Cos., Inc. 7.625%, due 7/15/19 1,032,000 1,122,300 ------------ 3,213,447 ------------ Oil & Gas - 7.4% Allis-Chalmers Energy, Inc. 8.50%, due 3/1/17 105,000 103,425 9.00%, due 1/15/14 369,000 371,768 Chaparral Energy, Inc. 8.50%, due 12/1/15 535,000 528,313 Chesapeake Energy Corp. 6.50%, due 8/15/17 369,000 364,388 6.625%, due 1/15/16 358,000 360,685 6.875%, due 1/15/16 295,000 298,688 Complete Production Services, Inc. 8.00%, due 12/15/16 (a) 462,000 473,550 Comstock Resources, Inc. 6.875%, due 3/1/12 284,000 275,480 Denbury Resources, Inc. 7.50%, due 12/15/15 407,000 411,070 & Dynegy Holdings, Inc. 8.375%, due 5/1/16 859,000 893,360 Encore Acquisition Co. 7.25%, due 12/1/17 424,000 402,800 Ferrellgas L.P. 6.75%, due 5/1/14 350,000 343,000 Hilcorp Energy I L.P. 9.00%, due 6/1/16 (a) 291,000 308,460 MarkWest Energy Partners, L.P. Series B 6.875%, due 11/1/14 590,000 572,300 Plains Exploration & Production Co. 7.00%, due 3/15/17 375,000 376,875 SESI LLC 6.875%, due 6/1/14 483,000 479,378 Stone Energy Corp. 8.10%, due 7/15/10 (a)(c) 634,000 634,000 Swift Energy Co. 7.625%, due 7/15/11 203,000 208,075 9.375%, due 5/1/12 221,000 231,498 Targa Resources, Inc. 8.50%, due 11/1/13 (a) 535,000 545,700 Transcontinental Gas Pipeline Corp. 6.40%, due 4/15/16 560,000 577,500 Whiting Petroleum Corp. 7.00%, due 2/1/14 218,000 212,550 ------------ 8,972,863 ------------ Paper & Forest Products - 1.7% Appleton Papers, Inc. 8.125%, due 6/15/11 350,000 359,625 Buckeye Technologies, Inc. 8.00%, due 10/15/10 406,000 403,970 & Georgia-Pacific Corp. 8.125%, due 5/15/11 1,198,000 1,257,900 ------------ 2,021,495 ------------ Pharmaceuticals - 0.4% NBTY, Inc. 7.125%, due 10/1/15 479,000 481,994 ------------
Real Estate - 1.2% American Real Estate Partners, L.P. 7.125%, due 2/15/13 568,000 560,900 Ashton Woods USA LLC 9.50%, due 10/1/15 489,000 465,773 Host Marriott L.P. 7.125%, due 11/1/13 391,000 399,798 ------------ 1,426,471 ------------ Semiconductors & Semiconductor Equipment - 0.7% Amkor Technologies, Inc. 9.25%, due 6/1/16 535,000 557,738 Freescale Semiconductor, Inc. 8.875%, due 12/15/14 (a) 133,000 133,166 9.125%, due 12/15/14 (a) 144,000 142,920 ------------ 833,824 ------------ Specialty Retail - 1.7% Asbury Automotive Group, Inc. 7.625%, due 3/15/17 (a) 370,000 370,925 AutoNation, Inc. 7.36%, due 4/15/13 (c) 428,000 432,280 General Nutrition Centers, Inc. 9.796%, due 3/15/14 (a) 540,000 529,200 Lazy Days RV Center, Inc. 11.75%, due 5/15/12 380,000 389,500 Nebraska Book Co., Inc. 8.625%, due 3/15/12 184,000 185,380 United Auto Group, Inc. 7.75%, due 12/15/16 (a) 144,000 145,440 ------------ 2,052,725 ------------ Telecommunications - 1.2% MetroPCS Wireless, Inc. 9.25%, due 11/1/14 (a) 258,000 272,835 Qwest Communications International, Inc. 7.50%, due 2/15/14 660,000 679,800 Windstream Corp. 7.00%, due 3/15/19 (a) 470,000 470,000 ------------ 1,422,635 ------------ Textiles, Apparel & Luxury Goods - 0.3% Collins & Aikman Floor Cover Series B 9.75%, due 2/15/10 354,000 360,195 ------------ Transportation Infrastructure - 0.4% Bristow Group, Inc. 6.125%, due 6/15/13 481,000 458,153 ------------ Wireless Telecommunication Services - 1.8% & American Tower Corp. 7.125%, due 10/15/12 866,000 891,980 Dobson Communications Corp. 8.875%, due 10/1/13 (b) 184,000 189,520 Rural Cellular Corp. 8.25%, due 3/15/12 100,000 104,500 9.75%, due 1/15/10 (b) 461,000 474,830 Syniverse Technologies Series B 7.75%, due 8/15/13 514,000 505,005 ------------ 2,165,835 ------------ Total Corporate Bonds (Cost $107,479,582) 108,452,800 ------------
Foreign Corporate Bonds 4.9% Chemicals - 0.3% Ineos Group Holdings PLC 8.50%, due 2/15/16 (a) 428,000 409,810 ------------ Diversified Financial Services - 0.4% JSG Funding PLC 9.625%, due 10/1/12 243,000 258,188 Nell AF SARL 8.375%, due 8/15/15 (a) 273,000 284,603 ------------ 542,791 ------------ Electronic Equipment & Instruments - 0.4% Flextronics International, Ltd. 6.50%, due 5/15/13 461,000 456,390 ------------ Hotels, Restaurants & Leisure - 0.3% Great Canadian Gaming Corp. 7.25%, due 2/15/15 (a) 395,000 397,469 ------------ IT Services - 0.3% Seagate Technology HDD Holdings 6.80%, due 10/1/16 317,000 318,585 ------------ Metals & Mining - 0.7% Novelis, Inc. 7.25%, due 2/15/15 465,000 491,738 Russel Metals, Inc. 6.375%, due 3/1/14 387,000 370,553 ------------ 862,291 ------------ Oil & Gas - 0.8% Compagnie Generale de Geophysique-Veritas 7.50%, due 5/15/15 50,000 51,500 7.75%, due 5/15/17 100,000 104,250 Compton Petroleum Finance Corp. 7.625%, due 12/1/13 380,000 371,450 OPTI Canada, Inc. 8.25%, due 12/15/14 (a) 483,000 502,320 ------------ 1,029,520 ------------ Semiconductors & Semiconductor Equipment - 0.6% Magnachip Semiconductor S.A. 8.605%, due 12/15/11 (c) 431,000 369,583 SENSATA TECHNOLOGIES B.V. 8.00%, due 5/1/14 347,000 344,831 ------------ 714,414 ------------ Specialty Retail - 0.4% Dollarama Group, L.P. 8.875%, due 8/15/12 409,000 426,383 ------------ Wireless Telecommunication Services - 0.7% Inmarsat Finance PLC 7.625%, due 6/30/12 216,000 225,180 10.375%, beginning 11/15/08 (zero coupon), due 11/15/12 369,000 348,705 Intelsat Bermuda, Ltd. 9.25%, due 6/15/16 (a) 221,000 244,758 ------------
818,643 ------------ Total Foreign Corporate Bonds (Cost $6,012,425) 5,976,296 ------------ Total Long-Term Bonds (Cost $113,492,007) 114,429,096 ------------
SHARES ----------- Preferred Stocks 1.3% Media - 1.3% Haights Cross Communications, Inc. 16.00% Class B (f)(g) 6,286 242,011 ION Media Networks, Inc. 14.25% (e) 67 522,600 Spanish Broadcasting System, Inc. 10.75% Series B (e) 733 803,975 ------------ Total Preferred Stocks (Cost $1,615,399) 1,568,586 ------------
NUMBER OF WARRANTS ----------- Warrants 0.0% # Media - 0.0% # Haights Cross Communications, Inc. Strike Price $0.001 Expire 12/10/11 (f)(g)(h)(i) 7 0(k) Preferred Class A Strike Price $0.001 Expire 12/10/11 (f)(g)(h)(i) 6,225 62 ------------ Total Warrants (Cost $62) 62 ------------
SHARES ----------- Common Stocks 0.4% Chemicals - 0.0% # Huntsman Corp. 4,329 82,641 ------------ Media - 0.4% Adelphia Communications Corp. (Escrow shares) (h)(i) 468,000 155,610 Adelphia Contingent Value Vehicle (f)(h)(i) 454,546 40,682 Time Warner Cable, Inc. Class A (h) 6,885 257,981 ------------ 454,273 ------------ Total Common Stocks (Cost $436,022) 536,914 ------------ Short-Term Investments 8.9% Investment Company - 1.4% BGI Institutional Money Market Fund (j) 1,684,951 1,684,951 ------------ Total Investment Company (Cost $1,684,951) 1,684,951 ------------
PRINCIPAL AMOUNT VALUE ----------- ------------ Repurchase Agreement - 2.7% Morgan Stanley & Co. 5.54%, dated 3/30/07 due 4/2/07 Proceeds at Maturity $3,259,505 (Collateralized by various Corporate Bonds, with rates between 0.00%-8.38% and maturity dates between 8/1/07-9/15/99, with a Principal Amount of $3,313,898 and a Market Value of $3,368,807) (j) $ 3,258,000 3,258,000 ------------ Total Repurchase Agreement (Cost $3,258,000) 3,258,000 ------------ Time Deposit - 1.1% Citigroup, Inc. 5.38%, due 4/2/07 (j) 1,357,500 1,357,500 ------------ Total Time Deposit (Cost $1,357,500) 1,357,500 ------------
U.S. Government Security - 3.7% Federal National Mortgage Association (Discount Note) - 3.7% 4.97%, due 4/2/07 4,465,000 4,463,767 ------------ Total U.S. Government Security (Cost $4,463,767) 4,463,767 ------------ Total Short-Term Investments (Cost $10,764,218) 10,764,218 ------------ Total Investments (Cost $126,307,708) (l) 104.7% 127,298,876 Liabilities in Excess of Cash and Other Assets (4.7) (5,723,475) ----------- ------------ Net Assets 100.0% $121,575,401 =========== ============
- ---------- & Among the Fund's 10 largest holdings, excluding short-term investments. May be subject to change daily. # Less than one tenth of a percent. (a) May be sold to institutional investors only under Rule 144a or securities offered pursuant to Section 4(2) of the Securities Act of 1933, as amended. The total market value of these securities at March 31, 2007 is $25,563,455 which represents 21.0% of the Fund's net assets. (b) Represents a security, or a portion thereof, which is out on loan. (c) Floating/variable rate. Rate shown is the rate in effect at March 31, 2007. (d) Target Return Index Securities Trust. Static portfolio comprised of 100 High Yield bonds selected from the Lehman Brothers High Yield Index. (e) PIK ("Payment in Kind") -- Interest or dividend payment is made with additional securities. (f) Illiquid security. The total market value of these securities at March 31, 2007 is $282,755 which represents 0.2% of the Fund's net assets. (g) Restricted security. The total market value of these securities at March 31, 2007 is $242,073 which represents 0.2% of the Fund's net assets. (h) Non-income producing security. (i) Fair valued security. The total market value of these securities at March 31, 2007 is $196,354 which represents less than 0.2% of the Fund's net assets. (j) Represents a security, or a portion thereof, purchased with cash collateral received for securities on loan. (k) Less than one dollar. (l) At March 31, 2007, cost is identical for book and federal income tax purposes and net unrealized appreciation is as follows: Gross unrealized appreciation $ 2,676,323 Gross unrealized depreciation (1,685,155) ----------- Net unrealized appreciation $ 991,168 ===========
HIGH YIELD FUND RESTRICTED SECURITIES HELD AT MARCH 31, 2007
NUMBER OF DATE(S) OF WARRANTS/ 3/31/07 PERCENT OF SECURITY ACQUISITION SHARES COST VALUE NET ASSETS - -------- ----------- --------- -------- -------- ---------- Haights Cross Communications, Inc. Preferred Stock 16.00%, Class B 1/22/04 6,286 $292,429 $242,011 0.2% Warrants 1/22/04 7 0(a) 0(a) 0.0(b) Warrants, Preferred Class A 1/22/04 6,225 62 62 0.0(b) -------- -------- --- $292,491 $242,073 0.2% ======== ======== ===
- ---------- (a) Less than one dollar. (b) Less than one tenth of a percent. BALANCED FUND PORTFOLIO OF INVESTMENTS+++ MARCH 31, 2007 (Unaudited)
SHARES VALUE ----------- ------------ Common Stocks 62.9% Consumer Discretionary - 7.7% Aeropostale, Inc. (a) 456 $ 18,345 American Eagle Outfitters, Inc. 1,683 50,473 American Greetings Corp. Class A 557 12,928 AnnTaylor Stores Corp. (a) 461 17,878 Apollo Group, Inc. Class A (a) 314 13,785 ArvinMeritor, Inc. 682 12,446 AutoNation, Inc. (a) 984 20,900 AutoZone, Inc. (a) 423 54,203 Barnes & Noble, Inc. 444 17,516 Belo Corp. Class A 736 13,741 Best Buy Co., Inc. 848 41,315 Big Lots, Inc. (a)(b) 902 28,215 Black & Decker Corp. (The) 564 46,034 Blyth, Inc. 219 4,623 Bob Evans Farms, Inc. (b) 340 12,563 Brinker International, Inc. 1,044 34,139 Brunswick Corp. 560 17,836 Career Education Corp. (a) 847 25,833 CBRL Group, Inc. 176 8,149 CBS Corp. Class B 6,420 196,388 Charming Shoppes, Inc. (a) 1,089 14,103 Circuit City Stores, Inc. 852 15,788 Clear Channel Communications, Inc. 1,361 47,689 Comcast Corp. Class A (a) 3,202 83,092 Corinthian Colleges, Inc. (a) 408 5,610 Darden Restaurants, Inc. 1,122 46,215 DeVry, Inc. 526 15,438 Dillards, Inc. Class A 136 4,451 DIRECTV Group, Inc. (The) (a) 6,509 150,163 Dollar General Corp. 237 5,013 Dollar Tree Stores, Inc. (a) 867 33,154 Eastman Kodak Co. (b) 2,299 51,865 Entercom Communications Corp. 190 5,354 Family Dollar Stores, Inc. 711 21,060 Federated Department Stores, Inc. 4,415 198,896 Ford Motor Co. (b) 15,744 124,220 Gannett Co., Inc. (b) 1,950 109,765 Gap, Inc. (The) 4,416 75,999 Goodyear Tire & Rubber Co. (The) (a) 422 13,162 Harley-Davidson, Inc. 1,164 68,385 Harrah's Entertainment, Inc. 375 31,669 Harte-Hanks, Inc. 339 9,353 Hasbro, Inc. 1,404 40,182 IAC/InterActiveCorp. (a) 1,866 70,367 ITT Educational Services, Inc. (a) 152 12,386 J.C. Penney Co., Inc. 473 38,862
John Wiley & Sons, Inc. Class A 390 14,726 Jones Apparel Group, Inc. 958 29,439 KB Home 333 14,209 Kohl's Corp. (a) 2,731 209,222 Lear Corp. (a) 567 20,701 Lee Enterprises, Inc. 427 12,831 Leggett & Platt, Inc. 624 14,146 Lennar Corp. Class A 1,142 48,204 M.D.C. Holdings, Inc. (b) 161 7,739 Mattel, Inc. 3,222 88,831 McDonald's Corp. 8,328 375,176 McGraw-Hill Cos., Inc. (The) 2,942 184,993 Meredith Corp. 199 11,421 Modine Manufacturing Co. 80 1,832 Mohawk Industries, Inc. (a)(b) 449 36,840 Newell Rubbermaid, Inc. 613 19,058 NIKE, Inc. Class B 399 42,398 Nordstrom, Inc. 1,896 100,374 Office Depot, Inc. (a) 1,717 60,335 OfficeMax, Inc. 605 31,908 Omnicom Group, Inc. 1,438 147,222 Pacific Sunwear of California, Inc. (a) 154 3,208 Payless ShoeSource, Inc. (a) 594 19,721 Polo Ralph Lauren Corp. 511 45,045 RadioShack Corp. (b) 1,103 29,814 Regis Corp. 385 15,542 Ross Stores, Inc. (b) 883 30,375 Saks, Inc. (b) 1,162 24,216 Scholastic Corp. (a) 118 3,670 Sherwin-Williams Co. (The) 946 62,474 Snap-On, Inc. 254 12,217 Sotheby's Holdings, Inc. Class A 139 6,183 Stanley Works (The) (b) 543 30,060 Thor Industries, Inc. (b) 379 14,929 Time Warner, Inc. 410 8,085 TJX Cos., Inc. (The) 3,803 102,529 Tribune Co. 415 13,326 Tupperware Corp. 538 13,412 Valassis Communications, Inc. (a) 217 3,730 VF Corp. 187 15,450 Viacom, Inc. Class B (a) 1,529 62,857 Walt Disney Co. (The) 6,778 233,367 Wendy's International, Inc. 567 17,747 Westwood One, Inc. 159 1,092 Yum! Brands, Inc. 529 30,555 ----------- 4,210,760 ----------- Consumer Staples - 4.2% Alberto-Culver Co. 673 15,398 Altria Group, Inc. 8,214 721,271 Avon Products, Inc. 1,807 67,329 Campbell Soup Co. 787 30,654 Coca-Cola Co. (The) 787 37,776 Coca-Cola Enterprises, Inc. 1,723 34,891 ConAgra Foods, Inc. 1,097 27,326 Dean Foods Co. (a) 301 14,069 Energizer Holdings, Inc. (a) 484 41,300 Estee Lauder Cos., Inc. (The) Class A 765 37,370 General Mills, Inc. 2,855 166,218
H.J. Heinz Co. 688 32,419 J.M. Smucker Co. (The) 480 25,594 Kimberly-Clark Corp. 2,602 178,211 Molson Coors Brewing Co. Class B 385 36,429 Pepsi Bottling Group, Inc. (The) 1,078 34,377 PepsiAmericas, Inc. 311 6,942 PepsiCo, Inc. 911 57,903 Procter & Gamble Co. (The) 6,574 415,214 Reynolds American, Inc. 376 23,466 Safeway, Inc. 3,697 135,458 Universal Corp. 242 14,847 UST, Inc. 973 56,415 Wal-Mart Stores, Inc. 1,896 89,017 ----------- 2,299,894 ----------- Energy - 7.0% Cameron International Corp. (a) 340 21,349 Chevron Corp. 8,673 641,455 ConocoPhillips 4,507 308,053 ENSCO International, Inc. 654 35,578 ExxonMobil Corp. 18,290 1,379,980 Halliburton Co. 8,296 263,315 Kinder Morgan, Inc. 220 23,419 Marathon Oil Corp. 2,930 289,572 National-Oilwell Varco, Inc. (a) 388 30,183 Noble Energy, Inc. (b) 1,467 87,507 Occidental Petroleum Corp. 5,242 258,483 Overseas Shipholding Group, Inc. 263 16,464 Patterson-UTI Energy, Inc. 1,318 29,576 Plains Exploration & Production Co. (a) 479 21,622 Sunoco, Inc. 505 35,572 Tidewater, Inc. 487 28,528 Valero Energy Corp. 5,022 323,869 ----------- 3,794,525 ----------- Financials - 15.0% A.G. Edwards, Inc. 180 12,452 ACE, Ltd. 2,758 157,371 AFLAC, Inc. 3,006 141,462 Allstate Corp. (The) 5,170 310,510 Ambac Financial Group, Inc. 83 7,170 American Express Co. 1,886 106,370 American Financial Group, Inc. 597 20,322 American International Group, Inc. 3,753 252,277 AmeriCredit Corp. (a)(b) 970 22,174 Ameriprise Financial, Inc. 2,033 116,166 AON Corp. 2,571 97,595 Apartment Investment & Management Co. Class A (REIT) (c) 850 49,036 Associated Banc-Corp. 530 17,808 Bank of America Corp. 7,797 397,803 Bank of New York Co., Inc. (The) 9,459 383,562 Boston Properties, Inc. (REIT) (c) 236 27,706 Brown & Brown, Inc. 506 13,672 Capital One Financial Corp. 2,495 188,273 Charles Schwab Corp. (The) 8,530 156,014 Chubb Corp. (The) 3,467 179,140 Citigroup, Inc. 13,328 684,260 City National Corp. 253 18,621
Comerica, Inc. 1,332 78,748 Cullen/Frost Bankers, Inc. 257 13,449 Everest Re Group, Ltd. 160 15,387 Fannie Mae 2,096 114,400 Fidelity National Financial, Inc. Class A 285 6,843 First American Corp. 596 30,229 First Niagara Financial Group, Inc. 512 7,122 Franklin Resources, Inc. 344 41,566 Genworth Financial, Inc. Class A 3,662 127,950 Goldman Sachs Group, Inc. (The) 2,192 452,933 Hartford Financial Services Group, Inc. (The) 2,560 244,685 HCC Insurance Holdings, Inc. 900 27,720 Highwood Properties, Inc. (REIT) (b)(c) 137 5,410 Horace Mann Educators Corp. 389 7,994 Huntington Bancshares, Inc. 1,440 31,464 JPMorgan Chase & Co. 13,850 670,063 Lehman Brothers Holdings, Inc. 1,769 123,954 Lincoln National Corp. 931 63,112 Loews Corp. 2,779 126,250 Mercury General Corp. 233 12,358 Merrill Lynch & Co., Inc. 4,845 395,691 MetLife, Inc. 5,307 335,137 MGIC Investment Corp. (b) 184 10,841 Morgan Stanley 5,541 436,409 National City Corp. 3,818 142,220 Northern Trust Corp. 1,559 93,758 Old Republic International Corp. 1,913 42,316 Plum Creek Timber Co., Inc. (REIT) (c) 311 12,260 PNC Financial Services Group, Inc. (The) 2,571 185,035 Potlatch Corp. (REIT) (c) 343 15,703 Principal Financial Group, Inc. 2,249 134,648 Protective Life Corp. 442 19,466 Prudential Financial, Inc. 817 73,742 Radian Group, Inc. 1,039 57,020 Realogy Corp. (a) 319 9,446 SAFECO Corp. 664 44,110 Simon Property Group, Inc. (REIT) (c) 452 50,285 StanCorp Financial Group, Inc. 237 11,653 TCF Financial Corp. 686 18,083 Torchmark Corp. 832 54,571 Travelers Cos., Inc. (The) 1,053 54,514 Unitrin, Inc. 94 4,425 Unum Group (b) 2,051 47,235 W.R. Berkley Corp. 1,405 46,534 Wachovia Corp. 1,197 65,895 Washington Mutual, Inc. 1,966 79,387 Wells Fargo & Co. 2,921 100,570 XL Capital, Ltd. Class A 1,518 106,199 ------------ 8,208,554 ------------ Health Care - 6.5% Advanced Medical Optics, Inc. (a)(b) 497 18,488 Aetna, Inc. 4,318 189,085 AmerisourceBergen Corp. 1,606 84,716 Amgen, Inc. (a) 66 3,688 Apria Healthcare Group, Inc. (a) 398 12,835 Barr Pharmaceuticals, Inc. (a) 695 32,213 Baxter International, Inc. 638 33,603 Biomet, Inc. 660 28,043
Cardinal Health, Inc. 1,645 120,003 Cigna Corp. 832 118,693 Coventry Health Care, Inc. (a) 1,352 75,780 Edwards Lifesciences Corp. (a) 484 24,539 Forest Laboratories, Inc. (a) 2,650 136,316 Humana, Inc. (a) 1,389 80,590 Invitrogen Corp. (a) 109 6,938 Johnson & Johnson 4,424 266,590 King Pharmaceuticals, Inc. (a) 1,869 36,763 Laboratory Corp. of America Holdings (a) 776 56,361 Lincare Holdings, Inc. (a) 159 5,827 McKesson Corp. 2,492 145,882 Merck & Co., Inc. 9,949 439,447 Mylan Laboratories, Inc. 1,325 28,010 Pfizer, Inc. 27,886 704,400 Quest Diagnostics, Inc. (b) 426 21,245 Thermo Fisher Scientific, Inc. (a) 359 16,783 UnitedHealth Group, Inc. 7,582 401,619 Watson Pharmaceuticals, Inc. (a) 809 21,382 WellCare Health Plans, Inc. (a) 77 6,564 Wellpoint, Inc. (a) 4,242 344,026 Zimmer Holdings, Inc. (a) 980 83,702 ------------ 3,544,131 ------------ Industrials - 6.1% AGCO Corp. (a) 765 28,282 Avis Budget Group, Inc. (a) 841 22,976 Boeing Co. (The) 4,637 412,276 Caterpillar, Inc. 1,350 90,490 ChoicePoint, Inc. (a) 523 19,576 Con-way, Inc. 108 5,383 Cooper Industries, Ltd. Class A 235 10,573 Cummins, Inc. 448 64,835 Deluxe Corp. 457 15,323 Dun & Bradstreet Corp. 520 47,424 Eaton Corp. 1,257 105,035 Equifax, Inc. 292 10,643 General Electric Co. 21,464 758,967 Granite Construction, Inc. 292 16,136 Honeywell International, Inc. 3,444 158,631 ITT Corp. 412 24,852 Kelly Services, Inc. Class A 50 1,610 Korn/Ferry International (a) 396 9,084 L-3 Communications Holdings, Inc. 274 23,967 Lockheed Martin Corp. 2,979 289,023 Masco Corp. 3,315 90,831 Paccar, Inc. 1,583 116,192 Quanta Services, Inc. (a) 933 23,530 R.R. Donnelley & Sons Co. 1,767 64,655 Raytheon Co. 3,732 195,781 Rockwell Automation, Inc. 700 41,909 SPX Corp. 232 16,286 Teleflex, Inc. 333 22,667 Terex Corp. (a) 847 60,781 Thomas & Betts Corp. (a) 335 16,355 Tyco International, Ltd. 12,496 394,249 United Rentals, Inc. (a) 155 4,262 Waste Management, Inc. 3,749 129,003 YRC Worldwide, Inc. (a) 484 19,466 ------------ 3,311,053 ------------
Information Technology - 9.6% Acxiom Corp. 637 13,625 Adobe Systems, Inc. (a) 1,188 49,540 Agere Systems, Inc. (a) 437 9,885 Alliance Data Systems Corp. (a) 154 9,489 Altera Corp. (a) 1,512 30,225 Apple, Inc. (a) 524 48,685 Applied Materials, Inc. 11,550 211,596 Atmel Corp. (a) 3,588 18,048 Automatic Data Processing, Inc. 1,618 78,311 Avaya, Inc. (a) 3,709 43,803 Avnet, Inc. (a)(b) 562 20,311 BISYS Group, Inc. (a) 299 3,427 BMC Software, Inc. (a) 1,726 53,144 CA, Inc. 2,526 65,449 Cadence Design Systems, Inc. (a) 2,327 49,007 CheckFree Corp. (a) 204 7,566 Cisco Systems, Inc. (a) 20,089 512,872 Computer Sciences Corp. (a) 1,430 74,546 Compuware Corp. (a) 2,689 25,519 Convergys Corp. (a) 1,186 30,136 CSG Systems International, Inc. (a) 499 12,485 Dell, Inc. (a) 15,371 356,761 Diebold, Inc. (b) 151 7,204 Dycom Industries, Inc. (a) 398 10,372 eBay, Inc. (a) 534 17,702 Electronic Data Systems Corp. 4,245 117,502 Fair Isaac Corp. 491 18,992 Fidelity National Information Services, Inc. 983 44,687 First Data Corp. 6,315 169,873 Fiserv, Inc. (a) 403 21,383 Gartner, Inc. Class A (a) 123 2,946 Global Payments, Inc. 158 5,381 Google, Inc. Class A (a) 103 47,190 Hewlett-Packard Co. 12,780 512,989 Imation Corp. 162 6,542 Intel Corp. 4,379 83,770 International Business Machines Corp. (IBM) 6,374 600,813 Intersil Corp. Class A 587 15,550 Intuit, Inc. (a) 1,458 39,891 Juniper Networks, Inc. (a) 1,256 24,718 Lam Research Corp. (a) 589 27,883 Lexmark International, Inc. (a) 823 48,113 McAfee, Inc. (a) 1,334 38,793 Mentor Graphics Corp. (a) 564 9,216 Microsoft Corp. 22,500 627,075 Motorola, Inc. 18,414 325,375 MPS Group, Inc. (a) 237 3,354 National Semiconductor Corp. 2,499 60,326 Novell, Inc. (a) 798 5,762 Novellus Systems, Inc. (a) 1,049 33,589 NVIDIA Corp. (a) 741 21,326 Oracle Corp. (a) 5,852 106,097 Palm, Inc. (a)(b) 216 3,916 Polycom, Inc. (a) 551 18,365 Sabre Holdings Corp. Class A 449 14,705 SRA International, Inc. Class A (a)(b) 384 9,354
Sybase, Inc. (a) 782 19,769 Symantec Corp. (a) 7,884 136,393 Synopsys, Inc. (a) 885 23,214 Tech Data Corp. (a) 480 17,189 Teradyne, Inc. (a) 1,491 24,661 UTStarcom, Inc. (a)(b) 1,002 8,307 ValueClick, Inc. (a) 234 6,114 VeriSign, Inc. (a) 548 13,766 Vishay Intertechnology, Inc. (a) 885 12,372 Western Digital Corp. (a) 971 16,323 Xerox Corp. (a) 5,975 100,918 Xilinx, Inc. 2,325 59,822 ------------ 5,264,032 ------------ Materials - 1.8% Abitibi-Consolidated, Inc. (b) 4,200 11,844 Albemarle Corp. 656 27,119 Allegheny Technologies, Inc. 58 6,188 Ashland, Inc. 472 30,963 Cabot Corp. 297 14,176 Chemtura Corp. 561 6,132 Dow Chemical Co. (The) 1,939 88,923 Eastman Chemical Co. (b) 205 12,983 FMC Corp. 164 12,371 Freeport-McMoran Copper & Gold, Inc. Class B (b) 2,299 152,171 Hercules, Inc. (a) 268 5,237 International Flavors & Fragrances, Inc. (b) 481 22,713 Louisiana-Pacific Corp. 471 9,448 Lubrizol Corp. (The) 431 22,209 Lyondell Chemical Co. 1,737 52,058 Monsanto Co. 1,082 59,467 Nucor Corp. 2,524 164,388 Pactiv Corp. (a) 1,064 35,899 Sensient Technologies Corp. 487 12,555 Sonoco Products Co. 832 31,267 Steel Dynamics, Inc. 203 8,770 Temple-Inland, Inc. 441 26,345 United States Steel Corp. 979 97,087 Vulcan Materials Co. 203 23,645 Weyerhaeuser Co. 467 34,904 ------------ 968,862 ------------ Telecommunication Services - 3.2% Alltel Corp. 1,522 94,364 AT&T, Inc. 16,771 661,281 CenturyTel, Inc. 959 43,337 Cincinnati Bell, Inc. (a) 583 2,740 Citizens Communications Co. 2,813 42,054 Embarq Corp. 1,207 68,014 Qwest Communications International, Inc. (a) 6,674 59,999 Sprint Nextel Corp. 10,041 190,377 Telephone & Data Systems, Inc. 107 6,379 Verizon Communications, Inc. 13,783 522,651 Windstream Corp. 2,038 29,938 ------------ 1,721,134 ------------ Utilities - 1.8% AES Corp. (The) (a) 5,494 118,231 Allegheny Energy, Inc. (a) 656 32,236
Duke Energy Corp. (b) 3,199 64,908 Edison International 2,740 134,616 Entergy Corp. 1,722 180,672 Equitable Resources, Inc. 905 43,730 Great Plains Energy, Inc. 191 6,198 KeySpan Corp. 514 21,151 National Fuel Gas Co. 507 21,933 Nicor, Inc. 422 20,433 NiSource, Inc. 605 14,786 OGE Energy Corp. 373 14,472 ONEOK, Inc. 476 21,420 Progress Energy, Inc. 2,112 106,529 TXU Corp. 3,156 202,300 WGL Holdings, Inc. 227 7,259 ------------ 1,010,874 ------------ Total Common Stocks (Cost $30,925,121) 34,333,819 ------------
PRINCIPAL AMOUNT ----------- Fixed Income Securities 36.7% Corporate Bonds 13.6% Consumer Discretionary - 1.4% AT&T Broadband Corp. 9.455%, due 11/15/22 $ 45,000 58,437 Cox Communications, Inc. 7.125%, due 10/1/12 90,000 97,027 DaimlerChrysler North American Holdings Corp. 6.50%, due 11/15/13 185,000 194,836 7.30%, due 1/15/12 45,000 48,575 Johnson Controls, Inc. 5.25%, due 1/15/11 115,000 115,162 News America, Inc. 5.30%, due 12/15/14 60,000 59,510 Target Corp. 5.875%, due 3/1/12 60,000 62,010 Tele-Communications, Inc. 9.80%, due 2/1/12 90,000 106,552 ------------ 742,109 ------------ Consumer Staples - 0.7% Diageo Finance B.V. 5.30%, due 10/28/15 110,000 108,190 Kraft Foods, Inc. 4.00%, due 10/1/08 195,000 191,389 Safeway, Inc. 6.50%, due 3/1/11 95,000 98,702 ------------ 398,281 ------------ Energy - 1.6% Anadarko Petroleum Corp. 5.95%, due 9/15/16 95,000 95,200 ConocoPhillips 8.75%, due 5/25/10 130,000 144,295 Devon Financing Corp. 6.875%, due 9/30/11 65,000 69,148 Devon OEI Operating, Inc.
7.25%, due 10/1/11 65,000 69,739 Dominion Resources, Inc. 5.15%, due 7/15/15 90,000 87,628 EnCana Holdings Finance Corp. 5.80%, due 5/1/14 90,000 91,772 Halliburton Co. 5.50%, due 10/15/10 115,000 116,242 Valero Energy Corp. 6.875%, due 4/15/12 80,000 85,192 XTO Energy, Inc. 4.90%, due 2/1/14 90,000 86,852 ------------ 846,068 ------------ Financials - 6.9% Archstone-Smith Trust 5.75%, due 3/15/16 55,000 55,755 Assurant, Inc. 5.625%, due 2/15/14 75,000 74,943 Bank of America Corp. 4.875%, due 9/15/12 55,000 54,362 Capital One Financial Corp. 6.15%, due 9/1/16 85,000 86,215 Citigroup, Inc. 5.625%, due 8/27/12 265,000 269,800 ERP Operating L.P. 6.625%, due 3/15/12 105,000 111,752 Goldman Sachs Group, Inc. (The) 4.50%, due 6/15/10 55,000 54,069 5.25%, due 4/1/13 150,000 149,007 HSBC Finance Corp. 6.75%, due 5/15/11 325,000 342,372 International Lease Finance Corp. 5.625%, due 9/20/13 80,000 81,542 iStar Financial, Inc. (REIT) 5.50%, due 6/15/12 (c) 115,000 114,475 5.95%, due 10/15/13 (c) 90,000 91,099 Jefferies Group, Inc. 7.75%, due 3/15/12 65,000 70,994 John Deere Capital Corp. 5.65%, due 7/25/11 140,000 142,720 JPMorgan Chase & Co. 5.125%, due 9/15/14 185,000 182,103 7.125%, due 6/15/09 60,000 62,418 MBNA America Bank N.A. 7.125%, due 11/15/12 130,000 141,765 MetLife, Inc. 5.50%, due 6/15/14 125,000 125,890 Morgan Stanley 4.75%, due 4/1/14 105,000 99,728 National Rural Utilities Cooperative Finance Corp. 7.25%, due 3/1/12 120,000 130,751 ProLogis 5.50%, due 4/1/12 110,000 111,091 Prudential Financial, Inc. 4.50%, due 7/15/13 125,000 120,330 Realty Income Corp. (REIT) 5.95%, due 9/15/16 (c) 90,000 92,350
Residential Capital LLC 6.375%, due 6/30/10 145,000 144,961 6.50%, due 4/17/13 180,000 178,291 SLM Corp. 5.375%, due 5/15/14 40,000 40,000 5.45%, due 4/25/11 60,000 60,725 St. Paul Travelers Cos., Inc. (The) 6.25%, due 6/20/16 85,000 89,263 US Bank N.A. 6.375%, due 8/1/11 45,000 47,120 Wachovia Bank N.A. 4.80%, due 11/1/14 150,000 144,355 Wells Fargo & Co. 4.75%, due 2/9/15 155,000 148,709 Western Union Co. (The) 5.93%, due 10/1/16 145,000 145,312 ------------ 3,764,267 ------------ Health Care - 0.4% Abbott Laboratories 5.875%, due 5/15/16 55,000 56,897 Wyeth 5.95%, due 4/1/37 40,000 39,394 6.95%, due 3/15/11 90,000 95,686 ------------ 191,977 ------------ Industrials - 0.3% International Lease Finance Corp. 5.75%, due 6/15/11 110,000 112,709 Northrop Grumman Corp. 7.125%, due 2/15/11 50,000 53,471 ------------ 166,180 ------------ Information Technology - 0.2% Cisco Systems, Inc. 5.25%, due 2/22/11 90,000 90,440 ------------ Materials - 0.1% BHP Billiton Finance USA, Ltd. 5.25%, due 12/15/15 60,000 59,348 ------------ Telecommunication Services - 1.2% Deutsche Telekom International Finance B.V. 5.75%, due 3/23/16 115,000 114,997 Sprint Capital Corp. 8.75%, due 3/15/32 90,000 106,157 Sprint Nextel Corp. 6.00%, due 12/1/16 40,000 39,364 Telefonica Europe B.V. 7.75%, due 9/15/10 185,000 199,349 Vodafone Group PLC 5.50%, due 6/15/11 215,000 217,314 ------------ 677,181 ------------ Utilities - 0.8% Duke Energy Corp. 6.25%, due 1/15/12 105,000 109,879 Exelon Corp.
4.90%, due 6/15/15 85,000 79,426 FirstEnergy Corp. Series C 7.375%, due 11/15/31 40,000 45,443 MidAmerican Energy Holdings Co. 6.125%, due 4/1/36 55,000 54,881 Pacific Gas & Electric Co. 6.05%, due 3/1/34 40,000 40,098 Progress Energy, Inc. 7.75%, due 3/1/31 35,000 41,858 Southern California Edison Co. 5.00%, due 1/15/14 85,000 83,462 ------------ 455,047 ------------ Total Corporate Bonds (Cost $7,372,864) 7,390,898 ------------
U.S. Government Securities 19.0% U.S. Government Agency Obligations 14.5% & Federal Home Loan Mortgage Corporation - 1.5% 5.125%, due 8/14/08 830,000 831,907 ------------ Federal National Mortgage Association - 5.1% 3.25%, due 2/15/09 400,000 388,368 & 4.375%, due 3/15/13 785,000 764,367 4.875%, due 12/15/16 635,000 628,019 5.125%, due 4/15/11 375,000 378,857 7.125%, due 1/15/30 495,000 614,552 ------------ 2,774,163 ------------ Federal National Mortgage Association (Mortgage Pass- Through Securities) - 7.9% 6.094%, due 10/1/36 (d) 281,756 285,784 6.124%, due 10/1/36 (d) 148,885 151,152 6.194%, due 9/1/36 (d) 345,133 350,908 6.50%, due 9/1/33 457,826 471,574 & 6.50%, due 4/1/37 TBA(e) 3,000,000 3,060,000 ------------ 4,319,418 ------------ Total U.S. Government Agency Obligations (Cost $7,908,197) 7,925,488 ------------ U.S. Treasury Obligations 4.5% United States Treasury Bonds - 2.7% & 4.50%, due 2/15/36 (b) 845,000 796,676 & 8.125%, due 12/1/05 515,000 672,558 ------------ 1,469,234 ------------ United States Treasury Inflation Indexed Bond - 0.9% 2.375%, due 1/15/27 456,606 460,370 ------------ United States Treasury Strips - 0.9% (zero coupon), due 8/15/19 560,000 307,704 (zero coupon), due 11/15/21 400,000 193,762 ------------ 501,466 ------------
Total U.S. Treasury Obligations (Cost $2,411,430) 2,431,070 ------------ Total U.S. Government Securities (Cost $10,319,627) 10,356,558 ------------
Collateralized Mortgage Obligations 4.1% Federal Home Loan Mortgage Corporation - 0.0% # Series 2113 Class QE 6.00%, due 11/15/27 21,525 21,537 ------------ Financials - 4.1% Bear Stearns Commercial Mortgage Securities Series 2006-T22 Class A4 5.633%, due 4/12/38 (d) 175,000 178,066 Commercial Mortgage Pass Through Certificates Series 2006-C8 Class A2B 5.248%, due 12/10/46 275,000 275,747 Greenwich Capital Commercial Funding Corp. Series 2005-GG5 Class A5 5.224%, due 4/10/37 (d) 420,000 417,284 Series 2004-GG1 Class A7 5.317%, due 6/10/36 (d) 350,000 351,139 GS Mortgage Securities Corp. Series 2004-GG2 Class A6 5.396%, due 8/10/38 (d) 250,000 251,265 Merrill Lynch Mortgage Investors, Inc. Series 2006-A3 Class 3A1 5.838%, due 5/25/36 (d) 398,896 403,468 Residential Accredit Loans, Inc. Series 2006-QA1 Class A21 5.986%, due 1/25/36 (d) 337,880 341,697 ------------ 2,218,666 ------------ Total Collateralized Mortgage Obligations (Cost $2,251,279) 2,240,203 ------------ Total Fixed Income Securities (Cost $19,943,770) 19,987,659 ------------
SHARES ----------- Short-Term Investments 8.3% Investment Company - 0.7% BGI Institutional Money Market Fund (f) 400,930 400,930 ------------ Total Investment Company (Cost $400,930) 400,930 ------------
PRINCIPAL AMOUNT ----------- Repurchase Agreement - 1.4% Morgan Stanley & Co. 5.54%, dated 3/30/07 due 4/2/07 Proceeds at Maturity $775,590 (Collateralized by various Corporate Bonds, with rates between 0.00%-8.38% and maturity dates between 8/1/07-9/15/99, with a Principal Amount of $788,533 and a Market Value of $801,599) (f) $ 775,232 775,232 ------------ Total Repurchase Agreement (Cost $775,232) 775,232 ------------ Time Deposit - 0.6% Citigroup, Inc. 5.38%, due 4/2/07 (f) 323,014 323,014 ------------ Total Time Deposit (Cost $323,014) 323,014 ------------ U.S. Government Agency - 5.6% Federal National Mortgage Association (Discount Notes) 5.12%, due 5/9/07 380,000 377,946 5.13%, due 4/11/07 885,000 883,739 5.14%, due 6/6/07 1,790,000 1,773,147 ------------ Total U.S. Government Agency (Cost $3,034,832) 3,034,832 ------------ Total Short-Term Investments (Cost $4,534,008) 4,534,008 ------------ Total Investments (Cost $55,402,899) (g) 107.9% 58,855,486 Liabilities in Excess of Cash and Other Assets (7.9) (4,296,079) ----------- ------------ Net Assets 100.0% $54,559,407 =========== ============
- ---------- & Among the Fund's 10 largest holdings, excluding short-term investments. May be subject to change daily. # Less than one tenth of a percent. +++ Fifty percent of the Fund's assets are maintained to cover "senior securities transactions" which may include, but are not limited to, forwards, TBA's, options and futures. This percentage is marked-to-market daily against the value of the Fund's "senior securities" holdings to ensure proper coverage for these transactions. (a) Non-income producing security. (b) Represents a security, or a portion thereof, which is out on loan. (c) REIT -- Real Estate Investment Trust. (d) Floating/variable rate. Rate shown is the rate in effect at March 31, 2007. (e) TBA: Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. The market value of these securities at March 31, 2007 is $3,060,000. (f) Represents a security, or a portion thereof, purchased with cash collateral received for securities on loan. (g) Aggregate cost for federal income tax purposes is $55,588,244 and net unrealized appreciation is as follows: Gross unrealized appreciation $3,999,363 Gross unrealized depreciation (732,121) ---------- Net unrealized appreciation $3,267,242 ==========
EQUITY INVESTMENT FUND PORTFOLIO OF INVESTMENTS MARCH 31, 2007 (Unaudited)
SHARES VALUE ----------- ------------ Common Stocks 97.7% Consumer Discretionary - 11.8% Abercrombie & Fitch Co. Class A 439 $ 33,224 Aeropostale, Inc. (a) 2,645 106,408 American Eagle Outfitters, Inc. 9,789 293,572 American Greetings Corp. Class A 2,785 64,640 AnnTaylor Stores Corp. (a) 3,018 117,038 Apollo Group, Inc. Class A (a) 1,321 57,992 ArvinMeritor, Inc. 3,392 61,904 AutoNation, Inc. (a) 5,541 117,691 AutoZone, Inc. (a) 2,478 317,531 Barnes & Noble, Inc. (b) 2,493 98,349 Belo Corp. Class A 4,229 78,955 Best Buy Co., Inc. 1,926 93,835 Big Lots, Inc. (a)(b) 5,233 163,688 Black & Decker Corp. (The) 3,314 270,489 Blyth, Inc. 1,234 26,050 Bob Evans Farms, Inc. (b) 1,748 64,589 Brinker International, Inc. 6,011 196,560 Brunswick Corp. 3,620 115,297 Career Education Corp. (a) 4,649 141,794 CBRL Group, Inc. 1,003 46,439 CBS Corp. Class B 37,984 1,161,931 Charming Shoppes, Inc. (a) 5,963 77,221 Circuit City Stores, Inc. 5,369 99,488 Claire's Stores, Inc. 1,261 40,503 Clear Channel Communications, Inc. 8,056 282,282 Comcast Corp. Class A (a) 20,100 521,595 Corinthian Colleges, Inc. (a) 1,863 25,616 Darden Restaurants, Inc. 6,596 271,689 DeVry, Inc. 2,860 83,941 Dillards, Inc. Class A 371 12,143 DIRECTV Group, Inc. (The) (a) 38,049 877,790 Dollar General Corp. (b) 1,418 29,991 Dollar Tree Stores, Inc. (a) 4,980 190,435 Eastman Kodak Co. (b) 13,726 309,659 Entercom Communications Corp. 962 27,109 Family Dollar Stores, Inc. 4,229 125,263 Federated Department Stores, Inc. 25,943 1,168,732 Ford Motor Co. (b) 92,037 726,172 Gannett Co., Inc. (b) 10,306 580,125 Gap, Inc. (The) 25,852 444,913 Goodyear Tire & Rubber Co. (The) (a)(b) 2,512 78,349 Harley-Davidson, Inc. (b) 5,788 340,045 Harrah's Entertainment, Inc. 1,985 167,633 Harte-Hanks, Inc. 1,476 40,723 Hasbro, Inc. 8,052 230,448 IAC/InterActiveCorp. (a) 10,953 413,038
ITT Educational Services, Inc. (a) 730 59,488 J.C. Penney Co., Inc. 3,517 288,957 John Wiley & Sons, Inc. Class A 2,161 81,599 Jones Apparel Group, Inc. 5,449 167,448 KB Home (b) 1,573 67,120 Kohl's Corp. (a) 16,031 1,228,135 Lear Corp. (a) 3,351 122,345 Lee Enterprises, Inc. 2,220 66,711 Leggett & Platt, Inc. (b) 3,193 72,385 Lennar Corp. Class A 5,824 245,831 Liz Claiborne, Inc. 628 26,910 M.D.C. Holdings, Inc. (b) 938 45,090 Mattel, Inc. 18,726 516,276 McDonald's Corp. 42,522 1,915,616 McGraw-Hill Cos., Inc. (The) 15,024 944,709 Meredith Corp. 994 57,046 Modine Manufacturing Co. 520 11,908 Mohawk Industries, Inc. (a)(b) 2,615 214,561 Netflix, Inc. (a)(b) 498 11,549 Newell Rubbermaid, Inc. 3,899 121,220 NIKE, Inc. Class B 2,458 261,187 Nordstrom, Inc. 11,178 591,763 Office Depot, Inc. (a) 9,791 344,056 OfficeMax, Inc. 3,617 190,761 Omnicom Group, Inc. 8,374 857,330 Pacific Sunwear of California, Inc. (a) 1,368 28,495 Payless ShoeSource, Inc. (a) 3,208 106,506 Polo Ralph Lauren Corp. 2,987 263,304 RadioShack Corp. (b) 6,369 172,154 Regis Corp. (b) 2,186 88,249 Ross Stores, Inc. (b) 5,946 204,542 Saks, Inc. 6,786 141,420 Scholastic Corp. (a) 440 13,684 Sears Holdings Corp. (a) 413 74,406 Sherwin-Williams Co. (The) 4,804 317,256 Snap-On, Inc. 1,235 59,403 Sotheby's Holdings, Inc. Class A 794 35,317 Stanley Works (The) (b) 2,531 140,116 Thor Industries, Inc. (b) 1,711 67,396 Time Warner, Inc. 18,489 364,603 TJX Cos., Inc. (The) 22,313 601,558 Tribune Co. 2,591 83,197 Tupperware Corp. 2,886 71,948 Valassis Communications, Inc. (a) 1,037 17,826 VF Corp. 867 71,632 Viacom, Inc. Class B (a) 9,774 401,809 Walt Disney Co. (The) 40,541 1,395,827 Wendy's International, Inc. 3,948 123,572 Westwood One, Inc. 468 3,215 Whirlpool Corp. (b) 564 47,889 Yum! Brands, Inc. 1,667 96,286 ----------- 24,294,490 ----------- Consumer Staples - 6.6% Alberto-Culver Co. 3,923 89,758 & Altria Group, Inc. 48,287 4,240,081 Avon Products, Inc. 9,786 364,626 Campbell Soup Co. 4,842 188,596 Coca-Cola Co. (The) 4,769 228,912
Coca-Cola Enterprises, Inc. 8,254 167,143 ConAgra Foods, Inc. 4,994 124,401 CVS/Caremark Corp. (b) 4,614 157,522 Dean Foods Co. (a) 1,265 59,126 Energizer Holdings, Inc. (a) 2,779 237,132 Estee Lauder Cos., Inc. (The) Class A 3,604 176,055 General Mills, Inc. 16,833 980,017 H.J. Heinz Co. 5,153 242,809 J.M. Smucker Co. (The) 2,780 148,230 Kimberly-Clark Corp. 14,402 986,393 Molson Coors Brewing Co. Class B 2,253 213,179 Pepsi Bottling Group, Inc. (The) 6,397 204,000 PepsiAmericas, Inc. 1,712 38,212 PepsiCo, Inc. 5,365 340,999 Procter & Gamble Co. (The) 41,436 2,617,098 Reynolds American, Inc. (b) 2,397 149,597 Safeway, Inc. 21,690 794,722 Universal Corp. 1,255 76,994 UST, Inc. 6,684 387,538 Wal-Mart Stores, Inc. 11,145 523,258 ------------ 13,736,398 ------------ Energy - 10.8% BJ Services Co. 1,897 52,926 Cameron International Corp. (a) 2,741 172,107 & Chevron Corp. 52,820 3,906,567 ConocoPhillips 22,312 1,525,025 ENSCO International, Inc. (b) 3,134 170,490 & ExxonMobil Corp. 109,836 8,287,126 Halliburton Co. 42,625 1,352,917 Kinder Morgan, Inc. 794 84,521 Marathon Oil Corp. 17,258 1,705,608 National-Oilwell Varco, Inc. (a) 4,673 363,513 Noble Energy, Inc. (b) 8,531 508,874 NSTAR 689 24,198 Occidental Petroleum Corp. 30,049 1,481,716 Overseas Shipholding Group, Inc. 1,417 88,704 Patterson-UTI Energy, Inc. 7,786 174,718 Plains Exploration & Production Co. (a) 2,665 120,298 Pogo Producing Co. (b) 423 20,346 Spectra Energy Corp. 3,816 100,246 Sunoco, Inc. 2,726 192,019 Tidewater, Inc. (b) 2,834 166,016 Valero Energy Corp. 29,624 1,910,452 ------------ 22,408,387 ------------ Financials - 23.6% A.G. Edwards, Inc. 719 49,740 ACE, Ltd. 15,970 911,248 AFLAC, Inc. 17,177 808,350 Allstate Corp. (The) 30,435 1,827,926 Ambac Financial Group, Inc. 1,701 146,949 American Express Co. 12,010 677,364 American Financial Group, Inc. 3,368 114,647 American International Group, Inc. 22,172 1,490,402 AmeriCredit Corp. (a) 5,669 129,593 Ameriprise Financial, Inc. 10,314 589,342 AON Corp. (b) 15,180 576,233
Apartment Investment & Management Co. Class A (REIT) (e) 4,152 239,529 Associated Banc-Corp. 3,285 110,376 Bank of America Corp. 45,952 2,344,471 Bank of New York Co., Inc. (The) 58,691 2,379,920 BB&T Corp. 3,506 143,816 Bear Stearns Cos., Inc. (The) 753 113,214 Boston Properties, Inc. (REIT) (b)(e) 1,498 175,865 Brown & Brown, Inc. (b) 2,030 54,851 Capital One Financial Corp. 11,639 878,279 Charles Schwab Corp. (The) 43,352 792,908 Chicago Mercantile Exchange Holdings, Inc. 172 91,583 Chubb Corp. (The) 20,177 1,042,546 & Citigroup, Inc. 89,795 4,610,075 City National Corp. 1,068 78,605 Comerica, Inc. 7,772 459,481 Cullen/Frost Bankers, Inc. 651 34,067 Everest Re Group, Ltd. 793 76,263 Fannie Mae 10,990 599,834 Fidelity National Financial, Inc. Class A 2,520 60,505 First American Corp. 3,357 170,267 First Niagara Financial Group, Inc. 2,261 31,451 Franklin Resources, Inc. 3,279 396,202 Freddie Mac 4,715 280,495 Genworth Financial, Inc. Class A 21,699 758,163 Goldman Sachs Group, Inc. (The) 12,762 2,637,012 Hartford Financial Services Group, Inc. (The) 13,113 1,253,341 HCC Insurance Holdings, Inc. (b) 5,445 167,706 Highwood Properties, Inc. (REIT) (e) 716 28,275 Horace Mann Educators Corp. 2,025 41,614 Huntington Bancshares, Inc. 7,655 167,262 Investors Financial Services Corp. 2,374 138,048 & JPMorgan Chase & Co. 81,558 3,945,776 Lehman Brothers Holdings, Inc. 8,951 627,197 Lincoln National Corp. 4,488 304,242 Loews Corp. 15,863 720,656 Macerich Co. (The) (REIT) (e) 466 43,040 Mercury General Corp. 1,232 65,345 Merrill Lynch & Co., Inc. 28,516 2,328,902 MetLife, Inc. 33,113 2,091,086 MGIC Investment Corp. (b) 509 29,990 Moody's Corp. 1,523 94,517 Morgan Stanley 31,644 2,492,281 National City Corp. (b) 20,296 756,026 Northern Trust Corp. 9,195 552,987 Old Republic International Corp. 9,713 214,852 Plum Creek Timber Co., Inc. (REIT) (e) 913 35,990 PMI Group, Inc. (The) 1,097 49,606 PNC Financial Services Group, Inc. (The) 15,154 1,090,633 Potlatch Corp. (REIT) (e) 1,447 66,244 Principal Financial Group, Inc. (b) 13,193 789,865 Protective Life Corp. 2,423 106,709 Prudential Financial, Inc. 4,104 370,427 Radian Group, Inc. 5,226 286,803 Raymond James Financial, Inc. 450 13,392 Realogy Corp. (a) 888 26,294 Regency Centers Corp. (REIT) (e) 446 37,263 SAFECO Corp. 3,740 248,448 Simon Property Group, Inc. (REIT) (e) 1,423 158,309
StanCorp Financial Group, Inc. 1,191 58,561 TCF Financial Corp. 3,924 103,437 Torchmark Corp. 3,628 237,961 Travelers Cos., Inc. (The) 6,813 352,709 Unitrin, Inc. 522 24,571 Unum Group 11,787 271,455 W.R. Berkley Corp. 8,246 273,108 Wachovia Corp. 6,938 381,937 Washington Mutual, Inc. 6,098 246,237 Wells Fargo & Co. 27,875 959,736 XL Capital, Ltd. Class A 8,862 619,986 ------------ 48,754,396 ------------ Health Care - 10.2% Abbott Laboratories 59 3,292 Advanced Medical Optics, Inc. (a)(b) 2,902 107,954 Aetna, Inc. 25,997 1,138,409 AmerisourceBergen Corp. 9,446 498,276 Amgen, Inc. (a) 201 11,232 Apria Healthcare Group, Inc. (a) 2,060 66,435 Barr Pharmaceuticals, Inc. (a) 3,851 178,494 Baxter International, Inc. 7,613 400,977 Biomet, Inc. 3,476 147,695 Boston Scientific Corp. (a) 7,643 111,129 Cardinal Health, Inc. 8,957 653,413 Cigna Corp. 4,947 705,739 Coventry Health Care, Inc. (a) 7,788 436,517 Edwards Lifesciences Corp. (a)(b) 2,816 142,771 Forest Laboratories, Inc. (a) 15,128 778,184 Humana, Inc. (a) 8,155 473,153 Invitrogen Corp. (a) 981 62,441 Johnson & Johnson 25,520 1,537,835 King Pharmaceuticals, Inc. (a) 11,556 227,307 Laboratory Corp. of America Holdings (a)(b) 4,384 318,410 Lincare Holdings, Inc. (a)(b) 1,803 66,080 McKesson Corp. 14,584 853,747 Merck & Co., Inc. 61,119 2,699,626 Mylan Laboratories, Inc. 7,424 156,943 Par Pharmaceutical Cos., Inc. (a) 224 5,627 & Pfizer, Inc. 151,237 3,820,247 Quest Diagnostics, Inc. (b) 3,163 157,739 Schering-Plough Corp. 9,615 245,279 Thermo Fisher Scientific, Inc. (a) 4,657 217,715 UnitedHealth Group, Inc. 39,791 2,107,729 Watson Pharmaceuticals, Inc. (a) 4,862 128,503 WellCare Health Plans, Inc. (a) 227 19,352 Wellpoint, Inc. (a) 26,436 2,143,960 Zimmer Holdings, Inc. (a) 5,260 449,257 ------------ 21,071,467 ------------ Industrials - 9.3% AGCO Corp. (a) 4,429 163,740 Avery Dennison Corp. 611 39,263 Avis Budget Group, Inc. (a) 4,944 135,070 Bandag, Inc. 80 4,055 Boeing Co. (The) 27,173 2,415,951 Caterpillar, Inc. 4,188 280,722 ChoicePoint, Inc. (a) 2,907 108,809 Con-way, Inc. 654 32,595
Cooper Industries, Ltd. Class A 1,782 80,172 Cummins, Inc. 2,572 372,220 Deluxe Corp. 2,457 82,383 Dover Corp. 1,240 60,524 Dun & Bradstreet Corp. 3,017 275,150 Eaton Corp. 5,653 472,365 Equifax, Inc. 1,753 63,897 & General Electric Co. 125,882 4,451,188 Granite Construction, Inc. 1,636 90,405 Honeywell International, Inc. 21,934 1,010,280 Infrasource Services, Inc. (a) 36 1,099 Ingersoll-Rand Co., Ltd. Class A 1,864 80,842 ITT Corp. 3,497 210,939 Kelly Services, Inc. Class A 148 4,766 Korn/Ferry International (a) 2,011 46,132 L-3 Communications Holdings, Inc. 1,661 145,288 Lockheed Martin Corp. 17,470 1,694,939 Masco Corp. 19,328 529,587 Nordson Corp. 201 9,338 Paccar, Inc. 9,376 688,198 Quanta Services, Inc. (a)(b) 3,841 96,870 R.R. Donnelley & Sons Co. 9,414 344,458 Raytheon Co. 21,835 1,145,464 Rockwell Automation, Inc. 3,407 203,977 SPX Corp. 1,094 76,799 Teleflex, Inc. 1,898 129,197 Terex Corp. (a) 3,806 273,119 Thomas & Betts Corp. (a) 2,287 111,651 Tyco International, Ltd. 73,585 2,321,607 United Rentals, Inc. (a) 937 25,767 Waste Management, Inc. 18,029 620,378 Western Union Co. (The) 4,963 108,938 YRC Worldwide, Inc. (a) 2,792 112,294 ------------ 19,120,436 ------------ Information Technology - 14.8% Acxiom Corp. 3,339 71,421 Adobe Systems, Inc. (a) 3,742 156,041 Agere Systems, Inc. (a) 4,127 93,353 Alliance Data Systems Corp. (a) 926 57,060 Altera Corp. (a) 10,341 206,717 Analog Devices, Inc. 2,217 76,464 Apple, Inc. (a) 5,535 514,257 Applied Materials, Inc. 67,955 1,244,936 Atmel Corp. (a) 20,707 104,156 Automatic Data Processing, Inc. 12,928 625,715 Avaya, Inc. (a) 21,922 258,899 Avnet, Inc. (a)(b) 3,453 124,791 BISYS Group, Inc. (a) 2,114 24,226 BMC Software, Inc. (a) 10,111 311,318 CA, Inc. 15,886 411,606 Cadence Design Systems, Inc. (a) 12,242 257,817 CDW Corp. 365 22,422 CheckFree Corp. (a) 1,234 45,769 Cisco Systems, Inc. (a) 115,839 2,957,370 Computer Sciences Corp. (a) 8,415 438,674 Compuware Corp. (a) 16,266 154,364 Convergys Corp. (a) 6,843 173,881 CSG Systems International, Inc. (a) 2,303 57,621
Dell, Inc. (a) 77,944 1,809,080 Diebold, Inc. (b) 1,314 62,691 Dycom Industries, Inc. (a) 1,946 50,713 eBay, Inc. (a) 1,657 54,930 Electronic Data Systems Corp. 25,016 692,443 Fair Isaac Corp. 2,540 98,247 Fidelity National Information Services, Inc. 5,366 243,938 First Data Corp. 32,325 869,542 Fiserv, Inc. (a) 2,717 144,164 Gartner, Inc. Class A (a) 362 8,670 Global Payments, Inc. 879 29,939 Google, Inc. Class A (a) 603 276,270 Hewlett-Packard Co. 75,119 3,015,277 Imation Corp. 392 15,829 Intel Corp. 26,690 510,580 International Business Machines Corp. (IBM) 33,920 3,197,299 Intersil Corp. Class A 3,607 95,549 Intuit, Inc. (a) 10,632 290,892 Juniper Networks, Inc. (a) 3,898 76,713 Lam Research Corp. (a) 3,823 180,981 Lexmark International, Inc. (a) 4,787 279,848 Linear Technology Corp. 1,936 61,158 McAfee, Inc. (a) 7,786 226,417 Mentor Graphics Corp. (a) 2,339 38,219 Micron Technology, Inc. (a) 3,627 43,814 & Microsoft Corp. 141,961 3,956,453 Motorola, Inc. 93,777 1,657,040 MPS Group, Inc. (a) 1,439 20,362 National Semiconductor Corp. 14,268 344,430 Novell, Inc. (a) 9,035 65,233 Novellus Systems, Inc. (a)(b) 5,252 168,169 NVIDIA Corp. (a) 7,202 207,274 Oracle Corp. (a) 27,159 492,393 Palm, Inc. (a)(b) 925 16,770 Polycom, Inc. (a) 3,678 122,588 Sabre Holdings Corp. Class A 3,045 99,724 SRA International, Inc. Class A (a)(b) 1,952 47,551 Sun Microsystems, Inc. (a) 43,997 264,422 Sybase, Inc. (a) 4,398 111,181 Symantec Corp. (a)(b) 40,099 693,713 Synopsys, Inc. (a) 4,691 123,045 Tech Data Corp. (a) 2,660 95,255 Teradyne, Inc. (a)(b) 7,805 129,095 UTStarcom, Inc. (a)(b) 5,020 41,616 ValueClick, Inc. (a) 2,619 68,434 VeriSign, Inc. (a) 4,144 104,097 Vishay Intertechnology, Inc. (a) 4,978 69,592 Western Digital Corp. (a) 5,971 100,373 Xerox Corp. (a) 30,824 520,617 Xilinx, Inc. 10,894 280,303 ------------ 30,561,811 ------------ Materials - 2.7% Abitibi-Consolidated, Inc. (b) 24,279 68,467 Albemarle Corp. 3,814 157,671 Allegheny Technologies, Inc. 732 78,097 Ashland, Inc. 2,792 183,155 Cabot Corp. 1,714 81,809 Chemtura Corp. 3,372 36,856
Dow Chemical Co. (The) (b) 12,670 581,046 Eastman Chemical Co. (b) 1,162 73,589 FMC Corp. 1,088 82,068 Freeport-McMoran Copper & Gold, Inc. Class B 11,903 787,860 Hercules, Inc. (a) 1,076 21,025 International Flavors & Fragrances, Inc. 2,730 128,911 Louisiana-Pacific Corp. 2,244 45,015 Lubrizol Corp. (The) 2,697 138,976 Lyondell Chemical Co. 10,324 309,410 Monsanto Co. 3,391 186,369 Nucor Corp. 14,824 965,487 Pactiv Corp. (a) 6,322 213,304 Scotts Miracle-Gro Co. (The) Class A 297 13,077 Sealed Air Corp. 1,044 32,990 Sensient Technologies Corp. 2,214 57,077 Sonoco Products Co. 4,860 182,639 Steel Dynamics, Inc. 2,109 91,109 Temple-Inland, Inc. 2,110 126,051 United States Steel Corp. 5,802 575,384 Valspar Corp. (The) 659 18,340 Vulcan Materials Co. (b) 1,319 153,637 Weyerhaeuser Co. 2,967 221,754 ------------ 5,611,173 ------------ Telecommunication Services - 5.1% Affiliated Computer Services, Inc. Class A (a) 1,350 79,488 Alltel Corp. 10,713 664,206 & AT&T, Inc. 105,576 4,162,862 CenturyTel, Inc. 5,594 252,793 Cincinnati Bell, Inc. (a) 6,085 28,600 Citizens Communications Co. (b) 16,331 244,148 Embarq Corp. 7,174 404,255 Qwest Communications International, Inc. (a)(b) 49,875 448,376 Sprint Nextel Corp. 47,893 908,051 Telephone & Data Systems, Inc. 1,176 70,113 Verizon Communications, Inc. 81,375 3,085,740 Windstream Corp. 9,094 133,591 ------------ 10,482,223 ------------ Utilities - 2.8% AES Corp. (The) (a) 32,467 698,690 Allegheny Energy, Inc. (a) 3,558 174,840 Duke Energy Corp. 16,411 332,979 Edison International 16,018 786,964 Entergy Corp. 10,115 1,061,266 Equitable Resources, Inc. 4,213 203,572 Great Plains Energy, Inc. 756 24,532 KeySpan Corp. 2,606 107,237 National Fuel Gas Co. 2,887 124,892 Nicor, Inc. (b) 2,294 111,075 NiSource, Inc. 3,836 93,752 OGE Energy Corp. 2,565 99,522 ONEOK, Inc. 3,335 150,075 Progress Energy, Inc. (b) 10,561 532,697 TXU Corp. 18,189 1,165,915 WGL Holdings, Inc. 1,000 31,980 ------------ 5,699,988 ------------ Total Common Stocks (Cost $181,217,083) 201,740,769 ------------
Investment Company 2.0% Capital Markets - 2.0% & S&P 500 Index-SPDR Trust, Series 1 (b)(c) 28,710 4,078,256 ------------ Total Investment Company (Cost $4,037,819) 4,078,256 ------------
Short-Term Investments 6.2% Investment Company - 1.7% BGI Institutional Money Market Fund (d) 3,433,322 3,433,322 ------------ Total Investment Company (Cost $3,433,322) 3,433,322 ------------
PRINCIPAL AMOUNT ----------- Repurchase Agreement - 3.2% Morgan Stanley & Co. 5.54%, dated 3/30/07 due 4/2/07 Proceeds at Maturity $6,641,695 (Collateralized by various Corporate Bonds, with rates between 0.00%-8.38% and maturity dates between 8/1/07-9/15/99, with a Principal Amount of $6,752,529 and a Market Value of $6,864,414) (d) $ 6,638,629 6,638,629 ------------ Total Repurchase Agreement (Cost $6,638,629) 6,638,629 ------------ Time Deposit - 1.3% Citigroup, Inc. 5.38%, due 4/2/07 (d) 2,766,095 2,766,095 ------------ Total Time Deposit (Cost $2,766,095) 2,766,095 ------------ Total Short-Term Investments (Cost $12,838,046) 12,838,046 ------------ Total Investments (Cost $198,092,948) (f) 105.9% 218,657,071 Liabilities in Excess of Cash and Other Assets (5.9) (12,201,841) ----------- ------------ Net Assets 100.0% $206,455,230 =========== ============
- ---------- & Among the Fund's 10 largest holdings, excluding short-term investments. May be subject to change daily. (a) Non-income producing security. (b) Represents a security, or a portion thereof, which is out on loan. (c) Exchange Traded Fund -- represents a basket of securities that are traded on an exchange. (d) Represents a security, or a portion thereof, purchased with cash collateral received for securities on loan. (e) REIT -- Real Estate Investment Trust. (f) Aggregate cost for federal income tax purposes is $199,519,307 and net unrealized appreciation is as follows: Gross unrealized appreciation $23,200,089 Gross unrealized depreciation (4,062,325) ----------- Net unrealized appreciation $19,137,764 ===========
ITEM 2. CONTROLS AND PROCEDURES. (a) Based on an evaluation of the Disclosure Controls and Procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, the "Disclosure Controls") as of a date within 90 days prior to the filing date (the "Filing Date") of this Form N-Q (the "Report"), the Registrant's principal executive and principal financial officers have concluded that the Disclosure Controls are reasonably designed to ensure that information required to be disclosed by the Registrant in the Report is recorded, processed, summarized and reported by the Filing Date, including ensuring that information required to be disclosed in the Report is accumulated and communicated to the Registrant's management, including the Registrant's principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure. (b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)). SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized. McMorgan Funds By: /s/: Mark R. Taylor ------------------------------------ Mark R. Taylor President and Principal Executive Officer Date: May 24, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. By: /s/: Mark R. Taylor ------------------------------------ Mark R. Taylor President and Principal Executive Officer Date: May 24, 2007 By: /s/: Arphiela Arizmendi ------------------------------------ Arphiela Arizmendi Treasurer and Principal Financial and Accounting Officer Date: May 24, 2007 EX-99.CERT 2 w33938exv99wcert.txt CERTIFICATIONS [EX-99.CERT] CERTIFICATION I, Mark R. Taylor, President Principal Executive Officer of McMorgan Funds certify that: 1. I have reviewed this report on Form N-Q of McMorgan Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/: Mark R. Taylor ------------------------------------ Mark R. Taylor President and Principal Executive Officer Date: May 24, 2007 CERTIFICATION I, Arphiela Arizmendi, Treasurer and Principal Financial and Accounting Officer of McMorgan Funds certify that: 1. I have reviewed this report on Form N-Q of McMorgan Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/: Arphiela Arizmendi ------------------------------------ Arphiela Arizmendi Treasurer and Principal Financial and Accounting Officer Date: May 24, 2007 -----END PRIVACY-ENHANCED MESSAGE-----