N-Q 1 dnq.htm dnq.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-03668

THE WRIGHT MANAGED INCOME TRUST
440 Wheelers Farms Road
Milford, Connecticut 06461


Christopher A. Madden
Three Canal Plaza, Suite 600
Portland, ME 04101
207-347-2000


Date of fiscal year end: December 31

Date of reporting period: January 1, 2012 – March 31, 2012


 
 
 
 

Item 1.  Schedule of Investments.

                 
Wright Total Return Bond Fund (WTRB)
           
Portfolio of Investments – As of March 31, 2012 (Unaudited)
         
 
 
Face Amount
 
Description
 
Coupon Rate
   
Maturity Date
   
Value
 

FIXED INCOME INVESTMENTS - 98.4%


ASSET-BACKED SECURITIES - 1.2%

$
146,961
 
Harley-Davidson Motorcycle Trust, Series 2009-1, Class A4
 
4.550
%
   
01/15/17
 
 $
148,472
 
 
195,000
 
PSE&G Transition Funding LLC, Series 2001-1, Class A7
 
6.750
%
   
06/15/16
 
 
216,424
 
 
Total Asset-Backed Securities (identified cost, $352,647)
 
$
364,896
 
 
COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.7%

$
275,000
 
Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A5
 
4.733
%
   
10/15/41
 
 $
294,756
 
 
322,213
 
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-C3, Class A5
 
3.936
%
   
05/15/38
 
 
328,877
 
 
250,998
 
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C1, Class A3
 
4.813
%
   
02/15/38
 
 
258,983
 
 
435,000
 
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-C3, Class A5
 
4.878
%
   
01/15/42
 
 
469,613
 
 
300,000
 
LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4
 
5.372
%
   
09/15/39
 
 
340,869
 
 
315,000
 
Merrill Lynch Mortgage Trust, Series 2005-LC1, Class A4
 
5.291
%
(1)
 
01/12/44
 
 
351,526
 
 
310,000
 
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4
 
5.898
%
(1)
 
06/12/46
 
 
354,818
 
 
Total Commercial Mortgage-Backed Securities (identified cost, $2,207,983)
 
$
2,399,442
 
 
RESIDENTIAL MORTGAGE-BACKED SECURITIES - 0.1%

$
49,369
 
Wells Fargo Mortgage Backed Securities Trust, Series 2004-K, Class 1A2
 
2.735
%
(1)
 
07/25/34
 
 $
49,228
 
 
Total Residential Mortgage-Backed Securities (identified cost, $41,543)
 
$
49,228
 
 
CORPORATE BONDS - 48.0%

 
AUTO MANUFACTURERS - 0.4%
$
110,000
 
Daimler Finance North America, LLC
 
6.500
%
   
11/15/13
 
 $
119,841
 
 
CAPITAL GOODS - 0.4%
$
110,000
 
PACCAR, Inc.
 
6.875
%
   
02/15/14
 
 $
122,374
 
 
COMMUNICATIONS EQUIPMENT - 1.0%
$
300,000
 
eBay, Inc.
 
3.250
%
   
10/15/20
 
 $
305,623
 
 
CONSUMER DURABLES & APPAREL - 0.4%
$
115,000
 
Hasbro, Inc.
 
6.125
%
   
05/15/14
 
 $
125,135
 
 
CONSUMER SERVICES - 0.2%
$
60,000
 
Brinker International, Inc.
 
5.750
%
   
06/01/14
 
 $
63,663
 
 
DIVERSIFIED FINANCIALS - 13.8%
$
135,000
 
American Express Credit Corp., Series C
 
7.300
%
   
08/20/13
 
 $
146,133
 
 
55,000
 
Ameriprise Financial, Inc.
 
5.650
%
   
11/15/15
 
 
62,518
 
 
135,000
 
Bank of America Corp., MTN
 
5.000
%
   
05/13/21
 
 
135,454
 
 
140,000
 
Bear Stearns Cos., LLC (The)
 
5.700
%
   
11/15/14
 
 
154,792
 
 
65,000
 
BlackRock, Inc.
 
3.500
%
   
12/10/14
 
 
69,644
 
 
55,000
 
Capital One Financial Corp.
 
7.375
%
   
05/23/14
 
 
60,914
 
 
260,000
 
Citigroup, Inc.
 
6.500
%
   
08/19/13
 
 
275,151
 
 
160,000
 
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands
 
2.125
%
   
10/13/15
 
 
161,216
 
 
130,000
 
Credit Suisse USA, Inc.
 
0.830
%
(1)
 
04/12/13
 
 
129,519
 
 
260,000
 
Eaton Vance Corp.
 
6.500
%
   
10/02/17
 
 
296,354
 
 
135,000
 
Equifax, Inc.
 
4.450
%
   
12/01/14
 
 
143,327
 
 
225,000
 
General Electric Capital Corp., MTN, Series A
 
6.750
%
   
03/15/32
 
 
269,606
 
 
100,000
 
Goldman Sachs Group, Inc. (The)
 
1.071
%
(1)
 
09/29/14
 
 
96,201
 
 
115,000
 
Goldman Sachs Group, Inc. (The)
 
6.150
%
   
04/01/18
 
 
124,198
 
 
110,000
 
JPMorgan Chase & Co.
 
6.300
%
   
04/23/19
 
 
127,291
 
 
125,000
 
Merrill Lynch & Co., Inc.
 
6.050
%
   
05/16/16
 
 
131,734
 
 
150,000
 
Moody's Corp.
 
5.500
%
   
09/01/20
 
 
157,261
 
 
150,000
 
Morgan Stanley
 
5.500
%
   
07/28/21
 
 
146,856
 
 
120,000
 
Nomura Holdings, Inc.
 
5.000
%
   
03/04/15
 
 
124,875
 
 
135,000
 
PNC Funding Corp.
 
4.250
%
   
09/21/15
 
 
147,528
 
 
55,000
 
SunTrust Banks, Inc.
 
6.000
%
   
09/11/17
 
 
61,876
 
  130,000  
TD Ameritrade Holding Corp.
 
4.150
%     12/01/14    
138,967
 
   300,000  
Toyota Motor Credit Corp., MTN
 
3.300
%      01/12/22    
306,466
 
   220,000  
US Bancorp, MTN
 
3.150
%      03/04/15    
232,577
 
   280,000  
Wells Fargo & Co.
 
3.625
%      04/15/15    
298,327
 
   280,000  
Westpac Banking Corp.
 
4.200
%      02/27/15    
300,931
 
                           
 
ENERGY - 2.1%
$
205,000
 
Baker Hughes, Inc.
 
6.875
%
   
01/15/29
 
 $
271,492
 
 
70,000
 
Cimarex Energy Co.
 
7.125
%
   
05/01/17
 
 
72,450
 
 
50,000
 
Newfield Exploration Co.
 
6.625
%
   
04/15/16
 
 
51,375
 
 
50,000
 
ONEOK Partners LP
 
6.850
%
   
10/15/37
 
 
59,838
 
 
60,000
 
Oneok, Inc.
 
5.200
%
   
06/15/15
 
 
65,466
 
 
70,000
 
Peabody Energy Corp.
 
7.375
%
   
11/01/16
 
 
77,175
 
 
55,000
 
Valero Energy Corp.
 
9.375
%
   
03/15/19
 
 
72,138
 
 
FOOD, BEVERAGE & TOBACCO - 2.3%
$
60,000
 
Altria Group, Inc.
 
8.500
%
   
11/10/13
 
 $
67,070
 
 
55,000
 
Altria Group, Inc.
 
9.700
%
   
11/10/18
 
 
74,832
 
 
140,000
 
ConAgra Foods, Inc.
 
5.875
%
   
04/15/14
 
 
152,992
 
 
150,000
 
Corn Products International, Inc.
 
4.625
%
   
11/01/20
 
 
158,496
 
 
100,000
 
PepsiCo, Inc.
 
7.900
%
   
11/01/18
 
 
134,590
 
 
105,000
 
Philip Morris International, Inc.
 
6.875
%
   
03/17/14
 
 
117,787
 
 
HEALTH CARE EQUIPMENT & SERVICES - 2.7%
$
155,000
 
Cigna Corp.
 
2.750
%
   
11/15/16
 
 $
157,103
 
 
135,000
 
Hospira, Inc.
 
5.900
%
   
06/15/14
 
 
145,794
 
 
75,000
 
Laboratory Corp. of America Holdings
 
3.125
%
   
05/15/16
 
 
77,632
 
 
40,000
 
McKesson Corp.
 
6.500
%
   
02/15/14
 
 
44,010
 
 
100,000
 
Medtronic, Inc.
 
4.500
%
   
03/15/14
 
 
107,229
 
 
130,000
 
UnitedHealth Group, Inc.
 
6.000
%
   
02/15/18
 
 
157,217
 
 
145,000
 
WellPoint, Inc.
 
4.350
%
   
08/15/20
 
 
157,224
 
 
HOUSEHOLD & PERSONAL PRODUCTS - 0.6%
$
115,000
 
Avon Products, Inc.
 
5.625
%
   
03/01/14
 
 $
123,207
 
 
60,000
 
Estee Lauder Cos., Inc. (The)
 
6.000
%
   
05/15/37
 
 
74,840
 
 
INDUSTRIAL - 0.2%
$
70,000
 
Greif, Inc.
 
6.750
%
   
02/01/17
 
 $
75,600
 
 
INSURANCE - 4.6%
$
100,000
 
ACE INA Holdings, Inc.
 
5.875
%
   
06/15/14
 
 $
110,214
 
 
275,000
 
Loews Corp.
 
5.250
%
   
03/15/16
 
 
304,377
 
 
125,000
 
MetLife, Inc.
 
5.000
%
   
06/15/15
 
 
138,353
 
 
46,000
 
OneBeacon US Holdings, Inc.
 
5.875
%
   
05/15/13
 
 
47,353
 
 
255,000
 
PartnerRe Finance B, LLC
 
5.500
%
   
06/01/20
 
 
264,423
 
 
55,000
 
Principal Financial Group, Inc.
 
8.875
%
   
05/15/19
 
 
70,304
 
 
130,000
 
Principal Life Income Funding Trusts, MTN
 
0.703
%
(1)
 
11/08/13
 
 
129,580
 
 
90,000
 
Prudential Financial, Inc., MTN
 
4.500
%
   
11/15/20
 
 
95,656
 
 
50,000
 
Prudential Financial, Inc., MTN, Series D
 
7.375
%
   
06/15/19
 
 
61,895
 
 
200,000
 
Travelers Cos., Inc. (The)
 
5.500
%
   
12/01/15
 
 
226,986
 
 
MATERIALS - 1.4%
$
145,000
 
Airgas, Inc.
 
4.500
%
   
09/15/14
 
 $
155,402
 
 
120,000
 
Dow Chemical Co. (The)
 
7.375
%
   
03/01/23
 
 
144,361
 
 
100,000
 
Lubrizol Corp.
 
8.875
%
   
02/01/19
 
 
135,691
 
 
MEDIA - 2.4%
$
90,000
 
Comcast Cable Communications Holdings, Inc.
 
9.455
%
   
11/15/22
 
 $
130,714
 
 
150,000
 
DIRECTV Holdings, LLC / DIRECTV Financing Co, Inc.
 
5.000
%
   
03/01/21
 
 
162,864
 
 
95,000
 
McGraw-Hill Cos., Inc. (The)
 
5.900
%
   
11/15/17
 
 
111,295
 
 
50,000
 
Time Warner Cable, Inc.
 
8.250
%
   
04/01/19
 
 
64,034
 
 
115,000
 
Time Warner Cos., Inc.
 
6.950
%
   
01/15/28
 
 
139,434
 
 
120,000
 
Viacom, Inc.
 
4.375
%
   
09/15/14
 
 
129,454
 
 
MINING - 0.5%
$
80,000
 
Barrick Gold Financeco, LLC
 
6.125
%
   
09/15/13
 
 $
85,836
 
 
50,000
 
Rio Tinto Finance USA, Ltd.
 
8.950
%
   
05/01/14
 
 
57,992
 

MISCELLANEOUS MANUFACTURING - 0.2%
$
55,000
 
Tyco International Finance SA
 
8.500
%
   
01/15/19
 
 $
71,378
 
 
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES - 0.4%
$
115,000
 
Wyeth LLC
 
5.500
%
   
02/01/14
 
 $
125,143
 
 
PIPELINES - 0.9%
$
60,000
 
Spectra Energy Capital, LLC
 
5.650
%
   
03/01/20
 
 $
67,505
 
 
170,000
 
TransCanada PipeLines, Ltd.
 
6.500
%
   
08/15/18
 
 
210,031
 
 
RETAILING - 1.8%
$
55,000
 
AutoZone, Inc.
 
5.750
%
   
01/15/15
 
 $
60,974
 
 
135,000
 
Best Buy Co., Inc.
 
6.750
%
   
07/15/13
 
 
143,234
 
 
145,000
 
Kohl's Corp.
 
4.000
%
   
11/01/21
 
 
149,874
 
 
72,000
 
Ltd. Brands, Inc.
 
5.250
%
   
11/01/14
 
 
76,680
 
 
120,000
 
Safeway, Inc.
 
5.000
%
   
08/15/19
 
 
127,638
 
 
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.7%
$
165,000
 
Applied Materials, Inc.
 
7.125
%
   
10/15/17
 
 $
205,665
 
 
SOFTWARE & SERVICES - 3.3%
$
140,000
 
Adobe Systems, Inc.
 
4.750
%
   
02/01/20
 
 $
152,452
 
 
140,000
 
Dun & Bradstreet Corp. (The)
 
6.000
%
   
04/01/13
 
 
146,814
 
 
145,000
 
Ingram Micro, Inc.
 
5.250
%
   
09/01/17
 
 
153,031
 
 
105,000
 
International Business Machines Corp.
 
7.625
%
   
10/15/18
 
 
140,252
 
 
245,000
 
Oracle Corp.
 
5.375
%
   
07/15/40
 
 
284,383
 
 
150,000
 
Symantec Corp.
 
4.200
%
   
09/15/20
 
 
153,285
 
 
TECHNOLOGY HARDWARE & EQUIPMENT - 1.0%
$
30,000
 
Dell, Inc.
 
5.625
%
   
04/15/14
 
 $
32,908
 
 
140,000
 
Harris Corp.
 
5.000
%
   
10/01/15
 
 
153,199
 
 
140,000
 
Pitney Bowes, Inc., MTN
 
5.250
%
   
01/15/37
 
 
140,006
 
 
TELECOMMUNICATIONS - 2.4%
$
155,000
 
BellSouth Corp.
 
6.000
%
   
11/15/34
 
 $
168,371
 
 
70,000
 
British Telecommunications PLC
 
9.625
%
   
12/15/30
 
 
103,260
 
 
105,000
 
Cellco Partnership / Verizon Wireless Capital, LLC
 
5.550
%
   
02/01/14
 
 
113,611
 
 
145,000
 
Telefonica Emisiones SAU
 
4.949
%
   
01/15/15
 
 
149,616
 
 
150,000
 
Verizon Global Funding Corp.
 
7.750
%
   
12/01/30
 
 
203,718
 
 
TRANSPORTATION - 0.5%
$
120,000
 
Burlington Northern Santa Fe, LLC
 
6.200
%
   
08/15/36
 
 $
143,621
 
 
UTILITIES - 3.8%
$
115,000
 
American Electric Power Co., Inc.
 
5.250
%
   
06/01/15
 
 $
125,528
 
 
110,000
 
Consolidated Edison Co. of New York, Inc.
 
7.125
%
   
12/01/18
 
 
142,612
 
 
90,000
 
Dominion Resources, Inc., Series E
 
6.300
%
   
03/15/33
 
 
106,805
 
 
115,000
 
Duke Energy Indiana, Inc.
 
5.000
%
   
09/15/13
 
 
121,331
 
 
80,000
 
Exelon Generation Co., LLC
 
5.200
%
   
10/01/19
 
 
88,933
 
 
115,000
 
NextEra Energy Capital Holdings, Inc., Series D
 
7.300
%
(1)
 
09/01/67
 
 
121,460
 
 
50,000
 
Pacific Gas & Electric Co.
 
8.250
%
   
10/15/18
 
 
66,276
 
 
138,000
 
PPL Energy Supply, LLC
 
6.300
%
   
07/15/13
 
 
146,634
 
 
60,000
 
Public Service Electric & Gas Co., MTN
 
5.300
%
   
05/01/18
 
 
71,095
 
 
125,000
 
Sempra Energy
 
6.500
%
   
06/01/16
 
 
147,898
 
 
55,000
 
TransAlta Corp.
 
4.750
%
   
01/15/15
 
 
58,714
 

Total Corporate Bonds (identified cost, $13,961,448)
 
$
14,972,062
 
 
U.S. GOVERNMENT INTERESTS - 41.4%
 
AGENCY MORTGAGE-BACKED SECURITIES - 26.0%
$
125,544
 
FHLMC Gold Pool #A32600
         5.500
%
   
05/01/35
 
 $
137,607
 
 
29,163
 
FHLMC Gold Pool #C01646
         6.000
%
   
09/01/33
 
 
32,623
 
 
21,192
 
FHLMC Gold Pool #C27663
         7.000
%
   
06/01/29
 
 
24,793
 
 
95,835
 
FHLMC Gold Pool #C47318
         7.000
%
   
09/01/29
 
 
114,156
 
 
145,742
 
FHLMC Gold Pool #C66878
         6.500
%
   
05/01/32
 
 
165,915
 
 
119,819
 
FHLMC Gold Pool #C91046
         6.500
%
   
05/01/27
 
 
134,100
 
 
19,353
 
FHLMC Gold Pool #D66753
         6.000
%
   
10/01/23
 
 
21,461
 
 
4,807
 
FHLMC Gold Pool #E00903
         7.000
%
   
10/01/15
 
 
5,190
 
 
154,418
 
FHLMC Gold Pool #G01035
         6.000
%
   
05/01/29
 
 
172,834
 
 
75,948
 
FHLMC Gold Pool #G02478
         5.500
%
   
12/01/36
 
 
82,795
 
 
62,301
 
FHLMC Gold Pool #H19018
         6.500
%
   
08/01/37
 
 
69,357
 
 
89,465
 
FHLMC Gold Pool #N30514
         5.500
%
   
11/01/28
 
 
96,748
 
 
251,684
 
FHLMC Gold Pool #P00024
         7.000
%
   
09/01/32
 
 
291,096
 
 
12,519
 
FHLMC Gold Pool #P50031
         7.000
%
   
08/01/18
 
 
13,093
 
 
43,981
 
FHLMC Gold Pool #P50064
         7.000
%
   
09/01/30
 
 
49,711
 
 
62,877
 
FHLMC Pool #1B1291
 
         2.500
%
(1)
 
11/01/33
 
 
66,939
 
 
182,542
 
FHLMC Pool #1G0233
 
         2.511
%
(1)
 
05/01/35
 
 
192,398
 
 
25,258
 
FHLMC Pool #781071
 
         5.231
%
(1)
 
11/01/33
 
 
27,137
 
 
22,051
 
FHLMC Pool #781804
 
         5.078
%
(1)
 
07/01/34
 
 
23,679
 
 
11,974
 
FHLMC Pool #781884
 
         5.180
%
(1)
 
08/01/34
 
 
12,839
 
 
35,391
 
FHLMC Pool #782862
 
         5.036
%
(1)
 
11/01/34
 
 
37,837
 
 
186,633
 
FHLMC, Series 1983, Class Z
         6.500
%
   
12/15/23
 
 
212,111
 
 
136,507
 
FHLMC, Series 2044, Class PE
         6.500
%
   
04/15/28
 
 
156,663
 
 
550,000
 
FHLMC, Series 2627, Class MW
         5.000
%
   
06/15/23
 
 
622,074
 
 
93,315
 
FNMA Pool #253057
 
         8.000
%
   
12/01/29
 
 
111,449
 
 
4,868
 
FNMA Pool #254845
 
         4.000
%
   
07/01/13
 
 
5,157
 
 
5,344
 
FNMA Pool #254863
 
         4.000
%
   
08/01/13
 
 
5,624
 
 
13,176
 
FNMA Pool #479477
 
         6.000
%
   
01/01/29
 
 
14,722
 
 
12,677
 
FNMA Pool #489357
 
         6.500
%
   
03/01/29
 
 
14,504
 
 
13,916
 
FNMA Pool #535332
 
         8.500
%
   
04/01/30
 
 
17,071
 
 
27,274
 
FNMA Pool #545782
 
         7.000
%
   
07/01/32
 
 
32,047
 
 
12,853
 
FNMA Pool #597396
 
         6.500
%
   
09/01/31
 
 
14,641
 
 
75,169
 
FNMA Pool #621284
 
         6.500
%
   
12/01/31
 
 
85,627
 
 
30,156
 
FNMA Pool #725866
 
         4.500
%
   
09/01/34
 
 
32,131
 
 
79,273
 
FNMA Pool #738630
 
         5.500
%
   
11/01/33
 
 
87,130
 
 
243,937
 
FNMA Pool #745001
 
         6.500
%
   
09/01/35
 
 
276,579
 
 
136,994
 
FNMA Pool #745467
 
         5.568
%
(1)
 
04/01/36
 
 
146,606
 
 
242,730
 
FNMA Pool #745755
 
         5.000
%
   
12/01/35
 
 
262,738
 
 
99,951
 
FNMA Pool #747529
 
         4.500
%
   
10/01/33
 
 
106,575
 
 
472,511
 
FNMA Pool #781893
 
         4.500
%
   
11/01/31
 
 
509,214
 
 
31,898
 
FNMA Pool #809888
 
         4.500
%
   
03/01/35
 
 
33,977
 
 
579,316
 
FNMA Pool #888366
 
         7.000
%
   
04/01/37
 
 
672,541
 
 
512,899
 
FNMA Pool #888367
 
         7.000
%
   
03/01/37
 
 
595,437
 
 
262,580
 
FNMA Pool #888417
 
         6.500
%
   
01/01/36
 
 
300,425
 
 
44,016
 
FNMA Pool #906455
 
         6.034
%
(1)
 
01/01/37
 
 
47,713
 
 
24,741
 
GNMA I Pool #374892
 
         7.000
%
   
02/15/24
 
 
28,507
 
 
24,312
 
GNMA I Pool #376400
 
         6.500
%
   
02/15/24
 
 
27,977
 
 
27,108
 
GNMA I Pool #379982
 
         7.000
%
   
02/15/24
 
 
31,233
 
 
138,180
 
GNMA I Pool #393347
 
         7.500
%
   
02/15/27
 
 
163,473
 
 
52,673
 
GNMA I Pool #410081
 
         8.000
%
   
08/15/25
 
 
62,843
 
 
32,392
 
GNMA I Pool #427199
 
         7.000
%
   
12/15/27
 
 
38,049
 
 
1,137
 
GNMA I Pool #436214
 
         6.500
%
   
02/15/13
 
 
1,256
 
 
35,743
 
GNMA I Pool #448490
 
         7.500
%
   
03/15/27
 
 
39,281
 
 
44,607
 
GNMA I Pool #458762
 
         6.500
%
   
01/15/28
 
 
52,085
 
 
33,934
 
GNMA I Pool #460726
 
         6.500
%
   
12/15/27
 
 
39,601
 
 
14,588
 
GNMA I Pool #488924
 
         6.500
%
   
11/15/28
 
 
17,033
 
 
12,145
 
GNMA I Pool #510706
 
         8.000
%
   
11/15/29
 
 
14,707
 
 
27,455
 
GNMA I Pool #581536
 
         5.500
%
   
06/15/33
 
 
30,866
 
 
84,704
 
GNMA II Pool #002630
 
         6.500
%
   
08/20/28
 
 
97,354
 
 
4,323
 
GNMA II Pool #002909
 
         8.000
%
   
04/20/30
 
 
5,439
 
 
10,654
 
GNMA II Pool #002972
 
         7.500
%
   
09/20/30
 
 
12,774
 
 
3,961
 
GNMA II Pool #002973
 
         8.000
%
   
09/20/30
 
 
4,807
 
 
38,705
 
GNMA II Pool #003095
 
         6.500
%
   
06/20/31
 
 
44,606
 
 
266,159
 
GNMA II Pool #004841
 
         8.000
%
   
08/20/31
 
 
319,226
 
 
884,937
 
GNMA, Series 2010-44, Class NK
         4.000
%
   
10/20/37
 
 
941,662
 
 
U.S. TREASURIES - 15.4%
$
170,000
 
U.S. Treasury Bond
 
6.125
%
   
11/15/27
 
 $
240,258
 
 
40,000
 
U.S. Treasury Note
 
1.375
%
   
04/15/12
 
 
40,022
 
 
895,000
 
U.S. Treasury Note
 
3.875
%
   
02/15/13
 
 
923,563
 
 
200,000
 
U.S. Treasury Note
 
2.375
%
   
02/28/15
 
 
210,656
 
 
395,000
 
U.S. Treasury Note
 
1.875
%
   
06/30/15
 
 
411,201
 
 
595,000
 
U.S. Treasury Note
 
3.250
%
   
06/30/16
 
 
654,035
 
 
525,000
 
U.S. Treasury Note
 
4.500
%
   
05/15/17
 
 
614,332
 
 
400,000
 
U.S. Treasury Note
 
2.750
%
   
05/31/17
 
 
433,125
 
 
350,000
 
U.S. Treasury Note
 
3.125
%
   
05/15/19
 
 
385,465
 
 
825,000
 
U.S. Treasury Strip
 
3.140 – 4.845
%
(2)
 
11/15/30
 
 
444,148
 
 
1,095,000
 
U.S. Treasury Strip
 
3.250 – 5.045
%
(2)
 
08/15/39
 
 
423,347
 
 
Total U.S. Government Interests (identified cost, $12,201,426)
 
$
12,887,995
 

TOTAL FIXED INCOME INVESTMENTS (identified cost, $28,765,047) — 98.4%
 
$
30,673,623
 

SHORT-TERM INVESTMENTS - 2.4%

$
749,851
 
Fidelity Government Money Market Fund, 0.01%(1)
             
 $
749,851
 
 
TOTAL SHORT-TERM INVESTMENTS (identified cost, $749,851) — 2.4%
 
$
749,851
 

TOTAL INVESTMENTS (identified cost, $29,514,898) — 100.8%
 
$
31,423,474
 

LIABILITIES, IN EXCESS OF OTHER ASSETS — (0.8)%
   
(262,050
)

NET ASSETS — 100.0%
 
$
31,161,424
 

FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
LLC — Limited Liability Company
LP — Limited Partnership
MTN — Medium Term Note
PLC — Public Limited Company
(1)
Variable rate security. Rate presented is as of March 31, 2012.
(2)
Rate presented is yield to maturity.


The Fund has a three-tier fair value hierarchy. The basis of the tiers is dependent upon the various “inputs” used to determine the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
 
Level 1 – quoted prices in active markets for identical assets
 
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
 
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
 
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012.
 

Asset Description
Quoted Prices in Active Markets
for Identical Assets (Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total

Asset-Backed Securities
 
$
-
   
$
364,896
   
$
-
   
$
364,896
 
Commercial Mortgage-Backed Securities
   
-
     
2,399,442
     
-
     
2,399,442
 
Residential Mortgage-Backed Securities
   
-
     
49,228
     
-
     
49,228
 
Corporate Bonds
   
-
     
14,972,062
     
-
     
14,792,062
 
U.S. Government Interests
   
-
     
12,887,995
     
-
     
12,887,995
 
Short-Term Investments
   
-
     
749,851
     
-
     
749,851
 
Total Investments
 
$
-
   
$
31,423,474
   
$
-
   
$
31,423,474
 
 
 
The level classification by major category of investments is the same as the category presentation in the Fund’s Portfolio of Investments.
 
There were no significant transfers between Level 1 and Level 2 for the period ended March 31, 2012.
 
THE PORTFOLIO OF INVESTMENTS SHOULD BE READ IN CONJUNCTION WITH THE FINANCIAL STATEMENTS AND NOTES TO FINANCIAL STATEMENTS WHICH ARE INCLUDED IN THE FUND’S AUDITED ANNUAL REPORT OR SEMI-ANNUAL REPORT. THESE REPORTS INCLUDE ADDITIONAL INFORMATION ABOUT THE FUND’S SECURITY VALUATION POLICIES AND ABOUT CERTAIN SECURITY TYPES INVESTED BY THE FUND.
 
 
 
 

                 
Wright Current Income Fund (WCIF)
           
Portfolio of Investments – As of March 31, 2012 (Unaudited)
         

 
Face Amount
 
Description
   
 Coupon Rate
        Maturity Date  
 
Value
 
                             
FIXED INCOME INVESTMENTS - 98.7%
         
                             
AGENCY MORTGAGE-BACKED SECURITIES - 98.7%
$
20,154
 
FHLMC Gold Pool #C00548
      7.000
%
   
08/01/27
 
 $
23,543
 
 
60,842
 
FHLMC Gold Pool #C00778
      7.000
%
   
06/01/29
 
 
71,180
 
 
131,039
 
FHLMC Gold Pool #C01375
      6.500
%
   
07/01/32
 
 
151,510
 
 
249,672
 
FHLMC Gold Pool #C91034
      6.000
%
   
06/01/27
 
 
275,976
 
 
50,025
 
FHLMC Gold Pool #D81642
      7.500
%
   
08/01/27
 
 
59,487
 
 
69,147
 
FHLMC Gold Pool #D82572
      7.000
%
   
09/01/27
 
 
80,777
 
 
20,277
 
FHLMC Gold Pool #E00678
      6.500
%
   
06/01/14
 
 
21,366
 
 
20,398
 
FHLMC Gold Pool #E00721
      6.500
%
   
07/01/14
 
 
21,493
 
 
32,494
 
FHLMC Gold Pool #E81704
      8.500
%
   
05/01/15
 
 
35,161
 
 
710,433
 
FHLMC Gold Pool #G02791
      5.500
%
   
04/01/37
 
 
773,370
 
 
216,724
 
FHLMC Gold Pool #G02809
      6.500
%
   
05/01/36
 
 
244,802
 
 
171,952
 
FHLMC Gold Pool #G08012
      6.500
%
   
09/01/34
 
 
194,946
 
 
1,266,535
 
FHLMC Gold Pool #G08081
      6.000
%
   
09/01/35
 
 
1,404,123
 
 
910,912
 
FHLMC Gold Pool #G08378
      6.000
%
   
10/01/39
 
 
1,005,385
 
 
293,103
 
FHLMC Gold Pool #H09054
      4.500
%
   
03/01/37
 
 
307,672
 
 
132,424
 
FHLMC Gold Pool #H09098
      6.500
%
   
10/01/37
 
 
147,463
 
 
251,684
 
FHLMC Gold Pool #P00024
      7.000
%
   
09/01/32
 
 
291,096
 
 
223,201
 
FHLMC Gold Pool #P50019
      7.000
%
   
07/01/24
 
 
250,395
 
 
89,267
 
FHLMC, Series 2176, Class OJ
      7.000
%
   
08/15/29
 
 
103,168
 
 
63,045
 
FHLMC, Series 2201, Class C
      8.000
%
   
11/15/29
 
 
75,269
 
 
331,235
 
FHLMC, Series 2218, Class ZB
      6.000
%
   
03/15/30
 
 
373,318
 
 
137,346
 
FHLMC, Series 2259, Class ZM
      7.000
%
   
10/15/30
 
 
162,508
 
 
100,000
 
FHLMC, Series 2576, Class HC
      5.500
%
   
03/15/33
 
 
112,248
 
 
785,000
 
FHLMC, Series 3004, Class HK
      5.500
%
   
07/15/35
 
 
797,082
 
 
986,412
 
FHLMC, Series 3033, Class WY
      5.500
%
   
09/15/35
 
 
1,110,048
 
 
200,000
 
FHLMC, Series 3072, Class DL
      6.000
%
   
02/15/35
 
 
239,406
 
 
135,000
 
FHLMC, Series 3217, Class PD
      6.000
%
   
11/15/34
 
 
143,834
 
 
565,000
 
FHLMC, Series 3605, Class NC
      5.500
%
   
06/15/37
 
 
669,402
 
 
1,000,000
 
FHLMC, Series 3662, Class PJ
      5.000
%
   
04/15/40
 
 
1,128,286
 
 
183,842
 
FHLMC-GNMA, Series 15, Class L
      7.000
%
   
07/25/23
 
 
209,795
 
 
66,443
 
FHLMC-GNMA, Series 23, Class KZ
      6.500
%
   
11/25/23
 
 
75,877
 
 
116,834
 
FHLMC-GNMA, Series 4, Class D
      8.000
%
   
12/25/22
 
 
134,452
 
 
503,478
 
FNMA Pool #252034
 
      7.000
%
   
09/01/28
 
 
594,395
 
 
1,292,194
 
FNMA Pool #256182
 
      6.000
%
   
03/01/36
 
 
1,415,728
 
 
252,917
 
FNMA Pool #256972
 
      6.000
%
   
11/01/37
 
 
277,412
 
 
956,013
 
FNMA Pool #257138
 
      5.000
%
   
03/01/38
 
 
1,023,912
 
 
33,104
 
FNMA Pool #535131
 
      6.000
%
   
03/01/29
 
 
36,988
 
 
141,584
 
FNMA Pool #594207
 
      6.500
%
   
02/01/31
 
 
165,138
 
 
109,176
 
FNMA Pool #673315
 
      5.500
%
   
11/01/32
 
 
119,996
 
 
577,740
 
FNMA Pool #721255
 
      5.500
%
   
07/01/33
 
 
634,996
 
 
58,746
 
FNMA Pool #733750
 
      6.310
%
   
10/01/32
 
 
66,433
 
 
884,705
 
FNMA Pool #735415
 
      6.500
%
   
12/01/32
 
 
1,007,792
 
 
276,519
 
FNMA Pool #735861
 
      6.500
%
   
09/01/33
 
 
316,373
 
 
488,805
 
FNMA Pool #745001
 
      6.500
%
   
09/01/35
 
 
554,214
 
 
916,742
 
FNMA Pool #745318
 
      5.000
%
   
12/01/34
 
 
987,327
 
 
102,175
 
FNMA Pool #745630
 
      5.500
%
   
01/01/29
 
 
112,428
 
 
127,064
 
FNMA Pool #801357
 
      5.500
%
   
08/01/34
 
 
139,656
 
 
155,316
 
FNMA Pool #813839
 
      6.000
%
   
11/01/34
 
 
173,538
 
 
918,253
 
FNMA Pool #851655
 
      6.000
%
   
12/01/35
 
 
1,021,534
 
 
122,738
 
FNMA Pool #871394
 
      7.000
%
   
04/01/21
 
 
134,079
 
 
380,167
 
FNMA Pool #879922
 
      5.000
%
   
11/01/35
 
 
409,188
 
 
294,674
 
FNMA Pool #888211
 
      7.000
%
   
08/01/36
 
 
349,332
 
 
115,567
 
FNMA Pool #888367
 
      7.000
%
   
03/01/37
   
134,165
 
 
238,610
 
FNMA Pool #888534
 
      5.000
%
   
08/01/37
 
 
255,557
 
 
1,388,589
 
FNMA Pool #889307
 
      5.000
%
   
07/01/37
 
 
1,503,700
 
 
341,664
 
FNMA Pool #889649
 
      6.500
%
   
08/01/37
 
 
372,522
 
 
106,133
 
FNMA Pool #954957
 
      6.000
%
   
10/01/37
 
 
116,412
 
 
1,902,665
 
FNMA Pool #995149
 
      6.500
%
   
10/01/38
 
 
2,137,649
 
 
246,729
 
FNMA Pool #995346
 
      6.500
%
   
09/01/36
 
 
279,745
 
 
446,482
 
FNMA Pool #995656
 
      7.000
%
   
06/01/33
 
 
517,529
 
 
1,080,825
 
FNMA Pool #AB3223
 
      4.000
%
   
07/01/41
 
 
1,161,906
 
 
265,541
 
FNMA Pool #AD0756
 
      6.500
%
   
11/01/28
 
 
297,548
 
 
535,359
 
FNMA Pool #AL0886
 
      6.500
%
   
10/01/38
 
 
609,842
 
 
432,363
 
FNMA Whole Loan, Series 2004-W11 1A1
      6.000
%
   
05/25/44
 
 
484,608
 
 
188,214
 
FNMA, Series 2001-52, Class YZ
      6.500
%
   
10/25/31
 
 
219,773
 
 
125,000
 
FNMA, Series 2002-15, Class QH
      6.000
%
   
04/25/32
 
 
144,631
 
 
793,526
 
FNMA, Series 2003-32, Class BZ
      6.000
%
   
11/25/32
 
 
906,699
 
 
166,000
 
FNMA, Series 2004-25, Class LC
      5.500
%
   
04/25/34
 
 
188,918
 
 
256,000
 
FNMA, Series 2004-25, Class UC
      5.500
%
   
04/25/34
 
 
291,343
 
 
339,858
 
FNMA, Series 2004-90, Class D
      4.000
%
   
11/25/34
 
 
361,890
 
 
205,000
 
FNMA, Series 2005-106, Class UK
      5.500
%
   
12/25/35
 
 
215,397
 
 
304,000
 
FNMA, Series 2007-76, Class PE
      6.000
%
   
08/25/37
 
 
353,006
 
 
800,000
 
FNMA, Series 2007-81, Class GE
      6.000
%
   
08/25/37
 
 
932,696
 
 
170,000
 
FNMA, Series 2008-46, Class JN
      5.500
%
   
06/25/38
 
 
190,757
 
 
129,772
 
FNMA, Series 2008-86, Class GD
      6.000
%
   
03/25/36
 
 
142,522
 
 
390,000
 
FNMA, Series 2009-96, Class DB
      4.000
%
   
11/25/29
 
 
420,673
 
 
362,300
 
FNMA, Series G92-43, Class Z
      7.500
%
   
07/25/22
 
 
422,975
 
 
235,901
 
FNMA, Series G93-5, Class Z
      6.500
%
   
02/25/23
 
 
266,421
 
 
808
 
GNMA I Pool #177784
 
      8.000
%
   
10/15/16
 
 
813
 
 
7,163
 
GNMA I Pool #192357
 
      8.000
%
   
04/15/17
 
 
7,200
 
 
1,583
 
GNMA I Pool #194287
 
      9.500
%
   
03/15/17
 
 
1,593
 
 
623
 
GNMA I Pool #196063
 
      8.500
%
   
03/15/17
 
 
690
 
 
838
 
GNMA I Pool #212601
 
      8.500
%
   
06/15/17
 
 
843
 
 
1,154
 
GNMA I Pool #220917
 
      8.500
%
   
04/15/17
 
 
1,217
 
 
2,404
 
GNMA I Pool #223348
 
    10.000
%
   
08/15/18
 
 
2,420
 
 
1,944
 
GNMA I Pool #230223
 
      9.500
%
   
04/15/18
 
 
1,956
 
 
2,814
 
GNMA I Pool #260999
 
      9.500
%
   
09/15/18
 
 
2,971
 
 
4,130
 
GNMA I Pool #263439
 
    10.000
%
   
02/15/19
 
 
4,157
 
 
1,127
 
GNMA I Pool #265267
 
      9.500
%
   
08/15/20
 
 
1,135
 
 
596
 
GNMA I Pool #266983
 
    10.000
%
   
02/15/19
 
 
600
 
 
624
 
GNMA I Pool #286556
 
      9.000
%
   
03/15/20
 
 
627
 
 
743
 
GNMA I Pool #301366
 
      8.500
%
   
06/15/21
 
 
778
 
 
3,703
 
GNMA I Pool #302933
 
      8.500
%
   
06/15/21
 
 
4,382
 
 
8,933
 
GNMA I Pool #308792
 
      9.000
%
   
07/15/21
 
 
9,427
 
 
1,555
 
GNMA I Pool #314222
 
      8.500
%
   
04/15/22
 
 
1,576
 
 
1,454
 
GNMA I Pool #315187
 
      8.000
%
   
06/15/22
 
 
1,461
 
 
19,872
 
GNMA I Pool #319441
 
      8.500
%
   
04/15/22
 
 
20,275
 
 
5,005
 
GNMA I Pool #325165
 
      8.000
%
   
06/15/22
 
 
5,882
 
 
6,196
 
GNMA I Pool #335950
 
      8.000
%
   
10/15/22
 
 
6,228
 
 
93,878
 
GNMA I Pool #346987
 
      7.000
%
   
12/15/23
 
 
107,826
 
 
39,570
 
GNMA I Pool #352001
 
      6.500
%
   
12/15/23
 
 
45,350
 
 
11,440
 
GNMA I Pool #352110
 
      7.000
%
   
08/15/23
 
 
13,139
 
 
42,251
 
GNMA I Pool #368238
 
      7.000
%
   
12/15/23
 
 
48,529
 
 
22,811
 
GNMA I Pool #372379
 
      8.000
%
   
10/15/26
 
 
24,208
 
 
38,749
 
GNMA I Pool #399726
 
      7.490
%
   
05/15/25
 
 
44,970
 
 
93,035
 
GNMA I Pool #399788
 
      7.490
%
   
09/15/25
 
 
107,972
 
 
26,450
 
GNMA I Pool #399958
 
      7.490
%
   
02/15/27
 
 
30,710
 
 
24,987
 
GNMA I Pool #399964
 
      7.490
%
   
04/15/26
   
29,013
 
 
42,013
 
GNMA I Pool #410215
 
      7.500
%
   
12/15/25
 
 
49,531
 
 
3,563
 
GNMA I Pool #414736
 
      7.500
%
   
11/15/25
 
 
4,210
 
 
13,576
 
GNMA I Pool #420707
 
      7.000
%
   
02/15/26
 
 
15,849
 
 
12,159
 
GNMA I Pool #421829
 
      7.500
%
   
04/15/26
 
 
14,335
 
 
3,413
 
GNMA I Pool #431036
 
      8.000
%
   
07/15/26
 
 
3,595
 
 
13,312
 
GNMA I Pool #431612
 
      8.000
%
   
11/15/26
 
 
13,666
 
 
4,373
 
GNMA I Pool #442190
 
      8.000
%
   
12/15/26
 
 
5,055
 
 
39,996
 
GNMA I Pool #448970
 
      8.000
%
   
08/15/27
 
 
48,168
 
 
7,869
 
GNMA I Pool #449176
 
      6.500
%
   
07/15/28
 
 
9,188
 
 
20,529
 
GNMA I Pool #462623
 
      6.500
%
   
03/15/28
 
 
24,002
 
 
83,555
 
GNMA I Pool #471369
 
      5.500
%
   
05/15/33
 
 
93,962
 
 
226,736
 
GNMA I Pool #487108
 
      6.000
%
   
04/15/29
 
 
258,780
 
 
99,033
 
GNMA I Pool #489377
 
      6.375
%
   
03/15/29
 
 
113,029
 
 
331,999
 
GNMA I Pool #503405
 
      6.500
%
   
04/15/29
 
 
387,650
 
 
129,674
 
GNMA I Pool #509930
 
      5.500
%
   
06/15/29
 
 
145,703
 
 
223,608
 
GNMA I Pool #509965
 
      5.500
%
   
06/15/29
 
 
251,528
 
 
14,272
 
GNMA I Pool #538314
 
      7.000
%
   
02/15/32
 
 
16,859
 
 
51,793
 
GNMA I Pool #595606
 
      6.000
%
   
11/15/32
 
 
58,854
 
 
9,196
 
GNMA I Pool #602377
 
      4.500
%
   
06/15/18
 
 
10,029
 
 
16,761
 
GNMA I Pool #603377
 
      4.500
%
   
01/15/18
 
 
17,781
 
 
151,241
 
GNMA I Pool #615403
 
      4.500
%
   
08/15/33
 
 
166,100
 
 
83,850
 
GNMA I Pool #616829
 
      5.500
%
   
01/15/25
 
 
94,268
 
 
96,127
 
GNMA I Pool #623190
 
      6.000
%
   
12/15/23
 
 
109,081
 
 
346,070
 
GNMA I Pool #624600
 
      6.150
%
   
01/15/34
 
 
393,248
 
 
68,475
 
GNMA I Pool #640940
 
      5.500
%
   
05/15/35
 
 
77,282
 
 
29,332
 
GNMA I Pool #658267
 
      6.500
%
   
02/15/22
 
 
32,514
 
 
109,252
 
GNMA I Pool #677162
 
      5.500
%
   
08/15/23
 
 
119,741
 
 
831,142
 
GNMA I Pool #711286
 
      6.500
%
   
10/15/32
 
 
970,463
 
 
31,052
 
GNMA I Pool #780429
 
      7.500
%
   
09/15/26
 
 
36,321
 
 
175,127
 
GNMA I Pool #780492
 
      7.000
%
   
09/15/24
 
 
206,645
 
 
88,736
 
GNMA I Pool #780685
 
      6.500
%
   
12/15/27
 
 
101,888
 
 
106,053
 
GNMA I Pool #780977
 
      7.500
%
   
12/15/28
 
 
127,522
 
 
262,658
 
GNMA I Pool #781120
 
      7.000
%
   
12/15/29
 
 
309,703
 
 
1,226,139
 
GNMA I Pool #781804
 
      6.000
%
   
09/15/34
 
 
1,389,972
 
 
20,640
 
GNMA II Pool #000723
 
      7.500
%
   
01/20/23
 
 
23,959
 
 
1,680
 
GNMA II Pool #001596
 
      9.000
%
   
04/20/21
 
 
2,001
 
 
23,241
 
GNMA II Pool #002268
 
      7.500
%
   
08/20/26
 
 
27,492
 
 
64,873
 
GNMA II Pool #002442
 
      6.500
%
   
06/20/27
 
 
74,591
 
 
3,572
 
GNMA II Pool #002855
 
      8.500
%
   
12/20/29
 
 
4,377
 
 
104,070
 
GNMA II Pool #003284
 
      5.500
%
   
09/20/32
 
 
116,560
 
 
66,371
 
GNMA II Pool #003401
 
      4.500
%
   
06/20/33
 
 
72,861
 
 
397,888
 
GNMA II Pool #003403
 
      5.500
%
   
06/20/33
 
 
445,518
 
 
102,982
 
GNMA II Pool #003554
 
      4.500
%
   
05/20/34
 
 
112,858
 
 
272,599
 
GNMA II Pool #003689
 
      4.500
%
   
03/20/35
 
 
298,743
 
 
671,323
 
GNMA II Pool #003931
 
      6.000
%
   
12/20/36
 
 
758,156
 
 
37,934
 
GNMA II Pool #004149
 
      7.500
%
   
05/20/38
 
 
45,568
 
 
1,058,643
 
GNMA II Pool #004260
 
      6.000
%
   
10/20/38
 
 
1,163,099
 
 
148,334
 
GNMA II Pool #004284
 
      5.500
%
   
11/20/38
 
 
161,455
 
 
588,647
 
GNMA II Pool #004291
 
      6.000
%
   
11/20/38
 
 
662,946
 
 
362,657
 
GNMA II Pool #004308
 
      5.000
%
   
12/20/38
 
 
390,656
 
 
358,429
 
GNMA II Pool #004412
 
      5.000
%
   
04/20/39
 
 
389,015
 
 
665,053
 
GNMA II Pool #004561
 
      6.000
%
   
10/20/39
 
 
750,659
 
 
606,672
 
GNMA II Pool #004751
 
      7.000
%
   
12/20/38
 
 
726,775
 
 
163,507
 
GNMA II Pool #004752
 
      7.500
%
   
11/20/38
 
 
196,326
 
 
472,292
 
GNMA II Pool #004753
 
      8.000
%
   
08/20/30
 
 
569,263
 
 
482,822
 
GNMA II Pool #004805
 
      6.500
%
   
09/20/40
 
 
554,477
 
 
162,079
 
GNMA II Pool #004808
 
      8.000
%
   
01/20/31
   
196,417
 
 
893,220
 
GNMA II Pool #004838
 
      6.500
%
   
10/20/40
 
 
1,026,059
 
 
1,168,210
 
GNMA II Pool #004848
 
      3.500
%
   
11/20/40
 
 
1,202,273
 
 
329,899
 
GNMA II Pool #004993
 
      7.000
%
   
03/20/41
 
 
394,618
 
 
491,062
 
GNMA II Pool #005257
 
      4.000
%
   
12/20/41
 
 
519,026
 
 
916,015
 
GNMA II Pool #005294
 
      7.000
%
   
11/20/40
 
 
1,055,568
 
 
94,221
 
GNMA II Pool #575787
 
      5.760
%
   
03/20/33
 
 
105,470
 
 
101,668
 
GNMA II Pool #608120
 
      6.310
%
   
01/20/33
 
 
115,009
 
 
288,104
 
GNMA II Pool #610116
 
      5.760
%
   
04/20/33
 
 
322,638
 
 
67,865
 
GNMA II Pool #610143
 
      5.760
%
   
06/20/33
 
 
75,968
 
 
229,135
 
GNMA II Pool #612121
 
      5.760
%
   
07/20/33
 
 
256,493
 
 
218,876
 
GNMA II Pool #648541
 
      6.000
%
   
10/20/35
 
 
246,957
 
 
508,087
 
GNMA II Pool #719213
 
      6.500
%
   
02/20/33
 
 
585,476
 
 
746,430
 
GNMA, Series 1998-21, Class ZB
      6.500
%
   
09/20/28
 
 
873,285
 
 
170,671
 
GNMA, Series 1999-25, Class TB
      7.500
%
   
07/16/29
 
 
203,853
 
 
641,419
 
GNMA, Series 1999-4, Class ZB
      6.000
%
   
02/20/29
 
 
725,101
 
 
247,346
 
GNMA, Series 2000-14, Class PD
      7.000
%
   
02/16/30
 
 
291,399
 
 
192,597
 
GNMA, Series 2001-4, Class PM
      6.500
%
   
03/20/31
 
 
223,613
 
 
242,516
 
GNMA, Series 2002-22, Class GF
      6.500
%
   
03/20/32
 
 
278,623
 
 
166,578
 
GNMA, Series 2002-40, Class UK
      6.500
%
   
06/20/32
 
 
195,790
 
 
130,685
 
GNMA, Series 2002-45, Class QE
      6.500
%
   
06/20/32
 
 
149,675
 
 
215,916
 
GNMA, Series 2002-6, Class GE
      6.500
%
   
01/20/32
 
 
242,621
 
 
108,381
 
GNMA, Series 2002-7, Class PG
      6.500
%
   
01/20/32
 
 
127,410
 
 
214,000
 
GNMA, Series 2003-103, Class PC
      5.500
%
   
11/20/33
 
 
248,299
 
 
154,000
 
GNMA, Series 2003-46, Class HA
      4.500
%
   
06/20/33
 
 
170,690
 
 
179,000
 
GNMA, Series 2003-46, Class MA
      5.000
%
   
05/20/33
 
 
205,977
 
 
300,000
 
GNMA, Series 2003-46, Class ND
      5.000
%
   
06/20/33
 
 
334,342
 
 
575,000
 
GNMA, Series 2003-57, Class C
      4.500
%
   
04/20/33
 
 
642,453
 
 
117,000
 
GNMA, Series 2004-16, Class GB
      5.500
%
   
06/20/33
 
 
131,508
 
 
125,000
 
GNMA, Series 2004-63, Class AG
      6.000
%
   
07/20/32
 
 
147,900
 
 
294,248
 
GNMA, Series 2005-17, Class GE
      5.000
%
   
02/20/35
 
 
323,767
 
 
100,000
 
GNMA, Series 2005-93, Class BH
      5.500
%
   
06/20/35
 
 
116,053
 
 
239,000
 
GNMA, Series 2006-17, Class TW
      6.000
%
   
04/20/36
 
 
282,967
 
 
120,000
 
GNMA, Series 2007-18, Class B
      5.500
%
   
05/20/35
 
 
137,250
 
 
120,000
 
GNMA, Series 2007-70, Class PE
      5.500
%
   
11/20/37
 
 
131,970
 
 
300,000
 
GNMA, Series 2008-35, Class EH
      5.500
%
   
03/20/38
 
 
353,914
 
 
157,000
 
GNMA, Series 2009-47, Class LT
      5.000
%
   
06/20/39
 
 
173,368
 
 
592,668
 
GNMA, Series 2009-57, Class VB
      5.000
%
   
06/16/39
 
 
682,528
 
 
2,000,000
 
GNMA, Series 2010-116, Class PB
      5.000
%
   
06/16/40
 
 
2,388,417
 
 
313,844
 
Vendee Mortgage Trust, Series 1996-1, Class 1Z
      6.750
%
   
02/15/26
 
 
364,666
 
 
256,177
 
Vendee Mortgage Trust, Series 1998-1, Class 2E
      7.000
%
   
03/15/28
 
 
299,669
 
 
Total Agency Mortgage-Backed Securities (identified cost, $60,733,075)
 
$
63,464,686
 

TOTAL FIXED INCOME INVESTMENTS (identified cost, $60,733,075) — 98.7%
 
$
63,464,686
 

SHORT-TERM INVESTMENTS - 1.2%

 
775,722
 
Fidelity Government Money Market Fund, 0.01%(1)
             
 
775,722
 
 
TOTAL SHORT-TERM INVESTMENTS (identified cost, $775,722) — 1.2%
 
$
775,722
 

TOTAL INVESTMENTS (identified cost, $61,508,797) — 99.9%
 
$
64,240,408
 

OTHER ASSETS, IN EXCESS OF LIABILITIES — 0.1%
   
65,096
 

NET ASSETS — 100.0%
 
$
64,305,504
 

FHLMC — Federal Home Loan Mortgage Corporation
FNMA — Federal National Mortgage Association
GNMA — Government National Mortgage Association
(1)
Variable rate security. Rate presented is as of March 31, 2012.

Cost for federal income tax purposes is substantially the same as for financial statement purposes and net unrealized appreciation consists of:
 
Gross Unrealized Appreciation
 
$
2,798,626
 
Gross Unrealized Depreciation
   
(67,015
)
Net Unrealized Appreciation
 
$
2,731,611
 

 
The Fund has a three-tier fair value hierarchy. The basis of the tiers is dependent upon the various “inputs” used to determine the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
 
Level 1 – quoted prices in active markets for identical assets
 
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
 
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 

 
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2012.
 

Asset Description
Quoted Prices in Active Markets for Identical Assets (Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total

Agency Mortgage-Backed Securities
 
$
-
   
$
63,464,686
   
$
-
   
$
63,464,686
 
Short-Term Investments
   
-
     
775,722
     
-
     
775,722
 
Total Investments
 
$
-
   
$
64,240,408
   
$
-
   
$
64,240,408
 

 
The level classification by major category of investments is the same as the category presentation in the Fund’s Portfolio of Investments.
 
There were no significant transfers between Level 1 and Level 2 for the period ended March 31, 2012.
 
THE PORTFOLIO OF INVESTMENTS SHOULD BE READ IN CONJUNCTION WITH THE FINANCIAL STATEMENTS AND NOTES TO FINANCIAL STATEMENTS WHICH ARE INCLUDED IN THE FUND’S AUDITED ANNUAL REPORT OR SEMI-ANNUAL REPORT. THESE REPORTS INCLUDE ADDITIONAL INFORMATION ABOUT THE FUND’S SECURITY VALUATION POLICIES AND ABOUT CERTAIN SECURITY TYPES INVESTED BY THE FUND.
 

 
 
 

Item 2.  Controls and Procedures.

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reporting within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
 

 
 (b) There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 3.  Exhibits

Certification of Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17CFR 270.30a-2(a)) is attached hereto as Exhibit 99Cert.


 
 
 
 

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.


The Wright Managed Income Trust (On behalf of Wright Current Income Fund and Wright Total Return Bond Fund)


       
 
By:
/s/ Peter M. Donovan
 
   
Peter M. Donovan
 
   
President
 
       
 
Date:
May 7, 2012
 
       


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/ Peter M. Donovan
 
   
Peter M. Donovan
 
   
President
 
       
 
Date:
May 7, 2012
 
       
       
 
By:
/s/ Michael J. McKeen
 
   
Michael J. McKeen
 
   
Treasurer
 
       
 
Date:
May 8, 2012