Portfolio Allocation | ||||
Mortgage-Backed Obligations: |
||||
Government Agency |
52.5 | % | ||
Non-Agency |
6.2 | |||
Short-Term Notes |
21.3 | |||
U.S. Government Obligations |
18.0 | |||
Asset-Backed Securities |
2.0 | |||
Options Purchased |
0.0 | * |
* | Represents a value of less than 0.005%. |
Credit Rating Breakdown | NRSRO Only Total | |||
AAA |
98.0 | % | ||
AA |
0.4 | |||
A |
0.3 | |||
BBB |
0.3 | |||
BB |
0.2 | |||
B |
0.2 | |||
CCC |
0.6 | |||
Unrated |
0.0 | * | ||
Total |
100.0 | % |
* | Represents a value of less than 0.005%. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | April 1, 2011 | September 30, 2011 | September 30, 2011 | |||||||||
Class A |
$ | 1,000.00 | $ | 1,007.10 | $ | 4.03 | ||||||
Class B |
1,000.00 | 1,003.10 | 8.07 | |||||||||
Class C |
1,000.00 | 1,003.10 | 8.02 | |||||||||
Class N |
1,000.00 | 1,005.60 | 5.55 | |||||||||
Class Y |
1,000.00 | 1,008.60 | 2.52 | |||||||||
Hypothetical |
||||||||||||
(5% return before expenses) |
||||||||||||
Class A |
1,000.00 | 1,021.06 | 4.06 | |||||||||
Class B |
1,000.00 | 1,017.05 | 8.12 | |||||||||
Class C |
1,000.00 | 1,017.10 | 8.07 | |||||||||
Class N |
1,000.00 | 1,019.55 | 5.58 | |||||||||
Class Y |
1,000.00 | 1,022.56 | 2.54 |
Class | Expense Ratios | |||
Class A |
0.80 | % | ||
Class B |
1.60 | |||
Class C |
1.59 | |||
Class N |
1.10 | |||
Class Y |
0.50 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities2.3% |
||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass- |
||||||||
Through Certificates, Series 2004-W8, Cl. A2, 1.195%, |
||||||||
5/25/341 |
$ | 6,830,731 | $ | 5,759,973 | ||||
Citibank Omni Master Trust, Credit Card Receivables: |
||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182 |
4,160,000 | 4,562,431 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182 |
7,150,000 | 7,791,070 | ||||||
Countrywide Home Loans, Asset-Backed Certificates, |
||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 |
4,959,906 | 3,862,713 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, |
||||||||
Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.355%, 6/25/471 |
3,872,249 | 3,473,230 | ||||||
DSC Floorplan Master Owner Trust, Automobile |
||||||||
Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
4,000,000 | 4,070,050 | ||||||
DT Auto Owner Trust 2011-1A, Automobile |
||||||||
Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152 |
5,690,000 | 5,712,162 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. |
||||||||
Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.345%, 6/25/361 |
51,552 | 51,403 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., |
||||||||
Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/232 |
4,450,000 | 4,496,538 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, |
||||||||
Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 |
1,513,390 | 1,304,464 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, |
||||||||
Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/178 |
2,007,844 | 1,999,611 | ||||||
Total Asset-Backed Securities (Cost $45,577,815) |
43,083,645 | |||||||
Mortgage-Backed Obligations69.8% |
||||||||
Government Agency62.4% |
||||||||
FHLMC/FNMA/FHLB/Sponsored57.1% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
4.50%, 5/1/19 |
244,817 | 259,933 | ||||||
6%, 5/15/18-10/15/29 |
11,514,644 | 12,637,361 | ||||||
6.50%, 4/15/18-4/1/34 |
6,141,083 | 6,781,692 | ||||||
7%, 8/15/16-10/1/37 |
3,410,255 | 3,889,215 | ||||||
7.50%, 1/1/32-9/15/33 |
7,174,645 | 8,349,181 | ||||||
8%, 4/1/16 |
775,741 | 850,927 | ||||||
8.50%, 3/15/31 |
158,450 | 190,707 | ||||||
9%, 8/1/22-5/1/25 |
266,374 | 302,541 | ||||||
10%, 8/16/21 |
49,065 | 57,978 | ||||||
11%, 12/15/20 |
61,761 | 71,620 | ||||||
11.50%, 6/15/20-12/3/20 |
99,163 | 108,958 | ||||||
11.75%, 1/15/16-4/15/19 |
2,177 | 2,196 | ||||||
12%, 6/15/15 |
7,132 | 7,138 | ||||||
12.50%, 7/15/19 |
20,217 | 22,801 | ||||||
13%, 8/15/15 |
30,899 | 35,002 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 1095, Cl. D, 0.90%, 6/15/211 |
$ | 9,678 | $ | 9,680 | ||||
Series 151, Cl. F, 9%, 5/15/21 |
39,646 | 45,872 | ||||||
Series 1695, Cl. F, 2.72%, 3/15/241 |
2,404,979 | 2,532,191 | ||||||
Series 2006-11, Cl. PS, 23.707%, 3/25/361 |
1,797,262 | 2,478,261 | ||||||
Series 2035, Cl. PC, 6.95%, 3/15/28 |
1,493,257 | 1,740,416 | ||||||
Series 2084, Cl. ZC, 6.50%, 8/15/28 |
843,321 | 959,473 | ||||||
Series 2116, Cl. ZA, 6%, 1/15/29 |
1,335,792 | 1,517,490 | ||||||
Series 2122, Cl. FD, 0.579%, 2/15/291 |
1,178,077 | 1,179,741 | ||||||
Series 2132, Cl. FN, 1.122%, 3/15/291 |
1,869,476 | 1,891,104 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 |
2,349,945 | 2,514,399 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
3,026,297 | 3,581,673 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 |
373,222 | 449,260 | ||||||
Series 2281, Cl. Z, 6.50%, 2/15/31 |
4,241,472 | 4,934,706 | ||||||
Series 2319, Cl. BZ, 6.50%, 5/15/31 |
6,527,006 | 6,938,207 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
1,407,138 | 1,616,759 | ||||||
Series 2344, Cl. FP, 1.179%, 8/15/311 |
1,035,198 | 1,049,155 | ||||||
Series 2368, Cl. TG, 6%, 10/15/16 |
229,198 | 244,370 | ||||||
Series 2392, Cl. FB, 0.829%, 1/15/291 |
338,441 | 340,779 | ||||||
Series 2396, Cl. FE, 0.829%, 12/15/311 |
453,216 | 456,164 | ||||||
Series 2401, Cl. FA, 0.879%, 7/15/291 |
447,154 | 450,585 | ||||||
Series 2464, Cl. FI, 1.229%, 2/15/321 |
771,657 | 782,598 | ||||||
Series 2470, Cl. LF, 1.229%, 2/15/321 |
789,471 | 803,226 | ||||||
Series 2471, Cl. FD, 1.229%, 3/15/321 |
1,180,850 | 1,200,178 | ||||||
Series 2481, Cl. AF, 0.779%, 3/15/321 |
689,725 | 693,076 | ||||||
Series 2500, Cl. FD, 0.729%, 3/15/321 |
822,389 | 825,002 | ||||||
Series 2501, Cl. GD, 6%, 10/1/31 |
48,572 | 48,730 | ||||||
Series 2504, Cl. FP, 0.729%, 3/15/321 |
1,342,619 | 1,346,501 | ||||||
Series 2526, Cl. FE, 0.629%, 6/15/291 |
1,078,431 | 1,083,758 | ||||||
Series 2530, Cl. FD, 0.729%, 2/15/321 |
1,538,551 | 1,544,185 | ||||||
Series 2538, Cl. F, 0.829%, 12/15/321 |
207,404 | 208,694 | ||||||
Series 2550, Cl. FI, 0.579%, 11/15/321 |
855,967 | 858,423 | ||||||
Series 2551, Cl. FD, 0.629%, 1/15/331 |
1,096,735 | 1,100,911 | ||||||
Series 2572, Cl. HK, 4%, 2/1/17 |
169,840 | 169,913 | ||||||
Series 2627, Cl. KM, 4.50%, 6/1/18 |
3,000,000 | 3,251,127 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 |
4,862,000 | 5,336,465 | ||||||
Series 2838, Cl. EH, 4.50%, 6/1/18 |
5,863,054 | 5,948,836 | ||||||
Series 2915, Cl. GA, 4.50%, 12/1/21 |
1,641,594 | 1,654,014 | ||||||
Series 3013, Cl. GA, 5%, 6/1/34 |
6,562,442 | 6,992,147 | ||||||
Series 3025, Cl. SJ, 23.91%, 8/15/351 |
408,236 | 561,109 | ||||||
Series 3045, Cl. CN, 5%, 9/1/23 |
416,464 | 417,742 | ||||||
Series 3094, Cl. HS, 23.544%, 6/15/341 |
1,050,731 | 1,355,975 | ||||||
Series 3134, Cl. FA, 0.529%, 3/15/361 |
15,004,276 | 14,987,102 | ||||||
Series 3197, Cl. AN, 5.50%, 8/1/13 |
1,957,148 | 1,974,607 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 |
882,700 | 892,197 | ||||||
Series 3342, Cl. FT, 0.679%, 7/15/371 |
7,837,323 | 7,859,694 | ||||||
Series 3647, Cl. BD, 3%, 12/1/19 |
32,308,832 | 33,304,606 | ||||||
Series 3803, Cl. YP, 4.50%, 2/1/41 |
3,652,393 | 3,789,382 | ||||||
Series 3804, Cl. WJ, 3%, 3/1/39 |
25,250,580 | 26,354,425 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: Continued |
||||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
$ | 1,739,383 | $ | 1,901,357 | ||||
Series 3848, Cl. WL, 4%, 4/1/40 |
6,001,834 | 6,366,054 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 |
11,428,088 | 11,958,053 | ||||||
Series R013, Cl. AB, 6%, 12/1/21 |
1,506,976 | 1,543,995 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: |
||||||||
Series 192, Cl. IO, 12.853%, 2/1/283 |
454,163 | 95,265 | ||||||
Series 205, Cl. IO, 12.607%, 9/1/293 |
2,886,173 | 565,747 | ||||||
Series 206, Cl. IO, 4.383%, 12/1/293 |
133,318 | 31,337 | ||||||
Series 2074, Cl. S, 62.724%, 7/17/283 |
641,549 | 133,848 | ||||||
Series 2079, Cl. S, 74.547%, 7/17/283 |
1,073,352 | 233,021 | ||||||
Series 243, Cl. 6, 24.591%, 12/15/323 |
1,245,672 | 213,717 | ||||||
Series 2493, Cl. S, 56.431%, 9/15/293 |
765,827 | 173,306 | ||||||
Series 2526, Cl. SE, 39.298%, 6/15/293 |
1,489,984 | 306,121 | ||||||
Series 2795, Cl. SH, 13.63%, 3/15/243 |
10,021,652 | 1,565,813 | ||||||
Series 2796, Cl. SD, 63.272%, 7/15/263 |
313,526 | 61,165 | ||||||
Series 2819, Cl. S, 52.278%, 6/15/343 |
13,594,521 | 2,797,147 | ||||||
Series 2835, Cl. BS, 33.815%, 12/15/283 |
9,467,129 | 824,905 | ||||||
Series 2920, Cl. S, 63.445%, 1/15/353 |
7,101,115 | 1,121,480 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/263 |
1,119,601 | 149,267 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped |
||||||||
Mtg.-Backed Security: |
||||||||
Series 216, Cl. PO, 9.78%, 12/1/314 |
983,855 | 892,606 | ||||||
Series 219, Cl. PO, 10.306%, 3/1/324 |
2,689,693 | 2,479,664 | ||||||
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed |
||||||||
Security, Series 237, Cl. F16, 0.729%, 5/15/361 |
12,116,409 | 12,175,013 | ||||||
Federal National Mortgage Assn.: |
||||||||
3.50%, 8/1/40 |
4,017,175 | 4,129,923 | ||||||
4%, 5/1/19-1/1/28 |
23,483,890 | 24,444,460 | ||||||
4.50%, 5/25/18-6/1/20 |
15,436,187 | 16,541,660 | ||||||
4.50%, 10/1/26-10/1/415 |
72,588,000 | 77,047,045 | ||||||
5%, 2/25/18-7/25/22 |
43,823,716 | 47,422,160 | ||||||
5%, 10/1/415 |
48,490,000 | 52,164,645 | ||||||
5.50%, 11/1/21-1/1/36 |
11,001,005 | 12,013,718 | ||||||
5.50%, 10/1/26-10/1/415 |
37,025,000 | 40,169,661 | ||||||
5.885%, 1/25/12 |
5,494,038 | 5,493,326 | ||||||
6%, 3/25/17-2/1/40 |
22,055,405 | 24,279,768 | ||||||
6%, 10/1/415 |
14,850,000 | 16,290,918 | ||||||
6%, 8/1/346 |
1,809,993 | 2,009,488 | ||||||
6.50%, 6/25/17-1/1/34 |
27,949,243 | 31,438,179 | ||||||
7%, 7/25/13-2/25/36 |
17,941,686 | 20,482,508 | ||||||
7.50%, 2/25/27-8/25/33 |
20,556,056 | 23,931,336 | ||||||
8%, 6/25/17 |
686 | 772 | ||||||
8.50%, 7/1/32 |
96,519 | 110,097 | ||||||
9%, 8/25/19 |
7,049 | 8,298 | ||||||
9.50%, 11/25/21 |
6,443 | 7,213 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn.: Continued |
||||||||
11%, 11/25/15-8/13/19 |
$ | 308,637 | $ | 340,512 | ||||
11.25%, 3/10/16 |
41,791 | 47,748 | ||||||
11.50%, 8/8/19 |
37,981 | 42,663 | ||||||
12%, 1/25/16-8/25/16 |
63,355 | 67,402 | ||||||
12.50%, 8/25/15-12/25/15 |
27,251 | 28,016 | ||||||
13%, 9/8/15-8/25/26 |
71,051 | 72,932 | ||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 10/1/265 |
72,795,000 | 75,012,969 | ||||||
3.50%, 10/1/265 |
29,330,000 | 30,631,519 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/415 |
58,770,000 | 61,616,672 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1988-7, Cl. Z, 9.25%, 4/25/18 |
48,704 | 54,971 | ||||||
Trust 1991-109, Cl. Z, 8.50%, 9/25/21 |
28,702 | 34,014 | ||||||
Trust 1992-34, Cl. G, 8%, 3/25/22 |
21,624 | 22,083 | ||||||
Trust 1997-16, Cl. PD, 7%, 3/18/27 |
2,612,623 | 3,035,941 | ||||||
Trust 1998-59, Cl. Z, 6.50%, 10/25/28 |
293,565 | 340,878 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
1,647,861 | 1,912,318 | ||||||
Trust 2001-69, Cl. PF, 1.235%, 12/25/311 |
1,755,535 | 1,794,131 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 |
6,120,728 | 6,590,815 | ||||||
Trust 2002-19, Cl. PE, 6%, 4/25/17 |
489,971 | 525,444 | ||||||
Trust 2002-29, Cl. F, 1.235%, 4/25/321 |
859,653 | 878,675 | ||||||
Trust 2002-39, Cl. FD, 1.23%, 3/18/321 |
1,251,652 | 1,277,658 | ||||||
Trust 2002-52, Cl. FD, 0.735%, 9/25/321 |
1,043,455 | 1,049,108 | ||||||
Trust 2002-53, Cl. FY, 0.735%, 8/25/321 |
1,090,679 | 1,095,552 | ||||||
Trust 2002-64, Cl. FJ, 1.235%, 4/25/321 |
264,930 | 270,792 | ||||||
Trust 2002-65, Cl. FB, 1.235%, 7/25/321 |
1,663,449 | 1,700,340 | ||||||
Trust 2002-68, Cl. FH, 0.73%, 10/18/321 |
528,609 | 530,926 | ||||||
Trust 2002-77, Cl. TF, 1.23%, 12/18/321 |
3,483,633 | 3,559,933 | ||||||
Trust 2002-82, Cl. FE, 1.235%, 12/25/321 |
1,501,642 | 1,535,141 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 |
3,456,580 | 3,785,826 | ||||||
Trust 2002-90, Cl. FJ, 0.735%, 9/25/321 |
547,811 | 550,263 | ||||||
Trust 2002-90, Cl. FM, 0.735%, 9/25/321 |
526,742 | 529,099 | ||||||
Trust 2003-111, Cl. HF, 0.635%, 5/25/301 |
2,372,231 | 2,373,965 | ||||||
Trust 2003-116, Cl. FA, 0.635%, 11/25/331 |
668,567 | 671,927 | ||||||
Trust 2003-130, Cl. CS, 13.631%, 12/25/331 |
1,745,527 | 2,083,138 | ||||||
Trust 2003-21, Cl. FK, 0.635%, 3/25/331 |
83,768 | 84,165 | ||||||
Trust 2003-26, Cl. XF, 0.685%, 3/25/231 |
4,249,501 | 4,270,339 | ||||||
Trust 2003-33, Cl. LF, 0.585%, 7/25/171 |
779,892 | 780,811 | ||||||
Trust 2003-44, Cl. CB, 4.25%, 3/1/33 |
2,321,041 | 2,461,212 | ||||||
Trust 2003-45, Cl. AB, 3.75%, 5/1/33 |
626,161 | 647,768 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
6,827,940 | 7,315,598 | ||||||
Trust 2004-29, Cl. QG, 4.50%, 12/1/32 |
5,000,000 | 5,480,991 | ||||||
Trust 2004-7, Cl. J, 4%, 7/1/17 |
3,674,831 | 3,741,236 | ||||||
Trust 2004-72, Cl. FB, 0.735%, 9/25/341 |
3,753,796 | 3,774,254 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 |
482,762 | 489,852 | ||||||
Trust 2004-91, Cl. AH, 4.50%, 5/1/29 |
2,435,556 | 2,459,025 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Multiclass Pass-Through Certificates: Continued |
||||||||
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 |
$ | 6,158,211 | $ | 7,081,450 | ||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 |
8,786,788 | 9,863,842 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 |
2,024,383 | 2,045,145 | ||||||
Trust 2005-45, Cl. XA, 0.575%, 6/25/351 |
4,575,327 | 4,574,629 | ||||||
Trust 2005-5, Cl. AB, 5%, 4/1/32 |
6,139,418 | 6,523,232 | ||||||
Trust 2005-53, Cl. WC, 5%, 8/1/18 |
2,074,275 | 2,100,363 | ||||||
Trust 2005-67, Cl. BF, 0.585%, 8/25/351 |
3,974,048 | 3,980,039 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
7,469,668 | 7,876,760 | ||||||
Trust 2005-85, Cl. FA, 0.585%, 10/25/351 |
9,114,717 | 9,122,836 | ||||||
Trust 2006-110, Cl. PW, 5.50%, 5/25/28 |
327,684 | 327,703 | ||||||
Trust 2006-46, Cl. SW, 23.339%, 6/25/361 |
1,701,298 | 2,300,147 | ||||||
Trust 2006-50, Cl. KS, 23.34%, 6/25/361 |
1,444,404 | 1,937,298 | ||||||
Trust 2006-50, Cl. SK, 23.34%, 6/25/361 |
315,614 | 440,448 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
7,728,042 | 8,156,529 | ||||||
Trust 2007-79, Cl. FA, 0.685%, 8/25/371 |
6,348,859 | 6,364,807 | ||||||
Trust 2009-36, Cl. FA, 1.175%, 6/25/371 |
29,400,005 | 29,920,547 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 |
8,229,399 | 8,730,253 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 |
19,524,594 | 20,355,628 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
14,748,718 | 15,487,210 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
5,815,992 | 6,292,768 | ||||||
Federal National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-63, Cl. SD, 36.429%, 12/18/313 |
1,291,707 | 236,103 | ||||||
Trust 2001-68, Cl. SC, 26.624%, 11/25/313 |
1,110,406 | 208,128 | ||||||
Trust 2001-81, Cl. S, 33.448%, 1/25/323 |
870,399 | 182,084 | ||||||
Trust 2002-28, Cl. SA, 38.113%, 4/25/323 |
758,771 | 139,891 | ||||||
Trust 2002-38, Cl. SO, 57.048%, 4/25/323 |
1,132,082 | 177,659 | ||||||
Trust 2002-39, Cl. SD, 45.443%, 3/18/323 |
1,214,763 | 255,848 | ||||||
Trust 2002-48, Cl. S, 34.539%, 7/25/323 |
1,225,060 | 228,539 | ||||||
Trust 2002-52, Cl. SD, 43.789%, 9/25/323 |
1,043,455 | 217,974 | ||||||
Trust 2002-52, Cl. SL, 36.11%, 9/25/323 |
792,329 | 149,587 | ||||||
Trust 2002-53, Cl. SK, 43.926%, 4/25/323 |
708,789 | 157,259 | ||||||
Trust 2002-56, Cl. SN, 36.601%, 7/25/323 |
1,663,839 | 308,554 | ||||||
Trust 2002-60, Cl. SM, 39.021%, 8/25/323 |
2,623,034 | 431,289 | ||||||
Trust 2002-77, Cl. IS, 51.322%, 12/18/323 |
1,620,414 | 295,139 | ||||||
Trust 2002-77, Cl. SH, 44.119%, 12/18/323 |
1,162,702 | 237,832 | ||||||
Trust 2002-9, Cl. MS, 33.844%, 3/25/323 |
1,369,875 | 276,366 | ||||||
Trust 2003-33, Cl. IA, 6.141%, 5/25/333 |
245,869 | 45,424 | ||||||
Trust 2003-33, Cl. SP, 41.482%, 5/25/333 |
3,256,068 | 534,838 | ||||||
Trust 2003-38, Cl. SA, 39.076%, 3/25/233 |
3,779,487 | 387,721 | ||||||
Trust 2003-4, Cl. S, 37.724%, 2/25/333 |
1,865,967 | 312,634 | ||||||
Trust 2005-122, Cl. SD, 50.251%, 6/25/353 |
9,553,453 | 1,313,764 | ||||||
Trust 2005-14, Cl. SE, 40.791%, 3/25/353 |
9,775,552 | 1,448,404 | ||||||
Trust 2005-40, Cl. SA, 62.786%, 5/25/353 |
3,930,785 | 621,532 | ||||||
Trust 2005-63, Cl. SA, 57.673%, 10/25/313 |
4,180,288 | 811,144 | ||||||
Trust 2005-63, Cl. X, 37.87%, 10/25/313 |
49,485 | 1,264 | ||||||
Trust 2005-71, Cl. SA, 63.685%, 8/25/253 |
4,800,605 | 726,920 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only |
||||||||
Stripped Mtg.-Backed Security: Continued |
||||||||
Trust 2006-51, Cl. SA, 49.502%, 6/25/363
|
$ | 12,236,605 | $ | 1,637,589 | ||||
Trust 2006-60, Cl. DI, 39.106%, 4/25/353
|
8,651,870 | 1,190,573 | ||||||
Trust 2007-77, Cl. SB, 31.856%, 12/25/313
|
2,919,893 | 133,889 | ||||||
Trust 2009-85, Cl. IO, 12.156%, 10/1/243
|
10,689,313 | 961,673 | ||||||
Trust 2011-48, Cl. IC, 16.89%, 5/1/133
|
23,901,167 | 626,476 | ||||||
Trust 2011-84, Cl. IG, 5.587%, 8/1/133
|
27,902,963 | 837,527 | ||||||
Trust 221, Cl. 2, 33.351%, 5/1/233
|
1,966,171 | 353,841 | ||||||
Trust 254, Cl. 2, 30.243%, 1/1/243
|
2,512,522 | 471,029 | ||||||
Trust 294, Cl. 2, 18.396%, 2/1/283
|
2,768,113 | 503,730 | ||||||
Trust 301, Cl. 2, 2.278%, 4/1/293
|
1,436,547 | 285,278 | ||||||
Trust 321, Cl. 2, 16.231%, 4/1/323
|
7,905,816 | 1,491,105 | ||||||
Trust 324, Cl. 2, 0.418%, 7/1/323
|
2,721,719 | 513,751 | ||||||
Trust 331, Cl. 10, 40.904%, 2/1/333
|
3,520,323 | 651,091 | ||||||
Trust 331, Cl. 4, 27.962%, 2/1/333
|
3,052,999 | 557,775 | ||||||
Trust 331, Cl. 5, 37.533%, 2/1/333
|
4,425,219 | 787,304 | ||||||
Trust 331, Cl. 6, 29.467%, 2/1/333
|
4,427,145 | 784,332 | ||||||
Trust 334, Cl. 10, 31.749%, 2/1/333
|
1,779,435 | 303,876 | ||||||
Trust 339, Cl. 15, 12.439%, 7/1/333
|
1,602,448 | 273,210 | ||||||
Trust 339, Cl. 7, 0%, 7/1/333,7
|
3,503,278 | 507,608 | ||||||
Trust 351, Cl. 8, 0%, 4/1/343,7
|
3,191,823 | 480,489 | ||||||
Trust 356, Cl. 10, 1.985%, 6/1/353
|
2,620,989 | 379,984 | ||||||
Trust 356, Cl. 12, 0%, 2/1/353,7
|
1,309,424 | 192,503 | ||||||
Trust 362, Cl. 13, 4.313%, 8/1/353
|
3,555,408 | 551,869 | ||||||
Trust 364, Cl. 15, 4.492%, 9/1/353
|
2,157,439 | 311,940 | ||||||
Federal National Mortgage Assn., Principal-Only |
||||||||
Stripped Mtg.-Backed Security, Trust 327, Cl. 1, |
||||||||
10.298%, 9/1/324
|
662,058 | 601,332 | ||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed |
||||||||
Security: |
||||||||
Series 1999-3, Cl. IO, 21.06%, 10/15/293
|
31,866,760 | 168,263 | ||||||
Series 2001-3, Cl. IO, 23.822%, 5/15/313
|
13,877,042 | 123,571 | ||||||
Series 2002-2, Cl. IO, 17.397%, 1/15/323
|
37,064,966 | 169,565 | ||||||
Series 2002-3, Cl. IO, 20.239%, 8/15/323
|
51,851,318 | 561,638 | ||||||
Series 2003-1, Cl. IO, 18.827%, 11/15/323
|
77,126,032 | 495,488 | ||||||
1,053,080,666 | ||||||||
GNMA/Guaranteed1.1% |
||||||||
Government National Mortgage Assn.: |
||||||||
6.50%, 1/29/24
|
144,702 | 164,964 | ||||||
7%, 1/29/28-2/8/30
|
878,005 | 1,024,682 | ||||||
7.50%, 6/29/28-8/29/28
|
508,777 | 596,379 | ||||||
8%, 9/29/28
|
39,132 | 46,427 | ||||||
8.50%, 8/1/17-12/15/17
|
420,583 | 475,292 | ||||||
9.50%, 9/29/17
|
2,042 | 2,114 | ||||||
10.50%, 12/29/17-1/29/21
|
82,102 | 91,297 | ||||||
11%, 11/8/19
|
68,434 | 76,517 | ||||||
11.50%, 4/29/13-7/29/15
|
11,680 | 11,785 | ||||||
13%, 9/29/14
|
502 | 506 |
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed Continued |
||||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. |
||||||||
Investment Conduit Pass-Through Certificates, |
||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 |
$ | 8,491,760 | $ | 10,762,568 | ||||
Government National Mortgage Assn., |
||||||||
Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1998-19, Cl. SB, 69.882%, 7/16/283 |
2,310,983 | 495,826 | ||||||
Series 1998-6, Cl. SA, 81.161%, 3/16/283 |
1,348,827 | 279,698 | ||||||
Series 2001-21, Cl. SB, 92.813%, 1/16/273 |
2,366,589 | 480,300 | ||||||
Series 2010-111, Cl. GI, 16.164%, 9/1/133 |
91,582,843 | 2,668,312 | ||||||
Series 2010-147, Cl. LI, 12.047%, 11/1/133 |
48,989,610 | 1,630,237 | ||||||
Series 2010-6, Cl. SN, 99.999%, 2/20/313 |
1,493,135 | 11,454 | ||||||
Series 2011-82, Cl. IG, 8.043%, 6/1/133 |
24,533,364 | 658,767 | ||||||
19,477,125 | ||||||||
Other Agency4.2% |
||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: |
||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 |
4,376,389 | 4,423,837 | ||||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 |
8,340,000 | 8,752,993 | ||||||
Series 2010-C1, Cl. APT, 2.65%, 10/29/20 |
9,518,620 | 9,889,769 | ||||||
NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., |
||||||||
Series 2010-R1, Cl. 1A, 0.674%, 10/7/201 |
8,925,817 | 8,939,741 | ||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts.: |
||||||||
Series 2010-R3, Cl. 2A, 0.784%, 12/8/201 |
24,537,399 | 24,688,795 | ||||||
Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 |
6,956,328 | 7,099,837 | ||||||
NCUA Guaranteed Notes Trust, Asset-Backed Nts., |
||||||||
Series 2010-A1, Cl. A, 0.574%, 12/7/201 |
13,279,736 | 13,306,694 | ||||||
77,101,666 | ||||||||
Non-Agency7.4% |
||||||||
Commercial5.9% |
||||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. |
||||||||
Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442 |
1,381,618 | 1,364,473 | ||||||
CHL Mortgage Pass-Through Trust 2003-J5, Mtg. |
||||||||
Pass-Through Certificates, Series 2003-J5, Cl. 2A1, 5%, 7/1/18 |
3,280,796 | 3,365,236 | ||||||
Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg. |
||||||||
Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.922%, 3/1/491 |
2,340,000 | 2,555,060 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. |
||||||||
Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462 |
5,918,949 | 5,988,053 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. |
||||||||
Pass-Through Certificates, Interest-Only Stripped Mtg.- |
||||||||
Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/202,3 |
47,773,336 | 3,750,804 | ||||||
Greenwich Capital Commercial Funding |
||||||||
Corp./Commercial Mortgage Trust 2007-GG11, |
||||||||
Commercial Mtg. Pass-Through Certificates, Series |
||||||||
2007-GG11, Cl. A4, 5.736%, 12/1/49 |
8,500,000 | 8,862,189 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
Greenwich Capital Commercial Funding |
||||||||
Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. |
||||||||
Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%, 3/10/39
|
$ | 6,267,244 | $ | 6,306,991 | ||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: |
||||||||
Series 2011-GC3, Cl. A1, 2.331%, 3/1/44
|
3,672,115 | 3,726,010 | ||||||
Series 2006-GG8, Cl. A4, 5.56%, 11/1/39
|
6,505,000 | 6,899,486 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. |
||||||||
Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35
|
4,132,070 | 3,979,570 | ||||||
Impac CMB Trust Series 2005-4, |
||||||||
Collateralized Asset-Backed Bonds, Series 2005-4, |
||||||||
Cl. 1A1A, 0.775%, 5/25/351
|
5,048,206 | 3,582,182 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., |
||||||||
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462
|
4,108,165 | 4,127,876 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432
|
7,185,000 | 7,047,486 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/498
|
8,645,000 | 8,681,309 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49
|
6,125,000 | 6,162,124 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51
|
4,989,105 | 5,090,982 | ||||||
JPMorgan Chase Commercial Mortgage Securities |
||||||||
Trust 2007-LDP11, Commercial Mtg. Pass-Through |
||||||||
Certificates, Series 2007-LDP11, Cl. ASB, 6.005%, 6/1/491
|
4,780,000 | 5,067,099 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through |
||||||||
Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34
|
4,047,442 | 4,158,473 | ||||||
STARM Mortgage Loan Trust 2007-1, |
||||||||
Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.816%, 2/1/371
|
4,746,172 | 3,210,477 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, |
||||||||
Commercial Mtg. Pass-Through Certificates, |
||||||||
Series 2006-C28, Cl. A4, 5.572%, 10/1/48
|
8,700,000 | 9,266,557 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, |
||||||||
Interest-Only Commercial Mtg. Pass-Through Certificates, |
||||||||
Series 2011-C3, Cl. XA, 7.245%, 3/1/443
|
51,415,255 | 4,703,468 | ||||||
107,895,905 | ||||||||
Multifamily0.1% |
||||||||
CHL Mortgage Pass-Through Trust |
||||||||
2005-6, Mtg. Pass-Through Certificates, |
||||||||
Series 2005-6, Cl. 2A1, 5.50%, 4/1/35
|
1,879,524 | 1,705,663 | ||||||
Other0.3% |
||||||||
Greenwich Capital Commercial Funding |
||||||||
Corp./Commercial Mortgage Trust |
||||||||
2007-GG9, Commercial Mtg. Pass-Through |
||||||||
Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39
|
6,000,000 | 6,246,147 |
Principal | ||||||||
Amount | Value | |||||||
Residential1.1% |
||||||||
CHL Mortgage Pass-Through Trust 2007-HY4, |
||||||||
Mtg. Pass-Through Certificates, Series 2007-HY4, |
||||||||
Cl. 1A1, 5.631%, 9/1/471
|
$ | 5,191,727 | $ | 3,508,592 | ||||
Merrill Lynch Mortgage Investors Trust 2006-3, |
||||||||
Mtg. Pass-Through Certificates, Series MLCC 2006-3, |
||||||||
Cl. 2A1, 2.646%, 10/25/361
|
3,644,031 | 3,284,580 | ||||||
Merrill Lynch Mortgage Loans, Inc., |
||||||||
Mtg. Pass-Through Certificates, |
||||||||
Series 2005-A1, Cl. 2A1, 2.694%, 12/25/341
|
2,427,988 | 2,227,473 | ||||||
RALI Series 2006-QS13 Trust, |
||||||||
Mtg. Asset-Backed Pass-Through Certificates: |
||||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36
|
211,643 | 125,226 | ||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36
|
6,481,614 | 3,835,058 | ||||||
RALI Series 2007-QS6 Trust, Mtg. |
||||||||
Asset-Backed Pass-Through Certificates, |
||||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37
|
3,077,471 | 1,854,280 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R |
||||||||
Trust, Mtg. Pass-Through Certificates, |
||||||||
Series 2004-R, Cl. 2A1, 2.624%, 9/1/341
|
1,247,342 | 1,177,993 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 |
||||||||
Trust, Mtg. Pass-Through Certificates, Series 2005-9, |
||||||||
Cl. 2A6, 5.25%, 10/25/35
|
4,571,354 | 4,417,032 | ||||||
20,430,234 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,247,728,895)
|
1,285,937,406 | |||||||
U.S. Government Obligations21.4% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
2%, 8/25/16
|
7,865,000 | 8,159,647 | ||||||
2.50%, 5/27/16
|
11,170,000 | 11,851,705 | ||||||
3%, 7/28/14
|
13,710,000 | 14,636,398 | ||||||
5%, 2/16/17
|
21,625,000 | 25,623,073 | ||||||
5.25%, 4/18/16
|
22,385,000 | 26,469,031 | ||||||
5.50%, 7/18/16
|
12,740,000 | 15,302,498 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.625%, 10/30/14
|
83,334,000 | 83,228,916 | ||||||
0.875%, 8/28/14
|
116,666,000 | 117,530,262 | ||||||
2.375%, 4/11/16
|
20,095,000 | 21,221,988 | ||||||
4.375%, 10/15/15
|
13,972,000 | 15,873,911 | ||||||
4.875%, 12/15/16
|
19,560,000 | 23,024,193 | ||||||
5%, 3/15/16
|
13,165,000 | 15,403,800 | ||||||
5.375%, 7/15/16-6/12/17
|
12,399,000 | 14,928,667 | ||||||
U.S. Treasury Bills, 0.122%, 10/13/116
|
900,000 | 900,000 | ||||||
Total U.S. Government Obligations (Cost $383,231,251)
|
394,154,089 |
Principal | ||||||||
Amount | Value | |||||||
Short-Term Notes25.3% |
||||||||
Federal Home Loan Bank: |
||||||||
0.001%, 10/5/11
|
$ | 1,060,000 | $ | 1,059,999 | ||||
0.001%, 10/13/11
|
32,000,000 | 31,999,989 | ||||||
0.001%, 10/14/11
|
61,000,000 | 60,999,960 | ||||||
0.001%, 10/19/11
|
47,000,000 | 46,999,977 | ||||||
0.002%, 10/21/11
|
90,000,000 | 89,999,900 | ||||||
0.01%, 10/7/11
|
36,200,000 | 36,199,970 | ||||||
0.01%, 10/12/11
|
64,240,000 | 64,239,902 | ||||||
Federal Home Loan Mortgage Corp.: |
||||||||
0.001%, 10/11/11
|
22,400,000 | 22,399,963 | ||||||
0.001%, 10/24/11
|
51,300,000 | 51,299,960 | ||||||
0.001%, 10/31/11
|
15,000,000 | 14,999,988 | ||||||
Federal National Mortgage Assn.: |
||||||||
0.01%, 10/11/11
|
42,600,000 | 42,599,941 | ||||||
0.01%, 10/12/11
|
3,200,000 | 3,199,995 | ||||||
Total Short-Term Notes (Cost $466,016,343)
|
465,999,544 |
Expiration | Strike | |||||||||||||
Date | Price | Contracts | ||||||||||||
Options Purchased0.0% |
||||||||||||||
U.S. Treasury Nts. Futures, |
||||||||||||||
10 yr., 12/20/11 Put9
|
11/28/11 | $ | 123.50 | 65 | 7,109 | |||||||||
U.S. Treasury Nts. Futures, |
||||||||||||||
10 yr., 12/20/11 Put9
|
11/28/11 | $ | 125.50 | 65 | 15,234 | |||||||||
Total Options Purchased (Cost $24,554)
|
22,343 | |||||||||||||
Total Investments, at Value (Cost $2,142,578,858)
|
118.8 | % | 2,189,197,027 | |||||||||||
Liabilities in Excess of Other Assets
|
(18.8 | ) | (346,556,325 | ) | ||||||||||
Net Assets
|
100.0 | % | $ | 1,842,640,702 | ||||||||||
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., |
||||||||||||||||
Commercial Mtg. Pass-Through Certificates, |
||||||||||||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 |
7/14/10 | $ | 8,536,938 | $ | 8,681,309 | $ | 144,371 | |||||||||
Santander Drive Auto Receivables Trust 2011-S1A, |
||||||||||||||||
Automobile Receivables Nts., Series 2011-S1A, |
||||||||||||||||
Cl. D, 3.10%, 5/17/17 |
2/4/11-4/14/11 | 2,010,688 | 1,999,611 | (11,077 | ) | |||||||||||
$ | 10,547,626 | $ | 10,680,920 | $ | 133,294 | |||||||||||
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2010 | Additions | Reductions | September 30, 2011 | |||||||||||||
Oppenheimer Institutional Money |
||||||||||||||||
Market Fund, Cl. E |
80,650,000 | | 80,650,000 | | ||||||||||||
Income | ||||||||||||||||
Oppenheimer Institutional Money |
||||||||||||||||
Market Fund, Cl. E |
$ | 38,204 |
1) | Level 1unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 43,083,645 | $ | | $ | 43,083,645 | ||||||||
Mortgage-Backed Obligations |
| 1,285,937,406 | | 1,285,937,406 | ||||||||||||
U.S. Government Obligations |
| 394,154,089 | | 394,154,089 |
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table Continued |
||||||||||||||||
Short-Term Notes |
$ | | $ | 465,999,544 | $ | | $ | 465,999,544 | ||||||||
Options Purchased |
22,343 | | | 22,343 | ||||||||||||
Total Investments, at Value |
22,343 | 2,189,174,684 | | 2,189,197,027 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
188,225 | | | 188,225 | ||||||||||||
Total Assets |
$ | 210,568 | $ | 2,189,174,684 | $ | | $ | 2,189,385,252 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated options written, at value |
$ | (20,313 | ) | $ | | $ | | $ | (20,313 | ) | ||||||
Futures margins |
(252,233 | ) | | | (252,233 | ) | ||||||||||
Total Liabilities |
$ | (272,546 | ) | $ | | $ | | $ | (272,546 | ) | ||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds, 20 yr. |
Buy | 283 | 12/20/11 | $ | 40,362,875 | $ | 966,926 | |||||||||||||
U.S. Treasury Nts., 2 yr. |
Buy | 2,475 | 12/30/11 | 545,002,737 | (741,240 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 558 | 12/30/11 | 68,346,281 | (48,212 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 1,896 | 12/20/11 | 246,657,750 | (631,582 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 4 | 12/20/11 | 634,500 | 61,412 | |||||||||||||||
$ | (392,696 | ) | ||||||||||||||||||
Number of | Exercise | Expiration | Unrealized | |||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Premium | Value | Appreciation | |||||||||||||||||||||
U.S. Treasury Nts. Futures, |
||||||||||||||||||||||||||||
10 yr., 12/20/11 |
Put | 13,000,000 | $ | 124.50 | 11/28/11 | $ | 22,164 | $ | (20,313 | ) | $ | 1,851 |
Assets |
||||
Investments, at value (cost $2,142,578,858)see accompanying statement of investments |
$ | 2,189,197,027 | ||
Cash |
977,828 | |||
Receivables and other assets: |
||||
Investments sold on a when-issued or delayed delivery basis |
9,798,298 | |||
Interest, dividends and principal paydowns |
6,380,266 | |||
Shares of beneficial interest sold |
6,156,387 | |||
Futures margins |
188,225 | |||
Other |
118,622 | |||
Total assets |
2,212,816,653 | |||
Liabilities |
||||
Appreciated options written, at value (premiums received $22,164) |
20,313 | |||
Payables and other liabilities: |
||||
Investments purchased (including $354,293,380 purchased |
||||
on a when-issued or delayed delivery basis) |
365,915,737 | |||
Shares of beneficial interest redeemed |
3,279,050 | |||
Distribution and service plan fees |
267,370 | |||
Futures margins |
252,233 | |||
Transfer and shareholder servicing agent fees |
217,318 | |||
Shareholder communications |
126,593 | |||
Trustees compensation |
53,220 | |||
Other |
44,117 | |||
Total liabilities |
370,175,951 | |||
Net Assets |
$ | 1,842,640,702 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 197,687 | ||
Additional paid-in capital |
1,990,587,981 | |||
Accumulated net investment income |
10,973,657 | |||
Accumulated net realized loss on investments |
(205,345,947 | ) | ||
Net unrealized appreciation on investments |
46,227,324 | |||
Net Assets |
$ | 1,842,640,702 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets
of $901,117,395 and 96,616,846 shares of beneficial interest outstanding)
|
$ | 9.33 | ||
Maximum offering price per share (net asset value plus sales charge of 3.50% of offering price)
|
$ | 9.67 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $54,977,659 and 5,896,224 shares
of beneficial interest outstanding)
|
$ | 9.32 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $333,542,128 and 35,832,529 shares
of beneficial interest outstanding)
|
$ | 9.31 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $44,132,681 and 4,736,407 shares
of beneficial interest outstanding)
|
$ | 9.32 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net assets
of $508,870,839 and 54,604,663 shares of beneficial interest outstanding)
|
$ | 9.32 |
Investment Income |
||||
Interest |
$ | 53,494,052 | ||
Fee income on when-issued securities |
10,419,371 | |||
Dividend from affiliated companies |
38,204 | |||
Other income |
21,150 | |||
Total investment income |
63,972,777 | |||
Expenses |
||||
Management fees |
7,776,332 | |||
Distribution and service plan fees: |
||||
Class A |
2,314,439 | |||
Class B |
631,687 | |||
Class C |
3,436,984 | |||
Class N |
224,095 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
1,516,802 | |||
Class B |
228,506 | |||
Class C |
472,026 | |||
Class N |
110,401 | |||
Class Y |
278,794 | |||
Shareholder communications: |
||||
Class A |
146,035 | |||
Class B |
26,120 | |||
Class C |
45,740 | |||
Class N |
5,887 | |||
Class Y |
44,928 | |||
Trustees compensation |
90,704 | |||
Custodian fees and expenses |
20,447 | |||
Accounting service fees |
12,000 | |||
Administration service fees |
1,500 | |||
Other |
261,494 | |||
Total expenses |
17,644,921 | |||
Less waivers and reimbursements of expenses |
(1,315,771 | ) | ||
Net expenses |
16,329,150 | |||
Net Investment Income |
47,643,627 |
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments from unaffiliated companies |
$ | 15,078,406 | ||
Closing and expiration of futures contracts |
(18,828,183 | ) | ||
Net realized loss |
(3,749,777 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investments |
(20,589,367 | ) | ||
Futures contracts |
183,150 | |||
Option contracts written |
1,851 | |||
Net change in unrealized appreciation/depreciation |
(20,404,366 | ) | ||
Net Increase in Net Assets Resulting from Operations |
$ | 23,489,484 | ||
Year Ended September 30, | 2011 | 2010 | ||||||
Operations |
||||||||
Net investment income |
$ | 47,643,627 | $ | 60,943,537 | ||||
Net realized gain (loss) |
(3,749,777 | ) | 17,773,123 | |||||
Net change in unrealized appreciation/depreciation |
(20,404,366 | ) | 35,848,345 | |||||
Net increase in net assets resulting from operations |
23,489,484 | 114,565,005 | ||||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(24,891,992 | ) | (35,313,880 | ) | ||||
Class B |
(1,166,016 | ) | (2,148,248 | ) | ||||
Class C |
(6,383,314 | ) | (9,160,155 | ) | ||||
Class N |
(1,080,958 | ) | (1,361,530 | ) | ||||
Class Y |
(14,121,347 | ) | (12,959,724 | ) | ||||
(47,643,627 | ) | (60,943,537 | ) | |||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from
beneficial interest transactions: |
||||||||
Class A |
(141,284,603 | ) | 57,023,469 | |||||
Class B |
(20,201,083 | ) | (8,576,690 | ) | ||||
Class C |
(32,544,648 | ) | 62,198,948 | |||||
Class N |
(3,307,555 | ) | 6,966,993 | |||||
Class Y |
76,066,068 | 135,683,996 | ||||||
(121,271,821 | ) | 253,296,716 | ||||||
Net Assets |
||||||||
Total increase (decrease) |
(145,425,964 | ) | 306,918,184 | |||||
Beginning of period |
1,988,066,666 | 1,681,148,482 | ||||||
End of period (including accumulated net investment income of
$10,973,657 and $3,512,672, respectively) |
$ | 1,842,640,702 | $ | 1,988,066,666 | ||||
Class A Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.45 | $ | 9.17 | $ | 9.52 | $ | 9.98 | $ | 9.96 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.25 | .33 | .45 | .48 | .45 | |||||||||||||||
Net realized and unrealized gain (loss) |
(.12 | ) | .28 | (.35 | ) | (.46 | ) | .06 | ||||||||||||
Total from investment operations |
.13 | .61 | .10 | .02 | .51 | |||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.25 | ) | (.33 | ) | (.13 | ) | (.40 | ) | (.49 | ) | ||||||||||
Tax return of capital distribution |
| | (.32 | ) | (.08 | ) | | |||||||||||||
Total dividends and/or distributions to shareholders |
(.25 | ) | (.33 | ) | (.45 | ) | (.48 | ) | (.49 | ) | ||||||||||
Net asset value, end of period |
$ | 9.33 | $ | 9.45 | $ | 9.17 | $ | 9.52 | $ | 9.98 | ||||||||||
Total Return, at Net Asset Value2 |
1.38 | % | 6.73 | % | 1.23 | % | 0.12 | % | 5.25 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 901,117 | $ | 1,054,547 | $ | 967,621 | $ | 1,095,337 | $ | 1,175,824 | ||||||||||
Average net assets (in thousands) |
$ | 947,592 | $ | 1,011,189 | $ | 979,498 | $ | 1,140,210 | $ | 1,088,598 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
2.63 | % | 3.49 | % | 4.98 | % | 4.83 | % | 4.54 | % | ||||||||||
Total expenses |
0.85 | %4 | 0.85 | %4 | 0.91 | %4 | 0.88 | % | 0.87 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.77 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||
Portfolio turnover rate5 |
87 | % | 61 | % | 59 | % | 51 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended September 30, 2011 |
0.85 | % | ||
Year Ended September 30, 2010 |
0.86 | % | ||
Year Ended September 30, 2009 |
0.91 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 |
$ | 5,748,952,116 | $ | 5,463,391,268 | ||||
Year Ended September 30, 2010 |
$ | 1,512,202,423 | $ | 1,571,079,686 | ||||
Year Ended September 30, 2009 |
$ | 2,313,735,068 | $ | 2,259,491,453 | ||||
Year Ended September 30, 2008 |
$ | 1,059,013,761 | $ | 979,520,694 | ||||
Year Ended September 30, 2007 |
$ | 1,670,333,689 | $ | 1,805,760,764 |
Class B Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.44 | $ | 9.17 | $ | 9.52 | $ | 9.97 | $ | 9.96 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.17 | .26 | .38 | .40 | .38 | |||||||||||||||
Net realized and unrealized gain (loss) |
(.12 | ) | .27 | (.35 | ) | (.45 | ) | .05 | ||||||||||||
Total from investment operations |
.05 | .53 | .03 | (.05 | ) | .43 | ||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.17 | ) | (.26 | ) | (.11 | ) | (.34 | ) | (.42 | ) | ||||||||||
Tax return of capital distribution |
| | (.27 | ) | (.06 | ) | | |||||||||||||
Total dividends and/or distributions to shareholders |
(.17 | ) | (.26 | ) | (.38 | ) | (.40 | ) | (.42 | ) | ||||||||||
Net asset value, end of period |
$ | 9.32 | $ | 9.44 | $ | 9.17 | $ | 9.52 | $ | 9.97 | ||||||||||
Total Return, at Net Asset Value2 |
0.58 | % | 5.83 | % | 0.49 | % | (0.52 | )% | 4.37 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 54,978 | $ | 75,966 | $ | 82,254 | $ | 118,373 | $ | 194,616 | ||||||||||
Average net assets (in thousands) |
$ | 63,116 | $ | 77,379 | $ | 93,543 | $ | 153,665 | $ | 217,928 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
1.85 | % | 2.78 | % | 4.24 | % | 4.07 | % | 3.79 | % | ||||||||||
Total expenses |
1.84 | %4 | 1.85 | %4 | 1.85 | %4 | 1.72 | % | 1.70 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.55 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | ||||||||||
Portfolio turnover rate5 |
87 | % | 61 | % | 59 | % | 51 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended September 30, 2011 |
1.84 | % | ||
Year Ended September 30, 2010 |
1.86 | % | ||
Year Ended September 30, 2009 |
1.85 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 |
$ | 5,748,952,116 | $ | 5,463,391,268 | ||||
Year Ended September 30, 2010 |
$ | 1,512,202,423 | $ | 1,571,079,686 | ||||
Year Ended September 30, 2009 |
$ | 2,313,735,068 | $ | 2,259,491,453 | ||||
Year Ended September 30, 2008 |
$ | 1,059,013,761 | $ | 979,520,694 | ||||
Year Ended September 30, 2007 |
$ | 1,670,333,689 | $ | 1,805,760,764 |
Class C Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.43 | $ | 9.15 | $ | 9.50 | $ | 9.96 | $ | 9.94 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.17 | .25 | .38 | .40 | .38 | |||||||||||||||
Net realized and unrealized gain (loss) |
(.11 | ) | .29 | (.35 | ) | (.46 | ) | .05 | ||||||||||||
Total from investment operations |
.06 | .54 | .03 | (.06 | ) | .43 | ||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.18 | ) | (.26 | ) | (.11 | ) | (.34 | ) | (.41 | ) | ||||||||||
Tax return of capital distribution |
| | (.27 | ) | (.06 | ) | | |||||||||||||
Total dividends and/or distributions
to shareholders |
(.18 | ) | (.26 | ) | (.38 | ) | (.40 | ) | (.41 | ) | ||||||||||
Net asset value, end of period |
$ | 9.31 | $ | 9.43 | $ | 9.15 | $ | 9.50 | $ | 9.96 | ||||||||||
Total Return, at Net Asset Value2 |
0.59 | % | 5.94 | % | 0.48 | % | (0.64 | )% | 4.47 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 333,542 | $ | 370,504 | $ | 298,356 | $ | 303,991 | $ | 298,029 | ||||||||||
Average net assets (in thousands) |
$ | 343,597 | $ | 337,253 | $ | 291,571 | $ | 298,257 | $ | 294,915 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
1.86 | % | 2.72 | % | 4.23 | % | 4.09 | % | 3.79 | % | ||||||||||
Total expenses |
1.58 | %4 | 1.59 | %4 | 1.61 | %4 | 1.59 | % | 1.61 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
1.54 | % | 1.45 | % | 1.45 | % | 1.45 | % | 1.45 | % | ||||||||||
Portfolio turnover rate5 |
87 | % | 61 | % | 59 | % | 51 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended September 30, 2011 |
1.58 | % | ||
Year Ended September 30, 2010 |
1.60 | % | ||
Year Ended September 30, 2009 |
1.61 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 |
$ | 5,748,952,116 | $ | 5,463,391,268 | ||||
Year Ended September 30, 2010 |
$ | 1,512,202,423 | $ | 1,571,079,686 | ||||
Year Ended September 30, 2009 |
$ | 2,313,735,068 | $ | 2,259,491,453 | ||||
Year Ended September 30, 2008 |
$ | 1,059,013,761 | $ | 979,520,694 | ||||
Year Ended September 30, 2007 |
$ | 1,670,333,689 | $ | 1,805,760,764 |
Class N Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.44 | $ | 9.16 | $ | 9.51 | $ | 9.97 | $ | 9.95 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.22 | .30 | .42 | .45 | .43 | |||||||||||||||
Net realized and unrealized gain (loss) |
(.12 | ) | .28 | (.35 | ) | (.46 | ) | .05 | ||||||||||||
Total from investment operations |
.10 | .58 | .07 | (.01 | ) | .48 | ||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.22 | ) | (.30 | ) | (.12 | ) | (.38 | ) | (.46 | ) | ||||||||||
Tax return of capital distribution |
| | (.30 | ) | (.07 | ) | | |||||||||||||
Total dividends and/or distributions
to shareholders |
(.22 | ) | (.30 | ) | (.42 | ) | (.45 | ) | (.46 | ) | ||||||||||
Net asset value, end of period |
$ | 9.32 | $ | 9.44 | $ | 9.16 | $ | 9.51 | $ | 9.97 | ||||||||||
Total Return, at Net Asset Value2 |
1.09 | % | 6.46 | % | 0.98 | % | (0.14 | )% | 4.99 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 44,133 | $ | 48,021 | $ | 39,800 | $ | 47,945 | $ | 52,865 | ||||||||||
Average net assets (in thousands) |
$ | 46,042 | $ | 42,208 | $ | 41,038 | $ | 51,013 | $ | 50,753 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
2.35 | % | 3.23 | % | 4.73 | % | 4.58 | % | 4.29 | % | ||||||||||
Total expenses |
1.17 | %4 | 1.20 | %4 | 1.24 | %4 | 1.24 | % | 1.25 | % | ||||||||||
Expenses after payments, waivers and/or |
||||||||||||||||||||
reimbursements and reduction |
||||||||||||||||||||
to custodian expenses |
1.05 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||
Portfolio turnover rate5 |
87 | % | 61 | % | 59 | % | 51 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended September 30, 2011 |
1.17 | % | ||
Year Ended September 30, 2010 |
1.21 | % | ||
Year Ended September 30, 2009 |
1.24 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 |
$ | 5,748,952,116 | $ | 5,463,391,268 | ||||
Year Ended September 30, 2010 |
$ | 1,512,202,423 | $ | 1,571,079,686 | ||||
Year Ended September 30, 2009 |
$ | 2,313,735,068 | $ | 2,259,491,453 | ||||
Year Ended September 30, 2008 |
$ | 1,059,013,761 | $ | 979,520,694 | ||||
Year Ended September 30, 2007 |
$ | 1,670,333,689 | $ | 1,805,760,764 |
Class Y Year Ended September 30, | 2011 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data |
||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.44 | $ | 9.16 | $ | 9.51 | $ | 9.97 | $ | 9.95 | ||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||
Net investment income1 |
.27 | .34 | .47 | .50 | .48 | |||||||||||||||
Net realized and unrealized gain (loss) |
(.11 | ) | .29 | (.35 | ) | (.46 | ) | .05 | ||||||||||||
Total from investment operations |
.16 | .63 | .12 | .04 | .53 | |||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||
Dividends from net investment income |
(.28 | ) | (.35 | ) | (.14 | ) | (.42 | ) | (.51 | ) | ||||||||||
Tax return of capital distribution |
| | (.33 | ) | (.08 | ) | | |||||||||||||
Total dividends and/or distributions
to shareholders |
(.28 | ) | (.35 | ) | (.47 | ) | (.50 | ) | (.51 | ) | ||||||||||
Net asset value, end of period |
$ | 9.32 | $ | 9.44 | $ | 9.16 | $ | 9.51 | $ | 9.97 | ||||||||||
Total Return, at Net Asset Value2 |
1.66 | % | 7.00 | % | 1.49 | % | 0.36 | % | 5.50 | % | ||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 508,871 | $ | 439,029 | $ | 293,117 | $ | 521,193 | $ | 376,782 | ||||||||||
Average net assets (in thousands) |
$ | 483,961 | $ | 353,879 | $ | 389,120 | $ | 463,627 | $ | 232,039 | ||||||||||
Ratios to average net assets:3 |
||||||||||||||||||||
Net investment income |
2.92 | % | 3.66 | % | 5.25 | % | 5.10 | % | 4.82 | % | ||||||||||
Total expenses |
0.50 | %4 | 0.51 | %4 | 0.58 | %4 | 0.54 | % | 0.55 | % | ||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.49 | % | 0.45 | % | 0.45 | % | 0.45 | % | 0.45 | % | ||||||||||
Portfolio turnover rate5 |
87 | % | 61 | % | 59 | % | 51 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended September 30, 2011 |
0.50 | % | ||
Year Ended September 30, 2010 |
0.52 | % | ||
Year Ended September 30, 2009 |
0.58 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2011 |
$ | 5,748,952,116 | $ | 5,463,391,268 | ||||
Year Ended September 30, 2010 |
$ | 1,512,202,423 | $ | 1,571,079,686 | ||||
Year Ended September 30, 2009 |
$ | 2,313,735,068 | $ | 2,259,491,453 | ||||
Year Ended September 30, 2008 |
$ | 1,059,013,761 | $ | 979,520,694 | ||||
Year Ended September 30, 2007 |
$ | 1,670,333,689 | $ | 1,805,760,764 |
When-Issued or | ||||
Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities |
$ | 354,293,380 | ||
Sold securities |
9,798,298 |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on | ||||||||||||
Cost of Securities and | ||||||||||||
Other Investments for | ||||||||||||
Undistributed Net | Undistributed | Accumulated Loss | Federal Income Tax | |||||||||
Investment Income | Long-TermGain | Carryforward1,2,3,4 | Purposes | |||||||||
$11,247,913 |
$ | | $ | 205,781,430 | $ | 46,441,776 |
1. | As of September 30, 2011, the Fund had $189,520,151 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2011, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2013 |
$ | 37,778,579 | ||
2014 |
18,093,354 | |||
2015 |
26,097,191 | |||
2016 |
12,640,219 | |||
2017 |
21,325,466 | |||
2018 |
73,585,342 | |||
Total |
$ | 189,520,151 | ||
2. | As of September 30, 2011, the Fund had $16,261,279 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2020. | |
3. | During the fiscal year ended September 30, 2011, the Fund utilized $5,047,965 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended September 30, 2011, $11,786,022 of unused capital loss carryforward expired. |
Reduction to | ||||||||
Increase to | Accumulated Net | |||||||
Reduction | Accumulated Net | Realized Loss on | ||||||
to Paid-in Capital | Investment Income | Investments | ||||||
$11,696,248 |
$ | 7,460,985 | $ | 4,235,263 |
Year Ended | Year Ended | |||||||
September 30, 2011 | September 30, 2010 | |||||||
Distributions paid from: |
||||||||
Ordinary income |
$ | 47,643,627 | $ | 60,943,537 |
Federal tax cost of securities |
$ | 2,142,757,463 | ||
Federal tax cost of other investments |
270,973,556 | |||
Total federal tax cost |
$ | 2,413,731,019 | ||
Gross unrealized appreciation |
$ | 62,215,938 | ||
Gross unrealized depreciation |
(15,774,162 | ) | ||
Net unrealized appreciation |
$ | 46,441,776 | ||
Year Ended September 30, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
33,519,790 | $ | 315,113,907 | 40,058,262 | $ | 373,083,667 | ||||||||||
Dividends and/or |
||||||||||||||||
distributions reinvested |
2,353,018 | 22,113,622 | 3,312,666 | 30,839,859 | ||||||||||||
Redeemed |
(50,892,806 | ) | (478,512,132 | ) | (37,267,825 | ) | (346,900,057 | ) | ||||||||
Net increase (decrease) |
(15,019,998 | ) | $ | (141,284,603 | ) | 6,103,103 | $ | 57,023,469 | ||||||||
Class B |
||||||||||||||||
Sold |
1,532,419 | $ | 14,398,458 | 3,028,323 | $ | 28,174,566 | ||||||||||
Dividends and/or |
||||||||||||||||
distributions reinvested |
116,622 | 1,095,872 | 213,325 | 1,983,799 | ||||||||||||
Redeemed |
(3,796,874 | ) | (35,695,413 | ) | (4,171,051 | ) | (38,735,055 | ) | ||||||||
Net decrease |
(2,147,833 | ) | $ | (20,201,083 | ) | (929,403 | ) | $ | (8,576,690 | ) | ||||||
Class C |
||||||||||||||||
Sold |
9,285,461 | $ | 87,106,710 | 15,941,545 | $ | 148,091,398 | ||||||||||
Dividends and/or |
||||||||||||||||
distributions reinvested |
590,819 | 5,541,684 | 841,272 | 7,816,871 | ||||||||||||
Redeemed |
(13,342,474 | ) | (125,193,042 | ) | (10,087,479 | ) | (93,709,321 | ) | ||||||||
Net increase (decrease) |
(3,466,194 | ) | $ | (32,544,648 | ) | 6,695,338 | $ | 62,198,948 | ||||||||
Year Ended September 30, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N |
||||||||||||||||
Sold |
1,238,925 | $ | 11,636,247 | 1,910,851 | $ | 17,790,761 | ||||||||||
Dividends and/or |
||||||||||||||||
distributions reinvested |
103,817 | 974,727 | 132,940 | 1,236,612 | ||||||||||||
Redeemed |
(1,694,734 | ) | (15,918,529 | ) | (1,300,292 | ) | (12,060,380 | ) | ||||||||
Net increase (decrease) |
(351,992 | ) | $ | (3,307,555 | ) | 743,499 | $ | 6,966,993 | ||||||||
Class Y |
||||||||||||||||
Sold |
16,271,849 | $ | 152,856,972 | 22,636,329 | $ | 211,577,456 | ||||||||||
Dividends and/or |
||||||||||||||||
distributions reinvested |
1,488,325 | 13,973,610 | 1,375,033 | 12,807,010 | ||||||||||||
Redeemed |
(9,667,875 | ) | (90,764,514 | ) | (9,490,734 | ) | (88,700,470 | ) | ||||||||
Net increase |
8,092,299 | $ | 76,066,068 | 14,520,628 | $ | 135,683,996 | ||||||||||
Purchases | Sales | |||||||
Investment securities |
$ | 662,459,941 | $ | 951,883,330 | ||||
U.S. government and government |
||||||||
agency obligations |
331,763,884 | 138,100,719 | ||||||
To Be Announced (TBA) |
||||||||
mortgage-related securities |
5,748,952,116 | 5,463,391,268 |
Fee Schedule | ||||
Up to $100 million |
0.500 | % | ||
Next $150 million |
0.450 | |||
Next $250 million |
0.425 | |||
Over $500 million |
0.400 |
Class C |
$ | 21,255,780 | ||
Class N |
2,020,444 |
Sales Charges. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated. |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
September 30, 2011 |
$ | 195,852 | $ | 29,751 | $ | 94,589 | $ | 48,981 | $ | 2,630 |
Class B |
$ | 5,465 |
Asset Derivatives | Liability Derivatives | |||||||||||||||
Statement of | Statement of | |||||||||||||||
Derivatives | Assets and | Assets and | ||||||||||||||
not Accounted for as | Liabilities | Liabilities | ||||||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||||||
Interest rate contracts |
Futures margins | $ | 188,225 | * | Futures margins | $ | 252,233 | * | ||||||||
Appreciated options | ||||||||||||||||
Interest rate contracts |
written, at value | 20,313 | ||||||||||||||
Interest rate contracts |
Investments, at value | 22,343 | ** | |||||||||||||
Total |
$ | 210,568 | $ | 272,546 | ||||||||||||
* | Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
The effect of derivative instruments on the Statement of Operations is as follows: |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted | Closing and expiration | |||
for as Hedging Instruments | of futures contracts | |||
Interest rate contracts |
$ | (18,828,183 | ) |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||
Derivatives Not | Option | |||||||||||||||
Accounted for as | contracts | Futures | ||||||||||||||
Hedging Instruments | Investments* | written | contracts | Total | ||||||||||||
Interest rate contracts |
$ | (2,211 | ) | $ | 1,851 | $ | 183,150 | $ | 182,790 |
* | Includes purchased option contracts and purchased swaption contracts, if any. |
A futures contract is a commitment to buy or sell a specific amount of a financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. |
Put Options | ||||||||
Number of | Amount of | |||||||
Contracts | Premiums | |||||||
Options
outstanding as of September 30, 2010 |
| $ | | |||||
Options written |
13,000,000 | 22,164 | ||||||
Options
outstanding as of September 30, 2011 |
13,000,000 | $ | 22,164 | |||||
HouseholdingDelivery of Shareholder Documents |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES |
The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong,
Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 |
President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production com- pany) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non- profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimerfunds since 1999, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Edward L. Cameron, Trustee (since 2001) Age: 73 |
Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Jon S. Fossel,
Trustee (since 1990) Age: 69 |
Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005- February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (OAC) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the Oppenheimer Funds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 70 |
Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Sam Freedman, Continued |
certain Oppenheimer funds since 1996, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regula-tory and investment matters and has contributed to the Boards deliberations. | |
Richard Grabish, Trustee (since 2008) Age: 63 |
Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 15 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during the course of which he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Beverly L. Hamilton,
Trustee (since 2002) Age: 64 |
Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006- 2009) of American Funds Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Bostons Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Robert J. Malone,
Trustee (since 2002) Age: 67 |
Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996- April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
F. William Marshall, Jr.,
Trustee (since 2001) Age: 69 |
Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985- 2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Funds (and other Oppenheimer funds ) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
INTERESTED TRUSTEE AND OFFICER |
The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 |
Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (OAC) (the Managers parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OACs parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003- March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007- July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 66 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND |
The addresses of the Officers in the chart below are as follows: for Messrs. Memani, Strzalkowski, Gabinet, Zack and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Krishna Memani, Vice President (since 2009) Age: 51 |
Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998- June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Peter A. Strzalkowski,
Vice President (since 2009) Age: 46 |
Vice President of the Manager (since August 2007), CFA and a member of the Managers Investment Grade Fixed Income Team (since April 2009). Prior to joining the Manager, Managing Partner and Chief Investment Officer of Vector Capital Management, LLC, a structured products money management firm he founded, (July 2006-August 2007); a Senior Portfolio Manager at Highland Capital Management, L.P. (June 2005-July 2006) and a Senior Fixed Income Portfolio Manager at Microsoft Corp. (June 2003-June 2005); a Vice President and Senior Fixed Income Portfolio Manager at First Citizens Bank Trust, Capital Management Group (April 2000-June 2003); a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000). A portfolio manager and officer of 7 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet,
Secretary (since 2011) Age: 53 |
Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta,
Vice President and Chief Business Officer (since 2011) Age: 38 |
Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the Oppenheimer Funds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Mark S. Vandehey,
Vice President and Chief Compliance Officer (since 2004) Age: 61 |
Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted,
Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 51 |
Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack,
Vice President (since 2001) Age: 63 |
Vice President, Secretary and General Counsel of OAC (since November 2001); Executive Vice President (since January 2004) and General Counsel (March 2002- December 2010) of the Manager; Executive Vice President, General Counsel and Director of OFI Trust Company (since November 2001); General Counsel of the Distributor (December 2001-December 2010); General Counsel of Centennial Asset Management Corporation (December 2001-December 2010); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (December 2001-December 2010); Assistant Secretary (September 1997-December 2010) and Director (November 2001-December 2010) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (December 2002- December 2010); Director of Oppenheimer Real Asset Management, Inc. (November 2001-December 2010); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (December 2001-December 2010); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. (November 2001-December 2010); Vice President of OppenheimerFunds Legacy Program (June 2003-December 2010); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (November 2001-December 2010). An officer of 96 portfolios in the OppenheimerFunds complex. |
Manager
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OppenheimerFunds, Inc. | |
Distributor
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OppenheimerFunds Distributor, Inc. | |
Transfer and
Shareholder
Servicing Agent
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OppenheimerFunds Services | |
Independent Registered Public Accounting Firm |
KPMG llp | |
Counsel
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K&L Gates LLP |
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure. |
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(a) | Audit Fees |
(b) | Audit-Related Fees |
(c) | Tax Fees |
(d) | All Other Fees |
(e) | (1) During its regularly scheduled periodic meetings, the registrants audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. |
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. |
(2)100% |
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrants annual financial statements billed $158,800 in fiscal 2011 and $405,684 in fiscal 2011 to the registrant and the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrants audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrants investment adviser, and any entity controlling, controlled by, or under common control with the investment |
adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence. No such services were rendered. |
1. | The Funds Governance Committee (the Committee) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individuals background, skills, and experience; whether the individual is an interested person as defined in the Investment Company Act of 1940; and whether the individual would be deemed an audit committee financial expert within the meaning of applicable SEC rules. The Committee also considers whether the individuals background, skills, and experience will complement the background, skills, and experience of other nominees and will |
contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
| the name, address, and business, educational, and/or other pertinent background of the person being recommended; |
| a statement concerning whether the person is an interested person as defined in the Investment Company Act of 1940; |
| any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and |
| the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. |
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds investment adviser) would be deemed an interested person under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds outside legal counsel may cause a person to be deemed an interested person. |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Exhibit attached hereto. |
(2) Exhibits attached hereto. |
(3) Not applicable. |
(b) | Exhibit attached hereto. |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
1. | Purpose of the Code |
| honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission (SEC) and in other public communications made by the Fund; |
| compliance with applicable governmental laws, rules and regulations; |
| the prompt internal reporting of violations of this Code to the Code Administrator identified below; and |
| accountability for adherence to this Code. |
1 | The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. |
(i) | employ any device, scheme or artifice to defraud a Fund or its shareholders; |
(ii) | intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; |
(iii) | engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; |
(iv) | engage in any manipulative practice with respect to any Fund; |
(v) | use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders; |
(vi) | intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, |
accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; |
(vii) | intentionally mislead or omit to provide material information to the Funds independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters; |
(viii) | fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; |
(ix) | retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or |
(x) | fails to acknowledge or certify compliance with this Code if requested to do so. |
(i) | is prohibited by this Code; |
(ii) | is consistent with honest and ethical conduct; and |
(iii) | will result in a conflict of interest between the Covered Officers personal and |
professional obligations to a Fund. |
6. | Annual Review |
2 | An implicit waiver is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, and an executive officer of the Fund or OFI. |
(b) | The duties of such Code Administrator will include: |
(i) | Continuous maintenance of a current list of the names of all Covered Officers; |
(ii) | Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder;(iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; |
(v) | Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, to the Chief Executive Officer of OFI and to the Trustees/Directors of the affected Fund(s) or any committee appointed by them to deal with such information; and Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. |
(a) | A copy of any Code which has been in effect during the period; |
(b) | A record of any violation of any such Code and of any action taken as a result of such violation, during the period; |
(c) | A copy of each annual report pursuant to the Code made by a Covered Officer during the period; |
(d) | A copy of each report made by the Code Administrator pursuant to this Code during the period; |
(e) | A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; |
(f) | A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and |
(g) | A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision. |
* | There are no other positions with the Funds or OFI who perform similar functions to those listed above. |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Limited-Term Government Fund; | |
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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this |
report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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 registrants 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 registrants internal control over financial reporting. |
/s/ William F. Glavin, Jr. | ||||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Limited-Term Government Fund; | |
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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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 registrants 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 registrants internal control over financial reporting. |
/s/ Brian W. Wixted | ||||
Brian W. Wixted | ||||
Principal Financial Officer |
1. | The Registrants periodic report on Form N-CSR for the period ended 9/30/2011 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and | |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer
|
Principal Financial Officer | |
Oppenheimer Limited-Term Government Fund |
Oppenheimer Limited-Term Government Fund |
|
/s/ William F. Glavin, Jr. |
/s/ Brian W. Wixted | |
William F. Glavin, Jr.
|
Brian W. Wixted | |
Date: 11/9/2011
|
Date: 11/9/2011 |
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