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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-05151 J.P. Morgan Mutual Fund Group (Exact name of registrant as specified in charter) 245 Park Avenue New York, NY 10167 (Address of principal executive offices) (Zip code) Frank J. Nasta 245 Park Avenue New York, NY 10167 (Name and Address of Agent for Service) Registrants telephone number, including area code: (800) 480-4111 Date of fiscal year end: Last day of February Date of reporting period: March 1, 2009 through February 28, 2010 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (OMB) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Presidents
Letter |
1 | |||||
Fund
Commentaries: |
||||||
JPMorgan Core
Bond Fund |
2 | |||||
JPMorgan Core
Plus Bond Fund |
5 | |||||
JPMorgan
Government Bond Fund |
8 | |||||
JPMorgan High
Yield Fund |
10 | |||||
JPMorgan
Limited Duration Bond Fund |
13 | |||||
JPMorgan
Mortgage-Backed Securities Fund |
15 | |||||
JPMorgan
Short Duration Bond Fund |
17 | |||||
JPMorgan
Short Term Bond Fund II |
20 | |||||
JPMorgan
Treasury & Agency Fund |
22 | |||||
Schedules of
Portfolio Investments |
24 | |||||
Financial
Statements |
174 | |||||
Financial
Highlights |
198 | |||||
Notes to
Financial Statements |
216 | |||||
Report of
Independent Registered Public Accounting Firm |
242 | |||||
Trustees
|
243 | |||||
Officers
|
245 | |||||
Schedule of
Shareholder Expenses |
246 | |||||
Tax Letter
|
250 | |||||
Privacy Policy
|
251 |
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Today, investors can feel more comfortable that both the economy and financial markets have embarked on a gradual recovery. |
FUND FACTS |
||||||
Fund
Inception |
June 1, 1991 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$14,258,057 |
|||||
Primary
Benchmark |
Barclays Capital U.S. Aggregate Index |
|||||
Duration
|
3.7 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Core Bond Fund, which seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities,* returned 11.51%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 9.32% return for the Barclays Capital U.S. Aggregate Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to focus on security selection and relative value as our primary strategy. We also emphasized bottom-up portfolio construction and identifying what we believed were undervalued securities. During the fiscal year we opportunistically increased the Funds exposure to U.S. Treasuries when their yields rose (and prices declined). In addition, our U.S. Treasury position was increased to bring it closer in line with that of the Index. In contrast, the Funds exposure to residential mortgages declined as their spreads tightened and, as a result, we looked for more compelling opportunities. The Funds investment in a money market fund was somewhat elevated at the end of the fiscal year as the Fund received significant shareholder inflows and we sought to identify attractive value opportunities in the marketplace. |
Collateralized
Mortgage Obligations |
38.2 | % | ||||
U.S. Treasury
Obligations |
22.2 | |||||
Mortgage
Pass-Through Securities |
14.2 | |||||
Corporate Bonds
|
12.0 | |||||
Asset-Backed
Securities |
2.5 | |||||
Commercial
Mortgage-Backed Securities |
1.4 | |||||
Others (each
less than 1.0%) |
0.9 | |||||
Short-Term
Investments |
8.6 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
5/1/92 | |||||||||||||||||
Without Sales
Charge |
11.35 | % | 5.64 | % | 6.48 | % | ||||||||||||
With Sales
Charge* |
7.20 | 4.84 | 6.08 | |||||||||||||||
CLASS B
SHARES |
8/26/96 | |||||||||||||||||
Without
CDSC |
10.61 | 4.95 | 5.94 | |||||||||||||||
With
CDSC** |
5.61 | 4.62 | 5.94 | |||||||||||||||
CLASS C
SHARES |
3/22/99 | |||||||||||||||||
Without
CDSC |
10.65 | 4.95 | 5.80 | |||||||||||||||
With
CDSC*** |
9.65 | 4.95 | 5.80 | |||||||||||||||
CLASS R2
SHARES |
11/3/08 | 11.16 | 5.36 | 6.24 | ||||||||||||||
CLASS R5
SHARES |
5/15/06 | 11.69 | 5.88 | 6.74 | ||||||||||||||
SELECT CLASS
SHARES |
6/1/91 | 11.51 | 5.78 | 6.69 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 11.72 | 5.99 | 6.80 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
March 5, 1993 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$1,332,254 |
|||||
Primary
Benchmark |
Barclays Capital U.S. Aggregate Index |
|||||
Duration
|
4.4 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Core Plus Bond Fund, which seeks a high level of current income by investing primarily in a diversified portfolio of high-, medium- and low-grade debt securities,* returned 18.46%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 9.32% return for the Barclays Capital U.S. Aggregate Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund significantly outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to focus on security selection and relative value as our primary strategy. We also emphasized bottom-up portfolio construction and identifying what we |
believed were undervalued securities. The focus on risk stress testing allowed the Fund to maintain a forward looking focus when managing its overall exposures to the market. Risk stress testing refers to the process used by the advisor to assess how individual securities and the Funds total portfolio may react using a number of interest rate, yield curve, and spread change scenarios based on historic data trends. |
Corporate Bonds
|
35.2 | % | ||||
Collateralized
Mortgage Obligations |
24.8 | |||||
U.S. Treasury
Obligations |
17.4 | |||||
Mortgage
Pass-Through Securities |
5.8 | |||||
Loan Assignments
& Participations |
3.1 | |||||
Commercial
Mortgage-Backed Securities |
2.3 | |||||
Asset-Backed
Securities |
2.2 | |||||
U.S. Government
Agency Securities |
1.0 | |||||
Others (each
less than 1.0%) |
1.7 | |||||
Short-Term
Investment |
6.5 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
3/5/93 | |||||||||||||||||
Without Sales
Charge |
18.14 | % | 5.08 | % | 5.91 | % | ||||||||||||
With Sales
Charge* |
13.77 | 4.27 | 5.51 | |||||||||||||||
CLASS B
SHARES |
5/31/95 | |||||||||||||||||
Without
CDSC |
17.49 | 4.51 | 5.39 | |||||||||||||||
With
CDSC** |
12.49 | 4.17 | 5.39 | |||||||||||||||
CLASS C
SHARES |
5/30/00 | |||||||||||||||||
Without
CDSC |
17.41 | 4.52 | 5.30 | |||||||||||||||
With
CDSC*** |
16.41 | 4.52 | 5.30 | |||||||||||||||
CLASS R2
SHARES |
11/3/08 | 17.71 | 4.80 | 5.59 | ||||||||||||||
INSTITUTIONAL
CLASS SHARES |
6/19/09 | 18.51 | 5.36 | 6.17 | ||||||||||||||
SELECT CLASS
SHARES |
3/5/93 | 18.46 | 5.35 | 6.17 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 18.76 | 5.59 | 6.29 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
February 8, 1993 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$1,391,324 |
|||||
Primary
Benchmark |
Barclays Capital U.S. Government Bond Index |
|||||
Duration
|
5.2 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Government Bond Fund, which seeks a high level of current income with liquidity and safety of principal,* returned 5.59%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 2.45% return for the Barclays Capital U.S. Government Bond Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold bonds that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We are value investors who focus on security selection. As in the past, the majority of our time was spent looking for and analyzing individual securities. If selected, these securities were generally held over time, typically resulting in low turnover. During the reporting period, we did not make significant adjustments to the Funds portfolio. While we modestly extended the Funds duration during the reporting period, it remained shorter than that of the benchmark throughout the fiscal year. |
Collateralized
Mortgage Obligations |
42.8 | % | ||||
U.S. Treasury
Obligations |
23.2 | |||||
U.S. Government
Agency Securities |
14.6 | |||||
Mortgage
Pass-Through Securities |
11.4 | |||||
Short-Term
Investment |
8.0 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
3/5/93 | |||||||||||||||||
Without Sales
Charge |
5.42 | % | 5.24 | % | 6.14 | % | ||||||||||||
With Sales
Charge* |
1.48 | 4.44 | 5.74 | |||||||||||||||
CLASS B
SHARES |
1/14/94 | |||||||||||||||||
Without
CDSC |
4.64 | 4.48 | 5.58 | |||||||||||||||
With
CDSC** |
(0.36 | ) | 4.14 | 5.58 | ||||||||||||||
CLASS C
SHARES |
3/22/99 | |||||||||||||||||
Without
CDSC |
4.58 | 4.46 | 5.41 | |||||||||||||||
With
CDSC*** |
3.58 | 4.46 | 5.41 | |||||||||||||||
CLASS R2
SHARES |
11/3/08 | 4.99 | 4.96 | 5.90 | ||||||||||||||
SELECT CLASS
SHARES |
2/8/93 | 5.59 | 5.50 | 6.40 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
November 13, 1998 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$5,838,054 |
|||||
Primary
Benchmark |
Barclays Capital U.S. Corporate High Yield 2% Issuer Capped Index |
|||||
Duration
|
4.5 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan High Yield Fund (formerly known as JPMorgan High Yield Bond Fund), which seeks a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated, **returned 44.86% *** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 55.20% return for the Barclays Capital U.S. Corporate High Yield 2% Issuer Capped Index (the Index) for the same period. Capital appreciation is a secondary objective. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the global credit crisis and the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky, including high yield bonds. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We made a number of significant adjustments to the Funds portfolio during the fiscal year. We felt these were warranted given signs that the economy was regaining its footing and based on our improving outlook for the overall high yield market. In addition, we believed these changes were appropriate, as we sought to generate solid risk adjusted returns not only for shorter timeframes but, more importantly, over an entire market cycle. |
Corporate Bonds
|
79.5 | % | ||||
Loan
Participations & Assignments |
14.2 | |||||
Others (each
less than 1.0%) |
1.1 | |||||
Short-Term
Investment |
5.2 |
* |
The Funds name was changed from JPMorgan High Yield Bond Fund to JPMorgan High Yield Fund on September 14, 2009. |
** |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
*** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
**** |
Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
11/13/98 | |||||||||||||||||
Without Sales
Charge |
44.28 | % | 6.14 | % | 6.76 | % | ||||||||||||
With Sales
Charge* |
38.77 | 5.34 | 6.35 | |||||||||||||||
CLASS B
SHARES |
11/13/98 | |||||||||||||||||
Without
CDSC |
43.46 | 5.46 | 6.20 | |||||||||||||||
With
CDSC** |
38.46 | 5.13 | 6.20 | |||||||||||||||
CLASS C
SHARES |
3/22/99 | |||||||||||||||||
Without
CDSC |
43.58 | 5.44 | 6.07 | |||||||||||||||
With
CDSC*** |
42.58 | 5.44 | 6.07 | |||||||||||||||
CLASS R2
SHARES |
11/3/08 | 44.00 | 5.83 | 6.45 | ||||||||||||||
CLASS R5
SHARES |
5/15/06 | 44.95 | 6.43 | 7.05 | ||||||||||||||
SELECT CLASS
SHARES |
11/13/98 | 44.86 | 6.40 | 7.03 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 44.84 | 6.49 | 7.06 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
February 2, 1993 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$326,914 |
|||||
Primary
Benchmark |
Barclays Capital 1-3 Year U.S. Government/Credit Bond Index |
|||||
Duration
|
1.8 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Limited Duration Bond Fund (previously the JPMorgan Ultra Short Duration Bond Fund), which seeks a high level of current income consistent with low volatility of principal by investing in a diversified portfolio of short-term investment grade securities,** returned 17.91%*** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 4.76% return of the Barclays Capital 13 Year U.S. Government/Credit Index (the Index) and 1.13% return for the Funds former index, the Barclays Capital Short 912 Month U.S. Treasury Index, for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund significantly outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold bonds that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We are value investors who focus on security selection. As in the past, the majority of our time was spent looking for and analyzing individual securities. If selected, these securities were generally held over time, typically resulting in low turnover. During the reporting period, we did not make significant adjustments to the Funds portfolio. We maintained an above average position in a money market fund throughout the fiscal year to maintain a high degree of liquidity for the Fund. |
Collateralized
Mortgage Obligations |
45.1 | % | ||||
Mortgage
Pass-Through Securities |
17.7 | |||||
Asset-Backed
Securities |
11.5 | |||||
Commercial
Mortgage-Backed Securities |
1.9 | |||||
Corporate Bonds
|
0.4 | |||||
Short-Term
Investment |
23.4 |
* |
The Funds name was changed from JPMorgan Ultra Short Duration Bond Fund to JPMorgan Limited Duration Bond Fund on August 31, 2009. |
** |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
*** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
**** |
Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
3/10/93 | |||||||||||||||||
Without Sales
Charge |
17.61 | % | 2.12 | % | 3.09 | % | ||||||||||||
With Sales
Charge* |
14.96 | 1.65 | 2.86 | |||||||||||||||
CLASS B
SHARES |
1/14/94 | |||||||||||||||||
Without
CDSC |
17.01 | 1.61 | 2.78 | |||||||||||||||
With
CDSC** |
14.01 | 1.61 | 2.78 | |||||||||||||||
CLASS C
SHARES |
11/1/01 | 17.07 | 1.62 | 2.54 | ||||||||||||||
SELECT CLASS
SHARES |
2/2/93 | 17.91 | 2.38 | 3.35 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 18.26 | 2.60 | 3.46 |
* |
Sales Charge for Class A Shares is 2.25%. |
** |
Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
August 18, 2000 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$1,799,432 |
|||||
Primary
Benchmark |
Barclays Capital U.S. MBS Index |
|||||
Duration
|
2.7 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Mortgage-Backed Securities Fund, which seeks to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages,* returned 15.64%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 6.67% return for the Barclays Capital U.S. MBS Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this had led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold bonds that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to focus on security selection and relative value in managing the Fund. We also concentrated on bottom-up portfolio construction and identifying what we believed were undervalued securities. In addition to adjusting the Funds duration, we increased its exposure to U.S. Treasuries. The Funds investment in a money market fund was also somewhat elevated at the end of the fiscal year. The assets in U.S. Treasuries and the money market fund were held there while was sought to identify attractive value opportunities in the marketplace. |
Collateralized
Mortgage Obligations |
64.5 | % | ||||
Mortgage
Pass-Through Securities |
16.6 | |||||
U.S. Treasury
Obligations |
7.0 | |||||
Asset-Backed
Securities |
1.6 | |||||
U.S. Government
Agency Securities |
1.0 | |||||
Others (each
less than 1.0%) |
0.2 | |||||
Short-Term
Investment |
9.1 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
8/18/00 | |||||||||||||||||
Without Sales
Charge |
15.36 | % | 6.29 | % | 6.90 | % | ||||||||||||
With Sales
Charge* |
11.00 | 5.48 | 6.49 | |||||||||||||||
SELECT CLASS
SHARES |
8/18/00 | 15.64 | 6.53 | 7.14 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 15.79 | 6.68 | 7.22 |
* |
Sales Charge for Class A Shares is 3.75%. |
FUND FACTS |
||||||
Fund
Inception |
September 4, 1990 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$7,811,341 |
|||||
Primary
Benchmark |
Barclays Capital 13 Year U.S. Government/Credit Bond Index |
|||||
Duration
|
1.8 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Short Duration Bond Fund, which seeks current income consistent with preservation of capital through investments in high- and medium-grade fixed income securities,* returned 5.57% ** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 4.76% return for the Barclays Capital 13 Year U.S. Government/Credit Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this had led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
Throughout the fiscal year, we continued to focus on security selection as our primary strategy, looking for attractively valued securities. During the period, we maintained our disciplined investment approach and our overweight exposure to non-U.S. Treasuries versus the Index. A number of adjustments were made to the portfolio during the fiscal year. For example, we reduced the Funds exposure to agency mortgage-backed securities and increased its positions in asset-backed and commercial mortgage-backed securities. We also increased the Funds exposure to non-agency mortgage-backed securities and corporate bonds in the three to five portion of the curve. Toward the end of the fiscal year, we also increased the Funds exposure to U.S. Treasuries when their yields rose (and prices declined). |
U.S. Treasury
Obligations |
26.9 | % | ||||
U.S. Government
Agency Securities |
22.9 | |||||
Corporate Bonds
|
12.2 | |||||
Collateralized
Mortgage Obligations |
11.4 | |||||
Mortgage
Pass-Through Securities |
10.0 | |||||
Asset-Backed
Securities |
9.5 | |||||
Commercial
Mortgage-Backed Securities |
1.8 | |||||
Foreign
Government Securities |
0.2 | |||||
Short-Term
Investment |
5.1 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
2/18/92 | |||||||||||||||||
Without Sales
Charge |
5.32 | % | 4.14 | % | 4.39 | % | ||||||||||||
With Sales
Charge* |
2.99 | 3.68 | 4.15 | |||||||||||||||
CLASS B
SHARES |
1/14/94 | |||||||||||||||||
Without
CDSC |
4.80 | 3.62 | 4.06 | |||||||||||||||
With
CDSC** |
1.80 | 3.62 | 4.06 | |||||||||||||||
CLASS C
SHARES |
11/1/01 | 4.76 | 3.63 | 3.81 | ||||||||||||||
SELECT CLASS
SHARES |
9/4/90 | 5.57 | 4.42 | 4.65 | ||||||||||||||
ULTRA
SHARES |
2/22/05 | 5.81 | 4.68 | 4.78 |
* |
Sales Charge for Class A Shares is 2.25%. |
** |
Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
FUND FACTS |
||||||
Fund
Inception |
November 30, 1990 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$103,445 |
|||||
Primary
Benchmark |
Barclays Capital 13 Year U.S. Government Bond Index |
|||||
Duration
|
1.7 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Short Term Bond Fund II, which seeks a high level of income, consistent with preservation of capital,* returned 3.98%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 2.58% return for the Barclays Capital 13 Year U.S. Government Bond Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this had led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
During the fiscal year, the Funds portfolio management team changed and several adjustments were gradually made to the portfolio. For example, over the period we further diversified the Funds portfolio by increasing its number of holdings from approximately 62 to 165. We also modified certain sector positions and focused on security selection, looking for attractively valued securities. This led us to increase the Funds corporate and asset-backed security exposures, while significantly reducing its cash position. We also adjusted the Funds yield curve positioning by adding to its exposure to corporate bonds in the three to five portion of the curve while maintaining the Funds weighted average life to no more than three years. As in the past, maintaining liquidity and a high quality portfolio remained paramount in the management of the Fund. |
U.S. Treasury
Obligations |
30.0 | % | ||||
U.S. Government
Agency Securities |
27.7 | |||||
Corporate Bonds
|
24.5 | |||||
Asset-Backed
Securities |
9.7 | |||||
Collateralized
Mortgage Obligations |
4.9 | |||||
Commercial
Mortgage-Backed Securities |
1.8 | |||||
Others (each
less than 0.1%) |
0.5 | |||||
Short-Term
Investment |
0.9 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
CLASS A
SHARES |
5/6/96 | |||||||||||||||||
Without Sales
Charge |
3.61 | % | 1.26 | % | 2.69 | % | ||||||||||||
With Sales
Charge* |
1.30 | 0.80 | 2.46 | |||||||||||||||
CLASS M
SHARES |
7/1/99 | |||||||||||||||||
Without Sales
Charge |
3.36 | 1.01 | 2.44 | |||||||||||||||
With Sales
Charge** |
1.85 | 0.71 | 2.29 | |||||||||||||||
SELECT CLASS
SHARES |
11/30/90 | 3.98 | 1.51 | 2.97 |
* |
Sales Charge for Class A Shares is 2.25%. |
** |
Sales Charge for Class M Shares is 1.50%. |
FUND FACTS |
||||||
Fund
Inception |
January 20, 1997 |
|||||
Fiscal
Year End |
Last day of February |
|||||
Net Assets
as of 2/28/2010 (In Thousands) |
$529,061 |
|||||
Primary
Benchmark |
Barclays Capital 15 Year U.S. Treasury Index |
|||||
Duration
|
2.2 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Treasury & Agency Fund, which seeks a high level of current income by investing in U.S. Treasury and other U.S. agency obligations with a primary, but not exclusive, focus on issues that produce income exempt from state income taxes,* returned 3.63%** (Select Class Shares) for the twelve months ended February 28, 2010. This compares to the 2.50% return for the Barclays Capital 15 Year U.S. Treasury Index (the Index) for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund outperformed the Index for the period. When the reporting period began, there continued to be uncertainties in the fixed income market, given the ongoing repercussions from the September 2008 bankruptcy of Lehman Brothers. These included illiquidity, poorly performing credit markets and ongoing weakness in the global economy. Collectively, this had led to extreme flights to quality, as investors flocked to the safety of short-term government bonds and sold securities that were perceived to be risky. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We are value investors who focus on security selection in the U.S. Treasury and agency market. The majority of our time was spent looking for and analyzing securities, as well as determining how best to position the portfolio as the market evolved throughout the twelve month reporting period. In addition to shortening the Funds duration, we also pared the Funds exposure to TIPS, as they were less attractively valued given their strong performance over the fiscal year. |
U.S. Treasury
Obligations |
77.8 | % | ||||
U.S. Government
Agency Securities |
20.6 | |||||
Short-Term
Investment |
1.6 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on the net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 28, 2010. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||||||
CLASS A
SHARES |
1/20/97 | |||||||||||||||||||||
Without Sales
Charge |
3.39 | % | 4.10 | % | 4.90 | % | ||||||||||||||||
With Sales
Charge* |
1.10 | 3.63 | 4.66 | |||||||||||||||||||
CLASS B
SHARES |
1/20/97 | |||||||||||||||||||||
Without
CDSC |
2.86 | 3.58 | 4.58 | |||||||||||||||||||
With
CDSC** |
(0.14 | ) | 3.58 | 4.58 | ||||||||||||||||||
SELECT CLASS
SHARES |
1/20/97 | 3.63 | 4.36 | 5.16 |
* |
Sales Charge for Class A Shares is 2.25%. |
** |
Assumes 3% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 2.5% |
|||||||||||
3,000 | Ally
Auto Receivables Trust, Series 2009-A, Class A3, 2.330%, 06/17/13 (e) |
3,057 | |||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
2,234 | Series 2005-BM, Class A4, VAR, 0.308%, 05/06/12 |
2,224 | |||||||||
1,140 | Series 2006-BG, Class A4, 5.210%, 09/06/13 |
1,177 | |||||||||
1,514 | Series 2007-CM, Class A3B, VAR, 0.258%, 05/07/12 |
1,510 | |||||||||
1,400 | Series 2008-AF, Class A3, 5.680%, 12/12/12 |
1,447 | |||||||||
2,670 | Series 2008-AF, Class A4, 6.960%, 10/14/14 |
2,848 | |||||||||
3,000 | Series 2009-1, Class A3, 3.040%, 10/15/13 |
3,083 | |||||||||
3,140 | Series 2010-1, Class A2, 0.970%, 01/15/13 |
3,142 | |||||||||
2,190 | Series 2010-1, Class A3, 1.660%, 03/17/14 |
2,194 | |||||||||
806 | Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 |
755 | |||||||||
Bank
of America Auto Trust, |
|||||||||||
15,000 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
15,359 | |||||||||
3,235 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
3,380 | |||||||||
10,000 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) |
10,169 | |||||||||
5,575 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) |
5,627 | |||||||||
5,810 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
5,824 | |||||||||
4,255 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
4,248 | |||||||||
1,866 | Bear
Stearns Asset Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.599%, 04/25/36 (f) (i) |
1,269 | |||||||||
Capital One Auto Finance Trust, |
|||||||||||
618 | Series 2007-B, Class A3A, 5.030%, 04/15/12 |
624 | |||||||||
169 | Series 2007-C, Class A3A, 5.130%, 04/16/12 |
172 | |||||||||
4,645 | CarMax Auto Owner Trust, Series 2010-1, Class A3, 1.560%, 07/15/14 |
4,653 | |||||||||
16,350 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 |
14,765 | |||||||||
Chrysler Financial Auto Securitization Trust, |
|||||||||||
3,750 | Series 2009-A, Class A3, 2.820%, 01/15/16 |
3,848 | |||||||||
8,500 | Series 2009-B, Class A2, 1.150%, 11/08/11 |
8,528 | |||||||||
Citibank Credit Card Issuance Trust, |
|||||||||||
8,282 | Series 2002-C2, Class C2, 6.950%, 02/18/14 |
8,850 | |||||||||
950 | Series 2007-A3, Class A3, 6.150%, 06/15/39 |
1,061 | |||||||||
CitiFinancial Auto Issuance Trust, |
|||||||||||
17,500 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) |
17,611 | |||||||||
5,350 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) |
5,426 | |||||||||
2,111 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.609%, 12/25/33 |
1,643 | |||||||||
CNH
Equipment Trust, |
|||||||||||
1,206 | Series 2008-B, Class A3A, 4.780%, 07/16/12 |
1,229 | |||||||||
3,900 | Series 2008-B, Class A4A, 5.600%, 11/17/14 |
4,108 | |||||||||
500 | Series 2009-A, Class A3, 5.280%, 11/15/12 |
522 | |||||||||
1,970 | Series 2009-C, Class A3, 1.850%, 12/16/13 |
1,986 | |||||||||
Countrywide Asset-Backed Certificates, |
|||||||||||
816 | Series 2003-5, Class MF1, VAR, 5.413%, 01/25/34 |
552 | |||||||||
11 | Series 2004-1, Class 3A, VAR, 0.509%, 04/25/34 |
8 | |||||||||
1,290 | Series 2004-1, Class M1, VAR, 0.729%, 03/25/34 |
963 | |||||||||
1,060 | Series 2004-1, Class M2, VAR, 0.779%, 03/25/34 |
854 | |||||||||
1,065 | Series 2004-6, Class M1, VAR, 0.829%, 10/25/34 (f) (i) |
528 | |||||||||
805 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.539%, 11/25/35 (f) (i) |
652 | |||||||||
1,341 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
936 | |||||||||
2,400 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 |
2,644 | |||||||||
1,400 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.329%, 12/25/36 |
1,159 | |||||||||
Ford
Credit Auto Owner Trust, |
|||||||||||
584 | Series 2006-B, Class A4, 5.250%, 09/15/11 |
595 | |||||||||
6,700 | Series 2009-B, Class A3, 2.790%, 08/15/13 |
6,871 | |||||||||
5,000 | Series 2009-B, Class A4, 4.500%, 07/15/14 |
5,350 | |||||||||
6,000 | Series 2009-D, Class A3, 2.170%, 10/15/13 |
6,102 | |||||||||
1,272 | GE
Capital Mortgage Services LLC, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29 |
1,027 | |||||||||
Harley-Davidson Motorcycle Trust, |
|||||||||||
13,335 | Series 2009-3, Class A2, 0.940%, 04/15/12 |
13,345 | |||||||||
5,140 | Series 2009-3, Class A3, 1.740%, 09/15/13 |
5,172 | |||||||||
HFC
Home Equity Loan Asset Backed Certificates, |
|||||||||||
3,767 | Series 2005-2, Class A1, VAR, 0.499%, 01/20/35 |
3,530 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Asset-Backed Securities Continued |
|||||||||||
3,070 | Series 2005-2, Class M2, VAR, 0.719%, 01/20/35 |
2,681 | |||||||||
6,837 | Series 2006-1, Class A1, VAR, 0.389%, 01/20/36 |
5,960 | |||||||||
3,063 | Series 2006-2, Class A1, VAR, 0.379%, 03/20/36 |
2,837 | |||||||||
9,000 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 |
9,233 | |||||||||
1,285 | Series 2007-1, Class AS, VAR, 0.429%, 03/20/36 |
1,130 | |||||||||
16,328 | Series 2007-3, Class APT, VAR, 1.429%, 11/20/36 |
14,815 | |||||||||
Honda Auto Receivables Owner Trust, |
|||||||||||
5,495 | Series 2009-2, Class A3, 2.790%, 01/15/13 |
5,630 | |||||||||
3,500 | Series 2009-2, Class A4, 4.430%, 07/15/15 |
3,715 | |||||||||
3,155 | Series 2009-3, Class A3, 2.310%, 05/15/13 |
3,210 | |||||||||
4,200 | Series 2009-3, Class A4, 3.300%, 09/15/15 |
4,349 | |||||||||
2,500 | Hyundai Auto Receivables Trust, Series 2009-A, Class A3, 2.030%, 08/15/13 |
2,541 | |||||||||
1,874 | Indymac Residential Asset Backed Trust, Series 2006-A, Class A3, VAR, 0.429%, 03/25/36 |
948 | |||||||||
John
Deere Owner Trust, |
|||||||||||
4,230 | Series 2009-A, Class A3, 2.590%, 10/15/13 |
4,306 | |||||||||
5,360 | Series 2009-B, Class A3, 1.570%, 10/15/13 |
5,399 | |||||||||
Long
Beach Mortgage Loan Trust, |
|||||||||||
1,500 | Series 2004-3, Class M1, VAR, 0.799%, 07/25/34 |
1,085 | |||||||||
1,555 | Series 2006-8, Class 2A2, VAR, 0.319%, 09/25/36 |
581 | |||||||||
2,485 | Series 2006-WL2, Class 2A3, VAR, 0.429%, 01/25/36 |
1,921 | |||||||||
4,776 | MBNA
Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 |
5,094 | |||||||||
3,000 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 |
3,034 | |||||||||
3,570 | Morgan Stanley ABS Capital I, Series 2004-WMC3, Class M1, VAR, 0.979%, 01/25/35 |
3,505 | |||||||||
45,000 | Nationstar Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.229%, 12/26/22 (e) |
45,000 | |||||||||
4,000 | New
Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 |
3,521 | |||||||||
319 | Option One Mortgage Loan Trust, Series 2003-1, Class A2, VAR, 1.069%, 02/25/33 |
250 | |||||||||
100 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 |
53 | |||||||||
Residential Asset Securities Corp., |
|||||||||||
86 | Series 2002-KS4, Class AIIB, VAR, 0.729%, 07/25/32 |
48 | |||||||||
123 | Series 2003-KS5, Class AIIB, VAR, 0.809%, 07/25/33 |
72 | |||||||||
139 | Series 2003-KS9, Class A2B, VAR, 0.869%, 11/25/33 |
47 | |||||||||
2,569 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) |
2,232 | |||||||||
3,987 | Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 |
3,525 | |||||||||
354 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 |
358 | |||||||||
USAA
Auto Owner Trust, |
|||||||||||
8,485 | Series 2009-2, Class A3, 1.540%, 02/18/14 |
8,552 | |||||||||
3,080 | Series 2009-2, Class A4, 2.530%, 07/15/15 |
3,136 | |||||||||
1,535 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 |
1,570 | |||||||||
Wachovia Asset Securitization, Inc., |
|||||||||||
188 | Series 2002-HE2, Class A, VAR, 0.659%, 12/25/32 |
133 | |||||||||
593 | Series 2003-HE3, Class A, VAR, 0.479%, 11/25/33 |
398 | |||||||||
World Omni Auto Receivables Trust, |
|||||||||||
1,155 | Series 2007-B, Class A3A, 5.280%, 01/17/12 |
1,172 | |||||||||
1,400 | Series 2009-A, Class A3, 3.330%, 05/15/13 |
1,441 | |||||||||
7,045 | Series 2010-A, Class A4, 2.210%, 05/15/15 |
7,078 | |||||||||
Total Asset-Backed Securities (Cost $350,464) |
353,187 | ||||||||||
Collateralized Mortgage Obligations 38.0% |
|||||||||||
Agency CMO 24.9% |
|||||||||||
Federal Home Loan Bank System, |
|||||||||||
1,988 | Series 2000-0606, Class Y, 5.270%, 12/28/12 |
2,126 | |||||||||
29,403 | Series 2000-1067, Class 1, 5.300%, 06/15/12 |
31,088 | |||||||||
Federal Home Loan Mortgage Corp. - Government National Mortgage Association, |
|||||||||||
691 | Series 8, Class ZA, 7.000%, 03/25/23 |
753 | |||||||||
435 | Series 24, Class ZE, 6.250%, 11/25/23 |
472 | |||||||||
3,136 | Series 29, Class L, 7.500%, 04/25/24 |
3,383 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
119 | Series 11, Class D, 9.500%, 07/15/19 |
129 | |||||||||
34 | Series 22, Class C, 9.500%, 04/15/20 |
37 | |||||||||
49 | Series 23, Class F, 9.600%, 04/15/20 |
54 | |||||||||
2 | Series 41, Class I, HB, 84.000%, 05/15/20 |
3 | |||||||||
22 | Series 46, Class B, 7.800%, 09/15/20 |
24 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
12 | Series 47, Class F, 10.000%, 06/15/20 |
13 | |||||||||
1 | Series 85, Class C, 8.600%, 01/15/21 |
1 | |||||||||
39 | Series 99, Class Z, 9.500%, 01/15/21 |
43 | |||||||||
102 | Series 114, Class H, 6.950%, 01/15/21 |
111 | |||||||||
1 | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 |
21 | |||||||||
| (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 |
1 | ||||||||
19 | Series 1065, Class J, 9.000%, 04/15/21 |
21 | |||||||||
12 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 |
19 | |||||||||
32 | Series 1084, Class F, VAR, 1.200%, 05/15/21 |
32 | |||||||||
22 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 |
38 | |||||||||
33 | Series 1116, Class I, 5.500%, 08/15/21 |
35 | |||||||||
85 | Series 1144, Class KB, 8.500%, 09/15/21 |
94 | |||||||||
| (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 |
5 | ||||||||
1 | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 |
30 | |||||||||
78 | Series 1206, Class IA, 7.000%, 03/15/22 |
78 | |||||||||
328 | Series 1212, Class IZ, 8.000%, 02/15/22 |
334 | |||||||||
101 | Series 1250, Class J, 7.000%, 05/15/22 |
110 | |||||||||
234 | Series 1343, Class LA, 8.000%, 08/15/22 |
259 | |||||||||
94 | Series 1343, Class LB, 7.500%, 08/15/22 |
103 | |||||||||
153 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 |
153 | |||||||||
151 | Series 1455, Class WB, IF, 4.550%, 12/15/22 |
140 | |||||||||
1,433 | Series 1466, Class PZ, 7.500%, 02/15/23 |
1,571 | |||||||||
22 | Series 1470, Class F, VAR, 2.828%, 02/15/23 |
22 | |||||||||
273 | Series 1491, Class I, 7.500%, 04/15/23 |
273 | |||||||||
887 | Series 1498, Class I, VAR, 1.400%, 04/15/23 |
887 | |||||||||
1,103 | Series 1502, Class PX, 7.000%, 04/15/23 |
1,157 | |||||||||
143 | Series 1505, Class Q, 7.000%, 05/15/23 |
156 | |||||||||
626 | Series 1518, Class G, IF, 8.804%, 05/15/23 |
672 | |||||||||
117 | Series 1541, Class M, HB, IF, 20.297%, 07/15/23 |
163 | |||||||||
556 | Series 1541, Class O, VAR, 3.720%, 07/15/23 |
555 | |||||||||
31 | Series 1570, Class F, VAR, 3.328%, 08/15/23 |
30 | |||||||||
1,116 | Series 1573, Class PZ, 7.000%, 09/15/23 |
1,217 | |||||||||
656 | Series 1591, Class PV, 6.250%, 10/15/23 |
707 | |||||||||
58 | Series 1595, Class D, 7.000%, 10/15/13 |
63 | |||||||||
182 | Series 1596, Class D, 6.500%, 10/15/13 |
182 | |||||||||
51 | Series 1602, Class SA, HB, IF, 21.938%, 10/15/23 |
68 | |||||||||
223 | Series 1607, Class H, 6.250%, 10/15/13 |
224 | |||||||||
39 | Series 1607, Class SA, IF, 18.187%, 10/15/13 |
45 | |||||||||
3,846 | Series 1608, Class L, 6.500%, 09/15/23 |
4,196 | |||||||||
1,686 | Series 1609, Class LG, IF, 16.792%, 11/15/23 |
2,018 | |||||||||
116 | Series 1611, Class JA, VAR, 1.625%, 08/15/23 |
115 | |||||||||
108 | Series 1611, Class JB, HB, IF, 20.836%, 08/15/23 |
113 | |||||||||
1,343 | Series 1642, Class PJ, 6.000%, 11/15/23 |
1,439 | |||||||||
568 | Series 1658, Class GZ, 7.000%, 01/15/24 |
613 | |||||||||
16 | Series 1671, Class L, 7.000%, 02/15/24 |
17 | |||||||||
21 | Series 1671, Class QC, IF, 10.000%, 02/15/24 |
26 | |||||||||
24 | Series 1686, Class SH, IF, 18.675%, 02/15/24 |
35 | |||||||||
473 | Series 1695, Class EB, 7.000%, 03/15/24 |
521 | |||||||||
89 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 |
89 | |||||||||
531 | Series 1700, Class GA, PO, 02/15/24 |
471 | |||||||||
2,605 | Series 1706, Class K, 7.000%, 03/15/24 |
2,831 | |||||||||
42 | Series 1709, Class FA, VAR, 2.810%, 03/15/24 |
41 | |||||||||
1,491 | Series 1720, Class PL, 7.500%, 04/15/24 |
1,554 | |||||||||
1,992 | Series 1737, Class L, 6.000%, 06/15/24 |
2,167 | |||||||||
208 | Series 1745, Class D, 7.500%, 08/15/24 |
228 | |||||||||
1,415 | Series 1798, Class F, 5.000%, 05/15/23 |
1,463 | |||||||||
29 | Series 1807, Class G, 9.000%, 10/15/20 |
31 | |||||||||
312 | Series 1829, Class ZB, 6.500%, 03/15/26 |
340 | |||||||||
41 | Series 1844, Class E, 6.500%, 10/15/13 |
44 | |||||||||
2,026 | Series 1863, Class Z, 6.500%, 07/15/26 |
2,188 | |||||||||
58 | Series 1865, Class D, PO, 02/15/24 |
36 | |||||||||
197 | Series 1890, Class H, 7.500%, 09/15/26 |
205 | |||||||||
548 | Series 1899, Class ZE, 8.000%, 09/15/26 |
607 | |||||||||
1,177 | Series 1927, Class PH, 7.500%, 01/15/27 |
1,234 | |||||||||
1,329 | Series 1927, Class ZA, 6.500%, 01/15/27 |
1,392 | |||||||||
33 | Series 1935, Class FL, VAR, 0.950%, 02/15/27 |
32 | |||||||||
433 | Series 1963, Class Z, 7.500%, 01/15/27 |
434 | |||||||||
68 | Series 1970, Class PG, 7.250%, 07/15/27 |
75 | |||||||||
1,178 | Series 1981, Class Z, 6.000%, 05/15/27 |
1,260 | |||||||||
736 | Series 1983, Class Z, 6.500%, 12/15/23 |
795 | |||||||||
485 | Series 1987, Class PE, 7.500%, 09/15/27 |
537 | |||||||||
672 | Series 2019, Class Z, 6.500%, 12/15/27 |
740 | |||||||||
430 | Series 2025, Class PE, 6.300%, 01/15/13 |
430 | |||||||||
2,577 | Series 2033, Class J, 5.600%, 06/15/23 |
2,578 | |||||||||
311 | Series 2033, Class SN, HB, IF, 23.222%, 03/15/24 |
167 | |||||||||
850 | Series 2038, Class PN, IO, 7.000%, 03/15/28 |
120 | |||||||||
2,226 | Series 2040, Class PE, 7.500%, 03/15/28 |
2,530 | |||||||||
888 | Series 2054, Class PV, 7.500%, 05/15/28 |
951 | |||||||||
325 | Series 2055, Class OE, 6.500%, 05/15/13 |
336 | |||||||||
337 | Series 2056, Class TD, 6.500%, 05/15/18 |
366 | |||||||||
1,437 | Series 2063, Class PG, 6.500%, 06/15/28 |
1,534 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
210 | Series 2064, Class TE, 7.000%, 06/15/28 |
225 | |||||||||
899 | Series 2070, Class C, 6.000%, 07/15/28 |
962 | |||||||||
2,910 | Series 2075, Class PH, 6.500%, 08/15/28 |
3,162 | |||||||||
3,114 | Series 2075, Class PM, 6.250%, 08/15/28 |
3,372 | |||||||||
985 | Series 2086, Class GB, 6.000%, 09/15/28 |
1,062 | |||||||||
1,002 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
182 | |||||||||
3,280 | Series 2095, Class PE, 6.000%, 11/15/28 |
3,567 | |||||||||
986 | Series 2102, Class TC, 6.000%, 12/15/13 |
1,047 | |||||||||
543 | Series 2102, Class TU, 6.000%, 12/15/13 |
577 | |||||||||
4,445 | Series 2106, Class ZD, 6.000%, 12/15/28 |
4,775 | |||||||||
8,838 | Series 2110, Class PG, 6.000%, 01/15/29 |
9,618 | |||||||||
2,201 | Series 2115, Class PE, 6.000%, 01/15/14 |
2,329 | |||||||||
1,816 | Series 2125, Class JZ, 6.000%, 02/15/29 |
1,961 | |||||||||
2,710 | Series 2126, Class CB, 6.250%, 02/15/29 |
2,971 | |||||||||
205 | Series 2132, Class SB, HB, IF, 29.559%, 03/15/29 |
283 | |||||||||
142 | Series 2134, Class PI, IO, 6.500%, 03/15/19 |
19 | |||||||||
61 | Series 2135, Class UK, IO, 6.500%, 03/15/14 |
5 | |||||||||
105 | Series 2141, Class IO, IO, 7.000%, 04/15/29 |
20 | |||||||||
340 | Series 2163, Class PC, IO, 7.500%, 06/15/29 |
65 | |||||||||
4,234 | Series 2169, Class TB, 7.000%, 06/15/29 |
4,659 | |||||||||
2,142 | Series 2172, Class QC, 7.000%, 07/15/29 |
2,324 | |||||||||
1,367 | Series 2176, Class OJ, 7.000%, 08/15/29 |
1,445 | |||||||||
51 | Series 2189, Class SA, IF, 17.917%, 02/15/28 |
54 | |||||||||
7 | Series 2196, Class TL, 7.500%, 11/15/29 |
7 | |||||||||
1,062 | Series 2201, Class C, 8.000%, 11/15/29 |
1,176 | |||||||||
3,125 | Series 2208, Class PG, 7.000%, 01/15/30 |
3,408 | |||||||||
538 | Series 2209, Class TC, 8.000%, 01/15/30 |
603 | |||||||||
1,618 | Series 2210, Class Z, 8.000%, 01/15/30 |
1,734 | |||||||||
477 | Series 2224, Class CB, 8.000%, 03/15/30 |
524 | |||||||||
582 | Series 2230, Class Z, 8.000%, 04/15/30 |
638 | |||||||||
455 | Series 2234, Class PZ, 7.500%, 05/15/30 |
501 | |||||||||
369 | Series 2247, Class Z, 7.500%, 08/15/30 |
412 | |||||||||
990 | Series 2256, Class MC, 7.250%, 09/15/30 |
1,079 | |||||||||
1,767 | Series 2259, Class ZM, 7.000%, 10/15/30 |
1,927 | |||||||||
41 | Series 2261, Class ZY, 7.500%, 10/15/30 |
42 | |||||||||
136 | Series 2262, Class Z, 7.500%, 10/15/30 |
145 | |||||||||
1,658 | Series 2271, Class PC, 7.250%, 12/15/30 |
1,675 | |||||||||
2,982 | Series 2283, Class K, 6.500%, 12/15/23 |
3,281 | |||||||||
942 | Series 2296, Class PD, 7.000%, 03/15/31 |
1,007 | |||||||||
6,997 | Series 2301, Class PA, 6.000%, 10/15/13 |
7,384 | |||||||||
342 | Series 2306, Class K, PO, 05/15/24 |
294 | |||||||||
819 | Series 2306, Class SE, IF, IO, 6.940%, 05/15/24 |
128 | |||||||||
647 | Series 2313, Class LA, 6.500%, 05/15/31 |
709 | |||||||||
1,466 | Series 2325, Class PM, 7.000%, 06/15/31 |
1,634 | |||||||||
2,582 | Series 2332, Class ZH, 7.000%, 07/15/31 |
2,838 | |||||||||
286 | Series 2333, Class HC, 6.000%, 07/15/31 |
303 | |||||||||
3,242 | Series 2344, Class QG, 6.000%, 08/15/16 |
3,484 | |||||||||
13,963 | Series 2344, Class ZD, 6.500%, 08/15/31 |
15,316 | |||||||||
1,438 | Series 2344, Class ZJ, 6.500%, 08/15/31 |
1,577 | |||||||||
1,155 | Series 2345, Class NE, 6.500%, 08/15/31 |
1,257 | |||||||||
1,542 | Series 2345, Class PQ, 6.500%, 08/15/16 |
1,671 | |||||||||
552 | Series 2347, Class VP, 6.500%, 03/15/20 |
593 | |||||||||
1,800 | Series 2351, Class PZ, 6.500%, 08/15/31 |
1,978 | |||||||||
4,123 | Series 2353, Class TD, 6.000%, 09/15/16 |
4,450 | |||||||||
1,316 | Series 2355, Class BP, 6.000%, 09/15/16 |
1,420 | |||||||||
404 | Series 2359, Class PM, 6.000%, 09/15/16 |
434 | |||||||||
2,389 | Series 2359, Class ZB, 8.500%, 06/15/31 |
2,728 | |||||||||
2,092 | Series 2360, Class PG, 6.000%, 09/15/16 |
2,227 | |||||||||
382 | Series 2363, Class PF, 6.000%, 09/15/16 |
408 | |||||||||
1,161 | Series 2366, Class MD, 6.000%, 10/15/16 |
1,241 | |||||||||
1,278 | Series 2367, Class ME, 6.500%, 10/15/31 |
1,398 | |||||||||
1,457 | Series 2388, Class FB, VAR, 0.831%, 01/15/29 |
1,455 | |||||||||
3,515 | Series 2391, Class QR, 5.500%, 12/15/16 |
3,759 | |||||||||
1,355 | Series 2391, Class VQ, 6.000%, 10/15/12 |
1,407 | |||||||||
934 | Series 2394, Class MC, 6.000%, 12/15/16 |
1,008 | |||||||||
1,579 | Series 2399, Class OH, 6.500%, 01/15/32 |
1,732 | |||||||||
2,497 | Series 2399, Class TH, 6.500%, 01/15/32 |
2,738 | |||||||||
2,802 | Series 2410, Class NG, 6.500%, 02/15/32 |
3,075 | |||||||||
1,393 | Series 2410, Class OE, 6.375%, 02/15/32 |
1,509 | |||||||||
3,529 | Series 2410, Class QS, IF, 18.900%, 02/15/32 |
4,619 | |||||||||
872 | Series 2410, Class QX, IF, IO, 8.419%, 02/15/32 |
138 | |||||||||
3,615 | Series 2412, Class SP, IF, 15.639%, 02/15/32 |
4,232 | |||||||||
3,155 | Series 2420, Class XK, 6.500%, 02/15/32 |
3,461 | |||||||||
1,667 | Series 2423, Class MC, 7.000%, 03/15/32 |
1,840 | |||||||||
2,062 | Series 2423, Class MT, 7.000%, 03/15/32 |
2,276 | |||||||||
2,711 | Series 2423, Class TB, 6.500%, 03/15/32 |
2,975 | |||||||||
883 | Series 2425, Class OB, 6.000%, 03/15/17 |
956 | |||||||||
3,360 | Series 2430, Class WF, 6.500%, 03/15/32 |
3,689 | |||||||||
4,477 | Series 2434, Class TC, 7.000%, 04/15/32 |
4,958 | |||||||||
8,913 | Series 2434, Class ZA, 6.500%, 04/15/32 |
9,759 | |||||||||
1,797 | Series 2435, Class CJ, 6.500%, 04/15/32 |
1,997 | |||||||||
4,395 | Series 2435, Class VH, 6.000%, 07/15/19 |
4,652 | |||||||||
1,782 | Series 2436, Class MC, 7.000%, 04/15/32 |
1,975 | |||||||||
959 | Series 2441, Class GF, 6.500%, 04/15/32 |
1,056 | |||||||||
2,065 | Series 2444, Class ES, IF, IO, 7.719%, 03/15/32 |
289 | |||||||||
1,666 | Series 2450, Class GZ, 7.000%, 05/15/32 |
1,816 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,347 | Series 2450, Class SW, IF, IO, 7.769%, 03/15/32 |
181 | |||||||||
3,636 | Series 2455, Class GK, 6.500%, 05/15/32 |
3,988 | |||||||||
702 | Series 2458, Class QE, 5.500%, 06/15/17 |
751 | |||||||||
2,684 | Series 2458, Class ZM, 6.500%, 06/15/32 |
2,954 | |||||||||
3,779 | Series 2460, Class VZ, 6.000%, 11/15/29 |
3,859 | |||||||||
3,074 | Series 2463, Class CE, 6.000%, 06/15/17 |
3,322 | |||||||||
2,542 | Series 2466, Class DH, 6.500%, 06/15/32 |
2,788 | |||||||||
4,858 | Series 2466, Class PG, 6.500%, 04/15/32 |
5,213 | |||||||||
1,400 | Series 2466, Class PH, 6.500%, 06/15/32 |
1,554 | |||||||||
3,128 | Series 2474, Class NR, 6.500%, 07/15/32 |
3,438 | |||||||||
8,103 | Series 2475, Class S, IF, IO, 7.769%, 02/15/32 |
1,120 | |||||||||
320 | Series 2480, Class PV, 6.000%, 07/15/11 |
331 | |||||||||
4,539 | Series 2484, Class LZ, 6.500%, 07/15/32 |
4,947 | |||||||||
465 | Series 2488, Class WS, IF, 16.213%, 08/15/17 |
543 | |||||||||
5,753 | Series 2500, Class MC, 6.000%, 09/15/32 |
6,283 | |||||||||
1,147 | Series 2508, Class AQ, 5.500%, 10/15/17 |
1,231 | |||||||||
4,073 | Series 2512, Class PG, 5.500%, 10/15/22 |
4,423 | |||||||||
1,392 | Series 2513, Class YO, PO, 02/15/32 |
1,359 | |||||||||
3,910 | Series 2515, Class DE, 4.000%, 03/15/32 |
4,064 | |||||||||
2,395 | Series 2515, Class MG, 4.000%, 09/15/17 |
2,495 | |||||||||
1,322 | Series 2518, Class PX, 5.500%, 09/15/13 |
1,413 | |||||||||
275 | Series 2519, Class BT, 8.500%, 09/15/31 |
288 | |||||||||
59 | Series 2521, Class PU, 5.500%, 05/15/10 |
59 | |||||||||
451 | Series 2527, Class VU, 5.500%, 10/15/13 |
452 | |||||||||
2,578 | Series 2535, Class BK, 5.500%, 12/15/22 |
2,787 | |||||||||
5,035 | Series 2537, Class TE, 5.500%, 12/15/17 |
5,415 | |||||||||
244 | Series 2541, Class GX, 5.500%, 02/15/17 |
246 | |||||||||
2,000 | Series 2543, Class LX, 5.000%, 12/15/17 |
2,134 | |||||||||
5,462 | Series 2543, Class YX, 6.000%, 12/15/32 |
5,949 | |||||||||
3,640 | Series 2544, Class HC, 6.000%, 12/15/32 |
3,974 | |||||||||
3,560 | Series 2549, Class ZG, 5.000%, 01/15/18 |
3,563 | |||||||||
3,763 | Series 2552, Class ME, 6.000%, 01/15/33 |
4,111 | |||||||||
1,399 | Series 2565, Class MB, 6.000%, 05/15/30 |
1,448 | |||||||||
1,904 | Series 2567, Class QD, 6.000%, 02/15/33 |
2,074 | |||||||||
2,599 | Series 2571, Class FY, VAR, 0.981%, 12/15/32 |
2,603 | |||||||||
468 | Series 2571, Class SK, HB, IF, 33.505%, 09/15/23 |
704 | |||||||||
1,533 | Series 2571, Class SY, IF, 18.046%, 12/15/32 |
1,828 | |||||||||
2,580 | Series 2574, Class HP, 5.000%, 02/15/18 |
2,760 | |||||||||
8,791 | Series 2575, Class ME, 6.000%, 02/15/33 |
9,581 | |||||||||
1,416 | Series 2586, Class HD, 5.500%, 03/15/23 |
1,514 | |||||||||
2,285 | Series 2586, Class WI, IO, 6.500%, 03/15/33 |
421 | |||||||||
2,565 | Series 2591, Class WI, IO, 5.500%, 02/15/30 |
102 | |||||||||
517 | Series 2594, Class VA, 6.000%, 03/15/14 |
518 | |||||||||
6,718 | Series 2594, Class VQ, 6.000%, 08/15/20 |
7,075 | |||||||||
1,420 | Series 2595, Class HC, 5.500%, 04/15/23 |
1,518 | |||||||||
2,051 | Series 2596, Class QG, 6.000%, 03/15/33 |
2,195 | |||||||||
2,838 | Series 2597, Class AD, 6.500%, 03/15/32 |
2,963 | |||||||||
2,888 | Series 2597, Class DS, IF, IO, 7.319%, 02/15/33 |
135 | |||||||||
6,279 | Series 2599, Class DS, IF, IO, 6.769%, 02/15/33 |
342 | |||||||||
8,383 | Series 2610, Class DS, IF, IO, 6.869%, 03/15/33 |
590 | |||||||||
7,107 | Series 2611, Class SH, IF, IO, 7.419%, 10/15/21 |
468 | |||||||||
1,680 | Series 2611, Class UH, 4.500%, 05/15/18 |
1,774 | |||||||||
3,835 | Series 2617, Class GR, 4.500%, 05/15/18 |
4,052 | |||||||||
277 | Series 2619, Class HR, 3.500%, 11/15/31 |
284 | |||||||||
1,290 | Series 2619, Class IM, IO, 5.000%, 10/15/21 |
67 | |||||||||
332 | Series 2624, Class IU, IO, 5.000%, 06/15/33 |
19 | |||||||||
8,504 | Series 2626, Class NS, IF, IO, 6.319%, 06/15/23 |
951 | |||||||||
429 | Series 2627, Class SP, IF, 13.178%, 06/15/33 |
428 | |||||||||
1,000 | Series 2628, Class WA, 4.000%, 07/15/28 |
1,038 | |||||||||
3,144 | Series 2629, Class BY, IO, 4.500%, 03/15/18 |
278 | |||||||||
6,177 | Series 2630, Class S, IF, IO, 6.919%, 01/15/17 |
366 | |||||||||
8,558 | Series 2631, Class LC, 4.500%, 06/15/18 |
9,044 | |||||||||
11,494 | Series 2631, Class SA, IF, 14.427%, 06/15/33 |
12,372 | |||||||||
20,620 | Series 2636, Class Z, 4.500%, 06/15/18 |
21,727 | |||||||||
2,270 | Series 2637, Class SA, IF, IO, 5.869%, 06/15/18 |
205 | |||||||||
920 | Series 2638, Class DS, IF, 8.369%, 07/15/23 |
948 | |||||||||
1,930 | Series 2638, Class SA, IF, IO, 6.869%, 11/15/16 |
100 | |||||||||
1,232 | Series 2640, Class UG, IO, 5.000%, 01/15/32 |
243 | |||||||||
10,054 | Series 2640, Class UP, IO, 5.000%, 01/15/32 |
1,247 | |||||||||
483 | Series 2640, Class UR, IO, 4.500%, 08/15/17 |
15 | |||||||||
798 | Series 2640, Class VE, 3.250%, 07/15/22 |
812 | |||||||||
1,546 | Series 2642, Class SL, IF, 6.686%, 07/15/33 |
1,451 | |||||||||
454 | Series 2643, Class HI, IO, 4.500%, 12/15/16 |
12 | |||||||||
595 | Series 2646, Class SH, IF, 13.428%, 07/15/33 |
592 | |||||||||
3,933 | Series 2649, Class QE, 4.500%, 08/15/17 |
4,121 | |||||||||
1,085 | Series 2650, Class PO, PO, 12/15/32 |
957 | |||||||||
5,069 | Series 2650, Class SO, PO, 12/15/32 |
4,477 | |||||||||
21,393 | Series 2651, Class VZ, 4.500%, 07/15/18 |
22,541 | |||||||||
3,067 | Series 2655, Class EO, PO, 02/15/33 |
2,660 | |||||||||
1,785 | Series 2656, Class SH, HB, IF, 20.908%, 02/15/25 |
1,942 | |||||||||
4,000 | Series 2658, Class PE, 4.500%, 11/15/16 |
4,169 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
504 | Series 2663, Class EO, PO, 08/15/33 |
423 | |||||||||
2,230 | Series 2667, Class SW, IF, 6.577%, 01/15/18 |
2,175 | |||||||||
4,151 | Series 2668, Class S, IF, 11.539%, 09/15/33 |
4,171 | |||||||||
4,462 | Series 2668, Class SB, IF, 6.995%, 10/15/15 |
4,643 | |||||||||
3,387 | Series 2671, Class S, IF, 14.336%, 09/15/33 |
3,639 | |||||||||
3,598 | Series 2672, Class ME, 5.000%, 11/15/22 |
3,841 | |||||||||
774 | Series 2672, Class SJ, IF, 6.951%, 09/15/16 |
803 | |||||||||
11,345 | Series 2675, Class CK, 4.000%, 09/15/18 |
11,791 | |||||||||
1,795 | Series 2676, Class TS, IF, 15.773%, 01/15/32 |
1,973 | |||||||||
8,000 | Series 2677, Class LE, 4.500%, 09/15/18 |
8,439 | |||||||||
4,935 | Series 2682, Class YS, IF, 8.657%, 10/15/33 |
4,578 | |||||||||
155 | Series 2683, Class VA, 5.500%, 02/15/21 |
159 | |||||||||
18,000 | Series 2684, Class PO, PO, 01/15/33 |
14,188 | |||||||||
300 | Series 2684, Class SN, HB, IF, 27.097%, 10/15/33 |
374 | |||||||||
5,437 | Series 2684, Class TO, PO, 10/15/33 |
4,170 | |||||||||
1,248 | Series 2686, Class GB, 5.000%, 05/15/20 |
1,296 | |||||||||
2,580 | Series 2686, Class NS, IF, IO, 7.369%, 10/15/21 |
192 | |||||||||
18,297 | Series 2690, Class SJ, IF, 8.804%, 10/15/33 |
16,693 | |||||||||
2,264 | Series 2691, Class SM, IF, 8.804%, 10/15/33 |
2,050 | |||||||||
3,092 | Series 2691, Class WS, IF, 8.654%, 10/15/33 |
2,806 | |||||||||
2,681 | Series 2692, Class SC, IF, 12.825%, 07/15/33 |
2,952 | |||||||||
1,569 | Series 2694, Class SQ, IF, 8.657%, 10/15/33 |
1,428 | |||||||||
2,000 | Series 2695, Class DE, 4.000%, 01/15/17 |
2,087 | |||||||||
3,833 | Series 2695, Class OB, PO, 10/15/33 |
2,623 | |||||||||
759 | Series 2696, Class CO, PO, 10/15/18 |
670 | |||||||||
584 | Series 2696, Class SM, IF, 13.739%, 12/15/26 |
619 | |||||||||
1,338 | Series 2697, Class LE, 4.500%, 11/15/20 |
1,384 | |||||||||
5,071 | Series 2698, Class SV, IF, 8.654%, 11/15/33 |
4,713 | |||||||||
7,296 | Series 2700, Class S, IF, 8.654%, 11/15/33 |
6,617 | |||||||||
1,791 | Series 2702, Class PC, 5.000%, 01/15/23 |
1,910 | |||||||||
2,389 | Series 2705, Class SC, IF, 8.654%, 11/15/33 |
2,179 | |||||||||
3,830 | Series 2705, Class SD, IF, 8.703%, 11/15/33 |
3,586 | |||||||||
7,400 | Series 2707, Class QE, 4.500%, 11/15/18 |
7,815 | |||||||||
2,240 | Series 2715, Class OG, 5.000%, 01/15/23 |
2,404 | |||||||||
4,480 | Series 2716, Class UN, 4.500%, 12/15/23 |
4,647 | |||||||||
2,240 | Series 2720, Class PC, 5.000%, 12/15/23 |
2,394 | |||||||||
17,303 | Series 2727, Class BS, IF, 8.729%, 01/15/34 |
15,842 | |||||||||
489 | Series 2727, Class PO, PO, 01/15/34 |
408 | |||||||||
10,505 | Series 2733, Class SB, IF, 7.802%, 10/15/33 |
10,292 | |||||||||
1,017 | Series 2739, Class S, IF, 11.539%, 01/15/34 |
1,014 | |||||||||
960 | Series 2743, Class HC, 4.500%, 12/15/15 |
977 | |||||||||
2,150 | Series 2743, Class HD, 4.500%, 08/15/17 |
2,256 | |||||||||
5,000 | Series 2743, Class HE, 4.500%, 02/15/19 |
5,267 | |||||||||
2,597 | Series 2744, Class FE, VAR, 02/15/34 |
2,535 | |||||||||
862 | Series 2744, Class PD, 5.500%, 08/15/33 |
896 | |||||||||
2,535 | Series 2744, Class PE, 5.500%, 02/15/34 |
2,772 | |||||||||
6,422 | Series 2744, Class TU, 5.500%, 05/15/32 |
6,596 | |||||||||
4,290 | Series 2748, Class KO, PO, 10/15/23 |
3,795 | |||||||||
912 | Series 2750, Class PO, PO, 06/15/30 |
821 | |||||||||
2,135 | Series 2752, Class PD, 5.000%, 03/15/26 |
2,179 | |||||||||
1,850 | Series 2753, Class S, IF, 11.539%, 02/15/34 |
1,845 | |||||||||
2,379 | Series 2755, Class PA, PO, 02/15/29 |
2,298 | |||||||||
3,064 | Series 2755, Class SA, IF, 13.739%, 05/15/30 |
3,404 | |||||||||
3,857 | Series 2758, Class AO, PO, 03/15/19 |
3,291 | |||||||||
1,453 | Series 2762, Class LO, PO, 03/15/34 |
1,193 | |||||||||
1,040 | Series 2764, Class UC, 5.000%, 05/15/27 |
1,072 | |||||||||
1,255 | Series 2766, Class SX, IF, 15.814%, 03/15/34 |
1,256 | |||||||||
1,050 | Series 2769, Class PO, PO, 03/15/34 |
910 | |||||||||
675 | Series 2771, Class FG, VAR, 03/15/34 |
592 | |||||||||
5,391 | Series 2776, Class SK, IF, 8.729%, 04/15/34 |
5,031 | |||||||||
352 | Series 2777, Class SX, IF, 11.862%, 04/15/34 |
346 | |||||||||
576 | Series 2778, Class BS, IF, 15.173%, 04/15/34 |
590 | |||||||||
5,299 | Series 2778, Class US, IF, IO, 6.969%, 06/15/33 |
382 | |||||||||
952 | Series 2780, Class JG, 4.500%, 04/15/19 |
992 | |||||||||
1,000 | Series 2780, Class SY, IF, 15.993%, 11/15/33 |
1,158 | |||||||||
5,672 | Series 2802, Class OH, 6.000%, 05/15/34 |
6,194 | |||||||||
1,923 | Series 2809, Class UB, 4.000%, 09/15/17 |
1,994 | |||||||||
2,000 | Series 2809, Class UC, 4.000%, 06/15/19 |
2,063 | |||||||||
1,646 | Series 2812, Class AB, 4.500%, 10/15/18 |
1,723 | |||||||||
628 | Series 2812, Class EL, 7.500%, 02/15/27 |
642 | |||||||||
4,189 | Series 2812, Class NO, PO, 10/15/33 |
3,041 | |||||||||
291 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 |
308 | |||||||||
4,827 | Series 2833, Class KO, PO, 08/15/34 |
4,204 | |||||||||
794 | Series 2835, Class QO, PO, 12/15/32 |
669 | |||||||||
241 | Series 2836, Class SG, IF, 11.866%, 05/15/34 |
233 | |||||||||
920 | Series 2840, Class JO, PO, 06/15/23 |
815 | |||||||||
780 | Series 2841, Class YA, 5.500%, 07/15/27 |
788 | |||||||||
1,396 | Series 2863, Class JA, 4.500%, 09/15/19 |
1,355 | |||||||||
2,000 | Series 2864, Class GB, 4.000%, 09/15/19 |
2,071 | |||||||||
6,070 | Series 2865, Class GO, PO, 10/15/33 |
5,107 | |||||||||
2,219 | Series 2872, Class JD, 4.500%, 01/15/16 |
2,254 | |||||||||
1,015 | Series 2890, Class DO, PO, 11/15/34 |
864 | |||||||||
3,577 | Series 2925, Class MW, VAR, 01/15/35 |
3,542 | |||||||||
2,464 | Series 2929, Class MS, HB, IF, 27.145%, 02/15/35 |
3,234 | |||||||||
20,309 | Series 2934, Class EC, PO, 02/15/20 |
18,251 | |||||||||
1,676 | Series 2934, Class EN, PO, 02/15/18 |
1,614 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
6,050 | Series 2934, Class HI, IO, 5.000%, 02/15/20 |
764 | |||||||||
4,221 | Series 2934, Class KI, IO, 5.000%, 02/15/20 |
528 | |||||||||
2,413 | Series 2945, Class SA, IF, 11.879%, 03/15/20 |
2,629 | |||||||||
2,319 | Series 2965, Class GD, 4.500%, 04/15/20 |
2,445 | |||||||||
2,191 | Series 2967, Class S, HB, IF, 32.557%, 04/15/25 |
3,021 | |||||||||
662 | Series 2975, Class KO, PO, 05/15/35 |
604 | |||||||||
5,617 | Series 2981, Class FA, VAR, 0.631%, 05/15/35 |
5,444 | |||||||||
4,757 | Series 2988, Class AF, VAR, 0.531%, 06/15/35 |
4,639 | |||||||||
2,185 | Series 2988, Class GS, IF, 16.048%, 06/15/35 |
2,360 | |||||||||
214 | Series 2988, Class SD, IF, 15.923%, 03/15/35 |
209 | |||||||||
1,264 | Series 2989, Class PO, PO, 06/15/23 |
1,124 | |||||||||
1,772 | Series 2990, Class GO, PO, 02/15/35 |
1,196 | |||||||||
6,222 | Series 2990, Class LK, VAR, 0.601%, 10/15/34 |
6,142 | |||||||||
4,994 | Series 2990, Class SL, HB, IF, 23.648%, 06/15/34 |
6,759 | |||||||||
2,910 | Series 2990, Class WP, IF, 16.433%, 06/15/35 |
3,411 | |||||||||
5,000 | Series 2992, Class LB, 5.000%, 06/15/20 |
5,331 | |||||||||
2,088 | Series 2996, Class SL, IF, 15.190%, 06/15/35 |
2,183 | |||||||||
6,000 | Series 2999, Class NC, 4.500%, 12/15/18 |
6,298 | |||||||||
4,500 | Series 2999, Class ND, 4.500%, 07/15/20 |
4,709 | |||||||||
895 | Series 3007, Class AI, IO, 5.500%, 07/15/24 |
89 | |||||||||
485 | Series 3014, Class OD, PO, 08/15/35 |
367 | |||||||||
1,468 | Series 3022, Class GF, VAR, 0.531%, 08/15/35 |
1,464 | |||||||||
704 | Series 3022, Class OH, PO, 08/15/35 |
698 | |||||||||
1,036 | Series 3022, Class SX, IF, 16.298%, 08/15/25 |
1,237 | |||||||||
2,310 | Series 3029, Class SO, PO, 09/15/35 |
1,892 | |||||||||
484 | Series 3034, Class FB, VAR, 09/15/35 |
371 | |||||||||
800 | Series 3044, Class GU, VAR, 10/15/35 |
654 | |||||||||
628 | Series 3044, Class VO, PO, 10/15/35 |
493 | |||||||||
3,535 | Series 3047, Class OB, 5.500%, 12/15/33 |
3,783 | |||||||||
26,153 | Series 3049, Class XF, VAR, 0.581%, 05/15/33 |
25,699 | |||||||||
2,400 | Series 3051, Class DP, HB, IF, 27.013%, 10/15/25 |
3,257 | |||||||||
594 | Series 3058, Class YO, PO, 10/15/35 |
483 | |||||||||
2,500 | Series 3064, Class OB, 5.500%, 07/15/29 |
2,643 | |||||||||
2,001 | Series 3064, Class SG, IF, 19.231%, 11/15/35 |
2,575 | |||||||||
8,092 | Series 3065, Class DF, VAR, 0.611%, 04/15/35 |
7,992 | |||||||||
2,408 | Series 3066, Class FH, VAR, 1.229%, 01/15/34 |
2,395 | |||||||||
1,378 | Series 3068, Class AO, PO, 01/15/35 |
1,310 | |||||||||
363 | Series 3081, Class CT, 5.500%, 04/15/24 |
364 | |||||||||
3,571 | Series 3100, Class MA, VAR, 4.071%, 12/15/35 (f) (i) |
3,267 | |||||||||
1,048 | Series 3102, Class HS, HB, IF, 23.721%, 01/15/36 |
1,427 | |||||||||
11,262 | Series 3117, Class AO, PO, 02/15/36 |
9,337 | |||||||||
2,306 | Series 3117, Class EO, PO, 02/15/36 |
1,911 | |||||||||
2,429 | Series 3117, Class OK, PO, 02/15/36 |
2,055 | |||||||||
6,876 | Series 3122, Class OH, PO, 03/15/36 |
5,792 | |||||||||
6,438 | Series 3122, Class OP, PO, 03/15/36 |
5,453 | |||||||||
116 | Series 3122, Class ZB, 6.000%, 03/15/36 |
113 | |||||||||
889 | Series 3134, Class PO, PO, 03/15/36 |
756 | |||||||||
6,336 | Series 3137, Class XP, 6.000%, 04/15/36 |
6,910 | |||||||||
5,278 | Series 3138, Class PO, PO, 04/15/36 |
4,479 | |||||||||
12,845 | Series 3147, Class PO, PO, 04/15/36 |
10,815 | |||||||||
1,085 | Series 3149, Class SO, PO, 05/15/36 |
946 | |||||||||
733 | Series 3158, Class LX, VAR, 05/15/36 |
701 | |||||||||
3,000 | Series 3162, Class OB, 6.000%, 11/15/30 |
3,198 | |||||||||
8,908 | Series 3171, Class MO, PO, 06/15/36 |
7,621 | |||||||||
924 | Series 3174, Class CA, 5.500%, 02/15/26 |
945 | |||||||||
1,450 | Series 3174, Class PX, 5.000%, 06/15/17 |
1,564 | |||||||||
4,349 | Series 3179, Class OA, PO, 07/15/36 |
3,663 | |||||||||
3,469 | Series 3181, Class AZ, 6.500%, 07/15/36 |
3,794 | |||||||||
10,319 | Series 3184, Class OA, PO, 02/15/33 |
9,567 | |||||||||
2,341 | Series 3186, Class MT, IF, 4.631%, 07/15/36 |
2,269 | |||||||||
5,832 | Series 3194, Class SA, IF, IO, 6.869%, 07/15/36 |
602 | |||||||||
7,030 | Series 3195, Class PD, 6.500%, 07/15/36 |
7,797 | |||||||||
38,119 | Series 3202, Class HI, IF, IO, 6.419%, 08/15/36 |
4,331 | |||||||||
1,819 | Series 3213, Class OA, PO, 09/15/36 |
1,502 | |||||||||
1,696 | Series 3218, Class AO, PO, 09/15/36 |
1,519 | |||||||||
15,942 | Series 3219, Class DI, IO, 6.000%, 04/15/36 |
2,258 | |||||||||
3,998 | Series 3225, Class EO, PO, 10/15/36 |
3,253 | |||||||||
8,562 | Series 3232, Class ST, IF, IO, 6.469%, 10/15/36 |
1,145 | |||||||||
1,651 | Series 3233, Class OP, PO, 05/15/36 |
1,380 | |||||||||
1,500 | Series 3234, Class MA, 4.500%, 03/15/28 |
1,551 | |||||||||
681 | Series 3245, Class MO, PO, 11/15/36 |
590 | |||||||||
1,095 | Series 3253, Class A, 5.000%, 08/15/20 |
1,156 | |||||||||
31,869 | Series 3253, Class PO, PO, 12/15/21 |
29,216 | |||||||||
1,006 | Series 3256, Class KF, VAR, 12/15/36 |
956 | |||||||||
1,801 | Series 3256, Class PO, PO, 12/15/36 |
1,588 | |||||||||
4,306 | Series 3260, Class CS, IF, IO, 5.909%, 01/15/37 |
439 | |||||||||
1,694 | Series 3261, Class OA, PO, 01/15/37 |
1,476 | |||||||||
1,759 | Series 3263, Class TP, VAR, 08/15/35 |
1,736 | |||||||||
1,151 | Series 3263, Class WE, VAR, 08/15/35 |
1,063 | |||||||||
306 | Series 3269, Class WF, VAR, 01/15/37 |
298 | |||||||||
2,616 | Series 3274, Class JO, PO, 02/15/37 |
2,120 | |||||||||
8,277 | Series 3275, Class FL, VAR, 0.671%, 02/15/37 |
8,109 | |||||||||
5,230 | Series 3286, Class PO, PO, 03/15/37 |
4,428 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
7,777 | Series 3290, Class SB, IF, IO, 6.219%, 03/15/37 |
617 | |||||||||
5,000 | Series 3299, Class KB, 5.000%, 08/15/29 |
5,208 | |||||||||
3,000 | Series 3302, Class UT, 6.000%, 04/15/37 |
3,270 | |||||||||
6,100 | Series 3305, Class MG, IF, 2.451%, 07/15/34 |
5,852 | |||||||||
674 | Series 3318, Class AO, PO, 05/15/37 |
577 | |||||||||
324 | Series 3320, Class TF, VAR, 10/15/36 |
322 | |||||||||
3,500 | Series 3329, Class WK, 6.000%, 12/15/31 |
3,792 | |||||||||
3,211 | Series 3331, Class PO, PO, 06/15/37 |
2,622 | |||||||||
4,000 | Series 3334, Class MC, 5.000%, 04/15/33 |
4,230 | |||||||||
6,362 | Series 3344, Class SL, IF, IO, 6.369%, 07/15/37 |
855 | |||||||||
2,834 | Series 3356, Class PA, 6.000%, 11/15/26 |
2,917 | |||||||||
2,000 | Series 3361, Class EF, VAR, 0.831%, 08/15/35 |
1,980 | |||||||||
3,696 | Series 3369, Class VA, 6.000%, 07/15/18 |
4,034 | |||||||||
2,084 | Series 3371, Class FA, VAR, 0.831%, 09/15/37 |
2,066 | |||||||||
3,243 | Series 3373, Class TO, PO, 04/15/37 |
2,823 | |||||||||
25,051 | Series 3383, Class SA, IF, IO, 6.219%, 11/15/37 |
2,066 | |||||||||
36,279 | Series 3387, Class SA, IF, IO, 6.189%, 11/15/37 |
4,317 | |||||||||
7,277 | Series 3398, Class PO, PO, 01/15/36 |
6,635 | |||||||||
35,026 | Series 3404, Class SC, IF, IO, 5.769%, 01/15/38 |
3,226 | |||||||||
2,069 | Series 3422, Class SE, IF, 16.873%, 02/15/38 |
2,351 | |||||||||
19,613 | Series 3424, Class PI, IF, IO, 6.569%, 04/15/38 |
2,053 | |||||||||
33,798 | Series 3430, Class AI, IO, 1.417%, 09/15/12 |
686 | |||||||||
66,974 | Series 3437, Class AI, IO, 1.335%, 09/15/11 |
754 | |||||||||
744 | Series 3443, Class SY, IF, 9.000%, 03/15/37 |
823 | |||||||||
12,148 | Series 3455, Class SE, IF, IO, 5.969%, 06/15/38 |
1,403 | |||||||||
19,633 | Series 3481, Class SJ, IF, IO, 5.619%, 08/15/38 |
1,559 | |||||||||
7,500 | Series 3493, Class LA, 4.000%, 10/15/23 |
7,626 | |||||||||
31,838 | Series 3505, Class SA, IF, IO, 5.769%, 01/15/39 |
3,036 | |||||||||
30,828 | Series 3511, Class SA, IF, IO, 5.769%, 02/15/39 |
2,941 | |||||||||
2,772 | Series 3515, Class PI, IO, 5.500%, 07/15/37 |
536 | |||||||||
9,579 | Series 3546, Class A, VAR, 6.124%, 02/15/39 |
10,045 | |||||||||
10,538 | Series 3607, Class BO, PO, 04/15/36 |
6,760 | |||||||||
18,715 | Series 3611, Class PO, PO, 07/15/34 |
16,089 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS, |
|||||||||||
9 | Series 134, Class B, IO, 9.000%, 04/01/22 |
2 | |||||||||
18,170 | Series 233, Class 11, IO, 5.000%, 09/15/35 |
3,649 | |||||||||
14,888 | Series 233, Class 12, IO, 5.000%, 09/15/35 |
3,047 | |||||||||
28,711 | Series 233, Class 13, IO, 5.000%, 09/15/35 |
5,483 | |||||||||
8,978 | Series 243, Class 16, IO, 4.500%, 11/15/20 |
899 | |||||||||
5,599 | Series 243, Class 17, IO, 4.500%, 12/15/20 |
547 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|||||||||||
1,406 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 |
1,584 | |||||||||
6,156 | Series T-42, Class A5, 7.500%, 02/25/42 |
6,935 | |||||||||
4,292 | Series T-48, Class 1A, VAR, 6.985%, 07/25/33 |
4,727 | |||||||||
942 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
1,061 | |||||||||
5,774 | Series T-54, Class 2A, 6.500%, 02/25/43 |
6,236 | |||||||||
1,996 | Series T-54, Class 3A, 7.000%, 02/25/43 |
2,206 | |||||||||
1,686 | Series T-57, Class 1A3, 7.500%, 07/25/43 |
1,899 | |||||||||
624 | Series T-57, Class 1AP, PO, 07/25/43 |
541 | |||||||||
8,069 | Series T-58, Class 4A, 7.500%, 09/25/43 |
8,929 | |||||||||
747 | Series T-58, Class APO, PO, 09/25/43 |
641 | |||||||||
7,845 | Series T-59, Class 1A2, 7.000%, 10/25/43 |
8,710 | |||||||||
867 | Series T-59, Class 1AP, PO, 10/25/43 |
741 | |||||||||
40,689 | Series T-76, Class 2A, VAR, 4.845%, 10/25/37 |
41,632 | |||||||||
Federal National Mortgage Association Grantor Trust, |
|||||||||||
3,269 | Series 2001-T3, Class A1, 7.500%, 11/25/40 |
3,695 | |||||||||
3,928 | Series 2001-T10, Class A2, 7.500%, 12/25/41 |
4,440 | |||||||||
3,627 | Series 2002-T16, Class A2, 7.000%, 07/25/42 |
3,934 | |||||||||
1,698 | Series 2004-T1, Class 1A2, 6.500%, 01/25/44 |
1,834 | |||||||||
8,692 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 |
9,825 | |||||||||
12,508 | Series 2004-T3, Class 1A2, 6.500%, 02/25/44 |
13,509 | |||||||||
4,598 | Series 2004-T3, Class 1A3, 7.000%, 02/25/44 |
5,010 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
26 | Series 1988-7, Class Z, 9.250%, 04/25/18 |
29 | |||||||||
125 | Series 1989-70, Class G, 8.000%, 10/25/19 |
139 | |||||||||
48 | Series 1989-78, Class H, 9.400%, 11/25/19 |
55 | |||||||||
53 | Series 1989-83, Class H, 8.500%, 11/25/19 |
59 | |||||||||
54 | Series 1989-89, Class H, 9.000%, 11/25/19 |
60 | |||||||||
33 | Series 1990-1, Class D, 8.800%, 01/25/20 |
38 | |||||||||
13 | Series 1990-7, Class B, 8.500%, 01/25/20 |
14 | |||||||||
16 | Series 1990-60, Class K, 5.500%, 06/25/20 |
16 | |||||||||
23 | Series 1990-63, Class H, 9.500%, 06/25/20 |
27 | |||||||||
21 | Series 1990-93, Class G, 5.500%, 08/25/20 |
22 | |||||||||
| (h) | Series 1990-94, Class H, HB, 505.000%, 08/25/20 |
4 | ||||||||
| (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 |
8 | ||||||||
115 | Series 1990-102, Class J, 6.500%, 08/25/20 |
126 | |||||||||
101 | Series 1990-120, Class H, 9.000%, 10/25/20 |
116 | |||||||||
12 | Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 |
17 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1 | Series 1990-140, Class K, HB, 652.145%, 12/25/20 |
9 | |||||||||
| (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 |
2 | ||||||||
31 | Series 1991-24, Class Z, 5.000%, 03/25/21 |
32 | |||||||||
35 | Series 1991-42, Class S, IF, 17.238%, 05/25/21 |
43 | |||||||||
3 | Series 1992-38, Class Z, 7.500%, 02/25/22 |
3 | |||||||||
6 | Series 1992-101, Class J, 7.500%, 06/25/22 |
6 | |||||||||
887 | Series 1992-117, Class MA, 8.000%, 07/25/22 |
973 | |||||||||
147 | Series 1992-136, Class PK, 6.000%, 08/25/22 |
159 | |||||||||
161 | Series 1992-143, Class MA, 5.500%, 09/25/22 |
175 | |||||||||
1,057 | Series 1992-150, Class M, 8.000%, 09/25/22 |
1,175 | |||||||||
329 | Series 1992-163, Class M, 7.750%, 09/25/22 |
374 | |||||||||
515 | Series 1992-188, Class PZ, 7.500%, 10/25/22 |
567 | |||||||||
241 | Series 1993-21, Class KA, 7.700%, 03/25/23 |
274 | |||||||||
596 | Series 1993-25, Class J, 7.500%, 03/25/23 |
655 | |||||||||
94 | Series 1993-27, Class SA, IF, 15.500%, 02/25/23 |
114 | |||||||||
1,551 | Series 1993-37, Class PX, 7.000%, 03/25/23 |
1,691 | |||||||||
535 | Series 1993-54, Class Z, 7.000%, 04/25/23 |
584 | |||||||||
5,776 | Series 1993-56, Class PZ, 7.000%, 05/25/23 |
6,207 | |||||||||
257 | Series 1993-62, Class SA, IF, 16.268%, 04/25/23 |
316 | |||||||||
3,377 | Series 1993-99, Class Z, 7.000%, 07/25/23 |
3,629 | |||||||||
146 | Series 1993-122, Class M, 6.500%, 07/25/23 |
159 | |||||||||
2,958 | Series 1993-136, Class ZB, VAR, 6.792%, 07/25/23 |
3,247 | |||||||||
4,501 | Series 1993-141, Class Z, 7.000%, 08/25/23 |
4,837 | |||||||||
131 | Series 1993-165, Class SD, IF, 10.978%, 09/25/23 |
157 | |||||||||
163 | Series 1993-165, Class SK, IF, 12.500%, 09/25/23 |
200 | |||||||||
211 | Series 1993-167, Class GA, 7.000%, 09/25/23 |
219 | |||||||||
235 | Series 1993-178, Class PK, 6.500%, 09/25/23 |
260 | |||||||||
110 | Series 1993-179, Class SB, HB, IF, 21.752%, 10/25/23 |
151 | |||||||||
73 | Series 1993-179, Class SC, IF, 10.500%, 10/25/23 |
95 | |||||||||
3,988 | Series 1993-183, Class KA, 6.500%, 10/25/23 |
4,418 | |||||||||
1,802 | Series 1993-189, Class PL, 6.500%, 10/25/23 |
1,986 | |||||||||
376 | Series 1993-199, Class FA, VAR, 0.800%, 10/25/23 |
375 | |||||||||
209 | Series 1993-205, Class H, PO, 09/25/23 |
179 | |||||||||
319 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 |
375 | |||||||||
194 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 |
250 | |||||||||
301 | Series 1993-225, Class UB, 6.500%, 12/25/23 |
321 | |||||||||
78 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 |
78 | |||||||||
313 | Series 1993-247, Class FE, VAR, 1.250%, 12/25/23 |
315 | |||||||||
383 | Series 1993-247, Class SA, HB, IF, 22.914%, 12/25/23 |
539 | |||||||||
145 | Series 1993-247, Class SU, IF, 11.122%, 12/25/23 |
172 | |||||||||
1,293 | Series 1993-250, Class Z, 7.000%, 12/25/23 |
1,394 | |||||||||
2,575 | Series 1993-257, Class C, PO, 06/25/23 |
2,614 | |||||||||
22 | Series 1994-9, Class E, PO, 11/25/23 |
19 | |||||||||
1,247 | Series 1994-37, Class L, 6.500%, 03/25/24 |
1,359 | |||||||||
6,138 | Series 1994-40, Class Z, 6.500%, 03/25/24 |
6,772 | |||||||||
4,246 | Series 1994-63, Class PK, 7.000%, 04/25/24 |
4,721 | |||||||||
182 | Series 1995-2, Class Z, 8.500%, 01/25/25 |
203 | |||||||||
373 | Series 1995-19, Class Z, 6.500%, 11/25/23 |
402 | |||||||||
2,277 | Series 1996-14, Class SE, IF, IO, 7.090%, 08/25/23 |
354 | |||||||||
95 | Series 1996-27, Class FC, VAR, 0.750%, 03/25/17 |
95 | |||||||||
1,756 | Series 1996-48, Class Z, 7.000%, 11/25/26 |
1,900 | |||||||||
217 | Series 1996-59, Class J, 6.500%, 08/25/22 |
241 | |||||||||
461 | Series 1996-59, Class K, 6.500%, 07/25/23 |
484 | |||||||||
482 | Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27 |
25 | |||||||||
1,667 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
83 | |||||||||
322 | Series 1997-27, Class J, 7.500%, 04/18/27 |
351 | |||||||||
349 | Series 1997-29, Class J, 7.500%, 04/20/27 |
390 | |||||||||
1,257 | Series 1997-32, Class PG, 6.500%, 04/25/27 |
1,345 | |||||||||
1,356 | Series 1997-39, Class PD, 7.500%, 05/20/27 |
1,512 | |||||||||
394 | Series 1997-42, Class EN, 7.250%, 07/18/27 |
419 | |||||||||
133 | Series 1997-42, Class ZC, 6.500%, 07/18/27 |
148 | |||||||||
| (h) | Series 1997-51, Class PM, IO, 7.000%, 05/18/12 |
| (h) | |||||||
1,888 | Series 1997-61, Class ZC, 7.000%, 02/25/23 |
2,014 | |||||||||
558 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
116 | |||||||||
82 | Series 1998-4, Class C, PO, 04/25/23 |
72 | |||||||||
1,642 | Series 1998-36, Class ZB, 6.000%, 07/18/28 |
1,795 | |||||||||
440 | Series 1998-43, Class SA, IF, IO, 14.973%, 04/25/23 |
136 | |||||||||
710 | Series 1998-66, Class SB, IF, IO, 7.921%, 12/25/28 |
122 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
374 | Series 1999-17, Class C, 6.350%, 04/25/29 |
412 | |||||||||
2,263 | Series 1999-18, Class Z, 5.500%, 04/18/29 |
2,446 | |||||||||
789 | Series 1999-38, Class SK, IF, IO, 7.821%, 08/25/23 |
82 | |||||||||
205 | Series 1999-52, Class NS, HB, IF, 22.739%, 10/25/23 |
276 | |||||||||
531 | Series 1999-62, Class PB, 7.500%, 12/18/29 |
586 | |||||||||
2,826 | Series 2000-2, Class ZE, 7.500%, 02/25/30 |
3,119 | |||||||||
798 | Series 2000-20, Class SA, IF, IO, 8.869%, 07/25/30 |
159 | |||||||||
131 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 |
28 | |||||||||
1,164 | Series 2001-4, Class PC, 7.000%, 03/25/21 |
1,306 | |||||||||
947 | Series 2001-5, Class OW, 6.000%, 03/25/16 |
1,002 | |||||||||
490 | Series 2001-7, Class PF, 7.000%, 03/25/31 |
546 | |||||||||
2,175 | Series 2001-7, Class PR, 6.000%, 03/25/16 |
2,321 | |||||||||
2,298 | Series 2001-10, Class PR, 6.000%, 04/25/16 |
2,444 | |||||||||
1,314 | Series 2001-30, Class PM, 7.000%, 07/25/31 |
1,463 | |||||||||
792 | Series 2001-31, Class VD, 6.000%, 05/25/31 |
814 | |||||||||
3,516 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
619 | |||||||||
2,326 | Series 2001-36, Class DE, 7.000%, 08/25/31 |
2,587 | |||||||||
2,777 | Series 2001-44, Class MY, 7.000%, 09/25/31 |
3,089 | |||||||||
786 | Series 2001-44, Class PD, 7.000%, 09/25/31 |
874 | |||||||||
571 | Series 2001-44, Class PU, 7.000%, 09/25/31 |
634 | |||||||||
6,937 | Series 2001-48, Class Z, 6.500%, 09/25/21 |
7,702 | |||||||||
805 | Series 2001-49, Class Z, 6.500%, 09/25/31 |
887 | |||||||||
394 | Series 2001-52, Class KB, 6.500%, 10/25/31 |
434 | |||||||||
181 | Series 2001-52, Class XM, 6.500%, 11/25/10 |
184 | |||||||||
1,401 | Series 2001-52, Class XN, 6.500%, 11/25/15 |
1,526 | |||||||||
5,000 | Series 2001-60, Class PX, 6.000%, 11/25/31 |
5,454 | |||||||||
1,674 | Series 2001-60, Class QS, HB, IF, 23.699%, 09/25/31 |
2,124 | |||||||||
4,351 | Series 2001-61, Class Z, 7.000%, 11/25/31 |
4,837 | |||||||||
1,528 | Series 2001-71, Class MB, 6.000%, 12/25/16 |
1,650 | |||||||||
2,543 | Series 2001-71, Class QE, 6.000%, 12/25/16 |
2,745 | |||||||||
330 | Series 2001-72, Class SX, IF, 16.933%, 12/25/31 |
373 | |||||||||
8,191 | Series 2001-74, Class MB, 6.000%, 12/25/16 |
8,884 | |||||||||
1,568 | Series 2001-80, Class PE, 6.000%, 07/25/29 |
1,639 | |||||||||
254 | Series 2001-81, Class LO, PO, 01/25/32 |
215 | |||||||||
2,006 | Series 2002-1, Class G, 7.000%, 07/25/23 |
2,228 | |||||||||
1,099 | Series 2002-1, Class HC, 6.500%, 02/25/22 |
1,217 | |||||||||
728 | Series 2002-1, Class SA, HB, IF, 24.444%, 02/25/32 |
921 | |||||||||
313 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 |
414 | |||||||||
2,128 | Series 2002-2, Class UC, 6.000%, 02/25/17 |
2,285 | |||||||||
5,776 | Series 2002-3, Class OG, 6.000%, 02/25/17 |
6,232 | |||||||||
2,840 | Series 2002-5, Class PK, 6.000%, 02/25/22 |
3,142 | |||||||||
1,013 | Series 2002-7, Class OG, 6.000%, 03/25/17 |
1,092 | |||||||||
3,391 | Series 2002-7, Class TG, 6.000%, 03/25/17 |
3,658 | |||||||||
1,210 | Series 2002-11, Class QG, 5.500%, 03/25/17 |
1,292 | |||||||||
3,836 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 |
171 | |||||||||
68 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 |
81 | |||||||||
5,419 | Series 2002-16, Class PG, 6.000%, 04/25/17 |
5,854 | |||||||||
9,544 | Series 2002-18, Class PC, 5.500%, 04/25/17 |
10,090 | |||||||||
1,011 | Series 2002-19, Class PE, 6.000%, 04/25/17 |
1,091 | |||||||||
198 | Series 2002-21, Class LO, PO, 04/25/32 |
169 | |||||||||
2,595 | Series 2002-21, Class PE, 6.500%, 04/25/32 |
2,849 | |||||||||
3,275 | Series 2002-24, Class AJ, 6.000%, 04/25/17 |
3,565 | |||||||||
4,782 | Series 2002-28, Class PK, 6.500%, 05/25/32 |
5,268 | |||||||||
1,908 | Series 2002-31, Class S, IF, 18.771%, 05/25/17 |
2,240 | |||||||||
2,308 | Series 2002-37, Class Z, 6.500%, 06/25/32 |
2,542 | |||||||||
11,588 | Series 2002-38, Class QE, 6.000%, 06/25/17 |
12,503 | |||||||||
1,120 | Series 2002-42, Class C, 6.000%, 07/25/17 |
1,226 | |||||||||
5,601 | Series 2002-48, Class GH, 6.500%, 11/25/32 |
6,143 | |||||||||
5,000 | Series 2002-54, Class PG, 6.000%, 09/25/22 |
5,479 | |||||||||
841 | Series 2002-55, Class QE, 5.500%, 09/25/17 |
904 | |||||||||
11,316 | Series 2002-56, Class UC, 5.500%, 09/25/17 |
12,120 | |||||||||
4,244 | Series 2002-57, Class AE, 5.500%, 09/25/17 |
4,540 | |||||||||
1,134 | Series 2002-63, Class KC, 5.000%, 10/25/17 |
1,204 | |||||||||
1,105 | Series 2002-71, Class AP, 5.000%, 11/25/32 |
1,179 | |||||||||
9,500 | Series 2002-71, Class KM, 5.000%, 11/25/17 |
10,102 | |||||||||
773 | Series 2002-74, Class LD, 5.000%, 01/25/16 |
774 | |||||||||
1,492 | Series 2002-77, Class S, IF, 14.064%, 12/25/32 |
1,593 | |||||||||
15,650 | Series 2002-81, Class JO, PO, 04/25/32 |
14,308 | |||||||||
2,506 | Series 2002-83, Class CS, 6.881%, 08/25/23 |
2,780 | |||||||||
1,743 | Series 2002-84, Class VB, 5.500%, 04/25/15 |
1,879 | |||||||||
1,530 | Series 2002-90, Class A1, 6.500%, 06/25/42 |
1,652 | |||||||||
431 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
32 | |||||||||
6,216 | Series 2002-94, Class BK, 5.500%, 01/25/18 |
6,737 | |||||||||
109 | Series 2003-8, Class SB, IF, IO, 7.421%, 03/25/16 |
| (h) | ||||||||
1,972 | Series 2003-9, Class NZ, 6.500%, 02/25/33 |
2,168 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
2,266 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 |
394 | |||||||||
4,550 | Series 2003-22, Class UD, 4.000%, 04/25/33 |
4,474 | |||||||||
952 | Series 2003-27, Class DW, 4.500%, 04/25/17 |
992 | |||||||||
1,400 | Series 2003-32, Class KC, 5.000%, 05/25/18 |
1,499 | |||||||||
8,199 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 |
1,514 | |||||||||
2,614 | Series 2003-34, Class AX, 6.000%, 05/25/33 |
2,849 | |||||||||
2,256 | Series 2003-34, Class ED, 6.000%, 05/25/33 |
2,462 | |||||||||
640 | Series 2003-34, Class GB, 6.000%, 03/25/33 |
697 | |||||||||
1,199 | Series 2003-34, Class GE, 6.000%, 05/25/33 |
1,310 | |||||||||
1,115 | Series 2003-35, Class EA, PO, 05/25/33 |
791 | |||||||||
1,013 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
205 | |||||||||
1,960 | Series 2003-39, Class LW, 5.500%, 05/25/23 |
2,101 | |||||||||
2,800 | Series 2003-41, Class PE, 5.500%, 05/25/23 |
3,051 | |||||||||
1,092 | Series 2003-42, Class GB, 4.000%, 05/25/33 |
1,126 | |||||||||
6,404 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 |
397 | |||||||||
2,715 | Series 2003-47, Class PE, 5.750%, 06/25/33 |
2,914 | |||||||||
1,705 | Series 2003-52, Class SX, HB, IF, 22.264%, 10/25/31 |
2,116 | |||||||||
512 | Series 2003-60, Class NJ, 5.000%, 07/25/21 |
529 | |||||||||
3,493 | Series 2003-64, Class SX, IF, 13.178%, 07/25/33 |
3,592 | |||||||||
151 | Series 2003-65, Class CI, IO, 4.500%, 03/25/15 |
1 | |||||||||
206 | Series 2003-65, Class ML, 4.000%, 07/25/33 |
205 | |||||||||
483 | Series 2003-67, Class VQ, 7.000%, 01/25/19 |
503 | |||||||||
334 | Series 2003-68, Class QP, 3.000%, 07/25/22 |
342 | |||||||||
4,132 | Series 2003-71, Class DS, IF, 7.162%, 08/25/33 |
3,544 | |||||||||
22,255 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 |
3,178 | |||||||||
6,724 | Series 2003-73, Class HF, VAR, 0.679%, 01/25/31 |
6,699 | |||||||||
697 | Series 2003-74, Class SH, IF, 9.758%, 08/25/33 |
650 | |||||||||
3,132 | Series 2003-76, Class SH, IF, 13.743%, 09/25/31 |
3,519 | |||||||||
12,231 | Series 2003-80, Class SY, IF, IO, 7.421%, 06/25/23 |
1,352 | |||||||||
1,580 | Series 2003-81, Class LC, 4.500%, 09/25/18 |
1,670 | |||||||||
2,000 | Series 2003-82, Class VB, 5.500%, 08/25/33 |
2,157 | |||||||||
8,876 | Series 2003-83, Class PG, 5.000%, 06/25/23 |
9,436 | |||||||||
1,790 | Series 2003-91, Class SD, IF, 12.119%, 09/25/33 |
1,811 | |||||||||
5,520 | Series 2003-91, Class XT, 4.500%, 12/25/17 |
5,675 | |||||||||
1,264 | Series 2003-92, Class GA, 4.500%, 09/25/18 |
1,314 | |||||||||
422 | Series 2003-92, Class SH, IF, 9.220%, 09/25/18 |
426 | |||||||||
4,556 | Series 2003-106, Class US, IF, 8.732%, 11/25/23 |
4,306 | |||||||||
449 | Series 2003-106, Class WS, IF, 9.284%, 02/25/23 |
446 | |||||||||
278 | Series 2003-113, Class PC, 4.000%, 03/25/15 |
280 | |||||||||
8,985 | Series 2003-116, Class SB, IF, IO, 7.371%, 11/25/33 |
1,276 | |||||||||
8,161 | Series 2003-117, Class JB, 3.500%, 06/25/33 |
8,217 | |||||||||
2,240 | Series 2003-122, Class TE, 5.000%, 12/25/22 |
2,400 | |||||||||
1,118 | Series 2003-124, Class SV, IF, 11.298%, 03/25/31 |
1,152 | |||||||||
1,911 | Series 2003-128, Class KE, 4.500%, 01/25/14 |
2,002 | |||||||||
3,300 | Series 2003-128, Class NG, 4.000%, 01/25/19 |
3,401 | |||||||||
1,834 | Series 2003-130, Class SX, IF, 11.177%, 01/25/34 |
1,917 | |||||||||
1,720 | Series 2003-131, Class SK, IF, 15.743%, 01/25/34 |
2,001 | |||||||||
1,007 | Series 2003-132, Class OA, PO, 08/25/33 |
870 | |||||||||
759 | Series 2004-1, Class DL, 4.500%, 02/25/18 |
765 | |||||||||
5,895 | Series 2004-3, Class BE, 4.000%, 02/25/19 |
6,073 | |||||||||
5,502 | Series 2004-4, Class QI, IF, IO, 6.871%, 06/25/33 |
629 | |||||||||
4,092 | Series 2004-4, Class QM, IF, 13.743%, 06/25/33 |
4,608 | |||||||||
3,860 | Series 2004-10, Class SC, HB, IF, 27.685%, 02/25/34 |
5,065 | |||||||||
4,148 | Series 2004-14, Class SD, IF, 8.732%, 03/25/34 |
3,773 | |||||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 |
1,030 | |||||||||
2,711 | Series 2004-21, Class CO, PO, 04/25/34 |
1,694 | |||||||||
803 | Series 2004-22, Class A, 4.000%, 04/25/19 |
822 | |||||||||
3,275 | Series 2004-25, Class PC, 5.500%, 01/25/34 |
3,528 | |||||||||
6,331 | Series 2004-25, Class SA, IF, 18.896%, 04/25/34 |
7,371 | |||||||||
8,100 | Series 2004-27, Class HB, 4.000%, 05/25/19 |
8,272 | |||||||||
2,157 | Series 2004-36, Class PC, 5.500%, 02/25/34 |
2,322 | |||||||||
5,682 | Series 2004-36, Class SA, IF, 18.896%, 05/25/34 |
6,593 | |||||||||
2,024 | Series 2004-36, Class SN, IF, 13.743%, 07/25/33 |
2,289 | |||||||||
7,338 | Series 2004-46, Class HS, IF, IO, 5.771%, 05/25/30 |
473 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,486 | Series 2004-46, Class QB, HB, IF, 23.085%, 05/25/34 |
1,775 | |||||||||
1,239 | Series 2004-46, Class SK, IF, 15.871%, 05/25/34 |
1,371 | |||||||||
1,713 | Series 2004-51, Class SY, IF, 13.783%, 07/25/34 |
1,917 | |||||||||
1,400 | Series 2004-53, Class NC, 5.500%, 07/25/24 |
1,499 | |||||||||
1,816 | Series 2004-59, Class BG, PO, 12/25/32 |
1,516 | |||||||||
3,751 | Series 2004-61, Class CO, PO, 10/25/31 |
3,565 | |||||||||
300 | Series 2004-61, Class SH, HB, IF, 23.073%, 11/25/32 |
388 | |||||||||
903 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 |
1,005 | |||||||||
5,000 | Series 2004-65, Class EY, 5.500%, 08/25/24 |
5,356 | |||||||||
12,000 | Series 2004-72, Class CB, 4.000%, 09/25/19 |
12,345 | |||||||||
1,536 | Series 2004-74, Class SW, IF, 15.043%, 11/25/31 |
1,861 | |||||||||
2,251 | Series 2004-76, Class CL, 4.000%, 10/25/19 |
2,334 | |||||||||
5,282 | Series 2004-79, Class S, IF, 19.171%, 08/25/32 |
6,022 | |||||||||
1,739 | Series 2004-79, Class SP, IF, 19.171%, 11/25/34 |
2,016 | |||||||||
2,000 | Series 2004-81, Class AC, 4.000%, 11/25/19 |
2,069 | |||||||||
1,720 | Series 2004-89, Class EA, IF, 12.804%, 01/25/34 |
1,895 | |||||||||
2,249 | Series 2004-92, Class BX, 5.500%, 09/25/34 |
2,420 | |||||||||
1,198 | Series 2004-92, Class JO, PO, 12/25/34 |
1,189 | |||||||||
2,120 | Series 2004-101, Class HD, 5.000%, 01/25/20 |
2,264 | |||||||||
2,420 | Series 2005-14, Class BA, 4.500%, 04/25/19 |
2,529 | |||||||||
5,652 | Series 2005-25, Class PF, VAR, 0.579%, 04/25/35 |
5,552 | |||||||||
969 | Series 2005-27, Class TH, 5.500%, 07/25/31 |
1,014 | |||||||||
1,273 | Series 2005-40, Class ZM, 5.000%, 05/25/35 |
1,285 | |||||||||
1,550 | Series 2005-42, Class PS, IF, 16.428%, 05/25/35 |
1,839 | |||||||||
337 | Series 2005-47, Class AN, 5.000%, 12/25/16 |
345 | |||||||||
721 | Series 2005-52, Class PA, 6.500%, 06/25/35 |
783 | |||||||||
6,478 | Series 2005-56, Class S, IF, IO, 6.481%, 07/25/35 |
823 | |||||||||
2,764 | Series 2005-56, Class TP, IF, 17.464%, 08/25/33 |
3,188 | |||||||||
2,235 | Series 2005-57, Class CD, IF, 24.267%, 01/25/35 |
3,025 | |||||||||
856 | Series 2005-57, Class DC, HB, IF, 21.032%, 12/25/34 |
1,012 | |||||||||
421 | Series 2005-59, Class PA, 5.500%, 06/25/25 |
424 | |||||||||
1,000 | Series 2005-59, Class SU, HB, IF, 24.356%, 06/25/35 |
1,208 | |||||||||
1,607 | Series 2005-66, Class SG, IF, 16.803%, 07/25/35 |
1,892 | |||||||||
1,500 | Series 2005-68, Class BC, 5.250%, 06/25/35 |
1,602 | |||||||||
7,908 | Series 2005-68, Class PG, 5.500%, 08/25/35 |
8,528 | |||||||||
2,500 | Series 2005-68, Class UC, 5.000%, 06/25/35 |
2,656 | |||||||||
9,820 | Series 2005-72, Class SB, IF, 16.303%, 08/25/35 |
11,295 | |||||||||
2,415 | Series 2005-73, Class PS, IF, 16.128%, 08/25/35 |
2,840 | |||||||||
2,031 | Series 2005-74, Class CP, HB, IF, 23.911%, 05/25/35 |
2,893 | |||||||||
8,851 | Series 2005-74, Class CS, IF, 19.391%, 05/25/35 |
10,597 | |||||||||
10,490 | Series 2005-84, Class XM, 5.750%, 10/25/35 |
11,409 | |||||||||
606 | Series 2005-86, Class GB, 5.000%, 10/25/35 |
607 | |||||||||
9,701 | Series 2005-88, Class QO, PO, 11/25/33 |
7,871 | |||||||||
3,315 | Series 2005-90, Class ES, IF, 16.303%, 10/25/35 |
3,855 | |||||||||
2,164 | Series 2005-90, Class PO, PO, 09/25/35 |
1,918 | |||||||||
7,103 | Series 2005-93, Class MF, VAR, 0.479%, 08/25/34 |
6,981 | |||||||||
3,254 | Series 2005-96, Class BP, 5.900%, 02/25/15 |
3,345 | |||||||||
997 | Series 2005-98, Class GO, PO, 11/25/35 |
819 | |||||||||
16,525 | Series 2005-106, Class US, HB, IF, 23.728%, 11/25/35 |
23,609 | |||||||||
9,510 | Series 2005-109, Class PB, 6.000%, 01/25/34 |
10,134 | |||||||||
1,000 | Series 2005-109, Class PC, 6.000%, 12/25/35 |
1,089 | |||||||||
20,353 | Series 2005-110, Class GJ, 5.500%, 11/25/30 |
21,587 | |||||||||
17,500 | Series 2005-110, Class GK, 5.500%, 08/25/34 |
18,738 | |||||||||
5,659 | Series 2005-110, Class GL, 5.500%, 12/25/35 |
5,929 | |||||||||
2,840 | Series 2005-110, Class MN, 5.500%, 06/25/35 |
3,039 | |||||||||
1,895 | Series 2005-116, Class PB, 6.000%, 04/25/34 |
2,052 | |||||||||
35,000 | Series 2005-118, Class ME, 6.000%, 01/25/32 |
37,346 | |||||||||
15,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 |
16,278 | |||||||||
445 | Series 2005-123, Class LO, PO, 01/25/36 |
404 | |||||||||
1,550 | Series 2006-11, Class PS, HB, IF, 23.728%, 03/25/36 |
2,175 | |||||||||
1,065 | Series 2006-12, Class PA, 5.500%, 03/25/25 |
1,083 | |||||||||
3,764 | Series 2006-15, Class OT, PO, 01/25/36 |
3,404 | |||||||||
1,425 | Series 2006-16, Class OA, PO, 03/25/36 |
1,213 | |||||||||
2,949 | Series 2006-22, Class AO, PO, 04/25/36 |
2,369 | |||||||||
4,428 | Series 2006-23, Class FK, VAR, 0.479%, 04/25/36 |
4,371 | |||||||||
2,509 | Series 2006-23, Class KO, PO, 04/25/36 |
2,104 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
6,610 | Series 2006-27, Class OH, PO, 04/25/36 |
5,588 | |||||||||
1,534 | Series 2006-33, Class LS, HB, IF, 29.121%, 05/25/36 |
2,150 | |||||||||
2,000 | Series 2006-39, Class WC, 5.500%, 01/25/36 |
2,137 | |||||||||
3,383 | Series 2006-42, Class CF, VAR, 0.679%, 06/25/36 |
3,345 | |||||||||
4,835 | Series 2006-43, Class DO, PO, 06/25/36 |
3,961 | |||||||||
2,272 | Series 2006-43, Class G, 6.500%, 09/25/33 |
2,371 | |||||||||
1,775 | Series 2006-43, Class PO, PO, 06/25/36 |
1,429 | |||||||||
4,091 | Series 2006-43, Class VB, 6.500%, 10/25/17 |
4,462 | |||||||||
20,154 | Series 2006-44, Class FP, VAR, 0.629%, 06/25/36 |
19,893 | |||||||||
3,059 | Series 2006-44, Class GO, PO, 06/25/36 |
2,480 | |||||||||
9,591 | Series 2006-44, Class P, PO, 12/25/33 |
7,802 | |||||||||
4,076 | Series 2006-46, Class FW, VAR, 0.629%, 06/25/36 |
4,035 | |||||||||
652 | Series 2006-46, Class SW, HB, IF, 23.360%, 06/25/36 |
884 | |||||||||
2,000 | Series 2006-46, Class UC, 5.500%, 12/25/35 |
2,138 | |||||||||
11,165 | Series 2006-50, Class JO, PO, 06/25/36 |
9,107 | |||||||||
15,948 | Series 2006-50, Class PS, PO, 06/25/36 |
13,058 | |||||||||
19,433 | Series 2006-53, Class US, IF, IO, 6.351%, 06/25/36 |
2,441 | |||||||||
1,286 | Series 2006-58, Class AP, PO, 07/25/36 |
1,065 | |||||||||
3,840 | Series 2006-58, Class FL, VAR, 0.689%, 07/25/36 |
3,800 | |||||||||
1,901 | Series 2006-58, Class PO, PO, 07/25/36 |
1,548 | |||||||||
5,972 | Series 2006-59, Class QO, PO, 01/25/33 |
5,050 | |||||||||
1,556 | Series 2006-60, Class AK, HB, IF, 27.885%, 07/25/36 |
2,175 | |||||||||
1,497 | Series 2006-62, Class PS, HB, IF, 38.528%, 07/25/36 |
2,489 | |||||||||
8,878 | Series 2006-63, Class ZH, 6.500%, 07/25/36 |
9,788 | |||||||||
3,590 | Series 2006-65, Class QO, PO, 07/25/36 |
2,960 | |||||||||
3,651 | Series 2006-66, Class NV, 6.500%, 02/25/24 |
4,063 | |||||||||
6,507 | Series 2006-72, Class GO, PO, 08/25/36 |
5,325 | |||||||||
1,772 | Series 2006-72, Class TO, PO, 08/25/36 |
1,440 | |||||||||
2,925 | Series 2006-75, Class CM, 6.500%, 12/25/33 |
3,034 | |||||||||
10,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 |
11,665 | |||||||||
2,523 | Series 2006-78, Class BZ, 6.500%, 08/25/36 |
2,777 | |||||||||
3,888 | Series 2006-79, Class DF, VAR, 0.579%, 08/25/36 |
3,850 | |||||||||
2,644 | Series 2006-79, Class DO, PO, 08/25/36 |
2,177 | |||||||||
2,228 | Series 2006-79, Class OP, PO, 08/25/36 |
1,842 | |||||||||
1,255 | Series 2006-85, Class MZ, 6.500%, 09/25/36 |
1,371 | |||||||||
2,522 | Series 2006-90, Class AO, PO, 09/25/36 |
2,079 | |||||||||
1,702 | Series 2006-94, Class GK, HB, IF, 32.106%, 10/25/26 |
2,536 | |||||||||
2,875 | Series 2006-95, Class SG, HB, IF, 25.285%, 10/25/36 |
3,658 | |||||||||
485 | Series 2006-102, Class PA, 5.000%, 08/25/26 |
499 | |||||||||
790 | Series 2006-109, Class PO, PO, 11/25/36 |
666 | |||||||||
8,771 | Series 2006-110, Class PO, PO, 11/25/36 |
7,145 | |||||||||
3,119 | Series 2006-111, Class EO, PO, 11/25/36 |
2,711 | |||||||||
670 | Series 2006-115, Class ES, HB, IF, 25.645%, 12/25/36 |
941 | |||||||||
2,163 | Series 2006-115, Class OK, PO, 12/25/36 |
1,741 | |||||||||
10,081 | Series 2006-118, Class A1, VAR, 0.289%, 12/25/36 |
9,843 | |||||||||
35,678 | Series 2006-118, Class A2, VAR, 0.289%, 12/25/36 |
34,842 | |||||||||
3,420 | Series 2006-119, Class PO, PO, 12/25/36 |
2,821 | |||||||||
1,124 | Series 2006-123, Class FD, VAR, 0.729%, 01/25/37 |
1,111 | |||||||||
1,300 | Series 2006-128, Class BP, 5.500%, 01/25/37 |
1,378 | |||||||||
1,687 | Series 2006-128, Class PO, PO, 01/25/37 |
1,357 | |||||||||
9,686 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 |
1,573 | |||||||||
724 | Series 2007-1, Class SD, HB, IF, 37.627%, 02/25/37 |
1,047 | |||||||||
2,137 | Series 2007-2, Class FA, VAR, 0.429%, 02/25/37 |
2,112 | |||||||||
14,357 | Series 2007-7, Class SG, IF, IO, 6.271%, 08/25/36 |
1,179 | |||||||||
9,520 | Series 2007-10, Class FD, VAR, 0.479%, 02/25/37 |
9,300 | |||||||||
41,042 | Series 2007-14, Class ES, IF, IO, 6.211%, 03/25/37 |
3,891 | |||||||||
3,082 | Series 2007-14, Class OP, PO, 03/25/37 |
2,476 | |||||||||
2,771 | Series 2007-15, Class NO, PO, 03/25/22 |
2,484 | |||||||||
32,353 | Series 2007-16, Class FC, VAR, 0.979%, 03/25/37 |
30,529 | |||||||||
5,492 | Series 2007-22, Class SC, IF, IO, 5.851%, 03/25/37 |
543 | |||||||||
27,128 | Series 2007-35, Class SI, IF, IO, 5.871%, 04/25/37 |
2,712 | |||||||||
3,233 | Series 2007-42, Class AO, PO, 05/25/37 |
2,870 | |||||||||
9,362 | Series 2007-43, Class FL, VAR, 0.529%, 05/25/37 |
9,212 | |||||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 |
1,587 | |||||||||
38,333 | Series 2007-53, Class SH, IF, IO, 5.871%, 06/25/37 |
3,850 | |||||||||
58,527 | Series 2007-54, Class FA, VAR, 0.629%, 06/25/37 |
58,033 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
6,934 | Series 2007-54, Class WI, IF, IO, 5.871%, 06/25/37 |
709 | |||||||||
56,650 | Series 2007-60, Class AX, IF, IO, 6.921%, 07/25/37 |
8,630 | |||||||||
11,116 | Series 2007-64, Class FB, VAR, 0.599%, 07/25/37 |
10,836 | |||||||||
1,748 | Series 2007-65, Class PA, 6.000%, 03/25/31 |
1,849 | |||||||||
2,580 | Series 2007-75, Class EO, PO, 01/25/36 |
2,209 | |||||||||
11,445 | Series 2007-77, Class FG, VAR, 0.729%, 03/25/37 |
11,355 | |||||||||
2,000 | Series 2007-79, Class PC, 5.000%, 01/25/32 |
2,119 | |||||||||
5,789 | Series 2007-79, Class SB, HB, IF, 23.178%, 08/25/37 |
7,239 | |||||||||
4,000 | Series 2007-81, Class GE, 6.000%, 08/25/37 |
4,351 | |||||||||
4,032 | Series 2007-83, Class PA, 6.000%, 03/25/29 |
4,194 | |||||||||
4,464 | Series 2007-84, Class PG, 6.000%, 12/25/36 |
4,870 | |||||||||
2,684 | Series 2007-85, Class SL, IF, 15.578%, 09/25/37 |
2,756 | |||||||||
15,367 | Series 2007-88, Class VI, IF, IO, 6.311%, 09/25/37 |
2,067 | |||||||||
15,739 | Series 2007-91, Class ES, IF, IO, 6.231%, 10/25/37 |
1,332 | |||||||||
4,449 | Series 2007-92, Class YA, 6.500%, 06/25/37 |
4,849 | |||||||||
7,415 | Series 2007-92, Class YS, IF, IO, 5.551%, 06/25/37 |
659 | |||||||||
6,320 | Series 2007-97, Class FC, VAR, 0.729%, 07/25/37 |
6,271 | |||||||||
10,548 | Series 2007-97, Class KI, IO, 7.000%, 05/25/33 |
1,524 | |||||||||
4,667 | Series 2007-97, Class MS, IF, 14.247%, 12/25/31 |
4,943 | |||||||||
3,946 | Series 2007-98, Class FB, VAR, 0.679%, 06/25/37 |
3,522 | |||||||||
4,081 | Series 2007-98, Class VA, 6.000%, 11/25/17 |
4,454 | |||||||||
30,490 | Series 2007-100, Class SM, IF, I0, 6.221%, 10/25/37 |
2,701 | |||||||||
11,645 | Series 2007-106, Class A7, VAR, 6.137%, 10/25/37 |
12,176 | |||||||||
7,021 | Series 2007-108, Class SA, IF, IO, 6.131%, 12/25/37 |
630 | |||||||||
17,251 | Series 2007-112, Class SA, IF, I0, 6.221%, 12/25/37 |
2,103 | |||||||||
51,000 | Series 2007-114, Class A6, VAR, 0.431%, 10/27/37 |
50,363 | |||||||||
62,679 | Series 2007-116, Class HI, IO, VAR, 6.586%, 01/25/38 |
3,964 | |||||||||
1,457 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 |
135 | |||||||||
37,962 | Series 2008-1, Class BI, IF, IO, 5.681%, 02/25/38 |
3,237 | |||||||||
35,077 | Series 2008-4, Class SD, IF, IO, 5.771%, 02/25/38 |
3,208 | |||||||||
10,195 | Series 2008-10, Class XI, IF, IO, 6.001%, 03/25/38 |
1,363 | |||||||||
28,670 | Series 2008-16, Class IS, IF, IO, 5.971%, 03/25/38 |
3,380 | |||||||||
4,237 | Series 2008-18, Class SP, IF, 13.543%, 03/25/38 |
4,776 | |||||||||
12,636 | Series 2008-20, Class SA, IF, I0, 6.761%, 03/25/38 |
1,940 | |||||||||
13,222 | Series 2008-27, Class SN, IF, IO, 6.671%, 04/25/38 |
1,243 | |||||||||
3,862 | Series 2008-28, Class QS, IF, 20.014%, 04/25/38 |
4,602 | |||||||||
21,586 | Series 2008-32, Class SA, IF, IO, 6.621%, 04/25/38 |
1,923 | |||||||||
39,715 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 |
422 | |||||||||
83,797 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 |
1,178 | |||||||||
2,685 | Series 2008-42, Class AO, PO, 09/25/36 |
2,314 | |||||||||
743 | Series 2008-44, Class PO, PO, 05/25/38 |
649 | |||||||||
28,119 | Series 2008-46, Class HI, IO, VAR, 6.743%, 06/25/38 |
1,800 | |||||||||
9,605 | Series 2008-47, Class SI, IF, IO, 6.271%, 06/25/23 |
949 | |||||||||
2,649 | Series 2008-53, Class CA, 5.000%, 07/25/23 |
2,823 | |||||||||
14,004 | Series 2008-53, Class CI, IF, IO, 6.971%, 07/25/38 |
1,625 | |||||||||
1,417 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 |
121 | |||||||||
1,500 | Series 2008-60, Class JC, 5.000%, 07/25/38 |
1,579 | |||||||||
2,778 | Series 2008-61, Class BH, 4.500%, 07/25/23 |
2,860 | |||||||||
3,778 | Series 2008-61, Class CB, 5.000%, 07/25/23 |
3,964 | |||||||||
677 | Series 2008-66, Class GD, 6.000%, 06/25/30 |
715 | |||||||||
32,780 | Series 2008-80, Class SA, IF, IO, 5.621%, 09/25/38 |
2,484 | |||||||||
15,876 | Series 2008-81, Class SB, IF, IO, 5.621%, 09/25/38 |
1,242 | |||||||||
30,302 | Series 2009-6, Class GS, IF, IO, 6.321%, 02/25/39 |
2,902 | |||||||||
12,055 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 |
1,231 | |||||||||
14,723 | Series 2009-15, Class MI, IO, 5.000%, 03/25/24 |
1,443 | |||||||||
5,485 | Series 2009-18, Class IO, IO, 5.000%, 03/25/24 |
574 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,755 | Series 2009-47, Class MT, IO, 7.000%, 07/25/39 |
1,925 | |||||||||
10,785 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 |
2,137 | |||||||||
11,013 | Series 2009-69, Class WA, VAR, 6.015%, 09/25/39 |
11,848 | |||||||||
32,249 | Series 2009-84, Class WS, IF, IO, 5.671%, 10/25/39 |
2,626 | |||||||||
49,969 | Series 2009-99, Class SC, IF, IO, 5.951%, 12/25/39 |
2,741 | |||||||||
11,322 | Series 2009-99, Class WA, VAR, 6.289%, 12/25/39 |
12,412 | |||||||||
33,000 | Series 2009-103, Class MB, 4.000%, 12/25/39 |
34,552 | |||||||||
4,134 | Series 2010-1, Class WA, VAR, 6.135%, 02/25/40 |
4,511 | |||||||||
22 | Series G-14, Class L, 8.500%, 06/25/21 |
25 | |||||||||
2 | Series G-17, Class S, HB, VAR, 1,055.166%, 06/25/21 |
29 | |||||||||
108 | Series G-18, Class Z, 8.750%, 06/25/21 |
119 | |||||||||
30 | Series G-22, Class G, 6.000%, 12/25/16 |
32 | |||||||||
100 | Series G-28, Class S, IF, 14.850%, 09/25/21 |
122 | |||||||||
163 | Series G-35, Class M, 8.750%, 10/25/21 |
185 | |||||||||
33 | Series G-51, Class SA, HB, IF, 21.221%, 12/25/21 |
46 | |||||||||
71 | Series G92-15, Class Z, 7.000%, 01/25/22 |
73 | |||||||||
| (h) | Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22 |
71 | ||||||||
747 | Series G92-35, Class E, 7.500%, 07/25/22 |
831 | |||||||||
| (h) | Series G92-35, Class G, HB, 1,184.775%, 07/25/22 |
8 | ||||||||
66 | Series G92-42, Class Z, 7.000%, 07/25/22 |
73 | |||||||||
2,437 | Series G92-44, Class ZQ, 8.000%, 07/25/22 |
2,709 | |||||||||
1,165 | Series G92-45, Class Z, 6.000%, 08/25/22 |
1,264 | |||||||||
67 | Series G92-52, Class FD, VAR, 0.271%, 09/25/22 |
65 | |||||||||
906 | Series G92-54, Class ZQ, 7.500%, 09/25/22 |
1,013 | |||||||||
69 | Series G92-59, Class F, VAR, 2.528%, 10/25/22 |
69 | |||||||||
138 | Series G92-61, Class Z, 7.000%, 10/25/22 |
152 | |||||||||
102 | Series G92-62, Class B, PO, 10/25/22 |
88 | |||||||||
460 | Series G93-1, Class KA, 7.900%, 01/25/23 |
523 | |||||||||
176 | Series G93-5, Class Z, 6.500%, 02/25/23 |
194 | |||||||||
134 | Series G93-14, Class J, 6.500%, 03/25/23 |
146 | |||||||||
313 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 |
329 | |||||||||
303 | Series G93-27, Class FD, VAR, 1.130%, 08/25/23 |
304 | |||||||||
77 | Series G93-37, Class H, PO, 09/25/23 |
66 | |||||||||
192 | Series G95-1, Class C, 8.800%, 01/25/25 |
221 | |||||||||
Federal National Mortgage Association STRIPS, |
|||||||||||
11 | Series 23, Class 2, IO, 10.000%, 09/01/17 |
2 | |||||||||
5 | Series 50, Class 2, IO, 10.500%, 03/01/19 |
1 | |||||||||
75 | Series 218, Class 2, IO, 7.500%, 04/01/23 |
13 | |||||||||
42 | Series 265, Class 2, 9.000%, 03/01/24 |
52 | |||||||||
1,501 | Series 329, Class 1, PO, 01/01/33 |
1,286 | |||||||||
4,673 | Series 339, Class 18, IO, 4.500%, 07/01/18 |
419 | |||||||||
6,749 | Series 339, Class 21, IO, 4.500%, 07/01/18 |
618 | |||||||||
3,284 | Series 339, Class 28, IO, 5.500%, 07/01/18 |
337 | |||||||||
2,136 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 |
335 | |||||||||
7,641 | Series 365, Class 8, IO, 5.500%, 05/01/36 |
1,283 | |||||||||
935 | Series 368, Class 3, IO, 4.500%, 11/01/20 |
94 | |||||||||
5,676 | Series 374, Class 5, IO, 5.500%, 08/01/36 |
946 | |||||||||
8,009 | Series 383, Class 33, IO, 6.000%, 01/01/38 |
1,378 | |||||||||
2,879 | Series 393, Class 6, IO, 5.500%, 04/25/37 |
472 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
290 | Series 2002-W5, Class A10, IF, IO, 7.871%, 11/25/30 |
7 | |||||||||
3,169 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
3,423 | |||||||||
740 | Series 2003-W1, Class 2A, 7.500%, 12/25/42 |
821 | |||||||||
3,026 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 |
3,268 | |||||||||
1,879 | Series 2003-W2, Class 2A9, 5.900%, 07/25/42 |
1,979 | |||||||||
646 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
698 | |||||||||
7,073 | Series 2003-W6, Class 3A, 6.500%, 09/25/42 |
7,639 | |||||||||
8,325 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 |
8,989 | |||||||||
9,194 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 |
10,019 | |||||||||
3,293 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
3,555 | |||||||||
2,946 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 |
3,330 | |||||||||
10,135 | Series 2004-W15, Class 2AF, VAR, 0.479%, 08/25/44 |
9,633 | |||||||||
5,065 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 |
5,470 | |||||||||
56,097 | Series 2005-W3, Class 2AF, VAR, 0.449%, 03/25/45 |
53,329 | |||||||||
4,462 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 |
4,800 | |||||||||
42,102 | Series 2006-W2, Class 1AF1, VAR, 0.449%, 02/25/36 |
40,690 | |||||||||
73,028 | Series 2007-W1, Class 1AF1, VAR, 0.489%, 11/25/46 |
73,395 | |||||||||
1,324 | Series 2007-W10, Class 2A, VAR, 6.142%, 08/25/47 |
1,443 | |||||||||
8,420 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 |
8,925 | |||||||||
5,732 | Series 2007-W5, Class PO, PO, 06/25/37 |
4,659 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
5,642 | Series 2007-W7, Class 1A4, HB, IF, 37.807%, 07/25/37 |
9,420 | |||||||||
Government National Mortgage Association, |
|||||||||||
1,863 | Series 1994-3, Class PQ, 7.488%, 07/16/24 |
2,018 | |||||||||
1,889 | Series 1994-4, Class KQ, 7.988%, 07/16/24 |
2,094 | |||||||||
6,995 | Series 1994-7, Class PQ, 6.500%, 10/16/24 |
7,633 | |||||||||
405 | Series 1995-3, Class DQ, 8.050%, 06/16/25 |
457 | |||||||||
102 | Series 1995-7, Class CQ, 7.500%, 09/16/25 |
109 | |||||||||
1,543 | Series 1996-16, Class E, 7.500%, 08/16/26 |
1,624 | |||||||||
1,147 | Series 1997-8, Class PN, 7.500%, 05/16/27 |
1,219 | |||||||||
255 | Series 1997-11, Class D, 7.500%, 07/20/27 |
283 | |||||||||
773 | Series 1998-26, Class K, 7.500%, 09/17/25 |
838 | |||||||||
5,963 | Series 1999-4, Class ZB, 6.000%, 02/20/29 |
6,478 | |||||||||
5,386 | Series 1999-10, Class ZC, 6.500%, 04/20/29 |
5,854 | |||||||||
124 | Series 1999-15, Class E, 6.500%, 01/16/29 |
125 | |||||||||
793 | Series 1999-30, Class S, IF, IO, 8.368%, 08/16/29 |
112 | |||||||||
37 | Series 1999-33, Class SM, IF, 9.200%, 09/16/29 |
41 | |||||||||
638 | Series 1999-40, Class ZW, 7.500%, 11/20/29 |
706 | |||||||||
1,161 | Series 1999-41, Class Z, 8.000%, 11/16/29 |
1,304 | |||||||||
488 | Series 1999-44, Class PC, 7.500%, 12/20/29 |
553 | |||||||||
5,889 | Series 1999-44, Class ZC, 8.500%, 12/16/29 |
6,918 | |||||||||
900 | Series 1999-44, Class ZG, 8.000%, 12/20/29 |
993 | |||||||||
1,156 | Series 2000-6, Class Z, 7.500%, 02/20/30 |
1,262 | |||||||||
452 | Series 2000-9, Class Z, 8.000%, 06/20/30 |
499 | |||||||||
5,927 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
6,577 | |||||||||
668 | Series 2000-12, Class ST, HB, IF, 38.356%, 02/16/30 |
1,186 | |||||||||
1,673 | Series 2000-14, Class PD, 7.000%, 02/16/30 |
1,801 | |||||||||
453 | Series 2000-16, Class ZN, 7.500%, 02/16/30 |
496 | |||||||||
5,295 | Series 2000-21, Class Z, 9.000%, 03/16/30 |
6,047 | |||||||||
890 | Series 2000-26, Class TZ, 8.500%, 09/20/30 |
965 | |||||||||
251 | Series 2000-26, Class Z, 7.750%, 09/20/30 |
276 | |||||||||
49 | Series 2000-30, Class ST, IF, 11.050%, 12/16/22 |
60 | |||||||||
749 | Series 2000-31, Class Z, 9.000%, 10/20/30 |
749 | |||||||||
219 | Series 2000-34, Class SG, IF, IO, 8.301%, 10/20/30 |
33 | |||||||||
417 | Series 2000-35, Class ZA, 9.000%, 11/20/30 |
471 | |||||||||
64 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 |
14 | |||||||||
1,462 | Series 2000-37, Class B, 8.000%, 12/20/30 |
1,643 | |||||||||
263 | Series 2000-38, Class AH, 7.150%, 12/20/30 |
296 | |||||||||
380 | Series 2001-4, Class SJ, IF, IO, 7.921%, 01/19/30 |
65 | |||||||||
465 | Series 2001-6, Class SD, IF, IO, 8.318%, 03/16/31 |
87 | |||||||||
1,418 | Series 2001-7, Class PK, 6.500%, 03/20/31 |
1,500 | |||||||||
2,087 | Series 2001-8, Class Z, 6.500%, 03/20/31 |
2,225 | |||||||||
2,967 | Series 2001-22, Class PS, HB, IF, 20.413%, 03/17/31 |
3,884 | |||||||||
72 | Series 2001-32, Class WA, IF, 19.553%, 07/20/31 |
96 | |||||||||
539 | Series 2001-35, Class SA, IF, IO, 8.018%, 08/16/31 |
94 | |||||||||
454 | Series 2001-36, Class S, IF, IO, 7.818%, 08/16/31 |
73 | |||||||||
4,500 | Series 2001-53, Class PB, 6.500%, 11/20/31 |
4,926 | |||||||||
4,085 | Series 2001-64, Class MQ, 6.500%, 12/20/31 |
4,384 | |||||||||
528 | Series 2002-3, Class SP, IF, IO, 7.158%, 01/16/32 |
79 | |||||||||
1,143 | Series 2002-7, Class PG, 6.500%, 01/20/32 |
1,220 | |||||||||
2,402 | Series 2002-24, Class AG, IF, IO, 7.718%, 04/16/32 |
355 | |||||||||
222 | Series 2002-24, Class SB, IF, 11.577%, 04/16/32 |
233 | |||||||||
366 | Series 2002-31, Class S, IF, IO, 8.468%, 01/16/31 |
54 | |||||||||
5,825 | Series 2002-31, Class SE, IF, IO, 7.268%, 04/16/30 |
813 | |||||||||
2,731 | Series 2002-40, Class UK, 6.500%, 06/20/32 |
2,923 | |||||||||
95 | Series 2002-41, Class SV, IF, 9.000%, 06/16/32 |
118 | |||||||||
10,832 | Series 2002-45, Class QE, 6.500%, 06/20/32 |
11,714 | |||||||||
3,459 | Series 2002-47, Class PG, 6.500%, 07/16/32 |
3,741 | |||||||||
1,225 | Series 2002-47, Class PY, 6.000%, 07/20/32 |
1,330 | |||||||||
5,452 | Series 2002-47, Class ZA, 6.500%, 07/20/32 |
5,893 | |||||||||
219 | Series 2002-51, Class SG, HB, IF, 31.509%, 04/20/31 |
313 | |||||||||
3,732 | Series 2002-52, Class GH, 6.500%, 07/20/32 |
4,038 | |||||||||
1,623 | Series 2002-54, Class GB, 6.500%, 08/20/32 |
1,756 | |||||||||
3,720 | Series 2002-69, Class PO, PO, 02/20/32 |
3,476 | |||||||||
1,195 | Series 2002-70, Class AV, 6.000%, 03/20/12 |
1,245 | |||||||||
3,354 | Series 2002-70, Class PS, IF, IO, 7.471%, 08/20/32 |
324 | |||||||||
1,411 | Series 2002-75, Class PB, 6.000%, 11/20/32 |
1,544 | |||||||||
570 | Series 2002-79, Class KV, 6.000%, 11/20/13 |
573 | |||||||||
3,258 | Series 2002-88, Class VA, 6.000%, 12/20/17 |
3,316 | |||||||||
1,865 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
112 | |||||||||
1,600 | Series 2003-4, Class NY, 5.500%, 12/20/13 |
1,713 | |||||||||
1,325 | Series 2003-8, Class PO, PO, 01/16/32 |
1,215 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
2,848 | Series 2003-11, Class SK, IF, IO, 7.468%, 02/16/33 |
508 | |||||||||
1,224 | Series 2003-12, Class SP, IF, IO, 7.471%, 02/20/33 |
165 | |||||||||
494 | Series 2003-24, Class PO, PO, 03/16/33 |
407 | |||||||||
1,361 | Series 2003-34, Class TO, PO, 02/16/32 |
1,256 | |||||||||
1,960 | Series 2003-40, Class TC, 7.500%, 03/20/33 |
2,116 | |||||||||
3,156 | Series 2003-40, Class TJ, 6.500%, 03/20/33 |
3,488 | |||||||||
1,120 | Series 2003-46, Class MG, 6.500%, 05/20/33 |
1,236 | |||||||||
2,072 | Series 2003-46, Class TC, 6.500%, 03/20/33 |
2,295 | |||||||||
1,868 | Series 2003-52, Class AP, PO, 06/16/33 |
1,568 | |||||||||
3,196 | Series 2003-58, Class BE, 6.500%, 01/20/33 |
3,464 | |||||||||
876 | Series 2003-60, Class NS, IF, 15.990%, 07/16/33 |
971 | |||||||||
530 | Series 2003-62, Class HC, 5.000%, 01/20/29 |
535 | |||||||||
1,031 | Series 2003-66, Class ED, 5.000%, 08/20/28 |
1,042 | |||||||||
2,525 | Series 2003-76, Class LS, IF, IO, 6.971%, 09/20/31 |
187 | |||||||||
334 | Series 2003-90, Class PO, PO, 10/20/33 |
285 | |||||||||
4,626 | Series 2003-97, Class SA, IF, IO, 6.318%, 11/16/33 |
539 | |||||||||
699 | Series 2003-98, Class PC, 5.000%, 02/20/29 |
714 | |||||||||
4,225 | Series 2003-112, Class SA, IF, IO, 6.318%, 12/16/33 |
407 | |||||||||
20,000 | Series 2003-112, Class TS, IF, IO, 6.721%, 10/20/32 |
2,872 | |||||||||
1,000 | Series 2003-114, Class SH, IF, 14.284%, 11/17/32 |
1,092 | |||||||||
13,324 | Series 2004-11, Class SW, IF, IO, 5.271%, 02/20/34 |
1,238 | |||||||||
8,138 | Series 2004-15, Class SA, IF, 19.033%, 12/20/32 |
8,996 | |||||||||
972 | Series 2004-27, Class VJ, 6.000%, 02/20/15 |
1,016 | |||||||||
1,396 | Series 2004-28, Class S, IF, 19.025%, 04/16/34 |
1,609 | |||||||||
3,803 | Series 2004-34, Class JO, PO, 02/20/34 |
3,664 | |||||||||
4,767 | Series 2004-46, Class PO, PO, 06/20/34 |
4,066 | |||||||||
2,873 | Series 2004-68, Class PO, PO, 05/20/31 |
2,757 | |||||||||
13,701 | Series 2004-68, Class SA, IF, IO, 6.571%, 05/20/31 |
942 | |||||||||
2,642 | Series 2004-71, Class SB, HB, IF, 28.341%, 09/20/34 |
3,612 | |||||||||
2,642 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 |
2,741 | |||||||||
2,157 | Series 2004-73, Class AE, IF, 14.383%, 08/17/34 |
2,453 | |||||||||
11,913 | Series 2004-73, Class JL, IF, IO, 6.318%, 09/16/34 |
1,399 | |||||||||
2,094 | Series 2004-83, Class AP, IF, 13.755%, 10/16/34 |
2,413 | |||||||||
1,212 | Series 2004-85, Class PO, PO, 01/17/33 |
1,104 | |||||||||
1,619 | Series 2004-87, Class SB, IF, 7.409%, 03/17/33 |
1,539 | |||||||||
1,438 | Series 2004-89, Class LS, HB, IF, 23.533%, 10/16/34 |
1,804 | |||||||||
29,653 | Series 2004-90, Class SI, IF, IO, 5.871%, 10/20/34 |
2,493 | |||||||||
12,640 | Series 2004-96, Class SC, IF, IO, 5.851%, 11/20/34 |
1,091 | |||||||||
14,652 | Series 2005-3, Class SB, IF, IO, 5.871%, 01/20/35 |
1,226 | |||||||||
20,928 | Series 2005-3, Class SK, IF, IO, 6.521%, 01/20/35 |
2,041 | |||||||||
1,393 | Series 2005-6, Class GS, IF, 13.042%, 12/20/32 |
1,532 | |||||||||
6,374 | Series 2005-7, Class JM, IF, 16.217%, 05/18/34 |
7,287 | |||||||||
21,606 | Series 2005-17, Class SL, IF, IO, 6.471%, 07/20/34 |
1,578 | |||||||||
2,923 | Series 2005-35, Class FL, VAR, 0.579%, 03/20/32 |
2,893 | |||||||||
2,882 | Series 2005-44, Class SP, IF, 11.743%, 10/20/34 |
3,057 | |||||||||
2,482 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 |
350 | |||||||||
557 | Series 2005-65, Class SA, HB, IF, 21.866%, 08/20/35 |
574 | |||||||||
714 | Series 2005-66, Class SP, HB, IF, 20.060%, 08/16/35 |
795 | |||||||||
9,668 | Series 2005-68, Class DP, IF, 15.883%, 06/17/35 |
10,751 | |||||||||
41,139 | Series 2005-68, Class KI, IF, IO, 6.071%, 09/20/35 |
5,113 | |||||||||
6,738 | Series 2005-69, Class SY, IF, IO, 6.521%, 11/20/33 |
836 | |||||||||
2,107 | Series 2005-82, Class PO, PO, 10/20/35 |
1,831 | |||||||||
4,598 | Series 2005-91, Class PI, IO, 6.000%, 12/20/35 |
534 | |||||||||
2,329 | Series 2005-93, Class JO, PO, 03/20/31 |
2,287 | |||||||||
4,537 | Series 2006-16, Class OP, PO, 03/20/36 |
3,911 | |||||||||
5,046 | Series 2006-33, Class Z, 6.500%, 07/20/36 |
5,497 | |||||||||
1,176 | Series 2006-34, Class PO, PO, 07/20/36 |
1,060 | |||||||||
1,438 | Series 2006-38, Class SW, IF, IO, 6.271%, 06/20/36 |
122 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
5,270 | Series 2006-38, Class ZK, 6.500%, 08/20/36 |
5,770 | |||||||||
13,000 | Series 2006-40, Class VB, 6.000%, 11/20/26 |
13,941 | |||||||||
1,805 | Series 2006-57, Class PZ, 5.565%, 10/20/36 |
1,922 | |||||||||
8,237 | Series 2006-59, Class SD, IF, IO, 6.471%, 10/20/36 |
754 | |||||||||
18,080 | Series 2006-65, Class SA, IF, IO, 6.571%, 11/20/36 |
1,668 | |||||||||
13,602 | Series 2007-9, Class CI, IF, IO, 5.971%, 03/20/37 |
1,199 | |||||||||
22,176 | Series 2007-9, Class DI, IF, IO, 6.281%, 03/20/37 |
2,157 | |||||||||
22,429 | Series 2007-17, Class AF, VAR, 0.432%, 04/16/37 |
22,120 | |||||||||
18,490 | Series 2007-17, Class JI, IF, IO, 6.578%, 04/16/37 |
2,180 | |||||||||
7,174 | Series 2007-17, Class JO, PO, 04/16/37 |
6,121 | |||||||||
9,327 | Series 2007-19, Class SD, IF, IO, 5.971%, 04/20/37 |
799 | |||||||||
5,023 | Series 2007-25, Class FN, VAR, 0.532%, 05/16/37 |
4,871 | |||||||||
23,399 | Series 2007-26, Class SC, IF, IO, 5.971%, 05/20/37 |
2,123 | |||||||||
15,097 | Series 2007-27, Class SD, IF, IO, 5.971%, 05/20/37 |
1,350 | |||||||||
1,762 | Series 2007-28, Class BO, PO, 05/20/37 |
1,541 | |||||||||
15,501 | Series 2007-35, Class PO, PO, 06/16/37 |
13,090 | |||||||||
2,212 | Series 2007-35, Class TO, PO, 04/20/35 |
2,110 | |||||||||
3,063 | Series 2007-36, Class HO, PO, 06/16/37 |
2,648 | |||||||||
13,128 | Series 2007-36, Class SE, IF, IO, 6.238%, 06/16/37 |
1,360 | |||||||||
17,290 | Series 2007-36, Class SJ, IF, IO, 6.021%, 06/20/37 |
1,560 | |||||||||
13,181 | Series 2007-40, Class SD, IF, IO, 6.521%, 07/20/37 |
1,226 | |||||||||
31,584 | Series 2007-42, Class SC, IF, IO, 6.521%, 07/20/37 |
2,879 | |||||||||
19,812 | Series 2007-45, Class QA, IF, IO, 6.411%, 07/20/37 |
1,803 | |||||||||
5,780 | Series 2007-49, Class NO, PO, 12/20/35 |
5,320 | |||||||||
6,981 | Series 2007-50, Class AI, IF, IO, 6.546%, 08/20/37 |
682 | |||||||||
14,580 | Series 2007-53, Class ES, IF, IO, 6.321%, 09/20/37 |
1,089 | |||||||||
4,911 | Series 2007-53, Class SW, IF, 19.519%, 09/20/37 |
5,705 | |||||||||
14,810 | Series 2007-57, Class PO, PO, 03/20/37 |
12,854 | |||||||||
18,774 | Series 2007-57, Class QA, IF, IO, 6.271%, 10/20/37 |
1,759 | |||||||||
19,308 | Series 2007-67, Class SI, IF, IO, 6.281%, 11/20/37 |
1,856 | |||||||||
15,597 | Series 2007-71, Class SB, IF, IO, 6.471%, 07/20/36 |
1,092 | |||||||||
16,326 | Series 2007-72, Class US, IF, IO, 6.321%, 11/20/37 |
1,217 | |||||||||
18,092 | Series 2007-73, Class MI, IF, IO, 5.771%, 11/20/37 |
1,641 | |||||||||
10,821 | Series 2007-74, Class SL, IF, IO, 6.308%, 11/16/37 |
1,100 | |||||||||
35,198 | Series 2007-76, Class SB, IF, IO, 6.271%, 11/20/37 |
3,258 | |||||||||
26,143 | Series 2007-79, Class SY, IF, IO, 6.321%, 12/20/37 |
1,948 | |||||||||
20,291 | Series 2007-82, Class SA, IF, IO, 6.301%, 12/20/37 |
1,942 | |||||||||
1,923 | Series 2008-7, Class SK, IF, 19.264%, 11/20/37 |
2,212 | |||||||||
2,693 | Series 2008-7, Class SP, IF, 12.943%, 10/20/37 |
2,849 | |||||||||
5,259 | Series 2008-17, Class IO, IO, 5.500%, 02/20/38 |
751 | |||||||||
97 | Series 2008-20, Class EX, VAR, 03/20/38 |
96 | |||||||||
5,388 | Series 2008-20, Class PO, PO, 09/20/37 |
4,878 | |||||||||
3,055 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 |
348 | |||||||||
12,295 | Series 2008-25, Class SB, IF, IO, 6.671%, 03/20/38 |
1,087 | |||||||||
5,204 | Series 2008-29, Class PO, PO, 02/17/33 |
4,518 | |||||||||
20,997 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 |
2,273 | |||||||||
8,200 | Series 2008-33, Class XS, IF, IO, 7.468%, 04/16/38 |
993 | |||||||||
6,000 | Series 2008-36, Class AY, 5.000%, 04/16/23 |
6,361 | |||||||||
23,499 | Series 2008-36, Class SH, IF, IO, 6.071%, 04/20/38 |
2,099 | |||||||||
37,903 | Series 2008-40, Class SA, IF, IO, 6.168%, 05/16/38 |
4,369 | |||||||||
19,448 | Series 2008-41, Class SA, IF, IO, 6.111%, 05/20/38 |
1,871 | |||||||||
2,735 | Series 2008-43, Class NA, 5.500%, 11/20/37 |
2,890 | |||||||||
3,500 | Series 2008-50, Class KB, 6.000%, 06/20/38 |
3,817 | |||||||||
7,231 | Series 2008-55, Class SA, IF, IO, 5.971%, 06/20/38 |
674 | |||||||||
28,450 | Series 2008-60, Class CS, IF, IO, 5.921%, 07/20/38 |
2,521 | |||||||||
5,716 | Series 2008-60, Class PO, PO, 01/20/38 |
5,215 | |||||||||
2,170 | Series 2008-64, Class ED, 6.500%, 04/20/28 |
2,307 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
11,109 | Series 2008-71, Class SC, IF, IO, 5.771%, 08/20/38 |
1,037 | |||||||||
10,071 | Series 2008-79, Class CS, IF, 6.571%, 06/20/35 |
9,129 | |||||||||
26,661 | Series 2008-93, Class AS, IF, IO, 5.471%, 12/20/38 |
2,294 | |||||||||
15,850 | Series 2008-96, Class SL, IF, IO, 5.771%, 12/20/38 |
1,482 | |||||||||
19,097 | Series 2009-6, Class SA, IF, IO, 5.868%, 02/16/39 |
1,632 | |||||||||
16,906 | Series 2009-6, Class SH, IF, IO, 5.811%, 02/20/39 |
1,583 | |||||||||
8,518 | Series 2009-10, Class SL, IF, IO, 6.268%, 03/16/34 |
767 | |||||||||
18,486 | Series 2009-11, Class SC, IF, IO, 5.918%, 02/16/39 |
1,927 | |||||||||
7,181 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 |
993 | |||||||||
14,849 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
1,977 | |||||||||
47,028 | Series 2009-22, Class SA, IF, IO, 6.041%, 04/20/39 |
4,109 | |||||||||
24,806 | Series 2009-24, Class DS, IF, IO, 6.071%, 03/20/39 |
2,731 | |||||||||
12,608 | Series 2009-25, Class SE, IF, IO, 7.371%, 09/20/38 |
1,294 | |||||||||
26,461 | Series 2009-31, Class ST, IF, IO, 6.121%, 03/20/39 |
2,548 | |||||||||
31,852 | Series 2009-31, Class TS, IF, IO, 6.071%, 03/20/39 |
3,035 | |||||||||
7,395 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 |
975 | |||||||||
7,922 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 |
1,078 | |||||||||
20,287 | Series 2009-35, Class SN, IF, IO, 6.168%, 12/16/38 |
2,217 | |||||||||
40,549 | Series 2009-42, Class SC, IF, IO, 5.851%, 06/20/39 |
3,759 | |||||||||
27,392 | Series 2009-43, Class SA, IF, IO, 5.721%, 06/20/39 |
2,511 | |||||||||
12,131 | Series 2009-44, Class MV, 6.000%, 04/20/20 |
13,328 | |||||||||
10,391 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 |
1,366 | |||||||||
3,070 | Series 2009-75, Class MN, 5.500%, 09/20/39 |
3,206 | |||||||||
20,954 | Series 2009-79, Class OK, PO, 11/16/37 |
18,161 | |||||||||
Vendee Mortgage Trust, |
|||||||||||
14,982 | Series 1993-1, Class ZB, 7.250%, 02/15/23 |
16,616 | |||||||||
2,799 | Series 1994-1, Class 1, VAR, 5.628%, 02/15/24 |
2,978 | |||||||||
10,270 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 |
11,233 | |||||||||
4,028 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
4,401 | |||||||||
1,857 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
1,987 | |||||||||
5,627 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
6,276 | |||||||||
3,773 | Series 1998-1, Class 2E, 7.000%, 03/15/28 |
4,103 | |||||||||
3,544,426 | |||||||||||
Non-Agency CMO 13.1% |
|||||||||||
947 | ABN
Amro Mortgage Corp., Series 2003-9, Class A2, 4.500%, 08/25/18 |
938 | |||||||||
American General Mortgage Loan Trust, |
|||||||||||
6,762 | Series 2006-1, Class A2, VAR, 5.750%, 12/25/35 (e) |
6,763 | |||||||||
4,457 | Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) |
4,551 | |||||||||
8,500 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 4.848%, 09/25/35 |
4,002 | |||||||||
ASG
Resecuritization Trust, |
|||||||||||
11,062 | Series 2009-1, Class A60, VAR, 5.608%, 06/26/37 (e) |
11,007 | |||||||||
31,992 | Series 2009-2, Class A55, VAR, 5.800%, 05/24/36 (e) |
31,912 | |||||||||
57,883 | Series 2009-3, Class A65, VAR, 5.573%, 03/26/37 (e) |
57,305 | |||||||||
31,053 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) |
30,743 | |||||||||
9,308 | Series 2009-5, Class A50, VAR, 5.465%, 02/28/37 (e) |
9,191 | |||||||||
17,189 | Series 2010-1, Class A85, VAR, 0.629%, 02/27/36 (e) |
15,642 | |||||||||
25,100 | Series 2010-2, Class A60, VAR, 5.270%, 01/28/37 (e) |
24,347 | |||||||||
Banc
of America Alternative Loan Trust, |
|||||||||||
486 | Series 2003-1, Class APO, PO, 02/25/33 |
310 | |||||||||
5,582 | Series 2003-7, Class 1CB1, 5.500%, 09/25/33 |
5,600 | |||||||||
7,708 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 |
7,739 | |||||||||
11,613 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
11,649 | |||||||||
10,464 | Series 2003-11, Class 1A1, 6.000%, 01/25/34 |
10,054 | |||||||||
8,738 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 |
8,395 | |||||||||
1,171 | Series 2003-11, Class PO, PO, 01/25/34 |
802 | |||||||||
3,508 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 |
3,387 | |||||||||
665 | Series 2004-6, Class 15PO, PO, 07/25/19 |
430 | |||||||||
5,125 | Series 2004-8, Class 3A1, 5.500%, 09/25/19 |
5,102 | |||||||||
1,433 | Series 2005-5, Class 1CB1, 5.500%, 06/25/35 |
1,001 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
5,020 | Series 2005-9, Class CBIO, IO, 5.500%, 10/25/35 (f) |
508 | |||||||||
Banc
of America Funding Corp., |
|||||||||||
2,075 | Series 2003-3, Class 1A33, 5.500%, 10/25/33 |
2,095 | |||||||||
1,678 | Series 2004-1, Class PO, PO, 03/25/34 |
1,204 | |||||||||
2,368 | Series 2004-2, Class 1CB1, 5.750%, 09/20/34 |
2,157 | |||||||||
14,981 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 |
14,924 | |||||||||
2,661 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 |
2,389 | |||||||||
2,768 | Series 2005-7, Class 30PO, PO, 11/25/35 |
1,815 | |||||||||
1,191 | Series 2005-8, Class 30PO, PO, 01/25/36 |
768 | |||||||||
4,562 | Series 2005-E, Class 4A1, VAR, 2.995%, 03/20/35 |
4,232 | |||||||||
2,941 | Series 2006-1, Class XPO, PO, 01/25/36 |
1,896 | |||||||||
Banc
of America Mortgage Securities, Inc., |
|||||||||||
7,316 | Series 2003-3, Class 2A1, VAR, 0.779%, 05/25/18 |
6,952 | |||||||||
1,373 | Series 2003-5, Class 3A1, 7.500%, 02/25/31 |
1,372 | |||||||||
427 | Series 2003-7, Class A2, 4.750%, 09/25/18 |
434 | |||||||||
7,566 | Series 2003-8, Class 3A3, 5.500%, 11/25/33 |
7,396 | |||||||||
1,089 | Series 2003-8, Class APO, PO, 11/25/33 |
727 | |||||||||
6,018 | Series 2003-E, Class 2A2, VAR, 4.143%, 06/25/33 (a) |
5,463 | |||||||||
590 | Series 2004-1, Class APO, PO, 02/25/34 |
375 | |||||||||
2,469 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 |
2,477 | |||||||||
9,280 | Series 2004-3, Class 15IO, IO, VAR, 0.220%, 04/25/19 |
44 | |||||||||
423 | Series 2004-4, Class APO, PO, 05/25/34 |
268 | |||||||||
3,565 | Series 2004-5, Class 2A2, 5.500%, 06/25/34 |
2,937 | |||||||||
3,574 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 |
3,577 | |||||||||
1,327 | Series 2004-6, Class 2A7, 5.500%, 07/25/34 |
1,158 | |||||||||
2,452 | Series 2004-6, Class APO, PO, 07/25/34 |
1,601 | |||||||||
211 | Series 2004-8, Class 5PO, PO, 05/25/32 |
138 | |||||||||
903 | Series 2004-8, Class XPO, PO, 10/25/34 |
604 | |||||||||
3,258 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 |
3,229 | |||||||||
390 | Series 2004-9, Class 3PO, PO, 09/25/32 |
253 | |||||||||
630 | Series 2004-E, Class 2A5, VAR, 4.149%, 06/25/34 |
629 | |||||||||
3,931 | Series 2004-J, Class 3A1, VAR, 5.081%, 11/25/34 |
3,441 | |||||||||
8,739 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 |
8,651 | |||||||||
BCAP
LLC Trust, |
|||||||||||
16,776 | Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) |
16,608 | |||||||||
26,996 | Series 2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) |
26,726 | |||||||||
9,415 | Series 2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) |
9,415 | |||||||||
5,203 | Series 2009-RR14, Class 4A1, VAR, 5.921%, 03/26/36 (e) |
5,203 | |||||||||
Bear
Stearns Adjustable Rate Mortgage Trust, |
|||||||||||
5,145 | Series 2003-2, Class A5, VAR, 2.113%, 01/25/33 (e) |
4,682 | |||||||||
874 | Series 2003-7, Class 3A, VAR, 4.950%, 10/25/33 (f) (i) |
805 | |||||||||
11,518 | Series 2004-2, Class 14A, VAR, 5.163%, 05/25/34 |
11,633 | |||||||||
20,682 | Series 2005-5, Class A1, VAR, 2.530%, 08/25/35 |
19,963 | |||||||||
14,771 | Series 2006-1, Class A1, VAR, 4.625%, 02/25/36 |
13,077 | |||||||||
Cendant Mortgage Corp., |
|||||||||||
2,073 | Series 2003-8, Class 1P, PO, 10/25/33 |
1,254 | |||||||||
633 | Series 2004-1, Class P, PO, 02/25/34 |
410 | |||||||||
Chase Mortgage Finance Corp., |
|||||||||||
1,351 | Series 2003-S6, Class A1, 5.000%, 06/25/18 |
1,370 | |||||||||
4,210 | Series 2003-S9, Class AP, PO, 10/25/18 |
3,019 | |||||||||
7,721 | Series 2003-S10, Class A1, 4.750%, 11/25/18 |
7,829 | |||||||||
5,440 | Series 2007-A1, Class 2A1, VAR, 4.126%, 02/25/37 |
5,210 | |||||||||
3,281 | Series 2007-A2, Class 1A1, VAR, 3.968%, 07/25/37 |
3,078 | |||||||||
Citicorp Mortgage Securities, Inc., |
|||||||||||
307 | Series 1993-14, Class A3, VAR, 1.429%, 11/25/23 |
298 | |||||||||
4,395 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 |
4,435 | |||||||||
6,196 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 |
6,283 | |||||||||
2,089 | Series 2004-2, Class A1, 5.000%, 03/25/34 |
2,062 | |||||||||
3,841 | Series 2004-2, Class A2, VAR, 0.679%, 03/25/34 |
3,734 | |||||||||
1,691 | Series 2004-3, Class A8, 5.250%, 05/25/34 |
1,691 | |||||||||
1,952 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 |
1,992 | |||||||||
2,266 | Series 2004-8, Class 1A1, 5.500%, 10/25/34 |
2,268 | |||||||||
5,000 | Series 2006-4, Class 1A2, 6.000%, 08/25/36 |
3,890 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
|||||||||||
7,880 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 |
7,904 | |||||||||
603 | Series 2003-1, Class 2A6, PO, 10/25/33 |
348 | |||||||||
890 | Series 2003-1, Class PO2, PO, 10/25/33 |
563 | |||||||||
792 | Series 2003-1, Class PO3, PO, 09/25/33 |
499 | |||||||||
116 | Series 2003-1, Class WPO1, PO, 06/25/16 |
98 | |||||||||
1,009 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
1,005 | |||||||||
4,351 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
4,408 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
1,216 | Series 2003-UST1, Class PO1, PO, 12/25/18 |
825 | |||||||||
620 | Series 2003-UST1, Class PO3, PO, 12/25/18 |
445 | |||||||||
5,025 | Series 2004-UST1, Class A6, VAR, 5.072%, 08/25/34 |
5,128 | |||||||||
723 | Series 2005-1, Class 2A1A, VAR, 3.563%, 04/25/35 |
388 | |||||||||
2,064 | Series 2005-5, Class 1A2, VAR, 2.507%, 08/25/35 |
1,234 | |||||||||
4,960 | Series 2009-5, Class 8A1, 6.000%, 06/25/36 (e) |
4,575 | |||||||||
15,701 | Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e) |
15,704 | |||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
3,354 | Series 2002-8, Class A4, 6.500%, 07/25/32 |
3,198 | |||||||||
675 | Series 2002-12, Class PO, PO, 11/25/32 |
435 | |||||||||
149 | Series 2002-17, Class A7, 2.500%, 01/25/33 |
143 | |||||||||
4,347 | Series 2002-18, Class M, 6.000%, 02/25/33 |
3,838 | |||||||||
867 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 |
661 | |||||||||
10,065 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
8,132 | |||||||||
2,630 | Series 2004-14T2, Class A5, 5.500%, 08/25/34 |
1,903 | |||||||||
10,000 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
9,898 | |||||||||
1,751 | Series 2005-5R, Class A1, 5.250%, 12/25/18 |
1,583 | |||||||||
12,476 | Series 2005-1CB, Class 1A6, IF, IO, 6.871%, 03/25/35 |
1,523 | |||||||||
20,879 | Series 2005-20CB, Class 3A8, IF, IO, 4.521%, 07/25/35 |
1,698 | |||||||||
28,077 | Series 2005-22T1, Class A2, IF, IO, 4.841%, 06/25/35 |
2,484 | |||||||||
818 | Series 2005-26CB, Class A10, IF, 12.635%, 07/25/35 |
885 | |||||||||
8,000 | Series 2005-28CB, Class 1A4, 5.500%, 08/25/35 |
6,354 | |||||||||
334 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 |
322 | |||||||||
424 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 |
324 | |||||||||
84,808 | Series 2005-37T1, Class A2, IF, IO, 4.821%, 09/25/35 |
8,103 | |||||||||
9,300 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
7,035 | |||||||||
41,294 | Series 2005-54CB, Class 1A2, IF, IO, 4.621%, 11/25/35 |
4,031 | |||||||||
621 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 |
561 | |||||||||
3,235 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 |
1,696 | |||||||||
20,528 | Series 2005-J1, Class 1A4, IF, IO, 4.871%, 02/25/35 |
1,948 | |||||||||
8,000 | Series 2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) |
1,986 | |||||||||
1,500 | Series 2007-21CB, Class 2A6, 6.000%, 09/25/37 (f) (i) |
324 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
|||||||||||
663 | Series 2002-18, Class PO, PO, 11/25/32 |
620 | |||||||||
3,536 | Series 2002-22, Class A20, 6.250%, 10/25/32 |
3,628 | |||||||||
6,390 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
5,362 | |||||||||
2,644 | Series 2003-29, Class A1, 5.500%, 08/25/33 |
2,285 | |||||||||
873 | Series 2003-34, Class A11, 5.250%, 09/25/33 |
860 | |||||||||
5,800 | Series 2003-34, Class A6, 5.250%, 09/25/33 |
5,884 | |||||||||
1,120 | Series 2003-44, Class A9, PO, 10/25/33 |
735 | |||||||||
72 | Series 2003-J2, Class A17, IF, IO, 7.171%, 04/25/33 |
2 | |||||||||
3,629 | Series 2003-J7, Class 4A3, IF, 9.477%, 08/25/18 |
3,275 | |||||||||
408 | Series 2003-J13, Class PO, PO, 01/25/34 |
284 | |||||||||
452 | Series 2004-7, Class 2A1, VAR, 3.374%, 06/25/34 |
439 | |||||||||
13,543 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 |
13,420 | |||||||||
865 | Series 2004-HYB1, Class 2A, VAR, 3.332%, 05/20/34 |
686 | |||||||||
3,205 | Series 2004-HYB3, Class 2A, VAR, 3.578%, 06/20/34 |
2,425 | |||||||||
2,174 | Series 2004-HYB6, Class A3, VAR, 3.610%, 11/20/34 |
1,730 | |||||||||
2,046 | Series 2004-J6, Class 2A1, 4.750%, 07/25/14 |
2,054 | |||||||||
1,356 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 |
1,362 | |||||||||
1,295 | Series 2005-14, Class A2, 5.500%, 07/25/35 |
1,195 | |||||||||
225 | Series 2005-16, Class A21, 5.500%, 09/25/35 |
223 | |||||||||
1,000 | Series 2005-16, Class A23, 5.500%, 09/25/35 |
847 | |||||||||
7,775 | Series 2005-22, Class 2A1, VAR, 5.173%, 11/25/35 |
5,429 | |||||||||
385 | Series 2005-R1, Class 2APO, PO, 03/25/35 (e) |
248 | |||||||||
Credit Suisse Mortgage Capital Certificates, |
|||||||||||
15,552 | Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) |
15,552 | |||||||||
17,820 | Series 2009-12R, Class 7A1, 5.500%, 10/27/35 (e) |
17,764 | |||||||||
CS
First Boston Mortgage Securities Corp., |
|||||||||||
96 | Series 1997-2, Class A, 7.500%, 06/25/20 (e) |
88 | |||||||||
2,397 | Series 2003-1, Class DB1, 6.564%, 02/25/33 |
1,992 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
5,475 | Series 2003-23, Class 1P, PO, 10/25/33 |
3,501 | |||||||||
4,724 | Series 2003-23, Class 2A5, 5.000%, 10/25/18 |
4,649 | |||||||||
4,482 | Series 2003-23, Class 3A10, 5.750%, 09/25/33 |
4,497 | |||||||||
1,158 | Series 2003-25, Class 2A1, 4.500%, 10/25/18 |
1,154 | |||||||||
1,820 | Series 2004-4, Class 3A5, 5.500%, 08/25/34 |
1,818 | |||||||||
402 | Series 2004-5, Class 5P, PO, 08/25/19 |
281 | |||||||||
6,186 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 |
6,227 | |||||||||
1,814 | Series 2005-4, Class 3A24, IF, 18.208%, 06/25/35 |
1,704 | |||||||||
1,319 | Series 2005-9, Class AP, PO, 10/25/35 |
834 | |||||||||
9,035 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 |
1,253 | |||||||||
712 | Series 2005-10, Class AP, PO, 11/25/35 |
449 | |||||||||
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, |
|||||||||||
3,464 | Series 2005-1, Class 2A1, VAR, 5.626%, 02/25/20 |
3,452 | |||||||||
4,804 | Series 2005-3, Class 1A1, VAR, 5.285%, 06/25/20 |
4,254 | |||||||||
Deutsche Mortgage Securities, Inc., |
|||||||||||
398 | Series 2004-1, Class 2APO, PO, 10/25/18 |
268 | |||||||||
16,296 | Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) |
15,792 | |||||||||
First Boston Mortgage Securities Corp. 1987 STRIPS, |
|||||||||||
89 | Series C, Class IO, IO, 10.965%, 04/25/17 |
10 | |||||||||
50 | Series C, Class PO, PO, 04/25/17 |
47 | |||||||||
First Horizon Alternative Mortgage Securities, |
|||||||||||
3,186 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 |
2,248 | |||||||||
26,912 | Series 2007-FA4, Class 1A2, IF, IO, 5.421%, 08/25/37 |
2,731 | |||||||||
First Horizon Asset Securities, Inc., |
|||||||||||
576 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 |
577 | |||||||||
5,089 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 |
5,094 | |||||||||
2,986 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 |
2,510 | |||||||||
2,833 | Series 2004-AR2, Class 2A1, VAR, 3.004%, 05/25/34 |
2,644 | |||||||||
3,525 | Series 2004-AR7, Class 2A1, VAR, 2.880%, 02/25/35 |
3,392 | |||||||||
798 | Series 2004-AR7, Class 2A2, VAR, 2.880%, 02/25/35 |
685 | |||||||||
7,904 | Series 2005-AR1, Class 2A2, VAR, 3.768%, 04/25/35 |
7,210 | |||||||||
GMAC
Mortgage Corp. Loan Trust, |
|||||||||||
19,658 | Series 2003-AR1, Class A4, VAR, 4.098%, 10/19/33 |
18,577 | |||||||||
2,120 | Series 2003-J7, Class A10, 5.500%, 11/25/33 |
2,169 | |||||||||
948 | Series 2003-J7, Class A2, 4.500%, 11/25/33 |
950 | |||||||||
1,943 | Series 2003-J7, Class A3, VAR, 0.679%, 11/25/33 |
1,917 | |||||||||
12,345 | Series 2003-J7, Class A7, 5.000%, 11/25/33 |
10,898 | |||||||||
1,281 | Series 2003-J8, Class A, 5.250%, 12/25/33 |
1,285 | |||||||||
25 | Series 2004-J1, Class A15, 5.250%, 04/25/34 |
25 | |||||||||
4,474 | Series 2004-J5, Class A2, VAR, 0.629%, 01/25/35 |
4,420 | |||||||||
7,625 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 |
7,656 | |||||||||
2,258 | Series 2005-AR3, Class 3A3, VAR, 4.791%, 06/19/35 |
2,224 | |||||||||
5,000 | Series 2005-AR3, Class 3A4, VAR, 4.791%, 06/19/35 |
3,723 | |||||||||
GSMPS Mortgage Loan Trust, |
|||||||||||
1,544 | Series 2004-4, Class 1AF, VAR, 0.629%, 06/25/34 (e) |
1,222 | |||||||||
2,879 | Series 2005-RP2, Class 1AF, VAR, 0.579%, 03/25/35 (e) |
2,324 | |||||||||
GSR
Mortgage Loan Trust, |
|||||||||||
1,506 | Series 2003-3F, Class 4A3, 5.750%, 04/25/33 |
1,410 | |||||||||
1,300 | Series 2003-6F, Class A2, VAR, 0.629%, 09/25/32 |
1,227 | |||||||||
4,054 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 |
4,080 | |||||||||
6,619 | Series 2004-9, Class 5A5, VAR, 3.888%, 08/25/34 |
6,720 | |||||||||
1,123 | Series 2004-10F, Class 1A1, 4.500%, 08/25/19 |
1,130 | |||||||||
953 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 |
982 | |||||||||
917 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 |
571 | |||||||||
261 | Series 2004-15F, Class AP, PO, 12/25/34 |
176 | |||||||||
8,795 | Series 2005-5F, Class 8A3, VAR, 0.729%, 06/25/35 |
7,918 | |||||||||
8,648 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 |
7,216 | |||||||||
646 | Series 2005-AR6, Class 3A1, VAR, 3.972%, 09/25/35 |
568 | |||||||||
4,000 | Series 2006-1F, Class 1A3, 5.500%, 02/25/36 |
2,785 | |||||||||
10,675 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 |
7,049 | |||||||||
1,473 | Series 2006-2F, Class 2A15, 5.750%, 02/25/36 |
1,470 | |||||||||
13,000 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 |
10,251 | |||||||||
Impac Secured Assets CMN Owner Trust, |
|||||||||||
3,048 | Series 2003-2, Class A1, 5.500%, 08/25/33 |
3,058 | |||||||||
146 | Series 2004-3, Class 1A4, VAR, 1.029%, 11/25/34 |
131 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
16,487 | Series 2006-2, Class 2A1, VAR, 0.579%, 08/25/36 |
13,088 | |||||||||
37,107 | Indymac Index Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.494%, 08/25/35 |
382 | |||||||||
JP
Morgan Mortgage Trust, |
|||||||||||
3,499 | Series 2004-A3, Class 4A1, VAR, 4.278%, 07/25/34 |
3,498 | |||||||||
6,951 | Series 2004-A4, Class 1A1, VAR, 4.626%, 09/25/34 |
7,013 | |||||||||
5,360 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 |
5,484 | |||||||||
62,215 | Series 2006-A2, Class 4A1, VAR, 4.054%, 08/25/34 |
59,445 | |||||||||
3,781 | Series 2006-A2, Class 5A3, VAR, 3.431%, 11/25/33 |
3,703 | |||||||||
9,290 | Series 2006-A3, Class 6A1, VAR, 3.993%, 08/25/34 |
8,172 | |||||||||
5,343 | Series 2007-A1, Class 5A1, VAR, 3.442%, 07/25/35 |
4,826 | |||||||||
Lehman Mortgage Trust, |
|||||||||||
3,795 | Series 2006-2, Class 1A1, VAR, 6.420%, 04/25/36 |
3,292 | |||||||||
2,470 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 |
1,380 | |||||||||
10,000 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 |
7,496 | |||||||||
LVII
Resecuritization Trust, |
|||||||||||
6,068 | Series 2009-2, Class A1, VAR, 3.285%, 09/27/37 (e) |
6,066 | |||||||||
20,000 | Series 2009-2, Class A2, VAR, 3.172%, 09/27/37 (e) |
19,994 | |||||||||
MASTR Adjustable Rate Mortgages Trust, |
|||||||||||
2,588 | Series 2004-3, Class 4A2, VAR, 2.650%, 04/25/34 |
2,092 | |||||||||
4,779 | Series 2004-13, Class 2A1, VAR, 3.002%, 04/21/34 |
4,604 | |||||||||
26,118 | Series 2004-13, Class 3A6, VAR, 3.097%, 11/21/34 |
25,910 | |||||||||
799 | Series 2004-15, Class 3A1, VAR, 3.706%, 12/25/34 |
590 | |||||||||
MASTR Alternative Loans Trust, |
|||||||||||
6,075 | Series 2003-9, Class 2A1, 6.000%, 12/25/33 |
5,897 | |||||||||
1,184 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
1,043 | |||||||||
2,515 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 |
2,307 | |||||||||
7,332 | Series 2004-3, Class 3A1, 6.000%, 04/25/34 |
7,191 | |||||||||
1,421 | Series 2004-6, Class 30PO, PO, 07/25/34 |
897 | |||||||||
773 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 |
666 | |||||||||
1,287 | Series 2004-7, Class 30PO, PO, 08/25/34 |
849 | |||||||||
3,924 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 |
3,788 | |||||||||
1,745 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
1,730 | |||||||||
5,385 | Series 2005-6, Class 3A1, 5.500%, 11/25/20 |
4,391 | |||||||||
MASTR Asset Securitization Trust, |
|||||||||||
163 | Series 2003-1, Class 2A12, 5.000%, 06/25/30 |
163 | |||||||||
1,383 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
1,416 | |||||||||
930 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 |
888 | |||||||||
2,000 | Series 2003-2, Class 2A10, 4.500%, 03/25/18 |
1,930 | |||||||||
129 | Series 2003-4, Class 2A2, 5.000%, 05/25/18 |
128 | |||||||||
797 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 |
807 | |||||||||
1,752 | Series 2003-9, Class 15PO, PO, 10/25/18 |
1,310 | |||||||||
1,228 | Series 2003-9, Class 2A7, 5.500%, 10/25/33 |
1,244 | |||||||||
1,092 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 |
1,094 | |||||||||
883 | Series 2003-12, Class 30PO, PO, 12/25/33 |
557 | |||||||||
2,634 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 |
2,626 | |||||||||
590 | Series 2004-1, Class 30PO, PO, 02/25/34 |
376 | |||||||||
486 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 |
471 | |||||||||
899 | Series 2004-6, Class 15PO, PO, 05/25/19 |
636 | |||||||||
4,987 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 |
5,007 | |||||||||
817 | Series 2004-8, Class PO, PO, 08/25/19 |
582 | |||||||||
2,337 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 |
2,245 | |||||||||
1,243 | Series 2004-10, Class 5A1, VAR, 0.629%, 11/25/34 |
1,176 | |||||||||
2,300 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 |
1,723 | |||||||||
MASTR Reperforming Loan Trust, |
|||||||||||
23,812 | Series 2005-2, Class 1A1F, VAR, 0.579%, 05/25/35 (e) |
19,338 | |||||||||
2,688 | Series 2006-2, Class 1A1, VAR, 5.780%, 05/25/36 (e) |
2,368 | |||||||||
10,957 | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
6,355 | |||||||||
545 | Medallion Trust, (Australia), Series 2004-1G, Class A1, VAR, 0.382%, 05/25/35 |
521 | |||||||||
3,260 | Mellon Residential Funding Corp., Series 2000-TBC3, Class A1, VAR, 0.672%, 12/15/30 |
2,935 | |||||||||
Merrill Lynch Mortgage Investors, Inc., |
|||||||||||
3,236 | Series 2003-A5, Class 2A6, VAR, 3.258%, 08/25/33 |
2,982 | |||||||||
5,152 | Series 2004-A4, Class A2, VAR, 3.122%, 08/25/34 |
5,130 | |||||||||
9,517 | Series 2005-A2, Class A1, VAR, 2.800%, 02/25/35 |
8,539 | |||||||||
40 | Series 2005-A8, Class A1B1, VAR, 5.250%, 08/25/36 |
40 | |||||||||
164 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 |
181 | |||||||||
5,646 | MLCC
Mortgage Investors, Inc., Series 2004-C, Class A2, VAR, 0.731%, 07/25/29 |
5,220 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
4,217 | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A, VAR, 5.500%, 11/25/19 |
4,071 | |||||||||
| (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,230.370%, 04/20/21 |
42 | ||||||||
2,762 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.549%, 02/25/35 |
2,199 | |||||||||
Nomura Asset Acceptance Corp., |
|||||||||||
1,861 | Series 2003-A1, Class A1, 5.500%, 05/25/33 |
1,867 | |||||||||
845 | Series 2003-A1, Class A2, 6.000%, 05/25/33 |
812 | |||||||||
153 | Series 2003-A1, Class A5, 7.000%, 04/25/33 |
134 | |||||||||
108 | Series 2003-A1, Class A7, 5.000%, 04/25/18 |
108 | |||||||||
1,717 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
1,614 | |||||||||
Paine Webber CMO Trust, |
|||||||||||
10 | Series H, Class 4, 8.750%, 04/01/18 |
11 | |||||||||
36 | Series P, Class 4, 8.500%, 08/01/19 |
40 | |||||||||
876 | Prime Mortgage Trust, Series 2004-R1, Class A4, PO, 07/27/33 |
595 | |||||||||
RBSSP Resecuritization Trust, |
|||||||||||
8,592 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) |
8,737 | |||||||||
9,511 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) |
9,178 | |||||||||
9,302 | Series 2009-11, Class 1A1, 5.528%, 06/26/34 (e) |
9,293 | |||||||||
11,338 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) |
11,294 | |||||||||
23,310 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) |
23,040 | |||||||||
11,986 | Series 2009-12, Class 3A1, VAR, 0.469%, 12/25/35 (e) |
11,266 | |||||||||
6,036 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) |
5,976 | |||||||||
5,000 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) |
4,938 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
2,681 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 |
2,688 | |||||||||
1,236 | Series 2002-QS16, Class A3, IF, 16.144%, 10/25/17 |
1,260 | |||||||||
4,570 | Series 2002-QS8, Class A5, 6.250%, 06/25/17 |
4,632 | |||||||||
2,862 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 |
2,378 | |||||||||
1,836 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 |
1,539 | |||||||||
1,148 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 |
1,152 | |||||||||
2,181 | Series 2003-QS3, Class A2, IF, 15.997%, 02/25/18 |
2,179 | |||||||||
2,389 | Series 2003-QS3, Class A8, IF, IO, 7.371%, 02/25/18 |
279 | |||||||||
6,244 | Series 2003-QS9, Class A3, IF, IO, 7.321%, 05/25/18 |
805 | |||||||||
3,240 | Series 2003-QS12, Class A2A, IF, IO, 7.371%, 06/25/18 |
431 | |||||||||
986 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 |
118 | |||||||||
7,838 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 |
7,781 | |||||||||
2,326 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 |
2,289 | |||||||||
15,825 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 |
15,007 | |||||||||
10,455 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 |
7,570 | |||||||||
1,687 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
1,551 | |||||||||
3,000 | Series 2005-QA6, Class A32, VAR, 5.643%, 05/25/35 |
1,898 | |||||||||
766 | Series 2006-QS4, Class A7, IF, 20.014%, 04/25/36 |
631 | |||||||||
681 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 |
394 | |||||||||
Residential Asset Securitization Trust, |
|||||||||||
1,973 | Series 2003-A13, Class A3, 5.500%, 01/25/34 |
1,594 | |||||||||
282 | Series 2003-A14, Class A1, 4.750%, 02/25/19 |
274 | |||||||||
5,427 | Series 2003-A8, Class A5, 4.250%, 10/25/18 |
5,067 | |||||||||
964 | Series 2005-A11, Class PO, PO, 10/25/35 |
624 | |||||||||
25,041 | Series 2005-A2, Class A4, IF, IO, 4.821%, 03/25/35 |
2,330 | |||||||||
3,437 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 |
1,628 | |||||||||
Residential Funding Mortgage Securities I, |
|||||||||||
4,674 | Series 2003-S7, Class A17, 4.000%, 05/25/33 |
4,492 | |||||||||
853 | Series 2003-S12, Class 4A5, 4.500%, 12/25/32 |
851 | |||||||||
1,680 | Series 2003-S13, Class A3, 5.500%, 06/25/33 |
1,495 | |||||||||
1,038 | Series 2003-S14, Class A4, PO, 07/25/18 |
859 | |||||||||
3,133 | Series 2003-S16, Class A3, 5.000%, 09/25/18 |
3,145 | |||||||||
4,524 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 |
4,633 | |||||||||
523 | Series 2004-S6, Class 2A6, PO, 06/25/34 |
335 | |||||||||
2,361 | Series 2005-SA4, Class 1A1, VAR, 3.783%, 09/25/35 |
1,807 | |||||||||
205 | Residential Funding Securities LLC, Series 2003-RM2, Class AP-3, PO, 05/25/33 |
140 | |||||||||
467 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1, PO, 12/25/18 |
319 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
60,000 | Station Place Securitization Trust, Series 2009-1, Class A, VAR, 1.729%, 01/25/40 (e) |
60,000 | |||||||||
4,200 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.944%, 06/25/34 |
3,712 | |||||||||
Structured Asset Securities Corp., |
|||||||||||
143 | Series 2002-10H, Class 1AP, PO, 05/25/32 |
104 | |||||||||
1,554 | Series 2002-17, Class B1, VAR, 6.099%, 09/25/32 |
1,379 | |||||||||
1,992 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 |
1,907 | |||||||||
10,209 | Series 2003-16, Class A3, VAR, 0.729%, 06/25/33 |
9,292 | |||||||||
1,509 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 |
1,508 | |||||||||
9,098 | Series 2003-29, Class 1A1, 4.750%, 09/25/18 |
9,226 | |||||||||
1,709 | Series 2003-30, Class 1A1, 5.500%, 10/25/33 |
1,543 | |||||||||
5,051 | Series 2003-30, Class 3A2, VAR, 0.729%, 10/25/33 |
4,696 | |||||||||
1,419 | Series 2003-31A, Class B1, VAR, 3.277%, 10/25/33 (f) (i) |
670 | |||||||||
1,551 | Series 2003-32, Class 1A1, VAR, 5.149%, 11/25/33 |
1,554 | |||||||||
10,760 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
10,478 | |||||||||
12,600 | Series 2003-37A, Class 2A, VAR, 4.992%, 12/25/33 |
12,567 | |||||||||
17,500 | Series 2004-5H, Class A4, 5.540%, 12/25/33 |
17,105 | |||||||||
7,566 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 |
7,527 | |||||||||
4,834 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
4,676 | |||||||||
5,463 | Series 2005-6, Class 5A8, IF, 13.442%, 05/25/35 |
5,307 | |||||||||
2,246 | Series 2005-RF3, Class 1A, VAR, 0.579%, 06/25/35 (e) |
1,685 | |||||||||
3,422 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.549%, 09/25/43 |
2,980 | |||||||||
WaMu
Mortgage Pass-Through Certificates, |
|||||||||||
5,522 | Series 2003-AR7, Class A7, VAR, 2.842%, 08/25/33 |
5,229 | |||||||||
28,249 | Series 2003-AR9, Class 1A6, VAR, 2.833%, 09/25/33 |
27,847 | |||||||||
5,241 | Series 2003-AR9, Class 2A, VAR, 2.883%, 09/25/33 |
5,193 | |||||||||
2,405 | Series 2003-S4, Class 2A10, VAR, 16.833%, 06/25/33 |
2,067 | |||||||||
7,473 | Series 2003-S8, Class A4, 4.500%, 09/25/18 |
7,342 | |||||||||
1,946 | Series 2003-S8, Class A5, 4.500%, 09/25/18 |
1,677 | |||||||||
2,002 | Series 2003-S8, Class A6, 4.500%, 09/25/18 |
1,984 | |||||||||
19,508 | Series 2003-S9, Class A8, 5.250%, 10/25/33 |
17,741 | |||||||||
928 | Series 2003-S9, Class P, PO, 10/25/33 |
579 | |||||||||
1,586 | Series 2003-S10, Class A2, 5.000%, 10/25/18 |
1,609 | |||||||||
1,109 | Series 2003-S10, Class A6, PO, 10/25/18 |
904 | |||||||||
11,429 | Series 2003-S11, Class 2A5, IF, 16.421%, 11/25/33 |
11,092 | |||||||||
3,930 | Series 2003-S13, Class 23A1, VAR, 0.779%, 12/25/18 |
3,702 | |||||||||
7,226 | Series 2004-AR3, Class A1, VAR, 3.120%, 06/25/34 |
6,757 | |||||||||
2,891 | Series 2004-AR3, Class A2, VAR, 3.120%, 06/25/34 |
2,716 | |||||||||
38,023 | Series 2004-AR14, Class A1, VAR, 2.753%, 01/25/35 |
36,335 | |||||||||
3,831 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 |
3,868 | |||||||||
4,147 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 |
4,128 | |||||||||
1,338 | Series 2004-RS2, Class A4, 5.000%, 11/25/33 |
942 | |||||||||
3,099 | Series 2004-S1, Class 1A3, VAR, 0.629%, 03/25/34 |
3,010 | |||||||||
477 | Series 2004-S3, Class 2A3, IF, 18.208%, 07/25/34 |
522 | |||||||||
2,000 | Series 2006-AR8, Class 1A2, VAR, 5.845%, 08/25/46 |
1,333 | |||||||||
755 | Series 2006-AR10, Class 2P, VAR, 09/25/36 |
385 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|||||||||||
7,484 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 |
6,588 | |||||||||
525 | Series 2005-1, Class CP, PO, 03/25/35 |
335 | |||||||||
28,728 | Series 2005-2, Class 1A4, IF, IO, 4.821%, 04/25/35 |
2,779 | |||||||||
7,885 | Series 2005-2, Class 2A3, IF, IO, 4.771%, 04/25/35 |
712 | |||||||||
8,000 | Series 2005-4, Class CB7, 5.500%, 06/25/35 |
6,413 | |||||||||
9,384 | Series 2005-4, Class CX, IO, 5.500%, 06/25/35 |
1,331 | |||||||||
2,493 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 |
2,022 | |||||||||
1,130 | Series 2006-1, Class 3A2, 5.750%, 02/25/36 |
895 | |||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, |
|||||||||||
197 | Series 2002-MS12, Class A, 6.500%, 05/25/32 |
197 | |||||||||
1,904 | Series 2003-MS5, Class 1A4, VAR, 0.729%, 03/25/18 |
1,830 | |||||||||
201 | Series 2003-MS7, Class P, PO, 03/25/33 |
124 | |||||||||
Wells Fargo Alternative Loan Trust, |
|||||||||||
527 | Series 2003-1, Class APO, PO, 09/25/33 |
356 | |||||||||
1,434 | Series 2007-PA3, Class 1A2, 5.750%, 07/25/37 |
706 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
1,197 | Series 2003-8, Class A9, 4.500%, 08/25/18 |
1,199 | |||||||||
3,360 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 |
3,397 | |||||||||
1,329 | Series 2003-11, Class 1APO, PO, 10/25/18 |
952 | |||||||||
3,625 | Series 2003-13, Class A7, 4.500%, 11/25/18 |
3,628 | |||||||||
22,050 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
22,360 | |||||||||
495 | Series 2003-15, Class APO, PO, 12/25/18 |
346 | |||||||||
1,426 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 |
1,438 | |||||||||
2,328 | Series 2003-J, Class 2A5, VAR, 4.437%, 10/25/33 |
2,275 | |||||||||
26,669 | Series 2003-K, Class 1A1, VAR, 4.473%, 11/25/33 |
26,592 | |||||||||
1,022 | Series 2003-K, Class 1A2, VAR, 4.473%, 11/25/33 |
1,019 | |||||||||
1,940 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 |
1,961 | |||||||||
2,276 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
2,339 | |||||||||
2,643 | Series 2004-8, Class APO, PO, 08/25/19 |
1,834 | |||||||||
8,183 | Series 2004-B, Class A1, VAR, 4.892%, 02/25/34 |
8,075 | |||||||||
4,888 | Series 2004-BB, Class A4, VAR, 2.906%, 01/25/35 |
4,762 | |||||||||
5,250 | Series 2004-E, Class A8, VAR, 4.858%, 05/25/34 |
5,342 | |||||||||
11,004 | Series 2004-EE, Class 2A1, VAR, 3.091%, 12/25/34 |
10,770 | |||||||||
7,486 | Series 2004-EE, Class 2A2, VAR, 3.091%, 12/25/34 |
7,194 | |||||||||
11,155 | Series 2004-EE, Class 3A1, VAR, 3.901%, 12/25/34 |
11,170 | |||||||||
3,642 | Series 2004-EE, Class 3A2, VAR, 3.901%, 12/25/34 |
3,652 | |||||||||
12,382 | Series 2004-I, Class 1A1, VAR, 3.398%, 07/25/34 |
12,113 | |||||||||
12,015 | Series 2004-P, Class 2A1, VAR, 3.063%, 09/25/34 |
11,342 | |||||||||
7,191 | Series 2004-V, Class 1A1, VAR, 3.170%, 10/25/34 |
7,074 | |||||||||
9,224 | Series 2004-V, Class 1A2, VAR, 3.170%, 10/25/34 |
8,859 | |||||||||
9,655 | Series 2005-13, Class A1, 5.000%, 11/25/20 |
9,840 | |||||||||
1,425 | Series 2005-14, Class 2APO, PO, 12/25/35 |
807 | |||||||||
6,289 | Series 2005-AR8, Class 2A1, VAR, 3.206%, 06/25/35 |
5,870 | |||||||||
517 | Series 2006-5, Class 1A1, 5.250%, 04/25/36 |
515 | |||||||||
1,550 | Series 2007-7, Class A7, 6.000%, 06/25/37 |
1,252 | |||||||||
11,000 | Series 2007-9, Class 1A8, 5.500%, 07/25/37 |
10,580 | |||||||||
10,165 | Series 2007-11, Class A14, 6.000%, 08/25/37 |
8,220 | |||||||||
1,872,625 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $5,223,455) |
5,417,051 | ||||||||||
Commercial Mortgage-Backed Securities 1.4% |
|||||||||||
Banc
of America Commercial Mortgage, Inc., |
|||||||||||
5,000 | Series 2005-3, Class A4, 4.668%, 07/10/43 |
4,950 | |||||||||
1,950 | Series 2005-3, Class AM, 4.727%, 07/10/43 |
1,731 | |||||||||
2,500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 |
2,562 | |||||||||
9,700 | Series 2005-6, Class ASB, VAR, 5.178%, 09/10/47 |
10,165 | |||||||||
2,855 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
2,904 | |||||||||
11,500 | Series 2006-4, Class A4, 5.634%, 07/10/46 |
11,532 | |||||||||
9,500 | Banc
of America Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.621%, 06/24/50 (e) |
9,423 | |||||||||
Bear
Stearns Commercial Mortgage Securities, |
|||||||||||
4,150 | Series 2005-PWR9, Class AAB, 4.804%, 09/11/42 |
4,300 | |||||||||
8,560 | Series 2006-PW11, Class A4, VAR, 5.455%, 03/11/39 |
8,885 | |||||||||
1,666 | Series 2006-PW14, Class A1, 5.044%, 12/11/38 |
1,710 | |||||||||
2,700 | Series 2006-T24, Class A4, 5.537%, 10/12/41 |
2,787 | |||||||||
2,476 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 |
2,537 | |||||||||
6,300 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43 |
6,444 | |||||||||
18,326 | Credit Suisse Mortgage Capital Certificates, Series 2009-ASG, Class A, VAR, 1.481%, 11/28/39 (e) |
18,326 | |||||||||
11,000 | First Union National Bank Commercial Mortgage, Series 2000-C2, Class B, VAR, 7.281%, 10/15/32 |
11,270 | |||||||||
GMAC
Commercial Mortgage Securities, Inc., |
|||||||||||
650 | Series 2003-C1, Class A1, 3.337%, 05/10/36 |
656 | |||||||||
14,000 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
14,203 | |||||||||
GS
Mortgage Securities Corp. II, |
|||||||||||
7,300 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 |
7,174 | |||||||||
5,500 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) |
4,846 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Commercial Mortgage-Backed Securities Continued |
|||||||||||
1,600 | JP
Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4, 5.399%, 05/15/45 |
1,589 | |||||||||
5,000 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
5,114 | |||||||||
Merrill Lynch Mortgage Trust, |
|||||||||||
2,500 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 |
2,565 | |||||||||
6,950 | Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43 |
7,179 | |||||||||
2,200 | Series 2006-C1, Class A4, VAR, 5.656%, 05/12/39 |
2,257 | |||||||||
4,950 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR, 5.416%, 02/12/39 |
5,052 | |||||||||
Morgan Stanley Capital I, |
|||||||||||
1,696 | Series 2006-IQ12, Class A1, 5.257%, 12/15/43 |
1,742 | |||||||||
991 | Series 2006-T23, Class A1, 5.682%, 08/12/41 |
1,020 | |||||||||
25 | Morgan Stanley Dean Witter Capital I, Series 2002-TOP7, Class A2, 5.980%, 01/15/39 |
27 | |||||||||
27,950 | TIAA
Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.072%, 08/15/39 |
30,222 | |||||||||
9,705 | Wachovia Bank Commercial Mortgage Trust, Series 2004-C15, Class A2, 4.039%, 10/15/41 |
9,804 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $177,667) |
192,976 | ||||||||||
Corporate Bonds 11.8% |
|||||||||||
Consumer Discretionary 0.6% |
|||||||||||
Hotels, Restaurants & Leisure 0.0% (g) |
|||||||||||
2,025 | McDonalds Corp., 4.300%, 03/01/13 |
2,173 | |||||||||
Media 0.5% |
|||||||||||
Comcast Cable Communications Holdings, Inc., |
|||||||||||
6,417 | 8.375%, 03/15/13 |
7,450 | |||||||||
1,250 | 9.455%, 11/15/22 |
1,672 | |||||||||
2,200 | Comcast Cable Communications LLC, 7.125%, 06/15/13 |
2,497 | |||||||||
7,039 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 |
8,020 | |||||||||
Comcast Corp., |
|||||||||||
2,574 | 5.500%, 03/15/11 |
2,689 | |||||||||
1,300 | 5.900%, 03/15/16 |
1,417 | |||||||||
1,000 | 6.500%, 01/15/17 |
1,118 | |||||||||
Cox
Communications, Inc., |
|||||||||||
2,600 | 5.450%, 12/15/14 |
2,853 | |||||||||
1,740 | 7.750%, 11/01/10 |
1,811 | |||||||||
3,365 | Historic TW, Inc., 9.150%, 02/01/23 |
4,138 | |||||||||
News
America Holdings, Inc., |
|||||||||||
1,100 | 8.000%, 10/17/16 |
1,313 | |||||||||
1,050 | 8.875%, 04/26/23 |
1,351 | |||||||||
News
America, Inc., |
|||||||||||
1,500 | 6.900%, 08/15/39 (e) |
1,655 | |||||||||
900 | 7.250%, 05/18/18 |
1,044 | |||||||||
4,400 | 7.300%, 04/30/28 |
4,876 | |||||||||
1,337 | TCI
Communications, Inc., 7.125%, 02/15/28 |
1,441 | |||||||||
Thomson Reuters Corp., (Canada), |
|||||||||||
2,150 | 4.700%, 10/15/19 |
2,176 | |||||||||
1,125 | 5.950%, 07/15/13 |
1,253 | |||||||||
Time
Warner Cable, Inc., |
|||||||||||
1,700 | 5.850%, 05/01/17 |
1,828 | |||||||||
2,150 | 6.750%, 07/01/18 |
2,404 | |||||||||
2,000 | 6.750%, 06/15/39 |
2,125 | |||||||||
2,450 | 7.300%, 07/01/38 |
2,779 | |||||||||
650 | 8.250%, 02/14/14 |
772 | |||||||||
2,150 | 8.250%, 04/01/19 |
2,612 | |||||||||
Time
Warner Entertainment Co. LP, |
|||||||||||
2,020 | 8.375%, 03/15/23 |
2,468 | |||||||||
2,165 | 10.150%, 05/01/12 |
2,513 | |||||||||
255 | Time
Warner, Inc., 7.700%, 05/01/32 |
300 | |||||||||
3,190 | Viacom, Inc., 6.250%, 04/30/16 |
3,565 | |||||||||
70,140 | |||||||||||
Multiline Retail 0.0% (g) |
|||||||||||
1,000 | Kohls Corp., 6.250%, 12/15/17 |
1,125 | |||||||||
Target Corp., |
|||||||||||
2,100 | 6.000%, 01/15/18 |
2,356 | |||||||||
1,900 | 7.000%, 01/15/38 |
2,205 | |||||||||
5,686 | |||||||||||
Specialty Retail 0.1% |
|||||||||||
4,600 | Home
Depot, Inc., 5.400%, 03/01/16 |
4,934 | |||||||||
3,500 | Lowes Cos., Inc., 7.110%, 05/15/37 |
4,211 | |||||||||
1,775 | Staples, Inc., 9.750%, 01/15/14 |
2,171 | |||||||||
11,316 | |||||||||||
Total Consumer Discretionary |
89,315 | ||||||||||
Consumer Staples 0.5% |
|||||||||||
Beverages 0.2% |
|||||||||||
Anheuser-Busch Cos., Inc., |
|||||||||||
1,000 | 5.500%, 01/15/18 |
1,068 | |||||||||
1,100 | 5.750%, 04/01/36 |
1,081 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., |
|||||||||||
800 | 7.200%, 01/15/14 (e) |
918 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Beverages Continued |
|||||||||||
2,350 | 7.750%, 01/15/19 (e) |
2,829 | |||||||||
Coca-Cola Co. (The), |
|||||||||||
1,550 | 3.625%, 03/15/14 |
1,629 | |||||||||
1,550 | 4.875%, 03/15/19 |
1,632 | |||||||||
1,650 | Coca-Cola Enterprises, Inc., 8.500%, 02/01/12 |
1,876 | |||||||||
2,780 | Diageo Capital plc, (United Kingdom), 7.375%, 01/15/14 |
3,274 | |||||||||
Diageo Finance BV, (Netherlands), |
|||||||||||
2,150 | 5.300%, 10/28/15 |
2,393 | |||||||||
3,600 | 5.500%, 04/01/13 |
3,948 | |||||||||
3,975 | FBG
Finance Ltd., (Australia), 5.125%, 06/15/15 (e) |
4,226 | |||||||||
1,075 | PepsiCo, Inc., 7.900%, 11/01/18 |
1,344 | |||||||||
SABMiller plc, (United Kingdom), |
|||||||||||
1,900 | 5.500%, 08/15/13 (e) |
2,053 | |||||||||
850 | 6.500%, 07/01/16 (e) |
950 | |||||||||
29,221 | |||||||||||
Food & Staples Retailing 0.0% (g) |
|||||||||||
2,225 | Kroger Co. (The), 7.500%, 01/15/14 |
2,590 | |||||||||
Wal-Mart Stores, Inc., |
|||||||||||
1,820 | 4.550%, 05/01/13 |
1,973 | |||||||||
1,200 | 5.250%, 09/01/35 |
1,170 | |||||||||
1,050 | 6.200%, 04/15/38 |
1,150 | |||||||||
700 | 7.550%, 02/15/30 |
877 | |||||||||
7,760 | |||||||||||
Food Products 0.3% |
|||||||||||
Bunge Ltd. Finance Corp., |
|||||||||||
1,025 | 5.875%, 05/15/13 |
1,090 | |||||||||
4,760 | 8.500%, 06/15/19 |
5,546 | |||||||||
605 | Bunge N.A. Finance LP, 5.900%, 04/01/17 |
625 | |||||||||
Cargill, Inc., |
|||||||||||
1,650 | 5.200%, 01/22/13 (e) |
1,766 | |||||||||
900 | 6.375%, 06/01/12 (e) |
984 | |||||||||
2,850 | 7.350%, 03/06/19 (e) |
3,333 | |||||||||
1,810 | General Mills, Inc., 6.000%, 02/15/12 |
1,972 | |||||||||
Kellogg Co., |
|||||||||||
1,500 | 4.250%, 03/06/13 |
1,597 | |||||||||
2,600 | 5.125%, 12/03/12 |
2,825 | |||||||||
Kraft Foods, Inc., |
|||||||||||
3,023 | 5.375%, 02/10/20 |
3,127 | |||||||||
4,250 | 6.125%, 02/01/18 |
4,662 | |||||||||
3,605 | 6.500%, 08/11/17 |
4,066 | |||||||||
1,000 | 6.750%, 02/19/14 |
1,136 | |||||||||
1,600 | 6.875%, 02/01/38 |
1,743 | |||||||||
2,700 | 6.875%, 01/26/39 |
2,943 | |||||||||
37,415 | |||||||||||
Household Products 0.0% (g) |
|||||||||||
500 | Kimberly-Clark Corp., 7.500%, 11/01/18 |
617 | |||||||||
2,391 | Procter & Gamble - ESOP, 9.360%, 01/01/21 |
2,998 | |||||||||
1,000 | Procter & Gamble Co., 5.500%, 02/01/34 |
1,020 | |||||||||
4,635 | |||||||||||
Total Consumer Staples |
79,031 | ||||||||||
Energy 0.7% |
|||||||||||
Energy Equipment & Services 0.1% |
|||||||||||
Halliburton Co., |
|||||||||||
750 | 6.150%, 09/15/19 |
845 | |||||||||
5,050 | 7.450%, 09/15/39 |
6,288 | |||||||||
7,133 | |||||||||||
Oil, Gas & Consumable Fuels 0.6% |
|||||||||||
455 | Alberta Energy Co. Ltd., (Canada), 7.375%, 11/01/31 |
519 | |||||||||
Anadarko Petroleum Corp., |
|||||||||||
405 | 5.750%, 06/15/14 |
444 | |||||||||
8,500 | 7.625%, 03/15/14 |
9,863 | |||||||||
1,100 | 8.700%, 03/15/19 |
1,383 | |||||||||
BP
Capital Markets plc, (United Kingdom), |
|||||||||||
1,380 | 3.125%, 03/10/12 |
1,433 | |||||||||
9,100 | 5.250%, 11/07/13 |
10,054 | |||||||||
Canadian Natural Resources Ltd., (Canada), |
|||||||||||
400 | 5.900%, 02/01/18 |
432 | |||||||||
2,000 | 6.750%, 02/01/39 |
2,199 | |||||||||
2,495 | Cenovus Energy, Inc., (Canada), 5.700%, 10/15/19 (e) |
2,632 | |||||||||
6,500 | Chevron Corp., 4.950%, 03/03/19 |
6,877 | |||||||||
1,040 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 |
1,220 | |||||||||
ConocoPhillips, |
|||||||||||
1,500 | 5.200%, 05/15/18 |
1,592 | |||||||||
2,000 | 5.750%, 02/01/19 |
2,196 | |||||||||
1,450 | 6.000%, 01/15/20 |
1,621 | |||||||||
1,450 | 6.500%, 02/01/39 |
1,629 | |||||||||
4,394 | 8.750%, 05/25/10 |
4,480 | |||||||||
900 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 |
977 | |||||||||
2,750 | EnCana Corp., (Canada), 6.500%, 05/15/19 |
3,107 | |||||||||
1,800 | EOG
Resources, Inc., 6.875%, 10/01/18 |
2,102 | |||||||||
1,155 | Husky Energy, Inc., (Canada), 6.150%, 06/15/19 |
1,243 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Oil, Gas & Consumable Fuels Continued |
|||||||||||
1,230 | Kerr-McGee Corp., 6.950%, 07/01/24 |
1,393 | |||||||||
1,980 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 |
2,238 | |||||||||
Marathon Oil Corp., |
|||||||||||
3,100 | 5.900%, 03/15/18 |
3,276 | |||||||||
2,800 | 6.000%, 10/01/17 |
2,986 | |||||||||
1,150 | PC
Financial Partnership, 5.000%, 11/15/14 |
1,227 | |||||||||
3,200 | Petro-Canada, (Canada), 6.800%, 05/15/38 |
3,518 | |||||||||
2,045 | Pioneer Natural Resources Co., 5.875%, 07/15/16 |
1,959 | |||||||||
Shell International Finance BV, (Netherlands), |
|||||||||||
3,000 | 4.300%, 09/22/19 |
2,981 | |||||||||
6,000 | 6.375%, 12/15/38 |
6,697 | |||||||||
900 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 |
994 | |||||||||
475 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 |
566 | |||||||||
300 | Tosco Corp., 7.800%, 01/01/27 |
362 | |||||||||
XTO
Energy, Inc., |
|||||||||||
3,000 | 4.625%, 06/15/13 |
3,235 | |||||||||
2,800 | 5.750%, 12/15/13 |
3,132 | |||||||||
90,567 | |||||||||||
Total Energy |
97,700 | ||||||||||
Financials 6.6% |
|||||||||||
Capital Markets 1.6% |
|||||||||||
Bank
of New York Mellon Corp. (The), |
|||||||||||
3,750 | 4.600%, 01/15/20 |
3,796 | |||||||||
1,000 | 5.125%, 08/27/13 |
1,097 | |||||||||
Bear
Stearns Cos., LLC (The), |
|||||||||||
1,000 | 5.700%, 11/15/14 (y) |
1,099 | |||||||||
1,400 | 7.250%, 02/01/18 (y) |
1,624 | |||||||||
BlackRock, Inc., |
|||||||||||
3,245 | 3.500%, 12/10/14 |
3,295 | |||||||||
9,294 | 5.000%, 12/10/19 |
9,356 | |||||||||
Credit Suisse USA, Inc., |
|||||||||||
1,200 | 4.875%, 01/15/15 |
1,282 | |||||||||
1,803 | 5.125%, 01/15/14 (c) |
1,942 | |||||||||
15,099 | 6.125%, 11/15/11 |
16,299 | |||||||||
2,500 | FMR
LLC, 6.450%, 11/15/39 (e) |
2,414 | |||||||||
2,095 | Goldman Sachs Capital I, 6.345%, 02/15/34 |
1,874 | |||||||||
1,000 | Goldman Sachs Group LP, 8.000%, 03/01/13 (e) |
1,120 | |||||||||
Goldman Sachs Group, Inc. (The), |
|||||||||||
600 | 3.625%, 08/01/12 |
622 | |||||||||
2,694 | 4.750%, 07/15/13 |
2,845 | |||||||||
3,185 | 5.150%, 01/15/14 |
3,401 | |||||||||
3,210 | 5.250%, 10/15/13 |
3,459 | |||||||||
10 | 5.700%, 09/01/12 |
11 | |||||||||
12,900 | 5.950%, 01/18/18 |
13,539 | |||||||||
650 | 6.150%, 04/01/18 |
687 | |||||||||
7,470 | 6.250%, 09/01/17 |
8,042 | |||||||||
5,056 | 6.600%, 01/15/12 |
5,487 | |||||||||
1,600 | 6.750%, 10/01/37 |
1,551 | |||||||||
10,716 | 6.875%, 01/15/11 |
11,261 | |||||||||
6,280 | 7.500%, 02/15/19 |
7,187 | |||||||||
Jefferies Group, Inc., |
|||||||||||
5,600 | 6.450%, 06/08/27 |
4,961 | |||||||||
2,750 | 7.750%, 03/15/12 |
2,977 | |||||||||
1,125 | 8.500%, 07/15/19 |
1,251 | |||||||||
Lehman Brothers Holdings, Inc., |
|||||||||||
151 | 3.950%, 11/10/09 (d) |
34 | |||||||||
3,480 | 4.800%, 03/13/14 (d) |
783 | |||||||||
800 | 5.750%, 05/17/13 (d) |
180 | |||||||||
3,000 | 6.000%, 07/19/12 (d) |
675 | |||||||||
3,962 | 6.625%, 01/18/12 (d) |
892 | |||||||||
450 | 6.750%, 12/28/17 (d) |
1 | |||||||||
219 | 7.875%, 11/01/09 (d) |
49 | |||||||||
Merrill Lynch & Co., Inc., |
|||||||||||
500 | 4.790%, 08/04/10 |
508 | |||||||||
700 | 5.000%, 01/15/15 |
718 | |||||||||
3,723 | 5.450%, 07/15/14 |
3,888 | |||||||||
1,000 | 5.700%, 05/02/17 |
983 | |||||||||
275 | 6.050%, 08/15/12 |
295 | |||||||||
6,654 | 6.150%, 04/25/13 |
7,193 | |||||||||
3,412 | 6.400%, 08/28/17 |
3,552 | |||||||||
6,348 | 6.875%, 04/25/18 |
6,689 | |||||||||
Morgan Stanley, |
|||||||||||
4,263 | 4.200%, 11/20/14 |
4,276 | |||||||||
1,485 | 4.250%, 05/15/10 |
1,495 | |||||||||
2,711 | 4.750%, 04/01/14 |
2,756 | |||||||||
1,000 | 5.300%, 03/01/13 |
1,064 | |||||||||
5,020 | 5.500%, 01/26/20 |
4,918 | |||||||||
2,900 | 5.625%, 09/23/19 |
2,875 | |||||||||
1,300 | 5.750%, 08/31/12 |
1,401 | |||||||||
5,800 | 6.000%, 05/13/14 |
6,273 | |||||||||
3,294 | 6.000%, 04/28/15 |
3,519 | |||||||||
1,070 | 6.250%, 08/28/17 |
1,129 | |||||||||
8,078 | 6.600%, 04/01/12 |
8,788 | |||||||||
2,225 | 6.625%, 04/01/18 |
2,367 | |||||||||
12,306 | 6.750%, 04/15/11 |
13,001 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Capital Markets Continued |
|||||||||||
2,000 | 7.300%, 05/13/19 |
2,211 | |||||||||
504 | 8.000%, 06/15/10 |
515 | |||||||||
6,114 | Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20 |
6,238 | |||||||||
887 | Northern Trust Corp., 5.500%, 08/15/13 |
976 | |||||||||
State Street Corp., |
|||||||||||
1,250 | 4.300%, 05/30/14 |
1,315 | |||||||||
4,297 | 7.650%, 06/15/10 |
4,378 | |||||||||
UBS
AG, (Switzerland), |
|||||||||||
10,000 | 3.875%, 01/15/15 |
10,002 | |||||||||
2,400 | 5.750%, 04/25/18 |
2,476 | |||||||||
1,025 | 5.875%, 12/20/17 |
1,068 | |||||||||
221,960 | |||||||||||
Commercial Banks 1.5% |
|||||||||||
2,930 | ANZ
National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
2,945 | |||||||||
3,441 | Bank
of Nova Scotia, (Canada), 3.400%, 01/22/15 |
3,512 | |||||||||
4,367 | Bank
of Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
4,480 | |||||||||
Barclays Bank plc, (United Kingdom), |
|||||||||||
9,400 | 2.500%, 01/23/13 |
9,394 | |||||||||
1,100 | 5.000%, 09/22/16 |
1,123 | |||||||||
4,500 | 5.125%, 01/08/20 |
4,418 | |||||||||
5,500 | 5.200%, 07/10/14 |
5,884 | |||||||||
3,700 | 6.050%, 12/04/17 (e) |
3,796 | |||||||||
500 | 6.750%, 05/22/19 |
552 | |||||||||
BB&T Corp., |
|||||||||||
2,350 | 3.375%, 09/25/13 |
2,410 | |||||||||
3,750 | 3.850%, 07/27/12 |
3,924 | |||||||||
2,750 | 4.900%, 06/30/17 |
2,750 | |||||||||
1,650 | 6.850%, 04/30/19 |
1,874 | |||||||||
Branch Banking & Trust Co., |
|||||||||||
598 | 4.875%, 01/15/13 |
636 | |||||||||
4,650 | 5.625%, 09/15/16 |
4,965 | |||||||||
1,500 | Cadets Trust, 4.800%, 07/15/13 (e) |
1,546 | |||||||||
Credit Suisse, (Switzerland), |
|||||||||||
2,700 | 3.450%, 07/02/12 |
2,798 | |||||||||
2,995 | 5.000%, 05/15/13 |
3,222 | |||||||||
2,000 | 5.500%, 05/01/14 |
2,185 | |||||||||
3,520 | Deutsche Bank AG, (Germany), 3.875%, 08/18/14 |
3,626 | |||||||||
1,450 | Fifth Third Bancorp, 5.450%, 01/15/17 |
1,418 | |||||||||
1,750 | Huntington National Bank (The), 8.000%, 04/01/10 |
1,752 | |||||||||
3,150 | KeyBank N.A., 5.500%, 09/17/12 |
3,347 | |||||||||
1,650 | KeyCorp, 6.500%, 05/14/13 |
1,759 | |||||||||
4,500 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
4,780 | |||||||||
2,750 | Marshall & Ilsley Corp., 5.350%, 04/01/11 (c) |
2,754 | |||||||||
National Australia Bank Ltd., (Australia), |
|||||||||||
18,650 | 2.500%, 01/08/13 (e) |
18,716 | |||||||||
3,455 | 3.750%, 03/02/15 (e) |
3,484 | |||||||||
4,000 | National City Bank, 5.800%, 06/07/17 |
4,200 | |||||||||
PNC
Funding Corp., |
|||||||||||
5,700 | 5.125%, 02/08/20 |
5,782 | |||||||||
2,400 | 5.250%, 11/15/15 |
2,526 | |||||||||
1,200 | Regions Financial Corp., 7.375%, 12/10/37 |
1,037 | |||||||||
SunTrust Banks, Inc., |
|||||||||||
4,015 | 5.250%, 11/05/12 (c) |
4,242 | |||||||||
1,000 | 6.000%, 09/11/17 |
1,015 | |||||||||
2,021 | 6.375%, 04/01/11 |
2,116 | |||||||||
505 | 7.250%, 03/15/18 |
535 | |||||||||
U.S.
Bancorp, |
|||||||||||
4,299 | 2.875%, 11/20/14 |
4,301 | |||||||||
1,400 | 7.500%, 06/01/26 |
1,535 | |||||||||
690 | U.S.
Bank N.A., 6.375%, 08/01/11 |
740 | |||||||||
Wachovia Bank N.A., |
|||||||||||
2,700 | 6.600%, 01/15/38 |
2,774 | |||||||||
1,862 | 7.800%, 08/18/10 |
1,921 | |||||||||
4,430 | VAR,
0.584%, 03/15/16 |
4,117 | |||||||||
Wachovia Corp., |
|||||||||||
2,130 | 4.875%, 02/15/14 |
2,219 | |||||||||
3,900 | 5.500%, 05/01/13 |
4,213 | |||||||||
3,050 | 5.750%, 06/15/17 |
3,220 | |||||||||
9,350 | 5.750%, 02/01/18 |
9,863 | |||||||||
Wells Fargo & Co., |
|||||||||||
16,700 | 3.750%, 10/01/14 |
16,901 | |||||||||
8,185 | 5.625%, 12/11/17 |
8,624 | |||||||||
Wells Fargo Bank N.A., |
|||||||||||
970 | 4.750%, 02/09/15 |
1,007 | |||||||||
4,000 | 5.750%, 05/16/16 |
4,190 | |||||||||
319 | 6.450%, 02/01/11 |
337 | |||||||||
5,328 | 7.550%, 06/21/10 |
5,439 | |||||||||
Westpac Banking Corp., (Australia), |
|||||||||||
4,800 | 4.200%, 02/27/15 |
4,952 | |||||||||
10,711 | 4.875%, 11/19/19 |
10,573 | |||||||||
212,429 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Consumer Finance 0.4% |
|||||||||||
American Express Credit Corp., |
|||||||||||
4,100 | 5.875%, 05/02/13 |
4,445 | |||||||||
5,650 | 7.300%, 08/20/13 |
6,379 | |||||||||
1,479 | American General Finance Corp., 5.375%, 10/01/12 |
1,260 | |||||||||
517 | Capital One Bank USA N.A., 5.750%, 09/15/10 |
529 | |||||||||
Capital One Financial Corp., |
|||||||||||
1,175 | 5.700%, 09/15/11 |
1,235 | |||||||||
3,105 | 6.250%, 11/15/13 |
3,375 | |||||||||
5,300 | 6.750%, 09/15/17 |
5,818 | |||||||||
2,970 | 7.375%, 05/23/14 |
3,405 | |||||||||
HSBC
Finance Corp., |
|||||||||||
311 | 4.750%, 07/15/13 |
328 | |||||||||
2,000 | 5.000%, 06/30/15 |
2,098 | |||||||||
1,600 | 5.250%, 01/15/14 |
1,697 | |||||||||
200 | 5.500%, 01/19/16 |
211 | |||||||||
2,251 | 6.375%, 10/15/11 |
2,400 | |||||||||
1,078 | 6.375%, 11/27/12 |
1,188 | |||||||||
4,500 | 7.000%, 05/15/12 |
4,929 | |||||||||
308 | 7.350%, 11/27/32 |
315 | |||||||||
2,752 | 8.000%, 07/15/10 |
2,824 | |||||||||
1,700 | VAR,
0.501%, 01/15/14 |
1,632 | |||||||||
John
Deere Capital Corp., |
|||||||||||
450 | 4.500%, 04/03/13 |
481 | |||||||||
4,750 | 5.250%, 10/01/12 |
5,178 | |||||||||
2,437 | SLM
Corp., 5.375%, 01/15/13 |
2,337 | |||||||||
1,750 | Washington Mutual Finance Corp., 6.875%, 05/15/11 |
1,844 | |||||||||
53,908 | |||||||||||
Diversified Financial Services 1.9% |
|||||||||||
9,250 | Associates Corp. of North America, 6.950%, 11/01/18 |
9,690 | |||||||||
18,700 | BA
Covered Bond Issuer, 5.500%, 06/14/12 (e) |
19,974 | |||||||||
Bank
of America Corp., |
|||||||||||
5,500 | 4.900%, 05/01/13 |
5,777 | |||||||||
1,000 | 5.625%, 10/14/16 |
1,022 | |||||||||
2,000 | 5.650%, 05/01/18 |
1,995 | |||||||||
5,000 | 6.500%, 08/01/16 |
5,375 | |||||||||
3,000 | 7.375%, 05/15/14 |
3,373 | |||||||||
3,079 | 7.400%, 01/15/11 |
3,242 | |||||||||
1,100 | 7.625%, 06/01/19 |
1,244 | |||||||||
7,420 | Bank
of America N.A., 5.300%, 03/15/17 |
7,300 | |||||||||
BHP
Billiton Finance USA Ltd., (Australia), |
|||||||||||
1,600 | 5.400%, 03/29/17 |
1,742 | |||||||||
1,150 | 5.500%, 04/01/14 |
1,272 | |||||||||
2,750 | 6.500%, 04/01/19 |
3,162 | |||||||||
Caterpillar Financial Services Corp., |
|||||||||||
1,850 | 4.850%, 12/07/12 |
2,003 | |||||||||
1,900 | 4.900%, 08/15/13 |
2,057 | |||||||||
1,000 | 5.450%, 04/15/18 |
1,066 | |||||||||
900 | 5.500%, 03/15/16 |
990 | |||||||||
4,800 | 6.200%, 09/30/13 |
5,435 | |||||||||
3,500 | 7.050%, 10/01/18 |
4,086 | |||||||||
600 | 7.150%, 02/15/19 |
709 | |||||||||
Citigroup, Inc., |
|||||||||||
1,500 | 4.700%, 05/29/15 |
1,475 | |||||||||
2,400 | 5.500%, 04/11/13 |
2,512 | |||||||||
6,000 | 5.500%, 10/15/14 |
6,177 | |||||||||
1,000 | 5.500%, 02/15/17 |
976 | |||||||||
5,286 | 5.625%, 08/27/12 |
5,566 | |||||||||
13,500 | 6.000%, 08/15/17 |
13,598 | |||||||||
2,250 | 6.125%, 11/21/17 |
2,276 | |||||||||
3,675 | 6.375%, 08/12/14 |
3,900 | |||||||||
2,850 | 8.125%, 07/15/39 |
3,223 | |||||||||
3,975 | 8.500%, 05/22/19 |
4,587 | |||||||||
CME
Group, Inc., |
|||||||||||
7,200 | 5.400%, 08/01/13 |
7,923 | |||||||||
700 | 5.750%, 02/15/14 |
774 | |||||||||
1,225 | ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16 |
1,369 | |||||||||
400 | Diageo Investment Corp., 9.000%, 08/15/11 |
444 | |||||||||
General Electric Capital Corp., |
|||||||||||
2,000 | 4.375%, 11/21/11 |
2,092 | |||||||||
1,305 | 4.375%, 09/21/15 |
1,339 | |||||||||
16,000 | 5.250%, 10/19/12 |
17,092 | |||||||||
1,500 | 5.400%, 02/15/17 |
1,553 | |||||||||
2,000 | 5.500%, 06/04/14 |
2,137 | |||||||||
10,250 | 5.500%, 01/08/20 |
10,308 | |||||||||
4,400 | 5.625%, 09/15/17 |
4,606 | |||||||||
18,000 | 5.625%, 05/01/18 |
18,509 | |||||||||
24,603 | 5.875%, 02/15/12 |
26,477 | |||||||||
1,900 | 5.875%, 01/14/38 |
1,764 | |||||||||
4,700 | 5.900%, 05/13/14 |
5,157 | |||||||||
24,792 | 6.000%, 06/15/12 |
26,813 | |||||||||
4,941 | 6.750%, 03/15/32 |
5,085 | |||||||||
900 | 6.875%, 01/10/39 |
940 | |||||||||
2,625 | VAR,
0.369%, 04/10/12 |
2,594 | |||||||||
International Lease Finance Corp., |
|||||||||||
987 | 5.875%, 05/01/13 |
848 | |||||||||
5,300 | 6.375%, 03/25/13 |
4,668 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Diversified Financial Services Continued |
|||||||||||
National Rural Utilities Cooperative Finance Corp., |
|||||||||||
530 | 2.625%, 09/16/12 |
543 | |||||||||
3,550 | 4.750%, 03/01/14 |
3,811 | |||||||||
605 | 10.375%, 11/01/18 |
815 | |||||||||
2,400 | Textron Financial Corp., 5.400%, 04/28/13 |
2,439 | |||||||||
275,904 | |||||||||||
Insurance 1.0% |
|||||||||||
2,500 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 |
2,725 | |||||||||
American International Group, Inc., |
|||||||||||
3,284 | 4.250%, 05/15/13 |
3,036 | |||||||||
2,800 | 5.450%, 05/18/17 |
2,275 | |||||||||
1,425 | 5.600%, 10/18/16 |
1,180 | |||||||||
5,641 | ASIF
Global Financing XIX, 4.900%, 01/17/13 (e) |
5,531 | |||||||||
Berkshire Hathaway Finance Corp., |
|||||||||||
3,500 | 4.000%, 04/15/12 |
3,688 | |||||||||
3,800 | 4.600%, 05/15/13 |
4,071 | |||||||||
750 | 5.000%, 08/15/13 |
817 | |||||||||
6,200 | 5.400%, 05/15/18 |
6,626 | |||||||||
1,130 | Chubb Corp. (The), 5.750%, 05/15/18 |
1,232 | |||||||||
4,800 | Genworth Global Funding Trusts, 5.200%, 10/08/10 |
4,908 | |||||||||
Jackson National Life Global Funding, |
|||||||||||
2,000 | 5.375%, 05/08/13 (e) |
2,147 | |||||||||
4,115 | 6.125%, 05/30/12 (e) |
4,436 | |||||||||
2,469 | John
Hancock Global Funding II, 7.900%, 07/02/10 (e) |
2,523 | |||||||||
2,980 | Liberty Mutual Group, Inc., 5.750%, 03/15/14 (e) |
3,078 | |||||||||
MassMutual Global Funding II, |
|||||||||||
4,059 | 3.500%, 03/15/10 (e) |
4,062 | |||||||||
2,000 | 3.625%, 07/16/12 (e) |
2,082 | |||||||||
3,200 | MetLife Life and Annuity Co. of Connecticut, 5.125%, 08/15/14 (e) |
3,442 | |||||||||
815 | MetLife, Inc., 6.817%, 08/15/18 |
898 | |||||||||
Metropolitan Life Global Funding I, |
|||||||||||
8,800 | 2.500%, 01/11/13 (e) |
8,863 | |||||||||
8,000 | 2.875%, 09/17/12 (e) |
8,150 | |||||||||
3,000 | 5.125%, 04/10/13 (e) |
3,240 | |||||||||
2,497 | 5.200%, 09/18/13 (e) |
2,677 | |||||||||
1,450 | 5.750%, 07/25/11 (e) |
1,521 | |||||||||
1,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
1,066 | |||||||||
Nationwide Financial Services, |
|||||||||||
1,130 | 5.900%, 07/01/12 |
1,191 | |||||||||
1,661 | 6.250%, 11/15/11 |
1,772 | |||||||||
New
York Life Global Funding, |
|||||||||||
5,910 | 4.650%, 05/09/13 (e) |
6,317 | |||||||||
5,914 | 5.375%, 09/15/13 (e) |
6,510 | |||||||||
2,500 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) |
2,650 | |||||||||
6,400 | Pricoa Global Funding I, 5.450%, 06/11/14 (e) |
6,962 | |||||||||
Principal Life Global Funding I, |
|||||||||||
1,600 | 5.050%, 03/15/15 (e) |
1,575 | |||||||||
11,236 | 6.250%, 02/15/12 (e) |
11,834 | |||||||||
Principal Life Income Funding Trusts, |
|||||||||||
5,900 | 5.100%, 04/15/14 |
6,259 | |||||||||
1,750 | 5.150%, 06/17/11 |
1,821 | |||||||||
1,475 | 5.300%, 12/14/12 |
1,605 | |||||||||
2,900 | 5.300%, 04/24/13 |
3,136 | |||||||||
4,955 | Protective Life Secured Trusts, 4.000%, 04/01/11 |
5,088 | |||||||||
1,070 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 |
1,147 | |||||||||
890 | Travelers Property Casualty Corp., 5.000%, 03/15/13 |
949 | |||||||||
143,090 | |||||||||||
Real Estate Investment Trusts (REITs) 0.1% |
|||||||||||
2,050 | HRPT
Properties Trust, 6.650%, 01/15/18 |
2,024 | |||||||||
Simon Property Group LP, |
|||||||||||
450 | 4.200%, 02/01/15 |
455 | |||||||||
1,775 | 5.625%, 08/15/14 |
1,907 | |||||||||
1,100 | 5.650%, 02/01/20 |
1,093 | |||||||||
2,120 | 6.100%, 05/01/16 |
2,273 | |||||||||
2,000 | 6.125%, 05/30/18 |
2,099 | |||||||||
1,645 | 6.750%, 05/15/14 |
1,823 | |||||||||
6,277 | WEA
Finance LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
6,730 | |||||||||
18,404 | |||||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||
4,000 | Countrywide Financial Corp., 6.250%, 05/15/16 |
4,083 | |||||||||
6,270 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 |
6,458 | |||||||||
10,541 | |||||||||||
Total Financials |
936,236 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Health Care 0.2% |
|||||||||||
Biotechnology 0.0% (g) |
|||||||||||
1,975 | Amgen, Inc., 5.700%, 02/01/19 |
2,144 | |||||||||
Health Care Equipment & Supplies 0.0% (g) |
|||||||||||
Baxter International, Inc., |
|||||||||||
1,150 | 4.000%, 03/01/14 |
1,209 | |||||||||
500 | 4.625%, 03/15/15 |
543 | |||||||||
700 | Becton Dickinson and Co., 5.000%, 05/15/19 |
735 | |||||||||
2,487 | |||||||||||
Health Care Providers & Services 0.0% (g) |
|||||||||||
WellPoint, Inc., |
|||||||||||
492 | 5.875%, 06/15/17 |
535 | |||||||||
340 | 7.000%, 02/15/19 |
392 | |||||||||
927 | |||||||||||
Pharmaceuticals 0.2% |
|||||||||||
350 | Abbott Laboratories, 6.150%, 11/30/37 |
383 | |||||||||
3,200 | AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14 |
3,565 | |||||||||
1,095 | Eli
Lilly & Co., 3.550%, 03/06/12 |
1,146 | |||||||||
GlaxoSmithKline Capital, Inc., |
|||||||||||
1,000 | 4.375%, 04/15/14 |
1,066 | |||||||||
3,100 | 4.850%, 05/15/13 |
3,366 | |||||||||
2,100 | 6.375%, 05/15/38 |
2,342 | |||||||||
7,300 | Pfizer, Inc., 4.450%, 03/15/12 |
7,789 | |||||||||
1,040 | Schering-Plough Corp., 6.000%, 09/15/17 |
1,182 | |||||||||
790 | Wyeth, 6.450%, 02/01/24 |
885 | |||||||||
21,724 | |||||||||||
Total Health Care |
27,282 | ||||||||||
Industrials 0.4% |
|||||||||||
Aerospace & Defense 0.1% |
|||||||||||
Boeing Co. (The), |
|||||||||||
250 | 3.500%, 02/15/15 |
257 | |||||||||
500 | 4.875%, 02/15/20 |
512 | |||||||||
1,500 | Honeywell International, Inc., 5.300%, 03/01/18 |
1,612 | |||||||||
Lockheed Martin Corp., |
|||||||||||
1,660 | 7.750%, 05/01/26 |
2,045 | |||||||||
1,399 | 8.500%, 12/01/29 |
1,853 | |||||||||
Northrop Grumman Systems Corp., |
|||||||||||
2,700 | 7.125%, 02/15/11 |
2,857 | |||||||||
1,100 | 7.750%, 03/01/16 |
1,326 | |||||||||
899 | Systems 2001 AT LLC, (Cayman Islands), 7.156%, 12/15/11 (e) |
940 | |||||||||
5 | United Technologies Corp., 6.100%, 05/15/12 |
5 | |||||||||
11,407 | |||||||||||
Airlines 0.0% (g) |
|||||||||||
Continental Airlines, Inc., |
|||||||||||
576 | 7.256%, 03/15/20 |
579 | |||||||||
1,000 | 7.487%, 04/02/12 |
1,000 | |||||||||
1,579 | |||||||||||
Building Products 0.0% (g) |
|||||||||||
800 | Masco Corp., 5.850%, 03/15/17 |
755 | |||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
2,850 | Allied Waste North America, Inc., 6.875%, 06/01/17 |
3,078 | |||||||||
1,365 | Waste Management, Inc., 7.375%, 03/11/19 |
1,594 | |||||||||
4,672 | |||||||||||
Industrial Conglomerates 0.0% (g) |
|||||||||||
1,350 | Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
1,490 | |||||||||
2,650 | Tyco
International Finance S.A., (Luxembourg), 8.500%, 01/15/19 |
3,322 | |||||||||
4,812 | |||||||||||
Machinery 0.1% |
|||||||||||
2,650 | Eaton Corp., 5.600%, 05/15/18 |
2,869 | |||||||||
775 | Ingersoll-Rand Co., (Bermuda), 6.391%, 11/15/27 |
826 | |||||||||
350 | PACCAR, Inc., 6.375%, 02/15/12 |
380 | |||||||||
775 | Parker Hannifin Corp., 5.500%, 05/15/18 |
833 | |||||||||
4,908 | |||||||||||
Road & Rail 0.2% |
|||||||||||
Burlington Northern Santa Fe Corp., |
|||||||||||
3,660 | 5.650%, 05/01/17 |
3,963 | |||||||||
600 | 6.700%, 08/01/28 |
653 | |||||||||
700 | 6.750%, 07/15/11 |
750 | |||||||||
1,300 | 7.000%, 02/01/14 |
1,503 | |||||||||
2,223 | 7.125%, 12/15/10 |
2,336 | |||||||||
1,300 | 7.290%, 06/01/36 |
1,520 | |||||||||
CSX
Corp., |
|||||||||||
850 | 6.300%, 03/15/12 |
921 | |||||||||
700 | 7.375%, 02/01/19 |
819 | |||||||||
400 | Erac
USA Finance Co., 6.375%, 10/15/17 (e) |
438 | |||||||||
2,727 | Federal Express Corp. 1998 Pass Through Trust, 6.720%, 01/15/22 |
2,942 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Road & Rail Continued |
|||||||||||
Norfolk Southern Corp., |
|||||||||||
299 | 5.590%, 05/17/25 |
301 | |||||||||
871 | 5.640%, 05/17/29 |
867 | |||||||||
2,500 | 6.750%, 02/15/11 |
2,628 | |||||||||
326 | 7.250%, 02/15/31 |
384 | |||||||||
135 | 7.700%, 05/15/17 |
162 | |||||||||
34 | 7.800%, 05/15/27 |
42 | |||||||||
Union Pacific Corp., |
|||||||||||
175 | 4.875%, 01/15/15 |
187 | |||||||||
1,800 | 5.650%, 05/01/17 |
1,935 | |||||||||
1,700 | 5.700%, 08/15/18 |
1,812 | |||||||||
3,000 | 7.000%, 02/01/16 |
3,467 | |||||||||
1,000 | 7.875%, 01/15/19 |
1,213 | |||||||||
2,350 | United Parcel Service of America, Inc., 8.375%, 04/01/20 |
3,094 | |||||||||
31,937 | |||||||||||
Total Industrials |
60,070 | ||||||||||
Information Technology 0.4% |
|||||||||||
Communications Equipment 0.1% |
|||||||||||
Cisco Systems, Inc., |
|||||||||||
1,500 | 5.500%, 02/22/16 |
1,691 | |||||||||
2,360 | 5.500%, 01/15/40 |
2,289 | |||||||||
3,400 | 5.900%, 02/15/39 |
3,486 | |||||||||
7,466 | |||||||||||
Computers & Peripherals 0.2% |
|||||||||||
Dell, Inc., |
|||||||||||
570 | 5.650%, 04/15/18 |
608 | |||||||||
1,900 | 7.100%, 04/15/28 |
2,133 | |||||||||
Hewlett-Packard Co., |
|||||||||||
650 | 2.950%, 08/15/12 |
675 | |||||||||
1,000 | 4.500%, 03/01/13 |
1,072 | |||||||||
1,900 | 4.750%, 06/02/14 |
2,060 | |||||||||
2,525 | 5.400%, 03/01/17 |
2,767 | |||||||||
4,400 | 6.125%, 03/01/14 |
4,974 | |||||||||
International Business Machines Corp., |
|||||||||||
3,950 | 5.700%, 09/14/17 |
4,399 | |||||||||
660 | 6.220%, 08/01/27 |
726 | |||||||||
4,500 | 7.625%, 10/15/18 |
5,571 | |||||||||
24,985 | |||||||||||
Electronic Equipment, Instruments & Components 0.0% (g) |
|||||||||||
1,120 | Arrow Electronics, Inc., 6.875%, 07/01/13 |
1,238 | |||||||||
IT
Services 0.0% (g) |
|||||||||||
2,950 | Electronic Data Systems LLC, 6.000%, 08/01/13 |
3,308 | |||||||||
Office Electronics 0.0% (g) |
|||||||||||
310 | Xerox Corp., 8.250%, 05/15/14 |
365 | |||||||||
Software 0.1% |
|||||||||||
850 | Intuit, Inc., 5.750%, 03/15/17 |
905 | |||||||||
Oracle Corp., |
|||||||||||
5,300 | 5.000%, 07/08/19 |
5,554 | |||||||||
2,320 | 5.250%, 01/15/16 |
2,575 | |||||||||
3,400 | 5.750%, 04/15/18 |
3,742 | |||||||||
850 | 6.500%, 04/15/38 |
945 | |||||||||
13,721 | |||||||||||
Total Information Technology |
51,083 | ||||||||||
Materials 0.2% |
|||||||||||
Chemicals 0.2% |
|||||||||||
850 | Air
Products & Chemicals, Inc., 4.150%, 02/01/13 |
891 | |||||||||
1,680 | Dow
Capital BV, (Netherlands), 8.500%, 06/08/10 |
1,702 | |||||||||
Dow
Chemical Co. (The), |
|||||||||||
1,670 | 4.850%, 08/15/12 |
1,778 | |||||||||
650 | 6.000%, 10/01/12 |
709 | |||||||||
1,776 | 6.125%, 02/01/11 |
1,849 | |||||||||
1,345 | 7.375%, 11/01/29 |
1,459 | |||||||||
EI
Du Pont de Nemours & Co., |
|||||||||||
125 | 4.125%, 03/06/13 |
132 | |||||||||
500 | 4.875%, 04/30/14 |
543 | |||||||||
3,800 | 6.000%, 07/15/18 |
4,224 | |||||||||
3,750 | Monsanto Co., 7.375%, 08/15/12 |
4,273 | |||||||||
1,450 | Potash Corp. of Saskatchewan, Inc., (Canada), 4.875%, 03/01/13 |
1,546 | |||||||||
PPG
Industries, Inc., |
|||||||||||
2,150 | 5.750%, 03/15/13 |
2,344 | |||||||||
2,100 | 9.000%, 05/01/21 |
2,594 | |||||||||
Praxair, Inc., |
|||||||||||
850 | 4.375%, 03/31/14 |
905 | |||||||||
1,900 | 4.625%, 03/30/15 |
2,041 | |||||||||
1,295 | 5.250%, 11/15/14 |
1,435 | |||||||||
28,425 | |||||||||||
Metals & Mining 0.0% (g) |
|||||||||||
3,400 | Rio
Tinto Finance USA Ltd., (Australia), 5.875%, 07/15/13 |
3,739 | |||||||||
Total Materials |
32,164 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Telecommunication Services 1.0% |
|||||||||||
Diversified Telecommunication Services 0.9% |
|||||||||||
6,950 | AT&T Corp., 8.000%, 11/15/31 |
8,497 | |||||||||
AT&T, Inc., |
|||||||||||
8,300 | 4.950%, 01/15/13 |
8,962 | |||||||||
1,120 | 5.100%, 09/15/14 |
1,219 | |||||||||
2,925 | 5.500%, 02/01/18 |
3,105 | |||||||||
1,300 | 5.600%, 05/15/18 |
1,387 | |||||||||
2,295 | 5.625%, 06/15/16 |
2,521 | |||||||||
5,000 | 6.300%, 01/15/38 |
5,092 | |||||||||
1,330 | BellSouth Corp., 5.200%, 09/15/14 |
1,454 | |||||||||
1,966 | Bellsouth Telecommunications, Inc., 6.300%, 12/15/15 (c) |
2,099 | |||||||||
British Telecommunications plc, (United Kingdom), |
|||||||||||
5,000 | 5.150%, 01/15/13 |
5,297 | |||||||||
2,800 | 5.950%, 01/15/18 |
2,898 | |||||||||
8,236 | 9.125%, 12/15/10 |
8,751 | |||||||||
300 | 9.625%, 12/15/30 |
381 | |||||||||
Deutsche Telekom International Finance BV, (Netherlands), |
|||||||||||
4,200 | 4.875%, 07/08/14 |
4,467 | |||||||||
785 | 5.250%, 07/22/13 |
846 | |||||||||
2,025 | 6.000%, 07/08/19 |
2,168 | |||||||||
200 | 8.750%, 06/15/30 |
253 | |||||||||
France Telecom S.A., (France), |
|||||||||||
7,133 | 7.750%, 03/01/11 |
7,611 | |||||||||
1,000 | 8.500%, 03/01/31 |
1,325 | |||||||||
1,000 | GTE
Corp., 8.750%, 11/01/21 |
1,253 | |||||||||
47 | Nynex Corp., 9.550%, 05/01/10 |
47 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), |
|||||||||||
2,900 | 4.950%, 09/30/14 |
3,027 | |||||||||
2,300 | 5.250%, 11/15/13 |
2,441 | |||||||||
1,350 | 6.175%, 06/18/14 |
1,471 | |||||||||
2,125 | 6.999%, 06/04/18 |
2,330 | |||||||||
Telefonica Emisiones S.A.U., (Spain), |
|||||||||||
4,000 | 5.855%, 02/04/13 |
4,373 | |||||||||
1,500 | 5.877%, 07/15/19 |
1,583 | |||||||||
1,000 | Telefonica Europe BV, (Netherlands), 7.750%, 09/15/10 |
1,037 | |||||||||
1,839 | TELUS Corp., (Canada), 8.000%, 06/01/11 |
1,986 | |||||||||
Verizon Communications, Inc., |
|||||||||||
2,175 | 5.500%, 02/15/18 |
2,301 | |||||||||
250 | 5.550%, 02/15/16 |
273 | |||||||||
1,443 | 5.850%, 09/15/35 |
1,413 | |||||||||
4,400 | 7.350%, 04/01/39 |
5,144 | |||||||||
1,500 | 8.750%, 11/01/18 |
1,892 | |||||||||
6,498 | Verizon Florida LLC, 6.125%, 01/15/13 |
7,076 | |||||||||
Verizon Global Funding Corp., |
|||||||||||
8,808 | 7.250%, 12/01/10 |
9,247 | |||||||||
1,540 | 7.375%, 09/01/12 |
1,752 | |||||||||
Verizon Maryland, Inc., |
|||||||||||
823 | 6.125%, 03/01/12 |
886 | |||||||||
3,100 | 7.150%, 05/01/23 |
3,284 | |||||||||
900 | Verizon New England, Inc., 4.750%, 10/01/13 |
954 | |||||||||
880 | Verizon New York, Inc., 7.375%, 04/01/32 |
961 | |||||||||
1,232 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 |
1,393 | |||||||||
2,788 | Verizon Virginia, Inc., 4.625%, 03/15/13 |
2,946 | |||||||||
127,403 | |||||||||||
Wireless Telecommunication Services 0.1% |
|||||||||||
1,500 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
1,652 | |||||||||
New
Cingular Wireless Services, Inc., |
|||||||||||
6,983 | 7.875%, 03/01/11 |
7,467 | |||||||||
1,215 | 8.750%, 03/01/31 |
1,566 | |||||||||
Vodafone Group plc, (United Kingdom), |
|||||||||||
5,125 | 5.000%, 09/15/15 |
5,484 | |||||||||
753 | 5.450%, 06/10/19 |
786 | |||||||||
16,955 | |||||||||||
Total Telecommunication Services |
144,358 | ||||||||||
Utilities 1.2% |
|||||||||||
Electric Utilities 0.9% |
|||||||||||
Alabama Power Co., |
|||||||||||
711 | 4.700%, 12/01/10 (c) |
732 | |||||||||
700 | 6.125%, 05/15/38 |
747 | |||||||||
1,110 | Arizona Public Service Co., 4.650%, 05/15/15 |
1,157 | |||||||||
Carolina Power & Light Co., |
|||||||||||
2,177 | 5.125%, 09/15/13 |
2,395 | |||||||||
2,000 | 5.300%, 01/15/19 |
2,117 | |||||||||
CenterPoint Energy Houston Electric LLC, |
|||||||||||
3,100 | 5.750%, 01/15/14 |
3,416 | |||||||||
725 | 7.000%, 03/01/14 |
832 | |||||||||
3,450 | Cleveland Electric Illuminating Co. (The), 7.880%, 11/01/17 |
4,126 | |||||||||
1,550 | Columbus Southern Power Co., 6.050%, 05/01/18 |
1,691 | |||||||||
925 | Connecticut Light & Power Co. (The), 5.650%, 05/01/18 |
1,001 | |||||||||
Duke
Energy Carolinas LLC, |
|||||||||||
1,400 | 5.100%, 04/15/18 |
1,477 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Electric Utilities Continued |
|||||||||||
1,795 | 5.625%, 11/30/12 |
1,982 | |||||||||
1,816 | 6.250%, 01/15/12 |
1,982 | |||||||||
1,875 | Duke
Energy Corp., 3.950%, 09/15/14 |
1,943 | |||||||||
3,100 | Duke
Energy Indiana, Inc., 6.350%, 08/15/38 |
3,391 | |||||||||
4,600 | Enel
Finance International S.A., (Luxembourg), 5.125%, 10/07/19 (e) |
4,611 | |||||||||
Florida Power & Light Co., |
|||||||||||
500 | 5.950%, 10/01/33 |
521 | |||||||||
1,000 | 5.950%, 02/01/38 |
1,044 | |||||||||
Florida Power Corp., |
|||||||||||
500 | 4.800%, 03/01/13 |
538 | |||||||||
1,125 | 5.650%, 06/15/18 |
1,214 | |||||||||
700 | 6.400%, 06/15/38 |
771 | |||||||||
FPL
Group Capital, Inc., |
|||||||||||
900 | 5.350%, 06/15/13 |
977 | |||||||||
1,200 | 6.000%, 03/01/19 |
1,295 | |||||||||
1,600 | 7.875%, 12/15/15 |
1,955 | |||||||||
Georgia Power Co., |
|||||||||||
400 | 5.950%, 02/01/39 |
421 | |||||||||
1,100 | 6.000%, 11/01/13 |
1,241 | |||||||||
340 | Indiana Michigan Power Co., 7.000%, 03/15/19 |
389 | |||||||||
300 | Jersey Central Power & Light Co., 7.350%, 02/01/19 |
350 | |||||||||
298 | Kiowa Power Partners LLC, 4.811%, 12/30/13 (e) |
303 | |||||||||
700 | Midamerican Energy Co., 5.300%, 03/15/18 |
735 | |||||||||
1,625 | Midamerican Energy Holdings Co., 5.750%, 04/01/18 |
1,728 | |||||||||
Nevada Power Co., |
|||||||||||
950 | 6.500%, 08/01/18 |
1,044 | |||||||||
1,825 | 7.125%, 03/15/19 |
2,077 | |||||||||
1,625 | Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e) |
1,643 | |||||||||
Nisource Finance Corp., |
|||||||||||
2,560 | 6.150%, 03/01/13 |
2,795 | |||||||||
325 | 7.875%, 11/15/10 |
339 | |||||||||
1,850 | 10.750%, 03/15/16 |
2,371 | |||||||||
2,500 | Northern States Power Co., 6.250%, 06/01/36 |
2,729 | |||||||||
2,400 | Ohio
Power Co., 5.750%, 09/01/13 |
2,624 | |||||||||
Oncor Electric Delivery Co. LLC, |
|||||||||||
820 | 5.950%, 09/01/13 |
899 | |||||||||
3,000 | 6.800%, 09/01/18 |
3,372 | |||||||||
Pacific Gas & Electric Co., |
|||||||||||
1,980 | 5.625%, 11/30/17 |
2,146 | |||||||||
750 | 8.250%, 10/15/18 |
925 | |||||||||
PacifiCorp, |
|||||||||||
250 | 5.500%, 01/15/19 |
268 | |||||||||
1,000 | 5.650%, 07/15/18 |
1,084 | |||||||||
125 | 6.900%, 11/15/11 |
137 | |||||||||
900 | Peco
Energy Co., 5.350%, 03/01/18 |
958 | |||||||||
675 | Pepco Holdings, Inc., 6.450%, 08/15/12 |
729 | |||||||||
1,320 | Potomac Electric Power Co., 6.500%, 11/15/37 |
1,450 | |||||||||
730 | Progress Energy, Inc., 6.050%, 03/15/14 |
808 | |||||||||
PSEG
Power LLC, |
|||||||||||
2,190 | 5.500%, 12/01/15 |
2,375 | |||||||||
2,191 | 7.750%, 04/15/11 |
2,338 | |||||||||
1,255 | 8.625%, 04/15/31 |
1,614 | |||||||||
275 | Public Service Co. of Colorado, 5.800%, 08/01/18 |
303 | |||||||||
3,350 | Public Service Co. of Oklahoma, 6.625%, 11/15/37 |
3,569 | |||||||||
Public Service Electric & Gas Co., |
|||||||||||
825 | 5.300%, 05/01/18 |
876 | |||||||||
1,138 | 5.375%, 11/01/39 |
1,096 | |||||||||
5,300 | 6.330%, 11/01/13 |
6,062 | |||||||||
Southern California Edison Co., |
|||||||||||
1,200 | 4.150%, 09/15/14 |
1,279 | |||||||||
1,400 | 5.500%, 08/15/18 |
1,524 | |||||||||
1,650 | 5.750%, 03/15/14 |
1,852 | |||||||||
645 | 5.950%, 02/01/38 |
683 | |||||||||
2,450 | 6.050%, 03/15/39 |
2,633 | |||||||||
580 | Southern Co., 4.150%, 05/15/14 |
612 | |||||||||
1,000 | Southwestern Public Service Co., 8.750%, 12/01/18 |
1,247 | |||||||||
Spectra Energy Capital LLC, |
|||||||||||
2,900 | 5.500%, 03/01/14 (c) |
3,104 | |||||||||
350 | 5.668%, 08/15/14 |
382 | |||||||||
3,645 | 6.250%, 02/15/13 |
3,983 | |||||||||
3,850 | 8.000%, 10/01/19 |
4,589 | |||||||||
Virginia Electric and Power Co., |
|||||||||||
2,550 | 5.100%, 11/30/12 |
2,780 | |||||||||
4,600 | 5.400%, 04/30/18 |
4,882 | |||||||||
800 | 5.950%, 09/15/17 |
879 | |||||||||
124,142 | |||||||||||
Gas
Utilities 0.1% |
|||||||||||
1,700 | AGL
Capital Corp., 4.450%, 04/15/13 |
1,790 | |||||||||
1,530 | ANR
Pipeline Co., 9.625%, 11/01/21 |
2,069 | |||||||||
Atmos Energy Corp., |
|||||||||||
320 | 5.125%, 01/15/13 |
342 | |||||||||
690 | 8.500%, 03/15/19 |
856 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Gas
Utilities Continued |
|||||||||||
530 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 |
563 | |||||||||
1,950 | Schlumberger Technology Corp., 6.500%, 04/15/12 (e) |
2,150 | |||||||||
1,037 | Southern California Gas Co., 4.800%, 10/01/12 |
1,119 | |||||||||
70 | Texas Eastern Transmission LP, 7.300%, 12/01/10 |
73 | |||||||||
TransCanada Pipelines Ltd., (Canada), |
|||||||||||
1,515 | 4.000%, 06/15/13 |
1,584 | |||||||||
1,500 | 6.200%, 10/15/37 |
1,584 | |||||||||
1,900 | 6.500%, 08/15/18 |
2,171 | |||||||||
2,100 | 7.250%, 08/15/38 |
2,499 | |||||||||
16,800 | |||||||||||
Multi-Utilities 0.2% |
|||||||||||
Dominion Resources, Inc., |
|||||||||||
1,879 | 6.250%, 06/30/12 |
2,063 | |||||||||
1,200 | 7.000%, 06/15/38 |
1,375 | |||||||||
1,600 | 8.875%, 01/15/19 |
2,041 | |||||||||
3,250 | KCP&L Greater Missouri Operations Co., 11.875%, 07/01/12 |
3,796 | |||||||||
1,550 | PG&E Corp., 5.750%, 04/01/14 |
1,707 | |||||||||
Sempra Energy, |
|||||||||||
2,300 | 6.150%, 06/15/18 |
2,486 | |||||||||
900 | 6.500%, 06/01/16 |
1,008 | |||||||||
2,760 | 8.900%, 11/15/13 |
3,313 | |||||||||
1,550 | 9.800%, 02/15/19 |
1,998 | |||||||||
Wisconsin Electric Power Co., |
|||||||||||
1,400 | 6.000%, 04/01/14 |
1,580 | |||||||||
1,295 | 6.250%, 12/01/15 |
1,505 | |||||||||
22,872 | |||||||||||
Water Utilities 0.0% (g) |
|||||||||||
2,025 | American Water Capital Corp., 6.085%, 10/15/17 |
2,192 | |||||||||
Total Utilities |
166,006 | ||||||||||
Total Corporate Bonds (Cost $1,595,545) |
1,683,245 | ||||||||||
Foreign Government Securities 0.2% |
|||||||||||
3,040 | Province of Manitoba, (Canada), 2.125%, 04/22/13 |
3,063 | |||||||||
12,250 | Province of Ontario, (Canada), 2.950%, 02/05/15 |
12,355 | |||||||||
560 | Province of Quebec, (Canada), SUB, 7.365%, 03/06/26 |
642 | |||||||||
United Mexican States, (Mexico), |
|||||||||||
2,035 | 5.875%, 01/15/14 (c) |
2,272 | |||||||||
3,398 | 6.375%, 01/16/13 |
3,789 | |||||||||
850 | 6.625%, 03/03/15 |
956 | |||||||||
4,881 | 7.500%, 04/08/33 |
5,674 | |||||||||
1,925 | 8.300%, 08/15/31 |
2,426 | |||||||||
1,000 | 8.300%, 08/15/31 |
1,260 | |||||||||
Total Foreign Government Securities (Cost $30,140) |
32,437 | ||||||||||
Mortgage Pass-Through Securities 14.1% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
1,193 | ARM,
2.605%, 12/01/33 |
1,232 | |||||||||
2,471 | ARM,
2.625%, 01/01/35 |
2,499 | |||||||||
134 | ARM,
2.707%, 07/01/19 |
137 | |||||||||
262 | ARM,
2.771%, 01/01/27 |
266 | |||||||||
280 | ARM,
2.873%, 09/01/32 |
287 | |||||||||
4,104 | ARM,
2.947%, 09/01/34 |
4,207 | |||||||||
104 | ARM,
2.973%, 04/01/30 |
106 | |||||||||
67 | ARM,
3.125%, 07/01/26 |
69 | |||||||||
6,141 | ARM,
3.127%, 05/01/33 |
6,308 | |||||||||
2,161 | ARM,
3.614%, 04/01/34 |
2,222 | |||||||||
1,053 | ARM,
3.981%, 01/01/37 |
1,097 | |||||||||
1,392 | ARM,
4.902%, 08/01/35 |
1,443 | |||||||||
1,563 | ARM,
4.947%, 11/01/36 |
1,636 | |||||||||
2,020 | ARM,
5.163%, 02/01/36 |
2,111 | |||||||||
7,509 | ARM,
5.423%, 05/01/38 |
7,945 | |||||||||
2,737 | ARM,
5.434%, 07/01/37 |
2,809 | |||||||||
4,515 | ARM,
5.529%, 12/01/35 |
4,702 | |||||||||
11,370 | ARM,
5.552%, 05/01/36 |
11,806 | |||||||||
11,845 | ARM,
5.569%, 05/01/36 |
12,367 | |||||||||
8,780 | ARM,
5.627%, 03/01/36 |
9,013 | |||||||||
9,952 | ARM,
5.656%, 03/01/36 |
10,332 | |||||||||
9,351 | ARM,
5.729%, 02/01/37 |
9,737 | |||||||||
11,205 | ARM,
5.738%, 04/01/38 |
11,876 | |||||||||
4,226 | ARM,
5.796%, 07/01/36 |
4,396 | |||||||||
12,334 | ARM,
5.803%, 05/01/37 |
13,109 | |||||||||
11,164 | ARM,
5.818%, 06/01/37 |
11,616 | |||||||||
7,779 | ARM,
5.823%, 05/01/37 |
8,094 | |||||||||
4,905 | ARM,
5.828%, 10/01/36 |
5,109 | |||||||||
8,895 | ARM,
5.832%, 04/01/37 |
9,291 | |||||||||
2,231 | ARM,
5.846%, 05/01/37 |
2,323 | |||||||||
4,525 | ARM,
5.859%, 06/01/36 |
4,824 | |||||||||
2,962 | ARM,
5.872%, 05/01/36 |
3,088 | |||||||||
11,822 | ARM,
5.888%, 01/01/37 |
12,316 | |||||||||
13,415 | ARM,
5.924%, 11/01/36 |
13,979 | |||||||||
6,393 | ARM,
5.933%, 03/01/37 |
6,660 | |||||||||
621 | ARM,
5.953%, 02/01/37 |
647 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
13,639 | ARM,
5.954%, 04/01/37 |
14,209 | |||||||||
3,935 | ARM,
5.968%, 02/01/37 |
4,100 | |||||||||
7,902 | ARM,
5.972%, 05/01/37 |
8,448 | |||||||||
5,505 | ARM,
5.988%, 10/01/36 |
5,606 | |||||||||
3,535 | ARM,
6.000%, 04/01/37 |
3,691 | |||||||||
16,616 | ARM,
6.025%, 06/01/36 |
17,287 | |||||||||
26,112 | ARM,
6.038%, 12/01/36 |
27,196 | |||||||||
10,039 | ARM,
6.079%, 09/01/36 |
10,354 | |||||||||
21,755 | ARM,
6.170%, 12/01/36 |
22,686 | |||||||||
1,531 | ARM,
6.186%, 12/01/36 |
1,588 | |||||||||
5,478 | ARM,
6.193%, 05/01/37 |
5,730 | |||||||||
4,117 | ARM,
6.227%, 03/01/37 |
4,270 | |||||||||
10,792 | ARM,
6.248%, 09/01/36 |
11,217 | |||||||||
18,825 | ARM,
6.258%, 02/01/37 |
19,606 | |||||||||
25,643 | ARM,
6.299%, 03/01/37 |
27,335 | |||||||||
22,624 | ARM,
6.302%, 10/01/36 |
23,610 | |||||||||
9,263 | ARM,
6.311%, 05/01/37 |
9,695 | |||||||||
26,698 | ARM,
6.349%, 12/01/36 |
27,911 | |||||||||
5,411 | ARM,
6.430%, 10/01/36 |
5,648 | |||||||||
4,272 | ARM,
6.466%, 02/01/37 |
4,458 | |||||||||
8,170 | ARM,
6.502%, 10/01/36 |
8,567 | |||||||||
3,971 | ARM,
6.515%, 12/01/36 |
4,146 | |||||||||
5,830 | ARM,
6.586%, 10/01/36 |
6,091 | |||||||||
3,993 | ARM,
6.600%, 11/01/37 |
4,162 | |||||||||
2,645 | ARM,
6.675%, 08/01/36 |
2,769 | |||||||||
10,121 | ARM,
6.678%, 10/01/36 |
10,561 | |||||||||
4,049 | ARM,
6.692%, 07/01/36 |
4,206 | |||||||||
12,708 | ARM,
6.703%, 11/01/36 |
13,489 | |||||||||
27,252 | ARM,
6.717%, 08/01/36 |
28,356 | |||||||||
5,096 | ARM,
6.872%, 08/01/36 |
5,297 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
8,300 | 4.000%, 04/01/14 05/01/19 |
8,563 | |||||||||
4,860 | 4.500%, 08/01/18 10/01/18 |
5,115 | |||||||||
26,187 | 5.000%, 10/01/17 12/01/18 |
27,867 | |||||||||
19,315 | 5.500%, 06/01/17 06/01/20 |
20,771 | |||||||||
28,462 | 6.000%, 10/01/17 03/01/22 |
30,671 | |||||||||
9,517 | 6.500%, 07/01/16 03/01/22 |
10,252 | |||||||||
160 | 7.000%, 08/01/10 04/01/17 |
171 | |||||||||
128 | 7.500%, 09/01/10 11/01/15 |
134 | |||||||||
75 | 8.500%, 11/01/15 |
86 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|||||||||||
9,901 | 5.500%, 01/01/23 11/01/23 |
10,552 | |||||||||
663 | 6.000%, 12/01/22 |
719 | |||||||||
3,965 | 6.500%, 12/01/13 01/01/28 |
4,279 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, FHA/VA, |
|||||||||||
23,505 | 7.500%, 01/01/32 12/01/36 |
26,454 | |||||||||
13,701 | 10.000%, 10/01/30 |
16,114 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
6,342 | 4.000%, 10/01/33 |
6,258 | |||||||||
32,179 | 5.000%, 01/01/34 03/01/35 |
33,587 | |||||||||
8,345 | 5.500%, 10/01/33 07/01/35 |
8,856 | |||||||||
3,210 | 6.000%, 10/01/29 01/01/34 |
3,471 | |||||||||
22,531 | 6.500%, 08/01/29 11/01/37 |
24,620 | |||||||||
7,402 | 7.000%, 04/01/22 02/01/37 |
8,212 | |||||||||
31,418 | 7.500%, 08/01/25 09/01/38 |
34,484 | |||||||||
67 | 8.000%, 07/01/20 11/01/24 |
76 | |||||||||
173 | 8.500%, 07/01/28 |
200 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|||||||||||
25,173 | 6.500%, 12/01/35 06/01/37 |
26,933 | |||||||||
3,005 | 7.000%, 07/01/29 08/01/47 |
3,258 | |||||||||
2,785 | 10.000%, 03/17/26 |
3,221 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|||||||||||
47 | 12.000%, 08/01/15 07/01/19 |
51 | |||||||||
Federal National Mortgage Association, |
|||||||||||
885 | ARM,
1.710%, 08/01/34 |
908 | |||||||||
865 | ARM,
2.003%, 02/01/35 |
898 | |||||||||
12,071 | ARM,
2.186%, 01/01/35 |
12,224 | |||||||||
12,535 | ARM,
2.424%, 01/01/36 |
13,020 | |||||||||
83 | ARM,
2.538%, 03/01/19 |
84 | |||||||||
298 | ARM,
2.591%, 07/01/34 |
309 | |||||||||
2,890 | ARM,
2.789%, 01/01/36 |
2,987 | |||||||||
18 | ARM,
2.811%, 01/01/19 |
18 | |||||||||
3,100 | ARM,
2.829%, 07/01/35 |
3,130 | |||||||||
1,510 | ARM,
3.003%, 10/01/34 |
1,550 | |||||||||
2,840 | ARM,
3.008%, 06/01/34 |
2,919 | |||||||||
464 | ARM,
3.134%, 01/01/34 |
480 | |||||||||
1,362 | ARM,
3.137%, 09/01/35 |
1,411 | |||||||||
287 | ARM,
3.213%, 09/01/34 |
299 | |||||||||
1,128 | ARM,
3.234%, 08/01/34 |
1,175 | |||||||||
1,172 | ARM,
3.272%, 08/01/35 |
1,207 | |||||||||
1,547 | ARM,
3.391%, 08/01/33 |
1,612 | |||||||||
721 | ARM,
3.431%, 08/01/34 |
745 | |||||||||
1,034 | ARM,
3.437%, 04/01/34 |
1,062 | |||||||||
15 | ARM,
3.598%, 06/01/26 |
16 | |||||||||
366 | ARM,
3.709%, 09/01/27 |
372 | |||||||||
463 | ARM,
3.800%, 05/01/35 |
481 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
2,162 | ARM,
3.878%, 03/01/35 |
2,242 | |||||||||
3,390 | ARM,
3.983%, 06/01/36 |
3,532 | |||||||||
1,048 | ARM,
4.097%, 09/01/33 |
1,087 | |||||||||
354 | ARM,
4.113%, 03/01/29 |
366 | |||||||||
2,013 | ARM,
4.157%, 09/01/33 |
2,055 | |||||||||
3,716 | ARM,
4.209%, 04/01/35 |
3,791 | |||||||||
229 | ARM,
4.237%, 01/01/36 |
239 | |||||||||
981 | ARM,
4.465%, 11/01/34 |
1,029 | |||||||||
1,551 | ARM,
4.691%, 11/01/34 |
1,623 | |||||||||
15 | ARM,
4.786%, 08/01/19 |
15 | |||||||||
1,259 | ARM,
5.007%, 01/01/34 |
1,322 | |||||||||
2,458 | ARM,
5.020%, 05/01/35 |
2,552 | |||||||||
1,153 | ARM,
5.036%, 02/01/36 |
1,212 | |||||||||
1,687 | ARM,
5.068%, 01/01/35 |
1,776 | |||||||||
4,422 | ARM,
5.127%, 11/01/33 10/01/34 |
4,611 | |||||||||
2,036 | ARM,
5.266%, 09/01/36 |
2,145 | |||||||||
13,521 | ARM,
5.331%, 01/01/38 |
14,284 | |||||||||
5,305 | ARM,
5.391%, 10/01/35 |
5,614 | |||||||||
7,095 | ARM,
5.493%, 07/01/37 |
7,401 | |||||||||
3,248 | ARM,
5.565%, 08/01/36 |
3,421 | |||||||||
4,340 | ARM,
5.584%, 12/01/36 |
4,537 | |||||||||
3,946 | ARM,
5.603%, 06/01/36 |
4,099 | |||||||||
4,724 | ARM,
5.615%, 11/01/37 |
4,990 | |||||||||
2,875 | ARM,
5.654%, 01/01/37 |
3,012 | |||||||||
3,123 | ARM,
5.658%, 08/01/36 |
3,295 | |||||||||
5,877 | ARM,
5.666%, 11/01/36 |
6,142 | |||||||||
29,304 | ARM,
5.686%, 01/01/23 |
31,188 | |||||||||
8,406 | ARM,
5.734%, 09/01/36 |
8,792 | |||||||||
17,211 | ARM,
5.749%, 08/01/37 |
17,951 | |||||||||
6,209 | ARM,
5.759%, 02/01/37 |
6,502 | |||||||||
25,380 | ARM,
5.788%, 12/01/37 |
26,806 | |||||||||
18,566 | ARM,
5.846%, 04/01/37 |
19,440 | |||||||||
14,707 | ARM,
5.860%, 10/01/36 |
15,406 | |||||||||
5,554 | ARM,
5.894%, 07/01/37 |
5,795 | |||||||||
22,698 | ARM,
5.899%, 12/01/36 |
23,789 | |||||||||
5,047 | ARM,
5.908%, 11/01/36 |
5,302 | |||||||||
5,259 | ARM,
5.910%, 09/01/37 |
5,536 | |||||||||
6,630 | ARM,
5.923%, 10/01/36 |
6,943 | |||||||||
8,409 | ARM,
5.934%, 07/01/36 |
8,810 | |||||||||
6,748 | ARM,
6.012%, 09/01/37 |
7,055 | |||||||||
21,964 | ARM,
6.021%, 07/01/37 |
22,966 | |||||||||
3,356 | ARM,
6.053%, 05/01/36 |
3,488 | |||||||||
12,723 | ARM,
6.071%, 08/01/36 |
13,284 | |||||||||
6,886 | ARM,
6.096%, 09/01/37 |
7,213 | |||||||||
3,904 | ARM,
6.105%, 09/01/37 |
4,095 | |||||||||
17,241 | ARM,
6.156%, 09/01/36 |
18,080 | |||||||||
12,397 | ARM,
6.187%, 08/01/36 |
13,040 | |||||||||
14,272 | ARM,
6.200%, 06/01/36 |
14,888 | |||||||||
21,345 | ARM,
6.208%, 11/01/37 |
22,267 | |||||||||
8,270 | ARM,
6.212%, 02/01/37 |
8,690 | |||||||||
5,678 | ARM,
6.237%, 07/01/37 |
5,981 | |||||||||
11,670 | ARM,
6.275%, 09/01/37 |
12,216 | |||||||||
10,760 | ARM,
6.294%, 10/01/36 |
11,267 | |||||||||
5,129 | ARM,
6.393%, 09/01/36 |
5,389 | |||||||||
15,562 | ARM,
6.607%, 09/01/36 |
16,373 | |||||||||
5,410 | ARM,
6.627%, 01/01/37 |
5,732 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
795 | 3.500%, 04/01/19 |
792 | |||||||||
15,440 | 4.000%, 07/01/18 12/01/20 |
16,116 | |||||||||
56,983 | 4.500%, 05/01/18 12/01/19 |
60,136 | |||||||||
48,385 | 5.000%, 12/01/16 10/01/19 |
51,477 | |||||||||
56,180 | 5.500%, 02/01/18 07/01/20 |
60,417 | |||||||||
69,354 | 6.000%, 06/01/16 12/01/21 |
74,817 | |||||||||
4,555 | 6.500%, 12/01/10 04/01/22 |
4,942 | |||||||||
1,924 | 7.000%, 06/01/10 11/01/17 |
2,092 | |||||||||
222 | 7.500%, 10/01/12 03/01/17 |
239 | |||||||||
195 | 8.000%, 11/01/12 11/01/15 |
208 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, |
|||||||||||
1,227 | 6.000%, 02/01/14 04/01/24 |
1,320 | |||||||||
7,401 | 6.500%, 05/01/22 04/01/25 |
8,020 | |||||||||
Federal National Mortgage Association, 30 Year FHA/VA, |
|||||||||||
298 | 6.000%, 09/01/33 |
321 | |||||||||
627 | 6.500%, 03/01/29 |
685 | |||||||||
84 | 7.000%, 02/01/33 |
93 | |||||||||
132 | 8.000%, 06/01/28 |
152 | |||||||||
151 | 8.500%, 08/01/27 02/01/30 |
175 | |||||||||
205 | 9.000%, 05/01/18 12/01/30 |
232 | |||||||||
47 | 9.500%, 12/01/18 |
53 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
2,151 | 4.000%, 12/01/33 |
2,126 | |||||||||
2,976 | 4.500%, 11/01/33 |
3,045 | |||||||||
25,138 | 5.000%, 06/01/33 09/01/35 |
26,181 | |||||||||
15,023 | 5.500%, 02/01/33 03/01/34 |
15,943 | |||||||||
5,190 | 6.000%, 12/01/28 09/01/33 |
5,579 | |||||||||
83,022 | 6.500%, 11/01/29 08/01/36 |
89,701 | |||||||||
21,689 | 7.000%, 04/01/17 10/01/38 |
23,672 | |||||||||
78,539 | 7.500%, 11/01/22 04/01/39 |
87,539 | |||||||||
2,821 | 8.000%, 03/01/21 01/01/38 |
3,228 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
65 | 8.500%, 07/01/24 06/01/25 |
75 | |||||||||
9 | 9.000%, 04/01/26 |
10 | |||||||||
50 | 9.500%, 07/01/28 |
58 | |||||||||
24 | 10.000%, 02/01/24 |
28 | |||||||||
57 | 12.500%, 01/01/16 |
61 | |||||||||
Federal National Mortgage Association, Other, |
|||||||||||
2,074 | 4.000%, 09/01/13 03/01/14 |
2,137 | |||||||||
1,371 | 4.500%, 11/01/14 |
1,417 | |||||||||
1,035 | 5.000%, 12/01/32 |
1,076 | |||||||||
2,686 | 5.500%, 03/01/17 10/01/34 |
2,741 | |||||||||
1,010 | 6.000%, 02/01/36 |
1,080 | |||||||||
13,453 | 6.500%, 04/01/36 05/01/37 |
14,381 | |||||||||
19,404 | 7.000%, 02/01/36 01/01/38 |
20,848 | |||||||||
1,823 | 7.500%, 10/01/37 |
1,990 | |||||||||
10,448 | 8.000%, 11/01/37 |
11,413 | |||||||||
276 | 10.890%, 04/15/19 |
310 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
|||||||||||
416 | 6.000%, 03/20/28 |
450 | |||||||||
3,689 | 7.000%, 08/20/38 |
3,985 | |||||||||
250 | 7.500%, 02/20/28 09/20/28 |
281 | |||||||||
479 | 8.000%, 12/20/25 10/20/28 |
549 | |||||||||
218 | 8.500%, 03/20/25 05/20/25 |
251 | |||||||||
Government National Mortgage Association, 15 Year, Single Family, |
|||||||||||
268 | 6.000%, 10/15/17 |
289 | |||||||||
334 | 6.500%, 06/15/17 12/15/17 |
361 | |||||||||
23 | 7.500%, 02/15/12 03/15/12 |
24 | |||||||||
675 | 8.000%, 01/15/16 |
732 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
2,712 | 5.500%, 06/15/33 09/15/34 |
2,891 | |||||||||
688 | 6.000%, 11/15/28 |
745 | |||||||||
5,945 | 6.500%, 01/15/24 12/15/35 |
6,433 | |||||||||
13,515 | 7.000%, 08/15/23 04/15/37 |
14,724 | |||||||||
10,469 | 7.500%, 11/15/22 10/15/37 |
11,456 | |||||||||
140 | 8.000%, 05/15/22 08/15/28 |
161 | |||||||||
50 | 8.500%, 03/15/17 11/15/17 |
55 | |||||||||
85 | 9.000%, 08/15/16 11/15/24 |
96 | |||||||||
5,571 | 9.500%, 01/15/17 12/15/25 |
6,740 | |||||||||
55 | 12.000%, 11/15/19 |
61 | |||||||||
Total Mortgage Pass-Through Securities (Cost $1,982,474) |
2,011,716 | ||||||||||
Municipal Bond 0.0% (g) |
|||||||||||
Illinois 0.0% (g) |
|||||||||||
5,450 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 (Cost $5,233) |
4,593 | |||||||||
Supranational 0.0% (g) |
|||||||||||
720 | Corp. Andina de Fomento, 5.200%, 05/21/13 (Cost $719) |
765 | |||||||||
U.S.
Government Agency Securities 0.6% |
|||||||||||
5,000 | Federal Farm Credit Bank, 1.875%, 12/07/12 |
5,066 | |||||||||
16,673 | Federal Home Loan Bank System, 4.720%, 09/20/12 |
17,759 | |||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
38,500 | 4.125%, 12/21/12 (c) |
41,441 | |||||||||
1,260 | 5.750%, 01/15/12 |
1,374 | |||||||||
Federal National Mortgage Association, |
|||||||||||
1,190 | 5.500%, 03/15/11 |
1,252 | |||||||||
2,735 | 6.125%, 03/15/12 |
3,022 | |||||||||
7,494 | 6.250%, 02/01/11 |
7,892 | |||||||||
13,200 | Financing Corp. Fico, Zero Coupon, 09/26/19 |
8,560 | |||||||||
1,195 | Tennessee Valley Authority, 5.250%, 09/15/39 |
1,211 | |||||||||
Total U.S. Government Agency Securities (Cost $85,133) |
87,577 | ||||||||||
U.S.
Treasury Obligations 22.1% |
|||||||||||
U.S.
Treasury Bonds, |
|||||||||||
650 | 5.250%, 11/15/28 |
722 | |||||||||
2,300 | 5.375%, 02/15/31 |
2,602 | |||||||||
9,050 | 5.500%, 08/15/28 |
10,341 | |||||||||
4,300 | 6.000%, 02/15/26 |
5,161 | |||||||||
1,400 | 6.125%, 11/15/27 |
1,709 | |||||||||
1,000 | 6.250%, 08/15/23 |
1,221 | |||||||||
4,750 | 6.375%, 08/15/27 |
5,945 | |||||||||
7,550 | 6.500%, 11/15/26 |
9,541 | |||||||||
5,100 | 6.625%, 02/15/27 (c) |
6,528 | |||||||||
6,800 | 6.750%, 08/15/26 |
8,790 | |||||||||
2,120 | 7.125%, 02/15/23 |
2,778 | |||||||||
20,250 | 7.250%, 05/15/16 |
25,441 | |||||||||
24,490 | 7.250%, 08/15/22 (m) |
32,365 | |||||||||
150,592 | 7.500%, 11/15/16 (m) |
192,558 | |||||||||
8,717 | 7.875%, 02/15/21 (m) |
11,930 | |||||||||
1,000 | 8.000%, 11/15/21 |
1,387 | |||||||||
7,000 | 8.125%, 08/15/19 |
9,581 | |||||||||
16,650 | 8.125%, 05/15/21 |
23,206 | |||||||||
11,880 | 8.500%, 02/15/20 |
16,736 | |||||||||
185,495 | 8.750%, 05/15/17 (c) |
253,998 | |||||||||
14,000 | 8.750%, 05/15/20 (c) |
20,092 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
U.S.
Treasury Obligations Continued |
|||||||||||
38,739 | 8.750%, 08/15/20 |
55,742 | |||||||||
332,000 | 8.875%, 08/15/17 (m) |
458,808 | |||||||||
27,736 | 8.875%, 02/15/19 (c) |
39,342 | |||||||||
4,500 | 9.000%, 11/15/18 (c) |
6,412 | |||||||||
24,600 | 9.250%, 02/15/16 |
33,619 | |||||||||
9,594 | 9.875%, 11/15/15 (m) |
13,351 | |||||||||
11,250 | 10.625%, 08/15/15 |
15,979 | |||||||||
3,650 | 11.250%, 02/15/15 (m) |
5,202 | |||||||||
10,109 | U.S.
Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 (m) |
16,523 | |||||||||
U.S.
Treasury Inflation Indexed Notes, |
|||||||||||
1,000 | 2.000%, 04/15/12 |
1,119 | |||||||||
2,000 | 2.000%, 07/15/14 |
2,451 | |||||||||
U.S.
Treasury Notes, |
|||||||||||
36,700 | 1.375%, 09/15/12 |
36,952 | |||||||||
36,050 | 1.375%, 10/15/12 (c) |
36,267 | |||||||||
17,815 | 1.375%, 02/15/13 (c) |
17,843 | |||||||||
10,000 | 1.750%, 01/31/14 |
9,984 | |||||||||
20,500 | 1.750%, 03/31/14 |
20,398 | |||||||||
12,000 | 1.875%, 02/28/14 |
12,020 | |||||||||
25,000 | 2.375%, 03/31/16 |
24,479 | |||||||||
7,000 | 2.625%, 06/30/14 (c) |
7,186 | |||||||||
131,400 | 2.625%, 12/31/14 (c) |
133,936 | |||||||||
19,000 | 2.625%, 02/29/16 |
18,917 | |||||||||
10,800 | 2.625%, 04/30/16 |
10,710 | |||||||||
52,500 | 3.125%, 10/31/16 |
53,070 | |||||||||
127,200 | 3.250%, 12/31/16 |
129,168 | |||||||||
77,000 | 4.250%, 11/15/17 (c) |
82,558 | |||||||||
2,000 | 4.500%, 11/30/11 |
2,134 | |||||||||
188,500 | 4.500%, 05/15/17 |
206,349 | |||||||||
9,500 | 4.625%, 02/15/17 |
10,494 | |||||||||
51,250 | 4.750%, 08/15/17 |
56,875 | |||||||||
U.S.
Treasury STRIPS, |
|||||||||||
20,256 | 02/15/11 (c) |
20,196 | |||||||||
8,820 | 08/15/11 |
8,757 | |||||||||
239 | 02/15/12 (c) |
235 | |||||||||
399 | 08/15/12 |
389 | |||||||||
26,132 | 11/15/12 |
25,321 | |||||||||
46,062 | 02/15/13 (c) |
44,303 | |||||||||
31,374 | 08/15/13 |
29,660 | |||||||||
10,750 | 11/15/13 (c) |
10,082 | |||||||||
86,776 | 02/15/14 (m) |
80,497 | |||||||||
64,063 | 05/15/14 (m) |
58,861 | |||||||||
57,062 | 08/15/14 (m) |
51,919 | |||||||||
30,961 | 11/15/14 (c) |
27,863 | |||||||||
40,209 | 02/15/15 (m) |
35,796 | |||||||||
9,895 | 05/15/15 |
8,709 | |||||||||
20,691 | 08/15/15 (c) |
17,981 | |||||||||
8,096 | 11/15/15 (c) |
6,942 | |||||||||
38,361 | 11/15/15 (c) |
32,903 | |||||||||
87,812 | 02/15/16 (m) |
74,267 | |||||||||
32,950 | 05/15/16 (c) |
27,451 | |||||||||
44,427 | 08/15/16 (c) |
36,502 | |||||||||
14,200 | 11/15/16 |
11,523 | |||||||||
19,261 | 11/15/16 (c) |
15,619 | |||||||||
82,408 | 02/15/17 (c) |
65,899 | |||||||||
24,158 | 05/15/17 |
19,076 | |||||||||
5,200 | 08/15/17 (c) |
4,045 | |||||||||
42,303 | 08/15/17 (c) |
32,855 | |||||||||
90,980 | 11/15/17 |
69,720 | |||||||||
33,450 | 02/15/18 |
25,304 | |||||||||
8,863 | 05/15/18 |
6,645 | |||||||||
22,736 | 08/15/18 |
16,696 | |||||||||
16,000 | 11/15/18 (c) |
11,593 | |||||||||
11,475 | 02/15/19 (c) |
8,214 | |||||||||
11,897 | 02/15/19 (c) |
8,504 | |||||||||
38,200 | 05/15/19 (c) |
26,859 | |||||||||
1,500 | 08/15/19 |
1,042 | |||||||||
4,550 | 05/15/20 |
3,037 | |||||||||
21,100 | 05/15/20 |
14,019 | |||||||||
23,900 | 08/15/20 |
15,655 | |||||||||
8,550 | 11/15/20 (c) |
5,525 | |||||||||
1,000 | 02/15/21 |
638 | |||||||||
7,708 | 02/15/22 |
4,615 | |||||||||
7,869 | 02/15/23 (c) |
4,445 | |||||||||
1,200 | 02/15/24 |
638 | |||||||||
7,000 | 05/15/24 |
3,662 | |||||||||
5,925 | 08/15/24 |
3,055 | |||||||||
12,600 | 11/15/24 |
6,408 | |||||||||
5,800 | 02/15/25 |
2,911 | |||||||||
2,700 | 05/15/25 |
1,335 | |||||||||
4,300 | 05/15/26 |
2,016 | |||||||||
1,250 | 05/15/29 |
503 | |||||||||
1,120 | 11/15/29 |
439 | |||||||||
500 | 02/15/30 |
193 | |||||||||
1,175 | 05/15/36 |
338 | |||||||||
Total U.S. Treasury Obligations (Cost $3,064,040) |
3,152,180 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Common Stock 0.0% |
|||||||||||
Utilities 0.0% (g) |
|||||||||||
Independent Power Producers & Energy Traders 0.0% (g) |
|||||||||||
1 | Dynegy, Inc., Class A (Cost $) (a) |
1 | |||||||||
Short-Term Investments 8.6% |
|||||||||||
Investment Companies 8.6% |
|||||||||||
617,565 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080%, (b) (l) |
617,565 | |||||||||
600,111 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.060% (b) (l) |
600,111 | |||||||||
Total Investment Companies (Cost $1,217,676) |
1,217,676 | ||||||||||
Total Short-Term Investments (Cost $1,217,676) |
1,217,676 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Investments of Cash Collateral for Securities on Loan 2.2% |
|||||||||||
Asset-Backed Security 0.0% (g) |
|||||||||||
1,175 | GSAA
Trust, Series 2006-3, Class A1, VAR, 0.309%, 03/30/10 |
841 | |||||||||
Corporate Note 0.1% |
|||||||||||
13,500 | Monumental Global Funding III, VAR, 0.312%, 05/24/10 (e) |
13,430 | |||||||||
SHARES |
|||||||||||
Investment Company 2.1% |
|||||||||||
304,663 | JPMorgan Prime Money Market Fund, Capital Shares, 0.090%, (b) (l) |
304,663 | |||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $319,337) |
318,934 | ||||||||||
Total Investments 101.5% (Cost $14,051,883) |
14,472,338 | ||||||||||
Liabilities in Excess of Other Assets (1.5)% |
(214,281 | ) | |||||||||
NET ASSETS 100.0% |
$ | 14,258,057 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
Asset-Backed Securities 2.0% |
|||||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
1,510 | Series 2008-AF, Class A4, 6.960%, 10/14/14 |
1,611 | |||||||||
270 | Series 2010-1, Class A3, 1.660%, 03/17/14 |
270 | |||||||||
788 | Ameriquest Mortgage Securities, Inc., Series 2003-13, Class AF6, SUB, 5.094%, 01/25/34 |
738 | |||||||||
61 | BankBoston Home Equity Loan Trust, Series 1998-1, Class A6, 6.350%, 02/25/13 |
50 | |||||||||
Bear
Stearns Asset Backed Securities Trust, |
|||||||||||
1,109 | Series
2003-SD2, Class 2A, VAR, 3.865%, 06/25/43 (f) (i) |
991 | |||||||||
1,633 | Series
2006-SD1, Class A, VAR, 0.599%, 04/25/36 (f) (i) |
1,111 | |||||||||
632 | Capital One Auto Finance Trust, Series 2007-C, Class A3A, 5.130%, 04/16/12 |
644 | |||||||||
Centex Home Equity, |
|||||||||||
435 | Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 |
407 | |||||||||
135 | Series 2003-B, Class AF4, SUB, 3.735%, 02/25/32 |
113 | |||||||||
1,372 | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39 |
1,533 | |||||||||
316 | CNH
Equipment Trust, Series 2008-B, Class A3A, 4.780%, 07/16/12 |
322 | |||||||||
559 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 |
563 | |||||||||
Countrywide Asset-Backed Certificates, |
|||||||||||
8 | Series 2004-1, Class 3A, VAR, 0.509%, 04/25/34 |
6 | |||||||||
590 | Series 2004-1, Class M1, VAR, 0.729%, 03/25/34 |
440 | |||||||||
480 | Series 2004-1, Class M2, VAR, 0.779%, 03/25/34 |
387 | |||||||||
1,539 | Series 2004-6,
Class M1, VAR, 0.829%, 10/25/34 (f) (i) |
763 | |||||||||
230 | Series 2004-13,
Class MV8, VAR, 1.929%, 01/25/35 (f) (i) |
12 | |||||||||
35 | Series 2005-3, Class AF3, VAR, 4.823%, 08/25/35 |
34 | |||||||||
436 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
305 | |||||||||
105 | CS First Boston
Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 (f) (i) |
89 | |||||||||
635 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 |
699 | |||||||||
86 | GSAMP Trust, Series 2005-WMC2, Class A2B, VAR, 0.489%, 11/25/35 |
85 | |||||||||
HFC
Home Equity Loan Asset Backed Certificates, |
|||||||||||
1,282 | Series 2004-1, Class A, VAR, 0.579%, 09/20/33 |
1,128 | |||||||||
279 | Series 2005-2, Class A1, VAR, 0.499%, 01/20/35 |
261 | |||||||||
1,116 | Series 2005-2, Class M1, VAR, 0.689%, 01/20/35 |
1,000 | |||||||||
1,116 | Series 2005-2, Class M2, VAR, 0.719%, 01/20/35 |
975 | |||||||||
432 | Series 2006-1, Class A1, VAR, 0.389%, 01/20/36 |
376 | |||||||||
1,050 | Series 2006-2, Class A1, VAR, 0.379%, 03/20/36 |
973 | |||||||||
977 | Series 2006-3, Class A2F, SUB, 5.660%, 03/20/36 |
979 | |||||||||
1,000 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 |
1,010 | |||||||||
250 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 |
257 | |||||||||
1,455 | Series 2007-2, Class A3F, SUB, 5.810%, 07/20/36 |
1,433 | |||||||||
1,333 | Series 2007-3, Class APT, VAR, 1.429%, 11/20/36 |
1,209 | |||||||||
Long
Beach Mortgage Loan Trust, |
|||||||||||
58 | Series 2004-2,
Class B, VAR, 3.729%, 06/25/34 (e) (f) (i) |
4 | |||||||||
63 | Series 2004-5,
Class M6, VAR, 2.729%, 09/25/34 (f) (i) |
6 | |||||||||
1,403 | Morgan Stanley
ABS Capital I, Series 2003-SD1, Class M1, VAR, 1.729%, 03/25/33 (f) (i) |
575 | |||||||||
New
Century Home Equity Loan Trust, |
|||||||||||
1,000 | Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 |
881 | |||||||||
610 | Series 2005-1, Class M1, VAR, 0.679%, 03/25/35 |
525 | |||||||||
1,801 | Salomon
Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) |
1,564 | |||||||||
132 | Soundview Home Equity Loan Trust, Series 2007-OPT1, Class 2A1, VAR, 0.309%, 06/25/37 |
107 | |||||||||
221 | Union Pacific Railroad Co. 2003 Pass Through Trust, 4.698%, 01/02/24 |
223 | |||||||||
1,500 | Unipac IX LLC,
13.000%, 04/11/13 (f) (i) |
1,468 | |||||||||
295 | USAA
Auto Owner Trust, Series 2009-2, Class A4, 2.530%, 07/15/15 |
300 | |||||||||
Total Asset-Backed Securities (Cost $28,442) |
26,427 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations 25.0% |
|||||||||||
Agency CMO 17.2% |
|||||||||||
994 | Federal Home Loan Bank System, Series 2000-0606, Class Y, 5.270%, 12/28/12 |
1,063 | |||||||||
Federal Home Loan Mortgage Corp. Government National Mortgage Association, |
|||||||||||
258 | Series 23, Class KZ, 6.500%, 11/25/23 |
275 | |||||||||
1,832 | Series 24, Class J, 6.250%, 11/25/23 |
1,937 | |||||||||
323 | Series 31, Class Z, 8.000%, 04/25/24 |
354 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
42 | Series 11, Class D, 9.500%, 07/15/19 |
45 | |||||||||
23 | Series 38, Class D, 9.500%, 05/15/20 |
26 | |||||||||
11 | Series 81, Class A, 8.125%, 11/15/20 |
12 | |||||||||
29 | Series 84, Class F, 9.200%, 10/15/20 |
32 | |||||||||
17 | Series 109, Class I, 9.100%, 01/15/21 |
18 | |||||||||
5 | Series 198, Class Z, 8.500%, 09/15/22 |
5 | |||||||||
64 | Series 201, Class Z, 8.000%, 02/15/23 |
65 | |||||||||
31 | Series 1254, Class N, 8.000%, 04/15/22 |
31 | |||||||||
193 | Series 1316, Class Z, 8.000%, 06/15/22 |
213 | |||||||||
67 | Series 1343, Class LB, 7.500%, 08/15/22 |
74 | |||||||||
2 | Series 1351, Class TF, HB, 1,010.000%, 08/15/22 |
47 | |||||||||
131 | Series 1456, Class Z, 7.500%, 01/15/23 |
132 | |||||||||
1,000 | Series 1543, Class VN, 7.000%, 07/15/23 |
1,063 | |||||||||
27 | Series 1556, Class H, 6.500%, 08/15/13 |
27 | |||||||||
420 | Series 1577, Class PV, 6.500%, 09/15/23 |
463 | |||||||||
89 | Series 1595, Class D, 7.000%, 10/15/13 |
97 | |||||||||
16 | Series 1611, Class JC, IF, 10.000%, 08/15/23 |
17 | |||||||||
1,777 | Series 1628, Class LZ, 6.500%, 12/15/23 |
1,919 | |||||||||
796 | Series 1630, Class PK, 6.000%, 11/15/23 |
861 | |||||||||
1,000 | Series 1671, Class I, 7.000%, 02/15/24 |
1,132 | |||||||||
16 | Series 1671, Class QC, IF, 10.000%, 02/15/24 |
20 | |||||||||
138 | Series 1695, Class G, HB, IF, 23.222%, 03/15/24 |
199 | |||||||||
81 | Series 1710, Class GB, HB, IF, 34.987%, 04/15/24 |
148 | |||||||||
369 | Series 1911, Class SD, IF, IO, 10.169%, 07/15/23 |
91 | |||||||||
174 | Series 2022, Class PE, 6.500%, 01/15/28 |
187 | |||||||||
1,334 | Series 2033, Class K, 6.050%, 08/15/23 |
1,417 | |||||||||
1,200 | Series 2036, Class PG, 6.500%, 01/15/28 |
1,289 | |||||||||
558 | Series 2055, Class OE, 6.500%, 05/15/13 |
578 | |||||||||
168 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
31 | |||||||||
4,156 | Series 2091, Class PG, 6.000%, 11/15/28 |
4,512 | |||||||||
287 | Series 2148, Class ZA, 6.000%, 04/15/29 |
310 | |||||||||
483 | Series 2201, Class C, 8.000%, 11/15/29 |
535 | |||||||||
131 | Series 2261, Class ZY, 7.500%, 10/15/30 |
136 | |||||||||
1,451 | Series 2293, Class ZA, 6.000%, 03/15/31 |
1,572 | |||||||||
195 | Series 2297, Class NB, 6.000%, 03/15/16 |
208 | |||||||||
236 | Series 2310, Class Z, 6.000%, 04/15/31 |
256 | |||||||||
87 | Series 2313, Class LA, 6.500%, 05/15/31 |
95 | |||||||||
745 | Series 2325, Class JO, PO, 06/15/31 |
613 | |||||||||
2,084 | Series 2330, Class PE, 6.500%, 06/15/31 |
2,271 | |||||||||
672 | Series 2344, Class QG, 6.000%, 08/15/16 |
722 | |||||||||
768 | Series 2345, Class PQ, 6.500%, 08/15/16 |
832 | |||||||||
610 | Series 2368, Class TG, 6.000%, 10/15/16 |
657 | |||||||||
1,222 | Series 2394, Class MC, 6.000%, 12/15/16 |
1,319 | |||||||||
464 | Series 2399, Class PG, 6.000%, 01/15/17 |
503 | |||||||||
300 | Series 2410, Class QB, 6.250%, 02/15/32 |
335 | |||||||||
1,000 | Series 2430, Class WF, 6.500%, 03/15/32 |
1,098 | |||||||||
1,275 | Series 2466, Class DH, 6.500%, 06/15/32 |
1,398 | |||||||||
3,286 | Series 2530, Class SK, IF, IO, 7.869%, 06/15/29 |
582 | |||||||||
411 | Series 2534, Class SI, IF, 20.460%, 02/15/32 |
512 | |||||||||
2,000 | Series 2543, Class YX, 6.000%, 12/15/32 |
2,179 | |||||||||
5,627 | Series 2545, Class SQ, IF, IO, 7.369%, 05/15/17 |
382 | |||||||||
456 | Series 2557, Class HL, 5.300%, 01/15/33 |
486 | |||||||||
2,590 | Series 2586, Class IO, IO, 6.500%, 03/15/33 |
476 | |||||||||
3,277 | Series 2587, Class XS, IF, IO, 7.419%, 09/15/17 |
249 | |||||||||
697 | Series 2594, Class IV, IO, 7.000%, 03/15/32 |
113 | |||||||||
231 | Series 2602, Class BX, 3.500%, 12/15/22 |
239 | |||||||||
2,480 | Series 2610, Class UI, IO, 6.500%, 05/15/33 |
439 | |||||||||
1,515 | Series 2613, Class H, 4.500%, 05/15/18 |
1,593 | |||||||||
2,000 | Series 2617, Class GR, 4.500%, 05/15/18 |
2,113 | |||||||||
1,112 | Series 2630, Class KX, 4.050%, 06/15/18 |
1,111 | |||||||||
3,928 | Series 2630, Class S, IF, IO, 6.919%, 01/15/17 |
232 | |||||||||
6,223 | Series 2636, Class Z, 4.500%, 06/15/18 |
6,557 | |||||||||
5,288 | Series 2641, Class SK, IF, IO, 6.919%, 01/15/18 |
510 | |||||||||
793 | Series 2656, Class AC, 6.000%, 08/15/33 |
863 | |||||||||
1,375 | Series 2656, Class PE, 4.500%, 07/15/18 |
1,449 | |||||||||
1,960 | Series 2658, Class A, 4.500%, 08/15/18 |
1,906 | |||||||||
930 | Series 2668, Class SB, IF, 6.995%, 10/15/15 |
968 | |||||||||
1,437 | Series 2686, Class GB, 5.000%, 05/15/20 |
1,493 | |||||||||
1,233 | Series 2695, Class OB, PO, 10/15/33 |
844 | |||||||||
2,562 | Series 2701, Class ST, IF, IO, 6.769%, 08/15/21 |
161 | |||||||||
5,000 | Series 2708, Class N, 4.000%, 11/15/18 |
5,179 | |||||||||
361 | Series 2717, Class BA, 6.000%, 11/15/30 |
372 | |||||||||
977 | Series 2723, Class JE, 5.500%, 12/15/33 |
974 | |||||||||
705 | Series 2733, Class SB, IF, 7.802%, 10/15/33 |
691 | |||||||||
370 | Series 2755, Class SA, IF, 13.739%, 05/15/30 |
411 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,494 | Series 2756, Class NA, 5.000%, 02/15/24 |
1,594 | |||||||||
287 | Series 2761, Class SM, IF, 13.737%, 01/15/33 |
302 | |||||||||
2,000 | Series 2764, Class OE, 4.500%, 03/15/19 |
2,110 | |||||||||
505 | Series 2764, Class S, IF, 13.173%, 07/15/33 |
478 | |||||||||
874 | Series 2776, Class SK, IF, 8.729%, 04/15/34 |
816 | |||||||||
1,632 | Series 2779, Class SM, IF, IO, 6.919%, 10/15/18 |
142 | |||||||||
357 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 |
378 | |||||||||
286 | Series 2861, Class GS, IF, IO, 6.969%, 01/15/21 |
1 | |||||||||
5,660 | Series 2864, Class NS, IF, IO, 6.869%, 09/15/34 |
399 | |||||||||
2,808 | Series 2888, Class IN, IO, 5.000%, 10/15/18 |
177 | |||||||||
556 | Series 2915, Class SY, IF, 15.673%, 01/15/35 |
579 | |||||||||
1,011 | Series 2931, Class GA, 5.000%, 11/15/28 |
1,054 | |||||||||
1,002 | Series 2942, Class ES, IF, IO, 6.419%, 03/15/35 |
15 | |||||||||
481 | Series 2971, Class PI, IO, 5.500%, 03/15/26 |
8 | |||||||||
201 | Series 2980, Class QB, 6.500%, 05/15/35 |
221 | |||||||||
375 | Series 2990, Class SL, HB, IF, 23.648%, 06/15/34 |
507 | |||||||||
5,573 | Series 2994, Class SC, IF, IO, 5.369%, 02/15/33 |
359 | |||||||||
975 | Series 2995, Class FT, VAR, 0.481%, 05/15/29 |
959 | |||||||||
729 | Series 3005, Class PV, IF, 12.366%, 10/15/33 |
805 | |||||||||
4,571 | Series 3006, Class XD, IF, IO, 6.369%, 07/15/35 |
337 | |||||||||
2,327 | Series 3020, Class DS, IF, IO, 6.419%, 08/15/35 |
45 | |||||||||
684 | Series 3031, Class BN, HB, IF, 20.973%, 08/15/35 |
704 | |||||||||
982 | Series 3059, Class B, 5.000%, 02/15/35 |
1,036 | |||||||||
1,000 | Series 3064, Class OG, 5.500%, 06/15/34 |
1,075 | |||||||||
230 | Series 3068, Class AO, PO, 01/15/35 |
218 | |||||||||
1,114 | Series 3089, Class SI, IF, IO, 6.919%, 11/15/30 |
20 | |||||||||
1,153 | Series 3117, Class EO, PO, 02/15/36 |
955 | |||||||||
547 | Series 3134, Class PO, PO, 03/15/36 |
465 | |||||||||
694 | Series 3138, Class PO, PO, 04/15/36 |
589 | |||||||||
776 | Series 3149, Class IU, IO, 6.000%, 09/15/25 |
8 | |||||||||
1,410 | Series 3152, Class MO, PO, 03/15/36 |
1,136 | |||||||||
7,147 | Series 3202, Class HI, IF, IO, 6.419%, 08/15/36 |
812 | |||||||||
431 | Series 3205, Class PA, 6.000%, 04/15/27 |
436 | |||||||||
306 | Series 3269, Class WF, VAR, 01/15/37 |
298 | |||||||||
8,886 | Series 3305, Class IW, IF, IO, 6.219%, 04/15/37 |
696 | |||||||||
803 | Series 3331, Class PO, PO, 06/15/37 |
655 | |||||||||
7,779 | Series 3369, Class SB, IF, IO, 6.189%, 09/15/37 |
916 | |||||||||
83 | Series 3436, Class GO, PO, 05/15/37 |
74 | |||||||||
5,703 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 |
168 | |||||||||
687 | Series 3542, Class TN, IF, 6.000%, 07/15/36 |
707 | |||||||||
1,306 | Series 3546, Class A, VAR, 6.124%, 02/15/39 |
1,370 | |||||||||
1,251 | Series 3611, Class PO, PO, 07/15/34 |
1,075 | |||||||||
864 | Federal Home Loan Mortgage Corp. STRIPS, Series 186, Class PO, PO, 08/01/27 |
719 | |||||||||
1,078 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-76, Class 2A, VAR, 4.845%, 10/25/37 |
1,103 | |||||||||
Federal National Mortgage Association Grantor Trust, |
|||||||||||
1,049 | Series 2002-T19, Class A1, 6.500%, 07/25/42 |
1,133 | |||||||||
811 | Series 2004-T2, Class 1A3, 7.000%, 11/25/43 |
883 | |||||||||
987 | Series 2004-T2, Class 1A4, 7.500%, 11/25/43 |
1,116 | |||||||||
13,123 | Series 2004-T3, Class 1IO4, IO, VAR, 0.601%, 02/25/44 |
199 | |||||||||
Federal National Mortgage Association Interest STRIPS, |
|||||||||||
5,661 | Series 203, Class 2, IO, 8.000%, 02/01/23 |
1,120 | |||||||||
973 | Series 266, Class 2, IO, 7.500%, 08/01/24 |
223 | |||||||||
1,872 | Series 348, Class 30, IO, 5.500%, 12/01/18 |
204 | |||||||||
1,817 | Series 348, Class 31, IO, VAR, 5.500%, 12/01/18 |
210 | |||||||||
1,450 | Series 356, Class 42, IO, 5.500%, 12/01/19 |
168 | |||||||||
4,602 | Series 380, Class S36, IF, IO, 7.669%, 07/25/37 |
572 | |||||||||
2,670 | Series 383, Class 68, IO, 6.500%, 09/01/37 |
465 | |||||||||
4,046 | Series 383, Class 69, IO, VAR, 6.500%, 10/01/37 |
765 | |||||||||
1,229 | Series 383, Class 86, IO, VAR, 7.000%, 09/01/37 |
227 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
19 | Series 1988-13, Class C, 9.300%, 05/25/18 |
21 | |||||||||
179 | Series 1989-72, Class E, 9.350%, 10/25/19 |
207 | |||||||||
7 | Series 1989-98, Class H, 11.500%, 12/25/19 |
7 | |||||||||
12 | Series 1990-1, Class D, 8.800%, 01/25/20 |
14 | |||||||||
14 | Series 1990-110, Class H, 8.750%, 09/25/20 |
16 | |||||||||
12 | Series 1990-117, Class E, 8.950%, 10/25/20 |
13 | |||||||||
101 | Series 1991-141, Class PZ, 8.000%, 10/25/21 |
111 | |||||||||
52 | Series 1992-31, Class M, 7.750%, 03/25/22 |
57 | |||||||||
61 | Series 1992-79, Class Z, 9.000%, 06/25/22 |
67 | |||||||||
51 | Series 1992-101, Class J, 7.500%, 06/25/22 |
54 | |||||||||
558 | Series 1992-188, Class PZ, 7.500%, 10/25/22 |
614 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
639 | Series 1992-200, Class SK, HB, IF, 20.616%, 11/25/22 |
839 | |||||||||
45 | Series 1993-23, Class PZ, 7.500%, 03/25/23 |
49 | |||||||||
365 | Series 1993-56, Class PZ, 7.000%, 05/25/23 |
392 | |||||||||
207 | Series 1993-60, Class Z, 7.000%, 05/25/23 |
229 | |||||||||
430 | Series 1993-79, Class PL, 7.000%, 06/25/23 |
462 | |||||||||
675 | Series 1993-141, Class Z, 7.000%, 08/25/23 |
726 | |||||||||
345 | Series 1993-149, Class M, 7.000%, 08/25/23 |
383 | |||||||||
1,555 | Series 1993-160, Class ZA, 6.500%, 09/25/23 |
1,711 | |||||||||
118 | Series 1993-165, Class SA, IF, 19.240%, 09/25/23 |
152 | |||||||||
13 | Series 1993-205, Class H, PO, 09/25/23 |
11 | |||||||||
112 | Series 1993-247, Class SM, HB, IF, 22.770%, 12/25/23 |
159 | |||||||||
120 | Series 1993-255, Class E, 7.100%, 12/25/23 |
132 | |||||||||
204 | Series 1993-257, Class C, PO, 06/25/23 |
208 | |||||||||
340 | Series 1994-1, Class L, 6.500%, 01/25/14 |
363 | |||||||||
4,244 | Series 1994-23, Class PX, 6.000%, 08/25/23 |
4,512 | |||||||||
169 | Series 1994-65, Class PK, PO, 04/25/24 |
146 | |||||||||
393 | Series 1995-4, Class Z, 7.500%, 10/25/22 |
459 | |||||||||
649 | Series 1995-19, Class Z, 6.500%, 11/25/23 |
699 | |||||||||
117 | Series 1996-59, Class K, 6.500%, 07/25/23 |
123 | |||||||||
187 | Series 1997-11, Class E, 7.000%, 03/18/27 |
209 | |||||||||
613 | Series 1997-20, Class D, 7.000%, 03/17/27 |
669 | |||||||||
75 | Series 1997-27, Class J, 7.500%, 04/18/27 |
81 | |||||||||
1,819 | Series 1997-37, Class SM, IF, IO, 7.750%, 12/25/22 |
225 | |||||||||
500 | Series 1997-42, Class EG, 8.000%, 07/18/27 |
556 | |||||||||
1,137 | Series 1997-63, Class ZA, 6.500%, 09/18/27 |
1,255 | |||||||||
1,676 | Series 1999-47, Class JZ, 8.000%, 09/18/29 |
1,863 | |||||||||
497 | Series 2000-8, Class Z, 7.500%, 02/20/30 |
547 | |||||||||
869 | Series 2001-4, Class PC, 7.000%, 03/25/21 |
975 | |||||||||
376 | Series 2001-5, Class OW, 6.000%, 03/25/16 |
398 | |||||||||
1,337 | Series 2001-14, Class Z, 6.000%, 05/25/31 |
1,459 | |||||||||
1,020 | Series 2001-36, Class ST, IF, IO, 8.271%, 11/25/30 |
189 | |||||||||
4,170 | Series 2001-72, Class SB, IF, IO, 7.271%, 12/25/31 |
608 | |||||||||
940 | Series 2002-11, Class QG, 5.500%, 03/25/17 |
1,003 | |||||||||
257 | Series 2002-19, Class SC, IF, 13.769%, 03/17/32 |
288 | |||||||||
834 | Series 2002-55, Class QE, 5.500%, 09/25/17 |
897 | |||||||||
945 | Series 2002-63, Class KC, 5.000%, 10/25/17 |
1,003 | |||||||||
400 | Series 2002-73, Class AN, 5.000%, 11/25/17 |
425 | |||||||||
1,421 | Series 2003-8, Class QD, 5.000%, 09/25/16 |
1,464 | |||||||||
2,874 | Series 2003-14, Class EH, IF, IO, 7.371%, 03/25/18 |
307 | |||||||||
1,000 | Series 2003-18, Class GT, 5.000%, 03/25/18 |
1,071 | |||||||||
4,186 | Series 2003-30, Class IP, IO, 5.750%, 08/25/32 |
388 | |||||||||
2,000 | Series 2003-47, Class PE, 5.750%, 06/25/33 |
2,146 | |||||||||
250 | Series 2003-60, Class DA, 4.250%, 06/25/21 |
257 | |||||||||
1,424 | Series 2003-64, Class KS, IF, 9.349%, 07/25/18 |
1,546 | |||||||||
467 | Series 2003-64, Class SX, IF, 13.178%, 07/25/33 |
480 | |||||||||
1,456 | Series 2003-73, Class GA, 3.500%, 05/25/31 |
1,494 | |||||||||
2,000 | Series 2003-83, Class PG, 5.000%, 06/25/23 |
2,126 | |||||||||
86 | Series 2003-91, Class SD, IF, 12.119%, 09/25/33 |
87 | |||||||||
1,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 |
1,061 | |||||||||
2,000 | Series 2003-106, Class WE, 4.500%, 11/25/22 |
2,103 | |||||||||
5,154 | Series 2003-109, Class TS, IF, IO, 6.871%, 08/25/22 |
464 | |||||||||
771 | Series 2003-128, Class KE, 4.500%, 01/25/14 |
808 | |||||||||
9,247 | Series 2003-128, Class NG, 4.000%, 01/25/19 |
9,529 | |||||||||
1,000 | Series 2004-8, Class GD, 4.500%, 10/25/32 |
1,043 | |||||||||
1,000 | Series 2004-21, Class AE, 4.000%, 04/25/19 |
1,029 | |||||||||
179 | Series 2004-22, Class A, 4.000%, 04/25/19 |
184 | |||||||||
78 | Series 2004-29, Class WS, IF, 10.585%, 02/25/19 |
78 | |||||||||
1,000 | Series 2004-53, Class NC, 5.500%, 07/25/24 |
1,071 | |||||||||
63 | Series 2004-61, Class SC, IF, 10.921%, 08/25/34 |
65 | |||||||||
782 | Series 2004-72, Class F, VAR, 0.729%, 09/25/34 |
775 | |||||||||
828 | Series 2004-87, Class JI, IO, 5.000%, 11/25/30 |
44 | |||||||||
1,000 | Series 2004-101, Class PD, 5.000%, 06/25/30 |
1,061 | |||||||||
263 | Series 2005-42, Class PS, IF, 16.428%, 05/25/35 |
311 | |||||||||
5,695 | Series 2005-53, Class CS, IF, IO, 6.471%, 06/25/35 |
680 | |||||||||
2,275 | Series 2005-59, Class PC, 5.500%, 03/25/31 |
2,420 | |||||||||
759 | Series 2005-65, Class KO, PO, 08/25/35 |
646 | |||||||||
6,800 | Series 2005-68, Class BC, 5.250%, 06/25/35 |
7,262 | |||||||||
3,123 | Series 2005-68, Class JK, 5.250%, 05/25/35 |
3,153 | |||||||||
8,590 | Series 2005-72, Class WS, IF, IO, 6.521%, 08/25/35 |
804 | |||||||||
1,748 | Series 2005-84, Class XM, 5.750%, 10/25/35 |
1,902 | |||||||||
539 | Series 2005-90, Class ES, IF, 16.303%, 10/25/35 |
626 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
553 | Series 2005-106, Class US, HB, IF, 23.728%, 11/25/35 |
790 | |||||||||
758 | Series 2005-116, Class PB, 6.000%, 04/25/34 |
821 | |||||||||
2,690 | Series 2006-2, Class IG, IO, 6.000%, 06/25/32 |
116 | |||||||||
819 | Series 2006-22, Class AO, PO, 04/25/36 |
658 | |||||||||
936 | Series 2006-27, Class OH, PO, 04/25/36 |
792 | |||||||||
2,317 | Series 2006-46, Class LI, IO, 6.000%, 02/25/34 |
179 | |||||||||
1,650 | Series 2006-59, Class QO, PO, 01/25/33 |
1,395 | |||||||||
847 | Series 2006-74, Class UT, 10.500%, 08/25/36 |
885 | |||||||||
2,500 | Series 2006-77, Class PC, 6.500%, 08/25/36 |
2,777 | |||||||||
2,375 | Series 2006-110, Class PO, PO, 11/25/36 |
1,935 | |||||||||
679 | Series 2006-114, Class DS, VAR, 12/25/36 |
593 | |||||||||
767 | Series 2006-128, Class PO, PO, 01/25/37 |
617 | |||||||||
806 | Series 2007-10, Class Z, 6.000%, 02/25/37 |
864 | |||||||||
6,591 | Series 2007-22, Class SC, IF, IO, 5.851%, 03/25/37 |
651 | |||||||||
1,418 | Series 2007-68, Class IA, IO, 6.500%, 06/25/37 |
225 | |||||||||
1,600 | Series 2007-79, Class PC, 5.000%, 01/25/32 |
1,695 | |||||||||
803 | Series 2007-100, Class SM, IF, I0, 6.221%, 10/25/37 |
71 | |||||||||
10,230 | Series 2008-62, Class SM, IF, IO, 5.971%, 07/25/38 |
1,189 | |||||||||
1,945 | Series 2009-17, Class AI, IO, 5.000%, 03/25/24 |
198 | |||||||||
4,782 | Series 2009-23, Class MI, IO, 4.500%, 04/25/24 |
447 | |||||||||
1,827 | Series 2009-29, Class LA, VAR, 6.768%, 05/25/39 |
2,007 | |||||||||
4,229 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 |
838 | |||||||||
41 | Series G-29, Class O, 8.500%, 09/25/21 |
46 | |||||||||
136 | Series G92-15, Class Z, 7.000%, 01/25/22 |
140 | |||||||||
26 | Series G92-30, Class Z, 7.000%, 06/25/22 |
29 | |||||||||
55 | Series G92-62, Class B, PO, 10/25/22 |
47 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
162 | Series 1995-W4, Class A6, VAR, 7.500%, 07/25/25 |
168 | |||||||||
389 | Series 1995-W5, Class A5, VAR, 7.080%, 12/25/25 |
389 | |||||||||
1,126 | Series 2001-W3, Class A, VAR, 7.000%, 09/25/41 |
1,227 | |||||||||
16,004 | Series 2002-W10, Class IO, IO, VAR, 0.983%, 08/25/42 |
425 | |||||||||
26,469 | Series 2002-W7, Class IO1, IO, VAR, 0.921%, 06/25/29 |
629 | |||||||||
52 | Series 2003-W3, Class 2A5, 5.356%, 06/25/42 |
55 | |||||||||
458 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
495 | |||||||||
721 | Series 2003-W6, Class 1A41, 5.398%, 10/25/42 |
760 | |||||||||
52,458 | Series 2004-W11, Class 1IO1, IO, VAR, 0.352%, 05/25/44 |
492 | |||||||||
450 | Series 2004-W2, Class 1A3F, VAR, 0.579%, 02/25/44 |
445 | |||||||||
443 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
478 | |||||||||
991 | Series 2004-W8, Class 3A, 7.500%, 06/25/44 |
1,120 | |||||||||
1,250 | Series 2004-W9, Class 1A3, 6.050%, 02/25/44 |
1,370 | |||||||||
1,921 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 |
2,066 | |||||||||
Government National Mortgage Association, |
|||||||||||
223 | Series 1997-7, Class ZA, 9.000%, 05/16/27 |
243 | |||||||||
250 | Series 1997-8, Class PN, 7.500%, 05/16/27 |
266 | |||||||||
3,385 | Series 1999-15, Class S, IF, IO, 7.968%, 05/16/29 |
601 | |||||||||
57 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 |
66 | |||||||||
604 | Series 1999-44, Class ZG, 8.000%, 12/20/29 |
666 | |||||||||
376 | Series 2000-9, Class Z, 8.000%, 06/20/30 |
415 | |||||||||
295 | Series 2000-26, Class Z, 7.750%, 09/20/30 |
325 | |||||||||
1,031 | Series 2001-63, Class SI, HB, IF, 21.383%, 05/20/26 |
100 | |||||||||
2,762 | Series 2002-4, Class TD, 7.000%, 01/20/32 |
2,983 | |||||||||
2,563 | Series 2002-13, Class QA, IF, IO, 7.818%, 02/16/32 |
430 | |||||||||
1,427 | Series 2002-45, Class QE, 6.500%, 06/20/32 |
1,543 | |||||||||
83 | Series 2002-47, Class HM, 6.000%, 07/16/32 |
91 | |||||||||
9,475 | Series 2002-68, Class SC, IF, IO, 5.468%, 10/16/32 |
975 | |||||||||
1,783 | Series 2003-4, Class TI, IO, 5.500%, 05/16/31 |
86 | |||||||||
387 | Series 2003-52, Class SB, IF, 11.144%, 06/16/33 |
380 | |||||||||
7,457 | Series 2003-101, Class SK, IF, IO, 6.331%, 10/17/33 |
569 | |||||||||
145 | Series 2003-116, Class JO, PO, 12/20/33 |
145 | |||||||||
240 | Series 2004-2, Class SA, IF, 19.695%, 01/16/34 |
293 | |||||||||
10,434 | Series 2004-59, Class SG, IF, IO, 6.271%, 07/20/34 |
1,336 | |||||||||
9,049 | Series 2004-68, Class SA, IF, IO, 6.571%, 05/20/31 |
622 | |||||||||
73 | Series 2004-73, Class AE, IF, 14.383%, 08/17/34 |
83 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
3,558 | Series 2004-90, Class SI, IF, IO, 5.871%, 10/20/34 |
299 | |||||||||
6,246 | Series 2004-105, Class SN, IF, IO, 5.871%, 12/20/34 |
500 | |||||||||
12,288 | Series 2005-3, Class SD, IF, IO, 5.871%, 01/20/31 |
685 | |||||||||
9,310 | Series 2005-48, Class CS, IF, IO, 6.071%, 04/20/33 |
635 | |||||||||
666 | Series 2005-56, Class IC, IO, 5.500%, 07/20/35 |
94 | |||||||||
5,826 | Series 2007-9, Class CI, IF, IO, 5.971%, 03/20/37 |
514 | |||||||||
669 | Series 2007-17, Class JO, PO, 04/16/37 |
571 | |||||||||
3,667 | Series 2007-26, Class SC, IF, IO, 5.971%, 05/20/37 |
333 | |||||||||
2,703 | Series 2007-67, Class SI, IF, IO, 6.281%, 11/20/37 |
260 | |||||||||
724 | Series 2008-29, Class PO, PO, 02/17/33 |
628 | |||||||||
226 | Series 2008-34, Class OC, PO, 06/20/37 |
132 | |||||||||
2,532 | Series 2008-40, Class PS, IF, IO, 6.268%, 05/16/38 |
285 | |||||||||
5,014 | Series 2008-40, Class SA, IF, IO, 6.168%, 05/16/38 |
578 | |||||||||
984 | Series 2008-43, Class NA, 5.500%, 11/20/37 |
1,040 | |||||||||
1,980 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 |
471 | |||||||||
1,527 | Series 2009-79, Class OK, PO, 11/16/37 |
1,324 | |||||||||
Vendee Mortgage Trust, |
|||||||||||
1,339 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
1,433 | |||||||||
3,503 | Series 1998-1, Class 2E, 7.000%, 03/15/28 |
3,809 | |||||||||
408 | Series 1999-1, Class 2Z, 6.500%, 01/15/29 |
442 | |||||||||
228,576 | |||||||||||
Non-Agency CMO 7.8% |
|||||||||||
1,363 | ABN
Amro Mortgage Corp., Series 2003-7, Class A3, 4.500%, 07/25/18 |
1,384 | |||||||||
Adjustable Rate Mortgage Trust, |
|||||||||||
73 | Series 2005-4, Class 7A2, VAR, 0.459%, 08/25/35 |
59 | |||||||||
369 | Series 2005-5, Class 6A21, VAR, 0.459%, 09/25/35 |
241 | |||||||||
1,783 | American
General Mortgage Loan Trust, Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) |
1,821 | |||||||||
4,943 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 4.848%, 09/25/35 |
2,327 | |||||||||
403 | ASG
Resecuritization Trust, Series 2009-2, Class A55, VAR, 5.800%, 05/24/36 (e) |
402 | |||||||||
790 | Banc
of America Alternative Loan Trust, Series 2003-11, Class 2A1, 6.000%, 01/25/34 |
759 | |||||||||
Banc
of America Funding Corp., |
|||||||||||
1,500 | Series 2005-5, Class 3A5, 5.500%, 08/25/35 |
885 | |||||||||
716 | Series 2005-7, Class 30PO, PO, 11/25/35 |
469 | |||||||||
1,825 | Series 2005-E, Class 4A1, VAR, 2.995%, 03/20/35 |
1,693 | |||||||||
Banc
of America Mortgage Securities, Inc., |
|||||||||||
762 | Series 2003-7, Class A2, 4.750%, 09/25/18 |
774 | |||||||||
691 | Series 2004-2, Class 2A4, 5.500%, 03/25/34 |
486 | |||||||||
4,863 | Series 2004-3, Class 2A1, 5.500%, 04/25/34 |
4,490 | |||||||||
918 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 |
919 | |||||||||
918 | Series 2004-7, Class 2A2, 5.750%, 08/25/34 |
850 | |||||||||
394 | Series 2004-8, Class XPO, PO, 10/25/34 |
263 | |||||||||
71 | Series 2004-11, Class 15PO, PO, 01/25/20 |
50 | |||||||||
314 | Series 2005-1, Class 15PO, PO, 02/25/20 |
219 | |||||||||
504 | Series 2005-1, Class 1A17, 5.500%, 02/25/35 |
328 | |||||||||
2,142 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 |
2,121 | |||||||||
356 | Series 2005-10, Class 15PO, PO, 11/25/20 |
247 | |||||||||
549 | Series 2005-11, Class 15PO, PO, 12/25/20 |
378 | |||||||||
909 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 |
914 | |||||||||
676 | BCAP LLC Trust,
Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) |
670 | |||||||||
583 | Bear Stearns
Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 4.950%, 10/25/33 (f) (i) |
537 | |||||||||
11 | Bear
Stearns Mortgage Securities, Inc., Series 1997-6, Class 1A, VAR, 6.702%, 03/25/31 |
10 | |||||||||
1,839 | Cendant Mortgage Corp., Series 2003-8, Class 1A8, 5.250%, 10/25/33 |
1,701 | |||||||||
956 | Chase Mortgage Finance Corp., Series 2003-S10, Class A1, 4.750%, 11/25/18 |
969 | |||||||||
1,347 | Citicorp Mortgage Securities, Inc., Series 2004-1, Class 3A1, 4.750%, 01/25/34 |
1,366 | |||||||||
173 | Citigroup Mortgage Loan Trust, Inc., Series 2003-UST1, Class PO3, PO, 12/25/18 |
124 | |||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
527 | Series 2003-J3, Class 2A1, 6.250%, 12/25/33 (f) (i) |
525 | |||||||||
2,555 | Series 2004-16CB, Class 2A2, 5.000%, 08/25/19 |
2,442 | |||||||||
500 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
495 | |||||||||
1,785 | Series 2004-22CB, Class 1A1, 6.000%, 10/25/34 |
1,626 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
784 | Series 2005-5R, Class A1, 5.250%, 12/25/18 |
709 | |||||||||
800 | Series 2005-23CB, Class A2, 5.500%, 07/25/35 |
583 | |||||||||
5,000 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
3,782 | |||||||||
2,000 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 |
1,008 | |||||||||
31 | Series 2005-J1, Class 4A1, 6.000%, 08/25/17 |
31 | |||||||||
412 | Series 2005-J6, Class 2A1, 5.500%, 07/25/25 |
381 | |||||||||
100 | Series 2005-J7, Class 1A9, 5.500%, 07/25/35 |
56 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
|||||||||||
458 | Series 2002-22, Class A20, 6.250%, 10/25/32 |
470 | |||||||||
1,164 | Series 2003-40, Class A3, 4.500%, 10/25/18 |
1,150 | |||||||||
270 | Series 2003-J7, Class 2A13, 5.000%, 08/25/33 |
259 | |||||||||
1,325 | Series 2004-3, Class A25, 5.750%, 04/25/34 |
1,213 | |||||||||
65 | Series 2005-13, Class A1, 5.500%, 06/25/35 |
63 | |||||||||
1,522 | Series 2005-22, Class 2A1, VAR, 5.173%, 11/25/35 |
1,062 | |||||||||
125 | Series 2006-10, Class 1A10, 5.850%, 05/25/36 |
121 | |||||||||
1,080 | Credit Suisse
Mortgage Capital Certificates, Series 2009-3R, Class 19A3, 6.000%, 01/27/38 (e) |
1,080 | |||||||||
CS
First Boston Mortgage Securities Corp., |
|||||||||||
476 | Series 2003-29, Class 8A1, 6.000%, 11/25/18 |
463 | |||||||||
4,122 | Series 2004-4, Class 5A4, IF, IO, 7.321%, 08/25/34 |
436 | |||||||||
82 | Series 2004-5, Class 1A8, 6.000%, 09/25/34 |
82 | |||||||||
1,000 | Series 2005-1, Class 1A16, 5.500%, 02/25/35 |
684 | |||||||||
1,037 | Series 2005-7, Class 5A1, 4.750%, 08/25/20 |
993 | |||||||||
500 | Series 2005-10, Class 10A4, 6.000%, 11/25/35 |
200 | |||||||||
881 | Series 2005-10, Class 6A13, 5.500%, 11/25/35 |
588 | |||||||||
248 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4APO, PO, 06/25/35 |
159 | |||||||||
759 | First Horizon Alternative Mortgage Securities, Series 2004-AA3, Class A1, VAR, 2.378%, 09/25/34 |
644 | |||||||||
First Horizon Asset Securities, Inc., |
|||||||||||
528 | Series 2003-8, Class 1A43, PO, 10/25/33 |
326 | |||||||||
456 | Series 2004-AR7, Class 2A1, VAR, 2.880%, 02/25/35 |
438 | |||||||||
GSR
Mortgage Loan Trust, |
|||||||||||
1,131 | Series 2004-6F, Class 3A4, 6.500%, 05/25/34 |
1,139 | |||||||||
697 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 |
647 | |||||||||
1,000 | Series 2007-2F, Class 2A7, 5.750%, 02/25/37 |
756 | |||||||||
1,105 | Impac CMB Trust, Series 2004-10, Class 3A2, VAR, 1.029%, 03/25/35 |
305 | |||||||||
37 | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1, 5.500%, 08/25/33 |
37 | |||||||||
JP
Morgan Mortgage Trust, |
|||||||||||
1,531 | Series 2004-S2, Class 4A5, 6.000%, 11/25/34 |
1,272 | |||||||||
674 | Series 2006-A2, Class 4A1, VAR, 4.054%, 08/25/34 |
644 | |||||||||
470 | Series 2006-A2, Class 5A3, VAR, 3.431%, 11/25/33 |
460 | |||||||||
MASTR Adjustable Rate Mortgages Trust, |
|||||||||||
588 | Series 2004-13, Class 2A1, VAR, 3.002%, 04/21/34 |
566 | |||||||||
685 | Series 2004-13, Class 3A6, VAR, 3.097%, 11/21/34 |
680 | |||||||||
MASTR Alternative Loans Trust, |
|||||||||||
954 | Series 2003-7, Class 4A3, 8.000%, 11/25/18 |
1,003 | |||||||||
397 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 |
398 | |||||||||
76 | Series 2004-6, Class 6A1, 6.500%, 07/25/34 |
72 | |||||||||
247 | Series 2004-7, Class 30PO, PO, 08/25/34 |
163 | |||||||||
110 | Series 2004-7, Class 3A1, 6.500%, 08/25/34 |
101 | |||||||||
1,177 | Series 2004-8, Class 6A1, 5.500%, 09/25/19 |
1,137 | |||||||||
2,446 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
2,424 | |||||||||
559 | Series 2004-11, Class 8A3, 5.500%, 11/25/19 |
512 | |||||||||
95 | Series 2005-1, Class 5A1, 5.500%, 01/25/20 |
94 | |||||||||
MASTR Asset Securitization Trust, |
|||||||||||
110 | Series 2003-4, Class 2A2, 5.000%, 05/25/18 |
110 | |||||||||
164 | Series 2003-6, Class 8A1, 5.500%, 07/25/33 |
164 | |||||||||
913 | Series 2003-10, Class 3A1, 5.500%, 11/25/33 |
925 | |||||||||
409 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 |
414 | |||||||||
728 | Series 2003-11, Class 3A1, 4.500%, 12/25/18 |
729 | |||||||||
212 | Series 2004-6, Class 15PO, PO, 05/25/19 |
150 | |||||||||
414 | Series 2004-8, Class PO, PO, 08/25/19 |
295 | |||||||||
609 | Series 2004-10, Class 1A1, 4.500%, 10/25/19 |
603 | |||||||||
534 | MASTR
Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
310 | |||||||||
2,348 | Merrill Lynch
Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.509%, 08/25/35 (f) (i) |
1,594 | |||||||||
488 | MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.549%, 02/25/35 |
389 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
Nomura Asset Acceptance Corp., |
|||||||||||
424 | Series 2004-R2,
Class A1, VAR, 6.500%, 10/25/34 (e) |
399 | |||||||||
1,642 | Series
2005-AR1, Class 1A1, VAR, 2.885%, 02/25/35 (f) (i) |
1,174 | |||||||||
Paine Webber CMO Trust, |
|||||||||||
14 | Series H, Class 4, 8.750%, 04/01/18 |
15 | |||||||||
13 | Series L, Class 4, 8.950%, 07/01/18 |
15 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
1,375 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 |
1,365 | |||||||||
1,055 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
970 | |||||||||
4,000 | Series 2005-QS5, Class A4, 5.750%, 04/25/35 |
2,111 | |||||||||
500 | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13, 6.000%, 07/25/36 |
247 | |||||||||
Residential Funding Mortgage Securities I, |
|||||||||||
721 | Series 2003-S7, Class A17, 4.000%, 05/25/33 |
693 | |||||||||
1,482 | Series 2004-S4, Class 2A7, 4.500%, 04/25/19 |
1,468 | |||||||||
590 | Series 2005-SA4, Class 1A1, VAR, 3.783%, 09/25/35 |
452 | |||||||||
3,836 | Series 2006-S1, Class 1A8, 5.750%, 01/25/36 |
1,695 | |||||||||
849 | Residential Funding Mortgage Securities II, Inc., Series 2003-HI2, Class A6, SUB, 4.760%, 07/25/28 |
822 | |||||||||
501 | Residential Funding Securities LLC, Series 2003-RM2, Class AII, 5.000%, 05/25/18 |
513 | |||||||||
127 | SACO I, Inc.
(Bear Stearns), Series 1997-2, Class 1A5, 7.000%, 08/25/36 (e) (f) (i) |
124 | |||||||||
756 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A, VAR, 3.173%, 10/25/34 |
652 | |||||||||
Structured Asset Securities Corp., |
|||||||||||
360 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 |
360 | |||||||||
944 | Series
2003-31A, Class B1, VAR, 3.277%, 10/25/33 (f) (i) |
446 | |||||||||
964 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
939 | |||||||||
1,025 | Series 2003-37A, Class 2A, VAR, 4.992%, 12/25/33 |
1,023 | |||||||||
53 | Series 2007-OSI, Class A2, VAR, 0.319%, 06/25/37 |
46 | |||||||||
WaMu
Mortgage Pass-Through Certificates, |
|||||||||||
868 | Series 2002-S4, Class A4, 6.500%, 10/19/29 |
865 | |||||||||
701 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 |
722 | |||||||||
927 | Series 2003-AR8, Class A, VAR, 2.850%, 08/25/33 |
922 | |||||||||
839 | Series 2003-AR9, Class 1A6, VAR, 2.833%, 09/25/33 |
827 | |||||||||
282 | Series 2003-S4, Class 3A, 5.500%, 06/25/33 |
286 | |||||||||
361 | Series 2004-AR3, Class A1, VAR, 3.120%, 06/25/34 |
338 | |||||||||
820 | Series 2004-AR3, Class A2, VAR, 3.120%, 06/25/34 |
770 | |||||||||
871 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 |
867 | |||||||||
920 | Series 2004-CB3, Class 4A, 6.000%, 10/25/19 |
922 | |||||||||
239 | Series 2005-AR2, Class 2A21, VAR, 0.559%, 01/25/45 |
171 | |||||||||
1,900 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-4, Class CB7, 5.500%, 06/25/35 |
1,523 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
101 | Series 2003-2, Class A6, 5.250%, 02/25/18 |
101 | |||||||||
606 | Series 2003-8, Class A9, 4.500%, 08/25/18 |
606 | |||||||||
259 | Series 2003-10, Class A1, 4.500%, 09/25/18 |
256 | |||||||||
500 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 |
505 | |||||||||
1,074 | Series 2003-12, Class A2, 4.500%, 11/25/18 |
1,080 | |||||||||
398 | Series 2003-17, Class 2A9, PO, 01/25/34 |
225 | |||||||||
667 | Series 2003-18, Class A1, 5.500%, 12/25/33 |
675 | |||||||||
529 | Series 2003-J, Class 2A5, VAR, 4.437%, 10/25/33 |
517 | |||||||||
1,353 | Series 2003-M, Class A1, VAR, 4.687%, 12/25/33 |
1,338 | |||||||||
320 | Series 2004-DD, Class 2A8, VAR, 2.878%, 01/25/35 |
170 | |||||||||
607 | Series 2004-EE, Class 3A1, VAR, 3.901%, 12/25/34 |
608 | |||||||||
837 | Series 2004-EE, Class 3A2, VAR, 3.901%, 12/25/34 |
839 | |||||||||
212 | Series 2004-Q, Class 1A3, VAR, 4.881%, 09/25/34 |
183 | |||||||||
959 | Series 2004-Q, Class 2A2, VAR, 4.786%, 09/25/34 |
626 | |||||||||
1,023 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 |
1,038 | |||||||||
2,175 | Series 2005-9, Class 2A10, 5.250%, 10/25/35 |
1,589 | |||||||||
1,489 | Series 2005-13, Class A1, 5.000%, 11/25/20 |
1,518 | |||||||||
494 | Series 2006-AR11, Class A4, VAR, 5.424%, 08/25/36 |
464 | |||||||||
103,698 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $327,545) |
332,274 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Commercial Mortgage-Backed Securities 2.3% |
|||||||||||
Banc
of America Commercial Mortgage, Inc., |
|||||||||||
1,050 | Series 2005-3, Class A4, 4.668%, 07/10/43 |
1,039 | |||||||||
1,000 | Series 2005-3, Class AM, 4.727%, 07/10/43 |
888 | |||||||||
1,050 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 |
1,076 | |||||||||
2,000 | Series 2005-6, Class ASB, VAR, 5.178%, 09/10/47 |
2,096 | |||||||||
485 | Series 2006-1, Class A4, VAR, 5.372%, 09/10/45 |
493 | |||||||||
1,005 | Series 2006-4, Class A4, 5.634%, 07/10/46 |
1,008 | |||||||||
500 | Banc of America
Large Loan, Inc., Series 2009-UB1, Class A4A, VAR, 5.621%, 06/24/50 (e) |
496 | |||||||||
Bear
Stearns Commercial Mortgage Securities, |
|||||||||||
600 | Series 2004-T14, Class A3, 4.800%, 01/12/41 |
613 | |||||||||
640 | Series 2005-PWR7, Class A3, VAR, 5.116%, 02/11/41 |
656 | |||||||||
2,570 | Series 2006-PW11, Class A4, VAR, 5.455%, 03/11/39 |
2,668 | |||||||||
75 | Series 2006-PW12, Class A4, VAR, 5.719%, 09/11/38 |
78 | |||||||||
250 | Series 2006-T24, Class A4, 5.537%, 10/12/41 |
258 | |||||||||
264 | DLJ
Commercial Mortgage Corp., Series 2000-CF1, Class A1B, 7.620%, 06/10/33 |
264 | |||||||||
1,166 | First Union National Bank Commercial Mortgage, Series 2001-C2, Class A2, 6.663%, 01/12/43 |
1,208 | |||||||||
GMAC
Commercial Mortgage Securities, Inc., |
|||||||||||
217 | Series 2003-C1, Class A1, 3.337%, 05/10/36 |
219 | |||||||||
645 | Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45 |
654 | |||||||||
GS
Mortgage Securities Corp. II, |
|||||||||||
465 | Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38 |
457 | |||||||||
793 | Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e) |
699 | |||||||||
JP
Morgan Chase Commercial Mortgage Securities Corp., |
|||||||||||
1,000 | Series 2006-CB14, Class A4, VAR, 5.481%, 12/12/44 |
1,014 | |||||||||
620 | Series 2006-LDP6, Class A4, VAR, 5.475%, 04/15/43 |
634 | |||||||||
405 | LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31 |
414 | |||||||||
Merrill Lynch Mortgage Trust, |
|||||||||||
1,750 | Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44 |
1,796 | |||||||||
1,115 | Series 2006-C1, Class A4, VAR, 5.656%, 05/12/39 |
1,143 | |||||||||
1,725 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, VAR, 5.416%, 02/12/39 |
1,761 | |||||||||
Morgan Stanley Capital I, |
|||||||||||
645 | Series 2006-T21, Class A4, VAR, 5.162%, 10/12/52 |
671 | |||||||||
1,127 | Series 2006-T23, Class A1, 5.682%, 08/12/41 |
1,161 | |||||||||
785 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.920%, 03/12/35 |
815 | |||||||||
3,250 | TIAA
Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.072%, 08/15/39 |
3,514 | |||||||||
Wachovia Bank Commercial Mortgage Trust, |
|||||||||||
1,891 | Series 2004-C15, Class A2, 4.039%, 10/15/41 |
1,911 | |||||||||
170 | Series 2005-C17, Class A4, VAR, 5.083%, 03/15/42 |
173 | |||||||||
250 | Series 2006-C25, Class A4, VAR, 5.740%, 05/15/43 |
260 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $28,213) |
30,137 | ||||||||||
Corporate Bonds 35.3% |
|||||||||||
Consumer Discretionary 5.3% |
|||||||||||
Auto Components 0.2% |
|||||||||||
399 | American Tire
Distributors, Inc., 10.750%, 04/01/13 (c) |
375 | |||||||||
1,000 | DPH Holdings
Corp., 7.125%, 05/01/29 (d) |
22 | |||||||||
Goodyear Tire & Rubber Co. (The), |
|||||||||||
210 | 9.000%,
07/01/15 (c) |
217 | |||||||||
531 | 10.500%, 05/15/16 |
572 | |||||||||
1,957 | UCI
Holdco, Inc., PIK, 9.250%, 12/15/13 |
1,801 | |||||||||
2,987 | |||||||||||
Automobiles 0.5% |
|||||||||||
2,000 | Daimler Finance North America LLC, 7.300%, 01/15/12 |
2,184 | |||||||||
400 | Ford
Motor Co., 9.215%, 09/15/21 |
390 | |||||||||
Motors Liquidation Co., |
|||||||||||
120 | 5.250%, 03/06/32 |
807 | |||||||||
385 | 6.250%, 07/15/33 |
2,615 | |||||||||
21 | 7.250%, 04/15/41 |
141 | |||||||||
1 | 7.250%, 07/15/41 |
4 | |||||||||
42 | 7.250%, 02/15/52 |
278 | |||||||||
55 | 7.375%, 05/15/48 |
368 | |||||||||
1 | 7.375%, 10/01/51 |
9 | |||||||||
250 | Navistar International Corp., 8.250%, 11/01/21 |
254 | |||||||||
7,050 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Broadcasting & Cable TV 0.5% |
|||||||||||
2,004 | Adelphia
Communications Corp., 9.375%, 11/15/09 (d) |
25 | |||||||||
785 | DirecTV Holdings LLC/DirecTV Financing Co., 6.375%, 06/15/15 |
811 | |||||||||
DISH
DBS Corp., |
|||||||||||
400 | 7.000%, 10/01/13 |
409 | |||||||||
530 | 7.125%, 02/01/16 |
532 | |||||||||
475 | 7.875%, 09/01/19 |
489 | |||||||||
800 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15 |
808 | |||||||||
750 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 |
818 | |||||||||
Virgin Media Finance plc, (United Kingdom), |
|||||||||||
900 | 6.500%,
01/15/18 (e) |
887 | |||||||||
1,000 | 8.375%, 10/15/19 |
1,006 | |||||||||
5,785 | |||||||||||
Distributors 0.0% (g) |
|||||||||||
450 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) |
451 | |||||||||
Diversified Consumer Services 0.5% |
|||||||||||
750 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) |
713 | |||||||||
500 | Mac-Gray Corp., 7.625%, 08/15/15 |
490 | |||||||||
Service Corp. International, |
|||||||||||
495 | 7.000%, 06/15/17 |
485 | |||||||||
150 | 7.375%, 10/01/14 |
153 | |||||||||
2,073 | 7.625%, 10/01/18 |
2,083 | |||||||||
500 | Sothebys, 7.750%, 06/15/15 |
490 | |||||||||
Stewart Enterprises, Inc., |
|||||||||||
165 | 3.125%, 07/15/14 |
142 | |||||||||
1,863 | 6.250%, 02/15/13 |
1,821 | |||||||||
6,377 | |||||||||||
Gaming 0.5% |
|||||||||||
2,502 | Chukchansi
Economic Development Authority, 8.000%, 11/15/13 (c) (e) |
2,027 | |||||||||
1,000 | Harrahs
Operating Co., Inc., 10.000%, 12/15/18 (c) |
755 | |||||||||
1,010 | Mashantucket
Western Pequot Tribe, 8.500%, 11/15/15 (d) (e) |
263 | |||||||||
1,000 | MGM Mirage,
Inc., 6.875%, 04/01/16 (c) |
780 | |||||||||
750 | Peninsula
Gaming LLC, 8.375%, 08/15/15 (e) |
716 | |||||||||
900 | Seminole Hard
Rock Entertainment, Inc., VAR, 2.754%, 03/15/14 (e) |
801 | |||||||||
1,500 | Shingle Springs
Tribal Gaming Authority, 9.375%, 06/15/15 (e) |
1,192 | |||||||||
6,534 | |||||||||||
Hotels, Restaurants & Leisure 0.5% |
|||||||||||
500 | Cinemark USA, Inc., 8.625%, 06/15/19 |
520 | |||||||||
1,000 | Fontainebleau
Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp., 10.250%, 06/15/15 (d) (e) |
11 | |||||||||
Host
Hotels & Resorts LP, |
|||||||||||
750 | 6.875%, 11/01/14 |
746 | |||||||||
1,265 | 7.125%, 11/01/13 |
1,279 | |||||||||
225 | Landrys Restaurants, Inc., 11.625%, 12/01/15 (e) |
235 | |||||||||
250 | Mashantucket
Western Pequot Tribe, 5.912%, 09/01/21 (e) |
155 | |||||||||
500 | Real
Mex Restaurants, Inc., 14.000%, 01/01/13 |
464 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), |
|||||||||||
7 | 6.875%, 12/01/13 |
7 | |||||||||
400 | 7.000%, 06/15/13 |
397 | |||||||||
338 | 7.250%, 06/15/16 |
330 | |||||||||
408 | 11.875%, 07/15/15 |
462 | |||||||||
1,000 | Speedway Motorsports, Inc., 6.750%, 06/01/13 |
982 | |||||||||
255 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 |
272 | |||||||||
455 | Vail
Resorts, Inc., 6.750%, 02/15/14 |
452 | |||||||||
Wynn
Las Vegas LLC/Wynn Las Vegas Capital Corp., |
|||||||||||
350 | 6.625%, 12/01/14 |
339 | |||||||||
165 | 7.875%,
11/01/17 (e) |
163 | |||||||||
6,814 | |||||||||||
Household Durables 0.3% |
|||||||||||
1,000 | D.R.
Horton, Inc., 5.625%, 01/15/16 |
950 | |||||||||
KB
Home, |
|||||||||||
1,000 | 5.750%, 02/01/14 |
955 | |||||||||
415 | 5.875%, 01/15/15 |
388 | |||||||||
850 | Meritage Homes Corp., 7.000%, 05/01/14 |
825 | |||||||||
330 | Simmons Co.,
SUB, 10.000%, 12/15/14 (d) |
27 | |||||||||
3,145 | |||||||||||
Internet & Catalog Retail 0.0% (g) |
|||||||||||
400 | NetFlix, Inc., 8.500%, 11/15/17 |
419 | |||||||||
Leisure Equipment & Products 0.1% |
|||||||||||
400 | Brunswick Corp., 7.375%, 09/01/23 |
274 | |||||||||
440 | Eastman Kodak
Co., 9.750%, 03/01/18 (e) |
430 | |||||||||
750 | Steinway
Musical Instruments, 7.000%, 03/01/14 (e) |
694 | |||||||||
1,398 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Media 1.3% |
|||||||||||
700 | AMC
Entertainment, Inc., 8.750%, 06/01/19 |
723 | |||||||||
500 | Block Communications, Inc., 8.250%, 12/15/15 (e) |
492 | |||||||||
CBS
Corp., |
|||||||||||
750 | 8.625%, 08/01/12 |
824 | |||||||||
160 | 8.875%, 05/15/19 |
190 | |||||||||
Clear Channel Worldwide Holdings, Inc., |
|||||||||||
160 | 9.250%,
12/15/17 (e) |
163 | |||||||||
650 | 9.250%,
12/15/17 (e) |
668 | |||||||||
240 | Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22 |
321 | |||||||||
1,500 | Comcast Cable Holdings LLC, 9.800%, 02/01/12 |
1,709 | |||||||||
Comcast Corp., |
|||||||||||
850 | 5.900%, 03/15/16 |
926 | |||||||||
240 | 6.300%, 11/15/17 |
266 | |||||||||
Gannett Co., Inc., |
|||||||||||
500 | 8.750%,
11/15/14 (e) |
523 | |||||||||
175 | 9.375%,
11/15/17 (e) |
183 | |||||||||
1,000 | Historic TW, Inc., 9.150%, 02/01/23 |
1,230 | |||||||||
310 | Inmarsat
Finance plc, (United Kingdom), 7.375%, 12/01/17 (e) |
318 | |||||||||
1,225 | Intelsat
Jackson Holdings S.A., (Bermuda), 8.500%, 11/01/19 (e) |
1,240 | |||||||||
350 | Interpublic Group of Cos., Inc., 10.000%, 07/15/17 |
381 | |||||||||
Lamar Media Corp., |
|||||||||||
150 | 6.625%,
08/15/15 (c) |
143 | |||||||||
750 | 6.625%, 08/15/15 |
701 | |||||||||
75 | McClatchy
Co./The, 11.500%, 02/15/17 (e) |
73 | |||||||||
500 | Media General,
Inc., 11.750%, 02/15/17 (e) |
485 | |||||||||
News
America Holdings, Inc., |
|||||||||||
800 | 7.750%, 01/20/24 |
953 | |||||||||
147 | 8.875%, 04/26/23 |
189 | |||||||||
News
America, Inc., |
|||||||||||
600 | 6.750%, 01/09/38 |
631 | |||||||||
200 | 7.850%, 03/01/39 |
241 | |||||||||
150 | Salem
Communications Corp., 9.625%, 12/15/16 (e) |
155 | |||||||||
Thomson Reuters Corp., (Canada), |
|||||||||||
280 | 4.700%, 10/15/19 |
283 | |||||||||
410 | 5.950%, 07/15/13 |
457 | |||||||||
200 | 6.500%, 07/15/18 |
227 | |||||||||
335 | Time
Warner Cable, Inc., 7.300%, 07/01/38 |
380 | |||||||||
Time
Warner Entertainment Co. LP, |
|||||||||||
415 | 8.375%, 03/15/23 |
507 | |||||||||
750 | 10.150%, 05/01/12 |
871 | |||||||||
50 | Viacom, Inc., 6.875%, 04/30/36 |
54 | |||||||||
1,000 | WMG Acquisition
Corp., 9.500%, 06/15/16 (e) |
1,050 | |||||||||
17,557 | |||||||||||
Multiline Retail 0.2% |
|||||||||||
1,400 | HSN,
Inc., 11.250%, 08/01/16 |
1,571 | |||||||||
370 | QVC, Inc.,
7.500%, 10/01/19 (e) |
375 | |||||||||
310 | Target Corp., 7.000%, 01/15/38 |
360 | |||||||||
2,306 | |||||||||||
Specialty Retail 0.7% |
|||||||||||
1,000 | ACE Hardware
Corp., 9.125%, 06/01/16 (e) |
1,060 | |||||||||
1,000 | Blockbuster,
Inc., 11.750%, 10/01/14 (c) (e) |
720 | |||||||||
500 | Brown Shoe Co., Inc., 8.750%, 05/01/12 |
506 | |||||||||
400 | Burlington Coat Factory Investment Holdings, Inc., SUB, 14.500%, 10/15/14 |
410 | |||||||||
951 | Lowes Cos., Inc., 7.110%, 05/15/37 |
1,144 | |||||||||
1,000 | Ltd.
Brands, Inc., 8.500%, 06/15/19 |
1,071 | |||||||||
1,500 | Michaels Stores, Inc., SUB, 0.000%, 11/01/16 |
1,222 | |||||||||
1,500 | NBC
Acquisition Corp., SUB, 11.000%, 03/15/13 |
1,162 | |||||||||
Nebraska Book Co., Inc., |
|||||||||||
500 | 8.625%, 03/15/12 |
450 | |||||||||
102 | 10.000%,
12/01/11 (e) |
104 | |||||||||
750 | Sally Holdings
LLC/Sally Capital, Inc., 9.250%, 11/15/14 (c) |
784 | |||||||||
200 | Staples, Inc., 9.750%, 01/15/14 |
245 | |||||||||
700 | Toys
R Us Property Co. LLC, 8.500%, 12/01/17 (e) |
707 | |||||||||
9,585 | |||||||||||
Textiles, Apparel & Luxury Goods 0.0% (g) |
|||||||||||
250 | Hanesbrands, Inc., VAR, 3.831%, 12/15/14 |
234 | |||||||||
Total Consumer Discretionary |
70,642 | ||||||||||
Consumer Staples 2.0% |
|||||||||||
Beverages 0.5% |
|||||||||||
Anheuser-Busch Cos., Inc., |
|||||||||||
325 | 5.500%, 01/15/18 |
347 | |||||||||
550 | 5.750%, 04/01/36 |
540 | |||||||||
280 | 7.550%, 10/01/30 |
328 | |||||||||
Anheuser-Busch InBev Worldwide, Inc., |
|||||||||||
160 | 6.875%,
11/15/19 (e) |
184 | |||||||||
280 | 7.200%,
01/15/14 (e) |
322 | |||||||||
Coca-Cola Enterprises, Inc., |
|||||||||||
400 | 6.950%, 11/15/26 |
462 | |||||||||
528 | 8.500%, 02/01/12 |
600 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Beverages Continued |
|||||||||||
Constellation Brands, Inc., |
|||||||||||
330 | 7.250%, 09/01/16 |
334 | |||||||||
1,000 | 7.250%, 05/15/17 |
1,007 | |||||||||
Diageo Finance BV, (Netherlands), |
|||||||||||
575 | 5.300%, 10/28/15 |
640 | |||||||||
325 | 5.500%, 04/01/13 |
357 | |||||||||
1,235 | SABMiller plc,
(United Kingdom), 5.500%, 08/15/13 (e) |
1,334 | |||||||||
6,455 | |||||||||||
Food & Staples Retailing 0.5% |
|||||||||||
225 | CVS/Caremark Corp., 5.750%, 06/01/17 |
243 | |||||||||
1,710 | Ingles Markets, Inc., 8.875%, 05/15/17 |
1,761 | |||||||||
Kroger Co. (The), |
|||||||||||
215 | 6.400%, 08/15/17 |
241 | |||||||||
300 | 7.700%, 06/01/29 |
358 | |||||||||
2,000 | SUPERVALU, Inc., 8.000%, 05/01/16 |
2,015 | |||||||||
Wal-Mart Stores, Inc., |
|||||||||||
160 | 5.250%, 09/01/35 |
156 | |||||||||
1,000 | 6.200%, 04/15/38 |
1,095 | |||||||||
260 | 7.550%, 02/15/30 |
326 | |||||||||
6,195 | |||||||||||
Food Products 0.7% |
|||||||||||
Bunge Ltd. Finance Corp., |
|||||||||||
370 | 5.875%, 05/15/13 |
394 | |||||||||
655 | 8.500%, 06/15/19 |
763 | |||||||||
148 | Bunge N.A. Finance LP, 5.900%, 04/01/17 |
153 | |||||||||
1,000 | Cargill, Inc.,
7.350%, 03/06/19 (e) |
1,169 | |||||||||
135 | ConAgra Foods, Inc., 7.000%, 04/15/19 |
157 | |||||||||
Del
Monte Corp., |
|||||||||||
185 | 6.750%, 02/15/15 |
189 | |||||||||
475 | 7.500%,
10/15/19 (e) |
482 | |||||||||
1,000 | Diageo Investment Corp., 7.450%, 04/15/35 |
1,212 | |||||||||
220 | Dole Food Co.,
Inc., 8.000%, 10/01/16 (e) |
224 | |||||||||
Eurofresh, Inc., |
|||||||||||
130 | 15.000%,
11/18/16 (f) (i) |
130 | |||||||||
43 | 20.000%,
03/31/10 (f) (i) |
43 | |||||||||
641 | JBS USA LLC/JBS
USA Finance, Inc., 11.625%, 05/01/14 (e) |
724 | |||||||||
Kraft Foods, Inc., |
|||||||||||
810 | 6.125%, 02/01/18 |
889 | |||||||||
335 | 6.500%, 08/11/17 |
378 | |||||||||
575 | 6.875%, 02/01/38 |
626 | |||||||||
765 | Smithfield Foods, Inc., 7.750%, 05/15/13 |
746 | |||||||||
180 | TreeHouse Foods, Inc., 7.750%, 03/01/18 |
185 | |||||||||
550 | Tyson Foods, Inc., 10.500%, 03/01/14 |
639 | |||||||||
9,103 | |||||||||||
Household Products 0.3% |
|||||||||||
Jarden Corp., |
|||||||||||
695 | 7.500%, 05/01/17 |
699 | |||||||||
100 | 7.500%, 01/15/20 |
100 | |||||||||
1,000 | Kimberly-Clark Corp., 6.125%, 08/01/17 |
1,134 | |||||||||
854 | Procter & Gamble - ESOP, 9.360%, 01/01/21 |
1,070 | |||||||||
504 | Spectrum Brands, Inc., PIK, 12.000%, 08/28/19 |
512 | |||||||||
Visant Holding Corp., |
|||||||||||
360 | 8.750%, 12/01/13 |
366 | |||||||||
340 | SUB,
10.250%, 12/01/13 |
349 | |||||||||
4,230 | |||||||||||
Tobacco 0.0% (g) |
|||||||||||
250 | Alliance One
International, Inc., 10.000%, 07/15/16 (e) |
260 | |||||||||
Total Consumer Staples |
26,243 | ||||||||||
Energy 2.4% |
|||||||||||
Distributors 0.1% |
|||||||||||
750 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 |
752 | |||||||||
Energy Equipment & Services 0.3% |
|||||||||||
70 | Diamond Offshore Drilling, Inc., 5.875%, 05/01/19 |
76 | |||||||||
300 | Gibson Energy
ULC/GEP Midstream Finance Corp., (Canada), 10.000%, 01/15/18 (e) |
292 | |||||||||
Halliburton Co., |
|||||||||||
500 | 7.450%, 09/15/39 |
623 | |||||||||
700 | 8.750%, 02/15/21 |
892 | |||||||||
161 | Helix Energy
Solutions Group, Inc., 9.500%, 01/15/16 (e) |
163 | |||||||||
1,000 | Key
Energy Services, Inc., 8.375%, 12/01/14 |
990 | |||||||||
931 | Oslo
Seismic Services, Inc., 8.280%, 06/01/11 (f) (i) |
937 | |||||||||
500 | PHI,
Inc., 7.125%, 04/15/13 |
483 | |||||||||
4,456 | |||||||||||
Oil, Gas & Consumable Fuels 2.0% |
|||||||||||
875 | Alon Refining
Krotz Springs, Inc., 13.500%, 10/15/14 (c) |
801 | |||||||||
Anadarko Petroleum Corp., |
|||||||||||
350 | 6.950%,
06/15/19 (c) |
403 | |||||||||
125 | 7.625%, 03/15/14 |
145 | |||||||||
100 | 7.950%, 06/15/39 |
123 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Oil, Gas & Consumable Fuels Continued |
|||||||||||
225 | 8.700%, 03/15/19 |
283 | |||||||||
175 | Apache Corp., 6.900%, 09/15/18 |
207 | |||||||||
850 | Bill
Barrett Corp., 9.875%, 07/15/16 |
900 | |||||||||
330 | Canadian Natural Resources Ltd., (Canada), 6.250%, 03/15/38 |
343 | |||||||||
810 | Cenovus Energy,
Inc., (Canada), 5.700%, 10/15/19 (e) |
855 | |||||||||
Chesapeake Energy Corp., |
|||||||||||
430 | 6.500%, 08/15/17 |
408 | |||||||||
250 | 6.875%, 01/15/16 |
246 | |||||||||
500 | 7.500%, 09/15/13 |
507 | |||||||||
250 | 7.500%, 06/15/14 |
253 | |||||||||
250 | 9.500%, 02/15/15 |
272 | |||||||||
450 | Comstock Resources, Inc., 8.375%, 10/15/17 |
459 | |||||||||
425 | Conoco Funding Co., (Canada), 7.250%, 10/15/31 |
499 | |||||||||
ConocoPhillips, |
|||||||||||
275 | 5.750%, 02/01/19 |
302 | |||||||||
750 | 6.500%, 02/01/39 |
842 | |||||||||
300 | ConocoPhillips Holding Co., 6.950%, 04/15/29 |
347 | |||||||||
75 | Denbury Resources, Inc., 8.250%, 02/15/20 |
78 | |||||||||
270 | Devon Financing Corp. ULC, (Canada), 7.875%, 09/30/31 |
336 | |||||||||
100 | Ecopetrol S.A., (Colombia), 7.625%, 07/23/19 |
110 | |||||||||
El
Paso Corp., |
|||||||||||
1,900 | 6.875%, 06/15/14 |
1,916 | |||||||||
150 | 7.000%, 06/15/17 |
150 | |||||||||
EnCana Corp., (Canada), |
|||||||||||
150 | 6.500%, 05/15/19 |
170 | |||||||||
215 | 6.625%, 08/15/37 |
236 | |||||||||
350 | Encore Acquisition Co., 6.000%, 07/15/15 |
353 | |||||||||
200 | EOG
Resources, Inc., 6.875%, 10/01/18 |
234 | |||||||||
1,000 | Frontier Oil Corp., 8.500%, 09/15/16 |
1,013 | |||||||||
179 | Gazprom International S.A., (Russia), 7.201%, 02/01/20 |
187 | |||||||||
250 | Gibson Energy
ULC/GEP Midstream Finance Corp., (Canada), 11.750%, 05/27/14 (e) |
270 | |||||||||
650 | Holly Corp.,
9.875%, 06/15/17 (e) |
666 | |||||||||
675 | Holly Energy Partners LP, 6.250%, 03/01/15 |
635 | |||||||||
KazMunaiGaz Finance Sub BV, (Netherlands), |
|||||||||||
220 | 8.375%, 07/02/13 |
240 | |||||||||
195 | 9.125%,
07/02/18 (e) |
223 | |||||||||
250 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 |
283 | |||||||||
410 | Marathon Oil Corp., 6.000%, 10/01/17 |
437 | |||||||||
500 | Mariner Energy, Inc., 11.750%, 06/30/16 |
557 | |||||||||
Newfield Exploration Co., |
|||||||||||
250 | 6.875%, 02/01/20 |
246 | |||||||||
450 | 7.125%, 05/15/18 |
450 | |||||||||
638 | Penn
Virginia Corp., 10.375%, 06/15/16 |
689 | |||||||||
Petro-Canada, (Canada), |
|||||||||||
400 | 6.800%, 05/15/38 |
440 | |||||||||
335 | 7.875%, 06/15/26 |
398 | |||||||||
Pioneer Natural Resources Co., |
|||||||||||
150 | 6.650%, 03/15/17 |
148 | |||||||||
1,075 | 7.500%, 01/15/20 |
1,079 | |||||||||
115 | Plains All American Pipelines LP, 6.500%, 05/01/18 |
126 | |||||||||
150 | Quicksilver Resources, Inc., 9.125%, 08/15/19 |
156 | |||||||||
25 | Range Resources Corp., 7.250%, 05/01/18 |
25 | |||||||||
Sabine Pass LNG LP, |
|||||||||||
500 | 7.250%, 11/30/13 |
467 | |||||||||
350 | 7.500%, 11/30/16 |
307 | |||||||||
435 | StatoilHydro ASA, (Norway), 7.150%, 11/15/25 |
508 | |||||||||
815 | Suncor Energy, Inc., (Canada), 6.850%, 06/01/39 |
900 | |||||||||
1,000 | Swift Energy Co., 7.125%, 06/01/17 |
948 | |||||||||
120 | Talisman Energy, Inc., (Canada), 7.750%, 06/01/19 |
143 | |||||||||
278 | Union Pacific Resources Group, Inc., 7.150%, 05/15/28 |
310 | |||||||||
Western Refining, Inc., |
|||||||||||
250 | 11.250%,
06/15/17 (e) |
210 | |||||||||
250 | VAR, 10.750%,
06/15/14 (e) |
210 | |||||||||
Williams Partners LP/Williams Partners Finance Corp., |
|||||||||||
1,247 | 7.250%, 02/01/17 |
1,432 | |||||||||
500 | 7.500%, 06/15/11 |
533 | |||||||||
XTO
Energy, Inc., |
|||||||||||
325 | 4.625%, 06/15/13 |
350 | |||||||||
175 | 6.250%, 08/01/17 |
200 | |||||||||
585 | 6.375%, 06/15/38 |
660 | |||||||||
27,224 | |||||||||||
Total Energy |
32,432 | ||||||||||
Financials 11.7% |
|||||||||||
Capital Markets 2.1% |
|||||||||||
Bank
of New York Mellon Corp. (The), |
|||||||||||
530 | 4.600%, 01/15/20 |
536 | |||||||||
440 | 5.125%, 08/27/13 |
483 | |||||||||
370 | Bear Stearns
Cos., LLC (The), 7.250%, 02/01/18 (y) |
429 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Capital Markets Continued |
|||||||||||
978 | BlackRock, Inc., 5.000%, 12/10/19 |
985 | |||||||||
1,690 | Credit Suisse USA, Inc., 6.125%, 11/15/11 |
1,824 | |||||||||
1,000 | FMR LLC,
4.750%, 03/01/13 (e) |
1,024 | |||||||||
Goldman Sachs Group, Inc. (The), |
|||||||||||
650 | 5.150%, 01/15/14 |
694 | |||||||||
780 | 5.250%, 10/15/13 |
840 | |||||||||
450 | 5.750%, 10/01/16 |
478 | |||||||||
2,100 | 5.950%, 01/18/18 |
2,204 | |||||||||
115 | 6.250%, 09/01/17 |
124 | |||||||||
2,000 | 6.600%, 01/15/12 |
2,170 | |||||||||
965 | 6.750%, 10/01/37 |
936 | |||||||||
180 | 7.500%, 02/15/19 |
206 | |||||||||
Jefferies Group, Inc., |
|||||||||||
950 | 6.250%, 01/15/36 |
792 | |||||||||
140 | 6.450%, 06/08/27 |
124 | |||||||||
580 | 8.500%, 07/15/19 |
645 | |||||||||
Lehman Brothers Holdings, Inc., |
|||||||||||
235 | 3.600%,
03/13/09 (d) |
53 | |||||||||
1,000 | 5.750%,
05/17/13 (d) |
225 | |||||||||
950 | 6.500%,
07/19/17 (d) |
2 | |||||||||
750 | 6.875%,
07/17/37 (d) |
2 | |||||||||
295 | 8.500%,
08/01/15 (d) |
67 | |||||||||
Merrill Lynch & Co., Inc., |
|||||||||||
1,100 | 4.790%, 08/04/10 |
1,118 | |||||||||
900 | 5.700%, 05/02/17 |
884 | |||||||||
1,710 | 6.875%, 04/25/18 |
1,802 | |||||||||
Morgan Stanley, |
|||||||||||
505 | 4.200%, 11/20/14 |
506 | |||||||||
650 | 5.300%, 03/01/13 |
692 | |||||||||
300 | 5.500%, 01/26/20 |
294 | |||||||||
810 | 5.625%, 01/09/12 |
862 | |||||||||
150 | 6.000%, 05/13/14 |
162 | |||||||||
1,315 | 6.000%, 04/28/15 |
1,405 | |||||||||
320 | 6.250%, 08/28/17 |
338 | |||||||||
1,040 | 6.600%, 04/01/12 |
1,131 | |||||||||
1,250 | 6.625%, 04/01/18 |
1,330 | |||||||||
757 | Nomura Holdings, Inc., (Japan), 6.700%, 03/04/20 |
772 | |||||||||
113 | Northern Trust Corp., 5.500%, 08/15/13 |
125 | |||||||||
200 | State Street Corp., 4.300%, 05/30/14 |
210 | |||||||||
UBS
AG, (Switzerland), |
|||||||||||
400 | 3.875%, 01/15/15 |
400 | |||||||||
900 | 5.750%, 04/25/18 |
928 | |||||||||
450 | 5.875%, 12/20/17 |
469 | |||||||||
28,271 | |||||||||||
Commercial Banks 3.6% |
|||||||||||
705 | ANZ National
(International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
709 | |||||||||
614 | Bank
of Nova Scotia, (Canada), 3.400%, 01/22/15 |
627 | |||||||||
679 | Bank of
Tokyo-Mitsubishi UFJ Ltd., (Japan), 3.850%, 01/22/15 (e) |
697 | |||||||||
250 | Bankers Trust Corp., 7.250%, 10/15/11 |
267 | |||||||||
Barclays Bank plc, (United Kingdom), |
|||||||||||
1,615 | 2.500%, 01/23/13 |
1,614 | |||||||||
1,280 | 5.125%, 01/08/20 |
1,257 | |||||||||
980 | 6.050%,
12/04/17 (e) |
1,005 | |||||||||
305 | 6.750%, 05/22/19 |
337 | |||||||||
225 | VAR, 5.926%,
12/15/16 (e) (x) |
184 | |||||||||
575 | VAR, 7.434%,
12/15/17 (e) (x) |
532 | |||||||||
BB&T Corp., |
|||||||||||
500 | 4.900%, 06/30/17 |
500 | |||||||||
1,000 | 6.500%, 08/01/11 |
1,064 | |||||||||
150 | 6.850%, 04/30/19 |
170 | |||||||||
1,750 | Branch Banking & Trust Co., 4.875%, 01/15/13 |
1,863 | |||||||||
950 | Credit Agricole
S.A., (France), VAR, 6.637%, 05/31/17 (e) (x) |
788 | |||||||||
Credit Suisse, (Switzerland), |
|||||||||||
2,375 | 5.000%, 05/15/13 |
2,555 | |||||||||
285 | 5.500%, 05/01/14 |
311 | |||||||||
Deutsche Bank AG, (Germany), |
|||||||||||
1,475 | 2.375%, 01/11/13 |
1,478 | |||||||||
375 | 3.875%, 08/18/14 |
386 | |||||||||
500 | Fifth Third Bancorp, 5.450%, 01/15/17 |
489 | |||||||||
395 | HSBC
Bank, 6.000%, 08/09/17 |
433 | |||||||||
2,000 | Huntington National Bank (The), 8.000%, 04/01/10 |
2,002 | |||||||||
700 | KeyBank N.A., 5.700%, 08/15/12 |
740 | |||||||||
725 | KeyCorp, 6.500%, 05/14/13 |
773 | |||||||||
1,250 | Manufacturers & Traders Trust Co., 6.625%, 12/04/17 |
1,328 | |||||||||
370 | Marshall & Ilsley Corp., 5.350%, 04/01/11 |
371 | |||||||||
National Australia Bank Ltd., (Australia), |
|||||||||||
3,010 | 2.500%,
01/08/13 (e) |
3,021 | |||||||||
255 | 3.750%,
03/02/15 (e) |
257 | |||||||||
1,500 | National City Bank, 4.625%, 05/01/13 |
1,553 | |||||||||
500 | NB
Capital Trust II, 7.830%, 12/15/26 |
470 | |||||||||
740 | Northern Trust Co. (The), 5.850%, 11/09/17 |
798 | |||||||||
1,250 | PNC
Funding Corp., 5.250%, 11/15/15 |
1,316 | |||||||||
Regions Financial Corp., |
|||||||||||
200 | 6.375%, 05/15/12 |
198 | |||||||||
1,170 | 7.375%, 12/10/37 |
1,011 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Commercial Banks Continued |
|||||||||||
1,188 | Royal Bank of
Scotland Group plc, (United Kingdom), 9.118%, 07/01/10 (f) (i) (x) |
1,129 | |||||||||
300 | RSHB
Capital S.A. for OJSC Russian Agricultural Bank, (Russia), 7.175%, 05/16/13 |
318 | |||||||||
225 | Standard
Chartered plc, (United Kingdom), 5.500%, 11/18/14 (e) |
244 | |||||||||
2,500 | SunTrust Banks, Inc., 6.000%, 02/15/26 |
2,169 | |||||||||
2,000 | U.S.
Bancorp, 7.500%, 06/01/26 |
2,192 | |||||||||
500 | UnionBanCal Corp., 5.250%, 12/16/13 |
539 | |||||||||
Wachovia Bank N.A., |
|||||||||||
2,110 | 5.600%, 03/15/16 |
2,209 | |||||||||
500 | 6.600%, 01/15/38 |
514 | |||||||||
500 | Wachovia
Capital Trust III, VAR, 5.800%, 03/15/11 (x) |
402 | |||||||||
Wachovia Corp., |
|||||||||||
1,555 | 5.750%, 02/01/18 |
1,640 | |||||||||
515 | SUB,
7.574%, 08/01/26 |
568 | |||||||||
Wells Fargo & Co., |
|||||||||||
1,025 | 3.750%, 10/01/14 |
1,038 | |||||||||
1,665 | 5.625%, 12/11/17 |
1,754 | |||||||||
Westpac Banking Corp., (Australia), |
|||||||||||
670 | 4.200%, 02/27/15 |
691 | |||||||||
942 | 4.875%, 11/19/19 |
930 | |||||||||
47,441 | |||||||||||
Consumer Finance 1.0% |
|||||||||||
2,400 | ACE
Cash Express, Inc., 10.250%, 10/01/14 (e) (f) (i) |
1,872 | |||||||||
American Express Credit Corp., |
|||||||||||
840 | 5.875%, 05/02/13 |
911 | |||||||||
1,100 | 7.300%, 08/20/13 |
1,242 | |||||||||
835 | American Honda
Finance Corp., 7.625%, 10/01/18 (e) |
985 | |||||||||
750 | Capital One Capital V, 10.250%, 08/15/39 |
851 | |||||||||
500 | Capital One Capital VI, 8.875%, 05/15/40 |
530 | |||||||||
Capital One Financial Corp., |
|||||||||||
500 | 6.250%, 11/15/13 |
544 | |||||||||
485 | 6.750%, 09/15/17 |
532 | |||||||||
690 | 7.375%, 05/23/14 |
791 | |||||||||
1,000 | Ford
Motor Credit Co. LLC, 8.125%, 01/15/20 |
999 | |||||||||
HSBC
Finance Corp., |
|||||||||||
1,000 | 5.000%, 06/30/15 |
1,049 | |||||||||
500 | 6.375%, 11/27/12 |
551 | |||||||||
400 | 7.350%, 11/27/32 |
409 | |||||||||
John
Deere Capital Corp., |
|||||||||||
230 | 5.250%, 10/01/12 |
251 | |||||||||
515 | 5.350%, 04/03/18 |
553 | |||||||||
SLM
Corp., |
|||||||||||
200 | 5.000%, 04/15/15 |
176 | |||||||||
500 | 5.125%, 08/27/12 |
488 | |||||||||
200 | 5.375%, 05/15/14 |
185 | |||||||||
288 | 8.450%, 06/15/18 |
282 | |||||||||
13,201 | |||||||||||
Diversified Financial Services 2.4% |
|||||||||||
1,000 | BA Covered Bond
Issuer, 5.500%, 06/14/12 (e) |
1,068 | |||||||||
Bank
of America Corp., |
|||||||||||
1,500 | 6.975%, 03/07/37 |
1,584 | |||||||||
1,005 | 7.375%, 05/15/14 |
1,130 | |||||||||
300 | 7.400%, 01/15/11 |
316 | |||||||||
500 | 7.800%, 09/15/16 |
558 | |||||||||
515 | BP
Capital Markets plc, (United Kingdom), 4.750%, 03/10/19 |
532 | |||||||||
Caterpillar Financial Services Corp., |
|||||||||||
800 | 4.850%, 12/07/12 |
866 | |||||||||
850 | 5.450%, 04/15/18 |
906 | |||||||||
500 | CIT Group,
Inc., 7.000%, 05/01/15 (c) |
454 | |||||||||
Citigroup, Inc., |
|||||||||||
375 | 5.500%, 10/15/14 |
386 | |||||||||
1,550 | 5.500%, 02/15/17 |
1,512 | |||||||||
1,350 | 6.000%, 08/15/17 |
1,360 | |||||||||
260 | 6.375%, 08/12/14 |
276 | |||||||||
645 | 6.875%, 06/01/25 |
632 | |||||||||
1,260 | 8.500%, 05/22/19 |
1,454 | |||||||||
CME
Group, Inc., |
|||||||||||
1,500 | 5.400%, 08/01/13 |
1,651 | |||||||||
200 | 5.750%, 02/15/14 |
221 | |||||||||
175 | CNG Holdings,
Inc., 12.250%, 02/15/15 (e) |
168 | |||||||||
Deluxe Corp., |
|||||||||||
58 | 5.125%, 10/01/14 |
51 | |||||||||
75 | 7.375%, 06/01/15 |
73 | |||||||||
General Electric Capital Corp., |
|||||||||||
1,000 | 4.375%, 11/21/11 |
1,046 | |||||||||
1,115 | 5.625%, 05/01/18 |
1,147 | |||||||||
4,760 | 5.875%, 02/15/12 |
5,122 | |||||||||
3,370 | 5.875%, 01/14/38 |
3,129 | |||||||||
130 | 5.900%, 05/13/14 |
143 | |||||||||
1,000 | 6.000%, 06/15/12 |
1,081 | |||||||||
1,100 | 6.750%, 03/15/32 |
1,132 | |||||||||
145 | 6.875%, 01/10/39 |
151 | |||||||||
445 | VAR,
0.320%, 08/15/11 |
442 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Diversified Financial Services Continued |
|||||||||||
110 | National Gas Co. of Trinidad & Tobago Ltd., (Trinidad & Tobago), 6.050%, 01/15/36 |
103 | |||||||||
National Rural Utilities Cooperative Finance Corp., |
|||||||||||
385 | 4.750%, 03/01/14 |
414 | |||||||||
400 | 7.250%, 03/01/12 |
443 | |||||||||
375 | Southern Star Central Corp., 6.750%, 03/01/16 |
371 | |||||||||
Textron Financial Corp., |
|||||||||||
1,079 | 4.600%, 05/03/10 |
1,079 | |||||||||
505 | 5.400%, 04/28/13 |
513 | |||||||||
200 | UPC Germany
GmbH, (Germany), 8.125%, 12/01/17 (e) |
200 | |||||||||
100 | Xstrata Finance
Canada Ltd., (Canada), 6.900%, 11/15/37 (e) |
100 | |||||||||
31,814 | |||||||||||
FDIC Guaranteed Securities 0.2% (˜) |
|||||||||||
735 | Bank
of America Corp., 3.125%, 06/15/12 |
767 | |||||||||
735 | Citigroup, Inc., 2.875%, 12/09/11 |
761 | |||||||||
750 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 |
785 | |||||||||
2,313 | |||||||||||
Insurance 1.9% |
|||||||||||
419 | AIG
Retirement Services, Inc., 8.125%, 04/28/23 |
427 | |||||||||
190 | Allstate Corp. (The), 7.450%, 05/16/19 |
223 | |||||||||
517 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 |
563 | |||||||||
435 | American International Group, Inc., 5.600%, 10/18/16 |
360 | |||||||||
315 | Chubb Corp. (The), 5.750%, 05/15/18 |
343 | |||||||||
1,800 | Crum
& Forster Holdings Corp., 7.750%, 05/01/17 |
1,773 | |||||||||
855 | Genworth Global Funding Trusts, 5.200%, 10/08/10 |
874 | |||||||||
2,000 | HUB
International Holdings, Inc., 10.250%, 06/15/15 (e) |
1,855 | |||||||||
1,950 | Jackson
National Life Global Funding, 5.375%, 05/08/13 (e) |
2,094 | |||||||||
2,000 | Liberty Mutual
Group, Inc., VAR, 10.750%, 06/15/58 (e) |
2,160 | |||||||||
100 | MassMutual
Global Funding II, 3.625%, 07/16/12 (e) |
104 | |||||||||
2,550 | MetLife Life
and Annuity Co. of Connecticut, 5.125%, 08/15/14 (e) |
2,742 | |||||||||
160 | MetLife, Inc., 6.750%, 06/01/16 |
178 | |||||||||
Metropolitan Life Global Funding I, |
|||||||||||
190 | 5.125%,
04/10/13 (e) |
205 | |||||||||
875 | 5.200%,
09/18/13 (e) |
939 | |||||||||
600 | 5.750%,
07/25/11 (e) |
629 | |||||||||
315 | Monumental
Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
336 | |||||||||
400 | Nationwide
Mutual Insurance Co., 9.375%, 08/15/39 (e) |
446 | |||||||||
1,680 | New York Life
Global Funding, 4.650%, 05/09/13 (e) |
1,796 | |||||||||
500 | New York Life
Insurance Co., 6.750%, 11/15/39 (e) |
539 | |||||||||
770 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) |
816 | |||||||||
800 | Pricoa Global
Funding I, 5.450%, 06/11/14 (e) |
870 | |||||||||
175 | Principal Financial Group, Inc., 8.875%, 05/15/19 |
213 | |||||||||
300 | Principal Life
Global Funding I, 5.250%, 01/15/13 (e) |
322 | |||||||||
Principal Life Income Funding Trusts, |
|||||||||||
325 | 5.150%, 06/17/11 |
338 | |||||||||
1,025 | 5.300%, 12/14/12 |
1,115 | |||||||||
1,025 | 5.300%, 04/24/13 |
1,109 | |||||||||
1,100 | Protective Life Secured Trusts, 4.000%, 04/01/11 |
1,129 | |||||||||
205 | Prudential Financial, Inc., 7.375%, 06/15/19 |
236 | |||||||||
405 | Travelers Cos, Inc. (The), 5.800%, 05/15/18 |
434 | |||||||||
112 | USI Holdings
Corp., 9.750%, 05/15/15 (e) |
103 | |||||||||
25,271 | |||||||||||
Real Estate Investment Trusts (REITs) 0.4% |
|||||||||||
500 | DuPont Fabros
Technology LP, 8.500%, 12/15/17 (e) |
507 | |||||||||
HRPT
Properties Trust, |
|||||||||||
375 | 6.250%, 08/15/16 |
375 | |||||||||
300 | 6.650%, 01/15/18 |
296 | |||||||||
875 | Potlatch Corp.,
7.500%, 11/01/19 (e) |
882 | |||||||||
150 | Rouse Co. LP
(The), 8.000%, 04/30/09 (d) |
164 | |||||||||
Simon Property Group LP, |
|||||||||||
340 | 5.625%, 08/15/14 |
365 | |||||||||
492 | 5.650%, 02/01/20 |
489 | |||||||||
915 | 6.100%, 05/01/16 |
981 | |||||||||
310 | 6.750%, 05/15/14 |
343 | |||||||||
788 | WEA Finance
LLC/WT Finance Ltd., 6.750%, 09/02/19 (e) |
845 | |||||||||
5,247 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Real Estate Management & Development 0.0% (g) |
|||||||||||
750 | Forest City Enterprises, Inc., 7.625%, 06/01/15 |
675 | |||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||
1,000 | Countrywide Capital III, 8.050%, 06/15/27 |
960 | |||||||||
700 | Countrywide Home Loans, Inc., 4.000%, 03/22/11 |
721 | |||||||||
1,681 | |||||||||||
Total Financials |
155,914 | ||||||||||
Health Care 1.4% |
|||||||||||
Biotechnology 0.1% |
|||||||||||
150 | Amgen, Inc., 5.700%, 02/01/19 |
163 | |||||||||
1,250 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 |
1,306 | |||||||||
215 | Talecris
Biotherapeutics Holdings Corp., 7.750%, 11/15/16 (e) |
216 | |||||||||
1,685 | |||||||||||
Health Care Equipment & Supplies 0.2% |
|||||||||||
500 | Accellent,
Inc., 8.375%, 02/01/17 (e) |
504 | |||||||||
Baxter International, Inc., |
|||||||||||
250 | 4.000%, 03/01/14 |
263 | |||||||||
550 | 4.625%, 03/15/15 |
597 | |||||||||
Becton Dickinson and Co., |
|||||||||||
100 | 5.000%, 05/15/19 |
105 | |||||||||
400 | 6.000%, 05/15/39 |
424 | |||||||||
400 | Hospira, Inc., 5.550%, 03/30/12 |
428 | |||||||||
2,321 | |||||||||||
Health Care Providers & Services 0.6% |
|||||||||||
400 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 |
414 | |||||||||
1,000 | FMC
Finance III S.A., (Luxembourg), 6.875%, 07/15/17 |
1,025 | |||||||||
350 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 |
365 | |||||||||
HCA,
Inc., |
|||||||||||
160 | 9.125%, 11/15/14 |
168 | |||||||||
440 | 9.250%, 11/15/16 |
467 | |||||||||
1,028 | Health Management Associates, Inc., 6.125%, 04/15/16 |
959 | |||||||||
220 | Roche Holdings,
Inc., 6.000%, 03/01/19 (e) |
243 | |||||||||
2,000 | Tenet
Healthcare Corp., 8.875%, 07/01/19 (e) |
2,110 | |||||||||
250 | Ventas Realty LP/Ventas Capital Corp., 6.500%, 06/01/16 |
249 | |||||||||
1,550 | WellPoint, Inc., 6.800%, 08/01/12 |
1,724 | |||||||||
7,724 | |||||||||||
Pharmaceuticals 0.5% |
|||||||||||
400 | Abbott Laboratories, 6.150%, 11/30/37 |
438 | |||||||||
504 | AstraZeneca plc, (United Kingdom), 5.400%, 09/15/12 |
552 | |||||||||
Elan
Finance plc/Elan Finance Corp., (Ireland), |
|||||||||||
225 | 8.750%,
10/15/16 (e) |
218 | |||||||||
750 | VAR,
4.250%, 11/15/11 |
720 | |||||||||
920 | GlaxoSmithKline Capital, Inc., 6.375%, 05/15/38 |
1,026 | |||||||||
435 | Novartis Capital Corp., 4.125%, 02/10/14 |
464 | |||||||||
250 | Pfizer, Inc., 6.200%, 03/15/19 |
282 | |||||||||
1,000 | Schering-Plough Corp., 6.550%, 09/15/37 |
1,150 | |||||||||
100 | Valeant
Pharmaceuticals International, 8.375%, 06/15/16 (e) |
103 | |||||||||
Wyeth, |
|||||||||||
810 | 5.500%, 02/01/14 |
901 | |||||||||
555 | 5.500%, 02/15/16 |
616 | |||||||||
6,470 | |||||||||||
Total Health Care |
18,200 | ||||||||||
Industrials 3.3% |
|||||||||||
Aerospace & Defense 0.6% |
|||||||||||
145 | BAE
Systems Holdings, Inc., 6.375%, 06/01/19 (e) |
159 | |||||||||
45 | Colt Defense
LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) |
44 | |||||||||
500 | DigitalGlobe,
Inc., 10.500%, 05/01/14 (e) |
538 | |||||||||
1,000 | Esterline Technologies Corp., 6.625%, 03/01/17 |
967 | |||||||||
250 | ITT
Corp., 6.125%, 05/01/19 |
275 | |||||||||
L-3
Communications Corp., |
|||||||||||
265 | 5.875%, 01/15/15 |
266 | |||||||||
500 | 6.375%, 10/15/15 |
508 | |||||||||
704 | Lockheed Martin Corp., 8.500%, 12/01/29 |
933 | |||||||||
1,900 | McDonnell Douglas Corp., 9.750%, 04/01/12 |
2,213 | |||||||||
750 | Moog, Inc., 6.250%, 01/15/15 |
720 | |||||||||
588 | Systems 2001 AT
LLC, (Cayman Islands), 7.156%, 12/15/11 (e) |
615 | |||||||||
110 | Triumph Group,
Inc., 8.000%, 11/15/17 (e) |
111 | |||||||||
7,349 | |||||||||||
Air
Freight & Logistics 0.1% |
|||||||||||
1,000 | Federal Express Corp., 9.650%, 06/15/12 |
1,158 | |||||||||
Airlines 0.4% |
|||||||||||
248 | American Airlines Pass Through Trust 2009-1A, 10.375%, 07/02/19 |
278 | |||||||||
608 | American
Airlines Pass-Through Trust 1991, 10.180%, 01/02/13 (f) (i) |
547 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Airlines Continued |
|||||||||||
250 | Continental Airlines, 2001-1 Class A-2 Pass-Through Trust, 6.503%, 06/15/11 |
254 | |||||||||
680 | Continental Airlines, 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 |
605 | |||||||||
226 | Continental
Airlines, 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 (f) (i) |
208 | |||||||||
399 | Continental Airlines, 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 |
357 | |||||||||
848 | Continental
Airlines, 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) |
755 | |||||||||
Delta Air Lines, Inc., |
|||||||||||
225 | 7.111%, 09/18/11 |
227 | |||||||||
85 | 8.021%, 08/10/22 |
76 | |||||||||
82 | 8.954%, 08/10/14 |
76 | |||||||||
50 | 9.500%,
09/15/14 (e) |
51 | |||||||||
610 | 10.000%,
12/05/14 (d) (e) |
183 | |||||||||
687 | Northwest Airlines, Inc., 7.027%, 11/01/19 |
612 | |||||||||
1,411 | UAL
Pass-Through Trust, 7.336%, 07/02/19 (e) |
1,087 | |||||||||
250 | United Air Lines, Inc., 10.400%, 11/01/16 |
264 | |||||||||
5,580 | |||||||||||
Building Products 0.2% |
|||||||||||
1,500 | AMH
Holdings, Inc., SUB, 11.250%, 03/01/14 |
1,485 | |||||||||
700 | Building
Materials Corp of America, 7.000%, 02/15/20 (e) |
700 | |||||||||
1,000 | Masco Corp., 6.125%, 10/03/16 |
958 | |||||||||
3,143 | |||||||||||
Commercial Services & Supplies 0.5% |
|||||||||||
Cenveo Corp., |
|||||||||||
250 | 7.875%, 12/01/13 |
231 | |||||||||
450 | 8.875%,
02/01/18 (c) (e) |
446 | |||||||||
Corrections Corp. of America, |
|||||||||||
572 | 6.250%, 03/15/13 |
576 | |||||||||
1,050 | 6.750%, 01/31/14 |
1,058 | |||||||||
545 | DI
Finance/DynCorp International, 9.500%, 02/15/13 |
549 | |||||||||
1,750 | FTI
Consulting, Inc., 7.750%, 10/01/16 |
1,754 | |||||||||
818 | Geo Group, Inc.
(The), 7.750%, 10/15/17 (e) |
828 | |||||||||
370 | Niska Gas
Storage US LLC/Niska Gas Storage Canada ULC, 8.875%, 03/15/18 (e) |
370 | |||||||||
Power Sector Assets & Liabilities Management, (Philippines), |
|||||||||||
130 | 7.250%,
05/27/19 (e) |
136 | |||||||||
100 | 7.390%,
12/02/24 (e) |
103 | |||||||||
Quebecor World Capital Corp., (Canada), |
|||||||||||
1,145 | 6.125%,
11/15/13 (d) (f) |
63 | |||||||||
1,160 | 6.500%,
08/01/27 (d) (f) |
64 | |||||||||
265 | 9.750%,
01/15/15 (d) (f) |
14 | |||||||||
6,192 | |||||||||||
Construction Engineering 0.0% (g) |
|||||||||||
195 | RSC
Equipment Rental, Inc., 9.500%, 12/01/14 |
189 | |||||||||
Electrical Equipment 0.1% |
|||||||||||
335 | Baldor Electric Co., 8.625%, 02/15/17 |
344 | |||||||||
Belden, Inc., |
|||||||||||
500 | 7.000%, 03/15/17 |
481 | |||||||||
250 | 9.250%,
06/15/19 (e) |
265 | |||||||||
1,090 | |||||||||||
Environmental Control 0.1% |
|||||||||||
1,100 | Clean Harbors, Inc., 7.625%, 08/15/16 |
1,111 | |||||||||
Industrial Conglomerates 0.2% |
|||||||||||
1,000 | JB
Poindexter & Co., Inc., 8.750%, 03/15/14 |
860 | |||||||||
75 | Koppers, Inc.,
7.875%, 12/01/19 (e) |
76 | |||||||||
818 | Milacron Escrow Corp., 11.500%, 05/15/11 (d) (f) (i) |
| |||||||||
195 | Milacron Holdings, Inc., 12.000%, 08/01/14 (f) (i) |
195 | |||||||||
1,830 | Siemens
Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e) |
2,020 | |||||||||
3,151 | |||||||||||
Industrial Machinery 0.0% (g) |
|||||||||||
270 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) |
277 | |||||||||
Machinery 0.3% |
|||||||||||
310 | Altra Holdings,
Inc., 8.125%, 12/01/16 (e) |
318 | |||||||||
550 | Eaton Corp., 5.600%, 05/15/18 |
595 | |||||||||
500 | Hexcel Corp., 6.750%, 02/01/15 |
483 | |||||||||
240 | Ingersoll-Rand Co., (Bermuda), 7.200%, 06/01/25 |
248 | |||||||||
110 | PACCAR, Inc., 6.375%, 02/15/12 |
119 | |||||||||
440 | Parker Hannifin Corp., 6.250%, 05/15/38 |
478 | |||||||||
1,000 | SPX
Corp., 7.625%, 12/15/14 |
1,023 | |||||||||
500 | Valmont Industries, Inc., 6.875%, 05/01/14 |
515 | |||||||||
750 | Wabtec Corp., 6.875%, 07/31/13 |
758 | |||||||||
4,537 | |||||||||||
Marine 0.2% |
|||||||||||
1,250 | Navios Maritime
Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 (c) (e) |
1,272 | |||||||||
400 | Stena AB, (Sweden), 7.500%, 11/01/13 |
398 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Marine Continued |
|||||||||||
55 | Teekay Corp., 8.500%, 01/15/20 |
56 | |||||||||
750 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 |
682 | |||||||||
2,408 | |||||||||||
Road & Rail 0.6% |
|||||||||||
714 | Burlington Northern and Santa Fe Railway Co. 2000 Pass Through Trust, 7.908%, 01/15/20 |
815 | |||||||||
Burlington Northern Santa Fe Corp., |
|||||||||||
220 | 5.650%, 05/01/17 |
238 | |||||||||
1,150 | 6.700%, 08/01/28 |
1,251 | |||||||||
280 | Canadian Pacific Ltd., (Canada), 9.450%, 08/01/21 |
379 | |||||||||
165 | Canadian Pacific Railway Co., (Canada), 7.250%, 05/15/19 |
190 | |||||||||
825 | CSX
Corp., 7.375%, 02/01/19 |
965 | |||||||||
Erac
USA Finance Co., |
|||||||||||
250 | 6.375%,
10/15/17 (e) |
274 | |||||||||
800 | 6.700%,
06/01/34 (e) |
781 | |||||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), |
|||||||||||
352 | 7.375%, 06/01/14 |
350 | |||||||||
350 | 7.625%, 12/01/13 |
349 | |||||||||
1,200 | RailAmerica, Inc., 9.250%, 07/01/17 |
1,259 | |||||||||
390 | Union Pacific Corp., 7.000%, 02/01/16 |
451 | |||||||||
United Rentals North America, Inc., |
|||||||||||
650 | 9.250%, 12/15/19 |
634 | |||||||||
100 | 10.875%, 06/15/16 |
105 | |||||||||
8,041 | |||||||||||
Total Industrials |
44,226 | ||||||||||
Information Technology 0.8% |
|||||||||||
Communications Equipment 0.0% (g) |
|||||||||||
375 | Cisco Systems, Inc., 5.900%, 02/15/39 |
384 | |||||||||
135 | Nokia OYJ, (Finland), 5.375%, 05/15/19 |
141 | |||||||||
525 | |||||||||||
Computers & Peripherals 0.3% |
|||||||||||
640 | Dell, Inc., 7.100%, 04/15/28 |
719 | |||||||||
Hewlett-Packard Co., |
|||||||||||
80 | 2.950%, 08/15/12 |
83 | |||||||||
500 | 5.400%, 03/01/17 |
548 | |||||||||
250 | 5.500%, 03/01/18 |
272 | |||||||||
650 | International Business Machines Corp., 7.000%, 10/30/25 |
787 | |||||||||
1,000 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 |
997 | |||||||||
3,406 | |||||||||||
Electronic Equipment, Instruments & Components 0.2% |
|||||||||||
Arrow Electronics, Inc., |
|||||||||||
769 | 6.875%, 07/01/13 |
850 | |||||||||
100 | 7.500%, 01/15/27 |
106 | |||||||||
678 | Flextronics International Ltd., (Singapore), 6.250%, 11/15/14 |
676 | |||||||||
50 | Intcomex, Inc.,
13.250%, 12/15/14 (e) |
50 | |||||||||
125 | NXP
BV/NXP Funding LLC, (Netherlands), 7.875%, 10/15/14 |
116 | |||||||||
750 | Sanmina-SCI Corp., VAR, 3.004%, 06/15/14 (c) (e) |
697 | |||||||||
2,495 | |||||||||||
Internet Software & Services 0.0% (g) |
|||||||||||
300 | Equinix, Inc., 8.125%, 03/01/18 |
300 | |||||||||
IT
Services 0.1% |
|||||||||||
900 | Electronic Data Systems LLC, 6.000%, 08/01/13 |
1,009 | |||||||||
Semiconductors & Semiconductor Equipment 0.0% (g) |
|||||||||||
415 | Advanced Micro
Devices, Inc., 8.125%, 12/15/17 (e) |
420 | |||||||||
375 | NXP
BV/NXP Funding LLC, (Netherlands), VAR, 3.001%, 10/15/13 |
318 | |||||||||
738 | |||||||||||
Software 0.2% |
|||||||||||
115 | Intuit, Inc., 5.750%, 03/15/17 |
122 | |||||||||
Oracle Corp., |
|||||||||||
1,000 | 5.250%, 01/15/16 |
1,110 | |||||||||
1,030 | 6.500%, 04/15/38 |
1,145 | |||||||||
2,377 | |||||||||||
Total Information Technology |
10,850 | ||||||||||
Materials 2.6% |
|||||||||||
Chemicals 0.4% |
|||||||||||
200 | Ashland, Inc.,
9.125%, 06/01/17 (e) |
219 | |||||||||
410 | EI
du Pont de Nemours & Co., 3.250%, 01/15/15 |
414 | |||||||||
525 | Monsanto Co., 7.375%, 08/15/12 |
598 | |||||||||
255 | PolyOne Corp., 8.875%, 05/01/12 |
264 | |||||||||
Potash Corp. of Saskatchewan, Inc., (Canada), |
|||||||||||
450 | 4.875%, 03/01/13 |
480 | |||||||||
753 | 7.750%, 05/31/11 |
814 | |||||||||
200 | PPG
Industries, Inc., 9.000%, 05/01/21 |
247 | |||||||||
Praxair, Inc., |
|||||||||||
735 | 4.625%, 03/30/15 |
790 | |||||||||
650 | 5.250%, 11/15/14 |
720 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Chemicals Continued |
|||||||||||
125 | Terra Capital,
Inc., 7.750%, 11/01/19 (e) |
139 | |||||||||
445 | Westlake Chemical Corp., 6.625%, 01/15/16 (c) |
426 | |||||||||
5,111 | |||||||||||
Construction Materials 0.0% (g) |
|||||||||||
75 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 |
74 | |||||||||
1,297 | U.S. Concrete,
Inc., 8.375%, 04/01/14 (d) |
713 | |||||||||
787 | |||||||||||
Containers & Packaging 0.5% |
|||||||||||
Ball
Corp., |
|||||||||||
125 | 7.125%, 09/01/16 |
130 | |||||||||
125 | 7.375%, 09/01/19 |
130 | |||||||||
220 | Berry Plastics
Corp., 8.250%, 11/15/15 (e) |
217 | |||||||||
2,000 | Constar International, Inc., VAR, 3.625%, 02/15/12 |
1,645 | |||||||||
750 | Owens-Brockway Glass Container, Inc., 8.250%, 05/15/13 |
761 | |||||||||
376 | Plastipak
Holdings, Inc., 8.500%, 12/15/15 (e) |
376 | |||||||||
700 | Reynolds Group
Issuer, Inc./Reynolds Group Issuer LLC, 7.750%, 10/15/16 (e) |
709 | |||||||||
500 | Sealed Air
Corp., 7.875%, 06/15/17 (e) |
530 | |||||||||
700 | Silgan Holdings, Inc., 7.250%, 08/15/16 |
719 | |||||||||
900 | Solo
Cup Co./Solo Cup Operating Corp., 10.500%, 11/01/13 |
943 | |||||||||
6,160 | |||||||||||
Metals & Mining 0.7% |
|||||||||||
750 | AK
Steel Corp., 7.750%, 06/15/12 |
751 | |||||||||
225 | Arch
Western Finance LLC, 6.750%, 07/01/13 |
226 | |||||||||
BHP
Billiton Finance USA Ltd., (Australia), |
|||||||||||
570 | 4.800%, 04/15/13 |
612 | |||||||||
575 | 5.400%, 03/29/17 |
626 | |||||||||
120 | 6.500%, 04/01/19 |
138 | |||||||||
1,086 | California Steel Industries, Inc., 6.125%, 03/15/14 |
1,037 | |||||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., |
|||||||||||
450 | 8.250%,
12/15/17 (e) |
449 | |||||||||
500 | 8.500%,
12/15/19 (e) |
505 | |||||||||
750 | FMG Resources
August 2006 Pty Ltd., (Australia), 10.625%, 09/01/16 (e) |
836 | |||||||||
255 | Freeport-McMoRan Copper & Gold, Inc., 8.250%, 04/01/15 |
276 | |||||||||
575 | Nucor Corp., 6.400%, 12/01/37 |
631 | |||||||||
1,500 | Steel Dynamics, Inc., 6.750%, 04/01/15 |
1,447 | |||||||||
United States Steel Corp., |
|||||||||||
474 | 6.050%, 06/01/17 |
444 | |||||||||
523 | 7.000%, 02/01/18 |
494 | |||||||||
1,021 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (c) (f) (i) |
761 | |||||||||
9,233 | |||||||||||
Paper & Forest Products 1.0% |
|||||||||||
Abitibi-Consolidated Co. of Canada, (Canada), |
|||||||||||
100 | 8.375%,
04/01/15 (d) |
20 | |||||||||
375 | 13.750%,
04/01/11 (d) (e) |
386 | |||||||||
410 | Abitibi-Consolidated, Inc., (Canada), 8.850%, 08/01/30 (d) |
86 | |||||||||
1,800 | Appleton
Papers, Inc., 10.500%, 06/15/15 (e) |
1,665 | |||||||||
Cascades, Inc., (Canada), |
|||||||||||
500 | 7.750%,
12/15/17 (e) |
505 | |||||||||
400 | 7.875%,
01/15/20 (e) |
404 | |||||||||
Domtar Corp., |
|||||||||||
500 | 7.125%, 08/15/15 |
501 | |||||||||
19 | 7.875%, 10/15/11 |
20 | |||||||||
950 | 10.750%, 06/01/17 |
1,114 | |||||||||
Georgia-Pacific LLC, |
|||||||||||
345 | 7.000%,
01/15/15 (e) |
350 | |||||||||
875 | 7.125%,
01/15/17 (e) |
884 | |||||||||
400 | 8.250%,
05/01/16 (e) |
422 | |||||||||
Glatfelter, |
|||||||||||
1,000 | 7.125%,
05/01/16 (e) |
960 | |||||||||
1,154 | Jefferson
Smurfit Corp., 8.250%, 10/01/12 (d) |
952 | |||||||||
2,000 | NewPage Corp., 11.375%, 12/31/14 |
1,910 | |||||||||
1,000 | PE Paper Escrow
GmbH, (Austria), 12.000%, 08/01/14 (e) |
1,085 | |||||||||
Smurfit-Stone Container Enterprises, Inc., |
|||||||||||
940 | 8.000%,
03/15/17 (d) |
773 | |||||||||
656 | 8.375%,
07/01/12 (d) |
543 | |||||||||
750 | Verso Paper
Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 (c) (e) |
788 | |||||||||
350 | Weyerhaeuser Co., 7.375%, 10/01/19 |
373 | |||||||||
13,741 | |||||||||||
Total Materials |
35,032 | ||||||||||
Telecommunication Services 2.2% |
|||||||||||
Diversified Telecommunication Services 1.4% |
|||||||||||
900 | AT&T Corp., 8.000%, 11/15/31 |
1,100 | |||||||||
AT&T, Inc., |
|||||||||||
220 | 5.600%, 05/15/18 |
235 | |||||||||
465 | 5.800%, 02/15/19 |
497 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Diversified Telecommunication Services Continued |
|||||||||||
1,500 | 6.300%, 01/15/38 |
1,528 | |||||||||
BellSouth Corp., |
|||||||||||
1,285 | 5.200%, 09/15/14 |
1,404 | |||||||||
100 | 6.875%, 10/15/31 |
106 | |||||||||
525 | Bellsouth Telecommunications, Inc., 6.300%, 12/15/15 |
561 | |||||||||
800 | Cincinnati Bell, Inc., 8.250%, 10/15/17 |
800 | |||||||||
Deutsche Telekom International Finance BV, (Netherlands), |
|||||||||||
100 | 6.750%, 08/20/18 |
112 | |||||||||
1,000 | 8.750%, 06/15/30 |
1,267 | |||||||||
Frontier Communications Corp., |
|||||||||||
785 | 7.125%, 03/15/19 |
734 | |||||||||
315 | 8.125%, 10/01/18 |
313 | |||||||||
665 | Nordic
Telephone Co. Holdings ApS, (Denmark), 8.875%, 05/01/16 (e) |
712 | |||||||||
159 | Nynex Corp., 9.550%, 05/01/10 |
160 | |||||||||
Qwest Communications International, Inc., |
|||||||||||
500 | 7.125%,
04/01/18 (e) |
500 | |||||||||
90 | 8.000%,
10/01/15 (e) |
93 | |||||||||
Qwest Corp., |
|||||||||||
1,000 | 6.500%, 06/01/17 |
1,006 | |||||||||
250 | 8.875%, 03/15/12 |
271 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), |
|||||||||||
562 | 5.250%, 11/15/13 |
596 | |||||||||
190 | 7.721%, 06/04/38 |
211 | |||||||||
Telefonica Emisiones S.A.U., (Spain), |
|||||||||||
600 | 5.855%, 02/04/13 |
656 | |||||||||
80 | 5.877%, 07/15/19 |
84 | |||||||||
875 | TELUS Corp., (Canada), 8.000%, 06/01/11 |
945 | |||||||||
267 | United Telephone Co. of Florida, 8.375%, 01/15/25 |
293 | |||||||||
400 | Verizon Communications, Inc., 6.900%, 04/15/38 |
445 | |||||||||
2,000 | Verizon Pennsylvania, Inc., 8.350%, 12/15/30 |
2,262 | |||||||||
Windstream Corp., |
|||||||||||
525 | 8.125%, 08/01/13 |
546 | |||||||||
1,250 | 8.625%, 08/01/16 |
1,272 | |||||||||
18,709 | |||||||||||
Wireless Telecommunication Services 0.8% |
|||||||||||
450 | CC Holdings GS
V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) |
487 | |||||||||
1,425 | Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
1,570 | |||||||||
Cricket Communications, Inc., |
|||||||||||
140 | 7.750%, 05/15/16 |
142 | |||||||||
215 | 9.375%,
11/01/14 (c) |
214 | |||||||||
260 | MetroPCS
Wireless, Inc., 9.250%, 11/01/14 (c) |
259 | |||||||||
1,750 | New
Cingular Wireless Services, Inc., 7.875%, 03/01/11 |
1,872 | |||||||||
1,750 | Nextel Communications, Inc., 7.375%, 08/01/15 |
1,614 | |||||||||
NII
Capital Corp., |
|||||||||||
365 | 8.875%,
12/15/19 (e) |
373 | |||||||||
185 | 10.000%,
08/15/16 (e) |
201 | |||||||||
240 | Rogers Communications, Inc., (Canada), 6.800%, 08/15/18 |
273 | |||||||||
1,050 | SBA
Telecommunications, Inc., 8.000%, 08/15/16 (e) |
1,092 | |||||||||
800 | Sprint Capital Corp., 8.750%, 03/15/32 |
706 | |||||||||
125 | Sprint Nextel Corp., 8.375%, 08/15/17 |
121 | |||||||||
870 | Vodafone Group plc, (United Kingdom), 5.000%, 09/15/15 |
931 | |||||||||
Wind
Acquisition Finance S.A., (Luxembourg), |
|||||||||||
275 | 11.750%,
07/15/17 (e) |
294 | |||||||||
490 | 12.000%,
12/01/15 (e) |
525 | |||||||||
10,674 | |||||||||||
Total Telecommunication Services |
29,383 | ||||||||||
Utilities 3.6% |
|||||||||||
Electric Utilities 2.2% |
|||||||||||
505 | Alabama Power Co., 6.125%, 05/15/38 |
539 | |||||||||
Carolina Power & Light Co., |
|||||||||||
90 | 5.300%, 01/15/19 |
95 | |||||||||
500 | 6.300%, 04/01/38 |
543 | |||||||||
1,000 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 |
1,102 | |||||||||
100 | Centrais
Eletricas Brasileiras S.A., (Brazil), 6.875%, 07/30/19 (e) |
106 | |||||||||
300 | Consolidated Edison Co. of New York, Inc., 5.500%, 12/01/39 |
290 | |||||||||
925 | Consumers Energy Co., 6.700%, 09/15/19 |
1,055 | |||||||||
Duke
Energy Carolinas LLC, |
|||||||||||
500 | 5.625%, 11/30/12 |
552 | |||||||||
1,100 | 6.050%, 04/15/38 |
1,168 | |||||||||
500 | 6.250%, 01/15/12 |
546 | |||||||||
1,200 | Enel Finance
International S.A., (Luxembourg), 5.125%, 10/07/19 (e) |
1,203 | |||||||||
115 | Florida Power Corp., 5.650%, 06/15/18 |
124 | |||||||||
336 | FPL
Energy National Wind, 6.125%, 03/25/19 (e) |
313 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Electric Utilities Continued |
|||||||||||
FPL
Group Capital, Inc., |
|||||||||||
275 | 5.350%, 06/15/13 |
298 | |||||||||
265 | 7.875%, 12/15/15 |
324 | |||||||||
Georgia Power Co., |
|||||||||||
562 | 5.250%, 12/15/15 |
621 | |||||||||
140 | 5.950%, 02/01/39 |
147 | |||||||||
100 | Ipalco
Enterprises, Inc., 7.250%, 04/01/16 (e) |
101 | |||||||||
988 | Massachusetts Electric Co., 5.900%, 11/15/39 (e) |
1,005 | |||||||||
860 | Midamerican Energy Co., 5.300%, 03/15/18 |
903 | |||||||||
810 | Midamerican Funding LLC, 6.750%, 03/01/11 |
854 | |||||||||
600 | Nevada Power Co., 7.125%, 03/15/19 |
683 | |||||||||
300 | Niagara Mohawk
Power Corp., 4.881%, 08/15/19 (e) |
303 | |||||||||
Nisource Finance Corp., |
|||||||||||
1,470 | 6.400%, 03/15/18 |
1,578 | |||||||||
150 | 6.800%, 01/15/19 |
164 | |||||||||
1,000 | 7.875%, 11/15/10 |
1,044 | |||||||||
290 | 10.750%, 03/15/16 |
372 | |||||||||
Northern States Power Co., |
|||||||||||
173 | 5.350%, 11/01/39 |
169 | |||||||||
765 | 6.250%, 06/01/36 |
835 | |||||||||
1,010 | Pacific Gas & Electric Co., 5.625%, 11/30/17 |
1,094 | |||||||||
Pacificorp, |
|||||||||||
1,900 | 5.750%, 04/01/37 |
1,945 | |||||||||
250 | 7.240%, 08/16/23 |
293 | |||||||||
Peco
Energy Co., |
|||||||||||
1,880 | 5.350%, 03/01/18 |
2,000 | |||||||||
500 | 5.950%,
11/01/11 (c) |
538 | |||||||||
360 | Potomac Electric Power Co., 6.500%, 11/15/37 |
396 | |||||||||
50 | Progress Energy, Inc., 6.050%, 03/15/14 |
55 | |||||||||
1,400 | PSEG
Power LLC, 7.750%, 04/15/11 |
1,494 | |||||||||
35 | Public Service Co. of Colorado, 6.500%, 08/01/38 |
40 | |||||||||
200 | Public Service Co. of New Mexico, 7.950%, 05/15/18 |
210 | |||||||||
Public Service Co. of Oklahoma, |
|||||||||||
88 | 5.150%, 12/01/19 |
90 | |||||||||
1,100 | 6.625%, 11/15/37 |
1,172 | |||||||||
Public Service Electric & Gas Co., |
|||||||||||
155 | 5.300%, 05/01/18 |
164 | |||||||||
416 | 5.375%, 11/01/39 |
401 | |||||||||
500 | San
Diego Gas & Electric Co., 6.000%, 06/01/39 |
534 | |||||||||
Southern California Edison Co., |
|||||||||||
450 | 5.550%, 01/15/37 |
451 | |||||||||
285 | 5.950%, 02/01/38 |
302 | |||||||||
145 | Spectra Energy Capital LLC, 7.500%, 09/15/38 |
166 | |||||||||
120 | Union Electric Co., 8.450%, 03/15/39 |
162 | |||||||||
235 | Virginia Electric and Power Co., 6.350%, 11/30/37 |
255 | |||||||||
28,799 | |||||||||||
Gas
Utilities 0.6% |
|||||||||||
250 | AmeriGas Partners LP, 7.250%, 05/20/15 |
251 | |||||||||
250 | ANR
Pipeline Co., 9.625%, 11/01/21 |
338 | |||||||||
600 | Atmos Energy Corp., 5.125%, 01/15/13 |
642 | |||||||||
570 | CenterPoint Energy Resources Corp., 6.625%, 11/01/37 |
596 | |||||||||
180 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 |
181 | |||||||||
200 | Crosstex
Energy/Crosstex Energy Finance Corp., 8.875%, 02/15/18 (e) |
203 | |||||||||
155 | EQT
Corp., 8.125%, 06/01/19 |
185 | |||||||||
500 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 8.750%, 04/15/18 |
506 | |||||||||
940 | Schlumberger
Technology Corp., 6.500%, 04/15/12 (e) |
1,037 | |||||||||
270 | Sonat, Inc., 7.625%, 07/15/11 |
281 | |||||||||
835 | Southern California Gas Co., 4.375%, 01/15/11 |
863 | |||||||||
TransCanada Pipelines Ltd., (Canada), |
|||||||||||
1,505 | 4.000%, 06/15/13 |
1,574 | |||||||||
1,000 | 6.200%, 10/15/37 |
1,056 | |||||||||
7,713 | |||||||||||
Independent Power Producers & Energy Traders 0.6% |
|||||||||||
1,700 | Calpine
Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) |
1,721 | |||||||||
750 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 |
724 | |||||||||
Edison Mission Energy, |
|||||||||||
500 | 7.000%, 05/15/17 |
366 | |||||||||
800 | 7.200%, 05/15/19 |
562 | |||||||||
500 | 7.750%, 06/15/16 |
400 | |||||||||
397 | FPL Energy Wind
Funding LLC, 6.876%, 06/27/17 (e) |
341 | |||||||||
952 | Midwest Generation LLC, 8.560%, 01/02/16 |
973 | |||||||||
2,013 | Mirant Mid Atlantic LLC, 9.125%, 06/30/17 |
2,123 | |||||||||
130 | North American
Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) |
138 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Corporate Bonds Continued |
|||||||||||
Independent Power Producers & Energy Traders Continued |
|||||||||||
335 | NRG
Energy, Inc., 7.375%, 02/01/16 |
330 | |||||||||
389 | Ormat Funding Corp., 8.250%, 12/30/20 |
339 | |||||||||
235 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 |
176 | |||||||||
8,193 | |||||||||||
Multi-Utilities 0.1% |
|||||||||||
400 | Dominion Resources, Inc., 7.000%, 06/15/38 |
459 | |||||||||
160 | DTE
Energy Co., 7.625%, 05/15/14 |
184 | |||||||||
Sempra Energy, |
|||||||||||
255 | 6.150%, 06/15/18 |
276 | |||||||||
75 | 6.500%, 06/01/16 |
84 | |||||||||
220 | 8.900%, 11/15/13 |
264 | |||||||||
420 | 9.800%, 02/15/19 |
541 | |||||||||
1,808 | |||||||||||
Water Utilities 0.1% |
|||||||||||
925 | American Water Capital Corp., 6.085%, 10/15/17 |
1,002 | |||||||||
Total Utilities |
47,515 | ||||||||||
Total Corporate Bonds (Cost $458,508) |
470,437 | ||||||||||
Foreign Government Securities 0.8% |
|||||||||||
100 | Banco Nacional
de Desenvolvimento Economico e Social, (Brazil), 6.369%, 06/16/18 (e) |
105 | |||||||||
100 | Citigroup
Funding, Inc., CLN, 14.250%, 06/19/13 (linked to Indonesia Government Bond, 14.250%, 06/15/13, credit rating BB+), (Indonesia)
(e) |
97 | |||||||||
110 | Credit Suisse First Boston International for CJSC The EXIM of Ukraine, (Ukraine), 7.650%, 09/07/11 |
104 | |||||||||
100 | Deutsche Bank
AG, London Branch, CLN, 00.000%, 12/22/13 (linked to Indonesia Government Bond, 00.00%, 12/22/13; credit rating BB+), (Indonesia) (a)
(e) |
130 | |||||||||
Federal Republic of Brazil, (Brazil), |
|||||||||||
396 | 8.000%, 01/15/18 |
462 | |||||||||
70 | 8.250%, 01/20/34 |
88 | |||||||||
90 | 8.750%, 02/04/25 |
116 | |||||||||
69 | 12.250%, 03/06/30 |
118 | |||||||||
BRL340 | 12.500%, 01/05/22 |
222 | |||||||||
Government of Dominican Republic, (Dominican Republic), |
|||||||||||
131 | 9.040%,
01/23/18 (e) |
143 | |||||||||
33 | 9.040%, 01/23/18 |
36 | |||||||||
Government of Ukraine, (Ukraine), |
|||||||||||
220 | 6.580%,
11/21/16 (e) |
188 | |||||||||
115 | IIRSA Norte Finance Ltd., (Peru), Reg. S., 8.750%, 05/30/24 |
121 | |||||||||
25 | Petroleos de Venezuela S.A., (Venezuela), 5.250%, 04/12/17 |
15 | |||||||||
200 | Province of Manitoba, (Canada), 2.125%, 04/22/13 |
201 | |||||||||
1,635 | Province of Ontario, (Canada), 2.950%, 02/05/15 |
1,649 | |||||||||
Republic of Argentina, (Argentina), |
|||||||||||
939 | SUB,
2.500%, 12/31/38 |
301 | |||||||||
17 | 8.280%, 12/31/33 |
11 | |||||||||
Republic of Colombia, (Colombia), |
|||||||||||
230 | 7.375%, 03/18/19 |
264 | |||||||||
120 | 11.750%, 02/25/20 |
174 | |||||||||
35 | Republic of Costa Rica, (Costa Rica), 9.995%, 08/01/20 |
46 | |||||||||
Republic of El Salvador, (El Salvador), |
|||||||||||
95 | 8.250%,
04/10/32 (e) |
102 | |||||||||
130 | Republic of Gabon, (Gabon), 8.200%, 12/12/17 (e) |
139 | |||||||||
30 | Republic of Guatemala, (Guatemala), Reg. S., 9.250%, 08/01/13 |
34 | |||||||||
Republic of Indonesia, (Indonesia), |
|||||||||||
100 | Reg.
S., 6.750%, 03/10/14 |
112 | |||||||||
150 | Reg.
S., 7.750%, 01/17/38 |
169 | |||||||||
290 | 11.625%,
03/04/19 (e) |
418 | |||||||||
130 | Republic of
Lithuania, (Lithuania), 7.375%, 02/11/20 (e) |
134 | |||||||||
Republic of Panama, (Panama), |
|||||||||||
45 | 6.700%, 01/26/36 |
48 | |||||||||
140 | 7.250%, 03/15/15 |
160 | |||||||||
90 | 9.375%, 04/01/29 |
120 | |||||||||
Republic of Peru, (Peru), |
|||||||||||
183 | 8.375%, 05/03/16 |
223 | |||||||||
168 | 8.750%, 11/21/33 |
217 | |||||||||
88 | 9.875%, 02/06/15 |
111 | |||||||||
Republic of Philippines, (Philippines), |
|||||||||||
290 | 8.250%, 01/15/14 |
337 | |||||||||
81 | 9.875%, 01/15/19 |
104 | |||||||||
120 | 10.625%, 03/16/25 |
166 | |||||||||
100 | Republic of South Africa, (South Africa), 6.875%, 05/27/19 |
110 | |||||||||
Republic of Turkey, (Turkey), |
|||||||||||
395 | 7.250%, 03/15/15 |
440 | |||||||||
100 | 8.000%, 02/14/34 |
114 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Foreign Government Securities Continued |
|||||||||||
Water Utilities Continued |
|||||||||||
TRL140 | 16.000%, 03/07/12 |
102 | |||||||||
Republic of Uruguay, (Uruguay), |
|||||||||||
UYU2,895 | 6.310%, 09/14/18 |
190 | |||||||||
170 | 7.625%, 03/21/36 |
182 | |||||||||
Republic of Venezuela, (Venezuela), |
|||||||||||
314 | 5.750%, 02/26/16 |
218 | |||||||||
120 | 7.000%, 03/31/38 |
68 | |||||||||
250 | 7.650%, 04/21/25 |
157 | |||||||||
275 | 8.250%, 10/13/24 |
182 | |||||||||
286 | Reg.
S., 9.000%, 05/07/23 |
201 | |||||||||
757 | Russian Federation, (Russia), SUB, 7.500%, 03/31/30 |
859 | |||||||||
100 | State of Qatar,
(Qatar), 6.400%, 01/20/40 (e) |
101 | |||||||||
United Mexican States, (Mexico), |
|||||||||||
200 | 5.950%, 03/19/19 |
215 | |||||||||
166 | 6.050%, 01/11/40 |
163 | |||||||||
100 | 7.500%, 04/08/33 |
116 | |||||||||
MXN2,530 | 8.000%, 12/19/13 |
208 | |||||||||
MXN340 | 9.000%, 12/20/12 |
29 | |||||||||
Total Foreign Government Securities (Cost $10,292) |
10,840 | ||||||||||
Mortgage Pass-Through Securities 5.8% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
1,174 | ARM,
5.627%, 03/01/36 |
1,205 | |||||||||
708 | ARM,
5.656%, 03/01/36 |
735 | |||||||||
293 | ARM,
6.076%, 05/01/37 |
305 | |||||||||
1,500 | ARM,
6.099%, 10/01/37 |
1,596 | |||||||||
879 | ARM,
6.367%, 10/01/36 |
916 | |||||||||
772 | ARM,
6.591%, 08/01/36 |
808 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
2,850 | 4.000%, 08/01/18 05/01/19 |
2,944 | |||||||||
1,497 | 4.500%, 10/01/18 |
1,573 | |||||||||
206 | 5.000%, 05/01/18 |
219 | |||||||||
1,041 | 5.500%, 01/01/21 |
1,121 | |||||||||
926 | 6.500%, 07/01/14 |
984 | |||||||||
119 | 7.000%, 05/01/11 06/01/11 |
125 | |||||||||
287 | 7.500%, 09/01/10 01/01/17 |
311 | |||||||||
1 | 8.500%, 06/01/10 |
1 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|||||||||||
2,232 | 6.500%, 11/01/22 03/01/26 |
2,424 | |||||||||
583 | 7.000%, 01/01/27 |
631 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, FHA/VA, |
|||||||||||
3,548 | 7.500%, 01/01/32 12/01/36 |
3,994 | |||||||||
822 | 10.000%, 10/01/30 |
967 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
599 | 4.000%, 09/01/33 |
591 | |||||||||
201 | 6.000%, 02/01/29 |
218 | |||||||||
1,818 | 6.500%, 01/01/24 11/01/36 |
1,978 | |||||||||
1,795 | 7.000%,
09/01/24 10/01/36 (m) |
1,987 | |||||||||
204 | 7.500%, 10/01/19 10/01/30 |
226 | |||||||||
198 | 8.000%, 08/01/27 03/01/30 |
229 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|||||||||||
304 | 7.000%, 12/01/14 03/01/16 |
324 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|||||||||||
7 | 7.500%, 02/01/17 |
8 | |||||||||
13 | 12.000%, 08/01/15 07/01/19 |
14 | |||||||||
| (h) | 13.000%, 06/01/14 |
| (h) | |||||||
| (h) | 14.500%, 12/01/10 03/01/11 |
| (h) | |||||||
| (h) | 15.000%, 03/01/11 |
| (h) | |||||||
Federal National Mortgage Association, |
|||||||||||
309 | ARM,
3.134%, 01/01/34 |
320 | |||||||||
26 | ARM,
3.750%, 10/01/33 |
27 | |||||||||
694 | ARM,
3.800%, 05/01/35 |
722 | |||||||||
297 | ARM,
5.181%, 04/01/37 |
311 | |||||||||
1,249 | ARM,
5.676%, 03/01/37 |
1,308 | |||||||||
1,954 | ARM,
5.686%, 01/01/23 |
2,079 | |||||||||
1,634 | ARM,
5.793%, 04/01/37 |
1,710 | |||||||||
502 | ARM,
5.897%, 06/01/37 |
530 | |||||||||
1,234 | ARM,
5.899%, 02/01/37 |
1,290 | |||||||||
1,374 | ARM,
6.066%, 07/01/37 |
1,439 | |||||||||
437 | ARM,
6.237%, 07/01/37 |
460 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
8,160 | 3.500%, 09/01/18 07/01/19 |
8,131 | |||||||||
5,417 | 4.000%, 07/01/18 12/01/18 |
5,655 | |||||||||
598 | 4.500%, 07/01/18 |
631 | |||||||||
3,311 | 5.000%, 05/01/18 11/01/18 |
3,524 | |||||||||
1,925 | 5.500%, 08/01/17 07/01/20 |
2,069 | |||||||||
3,685 | 6.000%, 01/01/14 08/01/22 |
3,973 | |||||||||
139 | 6.500%, 05/01/13 |
150 | |||||||||
| (h) | 7.000%, 03/01/15 |
| (h) | |||||||
24 | 7.500%, 02/01/12 |
25 | |||||||||
57 | 8.000%, 01/01/16 |
60 | |||||||||
16 | 8.500%, 11/01/11 |
17 | |||||||||
1,389 | Federal National Mortgage Association, 20 Year, Single Family, 6.500%, 11/01/18 |
1,509 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
Water Utilities Continued |
|||||||||||
456 | Federal National Mortgage Association, 30 Year, FHA/VA, 5.500%, 08/01/34 |
483 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
716 | 5.500%, 12/01/28 07/01/29 |
762 | |||||||||
847 | 6.500%, 04/01/28 08/01/29 |
920 | |||||||||
1,546 | 7.000%, 03/01/28 06/01/33 |
1,718 | |||||||||
1,699 | 7.500%, 09/01/25 11/01/38 |
1,873 | |||||||||
| (h) | 8.000%, 08/01/22 |
| (h) | |||||||
103 | 8.500%, 10/01/25 12/01/25 |
118 | |||||||||
7 | 9.000%, 01/01/19 04/01/25 |
8 | |||||||||
40 | 12.500%, 01/01/16 |
43 | |||||||||
938 | Federal National Mortgage Association, 7 Year, Balloon, 3.500%, 09/01/10 |
952 | |||||||||
Federal National Mortgage Association, Other, |
|||||||||||
2,489 | 5.000%, 12/01/32 08/01/33 |
2,588 | |||||||||
1,864 | 5.500%, 09/01/17 |
1,981 | |||||||||
1,286 | 6.500%, 04/01/36 07/01/36 |
1,374 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
|||||||||||
24 | 6.500%, 02/20/29 |
27 | |||||||||
131 | 7.500%, 08/20/25 07/20/27 |
147 | |||||||||
262 | 8.000%, 08/20/26 08/20/28 |
300 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
598 | 6.500%, 02/15/28 10/15/29 |
657 | |||||||||
216 | 7.000%, 01/15/23 02/15/28 |
241 | |||||||||
204 | 7.250%, 07/15/21 01/15/28 |
228 | |||||||||
105 | 7.500%, 10/15/22 09/15/29 |
119 | |||||||||
9 | 7.750%, 02/15/27 |
10 | |||||||||
8 | 8.500%, 11/15/25 |
9 | |||||||||
150 | 9.000%, 04/15/16 01/15/25 |
170 | |||||||||
5 | 10.000%, 11/15/20 |
6 | |||||||||
3 | 13.000%, 01/15/15 |
3 | |||||||||
Total Mortgage Pass-Through Securities (Cost $74,098) |
77,111 | ||||||||||
Municipal Bond 0.1% |
|||||||||||
Illinois 0.1% |
|||||||||||
1,960 | State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33 (Cost $1,960) |
1,652 | |||||||||
Supranational 0.0% (g) |
|||||||||||
200 | Eurasian Development Bank, (Kazakhstan), Reg. S., 7.375%, 09/29/14 (Cost $207) |
213 | |||||||||
U.S.
Government Agency Securities 1.0% |
|||||||||||
Federal Home Loan Banks, |
|||||||||||
1,500 | 1.750%, 12/14/12 |
1,513 | |||||||||
635 | 5.375%,
05/18/16 (c) |
716 | |||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
915 | 2.500%, 04/23/14 |
929 | |||||||||
385 | 6.750%, 09/15/29 |
479 | |||||||||
Federal National Mortgage Association, |
|||||||||||
3,505 | 1.375%, 04/28/11 |
3,540 | |||||||||
1,995 | 1.750%, 03/23/11 |
2,022 | |||||||||
825 | 5.000%, 05/11/17 |
911 | |||||||||
1,000 | 8.200%, 03/10/16 |
1,272 | |||||||||
500 | Financing Corp. Fico, Zero Coupon, 09/26/19 |
324 | |||||||||
485 | New
Valley Generation II, 5.572%, 05/01/20 |
529 | |||||||||
704 | New
Valley Generation III, 4.929%, 01/15/21 |
739 | |||||||||
869 | Tennessee Valley Authority, 5.250%, 09/15/39 |
881 | |||||||||
Total U.S. Government Agency Securities (Cost $13,403) |
13,855 | ||||||||||
U.S.
Treasury Obligations 17.4% |
|||||||||||
U.S.
Treasury Bonds, |
|||||||||||
85 | 3.500%, 02/15/39 |
71 | |||||||||
555 | 4.375%, 02/15/38 |
544 | |||||||||
3,890 | 4.500%, 05/15/38 |
3,889 | |||||||||
1,000 | 5.500%, 08/15/28 |
1,143 | |||||||||
2,340 | 6.000%, 02/15/26 |
2,808 | |||||||||
5,000 | 6.250%, 08/15/23 |
6,106 | |||||||||
4,250 | 6.375%, 08/15/27 |
5,319 | |||||||||
7,600 | 7.125%, 02/15/23 |
9,957 | |||||||||
100 | 7.250%, 05/15/16 |
126 | |||||||||
7,200 | 7.250%, 08/15/22 |
9,515 | |||||||||
15,000 | 7.500%, 11/15/16 |
19,180 | |||||||||
4,800 | 7.500%, 11/15/24 |
6,559 | |||||||||
2,625 | 7.875%, 02/15/21 |
3,593 | |||||||||
2,000 | 8.125%, 05/15/21 |
2,787 | |||||||||
5,000 | 8.125%, 08/15/21 |
6,983 | |||||||||
13,325 | 8.750%, 05/15/17 |
18,246 | |||||||||
1,000 | 8.750%, 08/15/20 |
1,439 | |||||||||
31,455 | 8.875%,
08/15/17 (m) |
43,469 | |||||||||
1,000 | 8.875%,
02/15/19 (c) |
1,419 | |||||||||
5,000 | 9.000%,
11/15/18 (m) |
7,125 | |||||||||
1,000 | U.S.
Treasury Inflation Indexed Bonds, 3.625%, 04/15/28 |
1,634 | |||||||||
U.S.
Treasury Notes, |
|||||||||||
3,225 | 0.875%, 04/30/11 |
3,243 | |||||||||
10 | 1.000%,
08/31/11 (k) |
10 | |||||||||
90 | 1.000%, 10/31/11 |
91 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
U.S.
Treasury Obligations Continued |
|||||||||||
Illinois Continued |
|||||||||||
4,000 | 1.375%, 09/15/12 |
4,027 | |||||||||
11,900 | 1.375%,
10/15/12 (c) |
11,972 | |||||||||
10,000 | 1.875%, 06/15/12 |
10,209 | |||||||||
225 | 2.250%, 05/31/14 |
228 | |||||||||
100 | 2.375%, 03/31/16 |
98 | |||||||||
1,000 | 3.125%, 10/31/16 |
1,011 | |||||||||
880 | 3.125%, 05/15/19 |
852 | |||||||||
320 | 4.000%, 02/15/15 |
347 | |||||||||
U.S.
Treasury STRIPS, |
|||||||||||
308 | 05/15/14 |
283 | |||||||||
2,000 | 11/15/14 |
1,800 | |||||||||
2,425 | 11/15/15 |
2,080 | |||||||||
3,980 | 05/15/16 |
3,316 | |||||||||
3,916 | 02/15/17 |
3,132 | |||||||||
5,991 | 05/15/17 |
4,731 | |||||||||
9,248 | 08/15/17
(c) |
7,183 | |||||||||
16,170 | 11/15/17 |
12,391 | |||||||||
6,000 | 02/15/18 |
4,539 | |||||||||
199 | 05/15/18 |
149 | |||||||||
1,606 | 08/15/18 |
1,179 | |||||||||
5,185 | 11/15/20
(c) |
3,350 | |||||||||
4,000 | 08/15/24 |
2,062 | |||||||||
2,900 | 02/15/25 |
1,456 | |||||||||
Total U.S. Treasury Obligations (Cost $224,622) |
231,651 |
SHARES |
|
|
|
|
|||||||
Common Stocks 0.2% |
|||||||||||
Consumer Discretionary 0.1% |
|||||||||||
Leisure Equipment & Products 0.0% (g) |
|||||||||||
31 | True Temper
Holdings Corp., Inc. (a) (f) (i) |
216 | |||||||||
Media 0.1% |
|||||||||||
15 | Dex One Corp.
(a) |
438 | |||||||||
12 | SuperMedia,
Inc. (a) |
487 | |||||||||
1 | Time
Warner Cable, Inc. |
25 | |||||||||
950 | |||||||||||
Total Consumer Discretionary |
1,166 | ||||||||||
Consumer Staples 0.0% (g) |
|||||||||||
Food Products 0.0% (g) |
|||||||||||
40 | Eurofresh,
Inc., ADR (a) (f) (i) |
20 | |||||||||
Household Products 0.0% (g) |
|||||||||||
13 | Spectrum
Brands, Inc. (a) |
303 | |||||||||
Total Consumer Staples |
323 | ||||||||||
Industrials 0.1% |
|||||||||||
Airlines 0.0% (g) |
|||||||||||
20 | Delta Air
Lines, Inc. (a) |
254 | |||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
18 | World Color
Press, Inc., (Canada) (a) |
202 | |||||||||
Industrial Conglomerates 0.1% |
|||||||||||
1 | Milacron Corp.
(a) (f) (i) |
573 | |||||||||
Total Industrials |
1,029 | ||||||||||
Information Technology 0.0% (g) |
|||||||||||
Semiconductors & Semiconductor Equipment 0.0% (g) |
|||||||||||
695 | MagnaChip
Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg), ADR (a) (f) (i) |
97 | |||||||||
Materials 0.0% (g) |
|||||||||||
Containers & Packaging 0.0% (g) |
|||||||||||
8 | Constar
International, Inc. (a) |
128 | |||||||||
14 | Portola
Packaging (a) (f) (i) |
57 | |||||||||
Total Materials |
185 | ||||||||||
Telecommunication Services 0.0% (g) |
|||||||||||
Diversified Telecommunication Services 0.0% (g) |
|||||||||||
3 | AboveNet, Inc. (a) |
209 | |||||||||
| (h) | XO
Holdings, Inc. (a) |
| (h) | |||||||
209 | |||||||||||
Wireless Telecommunication Services 0.0% (g) |
|||||||||||
| (h) | Sprint Nextel Corp. (a) |
| (h) | |||||||
Total Telecommunication Services |
209 | ||||||||||
Utilities 0.0% (g) |
|||||||||||
Independent Power Producers & Energy Traders 0.0% (g) |
|||||||||||
1 | NRG
Energy, Inc. (a) |
22 | |||||||||
Total Common Stocks (Cost $5,503) |
3,031 | ||||||||||
Preferred Stocks 0.2% |
|||||||||||
Consumer Discretionary 0.1% |
|||||||||||
Auto Components 0.0% (g) |
|||||||||||
| (h) | Remy
International, Inc., Series B, VAR, 21.054%, (a) (x) |
371 | ||||||||
Household Durables 0.1% |
|||||||||||
49 | M/I
Homes, Inc., Series A, 9.750%, 03/15/12 (a) (x) |
791 | |||||||||
Total Consumer Discretionary |
1,162 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE | ||||||
Consumer Staples 0.0% (g) |
||||||||||
Food Products 0.0% (g) |
||||||||||
| (h) | Eurofresh,
Inc., ADR (a) (f) (i) |
53 | |||||||
Financials 0.1% |
||||||||||
Commercial Banks 0.1% |
||||||||||
20 | CoBank ACB,
7.000%, 03/30/10 (e) (f) (i) (x) |
769 | ||||||||
15 | CoBank ACB,
Series Series D, 11.000%, 10/01/14 (x) |
813 | ||||||||
Total Financials |
1,582 | |||||||||
Total Preferred Stocks (Cost $2,940) |
2,797 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
Loan
Participations & Assignments 3.1% |
|||||||||||
Consumer Discretionary 1.0% |
|||||||||||
Automobiles 0.1% |
|||||||||||
Ford
Motor Co., |
|||||||||||
84 | 3.240%, 12/15/13 |
78 | |||||||||
1,416 | 3.260%, 12/15/13 |
1,328 | |||||||||
1,406 | |||||||||||
Gaming 0.2% |
|||||||||||
CCM
Merger, Inc., Term Loan B, |
|||||||||||
1,432 | 8.500%, 07/13/12 |
1,408 | |||||||||
375 | 8.500%, 07/13/12 |
368 | |||||||||
178 | 8.500%, 07/13/12 |
176 | |||||||||
500 | HSP
Gaming, LP, Term Loan, 11.250%, 9/23/14 |
499 | |||||||||
556 | Venetian Macau, Term B Funded Project Loan, 4.760%, 05/25/13 |
528 | |||||||||
2,979 | |||||||||||
Hotels, Restaurants & Leisure 0.0% (g) |
|||||||||||
423 | Fontainebleau Las Vegas, Delayed Draw Term Loan B, 4.316%, 06/06/14 |
77 | |||||||||
845 | Fontainebleau
Las Vegas, Initial Term Loan, 4.527%, 06/06/14 (d) |
158 | |||||||||
235 | |||||||||||
Media 0.6% |
|||||||||||
2,000 | Clear Channel Communications, Inc., Term Loan B, 3.879%, 01/29/16 |
1,564 | |||||||||
Dex
Media West, New Term Loan, |
|||||||||||
242 | 7.500%, 10/24/14 |
230 | |||||||||
99 | 7.500%, 10/24/14 |
95 | |||||||||
242 | 7.500%, 10/24/14 |
230 | |||||||||
145 | High
Plains Broadcasting Operating Co. LLC, Term Loan, 9.000%, 09/14/16 |
128 | |||||||||
2,587 | Idearc, Inc., Exit Term Loan, 11.000%, 12/31/15 |
2,372 | |||||||||
549 | Newport Television LLC, Term Loan, 9.000%, 09/14/16 |
487 | |||||||||
1,750 | Newsday, Term Loan B, 10.500%, 08/01/13 |
1,871 | |||||||||
Univision Communications, Inc., 1st Lien Term Loan, |
|||||||||||
30 | 2.501%, 09/20/14 |
26 | |||||||||
470 | 2.501%, 09/20/14 |
404 | |||||||||
7,407 | |||||||||||
Specialty Retail 0.1% |
|||||||||||
Claires Stores, Term Loan B, |
|||||||||||
1,314 | 05/29/14ˆ |
1,089 | |||||||||
181 | 3.001%, 05/29/14 |
150 | |||||||||
406 | 3.001%, 05/29/14 |
337 | |||||||||
1,576 | |||||||||||
Textiles, Apparel & Luxury Goods 0.0% (g) |
|||||||||||
312 | Polymer Group, Inc., Term Loan B, 7.000%, 11/22/14 |
312 | |||||||||
Total Consumer Discretionary |
13,915 | ||||||||||
Consumer Staples 0.2% |
|||||||||||
Food Products 0.0% (g) |
|||||||||||
150 | Bolthouse Farms, 1st Lien Term Loan, 5.500%, 02/01/16 |
150 | |||||||||
Household Products 0.2% |
|||||||||||
36 | Spectrum Brands, Inc., Letter of Credit, 1.500%, 06/30/12 |
36 | |||||||||
Spectrum Brands, Inc., Term Loan B, |
|||||||||||
721 | 8.000%, 06/30/12 |
719 | |||||||||
668 | 8.000%, 06/30/12 |
666 | |||||||||
668 | 8.000%, 06/30/12 |
666 | |||||||||
98 | 8.000%, 06/30/12 |
97 | |||||||||
4 | 8.750%, 06/30/12 |
4 | |||||||||
| (h) | 2,281.250%, 06/30/12 |
| (h) | |||||||
2,188 | |||||||||||
Total Consumer Staples |
2,338 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Loan
Participations & Assignments Continued |
|||||||||||
Energy 0.0% (g) |
|||||||||||
Oil, Gas & Consumable Fuels 0.0% (g) |
|||||||||||
175 | Big
West Oil, Term Loan B, 01/22/15ˆ |
176 | |||||||||
Financials 0.4% |
|||||||||||
Diversified Financial Services 0.3% |
|||||||||||
1,981 | Capmark Financial Group, 1st Lien Term Loan, 4.750%, 03/23/13 |
1,573 | |||||||||
Capmark Financial Group, Term Loan, |
|||||||||||
850 | 03/23/13ˆ |
254 | |||||||||
3,122 | 03/23/13ˆ |
931 | |||||||||
CIT
Group, Inc., New Term Loan, |
|||||||||||
360 | 13.000%, 01/20/12 |
371 | |||||||||
360 | 13.000%, 01/20/12 |
372 | |||||||||
360 | 13.000%, 01/20/12 |
371 | |||||||||
360 | 13.000%, 01/20/12 |
371 | |||||||||
360 | 13.000%, 01/20/12 |
371 | |||||||||
4,614 | |||||||||||
Insurance 0.0% (g) |
|||||||||||
90 | USI
Holdings, Term Loan, 7.000%, 05/04/14 |
87 | |||||||||
Real Estate Investment Trusts (REITs) 0.1% |
|||||||||||
450 | General Growth Properties, Inc., 02/24/10 (d) |
456 | |||||||||
1,000 | General Growth Properties, Term Loan A, 02/24/10 (d) |
1,015 | |||||||||
1,471 | |||||||||||
Total Financials |
6,172 | ||||||||||
Industrials 0.4% |
|||||||||||
Airlines 0.1% |
|||||||||||
Delta Airlines, Inc., 1st Lien Term Loan, |
|||||||||||
37 | 0.094%, 04/30/12 |
34 | |||||||||
15 | 2.249%, 04/30/12 |
14 | |||||||||
928 | 2.251%, 04/30/12 |
865 | |||||||||
913 | |||||||||||
Building Products 0.1% |
|||||||||||
73 | Jacuzzi Brands, Inc., 1st Lien Letter of Credit, 0.151%, 02/07/14 (f) (i) |
56 | |||||||||
2,464 | Jacuzzi Brands, Inc., 1st Lien Term Loan B, 2.499%, 02/07/14 (f) (i) |
1,905 | |||||||||
1,961 | |||||||||||
Commercial Services & Supplies 0.2% |
|||||||||||
Clarke American Corp., Term Loan B, |
|||||||||||
489 | 2.729%, 06/27/14 |
427 | |||||||||
871 | 2.751%, 06/27/14 |
761 | |||||||||
782 | 2.751%, 06/27/14 |
684 | |||||||||
311 | 2.751%, 06/27/14 |
272 | |||||||||
| (h) | 2.761%, 06/27/14 |
| (h) | |||||||
2,144 | |||||||||||
Total Industrials |
5,018 | ||||||||||
Information Technology 0.2% |
|||||||||||
IT
Services 0.2% |
|||||||||||
901 | CompuCom
Systems, Term Loan, 3.730%, 08/23/14 (f) (i) |
852 | |||||||||
First Data Corp., Initial Tranche B-1 Term Loan, |
|||||||||||
785 | 2.979%, 09/24/14 |
687 | |||||||||
24 | 2.999%, 09/24/14 |
21 | |||||||||
43 | 3.001%, 09/24/14 |
37 | |||||||||
First Data Corp., Initial Tranche B-3 Term Loan, |
|||||||||||
557 | 2.999%, 09/24/14 |
488 | |||||||||
29 | 3.001%, 09/24/14 |
25 | |||||||||
2,110 | |||||||||||
Semiconductors & Semiconductor Equipment 0.0% (g) |
|||||||||||
275 | Ati
Acquisition Co., Term Loan B, 8.250%, 12/31/14 |
264 | |||||||||
Total Information Technology |
2,374 | ||||||||||
Materials 0.5% |
|||||||||||
Chemicals 0.3% |
|||||||||||
1,435 | Cristal
Inorganic Chemicals, 1st Lien Term Loan, 2.501%, 05/15/14 (f) (i) |
1,335 | |||||||||
60 | Lyondell Chemical Co., Dutch Tranche A Dollar Term Loan, 3.729%, 12/20/13 |
42 | |||||||||
26 | Lyondell Chemical Co., Dutch Tranche Revolving Credit Loan, 3.729%, 12/20/13 |
18 | |||||||||
76 | Lyondell Chemical Co., German Tranche B-1 Euro Term Loan, 3.979%, 12/22/14 |
53 | |||||||||
76 | Lyondell Chemical Co., German Tranche B-2 Euro Term Loan, 3.979%, 12/22/14 |
53 | |||||||||
76 | Lyondell Chemical Co., German Tranche B-3 Euro Term Loan, 3.979%, 12/22/14 |
53 | |||||||||
Lyondell Chemical Co., Roll-Up DIP Term Loan, |
|||||||||||
337 | 5.792%, 04/06/10 |
354 | |||||||||
200 | 6.560%, 04/06/10 |
210 | |||||||||
188 | Lyondell Chemical Co., U.S. Tranche A Dollar Term Loan, 3.729%, 12/20/13 |
132 | |||||||||
328 | Lyondell Chemical Co., U.S. Tranche B-1 Dollar Term Loan, 7.000%, 12/20/14 |
230 | |||||||||
328 | Lyondell Chemical Co., U.S. Tranche B-2 Dollar Term Loan, 7.000%, 12/20/14 |
230 | |||||||||
968 | Lyondell Chemical Co., U.S. Tranche B-3 Dollar Term Loan, 7.000%, 12/20/14 |
677 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Loan
Participations & Assignments Continued |
|||||||||||
Chemicals Continued |
|||||||||||
99 | Lyondell Chemical Co., U.S. Tranche Primary Revolving Credit Loan, 3.729%, 12/20/13 |
69 | |||||||||
3,456 | |||||||||||
Containers & Packaging 0.0% (g) |
|||||||||||
Reynolds Group Holdings, Term Loan, |
|||||||||||
68 | 6.250%, 11/05/15 |
69 | |||||||||
332 | 6.250%, 11/05/15 |
333 | |||||||||
402 | |||||||||||
Diversified Manufacturing 0.1% |
|||||||||||
981 | BOC
Edwards, 1st Priority Lien Term Loan, 2.252%, 05/31/14 |
781 | |||||||||
Paper & Forest Products 0.1% |
|||||||||||
1,734 | Abitibi, Inc., Term Loan, 11.000%, 03/31/11 |
1,700 | |||||||||
Total Materials |
6,339 | ||||||||||
Utilities 0.4% |
|||||||||||
Independent Power Producers & Energy Traders 0.4% |
|||||||||||
963 | Calpine Corp., 1st Priority Lien, Term Loan, 3.135%, 03/29/14 |
904 | |||||||||
293 | NRG
Energy, Inc. (Opco), Credit-Linked Deposit LC, 0.151%, 02/01/13 |
283 | |||||||||
NRG
Energy, Inc. (Opco), Term Loan B, |
|||||||||||
165 | 1.968%, 02/01/13 |
159 | |||||||||
169 | 1.979%, 02/01/13 |
162 | |||||||||
1,227 | 2.001%, 02/01/13 |
1,184 | |||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, |
|||||||||||
2,419 | 3.728%, 10/10/14 |
1,950 | |||||||||
25 | 3.751%, 10/10/14 |
20 | |||||||||
Total Utilities |
4,662 | ||||||||||
Total Loan Participations & Assignments (Cost $42,007) |
40,994 |
NUMBER OF WARRANTS |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
Warrant 0.0% (g) |
|||||||||||
Industrials 0.0% (g) |
|||||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
World Color Press, Inc., |
|||||||||||
10 | expiring 7/20/2014 (Strike Price $13.00) (a) |
56 | |||||||||
10 | expiring 7/20/2014 (Strike Price $16.30) (a) |
66 | |||||||||
Total Industrials |
122 | ||||||||||
Telecommunication Services 0.0% (g) |
|||||||||||
Diversified Telecommunication Services 0.0% (g) |
|||||||||||
1 | AboveNet,
Inc., Class W, expiring 09/08/10 (Strike Price $24.00) (a) (f) (i) |
26 | |||||||||
Total Warrants (Cost $707) |
148 |
SHARES |
|
|
|
| |||||||
Short-Term Investment 6.5% |
|||||||||||
Investment
Company 6.5% |
|||||||||||
86,930 | JPMorgan
Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $86,930) |
86,930 | |||||||||
Investments of Cash Collateral for Securities on Loan 1.4% |
|||||||||||
Investment Company 1.4% |
|||||||||||
17,954 | JPMorgan Prime Money Market Fund, Capital Shares, 0.090% (b) (l) (Cost $17,954) |
17,954 | |||||||||
Total Investments 101.1% (Cost $1,323,331) |
1,346,451 | ||||||||||
Liabilities in Excess of Other Assets (1.1)% |
(14,197 | ) | |||||||||
NET ASSETS 100.0% |
$ | 1,332,254 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL AMOUNT AT 02/28/10 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
Long Futures Outstanding |
||||||||||||||||||
5 | 30
Year U.S. Treasury Bond |
06/21/10 |
589 | 6 | ||||||||||||||
1 | 2
Year U.S. Treasury Note |
06/30/10 |
217 | 1 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(1) | 10
Year U.S. Treasury Note |
06/21/10 |
(117 | ) | (1 | ) | ||||||||||||
(5) | 5
Year U.S. Treasury Note |
06/30/10 |
(580 | ) | (2 | ) | ||||||||||||
$ | 4 |
CONTRACTS TO BUY |
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/28/10 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|
||||||||||
1,500,000
MXN |
03/31/10 |
115 |
117 | 2 |
CONTRACTS TO SELL |
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/28/10 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|
||||||||||
1,500,000
MXN |
03/31/10 |
113 |
117 | (4 | ) |
SWAP COUNTERPARTY/ REFERENCE OBLIGATION |
|
FUND RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
IMPLIED CREDIT SPREAD AS OF 2/28/10 [2] |
|
NOTIONAL AMOUNT [3] |
|
VALUE |
|
UPFRONT PREMIUMS (PAID)/RECEIVED [4] |
||||||||||||||
Goldman Sachs
Capital Management: |
||||||||||||||||||||||||||
FSA Global
Funding Ltd., 6.110%, 06/29/15 |
1.950%
quarterly |
03/20/13 |
4.803 | % | 1,000 | (76 | ) | |
[1] |
The Fund, as a seller of credit protection, receives periodic payments and any upfront premium from the protection buyer, and is obligated to make a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
[2] |
Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
[3] |
The notional amount is the maximum amount that a seller of a credit default swap would be obligated to make and a buyer of credit protection would receive, upon occurrence of a credit event. |
[4] |
Upfront premiums generally relate to payments made or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Collateralized Mortgage Obligations 44.3% |
|||||||||||
Agency CMO 44.3% |
|||||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
134 | Series 1343, Class LA, 8.000%, 08/15/22 |
148 | |||||||||
928 | Series 1367, Class K, 5.500%, 09/15/22 |
1,003 | |||||||||
179 | Series 1591, Class E, 10.000%, 10/15/23 |
202 | |||||||||
1,607 | Series 1633, Class Z, 6.500%, 12/15/23 |
1,754 | |||||||||
2,312 | Series 1694, Class PK, 6.500%, 03/15/24 |
2,529 | |||||||||
8,835 | Series 1785, Class A, 6.000%, 10/15/23 |
9,394 | |||||||||
500 | Series 1999, Class PU, 7.000%, 10/15/27 |
549 | |||||||||
870 | Series 2031, Class PG, 7.000%, 02/15/28 |
965 | |||||||||
2,416 | Series 2035, Class PC, 6.950%, 03/15/28 |
2,562 | |||||||||
2,091 | Series 2064, Class PD, 6.500%, 06/15/28 (m) |
2,237 | |||||||||
1,934 | Series 2095, Class PE, 6.000%, 11/15/28 |
2,103 | |||||||||
646 | Series 2152, Class BD, 6.500%, 05/15/29 |
711 | |||||||||
4,181 | Series 2162, Class TH, 6.000%, 06/15/29 |
4,549 | |||||||||
352 | Series 2345, Class PQ, 6.500%, 08/15/16 |
381 | |||||||||
2,174 | Series 2367, Class ME, 6.500%, 10/15/31 |
2,378 | |||||||||
6,700 | Series 2480, Class EJ, 6.000%, 08/15/32 |
7,284 | |||||||||
6,000 | Series 2562, Class PG, 5.000%, 01/15/18 |
6,432 | |||||||||
4,282 | Series 2571, Class PV, 5.500%, 01/15/14 |
4,598 | |||||||||
8,305 | Series 2580, Class QM, 5.000%, 10/15/31 |
8,684 | |||||||||
2,801 | Series 2611, Class QZ, 5.000%, 05/15/33 |
2,760 | |||||||||
10,000 | Series 2630, Class KS, 4.000%, 01/15/17 |
10,378 | |||||||||
10,000 | Series 2631, Class TE, 4.500%, 02/15/28 |
10,218 | |||||||||
974 | Series 2647, Class A, 3.250%, 04/15/32 |
980 | |||||||||
6,331 | Series 2651, Class VZ, 4.500%, 07/15/18 |
6,671 | |||||||||
9,000 | Series 2656, Class BG, 5.000%, 10/15/32 |
9,623 | |||||||||
10,000 | Series 2684, Class PD, 5.000%, 03/15/29 |
10,536 | |||||||||
2,500 | Series 2688, Class DG, 4.500%, 10/15/23 |
2,603 | |||||||||
8,588 | Series 2727, Class PE, 4.500%, 07/15/32 |
8,987 | |||||||||
5,000 | Series 2749, Class TD, 5.000%, 06/15/21 |
5,249 | |||||||||
6,000 | Series 2773, Class TB, 4.000%, 04/15/19 |
6,151 | |||||||||
4,730 | Series 2780, Class TD, 5.000%, 04/15/28 |
4,957 | |||||||||
7,450 | Series 2841, Class AT, 4.000%, 08/15/19 |
7,620 | |||||||||
3,370 | Series 2882, Class QD, 4.500%, 07/15/34 |
3,540 | |||||||||
4,788 | Series 2927, Class GA, 5.500%, 10/15/34 |
5,166 | |||||||||
5,000 | Series 2929, Class PC, 5.000%, 01/15/28 |
5,196 | |||||||||
5,500 | Series 2931, Class QD, 4.500%, 02/15/20 |
5,788 | |||||||||
12,301 | Series 2976, Class HP, 4.500%, 01/15/33 |
12,615 | |||||||||
10,600 | Series 3036, Class ND, 5.000%, 05/15/34 (m) |
11,194 | |||||||||
4,162 | Series 3045, Class HN, 4.500%, 09/15/33 |
4,275 | |||||||||
3,074 | Series 3085, Class VS, HB, IF, 27.797%, 12/15/35 |
4,329 | |||||||||
5,500 | Series 3114, Class KB, 5.000%, 09/15/27 |
5,824 | |||||||||
6,718 | Series 3181, Class OP, PO, 07/15/36 |
5,645 | |||||||||
4,500 | Series 3188, Class GE, 6.000%, 07/15/26 |
4,954 | |||||||||
20,066 | Series 3325, Class JL, 5.500%, 06/15/37 |
21,580 | |||||||||
6,000 | Series 3341, Class PE, 6.000%, 07/15/37 |
6,529 | |||||||||
133 | Federal Home Loan Mortgage Corp. STRIPS, Series 155, Class IO, IO, 7.000%, 11/01/23 |
30 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|||||||||||
2,869 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 |
3,135 | |||||||||
3,333 | Series T-54, Class 2A, 6.500%, 02/25/43 |
3,600 | |||||||||
1,350 | Series T-56, Class A, PO, 05/25/43 |
952 | |||||||||
2,090 | Federal National Mortgage Association Grantor Trust, Series 2004-T1, Class 1A2, 6.500%, 01/25/44 |
2,257 | |||||||||
Federal National Mortgage Association Interest STRIPS, |
|||||||||||
4,261 | Series 278, Class 1, VAR, 2.471%, 08/01/25 |
3,733 | |||||||||
1,950 | Series 278, Class 3, VAR, 2.150%, 11/01/23 |
1,706 | |||||||||
3,602 | Series 343, Class 23, IO, 4.000%, 10/01/18 |
315 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
182 | Series 1988-16, Class B, 9.500%, 06/25/18 (m) |
208 | |||||||||
127 | Series 1990-57, Class J, 7.000%, 05/25/20 (m) |
138 | |||||||||
429 | Series 1993-110, Class H, 6.500%, 05/25/23 |
458 | |||||||||
336 | Series 1993-146, Class E, PO, 05/25/23 |
295 | |||||||||
5,877 | Series 1993-155, Class PJ, 7.000%, 09/25/23 |
6,532 | |||||||||
63 | Series 1993-205, Class H, PO, 09/25/23 |
54 | |||||||||
91 | Series 1993-217, Class H, PO, 08/25/23 |
79 | |||||||||
70 | Series 1993-228, Class G, PO, 09/25/23 |
60 | |||||||||
2,004 | Series 1994-37, Class L, 6.500%, 03/25/24 |
2,184 | |||||||||
5,985 | Series 1994-43, Class PJ, 6.350%, 12/25/23 |
6,219 | |||||||||
7,202 | Series 1994-51, Class PV, 6.000%, 03/25/24 |
7,871 | |||||||||
4,107 | Series 1994-62, Class PJ, 7.000%, 01/25/24 |
4,283 | |||||||||
3,987 | Series 1998-58, Class PC, 6.500%, 10/25/28 |
4,368 | |||||||||
663 | Series 2000-8, Class Z, 7.500%, 02/20/30 |
729 | |||||||||
2,746 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
483 | |||||||||
1,006 | Series 2002-2, Class UC, 6.000%, 02/25/17 |
1,080 | |||||||||
1,752 | Series 2002-3, Class PG, 5.500%, 02/25/17 |
1,884 | |||||||||
6,502 | Series 2002-73, Class OE, 5.000%, 11/25/17 |
6,918 | |||||||||
1,474 | Series 2002-86, Class EJ, 5.500%, 12/25/32 |
1,504 | |||||||||
2,610 | Series 2002-92, Class FB, VAR, 0.879%, 04/25/30 |
2,601 | |||||||||
6,847 | Series 2003-21, Class PZ, 4.500%, 03/25/33 |
6,862 | |||||||||
15,200 | Series 2003-35, Class MD, 5.000%, 11/25/16 |
15,769 | |||||||||
912 | Series 2003-67, Class SA, IF, HB, 44.013%, 10/25/31 |
1,576 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
660 | Series 2003-70, Class BE, 3.500%, 12/25/25 |
662 | |||||||||
5,000 | Series 2003-74, Class VL, 5.500%, 11/25/22 |
5,384 | |||||||||
20,000 | Series 2003-81, Class MC, 5.000%, 12/25/32 (m) |
21,354 | |||||||||
5,000 | Series 2003-92, Class VH, 5.000%, 02/25/19 |
5,303 | |||||||||
10,000 | Series 2003-128, Class DY, 4.500%, 01/25/24 (m) |
10,424 | |||||||||
16,000 | Series 2004-7, Class JK, 4.000%, 02/25/19 |
16,489 | |||||||||
4,579 | Series 2004-46, Class QD, IF, HB, 23.085%, 03/25/34 |
5,580 | |||||||||
5,695 | Series 2004-54, Class FL, VAR, 0.629%, 07/25/34 |
5,658 | |||||||||
10,308 | Series 2004-60, Class PA, 5.500%, 04/25/34 |
11,022 | |||||||||
5,000 | Series 2005-16, Class LC, 5.500%, 05/25/28 |
5,200 | |||||||||
7,805 | Series 2005-22, Class EH, 5.000%, 04/25/35 |
8,036 | |||||||||
3,449 | Series 2005-29, Class AK, 4.500%, 04/25/35 |
3,657 | |||||||||
7,080 | Series 2005-58, Class EP, 5.500%, 07/25/35 |
7,638 | |||||||||
7,000 | Series 2005-62, Class DX, 5.000%, 05/25/34 |
7,406 | |||||||||
6,508 | Series 2005-83, Class LA, 5.500%, 10/25/35 |
7,031 | |||||||||
5,498 | Series 2005-116, Class PC, 6.000%, 01/25/36 |
6,033 | |||||||||
33,773 | Series 2006-51, Class FP, VAR, 0.579%, 03/25/36 |
33,290 | |||||||||
2,178 | Series 2006-69, Class SP, IF, 14.533%, 05/25/30 |
2,413 | |||||||||
594 | Series 2006-81, Class FA, VAR, 0.579%, 09/25/36 |
590 | |||||||||
7,309 | Series 2006-110, Class PO, PO, 11/25/36 |
5,954 | |||||||||
7,773 | Series 2007-76, Class PE, 6.000%, 08/25/37 |
8,416 | |||||||||
1,999 | Series 2009-89, Class A1, 5.410%, 05/25/35 |
2,086 | |||||||||
35 | Series G92-35, Class EB, 7.500%, 07/25/22 |
39 | |||||||||
419 | Series G92-44, Class ZQ, 8.000%, 07/25/22 |
466 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
562 | Series 1999-W4, Class A9, 6.250%, 02/25/29 |
603 | |||||||||
4,427 | Series 2002-W7, Class A4, 6.000%, 06/25/29 |
4,762 | |||||||||
1,555 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
1,679 | |||||||||
734 | Series 2003-W1, Class 2A, 7.500%, 12/25/42 |
815 | |||||||||
6,745 | Series 2003-W18, Class 1A6, 5.370%, 08/25/43 |
7,064 | |||||||||
5,716 | Series 2005-W1, Class 1A2, 6.500%, 10/25/44 |
6,173 | |||||||||
Government National Mortgage Association, |
|||||||||||
1,064 | Series 1998-22, Class PD, 6.500%, 09/20/28 |
1,128 | |||||||||
612 | Series 1999-17, Class L, 6.000%, 05/20/29 |
650 | |||||||||
6,000 | Series 2001-10, Class PE, 6.500%, 03/16/31 |
6,456 | |||||||||
5,838 | Series 2001-64, Class PB, 6.500%, 12/20/31 |
6,447 | |||||||||
28,756 | Series 2003-59, Class XA, IO, VAR, 2.049%, 06/16/34 |
2,055 | |||||||||
3,285 | Series 2004-27, Class PD, 5.500%, 04/20/34 |
3,446 | |||||||||
2,842 | Series 2004-62, Class VA, 5.500%, 07/20/15 |
3,039 | |||||||||
15,152 | Series 2005-28, Class AJ, 5.500%, 04/20/35 |
16,127 | |||||||||
16,624 | Series 2008-40, Class SA, IF, IO, 6.168%, 05/16/38 |
1,916 | |||||||||
28,693 | Series 2009-42, Class TX, 4.500%, 06/20/39 |
28,459 | |||||||||
9,719 | Series 2009-52, Class MA, 5.000%, 11/20/36 |
10,344 | |||||||||
4,752 | Series 2009-69, Class WM, 5.500%, 08/20/39 |
5,044 | |||||||||
616,052 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $581,681) |
616,052 | ||||||||||
Mortgage Pass-Through Securities 11.8% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
24 | ARM,
2.516%, 07/01/30 |
24 | |||||||||
320 | ARM,
2.771%, 01/01/27 |
325 | |||||||||
37 | ARM,
2.973%, 04/01/30 |
38 | |||||||||
121 | ARM,
3.003%, 08/01/18 |
120 | |||||||||
50 | ARM,
3.125%, 06/01/18 |
49 | |||||||||
43 | ARM,
3.253%, 03/01/18 |
43 | |||||||||
28 | ARM,
3.344%, 02/01/19 |
27 | |||||||||
147 | ARM,
3.526%, 01/01/21 |
146 | |||||||||
85 | ARM,
3.808%, 11/01/18 |
87 | |||||||||
5 | ARM,
3.829%, 01/01/20 |
5 | |||||||||
6,669 | ARM,
6.023%, 03/01/37 |
6,954 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
925 | 5.000%, 12/01/13 12/01/16 |
967 | |||||||||
832 | 6.000%, 04/01/14 |
895 | |||||||||
1,105 | 6.500%, 12/01/12 06/01/14 |
1,174 | |||||||||
| (h) | 7.000%, 12/01/14 |
| (h) | |||||||
| (h) | 7.500%, 09/01/10 |
| (h) | |||||||
2,505 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 4.500%, 05/01/24 |
2,592 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
2,524 | 5.500%, 11/01/33 |
2,678 | |||||||||
550 | 6.000%, 02/01/32 |
597 | |||||||||
1,966 | 6.500%, 01/01/24 07/01/29 |
2,154 | |||||||||
1,926 | 7.000%, 08/01/25 09/01/29 (m) |
2,161 | |||||||||
114 | 7.500%, 09/01/24 08/01/25 |
128 | |||||||||
147 | 8.000%, 11/01/24 09/01/25 |
170 | |||||||||
281 | 8.500%, 05/01/24 07/01/28 |
324 | |||||||||
9 | 9.000%, 10/01/17 11/01/21 |
10 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
| (h) | Federal Home Loan Mortgage Corp., 30 Year, Single Family, 9.500%, 04/01/16 |
| (h) | |||||||
Federal National Mortgage Association, |
|||||||||||
40 | ARM,
2.625%, 06/01/17 |
40 | |||||||||
58 | ARM,
2.694%, 06/01/29 |
59 | |||||||||
51 | ARM,
2.744%, 06/01/20 |
52 | |||||||||
83 | ARM,
2.997%, 10/01/14 |
84 | |||||||||
397 | ARM,
3.078%, 11/01/27 08/01/41 |
399 | |||||||||
148 | ARM,
3.111%, 07/01/17 |
152 | |||||||||
8 | ARM,
3.125%, 07/01/27 |
9 | |||||||||
33 | ARM,
3.333%, 04/01/19 |
34 | |||||||||
179 | ARM,
3.375%, 08/01/30 |
182 | |||||||||
31 | ARM,
3.625%, 09/01/17 |
31 | |||||||||
230 | ARM,
3.669%, 08/01/19 |
236 | |||||||||
34 | ARM,
3.777%, 10/01/16 |
35 | |||||||||
44 | ARM,
3.825%, 08/01/19 |
45 | |||||||||
175 | ARM,
3.855%, 09/01/27 |
180 | |||||||||
252 | ARM,
3.875%, 06/01/15 01/01/29 |
263 | |||||||||
131 | ARM,
3.939%, 09/01/14 |
134 | |||||||||
18 | ARM,
4.325%, 11/01/16 |
18 | |||||||||
7 | ARM,
5.575%, 01/01/16 |
7 | |||||||||
25 | ARM,
6.000%, 12/01/18 |
25 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
44,526 | 4.000%, 04/01/19 02/01/25 |
45,597 | |||||||||
3,986 | 4.500%, 03/01/19 |
4,210 | |||||||||
2,853 | 5.500%, 11/01/16 03/01/18 |
3,065 | |||||||||
312 | 6.000%, 03/01/11 08/01/14 |
331 | |||||||||
9 | 6.500%, 12/01/10 |
9 | |||||||||
6 | 7.000%, 07/01/10 |
6 | |||||||||
154 | 8.000%, 11/01/12 |
164 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, |
|||||||||||
1,837 | 5.000%, 11/01/23 |
1,923 | |||||||||
2,553 | 6.000%, 03/01/22 |
2,750 | |||||||||
110 | 7.500%, 06/01/14 07/01/14 |
120 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
4,110 | 4.500%, 03/01/38 |
4,167 | |||||||||
6,484 | 5.000%, 11/01/33 |
6,757 | |||||||||
46,299 | 5.500%, 02/01/29 05/01/36 (m) |
48,972 | |||||||||
6,223 | 6.000%, 07/01/36 |
6,622 | |||||||||
1,250 | 6.500%, 06/01/26 04/01/32 |
1,352 | |||||||||
7,327 | 7.000%, 02/01/24 03/01/35 |
8,170 | |||||||||
461 | 7.500%, 03/01/30 04/01/30 |
519 | |||||||||
233 | 10.000%, 10/01/16 11/01/21 |
257 | |||||||||
241 | Federal National Mortgage Association, Other, 6.000%, 09/01/28 |
258 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
|||||||||||
480 | 8.000%, 11/20/26 11/20/27 |
550 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
70 | 6.000%, 10/15/23 |
76 | |||||||||
1,499 | 6.500%, 05/15/23 02/15/24 (m) |
1,619 | |||||||||
613 | 7.000%, 12/15/22 06/15/28 |
681 | |||||||||
637 | 7.500%, 02/15/22 02/15/28 |
718 | |||||||||
281 | 8.000%, 07/15/22 08/15/26 |
323 | |||||||||
9 | 8.500%, 10/15/24 |
11 | |||||||||
713 | 9.000%, 06/15/16 11/15/24 |
814 | |||||||||
41 | 9.500%, 08/15/16 12/15/20 |
46 | |||||||||
Total Mortgage Pass-Through Securities (Cost $156,504) |
163,740 | ||||||||||
U.S.
Government Agency Securities 15.1% |
|||||||||||
12,824 | Federal Farm Credit Bank, 5.750%, 12/07/28 |
14,219 | |||||||||
Federal National Mortgage Association, |
|||||||||||
21,000 | Zero
Coupon, 10/09/19 |
12,355 | |||||||||
34,750 | 5.738%, 11/15/20 |
20,946 | |||||||||
10,000 | 6.250%, 05/15/29 |
11,742 | |||||||||
8,000 | 6.630%, 05/15/23 |
4,097 | |||||||||
9,200 | Federal National Mortgage Association STRIPS, 05/29/26 |
3,938 | |||||||||
26,153 | Financing Corp., Principal STRIPS, Series 12P, 2/06/18 |
17,856 | |||||||||
Residual Funding Corp., Principal STRIPS, |
|||||||||||
34,520 | 10/15/19 |
22,882 | |||||||||
78,000 | 07/15/20 |
49,224 | |||||||||
5,000 | 04/15/30 |
1,790 | |||||||||
Resolution Funding Corp. Interest STRIPS, |
|||||||||||
50,000 | 07/15/20 |
31,437 | |||||||||
15,000 | 04/15/28 |
5,885 | |||||||||
14,740 | Tennessee Valley Authority Principal STRIPS, 12/15/17 |
10,682 | |||||||||
4,500 | Tennessee Valley Authority STRIPS, Zero Coupon, 07/15/16 |
3,551 | |||||||||
Total U.S. Government Agency Securities (Cost $190,088) |
210,604 | ||||||||||
U.S.
Treasury Obligations 23.9% |
|||||||||||
U.S.
Treasury Bonds, |
|||||||||||
20,000 | 5.250%, 11/15/28 |
22,225 | |||||||||
20,000 | 5.250%, 02/15/29 |
22,219 | |||||||||
2,500 | 7.125%, 02/15/23 |
3,275 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
U.S.
Treasury Obligations Continued |
|||||||||||
13,140 | 7.250%, 05/15/16 |
16,508 | |||||||||
3,935 | 7.250%, 08/15/22 |
5,201 | |||||||||
3,635 | 8.000%, 11/15/21 |
5,042 | |||||||||
4,085 | 8.875%, 08/15/17 |
5,645 | |||||||||
1,020 | 9.000%, 11/15/18 |
1,453 | |||||||||
U.S.
Treasury Bonds Coupon STRIPS, |
|||||||||||
5,845 | 02/15/15 |
5,204 | |||||||||
1,655 | 05/15/15 |
1,457 | |||||||||
600 | 08/15/15 |
521 | |||||||||
8,810 | 11/15/15 |
7,557 | |||||||||
1,190 | 05/15/16 |
991 | |||||||||
U.S.
Treasury Bonds Principal STRIPS, |
|||||||||||
1,900 | 08/15/15 |
1,651 | |||||||||
72,500 | 05/15/20 |
48,395 | |||||||||
U.S.
Treasury Inflation Indexed Notes, |
|||||||||||
25,000 | 1.375%, 07/15/18 |
25,245 | |||||||||
1,450 | 1.625%, 01/15/15 |
1,722 | |||||||||
25,000 | 2.375%, 04/15/11 |
28,166 | |||||||||
U.S.
Treasury Notes, |
|||||||||||
50,000 | 3.375%, 11/15/19 |
49,129 | |||||||||
25,000 | 3.750%, 11/15/18 |
25,586 | |||||||||
2,085 | 3.875%, 02/15/13 |
2,243 | |||||||||
6,430 | 4.250%, 08/15/13 |
7,021 | |||||||||
25,000 | 4.250%, 11/15/17 |
26,804 | |||||||||
10,000 | 4.500%, 09/30/11 |
10,621 | |||||||||
2,015 | 4.750%, 05/15/14 |
2,249 | |||||||||
6,750 | 5.750%, 08/15/10 |
6,923 | |||||||||
Total U.S. Treasury Obligations (Cost $315,529) |
333,053 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 8.3% |
|||||||||||
Investment Company 8.3% |
|||||||||||
114,616 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000% (b) (l) (Cost $114,616) |
114,616 | |||||||||
Total Investments 103.4% (Cost $1,358,418) |
1,438,065 | ||||||||||
Liabilities in Excess of Other Assets (3.4)% |
(46,741 | ) | |||||||||
NET ASSETS 100.0% |
$ | 1,391,324 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 0.1% |
|||||||||||
460 | Countrywide Asset-Backed Certificates, Series 2004-13, Class MV8, VAR, 1.929%, 01/25/35 (f) (i) |
23 | |||||||||
Long
Beach Mortgage Loan Trust, |
|||||||||||
408 | Series 2004-2, Class B, VAR, 3.729%, 06/25/34 (e) (f) (i) |
30 | |||||||||
127 | Series 2004-5, Class M6, VAR, 2.729%, 09/25/34 (f) (i) |
11 | |||||||||
7,000 | Unipac IX LLC, 13.000%, 04/11/13 (f) (i) |
6,852 | |||||||||
Total Asset-Backed Securities (Cost $7,814) |
6,916 | ||||||||||
Corporate Bonds 81.7% |
|||||||||||
Consumer Discretionary 22.6% |
|||||||||||
Auto Components 0.7% |
|||||||||||
Affinia Group, Inc., |
|||||||||||
12,450 | 9.000%, 11/30/14 (m) |
12,154 | |||||||||
4,385 | 10.750%, 08/15/16 (e) |
4,758 | |||||||||
4,162 | American Tire Distributors, Inc., 10.750%, 04/01/13 (c) |
3,912 | |||||||||
151 | ArvinMeritor, Inc., 8.750%, 03/01/12 |
161 | |||||||||
8,150 | DPH
Holdings Corp., 7.125%, 05/01/29 (d) |
183 | |||||||||
8,678 | Exide Technologies, 10.500%, 03/15/13 (c) |
8,439 | |||||||||
Goodyear Tire & Rubber Co. (The), |
|||||||||||
1,599 | 9.000%, 07/01/15 (c) |
1,649 | |||||||||
1,392 | 10.500%, 05/15/16 |
1,500 | |||||||||
1,000 | TRW
Automotive, Inc., 8.875%, 12/01/17 (e) |
1,008 | |||||||||
1,941 | UCI
Holdco, Inc., PIK, 9.250%, 12/15/13 |
1,786 | |||||||||
3,075 | United Components, Inc., 9.375%, 06/15/13 |
3,052 | |||||||||
38,602 | |||||||||||
Automobiles 1.6% |
|||||||||||
Ford
Holdings LLC, |
|||||||||||
23,357 | 9.300%, 03/01/30 (m) |
23,182 | |||||||||
7,750 | 9.375%, 03/01/20 |
7,672 | |||||||||
Ford
Motor Co., |
|||||||||||
325 | 7.500%, 08/01/26 |
272 | |||||||||
4,545 | 7.750%, 06/15/43 |
3,636 | |||||||||
2,675 | 8.900%, 01/15/32 |
2,454 | |||||||||
3,529 | 9.215%, 09/15/21 |
3,441 | |||||||||
6,228 | 9.980%, 02/15/47 |
6,119 | |||||||||
Motors Liquidation Co., |
|||||||||||
3,415 | 03/15/36 (d) |
495 | |||||||||
50 | 1.500%, 06/01/49 (a) |
337 | |||||||||
973 | 5.250%, 03/06/32 |
6,557 | |||||||||
953 | 6.250%, 07/15/33 |
6,476 | |||||||||
955 | 6.750%, 05/01/28 (d) |
272 | |||||||||
246 | 7.250%, 04/15/41 |
1,638 | |||||||||
284 | 7.250%, 07/15/41 (c) |
1,895 | |||||||||
548 | 7.250%, 02/15/52 |
3,651 | |||||||||
404 | 7.375%, 05/15/48 |
2,692 | |||||||||
47 | 7.375%, 10/01/51 |
311 | |||||||||
12,550 | 8.100%, 06/15/24 (d) |
3,640 | |||||||||
9,000 | 8.250%, 07/15/23 (d) |
2,677 | |||||||||
34,006 | 8.375%, 07/15/33 (d) |
10,287 | |||||||||
6,000 | Navistar International Corp., 8.250%, 11/01/21 |
6,090 | |||||||||
93,794 | |||||||||||
Broadcasting & Cable TV 2.7% |
|||||||||||
Adelphia Communications Corp., |
|||||||||||
1,075 | 7.750%, 01/15/09 |
14 | |||||||||
1,450 | 8.125%, 07/15/03 |
18 | |||||||||
3,175 | 9.375%, 11/15/09 (c) |
40 | |||||||||
3,500 | 10.875%, 10/01/10 |
44 | |||||||||
9,055 | Adelphia Recovery Trust, Contingent Value |
299 | |||||||||
7,160 | Cablevision Systems Corp., 8.625%, 09/15/17 (e) |
7,375 | |||||||||
25,000 | CCO
Holdings LLC/CCO Holdings Capital Corp., 8.750%, 11/15/13 (m) |
25,375 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, |
|||||||||||
7,550 | 8.375%, 04/30/14 (e) |
7,663 | |||||||||
6,150 | 10.875%, 09/15/14 (e) |
6,850 | |||||||||
3,926 | DirecTV Holdings LLC/DirecTV Financing Co., 6.375%, 06/15/15 (m) |
4,059 | |||||||||
DISH
DBS Corp., |
|||||||||||
3,600 | 6.625%, 10/01/14 |
3,609 | |||||||||
7,500 | 7.000%, 10/01/13 |
7,669 | |||||||||
2,100 | 7.875%, 09/01/19 |
2,163 | |||||||||
7,250 | Mediacom Broadband LLC/Mediacom Broadband Corp., 8.500%, 10/15/15 |
7,322 | |||||||||
10,330 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 (e) |
10,382 | |||||||||
5,940 | Sirius XM Radio, Inc., 9.750%, 09/01/15 (e) |
6,207 | |||||||||
15,232 | Telesat Canada/Telesat LLC, (Canada), 11.000%, 11/01/15 |
16,603 | |||||||||
5,525 | UPC
Germany GmbH, (Germany), 8.125%, 12/01/17 (e) |
5,525 | |||||||||
Videotron Ltee, (Canada), |
|||||||||||
10,325 | 6.875%, 01/15/14 (m) |
10,364 | |||||||||
4,600 | 9.125%, 04/15/18 (e) |
4,979 | |||||||||
480 | 9.125%, 04/15/18 |
522 | |||||||||
Virgin Media Finance plc, (United Kingdom), |
|||||||||||
2,450 | 8.375%, 10/15/19 |
2,465 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Broadcasting & Cable TV Continued |
|||||||||||
900 | 8.750%, 04/15/14 |
920 | |||||||||
14,050 | 9.125%, 08/15/16 |
14,507 | |||||||||
2,000 | 9.500%, 08/15/16 |
2,120 | |||||||||
11,625 | XM
Satellite Radio, Inc., 13.000%, 08/01/13 (c) (e) |
12,729 | |||||||||
159,823 | |||||||||||
Distributors 0.3% |
|||||||||||
15,505 | McJunkin Red Man Corp., 9.500%, 12/15/16 (e) |
15,544 | |||||||||
Diversified Consumer Services 1.2% |
|||||||||||
3,000 | Carriage Services, Inc., 7.875%, 01/15/15 |
2,887 | |||||||||
17,380 | Knowledge Learning Corp., 7.750%, 02/01/15 (e) (m) |
16,511 | |||||||||
5,750 | Mac-Gray Corp., 7.625%, 08/15/15 |
5,635 | |||||||||
Service Corp. International, |
|||||||||||
925 | 6.750%, 04/01/15 |
916 | |||||||||
3,000 | 6.750%, 04/01/16 |
2,940 | |||||||||
12,755 | 7.000%, 06/15/17 (m) |
12,500 | |||||||||
3,700 | 7.375%, 10/01/14 (m) |
3,765 | |||||||||
3,850 | 7.625%, 10/01/18 |
3,869 | |||||||||
2,250 | 7.875%, 02/01/13 (m) |
2,250 | |||||||||
4,000 | 8.000%, 11/15/21 |
3,990 | |||||||||
3,550 | Sothebys, 7.750%, 06/15/15 |
3,479 | |||||||||
Stewart Enterprises, Inc., |
|||||||||||
6,435 | 3.125%, 07/15/14 |
5,550 | |||||||||
5,625 | 3.375%, 07/15/16 |
4,521 | |||||||||
68,813 | |||||||||||
Gaming 2.8% |
|||||||||||
Chukchansi Economic Development Authority, |
|||||||||||
18,598 | 8.000%, 11/15/13 (c) (e) |
15,064 | |||||||||
5,000 | VAR,
4.024%, 11/15/12 (e) |
3,900 | |||||||||
2,575 | FireKeepers Development Authority, 13.875%, 05/01/15 (e) |
2,961 | |||||||||
4,000 | Fontainebleau Las Vegas Holdings LLC/Fontainebleau Las Vegas Capital Corp., 10.250%, 06/15/15 (d) (e) |
43 | |||||||||
Harrahs Operating Co., Inc., |
|||||||||||
30,500 | 10.000%, 12/15/18 (c) |
23,028 | |||||||||
12,000 | 11.250%, 06/01/17 |
12,450 | |||||||||
13,488 | Isle
of Capri Casinos, Inc., 7.000%, 03/01/14 (c) |
10,959 | |||||||||
1,000 | Mandalay Resort Group, 6.375%, 12/15/11 |
940 | |||||||||
Mashantucket Western Pequot Tribe, |
|||||||||||
3,982 | 5.912%, 09/01/21 (e) |
2,469 | |||||||||
9,770 | 8.500%, 11/15/15 (e) |
2,540 | |||||||||
MGM
Mirage, |
|||||||||||
151 | 5.875%, 02/27/14 |
127 | |||||||||
4,500 | 6.625%, 07/15/15 (c) |
3,555 | |||||||||
21,850 | 6.750%, 09/01/12 (c) |
20,211 | |||||||||
625 | 7.500%, 06/01/16 (c) |
495 | |||||||||
3,025 | 7.625%, 01/15/17 (c) |
2,405 | |||||||||
2,900 | 8.375%, 02/01/11 (c) |
2,828 | |||||||||
850 | 10.375%, 05/15/14 (e) |
901 | |||||||||
1,500 | 11.125%, 11/15/17 (e) |
1,620 | |||||||||
6,400 | 11.375%, 03/01/18 (c) (e) |
5,920 | |||||||||
151 | Mohegan Tribal Gaming Authority, 7.125%, 08/15/14 |
112 | |||||||||
Peninsula Gaming LLC, |
|||||||||||
2,005 | 8.375%, 08/15/15 (e) |
1,915 | |||||||||
5,615 | 10.750%, 08/15/17 (e) |
5,474 | |||||||||
San
Pasqual Casino, |
|||||||||||
11,459 | 8.000%, 09/15/13 (e) |
10,886 | |||||||||
500 | Scientific Games International, Inc., 9.250%, 06/15/19 |
529 | |||||||||
9,775 | Seminole Hard Rock Entertainment, Inc., VAR, 2.754%, 03/15/14 (e) |
8,700 | |||||||||
14,300 | Shingle Springs Tribal Gaming Authority, 9.375%, 06/15/15 (e) (m) |
11,368 | |||||||||
Wynn
Las Vegas LLC/Wynn Las Vegas Capital Corp., |
|||||||||||
11,976 | 6.625%, 12/01/14 (c) (m) |
11,587 | |||||||||
1,250 | 7.875%, 11/01/17 (e) |
1,237 | |||||||||
164,224 | |||||||||||
Hotels, Restaurants & Leisure 1.7% |
|||||||||||
11,000 | AMC
Entertainment, Inc., 8.750%, 06/01/19 (m) |
11,358 | |||||||||
4,500 | Cinemark USA, Inc., 8.625%, 06/15/19 |
4,680 | |||||||||
Host
Hotels & Resorts LP, |
|||||||||||
1,050 | 6.875%, 11/01/14 |
1,045 | |||||||||
1,151 | 7.125%, 11/01/13 |
1,164 | |||||||||
5,000 | 9.000%, 05/15/17 (c) (e) |
5,350 | |||||||||
5,195 | Landrys Restaurants, Inc., 11.625%, 12/01/15 (e) |
5,429 | |||||||||
2,550 | OCharleys, Inc., 9.000%, 11/01/13 |
2,537 | |||||||||
5,525 | Real
Mex Restaurants, Inc., 14.000%, 01/01/13 |
5,124 | |||||||||
Royal Caribbean Cruises Ltd., (Liberia), |
|||||||||||
1,059 | 6.875%, 12/01/13 |
1,054 | |||||||||
1,000 | 7.000%, 06/15/13 |
993 | |||||||||
6,666 | 7.250%, 06/15/16 |
6,499 | |||||||||
11,820 | 11.875%, 07/15/15 |
13,386 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Hotels, Restaurants & Leisure Continued |
|||||||||||
9,129 | Six
Flags Operations, Inc., 12.250%, 07/15/16 (d) (e) |
10,133 | |||||||||
Speedway Motorsports, Inc., |
|||||||||||
4,650 | 6.750%, 06/01/13 |
4,569 | |||||||||
7,500 | 8.750%, 06/01/16 |
7,912 | |||||||||
5,200 | Starwood Hotels & Resorts Worldwide, Inc., 7.875%, 10/15/14 |
5,551 | |||||||||
Universal City Development Partners Ltd., |
|||||||||||
4,150 | 8.875%, 11/15/15 (c) (e) |
4,181 | |||||||||
8,450 | 10.875%, 11/15/16 (e) |
8,746 | |||||||||
99,711 | |||||||||||
Household Durables 1.5% |
|||||||||||
5,000 | Centex Corp., 6.500%, 05/01/16 |
5,075 | |||||||||
D.R.
Horton, Inc., |
|||||||||||
1,015 | 5.375%, 06/15/12 |
1,025 | |||||||||
8,378 | 5.625%, 09/15/14 |
8,253 | |||||||||
1,775 | 5.625%, 01/15/16 |
1,686 | |||||||||
1,000 | 6.125%, 01/15/14 |
1,000 | |||||||||
100 | 6.500%, 04/15/16 |
98 | |||||||||
4,900 | 6.875%, 05/01/13 |
5,096 | |||||||||
16,000 | K
Hovnanian Enterprises, Inc., 10.625%, 10/15/16 |
16,720 | |||||||||
KB
Home, |
|||||||||||
4,275 | 5.875%, 01/15/15 |
3,997 | |||||||||
3,450 | 7.250%, 06/15/18 |
3,243 | |||||||||
5,000 | 9.100%, 09/15/17 |
5,188 | |||||||||
12,968 | M/I
Homes, Inc., 6.875%, 04/01/12 |
12,579 | |||||||||
Meritage Homes Corp., |
|||||||||||
8,612 | 6.250%, 03/15/15 |
8,117 | |||||||||
4,199 | 7.000%, 05/01/14 |
4,073 | |||||||||
Standard Pacific Corp., |
|||||||||||
11,201 | 6.250%, 04/01/14 (c) |
10,081 | |||||||||
3,295 | 7.000%, 08/15/15 |
2,965 | |||||||||
89,196 | |||||||||||
Household Products 0.0% (g) |
|||||||||||
2,205 | Libbey Glass, Inc., 10.000%, 02/15/15 (e) |
2,282 | |||||||||
Leisure Equipment & Products 0.3% |
|||||||||||
Eastman Kodak Co., |
|||||||||||
2,040 | 7.250%, 11/15/13 |
1,923 | |||||||||
13,750 | 9.750%, 03/01/18 (e) |
13,440 | |||||||||
5,350 | Steinway Musical Instruments, 7.000%, 03/01/14 (e) |
4,949 | |||||||||
20,312 | |||||||||||
Media 4.9% |
|||||||||||
15,305 | Allbritton Communications Co., 7.750%, 12/15/12 (m) |
15,171 | |||||||||
4,150 | Barrington Broadcasting Group LLC/Barrington Broadcasting Capital Corp., 10.500%, 08/15/14 |
3,517 | |||||||||
15,400 | Block Communications, Inc., 8.250%, 12/15/15 (e) |
15,169 | |||||||||
Clear Channel Worldwide Holdings, Inc., |
|||||||||||
4,500 | 9.250%, 12/15/17 (e) |
4,590 | |||||||||
18,640 | 9.250%, 12/15/17 (e) |
19,153 | |||||||||
6,600 | Fisher Communications, Inc., 8.625%, 09/15/14 |
6,328 | |||||||||
Gannett Co., Inc., |
|||||||||||
7,950 | 8.750%, 11/15/14 (e) |
8,318 | |||||||||
6,350 | 9.375%, 11/15/17 (e) |
6,643 | |||||||||
2,300 | Inmarsat Finance plc, (United Kingdom), 7.375%, 12/01/17 (e) |
2,357 | |||||||||
20,315 | Intelsat Intermediate Holding Co. S.A., (Bermuda), SUB, 9.500%, 02/01/15 (m) |
20,975 | |||||||||
Intelsat Jackson Holdings S.A., (Bermuda), |
|||||||||||
5,250 | 8.500%, 11/01/19 (e) |
5,315 | |||||||||
12,780 | 11.250%, 06/15/16 |
13,643 | |||||||||
Intelsat Luxembourg S.A., (Bermuda), |
|||||||||||
7,662 | PIK,
11.500%, 02/04/17 |
7,489 | |||||||||
39,250 | SUB,
11.250%, 02/04/17 (a) (m) |
39,790 | |||||||||
Intelsat Subsidiary Holding Co. S.A., (Bermuda), |
|||||||||||
3,240 | 8.875%, 01/15/15 (e) |
3,289 | |||||||||
11,000 | 8.875%, 01/15/15 |
11,220 | |||||||||
2,500 | Interpublic Group of Cos., Inc., 10.000%, 07/15/17 |
2,719 | |||||||||
Lamar Media Corp., |
|||||||||||
2,710 | 6.625%, 08/15/15 |
2,534 | |||||||||
4,000 | 6.625%, 08/15/15 (c) |
3,820 | |||||||||
LBI
Media, Inc., |
|||||||||||
925 | 8.500%, 08/01/17 (e) |
782 | |||||||||
625 | SUB,
11.000%, 10/15/13 |
478 | |||||||||
2,350 | McClatchy Co./The, 11.500%, 02/15/17 (e) |
2,291 | |||||||||
15,000 | Media General, Inc., 11.750%, 02/15/17 (e) (m) |
14,550 | |||||||||
Nexstar Broadcasting, Inc., |
|||||||||||
1,498 | 7.000%, 01/15/14 |
1,176 | |||||||||
4,539 | PIK,
0.500%, 01/15/14 (e) |
3,563 | |||||||||
2,205 | Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc., SUB, 11.375%, 04/01/13 |
1,833 | |||||||||
8,800 | Nielsen Finance LLC / Nielsen Finance Co., 11.500%, 05/01/16 |
9,801 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Media Continued |
|||||||||||
3,750 | Quebecor Media, Inc., (Canada), 7.750%, 03/15/16 |
3,759 | |||||||||
Radio One, Inc., |
|||||||||||
2,850 | 6.375%, 02/15/13 |
2,255 | |||||||||
1,000 | 8.875%, 07/01/11 |
880 | |||||||||
4,250 | Salem Communications Corp., 9.625%, 12/15/16 (e) |
4,388 | |||||||||
26,653 | Valassis Communications, Inc., 8.250%, 03/01/15 (m) |
26,920 | |||||||||
WMG
Acquisition Corp., |
|||||||||||
12,453 | 7.375%, 04/15/14 |
11,893 | |||||||||
2,625 | 9.500%, 06/15/16 (e) |
2,756 | |||||||||
7,864 | WMG
Holdings Corp., SUB, 9.500%, 12/15/14 (c) |
7,864 | |||||||||
287,229 | |||||||||||
Multiline Retail 0.6% |
|||||||||||
Dollar General Corp., |
|||||||||||
6,731 | 10.625%, 07/15/15 |
7,371 | |||||||||
1,665 | PIK,
11.875%, 07/15/17 |
1,927 | |||||||||
9,045 | HSN,
Inc., 11.250%, 08/01/16 |
10,153 | |||||||||
4,400 | Macys Retail Holdings, Inc., 5.900%, 12/01/16 |
4,268 | |||||||||
8,850 | QVC,
Inc., 7.500%, 10/01/19 (e) |
8,961 | |||||||||
32,680 | |||||||||||
Specialty Retail 4.0% |
|||||||||||
9,150 | ACE
Hardware Corp., 9.125%, 06/01/16 (e) |
9,699 | |||||||||
18,000 | Blockbuster, Inc., 11.750%, 10/01/14 (c) (e) |
12,960 | |||||||||
1,650 | Brown Shoe Co., Inc., 8.750%, 05/01/12 |
1,671 | |||||||||
6,985 | Burlington Coat Factory Investment Holdings, Inc., SUB, 14.500%, 10/15/14 |
7,160 | |||||||||
43,529 | Burlington Coat Factory Warehouse Corp., 11.125%, 04/15/14 (c) |
44,291 | |||||||||
7,195 | Collective Brands, Inc., 8.250%, 08/01/13 |
7,321 | |||||||||
21,447 | General Nutrition Centers, Inc., PIK, 5.178%, 03/15/14 |
19,731 | |||||||||
KAR
Auction Services, Inc., |
|||||||||||
5,529 | 8.750%, 05/01/14 |
5,584 | |||||||||
146 | 10.000%, 05/01/15 |
152 | |||||||||
4,750 | Ltd.
Brands, Inc., 8.500%, 06/15/19 |
5,088 | |||||||||
Michaels Stores, Inc., |
|||||||||||
12,665 | 11.375%, 11/01/16 (c) (m) |
12,728 | |||||||||
36,113 | SUB,
0.000%, 11/01/16 |
29,432 | |||||||||
9,295 | NBC
Acquisition Corp., SUB, 11.000%, 03/15/13 |
7,204 | |||||||||
Nebraska Book Co., Inc., |
|||||||||||
12,891 | 8.625%, 03/15/12 |
11,602 | |||||||||
3,692 | 10.000%, 12/01/11 (e) |
3,747 | |||||||||
13,350 | Penske Auto Group, Inc., 7.750%, 12/15/16 (m) |
12,733 | |||||||||
10,700 | PEP
Boys - Manny, Moe & Jack, 7.500%, 12/15/14 (m) |
10,031 | |||||||||
4,225 | Susser Holdings LLC & Susser Finance Corp., 10.625%, 12/15/13 |
4,383 | |||||||||
9,950 | Toys
R Us Property Co. LLC, 8.500%, 12/01/17 (e) |
10,050 | |||||||||
15,570 | Toys
R Us, Inc., 7.875%, 04/15/13 (m) |
15,648 | |||||||||
231,215 | |||||||||||
Textiles, Apparel & Luxury Goods 0.3% |
|||||||||||
2,427 | Broder Brothers Co., PIK, 12.000%, 10/15/13 (e) (f) (i) |
1,875 | |||||||||
Hanesbrands, Inc., |
|||||||||||
900 | 8.000%, 12/15/16 |
918 | |||||||||
6,743 | VAR,
3.831%, 12/15/14 |
6,321 | |||||||||
12,972 | Quiksilver, Inc., 6.875%, 04/15/15 (m) |
11,059 | |||||||||
20,173 | |||||||||||
Total Consumer Discretionary |
1,323,598 | ||||||||||
Consumer Staples 4.4% |
|||||||||||
Beverages 0.5% |
|||||||||||
4,180 | CEDC
Finance Corp. International, Inc., 9.125%, 12/01/16 (e) |
4,368 | |||||||||
Constellation Brands, Inc., |
|||||||||||
2,900 | 7.250%, 09/01/16 |
2,932 | |||||||||
10,375 | 7.250%, 05/15/17 |
10,453 | |||||||||
6,240 | 8.375%, 12/15/14 |
6,646 | |||||||||
2,990 | Cott
Beverages, Inc., 8.375%, 11/15/17 (e) |
3,042 | |||||||||
27,441 | |||||||||||
Food & Staples Retailing 1.6% |
|||||||||||
8,750 | Golden State Foods Corp., 9.240%, 01/10/12 (e) (f) (i) |
8,750 | |||||||||
19,465 | Ingles Markets, Inc., 8.875%, 05/15/17 (m) |
20,049 | |||||||||
Rite
Aid Corp., |
|||||||||||
23,165 | 7.500%, 03/01/17 (m) |
21,486 | |||||||||
3,800 | 10.250%, 10/15/19 |
4,018 | |||||||||
2,750 | 10.375%, 07/15/16 |
2,881 | |||||||||
5,875 | Stater Brothers Holdings, 7.750%, 04/15/15 |
5,904 | |||||||||
SUPERVALU, Inc., |
|||||||||||
10,850 | 7.500%, 11/15/14 |
10,904 | |||||||||
7,575 | 8.000%, 05/01/16 |
7,632 | |||||||||
12,950 | Tops
Markets LLC, 10.125%, 10/15/15 (e) |
13,371 | |||||||||
94,995 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Food Products 1.6% |
|||||||||||
3,925 | Bumble Bee Foods LLC, 7.750%, 12/15/15 (e) |
3,935 | |||||||||
Chiquita Brands International, Inc., |
|||||||||||
17,022 | 7.500%, 11/01/14 (c) |
16,766 | |||||||||
400 | 8.875%, 12/01/15 |
406 | |||||||||
Dean
Foods Co., |
|||||||||||
500 | 6.900%, 10/15/17 |
465 | |||||||||
2,000 | 7.000%, 06/01/16 |
1,900 | |||||||||
6,300 | Dole
Food Co., Inc., 13.875%, 03/15/14 (e) (m) |
7,513 | |||||||||
Eurofresh, Inc., |
|||||||||||
1,904 | 15.000%, 11/18/16 (f) (i) |
1,904 | |||||||||
635 | 20.000%, 03/31/10 (f) (i) |
635 | |||||||||
13,096 | JBS
USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 (e) |
14,798 | |||||||||
1,320 | Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 9.250%, 04/01/15 (e) |
1,340 | |||||||||
Smithfield Foods, Inc., |
|||||||||||
7,456 | 7.750%, 05/15/13 |
7,269 | |||||||||
16,110 | 7.750%, 07/01/17 |
14,741 | |||||||||
2,430 | 10.000%, 07/15/14 (e) |
2,631 | |||||||||
5,600 | TreeHouse Foods, Inc., 7.750%, 03/01/18 |
5,747 | |||||||||
12,014 | Tyson Foods, Inc., 7.850%, 04/01/16 (m) |
12,705 | |||||||||
92,755 | |||||||||||
Household Products 0.3% |
|||||||||||
4,040 | Central Garden and Pet Co., 8.250%, 03/01/18 |
4,075 | |||||||||
2,548 | Jarden Corp., 7.500%, 01/15/20 |
2,555 | |||||||||
11,974 | Spectrum Brands, Inc., PIK, 12.000%, 08/28/19 |
12,154 | |||||||||
2,160 | Yankee Acquisition Corp., 8.500%, 02/15/15 (c) |
2,160 | |||||||||
20,944 | |||||||||||
Personal Products 0.1% |
|||||||||||
6,240 | Revlon Consumer Products Corp., 9.750%, 11/15/15 (e) |
6,412 | |||||||||
Tobacco 0.3% |
|||||||||||
15,175 | Alliance One International, Inc., 10.000%, 07/15/16 (e) |
15,782 | |||||||||
Total Consumer Staples |
258,329 | ||||||||||
Energy 9.1% |
|||||||||||
Energy Equipment & Services 1.0% |
|||||||||||
18,190 | Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), 10.000%, 01/15/18 (e) |
17,735 | |||||||||
11,695 | Helix Energy Solutions Group, Inc., 9.500%, 01/15/16 (e) (m) |
11,812 | |||||||||
15,018 | Key
Energy Services, Inc., 8.375%, 12/01/14 (m) |
14,868 | |||||||||
624 | Oslo
Seismic Services, Inc., 8.280%, 06/01/11 (f) (i) |
628 | |||||||||
13,271 | PHI,
Inc., 7.125%, 04/15/13 (m) |
12,807 | |||||||||
57,850 | |||||||||||
Oil, Gas & Consumable Fuels 8.1% |
|||||||||||
16,328 | Alon
Refining Krotz Springs, Inc., 13.500%, 10/15/14 |
14,940 | |||||||||
4,250 | AmeriGas Partners LP, 7.250%, 05/20/15 |
4,271 | |||||||||
1,650 | AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 7.125%, 05/20/16 |
1,654 | |||||||||
12,875 | Antero Resources Finance Corp., 9.375%, 12/01/17 (e) |
13,132 | |||||||||
4,900 | Arch
Coal, Inc., 8.750%, 08/01/16 (e) |
5,071 | |||||||||
24,008 | Bill
Barrett Corp., 9.875%, 07/15/16 (m) |
25,418 | |||||||||
Chesapeake Energy Corp., |
|||||||||||
500 | 6.375%, 06/15/15 |
484 | |||||||||
900 | 6.875%, 01/15/16 |
885 | |||||||||
151 | 7.500%, 09/15/13 |
153 | |||||||||
9,350 | 7.500%, 06/15/14 (m) |
9,444 | |||||||||
2,400 | 7.625%, 07/15/13 |
2,502 | |||||||||
10,775 | 9.500%, 02/15/15 |
11,718 | |||||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., |
|||||||||||
11,455 | 8.250%, 12/15/17 (e) |
11,426 | |||||||||
14,045 | 8.500%, 12/15/19 (e) |
14,186 | |||||||||
16,948 | Comstock Resources, Inc., 8.375%, 10/15/17 |
17,287 | |||||||||
2,830 | Copano Energy LLC/Copano Energy Finance Corp., 7.750%, 06/01/18 |
2,766 | |||||||||
2,920 | Denbury Resources, Inc., 8.250%, 02/15/20 |
3,022 | |||||||||
El
Paso Corp., |
|||||||||||
4,305 | 6.875%, 06/15/14 (m) |
4,341 | |||||||||
950 | 7.000%, 06/15/17 |
953 | |||||||||
3,869 | 7.250%, 06/01/18 |
3,894 | |||||||||
1,500 | 7.875%, 06/15/12 |
1,583 | |||||||||
5,150 | 8.250%, 02/15/16 |
5,459 | |||||||||
4,950 | 12.000%, 12/12/13 |
5,754 | |||||||||
4,750 | El
Paso Performance-Linked Trust, 7.750%, 07/15/11 (e) |
4,953 | |||||||||
Encore Acquisition Co., |
|||||||||||
4,938 | 6.000%, 07/15/15 |
4,975 | |||||||||
3,525 | 6.250%, 04/15/14 |
3,551 | |||||||||
6,907 | 7.250%, 12/01/17 |
6,959 | |||||||||
2,000 | 9.500%, 05/01/16 |
2,130 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Oil, Gas & Consumable Fuels Continued |
|||||||||||
151 | Ferrellgas Escrow LLC/Ferrellgas Finance Escrow Corp., 6.750%, 05/01/14 |
147 | |||||||||
Ferrellgas Partners LP, |
|||||||||||
2,400 | 6.750%, 05/01/14 |
2,340 | |||||||||
3,750 | 9.125%, 10/01/17 (e) |
3,919 | |||||||||
6,950 | Forbes Energy Services LLC/Forbes Energy Capital, Inc., 11.000%, 02/15/15 (c) |
6,603 | |||||||||
Forest Oil Corp., |
|||||||||||
26,548 | 7.250%, 06/15/19 (m) |
26,017 | |||||||||
8,165 | 8.500%, 02/15/14 |
8,430 | |||||||||
7,355 | Frontier Oil Corp., 8.500%, 09/15/16 |
7,447 | |||||||||
11,985 | Gibson Energy ULC/GEP Midstream Finance Corp., (Canada), 11.750%, 05/27/14 (e) |
12,944 | |||||||||
7,270 | Holly Corp., 9.875%, 06/15/17 (e) |
7,452 | |||||||||
11,575 | Holly Energy Partners LP, 6.250%, 03/01/15 (m) |
10,881 | |||||||||
Inergy LP/Inergy Finance Corp., |
|||||||||||
2,676 | 6.875%, 12/15/14 |
2,609 | |||||||||
7,300 | 8.250%, 03/01/16 |
7,391 | |||||||||
750 | 8.750%, 03/01/15 |
771 | |||||||||
151 | Kerr-McGee Corp., 6.875%, 09/15/11 |
162 | |||||||||
6,900 | Mariner Energy, Inc., 11.750%, 06/30/16 |
7,694 | |||||||||
Newfield Exploration Co., |
|||||||||||
6,180 | 6.625%, 09/01/14 |
6,273 | |||||||||
8,075 | 6.875%, 02/01/20 |
7,954 | |||||||||
3,675 | 7.125%, 05/15/18 |
3,675 | |||||||||
12,300 | NFR
Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 (e) |
11,931 | |||||||||
500 | Northwest Pipeline Corp., 7.000%, 06/15/16 |
573 | |||||||||
151 | Peabody Energy Corp., 6.875%, 03/15/13 |
153 | |||||||||
12,027 | Penn
Virginia Corp., 10.375%, 06/15/16 (m) |
12,989 | |||||||||
Pioneer Natural Resources Co., |
|||||||||||
2,499 | 5.875%, 07/15/16 |
2,394 | |||||||||
6,635 | 6.650%, 03/15/17 |
6,528 | |||||||||
4,950 | 6.875%, 05/01/18 |
4,869 | |||||||||
10,000 | 7.500%, 01/15/20 |
10,038 | |||||||||
Plains Exploration & Production Co., |
|||||||||||
439 | 7.750%, 06/15/15 |
443 | |||||||||
3,100 | 10.000%, 03/01/16 |
3,371 | |||||||||
7,750 | Quicksilver Resources, Inc., 11.750%, 01/01/16 |
8,796 | |||||||||
Range Resources Corp., |
|||||||||||
1,000 | 6.375%, 03/15/15 |
997 | |||||||||
3,270 | 7.250%, 05/01/18 |
3,303 | |||||||||
19,245 | 7.500%, 05/15/16 (m) |
19,678 | |||||||||
2,000 | 7.500%, 10/01/17 |
2,045 | |||||||||
2,000 | 8.000%, 05/15/19 |
2,095 | |||||||||
11,745 | Sabine Pass LNG LP, 7.250%, 11/30/13 (m) |
10,967 | |||||||||
4,623 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 6.875%, 12/15/13 |
4,669 | |||||||||
Swift Energy Co., |
|||||||||||
11,330 | 7.125%, 06/01/17 |
10,735 | |||||||||
7,050 | 8.875%, 01/15/20 |
7,262 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
|||||||||||
7,585 | 8.250%, 07/01/16 |
7,623 | |||||||||
1,615 | 11.250%, 07/15/17 (e) |
1,793 | |||||||||
Tesoro Corp., |
|||||||||||
4,870 | 6.625%, 11/01/15 |
4,517 | |||||||||
250 | 9.750%, 06/01/19 |
257 | |||||||||
7,425 | W&T Offshore, Inc., 8.250%, 06/15/14 (e) |
6,980 | |||||||||
Western Refining, Inc., |
|||||||||||
6,500 | 11.250%, 06/15/17 (e) |
5,460 | |||||||||
7,425 | VAR,
10.750%, 06/15/14 (e) |
6,237 | |||||||||
Williams Partners LP/Williams Partners Finance Corp., |
|||||||||||
6,130 | 7.250%, 02/01/17 |
7,037 | |||||||||
1,625 | 7.500%, 06/15/11 |
1,733 | |||||||||
471,093 | |||||||||||
Total Energy |
528,943 | ||||||||||
Financials 10.6% |
|||||||||||
Commercial Banks 3.0% |
|||||||||||
1,100 | BankAmerica Capital II, 8.000%, 12/15/26 |
1,056 | |||||||||
3,925 | BankAmerica Institutional Capital B, Class B, 7.700%, 12/31/26 (e) |
3,729 | |||||||||
Barclays Bank plc, (United Kingdom), |
|||||||||||
14,060 | VAR,
5.926%, 12/15/16 (e) (m) (x) |
11,529 | |||||||||
12,850 | VAR,
7.434%, 12/15/17 (e) (m) (x) |
11,886 | |||||||||
32,375 | Capital One Capital V, 10.250%, 08/15/39 (m) |
36,721 | |||||||||
4,300 | Capital One Capital VI, 8.875%, 05/15/40 |
4,562 | |||||||||
12,671 | Countrywide Capital III, 8.050%, 06/15/27 |
12,164 | |||||||||
27,325 | Credit Agricole S.A., (France), VAR, 6.637%, 05/31/17 (e) (m) (x) |
22,680 | |||||||||
1,922 | NB
Capital Trust II, 7.830%, 12/15/26 |
1,807 | |||||||||
4,750 | NB
Capital Trust IV, 8.250%, 04/15/27 |
4,607 | |||||||||
1,000 | Regions Financial Corp., 6.375%, 05/15/12 |
992 | |||||||||
22,109 | Royal Bank of Scotland Group plc, (United Kingdom), 9.118%, 07/01/10 (f) (i) (x) |
21,004 | |||||||||
52,293 | Wachovia Capital Trust III, VAR, 5.800%, 03/15/11 (m) (x) |
42,096 | |||||||||
174,833 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Consumer Finance 3.8% |
|||||||||||
12,624 | ACE
Cash Express, Inc., 10.250%, 10/01/14 (e) (f) (i) |
9,847 | |||||||||
Ford
Motor Credit Co. LLC, |
|||||||||||
151 | 7.000%, 10/01/13 |
149 | |||||||||
6,800 | 7.500%, 08/01/12 (m) |
6,828 | |||||||||
4,993 | 7.800%, 06/01/12 |
5,046 | |||||||||
10,500 | 8.000%, 06/01/14 (m) |
10,567 | |||||||||
40,445 | 8.000%, 12/15/16 (m) |
40,612 | |||||||||
7,500 | 8.125%, 01/15/20 |
7,489 | |||||||||
6,850 | 8.700%, 10/01/14 |
7,026 | |||||||||
4,980 | VAR,
3.001%, 01/13/12 (m) |
4,669 | |||||||||
GMAC, Inc., |
|||||||||||
284 | 6.625%, 05/15/12 |
281 | |||||||||
5,311 | 6.750%, 12/01/14 |
5,072 | |||||||||
8,363 | 7.000%, 02/01/12 (c) |
8,321 | |||||||||
1,985 | 7.500%, 12/31/13 |
1,945 | |||||||||
70,360 | 8.000%, 11/01/31 |
64,907 | |||||||||
3,011 | VAR,
2.452%, 12/01/14 |
2,576 | |||||||||
SLM
Corp., |
|||||||||||
3,200 | 5.000%, 04/15/15 |
2,815 | |||||||||
784 | 5.000%, 06/15/18 |
618 | |||||||||
12,178 | 5.050%, 11/14/14 (m) |
10,861 | |||||||||
1,500 | 5.125%, 08/27/12 |
1,465 | |||||||||
5,925 | 5.375%, 05/15/14 |
5,493 | |||||||||
23,833 | 8.450%, 06/15/18 (m) |
23,313 | |||||||||
2,550 | VAR,
0.549%, 01/27/14 |
2,119 | |||||||||
222,019 | |||||||||||
Diversified Financial Services 0.7% |
|||||||||||
CIT
Group, Inc., |
|||||||||||
16,579 | 7.000%, 05/01/15 |
15,045 | |||||||||
13,800 | 7.000%, 05/01/16 |
12,213 | |||||||||
5,750 | CNG
Holdings, Inc., 12.250%, 02/15/15 (e) |
5,527 | |||||||||
Deluxe Corp., |
|||||||||||
3,902 | 5.125%, 10/01/14 |
3,463 | |||||||||
1,980 | 7.375%, 06/01/15 |
1,921 | |||||||||
924 | iStar Financial, Inc., 8.000%, 03/15/11 (e) |
903 | |||||||||
39,072 | |||||||||||
Insurance 2.9% |
|||||||||||
6,155 | Crum
& Forster Holdings Corp., 7.750%, 05/01/17 |
6,063 | |||||||||
HUB
International Holdings, Inc., |
|||||||||||
2,800 | 9.000%, 12/15/14 (e) |
2,674 | |||||||||
40,825 | 10.250%, 06/15/15 (e) (m) |
37,865 | |||||||||
Liberty Mutual Group, Inc., |
|||||||||||
7,425 | 7.800%, 03/15/37 (e) |
6,349 | |||||||||
74,267 | VAR,
10.750%, 06/15/58 (e) |
80,208 | |||||||||
Nationwide Mutual Insurance Co., |
|||||||||||
3,567 | 8.250%, 12/01/31 (e) |
3,570 | |||||||||
8,250 | 9.375%, 08/15/39 (e) |
9,190 | |||||||||
USI
Holdings Corp., |
|||||||||||
19,424 | 9.750%, 05/15/15 (e) (m) |
17,822 | |||||||||
6,324 | VAR,
4.125%, 11/15/14 (e) (f) (i) |
5,233 | |||||||||
168,974 | |||||||||||
Real Estate Investment Trusts (REITs) 0.2% |
|||||||||||
4,170 | DuPont Fabros Technology LP, 8.500%, 12/15/17 (e) |
4,232 | |||||||||
5,640 | Rouse Co. LP (The), 8.000%, 04/30/09 (d) |
6,176 | |||||||||
10,408 | |||||||||||
Total Financials |
615,306 | ||||||||||
Health Care 4.8% |
|||||||||||
Biotechnology 0.1% |
|||||||||||
1,925 | Bio-Rad Laboratories, Inc., 8.000%, 09/15/16 |
2,012 | |||||||||
4,865 | Talecris Biotherapeutics Holdings Corp., 7.750%, 11/15/16 (e) |
4,889 | |||||||||
6,901 | |||||||||||
Health Care Equipment & Supplies 0.6% |
|||||||||||
4,250 | Accellent, Inc., 8.375%, 02/01/17 (e) |
4,282 | |||||||||
4,050 | Bausch & Lomb, Inc., 9.875%, 11/01/15 |
4,151 | |||||||||
19,425 | Biomet, Inc., 10.000%, 10/15/17 (m) |
21,222 | |||||||||
1,750 | DJO
Finance LLC/DJO Finance Corp. , 10.875%, 11/15/14 (e) |
1,872 | |||||||||
31,527 | |||||||||||
Health Care Providers & Services 3.4% |
|||||||||||
9,346 | CHS/Community Health Systems, Inc., 8.875%, 07/15/15 |
9,673 | |||||||||
5,701 | DaVita, Inc., 6.625%, 03/15/13 |
5,715 | |||||||||
8,669 | FMC
Finance III S.A., (Luxembourg), 6.875%, 07/15/17 |
8,886 | |||||||||
3,200 | Fresenius Medical Care Capital Trust IV, 7.875%, 06/15/11 |
3,336 | |||||||||
HCA,
Inc., |
|||||||||||
3,716 | 5.750%, 03/15/14 |
3,474 | |||||||||
2,550 | 6.300%, 10/01/12 (m) |
2,525 | |||||||||
5,553 | 6.375%, 01/15/15 |
5,220 | |||||||||
1,275 | 6.750%, 07/15/13 |
1,259 | |||||||||
8,556 | 8.500%, 04/15/19 (e) |
9,176 | |||||||||
2,050 | 9.125%, 11/15/14 |
2,155 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Health Care Providers & Services Continued |
|||||||||||
24,025 | 9.250%, 11/15/16 (m) |
25,497 | |||||||||
5,800 | 9.875%, 02/15/17 (e) |
6,264 | |||||||||
9,280 | Health Management Associates, Inc., 6.125%, 04/15/16 |
8,654 | |||||||||
3,150 | IASIS Healthcare LLC/IASIS Capital Corp., 8.750%, 06/15/14 |
3,181 | |||||||||
21,006 | Multiplan, Inc., 10.375%, 04/15/16 (e) (m) |
21,531 | |||||||||
8,751 | National Mentor Holdings, Inc., 11.250%, 07/01/14 |
8,707 | |||||||||
Omnicare, Inc., |
|||||||||||
4,150 | 6.750%, 12/15/13 |
4,093 | |||||||||
8,501 | 6.875%, 12/15/15 |
8,161 | |||||||||
6,382 | TeamHealth, Inc., 11.250%, 12/01/13 |
6,701 | |||||||||
Tenet Healthcare Corp., |
|||||||||||
19,600 | 8.875%, 07/01/19 (e) (m) |
20,678 | |||||||||
425 | 9.000%, 05/01/15 (e) |
445 | |||||||||
425 | 10.000%, 05/01/18 (e) |
468 | |||||||||
30,000 | Vanguard Health Holding Co. II LLC/Vanguard Holding Co II, Inc., 8.000%, 02/01/18 (e) |
29,475 | |||||||||
Ventas Realty LP/Ventas Capital Corp., |
|||||||||||
1,899 | 6.500%, 06/01/16 |
1,894 | |||||||||
3,000 | 6.750%, 04/01/17 |
3,000 | |||||||||
200,168 | |||||||||||
Pharmaceuticals 0.7% |
|||||||||||
4,681 | Catalent Pharma Solutions, Inc., PIK, 10.250%, 04/15/15 |
4,435 | |||||||||
7,919 | Celtic Pharma Phinco B.V., 17.000%, 06/15/12 (f) (i) |
4,752 | |||||||||
Elan
Finance plc/Elan Finance Corp., (Ireland), |
|||||||||||
18,700 | 8.750%, 10/15/16 (e) |
18,139 | |||||||||
10,498 | VAR,
4.250%, 11/15/11 |
10,078 | |||||||||
3,000 | Valeant Pharmaceuticals International, 8.375%, 06/15/16 (e) |
3,105 | |||||||||
40,509 | |||||||||||
Total Health Care |
279,105 | ||||||||||
Industrials 7.6% |
|||||||||||
Aerospace & Defense 0.8% |
|||||||||||
442 | Alliant Techsystems, Inc., 6.750%, 04/01/16 |
436 | |||||||||
5,110 | Colt
Defense LLC/Colt Finance Corp., 8.750%, 11/15/17 (e) |
5,033 | |||||||||
13,869 | DigitalGlobe, Inc., 10.500%, 05/01/14 (e) |
14,909 | |||||||||
4,910 | Esterline Technologies Corp., 6.625%, 03/01/17 |
4,751 | |||||||||
L-3
Communications Corp., |
|||||||||||
5,700 | 5.875%, 01/15/15 |
5,721 | |||||||||
10,211 | 6.375%, 10/15/15 |
10,377 | |||||||||
362 | Moog, Inc., 7.250%, 06/15/18 |
352 | |||||||||
2,930 | Triumph Group, Inc., 8.000%, 11/15/17 (e) |
2,952 | |||||||||
44,531 | |||||||||||
Airlines 1.4% |
|||||||||||
American Airlines Pass-Through Trust 1991, |
|||||||||||
4,237 | 10.180%, 01/02/13 (f) (i) |
3,813 | |||||||||
1,787 | 10.320%, 07/30/14 (e) (f) (i) |
1,537 | |||||||||
2,689 | American Airlines Pass-Through Trust 2001-02, 6.978%, 10/01/12 |
2,676 | |||||||||
American Airlines, Inc., |
|||||||||||
4,200 | 10.500%, 10/15/12 (c) (e) |
4,305 | |||||||||
2,800 | 13.000%, 08/01/16 |
3,122 | |||||||||
1,050 | Continental Airlines, 2001-1 Class A-2 Pass-Through Trust, 6.503%, 06/15/11 |
1,066 | |||||||||
14,587 | Continental Airlines, 2003-ERJ1 Pass-Through Trust, 7.875%, 07/02/18 (c) |
12,983 | |||||||||
1,094 | Continental Airlines, 2004-ERJ1 Pass-Through Trust, 9.558%, 09/01/19 (f) (i) |
1,006 | |||||||||
12,710 | Continental Airlines, 2005-ERJ1 Pass-Through Trust, 9.798%, 04/01/21 (m) |
11,375 | |||||||||
2,700 | Continental Airlines, 2006-1 Class G Pass-Through Trust, VAR, 0.607%, 06/02/15 |
2,214 | |||||||||
3,055 | Continental Airlines, 2006-ERJ1 Pass-Through Trust, 9.318%, 11/01/19 (e) |
2,719 | |||||||||
433 | Continental Airlines, Inc., 7.487%, 04/02/12 |
433 | |||||||||
Delta Air Lines, Inc., |
|||||||||||
1,198 | 6.417%, 01/02/14 (c) |
1,156 | |||||||||
512 | 6.619%, 09/18/12 |
517 | |||||||||
3,978 | 8.021%, 08/10/22 |
3,581 | |||||||||
7,790 | 8.300%, 12/15/29 |
137 | |||||||||
2,372 | 8.954%, 08/10/14 |
2,206 | |||||||||
1,040 | 9.500%, 09/15/14 (e) |
1,058 | |||||||||
2,510 | 10.125%, 05/15/10 |
44 | |||||||||
Northwest Airlines, Inc., |
|||||||||||
17,613 | 7.027%, 11/01/19 |
15,676 | |||||||||
2,646 | 8.028%, 11/01/17 |
2,381 | |||||||||
UAL
Pass-Through Trust, |
|||||||||||
599 | 6.636%, 01/02/24 |
515 | |||||||||
1,048 | 7.336%, 07/02/19 (e) |
807 | |||||||||
1,415 | VAR,
2.680%, 07/02/14 (e) (f) (i) |
990 | |||||||||
4,980 | United Air Lines, Inc., 9.750%, 01/15/17 |
5,192 | |||||||||
81,509 | |||||||||||
Building Products 0.1% |
|||||||||||
1,750 | AMH
Holdings, Inc., SUB, 11.250%, 03/01/14 |
1,733 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Building Products Continued |
|||||||||||
5,265 | Building Materials Corp of America, 7.000%, 02/15/20 (e) |
5,265 | |||||||||
567 | Masco Corp., 5.850%, 03/15/17 |
535 | |||||||||
7,533 | |||||||||||
Commercial Services & Supplies 1.7% |
|||||||||||
Cenveo Corp., |
|||||||||||
2,385 | 7.875%, 12/01/13 |
2,206 | |||||||||
12,275 | 8.875%, 02/01/18 (c) (e) |
12,152 | |||||||||
9,250 | 10.500%, 08/15/16 (e) |
9,204 | |||||||||
15,943 | DI
Finance/DynCorp International, 9.500%, 02/15/13 |
16,063 | |||||||||
Harland Clarke Holdings Corp., |
|||||||||||
16,710 | 9.500%, 05/15/15 |
15,248 | |||||||||
23,161 | VAR,
6.000%, 05/15/15 |
18,413 | |||||||||
Iron
Mountain, Inc., |
|||||||||||
2,938 | 8.000%, 06/15/20 |
2,960 | |||||||||
5,631 | 8.375%, 08/15/21 |
5,779 | |||||||||
3,205 | 8.750%, 07/15/18 |
3,341 | |||||||||
12,200 | Niska Gas Storage US LLC/Niska Gas Storage Canada ULC, 8.875%, 03/15/18 (e) |
12,200 | |||||||||
Quebecor World Capital Corp., (Canada), |
|||||||||||
8,325 | 6.125%, 11/15/13 (f) |
458 | |||||||||
6,815 | 6.500%, 08/01/27 (f) |
375 | |||||||||
3,825 | 9.750%, 01/15/15 (c) (f) |
210 | |||||||||
98,609 | |||||||||||
Construction & Engineering 0.9% |
|||||||||||
27,856 | RSC
Equipment Rental, Inc., 9.500%, 12/01/14 (m) |
26,951 | |||||||||
United Rentals North America, Inc., |
|||||||||||
14,250 | 9.250%, 12/15/19 (m) |
13,894 | |||||||||
9,365 | 10.875%, 06/15/16 |
9,833 | |||||||||
50,678 | |||||||||||
Electrical Equipment 0.2% |
|||||||||||
Belden, Inc., |
|||||||||||
3,300 | 7.000%, 03/15/17 |
3,176 | |||||||||
5,315 | 9.250%, 06/15/19 (e) |
5,634 | |||||||||
1,810 | General Cable Corp., VAR, 2.626%, 04/01/15 |
1,611 | |||||||||
10,421 | |||||||||||
Electronics 0.2% |
|||||||||||
11,937 | Da-Lite Screen Co., Inc., 9.500%, 05/15/11 |
11,877 | |||||||||
Environmental Services 0.1% |
|||||||||||
7,455 | Casella Waste Systems, Inc., 11.000%, 07/15/14 (e) |
8,014 | |||||||||
Industrial Conglomerates 0.6% |
|||||||||||
24,030 | JB
Poindexter & Co., Inc., 8.750%, 03/15/14 (m) |
20,666 | |||||||||
7,862 | Milacron Escrow Corp., 11.500%, 05/15/11 (d) (f) (i) |
| |||||||||
1,870 | Milacron Holdings, Inc., 12.000%, 08/01/14 (f) (i) |
1,870 | |||||||||
11,725 | Trimas Corp., 9.750%, 12/15/17 (e) (m) |
11,783 | |||||||||
34,319 | |||||||||||
Industrial Machinery 0.3% |
|||||||||||
7,286 | Baldor Electric Co., 8.625%, 02/15/17 (m) |
7,468 | |||||||||
RBS
Global, Inc./Rexnord LLC, |
|||||||||||
4,298 | 9.500%, 08/01/14 (e) |
4,352 | |||||||||
8,495 | Severstal Columbus LLC, 10.250%, 02/15/18 (e) |
8,728 | |||||||||
20,548 | |||||||||||
Machinery 0.2% |
|||||||||||
3,500 | Altra Holdings, Inc., 8.125%, 12/01/16 (e) |
3,588 | |||||||||
3,750 | Gardner Denver, Inc., 8.000%, 05/01/13 |
3,769 | |||||||||
3,700 | Hexcel Corp., 6.750%, 02/01/15 |
3,570 | |||||||||
1,325 | SPX
Corp., 7.625%, 12/15/14 |
1,355 | |||||||||
1,050 | Valmont Industries, Inc., 6.875%, 05/01/14 |
1,081 | |||||||||
13,363 | |||||||||||
Marine 0.6% |
|||||||||||
10,741 | Commercial Barge Line Co., 12.500%, 07/15/17 |
11,224 | |||||||||
4,300 | Navios Maritime Holdings, Inc., (Marshall Islands), 9.500%, 12/15/14 |
4,257 | |||||||||
7,520 | Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875%, 11/01/17 (e) |
7,652 | |||||||||
600 | Stena AB, (Sweden), 7.500%, 11/01/13 |
597 | |||||||||
1,540 | Teekay Corp., 8.500%, 01/15/20 |
1,563 | |||||||||
9,860 | Ultrapetrol Bahamas Ltd., (Bahamas), 9.000%, 11/24/14 |
8,973 | |||||||||
34,266 | |||||||||||
Road & Rail 0.5% |
|||||||||||
151 | Hertz Corp. (The), 8.875%, 01/01/14 |
153 | |||||||||
Kansas City Southern de Mexico S.A. de C.V., (Mexico), |
|||||||||||
1,854 | 7.375%, 06/01/14 |
1,845 | |||||||||
1,960 | 7.625%, 12/01/13 |
1,955 | |||||||||
6,245 | 12.500%, 04/01/16 (m) |
7,135 | |||||||||
7,175 | Kansas City Southern Railway, 8.000%, 06/01/15 (m) |
7,354 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Road & Rail Continued |
|||||||||||
Quality Distribution LLC/QD Capital Corp., |
|||||||||||
2,050 | 10.000%, 06/01/13 (e) (f) (i) |
1,876 | |||||||||
2,275 | PIK,
11.750%, 11/01/13 (c) (e) (f) (i) |
1,888 | |||||||||
8,459 | RailAmerica, Inc., 9.250%, 07/01/17 |
8,872 | |||||||||
31,078 | |||||||||||
Transportation Services 0.0% (g) |
|||||||||||
5,600 | IdleAire Technologies Corp., 13.000%, 12/15/12 (d) (f) (i) |
56 | |||||||||
Total Industrials |
446,802 | ||||||||||
Information Technology 3.3% |
|||||||||||
Communications Equipment 0.3% |
|||||||||||
20,775 | Avaya, Inc., 9.750%, 11/01/15 |
19,736 | |||||||||
Computers & Peripherals 0.3% |
|||||||||||
15,725 | Seagate Technology HDD Holdings, (Cayman Islands), 6.800%, 10/01/16 (m) |
15,686 | |||||||||
Electronic Equipment, Instruments & Components 0.7% |
|||||||||||
Flextronics International Ltd., (Singapore), |
|||||||||||
2,867 | 6.250%, 11/15/14 |
2,860 | |||||||||
2,903 | 6.500%, 05/15/13 |
2,968 | |||||||||
4,400 | Intcomex, Inc., 13.250%, 12/15/14 (e) |
4,367 | |||||||||
Sanmina-SCI Corp., |
|||||||||||
5,508 | 6.750%, 03/01/13 (c) |
5,494 | |||||||||
9,630 | 8.125%, 03/01/16 (c) |
9,486 | |||||||||
3,200 | VAR,
3.004%, 06/15/14 (c) (e) |
2,976 | |||||||||
2,219 | Smart Modular Technologies WWH, Inc., (Cayman Islands), VAR, 5.751%, 04/01/12 (f) (i) |
2,133 | |||||||||
9,527 | Viasystems, Inc., 12.000%, 01/15/15 (e) |
10,146 | |||||||||
40,430 | |||||||||||
Internet Software & Services 0.3% |
|||||||||||
9,460 | Equinix, Inc., 8.125%, 03/01/18 |
9,460 | |||||||||
5,130 | Terremark Worldwide, Inc., 12.000%, 06/15/17 (e) |
5,630 | |||||||||
15,090 | |||||||||||
IT
Services 0.6% |
|||||||||||
17,820 | First Data Corp., 9.875%, 09/24/15 |
15,414 | |||||||||
3,785 | Stream Global Services, Inc., 11.250%, 10/01/14 (e) |
3,866 | |||||||||
SunGard Data Systems, Inc., |
|||||||||||
2,950 | 9.125%, 08/15/13 |
3,020 | |||||||||
1,050 | 10.625%, 05/15/15 |
1,134 | |||||||||
Unisys Corp., |
|||||||||||
4,670 | 12.750%, 10/15/14 (e) |
5,394 | |||||||||
4,745 | 14.250%, 09/15/15 (e) |
5,598 | |||||||||
34,426 | |||||||||||
Semiconductors & Semiconductor Equipment 1.1% |
|||||||||||
11,700 | Advanced Micro Devices, Inc., 8.125%, 12/15/17 (e) |
11,846 | |||||||||
Amkor Technology, Inc., |
|||||||||||
16,420 | 7.750%, 05/15/13 (m) |
16,625 | |||||||||
449 | 9.250%, 06/01/16 |
464 | |||||||||
9,240 | Freescale Semiconductor, Inc., 10.125%, 03/15/18 (c) (e) |
9,332 | |||||||||
NXP
BV/NXP Funding LLC, (Netherlands), |
|||||||||||
18,027 | 7.875%, 10/15/14 (e) (m) |
16,675 | |||||||||
55 | VAR,
3.001%, 10/15/13 (e) |
47 | |||||||||
8,858 | VAR,
3.001%, 10/15/13 |
7,507 | |||||||||
STATS ChipPAC Ltd., (Singapore), |
|||||||||||
1,100 | 6.750%, 11/15/11 |
1,096 | |||||||||
600 | 7.500%, 07/19/10 |
605 | |||||||||
64,197 | |||||||||||
Total Information Technology |
189,565 | ||||||||||
Materials 8.5% |
|||||||||||
Chemicals 0.9% |
|||||||||||
3,550 | Ashland, Inc., 9.125%, 06/01/17 (e) |
3,887 | |||||||||
520 | Georgia Gulf Corp., 9.000%, 01/15/17 (c) (e) |
540 | |||||||||
2,320 | Koppers, Inc., 7.875%, 12/01/19 (e) |
2,361 | |||||||||
Nova
Chemicals Corp., (Canada), |
|||||||||||
151 | 6.500%, 01/15/12 |
151 | |||||||||
1,900 | 8.375%, 11/01/16 (e) |
1,876 | |||||||||
24,753 | PolyOne Corp., 8.875%, 05/01/12 (m) |
25,619 | |||||||||
5,730 | Sterling Chemicals, Inc., 10.250%, 04/01/15 |
5,515 | |||||||||
5,000 | Terra Capital, Inc., 7.750%, 11/01/19 (e) |
5,575 | |||||||||
7,706 | Westlake Chemical Corp., 6.625%, 01/15/16 (m) |
7,379 | |||||||||
52,903 | |||||||||||
Construction Materials 0.5% |
|||||||||||
22,560 | Hanson Ltd., (United Kingdom), 6.125%, 08/15/16 |
22,227 | |||||||||
8,367 | U.S.
Concrete, Inc., 8.375%, 04/01/14 |
4,602 | |||||||||
26,829 | |||||||||||
Containers & Packaging 1.8% |
|||||||||||
Ball
Corp., |
|||||||||||
2,028 | 6.875%, 12/15/12 |
2,053 | |||||||||
1,650 | 7.125%, 09/01/16 |
1,712 | |||||||||
1,650 | 7.375%, 09/01/19 |
1,712 | |||||||||
Berry Plastics Corp., |
|||||||||||
5,750 | 8.250%, 11/15/15 (e) |
5,678 | |||||||||
16,425 | 8.875%, 09/15/14 (e) |
15,809 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Containers & Packaging Continued |
|||||||||||
5,450 | Berry Plastics Holding Corp., VAR, 5.001%, 02/15/15 |
5,096 | |||||||||
1,011 | BWAY
Corp., 10.000%, 04/15/14 (e) |
1,041 | |||||||||
12,863 | Constar International, Inc., VAR, 3.625%, 02/15/12 |
10,580 | |||||||||
151 | Crown Americas LLC/Crown Americas Capital Corp., 7.750%, 11/15/15 |
156 | |||||||||
4,275 | Graphic Packaging International, Inc., 9.500%, 06/15/17 |
4,489 | |||||||||
3,800 | Greif, Inc., 7.750%, 08/01/19 |
3,914 | |||||||||
Owens-Brockway Glass Container, Inc., |
|||||||||||
3,253 | 6.750%, 12/01/14 (m) |
3,277 | |||||||||
1,000 | 7.375%, 05/15/16 |
1,033 | |||||||||
3,000 | 8.250%, 05/15/13 (m) |
3,045 | |||||||||
Plastipak Holdings, Inc., |
|||||||||||
10,469 | 8.500%, 12/15/15 (e) |
10,469 | |||||||||
8,500 | 10.625%, 08/15/19 (e) |
9,371 | |||||||||
5,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC, 7.750%, 10/15/16 (e) |
5,063 | |||||||||
15,900 | Solo
Cup Co., 8.500%, 02/15/14 |
15,105 | |||||||||
5,925 | Solo
Cup Co./Solo Cup Operating Corp., 10.500%, 11/01/13 |
6,206 | |||||||||
105,809 | |||||||||||
Diversified Manufacturing 0.1% |
|||||||||||
7,976 | Polypore, Inc., 8.750%, 05/15/12 (m) |
7,956 | |||||||||
Metals & Mining 1.6% |
|||||||||||
3,815 | AK
Steel Corp., 7.750%, 06/15/12 |
3,820 | |||||||||
2,810 | Arch
Western Finance LLC, 6.750%, 07/01/13 |
2,817 | |||||||||
4,376 | California Steel Industries, Inc., 6.125%, 03/15/14 |
4,179 | |||||||||
4,154 | CII
Carbon LLC, 11.125%, 11/15/15 (e) (f) (i) |
4,144 | |||||||||
13,550 | Essar Steele Algoma, Inc., (Canada), 9.375%, 03/15/15 (e) |
13,347 | |||||||||
FMG
Resources August 2006 Pty Ltd., (Australia), |
|||||||||||
7,656 | 10.000%, 09/01/13 (e) |
8,077 | |||||||||
8,350 | 10.625%, 09/01/16 (e) |
9,310 | |||||||||
3,875 | Gibraltar Industries, Inc., 8.000%, 12/01/15 |
3,759 | |||||||||
5,675 | Massey Energy Co., 6.875%, 12/15/13 |
5,633 | |||||||||
9,550 | Murray Energy Corp., 10.250%, 10/15/15 (e) |
9,562 | |||||||||
1,069 | Noranda Aluminum Acquisition Corp., PIK, 5.274%, 05/15/15 |
836 | |||||||||
Novelis, Inc., (Canada), |
|||||||||||
7,244 | 7.250%, 02/15/15 |
6,719 | |||||||||
4,500 | 11.500%, 02/15/15 |
4,781 | |||||||||
Steel Dynamics, Inc., |
|||||||||||
4,475 | 6.750%, 04/01/15 |
4,318 | |||||||||
500 | 7.375%, 11/01/12 |
509 | |||||||||
7,350 | 7.750%, 04/15/16 |
7,313 | |||||||||
United States Steel Corp., |
|||||||||||
3,075 | 6.050%, 06/01/17 |
2,881 | |||||||||
231 | 7.000%, 02/01/18 |
218 | |||||||||
5,688 | Wolverine Tube, Inc., PIK, 15.000%, 03/31/12 (f) (i) |
4,237 | |||||||||
96,460 | |||||||||||
Paper & Forest Products 3.6% |
|||||||||||
Abitibi-Consolidated Co. of Canada, (Canada), |
|||||||||||
2,515 | 6.000%, 06/20/13 (d) |
516 | |||||||||
1,100 | 7.750%, 06/15/11 (d) |
225 | |||||||||
5,175 | 8.375%, 04/01/15 (d) |
1,061 | |||||||||
19,851 | 13.750%, 04/01/11 (d) (e) |
20,397 | |||||||||
Abitibi-Consolidated, Inc., (Canada), |
|||||||||||
680 | 8.550%, 08/01/10 (d) |
143 | |||||||||
1,958 | 8.850%, 08/01/30 (d) |
411 | |||||||||
20,900 | Appleton Papers, Inc., 10.500%, 06/15/15 (e) |
19,332 | |||||||||
4,150 | Bowater Canada Finance Corp., (Canada), 7.950%, 11/15/11 (d) |
1,494 | |||||||||
Cascades, Inc., (Canada), |
|||||||||||
6,710 | 7.750%, 12/15/17 (e) |
6,777 | |||||||||
4,000 | 7.875%, 01/15/20 (e) |
4,040 | |||||||||
Domtar Corp., |
|||||||||||
8,050 | 7.125%, 08/15/15 |
8,070 | |||||||||
191 | 7.875%, 10/15/11 |
202 | |||||||||
5,377 | 10.750%, 06/01/17 |
6,305 | |||||||||
Georgia-Pacific LLC, |
|||||||||||
4,400 | 7.000%, 01/15/15 (e) |
4,460 | |||||||||
8,090 | 7.125%, 01/15/17 (e) |
8,171 | |||||||||
151 | 8.125%, 05/15/11 |
159 | |||||||||
3,800 | 8.250%, 05/01/16 (e) |
4,009 | |||||||||
Glatfelter, |
|||||||||||
6,810 | 7.125%, 05/01/16 (e) |
6,538 | |||||||||
22,791 | Jefferson Smurfit Corp., 8.250%, 10/01/12 (d) |
18,803 | |||||||||
58,632 | NewPage Corp., 11.375%, 12/31/14 |
55,994 | |||||||||
3,970 | PE
Paper Escrow GmbH, (Austria), 12.000%, 08/01/14 (e) |
4,307 | |||||||||
3,200 | Potlatch Corp., 7.500%, 11/01/19 (e) |
3,224 | |||||||||
Smurfit-Stone Container Enterprises, Inc., |
|||||||||||
25,818 | 8.000%, 03/15/17 (d) |
21,235 | |||||||||
14,400 | 8.375%, 07/01/12 (d) |
11,916 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Paper & Forest Products Continued |
|||||||||||
1,050 | Verso Paper Holdings LLC/Verso Paper, Inc., 11.500%, 07/01/14 (c) (e) |
1,102 | |||||||||
208,891 | |||||||||||
Total Materials |
498,848 | ||||||||||
Telecommunication Services 6.9% |
|||||||||||
Diversified Telecommunication Services 3.5% |
|||||||||||
Cincinnati Bell, Inc., |
|||||||||||
37 | 7.000%, 02/15/15 |
36 | |||||||||
7,125 | 8.250%, 10/15/17 |
7,125 | |||||||||
40,895 | Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/15 (e) |
39,975 | |||||||||
Frontier Communications Corp., |
|||||||||||
6,340 | 7.125%, 03/15/19 |
5,928 | |||||||||
775 | 8.250%, 05/01/14 |
796 | |||||||||
2,965 | Global Crossing Ltd., (Bermuda), 12.000%, 09/15/15 (e) |
3,224 | |||||||||
Level 3 Financing, Inc., |
|||||||||||
300 | 8.750%, 02/15/17 |
267 | |||||||||
33,483 | 9.250%, 11/01/14 (m) |
31,725 | |||||||||
12,105 | 10.000%, 02/01/18 (e) |
11,107 | |||||||||
PAETEC Holding Corp., |
|||||||||||
14,015 | 8.875%, 06/30/17 (e) (m) |
14,120 | |||||||||
Qwest Communications International, Inc., |
|||||||||||
17,155 | 7.125%, 04/01/18 (e) (m) |
17,155 | |||||||||
2,500 | 7.500%, 02/15/14 |
2,525 | |||||||||
4,115 | 8.000%, 10/01/15 (e) |
4,259 | |||||||||
Qwest Corp., |
|||||||||||
10,000 | 6.500%, 06/01/17 (m) |
10,063 | |||||||||
1,000 | 7.500%, 10/01/14 (m) |
1,065 | |||||||||
13,125 | 7.625%, 06/15/15 (m) |
14,027 | |||||||||
1,000 | 8.375%, 05/01/16 |
1,095 | |||||||||
2,400 | 8.875%, 03/15/12 |
2,601 | |||||||||
10,500 | Telcordia Technologies, Inc., VAR, 4.001%, 07/15/12 (e) |
9,923 | |||||||||
6,075 | Time
Warner Telecom Holdings, Inc., 9.250%, 02/15/14 (m) |
6,257 | |||||||||
Windstream Corp., |
|||||||||||
500 | 7.000%, 03/15/19 |
459 | |||||||||
8,200 | 7.875%, 11/01/17 |
8,015 | |||||||||
10,025 | 8.125%, 08/01/13 (m) |
10,426 | |||||||||
3,950 | 8.625%, 08/01/16 |
4,019 | |||||||||
206,192 | |||||||||||
Wireless Telecommunication Services 3.4% |
|||||||||||
6,160 | CC
Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17 (e) |
6,668 | |||||||||
Cricket Communications, Inc., |
|||||||||||
4,810 | 7.750%, 05/15/16 |
4,888 | |||||||||
16,820 | 9.375%, 11/01/14 (c) |
16,736 | |||||||||
3,720 | Crown Castle International Corp., 9.000%, 01/15/15 |
4,018 | |||||||||
4,270 | iPCS, Inc., VAR, 2.374%, 05/01/13 |
3,928 | |||||||||
MetroPCS Wireless, Inc., |
|||||||||||
32,570 | 9.250%, 11/01/14 (c) |
32,489 | |||||||||
34,500 | Nextel Communications, Inc., 7.375%, 08/01/15 (m) |
31,826 | |||||||||
NII
Capital Corp., |
|||||||||||
11,810 | 8.875%, 12/15/19 (e) |
12,076 | |||||||||
7,455 | 10.000%, 08/15/16 (e) |
8,088 | |||||||||
Sprint Nextel Corp., |
|||||||||||
67,435 | 6.000%, 12/01/16 (m) |
58,331 | |||||||||
5,425 | 8.375%, 08/15/17 |
5,249 | |||||||||
Wind
Acquisition Finance S.A., (Luxembourg), |
|||||||||||
5,000 | 11.750%, 07/15/17 (e) |
5,350 | |||||||||
7,305 | 12.250%, 07/15/17 (e) |
6,757 | |||||||||
196,404 | |||||||||||
Total Telecommunication Services |
402,596 | ||||||||||
Utilities 3.9% |
|||||||||||
Electric Utilities 0.2% |
|||||||||||
1,200 | Ipalco Enterprises, Inc., 7.250%, 04/01/16 (e) |
1,212 | |||||||||
2,500 | PNM
Resources, Inc., 9.250%, 05/15/15 |
2,663 | |||||||||
8,000 | Public Service Co. of New Mexico, 7.950%, 05/15/18 |
8,419 | |||||||||
12,294 | |||||||||||
Gas
Utilities 0.3% |
|||||||||||
1,627 | Copano Energy LLC/Copano Energy Finance Corp., 8.125%, 03/01/16 |
1,639 | |||||||||
7,050 | Crosstex Energy/Crosstex Energy Finance Corp., 8.875%, 02/15/18 (e) |
7,156 | |||||||||
6,700 | Nisource Finance Corp., 6.800%, 01/15/19 |
7,331 | |||||||||
16,126 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Independent Power Producers & Energy Traders 3.4% |
|||||||||||
8,275 | Calpine Construction Finance Co. LP and CCFC Finance Corp., 8.000%, 06/01/16 (e) |
8,379 | |||||||||
10,011 | Calpine Corp., 7.250%, 10/15/17 (e) |
9,636 | |||||||||
5,075 | Calpine Generating Co. LLC, 4,823.931%, 04/01/11 (d) |
685 | |||||||||
Dynegy Holdings, Inc., |
|||||||||||
2,800 | 6.875%, 04/01/11 |
2,870 | |||||||||
12,200 | 7.125%, 05/15/18 (m) |
9,394 | |||||||||
3,900 | 7.500%, 06/01/15 |
3,393 | |||||||||
151 | 8.375%, 05/01/16 |
132 | |||||||||
3,000 | 8.750%, 02/15/12 |
3,060 | |||||||||
17,370 | Dynegy Roseton/Danskammer Pass-Through Trust, 7.670%, 11/08/16 (m) |
16,762 | |||||||||
Edison Mission Energy, |
|||||||||||
8,625 | 7.000%, 05/15/17 |
6,318 | |||||||||
11,933 | 7.200%, 05/15/19 (m) |
8,383 | |||||||||
151 | 7.500%, 06/15/13 (c) |
140 | |||||||||
13,738 | 7.750%, 06/15/16 (m) |
10,990 | |||||||||
1,005 | FPL
Energy Wind Funding LLC, 6.876%, 06/27/17 (e) |
864 | |||||||||
5,940 | Midwest Generation LLC, 8.560%, 01/02/16 |
6,074 | |||||||||
Mirant Americas Generation LLC, |
|||||||||||
10,775 | 8.300%, 05/01/11 |
10,990 | |||||||||
7,130 | 8.500%, 10/01/21 (c) |
6,667 | |||||||||
9,476 | Mirant North America LLC, 7.375%, 12/31/13 |
9,441 | |||||||||
4,070 | North American Energy Alliance LLC/North American Energy Alliance Finance Corp., 10.875%, 06/01/16 (e) |
4,314 | |||||||||
NRG
Energy, Inc., |
|||||||||||
6,725 | 7.250%, 02/01/14 |
6,775 | |||||||||
8,050 | 7.375%, 02/01/16 |
7,939 | |||||||||
13,325 | 7.375%, 01/15/17 (m) |
13,109 | |||||||||
11,050 | 8.500%, 06/15/19 |
11,036 | |||||||||
2,413 | Ormat Funding Corp., 8.250%, 12/30/20 (m) |
2,099 | |||||||||
RRI
Energy, Inc., |
|||||||||||
14,004 | 6.750%, 12/15/14 (c) |
13,986 | |||||||||
10,780 | 7.625%, 06/15/14 (c) |
10,295 | |||||||||
2,600 | 7.875%, 06/15/17 |
2,431 | |||||||||
13,903 | Texas Competitive Electric Holdings Co. LLC, 10.250%, 11/01/15 (c) |
10,391 | |||||||||
196,553 | |||||||||||
Multi-Utilities 0.0% (g) |
|||||||||||
3,300 | Energy Future Holdings Corp., 10.875%, 11/01/17 |
2,500 | |||||||||
Total Utilities |
227,473 | ||||||||||
Total Corporate Bonds (Cost $4,508,655) |
4,770,565 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Common Stocks 0.6% |
|||||||||||
Consumer Discretionary 0.3% |
|||||||||||
Leisure Equipment & Products 0.1% |
|||||||||||
458 | True
Temper Holdings Corp., Inc. (a) (f) (i) |
3,208 | |||||||||
Media 0.2% |
|||||||||||
261 | Dex
One Corp. (a) |
7,788 | |||||||||
79 | SuperMedia, Inc. (a) |
3,323 | |||||||||
54 | Time
Warner Cable, Inc. (m) |
2,528 | |||||||||
13,639 | |||||||||||
Textiles, Apparel & Luxury Goods 0.0% |
|||||||||||
228 | Broder Brothers Co. (a) (f) (i) |
| |||||||||
66 | WestPoint International, Inc. (a) (f) (i) |
| |||||||||
Total Consumer Discretionary |
16,847 | ||||||||||
Consumer Staples 0.1% |
|||||||||||
Food Products 0.0% (g) |
|||||||||||
585 | Eurofresh, Inc., ADR (a) (f) (i) |
292 | |||||||||
Household Products 0.1% |
|||||||||||
153 | Spectrum Brands, Inc. (a) |
3,588 | |||||||||
Total Consumer Staples |
3,880 | ||||||||||
Industrials 0.1% |
|||||||||||
Airlines 0.0% (g) |
|||||||||||
124 | Delta Air Lines, Inc. (a) |
1,604 | |||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
139 | World Color Press, Inc., (Canada) (a) (c) |
1,556 | |||||||||
Industrial Conglomerates 0.1% |
|||||||||||
5 | Milacron Corp. (a) (f) (i) |
5,510 | |||||||||
Total Industrials |
8,670 | ||||||||||
Information Technology 0.1% |
|||||||||||
IT
Services 0.1% |
|||||||||||
92 | Unisys Corp. (a) |
3,210 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Semiconductors & Semiconductor Equipment 0.0% (g) |
|||||||||||
2,602 | MagnaChip Semiconductor S.A., ADR (a) (f) (i) |
364 | |||||||||
1,884 | MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co., (Luxembourg), ADR (a) (f) (i) |
264 | |||||||||
628 | |||||||||||
Total Information Technology |
3,838 | ||||||||||
Materials 0.0% (g) |
|||||||||||
Containers & Packaging 0.0% (g) |
|||||||||||
174 | Constar International, Inc. (a) |
2,959 | |||||||||
180 | Portola Packaging (a) (f) (i) |
745 | |||||||||
3,704 | |||||||||||
Total Materials |
3,704 | ||||||||||
Telecommunication Services 0.0% (g) |
|||||||||||
Diversified Telecommunication Services 0.0% (g) |
|||||||||||
1 | AboveNet, Inc. (a) |
79 | |||||||||
1 | XO
Holdings, Inc. (a) |
1 | |||||||||
80 | |||||||||||
Total Telecommunication Services |
80 | ||||||||||
Utilities 0.0% (g) |
|||||||||||
Independent Power Producers & Energy Traders 0.0% (g) |
|||||||||||
7 | Mirant Corp. (a) |
86 | |||||||||
Total Common Stocks (Cost $65,068) |
37,105 | ||||||||||
Preferred Stocks 0.4% |
|||||||||||
Consumer Discretionary 0.0% (g) |
|||||||||||
Media 0.0% (g) |
|||||||||||
77 | Spanish Broadcasting System, Inc. (a) (f) (i) |
| (h) | ||||||||
1 | Spanish Broadcasting System, Inc., PIK, 10.750%, (a) (f) (i) (x) |
233 | |||||||||
Total Consumer Discretionary |
233 | ||||||||||
Consumer Staples 0.0% (g) |
|||||||||||
Food Products 0.0% (g) |
|||||||||||
1 | Eurofresh, Inc., ADR (a) (f) (i) |
769 | |||||||||
Financials 0.4% |
|||||||||||
Commercial Banks 0.3% |
|||||||||||
112 | CoBank ACB, 7.000%, 03/30/10 (e) (f) (i) (x) |
4,308 | |||||||||
161 | CoBank ACB, Series Series D, 11.000%, 10/01/14 (x) |
8,718 | |||||||||
13,026 | |||||||||||
Consumer Finance 0.1% |
|||||||||||
150 | Ford
Motor Credit Co. LLC, 7.375%, 10/15/31 |
3,321 | |||||||||
150 | Ford
Motor Credit Co. LLC, 7.600%, 03/01/32 |
3,360 | |||||||||
6,681 | |||||||||||
Total Financials |
19,707 | ||||||||||
Total Preferred Stocks (Cost $27,564) |
20,709 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Loan
Participations & Assignments 14.6% |
|||||||||||
Consumer Discretionary 5.7% |
|||||||||||
Auto Components 0.1% |
|||||||||||
4,425 | Remy, 1st Lien Term Loan, 12/06/13ˆ |
4,159 | |||||||||
1,690 | Remy, 2nd Lien Term loan, 06/06/14ˆ |
1,597 | |||||||||
5,756 | |||||||||||
Automobiles 0.8% |
|||||||||||
Ford
Motor Co., |
|||||||||||
2,795 | 3.240%, 12/15/13 |
2,620 | |||||||||
45,532 | 3.260%, 12/15/13 |
42,676 | |||||||||
45,296 | |||||||||||
Broadcasting & Cable TV 0.1% |
|||||||||||
Sirius Satellite Radio, Term Loan, |
|||||||||||
6,648 | 2.500%, 12/20/12 |
6,343 | |||||||||
17 | 2.500%, 12/20/12 |
16 | |||||||||
6,359 | |||||||||||
Gaming 1.3% |
|||||||||||
CCM
Merger, Inc., Term Loan B, |
|||||||||||
9,773 | 8.500%, 07/13/12 |
9,609 | |||||||||
2,556 | 8.500%, 07/13/12 |
2,513 | |||||||||
1,217 | 8.500%, 07/13/12 |
1,197 | |||||||||
2,464 | Fontainebleau Las Vegas, Delayed Draw Term Loan B, 4.316%, 06/06/14 |
451 | |||||||||
4,929 | Fontainebleau Las Vegas, Initial Term Loan, 4.527%, 06/06/14 |
920 | |||||||||
41,027 | Harrahs Operating Co., Inc., Term B-2 Loan, 3.249%, 01/28/15 |
33,250 | |||||||||
7,000 | HSP
Gaming, LP, Term Loan, 11.250%, 09/23/14 |
6,983 | |||||||||
14,785 | MGM
Mirage, Term Loan, 6.000%, 10/03/11 |
14,194 | |||||||||
Venetian Macau, Delayed Draw Project Term Loan, |
|||||||||||
876 | 4.760%, 05/05/13 |
833 | |||||||||
124 | 4.760%, 05/05/13 |
118 | |||||||||
1,907 | Venetian Macau, Incremental Term Loan, 4.760%, 05/25/13 |
1,813 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Loan Participations & Assignments Continued | ||||||||||
Gaming Continued |
||||||||||
6,757 | Venetian Macau, Term B Funded Project Loan, 4.760%, 05/25/13 |
6,422 | ||||||||
78,303 | ||||||||||
Hotels, Restaurants & Leisure 0.3% |
||||||||||
Outback Steakhouse, Prefunded RC Commitment, |
||||||||||
432 | 0.074%, 06/14/13 |
381 | ||||||||
21 | 2.563%, 06/14/13 |
18 | ||||||||
108 | 2.563%, 06/14/13 |
96 | ||||||||
Outback Steakhouse, Term Loan B, |
||||||||||
8,476 | 2.563%, 06/14/14 |
7,477 | ||||||||
9,175 | Six
Flags Theme Parks, Inc., Term Loan B, 2.480%, 04/30/15 |
9,049 | ||||||||
17,021 | ||||||||||
Media 2.3% |
||||||||||
6,289 | Cengage Learning Acquisitions, Term Loan, 2.750%, 07/15/14 |
5,471 | ||||||||
34,251 | Clear Channel Communications, Inc., Term Loan B, 3.879%, 01/29/16 |
26,789 | ||||||||
Dex
Media West, New Term Loan, |
||||||||||
1,825 | 7.500%, 10/24/14 |
1,738 | ||||||||
748 | 7.500%, 10/24/14 |
713 | ||||||||
1,825 | 7.500%, 10/24/14 |
1,738 | ||||||||
18,536 | Entercom Radio LLC, Term Loan A, 1.354%, 06/30/12 |
16,543 | ||||||||
3,391 | High
Plains Broadcasting Operating Co. LLC, Term Loan, 9.000%, 09/14/16 |
3,007 | ||||||||
35,782 | Idearc, Inc., Exit Term Loan, 11.000%, 12/31/15 |
32,803 | ||||||||
12,875 | Newport Television LLC, Term Loan, 9.000%, 09/14/16 |
11,416 | ||||||||
3,390 | Newsday, Term Loan B, 10.500%, 08/01/13 |
3,623 | ||||||||
10,000 | R.H.
Donnelley, Inc., 10/24/14ˆ |
9,637 | ||||||||
Univision Communications, Inc., 1st Lien Term Loan, |
||||||||||
4,716 | 2.501%, 09/20/14 |
4,058 | ||||||||
22,034 | 2.501%, 09/20/14 |
18,957 | ||||||||
136,493 | ||||||||||
Specialty Retail 0.4% |
||||||||||
General Nutrition Centers, Inc., Term Loan B, |
||||||||||
2,305 | 2.480%, 09/16/13 |
2,188 | ||||||||
592 | 2.480%, 09/16/13 |
562 | ||||||||
3,553 | 2.510%, 09/16/13 |
3,373 | ||||||||
1,184 | 2.510%, 09/16/13 |
1,124 | ||||||||
250 | Gentek, Term Loan B, 5.370%, 10/21/14 |
251 | ||||||||
Michaels Stores, Term B-1 Loan, |
||||||||||
4,203 | 2.500%, 10/31/13 |
3,788 | ||||||||
1,825 | 2.563%, 10/31/13 |
1,644 | ||||||||
Michaels Stores, Term B-2 Loan, |
||||||||||
5,594 | 4.750%, 07/31/16 |
5,328 | ||||||||
63 | 4.750%, 07/31/16 |
60 | ||||||||
2,456 | 4.813%, 07/31/16 |
2,339 | ||||||||
20,657 | ||||||||||
Textiles, Apparel & Luxury Goods 0.4% |
||||||||||
Claires Stores, Term Loan B, |
||||||||||
15,191 | 05/29/14ˆ |
12,600 | ||||||||
2,709 | 3.001%, 05/29/14 |
2,247 | ||||||||
6,096 | 3.001%, 05/29/14 |
5,056 | ||||||||
3,643 | Polymer Group, Inc., Term Loan B, 7.000%, 11/22/14 |
3,640 | ||||||||
23,543 | ||||||||||
Total Consumer Discretionary |
333,428 | |||||||||
Consumer Staples 0.9% |
||||||||||
Food & Staples Retailing 0.1% |
||||||||||
2,227 | Rite
Aid Corp., Term Loan 3, 6.000%, 06/04/14 |
2,120 | ||||||||
Rite
Aid Corp., Tranche 2 Term Loan, |
||||||||||
320 | 1.980%, 06/04/14 |
284 | ||||||||
675 | 1.980%, 06/04/14 |
600 | ||||||||
1,000 | Rite
Aid Corp., Tranche 4 Term Loan, 9.500%, 06/01/15 |
1,039 | ||||||||
4,043 | ||||||||||
Food Products 0.3% |
||||||||||
4,450 | Bolthouse Farms, 1st Lien Term Loan, 5.500%, 02/01/16 |
4,450 | ||||||||
454 | Dole
Food Co., Inc., Letter of Credit, 0.171%, 04/12/13 |
454 | ||||||||
8,000 | Dole
Food Co., Inc., Term Loan, 02/11/11ˆ |
7,998 | ||||||||
Dole
Food Co., Inc., Term Loan B, |
||||||||||
31 | 8.000%, 02/11/17 |
31 | ||||||||
759 | 8.000%, 02/11/17 |
759 | ||||||||
Dole
Food Co., Inc., Term Loan C, |
||||||||||
931 | 8.000%, 02/11/17 |
930 | ||||||||
1,454 | 8.000%, 02/11/17 |
1,454 | ||||||||
178 | 8.000%, 02/11/17 |
178 | ||||||||
16,254 | ||||||||||
Household Products 0.5% |
||||||||||
1,307 | Spectrum Brands, Inc., Letter of Credit, 1.500%, 06/30/12 |
1,303 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Loan Participations & Assignments Continued | ||||||||||
Spectrum Brands, Inc., Term Loan B, |
||||||||||
9,298 | 8.000%, 06/30/12 |
9,267 | ||||||||
8,609 | 8.000%, 06/30/12 |
8,580 | ||||||||
8,609 | 8.000%, 06/30/12 |
8,580 | ||||||||
1,263 | 8.000%, 06/30/12 |
1,259 | ||||||||
49 | 8.750%, 06/30/12 |
49 | ||||||||
29,038 | ||||||||||
Total Consumer Staples |
49,335 | |||||||||
Energy 0.1% |
||||||||||
Energy Equipment & Services 0.0% (g) |
||||||||||
Moreno Group LLC, Delayed Draw Term Loan B, |
||||||||||
222 | 2.978%, 05/10/14 (f) (i) |
173 | ||||||||
319 | 2.979%, 05/10/14 (f) (i) |
249 | ||||||||
Moreno Group LLC, Term Loan B, |
||||||||||
900 | 2.978%, 05/10/14 (f) (i) |
702 | ||||||||
220 | 2.979%, 05/10/14 (f) (i) |
172 | ||||||||
2,001 | 2.979%, 05/10/14 (f) (i) |
1,561 | ||||||||
2,857 | ||||||||||
Oil, Gas & Consumable Fuels 0.1% |
||||||||||
5,000 | Big
West Oil, Term Loan B, 01/22/15ˆ |
5,025 | ||||||||
Total Energy |
7,882 | |||||||||
Financials 1.9% |
||||||||||
Diversified Financial Services 1.3% |
||||||||||
44,552 | Capmark Financial Group, 1st Lien Term Loan, 4.750%, 03/23/13 |
35,374 | ||||||||
Capmark Financial Group, Term Loan, |
||||||||||
7,575 | 03/23/13ˆ |
2,260 | ||||||||
27,680 | 03/23/13ˆ |
8,258 | ||||||||
Checksmart Financial Co., Term Loan B, |
||||||||||
1,436 | 3.000%, 05/01/12 |
897 | ||||||||
2,010 | 3.010%, 05/01/12 (f) (i) |
1,257 | ||||||||
815 | 3.190%, 05/01/12 (f) (i) |
509 | ||||||||
CIT
Group, Inc., Initial Term Loan, |
||||||||||
11,439 | 13.000%, 01/20/12 |
11,793 | ||||||||
878 | 13.000%, 01/20/12 |
905 | ||||||||
878 | 13.000%, 01/20/12 |
905 | ||||||||
439 | 13.000%, 01/20/12 |
453 | ||||||||
439 | 13.000%, 01/20/12 |
452 | ||||||||
439 | 13.000%, 01/20/12 |
452 | ||||||||
CIT
Group, Inc., New Term Loan, |
||||||||||
2,925 | 13.000%, 01/20/12 |
3,015 | ||||||||
2,925 | 13.000%, 01/20/12 |
3,015 | ||||||||
2,925 | 13.000%, 01/20/12 |
3,015 | ||||||||
2,925 | 13.000%, 01/20/12 |
3,015 | ||||||||
2,925 | 13.000%, 01/20/12 |
3,015 | ||||||||
78,590 | ||||||||||
Insurance 0.0% (g) |
||||||||||
963 | HMSC
Corp., 1st Lien Term Loan, 2.499%, 04/03/14 |
813 | ||||||||
998 | USI
Holdings, Term Loan, 7.000%, 05/04/14 |
967 | ||||||||
1,780 | ||||||||||
Real Estate Investment Trusts (REITs) 0.6% |
||||||||||
26,900 | General Growth Properties, Inc., 02/24/10 (d) |
27,297 | ||||||||
5,000 | General Growth Properties, Term Loan A, 02/24/10 (d) |
5,074 | ||||||||
32,371 | ||||||||||
Total Financials |
112,741 | |||||||||
Health Care 0.1% |
||||||||||
Health Care Equipment & Supplies 0.0% (g) |
||||||||||
Carestream Health, Inc., 1st Lien Term Loan, |
||||||||||
985 | 2.229%, 04/30/13 |
929 | ||||||||
14 | 2.229%, 04/30/13 |
13 | ||||||||
942 | ||||||||||
Health Care Providers & Services 0.1% |
||||||||||
| (h) | Community Health Systems, Inc., Term Loan, 2.502%, 07/25/14 |
| (h) | ||||||
Vanguard Health Systems, Term Loan B, |
||||||||||
638 | 5.000%, 01/15/16 |
638 | ||||||||
1,012 | 5.000%, 01/15/16 |
1,013 | ||||||||
1,651 | ||||||||||
Total Health Care |
2,593 | |||||||||
Industrials 0.8% |
||||||||||
Airlines 0.1% |
||||||||||
998 | Delta Air Lines, Inc., Senior Secured Term Loan, 8.750%, 09/30/13 |
1,004 | ||||||||
Delta Airlines, Inc., 1st Lien Term Loan, |
||||||||||
191 | 0.094%, 04/30/12 |
177 | ||||||||
78 | 2.249%, 04/30/12 |
73 | ||||||||
4,827 | 2.251%, 04/30/12 |
4,496 | ||||||||
5,750 | ||||||||||
Building Products 0.1% |
||||||||||
313 | Jacuzzi Brands, Inc., 1st Lien Letter of Credit, 0.151%, 02/07/14 (f) (i) |
242 | ||||||||
6,470 | Jacuzzi Brands, Inc., 1st Lien Term Loan B, 2.499%, 02/07/14 (f) (i) |
5,001 | ||||||||
5,243 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Loan Participations & Assignments Continued | ||||||||||
Commercial Services & Supplies 0.6% |
||||||||||
Clarke American Corp., Term Loan B, |
||||||||||
5,579 | 2.729%, 06/27/14 |
4,879 | ||||||||
11,930 | 2.751%, 06/27/14 |
10,434 | ||||||||
8,918 | 2.751%, 06/27/14 |
7,799 | ||||||||
3,546 | 2.751%, 06/27/14 |
3,102 | ||||||||
Quebecor World, Inc., Exit Term Loan, |
||||||||||
4,189 | 9.000%, 07/10/12 |
4,224 | ||||||||
1,541 | 9.000%, 07/10/12 |
1,554 | ||||||||
31,992 | ||||||||||
Construction & Engineering 0.0% (g) |
||||||||||
1,704 | Rental Service Corp., 2nd Lien Term Loan, 3.760%, 11/30/13 |
1,595 | ||||||||
Industrial Machinery 0.0% (g) |
||||||||||
1,368 | Rexnord Corp., Incremental Term Loan, 2.500%, 07/19/13 |
1,263 | ||||||||
Total Industrials |
45,843 | |||||||||
Information Technology 1.2% |
||||||||||
Communications Equipment 0.2% |
||||||||||
14,300 | Avaya, Inc., Term Loan B, 3.002%, 10/26/14 |
12,489 | ||||||||
Computers & Peripherals 0.1% |
||||||||||
2,895 | Stratus Technologies, Inc., 1st Lien Term Loan, 4.010%, 03/29/11 (f) (i) |
2,620 | ||||||||
4,076 | Stratus Technologies, Inc., 2nd Lien Term Loan, 10.010%, 03/29/12 (f) (i) |
2,065 | ||||||||
4,685 | ||||||||||
Electronic Equipment, Instruments & Components 0.0% (g) |
||||||||||
1,335 | Isola Group S.A.R.L., 1st Lien Term Loan, 11.000%, 12/18/12 (f) (i) |
1,028 | ||||||||
750 | Isola Group S.A.R.L., 2nd Lien Term Loan, 17.750%, 12/18/13 (f) (i) |
225 | ||||||||
1,253 | ||||||||||
IT
Services 0.5% |
||||||||||
1,352 | CompuCom Systems, Term Loan, 3.730%, 08/23/14 (f) (i) |
1,277 | ||||||||
First Data Corp., Initial Tranche B-1 Term Loan, |
||||||||||
2,524 | 2.979%, 09/24/14 |
2,208 | ||||||||
77 | 2.999%, 09/24/14 |
67 | ||||||||
137 | 3.001%, 09/24/14 |
120 | ||||||||
First Data Corp., Initial Tranche B-3 Term Loan, |
||||||||||
24,342 | 2.999%, 09/24/14 |
21,299 | ||||||||
1,280 | 3.001%, 09/24/14 |
1,114 | ||||||||
Transaction Network Services, Initial Term Loan, |
||||||||||
3,791 | 6.000%, 12/01/15 |
3,794 | ||||||||
406 | 6.000%, 12/01/15 |
406 | ||||||||
30,285 | ||||||||||
Semiconductors & Semiconductor Equipment 0.4% |
||||||||||
7,500 | Ati
Acquisition Co., Term Loan B, 8.250%, 12/31/14 |
7,200 | ||||||||
12,665 | Freescale Semiconductor, Inc., Incremental Term Loan, 12.500%, 12/15/14 |
13,035 | ||||||||
3,878 | Freescale Semiconductor, Inc., Term Loan, 1.979%, 12/01/16 |
3,558 | ||||||||
23,793 | ||||||||||
Total Information Technology |
72,505 | |||||||||
Materials 2.3% |
||||||||||
Chemicals 1.6% |
||||||||||
7,222 | Cristal Inorganic Chemicals, 1st Lien Term Loan, 2.501%, 05/15/14 (f) (i) |
6,716 | ||||||||
4,500 | Cristal Inorganic Chemicals, 2nd Lien Term Loan, 6.001%, 05/15/14 (f) (i) |
3,960 | ||||||||
1,813 | Lyondell Chemical Co., Dutch Tranche A Dollar Term Loan, 3.729%, 12/20/13 |
1,268 | ||||||||
801 | Lyondell Chemical Co., Dutch Tranche Revolving Credit Loan, 3.729%, 12/20/13 |
560 | ||||||||
2,299 | Lyondell Chemical Co., German Tranche B-1 Euro Term Loan, 3.979%, 12/22/14 |
1,609 | ||||||||
2,299 | Lyondell Chemical Co., German Tranche B-2 Euro Term Loan, 3.979%, 12/22/14 |
1,609 | ||||||||
2,299 | Lyondell Chemical Co., German Tranche B-3 Euro Term Loan, 3.979%, 12/22/14 |
1,609 | ||||||||
Lyondell Chemical Co., Roll-Up DIP Term Loan, |
||||||||||
10,918 | 5.792%, 04/06/10 |
11,461 | ||||||||
11,494 | 6.560%, 04/06/10 |
12,066 | ||||||||
5,722 | Lyondell Chemical Co., U.S. Tranche A Dollar Term Loan, 3.729%, 12/20/13 |
4,004 | ||||||||
9,978 | Lyondell Chemical Co., U.S. Tranche B-1 Dollar Term Loan, 7.000%, 12/20/14 |
6,982 | ||||||||
9,978 | Lyondell Chemical Co., U.S. Tranche B-2 Dollar Term Loan, 7.000%, 12/20/14 |
6,982 | ||||||||
35,567 | Lyondell Chemical Co., U.S. Tranche B-3 Dollar Term Loan, 7.000%, 12/20/14 |
24,887 | ||||||||
3,003 | Lyondell Chemical Co., U.S. Tranche Primary Revolving Credit Loan, 3.729%, 12/20/13 |
2,102 | ||||||||
5,879 | Momentive Performance Materials, Inc., Tranche B-1 Term Loan, 2.500%, 12/04/13 |
5,391 | ||||||||
Texas PetroChemicals LP, Incremental Term Loan, |
||||||||||
393 | 2.813%, 06/27/13 |
363 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Loan Participations & Assignments Continued | ||||||||||
Chemicals Continued |
||||||||||
94 | 2.813%, 06/27/13 |
87 | ||||||||
1 | 2.813%, 06/27/13 |
1 | ||||||||
Texas PetroChemicals LP, Term Loan B, |
||||||||||
1,429 | 2.813%, 06/27/13 |
1,322 | ||||||||
14 | 2.813%, 06/27/13 |
13 | ||||||||
4 | 2.813%, 06/27/13 |
3 | ||||||||
92,995 | ||||||||||
Containers & Packaging 0.1% |
||||||||||
1,489 | Berry Plastics Holding, Term Loan C, 2.254%, 04/03/14 |
1,330 | ||||||||
Reynolds Group Holdings, Term Loan, |
||||||||||
930 | 6.250%, 11/05/15 |
935 | ||||||||
4,520 | 6.250%, 11/05/15 |
4,545 | ||||||||
6,810 | ||||||||||
Diversified Manufacturing 0.1% |
||||||||||
10,971 | BOC
Edwards, 1st Priority Lien Term Loan, 2.252%, 05/31/14 |
8,736 | ||||||||
Paper & Forest Products 0.5% |
||||||||||
27,543 | Abitibi, Inc., Term Loan, 11.000%, 03/31/11 |
26,992 | ||||||||
Total Materials |
135,533 | |||||||||
Telecommunication Services 0.4% |
||||||||||
Diversified Telecommunication Services 0.4% |
||||||||||
Level 3 Communications, Tranche A Term Loan, |
||||||||||
5,943 | 2.501%, 03/13/14 |
5,367 | ||||||||
14,857 | 2.501%, 03/13/14 |
13,418 | ||||||||
1,000 | Level 3 Communications, Tranche B Term Loan, 11.500%, 03/13/14 |
1,081 | ||||||||
3,278 | Time
Warner Telecom, Term Loan B, 1.980%, 01/07/13 |
3,199 | ||||||||
23,065 | ||||||||||
Wireless Telecommunication Services 0.0% (g) |
||||||||||
| (h) | MetroPCS Wireless, Inc., Term Loan B, 2.500%, 11/03/13 |
| (h) | ||||||
Total Telecommunication Services |
23,065 | |||||||||
Utilities 1.2% |
||||||||||
Independent Power Producers & Energy Traders 1.2% |
||||||||||
29,796 | Calpine Corp., 1st Priority Lien, Term Loan, 3.135%, 03/29/14 |
27,989 | ||||||||
3,520 | NRG
Energy, Inc. (Opco), Credit-Linked Deposit LC, 0.151%, 02/01/13 |
3,397 | ||||||||
NRG
Energy, Inc. (Opco), Term Loan B, |
||||||||||
632 | 1.968%, 02/01/13 |
609 | ||||||||
647 | 1.979%, 02/01/13 |
624 | ||||||||
4,706 | 2.001%, 02/01/13 |
4,541 | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-1 Term Loan, |
||||||||||
972 | 3.728%, 10/10/14 |
782 | ||||||||
10 | 3.751%, 10/10/14 |
8 | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-2 Term Loan, |
||||||||||
1,937 | 3.728%, 10/10/14 |
1,561 | ||||||||
20 | 3.751%, 10/10/14 |
16 | ||||||||
Texas Competitive Electric Holdings Co. LLC, Initial Tranche B-3 Term Loan, |
||||||||||
28,224 | 3.728%, 10/10/14 |
22,745 | ||||||||
221 | 3.751%, 10/10/14 |
178 | ||||||||
TPF
Generation Holdings LLC, 2nd Lien Term Loan, |
||||||||||
4,333 | 4.479%, 12/15/14 |
3,792 | ||||||||
1,167 | 4.501%, 12/15/14 |
1,021 | ||||||||
Total Utilities |
67,263 | |||||||||
Total Loan Participations & Assignments (Cost $808,539) |
850,188 |
NUMBER OF RIGHTS |
|
|
|||||||||
Rights 0.0% (g) |
|||||||||||
Consumer Discretionary 0.0% |
|||||||||||
Textiles, Apparel & Luxury Goods 0.0% |
|||||||||||
59 | WestPoint International, Inc., expiring 06/08/18 (a) (f) (i) (Cost $) |
|
NUMBER OF WARRANTS |
|
|
|||||||||
Warrant 0.0% (g) |
|||||||||||
Industrials 0.0% (g) |
|||||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
World Color Press, Inc., |
|||||||||||
79 | expiring 7/20/2014 (Strike Price $13.00) (a) (c) |
430 | |||||||||
79 | expiring 7/20/2014 (Strike Price $16.30) (a) (c) |
510 | |||||||||
940 | |||||||||||
Road & Rail 0.0% (g) |
|||||||||||
49 | Quality Distribution, Inc. , expiring 11/01/13 (Strike Price $) (a) |
203 |
NUMBER OF WARRANTS |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Warrant (Continued) |
|||||||||||
Transportation Services 0.0% |
|||||||||||
6 | IdleAire Technologies Corp. , expiring 12/15/15 (Strike Price $1.00) (a) (f) (i) |
| |||||||||
Total Industrials |
1,143 | ||||||||||
Telecommunication Services 0.0% (g) |
|||||||||||
Diversified Telecommunication Services 0.0% (g) |
|||||||||||
| (h) | AboveNet, Inc., Class W , expiring 09/08/10 (Strike Price $24.00) (a) (f) (i) |
11 | ||||||||
Total Warrants (Cost 6,147) |
1,154 |
SHARES |
|
|
|||||||||
Short-Term Investment 5.3% |
|||||||||||
Investment Company 5.3% |
|||||||||||
311,461 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $311,461) |
311,461 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Investments of Cash Collateral for Securities on Loan 3.7% |
|||||||||||
Asset-Backed Securities 0.1% |
|||||||||||
782 | GSAA
Trust, Series 2005-15, Class 2A1, VAR, 0.319%, 03/30/10 |
708 | |||||||||
1,175 | GSAA
Trust, Series 2006-3, Class A1, VAR, 0.309%, 03/30/10 |
842 | |||||||||
1,550 | |||||||||||
Corporate Notes 0.2% |
|||||||||||
11,000 | Monumental Global Funding III, VAR, 0.312%, 05/24/10 (e) |
10,943 | |||||||||
2,000 | Monumental Global Funding III, VAR, 0.395%, 03/26/10 (e) |
1,996 | |||||||||
12,939 | |||||||||||
SHARES |
|||||||||||
Investment Company 3.4% |
|||||||||||
197,822 | JPMorgan Prime Money Market Fund, Capital Shares, 0.090% (b) (l) |
197,822 | |||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $212,778) |
212,311 | ||||||||||
Total Investments 106.4% (Cost $5,948,026) |
6,210,409 | ||||||||||
Liabilities in Excess of Other Assets (6.4)% |
(372,355 | ) | |||||||||
NET ASSETS 100.0% |
$ | 5,838,054 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 12.3% |
|||||||||||
3,423 | Accredited Mortgage Loan Trust, Series 2003-3, Class A1, SUB, 4.460%, 01/25/34 |
2,669 | |||||||||
2,326 | Ameriquest Mortgage Securities, Inc., Series 2003-7, Class M1, VAR, 1.504%, 08/25/33 |
2,035 | |||||||||
Amortizing Residential Collateral Trust, |
|||||||||||
91 | Series 2002-BC4, Class A, VAR, 0.809%, 07/25/32 |
71 | |||||||||
1,958 | Series 2002-BC6, Class M1, VAR, 1.354%, 08/25/32 |
1,185 | |||||||||
4,855 | Series 2002-BC9, Class M1, VAR, 1.879%, 12/25/32 |
3,302 | |||||||||
Amresco Residential Securities Mortgage Loan Trust, |
|||||||||||
363 | Series 1997-2, Class M1A, VAR, 0.784%, 06/25/27 |
330 | |||||||||
1,601 | Series 1998-1, Class M1A, VAR, 0.874%, 01/25/28 |
1,204 | |||||||||
1,778 | Series 1998-3, Class M1A, VAR, 0.859%, 09/25/28 |
1,300 | |||||||||
2,207 | Asset Backed Securities Corp. Home Equity, Series 2003-HE7, Class M2, VAR, 1.982%, 12/15/33 |
1,743 | |||||||||
Bear Stearns Asset Backed Securities Trust, |
|||||||||||
3,374 | Series 2003-SD1, Class A, VAR, 0.679%, 12/25/33 |
2,839 | |||||||||
9,348 | Series
2005-CL1, Class M1, VAR, 0.859%, 09/25/34 (f) |
187 | |||||||||
2,860 | Series 2005-HE1, Class M2, VAR, 1.059%, 01/25/35 |
1,449 | |||||||||
454 | Centex Home Equity, Series 2002-A, Class MV1, VAR, 1.079%, 01/25/32 |
259 | |||||||||
Countrywide Asset-Backed Certificates, |
|||||||||||
231 | Series 2002-1, Class A, VAR, 0.789%, 08/25/32 |
140 | |||||||||
217 | Series 2002-BC1, Class A, VAR, 0.889%, 04/25/32 |
122 | |||||||||
266 | Series 2002-BC2, Class A, VAR, 0.769%, 04/25/32 |
130 | |||||||||
61 | Series 2003-BC2, Class 2A1, VAR, 0.829%, 06/25/33 |
46 | |||||||||
2,131 | Series 2003-BC5, Class M1, VAR, 1.279%, 09/25/33 |
877 | |||||||||
634 | Series 2004-2, Class M4, VAR, 1.229%, 03/25/34 |
305 | |||||||||
838 | Series 2004-S1, Class M2, SUB, 5.084%, 02/25/35 |
538 | |||||||||
Countrywide Home Equity Loan Trust, |
|||||||||||
2,148 | Series 2004-A, Class A, VAR, 0.452%, 04/15/30 |
1,199 | |||||||||
1,303 | Series 2005-E, Class 2A, VAR, 0.452%, 11/15/35 |
632 | |||||||||
5,709 | Series 2005-M, Class A1, VAR, 0.472%, 02/15/36 |
2,666 | |||||||||
2,369 | Series 2006-A, Class M2, VAR, 0.652%, 04/15/32 |
2 | |||||||||
First Franklin Mortgage Loan Asset Backed Certificates, |
|||||||||||
286 | Series 2002-FF1, Class M1, VAR, 1.279%, 04/25/32 |
95 | |||||||||
1,661 | Series 2002-FF4, Class M1, VAR, 1.804%, 02/25/33 |
436 | |||||||||
730 | Series 2003-FFH1, Class M2, VAR, 2.854%, 09/25/33 |
57 | |||||||||
703 | Series 2004-FF8, Class M4, VAR, 1.299%, 10/25/34 |
77 | |||||||||
1,642 | Ford Credit Auto Owner Trust, Series 2006-C, Class A4A, 5.150%, 02/15/12 |
1,684 | |||||||||
3,580 | Fremont Home Loan Trust, Series 2005-C, Class M2, VAR, 0.719%, 07/25/35 |
2,216 | |||||||||
775 | Greenpoint Mortgage Funding Trust, Series 2005-HE3, Class A, VAR, 0.412%, 09/15/30 |
346 | |||||||||
1,736 | Household Automotive Trust, Series 2006-1, Class A4, 5.520%, 03/18/13 |
1,778 | |||||||||
501 | Irwin Home Equity Corp., Series 2004-1, Class 1A1, VAR, 0.549%, 12/25/24 |
242 | |||||||||
146 | Lehman Home Equity Loan Trust, Series 1998-1, Class A1, 7.000%, 05/25/28 |
143 | |||||||||
Morgan Stanley ABS Capital I, |
|||||||||||
2,798 | Series 2003-NC6, Class M1, VAR, 1.429%, 06/25/33 |
2,120 | |||||||||
7,500 | Series
2005-WMC4, Class M5, VAR, 0.879%, 04/25/35 (f) |
900 | |||||||||
349 | New Century Home Equity Loan Trust, Series 2003-5, Class AII, VAR, 0.629%, 11/25/33 |
193 | |||||||||
1,567 | Option One Mortgage Loan Trust, Series 2002-4, Class M1, VAR, 1.129%, 07/25/32 |
1,294 | |||||||||
551 | Residential Asset Mortgage Products, Inc., Series 2003-RS2, Class AII, VAR, 0.909%, 03/25/33 |
348 | |||||||||
Residential Asset Securities Corp., |
|||||||||||
687 | Series 2003-KS4, Class MI2, SUB, 5.010%, 06/25/33 |
209 | |||||||||
656 | Series 2005-EMX4, Class A2, VAR, 0.489%, 11/25/35 |
607 | |||||||||
Residential Funding Mortgage Securities II, Inc., |
|||||||||||
1,009 | Series 2001-HI2, Class AI7, SUB, 6.940%, 04/25/26 |
767 | |||||||||
974 | Series 2001-HI4, Class A7, SUB, 6.740%, 10/25/26 |
664 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Asset-Backed Securities Continued |
|||||||||||
254 | Series 2003-HS1, Class AII, VAR, 0.519%, 12/25/32 |
146 | |||||||||
168 | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3, VAR, 0.929%, 04/25/33 |
138 | |||||||||
209 | Structured Asset Securities Corp., Series 2002-HF1, Class A, VAR, 0.519%, 01/25/33 |
166 | |||||||||
331 | Wachovia Asset Securitization, Inc., Series 2002-HE1, Class A, VAR, 0.599%, 09/27/32 |
237 | |||||||||
Total Asset-Backed Securities (Cost $79,235) |
40,093 | ||||||||||
Collateralized Mortgage Obligations 48.1% |
|||||||||||
Agency CMO 20.5% |
|||||||||||
1,313 | Federal Home Loan Mortgage Corp. Government National Mortgage Association, Series 1, Class S, IF, IO, 8.711%,
10/25/22 |
215 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
39 | Series 1071, Class F, VAR, 1.200%, 04/15/21 |
39 | |||||||||
48 | Series 1343, Class LA, 8.000%, 08/15/22 |
53 | |||||||||
39 | Series 1370, Class JA, VAR, 1.400%, 09/15/22 |
39 | |||||||||
34 | Series 1379, Class W, VAR, 3.610%, 10/15/22 |
34 | |||||||||
9 | Series 1508, Class KA, VAR, 2.428%, 05/15/23 |
9 | |||||||||
40 | Series 1607, Class SA, IF, 18.187%, 10/15/13 |
46 | |||||||||
624 | Series 1689, Class M, PO, 03/15/24 |
541 | |||||||||
271 | Series 1771, Class PK, 8.000%, 02/15/25 |
271 | |||||||||
487 | Series 1974, Class ZA, 7.000%, 07/15/27 |
531 | |||||||||
85 | Series 1981, Class Z, 6.000%, 05/15/27 |
91 | |||||||||
5 | Series 2006, Class I, IO, 8.000%, 10/15/12 |
| (h) | ||||||||
344 | Series 2033, Class PR, PO, 03/15/24 |
297 | |||||||||
53 | Series 2261, Class ZY, 7.500%, 10/15/30 |
54 | |||||||||
24 | Series 2289, Class NA, VAR, 11.876%, 05/15/20 |
28 | |||||||||
188 | Series 2338, Class FN, VAR, 0.731%, 08/15/28 |
188 | |||||||||
364 | Series 2416, Class SA, IF, 15.149%, 02/15/32 |
437 | |||||||||
231 | Series 2416, Class SH, IF, 15.536%, 02/17/32 |
259 | |||||||||
91 | Series 2477, Class FZ, VAR, 0.781%, 06/15/31 |
91 | |||||||||
2,051 | Series 2628, Class IP, IO, 4.500%, 10/15/16 |
26 | |||||||||
5,782 | Series 2649, Class FK, VAR, 0.781%, 07/15/33 |
5,585 | |||||||||
1,948 | Series 2661, Class FG, VAR, 0.681%, 03/15/17 |
1,934 | |||||||||
2,106 | Series 3085, Class VS, HB, IF, 27.797%, 12/15/35 |
2,966 | |||||||||
4,842 | Series 3300, Class FA, VAR, 0.531%, 08/15/35 |
4,793 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|||||||||||
118 | Series T-51, Class 1APO, PO, 09/25/42 |
96 | |||||||||
1,727 | Series T-54, Class 4A, VAR, 4.695%, 02/25/43 |
1,693 | |||||||||
Federal National Mortgage Association Grantor Trust, |
|||||||||||
993 | Series 2001-T8, Class A1, 7.500%, 07/25/41 |
1,122 | |||||||||
2,344 | Series 2002-T6, Class A4, VAR, 4.567%, 03/25/41 |
2,411 | |||||||||
Federal National Mortgage Association Interest STRIPS, |
|||||||||||
3,546 | Series 343, Class 23, IO, 4.000%, 10/01/18 |
310 | |||||||||
5,211 | Series 343, Class 27, IO, 4.500%, 01/01/19 |
485 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
50 | Series 1988-15, Class B, VAR, 0.800%, 06/25/18 |
50 | |||||||||
6 | Series 1989-77, Class J, 8.750%, 11/25/19 |
7 | |||||||||
2 | Series 1989-89, Class H, 9.000%, 11/25/19 |
2 | |||||||||
139 | Series 1990-64, Class Z, 10.000%, 06/25/20 |
154 | |||||||||
327 | Series
1990-145, Class A, VAR, 1.831%, 12/25/20 (m) |
330 | |||||||||
165 | Series 1991-142, Class PL, 8.000%, 10/25/21 |
183 | |||||||||
201 | Series 1991-156, Class F, VAR, 1.550%, 11/25/21 |
201 | |||||||||
1 | Series 1992-91, Class SQ, IF, HB, 9,260.000%, 05/25/22 |
141 | |||||||||
434 | Series 1992-112, Class GB, 7.000%, 07/25/22 |
484 | |||||||||
10 | Series 1992-154, Class SA, IF, IO, 5.400%, 08/25/22 |
1 | |||||||||
173 | Series 1992-200, Class FK, VAR, 3.128%, 11/25/22 |
173 | |||||||||
186 | Series 1993-27, Class S, IF, 9.376%, 02/25/23 |
199 | |||||||||
369 | Series 1993-110, Class H, 6.500%, 05/25/23 |
394 | |||||||||
44 | Series 1993-119, Class H, 6.500%, 07/25/23 |
48 | |||||||||
364 | Series 1993-146, Class E, PO, 05/25/23 |
320 | |||||||||
167 | Series 1993-165, Class FH, VAR, 1.400%, 09/25/23 |
168 | |||||||||
810 | Series 1993-179, Class FM, VAR, 3.078%, 10/25/23 |
818 | |||||||||
92 | Series 1997-74, Class E, 7.500%, 10/20/27 |
100 | |||||||||
1,807 | Series 2001-9, Class F, VAR, 0.482%, 02/17/31 |
1,797 | |||||||||
590 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
104 | |||||||||
2,811 | Series 2002-77, Class FY, VAR, 0.629%, 12/25/17 |
2,786 | |||||||||
4,525 | Series 2003-17, Class FN, VAR, 0.529%, 03/25/18 |
4,471 | |||||||||
215 | Series 2003-21, Class FK, VAR, 0.629%, 03/25/33 |
214 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
5,367 | Series 2003-34, Class BS, IF, IO, 7.421%, 05/25/22 |
409 | |||||||||
1,119 | Series 2003-60, Class SA, IF, IO, 7.421%, 07/25/21 |
61 | |||||||||
2,123 | Series 2003-60, Class SB, IF, IO, 7.421%, 07/25/21 |
117 | |||||||||
342 | Series 2003-72, Class JF, VAR, 0.629%, 08/25/33 |
340 | |||||||||
3,019 | Series 2004-17, Class BF, VAR, 0.579%, 01/25/34 |
2,989 | |||||||||
8,546 | Series 2007-2, Class FA, VAR, 0.429%, 02/25/37 |
8,449 | |||||||||
126 | Series G92-44, Class ZQ, 8.000%, 07/25/22 |
140 | |||||||||
1,901 | Series G94-9, Class PJ, 6.500%, 08/17/24 |
2,061 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
525 | Series 2003-W1, Class 2A, 7.500%, 12/25/42 |
583 | |||||||||
3,084 | Series
2003-W15, Class 3A, VAR, 4.884%, 12/25/42 (m) |
3,168 | |||||||||
2,709 | Series 2003-W4, Class 5A, VAR, 4.839%, 10/25/42 |
2,815 | |||||||||
756 | Series 2004-W2, Class 1A3F, VAR, 0.579%, 02/25/44 |
747 | |||||||||
1,526 | Series 2004-W2, Class 4A, VAR, 4.754%, 02/25/44 |
1,526 | |||||||||
Government National Mortgage Association, |
|||||||||||
1,203 | Series 1999-27, Class ZA, 7.500%, 04/17/29 |
1,323 | |||||||||
33 | Series 2000-35, Class F, VAR, 0.782%, 12/16/25 |
33 | |||||||||
793 | Series 2002-31, Class FC, VAR, 0.479%, 09/26/21 |
786 | |||||||||
3,162 | Series 2003-21, Class PI, IO, 5.500%, 06/20/32 |
209 | |||||||||
48,165 | Series 2003-59, Class XA, IO, VAR, 2.049%, 06/16/34 |
3,442 | |||||||||
66,987 | |||||||||||
Non-Agency CMO 27.6% |
|||||||||||
3,805 | Banc of America Funding Corp., Series 2005-E, Class 5A1, VAR, 4.971%, 05/20/35 |
3,281 | |||||||||
Banc of America Mortgage Securities, Inc., |
|||||||||||
81 | Series 2003-5, Class 2A8, VAR, 0.679%, 07/25/18 |
58 | |||||||||
2,658 | Series 2005-A, Class 3A1, VAR, 5.037%, 02/25/35 |
2,192 | |||||||||
1,102 | Bear Stearns Asset Backed Securities Trust, Series 2004-AC6, Class M1, VAR, 0.899%, 11/25/34 |
546 | |||||||||
493 | Cendant Mortgage Corp., Series 2003-8, Class 1A2, 5.250%, 10/25/33 |
495 | |||||||||
1,182 | Chase Mortgage Finance Corp., Series 2003-S7, Class A4, VAR, 0.629%, 08/25/18 |
1,050 | |||||||||
145 | Citicorp Mortgage Securities, Inc., Series 1988-17, Class A1, VAR, 2.561%, 11/25/18 |
142 | |||||||||
42 | Collateralized Mortgage Obligation Trust, Series 50, Class B, PO, 10/01/18 |
42 | |||||||||
2,430 | Countrywide Alternative Loan Trust, Series 2004-33, Class 3A3, VAR, 3.108%, 12/25/34 |
1,599 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
|||||||||||
1,344 | Series 2003-21, Class A1, VAR, 4.049%, 05/25/33 |
1,056 | |||||||||
5,379 | Series 2003-49, Class A4, VAR, 4.280%, 12/19/33 |
5,325 | |||||||||
561 | Series 2004-HYB8, Class 1A1, VAR, 0.579%, 01/20/35 |
352 | |||||||||
846 | Series 2005-1, Class 1A2, VAR, 0.579%, 03/25/35 |
159 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
32 | Series 2002-AR2, Class 1B2, VAR, 4.006%, 02/25/32 |
4 | |||||||||
2,833 | Series 2003-AR24, Class 2A4, VAR, 3.124%, 10/25/33 |
2,373 | |||||||||
127 | Series 2004-5, Class 1A8, 6.000%, 09/25/34 |
127 | |||||||||
First Horizon Alternative Mortgage Securities, |
|||||||||||
792 | Series 2005-AA7, Class 1A2, VAR, 2.496%, 09/25/35 |
108 | |||||||||
1,894 | Series 2005-FA10, Class 2A1, 5.250%, 12/25/20 |
1,639 | |||||||||
1,052 | First Horizon Asset Securities, Inc., Series 2004-AR7, Class 2A1, VAR, 2.880%, 02/25/35 |
1,013 | |||||||||
First Republic Mortgage Loan Trust, |
|||||||||||
161 | Series 2000-FRB1, Class B1, VAR, 0.729%, 06/25/30 |
112 | |||||||||
834 | Series 2000-FRB2, Class A1, VAR, 0.732%, 11/15/30 |
770 | |||||||||
5,195 | GSAA Home Equity Trust, Series 2004-CW1, Class 1A1, 5.500%, 04/01/34 |
4,743 | |||||||||
5,155 | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1, 5.500%, 09/25/34 |
4,759 | |||||||||
Impac CMB Trust, |
|||||||||||
1,752 | Series 2004-3, Class 3A, VAR, 0.549%, 03/25/34 |
1,602 | |||||||||
692 | Series 2004-6, Class 1A2, VAR, 1.009%, 10/25/34 |
567 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
2,816 | Series 2005-5, Class A1, VAR, 0.549%, 08/25/35 |
1,896 | |||||||||
2,813 | Indymac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1, VAR, 5.638%, 03/25/37 |
2,046 | |||||||||
718 | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1, VAR, 4.308%, 10/25/33 |
683 | |||||||||
MASTR Adjustable Rate Mortgages Trust, |
|||||||||||
5,010 | Series 2003-5, Class 5A1, VAR, 4.048%, 10/25/33 |
4,725 | |||||||||
300 | Series 2004-7, Class 6A1, VAR, 0.669%, 08/25/34 |
285 | |||||||||
1,888 | Series 2004-13, Class 2A1, VAR, 3.002%, 04/21/34 |
1,819 | |||||||||
3,220 | Series 2004-13, Class 3A7B, VAR, 2.330%, 11/21/34 |
2,841 | |||||||||
701 | MASTR Seasoned Securities Trust, Series 2003-1, Class 3A2, VAR, 0.629%, 02/25/33 |
680 | |||||||||
Mellon Residential Funding Corp., |
|||||||||||
1,490 | Series 2001-TBC1, Class B1, VAR, 1.112%, 11/15/31 |
1,008 | |||||||||
292 | Series 2002-TBC1, Class B1, VAR, 1.232%, 09/15/30 |
231 | |||||||||
146 | Series 2002-TBC1, Class B2, VAR, 1.632%, 09/15/30 |
114 | |||||||||
904 | Series 2002-TBC2, Class B1, VAR, 1.082%, 08/15/32 |
685 | |||||||||
278 | Merrill Lynch Trust, Series 47, Class Z, 8.985%, 10/20/20 |
308 | |||||||||
MLCC Mortgage Investors, Inc., |
|||||||||||
1,392 | Series 2004-1, Class 2A3, VAR, 2.479%, 12/25/34 |
585 | |||||||||
1,995 | Series 2004-D, Class A1, VAR, 0.559%, 08/25/29 |
1,807 | |||||||||
Morgan Stanley Dean Witter Capital I, |
|||||||||||
805 | Series 2003-HYB1, Class A4, VAR, 4.200%, 03/25/33 |
689 | |||||||||
595 | Series 2003-HYB1, Class B1, VAR, 4.250%, 03/25/33 |
369 | |||||||||
Morgan Stanley Mortgage Loan Trust, |
|||||||||||
1,018 | Series 2004-5AR, Class 3A3, VAR, 3.015%, 07/25/34 |
487 | |||||||||
4,650 | Series 2004-5AR, Class 3A5, VAR, 3.015%, 07/25/34 |
3,200 | |||||||||
2,271 | Series 2004-11AR, Class 1A2A, VAR, 0.539%, 01/25/35 |
1,503 | |||||||||
Nomura Asset Acceptance Corp., |
|||||||||||
645 | Series 2003-A3, Class A1, SUB, 5.000%, 08/25/33 |
586 | |||||||||
179 | Series 2004-AR1, Class 5A1, VAR, 0.989%, 08/25/34 |
147 | |||||||||
2,553 | Series
2004-R3, Class AF, VAR, 0.679%, 02/25/35 (e) |
1,827 | |||||||||
132 | Series 2005-AR1, Class 2A1, VAR, 0.509%, 02/25/35 |
117 | |||||||||
Residential Funding Mortgage Securities I, |
|||||||||||
4,500 | Series 2005-SA2, Class 2A2, VAR, 4.874%, 06/25/35 |
3,551 | |||||||||
1,926 | Series 2006-SA4, Class 2A1, VAR, 6.110%, 11/25/36 |
1,421 | |||||||||
18 | Securitized Asset Sales, Inc., Series 1993-7, Class TA3, 6.250%, 12/25/23 |
18 | |||||||||
Sequoia Mortgage Trust, |
|||||||||||
206 | Series 11, Class A, VAR, 1.129%, 12/20/32 |
176 | |||||||||
504 | Series 2003-3, Class A2, VAR, 0.794%, 07/20/33 |
423 | |||||||||
Structured Asset Mortgage Investments, Inc., |
|||||||||||
1,919 | Series 2002-AR2, Class A3, VAR, 0.729%, 07/19/32 |
1,513 | |||||||||
330 | Series 2004-AR1, Class 1A1, VAR, 0.579%, 03/19/34 |
274 | |||||||||
Structured Asset Securities Corp., |
|||||||||||
1,625 | Series 2003-8, Class 2A9, VAR, 0.729%, 04/25/33 |
1,459 | |||||||||
2,349 | Series 2003-40A, Class 4A, VAR, 5.332%, 01/25/34 |
2,037 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
|||||||||||
2,195 | Series 2004-AR11, Class A, VAR, 2.893%, 10/25/34 |
2,020 | |||||||||
4,036 | Series 2004-AR14, Class A1, VAR, 2.753%, 01/25/35 |
3,857 | |||||||||
5,174 | Series 2004-AR3, Class A1, VAR, 3.120%, 06/25/34 |
4,838 | |||||||||
413 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS2, Class 2A1, 6.000%, 04/25/17 |
409 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
1,362 | Series 2003-F, Class A1, VAR, 4.857%, 06/25/33 |
1,364 | |||||||||
3,300 | Series 2003-K, Class 1A2, VAR, 4.473%, 11/25/33 |
3,291 | |||||||||
1,221 | Series 2004-H, Class A2, VAR, 4.531%, 06/25/34 |
949 | |||||||||
90,352 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $175,032) |
157,339 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Commercial Mortgage-Backed Securities 2.1% |
|||||||||||
Bayview Commercial Asset Trust, |
|||||||||||
944 | Series 2004-3, Class A2, VAR, 0.649%, 01/25/35 (e) |
669 | |||||||||
3,425 | Series 2005-2A, Class A2, VAR, 0.579%, 08/25/35 (e) |
2,158 | |||||||||
684 | Series 2005-2A, Class M1, VAR, 0.659%, 08/25/35 (e) |
384 | |||||||||
2,809 | Series 2007-3, Class A2, VAR, 0.519%, 07/25/37 (e) |
1,508 | |||||||||
1,799 | Series 2007-2A, Class A2, VAR, 0.549%, 07/25/37 (e) |
1,061 | |||||||||
895 | Series 2007-2A, Class M4, VAR, 0.879%, 07/25/37 (e) |
239 | |||||||||
880 | Bear Stearns Commercial Mortgage Securities, Series 2004-BA5A, Class E, VAR, 0.672%, 09/15/19 (e) (f) |
766 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $11,435) |
6,785 | ||||||||||
Corporate Bonds 0.4% |
|||||||||||
Financials 0.4% |
|||||||||||
Capital Markets 0.4% |
|||||||||||
6,355 | Lehman Brothers Holdings, Inc., 5.884%, 02/17/15 (d) (f) (i) |
1,223 | |||||||||
Consumer Finance 0.0% (g) |
|||||||||||
250 | SLM Corp., VAR, 3.960%, 01/31/14 |
204 | |||||||||
Total Corporate Bonds (Cost $6,571) |
1,427 | ||||||||||
Mortgage Pass-Through Securities 18.9% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
| (h) | ARM, 2.281%, 02/01/19 |
| (h) | |||||||
172 | ARM, 2.707%, 07/01/19 |
175 | |||||||||
134 | ARM, 2.709%, 12/01/26 |
138 | |||||||||
138 | ARM, 2.771%, 01/01/27 |
140 | |||||||||
17 | ARM, 2.875%, 06/01/26 (m) |
17 | |||||||||
373 | ARM, 2.880%, 08/01/27 |
382 | |||||||||
52 | ARM, 2.945%, 06/01/22 |
53 | |||||||||
80 | ARM, 2.973%, 04/01/30 |
82 | |||||||||
1,747 | ARM, 2.983%, 02/01/23 04/01/32 |
1,785 | |||||||||
89 | ARM, 3.039%, 04/01/24 |
90 | |||||||||
319 | ARM, 3.050%, 12/01/27 (m) |
326 | |||||||||
181 | ARM, 3.074%, 07/01/28 |
187 | |||||||||
1,034 | ARM, 3.105%, 05/01/18 01/01/23 |
1,057 | |||||||||
292 | ARM, 3.108%, 12/01/26 |
300 | |||||||||
22 | ARM, 3.155%, 11/01/28 |
23 | |||||||||
623 | ARM, 3.167%, 07/01/30 (m) |
636 | |||||||||
55 | ARM, 3.182%, 10/01/29 |
57 | |||||||||
30 | ARM, 3.187%, 12/01/29 |
31 | |||||||||
32 | ARM, 3.280%, 11/01/27 |
33 | |||||||||
554 | ARM, 3.342%, 01/01/23 (m) |
566 | |||||||||
27 | ARM, 3.627%, 06/01/25 |
28 | |||||||||
22 | ARM, 4.095%, 12/01/21 |
22 | |||||||||
33 | ARM, 4.995%, 08/01/19 |
33 | |||||||||
145 | ARM, 5.010%, 01/01/30 |
148 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
| (h) | 7.500%, 09/01/10 |
| (h) | |||||||
63 | 8.000%, 04/01/10 09/01/16 |
69 | |||||||||
47 | Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, 8.000%, 06/01/17 |
54 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
12 | 7.500%, 05/01/28 |
14 | |||||||||
65 | 8.500%, 07/01/28 |
75 | |||||||||
27 | 9.000%, 02/01/25 |
32 | |||||||||
Federal National Mortgage Association, |
|||||||||||
28 | ARM, 2.172%, 06/01/18 |
28 | |||||||||
77 | ARM, 2.210%, 05/01/18 |
77 | |||||||||
219 | ARM, 2.349%, 07/01/20 (m) |
219 | |||||||||
438 | ARM, 2.423%, 11/01/18 |
442 | |||||||||
17 | ARM, 2.480%, 07/01/25 |
17 | |||||||||
87 | ARM, 2.492%, 04/01/21 |
88 | |||||||||
101 | ARM, 2.513%, 12/01/20 |
103 | |||||||||
1,459 | ARM, 2.800%, 05/01/33 |
1,500 | |||||||||
28 | ARM, 2.825%, 04/01/24 |
28 | |||||||||
19 | ARM, 2.831%, 05/01/29 |
19 | |||||||||
139 | ARM, 2.921%, 01/01/31 (m) |
142 | |||||||||
141 | ARM, 2.954%, 07/01/27 |
144 | |||||||||
603 | ARM, 2.969%, 09/01/33 |
619 | |||||||||
966 | ARM, 3.002%, 01/01/25 |
997 | |||||||||
43 | ARM, 3.026%, 03/01/38 |
44 | |||||||||
23 | ARM, 3.087%, 11/01/21 |
23 | |||||||||
27 | ARM, 3.095%, 12/01/26 |
28 | |||||||||
75 | ARM, 3.098%, 06/01/26 |
78 | |||||||||
160 | ARM, 3.197%, 03/01/29 |
164 | |||||||||
76 | ARM, 3.200%, 07/01/30 |
78 | |||||||||
458 | ARM, 3.237%, 08/01/26 |
470 | |||||||||
264 | ARM, 3.326%, 09/01/19 |
274 | |||||||||
74 | ARM, 3.460%, 11/01/23 |
76 | |||||||||
20 | ARM, 4.250%, 03/01/17 |
20 | |||||||||
524 | ARM, 4.667%, 02/01/34 |
540 | |||||||||
128 | ARM, 4.690%, 11/01/30 |
134 | |||||||||
175 | ARM, 4.917%, 03/01/15 (f) |
173 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
Consumer Finance Continued |
|||||||||||
193 | ARM, 4.927%, 12/01/28 |
196 | |||||||||
44 | ARM, 5.675%, 05/01/20 |
44 | |||||||||
159 | ARM, 5.824%, 05/01/31 |
167 | |||||||||
122 | ARM, 6.000%, 01/01/20 |
127 | |||||||||
41 | ARM, 7.775%, 05/01/30 |
42 | |||||||||
| (h) | Federal National Mortgage Association, 10 Year, Single Family, 4.500%, 01/01/13 |
| (h) | |||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
25,000 | 4.000%, 02/01/25 |
25,566 | |||||||||
23 | 6.000%, 08/01/14 |
24 | |||||||||
284 | 7.000%,
12/01/10 03/01/16 (m) |
300 | |||||||||
19,680 | Federal National Mortgage Association, 20 Year, Single Family, 5.000%, 10/01/23 |
20,604 | |||||||||
Federal National Mortgage Association, 30 Year, FHA/VA, |
|||||||||||
30 | 7.000%, 03/01/27 |
33 | |||||||||
2 | 7.500%, 08/01/10 |
1 | |||||||||
32 | 8.000%, 11/01/27 |
37 | |||||||||
30 | 8.500%, 10/01/24 |
34 | |||||||||
42 | 9.000%, 08/01/21 08/01/25 |
48 | |||||||||
31 | Federal National Mortgage Association, 30 Year, Other, 7.250%, 09/01/22 |
35 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
48 | 7.250%, 09/01/22 |
53 | |||||||||
224 | 7.500%, 06/01/23 10/01/30 |
249 | |||||||||
28 | 8.500%, 08/01/17 |
30 | |||||||||
Federal National Mortgage Association, Other, |
|||||||||||
54 | 6.500%, 04/01/16 |
56 | |||||||||
62 | 12.000%, 11/01/30 |
73 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
|||||||||||
86 | 7.250%, 08/20/22 11/20/22 |
95 | |||||||||
133 | 7.400%, 10/20/21 03/20/22 |
149 | |||||||||
29 | 7.500%, 10/20/23 |
33 | |||||||||
26 | 7.850%, 12/20/21 |
30 | |||||||||
97 | 8.000%, 07/20/25 08/20/26 |
111 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
84 | 7.000%, 06/15/24 |
93 | |||||||||
38 | 8.000%, 10/15/27 |
44 | |||||||||
40 | 9.000%, 11/15/24 |
45 | |||||||||
300 | 9.500%, 07/15/25 |
343 | |||||||||
Total Mortgage Pass-Through Securities (Cost $61,141) |
61,740 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 25.0% |
|||||||||||
Investment Company 25.0% |
|||||||||||
81,717 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $81,717) |
81,717 | |||||||||
Total Investments 106.8% (Cost $415,131) |
349,101 | ||||||||||
Liabilities in Excess of Other Assets (6.8)% |
(22,187 | ) | |||||||||
NET ASSETS 100.0% |
$ | 326,914 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 1.3% |
|||||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
417 | Series 2005-BM, Class A4, VAR, 0.308%, 05/06/12 |
415 | |||||||||
223 | Series 2007-CM, Class A3B, VAR, 0.258%, 05/07/12 |
222 | |||||||||
466 | Bear Stearns
Asset Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.599%, 04/25/36 (f) (i) |
317 | |||||||||
1,914 | Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34 |
1,729 | |||||||||
376 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.609%, 12/25/33 |
292 | |||||||||
174 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2, SUB, 5.236%, 01/25/36 |
122 | |||||||||
625 | Federal National Mortgage Association Whole Loan, Series 2001-W4, Class AF6, SUB, 5.610%, 01/25/32 |
623 | |||||||||
200 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF17, Class A4, VAR, 0.329%, 12/25/36 |
166 | |||||||||
HFC Home Equity Loan Asset Backed Certificates, |
|||||||||||
558 | Series 2005-2, Class A1, VAR, 0.499%, 01/20/35 |
523 | |||||||||
769 | Series 2006-1, Class A1, VAR, 0.389%, 01/20/36 |
670 | |||||||||
569 | Series 2006-2, Class A1, VAR, 0.379%, 03/20/36 |
527 | |||||||||
857 | Series 2007-1, Class AS, VAR, 0.429%, 03/20/36 |
753 | |||||||||
2,333 | Series 2007-3, Class APT, VAR, 1.429%, 11/20/36 |
2,117 | |||||||||
436 | Indymac Residential Asset Backed Trust, Series 2006-A, Class A3, VAR, 0.429%, 03/25/36 |
221 | |||||||||
Long Beach Mortgage Loan Trust, |
|||||||||||
426 | Series 2006-8, Class 2A2, VAR, 0.319%, 09/25/36 |
159 | |||||||||
887 | Series 2006-WL2, Class 2A3, VAR, 0.429%, 01/25/36 |
686 | |||||||||
457 | Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class 2A, VAR, 3.441%, 07/25/33 |
447 | |||||||||
10,000 | Nationstar
Mortgage Advance Receivable Trust, Series 2009-ADV1, Class A1, VAR, 3.229%, 12/26/22 (e) |
10,000 | |||||||||
700 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.500%, 11/25/33 |
616 | |||||||||
500 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37 |
266 | |||||||||
507 | Residential Asset Mortgage Products, Inc., Series 2004-RS8, Class AI6, SUB, 4.980%, 08/25/34 |
452 | |||||||||
514 | Salomon
Brothers Mortgage Securities VII, Inc., Series 2003-UP1, Class A, SUB, 3.450%, 04/25/32 (e) |
446 | |||||||||
1,139 | Structured Asset Securities Corp., Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32 |
1,007 | |||||||||
Total Asset-Backed Securities (Cost $23,293) |
22,776 | ||||||||||
Collateralized Mortgage Obligations 64.7% |
|||||||||||
Agency CMO 41.0% |
|||||||||||
2,480 | Federal Home Loan Bank System, Series 2000-1067, Class 1, 5.300%, 06/15/12 |
2,622 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
43 | Series 11, Class D, 9.500%, 07/15/19 |
46 | |||||||||
22 | Series 22, Class C, 9.500%, 04/15/20 |
24 | |||||||||
28 | Series 23, Class F, 9.600%, 04/15/20 |
31 | |||||||||
20 | Series 30, Class D, 9.500%, 02/15/20 |
22 | |||||||||
1 | Series 41, Class I, HB, 84.000%, 05/15/20 |
2 | |||||||||
11 | Series 47, Class F, 10.000%, 06/15/20 |
12 | |||||||||
143 | Series 77, Class H, 8.500%, 09/15/20 |
157 | |||||||||
4 | Series 81, Class A, 8.125%, 11/15/20 |
4 | |||||||||
10 | Series 84, Class F, 9.200%, 10/15/20 |
12 | |||||||||
11 | Series 99, Class Z, 9.500%, 01/15/21 |
12 | |||||||||
| (h) | Series 180, Class J, HB, 1,010.000%, 09/15/21 |
| (h) | |||||||
| (h) | Series 186, Class I, HB, 1,009.500%, 08/15/21 |
1 | ||||||||
| (h) | Series 189, Class K, HB, 1,009.500%, 10/15/21 |
1 | ||||||||
| (h) | Series 204, Class E, HB, IF, 1,838.732%, 05/15/23 |
10 | ||||||||
| (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 |
3 | ||||||||
6 | Series 1065, Class J, 9.000%, 04/15/21 |
7 | |||||||||
15 | Series 1079, Class S, HB, IF, 33.150%, 05/15/21 |
23 | |||||||||
| (h) | Series 1082, Class D, HB, 1,007.780%, 05/15/21 |
1 | ||||||||
9 | Series 1084, Class F, VAR, 1.200%, 05/15/21 |
9 | |||||||||
6 | Series 1084, Class S, HB, IF, 44.100%, 05/15/21 |
11 | |||||||||
10 | Series 1133, Class H, 7.000%, 09/15/21 |
11 | |||||||||
22 | Series 1144, Class KB, 8.500%, 09/15/21 |
25 | |||||||||
| (h) | Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21 |
2 | ||||||||
4 | Series 1179, Class H, 7.500%, 11/15/21 |
4 | |||||||||
| (h) | Series 1196, Class B, HB, IF, 1,169.001%, 01/15/22 |
9 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
16 | Series 1254, Class N, 8.000%, 04/15/22 |
16 | |||||||||
69 | Series 1343, Class LA, 8.000%, 08/15/22 |
77 | |||||||||
35 | Series 1343, Class LB, 7.500%, 08/15/22 |
38 | |||||||||
111 | Series 1374, Class Z, 7.000%, 10/15/22 |
121 | |||||||||
33 | Series 1395, Class G, 6.000%, 10/15/22 |
35 | |||||||||
291 | Series 1401, Class J, 7.000%, 10/15/22 |
324 | |||||||||
413 | Series 1466, Class PZ, 7.500%, 02/15/23 |
453 | |||||||||
12 | Series 1470, Class F, VAR, 2.828%, 02/15/23 |
12 | |||||||||
13 | Series 1505, Class QB, HB, IF, 20.183%, 05/15/23 |
16 | |||||||||
129 | Series 1518, Class G, IF, 8.804%, 05/15/23 |
139 | |||||||||
99 | Series 1526, Class L, 6.500%, 06/15/23 |
106 | |||||||||
20 | Series 1540, Class IA, 7.000%, 06/15/13 |
20 | |||||||||
139 | Series 1541, Class O, VAR, 3.720%, 07/15/23 |
138 | |||||||||
94 | Series 1543, Class VM, 6.900%, 04/15/23 |
94 | |||||||||
32 | Series 1570, Class F, VAR, 3.328%, 08/15/23 |
32 | |||||||||
80 | Series 1570, Class SA, HB, IF, 19.973%, 08/15/23 |
106 | |||||||||
346 | Series 1578, Class K, 6.900%, 09/15/23 |
370 | |||||||||
39 | Series 1578, Class V, IO, 7.000%, 09/15/23 |
6 | |||||||||
758 | Series 1591, Class PV, 6.250%, 10/15/23 |
817 | |||||||||
168 | Series 1596, Class D, 6.500%, 10/15/13 |
168 | |||||||||
15 | Series 1602, Class SA, HB, IF, 21.938%, 10/15/23 |
20 | |||||||||
264 | Series 1609, Class LG, IF, 16.792%, 11/15/23 |
316 | |||||||||
24 | Series 1611, Class JA, VAR, 1.625%, 08/15/23 |
24 | |||||||||
1,119 | Series 1628, Class LZ, 6.500%, 12/15/23 |
1,209 | |||||||||
685 | Series 1638, Class H, 6.500%, 12/15/23 |
747 | |||||||||
1,036 | Series 1644, Class K, 6.750%, 12/15/23 |
1,128 | |||||||||
1,136 | Series 1658, Class GZ, 7.000%, 01/15/24 |
1,226 | |||||||||
6 | Series 1671, Class QC, IF, 10.000%, 02/15/24 |
7 | |||||||||
487 | Series 1677, Class Z, 7.500%, 07/15/23 |
534 | |||||||||
10 | Series 1686, Class SH, IF, 18.675%, 02/15/24 |
15 | |||||||||
37 | Series 1688, Class W, 7.250%, 03/15/14 |
38 | |||||||||
438 | Series 1695, Class EB, 7.000%, 03/15/24 |
482 | |||||||||
55 | Series 1699, Class FC, VAR, 0.850%, 03/15/24 |
55 | |||||||||
65 | Series 1745, Class D, 7.500%, 08/15/24 |
71 | |||||||||
1,974 | Series 1760, Class ZD, VAR, 3.160%, 02/15/24 |
1,972 | |||||||||
194 | Series 1798, Class F, 5.000%, 05/15/23 |
200 | |||||||||
10 | Series 1807, Class G, 9.000%, 10/15/20 |
11 | |||||||||
1,653 | Series 1813, Class I, PO, 11/15/23 |
1,425 | |||||||||
6,391 | Series 1813, Class J, IF, IO, 5.750%, 11/15/23 |
660 | |||||||||
360 | Series 1829, Class ZB, 6.500%, 03/15/26 |
393 | |||||||||
23 | Series 1844, Class E, 6.500%, 10/15/13 |
24 | |||||||||
648 | Series 1863, Class Z, 6.500%, 07/15/26 |
700 | |||||||||
6 | Series 1865, Class D, PO, 02/15/24 |
4 | |||||||||
189 | Series 1899, Class ZE, 8.000%, 09/15/26 |
210 | |||||||||
160 | Series 1963, Class Z, 7.500%, 01/15/27 |
160 | |||||||||
46 | Series 1985, Class PR, IO, 8.000%, 07/15/27 |
10 | |||||||||
78 | Series 1987, Class PE, 7.500%, 09/15/27 |
87 | |||||||||
36 | Series 2025, Class PE, 6.300%, 01/15/13 |
36 | |||||||||
644 | Series 2033, Class J, 5.600%, 06/15/23 |
645 | |||||||||
36 | Series 2033, Class SN, HB, IF, 23.222%, 03/15/24 |
19 | |||||||||
48 | Series 2038, Class PN, IO, 7.000%, 03/15/28 |
7 | |||||||||
387 | Series 2040, Class PE, 7.500%, 03/15/28 |
440 | |||||||||
56 | Series 2042, Class T, 7.000%, 03/15/28 |
60 | |||||||||
173 | Series 2055, Class OE, 6.500%, 05/15/13 |
180 | |||||||||
171 | Series 2060, Class Z, 6.500%, 05/15/28 |
185 | |||||||||
468 | Series 2061, Class DC, IO, 6.500%, 06/15/28 |
89 | |||||||||
25,013 | Series 2065, Class PX, IO, 0.750%, 08/17/27 |
692 | |||||||||
1,080 | Series 2075, Class PH, 6.500%, 08/15/28 |
1,173 | |||||||||
304 | Series 2086, Class GB, 6.000%, 09/15/28 |
328 | |||||||||
72 | Series 2089, Class PJ, IO, 7.000%, 10/15/28 |
13 | |||||||||
672 | Series 2102, Class TC, 6.000%, 12/15/13 (m) |
714 | |||||||||
430 | Series 2102, Class TU, 6.000%, 12/15/13 (m) |
457 | |||||||||
943 | Series 2110, Class PG, 6.000%, 01/15/29 |
1,026 | |||||||||
736 | Series 2111, Class SB, IF, IO, 7.269%, 01/15/29 |
118 | |||||||||
399 | Series 2115, Class PE, 6.000%, 01/15/14 |
422 | |||||||||
327 | Series 2125, Class JZ, 6.000%, 02/15/29 |
353 | |||||||||
718 | Series 2130, Class QS, 6.000%, 03/15/29 |
780 | |||||||||
120 | Series 2132, Class SB, HB, IF, 29.559%, 03/15/29 |
166 | |||||||||
179 | Series 2132, Class ZL, 6.500%, 03/15/29 |
197 | |||||||||
17 | Series 2135, Class UK, IO, 6.500%, 03/15/14 |
1 | |||||||||
24 | Series 2141, Class IO, IO, 7.000%, 04/15/29 |
4 | |||||||||
57 | Series 2163, Class PC, IO, 7.500%, 06/15/29 |
11 | |||||||||
132 | Series 2178, Class PB, 7.000%, 08/15/29 |
145 | |||||||||
17 | Series 2189, Class SA, IF, 17.917%, 02/15/28 |
18 | |||||||||
200 | Series 2201, Class C, 8.000%, 11/15/29 |
222 | |||||||||
617 | Series 2209, Class TC, 8.000%, 01/15/30 |
693 | |||||||||
297 | Series 2210, Class Z, 8.000%, 01/15/30 |
318 | |||||||||
119 | Series 2224, Class CB, 8.000%, 03/15/30 |
131 | |||||||||
69 | Series 2247, Class Z, 7.500%, 08/15/30 |
76 | |||||||||
347 | Series 2254, Class Z, 9.000%, 09/15/30 |
406 | |||||||||
338 | Series 2256, Class MC, 7.250%, 09/15/30 |
368 | |||||||||
545 | Series 2259, Class ZM, 7.000%, 10/15/30 |
594 | |||||||||
585 | Series 2271, Class PC, 7.250%, 12/15/30 |
591 | |||||||||
518 | Series 2283, Class K, 6.500%, 12/15/23 |
570 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
183 | Series 2296, Class PD, 7.000%, 03/15/31 |
196 | |||||||||
350 | Series 2301, Class PA, 6.000%, 10/15/13 |
369 | |||||||||
2,466 | Series 2303, Class ZD, 7.000%, 04/15/31 |
2,701 | |||||||||
1,122 | Series 2303, Class ZN, 8.500%, 04/15/29 |
1,258 | |||||||||
81 | Series 2306, Class K, PO, 05/15/24 |
70 | |||||||||
204 | Series 2306, Class SE, IF, IO, 6.940%, 05/15/24 |
32 | |||||||||
928 | Series 2344, Class QG, 6.000%, 08/15/16 |
997 | |||||||||
1,458 | Series 2344, Class ZD, 6.500%, 08/15/31 |
1,599 | |||||||||
153 | Series 2344, Class ZJ, 6.500%, 08/15/31 |
168 | |||||||||
104 | Series 2345, Class NE, 6.500%, 08/15/31 |
113 | |||||||||
358 | Series 2347, Class VP, 6.500%, 03/15/20 |
385 | |||||||||
350 | Series 2353, Class TD, 6.000%, 09/15/16 |
378 | |||||||||
344 | Series 2355, Class BP, 6.000%, 09/15/16 |
371 | |||||||||
278 | Series 2358, Class PD, 6.000%, 09/15/16 |
293 | |||||||||
561 | Series 2359, Class PM, 6.000%, 09/15/16 |
603 | |||||||||
528 | Series 2359, Class ZB, 8.500%, 06/15/31 |
603 | |||||||||
621 | Series 2360, Class PG, 6.000%, 09/15/16 |
661 | |||||||||
183 | Series 2363, Class PF, 6.000%, 09/15/16 |
196 | |||||||||
342 | Series 2366, Class MD, 6.000%, 10/15/16 |
366 | |||||||||
114 | Series 2368, Class AS, HB, IF, 20.330%, 10/15/31 |
143 | |||||||||
253 | Series 2368, Class TG, 6.000%, 10/15/16 |
272 | |||||||||
116 | Series 2372, Class F, VAR, 0.731%, 10/15/31 |
116 | |||||||||
119 | Series 2383, Class FD, VAR, 0.731%, 11/15/31 |
115 | |||||||||
210 | Series 2388, Class UZ, 8.500%, 06/15/31 |
234 | |||||||||
1,619 | Series 2391, Class QR, 5.500%, 12/15/16 |
1,732 | |||||||||
158 | Series 2394, Class MC, 6.000%, 12/15/16 |
171 | |||||||||
577 | Series 2399, Class TH, 6.500%, 01/15/32 |
633 | |||||||||
326 | Series 2410, Class OE, 6.375%, 02/15/32 |
353 | |||||||||
454 | Series 2410, Class QS, IF, 18.900%, 02/15/32 |
595 | |||||||||
217 | Series 2410, Class QX, IF, IO, 8.419%, 02/15/32 |
34 | |||||||||
335 | Series 2423, Class MC, 7.000%, 03/15/32 |
370 | |||||||||
401 | Series 2423, Class MT, 7.000%, 03/15/32 |
442 | |||||||||
409 | Series 2425, Class OB, 6.000%, 03/15/17 |
442 | |||||||||
912 | Series 2433, Class SA, VAR, 20.330%, 02/15/32 |
1,129 | |||||||||
533 | Series 2434, Class TC, 7.000%, 04/15/32 |
590 | |||||||||
958 | Series 2436, Class MC, 7.000%, 04/15/32 |
1,061 | |||||||||
297 | Series 2444, Class ES, IF, IO, 7.719%, 03/15/32 |
42 | |||||||||
300 | Series 2450, Class GZ, 7.000%, 05/15/32 |
327 | |||||||||
337 | Series 2450, Class SW, IF, IO, 7.769%, 03/15/32 |
45 | |||||||||
853 | Series 2458, Class QE, 5.500%, 06/15/17 |
912 | |||||||||
668 | Series 2460, Class VZ, 6.000%, 11/15/29 |
682 | |||||||||
861 | Series 2462, Class NB, 6.500%, 06/15/22 |
960 | |||||||||
1,731 | Series 2464, Class FE, VAR, 1.231%, 03/15/32 |
1,752 | |||||||||
88 | Series 2470, Class SL, IF, 9.000%, 01/15/27 |
104 | |||||||||
609 | Series 2474, Class SJ, IF, IO, 7.419%, 07/15/17 |
57 | |||||||||
197 | Series 2480, Class PV, 6.000%, 07/15/11 |
204 | |||||||||
5,843 | Series 2494, Class SX, IF, IO, 6.769%, 02/15/32 |
858 | |||||||||
442 | Series 2513, Class YO, PO, 02/15/32 |
432 | |||||||||
760 | Series 2515, Class DE, 4.000%, 03/15/32 |
790 | |||||||||
101 | Series 2519, Class BT, 8.500%, 09/15/31 |
106 | |||||||||
102 | Series 2527, Class VU, 5.500%, 10/15/13 |
102 | |||||||||
1,036 | Series 2533, Class HB, 5.500%, 12/15/17 |
1,120 | |||||||||
575 | Series 2535, Class BK, 5.500%, 12/15/22 |
622 | |||||||||
75 | Series 2541, Class GX, 5.500%, 02/15/17 |
76 | |||||||||
1,424 | Series 2549, Class ZG, 5.000%, 01/15/18 |
1,425 | |||||||||
670 | Series 2553, Class GF, VAR, 0.631%, 02/15/17 |
667 | |||||||||
252 | Series 2565, Class MB, 6.000%, 05/15/30 |
261 | |||||||||
5,000 | Series 2568, Class KG, 5.500%, 02/15/23 |
5,382 | |||||||||
214 | Series 2571, Class SK, HB, IF, 33.505%, 09/15/23 |
323 | |||||||||
1,530 | Series 2574, Class HP, 5.000%, 02/15/18 |
1,637 | |||||||||
1,644 | Series 2586, Class WI, IO, 6.500%, 03/15/33 |
303 | |||||||||
5,000 | Series 2590, Class IP, IO, 5.500%, 08/15/31 |
416 | |||||||||
1,400 | Series 2591, Class QO, 4.500%, 03/15/18 |
1,480 | |||||||||
1,509 | Series 2591, Class WI, IO, 5.500%, 02/15/30 |
60 | |||||||||
172 | Series 2594, Class VA, 6.000%, 03/15/14 |
172 | |||||||||
289 | Series 2597, Class DS, IF, IO, 7.319%, 02/15/33 |
13 | |||||||||
646 | Series 2599, Class DS, IF, IO, 6.769%, 02/15/33 |
35 | |||||||||
653 | Series 2610, Class DS, IF, IO, 6.869%, 03/15/33 |
46 | |||||||||
1,807 | Series 2610, Class DZ, 5.500%, 05/15/33 |
1,918 | |||||||||
1,466 | Series 2611, Class SH, IF, IO, 7.419%, 10/15/21 |
97 | |||||||||
1,036 | Series 2611, Class UH, 4.500%, 05/15/18 |
1,094 | |||||||||
2,330 | Series 2617, Class GR, 4.500%, 05/15/18 |
2,462 | |||||||||
154 | Series 2624, Class IU, IO, 5.000%, 06/15/33 |
9 | |||||||||
4,718 | Series 2626, Class NS, IF, IO, 6.319%, 06/15/23 |
528 | |||||||||
3,172 | Series 2627, Class GY, 4.500%, 06/15/18 |
3,351 | |||||||||
2,071 | Series 2631, Class LC, 4.500%, 06/15/18 |
2,189 | |||||||||
416 | Series 2631, Class SA, IF, 14.427%, 06/15/33 |
448 | |||||||||
1,373 | Series 2637, Class SA, IF, IO, 5.869%, 06/15/18 |
124 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
491 | Series 2640, Class UG, IO, 5.000%, 01/15/32 |
97 | |||||||||
2,514 | Series 2640, Class UP, IO, 5.000%, 01/15/32 |
312 | |||||||||
298 | Series 2640, Class UR, IO, 4.500%, 08/15/17 |
9 | |||||||||
3,437 | Series 2641, Class WI, IO, 5.000%, 01/15/33 |
402 | |||||||||
171 | Series 2643, Class HI, IO, 4.500%, 12/15/16 |
4 | |||||||||
1,000 | Series 2649, Class IG, IO, 5.000%, 11/15/31 |
148 | |||||||||
1,615 | Series 2650, Class PO, PO, 12/15/32 |
1,425 | |||||||||
2,728 | Series 2650, Class SO, PO, 12/15/32 |
2,409 | |||||||||
475 | Series 2656, Class SH, HB, IF, 20.908%, 02/15/25 |
517 | |||||||||
1,000 | Series 2657, Class MD, 5.000%, 12/15/20 |
1,052 | |||||||||
233 | Series 2663, Class EO, PO, 08/15/33 |
196 | |||||||||
304 | Series 2668, Class S, IF, 11.539%, 09/15/33 |
305 | |||||||||
2,609 | Series 2668, Class SB, IF, 6.995%, 10/15/15 |
2,715 | |||||||||
724 | Series 2671, Class S, IF, 14.336%, 09/15/33 |
778 | |||||||||
1,036 | Series 2672, Class ME, 5.000%, 11/15/22 |
1,106 | |||||||||
430 | Series 2672, Class SJ, IF, 6.951%, 09/15/16 |
446 | |||||||||
6,732 | Series 2675,
Class CK, 4.000%, 09/15/18 (m) |
6,996 | |||||||||
7,000 | Series 2677, Class LE, 4.500%, 09/15/18 |
7,384 | |||||||||
1,235 | Series 2682, Class YS, IF, 8.657%, 10/15/33 |
1,146 | |||||||||
88 | Series 2683, Class VA, 5.500%, 02/15/21 |
90 | |||||||||
11,562 | Series 2684, Class PO, PO, 01/15/33 |
9,114 | |||||||||
1,346 | Series 2684, Class TO, PO, 10/15/33 |
1,032 | |||||||||
1,723 | Series 2686, Class GB, 5.000%, 05/15/20 |
1,790 | |||||||||
1,052 | Series 2686, Class NS, IF, IO, 7.369%, 10/15/21 |
78 | |||||||||
739 | Series 2690, Class SJ, IF, 8.804%, 10/15/33 |
674 | |||||||||
902 | Series 2691, Class WS, IF, 8.654%, 10/15/33 |
819 | |||||||||
1,006 | Series 2692, Class SC, IF, 12.825%, 07/15/33 |
1,107 | |||||||||
224 | Series 2694, Class BA, 4.000%, 06/15/31 |
230 | |||||||||
703 | Series 2695, Class OB, PO, 10/15/33 |
481 | |||||||||
853 | Series 2695, Class SX, VAR, 16.008%, 10/15/33 |
925 | |||||||||
427 | Series 2695, Class WS, VAR, 15.871%, 10/15/33 |
457 | |||||||||
459 | Series 2696, Class SM, IF, 13.739%, 12/15/26 |
486 | |||||||||
1,554 | Series 2702, Class PC, 5.000%, 01/15/23 |
1,658 | |||||||||
500 | Series 2705, Class SC, IF, 8.654%, 11/15/33 |
456 | |||||||||
1,182 | Series 2705, Class SD, IF, 8.703%, 11/15/33 |
1,107 | |||||||||
2,589 | Series 2715, Class OG, 5.000%, 01/15/23 |
2,778 | |||||||||
3,679 | Series 2716, Class UN, 4.500%, 12/15/23 |
3,816 | |||||||||
2,071 | Series 2720, Class PC, 5.000%, 12/15/23 |
2,213 | |||||||||
806 | Series 2725, Class SC, VAR, 8.732%, 11/15/33 |
692 | |||||||||
3,108 | Series 2727, Class BS, IF, 8.729%, 01/15/34 |
2,845 | |||||||||
104 | Series 2727, Class PO, PO, 01/15/34 |
87 | |||||||||
256 | Series 2739, Class S, IF, 11.539%, 01/15/34 |
255 | |||||||||
574 | Series 2744, Class FE, VAR, 02/15/34 |
560 | |||||||||
1,691 | Series 2744, Class PD, 5.500%, 08/15/33 |
1,757 | |||||||||
175 | Series 2744, Class QO, PO, 02/15/34 |
171 | |||||||||
2,071 | Series 2744, Class TU, 5.500%, 05/15/32 |
2,127 | |||||||||
439 | Series 2753, Class S, IF, 11.539%, 02/15/34 |
438 | |||||||||
3,157 | Series 2755, Class PA, PO, 02/15/29 |
3,048 | |||||||||
671 | Series 2755, Class SA, IF, 13.739%, 05/15/30 |
746 | |||||||||
580 | Series 2756, Class NA, 5.000%, 02/15/24 |
619 | |||||||||
1,029 | Series 2760, Class IB, IO, 5.000%, 11/15/27 |
37 | |||||||||
438 | Series 2762, Class LO, PO, 03/15/34 |
359 | |||||||||
685 | Series 2764, Class OE, 4.500%, 03/15/19 |
723 | |||||||||
254 | Series 2769, Class PO, PO, 03/15/34 |
220 | |||||||||
198 | Series 2774, Class QO, PO, 04/15/34 |
160 | |||||||||
906 | Series 2776, Class SK, IF, 8.729%, 04/15/34 |
845 | |||||||||
135 | Series 2777, Class DV, 6.500%, 11/15/17 |
144 | |||||||||
352 | Series 2777, Class SX, IF, 11.862%, 04/15/34 |
346 | |||||||||
133 | Series 2778, Class BS, IF, 15.173%, 04/15/34 |
136 | |||||||||
3,500 | Series 2780, Class BE, 4.500%, 04/15/19 |
3,691 | |||||||||
1,540 | Series 2780, Class JG, 4.500%, 04/15/19 |
1,606 | |||||||||
1,678 | Series 2780, Class YC, 5.000%, 04/15/19 |
1,800 | |||||||||
272 | Series 2801, Class BS, IF, 13.639%, 05/15/34 |
282 | |||||||||
823 | Series 2812, Class AB, 4.500%, 10/15/18 |
861 | |||||||||
697 | Series 2812, Class EL, 7.500%, 02/15/27 |
713 | |||||||||
2,680 | Series 2812, Class NO, PO, 10/15/33 |
1,946 | |||||||||
352 | Series 2827, Class NT, IF, 8.000%, 01/15/22 |
361 | |||||||||
285 | Series 2827, Class SQ, IF, 7.500%, 01/15/19 |
302 | |||||||||
794 | Series 2835, Class QO, PO, 12/15/32 |
669 | |||||||||
130 | Series 2841, Class YA, 5.500%, 07/15/27 |
131 | |||||||||
465 | Series 2863, Class JA, 4.500%, 09/15/19 |
452 | |||||||||
1,370 | Series 2864, Class GB, 4.000%, 09/15/19 |
1,419 | |||||||||
382 | Series 2925, Class MW, VAR, 01/15/35 |
378 | |||||||||
4,321 | Series 2934, Class EC, PO, 02/15/20 |
3,883 | |||||||||
549 | Series 2934, Class EN, PO, 02/15/18 |
528 | |||||||||
4,494 | Series 2934, Class HI, IO, 5.000%, 02/15/20 |
568 | |||||||||
2,955 | Series 2934, Class KI, IO, 5.000%, 02/15/20 |
370 | |||||||||
1,206 | Series 2945, Class SA, IF, 11.879%, 03/15/20 |
1,315 | |||||||||
1,258 | Series 2967, Class JI, IO, 5.000%, 04/15/20 |
139 | |||||||||
518 | Series 2967, Class S, HB, IF, 32.557%, 04/15/25 |
714 | |||||||||
1,031 | Series 2971, Class GB, 5.000%, 11/15/16 |
1,077 | |||||||||
685 | Series 2971, Class GC, 5.000%, 07/15/18 |
728 | |||||||||
180 | Series 2975, Class KO, PO, 05/15/35 |
164 | |||||||||
1,250 | Series 2979, Class BC, 5.000%, 04/15/20 |
1,335 | |||||||||
693 | Series 2989, Class PO, PO, 06/15/23 |
617 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
622 | Series 2990, Class LK, VAR, 0.601%, 10/15/34 |
614 | |||||||||
624 | Series 2990, Class SL, HB, IF, 23.648%, 06/15/34 |
845 | |||||||||
416 | Series 2990, Class WP, IF, 16.433%, 06/15/35 |
487 | |||||||||
232 | Series 2996, Class FD, VAR, 0.481%, 06/15/35 |
229 | |||||||||
1,000 | Series 2999, Class NC, 4.500%, 12/15/18 |
1,050 | |||||||||
192 | Series 3000, Class JF, VAR, 0.631%, 04/15/35 |
191 | |||||||||
1,936 | Series 3047, Class OB, 5.500%, 12/15/33 |
2,072 | |||||||||
2,110 | Series 3049, Class XF, VAR, 0.581%, 05/15/33 |
2,073 | |||||||||
1,856 | Series 3054, Class MI, IO, 5.500%, 05/15/34 |
217 | |||||||||
120 | Series 3063, Class ST, SUB, 11/15/35 |
117 | |||||||||
3,387 | Series 3068, Class QB, 4.500%, 06/15/20 |
3,575 | |||||||||
1,735 | Series 3100, Class MA, VAR, 4.071%, 12/15/35 (f) (i) |
1,588 | |||||||||
1,184 | Series 3117, Class EO, PO, 02/15/36 |
981 | |||||||||
1,456 | Series 3117, Class OK, PO, 02/15/36 |
1,231 | |||||||||
749 | Series 3118, Class DM, 5.000%, 02/15/24 |
748 | |||||||||
370 | Series 3122, Class OH, PO, 03/15/36 |
312 | |||||||||
78 | Series 3122, Class ZB, 6.000%, 03/15/36 |
76 | |||||||||
273 | Series 3134, Class PO, PO, 03/15/36 |
233 | |||||||||
6,336 | Series 3137, Class XP, 6.000%, 04/15/36 |
6,910 | |||||||||
1,265 | Series 3138, Class PO, PO, 04/15/36 |
1,074 | |||||||||
476 | Series 3149, Class SO, PO, 05/15/36 |
415 | |||||||||
1,410 | Series 3152, Class MO, PO, 03/15/36 |
1,136 | |||||||||
10,000 | Series 3155, Class CG, 6.000%, 11/15/24 |
10,673 | |||||||||
405 | Series 3158, Class LX, VAR, 05/15/36 |
388 | |||||||||
1,000 | Series 3162, Class OB, 6.000%, 11/15/30 |
1,066 | |||||||||
8,000 | Series 3166, Class AC, 5.000%, 06/15/21 |
8,660 | |||||||||
386 | Series 3170, Class FM, VAR, 0.581%, 09/15/33 |
380 | |||||||||
1,136 | Series 3171, Class MO, PO, 06/15/36 |
972 | |||||||||
941 | Series 3174, Class PX, 5.000%, 06/15/17 |
1,015 | |||||||||
1,757 | Series 3179, Class OA, PO, 07/15/36 |
1,480 | |||||||||
645 | Series 3184, Class OA, PO, 02/15/33 |
598 | |||||||||
3,240 | Series 3194, Class SA, IF, IO, 6.869%, 07/15/36 |
334 | |||||||||
1,480 | Series 3195, Class PD, 6.500%, 07/15/36 |
1,642 | |||||||||
2,966 | Series 3219, Class DI, IO, 6.000%, 04/15/36 |
420 | |||||||||
2,695 | Series 3232, Class ST, IF, IO, 6.469%, 10/15/36 |
360 | |||||||||
2,835 | Series 3253, Class PO, PO, 12/15/21 |
2,599 | |||||||||
1,468 | Series 3260, Class CS, IF, IO, 5.909%, 01/15/37 |
150 | |||||||||
1,635 | Series 3274, Class JO, PO, 02/15/37 |
1,325 | |||||||||
1,452 | Series 3274, Class MO, PO, 02/15/37 |
1,265 | |||||||||
828 | Series 3275, Class FL, VAR, 0.671%, 02/15/37 |
811 | |||||||||
3,500 | Series 3282, Class YD, 5.500%, 02/15/22 |
3,766 | |||||||||
1,500 | Series 3285, Class PC, 5.500%, 09/15/30 |
1,587 | |||||||||
500 | Series 3288, Class GS, IF, 4.720%, 03/15/37 |
503 | |||||||||
4,188 | Series 3290, Class SB, IF, IO, 6.219%, 03/15/37 |
332 | |||||||||
4,000 | Series 3299, Class KB, 5.000%, 08/15/29 |
4,166 | |||||||||
568 | Series 3299, Class QF, VAR, 04/15/37 |
553 | |||||||||
760 | Series 3303, Class SX, VAR, 04/15/37 |
745 | |||||||||
1,110 | Series 3305, Class MB, VAR, 2.711%, 07/15/34 |
1,065 | |||||||||
3,000 | Series 3334, Class MC, 5.000%, 04/15/33 |
3,173 | |||||||||
6,775 | Series 3342, Class HI, IF, IO, 5.769%, 07/15/37 |
439 | |||||||||
567 | Series 3356, Class PA, 6.000%, 11/15/26 |
583 | |||||||||
695 | Series 3371, Class FA, VAR, 0.831%, 09/15/37 |
689 | |||||||||
2,115 | Series 3373, Class TO, PO, 04/15/37 |
1,841 | |||||||||
3,423 | Series 3387, Class SA, IF, IO, 6.189%, 11/15/37 |
407 | |||||||||
3,853 | Series 3404, Class SC, IF, IO, 5.769%, 01/15/38 |
355 | |||||||||
12,708 | Series 3422, Class AI, SUB, IO, 1.860%, 01/15/38 |
245 | |||||||||
2,219 | Series 3422, Class LI, IO, 5.000%, 02/15/23 |
233 | |||||||||
14,195 | Series 3430, Class AI, IO, 1.417%, 09/15/12 |
288 | |||||||||
9,133 | Series 3437, Class AI, IO, 1.335%, 09/15/11 |
103 | |||||||||
4,090 | Series 3481, Class SJ, IF, IO, 5.619%, 08/15/38 |
325 | |||||||||
7,386 | Series 3505, Class SA, IF, IO, 5.769%, 01/15/39 |
704 | |||||||||
3,792 | Series 3511, Class IO, IO, 5.000%, 12/15/21 |
358 | |||||||||
3,760 | Series 3511, Class SA, IF, IO, 5.769%, 02/15/39 |
359 | |||||||||
3,586 | Series 3515, Class PI, IO, 5.500%, 07/15/37 |
693 | |||||||||
2,713 | Series 3537, Class MI, IO, 5.000%, 06/15/38 |
632 | |||||||||
871 | Series 3546, Class A, VAR, 6.124%, 02/15/39 |
913 | |||||||||
1,600 | Series 3607, Class BO, PO, 04/15/36 |
1,026 | |||||||||
3,849 | Series 3611, Class PO, PO, 07/15/34 |
3,309 | |||||||||
1,443 | Series R012, Class AI, IO, 5.500%, 12/15/20 |
118 | |||||||||
Federal Home Loan Mortgage Corp. STRIPS, |
|||||||||||
4 | Series 1, Class B, IO, 8.000%, 10/15/18 |
1 | |||||||||
2 | Series 16, Class B, IO, 10.000%, 06/01/20 |
| (h) | ||||||||
20 | Series 134, Class B, IO, 9.000%, 04/01/22 |
4 | |||||||||
3,201 | Series 191, Class IO, IO, 8.000%, 01/01/28 |
622 | |||||||||
4,240 | Series 233, Class 11, IO, 5.000%, 09/15/35 |
851 | |||||||||
2,382 | Series 233, Class 12, IO, 5.000%, 09/15/35 |
488 | |||||||||
5,742 | Series 233, Class 13, IO, 5.000%, 09/15/35 |
1,097 | |||||||||
2,100 | Series 243, Class 16, IO, 4.500%, 11/15/20 |
210 | |||||||||
3,359 | Series 243, Class 17, IO, 4.500%, 12/15/20 |
328 | |||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|||||||||||
499 | Series T-41, Class 3A, VAR, 7.500%, 07/25/32 (m) |
562 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
681 | Series T-42, Class A5, 7.500%, 02/25/42 |
767 | |||||||||
112 | Series T-51, Class 1A, VAR, 6.500%, 09/25/43 |
122 | |||||||||
136 | Series T-51, Class 2A, VAR, 7.500%, 08/25/42 |
153 | |||||||||
1,105 | Series T-54, Class 2A, 6.500%, 02/25/43 |
1,194 | |||||||||
1,525 | Series T-54, Class 3A, 7.000%, 02/25/43 |
1,685 | |||||||||
287 | Series T-58, Class APO, PO, 09/25/43 |
246 | |||||||||
289 | Series T-59, Class 1AP, PO, 10/25/43 |
247 | |||||||||
8,138 | Series T-76, Class 2A, VAR, 4.845%, 10/25/37 |
8,326 | |||||||||
Federal National Mortgage Association Grantor Trust, |
|||||||||||
62 | Series 2001-T10, Class PO, PO, 12/25/41 |
52 | |||||||||
1,395 | Series 2001-T7, Class A1, 7.500%, 02/25/41 |
1,535 | |||||||||
435 | Series 2002-T16, Class A2, 7.000%, 07/25/42 |
472 | |||||||||
799 | Series 2002-T19, Class A2, 7.000%, 07/25/42 |
862 | |||||||||
563 | Series 2002-T4, Class A2, 7.000%, 12/25/41 |
613 | |||||||||
1,778 | Series 2004-T1, Class 1A1, 6.000%, 01/25/44 |
1,929 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
93 | Series 1988-7, Class Z, 9.250%, 04/25/18 |
103 | |||||||||
6 | Series 1988-11, Class D, PO, 05/25/18 |
5 | |||||||||
539 | Series 1988-21, Class G, 9.500%, 08/25/18 |
614 | |||||||||
5 | Series 1988-29, Class B, 9.500%, 12/25/18 |
6 | |||||||||
5 | Series 1989-19, Class A, 10.300%, 04/25/19 |
5 | |||||||||
7 | Series 1989-21, Class G, 10.450%, 04/25/19 |
8 | |||||||||
23 | Series 1989-27, Class Y, 6.900%, 06/25/19 |
25 | |||||||||
24 | Series 1989-70, Class G, 8.000%, 10/25/19 |
27 | |||||||||
11 | Series 1989-78, Class H, 9.400%, 11/25/19 |
13 | |||||||||
10 | Series 1989-89, Class H, 9.000%, 11/25/19 |
11 | |||||||||
7 | Series 1990-60, Class K, 5.500%, 06/25/20 |
8 | |||||||||
7 | Series 1990-93, Class G, 5.500%, 08/25/20 |
8 | |||||||||
| (h) | Series 1990-95, Class J, HB, 1,118.040%, 08/25/20 |
6 | ||||||||
50 | Series 1990-102, Class J, 6.500%, 08/25/20 |
55 | |||||||||
6 | Series 1990-134, Class SC, HB, IF, 21.225%, 11/25/20 |
9 | |||||||||
| (h) | Series 1990-140, Class K, HB, 652.145%, 12/25/20 |
7 | ||||||||
| (h) | Series 1991-7, Class K, HB, 908.500%, 02/25/21 |
1 | ||||||||
427 | Series 1991-44, Class G, 8.500%, 05/25/21 |
478 | |||||||||
| (h) | Series 1991-60, Class PM, HB, 1,009.000%, 06/25/21 |
2 | ||||||||
3 | Series 1992-38, Class Z, 7.500%, 02/25/22 |
3 | |||||||||
44 | Series 1992-73, Class H, 7.500%, 05/25/22 |
45 | |||||||||
18 | Series 1992-101, Class J, 7.500%, 06/25/22 |
19 | |||||||||
361 | Series 1992-188, Class PZ, 7.500%, 10/25/22 |
397 | |||||||||
386 | Series 1993-25, Class J, 7.500%, 03/25/23 |
425 | |||||||||
173 | Series 1993-27, Class S, IF, 9.376%, 02/25/23 |
186 | |||||||||
81 | Series 1993-31, Class K, 7.500%, 03/25/23 |
89 | |||||||||
760 | Series 1993-54, Class Z, 7.000%, 04/25/23 |
829 | |||||||||
41 | Series 1993-62, Class SA, IF, 16.268%, 04/25/23 |
50 | |||||||||
38 | Series 1993-97, Class FA, VAR, 1.500%, 05/25/23 |
38 | |||||||||
14 | Series 1993-108, Class D, PO, 02/25/23 |
13 | |||||||||
94 | Series 1993-162, Class F, VAR, 1.200%, 08/25/23 |
94 | |||||||||
15 | Series 1993-165, Class SD, IF, 10.978%, 09/25/23 |
18 | |||||||||
150 | Series 1993-167, Class GA, 7.000%, 09/25/23 |
156 | |||||||||
147 | Series 1993-179, Class SB, HB, IF, 21.752%, 10/25/23 |
202 | |||||||||
236 | Series 1993-220, Class SG, IF, 15.500%, 11/25/13 |
277 | |||||||||
56 | Series 1993-225, Class SG, HB, IF, 26.464%, 12/25/13 |
72 | |||||||||
29 | Series 1993-228, Class G, PO, 09/25/23 |
25 | |||||||||
20 | Series 1993-230, Class FA, VAR, 0.850%, 12/25/23 |
20 | |||||||||
493 | Series 1993-250, Class Z, 7.000%, 12/25/23 |
532 | |||||||||
186 | Series 1993-257, Class C, PO, 06/25/23 |
189 | |||||||||
1,952 | Series 1994-26, Class J, PO, 01/25/24 |
1,667 | |||||||||
231 | Series 1994-37, Class L, 6.500%, 03/25/24 |
251 | |||||||||
58 | Series 1995-2, Class Z, 8.500%, 01/25/25 |
65 | |||||||||
486 | Series 1996-14, Class SE, IF, IO, 7.090%, 08/25/23 |
76 | |||||||||
22 | Series 1996-59, Class J, 6.500%, 08/25/22 |
24 | |||||||||
156 | Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27 |
8 | |||||||||
40 | Series 1997-24, Class Z, 8.000%, 04/18/27 |
45 | |||||||||
39 | Series 1997-27, Class J, 7.500%, 04/18/27 |
42 | |||||||||
695 | Series 1997-46, Class Z, 7.500%, 06/17/27 |
788 | |||||||||
37 | Series 1997-81, Class PI, IO, 7.000%, 12/18/27 |
8 | |||||||||
1,884 | Series 1998-30, Class ZA, 6.500%, 05/20/28 |
2,042 | |||||||||
113 | Series 1998-36, Class J, 6.000%, 07/18/28 |
121 | |||||||||
835 | Series 1998-36, Class ZB, 6.000%, 07/18/28 |
913 | |||||||||
305 | Series 1998-43, Class SA, IF, IO, 14.973%, 04/25/23 |
94 | |||||||||
239 | Series 1999-57, Class Z, 7.500%, 12/25/19 |
270 | |||||||||
246 | Series 1999-62, Class PB, 7.500%, 12/18/29 |
271 | |||||||||
38 | Series 2000-52, Class IO, IO, 8.500%, 01/25/31 |
8 | |||||||||
1,629 | Series 2001-4, Class ZA, 6.500%, 03/25/31 |
1,799 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
195 | Series 2001-5, Class OW, 6.000%, 03/25/16 |
206 | |||||||||
233 | Series 2001-7, Class PF, 7.000%, 03/25/31 |
259 | |||||||||
733 | Series 2001-31, Class VD, 6.000%, 05/25/31 |
753 | |||||||||
427 | Series 2001-33, Class ID, IO, 6.000%, 07/25/31 |
75 | |||||||||
406 | Series 2001-36, Class DE, 7.000%, 08/25/31 |
451 | |||||||||
952 | Series 2001-38, Class FB, VAR, 0.729%, 08/25/31 |
943 | |||||||||
231 | Series 2001-44, Class PD, 7.000%, 09/25/31 |
257 | |||||||||
422 | Series 2001-44, Class PU, 7.000%, 09/25/31 |
469 | |||||||||
762 | Series 2001-49, Class LZ, 8.500%, 07/25/31 |
852 | |||||||||
324 | Series 2001-52, Class XN, 6.500%, 11/25/15 |
353 | |||||||||
1,150 | Series 2001-61, Class Z, 7.000%, 11/25/31 |
1,279 | |||||||||
557 | Series 2001-71, Class QE, 6.000%, 12/25/16 |
601 | |||||||||
305 | Series 2001-72, Class SX, IF, 16.933%, 12/25/31 |
345 | |||||||||
290 | Series 2001-74, Class MB, 6.000%, 12/25/16 |
315 | |||||||||
280 | Series 2002-1, Class HC, 6.500%, 02/25/22 |
309 | |||||||||
142 | Series 2002-1, Class SA, HB, IF, 24.444%, 02/25/32 |
180 | |||||||||
232 | Series 2002-1, Class UD, HB, IF, 23.625%, 12/25/23 |
306 | |||||||||
605 | Series 2002-3, Class PG, 5.500%, 02/25/17 |
651 | |||||||||
1,002 | Series 2002-7, Class FD, VAR, 0.929%, 04/25/29 |
1,003 | |||||||||
230 | Series 2002-9, Class ST, IF, 18.771%, 03/25/17 |
270 | |||||||||
1,946 | Series 2002-11, Class QG, 5.500%, 03/25/17 |
2,078 | |||||||||
1,326 | Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32 |
59 | |||||||||
88 | Series 2002-13, Class ST, IF, 10.000%, 03/25/32 |
106 | |||||||||
3,005 | Series 2002-18, Class PC, 5.500%, 04/25/17 |
3,176 | |||||||||
561 | Series 2002-19, Class PE, 6.000%, 04/25/17 |
605 | |||||||||
183 | Series 2002-37, Class Z, 6.500%, 06/25/32 |
201 | |||||||||
3,000 | Series 2002-42, Class C, 6.000%, 07/25/17 |
3,283 | |||||||||
1,296 | Series 2002-55, Class QE, 5.500%, 09/25/17 |
1,394 | |||||||||
3,777 | Series
2002-56, Class UC, 5.500%, 09/25/17 (m) |
4,045 | |||||||||
1,024 | Series 2002-62, Class ZE, 5.500%, 11/25/17 |
1,091 | |||||||||
756 | Series 2002-63, Class KC, 5.000%, 10/25/17 |
802 | |||||||||
719 | Series 2002-63, Class LB, 5.500%, 10/25/17 |
770 | |||||||||
2,500 | Series 2002-71, Class KM, 5.000%, 11/25/17 |
2,659 | |||||||||
209 | Series 2002-74, Class LD, 5.000%, 01/25/16 |
209 | |||||||||
644 | Series 2002-77, Class S, IF, 14.064%, 12/25/32 |
687 | |||||||||
2,616 | Series 2002-81, Class JO, PO, 04/25/32 |
2,392 | |||||||||
46 | Series 2002-91, Class UH, IO, 5.500%, 06/25/22 |
3 | |||||||||
1,000 | Series 2002-95, Class XD, 5.000%, 01/25/18 |
1,064 | |||||||||
730 | Series 2003-7, Class A1, 6.500%, 12/25/42 |
789 | |||||||||
34 | Series 2003-8, Class SB, IF, IO, 7.421%, 03/25/16 |
| (h) | ||||||||
3,474 | Series 2003-14, Class TI, IO, 5.000%, 03/25/33 |
604 | |||||||||
1,036 | Series 2003-22, Class UD, 4.000%, 04/25/33 |
1,019 | |||||||||
1,399 | Series 2003-23, Class CS, IF, IO, 7.871%, 05/25/31 |
148 | |||||||||
3,421 | Series 2003-26, Class XS, IF, IO, 6.821%, 03/25/23 |
356 | |||||||||
1,036 | Series 2003-27, Class DW, 4.500%, 04/25/17 |
1,080 | |||||||||
5,218 | Series 2003-33, Class IA, IO, 6.500%, 05/25/33 |
963 | |||||||||
281 | Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33 |
57 | |||||||||
2,408 | Series 2003-41, Class PE, 5.500%, 05/25/23 |
2,624 | |||||||||
4,773 | Series 2003-44, Class IU, IO, 7.000%, 06/25/33 |
786 | |||||||||
4,392 | Series 2003-45, Class AI, IO, 5.500%, 05/25/33 |
272 | |||||||||
185 | Series 2003-52, Class SX, HB, IF, 22.264%, 10/25/31 |
230 | |||||||||
1,000 | Series 2003-55, Class CD, 5.000%, 06/25/23 |
1,062 | |||||||||
439 | Series 2003-60, Class NJ, 5.000%, 07/25/21 |
453 | |||||||||
75 | Series 2003-65, Class CI, IO, 4.500%, 03/25/15 |
| (h) | ||||||||
227 | Series 2003-67, Class VQ, 7.000%, 01/25/19 |
237 | |||||||||
866 | Series 2003-68, Class QP, 3.000%, 07/25/22 |
887 | |||||||||
3,392 | Series 2003-71, Class IM, IO, 5.500%, 12/25/31 |
389 | |||||||||
2,618 | Series 2003-72, Class IE, IO, 5.500%, 08/25/33 |
374 | |||||||||
312 | Series 2003-73, Class GA, 3.500%, 05/25/31 |
320 | |||||||||
1,076 | Series 2003-73, Class HF, VAR, 0.679%, 01/25/31 |
1,072 | |||||||||
600 | Series 2003-73, Class PB, 4.500%, 08/25/18 |
619 | |||||||||
210 | Series 2003-74, Class SH, IF, 9.758%, 08/25/33 |
196 | |||||||||
1,958 | Series 2003-76, Class SH, IF, 13.743%, 09/25/31 |
2,199 | |||||||||
123 | Series 2003-79, Class NM, 4.000%, 05/25/22 |
127 | |||||||||
4,154 | Series 2003-80, Class SY, IF, IO, 7.421%, 06/25/23 |
459 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,036 | Series 2003-81, Class LC, 4.500%, 09/25/18 |
1,095 | |||||||||
3,001 | Series 2003-83, Class PG, 5.000%, 06/25/23 |
3,190 | |||||||||
518 | Series 2003-86, Class PX, 4.500%, 02/25/17 |
542 | |||||||||
446 | Series 2003-91, Class SD, IF, 12.119%, 09/25/33 |
451 | |||||||||
245 | Series 2003-92, Class SH, IF, 9.220%, 09/25/18 |
248 | |||||||||
288 | Series 2003-106, Class PO, PO, 08/25/17 |
267 | |||||||||
1,295 | Series 2003-106, Class US, IF, 8.732%, 11/25/23 |
1,224 | |||||||||
3,985 | Series 2003-106, Class WE, 4.500%, 11/25/22 |
4,190 | |||||||||
285 | Series 2003-113, Class PC, 4.000%, 03/25/15 |
288 | |||||||||
2,328 | Series 2003-116, Class SB, IF, IO, 7.371%, 11/25/33 |
331 | |||||||||
2,739 | Series 2003-117, Class JB, 3.500%, 06/25/33 |
2,758 | |||||||||
3,000 | Series 2003-120, Class BL, 3.500%, 12/25/18 |
3,028 | |||||||||
777 | Series 2003-122, Class TE, 5.000%, 12/25/22 |
832 | |||||||||
3,479 | Series 2003-123, Class YS, IF, IO, 6.871%, 03/25/24 |
129 | |||||||||
799 | Series 2003-128, Class KE, 4.500%, 01/25/14 |
837 | |||||||||
824 | Series 2003-130, Class SX, IF, 11.177%, 01/25/34 |
861 | |||||||||
516 | Series 2003-131, Class SK, IF, 15.743%, 01/25/34 |
600 | |||||||||
576 | Series 2003-132, Class OA, PO, 08/25/33 |
498 | |||||||||
1,464 | Series 2003-132, Class PI, IO, 5.500%, 08/25/33 |
216 | |||||||||
265 | Series 2004-1, Class DL, 4.500%, 02/25/18 |
267 | |||||||||
1,850 | Series 2004-4, Class QI, IF, IO, 6.871%, 06/25/33 |
211 | |||||||||
463 | Series 2004-4, Class QM, IF, 13.743%, 06/25/33 |
521 | |||||||||
1,124 | Series 2004-10, Class SC, HB, IF, 27.685%, 02/25/34 |
1,475 | |||||||||
1,162 | Series 2004-14, Class SD, IF, 8.732%, 03/25/34 |
1,056 | |||||||||
1,430 | Series 2004-21, Class CO, PO, 04/25/34 |
894 | |||||||||
743 | Series 2004-22, Class A, 4.000%, 04/25/19 |
760 | |||||||||
1,036 | Series 2004-25, Class PB, 5.500%, 05/25/32 |
1,108 | |||||||||
777 | Series 2004-25, Class PC, 5.500%, 01/25/34 |
837 | |||||||||
1,495 | Series 2004-25, Class SA, IF, 18.896%, 04/25/34 |
1,740 | |||||||||
1,370 | Series 2004-27, Class HB, 4.000%, 05/25/19 |
1,399 | |||||||||
777 | Series 2004-36, Class PB, 5.500%, 05/25/32 |
837 | |||||||||
1,069 | Series 2004-36, Class SA, IF, 18.896%, 05/25/34 |
1,240 | |||||||||
351 | Series 2004-36, Class SN, IF, 13.743%, 07/25/33 |
397 | |||||||||
3,057 | Series 2004-46, Class HS, IF, IO, 5.771%, 05/25/30 |
197 | |||||||||
619 | Series 2004-46, Class QB, HB, IF, 23.085%, 05/25/34 |
740 | |||||||||
477 | Series 2004-46, Class SK, IF, 15.871%, 05/25/34 |
527 | |||||||||
288 | Series 2004-51, Class SY, IF, 13.783%, 07/25/34 |
322 | |||||||||
484 | Series 2004-53, Class NB, 5.500%, 02/25/21 |
498 | |||||||||
1,554 | Series 2004-53, Class NC, 5.500%, 07/25/24 |
1,664 | |||||||||
1,362 | Series 2004-59, Class BG, PO, 12/25/32 |
1,137 | |||||||||
792 | Series 2004-61, Class CO, PO, 10/25/31 |
752 | |||||||||
287 | Series 2004-61, Class SK, IF, 8.500%, 11/25/32 |
320 | |||||||||
792 | Series 2004-92, Class JO, PO, 12/25/34 |
786 | |||||||||
2,667 | Series 2005-7, Class LO, PO, 02/25/35 |
1,985 | |||||||||
739 | Series 2005-13, Class FL, VAR, 0.629%, 03/25/35 |
719 | |||||||||
605 | Series 2005-14, Class BA, 4.500%, 04/25/19 |
632 | |||||||||
535 | Series 2005-15, Class MO, PO, 03/25/35 |
421 | |||||||||
310 | Series 2005-47, Class AN, 5.000%, 12/25/16 |
318 | |||||||||
789 | Series 2005-52, Class PA, 6.500%, 06/25/35 |
858 | |||||||||
3,239 | Series 2005-56, Class S, IF, IO, 6.481%, 07/25/35 |
412 | |||||||||
652 | Series 2005-58, Class PO, PO, 07/25/35 |
540 | |||||||||
696 | Series 2005-66, Class SG, IF, 16.803%, 07/25/35 |
820 | |||||||||
5,144 | Series 2005-66, Class SV, IF, IO, 6.521%, 07/25/35 |
587 | |||||||||
1,027 | Series 2005-68, Class BC, 5.250%, 06/25/35 |
1,097 | |||||||||
2,708 | Series 2005-68, Class PG, 5.500%, 08/25/35 |
2,920 | |||||||||
673 | Series 2005-70, Class KI, IO, 5.500%, 08/25/35 |
48 | |||||||||
604 | Series 2005-73, Class PS, IF, 16.128%, 08/25/35 |
710 | |||||||||
2,394 | Series 2005-84, Class XM, 5.750%, 10/25/35 |
2,604 | |||||||||
1,544 | Series 2005-88, Class QO, PO, 11/25/33 |
1,253 | |||||||||
1,086 | Series 2005-90, Class AO, PO, 10/25/35 |
953 | |||||||||
2,763 | Series 2005-90, Class ES, IF, 16.303%, 10/25/35 |
3,212 | |||||||||
2,164 | Series 2005-90, Class PO, PO, 09/25/35 |
1,918 | |||||||||
592 | Series 2005-96, Class BP, 5.900%, 02/25/15 |
608 | |||||||||
762 | Series 2005-103, Class SC, IF, 10.848%, 07/25/35 |
684 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,842 | Series 2005-106, Class US, HB, IF, 23.728%, 11/25/35 |
2,632 | |||||||||
2,378 | Series 2005-109, Class PB, 6.000%, 01/25/34 |
2,534 | |||||||||
3,523 | Series 2005-110, Class GJ, 5.500%, 11/25/30 |
3,737 | |||||||||
2,739 | Series 2005-110, Class GK, 5.500%, 08/25/34 |
2,933 | |||||||||
2,397 | Series 2005-110, Class MN, 5.500%, 06/25/35 |
2,564 | |||||||||
1,557 | Series 2005-116, Class PB, 6.000%, 04/25/34 |
1,686 | |||||||||
4,500 | Series 2005-118, Class ME, 6.000%, 01/25/32 |
4,802 | |||||||||
6,000 | Series 2005-118, Class PN, 6.000%, 01/25/32 |
6,511 | |||||||||
179 | Series 2006-12, Class PA, 5.500%, 03/25/25 |
182 | |||||||||
1,104 | Series 2006-15, Class OT, PO, 01/25/36 |
998 | |||||||||
941 | Series 2006-23, Class KO, PO, 04/25/36 |
789 | |||||||||
2,717 | Series 2006-27, Class OH, PO, 04/25/36 |
2,297 | |||||||||
2,054 | Series 2006-39, Class WC, 5.500%, 01/25/36 |
2,195 | |||||||||
1,128 | Series 2006-42, Class CF, VAR, 0.679%, 06/25/36 |
1,115 | |||||||||
3,728 | Series 2006-43, Class VB, 6.500%, 10/25/17 |
4,066 | |||||||||
1,260 | Series 2006-44, Class FP, VAR, 0.629%, 06/25/36 |
1,243 | |||||||||
2,095 | Series 2006-44, Class GO, PO, 06/25/36 |
1,699 | |||||||||
6,130 | Series 2006-44, Class P, PO, 12/25/33 |
4,986 | |||||||||
1,712 | Series 2006-46, Class UC, 5.500%, 12/25/35 |
1,830 | |||||||||
1,276 | Series 2006-50, Class JO, PO, 06/25/36 |
1,041 | |||||||||
2,152 | Series 2006-50, Class PS, PO, 06/25/36 |
1,762 | |||||||||
4,914 | Series 2006-53, Class US, IF, IO, 6.351%, 06/25/36 |
617 | |||||||||
2,971 | Series 2006-56, Class FT, VAR, 0.979%, 07/25/36 |
3,017 | |||||||||
978 | Series 2006-58, Class AP, PO, 07/25/36 |
810 | |||||||||
1,280 | Series 2006-58, Class FL, VAR, 0.689%, 07/25/36 |
1,267 | |||||||||
2,170 | Series 2006-58, Class PO, PO, 07/25/36 |
1,766 | |||||||||
3,410 | Series 2006-59, Class QO, PO, 01/25/33 |
2,884 | |||||||||
1,268 | Series 2006-63, Class ZH, 6.500%, 07/25/36 |
1,398 | |||||||||
866 | Series 2006-65, Class QO, PO, 07/25/36 |
714 | |||||||||
1,549 | Series 2006-72, Class GO, PO, 08/25/36 |
1,268 | |||||||||
1,088 | Series 2006-72, Class HO, PO, 08/25/26 |
960 | |||||||||
1,418 | Series 2006-72, Class TO, PO, 08/25/36 |
1,152 | |||||||||
6,848 | Series 2006-77, Class PC, 6.500%, 08/25/36 |
7,608 | |||||||||
1,676 | Series 2006-78, Class BZ, 6.500%, 08/25/36 |
1,845 | |||||||||
1,406 | Series 2006-79, Class DO, PO, 08/25/36 |
1,158 | |||||||||
1,261 | Series 2006-90, Class AO, PO, 09/25/36 |
1,040 | |||||||||
410 | Series 2006-94, Class GK, HB, IF, 32.106%, 10/25/26 |
611 | |||||||||
1,677 | Series 2006-110, Class PO, PO, 11/25/36 |
1,367 | |||||||||
749 | Series 2006-111, Class EO, PO, 11/25/36 |
651 | |||||||||
1,545 | Series 2006-115, Class OK, PO, 12/25/36 |
1,244 | |||||||||
1,647 | Series 2006-118, Class A2, VAR, 0.289%, 12/25/36 |
1,608 | |||||||||
1,710 | Series 2006-119, Class PO, PO, 12/25/36 |
1,410 | |||||||||
2,664 | Series 2006-120, Class IO, IO, 6.500%, 12/25/36 |
440 | |||||||||
447 | Series 2006-123, Class FD, VAR, 0.729%, 01/25/37 |
442 | |||||||||
2,636 | Series 2006-126, Class AO, PO, 01/25/37 |
2,339 | |||||||||
3,767 | Series 2006-130, Class GI, IO, 6.500%, 07/25/32 |
612 | |||||||||
290 | Series 2007-1, Class SD, HB, IF, 37.627%, 02/25/37 |
419 | |||||||||
4,038 | Series 2007-7, Class SG, IF, IO, 6.271%, 08/25/36 |
332 | |||||||||
9,772 | Series 2007-14, Class ES, IF, IO, 6.211%, 03/25/37 |
926 | |||||||||
1,541 | Series 2007-14, Class OP, PO, 03/25/37 |
1,238 | |||||||||
665 | Series 2007-15, Class NO, PO, 03/25/22 |
596 | |||||||||
4,206 | Series 2007-16, Class FC, VAR, 0.979%, 03/25/37 |
3,969 | |||||||||
5,492 | Series 2007-22, Class SC, IF, IO, 5.851%, 03/25/37 |
543 | |||||||||
379 | Series 2007-39, Class EF, VAR, 0.479%, 05/25/37 |
374 | |||||||||
1,040 | Series 2007-43, Class FL, VAR, 0.529%, 05/25/37 |
1,024 | |||||||||
1,500 | Series 2007-47, Class PC, 5.000%, 07/25/33 |
1,587 | |||||||||
4,102 | Series 2007-54, Class FA, VAR, 0.629%, 06/25/37 |
4,068 | |||||||||
6,934 | Series 2007-54, Class WI, IF, IO, 5.871%, 06/25/37 |
709 | |||||||||
3,585 | Series 2007-60, Class AX, IF, IO, 6.921%, 07/25/37 |
546 | |||||||||
2,500 | Series 2007-61, Class PC, 5.500%, 07/25/34 |
2,672 | |||||||||
4,446 | Series 2007-64, Class FB, VAR, 0.599%, 07/25/37 |
4,334 | |||||||||
3,374 | Series 2007-75, Class EO, PO, 01/25/36 |
2,889 | |||||||||
4,033 | Series 2007-77, Class FG, VAR, 0.729%, 03/25/37 |
4,002 | |||||||||
2,000 | Series 2007-79, Class PB, 5.000%, 04/25/29 |
2,124 | |||||||||
433 | Series 2007-79, Class SB, HB, IF, 23.178%, 08/25/37 |
542 | |||||||||
1,366 | Series 2007-88, Class VI, IF, IO, 6.311%, 09/25/37 |
184 | |||||||||
4,292 | Series 2007-91, Class ES, IF, IO, 6.231%, 10/25/37 |
363 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,167 | Series 2007-97, Class MS, IF, 14.247%, 12/25/31 |
1,236 | |||||||||
816 | Series 2007-98, Class VA, 6.000%, 11/25/17 |
891 | |||||||||
8,411 | Series 2007-100, Class SM, IF, I0, 6.221%, 10/25/37 |
745 | |||||||||
1,617 | Series 2007-106, Class A7, VAR, 6.137%, 10/25/37 |
1,691 | |||||||||
7,000 | Series 2007-112, Class GB, 5.500%, 12/25/22 |
7,580 | |||||||||
9,001 | Series 2007-112, Class SA, IF, I0, 6.221%, 12/25/37 |
1,097 | |||||||||
14,000 | Series 2007-114, Class A6, VAR, 0.431%, 10/27/37 |
13,825 | |||||||||
16,140 | Series 2007-116, Class HI, IO, VAR, 6.586%, 01/25/38 |
1,021 | |||||||||
728 | Series 2007-118, Class IO, IO, 6.000%, 06/25/36 |
68 | |||||||||
7,444 | Series 2008-1, Class BI, IF, IO, 5.681%, 02/25/38 |
635 | |||||||||
2,822 | Series 2008-10, Class XI, IF, IO, 6.001%, 03/25/38 |
377 | |||||||||
2,016 | Series 2008-12, Class IV, IO, 6.500%, 04/25/31 |
244 | |||||||||
10,922 | Series 2008-16, Class IS, IF, IO, 5.971%, 03/25/38 |
1,288 | |||||||||
3,740 | Series 2008-19, Class IC, IO, 5.000%, 03/25/23 |
361 | |||||||||
4,298 | Series 2008-20, Class SA, IF, I0, 6.761%, 03/25/38 |
660 | |||||||||
1,836 | Series 2008-27, Class SN, IF, IO, 6.671%, 04/25/38 |
173 | |||||||||
2,878 | Series 2008-32, Class SA, IF, IO, 6.621%, 04/25/38 |
256 | |||||||||
19,858 | Series 2008-35, Class AI, IO, VAR, 0.827%, 01/25/12 |
211 | |||||||||
11,145 | Series 2008-35, Class IM, IO, VAR, 0.642%, 10/25/16 |
157 | |||||||||
6,067 | Series 2008-36, Class IA, IO, 4.500%, 10/25/22 |
523 | |||||||||
743 | Series 2008-44, Class PO, PO, 05/25/38 |
649 | |||||||||
5,650 | Series 2008-47, Class SI, IF, IO, 6.271%, 06/25/23 |
558 | |||||||||
6,000 | Series 2008-51, Class BC, 4.500%, 06/25/23 |
6,305 | |||||||||
4,262 | Series 2008-53, Class CI, IF, IO, 6.971%, 07/25/38 |
494 | |||||||||
691 | Series 2008-59, Class IG, IO, 5.500%, 11/25/34 |
59 | |||||||||
5,399 | Series 2008-80, Class SA, IF, IO, 5.621%, 09/25/38 |
409 | |||||||||
2,346 | Series 2008-81, Class SB, IF, IO, 5.621%, 09/25/38 |
183 | |||||||||
3,565 | Series 2009-6, Class GS, IF, IO, 6.321%, 02/25/39 |
341 | |||||||||
5,274 | Series 2009-9, Class IO, IO, 5.000%, 02/25/24 |
538 | |||||||||
3,972 | Series 2009-12, Class IO, IO, 4.500%, 03/25/24 |
373 | |||||||||
2,338 | Series 2009-12, Class NI, IO, 5.500%, 08/25/22 |
174 | |||||||||
3,584 | Series 2009-14, Class YI, IO, 5.000%, 07/25/22 |
257 | |||||||||
2,500 | Series 2009-19, Class IP, IO, 5.500%, 10/25/36 |
635 | |||||||||
4,943 | Series 2009-52, Class PI, IO, 5.000%, 07/25/39 |
980 | |||||||||
8,176 | Series 2009-84, Class WS, IF, IO, 5.671%, 10/25/39 |
666 | |||||||||
7,722 | Series 2009-99, Class SC, IF, IO, 5.951%, 12/25/39 |
424 | |||||||||
1,969 | Series 2009-99, Class WA, VAR, 6.289%, 12/25/39 |
2,158 | |||||||||
14,000 | Series 2009-103, Class MB, 4.000%, 12/25/39 |
14,658 | |||||||||
7,442 | Series 2010-1, Class WA, VAR, 6.135%, 02/25/40 |
8,121 | |||||||||
59 | Series G92-4, Class F, VAR, 3.180%, 12/25/21 |
59 | |||||||||
138 | Series G92-7, Class JQ, 8.500%, 01/25/22 |
155 | |||||||||
28 | Series G92-12, Class B, 7.700%, 02/25/22 |
31 | |||||||||
41 | Series G92-14, Class Z, 7.000%, 02/25/22 |
45 | |||||||||
47 | Series G92-15, Class Z, 7.000%, 01/25/22 |
48 | |||||||||
| (h) | Series G92-27, Class SQ, HB, IF, 1,737.650%, 05/25/22 |
22 | ||||||||
27 | Series G92-42, Class Z, 7.000%, 07/25/22 |
30 | |||||||||
904 | Series G92-44, Class ZQ, 8.000%, 07/25/22 |
1,005 | |||||||||
149 | Series G92-54, Class ZQ, 7.500%, 09/25/22 |
166 | |||||||||
269 | Series G92-61, Class Z, 7.000%, 10/25/22 |
296 | |||||||||
28 | Series G92-62, Class B, PO, 10/25/22 |
24 | |||||||||
174 | Series G93-1, Class KA, 7.900%, 01/25/23 |
197 | |||||||||
116 | Series G93-17, Class SI, IF, 6.000%, 04/25/23 |
122 | |||||||||
959 | Series G94-7, Class PJ, 7.500%, 05/17/24 |
1,090 | |||||||||
149 | Series G97-2, Class ZA, 8.500%, 02/17/27 |
166 | |||||||||
Federal National Mortgage Association STRIPS, |
|||||||||||
17 | Series 23, Class 2, IO, 10.000%, 09/01/17 |
3 | |||||||||
11 | Series 59, Class 2, IO, 9.500%, 07/01/17 |
2 | |||||||||
617 | Series 213, Class 2, IO, 8.000%, 03/01/23 |
141 | |||||||||
21 | Series 265, Class 2, 9.000%, 03/01/24 |
26 | |||||||||
45 | Series 285, Class 1, PO, 02/01/27 |
39 | |||||||||
1,188 | Series 331, Class 13, IO, 7.000%, 02/01/33 |
209 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
3,409 | Series 339, Class 18, IO, 4.500%, 07/01/18 |
306 | |||||||||
3,511 | Series 339, Class 21, IO, 4.500%, 07/01/18 |
321 | |||||||||
2,844 | Series 339, Class 28, IO, 5.500%, 07/01/18 |
292 | |||||||||
6,192 | Series 345, Class 24, IO, VAR, 5.000%, 08/01/22 |
646 | |||||||||
1,424 | Series 345, Class 6, IO, VAR, 5.000%, 12/01/33 |
223 | |||||||||
2,108 | Series 351, Class 7, IO, VAR, 5.000%, 04/01/34 |
324 | |||||||||
2,991 | Series 356, Class 3, IO, 5.000%, 01/01/35 |
570 | |||||||||
4,949 | Series 356, Class 39, IO, 5.000%, 01/01/20 |
532 | |||||||||
4,702 | Series 365, Class 8, IO, 5.500%, 05/01/36 |
790 | |||||||||
935 | Series 368, Class 3, IO, 4.500%, 11/01/20 |
93 | |||||||||
1,892 | Series 374, Class 5, IO, 5.500%, 08/01/36 |
315 | |||||||||
6,357 | Series 383, Class 32, IO, 6.000%, 01/01/38 |
1,096 | |||||||||
1,056 | Series 393, Class 6, IO, 5.500%, 04/25/37 |
173 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
11,277 | Series 2002-W10, Class IO, IO, VAR, 0.983%, 08/25/42 |
300 | |||||||||
55 | Series 2002-W5, Class A10, IF, IO, 7.871%, 11/25/30 |
1 | |||||||||
676 | Series 2003-W1, Class 1A1, 6.500%, 12/25/42 |
730 | |||||||||
380 | Series 2003-W1, Class 2A, 7.500%, 12/25/42 |
422 | |||||||||
747 | Series 2003-W2, Class 1A1, 6.500%, 07/25/42 |
807 | |||||||||
135 | Series 2003-W4, Class 2A, 6.500%, 10/25/42 |
146 | |||||||||
925 | Series 2003-W8, Class 2A, 7.000%, 10/25/42 |
999 | |||||||||
1,149 | Series 2004-W1, Class 2A2, 7.000%, 12/25/33 |
1,252 | |||||||||
1,590 | Series 2004-W2, Class 2A2, 7.000%, 02/25/44 |
1,716 | |||||||||
1,632 | Series 2005-W3, Class 2AF, VAR, 0.449%, 03/25/45 |
1,551 | |||||||||
1,338 | Series 2005-W4, Class 1A1, 6.000%, 08/25/35 |
1,440 | |||||||||
2,105 | Series 2006-W2, Class 1AF1, VAR, 0.449%, 02/25/36 |
2,035 | |||||||||
1,429 | Series 2007-W1, Class 1AF1, VAR, 0.489%, 11/25/46 |
1,436 | |||||||||
3,951 | Series 2007-W3, Class 1A3, 6.750%, 04/25/37 |
4,188 | |||||||||
602 | Series 2007-W7, Class 1A4, HB, IF, 37.807%, 07/25/37 |
1,005 | |||||||||
Government National Mortgage Association, |
|||||||||||
122 | Series 1994-4, Class KQ, 7.988%, 07/16/24 |
135 | |||||||||
1,888 | Series 1994-7, Class PQ, 6.500%, 10/16/24 |
2,060 | |||||||||
255 | Series 1996-16, Class E, 7.500%, 08/16/26 (m) |
268 | |||||||||
51 | Series 1997-2, Class E, 7.500%, 02/20/27 |
58 | |||||||||
58 | Series 1997-11, Class D, 7.500%, 07/20/27 |
64 | |||||||||
105 | Series 1998-26, Class K, 7.500%, 09/17/25 |
114 | |||||||||
606 | Series 1999-4, Class ZB, 6.000%, 02/20/29 |
659 | |||||||||
188 | Series 1999-41, Class Z, 8.000%, 11/16/29 |
211 | |||||||||
23 | Series 1999-43, Class TA, IF, 9.350%, 11/16/29 |
27 | |||||||||
105 | Series 1999-44, Class PC, 7.500%, 12/20/29 |
120 | |||||||||
501 | Series 1999-44, Class ZG, 8.000%, 12/20/29 |
552 | |||||||||
297 | Series 2000-6, Class Z, 7.500%, 02/20/30 |
324 | |||||||||
462 | Series 2000-7, Class ST, HB, IF, 38.356%, 01/16/30 |
822 | |||||||||
208 | Series 2000-9, Class Z, 8.000%, 06/20/30 |
230 | |||||||||
1,200 | Series 2000-9, Class ZJ, 8.500%, 02/16/30 |
1,332 | |||||||||
861 | Series 2000-10, Class ZP, 7.500%, 02/16/30 |
947 | |||||||||
462 | Series 2000-12, Class ST, HB, IF, 38.356%, 02/16/30 |
821 | |||||||||
119 | Series 2000-16, Class ZN, 7.500%, 02/16/30 |
131 | |||||||||
1,071 | Series 2000-21, Class Z, 9.000%, 03/16/30 |
1,223 | |||||||||
171 | Series 2000-26, Class Z, 7.750%, 09/20/30 |
188 | |||||||||
63 | Series 2000-36, Class HC, 7.330%, 11/20/30 |
67 | |||||||||
36 | Series 2000-36, Class IK, IO, 9.000%, 11/16/30 |
8 | |||||||||
188 | Series 2000-38, Class AH, 7.150%, 12/20/30 |
211 | |||||||||
2,000 | Series 2001-21, Class PE, 6.500%, 05/16/31 |
2,157 | |||||||||
346 | Series 2001-31, Class SJ, 27.199%, 02/20/31 |
469 | |||||||||
24 | Series 2001-32, Class WA, IF, 19.553%, 07/20/31 |
32 | |||||||||
213 | Series 2001-35, Class SA, IF, IO, 8.018%, 08/16/31 |
37 | |||||||||
210 | Series 2001-36, Class S, IF, IO, 7.818%, 08/16/31 |
34 | |||||||||
1,521 | Series 2001-53, Class SR, IF, IO, 7.921%, 10/20/31 |
147 | |||||||||
79 | Series 2001-55, Class SF, HB, IF, 25.484%, 11/20/31 |
104 | |||||||||
777 | Series 2002-4, Class TD, 7.000%, 01/20/32 |
839 | |||||||||
247 | Series 2002-7, Class PG, 6.500%, 01/20/32 |
264 | |||||||||
909 | Series 2002-24, Class AG, IF, IO, 7.718%, 04/16/32 |
134 | |||||||||
246 | Series 2002-24, Class SB, IF, 11.577%, 04/16/32 |
259 | |||||||||
702 | Series 2002-24, Class Z, 8.500%, 04/16/32 |
780 | |||||||||
1,872 | Series 2002-31, Class SE, IF, IO, 7.268%, 04/16/30 |
261 | |||||||||
75 | Series 2002-33, Class SY, IF, 9.000%, 02/26/23 |
81 | |||||||||
628 | Series 2002-40, Class UK, 6.500%, 06/20/32 |
672 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
166 | Series 2002-41, Class LS, IF, 9.000%, 06/16/32 |
206 | |||||||||
370 | Series 2002-45, Class QE, 6.500%, 06/20/32 |
400 | |||||||||
482 | Series 2002-47, Class PG, 6.500%, 07/16/32 |
522 | |||||||||
62 | Series 2002-51, Class SG, HB, IF, 31.509%, 04/20/31 |
89 | |||||||||
248 | Series 2002-54, Class GB, 6.500%, 08/20/32 |
268 | |||||||||
438 | Series 2002-69, Class PO, PO, 02/20/32 |
409 | |||||||||
410 | Series 2002-70, Class AV, 6.000%, 03/20/12 |
427 | |||||||||
620 | Series 2002-70, Class PS, IF, IO, 7.471%, 08/20/32 |
60 | |||||||||
535 | Series 2002-79, Class KV, 6.000%, 11/20/13 |
538 | |||||||||
347 | Series 2002-88, Class VA, 6.000%, 12/20/17 |
353 | |||||||||
1,576 | Series 2002-92, Class TK, IO, 5.500%, 05/16/31 |
64 | |||||||||
507 | Series 2003-4, Class NI, IO, 5.500%, 01/20/32 |
30 | |||||||||
432 | Series 2003-4, Class NY, 5.500%, 12/20/13 |
463 | |||||||||
895 | Series 2003-8, Class PO, PO, 01/16/32 |
821 | |||||||||
2,107 | Series 2003-11, Class SK, IF, IO, 7.468%, 02/16/33 |
376 | |||||||||
4,539 | Series 2003-12, Class VI, IO, 5.500%, 10/17/22 |
667 | |||||||||
58 | Series 2003-24, Class PO, PO, 03/16/33 |
48 | |||||||||
1,021 | Series 2003-34, Class TO, PO, 02/16/32 |
942 | |||||||||
2,106 | Series 2003-41, Class ID, IO, 5.500%, 05/20/33 |
282 | |||||||||
3,247 | Series 2003-46, Class IH, IO, 5.500%, 12/20/32 |
310 | |||||||||
258 | Series 2003-66, Class ED, 5.000%, 08/20/28 |
260 | |||||||||
789 | Series 2003-76, Class LS, IF, IO, 6.971%, 09/20/31 |
58 | |||||||||
133 | Series 2003-90, Class PO, PO, 10/20/33 |
113 | |||||||||
448 | Series 2003-98, Class PC, 5.000%, 02/20/29 |
457 | |||||||||
1,953 | Series 2003-112, Class SA, IF, IO, 6.318%, 12/16/33 |
188 | |||||||||
6,000 | Series 2003-112, Class TS, IF, IO, 6.721%, 10/20/32 |
862 | |||||||||
5,948 | Series 2004-11, Class SW, IF, IO, 5.271%, 02/20/34 |
553 | |||||||||
503 | Series 2004-15, Class SA, IF, 19.033%, 12/20/32 |
556 | |||||||||
1,586 | Series 2004-24, Class SA, IF, IO, 6.968%, 04/16/31 |
33 | |||||||||
331 | Series 2004-28, Class S, IF, 19.025%, 04/16/34 |
381 | |||||||||
776 | Series 2004-46, Class AO, PO, 06/20/34 |
667 | |||||||||
4,776 | Series 2004-59, Class SG, IF, IO, 6.271%, 07/20/34 |
612 | |||||||||
1,326 | Series 2004-68, Class PO, PO, 05/20/31 |
1,273 | |||||||||
11,049 | Series 2004-68, Class SA, IF, IO, 6.571%, 05/20/31 |
759 | |||||||||
264 | Series 2004-71, Class ST, IF, 7.000%, 09/20/34 |
274 | |||||||||
356 | Series 2004-73, Class AE, IF, 14.383%, 08/17/34 |
405 | |||||||||
5,364 | Series 2004-73, Class JL, IF, IO, 6.318%, 09/16/34 |
630 | |||||||||
1,788 | Series 2004-85, Class PO, PO, 01/17/33 |
1,629 | |||||||||
2,906 | Series 2004-90, Class SI, IF, IO, 5.871%, 10/20/34 |
244 | |||||||||
2,442 | Series 2005-3, Class SB, IF, IO, 5.871%, 01/20/35 |
204 | |||||||||
4,714 | Series 2005-17, Class SL, IF, IO, 6.471%, 07/20/34 |
344 | |||||||||
700 | Series 2005-26, Class VI, IO, 5.500%, 01/20/35 |
157 | |||||||||
365 | Series 2005-35, Class FL, VAR, 0.579%, 03/20/32 |
362 | |||||||||
3,287 | Series 2005-58, Class NI, IO, 5.500%, 08/20/35 |
622 | |||||||||
1,172 | Series 2005-68, Class DP, IF, 15.883%, 06/17/35 |
1,303 | |||||||||
5,403 | Series 2005-68, Class KI, IF, IO, 6.071%, 09/20/35 |
672 | |||||||||
1,172 | Series 2005-69, Class SY, IF, IO, 6.521%, 11/20/33 |
145 | |||||||||
2,428 | Series 2005-85, Class IO, IO, 5.500%, 01/16/35 |
247 | |||||||||
665 | Series 2005-93, Class JO, PO, 03/20/31 |
653 | |||||||||
1,296 | Series 2006-16, Class OP, PO, 03/20/36 |
1,117 | |||||||||
1,000 | Series 2006-34, Class PO, PO, 07/20/36 |
901 | |||||||||
3,835 | Series 2006-38, Class SW, IF, IO, 6.271%, 06/20/36 |
325 | |||||||||
1,098 | Series 2006-59, Class SD, IF, IO, 6.471%, 10/20/36 |
101 | |||||||||
4,015 | Series 2007-9, Class DI, IF, IO, 6.281%, 03/20/37 |
390 | |||||||||
1,079 | Series 2007-17, Class AF, VAR, 0.432%, 04/16/37 |
1,064 | |||||||||
6,079 | Series 2007-17, Class JI, IF, IO, 6.578%, 04/16/37 |
717 | |||||||||
836 | Series 2007-17, Class JO, PO, 04/16/37 |
713 | |||||||||
628 | Series 2007-25, Class FN, VAR, 0.532%, 05/16/37 |
609 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
5,148 | Series 2007-26, Class SC, IF, IO, 5.971%, 05/20/37 |
467 | |||||||||
2,092 | Series 2007-27, Class MI, IO, 5.500%, 09/20/36 |
237 | |||||||||
235 | Series 2007-28, Class BO, PO, 05/20/37 |
205 | |||||||||
659 | Series 2007-35, Class TO, PO, 04/20/35 |
629 | |||||||||
219 | Series 2007-36, Class HO, PO, 06/16/37 |
189 | |||||||||
4,376 | Series 2007-36, Class SE, IF, IO, 6.238%, 06/16/37 |
453 | |||||||||
6,825 | Series 2007-36, Class SG, IF, IO, 6.241%, 06/20/37 |
740 | |||||||||
3,766 | Series 2007-40, Class SD, IF, IO, 6.521%, 07/20/37 |
350 | |||||||||
3,716 | Series 2007-42, Class SB, IF, IO, 6.521%, 07/20/37 |
339 | |||||||||
1,585 | Series 2007-45, Class QA, IF, IO, 6.411%, 07/20/37 |
144 | |||||||||
3,674 | Series 2007-50, Class AI, IF, IO, 6.546%, 08/20/37 |
359 | |||||||||
737 | Series 2007-53, Class SW, IF, 19.519%, 09/20/37 |
856 | |||||||||
3,200 | Series 2007-57, Class PO, PO, 03/20/37 |
2,777 | |||||||||
3,755 | Series 2007-57, Class QA, IF, IO, 6.271%, 10/20/37 |
352 | |||||||||
5,473 | Series 2007-71, Class SB, IF, IO, 6.471%, 07/20/36 |
383 | |||||||||
7,214 | Series 2007-74, Class SL, IF, IO, 6.308%, 11/16/37 |
733 | |||||||||
3,630 | Series 2007-76, Class SA, IF, IO, 6.301%, 11/20/37 |
300 | |||||||||
5,446 | Series 2007-79, Class SY, IF, IO, 6.321%, 12/20/37 |
406 | |||||||||
1,879 | Series 2007-81, Class SP, IF, IO, 6.421%, 12/20/37 |
171 | |||||||||
1,476 | Series 2007-82, Class SA, IF, IO, 6.301%, 12/20/37 |
141 | |||||||||
3,090 | Series 2008-2, Class MS, IF, IO, 6.928%, 01/16/38 |
327 | |||||||||
1,914 | Series 2008-10, Class S, IF, IO, 5.601%, 02/20/38 |
170 | |||||||||
5,440 | Series 2008-13, Class PI, IO, 5.500%, 02/16/38 |
603 | |||||||||
44 | Series 2008-20, Class EX, VAR, 03/20/38 |
44 | |||||||||
1,753 | Series 2008-20, Class PO, PO, 09/20/37 |
1,587 | |||||||||
2,037 | Series 2008-23, Class IO, IO, 6.000%, 02/20/37 |
232 | |||||||||
3,966 | Series 2008-25, Class SB, IF, IO, 6.671%, 03/20/38 |
351 | |||||||||
1,587 | Series 2008-29, Class PO, PO, 02/17/33 |
1,378 | |||||||||
3,169 | Series 2008-32, Class PI, IO, 5.500%, 10/16/37 |
343 | |||||||||
1,640 | Series 2008-33, Class XS, IF, IO, 7.468%, 04/16/38 |
199 | |||||||||
1,500 | Series 2008-36, Class AY, 5.000%, 04/16/23 |
1,590 | |||||||||
4,272 | Series 2008-36, Class SH, IF, IO, 6.071%, 04/20/38 |
382 | |||||||||
7,980 | Series 2008-40, Class SA, IF, IO, 6.168%, 05/16/38 |
920 | |||||||||
4,445 | Series 2008-41, Class SA, IF, IO, 6.111%, 05/20/38 |
428 | |||||||||
883 | Series 2008-47, Class V, 5.500%, 05/16/19 |
958 | |||||||||
2,678 | Series 2008-55, Class SA, IF, IO, 5.971%, 06/20/38 |
250 | |||||||||
2,450 | Series 2008-60, Class PO, PO, 01/20/38 |
2,235 | |||||||||
3,616 | Series 2008-64, Class ED, 6.500%, 04/20/28 |
3,844 | |||||||||
1,222 | Series 2008-71, Class SC, IF, IO, 5.771%, 08/20/38 |
114 | |||||||||
3,393 | Series 2008-93, Class AS, IF, IO, 5.471%, 12/20/38 |
292 | |||||||||
2,642 | Series 2008-96, Class SL, IF, IO, 5.771%, 12/20/38 |
247 | |||||||||
4,547 | Series 2009-6, Class SA, IF, IO, 5.868%, 02/16/39 |
389 | |||||||||
4,259 | Series 2009-10, Class SL, IF, IO, 6.268%, 03/16/34 |
383 | |||||||||
5,000 | Series 2009-12, Class IE, IO, 5.500%, 03/20/39 |
1,189 | |||||||||
3,232 | Series 2009-14, Class KI, IO, 6.500%, 03/20/39 |
447 | |||||||||
3,535 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
471 | |||||||||
4,738 | Series 2009-24, Class DS, IF, IO, 6.071%, 03/20/39 |
522 | |||||||||
2,448 | Series 2009-25, Class SE, IF, IO, 7.371%, 09/20/38 |
251 | |||||||||
1,849 | Series 2009-33, Class CI, IO, 5.500%, 05/20/39 |
244 | |||||||||
3,345 | Series 2009-33, Class TI, IO, 6.000%, 05/20/39 |
455 | |||||||||
2,621 | Series 2009-38, Class IO, IO, 5.000%, 09/16/31 |
244 | |||||||||
8,537 | Series 2009-42, Class SC, IF, IO, 5.851%, 06/20/39 |
791 | |||||||||
4,269 | Series 2009-43, Class SA, IF, IO, 5.721%, 06/20/39 |
391 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,810 | Series 2009-65, Class IQ, IO, 6.000%, 12/20/38 |
238 | |||||||||
1,058 | Series 2009-79, Class OK, PO, 11/16/37 |
917 | |||||||||
Vendee Mortgage Trust, |
|||||||||||
7,336 | Series 1994-1, Class 2ZB, 6.500%, 02/15/24 |
8,024 | |||||||||
922 | Series 1996-1, Class 1Z, 6.750%, 02/15/26 |
1,007 | |||||||||
509 | Series 1996-2, Class 1Z, 6.750%, 06/15/26 |
544 | |||||||||
1,021 | Series 1997-1, Class 2Z, 7.500%, 02/15/27 |
1,139 | |||||||||
756 | Series 1998-1, Class 2E, 7.000%, 03/15/28 |
822 | |||||||||
736,598 | |||||||||||
Non-Agency CMO 23.7% |
|||||||||||
ABN Amro Mortgage Corp., |
|||||||||||
1,101 | Series 2003-6, Class 2A1, 4.644%, 05/25/18 |
1,112 | |||||||||
153 | Series 2003-7, Class A3, 4.500%, 07/25/18 |
156 | |||||||||
189 | Series 2003-9, Class A2, 4.500%, 08/25/18 |
187 | |||||||||
1,783 | American General Mortgage Loan Trust, Series 2006-1, Class A5, VAR, 5.750%, 12/25/35 (e) |
1,821 | |||||||||
1,712 | American Home Mortgage Investment Trust, Series 2005-3, Class 2A4, VAR, 4.848%, 09/25/35 |
806 | |||||||||
ASG Resecuritization Trust, |
|||||||||||
2,010 | Series
2009-1, Class A60, VAR, 5.608%, 06/26/37 (e) |
2,000 | |||||||||
2,739 | Series
2009-2, Class A55, VAR, 5.800%, 05/24/36 (e) |
2,732 | |||||||||
6,305 | Series
2009-3, Class A65, VAR, 5.573%, 03/26/37 (e) |
6,242 | |||||||||
6,390 | Series 2009-4, Class A60, 6.000%, 06/28/37 (e) |
6,326 | |||||||||
5,894 | Series
2010-1, Class A85, VAR, 0.629%, 02/27/36 (e) |
5,363 | |||||||||
12,550 | Series
2010-2, Class A60, VAR, 5.270%, 01/28/37 (e) |
12,174 | |||||||||
Banc of America Alternative Loan Trust, |
|||||||||||
352 | Series 2003-3, Class APO, PO, 05/25/33 |
226 | |||||||||
3,016 | Series 2003-7, Class 2A4, 5.000%, 09/25/18 |
3,028 | |||||||||
1,235 | Series 2003-9, Class 1CB2, 5.500%, 11/25/33 |
1,239 | |||||||||
977 | Series 2003-11, Class 2A1, 6.000%, 01/25/34 |
939 | |||||||||
500 | Series 2003-11, Class PO, PO, 01/25/34 |
342 | |||||||||
491 | Series 2004-1, Class 5A1, 5.500%, 02/25/19 |
474 | |||||||||
4,892 | Series 2005-1, Class CBIO, IO, 5.500%, 02/25/35 |
713 | |||||||||
4,341 | Series 2005-12, Class CBIO, IO, 5.750%, 01/25/36 |
622 | |||||||||
Banc of America Funding Corp., |
|||||||||||
1,845 | Series 2003-3, Class 1A33, 5.500%, 10/25/33 |
1,863 | |||||||||
448 | Series 2004-1, Class PO, PO, 03/25/34 |
322 | |||||||||
614 | Series 2004-3, Class 1A7, 5.500%, 10/25/34 |
612 | |||||||||
2,751 | Series 2005-1, Class 30IO, IO, 5.500%, 02/25/35 |
484 | |||||||||
581 | Series 2005-4, Class 30PO, PO, 08/25/35 |
387 | |||||||||
1,544 | Series 2005-6, Class 2A7, 5.500%, 10/25/35 |
1,385 | |||||||||
238 | Series 2005-7, Class 30PO, PO, 11/25/35 |
156 | |||||||||
1,164 | Series 2005-8, Class 30PO, PO, 01/25/36 |
751 | |||||||||
2,248 | Series 2005-E, Class 4A1, VAR, 2.995%, 03/20/35 |
2,085 | |||||||||
Banc of America Mortgage Securities, Inc., |
|||||||||||
798 | Series 2003-3, Class 2A1, VAR, 0.779%, 05/25/18 |
759 | |||||||||
1,484 | Series 2003-8, Class 2A5, 5.000%, 11/25/18 |
1,505 | |||||||||
257 | Series 2003-8, Class APO, PO, 11/25/33 |
171 | |||||||||
174 | Series 2003-9, Class 1A2, PO, 12/25/33 |
117 | |||||||||
2,778 | Series
2003-E, Class 2A2, VAR, 4.143%, 06/25/33 (a) |
2,521 | |||||||||
6,442 | Series 2004-3, Class 15IO, IO, VAR, 0.220%, 04/25/19 |
30 | |||||||||
571 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 |
564 | |||||||||
341 | Series 2004-4, Class APO, PO, 05/25/34 |
216 | |||||||||
46,209 | Series 2004-5, Class 15IO, IO, VAR, 0.230%, 06/25/19 |
235 | |||||||||
511 | Series 2004-6, Class APO, PO, 07/25/34 |
334 | |||||||||
251 | Series 2004-9, Class 3A1, 6.500%, 09/25/32 |
248 | |||||||||
441 | Series 2004-E, Class 2A5, VAR, 4.149%, 06/25/34 |
441 | |||||||||
1,876 | Series 2004-J, Class 3A1, VAR, 5.081%, 11/25/34 |
1,642 | |||||||||
BCAP LLC Trust, |
|||||||||||
2,472 | Series
2009-RR10, Class 17A1, 5.750%, 06/26/37 (e) |
2,447 | |||||||||
1,584 | Series
2009-RR13, Class 11A1, VAR, 5.250%, 05/26/37 (e) |
1,584 | |||||||||
2,260 | Series
2009-RR14, Class 4A1, VAR, 5.921%, 03/26/36 (e) |
2,260 | |||||||||
3,113 | Series
2009-RR5, Class 8A1, 5.500%, 11/26/34 (e) |
3,082 | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust, |
|||||||||||
665 | Series 2003-7, Class 3A, VAR, 4.950%, 10/25/33 |
613 | |||||||||
1,103 | Series 2004-1, Class 12A1, VAR, 3.602%, 04/25/34 |
1,008 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
2,304 | Series 2004-2, Class 14A, VAR, 5.163%, 05/25/34 |
2,326 | |||||||||
3,206 | Series 2005-5, Class A1, VAR, 2.530%, 08/25/35 |
3,095 | |||||||||
4,046 | Series 2006-1, Class A1, VAR, 4.625%, 02/25/36 |
3,582 | |||||||||
792 | Cendant Mortgage Corp., Series 2003-9, Class 1P, PO, 11/25/33 |
494 | |||||||||
Chase Mortgage Finance Corp., |
|||||||||||
1,135 | Series 2003-S10, Class AP, PO, 11/25/18 |
796 | |||||||||
623 | Series 2003-S6, Class A1, 5.000%, 06/25/18 |
632 | |||||||||
Citicorp Mortgage Securities, Inc., |
|||||||||||
127 | Series 2002-11, Class 1A14, 6.000%, 11/25/32 |
126 | |||||||||
2,802 | Series 2003-6, Class 1A2, 4.500%, 05/25/33 |
2,827 | |||||||||
558 | Series 2003-8, Class APO, PO, 08/25/33 |
359 | |||||||||
2,295 | Series 2004-1, Class 3A1, 4.750%, 01/25/34 |
2,327 | |||||||||
3,118 | Series 2004-5, Class 2A5, 4.500%, 08/25/34 |
3,184 | |||||||||
5,578 | Series 2007-3, Class 1A6, IF, IO, 5.171%, 04/25/37 |
427 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
|||||||||||
1,704 | Series 2003-1, Class 2A5, 5.250%, 10/25/33 |
1,709 | |||||||||
622 | Series 2003-1, Class PO3, PO, 09/25/33 |
392 | |||||||||
79 | Series 2003-1, Class WA2, 6.500%, 06/25/31 |
72 | |||||||||
157 | Series 2003-1, Class WPO2, PO, 06/25/31 |
99 | |||||||||
235 | Series 2003-UP3, Class A3, 7.000%, 09/25/33 |
234 | |||||||||
1,113 | Series 2003-UST1, Class A1, 5.500%, 12/25/18 |
1,127 | |||||||||
244 | Series 2003-UST1, Class PO1, PO, 12/25/18 |
166 | |||||||||
137 | Series 2003-UST1, Class PO2, PO, 12/25/18 |
95 | |||||||||
95 | Series 2003-UST1, Class PO3, PO, 12/25/18 |
68 | |||||||||
1,748 | Series 2004-UST1, Class A6, VAR, 5.072%, 08/25/34 |
1,783 | |||||||||
433 | Series 2005-1, Class 2A1A, VAR, 3.563%, 04/25/35 |
233 | |||||||||
1,251 | Series 2005-5, Class 1A2, VAR, 2.507%, 08/25/35 |
748 | |||||||||
2,944 | Series
2009-10, Class 2A1A, 7.000%, 12/25/35 (e) |
2,944 | |||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
427 | Series 2002-8, Class A4, 6.500%, 07/25/32 |
407 | |||||||||
520 | Series 2003-6T2, Class A6, 5.500%, 06/25/33 |
396 | |||||||||
518 | Series 2003-J1, Class PO, PO, 10/25/33 |
305 | |||||||||
1,456 | Series 2004-2CB, Class 1A9, 5.750%, 03/25/34 |
1,176 | |||||||||
2,700 | Series 2004-18CB, Class 2A4, 5.700%, 09/25/34 |
2,672 | |||||||||
282 | Series 2004-J3, Class 4A1, 4.750%, 04/25/19 |
269 | |||||||||
662 | Series 2005-5R, Class A1, 5.250%, 12/25/18 |
599 | |||||||||
3,565 | Series 2005-1CB, Class 1A6, IF, IO, 6.871%, 03/25/35 |
435 | |||||||||
9,490 | Series 2005-20CB, Class 3A8, IF, IO, 4.521%, 07/25/35 |
772 | |||||||||
9,614 | Series 2005-22T1, Class A2, IF, IO, 4.841%, 06/25/35 |
851 | |||||||||
855 | Series 2005-26CB, Class A10, IF, 12.635%, 07/25/35 |
926 | |||||||||
334 | Series 2005-28CB, Class 1A5, 5.500%, 08/25/35 |
322 | |||||||||
460 | Series 2005-28CB, Class 3A5, 6.000%, 08/25/35 |
351 | |||||||||
15,609 | Series 2005-37T1, Class A2, IF, IO, 4.821%, 09/25/35 |
1,491 | |||||||||
2,054 | Series 2005-54CB, Class 1A11, 5.500%, 11/25/35 |
1,554 | |||||||||
13,765 | Series 2005-54CB, Class 1A2, IF, IO, 4.621%, 11/25/35 |
1,343 | |||||||||
311 | Series 2005-54CB, Class 1A7, 5.500%, 11/25/35 |
281 | |||||||||
1,636 | Series 2005-57CB, Class 3A2, IF, IO, 4.871%, 12/25/35 |
150 | |||||||||
869 | Series 2005-64CB, Class 1A9, 5.500%, 12/25/35 |
456 | |||||||||
1,246 | Series 2005-86CB, Class A11, 5.500%, 02/25/36 |
628 | |||||||||
6,905 | Series 2005-J1, Class 1A4, IF, IO, 4.871%, 02/25/35 |
655 | |||||||||
34,074 | Series 2006-7CB, Class 1A2, IF, IO, 5.071%, 05/25/36 |
2,950 | |||||||||
1,400 | Series 2006-26CB, Class A9, 6.500%, 09/25/36 |
984 | |||||||||
2,500 | Series
2007-21CB, Class 1A5, 6.000%, 09/25/37 (f) (i) |
621 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
|||||||||||
2,392 | Series 2002-36, Class A22, 6.000%, 01/25/33 |
2,327 | |||||||||
250 | Series 2003-18, Class A12, 5.500%, 07/25/33 |
229 | |||||||||
1,231 | Series 2003-26, Class 1A6, 3.500%, 08/25/33 |
1,033 | |||||||||
116 | Series 2003-34, Class A11, 5.250%, 09/25/33 |
114 | |||||||||
600 | Series 2003-34, Class A6, 5.250%, 09/25/33 |
609 | |||||||||
212 | Series 2003-44, Class A9, PO, 10/25/33 |
139 | |||||||||
366 | Series 2003-J10, Class 2A1, 5.000%, 11/25/18 |
375 | |||||||||
46 | Series 2003-J2, Class A17, IF, IO, 7.171%, 04/25/33 |
1 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
914 | Series 2003-J7, Class 4A3, IF, 9.477%, 08/25/18 |
825 | |||||||||
377 | Series 2004-3, Class PO, PO, 04/25/34 |
222 | |||||||||
309 | Series 2004-7, Class 2A1, VAR, 3.374%, 06/25/34 |
301 | |||||||||
2,010 | Series 2004-28R, Class A1, 5.500%, 08/25/33 |
2,036 | |||||||||
484 | Series 2004-HYB1, Class 2A, VAR, 3.332%, 05/20/34 |
384 | |||||||||
1,678 | Series 2004-HYB3, Class 2A, VAR, 3.578%, 06/20/34 |
1,269 | |||||||||
1,208 | Series 2004-HYB6, Class A3, VAR, 3.610%, 11/20/34 |
961 | |||||||||
1,061 | Series 2004-J8, Class 1A2, 4.750%, 11/25/19 |
1,066 | |||||||||
1,166 | Series 2005-16, Class A23, 5.500%, 09/25/35 |
988 | |||||||||
3,042 | Series 2005-22, Class 2A1, VAR, 5.173%, 11/25/35 |
2,124 | |||||||||
9,291 | Series 2007-4, Class 1A52, IF, IO, 5.171%, 05/25/37 |
887 | |||||||||
Credit Suisse Mortgage Capital Certificates, |
|||||||||||
4,320 | Series
2009-3R, Class 19A3, 6.000%, 01/27/38 (e) |
4,320 | |||||||||
2,390 | Series
2009-12R, Class 7A1, 5.500%, 10/27/35 (e) |
2,383 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
1,558 | Series 2003-1, Class DB1, 6.564%, 02/25/33 |
1,295 | |||||||||
1,050 | Series 2003-29, Class 1A1, 6.500%, 12/25/33 |
1,033 | |||||||||
772 | Series 2003-29, Class 5A1, 7.000%, 12/25/33 |
744 | |||||||||
303 | Series 2004-4, Class 3A5, 5.500%, 08/25/34 |
303 | |||||||||
3,786 | Series 2004-8, Class 3A5, 5.500%, 12/25/34 |
3,811 | |||||||||
3,779 | Series 2005-4, Class 2X, IO, VAR, 5.500%, 06/25/35 |
625 | |||||||||
2,710 | Series 2005-9, Class DX, IO, 5.500%, 10/25/35 |
376 | |||||||||
1,299 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-1, Class 2A1, VAR, 5.626%, 02/25/20 |
1,294 | |||||||||
1,552 | Deutsche
Mortgage Securities, Inc., Series 2009-RS3, Class A1, 5.250%, 08/26/35 (e) |
1,504 | |||||||||
First Horizon Alternative Mortgage Securities, |
|||||||||||
1,736 | Series 2004-AA4, Class A1, VAR, 2.849%, 10/25/34 |
1,423 | |||||||||
518 | Series 2005-AA5, Class 1A2, VAR, 2.545%, 07/25/35 |
133 | |||||||||
873 | Series 2005-FA8, Class 1A19, 5.500%, 11/25/35 |
616 | |||||||||
12,815 | Series 2007-FA4, Class 1A2, IF, IO, 5.421%, 08/25/37 |
1,300 | |||||||||
First Horizon Asset Securities, Inc., |
|||||||||||
584 | Series 2003-7, Class 2A1, 4.500%, 09/25/18 |
584 | |||||||||
636 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 |
637 | |||||||||
1,948 | Series 2003-9, Class 1A6, 5.500%, 11/25/33 |
1,638 | |||||||||
586 | Series 2004-4, Class 2A2, 4.500%, 07/25/19 |
594 | |||||||||
773 | Series 2004-AR2, Class 2A1, VAR, 3.004%, 05/25/34 |
721 | |||||||||
1,146 | Series 2004-AR7, Class 2A1, VAR, 2.880%, 02/25/35 (m) |
1,103 | |||||||||
685 | Series 2004-AR7, Class 2A2, VAR, 2.880%, 02/25/35 |
588 | |||||||||
1,848 | Series 2005-AR1, Class 2A2, VAR, 3.768%, 04/25/35 |
1,686 | |||||||||
GMAC Mortgage Corp. Loan Trust, |
|||||||||||
1,404 | Series 2003-AR1, Class A4, VAR, 4.098%, 10/19/33 |
1,327 | |||||||||
386 | Series 2003-J7, Class A10, 5.500%, 11/25/33 |
395 | |||||||||
1,372 | Series 2003-J7, Class A7, 5.000%, 11/25/33 |
1,211 | |||||||||
427 | Series 2003-J8, Class A, 5.250%, 12/25/33 |
428 | |||||||||
14 | Series 2004-J1, Class A15, 5.250%, 04/25/34 |
15 | |||||||||
699 | Series 2004-J2, Class A2, VAR, 0.729%, 06/25/34 |
639 | |||||||||
2,705 | Series 2004-J6, Class 1A1, 5.000%, 01/25/20 |
2,716 | |||||||||
843 | Series 2005-AR3, Class 3A3, VAR, 4.791%, 06/19/35 |
831 | |||||||||
3,424 | Series 2005-AR3, Class 3A4, VAR, 4.791%, 06/19/35 |
2,550 | |||||||||
GSMPS Mortgage Loan Trust, |
|||||||||||
812 | Series
2001-2, Class A, VAR, 7.500%, 06/19/32 (e) |
674 | |||||||||
411 | Series
2004-4, Class 1AF, VAR, 0.629%, 06/25/34 (e) |
325 | |||||||||
830 | Series
2005-RP2, Class 1AF, VAR, 0.579%, 03/25/35 (e) |
670 | |||||||||
1,855 | Series
2005-RP3, Class 1AF, VAR, 0.579%, 09/25/35 (e) |
1,474 | |||||||||
4,436 | Series
2006-RP2, Class 1AS2, IF, IO, 5.822%, 04/25/36 (e) |
631 | |||||||||
GSR Mortgage Loan Trust, |
|||||||||||
327 | Series 2003-6F, Class A2, VAR, 0.629%, 09/25/32 |
308 | |||||||||
205 | Series 2004-3F, Class 3A8, 13.500%, 02/25/34 |
202 | |||||||||
3,028 | Series 2004-8F, Class 2A3, 6.000%, 09/25/34 |
2,810 | |||||||||
549 | Series 2004-10F, Class 1A1, 4.500%, 08/25/19 |
552 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
367 | Series 2004-10F, Class 2A1, 5.000%, 08/25/19 |
379 | |||||||||
288 | Series 2004-13F, Class 3A3, 6.000%, 11/25/34 |
179 | |||||||||
2,777 | Series 2005-5F, Class 8A3, VAR, 0.729%, 06/25/35 |
2,500 | |||||||||
4,689 | Series 2005-7F, Class 3A9, 6.000%, 09/25/35 |
3,913 | |||||||||
1,491 | Series 2006-1F, Class 1AP, PO, 02/25/36 |
826 | |||||||||
7,473 | Series 2006-1F, Class 2A4, 6.000%, 02/25/36 |
4,935 | |||||||||
3,100 | Series 2007-1F, Class 2A4, 5.500%, 01/25/37 |
2,444 | |||||||||
1,814 | Impac Secured Assets CMN Owner Trust, Series 2006-2, Class 2A1, VAR, 0.579%, 08/25/36 |
1,440 | |||||||||
Indymac Index Mortgage Loan Trust, |
|||||||||||
12,048 | Series 2005-AR11, Class A7, IO, VAR, 0.494%, 08/25/35 |
124 | |||||||||
421 | Series 2006-AR3, Class 2A1A, VAR, 5.921%, 03/25/36 |
249 | |||||||||
JP Morgan Mortgage Trust, |
|||||||||||
1,505 | Series 2004-A3, Class 4A1, VAR, 4.278%, 07/25/34 |
1,504 | |||||||||
1,511 | Series 2004-A4, Class 1A1, VAR, 4.626%, 09/25/34 |
1,525 | |||||||||
1,031 | Series 2004-S1, Class 1A7, 5.000%, 09/25/34 |
1,054 | |||||||||
4,355 | Series 2006-A2, Class 4A1, VAR, 4.054%, 08/25/34 |
4,161 | |||||||||
1,829 | Series 2006-A2, Class 5A3, VAR, 3.431%, 11/25/33 |
1,792 | |||||||||
1,626 | Series 2006-A3, Class 6A1, VAR, 3.993%, 08/25/34 |
1,430 | |||||||||
76 | Kidder Peabody Mortgage Assets Trust, Series B, Class A1, PO, 04/22/18 |
72 | |||||||||
Lehman Mortgage Trust, |
|||||||||||
1,898 | Series 2006-2, Class 1A1, VAR, 6.420%, 04/25/36 |
1,646 | |||||||||
988 | Series 2007-6, Class 1A8, 6.000%, 07/25/37 |
552 | |||||||||
1,500 | Series 2008-2, Class 1A6, 6.000%, 03/25/38 |
1,124 | |||||||||
LVII Resecuritization Trust, |
|||||||||||
3,478 | Series
2009-2, Class A1, VAR, 3.285%, 09/27/37 (e) |
3,477 | |||||||||
7,446 | Series
2009-2, Class A2, VAR, 3.172%, 09/27/37 (e) |
7,444 | |||||||||
MASTR Adjustable Rate Mortgages Trust, |
|||||||||||
398 | Series 2004-3, Class 4A2, VAR, 2.650%, 04/25/34 |
322 | |||||||||
112 | Series 2004-4, Class 2A1, VAR, 3.526%, 05/25/34 |
61 | |||||||||
1,136 | Series 2004-13, Class 2A1, VAR, 3.002%, 04/21/34 |
1,095 | |||||||||
6,750 | Series 2004-13, Class 3A6, VAR, 3.097%, 11/21/34 |
6,696 | |||||||||
331 | Series 2004-15, Class 3A1, VAR, 3.706%, 12/25/34 |
244 | |||||||||
MASTR Alternative Loans Trust, |
|||||||||||
581 | Series 2003-4, Class 2A1, 6.250%, 06/25/33 |
522 | |||||||||
617 | Series 2003-8, Class 3A1, 5.500%, 12/25/33 |
619 | |||||||||
1,713 | Series 2003-8, Class 5A1, 5.000%, 11/25/18 |
1,685 | |||||||||
384 | Series 2003-9, Class 8A1, 6.000%, 01/25/34 |
338 | |||||||||
208 | Series 2004-1, Class 30PO, PO, 02/25/34 |
130 | |||||||||
1,118 | Series 2004-3, Class 2A1, 6.250%, 04/25/34 |
1,026 | |||||||||
494 | Series 2004-3, Class 30PO, PO, 04/25/34 |
319 | |||||||||
495 | Series 2004-3, Class 30X1, IO, 6.000%, 04/25/34 |
79 | |||||||||
512 | Series 2004-5, Class 30PO, PO, 06/25/34 |
338 | |||||||||
253 | Series 2004-5, Class 30X1, IO, 6.000%, 06/25/34 |
39 | |||||||||
280 | Series 2004-6, Class 30X1, IO, 5.500%, 07/25/34 |
42 | |||||||||
2,648 | Series 2004-6, Class 7A1, 6.000%, 07/25/34 |
2,279 | |||||||||
256 | Series 2004-7, Class 30PO, PO, 08/25/34 |
169 | |||||||||
941 | Series 2004-7, Class AX1, IO, 5.500%, 08/25/34 |
141 | |||||||||
1,131 | Series 2004-10, Class 1A1, 4.500%, 09/25/19 |
1,121 | |||||||||
4,101 | Series 2005-3, Class AX2, IO, 6.000%, 04/25/35 |
650 | |||||||||
MASTR Asset Securitization Trust, |
|||||||||||
1,106 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
1,133 | |||||||||
465 | Series 2003-2, Class 2A1, 4.500%, 03/25/18 |
444 | |||||||||
57 | Series 2003-4, Class 2A2, 5.000%, 05/25/18 |
57 | |||||||||
403 | Series 2003-4, Class 3A2, 5.000%, 05/25/18 |
403 | |||||||||
331 | Series 2003-4, Class 5A1, 5.500%, 05/25/33 |
335 | |||||||||
638 | Series 2003-8, Class 1A1, 5.500%, 09/25/33 |
646 | |||||||||
702 | Series 2003-8, Class 3A2, VAR, 0.629%, 09/25/33 |
692 | |||||||||
835 | Series 2003-9, Class 15PO, PO, 10/25/18 |
625 | |||||||||
315 | Series 2003-10, Class 15PO, PO, 11/25/18 |
231 | |||||||||
222 | Series 2003-11, Class 15PO, PO, 12/25/18 |
165 | |||||||||
1,317 | Series 2003-12, Class 6A1, 5.000%, 12/25/33 |
1,313 | |||||||||
273 | Series 2004-1, Class 30PO, PO, 02/25/34 |
174 | |||||||||
308 | Series 2004-3, Class PO, PO, 03/25/34 |
195 | |||||||||
1,215 | Series 2004-4, Class 3A1, 4.500%, 04/25/19 |
1,178 | |||||||||
1,193 | Series 2004-6, Class 2A9, 5.250%, 11/26/16 |
1,146 | |||||||||
712 | Series 2004-8, Class 1A1, 4.750%, 08/25/19 |
715 | |||||||||
643 | Series 2004-8, Class PO, PO, 08/25/19 |
458 | |||||||||
234 | Series 2004-9, Class 5A1, 5.250%, 09/25/19 |
224 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
1,000 | Series 2006-2, Class 1A30, 6.000%, 06/25/36 |
749 | |||||||||
4,762 | MASTR
Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.579%, 05/25/35 (e) |
3,868 | |||||||||
5,483 | MASTR
Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e) |
3,180 | |||||||||
Merrill Lynch Mortgage Investors, Inc., |
|||||||||||
1,618 | Series 2003-A5, Class 2A6, VAR, 3.258%, 08/25/33 |
1,491 | |||||||||
2,061 | Series 2004-A4, Class A2, VAR, 3.122%, 08/25/34 |
2,052 | |||||||||
302 | Series 2005-A1, Class 3A, VAR, 5.218%, 12/25/34 |
290 | |||||||||
Merrill Lynch Trust, |
|||||||||||
1 | Series 7, Class B, PO, 04/20/18 |
1 | |||||||||
76 | Series 47, Class Z, 8.985%, 10/20/20 |
84 | |||||||||
1,475 | MLCC Mortgage Investors, Inc., Series 2004-D, Class A2, VAR, 0.754%, 08/25/29 |
1,398 | |||||||||
| (h) | Morgan Stanley Mortgage Trust, Series 35, Class 2, HB, IF, 5,230.370%, 04/20/21 |
18 | ||||||||
MortgageIT Trust, |
|||||||||||
909 | Series 2005-1, Class 1A1, VAR, 0.549%, 02/25/35 |
724 | |||||||||
367 | Series 2005-5, Class A1, VAR, 0.489%, 12/25/35 |
256 | |||||||||
Nomura Asset Acceptance Corp., |
|||||||||||
464 | Series 2003-A1, Class A1, 5.500%, 05/25/33 |
466 | |||||||||
153 | Series 2003-A1, Class A2, 6.000%, 05/25/33 |
147 | |||||||||
46 | Series 2003-A1, Class A5, 7.000%, 04/25/33 |
40 | |||||||||
124 | Series 2003-A1, Class A7, 5.000%, 04/25/18 |
123 | |||||||||
952 | Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e) |
894 | |||||||||
Prime Mortgage Trust, |
|||||||||||
336 | Series 2004-1, Class 2A3, 5.250%, 08/25/34 |
338 | |||||||||
350 | Series 2004-R1, Class A4, PO, 07/27/33 |
238 | |||||||||
1,264 | Series 2005-4, Class 2PO, PO, 10/25/35 |
688 | |||||||||
RBSSP Resecuritization Trust, |
|||||||||||
2,578 | Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e) |
2,621 | |||||||||
1,834 | Series 2009-9, Class 7A4, 6.000%, 07/26/37 (e) |
1,770 | |||||||||
2,220 | Series 2009-12, Class 14A1, VAR, 5.500%, 03/25/23 (e) |
2,211 | |||||||||
2,500 | Series 2009-12, Class 1A1, VAR, 5.700%, 11/25/33 (e) |
2,471 | |||||||||
3,823 | Series 2009-13, Class 1A1, VAR, 5.000%, 10/26/21 (e) |
3,785 | |||||||||
2,839 | Series 2010-2, Class 2A1, 4.500%, 11/26/22 (e) |
2,804 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
526 | Series 2001-QS19, Class A2, 6.000%, 12/25/16 |
527 | |||||||||
145 | Series 2002-QS16, Class A3, IF, 16.144%, 10/25/17 |
148 | |||||||||
980 | Series 2003-QR19, Class CB4, 5.750%, 10/25/33 |
815 | |||||||||
251 | Series 2003-QR24, Class A5, 4.000%, 07/25/33 |
210 | |||||||||
479 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 |
480 | |||||||||
1,303 | Series 2003-QS12, Class A2A, IF, IO, 7.371%, 06/25/18 |
173 | |||||||||
571 | Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18 |
69 | |||||||||
9,914 | Series 2003-QS13, Class A6, IF, IO, 0.600%, 07/25/33 |
180 | |||||||||
1,507 | Series 2003-QS14, Class A1, 5.000%, 07/25/18 |
1,496 | |||||||||
1,434 | Series 2003-QS18, Class A1, 5.000%, 09/25/18 |
1,411 | |||||||||
1,217 | Series 2003-QS19, Class A1, 5.750%, 10/25/33 |
1,154 | |||||||||
422 | Series 2003-QS3, Class A2, IF, 15.997%, 02/25/18 |
422 | |||||||||
856 | Series 2003-QS3, Class A8, IF, IO, 7.371%, 02/25/18 |
100 | |||||||||
1,094 | Series 2003-QS9, Class A3, IF, IO, 7.321%, 05/25/18 |
141 | |||||||||
1,613 | Series 2004-QA4, Class NB3, VAR, 5.381%, 09/25/34 |
1,573 | |||||||||
503 | Series 2004-QA6, Class NB2, VAR, 3.495%, 12/26/34 |
410 | |||||||||
1,176 | Series 2004-QS10, Class A6, 6.000%, 07/25/34 |
1,068 | |||||||||
1,371 | Series 2004-QS7, Class A4, 5.500%, 05/25/34 |
993 | |||||||||
1,150 | Series 2004-QS8, Class A2, 5.000%, 06/25/34 |
1,057 | |||||||||
361 | Series 2005-QA10, Class A31, VAR, 5.574%, 09/25/35 |
235 | |||||||||
2,000 | Series 2005-QA6, Class A32, VAR, 5.643%, 05/25/35 |
1,265 | |||||||||
450 | Series 2006-QA1, Class A21, VAR, 5.909%, 01/25/36 |
235 | |||||||||
544 | Series 2006-QS4, Class A7, IF, 20.014%, 04/25/36 |
448 | |||||||||
863 | Series 2007-QS1, Class 1A1, 6.000%, 01/25/37 |
500 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
Residential Asset Securitization Trust, |
|||||||||||
279 | Series 2002-A13, Class A4, 5.250%, 12/25/17 |
277 | |||||||||
730 | Series 2003-A13, Class A3, 5.500%, 01/25/34 |
590 | |||||||||
289 | Series 2003-A14, Class A1, 4.750%, 02/25/19 |
282 | |||||||||
937 | Series 2003-A5, Class A1, 5.500%, 06/25/33 |
898 | |||||||||
391 | Series 2005-A11, Class PO, PO, 10/25/35 |
253 | |||||||||
4,502 | Series 2005-A16, Class AX, IO, 5.750%, 02/25/36 |
691 | |||||||||
8,347 | Series 2005-A2, Class A4, IF, IO, 4.821%, 03/25/35 |
777 | |||||||||
1,817 | Series 2006-A4, Class 2A5, 6.000%, 05/25/36 |
860 | |||||||||
1,000 | Series 2006-A6, Class 2A13, 6.000%, 07/25/36 |
493 | |||||||||
Residential Funding Mortgage Securities I, |
|||||||||||
49 | Series 2003-S11, Class A1, 2.500%, 06/25/18 |
48 | |||||||||
364 | Series 2003-S12, Class 4A5, 4.500%, 12/25/32 |
363 | |||||||||
1,554 | Series 2003-S13, Class A3, 5.500%, 06/25/33 |
1,383 | |||||||||
544 | Series 2003-S14, Class A4, PO, 07/25/18 |
451 | |||||||||
1,566 | Series 2003-S16, Class A3, 5.000%, 09/25/18 |
1,573 | |||||||||
1,508 | Series 2003-S20, Class 2A1, 4.750%, 12/25/18 |
1,544 | |||||||||
758 | Series 2003-S7, Class A17, 4.000%, 05/25/33 |
729 | |||||||||
895 | Series 2004-S6, Class 2A6, PO, 06/25/34 |
573 | |||||||||
1,113 | Series 2004-S6, Class 3A5, 4.500%, 06/25/19 |
1,091 | |||||||||
1,011 | Series 2005-SA4, Class 1A1, VAR, 3.783%, 09/25/35 |
773 | |||||||||
Residential Funding Securities LLC, |
|||||||||||
68 | Series 2002-RM1, Class API, PO, 12/25/17 |
47 | |||||||||
141 | Series 2003-RM2, Class AP-3, PO, 05/25/33 |
97 | |||||||||
177 | Salomon Brothers Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1, PO, 12/25/18 |
121 | |||||||||
1,000 | Station Place Securitization Trust, Series 2009-1, Class A, VAR, 1.729%, 01/25/40 (e) |
1,000 | |||||||||
2,934 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.944%, 06/25/34 |
2,593 | |||||||||
Structured Asset Securities Corp., |
|||||||||||
80 | Series 2002-10H, Class 1AP, PO, 05/25/32 |
58 | |||||||||
661 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 |
633 | |||||||||
1,104 | Series 2003-16, Class A3, VAR, 0.729%, 06/25/33 |
1,005 | |||||||||
216 | Series 2003-21, Class 1A3, 5.500%, 07/25/33 |
215 | |||||||||
1,011 | Series 2003-32, Class 1A1, VAR, 5.149%, 11/25/33 |
1,013 | |||||||||
406 | Series 2003-31A, Class B1, VAR, 3.277%, 10/25/33 (f) (i) |
192 | |||||||||
1,677 | Series 2003-33H, Class 1A1, 5.500%, 10/25/33 |
1,633 | |||||||||
786 | Series 2003-33H, Class 1APO, PO, 10/25/33 |
526 | |||||||||
7,623 | Series 2003-37A, Class 2A, VAR, 4.992%, 12/25/33 |
7,603 | |||||||||
5,240 | Series 2004-20, Class 1A3, 5.250%, 11/25/34 (m) |
5,212 | |||||||||
3,300 | Series 2004-5H, Class A4, 5.540%, 12/25/33 |
3,226 | |||||||||
1,318 | Series 2005-6, Class 4A1, 5.000%, 05/25/35 |
1,275 | |||||||||
368 | Series 2005-6, Class 5A8, IF, 13.442%, 05/25/35 |
357 | |||||||||
244 | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1, VAR, 0.549%, 09/25/43 |
213 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
|||||||||||
1,382 | Series 2002-S5, Class B3, 6.389%, 09/25/32 |
1,244 | |||||||||
290 | Series 2002-S8, Class 2A7, 5.250%, 01/25/18 |
299 | |||||||||
2,071 | Series 2003-AR7, Class A7, VAR, 2.842%, 08/25/33 |
1,961 | |||||||||
1,456 | Series 2003-AR8, Class A, VAR, 2.850%, 08/25/33 |
1,448 | |||||||||
5,622 | Series 2003-AR9, Class 1A6, VAR, 2.833%, 09/25/33 |
5,542 | |||||||||
1,338 | Series 2003-AR9, Class 2A, VAR, 2.883%, 09/25/33 |
1,325 | |||||||||
2,156 | Series 2003-S10, Class A5, 5.000%, 10/25/18 |
2,159 | |||||||||
326 | Series 2003-S10, Class A6, PO, 10/25/18 |
266 | |||||||||
1,016 | Series 2003-S11, Class 2A5, IF, 16.421%, 11/25/33 |
986 | |||||||||
511 | Series 2003-S7, Class A1, 4.500%, 08/25/18 |
512 | |||||||||
1,395 | Series 2003-S8, Class A4, 4.500%, 09/25/18 |
1,371 | |||||||||
1,389 | Series 2003-S8, Class A6, 4.500%, 09/25/18 |
1,377 | |||||||||
4,180 | Series 2003-S9, Class A8, 5.250%, 10/25/33 |
3,802 | |||||||||
286 | Series 2003-S9, Class P, PO, 10/25/33 |
178 | |||||||||
2,727 | Series 2004-AR14, Class A1, VAR, 2.753%, 01/25/35 |
2,606 | |||||||||
361 | Series 2004-AR3, Class A1, VAR, 3.120%, 06/25/34 |
338 | |||||||||
371 | Series 2004-AR3, Class A2, VAR, 3.120%, 06/25/34 |
348 | |||||||||
2,220 | Series 2004-CB2, Class 5A, 5.000%, 07/25/19 |
2,242 | |||||||||
603 | Series 2004-CB2, Class 7A, 5.500%, 08/25/19 |
600 | |||||||||
1,240 | Series 2004-S1, Class 1A3, VAR, 0.629%, 03/25/34 |
1,204 | |||||||||
517 | Series 2006-AR10, Class 2P, VAR, 09/25/36 |
264 | |||||||||
Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|||||||||||
561 | Series 2005-1, Class 1A1, 5.500%, 03/25/35 |
494 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
14,614 | Series 2005-2, Class 1A4, IF, IO, 4.821%, 04/25/35 |
1,414 | |||||||||
1,489 | Series 2005-4, Class CB7, 5.500%, 06/25/35 |
1,193 | |||||||||
631 | Series 2005-4, Class DP, PO, 06/25/20 |
398 | |||||||||
2,048 | Series 2005-6, Class 2A4, 5.500%, 08/25/35 |
1,662 | |||||||||
17,421 | Series 2005-11, Class A4, IF, IO, 4.721%, 01/25/36 |
1,538 | |||||||||
Washington Mutual MSC Mortgage Pass-Through Certificates, |
|||||||||||
347 | Series 2002-MS12, Class A, 6.500%, 05/25/32 |
347 | |||||||||
232 | Series 2004-RA4, Class 1P, PO, 04/25/19 |
176 | |||||||||
1,610 | Washington Mutual MSC Mortgage Pass-Through CTFS, Series 2004-RA2, Class 2A, 7.000%, 07/25/33 |
1,618 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
1,019 | Series 2003-8, Class A9, 4.500%, 08/25/18 |
1,020 | |||||||||
3,625 | Series 2003-11, Class 1A4, 4.750%, 10/25/18 |
3,665 | |||||||||
788 | Series 2003-11, Class 1APO, PO, 10/25/18 |
564 | |||||||||
1,158 | Series 2003-13, Class A7, 4.500%, 11/25/18 |
1,159 | |||||||||
286 | Series 2003-14, Class 1A1, 4.750%, 12/25/18 |
287 | |||||||||
2,471 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
2,506 | |||||||||
698 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 |
703 | |||||||||
19,977 | Series 2003-16, Class 2AIO, IO, VAR, 0.120%, 12/25/18 |
58 | |||||||||
1,102 | Series 2003-17, Class APO, PO, 01/25/34 |
714 | |||||||||
1,703 | Series 2003-K, Class 1A1, VAR, 4.473%, 11/25/33 |
1,698 | |||||||||
467 | Series 2003-K, Class 1A2, VAR, 4.473%, 11/25/33 |
465 | |||||||||
470 | Series 2004-1, Class A11, PO, 02/25/34 |
296 | |||||||||
665 | Series 2004-2, Class APO, PO, 01/25/19 |
475 | |||||||||
619 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 |
626 | |||||||||
2,138 | Series 2004-7, Class 2A2, 5.000%, 07/25/19 |
2,196 | |||||||||
877 | Series 2004-B, Class A1, VAR, 4.892%, 02/25/34 |
865 | |||||||||
1,680 | Series 2004-BB, Class A4, VAR, 2.906%, 01/25/35 |
1,637 | |||||||||
2,994 | Series 2004-EE, Class 2A1, VAR, 3.091%, 12/25/34 |
2,931 | |||||||||
374 | Series 2004-EE, Class 2A2, VAR, 3.091%, 12/25/34 |
360 | |||||||||
1,609 | Series 2004-EE, Class 3A1, VAR, 3.901%, 12/25/34 |
1,611 | |||||||||
1,983 | Series 2004-I, Class 1A1, VAR, 3.398%, 07/25/34 |
1,940 | |||||||||
3,029 | Series 2004-P, Class 2A1, VAR, 3.063%, 09/25/34 |
2,860 | |||||||||
304 | Series 2004-Q, Class 1A3, VAR, 4.881%, 09/25/34 |
262 | |||||||||
2,541 | Series 2004-U, Class A1, VAR, 3.511%, 10/25/34 |
2,416 | |||||||||
2,071 | Series 2004-V, Class 1A1, VAR, 3.170%, 10/25/34 |
2,037 | |||||||||
695 | Series 2005-9, Class 1APO, PO, 10/25/35 |
398 | |||||||||
2,414 | Series 2005-13, Class A1, 5.000%, 11/25/20 |
2,460 | |||||||||
419 | Series 2005-15, Class APO, PO, 12/25/20 |
271 | |||||||||
897 | Series 2005-AR16, Class 2A1, VAR, 3.001%, 10/25/35 |
782 | |||||||||
1,048 | Series 2005-AR8, Class 2A1, VAR, 3.206%, 06/25/35 |
978 | |||||||||
221 | Series 2006-AR17, Class A1, VAR, 5.291%, 10/25/36 |
173 | |||||||||
2,200 | Series 2007-7, Class A7, 6.000%, 06/25/37 |
1,777 | |||||||||
1,694 | Series 2007-11, Class A14, 6.000%, 08/25/37 |
1,370 | |||||||||
426,898 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,121,439) |
1,163,496 | ||||||||||
Commercial Mortgage-Backed Securities 0.2% |
|||||||||||
Banc of America Commercial Mortgage, Inc., |
|||||||||||
700 | Series 2005-3, Class A4, 4.668%, 07/10/43 |
693 | |||||||||
500 | Series 2005-5, Class A4, VAR, 5.115%, 10/10/45 |
512 | |||||||||
2,000 | Series 2006-4, Class A4, 5.634%, 07/10/46 |
2,006 | |||||||||
500 | Bear Stearns Commercial Mortgage Securities, Series 2006-PW11, Class A4, VAR, 5.455%, 03/11/39 |
519 | |||||||||
500 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.656%, 05/12/39 |
513 | |||||||||
250 | Morgan Stanley Capital I, Series 2007-T27, Class A4, VAR, 5.649%, 06/11/42 |
254 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $4,384) |
4,497 | ||||||||||
Mortgage Pass-Through Securities 16.6% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
377 | ARM, 2.605%, 12/01/33 |
389 | |||||||||
444 | ARM, 3.614%, 04/01/34 |
456 | |||||||||
257 | ARM, 4.137%, 03/01/35 |
267 | |||||||||
686 | ARM, 4.947%, 11/01/36 |
718 | |||||||||
94 | ARM, 5.010%, 01/01/30 |
96 | |||||||||
888 | ARM, 5.423%, 05/01/38 |
940 | |||||||||
227 | ARM, 5.424%, 07/01/37 |
234 | |||||||||
784 | ARM, 5.425%, 03/01/36 |
817 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
847 | ARM, 5.529%, 12/01/35 |
882 | |||||||||
1,063 | ARM, 5.569%, 05/01/36 |
1,110 | |||||||||
1,049 | ARM, 5.627%, 03/01/36 |
1,077 | |||||||||
1,320 | ARM, 5.738%, 04/01/38 |
1,400 | |||||||||
2,360 | ARM, 5.828%, 10/01/36 |
2,459 | |||||||||
2,012 | ARM, 5.924%, 11/01/36 |
2,097 | |||||||||
621 | ARM, 5.953%, 02/01/37 |
647 | |||||||||
843 | ARM, 5.968%, 02/01/37 |
878 | |||||||||
790 | ARM, 5.972%, 05/01/37 |
845 | |||||||||
348 | ARM, 5.981%, 10/01/36 |
364 | |||||||||
1,278 | ARM, 6.025%, 06/01/36 |
1,330 | |||||||||
1,053 | ARM, 6.029%, 02/01/37 |
1,097 | |||||||||
1,400 | ARM, 6.038%, 12/01/36 |
1,458 | |||||||||
587 | ARM, 6.054%, 10/01/37 |
610 | |||||||||
938 | ARM, 6.248%, 09/01/36 |
975 | |||||||||
3,156 | ARM, 6.299%, 03/01/37 |
3,364 | |||||||||
1,052 | ARM, 6.302%, 10/01/36 |
1,098 | |||||||||
1,454 | ARM, 6.415%, 09/01/37 |
1,519 | |||||||||
1,068 | ARM, 6.466%, 02/01/37 |
1,114 | |||||||||
1,687 | ARM, 6.678%, 10/01/36 |
1,760 | |||||||||
2,542 | ARM, 6.703%, 11/01/36 |
2,698 | |||||||||
849 | ARM, 6.872%, 08/01/36 |
883 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
360 | 3.500%, 05/01/19 |
359 | |||||||||
10,488 | 4.000%, 06/01/13 06/01/19 (m) |
10,824 | |||||||||
4,360 | 4.500%, 07/01/14 10/01/18 |
4,542 | |||||||||
691 | 5.000%, 12/01/18 |
736 | |||||||||
111 | 5.500%, 06/01/17 |
119 | |||||||||
6,554 | 6.000%, 06/01/17 03/01/22 |
7,066 | |||||||||
1,488 | 6.500%, 08/01/12 03/01/22 |
1,605 | |||||||||
709 | 7.000%, 01/01/17 07/01/17 |
764 | |||||||||
84 | 7.500%, 09/01/10 12/01/15 |
89 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|||||||||||
3,222 | 5.500%, 05/01/27 |
3,422 | |||||||||
1,764 | 6.000%, 01/01/14 02/01/24 |
1,910 | |||||||||
2,895 | 6.500%, 05/01/22 01/01/28 |
3,126 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, FHA/VA, |
|||||||||||
2,403 | 7.500%, 01/01/32 12/01/36 |
2,705 | |||||||||
1,653 | 10.000%, 10/01/30 |
1,944 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
2,611 | 4.000%, 10/01/33 |
2,576 | |||||||||
6,621 | 5.500%, 10/01/33 07/01/35 |
7,027 | |||||||||
1,598 | 6.000%, 11/01/28 12/01/33 |
1,730 | |||||||||
9,865 | 6.500%, 05/01/24 11/01/36 (m) |
10,773 | |||||||||
2,445 | 7.000%, 07/01/29 10/01/36 |
2,685 | |||||||||
717 | 7.500%, 09/01/38 |
788 | |||||||||
62 | 8.500%, 08/01/30 |
72 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, Other, |
|||||||||||
1,376 | 6.500%, 11/01/36 12/01/36 |
1,479 | |||||||||
1,465 | 7.000%, 12/01/14 08/01/47 |
1,581 | |||||||||
1,760 | 7.500%, 10/01/37 |
1,921 | |||||||||
163 | 10.500%, 07/20/21 |
182 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|||||||||||
15 | 7.500%, 03/01/17 05/01/17 |
16 | |||||||||
12 | 8.750%, 06/01/17 |
13 | |||||||||
5 | 10.500%, 05/01/19 |
6 | |||||||||
18 | 12.000%, 08/01/15 07/01/19 |
20 | |||||||||
Federal National Mortgage Association, |
|||||||||||
834 | ARM, 1.710%, 08/01/34 |
856 | |||||||||
412 | ARM, 1.994%, 01/01/33 |
420 | |||||||||
432 | ARM, 2.003%, 02/01/35 |
449 | |||||||||
664 | ARM, 2.139%, 02/01/35 |
680 | |||||||||
4,652 | ARM, 2.186%, 01/01/35 (m) |
4,711 | |||||||||
880 | ARM, 2.424%, 01/01/36 |
914 | |||||||||
27 | ARM, 2.538%, 03/01/19 |
27 | |||||||||
406 | ARM, 2.632%, 04/01/34 |
423 | |||||||||
998 | ARM, 2.756%, 07/01/33 |
1,021 | |||||||||
864 | ARM, 2.781%, 10/01/34 |
886 | |||||||||
232 | ARM, 2.823%, 11/01/33 |
239 | |||||||||
594 | ARM, 2.904%, 05/01/34 |
607 | |||||||||
1,757 | ARM, 2.919%, 04/01/35 |
1,814 | |||||||||
697 | ARM, 3.020%, 02/01/34 |
720 | |||||||||
503 | ARM, 3.069%, 06/01/35 |
520 | |||||||||
499 | ARM, 3.076%, 10/01/34 |
517 | |||||||||
782 | ARM, 3.088%, 10/01/34 |
810 | |||||||||
212 | ARM, 3.134%, 01/01/34 |
219 | |||||||||
419 | ARM, 3.137%, 09/01/35 |
434 | |||||||||
574 | ARM, 3.213%, 09/01/34 |
598 | |||||||||
600 | ARM, 3.431%, 08/01/34 |
621 | |||||||||
656 | ARM, 3.564%, 10/01/34 |
679 | |||||||||
642 | ARM, 3.598%, 06/01/34 |
665 | |||||||||
44 | ARM, 3.709%, 09/01/27 |
44 | |||||||||
403 | ARM, 3.800%, 05/01/35 |
419 | |||||||||
718 | ARM, 4.097%, 09/01/33 |
744 | |||||||||
162 | ARM, 4.113%, 03/01/29 |
168 | |||||||||
455 | ARM, 4.189%, 04/01/34 |
473 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
793 | ARM, 4.199%, 08/01/34 |
807 | |||||||||
1,384 | ARM, 4.209%, 04/01/35 |
1,411 | |||||||||
219 | ARM, 4.477%, 05/01/35 |
227 | |||||||||
1,080 | ARM, 4.944%, 07/01/33 |
1,144 | |||||||||
1,919 | ARM, 5.020%, 05/01/35 |
1,993 | |||||||||
2,211 | ARM, 5.127%, 11/01/33 10/01/34 |
2,305 | |||||||||
1,018 | ARM, 5.266%, 09/01/36 |
1,073 | |||||||||
1,329 | ARM, 5.331%, 01/01/38 |
1,404 | |||||||||
591 | ARM, 5.493%, 07/01/37 |
617 | |||||||||
463 | ARM, 5.584%, 12/01/36 |
484 | |||||||||
43 | ARM, 5.600%, 11/01/32 |
45 | |||||||||
5,861 | ARM, 5.686%, 01/01/23 |
6,238 | |||||||||
2,042 | ARM, 5.788%, 12/01/37 |
2,157 | |||||||||
1,694 | ARM, 5.899%, 12/01/36 |
1,775 | |||||||||
1,009 | ARM, 5.908%, 11/01/36 |
1,061 | |||||||||
654 | ARM, 5.923%, 10/01/36 |
685 | |||||||||
1,686 | ARM, 5.934%, 07/01/36 |
1,766 | |||||||||
2,496 | ARM, 6.021%, 07/01/37 |
2,610 | |||||||||
1,170 | ARM, 6.071%, 08/01/36 |
1,222 | |||||||||
1,903 | ARM, 6.200%, 06/01/36 |
1,985 | |||||||||
1,708 | ARM, 6.208%, 11/01/37 |
1,781 | |||||||||
1,843 | ARM, 6.294%, 10/01/36 |
1,930 | |||||||||
628 | 6.500%, 02/01/29 |
686 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
1,615 | 3.500%, 08/01/18 |
1,609 | |||||||||
15,706 | 4.000%, 07/01/18 12/01/18 (m) |
16,393 | |||||||||
7,598 | 4.500%, 07/01/18 09/01/20 |
8,015 | |||||||||
2,872 | 5.000%, 12/01/16 10/01/19 |
3,056 | |||||||||
10,831 | 5.500%, 11/01/18 07/01/20 |
11,646 | |||||||||
9,065 | 6.000%, 06/01/16 08/01/21 |
9,790 | |||||||||
1,868 | 6.500%, 09/01/13 04/01/22 |
2,027 | |||||||||
2,688 | 7.000%, 12/01/16 08/01/21 |
2,913 | |||||||||
169 | 7.500%, 03/01/17 10/01/17 |
185 | |||||||||
223 | 8.000%, 04/01/11 01/01/16 |
239 | |||||||||
47 | 8.500%, 09/01/11 |
48 | |||||||||
Federal National Mortgage Association, 20 Year, Single Family, |
|||||||||||
1,048 | 6.000%, 02/01/14 04/01/24 |
1,127 | |||||||||
3,040 | 6.500%, 06/01/16 07/01/24 |
3,293 | |||||||||
88 | 7.500%, 09/01/21 |
99 | |||||||||
Federal National Mortgage Association, 30 Year FHA/VA, |
|||||||||||
89 | 6.000%, 09/01/33 |
95 | |||||||||
491 | 6.500%, 03/01/29 |
537 | |||||||||
304 | 7.000%, 10/01/28 02/01/33 |
339 | |||||||||
94 | 8.000%, 06/01/28 |
108 | |||||||||
29 | 8.500%, 03/01/30 06/01/30 |
33 | |||||||||
443 | 9.000%, 05/01/18 06/01/31 |
508 | |||||||||
19 | 10.000%, 07/01/19 |
21 | |||||||||
19 | 10.500%, 11/01/18 |
21 | |||||||||
37 | 11.000%, 04/01/19 |
42 | |||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
2,772 | 4.000%, 08/01/33 04/01/34 |
2,739 | |||||||||
1,604 | 4.500%, 05/01/29 11/01/33 |
1,641 | |||||||||
5,286 | 5.000%, 05/01/33 09/01/35 |
5,508 | |||||||||
8,085 | 5.500%, 04/01/33 03/01/34 |
8,577 | |||||||||
3,794 | 6.000%, 12/01/28 09/01/33 |
4,078 | |||||||||
35 | 6.250%, 07/01/23 |
38 | |||||||||
6,245 | 6.500%, 11/01/29 03/01/38 |
6,742 | |||||||||
5,433 | 7.000%, 04/01/17 10/01/38 |
5,938 | |||||||||
10,083 | 7.500%, 08/01/36 04/01/39 |
11,333 | |||||||||
1,757 | 8.000%, 03/01/27 10/01/36 |
2,005 | |||||||||
196 | 8.500%, 04/01/26 02/01/30 |
226 | |||||||||
2 | 9.000%, 04/01/26 |
2 | |||||||||
18 | 9.500%, 07/01/28 |
21 | |||||||||
12 | 10.000%, 02/01/24 |
13 | |||||||||
23 | 12.500%, 01/01/16 |
25 | |||||||||
Federal National Mortgage Association, Other, |
|||||||||||
1,389 | 4.000%, 11/01/33 |
1,354 | |||||||||
1,528 | 4.500%, 11/01/14 08/01/33 |
1,569 | |||||||||
1,107 | 5.500%, 05/01/13 09/01/33 |
1,154 | |||||||||
475 | 6.000%, 02/01/36 |
508 | |||||||||
2,071 | 6.500%, 10/01/35 06/01/36 |
2,213 | |||||||||
8,023 | 7.000%, 12/01/36 10/01/46 |
8,658 | |||||||||
44 | 10.195%, 06/15/21 |
49 | |||||||||
18 | 10.250%, 07/15/13 |
19 | |||||||||
14 | 11.000%, 08/20/20 |
16 | |||||||||
229 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 04/20/17 |
247 | |||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
|||||||||||
702 | 3.500%, 09/20/33 |
668 | |||||||||
31 | 7.500%, 02/20/28 09/20/28 |
35 | |||||||||
47 | 8.000%, 06/20/26 11/20/28 |
54 | |||||||||
29 | 8.500%, 03/20/25 05/20/25 |
34 | |||||||||
Government National Mortgage Association, 15 Year, Single Family, |
|||||||||||
420 | 6.000%, 06/15/18 |
453 | |||||||||
111 | 7.000%, 09/15/14 10/15/16 |
120 | |||||||||
76 | 7.500%, 11/15/17 |
82 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
345 | 8.000%, 01/15/16 |
374 | |||||||||
Government National Mortgage Association, 20 Year, Single Family, |
|||||||||||
780 | 6.500%, 08/15/22 11/15/23 |
835 | |||||||||
101 | 7.000%, 08/15/23 |
112 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
219 | 6.375%, 08/15/26 |
237 | |||||||||
3,888 | 6.500%, 10/15/27 04/15/33 |
4,224 | |||||||||
1,760 | 7.000%, 04/15/32 06/15/33 |
1,965 | |||||||||
124 | 7.500%, 11/15/22 01/15/33 |
140 | |||||||||
17 | 8.000%, 09/15/22 04/15/28 |
19 | |||||||||
14 | 9.000%, 02/15/30 01/15/31 |
17 | |||||||||
1,551 | 9.500%, 10/15/24 |
1,879 | |||||||||
16 | 11.000%, 01/15/21 |
18 | |||||||||
Total Mortgage Pass-Through Securities (Cost $286,793) |
297,829 | ||||||||||
U.S.
Government Agency Securities 1.0% |
|||||||||||
2,952 | Federal Home Loan Bank System, 4.720%, 09/20/12 |
3,145 | |||||||||
13,500 | Federal Home Loan Mortgage Corp., 4.125%, 12/21/12 |
14,531 | |||||||||
518 | Federal National Mortgage Association, 5.500%, 03/15/11 |
545 | |||||||||
Total U.S. Government Agency Securities (Cost $17,822) |
18,221 | ||||||||||
U.S.
Treasury Obligations 7.0% |
|||||||||||
U.S. Treasury Bonds, |
|||||||||||
2,000 | 7.250%, 05/15/16 |
2,513 | |||||||||
16,000 | 7.500%, 11/15/16 |
20,459 | |||||||||
10,200 | 8.875%, 08/15/17 |
14,096 | |||||||||
1,000 | 8.875%, 02/15/19 |
1,418 | |||||||||
8,500 | 9.250%, 02/15/16 |
11,616 | |||||||||
U.S. Treasury STRIPS, |
|||||||||||
932 | 05/15/14 |
856 | |||||||||
12,000 | 08/15/14 |
10,918 | |||||||||
3,000 | 02/15/15 |
2,671 | |||||||||
129 | 02/15/16 |
109 | |||||||||
500 | 11/15/16 |
406 | |||||||||
500 | 05/15/19 |
352 | |||||||||
150 | 02/15/25 |
75 | |||||||||
U.S. Treasury Notes, |
|||||||||||
3,000 | 1.375%, 09/15/12 |
3,021 | |||||||||
30,000 | 2.625%, 12/31/14 |
30,579 | |||||||||
7,400 | 3.125%, 10/31/16 |
7,480 | |||||||||
10,000 | 3.250%, 12/31/16 |
10,155 | |||||||||
2,400 | 4.250%, 11/15/17 |
2,573 | |||||||||
6,800 | 4.500%, 05/15/17 |
7,444 | |||||||||
Total U.S. Treasury Obligations (Cost $125,125) |
126,741 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 9.1% |
|||||||||||
Investment Company 9.1% |
|||||||||||
163,263 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.080% (b) (l) (Cost $163,263) |
163,263 | |||||||||
Total Investments 99.9% (Cost $1,742,119) |
1,796,823 | ||||||||||
Other Assets in Excess of Liabilities 0.1% |
2,609 | ||||||||||
NET ASSETS 100.0% |
$ | 1,799,432 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 9.5% |
|||||||||||
Ally Auto Receivables Trust, |
|||||||||||
5,500 | Series 2009-A, Class A3, 2.330%, 06/17/13 (e) |
5,606 | |||||||||
6,810 | Series 2009-B, Class A3, 1.980%, 10/15/13 (e) |
6,894 | |||||||||
1,220 | American Express Credit Account Master Trust, Series 2008-1, Class A, VAR, 0.682%, 08/15/13 |
1,223 | |||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
2,299 | Series 2005-DA, Class A4, 5.020%, 11/06/12 |
2,315 | |||||||||
1,546 | Series 2006-BG, Class A4, 5.210%, 09/06/13 |
1,596 | |||||||||
2,297 | Series 2008-AF, Class A3, 5.680%, 12/12/12 |
2,373 | |||||||||
3,000 | Series 2009-1, Class A2, 2.260%, 05/15/12 |
3,026 | |||||||||
3,875 | Series 2009-1, Class A3, 3.040%, 10/15/13 |
3,982 | |||||||||
3,240 | Series 2010-1, Class A2, 0.970%, 01/15/13 |
3,242 | |||||||||
2,290 | Series 2010-1, Class A3, 1.660%, 03/17/14 |
2,294 | |||||||||
18 | Americredit Prime Automobile Receivable, Series 2007-1, Class A3, 5.270%, 11/08/11 |
18 | |||||||||
137 | Amortizing Residential Collateral Trust, Series 2002-BC6, Class M1, VAR, 1.354%, 08/25/32 |
83 | |||||||||
952 | Banc of America Securities Auto Trust, Series 2006-G1, Class A4, 5.170%, 12/20/10 |
955 | |||||||||
Bank of America Auto Trust, |
|||||||||||
880 | Series 2008-1A, Class A3A, 4.970%, 09/20/12 (e) |
914 | |||||||||
9,860 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
10,096 | |||||||||
2,410 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
2,518 | |||||||||
15,150 | Series 2009-2A, Class A3, 2.130%, 09/15/13 (e) |
15,406 | |||||||||
11,000 | Series 2009-2A, Class A4, 3.030%, 10/15/16 (e) |
11,357 | |||||||||
9,110 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) |
9,195 | |||||||||
3,040 | Series 2010-1A, Class A3, 1.390%, 03/15/14 (e) |
3,047 | |||||||||
4,120 | Series 2010-1A, Class A4, 2.180%, 02/15/17 (e) |
4,113 | |||||||||
Bear Stearns Asset Backed Securities Trust, |
|||||||||||
985 | Series 2003-SD2, Class 2A, VAR, 3.865%, 06/25/43 |
881 | |||||||||
1,143 | Series 2006-SD1, Class A, VAR, 0.599%, 04/25/36 |
777 | |||||||||
Capital Auto Receivables Asset Trust, |
|||||||||||
726 | Series 2006-2, Class A3A, 4.980%, 05/15/11 |
732 | |||||||||
451 | Series 2007-1, Class A3A, 5.000%, 04/15/11 |
454 | |||||||||
4,209 | Series 2007-1, Class A4A, 5.010%, 04/16/12 |
4,353 | |||||||||
574 | Series 2007-4A, Class A3A, 5.000%, 12/15/11 |
583 | |||||||||
1,699 | Series 2008-1, Class A3A, 3.860%, 08/15/12 |
1,732 | |||||||||
11,498 | Series 2008-1, Class A4A, 4.460%, 07/15/14 |
12,121 | |||||||||
Capital One Auto Finance Trust, |
|||||||||||
1,041 | Series 2005-C, Class A4A, 4.710%, 06/15/12 |
1,043 | |||||||||
247 | Series 2007-B, Class A3A, 5.030%, 04/15/12 |
250 | |||||||||
843 | Series 2007-C, Class A3A, 5.130%, 04/16/12 |
858 | |||||||||
Capital One Multi-Asset Execution Trust, |
|||||||||||
480 | Series 2003-B5, Class B5, 4.790%, 08/15/13 |
490 | |||||||||
2,150 | Series 2006-A2, Class A, 4.850%, 11/15/13 |
2,228 | |||||||||
265 | Series 2006-A6, Class A6, 5.300%, 02/18/14 |
278 | |||||||||
265 | Series 2007-B3, Class B3, 5.050%, 03/15/13 |
268 | |||||||||
125 | Series 2007-B5, Class B5, 5.400%, 05/15/13 |
127 | |||||||||
2,352 | Capital One Prime Auto Receivables Trust, Series 2006-2, Class A4, 4.940%, 07/15/12 |
2,387 | |||||||||
CarMax Auto Owner Trust, |
|||||||||||
560 | Series 2006-1, Class A4, 5.410%, 06/15/11 |
568 | |||||||||
1,664 | Series 2006-2, Class A4, 5.140%, 11/15/11 |
1,701 | |||||||||
552 | Series 2007-1, Class A3, 5.240%, 07/15/11 |
555 | |||||||||
1,850 | Series 2007-1, Class A4, 5.240%, 06/15/12 |
1,914 | |||||||||
1,414 | Series 2007-2, Class A3, 5.230%, 12/15/11 |
1,434 | |||||||||
1,350 | Series 2007-2, Class A4, 5.270%, 11/15/12 |
1,414 | |||||||||
1,344 | Series 2007-3, Class A3A, 5.190%, 12/15/11 |
1,364 | |||||||||
2,169 | Series 2008-1, Class A4A, 4.790%, 02/15/13 |
2,281 | |||||||||
5,470 | Series 2009-1, Class A2, 3.310%, 11/15/11 |
5,519 | |||||||||
17,385 | Series 2009-1, Class A3, 4.120%, 03/15/13 |
18,040 | |||||||||
3,940 | Series 2010-1, Class A3, 1.560%, 07/15/14 |
3,946 | |||||||||
6,895 | Series 2010-1, Class A4, 2.400%, 04/15/15 |
6,911 | |||||||||
948 | Caterpillar Financial Asset Trust, Series 2008-A, Class A3, 4.940%, 04/25/14 |
968 | |||||||||
4,703 | Centex Home Equity, Series 2002-C, Class AF4, SUB, 4.480%, 06/25/31 |
4,402 | |||||||||
Chrysler Financial Auto Securitization Trust, |
|||||||||||
14,235 | Series 2009-A, Class A3, 2.820%, 01/15/16 |
14,606 | |||||||||
8,500 | Series 2009-B, Class A2, 1.150%, 11/08/11 |
8,528 | |||||||||
Citibank Credit Card Issuance Trust, |
|||||||||||
285 | Series 2007-A5, Class A5, 5.500%, 06/22/12 |
289 | |||||||||
270 | Series 2007-B2, Class B2, 5.000%, 04/02/12 |
271 | |||||||||
700 | Series 2007-B6, Class B6, 5.000%, 11/08/12 |
717 | |||||||||
2,500 | Series 2008-A5, Class A5, 4.850%, 04/22/15 |
2,704 | |||||||||
CitiFinancial Auto Issuance Trust, |
|||||||||||
9,720 | Series 2009-1, Class A2, 1.830%, 11/15/12 (e) |
9,782 | |||||||||
15,200 | Series 2009-1, Class A3, 2.590%, 10/15/13 (e) |
15,415 | |||||||||
CNH Equipment Trust, |
|||||||||||
181 | Series 2007-B, Class A3A, 5.400%, 10/17/11 |
182 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Asset-Backed Securities Continued |
|||||||||||
635 | Series 2008-B, Class A3A, 4.780%, 07/16/12 |
647 | |||||||||
1,095 | Series 2009-A, Class A3, 5.280%, 11/15/12 |
1,144 | |||||||||
1,620 | Series 2009-B, Class A3, 2.970%, 03/15/13 |
1,645 | |||||||||
3,940 | Series 2009-C, Class A3, 1.850%, 12/16/13 |
3,971 | |||||||||
559 | Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/18 |
563 | |||||||||
1,581 | Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.829%, 10/25/34 |
783 | |||||||||
2,416 | Credit Suisse Mortgage Capital Certificates, Series 2006-CF1, Class A1, VAR, 0.539%, 11/25/35 |
1,957 | |||||||||
115 | CS First Boston Mortgage Securities Corp., Series 2002-HE4, Class AF, 5.510%, 08/25/32 |
98 | |||||||||
Daimler Chrysler Auto Trust, |
|||||||||||
647 | Series 2006-A, Class A4, 5.010%, 01/08/11 |
650 | |||||||||
873 | Series 2006-B, Class A4, 5.380%, 03/08/11 |
875 | |||||||||
5,437 | Series 2006-D, Class A4, 4.940%, 02/08/12 |
5,514 | |||||||||
1,080 | Series 2007-A, Class A3A, 5.000%, 02/08/12 |
1,095 | |||||||||
2,500 | Series 2007-A, Class A4, 5.280%, 03/08/13 |
2,624 | |||||||||
5,507 | Series 2008-A, Class A4, 4.480%, 08/08/14 |
5,726 | |||||||||
1,255 | Discover Card Master Trust, Series 2008-A4, Class A4, 5.650%, 12/15/15 |
1,382 | |||||||||
Ford Credit Auto Owner Trust, |
|||||||||||
649 | Series 2006-B, Class A4, 5.250%, 09/15/11 |
661 | |||||||||
2,646 | Series 2006-C, Class A4A, 5.150%, 02/15/12 |
2,713 | |||||||||
2,038 | Series 2007-A, Class A3A, 5.400%, 08/15/11 |
2,063 | |||||||||
1,630 | Series 2007-A, Class A4A, 5.470%, 06/15/12 |
1,705 | |||||||||
4,763 | Series 2007-B, Class A3A, 5.150%, 11/15/11 |
4,849 | |||||||||
3,402 | Series 2007-B, Class A4A, 5.240%, 07/15/12 |
3,582 | |||||||||
2,333 | Series 2008-A, Class A3A, 3.960%, 04/15/12 |
2,374 | |||||||||
241 | Series 2008-B, Class A3A, 4.280%, 05/15/12 |
246 | |||||||||
23,230 | Series 2009-A, Class A4, 6.070%, 05/15/14 |
25,568 | |||||||||
5,465 | Series 2009-B, Class A3, 2.790%, 08/15/13 |
5,605 | |||||||||
1,350 | Series 2009-B, Class A4, 4.500%, 07/15/14 |
1,444 | |||||||||
4,000 | Series 2009-D, Class A3, 2.170%, 10/15/13 |
4,068 | |||||||||
Franklin Auto Trust, |
|||||||||||
1,064 | Series 2006-1, Class A4, 5.030%, 07/21/14 |
1,079 | |||||||||
447 | Series 2007-1, Class A3, 4.950%, 01/17/12 |
451 | |||||||||
GE Capital Credit Card Master Note Trust, |
|||||||||||
9,090 | Series 2005-3, Class A, 4.130%, 06/15/13 |
9,182 | |||||||||
115 | Series 2007-1, Class B, 4.950%, 03/15/13 |
115 | |||||||||
1,525 | Series 2007-3, Class A2, 5.400%, 06/15/13 |
1,546 | |||||||||
120 | Series 2007-3, Class B, 5.490%, 06/15/13 |
122 | |||||||||
GS Auto Loan Trust, |
|||||||||||
4,166 | Series 2006-1, Class A4, 5.380%, 01/15/14 |
4,225 | |||||||||
1,919 | Series 2007-1, Class A3, 5.390%, 12/15/11 |
1,943 | |||||||||
Harley-Davidson Motorcycle Trust, |
|||||||||||
352 | Series 2005-3, Class A2, 4.410%, 06/15/12 |
357 | |||||||||
1,316 | Series 2006-3, Class A4, 5.220%, 06/15/13 |
1,358 | |||||||||
3,485 | Series 2007-1, Class A4, 5.210%, 06/17/13 |
3,617 | |||||||||
1,397 | Series 2007-2, Class A3, 5.100%, 05/15/12 |
1,408 | |||||||||
21,186 | Series 2007-2, Class A4, 5.120%, 08/15/13 |
22,120 | |||||||||
2,000 | Series 2007-3, Class A4, 5.520%, 11/15/13 |
2,102 | |||||||||
4,287 | Series 2009-1, Class A3, 3.190%, 11/15/13 |
4,413 | |||||||||
7,640 | Series 2009-1, Class A4, 4.550%, 01/15/17 |
8,137 | |||||||||
6,665 | Series 2009-3, Class A2, 0.940%, 04/15/12 |
6,670 | |||||||||
5,145 | Series 2009-3, Class A3, 1.740%, 09/15/13 |
5,177 | |||||||||
HFC Home Equity Loan Asset Backed Certificates, |
|||||||||||
12,485 | Series 2005-2, Class A1, VAR, 0.499%, 01/20/35 |
11,697 | |||||||||
14,624 | Series 2005-2, Class M1, VAR, 0.689%, 01/20/35 |
13,099 | |||||||||
6,785 | Series 2005-2, Class M2, VAR, 0.719%, 01/20/35 |
5,927 | |||||||||
10,357 | Series 2006-1, Class A1, VAR, 0.389%, 01/20/36 |
9,028 | |||||||||
11,201 | Series 2006-2, Class A1, VAR, 0.379%, 03/20/36 |
10,375 | |||||||||
14,917 | Series 2006-3, Class A3F, SUB, 5.630%, 03/20/36 |
15,070 | |||||||||
9,725 | Series 2006-4, Class A3F, SUB, 5.300%, 03/20/36 |
9,742 | |||||||||
10,020 | Series 2007-1, Class A2F, SUB, 5.600%, 03/20/36 |
10,279 | |||||||||
11,000 | Series 2007-2, Class A2F, SUB, 5.690%, 07/20/36 |
11,214 | |||||||||
11,093 | Series 2007-3, Class APT, VAR, 1.429%, 11/20/36 |
10,066 | |||||||||
Honda Auto Receivables Owner Trust, |
|||||||||||
1,576 | Series 2006-2, Class A4, 5.280%, 01/23/12 |
1,587 | |||||||||
970 | Series 2006-3, Class A4, 5.110%, 04/15/12 |
979 | |||||||||
137 | Series 2007-1, Class A3, 5.100%, 03/18/11 |
138 | |||||||||
5,670 | Series 2007-1, Class A4, 5.090%, 07/18/13 |
5,792 | |||||||||
1,750 | Series 2007-2, Class A4, 5.570%, 11/21/13 |
1,813 | |||||||||
3,560 | Series 2008-1, Class A3, 4.470%, 01/18/12 |
3,619 | |||||||||
4,030 | Series 2008-1, Class A4, 4.880%, 09/18/14 |
4,256 | |||||||||
4,105 | Series 2009-2, Class A3, 2.790%, 01/15/13 |
4,206 | |||||||||
3,025 | Series 2009-3, Class A3, 2.310%, 05/15/13 |
3,078 | |||||||||
1,430 | Series 2009-3, Class A4, 3.300%, 09/15/15 |
1,481 | |||||||||
Household Automotive Trust, |
|||||||||||
952 | Series 2005-3, Class A4, 4.940%, 11/19/12 |
954 | |||||||||
255 | Series 2006-1, Class A3, 5.430%, 06/17/11 |
256 | |||||||||
445 | Series 2006-1, Class A4, 5.520%, 03/18/13 |
456 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Asset-Backed Securities Continued |
|||||||||||
1,590 | Series 2006-3, Class A4, 5.340%, 09/17/13 |
1,641 | |||||||||
965 | Series 2007-1, Class A3, 5.300%, 11/17/11 |
975 | |||||||||
Huntington Auto Trust, |
|||||||||||
7,816 | Series 2009-1A, Class A2, 3.480%, 07/15/11 (e) |
7,854 | |||||||||
30,000 | Series 2009-1A, Class A3, 3.940%, 06/17/13 (e) |
30,920 | |||||||||
Hyundai Auto Receivables Trust, |
|||||||||||
13 | Series 2006-B, Class A3, 5.110%, 04/15/11 |
13 | |||||||||
1,250 | Series 2006-B, Class A4, 5.150%, 05/15/13 |
1,300 | |||||||||
2,523 | Series 2007-A, Class A3A, 5.040%, 01/17/12 |
2,563 | |||||||||
168 | Series 2007-A, Class A3B, VAR, 0.632%, 01/17/12 |
168 | |||||||||
200 | Series 2008-A, Class A2, 4.160%, 05/16/11 |
201 | |||||||||
5,575 | Series 2008-A, Class A3, 4.930%, 12/17/12 |
5,806 | |||||||||
7,500 | Series 2009-A, Class A3, 2.030%, 08/15/13 |
7,624 | |||||||||
John Deere Owner Trust, |
|||||||||||
289 | Series 2006-A, Class A4, 5.390%, 06/17/13 |
290 | |||||||||
2,970 | Series 2009-A, Class A3, 2.590%, 10/15/13 |
3,023 | |||||||||
5,240 | Series 2009-B, Class A2, 0.850%, 03/15/12 |
5,251 | |||||||||
4,770 | Series 2009-B, Class A3, 1.570%, 10/15/13 |
4,805 | |||||||||
239 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 07/15/14 |
255 | |||||||||
6,470 | MBNA Master Credit Card Trust, Series 2000-E, Class A, 7.800%, 10/15/12 |
6,572 | |||||||||
2,000 | Mercedes-Benz Auto Receivables Trust, Series 2009-1, Class A3, 1.670%, 01/15/14 |
2,023 | |||||||||
34,985 | MMCA
Automobile Trust, Series 2009-A, Class A3, 3.930%, 03/15/13 (e) |
36,399 | |||||||||
1,384 | Morgan Stanley ABS Capital I, Series 2003-SD1, Class M1, VAR, 1.729%, 03/25/33 |
567 | |||||||||
1,294 | MSDWCC Heloc Trust, Series 2007-1, Class A, VAR, 0.329%, 12/25/31 |
660 | |||||||||
Nissan Auto Receivables Owner Trust, |
|||||||||||
1,306 | Series 2007-B, Class A3, 5.030%, 05/16/11 |
1,316 | |||||||||
3,625 | Series 2007-B, Class A4, 5.160%, 03/17/14 |
3,793 | |||||||||
1,305 | Series 2008-A, Class A3, 3.890%, 08/15/11 |
1,318 | |||||||||
6,560 | Series 2008-B, Class A3, 4.460%, 04/16/12 |
6,709 | |||||||||
596 | Series 2009-1, Class A2, 3.920%, 04/15/11 |
600 | |||||||||
3,335 | Series 2009-1, Class A3, 5.000%, 09/15/14 |
3,484 | |||||||||
7,200 | Series 2009-A, Class A3, 3.200%, 02/15/13 |
7,423 | |||||||||
10,228 | Novastar Home Equity Loan, Series 2005-1, Class M1, VAR, 0.679%, 06/25/35 |
9,962 | |||||||||
59 | Residential Asset Securities Corp., Series 2001-KS1, Class AI6, 6.349%, 03/25/32 |
48 | |||||||||
28 | Residential Funding Mortgage Securities II, Inc., Series 2000-HI1, Class AI7, SUB, 8.290%, 02/25/25 |
24 | |||||||||
358 | Triad Auto Receivables Owner Trust, Series 2007-B, Class A2A, 5.300%, 10/12/11 |
359 | |||||||||
USAA Auto Owner Trust, |
|||||||||||
311 | Series 2006-3, Class A4, 5.360%, 06/15/12 |
316 | |||||||||
1,154 | Series 2006-4, Class A4, 4.980%, 10/15/12 |
1,180 | |||||||||
679 | Series 2007-1, Class A3, 5.430%, 10/17/11 |
684 | |||||||||
5,000 | Series 2007-1, Class A4, 5.550%, 02/15/13 |
5,218 | |||||||||
434 | Series 2007-2, Class A3, 4.900%, 02/15/12 |
439 | |||||||||
2,039 | Series 2008-1, Class A3, 4.160%, 04/16/12 |
2,068 | |||||||||
5,097 | Series 2008-2, Class A3, 4.640%, 10/15/12 |
5,242 | |||||||||
10,144 | Series 2008-3, Class A3, 4.280%, 10/15/12 |
10,402 | |||||||||
9,560 | Series 2009-2, Class A3, 1.540%, 02/18/14 |
9,636 | |||||||||
1,570 | Series 2009-2, Class A4, 2.530%, 07/15/15 |
1,598 | |||||||||
3,179 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 |
3,251 | |||||||||
World Omni Auto Receivables Trust, |
|||||||||||
1,165 | Series 2006-A, Class A4, 5.030%, 10/17/11 |
1,171 | |||||||||
1,038 | Series 2006-B, Class A4, 5.120%, 06/15/12 |
1,063 | |||||||||
3,270 | Series 2007-B, Class A3A, 5.280%, 01/17/12 |
3,318 | |||||||||
5,060 | Series 2007-B, Class A4, 5.390%, 05/15/13 |
5,323 | |||||||||
2,800 | Series 2008-B, Class A3A, 5.130%, 04/15/13 |
2,917 | |||||||||
5,375 | Series 2009-A, Class A3, 3.330%, 05/15/13 |
5,533 | |||||||||
3,960 | Series 2010-A, Class A3, 1.340%, 12/16/13 |
3,973 | |||||||||
4,525 | Series 2010-A, Class A4, 2.210%, 05/15/15 |
4,546 | |||||||||
Total Asset-Backed Securities (Cost $729,505) |
737,836 | ||||||||||
Collateralized Mortgage Obligations 11.3% |
|||||||||||
Agency CMO 5.1% |
|||||||||||
Federal Home Loan Mortgage Corp. Government National Mortgage Association, |
|||||||||||
1,751 | Series 31, Class Z, 8.000%, 04/25/24 |
1,922 | |||||||||
233 | Series 56, Class Z, 7.500%, 09/20/26 |
246 | |||||||||
Federal Home Loan Mortgage Corp. REMICS, |
|||||||||||
23 | Series 2, Class Z, 9.300%, 03/15/19 |
25 | |||||||||
11 | Series 12, Class A, 9.250%, 11/15/19 |
12 | |||||||||
27 | Series 16, Class D, 10.000%, 10/15/19 |
30 | |||||||||
39 | Series 17, Class I, 9.900%, 10/15/19 |
43 | |||||||||
65 | Series 23, Class F, 9.600%, 04/15/20 |
72 | |||||||||
28 | Series 26, Class F, 9.500%, 02/15/20 |
31 | |||||||||
5 | Series 81, Class A, 8.125%, 11/15/20 |
6 | |||||||||
30 | Series 85, Class C, 8.600%, 01/15/21 |
33 | |||||||||
27 | Series 99, Class Z, 9.500%, 01/15/21 |
30 | |||||||||
4 | Series 159, Class H, 4.500%, 09/15/21 |
4 | |||||||||
6 | Series 189, Class D, 6.500%, 10/15/21 |
7 | |||||||||
| (h) | Series 1045, Class G, HB, 1,066.208%, 02/15/21 |
1 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
6 | Series 1053, Class G, 7.000%, 03/15/21 |
7 | |||||||||
18 | Series 1056, Class KZ, 6.500%, 03/15/21 |
19 | |||||||||
9 | Series 1074, Class H, 8.500%, 05/15/21 |
10 | |||||||||
26 | Series 1082, Class C, 9.000%, 05/15/21 |
29 | |||||||||
11 | Series 1087, Class I, 8.500%, 06/15/21 |
12 | |||||||||
33 | Series 1125, Class Z, 8.250%, 08/15/21 |
37 | |||||||||
34 | Series 1142, Class IA, 7.000%, 10/15/21 |
36 | |||||||||
5 | Series 1169, Class G, 7.000%, 11/15/21 |
5 | |||||||||
5 | Series 1173, Class E, 6.500%, 11/15/21 |
5 | |||||||||
67 | Series 1343, Class LA, 8.000%, 08/15/22 |
74 | |||||||||
16 | Series 1424, Class F, VAR, 2.378%, 11/15/22 |
16 | |||||||||
316 | Series 1480, Class LZ, 7.500%, 03/15/23 |
346 | |||||||||
824 | Series 1560, Class Z, 7.000%, 08/15/23 |
898 | |||||||||
71 | Series 1641, Class FA, VAR, 1.200%, 12/15/13 |
71 | |||||||||
201 | Series 1754, Class Z, 8.500%, 09/15/24 |
225 | |||||||||
425 | Series 1779, Class Z, 8.500%, 04/15/25 |
467 | |||||||||
10 | Series 1807, Class G, 9.000%, 10/15/20 |
11 | |||||||||
| (h) | Series 1838, Class H, 6.500%, 04/15/11 |
| (h) | |||||||
1,476 | Series 1888, Class Z, 7.000%, 08/15/26 |
1,609 | |||||||||
4,312 | Series 2065, Class PV, 7.000%, 08/17/27 |
4,350 | |||||||||
2,173 | Series 2358, Class PD, 6.000%, 09/15/16 |
2,296 | |||||||||
2,943 | Series 2363, Class PF, 6.000%, 09/15/16 |
3,149 | |||||||||
1,216 | Series 2382, Class DA, 5.500%, 10/15/30 |
1,241 | |||||||||
1,426 | Series 2390, Class CH, 5.500%, 12/15/16 |
1,520 | |||||||||
2,140 | Series 2418, Class MF, 6.000%, 02/15/22 |
2,356 | |||||||||
617 | Series 2425, Class JH, 6.000%, 03/15/17 |
668 | |||||||||
1,386 | Series 2450, Class PE, 6.000%, 07/15/21 |
1,420 | |||||||||
2,291 | Series 2453, Class BD, 6.000%, 05/15/17 |
2,477 | |||||||||
1,552 | Series 2458, Class OE, 6.000%, 06/15/17 |
1,680 | |||||||||
1,117 | Series 2496, Class BK, 5.500%, 09/15/17 |
1,198 | |||||||||
818 | Series 2503, Class TG, 5.500%, 09/15/17 |
877 | |||||||||
860 | Series 2508, Class AQ, 5.500%, 10/15/17 |
923 | |||||||||
3,970 | Series 2513, Class DB, 5.000%, 10/15/17 |
4,221 | |||||||||
248 | Series 2519, Class HB, 5.000%, 10/15/21 |
253 | |||||||||
61 | Series 2526, Class CA, 5.000%, 06/15/16 |
61 | |||||||||
812 | Series 2528, Class VA, 5.500%, 12/15/12 |
836 | |||||||||
103 | Series 2534, Class HM, 4.500%, 10/15/16 |
106 | |||||||||
576 | Series 2575, Class KA, 5.000%, 11/15/17 |
607 | |||||||||
2,122 | Series 2578, Class DA, 4.500%, 09/15/16 |
2,162 | |||||||||
480 | Series 2579, Class GQ, 4.000%, 01/15/17 |
491 | |||||||||
1,039 | Series 2583, Class TD, 4.500%, 12/15/13 |
1,074 | |||||||||
1,362 | Series 2587, Class WB, 5.000%, 11/15/16 |
1,404 | |||||||||
162 | Series 2617, Class UM, 4.000%, 05/15/15 |
164 | |||||||||
1,671 | Series 2617, Class VN, 5.500%, 04/15/14 |
1,785 | |||||||||
2,602 | Series 2632, Class NE, 4.000%, 06/15/13 |
2,652 | |||||||||
7,012 | Series 2635, Class MS, IF, IO, 7.519%, 02/15/18 |
748 | |||||||||
268 | Series 2640, Class VM, 4.500%, 12/15/21 |
278 | |||||||||
4,271 | Series 2641, Class KJ, 4.000%, 01/15/18 |
4,444 | |||||||||
884 | Series 2643, Class ME, 3.500%, 03/15/18 |
917 | |||||||||
3,732 | Series 2645, Class SP, IF, IO, 6.919%, 07/15/26 |
64 | |||||||||
1,429 | Series 2666, Class OC, 5.500%, 01/15/22 |
1,512 | |||||||||
16 | Series 2668, Class AD, 4.000%, 01/15/15 |
16 | |||||||||
530 | Series 2685, Class MX, 4.000%, 07/15/16 |
547 | |||||||||
597 | Series 2718, Class TC, 5.000%, 04/15/27 |
612 | |||||||||
595 | Series 2755, Class PA, PO, 02/15/29 |
574 | |||||||||
3,875 | Series 2763, Class PD, 4.500%, 12/15/17 |
4,100 | |||||||||
331 | Series 2763, Class TA, 4.000%, 03/15/11 |
339 | |||||||||
4,034 | Series 2765, Class CA, 4.000%, 07/15/17 |
4,189 | |||||||||
3,500 | Series 2773, Class OB, 5.000%, 02/15/19 |
3,746 | |||||||||
584 | Series 2780, Class YP, 7.500%, 08/15/18 |
628 | |||||||||
437 | Series 2782, Class HE, 4.000%, 09/15/17 |
454 | |||||||||
566 | Series 2786, Class PC, 4.500%, 10/15/16 |
578 | |||||||||
2,769 | Series 2812, Class AB, 4.500%, 10/15/18 |
2,899 | |||||||||
686 | Series 2825, Class VP, 5.500%, 06/15/15 |
741 | |||||||||
4,000 | Series 2836, Class PX, 4.000%, 05/15/18 |
4,188 | |||||||||
268 | Series 2851, Class BD, 4.000%, 02/15/20 |
273 | |||||||||
9,402 | Series 2859, Class SA, IF, IO, 7.019%, 11/15/18 |
742 | |||||||||
4,287 | Series 2875, Class HA, 4.000%, 11/15/18 |
4,465 | |||||||||
2,805 | Series 2924, Class DA, 4.500%, 02/15/19 |
2,934 | |||||||||
706 | Series 2927, Class YN, 4.500%, 10/15/32 |
744 | |||||||||
41 | Series 2955, Class OC, 5.000%, 02/15/24 |
41 | |||||||||
1,402 | Series 2956, Class LD, 5.000%, 05/15/18 |
1,454 | |||||||||
1,468 | Series 2962, Class WJ, 5.500%, 06/15/24 |
1,550 | |||||||||
20,395 | Series 2989, Class MU, IF, IO, 6.769%, 07/15/34 |
2,645 | |||||||||
2,555 | Series 2993, Class MN, 5.000%, 06/15/23 |
2,678 | |||||||||
2,003 | Series 2995, Class FT, VAR, 0.481%, 05/15/29 |
1,969 | |||||||||
767 | Series 3001, Class YN, 4.500%, 06/15/33 |
791 | |||||||||
1,417 | Series 3005, Class PV, IF, 12.366%, 10/15/33 |
1,565 | |||||||||
4,810 | Series 3036, Class NB, 5.000%, 01/15/29 |
5,086 | |||||||||
707 | Series 3047, Class OB, 5.500%, 12/15/33 |
757 | |||||||||
316 | Series 3082, Class PE, 5.000%, 12/15/23 |
318 | |||||||||
347 | Series 3151, Class PA, 6.000%, 03/15/26 |
350 | |||||||||
1,107 | Series 3173, Class PH, 6.000%, 09/15/27 |
1,137 | |||||||||
5,992 | Series 3192, Class GA, 6.000%, 03/15/27 |
6,101 | |||||||||
8,355 | Series 3197, Class AB, 5.500%, 08/15/13 |
8,424 | |||||||||
4,137 | Series 3205, Class PA, 6.000%, 04/15/27 |
4,188 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
3,018 | Series 3234, Class MA, 4.500%, 03/15/28 |
3,119 | |||||||||
2,414 | Series 3242, Class NC, 5.750%, 12/15/28 |
2,506 | |||||||||
3,526 | Series 3242, Class PA, 5.750%, 11/15/29 |
3,686 | |||||||||
4,131 | Series 3280, Class MA, 5.500%, 05/15/26 |
4,252 | |||||||||
14,810 | Series 3305, Class IW, IF, IO, 6.219%, 04/15/37 |
1,160 | |||||||||
1,047 | Series 3329, Class JA, 6.000%, 08/15/28 |
1,099 | |||||||||
3,905 | Series 3356, Class PA, 6.000%, 11/15/26 |
4,020 | |||||||||
1,267 | Series 3363, Class A, 5.000%, 07/15/16 |
1,325 | |||||||||
160,524 | Series 3420, Class EI, IO, SUB, 2.031%, 08/15/37 |
4,665 | |||||||||
20,499 | Series 3429, Class S, IF, IO, 6.589%, 03/15/38 |
2,008 | |||||||||
70,987 | Series 3437, Class DI, IO, 1.559%, 02/15/12 |
1,090 | |||||||||
58,937 | Series 3523, Class CI, IO, VAR, 2.461%, 02/15/12 |
1,733 | |||||||||
12,436 | Series 3546, Class A, VAR, 6.124%, 02/15/39 |
13,040 | |||||||||
2,354 | Series R008, Class FK, VAR, 0.631%, 07/15/23 |
2,338 | |||||||||
61 | Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, Series T-20, Class A6, SUB, 7.990%, 09/25/29 |
61 | |||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
21 | Series 1988-7, Class Z, 9.250%, 04/25/18 |
23 | |||||||||
26 | Series 1988-13, Class C, 9.300%, 05/25/18 |
29 | |||||||||
20 | Series 1988-15, Class A, 9.000%, 06/25/18 |
23 | |||||||||
22 | Series 1988-16, Class B, 9.500%, 06/25/18 |
25 | |||||||||
17 | Series 1989-2, Class D, 8.800%, 01/25/19 |
19 | |||||||||
47 | Series 1989-27, Class Y, 6.900%, 06/25/19 |
50 | |||||||||
12 | Series 1989-54, Class E, 8.400%, 08/25/19 |
14 | |||||||||
12 | Series 1989-66, Class J, 7.000%, 09/25/19 |
13 | |||||||||
10 | Series 1989-70, Class G, 8.000%, 10/25/19 |
11 | |||||||||
179 | Series 1989-72, Class E, 9.350%, 10/25/19 |
207 | |||||||||
23 | Series 1989-89, Class H, 9.000%, 11/25/19 |
26 | |||||||||
8 | Series 1989-96, Class H, 9.000%, 12/25/19 |
10 | |||||||||
15 | Series 1990-7, Class B, 8.500%, 01/25/20 |
17 | |||||||||
13 | Series 1990-12, Class G, 4.500%, 02/25/20 |
13 | |||||||||
268 | Series 1990-19, Class G, 9.750%, 02/25/20 |
307 | |||||||||
51 | Series 1990-58, Class J, 7.000%, 05/25/20 |
56 | |||||||||
49 | Series 1990-61, Class H, 7.000%, 06/25/20 |
54 | |||||||||
22 | Series 1990-106, Class J, 8.500%, 09/25/20 |
25 | |||||||||
10 | Series 1990-109, Class J, 7.000%, 09/25/20 |
11 | |||||||||
28 | Series 1990-111, Class Z, 8.750%, 09/25/20 |
30 | |||||||||
15 | Series 1990-117, Class E, 8.950%, 10/25/20 |
17 | |||||||||
14 | Series 1990-123, Class G, 7.000%, 10/25/20 |
16 | |||||||||
14 | Series 1990-132, Class Z, 7.000%, 11/25/20 |
15 | |||||||||
580 | Series 1990-137, Class X, 9.000%, 12/25/20 |
637 | |||||||||
5 | Series 1991-53, Class J, 7.000%, 05/25/21 |
6 | |||||||||
33 | Series 1991-130, Class C, 9.000%, 09/25/21 |
37 | |||||||||
48 | Series 1992-81, Class ZB, 8.500%, 04/25/22 |
53 | |||||||||
3 | Series 1992-96, Class B, PO, 05/25/22 |
3 | |||||||||
2,832 | Series 1992-131, Class KB, 8.000%, 08/25/22 |
3,134 | |||||||||
2,839 | Series 1992-185, Class L, 8.000%, 10/25/22 |
3,156 | |||||||||
10 | Series 1993-165, Class SN, IF, 11.471%, 09/25/23 |
11 | |||||||||
60 | Series 1993-220, Class PJ, 6.000%, 11/25/13 |
60 | |||||||||
| (h) | Series 1993-225, Class MC, PO, 11/25/23 |
| (h) | |||||||
78 | Series 1993-235, Class G, PO, 09/25/23 |
68 | |||||||||
1 | Series 1997-46, Class PN, 6.500%, 07/18/12 |
1 | |||||||||
9 | Series 1997-55, Class B, 7.000%, 02/18/27 |
10 | |||||||||
9,902 | Series 1999-6, Class PB, 6.000%, 03/25/19 |
10,780 | |||||||||
4,407 | Series 1999-42, Class SA, IF, IO, 7.971%, 10/25/28 |
232 | |||||||||
2,468 | Series 2002-2, Class MG, 6.000%, 02/25/17 |
2,668 | |||||||||
1,343 | Series 2002-3, Class OG, 6.000%, 02/25/17 |
1,449 | |||||||||
2,497 | Series 2002-28, Class LD, 6.000%, 05/25/17 |
2,696 | |||||||||
1,467 | Series 2002-58, Class HC, 5.500%, 09/25/17 |
1,570 | |||||||||
2,899 | Series 2002-59, Class UC, 5.500%, 09/25/17 |
3,105 | |||||||||
945 | Series 2002-63, Class KC, 5.000%, 10/25/17 |
1,003 | |||||||||
3,000 | Series 2003-3, Class PD, 5.000%, 08/25/16 |
3,116 | |||||||||
11,336 | Series 2003-5, Class SE, IF, IO, 7.421%, 08/25/22 |
1,029 | |||||||||
425 | Series 2003-21, Class M, 5.000%, 02/25/17 |
439 | |||||||||
25,752 | Series 2003-25, Class CS, IF, IO, 7.421%, 03/25/17 |
1,264 | |||||||||
7,521 | Series 2003-25, Class SC, IF, IO, 7.421%, 03/25/17 |
302 | |||||||||
3,169 | Series 2003-42, Class CI, IO, 6.500%, 05/25/33 |
579 | |||||||||
253 | Series 2003-46, Class VX, 6.000%, 10/25/15 |
254 | |||||||||
4,501 | Series 2003-49, Class IO, IO, 6.500%, 06/25/33 |
817 | |||||||||
10,325 | Series 2003-57, Class IB, IO, 5.000%, 06/25/18 |
790 | |||||||||
11,193 | Series 2003-69, Class GI, IO, 5.000%, 12/25/31 |
974 | |||||||||
2,200 | Series 2003-86, Class DM, 4.000%, 09/25/10 |
2,224 | |||||||||
4,446 | Series 2003-92, Class HP, 4.500%, 09/25/18 |
4,694 | |||||||||
425 | Series 2003-108, Class HA, 5.000%, 01/25/27 |
431 | |||||||||
1,389 | Series 2003-113, Class PC, 4.000%, 03/25/15 |
1,400 | |||||||||
2,040 | Series 2003-120, Class BQ, 4.000%, 09/25/16 |
2,101 | |||||||||
1,564 | Series 2004-72, Class F, VAR, 0.729%, 09/25/34 |
1,550 | |||||||||
460 | Series 2004-101, Class AR, 5.500%, 01/25/35 |
496 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
1,541 | Series 2005-1, Class HC, 5.000%, 09/25/28 |
1,605 | |||||||||
18,747 | Series 2005-19, Class PA, 5.500%, 07/25/34 |
20,162 | |||||||||
8,115 | Series 2005-19, Class SK, IF, IO, 6.521%, 11/25/22 |
529 | |||||||||
961 | Series 2005-27, Class TH, 5.500%, 07/25/31 |
1,006 | |||||||||
5,693 | Series 2005-38, Class FK, VAR, 0.529%, 05/25/35 |
5,597 | |||||||||
1,188 | Series 2005-40, Class YA, 5.000%, 09/25/20 |
1,245 | |||||||||
1,011 | Series 2005-47, Class AN, 5.000%, 12/25/16 |
1,036 | |||||||||
693 | Series 2005-48, Class OM, 5.000%, 03/25/30 |
722 | |||||||||
3,123 | Series 2005-68, Class JK, 5.250%, 05/25/35 |
3,153 | |||||||||
2,810 | Series 2005-83, Class LJ, 5.000%, 10/25/35 |
2,821 | |||||||||
666 | Series 2005-84, Class MB, 5.750%, 10/25/35 |
724 | |||||||||
4,453 | Series 2005-104, Class YA, 5.500%, 10/25/19 |
4,560 | |||||||||
5,000 | Series 2006-39, Class WB, 5.500%, 10/25/30 |
5,299 | |||||||||
16,333 | Series 2006-58, Class ST, IF, IO, 6.921%, 07/25/36 |
2,214 | |||||||||
688 | Series 2006-81, Class NA, 6.000%, 02/25/27 |
706 | |||||||||
4,510 | Series 2006-102, Class MA, 6.000%, 07/25/27 |
4,621 | |||||||||
2,588 | Series 2007-16, Class FC, VAR, 0.979%, 03/25/37 |
2,442 | |||||||||
7,140 | Series 2007-22, Class SC, IF, IO, 5.851%, 03/25/37 |
706 | |||||||||
22,071 | Series 2007-33, Class MS, IF, IO, 6.361%, 04/25/37 |
2,532 | |||||||||
5,176 | Series 2007-47, Class PA, 5.000%, 02/25/28 |
5,381 | |||||||||
6,837 | Series 2007-54, Class FA, VAR, 0.629%, 06/25/37 |
6,780 | |||||||||
3,503 | Series 2007-79, Class MA, 5.500%, 12/25/28 |
3,643 | |||||||||
28,354 | Series 2007-85, Class SH, IF, IO, 6.271%, 09/25/37 |
3,298 | |||||||||
25,472 | Series 2007-95, Class A1, 0.481%, 08/27/36 |
25,417 | |||||||||
6,777 | Series 2007-106, Class A7, VAR, 6.137%, 10/25/37 |
7,086 | |||||||||
13,410 | Series 2008-18, Class SE, IF, IO, 6.041%, 03/25/38 |
1,546 | |||||||||
147,988 | Series 2008-35, Class EI, IO, VAR, 1.555%, 03/25/12 |
3,053 | |||||||||
2,240 | Series 2008-72, Class IO, IO, 5.000%, 08/25/28 |
273 | |||||||||
8,054 | Series 2009-29, Class LA, VAR, 6.768%, 05/25/39 |
8,848 | |||||||||
57,650 | Series 2009-70, Class IN, IO, 4.500%, 08/25/19 |
6,609 | |||||||||
21 | Series G-11, Class Z, 8.500%, 05/25/21 |
23 | |||||||||
9 | Series G-22, Class ZT, 8.000%, 12/25/16 |
10 | |||||||||
15 | Series G-41, Class PT, 7.500%, 10/25/21 |
15 | |||||||||
1,417 | Series G92-19, Class M, 8.500%, 04/25/22 |
1,584 | |||||||||
39 | Series G92-35, Class E, 7.500%, 07/25/22 |
43 | |||||||||
1,222 | Series G92-35, Class EA, 8.000%, 07/25/22 |
1,358 | |||||||||
19 | Series G92-40, Class ZC, 7.000%, 07/25/22 |
21 | |||||||||
175 | Series G92-44, Class ZQ, 8.000%, 07/25/22 |
194 | |||||||||
43 | Series G92-54, Class ZQ, 7.500%, 09/25/22 |
48 | |||||||||
6,505 | Series G92-64, Class J, 8.000%, 11/25/22 |
7,231 | |||||||||
2,563 | Series G92-66, Class K, 8.000%, 12/25/22 |
2,849 | |||||||||
2,510 | Series G94-6, Class PJ, 8.000%, 05/17/24 |
2,790 | |||||||||
Federal National Mortgage Association STRIPS, |
|||||||||||
2 | Series 25, Class 1, 6.000%, 02/01/13 |
2 | |||||||||
159 | Series 108, Class 1, PO, 03/01/20 |
153 | |||||||||
3 | Series 268, Class 2, IO, 9.000%, 02/01/23 |
1 | |||||||||
2,508 | Series 334, Class 13, IO, VAR, 6.000%, 03/01/33 |
456 | |||||||||
2,217 | Series 334, Class 17, IO, VAR, 6.500%, 02/01/33 |
441 | |||||||||
3,072 | Series 334, Class 24, IO, VAR, 5.000%, 02/01/18 |
299 | |||||||||
4,908 | Series 334, Class 9, IO, 6.000%, 03/01/33 |
905 | |||||||||
18,404 | Series 343, Class 21, IO, 4.000%, 09/01/18 |
1,586 | |||||||||
7,842 | Series 345, Class 22, IO, VAR, 4.500%, 05/01/20 |
778 | |||||||||
3,187 | Series 351, Class 28, IO, VAR, 5.000%, 04/01/19 |
343 | |||||||||
2,099 | Series 356, Class 16, IO, VAR, 5.500%, 06/01/35 |
328 | |||||||||
2,391 | Series 359, Class 16, IO, VAR, 5.500%, 10/01/35 |
371 | |||||||||
3,261 | Series 369, Class 19, IO, VAR, 6.000%, 10/01/36 |
534 | |||||||||
1,995 | Series 369, Class 26, IO, VAR, 6.500%, 10/01/36 |
314 | |||||||||
10,484 | Series 386, Class 20, IO, VAR, 6.500%, 08/25/38 |
1,933 | |||||||||
13,927 | Series 394, Class C3, IO, 6.500%, 09/25/38 |
2,297 | |||||||||
3 | Federal National Mortgage Association Whole Loan, Series 1995-W3, Class A, 9.000%, 04/25/25 |
4 | |||||||||
Government National Mortgage Association, |
|||||||||||
130 | Series 1997-12, Class D, 7.500%, 09/20/27 |
137 | |||||||||
2,592 | Series 2004-39, Class IN, IO, 5.500%, 06/20/33 |
391 | |||||||||
17,311 | Series 2008-75, Class SP, IF, IO, 7.241%, 08/20/38 |
1,549 | |||||||||
24,211 | Series 2009-14, Class KS, IF, IO, 6.071%, 03/20/39 |
2,227 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
6,717 | Series 2009-14, Class NI, IO, 6.500%, 03/20/39 |
894 | |||||||||
58,398 | Series 2009-14, Class SA, IF, IO, 5.851%, 03/20/39 |
5,373 | |||||||||
28 | Vendee Mortgage Trust, Series 1994-3C, Class 3, 9.784%, 03/15/21 |
31 | |||||||||
397,475 | |||||||||||
Non-Agency CMO 6.2% |
|||||||||||
ABN Amro Mortgage Corp., |
|||||||||||
9,628 | Series 2003-7, Class A3, 4.500%, 07/25/18 |
9,781 | |||||||||
1,751 | Series 2003-9, Class A2, 4.500%, 08/25/18 |
1,736 | |||||||||
Banc of America Mortgage Securities, Inc., |
|||||||||||
4,938 | Series 2004-3, Class 1A23, 4.500%, 04/25/34 |
4,954 | |||||||||
3,763 | Series 2004-4, Class 1A9, 5.000%, 05/25/34 |
3,716 | |||||||||
10,003 | Series 2004-4, Class 4A1, 4.750%, 05/25/19 |
10,063 | |||||||||
7,104 | Series 2004-5, Class 3A5, 4.750%, 06/25/19 |
7,133 | |||||||||
17,310 | Series 2004-5, Class 4A1, 4.750%, 06/25/19 |
17,326 | |||||||||
3,358 | Series 2004-6, Class 1A8, 5.500%, 07/25/34 |
3,355 | |||||||||
220 | Series 2004-E, Class 2A5, VAR, 4.149%, 06/25/34 |
220 | |||||||||
19,276 | Series 2005-1, Class 2A1, 5.000%, 02/25/20 |
19,083 | |||||||||
13,118 | Series 2007-1, Class 1A7, 5.750%, 03/25/37 |
13,187 | |||||||||
BCAP LLC Trust, |
|||||||||||
10,416 | Series 2006-RR1, Class PA, 5.000%, 11/25/36 |
10,514 | |||||||||
11,148 | Series
2009-RR13, Class 5A1, VAR, 5.750%, 01/26/36 (e) |
11,148 | |||||||||
583 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-7, Class 3A, VAR, 4.950%, 10/25/33 |
537 | |||||||||
1,757 | Cendant Mortgage Corp., Series 2004-3, Class A3, VAR, 5.507%, 06/25/34 |
1,736 | |||||||||
9,706 | Chase Mortgage Finance Corp., Series 2003-S10, Class A1, 4.750%, 11/25/18 |
9,842 | |||||||||
2,963 | Citicorp Mortgage Securities, Inc., Series 2004-3, Class A8, 5.250%, 05/25/34 |
2,963 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
|||||||||||
3,048 | Series 2003-UP3, Class A1, 7.000%, 09/25/33 |
2,985 | |||||||||
12,048 | Series 2004-UST1, Class A6, VAR, 5.072%, 08/25/34 |
12,293 | |||||||||
306 | Countrywide Alternative Loan Trust, Series 2003-J3, Class 2A1, 6.250%, 12/25/33 |
305 | |||||||||
4,220 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-J13, Class 1A5, 5.250%, 11/25/14 |
4,211 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
|||||||||||
10,929 | Series 2003-34, Class A6, 5.250%, 09/25/33 |
11,087 | |||||||||
2,197 | Series 2004-8, Class 2A1, 4.500%, 06/25/19 |
2,177 | |||||||||
1,934 | Credit Suisse Mortgage Capital Certificates, Series 2007-5, Class 5A5, VAR, 5.446%, 12/25/14 |
1,858 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
5,946 | Series 2003-23, Class 8A1, 5.000%, 09/25/18 |
5,920 | |||||||||
9,036 | Series 2004-8, Class 6A1, 4.500%, 12/25/19 |
9,135 | |||||||||
324 | First Horizon Alternative Mortgage Securities, Series 2005-FA7, Class 1A5, 5.500%, 10/25/35 |
320 | |||||||||
First Horizon Asset Securities, Inc., |
|||||||||||
10,814 | Series 2003-8, Class 2A1, 4.500%, 09/25/18 |
10,824 | |||||||||
9,851 | Series 2004-7, Class 2A1, 4.750%, 12/25/19 |
9,982 | |||||||||
GMAC Mortgage Corp. Loan Trust, |
|||||||||||
9,829 | Series 2003-AR1, Class A4, VAR, 4.098%, 10/19/33 |
9,289 | |||||||||
6 | Series 2003-J1, Class A3, 5.250%, 03/25/18 |
6 | |||||||||
694 | Series 2003-J4, Class 2A1, 4.750%, 09/25/18 |
703 | |||||||||
14,834 | GSR Mortgage Loan Trust, Series 2004-10F, Class 1A6, 4.500%, 08/25/19 |
14,650 | |||||||||
2,832 | Impac Secured Assets CMN Owner Trust, Series 2004-4, Class 2A2, VAR, 0.589%, 02/25/35 |
1,550 | |||||||||
13,231 | JP Morgan Mortgage Trust, Series 2006-A2, Class 4A1, VAR, 4.054%, 08/25/34 |
12,642 | |||||||||
16 | Kidder Peabody Mortgage Assets Trust, Series A, Class A1, 6.500%, 02/22/17 |
17 | |||||||||
6,690 | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A6, VAR, 3.097%, 11/21/34 |
6,637 | |||||||||
392 | MASTR Alternative Loans Trust, Series 2004-8, Class 6A1, 5.500%, 09/25/19 |
379 | |||||||||
MASTR Asset Securitization Trust, |
|||||||||||
2,596 | Series 2002-7, Class 1A1, 5.500%, 11/25/17 |
2,650 | |||||||||
6,645 | Series 2003-2, Class 1A1, 5.000%, 03/25/18 |
6,805 | |||||||||
110 | Series 2003-4, Class 2A2, 5.000%, 05/25/18 |
110 | |||||||||
4,124 | Series 2003-11, Class 10A1, 5.000%, 12/25/18 |
4,182 | |||||||||
9,542 | Series 2004-6, Class 6A1, 4.500%, 07/25/19 |
9,503 | |||||||||
2,545 | Merrill Lynch Mortgage Investors, Inc., Series 2005-A6, Class 2A2, VAR, 0.509%, 08/25/35 |
1,727 | |||||||||
8 | Merrill Lynch Trust, Series 44, Class G, 9.000%, 08/20/20 |
8 | |||||||||
786 | Morgan Stanley Mortgage Loan Trust, Series 2004-1, Class 1A3, 5.000%, 11/25/18 |
718 | |||||||||
Nomura Asset Acceptance Corp., |
|||||||||||
2,192 | Series 2005-AR1, Class 1A1, VAR, 2.885%, 02/25/35 |
1,567 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Collateralized Mortgage Obligations Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
1,123 | Series 2005-AR2, Class 3A1, VAR, 0.479%, 05/25/35 |
920 | |||||||||
3,005 | Series 2005-AR6, Class 4A1, VAR, 0.489%, 12/25/35 |
1,563 | |||||||||
11 | Paine Webber CMO Trust, Series L, Class 4, 8.950%, 07/01/18 |
12 | |||||||||
13,836 | Prime Mortgage Trust, Series 2005-2, Class 1A1, 4.750%, 07/25/20 |
14,055 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
951 | Series 2003-QR24, Class A7, 4.000%, 07/25/33 |
789 | |||||||||
4,250 | Series 2003-QS1, Class A6, 4.250%, 01/25/33 |
4,262 | |||||||||
1,143 | Residential Asset Mortgage Products, Inc., Series 2004-SL1, Class A5, 6.000%, 11/25/31 |
1,141 | |||||||||
4,461 | Residential Funding Mortgage Securities I, Series 2002-S18, Class A1, 5.250%, 12/25/17 |
4,456 | |||||||||
Structured Asset Securities Corp., |
|||||||||||
9,576 | Series 2003-8, Class 1A2, 5.000%, 04/25/18 |
9,167 | |||||||||
3,102 | Series 2003-31A, Class B1, VAR, 3.277%, 10/25/33 |
1,465 | |||||||||
7,755 | Thornburg Mortgage Securities Trust, Series 2006-4, Class A2B, VAR, 0.349%, 07/25/36 |
7,541 | |||||||||
4,800 | WaMu Mortgage Pass Through Certificates, Series 2003-S10, Class A4, 4.500%, 10/25/18 |
4,881 | |||||||||
3,182 | WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1, VAR, 2.753%, 01/25/35 |
3,041 | |||||||||
904 | Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-MS3, Class 1A4, 6.500%, 05/25/32 |
903 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
11,909 | Series 2003-10, Class A1, 4.500%, 09/25/18 |
11,801 | |||||||||
9,480 | Series 2003-11, Class 2A1, 4.750%, 10/25/18 |
9,637 | |||||||||
9,629 | Series 2003-12, Class A1, 4.750%, 11/25/18 |
9,788 | |||||||||
11,092 | Series 2003-12, Class A2, 4.500%, 11/25/18 |
11,158 | |||||||||
1,008 | Series 2003-12, Class A3, 5.000%, 11/25/18 |
1,022 | |||||||||
8,934 | Series 2003-15, Class 1A1, 4.750%, 12/25/18 |
9,060 | |||||||||
12,224 | Series 2003-16, Class 2A1, 4.500%, 12/25/18 |
12,327 | |||||||||
8,038 | Series 2003-K, Class 1A1, VAR, 4.473%, 11/25/33 |
8,015 | |||||||||
128 | Series 2003-K, Class 1A2, VAR, 4.473%, 11/25/33 |
127 | |||||||||
17,809 | Series 2003-M, Class A1, VAR, 4.687%, 12/25/33 |
17,612 | |||||||||
10,319 | Series 2004-7, Class 2A1, 4.500%, 07/25/19 |
10,432 | |||||||||
3,649 | Series 2004-EE, Class 2A2, VAR, 3.091%, 12/25/34 |
3,507 | |||||||||
4,911 | Series 2004-EE, Class 3A2, VAR, 3.901%, 12/25/34 |
4,925 | |||||||||
11,303 | Series 2004-O, Class A1, VAR, 4.862%, 08/25/34 |
11,387 | |||||||||
18,955 | Series 2005-1, Class 1A1, 4.750%, 01/25/20 |
19,221 | |||||||||
18,156 | Series 2005-13, Class A1, 5.000%, 11/25/20 |
18,504 | |||||||||
1,692 | Series 2006-AR11, Class A4, VAR, 5.424%, 08/25/36 |
1,588 | |||||||||
938 | Series 2006-AR17, Class A1, VAR, 5.291%, 10/25/36 |
735 | |||||||||
486,576 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $874,674) |
884,051 | ||||||||||
Commercial Mortgage-Backed Securities 1.8% |
|||||||||||
Banc of America Commercial Mortgage, Inc., |
|||||||||||
2,287 | Series 2002-2, Class A2, 4.772%, 07/11/43 |
2,342 | |||||||||
3,760 | Series 2004-5, Class A3, 4.561%, 11/10/41 |
3,846 | |||||||||
5,918 | Bear Stearns Commercial Mortgage Securities, Series 2002-TOP6, Class A2, 6.460%, 10/15/36 |
6,302 | |||||||||
3,170 | Chase Commercial Mortgage Securities Corp., Series 2000-2, Class A2, 7.631%, 07/15/32 |
3,205 | |||||||||
553 | Citigroup Commercial Mortgage Trust, Series 2006-C4, Class A1, VAR, 5.727%, 03/15/49 |
566 | |||||||||
1,330 | Commercial Mortgage Asset Trust, Series 1999-C1, Class A4, VAR, 6.975%, 01/17/32 |
1,448 | |||||||||
5,002 | Commercial Mortgage Pass Through Certificates, Series 2005-LP5, Class A2, 4.630%, 05/10/43 |
5,044 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
3,201 | Series 2000-C1, Class A2, 7.545%, 04/15/62 |
3,207 | |||||||||
11,751 | Series 2001-CF2, Class A4, 6.505%, 02/15/34 |
12,097 | |||||||||
4,566 | Series 2002-CKS4, Class A1, 4.485%, 11/15/36 |
4,646 | |||||||||
5,000 | Series 2005-C6, Class A2FX, VAR, 5.207%, 12/15/40 |
5,059 | |||||||||
15,132 | First Union National Bank Commercial Mortgage, Series 2000-C2, Class B, VAR, 7.281%, 10/15/32 |
15,503 | |||||||||
GMAC Commercial Mortgage Securities, Inc., |
|||||||||||
2,018 | Series 2003-C1, Class A1, 3.337%, 05/10/36 |
2,037 | |||||||||
900 | Series 2003-C3, Class A3, 4.646%, 04/10/40 |
916 | |||||||||
2,000 | GS Mortgage
Securities Corp. II, Series 2001-GL3A, Class A2, VAR, 6.449%, 08/05/18 (e) |
2,140 | |||||||||
481 | LB-UBS Commercial Mortgage Trust, Series 2004-C8, Class A2, 4.201%, 12/15/29 |
481 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Commercial Mortgage-Backed Securities Continued |
|||||||||||
705 | Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A2, 4.071%, 10/12/41 |
705 | |||||||||
Morgan Stanley Capital I, |
|||||||||||
7,908 | Series 2003-T11, Class A3, 4.850%, 06/13/41 |
8,045 | |||||||||
14,183 | Series 2004-HQ3, Class A2, 4.050%, 01/13/41 |
14,255 | |||||||||
835 | Series 2006-T23, Class A1, 5.682%, 08/12/41 |
860 | |||||||||
2,250 | Morgan
Stanley Dean Witter Capital I, Series 2001-280, Class A2, 6.494%, 02/03/16 (e) |
2,364 | |||||||||
3,315 | Nomura Asset Securities Corp., Series 1998-D6, Class A1C, 6.690%, 03/15/30 |
3,580 | |||||||||
5,969 | Prudential Commercial Mortgage Trust, Series 2003-PWR1, Class A1, 3.669%, 02/11/36 |
6,035 | |||||||||
Prudential Mortgage Capital Funding LLC, |
|||||||||||
10,000 | Series 2001-ROCK, Class B, 6.760%, 05/10/34 |
10,512 | |||||||||
10,000 | Series 2001-ROCK, Class C, 6.936%, 05/10/34 |
10,341 | |||||||||
13,525 | TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 6.072%, 08/15/39 |
14,625 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $138,487) |
140,161 | ||||||||||
Corporate Bonds 12.1% |
|||||||||||
Consumer Discretionary 0.4% |
|||||||||||
Auto Components 0.1% |
|||||||||||
3,305 | Johnson Controls, Inc., 4.875%, 09/15/13 |
3,521 | |||||||||
Automobiles 0.0% (g) |
|||||||||||
1,000 | Daimler Finance North America LLC, 5.750%, 09/08/11 |
1,060 | |||||||||
Media 0.1% |
|||||||||||
310 | Comcast Cable Communications Holdings, Inc., 8.375%, 03/15/13 |
360 | |||||||||
Cox Communications, Inc., |
|||||||||||
1,400 | 5.450%, 12/15/14 |
1,536 | |||||||||
1,255 | 7.750%, 11/01/10 |
1,306 | |||||||||
2,000 | Historic TW, Inc., 9.125%, 01/15/13 |
2,342 | |||||||||
868 | Thomson Reuters Corp., (Canada), 6.200%, 01/05/12 |
940 | |||||||||
Time Warner Cable, Inc., |
|||||||||||
670 | 6.200%, 07/01/13 |
741 | |||||||||
550 | 7.500%, 04/01/14 |
642 | |||||||||
2,000 | Viacom, Inc., 4.375%, 09/15/14 |
2,095 | |||||||||
585 | Walt Disney Co. (The), 4.700%, 12/01/12 |
635 | |||||||||
10,597 | |||||||||||
Multiline Retail 0.1% |
|||||||||||
1,256 | Kohls Corp., 7.375%, 10/15/11 |
1,375 | |||||||||
Target Corp., |
|||||||||||
1,190 | 5.125%, 01/15/13 |
1,287 | |||||||||
505 | 6.350%, 01/15/11 |
531 | |||||||||
3,193 | |||||||||||
Specialty Retail 0.1% |
|||||||||||
Home Depot, Inc., |
|||||||||||
1,795 | 4.625%, 08/15/10 |
1,827 | |||||||||
330 | 5.200%, 03/01/11 |
343 | |||||||||
2,555 | 5.250%, 12/16/13 |
2,773 | |||||||||
1,215 | Lowes Cos, Inc., 8.250%, 06/01/10 |
1,235 | |||||||||
2,675 | Staples, Inc., 9.750%, 01/15/14 |
3,271 | |||||||||
9,449 | |||||||||||
Total Consumer Discretionary |
27,820 | ||||||||||
Consumer Staples 0.5% |
|||||||||||
Beverages 0.2% |
|||||||||||
1,840 | Bottling Group LLC, 5.000%, 11/15/13 |
1,996 | |||||||||
5,030 | Coca-Cola Co. (The), 3.625%, 03/15/14 |
5,287 | |||||||||
1,020 | Coca-Cola Enterprises, Inc., 8.500%, 02/01/12 |
1,160 | |||||||||
1,595 | Diageo Capital plc, (United Kingdom), 7.375%, 01/15/14 |
1,878 | |||||||||
1,860 | PepsiCo, Inc., 3.750%, 03/01/14 |
1,948 | |||||||||
4,800 | SABMiller plc, (United Kingdom), 5.500%, 08/15/13 (e) |
5,187 | |||||||||
17,456 | |||||||||||
Food & Staples Retailing 0.1% |
|||||||||||
2,120 | Kroger Co. (The), 7.500%, 01/15/14 |
2,468 | |||||||||
2,225 | Wal-Mart Stores, Inc., 7.250%, 06/01/13 |
2,592 | |||||||||
5,060 | |||||||||||
Food Products 0.2% |
|||||||||||
3,100 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 |
3,297 | |||||||||
Cargill, Inc., |
|||||||||||
1,355 | 5.000%,
11/15/13 (e) |
1,465 | |||||||||
1,450 | 5.200%,
01/22/13 (e) |
1,552 | |||||||||
2,100 | General Mills, Inc., 5.250%, 08/15/13 |
2,295 | |||||||||
600 | HJ Heinz Finance Co., 6.625%, 07/15/11 |
642 | |||||||||
710 | Kellogg Co., 4.250%, 03/06/13 |
756 | |||||||||
Kraft Foods, Inc., |
|||||||||||
1,500 | 2.625%, 05/08/13 |
1,516 | |||||||||
900 | 6.000%, 02/11/13 |
994 | |||||||||
2,959 | 6.250%, 06/01/12 |
3,221 | |||||||||
2,780 | 6.750%, 02/19/14 |
3,157 | |||||||||
18,895 | |||||||||||
Household Products 0.0% (g) |
|||||||||||
905 | Kimberly-Clark Corp., 5.625%, 02/15/12 |
976 | |||||||||
Total Consumer Staples |
42,387 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Energy 0.3% |
|||||||||||
Oil, Gas & Consumable Fuels 0.3% |
|||||||||||
Anadarko Petroleum Corp., |
|||||||||||
435 | 5.750%, 06/15/14 |
476 | |||||||||
2,000 | 7.625%, 03/15/14 |
2,321 | |||||||||
1,390 | Cenovus
Energy, Inc., (Canada), 4.500%, 09/15/14 (e) |
1,463 | |||||||||
800 | Chevron Corp., 3.950%, 03/03/14 |
849 | |||||||||
905 | Conoco Funding Co., (Canada), 6.350%, 10/15/11 |
983 | |||||||||
ConocoPhillips, |
|||||||||||
1,145 | 4.750%, 02/01/14 |
1,241 | |||||||||
2,930 | 9.375%, 02/15/11 |
3,158 | |||||||||
3,158 | ConocoPhillips Australia Funding Co., 5.500%, 04/15/13 |
3,474 | |||||||||
1,600 | Devon Financing Corp. ULC, (Canada), 6.875%, 09/30/11 |
1,736 | |||||||||
1,975 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 |
2,233 | |||||||||
Shell International Finance B.V., (Netherlands), |
|||||||||||
850 | 1.300%, 09/22/11 |
857 | |||||||||
2,260 | 4.000%, 03/21/14 |
2,390 | |||||||||
2,400 | Statoil ASA,
(Norway), 5.125%, 04/30/14 (e) |
2,638 | |||||||||
1,325 | XTO Energy, Inc., 4.625%, 06/15/13 |
1,429 | |||||||||
Total Energy |
25,248 | ||||||||||
Financials 7.4% |
|||||||||||
Capital Markets 1.8% |
|||||||||||
Bank of New York Mellon Corp. (The), |
|||||||||||
1,200 | 3.100%, 01/15/15 |
1,206 | |||||||||
1,535 | 4.300%, 05/15/14 |
1,632 | |||||||||
3,000 | 4.500%, 04/01/13 |
3,212 | |||||||||
3,800 | 5.125%, 08/27/13 |
4,168 | |||||||||
4,000 | BlackRock, Inc., 3.500%, 12/10/14 |
4,062 | |||||||||
2,300 | Citicorp, 7.250%, 10/15/11 |
2,460 | |||||||||
Credit Suisse USA, Inc., |
|||||||||||
1,756 | 5.125%,
01/15/14 (c) |
1,891 | |||||||||
3,205 | 5.500%, 08/16/11 |
3,401 | |||||||||
5,170 | 6.125%, 11/15/11 |
5,581 | |||||||||
800 | 6.500%, 01/15/12 |
871 | |||||||||
Goldman Sachs Group, Inc. (The), |
|||||||||||
4,435 | 3.625%, 08/01/12 |
4,601 | |||||||||
2,000 | 5.000%, 01/15/11 |
2,074 | |||||||||
2,800 | 5.000%, 10/01/14 |
2,951 | |||||||||
950 | 5.250%,
04/01/13 (c) |
1,017 | |||||||||
800 | 5.250%, 10/15/13 |
862 | |||||||||
9,435 | 5.450%, 11/01/12 |
10,118 | |||||||||
18,840 | 6.000%, 05/01/14 |
20,677 | |||||||||
3,000 | 6.600%, 01/15/12 |
3,256 | |||||||||
2,000 | Jefferies Group, Inc., 7.750%, 03/15/12 |
2,165 | |||||||||
Lehman Brothers Holdings, Inc., |
|||||||||||
2,225 | 3.950%,
11/10/09 (d) |
501 | |||||||||
500 | 5.750%,
07/18/11 (d) |
112 | |||||||||
1,062 | 6.625%,
01/18/12 (d) |
239 | |||||||||
Merrill Lynch & Co., Inc., |
|||||||||||
1,000 | 4.500%, 11/04/10 |
1,023 | |||||||||
4,710 | 4.790%, 08/04/10 |
4,787 | |||||||||
968 | 5.000%, 01/15/15 |
992 | |||||||||
3,271 | 5.450%, 02/05/13 |
3,467 | |||||||||
1,100 | 6.050%, 08/15/12 |
1,182 | |||||||||
1,785 | 6.150%, 04/25/13 |
1,930 | |||||||||
Morgan Stanley, |
|||||||||||
3,682 | 4.200%, 11/20/14 |
3,693 | |||||||||
3,073 | 4.250%, 05/15/10 |
3,093 | |||||||||
800 | 4.750%, 04/01/14 |
813 | |||||||||
7,400 | 5.250%, 11/02/12 |
7,909 | |||||||||
500 | 5.750%, 08/31/12 |
539 | |||||||||
7,800 | 6.000%, 05/13/14 |
8,437 | |||||||||
3,000 | 6.600%, 04/01/12 |
3,264 | |||||||||
5,300 | 6.750%, 04/15/11 |
5,599 | |||||||||
2,500 | Nomura Holdings, Inc., (Japan), 5.000%, 03/04/15 |
2,525 | |||||||||
Northern Trust Corp., |
|||||||||||
2,910 | 5.300%, 08/29/11 |
3,091 | |||||||||
970 | 5.500%, 08/15/13 |
1,068 | |||||||||
State Street Corp., |
|||||||||||
4,485 | 4.300%, 05/30/14 |
4,717 | |||||||||
2,000 | 7.650%, 06/15/10 |
2,038 | |||||||||
6,670 | UBS AG, (Switzerland), 3.875%, 01/15/15 |
6,672 | |||||||||
143,896 | |||||||||||
Commercial Banks 2.2% |
|||||||||||
1,000 | American Express Bank FSB, 5.500%, 04/16/13 |
1,070 | |||||||||
1,190 | ANZ National (International) Ltd., (New Zealand), 2.375%, 12/21/12 (e) |
1,196 | |||||||||
2,345 | Bank of America Corp., 5.375%, 09/11/12 |
2,491 | |||||||||
1,830 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 |
1,857 | |||||||||
2,782 | Bank of
Tokyo-Mitsubishi UFJ Ltd., (Japan), 2.600%, 01/22/13 (e) |
2,811 | |||||||||
Barclays Bank plc, (United Kingdom), |
|||||||||||
2,945 | 2.500%, 01/23/13 |
2,943 | |||||||||
2,980 | 5.200%, 07/10/14 |
3,188 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Commercial Banks Continued |
|||||||||||
3,700 | 5.450%, 09/12/12 |
4,013 | |||||||||
BB&T Corp., |
|||||||||||
3,380 | 3.375%, 09/25/13 |
3,467 | |||||||||
2,000 | 3.850%, 07/27/12 |
2,093 | |||||||||
4,505 | 4.750%, 10/01/12 |
4,765 | |||||||||
1,232 | 6.500%, 08/01/11 |
1,311 | |||||||||
5,000 | BNY Mellon N.A., 4.750%, 12/15/14 |
5,371 | |||||||||
2,185 | Branch Banking & Trust Co., 4.875%, 01/15/13 |
2,326 | |||||||||
Credit Suisse, (Switzerland), |
|||||||||||
5,225 | 3.450%, 07/02/12 |
5,414 | |||||||||
4,829 | 5.000%, 05/15/13 |
5,195 | |||||||||
3,600 | 5.500%, 05/01/14 |
3,933 | |||||||||
Deutsche Bank AG, (Germany), |
|||||||||||
7,290 | 2.375%, 01/11/13 |
7,305 | |||||||||
2,505 | 3.875%, 08/18/14 |
2,580 | |||||||||
900 | 4.875%, 05/20/13 |
968 | |||||||||
4,000 | HSBC Bank USA N.A., 4.625%, 04/01/14 |
4,216 | |||||||||
1,650 | HSBC Holdings plc, (United Kingdom), 5.250%, 12/12/12 |
1,778 | |||||||||
KeyBank N.A., |
|||||||||||
1,778 | 5.500%, 09/17/12 |
1,889 | |||||||||
750 | 5.700%, 08/15/12 |
793 | |||||||||
1,290 | 5.800%, 07/01/14 |
1,318 | |||||||||
695 | KeyCorp, 6.500%, 05/14/13 |
741 | |||||||||
1,525 | M&I Marshall & Ilsley Bank, 5.150%, 02/22/12 (c) |
1,526 | |||||||||
805 | M&T Bank Corp., 5.375%, 05/24/12 |
853 | |||||||||
1,213 | Mellon Funding Corp., 6.400%, 05/14/11 |
1,290 | |||||||||
5,070 | National
Australia Bank Ltd., (Australia), 2.500%, 01/08/13 (e) |
5,088 | |||||||||
500 | National City Bank, 4.500%, 03/15/10 |
501 | |||||||||
1,960 | PNC Funding Corp., 4.500%, 03/10/10 |
1,962 | |||||||||
5,543 | SouthTrust Corp., 5.800%, 06/15/14 |
5,939 | |||||||||
SunTrust Banks, Inc., |
|||||||||||
2,500 | 5.250%, 11/05/12 |
2,641 | |||||||||
1,000 | 6.375%, 04/01/11 |
1,047 | |||||||||
U.S. Bancorp, |
|||||||||||
5,938 | 2.875%, 11/20/14 |
5,942 | |||||||||
1,595 | 4.200%, 05/15/14 |
1,683 | |||||||||
500 | 4.500%, 07/29/10 (c) |
509 | |||||||||
U.S. Bank N.A., |
|||||||||||
4,020 | 4.950%, 10/30/14 |
4,344 | |||||||||
6,202 | 6.375%, 08/01/11 |
6,651 | |||||||||
5,400 | Union Planters Corp., 4.375%, 12/01/10 |
5,416 | |||||||||
Wachovia Bank N.A., |
|||||||||||
5,678 | 4.800%, 11/01/14 |
5,892 | |||||||||
3,900 | 7.800%, 08/18/10 |
4,024 | |||||||||
Wachovia Corp., |
|||||||||||
630 | 4.875%, 02/15/14 |
657 | |||||||||
1,115 | 5.500%, 05/01/13 |
1,204 | |||||||||
Wells Fargo & Co., |
|||||||||||
7,455 | 3.750%, 10/01/14 |
7,545 | |||||||||
5,770 | 4.625%, 04/15/14 |
5,977 | |||||||||
6,780 | 5.250%, 10/23/12 |
7,309 | |||||||||
2,240 | 6.375%, 08/01/11 |
2,384 | |||||||||
4,700 | Wells Fargo Bank N.A., 6.450%, 02/01/11 |
4,967 | |||||||||
Westpac Banking Corp., (Australia), |
|||||||||||
6,973 | 2.250%, 11/19/12 |
7,009 | |||||||||
2,665 | 4.200%, 02/27/15 |
2,749 | |||||||||
170,141 | |||||||||||
Consumer Finance 0.6% |
|||||||||||
American Express Credit Corp., |
|||||||||||
1,184 | 5.875%, 05/02/13 |
1,283 | |||||||||
1,330 | 7.300%, 08/20/13 |
1,502 | |||||||||
700 | American General Finance Corp., 4.875%, 05/15/10 |
695 | |||||||||
1,000 | American
Honda Finance Corp., 5.125%, 12/15/10 (e) |
1,034 | |||||||||
3,200 | Boeing Capital Corp., 6.500%, 02/15/12 |
3,519 | |||||||||
Capital One Bank USA N.A., |
|||||||||||
2,000 | 5.125%, 02/15/14 |
2,097 | |||||||||
767 | 5.750%, 09/15/10 |
785 | |||||||||
1,310 | Capital One Financial Corp., 7.375%, 05/23/14 |
1,502 | |||||||||
1,490 | FIA Card Services N.A., 7.125%, 11/15/12 |
1,639 | |||||||||
HSBC Finance Corp., |
|||||||||||
4,250 | 4.750%, 07/15/13 |
4,477 | |||||||||
547 | 5.250%, 01/14/11 |
565 | |||||||||
3,500 | 5.900%, 06/19/12 |
3,754 | |||||||||
3,120 | 6.375%, 10/15/11 |
3,326 | |||||||||
3,470 | 6.375%, 11/27/12 |
3,826 | |||||||||
2,315 | 7.000%, 05/15/12 |
2,536 | |||||||||
2,995 | 8.000%, 07/15/10 |
3,073 | |||||||||
John Deere Capital Corp., |
|||||||||||
1,757 | 5.100%, 01/15/13 |
1,906 | |||||||||
2,245 | 5.250%, 10/01/12 |
2,447 | |||||||||
2,044 | 5.650%, 07/25/11 |
2,177 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Consumer Finance Continued |
|||||||||||
MBNA Corp., |
|||||||||||
1,360 | 6.125%, 03/01/13 |
1,462 | |||||||||
500 | 7.500%, 03/15/12 |
547 | |||||||||
500 | Toyota Motor Credit Corp., VAR, 0.293%, 04/07/10 |
500 | |||||||||
2,000 | Washington Mutual Finance Corp., 6.875%, 05/15/11 |
2,107 | |||||||||
46,759 | |||||||||||
Diversified Financial Services 2.1% |
|||||||||||
3,000 | BA Covered Bond Issuer, 5.500%, 06/14/12 (e) |
3,204 | |||||||||
Bank of America Corp., |
|||||||||||
1,500 | 4.500%, 08/01/10 |
1,522 | |||||||||
5,955 | 4.900%, 05/01/13 |
6,255 | |||||||||
388 | 7.125%, 10/15/11 |
415 | |||||||||
12,300 | 7.375%, 05/15/14 |
13,831 | |||||||||
950 | 7.400%, 01/15/11 |
1,000 | |||||||||
1,543 | BHP Billiton Finance USA Ltd., (Australia), 5.000%, 12/15/10 |
1,597 | |||||||||
BP Capital Markets plc, (United Kingdom), |
|||||||||||
1,190 | 3.125%, 03/10/12 |
1,236 | |||||||||
1,870 | 3.625%, 05/08/14 |
1,951 | |||||||||
2,350 | 5.250%, 11/07/13 |
2,596 | |||||||||
Caterpillar Financial Services Corp., |
|||||||||||
800 | 4.850%, 12/07/12 |
866 | |||||||||
1,665 | 4.900%, 08/15/13 |
1,803 | |||||||||
600 | 5.750%, 02/15/12 |
650 | |||||||||
1,240 | 6.125%, 02/17/14 |
1,400 | |||||||||
1,720 | 6.200%, 09/30/13 |
1,947 | |||||||||
Citigroup, Inc., |
|||||||||||
4,320 | 5.250%, 02/27/12 |
4,530 | |||||||||
2,885 | 5.300%, 10/17/12 |
3,031 | |||||||||
3,450 | 5.500%, 08/27/12 |
3,649 | |||||||||
3,600 | 5.500%, 04/11/13 |
3,768 | |||||||||
1,385 | 5.500%, 10/15/14 |
1,426 | |||||||||
4,000 | 5.850%, 07/02/13 |
4,226 | |||||||||
1,650 | 6.000%, 02/21/12 |
1,751 | |||||||||
6,445 | 6.375%, 08/12/14 |
6,840 | |||||||||
3,090 | CME Group, Inc., 5.400%, 08/01/13 |
3,400 | |||||||||
1,000 | Diageo Investment Corp., 9.000%, 08/15/11 |
1,111 | |||||||||
General Electric Capital Corp., |
|||||||||||
2,500 | 2.625%, 12/28/12 |
2,575 | |||||||||
3,800 | 2.800%, 01/08/13 |
3,833 | |||||||||
10,000 | 3.750%, 11/14/14 |
10,072 | |||||||||
5,075 | 4.375%, 11/21/11 |
5,307 | |||||||||
10,500 | 5.250%, 10/19/12 |
11,217 | |||||||||
9,142 | 5.450%, 01/15/13 |
9,831 | |||||||||
9,701 | 5.500%, 06/04/14 |
10,368 | |||||||||
9,725 | 5.875%, 02/15/12 |
10,466 | |||||||||
11,830 | 5.900%, 05/13/14 |
12,981 | |||||||||
7,815 | 6.000%, 06/15/12 |
8,452 | |||||||||
3,605 | NASDAQ OMX Group Inc. (The), 4.000%, 01/15/15 |
3,603 | |||||||||
885 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 |
907 | |||||||||
1,000 | Textron Financial Corp., 5.125%, 11/01/10 |
1,017 | |||||||||
164,634 | |||||||||||
FDIC Guaranteed Securities 0.1% (˜) |
|||||||||||
3,530 | General Electric Capital Corp., 3.000%, 12/09/11 |
3,662 | |||||||||
3,150 | Morgan Stanley, 3.250%, 12/01/11 |
3,281 | |||||||||
2,220 | Wells Fargo & Co., 3.000%, 12/09/11 |
2,303 | |||||||||
9,246 | |||||||||||
Insurance 0.5% |
|||||||||||
1,420 | Allstate Corp. (The), 5.000%, 08/15/14 |
1,529 | |||||||||
500 | Allstate Life Global Funding Trusts, 5.375%, 04/30/13 |
545 | |||||||||
Berkshire Hathaway Finance Corp., |
|||||||||||
5,680 | 4.000%, 04/15/12 |
5,985 | |||||||||
2,495 | 5.000%, 08/15/13 |
2,719 | |||||||||
890 | Genworth Global Funding Trusts, 5.200%, 10/08/10 |
910 | |||||||||
Jackson National Life Global Funding, |
|||||||||||
1,000 | 5.125%,
02/10/11 (e) |
1,026 | |||||||||
2,100 | 5.375%,
05/08/13 (e) |
2,255 | |||||||||
1,050 | MassMutual Global Funding II, 3.625%, 07/16/12 (e) |
1,093 | |||||||||
Metropolitan Life Global Funding I, |
|||||||||||
775 | 2.500%,
01/11/13 (e) |
780 | |||||||||
750 | 2.875%,
09/17/12 (e) |
764 | |||||||||
1,350 | 5.125%,
04/10/13 (e) |
1,458 | |||||||||
700 | 5.200%,
09/18/13 (e) |
751 | |||||||||
1,000 | Monumental
Global Funding II, 5.650%, 07/14/11 (e) |
1,047 | |||||||||
2,000 | Monumental Global Funding Ltd., (Cayman Islands), 5.500%, 04/22/13 (e) |
2,132 | |||||||||
2,400 | New York Life Global Funding, 4.650%, 05/09/13 (e) |
2,565 | |||||||||
1,400 | Pacific Life Global Funding, 5.150%, 04/15/13 (e) |
1,484 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Insurance Continued |
|||||||||||
Pricoa Global Funding I, |
|||||||||||
1,125 | 5.400%,
10/18/12 (e) |
1,222 | |||||||||
3,450 | 5.450%,
06/11/14 (e) |
3,753 | |||||||||
1,000 | 5.625%,
05/24/11 (e) |
1,035 | |||||||||
Principal Life Income Funding Trusts, |
|||||||||||
1,835 | 5.150%, 06/17/11 |
1,910 | |||||||||
335 | 5.300%, 12/14/12 |
364 | |||||||||
4,065 | 5.300%, 04/24/13 |
4,396 | |||||||||
500 | Travelers Property Casualty Corp., 5.000%, 03/15/13 |
533 | |||||||||
40,256 | |||||||||||
Real Estate Investment Trusts (REITs) 0.0% (g) |
|||||||||||
Simon Property Group LP, |
|||||||||||
666 | 4.200%, 02/01/15 |
674 | |||||||||
645 | 4.875%, 03/18/10 |
646 | |||||||||
1,075 | 6.750%, 05/15/14 |
1,191 | |||||||||
2,511 | |||||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||
2,150 | Countrywide Financial Corp., 5.800%, 06/07/12 |
2,290 | |||||||||
1,100 | Golden West Financial Corp., 4.750%, 10/01/12 |
1,152 | |||||||||
3,442 | |||||||||||
Total Financials |
580,885 | ||||||||||
Health Care 0.1% |
|||||||||||
Health Care Equipment & Supplies 0.0% (g) |
|||||||||||
255 | Baxter International, Inc., 4.000%, 03/01/14 |
268 | |||||||||
585 | Hospira, Inc., 5.550%, 03/30/12 |
626 | |||||||||
894 | |||||||||||
Health Care Providers & Services 0.0% (g) |
|||||||||||
550 | WellPoint Health Networks, Inc., 6.375%, 01/15/12 |
593 | |||||||||
215 | WellPoint, Inc., 6.000%, 02/15/14 |
239 | |||||||||
832 | |||||||||||
Pharmaceuticals 0.1% |
|||||||||||
850 | Eli Lilly & Co., 3.550%, 03/06/12 |
889 | |||||||||
2,000 | GlaxoSmithKline Capital, Inc., 4.850%, 05/15/13 |
2,172 | |||||||||
1,180 | Pfizer, Inc., 4.450%, 03/15/12 |
1,259 | |||||||||
4,320 | |||||||||||
Total Health Care |
6,046 | ||||||||||
Industrials 0.5% |
|||||||||||
Aerospace & Defense 0.1% |
|||||||||||
Boeing Co. (The), |
|||||||||||
760 | 3.500%, 02/15/15 |
781 | |||||||||
2,135 | 5.000%, 03/15/14 |
2,331 | |||||||||
2,125 | 5.125%, 02/15/13 |
2,320 | |||||||||
1,000 | Northrop Grumman Corp., 3.700%, 08/01/14 |
1,032 | |||||||||
6,464 | |||||||||||
Air Freight & Logistics 0.0% (g) |
|||||||||||
1,050 | United Parcel Service, Inc., 4.500%, 01/15/13 |
1,131 | |||||||||
Commercial Services & Supplies 0.0% (g) |
|||||||||||
1,100 | Waste Management, Inc., 6.375%, 11/15/12 |
1,218 | |||||||||
Industrial Conglomerates 0.1% |
|||||||||||
3,767 | General Electric Co., 5.000%, 02/01/13 |
4,043 | |||||||||
Honeywell International, Inc., |
|||||||||||
1,285 | 4.250%, 03/01/13 |
1,370 | |||||||||
1,705 | 5.625%, 08/01/12 |
1,874 | |||||||||
831 | 7.500%, 03/01/10 |
831 | |||||||||
8,118 | |||||||||||
Machinery 0.0% (g) |
|||||||||||
1,475 | Deere & Co., 6.950%, 04/25/14 |
1,723 | |||||||||
PACCAR, Inc., |
|||||||||||
100 | 6.375%, 02/15/12 |
109 | |||||||||
1,150 | 6.875%, 02/15/14 |
1,324 | |||||||||
3,156 | |||||||||||
Road & Rail 0.3% |
|||||||||||
Burlington Northern Santa Fe Corp., |
|||||||||||
2,916 | 5.900%, 07/01/12 |
3,172 | |||||||||
3,120 | 6.750%, 07/15/11 |
3,343 | |||||||||
Canadian National Railway Co., (Canada), |
|||||||||||
605 | 4.950%, 01/15/14 |
660 | |||||||||
539 | 6.375%, 10/15/11 |
585 | |||||||||
CSX Corp., |
|||||||||||
2,530 | 6.300%, 03/15/12 |
2,743 | |||||||||
1,100 | 9.780%, 02/14/11 |
1,159 | |||||||||
Norfolk Southern Corp., |
|||||||||||
2,075 | 6.750%, 02/15/11 |
2,181 | |||||||||
400 | 8.625%, 05/15/10 |
406 | |||||||||
Union Pacific Corp., |
|||||||||||
930 | 5.450%, 01/31/13 |
1,008 | |||||||||
2,865 | 6.500%, 04/15/12 |
3,134 | |||||||||
500 | 6.650%, 01/15/11 |
524 | |||||||||
18,915 | |||||||||||
Total Industrials |
39,002 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Information Technology 0.5% |
|||||||||||
Communications Equipment 0.0% (g) |
|||||||||||
1,230 | Cisco Systems, Inc., 2.900%, 11/17/14 |
1,253 | |||||||||
900 | Cisco Systems, Inc., 5.250%, 02/22/11 |
940 | |||||||||
2,193 | |||||||||||
Computers & Peripherals 0.2% |
|||||||||||
Dell, Inc., |
|||||||||||
660 | 4.700%, 04/15/13 |
711 | |||||||||
745 | 5.625%, 04/15/14 |
825 | |||||||||
Hewlett-Packard Co., |
|||||||||||
490 | 2.950%, 08/15/12 |
509 | |||||||||
350 | 4.500%, 03/01/13 |
375 | |||||||||
2,500 | 4.750%, 06/02/14 |
2,711 | |||||||||
1,400 | 6.125%, 03/01/14 |
1,583 | |||||||||
International Business Machines Corp., |
|||||||||||
1,655 | 2.100%, 05/06/13 |
1,670 | |||||||||
1,785 | 4.750%, 11/29/12 |
1,946 | |||||||||
1,150 | 6.500%, 10/15/13 |
1,327 | |||||||||
650 | 7.500%, 06/15/13 |
765 | |||||||||
12,422 | |||||||||||
Electronic Equipment, Instruments & Components 0.0% (g) |
|||||||||||
1,695 | Arrow Electronics, Inc., 6.875%, 07/01/13 |
1,873 | |||||||||
IT Services 0.1% |
|||||||||||
6,504 | Electronic Data Systems LLC, 6.000%, 08/01/13 |
7,293 | |||||||||
Office Electronics 0.1% |
|||||||||||
Xerox Corp., |
|||||||||||
1,000 | 6.875%, 08/15/11 |
1,070 | |||||||||
2,505 | 8.250%, 05/15/14 |
2,950 | |||||||||
4,020 | |||||||||||
Software 0.1% |
|||||||||||
2,026 | Intuit, Inc., 5.400%, 03/15/12 |
2,163 | |||||||||
3,155 | Microsoft Corp., 2.950%, 06/01/14 |
3,232 | |||||||||
Oracle Corp., |
|||||||||||
2,650 | 3.750%, 07/08/14 |
2,777 | |||||||||
2,515 | 4.950%, 04/15/13 |
2,756 | |||||||||
10,928 | |||||||||||
Total Information Technology |
38,729 | ||||||||||
Materials 0.3% |
|||||||||||
Chemicals 0.3% |
|||||||||||
845 | Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
886 | |||||||||
835 | Dow Chemical Co. (The), 4.850%, 08/15/12 |
889 | |||||||||
EI du Pont de Nemours & Co., |
|||||||||||
2,425 | 3.250%, 01/15/15 |
2,448 | |||||||||
4,985 | 5.000%, 01/15/13 |
5,380 | |||||||||
1,500 | Monsanto Co., 7.375%, 08/15/12 |
1,709 | |||||||||
2,925 | Potash Corp. of Saskatchewan, Inc., (Canada), 7.750%, 05/31/11 |
3,162 | |||||||||
1,800 | PPG Industries, Inc., 5.750%, 03/15/13 |
1,962 | |||||||||
Praxair, Inc., |
|||||||||||
3,045 | 1.750%, 11/15/12 |
3,046 | |||||||||
1,920 | 3.950%, 06/01/13 |
2,020 | |||||||||
21,502 | |||||||||||
Metals & Mining 0.0% (g) |
|||||||||||
900 | BHP Billiton Finance USA Ltd., (Australia), 5.125%, 03/29/12 |
966 | |||||||||
625 | Nucor Corp., 5.000%, 06/01/13 |
681 | |||||||||
1,647 | |||||||||||
Total Materials |
23,149 | ||||||||||
Telecommunication Services 1.2% |
|||||||||||
Diversified Telecommunication Services 0.9% |
|||||||||||
3,635 | AT&T Corp., 7.300%, 11/15/11 |
4,003 | |||||||||
AT&T, Inc., |
|||||||||||
11,805 | 4.950%, 01/15/13 |
12,746 | |||||||||
1,875 | 5.875%, 02/01/12 |
2,021 | |||||||||
10,060 | 6.700%, 11/15/13 |
11,459 | |||||||||
2,615 | BellSouth Corp., 5.200%, 09/15/14 |
2,858 | |||||||||
British Telecommunications plc, (United Kingdom), |
|||||||||||
4,050 | 5.150%, 01/15/13 |
4,291 | |||||||||
5,395 | 9.125%, 12/15/10 |
5,732 | |||||||||
Deutsche Telekom International Finance BV, (Netherlands), |
|||||||||||
3,130 | 4.875%, 07/08/14 |
3,329 | |||||||||
2,000 | 5.375%, 03/23/11 |
2,087 | |||||||||
5,990 | France Telecom S.A., (France), 4.375%, 07/08/14 |
6,363 | |||||||||
Telecom Italia Capital S.A., (Luxembourg), |
|||||||||||
1,000 | 4.950%, 09/30/14 |
1,044 | |||||||||
1,450 | 6.175%, 06/18/14 |
1,579 | |||||||||
Telefonica Emisiones S.A.U., (Spain), |
|||||||||||
1,280 | 4.949%, 01/15/15 |
1,359 | |||||||||
2,110 | 5.855%, 02/04/13 |
2,307 | |||||||||
4,100 | Verizon Communications, Inc., 4.350%, 02/15/13 |
4,360 | |||||||||
2,335 | Verizon Florida LLC, 6.125%, 01/15/13 |
2,543 | |||||||||
Verizon Global Funding Corp., |
|||||||||||
785 | 7.250%, 12/01/10 |
824 | |||||||||
275 | 7.375%, 09/01/12 |
313 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued |
|||||||||||
Diversified Telecommunication Services Continued |
|||||||||||
410 | Verizon Maryland, Inc., 6.125%, 03/01/12 |
441 | |||||||||
69,659 | |||||||||||
Wireless Telecommunication Services 0.3% |
|||||||||||
Cellco Partnership/Verizon Wireless Capital LLC, |
|||||||||||
2,880 | 3.750%, 05/20/11 |
2,975 | |||||||||
11,235 | 5.550%, 02/01/14 |
12,375 | |||||||||
New Cingular Wireless Services, Inc., |
|||||||||||
3,185 | 7.875%, 03/01/11 |
3,406 | |||||||||
1,881 | 8.125%, 05/01/12 |
2,129 | |||||||||
Vodafone Group plc, (United Kingdom), |
|||||||||||
2,000 | 4.150%, 06/10/14 |
2,094 | |||||||||
425 | VAR, 0.594%, 06/15/11 |
425 | |||||||||
23,404 | |||||||||||
Total Telecommunication Services |
93,063 | ||||||||||
Utilities 0.9% |
|||||||||||
Electric Utilities 0.6% |
|||||||||||
500 | American Electric Power Co., Inc., 5.375%, 03/15/10 |
501 | |||||||||
CenterPoint Energy Houston Electric LLC, |
|||||||||||
700 | 5.700%, 03/15/13 |
763 | |||||||||
610 | 5.750%, 01/15/14 |
672 | |||||||||
200 | 7.000%, 03/01/14 |
230 | |||||||||
3,085 | Consumers Energy Co., 4.000%, 05/15/10 |
3,104 | |||||||||
Duke Energy Corp., |
|||||||||||
1,095 | 3.950%, 09/15/14 |
1,134 | |||||||||
2,000 | 5.650%, 06/15/13 |
2,196 | |||||||||
1,478 | 6.300%, 02/01/14 |
1,650 | |||||||||
537 | Duke Energy Ohio, Inc., 2.100%, 06/15/13 |
538 | |||||||||
1,539 | Exelon Generation Co. LLC, 5.350%, 01/15/14 |
1,662 | |||||||||
2,500 | FirstEnergy Corp., 6.450%, 11/15/11 |
2,671 | |||||||||
1,239 | FPL Group Capital, Inc., 5.350%, 06/15/13 |
1,345 | |||||||||
225 | MidAmerican Energy Co., 5.125%, 01/15/13 |
244 | |||||||||
1,047 | Midamerican Energy Holdings Co., 5.875%, 10/01/12 |
1,151 | |||||||||
2,400 | Midamerican Funding LLC, 6.750%, 03/01/11 |
2,530 | |||||||||
5,205 | Nisource Finance Corp., 7.875%, 11/15/10 |
5,434 | |||||||||
650 | Northern States Power Co., 4.750%, 08/01/10 |
662 | |||||||||
Ohio Power Co., |
|||||||||||
1,325 | 5.300%, 11/01/10 |
1,366 | |||||||||
2,210 | 5.750%, 09/01/13 |
2,416 | |||||||||
716 | Peco Energy Co., 5.000%, 10/01/14 |
780 | |||||||||
1,837 | PPL Electric Utilities Corp., 7.125%, 11/30/13 |
2,123 | |||||||||
Progress Energy, Inc., |
|||||||||||
295 | 6.050%, 03/15/14 |
327 | |||||||||
557 | 7.100%, 03/01/11 |
587 | |||||||||
1,200 | Public Service Electric & Gas Co., 5.000%, 08/15/14 |
1,299 | |||||||||
420 | Southern California Edison Co., 4.150%, 09/15/14 |
448 | |||||||||
923 | Southern Co., 4.150%, 05/15/14 |
974 | |||||||||
669 | Spectra Energy Capital LLC, 6.250%, 02/15/13 |
731 | |||||||||
Virginia Electric and Power Co., |
|||||||||||
1,000 | 4.750%, 03/01/13 |
1,077 | |||||||||
4,460 | 5.100%, 11/30/12 |
4,863 | |||||||||
43,478 | |||||||||||
Gas Utilities 0.2% |
|||||||||||
810 | AGL Capital Corp., 4.450%, 04/15/13 |
853 | |||||||||
6,915 | Atmos Energy Corp., 7.375%, 05/15/11 |
7,425 | |||||||||
CenterPoint Energy Resources Corp., |
|||||||||||
1,600 | 7.750%, 02/15/11 |
1,696 | |||||||||
1,455 | 7.875%, 04/01/13 |
1,677 | |||||||||
2,000 | Consolidated Natural Gas Co., 5.000%, 03/01/14 |
2,142 | |||||||||
860 | Schlumberger Technology Corp., 6.500%, 04/15/12 (e) |
948 | |||||||||
2,635 | TransCanada Pipelines Ltd., (Canada), 4.000%, 06/15/13 |
2,755 | |||||||||
17,496 | |||||||||||
Multi-Utilities 0.1% |
|||||||||||
Dominion Resources, Inc., |
|||||||||||
425 | 4.750%, 12/15/10 |
438 | |||||||||
1,610 | 5.700%, 09/17/12 |
1,756 | |||||||||
400 | PG&E Corp., 5.750%, 04/01/14 |
441 | |||||||||
Sempra Energy, |
|||||||||||
1,210 | 6.000%, 02/01/13 |
1,315 | |||||||||
6,010 | 8.900%, 11/15/13 |
7,214 | |||||||||
11,164 | |||||||||||
Total Utilities |
72,138 | ||||||||||
Total Corporate Bonds (Cost $920,569) |
948,467 | ||||||||||
Foreign Government Securities 0.2% |
|||||||||||
247 | Province of Manitoba, (Canada), 2.125%, 04/22/13 |
249 | |||||||||
Province of Ontario, (Canada), |
|||||||||||
6,530 | 2.950%, 02/05/15 |
6,586 | |||||||||
1,250 | 4.100%, 06/16/14 |
1,329 | |||||||||
3,420 | United Mexican States, (Mexico), 6.375%, 01/16/13 |
3,813 | |||||||||
Total Foreign Government Securities (Cost $11,702) |
11,977 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities 10.0% |
|||||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
128 | ARM, 2.771%, 01/01/27 |
130 | |||||||||
169 | ARM, 3.050%, 12/01/27 |
173 | |||||||||
17 | ARM, 3.740%, 12/01/17 |
18 | |||||||||
435 | ARM, 4.137%, 03/01/35 |
452 | |||||||||
7,551 | ARM, 5.257%, 10/01/35 |
7,974 | |||||||||
7,927 | ARM, 5.553%, 03/01/35 |
8,247 | |||||||||
1,300 | ARM, 5.576%, 07/01/36 |
1,351 | |||||||||
12,230 | ARM, 5.627%, 03/01/36 |
12,554 | |||||||||
7,561 | ARM, 5.656%, 03/01/36 |
7,850 | |||||||||
604 | ARM, 5.673%, 04/01/37 |
629 | |||||||||
10,807 | ARM, 5.715%, 01/01/38 |
11,463 | |||||||||
11,205 | ARM, 5.738%, 04/01/38 |
11,876 | |||||||||
15,939 | ARM, 5.829%, 06/01/37 |
16,585 | |||||||||
3,090 | ARM, 5.844%, 03/01/37 |
3,218 | |||||||||
32,394 | ARM, 5.909%, 06/01/37 |
33,749 | |||||||||
6,134 | ARM, 5.924%, 11/01/36 |
6,392 | |||||||||
7,445 | ARM, 5.968%, 02/01/37 |
7,757 | |||||||||
9,867 | ARM, 5.972%, 05/01/37 |
10,549 | |||||||||
1,230 | ARM, 5.999%, 08/01/37 |
1,284 | |||||||||
4,603 | ARM, 6.002%, 08/01/36 |
4,656 | |||||||||
7,405 | ARM, 6.010%, 12/01/36 |
7,725 | |||||||||
2,674 | ARM, 6.013%, 08/01/36 |
2,782 | |||||||||
4,848 | ARM, 6.051%, 03/01/37 |
5,063 | |||||||||
5,785 | ARM, 6.062%, 08/01/37 |
6,028 | |||||||||
6 | ARM, 6.066%, 01/01/27 |
6 | |||||||||
6,018 | ARM, 6.092%, 03/01/37 |
6,280 | |||||||||
2,545 | ARM, 6.099%, 10/01/37 |
2,708 | |||||||||
5,996 | ARM, 6.137%, 04/01/37 |
6,252 | |||||||||
3,553 | ARM, 6.214%, 12/01/36 |
3,710 | |||||||||
1,817 | ARM, 6.290%, 06/01/36 |
1,880 | |||||||||
12,306 | ARM, 6.367%, 10/01/36 |
12,822 | |||||||||
3,870 | ARM, 6.446%, 08/01/36 |
4,040 | |||||||||
3,738 | ARM, 6.466%, 02/01/37 |
3,900 | |||||||||
10,421 | ARM, 6.504%, 01/01/37 |
10,842 | |||||||||
7,446 | ARM, 6.515%, 12/01/36 |
7,773 | |||||||||
2,358 | ARM, 6.546%, 08/01/37 |
2,382 | |||||||||
4,356 | ARM, 6.600%, 11/01/37 |
4,540 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family, |
|||||||||||
8,674 | 4.000%, 07/01/18 07/01/19 |
9,039 | |||||||||
4,182 | 4.500%, 04/01/16 10/01/18 |
4,412 | |||||||||
23,861 | 5.000%, 03/01/18 04/01/19 |
25,400 | |||||||||
11,726 | 5.500%, 11/01/12 04/01/22 |
12,630 | |||||||||
15,614 | 6.000%, 06/01/11 12/01/23 |
16,766 | |||||||||
4,462 | 6.500%, 02/01/11 01/01/17 |
4,808 | |||||||||
98 | 7.000%, 10/01/10 03/01/15 |
102 | |||||||||
14 | 7.500%, 09/01/10 11/01/11 |
14 | |||||||||
4 | 8.000%, 04/01/10 01/01/12 |
5 | |||||||||
1 | 8.500%, 05/01/10 |
1 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family, |
|||||||||||
44 | 6.000%, 01/01/19 |
48 | |||||||||
124 | 6.500%, 08/01/18 05/01/21 |
135 | |||||||||
69 | 7.000%, 03/01/14 |
74 | |||||||||
354 | 7.500%, 10/01/16 07/01/18 |
392 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, FHA/VA, |
|||||||||||
26,283 | 7.500%, 12/01/36 |
29,577 | |||||||||
9,796 | 10.000%, 10/01/30 |
11,522 | |||||||||
Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family, |
|||||||||||
1,982 | 6.000%, 09/01/17 07/01/32 |
2,137 | |||||||||
1 | 6.500%, 07/01/13 |
1 | |||||||||
5,932 | 7.000%, 08/01/38 |
6,476 | |||||||||
19,985 | Federal Home Loan Mortgage Corp., 15 Year, Single Family, Gold Pools, 6.000%, 01/01/20 |
21,520 | |||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|||||||||||
83 | 8.000%, 12/01/10 05/01/19 |
91 | |||||||||
14 | 8.250%, 08/01/17 |
16 | |||||||||
Federal National Mortgage Association, |
|||||||||||
313 | ARM, 2.186%, 01/01/35 |
317 | |||||||||
69 | ARM, 2.538%, 03/01/19 |
69 | |||||||||
39 | ARM, 2.811%, 01/01/19 |
40 | |||||||||
25 | ARM, 3.115%, 06/01/27 |
26 | |||||||||
23 | ARM, 3.124%, 05/01/25 |
23 | |||||||||
2,823 | ARM, 3.196%, 09/01/34 |
2,940 | |||||||||
1 | ARM, 3.220%, 10/01/27 |
1 | |||||||||
12 | ARM, 3.347%, 10/01/25 |
12 | |||||||||
48 | ARM, 3.388%, 07/01/27 |
49 | |||||||||
6,539 | ARM, 3.833%, 03/01/36 |
6,794 | |||||||||
34 | ARM, 4.375%, 11/01/16 |
35 | |||||||||
15 | ARM, 4.786%, 08/01/19 |
15 | |||||||||
1,761 | ARM, 4.972%, 12/01/35 |
1,846 | |||||||||
1,341 | ARM, 5.246%, 01/01/37 |
1,407 | |||||||||
755 | ARM, 5.394%, 04/01/36 |
790 | |||||||||
7,226 | ARM, 5.399%, 10/01/35 |
7,520 | |||||||||
581 | ARM, 5.458%, 12/01/36 |
608 | |||||||||
1,239 | ARM, 5.483%, 07/01/36 |
1,285 | |||||||||
10,908 | ARM, 5.540%, 03/01/36 |
11,534 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Mortgage Pass-Through Securities Continued | ||||||||||
4,263 | ARM, 5.565%, 08/01/36 |
4,490 | ||||||||
12,885 | ARM, 5.574%, 03/01/36 |
13,506 | ||||||||
8,537 | ARM, 5.615%, 11/01/37 |
9,016 | ||||||||
407 | ARM, 5.660%, 06/01/36 |
424 | ||||||||
10,183 | ARM, 5.686%, 01/01/23 |
10,838 | ||||||||
1,004 | ARM, 5.715%, 10/01/36 |
1,049 | ||||||||
6,540 | ARM, 5.730%, 12/01/37 |
6,820 | ||||||||
370 | ARM, 5.746%, 07/01/37 |
386 | ||||||||
3,226 | ARM, 5.771%, 03/01/47 |
3,363 | ||||||||
6,272 | ARM, 5.775%, 11/01/37 |
6,537 | ||||||||
2,772 | ARM, 5.793%, 04/01/37 |
2,902 | ||||||||
6,015 | ARM, 5.794%, 04/01/37 |
6,265 | ||||||||
267 | ARM, 5.841%, 08/01/37 |
281 | ||||||||
7,805 | ARM, 5.847%, 11/01/37 |
8,181 | ||||||||
5,798 | ARM, 5.942%, 04/01/38 |
6,030 | ||||||||
158 | ARM, 5.969%, 08/01/36 |
167 | ||||||||
1,178 | ARM, 5.970%, 08/01/36 |
1,229 | ||||||||
20 | ARM, 5.981%, 08/01/17 |
20 | ||||||||
2,102 | ARM, 5.981%, 12/01/36 |
2,200 | ||||||||
4,780 | ARM, 5.991%, 08/01/36 |
4,989 | ||||||||
1,623 | ARM, 6.011%, 12/01/36 |
1,701 | ||||||||
1,802 | ARM, 6.021%, 10/01/36 |
1,852 | ||||||||
10,425 | ARM, 6.036%, 03/01/37 |
10,902 | ||||||||
2,297 | ARM, 6.066%, 07/01/37 |
2,407 | ||||||||
5,314 | ARM, 6.071%, 08/01/36 |
5,549 | ||||||||
7,662 | ARM, 6.155%, 08/01/37 |
8,077 | ||||||||
14,227 | ARM, 6.199%, 12/01/36 |
14,919 | ||||||||
7,149 | ARM, 6.212%, 02/01/37 |
7,511 | ||||||||
8,206 | ARM, 6.237%, 07/01/37 |
8,644 | ||||||||
1,958 | ARM, 6.333%, 05/01/36 |
2,041 | ||||||||
10,020 | ARM, 6.627%, 01/01/37 |
10,617 | ||||||||
2,890 | 7.000%, 08/01/20 |
3,215 | ||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
||||||||||
9,950 | 4.000%, 07/01/18 01/01/19 |
10,386 | ||||||||
16,333 | 4.500%, 05/01/18 05/01/19 |
17,246 | ||||||||
28,774 | 5.000%, 12/01/13 07/01/20 |
30,483 | ||||||||
12,346 | 5.500%, 01/01/18 06/01/20 |
13,274 | ||||||||
62,023 | 6.000%, 05/01/11 12/01/23 |
66,846 | ||||||||
6,136 | 6.500%, 09/01/10 01/01/23 |
6,604 | ||||||||
2,496 | 7.000%, 06/01/10 01/01/18 |
2,713 | ||||||||
115 | 7.500%, 12/01/10 05/01/15 |
124 | ||||||||
1,258 | 8.000%, 11/01/15 10/01/16 |
1,376 | ||||||||
7 | 8.500%, 11/01/11 |
8 | ||||||||
Federal National Mortgage Association, 20 Year, Single Family, |
||||||||||
6,743 | 6.000%, 03/01/18 04/01/24 |
7,263 | ||||||||
886 | 6.500%, 01/01/14 08/01/19 |
955 | ||||||||
156 | 7.000%, 08/01/21 |
174 | ||||||||
47 | 7.500%, 11/01/13 06/01/16 |
51 | ||||||||
78 | 8.000%, 07/01/14 11/01/15 |
89 | ||||||||
Federal National Mortgage Association, 30 Year, FHA/VA, |
||||||||||
456 | 5.500%, 08/01/34 |
484 | ||||||||
72 | 6.000%, 07/01/17 |
77 | ||||||||
2 | 8.000%, 02/01/23 |
2 | ||||||||
29 | 8.500%, 03/01/27 |
33 | ||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
||||||||||
34 | 6.500%, 03/01/26 |
36 | ||||||||
250 | 8.000%, 06/01/13 12/01/30 |
284 | ||||||||
14 | 8.500%, 09/01/21 |
15 | ||||||||
156 | 9.000%, 02/01/31 |
180 | ||||||||
61 | 9.500%, 07/01/28 |
71 | ||||||||
16 | 10.000%, 02/01/24 |
18 | ||||||||
Federal National Mortgage Association, Other, |
||||||||||
2,866 | 4.000%, 07/01/13 07/01/17 |
2,952 | ||||||||
4,963 | 4.500%, 11/01/13 12/01/19 |
5,123 | ||||||||
4,960 | 5.000%, 01/01/14 05/01/14 |
5,140 | ||||||||
6,438 | 5.500%, 06/01/16 09/01/17 |
6,816 | ||||||||
4,657 | 6.000%, 09/01/17 |
4,984 | ||||||||
22 | 7.000%, 12/01/13 |
24 | ||||||||
Government National Mortgage Association II, |
||||||||||
144 | ARM, 3.125%, 12/20/17 11/20/25 |
146 | ||||||||
15 | ARM, 3.500%, 10/20/17 12/20/17 |
15 | ||||||||
165 | ARM, 3.625%, 08/20/16 09/20/22 |
170 | ||||||||
32 | ARM, 4.000%, 11/20/15 08/20/18 |
33 | ||||||||
208 | ARM, 4.375%, 01/20/16 01/20/28 |
216 | ||||||||
11 | Government National Mortgage Association II, 15 Year, Single Family, 6.000%, 11/20/14 |
11 | ||||||||
Government National Mortgage Association II, 30 Year, Single Family, |
||||||||||
10,296 | 7.000%, 09/20/38 |
11,121 | ||||||||
28 | 7.500%, 09/20/28 |
31 | ||||||||
59 | 8.000%, 09/20/26 12/20/27 |
67 | ||||||||
81 | 8.500%, 03/20/25 04/20/25 |
94 | ||||||||
17 | Government National Mortgage Association, 15 Year, Single Family, 6.000%, 04/15/14 |
18 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
24 | 8.500%, 04/15/25 |
27 | |||||||||
12 | 9.000%, 09/15/24 10/15/26 |
14 | |||||||||
585 | 9.500%, 07/15/20 12/15/25 |
673 | |||||||||
46 | 12.000%, 11/15/19 |
51 | |||||||||
Total Mortgage Pass-Through Securities (Cost $768,353) |
778,763 | ||||||||||
U.S.
Government Agency Securities 22.7% |
|||||||||||
Federal Farm Credit Bank, |
|||||||||||
26,000 | 1.875%, 12/07/12 |
26,343 | |||||||||
4,000 | 2.200%, 04/08/13 |
4,078 | |||||||||
12,400 | 2.250%, 02/17/12 |
12,677 | |||||||||
8,120 | 2.250%, 04/24/12 (c) |
8,319 | |||||||||
38,025 | 2.350%, 09/23/13 (c) |
38,649 | |||||||||
25,000 | 2.500%, 03/26/13 |
25,722 | |||||||||
10,000 | 2.600%, 03/04/13 |
10,325 | |||||||||
8,000 | 2.625%, 04/17/14 |
8,125 | |||||||||
2,769 | 2.700%, 08/19/13 |
2,829 | |||||||||
1,480 | 3.000%, 02/12/14 |
1,519 | |||||||||
5,000 | 3.000%, 09/22/14 |
5,118 | |||||||||
10,000 | 3.875%, 08/25/11 (c) |
10,461 | |||||||||
16,493 | 3.875%, 01/10/13 |
17,620 | |||||||||
1,123 | 5.050%, 02/01/11 |
1,171 | |||||||||
2,000 | 5.100%, 09/18/12 |
2,190 | |||||||||
1,390 | 5.250%, 08/21/13 |
1,550 | |||||||||
5,000 | 5.450%, 12/11/13 |
5,620 | |||||||||
Federal Home Loan Banks, |
|||||||||||
18,000 | 0.800%, 05/06/11 |
18,056 | |||||||||
17,000 | 1.000%, 12/28/11 |
17,048 | |||||||||
6,000 | 1.375%,
05/16/11 (c) |
6,060 | |||||||||
10,000 | 1.625%,
09/26/12 (c) |
10,080 | |||||||||
84,175 | 1.625%,
11/21/12 (c) |
84,676 | |||||||||
30,785 | 1.750%,
12/14/12 (c) |
31,045 | |||||||||
10,000 | 2.250%, 04/13/12 |
10,260 | |||||||||
7,000 | 2.625%, 05/20/11 |
7,176 | |||||||||
74,350 | 2.625%, 09/13/13 |
75,929 | |||||||||
18,800 | 3.000%, 06/24/13 |
19,559 | |||||||||
10,000 | 3.050%, 06/28/13 |
10,419 | |||||||||
2,980 | 3.125%, 03/08/13 |
3,116 | |||||||||
95,320 | 3.125%, 12/13/13 |
98,929 | |||||||||
5,000 | 3.375%, 08/13/10 |
5,073 | |||||||||
2,500 | 3.375%, 06/24/11 |
2,585 | |||||||||
3,705 | 3.375%, 03/26/12 |
3,713 | |||||||||
16,000 | 3.375%,
02/27/13 (c) |
16,844 | |||||||||
16,200 | 3.500%, 03/08/13 |
17,116 | |||||||||
4,000 | 3.560%, 02/11/13 |
4,113 | |||||||||
36,400 | 3.625%, 10/18/13 |
38,618 | |||||||||
18,825 | 3.875%, 03/08/13 |
20,096 | |||||||||
2,080 | 4.000%, 02/15/11 |
2,151 | |||||||||
25,000 | 4.000%, 09/06/13 (c) |
26,814 | |||||||||
12,500 | 4.250%, 06/14/13 |
13,503 | |||||||||
1,675 | 4.375%, 09/09/11 |
1,768 | |||||||||
1,850 | 4.500%, 06/09/10 |
1,872 | |||||||||
10,000 | 4.500%, 09/14/12 |
10,780 | |||||||||
750 | 4.516%, 08/10/10 |
764 | |||||||||
4,600 | 4.625%, 02/18/11 |
4,785 | |||||||||
6,000 | 4.875%, 11/18/11 (c) |
6,413 | |||||||||
5,000 | 4.875%, 12/14/12 |
5,468 | |||||||||
10,000 | 4.875%, 11/27/13 |
11,034 | |||||||||
30,625 | 4.875%, 12/13/13 |
33,783 | |||||||||
24,525 | 5.000%, 03/14/14 |
27,186 | |||||||||
20,025 | 5.250%, 09/13/13 |
22,315 | |||||||||
15,700 | 5.250%, 06/18/14 (c) |
17,648 | |||||||||
17,575 | 5.375%, 06/14/13 |
19,579 | |||||||||
25,755 | 5.375%, 06/13/14 |
28,854 | |||||||||
25,000 | 5.750%, 05/15/12 |
27,551 | |||||||||
6,550 | 7.000%, 08/15/14 |
7,835 | |||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
15,000 | 1.125%, 12/15/11 (c) |
15,067 | |||||||||
20,000 | 1.750%, 06/15/12 |
20,319 | |||||||||
57,000 | 2.125%, 03/23/12 |
58,390 | |||||||||
62,200 | 3.250%, 07/16/10 (c) |
62,927 | |||||||||
6,254 | 4.000%, 06/12/13 |
6,725 | |||||||||
12,000 | 4.125%, 07/12/10 |
12,176 | |||||||||
25,000 | 4.125%,
12/21/12 (c) |
26,910 | |||||||||
30,000 | 4.125%, 09/27/13 |
32,374 | |||||||||
4,000 | 4.750%, 09/22/10 |
4,093 | |||||||||
29,000 | 4.750%, 01/18/11 |
30,107 | |||||||||
37,500 | 4.750%, 03/05/12 |
40,407 | |||||||||
48,300 | 5.000%,
01/30/14 (c) |
53,575 | |||||||||
6,500 | 5.250%, 07/18/11 |
6,918 | |||||||||
2,000 | 5.500%,
09/15/11 (c) |
2,146 | |||||||||
17,000 | 5.750%,
01/15/12 (c) |
18,535 | |||||||||
7,500 | 6.875%, 09/15/10 |
7,775 | |||||||||
Federal National Mortgage Association, |
|||||||||||
5,000 | 0.875%, 01/12/12 (c) |
5,003 | |||||||||
15,000 | 1.750%, 08/10/12 (c) |
15,185 | |||||||||
10,000 | 1.875%, 04/20/12 (c) |
10,193 | |||||||||
113,000 | 2.000%, 01/09/12 (c) |
115,393 | |||||||||
8,725 | 2.750%, 04/11/11 |
8,943 | |||||||||
2,000 | 3.000%, 07/12/10 |
2,021 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
U.S.
Government Agency Securities Continued |
|||||||||||
9,850 | 3.250%, 08/12/10 |
9,986 | |||||||||
12,000 | 3.250%, 04/09/13 (c) |
12,588 | |||||||||
3,245 | 4.000%, 03/27/13 |
3,468 | |||||||||
11,310 | 4.000%, 04/15/13 |
12,132 | |||||||||
6,135 | 4.050%, 04/18/13 |
6,562 | |||||||||
5,000 | 4.125%, 04/29/13 |
5,360 | |||||||||
7,541 | 4.125%, 07/11/13 |
8,093 | |||||||||
25,000 | 4.375%, 09/13/10 |
25,553 | |||||||||
42,600 | 4.375%, 07/17/13 |
46,287 | |||||||||
7,000 | 4.500%, 02/15/11 (c) |
7,278 | |||||||||
61,997 | 4.750%, 02/21/13 (c) |
67,697 | |||||||||
35,000 | 4.875%, 05/18/12 |
37,950 | |||||||||
7,000 | 5.000%, 10/15/11 |
7,484 | |||||||||
10,050 | 6.000%, 05/15/11 |
10,717 | |||||||||
6,000 | 6.260%, 11/26/12 |
6,770 | |||||||||
Total U.S. Government Agency Securities (Cost $1,751,570) |
1,776,037 | ||||||||||
U.S.
Treasury Obligations 26.8% |
|||||||||||
U.S. Treasury Notes, |
|||||||||||
68,000 | 0.750%, 11/30/11 (c) |
68,098 | |||||||||
45,000 | 0.875%, 12/31/10 (m) |
45,216 | |||||||||
21,000 | 0.875%, 01/31/11 |
21,107 | |||||||||
12,000 | 0.875%, 02/28/11 |
12,062 | |||||||||
7,000 | 0.875%, 03/31/11 |
7,038 | |||||||||
25,000 | 0.875%, 04/30/11 |
25,141 | |||||||||
30,000 | 0.875%, 05/31/11 |
30,176 | |||||||||
80,000 | 0.875%, 01/31/12 (c) |
80,166 | |||||||||
10,000 | 0.875%, 02/29/12 |
10,014 | |||||||||
60,000 | 1.000%, 07/31/11 (m) |
60,438 | |||||||||
110,200 | 1.000%, 08/31/11 |
110,958 | |||||||||
50,000 | 1.000%, 09/30/11 |
50,330 | |||||||||
178,450 | 1.000%,
10/31/11 (c) |
179,565 | |||||||||
110,000 | 1.000%, 12/31/11 |
110,550 | |||||||||
120,000 | 1.125%, 01/15/12 (m) |
120,834 | |||||||||
20,600 | 1.125%, 12/15/12 |
20,541 | |||||||||
25,000 | 1.250%, 11/30/10 |
25,183 | |||||||||
141,330 | 1.375%, 02/15/12 |
142,947 | |||||||||
68,300 | 1.375%, 05/15/12 |
68,994 | |||||||||
89,065 | 1.375%, 09/15/12 |
89,677 | |||||||||
123,300 | 1.375%, 10/15/12 (c) |
124,042 | |||||||||
6,100 | 1.500%, 10/31/10 |
6,151 | |||||||||
20,000 | 1.750%, 03/31/10 |
20,027 | |||||||||
92,000 | 1.750%, 11/15/11 |
93,725 | |||||||||
105,710 | 1.750%, 08/15/12 |
107,527 | |||||||||
10,000 | 1.750%, 01/31/14 |
9,984 | |||||||||
10,000 | 1.875%, 06/15/12 |
10,209 | |||||||||
5,750 | 1.875%, 04/30/14 |
5,742 | |||||||||
88,000 | 2.375%, 08/31/10 (m) |
88,949 | |||||||||
10,000 | 2.375%, 10/31/14 |
10,108 | |||||||||
3,700 | 2.625%, 05/31/10 |
3,723 | |||||||||
5,000 | 2.875%, 06/30/10 |
5,045 | |||||||||
4,300 | 3.125%, 08/31/13 |
4,527 | |||||||||
10,000 | 3.375%, 06/30/13 |
10,616 | |||||||||
40,000 | 3.500%, 05/31/13 |
42,600 | |||||||||
23,000 | 4.125%, 08/15/10 |
23,417 | |||||||||
5,000 | 4.250%, 01/15/11 |
5,172 | |||||||||
65,000 | 4.500%, 11/15/10 |
66,948 | |||||||||
20,000 | 4.750%, 01/31/12 |
21,530 | |||||||||
22,000 | 4.875%, 04/30/11 |
23,150 | |||||||||
30,000 | 4.875%, 07/31/11 (c) |
31,870 | |||||||||
93,000 | 5.125%, 06/30/11 (m) |
98,798 | |||||||||
Total U.S. Treasury Obligations (Cost $2,081,236) |
2,092,895 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 5.1% |
|||||||||||
Investment Company 5.1% |
|||||||||||
399,391 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.000%, (b) (l) (Cost $399,391) |
399,391 | |||||||||
PRINCIPAL AMOUNT($) |
|||||||||||
Investments of Cash Collateral for Securities on Loan 4.3% |
|||||||||||
Asset-Backed Security 0.0% (g) |
|||||||||||
587 | GSAA Trust, Series 2006-3, Class A1, VAR, 0.309%, 03/30/10 |
421 | |||||||||
Corporate Note 0.1% |
|||||||||||
7,300 | Monumental
Global Funding III, VAR, 0.312%, 05/24/10 (e) |
7,263 | |||||||||
SHARES |
|||||||||||
Investment Company 4.2% |
|||||||||||
331,094 | JPMorgan Prime Money Market Fund, Capital Shares, 0.090%, (b) (l) |
331,094 | |||||||||
Total Investments of Cash Collateral for Securities on Loan (Cost $338,982) |
338,778 | ||||||||||
Total Investments 103.8% (Cost $8,014,469) |
8,108,356 | ||||||||||
Liabilities in Excess of Other Assets (3.8)% |
(297,015 | ) | |||||||||
NET ASSETS 100.0% |
$ | 7,811,341 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
Asset-Backed Securities 9.7% |
|||||||||||
125 | AmeriCredit Automobile Receivables Trust, Series 2009-1, Class A3, 3.040%, 10/15/13 |
128 | |||||||||
Bank of America Auto Trust, |
|||||||||||
235 | Series 2009-1A, Class A3, 2.670%, 07/15/13 (e) |
241 | |||||||||
100 | Series 2009-1A, Class A4, 3.520%, 06/15/16 (e) |
104 | |||||||||
175 | Series 2009-3A, Class A3, 1.670%, 12/15/13 (e) |
177 | |||||||||
33 | Capital One Prime Auto Receivables Trust, Series 2007-2, Class A3, 4.890%, 01/15/12 |
33 | |||||||||
CarMax Auto Owner Trust, |
|||||||||||
400 | Series 2009-1, Class A3, 4.120%, 03/15/13 |
415 | |||||||||
60 | Series 2010-1, Class A3, 1.560%, 07/15/14 |
60 | |||||||||
105 | Series 2010-1, Class A4, 2.400%, 04/15/15 |
105 | |||||||||
90 | Chrysler Financial Auto Securitization Trust, Series 2009-A, Class A3, 2.820%, 01/15/16 |
92 | |||||||||
215 | CitiFinancial Auto Issuance Trust, Series 2009-1, Class A2, 1.830%, 11/15/12 (e) |
216 | |||||||||
CNH Equipment Trust, |
|||||||||||
45 | Series 2009-A, Class A3, 5.280%, 11/15/12 |
47 | |||||||||
296 | Series 2009-B, Class A3, 2.970%, 03/15/13 |
300 | |||||||||
75 | Series 2009-C, Class A3, 1.850%, 12/16/13 |
76 | |||||||||
308 | Countrywide Asset-Backed Certificates, Series 2005-4, Class AF3, VAR, 4.456%, 10/25/35 |
297 | |||||||||
Daimler Chrysler Auto Trust, |
|||||||||||
407 | Series 2007-A, Class A3A, 5.000%, 02/08/12 |
413 | |||||||||
150 | Series 2008-B, Class A3A, 4.710%, 09/10/12 |
154 | |||||||||
Ford Credit Auto Owner Trust, |
|||||||||||
338 | Series 2007-A, Class A3A, 5.400%, 08/15/11 |
342 | |||||||||
200 | Series 2009-B, Class A3, 2.790%, 08/15/13 |
205 | |||||||||
459 | GSAMP Trust, Series 2006-NC1, Class A2, VAR, 0.411%, 02/25/36 |
355 | |||||||||
350 | Harley-Davidson Motorcycle Trust, Series 2007-1, Class A4, 5.210%, 06/17/13 |
363 | |||||||||
576 | Home Equity Asset Trust, Series 2006-3, Class 2A3, VAR, 0.409%, 07/25/36 |
531 | |||||||||
Honda Auto Receivables Owner Trust, |
|||||||||||
1,000 | Series 2007-2, Class A4, 5.570%, 11/21/13 |
1,036 | |||||||||
100 | Series 2009-3, Class A3, 2.310%, 05/15/13 |
102 | |||||||||
174 | Hyundai Auto Receivables Trust, Series 2008-A, Class A2, 4.160%, 05/16/11 |
175 | |||||||||
Nissan Auto Receivables Owner Trust, |
|||||||||||
194 | Series 2006-B, Class A4, 5.220%, 11/15/11 |
195 | |||||||||
250 | Series 2009-1, Class A3, 5.000%, 09/15/14 |
261 | |||||||||
500 | Series 2009-A, Class A3, 3.200%, 02/15/13 |
515 | |||||||||
390 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, VAR, 0.431%, 02/25/36 |
354 | |||||||||
438 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, VAR, 0.419%, 03/25/36 |
407 | |||||||||
131 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, VAR, 0.409%, 12/25/35 |
127 | |||||||||
793 | USAA Auto Owner Trust, Series 2008-2, Class A3, 4.640%, 10/15/12 |
816 | |||||||||
113 | Volkswagen Auto Loan Enhanced Trust, Series 2008-1, Class A3, 4.500%, 07/20/12 |
116 | |||||||||
766 | Wachovia Auto Loan Owner Trust, Series 2008-1, Class A3, 4.270%, 04/20/12 |
777 | |||||||||
World Omni Auto Receivables Trust, |
|||||||||||
230 | Series 2006-A, Class A4, 5.030%, 10/17/11 |
231 | |||||||||
136 | Series 2007-B, Class A3A, 5.280%, 01/17/12 |
139 | |||||||||
40 | Series 2010-A, Class A3, 1.340%, 12/16/13 |
40 | |||||||||
45 | Series 2010-A, Class A4, 2.210%, 05/15/15 |
45 | |||||||||
Total Asset-Backed Securities (Cost $10,104) |
9,990 | ||||||||||
Collateralized Mortgage Obligations 4.9% |
|||||||||||
Agency CMO 4.9% |
|||||||||||
Federal National Mortgage Association REMICS, |
|||||||||||
1,496 | Series 2006-43, Class G, 6.500%, 09/25/33 |
1,561 | |||||||||
2,068 | Series 2006-63, Class AB, 6.500%, 10/25/33 |
2,149 | |||||||||
1,333 | Series 2006-63, Class AE, 6.500%, 10/25/33 |
1,385 | |||||||||
6 | Government National Mortgage Association, Series 2002-24, Class FA, VAR, 0.732%, 04/16/32 (m) |
6 | |||||||||
Total Collateralized Mortgage Obligations (Cost $4,957) |
5,101 | ||||||||||
Commercial Mortgage-Backed Securities 1.8% |
|||||||||||
23 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.176%, 11/10/41 |
23 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
563 | Series 2001-CP4, Class A4, 6.180%, 12/15/35 |
584 | |||||||||
258 | Series 2004-C3, Class A3, 4.302%, 07/15/36 |
259 | |||||||||
488 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.285%, 07/05/35 |
490 | |||||||||
520 | LB-UBS Commercial Mortgage Trust, Series 2004-C2, Class A2, 3.246%, 03/15/29 |
522 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,842) |
1,878 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds 24.4% |
|||||||||||
Consumer Discretionary 1.9% |
|||||||||||
Auto Components 0.1% |
|||||||||||
65 | Johnson Controls, Inc., 4.875%, 09/15/13 |
69 | |||||||||
Media 1.8% |
|||||||||||
1,000 | Comcast Cable Communications LLC, 6.750%, 01/30/11 |
1,050 | |||||||||
725 | Time Warner, Inc., 5.500%, 11/15/11 |
771 | |||||||||
1,821 | |||||||||||
Multiline Retail 0.0% (g) |
|||||||||||
50 | Kohls Corp., 7.375%, 10/15/11 |
55 | |||||||||
Total Consumer Discretionary |
1,945 | ||||||||||
Consumer Staples 2.2% |
|||||||||||
Beverages 1.3% |
|||||||||||
45 | Bottling Group LLC, 5.000%, 11/15/13 |
49 | |||||||||
160 | Coca-Cola Co. (The), 3.625%, 03/15/14 |
168 | |||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.250%, 09/15/10 |
1,073 | |||||||||
85 | PepsiCo, Inc., 3.750%, 03/01/14 |
89 | |||||||||
1,379 | |||||||||||
Food Products 0.9% |
|||||||||||
120 | Bunge Ltd. Finance Corp., 5.875%, 05/15/13 |
128 | |||||||||
35 | General Mills, Inc., 5.250%, 08/15/13 |
38 | |||||||||
Kraft Foods, Inc., |
|||||||||||
600 | 6.000%, 02/11/13 |
662 | |||||||||
100 | 6.250%, 06/01/12 |
109 | |||||||||
937 | |||||||||||
Total Consumer Staples |
2,316 | ||||||||||
Energy 0.9% |
|||||||||||
Oil, Gas & Consumable Fuels 0.9% |
|||||||||||
15 | Anadarko Petroleum Corp., 5.750%, 06/15/14 |
16 | |||||||||
35 | Cenovus
Energy, Inc., (Canada), 4.500%, 09/15/14 (e) |
37 | |||||||||
215 | ConocoPhillips, 8.750%, 05/25/10 |
219 | |||||||||
45 | Marathon Oil Canada Corp., (Canada), 8.375%, 05/01/12 |
51 | |||||||||
467 | Qatar Petroleum, (Qatar), 5.579%, 05/30/11 (e) |
482 | |||||||||
20 | Shell International Finance B.V., (Netherlands), 1.300%, 09/22/11 |
20 | |||||||||
100 | Statoil ASA, (Norway), 5.125%, 04/30/14 (e) |
110 | |||||||||
Total Energy |
935 | ||||||||||
Financials 13.3% |
|||||||||||
Capital Markets 1.4% |
|||||||||||
200 | Bank of New York Mellon Corp. (The), 4.500%, 04/01/13 |
214 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.300%, 02/14/12 |
637 | |||||||||
525 | Morgan Stanley, 4.250%, 05/15/10 |
529 | |||||||||
60 | Northern Trust Corp., 5.500%, 08/15/13 |
66 | |||||||||
1,446 | |||||||||||
Commercial Banks 1.9% |
|||||||||||
25 | Bank of Nova Scotia, (Canada), 2.250%, 01/22/13 |
26 | |||||||||
240 | BB&T Corp., 6.500%, 08/01/11 |
255 | |||||||||
75 | Deutsche Bank AG, (Germany), 3.875%, 08/18/14 |
77 | |||||||||
20 | M&T Bank Corp., 5.375%, 05/24/12 |
21 | |||||||||
150 | PNC Funding Corp., 4.500%, 03/10/10 |
150 | |||||||||
135 | State Street Corp., 4.300%, 05/30/14 |
142 | |||||||||
250 | U.S. Bank N.A., 6.375%, 08/01/11 |
268 | |||||||||
800 | Wachovia Corp., 5.300%, 10/15/11 |
849 | |||||||||
128 | Westpac Banking Corp., (Australia), 2.250%, 11/19/12 |
129 | |||||||||
1,917 | |||||||||||
Consumer Finance 1.1% |
|||||||||||
20 | Capital One Financial Corp., 7.375%, 05/23/14 |
23 | |||||||||
720 | HSBC Finance Corp., 6.375%, 11/27/12 |
794 | |||||||||
200 | John Deere Capital Corp., 5.250%, 10/01/12 |
218 | |||||||||
100 | Toyota Motor Credit Corp., VAR, 0.293%, 04/07/10 |
100 | |||||||||
1,135 | |||||||||||
Diversified Financial Services 2.4% |
|||||||||||
Bank of America Corp., |
|||||||||||
50 | 4.900%, 05/01/13 |
53 | |||||||||
100 | 7.375%, 05/15/14 |
112 | |||||||||
BP Capital Markets plc, (United Kingdom), |
|||||||||||
60 | 3.125%, 03/10/12 |
62 | |||||||||
80 | 3.625%, 05/08/14 |
84 | |||||||||
Caterpillar Financial Services Corp., |
|||||||||||
150 | 5.750%, 02/15/12 |
162 | |||||||||
50 | 6.125%, 02/17/14 |
57 | |||||||||
Citigroup, Inc., |
|||||||||||
450 | 5.250%, 02/27/12 |
472 | |||||||||
45 | 6.375%, 08/12/14 |
48 | |||||||||
200 | CME Group, Inc., 5.400%, 08/01/13 |
220 | |||||||||
General Electric Capital Corp., |
|||||||||||
1,000 | 5.500%, 04/28/11 |
1,050 | |||||||||
125 | 5.900%, 05/13/14 |
137 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
Corporate Bonds Continued | ||||||||||
Diversified Financial Services Continued |
||||||||||
20 | National Rural Utilities Cooperative Finance Corp., 2.625%, 09/16/12 |
20 | ||||||||
2,477 | ||||||||||
FDIC Guaranteed Securities 5.7% (˜) |
||||||||||
600 | Bank of America Corp., 3.125%, 06/15/12 |
626 | ||||||||
600 | Citigroup, Inc., 2.875%, 12/09/11 |
621 | ||||||||
General Electric Capital Corp., |
||||||||||
700 | 2.125%, 12/21/12 |
711 | ||||||||
800 | 3.000%, 12/09/11 |
830 | ||||||||
300 | Goldman Sachs Group, Inc. (The), 3.250%, 06/15/12 |
314 | ||||||||
600 | HSBC USA, Inc., 3.125%, 12/16/11 |
624 | ||||||||
400 | John Deere Capital Corp., 2.875%, 06/19/12 |
415 | ||||||||
1,300 | Morgan Stanley, 2.900%, 12/01/10 |
1,324 | ||||||||
400 | SunTrust Bank, 3.000%, 11/16/11 |
415 | ||||||||
5,880 | ||||||||||
Insurance 0.1% |
||||||||||
100 | Metropolitan
Life Global Funding I, 5.125%, 04/10/13 (e) |
108 | ||||||||
Real Estate Investment Trusts (REITs) 0.0% (g) |
||||||||||
13 | Simon Property Group LP, 4.200%, 02/01/15 |
13 | ||||||||
Thrifts & Mortgage Finance 0.7% |
||||||||||
700 | Countrywide Financial Corp., 5.800%, 06/07/12 |
745 | ||||||||
Total Financials |
13,721 | |||||||||
Health Care 0.1% |
||||||||||
Pharmaceuticals 0.1% |
||||||||||
50 | Eli Lilly & Co., 3.550%, 03/06/12 |
52 | ||||||||
Industrials 0.5% |
||||||||||
Aerospace & Defense 0.2% |
||||||||||
150 | Boeing Co. (The), 5.125%, 02/15/13 |
164 | ||||||||
Machinery 0.0% (g) |
||||||||||
40 | PACCAR, Inc., 6.875%, 02/15/14 |
46 | ||||||||
Road & Rail 0.3% |
||||||||||
100 | Burlington Northern Santa Fe Corp., 5.900%, 07/01/12 |
109 | ||||||||
30 | Canadian National Railway Co., (Canada), 4.950%, 01/15/14 |
33 | ||||||||
80 | CSX Corp., 6.300%, 03/15/12 |
86 | ||||||||
70 | Union Pacific Corp., 5.450%, 01/31/13 |
76 | ||||||||
304 | ||||||||||
Total Industrials |
514 | |||||||||
Information Technology 0.7% |
||||||||||
Computers & Peripherals 0.2% |
||||||||||
25 | Dell, Inc., 5.625%, 04/15/14 |
28 | ||||||||
Hewlett-Packard Co., |
||||||||||
20 | 2.950%, 08/15/12 |
21 | ||||||||
120 | 4.250%, 02/24/12 |
127 | ||||||||
60 | International Business Machines Corp., 4.750%, 11/29/12 |
65 | ||||||||
241 | ||||||||||
IT Services 0.1% |
||||||||||
50 | Electronic Data Systems LLC, 6.000%, 08/01/13 |
56 | ||||||||
Office Electronics 0.1% |
||||||||||
110 | Xerox Corp., 8.250%, 05/15/14 |
129 | ||||||||
Software 0.3% |
||||||||||
140 | Microsoft Corp., 2.950%, 06/01/14 |
144 | ||||||||
140 | Oracle Corp., 4.950%, 04/15/13 |
153 | ||||||||
297 | ||||||||||
Total Information Technology |
723 | |||||||||
Materials 0.1% |
||||||||||
Chemicals 0.1% |
||||||||||
EI du Pont de Nemours & Co., |
||||||||||
45 | 3.250%, 01/15/15 |
45 | ||||||||
100 | 5.000%, 01/15/13 |
108 | ||||||||
Total Materials |
153 | |||||||||
Telecommunication Services 2.1% |
||||||||||
Diversified Telecommunication Services 1.9% |
||||||||||
450 | AT&T, Inc., 6.700%, 11/15/13 |
513 | ||||||||
130 | France Telecom S.A., (France), 4.375%, 07/08/14 |
138 | ||||||||
50 | Telecom Italia Capital S.A., (Luxembourg), 6.175%, 06/18/14 |
55 | ||||||||
950 | Telefonica Emisiones S.A.U., (Spain), 5.984%, 06/20/11 |
1,003 | ||||||||
250 | Verizon Florida LLC, 6.125%, 01/15/13 |
272 | ||||||||
1,981 | ||||||||||
Wireless Telecommunication Services 0.2% |
||||||||||
120 | Cellco Partnership/Verizon Wireless Capital LLC, 3.750%, 05/20/11 |
124 | ||||||||
70 | Vodafone Group plc, (United Kingdom), 4.150%, 06/10/14 |
73 | ||||||||
197 | ||||||||||
Total Telecommunication Services |
2,178 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
Corporate Bonds Continued | |||||||||||
Utilities 2.6% |
|||||||||||
Electric Utilities 2.4% |
|||||||||||
Appalachian Power Co., |
|||||||||||
650 | 5.550%, 04/01/11 |
678 | |||||||||
200 | 5.650%, 08/15/12 |
217 | |||||||||
50 | CenterPoint Energy Houston Electric LLC, 5.750%, 01/15/14 |
55 | |||||||||
30 | Duke Energy Corp., 3.950%, 09/15/14 |
31 | |||||||||
1,150 | MidAmerican Energy Co., 5.650%, 07/15/12 |
1,250 | |||||||||
250 | Nisource Finance Corp., 7.875%, 11/15/10 |
261 | |||||||||
15 | Progress Energy, Inc., 6.050%, 03/15/14 |
17 | |||||||||
20 | Southern California Edison Co., 4.150%, 09/15/14 |
21 | |||||||||
10 | Southern Co., 4.150%, 05/15/14 |
11 | |||||||||
2,541 | |||||||||||
Multi-Utilities 0.2% |
|||||||||||
130 | Dominion Resources, Inc., 5.700%, 09/17/12 |
142 | |||||||||
20 | PG&E Corp., 5.750%, 04/01/14 |
22 | |||||||||
164 | |||||||||||
Total Utilities |
2,705 | ||||||||||
Total Corporate Bonds (Cost $24,119) |
25,242 | ||||||||||
Foreign Government Securities 0.2% |
|||||||||||
Province of Ontario, (Canada), |
|||||||||||
100 | 2.950%, 02/05/15 |
101 | |||||||||
45 | 4.100%, 06/16/14 |
48 | |||||||||
Total Foreign Government Securities (Cost $145) |
149 | ||||||||||
Mortgage Pass-Through Security 0.3% |
|||||||||||
286 | Federal National Mortgage Association, 15 Year, Single Family, 6.000%, 04/01/21 (Cost $303) |
308 | |||||||||
U.S.
Government Agency Securities 27.6% |
|||||||||||
Federal Farm Credit Banks, |
|||||||||||
400 | 2.625%, 04/17/14 |
406 | |||||||||
685 | 4.900%, 03/06/13 |
754 | |||||||||
Federal Home Loan Bank System, |
|||||||||||
700 | 2.250%, 04/13/12 |
718 | |||||||||
4,000 | 3.625%, 10/18/13 |
4,244 | |||||||||
1,400 | 4.000%, 09/06/13 |
1,501 | |||||||||
Federal Home Loan Mortgage Corp., |
|||||||||||
1,350 | 3.000%, 07/28/14 |
1,390 | |||||||||
3,250 | 3.125%, 10/25/10 |
3,309 | |||||||||
8,050 | 5.250%, 07/18/11 |
8,568 | |||||||||
Federal National Mortgage Association, |
|||||||||||
2,703 | 4.000%, 03/27/13 |
2,888 | |||||||||
4,000 | 4.375%, 03/15/13 |
4,333 | |||||||||
400 | 4.750%, 02/21/13 |
437 | |||||||||
Total U.S. Government Agency Securities (Cost $27,789) |
28,548 | ||||||||||
U.S.
Treasury Obligations 29.9% |
|||||||||||
U.S. Treasury Notes, |
|||||||||||
5,775 | 0.875%, 02/28/11 |
5,805 | |||||||||
10,500 | 1.125%, 01/15/12 |
10,573 | |||||||||
200 | 1.375%, 02/15/13 |
200 | |||||||||
4,650 | 1.750%, 11/15/11 |
4,737 | |||||||||
5,725 | 1.750%, 08/15/12 |
5,824 | |||||||||
1,200 | 2.375%, 08/31/10 |
1,213 | |||||||||
2,500 | 2.750%, 10/31/13 |
2,596 | |||||||||
Total U.S. Treasury Obligations (Cost $30,680) |
30,948 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 0.9% |
|||||||||||
Investment Company 0.9% |
|||||||||||
927 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.060% (b) (l) (Cost $927) |
927 | |||||||||
Total Investments 99.7% (Cost $100,866) |
103,091 | ||||||||||
Other Assets in Excess of Liabilities 0.3% |
354 | ||||||||||
NET ASSETS 100.0% |
$ | 103,445 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
U.S.
Government Agency Securities 20.4% |
|||||||||||
Federal Farm Credit Bank, |
|||||||||||
20,000 | 3.625%, 07/15/11 (m) |
20,804 | |||||||||
24,000 | 3.875%, 06/04/12 (m) |
25,453 | |||||||||
9,745 | 4.000%, 05/21/13 |
10,465 | |||||||||
25,000 | 4.350%, 09/02/14 (m) |
27,096 | |||||||||
500 | 6.270%, 01/26/16 |
589 | |||||||||
855 | 6.900%, 09/01/10 |
883 | |||||||||
Federal Home Loan Bank System, |
|||||||||||
5,000 | 2.250%, 04/13/12 |
5,130 | |||||||||
9,400 | 5.310%, 12/28/12 |
10,397 | |||||||||
1,344 | New Valley Generation I, 7.299%, 03/15/19 |
1,558 | |||||||||
5,127 | New Valley Generation II, 5.572%, 05/01/20 |
5,589 | |||||||||
Total U.S. Government Agency Securities (Cost $101,599) |
107,964 | ||||||||||
U.S.
Treasury Obligations 76.8% |
|||||||||||
10,000 | U.S. Treasury Inflation Indexed Notes, 2.000%, 04/15/12 |
11,187 | |||||||||
U.S. Treasury Notes, |
|||||||||||
20,000 | 0.875%, 04/30/11 |
20,112 | |||||||||
43,000 | 1.000%, 09/30/11 |
43,284 | |||||||||
10,665 | 1.375%, 02/15/12 |
10,787 | |||||||||
60,000 | 1.375%, 05/15/12 |
60,609 | |||||||||
1,040 | 1.375%, 02/15/13 |
1,042 | |||||||||
95,290 | 1.750%, 11/15/11 |
97,077 | |||||||||
40,000 | 1.875%, 06/15/12 |
40,838 | |||||||||
12,000 | 1.875%, 04/30/14 |
11,983 | |||||||||
70,000 | 2.750%, 10/31/13 |
72,696 | |||||||||
14,860 | 4.750%, 03/31/11 |
15,564 | |||||||||
10,000 | 4.750%, 01/31/12 |
10,765 | |||||||||
10,000 | 4.875%, 04/30/11 |
10,523 | |||||||||
Total U.S. Treasury Obligations (Cost $400,068) |
406,467 | ||||||||||
SHARES |
|||||||||||
Short-Term Investment 1.6% |
|||||||||||
Investment Company 1.6% |
|||||||||||
8,240 | JPMorgan Federal Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (Cost $8,240) |
8,240 | |||||||||
Total Investments 98.8% (Cost $509,907) |
522,671 | ||||||||||
Other Assets in Excess of Liabilities 1.2% |
6,390 | ||||||||||
NET ASSETS 100.0% |
$ | 529,061 |
ADR |
American Depositary Receipt |
ARM |
Adjustable Rate Mortgage. The interest rate shown is the rate in
effect as of February 28, 2010. |
BRL |
Brazilian Real |
CLN |
Credit-Linked Notes. The credit ratings disclosed for the
underlying referenced obligations provide an indication of the likelihood or risk that the underlying sovereign issuer will default on payment of
principal or interest. The credit ratings on these securities represent the rating from a nationally recognized statistical rating organization and are
as of February 28, 2010. Credit ratings are generally considered to be lagging indicators, and as such, credit risk could be greater than the current
ratings would indicate. |
CMO |
Collateralized Mortgage Obligation |
DA |
Development Authority |
DIP |
Debtor-in-possession |
ESOP |
Employee Stock Ownership Program |
FHA |
Federal Housing Administration |
GO |
General Obligation |
HB |
High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
HFC |
Housing Finance Corp. |
IF |
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2010. The rate may be subject to a cap and floor. |
IO |
Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
MXN |
Mexican Peso |
PIK |
Payment-in-Kind |
PO |
Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. |
REMICS |
Real Estate Mortgage Investment Conduits |
STRIPS |
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB |
Step-Up Bond. The interest rate shown is the rate in effect as
of February 28, 2010. |
TRL |
New Turkish Lira |
UYU |
Uruguayan Peso |
VA |
Veterans Administration |
VAR |
Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2010. |
(a) |
Non-income producing security. |
(b) |
Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(c) |
Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. |
(d) |
Defaulted Security. |
(e) |
Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) |
Security is fair valued in accordance with procedures
established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these
investments based on total investments (amounts in thousands): |
Fund |
Value | Percentage | |||||||||
Core Bond
Fund |
$ | 10,009 | 0.07 | % | |||||||
Core Plus Bond
Fund |
21,341 | 1.58 | |||||||||
High Yield
Fund |
129,598 | 2.09 | |||||||||
Limited
Duration Bond Fund |
3,249 | 0.93 | |||||||||
Mortgage Backed
Securities Fund |
2,718 | 0.15 |
(g) |
Amount rounds to less than 0.1%. |
(h) |
Amount rounds to less than one thousand (shares or dollars). |
(i) |
Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
(k) |
Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(l) |
The rate shown is the current yield as of February 28, 2010. |
(m) |
All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
(r) |
Rates shown are per annum and payments are as described. |
(x) |
Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2010. |
(y) |
Affiliated issuer. Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
˜ |
Securities are guaranteed by the Federal Deposit Insurance Corporation (FDIC) under its Temporary Liquidity Guarantee Program (TLGP). Under this program, the FDIC guarantees, with the full faith and credit of the U.S. government, the payment of principal and interest. The expiration of the FDICs guarantee is the earlier of the maturity date of the debt or June 30, 2012. |
ˆ |
Unsettled security, coupon rate is undetermined at February 28, 2010. |
|
Core Bond Fund |
|
Core Plus Bond Fund |
|
Government Bond Fund |
|||||||||
ASSETS: |
||||||||||||||
Investments
in non-affiliates, at value |
$ | 12,947,276 | $ | 1,241,138 | $ | 1,323,449 | ||||||||
Investments
in affiliates, at value |
1,525,062 | 105,313 | 114,616 | |||||||||||
Total
investment securities, at value |
14,472,338 | 1,346,451 | 1,438,065 | |||||||||||
Cash |
3,333 | 73 | | |||||||||||
Foreign
currency, at value |
| 1 | | |||||||||||
Receivables: |
||||||||||||||
Investment
securities sold |
12,219 | 3,649 | 320 | |||||||||||
Fund shares
sold |
95,878 | 12,404 | 3,933 | |||||||||||
Interest and
dividends |
78,758 | 7,113 | 5,765 | |||||||||||
Variation
margin on futures contracts |
| 2 | | |||||||||||
Unrealized
appreciation on forward foreign currency exchange contracts |
| 2 | | |||||||||||
Total
Assets |
14,662,526 | 1,369,695 | 1,448,083 | |||||||||||
LIABILITIES: |
||||||||||||||
Payables: |
||||||||||||||
Dividends |
12,584 | 3,998 | 2,240 | |||||||||||
Investment
securities purchased |
44,092 | 13,815 | 47,990 | |||||||||||
Collateral
for securities lending program |
319,337 | 17,954 | | |||||||||||
Fund shares
redeemed |
20,602 | 591 | 5,443 | |||||||||||
Unrealized
depreciation on forward foreign currency exchange contracts |
| 4 | | |||||||||||
Outstanding
swap contracts, at value |
| 76 | | |||||||||||
Accrued
liabilities: |
||||||||||||||
Investment
advisory fees |
2,265 | 258 | 317 | |||||||||||
Administration fees |
840 | 78 | 67 | |||||||||||
Shareholder
servicing fees |
1,677 | 222 | 49 | |||||||||||
Distribution
fees |
1,979 | 121 | 215 | |||||||||||
Custodian and
accounting fees |
254 | 43 | 36 | |||||||||||
Trustees and Chief Compliance Officers fees |
18 | 6 | 8 | |||||||||||
Other |
821 | 275 | 394 | |||||||||||
Total
Liabilities |
404,469 | 37,441 | 56,759 | |||||||||||
Net
Assets |
$ | 14,258,057 | $ | 1,332,254 | $ | 1,391,324 |
|
Core Bond Fund |
|
Core Plus Bond Fund |
|
Government Bond Fund |
|||||||||
NET
ASSETS: |
||||||||||||||
Paid in
capital |
$ | 13,920,274 | $ | 1,597,025 | $ | 1,314,843 | ||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
1,855 | (433 | ) | 12 | ||||||||||
Accumulated
net realized gains (losses) |
(84,527 | ) | (287,384 | ) | (3,178 | ) | ||||||||
Net
unrealized appreciation (depreciation) |
420,455 | 23,046 | 79,647 | |||||||||||
Total Net
Assets |
$ | 14,258,057 | $ | 1,332,254 | $ | 1,391,324 | ||||||||
Net
Assets: |
||||||||||||||
Class
A |
$ | 3,154,129 | $ | 168,775 | $ | 453,605 | ||||||||
Class
B |
118,596 | 7,674 | 34,957 | |||||||||||
Class
C |
2,326,774 | 152,695 | 185,498 | |||||||||||
Class
R2 |
14,608 | 210 | 3,151 | |||||||||||
Class
R5 |
470,155 | | | |||||||||||
Institutional
Class |
| 46,561 | | |||||||||||
Select
Class |
7,029,375 | 937,874 | 714,113 | |||||||||||
Ultra |
1,144,420 | 18,465 | | |||||||||||
Total |
$ | 14,258,057 | $ | 1,332,254 | $ | 1,391,324 | ||||||||
Outstanding
units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||
Class
A |
280,920 | 21,501 | 42,410 | |||||||||||
Class
B |
10,569 | 973 | 3,271 | |||||||||||
Class
C |
206,291 | 19,379 | 17,398 | |||||||||||
Class
R2 |
1,302 | 27 | 295 | |||||||||||
Class
R5 |
41,936 | | | |||||||||||
Institutional
Class |
| 5,928 | | |||||||||||
Select
Class |
626,399 | 119,532 | 66,807 | |||||||||||
Ultra |
101,956 | 2,354 | | |||||||||||
Net Asset
Value: |
||||||||||||||
Class A
Redemption price per share |
$ | 11.23 | $ | 7.85 | $ | 10.70 | ||||||||
Class B
Offering price per share (a) |
11.22 | 7.89 | 10.69 | |||||||||||
Class C
Offering price per share (a) |
11.28 | 7.88 | 10.66 | |||||||||||
Class R2
Offering and redemption price per share |
11.22 | 7.85 | 10.69 | |||||||||||
Class R5
Offering and redemption price per share |
11.21 | | | |||||||||||
Institutional
Class Offering and redemption price per share |
| 7.85 | | |||||||||||
Select Class
Offering and redemption price per share |
11.22 | 7.85 | 10.69 | |||||||||||
Ultra
Offering and redemption price per share |
11.22 | 7.85 | | |||||||||||
Class A
maximum sales charge |
3.75 | % | 3.75 | % | 3.75 | % | ||||||||
Class A
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | 11.67 | $ | 8.16 | $ | 11.12 | ||||||||
Cost of
investments in non-affiliates |
$ | 12,527,115 | $ | 1,218,077 | $ | 1,243,802 | ||||||||
Cost of
investments in affiliates |
1,524,768 | 105,254 | 114,616 | |||||||||||
Cost of
foreign currency |
| 1 | | |||||||||||
Value of
securities on loan |
314,068 | 17,639 | |
(a) |
Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
|
High Yield Fund |
|
Limited Duration Bond Fund |
|
Mortgage-Backed Securities Fund |
|||||||||
ASSETS: |
||||||||||||||
Investments
in non-affiliates, at value |
$ | 5,701,126 | $ | 267,384 | $ | 1,633,560 | ||||||||
Investments
in affiliates, at value |
509,283 | 81,717 | 163,263 | |||||||||||
Total
investment securities, at value |
6,210,409 | 349,101 | 1,796,823 | |||||||||||
Cash |
998 | | 2,040 | |||||||||||
Receivables: |
||||||||||||||
Investment
securities sold |
36,284 | 57 | 669 | |||||||||||
Fund shares
sold |
45,938 | 3,427 | 4,809 | |||||||||||
Interest and
dividends |
105,365 | 791 | 8,266 | |||||||||||
Total
Assets |
6,398,994 | 353,376 | 1,812,607 | |||||||||||
LIABILITIES: |
||||||||||||||
Payables: |
||||||||||||||
Dividends |
23,786 | 309 | 1,166 | |||||||||||
Investment
securities purchased |
310,481 | 25,397 | 10,493 | |||||||||||
Collateral
for securities lending program |
212,778 | | | |||||||||||
Fund shares
redeemed |
10,069 | 460 | 1,045 | |||||||||||
Accrued
liabilities: |
||||||||||||||
Investment
advisory fees |
2,543 | 27 | 183 | |||||||||||
Administration fees |
71 | 22 | 87 | |||||||||||
Shareholder
servicing fees |
390 | 49 | 59 | |||||||||||
Distribution
fees |
225 | 52 | 18 | |||||||||||
Custodian and
accounting fees |
94 | 18 | 79 | |||||||||||
Trustees and Chief Compliance Officers fees |
18 | 4 | 7 | |||||||||||
Other |
485 | 124 | 38 | |||||||||||
Total
Liabilities |
560,940 | 26,462 | 13,175 | |||||||||||
Net
Assets |
$ | 5,838,054 | $ | 326,914 | $ | 1,799,432 |
|
High Yield Fund |
|
Limited Duration Bond Fund |
|
Mortgage-Backed Securities Fund |
|||||||||
NET
ASSETS: |
||||||||||||||
Paid in
capital |
$ | 5,602,210 | $ | 481,612 | $ | 1,760,361 | ||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
4,289 | (1,177 | ) | 504 | ||||||||||
Accumulated
net realized gains (losses) |
(30,828 | ) | (87,491 | ) | (16,137 | ) | ||||||||
Net
unrealized appreciation (depreciation) |
262,383 | (66,030 | ) | 54,704 | ||||||||||
Total Net
Assets |
$ | 5,838,054 | $ | 326,914 | $ | 1,799,432 | ||||||||
Net
Assets: |
||||||||||||||
Class
A |
$ | 580,690 | $ | 74,529 | $ | 101,955 | ||||||||
Class
B |
22,430 | 1,845 | | |||||||||||
Class
C |
158,503 | 65,806 | | |||||||||||
Class
R2 |
1,004 | | | |||||||||||
Class
R5 |
148,162 | | | |||||||||||
Select
Class |
4,567,712 | 183,481 | 425,701 | |||||||||||
Ultra |
359,553 | 1,253 | 1,271,776 | |||||||||||
Total |
$ | 5,838,054 | $ | 326,914 | $ | 1,799,432 | ||||||||
Outstanding
units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||
Class
A |
75,267 | 8,370 | 9,083 | |||||||||||
Class
B |
2,901 | 209 | | |||||||||||
Class
C |
20,525 | 7,463 | | |||||||||||
Class
R2 |
130 | | | |||||||||||
Class
R5 |
19,135 | | | |||||||||||
Select
Class |
590,244 | 20,610 | 38,657 | |||||||||||
Ultra |
46,493 | 141 | 115,475 | |||||||||||
Net Asset
Value: |
||||||||||||||
Class A
Redemption price per share |
$ | 7.72 | $ | 8.90 | $ | 11.22 | ||||||||
Class B
Offering price per share (a) |
7.73 | 8.83 | | |||||||||||
Class C
Offering price per share (a) |
7.72 | 8.82 | | |||||||||||
Class R2
Offering and redemption price per share |
7.71 | | | |||||||||||
Class R5
Offering and redemption price per share |
7.74 | | | |||||||||||
Select Class
Offering and redemption price per share |
7.74 | 8.90 | 11.01 | |||||||||||
Ultra
Offering and redemption price per share |
7.73 | 8.91 | 11.01 | |||||||||||
Class A
maximum sales charge |
3.75 | % | 2.25 | % | 3.75 | % | ||||||||
Class A
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | 8.02 | $ | 9.10 | $ | 11.66 | ||||||||
Cost of
investments in non-affiliates |
$ | 5,438,743 | $ | 333,414 | $ | 1,578,856 | ||||||||
Cost of
investments in affiliates |
509,283 | 81,717 | 163,263 | |||||||||||
Value of
securities on loan |
206,957 | | |
(a) |
Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
|
Short Duration Bond Fund |
|
Short Term Bond Fund II |
|
Treasury & Agency Fund |
|||||||||
ASSETS: |
||||||||||||||
Investments
in non-affiliates, at value |
$ | 7,377,871 | $ | 102,164 | $ | 514,431 | ||||||||
Investments
in affiliates, at value |
730,485 | 927 | 8,240 | |||||||||||
Total
investment securities, at value |
8,108,356 | 103,091 | 522,671 | |||||||||||
Receivables: |
||||||||||||||
Investment
securities sold |
26,087 | | 10,791 | |||||||||||
Fund shares
sold |
45,682 | 2 | 3,758 | |||||||||||
Interest and
dividends |
47,799 | 757 | 3,688 | |||||||||||
Total
Assets |
8,227,924 | 103,850 | 540,908 | |||||||||||
LIABILITIES: |
||||||||||||||
Payables: |
||||||||||||||
Dividends |
11,001 | 141 | 435 | |||||||||||
Investment
securities purchased |
53,272 | | 10,781 | |||||||||||
Collateral
for securities lending program |
338,982 | | | |||||||||||
Fund shares
redeemed |
10,035 | 40 | 353 | |||||||||||
Accrued
liabilities: |
||||||||||||||
Investment
advisory fees |
1,121 | 26 | 119 | |||||||||||
Administration fees |
359 | 9 | 34 | |||||||||||
Shareholder
servicing fees |
1,077 | 16 | | (a) | ||||||||||
Distribution
fees |
247 | 27 | 20 | |||||||||||
Custodian and
accounting fees |
109 | 12 | 12 | |||||||||||
Trustees and Chief Compliance Officers fees |
17 | 6 | 2 | |||||||||||
Other |
363 | 128 | 91 | |||||||||||
Total
Liabilities |
416,583 | 405 | 11,847 | |||||||||||
Net
Assets |
$ | 7,811,341 | $ | 103,445 | $ | 529,061 |
|
Short Duration Bond Fund |
|
Short Term Bond Fund II |
|
Treasury & Agency Fund |
|||||||||
NET
ASSETS: |
||||||||||||||
Paid in
capital |
$ | 7,718,814 | $ | 162,500 | $ | 509,869 | ||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
425 | 29 | (440 | ) | ||||||||||
Accumulated
net realized gains (losses) |
(1,785 | ) | (61,309 | ) | 6,868 | |||||||||
Net
unrealized appreciation (depreciation) |
93,887 | 2,225 | 12,764 | |||||||||||
Total Net
Assets |
$ | 7,811,341 | $ | 103,445 | $ | 529,061 | ||||||||
Net
Assets: |
||||||||||||||
Class
A |
$ | 255,356 | $ | 7,263 | $ | 99,593 | ||||||||
Class
B |
3,458 | | 1,588 | |||||||||||
Class
C |
344,957 | | | |||||||||||
Class
M |
| 93,816 | | |||||||||||
Select
Class |
5,163,875 | 2,366 | 427,880 | |||||||||||
Ultra |
2,043,695 | | | |||||||||||
Total |
$ | 7,811,341 | $ | 103,445 | $ | 529,061 | ||||||||
Outstanding
units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||
Class
A |
23,417 | 820 | 9,999 | |||||||||||
Class
B |
314 | | 160 | |||||||||||
Class
C |
31,443 | | | |||||||||||
Class
M |
| 10,596 | | |||||||||||
Select
Class |
473,056 | 267 | 43,009 | |||||||||||
Ultra |
187,192 | | | |||||||||||
Net Asset
Value: |
||||||||||||||
Class A
Redemption price per share |
$ | 10.90 | $ | 8.85 | $ | 9.96 | ||||||||
Class B
Offering price per share (b) |
11.00 | | 9.94 | |||||||||||
Class C
Offering price per share (b) |
10.97 | | | |||||||||||
Class M
Offering and redemption price per share |
| 8.85 | | |||||||||||
Select Class
Offering and redemption price per share |
10.92 | 8.87 | 9.95 | |||||||||||
Ultra
Offering and redemption price per share |
10.92 | | | |||||||||||
Class A
maximum sales charge |
2.25 | % | 2.25 | % | 2.25 | % | ||||||||
Class A
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | 11.15 | $ | 9.05 | $ | 10.19 | ||||||||
Cost of
investments in non-affiliates |
$ | 7,283,984 | $ | 99,939 | $ | 501,667 | ||||||||
Cost of
investments in affiliates |
730,485 | 927 | 8,240 | |||||||||||
Value of
securities on loan |
332,371 | | |
(a) |
Amount rounds to less than $1,000. |
(b) |
Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
|
Core Bond Fund |
|
Core Plus Bond Fund |
|
Government Bond Fund |
|||||||||
INVESTMENT
INCOME: |
||||||||||||||
Interest
income from non-affiliates |
$ | 555,828 | $ | 66,476 | $ | 58,591 | ||||||||
Dividend
income from non-affiliates |
| 55 | | |||||||||||
Interest
income from affiliates |
262 | 57 | | |||||||||||
Dividend
income from affiliates |
2,643 | 163 | 129 | |||||||||||
Income from
securities lending (net) |
771 | 178 | | |||||||||||
Total
investment income |
559,504 | 66,929 | 58,720 | |||||||||||
EXPENSES: |
||||||||||||||
Investment
advisory fees |
29,701 | 3,125 | 3,747 | |||||||||||
Administration fees |
9,811 | 1,038 | 1,255 | |||||||||||
Distribution
fees: |
||||||||||||||
Class
A |
5,725 | 271 | 1,050 | |||||||||||
Class
B |
868 | 52 | 318 | |||||||||||
Class
C |
9,869 | 562 | 1,245 | |||||||||||
Class
R2 |
27 | | (a) | 6 | ||||||||||
Shareholder
servicing fees: |
||||||||||||||
Class
A |
5,725 | 271 | 1,050 | |||||||||||
Class
B |
289 | 17 | 106 | |||||||||||
Class
C |
3,290 | 187 | 415 | |||||||||||
Class
R2 |
14 | 1 | 3 | |||||||||||
Class
R5 |
169 | | | |||||||||||
Institutional
Class |
| 23 | | |||||||||||
Select
Class |
12,087 | 1,989 | 1,548 | |||||||||||
Custodian and
accounting fees |
712 | 63 | 97 | |||||||||||
Interest
expense to affiliates |
| (a) | | | ||||||||||
Professional
fees |
156 | 72 | 76 | |||||||||||
Trustees and Chief Compliance Officers fees |
44 | 10 | 12 | |||||||||||
Printing and
mailing costs |
600 | 30 | 134 | |||||||||||
Registration
and filing fees |
1,140 | 189 | 160 | |||||||||||
Transfer
agent fees |
4,551 | 372 | 1,051 | |||||||||||
Other |
298 | 71 | 62 | |||||||||||
Total
expenses |
85,076 | 8,343 | 12,335 | |||||||||||
Less amounts
waived |
(15,438 | ) | (957 | ) | (3,243 | ) | ||||||||
Less earnings
credits |
(1 | ) | | (a) | | (a) | ||||||||
Less expense
reimbursements |
(100 | ) | (21 | ) | (13 | ) | ||||||||
Net
expenses |
69,537 | 7,365 | 9,079 | |||||||||||
Net
investment income (loss) |
489,967 | 59,564 | 49,641 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||
Net realized
gain (loss) on transactions from: |
||||||||||||||
Investments
in non-affiliates |
120 | 279 | 407 | |||||||||||
Investment in
affiliates |
250 | 88 | | |||||||||||
Futures |
| (17 | ) | | ||||||||||
Payment by
Advisor (See Note 3) |
48 | 135 | | |||||||||||
Foreign
currency transactions |
| (6 | ) | | ||||||||||
Swaps |
| 20 | | |||||||||||
Net realized
gain (loss) |
418 | 499 | 407 | |||||||||||
Change in net
unrealized appreciation (depreciation) of: |
||||||||||||||
Investments
in non-affiliates |
478,454 | 103,285 | 15,238 | |||||||||||
Investments
in affiliates |
375 | 59 | | |||||||||||
Futures |
| 13 | | |||||||||||
Foreign
currency translations |
| (2 | ) | | ||||||||||
Swaps |
| 304 | | |||||||||||
Unfunded
commitments |
| 407 | | |||||||||||
Change in net
unrealized appreciation (depreciation) |
478,829 | 104,066 | 15,238 | |||||||||||
Net
realized/unrealized gains (losses) |
479,247 | 104,565 | 15,645 | |||||||||||
Change in net
assets resulting from operations |
$ | 969,214 | $ | 164,129 | $ | 65,286 |
(a) |
Amount rounds to less than $1,000. |
|
High Yield Fund |
|
Limited Duration Bond Fund |
|
Mortgage-Backed Securities Fund |
|||||||||
INVESTMENT
INCOME: |
||||||||||||||
Interest
income from non-affiliates |
$ | 378,724 | $ | 11,807 | $ | 92,176 | ||||||||
Dividend
income from non-affiliates |
2,373 | | | |||||||||||
Dividend
income from affiliates |
615 | 193 | 141 | |||||||||||
Income from
securities lending (net) |
1,507 | | | |||||||||||
Total
investment income |
383,219 | 12,000 | 92,317 | |||||||||||
EXPENSES: |
||||||||||||||
Investment
advisory fees |
26,053 | 822 | 4,283 | |||||||||||
Administration fees |
3,979 | 333 | 1,223 | |||||||||||
Distribution
fees: |
||||||||||||||
Class
A |
1,162 | 145 | 90 | |||||||||||
Class
B |
158 | 24 | | |||||||||||
Class
C |
823 | 467 | | |||||||||||
Class
R2 |
2 | | | |||||||||||
Shareholder
servicing fees: |
||||||||||||||
Class
A |
1,162 | 145 | 90 | |||||||||||
Class
B |
53 | 8 | | |||||||||||
Class
C |
274 | 156 | | |||||||||||
Class
R2 |
1 | | | |||||||||||
Class
R5 |
58 | | | |||||||||||
Select
Class |
7,779 | 399 | 346 | |||||||||||
Custodian and
accounting fees |
245 | 57 | 217 | |||||||||||
Professional
fees |
119 | 67 | 77 | |||||||||||
Trustees and Chief Compliance Officers fees |
40 | | 12 | |||||||||||
Printing and
mailing costs |
488 | 23 | 49 | |||||||||||
Registration
and filing fees |
378 | 52 | 42 | |||||||||||
Transfer
agent fees |
1,684 | 203 | 37 | |||||||||||
Other |
160 | 24 | 49 | |||||||||||
Total
expenses |
44,618 | 2,925 | 6,515 | |||||||||||
Less amounts
waived |
(6,744 | ) | (981 | ) | (3,184 | ) | ||||||||
Less earnings
credits |
(2 | ) | | (a) | | (a) | ||||||||
Less expense
reimbursements |
(27 | ) | (8 | ) | (12 | ) | ||||||||
Net
expenses |
37,845 | 1,936 | 3,319 | |||||||||||
Net
investment income (loss) |
345,374 | 10,064 | 88,998 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||
Net realized
gain (loss) on transactions from: |
||||||||||||||
Investments
in non-affiliates |
32,706 | (43,883 | ) | 15 | ||||||||||
Payment by
Advisor (See Note 3) |
548 | 56 | | |||||||||||
Net realized
gain (loss) |
33,254 | (43,827 | ) | 15 | ||||||||||
Change in net
unrealized appreciation (depreciation) of: |
||||||||||||||
Investments
in non-affiliates |
916,525 | 84,743 | 82,299 | |||||||||||
Unfunded
commitments |
3,257 | | | |||||||||||
Change in net
unrealized appreciation (depreciation) |
919,782 | 84,743 | 82,299 | |||||||||||
Net
realized/unrealized gains (losses) |
953,036 | 40,916 | 82,314 | |||||||||||
Change in net
assets resulting from operations |
$ | 1,298,410 | $ | 50,980 | $ | 171,312 |
(a) |
Amount rounds to less than $1,000. |
|
Short Duration Bond Fund |
|
Short Term Bond Fund II |
|
Treasury & Agency Fund |
|||||||||
INVESTMENT
INCOME: |
||||||||||||||
Interest
income from non-affiliates |
$ | 151,876 | $ | 3,443 | $ | 17,513 | ||||||||
Interest
income from affiliates |
12 | | | |||||||||||
Dividend
income from affiliates |
342 | 21 | 49 | |||||||||||
Income from
securities lending (net) |
1,004 | | | |||||||||||
Total
investment income |
153,234 | 3,464 | 17,562 | |||||||||||
EXPENSES: |
||||||||||||||
Investment
advisory fees |
11,978 | 289 | 1,858 | |||||||||||
Administration fees |
4,731 | 117 | 627 | |||||||||||
Distribution
fees: |
||||||||||||||
Class
A |
456 | 17 | 261 | |||||||||||
Class
B |
32 | | 16 | |||||||||||
Class
C |
1,312 | | | |||||||||||
Class
M |
| 367 | | |||||||||||
Shareholder
servicing fees: |
||||||||||||||
Class
A |
456 | 17 | 261 | |||||||||||
Class
B |
11 | | 5 | |||||||||||
Class
C |
437 | | | |||||||||||
Class
M |
| 262 | | |||||||||||
Select
Class |
8,195 | 9 | 1,282 | |||||||||||
Custodian and
accounting fees |
288 | 34 | 38 | |||||||||||
Professional
fees |
121 | 58 | 67 | |||||||||||
Trustees and Chief Compliance Officers fees |
48 | 1 | 6 | |||||||||||
Printing and
mailing costs |
305 | 22 | 54 | |||||||||||
Registration
and filing fees |
319 | 30 | 48 | |||||||||||
Transfer
agent fees |
212 | 25 | 155 | |||||||||||
Other |
122 | 72 | 42 | |||||||||||
Total
expenses |
29,023 | 1,320 | 4,720 | |||||||||||
Less amounts
waived |
(4,128 | ) | (209 | ) | (1,704 | ) | ||||||||
Less earnings
credits |
| (a) | | (a) | | (a) | ||||||||
Less expense
reimbursements |
(27 | ) | | (13 | ) | |||||||||
Net
expenses |
24,868 | 1,111 | 3,003 | |||||||||||
Net
investment income (loss) |
128,366 | 2,353 | 14,559 | |||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||
Net realized
gain (loss) on transactions from: |
||||||||||||||
Investments
in non-affiliates |
3,893 | (11,986 | ) | 12,322 | ||||||||||
Investment in
affiliates |
52 | | | |||||||||||
Futures |
| 24 | | |||||||||||
Payment by
Advisor (See Note 3) |
| 80 | | |||||||||||
Net realized
gain (loss) |
3,945 | (11,882 | ) | 12,322 | ||||||||||
Change in net
unrealized appreciation (depreciation) of: |
||||||||||||||
Investments
in non-affiliates |
104,433 | 13,468 | (4,734 | ) | ||||||||||
Investments
in affiliates |
(17 | ) | | | ||||||||||
Futures |
| 28 | | |||||||||||
Foreign
currency translations |
| | (a) | | ||||||||||
Change in net
unrealized appreciation (depreciation) |
104,416 | 13,496 | (4,734 | ) | ||||||||||
Net
realized/unrealized gains (losses) |
108,361 | 1,614 | 7,588 | |||||||||||
Change in net
assets resulting from operations |
$ | 236,727 | $ | 3,967 | $ | 22,147 |
(a) |
Amount rounds to less than $1,000. |
Core Bond Fund |
Core Plus Bond Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||
Net
investment income (loss) |
$ | 489,967 | $ | 247,924 | $ | 59,564 | $ | 51,726 | |||||||||||
Net realized
gain (loss) |
418 | (4,667 | ) | 499 | (5,216 | ) | |||||||||||||
Change in net
unrealized appreciation (depreciation) |
478,829 | (190,458 | ) | 104,066 | (99,954 | ) | |||||||||||||
Change in net
assets resulting from operations |
969,214 | 52,799 | 164,129 | (53,444 | ) | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
From net
investment income |
(113,312 | ) | (48,405 | ) | (6,206 | ) | (2,546 | ) | |||||||||||
Class
B |
|||||||||||||||||||
From net
investment income |
(4,896 | ) | (3,398 | ) | (343 | ) | (241 | ) | |||||||||||
Class
C |
|||||||||||||||||||
From net
investment income |
(56,032 | ) | (8,337 | ) | (3,874 | ) | (561 | ) | |||||||||||
Class R2
(a) |
|||||||||||||||||||
From net
investment income |
(251 | ) | (1 | ) | (7 | ) | (1 | ) | |||||||||||
Class
R5 |
|||||||||||||||||||
From net
investment income |
(17,802 | ) | (11,805 | ) | | | |||||||||||||
Institutional Class (b) |
|||||||||||||||||||
From net
investment income |
| | (1,402 | ) | | ||||||||||||||
Select
Class |
|||||||||||||||||||
From net
investment income |
(244,539 | ) | (134,685 | ) | (46,071 | ) | (47,317 | ) | |||||||||||
Ultra |
|||||||||||||||||||
From net
investment income |
(52,645 | ) | (39,871 | ) | (1,857 | ) | (856 | ) | |||||||||||
Total
distributions to shareholders |
(489,477 | ) | (246,502 | ) | (59,760 | ) | (51,522 | ) | |||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Change in net
assets from capital transactions |
8,411,171 | 1,153,640 | 478,602 | (154,186 | ) | ||||||||||||||
NET
ASSETS: |
|||||||||||||||||||
Change in net
assets |
8,890,908 | 959,937 | 582,971 | (259,152 | ) | ||||||||||||||
Beginning of
period |
5,367,149 | 4,407,212 | 749,283 | 1,008,435 | |||||||||||||||
End of
period |
$ | 14,258,057 | $ | 5,367,149 | $ | 1,332,254 | $ | 749,283 | |||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 1,855 | $ | 1,403 | $ | (433 | ) | $ | 100 |
(a) |
Commencement of offering of class of shares effective November 3, 2008. |
(b) |
Commencement of offering of class of shares effective June 19, 2009. |
Government Bond Fund |
High Yield Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||
Net
investment income (loss) |
$ | 49,641 | $ | 43,604 | $ | 345,374 | $ | 170,933 | |||||||||||
Net realized
gain (loss) |
407 | 751 | 33,254 | (59,851 | ) | ||||||||||||||
Change in net
unrealized appreciation (depreciation) |
15,238 | 3,987 | 919,782 | (517,674 | ) | ||||||||||||||
Change in net
assets resulting from operations |
65,286 | 48,342 | 1,298,410 | (406,592 | ) | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
From net
investment income |
(16,672 | ) | (11,982 | ) | (39,437 | ) | (6,525 | ) | |||||||||||
Class
B |
|||||||||||||||||||
From net
investment income |
(1,363 | ) | (1,462 | ) | (1,611 | ) | (1,516 | ) | |||||||||||
Class
C |
|||||||||||||||||||
From net
investment income |
(5,436 | ) | (3,270 | ) | (8,640 | ) | (1,984 | ) | |||||||||||
Class R2
(a) |
|||||||||||||||||||
From net
investment income |
(45 | ) | (1 | ) | (28 | ) | (2 | ) | |||||||||||
Class
R5 |
|||||||||||||||||||
From net
investment income |
| | (10,142 | ) | (2,969 | ) | |||||||||||||
Select
Class |
|||||||||||||||||||
From net
investment income |
(26,186 | ) | (26,825 | ) | (269,203 | ) | (150,316 | ) | |||||||||||
Ultra |
|||||||||||||||||||
From net
investment income |
| | (16,380 | ) | (7,239 | ) | |||||||||||||
Total
distributions to shareholders |
(49,702 | ) | (43,540 | ) | (345,441 | ) | (170,551 | ) | |||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Change in net
assets from capital transactions |
212,449 | 231,208 | 2,663,582 | 1,023,445 | |||||||||||||||
NET
ASSETS: |
|||||||||||||||||||
Change in net
assets |
228,033 | 236,010 | 3,616,551 | 446,302 | |||||||||||||||
Beginning of
period |
1,163,291 | 927,281 | 2,221,503 | 1,775,201 | |||||||||||||||
End of
period |
$ | 1,391,324 | $ | 1,163,291 | $ | 5,838,054 | $ | 2,221,503 | |||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 12 | $ | 73 | $ | 4,289 | $ | 1,323 |
(a) |
Commencement of offering of class of shares effective November 3, 2008. |
Limited Duration Bond Fund |
Mortgage-Backed Securities Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||
Net
investment income (loss) |
$ | 10,064 | $ | 32,408 | $ | 88,998 | $ | 61,732 | |||||||||||
Net realized
gain (loss) |
(43,827 | ) | (42,566 | ) | 15 | 326 | |||||||||||||
Change in net
unrealized appreciation (depreciation) |
84,743 | (83,725 | ) | 82,299 | (54,202 | ) | |||||||||||||
Change in net
assets resulting from operations |
50,980 | (93,883 | ) | 171,312 | 7,856 | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
From net
investment income |
(1,732 | ) | (3,058 | ) | (2,423 | ) | (903 | ) | |||||||||||
Class
B |
|||||||||||||||||||
From net
investment income |
(84 | ) | (446 | ) | | | |||||||||||||
Class
C |
|||||||||||||||||||
From net
investment income |
(1,592 | ) | (3,750 | ) | | | |||||||||||||
Select
Class |
|||||||||||||||||||
From net
investment income |
(5,196 | ) | (11,781 | ) | (10,196 | ) | (5,501 | ) | |||||||||||
Ultra |
|||||||||||||||||||
From net
investment income |
(1,427 | ) | (13,400 | ) | (76,478 | ) | (54,742 | ) | |||||||||||
Total
distributions to shareholders |
(10,031 | ) | (32,435 | ) | (89,097 | ) | (61,146 | ) | |||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Change in net
assets from capital transactions |
(154,849 | ) | (627,569 | ) | 696,596 | 76,404 | |||||||||||||
NET
ASSETS: |
|||||||||||||||||||
Change in net
assets |
(113,900 | ) | (753,887 | ) | 778,811 | 23,114 | |||||||||||||
Beginning of
period |
440,814 | 1,194,701 | 1,020,621 | 997,507 | |||||||||||||||
End of
period |
$ | 326,914 | $ | 440,814 | $ | 1,799,432 | $ | 1,020,621 | |||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 1,177 | $ | (2,166 | ) | $ | 504 | $ | 603 |
Short Duration Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||
Net
investment income (loss) |
$ | 128,366 | $ | 80,440 | $ | 2,353 | $ | 6,381 | |||||||||||
Net realized
gain (loss) |
3,945 | 2,463 | (11,882 | ) | (18,183 | ) | |||||||||||||
Change in net
unrealized appreciation (depreciation) |
104,416 | (39,400 | ) | 13,496 | (475 | ) | |||||||||||||
Change in net
assets resulting from operations |
236,727 | 43,503 | 3,967 | (12,277 | ) | ||||||||||||||
Net
equalization credits (debits) |
| | (15 | ) | (147 | ) | |||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
From net
investment income |
(4,393 | ) | (2,458 | ) | (173 | ) | (558 | ) | |||||||||||
Class
B |
|||||||||||||||||||
From net
investment income |
(80 | ) | (260 | ) | | | |||||||||||||
Class
C |
|||||||||||||||||||
From net
investment income |
(3,307 | ) | (583 | ) | | | |||||||||||||
Class
M |
|||||||||||||||||||
From net
investment income |
| | (2,406 | ) | (4,395 | ) | |||||||||||||
Select
Class |
|||||||||||||||||||
From net
investment income |
(86,773 | ) | (64,962 | ) | (105 | ) | (1,629 | ) | |||||||||||
Ultra |
|||||||||||||||||||
From net
investment income |
(33,326 | ) | (12,259 | ) | | | |||||||||||||
Total
distributions to shareholders |
(127,879 | ) | (80,522 | ) | (2,684 | ) | (6,582 | ) | |||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Change in net
assets from capital transactions |
5,229,689 | 846,387 | (23,718 | ) | (104,896 | ) | |||||||||||||
NET
ASSETS: |
|||||||||||||||||||
Change in net
assets |
5,338,537 | 809,368 | (22,450 | ) | (123,902 | ) | |||||||||||||
Beginning of
period |
2,472,804 | 1,663,436 | 125,895 | 249,797 | |||||||||||||||
End of
period |
$ | 7,811,341 | $ | 2,472,804 | $ | 103,445 | $ | 125,895 | |||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 425 | $ | (62 | ) | $ | 29 | $ | (374 | ) |
Treasury & Agency Fund |
|||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||
Net
investment income (loss) |
$ | 14,559 | $ | 13,291 | |||||||
Net realized
gain (loss) |
12,322 | 22,791 | |||||||||
Change in net
unrealized appreciation (depreciation) |
(4,734 | ) | 3,329 | ||||||||
Change in net
assets resulting from operations |
22,147 | 39,411 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||
Class
A |
|||||||||||
From net
investment income |
(2,238 | ) | (1,654 | ) | |||||||
From net
realized gains |
(3,339 | ) | | ||||||||
Class
B |
|||||||||||
From net
investment income |
(37 | ) | (74 | ) | |||||||
From net
realized gains |
(54 | ) | | ||||||||
Select
Class |
|||||||||||
From net
investment income |
(12,271 | ) | (16,270 | ) | |||||||
From net
realized gains |
(14,626 | ) | | ||||||||
Total
distributions to shareholders |
(32,565 | ) | (17,998 | ) | |||||||
CAPITAL
TRANSACTIONS: |
|||||||||||
Change in net
assets from capital transactions |
(131,206 | ) | (55,114 | ) | |||||||
NET
ASSETS: |
|||||||||||
Change in net
assets |
(141,624 | ) | (33,701 | ) | |||||||
Beginning of
period |
670,685 | 704,386 | |||||||||
End of
period |
$ | 529,061 | $ | 670,685 | |||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | (440 | ) | $ | (1,083 | ) |
Core Bond Fund |
Core Plus Bond Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 2,207,484 | $ | 940,733 | $ | 123,634 | $ | 20,595 | |||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
105,525 | | 10,165 | | |||||||||||||||
Dividends and
distributions reinvested |
97,942 | 41,772 | 4,236 | 1,738 | |||||||||||||||
Cost of
shares redeemed |
(692,741 | ) | (406,328 | ) | (29,687 | ) | (19,315 | ) | |||||||||||
Change in net
assets from Class A capital transactions |
$ | 1,718,210 | $ | 576,177 | $ | 108,348 | $ | 3,018 | |||||||||||
Class
B |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 33,442 | $ | 26,995 | $ | 2,766 | $ | 1,556 | |||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
36,304 | | 2,437 | | |||||||||||||||
Dividends and
distributions reinvested |
3,918 | 2,624 | 267 | 186 | |||||||||||||||
Cost of
shares redeemed |
(42,164 | ) | (23,792 | ) | (2,804 | ) | (3,543 | ) | |||||||||||
Change in net
assets from Class B capital transactions |
$ | 31,500 | $ | 5,827 | $ | 2,666 | $ | (1,801 | ) | ||||||||||
Class
C |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 2,141,459 | $ | 182,660 | $ | 139,327 | $ | 15,118 | |||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
41,325 | | 5,095 | | |||||||||||||||
Dividends and
distributions reinvested |
43,720 | 6,606 | 2,836 | 426 | |||||||||||||||
Cost of
shares redeemed |
(203,403 | ) | (65,256 | ) | (16,654 | ) | (3,611 | ) | |||||||||||
Change in net
assets from Class C capital transactions |
$ | 2,023,101 | $ | 124,010 | $ | 130,604 | $ | 11,933 | |||||||||||
Class R2
(a) |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 15,313 | $ | 61 | $ | 145 | $ | 50 | |||||||||||
Dividends and
distributions reinvested |
68 | 1 | 5 | 1 | |||||||||||||||
Cost of
shares redeemed |
(1,060 | ) | | | (b) | | |||||||||||||
Change in net
assets from Class R2 capital transactions |
$ | 14,321 | $ | 62 | $ | 150 | $ | 51 | |||||||||||
Class
R5 |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 247,419 | $ | 149,476 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
15,203 | 11,659 | | | |||||||||||||||
Cost of
shares redeemed |
(69,126 | ) | (71,255 | ) | | | |||||||||||||
Change in net
assets from Class R5 capital transactions |
$ | 193,496 | $ | 89,880 | $ | | $ | | |||||||||||
Institutional Class (c) |
|||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | 32,142 | $ | | |||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
| | 15,799 | | |||||||||||||||
Dividends and
distributions reinvested |
| | 622 | | |||||||||||||||
Cost of
shares redeemed |
| | (3,374 | ) | | ||||||||||||||
Change in net
assets from Institutional Class capital transactions |
$ | | $ | | $ | 45,189 | $ | | |||||||||||
Select
Class |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 4,929,544 | $ | 1,742,864 | $ | 332,782 | $ | 125,064 | |||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
576,149 | | 30,681 | | |||||||||||||||
Dividends and
distributions reinvested |
153,536 | 68,578 | 7,280 | 4,216 | |||||||||||||||
Cost of
shares redeemed |
(1,564,604 | ) | (1,455,185 | ) | (178,480 | ) | (295,891 | ) | |||||||||||
Change in net
assets from Select Class capital transactions |
$ | 4,094,625 | $ | 356,257 | $ | 192,263 | $ | (166,611 | ) | ||||||||||
Ultra |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 485,735 | $ | 294,753 | $ | 35,673 | $ | 5,024 | |||||||||||
Subscriptions
in-kind (See Note 10) |
| | 2,249 | | |||||||||||||||
Net assets
acquired in Fund reorganization (See Note 9) |
105,588 | | 20,544 | | |||||||||||||||
Dividends and
distributions reinvested |
31,270 | 21,699 | 559 | | (b) | ||||||||||||||
Cost of
shares redeemed |
(286,675 | ) | (315,025 | ) | (59,643 | ) | (5,800 | ) | |||||||||||
Change in net
assets from Ultra capital transactions |
$ | 335,918 | $ | 1,427 | $ | (618 | ) | $ | (776 | ) | |||||||||
Total
change in net assets from capital transactions |
$ | 8,411,171 | $ | 1,153,640 | $ | 478,602 | $ | (154,186 | ) |
Core Bond Fund |
Core Plus Bond Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Issued |
200,398 | 88,385 | 16,285 | 2,843 | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
9,693 | | 1,371 | | |||||||||||||||
Reinvested |
8,862 | 3,931 | 554 | 237 | |||||||||||||||
Redeemed |
(62,836 | ) | (38,177 | ) | (3,920 | ) | (2,596 | ) | |||||||||||
Change in
Class A Shares |
156,117 | 54,139 | 14,290 | 484 | |||||||||||||||
Class
B |
|||||||||||||||||||
Issued |
3,080 | 2,531 | 372 | 210 | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
3,337 | | 327 | | |||||||||||||||
Reinvested |
355 | 247 | 36 | 25 | |||||||||||||||
Redeemed |
(3,823 | ) | (2,235 | ) | (370 | ) | (472 | ) | |||||||||||
Change in
Class B Shares |
2,949 | 543 | 365 | (237 | ) | ||||||||||||||
Class
C |
|||||||||||||||||||
Issued |
193,321 | 16,939 | 18,158 | 2,045 | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
3,778 | | 685 | | |||||||||||||||
Reinvested |
3,919 | 619 | 367 | 58 | |||||||||||||||
Redeemed |
(18,251 | ) | (6,112 | ) | (2,169 | ) | (492 | ) | |||||||||||
Change in
Class C Shares |
182,767 | 11,446 | 17,041 | 1,611 | |||||||||||||||
Class R2
(a) |
|||||||||||||||||||
Issued |
1,385 | 6 | 19 | 7 | |||||||||||||||
Reinvested |
6 | | (b) | 1 | | (b) | |||||||||||||
Redeemed |
(95 | ) | | | (b) | | |||||||||||||
Change in
Class R2 Shares |
1,296 | 6 | 20 | 7 | |||||||||||||||
Class
R5 |
|||||||||||||||||||
Issued |
22,309 | 14,070 | | | |||||||||||||||
Reinvested |
1,380 | 1,101 | | | |||||||||||||||
Redeemed |
(6,289 | ) | (6,693 | ) | | | |||||||||||||
Change in
Class R5 Shares |
17,400 | 8,478 | | | |||||||||||||||
Institutional Class (c) |
|||||||||||||||||||
Issued |
| | 4,151 | | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
| | 2,130 | | |||||||||||||||
Reinvested |
| | 80 | | |||||||||||||||
Redeemed |
| | (433 | ) | | ||||||||||||||
Change in
Institutional Class Shares |
| | 5,928 | | |||||||||||||||
Select
Class |
|||||||||||||||||||
Issued |
445,897 | 163,130 | 43,932 | 16,566 | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
52,962 | | 4,141 | | |||||||||||||||
Reinvested |
13,876 | 6,461 | 953 | 575 | |||||||||||||||
Redeemed |
(141,414 | ) | (137,167 | ) | (23,802 | ) | (40,734 | ) | |||||||||||
Change in
Select Class Shares |
371,321 | 32,424 | 25,224 | (23,593 | ) | ||||||||||||||
Ultra |
|||||||||||||||||||
Issued |
44,095 | 27,883 | 4,805 | 708 | |||||||||||||||
Subscriptions
in-kind (See Note 10) |
| | 312 | | |||||||||||||||
Shares issued
in connection with Fund reorganization (See Note 9) |
9,703 | | 2,774 | | |||||||||||||||
Reinvested |
2,837 | 2,043 | 72 | | (b) | ||||||||||||||
Redeemed |
(25,920 | ) | (29,574 | ) | (7,838 | ) | (771 | ) | |||||||||||
Change in
Ultra Shares |
30,715 | 352 | 125 | (63 | ) |
(a) |
Commencement of offering of class of shares effective November 3, 2008. |
(b) |
Amount rounds to less than 1,000 (shares or dollars). |
(c) |
Commencement of offering of class of shares effective June 19, 2009. |
Government Bond Fund |
High Yield Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 249,919 | $ | 295,879 | $ | 570,387 | $ | 156,930 | |||||||||||
Dividends and
distributions reinvested |
9,730 | 6,306 | 33,852 | 4,695 | |||||||||||||||
Cost of
shares redeemed |
(184,105 | ) | (152,770 | ) | (314,911 | ) | (35,641 | ) | |||||||||||
Redemption
fees |
| | 30 | 6 | |||||||||||||||
Change in net
assets from Class A capital transactions |
$ | 75,544 | $ | 149,415 | $ | 289,358 | $ | 125,990 | |||||||||||
Class
B |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 5,186 | $ | 17,493 | $ | 5,451 | $ | 2,720 | |||||||||||
Dividends and
distributions reinvested |
1,060 | 1,138 | 924 | 827 | |||||||||||||||
Cost of
shares redeemed |
(20,095 | ) | (13,951 | ) | (6,349 | ) | (7,389 | ) | |||||||||||
Redemption
fees |
| | 2 | 1 | |||||||||||||||
Change in net
assets from Class B capital transactions |
$ | (13,849 | ) | $ | 4,680 | $ | 28 | $ | (3,841 | ) | |||||||||
Class
C |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 123,938 | $ | 133,457 | $ | 120,545 | $ | 22,748 | |||||||||||
Dividends and
distributions reinvested |
4,368 | 2,626 | 6,032 | 1,193 | |||||||||||||||
Cost of
shares redeemed |
(81,288 | ) | (46,902 | ) | (30,007 | ) | (9,758 | ) | |||||||||||
Redemption
fees |
| | 7 | 2 | |||||||||||||||
Change in net
assets from Class C capital transactions |
$ | 47,018 | $ | 89,181 | $ | 96,577 | $ | 14,185 | |||||||||||
Class R2
(a) |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 3,609 | $ | 163 | $ | 966 | $ | 50 | |||||||||||
Dividends and
distributions reinvested |
8 | | (b) | 20 | 2 | ||||||||||||||
Cost of
shares redeemed |
(643 | ) | | (b) | (73 | ) | | ||||||||||||
Redemption
fees |
| | | (b) | | ||||||||||||||
Change in net
assets from Class R2 capital transactions |
$ | 2,974 | $ | 163 | $ | 913 | $ | 52 | |||||||||||
Class
R5 |
|||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | 77,289 | $ | 43,287 | |||||||||||
Dividends and
distributions reinvested |
| | 9,768 | 2,969 | |||||||||||||||
Cost of
shares redeemed |
| | (20,388 | ) | (2,847 | ) | |||||||||||||
Redemption
fees |
| | 8 | 2 | |||||||||||||||
Change in net
assets from Class R5 capital transactions |
$ | | $ | | $ | 66,677 | $ | 43,411 | |||||||||||
Select
Class |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 358,450 | $ | 239,782 | $ | 2,827,285 | $ | 1,284,422 | |||||||||||
Subscriptions
in-kind (See Note 10) |
| | 4,090 | | |||||||||||||||
Dividends and
distributions reinvested |
7,709 | 4,208 | 69,870 | 14,629 | |||||||||||||||
Cost of
shares redeemed |
(265,397 | ) | (256,221 | ) | (918,806 | ) | (494,419 | ) | |||||||||||
Redemption
fees |
| | 215 | 113 | |||||||||||||||
Change in net
assets from Select Class capital transactions |
$ | 100,762 | $ | (12,231 | ) | $ | 1,982,654 | $ | 804,745 | ||||||||||
Ultra |
|||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | 333,303 | $ | 47,201 | |||||||||||
Dividends and
distributions reinvested |
| | 3,858 | 191 | |||||||||||||||
Cost of
shares redeemed |
| | (109,799 | ) | (8,495 | ) | |||||||||||||
Redemption
fees |
| | 13 | 6 | |||||||||||||||
Change in net
assets from Ultra capital transactions |
$ | | $ | | $ | 227,375 | $ | 38,903 | |||||||||||
Total
change in net assets from capital transactions |
$ | 212,449 | $ | 231,208 | $ | 2,663,582 | $ | 1,023,445 |
Government Bond Fund |
High Yield Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Issued |
23,476 | 28,317 | 81,493 | 25,923 | |||||||||||||||
Reinvested |
912 | 608 | 4,664 | 727 | |||||||||||||||
Redeemed |
(17,265 | ) | (14,562 | ) | (42,776 | ) | (5,208 | ) | |||||||||||
Change in
Class A Shares |
7,123 | 14,363 | 43,381 | 21,442 | |||||||||||||||
Class
B |
|||||||||||||||||||
Issued |
486 | 1,677 | 801 | 418 | |||||||||||||||
Reinvested |
99 | 110 | 129 | 123 | |||||||||||||||
Redeemed |
(1,891 | ) | (1,337 | ) | (909 | ) | (1,090 | ) | |||||||||||
Change in
Class B Shares |
(1,306 | ) | 450 | 21 | (549 | ) | |||||||||||||
Class
C |
|||||||||||||||||||
Issued |
11,674 | 12,799 | 17,448 | 3,731 | |||||||||||||||
Reinvested |
411 | 254 | 828 | 180 | |||||||||||||||
Redeemed |
(7,666 | ) | (4,482 | ) | (4,107 | ) | (1,442 | ) | |||||||||||
Change in
Class C Shares |
4,419 | 8,571 | 14,169 | 2,469 | |||||||||||||||
Class R2
(a) |
|||||||||||||||||||
Issued |
338 | 16 | 128 | 9 | |||||||||||||||
Reinvested |
1 | | (b) | 3 | | (b) | |||||||||||||
Redeemed |
(60 | ) | | (b) | (10 | ) | | ||||||||||||
Change in
Class R2 Shares |
279 | 16 | 121 | 9 | |||||||||||||||
Class
R5 |
|||||||||||||||||||
Issued |
| | 11,237 | 6,731 | |||||||||||||||
Reinvested |
| | 1,348 | 464 | |||||||||||||||
Redeemed |
| | (2,654 | ) | (463 | ) | |||||||||||||
Change in
Class R5 Shares |
| | 9,931 | 6,732 | |||||||||||||||
Select
Class |
|||||||||||||||||||
Issued |
33,658 | 23,101 | 391,080 | 190,355 | |||||||||||||||
Subscriptions
in-kind (See Note 10) |
| | 690 | | |||||||||||||||
Reinvested |
723 | 404 | 9,481 | 2,170 | |||||||||||||||
Redeemed |
(24,929 | ) | (24,620 | ) | (127,426 | ) | (79,268 | ) | |||||||||||
Change in
Select Class Shares |
9,452 | (1,115 | ) | 273,825 | 113,257 | ||||||||||||||
Ultra |
|||||||||||||||||||
Issued |
| | 45,285 | 7,003 | |||||||||||||||
Reinvested |
| | 532 | 31 | |||||||||||||||
Redeemed |
| | (15,149 | ) | (1,389 | ) | |||||||||||||
Change in
Ultra Shares |
| | 30,668 | 5,645 |
(a) |
Commencement of offering of class of shares effective November 3, 2008. |
(b) |
Amount rounds to less than 1,000 (shares or dollars). |
Limited Duration Bond Fund |
Mortgage-Backed Securities Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 35,791 | $ | 14,113 | $ | 94,102 | $ | 4,110 | |||||||||||
Dividends and
distributions reinvested |
1,278 | 2,271 | 2,099 | 783 | |||||||||||||||
Cost of
shares redeemed |
(22,570 | ) | (55,723 | ) | (12,293 | ) | (5,832 | ) | |||||||||||
Change in net
assets from Class A capital transactions |
$ | 14,499 | $ | (39,339 | ) | $ | 83,908 | $ | (939 | ) | |||||||||
Class
B |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 143 | $ | 401 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
71 | 384 | | | |||||||||||||||
Cost of
shares redeemed |
(5,176 | ) | (11,121 | ) | | | |||||||||||||
Change in net
assets from Class B capital transactions |
$ | (4,962 | ) | $ | (10,336 | ) | $ | | $ | | |||||||||
Class
C |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 17,868 | $ | 8,395 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
1,377 | 3,261 | | | |||||||||||||||
Cost of
shares redeemed |
(26,768 | ) | (73,777 | ) | | | |||||||||||||
Change in net
assets from Class C capital transactions |
$ | (7,523 | ) | $ | (62,121 | ) | $ | | $ | | |||||||||
Select
Class |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 57,408 | $ | 85,608 | $ | 350,357 | $ | 9,382 | |||||||||||
Dividends and
distributions reinvested |
1,421 | 2,439 | 7,257 | 3,592 | |||||||||||||||
Cost of
shares redeemed |
(74,888 | ) | (216,541 | ) | (27,094 | ) | (16,596 | ) | |||||||||||
Change in net
assets from Select Class capital transactions |
$ | (16,059 | ) | $ | (128,494 | ) | $ | 330,520 | $ | (3,622 | ) | ||||||||
Ultra |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 1 | $ | 14,670 | $ | 395,291 | $ | 102,682 | |||||||||||
Dividends and
distributions reinvested |
| 7,190 | 65,387 | 40,657 | |||||||||||||||
Cost of
shares redeemed |
(33,382 | ) | (409,139 | ) | (178,510 | ) | (62,374 | ) | |||||||||||
Redemptions
in-kind (See Note 10) |
(107,423 | ) | | | | ||||||||||||||
Change in net
assets from Ultra capital transactions |
$ | (140,804 | ) | $ | (387,279 | ) | $ | 282,168 | $ | 80,965 | |||||||||
Total
change in net assets from capital transactions |
$ | (154,849 | ) | $ | (627,569 | ) | $ | 696,596 | $ | 76,404 |
Limited Duration Bond Fund |
Mortgage-Backed Securities Fund |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Issued |
4,199 | 1,630 | 8,448 | 389 | |||||||||||||||
Reinvested |
153 | 264 | 190 | 74 | |||||||||||||||
Redeemed |
(2,722 | ) | (6,385 | ) | (1,109 | ) | (551 | ) | |||||||||||
Change in
Class A Shares |
1,630 | (4,491 | ) | 7,529 | (88 | ) | |||||||||||||
Class
B |
|||||||||||||||||||
Issued |
18 | 46 | | | |||||||||||||||
Reinvested |
9 | 45 | | | |||||||||||||||
Redeemed |
(648 | ) | (1,295 | ) | | | |||||||||||||
Change in
Class B Shares |
(621 | ) | (1,204 | ) | | | |||||||||||||
Class
C |
|||||||||||||||||||
Issued |
2,134 | 974 | | | |||||||||||||||
Reinvested |
168 | 383 | | | |||||||||||||||
Redeemed |
(3,285 | ) | (8,626 | ) | | | |||||||||||||
Change in
Class C Shares |
(983 | ) | (7,269 | ) | | | |||||||||||||
Select
Class |
|||||||||||||||||||
Issued |
6,797 | 9,853 | 31,853 | 892 | |||||||||||||||
Reinvested |
170 | 285 | 671 | 348 | |||||||||||||||
Redeemed |
(9,328 | ) | (25,022 | ) | (2,490 | ) | (1,596 | ) | |||||||||||
Change in
Select Class Shares |
(2,361 | ) | (14,884 | ) | 30,034 | (356 | ) | ||||||||||||
Ultra |
|||||||||||||||||||
Issued |
| (a) | 1,646 | 36,477 | 9,832 | ||||||||||||||
Reinvested |
| 823 | 6,082 | 3,935 | |||||||||||||||
Redeemed |
(4,123 | ) | (46,429 | ) | (16,626 | ) | (6,023 | ) | |||||||||||
Redemptions
in-kind (See Note 10) |
(13,361 | ) | | | | ||||||||||||||
Change in
Ultra Shares |
(17,484 | ) | (43,960 | ) | 25,933 | 7,744 |
(a) |
Amount rounds to less than 1,000. |
Short Duration Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 259,152 | $ | 64,808 | $ | 1,024 | $ | 1,537 | |||||||||||
Dividends and
distributions reinvested |
3,608 | 2,005 | 166 | 533 | |||||||||||||||
Cost of
shares redeemed |
(102,680 | ) | (31,271 | ) | (464 | ) | (16,779 | ) | |||||||||||
Change in net
assets from Class A capital transactions |
$ | 160,080 | $ | 35,542 | $ | 726 | $ | (14,709 | ) | ||||||||||
Class
B |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 1,719 | $ | 1,702 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
67 | 215 | | | |||||||||||||||
Cost of
shares redeemed |
(5,118 | ) | (6,392 | ) | | | |||||||||||||
Change in net
assets from Class B capital transactions |
$ | (3,332 | ) | $ | (4,475 | ) | $ | | $ | | |||||||||
Class
C |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 422,727 | $ | 8,205 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
2,864 | 514 | | | |||||||||||||||
Cost of
shares redeemed |
(106,662 | ) | (4,874 | ) | | | |||||||||||||
Change in net
assets from Class C capital transactions |
$ | 318,929 | $ | 3,845 | $ | | $ | | |||||||||||
Class
M |
|||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | (a) | $ | 9 | ||||||||||
Dividends and
distributions reinvested |
| | | | (a) | ||||||||||||||
Cost of
shares redeemed |
| | (21,165 | ) | (17,482 | ) | |||||||||||||
Change in net
assets from Class M capital transactions |
$ | | $ | | $ | (21,165 | ) | $ | (17,473 | ) | |||||||||
Select
Class |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 4,655,265 | $ | 1,484,860 | $ | 132 | $ | 211 | |||||||||||
Dividends and
distributions reinvested |
7,101 | 4,831 | 20 | 73 | |||||||||||||||
Cost of
shares redeemed |
(1,604,106 | ) | (686,010 | ) | (3,431 | ) | (72,998 | ) | |||||||||||
Change in net
assets from Select Class capital transactions |
$ | 3,058,260 | $ | 803,681 | $ | (3,279 | ) | $ | (72,714 | ) | |||||||||
Ultra |
|||||||||||||||||||
Proceeds from
shares issued |
$ | 2,500,432 | $ | 144,254 | $ | | $ | | |||||||||||
Dividends and
distributions reinvested |
8,224 | 4,582 | | | |||||||||||||||
Cost of
shares redeemed |
(812,904 | ) | (141,042 | ) | | | |||||||||||||
Change in net
assets from Ultra capital transactions |
$ | 1,695,752 | $ | 7,794 | $ | | $ | | |||||||||||
Total
change in net assets from capital transactions |
$ | 5,229,689 | $ | 846,387 | $ | (23,718 | ) | $ | (104,896 | ) |
Short Duration Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||
Class
A |
|||||||||||||||||||
Issued |
23,999 | 6,097 | 117 | 164 | |||||||||||||||
Reinvested |
334 | 189 | 20 | 58 | |||||||||||||||
Redeemed |
(9,483 | ) | (2,951 | ) | (54 | ) | (1,830 | ) | |||||||||||
Change in
Class A Shares |
14,850 | 3,335 | 83 | (1,608 | ) | ||||||||||||||
Class
B |
|||||||||||||||||||
Issued |
158 | 160 | | | |||||||||||||||
Reinvested |
6 | 20 | | | |||||||||||||||
Redeemed |
(473 | ) | (598 | ) | | | |||||||||||||
Change in
Class B Shares |
(309 | ) | (418 | ) | | | |||||||||||||
Class
C |
|||||||||||||||||||
Issued |
38,823 | 767 | | | |||||||||||||||
Reinvested |
262 | 48 | | | |||||||||||||||
Redeemed |
(9,760 | ) | (457 | ) | | | |||||||||||||
Change in
Class C Shares |
29,325 | 358 | | | |||||||||||||||
Class
M |
|||||||||||||||||||
Issued |
| | | (a) | | (a) | |||||||||||||
Reinvested |
| | | | (a) | ||||||||||||||
Redeemed |
| | (2,404 | ) | (1,910 | ) | |||||||||||||
Change in
Class M Shares |
| | (2,404 | ) | (1,910 | ) | |||||||||||||
Select
Class |
|||||||||||||||||||
Issued |
428,823 | 139,320 | 15 | 23 | |||||||||||||||
Reinvested |
655 | 455 | 2 | 8 | |||||||||||||||
Redeemed |
(147,579 | ) | (64,807 | ) | (390 | ) | (7,969 | ) | |||||||||||
Change in
Select Class Shares |
281,899 | 74,968 | (373 | ) | (7,938 | ) | |||||||||||||
Ultra |
|||||||||||||||||||
Issued |
230,589 | 13,506 | | | |||||||||||||||
Reinvested |
757 | 432 | | | |||||||||||||||
Redeemed |
(74,562 | ) | (13,242 | ) | | | |||||||||||||
Change in
Ultra Shares |
156,784 | 696 | | |
(a) |
Amount rounds to less than 1,000 (shares or dollars). |
Treasury & Agency Fund |
||||||||||||||
|
Year Ended 2/28/2010 |
|
Year Ended 2/28/2009 |
|||||||||||
CAPITAL
TRANSACTIONS: |
||||||||||||||
Class
A |
||||||||||||||
Proceeds from
shares issued |
$ | 43,462 | $ | 97,141 | ||||||||||
Dividends and
distributions reinvested |
4,305 | 1,167 | ||||||||||||
Cost of
shares redeemed |
(60,690 | ) | (62,526 | ) | ||||||||||
Change in net
assets from Class A capital transactions |
$ | (12,923 | ) | $ | 35,782 | |||||||||
Class
B |
||||||||||||||
Proceeds from
shares issued |
302 | 1,715 | ||||||||||||
Dividends and
distributions reinvested |
80 | 58 | ||||||||||||
Cost of
shares redeemed |
(2,305 | ) | (4,962 | ) | ||||||||||
Change in net
assets from Class B capital transactions |
$ | (1,923 | ) | $ | (3,189 | ) | ||||||||
Select
Class |
||||||||||||||
Proceeds from
shares issued |
234,806 | 681,878 | ||||||||||||
Dividends and
distributions reinvested |
3,420 | 2,412 | ||||||||||||
Cost of
shares redeemed |
(354,586 | ) | (771,997 | ) | ||||||||||
Change in net
assets from Select Class capital transactions |
$ | (116,360 | ) | $ | (87,707 | ) | ||||||||
Total
change in net assets from capital transactions |
$ | (131,206 | ) | $ | (55,114 | ) | ||||||||
SHARE
TRANSACTIONS: |
||||||||||||||
Class
A |
||||||||||||||
Issued |
4,267 | 9,674 | ||||||||||||
Reinvested |
429 | 117 | ||||||||||||
Redeemed |
(5,965 | ) | (6,216 | ) | ||||||||||
Change in
Class A Shares |
(1,269 | ) | 3,575 | |||||||||||
Class
B |
||||||||||||||
Issued |
30 | 171 | ||||||||||||
Reinvested |
8 | 6 | ||||||||||||
Redeemed |
(226 | ) | (496 | ) | ||||||||||
Change in
Class B Shares |
(188 | ) | (319 | ) | ||||||||||
Select
Class |
||||||||||||||
Issued |
23,154 | 68,605 | ||||||||||||
Reinvested |
341 | 242 | ||||||||||||
Redeemed |
(34,885 | ) | (76,348 | ) | ||||||||||
Change in
Select Class Shares |
(11,390 | ) | (7,501 | ) |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Core Bond
Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 10.59 | $ | 0.55 | (e) | $ | 0.64 | (f) | $ | 1.19 | $ | (0.55 | ) | $ | 11.23 | ||||||||||||
Year Ended
February 28, 2009 |
11.04 | 0.55 | (e) | (0.46 | ) | 0.09 | (0.54 | ) | 10.59 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.67 | 0.48 | (e) | 0.37 | 0.85 | (0.48 | ) | 11.04 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.57 | 0.46 | (e) | 0.10 | 0.56 | (0.46 | ) | 10.67 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
10.91 | 0.34 | (0.35 | ) | (0.01 | ) | (0.33 | ) | 10.57 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.77 | 0.51 | 0.15 | 0.66 | (0.52 | ) | 10.91 | ||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.58 | 0.48 | (e) | 0.63 | (f) | 1.11 | (0.47 | ) | 11.22 | ||||||||||||||||||
Year Ended
February 28, 2009 |
11.03 | 0.47 | (e) | (0.45 | ) | 0.02 | (0.47 | ) | 10.58 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.66 | 0.41 | (e) | 0.37 | 0.78 | (0.41 | ) | 11.03 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.56 | 0.39 | (e) | 0.10 | 0.49 | (0.39 | ) | 10.66 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
10.90 | 0.27 | (0.33 | ) | (0.06 | ) | (0.28 | ) | 10.56 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.76 | 0.42 | 0.17 | 0.59 | (0.45 | ) | 10.90 | ||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.65 | 0.46 | (e) | 0.65 | (f) | 1.11 | (0.48 | ) | 11.28 | ||||||||||||||||||
Year Ended
February 28, 2009 |
11.09 | 0.48 | (e) | (0.45 | ) | 0.03 | (0.47 | ) | 10.65 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.73 | 0.42 | (e) | 0.35 | 0.77 | (0.41 | ) | 11.09 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.62 | 0.39 | (e) | 0.11 | 0.50 | (0.39 | ) | 10.73 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
10.96 | 0.28 | (0.34 | ) | (0.06 | ) | (0.28 | ) | 10.62 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.82 | 0.42 | 0.17 | 0.59 | (0.45 | ) | 10.96 | ||||||||||||||||||||
Class
R2 |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.59 | 0.49 | (e) | 0.67 | (f) | 1.16 | (0.53 | ) | 11.22 | ||||||||||||||||||
November 3,
2008 (i) through February 28, 2009 |
10.26 | 0.17 | (e) | 0.34 | 0.51 | (0.18 | ) | 10.59 | |||||||||||||||||||
Class
R5(j) |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.58 | 0.58 | (e) | 0.63 | (f) | 1.21 | (0.58 | ) | 11.21 | ||||||||||||||||||
Year Ended
February 28, 2009 |
11.02 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | 10.58 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.66 | 0.52 | (e) | 0.35 | 0.87 | (0.51 | ) | 11.02 | |||||||||||||||||||
May 15, 2006
(i) through February 28, 2007 |
10.35 | 0.39 | (e) | 0.33 | 0.72 | (0.41 | ) | 10.66 | |||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.58 | 0.56 | (e) | 0.64 | (f) | 1.20 | (0.56 | ) | 11.22 | ||||||||||||||||||
Year Ended
February 28, 2009 |
11.03 | 0.56 | (e) | (0.46 | ) | 0.10 | (0.55 | ) | 10.58 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.67 | 0.50 | (e) | 0.35 | 0.85 | (0.49 | ) | 11.03 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.56 | 0.47 | (e) | 0.11 | 0.58 | (0.47 | ) | 10.67 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
10.90 | 0.33 | (0.33 | ) | | (0.34 | ) | 10.56 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.77 | 0.53 | 0.14 | 0.67 | (0.54 | ) | 10.90 | ||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.59 | 0.59 | (e) | 0.63 | (f) | 1.22 | (0.59 | ) | 11.22 | ||||||||||||||||||
Year Ended
February 28, 2009 |
11.03 | 0.58 | (e) | (0.45 | ) | 0.13 | (0.57 | ) | 10.59 | ||||||||||||||||||
Year Ended
February 29, 2008 |
10.67 | 0.52 | (e) | 0.36 | 0.88 | (0.52 | ) | 11.03 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.56 | 0.50 | (e) | 0.10 | 0.60 | (0.49 | ) | 10.67 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
10.90 | 0.35 | (0.34 | ) | 0.01 | (0.35 | ) | 10.56 | |||||||||||||||||||
February 22,
2005 (i) through June 30, 2005 |
10.84 | 0.19 | 0.07 | 0.26 | (0.20 | ) | 10.90 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return (See Note 3). |
(g) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) |
Commencement of offering of class of shares. |
(j) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
11.45 | %(f) | $ | 3,154,129 | 0.73 | % | 4.94 | % | 0.97 | % | 18 | % | ||||||||||||||||
0.87 | 1,322,130 | 0.75 | 5.12 | 0.98 | 18 | ||||||||||||||||||||||
8.21 | (g) | 780,006 | 0.75 | 4.51 | 0.99 | 14 | |||||||||||||||||||||
5.42 | 560,556 | 0.75 | 4.36 | 0.94 | 8 | ||||||||||||||||||||||
(0.11 | ) | 394,309 | 0.75 | 4.54 | 0.97 | 13 | |||||||||||||||||||||
6.23 | 373,401 | 0.82 | 4.52 | 1.09 | 16 | ||||||||||||||||||||||
10.71 | (f) | 118,596 | 1.38 | 4.37 | 1.47 | 18 | |||||||||||||||||||||
0.21 | 80,648 | 1.40 | 4.42 | 1.48 | 18 | ||||||||||||||||||||||
7.49 | (g) | 78,048 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||||
4.75 | 74,963 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||||
(0.55 | ) | 85,667 | 1.40 | 3.89 | 1.47 | 13 | |||||||||||||||||||||
5.57 | 94,897 | 1.47 | 3.87 | 1.68 | 16 | ||||||||||||||||||||||
10.65 | (f) | 2,326,774 | 1.38 | 4.12 | 1.47 | 18 | |||||||||||||||||||||
0.33 | 250,444 | 1.40 | 4.46 | 1.48 | 18 | ||||||||||||||||||||||
7.38 | (g) | 133,975 | 1.40 | 3.86 | 1.49 | 14 | |||||||||||||||||||||
4.83 | 65,579 | 1.40 | 3.72 | 1.44 | 8 | ||||||||||||||||||||||
(0.55 | ) | 57,530 | 1.40 | 3.89 | 1.47 | 13 | |||||||||||||||||||||
5.53 | 64,238 | 1.47 | 3.87 | 1.70 | 16 | ||||||||||||||||||||||
11.16 | (f) | 14,608 | 0.98 | 4.41 | 1.22 | 18 | |||||||||||||||||||||
5.00 | 63 | 1.00 | 4.96 | 1.25 | 18 | ||||||||||||||||||||||
11.69 | (f) | 470,155 | 0.43 | 5.26 | 0.53 | 18 | |||||||||||||||||||||
1.26 | 259,552 | 0.45 | 5.43 | 0.53 | 18 | ||||||||||||||||||||||
8.41 | (g) | 177,019 | 0.45 | 4.82 | 0.54 | 14 | |||||||||||||||||||||
7.03 | 55,785 | 0.45 | 4.64 | 0.50 | 8 | ||||||||||||||||||||||
11.61 | (f) | 7,029,375 | 0.57 | 5.08 | 0.72 | 18 | |||||||||||||||||||||
1.03 | 2,699,976 | 0.60 | 5.21 | 0.73 | 18 | ||||||||||||||||||||||
8.25 | (g) | 2,456,097 | 0.60 | 4.66 | 0.73 | 14 | |||||||||||||||||||||
5.69 | 2,128,674 | 0.60 | 4.52 | 0.69 | 8 | ||||||||||||||||||||||
(0.02 | ) | 2,742,810 | 0.60 | 4.69 | 0.72 | 13 | |||||||||||||||||||||
6.36 | 2,754,702 | 0.60 | 4.72 | 0.79 | 16 | ||||||||||||||||||||||
11.72 | (f) | 1,144,420 | 0.39 | 5.36 | 0.47 | 18 | |||||||||||||||||||||
1.30 | 754,336 | 0.40 | 5.41 | 0.48 | 18 | ||||||||||||||||||||||
8.48 | (g) | 782,067 | 0.40 | 4.86 | 0.48 | 14 | |||||||||||||||||||||
5.88 | 711,527 | 0.40 | 4.72 | 0.44 | 8 | ||||||||||||||||||||||
0.12 | 703,229 | 0.40 | 4.89 | 0.47 | 13 | ||||||||||||||||||||||
2.44 | 649,060 | 0.40 | 5.00 | 0.43 | 16 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Core Plus
Bond Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 7.03 | $ | 0.43 | (e) | $ | 0.82 | (f) | $ | 1.25 | $ | (0.43 | ) | $ | 7.85 | ||||||||||||
Year Ended
February 28, 2009 |
7.85 | 0.41 | (e) | (0.82 | ) | (0.41 | ) | (0.41 | ) | 7.03 | |||||||||||||||||
Year Ended
February 29, 2008 |
7.78 | 0.37 | 0.07 | 0.44 | (0.37 | ) | 7.85 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
7.73 | 0.35 | 0.06 | 0.41 | (0.36 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
7.95 | 0.24 | (0.22 | ) | 0.02 | (0.24 | ) | 7.73 | |||||||||||||||||||
Year Ended June
30, 2005 |
7.82 | 0.36 | 0.14 | 0.50 | (0.37 | ) | 7.95 | ||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.06 | 0.38 | (e) | 0.83 | (f) | 1.21 | (0.38 | ) | 7.89 | ||||||||||||||||||
Year Ended
February 28, 2009 |
7.89 | 0.37 | (e) | (0.83 | ) | (0.46 | ) | (0.37 | ) | 7.06 | |||||||||||||||||
Year Ended
February 29, 2008 |
7.82 | 0.32 | 0.08 | 0.40 | (0.33 | ) | 7.89 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | 7.82 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
7.98 | 0.22 | (0.22 | ) | | (0.21 | ) | 7.77 | |||||||||||||||||||
Year Ended June
30, 2005 |
7.86 | 0.32 | 0.12 | 0.44 | (0.32 | ) | 7.98 | ||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.05 | 0.38 | (e) | 0.84 | (f) | 1.22 | (0.39 | ) | 7.88 | ||||||||||||||||||
Year Ended
February 28, 2009 |
7.89 | 0.37 | (e) | (0.84 | ) | (0.47 | ) | (0.37 | ) | 7.05 | |||||||||||||||||
Year Ended
February 29, 2008 |
7.82 | 0.34 | 0.06 | 0.40 | (0.33 | ) | 7.89 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
7.77 | 0.32 | 0.05 | 0.37 | (0.32 | ) | 7.82 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
7.98 | 0.21 | (0.21 | ) | | (0.21 | ) | 7.77 | |||||||||||||||||||
Year Ended June
30, 2005 |
7.86 | 0.31 | 0.13 | 0.44 | (0.32 | ) | 7.98 | ||||||||||||||||||||
Class
R2 |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.03 | 0.40 | (e) | 0.82 | (f) | 1.22 | (0.40 | ) | 7.85 | ||||||||||||||||||
November 3,
2008 (i) through February 28, 2009 |
6.90 | 0.13 | (e) | 0.12 | 0.25 | (0.12 | ) | 7.03 | |||||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
June 19, 2009
(i) through February 28, 2010 |
7.38 | 0.31 | (e) | 0.48 | (f) | 0.79 | (0.32 | ) | 7.85 | ||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.02 | 0.44 | (e) | 0.83 | (f) | 1.27 | (0.44 | ) | 7.85 | ||||||||||||||||||
Year Ended
February 28, 2009 |
7.85 | 0.42 | (e) | (0.82 | ) | (0.40 | ) | (0.43 | ) | 7.02 | |||||||||||||||||
Year Ended
February 29, 2008 |
7.78 | 0.39 | 0.07 | 0.46 | (0.39 | ) | 7.85 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
7.73 | 0.38 | 0.05 | 0.43 | (0.38 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
7.95 | 0.25 | (0.22 | ) | 0.03 | (0.25 | ) | 7.73 | |||||||||||||||||||
Year Ended June
30, 2005 |
7.82 | 0.38 | 0.13 | 0.51 | (0.38 | ) | 7.95 | ||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.02 | 0.45 | (e) | 0.84 | (f) | 1.29 | (0.46 | ) | 7.85 | ||||||||||||||||||
Year Ended
February 28, 2009 |
7.85 | 0.44 | (e) | (0.82 | ) | (0.38 | ) | (0.45 | ) | 7.02 | |||||||||||||||||
Year Ended
February 29, 2008 |
7.78 | 0.42 | 0.06 | 0.48 | (0.41 | ) | 7.85 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
7.73 | 0.39 | 0.06 | 0.45 | (0.40 | ) | 7.78 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
7.95 | 0.27 | (0.22 | ) | 0.05 | (0.27 | ) | 7.73 | |||||||||||||||||||
February 22,
2005 (i) through June 30, 2005 |
7.94 | 0.15 | 0.03 | 0.18 | (0.17 | ) | 7.95 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
The Advisor reimbursed the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) per share for Ultra Class would have been $0.83, and the total return would have been 18.61%. The impact was less than $0.01 to the net realized and unrealized gain (losses) per share and less than 0.01% to total return for Class A, Class B, Class C, Class R2, Institutional Class or Select Class (See Note 3). |
(g) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) |
Commencement of offering of class of shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
18.14 | %(f) | $ | 168,775 | 0.77 | % | 5.59 | % | 0.97 | % | 26 | % | ||||||||||||||||
(5.32 | ) | 50,659 | 0.92 | 5.51 | 0.99 | 17 | |||||||||||||||||||||
5.81 | (g) | 52,808 | 0.92 | 4.81 | 0.97 | 31 | |||||||||||||||||||||
5.49 | 45,383 | 0.91 | 4.64 | 0.96 | 26 | ||||||||||||||||||||||
0.31 | 50,622 | 0.90 | 4.65 | 0.94 | 15 | ||||||||||||||||||||||
6.47 | 56,320 | 0.90 | 4.54 | 1.09 | 20 | ||||||||||||||||||||||
17.49 | (f) | 7,674 | 1.40 | 5.00 | 1.48 | 26 | |||||||||||||||||||||
(5.93 | ) | 4,295 | 1.45 | 4.93 | 1.49 | 17 | |||||||||||||||||||||
5.26 | (g) | 6,665 | 1.45 | 4.28 | 1.47 | 31 | |||||||||||||||||||||
4.91 | 5,464 | 1.45 | 4.09 | 1.46 | 26 | ||||||||||||||||||||||
0.05 | 6,950 | 1.44 | 4.10 | 1.44 | 15 | ||||||||||||||||||||||
5.74 | 9,424 | 1.51 | 3.92 | 1.70 | 20 | ||||||||||||||||||||||
17.58 (f) | 152,695 | 1.39 | 4.90 | 1.46 | 26 | ||||||||||||||||||||||
(5.99 | ) | 16,495 | 1.45 | 5.08 | 1.50 | 17 | |||||||||||||||||||||
5.27 | (g) | 5,737 | 1.45 | 4.27 | 1.47 | 31 | |||||||||||||||||||||
4.90 | 3,512 | 1.45 | 4.11 | 1.46 | 26 | ||||||||||||||||||||||
0.05 | 3,119 | 1.44 | 4.10 | 1.44 | 15 | ||||||||||||||||||||||
5.74 | 3,492 | 1.50 | 3.94 | 1.69 | 20 | ||||||||||||||||||||||
17.71 | (f) | 210 | 1.14 | 5.21 | 1.22 | 26 | |||||||||||||||||||||
3.68 | 52 | 1.17 | 5.83 | 1.29 | 17 | ||||||||||||||||||||||
10.89 | (f) | 46,561 | 0.48 | 5.73 | 0.56 | 26 | |||||||||||||||||||||
18.46 | (f) | 937,874 | 0.65 | 5.81 | 0.73 | 26 | |||||||||||||||||||||
(5.21 | ) | 662,140 | 0.67 | 5.73 | 0.74 | 17 | |||||||||||||||||||||
6.11 | (g) | 925,240 | 0.67 | 5.05 | 0.72 | 31 | |||||||||||||||||||||
5.74 | 875,275 | 0.66 | 4.89 | 0.71 | 26 | ||||||||||||||||||||||
0.46 | 1,216,897 | 0.65 | 4.90 | 0.69 | 15 | ||||||||||||||||||||||
6.73 | 1,252,911 | 0.65 | 4.79 | 0.77 | 20 | ||||||||||||||||||||||
18.76 | (f) | 18,465 | 0.40 | 5.94 | 0.48 | 26 | |||||||||||||||||||||
(4.98 | ) | 15,642 | 0.45 | 5.95 | 0.49 | 17 | |||||||||||||||||||||
6.31 | (g) | 17,985 | 0.45 | 5.26 | 0.47 | 31 | |||||||||||||||||||||
5.97 | 12,094 | 0.45 | 5.10 | 0.46 | 26 | ||||||||||||||||||||||
0.62 | 12,738 | 0.44 | 5.10 | 0.44 | 15 | ||||||||||||||||||||||
2.35 | 13,894 | 0.43 | 5.27 | 0.43 | 20 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Government
Bond Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 10.56 | $ | 0.42 | $ | 0.14 | $ | 0.56 | $ | (0.42 | ) | $ | 10.70 | ||||||||||||||
Year Ended
February 28, 2009 |
10.55 | 0.42 | 0.01 | 0.43 | (0.42 | ) | 10.56 | ||||||||||||||||||||
Year Ended
February 29, 2008 |
10.15 | 0.48 | 0.40 | 0.88 | (0.48 | ) | 10.55 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.15 | 0.45 | 0.01 | 0.46 | (0.46 | ) | 10.15 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.48 | 0.30 | (0.33 | ) | (0.03 | ) | (0.30 | ) | 10.15 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.16 | 0.46 | 0.33 | 0.79 | (0.47 | ) | 10.48 | ||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.55 | 0.34 | 0.14 | 0.48 | (0.34 | ) | 10.69 | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.54 | 0.35 | 0.01 | 0.36 | (0.35 | ) | 10.55 | ||||||||||||||||||||
Year Ended
February 29, 2008 |
10.14 | 0.41 | 0.40 | 0.81 | (0.41 | ) | 10.54 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.14 | 0.38 | 0.01 | 0.39 | (0.39 | ) | 10.14 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.47 | 0.25 | (0.33 | ) | (0.08 | ) | (0.25 | ) | 10.14 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.16 | 0.39 | 0.32 | 0.71 | (0.40 | ) | 10.47 | ||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.53 | 0.35 | 0.13 | 0.48 | (0.35 | ) | 10.66 | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.53 | 0.34 | 0.01 | 0.35 | (0.35 | ) | 10.53 | ||||||||||||||||||||
Year Ended
February 29, 2008 |
10.13 | 0.42 | 0.39 | 0.81 | (0.41 | ) | 10.53 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.13 | 0.38 | 0.01 | 0.39 | (0.39 | ) | 10.13 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.46 | 0.25 | (0.33 | ) | (0.08 | ) | (0.25 | ) | 10.13 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.15 | 0.40 | 0.31 | 0.71 | (0.40 | ) | 10.46 | ||||||||||||||||||||
Class
R2 |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.56 | 0.41 | 0.12 | 0.53 | (0.40 | ) | 10.69 | ||||||||||||||||||||
November 3,
2008 (g) through February 28, 2009 |
10.07 | 0.09 | 0.51 | 0.60 | (0.11 | ) | 10.56 | ||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.56 | 0.45 | 0.13 | 0.58 | (0.45 | ) | 10.69 | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.55 | 0.46 | | (h) | 0.46 | (0.45 | ) | 10.56 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.15 | 0.52 | 0.39 | 0.91 | (0.51 | ) | 10.55 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.14 | 0.48 | 0.01 | 0.49 | (0.48 | ) | 10.15 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.47 | 0.31 | (0.33 | ) | (0.02 | ) | (0.31 | ) | 10.14 | ||||||||||||||||||
Year Ended June
30, 2005 |
10.15 | 0.49 | 0.32 | 0.81 | (0.49 | ) | 10.47 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(g) |
Commencement of offering of class of shares. |
(h) |
Amount rounds to less than $0.01. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
5.42 | % | $ | 453,605 | 0.74 | % | 3.96 | % | 1.03 | % | 12 | % | ||||||||||||||||
4.27 | 372,703 | 0.75 | 4.04 | 1.02 | 13 | ||||||||||||||||||||||
8.98 | (e) | 220,780 | 0.75 | 4.70 | 0.98 | 2 | |||||||||||||||||||||
4.65 | 157,598 | 0.75 | 4.51 | 0.98 | 24 | ||||||||||||||||||||||
(0.30 | ) | 146,294 | 0.75 | 4.37 | 0.97 | 6 | |||||||||||||||||||||
7.89 | 140,496 | 0.79 | 4.43 | 1.02 | 10 | ||||||||||||||||||||||
4.64 | 34,957 | 1.47 | 3.26 | 1.53 | 12 | ||||||||||||||||||||||
3.50 | 48,296 | 1.48 | 3.34 | 1.52 | 13 | ||||||||||||||||||||||
8.20 | (e) | 43,513 | 1.46 | 4.02 | 1.48 | 2 | |||||||||||||||||||||
3.93 | 52,182 | 1.46 | 3.82 | 1.48 | 24 | ||||||||||||||||||||||
(0.78 | ) | 78,500 | 1.45 | 3.67 | 1.47 | 6 | |||||||||||||||||||||
7.07 | 95,143 | 1.47 | 3.76 | 1.62 | 10 | ||||||||||||||||||||||
4.58 | 185,498 | 1.47 | 3.23 | 1.53 | 12 | ||||||||||||||||||||||
3.46 | 136,707 | 1.48 | 3.24 | 1.52 | 13 | ||||||||||||||||||||||
8.25 | (e) | 46,407 | 1.46 | 3.99 | 1.48 | 2 | |||||||||||||||||||||
3.94 | 22,250 | 1.46 | 3.81 | 1.48 | 24 | ||||||||||||||||||||||
(0.77 | ) | 23,863 | 1.45 | 3.67 | 1.47 | 6 | |||||||||||||||||||||
7.09 | 24,922 | 1.48 | 3.75 | 1.64 | 10 | ||||||||||||||||||||||
5.09 | 3,151 | 0.99 | 3.62 | 1.27 | 12 | ||||||||||||||||||||||
5.97 | 164 | 1.00 | 2.59 | 1.30 | 13 | ||||||||||||||||||||||
5.59 | 714,113 | 0.47 | 4.23 | 0.78 | 12 | ||||||||||||||||||||||
4.54 | 605,421 | 0.48 | 4.38 | 0.77 | 13 | ||||||||||||||||||||||
9.26 | (e) | 616,581 | 0.48 | 5.01 | 0.73 | 2 | |||||||||||||||||||||
4.99 | 891,369 | 0.50 | 4.74 | 0.73 | 24 | ||||||||||||||||||||||
(0.16 | ) | 805,018 | 0.54 | 4.58 | 0.72 | 6 | |||||||||||||||||||||
8.15 | 824,646 | 0.56 | 4.67 | 0.71 | 10 |
|
Per share operating
performance |
|
|||||||||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gain |
|
Total distributions |
|
Redemption fees |
||||||||||||||||||||
High Yield
Fund |
|||||||||||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 5.79 | $ | 0.58 | $ | 1.94 | (e) | $ | 2.52 | $ | (0.59 | ) | $ | | $ | (0.59 | ) | $ | | (f) | |||||||||||||||
Year Ended
February 28, 2009 |
7.59 | 0.52 | (1.78 | ) | (1.26 | ) | (0.54 | ) | | (0.54 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.60 | 0.62 | (0.93 | ) | (0.31 | ) | (0.61 | ) | (0.09 | ) | (0.70 | ) | | (f) | |||||||||||||||||||||
Year Ended
February 28, 2007 |
8.23 | 0.61 | 0.40 | 1.01 | (0.62 | ) | (0.02 | ) | (0.64 | ) | | (f) | |||||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
8.29 | 0.42 | (0.06 | ) | 0.36 | (0.42 | ) | | (0.42 | ) | | (f) | |||||||||||||||||||||||
Year Ended June
30, 2005 |
8.17 | 0.61 | 0.14 | 0.75 | (0.61 | ) | (0.02 | ) | (0.63 | ) | | (f) | |||||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.81 | 0.55 | 1.91 | (e) | 2.46 | (0.54 | ) | | (0.54 | ) | | (f) | |||||||||||||||||||||||
Year Ended
February 28, 2009 |
7.60 | 0.51 | (1.80 | ) | (1.29 | ) | (0.50 | ) | | (0.50 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.61 | 0.58 | (0.94 | ) | (0.36 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | | (f) | |||||||||||||||||||||
Year Ended
February 28, 2007 |
8.23 | 0.57 | 0.40 | 0.97 | (0.57 | ) | (0.02 | ) | (0.59 | ) | | (f) | |||||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
8.29 | 0.38 | (0.06 | ) | 0.32 | (0.38 | ) | | (0.38 | ) | | (f) | |||||||||||||||||||||||
Year Ended June
30, 2005 |
8.18 | 0.55 | 0.14 | 0.69 | (0.56 | ) | (0.02 | ) | (0.58 | ) | | (f) | |||||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.80 | 0.53 | 1.93 | (e) | 2.46 | (0.54 | ) | | (0.54 | ) | | (f) | |||||||||||||||||||||||
Year Ended
February 28, 2009 |
7.59 | 0.50 | (1.79 | ) | (1.29 | ) | (0.50 | ) | | (0.50 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.61 | 0.57 | (0.94 | ) | (0.37 | ) | (0.56 | ) | (0.09 | ) | (0.65 | ) | | (f) | |||||||||||||||||||||
Year Ended
February 28, 2007 |
8.24 | 0.57 | 0.39 | 0.96 | (0.57 | ) | (0.02 | ) | (0.59 | ) | | (f) | |||||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
8.29 | 0.38 | (0.05 | ) | 0.33 | (0.38 | ) | | (0.38 | ) | | (f) | |||||||||||||||||||||||
Year Ended June
30, 2005 |
8.19 | 0.55 | 0.13 | 0.68 | (0.56 | ) | (0.02 | ) | (0.58 | ) | | (f) | |||||||||||||||||||||||
Class
R2 |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.79 | 0.55 | 1.94 | (e) | 2.49 | (0.57 | ) | | (0.57 | ) | | (f) | |||||||||||||||||||||||
November 3,
2008 (i) through February 28, 2009 |
5.96 | 0.16 | (0.17 | ) | (0.01 | ) | (0.16 | ) | | (0.16 | ) | | (f) | ||||||||||||||||||||||
Class R5
(j) |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.81 | 0.61 | 1.93 | (e) | 2.54 | (0.61 | ) | | (0.61 | ) | | (f) | |||||||||||||||||||||||
Year Ended
February 28, 2009 |
7.61 | 0.55 | (1.79 | ) | (1.24 | ) | (0.56 | ) | | (0.56 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.63 | 0.66 | (0.95 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | | (f) | |||||||||||||||||||||
May 15, 2006
(i) through February 28, 2007 |
8.31 | 0.52 | 0.35 | 0.87 | (0.53 | ) | (0.02 | ) | (0.55 | ) | | (f) | |||||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.81 | 0.60 | 1.93 | (e) | 2.53 | (0.60 | ) | | (0.60 | ) | | (f) | |||||||||||||||||||||||
Year Ended
February 28, 2009 |
7.60 | 0.56 | (1.79 | ) | (1.23 | ) | (0.56 | ) | | (0.56 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.62 | 0.63 | (0.92 | ) | (0.29 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | | (f) | |||||||||||||||||||||
Year Ended
February 28, 2007 |
8.24 | 0.64 | 0.40 | 1.04 | (0.64 | ) | (0.02 | ) | (0.66 | ) | | (f) | |||||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
8.30 | 0.43 | (0.06 | ) | 0.37 | (0.43 | ) | | (0.43 | ) | | (f) | |||||||||||||||||||||||
Year Ended June
30, 2005 |
8.18 | 0.63 | 0.14 | 0.77 | (0.63 | ) | (0.02 | ) | (0.65 | ) | | (f) | |||||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
5.81 | 0.61 | 1.92 | (e) | 2.53 | (0.61 | ) | | (0.61 | ) | | (f) | |||||||||||||||||||||||
Year Ended
February 28, 2009 |
7.60 | 0.57 | (1.80 | ) | (1.23 | ) | (0.56 | ) | | (0.56 | ) | | (f) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.61 | 0.65 | (0.93 | ) | (0.28 | ) | (0.64 | ) | (0.09 | ) | (0.73 | ) | | (f) | |||||||||||||||||||||
Year Ended
February 28, 2007 |
8.24 | 0.65 | 0.39 | 1.04 | (0.65 | ) | (0.02 | ) | (0.67 | ) | | (f) | |||||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
8.30 | 0.45 | (0.08 | ) | 0.37 | (0.43 | ) | | (0.43 | ) | | (f) | |||||||||||||||||||||||
February 22,
2005 (i) through June 30, 2005 |
8.59 | 0.23 | (0.24 | ) | (0.01 | ) | (0.28 | ) | | (0.28 | ) | |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
The Advisor reimbursed the Fund for losses incurred from operational errors. Without these payments, the net realized and unrealized gains (losses) per share for Class A would have been $1.93, and the total return would have been 44.53%. The impact was less than $0.01 to the net realized and unrealized gain (losses) per share and less than 0.01% to total return for Class B, Class C, Class R2, Class R5, Select Class or Ultra Class (See Note 3). |
(f) |
Amount rounds to less than $0.01. |
(g) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) |
Commencement of offering of class of shares. |
(j) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
|||||||||||||||
$7.72 | 44.71 | %(e) | $ | 580,690 | 1.14 | % | 8.40 | % | 1.32 | % | 45 | % | |||||||||||||||
5.79 | (17.28 | ) | 184,739 | 1.15 | 8.10 | 1.31 | 18 | ||||||||||||||||||||
7.59 | (3.87 | )(g) | 79,217 | 1.12 | 7.54 | 1.32 | 48 | ||||||||||||||||||||
8.60 | 12.82 | 83,790 | 1.12 | 7.42 | 1.31 | 69 | |||||||||||||||||||||
8.23 | 4.39 | 62,622 | 1.11 | 7.51 | 1.30 | 47 | |||||||||||||||||||||
8.29 | 9.47 | 68,636 | 1.12 | 7.22 | 1.33 | 68 | |||||||||||||||||||||
7.73 | 43.46 (e) | 22,430 | 1.79 | 7.80 | 1.82 | 45 | |||||||||||||||||||||
5.81 | (17.68 | ) | 16,720 | 1.80 | 7.33 | 1.81 | 18 | ||||||||||||||||||||
7.60 | (4.51 | )(g) | 26,052 | 1.78 | 6.88 | 1.82 | 48 | ||||||||||||||||||||
8.61 | 12.19 | 35,667 | 1.77 | 6.78 | 1.81 | 69 | |||||||||||||||||||||
8.23 | 3.92 | 35,105 | 1.76 | 6.86 | 1.80 | 47 | |||||||||||||||||||||
8.29 | 8.71 | 39,697 | 1.77 | 6.58 | 1.93 | 68 | |||||||||||||||||||||
7.72 | 43.58 (e) | 158,503 | 1.79 | 7.75 | 1.83 | 45 | |||||||||||||||||||||
5.80 | (17.69 | ) | 36,872 | 1.80 | 7.37 | 1.81 | 18 | ||||||||||||||||||||
7.59 | (4.61 | )(g) | 29,517 | 1.78 | 6.88 | 1.82 | 48 | ||||||||||||||||||||
8.61 | 12.05 | 29,953 | 1.77 | 6.77 | 1.81 | 69 | |||||||||||||||||||||
8.24 | 4.04 | 25,650 | 1.76 | 6.86 | 1.80 | 47 | |||||||||||||||||||||
8.29 | 8.55 | 28,348 | 1.77 | 6.57 | 1.93 | 68 | |||||||||||||||||||||
7.71 | 44.25 (e) | 1,004 | 1.39 | 8.10 | 1.60 | 45 | |||||||||||||||||||||
5.79 | (0.05 | ) | 50 | 1.40 | 8.84 | 1.59 | 18 | ||||||||||||||||||||
7.74 | 44.95 (e) | 148,162 | 0.84 | 8.71 | 0.87 | 45 | |||||||||||||||||||||
5.81 | (16.99 | ) | 53,497 | 0.85 | 8.55 | 0.87 | 18 | ||||||||||||||||||||
7.61 | (3.71 | )(g) | 18,807 | 0.86 | 7.83 | 0.86 | 48 | ||||||||||||||||||||
8.63 | 10.90 | 8,732 | 0.86 | 7.57 | 0.86 | 69 | |||||||||||||||||||||
7.74 | 44.86 (e) | 4,567,712 | 0.89 | 8.67 | 1.08 | 45 | |||||||||||||||||||||
5.81 | (16.93 | ) | 1,837,745 | 0.90 | 8.36 | 1.06 | 18 | ||||||||||||||||||||
7.60 | (3.73 | )(g) | 1,544,252 | 0.87 | 7.81 | 1.06 | 48 | ||||||||||||||||||||
8.62 | 13.18 | 1,038,528 | 0.87 | 7.67 | 1.06 | 69 | |||||||||||||||||||||
8.24 | 4.53 | 960,421 | 0.86 | 7.77 | 1.05 | 47 | |||||||||||||||||||||
8.30 | 9.74 | 988,281 | 0.87 | 7.47 | 1.01 | 68 | |||||||||||||||||||||
7.73 | 44.84 (e) | 359,553 | 0.79 | 8.76 | 0.83 | 45 | |||||||||||||||||||||
5.81 | (16.84 | ) | 91,880 | 0.80 | 8.44 | 0.81 | 18 | ||||||||||||||||||||
7.60 | (3.58 | )(g) | 77,356 | 0.81 | 7.87 | 0.81 | 48 | ||||||||||||||||||||
8.61 | 13.12 | 64,497 | 0.81 | 7.74 | 0.81 | 69 | |||||||||||||||||||||
8.24 | 4.60 | 58,131 | 0.80 | 7.95 | 0.80 | 47 | |||||||||||||||||||||
8.30 | (0.12 | ) | 40,477 | 0.79 | 7.91 | 0.85 | 68 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Limited
Duration Bond Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 7.80 | $ | 0.24 | (e) | $ | 1.11 | (f) | $ | 1.35 | $ | (0.25 | ) | $ | 8.90 | ||||||||||||
Year Ended
February 28, 2009 |
9.31 | 0.36 | (e) | (1.50 | ) | (1.14 | ) | (0.37 | ) | 7.80 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.77 | 0.46 | (0.46 | ) | | (0.46 | ) | 9.31 | |||||||||||||||||||
Year Ended
February 28, 2007 |
9.74 | 0.45 | 0.03 | 0.48 | (0.45 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
9.83 | 0.26 | (0.08 | ) | 0.18 | (0.27 | ) | 9.74 | |||||||||||||||||||
Year Ended June
30, 2005 |
9.89 | 0.27 | (0.04 | ) | 0.23 | (0.29 | ) | 9.83 | |||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.74 | 0.21 | (e) | 1.09 | (f) | 1.30 | (0.21 | ) | 8.83 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.24 | 0.31 | (e) | (1.49 | ) | (1.18 | ) | (0.32 | ) | 7.74 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.70 | 0.38 | (0.43 | ) | (0.05 | ) | (0.41 | ) | 9.24 | ||||||||||||||||||
Year Ended
February 28, 2007 |
9.67 | 0.38 | 0.05 | 0.43 | (0.40 | ) | 9.70 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
9.76 | 0.22 | (0.08 | ) | 0.14 | (0.23 | ) | 9.67 | |||||||||||||||||||
Year Ended June
30, 2005 |
9.82 | 0.21 | (0.03 | ) | 0.18 | (0.24 | ) | 9.76 | |||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.72 | 0.20 | (e) | 1.11 | (f) | 1.31 | (0.21 | ) | 8.82 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.23 | 0.31 | (e) | (1.50 | ) | (1.19 | ) | (0.32 | ) | 7.72 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.68 | 0.38 | (0.42 | ) | (0.04 | ) | (0.41 | ) | 9.23 | ||||||||||||||||||
Year Ended
February 28, 2007 |
9.66 | 0.38 | 0.04 | 0.42 | (0.40 | ) | 9.68 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
9.75 | 0.22 | (0.08 | ) | 0.14 | (0.23 | ) | 9.66 | |||||||||||||||||||
Year Ended June
30, 2005 |
9.81 | 0.21 | (0.03 | ) | 0.18 | (0.24 | ) | 9.75 | |||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.80 | 0.26 | (e) | 1.11 | (f) | 1.37 | (0.27 | ) | 8.90 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.31 | 0.38 | (e) | (1.50 | ) | (1.12 | ) | (0.39 | ) | 7.80 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.77 | 0.49 | (0.47 | ) | 0.02 | (0.48 | ) | 9.31 | |||||||||||||||||||
Year Ended
February 28, 2007 |
9.74 | 0.47 | 0.03 | 0.50 | (0.47 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
9.83 | 0.27 | (0.08 | ) | 0.19 | (0.28 | ) | 9.74 | |||||||||||||||||||
Year Ended June
30, 2005 |
9.88 | 0.29 | (0.03 | ) | 0.26 | (0.31 | ) | 9.83 | |||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
7.80 | 0.31 | (e) | 1.09 | (f) | 1.40 | (0.29 | ) | 8.91 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.32 | 0.40 | (e) | (1.51 | ) | (1.11 | ) | (0.41 | ) | 7.80 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.77 | 0.50 | (0.45 | ) | 0.05 | (0.50 | ) | 9.32 | |||||||||||||||||||
Year Ended
February 28, 2007 |
9.75 | 0.49 | 0.02 | 0.51 | (0.49 | ) | 9.77 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (h) |
9.83 | 0.27 | (0.06 | ) | 0.21 | (0.29 | ) | 9.75 | |||||||||||||||||||
February 22,
2005 (i) through June 30, 2005 |
9.87 | 0.13 | (0.02 | ) | 0.11 | (0.15 | ) | 9.83 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return (See Note 3). |
(g) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(h) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(i) |
Commencement of offering of class of shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
17.61 | %(f) | $ | 74,529 | 0.67 | % | 2.88 | % | 0.98 | % | 23 | % | ||||||||||||||||
(12.52 | ) | 52,560 | 0.70 | 4.12 | 0.95 | | |||||||||||||||||||||
(0.06 | )(g) | 104,590 | 0.70 | 4.70 | 0.91 | 15 | |||||||||||||||||||||
5.03 | 121,385 | 0.70 | 4.53 | 0.91 | 26 | ||||||||||||||||||||||
1.81 | 219,258 | 0.70 | 3.81 | 0.91 | 9 | ||||||||||||||||||||||
2.36 | 281,966 | 0.70 | 2.67 | 1.05 | 26 | ||||||||||||||||||||||
17.01 | (f) | 1,845 | 1.17 | 2.58 | 1.49 | 23 | |||||||||||||||||||||
(12.97 | ) | 6,423 | 1.20 | 3.62 | 1.44 | | |||||||||||||||||||||
(0.56 | )(g) | 18,797 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||||
4.54 | 32,930 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||||
1.46 | 48,750 | 1.20 | 3.31 | 1.41 | 9 | ||||||||||||||||||||||
1.87 | 62,135 | 1.20 | 2.18 | 1.65 | 26 | ||||||||||||||||||||||
17.22 | (f) | 65,806 | 1.17 | 2.41 | 1.48 | 23 | |||||||||||||||||||||
(13.09 | ) | 65,241 | 1.20 | 3.63 | 1.44 | | |||||||||||||||||||||
(0.47 | )(g) | 145,000 | 1.20 | 4.20 | 1.41 | 15 | |||||||||||||||||||||
4.45 | 242,277 | 1.20 | 4.04 | 1.41 | 26 | ||||||||||||||||||||||
1.46 | 338,830 | 1.20 | 3.31 | 1.41 | 9 | ||||||||||||||||||||||
1.88 | 438,955 | 1.20 | 2.17 | 1.66 | 26 | ||||||||||||||||||||||
17.91 | (f) | 183,481 | 0.42 | 3.14 | 0.73 | 23 | |||||||||||||||||||||
(12.27 | ) | 179,116 | 0.45 | 4.37 | 0.70 | | |||||||||||||||||||||
0.18 | (g) | 352,600 | 0.45 | 4.95 | 0.66 | 15 | |||||||||||||||||||||
5.29 | 565,561 | 0.45 | 4.79 | 0.66 | 26 | ||||||||||||||||||||||
1.96 | 668,770 | 0.45 | 4.07 | 0.66 | 9 | ||||||||||||||||||||||
2.71 | 764,427 | 0.45 | 2.91 | 0.74 | 26 | ||||||||||||||||||||||
18.26 | (f) | 1,253 | 0.23 | 3.92 | 0.51 | 23 | |||||||||||||||||||||
(12.21 | ) | 137,474 | 0.25 | 4.56 | 0.44 | | |||||||||||||||||||||
0.51 | (g) | 573,714 | 0.25 | 5.15 | 0.41 | 15 | |||||||||||||||||||||
5.37 | 648,283 | 0.25 | 5.01 | 0.41 | 26 | ||||||||||||||||||||||
2.20 | 474,681 | 0.25 | 4.30 | 0.41 | 9 | ||||||||||||||||||||||
1.11 | 425,437 | 0.25 | 3.68 | 0.40 | 26 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Mortgage-Backed Securities Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 10.42 | $ | 0.73 | $ | 0.82 | $ | 1.55 | $ | (0.75 | ) | $ | 11.22 | ||||||||||||||
Year Ended
February 28, 2009 |
10.97 | 0.61 | (0.57 | ) | 0.04 | (0.59 | ) | 10.42 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.65 | 0.50 | 0.31 | 0.81 | (0.49 | ) | 10.97 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.54 | 0.47 | 0.10 | 0.57 | (0.46 | ) | 10.65 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.83 | 0.33 | (0.29 | ) | 0.04 | (0.33 | ) | 10.54 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.77 | 0.49 | 0.08 | 0.57 | (0.51 | ) | 10.83 | ||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.23 | 0.76 | 0.79 | 1.55 | (0.77 | ) | 11.01 | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.79 | 0.62 | (0.57 | ) | 0.05 | (0.61 | ) | 10.23 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.48 | 0.52 | 0.31 | 0.83 | (0.52 | ) | 10.79 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.38 | 0.49 | 0.10 | 0.59 | (0.49 | ) | 10.48 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.67 | 0.34 | (0.29 | ) | 0.05 | (0.34 | ) | 10.38 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.61 | 0.42 | 0.17 | 0.59 | (0.53 | ) | 10.67 | ||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.23 | 0.79 | 0.78 | 1.57 | (0.79 | ) | 11.01 | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.79 | 0.63 | (0.56 | ) | 0.07 | (0.63 | ) | 10.23 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.48 | 0.54 | 0.31 | 0.85 | (0.54 | ) | 10.79 | ||||||||||||||||||||
Year Ended
February 28, 2007 |
10.38 | 0.50 | 0.10 | 0.60 | (0.50 | ) | 10.48 | ||||||||||||||||||||
July 1, 2005
through February 28, 2006 (f) |
10.67 | 0.35 | (0.29 | ) | 0.06 | (0.35 | ) | 10.38 | |||||||||||||||||||
February 22,
2005 (g) through June 30, 2005 |
10.66 | 0.21 | 0.03 | 0.24 | (0.23 | ) | 10.67 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(f) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(g) |
Commencement of offering of class of shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
15.26 | % | $ | 101,955 | 0.64 | % | 6.58 | % | 0.99 | % | 21 | % | ||||||||||||||||
0.41 | 16,189 | 0.65 | 5.69 | 0.99 | 15 | ||||||||||||||||||||||
7.88 (e) | 18,011 | 0.65 | 4.70 | 0.98 | 16 | ||||||||||||||||||||||
5.60 | 14,063 | 0.65 | 4.46 | 0.98 | 18 | ||||||||||||||||||||||
0.35 | 13,826 | 0.65 | 4.68 | 0.97 | 16 | ||||||||||||||||||||||
5.40 | 15,077 | 0.65 | 4.50 | 0.92 | 25 | ||||||||||||||||||||||
15.64 | 425,701 | 0.39 | 6.87 | 0.74 | 21 | ||||||||||||||||||||||
0.58 | 88,231 | 0.40 | 5.93 | 0.74 | 15 | ||||||||||||||||||||||
8.18 (e) | 96,870 | 0.40 | 4.94 | 0.73 | 16 | ||||||||||||||||||||||
5.83 | 111,656 | 0.40 | 4.71 | 0.73 | 18 | ||||||||||||||||||||||
0.54 | 103,491 | 0.40 | 4.92 | 0.72 | 16 | ||||||||||||||||||||||
5.70 | 123,104 | 0.40 | 4.54 | 0.55 | 25 | ||||||||||||||||||||||
15.79 | 1,271,776 | 0.24 | 7.35 | 0.49 | 21 | ||||||||||||||||||||||
0.74 | 916,201 | 0.25 | 6.12 | 0.50 | 15 | ||||||||||||||||||||||
8.33 (e) | 882,626 | 0.25 | 5.09 | 0.48 | 16 | ||||||||||||||||||||||
5.97 | 829,330 | 0.25 | 4.83 | 0.48 | 18 | ||||||||||||||||||||||
0.62 | 1,177,895 | 0.25 | 5.08 | 0.47 | 16 | ||||||||||||||||||||||
2.30 | 1,135,323 | 0.25 | 5.19 | 0.46 | 25 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Short
Duration Bond Fund |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 10.61 | $ | 0.26 | (e) | $ | 0.29 | $ | 0.55 | $ | (0.26 | ) | $ | 10.90 | |||||||||||||
Year Ended
February 28, 2009 |
10.80 | 0.38 | (0.19 | ) | 0.19 | (0.38 | ) | 10.61 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.52 | 0.44 | (e) | 0.26 | 0.70 | (0.42 | ) | 10.80 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.43 | 0.39 | (e) | 0.10 | 0.49 | (0.40 | ) | 10.52 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.51 | 0.21 | (0.08 | ) | 0.13 | (0.21 | ) | 10.43 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.62 | 0.28 | (0.10 | ) | 0.18 | (0.29 | ) | 10.51 | |||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.70 | 0.22 | (e) | 0.28 | 0.50 | (0.20 | ) | 11.00 | |||||||||||||||||||
Year Ended
February 28, 2009 |
10.88 | 0.35 | (0.21 | ) | 0.14 | (0.32 | ) | 10.70 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.60 | 0.39 | (e) | 0.26 | 0.65 | (0.37 | ) | 10.88 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.50 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | 10.60 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.59 | 0.17 | (0.09 | ) | 0.08 | (0.17 | ) | 10.50 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.69 | 0.23 | (0.09 | ) | 0.14 | (0.24 | ) | 10.59 | |||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.68 | 0.20 | (e) | 0.30 | 0.50 | (0.21 | ) | 10.97 | |||||||||||||||||||
Year Ended
February 28, 2009 |
10.87 | 0.33 | (0.20 | ) | 0.13 | (0.32 | ) | 10.68 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.59 | 0.39 | (e) | 0.26 | 0.65 | (0.37 | ) | 10.87 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.49 | 0.33 | (e) | 0.11 | 0.44 | (0.34 | ) | 10.59 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.58 | 0.16 | (0.08 | ) | 0.08 | (0.17 | ) | 10.49 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.68 | 0.22 | (0.08 | ) | 0.14 | (0.24 | ) | 10.58 | |||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.62 | 0.29 | (e) | 0.30 | 0.59 | (0.29 | ) | 10.92 | |||||||||||||||||||
Year Ended
February 28, 2009 |
10.80 | 0.40 | (0.18 | ) | 0.22 | (0.40 | ) | 10.62 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.53 | 0.46 | (e) | 0.26 | 0.72 | (0.45 | ) | 10.80 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.44 | 0.41 | (e) | 0.10 | 0.51 | (0.42 | ) | 10.53 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.52 | 0.23 | (0.08 | ) | 0.15 | (0.23 | ) | 10.44 | |||||||||||||||||||
Year Ended June
30, 2005 |
10.63 | 0.32 | (0.12 | ) | 0.20 | (0.31 | ) | 10.52 | |||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.62 | 0.31 | (e) | 0.30 | 0.61 | (0.31 | ) | 10.92 | |||||||||||||||||||
Year Ended
February 28, 2009 |
10.81 | 0.43 | (0.19 | ) | 0.24 | (0.43 | ) | 10.62 | |||||||||||||||||||
Year Ended
February 29, 2008 |
10.53 | 0.49 | (e) | 0.27 | 0.76 | (0.48 | ) | 10.81 | |||||||||||||||||||
Year Ended
February 28, 2007 |
10.44 | 0.44 | (e) | 0.10 | 0.54 | (0.45 | ) | 10.53 | |||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.52 | 0.24 | (0.07 | ) | 0.17 | (0.25 | ) | 10.44 | |||||||||||||||||||
February 22,
2005 (h) through June 30, 2005 |
10.56 | 0.13 | (0.02 | ) | 0.11 | (0.15 | ) | 10.52 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(g) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
(h) |
Commencement of offering of class of shares. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
5.23 | % | $ | 255,356 | 0.79 | % | 2.43 | % | 0.88 | % | 31 | % | ||||||||||||||||
1.79 | 90,891 | 0.80 | 3.55 | 0.89 | 51 | ||||||||||||||||||||||
6.84 | (f) | 56,496 | 0.80 | 4.14 | 0.91 | 40 | |||||||||||||||||||||
4.75 | 94,199 | 0.80 | 3.69 | 0.91 | 44 | ||||||||||||||||||||||
1.22 | 93,187 | 0.80 | 2.97 | 0.91 | 22 | ||||||||||||||||||||||
1.72 | 97,744 | 0.80 | 2.64 | 1.10 | 27 | ||||||||||||||||||||||
4.71 | 3,458 | 1.29 | 2.05 | 1.38 | 31 | ||||||||||||||||||||||
1.32 | 6,668 | 1.30 | 3.09 | 1.39 | 51 | ||||||||||||||||||||||
6.23 | (f) | 11,328 | 1.30 | 3.65 | 1.41 | 40 | |||||||||||||||||||||
4.27 | 17,787 | 1.30 | 3.17 | 1.41 | 44 | ||||||||||||||||||||||
0.79 | 22,899 | 1.30 | 2.46 | 1.41 | 22 | ||||||||||||||||||||||
1.31 | 29,369 | 1.30 | 2.13 | 1.71 | 27 | ||||||||||||||||||||||
4.76 | 344,957 | 1.29 | 1.83 | 1.38 | 31 | ||||||||||||||||||||||
1.27 | 22,625 | 1.30 | 3.06 | 1.39 | 51 | ||||||||||||||||||||||
6.26 | (f) | 19,135 | 1.30 | 3.64 | 1.41 | 40 | |||||||||||||||||||||
4.26 | 20,777 | 1.30 | 3.15 | 1.41 | 44 | ||||||||||||||||||||||
0.79 | 38,266 | 1.30 | 2.46 | 1.41 | 22 | ||||||||||||||||||||||
1.30 | 56,296 | 1.30 | 2.12 | 1.71 | 27 | ||||||||||||||||||||||
5.57 | 5,163,875 | 0.54 | 2.67 | 0.63 | 31 | ||||||||||||||||||||||
2.12 | 2,029,713 | 0.55 | 3.80 | 0.64 | 51 | ||||||||||||||||||||||
7.03 | (f) | 1,255,422 | 0.55 | 4.31 | 0.64 | 40 | |||||||||||||||||||||
4.99 | 277,452 | 0.55 | 3.89 | 0.66 | 44 | ||||||||||||||||||||||
1.39 | 497,708 | 0.55 | 3.21 | 0.66 | 22 | ||||||||||||||||||||||
1.94 | 559,775 | 0.55 | 2.85 | 0.79 | 27 | ||||||||||||||||||||||
5.81 | 2,043,695 | 0.29 | 2.87 | 0.38 | 31 | ||||||||||||||||||||||
2.27 | 322,907 | 0.30 | 4.07 | 0.39 | 51 | ||||||||||||||||||||||
7.39 | (f) | 321,055 | 0.30 | 4.64 | 0.41 | 40 | |||||||||||||||||||||
5.24 | 299,838 | 0.30 | 4.18 | 0.41 | 44 | ||||||||||||||||||||||
1.60 | 371,212 | 0.30 | 3.47 | 0.41 | 22 | ||||||||||||||||||||||
1.05 | 392,444 | 0.30 | 3.45 | 0.44 | 27 |
Per share operating
performance |
|
||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net asset value, end of period |
||||||||||||||||
Short Term
Bond Fund II |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 8.76 | $ | 0.20 | (e) | $ | 0.11 | (f) | $ | 0.31 | $ | (0.22 | ) | $ | 8.85 | ||||||||||||
Year Ended
February 28, 2009 |
9.66 | 0.34 | (e) | (0.90 | ) | (0.56 | ) | (0.34 | ) | 8.76 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | 9.66 | |||||||||||||||||||
September 1,
2006 through February 28, 2007 (g) |
9.84 | 0.22 | (e) | 0.02 | 0.24 | (0.24 | ) | 9.84 | |||||||||||||||||||
Year Ended
August 31, 2006 |
10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | 9.84 | |||||||||||||||||||
Year Ended
August 31, 2005 |
10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | 10.02 | |||||||||||||||||||
Class
M |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
8.76 | 0.18 | (e) | 0.11 | (f) | 0.29 | (0.20 | ) | 8.85 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.66 | 0.29 | (e) | (0.88 | ) | (0.59 | ) | (0.31 | ) | 8.76 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.85 | 0.41 | (0.18 | ) | 0.23 | (0.42 | ) | 9.66 | |||||||||||||||||||
September 1,
2006 through February 28, 2007 (g) |
9.84 | 0.21 | (e) | 0.02 | 0.23 | (0.22 | ) | 9.85 | |||||||||||||||||||
Year Ended
August 31, 2006 |
10.02 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | 9.84 | |||||||||||||||||||
Year Ended
August 31, 2005 |
10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | 10.02 | |||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
8.77 | 0.22 | (e) | 0.12 | (f) | 0.34 | (0.24 | ) | 8.87 | ||||||||||||||||||
Year Ended
February 28, 2009 |
9.68 | 0.37 | (e) | (0.92 | ) | (0.55 | ) | (0.36 | ) | 8.77 | |||||||||||||||||
Year Ended
February 29, 2008 |
9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | 9.68 | |||||||||||||||||||
September 1,
2006 through February 28, 2007 (g) |
9.86 | 0.23 | (e) | 0.02 | 0.25 | (0.25 | ) | 9.86 | |||||||||||||||||||
Year Ended
August 31, 2006 |
10.03 | 0.47 | (0.19 | ) | 0.28 | (0.45 | ) | 9.86 | |||||||||||||||||||
Year Ended
August 31, 2005 |
10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | 10.03 |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
The Advisor reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return (See Note 3). |
(g) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
||||||||||||||||
3.61 | %(f) | $ | 7,263 | 0.74 | % | 2.26 | % | 1.05 | % | 48 | % | ||||||||||||||||
(5.93 | ) | 6,456 | 0.75 | 3.61 | 1.09 | 91 | |||||||||||||||||||||
2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | ||||||||||||||||||||||
2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | ||||||||||||||||||||||
2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | ||||||||||||||||||||||
1.09 | 41,311 | 0.75 | 2.94 | 1.00 | 201 | ||||||||||||||||||||||
3.36 | (f) | 93,816 | 0.99 | 2.01 | 1.16 | 48 | |||||||||||||||||||||
(6.15 | ) | 113,828 | 1.00 | 3.19 | 1.19 | 91 | |||||||||||||||||||||
2.42 | 144,078 | 1.00 | 4.26 | 1.11 | 338 | ||||||||||||||||||||||
2.39 | 175,836 | 1.00 | 4.29 | 1.08 | 246 | ||||||||||||||||||||||
2.30 | 209,284 | 1.00 | 4.19 | 1.05 | 479 | ||||||||||||||||||||||
0.83 | 371,756 | 1.00 | 2.67 | 1.03 | 201 | ||||||||||||||||||||||
3.98 | (f) | 2,366 | 0.49 | 2.51 | 0.84 | 48 | |||||||||||||||||||||
(5.76 | ) | 5,611 | 0.50 | 3.92 | 0.83 | 91 | |||||||||||||||||||||
3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | ||||||||||||||||||||||
2.54 | 151,633 | 0.50 | 4.75 | 0.72 | 246 | ||||||||||||||||||||||
2.91 | 375,097 | 0.50 | 4.71 | 0.70 | 479 | ||||||||||||||||||||||
1.35 | 432,056 | 0.50 | 3.21 | 0.68 | 201 |
|
Per share operating
performance |
|
|||||||||||||||||||||||||||||
Investment operations |
Distributions |
||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gain |
|
Total distributions |
||||||||||||||||||
Treasury
& Agency Fund |
|||||||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
$ | 10.17 | $ | 0.22 | (e) | $ | 0.12 | $ | 0.34 | $ | (0.22 | ) | $ | (0.33 | ) | $ | (0.55 | ) | |||||||||||||
Year Ended
February 28, 2009 |
10.04 | 0.11 | 0.20 | 0.31 | (0.18 | ) | | (0.18 | ) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.72 | 0.42 | 0.31 | 0.73 | (0.41 | ) | | (0.41 | ) | ||||||||||||||||||||||
Year Ended
February 28, 2007 |
9.75 | 0.46 | (0.03 | ) | 0.43 | (0.46 | ) | | (0.46 | ) | |||||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
10.00 | 0.32 | (0.25 | ) | 0.07 | (0.32 | ) | | (0.32 | ) | |||||||||||||||||||||
Year Ended June
30, 2005 |
10.31 | 0.42 | (0.20 | ) | 0.22 | (0.42 | ) | (0.11 | ) | (0.53 | ) | ||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.15 | 0.18 | (e) | 0.11 | 0.29 | (0.17 | ) | (0.33 | ) | (0.50 | ) | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.03 | 0.16 | 0.10 | 0.26 | (0.14 | ) | | (0.14 | ) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.71 | 0.42 | 0.26 | 0.68 | (0.36 | ) | | (0.36 | ) | ||||||||||||||||||||||
Year Ended
February 28, 2007 |
9.74 | 0.43 | (0.05 | ) | 0.38 | (0.41 | ) | | (0.41 | ) | |||||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
9.99 | 0.29 | (0.25 | ) | 0.04 | (0.29 | ) | | (0.29 | ) | |||||||||||||||||||||
Year Ended June
30, 2005 |
10.30 | 0.38 | (0.21 | ) | 0.17 | (0.37 | ) | (0.11 | ) | (0.48 | ) | ||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||||||
Year Ended
February 28, 2010 |
10.16 | 0.24 | (e) | 0.12 | 0.36 | (0.24 | ) | (0.33 | ) | (0.57 | ) | ||||||||||||||||||||
Year Ended
February 28, 2009 |
10.02 | 0.13 | 0.22 | 0.35 | (0.21 | ) | | (0.21 | ) | ||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.70 | 0.44 | 0.31 | 0.75 | (0.43 | ) | | (0.43 | ) | ||||||||||||||||||||||
Year Ended
February 28, 2007 |
9.74 | 0.48 | (0.04 | ) | 0.44 | (0.48 | ) | | (0.48 | ) | |||||||||||||||||||||
July 1, 2005
through February 28, 2006 (g) |
9.99 | 0.33 | (0.25 | ) | 0.08 | (0.33 | ) | | (0.33 | ) | |||||||||||||||||||||
Year Ended June
30, 2005 |
10.30 | 0.44 | (0.19 | ) | 0.25 | (0.45 | ) | (0.11 | ) | (0.56 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) |
Calculated based upon average shares outstanding. |
(f) |
Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
(g) |
The Fund changed its fiscal year end from June 30 to the last day of February. |
|
|
Ratios/Supplemental data |
|
||||||||||||||||||||||||
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets, end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earning credits |
|
Portfolio turnover rate (b) |
|||||||||||||||
$9.96 | 3.39 | % | $ | 99,593 | 0.69 | % | 2.12 | % | 0.97 | % | 51 | % | |||||||||||||||
10.17 | 3.18 | 114,609 | 0.70 | 0.99 | 0.94 | 154 | |||||||||||||||||||||
10.04 | 7.71 | (f) | 77,234 | 0.69 | 4.33 | 1.01 | 83 | ||||||||||||||||||||
9.72 | 4.48 | 69,390 | 0.70 | 4.70 | 1.03 | 10 | |||||||||||||||||||||
9.75 | 0.71 | 77,632 | 0.70 | 4.83 | 1.03 | 20 | |||||||||||||||||||||
10.00 | 2.22 | 82,360 | 0.67 | 4.05 | 0.99 | 22 | |||||||||||||||||||||
9.94 | 2.86 | 1,588 | 1.19 | 1.75 | 1.47 | 51 | |||||||||||||||||||||
10.15 | 2.64 | 3,538 | 1.20 | 1.07 | 1.43 | 154 | |||||||||||||||||||||
10.03 | 7.17 | (f) | 6,691 | 1.20 | 3.96 | 1.52 | 83 | ||||||||||||||||||||
9.71 | 3.97 | 10,948 | 1.20 | 4.19 | 1.53 | 10 | |||||||||||||||||||||
9.74 | 0.39 | 16,720 | 1.20 | 4.34 | 1.53 | 20 | |||||||||||||||||||||
9.99 | 1.70 | 23,012 | 1.17 | 3.45 | 1.60 | 22 | |||||||||||||||||||||
9.95 | 3.63 | 427,880 | 0.44 | 2.40 | 0.72 | 51 | |||||||||||||||||||||
10.16 | 3.52 | 552,538 | 0.45 | 1.54 | 0.69 | 154 | |||||||||||||||||||||
10.02 | 8.01 | (f) | 620,461 | 0.43 | 3.98 | 0.74 | 83 | ||||||||||||||||||||
9.70 | 4.65 | 67,699 | 0.45 | 4.95 | 0.78 | 10 | |||||||||||||||||||||
9.74 | 0.87 | 48,965 | 0.45 | 5.07 | 0.79 | 20 | |||||||||||||||||||||
9.99 | 2.48 | 45,461 | 0.42 | 4.30 | 0.67 | 22 |
|
Classes Offered |
|
Trust |
|
Diversified/ Non-Diversified |
|||||||||
Core Bond
Fund |
Class A,
Class B, Class C, Class R2, Class R5, Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Core Plus Bond
Fund |
Class A,
Class B, Class C, Class R2, Institutional Class, Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Government Bond
Fund |
Class A,
Class B, Class C, Class R2 and Select Class |
JPM
II |
Diversified |
|||||||||||
High Yield
Fund |
Class A,
Class B, Class C, Class R2, Class R5, Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Limited Duration
Bond Fund |
Class A,
Class B, Class C, Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Mortgage-Backed
Securities Fund |
Class A,
Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Short Duration
Bond Fund |
Class A,
Class B, Class C, Select Class and Ultra |
JPM
II |
Diversified |
|||||||||||
Short Term Bond
Fund II |
Class A,
Class M, Select Class |
MFG |
Diversified |
|||||||||||
Treasury &
Agency Fund |
Class A,
Class B and Select Class |
JPM
II |
Diversified |
|
Level 1 quoted prices in active markets for identical securities |
|
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
|
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Common
Stocks |
||||||||||||||||||
Utilities |
$ | 1 | $ | | $ | | $ | 1 | ||||||||||
Total Common
Stocks |
1 | | | 1 | ||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
| 350,738 | 2,449 | 353,187 | ||||||||||||||
Collateralized Mortgage Obligations |
| 5,409,491 | 7,560 | 5,417,051 | ||||||||||||||
Commercial
Mortgage-Backed Securities |
| 192,976 | | 192,976 | ||||||||||||||
Corporate
Bonds |
||||||||||||||||||
Consumer
Discretionary |
| 89,315 | | 89,315 | ||||||||||||||
Consumer
Staples |
| 79,031 | | 79,031 | ||||||||||||||
Energy |
| 97,700 | | 97,700 | ||||||||||||||
Financials |
| 936,236 | | 936,236 | ||||||||||||||
Health
Care |
| 27,282 | | 27,282 | ||||||||||||||
Industrials |
| 60,070 | | 60,070 | ||||||||||||||
Information
Technology |
| 51,083 | | 51,083 | ||||||||||||||
Materials |
| 32,164 | | 32,164 | ||||||||||||||
Telecommunication Services |
| 144,358 | | 144,358 | ||||||||||||||
Utilities |
| 166,006 | | 166,006 | ||||||||||||||
Total
Corporate Bonds |
| 1,683,245 | | 1,683,245 | ||||||||||||||
Foreign
Government Securities |
| 32,437 | | 32,437 | ||||||||||||||
Mortgage
Pass-Through Securities |
| 2,011,716 | | 2,011,716 | ||||||||||||||
Municipal
Bonds |
| 4,593 | | 4,593 | ||||||||||||||
Supranational |
| 765 | | 765 | ||||||||||||||
U.S.
Government Agency Securities |
| 87,577 | | 87,577 | ||||||||||||||
U.S. Treasury
Obligations |
| 3,152,180 | | 3,152,180 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
1,217,676 | | | 1,217,676 | ||||||||||||||
Investments of
Cash Collateral for Securities on Loan |
||||||||||||||||||
Asset-Backed
Securities |
| 841 | | 841 | ||||||||||||||
Corporate
Notes |
| 13,430 | | 13,430 | ||||||||||||||
Investment
Companies |
304,663 | | | 304,663 | ||||||||||||||
Total
Investments in Securities |
$ | 1,522,340 | $ | 12,939,989 | $ | 10,009 | $ | 14,472,338 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Common
Stocks |
||||||||||||||||||
Consumer
Discretionary |
$ | 950 | $ | | $ | 216 | $ | 1,166 | ||||||||||
Consumer
Staples |
303 | | 20 | 323 | ||||||||||||||
Industrials |
456 | | 573 | 1,029 | ||||||||||||||
Information
Technology |
| | 97 | 97 | ||||||||||||||
Materials |
128 | | 57 | 185 | ||||||||||||||
Telecommunication Services |
209 | | | 209 | ||||||||||||||
Utilities |
22 | | | 22 | ||||||||||||||
Total Common
Stocks |
2,068 | | 963 | 3,031 | ||||||||||||||
Preferred
Stocks |
||||||||||||||||||
Consumer
Discretionary |
| 1,162 | | 1,162 | ||||||||||||||
Consumer
Staples |
| | 53 | 53 | ||||||||||||||
Financials |
| 813 | 769 | 1,582 | ||||||||||||||
Total Preferred
Stocks |
| 1,975 | 822 | 2,797 | ||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
| 21,408 | 5,019 | 26,427 | ||||||||||||||
Collateralized Mortgage Obligations |
| 327,874 | 4,400 | 332,274 | ||||||||||||||
Commercial
Mortgage-Backed Securities |
| 30,137 | | 30,137 | ||||||||||||||
Corporate
Bonds |
||||||||||||||||||
Consumer
Discretionary |
| 70,642 | | 70,642 | ||||||||||||||
Consumer
Staples |
| 26,070 | 173 | 26,243 | ||||||||||||||
Energy |
| 31,495 | 937 | 32,432 | ||||||||||||||
Financials |
| 152,913 | 3,001 | 155,914 | ||||||||||||||
Health
Care |
| 18,200 | | 18,200 | ||||||||||||||
Industrials |
| 43,135 | 1,091 | 44,226 | ||||||||||||||
Information
Technology |
| 10,850 | | 10,850 | ||||||||||||||
Materials |
| 34,271 | 761 | 35,032 | ||||||||||||||
Telecommunication Services |
| 29,383 | | 29,383 | ||||||||||||||
Utilities |
| 47,515 | | 47,515 | ||||||||||||||
Total
Corporate Bonds |
| 464,474 | 5,963 | 470,437 | ||||||||||||||
Foreign
Government Securities |
| 10,840 | | 10,840 | ||||||||||||||
Mortgage
Pass-Through Securities |
| 77,111 | | 77,111 | ||||||||||||||
Municipal
Bonds |
| 1,652 | | 1,652 | ||||||||||||||
Supranational |
| 213 | | 213 | ||||||||||||||
U.S.
Government Agency Securities |
| 13,855 | | 13,855 | ||||||||||||||
U.S. Treasury
Obligations |
| 231,651 | | 231,651 | ||||||||||||||
Loan
Participations & Assignments |
||||||||||||||||||
Consumer
Discretionary |
| 13,915 | | 13,915 | ||||||||||||||
Consumer
Staples |
| 2,338 | | 2,338 | ||||||||||||||
Energy |
| 176 | | 176 | ||||||||||||||
Financials |
| 6,172 | | 6,172 | ||||||||||||||
Industrials |
| 3,057 | 1,961 | 5,018 | ||||||||||||||
Information
Technology |
| 1,522 | 852 | 2,374 | ||||||||||||||
Materials |
| 5,004 | 1,335 | 6,339 | ||||||||||||||
Utilities |
| 4,662 | | 4,662 | ||||||||||||||
Total Loan
Participations & Assignments |
| 36,846 | 4,148 | 40,994 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Warrants |
||||||||||||||||||
Industrials |
$ | 122 | $ | | $ | | $ | 122 | ||||||||||
Telecommunication Services |
| | 26 | 26 | ||||||||||||||
Total
Warrants |
122 | | 26 | 148 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
86,930 | | | 86,930 | ||||||||||||||
Investments of
Cash Collateral for Securities on Loan |
||||||||||||||||||
Investment
Companies |
17,954 | | | 17,954 | ||||||||||||||
Total
Investments in Securities |
$ | 107,074 | $ | 1,218,036 | $ | 21,341 | $ | 1,346,451 | ||||||||||
Appreciation
in Other Financial Instruments |
||||||||||||||||||
Forward Foreign
Currency Exchange Contracts |
$ | | $ | 2 | $ | | $ | 2 | ||||||||||
Futures
Contracts |
7 | | | 7 | ||||||||||||||
Total
Appreciation in Other Financial Instruments |
$ | 7 | $ | 2 | $ | | $ | 9 | ||||||||||
Depreciation
in Other Financial Instruments |
||||||||||||||||||
Forward Foreign
Currency Exchange Contracts |
$ | | $ | (4 | ) | $ | | $ | (4 | ) | ||||||||
Futures
Contracts |
(3 | ) | | | (3 | ) | ||||||||||||
Swaps |
$ | | $ | (76 | ) | $ | | $ | (76 | ) | ||||||||
Total
Depreciation in Other Financial Instruments |
$ | (3 | ) | $ | (80 | ) | $ | | $ | (83 | ) |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Total
Investments in Securities |
$ | 114,616 | $ | 1,323,449 | $ | | $ | 1,438,065 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Common
Stocks |
||||||||||||||||||
Consumer
Discretionary |
$ | 13,639 | $ | | $ | 3,208 | $ | 16,847 | ||||||||||
Consumer
Staples |
3,588 | | 292 | 3,880 | ||||||||||||||
Industrials |
3,160 | | 5,510 | 8,670 | ||||||||||||||
Information
Technology |
3,210 | | 628 | 3,838 | ||||||||||||||
Materials |
2,959 | | 745 | 3,704 | ||||||||||||||
Telecommunication Services |
80 | | | 80 | ||||||||||||||
Utilities |
86 | | | 86 | ||||||||||||||
Total Common
Stocks |
26,722 | | 10,383 | 37,105 | ||||||||||||||
Preferred
Stocks |
||||||||||||||||||
Consumer
Discretionary |
| | 233 | 233 | ||||||||||||||
Consumer
Staples |
| | 769 | 769 | ||||||||||||||
Financials |
| 15,399 | 4,308 | 19,707 | ||||||||||||||
Total Preferred
Stocks |
| 15,399 | 5,310 | 20,709 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
$ | | $ | | $ | 6,916 | $ | 6,916 | ||||||||||
Corporate
Bonds |
||||||||||||||||||
Consumer
Discretionary |
| 1,321,723 | 1,875 | 1,323,598 | ||||||||||||||
Consumer
Staples |
| 247,040 | 11,289 | 258,329 | ||||||||||||||
Energy |
| 528,315 | 628 | 528,943 | ||||||||||||||
Financials |
| 579,222 | 36,084 | 615,306 | ||||||||||||||
Health
Care |
| 274,353 | 4,752 | 279,105 | ||||||||||||||
Industrials |
| 432,723 | 14,079 | 446,802 | ||||||||||||||
Information
Technology |
| 187,432 | 2,133 | 189,565 | ||||||||||||||
Materials |
| 490,467 | 8,381 | 498,848 | ||||||||||||||
Telecommunication Services |
| 402,596 | | 402,596 | ||||||||||||||
Utilities |
| 227,473 | | 227,473 | ||||||||||||||
Total
Corporate Bonds |
| 4,691,344 | 79,221 | 4,770,565 | ||||||||||||||
Loan
Participations & Assignments |
||||||||||||||||||
Consumer
Discretionary |
| 333,428 | | 333,428 | ||||||||||||||
Consumer
Staples |
| 49,335 | | 49,335 | ||||||||||||||
Energy |
| 5,025 | 2,857 | 7,882 | ||||||||||||||
Financials |
| 110,975 | 1,766 | 112,741 | ||||||||||||||
Health
Care |
| 2,593 | | 2,593 | ||||||||||||||
Industrials |
| 40,600 | 5,243 | 45,843 | ||||||||||||||
Information
Technology |
| 65,290 | 7,215 | 72,505 | ||||||||||||||
Materials |
| 124,857 | 10,676 | 135,533 | ||||||||||||||
Telecommunication Services |
| 23,065 | | 23,065 | ||||||||||||||
Utilities |
| 67,263 | | 67,263 | ||||||||||||||
Total Loan
Participations & Assignments |
| 822,431 | 27,757 | 850,188 | ||||||||||||||
Rights |
||||||||||||||||||
Consumer
Discretionary |
| | | | ||||||||||||||
Warrants |
||||||||||||||||||
Industrials |
203 | 940 | | 1,143 | ||||||||||||||
Telecommunication Services |
| | 11 | 11 | ||||||||||||||
Total
Warrants |
203 | 940 | 11 | 1,154 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
311,461 | | | 311,461 | ||||||||||||||
Investments of
Cash Collateral for Securities on Loan |
||||||||||||||||||
Asset-Backed
Securities |
| 1,550 | | 1,550 | ||||||||||||||
Corporate
Notes |
| 12,939 | | 12,939 | ||||||||||||||
Investment
Companies |
197,822 | | | 197,822 | ||||||||||||||
Total
Investments in Securities |
$ | 536,208 | $ | 5,544,603 | $ | 129,598 | $ | 6,210,409 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
$ | | $ | 39,006 | $ | 1,087 | $ | 40,093 | ||||||||||
Collateralized Mortgage Obligations |
| 157,339 | | 157,339 | ||||||||||||||
Commercial
Mortgage-Backed Securities |
| 6,019 | 766 | 6,785 | ||||||||||||||
Corporate
Bonds |
||||||||||||||||||
Financials |
| 204 | 1,223 | 1,427 | ||||||||||||||
Total
Corporate Bonds |
| 204 | 1,223 | 1,427 | ||||||||||||||
Mortgage
Pass-Through Securities |
| 61,567 | 173 | 61,740 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
81,717 | | | 81,717 | ||||||||||||||
Total
Investments in Securities |
$ | 81,717 | $ | 264,135 | $ | 3,249 | $ | 349,101 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
$ | | $ | 22,459 | $ | 317 | $ | 22,776 | ||||||||||
Collateralized Mortgage Obligations |
| 1,161,095 | 2,401 | 1,163,496 | ||||||||||||||
Commercial
Mortgage-Backed Securities |
| 4,497 | | 4,497 | ||||||||||||||
Mortgage
Pass-Through Securities |
| 297,829 | | 297,829 | ||||||||||||||
U.S.
Government Agency Securities |
| 18,221 | | 18,221 | ||||||||||||||
U.S. Treasury
Obligations |
| 126,741 | | 126,741 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
163,263 | | | 163,263 | ||||||||||||||
Total
Investments in Securities |
$ | 163,263 | $ | 1,630,842 | $ | 2,718 | $ | 1,796,823 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Investments
in Securities |
||||||||||||||||||
Debt
Securities |
||||||||||||||||||
Asset-Backed
Securities |
$ | | $ | 737,836 | $ | | $ | 737,836 | ||||||||||
Collateralized Mortgage Obligations |
| 884,051 | | 884,051 | ||||||||||||||
Commercial
Mortgage-Backed Securities |
| 140,161 | | 140,161 | ||||||||||||||
Corporate
Bonds |
||||||||||||||||||
Consumer
Discretionary |
| 27,820 | | 27,820 | ||||||||||||||
Consumer
Staples |
| 42,387 | | 42,387 | ||||||||||||||
Energy |
| 25,248 | | 25,248 | ||||||||||||||
Financials |
| 580,885 | | 580,885 | ||||||||||||||
Health
Care |
| 6,046 | | 6,046 | ||||||||||||||
Industrials |
| 39,002 | | 39,002 | ||||||||||||||
Information
Technology |
| 38,729 | | 38,729 | ||||||||||||||
Materials |
| 23,149 | | 23,149 | ||||||||||||||
Telecommunication Services |
| 93,063 | | 93,063 | ||||||||||||||
Utilities |
| 72,138 | | 72,138 | ||||||||||||||
Total
Corporate Bonds |
| 948,467 | | 948,467 | ||||||||||||||
Foreign
Government Securities |
| 11,977 | | 11,977 | ||||||||||||||
Mortgage
Pass-Through Securities |
| 778,763 | | 778,763 | ||||||||||||||
U.S.
Government Agency Securities |
| 1,776,037 | | 1,776,037 | ||||||||||||||
U.S. Treasury
Obligations |
| 2,092,895 | | 2,092,895 | ||||||||||||||
Short-Term
Investments |
||||||||||||||||||
Investment
Companies |
399,391 | | | 399,391 | ||||||||||||||
Investments of
Cash Collateral for Securities on Loan |
||||||||||||||||||
Asset-Backed
Securities |
| 421 | | 421 | ||||||||||||||
Corporate
Notes |
| 7,263 | | 7,263 | ||||||||||||||
Investment
Companies |
331,094 | | | 331,094 | ||||||||||||||
Total
Investments in Securities |
$ | 730,485 | $ | 7,377,871 | $ | | $ | 8,108,356 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Total
Investments in Securities |
$ | 927 | $ | 102,164 | $ | | $ | 103,091 |
|
Level 1 Quoted prices |
|
Level 2 Other significant observable inputs |
|
Level 3 Significant unobservable inputs |
|
Total |
|||||||||||
Total
Investments in Securities |
$ | 8,240 | $ | 514,431 | $ | | $ | 522,671 |
# |
All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the Schedules of Portfolio Investments (SOI). Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOI for industry specifics of the portfolio holdings. |
Core Bond Fund |
|
Balance as of 2/28/09 |
|
Realized gain (loss) |
|
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
|
Net purchases (sales) |
|
Net transfers in (out) of Level 3 |
|
Balance as of 2/28/10 |
||||||||||||||||
Investments
in Securities |
||||||||||||||||||||||||||||||
Asset-Backed
Securities |
$ | 87 | $ | | $ | 648 | $ | 1 | $ | (318 | ) | $ | 2,031 | $ | 2,449 | |||||||||||||||
Collateralized Mortgage Obligations |
| | (1,850 | ) | 20 | (475 | ) | 9,865 | 7,560 | |||||||||||||||||||||
Total |
$ | 87 | $ | | $ | (1,202 | ) | $ | 21 | $ | (793 | ) | $ | 11,896 | $ | 10,009 |
Core Plus Bond Fund |
|
Balance as of 2/28/09 |
|
Realized gain (loss) |
|
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
|
Net purchases (sales) |
|
Net transfers in (out) of Level 3 |
|
Balance as of 2/28/10 |
||||||||||||||||
Investments
in Securities |
||||||||||||||||||||||||||||||
Asset-Backed
Securities |
$ | 1,458 | $ | | $ | 760 | $ | 12 | $ | (746 | ) | $ | 3,535 | $ | 5,019 | |||||||||||||||
Collateralized Mortgage Obligations |
| | 1,021 | 2 | (1,553 | ) | 4,930 | 4,400 | ||||||||||||||||||||||
Common Stocks
Consumer Discretionary |
| | (225 | ) | | 441 | | 216 | ||||||||||||||||||||||
Common Stocks
Consumer Staples |
| | (117 | ) | | 137 | | 20 | ||||||||||||||||||||||
Common Stocks
Industrials |
| | 313 | | 260 | | 573 | |||||||||||||||||||||||
Common Stocks
Information Technolgoy |
| | (1,177 | ) | | 1,274 | | 97 | ||||||||||||||||||||||
Common Stocks
Materials |
| | (118 | ) | | 175 | | 57 | ||||||||||||||||||||||
Corporate
Bonds Consumer Staples |
| | | | 173 | | 173 | |||||||||||||||||||||||
Corporate
Bonds Energy |
| | (19 | ) | | (a) | (415 | ) | 1,371 | 937 | ||||||||||||||||||||
Corporate
Bonds Financials |
| 5 | 304 | 4 | 2,505 | 183 | 3,001 | |||||||||||||||||||||||
Corporate
Bonds Industrials |
| (90 | ) | 2 | 36 | (112 | ) | 1,255 | 1,091 | |||||||||||||||||||||
Corporate
Bonds Materials |
57 | | (248 | ) | 14 | 938 | | 761 | ||||||||||||||||||||||
Loan
Participations & Assignments Industrials |
| | 468 | 16 | 1,130 | 347 | 1,961 | |||||||||||||||||||||||
Loan
Participations & Assignments Information Technology |
| | 161 | 4 | (83 | ) | 770 | 852 | ||||||||||||||||||||||
Loan
Participations & Assignments Materials |
| | 396 | 61 | (11 | ) | 889 | 1,335 | ||||||||||||||||||||||
Preferred
Stocks Consumer Staples |
| | (266 | ) | | 319 | | 53 | ||||||||||||||||||||||
Preferred
Stocks Financials |
| | 30 | | 739 | | 769 | |||||||||||||||||||||||
Warrants
Telecommunication Services |
9 | | 17 | | | | 26 | |||||||||||||||||||||||
Total |
$ | 1,524 | $ | (85 | ) | $ | 1,302 | $ | 149 | $ | 5,171 | $ | 13,280 | $ | 21,341 |
(a) |
Amount rounds to less than $1,000. |
High Yield Fund |
|
Balance as of 2/28/09 |
|
Realized gain (loss) |
|
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
|
Net purchases (sales) |
|
Net transfers in (out) of Level 3 |
|
Balance as of 2/28/10 |
||||||||||||||||
Investments
in Securities |
||||||||||||||||||||||||||||||
Asset-Backed
Securities |
$ | 6,806 | $ | | $ | 94 | $ | 36 | $ | (92 | ) | $ | 72 | $ | 6,916 | |||||||||||||||
Common Stocks
Consumer Discretionary |
| | (1,102 | ) | | 4,310 | | 3,208 | ||||||||||||||||||||||
Common Stocks
Consumer Staples |
| | (1,669 | ) | | | 1,961 | 292 | ||||||||||||||||||||||
Common Stocks
Industrials |
| | 3,016 | | 2,494 | | 5,510 | |||||||||||||||||||||||
Common Stocks
Information Technology |
| | (7,725 | ) | | 8,353 | | 628 | ||||||||||||||||||||||
Common Stocks
Materials |
| | | | | 745 | 745 | |||||||||||||||||||||||
Corporate
Bonds Consumer Discretionary |
496 | | 523 | 7 | (332 | ) | 1,181 | 1,875 | ||||||||||||||||||||||
Corporate
Bonds Consumer Staples |
| | (9 | ) | (7 | ) | 2,500 | 8,805 | 11,289 | |||||||||||||||||||||
Corporate
Bonds Energy |
2,549 | 566 | 446 | (11 | ) | (3,841 | ) | 919 | 628 | |||||||||||||||||||||
Corporate
Bonds Financials |
| (158 | ) | 22,091 | 447 | 7,328 | 6,376 | 36,084 | ||||||||||||||||||||||
Corporate
Bonds Health Care |
| | (1,149 | ) | | (a) | 1,192 | 4,709 | 4,752 | |||||||||||||||||||||
Corporate
Bonds Industrials |
4,001 | (1,592 | ) | 2,211 | 240 | (3,625 | ) | 12,844 | 14,079 | |||||||||||||||||||||
Corporate
Bonds Information Technology |
1,879 | | 254 | | | | 2,133 | |||||||||||||||||||||||
Corporate
Bonds Materials |
745 | | 1,410 | 171 | 5,919 | 136 | 8,381 | |||||||||||||||||||||||
Loan
Participations & Assignments Energy |
| (378 | ) | 671 | | (885 | ) | 3,449 | 2,857 | |||||||||||||||||||||
Loan
Participations & Assignments Financials |
| | 1,973 | (3 | ) | (2,090 | ) | 1,886 | 1,766 | |||||||||||||||||||||
Loan
Participations & Assignments Industrials |
| | 1,568 | 94 | 2,103 | 1,478 | 5,243 | |||||||||||||||||||||||
Loan
Participations & Assignments Information Technology |
| | 2,879 | 35 | (136 | ) | 4,437 | 7,215 | ||||||||||||||||||||||
Loan
Participations & Assignments Materials |
| | 2,870 | 142 | 2,150 | 5,514 | 10,676 | |||||||||||||||||||||||
Preferred
Stocks Consumer Discretionary |
233 | | | (a) | | | | 233 | ||||||||||||||||||||||
Preferred
Stocks Consumer Staples |
| | (8,010 | ) | | 8,779 | | 769 | ||||||||||||||||||||||
Preferred
Stocks Financials |
| | 167 | | 4,141 | | 4,308 | |||||||||||||||||||||||
Rights
Consumer Discretionary |
| | | | | | | (b) | ||||||||||||||||||||||
Warrants
Industrials |
| (a) | | | | | | | (b) | |||||||||||||||||||||
Warrants
Telecommunication Services |
4 | | 7 | | | | 11 | |||||||||||||||||||||||
Total |
$ | 16,713 | $ | (1,562 | ) | $ | 20,516 | $ | 1,151 | $ | 38,268 | $ | 54,512 | $ | 129,598 |
Limited Duration Bond Fund |
|
Balance as of 2/28/09 |
|
Realized gain (loss) |
|
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
|
Net purchases (sales) |
|
Net transfers in (out) of Level 3 |
|
Balance as of 2/28/10 |
||||||||||||||||
Investments
in Securities |
||||||||||||||||||||||||||||||
Asset-Backed
Securities |
$ | 3,038 | $ | | $ | (1,679 | ) | $ | | (a) | $ | (955 | ) | $ | 683 | $ | 1,087 | |||||||||||||
Commercial
Mortgage-Backed Securities |
| (28 | ) | 28 | | (1,238 | ) | 2,004 | 766 | |||||||||||||||||||||
Corporate
Bonds Financials |
| | 445 | | | 778 | 1,223 | |||||||||||||||||||||||
Mortgage
Pass-Through Securities |
2,352 | 82 | 47 | | (a) | (2,657 | ) | 349 | 173 | |||||||||||||||||||||
Total |
$ | 5,390 | $ | 54 | $ | (1,159 | ) | $ | | (a) | $ | (4,850 | ) | $ | 3,814 | $ | 3,249 |
Mortgage Backed Securities Fund |
|
Balance as of 2/28/09 |
|
Realized gain (loss) |
|
Change in unrealized appreciation (depreciation) |
|
Net amortization (accretion) |
|
Net purchases (sales) |
|
Net transfers in (out) of Level 3 |
|
Balance as of 2/28/10 |
||||||||||||||||
Investments
in Securities |
||||||||||||||||||||||||||||||
Asset-Backed
Securities |
$ | | $ | | $ | 47 | $ | | (a) | $ | (68 | ) | $ | 338 | $ | 317 | ||||||||||||||
Collateralized Mortgage Obligations |
| | (488 | ) | 6 | (711 | ) | 3,594 | 2,401 | |||||||||||||||||||||
Total |
$ | | $ | | $ | (441 | ) | $ | 6 | $ | (779 | ) | $ | 3,932 | $ | 2,718 |
(a) |
Amount rounds to less than $1,000. |
(b) |
Security has zero value. |
|
||||||
Core Bond
Fund |
$ | (1,202 | ) | |||
Core Plus Bond
Fund |
1,302 | |||||
High Yield
Fund |
18,542 | |||||
Limited
Duration Bond Fund |
(1,387 | ) | ||||
Mortgage Backed
Securities Fund |
(441 | ) |
Affiliate |
|
Value at February 28, 2009 |
|
Purchase Cost |
|
Sales Proceeds |
|
Realized Gain/Loss |
|
Dividend/ Interest Income |
|
Shares/Principal Amount ($) at February 28, 2010 |
|
Value at February 28, 2010 |
||||||||||||||||
Core Bond
Fund |
||||||||||||||||||||||||||||||
Bear Stearns
Cos. LLC (The), 3.250%, 03/25/09* |
$ | 5,821 | $ | | $ | 5,821 | $ | | $ | 13 | $ | | $ | | ||||||||||||||||
Bear Stearns
Cos. LLC (The), 5.700%, 11/15/14* |
948 | | | | 57 | 1,000 | 1,099 | |||||||||||||||||||||||
Bear Stearns
Cos. LLC (The), 6.400%, 10/02/17* |
2,600 | | 2,888 | 250 | 90 | | | |||||||||||||||||||||||
Bear Stearns
Cos. LLC (The), 7.250%, 02/01/18* |
1,193 | 249 | ˜ | | 102 | 1,400 | 1,624 | |||||||||||||||||||||||
JPMorgan Liquid
Assets Money Market Fund, Institutional Class Shares, 0.080% |
294,661 | 4,728,784 | 4,405,880 | | 2,532 | 617,565 | 617,565 | |||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Capital Shares, 0.090%** |
103,755 | 1,098,784 | 897,876 | | | 304,663 | 304,663 | |||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Institutional Shares, 0.060% |
| 600,111 | | | 111 | 600,111 | 600,111 | |||||||||||||||||||||||
$ | 408,978 | $ | 250 | $ | 2,905 | $ | 1,525,062 | |||||||||||||||||||||||
Core Plus
Bond Fund |
||||||||||||||||||||||||||||||
Bear Stearns
Cos. LLC (The), 6.400%, 10/02/17* |
$ | 922 | $ | | $ | 1,024 | $ | 88 | $ | 32 | $ | | $ | | ||||||||||||||||
Bear Stearns
Cos. LLC (The), 7.250%, 02/01/18* |
384 | | | | 27 | 370 | 429 | |||||||||||||||||||||||
JPMorgan Liquid
Assets Money Market Fund, Institutional Class Shares, 0.080% |
6,740 | 504,881 | 424,691 | | 157 | 86,930 | 86,930 | |||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Capital Shares, 0.090%** |
30,621 | 189,003 | 201,670 | | | 17,954 | 17,954 | |||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Institutional Class Shares, 0.060% |
| 2,663 | 2,663 | | 6 | | | |||||||||||||||||||||||
$ | 38,667 | $ | 88 | $ | 222 | $ | 105,313 | |||||||||||||||||||||||
Government
Bond Fund |
||||||||||||||||||||||||||||||
JPMorgan U.S.
Government Money Market Fund, Institutional Class Shares, 0.000% |
$ | 62,436 | $ | 457,788 | $ | 405,608 | $ | | $ | 129 | 114,616 | $ | 114,616 | |||||||||||||||||
$ | 62,436 | $ | | $ | 129 | $ | 114,616 | |||||||||||||||||||||||
High Yield
Fund |
||||||||||||||||||||||||||||||
JPMorgan Liquid
Assets Money Market Fund, Institutional Class Shares, 0.080% |
$ | 203,979 | $ | 2,307,991 | $ | 2,200,509 | $ | | $ | 615 | 311,461 | $ | 311,461 | |||||||||||||||||
JPMorgan Prime
Money Market Fund, Capital Shares, 0.090%** |
74,971 | 784,730 | 661,879 | | | 197,822 | 197,822 | |||||||||||||||||||||||
$ | 278,950 | $ | | $ | 615 | $ | 509,283 | |||||||||||||||||||||||
Limited
Duration Fund |
||||||||||||||||||||||||||||||
JPMorgan Liquid
Assets Money Market Fund, Institutional Class Shares, 0.080% |
$ | 49,500 | $ | 257,986 | $ | 225,769 | $ | | $ | 193 | 81,717 | $ | 81,717 | |||||||||||||||||
$ | 49,500 | $ | | $ | 193 | $ | 81,717 |
Affiliate |
|
Value at February 28, 2009 |
|
Purchase Cost |
|
Sales Proceeds |
|
Realized Gain/Loss |
|
Dividend/ Interest Income |
|
Shares/Principal Amount ($) at February 28, 2010 |
|
Value at February 28, 2010 | ||||||||||||||||
Mortgage
Backed Securities Fund |
||||||||||||||||||||||||||||||
JPMorgan Liquid
Assets Money Market Fund, Institutional Class Shares, 0.080% |
$ | 27,005 | $ | | $ | | $ | | $ | 141 | 163,263 | $ | 163,263 | |||||||||||||||||
$ | 27,005 | $ | | $ | 141 | $ | 163,263 | |||||||||||||||||||||||
Short
Duration Bond Fund |
||||||||||||||||||||||||||||||
Bear Stearns
Cos. LLC (The), 4.500%, 10/28/10* |
$ | 992 | $ | | $ | 1,024 | $ | 42 | $ | 10 | $ | | $ | | ||||||||||||||||
Bear Stearns
Cos. LLC (The), 4.550%, 06/23/10* |
496 | | 501 | 10 | 2 | | | |||||||||||||||||||||||
JPMorgan U.S.
Government Money Market Fund, Institutional Class Shares, 0.000% |
140,512 | 2,663,118 | 2,404,239 | | 342 | 399,391 | 399,391 | |||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Capital Shares, 0.090%** |
174,619 | 2,162,306 | 2,005,831 | | | 331,094 | 331,094 | |||||||||||||||||||||||
$ | 316,619 | $ | 52 | $ | 354 | $ | 730,485 | |||||||||||||||||||||||
Short Term
Bond Fund II |
||||||||||||||||||||||||||||||
JPMorgan Prime
Money Market Fund, Capital Shares, 0.090%** |
$ | 32,758 | $ | 18,498 | $ | 50,329 | $ | | $ | 21 | 927 | $ | 927 | |||||||||||||||||
$ | 32,758 | $ | | $ | 21 | $ | 927 | |||||||||||||||||||||||
Treasury and
Agency Fund |
||||||||||||||||||||||||||||||
JPMorgan
Federal Money Market Fund, Institutional Class Shares, 0.010% |
$ | 29,707 | $ | 331,922 | $ | 353,389 | $ | | $ | 49 | 8,240 | $ | 8,240 | |||||||||||||||||
$ | 29,707 | $ | | $ | 49 | $ | 8,240 |
* |
Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
** |
Represents investment of cash collateral related to securities on loan, as described in note 2.H. Dividend income earned from this investment is included in, and represents a significant portion of, Income from securities lending (net) in the Statements of Operations. |
˜ |
Security position increased due to reorganization (See Note 9). |
|
Value |
|
Percentage |
|||||||
Core Bond
Fund |
$ | 9,501 | 0.07 | % | ||||||
Core Plus Bond
Fund |
21,200 | 1.59 | ||||||||
High Yield
Fund |
128,555 | 2.20 | ||||||||
Limited
Duration Bond Fund |
1,223 | 0.37 | ||||||||
Mortgage-Backed
Securities Fund |
2,718 | 0.15 |
Derivative Contract |
|
Statement of Assets and Liabilities Location |
|
|
|
|||||||||||||
Assets: |
|
|
Futures Contracts (a) |
|
Forward Foreign Currency Exchange Contracts |
|
Swaps |
|||||||||||
Interest rate
contracts |
Receivables, Net
AssetsUnrealized Appreciation |
$ | 7 | $ | | $ | | |||||||||||
Foreign exchange
contracts |
Receivables |
| 2 | | ||||||||||||||
Total |
$ | 7 | $ | 2 | $ | | ||||||||||||
Liabilities: |
||||||||||||||||||
Interest rate
contracts |
Payables, Net
Assets Unrealized Depreciation |
$ | (3 | ) | $ | | $ | | ||||||||||
Foreign exchange
contracts |
Payables |
| (4 | ) | | |||||||||||||
Credit
contracts |
Payables |
| | (76 | ) | |||||||||||||
Total |
$ | (3 | ) | $ | (4 | ) | $ | (76 | ) |
(a) |
This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Portfolio Investments. The Statements of Assets and Liabilities only reflects the current day variation margin receivable/payable to brokers. |
Amount of Realized Gain (Loss) on
Derivatives Recognized in Income |
||||||||||||||||||||
Derivative Contract |
|
Futures Contracts |
|
Forward Foreign Currency Exchange Contracts |
|
Swaps |
|
Total |
||||||||||||
Interest rate
contracts |
$ | (17 | ) | $ | | $ | | $ | (17 | ) | ||||||||||
Foreign
exchange contracts |
| (6 | ) | | (6 | ) | ||||||||||||||
Credit
contracts |
| | 20 | 20 | ||||||||||||||||
Total |
$ | (17 | ) | $ | (6 | ) | $ | 20 | $ | (3 | ) |
Amount of Change in Unrealized Appreciation
(Depreciation) on Derivatives Recognized in Income |
||||||||||||||||||||
Derivative Contract |
|
Futures Contracts |
|
Forward Foreign Currency Exchange Contracts |
|
Swaps |
|
Total |
||||||||||||
Interest rate
contracts |
$ | 13 | $ | | $ | | $ | 13 | ||||||||||||
Foreign
exchange contracts |
| (2 | ) | | (2 | ) | ||||||||||||||
Credit
contracts |
| | 304 | 304 | ||||||||||||||||
Total |
$ | 13 | $ | (2 | ) | $ | 304 | $ | 315 |
Amount of Realized Gain (Loss) on
Derivatives Recognized in Income |
||||||||||||
Derivative Contract |
|
Futures Contracts |
|
Total |
||||||||
Interest rate
contracts |
$ | 24 | $ | 24 | ||||||||
Total |
$ | 24 | $ | 24 |
Amount of Change in Unrealized Appreciation
(Depreciation) on Derivatives Recognized in Income |
||||||||||||
Derivative Contract |
|
Futures Contracts |
|
Total |
||||||||
Interest rate
contracts |
$ | 28 | $ | 28 | ||||||||
Total |
$ | 28 | $ | 28 |
|
||||||
Core Bond
Fund |
$ | 596 | ||||
Core Plus Bond
Fund |
167 | |||||
High Yield
Fund |
675 | |||||
Short Duration
Bond Fund |
1,103 |
|
Value of Securities on Loan |
|
Cash Collateral Posted by Borrower |
|
Unrealized Gain (Loss) on Cash Collateral Investments |
|
Total Value of Collateral Investments |
|||||||||||
Core Bond
Fund |
$ | 314,068 | $ | 319,337 | $ | (403 | ) | $ | 318,934 | |||||||||
Core Plus Bond
Fund |
17,639 | 17,954 | | 17,954 | ||||||||||||||
High Yield
Fund |
206,957 | 212,778 | (467 | ) | 212,311 | |||||||||||||
Short Duration
Bond Fund |
332,371 | 338,982 | (204 | ) | 338,778 |
|
||||||
Core Bond
Fund |
$ | 139 | ||||
Core Plus Bond
Fund |
30 | |||||
High Yield
Fund |
133 | |||||
Short Duration
Bond Fund |
264 |
|
Lending Agent Fees Incurred |
|||||
Core Bond
Fund |
$ | 62 | ||||
Core Plus Bond
Fund |
11 | |||||
High Yield
Fund |
60 | |||||
Short Duration
Bond Fund |
104 |
|
Paid-in-Capital |
|
Accumulated Undistributed/ (Overdistributed) Net Investment Income |
|
Accumulated Net Realized Gain (Loss) on Investments |
|||||||||
Core Bond
Fund |
$ | 31,298 | $ | (38 | ) | $ | (31,260 | ) | ||||||
Core Plus Bond
Fund |
279,854 | (337 | ) | (279,517 | ) | |||||||||
Government Bond
Fund |
(1,515 | ) | | 1,515 | ||||||||||
High Yield
Fund |
1 | 3,033 | (3,034 | ) | ||||||||||
Limited Duration
Bond Fund |
(33,181 | ) | 956 | 32,225 | ||||||||||
Mortgage-Backed
Securities Fund |
| | | |||||||||||
Short Duration
Bond Fund |
| | | |||||||||||
Short Term Bond
Fund II |
| 734 | (734 | ) | ||||||||||
Treasury &
Agency Fund |
| 630 | (630 | ) |
|
||||||
Core Bond
Fund |
0.30 | % | ||||
Core Plus Bond
Fund |
0.30 | |||||
Government Bond
Fund |
0.30 | |||||
High Yield
Fund |
0.65 | |||||
Limited
Duration Bond Fund |
0.25 | |||||
Mortgage-Backed
Securities Fund |
0.35 | |||||
Short Duration
Bond Fund |
0.25 | |||||
Short Term Bond
Fund II |
0.25 | |||||
Treasury &
Agency Fund |
0.30 |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|
Class R2 |
|||||||||||||
0.25 | % | 0.75 | % | 0.75 | % | 0.35 | % | 0.50 | % |
|
Front-End Sales Charge |
|
CDSC |
|||||||
Core Bond
Fund |
$ | 4,114 | $ | 1,035 | ||||||
Core Plus Bond
Fund |
256 | 59 | ||||||||
Government Bond
Fund |
218 | 162 | ||||||||
High Yield
Fund |
239 | 101 | ||||||||
Limited
Duration Bond Fund |
5 | 3 | ||||||||
Mortgage-Backed
Securities Fund |
78 | 3 | ||||||||
Short Duration
Bond Fund |
67 | 23 | ||||||||
Short Term Bond
Fund II |
| (a) | | |||||||
Treasury &
Agency Fund |
16 | 24 |
(a) |
Amount rounds to less than $1,000. |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|
Class R2 |
|
Class R5 |
|
Institutional Class |
|
Select Class |
|||||||||||||||||||
Core Bond
Fund |
0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.25 | % | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||||||
Core Plus Bond
Fund |
0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | 0.10 | % | 0.25 | |||||||||||||||||||||||||
Government Bond
Fund |
0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.25 | ||||||||||||||||||||||||||
High Yield
Fund |
0.25 | 0.25 | 0.25 | n/a | 0.25 | 0.05 | n/a | 0.25 | ||||||||||||||||||||||||||
Limited
Duration Bond Fund |
0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||||
Mortgage-Backed
Securities Fund |
0.25 | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||||
Short Duration
Bond Fund |
0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.25 | ||||||||||||||||||||||||||
Short Term Bond
Fund II |
0.25 | n/a | n/a | 0.25 | % | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||||
Treasury &
Agency Fund |
0.25 | 0.25 | n/a | n/a | n/a | n/a | n/a | 0.25 |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|
Class R2 |
|
Class R5 |
|
Institutional Class |
|
Select Class |
|
Ultra |
|||||||||||||||||||||
Core Bond
Fund |
0.75 | % | 1.40 | % | 1.40 | % | n/a | 1.00 | % | 0.53 | % | n/a | 0.58 | % | 0.40 | % | ||||||||||||||||||||||
Core Plus Bond
Fund |
0.75 | 1.40 | 1.40 | n/a | 1.17 | n/a | 0.49 | 0.65 | 0.40 | |||||||||||||||||||||||||||||
Government Bond
Fund |
0.75 | 1.48 | 1.48 | n/a | 1.00 | n/a | n/a | 0.55 | n/a | |||||||||||||||||||||||||||||
High Yield
Fund |
1.15 | 1.80 | 1.80 | n/a | 1.40 | 0.86 | n/a | 0.90 | 0.81 | |||||||||||||||||||||||||||||
Limited
Duration Bond Fund |
0.70 | 1.20 | 1.20 | n/a | n/a | n/a | n/a | 0.45 | 0.44 | |||||||||||||||||||||||||||||
Mortgage-Backed
Securities Fund |
0.65 | n/a | n/a | n/a | n/a | n/a | n/a | 0.40 | 0.25 | |||||||||||||||||||||||||||||
Short Duration
Bond Fund |
0.80 | 1.30 | 1.30 | n/a | n/a | n/a | n/a | 0.55 | 0.44 | |||||||||||||||||||||||||||||
Short Term Bond
Fund II |
0.75 | n/a | n/a | 1.00 | % | n/a | n/a | n/a | 0.50 | n/a | ||||||||||||||||||||||||||||
Treasury &
Agency Fund |
0.70 | 1.20 | n/a | n/a | n/a | n/a | n/a | 0.45 | n/a |
Contractual Waivers |
||||||||||||||||||||||
|
Investment Advisory |
|
Administration |
|
Shareholder Servicing |
|
Total |
|
Contractual Reimbursements |
|||||||||||||
Core Bond
Fund |
$ | 5,342 | $ | 1,749 | $ | 6,627 | $ | 13,718 | $ | 100 | ||||||||||||
Core Plus Bond
Fund |
233 | 418 | 209 | 860 | 21 | |||||||||||||||||
Government
Bond Fund |
| 299 | 2,378 | 2,677 | 13 | |||||||||||||||||
High Yield
Fund |
268 | 660 | 5481 | 6,409 | 27 | |||||||||||||||||
Limited
Duration Bond Fund |
480 | 185 | 141 | 806 | 8 | |||||||||||||||||
Mortgage-Backed Securities Fund |
2,435 | 483 | 174 | 3,092 | 12 | |||||||||||||||||
Short Duration
Bond Fund |
1,521 | 1,323 | | 2,844 | 27 | |||||||||||||||||
Short Term
Bond Fund II |
60 | 34 | 107 | 201 | | |||||||||||||||||
Treasury &
Agency Fund |
1 | 94 | 1,548 | 1,643 | 13 |
Voluntary Waivers |
|||||||||||||||||||
|
Investment Advisory |
|
Administration |
|
Shareholder Servicing |
|
Total |
||||||||||||
Core Bond
Fund |
$ | 153 | $ | 67 | $ | | $ | 220 | |||||||||||
Core Plus Bond
Fund |
| 2 | | 2 | |||||||||||||||
Government Bond
Fund |
| 295 | 139 | 434 | |||||||||||||||
High Yield
Fund |
| 1 | | 1 | |||||||||||||||
Limited
Duration Bond Fund |
44 | 43 | | 87 | |||||||||||||||
Short Duration
Bond Fund |
468 | 412 | | 880 |
|
||||||
Core Bond
Fund |
$ | 1,500 | ||||
Core Plus Bond
Fund |
95 | |||||
Government Bond
Fund |
132 | |||||
High Yield
Fund |
334 | |||||
Limited
Duration Bond Fund |
88 | |||||
Mortgage-Backed
Securities Fund |
92 | |||||
Short Duration
Bond Fund |
404 | |||||
Short Term Bond
Fund II |
8 | |||||
Treasury &
Agency Fund |
61 |
|
Purchases (excluding U.S. Government) |
|
Sales (excluding U.S. Government) |
|
Purchases of U.S. Government |
|
Sales of U.S. Government |
|||||||||||
Core Bond
Fund |
$ | 5,658,413 | $ | 1,449,623 | $ | 2,521,860 | $ | 163,201 | ||||||||||
Core Plus Bond
Fund |
365,759 | 215,897 | 216,041 | 44,526 | ||||||||||||||
Government Bond
Fund |
210,547 | 107,774 | 125,020 | 27,170 | ||||||||||||||
High Yield
Fund |
4,363,811 | 1,737,612 | | | ||||||||||||||
Limited
Duration Bond Fund |
62,141 | 139,088 | | | ||||||||||||||
Mortgage-Backed
Securities Fund |
684,674 | 247,957 | 124,415 | | ||||||||||||||
Short Duration
Bond Fund |
4,376,996 | 930,341 | 1,976,796 | 478,939 | ||||||||||||||
Short Term Bond
Fund II |
41,903 | 46,605 | 20,217 | 5,775 | ||||||||||||||
Treasury &
Agency Fund |
5,025 | 75,131 | 290,444 | 347,537 |
|
Aggregate Cost |
|
Gross Unrealized Appreciation |
|
Gross Unrealized Depreciation |
|
Net Unrealized Appreciation (Depreciation) |
|||||||||||
Core Bond
Fund |
$ | 14,052,191 | $ | 545,444 | $ | 125,297 | $ | 420,147 | ||||||||||
Core Plus Bond
Fund |
1,323,836 | 63,038 | 40,423 | 22,615 | ||||||||||||||
Government Bond
Fund |
1,358,569 | 84,233 | 4,737 | 79,496 | ||||||||||||||
High Yield
Fund |
5,956,516 | 416,329 | 162,436 | 253,893 | ||||||||||||||
Limited
Duration Bond Fund |
416,288 | 2,898 | 70,085 | (67,187 | ) | |||||||||||||
Mortgage-Backed
Securities Fund |
1,742,160 | 89,291 | 34,628 | 54,663 | ||||||||||||||
Short Duration
Bond Fund |
8,014,469 | 115,023 | 21,136 | 93,887 | ||||||||||||||
Short Term Bond
Fund II |
100,866 | 2,460 | 235 | 2,225 | ||||||||||||||
Treasury &
Agency Fund |
509,907 | 12,764 | | 12,764 |
Total Distributions Paid From: |
||||||||||||||
|
Ordinary Income |
|
Net Long Term Capital Gains |
|
Total Distributions Paid |
|||||||||
Core Bond
Fund |
$ | 489,477 | $ | | $ | 489,477 | ||||||||
Core Plus Bond
Fund |
59,760 | | 59,760 | |||||||||||
Government Bond
Fund |
49,702 | | 49,702 | |||||||||||
High Yield
Fund |
345,441 | | 345,441 | |||||||||||
Limited
Duration Bond Fund |
10,031 | | 10,031 |
Total Distributions Paid From: |
||||||||||||||
|
Ordinary Income |
|
Net Long Term Capital Gains |
|
Total Distributions Paid | |||||||||
Mortgage-Backed
Securities Fund |
$ | 89,097 | $ | | $ | 89,097 | ||||||||
Short Duration
Bond Fund |
127,879 | | 127,879 | |||||||||||
Short Term Bond
Fund II |
2,684 | | 2,684 | |||||||||||
Treasury &
Agency Fund |
28,720 | 3,845 | 32,565 |
Total Distributions Paid From: |
||||||||||||||
|
Ordinary Income |
|
Net Long Term Capital Gains |
|
Total Distributions Paid |
|||||||||
Core Bond
Fund |
$ | 246,502 | $ | | $ | 246,502 | ||||||||
Core Plus Bond
Fund |
51,522 | | 51,522 | |||||||||||
Government Bond
Fund |
43,540 | | 43,540 | |||||||||||
High Yield
Fund |
169,666 | 885 | 170,551 | |||||||||||
Limited
Duration Bond Fund |
32,435 | | 32,435 | |||||||||||
Mortgage-Backed
Securities Fund |
61,146 | | 61,146 | |||||||||||
Short Duration
Bond Fund |
80,522 | | 80,522 | |||||||||||
Short Term Bond
Fund II |
6,582 | | 6,582 | |||||||||||
Treasury &
Agency Fund |
17,998 | | 17,998 |
|
Current Distributable Ordinary Income |
|
Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) |
|
Unrealized Appreciation (Depreciation) |
|||||||||
Core Bond
Fund |
$ | 14,577 | $ | (84,219 | ) | $ | 420,147 | |||||||
Core Plus Bond
Fund |
4,073 | (286,886 | ) | 22,615 | ||||||||||
Government Bond
Fund |
2,282 | (3,026 | ) | 79,496 | ||||||||||
High Yield
Fund |
27,727 | (21,330 | ) | 253,893 | ||||||||||
Limited
Duration Bond Fund |
325 | (83,038 | ) | (67,187 | ) | |||||||||
Mortgage-Backed
Securities Fund |
1,697 | (16,093 | ) | 54,663 | ||||||||||
Short Duration
Bond Fund |
11,453 | (1,785 | ) | 93,887 | ||||||||||
Short Term Bond
Fund II |
192 | (61,306 | ) | 2,225 | ||||||||||
Treasury &
Agency Fund |
| 6,867 | 12,764 |
|
2011 |
|
2012 |
|
2013 |
|
2014 |
|
2015 |
|
2016 |
|
2017 |
|
2018 |
|
Total |
|||||||||||||||||||||
Core Bond
Fund |
$ | 10,051 | * | $ | 22,174 | * | $ | 11,693 | * | $ | 8,743 | * | $ | 14,586 | * | $ | 11,551 | * | $ | 5,421 | * | $ | | $ | 84,219 | |||||||||||||
Core Plus Bond
Fund |
| | 6,292 | * | 18,288 | * | 26,467 | * | 150,534 | * | 81,968 | * | 3,337 | 286,886 | ||||||||||||||||||||||||
Government Bond
Fund |
2,650 | 376 | | | | | | | 3,026 | |||||||||||||||||||||||||||||
High Yield
Fund |
| | | | | | 15,634 | 5,696 | 21,330 | |||||||||||||||||||||||||||||
Limited
Duration Bond Fund |
3,761 | 10,780 | 5,666 | 2,597 | 2,757 | 4,374 | 42,572 | 10,531 | 83,038 | |||||||||||||||||||||||||||||
Mortgage-Backed
Securities Fund |
| 6,725 | 7,518 | 1,459 | | 391 | | | 16,093 | |||||||||||||||||||||||||||||
Short Duration
Bond Fund |
| | | | 1,785 | | | | 1,785 | |||||||||||||||||||||||||||||
Short Term Bond
Fund II |
| 1,675 | 657 | 14,799 | 10,312 | 2,292 | 6,859 | 24,712 | 61,306 |
* |
Includes amounts from business combinations, which may be limited in future years under the Internal Revenue Code Sections 381384. |
|
||||||
Core Bond
Fund |
$ | 386 | ||||
Government Bond
Fund |
407 | |||||
Mortgage-Backed
Securities Fund |
19 | |||||
Short Duration
Bond Fund |
3,877 |
|
||||||
Core Plus Bond
Fund |
$ | 393 | ||||
Limited
Duration Bond Fund |
4,454 | |||||
Mortgage-Backed
Securities Fund |
3 |
|
J.P. Morgan Investor Funds |
|||||
Core Plus Bond
Fund |
49.52 | % | ||||
Government Bond
Fund |
16.53 | |||||
Limited
Duration Bond Fund |
32.81 |
|
Shares Outstanding |
|
Net Assets |
|
Net Asset Value Per Share |
|
Net Unrealized Appreciation/ Depreciation |
|||||||||||
Target
Fund |
||||||||||||||||||
Intermediate
Bond Fund |
||||||||||||||||||
Class
A |
9,994 | $ | 105,525 | $ | 10.56 | $ | 10,837 | |||||||||||
Class
B |
3,496 | 36,304 | 10.39 | |||||||||||||||
Class
C |
3,979 | 41,325 | 10.39 | |||||||||||||||
Select
Class |
54,611 | 576,149 | 10.55 | |||||||||||||||
Ultra |
10,006 | 105,588 | 10.55 | |||||||||||||||
Acquiring
Fund |
||||||||||||||||||
Core Bond
Fund |
||||||||||||||||||
Class
A |
171,321 | 1,865,195 | 10.89 | 99,832 | ||||||||||||||
Class
B |
9,010 | 98,011 | 10.88 | |||||||||||||||
Class
C |
73,514 | 804,101 | 10.94 | |||||||||||||||
Class
R2 |
95 | 1,026 | 10.88 | |||||||||||||||
Class
R5 |
24,389 | 265,127 | 10.87 | |||||||||||||||
Select
Class |
322,376 | 3,506,978 | 10.88 | |||||||||||||||
Ultra |
80,311 | 873,971 | 10.88 | |||||||||||||||
Post
Reorganization |
||||||||||||||||||
Core Bond
Fund |
||||||||||||||||||
Class
A |
181,014 | 1,970,720 | 10.89 | 110,669 | ||||||||||||||
Class
B |
12,347 | 134,315 | 10.88 | |||||||||||||||
Class
C |
77,293 | 845,426 | 10.94 | |||||||||||||||
Class
R2 |
94 | 1,026 | 10.88 | |||||||||||||||
Class
R5 |
24,389 | 265,127 | 10.87 | |||||||||||||||
Select
Class |
375,337 | 4,083,127 | 10.88 | |||||||||||||||
Ultra |
90,014 | 979,561 | 10.88 |
|
||||||
Net investment
income (loss) |
$ | 507 | ||||
Net
realized/unrealized gains (losses) |
506 | |||||
Change in net
assets resulting from operations |
$ | 1,013 |
|
Shares Outstanding |
|
Net Assets |
|
Net Asset Value Per Share |
|
Net Unrealized Appreciation/ Depreciation |
|||||||||||
Target
Fund |
||||||||||||||||||
Bond
Fund |
$ | (4,422 | ) | |||||||||||||||
Class
A |
1,532 | $ | 10,165 | $ | 6.64 | |||||||||||||
Class
B |
370 | 2,437 | 6.59 | |||||||||||||||
Class
C |
770 | 5,095 | 6.62 | |||||||||||||||
Institutional
Class |
2,409 | 15,799 | 6.56 | |||||||||||||||
Select
Class |
4,674 | 30,681 | 6.56 | |||||||||||||||
Ultra |
3,131 | 20,544 | 6.56 | |||||||||||||||
Acquiring
Fund |
||||||||||||||||||
Core Plus Bond
Fund |
(31,503 | ) | ||||||||||||||||
Class
A |
10,030 | 74,360 | 7.41 | |||||||||||||||
Class
B |
751 | 5,593 | 7.45 | |||||||||||||||
Class
C |
5,031 | 37,449 | 7.44 | |||||||||||||||
Class
R2 |
8 | 56 | 7.42 | |||||||||||||||
Institutional
Class |
5 | 40 | 7.42 | |||||||||||||||
Select
Class |
98,313 | 728,499 | 7.41 | |||||||||||||||
Ultra |
3,859 | 28,582 | 7.41 | |||||||||||||||
Post
Reorganization |
||||||||||||||||||
Core Plus Bond
Fund |
(35,925 | ) | ||||||||||||||||
Class
A |
11,401 | 84,525 | 7.41 | |||||||||||||||
Class
B |
1,078 | 8,030 | 7.45 | |||||||||||||||
Class
C |
5,715 | 42,544 | 7.44 | |||||||||||||||
Class
R2 |
8 | 56 | 7.42 | |||||||||||||||
Institutional
Class |
2,134 | 15,839 | 7.42 | |||||||||||||||
Select
Class |
102,454 | 759,180 | 7.41 | |||||||||||||||
Ultra |
6,633 | 49,126 | 7.41 |
|
||||||
Net investment
income (loss) |
$ | 61 | ||||
Net
realized/unrealized gains (losses) |
110 | |||||
Change in net
assets resulting from operations |
$ | 171 |
Date |
|
Value (000s) |
|
Type |
||||||
April 28,
2009 |
$ | 2,249 | Subscription in-kind |
Date |
|
Value (000s) |
|
Type |
||||||
March 30,
2009 |
$ | 4,090 | Subscription in-kind |
Limited Duration Bond Fund |
|
Value (000s) |
|
Realized Losses (000s) |
|
Type |
||||||||
Ultra
Shares |
$ | 107,423 | $ | (31,903 | ) | Redemption
in-kind |
Name (Year of Birth); Positions With the Funds (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund Complex Overseen by Trustee (2) |
|
Other Directorships Held Outside Fund Complex |
|||||||||
Independent Trustees |
|||||||||||||||
William J.
Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. |
Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (20002001); Vice President and Treasurer,
IngersollRand Company (manufacturer of industrial equipment) (19722000). |
132 |
None. |
||||||||||||
John F. Finn
(1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. |
Chairman (1985present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and
consumer markets) (1974present). |
132 |
Director, Cardinal Health, Inc. (CAH) (1994present); Director, Greif, Inc. (GEF) (industrial package products and services)
(2007present). |
||||||||||||
Dr. Matthew
Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. |
Chancellor, City University of New York (1999present); President, Adelphi University (New York) (19981999). |
132 |
Director, New Plan Excel (NXL) (19992005); Director, National Financial Partners (NFP) (20032005); Director, Bronx-Lebanon
Hospital Center; Director, United Way of New York City (2002present). |
||||||||||||
Robert J.
Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. |
Retired; Director of Administration of the State of Rhode Island (20032004); President Consumer Banking and Investment Services,
Fleet Boston Financial (19712001). |
132 |
None. |
||||||||||||
Peter C.
Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. |
Self-employed business consultant (20002008); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.)
(20002002); President, DCI Marketing, Inc. (19922000). |
132 |
Director, Center for Deaf and Hard of Hearing (1990present). |
||||||||||||
Marilyn McCoy*
(1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. |
Vice
President of Administration and Planning, Northwestern University (1985present). |
132 |
Trustee, Carleton College (2003present). |
||||||||||||
William G.
Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. |
Retired; Chairman Emeritus (20012002), and Chairman and Chief Executive Officer, Boston Stock Exchange
(19852001). |
132 |
Director, Radio Shack Corp. (19872008); Trustee, Stratton Mountain School (2001present). |
Name (Year of Birth); Positions With the Funds (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund Complex Overseen by Trustee (2) |
|
Other Directorships Held Outside Fund Complex | |||||||||
Independent Trustees (continued) |
|||||||||||||||
Robert A. Oden,
Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. |
President, Carleton College (2002present); President, Kenyon College (19952002). |
132 |
Trustee, American University in Cairo (1999present); Trustee, Carleton College (2002present). |
||||||||||||
Fergus Reid, III
(1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. |
Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003present); Chairman and Chief Executive
Officer, Lumelite Corporation (19852002). |
132 |
Trustee, Morgan Stanley Funds (165 portfolios) (1992present). |
||||||||||||
Frederick W.
Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. |
Consultant (2000present); Advisor, JP Greene & Associates, LLC (broker-dealer) (20002009); Chief Investment Officer, Wabash
College (2004present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (19881999). |
132 |
Trustee, Wabash College (1988present); Chairman, Indianapolis Symphony Orchestra Foundation (1994present). |
||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since
2001. |
Retired; Managing Director of Bankers Trust Company (financial services)
(19681998). |
132 |
None. |
||||||||||||
Interested Trustees |
|||||||||||||||
Frankie D.
Hughes** (1952), Trustee of Trust since 2008. |
Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993present). |
132 |
Trustee, The Victory Portfolios (20002008). |
||||||||||||
Leonard M.
Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998. |
Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (19891998); President and Chief Executive Officer, Vista
Capital Management (investment management) (19901998); Chief Investment Executive, Chase Manhattan Private Bank (investment management)
(19901998). |
132 |
Director, Glenview Trust Company, LLC (2001present); Trustee, St. Catharine College (1998present); Trustee, Bellarmine University
(2000present); Director, Springfield-Washington County Economic Development Authority (1997present); Trustee, Catholic Education Foundation
(2005present). |
(1) |
Each Trustee serves for an indefinite term, subject to the Trusts current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
(2) |
A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (132 funds). |
* |
Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley, Head of Corporate Responsibility for JPMorgan Chase & Co., has served as a member of the Board of Trustees of Northwestern University since 2005. The Funds investment advisor is a wholly-owned subsidiary of JPMorgan Chase. |
** |
Ms. Hughes is treated as an interested person based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
*** |
Mr. Spalding is treated as an interested person due to his ownership of JPMorgan Chase stock. |
Name (Year of Birth), Positions Held with the Trust (Since) |
|
Principal Occupations During Past 5 Years |
||||
George C.W. Gatch
(1962), President (2005) |
Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds
Management, Inc. since 2005. Mr. Gatch is CEO and President of the J.P. Morgan Funds. Mr. Gatch has been an employee of J.P. Morgan since 1986 and has
held positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi
Kangyo Bank, as well as positions in business management, marketing, and sales. |
|||||
Robert L. Young
(1963), Senior Vice President (2005)* |
Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, J.P. Morgan
Funds since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc.
(formerly One Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer
Services, Inc.) from 1999 to 2005. |
|||||
Patricia A.
Maleski (1960), Vice President and Chief Administrative Officer (2005), Treasurer and Principal Financial Officer (2008) |
Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, J.P. Morgan Funds. Ms. Maleski has been
with JPMorgan Chase & Co. since 2001. |
|||||
Frank J. Nasta
(1964), Secretary (2008) |
Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and
Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and
Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. |
|||||
Stephen M.
Ungerman (1953), Chief Compliance Officer (2005) |
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration Pooled Vehicles from 2000 to 2004. Mr.
Ungerman has been with JPMorgan Chase & Co. since 2000. |
|||||
Paul L. Gulinello
(1950), AML Compliance Officer (2005) |
Vice
President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and
compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business
units from July 2000 to 2004. |
|||||
Michael J.
Tansley (1964), Controller (2008) |
Vice
President, JPMorgan Funds Management, Inc. since July 2008; prior to joining JPMorgan Chase, Mr. Tansley worked for General Electric, as Global
eFinance Leader in GE Money from 2004 through 2008 and Vice President and Controller of GE Asset Management from 1998. |
|||||
Elizabeth A.
Davin (1964), Assistant Secretary (2005)* |
Vice
President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005;
Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. |
|||||
Jessica K.
Ditullio (1962), Assistant Secretary (2005)* |
Vice
President and Assistant General Counsel, JPMorgan Chase since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase
(formerly Bank One Corporation) since 1990. |
|||||
John T.
Fitzgerald (1975), Assistant Secretary (2008) |
Vice
President and Assistant General Counsel, JPMorgan Chase since 2005; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to
2005. |
|||||
Brian L. Duncan
(1965), Assistant Treasurer (2008)* |
Vice
President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as
Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 20032004. |
|||||
Joy C. Dowd
(1972), Assistant Treasurer (2009) |
Vice
President, JPMorgan Funds Management, Inc. since December 2008; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLifes investments audit
group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. |
|||||
Jeffrey D. House
(1972), Assistant Treasurer (2006)* |
Vice
President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December
1995 until July 2006. |
|||||
Laura S. Melman
(1966), Assistant Treasurer (2006) |
Vice
President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York
Co., Inc. from 2001 until 2006. |
|||||
Francesco Tango
(1971), Assistant Treasurer (2007) |
Vice
President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* |
The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
|
Beginning Account Value, September 1, 2009 |
|
Ending Account Value, February 28, 2010 |
|
Expenses Paid September 1, 2009 to February 28, 2010* |
|
Annualized Expense Ratio |
|||||||||||
Core Bond
Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,034.00 | $ | 3.68 | 0.73 | % | ||||||||||
Hypothetical |
1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,030.50 | 6.95 | 1.38 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,030.60 | 6.95 | 1.38 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||||
Class
R2 |
||||||||||||||||||
Actual |
1,000.00 | 1,032.70 | 4.94 | 0.98 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||||
Class
R5 |
||||||||||||||||||
Actual |
1,000.00 | 1,035.50 | 2.17 | 0.43 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.66 | 2.16 | 0.43 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,034.60 | 2.83 | 0.56 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.02 | 2.81 | 0.56 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,035.70 | 1.92 | 0.38 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.91 | 1.91 | 0.38 |
|
Beginning Account Value, September 1, 2009 |
|
Ending Account Value, February 28, 2010 |
|
Expenses Paid September 1, 2009 to February 28, 2010* |
|
Annualized Expense Ratio | |||||||||||
Core Plus
Bond Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,055.10 | $ | 3.77 | 0.74 | % | ||||||||||
Hypothetical |
1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,051.60 | 7.07 | 1.39 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,051.60 | 7.07 | 1.39 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||||
Class
R2 |
||||||||||||||||||
Actual |
1,000.00 | 1,051.80 | 5.80 | 1.14 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,056.60 | 2.45 | 0.48 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.41 | 2.41 | 0.48 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,055.60 | 3.26 | 0.64 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,057.00 | 1.99 | 0.39 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||||
Government
Bond Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,023.50 | 3.66 | 0.73 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,019.80 | 7.31 | 1.46 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.55 | 7.30 | 1.46 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,018.90 | 7.31 | 1.46 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.55 | 7.30 | 1.46 | ||||||||||||||
Class
R2 |
||||||||||||||||||
Actual |
1,000.00 | 1,021.50 | 4.91 | 0.98 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,023.90 | 2.31 | 0.46 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.51 | 2.31 | 0.46 |
|
Beginning Account Value, September 1, 2009 |
|
Ending Account Value, February 28, 2010 |
|
Expenses Paid September 1, 2009 to February 28, 2010* |
|
Annualized Expense Ratio | |||||||||||
High Yield
Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,126.50 | $ | 5.96 | 1.13 | % | ||||||||||
Hypothetical |
1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,120.90 | 9.36 | 1.78 | ||||||||||||||
Hypothetical |
1,000.00 | 1,015.97 | 8.90 | 1.78 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,121.20 | 9.36 | 1.78 | ||||||||||||||
Hypothetical |
1,000.00 | 1,015.97 | 8.90 | 1.78 | ||||||||||||||
Class
R2 |
||||||||||||||||||
Actual |
1,000.00 | 1,124.00 | 7.27 | 1.38 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||||
Class
R5 |
||||||||||||||||||
Actual |
1,000.00 | 1,126.00 | 4.43 | 0.84 | ||||||||||||||
Hypothetical |
1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,127.10 | 4.64 | 0.88 | ||||||||||||||
Hypothetical |
1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,126.40 | 4.17 | 0.79 | ||||||||||||||
Hypothetical |
1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||||
Limited
Duration Bond Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,069.90 | 3.39 | 0.66 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.52 | 3.31 | 0.66 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,066.40 | 5.94 | 1.16 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.04 | 5.81 | 1.16 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,068.00 | 5.95 | 1.16 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.04 | 5.81 | 1.16 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,071.30 | 2.11 | 0.41 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.76 | 2.06 | 0.41 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,072.20 | 1.13 | 0.22 | ||||||||||||||
Hypothetical |
1,000.00 | 1,023.70 | 1.10 | 0.22 | ||||||||||||||
Mortgage-Backed Securities Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,048.50 | 3.25 | 0.64 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,049.80 | 1.98 | 0.39 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,050.40 | 1.22 | 0.24 | ||||||||||||||
Hypothetical |
1,000.00 | 1,023.60 | 1.20 | 0.24 |
|
Beginning Account Value, September 1, 2009 |
|
Ending Account Value, February 28, 2010 |
|
Expenses Paid September 1, 2009 to February 28, 2010* |
|
Annualized Expense Ratio | |||||||||||