Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS 80.3% |
||||||||||||||||
U.S. Government Agency Pass-Through Certificates 60.8% |
||||||||||||||||
Federal Home Loan Mortgage Corporation |
||||||||||||||||
Pool C69047 |
7.00 | % | 06/01/32 | $ | 868 | $ | 919,835 | |||||||||
Pool H01847 |
7.00 | 09/01/37 | 2,664 | @ | 2,779,670 | |||||||||||
Pool G01466 |
9.50 | 12/01/22 | 785 | 876,208 | ||||||||||||
Pool 555559 |
10.00 | 03/01/21 | 685 | 802,506 | ||||||||||||
5,378,219 | ||||||||||||||||
Federal National Mortgage Association |
||||||||||||||||
Pool 694391 |
5.50 | 03/01/33 | 3,249 | 3,280,722 | ||||||||||||
Pool 753914 |
5.50 | 12/01/33 | 6,074 | @ | 6,133,560 | |||||||||||
Pool 955347 |
5.83 | 10/01/37 | 1,997 | 2,055,496 | ||||||||||||
Pool 949293 |
5.88 | 10/01/37 | 1,990 | 2,048,467 | ||||||||||||
Pool 754355 |
6.00 | 12/01/33 | 2,467 | 2,531,544 | ||||||||||||
Pool 761836 |
6.00 | 06/01/33 | 2,384 | 2,448,461 | ||||||||||||
Pool 763643 |
6.00 | 01/01/34 | 5,175 | 5,303,867 | ||||||||||||
Pool 255413 |
6.50 | 10/01/34 | 5,769 | @ | 5,998,360 | |||||||||||
Pool 795367 |
6.50 | 09/01/34 | 1,999 | 2,078,278 | ||||||||||||
Pool 809989 |
6.50 | 03/01/35 | 2,235 | 2,319,450 | ||||||||||||
Pool 945836 |
6.50 | 08/01/37 | 4,831 | 4,982,368 | ||||||||||||
Pool 948362 |
6.50 | 08/01/37 | 4,748 | 4,897,070 | ||||||||||||
Pool 650131 |
7.00 | 07/01/32 | 1,170 | 1,248,696 | ||||||||||||
Pool 887431 |
7.50 | 08/01/36 | 646 | 678,691 | ||||||||||||
Pool 398800 |
8.00 | 06/01/12 | 325 | 339,801 | ||||||||||||
Pool 827854 |
8.00 | 10/01/29 | 1,454 | 1,585,470 | ||||||||||||
Pool 636449 |
8.50 | 04/01/32 | 1,394 | 1,538,130 | ||||||||||||
Pool 823757 |
8.50 | 10/01/29 | 2,431 | 2,675,266 | ||||||||||||
Pool 458132 |
9.49 | 03/15/31 | 1,102 | 1,236,325 | ||||||||||||
53,380,022 | ||||||||||||||||
Total U.S. Government Agency Pass-Through Certificates |
||||||||||||||||
(Cost $58,283,355) |
58,758,241 | |||||||||||||||
U.S. Treasury Obligations 19.5% |
||||||||||||||||
United States Treasury Notes |
4.50 | 02/15/16 | 3,000 | @ | 3,256,875 | |||||||||||
United States Treasury Notes |
4.50 | 05/15/17 | 14,500 | @ | 15,620,357 | |||||||||||
Total U.S. Treasury Obligations |
||||||||||||||||
(Cost $17,142,895) |
18,877,232 | |||||||||||||||
Total U.S. Government & Agency Obligations |
||||||||||||||||
(Cost $75,426,250) |
77,635,473 | |||||||||||||||
ASSET-BACKED SECURITIES 10.8% |
||||||||||||||||
Housing Related Asset-Backed Securities 9.3% |
||||||||||||||||
Asset Backed Funding Certificates |
||||||||||||||||
Series 2005-AQ1, Class B1* (b) |
5.75/6.25 | 06/25/35 | 993 | 582,903 | ||||||||||||
Series 2005-AQ1, Class B2* (b) |
5.75/6.25 | 06/25/35 | 1,050 | 681,450 | ||||||||||||
1,264,353 | ||||||||||||||||
Asset Backed Securities Corp. Home Equity |
||||||||||||||||
Series 2006-HE3, Class A4 (a) (d) |
3.31 | | 03/25/36 | 740 | 692,828 | |||||||||||
First Franklin Mortgage Loan Asset Backed Certificates |
||||||||||||||||
Series 2004-FFH2C, Class B1* (a) (d) |
6.64 | | 06/25/34 | 334 | 5,427 | |||||||||||
Green Tree Financial Corp. |
||||||||||||||||
Series 1995-6, Class M1 (c) |
8.10 | 09/15/26 | 4,325 | 4,394,265 | ||||||||||||
Mid-State Trust |
||||||||||||||||
Series 2004-1, Class M2 |
8.11 | 08/15/37 | 1,154 | 1,180,447 | ||||||||||||
Securitized Asset-Backed Receivables LLC Trust |
||||||||||||||||
Series 2005-HE1, Class A1A* (a) (d) |
3.44 | | 10/25/35 | 1,412 | 1,391,398 |
1
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
||||||||||||||||
Structured Asset Investment Loan Trust
Series 2004-4, Class B* (b) (c) (d) |
5.00/5.50 | % | 04/25/34 | $ | 409 | $ | 9,435 | |||||||||
Total Housing Related Asset-Backed Securities |
||||||||||||||||
(Cost $9,661,974) |
8,938,153 | |||||||||||||||
Non-Housing Related Asset-Backed Securities 1.5% |
||||||||||||||||
Airplanes Pass Through Trust
Series 1R, Class A8
(cost $1,489,590) |
3.50 | | 03/15/19 | 1,586 | 1,482,568 | |||||||||||
Total Asset-Backed Securities |
||||||||||||||||
Cost $11,151,564) |
10,420,721 | |||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES 28.1% |
||||||||||||||||
Banc America Commercial Mortgage, Inc. |
||||||||||||||||
Series 2007-2, Class L |
5.37 | 04/10/49 | 1,127 | 419,974 | ||||||||||||
Series 2007-2, Class K |
5.70 | 04/10/49 | 3,000 | 1,187,673 | ||||||||||||
Series 2006-1, Class J* |
5.78 | 09/10/45 | 1,000 | 522,662 | ||||||||||||
2,130,309 | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities |
||||||||||||||||
Series 2006-PWR13, Class K |
5.26 | 09/11/41 | 347 | 151,138 | ||||||||||||
Series 2006-PWR11, Class H* |
5.46 | 03/11/39 | 1,100 | 576,734 | ||||||||||||
Series 2006-PWR13, Class H |
6.03 | 09/11/41 | 2,450 | 1,309,454 | ||||||||||||
Series 1999-C1, Class D |
6.53 | 02/14/31 | 2,500 | 2,321,307 | ||||||||||||
4,358,633 | ||||||||||||||||
CD 2006 CD2 |
||||||||||||||||
Series 2006-CD2, Class J* |
5.47 | 01/15/46 | 1,000 | 522,276 | ||||||||||||
Credit Suisse Mortgage Capital Certificates |
||||||||||||||||
Series 2006-C4, Class L* |
5.15 | 09/15/39 | 513 | 244,754 | ||||||||||||
Series 2006-C4, Class M* |
5.15 | 09/15/39 | 565 | 253,672 | ||||||||||||
Series 2006-C1, Class K* |
5.55 | | 02/15/39 | 2,358 | 1,249,377 | |||||||||||
Series 2006-C4, Class K* |
6.30 | 09/15/39 | 2,970 | 1,581,302 | ||||||||||||
3,329,105 | ||||||||||||||||
GE Capital Commercial Mortgage Corp. |
||||||||||||||||
Series 2002-2A, Class G* |
6.04 | 08/11/36 | 3,000 | 2,782,161 | ||||||||||||
Series 2002-2A, Class H* |
6.31 | 08/11/36 | 2,000 | 1,889,212 | ||||||||||||
4,671,373 | ||||||||||||||||
GMAC Commercial Mortgage Securities |
||||||||||||||||
Series 2006-C1, Class G* |
5.61 | 11/10/45 | 2,500 | 1,637,015 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities |
||||||||||||||||
Series 2003-LN1, Class G* |
5.43 | | 10/15/37 | 1,600 | 1,356,314 | |||||||||||
Series 2006-CIBC14, Class H* |
5.54 | | 12/12/44 | 1,211 | 643,485 | |||||||||||
Series 2007-LD11, Class K* |
5.82 | | 06/15/49 | 1,879 | 748,951 | |||||||||||
2,748,750 | ||||||||||||||||
Morgan Stanley Capital I |
||||||||||||||||
Series 2006-WMC2, Class A2C (a) (d) |
3.29 | | 06/25/36 | 2,010 | 1,551,272 | |||||||||||
Series 2006-HE1, Class A3 (a) (d) |
3.32 | | 01/25/36 | 1,425 | 1,363,306 | |||||||||||
Series 2004-HQ4, Class G* |
5.53 | 04/14/40 | 1,000 | 772,716 | ||||||||||||
3,687,294 | ||||||||||||||||
UBS 400 Atlantic Street Mortgage Trust |
||||||||||||||||
Series 2002-C1A, Class B3* |
7.19 | 01/11/22 | 2,000 | 2,206,000 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust |
||||||||||||||||
Series 2007-C31, Class L* |
5.13 | 04/15/47 | 1,788 | 612,903 | ||||||||||||
Series 2005-C16, Class H* |
5.36 | | 10/15/41 | 2,000 | 1,247,642 | |||||||||||
1,860,545 | ||||||||||||||||
Total Commercial Mortgage Backed Securities |
||||||||||||||||
(Cost $36,082,282) |
27,151,300 | |||||||||||||||
2
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES 27.9% |
||||||||||||||||
Subordinated Collateralized Mortgage Obligations 27.9% |
||||||||||||||||
Banc of America Funding Corp. |
||||||||||||||||
Series 2005-2, Class B4 |
5.66 | % | 04/25/35 | $ | 846 | $ | 529,499 | |||||||||
Series 2005-2, Class B5 |
5.66 | | 04/25/35 | 677 | 298,431 | |||||||||||
Series 2005-2, Class B6 |
5.66 | | 04/25/35 | 509 | 100,017 | |||||||||||
927,947 | ||||||||||||||||
Bank of America Alternative Loan Trust |
||||||||||||||||
Series 2004-3, Class 30B4 |
5.50 | 04/25/34 | 968 | 264,179 | ||||||||||||
Series 2004-3, Class 30B5 |
5.50 | 04/25/34 | 680 | 109,435 | ||||||||||||
373,614 | ||||||||||||||||
Bank of America Mortgage Securities, Inc. |
||||||||||||||||
Series 2004-A, Class B4 |
4.04 | | 02/25/34 | 1,533 | 969,410 | |||||||||||
Series 2003-10, Class 1B4 |
5.50 | 01/25/34 | 538 | 371,862 | ||||||||||||
Series 2002-10, Class 1B3 |
6.00 | 11/25/32 | 1,379 | 1,375,628 | ||||||||||||
Series 2007-4, Class B3* |
6.19 | 12/28/37 | 249 | 142,426 | ||||||||||||
2,859,326 | ||||||||||||||||
Cendant Mortgage Corp. |
||||||||||||||||
Series 2002-4, Class B1 |
6.50 | 07/25/32 | 2,358 | 2,387,975 | ||||||||||||
Series 2002-4, Class B2 |
6.50 | 07/25/32 | 943 | 955,190 | ||||||||||||
Series 2002-4, Class B3 |
6.50 | 07/25/32 | 550 | 532,103 | ||||||||||||
Series 2002-4, Class B4 |
6.50 | 07/25/32 | 317 | 291,134 | ||||||||||||
Series 2002-4, Class B5 |
6.50 | 07/25/32 | 238 | 221,142 | ||||||||||||
Series 2002-4, Class B6* |
6.50 | 07/25/32 | 317 | 190,365 | ||||||||||||
4,577,909 | ||||||||||||||||
Countrywide Home Loans |
||||||||||||||||
Series 2003-J13, Class B3 |
5.22 | 01/25/34 | 353 | 226,549 | ||||||||||||
Series 2003-J13, Class B5 |
5.22 | 01/25/34 | 265 | 66,303 | ||||||||||||
Series 2007-11, Class B2 |
6.00 | 08/25/37 | 498 | 319,087 | ||||||||||||
Series 2007-17, Class B1 |
6.24 | 10/25/37 | 572 | 387,977 | ||||||||||||
999,916 | ||||||||||||||||
Fieldstone Mortgage Investment Corp. |
||||||||||||||||
Series 2006-3, Class 2A3 (b) (d) |
3.30 | | 11/25/36 | 1,105 | 821,645 | |||||||||||
First Horizon Alternative Mortgage Securities |
||||||||||||||||
Series 2005-AA6, Class B4 |
5.42 | | 08/25/35 | 841 | 294,445 | |||||||||||
Series 2005-AA6, Class B5 |
5.42 | | 08/25/35 | 792 | 118,768 | |||||||||||
Series 2005-AA6, Class B6 |
5.42 | | 08/25/35 | 367 | 33,003 | |||||||||||
446,216 | ||||||||||||||||
First Horizon Mortgage Pass-Through Trust |
||||||||||||||||
Series 2005-4, Class B4* |
5.45 | | 07/25/35 | 409 | 198,497 | |||||||||||
Series 2005-5, Class B4* |
5.46 | | 10/25/35 | 703 | 283,501 | |||||||||||
Series 2005-5, Class B5* |
5.46 | | 10/25/35 | 527 | 79,083 | |||||||||||
Series 2005-5, Class B6* |
5.46 | | 10/25/35 | 528 | 26,422 | |||||||||||
587,503 | ||||||||||||||||
G3 Mortgage Reinsurance Ltd. |
||||||||||||||||
Series 1, Class E* |
23.14 | | 05/25/08 | 4,048 | 4,068,061 | |||||||||||
Harborview Mortgage Loan Trust |
||||||||||||||||
Series 2005-1, Class B4* (a) |
4.87 | | 03/19/35 | 511 | 298,905 | |||||||||||
Series 2005-1, Class B5* (a) |
4.87 | | 03/19/35 | 743 | 148,554 | |||||||||||
Series 2005-1, Class B6* (a) |
4.87 | | 03/19/35 | 779 | 62,313 | |||||||||||
Series 2005-2, Class B4* (a) |
4.87 | | 05/19/35 | 1,270 | 317,483 | |||||||||||
Series 2005-9, Class B11* |
4.87 | | 06/20/35 | 504 | 403,127 | |||||||||||
Series 2005-14, Class B4* |
5.69 | | 12/19/35 | 393 | 137,552 | |||||||||||
1,367,934 | ||||||||||||||||
IXIS Real Estate Capital Trust |
||||||||||||||||
Series 2006-HE3, Class A1(a) (d) |
3.18 | 01/25/37 | 251 | 244,941 |
3
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
JP Morgan Mortgage Trust |
||||||||||||||||
Series 2003-A1, Class B4 |
4.47 | % | 10/25/33 | $ | 531 | $ | 298,353 | |||||||||
Series 2007-CB18, Class G* |
5.92 | 06/12/47 | 600 | 298,283 | ||||||||||||
Series 2006-A6, Class B5 |
6.01 | 10/25/36 | 913 | 225,243 | ||||||||||||
Series 2006-A6, Class B6 |
6.01 | 10/25/36 | 1,101 | 220,253 | ||||||||||||
1,042,132 | ||||||||||||||||
RAAC Series |
||||||||||||||||
Series 2005-SP1, Class M3 |
5.51 | 09/25/34 | 309 | 202,016 | ||||||||||||
Residential Funding Mortgage Securities I, Inc. |
||||||||||||||||
Series 2004-S1, Class B2 |
5.25 | 02/25/34 | 435 | 238,293 | ||||||||||||
Series 2003-S7, Class B2 |
5.50 | 05/25/33 | 507 | 116,556 | ||||||||||||
Series 2003-S7, Class B3 |
5.50 | 05/25/33 | 307 | 180,497 | ||||||||||||
Series 2006-SA1, Class B2* |
5.67 | 02/25/36 | 822 | 164,402 | ||||||||||||
Series 2006-SA1, Class B3* |
5.67 | 02/25/36 | 509 | 25,435 | ||||||||||||
725,183 | ||||||||||||||||
Resix Finance Limited Credit-Linked Note |
||||||||||||||||
Series 2005-C, Class B7* |
6.27 | | 09/10/37 | 1,930 | 1,295,082 | |||||||||||
Series 2004-C, Class B7* |
6.67 | | 09/10/36 | 949 | 751,057 | |||||||||||
Series 2006-C, Class B9* |
7.27 | | 07/15/38 | 1,495 | 1,040,037 | |||||||||||
Series 2004-B, Class B8* |
7.92 | | 02/10/36 | 766 | 587,276 | |||||||||||
Series 2003-CB1, Class B8* |
9.92 | | 06/10/35 | 914 | 854,304 | |||||||||||
Series 2004-B, Class B9* |
11.42 | | 02/10/36 | 1,174 | 1,008,672 | |||||||||||
Series 2004-A, Class B10* |
14.67 | | 02/10/36 | 469 | 427,920 | |||||||||||
5,964,348 | ||||||||||||||||
Structured Asset Securities Corporation |
||||||||||||||||
Series 2005-6, Class B5 |
5.34 | | 05/25/35 | 481 | 86,582 | |||||||||||
Series 2005-6, Class B6 |
5.34 | | 05/25/35 | 481 | 57,721 | |||||||||||
Series 2005-6, Class B7 |
5.34 | | 05/25/35 | 307 | 15,338 | |||||||||||
159,641 | ||||||||||||||||
Washington Mutual Mortgage Securities Corp. |
||||||||||||||||
Series 2005-AR2, Class B9 |
4.58 | | 01/25/45 | 594 | 296,837 | |||||||||||
Series 2005-AR2, Class B10* (a) |
4.58 | | 01/25/45 | 1,419 | 820,600 | |||||||||||
Series 2002-AR12, Class B4 |
7.19 | | 10/25/32 | 107 | 106,332 | |||||||||||
Series 2002-AR12, Class B5 |
7.19 | | 10/25/32 | 80 | 79,391 | |||||||||||
Series 2002-AR12, Class B6 |
7.19 | | 10/25/32 | 133 | 20,005 | |||||||||||
1,323,165 | ||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust |
||||||||||||||||
Series 2002, Class B5 |
6.00 | 06/25/32 | 336 | 293,409 | ||||||||||||
Total Subordinated Collateralized Mortgage Obligations (Cost $41,057,686) |
26,984,906 | |||||||||||||||
Total Non-Agency Residential Mortgage Backed Securities (Cost $41,057,686) |
26,984,906 | |||||||||||||||
SHORT TERM INVESTMENTS 3.2% |
||||||||||||||||
Merrill Lynch Repurchase Agreement, dated 02/29/2008
(collateralized by $3,810,000 par FNMA Pool 735893, 5.00%,
maturing 10/01/2035, valued at $3,757,017); proceeds $3,000,763 |
3.05 | 03/03/08 | 3,000 | 3,000,000 | ||||||||||||
United States Treasury Bill |
0.00 | 06/19/08 | 100 | # | 99,462 | |||||||||||
Total Short Term Investments (Cost $3,099,022) |
3,099,462 | |||||||||||||||
4
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
Total Investments 150.3% (Cost $166,816,804) |
$ | 145,291,862 | ||||||||||||||
Liabilities in Excess of Other Assets (50.3)% |
(48,606,774 | ) | ||||||||||||||
NET ASSETS 100.0% |
$ | 96,685,088 | ||||||||||||||
| Variable Rate Security: Interest rate is the rate in effect as of February 29, 2008. | |
* | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|
(a) | Security is a step up bond where coupon increases or steps up at a predetermined date. At that date these coupons increase to LIBOR plus a predetermined margin. |
|
(b) | Security is a step up bond where coupon increases or steps up at a predetermined date. Rates shown are current coupon and next coupon rate when security steps up. |
|
(c) | Security valued in good faith pursuant to fair value procedures adopted by the Board of Directors. As of February 29, 2008, the total value of all such securities was $4,403,700 or 4.5% of net assets. |
|
(d) | Investment in sub-prime security. As of February 29, 2008 the total value of all such investments was $6,080,252 or 6.3% of net assets. |
|
# | Portion or entire principal amount held as collateral for open future contracts. | |
/\ | At February 29, 2008, the aggregate cost of investments for income tax purposes was $166,816,804. Net unrealized depreciation aggregated $21,524,942 of which $2,765,364 related to appreciated investment securities and $24,290,306 related to depreciated investment securities. |
5
| 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) |
Investments in | Other Financial | |||||||
Valuation Inputs | Securities | Instruments* | ||||||
Level 1 Quoted Prices |
$ | | $ | 77,311 | ||||
Level 2 Other Significant Observable Inputs |
140,888,162 | (18,857,215 | ) | |||||
Level 3 Significant Unobservable Inputs |
4,403,700 | | ||||||
Total |
$ | 145,291,862 | $ | (18,779,904 | ) | |||
* | Other financial instruments include futures and swap contracts. |
Investments in | Other Financial | |||||||
Securities | Instruments | |||||||
Balance as of December 1, 2007 |
$ | 5,379,930 | $ | | ||||
Accrued discounts/premiums |
| | ||||||
Realized gain (loss) |
2,623 | | ||||||
Change in unrealized appreciation
(depreciation) |
363,397 | | ||||||
Net purchases (sales) |
(485,295 | ) | | |||||
Transfers in and/or out of Level 3 |
(856,955 | ) | | |||||
Balance as of February 29, 2008 |
$ | 4,403,700 | $ | | ||||
Maturity | ||||||||
Face Value | Description | Amount | ||||||
$ | 15,587,500 | Merrill Lynch 2.50%, dated 02/07/08, maturity date 03/06/08 |
$ | 15,617,119 | ||||
2,651,000 | Lehman Brothers 3.20%, dated 02/22/08, maturity date 03/25/08 |
2,657,834 | ||||||
5,783,000 | Credit Suisse 3.17%, dated 02/22/08, maturity date 03/25/08 |
5,797,768 | ||||||
3,273,750 | Merrill Lynch 2.45%, dated 02/07/08, maturity date 03/06/08 |
3,279,988 | ||||||
5,827,000 | Bear Stearns 3.20%, dated 02/15/08, maturity date 03/17/08 |
5,843,057 | ||||||
$ | 33,122,250 | |||||||
Maturity Amount, Including Interest Payable |
$ | 33,195,766 | ||||||
Market Value of Assets Sold Under Agreements |
$ | 33,788,822 | ||||||
Weighted Average Interest Rate |
2.79 | % | ||||||
Net Unrealized | ||||||||||||
Expiration | Appreciation / | |||||||||||
Notional Amount | Date | Description | (Depreciation) | |||||||||
$ | 1,500,000 | 11/07/09 | Agreement with JP
Morgan, dated 11/05/07
to pay semi-annually
the notional amount
multiplied by 4.40%
and to receive
quarterly the notional
amount multiplied by
the 3 month
USD-LIBOR-BBA. |
$ | (60,307 | ) | ||||||
2,000,000 | 11/08/09 | Agreement with JP
Morgan, dated 11/06/07
to pay semi-annually
the notional amount
multiplied by 4.45%
and to receive
quarterly the notional
amount multiplied by
the 3 month
USD-LIBOR-BBA. |
(82,522 | ) | ||||||||
15,000,000 | 04/10/12 | Agreement with JP
Morgan, dated 03/28/07
to receive
semi-annually the
notional amount
multiplied by 4.96%
and to pay quarterly
the notional amount
multiplied by the 3
month USD-LIBOR-BBA. |
1,214,267 | |||||||||
5,000,000 | 08/12/41 | Agreement with
Greenwich Capital,
dated 12/01/06 to
receive monthly the
notional amount
multiplied by 0.75%
and to pay only in the
event of a write down,
or failure to pay a
principal payment or
an interest shortfall
on MSC 2006-T23 H. |
(5,631,929 | ) | ||||||||
5,000,000 | 10/12/41 | Agreement with
Greenwich Capital,
dated 12/01/06 to
receive monthly the
notional amount
multiplied by 0.75%
and to pay only in the
event of a write down,
or failure to pay a
principal payment or
an interest shortfall
on BSCMS 2006-T24 H. |
(3,304,930 | ) | ||||||||
5,000,000 | 02/11/44 | Agreement with Bear
Stearns, dated
06/01/07 to receive
monthly the notional
amount multiplied by
2.35% and to pay only
in the event of a
write down, or failure
to pay a principal
payment or an interest
shortfall on BSCMS
2007-PW15 H. |
(2,808,393 | ) | ||||||||
5,000,000 | 10/15/48 | Agreement with Bear
Stearns, dated
11/28/06 to receive
monthly the notional
amount multiplied by
0.75% and to pay only
in the event of a
write down, or failure
to pay a principal
payment or an interest
shortfall on WBCMT
2006-C28 J. |
(2,624,060 | ) | ||||||||
5,000,000 | 01/15/49 | Agreement with Bear
Stearns, dated
06/01/07 to receive
monthly the notional
amount multiplied by
2.45% and to pay only
in the event of a
write down, or failure
to pay a principal
payment or an interest
shortfall on CSMC
2007-C2 K. |
(2,782,733 | ) | ||||||||
5,000,000 | 11/12/49 | Agreement with Bear
Stearns, dated
06/01/07 to receive
monthly the notional
amount multiplied by
2.35% and to pay only
in the event of a
write down, or failure
to pay a principal
payment or an interest
shortfall on MSC
2007-T25 H. |
(2,776,678 | ) | ||||||||
$ | (18,857,215 | ) | ||||||||||
Notional | Cost at | Value at | Unrealized | |||||||||||||||
Amount | Type | Expiration Date | Trade Date | February 29, 2008 | Appreciation | |||||||||||||
$ | 9,300,000 | 5 Yr. U.S. Treasury Note
|
Jun 2008 | $ | 10,492,260 | $ | 10,625,250 | $ | 132,990 |
Notional | Cost at | Value at | Unrealized | |||||||||||||||
Amount | Type | Expiration Date | Trade Date | February 29, 2008 | Depreciation | |||||||||||||
$ | 2,700,000 | 10 Yr. U.S. Treasury Note
|
Jun 2008 | $ | 3,110,915 | $ | 3,166,594 | $ | (55,679 | ) |
By:
|
/s/ Clifford E. Lai | |||
Principal Executive Officer |
By:
|
/s/ Clifford E. Lai | |||
Principal Executive Officer | ||||
Date: April 24, 2008 | ||||
By:
|
/s/ Thomas F. Doodian | |||
Thomas F. Doodian | ||||
Treasurer and Principal Financial Officer |