Item 1. Schedule of Investments | ||||||||
Item 2. Controls and Procedures | ||||||||
Item 3. Exhibits | ||||||||
SIGNATURES | ||||||||
Certifications |
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 86.8% |
||||||||||||||||
U.S. Government Agency Pass-Through Certificates - 63.4% |
||||||||||||||||
Federal Home Loan Mortgage Corporation |
||||||||||||||||
Pool C69047 |
7.00 | % | 06/01/32 | $ | 859 | $ | 902,889 | |||||||||
Pool H01847 |
7.00 | 09/01/37 | 2,664 | 2,765,195 | ||||||||||||
Pool G01466 |
9.50 | 12/01/22 | 709 | 787,594 | ||||||||||||
Pool 555559 |
10.00 | 03/01/21 | 580 | 652,122 | ||||||||||||
5,107,800 | ||||||||||||||||
Federal National Mortgage Association |
||||||||||||||||
Pool 694391 |
5.50 | 03/01/33 | 3,215 | 3,192,594 | ||||||||||||
Pool 753914 |
5.50 | 12/01/33 | 5,758 | @ | 5,718,230 | |||||||||||
Pool 754355 |
6.00 | 12/01/33 | 2,321 | 2,355,430 | ||||||||||||
Pool 761836 |
6.00 | 06/01/33 | 2,359 | 2,397,726 | ||||||||||||
Pool 763643 |
6.00 | 01/01/34 | 4,856 | 4,921,907 | ||||||||||||
Pool 255413 |
6.50 | 10/01/34 | 5,376 | 5,554,718 | ||||||||||||
Pool 795367 |
6.50 | 09/01/34 | 1,876 | 1,938,444 | ||||||||||||
Pool 809989 |
6.50 | 03/01/35 | 2,092 | 2,156,202 | ||||||||||||
Pool 945836 |
6.50 | 08/01/37 | 4,389 | 4,493,572 | ||||||||||||
Pool 948362 |
6.50 | 08/01/37 | 4,267 | 4,369,186 | ||||||||||||
Pool 650131 |
7.00 | 07/01/32 | 1,071 | 1,129,127 | ||||||||||||
Pool 887431 |
7.50 | 08/01/36 | 322 | 337,239 | ||||||||||||
Pool 398800 |
8.00 | 06/01/12 | 269 | 281,029 | ||||||||||||
Pool 827854 |
8.00 | 10/01/29 | 1,257 | 1,364,494 | ||||||||||||
Pool 636449 |
8.50 | 04/01/32 | 1,236 | 1,358,586 | ||||||||||||
Pool 823757 |
8.50 | 10/01/29 | 2,299 | 2,521,130 | ||||||||||||
Pool 458132 |
9.48 | 03/15/31 | 1,019 | 1,135,405 | ||||||||||||
45,225,019 | ||||||||||||||||
Total U.S. Government Agency Pass-Through Certificates
(Cost $50,307,310) |
50,332,819 | |||||||||||||||
U.S. Treasury Obligations - 23.4% |
||||||||||||||||
United States Treasury Notes |
4.50 | 05/15/16 | 3,000 | 3,202,734 | ||||||||||||
United States Treasury Notes |
4.50 | 02/15/17 | 14,500 | @ | 15,354,137 | |||||||||||
Total U.S. Treasury Obligations
(Cost $17,159,103) |
18,556,871 | |||||||||||||||
Total U.S. Government & Agency Obligations
(Cost $67,466,413) |
68,889,690 | |||||||||||||||
ASSET-BACKED SECURITIES - 11.5% |
||||||||||||||||
Housing Related Asset-Backed Securities - 10.2% |
||||||||||||||||
Argent Securities Inc. |
||||||||||||||||
Series 2006-W5, Class A2B(a) (c) |
2.57 | | 06/25/36 | 120 | 112,353 | |||||||||||
Asset Backed Funding Certificates |
||||||||||||||||
Series 2005-AQ1, Class B1* (b) (e) |
5.75/6.25 | 06/25/35 | 993 | 468,350 | ||||||||||||
Series 2005-AQ1, Class B2* (b) (e) |
5.75/6.25 | 06/25/35 | 1,050 | 530,230 | ||||||||||||
998,580 | ||||||||||||||||
Asset Backed Securities Corp. Home Equity |
||||||||||||||||
Series 2006-HE3, Class A4(a) (c) |
2.64 | | 03/25/36 | 600 | 538,808 | |||||||||||
Carrington Mortgage Loan Trust |
||||||||||||||||
Series 2006-FRE2, Class A2(a) (c) |
2.59 | | 10/25/36 | 726 | 666,105 | |||||||||||
Credit-Based Asset Servicing and Securitization LLC |
||||||||||||||||
Series 2005-CB8, Class AF2(b) (c) |
5.30/7.05 | 12/25/35 | 490 | 465,388 | ||||||||||||
Fremont Home Loan Trust |
||||||||||||||||
Series 2006-B, Class 2A2(a) (c) |
2.57 | | 08/25/36 | 272 | 253,579 | |||||||||||
GSAMP Trust |
||||||||||||||||
Series 2006-HE5, Class A2B(a) (c) |
2.57 | 08/25/36 | 346 | 318,329 | ||||||||||||
HSI Asset Securitization Corp. Trust |
||||||||||||||||
Series 2006-HE2, Class 2A1(c) |
2.52 | 12/25/36 | 816 | 749,412 |
See notes to financial statements. |
1
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
||||||||||||||||
Mid-State Trust |
||||||||||||||||
Series 2004-1, Class M2 |
8.11 | % | 08/15/37 | $ | 1,101 | $ | 1,095,301 | |||||||||
Morgan Stanley Abs Capital |
||||||||||||||||
Series 2006-HE6, Class A2B(c) |
2.57 | 09/25/36 | 665 | 613,463 | ||||||||||||
Securitized Asset-Backed Receivables LLC Trust |
||||||||||||||||
Series 2005-HE1, Class A1A* (a) (c) (e) |
2.77 | | 10/25/35 | 855 | 820,487 | |||||||||||
Series 2005-FR5, Class A1A(a) (c) |
2.76 | | 08/25/35 | 747 | 712,098 | |||||||||||
1,532,585 | ||||||||||||||||
Specialty Underwriting & Residential Finance |
||||||||||||||||
Series 2006-AB2, Class A2B(a) (c) |
2.57 | | 06/25/37 | 225 | 215,869 | |||||||||||
Washington Mutual Asset Bkd |
||||||||||||||||
Series 2006-HE5, Class 2A1(c) |
2.53 | 10/25/36 | 568 | 527,534 | ||||||||||||
Total Housing Related Asset-Backed Securities
(Cost $9,072,132) |
8,087,306 | |||||||||||||||
Non-Housing Related Asset-Backed Securities - 1.3% |
||||||||||||||||
Airplanes Pass Through Trust |
||||||||||||||||
Series 1R, Class A8
(Cost $1,123,912) |
2.84 | | 03/15/19 | 1,208 | 1,063,438 | |||||||||||
Total Asset-Backed Securities
(Cost $10,196,044) |
9,150,744 | |||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES - 26.6% |
||||||||||||||||
Banc America Commercial Mortgage, Inc. |
||||||||||||||||
Series 2007-2, Class L* (e) |
5.37 | | 04/10/49 | 1,127 | 233,673 | |||||||||||
Series 2006-1, Class J* (e) |
5.78 | | 09/10/45 | 1,000 | 346,309 | |||||||||||
Series 2007-2, Class K* (e) |
5.88 | | 04/10/49 | 3,000 | 681,903 | |||||||||||
1,261,885 | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities |
||||||||||||||||
Series 2006-PW13, Class K* (e) |
5.26 | 09/11/41 | 347 | 87,756 | ||||||||||||
Series 2006-PW11, Class H* (e) |
5.63 | | 03/11/39 | 1,100 | 385,651 | |||||||||||
Series 2006-PW13, Class H* (e) |
6.23 | | 09/11/41 | 2,450 | 641,682 | |||||||||||
Series 1999-C1, Class D |
6.53 | 02/14/31 | 2,500 | 2,184,345 | ||||||||||||
3,299,434 | ||||||||||||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust |
||||||||||||||||
Series 2006-CD2, Class J* (e) |
5.65 | | 01/15/46 | 1,000 | 348,812 | |||||||||||
Credit Suisse Mortgage Capital Certificates |
||||||||||||||||
Series 2006-C4, Class L* (e) |
5.15 | 09/15/39 | 513 | 117,664 | ||||||||||||
Series 2006-C4, Class M* (e) |
5.15 | 09/15/39 | 565 | 111,699 | ||||||||||||
Series 2006-C1, Class K* (e) |
5.73 | | 02/15/39 | 2,358 | 837,878 | |||||||||||
Series 2006-C4, Class K* (e) |
6.30 | | 09/15/39 | 2,970 | 900,804 | |||||||||||
1,968,045 | ||||||||||||||||
GE Capital Commercial Mortgage Corp. |
||||||||||||||||
Series 2002-2A, Class G* (e) |
6.04 | 08/11/36 | 3,000 | 2,615,565 | ||||||||||||
Series 2002-2A, Class H* (e) |
6.31 | 08/11/36 | 2,000 | 1,726,636 | ||||||||||||
4,342,201 | ||||||||||||||||
GMAC Commercial Mortgage Securities |
||||||||||||||||
Series 2006-C1, Class G* (e) |
5.61 | | 01/24/45 | 2,500 | 1,171,863 | |||||||||||
JP Morgan Chase Commercial Mortgage Securities |
||||||||||||||||
Series 2003-LN1, Class G* (e) |
5.65 | | 10/15/37 | 1,600 | 1,096,318 | |||||||||||
Series 2006-CB14, Class H* (e) |
5.72 | | 12/12/44 | 1,211 | 429,976 | |||||||||||
Series 2007-LD11, Class K* (e) |
6.01 | | 06/15/49 | 1,879 | 464,286 | |||||||||||
1,990,580 | ||||||||||||||||
JP Morgan Mortgage Trust |
||||||||||||||||
Series 2007-CB18, Class G* (e) |
5.92 | | 06/12/47 | 600 | 185,192 |
See notes to financial statements. |
2
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
Morgan Stanley Capital I |
||||||||||||||||
Series 2006-WMC2, Class A2C(a) (c) |
2.65 | % | 07/25/36 | $ | 2,010 | $ | 1,214,611 | |||||||||
Series 2006-HE1, Class A3(a) (c) |
2.65 | | 01/25/36 | 1,335 | 1,217,405 | |||||||||||
Series 2004-HQ4, Class G* (e) |
5.53 | | 04/14/40 | 1,000 | 634,293 | |||||||||||
3,066,309 | ||||||||||||||||
UBS 400 Atlantic Street Mortgage Trust |
||||||||||||||||
Series 2002-C1A, Class B3* (e) |
7.19 | 01/11/22 | 2,000 | 2,126,800 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust |
||||||||||||||||
Series 2007-C31, Class L* (e) |
5.13 | 04/15/47 | 1,788 | 359,381 | ||||||||||||
Series 2005-C16, Class H* (e) |
5.54 | | 10/15/41 | 2,000 | 956,390 | |||||||||||
1,315,771 | ||||||||||||||||
Total Commercial Mortgage Backed
Securities
(Cost $39,580,252) |
21,076,892 | |||||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 19.7% |
||||||||||||||||
Subordinated Collateralized Mortgage Obligations - 19.7% |
||||||||||||||||
Banc of America Funding Corp. |
||||||||||||||||
Series 2005-2, Class B4 |
5.66 | 04/25/35 | 839 | 339,031 | ||||||||||||
Series 2005-2, Class B5 |
5.66 | 04/25/35 | 671 | 233,037 | ||||||||||||
Series 2005-2, Class B6 |
5.66 | 04/25/35 | 383 | 64,748 | ||||||||||||
636,816 | ||||||||||||||||
Bank of America Alternative Loan Trust |
||||||||||||||||
Series 2004-3, Class 30B4 |
5.50 | 04/25/34 | 963 | 188,087 | ||||||||||||
Series 2004-3, Class 30B5 |
5.50 | 04/25/34 | 544 | 13,678 | ||||||||||||
201,765 | ||||||||||||||||
Bank of America Mortgage Securities, Inc. |
||||||||||||||||
Series 2004-A, Class B4 |
4.01 | | 02/25/34 | 1,433 | 862,953 | |||||||||||
Series 2003-10, Class 1B4 |
5.50 | 01/25/34 | 533 | 329,969 | ||||||||||||
Series 2002-10, Class 1B3 |
6.00 | 11/25/32 | 1,344 | 1,267,861 | ||||||||||||
Series 2007-4, Class B3 |
6.19 | 12/28/37 | 247 | 21,019 | ||||||||||||
2,481,802 | ||||||||||||||||
Cendant Mortgage Corp. |
||||||||||||||||
Series 2002-4, Class B1 |
6.50 | 07/25/32 | 2,326 | 2,179,383 | ||||||||||||
Series 2002-4, Class B2 |
6.50 | 07/25/32 | 930 | 871,754 | ||||||||||||
Series 2002-4, Class B3 |
6.50 | 07/25/32 | 543 | 492,052 | ||||||||||||
Series 2002-4, Class B4 |
6.50 | 07/25/32 | 312 | 274,739 | ||||||||||||
Series 2002-4, Class B5 |
6.50 | 07/25/32 | 234 | 180,186 | ||||||||||||
Series 2002-4, Class B6* (e) |
6.50 | 07/25/32 | 312 | 171,606 | ||||||||||||
4,169,720 | ||||||||||||||||
Countrywide Home Loans |
||||||||||||||||
Series 2003-J13, Class B3 |
5.22 | | 01/25/34 | 348 | 173,861 | |||||||||||
Series 2003-J13, Class B5 |
5.22 | | 01/25/34 | 262 | 39,239 | |||||||||||
Series 2007-11, Class B2 |
6.00 | 08/25/37 | 496 | 91,002 | ||||||||||||
Series 2007-17, Class B1 |
6.24 | | 10/25/37 | 569 | 193,442 | |||||||||||
497,544 | ||||||||||||||||
Fieldstone Mortgage Investment Corp. |
||||||||||||||||
Series 2006-3, Class 2A3(a) (c) |
2.63 | | 11/25/36 | 1,105 | 646,522 | |||||||||||
First Horizon Alternative Mortgage Securities |
||||||||||||||||
Series 2005-AA6, Class B4 |
5.34 | | 08/25/35 | 839 | 41,959 | |||||||||||
Series 2005-AA6, Class B5 |
5.34 | | 08/25/35 | 790 | 23,695 | |||||||||||
Series 2005-AA6, Class B6 |
5.34 | | 08/25/35 | 45 | 1,119 | |||||||||||
66,773 | ||||||||||||||||
See notes to financial statements. |
3
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
First Horizon Mortgage Pass-Through Trust |
||||||||||||||||
Series 2005-4, Class B4* (e) |
5.45 | % | 07/25/35 | $ | 405 | $ | 101,312 | |||||||||
Series 2005-5, Class B4* (e) |
5.46 | | 10/25/35 | 697 | 48,799 | |||||||||||
Series 2005-5, Class B5* (e) |
5.46 | | 10/25/35 | 222 | 8,897 | |||||||||||
159,008 | ||||||||||||||||
Harborview Mortgage Loan Trust |
||||||||||||||||
Series 2005-1, Class B4* (a) (e) |
4.22 | | 03/19/35 | 471 | 57,384 | |||||||||||
Series 2005-1, Class B5* (a) (e) |
4.22 | | 03/19/35 | 685 | 13,691 | |||||||||||
Series 2005-1, Class B6* (a) (e) |
4.22 | | 03/19/35 | 209 | 1,045 | |||||||||||
Series 2005-2, Class B4* (a) (e) |
4.22 | | 05/19/35 | 1,222 | 61,092 | |||||||||||
Series 2005-9, Class B11* (a) (e) |
4.22 | | 06/20/35 | 491 | 98,151 | |||||||||||
Series 2005-14, Class B4* (a) (e) |
5.61 | | 12/19/35 | 391 | 15,659 | |||||||||||
247,022 | ||||||||||||||||
IXIS Real Estate Capital Trust |
||||||||||||||||
Series 2006-HE3, Class A1(a) (c) |
2.52 | | 01/25/37 | 120 | 117,895 | |||||||||||
Series 2006-HE1, Class A3(c) |
2.67 | | 03/25/36 | 342 | 321,474 | |||||||||||
439,369 | ||||||||||||||||
JP Morgan Alternative Loan Trust |
||||||||||||||||
Series 2006-S1, Class 3A1A |
5.35 | | 03/25/36 | 945 | 924,953 | |||||||||||
JP Morgan Mortgage Trust |
||||||||||||||||
Series 2003-A1, Class B4 |
4.47 | | 10/25/33 | 529 | 116,466 | |||||||||||
Series 2006-A6, Class B5 |
6.00 | | 10/25/36 | 912 | 18,238 | |||||||||||
Series 2006-A6, Class B6 |
6.00 | | 10/25/36 | 810 | 6,885 | |||||||||||
141,589 | ||||||||||||||||
RAAC Series |
||||||||||||||||
Series 2005-SP1, Class M3 |
5.51 | | 09/25/34 | 307 | 139,160 | |||||||||||
Residential Funding Mortgage Securities I, Inc. |
||||||||||||||||
Series 2006-SA1, Class B2* (e) |
1.00 | | 02/25/36 | 641 | 2,435 | |||||||||||
Series 2004-S1, Class B2 |
5.25 | 02/25/34 | 431 | 109,742 | ||||||||||||
Series 2003-S7, Class B2 |
5.50 | 05/25/33 | 302 | 169,235 | ||||||||||||
Series 2003-S7, Class B3 |
5.50 | 05/25/33 | 499 | 59,823 | ||||||||||||
341,235 | ||||||||||||||||
Resix Finance Limited Credit-Linked Note |
||||||||||||||||
Series 2005-C, Class B7* (e) |
5.56 | | 09/10/37 | 1,914 | 865,974 | |||||||||||
Series 2004-C, Class B7* (e) |
5.96 | | 09/10/36 | 941 | 611,228 | |||||||||||
Series 2006-C, Class B9* (e) |
6.62 | | 07/15/38 | 1,494 | 177,296 | |||||||||||
Series 2004-B, Class B8* (e) |
7.21 | | 02/10/36 | 758 | 439,728 | |||||||||||
Series 2003-CB1, Class B8* (e) |
9.21 | | 06/10/35 | 689 | 566,579 | |||||||||||
Series 2004-B, Class B9* (e) |
10.71 | | 02/10/36 | 1,162 | 768,637 | |||||||||||
Series 2004-A, Class B10* (e) |
13.96 | | 02/10/36 | 464 | 335,508 | |||||||||||
3,764,950 | ||||||||||||||||
Structured Asset Securities Corporation |
||||||||||||||||
Series 2005-6, Class B5 |
5.34 | | 05/25/35 | 477 | 57,268 | |||||||||||
Series 2005-6, Class B6 |
5.34 | | 05/25/35 | 477 | 28,634 | |||||||||||
Series 2005-6, Class B7 |
5.34 | | 05/25/35 | 244 | 3,335 | |||||||||||
89,237 | ||||||||||||||||
Washington Mutual Mortgage Securities Corp. |
||||||||||||||||
Series 2005-AR2, Class B10* (a) (e) |
3.67 | | 01/25/45 | 1,350 | 264,014 | |||||||||||
Series 2005-AR2, Class B9(a) |
3.67 | | 01/25/45 | 565 | 56,468 | |||||||||||
Series 2002-AR12, Class B4 |
7.20 | | 10/25/32 | 70 | 59,232 | |||||||||||
Series 2002-AR12, Class B5 |
7.20 | | 10/25/32 | 53 | 44,974 | |||||||||||
Series 2002-AR12, Class B6 |
7.20 | | 10/25/32 | 88 | 7,013 | |||||||||||
431,701 | ||||||||||||||||
See notes to financial statements. |
4
Principal | ||||||||||||||||
Interest | Amount | |||||||||||||||
Rate | Maturity | (000s) | Value | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust |
||||||||||||||||
Series 2002-10, Class B5 |
6.00 | % | 06/25/32 | $ | 326 | $ | 282,954 | |||||||||
Total Subordinated Collateralized Mortgage Obligations
(Cost $32,762,584) |
15,662,120 | |||||||||||||||
Total Non-Agency Residential Mortgage Backed Securities
(Cost $32,762,584) |
15,662,120 | |||||||||||||||
SHORT TERM INVESTMENTS - 7.2% |
||||||||||||||||
Federal Home Loan Bank Discount Notes(d) |
1.95 | 09/02/08 | 5,200 | 5,199,718 | ||||||||||||
State Street Euro Dollar Time Deposit |
0.50 | 09/02/08 | 433 | 433,000 | ||||||||||||
United States Treasury Bill |
1.91 | 09/18/08 | 100 | # | 99,929 | |||||||||||
Total Short Term Investments
(Cost $5,732,630) |
5,732,647 | |||||||||||||||
Total Investments - 151.8% |
120,512,093 | |||||||||||||||
Liabilities in Excess of Other Assets (51.8)% |
(41,136,276 | ) | ||||||||||||||
NET ASSETS - 100.0% |
$ | 79,375,817 | ||||||||||||||
@ | | Portion or entire principal amount delivered as collateral for reverse repurchase agreements. |
| | Variable Rate Security Interest Rate is in effect as of August 31, 2008. |
# | | Portion or entire principal delivered as collateral for futures contracts. 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. As of August 31, 2008, the total value of all such Investments was $22,888,633 or 28.84% of net assets. |
(a) | | Security is a step up bond where coupon increases or steps up at a predetermined date. At that date the coupon increases 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) | | Investment in sub-prime security. As of August 31, 2008 the total value of all such investments was $9,511,331 or 11.98% of net assets. |
(d) | | Zero Coupon Note Interest rate represents current yield to maturity. |
(e) | | Private Placement. |
See notes to financial statements. |
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 |
$ | 0 | $ | 7,580 | ||||
Level 2 Other Significant Observable Inputs |
120,512,093 | (19,853,669 | ) | |||||
Level 3 Significant Unobservable Inputs |
0 | 0 | ||||||
Total |
$ | 120,512,093 | $ | (19,846,089 | ) | |||
* | 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 |
(425,174 | ) | | |||||
Realized gain (loss) |
67,850 | | ||||||
Change in unrealized appreciation (depreciation) |
439,446 | | ||||||
Net purchases (sales) |
(4,223,322 | ) | | |||||
Transfers in and/or out of Level 3 |
(1,238,730 | ) | | |||||
Balance as of August 31, 2008 |
$ | | $ | | ||||
Maturity | ||||||
Face Value | Description | Amount | ||||
$15,678,125 |
Merrill Lynch 2.00%, dated 08/19/08, maturity date 09/09/08 | $ | 15,696,416 | |||
5,255,000 |
Credit Suisse 2.45%, dated 08/12/08, maturity date 09/16/08 | 5,267,517 | ||||
$20,933,125 |
||||||
Maturity Amount, Including Interest Payable | $ | 20,963,933 | ||||
Market Value of Assets Sold Under Agreements | $ | 21,072,367 | ||||
Weighted Average Interest Rate | 2.11 | % | ||||
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. | $ | (37,431 | ) | |||
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. | (51,354 | ) | ||||
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. | 816,804 | |||||
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. | (3,426,886 | ) | ||||
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. | (3,024,165 | ) |
Net Unrealized | ||||||||
Expiration | Appreciation / | |||||||
Notional Amount | Date | Description | Depreciation | |||||
$ 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. | $ | (3,510,024 | ) | |||
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. | (3,429,380 | ) | ||||
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. | (3,515,096 | ) | ||||
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. | (3,479,564 | ) | ||||
$ | (19,657,096 | ) | ||||||
Notional | Cost at | Value at | Unrealized | |||||||||||||
Amount | Type | Expiration Date | Trade Date | August 31, 2008 | Appreciation | |||||||||||
$8,100,000
|
5 Yr. U.S. Treasury Note | December 2008 | $ | 9,059,951 | $ | 9,066,938 | $ | 6,987 |
Notional | Cost at | Value at | Unrealized | |||||||||||||
Amount | Type | Expiration Date | Trade Date | August 31, 2008 | Appreciation | |||||||||||
$2,500,000
|
10 Yr. U.S. Treasury Note | December 2008 | $ | 2,888,094 | $ | 2,887,500 | $ | 594 |
by (Signature and Title):
|
/s/ Clifford E. Lai
|
|||
President | ||||
Date:
|
October 20, 2008 |
by (Signature and Title):
|
/s/ Clifford E. Lai
|
|||
President | ||||
Date:
|
October 20, 2008 | |||
by (Signature and Title):
|
/s/ Thomas F. Doodian
|
|||
Treasurer | ||||
Date:
|
October 20, 2008 |