As filed with the U.S. Securities and Exchange Commission on December 19, 2008
File No. 333-
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-14
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 x
Pre-Effective Amendment No.
Post-Effective Amendment No.
JPMorgan Insurance Trust
(Exact Name of Registrant as Specified in Charter)
1111 Polaris Parkway
Columbus, Ohio 43240
(Address of Principal Executive Offices)
(800) 480-4111
(Registrant’s Area Code and Telephone Number)
Frank J. Nasta, Esq.
J.P. Morgan Investment Management Inc.
245 Park Avenue
New York, NY 10167
(Name and Address of Agent for Service)
With copies to: | With copies to: |
AS SOON AS PRACTICABLE AFTER THE EFFECTIVE DATE OF THIS REGISTRATION STATEMENT
(Approximate Date of Proposed Public Offering)
TITLE OF SECURITIES BEING REGISTERED:
Shares of beneficial interest of Registrant
Calculation of Registration Fee under the Securities Act of 1933: No filing fee is due because of reliance on Section 24(f) of the Investment Company Act of 1940, which permits registration of an indefinite number of securities.
It is proposed that this filing will become effective on January 17, 2009 pursuant to Rule 488 under the Securities Act of 1933.
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Columbus, Ohio 43240
“JPMorgan Insurance Portfolios” or the “Acquiring Portfolios”)
JPMorgan Bond Portfolio
JPMorgan International Equity Portfolio
JPMorgan Mid Cap Value Portfolio
JPMorgan Small Company Portfolio
JPMorgan U.S. Large Cap Core Equity Portfolio
New York, New York 10167
JPMorgan Insurance Trust Government Bond Portfolio
Columbus, Ohio 43240
Series Trust II Portfolios, the “Acquired Portfolios”)
Portfolio listed opposite Your Portfolio’s name in the following chart in exchange for shares of the corresponding Portfolio:
Acquired Portfolio | Corresponding JPMorgan Insurance Portfolio | |||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio (to be renamed JPMorgan Insurance Trust Mid Cap Value Portfolio if the Reorganization is approved) | |||||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio (to be renamed JPMorgan Insurance Trust Small Cap Core Portfolio if the Reorganization is approved) | |||||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio (to be renamed JPMorgan Insurance Trust U.S. Equity Portfolio if the Reorganization is approved) | |||||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
To vote by Telephone: | To vote by Internet | |||||
---|---|---|---|---|---|---|
(1) Read the Proxy Statement/Prospectus and have your voting instructions card at hand. | (1) Read the Proxy Statement/Prospectus and have your voting instructions card at hand. | |||||
(2) Call the 1-800 number that appears on your voting instructions card. | (2) Go to the website on your voting instructions card. | |||||
(3) Enter the control number set forth on the voting instructions card and follow the simple instructions. | (3) Enter the control number set forth on the voting instructions card and follow the simple instructions. |
President
JPMorgan Insurance Trust and J.P. Morgan Series Trust II
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Columbus, Ohio 43240
“JPMorgan Insurance Portfolios” or the “Acquiring Portfolios”)
JPMorgan Bond Portfolio
JPMorgan International Equity Portfolio
JPMorgan Mid Cap Value Portfolio
JPMorgan Small Company Portfolio
JPMorgan U.S. Large Cap Core Equity Portfolio
New York, New York 10167
JPMorgan Insurance Trust Government Bond Portfolio
Columbus, Ohio 43240
Series Trust II Portfolios, the “Acquired Portfolios”)
To Be Held on April 1, 2009
chart (each a “Reorganization” and, collectively, the “Reorganizations”) and (ii) the subsequent liquidation of the Acquired Portfolio; and
Acquired Portfolio | Corresponding JPMorgan Insurance Portfolio | |||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | |||||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
To vote by Telephone: | To vote by Internet | |||||
---|---|---|---|---|---|---|
(1) Read the Proxy Statement/Prospectus and have your voting instructions card at hand. | (1) Read the Proxy Statement/Prospectus and have your voting instructions card at hand. | |||||
(2) Call the 1-800 number that appears on your voting instructions card. | (2) Go to the website on your voting instructions card. | |||||
(3) Enter the control number set forth on the voting instructions card and follow the simple instructions. | (3) Enter the control number set forth on the voting instructions card and follow the simple instructions. |
Frank J. Nasta | Jessica K. Ditullio | |||||
Secretary | Secretary | |||||
JPMorgan Insurance Trust | J.P. Morgan Series Trust II |
JPMorgan Bond Portfolio
JPMorgan International Equity Portfolio
JPMorgan Mid Cap Value Portfolio
JPMorgan Small Company Portfolio
JPMorgan U.S. Large Cap Core Equity Portfolio
New York, New York 10167
(800) 480-4111
JPMorgan Insurance Trust Government Bond Portfolio
Columbus, Ohio 43240
(800) 480-4111
Series Trust II Portfolios, the “Acquired Portfolios”)
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Columbus, Ohio 43240
(800) 480-4111
“JPMorgan Insurance Portfolios” or the “Acquiring Portfolios”)
Combined Special Meeting of shareholders of JPMorgan Bond Portfolio, JPMorgan International Equity Portfolio, JPMorgan Mid Cap Value Portfolio, JPMorgan Small Company Portfolio, and JPMorgan U.S. Large Cap Core Equity Portfolio, each a series of J. P. Morgan Series Trust II, and Government Bond Portfolio, a series of the JPMorgan Insurance Trust (the “Meeting”). The Meeting will be held on Wednesday, April 1, 2009, at 9:00 a.m., Eastern time, at the offices of J.P. Morgan Investment Management Inc. (“JPMIM”), 245 Park Avenue, New York, New York 10167.
Acquired Portfolio | Corresponding JPMorgan Insurance Portfolio | |||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||
JPMorgan International Equity Portfolio | �� | JPMorgan Insurance Trust International Equity Portfolio | ||||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | |||||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
publicinfo@sec.gov, or by writing the SEC’s Public Reference Section, 100 F Street N.E., Washington, D.C. 20549.
Page | ||||||
---|---|---|---|---|---|---|
PROPOSAL | 1 | |||||
SUMMARY | 3 | |||||
Proposed Reorganizations | 3 | |||||
Effect of Proposed Reorganizations of Series Trust II Portfolios and the Government Bond Portfolio | 6 | |||||
Comparison of Investment Objectives and Primary Investment Strategies | 6 | |||||
Comparison of Fees and Expenses | 11 | |||||
Comparison of Sales Load, Distribution and Shareholder Servicing Arrangements | 23 | |||||
Comparison of Purchase, Redemption and Exchange Policies and Procedures | 23 | |||||
COMPARISON OF INVESTMENT OBJECTIVES, STRATEGIES AND PRINCIPAL RISKS OF INVESTING IN THE PORTFOLIOS | 23 | |||||
Principal Risks of Investing in the Portfolios | 31 | |||||
Investment Restrictions | 37 | |||||
INFORMATION ABOUT THE REORGANIZATIONS | 38 | |||||
The Reorganization Agreements | 38 | |||||
Description of the Acquiring Portfolios’ Shares | 39 | |||||
Reasons for the Reorganizations and Board Considerations | 40 | |||||
Federal Income Tax Consequences | 42 | |||||
INFORMATION ABOUT MANAGEMENT OF THE ACQUIRING PORTFOLIOS | 44 | |||||
Additional Compensation to Financial Intermediaries | 45 | |||||
Performance of the Acquiring Portfolios and Certain Acquired Portfolios | 46 | |||||
ADDITIONAL INFORMATION ABOUT THE ACQUIRING PORTFOLIOS AND ACQUIRED PORTFOLIOS | 55 | |||||
Financial Highlights | 55 | |||||
Distributor | 55 | |||||
Administrator | 56 | |||||
FORM OF ORGANIZATION | 56 | |||||
CAPITALIZATION | 56 | |||||
DIVIDENDS AND DISTRIBUTIONS | 61 | |||||
OTHER BUSINESS | 61 | |||||
SHAREHOLDER COMMUNICATIONS WITH THE BOARD | 61 |
Page | ||||||
---|---|---|---|---|---|---|
VOTING INFORMATION | 62 | |||||
Proxy Solicitation | 63 | |||||
Quorum | 64 | |||||
Vote Required | 64 | |||||
Adjournments | 64 | |||||
Effect of Abstentions and Broker “Non-Votes” | 65 | |||||
Record Date, Outstanding Shares and Interests of Certain Persons | 65 | |||||
LEGAL MATTERS | 67 | |||||
APPENDIX A — Legal Proceedings | A-1 | |||||
APPENDIX B — Form of Reorganization Agreement Among J.P. Morgan Series Trust II Portfolios and JPMorgan Insurance Trust Portfolios | B-1 | |||||
APPENDIX C — Form of Reorganization Agreement Between JPMorgan Insurance Trust Government Bond Portfolio and JPMorgan Insurance Trust Core Bond Portfolio | C-1 | |||||
APPENDIX D — How to Do Business with the JPMorgan Insurance Trust Portfolios | D-1 | |||||
APPENDIX E — Comparison of Investment Objectives, Main Investment Strategies and Investment Restrictions, Information Regarding Portfolio Managers and Acquiring Portfolios’ Investment Processes | E-1 | |||||
APPENDIX F — Financial Highlights | F-1 | |||||
APPENDIX G — Similarities and Differences in the Forms of Organization of J.P. Morgan Series Trust II and JPMorgan Insurance Trust | G-1 |
OF REORGANIZATION
In addition, management has committed to waiving its fees or reimbursing the Acquiring Portfolios in order to maintain the net expense ratios of the Acquiring Portfolios at the same or lower level until April 30, 2010.
in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. Brokerage fees and expenses associated with each Reorganization, however, will be borne by the Portfolios.
Acquired Portfolio | Corresponding JPMorgan Insurance Portfolio | |||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio (to be renamed JPMorgan Insurance Trust Mid Cap Value Portfolio if the Reorganization is approved) | |||||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio (to be renamed JPMorgan Insurance Trust Small Cap Core Portfolio if the Reorganization is approved) | |||||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio (to be renamed JPMorgan Insurance Trust U.S. Equity Portfolio if the Reorganization is approved) | |||||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
CONTRACT HOLDER SERVICING ARRANGEMENTS below as well as “How to Do Business with the Portfolios” in Appendix D.
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
instrumentalities. As a matter of fundamental policy, the JPMorgan Insurance Trust Core Bond Portfolio will invest at least 80% of its Assets in bonds. For purposes of these policies, “Assets” means net assets, plus the amount of borrowings for investment purposes.
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio*
* | To be renamed JPMorgan Insurance Trust Mid Cap Value Portfolio if the Reorganization is approved. |
the JPMorgan Insurance Trust Mid Cap Value Portfolio and also in the JPMorgan Insurance Trust Mid Cap Value Portfolio holding fewer securities after the Reorganization. |
JPMorgan Insurance Trust Small Cap Equity Portfolioˆ
JPMorgan Insurance Trust Diversified Equity Portfolio#
ˆ | To be renamed JPMorgan Insurance Trust Small Cap Core Portfolio if the Reorganization is approved. |
# | To be renamed JPMorgan Insurance Trust U.S. Equity Portfolio if the Reorganization is approved. |
securities of U.S. companies. The Portfolio primarily invests in large- and medium-capitalization U.S. companies, but does not specify a particular market capitalization minimum. For the purposes of these policies, “Assets” means net assets, plus the amount of borrowings for investment purposes. Both Portfolios’ weightings, sector by sector, are similar to those of the S&P 500 Index, and both Portfolios can moderately underweight or overweight sectors when they believe it will benefit performance. |
ANNUAL FUND OPERATING EXPENSES (%) (expenses that are deducted from Fund assets) | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Bond Portfolio only)* | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Insurance Trust Government Portfolio only)* | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with both JPMorgan Bond Portfolio and JPMorgan Insurance Trust Government Portfolio)* | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Shares | Class 1 Shares | Class 1 Shares | Class 1 Shares | Class 1 Shares | ||||||||||||||||||||||
Management Fee | 0.30 | 0.40 | 0.40 | 0.40 | 0.40 | 0.40 | ||||||||||||||||||||
Distribution (Rule 12b-1) Fees | None | None | None | None | None | None | ||||||||||||||||||||
Shareholder Service Fees | None | None | None | None | None | None | ||||||||||||||||||||
Other Expenses | 0.83 | 1 | 0.20 | 1 | 0.25 | 1 | 0.29 | 0.20 | 0.23 | |||||||||||||||||
Acquired Fund Fees and Expenses | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||||||||
Total Annual Operating Expenses | 1.14 | 2 | 0.61 | 2 | 0.66 | 2 | 0.70 | 0.61 | 0.64 | |||||||||||||||||
Fee Waiver and/or Expense Reimbursement | (0.53 | )3 | (0.00 | )4 | (0.05 | )5 | (0.09 | )6 | (0.00 | )7 | (0.03 | )8 | ||||||||||||||
Net Expenses | 0.61 | 0.61 | 0.61 | 0.61 | 0.61 | 0.61 |
* | Because both the JPMorgan Bond Portfolio and JPMorgan Insurance Trust Government Bond Portfolio may be reorganized with and into the JPMorgan Insurance Trust Core Bond Portfolio, the pro forma columns represent the three possibilities that may result from the vote of the shareholders: (1) shareholders approve the JPMorgan Bond Portfolio Reorganization but do not approve the JPMorgan Insurance Trust Government Bond Portfolio Reorganization; (2) shareholders approve the JPMorgan Insurance Trust Government Bond Portfolio Reorganization but do not approve the JPMorgan Bond Portfolio Reorganization; or (3) shareholders approve both the JPMorgan Bond Portfolio Reorganization and the JPMorgan Insurance Trust Government Bond Portfolio Reorganization. |
1 | “Other Expenses” are based on the actual amounts incurred during the 12 months ended June 30, 2008. |
2 | The Total Annual Operating Expenses included in the fee table are different from the ratio of expenses to average net assets that appear in the Financial Highlights. The Financial Highlights are based on a fiscal year ended December 31, 2007, and do not include Acquired Fund Fees and Expenses. |
3 | JPMorgan Funds Management, Inc. has contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses) |
exceed 0.60% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 1.13%, and Net Expenses would have been 0.60%, of the average daily net assets. |
4 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.60% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.60% of the average daily net assets for Class 1 Shares. |
5 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.60% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.65%, and Net Expenses would have been 0.60%, of the average daily net assets for Class 1 Shares. |
6 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.60% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.69%, and Net Expenses would have been 0.60%, of the average daily net assets for Class 1 Shares. |
7 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.60% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.60% of the average daily net assets for Class 1 Shares. |
8 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.60% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.63%, and Net Expenses would have been 0.60%, of the average daily net assets for Class 1 Shares. |
• | 5% return each year, |
• | net expenses through the expiration of each Portfolio’s and each Combined Portfolio’s contractual expense caps, respectively, and total annual operating expense thereafter, and |
• | all dividends and distributions are reinvested |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | $ | 62 | $ | 310 | $ | 576 | $ | 1,339 | ||||||||||
JPMorgan Insurance Trust Government Bond Portfolio | $ | 62 | $ | 195 | $ | 340 | $ | 762 | ||||||||||
JPMorgan Insurance Trust Core Bond Portfolio | $ | 62 | $ | 206 | $ | 363 | $ | 818 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Bond Portfolio only) | $ | 62 | $ | 215 | $ | 381 | $ | 862 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Insurance Trust Government Bond Portfolio only) | $ | 62 | $ | 195 | $ | 340 | $ | 762 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Core Bond Portfolio (with both JPMorgan Bond Portfolio and JPMorgan Insurance Trust Government Bond Portfolio) | $ | 62 | $ | 202 | $ | 354 | $ | 796 |
JPMorgan Insurance Trust International Equity Portfolio
ANNUAL FUND OPERATING EXPENSES (%) (expenses that are deducted from Fund assets) | JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | Pro Forma JPMorgan Insurance Trust International Equity Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Shares* | Class 1 Shares | |||||||||||||
Management Fee | 0.60 | 0.60 | 0.60 | |||||||||||
Distribution (Rule 12b-1) Fees | None | None | None | |||||||||||
Shareholder Service Fees | None | None | None | |||||||||||
Other Expenses | 0.62 | 1 | 1.60 | 0.34 | ||||||||||
Acquired Fund Fees and Expenses | None | None | None | |||||||||||
Total Annual Operating Expenses | 1.22 | 2 | 2.20 | 0.94 | ||||||||||
Fee Waiver and/or Expense Reimbursement | (0.13 | )3 | (1.17 | )4 | (0.00 | )5 | ||||||||
Net Expenses | 1.09 | 1.03 | 0.94 |
* | Class 1 shares are a newly created class of JPMorgan Insurance Trust International Equity Portfolio. “Other Expenses” are based on estimates. |
1 | “Other Expenses” are based on the actual amounts incurred during the 12 months ended June 30, 2008. |
2 | The Total Annual Operating Expenses included in the fee table are different from the ratio of expenses to average net assets that appear in the Financial Highlights. The Financial Highlights are based on a fiscal year ended December 31, 2007. |
3 | JPMorgan Funds Management, Inc. has contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses) exceed 1.09% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
4 | JPMIM and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 1.03% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
5 | JPMIM and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 1.03% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
• | 5% return each year, |
• | net expenses through the expiration of each Portfolio’s and the Combined Portfolio’s contractual expense caps, respectively, and total annual operating expense thereafter, and |
• | all dividends and distributions are reinvested |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan International Equity Portfolio | $ | 111 | $ | 374 | $ | 658 | $ | 1,466 | ||||||||||
JPMorgan Insurance Trust International Equity Portfolio | $ | 105 | $ | 575 | $ | 1,072 | $ | 2,442 | ||||||||||
Pro Forma: JPMorgan Insurance Trust International Equity Portfolio | $ | 96 | $ | 300 | $ | 520 | $ | 1,155 |
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
ANNUAL FUND OPERATING EXPENSES (%) (expenses that are deducted from Fund assets) | JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | Pro Forma JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Shares | Class 1 Shares | |||||||||||||
Management Fee | 0.70 | 0.65 | 0.65 | |||||||||||
Distribution (Rule 12b-1) Fees | None | None | None | |||||||||||
Shareholder Service Fees | None | None | None | |||||||||||
Other Expenses | 0.55 | 1 | 0.43 | 1 | 0.19 | |||||||||
Acquired Fund Fees and Expenses | 0.01 | None | 0.01 | |||||||||||
Total Annual Operating Expenses | 1.26 | 2 | 1.08 | 2 | 0.85 | |||||||||
Fee Waiver and/or Expense Reimbursement | (0.00 | )3 | (0.18 | )4 | (0.00 | )5 | ||||||||
Net Expenses | 1.26 | 0.90 | 0.85 |
1 | “Other Expenses” are based on the actual amounts incurred during the 12 months ended June 30, 2008. |
2 | The Total Annual Operating Expenses included in the fee table are different from the ratio of expenses to average net assets that appear in the Financial Highlights. The Financial Highlights are based on a fiscal year ended December 31, 2007, and do not include Acquired Fund Fees and Expenses. |
3 | JPMorgan Funds Management, Inc. has contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses) exceed 1.25% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 1.25% of the average daily net assets. |
4 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.90% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
5 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.90% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.84% of the average daily net assets for Class 1 Shares. |
• | 5% return each year, |
• | net expenses through the expiration of each Portfolio’s and the Combined Portfolio’s contractual expense caps, respectively, and total annual operating expense thereafter, and |
• | all dividends and distributions are reinvested |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Mid Cap Value Portfolio | $ | 128 | $ | 400 | $ | 692 | $ | 1,523 | ||||||||||
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | $ | 92 | $ | 326 | $ | 578 | $ | 1,301 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | $ | 87 | $ | 271 | $ | 471 | $ | 1,049 |
JPMorgan Insurance Trust Small Cap Equity Portfolio
ANNUAL FUND OPERATING EXPENSES (%) (expenses that are deducted from Fund assets) | JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | Pro Forma JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Shares* | Class 1 Shares | |||||||||||||
Management Fee | 0.60 | 0.65 | 0.65 | |||||||||||
Distribution (Rule 12b-1) Fees | None | None | None | |||||||||||
Shareholder Service Fees | None | None | None | |||||||||||
Other Expenses | 0.55 | 1 | 2.98 | 0.34 | ||||||||||
Acquired Fund Fees and Expenses | 0.01 | 0.01 | 0.01 | |||||||||||
Total Annual Operating Expenses | 1.16 | 2 | 3.64 | 2 | 1.00 | |||||||||
Fee Waiver and/or Expense Reimbursement | (0.07 | )3 | (2.60 | )4 | (0.00 | )5 | ||||||||
Net Expenses | 1.09 | 1.04 | 1.00 |
* | Class 1 shares are a newly created class of JPMorgan Insurance Trust Small Cap Equity Portfolio. “Other Expenses” are based on estimates. |
1 | “Other Expenses” are based on the actual amounts incurred during the 12 months ended June 30, 2008. |
2 | The Total Annual Operating Expenses included in the fee table are different from the ratio of expenses to average net assets that appear in the Financial Highlights. The Financial Highlights are based on a fiscal year ended December 31, 2007, and do not include Acquired Fund Fees and Expenses. |
3 | JPMorgan Funds Management, Inc. has contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses) exceed 1.08% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 1.15%, and Net Expenses would have been 1.08%, of the average daily net assets. |
4 | JPMIM and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 1.03% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would |
have been 3.63% and Net Expenses would have been 1.03% of the average daily nets assets for Class 1 Shares. |
5 | JPMIM and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 1.03% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. Without the Acquired Fund Fees and Expenses, the Total Annual Operating Expenses of the Portfolio would have been 0.99% of the average daily nets assets for Class 1 Shares. |
• | 5% return each year, |
• | net expenses through the expiration of each Portfolio’s and the Combined Portfolio’s contractual expense caps, respectively, and total annual operating expense thereafter, and |
• | all dividends and distributions are reinvested |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Small Company Portfolio | $ | 111 | $ | 362 | $ | 632 | $ | 1,403 | ||||||||||
JPMorgan Insurance Trust Small Cap Equity Portfolio | $ | 106 | $ | 873 | $ | 1,661 | $ | 3,728 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Small Cap Equity Portfolio | $ | 102 | $ | 318 | $ | 552 | $ | 1,225 |
JPMorgan Insurance Trust Diversified Equity Portfolio
ANNUAL FUND OPERATING EXPENSES (%) (expenses that are deducted from Fund assets) | JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | Pro Forma JPMorgan Insurance Trust Diversified Equity Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Shares | Class 1 Shares | |||||||||||||
Management Fee | 0.35 | 0.55 | 0.55 | |||||||||||
Distribution (Rule 12b-1) Fees | None | None | None | |||||||||||
Shareholder Service Fees | None | None | None | |||||||||||
Other Expenses | 0.50 | 1 | 0.17 | 1 | 0.18 | |||||||||
Acquired Fund Fees and Expenses | None | None | None | |||||||||||
Total Annual Operating Expenses | 0.85 | 2 | 0.72 | 2 | 0.73 | |||||||||
Fee Waiver and/or Expense Reimbursement | (0.00 | )3 | (0.00 | )4 | (0.00 | )5 | ||||||||
Net Expenses | 0.85 | 0.72 | 0.73 |
1 | “Other Expenses” are based on the actual amounts incurred during the 12 months ended June 30, 2008. |
2 | The Total Annual Operating Expenses included in the fee table are different from the ratio of expenses to average net assets that appear in the Financial Highlights. The Financial Highlights are based on a fiscal year ended December 31, 2007. |
3 | JPMorgan Funds Management, Inc. has contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses) exceed 0.85% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
4 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.80% of the average daily net assets through 4/30/09. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
5 | JPMIA and the Administrator have contractually agreed to waive fees and/or reimburse expenses to the extent that total annual operating expenses of Class 1 Shares (excluding Acquired Fund Fees and Expenses, dividend expenses related to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed 0.80% of the average daily net assets through 4/30/10. In addition, the Portfolio’s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. |
• | 5% return each year, |
• | net expenses through the expiration of each Portfolio’s and the Combined Portfolio’s contractual expense caps, respectively, and total annual operating expense thereafter, and |
• | all dividends and distributions are reinvested |
1 Year | 3 Years | 5 Years | 10 Years | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan U.S. Large Cap Core Equity Portfolio | $ | 87 | $ | 271 | $ | 471 | $ | 1,049 | ||||||||||
JPMorgan Insurance Trust Diversified Equity Portfolio | $ | 74 | $ | 230 | $ | 401 | $ | 894 | ||||||||||
Pro Forma: JPMorgan Insurance Trust Diversified Equity Portfolio | $ | 75 | $ | 233 | $ | 406 | $ | 906 |
Arrangements
Procedures
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity. | The Portfolio seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities. |
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Main Investment Strategy | Under normal circumstances, the Portfolio invests at least 80% of its Assets in debt investments, including, but not limited to, asset-backed and mortgage-backed securities, U.S. government and agency securities, corporate bonds and private placements, that it believes have the potential to provide a high total return over time. “Assets” means net assets, plus the amount of borrowings for investment purposes. These securities may be of any maturity, but under normal market conditions the management team will keep the Portfolio’s duration within one year of that of the Lehman Brothers U.S. Aggregate Bond Index. Up to 25% of the Portfolio’s total assets may be invested in foreign securities, including debt securities denominated in foreign securities. At least 75% of Assets must be invested in securities that, at the time of purchase, are rated investment-grade by Moody’s Investors Service, Inc. (Moody’s), Standard & Poor’s Corporation (S&P) or Fitch Ratings (Fitch), or the equivalent by another national rating organization, including at least 65% of Assets invested in securities rated A or better. Up to 25% of Assets may be invested in securities rated below investment grade (junk bonds). It may also invest in securities that are unrated but are deemed by the adviser, J.P. Morgan Investment Management Inc. (JPMIM), to be of comparable quality. The Portfolio may engage in short sales. | The Portfolio invests mainly in investment grade bonds and debt securities or unrated bonds and debt securities which the adviser, JPMIA, determines to be of comparable quality, as well as preferred stock and loan participations. Such securities include U.S. government securities such as U.S. Treasury obligations as well as the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), or the Federal Home Loan Mortgage Corporation (Freddie Mac) securities and other government agency mortgage-backed securities. As a matter of fundamental policy, the Portfolio will invest at least 80% of its net assets in bonds. For purposes of this policy, the Portfolio’s net assets include borrowings by the Portfolio for investment purposes. Generally, such bonds will have intermediate to long maturities. |
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Principal Risks* | • Collateralized Mortgage Obligations (CMO), Interest-Only (IO) & Principal-Only (PO) Stripped Mortgage-Backed Securities Risk • Credit Risk • Currency Risk • Derivatives Risk • Emerging Markets Risk • Foreign Securities Risk • Government Securities Risk • High Portfolio Turnover Risk • High Yield Securities Risk • Interest Rate Risk • Prepayment and Call Risk • Redemption Risk • Short Selling Risk • Temporary Defensive Positions Risk | • Collateralized Mortgage Obligations (CMO), Interest-Only (IO) & Principal-Only (PO) Stripped Mortgage-Backed Securities Risk • Credit Risk • Derivatives Risk • ETF and Investment Company Risk • Government Securities Risk • Interest Rate Risk • Prepayment and Call Risk • Redemption Risk • Temporary Defensive Positions Risk |
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks to provide high total return from a portfolio of equity securities of foreign companies. Total return consists of capital growth and current income. | The Portfolio seeks to provide high total return from a portfolio of equity securities of foreign companies. Total return consists of capital growth and current income. | ||||||||
Main Investment Strategy | Under normal circumstances, the Portfolio will invest at least 80% of the value of its Assets in equity investments. “Assets” means net assets, plus the amount of borrowings for investment purposes. The Portfolio will primarily invest in foreign companies of various sizes, including foreign subsidiaries of U.S. companies. Equity securities in which the Portfolio can invest may include common stocks, preferred stocks, convertible securities, depositary receipts and rights and warrants to buy common stocks. The Portfolio may also invest in exchange-traded funds, affiliated money market funds, other investment companies, derivatives, and debt securities denominated in a currency other than the U.S. dollar. | Under normal circumstances, the Portfolio will invest at least 80% of the value of its Assets in equity investments. “Assets” means net assets, plus the amount of borrowings for investment purposes. The Portfolio will primarily invest in foreign companies of various sizes, including foreign subsidiaries of U.S. companies. Equity securities in which the Portfolio can invest may include common stocks, preferred stocks, convertible securities, depositary receipts and rights and warrants to buy common stocks. The Portfolio may also invest in exchange-traded funds, affiliated money market funds, other investment companies, derivatives, and debt securities denominated in a currency other than the U.S. dollar. | ||||||||
Principal Risks* | • Convertible Securities Risk • Depositary Receipt Risk • Derivatives Risk • Emerging Markets Risk • ETF and Investment Company Risk • Foreign Securities Risk • Redemption Risk • Repurchase Agreement Risk • Temporary Defensive Positions Risk | • Convertible Securities Risk • Depositary Receipt Risk • Derivatives Risk • Emerging Markets Risk • ETF and Investment Company Risk • Foreign Securities Risks • Redemption Risk • Repurchase Agreement Risk • Temporary Defensive Positions Risk |
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Diversified Mid Cap Value Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks growth from capital appreciation. | The Portfolio seeks capital appreciation with the secondary goal of achieving current income by investing primarily in equity securities. | ||||||||
Main Investment Strategy | Under normal circumstances, the Portfolio invests at least 80% of its Assets in equity securities of mid-cap companies. “Assets” means net assets, plus the amount of borrowings for investment purposes. Mid-cap companies are companies with market capitalizations between $1 billion to $20 billion at the time of purchase. Market capitalization is the total market value of a company’s shares. | Under normal circumstances, at least 80% of the Portfolio’s Assets will be invested in equity securities of mid-cap companies, including common stock and debt securities and preferred stocks both of which are convertible into common stock. “Assets” means net assets, plus the amount of borrowings for investment purposes. Mid-cap companies are companies with market capitalizations similar to those within the universe of the Russell Midcap® Value Index at the time of purchase. Market capitalization is the total market value of a company’s shares. | ||||||||
Principal Risks* | • Derivatives Risk • Market Risk • Mid Cap Company Risk • Real Estate Securities Risk • Temporary Defensive Positions Risk • Value Investing Risk | • Derivatives Risk • Market Risk • Mid Cap Company Risk • Real Estate Securities Risk • Temporary Defensive Positions Risk • Value Investing Risk |
JPMorgan Insurance Trust Small Cap Equity Portfolio
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks to provide high total return from a portfolio of small company stocks. | The Portfolio seeks capital growth over the long term. | ||||||||
Main Investment Strategy | Under normal circumstances, the Portfolio invests at least 80% of its Assets in equity securities of small-cap companies. “Assets” means net assets, plus the amount of borrowings for investment purposes. These small-cap securities will be primarily securities of companies located in the U.S. Small-cap companies are companies with market capitalizations similar to those within the universe of the Russell 2000® Index at the time of purchase. Market capitalization is the total market value of a company’s shares. Sector by sector, the Portfolio’s weightings are similar to those of the Russell 2000® Index. The Portfolio can moderately underweight or overweight sectors when it believes it will benefit performance. | Under normal circumstances, the Portfolio invests at least 80% of its Assets in equity securities of small-cap companies. “Assets” means net assets, plus the amount of borrowings for investment purposes. Small-cap companies are companies with market capitalizations equal to those within the universe of the Russell 2000® Index stocks at the time of purchase. Market capitalization is the total market value of a company’s shares. | ||||||||
Principal Risks* | • Derivatives Risk • Market Risk • Real Estate Securities Risk • Small Cap Company Risk • Temporary Defensive Positions Risk | • Derivatives Risk • Market Risk • Real Estate Securities Risk • Small Cap Company Risk • Temporary Defensive Positions Risk |
JPMorgan Insurance Trust Diversified Equity Portfolio
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks to provide high total return from a portfolio of selected equity securities. | The Portfolio seeks to provide high total return from a portfolio of selected equity securities. | ||||||||
Main Investment Strategy | Under normal circumstances, the Portfolio invests at least 80% of its Assets in equity investments of large-cap U.S. companies. “Assets” means net assets, plus the amount of borrowings for investment purposes. Large-cap companies have a market capitalization over $4 billion at the time of purchase. Market capitalization is the total market value of a company’s shares. Sector by sector, the Portfolio’s weightings are similar to those of the S&P 500 Index. The Portfolio can moderately underweight or overweight sectors when it believes it will benefit performance. The Portfolio invests primarily in common stocks. | Under normal circumstances, the Portfolio invests at least 80% of its Assets in equity securities of U.S. companies. “Assets” means net assets, plus the amount of borrowings for investment purposes. The Portfolio primarily invests in large- and medium-capitalization U.S. companies. Market capitalization is the total market value of a company’s shares. Sector by sector, the Portfolio’s weightings are similar to those of the S&P 500 Index. The Portfolio can moderately underweight or overweight sectors when it believes it will benefit performance. | ||||||||
Principal Risks* | • Derivatives Risk • Market Risk • Temporary Defensive Positions Risk | • Depositary Receipt Risk • Derivatives Risk • ETF and Investment Company Risk • High Portfolio Turnover Risk • Market Risk • Mid Cap Company Risk • Real Estate Securities Risk • Strategy Risk • Temporary Defensive Positions Risk |
JPMorgan Insurance Trust Core Bond Portfolio
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Objective | The Portfolio seeks a high level of current income with liquidity and safety of principal. | The Portfolio seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities. | ||||||||
Main Investment Strategy | The Portfolio generally limits its investments to securities issued by the U.S. government and its agencies and instrumentalities and those related to securities issued by the U.S. government and its agencies and instrumentalities. The Portfolio mainly invests in government bonds as defined below with intermediate to long remaining maturities. These include mortgage-backed securities including those issued by Ginnie Mae, Fannie Mae or Freddie Mac. | The Portfolio invests mainly in investment grade bonds and debt securities or unrated bonds and debt securities which the adviser, JPMIA, determines to be of comparable quality, as well as preferred stock and loan participations. Such securities include U.S. government securities such as U.S. Treasury obligations as well as Fannie Mae, Ginnie Mae, Freddie Mac and other government agency mortgage-backed securities. As a matter of fundamental policy, the Portfolio will invest at least 80% of its net assets in bonds. For purposes of this policy, the Portfolio’s net assets include borrowings by the Portfolio for investment purposes. Generally, such bonds will have intermediate to long maturities. |
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Principal Risks* | • Collateralized Mortgage Obligations (CMO), Interest-Only (IO) & Principal-Only (PO) Stripped Mortgage-Backed Securities Risk • Credit Risk • Derivatives Risk • Government Securities Risk • Interest Rate Risk • Prepayment and Call Risk • Redemption Risk • Temporary Defensive Positions Risk | • Collateralized Mortgage Obligations (CMO), Interest-Only (IO) & Principal-Only (PO) Stripped Mortgage-Backed Securities Risk • Credit Risk • Derivatives Risk • ETF and Investment Company Risk • Government Securities Risk • Interest Rate Risk • Prepayment and Call Risk • Redemption Risk • Temporary Defensive Positions Risk |
credit quality may lead to greater volatility in the price of a security and in shares of the Portfolio. Lower credit quality also may affect liquidity and make it difficult for the Portfolio to sell the security. In addition, the JPMorgan Insurance Trust Core Bond Portfolio may invest in securities that are rated in the lowest investment grade. Such securities are considered to have speculative characteristics, and issuers of such securities are more vulnerable to changes in economic conditions than issuers of higher grade securities.
increase or decrease in the value of the Portfolio’s securities. Derivatives are also subject to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index. The use of derivatives may not be successful, resulting in losses to the Portfolio, and the cost of such strategies may reduce the Portfolio’s returns. In addition, the JPMorgan Mid Cap Value Portfolio, JPMorgan U.S. Large Cap Core Equity Portfolio, and JPMorgan Small Company Portfolio may use derivatives for non-hedging purposes which increases a Portfolio’s potential for loss.
Mortgage Association (Fannie Mae), or the Federal Home Loan Mortgage Corporation (Freddie Mac) securities). Securities issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac are not issued directly by the U.S. government. Ginnie Mae is a wholly-owned U.S. corporation that is authorized to guarantee, with the full faith and credit of the U.S. government, the timely payment of principal and interest of its securities. By contrast, securities issued or guaranteed by U.S. government-related organizations such as Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government would provide financial support to its agencies and instrumentalities if not required to do so by law.
factors that the adviser believes will cause the stock price to increase do not occur. The Portfolio’s performance may be better or worse than the performance of equity portfolios that invest in other types of stocks or that have a broader investment style.
• | the plans of management to eliminate overlapping or duplicative product offerings among the Acquired and Acquiring Portfolios, and the failure to accumulate assets of the Series Trust II Portfolios; |
• | certain of the Series Trust II Portfolios are small, may not be viable in their current state, and have experienced outflows; |
• | the compatibility of the investment objectives, strategies, policies and restrictions of the Acquired Portfolios in the Reorganizations with those of the corresponding Acquiring Portfolios; |
• | the investment performance of the Acquiring Portfolios as compared to that of the Acquired Portfolios, including the fact that the following Acquired Portfolios would be the accounting and performance survivors: the JPMorgan International Equity Portfolio, the JPMorgan Mid Cap Value Portfolio, and the JPMorgan Small Company Portfolio; |
• | the nature, extent, and quality of the services to be provided by the service providers to the Acquiring Portfolios and the fact that the nature, extent and quality of such services are expected to be at least the same as those of the current service providers to the Acquired Portfolios; |
• | the relative size of the Acquiring and Acquired Portfolios and the overlap of their portfolio offerings in the variable insurance contract market; |
• | the relative advisory fees and expense ratios of the Portfolios and information as to the specific fees and expenses of each Acquiring Portfolio and each Acquired Portfolio, including that the advisory fees for certain Portfolios would be increasing but that management had committed to maintain the net expense ratio for each Acquired Portfolio at a level equal to the expense cap currently in effect, if not lower, until April 30, 2010; |
• | the federal tax consequences of each Reorganization to the Acquired Portfolios and their shareholders, including that each Reorganization has been structured as a federal tax-free transaction; |
• | any fall-out benefits or economies of scale that may be realized by JPMIA and JPMIM and their affiliates from various relationships with the Acquired Portfolios or Acquiring Portfolios that the Boards of JPMorgan Insurance Trust and J.P. Morgan Series Trust II each reviewed at their last meetings when they approved the continuation of each Trust’s investment advisory agreements; |
• | the costs borne by, and profitability of, JPMIA and JPMIM and their affiliates with regard to the respective Portfolios they oversee in providing services to the Acquiring Portfolios; |
• | the terms of the Acquiring Portfolios’ Advisory Agreements; |
• | the professional experience and qualifications of the Acquiring Portfolios’ portfolio management teams and other senior personnel of the Acquiring Portfolios’ Advisers, and the extent to which they overlap across the Acquired and Acquiring Portfolios; |
• | JPMIM or JPMIA, as applicable, and the Administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by the Portfolios relating to the Reorganizations. These waivers and reimbursements will not include brokerage fees and expenses related to the disposition and acquisition of Portfolio assets; and |
• | alternatives to the Reorganizations, including maintaining the status quo. |
THE ACQUIRING PORTFOLIOS
JPMIA Acquiring Portfolios’ investment programs. JPMIA performs its responsibilities subject to the supervision of, and policies established by, the Board of Trustees of the Acquiring Portfolios. JPMIA is an indirect, wholly-owned subsidiary of JPMorgan Chase & Co.
JPMorgan Insurance Trust Core Bond Portfolio | 0.35%* | |||||
JPMorgan Insurance Trust Diversified Equity Portfolio | 0.55% | |||||
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | 0.49%* |
JPMorgan Insurance Trust International Equity Portfolio | 0.00%* | |||||
JPMorgan Insurance Trust Small Cap Equity Portfolio | 0.00%* |
Best Quarter | 3rd quarter, 2001 | 5.08 | % | Worst Quarter | 2nd quarter, 2004 | –2.30 | % |
* | The bar chart reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Bond Fund on 3/31/99. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Past 10 Years | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 6.31 | 4.16 | 5.84 | |||||||||||
LEHMAN BROTHERS U.S. AGGREGATE INDEX1,ˆ | 6.97 | 4.42 | 5.97 | |||||||||||
LIPPER VARIABLE UNDERLYING FUNDS GENERAL U.S. GOVERNMENT FUNDS INDEX2,ˆ | 8.88 | 4.02 | 5.64 |
* | The table reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Bond Fund on 3/31/99. |
1 | The Lehman Brothers U.S. Aggregate Index is an unmanaged index and represents a mix of maturities. It is a replica (or model) of the U.S. government bond, mortgage-backed securities and corporate bond markets. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds General U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 2nd quarter, 2007 | 6.85 | % | Worst Quarter | 4th quarter, 2007 | –1.02 | % |
1 | The Fund’s fiscal year end is 12/31. |
2 | As of the date of this prospectus, the Class 1 Shares have not commenced operations and therefore, the performance shown is that of the Portfolio’s Class 2 Shares, which invest in the same portfolio of securities. Class 2 Shares are not offered in this prospectus. The actual returns of Class 1 Shares would have been different than the returns shown because Class 2 Shares have different expenses. |
Past 1 Year | Life of Portfolio3 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
CLASS 2 SHARES | 9.80 | 15.28 | ||||||||
MSCI EAFE INDEX1,ˆ | 11.17 | 17.76 | ||||||||
LIPPER VARIABLE UNDERLYING FUNDS INTERNATIONAL CORE FUNDS INDEX2,ˆ | 2.32 | 9.47 |
* | As of the date of this prospectus, the Class 1 Shares have not commenced operations and therefore, the performance shown is that of the Portfolio’s Class 2 Shares, which invest in the same portfolio of securities. Class 2 Shares are not offered in this prospectus. The actual returns of Class 1 Shares would have been different than the returns shown because Class 2 Shares have different expenses. |
1 | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds International Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
3 | The Portfolio commenced operations on 9/15/06. Performance for the indexes is as of 9/30/06. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 4th quarter, 1998 | 21.06 | % | Worst Quarter | 3rd quarter, 2002 | –20.84 | % |
* | The accounting and performance survivor after the Reorganization. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Past 10 Years | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMORGAN INTERNATIONAL EQUITY PORTFOLIO | 9.33 | 18.28 | 6.30 | |||||||||||
MSCI EAFE INDEX1, ˆ | 11.17 | 21.59 | 8.66 | |||||||||||
LIPPER VARIABLE UNDERLYING FUNDS INTERNATIONAL CORE FUNDS INDEX2, ˆ | 2.32 | 19.64 | 5.73 |
1 | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Total return figures assume the reinvestment of dividends. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds International Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 2nd quarter, 2003 | 15.95 | % | Worst Quarter | 3rd quarter, 2002 | –17.74 | % |
* | The bar chart reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Intrinsic Value Fund on 3/31/99. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Past 10 Years | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 0.92 | 14.64 | 8.18 | |||||||||||
RUSSELL MIDCAP® VALUE INDEX1,ˆ | (1.42 | ) | 17.92 | 10.18 | ||||||||||
LIPPER VARIABLE UNDERLYING FUNDS MID-CAP VALUE FUNDS INDEX2,ˆ | (9.00 | ) | 15.07 | N/A** |
* | The table reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Intrinsic Value Fund on 3/31/99. |
1 | The Russell Midcap® Value Index is an unmanaged index which measures the performance of those Russell Mid Cap companies with lower price-to-book ratios and lower forecasted growth values. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds Mid-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
** | Index did not exist for the complete period. |
Best Quarter | 2nd quarter, 2003 | 14.04 | % | Worst Quarter | 3rd quarter, 2002 | –8.41 | % |
* | The accounting and performance survivor after the Reorganization. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Life of Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMORGAN MID CAP VALUE PORTFOLIO | 2.45 | 15.46 | 14.25 | |||||||||||
RUSSELL MIDCAP® VALUE INDEX2,ˆ | (1.42 | ) | 17.92 | 14.32 | ||||||||||
LIPPER VARIABLE UNDERLYING FUNDS MID-CAP VALUE FUNDS INDEX3,ˆ | (9.00 | ) | 15.07 | 10.44 |
1 | The Portfolio commenced operations on 9/28/01. Performance for the indexes is as of 9/30/01. |
2 | The Russell Midcap® Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
3 | The performance of the Lipper Variable Underlying Funds Mid-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 1st quarter, 2007 | 6.06 | % | Worst Quarter | 4th quarter, 2007 | –7.94 | % |
1 | The Fund’s fiscal year end is 12/31. |
2 | As of the date of this prospectus, the Class 1 Shares have not commenced operations and therefore, the performance shown is that of the Portfolio’s Class 2 Shares, which invest in the same portfolio of securities. Class 2 Shares are not offered in this prospectus. The actual returns of Class 1 Shares would have been different than the returns shown because Class 2 Shares have different expenses. |
Past 1 Year | Life of Portfolio3 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
CLASS 2 SHARES | (6.10 | ) | 0.46 | |||||||
RUSSELL 2000 INDEX1,ˆ | (1.57 | ) | 5.72 | |||||||
LIPPER VARIABLE UNDERLYING FUNDS SMALL CAP CORE FUNDS INDEX2,ˆ | (8.49 | ) | 0.63 |
* | As of the date of this prospectus, the Class 1 Shares have not commenced operations and therefore, the performance shown is that of the Portfolio’s Class 2 Shares, which invest in the same portfolio of securities. Class 2 Shares are not offered in this prospectus. The actual returns of Class 1 Shares would have been different than the returns shown because Class 2 Shares have different expenses. |
1 | The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds Small Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
3 | The Portfolio commenced operations on 9/15/06. Performance for the indexes is as of 9/30/06. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 4th quarter, 1999 | 34.41 | % | Worst Quarter | 3rd quarter, 1998 | –21.67 | % |
* | The accounting and performance survivor after the Reorganization. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Past 10 Years | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMORGAN SMALL COMPANY PORTFOLIO | (5.67 | ) | 14.17 | 5.40 | ||||||||||
RUSSELL 2000® INDEX1,ˆ | (1.57 | ) | 16.25 | 7.08 | ||||||||||
LIPPER VARIABLE UNDERLYING FUNDS SMALL-CAP CORE FUNDS INDEX2,ˆ | (10.53 | ) | 13.05 | 6.04 |
1 | The Russell 2000® Index is an unmanaged index, which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000® Index. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. |
2 | The performance of the Lipper Variable Underlying Funds Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
Best Quarter | 2nd quarter, 2003 | 16.73 | % | Worst Quarter | 3rd quarter, 2002 | –17.22 | % |
* | The bar chart reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Growth and Value Fund on 3/31/99. |
1 | The Portfolio’s fiscal year end is 12/31. |
Past 1 Year | Past 5 Years | Past 10 Years | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS 1 SHARES | 10.45 | 12.09 | 3.60 | |||||||||||
S&P 500 INDEX1,ˆ | 5.49 | 12.83 | 5.91 | |||||||||||
LIPPER VARIABLE UNDERLYING FUNDS LARGE-CAP CORE FUNDS INDEX2,ˆ | (2.16 | ) | 11.36 | 2.77 |
* | The table reflects that the Portfolio became the accounting successor to the financial history of the Pegasus Variable Growth and Value Fund on 3/31/99. |
1 | The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. The index for the Portfolio has changed from the S&P SuperComposite 1500 Index to the S&P 500 Index in order to better represent the revised investment policies of the Portfolio. |
2 | The performance of the Lipper Variable Underlying Funds Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Portfolio. |
ˆ | Investors cannot invest directly in an index. |
THE ACQUIRING PORTFOLIOS AND ACQUIRED PORTFOLIOS
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Bond Portfolio only)* | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 34,742,566 | $ | 177,141,826 | $ | — | $ | 211,884,392 | ||||||||||
Shares Outstanding | 3,555,627 | 16,210,150 | (376,984 | ) | 19,388,793 | |||||||||||||
Net Asset Value Per Share | $ | 9.77 | $ | 10.93 | $ | — | $ | 10.93 | ||||||||||
Class 2 Net Assets | $ | — | $ | 16,569 | $ | — | $ | 16,569 | ||||||||||
Shares Outstanding | — | 1,518 | — | 1,518 | ||||||||||||||
Net Asset Value Per Share | $ | — | $ | 10.92 | $ | — | $ | 10.92 |
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with JPMorgan Insurance Trust Government Bond Portfolio only)* | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 145,991,667 | $ | 177,141,826 | $ | — | $ | 323,133,493 | ||||||||||
Shares Outstanding | 13,183,803 | 16,210,150 | 173,166 | 29,567,119 | ||||||||||||||
Net Asset Value Per Share | $ | 11.07 | $ | 10.93 | $ | — | $ | 10.93 | ||||||||||
Class 2 Net Assets | $ | — | $ | 16,569 | $ | — | $ | 16,569 | ||||||||||
Shares Outstanding | — | 1,518 | — | 1,518 | ||||||||||||||
Net Asset Value Per Share | $ | — | $ | 10.92 | $ | — | $ | 10.92 |
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust Core Bond Portfolio (with both JPMorgan Bond Portfolio and JPMorgan Insurance Trust Government Portfolio)* | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 34,742,566 | $ | 145,991,667 | $ | 177,141,826 | $ | — | $ | 357,867,059 | ||||||||||||
Shares Outstanding | 3,555,627 | 13,183,803 | 16,210,150 | (203,819 | ) | 32,745,761 | ||||||||||||||||
Net Asset Value Per Share | $ | 9.77 | $ | 11.07 | $ | 10.93 | $ | — | $ | 10.93 | ||||||||||||
Class 2 Net Assets | $ | — | $ | — | $ | 16,569 | $ | — | $ | 16,569 | ||||||||||||
Shares Outstanding | — | — | 1,518 | — | 1,518 | |||||||||||||||||
Net Asset Value Per Share | $ | — | $ | — | $ | 10.92 | $ | — | $ | 10.92 |
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolioˆ | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust International Equity Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 69,514,770 | $ | — | $ | — | $ | 69,514,770 | ||||||||||
Shares Outstanding | 5,722,589 | — | (1,257,928 | )* | 4,464,661 | |||||||||||||
Net Asset Value Per Share | $ | 12.15 | $ | — | $ | — | $ | 15.57 | ||||||||||
Class 2 Net Assets | $ | — | $ | 5,398,012 | $ | — | $ | 5,398,012 | ||||||||||
Shares Outstanding | — | 346,754 | — | 346,754 | ||||||||||||||
Net Asset Value Per Share | $ | — | $ | 15.57 | $ | — | $ | 15.57 |
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 263,974,809 | $ | 40,476,173 | $ | — | $ | 304,450,982 | ||||||||||
Shares Outstanding | 10,248,472 | 6,471,311 | 31,987,497 | * �� | 48,707,280 | |||||||||||||
Net Asset Value Per Share | $ | 25.76 | $ | 6.25 | $ | — | $ | 6.25 |
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolioˆ | Pro Forma Adjustments | Pro Forma JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 70,995,700 | $ | — | $ | — | $ | 70,995,700 | ||||||||||
Shares Outstanding | 5,274,689 | — | 772,645 | * | 6,047,334 | |||||||||||||
Net Asset Value Per Share | $ | 13.46 | $ | — | $ | — | $ | 11.74 | ||||||||||
Class 2 Net Assets | $ | — | $ | 2,781,610 | $ | — | $ | 2,782,610 | ||||||||||
Shares Outstanding | — | 236,924 | — | 236,924 | ||||||||||||||
Net Asset Value Per Share | $ | — | $ | 11.74 | $ | — | $ | 11.74 |
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | Pro forma Adjustments | Pro Forma JPMorgan Insurance Trust Diversified Equity Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class 1 Net Assets | $ | 39,132,721 | $ | 182,765,201 | $ | — | $ | 221,897,922 | ||||||||||
Shares Outstanding | 2,805,141 | 12,474,401 | (133,966 | ) | 15,145,576 | |||||||||||||
Net Asset Value Per Share | $ | 13.95 | $ | 14.65 | $ | — | $ | 14.65 | ||||||||||
Class 2 Net Assets | $ | — | $ | 16,368 | $ | $ | 16,368 | |||||||||||
Shares Outstanding | — | 1,119 | 1,119 | |||||||||||||||
Net Asset Value Per Share | $ | — | $ | 14.63 | $ | — | $ | 14.63 |
proportions as the shares for which voting instructions have been received from Affected Contract Owners.
permitted to answer questions about the process, is not permitted to recommend to the Affected Contract Owner how to instruct the relevant Participating Insurance Company to vote, other than to read any recommendation set forth in this Proxy Statement. The Solicitor will record the Affected Contract Owner’s instructions on the voting instructions card.
Shares Outstanding on Record Date | ||||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | ||||||
JPMorgan International Equity Portfolio | ||||||
JPMorgan Mid Cap Value Portfolio | ||||||
JPMorgan Small Company Portfolio | ||||||
JPMorgan U.S. Large Cap Core Equity Portfolio | ||||||
JPMorgan Insurance Trust Government Bond Portfolio |
Portfolio | Class | Name and Address of Owner | Type of Ownership | Percentage of Class of Shares | Percentage of Portfolio | Percentage of Combined Portfolio after Reorganization* |
---|
J.P. MORGAN SERIES TRUST II
is in the best interests of each Acquiring Fund and that the interests of the existing Shareholders of the Acquiring Funds would not be diluted as a result of these transactions; and
1. | REORGANIZATIONS |
and other securities shall be deemed included in the property and assets transferred to the Acquiring Fund at the Closing Date and shall not be separately valued, in which case any such distribution that remains unpaid as of the Closing Date shall be included in the determination of the value of the assets of the Acquired Fund acquired by the Acquiring Fund.
2. | VALUATION |
3. | CLOSING AND CLOSING DATE |
applicable federal and state stock transfer stamps, if any, have been paid or provision for payment has been made. Each Acquired Fund’s portfolio securities represented by a certificate or other written instrument shall be presented by the Acquired Fund Custodian to JPMCB, as the custodian for each Acquiring Fund (“Acquiring Fund Custodian”). Such presentation shall be made for examination no later than five business days preceding the Closing Date, and such certificates and other written instruments shall be transferred and delivered by the Acquired Fund as of the Closing Date for the account of the respective Acquiring Fund duly endorsed in proper form for transfer in such condition as to constitute good delivery thereof. The Acquired Fund Custodian shall deliver to the Acquiring Fund Custodian as of the Closing Date by book entry, in accordance with the customary practices of the Acquired Fund Custodian and of each securities depository, as defined in Rule 17f-4 under the 1940 Act, the Assets of each Acquired Fund deposited with such depositories. The cash to be transferred by each Acquired Fund shall be delivered to the Acquiring Fund Custodian on the Closing Date.
4. | REPRESENTATIONS AND WARRANTIES |
accordance with accounting principles generally accepted in the United States of America (“GAAP”) consistently applied, and such statements (true and correct copies of which have been furnished to JPMIT) present fairly, in all material respects, the financial condition of each Acquired Fund as of such date in accordance with GAAP, and there are no known contingent, accrued or other liabilities of each such Acquired Fund required to be reflected on a balance sheet (including the notes thereto) in accordance with GAAP as of such date that are not disclosed therein.
Closing Date will have declared dividends intended to be sufficient to distribute all of its net tax-exempt income, investment company taxable income and net capital gain for the period ending on the Closing Date.
or necessary to make the statements therein, in light of the circumstances under which such statements were made, not materially misleading (provided that this representation and warranty shall not apply to statements in or omissions from the Proxy Statement made in reliance upon and in conformity with information that was furnished by the Acquiring Funds for use therein) and (ii) comply in all material respects with the provisions of the 1933 Act, the 1934 Act and the 1940 Act and the rules and regulations thereunder. The information to be furnished by the Acquired Funds for use in registration statements and other documents filed or to be filed with any federal, state or local regulatory authority (including the Financial Industry Regulatory Authority (“FINRA”)), which may be necessary in connection with the transactions contemplated hereby, shall be accurate and complete in all material respects and shall comply in all material respects with federal securities and other laws and regulations thereunder applicable thereto.
no known contingent, accrued or other liabilities of each such Acquiring Fund required to be reflected on a balance sheet (including the notes thereto) in accordance with GAAP as of such date that are not disclosed therein.
been offered and sold in every state, territory and the District of Columbia in compliance in all material respects with applicable registration requirements of all applicable federal and state securities laws. No Acquiring Fund has outstanding any options, warrants or other rights to subscribe for or purchase any Acquiring Fund Shares, nor is there outstanding any security convertible into any Acquiring Fund Shares. All of the Acquiring Fund Shares to be issued and delivered to the Acquired Funds, for the account of the Acquired Fund Shareholders, pursuant to this Agreement will on the Closing Date have been duly authorized and, when so issued and delivered, will be duly and validly and legally issued Acquiring Fund Shares and be fully paid and non-assessable by JPMIT.
5. | COVENANTS |
such of the state blue sky or securities laws as may be necessary in order to continue its operations after the Closing Date.
6. | CONDITIONS PRECEDENT TO OBLIGATIONS OF EACH ACQUIRED FUND |
7. | CONDITIONS PRECEDENT TO OBLIGATIONS OF EACH ACQUIRING FUND |
8. | FURTHER CONDITIONS PRECEDENT TO OBLIGATIONS OF EACH ACQUIRING FUND AND EACH ACQUIRED FUND |
Code, and the Acquiring Fund and Acquired Fund each will be a “party to a reorganization” within the meaning of Section 368(b) of the Code; (ii) under Section 1032 of the Code, no gain or loss will be recognized by the Acquiring Fund upon the receipt of the assets of the Acquired Fund in exchange for Acquiring Fund Shares and the assumption by the Acquiring Fund of the liabilities of the Acquired Fund; (iii) under Section 362(b) of the Code, the Acquiring Fund’s tax basis in the assets of the Acquired Fund acquired by the Acquiring Fund in the Reorganization will be the same as the tax basis of such assets in the hands of the Acquired Fund immediately prior to the Reorganization; (iv) under Section 1223(2) of the Code, the holding periods in the hands of the Acquiring Fund of the assets of the Acquired Fund acquired by the Acquiring Fund in the Reorganization will include the periods during which those assets were held by the Acquired Fund; (v) under Section 361 of the Code, no gain or loss will be recognized by the Acquired Fund upon the transfer of its assets to the Acquiring Fund in exchange for Acquiring Fund Shares and the assumption by the Acquiring Fund of the liabilities of the Acquired Fund, or upon the distribution (whether actual or constructive) of Acquiring Fund Shares by the Acquired Fund to the insurance company separate accounts, as shareholders of the Acquired Fund, in exchange for their shares of the Acquired Fund; (vi) under Section 354 of the Code, the insurance company separate accounts, as shareholders of the Acquired Fund, will not recognize a gain or loss upon the exchange of their shares of the Acquired Fund for Acquiring Fund Shares in liquidation of the Acquired Fund; (vii) under Section 358 of the Code, the aggregate tax basis for Acquiring Fund Shares that the insurance company separate accounts, as shareholders of the Acquired Fund, receive in connection with the Reorganization will be the same as the aggregate tax basis of their respective shares in the Acquired Fund exchanged therefor; (viii) under Section 1223(1) of the Code, the holding period for the shares of the Acquiring Fund that an insurance company separate account, as a shareholder of the Acquired Fund, receives in the Reorganization will include the period during which the Acquired Fund Shares exchanged therefor were held by such shareholder, provided that on the date of the exchange it held such Acquired Fund Shares as capital assets; and (ix) the Acquiring Fund will succeed to and take into account the items of the Acquired Fund described in Section 381(c) of the Code, subject to the conditions and limitations specified in Sections 381, 382, 383 and 384 of the Code and Regulations thereunder. Ropes & Gray LLP will express no view with respect to the effect of the transaction on any transferred asset as to which any unrealized gain or loss is required to be recognized under federal income tax principles (i) at the end of a taxable year or upon the termination thereof, or (ii) upon the transfer of such asset regardless of whether such a transfer would otherwise be a non-taxable transaction. The opinion will be subject to receipt of and based on certain factual certifications made by officers of the Acquiring Fund and the Acquired Fund and will also be based on
customary assumptions. It is possible that the Internal Revenue Service could disagree with Ropes & Gray LLP’s opinion. Notwithstanding anything herein to the contrary, neither JPMIT nor Series Trust II may waive the conditions set forth in this paragraph 8.5.
or threatened as to Series Trust II or any Acquired Fund or any of their respective properties or assets; to the knowledge of such counsel, based on discussions with officers of Series Trust II but without other independent investigation, neither Series Trust II nor any Acquired Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body, which materially and adversely affects either of their respective businesses; and, to the knowledge of such counsel, based on discussions with officers of Series Trust II but without other independent investigation, there is no legal or governmental proceeding relating to Series Trust II or any Acquired Fund pending on or before the date of mailing of the Proxy Statement or the date hereof which is required to be disclosed in the Registration Statement which is not disclosed therein; and (e) Series Trust II is registered with the Commission as an investment company under the 1940 Act.
any preemptive right of subscription or purchase in respect thereof; (d) the execution and delivery of this Agreement did not, and the consummation of the transactions contemplated thereby will not, violate the Declaration of Trust or bylaws of JPMIT or result in a violation of the terms and provision of the agreements to which JPMIT or an Acquiring Fund is a party or by which either JPMIT or an Acquiring Fund is bound that are listed in an annex to such opinion and, to the knowledge of such counsel, no consent, approval, authorization or order of any United States federal or Massachusetts state court or governmental body is required for the consummation by JPMIT and each Acquiring Fund of the transactions contemplated by the Agreement, except such as have been obtained; (e) to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, except as has been disclosed in writing to the Acquired Funds, there is no litigation or administrative proceeding or investigation of or before any court or governmental body presently pending or threatened as to JPMIT or any Acquiring Fund or any of their respective properties or assets; to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, neither JPMIT nor any Acquiring Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body, which materially and adversely affects either of their respective businesses; and, to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, there is no legal or governmental proceeding relating to JPMIT or any Acquiring Fund pending on or before the date of mailing of the Proxy Statement or the date hereof which is required to be disclosed in the Registration Statement which is not disclosed therein; (f) JPMIT is registered with the Commission as an investment company under the 1940 Act; and (g) the Registration Statement has become effective under the 1933 Act and, to the knowledge of such counsel, (i) no stop order suspending the effectiveness of the Registration Statement has been issued under the 1933 Act and (ii) no proceedings for that purpose have been instituted or threatened by the Commission.
9. | INDEMNIFICATION |
10. | BROKERAGE FEES AND EXPENSES |
11. | ENTIRE AGREEMENT; SURVIVAL OF WARRANTIES |
12. | TERMINATION |
13. | AMENDMENTS |
14. | NOTICES |
15. | HEADINGS; GOVERNING LAW; SEVERABILITY; ASSIGNMENT; LIMITATION OF LIABILITY; RULE 145 |
JPMORGAN INSURANCE TRUST, on behalf of its series on Schedule A | J.P. MORGAN SERIES TRUST II, on behalf of its series on Schedule A | |||||
By: | By: | |||||
Name: | Name: | |||||
Title: | Title: |
J.P. Morgan Investment Management Inc. | JPMorgan Investment Advisors Inc. | |||||
By: | By: | |||||
Name: | Name: | |||||
Title: | Title: |
Acquired Portfolio | Acquiring Portfolio | |||||
---|---|---|---|---|---|---|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio |
INSURANCE TRUST GOVERNMENT BOND PORTFOLIO AND
JPMORGAN INSURANCE TRUST CORE BOND PORTFOLIO
1. | REORGANIZATION |
2. | VALUATION |
the Acquiring Fund would use in determining the fair market value of its assets and liabilities.
3. | CLOSING AND CLOSING DATE |
4. | REPRESENTATIONS AND WARRANTIES |
and to fulfill the terms of this Agreement, except as set forth in paragraph 4.1. The obligations of JPMIT entered into in the name or on behalf thereof by any of the Trustees, officers, employees or agents are made not individually, but in such capacities, and are not binding upon any of the Trustees, officers, employees, agents or shareholders of JPMIT personally, but bind only the assets of JPMIT and all persons dealing with any series or funds of JPMIT must look solely to the assets of JPMIT belonging to such series or fund for the enforcement of any claims against JPMIT.
of any material penalty, under any agreement, indenture, instrument, contract, lease, judgment or decree to which JPMIT, on behalf of the Acquired Fund, is a party or by which it is bound.
Acquired Fund Shares due to declines in market values of securities held by the Acquired Fund, the discharge of Acquired Fund liabilities, or the redemption of Acquired Fund Shares by shareholders of the Acquired Fund shall not constitute a material adverse change.
Transfer Agent, on behalf of the Acquired Fund, as provided in paragraph 3.3. The Acquired Fund does not have outstanding any options, warrants or other rights to subscribe for or purchase any of the Acquired Fund Shares, nor is there outstanding any security convertible into any of the Acquired Fund Shares. The Acquired Fund will review its Assets to ensure that at any time prior to the Closing Date its Assets do not include any assets that the Acquiring Fund is not permitted, or reasonably believes to be unsuitable for it, to acquire, including without limitation any security that, prior to its acquisition by the Acquired Fund, is unsuitable for the Acquiring Fund to acquire.
JPMIT, on behalf of the Acquiring Fund, is a party or by which it is bound, or (ii) the acceleration of any material obligation, or the imposition of any material penalty, under any agreement, indenture, instrument, contract, lease, judgment or decree to which JPMIT, on behalf of the Acquiring Fund, is a party or by which it is bound.
have been filed and are or will be correct in all material respects, and all federal and other taxes shown as due or required to be shown as due on said returns and reports shall have been paid or provision shall have been made for the payment thereof and, to the best of JPMIT’s knowledge, no such return is currently under audit and no assessment has been asserted with respect to such returns.
and other laws relating to or affecting creditors’ rights and to general equity principles.
5. | COVENANTS |
6. | CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRED FUND |
transactions contemplated by this Agreement, as of the Closing Date, with the same force and effect as if made on and as of the Closing Date.
7. | CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND |
Treasurer of JPMIT. JPMIT shall have executed and delivered all such assignments and other instruments of transfer (the “Transfer Instruments”) as may be necessary or desirable in order to vest in and confirm (a) JPMIT’s title to and possession of the Acquiring Fund Shares to be delivered hereunder and (b) JPMIT’s title to and possession of all the Assets and otherwise to carry out the intent and purpose of this Agreement.
8. | FURTHER CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND AND THE ACQUIRED FUND |
Shares exchanged therefor were held by such shareholder, provided that on the date of the exchange it held such Acquired Fund Shares as capital assets; and (ix) the Acquiring Fund will succeed to and take into account the items of the Acquired Fund described in Section 381(c) of the Code, subject to the conditions and limitations specified in Sections 381, 382, 383 and 384 of the Code and Regulations thereunder. Ropes & Gray LLP will express no view with respect to the effect of the transaction on any transferred asset as to which any unrealized gain or loss is required to be recognized under federal income tax principles (i) at the end of a taxable year or upon the termination thereof, or (ii) upon the transfer of such asset regardless of whether such a transfer would otherwise be a non-taxable transaction. The opinion will be subject to receipt of and based on certain factual certifications made by officers of the Acquiring Fund and the Acquired Fund and will also be based on customary assumptions. It is possible that the Internal Revenue Service could disagree with Ropes & Gray LLP’s opinion. Notwithstanding anything herein to the contrary, JPMIT may not waive the condition set forth in this paragraph 8.5.
accordance with its terms, subject to bankruptcy, insolvency, moratorium reorganization and other laws of general applicability relating to or affecting creditors’ rights and to general equity principles (regardless of whether enforceability is considered in a proceeding in equity or at law); (c) the Acquiring Fund Shares to be issued for transfer to each Acquired Fund’s shareholders as provided by this Agreement are duly authorized for issuance and, when issued and delivered by each Acquiring Fund against delivery of all of the assets of the respective Acquired Fund as set forth in this Agreement, will be validly issued and outstanding and fully paid and nonassessable shares in the applicable Acquiring Fund, and no shareholder of the Acquiring Fund has any preemptive right of subscription or purchase in respect thereof; (d) the execution and delivery of this Agreement did not, and the consummation of the transactions contemplated thereby will not, violate the Declaration of Trust or bylaws of JPMIT or result in a violation of the terms and provision of the agreements to which JPMIT or an Acquiring Fund or an Acquired Fund is a party or by which JPMIT or an Acquiring Fund or an Acquired Fund is bound that are listed in an annex to such opinion and, to the knowledge of such counsel, no consent, approval, authorization or order of any United States federal or Massachusetts state court or governmental body is required for the consummation by JPMIT, each Acquiring Fund and each Acquired Fund of the transactions contemplated by the Agreement, except such as have been obtained; (e) to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, there is no litigation or administrative proceeding or investigation of or before any court or governmental body presently pending or threatened as to JPMIT or any Acquiring Fund or any Acquired Fund or any of their respective properties or assets; to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, not JPMIT nor any Acquiring Fund nor any Acquired Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body, which materially and adversely affects either of their respective businesses; and, to the knowledge of such counsel, based on discussions with officers of JPMIT but without other independent investigation, there is no legal or governmental proceeding relating to JPMIT or any Acquiring Fund or any Acquired Fund pending on or before the date of mailing of the Proxy Statement or the date hereof which is required to be disclosed in the Registration Statement which is not disclosed therein; (f) JPMIT is registered with the Commission as an investment company under the 1940 Act; and (g) the Registration Statement has become effective under the 1933 Act and, to the knowledge of such counsel, (i) no stop order suspending the effectiveness of the Registration Statement has been issued under the 1933 Act and (ii) no proceedings for that purpose have been instituted or threatened by the Commission.
9. | BROKERAGE FEES AND EXPENSES |
10. | ENTIRE AGREEMENT; SURVIVAL OF WARRANTIES |
11. | TERMINATION |
12. | AMENDMENTS |
13. | NOTICES |
14. | HEADINGS; GOVERNING LAW; SEVERABILITY; ASSIGNMENT; LIMITATION OF LIABILITY; RULE 145 |
JPMORGAN INSURANCE TRUST, on behalf of the JPMorgan Insurance Trust Government Bond Portfolio | JPMORGAN INSURANCE TRUST, on behalf of the JPMorgan Insurance Trust Core Bond Portfolio | |||||
By: | By: | |||||
Name: | Name: | |||||
Title: | Title: |
JPMorgan Investment Advisors Inc. | ||||||
By: | ||||||
Name: | ||||||
Title: |
(THE “TRUST”) PORTFOLIOS
Luther King, Jr. Day, Presidents’ Day, Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving Day, and Christmas Day.
upon the Eligible Plan’s financial intermediaries who utilize their own policies and procedures to identify market timers. The Portfolios have attempted to put safeguards in place to assure that financial intermediaries, including insurance companies, have implemented procedures designed to deter market timing and abusive trading. Each Portfolio will seek to monitor for market timing activities, such as unusual cash flows, and work with the applicable insurance company or Eligible Plan to determine whether or not market timing or abusive trading is involved. The Portfolios or the Distributor will prohibit any purchase orders with respect to one investor, a related group of investors or their agent(s), where they detect a pattern of purchases and sales of the Portfolios that indicates market timing or trading they determine is abusive to the extent possible. The Portfolios will seek to apply these policies as uniformly as practicable. It is, however, more difficult to locate and eliminate individual market timers in the separate accounts or Eligible Plans, and there can be no assurances that the Portfolios will be able to effectively identify and eliminate market timing and abusive trading in the Portfolios. Variable insurance contract owners should consult the prospectus for their variable insurance contract for additional information on contract level restrictions relating to market timing.
STRATEGIES AND INVESTMENT RESTRICTIONS, INFORMATION
REGARDING PORTFOLIO MANAGERS, AND
ACQUIRING PORTFOLIOS’ INVESTMENT PROCESSES
I. | Comparison of Investment Objectives, Main Investment Strategies and Portfolio Managers |
1 | For the JPMorgan Insurance Trust Core Bond Portfolio, a bond is a debt security with a maturity of 90 days or more at the time of its issuance issued by the U.S. government or its agencies and instrumentalities, a corporation, a foreign corporation or a municipality, securities issued or guaranteed by a foreign government or its agencies and instrumentalities, securities issued or guaranteed by domestic and supranational banks, mortgage-related and mortgage-backed securities, including principal-only and interest-only stripped mortgage-backed securities, collateralized mortgage obligations, asset-backed securities, convertible bonds, stripped government securities, structured investments and zero-coupon obligations. |
maturity if deemed appropriate for temporary defensive purposes. Average weighted maturity is the average of all the current maturities (that is, the term of the securities) of the individual bonds in a Portfolio calculated so as to count most heavily those securities with the highest dollar value. Average weighted maturity is important to investors as an indication of a Portfolio’s sensitivity to changes in interest rates. Usually, the longer the average weighted maturity, the more fluctuation in share price you can expect. |
JPMorgan Insurance Trust International Equity Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
expected returns. Finally, the adviser may also sell a security which the adviser no longer considers reasonably valued.
JPMorgan Insurance Trust Diversified Equity Portfolio
• | catalysts that could trigger a rise in a stock’s price |
• | high potential reward compared to potential risk |
• | temporary mispricings caused by apparent market overreactions |
JPMorgan Insurance Trust Core Bond Portfolio
4 | Average weighted maturity is the average of all the current maturities (that is, the term of the securities) of the individual bonds in the Portfolio calculated so as to count most heavily those securities with the highest dollar value. Average weighted maturity is important to investors as an indication of |
the Portfolio’s sensitivity to changes in interest rates. Usually, the longer the average weighted maturity, the more fluctuation in share price you can expect. |
5 | For the JPMorgan Insurance Trust Government Bond Portfolio, a government bond is a debt instrument with a maturity of 90 days or more at the time of its issuance and with principal and interest guaranteed by the U.S. government and its agencies and instrumentalities, as well as stripped government securities and mortgage-related and mortgage-backed securities, including principal-only and interest-only stripped mortgage-backed securities, and collateralized mortgage obligations. |
II. | Comparison of Fundamental and Non-Fundamental Investment Restrictions |
1940 Act and the rules and regulations thereunder; (3) purchase securities on margin or sell securities short; and (4) make loans, except that a Portfolio may (i) purchase or hold debt instruments in accordance with its investment objectives and policies; (ii) enter into repurchase agreements; and (iii) engage in securities lending as described in the Prospectus and in the Statement of Additional Information. The JPMorgan Insurance Trust International Equity Portfolio and the JPMorgan Insurance Trust Small Cap Equity Portfolio may make loans to other persons in accordance with the Portfolio’s investment objectives and policies to the extent permitted by applicable law.
Certain JPMorgan Insurance Trust Portfolios
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 | |||||||||||||||||||
Class 1 | |||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 11.41 | $ | 0.27 | (e) | $ | (0.13 | ) | $ | 0.14 | $ | (0.62 | ) | ||||||||||
Year Ended December 31, 2007 | 11.30 | 0.51 | (e) | 0.17 | 0.68 | (0.57 | ) | ||||||||||||||||
Year Ended December 31, 2006 | 11.26 | 0.54 | (0.08 | ) | 0.46 | (0.42 | ) | ||||||||||||||||
Year Ended December 31, 2005 | 11.45 | 0.40 | (0.14 | ) | 0.26 | (0.45 | ) | ||||||||||||||||
Year Ended December 31, 2004 | 11.58 | 0.46 | 0.01 | 0.47 | (0.60 | ) | |||||||||||||||||
Year Ended December 31, 2003 | 11.83 | 0.59 | (0.15 | ) | 0.44 | (0.69 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) (c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$10.93 | 1.22 | % | $ | 177,142 | 0.60 | % | 4.87 | % | 0.63 | % | 2 | % | |||||||||||||||
11.41 | 6.21 | 191,762 | 0.60 | 4.62 | 0.65 | 4 | |||||||||||||||||||||
11.30 | 4.23 | 252,140 | 0.65 | 4.52 | 0.70 | 13 | |||||||||||||||||||||
11.26 | 2.39 | 327,339 | 0.74 | 4.54 | 0.79 | 17 | |||||||||||||||||||||
11.45 | 4.13 | 234,961 | 0.75 | 4.79 | 0.79 | 15 | |||||||||||||||||||||
11.58 | 3.87 | 189,747 | 0.75 | 5.50 | 0.81 | 21 |
(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. |
(e) | Calculated based upon average shares outstanding. |
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 gains | Total distributions | |||||||||||||||||||||||||
International Equity Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 17.33 | $ | 0.28 | �� | $ | (2.04 | ) | $ | (1.76 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Year Ended December 31, 2007 | 16.38 | 0.19 | 1.40 | 1.59 | (0.23 | ) | (0.41 | ) | (0.64 | ) | |||||||||||||||||||||
September 15, 2006 (e) through December 31, 2006 | 15.00 | 0.02 | 1.40 | 1.42 | (0.03 | ) | (0.01 | ) | (0.04 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) (c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$15.57 | (10.16 | )% | $ | 5,398 | 1.28 | % | 3.41 | % | 2.35 | % | 10 | % | |||||||||||||||
17.33 | 9.80 | 6,008 | 1.28 | 1.09 | 2.76 | 16 | |||||||||||||||||||||
16.38 | 9.46 | 5,472 | 1.28 | 0.35 | 5.00 | (f) | 3 |
(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. |
(e) | Commencement of operations. |
(f) | Due to the size of net assets and fixed expenses, rates may appear disproportionate. |
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 gains | Total distributions | |||||||||||||||||||||||||
Diversified Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 9.03 | $ | 0.05 | $ | (0.92 | ) | $ | (0.87 | ) | $ | (0.12 | ) | $ | (1.79 | ) | $ | (1.91 | ) | ||||||||||||
Year Ended December 31, 2007 | 16.63 | 0.18 | 0.20 | 0.38 | (0.32 | ) | (7.66 | ) | (7.98 | ) | |||||||||||||||||||||
Year Ended December 31, 2006 | 15.90 | 0.26 | 2.23 | 2.49 | (0.13 | ) | (1.63 | ) | (1.76 | ) | |||||||||||||||||||||
Year Ended December 31, 2005 | 15.82 | 0.14 | 1.29 | 1.43 | (0.11 | ) | (1.24 | ) | (1.35 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 13.78 | 0.11 | 2.00 | 2.11 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 10.45 | 0.07 | 3.33 | 3.40 | (0.07 | ) | — | (0.07 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) (c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$ 6.25 | (9.90 | )% | $ | 40,476 | 0.90 | % | 1.13 | % | 1.06 | % | 25 | % | |||||||||||||||
9.03 | 1.03 | 52,237 | 0.90 | 1.02 | 1.06 | 65 | |||||||||||||||||||||
16.63 | 16.72 | 81,561 | 0.93 | 0.91 | 0.98 | 51 | |||||||||||||||||||||
15.90 | 9.75 | 214,517 | 0.94 | 1.05 | 0.94 | 55 | |||||||||||||||||||||
15.82 | 15.40 | 138,171 | 0.92 | 0.81 | 0.93 | 75 | |||||||||||||||||||||
13.78 | 32.75 | 112,372 | 0.93 | 0.65 | 0.97 | 54 |
(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. |
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 gains | Total distributions | |||||||||||||||||||||||||
Small Cap Equity Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 12.79 | $ | 0.02 | $ | (1.07 | ) | $ | (1.05 | ) | $ | — | $ | — | $ | — | |||||||||||||||
Year Ended December 31, 2007 | 16.00 | 0.05 | (1.08 | ) | (1.03 | ) | (0.08 | ) | (2.10 | ) | (2.18 | ) | |||||||||||||||||||
September 15, 2006 (e) through December 31, 2006 | 15.00 | 0.01 | 1.06 | 1.07 | (0.03 | ) | (0.04 | ) | (0.07 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) (c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$11.74 | (8.21 | )% | $ | 2,782 | 1.28 | % | 0.28 | % | 3.61 | % | 27 | % | |||||||||||||||
12.79 | (6.03 | ) | 3,019 | 1.28 | 0.38 | 4.04 | 153 | ||||||||||||||||||||
16.00 | 7.13 | (f) | 3,214 | 1.28 | 0.20 | 6.52 | (g) | 6 |
(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. |
(e) | Commencement of operations. |
(f) | Incurred a gain from an investment transaction error. Without this gain, the total return would have been 6.93%. |
(g) | Due to the size of net assets and fixed expenses, rates may appear disproportionate. |
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 gains | Total distributions | |||||||||||||||||||||||||
Class 1 | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 18.34 | $ | 0.11(e) | $ | (2.10 | ) | $ | (1.99 | ) | $ | (0.18 | ) | $ | (1.52 | ) | $ | (1.70 | ) | ||||||||||||
Year Ended December 31, 2007 | 17.60 | 0.18 | 1.57 | 1.75 | (0.19 | ) | (0.82 | ) | (1.01 | ) | |||||||||||||||||||||
Year Ended December 31, 2006 | 15.28 | 0.19 | 2.26 | 2.45 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||||||
Year Ended December 31, 2005 | 15.08 | 0.13 | 0.21 | 0.34 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
Year Ended December 31, 2004 | 14.19 | 0.14 | 0.85 | 0.99 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 11.35 | 0.10 | 2.82 | 2.92 | (0.08 | ) | — | (0.08 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b) (c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$14.65 | (11.06 | )% | $ | 182,765 | 0.73 | % | 1.33 | % | 0.73 | % | 49 | % | |||||||||||||||
18.34 | 10.45 | 290,233 | 0.73 | 1.12 | 0.73 | 116 | |||||||||||||||||||||
17.60 | 16.15 | 148,075 | 0.85 | 1.05 | 0.87 | 129 | |||||||||||||||||||||
15.28 | 2.33 | 151,133 | 0.94 | 0.78 | 0.95 | 74 | |||||||||||||||||||||
15.08 | 7.05 | 178,123 | 0.91 | 1.01 | 0.92 | 84 | |||||||||||||||||||||
14.19 | 25.93 | 161,287 | 0.91 | 0.85 | 0.93 | 32 |
(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. |
(e) | Calculated based upon average shares outstanding. |
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 gains | Total distributions | |||||||||||||||||||||||||
International Equity Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 15.95 | $ | 0.25 | $ | (1.69 | ) | $ | (1.44 | ) | $ | (0.23 | ) | $ | (2.13 | ) | $ | (2.36 | ) | ||||||||||||
Year Ended December 31, 2007 | 14.74 | 0.19 | (e) | 1.18 | 1.37 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
Year Ended December 31, 2006 | 12.20 | 0.13 | 2.55 | 2.68 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
Year Ended December 31, 2005 | 11.12 | 0.14 | 1.04 | 1.18 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||
Year Ended December 31, 2004 | 9.45 | 0.10 | 1.63 | 1.73 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||||||
Year Ended December 31, 2003 | 7.20 | 0.03 | 2.28 | 2.31 | (0.06 | ) | — | (0.06 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b)(c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$12.15 | (10.14 | )% | $ | 69,515 | 1.09 | % | 3.57 | % | 1.20 | % | 12 | % | |||||||||||||||
15.95 | 9.33 | 83,639 | 1.22 | (f) | 1.20 | 1.22 | 15 | ||||||||||||||||||||
14.74 | 22.04 | 104,411 | 1.20 | 1.02 | 1.20 | 15 | |||||||||||||||||||||
12.20 | 10.69 | 82,806 | 1.20 | 1.27 | 1.20 | 8 | |||||||||||||||||||||
11.12 | 18.37 | 71,013 | 1.20 | 1.14 | 1.20 | 13 | |||||||||||||||||||||
9.45 | 32.44 | 44,708 | 1.20 | 0.69 | 1.56 | 123 |
(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 interest expense of 0.02%. |
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 gains | Total distributions | |||||||||||||||||||||||||
Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 30.67 | $ | 0.16 | $ | (2.83 | ) | $ | (2.67 | ) | $ | (0.29 | ) | $ | (1.95 | ) | $ | (2.24 | ) | ||||||||||||
Year Ended December 31, 2007 | 31.56 | 0.28 | 0.56 | 0.84 | (0.29 | ) | (1.44 | ) | (1.73 | ) | |||||||||||||||||||||
Year Ended December 31, 2006 | 27.84 | 0.30 | 4.31 | 4.61 | (0.18 | ) | (0.71 | ) | (0.89 | ) | |||||||||||||||||||||
Year Ended December 31, 2005 | 25.92 | 0.15 | 2.19 | 2.34 | (0.05 | ) | (0.37 | ) | (0.42 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 21.59 | 0.08 | (e) | 4.44 | 4.52 | (0.07 | ) | (0.12 | ) | (0.19 | ) | ||||||||||||||||||||
Year Ended December 31, 2003 | 16.72 | 0.09 | (e) | 4.85 | 4.94 | (0.07 | ) | — | (0.07 | ) |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b)(c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$25.76 | (9.06 | )% | $ | 263,975 | 1.00 | % | 1.07 | % | 1.25 | % | 17 | % | |||||||||||||||
30.67 | 2.45 | 312,274 | 1.00 | 0.92 | 1.25 | 48 | |||||||||||||||||||||
31.56 | 16.84 | 298,608 | 1.00 | 0.99 | 1.25 | 45 | |||||||||||||||||||||
27.84 | 9.21 | 273,620 | 1.00 | 0.80 | 1.26 | 46 | |||||||||||||||||||||
25.92 | 21.06 | 120,144 | 1.00 | 0.63 | 1.25 | 51 | |||||||||||||||||||||
21.59 | 29.63 | 29,365 | 1.00 | 0.76 | 1.58 | 45 |
(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. |
(e) | Calculated based upon average shares outstanding. |
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 gains | Total distributions | |||||||||||||||||||||||||
Small Company Portfolio | |||||||||||||||||||||||||||||||
Six Months Ended June 30, 2008 (Unaudited) | $ | 16.06 | $ | 0.01 | $ | (1.08 | ) | $ | (1.07 | ) | $ | (0.03 | ) | $ | (1.50 | ) | $ | (1.53 | ) | ||||||||||||
Year Ended December 31, 2007 | 17.82 | 0.02 | (0.95 | ) | (0.93 | ) | — | (e) | (0.83 | ) | (0.83 | ) | |||||||||||||||||||
Year Ended December 31, 2006 | 15.92 | — | (e) | 2.39 | 2.39 | — | (0.49 | ) | (0.49 | ) | |||||||||||||||||||||
Year Ended December 31, 2005 | 17.88 | (0.01 | ) | 0.29 | 0.28 | — | (2.24 | ) | (2.24 | ) | |||||||||||||||||||||
Year Ended December 31, 2004 | 14.06 | (0.05 | ) | 3.87 | 3.82 | — | — | — | |||||||||||||||||||||||
Year Ended December 31, 2003 | 10.34 | (0.06 | ) | 3.78 | 3.72 | — | — | — |
Ratios/Supplemental data | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) | |||||||||||||||||||||||||||
Net asset value, end of period | Total return (b)(c) | Net assets end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | |||||||||||||||||||||
$13.46 | (6.96 | )% | $ | 70,996 | 1.08 | % | 0.18 | % | 1.15 | % | 21 | % | |||||||||||||||
16.06 | (5.67 | ) | 82,402 | 1.15 | 0.14 | 1.15 | 44 | ||||||||||||||||||||
17.82 | 15.01 | 95,311 | 1.15 | 0.01 | 1.15 | 39 | |||||||||||||||||||||
15.92 | 3.42 | 86,926 | 1.15 | (0.04 | ) | 1.15 | 44 | ||||||||||||||||||||
17.88 | 27.17 | 81,562 | 1.15 | (0.37 | ) | 1.15 | 154 | ||||||||||||||||||||
14.06 | 35.98 | 52,215 | 1.15 | (0.53 | ) | 1.15 | 60 |
(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. |
(e) | Amount rounds to less than $0.01. |
J.P. Morgan Series Trust II and JPMorgan Insurance Trust
J.P. Morgan Series Trust II (a Delaware statutory trust) | JPMorgan Insurance Trust (a Massachusetts business trust) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Quorum of shareholders | Thirty-three and one-third of shares entitled to vote unless a larger vote is expressly required by any provision of applicable law, the Declaration of Trust, or the Bylaws. | Majority of shares entitled to vote unless a larger vote is expressly required by any provision of applicable law, the Declaration of Trust, or the Bylaws. | ||||||||
Can the Fund issue an unlimited number of shares? | Yes | Yes | ||||||||
Do the Trustees have the power to materially amend the governing instrument without shareholder approval? | Yes1 | No2 | ||||||||
Can the Trustees amend the by-laws without shareholder approval? | Yes3 | Yes4 | ||||||||
Is termination of the trust (as opposed to a series thereof) possible without shareholder approval? | Yes | Yes | ||||||||
Can the Trustees act without a meeting? | Yes5 | Yes6 | ||||||||
Trustee liability other than what the federal securities laws already prescribe? | No | No | ||||||||
Shareholder liability? | No | No7 |
(1) | Shareholders have the right to vote (i) on any amendment that would affect their right to vote granted in Article V, Section 1 (right to vote for the Trustees), (ii) on any amendment to Section 4 of Article VIII (Declaration of trust’s amendment provision), (iii) on any amendment that may be required by applicable law or by the trust’s registration statement filed with the Securities and Exchange Commission and (iv) on any amendment submitted to them by the Trustees. |
(2) | The Trustees may amend the Declaration of Trust without shareholder vote to designate series or Classes, to change the name of the trust, to correct ambiguities or inconsistent provisions, or to comply the Declaration of Trust with federal laws or regulations. |
(3) | Provided that no such amendment shall limit the rights to indemnification or insurance provided in the Bylaws. |
(4) | Except where such amendment, adoption or repeal requires, pursuant to law, the Declaration of Trust, or the Bylaws, a vote of the shareholders, or affects the provisions of Sections 1 and 4 of Article X (custodian selection and contract) or the provisions of Article XII (amendment provision). |
(5) | By written consent of a majority of the Trustees unless a higher proportion is required by law or a specific provision in the Declaration of Trust. |
(6) | If all Trustees or all members of a committee (where action may be by a committee) consent to the action in writing. |
(7) | Under Massachusetts law, shareholders could, under certain circumstances, be held personally liable for the obligations of the trust. However, the Declaration of Trust disclaims shareholder liability for acts or obligations of the trust. The Declaration of Trust provides for indemnification out of the property of the trust for all loss and expense of any shareholder of the trust held personally liable solely by reason of his being or having been a shareholder. Thus, the risk of a shareholder incurring financial loss on account of being a shareholder is limited to circumstances in which the trust itself would be unable to meet its obligations. |
YOUR VOTING INSTRUCTIONS ARE IMPORTANT
Your Voting Instructions are important!
And now you can Provide Instructions on the PHONE or the INTERNET.
It saves Money! Telephone and Internet instructions saves postage costs.
It saves Time! Telephone and Internet instructions are instantaneous – 24 hours a day.
It’s Easy! Just follow these simple steps:
1. Read your proxy statement and have it at hand.
2. Call toll-free 1-866-235-4258 or go to website: www.proxy-direct.com
3. Follow the recorded or on-screen directions.
4. Do not mail your Voting Instructions Card when you vote by phone or Internet.
Please detach at perforation before mailing.
VOTING INSTRUCTIONS | J.P. MORGAN SERIES TRUST II | VOTING INSTRUCTIONS |
[Insurance Company]
The undersigned owner or holder of a variable annuity contract or variable life insurance policy (“Contract”) hereby instructs the issuing insurance company named above to vote and act with respect to all shares of the Acquired Portfolios attributable to his or her Contract at the Special Meeting of Shareholders of the Portfolio to be held at 9:00 a.m., Eastern time, on April 1, 2009, at the offices of J.P. Morgan Investment Management Inc., 245 Park Avenue, New York, New York 10167, and at any adjournment of postponement thereof (“Meeting”), and to use its discretion as indicated on the matters referred to in the Proxy Statement for the Meeting, receipt of which is hereby acknowledged, to vote upon such other business as may properly come before the Meeting.
This Voting Instruction when properly executed will be voted in the manner directed by the undersigned. IF NO INSTRUCTIONS ARE GIVEN, THIS VOTING INSTRUCTION WILL BE VOTED FOR THE APPROVAL OF THE PROPOSAL LISTED ON THE REVERSE SIDE. THE SOLICITATION OF THIS VOTING INSTRUCTION IS MADE ON BEHALF OF THE BOARD OF TRUSTEES. Your vote is important. Complete, sign on the reverse side and return this card as soon as possible.
VOTE VIA THE TELEPHONE: 1-866-235-4258
VOTE VIA THE INTERNET: www.proxy-direct.com
YOUR VOTE IS IMPORTANT.
Please complete, sign and return this card as soon as possible. Please sign exactly as your name(s) appear(s) on this Voting Instruction. If shares are held jointly, each holder should sign. When signing in a representative capacity, please give title.
__________________________________________________________
Signature
__________________________________________________________
Signature (if held jointly)
______________________________________________________,2009
Date JPM_19661_VI_112508
YOUR VOTING INSTRUCTIONS ARE IMPORTANT
Portfolios | Portfolios |
Please detach at perforation before mailing.
The Board of Trustees recommends that you vote FOR the proposals below.
PLEASE MARK VOTES AS IN THIS EXAMPLE: |
1. | To approve a proposed Agreement and Plan of Reorganization relating to your Acquired Portfolio providing for (i) the acquisition of all of the assets and assumptions of all of the liabilities of an Acquired Portfolio in exchange for shares of the corresponding JPMorgan Insurance Trust Portfolio opposite its name in the following chart and (ii) the subsequent liquidation of the Acquired Portfolio; |
Acquired Portfolio | Corresponding JPMorgan Insurance Trust Portfolio | FOR | WITHHOLD | ABSTAIN |
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | |||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
These voting instructions will be voted as specified. IF NO SPECIFICATION IS MADE, THESE VOTING INSTRUCTIONS WILL BE VOTED FOR APPROVAL OF PROPOSAL 1. IF YOU FAIL TO RETURN THIS VOTING INSTRUCTION CARD, THE COMPANY WILL VOTE ALL SHARES ATTRIBUTABLE TO YOUR ACCOUNT VALUE IN PROPORTION TO THE VOTING INSTRUCTIONS FOR THE PORTFOLIO ACTUALLY RECEIVED.
PLEASE SIGN, DATE, AND RETURN THE VOTING INSTRUCTIONS PROMPTLY USING THE ENCLOSED ENVELOPE.
JPM_19661_VI_112508
EVERY SHAREHOLDER’S VOTE IS IMPORTANT
Your Proxy Vote is important!
And now you can Vote your Proxy on the PHONE or the INTERNET.
It saves Money! Telephone and Internet voting saves postage costs.
It saves Time! Telephone and Internet voting is instantaneous – 24 hours a day.
It’s Easy! Just follow these simple steps:
1. Read your proxy statement and have it at hand.
2. Call toll-free 1-866-241-6192 or go to website: www.proxy-direct.com
3. Enter the 14-digit number located in the shaded box from your Proxy Card.
4. Follow the recorded or on-screen directions.
5. Do not mail your Proxy Card when you vote by phone or Internet.
Please detach at perforation before mailing.
PROXY | J.P MORGAN SERIES TRUST II | PROXY |
The undersigned acknowledges receipt of the Notice of Meeting and Proxy Statement for the Special Meeting of Shareholders of J.P. Morgan Series Trust II Portfolios and the JPMorgan Insurance Trust Government Bond Portfolio, to be held at the offices of J.P. Morgan Investment Management Inc. (“JPMIM”) 245 Park Avenue, New York, New York 10167 on April 1, 2009, at 9:00 a.m., Eastern Time (the “Meeting”), and appoints Laura Melman, Tiffany Prasad, Frank Tango and Michael Tansley (and each of them) proxies, with power of substitution, to attend the Special Meeting (and any postponements or adjournments thereof) and to vote all shares the undersigned is entitled to vote upon the matters indicated on the reverse side and with discretionary power to vote on any other business that may properly come before the Special Meeting.
This Proxy when properly executed will be voted in the manner directed by the undersigned. IF NO INSTRUCTIONS ARE GIVEN, THIS PROXY WILL BE VOTED FOR THE APPROVAL OF THE PROPOSAL LISTED ON THE REVERSE SIDE. THE SOLICITATION OF THIS PROXY IS MADE ON BEHALF OF THE BOARD OF TRUSTEES. Your vote is important. Complete, sign on the reverse side and return this card as soon as possible.
VOTE VIA THE TELEPHONE: 1-866-241-6192
VOTE VIA THE INTERNET: www.proxy-direct.com
YOUR VOTE IS IMPORTANT.
Please complete, sign and return this card as soon as possible. Please sign exactly as your name(s) appear(s) on this Proxy. If shares are held jointly, each holder should sign. When signing in a representative capacity, please give title.
__________________________________________________________
Signature
__________________________________________________________
Signature (if held jointly)
______________________________________________________,2009
Date JPM_19661_121008
EVERY SHAREHOLDER’S VOTE IS IMPORTANT
Portfolios | Portfolios |
JPMorgan Bond Portfolio | JPMorgan International Equity Portfolio |
JPMorgan Mid Cap Value Portfolio | JPMorgan Small Company Portfolio |
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Government Bond Portfolio |
Please detach at perforation before mailing.
The Board of Trustees recommends that you vote FOR the proposals below.
PLEASE MARK VOTES AS IN THIS EXAMPLE: |
1. | To approve a proposed Agreement and Plan of Reorganization relating to your Acquired Portfolio providing for (i) the acquisition of all of the assets and assumptions of all of the liabilities of an Acquired Portfolio in exchange for shares of the corresponding JPMorgan Insurance Trust Portfolio opposite its name in the following chart and (ii) the subsequent liquidation of the Acquired Portfolio; |
Acquired Portfolio | Corresponding JPMorgan Insurance Trust Portfolio | FOR | WITHHOLD | ABSTAIN |
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | |||
JPMorgan International Equity Portfolio | JPMorgan Insurance Trust International Equity Portfolio | |||
JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | |||
JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | |||
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | |||
JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
PLEASE SIGN, DATE, AND RETURN THE VOTING INSTRUCTIONS PROMPTLY USING THE ENCLOSED ENVELOPE.
JPM_19661_121008
PART B
JPMORGAN INSURANCE TRUST
Statement of Additional Information
January __, 2009
Acquired Funds |
| Acquiring Funds |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
(a series of J.P. Morgan Series Trust II) |
| (a series of JPMorgan Insurance Trust) |
245 Park Avenue |
| 1111 Polaris Parkway |
New York, New York 10167 |
| Columbus, Ohio 43240 |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan Insurance Trust Government Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
(a series of JPMorgan Insurance Trust) |
| (a series of JPMorgan Insurance Trust) |
1111 Polaris Parkway |
| 1111 Polaris Parkway |
Columbus, Ohio 43240 |
| Columbus, Ohio 43240 |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan International Equity Portfolio |
| JPMorgan Insurance Trust International Equity Portfolio |
(a series of J.P. Morgan Series Trust II) |
| (a series of JPMorgan Insurance Trust) |
245 Park Avenue |
| 1111 Polaris Parkway |
New York, New York 10167 |
| Columbus, Ohio 43240 |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan Mid Cap Value Portfolio |
| JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
(a series of J.P. Morgan Series Trust II) |
| (a series of JPMorgan Insurance Trust) |
245 Park Avenue |
| 1111 Polaris Parkway |
New York, New York 10167 |
| Columbus, Ohio 43240 |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan Small Company Portfolio |
| JPMorgan Insurance Trust Small Cap Equity Portfolio |
(a series of J.P. Morgan Series Trust II) |
| (a series of JPMorgan Insurance Trust) |
245 Park Avenue |
| 1111 Polaris Parkway |
New York, New York 10167 |
| Columbus, Ohio 43240 |
|
|
|
Acquisition of the Assets and Liabilities of |
| By and in Exchange for Shares of |
JPMorgan U.S. Large Cap Core Equity Portfolio |
| JPMorgan Insurance Trust Diversified Equity Portfolio |
(a series of J.P. Morgan Series Trust II) |
| (a series of JPMorgan Insurance Trust) |
245 Park Avenue |
| 1111 Polaris Parkway |
New York, New York 10167 |
| Columbus, Ohio 43240 |
This Statement of Additional Information, which is not a prospectus, supplements and should be read in conjunction with the Proxy Statement/Prospectus dated January __, 2009, relating specifically to the proposed transfer of:
a.
all of the assets of JPMorgan Bond Portfolio to JPMorgan Insurance Trust Core Bond Portfolio and the assumption of all the liabilities of JPMorgan Bond Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust Core Bond Portfolio having an aggregate net asset value equal to those of JPMorgan Bond Portfolio;
b.
all of the assets of JPMorgan Insurance Trust Government Bond Portfolio to JPMorgan Insurance Trust Core Bond Portfolio and the assumption of all the liabilities of JPMorgan Insurance Trust Government Bond Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust Core Bond Portfolio having an aggregate net asset value equal to those of JPMorgan Insurance Trust Government Bond Portfolio;
1
c.
all of the assets of JPMorgan International Equity Portfolio to JPMorgan Insurance Trust International Equity Portfolio and the assumption of all the liabilities of JPMorgan International Equity Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust International Equity Portfolio having an aggregate net asset value equal to those of JPMorgan International Equity Portfolio; and
d.
all of the assets of JPMorgan Mid Cap Value Portfolio to JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio and the assumption of all the liabilities of JPMorgan Mid Cap Value Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio having an aggregate net asset value equal to those of JPMorgan Mid Cap Value Portfolio.
e.
all of the assets of JPMorgan Small Company Portfolio to JPMorgan Insurance Trust Small Cap Equity Portfolio and the assumption of all the liabilities of JPMorgan Small Company Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust Small Cap Equity Portfolio having an aggregate net asset value equal to those of JPMorgan Small Company Portfolio; and
f.
all of the assets of JPMorgan U.S. Large Cap Core Equity Portfolio to JPMorgan Insurance Trust Diversified Equity Portfolio and the assumption of all the liabilities of JPMorgan U.S. Large Cap Core Equity Portfolio in exchange for Class 1 shares of JPMorgan Insurance Trust Diversified Equity Portfolio having an aggregate net asset value equal to those of JPMorgan U.S. Large Cap Core Equity Portfolio.
To obtain a copy of the Proxy Statement/Prospectus, please write to JPMorgan Funds Services at P. O. Box 8528, Boston, MA 02266-8528 or call (800) 480-4111 or visit jpmorganfunds.com. The transfers are to occur pursuant to certain Agreements and Plans of Reorganization. Unless otherwise indicated, capitalized terms used herein have the same meanings as are given to them in the Proxy Statement/Prospectus.
TABLE OF CONTENTS
2
GENERAL INFORMATION
A Combined Special Meeting of Shareholders of J.P. Morgan Series Trust II will be held at the offices of J.P. Morgan Investment Management Inc., 245 Park Avenue, New York, New York 10167, on Wednesday, April 1, 2009 at 9:00 a.m. Eastern Time. For further information about the Reorganizations, see the Proxy Statement/Prospectus.
A Combined Special Meeting of Shareholders of JPMorgan Insurance Trust Government Bond Portfolio to consider the Reorganization will be held at the offices of J.P. Morgan Investment Management Inc., 245 Park Avenue, New York, New York 10167, on Wednesday, April 1, 2005, at 9:00 a.m., Eastern Time. For further information about the Reorganization, see the Proxy Statement/Prospectus.
DOCUMENTS INCORPORATED BY REFERENCE, INCLUDING FINANCIAL STATEMENTS
This Statement of Additional Information of JPMorgan Insurance Trust Core Bond Portfolio, JPMorgan Insurance Trust International Equity Portfolio, JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio, JPMorgan Insurance Trust Small Cap Equity Portfolio, and JPMorgan Insurance Trust Diversified Equity Portfolio consists of this cover page, the accompanying pro forma financial statements and related notes and the following documents, each of which was filed electronically with the Securities and Exchange Commission and is incorporated by reference herein:
1.
The Statement of Additional Information for JPMorgan Insurance Trust dated May 1, 2008, as supplemented;
2.
The preliminary Statement of Additional Information for JPMorgan Insurance Trust, subject to completion, filed November 26, 2008;
3.
The Statement of Additional Information for J.P. Morgan Series Trust II dated May 1, 2008, as supplemented;
4.
The Financial Statements of the Acquiring Funds as included in the Acquiring Funds’ Annual Reports filed for the year ended December 31, 2007;
5.
The Financial Statements of the J.P. Morgan Series Trust II Acquired Funds, as included in such Funds’ Annual Reports filed for the year ended December 31, 2007;
6.
The Financial Statements of JPMorgan Insurance Trust Government Bond Portfolio as included in the Fund’s Annual Report filed for the period ended December 31, 2007;
7.
The Financial Statements of the Acquiring Funds as included in the Acquiring Funds’ Semi-Annual Reports filed for the period ended June 30, 2008;
8.
The Financial Statements of the J.P. Morgan Series Trust II Acquired Funds as included in such Funds’ Semi-Annual Reports filed for the period ending June 30, 2008; and
9.
The Financial Statements of JPMorgan Insurance Trust Government Bond Portfolio as included in the Fund’s Semi-Annual Report filed for the period ended June 30, 2008.
Shown below are the financial statements for each Acquired Fund and Acquiring Fund (the “Funds”) as of the dates indicated and pro forma financial statements for the combined Funds (each, a “Combined Fund”), assuming the reorganization of the applicable Acquired Fund into the Acquiring Fund had been effective on June 30, 2008 and with respect to the Statements of Operations as if the reorganization occurred on July 1, 2007. The first table presents Portfolio of Investments for each Fund and pro forma figures for the Combined Fund. The second table presents Statements of Assets and Liabilities for each Fund and estimated pro forma figures for the Combined Fund. The third table presents Statements of Operations for each Fund and estimated pro forma figures for the Combined Fund. These tables are followed by the Notes to the Pro Forma Financial Statements.
3
JPMorgan Bond Portfolio/JPMorgan Insurance Trust Core Bond Portfolio |
|
| ||||
Combined Schedule of Portfolio Investments |
|
|
|
| ||
As of June 30, 2008 (Unaudited) |
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Bond Portfolio | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
| Combined Pro Forma | Combined Pro Forma |
Principal ($) | Value ($) | Principal ($) | Value ($) | Security Description | Principal ($) | Value ($) |
|
|
|
| Long-Term Investments -- 104.9% |
|
|
|
|
|
| Asset-Backed Securities -- 2.6% |
|
|
|
| 150,000 |
| American Express Credit Account Master Trust, | 150,000 |
|
|
|
| 151,219 | Series 2004-3, Class A, 4.35%, 12/15/11 |
| 151,219 |
|
|
|
| AmeriCredit Automobile Receivables Trust, |
|
|
|
| 217,917 | 216,938 | Series 2006-BG, Class A3, 5.21%, 10/06/11 (i) | 217,917 | 216,938 |
|
| 400,000 | 362,318 | Series 2006-BG, Class A4, 5.21%, 09/06/13 (i) | 400,000 | 362,318 |
200,000 |
|
|
| Bank of America Credit Card Trust, | 200,000 |
|
| 195,793 |
|
| Series 2006-C4, Class C4, VAR, 2.70%, 11/15/11 (m) |
| 195,793 |
|
| 60,463 |
| Bear Stearns Asset Backed Securities Trust, Inc., | 60,463 |
|
|
|
| 47,014 | Series 2006-SD1, Class A, VAR, 2.85%, 04/25/36 (i) (y) |
| 47,014 |
595,000 |
|
|
| Capital One Multi-Asset Execution Trust, | 595,000 |
|
| 604,850 |
|
| Series 2007-A9, Class A9, 4.95%, 08/15/12 (m) |
| 604,850 |
|
|
|
| Citibank Credit Card Issuance Trust, |
|
|
|
| 450,000 | 444,306 | Series 2002-C2, Class C2, 6.95%, 02/18/14 | 450,000 | 444,306 |
|
| 250,000 | 250,642 | Series 2005-B1, Class B1, 4.40%, 09/15/10 | 250,000 | 250,642 |
100,422 |
|
|
| Citigroup Mortgage Loan Trust, Inc., | 100,422 |
|
| 80,480 |
|
| Series 2003-HE3, Class A, VAR, 2.86%, 12/25/33 (m) |
| 80,480 |
21,522 |
|
|
| CNH Equipment Trust, | 21,522 |
|
| 21,540 |
|
| Series 2005-B, Class A3, 4.27%, 01/15/10 (m) |
| 21,540 |
|
|
|
| Countrywide Asset-Backed Certificates, |
|
|
135,369 | 114,716 |
|
| Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 135,369 | 114,716 |
1,056 | 934 |
|
| Series 2004-1, Class 3A, VAR, 2.76%, 04/25/34 (m) | 1,056 | 934 |
120,000 | 92,287 |
|
| Series 2004-1, Class M1, VAR, 2.98%, 03/25/34 (m) | 120,000 | 92,287 |
100,000 | 84,235 |
|
| Series 2004-1, Class M2, VAR, 3.03%, 03/25/34 (m) | 100,000 | 84,235 |
|
|
|
| Countrywide Home Equity Loan Trust, |
|
|
93,419 | 58,660 |
|
| Series 2004-I, Class A, VAR, 2.76%, 02/15/34 (m) | 93,419 | 58,660 |
31,403 | 23,699 |
|
| Series 2004-K, Class 2A, VAR, 2.77%, 02/15/34 (m) | 31,403 | 23,699 |
|
|
|
| First Franklin Mortgage Loan Asset Backed Certificates, |
|
|
125,000 | 99,001 |
|
| Series 2005-FF2, Class M3, VAR, 2.96%, 03/25/35 (m) | 125,000 | 99,001 |
250,000 | 176,521 |
|
| Series 2005-FF11, Class M1, VAR, 2.91%, 11/25/35 (m) | 250,000 | 176,521 |
1,584 |
|
|
| GSAMP Trust, | 1,584 |
|
| 1,324 |
|
| Series 2004-OPT, Class A1, VAR, 2.82%, 11/25/34 (m) |
| 1,324 |
210,000 |
|
|
| Home Equity Asset Trust, | 210,000 |
|
| 125,685 |
|
| Series 2005-8, Class M2, VAR, 2.93%, 02/25/36 (m) |
| 125,685 |
|
| 175,000 |
| Household Automotive Trust, | 175,000 |
|
|
|
| 173,867 | Series 2005-1 Class A4, 4.35%, 06/18/12 |
| 173,867 |
500,000 |
|
|
| K2 (USA) LLC, | 500,000 |
|
| - |
|
| Series 2007-2D, VAR, 5.12%, 02/15/10 (f) (i) (s) (v) |
| - |
|
|
|
| Long Beach Mortgage Loan Trust, |
|
|
300,000 | 251,581 |
|
| Series 2003-4, Class M1, VAR, 3.16%, 08/25/33 | 300,000 | 251,581 |
190,000 | 147,992 |
|
| Series 2004-1, Class M1, VAR, 2.98%, 02/25/34 | 190,000 | 147,992 |
125,000 | 96,278 |
|
| Series 2004-1, Class M2, VAR, 3.03%, 02/25/34 | 125,000 | 96,278 |
250,000 | 199,313 |
|
| Series 2004-3, Class M1, VAR, 3.05%, 07/25/34 | 250,000 | 199,313 |
125,000 |
|
|
| MASTR Asset Backed Securities Trust, | 125,000 |
|
| 96,784 |
|
| Series 2005-OPT1, Class M2, VAR, 2.90%, 03/25/35 |
| 96,784 |
|
|
|
| MBNA Credit Card Master Note Trust, |
|
|
275,000 | 275,090 |
|
| Series 2001-C2, Class C2, VAR, 3.62%, 12/15/10 (e) | 275,000 | 275,090 |
|
| 200,000 | 197,200 | Series 2002-C1, Class C1, 6.80%, 07/15/14 | 200,000 | 197,200 |
|
| 75,000 | 73,924 | Series 2003-C1, Class C1, VAR, 4.17%, 06/15/12 | 75,000 | 73,924 |
|
| 240,000 |
| MBNA Master Credit Card Trust, | 240,000 |
|
|
|
| 246,183 | Series 1999-J, Class C, 7.85%, 02/15/12 (e) |
| 246,183 |
125,000 |
|
|
| New Century Home Equity Loan Trust, | 125,000 |
|
| 99,813 |
|
| Series 2005-1, Class M1, VAR, 2.93%, 03/25/35 |
| 99,813 |
|
|
|
| Option One Mortgage Loan Trust, |
|
|
40,285 | 33,493 |
|
| Series 2003-1, Class A2, VAR, 3.32%, 02/25/33 | 40,285 | 33,493 |
23,968 | 21,211 |
|
| Series 2003-5, Class A2, VAR, 2.80%, 08/25/33 | 23,968 | 21,211 |
|
|
|
| Residential Asset Securities Corp, |
|
|
10,754 | 9,346 |
|
| Series 2002-KS4, Class AIIB, VAR, 2.98%, 07/25/32 | 10,754 | 9,346 |
16,145 | 11,397 |
|
| Series 2003-KS5, Class AIIB, VAR, 3.06%, 07/25/33 | 16,145 | 11,397 |
17,585 | 12,819 |
|
| Series 2003-KS9, Class A2B, VAR, 3.12%, 11/25/33 | 17,585 | 12,819 |
250,000 | 170,646 |
|
| Series 2005-KS11, Class M2, VAR, 2.90%, 12/25/35 | 250,000 | 170,646 |
250,000 |
|
|
| Soundview Home Equity Loan Trust, | 250,000 |
|
| 87,984 |
|
| Series 2005-OPT4, Class M1, VAR 2.94%, 12/25/35 |
| 87,984 |
|
|
|
| Wachovia Asset Securitization, Inc., |
|
|
24,185 | 18,543 |
|
| Series 2002-HE2, Class A, VAR, 2.91%, 12/25/32 | 24,185 | 18,543 |
40,935 | 32,079 |
|
| Series 2003-HE2, Class AII1, VAR, 2.74%, 06/25/33 | 40,935 | 32,079 |
88,785 | 70,558 |
|
| Series 2003-HE3, Class A, VAR, 2.73%, 11/25/33 | 88,785 | 70,558 |
|
|
|
| Total Asset-Backed Securities |
|
|
| 3,314,652 |
| 2,163,611 | (Cost $4,641,401, $2,221,417 and $6,862,818, respectively) |
| 5,478,263 |
|
|
|
|
|
|
|
|
|
|
| Collateralized Mortgage Obligations -- 49.1% |
|
|
|
|
|
| Agency CMO -- 28.2% |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. REMICS, |
|
|
|
| 16,645 | 17,604 | Series 11, Class D, 9.50%, 07/15/19 | 16,645 | 17,604 |
|
| 10,473 | 11,117 | Series 22, Class C, 9.50%, 04/15/20 | 10,473 | 11,117 |
|
| 2,421 | 2,662 | Series 47, Class F, 10.00%, 06/15/20 | 2,421 | 2,662 |
|
| 1,926 | 2,055 | Series 99, Class Z, 9.50%, 01/15/21 | 1,926 | 2,055 |
|
| 2,203 | 2,341 | Series 1065, Class J, 9.00%, 04/15/21 | 2,203 | 2,341 |
|
| 321,078 | 349,557 | Series 1113, Class J, 8.50%, 06/15/21 | 321,078 | 349,557 |
|
| 17,927 | 18,643 | Series 1250, Class J, 7.00%, 05/15/22 | 17,927 | 18,643 |
|
| 29,910 | 31,464 | Series 1316, Class Z, 8.00%, 06/15/22 | 29,910 | 31,464 |
|
| 51,690 | 54,335 | Series 1324, Class Z, 7.00%, 07/15/22 | 51,690 | 54,335 |
|
| 36,646 | 39,764 | Series 1343, Class LA, 8.00%, 08/15/22 | 36,646 | 39,764 |
|
| 42,711 | 42,664 | Series 1343, Class LB, 7.50%, 08/15/22 | 42,711 | 42,664 |
|
| 32,146 | 33,536 | Series 1394, Class ID, IF, 9.57%, 10/15/22 | 32,146 | 33,536 |
|
| 28,902 | 28,869 | Series 1395, Class G, 6.00%, 10/15/22 | 28,902 | 28,869 |
|
| 21,155 | 22,109 | Series 1505, Class Q, 7.00%, 05/15/23 | 21,155 | 22,109 |
|
| 41,721 | 40,822 | Series 1518, Class G, IF, 7.01%, 05/15/23 | 41,721 | 40,822 |
|
| 43,638 | 42,415 | Series 1541, Class O, VAR, 3.28%, 07/15/23 | 43,638 | 42,415 |
|
| 1,666 | 1,660 | Series 1561, Class TA, PO, 08/15/08 | 1,666 | 1,660 |
|
| 45,637 | 46,971 | Series 1596, Class D, 6.50%, 10/15/13 | 45,637 | 46,971 |
|
| 18,606 | 20,080 | Series 1607, Class SA, IF, 13.68%, 10/15/13 | 18,606 | 20,080 |
|
| 39,494 | 41,690 | Series 1609, Class LG, IF, 11.92%, 11/15/23 | 39,494 | 41,690 |
|
| 5,244 | 5,268 | Series 1625, Class SD, IF, 8.50%, 12/15/08 | 5,244 | 5,268 |
|
| 500,000 | 529,716 | Series 1638, Class H, 6.50%, 12/15/23 | 500,000 | 529,716 |
|
| 2,387 | 2,626 | Series 1671, Class QC, IF, 10.00%, 02/15/24 | 2,387 | 2,626 |
|
| 7,167 | 7,220 | Series 1685, Class Z, 6.00%, 11/15/23 | 7,167 | 7,220 |
|
| 213 | 213 | Series 1689, Class SD, IF, 10.53%, 10/15/23 | 213 | 213 |
|
| 22,544 | 19,441 | Series 1700, Class GA, PO, 02/15/24 | 22,544 | 19,441 |
|
| 1,707,826 | 1,797,743 | Series 1732, Class K, 6.50%, 05/15/24 | 1,707,826 | 1,797,743 |
|
| 108,473 | 107,915 | Series 1798, Class F, 5.00%, 05/15/23 | 108,473 | 107,915 |
|
| 236,077 | 246,407 | Series 1863, Class Z, 6.50%, 07/15/26 | 236,077 | 246,407 |
|
| 4,027 | 2,353 | Series 1865, Class D, PO, 02/15/24 | 4,027 | 2,353 |
|
| 2,379 | 2,372 | Series 1900, Class T, PO, 08/15/08 | 2,379 | 2,372 |
|
| 1,046 | 1,041 | Series 1967, Class PC, PO, 10/15/08 | 1,046 | 1,041 |
|
| 70,472 | 72,625 | Series 1981, Class Z, 6.00%, 05/15/27 | 70,472 | 72,625 |
|
| 87,669 | 88,970 | Series 1987, Class PE, 7.50%, 09/15/27 | 87,669 | 88,970 |
|
| 46,346 | 47,416 | Series 2025, Class PE, 6.30%, 01/15/13 | 46,346 | 47,416 |
|
| 23,921 | 10,869 | Series 2033, Class SN, IF, IO, 17.46%, 03/15/24 | 23,921 | 10,869 |
|
| 40,216 | 10,899 | Series 2038, Class PN, IO, 7.00%, 03/15/28 | 40,216 | 10,899 |
|
| 108,742 | 116,110 | Series 2054, Class PV, 7.50%, 05/15/28 | 108,742 | 116,110 |
|
| 68,801 | 71,270 | Series 2055, Class OE, 6.50%, 05/15/13 | 68,801 | 71,270 |
|
| 170,367 | 179,924 | Series 2064, Class TE, 7.00%, 06/15/28 | 170,367 | 179,924 |
|
| 147,646 | 154,972 | Series 2075, Class PH, 6.50%, 08/15/28 | 147,646 | 154,972 |
|
| 106,344 | 110,044 | Series 2102, Class TU, 6.00%, 12/15/13 | 106,344 | 110,044 |
|
| 226,350 | 234,134 | Series 2115, Class PE, 6.00%, 01/15/14 | 226,350 | 234,134 |
|
| 3,886 | 3,887 | Series 2132, Class PD, 6.00%, 11/15/27 | 3,886 | 3,887 |
|
| 30,134 | 33,370 | Series 2132, Class SB, IF, 19.89%, 03/15/29 | 30,134 | 33,370 |
|
| 65,039 | 10,968 | Series 2134, Class PI, IO, 6.50%, 03/15/19 | 65,039 | 10,968 |
|
| 13,632 | 1,737 | Series 2135, Class UK, IO, 6.50%, 03/15/14 | 13,632 | 1,737 |
|
| 6,797 | 6,819 | Series 2143, Class CD, 6.00%, 02/15/28 | 6,797 | 6,819 |
|
| 829,000 | 886,098 | Series 2172, Class QC, 7.00%, 07/15/29 | 829,000 | 886,098 |
|
| 260,428 | 280,721 | Series 2182, Class ZB, 8.00%, 09/15/29 | 260,428 | 280,721 |
|
| 44,863 | 47,241 | Series 2247, Class Z, 7.50%, 08/15/30 | 44,863 | 47,241 |
|
| 12,701 | 13,017 | Series 2261, Class ZY, 7.50%, 10/15/30 | 12,701 | 13,017 |
|
| 178,924 | 190,382 | Series 2283, Class K, 6.50%, 12/15/23 | 178,924 | 190,382 |
|
| 26,850 | 20,756 | Series 2306, Class K, PO, 05/15/24 | 26,850 | 20,756 |
|
| 64,441 | 8,790 | Series 2306, Class SE, IF, IO, 6.74%, 05/15/24 | 64,441 | 8,790 |
|
| 86,210 | 93,111 | Series 2325, Class PM, 7.00%, 06/15/31 | 86,210 | 93,111 |
|
| 502,435 | 525,968 | Series 2344, Class ZD, 6.50%, 08/15/31 | 502,435 | 525,968 |
|
| 82,093 | 86,126 | Series 2344, Class ZJ, 6.50%, 08/15/31 | 82,093 | 86,126 |
|
| 51,813 | 54,314 | Series 2345, Class NE, 6.50%, 08/15/31 | 51,813 | 54,314 |
|
| 475,298 | 499,579 | Series 2345, Class PQ, 6.50%, 08/15/16 | 475,298 | 499,579 |
|
| 172,335 | 179,263 | Series 2355, Class BP, 6.00%, 09/15/16 | 172,335 | 179,263 |
|
| 177,132 | 211,528 | Series 2359, Class ZB, 8.50%, 06/15/31 | 177,132 | 211,528 |
|
| 11,692 | 11,768 | Series 2362, Class PD, 6.50%, 06/15/20 | 11,692 | 11,768 |
|
| 309,695 | 317,328 | Series 2391, Class QR, 5.50%, 12/15/16 | 309,695 | 317,328 |
|
| 202,134 | 204,724 | Series 2392, Class PV, 6.00%, 12/15/20 | 202,134 | 204,724 |
|
| 245,346 | 255,242 | Series 2394, Class MC, 6.00%, 12/15/16 | 245,346 | 255,242 |
|
| 102,777 | 106,729 | Series 2410, Class OE, 6.38%, 02/15/32 | 102,777 | 106,729 |
|
| 155,384 | 155,906 | Series 2410, Class QS, IF, 13.07%, 02/15/32 | 155,384 | 155,906 |
|
| 98,993 | 11,552 | Series 2410, Class QX, IF, IO, 6.18%, 02/15/32 | 98,993 | 11,552 |
|
| 57,805 | 57,814 | Series 2412, Class SE, IF, 11.28%, 02/15/09 | 57,805 | 57,814 |
|
| 100,000 | 104,862 | Series 2412, Class SP, IF, 11.16%, 02/15/32 | 100,000 | 104,862 |
|
| 211,683 | 224,067 | Series 2423, Class MC, 7.00%, 03/15/32 | 211,683 | 224,067 |
|
| 341,036 | 360,986 | Series 2423, Class MT, 7.00%, 03/15/32 | 341,036 | 360,986 |
|
| 227,841 | 239,602 | Series 2435, Class CJ, 6.50%, 04/15/32 | 227,841 | 239,602 |
|
| 470,000 | 483,175 | Series 2435, Class VH, 6.00%, 07/15/19 | 470,000 | 483,175 |
|
| 146,377 | 17,721 | Series 2444, Class ES, IF, IO, 5.48%, 03/15/32 | 146,377 | 17,721 |
|
| 97,585 | 11,935 | Series 2450, Class SW, IF, IO, 5.53%, 03/15/32 | 97,585 | 11,935 |
|
| 50,259 | 51,104 | Series 2454, Class BG, 6.50%, 08/15/31 | 50,259 | 51,104 |
|
| 300,000 | 315,900 | Series 2455, Class GK, 6.50%, 05/15/32 | 300,000 | 315,900 |
|
| 286,409 | 294,869 | Series 2460, Class VZ, 6.00%, 11/15/29 | 286,409 | 294,869 |
|
| 220,122 | 231,897 | Series 2484, Class LZ, 6.50%, 07/15/32 | 220,122 | 231,897 |
|
| 318,569 | 322,464 | Series 2498, Class UD, 5.50%, 06/15/16 | 318,569 | 322,464 |
|
| 790,000 | 803,951 | Series 2500, Class MC, 6.00%, 09/15/32 | 790,000 | 803,951 |
|
| 2,271 | 2,269 | Series 2500, Class TD, 5.50%, 02/15/16 | 2,271 | 2,269 |
|
| 129,344 | 132,437 | Series 2503, Class BH, 5.50%, 09/15/17 | 129,344 | 132,437 |
|
| 129,630 | 114,002 | Series 2513, Class YO, PO, 02/15/32 | 129,630 | 114,002 |
|
| 457,274 | 434,422 | Series 2515, Class DE, 4.00%, 03/15/32 | 457,274 | 434,422 |
|
| 500,000 | 507,218 | Series 2535, Class BK, 5.50%, 12/15/22 | 500,000 | 507,218 |
|
| 300,000 | 304,960 | Series 2543, Class YX, 6.00%, 12/15/32 (m) | 300,000 | 304,960 |
|
| 500,000 | 509,200 | Series 2544, Class HC, 6.00%, 12/15/32 | 500,000 | 509,200 |
|
| 231,845 | 237,831 | Series 2565, Class MB, 6.00%, 05/15/30 | 231,845 | 237,831 |
|
| 500,000 | 507,719 | Series 2575, Class ME, 6.00%, 02/15/33 | 500,000 | 507,719 |
|
| 134,249 | 33,048 | Series 2586, Class WI, IO, 6.50%, 03/15/33 | 134,249 | 33,048 |
|
| 170,652 | 175,057 | Series 2594, Class VA, 6.00%, 03/15/14 | 170,652 | 175,057 |
|
| 400,000 | 410,517 | Series 2594, Class VQ, 6.00%, 08/15/20 | 400,000 | 410,517 |
|
| 356,538 | 31,969 | Series 2597, Class DS, IF, IO, 5.08%, 02/15/33 | 356,538 | 31,969 |
|
| 494,997 | 35,094 | Series 2599, Class DS, IF, IO, 4.53%, 02/15/33 | 494,997 | 35,094 |
|
| 584,056 | 47,504 | Series 2610, Class DS, IF, IO, 4.63%, 03/15/33 | 584,056 | 47,504 |
|
| 776,745 | 71,589 | Series 2611, Class SH, IF, IO, 5.18%, 10/15/21 | 776,745 | 71,589 |
|
| 500,000 | 483,657 | Series 2617, Class GR, 4.50%, 05/15/18 | 500,000 | 483,657 |
|
| 772,320 | 81,247 | Series 2626, Class NS, IF, IO, 4.08%, 06/15/23 | 772,320 | 81,247 |
|
| 500,000 | 491,700 | Series 2628, Class WA, 4.00%, 07/15/28 | 500,000 | 491,700 |
|
| 500,000 | 484,374 | Series 2631, Class LC, 4.50%, 06/15/18 | 500,000 | 484,374 |
|
| 625,898 | 602,129 | Series 2636, Class Z, 4.50%, 06/15/18 | 625,898 | 602,129 |
|
| 199,277 | 174,344 | Series 2638, Class DS, IF, 6.13%, 07/15/23 | 199,277 | 174,344 |
|
| 32,068 | 2,506 | Series 2643, Class HI, IO, 4.50%, 12/15/16 | 32,068 | 2,506 |
|
| 81,701 | 91,177 | Series 2656, Class SH, IF, 14.19%, 02/15/25 | 81,701 | 91,177 |
|
| 349,177 | 332,970 | Series 2668, Class SB, IF, 5.00%, 10/15/15 | 349,177 | 332,970 |
|
| 500,000 | 470,664 | Series 2675, Class CK, 4.00%, 09/15/18 | 500,000 | 470,664 |
|
| 231,574 | 160,520 | Series 2682, Class YS, IF, 5.31%, 10/15/33 | 231,574 | 160,520 |
|
| 274,714 | 133,059 | Series 2684, Class TO, PO, 10/15/33 | 274,714 | 133,059 |
|
| 184,493 | 186,975 | Series 2686, Class GB, 5.00%, 05/15/20 | 184,493 | 186,975 |
|
| 184,441 | 115,181 | Series 2691, Class WS, IF, 5.29%, 10/15/33 | 184,441 | 115,181 |
|
| 138,460 | 95,971 | Series 2705, Class SC, IF, 5.29%, 11/15/33 | 138,460 | 95,971 |
|
| 211,357 | 152,756 | Series 2705, Class SD, IF, 5.82%, 11/15/33 | 211,357 | 152,756 |
|
| 1,000,000 | 942,037 | Series 2716, Class UN, 4.50%, 12/15/23 | 1,000,000 | 942,037 |
|
| 750,000 | 495,093 | Series 2727, Class BS, IF, 5.37%, 01/15/34 | 750,000 | 495,093 |
|
| 13,556 | 10,570 | Series 2733, Class GF, VAR, 0.00%, 09/15/33 | 13,556 | 10,570 |
|
| 500,000 | 495,999 | Series 2743, Class HD, 4.50%, 08/15/17 | 500,000 | 495,999 |
|
| 209,330 | 134,577 | Series 2744, Class FE, VAR, 0.00%, 02/15/34 | 209,330 | 134,577 |
|
| 500,000 | 510,710 | Series 2744, Class PD, 5.50%, 08/15/33 | 500,000 | 510,710 |
110,830 | 1,121 |
|
| Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 110,830 | 1,121 |
|
| 144,668 | 102,546 | Series 2753, Class S, IF, 7.06%, 02/15/34 | 144,668 | 102,546 |
|
| 168,930 | 167,076 | Series 2755, Class SA, IF, 9.26%, 05/15/30 | 168,930 | 167,076 |
|
| 151,690 | 111,686 | Series 2766, Class SX, IF, 9.12%, 03/15/34 | 151,690 | 111,686 |
|
| 59,746 | 29,551 | Series 2769, Class PO, PO, 03/15/34 | 59,746 | 29,551 |
|
| 476,978 | 342,204 | Series 2776, Class SK, IF, 5.37%, 04/15/34 | 476,978 | 342,204 |
|
| 46,915 | 37,305 | Series 2778, Class BS, IF, 9.57%, 04/15/34 | 46,915 | 37,305 |
596,780 | 49,277 |
|
| Series 2779, Class SM, IF, IO, 4.68%, 10/15/18 (m) | 596,780 | 49,277 |
|
| 268,127 | 257,421 | Series 2780, Class JG, 4.50%, 04/15/19 | 268,127 | 257,421 |
132,491 | 2,397 |
|
| Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 132,491 | 2,397 |
|
| 702,000 | 685,979 | Series 2809, Class UB, 4.00%, 09/15/17 | 702,000 | 685,979 |
1,796,078 | 160,497 |
|
| Series 2813, Class SB, IF, IO, 4.58%, 02/15/34 (m) | 1,796,078 | 160,497 |
|
| 135,304 | 136,658 | Series 2827, Class SQ, IF, 7.50%, 01/15/19 | 135,304 | 136,658 |
|
| 26,184 | 22,119 | Series 2841, Class GO, PO, 08/15/34 | 26,184 | 22,119 |
|
| 123,104 | 75,023 | Series 2846, Class PO, PO, 08/15/34 | 123,104 | 75,023 |
1,339,829 | 63,991 |
|
| Series 2861, Class GS, IF, IO, 4.73%, 01/15/21 (m) | 1,339,829 | 63,991 |
|
| 500,000 | 481,151 | Series 2899, Class KB, 4.50%, 03/15/19 | 500,000 | 481,151 |
|
| 500,000 | 490,445 | Series 2931, Class QC, 4.50%, 01/15/19 | 500,000 | 490,445 |
|
| 99,125 | 100,551 | Series 2958, Class KB, 5.50%, 04/15/35 | 99,125 | 100,551 |
|
| 100,000 | 58,832 | Series 2975, Class KO, PO, 05/15/35 | 100,000 | 58,832 |
|
| 123,767 | 89,103 | Series 2989, Class PO, PO, 06/15/23 | 123,767 | 89,103 |
|
| 300,000 | 298,138 | Series 3047, Class OD, 5.50%, 10/15/35 | 300,000 | 298,138 |
|
| 118,651 | 121,091 | Series 3101, Class EA, 6.00%, 06/15/20 | 118,651 | 121,091 |
|
| 237,206 | 183,793 | Series 3117, Class EO, PO, 02/15/36 | 237,206 | 183,793 |
|
| 375,208 | 26,894 | Series 3260, Class CS, IF, IO, 3.67%, 01/15/37 | 375,208 | 26,894 |
|
| 2,613,275 | 48,189 | Series 3430 Class AI, IO, 1.42%, 09/15/12 | 2,613,275 | 48,189 |
1,229,229 |
|
|
| Federal Home Loan Mortgage Corp. STRIPS, | 1,229,229 |
|
| 149,579 |
|
| Series 240, Class S22, IF, IO, 4.68%, 07/01/36 (m) |
| 149,579 |
|
|
|
| Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
| 29,419 | 29,783 | Series T-41, Class 3A, VAR, 7.50%, 07/25/32 | 29,419 | 29,783 |
|
| 197,764 | 202,955 | Series T-54, Class 2A, 6.50%, 02/25/43 | 197,764 | 202,955 |
|
| 90,904 | 96,272 | Series T-54, Class 3A, 7.00%, 02/25/43 | 90,904 | 96,272 |
|
| 55,058 | 46,049 | Series T-58, Class A, PO, 09/25/43 | 55,058 | 46,049 |
|
| 412,242 |
| Federal Home Loan Mortgage Corp.- Government National Mortgage Association, | 412,242 |
|
|
|
| 436,467 | Series 8, Class ZA, 7.00%, 03/25/23 |
| 436,467 |
|
|
|
| Federal National Mortgage Association REMICS, |
|
|
|
| 13,801 | 15,118 | Series 1989-83, Class H, 8.50%, 11/25/19 | 13,801 | 15,118 |
|
| 2,857 | 3,156 | Series 1990-1, Class D, 8.80%, 01/25/20 | 2,857 | 3,156 |
|
| 13,356 | 14,642 | Series 1990-10, Class L, 8.50%, 02/25/20 | 13,356 | 14,642 |
|
| 2,838 | 2,886 | Series 1990-93, Class G, 5.50%, 08/25/20 | 2,838 | 2,886 |
|
| 80,234 | 82,376 | Series 1992-101, Class J, 7.50%, 06/25/22 | 80,234 | 82,376 |
|
| 46 | 630 | Series 1990-140, Class K, HB, 652.15%, 12/25/20 | 46 | 630 |
|
| 5,075 | 5,545 | Series 1990-143, Class J, 8.75%, 12/25/20 | 5,075 | 5,545 |
|
| 32,787 | 33,349 | Series 1992-143, Class MA, 5.50%, 09/25/22 | 32,787 | 33,349 |
|
| 2,459 | 2,455 | Series 1993-164, Class SA, IF, 11.78%, 09/25/08 | 2,459 | 2,455 |
|
| 3,523 | 3,517 | Series 1993-164, Class SC, IF, 11.78%, 09/25/08 | 3,523 | 3,517 |
|
| 7,917 | 8,276 | Series 1993-165, Class SD, IF, 8.25%, 09/25/23 | 7,917 | 8,276 |
|
| 39,480 | 41,103 | Series 1993-165, Class SK, IF, 12.50%, 09/25/23 | 39,480 | 41,103 |
|
| 41,002 | 42,503 | Series 1993-167, Class GA, 7.00%, 09/25/23 | 41,002 | 42,503 |
|
| 1,744 | 1,745 | Series 1993-175, Class SA, IF, 13.78%, 09/25/08 | 1,744 | 1,745 |
|
| 1,506 | 1,512 | Series 1993-190, Class S, IF, 9.86%, 10/25/08 | 1,506 | 1,512 |
|
| 376 | 376 | Series 1993-196, Class FA, VAR, 4.01%, 10/25/08 | 376 | 376 |
|
| 564 | 565 | Series 1993-196, Class SB, IF, 9.25%, 10/25/08 | 564 | 565 |
|
| 383,628 | 400,342 | Series 1993-203, Class PL, 6.50%, 10/25/23 | 383,628 | 400,342 |
|
| 17,065 | 14,294 | Series 1993-205, Class H, PO, 09/25/23 | 17,065 | 14,294 |
|
| 272,949 | 287,070 | Series 1993-225, Class UB, 6.50%, 12/25/23 | 272,949 | 287,070 |
|
| 7,060 | 7,080 | Series 1993-230, Class FA, VAR, 3.10%, 12/25/23 | 7,060 | 7,080 |
|
| 52 | 53 | Series 1993-233, Class SB, IF, 11.53%, 12/25/08 | 52 | 53 |
|
| 355,950 | 374,629 | Series 1993-250, Class Z, 7.00%, 12/25/23 | 355,950 | 374,629 |
|
| 111,129 | 99,312 | Series 1993-257, Class C, PO, 06/25/23 | 111,129 | 99,312 |
|
| 233 | 236 | Series 1994-13, Class SK, IF, 13.15%, 02/25/09 | 233 | 236 |
|
| 5,269 | 5,266 | Series 1994-33, Class FA, VAR, 4.11%, 03/25/09 | 5,269 | 5,266 |
|
| 54,984 | 58,778 | Series 1995-2, Class Z, 8.50%, 03/25/25 | 54,984 | 58,778 |
|
| 83,206 | 89,497 | Series 1995-19, Class Z, 6.50%, 11/25/23 | 83,206 | 89,497 |
|
| 348 | 346 | Series 1996-20, Class L, PO, 09/25/08 | 348 | 346 |
|
| 1,191 | 1,185 | Series 1996-39, Class J, PO, 09/25/08 | 1,191 | 1,185 |
|
| 14,593 | 15,154 | Series 1996-59, Class J, 6.50%, 08/25/22 | 14,593 | 15,154 |
|
| 122,736 | 126,974 | Series 1996-59, Class K, 6.50%, 07/25/23 | 122,736 | 126,974 |
|
| 474,291 | 13,043 | Series 1997-20, Class IB, VAR, IO, 1.84%, 03/25/27 | 474,291 | 13,043 |
|
| 44,473 | 47,149 | Series 1997-39, Class PD, 7.50%, 05/20/27 | 44,473 | 47,149 |
|
| 100,825 | 103,503 | Series 1997-46, Class PL, 6.00%, 07/18/27 | 100,825 | 103,503 |
|
| 268,323 | 285,558 | Series 1997-61, Class ZC, 7.00%, 02/25/23 | 268,323 | 285,558 |
|
| 127,429 | 131,186 | Series 1998-36, Class ZB, 6.00%, 07/18/28 | 127,429 | 131,186 |
|
| 125,540 | 39,874 | Series 1998-43, Class SA, IF, IO, 14.32%, 04/25/23 | 125,540 | 39,874 |
|
| 19,213 | 4,811 | Series 2000-52, Class IO, IO, 8.50%, 01/25/31 | 19,213 | 4,811 |
|
| 249,998 | 263,825 | Series 2001-30, Class PM, 7.00%, 07/25/31 | 249,998 | 263,825 |
|
| 248,664 | 64,553 | Series 2001-33, Class ID, IO, 6.00%, 07/25/31 | 248,664 | 64,553 |
|
| 388,147 | 407,485 | Series 2001-36, Class DE, 7.00%, 08/25/31 | 388,147 | 407,485 |
|
| 48,245 | 51,068 | Series 2001-44, Class PD, 7.00%, 09/25/31 | 48,245 | 51,068 |
|
| 222,465 | 233,867 | Series 2001-52, Class XN, 6.50%, 11/25/15 | 222,465 | 233,867 |
|
| 557,378 | 585,847 | Series 2001-61, Class Z, 7.00%, 11/25/31 | 557,378 | 585,847 |
|
| 323,047 | 335,581 | Series 2001-69, Class PG, 6.00%, 12/25/16 | 323,047 | 335,581 |
|
| 210,728 | 218,918 | Series 2001-71, Class QE, 6.00%, 12/25/16 | 210,728 | 218,918 |
|
| 105,541 | 108,620 | Series 2001-80, Class PE, 6.00%, 07/25/29 | 105,541 | 108,620 |
|
| 115,241 | 120,821 | Series 2002-1, Class HC, 6.50%, 02/25/22 | 115,241 | 120,821 |
|
| 31,723 | 37,336 | Series 2002-1, Class SA, IF, 17.12%, 02/25/32 | 31,723 | 37,336 |
|
| 367,310 | 381,535 | Series 2002-3, Class OG, 6.00%, 02/25/17 | 367,310 | 381,535 |
|
| 37,087 | 37,135 | Series 2002-8, Class SR, IF, 11.26%, 03/25/09 | 37,087 | 37,135 |
|
| 708,955 | 27,260 | Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32 | 708,955 | 27,260 |
|
| 352,870 | 369,840 | Series 2002-28, Class PK, 6.50%, 05/25/32 | 352,870 | 369,840 |
|
| 682,364 | 689,714 | Series 2002-62, Class ZE, 5.50%, 11/25/17 | 682,364 | 689,714 |
|
| 109,858 | 112,211 | Series 2002-73, Class S, IF, 10.04%, 11/25/09 | 109,858 | 112,211 |
|
| 264,604 | 268,755 | Series 2002-74, Class VB, 6.00%, 11/25/31 | 264,604 | 268,755 |
|
| 137,163 | 139,686 | Series 2002-77, Class S, IF, 9.93%, 12/25/32 | 137,163 | 139,686 |
|
| 30,168 | 4,411 | Series 2002-91, Class UH, IO, 5.50%, 06/25/22 | 30,168 | 4,411 |
|
| 252,739 | 250,732 | Series 2002-93, Class PD, 3.50%, 02/25/29 | 252,739 | 250,732 |
|
| 500,000 | 509,977 | Series 2002-94, Class BK, 5.50%, 01/25/18 | 500,000 | 509,977 |
|
| 250,000 | 177,736 | Series 2003-106, Class US, IF, 5.35%, 11/25/23 | 250,000 | 177,736 |
|
| 500,000 | 483,064 | Series 2003-106, Class WE, 4.50%, 11/25/22 | 500,000 | 483,064 |
|
| 766,608 | 78,151 | Series 2003-116, Class SB, IF, IO, 5.12%, 11/25/33 | 766,608 | 78,151 |
|
| 600,000 | 552,057 | Series 2003-117, Class JB, 3.50%, 06/25/33 | 600,000 | 552,057 |
|
| 500,000 | 501,464 | Series 2003-128, Class KE, 4.50%, 01/25/14 | 500,000 | 501,464 |
|
| 500,000 | 468,239 | Series 2003-128, Class NG, 4.00%, 01/25/19 | 500,000 | 468,239 |
|
| 131,327 | 126,962 | Series 2003-130, Class SX, IF, 7.80%, 01/25/34 | 131,327 | 126,962 |
|
| 212,955 | 159,032 | Series 2003-132, Class OA, PO, 08/25/33 | 212,955 | 159,032 |
|
| 293,000 | 238,467 | Series 2003-22, Class UD, 4.00%, 04/25/33 | 293,000 | 238,467 |
|
| 250,000 | 256,646 | Series 2003-41, Class PE, 5.50%, 05/25/23 | 250,000 | 256,646 |
|
| 100,000 | 98,376 | Series 2003-47, Class PE, 5.75%, 06/25/33 | 100,000 | 98,376 |
|
| 72,389 | 53,234 | Series 2003-64, Class SX, IF, 7.60%, 07/25/33 | 72,389 | 53,234 |
|
| 207,413 | 190,557 | Series 2003-66, Class PA, 3.50%, 02/25/33 | 207,413 | 190,557 |
|
| 647,059 | 553,575 | Series 2003-68, Class LC, 3.00%, 07/25/22 | 647,059 | 553,575 |
|
| 523,115 | 494,829 | Series 2003-68, Class QP, 3.00%, 07/25/22 | 523,115 | 494,829 |
|
| 137,818 | 88,812 | Series 2003-71, Class DS, IF, 4.19%, 08/25/33 | 137,818 | 88,812 |
|
| 834,616 | 795,115 | Series 2003-73, Class GA, 3.50%, 05/25/31 | 834,616 | 795,115 |
|
| 921,028 | 104,518 | Series 2003-80, Class SY, IF, IO, 5.17%, 06/25/23 | 921,028 | 104,518 |
|
| 500,000 | 496,434 | Series 2003-83, Class PG, 5.00%, 06/25/23 | 500,000 | 496,434 |
|
| 108,081 | 102,093 | Series 2003-91, Class SD, IF, 8.36%, 09/25/33 | 108,081 | 102,093 |
|
| 700,000 | 657,384 | Series 2004-1, Class AC, 4.00%, 02/25/19 | 700,000 | 657,384 |
|
| 307,810 | 298,084 | Series 2004-4, Class QM, IF, 9.24%, 06/25/33 | 307,810 | 298,084 |
|
| 200,137 | 220,097 | Series 2004-10, Class SC, IF, 18.67%, 02/25/34 | 200,137 | 220,097 |
|
| 164,907 | 110,543 | Series 2004-14, Class SD, IF, 5.35%, 03/25/34 | 164,907 | 110,543 |
|
| 174,232 | 90,794 | Series 2004-21, Class CO, PO, 04/25/34 | 174,232 | 90,794 |
|
| 178,833 | 164,958 | Series 2004-22, Class A, 4.00%, 04/25/19 | 178,833 | 164,958 |
|
| 389,251 | 410,900 | Series 2004-36, Class SA, IF, 12.70%, 05/25/34 | 389,251 | 410,900 |
|
| 79,069 | 76,551 | Series 2004-51, Class SY, IF, 9.28%, 07/25/34 | 79,069 | 76,551 |
|
| 150,029 | 140,096 | Series 2004-61, Class SK, IF, 8.50%, 11/25/32 | 150,029 | 140,096 |
500,667 | 37,216 |
|
| Series 2004-61, Class TS, IF, IO, 4.62%, 10/25/31 (m) | 500,667 | 37,216 |
|
| 200,000 | 188,275 | Series 2004-76, Class CL, 4.00%, 10/25/19 | 200,000 | 188,275 |
|
| 1,000,000 | 937,861 | Series 2004-81, Class AC, 4.00%, 11/25/19 | 1,000,000 | 937,861 |
397,923 | 33,431 |
|
| Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 397,923 | 33,431 |
|
| 226,413 | 212,909 | Series 2004-92, Class JO, PO, 12/25/34 | 226,413 | 212,909 |
|
| 762,510 | 710,331 | Series 2005-28, Class JA, 5.00%, 04/25/35 | 762,510 | 710,331 |
|
| 714,437 | 724,896 | Series 2005-40, Class YA, 5.00%, 09/25/20 | 714,437 | 724,896 |
|
| 401,063 | 406,099 | Series 2005-47, Class AN, 5.00%, 12/25/16 | 401,063 | 406,099 |
|
| 522,477 | 544,895 | Series 2005-52, Class PA, 6.50%, 06/25/35 | 522,477 | 544,895 |
|
| 853,000 | 841,107 | Series 2005-68, Class BC, 5.25%, 06/25/35 | 853,000 | 841,107 |
|
| 950,490 | 974,484 | Series 2005-84, Class XM, 5.75%, 10/25/35 | 950,490 | 974,484 |
|
| 1,000,000 | 1,040,190 | Series 2005-109, Class PC, 6.00%, 12/25/35 | 1,000,000 | 1,040,190 |
|
| 700,000 | 708,001 | Series 2005-110, Class MN, 5.50%, 06/25/35 | 700,000 | 708,001 |
|
| 201,123 | 150,814 | Series 2006-22, Class AO, PO, 04/25/36 | 201,123 | 150,814 |
275,293 | 283,687 |
|
| Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 275,293 | 283,687 |
234,092 | 241,428 |
|
| Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 234,092 | 241,428 |
612,276 | 631,628 |
|
| Series 2006-59, Class DC, 6.50%, 12/25/33 (m) | 612,276 | 631,628 |
|
| 470,210 | 370,421 | Series 2006-59, Class QO, PO, 01/25/33 | 470,210 | 370,421 |
238,639 | 245,921 |
|
| Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 238,639 | 245,921 |
233,024 | 240,135 |
|
| Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 233,024 | 240,135 |
226,908 | 234,211 |
|
| Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 226,908 | 234,211 |
|
| 516,141 | 377,540 | Series 2006-110, Class PO, PO, 11/25/36 | 516,141 | 377,540 |
|
| 1,043,014 | 70,006 | Series 2007-7, Class SG, IF, IO, 4.02%, 08/25/36 | 1,043,014 | 70,006 |
|
| 959,565 | 72,986 | Series 2008-16, Class IS, IF, IO, 3.72%, 03/25/38 | 959,565 | 72,986 |
|
| 35,794 | 36,868 | Series G92-15, Class Z, 7.00%, 01/25/22 | 35,794 | 36,868 |
|
| 6,339 | 6,747 | Series G92-42, Class Z, 7.00%, 07/25/22 | 6,339 | 6,747 |
|
| 129,902 | 139,904 | Series G92-44, Class ZQ, 8.00%, 07/25/22 | 129,902 | 139,904 |
|
| 77,530 | 83,559 | Series G92-54, Class ZQ, 7.50%, 09/25/22 | 77,530 | 83,559 |
|
| 4,885 | 4,729 | Series G92-59, Class F, VAR, 3.81%, 10/25/22 | 4,885 | 4,729 |
|
| 12,568 | 13,315 | Series G92-61, Class Z, 7.00%, 10/25/22 | 12,568 | 13,315 |
|
| 132,460 | 140,651 | Series G92-66, Class KB, 7.00%, 12/25/22 | 132,460 | 140,651 |
|
| 38,176 | 41,580 | Series G93-1, Class KA, 7.90%, 01/25/23 | 38,176 | 41,580 |
|
| 40,776 | 38,737 | Series G93-17, Class SI, IF, 6.00%, 04/25/23 | 40,776 | 38,737 |
|
|
|
| Federal National Mortgage Association Interest STRIPS, |
|
|
|
| 106,887 | 78,487 | Series 329, Class 1, PO, 01/01/33 | 106,887 | 78,487 |
|
| 140,467 | 99,408 | Series 340, Class 1, PO, 09/01/33 | 140,467 | 99,408 |
|
| 1 | 2 | Series K, Class 2, HB, 255.60%, 11/01/08 | 1 | 2 |
|
|
|
| Federal National Mortgage Association Whole Loan, |
|
|
|
| 140,760 | 143,596 | Series 2003-W1, Class 1A1, 6.50%, 12/25/42 | 140,760 | 143,596 |
|
| 86,958 | 90,206 | Series 2003-W1, Class 2A, 7.50%, 12/25/42 | 86,958 | 90,206 |
|
| 140,797 | 150,073 | Series 2004-W2, Class 2A2, 7.00%, 02/25/44 | 140,797 | 150,073 |
|
|
|
| Government National Mortgage Association, |
|
|
|
| 109,755 | 117,470 | Series 1994-3, Class PQ, 7.49%, 07/16/24 | 109,755 | 117,470 |
|
| 500,000 | 527,467 | Series 1994-7, Class PQ, 6.50%, 10/16/24 | 500,000 | 527,467 |
|
| 114,565 | 121,126 | Series 1996-16, Class E, 7.50%, 08/16/26 | 114,565 | 121,126 |
|
| 109,470 | 116,426 | Series 1997-8, Class PN, 7.50%, 05/16/27 | 109,470 | 116,426 |
|
| 128,894 | 138,130 | Series 1998-26, Class K, 7.50%, 09/17/25 | 128,894 | 138,130 |
|
| 119,124 | 126,433 | Series 1999-41, Class Z, 8.00%, 11/16/29 | 119,124 | 126,433 |
|
| 66,292 | 70,602 | Series 1999-44, Class PC, 7.50%, 12/20/29 | 66,292 | 70,602 |
|
| 83,563 | 88,762 | Series 1999-44, Class ZG, 8.00%, 12/20/29 | 83,563 | 88,762 |
|
| 98,585 | 104,469 | Series 2000-14, Class PD, 7.00%, 02/16/30 | 98,585 | 104,469 |
|
| 58,447 | 62,635 | Series 2000-6, Class Z, 7.50%, 02/20/30 | 58,447 | 62,635 |
|
| 366,370 | 409,359 | Series 2000-21, Class Z, 9.00%, 03/16/30 | 366,370 | 409,359 |
|
| 46,503 | 46,429 | Series 2000-26, Class Z, 7.75%, 09/20/30 | 46,503 | 46,429 |
|
| 6,744 | 1,639 | Series 2000-36, Class IK, IO, 9.00%, 11/16/30 | 6,744 | 1,639 |
|
| 800,000 | 866,745 | Series 2000-36, Class PB, 7.50%, 11/16/30 | 800,000 | 866,745 |
|
| 87,561 | 90,999 | Series 2000-37, Class B, 8.00%, 12/20/30 | 87,561 | 90,999 |
|
| 23,047 | 23,777 | Series 2000-38, Class AH, 7.15%, 12/20/30 | 23,047 | 23,777 |
|
| 51,388 | 5,257 | Series 2001-4, Class SJ, IF, IO, 5.67%, 01/19/30 | 51,388 | 5,257 |
|
| 161,800 | 16,249 | Series 2001-36, Class S, IF, IO, 5.58%, 08/16/31 | 161,800 | 16,249 |
|
| 200,000 | 208,029 | Series 2001-64, Class MQ, 6.50%, 12/20/31 | 200,000 | 208,029 |
|
| 32,119 | 30,875 | Series 2002-24, Class SB, IF, 8.22%, 04/16/32 | 32,119 | 30,875 |
|
| 164,710 | 172,822 | Series 2002-54, Class GB, 6.50%, 08/20/32 | 164,710 | 172,822 |
|
| 184,022 | 24,005 | Series 2003-4, Class NI, IO, 5.50%, 01/20/32 | 184,022 | 24,005 |
|
| 20,589 | 16,650 | Series 2003-24, Class PO, PO, 03/16/33 | 20,589 | 16,650 |
|
| 458,001 | 33,083 | Series 2003-76, Class LS, IF, IO, 4.72%, 09/20/31 | 458,001 | 33,083 |
|
| 827,126 | 66,236 | Series 2004-11, Class SW, IF, IO, 3.02%, 02/20/34 | 827,126 | 66,236 |
|
| 84,219 | 86,690 | Series 2004-28, Class S, IF, 12.87%, 04/16/34 | 84,219 | 86,690 |
|
|
|
| Government National Mortgage Association, |
|
|
13,380 | 55 |
|
| Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 13,380 | 55 |
150,666 | 3,197 |
|
| Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 150,666 | 3,197 |
|
|
|
| Vendee Mortgage Trust, |
|
|
|
| 124,439 | 125,139 | Series 1994-1, Class 1, VAR, 5.62%, 02/15/24 | 124,439 | 125,139 |
|
| 297,391 | 310,587 | Series 1996-1, Class 1Z, 6.75%, 02/15/26 | 297,391 | 310,587 |
|
| 160,895 | 171,004 | Series 1996-2, Class 1Z, 6.75%, 06/15/26 | 160,895 | 171,004 |
|
| 586,754 | 635,865 | Series 1997-1, Class 2Z, 7.50%, 02/15/27 | 586,754 | 635,865 |
|
| 164,097 | 173,328 | Series 1998-1, Class 2E, 7.00%, 03/15/28 | 164,097 | 173,328 |
| 2,377,771 |
| 57,447,513 |
|
| 59,825,284 |
|
|
|
|
|
|
|
|
|
|
| Non-Agency CMO -- 20.9% |
|
|
|
|
|
| Adjustable Rate Mortgage Trust, |
|
|
30,653 | 26,568 |
|
| Series 2004-1, Class 9A2, VAR, 2.88%, 01/25/35 (m) | 30,653 | 26,568 |
22,549 | 17,012 |
|
| Series 2005-4, Class 7A2, VAR, 2.71%, 08/25/35 (m) | 22,549 | 17,012 |
104,578 | 78,524 |
|
| Series 2005-5, Class 6A21, VAR, 2.71%, 09/25/35 (m) | 104,578 | 78,524 |
55,396 | 43,042 |
|
| Series 2005-6A, Class 2A1, VAR, 2.79%, 11/25/35 (m) | 55,396 | 43,042 |
|
| 500,000 |
| American Home Mortgage Investment Trust, | 500,000 |
|
|
|
| 394,752 | Series 2005-3, Class 2A4, VAR, 4.85%, 09/25/35 |
| 394,752 |
|
|
|
| Banc of America Funding Corp., |
|
|
|
| 231,088 | 156,948 | Series 2003-1, Class A, PO, 05/20/33 | 231,088 | 156,948 |
|
| 495,667 | 471,207 | Series 2003-3, Class 1A33, 5.50%, 10/25/33 | 495,667 | 471,207 |
|
| 133,622 | 89,051 | Series 2004-1, Class PO, PO, 03/25/34 | 133,622 | 89,051 |
|
| 1,000,000 | 951,394 | Series 2005-6, Class 2A7, 5.50%, 10/25/35 | 1,000,000 | 951,394 |
|
| 217,729 | 130,853 | Series 2005-7, Class 30, PO, 11/25/35 | 217,729 | 130,853 |
|
| 698,568 | 693,494 | Series 2005-E, Class 4A1, VAR, 4.11%, 03/20/35 | 698,568 | 693,494 |
|
|
|
| Banc of America Mortgage Securities, Inc., |
|
|
|
| 111,260 | 98,992 | Series 2002-10, Class A, PO, 11/25/32 | 111,260 | 98,992 |
|
| 66,197 | 46,634 | Series 2003-8 Class A, PO, 11/25/33 | 66,197 | 46,634 |
|
| 69,521 | 46,495 | Series 2004-4, Class A, PO, 05/25/34 | 69,521 | 46,495 |
|
| 500,464 | 401,043 | Series 2004-5, Class 2A2, 5.50%, 06/25/34 | 500,464 | 401,043 |
|
| 250,000 | 119,277 | Series 2004-6, Class 2A5, PO, 07/25/34 | 250,000 | 119,277 |
|
| 225,727 | 140,266 | Series 2004-6, Class A, PO, 07/25/34 | 225,727 | 140,266 |
|
| 289,581 | 161,415 | Series 2004-7 Class 1A19, PO, 08/25/34 | 289,581 | 161,415 |
|
| 200,000 | 192,583 | Series 2004-E, Class 2A5, VAR, 4.11%, 06/25/34 | 200,000 | 192,583 |
|
| 550,335 | 536,043 | Series 2004-J, Class 3A1, VAR, 5.07%, 11/25/34 | 550,335 | 536,043 |
|
|
|
| Bank of America Alternative Loan Trust, |
|
|
|
| 314,167 | 161,324 | Series 2004-5, Class 3A3, PO, 06/25/34 | 314,167 | 161,324 |
|
| 131,231 | 95,975 | Series 2004-6, Class 15, PO, 07/25/19 | 131,231 | 95,975 |
|
|
|
| Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
| 377,795 | 367,374 | Series 2003-7, Class 3A, VAR, 4.93%, 10/25/33 (i) (y) | 377,795 | 367,374 |
|
| 932,199 | 890,099 | Series 2006-1, Class A1, VAR, 4.62%, 02/25/36 (y) | 932,199 | 890,099 |
337,554 |
|
|
| CitiMortgage Alternative Loan Trust, | 337,554 |
|
| 287,024 |
|
| Series 2007-A1, Class 1A7, 6.00%, 01/25/37 (m) |
| 287,024 |
|
|
|
| Citicorp Mortgage Securities, Inc., |
|
|
|
| 1,186,455 | 1,151,456 | Series 2004-1, Class 3A1, 4.75%, 01/25/34 | 1,186,455 | 1,151,456 |
|
| 618,851 | 586,311 | Series 2004-5, Class 2A5, 4.50%, 08/25/34 | 618,851 | 586,311 |
|
|
|
| Citigroup Mortgage Loan Trust, Inc., |
|
|
|
| 75,651 | 74,363 | Series 2003-UP3, Class A3, 7.00%, 09/25/33 | 75,651 | 74,363 |
|
| 91,125 | 67,428 | Series 2003-UST1, Class 1, PO, 12/25/18 | 91,125 | 67,428 |
|
| 52,166 | 39,841 | Series 2003-UST1, Class 3, PO, 12/25/18 | 52,166 | 39,841 |
|
| 195,216 | 192,105 | Series 2003-UST1, Class A1, 5.50%, 12/25/18 | 195,216 | 192,105 |
|
| 216,607 | 202,811 | Series 2005-1, Class 2A1A, VAR, 6.48%, 04/25/35 | 216,607 | 202,811 |
|
|
|
| Countrywide Alternative Loan Trust, |
|
|
|
| 264,067 | 262,511 | Series 2002-8, Class A4, 6.50%, 07/25/32 | 264,067 | 262,511 |
|
| 93,019 | 66,220 | Series 2003-J1, Class PO, PO, 10/25/33 | 93,019 | 66,220 |
|
| 200,000 | 179,900 | Series 2004-18CB, Class 2A4, 5.70%, 09/25/34 | 200,000 | 179,900 |
452,018 | 410,771 |
|
| Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 452,018 | 410,771 |
|
| 1,417,163 | 1,091,034 | Series 2004-2CB, Class 1A9, 5.75%, 03/25/34 | 1,417,163 | 1,091,034 |
|
| 325,423 | 314,458 | Series 2005-5R, Class A1, 5.25%, 12/25/18 | 325,423 | 314,458 |
|
| 2,401,483 | 73,295 | Series 2005-22T1, Class A2, IF, IO, 2.59%, 06/25/35 | 2,401,483 | 73,295 |
|
| 212,991 | 208,731 | Series 2005-26CB, Class 1A5, IF, 8.55%, 07/25/35 | 212,991 | 208,731 |
|
| 1,181,600 | 970,200 | Series 2005-28CB, Class 1A4, 5.50%, 08/25/35 | 1,181,600 | 970,200 |
|
| 600,000 | 524,377 | Series 2005-54CB, Class 1A11, 5.50%, 11/25/35 | 600,000 | 524,377 |
|
| 2,231,044 | 68,587 | Series 2005-J1, Class 1A4, IF, IO, 2.62%, 02/25/35 | 2,231,044 | 68,587 |
729,327 | 602,663 |
|
| Series 2006-J5, Class 1A1, 6.50%, 09/25/36 (i) | 729,327 | 602,663 |
|
| 200,000 | 125,430 | Series 2007-21BC, Class 1A5, 6.00%, 09/25/37 | 200,000 | 125,430 |
|
|
|
| Countrywide Home Loan Mortgage Pass Through Trust, |
|
|
650,642 | 649,488 |
|
| Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 650,642 | 649,488 |
|
| 681,767 | 585,443 | Series 2003-26, Class 1A6, 3.50%, 08/25/33 | 681,767 | 585,443 |
|
| 74,470 | 66,686 | Series 2003-34, Class A11, 5.25%, 09/25/33 | 74,470 | 66,686 |
|
| 186,364 | 136,442 | Series 2003-44, Class A6, PO, 10/25/33 | 186,364 | 136,442 |
|
| 218,619 | 199,077 | Series 2003-J7, Class 4A3, IF, 6.58%, 08/25/18 | 218,619 | 199,077 |
|
| 205,844 | 202,430 | Series 2004-7 Class 2A1, VAR, 4.03%, 06/25/34 | 205,844 | 202,430 |
|
| 127,341 | 122,256 | Series 2004-HYB1, Class 2A, VAR, 4.19%, 05/20/34 | 127,341 | 122,256 |
|
| 172,096 | 171,243 | Series 2004-HYB3, Class 2A, VAR, 4.08%, 06/20/34 | 172,096 | 171,243 |
|
| 115,791 | 81,642 | Series 2004-J8, Class A, PO, 11/25/19 | 115,791 | 81,642 |
|
| 690,999 | 659,653 | Series 2004-J8, Class 1A2, 4.75%, 11/25/19 | 690,999 | 659,653 |
|
| 500,000 | 470,121 | Series 2005-16, Class A23, 5.50%, 09/25/35 | 500,000 | 470,121 |
|
| 659,590 | 601,644 | Series 2005-22, Class 2A1, VAR, 5.25%, 11/25/35 | 659,590 | 601,644 |
26,987 |
|
|
| Credit-Based Asset Servicing and Securitization LLC, | 26,987 |
|
| 26,754 |
|
| Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) |
| 26,754 |
|
|
|
| CS First Boston Mortgage Securities Corp., |
|
|
102,326 | 102,192 |
|
| Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 102,326 | 102,192 |
|
| 122,692 | 90,332 | Series 2004-5, Class 5P, PO, 08/25/19 | 122,692 | 90,332 |
|
| 296,536 |
| First Horizon Alternative Mortgage Securities, | 296,536 |
|
|
|
| 239,093 | Series 2005-FA8, Class 1A19, 5.50%, 11/25/35 |
| 239,093 |
|
|
|
| First Horizon Asset Securities, Inc., |
|
|
|
| 451,626 | 418,312 | Series 2003-3, Class 1A4, 3.90%, 05/25/33 | 451,626 | 418,312 |
|
| 481,691 | 471,614 | Series 2004-AR7, Class 2A1, VAR, 4.91%, 02/25/35 | 481,691 | 471,614 |
|
| 300,000 | 294,347 | Series 2004-AR7, Class 2A2, VAR, 4.91%, 02/25/35 | 300,000 | 294,347 |
|
| 416,659 | 400,414 | Series 2005-AR1, Class 2A2, VAR, 5.00%, 04/25/35 | 416,659 | 400,414 |
424,442 | 378,320 |
|
| Series 2006-FA4, Class 1A1, 6.00%, 08/25/36 (m) | 424,442 | 378,320 |
|
| 650,000 |
| GMAC Mortgage Corp. Loan Trust, | 650,000 |
|
|
|
| 622,431 | Series 2005-AR3, Class 3A4, VAR, 4.85%, 06/19/35 |
| 622,431 |
90,039 |
|
|
| Greenpoint Mortgage Funding Trust, | 90,039 |
|
| 71,307 |
|
| Series 2005-AR4, Class 4A1A, VAR, 2.79%, 10/25/45 (m) |
| 71,307 |
|
|
|
| GSR Mortgage Loan Trust, |
|
|
|
| 465,868 | 347,922 | Series 2004-6F, Class 1A2, 5.00%, 05/25/34 | 465,868 | 347,922 |
|
| 1,000,000 | 962,346 | Series 2004-6F, Class 3A4, 6.50%, 05/25/34 | 1,000,000 | 962,346 |
|
| 526,297 | 514,137 | Series 2004-10F, Class 2A1, 5.00%, 08/25/19 | 526,297 | 514,137 |
|
| 60,150 | 54,521 | Series 2004-13F, Class 3A3, 6.00%, 11/25/34 | 60,150 | 54,521 |
|
|
|
| Indymac Index Mortgage Loan Trust, |
|
|
54,594 | 43,528 |
|
| Series 2004-AR7, Class A1, VAR, 2.92%, 09/25/34 (m) | 54,594 | 43,528 |
|
| 2,880,038 | 40,617 | Series 2005-AR11, Class A7, VAR, IO, 0.71%, 08/25/35 | 2,880,038 | 40,617 |
88,399 |
|
|
| Lehman Mortgage Trust, | 88,399 |
|
| 83,537 |
|
| Series 2007-4, Class 4A1, 6.00%, 05/25/37 |
| 83,537 |
|
|
|
| MASTR Adjustable Rate Mortgages Trust, |
|
|
|
| 356,142 | 354,796 | Series 2004-13, Class 2A1, VAR, 3.82%, 04/21/34 | 356,142 | 354,796 |
|
| 1,100,000 | 1,073,318 | Series 2004-13, Class 3A6, VAR, 3.79%, 11/21/34 | 1,100,000 | 1,073,318 |
|
|
|
| MASTR Alternative Loans Trust, |
|
|
|
| 430,151 | 385,680 | Series 2003-9, Class 8A1, 6.00%, 01/25/34 | 430,151 | 385,680 |
|
| 1,099,095 | 1,020,785 | Series 2004-4, Class 10A1, 5.00%, 05/25/24 | 1,099,095 | 1,020,785 |
|
| 465,712 | 432,530 | Series 2004-6, Class 7A1, 6.00%, 07/25/34 | 465,712 | 432,530 |
|
| 66,316 | 43,962 | Series 2004-7, Class 30, PO, 08/25/34 | 66,316 | 43,962 |
|
| 475,948 | 449,571 | Series 2004-8, Class 6A1, 5.50%, 09/25/19 | 475,948 | 449,571 |
|
| 599,517 | 552,305 | Series 2004-10, Class 1A1, 4.50%, 09/25/19 | 599,517 | 552,305 |
|
|
|
| MASTR Asset Securitization Trust, |
|
|
|
| 105,678 | 105,150 | Series 2003-4, Class 2A2, 5.00%, 05/25/18 | 105,678 | 105,150 |
|
| 200,525 | 198,046 | Series 2003-11, Class 6A2, 4.00%, 12/25/33 | 200,525 | 198,046 |
|
| 220,565 | 166,150 | Series 2003-12, Class 15, PO, 12/25/18 | 220,565 | 166,150 |
|
| 304,891 | 223,996 | Series 2004-6, Class PO, PO, 07/25/19 | 304,891 | 223,996 |
|
| 293,572 | 215,266 | Series 2004-8, Class PO, PO, 08/25/19 | 293,572 | 215,266 |
|
| 509,013 | 365,206 | Series 2004-10, Class 15, PO, 10/25/19 | 509,013 | 365,206 |
|
| 974,424 |
| MASTR Resecuritization Trust, | 974,424 |
|
|
|
| 640,347 | Series 2005-PO, Class 3, PO, 05/28/35 (e) |
| 640,347 |
76,875 |
|
|
| Medallion Trust (Australia), | 76,875 |
|
| 72,153 |
|
| Series 2004-1G, Class A1, VAR, 2.77%, 05/25/35 |
| 72,153 |
|
| 138,261 |
| MortgageIT Trust, | 138,261 |
|
|
|
| 116,766 | Series 2005-1, Class 1A1, VAR, 2.80%, 02/25/35 |
| 116,766 |
|
| 111,755 |
| Nomura Asset Acceptance Corp., | 111,755 |
|
|
|
| 112,694 | Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e) |
| 112,694 |
|
|
|
| RESI Finance LP (Cayman Islands), |
|
|
499,725 | 402,550 |
|
| Series 2003-C, Class B3, VAR, 3.85%, 09/10/35 (e) | 499,725 | 402,550 |
92,542 | 73,459 |
|
| Series 2003-C, Class B4, VAR, 4.05%, 09/10/35 (e) | 92,542 | 73,459 |
474,303 | 395,689 |
|
| Series 2003-D, Class B3, VAR, 3.75%, 12/10/35 (e) | 474,303 | 395,689 |
155,061 | 129,583 |
|
| Series 2003-D, Class B4, VAR, 3.95%, 12/10/35 (e) | 155,061 | 129,583 |
232,668 | 148,617 |
|
| Series 2005-A, Class B3, VAR, 3.03%, 03/10/37 (e) | 232,668 | 148,617 |
94,967 | 57,455 |
|
| Series 2005-A, Class B4, VAR, 3.13%, 03/10/37 (e) | 94,967 | 57,455 |
|
|
|
| Residential Accredit Loans, Inc., |
|
|
|
| 283,105 | 282,368 | Series 2002-QS8, Class A5, 6.25%, 06/25/17 | 283,105 | 282,368 |
|
| 780,428 | 677,788 | Series 2003-QR19, Class CB4, 5.75%, 10/25/33 | 780,428 | 677,788 |
|
| 69,846 | 70,663 | Series 2003-QS3, Class A2, IF, 11.04%, 02/25/18 | 69,846 | 70,663 |
|
| 246,900 | 20,396 | Series 2003-QS3, Class A8, IF, IO, 5.12%, 02/25/18 | 246,900 | 20,396 |
|
| 547,450 | 50,983 | Series 2003-QS9, Class A3, IF, IO, 5.07%, 05/25/18 | 547,450 | 50,983 |
|
| 652,345 | 615,651 | Series 2003-QS14, Class A1, 5.00%, 07/25/18 | 652,345 | 615,651 |
|
| 198,882 | 192,170 | Series 2003-QS18, Class A1, 5.00%, 09/25/18 | 198,882 | 192,170 |
|
| 86,941 |
| Residential Asset Securitization Trust, | 86,941 |
|
|
|
| 78,243 | Series 2003-A14, Class A1, 4.75%, 02/25/19 |
| 78,243 |
|
|
|
| Residential Funding Mortgage Securities I, |
|
|
|
| 409,314 | 374,909 | Series 2003-S7, Class A17, 4.00%, 05/25/33 | 409,314 | 374,909 |
|
| 217,943 | 209,591 | Series 2003-S11, Class A1, 2.50%, 06/25/18 | 217,943 | 209,591 |
|
| 165,000 | 151,979 | Series 2003-S12, Class 4A5, 4.50%, 12/25/32 | 165,000 | 151,979 |
|
| 357,056 | 345,322 | Series 2005-SA4, Class 1A1, VAR, 4.93%, 09/25/35 | 357,056 | 345,322 |
15,833 |
|
|
| SACO I, Inc., | 15,833 |
|
| 15,952 |
|
| Series 1997-2, Class 1A5, 7.00%, 08/25/36 (i) |
| 15,952 |
|
| 27,656 |
| Salomon Brothers Mortgage Securities VII, Inc., | 27,656 |
|
|
|
| 22,015 | Series 2003-UP2, Class 1, PO, 12/25/18 |
| 22,015 |
162,246 |
|
|
| Structured Asset Mortgage Investments, Inc., | 162,246 |
|
| 127,787 |
|
| Series 2005-AR2, Class 2A1, VAR, 2.71%, 05/25/45 |
| 127,787 |
|
| 400,000 |
| Structured Adjustable Rate Mortgage Loan Trust, | 400,000 |
|
|
|
| 358,947 | Series 2004-6, Class 5A4, VAR, 4.97%, 06/25/34 |
| 358,947 |
|
|
|
| Structured Asset Securities Corp., |
|
|
|
| 500,000 | 485,915 | Series 2003-8, Class 1A2, 5.00%, 04/25/18 | 500,000 | 485,915 |
|
| 300,981 | 281,279 | Series 2004-20, Class 1A3, 5.25%, 11/25/34 | 300,981 | 281,279 |
273,595 |
|
|
| Thornburg Mortgage Securities Trust, | 273,595 |
|
| 269,514 |
|
| Series 2006-2, Class A2A, VAR, 2.59%, 03/25/36 |
| 269,514 |
|
|
|
| WaMu Mortgage Pass-Through Certificates, |
|
|
69,281 | 53,501 |
|
| Series 2005-AR2, Class 2A21, VAR, 2.81%, 01/25/45 | 69,281 | 53,501 |
177,770 | 140,942 |
|
| Series 2005-AR9, Class A1A, VAR, 2.80%, 07/25/45 | 177,770 | 140,942 |
|
|
|
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|
|
|
| 3,071,448 | 90,474 | Series 2005-2, Class 1A4, IF, IO, 2.57%, 04/25/35 | 3,071,448 | 90,474 |
|
| 1,050,697 | 30,174 | Series 2005-2, Class 2A3, IF, IO, 2.52%, 04/25/35 | 1,050,697 | 30,174 |
|
| 800,000 | 689,788 | Series 2005-4, Class CB7, 5.50%, 06/25/35 | 800,000 | 689,788 |
|
| 109,208 | 76,628 | Series 2005-4, Class DP, PO, 06/25/20 | 109,208 | 76,628 |
|
| 309,490 | 268,276 | Series 2005-6, Class 2A4, 5.50%, 08/25/35 | 309,490 | 268,276 |
247,649 |
|
|
| Washington Mutual Alternative Mortgage Pass-Through Certificates, | 247,649 |
|
| 195,333 |
|
| Series 2006-5, Class 2CB1, 6.00%, 07/25/36 |
| 195,333 |
|
| 190,339 |
| Washington Mutual MSC Mortgage Pass-Through Certificates, | 190,339 |
|
|
|
| 189,031 | Series 2002-MS12, Class A, 6.50%, 05/25/32 |
| 189,031 |
|
|
|
| WaMu Mortgage Pass-Through Certificates, |
|
|
|
| 70,714 | 69,684 | Series 2003-AR8, Class A, VAR, 4.03%, 08/25/33 | 70,714 | 69,684 |
|
| 297,504 | 294,428 | Series 2003-S4, Class 3A, 5.50%, 06/25/33 | 297,504 | 294,428 |
|
| 452,456 | 419,849 | Series 2003-S8, Class A4, 4.50%, 09/25/18 | 452,456 | 419,849 |
|
| 864,090 | 830,869 | Series 2003-S10, Class A5, 5.00%, 10/25/18 | 864,090 | 830,869 |
|
| 66,469 | 51,843 | Series 2003-S10, Class A6, PO, 10/25/18 | 66,469 | 51,843 |
|
| 124,381 | 121,481 | Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34 | 124,381 | 121,481 |
|
| 905,378 | 922,827 | Series 2004-S3, Class 2A3, IF, 12.01%, 07/25/34 | 905,378 | 922,827 |
|
|
|
| Wells Fargo Mortgage Backed Securities Trust, |
|
|
|
| 150,000 | 145,531 | Series 2003-8, Class A9, 4.50%, 08/25/18 | 150,000 | 145,531 |
|
| 82,805 | 61,936 | Series 2003-11, Class 1A, PO, 10/25/18 | 82,805 | 61,936 |
|
| 663,000 | 644,551 | Series 2003-11, Class 1A4, 4.75%, 10/25/18 | 663,000 | 644,551 |
|
| 146,798 | 145,549 | Series 2003-17, Class 2A4, 5.50%, 01/25/34 | 146,798 | 145,549 |
|
| 542,279 | 510,085 | Series 2003-K, Class 1A2, VAR, 4.49%, 11/25/33 | 542,279 | 510,085 |
|
| 307,381 | 297,775 | Series 2004-7, Class 2A2, 5.00%, 07/25/19 | 307,381 | 297,775 |
|
| 527,724 | 520,462 | Series 2004-EE, Class 3A1, VAR, 4.02%, 12/25/34 | 527,724 | 520,462 |
|
| 661,464 | 646,152 | Series 2004-P, Class 2A1, VAR, 4.23%, 09/25/34 | 661,464 | 646,152 |
|
| 600,000 | 593,285 | Series 2004-S, Class A5, VAR, 3.54%, 09/25/34 | 600,000 | 593,285 |
|
| 324,572 | 321,367 | Series 2005-AR10, Class 2A4, VAR, 4.11%, 06/25/35 | 324,572 | 321,367 |
|
| 254,730 | 245,486 | Series 2005-AR16, Class 2A1, VAR, 4.94%, 10/25/35 | 254,730 | 245,486 |
324,405 | 314,267 |
|
| Series 2007-7, Class A1, 6.00%, 06/25/37 | 324,405 | 314,267 |
| 5,217,532 |
| 38,959,318 |
|
| 44,176,850 |
|
|
|
| Total Collateralized Mortgage Obligations |
|
|
| 7,595,303 |
| 96,406,831 | (Cost $8,293,077, $98,659,162 and $106,952,239, respectively) |
| 104,002,134 |
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities -- 2.0% |
|
|
|
| 550,000 |
| Banc of America Commercial Mortgage, Inc., | 550,000 |
|
|
|
| 533,068 | Series 2005-6, Class ASB, VAR, 5.35%, 09/10/47 |
| 533,068 |
|
|
|
| Bear Stearns Commercial Mortgage Securities, |
|
|
|
| 2,859 | 2,862 | Series 2000-WF1, Class A1, VAR, 7.64%, 02/15/32 (y) | 2,859 | 2,862 |
250,000 | 233,139 |
|
| Series 2005-PWR8, Class A4, 4.67%, 06/11/41 (m) (y) | 250,000 | 233,139 |
|
| 250,000 | 239,924 | Series 2005-PWR9, Class AAB, 4.80%, 09/11/42 (y) | 250,000 | 239,924 |
|
| 360,000 | 346,435 | Series 2006-PW11, Class A4, VAR, 5.62%, 03/11/39 (y) | 360,000 | 346,435 |
|
| 212,543 | 210,451 | Series 2006-PW14, Class A1, 5.04%, 12/11/38 (y) | 212,543 | 210,451 |
|
| 155,001 |
| Citigroup Commercial Mortgage Trust, | 155,001 |
|
|
|
| 156,082 | Series 2006-C4, Class A1, VAR, 5.92%, 03/15/49 |
| 156,082 |
|
|
|
| Credit Suisse Mortgage Capital Certificates, |
|
|
565,000 | 544,145 |
|
| Series 2006-C1, Class A4, VAR, 5.61%, 02/15/39 (m) | 565,000 | 544,145 |
335,000 | 320,035 |
|
| Series 2007-C4, Class A3, VAR, 6.00%, 09/15/39 (m) | 335,000 | 320,035 |
|
| 90,807 |
| DLJ Commercial Mortgage Corp., | 90,807 |
|
|
|
| 92,479 | Series 1999-CG2, Class A1B, VAR, 7.30%, 06/10/32 |
| 92,479 |
|
|
|
| LB-UBS Commercial Mortgage Trust, |
|
|
75,000 | 70,721 |
|
| Series 2005-C1, Class A4, 4.74%, 02/15/30 | 75,000 | 70,721 |
195,000 | 192,024 |
|
| Series 2006-C4, Class A4, VAR, 5.88%, 06/15/38 | 195,000 | 192,024 |
|
| 100,000 | 97,510 | Series 2008-C1, Class A2, VAR, 6.15%, 04/15/41 | 100,000 | 97,510 |
|
| 330,000 |
| Merrill Lynch Mortgage Trust, | 330,000 |
|
|
|
| 316,915 | Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43 |
| 316,915 |
|
|
|
| Morgan Stanley Capital I, |
|
|
|
| 198,127 | 197,319 | Series 2006-IQ12, Class A1, 5.26%, 12/15/43 | 198,127 | 197,319 |
|
| 73,087 | 73,475 | Series 2006-T23, Class A1, 5.68%, 08/12/41 | 73,087 | 73,475 |
|
| 200,000 |
| TIAA Retail Commercial Trust (Cayman Islands), | 200,000 |
|
|
|
| 195,933 | Series 2007-C4, Class A3, VAR, 6.10%, 08/15/39 |
| 195,933 |
|
| 450,000 |
| Wachovia Bank Commercial Mortgage Trust, | 450,000 |
|
|
|
| 444,961 | Series 2004-C15, Class A2, 4.04%, 10/15/41 |
| 444,961 |
|
|
|
| Total Commercial Mortgage-Backed Securities |
|
|
| 1,360,064 |
| 2,907,414 | (Cost $1,402,120, $2,990,622 and $4,392,742, respectively) |
| 4,267,478 |
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds -- 17.9% |
|
|
|
|
|
| Aerospace & Defense -- 0.1% |
|
|
20,000 |
|
|
| L-3 Communications Corp., | 20,000 |
|
| 18,450 |
|
| 5.88%, 01/15/15 |
| 18,450 |
|
| 135,000 |
| Northrop Grumman Corp., | 135,000 |
|
|
|
| 143,915 | 7.13%, 02/15/11 |
| 143,915 |
|
| 50,213 |
| Systems 2001 AT LLC (Cayman Islands), | 50,213 |
|
|
|
| 51,967 | 7.16%, 12/15/11 (c) (e) |
| 51,967 |
| 18,450 |
| 195,882 |
|
| 214,332 |
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics -- 0.1% |
|
|
|
|
|
| United Parcel Service, Inc., |
|
|
|
| 50,000 | 50,628 | 5.50%, 01/15/18 | 50,000 | 50,628 |
65,000 | 65,883 |
|
| 6.20%, 01/15/38 | 65,000 | 65,883 |
| 65,883 |
| 50,628 |
|
| 116,511 |
|
|
|
|
|
|
|
|
|
|
| Airlines -- 0.1% |
|
|
|
| 85,000 |
| American Airlines, Inc., | 85,000 |
|
|
|
| 82,875 | Series 1999-1, 7.02%, 10/15/09 (c) |
| 82,875 |
|
|
|
| United Air Lines, Inc., |
|
|
|
| 85,174 | 85,493 | Series 2001-1, 6.07%, 03/01/13 | 85,174 | 85,493 |
|
| 54,435 | 53,346 | Series 2001-1, 6.20%, 09/01/10 (f) | 54,435 | 53,346 |
| - |
| 221,714 |
|
| 221,714 |
|
|
|
|
|
|
|
|
|
|
| Automobiles -- 0.2% |
|
|
|
| 350,000 |
| Daimler Finance North America LLC, | 350,000 |
|
|
|
| 359,996 | 7.20%, 09/01/09 |
| 359,996 |
|
|
|
|
|
|
|
|
|
|
| Beverages -- 0.1% |
|
|
|
| 50,000 |
| Coca-Cola Enterprises, Inc., | 50,000 |
|
|
|
| 56,082 | 8.50%, 02/01/12 |
| 56,082 |
35,000 |
|
|
| Constellation Brands, Inc., | 35,000 |
|
| 32,900 |
|
| 7.25%, 09/01/16 (m) |
| 32,900 |
95,000 |
|
|
| Diageo Capital plc (United Kingdom), | 95,000 |
|
| 93,764 |
|
| 5.75%, 10/23/17 (m) |
| 93,764 |
85,000 |
|
|
| Dr. Pepper Snapple Group, Inc., | 85,000 |
|
| 85,351 |
|
| 6.82%, 05/01/18 (e) (m) |
| 85,351 |
| 212,015 |
| 56,082 |
|
| 268,097 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets -- 2.8% |
|
|
20,000 |
|
|
| Arch Western Finance LLC, | 20,000 |
|
| 19,600 |
|
| 6.75%, 07/01/13 (m) |
| 19,600 |
|
|
|
| Bear Stearns Cos., Inc. (The), |
|
|
|
| 100,000 | 98,631 | 3.25%, 03/25/09 (y) | 100,000 | 98,631 |
|
| 100,000 | 96,642 | 5.70%, 11/15/14 (y) | 100,000 | 96,642 |
|
| 250,000 | 247,048 | 6.40%, 10/02/17 (y) | 250,000 | 247,048 |
|
|
|
| Credit Suisse First Boston USA, Inc., |
|
|
|
| 50,000 | 47,694 | 4.88%, 01/15/15 | 50,000 | 47,694 |
|
| 150,000 | 149,767 | 5.50%, 08/15/13 (c) | 150,000 | 149,767 |
|
| 500,000 | 513,336 | 6.13%, 11/15/11 | 500,000 | 513,336 |
60,000 |
|
|
| Credit Suisse Guernsey Ltd. (Switzerland), | 60,000 |
|
| 50,019 |
|
| 5.86%, 05/15/17 (m) (x) |
| 50,019 |
|
|
|
| Goldman Sachs Group, Inc. (The), |
|
|
|
| 200,000 | 200,006 | 3.88%, 01/15/09 | 200,000 | 200,006 |
|
| 375,000 | 360,713 | 4.75%, 07/15/13 | 375,000 | 360,713 |
|
| 150,000 | 146,829 | 5.25%, 10/15/13 | 150,000 | 146,829 |
|
| 100,000 | 97,848 | 5.50%, 11/15/14 | 100,000 | 97,848 |
|
| 150,000 | 143,993 | 5.95%, 01/18/18 | 150,000 | 143,993 |
105,000 | 90,530 |
|
| 5.95%, 01/15/27 (m) | 105,000 | 90,530 |
35,000 | 32,016 | 70,000 | 64,032 | 6.75%, 10/01/37 | 105,000 | 96,048 |
|
| 200,000 | 207,617 | 6.88%, 01/15/11 | 200,000 | 207,617 |
35,000 |
|
|
| Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. | 35,000 |
|
| 35,175 |
|
| PIK, 8.88%, 04/01/15 (m) |
| 35,175 |
|
|
|
| Lehman Brothers Holdings, Inc., |
|
|
|
| 200,000 | 179,569 | 4.80%, 03/13/14 | 200,000 | 179,569 |
75,000 | 70,988 |
|
| 5.63%, 01/24/13 | 75,000 | 70,988 |
|
| 100,000 | 95,122 | 5.75%, 05/17/13 | 100,000 | 95,122 |
|
| 175,000 | 173,147 | 6.63%, 01/18/12 | 175,000 | 173,147 |
315,000 | 300,248 |
|
| VAR, 2.97%, 11/10/09 | 315,000 | 300,248 |
20,000 |
|
|
| LVB Acquisition Merger Sub, Inc., | 20,000 |
|
| 21,200 |
|
| 10.38%, 10/15/17 (e) |
| 21,200 |
|
|
|
| Merrill Lynch & Co., Inc., |
|
|
|
| 200,000 | 197,712 | 4.13%, 01/15/09 | 200,000 | 197,712 |
|
| 100,000 | 97,223 | 4.79%, 08/04/10 | 100,000 | 97,223 |
|
| 120,000 | 112,517 | 5.45%, 07/15/14 | 120,000 | 112,517 |
60,000 | 58,723 |
|
| 6.05%, 08/15/12 | 60,000 | 58,723 |
|
| 135,000 | 130,842 | 6.15%, 04/25/13 | 135,000 | 130,842 |
|
| 80,000 | 74,131 | 6.40%, 08/28/17 | 80,000 | 74,131 |
|
| 90,000 | 85,655 | 6.88%, 04/25/18 | 90,000 | 85,655 |
|
|
|
| Morgan Stanley, |
|
|
|
| 400,000 | 364,492 | 4.75%, 04/01/14 | 400,000 | 364,492 |
|
| 300,000 | 305,016 | 6.60%, 04/01/12 | 300,000 | 305,016 |
185,000 | 175,292 |
|
| 6.63%, 04/01/18 | 185,000 | 175,292 |
|
| 450,000 | 461,608 | 6.75%, 04/15/11 | 450,000 | 461,608 |
100,000 | 99,614 |
|
| VAR, 4.78%, 05/14/10 | 100,000 | 99,614 |
|
| 150,000 |
| State Street Corp., | 150,000 |
|
|
|
| 157,466 | 7.65%, 06/15/10 |
| 157,466 |
|
| 100,000 |
| UBS AG (Switzerland), | 100,000 |
|
|
|
| 95,422 | 5.75%, 04/25/18 |
| 95,422 |
| 953,405 |
| 4,904,078 |
|
| 5,857,483 |
|
|
|
|
|
|
|
|
|
|
| Chemicals -- 0.3% |
|
|
|
|
|
| Dow Chemical Co. (The), |
|
|
|
| 110,000 | 113,980 | 6.00%, 10/01/12 | 110,000 | 113,980 |
|
| 150,000 | 154,930 | 6.13%, 02/01/11 | 150,000 | 154,930 |
|
| 30,000 | 31,818 | 7.38%, 11/01/29 | 30,000 | 31,818 |
30,000 |
|
|
| Huntsman LLC, | 30,000 |
|
| 31,125 |
|
| 11.50%, 07/15/12 (m) |
| 31,125 |
|
| 80,000 |
| Monsanto Co., | 80,000 |
|
|
|
| 88,108 | 7.38%, 08/15/12 |
| 88,108 |
30,000 |
|
|
| Nalco Co., | 30,000 |
|
| 30,000 |
|
| 7.75%, 11/15/11 |
| 30,000 |
|
|
|
| PolyOne Corp., |
|
|
20,000 | 20,000 |
|
| 8.88%, 05/01/12 (e) | 20,000 | 20,000 |
20,000 | 20,000 |
|
| 8.88%, 05/01/12 | 20,000 | 20,000 |
|
| 50,000 |
| Potash Corp. of Saskatchewan (Canada), | 50,000 |
|
|
|
| 49,871 | 4.88%, 03/01/13 |
| 49,871 |
|
| 90,000 |
| Praxair, Inc., | 90,000 |
|
|
|
| 91,048 | 5.25%, 11/15/14 |
| 91,048 |
| 101,125 |
| 529,755 |
|
| 630,880 |
|
|
|
|
|
|
|
|
|
|
| Commercial Banks -- 2.1% |
|
|
|
|
|
| Barclays Bank plc (United Kingdom), |
|
|
|
| 100,000 | 101,162 | 5.45%, 09/12/12 | 100,000 | 101,162 |
|
| 150,000 | 147,029 | 6.05%, 12/04/17 (e) | 150,000 | 147,029 |
|
| 75,000 |
| Branch Banking & Trust Co., | 75,000 |
|
|
|
| 72,394 | 4.88%, 01/15/13 |
| 72,394 |
75,000 |
|
|
| Depfa ACS Bank (Ireland), | 75,000 |
|
| 71,237 |
|
| 5.13%, 03/16/37 (e) (m) |
| 71,237 |
90,000 |
|
|
| Deutsche Bank AG (Germany), | 90,000 |
|
| 91,326 |
|
| 5.38%, 10/12/12 (m) |
| 91,326 |
350,000 |
|
|
| Glitnir Banki HF (Iceland), | 350,000 |
|
| 348,041 |
|
| VAR, 2.87%, 10/15/08 (e) (m) |
| 348,041 |
|
| 50,000 |
| HSBC Holdings plc (United Kingdom), | 50,000 |
|
|
|
| 49,326 | 7.35%, 11/27/32 |
| 49,326 |
200,000 |
|
|
| HBOS plc (United Kingdom), | 200,000 |
|
| 142,440 |
|
| 5.92%, 10/01/15 (e) (m) (x) |
| 142,440 |
|
| 250,000 |
| Huntington National Bank (The), | 250,000 |
|
|
|
| 252,036 | 8.00%, 04/01/10 |
| 252,036 |
200,000 |
|
|
| ICICI Bank Ltd. (India), | 200,000 |
|
| 193,920 |
|
| VAR, 3.25%, 01/12/10 (e) (m) |
| 193,920 |
|
|
|
| Keycorp, |
|
|
|
| 200,000 | 197,189 | 4.70%, 05/21/09 | 200,000 | 197,189 |
|
| 35,000 | 31,250 | 6.50%, 05/14/13 | 35,000 | 31,250 |
|
| 75,000 |
| Marshall & Ilsley Corp., | 75,000 |
|
|
|
| 72,436 | 5.35%, 04/01/11 |
| 72,436 |
|
| 20,000 |
| National City Bank, | 20,000 |
|
|
|
| 18,071 | VAR, 2.93%, 01/21/10 |
| 18,071 |
|
| 50,000 |
| PNC Funding Corp., | 50,000 |
|
|
|
| 46,316 | 5.25%, 11/15/15 |
| 46,316 |
|
| 50,000 |
| Regions Financial Corp., | 50,000 |
|
|
|
| 45,038 | 7.38%, 12/10/37 |
| 45,038 |
|
| 190,000 |
| Royal Bank of Canada (Canada), | 190,000 |
|
|
|
| 190,371 | 3.88%, 05/04/09 |
| 190,371 |
150,000 |
|
|
| Shinsei Finance II (Cayman Islands), | 150,000 |
|
| 105,563 |
|
| 7.16%, 07/25/16 (e) (x) |
| 105,563 |
100,000 |
|
|
| Standard Chartered plc (United Kingdom), | 100,000 |
|
| 80,247 |
|
| 6.41%, 01/30/17 (e) (x) |
| 80,247 |
|
| 250,000 |
| SunTrust Bank, | 250,000 |
|
|
|
| 254,610 | 6.38%, 04/01/11 |
| 254,610 |
|
| 100,000 |
| US Bancorp, | 100,000 |
|
|
|
| 107,361 | 7.50%, 06/01/26 |
| 107,361 |
|
| 250,000 |
| U.S. Bank N.A., | 250,000 |
|
|
|
| 259,387 | 7.13%, 12/01/09 |
| 259,387 |
300,000 |
|
|
| VTB Capital S.A. for Vneshtorgbank (Russia), | 300,000 |
|
| 299,213 |
|
| VAR, 3.38%, 08/01/08 (e) (m) |
| 299,213 |
|
|
|
| Wachovia Bank N.A., |
|
|
145,000 | 98,600 |
|
| 5.80%, 03/15/11 (x) | 145,000 | 98,600 |
|
| 250,000 | 217,848 | 6.60%, 01/15/38 | 250,000 | 217,848 |
|
| 100,000 | 105,386 | 7.80%, 08/18/10 | 100,000 | 105,386 |
|
|
|
| Wachovia Corp., |
|
|
|
| 240,000 | 239,827 | 3.50%, 08/15/08 | 240,000 | 239,827 |
|
| 150,000 | 148,300 | 3.63%, 02/17/09 | 150,000 | 148,300 |
95,000 |
|
|
| Wells Fargo Capital XIII, | 95,000 |
|
| 94,434 |
|
| 7.70%, 03/26/13 (x) |
| 94,434 |
|
| 260,000 |
| Wells Fargo & Co., | 260,000 |
|
|
|
| 258,825 | 3.13%, 04/01/09 |
| 258,825 |
150,000 |
|
|
| Woori Bank (South Korea), | 150,000 |
|
| 149,955 |
|
| VAR, 5.75%, 03/13/14 (e) |
| 149,955 |
| 1,674,976 |
| 2,814,162 |
|
| 4,489,138 |
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies -- 0.0% (g) |
|
|
40,000 |
|
|
| ACCO Brands Corp., | 40,000 |
|
| 36,000 |
|
| 7.63%, 08/15/15 (m) |
| 36,000 |
10,000 |
|
|
| Allied Waste North America, Inc., | 10,000 |
|
| 10,150 |
|
| 7.38%, 04/15/14 (m) |
| 10,150 |
20,000 |
|
|
| Corrections Corp. of America, | 20,000 |
|
| 19,250 |
|
| 6.25%, 03/15/13 (m) |
| 19,250 |
| 65,400 |
| - |
|
| 65,400 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment -- 0.0% (g) |
|
|
|
| 80,000 |
| Cisco Systems, Inc., | 80,000 |
|
|
|
| 80,713 | 5.50%, 02/22/16 |
| 80,713 |
|
|
|
|
|
|
|
|
|
|
| Computers & Peripherals -- 0.2% |
|
|
|
|
|
| International Business Machines Corp., |
|
|
|
| 150,000 | 151,509 | 5.39%, 01/22/09 | 150,000 | 151,509 |
|
| 50,000 | 50,052 | 6.22%, 08/01/27 | 50,000 | 50,052 |
135,000 |
|
|
| Hewlett-Packard Co., | 135,000 |
|
| 133,707 |
|
| 4.50%, 03/01/13 (m) |
| 133,707 |
| 133,707 |
| 201,561 |
|
| 335,268 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance -- 1.0% |
|
|
|
|
|
| Capital One Financial Corp., |
|
|
|
| 65,000 | 61,824 | 5.70%, 09/15/11 | 65,000 | 61,824 |
|
| 185,000 | 180,701 | 6.25%, 11/15/13 (c) | 185,000 | 180,701 |
45,000 |
|
|
| GMAC LLC, | 45,000 |
|
| 30,815 |
|
| 6.88%, 08/28/12 (m) |
| 30,815 |
|
|
|
| HSBC Finance Corp., |
|
|
|
| 150,000 | 141,784 | 5.00%, 06/30/15 | 150,000 | 141,784 |
|
| 150,000 | 146,342 | 5.25%, 01/15/14 | 150,000 | 146,342 |
|
| 500,000 | 503,998 | 6.50%, 11/15/08 | 500,000 | 503,998 |
|
|
|
| International Lease Finance Corp., |
|
|
|
| 40,000 | 35,687 | 5.88%, 05/01/13 | 40,000 | 35,687 |
200,000 | 187,116 |
|
| VAR, 2.86%, 05/24/10 (m) | 200,000 | 187,116 |
|
|
|
| John Deere Capital Corp., |
|
|
|
| 20,000 | 19,750 | 4.50%, 04/03/13 | 20,000 | 19,750 |
60,000 | 59,131 |
|
| 5.35%, 04/03/18 (m) | 60,000 | 59,131 |
|
|
|
| SLM Corp., |
|
|
|
| 150,000 | 139,734 | Series A, 4.00%, 01/15/10 | 150,000 | 139,734 |
|
| 100,000 | 88,077 | Series A, 5.38%, 01/15/13 | 100,000 | 88,077 |
250,000 | 234,387 |
|
| VAR, 3.06%, 07/27/09 (m) | 250,000 | 234,387 |
|
| 100,000 |
| Toyota Motor Credit Corp., | 100,000 |
|
|
|
| 99,963 | 2.88%, 08/01/08 |
| 99,963 |
|
| 100,000 |
| Washington Mutual Financial Corp., | 100,000 |
|
|
|
| 102,585 | 6.88%, 05/15/11 |
| 102,585 |
| 511,449 |
| 1,520,445 |
|
| 2,031,894 |
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging -- 0.0% (g) |
|
|
10,000 |
|
|
| Owens-Brockway Glass Container, Inc., | 10,000 |
|
| 10,250 |
|
| 8.25%, 05/15/13 |
| 10,250 |
20,000 |
|
|
| Smurfit-Stone Container Enterprises, Inc., | 20,000 |
|
| 17,550 |
|
| 8.38%, 07/01/12 |
| 17,550 |
| 27,800 |
| - |
|
| 27,800 |
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services -- 0.0% (g) |
|
|
30,000 |
|
|
| Service Corp. International, | 30,000 |
|
| 30,000 |
|
| 7.38%, 10/01/14 |
| 30,000 |
20,000 |
|
|
| Stewart Enterprises, Inc., | 20,000 |
|
| 19,000 |
|
| 6.25%, 02/15/13 |
| 19,000 |
| 49,000 |
| - |
|
| 49,000 |
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services -- 2.3% |
|
|
|
| 60,000 |
| Allstate Life Global Funding Trusts, | 60,000 |
|
|
|
| 59,765 | 5.38%, 04/30/13 |
| 59,765 |
|
| 250,000 |
| Associates Corp. of North America, | 250,000 |
|
|
|
| 259,925 | 8.55%, 07/15/09 |
| 259,925 |
|
|
|
| Bank of America Corp., |
|
|
115,000 | 107,363 | 205,000 | 191,385 | 5.65%, 05/01/18 | 320,000 | 298,748 |
|
| 570,000 | 594,913 | 7.80%, 02/15/10 | 570,000 | 594,913 |
|
| 40,000 |
| BHP Billiton Finance USA Ltd. (Australia), | 40,000 |
|
|
|
| 38,180 | 5.40%, 03/29/17 |
| 38,180 |
80,000 |
|
|
| Caterpillar Financial Services Corp., | 80,000 |
|
| 79,309 |
|
| 5.45%, 04/15/18 (m) |
| 79,309 |
|
| 150,000 |
| CIT Group, Inc., | 150,000 |
|
|
|
| 124,677 | 7.63%, 11/30/12 (c) |
| 124,677 |
|
|
|
| Citigroup, Inc., |
|
|
|
| 150,000 | 136,346 | 4.70%, 05/29/15 | 150,000 | 136,346 |
100,000 | 97,598 |
|
| 5.50%, 04/11/13 (m) | 100,000 | 97,598 |
|
| 300,000 | 295,143 | 5.63%, 08/27/12 | 300,000 | 295,143 |
85,000 | 81,079 |
|
| 6.00%, 08/15/17 (m) | 85,000 | 81,079 |
65,000 | 62,381 |
|
| 6.13%, 11/21/17 (m) | 65,000 | 62,381 |
|
| 100,000 | 95,697 | 6.13%, 05/15/18 | 100,000 | 95,697 |
|
|
|
| General Electric Capital Corp., |
|
|
|
| 200,000 | 195,934 | 4.80%, 05/01/13 | 200,000 | 195,934 |
95,000 | 95,926 | 100,000 | 100,975 | 5.25%, 10/19/12 | 195,000 | 196,901 |
|
| 400,000 | 386,822 | 5.63%, 05/01/18 | 400,000 | 386,822 |
40,000 | 36,251 | 100,000 | 90,627 | 5.88%, 01/14/38 (c) | 140,000 | 126,878 |
60,000 | 56,303 |
|
| 6.15%, 08/07/37 (m) | 60,000 | 56,303 |
|
| 500,000 | 525,667 | 7.38%, 01/19/10 (c) | 500,000 | 525,667 |
|
| 390,000 | 404,617 | Series A, 5.88%, 02/15/12 | 390,000 | 404,617 |
|
| 110,000 | 113,672 | Series A, 6.00%, 06/15/12 | 110,000 | 113,672 |
|
| 200,000 | 201,390 | Series A, 6.75%, 03/15/32 | 200,000 | 201,390 |
|
| 165,000 |
| Genworth Global Funding Trusts, | 165,000 |
|
|
|
| 165,045 | 5.20%, 10/08/10 |
| 165,045 |
|
| 130,000 |
| Textron Financial Corp., | 130,000 |
|
|
|
| 131,435 | 5.13%, 02/03/11 |
| 131,435 |
55,000 |
|
|
| Visant Corp., | 55,000 |
|
| 54,037 |
|
| 7.63%, 10/01/12 |
| 54,037 |
| 670,247 |
| 4,112,215 |
|
| 4,782,462 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services -- 1.5% |
|
|
|
|
|
| AT&T, Inc., |
|
|
|
| 125,000 | 124,567 | 4.95%, 01/15/13 | 125,000 | 124,567 |
|
| 50,000 | 48,450 | 5.50%, 02/01/18 | 50,000 | 48,450 |
|
| 70,000 | 68,298 | 5.60%, 05/15/18 | 70,000 | 68,298 |
130,000 | 122,818 |
|
| 6.30%, 01/15/38 (m) | 130,000 | 122,818 |
|
| 100,000 |
| BellSouth Corp., | 100,000 |
|
|
|
| 98,547 | 5.20%, 09/15/14 |
| 98,547 |
|
|
|
| Bellsouth Telecommunications, Inc., |
|
|
|
| 261,685 | 265,432 | 6.30%, 12/15/15 | 261,685 | 265,432 |
|
| 400,000 |
| British Telecommunications plc (United Kingdom), | 400,000 |
|
|
|
| 429,500 | 8.62%, 12/15/10 |
| 429,500 |
|
| 180,000 |
| France Telecom S.A. (France), | 180,000 |
|
|
|
| 190,627 | 7.75%, 03/01/11 |
| 190,627 |
|
| 150,000 |
| Nynex Capital Funding Co., | 150,000 |
|
|
|
| 154,200 | SUB, 8.23%, 10/15/09 |
| 154,200 |
13,000 |
|
|
| Qwest Communications International, Inc., | 13,000 |
|
| 12,935 |
|
| VAR, 6.18%, 02/15/09 |
| 12,935 |
20,000 |
|
|
| Qwest Corp., | 20,000 |
|
| 20,400 |
|
| 8.88%, 03/15/12 |
| 20,400 |
|
|
|
| Sprint Capital Corp., |
|
|
|
| 100,000 | 99,000 | 8.38%, 03/15/12 | 100,000 | 99,000 |
|
| 60,000 | 57,150 | 8.75%, 03/15/32 | 60,000 | 57,150 |
|
|
|
| Telecom Italia Capital S.A. (Luxembourg), |
|
|
|
| 50,000 | 45,763 | 4.95%, 09/30/14 | 50,000 | 45,763 |
|
| 130,000 | 122,804 | 5.25%, 11/15/13 | 130,000 | 122,804 |
25,000 | 25,403 |
|
| 7.72%, 06/04/38 | 25,000 | 25,403 |
|
| 100,000 |
| Telefonica Emisones S.A.U. (Spain), | 100,000 |
|
|
|
| 100,668 | 5.86%, 02/04/13 |
| 100,668 |
|
| 115,000 |
| TELUS Corp. (Canada), | 115,000 |
|
|
|
| 123,472 | 8.00%, 06/01/11 |
| 123,472 |
90,000 |
|
|
| Verizon Communications, Inc., | 90,000 |
|
| 83,779 |
|
| 6.40%, 02/15/38 |
| 83,779 |
|
| 650,000 |
| Verizon Global Funding Corp., | 650,000 |
|
|
|
| 690,073 | 7.25%, 12/01/10 |
| 690,073 |
|
| 100,000 |
| Verizon Pennsylvania, Inc., | 100,000 |
|
|
|
| 112,303 | 8.35%, 12/15/30 |
| 112,303 |
|
| 100,000 |
| Verizon Virginia, Inc., | 100,000 |
|
|
|
| 96,668 | Series A, 4.63%, 03/15/13 |
| 96,668 |
| 265,335 |
| 2,827,522 |
|
| 3,092,857 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities -- 1.0% |
|
|
175,000 |
|
|
| Abu Dhabi National Energy Co. (United Arab Emirates), | 175,000 |
|
| 176,341 |
|
| 5.62%, 10/25/12 (e) (m) |
| 176,341 |
|
| 25,000 |
| Alabama Power Co., | 25,000 |
|
|
|
| 25,211 | 6.13%, 05/15/38 |
| 25,211 |
|
| 100,000 |
| Carolina Power & Light Co., | 100,000 |
|
|
|
| 100,622 | 5.13%, 09/15/13 |
| 100,622 |
|
| 100,000 |
| CenterPoint Energy Houston Electric LLC, | 100,000 |
|
|
|
| 99,633 | Series M2, 5.75%, 01/15/14 |
| 99,633 |
|
| 40,000 |
| Columbus Southern Power Co., | 40,000 |
|
|
|
| 39,768 | 6.05%, 05/01/18 |
| 39,768 |
|
| 75,000 |
| Duke Energy Corp., | 75,000 |
|
|
|
| 73,145 | 5.10%, 04/15/18 |
| 73,145 |
100,000 |
|
|
| E.ON International Finance BV (Netherlands), | 100,000 |
|
| 98,101 |
|
| 5.80%, 04/30/18 (e) (m) |
| 98,101 |
|
| 150,000 |
| Exelon Generation Co. LLC, | 150,000 |
|
|
|
| 155,036 | 6.95%, 06/15/11 |
| 155,036 |
|
|
|
| Florida Power & Light Co., |
|
|
|
| 30,000 | 29,600 | 5.95%, 10/01/33 | 30,000 | 29,600 |
85,000 | 84,027 | 30,000 | 29,657 | 5.95%, 02/01/38 (c) | 115,000 | 113,684 |
250,000 |
|
|
| Ohio Power, Co., | 250,000 |
|
| 245,071 |
|
| VAR, 2.91%, 04/05/10 |
| 245,071 |
|
| 75,000 |
| Pacific Gas & Electric Co., | 75,000 |
|
|
|
| 74,709 | 5.63%, 11/30/17 (c) |
| 74,709 |
155,000 |
|
|
| PacifiCorp, | 155,000 |
|
| 155,039 |
|
| 4.30%, 09/15/08 (m) |
| 155,039 |
|
| 75,000 |
| Potomac Electric Power, | 75,000 |
|
|
|
| 73,236 | 6.50%, 11/15/37 |
| 73,236 |
|
| 65,000 |
| PSEG Power LLC, | 65,000 |
|
|
|
| 69,260 | 7.75%, 04/15/11 |
| 69,260 |
|
| 175,000 |
| Public Service Co. of Oklahoma, | 175,000 |
|
|
|
| 165,130 | Series G, 6.63%, 11/15/37 |
| 165,130 |
|
|
|
| Virginia Electric and Power Co., |
|
|
|
| 140,000 | 140,070 | 5.10%, 11/30/12 | 140,000 | 140,070 |
|
| 50,000 | 48,267 | 5.40%, 04/30/18 | 50,000 | 48,267 |
|
| 70,000 | 70,347 | 5.95%, 09/15/17 | 70,000 | 70,347 |
70,000 | 68,152 |
|
| 6.35%, 11/30/37 | 70,000 | 68,152 |
|
|
|
|
|
|
|
| 826,731 |
| 1,193,691 |
|
| 2,020,422 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services -- 0.0% (g) |
|
|
30,000 |
|
|
| Cameron International Corp., | 30,000 |
|
| 29,960 |
|
| 7.00%, 07/15/38 (m) |
| 29,960 |
60,000 |
|
|
| Transocean, Inc. (Cayman Islands), | 60,000 |
|
| 61,364 |
|
| 6.80%, 03/15/38 |
| 61,364 |
| 91,324 |
| - |
|
| 91,324 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing -- 0.3% |
|
|
140,062 |
|
|
| CVS Lease Pass-Through, | 140,062 |
|
| 130,052 |
|
| 6.04%, 12/10/28 (e) (m) |
| 130,052 |
200,000 |
|
|
| CVS/Caremark Corp., | 200,000 |
|
| 195,186 |
|
| VAR, 2.98%, 06/01/10 (m) |
| 195,186 |
|
|
|
| Kroger Co. (The), |
|
|
50,000 | 50,998 |
|
| 6.40%, 08/15/17 | 50,000 | 50,998 |
|
| 150,000 | 156,976 | 8.05%, 02/01/10 | 150,000 | 156,976 |
50,000 |
|
|
| Safeway, Inc., | 50,000 |
|
| 51,458 |
|
| 6.35%, 08/15/17 |
| 51,458 |
100,000 |
|
|
| Wal-Mart Stores, Inc., | 100,000 |
|
| 102,915 |
|
| 6.50%, 08/15/37 |
| 102,915 |
| 530,609 |
| 156,976 |
|
| 687,585 |
|
|
|
|
|
|
|
|
|
|
| Food Products -- 0.1% |
|
|
10,000 |
|
|
| Del Monte Corp., | 10,000 |
|
| 9,525 |
|
| 6.75%, 02/15/15 (m) |
| 9,525 |
|
| 50,000 |
| Kellogg Co., | 50,000 |
|
|
|
| 48,572 | 4.25%, 03/06/13 |
| 48,572 |
|
|
|
| Kraft Foods, Inc., |
|
|
|
| 165,000 | 160,393 | 6.13%, 02/01/18 | 165,000 | 160,393 |
|
| 100,000 | 97,221 | 6.88%, 02/01/38 | 100,000 | 97,221 |
| 9,525 |
| 306,186 |
|
| 315,711 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities -- 0.1% |
|
|
|
| 25,000 |
| CenterPoint Energy Resources Corp., | 25,000 |
|
|
|
| 24,353 | 6.13%, 11/01/17 (c) |
| 24,353 |
|
| 80,000 |
| KeySpan Gas East Corp., | 80,000 |
|
|
|
| 84,101 | 7.88%, 02/01/10 |
| 84,101 |
140,000 |
|
|
| Nakilat, Inc. (Qatar), | 140,000 |
|
| 123,820 |
|
| 6.07%, 12/31/33 (e) |
| 123,820 |
30,000 |
|
|
| Sonat, Inc., | 30,000 |
|
| 30,284 |
|
| 7.63%, 07/15/11 |
| 30,284 |
|
| 50,000 |
| TransCanada Pipelines Ltd. (Canada), | 50,000 |
|
|
|
| 47,022 | 4.00%, 06/15/13 |
| 47,022 |
| 154,104 |
| 155,476 |
|
| 309,580 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies -- 0.0% (g) |
|
|
30,000 |
|
|
| Cooper Cos., Inc. (The), | 30,000 |
|
| 28,800 |
|
| 7.13%, 02/15/15 (m) |
| 28,800 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services -- 0.1% |
|
|
|
|
|
| HCA, Inc., |
|
|
30,000 | 30,900 |
|
| 9.25%, 11/15/16 (m) | 30,000 | 30,900 |
15,000 | 15,450 |
|
| PIK, 9.63%, 11/15/16 (m) | 15,000 | 15,450 |
125,000 |
|
|
| UnitedHealth Group, Inc., | 125,000 |
|
| 120,482 |
|
| VAR, 2.98%, 06/21/10 |
| 120,482 |
| 166,832 |
| - |
|
| 166,832 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure -- 0.0% (g) |
|
|
30,000 |
|
|
| McDonald's Corp., | 30,000 |
|
| 29,838 |
|
| 6.30%, 10/15/37 |
| 29,838 |
35,000 |
|
|
| MGM Mirage, Inc., | 35,000 |
|
| 28,350 |
|
| 5.88%, 02/27/14 |
| 28,350 |
| 58,188 |
| - |
|
| 58,188 |
|
|
|
|
|
|
|
|
|
|
| Household Durables -- 0.0% (g) |
|
|
23,000 |
|
|
| Beazer Homes USA, Inc., | 23,000 |
|
| 16,445 |
|
| 6.88%, 07/15/15 (m) |
| 16,445 |
20,000 |
|
|
| Jarden Corp., | 20,000 |
|
| 17,400 |
|
| 7.50%, 05/01/17 |
| 17,400 |
35,000 |
|
|
| Sealy Mattress Co., | 35,000 |
|
| 28,700 |
|
| 8.25%, 06/15/14 |
| 28,700 |
| 62,545 |
| - |
|
| 62,545 |
|
|
|
|
|
|
|
|
|
|
| Household Products -- 0.0% (g) |
|
|
10,000 |
|
|
| Visant Holding Corp., | 10,000 |
|
| 9,700 |
|
| SUB, 0.00%, 12/01/13 |
| 9,700 |
|
|
|
|
|
|
|
|
|
|
| Independent Power Producers & Energy Traders -- 0.0% (g) |
|
|
60,000 |
|
|
| NRG Energy, Inc., | 60,000 |
|
| 56,475 |
|
| 7.38%, 02/01/16 |
| 56,475 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates -- 0.1% |
|
|
|
|
|
| General Electric Co., |
|
|
|
| 250,000 | 251,800 | 5.00%, 02/01/13 | 250,000 | 251,800 |
65,000 | 62,487 |
|
| 5.25%, 12/06/17 (m) | 65,000 | 62,487 |
| 62,487 |
| 251,800 |
|
| 314,287 |
|
|
|
|
|
|
|
|
|
|
| Insurance -- 1.8% |
|
|
120,000 |
|
|
| Allstate Life Global Funding Trusts, | 120,000 |
|
| 119,529 |
|
| 5.38%, 04/30/13 (m) |
| 119,529 |
|
|
|
| American International Group, Inc., |
|
|
|
| 130,000 | 119,373 | 4.25%, 05/15/13 | 130,000 | 119,373 |
65,000 | 61,172 |
|
| VAR, 8.17%, 05/15/58 (e) (m) | 65,000 | 61,172 |
|
| 300,000 |
| ASIF Global Financing XIX, | 300,000 |
|
|
|
| 288,225 | 4.90%, 01/17/13 (e) |
| 288,225 |
|
| 250,000 |
| ASIF Global Financing XXIII, | 250,000 |
|
|
|
| 249,151 | 3.90%, 10/22/08 (e) |
| 249,151 |
|
| 200,000 |
| Jackson National Life Global Funding, | 200,000 |
|
|
|
| 207,366 | 6.13%, 05/30/12 (e) |
| 207,366 |
|
|
|
| John Hancock Global Funding II, |
|
|
|
| 100,000 | 99,800 | 3.50%, 01/30/09 (e) | 100,000 | 99,800 |
|
| 100,000 | 106,524 | 7.90%, 07/02/10 (e) | 100,000 | 106,524 |
70,000 |
|
|
| Liberty Mutual Group, Inc., | 70,000 |
|
| 61,216 |
|
| 7.50%, 08/15/36 (e) |
| 61,216 |
100,000 |
|
|
| Lincoln National Corp., | 100,000 |
|
| 91,087 |
|
| VAR, 7.00%, 05/17/66 |
| 91,087 |
|
| 200,000 |
| MassMutual Global Funding II, | 200,000 |
|
|
|
| 198,335 | 3.50%, 03/15/10 (e) |
| 198,335 |
|
|
|
| Metropolitan Life Global Funding I, |
|
|
125,000 | 123,086 |
|
| 5.13%, 04/10/13 (e) | 125,000 | 123,086 |
|
| 100,000 | 98,253 | 5.20%, 09/18/13 (e) | 100,000 | 98,253 |
|
| 150,000 |
| Monumental Global Funding II, | 150,000 |
|
|
|
| 148,752 | 4.38%, 07/30/09 (e) |
| 148,752 |
|
|
|
| Nationwide Financial Services, |
|
|
|
| 100,000 | 101,906 | 6.25%, 11/15/11 | 100,000 | 101,906 |
40,000 | 31,682 |
|
| 6.75%, 05/15/67 | 40,000 | 31,682 |
|
|
|
| New York Life Global Funding, |
|
|
|
| 75,000 | 75,164 | 3.88%, 01/15/09 (e) | 75,000 | 75,164 |
|
| 250,000 | 255,495 | 5.38%, 09/15/13 (e) | 250,000 | 255,495 |
|
| 145,000 |
| Pacific Life Global Funding, | 145,000 |
|
|
|
| 144,902 | 3.75%, 01/15/09 (e) |
| 144,902 |
|
|
|
| Principal Life Global Funding I, |
|
|
80,000 | 80,000 |
|
| 5.30%, 04/24/13 | 80,000 | 80,000 |
|
| 300,000 | 314,275 | 6.25%, 02/15/12 (e) | 300,000 | 314,275 |
|
|
|
| Protective Life Secured Trust, |
|
|
|
| 85,000 | 84,191 | 4.00%, 10/07/09 | 85,000 | 84,191 |
|
| 200,000 | 194,842 | 4.00%, 04/01/11 | 200,000 | 194,842 |
90,000 |
|
|
| Reinsurance Group of America, Inc., | 90,000 |
|
| 70,771 |
|
| VAR, 6.75%, 12/15/65 |
| 70,771 |
200,000 |
|
|
| Stingray Pass-Through Trust, | 200,000 |
|
| 30,000 |
|
| 5.90%, 01/12/15 (e) |
| 30,000 |
195,000 |
|
|
| Swiss RE Capital I LP (United Kingdom), | 195,000 |
|
| 171,937 |
|
| 6.85%, 05/25/16 (e) (x) |
| 171,937 |
|
|
|
| Travelers Cos., Inc. (The), |
|
|
|
| 25,000 | 24,324 | 5.80%, 05/15/18 | 25,000 | 24,324 |
55,000 | 47,253 |
|
| VAR, 6.25%, 03/15/37 | 55,000 | 47,253 |
210,000 |
|
|
| XL Capital Ltd. (Cayman Islands), | 210,000 |
|
| 141,750 |
|
| 6.50%, 04/15/17 (x) |
| 141,750 |
|
|
|
|
|
|
|
| 1,029,483 |
| 2,710,878 |
|
| 3,740,361 |
|
|
|
|
|
|
|
|
|
|
| IT Services -- 0.0% (g) |
|
|
55,000 |
|
|
| Iron Mountain, Inc., | 55,000 |
|
| 51,425 |
|
| 6.63%, 01/01/16 (m) |
| 51,425 |
|
|
|
|
|
|
|
|
|
|
| Machinery -- 0.0% (g) |
|
|
10,000 |
|
|
| Baldor Electric Co., | 10,000 |
|
| 10,050 |
|
| 8.63%, 02/15/17 (m) |
| 10,050 |
|
| 25,000 |
| Parker-Hannifin Corp., | 25,000 |
|
|
|
| 25,079 | 5.50%, 05/15/18 |
| 25,079 |
45,000 |
|
|
| Terex Corp., | 45,000 |
|
| 44,662 |
|
| 8.00%, 11/15/17 |
| 44,662 |
| 54,712 |
| 25,079 |
|
| 79,791 |
|
|
|
|
|
|
|
|
|
|
| Media -- 0.9% |
|
|
25,000 |
|
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, | 25,000 |
|
| 23,625 |
|
| 8.00%, 04/30/12 (e) (m) |
| 23,625 |
|
|
|
| Comcast Cable Communications Holdings, Inc., |
|
|
105,000 | 103,277 |
|
| 6.95%, 08/15/37 (m) | 105,000 | 103,277 |
|
| 125,000 | 131,781 | 7.13%, 06/15/13 | 125,000 | 131,781 |
|
| 335,000 |
| Comcast Cable Holdings LLC | 335,000 |
|
|
|
| 377,618 | 9.80%, 02/01/12 |
| 377,618 |
|
|
|
| Comcast Corp., |
|
|
|
| 100,000 | 100,075 | 5.50%, 03/15/11 | 100,000 | 100,075 |
|
| 50,000 | 48,854 | 5.90%, 03/15/16 | 50,000 | 48,854 |
50,000 |
|
|
| Dex Media, Inc., | 50,000 |
|
| 35,750 |
|
| SUB, 0.00%, 11/15/13 (m) |
| 35,750 |
55,000 |
|
|
| DIRECTV Holdings LLC | 55,000 |
|
| 51,563 |
|
| 6.38%, 06/15/15 (m) |
| 51,563 |
60,000 |
|
|
| Echostar DBS Corp., | 60,000 |
|
| 55,350 |
|
| 7.13%, 02/01/16 (m) |
| 55,350 |
|
| 100,000 |
| Historic TW, Inc., | 100,000 |
|
|
|
| 114,729 | 9.15%, 02/01/23 |
| 114,729 |
20,000 |
|
|
| Quebecor Media, Inc. (Canada), | 20,000 |
|
| 18,600 |
|
| 7.75%, 03/15/16 |
| 18,600 |
30,000 |
|
|
| Time Warner Cable, Inc., | 30,000 |
|
| 27,630 |
|
| 6.55%, 05/01/37 |
| 27,630 |
|
|
|
| Time Warner Entertainment Co. LP, |
|
|
|
| 50,000 | 53,880 | 8.38%, 03/15/23 | 50,000 | 53,880 |
|
| 150,000 | 168,395 | 10.15%, 05/01/12 | 150,000 | 168,395 |
145,000 |
|
|
| Time Warner, Inc. | 145,000 |
|
| 136,728 |
|
| VAR, 3.13%, 06/16/09 (m) |
| 136,728 |
200,000 |
|
|
| Viacom, Inc., | 200,000 |
|
| 197,890 |
|
| VAR, 3.13%, 06/16/09 (m) |
| 197,890 |
15,000 |
|
|
| Videotron Ltee (Canada), | 15,000 |
|
| 14,475 |
|
| 6.88%, 01/15/14 |
| 14,475 |
225,000 |
|
|
| Walt Disney Co. (The), | 225,000 |
|
| 226,416 |
|
| 4.70%, 12/01/12 (m) |
| 226,416 |
| 891,304 |
| 995,332 |
|
| 1,886,636 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining -- 0.2% |
|
|
|
| 100,000 |
| Alcoa, Inc., | 100,000 |
|
|
|
| 93,635 | 5.55%, 02/01/17 |
| 93,635 |
35,000 |
|
|
| Freeport-McMoRan Copper & Gold, Inc., | 35,000 |
|
| 36,794 |
|
| 8.25%, 04/01/15 (m) |
| 36,794 |
180,000 |
|
|
| Rio Tinto Finance USA Ltd. (Australia), | 180,000 |
|
| 180,998 |
|
| 5.88%, 07/15/13 |
| 180,998 |
| 217,792 |
| 93,635 |
|
| 311,427 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities -- 0.2% |
|
|
|
| 130,000 |
| DTE Energy Co., | 130,000 |
|
|
|
| 131,895 | Series A, 6.65%, 04/15/09 |
| 131,895 |
|
| 150,000 |
| Duke Energy Carolinas LLC, | 150,000 |
|
|
|
| 154,341 | 5.63%, 11/30/12 |
| 154,341 |
90,000 |
|
|
| MidAmerican Energy Holdings Co., | 90,000 |
|
| 86,424 |
|
| 6.13%, 04/01/36 |
| 86,424 |
25,000 |
|
|
| Mirant North America LLC, | 25,000 |
|
| 24,781 |
|
| 7.38%, 12/31/13 |
| 24,781 |
35,000 |
|
|
| Veolia Environnement (France), | 35,000 |
|
| 34,920 |
|
| 6.00%, 06/01/18 |
| 34,920 |
| 146,125 |
| 286,236 |
|
| 432,361 |
|
|
|
|
|
|
|
|
|
|
| Multiline Retail -- 0.0% (g) |
|
|
15,000 |
|
|
| Neiman-Marcus Group, Inc. (The), | 15,000 |
|
| 14,812 |
|
| PIK, 9.00%, 10/15/15 |
| 14,812 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels -- 0.8% |
|
|
|
| 100,000 |
| Canadian Natural Resources Ltd. (Canada), | 100,000 |
|
|
|
| 99,360 | 5.90%, 02/01/18 |
| 99,360 |
|
|
|
| Chesapeake Energy Corp., |
|
|
40,000 | 37,400 |
|
| 6.50%, 08/15/17 (m) | 40,000 | 37,400 |
15,000 | 14,700 |
|
| 7.00%, 08/15/14 (m) | 15,000 | 14,700 |
|
| 75,000 |
| ConocoPhillips Canada Funding Co. (Canada), | 75,000 |
|
|
|
| 76,409 | 5.63%, 10/15/16 (c) |
| 76,409 |
|
| 125,000 |
| ConocoPhillips Co., | 125,000 |
|
|
|
| 136,031 | 8.75%, 05/25/10 |
| 136,031 |
105,000 |
|
|
| Enterprise Products Operating LP, | 105,000 |
|
| 104,266 |
|
| 6.30%, 09/15/17 (m) |
| 104,266 |
135,000 |
|
|
| Gaz Capital S.A. for Gazprom (Russia), | 135,000 |
|
| 124,065 |
|
| 7.29%, 08/16/37 (e) (m) |
| 124,065 |
115,574 |
|
|
| Gazprom International S.A. (Russia), | 115,574 |
|
| 115,285 |
|
| 7.20%, 02/01/20 |
| 115,285 |
80,000 |
|
|
| Kinder Morgan Energy Partners LP, | 80,000 |
|
| 75,644 |
|
| 6.50%, 02/01/37 |
| 75,644 |
|
| 150,000 |
| Marathon Oil Corp., | 150,000 |
|
|
|
| 149,144 | 6.00%, 10/01/17 |
| 149,144 |
65,000 |
|
|
| Nexen, Inc. (Canada), | 65,000 |
|
| 61,545 |
|
| 6.40%, 05/15/37 |
| 61,545 |
|
|
|
| Pemex Project Funding Master Trust, |
|
|
150,000 | 150,750 |
|
| VAR, 4.08%, 06/15/10 | 150,000 | 150,750 |
150,000 | 150,600 |
|
| VAR, 4.08%, 06/15/10 (e) | 150,000 | 150,600 |
280,000 |
|
|
| Ras Laffan Liquefied Natural Gas Co. Ltd. III (Qatar), | 280,000 |
|
| 271,902 |
|
| 5.83%, 09/30/16 (e) |
| 271,902 |
45,000 |
|
|
| Suncor Energy, Inc. (Canada), | 45,000 |
|
| 45,914 |
|
| 6.85%, 06/01/39 |
| 45,914 |
40,000 |
|
|
| Valero Energy Corp., | 40,000 |
|
| 36,674 |
|
| 6.63%, 06/15/37 |
| 36,674 |
55,000 |
|
|
| XTO Energy, Inc., | 55,000 |
|
| 52,564 |
|
| 6.38%, 06/15/38 |
| 52,564 |
| 1,241,309 |
| 460,944 |
|
| 1,702,253 |
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products -- 0.2% |
|
|
|
|
|
| Georgia Pacific LLC, |
|
|
15,000 | 14,100 |
|
| 7.00%, 01/15/15 (e) (m) | 15,000 | 14,100 |
50,000 | 47,250 |
|
| 7.70%, 06/15/15 (m) | 50,000 | 47,250 |
|
|
|
| International Paper Co., |
|
|
|
| 165,000 | 159,741 | 4.00%, 04/01/10 | 165,000 | 159,741 |
|
| 55,000 | 54,820 | 4.25%, 01/15/09 | 55,000 | 54,820 |
|
| 100,000 |
| Weyerhaeuser Co., | 100,000 |
|
|
|
| 102,992 | 6.75%, 03/15/12 |
| 102,992 |
| 61,350 |
| 317,553 |
|
| 378,903 |
|
|
|
|
|
|
|
|
|
|
| Personal Products -- 0.1% |
|
|
|
| 93,384 |
| Procter & Gamble - Esop, | 93,384 |
|
|
|
| 117,333 | Series A, 9.36%, 01/01/21 |
| 117,333 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals -- 0.0% (g) |
|
|
|
| 35,000 |
| AstraZeneca plc (United Kingdom), | 35,000 |
|
|
|
| 35,837 | 5.40%, 06/01/14 |
| 35,837 |
|
|
|
|
|
|
|
|
|
|
| Real Estate -- 0.0% (g) |
|
|
25,000 |
|
|
| Host Hotels & Resorts LP, | 25,000 |
|
| 23,250 |
|
| 7.13%, 11/01/13 (m) |
| 23,250 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) -- 0.1% |
|
|
|
| 100,000 |
| HRPT Properties Trust, | 100,000 |
|
|
|
| 91,864 | 6.65%, 01/15/18 |
| 91,864 |
|
|
|
| Simon Property Group LP, |
|
|
|
| 50,000 | 48,348 | 5.63%, 08/15/14 | 50,000 | 48,348 |
|
| 20,000 | 19,570 | 6.10%, 05/01/16 | 20,000 | 19,570 |
| - |
| 159,782 |
|
| 159,782 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development -- 0.0% (g) |
|
|
|
| 30,000 |
| ERP Operating LP, | 30,000 |
|
|
|
| 29,755 | 4.75%, 06/15/09 |
| 29,755 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail -- 0.1% |
|
|
|
|
|
| Burlington Northern Santa Fe Corp., |
|
|
|
| 60,000 | 60,551 | 6.13%, 03/15/09 | 60,000 | 60,551 |
|
| 150,000 | 157,918 | 7.13%, 12/15/10 | 150,000 | 157,918 |
| - |
| 218,469 |
|
| 218,469 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment -- 0.0% (g) |
|
|
20,000 |
|
|
| Sensata Technologies BV (Netherlands), | 20,000 |
|
| 18,400 |
|
| 8.25%, 05/01/14 |
| 18,400 |
|
|
|
|
|
|
|
|
|
|
| Software -- 0.1% |
|
|
|
|
|
| Oracle Corp., |
|
|
|
| 50,000 | 49,957 | 5.75%, 04/15/18 | 50,000 | 49,957 |
30,000 | 30,074 |
|
| 6.50%, 04/15/38 | 30,000 | 30,074 |
|
| 50,000 |
| Oracle Corp. and Ozark Holding, Inc., | 50,000 |
|
|
|
| 49,199 | 5.25%, 01/15/16 |
| 49,199 |
| 30,074 |
| 99,156 |
|
| 129,230 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail -- 0.0% (g) |
|
|
|
| 30,000 |
| Home Depot, Inc., | 30,000 |
|
|
|
| 27,548 | 5.40%, 03/01/16 |
| 27,548 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods -- 0.0% (g) |
|
|
35,000 |
|
|
| Hanesbrands, Inc., | 35,000 |
|
| 32,550 |
|
| VAR, 6.51%, 12/15/14 (m) |
| 32,550 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance -- 0.6% |
|
|
100,000 |
|
|
| Bancaja US Debt S.A.U. (Spain), | 100,000 |
|
| 96,227 |
|
| VAR, 2.86%, 07/10/09 (e) (m) |
| 96,227 |
|
|
|
| Countrywide Financial Corp., |
|
|
60,000 | 56,748 |
|
| 5.80%, 06/07/12 (m) | 60,000 | 56,748 |
20,000 | 19,207 |
|
| VAR, 3.02%, 03/24/09 (m) | 20,000 | 19,207 |
|
| 250,000 |
| Countrywide Home Loans, Inc., | 250,000 |
|
|
|
| 227,596 | 4.00%, 03/22/11 |
| 227,596 |
250,000 |
|
|
| Sovereign Bancorp, Inc., | 250,000 |
|
| 239,491 |
|
| VAR, 2.96%, 03/01/09 (m) |
| 239,491 |
|
| 250,000 |
| Washington Mutual Bank, | 250,000 |
|
|
|
| 195,000 | 5.65%, 08/15/14 |
| 195,000 |
|
|
|
| Washington Mutual, Inc., |
|
|
|
| 90,000 | 78,300 | 4.20%, 01/15/10 | 90,000 | 78,300 |
|
| 50,000 | 36,937 | 7.25%, 11/01/17 | 50,000 | 36,937 |
|
| 300,000 |
| World Savings Bank FSB, | 300,000 |
|
|
|
| 299,676 | 4.50%, 06/15/09 (c) |
| 299,676 |
| 411,673 |
| 837,509 |
|
| 1,249,182 |
|
|
|
|
|
|
|
|
|
|
| Tobacco -- 0.0% (g) |
|
|
35,000 |
|
|
| Philip Morris International, Inc., | 35,000 |
|
| 34,108 |
|
| 6.38%, 05/16/38 |
| 34,108 |
|
|
|
|
|
|
|
|
|
|
| Water Utilities -- 0.0% (g) |
|
|
|
| 100,000 |
| American Water Capital Corp., | 100,000 |
|
|
|
| 95,920 | 6.09%, 10/15/17 |
| 95,920 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services -- 0.3% |
|
|
|
| 150,000 |
| AT&T Wireless Services, Inc., | 150,000 |
|
|
|
| 159,698 | 7.88%, 03/01/11 |
| 159,698 |
25,000 |
|
|
| Intelsat Jackson Holdings Ltd. (Bermuda), | 25,000 |
|
| 25,187 |
|
| 9.25%, 06/15/16 (m) |
| 25,187 |
|
| 380,000 |
| Sprint Nextel Corp., | 380,000 |
|
|
|
| 326,800 | 6.00%, 12/01/16 |
| 326,800 |
|
| 50,000 |
| Vodafone Group plc (United Kingdom), | 50,000 |
|
|
|
| 47,308 | 5.00%, 09/15/15 |
| 47,308 |
| 25,187 |
| 533,806 |
|
| 558,993 |
|
|
|
| Total Corporate Bonds |
|
|
| 11,089,666 |
| 26,983,654 | (Cost $11,861,937, $27,233,726 and $39,095,663, respectively) |
| 38,073,320 |
|
|
|
|
|
|
|
|
|
|
| Foreign Government Securities -- 1.1% |
|
|
CAD 245,000 |
|
|
| Government of Canada (Canada), | CAD 245,000 |
|
| 242,987 |
|
| 3.75%, 06/01/12 |
| 242,987 |
280,000 |
|
|
| Government of Ukraine (Ukraine), | 280,000 |
|
| 248,500 |
|
| 6.58%, 11/21/16 |
| 248,500 |
105,000 |
|
|
| IIRSA Norte Finance Ltd. (Peru), | 105,000 |
|
| 116,550 |
|
| 8.75%, 05/30/24 |
| 116,550 |
|
| 400,000 |
| Province of Quebec (Canada), | 400,000 |
|
|
|
| 406,437 | 5.75%, 02/15/09 |
| 406,437 |
200,000 |
|
|
| Republic of Argentina (Argentina), | 200,000 |
|
| 95,200 |
|
| VAR, 3.00%, 04/30/13 |
| 95,200 |
|
|
|
| Republic of Brazil (Brazil), |
|
|
103,000 | 114,381 |
|
| 8.00%, 01/15/18 | 103,000 | 114,381 |
20,000 | 33,900 |
|
| 12.25%, 03/06/30 | 20,000 | 33,900 |
55,000 | 93,225 |
|
| 12.25%, 03/06/30 | 55,000 | 93,225 |
100,000 |
|
|
| Republic of Guatemala (Guatemala), | 100,000 |
|
| 114,000 |
|
| 9.25%, 08/01/13 |
| 114,000 |
75,000 |
|
|
| Russian Federation (Russia), | 75,000 |
|
| 132,844 |
|
| 12.75%, 06/24/28 |
| 132,844 |
|
|
|
| United Mexican States (Mexico), |
|
|
|
| 150,000 | 150,450 | 4.63%, 10/08/08 | 150,000 | 150,450 |
|
| 100,000 | 107,380 | 6.63%, 03/03/15 | 100,000 | 107,380 |
65,000 | 79,105 |
|
| 8.00%, 09/24/22 | 65,000 | 79,105 |
400,000 | 400,400 |
|
| VAR, 3.41%, 01/13/09 | 400,000 | 400,400 |
|
|
|
| Total Foreign Government Securities |
|
|
| 1,671,092 |
| 664,267 | (Cost $1,701,197, $650,992 and $2,352,189, respectively) |
| 2,335,359 |
|
|
|
|
|
|
|
|
|
|
| Mortgage Pass-Through Securities -- 16.1% |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. Conventional Pools, |
|
|
|
| 371,754 | 372,757 | ARM, 4.14%, 04/01/34 | 371,754 | 372,757 |
|
| 254,517 | 257,642 | ARM, 4.64%, 03/01/35 | 254,517 | 257,642 |
433,108 | 438,952 |
|
| ARM, 5.87%, 01/01/37 (m) | 433,108 | 438,952 |
|
| 55,411 | 62,711 | 10.00%, 01/01/20-09/01/20 | 55,411 | 62,711 |
|
| 5,177 | 5,878 | 12.00%, 07/01/19 | 5,177 | 5,878 |
2,495,000 | 2,390,522 |
|
| TBA, 5.00%, 07/15/38 | 2,495,000 | 2,390,522 |
1,350,000 | 1,363,500 |
|
| TBA, 6.00%, 07/15/38 | 1,350,000 | 1,363,500 |
|
|
|
| Federal Home Loan Mortgage Corp. Gold Pools, |
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
| 1,268,894 | 1,220,679 | 4.00%, 05/01/14-05/01/19 | 1,268,894 | 1,220,679 |
|
| 633,976 | 618,452 | 4.50%, 08/01/18-05/01/19 | 633,976 | 618,452 |
|
| 524,047 | 546,092 | 6.50%, 06/01/14 - 02/01/19 | 524,047 | 546,092 |
|
| 290,807 | 305,058 | 7.00%, 02/01/11 - 01/01/17 | 290,807 | 305,058 |
|
| 3,903 | 3,944 | 7.50%, 09/01/10 | 3,903 | 3,944 |
|
| 40,286 | 44,751 | 8.50%, 12/01/09 - 11/01/15 | 40,286 | 44,751 |
|
| 2,503 | 2,615 | 9.00%, 06/01/10 | 2,503 | 2,615 |
|
|
|
| 20 Year, Single Family, |
|
|
|
| 127,482 | 130,276 | 6.00%, 12/01/22 | 127,482 | 130,276 |
|
| 232,788 | 242,524 | 6.50%, 11/01/22 | 232,788 | 242,524 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 427,416 | 388,010 | 4.00%, 09/01/35 | 427,416 | 388,010 |
|
| 276,910 | 274,358 | 5.50%, 10/01/33 | 276,910 | 274,358 |
50,889 | 51,524 | 281,595 | 285,549 | 6.00%, 04/01/26 - 02/01/35 | 332,484 | 337,073 |
|
| 187,400 | 193,897 | 6.50%, 11/01/25 - 11/01/34 | 187,400 | 193,897 |
|
| 189,805 | 200,436 | 7.00%, 04/01/35 | 189,805 | 200,436 |
|
|
|
| Other, |
|
|
|
| 299,679 | 312,207 | 7.00%, 07/01/29 | 299,679 | 312,207 |
|
|
|
| Federal National Mortgage Association Pools, |
|
|
|
| 342,301 | 346,341 | ARM, 3.80%, 07/01/33 | 342,301 | 346,341 |
|
| 337,976 | 340,798 | ARM, 4.12%, 01/01/34 | 337,976 | 340,798 |
|
| 244,926 | 246,290 | ARM, 4.23%, 10/01/34 | 244,926 | 246,290 |
|
| 308,549 | 309,648 | ARM, 4.27%, 05/01/35 | 308,549 | 309,648 |
|
| 117,713 | 121,467 | ARM, 4.71%, 04/01/34 | 117,713 | 121,467 |
|
| 15,021 | 15,050 | ARM, 4.73%, 03/01/29 | 15,021 | 15,050 |
|
| 634,575 | 643,515 | ARM, 4.77%, 08/01/34 | 634,575 | 643,515 |
|
| 802,829 | 810,865 | ARM, 4.83%, 01/01/35 | 802,829 | 810,865 |
|
| 307,100 | 311,063 | ARM, 4.89%, 04/01/33 | 307,100 | 311,063 |
|
| 6,019 | 6,036 | ARM, 5.74%, 03/01/19 | 6,019 | 6,036 |
|
|
|
| 15 Year, Single Family, |
|
|
|
| 646,065 | 598,316 | 3.50%, 09/01/18-06/01/19 | 646,065 | 598,316 |
|
| 3,402,580 | 3,235,003 | 4.00%, 07/01/18-12/01/18 | 3,402,580 | 3,235,003 |
750,000 | 724,687 | 645,356 | 629,926 | 4.50%, 07/01/18-07/25/23 | 1,395,356 | 1,354,613 |
|
| 68,956 | 68,870 | 5.00%, 06/01/18 | 68,956 | 68,870 |
145,000 | 148,625 | 531,969 | 546,774 | 6.00%, 04/01/13 - 07/25/23 | 676,969 | 695,399 |
|
| 177,186 | 184,455 | 6.50%, 11/01/11 - 08/01/20 | 177,186 | 184,455 |
|
| 55,343 | 57,910 | 8.00%, 11/01/12 - 01/01/16 | 55,343 | 57,910 |
|
|
|
| 20 Year, Single Family, |
|
|
|
| 284,013 | 267,520 | 4.50%, 01/01/25 | 284,013 | 267,520 |
|
| 393,170 | 409,030 | 6.50%, 03/01/19-12/01/22 | 393,170 | 409,030 |
|
|
|
| 30 Year, FHA/VA, |
|
|
|
| 112,943 | 123,603 | 8.50%, 10/01/26-06/01/30 | 112,943 | 123,603 |
|
| 107,926 | 118,743 | 9.00%, 04/01/25 | 107,926 | 118,743 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 383,825 | 331,966 | 3.00%, 09/01/31 | 383,825 | 331,966 |
|
| 882,122 | 821,068 | 4.50%, 08/01/33-03/01/38 | 882,122 | 821,068 |
|
| 445,405 | 428,432 | 5.00%, 11/01/33 - 09/01/35 | 445,405 | 428,432 |
|
| 740,300 | 734,040 | 5.50%, 12/01/33-01/01/34 | 740,300 | 734,040 |
|
| 1,391,868 | 1,415,636 | 6.00%, 01/01/29-09/01/33 | 1,391,868 | 1,415,636 |
|
| 8,828 | 9,335 | 7.00%, 08/01/32 | 8,828 | 9,335 |
|
| 263,755 | 286,700 | 8.00%, 03/01/27-11/01/28 | 263,755 | 286,700 |
250,000 | 246,406 |
|
| TBA, 5.50%, 07/25/37 | 250,000 | 246,406 |
640,000 | 613,400 |
|
| TBA, 5.00%, 07/25/38 | 640,000 | 613,400 |
720,000 | 724,275 |
|
| TBA, 6.00%, 08/25/38 | 720,000 | 724,275 |
5,835,000 | 6,006,403 |
|
| TBA, 6.50%, 07/25/36 | 5,835,000 | 6,006,403 |
|
|
|
| Other, |
|
|
|
| 367,364 | 361,968 | 4.00%, 09/01/13 | 367,364 | 361,968 |
|
| 542,039 | 539,146 | 4.50%, 11/01/14 | 542,039 | 539,146 |
|
| 169,734 | 168,299 | 5.50%, 09/01/33 | 169,734 | 168,299 |
|
| 19,755 | 19,971 | 6.00%, 05/01/09 - 09/01/28 | 19,755 | 19,971 |
|
| 519,006 | 534,971 | 6.50%, 10/01/35 | 519,006 | 534,971 |
|
|
|
| Government National Mortgage Association Pool, |
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
| 53,572 | 56,901 | 8.00%, 01/15/16 | 53,572 | 56,901 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 16,626 | 17,283 | 6.50%, 10/15/28 | 16,626 | 17,283 |
|
| 34,527 | 37,041 | 7.00%, 06/15/33 | 34,527 | 37,041 |
|
| 11,178 | 12,034 | 7.50%, 09/15/28 | 11,178 | 12,034 |
|
| 47,770 | 52,136 | 8.00%, 09/15/22-05/15/28 | 47,770 | 52,136 |
|
| 4,822 | 5,307 | 8.50%, 05/20/25 | 4,822 | 5,307 |
625,000 | 645,508 |
|
| TBA, 6.50%, 07/15/38 | 625,000 | 645,508 |
|
|
|
| Total Mortgage Pass-Through Securities |
|
|
| 13,353,802 |
| 20,691,293 | (Cost $13,274,299, $20,773,968 and $34,048,267, respectively) |
| 34,045,095 |
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds -- 0.1% |
|
|
|
|
|
| Illinois -- 0.1% |
|
|
|
| 160,000 |
| State of Illinois, Taxable Pension, | 160,000 |
|
|
|
| 150,635 | GO, 5.10%, 06/01/33 (Cost $0, $160,000 and $160,000, respectively) |
| 150,635 |
|
|
|
|
|
|
|
|
|
|
| Supranational -- 0.0% (g) |
|
|
|
| 50,000 |
| Corp. Andina de Fomento (Supranational), | 50,000 |
|
|
|
| 49,392 | 5.20%, 05/21/13 (Cost $0, $160,000 and $160,000, respectively) |
| 49,392 |
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations -- 16.0% |
|
|
|
|
|
| U.S. Treasury Bonds, |
|
|
165,000 | 177,323 |
|
| 5.00%, 05/15/37 (m) | 165,000 | 177,323 |
10,000 | 12,250 |
|
| 6.38%, 08/15/27 (m) | 10,000 | 12,250 |
150,000 | 189,879 |
|
| 6.75%, 08/15/26 (k) (m) | 150,000 | 189,879 |
80,000 | 103,075 |
|
| 7.25%, 05/15/16 - 08/15/22 (k) (m) | 80,000 | 103,075 |
|
|
|
| U.S. Treasury Bonds Coupon STRIPS, |
|
|
|
| 4,000,000 | 3,276,576 | 02/15/14 | 4,000,000 | 3,276,576 |
|
| 825,000 | 643,389 | 02/15/15 | 825,000 | 643,389 |
|
| 4,500,000 | 3,339,877 | 02/15/16 | 4,500,000 | 3,339,877 |
|
| 1,750,000 | 1,090,803 | 02/15/19 | 1,750,000 | 1,090,803 |
|
| 100,000 | 52,826 | 02/15/22 | 100,000 | 52,826 |
|
| 500,000 | 251,684 | 02/15/23 | 500,000 | 251,684 |
|
| 5,750,000 | 4,660,409 | 05/15/14 | 5,750,000 | 4,660,409 |
|
| 1,215,000 | 885,443 | 05/15/16 | 1,215,000 | 885,443 |
|
| 4,600,000 | 3,156,497 | 05/15/17 | 4,600,000 | 3,156,497 |
|
| 360,000 | 273,612 | 08/15/15 (c) | 360,000 | 273,612 |
|
| 200,000 | 143,951 | 08/15/16 (c) | 200,000 | 143,951 |
|
| 200,000 | 173,258 | 11/15/12 | 200,000 | 173,258 |
|
| 3,085,000 | 2,310,501 | 11/15/15 (c) | 3,085,000 | 2,310,501 |
|
| 2,900,000 | 2,049,384 | 11/15/16 (c) | 2,900,000 | 2,049,384 |
|
| 2,900,000 | 1,939,262 | 11/15/17 (c) | 2,900,000 | 1,939,262 |
|
| 40,000 |
| U.S. Treasury Bonds Principal STRIPS, | 40,000 |
|
|
|
| 34,786 | 11/15/12 |
| 34,786 |
|
|
|
| U.S. Treasury Inflation Indexed Bonds, |
|
|
248,762 | 274,766 |
|
| 2.63%, 07/15/17 | 248,762 | 274,766 |
|
| 398,460 | 497,235 | 3.63%, 04/15/28 | 398,460 | 497,235 |
6,240,000 |
|
|
| U.S. Treasury Inflation Indexed Note, | 6,240,000 |
|
| 6,243,900 |
|
| 2.63%, 05/31/10 |
| 6,243,900 |
|
|
|
| U.S. Treasury Notes, |
|
|
100,000 | 96,258 |
|
| 3.50%, 02/15/18 (m) | 100,000 | 96,258 |
980,000 | 987,274 |
|
| 3.50%, 05/31/13 (m) | 980,000 | 987,274 |
890,000 | 882,560 |
|
| 3.88%, 05/15/18 (m) | 890,000 | 882,560 |
215,000 | 227,766 |
|
| 4.75%, 08/15/17 (m) | 215,000 | 227,766 |
|
|
|
| Total U.S. Treasury Obligations |
|
|
| 9,195,051 |
| 24,779,493 | (Cost $9,127,625, $23,316,801 and $32,444,426, respectively) |
| 33,974,544 |
|
|
|
| Total Long-Term Investments |
|
|
| 47,579,630 |
| 174,796,590 | (Cost $50,301,656, $176,056,573 and $226,358,229, respectively) |
| 222,376,220 |
|
|
|
|
|
|
|
Shares |
| Shares |
|
| Shares |
|
|
|
|
| Short-Term Investments -- 3.9% |
|
|
|
|
|
| Commercial Paper -- 2.4% (n) |
|
|
500,000 |
|
|
| Cancara Asset Securitisation LLC | 500,000 |
|
| 499,656 |
|
| 2.57%, 07/10/08 (m) |
| 499,656 |
500,000 |
|
|
| Charta Corp. | 500,000 |
|
| 498,977 |
|
| 2.61%, 07/29/08 (e) (m) |
| 498,977 |
500,000 |
|
|
| Ciesco LLC | 500,000 |
|
| 499,526 |
|
| 2.51%, 07/14/08 (e) (m) |
| 499,526 |
500,000 |
|
|
| Corporate Receivables Corp. | 500,000 |
|
| 496,397 |
|
| 0.00%, 10/02/08 (e) |
| 496,397 |
500,000 |
|
|
| Enterprise Funding Co. LLC | 500,000 |
|
| 499,524 |
|
| 2.53%, 07/14/08 (e) (m) |
| 499,524 |
500,000 |
|
|
| Liberty Funding Co. | 500,000 |
|
| 496,770 |
|
| 0.00%, 09/15/08 (m) |
| 496,770 |
500,000 |
|
|
| Scaldis Capital LLC | 500,000 |
|
| 499,967 |
|
| 2.61%, 07/01/08 (e) (m) |
| 499,967 |
500,000 |
|
|
| Ticonderoga Funding LLC | 500,000 |
|
| 499,769 |
|
| 2.45%, 07/07/08 (m) |
| 499,769 |
500,000 |
|
|
| Variable Funding Capital | 500,000 |
|
| 499,658 |
|
| 2.46%, 07/11/08 (m) |
| 499,658 |
500,000 |
|
|
| Yorktown Capital LLC | 500,000 |
|
| 499,533 |
|
| 2.47%, 07/14/08 (m) |
| 499,533 |
|
|
|
| Total Commercial Paper |
|
|
| 4,989,777 |
| - | (Cost $4,990,164, $0 and $4,990,164, respectively) |
| 4,989,777 |
|
|
|
|
|
|
|
|
|
|
| Investment Companies -- 1.5% |
|
|
|
| 1,650,247 | 1,650,246 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) | 1,650,247 | 1,650,246 |
1,644,396 | 1,644,396 |
|
| JPMorgan Prime Money Market Fund, Institutional Class (b) (m) | 1,644,396 | 1,644,396 |
|
|
|
| Total Investment Companies |
|
|
| 1,644,396 |
| 1,650,246 | (Cost $1,644,396, $1,650,246 and $3,294,642, respectively) |
| 3,294,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Investments |
|
|
| 6,634,173 |
| 1,650,246 | (Cost $6,634,560, $1,650,246 and $8,284,806, respectively) |
| 8,284,419 |
|
|
|
|
|
|
|
Principal ($) |
| Principal ($) |
|
| Principal ($) |
|
|
|
|
| Investments of Cash Collateral for Securities on Loan -- 2.4% |
|
|
|
|
|
| Corporate Notes -- 1.7% |
|
|
|
| 750,000 |
| Banque Federative du Credit Mutuel (France), | 750,000 |
|
|
|
| 750,000 | VAR, 2.49%, 08/13/08 |
| 750,000 |
|
| 1,000,000 |
| CDC Financial Products, Inc., | 1,000,000 |
|
|
|
| 1,000,000 | VAR, 2.65%, 07/07/08 |
| 1,000,000 |
|
| 750,000 |
| Macquarie Bank Ltd. (Australia), | 750,000 |
|
|
|
| 750,000 | VAR, 2.51%, 08/20/08 |
| 750,000 |
|
| 1,000,000 |
| Unicredito Italiano Bank Ireland plc (Ireland), | 1,000,000 |
|
|
|
| 1,000,000 | VAR, 2.48%, 08/08/08 |
| 1,000,000 |
| - |
| 3,500,000 |
|
| 3,500,000 |
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreements -- 0.7% |
|
|
|
| 237,684 |
| Barclays Capital, Inc., 2.70%, dated 06/30/08, due 07/01/08, repurchase price $921,561, | 237,684 |
|
|
|
| 237,684 | collateralized by U.S. Government Agency Mortgages |
| 237,684 |
|
| 500,000 |
| Citigroup Global Markets Inc, 2.51%, dated 06/30/08, due 07/01/08, repurchase price $2,500,174, | 500,000 |
|
|
|
| 500,000 | collateralized by U.S. Government Agency Mortgages |
| 500,000 |
|
| 750,000 |
| Deutsche Bank Securities Inc., 2.80%, dated 06/30/08, due 07/01/08, repurchase price $2,750,214, | 750,000 |
|
|
|
| 750,000 | collateralized by U.S. Government Agency Mortgages |
| 750,000 |
| - |
| 1,487,684 |
|
| 1,487,684 |
|
|
|
| Total Investments of Cash Collateral for Securities on Loan |
|
|
| - |
| 4,987,684 | (Cost $0, $4,987,684 and $4,987,684, respectively) |
| 4,987,684 |
|
|
|
|
|
|
|
|
|
|
| Total Investments -- 111.2% |
| |
| 54,213,803 |
| 181,434,520 | (Cost $56,936,216, $182,694,503 and $239,630,719, respectively) | 235,648,323 | |
| (19,471,237) |
| (4,276,125) | Liabilities in Excess of Other Assets -- (11.2)% | (23,747,362) | |
| $ 34,742,566 |
| $177,158,395 | NET ASSETS -- 100.0% | $211,900,961 | |
|
|
|
|
|
|
|
|
|
|
| Percentages indicated are based on net assets. |
|
|
Futures Contracts |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
|
| JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
Number of Contracts | Number of Contracts | Number of Contracts | Description | Expiration Date | Notional Value at 06/30/08 | Notional Value at 06/30/08 | Notional Value at 06/30/08 | Unrealized Appreciation (Depreciation) | Unrealized Appreciation (Depreciation) | Unrealized Appreciation (Depreciation) |
|
|
| Long Futures Outstanding |
|
|
|
|
|
|
|
4 |
| 4 | 10 Year U.S. Treasury Note | September, 2008 | $ 455,688 |
| $ 455,688 | $ 8,723 |
| $ 8,723 |
5 |
| 5 | Euro-Bobl | September, 2008 | 832,727 |
| 832,727 | (13,187) |
| (13,187) |
3 |
| 3 | U.K. Treasury Gilt | September, 2008 | 623,788 |
| 623,788 | (7,040) |
| (7,040) |
3 |
| 3 | U.S. Treasury Bond | September, 2008 | 346,781 |
| 346,781 | 2,093 |
| 2,093 |
17 |
| 17 | 90 Day Sterling | June, 2009 | 3,972,160 |
| 3,972,160 | (17,382) |
| (17,382) |
|
|
| Short Futures Outstanding |
|
|
|
|
|
|
|
(2) |
| (2) | 2 Year U.S. Treasury Note | September, 2008 | (422,406) |
| (422,406) | (37) |
| (37) |
(6) |
| (6) | 5 Year U.S. Treasury Note | September, 2008 | (663,328) |
| (663,328) | (11,361) |
| (11,361) |
(1) |
| (1) | 10 Year Canadian Bond | September, 2008 | (115,201) |
| (115,201) | 517 |
| 517 |
(1) |
| (1) | Euro-Bund | September, 2008 | (174,087) |
| (174,087) | 2,587 |
| 2,587 |
(1) |
| (1) | Eurodollar | September, 2008 | (242,675) |
| (242,675) | (4,203) |
| (4,203) |
(1) |
| (1) | Eurodollar | December, 2008 | (242,050) |
| (242,050) | (3,703) |
| (3,703) |
(1) |
| (1) | Eurodollar | March, 2009 | (241,700) |
| (241,700) | (3,467) |
| (3,467) |
(1) |
| (1) | Eurodollar | June, 2009 | (241,175) |
| (241,175) | (3,078) |
| (3,078) |
(1) |
| (1) | Eurodollar | September, 2009 | (240,538) |
| (240,538) | (491) |
| (491) |
(1) |
| (1) | Eurodollar | December, 2009 | (239,838) |
| (239,838) | (116) |
| (116) |
|
|
|
|
|
|
|
| $ (50,145) |
| $ (50,145) |
Forward Foreign Currency Exchange Contracts |
|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
|
|
|
|
| Combined Pro Forma | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
Contracts to Sell | Contracts to Sell | Contracts to Sell |
| Settlement Date | Settlement Value | Value at 06/30/08 | Value at 06/30/08 | Value at 06/30/08 | Unrealized Appreciation (Depreciation) | Unrealized Appreciation (Depreciation) | Unrealized Appreciation (Depreciation) |
255,000 CAD |
| 255,000 CAD |
| 08/29/08 | $ 251,685 | $ (250,695) |
| $ (250,695) | $ 990 |
| $ 990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Positions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
|
|
| JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
|
|
|
Principal Amount | Principal Amount | Principal Amount |
| Security Description |
| Value | Value | Value |
|
|
|
(325,000) |
| (325,000) |
| FHLMC Gold, 30 Year, Single Family, TBA, 5.50%, 07/15/38 | $ (320,125) |
| $ (320,125) |
|
|
| |
(1,130,000) |
| (1,130,000) |
| FNMA, 30 Year, Single Family, TBA, 6.00%, 07/25/38 |
| (1,139,888) |
| (1,139,888) |
|
|
|
(640,000) |
| (640,000) |
| FNMA, 30 Year, Single Family, TBA, 5.00%, 08/25/38 |
| (612,000) |
| (612,000) |
|
|
|
(1,150,000) |
| (1,150,000) |
| FNMA, 30 Year, Single Family, TBA, 5.50%, 08/25/38 |
| (1,130,594) |
| (1,130,594) |
|
|
|
(5,860,000) |
| (5,860,000) |
| FNMA, 30 Year, Single Family, TBA, 6.50%, 08/25/38 |
| (6,015,653) |
| (6,015,653) |
|
|
|
|
|
|
| (Proceeds received of $9,221,899, $0 and $9,221,899, respectively.) | $(9,218,260) |
| $(9,218,260) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
| Buy/Sell | Fund Pays/Reeceives | Termination | Notional | Notional | Notional |
|
|
|
Referenced Obligation | Swap Counterparty | Protection | Fixed Rate (r) | Date | Amount | Amount | Amount | Value | Value | Value |
CDX.EM.9 | Barclays Bank plc [1] | Buy | 2.65% semi-annually | 06/20/13 | $ 80,000 |
| $ 80,000 | $ (359) |
| $ (359) |
CDX.EM.9 | Citibank, N.A. [2] | Buy | 2.65% semi-annually | 06/20/13 | 260,000 |
| 260,000 | (1,167) |
| (1,167) |
CDX.EM.9 | Deutsche Bank AG, New York [3] | Buy | 2.65% semi-annually | 06/20/13 | 210,000 |
| 210,000 | (943) |
| (943) |
CDX.EM.9 | HSBC Bank, N.A. [4] | Buy | 2.65% semi-annually | 06/20/13 | 140,000 |
| 140,000 | (629) |
| (629) |
CDX.EM.9 | Merrill Lynch International [5] | Buy | 2.65% semi-annually | 06/20/13 | 230,000 |
| 230,000 | (1,033) |
| (1,033) |
CDX.NA.IG.9 | Goldman Sachs Capital Management [6] | Buy | 0.60% quarterly | 12/20/12 | 1,000,000 |
| 1,000,000 | 33,321 |
| 33,321 |
CDX.NA.IG.9 | Goldman Sachs Capital Management [7] | Buy | 0.60% quarterly | 12/20/12 | 1,500,000 |
| 1,500,000 | 49,982 |
| 49,982 |
CDX.NA.IG.10 | Goldman Sachs Capital Management [8] | Buy | 1.55% quarterly | 06/20/13 | 1,300,000 |
| 1,300,000 | (9,019) |
| (9,019) |
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [9] | Sell | 3.50% quarterly | 06/20/13 | 300,000 |
| 300,000 | 2,361 |
| 2,361 |
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 0.60% semi-annually | 03/20/12 | 210,000 |
| 210,000 | (9,331) |
| (9,331) |
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.55% semi-annually | 03/20/12 | 390,000 |
| 390,000 | (18,071) |
| (18,071) |
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.61% semi-annually | 03/20/12 | 150,000 |
| 150,000 | (6,610) |
| (6,610) |
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 0.76% semi-annually | 02/20/09 | 750,000 |
| 750,000 | (2,410) |
| (2,410) |
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 0.72% semi-annually | 03/20/09 | 75,000 |
| 75,000 | (432) |
| (432) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.31% semi-annually | 02/20/09 | 750,000 |
| 750,000 | (68) |
| (68) |
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 0.30% semi-annually | 03/20/09 | 75,000 |
| 75,000 | 34 |
| 34 |
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 1.01% semi-annually | 07/20/10 | 590,000 |
| 590,000 | 4,982 |
| 4,982 |
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 0.53% semi-annually | 12/20/11 | 240,000 |
| 240,000 | (3,237) |
| (3,237) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 740,000 |
| 740,000 | (11,546) |
| (11,546) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 20,000 |
| 20,000 | (315) |
| (315) |
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 0.96% semi-annually | 07/20/10 | 590,000 |
| 590,000 | (5,693) |
| (5,693) |
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Merrill Lynch Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 170,000 |
| 170,000 | (10,980) |
| (10,980) |
|
|
|
|
|
|
|
| $ 8,837 |
| $ 8,837 |
[1] Premiums received of $203. |
|
|
|
|
|
|
|
|
|
|
[2] Premiums received of $461. |
|
|
|
|
|
|
|
|
|
|
[3] Premiums received of $824. |
|
|
|
|
|
|
|
|
|
|
[4] Premiums received of $342. |
|
|
|
|
|
|
|
|
|
|
[5] Premiums received of $446. |
|
|
|
|
|
|
|
|
|
|
[6] Premiums paid of $54,695. |
|
|
|
|
|
|
|
|
|
|
[7] Premiums paid of $65,823. |
|
|
|
|
|
|
|
|
|
|
[8] Premiums received of $29,867. |
|
|
|
|
|
|
|
|
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[9] Premiums paid of $12,802. |
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| JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma | JPMorgan Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | Combined Pro Forma |
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Price Lock Swaps |
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| Termination | Notional | Notional | Notional |
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Swap Counterparty | Referenced Obligation | Price Lock | Date | Amount | Amount | Amount | Value | Value | Value |
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Citibank, N.A. (b) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | $ 100.98 | 07/07/08 | $ 1,965,000 |
| $ 1,965,000 | $ (396) |
| $ (396) |
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Deutsche Bank AG, New York (a) | FNMA, 30 Year, Single Family, TBA, 5.00% | 96.09 | 07/07/08 | 5,600,000 |
| 5,600,000 | 18,369 |
| 18,369 |
|
Deutsche Bank AG, New York (a) | FNMA, 30 Year, Single Family, TBA, 6.00% | 101.22 | 07/07/08 | 3,965,000 |
| 3,965,000 | 15,174 |
| 15,174 |
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Deutsche Bank AG, New York (b) | FNMA, 30 Year, Single Family, TBA, 6.50% | 103.13 | 07/07/08 | 10,550,000 |
| 10,550,000 | (28,839) |
| (28,839) |
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Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, Single Family, TBA, 5.00% | 96.59 | 07/07/08 | 2,600,000 |
| 2,600,000 | (21,118) |
| (21,118) |
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Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | 101.41 | 07/07/08 | 5,045,000 |
| 5,045,000 | (21,671) |
| (21,671) |
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Deutsche Bank AG, New York (b) | FHLMC, 4.50%, 01/15/14 | 99.90 | 07/21/08 | 1,095,000 |
| 1,095,000 | 10,495 |
| 10,495 |
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Lehman Brothers Special Financing (a) | FNMA, 30 Year, Single Family, TBA, 6.00% | 101.19 | 07/07/08 | 3,500,000 |
| 3,500,000 | 12,301 |
| 12,301 |
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Lehman Brothers Special Financing (b) | FNMA, 15 Year, Single Family, TBA, 5.50% | 100.69 | 07/10/08 | 3,200,000 |
| 3,200,000 | (3,498) |
| (3,498) |
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Union Bank of Switzerland AG (b) | FNMA, 30 Year, Single Family, TBA, 5.00% | 96.59 | 07/07/08 | 1,790,000 |
| 1,790,000 | (14,570) |
| (14,570) |
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| $ (33,753) |
| $ (33,753) |
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(a) Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
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(b) Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
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See notes to pro-forma financial statements.
ABBREVIATIONS AND DEFINITIONS: |
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(b) | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. or 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. | |||||||
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. 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 Fund owns fair valued securities with a value of approximately $53,346 which amounts to 1.1% of total investments. | |||||||
(g) | Amount rounds to less than 0.1%. |
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(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. | |||||||
(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 currency contracts. | |||||||
(n) | The rate shown is the effective yield at the date of purchase. |
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(r) | Rates shown are per annum and payments are as described. |
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(s) | These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions. | |||||||
(v) | As a result of the issuer missing its most recent coupon payment, the Portfolio no longer accrues interest from this security. The issuer has until the security's maturity date to make any missed payments. | |||||||
(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 June 30, 2008. | |||||||
(y) | Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
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ARM | Adjustable Rate Mortgage |
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CAD | Canadian Dollar |
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CMO | Collateralized Mortgage Obligation |
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FHA | Federal Housing Administration |
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FHLMC | Federal Home Loan Mortgage Corp. |
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FNMA | Federal National Mortgage Association |
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GO | General Obligation |
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HB | High Coupon Bonds (aka "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's, 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. | |||||||
IF | Inverse Floaters represent securities that pay interest at a right that increases (decreases) with a decline (incline) in a | |||||||
| specified index. The interest rate shown is the rate in effect as of June 30, 2008. The rate may be subject to a cap and floor. | |||||||
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount show represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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. | |||||||
PIK | Payment In-Kind |
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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 |
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STRIPS | Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual | |||||||
| interest and principal components of eligible notes and bonds as separate securities. |
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SUB | Step-Up Bond. The interest rate shown is the rate in effect as of June 30, 2008. |
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TBA | To Be Announced |
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VA | Veterans Administration |
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VAR | Variable Rate Note. The interest rate shown is the rate in effect as of June 30, 2008. |
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JPMorgan Bond Portfolio/JPMorgan Insurance Trust Core Bond Portfolio |
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Pro Forma Combined Statements of Assets and Liabilities |
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As of June 30, 2008 (Unaudited) |
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| Acquired Portfolio |
| Acquiring Portfolio |
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| JPMorgan Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
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Assets |
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Investments in non-affiliates, at value | $ 52,569,407 |
| $ 179,784,274 |
| $ - |
| $ 232,353,681 |
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Investments in affiliates, at value | 1,644,396 |
| 1,650,246 |
| - |
| 3,294,642 |
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Total investment securities, at value | 54,213,803 |
| 181,434,520 |
| - |
| 235,648,323 |
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Cash | - |
| 125 |
| (125) | (a) | - |
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Deposits with broker for futures | 2,416 |
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| - |
| 2,416 |
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Receivables: |
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Investment securities sold | 27,747,783 |
| 16,174 |
| - |
| 27,763,957 |
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Portfolio shares sold | 462 |
| 132,131 |
| - |
| 132,593 |
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Interest and dividends | 284,223 |
| 998,883 |
| - |
| 1,283,106 |
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Tax reclaims | 157 |
| - |
| - |
| 157 |
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Variation margin on futures contracts | 27,283 |
| - |
| - |
| 27,283 |
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Unrealized appreciation on forward foreign currency exchange contracts | 990 |
| - |
| - |
| 990 |
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Outstanding swap contracts, at value | 147,019 |
| - |
| - |
| 147,019 |
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Expense reimbursements from Administrator | 24,486 |
| - |
| - |
| 24,486 |
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Total assets | 82,448,622 |
| 182,581,833 |
| (125) |
| 265,030,330 |
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Liabilities |
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Payables: |
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Due to custodian | 20,635 |
| - |
| (125) | (a) | 20,510 |
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Investment securities purchased | 38,119,251 |
| - |
| - |
| 38,119,251 |
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Collateral for securities lending program | - |
| 4,987,684 |
| - |
| 4,987,684 |
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Securities sold short, at value | 9,218,260 |
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| - |
| 9,218,260 |
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Portfolio shares redeemed | 25,992 |
| 266,449 |
| - |
| 292,441 |
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Outstanding swap contracts, at value | 171,935 |
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| - |
| 171,935 |
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Accrued liabilities: |
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Investment advisory fees | 8,563 |
| 52,174 |
| (34,000) | (b) | 26,737 |
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Administration fees | - |
| 16,793 |
| - |
| 16,793 |
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Distribution fees | - |
| 3 |
| - |
| 3 |
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Custodian and accounting fees | 13,349 |
| 9,657 |
| - |
| 23,006 |
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Trustees and Chief Compliance Officer's fees | - |
| 391 |
| - |
| 391 |
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Other | 128,071 |
| 90,287 |
| 34,000 | (b) | 252,358 |
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Total Liabilities | 47,706,056 |
| 5,423,438 |
| (125) |
| 53,129,369 |
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Net Assets | $ 34,742,566 |
| $ 177,158,395 |
| $ - |
| $ 211,900,961 |
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Net Assets: |
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Paid in capital | $ 38,950,770 |
| $ 176,347,798 |
| $ - |
| $215,298,568 |
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Accumulated undistributed (overdistributed) |
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net investment income | 855,560 |
| 4,441,595 |
| - |
| 5,297,155 |
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Accumulated net realized gain (loss) on |
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investments and futures | (2,169,740) |
| (2,371,015) |
| - |
| (4,540,755) |
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Net unrealized appreciation (depreciation) of |
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investments and futures | (2,894,024) |
| (1,259,983) |
| - |
| (4,154,007) |
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Total Net Assets | $ 34,742,566 |
| $ 177,158,395 |
| $ - |
| $ 211,900,961 |
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Class 1 Shares | $ 34,742,566 |
| $ 177,141,826 |
| $ - |
| 211,884,392 | (c) |
Class 2 Shares | - |
| 16,569 |
| - |
| 16,569 | (c) |
Total Net Assets | $ 34,742,566 |
| $ 177,158,395 |
| $ - |
| $ 211,900,961 |
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Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) |
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Shares outstanding |
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Class 1 | 3,555,627 | * | 16,210,150 |
| (376,984) | (d) | 19,388,793 |
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Class 2 |
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| 1,518 |
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| 1,518 |
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Net asset value per share |
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Class 1 | $ 9.77 | * | $ 10.93 |
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| $ 10.93 |
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Class 2 |
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| $ 10.92 |
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| $ 10.92 |
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Cost of investments in non-affiliates | $ 55,291,820 |
| $ 181,044,257 |
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| $ 383,371,728 |
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Cost of investments in affiliates | 1,644,396 |
| 1,650,246 |
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| 5,645,410 |
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Proceeds from securities sold short | 9,221,899 |
| - |
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| 9,221,899 |
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Premiums paid on swaps | 133,320 |
| - |
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| 133,320 |
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Premiums received on swaps | 32,143 |
| - |
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| 32,143 |
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(a) Reflects the netting of amounts receivable and payable to and from the custodian. |
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(b) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. |
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(c) Reflects total combined net assets due to the merger. |
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(d) Reflects the adjustment to the number of shares outstanding due to the merger. |
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* The shares of JPMorgan Bond Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio. |
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JPMorgan Bond Portfolio/JPMorgan Insurance Trust Core Bond Portfolio |
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Pro Forma Combined Statements of Operations |
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For the twelve months ended June 30, 2008 (unaudited) |
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| JPMorgan Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
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INVESTMENT INCOME: |
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Interest and dividend income | $ 2,248,936 |
| $ 10,067,482 |
| - |
| $ 12,316,418 |
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Total investment income | 2,248,936 |
| 10,067,482 |
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|
| 12,316,418 |
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Expenses |
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Investment advisory fees | 120,282 |
| 756,254 |
| 34,517 |
| 911,053 | (a) |
Administration fees | - |
| 188,551 |
| 39,212 |
| 227,763 | (a) |
Custodian and accounting fees | 59,887 |
| 86,025 |
| (18,848) |
| 127,064 | (b) |
Interest expense | 7,507 |
| - |
| - |
| 7,507 |
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Distribution fees - Class 2 | - |
| 40 |
| 1 |
| 41 | (a) |
Professional fees | 132,351 |
| 60,072 |
| (124,090) |
| 68,333 | (b) |
Printing and mailing costs | 27,024 |
| 89,106 |
| (19,040) |
| 97,090 | (b) |
Trustees' and Chief Compliance Officer's fees | 6,026 |
| 2,276 |
| (6,026) |
| 2,276 | (b) |
Transfer agent fees | 10,436 |
| 17,257 |
| - |
| 27,693 |
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Other | 78,139 |
| 28,923 |
| - |
| 107,062 |
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Total expenses | 441,652 |
| 1,228,504 |
| (94,274) |
| 1,575,882 |
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Less amounts waived | - |
| (93,841) |
| (175,914) |
| (269,755) | (a) |
Less expense reimbursements | (166,998) |
| - |
| 166,998 |
| - | (a) |
Less earnings credits | (1,351) |
| (240) |
| - |
| (1,591) |
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Net expenses | 273,303 |
| 1,134,423 |
| (103,190) |
| 1,304,536 |
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Net investment income (loss) | 1,975,633 |
| 8,933,059 |
| 103,190 |
| 11,011,882 |
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REALIZED/UNREALIZED GAINS (LOSSES): |
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Net realized gain (loss) on transactions from: |
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Investments | 384,070 |
| 62,240 |
| - |
| 446,310 |
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Securities sold short | (784,695) |
| - |
| - |
| (784,695) |
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Written options | 39,590 |
| - |
| - |
| 39,590 |
|
Futures | (626,534) |
| - |
| - |
| (626,534) |
|
Swaps | 30,233 |
| - |
| - |
| 30,233 |
|
Foreign currency transactions | (4,552) |
| - |
| - |
| (4,552) |
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Net realized gain (loss) | (961,888) |
| 62,240 |
| - |
| (899,648) |
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Change in net unrealized appreciation (depreciation) of: |
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Investments | (2,374,461) |
| 3,452,531 |
| - |
| 1,078,070 |
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Securities sold short | (5,210) |
| - |
| - |
| (5,210) |
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Written options | (15,014) |
| - |
| - |
| (15,014) |
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Futures | 6,957 |
| - |
| - |
| 6,957 |
|
Swaps | (44,772) |
| - |
| - |
| (44,772) |
|
Foreign currency translations | 1,179 |
| - |
| - |
| 1,179 |
|
Change in net unrealized appreciation (depreciation) | (2,431,321) |
| 3,452,531 |
| - |
| 1,021,210 |
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|
|
|
|
|
|
|
|
Net realized/unrealized gains (losses) | (3,393,209) |
| 3,514,771 |
| - |
| 121,562 |
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|
Change in net assets resulting from operations | $ (1,417,576) |
| $ 12,447,830 |
| $ 103,190 |
| $ 11,133,444 |
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(a) Based on the contract in effect for the surviving portfolio. |
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(b) Decrease due to elimination of duplicate expenses achieved by merging the portfolios. |
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|
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1. | Basis of Combination |
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan Bond Portfolio, a series of J.P. Morgan Series Trust II (“Bond Portfolio), and JPMorgan Insurance Trust Core Bond Portfolio, a series of JPMorgan Insurance Trust (“Core Bond Portfolio”), each a “Portfolio”. Following the combination, the Core Bond Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of Bond Portfolio for shares of Core Bond Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination would be accomplished by an acquisition of the net assets of Bond Portfolio in exchange for Class 1 shares of Core Bond Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Core Bond Portfolio will not be restated. The fiscal year end is December 31 for Bond Portfolio and Core Bond Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies which are consistently followed by Bond Portfolio and Core Bond Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation - Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Portfolio may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Portfolio to value securities may differ from the value that would be realized if these securities were sold and the differences could be significant. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
procedures established by and under the supervision and responsibility of the Board of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
Bond Portfolio
Valuation Inputs |
Investment In Securities | Liabilities in Securities Sold Short |
Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $1,644,396 | $- | $15,721 | $(64,065) |
Level 2 | 52,569,407 | (9,218,260) | 82,203 | (208,296) |
Level 3 | - | - | - | - |
Total | $54,213,803 | $(9,218,260) | $97,924 | $(272,361) |
Core Bond Portfolio
Valuation Inputs |
Investment In Securities |
Other Financial Instruments* |
Level 1 | $3,137,930 | $- |
Level 2 | 178,296,590 | - |
Level 3 | - | - |
Total | $181,434,520 | $- |
Combined Portfolio
Valuation Inputs |
Investment In Securities | Liabilities in Securities Sold Short |
Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $4,782,326 | $- | $15,721 | $(64,065) |
Level 2 | 230,865,997 | (9,218,260) | 82,203 | (208,296) |
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
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Level 3 | - | - | - | - |
Total | $235,648,323 | $(9,218,260) | $97,924 | $(272,361) |
SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining fair value:
Bond Portfolio
| Investments In Securities | Other Financial Instruments* |
Balance as of 12/31/07 | $261,100 | $- |
Realized gain (loss) | - | - |
Change in unrealized appreciation (depreciation) | (261,100) | - |
Net purchases (sales) | - | - |
Net transfers in (out) of Level 3 | - | - |
Balance as of 6/30/08 | $- | $- |
Combined Portfolio
| Investments In Securities | Other Financial Instruments* |
Balance as of 12/31/07 | $261,100 | $- |
Realized gain (loss) | - | - |
Change in unrealized appreciation (depreciation) | (261,100) | - |
Net purchases (sales) | - | - |
Net transfers in (out) of Level 3 | - |
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Balance as of 6/30/08 | $- | $- |
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 3,178,643 Class 1 shares of Core Bond Portfolio in exchange for 3,555,627 shares of Bond Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Core Bond Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio |
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Combined Schedule of Portfolio Investments |
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As of June 30, 2008 (Unaudited) |
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JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Government Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio | JPMorgan Insurance Trust Core Bond Portfolio |
| Combined Pro Forma | Combined Pro Forma |
Principal ($) | Value ($) | Principal ($) | Value ($) | Security Description | Principal ($) | Value ($) |
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| Long-Term Investments -- 98.4% |
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| Asset-Backed Securities -- 0.7% |
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| 150,000 |
| American Express Credit Account Master Trust, | 150,000 |
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| 151,219 | Series 2004-3, Class A, 4.35%, 12/15/11 |
| 151,219 |
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| AmeriCredit Automobile Receivables Trust, |
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| 217,917 | 216,938 | Series 2006-BG, Class A3, 5.21%, 10/06/11 (i) | 217,917 | 216,938 |
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| 400,000 | 362,318 | Series 2006-BG, Class A4, 5.21%, 09/06/13 (i) | 400,000 | 362,318 |
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| 60,463 |
| Bear Stearns Asset Backed Securities Trust, Inc., | 60,463 |
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| 47,014 | Series 2006-SD1, Class A, VAR, 2.85%, 04/25/36 (i) (y) |
| 47,014 |
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| Citibank Credit Card Issuance Trust, |
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| 450,000 | 444,306 | Series 2002-C2, Class C2, 6.95%, 02/18/14 | 450,000 | 444,306 |
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| 250,000 | 250,642 | Series 2005-B1, Class B1, 4.40%, 09/15/10 | 250,000 | 250,642 |
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| 175,000 |
| Household Automotive Trust, | 175,000 |
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| 173,867 | Series 2005-1 Class A4, 4.35%, 06/18/12 |
| 173,867 |
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| MBNA Credit Card Master Note Trust, |
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| 200,000 | 197,200 | Series 2002-C1, Class C1, 6.80%, 07/15/14 | 200,000 | 197,200 |
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| 75,000 | 73,924 | Series 2003-C1, Class C1, VAR, 4.17%, 06/15/12 | 75,000 | 73,924 |
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| 240,000 |
| MBNA Master Credit Card Trust, | 240,000 |
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| 246,183 | Series 1999-J, Class C, 7.85%, 02/15/12 (e) |
| 246,183 |
| - |
| 2,163,611 | (Cost $0, $2,221,417 and $2,221,417, respectively) |
| 2,163,611 |
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| Collateralized Mortgage Obligations -- 51.7% |
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| Agency CMO -- 39.7% |
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| Federal Home Loan Mortgage Corp. REMICS, |
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| 16,645 | 17,604 | Series 11, Class D, 9.50%, 07/15/19 | 16,645 | 17,604 |
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| 10,473 | 11,117 | Series 22, Class C, 9.50%, 04/15/20 | 10,473 | 11,117 |
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| 2,421 | 2,662 | Series 47, Class F, 10.00%, 06/15/20 | 2,421 | 2,662 |
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| 1,926 | 2,055 | Series 99, Class Z, 9.50%, 01/15/21 | 1,926 | 2,055 |
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| 2,203 | 2,341 | Series 1065, Class J, 9.00%, 04/15/21 | 2,203 | 2,341 |
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| 321,078 | 349,557 | Series 1113, Class J, 8.50%, 06/15/21 | 321,078 | 349,557 |
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| 17,927 | 18,643 | Series 1250, Class J, 7.00%, 05/15/22 | 17,927 | 18,643 |
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| 29,910 | 31,464 | Series 1316, Class Z, 8.00%, 06/15/22 | 29,910 | 31,464 |
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| 51,690 | 54,335 | Series 1324, Class Z, 7.00%, 07/15/22 | 51,690 | 54,335 |
170,846 | 185,379 | 36,646 | 39,764 | Series 1343, Class LA, 8.00%, 08/15/22 | 207,492 | 225,143 |
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| 42,711 | 42,664 | Series 1343, Class LB, 7.50%, 08/15/22 | 42,711 | 42,664 |
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| 32,146 | 33,536 | Series 1394, Class ID, IF, 9.57%, 10/15/22 | 32,146 | 33,536 |
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| 28,902 | 28,869 | Series 1395, Class G, 6.00%, 10/15/22 | 28,902 | 28,869 |
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| 21,155 | 22,109 | Series 1505, Class Q, 7.00%, 05/15/23 | 21,155 | 22,109 |
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| 41,721 | 40,822 | Series 1518, Class G, IF, 7.01%, 05/15/23 | 41,721 | 40,822 |
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| 43,638 | 42,415 | Series 1541, Class O, VAR, 3.28%, 07/15/23 | 43,638 | 42,415 |
4,997 | 4,980 | 1,666 | 1,660 | Series 1561, Class TA, PO, 08/15/08 | 6,663 | 6,640 |
399,959 | 422,776 |
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| Series 1577, Class PV, 6.50%, 09/15/23 | 399,959 | 422,776 |
871,682 | 905,460 |
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| Series 1584, Class L, 6.50%, 09/15/23 | 871,682 | 905,460 |
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| 45,637 | 46,971 | Series 1596, Class D, 6.50%, 10/15/13 | 45,637 | 46,971 |
5,739 | 5,743 |
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| Series 1604, Class MB, IF, 9.59%, 11/15/08 | 5,739 | 5,743 |
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| 18,606 | 20,080 | Series 1607, Class SA, IF, 13.68%, 10/15/13 | 18,606 | 20,080 |
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| 39,494 | 41,690 | Series 1609, Class LG, IF, 11.92%, 11/15/23 | 39,494 | 41,690 |
13,110 | 13,145 |
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| Series 1625, Class SC, IF, 9.84%, 12/15/08 | 13,110 | 13,145 |
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| 5,244 | 5,268 | Series 1625, Class SD, IF, 8.50%, 12/15/08 | 5,244 | 5,268 |
872,240 | 918,551 |
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| Series 1633, Class Z, 6.50%, 12/15/23 | 872,240 | 918,551 |
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| 500,000 | 529,716 | Series 1638, Class H, 6.50%, 12/15/23 | 500,000 | 529,716 |
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| 2,387 | 2,626 | Series 1671, Class QC, IF, 10.00%, 02/15/24 | 2,387 | 2,626 |
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| 7,167 | 7,220 | Series 1685, Class Z, 6.00%, 11/15/23 | 7,167 | 7,220 |
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| 213 | 213 | Series 1689, Class SD, IF, 10.53%, 10/15/23 | 213 | 213 |
201,000 | 212,705 |
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| Series 1694, Class PK, 6.50%, 03/15/24 | 201,000 | 212,705 |
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| 22,544 | 19,441 | Series 1700, Class GA, PO, 02/15/24 | 22,544 | 19,441 |
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| 1,707,826 | 1,797,743 | Series 1732, Class K, 6.50%, 05/15/24 | 1,707,826 | 1,797,743 |
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| 108,473 | 107,915 | Series 1798, Class F, 5.00%, 05/15/23 | 108,473 | 107,915 |
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| 236,077 | 246,407 | Series 1863, Class Z, 6.50%, 07/15/26 | 236,077 | 246,407 |
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| 4,027 | 2,353 | Series 1865, Class D, PO, 02/15/24 | 4,027 | 2,353 |
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| 2,379 | 2,372 | Series 1900, Class T, PO, 08/15/08 | 2,379 | 2,372 |
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| 1,046 | 1,041 | Series 1967, Class PC, PO, 10/15/08 | 1,046 | 1,041 |
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| 70,472 | 72,625 | Series 1981, Class Z, 6.00%, 05/15/27 | 70,472 | 72,625 |
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| 87,669 | 88,970 | Series 1987, Class PE, 7.50%, 09/15/27 | 87,669 | 88,970 |
362,898 | 383,436 |
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| Series 1999, Class PU, 7.00%, 10/15/27 | 362,898 | 383,436 |
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| 46,346 | 47,416 | Series 2025, Class PE, 6.30%, 01/15/13 | 46,346 | 47,416 |
622,529 | 660,333 |
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| Series 2031, Class PG, 7.00%, 02/15/28 (m) | 622,529 | 660,333 |
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| 23,921 | 10,869 | Series 2033, Class SN, IF, IO, 17.46%, 03/15/24 | 23,921 | 10,869 |
528,899 | 560,694 |
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| Series 2035, Class PC, 6.95%, 03/15/28 | 528,899 | 560,694 |
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| 40,216 | 10,899 | Series 2038, Class PN, IO, 7.00%, 03/15/28 | 40,216 | 10,899 |
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| 108,742 | 116,110 | Series 2054, Class PV, 7.50%, 05/15/28 | 108,742 | 116,110 |
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| 68,801 | 71,270 | Series 2055, Class OE, 6.50%, 05/15/13 | 68,801 | 71,270 |
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| 170,367 | 179,924 | Series 2064, Class TE, 7.00%, 06/15/28 | 170,367 | 179,924 |
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| 147,646 | 154,972 | Series 2075, Class PH, 6.50%, 08/15/28 | 147,646 | 154,972 |
631,098 | 649,567 |
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| Series 2095, Class PE, 6.00%, 11/15/28 | 631,098 | 649,567 |
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| 106,344 | 110,044 | Series 2102, Class TU, 6.00%, 12/15/13 | 106,344 | 110,044 |
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| 226,350 | 234,134 | Series 2115, Class PE, 6.00%, 01/15/14 | 226,350 | 234,134 |
7,772 | 7,774 | 3,886 | 3,887 | Series 2132, Class PD, 6.00%, 11/15/27 | 11,658 | 11,661 |
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| 30,134 | 33,370 | Series 2132, Class SB, IF, 19.89%, 03/15/29 | 30,134 | 33,370 |
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| 65,039 | 10,968 | Series 2134, Class PI, IO, 6.50%, 03/15/19 | 65,039 | 10,968 |
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| 13,632 | 1,737 | Series 2135, Class UK, IO, 6.50%, 03/15/14 | 13,632 | 1,737 |
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| 6,797 | 6,819 | Series 2143, Class CD, 6.00%, 02/15/28 | 6,797 | 6,819 |
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| 829,000 | 886,098 | Series 2172, Class QC, 7.00%, 07/15/29 | 829,000 | 886,098 |
193,815 | 204,106 |
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| Series 2178, Class PB, 7.00%, 08/15/29 | 193,815 | 204,106 |
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| 260,428 | 280,721 | Series 2182, Class ZB, 8.00%, 09/15/29 | 260,428 | 280,721 |
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| 44,863 | 47,241 | Series 2247, Class Z, 7.50%, 08/15/30 | 44,863 | 47,241 |
379,054 | 394,036 |
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| Series 2259, Class ZC, 7.35%, 10/15/30 | 379,054 | 394,036 |
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| 12,701 | 13,017 | Series 2261, Class ZY, 7.50%, 10/15/30 | 12,701 | 13,017 |
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| 178,924 | 190,382 | Series 2283, Class K, 6.50%, 12/15/23 | 178,924 | 190,382 |
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| 26,850 | 20,756 | Series 2306, Class K, PO, 05/15/24 | 26,850 | 20,756 |
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| 64,441 | 8,790 | Series 2306, Class SE, IF, IO, 6.74%, 05/15/24 | 64,441 | 8,790 |
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| 86,210 | 93,111 | Series 2325, Class PM, 7.00%, 06/15/31 | 86,210 | 93,111 |
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| 502,435 | 525,968 | Series 2344, Class ZD, 6.50%, 08/15/31 | 502,435 | 525,968 |
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| 82,093 | 86,126 | Series 2344, Class ZJ, 6.50%, 08/15/31 | 82,093 | 86,126 |
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| 51,813 | 54,314 | Series 2345, Class NE, 6.50%, 08/15/31 | 51,813 | 54,314 |
495,102 | 520,395 | 475,298 | 499,579 | Series 2345, Class PQ, 6.50%, 08/15/16 | 970,400 | 1,019,974 |
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| 172,335 | 179,263 | Series 2355, Class BP, 6.00%, 09/15/16 | 172,335 | 179,263 |
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| 177,132 | 211,528 | Series 2359, Class ZB, 8.50%, 06/15/31 | 177,132 | 211,528 |
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| 11,692 | 11,768 | Series 2362, Class PD, 6.50%, 06/15/20 | 11,692 | 11,768 |
752,580 | 785,845 |
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| Series 2367, Class ME, 6.50%, 10/15/31 | 752,580 | 785,845 |
67,406 | 55,214 |
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| Series 2390, Class DO, PO, 12/15/31 | 67,406 | 55,214 |
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| 309,695 | 317,328 | Series 2391, Class QR, 5.50%, 12/15/16 | 309,695 | 317,328 |
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| 202,134 | 204,724 | Series 2392, Class PV, 6.00%, 12/15/20 | 202,134 | 204,724 |
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| 245,346 | 255,242 | Series 2394, Class MC, 6.00%, 12/15/16 | 245,346 | 255,242 |
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| 102,777 | 106,729 | Series 2410, Class OE, 6.38%, 02/15/32 | 102,777 | 106,729 |
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| 155,384 | 155,906 | Series 2410, Class QS, IF, 13.07%, 02/15/32 | 155,384 | 155,906 |
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| 98,993 | 11,552 | Series 2410, Class QX, IF, IO, 6.18%, 02/15/32 | 98,993 | 11,552 |
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| 57,805 | 57,814 | Series 2412, Class SE, IF, 11.28%, 02/15/09 | 57,805 | 57,814 |
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| 100,000 | 104,862 | Series 2412, Class SP, IF, 11.16%, 02/15/32 | 100,000 | 104,862 |
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| 211,683 | 224,067 | Series 2423, Class MC, 7.00%, 03/15/32 | 211,683 | 224,067 |
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| 341,036 | 360,986 | Series 2423, Class MT, 7.00%, 03/15/32 | 341,036 | 360,986 |
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| 227,841 | 239,602 | Series 2435, Class CJ, 6.50%, 04/15/32 | 227,841 | 239,602 |
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| 470,000 | 483,175 | Series 2435, Class VH, 6.00%, 07/15/19 | 470,000 | 483,175 |
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| 146,377 | 17,721 | Series 2444, Class ES, IF, IO, 5.48%, 03/15/32 | 146,377 | 17,721 |
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| 97,585 | 11,935 | Series 2450, Class SW, IF, IO, 5.53%, 03/15/32 | 97,585 | 11,935 |
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| 50,259 | 51,104 | Series 2454, Class BG, 6.50%, 08/15/31 | 50,259 | 51,104 |
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| 300,000 | 315,900 | Series 2455, Class GK, 6.50%, 05/15/32 | 300,000 | 315,900 |
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| 286,409 | 294,869 | Series 2460, Class VZ, 6.00%, 11/15/29 | 286,409 | 294,869 |
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| 220,122 | 231,897 | Series 2484, Class LZ, 6.50%, 07/15/32 | 220,122 | 231,897 |
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| 318,569 | 322,464 | Series 2498, Class UD, 5.50%, 06/15/16 | 318,569 | 322,464 |
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| 790,000 | 803,951 | Series 2500, Class MC, 6.00%, 09/15/32 | 790,000 | 803,951 |
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| 2,271 | 2,269 | Series 2500, Class TD, 5.50%, 02/15/16 | 2,271 | 2,269 |
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| 129,344 | 132,437 | Series 2503, Class BH, 5.50%, 09/15/17 | 129,344 | 132,437 |
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| 129,630 | 114,002 | Series 2513, Class YO, PO, 02/15/32 | 129,630 | 114,002 |
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| 457,274 | 434,422 | Series 2515, Class DE, 4.00%, 03/15/32 | 457,274 | 434,422 |
883,000 | 885,787 |
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| Series 2527, Class BP, 5.00%, 11/15/17 | 883,000 | 885,787 |
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| 500,000 | 507,218 | Series 2535, Class BK, 5.50%, 12/15/22 | 500,000 | 507,218 |
5,000,000 | 5,082,673 | 300,000 | 304,960 | Series 2543, Class YX, 6.00%, 12/15/32 (m) | 5,300,000 | 5,387,633 |
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| 500,000 | 509,200 | Series 2544, Class HC, 6.00%, 12/15/32 | 500,000 | 509,200 |
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| 231,845 | 237,831 | Series 2565, Class MB, 6.00%, 05/15/30 | 231,845 | 237,831 |
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| 500,000 | 507,719 | Series 2575, Class ME, 6.00%, 02/15/33 | 500,000 | 507,719 |
3,230,000 | 3,189,943 |
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| Series 2578, Class PG, 5.00%, 02/15/18 | 3,230,000 | 3,189,943 |
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| 134,249 | 33,048 | Series 2586, Class WI, IO, 6.50%, 03/15/33 | 134,249 | 33,048 |
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| 170,652 | 175,057 | Series 2594, Class VA, 6.00%, 03/15/14 | 170,652 | 175,057 |
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| 400,000 | 410,517 | Series 2594, Class VQ, 6.00%, 08/15/20 | 400,000 | 410,517 |
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| 356,538 | 31,969 | Series 2597, Class DS, IF, IO, 5.08%, 02/15/33 | 356,538 | 31,969 |
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| 494,997 | 35,094 | Series 2599, Class DS, IF, IO, 4.53%, 02/15/33 | 494,997 | 35,094 |
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| 584,056 | 47,504 | Series 2610, Class DS, IF, IO, 4.63%, 03/15/33 | 584,056 | 47,504 |
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| 776,745 | 71,589 | Series 2611, Class SH, IF, IO, 5.18%, 10/15/21 | 776,745 | 71,589 |
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| 500,000 | 483,657 | Series 2617, Class GR, 4.50%, 05/15/18 | 500,000 | 483,657 |
1,582,972 | 1,504,926 |
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| Series 2626, Class KA, 3.00%, 03/15/30 | 1,582,972 | 1,504,926 |
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| 772,320 | 81,247 | Series 2626, Class NS, IF, IO, 4.08%, 06/15/23 | 772,320 | 81,247 |
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| 500,000 | 491,700 | Series 2628, Class WA, 4.00%, 07/15/28 | 500,000 | 491,700 |
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| 500,000 | 484,374 | Series 2631, Class LC, 4.50%, 06/15/18 | 500,000 | 484,374 |
650,000 | 643,834 |
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| Series 2631, Class TE, 4.50%, 02/15/28 | 650,000 | 643,834 |
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| 625,898 | 602,129 | Series 2636, Class Z, 4.50%, 06/15/18 | 625,898 | 602,129 |
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| 199,277 | 174,344 | Series 2638, Class DS, IF, 6.13%, 07/15/23 | 199,277 | 174,344 |
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| 32,068 | 2,506 | Series 2643, Class HI, IO, 4.50%, 12/15/16 | 32,068 | 2,506 |
537,895 | 492,440 |
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| Series 2647, Class A, 3.25%, 04/15/32 | 537,895 | 492,440 |
3,117,798 | 2,998,833 |
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| Series 2651, Class VZ, 4.50%, 07/15/18 | 3,117,798 | 2,998,833 |
2,438,000 | 2,407,355 |
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| Series 2656, Class BG, 5.00%, 10/15/32 | 2,438,000 | 2,407,355 |
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| 81,701 | 91,177 | Series 2656, Class SH, IF, 14.19%, 02/15/25 | 81,701 | 91,177 |
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| 349,177 | 332,970 | Series 2668, Class SB, IF, 5.00%, 10/15/15 | 349,177 | 332,970 |
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| 500,000 | 470,664 | Series 2675, Class CK, 4.00%, 09/15/18 | 500,000 | 470,664 |
410,000 | 399,124 |
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| Series 2682, Class LC, 4.50%, 07/15/32 | 410,000 | 399,124 |
|
| 231,574 | 160,520 | Series 2682, Class YS, IF, 5.31%, 10/15/33 | 231,574 | 160,520 |
2,500,000 | 2,510,295 |
|
| Series 2684, Class PD, 5.00%, 03/15/29 | 2,500,000 | 2,510,295 |
|
| 274,714 | 133,059 | Series 2684, Class TO, PO, 10/15/33 | 274,714 | 133,059 |
|
| 184,493 | 186,975 | Series 2686, Class GB, 5.00%, 05/15/20 | 184,493 | 186,975 |
|
| 184,441 | 115,181 | Series 2691, Class WS, IF, 5.29%, 10/15/33 | 184,441 | 115,181 |
|
| 138,460 | 95,971 | Series 2705, Class SC, IF, 5.29%, 11/15/33 | 138,460 | 95,971 |
|
| 211,357 | 152,756 | Series 2705, Class SD, IF, 5.82%, 11/15/33 | 211,357 | 152,756 |
|
| 1,000,000 | 942,037 | Series 2716, Class UN, 4.50%, 12/15/23 | 1,000,000 | 942,037 |
|
| 750,000 | 495,093 | Series 2727, Class BS, IF, 5.37%, 01/15/34 | 750,000 | 495,093 |
|
| 13,556 | 10,570 | Series 2733, Class GF, VAR, 0.00%, 09/15/33 | 13,556 | 10,570 |
|
| 500,000 | 495,999 | Series 2743, Class HD, 4.50%, 08/15/17 | 500,000 | 495,999 |
|
| 209,330 | 134,577 | Series 2744, Class FE, VAR, 0.00%, 02/15/34 | 209,330 | 134,577 |
|
| 500,000 | 510,710 | Series 2744, Class PD, 5.50%, 08/15/33 | 500,000 | 510,710 |
1,250,000 | 1,261,714 |
|
| Series 2749, Class TD, 5.00%, 06/15/21 | 1,250,000 | 1,261,714 |
|
| 144,668 | 102,546 | Series 2753, Class S, IF, 7.06%, 02/15/34 | 144,668 | 102,546 |
|
| 168,930 | 167,076 | Series 2755, Class SA, IF, 9.26%, 05/15/30 | 168,930 | 167,076 |
|
| 151,690 | 111,686 | Series 2766, Class SX, IF, 9.12%, 03/15/34 | 151,690 | 111,686 |
|
| 59,746 | 29,551 | Series 2769, Class PO, PO, 03/15/34 | 59,746 | 29,551 |
650,000 | 597,014 |
|
| Series 2773, Class TB, 4.00%, 04/15/19 | 650,000 | 597,014 |
|
| 476,978 | 342,204 | Series 2776, Class SK, IF, 5.37%, 04/15/34 | 476,978 | 342,204 |
|
| 46,915 | 37,305 | Series 2778, Class BS, IF, 9.57%, 04/15/34 | 46,915 | 37,305 |
|
| 268,127 | 257,421 | Series 2780, Class JG, 4.50%, 04/15/19 | 268,127 | 257,421 |
|
| 702,000 | 685,979 | Series 2809, Class UB, 4.00%, 09/15/17 | 702,000 | 685,979 |
625,000 | 595,709 |
|
| Series 2827, Class DG, 4.50%, 07/15/19 | 625,000 | 595,709 |
|
| 135,304 | 136,658 | Series 2827, Class SQ, IF, 7.50%, 01/15/19 | 135,304 | 136,658 |
|
| 26,184 | 22,119 | Series 2841, Class GO, PO, 08/15/34 | 26,184 | 22,119 |
|
| 123,104 | 75,023 | Series 2846, Class PO, PO, 08/15/34 | 123,104 | 75,023 |
|
| 500,000 | 481,151 | Series 2899, Class KB, 4.50%, 03/15/19 | 500,000 | 481,151 |
708,922 | 722,291 |
|
| Series 2927, Class GA, 5.50%, 10/15/34 | 708,922 | 722,291 |
1,250,000 | 1,267,035 |
|
| Series 2929, Class PC, 5.00%, 01/15/28 | 1,250,000 | 1,267,035 |
|
| 500,000 | 490,445 | Series 2931, Class QC, 4.50%, 01/15/19 | 500,000 | 490,445 |
|
| 99,125 | 100,551 | Series 2958, Class KB, 5.50%, 04/15/35 | 99,125 | 100,551 |
|
| 100,000 | 58,832 | Series 2975, Class KO, PO, 05/15/35 | 100,000 | 58,832 |
|
| 123,767 | 89,103 | Series 2989, Class PO, PO, 06/15/23 | 123,767 | 89,103 |
|
| 300,000 | 298,138 | Series 3047, Class OD, 5.50%, 10/15/35 | 300,000 | 298,138 |
734,694 | 837,712 |
|
| Series 3085, Class VS, IF, 18.83%, 12/15/35 | 734,694 | 837,712 |
|
| 118,651 | 121,091 | Series 3101, Class EA, 6.00%, 06/15/20 | 118,651 | 121,091 |
|
| 237,206 | 183,793 | Series 3117, Class EO, PO, 02/15/36 | 237,206 | 183,793 |
|
| 375,208 | 26,894 | Series 3260, Class CS, IF, IO, 3.67%, 01/15/37 | 375,208 | 26,894 |
|
| 2,613,275 | 48,189 | Series 3430 Class AI, IO, 1.42%, 09/15/12 | 2,613,275 | 48,189 |
|
|
|
| Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
| 29,419 | 29,783 | Series T-41, Class 3A, VAR, 7.50%, 07/25/32 | 29,419 | 29,783 |
593,291 | 608,865 | 197,764 | 202,955 | Series T-54, Class 2A, 6.50%, 02/25/43 | 791,055 | 811,820 |
360,834 | 258,956 | 90,904 | 96,272 | Series T-54, Class 3A, 7.00%, 02/25/43 | 451,738 | 355,228 |
|
| 55,058 | 46,049 | Series T-58, Class A, PO, 09/25/43 | 55,058 | 46,049 |
|
| 412,242 |
| Federal Home Loan Mortgage Corp.- Government National Mortgage Association, | 412,242 |
|
|
|
| 436,467 | Series 8, Class ZA, 7.00%, 03/25/23 |
| 436,467 |
|
|
|
| Federal National Mortgage Association REMICS, |
|
|
24,306 | 27,009 |
|
| Series 1988-16, Class B, 9.50%, 06/25/18 | 24,306 | 27,009 |
|
| 13,801 | 15,118 | Series 1989-83, Class H, 8.50%, 11/25/19 | 13,801 | 15,118 |
|
| 2,857 | 3,156 | Series 1990-1, Class D, 8.80%, 01/25/20 | 2,857 | 3,156 |
|
| 13,356 | 14,642 | Series 1990-10, Class L, 8.50%, 02/25/20 | 13,356 | 14,642 |
|
| 2,838 | 2,886 | Series 1990-93, Class G, 5.50%, 08/25/20 | 2,838 | 2,886 |
|
| 80,234 | 82,376 | Series 1992-101, Class J, 7.50%, 06/25/22 | 80,234 | 82,376 |
|
| 46 | 630 | Series 1990-140, Class K, HB, 652.15%, 12/25/20 | 46 | 630 |
|
| 5,075 | 5,545 | Series 1990-143, Class J, 8.75%, 12/25/20 | 5,075 | 5,545 |
|
| 32,787 | 33,349 | Series 1992-143, Class MA, 5.50%, 09/25/22 | 32,787 | 33,349 |
101,855 | 84,279 |
|
| Series 1993-146, Class E, PO, 05/25/23 | 101,855 | 84,279 |
245,000 | 260,485 |
|
| Series 1993-155, Class PJ, 7.00%, 09/25/23 | 245,000 | 260,485 |
|
| 2,459 | 2,455 | Series 1993-164, Class SA, IF, 11.78%, 09/25/08 | 2,459 | 2,455 |
|
| 3,523 | 3,517 | Series 1993-164, Class SC, IF, 11.78%, 09/25/08 | 3,523 | 3,517 |
|
| 7,917 | 8,276 | Series 1993-165, Class SD, IF, 8.25%, 09/25/23 | 7,917 | 8,276 |
|
| 39,480 | 41,103 | Series 1993-165, Class SK, IF, 12.50%, 09/25/23 | 39,480 | 41,103 |
|
| 41,002 | 42,503 | Series 1993-167, Class GA, 7.00%, 09/25/23 | 41,002 | 42,503 |
|
| 1,744 | 1,745 | Series 1993-175, Class SA, IF, 13.78%, 09/25/08 | 1,744 | 1,745 |
|
| 1,506 | 1,512 | Series 1993-190, Class S, IF, 9.86%, 10/25/08 | 1,506 | 1,512 |
|
| 376 | 376 | Series 1993-196, Class FA, VAR, 4.01%, 10/25/08 | 376 | 376 |
|
| 564 | 565 | Series 1993-196, Class SB, IF, 9.25%, 10/25/08 | 564 | 565 |
6,114 | 6,136 |
|
| Series 1993-197, Class SC, IF, 8.30%, 10/25/08 | 6,114 | 6,136 |
|
| 383,628 | 400,342 | Series 1993-203, Class PL, 6.50%, 10/25/23 | 383,628 | 400,342 |
17,065 | 14,294 | 17,065 | 14,294 | Series 1993-205, Class H, PO, 09/25/23 | 34,130 | 28,588 |
19,888 | 20,018 |
|
| Series 1993-221, Class SG, IF, 9.85%, 12/25/08 | 19,888 | 20,018 |
2,047,896 | 2,144,156 |
|
| Series 1993-223, Class PZ, 6.50%, 12/25/23 | 2,047,896 | 2,144,156 |
|
| 272,949 | 287,070 | Series 1993-225, Class UB, 6.50%, 12/25/23 | 272,949 | 287,070 |
|
| 7,060 | 7,080 | Series 1993-230, Class FA, VAR, 3.10%, 12/25/23 | 7,060 | 7,080 |
|
| 52 | 53 | Series 1993-233, Class SB, IF, 11.53%, 12/25/08 | 52 | 53 |
498,330 | 524,481 | 355,950 | 374,629 | Series 1993-250, Class Z, 7.00%, 12/25/23 | 854,280 | 899,110 |
|
| 111,129 | 99,312 | Series 1993-257, Class C, PO, 06/25/23 | 111,129 | 99,312 |
|
| 233 | 236 | Series 1994-13, Class SK, IF, 13.15%, 02/25/09 | 233 | 236 |
233 | 236 |
|
| Series 1994-13, Class SM, IF, 14.39%, 02/25/09 | 233 | 236 |
55,185 | 55,316 |
|
| Series 1994-28, Class K, 6.50%, 08/25/23 | 55,185 | 55,316 |
|
| 5,269 | 5,266 | Series 1994-33, Class FA, VAR, 4.11%, 03/25/09 | 5,269 | 5,266 |
877,719 | 919,781 |
|
| Series 1994-37, Class L, 6.50%, 03/25/24 | 877,719 | 919,781 |
6,388,638 | 6,597,109 |
|
| Series 1994-72, Class K, 6.00%, 04/25/24 | 6,388,638 | 6,597,109 |
3,317 | 3,317 |
|
| Series 1994-76, Class H, 5.00%, 02/25/24 | 3,317 | 3,317 |
|
| 54,984 | 58,778 | Series 1995-2, Class Z, 8.50%, 03/25/25 | 54,984 | 58,778 |
|
| 83,206 | 89,497 | Series 1995-19, Class Z, 6.50%, 11/25/23 | 83,206 | 89,497 |
|
| 348 | 346 | Series 1996-20, Class L, PO, 09/25/08 | 348 | 346 |
|
| 1,191 | 1,185 | Series 1996-39, Class J, PO, 09/25/08 | 1,191 | 1,185 |
|
| 14,593 | 15,154 | Series 1996-59, Class J, 6.50%, 08/25/22 | 14,593 | 15,154 |
|
| 122,736 | 126,974 | Series 1996-59, Class K, 6.50%, 07/25/23 | 122,736 | 126,974 |
|
| 474,291 | 13,043 | Series 1997-20, Class IB, VAR, IO, 1.84%, 03/25/27 | 474,291 | 13,043 |
|
| 44,473 | 47,149 | Series 1997-39, Class PD, 7.50%, 05/20/27 | 44,473 | 47,149 |
|
| 100,825 | 103,503 | Series 1997-46, Class PL, 6.00%, 07/18/27 | 100,825 | 103,503 |
|
| 268,323 | 285,558 | Series 1997-61, Class ZC, 7.00%, 02/25/23 | 268,323 | 285,558 |
|
| 127,429 | 131,186 | Series 1998-36, Class ZB, 6.00%, 07/18/28 | 127,429 | 131,186 |
|
| 125,540 | 39,874 | Series 1998-43, Class SA, IF, IO, 14.32%, 04/25/23 | 125,540 | 39,874 |
157,299 | 165,222 |
|
| Series 1998-46, Class GZ, 6.50%, 08/18/28 | 157,299 | 165,222 |
406,694 | 422,285 |
|
| Series 1998-58, Class PC, 6.50%, 10/25/28 | 406,694 | 422,285 |
801,640 | 214,033 |
|
| Series 1999-39, Class JH, IO, 6.50%, 08/25/29 | 801,640 | 214,033 |
|
| 19,213 | 4,811 | Series 2000-52, Class IO, IO, 8.50%, 01/25/31 | 19,213 | 4,811 |
345,812 | 368,559 |
|
| Series 2001-4, Class PC, 7.00%, 03/25/21 | 345,812 | 368,559 |
|
| 249,998 | 263,825 | Series 2001-30, Class PM, 7.00%, 07/25/31 | 249,998 | 263,825 |
1,243,321 | 322,763 | 248,664 | 64,553 | Series 2001-33, Class ID, IO, 6.00%, 07/25/31 | 1,491,985 | 387,316 |
|
| 388,147 | 407,485 | Series 2001-36, Class DE, 7.00%, 08/25/31 | 388,147 | 407,485 |
|
| 48,245 | 51,068 | Series 2001-44, Class PD, 7.00%, 09/25/31 | 48,245 | 51,068 |
|
| 222,465 | 233,867 | Series 2001-52, Class XN, 6.50%, 11/25/15 | 222,465 | 233,867 |
|
| 557,378 | 585,847 | Series 2001-61, Class Z, 7.00%, 11/25/31 | 557,378 | 585,847 |
|
| 323,047 | 335,581 | Series 2001-69, Class PG, 6.00%, 12/25/16 | 323,047 | 335,581 |
|
| 210,728 | 218,918 | Series 2001-71, Class QE, 6.00%, 12/25/16 | 210,728 | 218,918 |
|
| 105,541 | 108,620 | Series 2001-80, Class PE, 6.00%, 07/25/29 | 105,541 | 108,620 |
|
| 115,241 | 120,821 | Series 2002-1, Class HC, 6.50%, 02/25/22 | 115,241 | 120,821 |
|
| 31,723 | 37,336 | Series 2002-1, Class SA, IF, 17.12%, 02/25/32 | 31,723 | 37,336 |
320,790 | 331,085 |
|
| Series 2002-2, Class UC, 6.00%, 02/25/17 | 320,790 | 331,085 |
|
| 367,310 | 381,535 | Series 2002-3, Class OG, 6.00%, 02/25/17 | 367,310 | 381,535 |
|
| 37,087 | 37,135 | Series 2002-8, Class SR, IF, 11.26%, 03/25/09 | 37,087 | 37,135 |
|
| 708,955 | 27,260 | Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32 | 708,955 | 27,260 |
|
| 352,870 | 369,840 | Series 2002-28, Class PK, 6.50%, 05/25/32 | 352,870 | 369,840 |
|
| 682,364 | 689,714 | Series 2002-62, Class ZE, 5.50%, 11/25/17 | 682,364 | 689,714 |
|
| 109,858 | 112,211 | Series 2002-73, Class S, IF, 10.04%, 11/25/09 | 109,858 | 112,211 |
|
| 264,604 | 268,755 | Series 2002-74, Class VB, 6.00%, 11/25/31 | 264,604 | 268,755 |
|
| 137,163 | 139,686 | Series 2002-77, Class S, IF, 9.93%, 12/25/32 | 137,163 | 139,686 |
|
| 30,168 | 4,411 | Series 2002-91, Class UH, IO, 5.50%, 06/25/22 | 30,168 | 4,411 |
|
| 252,739 | 250,732 | Series 2002-93, Class PD, 3.50%, 02/25/29 | 252,739 | 250,732 |
|
| 500,000 | 509,977 | Series 2002-94, Class BK, 5.50%, 01/25/18 | 500,000 | 509,977 |
|
| 250,000 | 177,736 | Series 2003-106, Class US, IF, 5.35%, 11/25/23 | 250,000 | 177,736 |
|
| 500,000 | 483,064 | Series 2003-106, Class WE, 4.50%, 11/25/22 | 500,000 | 483,064 |
|
| 766,608 | 78,151 | Series 2003-116, Class SB, IF, IO, 5.12%, 11/25/33 | 766,608 | 78,151 |
|
| 600,000 | 552,057 | Series 2003-117, Class JB, 3.50%, 06/25/33 | 600,000 | 552,057 |
2,901,667 | 2,724,917 |
|
| Series 2003-128, Class DY, 4.50%, 01/25/24 | 2,901,667 | 2,724,917 |
|
| 500,000 | 501,464 | Series 2003-128, Class KE, 4.50%, 01/25/14 | 500,000 | 501,464 |
|
| 500,000 | 468,239 | Series 2003-128, Class NG, 4.00%, 01/25/19 | 500,000 | 468,239 |
|
| 131,327 | 126,962 | Series 2003-130, Class SX, IF, 7.80%, 01/25/34 | 131,327 | 126,962 |
|
| 212,955 | 159,032 | Series 2003-132, Class OA, PO, 08/25/33 | 212,955 | 159,032 |
|
| 293,000 | 238,467 | Series 2003-22, Class UD, 4.00%, 04/25/33 | 293,000 | 238,467 |
2,000,000 | 2,026,279 |
|
| Series 2003-35, Class MD, 5.00%, 11/25/16 | 2,000,000 | 2,026,279 |
|
| 250,000 | 256,646 | Series 2003-41, Class PE, 5.50%, 05/25/23 | 250,000 | 256,646 |
|
| 100,000 | 98,376 | Series 2003-47, Class PE, 5.75%, 06/25/33 | 100,000 | 98,376 |
|
| 72,389 | 53,234 | Series 2003-64, Class SX, IF, 7.60%, 07/25/33 | 72,389 | 53,234 |
|
| 207,413 | 190,557 | Series 2003-66, Class PA, 3.50%, 02/25/33 | 207,413 | 190,557 |
|
| 647,059 | 553,575 | Series 2003-68, Class LC, 3.00%, 07/25/22 | 647,059 | 553,575 |
|
| 523,115 | 494,829 | Series 2003-68, Class QP, 3.00%, 07/25/22 | 523,115 | 494,829 |
1,250,000 | 1,243,056 |
|
| Series 2003-70, Class BE, 3.50%, 12/25/25 | 1,250,000 | 1,243,056 |
|
| 137,818 | 88,812 | Series 2003-71, Class DS, IF, 4.19%, 08/25/33 | 137,818 | 88,812 |
|
| 834,616 | 795,115 | Series 2003-73, Class GA, 3.50%, 05/25/31 | 834,616 | 795,115 |
|
| 921,028 | 104,518 | Series 2003-80, Class SY, IF, IO, 5.17%, 06/25/23 | 921,028 | 104,518 |
3,600,000 | 3,559,622 |
|
| Series 2003-81, Class MC, 5.00%, 12/25/32 | 3,600,000 | 3,559,622 |
600,000 | 601,765 |
|
| Series 2003-82, Class VB, 5.50%, 08/25/33 | 600,000 | 601,765 |
|
| 500,000 | 496,434 | Series 2003-83, Class PG, 5.00%, 06/25/23 | 500,000 | 496,434 |
|
| 108,081 | 102,093 | Series 2003-91, Class SD, IF, 8.36%, 09/25/33 | 108,081 | 102,093 |
|
| 700,000 | 657,384 | Series 2004-1, Class AC, 4.00%, 02/25/19 | 700,000 | 657,384 |
1,850,000 | 1,829,727 |
|
| Series 2004-2, Class OE, 5.00%, 05/25/23 | 1,850,000 | 1,829,727 |
|
| 307,810 | 298,084 | Series 2004-4, Class QM, IF, 9.24%, 06/25/33 | 307,810 | 298,084 |
|
| 200,137 | 220,097 | Series 2004-10, Class SC, IF, 18.67%, 02/25/34 | 200,137 | 220,097 |
|
| 164,907 | 110,543 | Series 2004-14, Class SD, IF, 5.35%, 03/25/34 | 164,907 | 110,543 |
|
| 174,232 | 90,794 | Series 2004-21, Class CO, PO, 04/25/34 | 174,232 | 90,794 |
|
| 178,833 | 164,958 | Series 2004-22, Class A, 4.00%, 04/25/19 | 178,833 | 164,958 |
|
| 389,251 | 410,900 | Series 2004-36, Class SA, IF, 12.70%, 05/25/34 | 389,251 | 410,900 |
|
| 79,069 | 76,551 | Series 2004-51, Class SY, IF, 9.28%, 07/25/34 | 79,069 | 76,551 |
|
| 150,029 | 140,096 | Series 2004-61, Class SK, IF, 8.50%, 11/25/32 | 150,029 | 140,096 |
1,343,158 | 1,300,013 |
|
| Series 2004-75, Class VK, 4.50%, 09/25/22 | 1,343,158 | 1,300,013 |
|
| 200,000 | 188,275 | Series 2004-76, Class CL, 4.00%, 10/25/19 | 200,000 | 188,275 |
|
| 1,000,000 | 937,861 | Series 2004-81, Class AC, 4.00%, 11/25/19 | 1,000,000 | 937,861 |
|
| 226,413 | 212,909 | Series 2004-92, Class JO, PO, 12/25/34 | 226,413 | 212,909 |
|
| 762,510 | 710,331 | Series 2005-28, Class JA, 5.00%, 04/25/35 | 762,510 | 710,331 |
|
| 714,437 | 724,896 | Series 2005-40, Class YA, 5.00%, 09/25/20 | 714,437 | 724,896 |
|
| 401,063 | 406,099 | Series 2005-47, Class AN, 5.00%, 12/25/16 | 401,063 | 406,099 |
|
| 522,477 | 544,895 | Series 2005-52, Class PA, 6.50%, 06/25/35 | 522,477 | 544,895 |
|
| 853,000 | 841,107 | Series 2005-68, Class BC, 5.25%, 06/25/35 | 853,000 | 841,107 |
|
| 950,490 | 974,484 | Series 2005-84, Class XM, 5.75%, 10/25/35 | 950,490 | 974,484 |
|
| 1,000,000 | 1,040,190 | Series 2005-109, Class PC, 6.00%, 12/25/35 | 1,000,000 | 1,040,190 |
|
| 700,000 | 708,001 | Series 2005-110, Class MN, 5.50%, 06/25/35 | 700,000 | 708,001 |
|
| 201,123 | 150,814 | Series 2006-22, Class AO, PO, 04/25/36 | 201,123 | 150,814 |
|
| 470,210 | 370,421 | Series 2006-59, Class QO, PO, 01/25/33 | 470,210 | 370,421 |
|
| 516,141 | 377,540 | Series 2006-110, Class PO, PO, 11/25/36 | 516,141 | 377,540 |
|
| 1,043,014 | 70,006 | Series 2007-7, Class SG, IF, IO, 4.02%, 08/25/36 | 1,043,014 | 70,006 |
|
| 959,565 | 72,986 | Series 2008-16, Class IS, IF, IO, 3.72%, 03/25/38 | 959,565 | 72,986 |
|
| 35,794 | 36,868 | Series G92-15, Class Z, 7.00%, 01/25/22 | 35,794 | 36,868 |
|
| 6,339 | 6,747 | Series G92-42, Class Z, 7.00%, 07/25/22 | 6,339 | 6,747 |
62,968 | 67,816 | 129,902 | 139,904 | Series G92-44, Class ZQ, 8.00%, 07/25/22 | 192,870 | 207,720 |
|
| 77,530 | 83,559 | Series G92-54, Class ZQ, 7.50%, 09/25/22 | 77,530 | 83,559 |
|
| 4,885 | 4,729 | Series G92-59, Class F, VAR, 3.81%, 10/25/22 | 4,885 | 4,729 |
|
| 12,568 | 13,315 | Series G92-61, Class Z, 7.00%, 10/25/22 | 12,568 | 13,315 |
28,006 | 28,784 |
|
| Series G92-66, Class KA, 6.00%, 12/25/22 | 28,006 | 28,784 |
|
| 132,460 | 140,651 | Series G92-66, Class KB, 7.00%, 12/25/22 | 132,460 | 140,651 |
|
| 38,176 | 41,580 | Series G93-1, Class KA, 7.90%, 01/25/23 | 38,176 | 41,580 |
|
| 40,776 | 38,737 | Series G93-17, Class SI, IF, 6.00%, 04/25/23 | 40,776 | 38,737 |
|
|
|
| Federal National Mortgage Association Interest STRIPS, |
|
|
|
| 106,887 | 78,487 | Series 329, Class 1, PO, 01/01/33 | 106,887 | 78,487 |
|
| 140,467 | 99,408 | Series 340, Class 1, PO, 09/01/33 | 140,467 | 99,408 |
|
| 1 | 2 | Series K, Class 2, HB, 255.60%, 11/01/08 | 1 | 2 |
|
|
|
| Federal National Mortgage Association Whole Loan, |
|
|
663,338 | 678,196 |
|
| Series 1999-W4, Class A9, 6.25%, 02/25/29 | 663,338 | 678,196 |
1,070,797 | 1,102,252 |
|
| Series 2002-W7, Class A4, 6.00%, 06/25/29 | 1,070,797 | 1,102,252 |
563,038 | 574,383 | 140,760 | 143,596 | Series 2003-W1, Class 1A1, 6.50%, 12/25/42 | 703,798 | 717,979 |
|
| 86,958 | 90,206 | Series 2003-W1, Class 2A, 7.50%, 12/25/42 | 86,958 | 90,206 |
|
| 140,797 | 150,073 | Series 2004-W2, Class 2A2, 7.00%, 02/25/44 | 140,797 | 150,073 |
537,592 | 513,523 |
|
| Series 2005-W1, Class 1A2, 6.50%, 10/25/44 | 537,592 | 513,523 |
|
|
|
| Government National Mortgage Association, |
|
|
|
| 109,755 | 117,470 | Series 1994-3, Class PQ, 7.49%, 07/16/24 | 109,755 | 117,470 |
|
| 500,000 | 527,467 | Series 1994-7, Class PQ, 6.50%, 10/16/24 | 500,000 | 527,467 |
|
| 114,565 | 121,126 | Series 1996-16, Class E, 7.50%, 08/16/26 | 114,565 | 121,126 |
|
| 109,470 | 116,426 | Series 1997-8, Class PN, 7.50%, 05/16/27 | 109,470 | 116,426 |
291,302 | 306,062 |
|
| Series 1998-22, Class PD, 6.50%, 09/20/28 | 291,302 | 306,062 |
|
| 128,894 | 138,130 | Series 1998-26, Class K, 7.50%, 09/17/25 | 128,894 | 138,130 |
93,176 | 95,792 |
|
| Series 1999-17, Class L, 6.00%, 05/20/29 | 93,176 | 95,792 |
|
| 119,124 | 126,433 | Series 1999-41, Class Z, 8.00%, 11/16/29 | 119,124 | 126,433 |
|
| 66,292 | 70,602 | Series 1999-44, Class PC, 7.50%, 12/20/29 | 66,292 | 70,602 |
|
| 83,563 | 88,762 | Series 1999-44, Class ZG, 8.00%, 12/20/29 | 83,563 | 88,762 |
|
| 98,585 | 104,469 | Series 2000-14, Class PD, 7.00%, 02/16/30 | 98,585 | 104,469 |
|
| 58,447 | 62,635 | Series 2000-6, Class Z, 7.50%, 02/20/30 | 58,447 | 62,635 |
|
| 366,370 | 409,359 | Series 2000-21, Class Z, 9.00%, 03/16/30 | 366,370 | 409,359 |
|
| 46,503 | 46,429 | Series 2000-26, Class Z, 7.75%, 09/20/30 | 46,503 | 46,429 |
|
| 6,744 | 1,639 | Series 2000-36, Class IK, IO, 9.00%, 11/16/30 | 6,744 | 1,639 |
|
| 800,000 | 866,745 | Series 2000-36, Class PB, 7.50%, 11/16/30 | 800,000 | 866,745 |
|
| 87,561 | 90,999 | Series 2000-37, Class B, 8.00%, 12/20/30 | 87,561 | 90,999 |
|
| 23,047 | 23,777 | Series 2000-38, Class AH, 7.15%, 12/20/30 | 23,047 | 23,777 |
|
| 51,388 | 5,257 | Series 2001-4, Class SJ, IF, IO, 5.67%, 01/19/30 | 51,388 | 5,257 |
2,500,000 | 2,644,939 |
|
| Series 2001-10, Class PE, 6.50%, 03/16/31 (m) | 2,500,000 | 2,644,939 |
|
| 161,800 | 16,249 | Series 2001-36, Class S, IF, IO, 5.58%, 08/16/31 | 161,800 | 16,249 |
3,908 | 3,904 |
|
| Series 2001-6, Class PM, 6.50%, 06/16/30 | 3,908 | 3,904 |
|
| 200,000 | 208,029 | Series 2001-64, Class MQ, 6.50%, 12/20/31 | 200,000 | 208,029 |
1,000,000 | 1,053,739 |
|
| Series 2001-64, Class PB, 6.50%, 12/20/31 | 1,000,000 | 1,053,739 |
|
| 32,119 | 30,875 | Series 2002-24, Class SB, IF, 8.22%, 04/16/32 | 32,119 | 30,875 |
|
| 164,710 | 172,822 | Series 2002-54, Class GB, 6.50%, 08/20/32 | 164,710 | 172,822 |
|
| 184,022 | 24,005 | Series 2003-4, Class NI, IO, 5.50%, 01/20/32 | 184,022 | 24,005 |
|
| 20,589 | 16,650 | Series 2003-24, Class PO, PO, 03/16/33 | 20,589 | 16,650 |
6,169,134 | 466,675 |
|
| Series 2003-59, Class XA, IO, VAR, 1.67%, 06/16/34 | 6,169,134 | 466,675 |
2,759,774 | 2,848,919 |
|
| Series 2003-75, Class BE, 6.00%, 04/16/28 | 2,759,774 | 2,848,919 |
|
| 458,001 | 33,083 | Series 2003-76, Class LS, IF, IO, 4.72%, 09/20/31 | 458,001 | 33,083 |
|
| 827,126 | 66,236 | Series 2004-11, Class SW, IF, IO, 3.02%, 02/20/34 | 827,126 | 66,236 |
|
| 84,219 | 86,690 | Series 2004-28, Class S, IF, 12.87%, 04/16/34 | 84,219 | 86,690 |
1,426,465 | 1,458,800 |
|
| Series 2004-62, Class VA, 5.50%, 07/20/15 | 1,426,465 | 1,458,800 |
|
|
|
| Vendee Mortgage Trust, |
|
|
|
| 124,439 | 125,139 | Series 1994-1, Class 1, VAR, 5.62%, 02/15/24 | 124,439 | 125,139 |
|
| 297,391 | 310,587 | Series 1996-1, Class 1Z, 6.75%, 02/15/26 | 297,391 | 310,587 |
|
| 160,895 | 171,004 | Series 1996-2, Class 1Z, 6.75%, 06/15/26 | 160,895 | 171,004 |
|
| 586,754 | 635,865 | Series 1997-1, Class 2Z, 7.50%, 02/15/27 | 586,754 | 635,865 |
|
| 164,097 | 173,328 | Series 1998-1, Class 2E, 7.00%, 03/15/28 | 164,097 | 173,328 |
| 70,764,372 |
| 57,447,513 |
|
| 128,211,885 |
|
|
|
|
|
|
|
|
|
|
| Non-Agency CMO -- 12.0% |
|
|
|
| 500,000 |
| American Home Mortgage Investment Trust, | 500,000 |
|
|
|
| 394,752 | Series 2005-3, Class 2A4, VAR, 4.85%, 09/25/35 |
| 394,752 |
|
|
|
| Banc of America Funding Corp., |
|
|
|
| 231,088 | 156,948 | Series 2003-1, Class A, PO, 05/20/33 | 231,088 | 156,948 |
|
| 495,667 | 471,207 | Series 2003-3, Class 1A33, 5.50%, 10/25/33 | 495,667 | 471,207 |
|
| 133,622 | 89,051 | Series 2004-1, Class PO, PO, 03/25/34 | 133,622 | 89,051 |
|
| 1,000,000 | 951,394 | Series 2005-6, Class 2A7, 5.50%, 10/25/35 | 1,000,000 | 951,394 |
|
| 217,729 | 130,853 | Series 2005-7, Class 30, PO, 11/25/35 | 217,729 | 130,853 |
|
| 698,568 | 693,494 | Series 2005-E, Class 4A1, VAR, 4.11%, 03/20/35 | 698,568 | 693,494 |
|
|
|
| Banc of America Mortgage Securities, Inc., |
|
|
|
| 111,260 | 98,992 | Series 2002-10, Class A, PO, 11/25/32 | 111,260 | 98,992 |
|
| 66,197 | 46,634 | Series 2003-8 Class A, PO, 11/25/33 | 66,197 | 46,634 |
|
| 69,521 | 46,495 | Series 2004-4, Class A, PO, 05/25/34 | 69,521 | 46,495 |
|
| 500,464 | 401,043 | Series 2004-5, Class 2A2, 5.50%, 06/25/34 | 500,464 | 401,043 |
|
| 250,000 | 119,277 | Series 2004-6, Class 2A5, PO, 07/25/34 | 250,000 | 119,277 |
|
| 225,727 | 140,266 | Series 2004-6, Class A, PO, 07/25/34 | 225,727 | 140,266 |
|
| 289,581 | 161,415 | Series 2004-7 Class 1A19, PO, 08/25/34 | 289,581 | 161,415 |
|
| 200,000 | 192,583 | Series 2004-E, Class 2A5, VAR, 4.11%, 06/25/34 | 200,000 | 192,583 |
|
| 550,335 | 536,043 | Series 2004-J, Class 3A1, VAR, 5.07%, 11/25/34 | 550,335 | 536,043 |
|
|
|
| Bank of America Alternative Loan Trust, |
|
|
|
| 314,167 | 161,324 | Series 2004-5, Class 3A3, PO, 06/25/34 | 314,167 | 161,324 |
|
| 131,231 | 95,975 | Series 2004-6, Class 15, PO, 07/25/19 | 131,231 | 95,975 |
|
|
|
| Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
| 377,795 | 367,374 | Series 2003-7, Class 3A, VAR, 4.93%, 10/25/33 (i) (y) | 377,795 | 367,374 |
|
| 932,199 | 890,099 | Series 2006-1, Class A1, VAR, 4.62%, 02/25/36 (y) | 932,199 | 890,099 |
|
|
|
| Citicorp Mortgage Securities, Inc., |
|
|
|
| 1,186,455 | 1,151,456 | Series 2004-1, Class 3A1, 4.75%, 01/25/34 | 1,186,455 | 1,151,456 |
|
| 618,851 | 586,311 | Series 2004-5, Class 2A5, 4.50%, 08/25/34 | 618,851 | 586,311 |
|
|
|
| Citigroup Mortgage Loan Trust, Inc., |
|
|
|
| 75,651 | 74,363 | Series 2003-UP3, Class A3, 7.00%, 09/25/33 | 75,651 | 74,363 |
|
| 91,125 | 67,428 | Series 2003-UST1, Class 1, PO, 12/25/18 | 91,125 | 67,428 |
|
| 52,166 | 39,841 | Series 2003-UST1, Class 3, PO, 12/25/18 | 52,166 | 39,841 |
|
| 195,216 | 192,105 | Series 2003-UST1, Class A1, 5.50%, 12/25/18 | 195,216 | 192,105 |
|
| 216,607 | 202,811 | Series 2005-1, Class 2A1A, VAR, 6.48%, 04/25/35 | 216,607 | 202,811 |
|
|
|
| Countrywide Alternative Loan Trust, |
|
|
|
| 264,067 | 262,511 | Series 2002-8, Class A4, 6.50%, 07/25/32 | 264,067 | 262,511 |
|
| 93,019 | 66,220 | Series 2003-J1, Class PO, PO, 10/25/33 | 93,019 | 66,220 |
|
| 200,000 | 179,900 | Series 2004-18CB, Class 2A4, 5.70%, 09/25/34 | 200,000 | 179,900 |
|
| 1,417,163 | 1,091,034 | Series 2004-2CB, Class 1A9, 5.75%, 03/25/34 | 1,417,163 | 1,091,034 |
|
| 325,423 | 314,458 | Series 2005-5R, Class A1, 5.25%, 12/25/18 | 325,423 | 314,458 |
|
| 2,401,483 | 73,295 | Series 2005-22T1, Class A2, IF, IO, 2.59%, 06/25/35 | 2,401,483 | 73,295 |
|
| 212,991 | 208,731 | Series 2005-26CB, Class 1A5, IF, 8.55%, 07/25/35 | 212,991 | 208,731 |
|
| 1,181,600 | 970,200 | Series 2005-28CB, Class 1A4, 5.50%, 08/25/35 | 1,181,600 | 970,200 |
|
| 600,000 | 524,377 | Series 2005-54CB, Class 1A11, 5.50%, 11/25/35 | 600,000 | 524,377 |
|
| 2,231,044 | 68,587 | Series 2005-J1, Class 1A4, IF, IO, 2.62%, 02/25/35 | 2,231,044 | 68,587 |
|
| 200,000 | 125,430 | Series 2007-21BC, Class 1A5, 6.00%, 09/25/37 | 200,000 | 125,430 |
|
|
|
| Countrywide Home Loan Mortgage Pass Through Trust, |
|
|
|
| 681,767 | 585,443 | Series 2003-26, Class 1A6, 3.50%, 08/25/33 | 681,767 | 585,443 |
|
| 74,470 | 66,686 | Series 2003-34, Class A11, 5.25%, 09/25/33 | 74,470 | 66,686 |
|
| 186,364 | 136,442 | Series 2003-44, Class A6, PO, 10/25/33 | 186,364 | 136,442 |
|
| 218,619 | 199,077 | Series 2003-J7, Class 4A3, IF, 6.58%, 08/25/18 | 218,619 | 199,077 |
|
| 205,844 | 202,430 | Series 2004-7 Class 2A1, VAR, 4.03%, 06/25/34 | 205,844 | 202,430 |
|
| 127,341 | 122,256 | Series 2004-HYB1, Class 2A, VAR, 4.19%, 05/20/34 | 127,341 | 122,256 |
|
| 172,096 | 171,243 | Series 2004-HYB3, Class 2A, VAR, 4.08%, 06/20/34 | 172,096 | 171,243 |
|
| 115,791 | 81,642 | Series 2004-J8, Class A, PO, 11/25/19 | 115,791 | 81,642 |
|
| 690,999 | 659,653 | Series 2004-J8, Class 1A2, 4.75%, 11/25/19 | 690,999 | 659,653 |
|
| 500,000 | 470,121 | Series 2005-16, Class A23, 5.50%, 09/25/35 | 500,000 | 470,121 |
|
| 659,590 | 601,644 | Series 2005-22, Class 2A1, VAR, 5.25%, 11/25/35 | 659,590 | 601,644 |
|
|
|
| CS First Boston Mortgage Securities Corp., |
|
|
|
| 122,692 | 90,332 | Series 2004-5, Class 5P, PO, 08/25/19 | 122,692 | 90,332 |
|
| 296,536 |
| First Horizon Alternative Mortgage Securities, | 296,536 |
|
|
|
| 239,093 | Series 2005-FA8, Class 1A19, 5.50%, 11/25/35 |
| 239,093 |
|
|
|
| First Horizon Asset Securities, Inc., |
|
|
|
| 451,626 | 418,312 | Series 2003-3, Class 1A4, 3.90%, 05/25/33 | 451,626 | 418,312 |
|
| 481,691 | 471,614 | Series 2004-AR7, Class 2A1, VAR, 4.91%, 02/25/35 | 481,691 | 471,614 |
|
| 300,000 | 294,347 | Series 2004-AR7, Class 2A2, VAR, 4.91%, 02/25/35 | 300,000 | 294,347 |
|
| 416,659 | 400,414 | Series 2005-AR1, Class 2A2, VAR, 5.00%, 04/25/35 | 416,659 | 400,414 |
|
| 650,000 |
| GMAC Mortgage Corp. Loan Trust, | 650,000 |
|
|
|
| 622,431 | Series 2005-AR3, Class 3A4, VAR, 4.85%, 06/19/35 |
| 622,431 |
|
|
|
| GSR Mortgage Loan Trust, |
|
|
|
| 465,868 | 347,922 | Series 2004-6F, Class 1A2, 5.00%, 05/25/34 | 465,868 | 347,922 |
|
| 1,000,000 | 962,346 | Series 2004-6F, Class 3A4, 6.50%, 05/25/34 | 1,000,000 | 962,346 |
|
| 526,297 | 514,137 | Series 2004-10F, Class 2A1, 5.00%, 08/25/19 | 526,297 | 514,137 |
|
| 60,150 | 54,521 | Series 2004-13F, Class 3A3, 6.00%, 11/25/34 | 60,150 | 54,521 |
|
|
|
| Indymac Index Mortgage Loan Trust, |
|
|
|
| 2,880,038 | 40,617 | Series 2005-AR11, Class A7, VAR, IO, 0.71%, 08/25/35 | 2,880,038 | 40,617 |
|
|
|
| MASTR Adjustable Rate Mortgages Trust, |
|
|
|
| 356,142 | 354,796 | Series 2004-13, Class 2A1, VAR, 3.82%, 04/21/34 | 356,142 | 354,796 |
|
| 1,100,000 | 1,073,318 | Series 2004-13, Class 3A6, VAR, 3.79%, 11/21/34 | 1,100,000 | 1,073,318 |
|
|
|
| MASTR Alternative Loans Trust, |
|
|
|
| 430,151 | 385,680 | Series 2003-9, Class 8A1, 6.00%, 01/25/34 | 430,151 | 385,680 |
|
| 1,099,095 | 1,020,785 | Series 2004-4, Class 10A1, 5.00%, 05/25/24 | 1,099,095 | 1,020,785 |
|
| 465,712 | 432,530 | Series 2004-6, Class 7A1, 6.00%, 07/25/34 | 465,712 | 432,530 |
|
| 66,316 | 43,962 | Series 2004-7, Class 30, PO, 08/25/34 | 66,316 | 43,962 |
|
| 475,948 | 449,571 | Series 2004-8, Class 6A1, 5.50%, 09/25/19 | 475,948 | 449,571 |
|
| 599,517 | 552,305 | Series 2004-10, Class 1A1, 4.50%, 09/25/19 | 599,517 | 552,305 |
|
|
|
| MASTR Asset Securitization Trust, |
|
|
|
| 105,678 | 105,150 | Series 2003-4, Class 2A2, 5.00%, 05/25/18 | 105,678 | 105,150 |
|
| 200,525 | 198,046 | Series 2003-11, Class 6A2, 4.00%, 12/25/33 | 200,525 | 198,046 |
|
| 220,565 | 166,150 | Series 2003-12, Class 15, PO, 12/25/18 | 220,565 | 166,150 |
|
| 304,891 | 223,996 | Series 2004-6, Class PO, PO, 07/25/19 | 304,891 | 223,996 |
|
| 293,572 | 215,266 | Series 2004-8, Class PO, PO, 08/25/19 | 293,572 | 215,266 |
|
| 509,013 | 365,206 | Series 2004-10, Class 15, PO, 10/25/19 | 509,013 | 365,206 |
|
| 974,424 |
| MASTR Resecuritization Trust, | 974,424 |
|
|
|
| 640,347 | Series 2005-PO, Class 3, PO, 05/28/35 (e) |
| 640,347 |
|
| 138,261 |
| MortgageIT Trust, | 138,261 |
|
|
|
| 116,766 | Series 2005-1, Class 1A1, VAR, 2.80%, 02/25/35 |
| 116,766 |
|
| 111,755 |
| Nomura Asset Acceptance Corp., | 111,755 |
|
|
|
| 112,694 | Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e) |
| 112,694 |
|
|
|
| Residential Accredit Loans, Inc., |
|
|
|
| 283,105 | 282,368 | Series 2002-QS8, Class A5, 6.25%, 06/25/17 | 283,105 | 282,368 |
|
| 780,428 | 677,788 | Series 2003-QR19, Class CB4, 5.75%, 10/25/33 | 780,428 | 677,788 |
|
| 69,846 | 70,663 | Series 2003-QS3, Class A2, IF, 11.04%, 02/25/18 | 69,846 | 70,663 |
|
| 246,900 | 20,396 | Series 2003-QS3, Class A8, IF, IO, 5.12%, 02/25/18 | 246,900 | 20,396 |
|
| 547,450 | 50,983 | Series 2003-QS9, Class A3, IF, IO, 5.07%, 05/25/18 | 547,450 | 50,983 |
|
| 652,345 | 615,651 | Series 2003-QS14, Class A1, 5.00%, 07/25/18 | 652,345 | 615,651 |
|
| 198,882 | 192,170 | Series 2003-QS18, Class A1, 5.00%, 09/25/18 | 198,882 | 192,170 |
|
| 86,941 |
| Residential Asset Securitization Trust, | 86,941 |
|
|
|
| 78,243 | Series 2003-A14, Class A1, 4.75%, 02/25/19 |
| 78,243 |
|
|
|
| Residential Funding Mortgage Securities I, |
|
|
|
| 409,314 | 374,909 | Series 2003-S7, Class A17, 4.00%, 05/25/33 | 409,314 | 374,909 |
|
| 217,943 | 209,591 | Series 2003-S11, Class A1, 2.50%, 06/25/18 | 217,943 | 209,591 |
|
| 165,000 | 151,979 | Series 2003-S12, Class 4A5, 4.50%, 12/25/32 | 165,000 | 151,979 |
|
| 357,056 | 345,322 | Series 2005-SA4, Class 1A1, VAR, 4.93%, 09/25/35 | 357,056 | 345,322 |
|
| 27,656 |
| Salomon Brothers Mortgage Securities VII, Inc., | 27,656 |
|
|
|
| 22,015 | Series 2003-UP2, Class 1, PO, 12/25/18 |
| 22,015 |
|
| 400,000 |
| Structured Adjustable Rate Mortgage Loan Trust, | 400,000 |
|
|
|
| 358,947 | Series 2004-6, Class 5A4, VAR, 4.97%, 06/25/34 |
| 358,947 |
|
|
|
| Structured Asset Securities Corp., |
|
|
|
| 500,000 | 485,915 | Series 2003-8, Class 1A2, 5.00%, 04/25/18 | 500,000 | 485,915 |
|
| 300,981 | 281,279 | Series 2004-20, Class 1A3, 5.25%, 11/25/34 | 300,981 | 281,279 |
|
|
|
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|
|
|
| 3,071,448 | 90,474 | Series 2005-2, Class 1A4, IF, IO, 2.57%, 04/25/35 | 3,071,448 | 90,474 |
|
| 1,050,697 | 30,174 | Series 2005-2, Class 2A3, IF, IO, 2.52%, 04/25/35 | 1,050,697 | 30,174 |
|
| 800,000 | 689,788 | Series 2005-4, Class CB7, 5.50%, 06/25/35 | 800,000 | 689,788 |
|
| 109,208 | 76,628 | Series 2005-4, Class DP, PO, 06/25/20 | 109,208 | 76,628 |
|
| 309,490 | 268,276 | Series 2005-6, Class 2A4, 5.50%, 08/25/35 | 309,490 | 268,276 |
|
| 190,339 |
| Washington Mutual MSC Mortgage Pass-Through Certificates, | 190,339 |
|
|
|
| 189,031 | Series 2002-MS12, Class A, 6.50%, 05/25/32 |
| 189,031 |
|
|
|
| WaMu Mortgage Pass-Through Certificates, |
|
|
|
| 70,714 | 69,684 | Series 2003-AR8, Class A, VAR, 4.03%, 08/25/33 | 70,714 | 69,684 |
|
| 297,504 | 294,428 | Series 2003-S4, Class 3A, 5.50%, 06/25/33 | 297,504 | 294,428 |
|
| 452,456 | 419,849 | Series 2003-S8, Class A4, 4.50%, 09/25/18 | 452,456 | 419,849 |
|
| 864,090 | 830,869 | Series 2003-S10, Class A5, 5.00%, 10/25/18 | 864,090 | 830,869 |
|
| 66,469 | 51,843 | Series 2003-S10, Class A6, PO, 10/25/18 | 66,469 | 51,843 |
|
| 124,381 | 121,481 | Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34 | 124,381 | 121,481 |
|
| 905,378 | 922,827 | Series 2004-S3, Class 2A3, IF, 12.01%, 07/25/34 | 905,378 | 922,827 |
|
|
|
| Wells Fargo Mortgage Backed Securities Trust, |
|
|
|
| 150,000 | 145,531 | Series 2003-8, Class A9, 4.50%, 08/25/18 | 150,000 | 145,531 |
|
| 82,805 | 61,936 | Series 2003-11, Class 1A, PO, 10/25/18 | 82,805 | 61,936 |
|
| 663,000 | 644,551 | Series 2003-11, Class 1A4, 4.75%, 10/25/18 | 663,000 | 644,551 |
|
| 146,798 | 145,549 | Series 2003-17, Class 2A4, 5.50%, 01/25/34 | 146,798 | 145,549 |
|
| 542,279 | 510,085 | Series 2003-K, Class 1A2, VAR, 4.49%, 11/25/33 | 542,279 | 510,085 |
|
| 307,381 | 297,775 | Series 2004-7, Class 2A2, 5.00%, 07/25/19 | 307,381 | 297,775 |
|
| 527,724 | 520,462 | Series 2004-EE, Class 3A1, VAR, 4.02%, 12/25/34 | 527,724 | 520,462 |
|
| 661,464 | 646,152 | Series 2004-P, Class 2A1, VAR, 4.23%, 09/25/34 | 661,464 | 646,152 |
|
| 600,000 | 593,285 | Series 2004-S, Class A5, VAR, 3.54%, 09/25/34 | 600,000 | 593,285 |
|
| 324,572 | 321,367 | Series 2005-AR10, Class 2A4, VAR, 4.11%, 06/25/35 | 324,572 | 321,367 |
|
| 254,730 | 245,486 | Series 2005-AR16, Class 2A1, VAR, 4.94%, 10/25/35 | 254,730 | 245,486 |
| - |
| 38,959,318 |
|
| 38,959,318 |
|
|
|
| Total Collateralized Mortgage Obligations |
|
|
| 70,764,372 |
| 96,406,831 | (Cost $70,138,202, $98,659,162 and $168,797,364, respectively) |
| 167,171,203 |
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities -- 0.9% |
|
|
|
| 550,000 |
| Banc of America Commercial Mortgage, Inc., | 550,000 |
|
|
|
| 533,068 | Series 2005-6, Class ASB, VAR, 5.35%, 09/10/47 |
| 533,068 |
|
|
|
| Bear Stearns Commercial Mortgage Securities, |
|
|
|
| 2,859 | 2,862 | Series 2000-WF1, Class A1, VAR, 7.64%, 02/15/32 (y) | 2,859 | 2,862 |
|
| 250,000 | 239,924 | Series 2005-PWR9, Class AAB, 4.80%, 09/11/42 (y) | 250,000 | 239,924 |
|
| 360,000 | 346,435 | Series 2006-PW11, Class A4, VAR, 5.62%, 03/11/39 (y) | 360,000 | 346,435 |
|
| 212,543 | 210,451 | Series 2006-PW14, Class A1, 5.04%, 12/11/38 (y) | 212,543 | 210,451 |
|
| 155,001 |
| Citigroup Commercial Mortgage Trust, | 155,001 |
|
|
|
| 156,082 | Series 2006-C4, Class A1, VAR, 5.92%, 03/15/49 |
| 156,082 |
|
| 90,807 |
| DLJ Commercial Mortgage Corp., | 90,807 |
|
|
|
| 92,479 | Series 1999-CG2, Class A1B, VAR, 7.30%, 06/10/32 |
| 92,479 |
|
|
|
| LB-UBS Commercial Mortgage Trust, |
|
|
|
| 100,000 | 97,510 | Series 2008-C1, Class A2, VAR, 6.15%, 04/15/41 | 100,000 | 97,510 |
|
| 330,000 |
| Merrill Lynch Mortgage Trust, | 330,000 |
|
|
|
| 316,915 | Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43 |
| 316,915 |
|
|
|
| Morgan Stanley Capital I, |
|
|
|
| 198,127 | 197,319 | Series 2006-IQ12, Class A1, 5.26%, 12/15/43 | 198,127 | 197,319 |
|
| 73,087 | 73,475 | Series 2006-T23, Class A1, 5.68%, 08/12/41 | 73,087 | 73,475 |
|
| 200,000 |
| TIAA Retail Commercial Trust (Cayman Islands), | 200,000 |
|
|
|
| 195,933 | Series 2007-C4, Class A3, VAR, 6.10%, 08/15/39 |
| 195,933 |
|
| 450,000 |
| Wachovia Bank Commercial Mortgage Trust, | 450,000 |
|
|
|
| 444,961 | Series 2004-C15, Class A2, 4.04%, 10/15/41 |
| 444,961 |
|
|
|
| Total Commercial Mortgage-Backed Securities |
|
|
| - |
| 2,907,414 | (Cost $0, $2,990,622 and $2,990,622, respectively) |
| 2,907,414 |
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds -- 8.4% |
|
|
|
|
|
| Aerospace & Defense -- 0.1% |
|
|
|
| 135,000 |
| Northrop Grumman Corp., | 135,000 |
|
|
|
| 143,915 | 7.13%, 02/15/11 |
| 143,915 |
|
| 50,213 |
| Systems 2001 AT LLC (Cayman Islands), | 50,213 |
|
|
|
| 51,967 | 7.16%, 12/15/11 (c) (e) |
| 51,967 |
| - |
| 195,882 |
|
| 195,882 |
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics -- 0.0% (g) |
|
|
|
| 50,000 |
| United Parcel Service, Inc., | 50,000 |
|
|
|
| 50,628 | 5.50%, 01/15/18 |
| 50,628 |
|
|
|
|
|
|
|
|
|
|
| Airlines -- 0.1% |
|
|
|
| 85,000 |
| American Airlines, Inc., | 85,000 |
|
|
|
| 82,875 | Series 1999-1, 7.02%, 10/15/09 (c) |
| 82,875 |
|
|
|
| United Air Lines, Inc., |
|
|
|
| 85,174 | 85,493 | Series 2001-1, 6.07%, 03/01/13 | 85,174 | 85,493 |
|
| 54,435 | 53,346 | Series 2001-1, 6.20%, 09/01/10 (f) | 54,435 | 53,346 |
| - |
| 221,714 |
|
| 221,714 |
|
|
|
|
|
|
|
|
|
|
| Automobiles -- 0.1% |
|
|
|
| 350,000 |
| Daimler Finance North America LLC, | 350,000 |
|
|
|
| 359,996 | 7.20%, 09/01/09 |
| 359,996 |
|
|
|
|
|
|
|
|
|
|
| Beverages -- 0.0% (g) |
|
|
|
| 50,000 |
| Coca-Cola Enterprises, Inc., | 50,000 |
|
|
|
| 56,082 | 8.50%, 02/01/12 |
| 56,082 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets -- 1.5% |
|
|
|
|
|
| Bear Stearns Cos., Inc. (The), |
|
|
|
| 100,000 | 98,631 | 3.25%, 03/25/09 (y) | 100,000 | 98,631 |
|
| 100,000 | 96,642 | 5.70%, 11/15/14 (y) | 100,000 | 96,642 |
|
| 250,000 | 247,048 | 6.40%, 10/02/17 (y) | 250,000 | 247,048 |
|
|
|
| Credit Suisse First Boston USA, Inc., |
|
|
|
| 50,000 | 47,694 | 4.88%, 01/15/15 | 50,000 | 47,694 |
|
| 150,000 | 149,767 | 5.50%, 08/15/13 (c) | 150,000 | 149,767 |
|
| 500,000 | 513,336 | 6.13%, 11/15/11 | 500,000 | 513,336 |
|
|
|
| Goldman Sachs Group, Inc. (The), |
|
|
|
| 200,000 | 200,006 | 3.88%, 01/15/09 | 200,000 | 200,006 |
|
| 375,000 | 360,713 | 4.75%, 07/15/13 | 375,000 | 360,713 |
|
| 150,000 | 146,829 | 5.25%, 10/15/13 | 150,000 | 146,829 |
|
| 100,000 | 97,848 | 5.50%, 11/15/14 | 100,000 | 97,848 |
|
| 150,000 | 143,993 | 5.95%, 01/18/18 | 150,000 | 143,993 |
|
| 70,000 | 64,032 | 6.75%, 10/01/37 | 70,000 | 64,032 |
|
| 200,000 | 207,617 | 6.88%, 01/15/11 | 200,000 | 207,617 |
|
|
|
| Lehman Brothers Holdings, Inc., |
|
|
|
| 200,000 | 179,569 | 4.80%, 03/13/14 | 200,000 | 179,569 |
|
| 100,000 | 95,122 | 5.75%, 05/17/13 | 100,000 | 95,122 |
|
| 175,000 | 173,147 | 6.63%, 01/18/12 | 175,000 | 173,147 |
|
|
|
| Merrill Lynch & Co., Inc., |
|
|
|
| 200,000 | 197,712 | 4.13%, 01/15/09 | 200,000 | 197,712 |
|
| 100,000 | 97,223 | 4.79%, 08/04/10 | 100,000 | 97,223 |
|
| 120,000 | 112,517 | 5.45%, 07/15/14 | 120,000 | 112,517 |
|
| 135,000 | 130,842 | 6.15%, 04/25/13 | 135,000 | 130,842 |
|
| 80,000 | 74,131 | 6.40%, 08/28/17 | 80,000 | 74,131 |
|
| 90,000 | 85,655 | 6.88%, 04/25/18 | 90,000 | 85,655 |
|
|
|
| Morgan Stanley, |
|
|
|
| 400,000 | 364,492 | 4.75%, 04/01/14 | 400,000 | 364,492 |
|
| 300,000 | 305,016 | 6.60%, 04/01/12 | 300,000 | 305,016 |
|
| 450,000 | 461,608 | 6.75%, 04/15/11 | 450,000 | 461,608 |
|
| 150,000 |
| State Street Corp., | 150,000 |
|
|
|
| 157,466 | 7.65%, 06/15/10 |
| 157,466 |
|
| 100,000 |
| UBS AG (Switzerland), | 100,000 |
|
|
|
| 95,422 | 5.75%, 04/25/18 |
| 95,422 |
| - |
| 4,904,078 |
|
| 4,904,078 |
|
|
|
|
|
|
|
|
|
|
| Chemicals -- 0.2% |
|
|
|
|
|
| Dow Chemical Co. (The), |
|
|
|
| 110,000 | 113,980 | 6.00%, 10/01/12 | 110,000 | 113,980 |
|
| 150,000 | 154,930 | 6.13%, 02/01/11 | 150,000 | 154,930 |
|
| 30,000 | 31,818 | 7.38%, 11/01/29 | 30,000 | 31,818 |
|
| 80,000 |
| Monsanto Co., | 80,000 |
|
|
|
| 88,108 | 7.38%, 08/15/12 |
| 88,108 |
|
| 50,000 |
| Potash Corp. of Saskatchewan (Canada), | 50,000 |
|
|
|
| 49,871 | 4.88%, 03/01/13 |
| 49,871 |
|
| 90,000 |
| Praxair, Inc., | 90,000 |
|
|
|
| 91,048 | 5.25%, 11/15/14 |
| 91,048 |
| - |
| 529,755 |
|
| 529,755 |
|
|
|
|
|
|
|
|
|
|
| Commercial Banks -- 0.9% |
|
|
|
|
|
| Barclays Bank plc (United Kingdom), |
|
|
|
| 100,000 | 101,162 | 5.45%, 09/12/12 | 100,000 | 101,162 |
|
| 150,000 | 147,029 | 6.05%, 12/04/17 (e) | 150,000 | 147,029 |
|
| 75,000 |
| Branch Banking & Trust Co., | 75,000 |
|
|
|
| 72,394 | 4.88%, 01/15/13 |
| 72,394 |
|
| 50,000 |
| HSBC Holdings plc (United Kingdom), | 50,000 |
|
|
|
| 49,326 | 7.35%, 11/27/32 |
| 49,326 |
|
| 250,000 |
| Huntington National Bank (The), | 250,000 |
|
|
|
| 252,036 | 8.00%, 04/01/10 |
| 252,036 |
|
|
|
| Keycorp, |
|
|
|
| 200,000 | 197,189 | 4.70%, 05/21/09 | 200,000 | 197,189 |
|
| 35,000 | 31,250 | 6.50%, 05/14/13 | 35,000 | 31,250 |
|
| 75,000 |
| Marshall & Ilsley Corp., | 75,000 |
|
|
|
| 72,436 | 5.35%, 04/01/11 |
| 72,436 |
|
| 20,000 |
| National City Bank, | 20,000 |
|
|
|
| 18,071 | VAR, 2.93%, 01/21/10 |
| 18,071 |
|
| 50,000 |
| PNC Funding Corp., | 50,000 |
|
|
|
| 46,316 | 5.25%, 11/15/15 |
| 46,316 |
|
| 50,000 |
| Regions Financial Corp., | 50,000 |
|
|
|
| 45,038 | 7.38%, 12/10/37 |
| 45,038 |
|
| 190,000 |
| Royal Bank of Canada (Canada), | 190,000 |
|
|
|
| 190,371 | 3.88%, 05/04/09 |
| 190,371 |
|
| 250,000 |
| SunTrust Bank, | 250,000 |
|
|
|
| 254,610 | 6.38%, 04/01/11 |
| 254,610 |
|
| 100,000 |
| US Bancorp, | 100,000 |
|
|
|
| 107,361 | 7.50%, 06/01/26 |
| 107,361 |
|
| 250,000 |
| U.S. Bank N.A., | 250,000 |
|
|
|
| 259,387 | 7.13%, 12/01/09 |
| 259,387 |
|
|
|
| Wachovia Bank N.A., |
|
|
|
| 250,000 | 217,848 | 6.60%, 01/15/38 | 250,000 | 217,848 |
|
| 100,000 | 105,386 | 7.80%, 08/18/10 | 100,000 | 105,386 |
|
|
|
| Wachovia Corp., |
|
|
|
| 240,000 | 239,827 | 3.50%, 08/15/08 | 240,000 | 239,827 |
|
| 150,000 | 148,300 | 3.63%, 02/17/09 | 150,000 | 148,300 |
|
| 260,000 |
| Wells Fargo & Co., | 260,000 |
|
|
|
| 258,825 | 3.13%, 04/01/09 |
| 258,825 |
| - |
| 2,814,162 |
|
| 2,814,162 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment -- 0.0% (g) |
|
|
|
| 80,000 |
| Cisco Systems, Inc., | 80,000 |
|
|
|
| 80,713 | 5.50%, 02/22/16 |
| 80,713 |
|
|
|
|
|
|
|
|
|
|
| Computers & Peripherals -- 0.1% |
|
|
|
|
|
| International Business Machines Corp., |
|
|
|
| 150,000 | 151,509 | 5.39%, 01/22/09 | 150,000 | 151,509 |
|
| 50,000 | 50,052 | 6.22%, 08/01/27 | 50,000 | 50,052 |
| - |
| 201,561 |
|
| 201,561 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance -- 0.5% |
|
|
|
|
|
| Capital One Financial Corp., |
|
|
|
| 65,000 | 61,824 | 5.70%, 09/15/11 | 65,000 | 61,824 |
|
| 185,000 | 180,701 | 6.25%, 11/15/13 (c) | 185,000 | 180,701 |
|
|
|
| HSBC Finance Corp., |
|
|
|
| 150,000 | 141,784 | 5.00%, 06/30/15 | 150,000 | 141,784 |
|
| 150,000 | 146,342 | 5.25%, 01/15/14 | 150,000 | 146,342 |
|
| 500,000 | 503,998 | 6.50%, 11/15/08 | 500,000 | 503,998 |
|
| 40,000 |
| International Lease Finance Corp., | 40,000 |
|
|
|
| 35,687 | 5.88%, 05/01/13 |
| 35,687 |
|
| 20,000 |
| John Deere Capital Corp., | 20,000 |
|
|
|
| 19,750 | 4.50%, 04/03/13 |
| 19,750 |
|
|
|
| SLM Corp., |
|
|
|
| 150,000 | 139,734 | Series A, 4.00%, 01/15/10 | 150,000 | 139,734 |
|
| 100,000 | 88,077 | Series A, 5.38%, 01/15/13 | 100,000 | 88,077 |
|
| 100,000 |
| Toyota Motor Credit Corp., | 100,000 |
|
|
|
| 99,963 | 2.88%, 08/01/08 |
| 99,963 |
|
| 100,000 |
| Washington Mutual Financial Corp., | 100,000 |
|
|
|
| 102,585 | 6.88%, 05/15/11 |
| 102,585 |
| - |
| 1,520,445 |
|
| 1,520,445 |
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services -- 1.3% |
|
|
|
| 60,000 |
| Allstate Life Global Funding Trusts, | 60,000 |
|
|
|
| 59,765 | 5.38%, 04/30/13 |
| 59,765 |
|
| 250,000 |
| Associates Corp. of North America, | 250,000 |
|
|
|
| 259,925 | 8.55%, 07/15/09 |
| 259,925 |
|
|
|
| Bank of America Corp., |
|
|
|
| 205,000 | 191,385 | 5.65%, 05/01/18 | 205,000 | 191,385 |
|
| 570,000 | 594,913 | 7.80%, 02/15/10 | 570,000 | 594,913 |
|
| 40,000 |
| BHP Billiton Finance USA Ltd. (Australia), | 40,000 |
|
|
|
| 38,180 | 5.40%, 03/29/17 |
| 38,180 |
|
| 150,000 |
| CIT Group, Inc., | 150,000 |
|
|
|
| 124,677 | 7.63%, 11/30/12 (c) |
| 124,677 |
|
|
|
| Citigroup, Inc., |
|
|
|
| 150,000 | 136,346 | 4.70%, 05/29/15 | 150,000 | 136,346 |
|
| 300,000 | 295,143 | 5.63%, 08/27/12 | 300,000 | 295,143 |
|
| 100,000 | 95,697 | 6.13%, 05/15/18 | 100,000 | 95,697 |
|
|
|
| General Electric Capital Corp., |
|
|
|
| 200,000 | 195,934 | 4.80%, 05/01/13 | 200,000 | 195,934 |
|
| 100,000 | 100,975 | 5.25%, 10/19/12 | 100,000 | 100,975 |
|
| 400,000 | 386,822 | 5.63%, 05/01/18 | 400,000 | 386,822 |
|
| 100,000 | 90,627 | 5.88%, 01/14/38 (c) | 100,000 | 90,627 |
|
| 500,000 | 525,667 | 7.38%, 01/19/10 (c) | 500,000 | 525,667 |
|
| 390,000 | 404,617 | Series A, 5.88%, 02/15/12 | 390,000 | 404,617 |
|
| 110,000 | 113,672 | Series A, 6.00%, 06/15/12 | 110,000 | 113,672 |
|
| 200,000 | 201,390 | Series A, 6.75%, 03/15/32 | 200,000 | 201,390 |
|
| 165,000 |
| Genworth Global Funding Trusts, | 165,000 |
|
|
|
| 165,045 | 5.20%, 10/08/10 |
| 165,045 |
|
| 130,000 |
| Textron Financial Corp., | 130,000 |
|
|
|
| 131,435 | 5.13%, 02/03/11 |
| 131,435 |
| - |
| 4,112,215 |
|
| 4,112,215 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services -- 0.9% |
|
|
|
|
|
| AT&T, Inc., |
|
|
|
| 125,000 | 124,567 | 4.95%, 01/15/13 | 125,000 | 124,567 |
|
| 50,000 | 48,450 | 5.50%, 02/01/18 | 50,000 | 48,450 |
|
| 70,000 | 68,298 | 5.60%, 05/15/18 | 70,000 | 68,298 |
|
| 100,000 |
| BellSouth Corp., | 100,000 |
|
|
|
| 98,547 | 5.20%, 09/15/14 |
| 98,547 |
|
|
|
| Bellsouth Telecommunications, Inc., |
|
|
|
| 261,685 | 265,432 | 6.30%, 12/15/15 | 261,685 | 265,432 |
|
| 400,000 |
| British Telecommunications plc (United Kingdom), | 400,000 |
|
|
|
| 429,500 | 8.62%, 12/15/10 |
| 429,500 |
|
| 180,000 |
| France Telecom S.A. (France), | 180,000 |
|
|
|
| 190,627 | 7.75%, 03/01/11 |
| 190,627 |
|
| 150,000 |
| Nynex Capital Funding Co., | 150,000 |
|
|
|
| 154,200 | SUB, 8.23%, 10/15/09 |
| 154,200 |
|
|
|
| Sprint Capital Corp., |
|
|
|
| 100,000 | 99,000 | 8.38%, 03/15/12 | 100,000 | 99,000 |
|
| 60,000 | 57,150 | 8.75%, 03/15/32 | 60,000 | 57,150 |
|
|
|
| Telecom Italia Capital S.A. (Luxembourg), |
|
|
|
| 50,000 | 45,763 | 4.95%, 09/30/14 | 50,000 | 45,763 |
|
| 130,000 | 122,804 | 5.25%, 11/15/13 | 130,000 | 122,804 |
|
| 100,000 |
| Telefonica Emisones S.A.U. (Spain), | 100,000 |
|
|
|
| 100,668 | 5.86%, 02/04/13 |
| 100,668 |
|
| 115,000 |
| TELUS Corp. (Canada), | 115,000 |
|
|
|
| 123,472 | 8.00%, 06/01/11 |
| 123,472 |
|
| 650,000 |
| Verizon Global Funding Corp., | 650,000 |
|
|
|
| 690,073 | 7.25%, 12/01/10 |
| 690,073 |
|
| 100,000 |
| Verizon Pennsylvania, Inc., | 100,000 |
|
|
|
| 112,303 | 8.35%, 12/15/30 |
| 112,303 |
|
| 100,000 |
| Verizon Virginia, Inc., | 100,000 |
|
|
|
| 96,668 | Series A, 4.63%, 03/15/13 |
| 96,668 |
| - |
| 2,827,522 |
|
| 2,827,522 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities -- 0.4% |
|
|
|
| 25,000 |
| Alabama Power Co., | 25,000 |
|
|
|
| 25,211 | 6.13%, 05/15/38 |
| 25,211 |
|
| 100,000 |
| Carolina Power & Light Co., | 100,000 |
|
|
|
| 100,622 | 5.13%, 09/15/13 |
| 100,622 |
|
| 100,000 |
| CenterPoint Energy Houston Electric LLC, | 100,000 |
|
|
|
| 99,633 | Series M2, 5.75%, 01/15/14 |
| 99,633 |
|
| 40,000 |
| Columbus Southern Power Co., | 40,000 |
|
|
|
| 39,768 | 6.05%, 05/01/18 |
| 39,768 |
|
| 75,000 |
| Duke Energy Corp., | 75,000 |
|
|
|
| 73,145 | 5.10%, 04/15/18 |
| 73,145 |
|
| 150,000 |
| Exelon Generation Co. LLC, | 150,000 |
|
|
|
| 155,036 | 6.95%, 06/15/11 |
| 155,036 |
|
|
|
| Florida Power & Light Co., |
|
|
|
| 30,000 | 29,600 | 5.95%, 10/01/33 | 30,000 | 29,600 |
|
| 30,000 | 29,657 | 5.95%, 02/01/38 (c) | 30,000 | 29,657 |
|
| 75,000 |
| Pacific Gas & Electric Co., | 75,000 |
|
|
|
| 74,709 | 5.63%, 11/30/17 (c) |
| 74,709 |
|
| 75,000 |
| Potomac Electric Power, | 75,000 |
|
|
|
| 73,236 | 6.50%, 11/15/37 |
| 73,236 |
|
| 65,000 |
| PSEG Power LLC, | 65,000 |
|
|
|
| 69,260 | 7.75%, 04/15/11 |
| 69,260 |
|
| 175,000 |
| Public Service Co. of Oklahoma, | 175,000 |
|
|
|
| 165,130 | Series G, 6.63%, 11/15/37 |
| 165,130 |
|
|
|
| Virginia Electric and Power Co., |
|
|
|
| 140,000 | 140,070 | 5.10%, 11/30/12 | 140,000 | 140,070 |
|
| 50,000 | 48,267 | 5.40%, 04/30/18 | 50,000 | 48,267 |
|
| 70,000 | 70,347 | 5.95%, 09/15/17 | 70,000 | 70,347 |
| - |
| 1,193,691 |
|
| 1,193,691 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing -- 0.0% (g) |
|
|
|
| 150,000 |
| Kroger Co. (The), | 150,000 |
|
|
|
| 156,976 | 8.05%, 02/01/10 |
| 156,976 |
| - |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food Products -- 0.1% |
|
|
|
| 50,000 |
| Kellogg Co., | 50,000 |
|
|
|
| 48,572 | 4.25%, 03/06/13 |
| 48,572 |
|
|
|
| Kraft Foods, Inc., |
|
|
|
| 165,000 | 160,393 | 6.13%, 02/01/18 | 165,000 | 160,393 |
|
| 100,000 | 97,221 | 6.88%, 02/01/38 | 100,000 | 97,221 |
| - |
| 306,186 |
|
| 306,186 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities -- 0.0% (g) |
|
|
|
| 25,000 |
| CenterPoint Energy Resources Corp., | 25,000 |
|
|
|
| 24,353 | 6.13%, 11/01/17 (c) |
| 24,353 |
|
| 80,000 |
| KeySpan Gas East Corp., | 80,000 |
|
|
|
| 84,101 | 7.88%, 02/01/10 |
| 84,101 |
|
| 50,000 |
| TransCanada Pipelines Ltd. (Canada), | 50,000 |
|
|
|
| 47,022 | 4.00%, 06/15/13 |
| 47,022 |
| - |
| 155,476 |
|
| 155,476 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates -- 0.1% |
|
|
|
| 250,000 |
| General Electric Co., | 250,000 |
|
|
|
| 251,800 | 5.00%, 02/01/13 |
| 251,800 |
|
|
|
|
|
|
|
|
|
|
| Insurance -- 0.8% |
|
|
|
| 130,000 |
| American International Group, Inc., | 130,000 |
|
|
|
| 119,373 | 4.25%, 05/15/13 |
| 119,373 |
|
| 300,000 |
| ASIF Global Financing XIX, | 300,000 |
|
|
|
| 288,225 | 4.90%, 01/17/13 (e) |
| 288,225 |
|
| 250,000 |
| ASIF Global Financing XXIII, | 250,000 |
|
|
|
| 249,151 | 3.90%, 10/22/08 (e) |
| 249,151 |
|
| 200,000 |
| Jackson National Life Global Funding, | 200,000 |
|
|
|
| 207,366 | 6.13%, 05/30/12 (e) |
| 207,366 |
|
|
|
| John Hancock Global Funding II, |
|
|
|
| 100,000 | 99,800 | 3.50%, 01/30/09 (e) | 100,000 | 99,800 |
|
| 100,000 | 106,524 | 7.90%, 07/02/10 (e) | 100,000 | 106,524 |
|
| 200,000 |
| MassMutual Global Funding II, | 200,000 |
|
|
|
| 198,335 | 3.50%, 03/15/10 (e) |
| 198,335 |
|
| 100,000 |
| Metropolitan Life Global Funding I, | 100,000 |
|
|
|
| 98,253 | 5.20%, 09/18/13 (e) |
| 98,253 |
|
| 150,000 |
| Monumental Global Funding II, | 150,000 |
|
|
|
| 148,752 | 4.38%, 07/30/09 (e) |
| 148,752 |
|
| 100,000 |
| Nationwide Financial Services, | 100,000 |
|
|
|
| 101,906 | 6.25%, 11/15/11 |
| 101,906 |
|
|
|
| New York Life Global Funding, |
|
|
|
| 75,000 | 75,164 | 3.88%, 01/15/09 (e) | 75,000 | 75,164 |
|
| 250,000 | 255,495 | 5.38%, 09/15/13 (e) | 250,000 | 255,495 |
|
| 145,000 |
| Pacific Life Global Funding, | 145,000 |
|
|
|
| 144,902 | 3.75%, 01/15/09 (e) |
| 144,902 |
|
| 300,000 |
| Principal Life Global Funding I, | 300,000 |
|
|
|
| 314,275 | 6.25%, 02/15/12 (e) |
| 314,275 |
|
|
|
| Protective Life Secured Trust, |
|
|
|
| 85,000 | 84,191 | 4.00%, 10/07/09 | 85,000 | 84,191 |
|
| 200,000 | 194,842 | 4.00%, 04/01/11 | 200,000 | 194,842 |
|
| 25,000 |
| Travelers Cos., Inc. (The), | 25,000 |
|
|
|
| 24,324 | 5.80%, 05/15/18 |
| 24,324 |
|
|
|
|
|
|
|
| - |
| 2,710,878 |
|
| 2,710,878 |
|
|
|
|
|
|
|
|
|
|
| Machinery -- 0.0% (g) |
|
|
|
| 25,000 |
| Parker-Hannifin Corp., | 25,000 |
|
|
|
| 25,079 | 5.50%, 05/15/18 |
| 25,079 |
|
|
|
|
|
|
|
|
|
|
| Media -- 0.3% |
|
|
|
| 125,000 |
| Comcast Cable Communications Holdings, Inc., | 125,000 |
|
|
|
| 131,781 | 7.13%, 06/15/13 |
| 131,781 |
|
| 335,000 |
| Comcast Cable Holdings LLC | 335,000 |
|
|
|
| 377,618 | 9.80%, 02/01/12 |
| 377,618 |
|
|
|
| Comcast Corp., |
|
|
|
| 100,000 | 100,075 | 5.50%, 03/15/11 | 100,000 | 100,075 |
|
| 50,000 | 48,854 | 5.90%, 03/15/16 | 50,000 | 48,854 |
|
| 100,000 |
| Historic TW, Inc., | 100,000 |
|
|
|
| 114,729 | 9.15%, 02/01/23 |
| 114,729 |
|
|
|
| Time Warner Entertainment Co. LP, |
|
|
|
| 50,000 | 53,880 | 8.38%, 03/15/23 | 50,000 | 53,880 |
|
| 150,000 | 168,395 | 10.15%, 05/01/12 | 150,000 | 168,395 |
| - |
| 995,332 |
|
| 995,332 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining -- 0.0% (g) |
|
|
|
| 100,000 |
| Alcoa, Inc., | 100,000 |
|
|
|
| 93,635 | 5.55%, 02/01/17 |
| 93,635 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities -- 0.1% |
|
|
|
| 130,000 |
| DTE Energy Co., | 130,000 |
|
|
|
| 131,895 | Series A, 6.65%, 04/15/09 |
| 131,895 |
|
| 150,000 |
| Duke Energy Carolinas LLC, | 150,000 |
|
|
|
| 154,341 | 5.63%, 11/30/12 |
| 154,341 |
| - |
| 286,236 |
|
| 286,236 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels -- 0.1% |
|
|
|
| 100,000 |
| Canadian Natural Resources Ltd. (Canada), | 100,000 |
|
|
|
| 99,360 | 5.90%, 02/01/18 |
| 99,360 |
|
| 75,000 |
| ConocoPhillips Canada Funding Co. (Canada), | 75,000 |
|
|
|
| 76,409 | 5.63%, 10/15/16 (c) |
| 76,409 |
|
| 125,000 |
| ConocoPhillips Co., | 125,000 |
|
|
|
| 136,031 | 8.75%, 05/25/10 |
| 136,031 |
|
| 150,000 |
| Marathon Oil Corp., | 150,000 |
|
|
|
| 149,144 | 6.00%, 10/01/17 |
| 149,144 |
| - |
| 460,944 |
|
| 460,944 |
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products -- 0.1% |
|
|
|
|
|
| International Paper Co., |
|
|
|
| 165,000 | 159,741 | 4.00%, 04/01/10 | 165,000 | 159,741 |
|
| 55,000 | 54,820 | 4.25%, 01/15/09 | 55,000 | 54,820 |
|
| 100,000 |
| Weyerhaeuser Co., | 100,000 |
|
|
|
| 102,992 | 6.75%, 03/15/12 |
| 102,992 |
| - |
| 317,553 |
|
| 317,553 |
|
|
|
|
|
|
|
|
|
|
| Personal Products -- 0.0% (g) |
|
|
|
| 93,384 |
| Procter & Gamble - Esop, | 93,384 |
|
|
|
| 117,333 | Series A, 9.36%, 01/01/21 |
| 117,333 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals -- 0.0% (g) |
|
|
|
| 35,000 |
| AstraZeneca plc (United Kingdom), | 35,000 |
|
|
|
| 35,837 | 5.40%, 06/01/14 |
| 35,837 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) -- 0.1% |
|
|
|
| 100,000 |
| HRPT Properties Trust, | 100,000 |
|
|
|
| 91,864 | 6.65%, 01/15/18 |
| 91,864 |
|
|
|
| Simon Property Group LP, |
|
|
|
| 50,000 | 48,348 | 5.63%, 08/15/14 | 50,000 | 48,348 |
|
| 20,000 | 19,570 | 6.10%, 05/01/16 | 20,000 | 19,570 |
| - |
| 159,782 |
|
| 159,782 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development -- 0.0% (g) |
|
|
|
| 30,000 |
| ERP Operating LP, | 30,000 |
|
|
|
| 29,755 | 4.75%, 06/15/09 |
| 29,755 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail -- 0.1% |
|
|
|
|
|
| Burlington Northern Santa Fe Corp., |
|
|
|
| 60,000 | 60,551 | 6.13%, 03/15/09 | 60,000 | 60,551 |
|
| 150,000 | 157,918 | 7.13%, 12/15/10 | 150,000 | 157,918 |
| - |
| 218,469 |
|
| 218,469 |
|
|
|
|
|
|
|
|
|
|
| Software -- 0.0% (g) |
|
|
|
| 50,000 |
| Oracle Corp., | 50,000 |
|
|
|
| 49,957 | 5.75%, 04/15/18 |
| 49,957 |
|
| 50,000 |
| Oracle Corp. and Ozark Holding, Inc., | 50,000 |
|
|
|
| 49,199 | 5.25%, 01/15/16 |
| 49,199 |
| - |
| 99,156 |
|
| 99,156 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail -- 0.0% (g) |
|
|
|
| 30,000 |
| Home Depot, Inc., | 30,000 |
|
|
|
| 27,548 | 5.40%, 03/01/16 |
| 27,548 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance -- 0.3% |
|
|
|
| 250,000 |
| Countrywide Home Loans, Inc., | 250,000 |
|
|
|
| 227,596 | 4.00%, 03/22/11 |
| 227,596 |
|
| 250,000 |
| Washington Mutual Bank, | 250,000 |
|
|
|
| 195,000 | 5.65%, 08/15/14 |
| 195,000 |
|
|
|
| Washington Mutual, Inc., |
|
|
|
| 90,000 | 78,300 | 4.20%, 01/15/10 | 90,000 | 78,300 |
|
| 50,000 | 36,937 | 7.25%, 11/01/17 | 50,000 | 36,937 |
|
| 300,000 |
| World Savings Bank FSB, | 300,000 |
|
|
|
| 299,676 | 4.50%, 06/15/09 (c) |
| 299,676 |
| - |
| 837,509 |
|
| 837,509 |
|
|
|
|
|
|
|
|
|
|
| Water Utilities -- 0.0% (g) |
|
|
|
| 100,000 |
| American Water Capital Corp., | 100,000 |
|
|
|
| 95,920 | 6.09%, 10/15/17 |
| 95,920 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services -- 0.2% |
|
|
|
| 150,000 |
| AT&T Wireless Services, Inc., | 150,000 |
|
|
|
| 159,698 | 7.88%, 03/01/11 |
| 159,698 |
|
| 380,000 |
| Sprint Nextel Corp., | 380,000 |
|
|
|
| 326,800 | 6.00%, 12/01/16 |
| 326,800 |
|
| 50,000 |
| Vodafone Group plc (United Kingdom), | 50,000 |
|
|
|
| 47,308 | 5.00%, 09/15/15 |
| 47,308 |
| - |
| 533,806 |
|
| 533,806 |
|
|
|
| Total Corporate Bonds |
|
|
| - |
| 26,983,654 | (Cost $0, $27,233,726 and $27,233,726, respectively) |
| 26,983,654 |
|
|
|
|
|
|
|
|
|
|
| Foreign Government Securities -- 0.2% |
|
|
|
| 400,000 |
| Province of Quebec (Canada), | 400,000 |
|
|
|
| 406,437 | 5.75%, 02/15/09 |
| 406,437 |
|
|
|
| United Mexican States (Mexico), |
|
|
|
| 150,000 | 150,450 | 4.63%, 10/08/08 | 150,000 | 150,450 |
|
| 100,000 | 107,380 | 6.63%, 03/03/15 | 100,000 | 107,380 |
|
|
|
| Total Foreign Government Securities |
|
|
| - |
| 664,267 | (Cost $0, $650,992 and $650,992, respectively) |
| 664,267 |
|
|
|
|
|
|
|
|
|
|
| Mortgage Pass-Through Securities -- 10.6% |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. Conventional Pools, |
|
|
|
| 371,754 | 372,757 | ARM, 4.14%, 04/01/34 | 371,754 | 372,757 |
|
| 254,517 | 257,642 | ARM, 4.64%, 03/01/35 | 254,517 | 257,642 |
166,990 | 168,191 |
|
| ARM, 6.25%, 01/01/27 | 166,990 | 168,191 |
45,793 | 46,285 |
|
| ARM, 6.45%, 04/01/30 | 45,793 | 46,285 |
|
|
|
| 30 Year, Single Family, |
|
|
14,121 | 14,495 |
|
| 9.00%, 12/01/09 | 14,121 | 14,495 |
|
| 55,411 | 62,711 | 10.00%, 01/01/20-09/01/20 | 55,411 | 62,711 |
|
| 5,177 | 5,878 | 12.00%, 07/01/19 | 5,177 | 5,878 |
|
|
|
| Federal Home Loan Mortgage Corp. Gold Pools, |
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
| 1,268,894 | 1,220,679 | 4.00%, 05/01/14-05/01/19 | 1,268,894 | 1,220,679 |
|
| 633,976 | 618,452 | 4.50%, 08/01/18-05/01/19 | 633,976 | 618,452 |
279,067 | 278,609 |
|
| 5.00%, 12/01/13 - 04/01/14 | 279,067 | 278,609 |
83,522 | 84,593 |
|
| 5.50%, 03/01/14 | 83,522 | 84,593 |
27,892 | 28,578 |
|
| 6.00%, 04/01/14 | 27,892 | 28,578 |
63,694 | 66,610 | 524,047 | 546,092 | 6.50%, 06/01/14 - 02/01/19 | 587,741 | 612,702 |
12,298 | 12,738 | 290,807 | 305,058 | 7.00%, 02/01/11 - 01/01/17 | 303,105 | 317,796 |
8,197 | 8,282 | 3,903 | 3,944 | 7.50%, 09/01/10 | 12,100 | 12,226 |
679 | 698 | 40,286 | 44,751 | 8.50%, 12/01/09 - 11/01/15 | 40,965 | 45,449 |
|
| 2,503 | 2,615 | 9.00%, 06/01/10 | 2,503 | 2,615 |
|
|
|
| 20 Year, Single Family, |
|
|
|
| 127,482 | 130,276 | 6.00%, 12/01/22 | 127,482 | 130,276 |
|
| 232,788 | 242,524 | 6.50%, 11/01/22 | 232,788 | 242,524 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 427,416 | 388,010 | 4.00%, 09/01/35 | 427,416 | 388,010 |
|
| 276,910 | 274,358 | 5.50%, 10/01/33 | 276,910 | 274,358 |
216,974 | 221,040 | 281,595 | 285,549 | 6.00%, 04/01/26 - 02/01/35 | 498,569 | 506,589 |
1,062,229 | 1,105,260 | 187,400 | 193,897 | 6.50%, 11/01/25 - 11/01/34 | 1,249,629 | 1,299,157 |
|
| 189,805 | 200,436 | 7.00%, 04/01/35 | 189,805 | 200,436 |
14,815 | 16,382 |
|
| 8.50%, 07/01/28 | 14,815 | 16,382 |
|
|
|
| Other, |
|
|
|
| 299,679 | 312,207 | 7.00%, 07/01/29 | 299,679 | 312,207 |
|
|
|
| Federal National Mortgage Association Pools, |
|
|
|
| 342,301 | 346,341 | ARM, 3.80%, 07/01/33 | 342,301 | 346,341 |
|
| 337,976 | 340,798 | ARM, 4.12%, 01/01/34 | 337,976 | 340,798 |
|
| 244,926 | 246,290 | ARM, 4.23%, 10/01/34 | 244,926 | 246,290 |
|
| 308,549 | 309,648 | ARM, 4.27%, 05/01/35 | 308,549 | 309,648 |
|
| 117,713 | 121,467 | ARM, 4.71%, 04/01/34 | 117,713 | 121,467 |
|
| 15,021 | 15,050 | ARM, 4.73%, 03/01/29 | 15,021 | 15,050 |
|
| 634,575 | 643,515 | ARM, 4.77%, 08/01/34 | 634,575 | 643,515 |
|
| 802,829 | 810,865 | ARM, 4.83%, 01/01/35 | 802,829 | 810,865 |
|
| 307,100 | 311,063 | ARM, 4.89%, 04/01/33 | 307,100 | 311,063 |
|
| 6,019 | 6,036 | ARM, 5.74%, 03/01/19 | 6,019 | 6,036 |
|
|
|
| 15 Year, Single Family, |
|
|
|
| 646,065 | 598,316 | 3.50%, 09/01/18-06/01/19 | 646,065 | 598,316 |
|
| 3,402,580 | 3,235,003 | 4.00%, 07/01/18-12/01/18 | 3,402,580 | 3,235,003 |
|
| 645,356 | 629,926 | 4.50%, 07/01/18-07/25/23 | 645,356 | 629,926 |
|
| 68,956 | 68,870 | 5.00%, 06/01/18 | 68,956 | 68,870 |
677,371 | 689,007 |
|
| 5.50%, 11/01/16 | 677,371 | 689,007 |
118,929 | 122,280 | 531,969 | 546,774 | 6.00%, 04/01/13 - 07/25/23 | 650,898 | 669,054 |
57,553 | 59,970 | 177,186 | 184,455 | 6.50%, 11/01/11 - 08/01/20 | 234,739 | 244,425 |
233,093 | 243,801 | 55,343 | 57,910 | 8.00%, 11/01/12 - 01/01/16 | 288,436 | 301,711 |
|
|
|
| 20 Year, Single Family, |
|
|
|
| 284,013 | 267,520 | 4.50%, 01/01/25 | 284,013 | 267,520 |
1,180,830 | 1,152,322 |
|
| 5.00%, 11/01/23 | 1,180,830 | 1,152,322 |
1,140,293 | 1,164,454 |
|
| 6.00%, 03/01/22 | 1,140,293 | 1,164,454 |
|
| 393,170 | 409,030 | 6.50%, 03/01/19-12/01/22 | 393,170 | 409,030 |
|
|
|
| 30 Year, FHA/VA, |
|
|
|
| 112,943 | 123,603 | 8.50%, 10/01/26-06/01/30 | 112,943 | 123,603 |
|
| 107,926 | 118,743 | 9.00%, 04/01/25 | 107,926 | 118,743 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 383,825 | 331,966 | 3.00%, 09/01/31 | 383,825 | 331,966 |
796,986 | 739,111 | 882,122 | 821,068 | 4.50%, 08/01/33-03/01/38 | 1,679,108 | 1,560,179 |
1,925,722 | 1,857,757 | 445,405 | 428,432 | 5.00%, 11/01/33 - 09/01/35 | 2,371,127 | 2,286,189 |
2,673,841 | 2,651,228 | 740,300 | 734,040 | 5.50%, 12/01/33-01/01/34 | 3,414,141 | 3,385,268 |
|
| 1,391,868 | 1,415,636 | 6.00%, 01/01/29-09/01/33 | 1,391,868 | 1,415,636 |
397,981 | 413,755 |
|
| 6.50%, 09/01/25 - 04/01/32 | 397,981 | 413,755 |
|
| 8,828 | 9,335 | 7.00%, 08/01/32 | 8,828 | 9,335 |
52,608 | 56,688 |
|
| 7.50%, 03/01/30 - 08/01/30 | 52,608 | 56,688 |
|
| 263,755 | 286,700 | 8.00%, 03/01/27-11/01/28 | 263,755 | 286,700 |
|
|
|
| Other, |
|
|
|
| 367,364 | 361,968 | 4.00%, 09/01/13 | 367,364 | 361,968 |
|
| 542,039 | 539,146 | 4.50%, 11/01/14 | 542,039 | 539,146 |
|
| 169,734 | 168,299 | 5.50%, 09/01/33 | 169,734 | 168,299 |
311,364 | 317,098 | 19,755 | 19,971 | 6.00%, 05/01/09 - 09/01/28 | 331,119 | 337,069 |
|
| 519,006 | 534,971 | 6.50%, 10/01/35 | 519,006 | 534,971 |
77,883 | 82,569 |
|
| 7.50%, 02/01/13 | 77,883 | 82,569 |
|
|
|
| Government National Mortgage Association Pool, |
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
| 53,572 | 56,901 | 8.00%, 01/15/16 | 53,572 | 56,901 |
|
|
|
| 30 Year, Single Family, |
|
|
|
| 16,626 | 17,283 | 6.50%, 10/15/28 | 16,626 | 17,283 |
|
| 34,527 | 37,041 | 7.00%, 06/15/33 | 34,527 | 37,041 |
|
| 11,178 | 12,034 | 7.50%, 09/15/28 | 11,178 | 12,034 |
|
| 47,770 | 52,136 | 8.00%, 09/15/22-05/15/28 | 47,770 | 52,136 |
|
| 4,822 | 5,307 | 8.50%, 05/20/25 | 4,822 | 5,307 |
|
|
|
| Government National Mortgage Association I Pools, |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
24,547 | 25,518 |
|
| 6.50%, 03/15/28 - 09/15/28 | 24,547 | 25,518 |
41,058 | 43,800 |
|
| 7.00%, 12/15/25 - 06/15/28 | 41,058 | 43,800 |
28,625 | 30,808 |
|
| 7.50%, 05/15/23 - 09/15/25 | 28,625 | 30,808 |
46,804 | 51,237 |
|
| 8.00%, 10/15/27 | 46,804 | 51,237 |
14,376 | 15,752 |
|
| 9.00%, 11/15/24 | 14,376 | 15,752 |
|
|
|
| Government National Mortgage Association II Pools, |
|
|
738,097 | 731,615 |
|
| ARM, 4.50%, 07/20/34 | 738,097 | 731,615 |
972,842 | 978,255 |
|
| ARM, 5.50%, 09/20/34 | 972,842 | 978,255 |
10,526 | 10,638 |
|
| ARM, 5.63%, 07/20/27 | 10,526 | 10,638 |
|
|
|
| 30 Year, Single Family, |
|
|
130,028 | 141,851 |
|
| 8.00%, 11/20/26 | 130,028 | 141,851 |
7,766 | 8,335 |
|
| 7.50%, 12/20/26 | 7,766 | 8,335 |
|
|
|
| Total Mortgage Pass-Through Securities |
|
|
| 13,639,610 |
| 20,691,293 | (Cost $13,704,713, $20,773,968 and $34,478,681, respectively) |
| 34,330,903 |
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds -- 0.0% (g) |
|
|
|
|
|
| Illinois -- 0.0% (g) |
|
|
|
| 160,000 |
| State of Illinois, Taxable Pension, | 160,000 |
|
|
|
| 150,635 | GO, 5.10%, 06/01/33 (Cost $0, $160,000 and $160,000, respectively) |
| 150,635 |
|
|
|
|
|
|
|
|
|
|
| Supranational -- 0.0% (g) |
|
|
|
| 50,000 |
| Corp. Andina de Fomento (Supranational), | 50,000 |
|
|
|
| 49,392 | 5.20%, 05/21/13 (Cost $0, $49,885 and $49,885, respectively) |
| 49,392 |
|
|
|
|
|
|
|
|
|
|
| U.S. Government Agency Securities -- 7.3% |
|
|
1,500,000 |
|
|
| Federal Farm Credit Bank, | 1,500,000 |
|
| 1,557,439 |
|
| 6.75%, 07/07/09 |
| 1,557,439 |
1,000,000 |
|
|
| Federal Home Loan Bank System, | 1,000,000 |
|
| 1,022,182 |
|
| 5.90%, 03/26/09 (c) |
| 1,022,182 |
|
|
|
| Federal National Mortgage Association, |
|
|
3,000,000 | 1,653,195 |
|
| Zero Coupon, 10/09/19 | 3,000,000 | 1,653,195 |
630,000 | 227,958 |
|
| Zero Coupon, 03/23/28 | 630,000 | 227,958 |
6,000,000 |
|
|
| Federal National Mortgage Association Interest STRIPS, | 6,000,000 |
|
| 3,263,472 |
|
| 09/23/20 |
| 3,263,472 |
|
|
|
| Financing Corp. Principal STRIPS, |
|
|
2,000,000 | 1,236,982 |
|
| 11/02/18 | 2,000,000 | 1,236,982 |
8,000,000 | 4,918,128 |
|
| 12/06/18 | 8,000,000 | 4,918,128 |
4,000,000 |
|
|
| Residual Funding Corp., Principal STRIPS, | 4,000,000 |
|
| 2,261,540 |
|
| 07/15/20 |
| 2,261,540 |
|
|
|
| Resolution Funding Corp., Interest STRIPS, |
|
|
1,000,000 | 662,852 |
|
| 10/15/17 | 1,000,000 | 662,852 |
2,000,000 | 1,162,232 |
|
| 01/15/20 | 2,000,000 | 1,162,232 |
|
|
|
| Tennessee Valley Authority, |
|
|
2,000,000 | 2,149,662 |
|
| 6.00%, 03/15/13 | 2,000,000 | 2,149,662 |
5,000,000 | 3,496,305 |
|
| Zero Coupon, 07/15/16 | 5,000,000 | 3,496,305 |
|
|
|
| Total U.S. Government Agency Securities |
|
|
| 23,611,947 |
| - | (Cost $20,896,984, $0 and $20,896,984, respectively) |
| 23,611,947 |
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations -- 18.6% |
|
|
|
|
|
| U.S. Treasury Bonds, |
|
|
650,000 | 777,308 |
|
| 6.13%, 11/15/27 (c) | 650,000 | 777,308 |
2,700,000 | 3,317,415 |
|
| 7.25%, 05/15/16 - 08/15/22 (k) (m) | 2,700,000 | 3,317,415 |
1,250,000 | 1,669,531 |
|
| 8.13%, 08/15/19 | 1,250,000 | 1,669,531 |
2,000,000 | 2,806,718 |
|
| 9.13%, 05/15/18 (c) | 2,000,000 | 2,806,718 |
|
|
|
| U.S. Treasury Bonds Coupon STRIPS, |
|
|
|
| 4,000,000 | 3,276,576 | 02/15/14 | 4,000,000 | 3,276,576 |
1,750,000 | 1,364,766 | 825,000 | 643,389 | 02/15/15 | 2,575,000 | 2,008,155 |
|
| 4,500,000 | 3,339,877 | 02/15/16 | 4,500,000 | 3,339,877 |
|
| 1,750,000 | 1,090,803 | 02/15/19 | 1,750,000 | 1,090,803 |
|
| 100,000 | 52,826 | 02/15/22 | 100,000 | 52,826 |
|
| 500,000 | 251,684 | 02/15/23 | 500,000 | 251,684 |
|
| 5,750,000 | 4,660,409 | 05/15/14 | 5,750,000 | 4,660,409 |
500,000 | 385,249 |
|
| 05/15/15 (c) | 500,000 | 385,249 |
400,000 | 291,504 | 1,215,000 | 885,443 | 05/15/16 | 1,615,000 | 1,176,947 |
|
| 4,600,000 | 3,156,497 | 05/15/17 | 4,600,000 | 3,156,497 |
15,000,000 | 8,721,510 |
|
| 05/15/20 | 15,000,000 | 8,721,510 |
2,500,000 | 2,003,398 |
|
| 08/15/14 | 2,500,000 | 2,003,398 |
750,000 | 570,024 | 360,000 | 273,612 | 08/15/15 (c) | 1,110,000 | 843,636 |
|
| 200,000 | 143,951 | 08/15/16 (c) | 200,000 | 143,951 |
4,000,000 | 3,862,784 |
|
| 11/15/09 | 4,000,000 | 3,862,784 |
|
| 200,000 | 173,258 | 11/15/12 | 200,000 | 173,258 |
2,000,000 | 1,583,328 |
|
| 11/15/14 | 2,000,000 | 1,583,328 |
3,000,000 | 2,246,841 | 3,085,000 | 2,310,501 | 11/15/15 (c) | 6,085,000 | 4,557,342 |
|
| 2,900,000 | 2,049,384 | 11/15/16 (c) | 2,900,000 | 2,049,384 |
|
| 2,900,000 | 1,939,262 | 11/15/17 (c) | 2,900,000 | 1,939,262 |
|
| 40,000 |
| U.S. Treasury Bonds Principal STRIPS, | 40,000 |
|
|
|
| 34,786 | 11/15/12 |
| 34,786 |
|
|
|
| U.S. Treasury Inflation Indexed Bonds, |
|
|
617,145 | 671,820 |
|
| 3.50%, 01/15/11 (c) | 617,145 | 671,820 |
|
| 398,460 | 497,235 | 3.63%, 04/15/28 | 398,460 | 497,235 |
|
|
|
| U.S. Treasury Notes, |
|
|
2,250,000 | 2,347,382 |
|
| 4.25%, 08/15/13 (c) | 2,250,000 | 2,347,382 |
2,500,000 | 2,612,890 |
|
| 4.50%, 09/30/11 (c) | 2,500,000 | 2,612,890 |
|
|
|
| Total U.S. Treasury Obligations |
|
|
| 35,232,468 |
| 24,779,493 | (Cost $32,361,944, $23,316,801 and $55,678,745, respectively) |
| 60,011,961 |
|
|
|
| Total Long-Term Investments |
|
|
| 143,248,397 |
| 174,796,590 | (Cost $137,101,843, $176,056,573 and $313,158,416, respectively) |
| 318,044,987 |
|
|
|
|
|
|
|
Shares |
| Shares |
|
| Shares |
|
|
|
|
| Short-Term Investments -- 1.3% |
|
|
|
|
|
| Investment Companies -- 1.3% |
|
|
|
| 1,650,247 | 1,650,246 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) | 1,650,247 | 1,650,246 |
2,350,768 | 2,350,768 |
|
| JPMorgan U.S. Government Money Market Fund, Institutional Shares (b) | 2,350,768 | 2,350,768 |
|
|
|
| Total Investment Companies |
|
|
| 2,350,768 |
| 1,650,246 | (Cost $2,350,768. $1,650,246 and $4,001,014, respectively) |
| 4,001,014 |
|
|
|
|
|
|
|
Principal ($) |
| Principal ($) |
|
| Principal ($) |
|
|
|
|
| Investments of Cash Collateral for Securities on Loan -- 4.6% |
|
|
|
|
|
| Corporate Notes -- 1.1% |
|
|
|
| 750,000 |
| Banque Federative du Credit Mutuel (France), | 750,000 |
|
|
|
| 750,000 | VAR, 2.49%, 08/13/08 |
| 750,000 |
|
| 1,000,000 |
| CDC Financial Products, Inc., | 1,000,000 |
|
|
|
| 1,000,000 | VAR, 2.65%, 07/07/08 |
| 1,000,000 |
|
| 750,000 |
| Macquarie Bank Ltd. (Australia), | 750,000 |
|
|
|
| 750,000 | VAR, 2.51%, 08/20/08 |
| 750,000 |
|
| 1,000,000 |
| Unicredito Italiano Bank Ireland plc (Ireland), | 1,000,000 |
|
|
|
| 1,000,000 | VAR, 2.48%, 08/08/08 |
| 1,000,000 |
| - |
| 3,500,000 |
|
| 3,500,000 |
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreements -- 3.5% |
|
|
1,250,000 |
|
|
| Banc of America Securities LLC, 2.45%, dated 06/30/08, due 07/01/08 | 1,250,000 |
|
| 1,250,000 |
|
| repurchase price $1,250,085, collateralized by U.S. Government Agency Mortgages |
| 1,250,000 |
683,808 |
| 237,684 |
| Barclays Capital, Inc., 2.70%, dated 06/30/08, due 07/01/08, repurchase price $921,561, | 921,492 |
|
| 683,808 |
| 237,684 | collateralized by U.S. Government Agency Mortgages |
| 921,492 |
2,000,000 |
| 500,000 |
| Citigroup Global Markets Inc, 2.51%, dated 06/30/08, due 07/01/08, repurchase price $2,500,174, | 2,500,000 |
|
| 2,000,000 |
| 500,000 | collateralized by U.S. Government Agency Mortgages |
| 2,500,000 |
2,000,000 |
| 750,000 |
| Deutsche Bank Securities Inc., 2.80%, dated 06/30/08, due 07/01/08, repurchase price $2,750,214, | 2,750,000 |
|
| 2,000,000 |
| 750,000 | collateralized by U.S. Government Agency Mortgages |
| 2,750,000 |
2,000,000 |
|
|
| Merrill Lynch Securities, 2.10%, dated 06/30/08, due 07/01/08, repurchase price, | 2,000,000 |
|
| 2,000,000 |
|
| $2,000,117, collateralized by U.S. Government Agency Mortgages |
| 2,000,000 |
2,000,000 |
|
|
| UBS Securities LLC, 2.65%, dated 06/30/08, due 07/01/08, repurchase price | 2,000,000 |
|
| 2,000,000 |
|
| $2,000,147, collateralized by U.S. Government Agency Mortgages |
| 2,000,000 |
| 9,933,808 |
| 1,487,684 |
|
| 11,421,492 |
|
|
|
| Total Investments of Cash Collateral for Securities on Loan |
|
|
| 9,933,808 |
| 4,987,684 | (Cost $9,933,808, $4,987,684 and $14,921,492, respectively) |
| 14,921,492 |
|
|
|
|
|
|
|
|
|
|
| Total Investments -- 104.3% |
| |
| 155,532,973 |
| 181,434,520 | (Cost $149,386,419, $182,694,503 and $332,080,922, respectively) | 336,967,493 | |
| (9,541,306) |
| (4,276,125) | Liabilities in Excess of Other Assets -- (4.3)% | (13,817,431) | |
| $ 145,991,667 |
| $ 177,158,395 | NET ASSETS -- 100.0% | $323,150,062 | |
|
|
|
|
|
|
|
|
|
|
| Percentages indicated are based on net assets. |
|
|
|
|
|
| See notes to pro-forma financial statements. |
|
|
Abbreviations and Definitions: |
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
(b) | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. | |||||||
(c) | Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |||||||
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. 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 Fund owns fair valued securities with a value of approximately $53,346 which amounts to 1.1% of total investments. | |||||||
(g) | Amount rounds to less than 0.1%. |
|
|
|
| |||
(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. | |||||||
(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 currency contracts. | |||||||
(n) | The rate shown is the effective yield at the date of purchase. |
|
| |||||
(y) | Security was purchased prior to its affiliation with JPMorgan Chase & Co. |
|
| |||||
ARM | Adjustable Rate Mortgage |
|
|
|
|
| ||
CMO | Collateralized Mortgage Obligation |
|
|
|
| |||
FHA | Federal Housing Administration |
|
|
|
|
| ||
GO | General Obligation |
|
|
|
|
|
| |
HB | High Coupon Bonds (aka "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's, 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. | |||||||
IF | Inverse Floaters represent securities that pay interest at a right that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of June 30, 2008. The rate may be subject to a cap and floor. | |||||||
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount show represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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. | |||||||
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 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 June 30, 2008. |
| ||||||
VA | Veterans Administration |
|
|
|
|
| ||
VAR | Variable Rate Note. The interest rate shown is the rate in effect as of June 30, 2008. |
| ||||||
|
|
|
|
|
|
|
|
|
JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio |
|
|
|
|
| |||
Pro Forma Combined Statements of Assets and Liabilities |
|
|
|
|
|
|
|
|
As of June 30, 2008 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Acquired Portfolio |
| Acquiring Portfolio |
|
|
|
|
|
| JPMorgan Insurance Trust Government Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Investments in non-affiliates, at value | $ 153,182,205 |
| $ 179,784,274 |
| $ - |
| $ 332,966,479 |
|
Investments in affiliates, at value | 2,350,768 |
| 1,650,246 |
| - |
| 4,001,014 |
|
Total investment securities, at value | 155,532,973 |
| 181,434,520 |
| - |
| 336,967,493 |
|
Cash | 377 |
| 125 |
| - |
| 502 |
|
Receivables: |
|
|
|
|
|
|
|
|
Investment securities sold | 2,158 |
| 16,174 |
| - |
| 18,332 |
|
Portfolio shares sold | 147,764 |
| 132,131 |
| - |
| 279,895 |
|
Interest and dividends | 670,109 |
| 998,883 |
| - |
| 1,668,992 |
|
Total assets | 156,353,381 |
| 182,581,833 |
| - |
| 338,935,214 |
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
Collateral for securities lending program | 9,933,808 |
| 4,987,684 |
| - |
| 14,921,492 |
|
Portfolio shares redeemed | 299,103 |
| 266,449 |
| - |
| 565,552 |
|
Accrued liabilities: |
|
|
|
|
|
|
|
|
Investment advisory fees | 47,140 |
| 52,174 |
| (34,000) | (a) | 65,314 |
|
Administration fees | 12,392 |
| 16,793 |
| - |
| 29,185 |
|
Distribution fees | - |
| 3 |
| - |
| 3 |
|
Custodian and accounting fees | 7,399 |
| 9,657 |
| - |
| 17,056 |
|
Trustees and Chief Compliance Officer's fees | 393 |
| 391 |
| - |
| 784 |
|
Other | 61,479 |
| 90,287 |
| 34,000 | (a) | 185,766 |
|
Total Liabilities | 10,361,714 |
| 5,423,438 |
| - |
| 15,785,152 |
|
Net Assets | $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 323,150,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
Paid in capital | $ 136,964,316 |
| $ 176,347,798 |
| $ - |
| $ 313,312,114 |
|
Accumulated undistributed (overdistributed) |
|
|
|
|
|
|
|
|
net investment income | 3,676,814 |
| 4,441,595 |
| - | 8,118,409 |
| |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
|
investments and futures | (796,017) |
| (2,371,015) |
| - |
| (3,167,032) |
|
Net unrealized appreciation (depreciation) of |
|
|
|
|
|
|
|
|
investments and futures | 6,146,554 |
| (1,259,983) |
| - |
| 4,886,571 |
|
Total Net Assets | $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 323,150,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class 1 Shares | $ 145,991,667 |
| $ 177,141,826 |
| - |
| 323,133,493 | (b) |
Class 2 Shares | - |
| 16,569 |
| - |
| 16,569 | (b) |
Total Net Assets | $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 323,150,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding units of beneficial interest (shares) (unlimited amount authorized, no par value) |
|
|
|
|
|
|
|
|
Shares outstanding |
|
|
|
|
|
|
|
|
Class 1 | 13,183,803 |
| 16,210,150 |
| 173,166 | (c) | 29,567,119 |
|
Class 2 | - |
| 1,518 |
| - |
| 1,518 |
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
Class 1 | $ 11.07 |
| $ 10.93 |
| - |
| $ 10.93 |
|
Class 2 | $ - |
| $ 10.92 |
| - |
| $ 10.92 |
|
|
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates | $ 147,035,651 |
| $ 181,044,257 |
| - |
| $ 475,115,559 |
|
Cost of investments in affiliates | 2,350,768 |
| 1,650,246 |
| - |
| 6,351,782 |
|
|
|
|
|
|
|
|
|
|
(a) Reflects the netting of amounts receivable and payable to and from the custodian. |
|
|
|
|
|
|
| |
(b) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. |
| |||||||
(b) Reflects total combined net assets due to the merger. |
|
|
|
|
|
|
|
|
(a) Reflects the adjustment to the number of shares outstanding due to the merger. |
|
|
|
|
|
|
|
JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio |
|
|
|
|
| |||
Pro Forma Combined Statements of Operations |
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For the Twelve months ended June 30, 2008 (unaudited) |
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| JPMorgan Insurance Trust Government Bond Portfolio |
| JPMorgan Insurance Trust Core Bond Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
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INVESTMENT INCOME: |
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Interest and dividend income | $ 8,339,297 |
| $ 10,067,482 |
| - |
| $ 18,406,779 |
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Total investment income | 8,339,297 |
| 10,067,482 |
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| 18,406,779 |
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Expenses |
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Investment advisory fees | 622,088 |
| 756,254 |
| (1,843) |
| 1,376,499 | (a) |
Administration fees | 155,156 |
| 188,551 |
| 418 |
| 344,125 | (a) |
Custodian and accounting fees | 31,805 |
| 86,025 |
| (19,487) |
| 98,343 | (b) |
Distribution fees - Class 2 | - |
| 40 |
| 1 |
| 41 | (a) |
Professional fees | 61,046 |
| 60,072 |
| (52,785) |
| 68,333 | (b) |
Printing and mailing costs | 32,234 |
| 89,106 |
| (12,451) |
| 108,889 | (b) |
Trustees' and Chief Compliance Officer's fees | 1,866 |
| 2,276 |
| - |
| 4,142 |
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Transfer agent fees | 11,702 |
| 17,257 |
| - |
| 28,959 |
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Other | 21,351 |
| 28,923 |
| - |
| 50,274 |
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Total expenses | 937,248 |
| 1,228,504 |
| (86,148) |
| 2,079,605 |
|
Less amounts waived | (9,493) |
| (93,841) |
| 79,025 |
| (14,816) | (a) |
Less earnings credits | (18) |
| (240) |
| - |
| (240) |
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Net expenses | 927,737 |
| 1,134,423 |
| (7,123) |
| 2,064,549 |
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Net investment income (loss) | 7,411,560 |
| 8,933,059 |
| 7,123 |
| 16,342,230 |
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REALIZED/UNREALIZED GAINS (LOSSES): |
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Net realized gain (loss) on transactions from: |
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Investments | (469,403) |
| 62,240 |
| - |
| (407,163) |
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Net realized gain (loss) | (469,403) |
| 62,240 |
| - |
| (407,163) |
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Change in net unrealized appreciation (depreciation) of: |
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Investments | 6,577,466 |
| 3,452,531 |
| - |
| 10,029,997 |
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Change in net unrealized appreciation (depreciation) | 6,577,466 |
| 3,452,531 |
| - |
| 10,029,997 |
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Net realized/unrealized gains (losses) | 6,108,063 |
| 3,514,771 |
| - |
| 9,622,834 |
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Change in net assets resulting from operations | $ 13,519,623 |
| $ 12,447,830 |
| $ 7,123 |
| $ 25,965,064 |
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(a) Based on the contract in effect for the surviving portfolio. |
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(b) Decrease due to elimination of duplicate expenses achieved by merging the portfolios. |
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JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1. | Basis of Combination |
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan Insurance Trust Government Bond Portfolio, a series of JPMorgan Insurance Trust (“Government Bond Portfolio”), and JPMorgan Insurance Trust Core Bond Portfolio, a series of JPMorgan Insurance Trust (“Core Bond Portfolio”), each a “Portfolio”. Following the combination, the Core Bond Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of Government Portfolio for shares of Core Bond Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination would be accomplished by an acquisition of the net assets of Class 1 shares of Government Bond Portfolio in exchange for Class 1 shares of Core Bond Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Core Bond Portfolio will not be restated. The fiscal year end is December 31 for Government Bond Portfolio and Core Bond Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies which are consistently followed by Government Bond Portfolio and Core Bond Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation - Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Portfolio may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Portfolio to value securities may differ from the value that would be realized if these securities were sold and the differences could be significant. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
established by and under the supervision and responsibility of the Board of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
Government Bond Portfolio
Valuation Inputs |
Investment In Securities |
Other Financial Instruments* |
Level 1 | $12,284,576 | $- |
Level 2 | 143,248,397 | - |
Level 3 | - | - |
Total | $155,532,973 | $- |
Core Bond Portfolio
Valuation Inputs |
Investment In Securities |
Other Financial Instruments* |
Level 1 | $3,137,930 | $- |
Level 2 | 178,296,590 | - |
Level 3 | - | - |
Total | $181,434,520 | $- |
Combined Portfolio
Valuation Inputs |
Investment In Securities |
Other Financial Instruments* |
Level 1 | $15,422,506 | $- |
Level 2 | 321,544,987 | - |
Level 3 | - | - |
Total | $336,967,493 | $- |
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 13,356,969 Class 1 shares of Core Bond Portfolio in exchange for 13,356,969 Class 1 Shares of Government Bond Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Core Bond Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
JPMorgan Bond Portfolio/JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio
Combined Schedule of Portfolio Investments
As of June 30, 2008 (Unaudited)
JPMorgan Principal ($) | JPMorgan Value ($) | JPMorgan Principal ($) | JPMorgan Value ($) | JPMorgan Principal ($) | JPMorgan Value ($) | Security Description | Combined Pro Principal ($) | Combined Pro Value ($) |
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| Long-Term Investments -- 102.1 |
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| Asset-Backed Securities -- 1.5% |
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| 150,000 |
| American Express Credit Account Master Trust, | 150,000 |
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| 151,219 | Series 2004-3, Class A, 4.35%, 12/15/11 |
| 151,219 |
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| AmeriCredit Automobile Receivables Trust, |
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| 217,917 | 216,938 | Series 2006-BG, Class A3, 5.21%, 10/06/11 (i) | 217,917 | 216,938 |
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| 400,000 | 362,318 | Series 2006-BG, Class A4, 5.21%, 09/06/13 (i) | 400,000 | 362,318 |
200,000 |
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| Bank of America Credit Card Trust, | 200,000 |
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| 195,793 |
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| Series 2006-C4, Class C4, VAR, 2.70%, 11/15/11 (m) |
| 195,793 |
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| 60,463 |
| Bear Stearns Asset Backed Securities Trust, Inc., | 60,463 |
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| 47,014 | Series 2006-SD1, Class A, VAR, 2.85%, 04/25/36 (i) (y) |
| 47,014 |
595,000 |
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| Capital One Multi-Asset Execution Trust, | 595,000 |
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| 604,850 |
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| Series 2007-A9, Class A9, 4.95%, 08/15/12 (m) |
| 604,850 |
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| Citibank Credit Card Issuance Trust, |
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| 450,000 | 444,306 | Series 2002-C2, Class C2, 6.95%, 02/18/14 | 450,000 | 444,306 |
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| 250,000 | 250,642 | Series 2005-B1, Class B1, 4.40%, 09/15/10 | 250,000 | 250,642 |
100,422 |
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| Citigroup Mortgage Loan Trust, Inc., | 100,422 |
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| 80,480 |
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| Series 2003-HE3, Class A, VAR, 2.86%, 12/25/33 (m) |
| 80,480 |
21,522 |
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| CNH Equipment Trust, | 21,522 |
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| 21,540 |
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| Series 2005-B, Class A3, 4.27%, 01/15/10 (m) |
| 21,540 |
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| Countrywide Asset-Backed Certificates, |
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135,369 | 114,716 |
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| Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) | 135,369 | 114,716 |
1,056 | 934 |
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| Series 2004-1, Class 3A, VAR, 2.76%, 04/25/34 (m) | 1,056 | 934 |
120,000 | 92,287 |
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| Series 2004-1, Class M1, VAR, 2.98%, 03/25/34 (m) | 120,000 | 92,287 |
100,000 | 84,235 |
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| Series 2004-1, Class M2, VAR, 3.03%, 03/25/34 (m) | 100,000 | 84,235 |
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| Countrywide Home Equity Loan Trust, |
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93,419 | 58,660 |
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| Series 2004-I, Class A, VAR, 2.76%, 02/15/34 (m) | 93,419 | 58,660 |
31,403 | 23,699 |
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| Series 2004-K, Class 2A, VAR, 2.77%, 02/15/34 (m) | 31,403 | 23,699 |
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| First Franklin Mortgage Loan Asset Backed Certificates, |
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125,000 | 99,001 |
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| Series 2005-FF2, Class M3, VAR, 2.96%, 03/25/35 (m) | 125,000 | 99,001 |
250,000 | 176,521 |
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| Series 2005-FF11, Class M1, VAR, 2.91%, 11/25/35 (m) | 250,000 | 176,521 |
1,584 |
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| GSAMP Trust, | 1,584 |
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| 1,324 |
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| Series 2004-OPT, Class A1, VAR, 2.82%, 11/25/34 (m) |
| 1,324 |
210,000 |
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| Home Equity Asset Trust, | 210,000 |
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| 125,685 |
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| Series 2005-8, Class M2, VAR, 2.93%, 02/25/36 (m) |
| 125,685 |
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| 175,000 |
| Household Automotive Trust, | 175,000 |
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| 173,867 | Series 2005-1 Class A4, 4.35%, 06/18/12 |
| 173,867 |
500,000 |
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| K2 (USA) LLC, | 500,000 |
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| - |
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| Series 2007-2D, VAR, 5.12%, 02/15/10 (f) (i) (s) (v) |
| - |
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| Long Beach Mortgage Loan Trust, |
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300,000 | 251,581 |
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| Series 2003-4, Class M1, VAR, 3.16%, 08/25/33 | 300,000 | 251,581 |
190,000 | 147,992 |
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| Series 2004-1, Class M1, VAR, 2.98%, 02/25/34 | 190,000 | 147,992 |
125,000 | 96,278 |
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| Series 2004-1, Class M2, VAR, 3.03%, 02/25/34 | 125,000 | 96,278 |
250,000 | 199,313 |
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| Series 2004-3, Class M1, VAR, 3.05%, 07/25/34 | 250,000 | 199,313 |
125,000 |
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| MASTR Asset Backed Securities Trust, | 125,000 |
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| 96,784 |
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| Series 2005-OPT1, Class M2, VAR, 2.90%, 03/25/35 |
| 96,784 |
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| MBNA Credit Card Master Note Trust, |
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275,000 | 275,090 |
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| Series 2001-C2, Class C2, VAR, 3.62%, 12/15/10 (e) | 275,000 | 275,090 |
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| 200,000 | 197,200 | Series 2002-C1, Class C1, 6.80%, 07/15/14 | 200,000 | 197,200 |
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| 75,000 | 73,924 | Series 2003-C1, Class C1, VAR, 4.17%, 06/15/12 | 75,000 | 73,924 |
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| 240,000 |
| MBNA Master Credit Card Trust, | 240,000 |
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| 246,183 | Series 1999-J, Class C, 7.85%, 02/15/12 (e) |
| 246,183 |
125,000 |
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| New Century Home Equity Loan Trust, | 125,000 |
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| 99,813 |
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| Series 2005-1, Class M1, VAR, 2.93%, 03/25/35 |
| 99,813 |
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| Option One Mortgage Loan Trust, |
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40,285 | 33,493 |
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| Series 2003-1, Class A2, VAR, 3.32%, 02/25/33 | 40,285 | 33,493 |
23,968 | 21,211 |
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| Series 2003-5, Class A2, VAR, 2.80%, 08/25/33 | 23,968 | 21,211 |
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| Residential Asset Securities Corp, |
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10,754 | 9,346 |
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| Series 2002-KS4, Class AIIB, VAR, 2.98%, 07/25/32 | 10,754 | 9,346 |
16,145 | 11,397 |
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| Series 2003-KS5, Class AIIB, VAR, 3.06%, 07/25/33 | 16,145 | 11,397 |
17,585 | 12,819 |
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| Series 2003-KS9, Class A2B, VAR, 3.12%, 11/25/33 | 17,585 | 12,819 |
250,000 | 170,646 |
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| Series 2005-KS11, Class M2, VAR, 2.90%, 12/25/35 | 250,000 | 170,646 |
250,000 |
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| Soundview Home Equity Loan Trust, | 250,000 |
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| 87,984 |
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| Series 2005-OPT4, Class M1, VAR 2.94%, 12/25/35 |
| 87,984 |
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| Wachovia Asset Securitization, Inc., |
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24,185 | 18,543 |
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| Series 2002-HE2, Class A, VAR, 2.91%, 12/25/32 | 24,185 | 18,543 |
40,935 | 32,079 |
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| Series 2003-HE2, Class AII1, VAR, 2.74%, 06/25/33 | 40,935 | 32,079 |
88,785 | 70,558 |
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| Series 2003-HE3, Class A, VAR, 2.73%, 11/25/33 | 88,785 | 70,558 |
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| Total Asset-Backed Securities |
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| 3,314,652 |
| - |
| 2,163,611 | (Cost $4,641,401, $0, $2,221,417 and $6,862,818, respectively) |
| 5,478,263 |
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| Collateralized Mortgage Obligations -- 48.8% |
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| Agency CMO -- 36.5% |
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| Federal Home Loan Mortgage Corp. REMICS, |
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| 16,645 | 17,604 | Series 11, Class D, 9.50%, 07/15/19 | 16,645 | 17,604 |
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| 10,473 | 11,117 | Series 22, Class C, 9.50%, 04/15/20 | 10,473 | 11,117 |
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| 2,421 | 2,662 | Series 47, Class F, 10.00%, 06/15/20 | 2,421 | 2,662 |
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| 1,926 | 2,055 | Series 99, Class Z, 9.50%, 01/15/21 | 1,926 | 2,055 |
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| 2,203 | 2,341 | Series 1065, Class J, 9.00%, 04/15/21 | 2,203 | 2,341 |
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| 321,078 | 349,557 | Series 1113, Class J, 8.50%, 06/15/21 | 321,078 | 349,557 |
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| 17,927 | 18,643 | Series 1250, Class J, 7.00%, 05/15/22 | 17,927 | 18,643 |
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| 29,910 | 31,464 | Series 1316, Class Z, 8.00%, 06/15/22 | 29,910 | 31,464 |
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| 51,690 | 54,335 | Series 1324, Class Z, 7.00%, 07/15/22 | 51,690 | 54,335 |
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| 170,846 | 185,379 | 36,646 | 39,764 | Series 1343, Class LA, 8.00%, 08/15/22 | 207,492 | 225,143 |
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| 42,711 | 42,664 | Series 1343, Class LB, 7.50%, 08/15/22 | 42,711 | 42,664 |
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| 32,146 | 33,536 | Series 1394, Class ID, IF, 9.57%, 10/15/22 | 32,146 | 33,536 |
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| 28,902 | 28,869 | Series 1395, Class G, 6.00%, 10/15/22 | 28,902 | 28,869 |
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| 21,155 | 22,109 | Series 1505, Class Q, 7.00%, 05/15/23 | 21,155 | 22,109 |
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| 41,721 | 40,822 | Series 1518, Class G, IF, 7.01%, 05/15/23 | 41,721 | 40,822 |
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| 43,638 | 42,415 | Series 1541, Class O, VAR, 3.28%, 07/15/23 | 43,638 | 42,415 |
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| 4,997 | 4,980 | 1,666 | 1,660 | Series 1561, Class TA, PO, 08/15/08 | 6,663 | 6,640 |
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| 399,959 | 422,776 |
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| Series 1577, Class PV, 6.50%, 09/15/23 | 399,959 | 422,776 |
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| 871,682 | 905,460 |
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| Series 1584, Class L, 6.50%, 09/15/23 | 871,682 | 905,460 |
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| 45,637 | 46,971 | Series 1596, Class D, 6.50%, 10/15/13 | 45,637 | 46,971 |
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| 5,739 | 5,743 |
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| Series 1604, Class MB, IF, 9.59%, 11/15/08 | 5,739 | 5,743 |
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| 18,606 | 20,080 | Series 1607, Class SA, IF, 13.68%, 10/15/13 | 18,606 | 20,080 |
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| 39,494 | 41,690 | Series 1609, Class LG, IF, 11.92%, 11/15/23 | 39,494 | 41,690 |
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| 13,110 | 13,145 |
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| Series 1625, Class SC, IF, 9.84%, 12/15/08 | 13,110 | 13,145 |
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| 5,244 | 5,268 | Series 1625, Class SD, IF, 8.50%, 12/15/08 | 5,244 | 5,268 |
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| 872,240 | 918,551 |
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| Series 1633, Class Z, 6.50%, 12/15/23 | 872,240 | 918,551 |
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| 500,000 | 529,716 | Series 1638, Class H, 6.50%, 12/15/23 | 500,000 | 529,716 |
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| 2,387 | 2,626 | Series 1671, Class QC, IF, 10.00%, 02/15/24 | 2,387 | 2,626 |
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| 7,167 | 7,220 | Series 1685, Class Z, 6.00%, 11/15/23 | 7,167 | 7,220 |
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| 213 | 213 | Series 1689, Class SD, IF, 10.53%, 10/15/23 | 213 | 213 |
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| 201,000 | 212,705 |
|
| Series 1694, Class PK, 6.50%, 03/15/24 | 201,000 | 212,705 |
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| 22,544 | 19,441 | Series 1700, Class GA, PO, 02/15/24 | 22,544 | 19,441 |
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|
|
| 1,707,826 | 1,797,743 | Series 1732, Class K, 6.50%, 05/15/24 | 1,707,826 | 1,797,743 |
|
|
|
| 108,473 | 107,915 | Series 1798, Class F, 5.00%, 05/15/23 | 108,473 | 107,915 |
|
|
|
| 236,077 | 246,407 | Series 1863, Class Z, 6.50%, 07/15/26 | 236,077 | 246,407 |
|
|
|
| 4,027 | 2,353 | Series 1865, Class D, PO, 02/15/24 | 4,027 | 2,353 |
|
|
|
| 2,379 | 2,372 | Series 1900, Class T, PO, 08/15/08 | 2,379 | 2,372 |
|
|
|
| 1,046 | 1,041 | Series 1967, Class PC, PO, 10/15/08 | 1,046 | 1,041 |
|
|
|
| 70,472 | 72,625 | Series 1981, Class Z, 6.00%, 05/15/27 | 70,472 | 72,625 |
|
|
|
| 87,669 | 88,970 | Series 1987, Class PE, 7.50%, 09/15/27 | 87,669 | 88,970 |
|
| 362,898 | 383,436 |
|
| Series 1999, Class PU, 7.00%, 10/15/27 | 362,898 | 383,436 |
|
|
|
| 46,346 | 47,416 | Series 2025, Class PE, 6.30%, 01/15/13 | 46,346 | 47,416 |
|
| 622,529 | 660,333 |
|
| Series 2031, Class PG, 7.00%, 02/15/28 (m) | 622,529 | 660,333 |
|
|
|
| 23,921 | 10,869 | Series 2033, Class SN, IF, IO, 17.46%, 03/15/24 | 23,921 | 10,869 |
|
| 528,899 | 560,694 |
|
| Series 2035, Class PC, 6.95%, 03/15/28 | 528,899 | 560,694 |
|
|
|
| 40,216 | 10,899 | Series 2038, Class PN, IO, 7.00%, 03/15/28 | 40,216 | 10,899 |
|
|
|
| 108,742 | 116,110 | Series 2054, Class PV, 7.50%, 05/15/28 | 108,742 | 116,110 |
|
|
|
| 68,801 | 71,270 | Series 2055, Class OE, 6.50%, 05/15/13 | 68,801 | 71,270 |
|
|
|
| 170,367 | 179,924 | Series 2064, Class TE, 7.00%, 06/15/28 | 170,367 | 179,924 |
|
|
|
| 147,646 | 154,972 | Series 2075, Class PH, 6.50%, 08/15/28 | 147,646 | 154,972 |
|
| 631,098 | 649,567 |
|
| Series 2095, Class PE, 6.00%, 11/15/28 | 631,098 | 649,567 |
|
|
|
| 106,344 | 110,044 | Series 2102, Class TU, 6.00%, 12/15/13 | 106,344 | 110,044 |
|
|
|
| 226,350 | 234,134 | Series 2115, Class PE, 6.00%, 01/15/14 | 226,350 | 234,134 |
|
| 7,772 | 7,774 | 3,886 | 3,887 | Series 2132, Class PD, 6.00%, 11/15/27 | 11,658 | 11,661 |
|
|
|
| 30,134 | 33,370 | Series 2132, Class SB, IF, 19.89%, 03/15/29 | 30,134 | 33,370 |
|
|
|
| 65,039 | 10,968 | Series 2134, Class PI, IO, 6.50%, 03/15/19 | 65,039 | 10,968 |
|
|
|
| 13,632 | 1,737 | Series 2135, Class UK, IO, 6.50%, 03/15/14 | 13,632 | 1,737 |
|
|
|
| 6,797 | 6,819 | Series 2143, Class CD, 6.00%, 02/15/28 | 6,797 | 6,819 |
|
|
|
| 829,000 | 886,098 | Series 2172, Class QC, 7.00%, 07/15/29 | 829,000 | 886,098 |
|
| 193,815 | 204,106 |
|
| Series 2178, Class PB, 7.00%, 08/15/29 | 193,815 | 204,106 |
|
|
|
| 260,428 | 280,721 | Series 2182, Class ZB, 8.00%, 09/15/29 | 260,428 | 280,721 |
|
|
|
| 44,863 | 47,241 | Series 2247, Class Z, 7.50%, 08/15/30 | 44,863 | 47,241 |
|
| 379,054 | 394,036 |
|
| Series 2259, Class ZC, 7.35%, 10/15/30 | 379,054 | 394,036 |
|
|
|
| 12,701 | 13,017 | Series 2261, Class ZY, 7.50%, 10/15/30 | 12,701 | 13,017 |
|
|
|
| 178,924 | 190,382 | Series 2283, Class K, 6.50%, 12/15/23 | 178,924 | 190,382 |
|
|
|
| 26,850 | 20,756 | Series 2306, Class K, PO, 05/15/24 | 26,850 | 20,756 |
|
|
|
| 64,441 | 8,790 | Series 2306, Class SE, IF, IO, 6.74%, 05/15/24 | 64,441 | 8,790 |
|
|
|
| 86,210 | 93,111 | Series 2325, Class PM, 7.00%, 06/15/31 | 86,210 | 93,111 |
|
|
|
| 502,435 | 525,968 | Series 2344, Class ZD, 6.50%, 08/15/31 | 502,435 | 525,968 |
|
|
|
| 82,093 | 86,126 | Series 2344, Class ZJ, 6.50%, 08/15/31 | 82,093 | 86,126 |
|
|
|
| 51,813 | 54,314 | Series 2345, Class NE, 6.50%, 08/15/31 | 51,813 | 54,314 |
|
| 495,102 | 520,395 | 475,298 | 499,579 | Series 2345, Class PQ, 6.50%, 08/15/16 | 970,400 | 1,019,974 |
|
|
|
| 172,335 | 179,263 | Series 2355, Class BP, 6.00%, 09/15/16 | 172,335 | 179,263 |
|
|
|
| 177,132 | 211,528 | Series 2359, Class ZB, 8.50%, 06/15/31 | 177,132 | 211,528 |
|
|
|
| 11,692 | 11,768 | Series 2362, Class PD, 6.50%, 06/15/20 | 11,692 | 11,768 |
|
| 752,580 | 785,845 |
|
| Series 2367, Class ME, 6.50%, 10/15/31 | 752,580 | 785,845 |
|
| 67,406 | 55,214 |
|
| Series 2390, Class DO, PO, 12/15/31 | 67,406 | 55,214 |
|
|
|
| 309,695 | 317,328 | Series 2391, Class QR, 5.50%, 12/15/16 | 309,695 | 317,328 |
|
|
|
| 202,134 | 204,724 | Series 2392, Class PV, 6.00%, 12/15/20 | 202,134 | 204,724 |
|
|
|
| 245,346 | 255,242 | Series 2394, Class MC, 6.00%, 12/15/16 | 245,346 | 255,242 |
|
|
|
| 102,777 | 106,729 | Series 2410, Class OE, 6.38%, 02/15/32 | 102,777 | 106,729 |
|
|
|
| 155,384 | 155,906 | Series 2410, Class QS, IF, 13.07%, 02/15/32 | 155,384 | 155,906 |
|
|
|
| 98,993 | 11,552 | Series 2410, Class QX, IF, IO, 6.18%, 02/15/32 | 98,993 | 11,552 |
|
|
|
| 57,805 | 57,814 | Series 2412, Class SE, IF, 11.28%, 02/15/09 | 57,805 | 57,814 |
|
|
|
| 100,000 | 104,862 | Series 2412, Class SP, IF, 11.16%, 02/15/32 | 100,000 | 104,862 |
|
|
|
| 211,683 | 224,067 | Series 2423, Class MC, 7.00%, 03/15/32 | 211,683 | 224,067 |
|
|
|
| 341,036 | 360,986 | Series 2423, Class MT, 7.00%, 03/15/32 | 341,036 | 360,986 |
|
|
|
| 227,841 | 239,602 | Series 2435, Class CJ, 6.50%, 04/15/32 | 227,841 | 239,602 |
|
|
|
| 470,000 | 483,175 | Series 2435, Class VH, 6.00%, 07/15/19 | 470,000 | 483,175 |
|
|
|
| 146,377 | 17,721 | Series 2444, Class ES, IF, IO, 5.48%, 03/15/32 | 146,377 | 17,721 |
|
|
|
| 97,585 | 11,935 | Series 2450, Class SW, IF, IO, 5.53%, 03/15/32 | 97,585 | 11,935 |
|
|
|
| 50,259 | 51,104 | Series 2454, Class BG, 6.50%, 08/15/31 | 50,259 | 51,104 |
|
|
|
| 300,000 | 315,900 | Series 2455, Class GK, 6.50%, 05/15/32 | 300,000 | 315,900 |
|
|
|
| 286,409 | 294,869 | Series 2460, Class VZ, 6.00%, 11/15/29 | 286,409 | 294,869 |
|
|
|
| 220,122 | 231,897 | Series 2484, Class LZ, 6.50%, 07/15/32 | 220,122 | 231,897 |
|
|
|
| 318,569 | 322,464 | Series 2498, Class UD, 5.50%, 06/15/16 | 318,569 | 322,464 |
|
|
|
| 790,000 | 803,951 | Series 2500, Class MC, 6.00%, 09/15/32 | 790,000 | 803,951 |
|
|
|
| 2,271 | 2,269 | Series 2500, Class TD, 5.50%, 02/15/16 | 2,271 | 2,269 |
|
|
|
| 129,344 | 132,437 | Series 2503, Class BH, 5.50%, 09/15/17 | 129,344 | 132,437 |
|
|
|
| 129,630 | 114,002 | Series 2513, Class YO, PO, 02/15/32 | 129,630 | 114,002 |
|
|
|
| 457,274 | 434,422 | Series 2515, Class DE, 4.00%, 03/15/32 | 457,274 | 434,422 |
|
| 883,000 | 885,787 |
|
| Series 2527, Class BP, 5.00%, 11/15/17 | 883,000 | 885,787 |
|
|
|
| 500,000 | 507,218 | Series 2535, Class BK, 5.50%, 12/15/22 | 500,000 | 507,218 |
|
| 5,000,000 | 5,082,673 | 300,000 | 304,960 | Series 2543, Class YX, 6.00%, 12/15/32 (m) | 5,300,000 | 5,387,633 |
|
|
|
| 500,000 | 509,200 | Series 2544, Class HC, 6.00%, 12/15/32 | 500,000 | 509,200 |
|
|
|
| 231,845 | 237,831 | Series 2565, Class MB, 6.00%, 05/15/30 | 231,845 | 237,831 |
|
|
|
| 500,000 | 507,719 | Series 2575, Class ME, 6.00%, 02/15/33 | 500,000 | 507,719 |
|
| 3,230,000 | 3,189,943 |
|
| Series 2578, Class PG, 5.00%, 02/15/18 | 3,230,000 | 3,189,943 |
|
|
|
| 134,249 | 33,048 | Series 2586, Class WI, IO, 6.50%, 03/15/33 | 134,249 | 33,048 |
|
|
|
| 170,652 | 175,057 | Series 2594, Class VA, 6.00%, 03/15/14 | 170,652 | 175,057 |
|
|
|
| 400,000 | 410,517 | Series 2594, Class VQ, 6.00%, 08/15/20 | 400,000 | 410,517 |
|
|
|
| 356,538 | 31,969 | Series 2597, Class DS, IF, IO, 5.08%, 02/15/33 | 356,538 | 31,969 |
|
|
|
| 494,997 | 35,094 | Series 2599, Class DS, IF, IO, 4.53%, 02/15/33 | 494,997 | 35,094 |
|
|
|
| 584,056 | 47,504 | Series 2610, Class DS, IF, IO, 4.63%, 03/15/33 | 584,056 | 47,504 |
|
|
|
| 776,745 | 71,589 | Series 2611, Class SH, IF, IO, 5.18%, 10/15/21 | 776,745 | 71,589 |
|
|
|
| 500,000 | 483,657 | Series 2617, Class GR, 4.50%, 05/15/18 | 500,000 | 483,657 |
|
| 1,582,972 | 1,504,926 |
|
| Series 2626, Class KA, 3.00%, 03/15/30 | 1,582,972 | 1,504,926 |
|
|
|
| 772,320 | 81,247 | Series 2626, Class NS, IF, IO, 4.08%, 06/15/23 | 772,320 | 81,247 |
|
|
|
| 500,000 | 491,700 | Series 2628, Class WA, 4.00%, 07/15/28 | 500,000 | 491,700 |
|
|
|
| 500,000 | 484,374 | Series 2631, Class LC, 4.50%, 06/15/18 | 500,000 | 484,374 |
|
| 650,000 | 643,834 |
|
| Series 2631, Class TE, 4.50%, 02/15/28 | 650,000 | 643,834 |
|
|
|
| 625,898 | 602,129 | Series 2636, Class Z, 4.50%, 06/15/18 | 625,898 | 602,129 |
|
|
|
| 199,277 | 174,344 | Series 2638, Class DS, IF, 6.13%, 07/15/23 | 199,277 | 174,344 |
|
|
|
| 32,068 | 2,506 | Series 2643, Class HI, IO, 4.50%, 12/15/16 | 32,068 | 2,506 |
|
| 537,895 | 492,440 |
|
| Series 2647, Class A, 3.25%, 04/15/32 | 537,895 | 492,440 |
|
| 3,117,798 | 2,998,833 |
|
| Series 2651, Class VZ, 4.50%, 07/15/18 | 3,117,798 | 2,998,833 |
|
| 2,438,000 | 2,407,355 |
|
| Series 2656, Class BG, 5.00%, 10/15/32 | 2,438,000 | 2,407,355 |
|
|
|
| 81,701 | 91,177 | Series 2656, Class SH, IF, 14.19%, 02/15/25 | 81,701 | 91,177 |
|
|
|
| 349,177 | 332,970 | Series 2668, Class SB, IF, 5.00%, 10/15/15 | 349,177 | 332,970 |
|
|
|
| 500,000 | 470,664 | Series 2675, Class CK, 4.00%, 09/15/18 | 500,000 | 470,664 |
|
| 410,000 | 399,124 |
|
| Series 2682, Class LC, 4.50%, 07/15/32 | 410,000 | 399,124 |
|
|
|
| 231,574 | 160,520 | Series 2682, Class YS, IF, 5.31%, 10/15/33 | 231,574 | 160,520 |
|
| 2,500,000 | 2,510,295 |
|
| Series 2684, Class PD, 5.00%, 03/15/29 | 2,500,000 | 2,510,295 |
|
|
|
| 274,714 | 133,059 | Series 2684, Class TO, PO, 10/15/33 | 274,714 | 133,059 |
|
|
|
| 184,493 | 186,975 | Series 2686, Class GB, 5.00%, 05/15/20 | 184,493 | 186,975 |
|
|
|
| 184,441 | 115,181 | Series 2691, Class WS, IF, 5.29%, 10/15/33 | 184,441 | 115,181 |
|
|
|
| 138,460 | 95,971 | Series 2705, Class SC, IF, 5.29%, 11/15/33 | 138,460 | 95,971 |
|
|
|
| 211,357 | 152,756 | Series 2705, Class SD, IF, 5.82%, 11/15/33 | 211,357 | 152,756 |
|
|
|
| 1,000,000 | 942,037 | Series 2716, Class UN, 4.50%, 12/15/23 | 1,000,000 | 942,037 |
|
|
|
| 750,000 | 495,093 | Series 2727, Class BS, IF, 5.37%, 01/15/34 | 750,000 | 495,093 |
|
|
|
| 13,556 | 10,570 | Series 2733, Class GF, VAR, 0.00%, 09/15/33 | 13,556 | 10,570 |
|
|
|
| 500,000 | 495,999 | Series 2743, Class HD, 4.50%, 08/15/17 | 500,000 | 495,999 |
|
|
|
| 209,330 | 134,577 | Series 2744, Class FE, VAR, 0.00%, 02/15/34 | 209,330 | 134,577 |
|
|
|
| 500,000 | 510,710 | Series 2744, Class PD, 5.50%, 08/15/33 | 500,000 | 510,710 |
|
| 1,250,000 | 1,261,714 |
|
| Series 2749, Class TD, 5.00%, 06/15/21 | 1,250,000 | 1,261,714 |
110,830 | 1,121 |
|
|
|
| Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) | 110,830 | 1,121 |
|
|
|
| 144,668 | 102,546 | Series 2753, Class S, IF, 7.06%, 02/15/34 | 144,668 | 102,546 |
|
|
|
| 168,930 | 167,076 | Series 2755, Class SA, IF, 9.26%, 05/15/30 | 168,930 | 167,076 |
|
|
|
| 151,690 | 111,686 | Series 2766, Class SX, IF, 9.12%, 03/15/34 | 151,690 | 111,686 |
|
|
|
| 59,746 | 29,551 | Series 2769, Class PO, PO, 03/15/34 | 59,746 | 29,551 |
|
| 650,000 | 597,014 |
|
| Series 2773, Class TB, 4.00%, 04/15/19 | 650,000 | 597,014 |
|
|
|
| 476,978 | 342,204 | Series 2776, Class SK, IF, 5.37%, 04/15/34 | 476,978 | 342,204 |
|
|
|
| 46,915 | 37,305 | Series 2778, Class BS, IF, 9.57%, 04/15/34 | 46,915 | 37,305 |
596,780 | 49,277 |
|
|
|
| Series 2779, Class SM, IF, IO, 4.68%, 10/15/18 (m) | 596,780 | 49,277 |
|
|
|
| 268,127 | 257,421 | Series 2780, Class JG, 4.50%, 04/15/19 | 268,127 | 257,421 |
132,491 | 2,397 |
|
|
|
| Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) | 132,491 | 2,397 |
|
|
|
| 702,000 | 685,979 | Series 2809, Class UB, 4.00%, 09/15/17 | 702,000 | 685,979 |
1,796,078 | 160,497 |
|
|
|
| Series 2813, Class SB, IF, IO, 4.58%, 02/15/34 (m) | 1,796,078 | 160,497 |
|
| 625,000 | 595,709 |
|
| Series 2827, Class DG, 4.50%, 07/15/19 | 625,000 | 595,709 |
|
|
|
| 135,304 | 136,658 | Series 2827, Class SQ, IF, 7.50%, 01/15/19 | 135,304 | 136,658 |
|
|
|
| 26,184 | 22,119 | Series 2841, Class GO, PO, 08/15/34 | 26,184 | 22,119 |
|
|
|
| 123,104 | 75,023 | Series 2846, Class PO, PO, 08/15/34 | 123,104 | 75,023 |
1,339,829 | 63,991 |
|
|
|
| Series 2861, Class GS, IF, IO, 4.73%, 01/15/21 (m) | 1,339,829 | 63,991 |
|
|
|
| 500,000 | 481,151 | Series 2899, Class KB, 4.50%, 03/15/19 | 500,000 | 481,151 |
|
| 708,922 | 722,291 |
|
| Series 2927, Class GA, 5.50%, 10/15/34 | 708,922 | 722,291 |
|
| 1,250,000 | 1,267,035 |
|
| Series 2929, Class PC, 5.00%, 01/15/28 | 1,250,000 | 1,267,035 |
|
|
|
| 500,000 | 490,445 | Series 2931, Class QC, 4.50%, 01/15/19 | 500,000 | 490,445 |
|
|
|
| 99,125 | 100,551 | Series 2958, Class KB, 5.50%, 04/15/35 | 99,125 | 100,551 |
|
|
|
| 100,000 | 58,832 | Series 2975, Class KO, PO, 05/15/35 | 100,000 | 58,832 |
|
|
|
| 123,767 | 89,103 | Series 2989, Class PO, PO, 06/15/23 | 123,767 | 89,103 |
|
|
|
| 300,000 | 298,138 | Series 3047, Class OD, 5.50%, 10/15/35 | 300,000 | 298,138 |
|
| 734,694 | 837,712 |
|
| Series 3085, Class VS, IF, 18.83%, 12/15/35 | 734,694 | 837,712 |
|
|
|
| 118,651 | 121,091 | Series 3101, Class EA, 6.00%, 06/15/20 | 118,651 | 121,091 |
|
|
|
| 237,206 | 183,793 | Series 3117, Class EO, PO, 02/15/36 | 237,206 | 183,793 |
|
|
|
| 375,208 | 26,894 | Series 3260, Class CS, IF, IO, 3.67%, 01/15/37 | 375,208 | 26,894 |
|
|
|
| 2,613,275 | 48,189 | Series 3430 Class AI, IO, 1.42%, 09/15/12 | 2,613,275 | 48,189 |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. STRIPS, |
|
|
1,229,229 | 149,579 |
|
|
|
| Series 240, Class S22, IF, IO, 4.68%, 07/01/36 (m) | 1,229,229 | 149,579 |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. Structured Pass-Through Securities, |
|
|
|
|
|
| 29,419 | 29,783 | Series T-41, Class 3A, VAR, 7.50%, 07/25/32 | 29,419 | 29,783 |
|
| 593,291 | 608,865 | 197,764 | 202,955 | Series T-54, Class 2A, 6.50%, 02/25/43 | 791,055 | 811,820 |
|
|
|
| 90,904 | 96,272 | Series T-54, Class 3A, 7.00%, 02/25/43 | 90,904 | 96,272 |
|
| 360,834 | 258,956 |
|
| Series T-56, Class A, PO, 05/25/43 | 360,834 | 258,956 |
|
|
|
| 55,058 | 46,049 | Series T-58, Class A, PO, 09/25/43 | 55,058 | 46,049 |
|
|
|
| 412,242 |
| Federal Home Loan Mortgage Corp.- Government National Mortgage Association, | 412,242 |
|
|
|
|
|
| 436,467 | Series 8, Class ZA, 7.00%, 03/25/23 |
| 436,467 |
|
|
|
|
|
| Federal National Mortgage Association REMICS, |
|
|
|
| 24,306 | 27,009 |
|
| Series 1988-16, Class B, 9.50%, 06/25/18 | 24,306 | 27,009 |
|
|
|
| 13,801 | 15,118 | Series 1989-83, Class H, 8.50%, 11/25/19 | 13,801 | 15,118 |
|
|
|
| 2,857 | 3,156 | Series 1990-1, Class D, 8.80%, 01/25/20 | 2,857 | 3,156 |
|
|
|
| 13,356 | 14,642 | Series 1990-10, Class L, 8.50%, 02/25/20 | 13,356 | 14,642 |
|
|
|
| 2,838 | 2,886 | Series 1990-93, Class G, 5.50%, 08/25/20 | 2,838 | 2,886 |
|
|
|
| 80,234 | 82,376 | Series 1992-101, Class J, 7.50%, 06/25/22 | 80,234 | 82,376 |
|
|
|
| 46 | 630 | Series 1990-140, Class K, HB, 652.15%, 12/25/20 | 46 | 630 |
|
|
|
| 5,075 | 5,545 | Series 1990-143, Class J, 8.75%, 12/25/20 | 5,075 | 5,545 |
|
|
|
| 32,787 | 33,349 | Series 1992-143, Class MA, 5.50%, 09/25/22 | 32,787 | 33,349 |
|
| 101,855 | 84,279 |
|
| Series 1993-146, Class E, PO, 05/25/23 | 101,855 | 84,279 |
|
| 245,000 | 260,485 |
|
| Series 1993-155, Class PJ, 7.00%, 09/25/23 | 245,000 | 260,485 |
|
|
|
| 2,459 | 2,455 | Series 1993-164, Class SA, IF, 11.78%, 09/25/08 | 2,459 | 2,455 |
|
|
|
| 3,523 | 3,517 | Series 1993-164, Class SC, IF, 11.78%, 09/25/08 | 3,523 | 3,517 |
|
|
|
| 7,917 | 8,276 | Series 1993-165, Class SD, IF, 8.25%, 09/25/23 | 7,917 | 8,276 |
|
|
|
| 39,480 | 41,103 | Series 1993-165, Class SK, IF, 12.50%, 09/25/23 | 39,480 | 41,103 |
|
|
|
| 41,002 | 42,503 | Series 1993-167, Class GA, 7.00%, 09/25/23 | 41,002 | 42,503 |
|
|
|
| 1,744 | 1,745 | Series 1993-175, Class SA, IF, 13.78%, 09/25/08 | 1,744 | 1,745 |
|
|
|
| 1,506 | 1,512 | Series 1993-190, Class S, IF, 9.86%, 10/25/08 | 1,506 | 1,512 |
|
|
|
| 376 | 376 | Series 1993-196, Class FA, VAR, 4.01%, 10/25/08 | 376 | 376 |
|
|
|
| 564 | 565 | Series 1993-196, Class SB, IF, 9.25%, 10/25/08 | 564 | 565 |
|
| 6,114 | 6,136 |
|
| Series 1993-197, Class SC, IF, 8.30%, 10/25/08 | 6,114 | 6,136 |
|
|
|
| 383,628 | 400,342 | Series 1993-203, Class PL, 6.50%, 10/25/23 | 383,628 | 400,342 |
|
| 17,065 | 14,294 | 17,065 | 14,294 | Series 1993-205, Class H, PO, 09/25/23 | 34,130 | 28,588 |
|
| 19,888 | 20,018 |
|
| Series 1993-221, Class SG, IF, 9.85%, 12/25/08 | 19,888 | 20,018 |
|
| 2,047,896 | 2,144,156 |
|
| Series 1993-223, Class PZ, 6.50%, 12/25/23 | 2,047,896 | 2,144,156 |
|
|
|
| 272,949 | 287,070 | Series 1993-225, Class UB, 6.50%, 12/25/23 | 272,949 | 287,070 |
|
|
|
| 7,060 | 7,080 | Series 1993-230, Class FA, VAR, 3.10%, 12/25/23 | 7,060 | 7,080 |
|
|
|
| 52 | 53 | Series 1993-233, Class SB, IF, 11.53%, 12/25/08 | 52 | 53 |
|
| 498,330 | 524,481 | 355,950 | 374,629 | Series 1993-250, Class Z, 7.00%, 12/25/23 | 854,280 | 899,110 |
|
|
|
| 111,129 | 99,312 | Series 1993-257, Class C, PO, 06/25/23 | 111,129 | 99,312 |
|
|
|
| 233 | 236 | Series 1994-13, Class SK, IF, 13.15%, 02/25/09 | 233 | 236 |
|
| 233 | 236 |
|
| Series 1994-13, Class SM, IF, 14.39%, 02/25/09 | 233 | 236 |
|
| 55,185 | 55,316 |
|
| Series 1994-28, Class K, 6.50%, 08/25/23 | 55,185 | 55,316 |
|
|
|
| 5,269 | 5,266 | Series 1994-33, Class FA, VAR, 4.11%, 03/25/09 | 5,269 | 5,266 |
|
| 877,719 | 919,781 |
|
| Series 1994-37, Class L, 6.50%, 03/25/24 | 877,719 | 919,781 |
|
| 6,388,638 | 6,597,109 |
|
| Series 1994-72, Class K, 6.00%, 04/25/24 | 6,388,638 | 6,597,109 |
|
| 3,317 | 3,317 |
|
| Series 1994-76, Class H, 5.00%, 02/25/24 | 3,317 | 3,317 |
|
|
|
| 54,984 | 58,778 | Series 1995-2, Class Z, 8.50%, 03/25/25 | 54,984 | 58,778 |
|
|
|
| 83,206 | 89,497 | Series 1995-19, Class Z, 6.50%, 11/25/23 | 83,206 | 89,497 |
|
|
|
| 348 | 346 | Series 1996-20, Class L, PO, 09/25/08 | 348 | 346 |
|
|
|
| 1,191 | 1,185 | Series 1996-39, Class J, PO, 09/25/08 | 1,191 | 1,185 |
|
|
|
| 14,593 | 15,154 | Series 1996-59, Class J, 6.50%, 08/25/22 | 14,593 | 15,154 |
|
|
|
| 122,736 | 126,974 | Series 1996-59, Class K, 6.50%, 07/25/23 | 122,736 | 126,974 |
|
|
|
| 474,291 | 13,043 | Series 1997-20, Class IB, VAR, IO, 1.84%, 03/25/27 | 474,291 | 13,043 |
|
|
|
| 44,473 | 47,149 | Series 1997-39, Class PD, 7.50%, 05/20/27 | 44,473 | 47,149 |
|
|
|
| 100,825 | 103,503 | Series 1997-46, Class PL, 6.00%, 07/18/27 | 100,825 | 103,503 |
|
|
|
| 268,323 | 285,558 | Series 1997-61, Class ZC, 7.00%, 02/25/23 | 268,323 | 285,558 |
|
|
|
| 127,429 | 131,186 | Series 1998-36, Class ZB, 6.00%, 07/18/28 | 127,429 | 131,186 |
|
|
|
| 125,540 | 39,874 | Series 1998-43, Class SA, IF, IO, 14.32%, 04/25/23 | 125,540 | 39,874 |
|
| 157,299 | 165,222 |
|
| Series 1998-46, Class GZ, 6.50%, 08/18/28 | 157,299 | 165,222 |
|
| 406,694 | 422,285 |
|
| Series 1998-58, Class PC, 6.50%, 10/25/28 | 406,694 | 422,285 |
|
| 801,640 | 214,033 |
|
| Series 1999-39, Class JH, IO, 6.50%, 08/25/29 | 801,640 | 214,033 |
|
|
|
| 19,213 | 4,811 | Series 2000-52, Class IO, IO, 8.50%, 01/25/31 | 19,213 | 4,811 |
|
| 345,812 | 368,559 |
|
| Series 2001-4, Class PC, 7.00%, 03/25/21 | 345,812 | 368,559 |
|
|
|
| 249,998 | 263,825 | Series 2001-30, Class PM, 7.00%, 07/25/31 | 249,998 | 263,825 |
|
| 1,243,321 | 322,763 | 248,664 | 64,553 | Series 2001-33, Class ID, IO, 6.00%, 07/25/31 | 1,491,985 | 387,316 |
|
|
|
| 388,147 | 407,485 | Series 2001-36, Class DE, 7.00%, 08/25/31 | 388,147 | 407,485 |
|
|
|
| 48,245 | 51,068 | Series 2001-44, Class PD, 7.00%, 09/25/31 | 48,245 | 51,068 |
|
|
|
| 222,465 | 233,867 | Series 2001-52, Class XN, 6.50%, 11/25/15 | 222,465 | 233,867 |
|
|
|
| 557,378 | 585,847 | Series 2001-61, Class Z, 7.00%, 11/25/31 | 557,378 | 585,847 |
|
|
|
| 323,047 | 335,581 | Series 2001-69, Class PG, 6.00%, 12/25/16 | 323,047 | 335,581 |
|
|
|
| 210,728 | 218,918 | Series 2001-71, Class QE, 6.00%, 12/25/16 | 210,728 | 218,918 |
|
|
|
| 105,541 | 108,620 | Series 2001-80, Class PE, 6.00%, 07/25/29 | 105,541 | 108,620 |
|
|
|
| 115,241 | 120,821 | Series 2002-1, Class HC, 6.50%, 02/25/22 | 115,241 | 120,821 |
|
|
|
| 31,723 | 37,336 | Series 2002-1, Class SA, IF, 17.12%, 02/25/32 | 31,723 | 37,336 |
|
| 320,790 | 331,085 |
|
| Series 2002-2, Class UC, 6.00%, 02/25/17 | 320,790 | 331,085 |
|
|
|
| 367,310 | 381,535 | Series 2002-3, Class OG, 6.00%, 02/25/17 | 367,310 | 381,535 |
|
|
|
| 37,087 | 37,135 | Series 2002-8, Class SR, IF, 11.26%, 03/25/09 | 37,087 | 37,135 |
|
|
|
| 708,955 | 27,260 | Series 2002-13, Class SJ, IF, IO, 1.60%, 03/25/32 | 708,955 | 27,260 |
|
|
|
| 352,870 | 369,840 | Series 2002-28, Class PK, 6.50%, 05/25/32 | 352,870 | 369,840 |
|
|
|
| 682,364 | 689,714 | Series 2002-62, Class ZE, 5.50%, 11/25/17 | 682,364 | 689,714 |
|
|
|
| 109,858 | 112,211 | Series 2002-73, Class S, IF, 10.04%, 11/25/09 | 109,858 | 112,211 |
|
|
|
| 264,604 | 268,755 | Series 2002-74, Class VB, 6.00%, 11/25/31 | 264,604 | 268,755 |
|
|
|
| 137,163 | 139,686 | Series 2002-77, Class S, IF, 9.93%, 12/25/32 | 137,163 | 139,686 |
|
|
|
| 30,168 | 4,411 | Series 2002-91, Class UH, IO, 5.50%, 06/25/22 | 30,168 | 4,411 |
|
|
|
| 252,739 | 250,732 | Series 2002-93, Class PD, 3.50%, 02/25/29 | 252,739 | 250,732 |
|
|
|
| 500,000 | 509,977 | Series 2002-94, Class BK, 5.50%, 01/25/18 | 500,000 | 509,977 |
|
|
|
| 250,000 | 177,736 | Series 2003-106, Class US, IF, 5.35%, 11/25/23 | 250,000 | 177,736 |
|
|
|
| 500,000 | 483,064 | Series 2003-106, Class WE, 4.50%, 11/25/22 | 500,000 | 483,064 |
|
|
|
| 766,608 | 78,151 | Series 2003-116, Class SB, IF, IO, 5.12%, 11/25/33 | 766,608 | 78,151 |
|
|
|
| 600,000 | 552,057 | Series 2003-117, Class JB, 3.50%, 06/25/33 | 600,000 | 552,057 |
|
| 2,901,667 | 2,724,917 |
|
| Series 2003-128, Class DY, 4.50%, 01/25/24 | 2,901,667 | 2,724,917 |
|
|
|
| 500,000 | 501,464 | Series 2003-128, Class KE, 4.50%, 01/25/14 | 500,000 | 501,464 |
|
|
|
| 500,000 | 468,239 | Series 2003-128, Class NG, 4.00%, 01/25/19 | 500,000 | 468,239 |
|
|
|
| 131,327 | 126,962 | Series 2003-130, Class SX, IF, 7.80%, 01/25/34 | 131,327 | 126,962 |
|
|
|
| 212,955 | 159,032 | Series 2003-132, Class OA, PO, 08/25/33 | 212,955 | 159,032 |
|
|
|
| 293,000 | 238,467 | Series 2003-22, Class UD, 4.00%, 04/25/33 | 293,000 | 238,467 |
|
| 2,000,000 | 2,026,279 |
|
| Series 2003-35, Class MD, 5.00%, 11/25/16 | 2,000,000 | 2,026,279 |
|
|
|
| 250,000 | 256,646 | Series 2003-41, Class PE, 5.50%, 05/25/23 | 250,000 | 256,646 |
|
|
|
| 100,000 | 98,376 | Series 2003-47, Class PE, 5.75%, 06/25/33 | 100,000 | 98,376 |
|
|
|
| 72,389 | 53,234 | Series 2003-64, Class SX, IF, 7.60%, 07/25/33 | 72,389 | 53,234 |
|
|
|
| 207,413 | 190,557 | Series 2003-66, Class PA, 3.50%, 02/25/33 | 207,413 | 190,557 |
|
|
|
| 647,059 | 553,575 | Series 2003-68, Class LC, 3.00%, 07/25/22 | 647,059 | 553,575 |
|
|
|
| 523,115 | 494,829 | Series 2003-68, Class QP, 3.00%, 07/25/22 | 523,115 | 494,829 |
|
| 1,250,000 | 1,243,056 |
|
| Series 2003-70, Class BE, 3.50%, 12/25/25 | 1,250,000 | 1,243,056 |
|
|
|
| 137,818 | 88,812 | Series 2003-71, Class DS, IF, 4.19%, 08/25/33 | 137,818 | 88,812 |
|
|
|
| 834,616 | 795,115 | Series 2003-73, Class GA, 3.50%, 05/25/31 | 834,616 | 795,115 |
|
|
|
| 921,028 | 104,518 | Series 2003-80, Class SY, IF, IO, 5.17%, 06/25/23 | 921,028 | 104,518 |
|
| 3,600,000 | 3,559,622 |
|
| Series 2003-81, Class MC, 5.00%, 12/25/32 | 3,600,000 | 3,559,622 |
|
| 600,000 | 601,765 |
|
| Series 2003-82, Class VB, 5.50%, 08/25/33 | 600,000 | 601,765 |
|
|
|
| 500,000 | 496,434 | Series 2003-83, Class PG, 5.00%, 06/25/23 | 500,000 | 496,434 |
|
|
|
| 108,081 | 102,093 | Series 2003-91, Class SD, IF, 8.36%, 09/25/33 | 108,081 | 102,093 |
|
|
|
| 700,000 | 657,384 | Series 2004-1, Class AC, 4.00%, 02/25/19 | 700,000 | 657,384 |
|
| 1,850,000 | 1,829,727 |
|
| Series 2004-2, Class OE, 5.00%, 05/25/23 | 1,850,000 | 1,829,727 |
|
|
|
| 307,810 | 298,084 | Series 2004-4, Class QM, IF, 9.24%, 06/25/33 | 307,810 | 298,084 |
|
|
|
| 200,137 | 220,097 | Series 2004-10, Class SC, IF, 18.67%, 02/25/34 | 200,137 | 220,097 |
|
|
|
| 164,907 | 110,543 | Series 2004-14, Class SD, IF, 5.35%, 03/25/34 | 164,907 | 110,543 |
|
|
|
| 174,232 | 90,794 | Series 2004-21, Class CO, PO, 04/25/34 | 174,232 | 90,794 |
|
|
|
| 178,833 | 164,958 | Series 2004-22, Class A, 4.00%, 04/25/19 | 178,833 | 164,958 |
|
|
|
| 389,251 | 410,900 | Series 2004-36, Class SA, IF, 12.70%, 05/25/34 | 389,251 | 410,900 |
|
|
|
| 79,069 | 76,551 | Series 2004-51, Class SY, IF, 9.28%, 07/25/34 | 79,069 | 76,551 |
|
|
|
| 150,029 | 140,096 | Series 2004-61, Class SK, IF, 8.50%, 11/25/32 | 150,029 | 140,096 |
500,667 | 37,216 |
|
|
|
| Series 2004-61, Class TS, IF, IO, 4.62%, 10/25/31 (m) | 500,667 | 37,216 |
|
| 1,343,158 | 1,300,013 |
|
| Series 2004-75, Class VK, 4.50%, 09/25/22 | 1,343,158 | 1,300,013 |
|
|
|
| 200,000 | 188,275 | Series 2004-76, Class CL, 4.00%, 10/25/19 | 200,000 | 188,275 |
|
|
|
| 1,000,000 | 937,861 | Series 2004-81, Class AC, 4.00%, 11/25/19 | 1,000,000 | 937,861 |
397,923 | 33,431 |
|
|
|
| Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) | 397,923 | 33,431 |
|
|
|
| 226,413 | 212,909 | Series 2004-92, Class JO, PO, 12/25/34 | 226,413 | 212,909 |
|
|
|
| 762,510 | 710,331 | Series 2005-28, Class JA, 5.00%, 04/25/35 | 762,510 | 710,331 |
|
|
|
| 714,437 | 724,896 | Series 2005-40, Class YA, 5.00%, 09/25/20 | 714,437 | 724,896 |
|
|
|
| 401,063 | 406,099 | Series 2005-47, Class AN, 5.00%, 12/25/16 | 401,063 | 406,099 |
|
|
|
| 522,477 | 544,895 | Series 2005-52, Class PA, 6.50%, 06/25/35 | 522,477 | 544,895 |
|
|
|
| 853,000 | 841,107 | Series 2005-68, Class BC, 5.25%, 06/25/35 | 853,000 | 841,107 |
|
|
|
| 950,490 | 974,484 | Series 2005-84, Class XM, 5.75%, 10/25/35 | 950,490 | 974,484 |
|
|
|
| 1,000,000 | 1,040,190 | Series 2005-109, Class PC, 6.00%, 12/25/35 | 1,000,000 | 1,040,190 |
|
|
|
| 700,000 | 708,001 | Series 2005-110, Class MN, 5.50%, 06/25/35 | 700,000 | 708,001 |
|
|
|
| 201,123 | 150,814 | Series 2006-22, Class AO, PO, 04/25/36 | 201,123 | 150,814 |
275,293 | 283,687 |
|
|
|
| Series 2006-43, Class G, 6.50%, 09/25/33 (m) | 275,293 | 283,687 |
234,092 | 241,428 |
|
|
|
| Series 2006-59, Class DA, 6.50%, 12/25/33 (m) | 234,092 | 241,428 |
612,276 | 631,628 |
|
|
|
| Series 2006-59, Class DC, 6.50%, 12/25/33 (m) | 612,276 | 631,628 |
|
|
|
| 470,210 | 370,421 | Series 2006-59, Class QO, PO, 01/25/33 | 470,210 | 370,421 |
238,639 | 245,921 |
|
|
|
| Series 2006-63, Class AB, 6.50%, 10/25/33 (m) | 238,639 | 245,921 |
233,024 | 240,135 |
|
|
|
| Series 2006-63, Class AE, 6.50%, 10/25/33 (m) | 233,024 | 240,135 |
226,908 | 234,211 |
|
|
|
| Series 2006-78, Class BC, 6.50%, 01/25/34 (m) | 226,908 | 234,211 |
|
|
|
| 516,141 | 377,540 | Series 2006-110, Class PO, PO, 11/25/36 | 516,141 | 377,540 |
|
|
|
| 1,043,014 | 70,006 | Series 2007-7, Class SG, IF, IO, 4.02%, 08/25/36 | 1,043,014 | 70,006 |
|
|
|
| 959,565 | 72,986 | Series 2008-16, Class IS, IF, IO, 3.72%, 03/25/38 | 959,565 | 72,986 |
|
|
|
| 35,794 | 36,868 | Series G92-15, Class Z, 7.00%, 01/25/22 | 35,794 | 36,868 |
|
|
|
| 6,339 | 6,747 | Series G92-42, Class Z, 7.00%, 07/25/22 | 6,339 | 6,747 |
|
| 62,968 | 67,816 | 129,902 | 139,904 | Series G92-44, Class ZQ, 8.00%, 07/25/22 | 192,870 | 207,720 |
|
|
|
| 77,530 | 83,559 | Series G92-54, Class ZQ, 7.50%, 09/25/22 | 77,530 | 83,559 |
|
|
|
| 4,885 | 4,729 | Series G92-59, Class F, VAR, 3.81%, 10/25/22 | 4,885 | 4,729 |
|
|
|
| 12,568 | 13,315 | Series G92-61, Class Z, 7.00%, 10/25/22 | 12,568 | 13,315 |
|
| 28,006 | 28,784 |
|
| Series G92-66, Class KA, 6.00%, 12/25/22 | 28,006 | 28,784 |
|
|
|
| 132,460 | 140,651 | Series G92-66, Class KB, 7.00%, 12/25/22 | 132,460 | 140,651 |
|
|
|
| 38,176 | 41,580 | Series G93-1, Class KA, 7.90%, 01/25/23 | 38,176 | 41,580 |
|
|
|
| 40,776 | 38,737 | Series G93-17, Class SI, IF, 6.00%, 04/25/23 | 40,776 | 38,737 |
|
|
|
|
|
| Federal National Mortgage Association Interest STRIPS, |
|
|
|
|
|
| 106,887 | 78,487 | Series 329, Class 1, PO, 01/01/33 | 106,887 | 78,487 |
|
|
|
| 140,467 | 99,408 | Series 340, Class 1, PO, 09/01/33 | 140,467 | 99,408 |
|
|
|
| 1 | 2 | Series K, Class 2, HB, 255.60%, 11/01/08 | 1 | 2 |
|
|
|
|
|
| Federal National Mortgage Association Whole Loan, |
|
|
|
| 663,338 | 678,196 |
|
| Series 1999-W4, Class A9, 6.25%, 02/25/29 | 663,338 | 678,196 |
|
| 1,070,797 | 1,102,252 |
|
| Series 2002-W7, Class A4, 6.00%, 06/25/29 | 1,070,797 | 1,102,252 |
|
| 563,038 | 574,383 | 140,760 | 143,596 | Series 2003-W1, Class 1A1, 6.50%, 12/25/42 | 703,798 | 717,979 |
|
|
|
| 86,958 | 90,206 | Series 2003-W1, Class 2A, 7.50%, 12/25/42 | 86,958 | 90,206 |
|
|
|
| 140,797 | 150,073 | Series 2004-W2, Class 2A2, 7.00%, 02/25/44 | 140,797 | 150,073 |
|
| 537,592 | 513,523 |
|
| Series 2005-W1, Class 1A2, 6.50%, 10/25/44 | 537,592 | 513,523 |
|
|
|
|
|
| Government National Mortgage Association, |
|
|
|
|
|
| 109,755 | 117,470 | Series 1994-3, Class PQ, 7.49%, 07/16/24 | 109,755 | 117,470 |
|
|
|
| 500,000 | 527,467 | Series 1994-7, Class PQ, 6.50%, 10/16/24 | 500,000 | 527,467 |
|
|
|
| 114,565 | 121,126 | Series 1996-16, Class E, 7.50%, 08/16/26 | 114,565 | 121,126 |
|
|
|
| 109,470 | 116,426 | Series 1997-8, Class PN, 7.50%, 05/16/27 | 109,470 | 116,426 |
|
| 291,302 | 306,062 |
|
| Series 1998-22, Class PD, 6.50%, 09/20/28 | 291,302 | 306,062 |
|
|
|
| 128,894 | 138,130 | Series 1998-26, Class K, 7.50%, 09/17/25 | 128,894 | 138,130 |
|
| 93,176 | 95,792 |
|
| Series 1999-17, Class L, 6.00%, 05/20/29 | 93,176 | 95,792 |
|
|
|
| 119,124 | 126,433 | Series 1999-41, Class Z, 8.00%, 11/16/29 | 119,124 | 126,433 |
|
|
|
| 66,292 | 70,602 | Series 1999-44, Class PC, 7.50%, 12/20/29 | 66,292 | 70,602 |
|
|
|
| 83,563 | 88,762 | Series 1999-44, Class ZG, 8.00%, 12/20/29 | 83,563 | 88,762 |
|
|
|
| 98,585 | 104,469 | Series 2000-14, Class PD, 7.00%, 02/16/30 | 98,585 | 104,469 |
|
|
|
| 58,447 | 62,635 | Series 2000-6, Class Z, 7.50%, 02/20/30 | 58,447 | 62,635 |
|
|
|
| 366,370 | 409,359 | Series 2000-21, Class Z, 9.00%, 03/16/30 | 366,370 | 409,359 |
|
|
|
| 46,503 | 46,429 | Series 2000-26, Class Z, 7.75%, 09/20/30 | 46,503 | 46,429 |
|
|
|
| 6,744 | 1,639 | Series 2000-36, Class IK, IO, 9.00%, 11/16/30 | 6,744 | 1,639 |
|
|
|
| 800,000 | 866,745 | Series 2000-36, Class PB, 7.50%, 11/16/30 | 800,000 | 866,745 |
|
|
|
| 87,561 | 90,999 | Series 2000-37, Class B, 8.00%, 12/20/30 | 87,561 | 90,999 |
|
|
|
| 23,047 | 23,777 | Series 2000-38, Class AH, 7.15%, 12/20/30 | 23,047 | 23,777 |
|
|
|
| 51,388 | 5,257 | Series 2001-4, Class SJ, IF, IO, 5.67%, 01/19/30 | 51,388 | 5,257 |
|
| 2,500,000 | 2,644,939 |
|
| Series 2001-10, Class PE, 6.50%, 03/16/31 (m) | 2,500,000 | 2,644,939 |
|
|
|
| 161,800 | 16,249 | Series 2001-36, Class S, IF, IO, 5.58%, 08/16/31 | 161,800 | 16,249 |
|
| 3,908 | 3,904 |
|
| Series 2001-6, Class PM, 6.50%, 06/16/30 | 3,908 | 3,904 |
|
|
|
| 200,000 | 208,029 | Series 2001-64, Class MQ, 6.50%, 12/20/31 | 200,000 | 208,029 |
|
| 1,000,000 | 1,053,739 |
|
| Series 2001-64, Class PB, 6.50%, 12/20/31 | 1,000,000 | 1,053,739 |
|
|
|
| 32,119 | 30,875 | Series 2002-24, Class SB, IF, 8.22%, 04/16/32 | 32,119 | 30,875 |
|
|
|
| 164,710 | 172,822 | Series 2002-54, Class GB, 6.50%, 08/20/32 | 164,710 | 172,822 |
|
|
|
| 184,022 | 24,005 | Series 2003-4, Class NI, IO, 5.50%, 01/20/32 | 184,022 | 24,005 |
|
|
|
| 20,589 | 16,650 | Series 2003-24, Class PO, PO, 03/16/33 | 20,589 | 16,650 |
|
| 6,169,134 | 466,675 |
|
| Series 2003-59, Class XA, IO, VAR, 1.67%, 06/16/34 | 6,169,134 | 466,675 |
|
| 2,759,774 | 2,848,919 |
|
| Series 2003-75, Class BE, 6.00%, 04/16/28 | 2,759,774 | 2,848,919 |
|
|
|
| 458,001 | 33,083 | Series 2003-76, Class LS, IF, IO, 4.72%, 09/20/31 | 458,001 | 33,083 |
|
|
|
| 827,126 | 66,236 | Series 2004-11, Class SW, IF, IO, 3.02%, 02/20/34 | 827,126 | 66,236 |
|
|
|
| 84,219 | 86,690 | Series 2004-28, Class S, IF, 12.87%, 04/16/34 | 84,219 | 86,690 |
|
| 1,426,465 | 1,458,800 |
|
| Series 2004-62, Class VA, 5.50%, 07/20/15 | 1,426,465 | 1,458,800 |
|
|
|
|
|
| Government National Mortgage Association, |
|
|
13,380 | 55 |
|
|
|
| Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) | 13,380 | 55 |
150,666 | 3,197 |
|
|
|
| Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) | 150,666 | 3,197 |
|
|
|
|
|
| Vendee Mortgage Trust, |
|
|
|
|
|
| 124,439 | 125,139 | Series 1994-1, Class 1, VAR, 5.62%, 02/15/24 | 124,439 | 125,139 |
|
|
|
| 297,391 | 310,587 | Series 1996-1, Class 1Z, 6.75%, 02/15/26 | 297,391 | 310,587 |
|
|
|
| 160,895 | 171,004 | Series 1996-2, Class 1Z, 6.75%, 06/15/26 | 160,895 | 171,004 |
|
|
|
| 586,754 | 635,865 | Series 1997-1, Class 2Z, 7.50%, 02/15/27 | 586,754 | 635,865 |
|
|
|
| 164,097 | 173,328 | Series 1998-1, Class 2E, 7.00%, 03/15/28 | 164,097 | 173,328 |
| 2,377,771 |
| 70,764,372 |
| 57,447,513 |
|
| 130,589,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency CMO -- 12.3% |
|
|
|
|
|
|
|
| Adjustable Rate Mortgage Trust, |
|
|
30,653 | 26,568 |
|
|
|
| Series 2004-1, Class 9A2, VAR, 2.88%, 01/25/35 (m) | 30,653 | 26,568 |
22,549 | 17,012 |
|
|
|
| Series 2005-4, Class 7A2, VAR, 2.71%, 08/25/35 (m) | 22,549 | 17,012 |
104,578 | 78,524 |
|
|
|
| Series 2005-5, Class 6A21, VAR, 2.71%, 09/25/35 (m) | 104,578 | 78,524 |
55,396 | 43,042 |
|
|
|
| Series 2005-6A, Class 2A1, VAR, 2.79%, 11/25/35 (m) | 55,396 | 43,042 |
|
|
|
| 500,000 |
| American Home Mortgage Investment Trust, | 500,000 |
|
|
|
|
|
| 394,752 | Series 2005-3, Class 2A4, VAR, 4.85%, 09/25/35 |
| 394,752 |
|
|
|
|
|
| Banc of America Funding Corp., |
|
|
|
|
|
| 231,088 | 156,948 | Series 2003-1, Class A, PO, 05/20/33 | 231,088 | 156,948 |
|
|
|
| 495,667 | 471,207 | Series 2003-3, Class 1A33, 5.50%, 10/25/33 | 495,667 | 471,207 |
|
|
|
| 133,622 | 89,051 | Series 2004-1, Class PO, PO, 03/25/34 | 133,622 | 89,051 |
|
|
|
| 1,000,000 | 951,394 | Series 2005-6, Class 2A7, 5.50%, 10/25/35 | 1,000,000 | 951,394 |
|
|
|
| 217,729 | 130,853 | Series 2005-7, Class 30, PO, 11/25/35 | 217,729 | 130,853 |
|
|
|
| 698,568 | 693,494 | Series 2005-E, Class 4A1, VAR, 4.11%, 03/20/35 | 698,568 | 693,494 |
|
|
|
|
|
| Banc of America Mortgage Securities, Inc., |
|
|
|
|
|
| 111,260 | 98,992 | Series 2002-10, Class A, PO, 11/25/32 | 111,260 | 98,992 |
|
|
|
| 66,197 | 46,634 | Series 2003-8 Class A, PO, 11/25/33 | 66,197 | 46,634 |
|
|
|
| 69,521 | 46,495 | Series 2004-4, Class A, PO, 05/25/34 | 69,521 | 46,495 |
|
|
|
| 500,464 | 401,043 | Series 2004-5, Class 2A2, 5.50%, 06/25/34 | 500,464 | 401,043 |
|
|
|
| 250,000 | 119,277 | Series 2004-6, Class 2A5, PO, 07/25/34 | 250,000 | 119,277 |
|
|
|
| 225,727 | 140,266 | Series 2004-6, Class A, PO, 07/25/34 | 225,727 | 140,266 |
|
|
|
| 289,581 | 161,415 | Series 2004-7 Class 1A19, PO, 08/25/34 | 289,581 | 161,415 |
|
|
|
| 200,000 | 192,583 | Series 2004-E, Class 2A5, VAR, 4.11%, 06/25/34 | 200,000 | 192,583 |
|
|
|
| 550,335 | 536,043 | Series 2004-J, Class 3A1, VAR, 5.07%, 11/25/34 | 550,335 | 536,043 |
|
|
|
|
|
| Bank of America Alternative Loan Trust, |
|
|
|
|
|
| 314,167 | 161,324 | Series 2004-5, Class 3A3, PO, 06/25/34 | 314,167 | 161,324 |
|
|
|
| 131,231 | 95,975 | Series 2004-6, Class 15, PO, 07/25/19 | 131,231 | 95,975 |
|
|
|
|
|
| Bear Stearns Adjustable Rate Mortgage Trust, |
|
|
|
|
|
| 377,795 | 367,374 | Series 2003-7, Class 3A, VAR, 4.93%, 10/25/33 (i) (y) | 377,795 | 367,374 |
|
|
|
| 932,199 | 890,099 | Series 2006-1, Class A1, VAR, 4.62%, 02/25/36 (y) | 932,199 | 890,099 |
337,554 |
|
|
|
|
| CitiMortgage Alternative Loan Trust, | 337,554 |
|
| 287,024 |
|
|
|
| Series 2007-A1, Class 1A7, 6.00%, 01/25/37 (m) |
| 287,024 |
|
|
|
|
|
| Citicorp Mortgage Securities, Inc., |
|
|
|
|
|
| 1,186,455 | 1,151,456 | Series 2004-1, Class 3A1, 4.75%, 01/25/34 | 1,186,455 | 1,151,456 |
|
|
|
| 618,851 | 586,311 | Series 2004-5, Class 2A5, 4.50%, 08/25/34 | 618,851 | 586,311 |
|
|
|
|
|
| Citigroup Mortgage Loan Trust, Inc., |
|
|
|
|
|
| 75,651 | 74,363 | Series 2003-UP3, Class A3, 7.00%, 09/25/33 | 75,651 | 74,363 |
|
|
|
| 91,125 | 67,428 | Series 2003-UST1, Class 1, PO, 12/25/18 | 91,125 | 67,428 |
|
|
|
| 52,166 | 39,841 | Series 2003-UST1, Class 3, PO, 12/25/18 | 52,166 | 39,841 |
|
|
|
| 195,216 | 192,105 | Series 2003-UST1, Class A1, 5.50%, 12/25/18 | 195,216 | 192,105 |
|
|
|
| 216,607 | 202,811 | Series 2005-1, Class 2A1A, VAR, 6.48%, 04/25/35 | 216,607 | 202,811 |
|
|
|
|
|
| Countrywide Alternative Loan Trust, |
|
|
|
|
|
| 264,067 | 262,511 | Series 2002-8, Class A4, 6.50%, 07/25/32 | 264,067 | 262,511 |
|
|
|
| 93,019 | 66,220 | Series 2003-J1, Class PO, PO, 10/25/33 | 93,019 | 66,220 |
|
|
|
| 200,000 | 179,900 | Series 2004-18CB, Class 2A4, 5.70%, 09/25/34 | 200,000 | 179,900 |
452,018 | 410,771 |
|
|
|
| Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) | 452,018 | 410,771 |
|
|
|
| 1,417,163 | 1,091,034 | Series 2004-2CB, Class 1A9, 5.75%, 03/25/34 | 1,417,163 | 1,091,034 |
|
|
|
| 325,423 | 314,458 | Series 2005-5R, Class A1, 5.25%, 12/25/18 | 325,423 | 314,458 |
|
|
|
| 2,401,483 | 73,295 | Series 2005-22T1, Class A2, IF, IO, 2.59%, 06/25/35 | 2,401,483 | 73,295 |
|
|
|
| 212,991 | 208,731 | Series 2005-26CB, Class 1A5, IF, 8.55%, 07/25/35 | 212,991 | 208,731 |
|
|
|
| 1,181,600 | 970,200 | Series 2005-28CB, Class 1A4, 5.50%, 08/25/35 | 1,181,600 | 970,200 |
|
|
|
| 600,000 | 524,377 | Series 2005-54CB, Class 1A11, 5.50%, 11/25/35 | 600,000 | 524,377 |
|
|
|
| 2,231,044 | 68,587 | Series 2005-J1, Class 1A4, IF, IO, 2.62%, 02/25/35 | 2,231,044 | 68,587 |
729,327 | 602,663 |
|
|
|
| Series 2006-J5, Class 1A1, 6.50%, 09/25/36 (i) | 729,327 | 602,663 |
|
|
|
| 200,000 | 125,430 | Series 2007-21BC, Class 1A5, 6.00%, 09/25/37 | 200,000 | 125,430 |
|
|
|
|
|
| Countrywide Home Loan Mortgage Pass Through Trust, |
|
|
650,642 | 649,488 |
|
|
|
| Series 2002-22, Class A20, 6.25%, 10/25/32 (m) | 650,642 | 649,488 |
|
|
|
| 681,767 | 585,443 | Series 2003-26, Class 1A6, 3.50%, 08/25/33 | 681,767 | 585,443 |
|
|
|
| 74,470 | 66,686 | Series 2003-34, Class A11, 5.25%, 09/25/33 | 74,470 | 66,686 |
|
|
|
| 186,364 | 136,442 | Series 2003-44, Class A6, PO, 10/25/33 | 186,364 | 136,442 |
|
|
|
| 218,619 | 199,077 | Series 2003-J7, Class 4A3, IF, 6.58%, 08/25/18 | 218,619 | 199,077 |
|
|
|
| 205,844 | 202,430 | Series 2004-7 Class 2A1, VAR, 4.03%, 06/25/34 | 205,844 | 202,430 |
|
|
|
| 127,341 | 122,256 | Series 2004-HYB1, Class 2A, VAR, 4.19%, 05/20/34 | 127,341 | 122,256 |
|
|
|
| 172,096 | 171,243 | Series 2004-HYB3, Class 2A, VAR, 4.08%, 06/20/34 | 172,096 | 171,243 |
|
|
|
| 115,791 | 81,642 | Series 2004-J8, Class A, PO, 11/25/19 | 115,791 | 81,642 |
|
|
|
| 690,999 | 659,653 | Series 2004-J8, Class 1A2, 4.75%, 11/25/19 | 690,999 | 659,653 |
|
|
|
| 500,000 | 470,121 | Series 2005-16, Class A23, 5.50%, 09/25/35 | 500,000 | 470,121 |
|
|
|
| 659,590 | 601,644 | Series 2005-22, Class 2A1, VAR, 5.25%, 11/25/35 | 659,590 | 601,644 |
26,987 |
|
|
|
|
| Credit-Based Asset Servicing and Securitization LLC, | 26,987 |
|
| 26,754 |
|
|
|
| Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) |
| 26,754 |
|
|
|
|
|
| CS First Boston Mortgage Securities Corp., |
|
|
102,326 | 102,192 |
|
|
|
| Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) | 102,326 | 102,192 |
|
|
|
| 122,692 | 90,332 | Series 2004-5, Class 5P, PO, 08/25/19 | 122,692 | 90,332 |
|
|
|
| 296,536 |
| First Horizon Alternative Mortgage Securities, | 296,536 |
|
|
|
|
|
| 239,093 | Series 2005-FA8, Class 1A19, 5.50%, 11/25/35 |
| 239,093 |
|
|
|
|
|
| First Horizon Asset Securities, Inc., |
|
|
|
|
|
| 451,626 | 418,312 | Series 2003-3, Class 1A4, 3.90%, 05/25/33 | 451,626 | 418,312 |
|
|
|
| 481,691 | 471,614 | Series 2004-AR7, Class 2A1, VAR, 4.91%, 02/25/35 | 481,691 | 471,614 |
|
|
|
| 300,000 | 294,347 | Series 2004-AR7, Class 2A2, VAR, 4.91%, 02/25/35 | 300,000 | 294,347 |
|
|
|
| 416,659 | 400,414 | Series 2005-AR1, Class 2A2, VAR, 5.00%, 04/25/35 | 416,659 | 400,414 |
424,442 | 378,320 |
|
|
|
| Series 2006-FA4, Class 1A1, 6.00%, 08/25/36 (m) | 424,442 | 378,320 |
|
|
|
| 650,000 |
| GMAC Mortgage Corp. Loan Trust, | 650,000 |
|
|
|
|
|
| 622,431 | Series 2005-AR3, Class 3A4, VAR, 4.85%, 06/19/35 |
| 622,431 |
90,039 |
|
|
|
|
| Greenpoint Mortgage Funding Trust, | 90,039 |
|
| 71,307 |
|
|
|
| Series 2005-AR4, Class 4A1A, VAR, 2.79%, 10/25/45 (m) |
| 71,307 |
|
|
|
|
|
| GSR Mortgage Loan Trust, |
|
|
|
|
|
| 465,868 | 347,922 | Series 2004-6F, Class 1A2, 5.00%, 05/25/34 | 465,868 | 347,922 |
|
|
|
| 1,000,000 | 962,346 | Series 2004-6F, Class 3A4, 6.50%, 05/25/34 | 1,000,000 | 962,346 |
|
|
|
| 526,297 | 514,137 | Series 2004-10F, Class 2A1, 5.00%, 08/25/19 | 526,297 | 514,137 |
|
|
|
| 60,150 | 54,521 | Series 2004-13F, Class 3A3, 6.00%, 11/25/34 | 60,150 | 54,521 |
|
|
|
|
|
| Indymac Index Mortgage Loan Trust, |
|
|
54,594 | 43,528 |
|
|
|
| Series 2004-AR7, Class A1, VAR, 2.92%, 09/25/34 (m) | 54,594 | 43,528 |
|
|
|
| 2,880,038 | 40,617 | Series 2005-AR11, Class A7, VAR, IO, 0.71%, 08/25/35 | 2,880,038 | 40,617 |
88,399 |
|
|
|
|
| Lehman Mortgage Trust, | 88,399 |
|
| 83,537 |
|
|
|
| Series 2007-4, Class 4A1, 6.00%, 05/25/37 |
| 83,537 |
|
|
|
|
|
| MASTR Adjustable Rate Mortgages Trust, |
|
|
|
|
|
| 356,142 | 354,796 | Series 2004-13, Class 2A1, VAR, 3.82%, 04/21/34 | 356,142 | 354,796 |
|
|
|
| 1,100,000 | 1,073,318 | Series 2004-13, Class 3A6, VAR, 3.79%, 11/21/34 | 1,100,000 | 1,073,318 |
|
|
|
|
|
| MASTR Alternative Loans Trust, |
|
|
|
|
|
| 430,151 | 385,680 | Series 2003-9, Class 8A1, 6.00%, 01/25/34 | 430,151 | 385,680 |
|
|
|
| 1,099,095 | 1,020,785 | Series 2004-4, Class 10A1, 5.00%, 05/25/24 | 1,099,095 | 1,020,785 |
|
|
|
| 465,712 | 432,530 | Series 2004-6, Class 7A1, 6.00%, 07/25/34 | 465,712 | 432,530 |
|
|
|
| 66,316 | 43,962 | Series 2004-7, Class 30, PO, 08/25/34 | 66,316 | 43,962 |
|
|
|
| 475,948 | 449,571 | Series 2004-8, Class 6A1, 5.50%, 09/25/19 | 475,948 | 449,571 |
|
|
|
| 599,517 | 552,305 | Series 2004-10, Class 1A1, 4.50%, 09/25/19 | 599,517 | 552,305 |
|
|
|
|
|
| MASTR Asset Securitization Trust, |
|
|
|
|
|
| 105,678 | 105,150 | Series 2003-4, Class 2A2, 5.00%, 05/25/18 | 105,678 | 105,150 |
|
|
|
| 200,525 | 198,046 | Series 2003-11, Class 6A2, 4.00%, 12/25/33 | 200,525 | 198,046 |
|
|
|
| 220,565 | 166,150 | Series 2003-12, Class 15, PO, 12/25/18 | 220,565 | 166,150 |
|
|
|
| 304,891 | 223,996 | Series 2004-6, Class PO, PO, 07/25/19 | 304,891 | 223,996 |
|
|
|
| 293,572 | 215,266 | Series 2004-8, Class PO, PO, 08/25/19 | 293,572 | 215,266 |
|
|
|
| 509,013 | 365,206 | Series 2004-10, Class 15, PO, 10/25/19 | 509,013 | 365,206 |
|
|
|
| 974,424 |
| MASTR Resecuritization Trust, | 974,424 |
|
|
|
|
|
| 640,347 | Series 2005-PO, Class 3, PO, 05/28/35 (e) |
| 640,347 |
76,875 |
|
|
|
|
| Medallion Trust (Australia), | 76,875 |
|
| 72,153 |
|
|
|
| Series 2004-1G, Class A1, VAR, 2.77%, 05/25/35 |
| 72,153 |
|
|
|
| 138,261 |
| MortgageIT Trust, | 138,261 |
|
|
|
|
|
| 116,766 | Series 2005-1, Class 1A1, VAR, 2.80%, 02/25/35 |
| 116,766 |
|
|
|
| 111,755 |
| Nomura Asset Acceptance Corp., | 111,755 |
|
|
|
|
|
| 112,694 | Series 2004-R2, Class A1, VAR, 6.50%, 10/25/34 (e) |
| 112,694 |
|
|
|
|
|
| RESI Finance LP (Cayman Islands), |
|
|
499,725 | 402,550 |
|
|
|
| Series 2003-C, Class B3, VAR, 3.85%, 09/10/35 (e) | 499,725 | 402,550 |
92,542 | 73,459 |
|
|
|
| Series 2003-C, Class B4, VAR, 4.05%, 09/10/35 (e) | 92,542 | 73,459 |
474,303 | 395,689 |
|
|
|
| Series 2003-D, Class B3, VAR, 3.75%, 12/10/35 (e) | 474,303 | 395,689 |
155,061 | 129,583 |
|
|
|
| Series 2003-D, Class B4, VAR, 3.95%, 12/10/35 (e) | 155,061 | 129,583 |
232,668 | 148,617 |
|
|
|
| Series 2005-A, Class B3, VAR, 3.03%, 03/10/37 (e) | 232,668 | 148,617 |
94,967 | 57,455 |
|
|
|
| Series 2005-A, Class B4, VAR, 3.13%, 03/10/37 (e) | 94,967 | 57,455 |
|
|
|
|
|
| Residential Accredit Loans, Inc., |
|
|
|
|
|
| 283,105 | 282,368 | Series 2002-QS8, Class A5, 6.25%, 06/25/17 | 283,105 | 282,368 |
|
|
|
| 780,428 | 677,788 | Series 2003-QR19, Class CB4, 5.75%, 10/25/33 | 780,428 | 677,788 |
|
|
|
| 69,846 | 70,663 | Series 2003-QS3, Class A2, IF, 11.04%, 02/25/18 | 69,846 | 70,663 |
|
|
|
| 246,900 | 20,396 | Series 2003-QS3, Class A8, IF, IO, 5.12%, 02/25/18 | 246,900 | 20,396 |
|
|
|
| 547,450 | 50,983 | Series 2003-QS9, Class A3, IF, IO, 5.07%, 05/25/18 | 547,450 | 50,983 |
|
|
|
| 652,345 | 615,651 | Series 2003-QS14, Class A1, 5.00%, 07/25/18 | 652,345 | 615,651 |
|
|
|
| 198,882 | 192,170 | Series 2003-QS18, Class A1, 5.00%, 09/25/18 | 198,882 | 192,170 |
|
|
|
| 86,941 |
| Residential Asset Securitization Trust, | 86,941 |
|
|
|
|
|
| 78,243 | Series 2003-A14, Class A1, 4.75%, 02/25/19 |
| 78,243 |
|
|
|
|
|
| Residential Funding Mortgage Securities I, |
|
|
|
|
|
| 409,314 | 374,909 | Series 2003-S7, Class A17, 4.00%, 05/25/33 | 409,314 | 374,909 |
|
|
|
| 217,943 | 209,591 | Series 2003-S11, Class A1, 2.50%, 06/25/18 | 217,943 | 209,591 |
|
|
|
| 165,000 | 151,979 | Series 2003-S12, Class 4A5, 4.50%, 12/25/32 | 165,000 | 151,979 |
|
|
|
| 357,056 | 345,322 | Series 2005-SA4, Class 1A1, VAR, 4.93%, 09/25/35 | 357,056 | 345,322 |
15,833 |
|
|
|
|
| SACO I, Inc., | 15,833 |
|
| 15,952 |
|
|
|
| Series 1997-2, Class 1A5, 7.00%, 08/25/36 (i) |
| 15,952 |
|
|
|
| 27,656 |
| Salomon Brothers Mortgage Securities VII, Inc., | 27,656 |
|
|
|
|
|
| 22,015 | Series 2003-UP2, Class 1, PO, 12/25/18 |
| 22,015 |
162,246 |
|
|
|
|
| Structured Asset Mortgage Investments, Inc., | 162,246 |
|
| 127,787 |
|
|
|
| Series 2005-AR2, Class 2A1, VAR, 2.71%, 05/25/45 |
| 127,787 |
|
|
|
| 400,000 |
| Structured Adjustable Rate Mortgage Loan Trust, | 400,000 |
|
|
|
|
|
| 358,947 | Series 2004-6, Class 5A4, VAR, 4.97%, 06/25/34 |
| 358,947 |
|
|
|
|
|
| Structured Asset Securities Corp., |
|
|
|
|
|
| 500,000 | 485,915 | Series 2003-8, Class 1A2, 5.00%, 04/25/18 | 500,000 | 485,915 |
|
|
|
| 300,981 | 281,279 | Series 2004-20, Class 1A3, 5.25%, 11/25/34 | 300,981 | 281,279 |
273,595 |
|
|
|
|
| Thornburg Mortgage Securities Trust, | 273,595 |
|
| 269,514 |
|
|
|
| Series 2006-2, Class A2A, VAR, 2.59%, 03/25/36 |
| 269,514 |
|
|
|
|
|
| WaMu Mortgage Pass-Through Certificates, |
|
|
69,281 | 53,501 |
|
|
|
| Series 2005-AR2, Class 2A21, VAR, 2.81%, 01/25/45 | 69,281 | 53,501 |
177,770 | 140,942 |
|
|
|
| Series 2005-AR9, Class A1A, VAR, 2.80%, 07/25/45 | 177,770 | 140,942 |
|
|
|
|
|
| Washington Mutual Alternative Mortgage Pass-Through Certificates, |
|
|
|
|
|
| 3,071,448 | 90,474 | Series 2005-2, Class 1A4, IF, IO, 2.57%, 04/25/35 | 3,071,448 | 90,474 |
|
|
|
| 1,050,697 | 30,174 | Series 2005-2, Class 2A3, IF, IO, 2.52%, 04/25/35 | 1,050,697 | 30,174 |
|
|
|
| 800,000 | 689,788 | Series 2005-4, Class CB7, 5.50%, 06/25/35 | 800,000 | 689,788 |
|
|
|
| 109,208 | 76,628 | Series 2005-4, Class DP, PO, 06/25/20 | 109,208 | 76,628 |
|
|
|
| 309,490 | 268,276 | Series 2005-6, Class 2A4, 5.50%, 08/25/35 | 309,490 | 268,276 |
247,649 |
|
|
|
|
| Washington Mutual Alternative Mortgage Pass-Through Certificates, | 247,649 |
|
| 195,333 |
|
|
|
| Series 2006-5, Class 2CB1, 6.00%, 07/25/36 |
| 195,333 |
|
|
|
| 190,339 |
| Washington Mutual MSC Mortgage Pass-Through Certificates, | 190,339 |
|
|
|
|
|
| 189,031 | Series 2002-MS12, Class A, 6.50%, 05/25/32 |
| 189,031 |
|
|
|
|
|
| WaMu Mortgage Pass-Through Certificates, |
|
|
|
|
|
| 70,714 | 69,684 | Series 2003-AR8, Class A, VAR, 4.03%, 08/25/33 | 70,714 | 69,684 |
|
|
|
| 297,504 | 294,428 | Series 2003-S4, Class 3A, 5.50%, 06/25/33 | 297,504 | 294,428 |
|
|
|
| 452,456 | 419,849 | Series 2003-S8, Class A4, 4.50%, 09/25/18 | 452,456 | 419,849 |
|
|
|
| 864,090 | 830,869 | Series 2003-S10, Class A5, 5.00%, 10/25/18 | 864,090 | 830,869 |
|
|
|
| 66,469 | 51,843 | Series 2003-S10, Class A6, PO, 10/25/18 | 66,469 | 51,843 |
|
|
|
| 124,381 | 121,481 | Series 2004-AR3, Class A2, VAR, 4.24%, 06/25/34 | 124,381 | 121,481 |
|
|
|
| 905,378 | 922,827 | Series 2004-S3, Class 2A3, IF, 12.01%, 07/25/34 | 905,378 | 922,827 |
|
|
|
|
|
| Wells Fargo Mortgage Backed Securities Trust, |
|
|
|
|
|
| 150,000 | 145,531 | Series 2003-8, Class A9, 4.50%, 08/25/18 | 150,000 | 145,531 |
|
|
|
| 82,805 | 61,936 | Series 2003-11, Class 1A, PO, 10/25/18 | 82,805 | 61,936 |
|
|
|
| 663,000 | 644,551 | Series 2003-11, Class 1A4, 4.75%, 10/25/18 | 663,000 | 644,551 |
|
|
|
| 146,798 | 145,549 | Series 2003-17, Class 2A4, 5.50%, 01/25/34 | 146,798 | 145,549 |
|
|
|
| 542,279 | 510,085 | Series 2003-K, Class 1A2, VAR, 4.49%, 11/25/33 | 542,279 | 510,085 |
|
|
|
| 307,381 | 297,775 | Series 2004-7, Class 2A2, 5.00%, 07/25/19 | 307,381 | 297,775 |
|
|
|
| 527,724 | 520,462 | Series 2004-EE, Class 3A1, VAR, 4.02%, 12/25/34 | 527,724 | 520,462 |
|
|
|
| 661,464 | 646,152 | Series 2004-P, Class 2A1, VAR, 4.23%, 09/25/34 | 661,464 | 646,152 |
|
|
|
| 600,000 | 593,285 | Series 2004-S, Class A5, VAR, 3.54%, 09/25/34 | 600,000 | 593,285 |
|
|
|
| 324,572 | 321,367 | Series 2005-AR10, Class 2A4, VAR, 4.11%, 06/25/35 | 324,572 | 321,367 |
|
|
|
| 254,730 | 245,486 | Series 2005-AR16, Class 2A1, VAR, 4.94%, 10/25/35 | 254,730 | 245,486 |
324,405 | 314,267 |
|
|
|
| Series 2007-7, Class A1, 6.00%, 06/25/37 | 324,405 | 314,267 |
| 5,217,532 |
| - |
| 38,959,318 |
|
| 44,176,850 |
|
|
|
|
|
| Total Collateralized Mortgage Obligations |
|
|
| 7,595,303 |
| 70,764,372 |
| 96,406,831 | (Cost $8,293,077, $70,138,202, $98,659,162 and $177,090,441, respectively) |
| 174,766,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities -- 1.2% |
|
|
|
|
|
| 550,000 |
| Banc of America Commercial Mortgage, Inc., | 550,000 |
|
|
|
|
|
| 533,068 | Series 2005-6, Class ASB, VAR, 5.35%, 09/10/47 |
| 533,068 |
|
|
|
|
|
| Bear Stearns Commercial Mortgage Securities, |
|
|
|
|
|
| 2,859 | 2,862 | Series 2000-WF1, Class A1, VAR, 7.64%, 02/15/32 (y) | 2,859 | 2,862 |
250,000 | 233,139 |
|
|
|
| Series 2005-PWR8, Class A4, 4.67%, 06/11/41 (m) (y) | 250,000 | 233,139 |
|
|
|
| 250,000 | 239,924 | Series 2005-PWR9, Class AAB, 4.80%, 09/11/42 (y) | 250,000 | 239,924 |
|
|
|
| 360,000 | 346,435 | Series 2006-PW11, Class A4, VAR, 5.62%, 03/11/39 (y) | 360,000 | 346,435 |
|
|
|
| 212,543 | 210,451 | Series 2006-PW14, Class A1, 5.04%, 12/11/38 (y) | 212,543 | 210,451 |
|
|
|
| 155,001 |
| Citigroup Commercial Mortgage Trust, | 155,001 |
|
|
|
|
|
| 156,082 | Series 2006-C4, Class A1, VAR, 5.92%, 03/15/49 |
| 156,082 |
|
|
|
|
|
| Credit Suisse Mortgage Capital Certificates, |
|
|
565,000 | 544,145 |
|
|
|
| Series 2006-C1, Class A4, VAR, 5.61%, 02/15/39 (m) | 565,000 | 544,145 |
335,000 | 320,035 |
|
|
|
| Series 2007-C4, Class A3, VAR, 6.00%, 09/15/39 (m) | 335,000 | 320,035 |
|
|
|
| 90,807 |
| DLJ Commercial Mortgage Corp., | 90,807 |
|
|
|
|
|
| 92,479 | Series 1999-CG2, Class A1B, VAR, 7.30%, 06/10/32 |
| 92,479 |
|
|
|
|
|
| LB-UBS Commercial Mortgage Trust, |
|
|
75,000 | 70,721 |
|
|
|
| Series 2005-C1, Class A4, 4.74%, 02/15/30 | 75,000 | 70,721 |
195,000 | 192,024 |
|
|
|
| Series 2006-C4, Class A4, VAR, 5.88%, 06/15/38 | 195,000 | 192,024 |
|
|
|
| 100,000 | 97,510 | Series 2008-C1, Class A2, VAR, 6.15%, 04/15/41 | 100,000 | 97,510 |
|
|
|
| 330,000 |
| Merrill Lynch Mortgage Trust, | 330,000 |
|
|
|
|
|
| 316,915 | Series 2005-MCP1, Class ASB, VAR, 4.67%, 06/12/43 |
| 316,915 |
|
|
|
|
|
| Morgan Stanley Capital I, |
|
|
|
|
|
| 198,127 | 197,319 | Series 2006-IQ12, Class A1, 5.26%, 12/15/43 | 198,127 | 197,319 |
|
|
|
| 73,087 | 73,475 | Series 2006-T23, Class A1, 5.68%, 08/12/41 | 73,087 | 73,475 |
|
|
|
| 200,000 |
| TIAA Retail Commercial Trust (Cayman Islands), | 200,000 |
|
|
|
|
|
| 195,933 | Series 2007-C4, Class A3, VAR, 6.10%, 08/15/39 |
| 195,933 |
|
|
|
| 450,000 |
| Wachovia Bank Commercial Mortgage Trust, | 450,000 |
|
|
|
|
|
| 444,961 | Series 2004-C15, Class A2, 4.04%, 10/15/41 |
| 444,961 |
|
|
|
|
|
| Total Commercial Mortgage-Backed Securities |
|
|
| 1,360,064 |
| - |
| 2,907,414 | (Cost $1,402,120, $0, $2,990,622 and $4,392,742, respectively) |
| 4,267,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds -- 10.6% |
|
|
|
|
|
|
|
| Aerospace & Defense -- 0.1% |
|
|
20,000 |
|
|
|
|
| L-3 Communications Corp., | 20,000 |
|
| 18,450 |
|
|
|
| 5.88%, 01/15/15 |
| 18,450 |
|
|
|
| 135,000 |
| Northrop Grumman Corp., | 135,000 |
|
|
|
|
|
| 143,915 | 7.13%, 02/15/11 |
| 143,915 |
|
|
|
| 50,213 |
| Systems 2001 AT LLC (Cayman Islands), | 50,213 |
|
|
|
|
|
| 51,967 | 7.16%, 12/15/11 (c) (e) |
| 51,967 |
| 18,450 |
| - |
| 195,882 |
|
| 214,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics -- 0.0% (g) |
|
|
|
|
|
|
|
| United Parcel Service, Inc., |
|
|
|
|
|
| 50,000 | 50,628 | 5.50%, 01/15/18 | 50,000 | 50,628 |
65,000 | 65,883 |
|
|
|
| 6.20%, 01/15/38 | 65,000 | 65,883 |
| 65,883 |
| - |
| 50,628 |
|
| 116,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Airlines -- 0.1% |
|
|
|
|
|
| 85,000 |
| American Airlines, Inc., | 85,000 |
|
|
|
|
|
| 82,875 | Series 1999-1, 7.02%, 10/15/09 (c) |
| 82,875 |
|
|
|
|
|
| United Air Lines, Inc., |
|
|
|
|
|
| 85,174 | 85,493 | Series 2001-1, 6.07%, 03/01/13 | 85,174 | 85,493 |
|
|
|
| 54,435 | 53,346 | Series 2001-1, 6.20%, 09/01/10 (f) | 54,435 | 53,346 |
| - |
| - |
| 221,714 |
|
| 221,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles -- 0.1% |
|
|
|
|
|
| 350,000 |
| Daimler Finance North America LLC, | 350,000 |
|
|
|
|
|
| 359,996 | 7.20%, 09/01/09 |
| 359,996 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beverages -- 0.1% |
|
|
|
|
|
| 50,000 |
| Coca-Cola Enterprises, Inc., | 50,000 |
|
|
|
|
|
| 56,082 | 8.50%, 02/01/12 |
| 56,082 |
35,000 |
|
|
|
|
| Constellation Brands, Inc., | 35,000 |
|
| 32,900 |
|
|
|
| 7.25%, 09/01/16 (m) |
| 32,900 |
95,000 |
|
|
|
|
| Diageo Capital plc (United Kingdom), | 95,000 |
|
| 93,764 |
|
|
|
| 5.75%, 10/23/17 (m) |
| 93,764 |
85,000 |
|
|
|
|
| Dr. Pepper Snapple Group, Inc., | 85,000 |
|
| 85,351 |
|
|
|
| 6.82%, 05/01/18 (e) (m) |
| 85,351 |
| 212,015 |
| - |
| 56,082 |
|
| 268,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets -- 1.6% |
|
|
20,000 |
|
|
|
|
| Arch Western Finance LLC, | 20,000 |
|
| 19,600 |
|
|
|
| 6.75%, 07/01/13 (m) |
| 19,600 |
|
|
|
|
|
| Bear Stearns Cos., Inc. (The), |
|
|
|
|
|
| 100,000 | 98,631 | 3.25%, 03/25/09 (y) | 100,000 | 98,631 |
|
|
|
| 100,000 | 96,642 | 5.70%, 11/15/14 (y) | 100,000 | 96,642 |
|
|
|
| 250,000 | 247,048 | 6.40%, 10/02/17 (y) | 250,000 | 247,048 |
|
|
|
|
|
| Credit Suisse First Boston USA, Inc., |
|
|
|
|
|
| 50,000 | 47,694 | 4.88%, 01/15/15 | 50,000 | 47,694 |
|
|
|
| 150,000 | 149,767 | 5.50%, 08/15/13 (c) | 150,000 | 149,767 |
|
|
|
| 500,000 | 513,336 | 6.13%, 11/15/11 | 500,000 | 513,336 |
60,000 |
|
|
|
|
| Credit Suisse Guernsey Ltd. (Switzerland), | 60,000 |
|
| 50,019 |
|
|
|
| 5.86%, 05/15/17 (m) (x) |
| 50,019 |
|
|
|
|
|
| Goldman Sachs Group, Inc. (The), |
|
|
|
|
|
| 200,000 | 200,006 | 3.88%, 01/15/09 | 200,000 | 200,006 |
|
|
|
| 375,000 | 360,713 | 4.75%, 07/15/13 | 375,000 | 360,713 |
|
|
|
| 150,000 | 146,829 | 5.25%, 10/15/13 | 150,000 | 146,829 |
|
|
|
| 100,000 | 97,848 | 5.50%, 11/15/14 | 100,000 | 97,848 |
|
|
|
| 150,000 | 143,993 | 5.95%, 01/18/18 | 150,000 | 143,993 |
105,000 | 90,530 |
|
|
|
| 5.95%, 01/15/27 (m) | 105,000 | 90,530 |
35,000 | 32,016 |
|
| 70,000 | 64,032 | 6.75%, 10/01/37 | 105,000 | 96,048 |
|
|
|
| 200,000 | 207,617 | 6.88%, 01/15/11 | 200,000 | 207,617 |
35,000 |
|
|
|
|
| Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. | 35,000 |
|
| 35,175 |
|
|
|
| PIK, 8.88%, 04/01/15 (m) |
| 35,175 |
|
|
|
|
|
| Lehman Brothers Holdings, Inc., |
|
|
|
|
|
| 200,000 | 179,569 | 4.80%, 03/13/14 | 200,000 | 179,569 |
75,000 | 70,988 |
|
|
|
| 5.63%, 01/24/13 | 75,000 | 70,988 |
|
|
|
| 100,000 | 95,122 | 5.75%, 05/17/13 | 100,000 | 95,122 |
|
|
|
| 175,000 | 173,147 | 6.63%, 01/18/12 | 175,000 | 173,147 |
315,000 | 300,248 |
|
|
|
| VAR, 2.97%, 11/10/09 | 315,000 | 300,248 |
20,000 |
|
|
|
|
| LVB Acquisition Merger Sub, Inc., | 20,000 |
|
| 21,200 |
|
|
|
| 10.38%, 10/15/17 (e) |
| 21,200 |
|
|
|
|
|
| Merrill Lynch & Co., Inc., |
|
|
|
|
|
| 200,000 | 197,712 | 4.13%, 01/15/09 | 200,000 | 197,712 |
|
|
|
| 100,000 | 97,223 | 4.79%, 08/04/10 | 100,000 | 97,223 |
|
|
|
| 120,000 | 112,517 | 5.45%, 07/15/14 | 120,000 | 112,517 |
60,000 | 58,723 |
|
|
|
| 6.05%, 08/15/12 | 60,000 | 58,723 |
|
|
|
| 135,000 | 130,842 | 6.15%, 04/25/13 | 135,000 | 130,842 |
|
|
|
| 80,000 | 74,131 | 6.40%, 08/28/17 | 80,000 | 74,131 |
|
|
|
| 90,000 | 85,655 | 6.88%, 04/25/18 | 90,000 | 85,655 |
|
|
|
|
|
| Morgan Stanley, |
|
|
|
|
|
| 400,000 | 364,492 | 4.75%, 04/01/14 | 400,000 | 364,492 |
|
|
|
| 300,000 | 305,016 | 6.60%, 04/01/12 | 300,000 | 305,016 |
185,000 | 175,292 |
|
|
|
| 6.63%, 04/01/18 | 185,000 | 175,292 |
|
|
|
| 450,000 | 461,608 | 6.75%, 04/15/11 | 450,000 | 461,608 |
100,000 | 99,614 |
|
|
|
| VAR, 4.78%, 05/14/10 | 100,000 | 99,614 |
|
|
|
| 150,000 |
| State Street Corp., | 150,000 |
|
|
|
|
|
| 157,466 | 7.65%, 06/15/10 |
| 157,466 |
|
|
|
| 100,000 |
| UBS AG (Switzerland), | 100,000 |
|
|
|
|
|
| 95,422 | 5.75%, 04/25/18 |
| 95,422 |
| 953,405 |
| - |
| 4,904,078 |
|
| 5,857,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals -- 0.2% |
|
|
|
|
|
|
|
| Dow Chemical Co. (The), |
|
|
|
|
|
| 110,000 | 113,980 | 6.00%, 10/01/12 | 110,000 | 113,980 |
|
|
|
| 150,000 | 154,930 | 6.13%, 02/01/11 | 150,000 | 154,930 |
|
|
|
| 30,000 | 31,818 | 7.38%, 11/01/29 | 30,000 | 31,818 |
30,000 |
|
|
|
|
| Huntsman LLC, | 30,000 |
|
| 31,125 |
|
|
|
| 11.50%, 07/15/12 (m) |
| 31,125 |
|
|
|
| 80,000 |
| Monsanto Co., | 80,000 |
|
|
|
|
|
| 88,108 | 7.38%, 08/15/12 |
| 88,108 |
30,000 |
|
|
|
|
| Nalco Co., | 30,000 |
|
| 30,000 |
|
|
|
| 7.75%, 11/15/11 |
| 30,000 |
|
|
|
|
|
| PolyOne Corp., |
|
|
20,000 | 20,000 |
|
|
|
| 8.88%, 05/01/12 (e) | 20,000 | 20,000 |
20,000 | 20,000 |
|
|
|
| 8.88%, 05/01/12 | 20,000 | 20,000 |
|
|
|
| 50,000 |
| Potash Corp. of Saskatchewan (Canada), | 50,000 |
|
|
|
|
|
| 49,871 | 4.88%, 03/01/13 |
| 49,871 |
|
|
|
| 90,000 |
| Praxair, Inc., | 90,000 |
|
|
|
|
|
| 91,048 | 5.25%, 11/15/14 |
| 91,048 |
| 101,125 |
| - |
| 529,755 |
|
| 630,880 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Banks -- 1.3% |
|
|
|
|
|
|
|
| Barclays Bank plc (United Kingdom), |
|
|
|
|
|
| 100,000 | 101,162 | 5.45%, 09/12/12 | 100,000 | 101,162 |
|
|
|
| 150,000 | 147,029 | 6.05%, 12/04/17 (e) | 150,000 | 147,029 |
|
|
|
| 75,000 |
| Branch Banking & Trust Co., | 75,000 |
|
|
|
|
|
| 72,394 | 4.88%, 01/15/13 |
| 72,394 |
75,000 |
|
|
|
|
| Depfa ACS Bank (Ireland), | 75,000 |
|
| 71,237 |
|
|
|
| 5.13%, 03/16/37 (e) (m) |
| 71,237 |
90,000 |
|
|
|
|
| Deutsche Bank AG (Germany), | 90,000 |
|
| 91,326 |
|
|
|
| 5.38%, 10/12/12 (m) |
| 91,326 |
350,000 |
|
|
|
|
| Glitnir Banki HF (Iceland), | 350,000 |
|
| 348,041 |
|
|
|
| VAR, 2.87%, 10/15/08 (e) (m) |
| 348,041 |
|
|
|
| 50,000 |
| HSBC Holdings plc (United Kingdom), | 50,000 |
|
|
|
|
|
| 49,326 | 7.35%, 11/27/32 |
| 49,326 |
200,000 |
|
|
|
|
| HBOS plc (United Kingdom), | 200,000 |
|
| 142,440 |
|
|
|
| 5.92%, 10/01/15 (e) (m) (x) |
| 142,440 |
|
|
|
| 250,000 |
| Huntington National Bank (The), | 250,000 |
|
|
|
|
|
| 252,036 | 8.00%, 04/01/10 |
| 252,036 |
200,000 |
|
|
|
|
| ICICI Bank Ltd. (India), | 200,000 |
|
| 193,920 |
|
|
|
| VAR, 3.25%, 01/12/10 (e) (m) |
| 193,920 |
|
|
|
|
|
| Keycorp, |
|
|
|
|
|
| 200,000 | 197,189 | 4.70%, 05/21/09 | 200,000 | 197,189 |
|
|
|
| 35,000 | 31,250 | 6.50%, 05/14/13 | 35,000 | 31,250 |
|
|
|
| 75,000 |
| Marshall & Ilsley Corp., | 75,000 |
|
|
|
|
|
| 72,436 | 5.35%, 04/01/11 |
| 72,436 |
|
|
|
| 20,000 |
| National City Bank, | 20,000 |
|
|
|
|
|
| 18,071 | VAR, 2.93%, 01/21/10 |
| 18,071 |
|
|
|
| 50,000 |
| PNC Funding Corp., | 50,000 |
|
|
|
|
|
| 46,316 | 5.25%, 11/15/15 |
| 46,316 |
|
|
|
| 50,000 |
| Regions Financial Corp., | 50,000 |
|
|
|
|
|
| 45,038 | 7.38%, 12/10/37 |
| 45,038 |
|
|
|
| 190,000 |
| Royal Bank of Canada (Canada), | 190,000 |
|
|
|
|
|
| 190,371 | 3.88%, 05/04/09 |
| 190,371 |
150,000 |
|
|
|
|
| Shinsei Finance II (Cayman Islands), | 150,000 |
|
| 105,563 |
|
|
|
| 7.16%, 07/25/16 (e) (x) |
| 105,563 |
100,000 |
|
|
|
|
| Standard Chartered plc (United Kingdom), | 100,000 |
|
| 80,247 |
|
|
|
| 6.41%, 01/30/17 (e) (x) |
| 80,247 |
|
|
|
| 250,000 |
| SunTrust Bank, | 250,000 |
|
|
|
|
|
| 254,610 | 6.38%, 04/01/11 |
| 254,610 |
|
|
|
| 100,000 |
| US Bancorp, | 100,000 |
|
|
|
|
|
| 107,361 | 7.50%, 06/01/26 |
| 107,361 |
|
|
|
| 250,000 |
| U.S. Bank N.A., | 250,000 |
|
|
|
|
|
| 259,387 | 7.13%, 12/01/09 |
| 259,387 |
300,000 |
|
|
|
|
| VTB Capital S.A. for Vneshtorgbank (Russia), | 300,000 |
|
| 299,213 |
|
|
|
| VAR, 3.38%, 08/01/08 (e) (m) |
| 299,213 |
|
|
|
|
|
| Wachovia Bank N.A., |
|
|
145,000 | 98,600 |
|
|
|
| 5.80%, 03/15/11 (x) | 145,000 | 98,600 |
|
|
|
| 250,000 | 217,848 | 6.60%, 01/15/38 | 250,000 | 217,848 |
|
|
|
| 100,000 | 105,386 | 7.80%, 08/18/10 | 100,000 | 105,386 |
|
|
|
|
|
| Wachovia Corp., |
|
|
|
|
|
| 240,000 | 239,827 | 3.50%, 08/15/08 | 240,000 | 239,827 |
|
|
|
| 150,000 | 148,300 | 3.63%, 02/17/09 | 150,000 | 148,300 |
95,000 |
|
|
|
|
| Wells Fargo Capital XIII, | 95,000 |
|
| 94,434 |
|
|
|
| 7.70%, 03/26/13 (x) |
| 94,434 |
|
|
|
| 260,000 |
| Wells Fargo & Co., | 260,000 |
|
|
|
|
|
| 258,825 | 3.13%, 04/01/09 |
| 258,825 |
150,000 |
|
|
|
|
| Woori Bank (South Korea), | 150,000 |
|
| 149,955 |
|
|
|
| VAR, 5.75%, 03/13/14 (e) |
| 149,955 |
| 1,674,976 |
| - |
| 2,814,162 |
|
| 4,489,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies -- 0.0% (g) |
|
|
40,000 |
|
|
|
|
| ACCO Brands Corp., | 40,000 |
|
| 36,000 |
|
|
|
| 7.63%, 08/15/15 (m) |
| 36,000 |
10,000 |
|
|
|
|
| Allied Waste North America, Inc., | 10,000 |
|
| 10,150 |
|
|
|
| 7.38%, 04/15/14 (m) |
| 10,150 |
20,000 |
|
|
|
|
| Corrections Corp. of America, | 20,000 |
|
| 19,250 |
|
|
|
| 6.25%, 03/15/13 (m) |
| 19,250 |
| 65,400 |
| - |
| - |
|
| 65,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Communications Equipment -- 0.0% (g) |
|
|
|
|
|
| 80,000 |
| Cisco Systems, Inc., | 80,000 |
|
|
|
|
|
| 80,713 | 5.50%, 02/22/16 |
| 80,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Computers & Peripherals -- 0.1% |
|
|
|
|
|
|
|
| International Business Machines Corp., |
|
|
|
|
|
| 150,000 | 151,509 | 5.39%, 01/22/09 | 150,000 | 151,509 |
|
|
|
| 50,000 | 50,052 | 6.22%, 08/01/27 | 50,000 | 50,052 |
135,000 |
|
|
|
|
| Hewlett-Packard Co., | 135,000 |
|
| 133,707 |
|
|
|
| 4.50%, 03/01/13 (m) |
| 133,707 |
| 133,707 |
| - |
| 201,561 |
|
| 335,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Finance -- 0.6% |
|
|
|
|
|
|
|
| Capital One Financial Corp., |
|
|
|
|
|
| 65,000 | 61,824 | 5.70%, 09/15/11 | 65,000 | 61,824 |
|
|
|
| 185,000 | 180,701 | 6.25%, 11/15/13 (c) | 185,000 | 180,701 |
45,000 |
|
|
|
|
| GMAC LLC, | 45,000 |
|
| 30,815 |
|
|
|
| 6.88%, 08/28/12 (m) |
| 30,815 |
|
|
|
|
|
| HSBC Finance Corp., |
|
|
|
|
|
| 150,000 | 141,784 | 5.00%, 06/30/15 | 150,000 | 141,784 |
|
|
|
| 150,000 | 146,342 | 5.25%, 01/15/14 | 150,000 | 146,342 |
|
|
|
| 500,000 | 503,998 | 6.50%, 11/15/08 | 500,000 | 503,998 |
|
|
|
|
|
| International Lease Finance Corp., |
|
|
|
|
|
| 40,000 | 35,687 | 5.88%, 05/01/13 | 40,000 | 35,687 |
200,000 | 187,116 |
|
|
|
| VAR, 2.86%, 05/24/10 (m) | 200,000 | 187,116 |
|
|
|
|
|
| John Deere Capital Corp., |
|
|
|
|
|
| 20,000 | 19,750 | 4.50%, 04/03/13 | 20,000 | 19,750 |
60,000 | 59,131 |
|
|
|
| 5.35%, 04/03/18 (m) | 60,000 | 59,131 |
|
|
|
|
|
| SLM Corp., |
|
|
|
|
|
| 150,000 | 139,734 | Series A, 4.00%, 01/15/10 | 150,000 | 139,734 |
|
|
|
| 100,000 | 88,077 | Series A, 5.38%, 01/15/13 | 100,000 | 88,077 |
250,000 | 234,387 |
|
|
|
| VAR, 3.06%, 07/27/09 (m) | 250,000 | 234,387 |
|
|
|
| 100,000 |
| Toyota Motor Credit Corp., | 100,000 |
|
|
|
|
|
| 99,963 | 2.88%, 08/01/08 |
| 99,963 |
|
|
|
| 100,000 |
| Washington Mutual Financial Corp., | 100,000 |
|
|
|
|
|
| 102,585 | 6.88%, 05/15/11 |
| 102,585 |
| 511,449 |
| - |
| 1,520,445 |
|
| 2,031,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging -- 0.0% (g) |
|
|
10,000 |
|
|
|
|
| Owens-Brockway Glass Container, Inc., | 10,000 |
|
| 10,250 |
|
|
|
| 8.25%, 05/15/13 |
| 10,250 |
20,000 |
|
|
|
|
| Smurfit-Stone Container Enterprises, Inc., | 20,000 |
|
| 17,550 |
|
|
|
| 8.38%, 07/01/12 |
| 17,550 |
| 27,800 |
| - |
| - |
|
| 27,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services -- 0.0% (g) |
|
|
30,000 |
|
|
|
|
| Service Corp. International, | 30,000 |
|
| 30,000 |
|
|
|
| 7.38%, 10/01/14 |
| 30,000 |
20,000 |
|
|
|
|
| Stewart Enterprises, Inc., | 20,000 |
|
| 19,000 |
|
|
|
| 6.25%, 02/15/13 |
| 19,000 |
| 49,000 |
| - |
| - |
|
| 49,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services -- 1.3% |
|
|
|
|
|
| 250,000 |
| Associates Corp. of North America, | 250,000 |
|
|
|
|
|
| 259,925 | 8.55%, 07/15/09 |
| 259,925 |
|
|
|
|
|
| Bank of America Corp., |
|
|
115,000 | 107,363 |
|
| 205,000 | 191,385 | 5.65%, 05/01/18 | 320,000 | 298,748 |
|
|
|
| 570,000 | 594,913 | 7.80%, 02/15/10 | 570,000 | 594,913 |
|
|
|
| 40,000 |
| BHP Billiton Finance USA Ltd. (Australia), | 40,000 |
|
|
|
|
|
| 38,180 | 5.40%, 03/29/17 |
| 38,180 |
80,000 |
|
|
|
|
| Caterpillar Financial Services Corp., | 80,000 |
|
| 79,309 |
|
|
|
| 5.45%, 04/15/18 (m) |
| 79,309 |
|
|
|
| 150,000 |
| CIT Group, Inc., | 150,000 |
|
|
|
|
|
| 124,677 | 7.63%, 11/30/12 (c) |
| 124,677 |
|
|
|
|
|
| Citigroup, Inc., |
|
|
|
|
|
| 150,000 | 136,346 | 4.70%, 05/29/15 | 150,000 | 136,346 |
100,000 | 97,598 |
|
|
|
| 5.50%, 04/11/13 (m) | 100,000 | 97,598 |
|
|
|
| 300,000 | 295,143 | 5.63%, 08/27/12 | 300,000 | 295,143 |
85,000 | 81,079 |
|
|
|
| 6.00%, 08/15/17 (m) | 85,000 | 81,079 |
65,000 | 62,381 |
|
|
|
| 6.13%, 11/21/17 (m) | 65,000 | 62,381 |
|
|
|
| 100,000 | 95,697 | 6.13%, 05/15/18 | 100,000 | 95,697 |
|
|
|
|
|
| General Electric Capital Corp., |
|
|
|
|
|
| 200,000 | 195,934 | 4.80%, 05/01/13 | 200,000 | 195,934 |
95,000 | 95,926 |
|
| 100,000 | 100,975 | 5.25%, 10/19/12 | 195,000 | 196,901 |
|
|
|
| 400,000 | 386,822 | 5.63%, 05/01/18 | 400,000 | 386,822 |
40,000 | 36,251 |
|
| 100,000 | 90,627 | 5.88%, 01/14/38 (c) | 140,000 | 126,878 |
60,000 | 56,303 |
|
|
|
| 6.15%, 08/07/37 (m) | 60,000 | 56,303 |
|
|
|
| 500,000 | 525,667 | 7.38%, 01/19/10 (c) | 500,000 | 525,667 |
|
|
|
| 390,000 | 404,617 | Series A, 5.88%, 02/15/12 | 390,000 | 404,617 |
|
|
|
| 110,000 | 113,672 | Series A, 6.00%, 06/15/12 | 110,000 | 113,672 |
|
|
|
| 200,000 | 201,390 | Series A, 6.75%, 03/15/32 | 200,000 | 201,390 |
|
|
|
| 130,000 |
| Textron Financial Corp., | 130,000 |
|
|
|
|
|
| 131,435 | 5.13%, 02/03/11 |
| 131,435 |
55,000 |
|
|
|
|
| Visant Corp., | 55,000 |
|
| 54,037 |
|
|
|
| 7.63%, 10/01/12 |
| 54,037 |
| 670,247 |
| - |
| 3,887,405 |
|
| 4,557,652 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services -- 0.9% |
|
|
|
|
|
|
|
| AT&T, Inc., |
|
|
|
|
|
| 125,000 | 124,567 | 4.95%, 01/15/13 | 125,000 | 124,567 |
|
|
|
| 50,000 | 48,450 | 5.50%, 02/01/18 | 50,000 | 48,450 |
|
|
|
| 70,000 | 68,298 | 5.60%, 05/15/18 | 70,000 | 68,298 |
130,000 | 122,818 |
|
|
|
| 6.30%, 01/15/38 (m) | 130,000 | 122,818 |
|
|
|
| 100,000 |
| BellSouth Corp., | 100,000 |
|
|
|
|
|
| 98,547 | 5.20%, 09/15/14 |
| 98,547 |
|
|
|
|
|
| Bellsouth Telecommunications, Inc., |
|
|
|
|
|
| 261,685 | 265,432 | 6.30%, 12/15/15 | 261,685 | 265,432 |
|
|
|
| 400,000 |
| British Telecommunications plc (United Kingdom), | 400,000 |
|
|
|
|
|
| 429,500 | 8.62%, 12/15/10 |
| 429,500 |
|
|
|
| 180,000 |
| France Telecom S.A. (France), | 180,000 |
|
|
|
|
|
| 190,627 | 7.75%, 03/01/11 |
| 190,627 |
|
|
|
| 150,000 |
| Nynex Capital Funding Co., | 150,000 |
|
|
|
|
|
| 154,200 | SUB, 8.23%, 10/15/09 |
| 154,200 |
13,000 |
|
|
|
|
| Qwest Communications International, Inc., | 13,000 |
|
| 12,935 |
|
|
|
| VAR, 6.18%, 02/15/09 |
| 12,935 |
20,000 |
|
|
|
|
| Qwest Corp., | 20,000 |
|
| 20,400 |
|
|
|
| 8.88%, 03/15/12 |
| 20,400 |
|
|
|
|
|
| Sprint Capital Corp., |
|
|
|
|
|
| 100,000 | 99,000 | 8.38%, 03/15/12 | 100,000 | 99,000 |
|
|
|
| 60,000 | 57,150 | 8.75%, 03/15/32 | 60,000 | 57,150 |
|
|
|
|
|
| Telecom Italia Capital S.A. (Luxembourg), |
|
|
|
|
|
| 50,000 | 45,763 | 4.95%, 09/30/14 | 50,000 | 45,763 |
|
|
|
| 130,000 | 122,804 | 5.25%, 11/15/13 | 130,000 | 122,804 |
25,000 | 25,403 |
|
|
|
| 7.72%, 06/04/38 | 25,000 | 25,403 |
|
|
|
| 100,000 |
| Telefonica Emisones S.A.U. (Spain), | 100,000 |
|
|
|
|
|
| 100,668 | 5.86%, 02/04/13 |
| 100,668 |
|
|
|
| 115,000 |
| TELUS Corp. (Canada), | 115,000 |
|
|
|
|
|
| 123,472 | 8.00%, 06/01/11 |
| 123,472 |
90,000 |
|
|
|
|
| Verizon Communications, Inc., | 90,000 |
|
| 83,779 |
|
|
|
| 6.40%, 02/15/38 |
| 83,779 |
|
|
|
| 650,000 |
| Verizon Global Funding Corp., | 650,000 |
|
|
|
|
|
| 690,073 | 7.25%, 12/01/10 |
| 690,073 |
|
|
|
| 100,000 |
| Verizon Pennsylvania, Inc., | 100,000 |
|
|
|
|
|
| 112,303 | 8.35%, 12/15/30 |
| 112,303 |
|
|
|
| 100,000 |
| Verizon Virginia, Inc., | 100,000 |
|
|
|
|
|
| 96,668 | Series A, 4.63%, 03/15/13 |
| 96,668 |
| 265,335 |
| - |
| 2,827,522 |
|
| 3,092,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities -- 0.6% |
|
|
175,000 |
|
|
|
|
| Abu Dhabi National Energy Co. (United Arab Emirates), | 175,000 |
|
| 176,341 |
|
|
|
| 5.62%, 10/25/12 (e) (m) |
| 176,341 |
|
|
|
| 25,000 |
| Alabama Power Co., | 25,000 |
|
|
|
|
|
| 25,211 | 6.13%, 05/15/38 |
| 25,211 |
|
|
|
| 100,000 |
| Carolina Power & Light Co., | 100,000 |
|
|
|
|
|
| 100,622 | 5.13%, 09/15/13 |
| 100,622 |
|
|
|
| 100,000 |
| CenterPoint Energy Houston Electric LLC, | 100,000 |
|
|
|
|
|
| 99,633 | Series M2, 5.75%, 01/15/14 |
| 99,633 |
|
|
|
| 40,000 |
| Columbus Southern Power Co., | 40,000 |
|
|
|
|
|
| 39,768 | 6.05%, 05/01/18 |
| 39,768 |
|
|
|
| 75,000 |
| Duke Energy Corp., | 75,000 |
|
|
|
|
|
| 73,145 | 5.10%, 04/15/18 |
| 73,145 |
100,000 |
|
|
|
|
| E.ON International Finance BV (Netherlands), | 100,000 |
|
| 98,101 |
|
|
|
| 5.80%, 04/30/18 (e) (m) |
| 98,101 |
|
|
|
| 150,000 |
| Exelon Generation Co. LLC, | 150,000 |
|
|
|
|
|
| 155,036 | 6.95%, 06/15/11 |
| 155,036 |
|
|
|
|
|
| Florida Power & Light Co., |
|
|
|
|
|
| 30,000 | 29,600 | 5.95%, 10/01/33 | 30,000 | 29,600 |
85,000 | 84,027 |
|
| 30,000 | 29,657 | 5.95%, 02/01/38 (c) | 115,000 | 113,684 |
250,000 |
|
|
|
|
| Ohio Power, Co., | 250,000 |
|
| 245,071 |
|
|
|
| VAR, 2.91%, 04/05/10 |
| 245,071 |
|
|
|
| 75,000 |
| Pacific Gas & Electric Co., | 75,000 |
|
|
|
|
|
| 74,709 | 5.63%, 11/30/17 (c) |
| 74,709 |
155,000 |
|
|
|
|
| PacifiCorp, | 155,000 |
|
| 155,039 |
|
|
|
| 4.30%, 09/15/08 (m) |
| 155,039 |
|
|
|
| 75,000 |
| Potomac Electric Power, | 75,000 |
|
|
|
|
|
| 73,236 | 6.50%, 11/15/37 |
| 73,236 |
|
|
|
| 65,000 |
| PSEG Power LLC, | 65,000 |
|
|
|
|
|
| 69,260 | 7.75%, 04/15/11 |
| 69,260 |
|
|
|
| 175,000 |
| Public Service Co. of Oklahoma, | 175,000 |
|
|
|
|
|
| 165,130 | Series G, 6.63%, 11/15/37 |
| 165,130 |
|
|
|
|
|
| Virginia Electric and Power Co., |
|
|
|
|
|
| 140,000 | 140,070 | 5.10%, 11/30/12 | 140,000 | 140,070 |
|
|
|
| 50,000 | 48,267 | 5.40%, 04/30/18 | 50,000 | 48,267 |
|
|
|
| 70,000 | 70,347 | 5.95%, 09/15/17 | 70,000 | 70,347 |
70,000 | 68,152 |
|
|
|
| 6.35%, 11/30/37 | 70,000 | 68,152 |
| 826,731 |
| - |
| 1,193,691 |
|
| 2,020,422 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services -- 0.0% (g) |
|
|
30,000 |
|
|
|
|
| Cameron International Corp., | 30,000 |
|
| 29,960 |
|
|
|
| 7.00%, 07/15/38 (m) |
| 29,960 |
60,000 |
|
|
|
|
| Transocean, Inc. (Cayman Islands), | 60,000 |
|
| 61,364 |
|
|
|
| 6.80%, 03/15/38 |
| 61,364 |
| 91,324 |
| - |
| - |
|
| 91,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing -- 0.2% |
|
|
140,062 |
|
|
|
|
| CVS Lease Pass-Through, | 140,062 |
|
| 130,052 |
|
|
|
| 6.04%, 12/10/28 (e) (m) |
| 130,052 |
200,000 |
|
|
|
|
| CVS/Caremark Corp., | 200,000 |
|
| 195,186 |
|
|
|
| VAR, 2.98%, 06/01/10 (m) |
| 195,186 |
|
|
|
|
|
| Kroger Co. (The), |
|
|
50,000 | 50,998 |
|
|
|
| 6.40%, 08/15/17 | 50,000 | 50,998 |
|
|
|
| 150,000 | 156,976 | 8.05%, 02/01/10 | 150,000 | 156,976 |
50,000 |
|
|
|
|
| Safeway, Inc., | 50,000 |
|
| 51,458 |
|
|
|
| 6.35%, 08/15/17 |
| 51,458 |
100,000 |
|
|
|
|
| Wal-Mart Stores, Inc., | 100,000 |
|
| 102,915 |
|
|
|
| 6.50%, 08/15/37 |
| 102,915 |
| 530,609 |
| - |
| 156,976 |
|
| 687,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food Products -- 0.1% |
|
|
10,000 |
|
|
|
|
| Del Monte Corp., | 10,000 |
|
| 9,525 |
|
|
|
| 6.75%, 02/15/15 (m) |
| 9,525 |
|
|
|
| 50,000 |
| Kellogg Co., | 50,000 |
|
|
|
|
|
| 48,572 | 4.25%, 03/06/13 |
| 48,572 |
|
|
|
|
|
| Kraft Foods, Inc., |
|
|
|
|
|
| 165,000 | 160,393 | 6.13%, 02/01/18 | 165,000 | 160,393 |
|
|
|
| 100,000 | 97,221 | 6.88%, 02/01/38 | 100,000 | 97,221 |
| 9,525 |
| - |
| 306,186 |
|
| 315,711 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gas Utilities -- 0.1% |
|
|
|
|
|
| 25,000 |
| CenterPoint Energy Resources Corp., | 25,000 |
|
|
|
|
|
| 24,353 | 6.13%, 11/01/17 (c) |
| 24,353 |
|
|
|
| 80,000 |
| KeySpan Gas East Corp., | 80,000 |
|
|
|
|
|
| 84,101 | 7.88%, 02/01/10 |
| 84,101 |
140,000 |
|
|
|
|
| Nakilat, Inc. (Qatar), | 140,000 |
|
| 123,820 |
|
|
|
| 6.07%, 12/31/33 (e) |
| 123,820 |
30,000 |
|
|
|
|
| Sonat, Inc., | 30,000 |
|
| 30,284 |
|
|
|
| 7.63%, 07/15/11 |
| 30,284 |
|
|
|
| 50,000 |
| TransCanada Pipelines Ltd. (Canada), | 50,000 |
|
|
|
|
|
| 47,022 | 4.00%, 06/15/13 |
| 47,022 |
| 154,104 |
| - |
| 155,476 |
|
| 309,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies -- 0.0% (g) |
|
|
30,000 |
|
|
|
|
| Cooper Cos., Inc. (The), | 30,000 |
|
| 28,800 |
|
|
|
| 7.13%, 02/15/15 (m) |
| 28,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services -- 0.1% |
|
|
|
|
|
|
|
| HCA, Inc., |
|
|
30,000 | 30,900 |
|
|
|
| 9.25%, 11/15/16 (m) | 30,000 | 30,900 |
15,000 | 15,450 |
|
|
|
| PIK, 9.63%, 11/15/16 (m) | 15,000 | 15,450 |
125,000 |
|
|
|
|
| UnitedHealth Group, Inc., | 125,000 |
|
| 120,482 |
|
|
|
| VAR, 2.98%, 06/21/10 |
| 120,482 |
| 166,832 |
| - |
| - |
|
| 166,832 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure -- 0.0% (g) |
|
|
30,000 |
|
|
|
|
| McDonald's Corp., | 30,000 |
|
| 29,838 |
|
|
|
| 6.30%, 10/15/37 |
| 29,838 |
35,000 |
|
|
|
|
| MGM Mirage, Inc., | 35,000 |
|
| 28,350 |
|
|
|
| 5.88%, 02/27/14 |
| 28,350 |
| 58,188 |
| - |
| - |
|
| 58,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Durables -- 0.0% (g) |
|
|
23,000 |
|
|
|
|
| Beazer Homes USA, Inc., | 23,000 |
|
| 16,445 |
|
|
|
| 6.88%, 07/15/15 (m) |
| 16,445 |
20,000 |
|
|
|
|
| Jarden Corp., | 20,000 |
|
| 17,400 |
|
|
|
| 7.50%, 05/01/17 |
| 17,400 |
35,000 |
|
|
|
|
| Sealy Mattress Co., | 35,000 |
|
| 28,700 |
|
|
|
| 8.25%, 06/15/14 |
| 28,700 |
| 62,545 |
| - |
| - |
|
| 62,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Products -- 0.0% (g) |
|
|
10,000 |
|
|
|
|
| Visant Holding Corp., | 10,000 |
|
| 9,700 |
|
|
|
| SUB, 0.00%, 12/01/13 |
| 9,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Independent Power Producers & Energy Traders -- 0.0% (g) |
|
|
60,000 |
|
|
|
|
| NRG Energy, Inc., | 60,000 |
|
| 56,475 |
|
|
|
| 7.38%, 02/01/16 |
| 56,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates -- 0.1% |
|
|
|
|
|
|
|
| General Electric Co., |
|
|
|
|
|
| 250,000 | 251,800 | 5.00%, 02/01/13 | 250,000 | 251,800 |
65,000 | 62,487 |
|
|
|
| 5.25%, 12/06/17 (m) | 65,000 | 62,487 |
| 62,487 |
| - |
| 251,800 |
|
| 314,287 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance -- 1.1% |
|
|
120,000 |
|
|
| 60,000 |
| Allstate Life Global Funding Trusts, | 180,000 |
|
| 119,529 |
|
|
| 59,765 | 5.38%, 04/30/13 (m) |
| 179,294 |
|
|
|
|
|
| American International Group, Inc., |
|
|
|
|
|
| 130,000 | 119,373 | 4.25%, 05/15/13 | 130,000 | 119,373 |
65,000 | 61,172 |
|
|
|
| VAR, 8.17%, 05/15/58 (e) (m) | 65,000 | 61,172 |
|
|
|
| 300,000 |
| ASIF Global Financing XIX, | 300,000 |
|
|
|
|
|
| 288,225 | 4.90%, 01/17/13 (e) |
| 288,225 |
|
|
|
| 250,000 |
| ASIF Global Financing XXIII, | 250,000 |
|
|
|
|
|
| 249,151 | 3.90%, 10/22/08 (e) |
| 249,151 |
|
|
|
| 165,000 |
| Genworth Global Funding Trusts, | 165,000 |
|
|
|
|
|
| 165,045 | 5.20%, 10/08/10 |
| 165,045 |
|
|
|
| 200,000 |
| Jackson National Life Global Funding, | 200,000 |
|
|
|
|
|
| 207,366 | 6.13%, 05/30/12 (e) |
| 207,366 |
|
|
|
|
|
| John Hancock Global Funding II, |
|
|
|
|
|
| 100,000 | 99,800 | 3.50%, 01/30/09 (e) | 100,000 | 99,800 |
|
|
|
| 100,000 | 106,524 | 7.90%, 07/02/10 (e) | 100,000 | 106,524 |
70,000 |
|
|
|
|
| Liberty Mutual Group, Inc., | 70,000 |
|
| 61,216 |
|
|
|
| 7.50%, 08/15/36 (e) |
| 61,216 |
100,000 |
|
|
|
|
| Lincoln National Corp., | 100,000 |
|
| 91,087 |
|
|
|
| VAR, 7.00%, 05/17/66 |
| 91,087 |
|
|
|
| 200,000 |
| MassMutual Global Funding II, | 200,000 |
|
|
|
|
|
| 198,335 | 3.50%, 03/15/10 (e) |
| 198,335 |
|
|
|
|
|
| Metropolitan Life Global Funding I, |
|
|
125,000 | 123,086 |
|
|
|
| 5.13%, 04/10/13 (e) | 125,000 | 123,086 |
|
|
|
| 100,000 | 98,253 | 5.20%, 09/18/13 (e) | 100,000 | 98,253 |
|
|
|
| 150,000 |
| Monumental Global Funding II, | 150,000 |
|
|
|
|
|
| 148,752 | 4.38%, 07/30/09 (e) |
| 148,752 |
|
|
|
|
|
| Nationwide Financial Services, |
|
|
|
|
|
| 100,000 | 101,906 | 6.25%, 11/15/11 | 100,000 | 101,906 |
40,000 | 31,682 |
|
|
|
| 6.75%, 05/15/67 | 40,000 | 31,682 |
|
|
|
|
|
| New York Life Global Funding, |
|
|
|
|
|
| 75,000 | 75,164 | 3.88%, 01/15/09 (e) | 75,000 | 75,164 |
|
|
|
| 250,000 | 255,495 | 5.38%, 09/15/13 (e) | 250,000 | 255,495 |
|
|
|
| 145,000 |
| Pacific Life Global Funding, | 145,000 |
|
|
|
|
|
| 144,902 | 3.75%, 01/15/09 (e) |
| 144,902 |
|
|
|
|
|
| Principal Life Global Funding I, |
|
|
80,000 | 80,000 |
|
|
|
| 5.30%, 04/24/13 | 80,000 | 80,000 |
|
|
|
| 300,000 | 314,275 | 6.25%, 02/15/12 (e) | 300,000 | 314,275 |
|
|
|
|
|
| Protective Life Secured Trust, |
|
|
|
|
|
| 85,000 | 84,191 | 4.00%, 10/07/09 | 85,000 | 84,191 |
|
|
|
| 200,000 | 194,842 | 4.00%, 04/01/11 | 200,000 | 194,842 |
90,000 |
|
|
|
|
| Reinsurance Group of America, Inc., | 90,000 |
|
| 70,771 |
|
|
|
| VAR, 6.75%, 12/15/65 |
| 70,771 |
200,000 |
|
|
|
|
| Stingray Pass-Through Trust, | 200,000 |
|
| 30,000 |
|
|
|
| 5.90%, 01/12/15 (e) |
| 30,000 |
195,000 |
|
|
|
|
| Swiss RE Capital I LP (United Kingdom), | 195,000 |
|
| 171,937 |
|
|
|
| 6.85%, 05/25/16 (e) (x) |
| 171,937 |
|
|
|
|
|
| Travelers Cos., Inc. (The), |
|
|
|
|
|
| 25,000 | 24,324 | 5.80%, 05/15/18 | 25,000 | 24,324 |
55,000 | 47,253 |
|
|
|
| VAR, 6.25%, 03/15/37 | 55,000 | 47,253 |
210,000 |
|
|
|
|
| XL Capital Ltd. (Cayman Islands), | 210,000 |
|
| 141,750 |
|
|
|
| 6.50%, 04/15/17 (x) |
| 141,750 |
| 1,029,483 |
| - |
| 2,935,688 |
|
| 3,965,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IT Services -- 0.0% (g) |
|
|
55,000 |
|
|
|
|
| Iron Mountain, Inc., | 55,000 |
|
| 51,425 |
|
|
|
| 6.63%, 01/01/16 (m) |
| 51,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery -- 0.0% (g) |
|
|
10,000 |
|
|
|
|
| Baldor Electric Co., | 10,000 |
|
| 10,050 |
|
|
|
| 8.63%, 02/15/17 (m) |
| 10,050 |
|
|
|
| 25,000 |
| Parker-Hannifin Corp., | 25,000 |
|
|
|
|
|
| 25,079 | 5.50%, 05/15/18 |
| 25,079 |
45,000 |
|
|
|
|
| Terex Corp., | 45,000 |
|
| 44,662 |
|
|
|
| 8.00%, 11/15/17 |
| 44,662 |
| 54,712 |
| - |
| 25,079 |
|
| 79,791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media -- 0.5% |
|
|
25,000 |
|
|
|
|
| Charter Communications Operating LLC/Charter Communications Operating Capital, | 25,000 |
|
| 23,625 |
|
|
|
| 8.00%, 04/30/12 (e) (m) |
| 23,625 |
|
|
|
|
|
| Comcast Cable Communications Holdings, Inc., |
|
|
105,000 | 103,277 |
|
|
|
| 6.95%, 08/15/37 (m) | 105,000 | 103,277 |
|
|
|
| 125,000 | 131,781 | 7.13%, 06/15/13 | 125,000 | 131,781 |
|
|
|
| 335,000 |
| Comcast Cable Holdings LLC | 335,000 |
|
|
|
|
|
| 377,618 | 9.80%, 02/01/12 |
| 377,618 |
|
|
|
|
|
| Comcast Corp., |
|
|
|
|
|
| 100,000 | 100,075 | 5.50%, 03/15/11 | 100,000 | 100,075 |
|
|
|
| 50,000 | 48,854 | 5.90%, 03/15/16 | 50,000 | 48,854 |
50,000 |
|
|
|
|
| Dex Media, Inc., | 50,000 |
|
| 35,750 |
|
|
|
| SUB, 0.00%, 11/15/13 (m) |
| 35,750 |
55,000 |
|
|
|
|
| DIRECTV Holdings LLC | 55,000 |
|
| 51,563 |
|
|
|
| 6.38%, 06/15/15 (m) |
| 51,563 |
60,000 |
|
|
|
|
| Echostar DBS Corp., | 60,000 |
|
| 55,350 |
|
|
|
| 7.13%, 02/01/16 (m) |
| 55,350 |
|
|
|
| 100,000 |
| Historic TW, Inc., | 100,000 |
|
|
|
|
|
| 114,729 | 9.15%, 02/01/23 |
| 114,729 |
20,000 |
|
|
|
|
| Quebecor Media, Inc. (Canada), | 20,000 |
|
| 18,600 |
|
|
|
| 7.75%, 03/15/16 |
| 18,600 |
30,000 |
|
|
|
|
| Time Warner Cable, Inc., | 30,000 |
|
| 27,630 |
|
|
|
| 6.55%, 05/01/37 |
| 27,630 |
|
|
|
|
|
| Time Warner Entertainment Co. LP, |
|
|
|
|
|
| 50,000 | 53,880 | 8.38%, 03/15/23 | 50,000 | 53,880 |
|
|
|
| 150,000 | 168,395 | 10.15%, 05/01/12 | 150,000 | 168,395 |
145,000 |
|
|
|
|
| Time Warner, Inc. | 145,000 |
|
| 136,728 |
|
|
|
| VAR, 3.13%, 06/16/09 (m) |
| 136,728 |
200,000 |
|
|
|
|
| Viacom, Inc., | 200,000 |
|
| 197,890 |
|
|
|
| VAR, 3.13%, 06/16/09 (m) |
| 197,890 |
15,000 |
|
|
|
|
| Videotron Ltee (Canada), | 15,000 |
|
| 14,475 |
|
|
|
| 6.88%, 01/15/14 |
| 14,475 |
225,000 |
|
|
|
|
| Walt Disney Co. (The), | 225,000 |
|
| 226,416 |
|
|
|
| 4.70%, 12/01/12 (m) |
| 226,416 |
| 891,304 |
| - |
| 995,332 |
|
| 1,886,636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining -- 0.1% |
|
|
|
|
|
| 100,000 |
| Alcoa, Inc., | 100,000 |
|
|
|
|
|
| 93,635 | 5.55%, 02/01/17 |
| 93,635 |
35,000 |
|
|
|
|
| Freeport-McMoRan Copper & Gold, Inc., | 35,000 |
|
| 36,794 |
|
|
|
| 8.25%, 04/01/15 (m) |
| 36,794 |
180,000 |
|
|
|
|
| Rio Tinto Finance USA Ltd. (Australia), | 180,000 |
|
| 180,998 |
|
|
|
| 5.88%, 07/15/13 |
| 180,998 |
| 217,792 |
| - |
| 93,635 |
|
| 311,427 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities -- 0.1% |
|
|
|
|
|
| 130,000 |
| DTE Energy Co., | 130,000 |
|
|
|
|
|
| 131,895 | Series A, 6.65%, 04/15/09 |
| 131,895 |
|
|
|
| 150,000 |
| Duke Energy Carolinas LLC, | 150,000 |
|
|
|
|
|
| 154,341 | 5.63%, 11/30/12 |
| 154,341 |
90,000 |
|
|
|
|
| MidAmerican Energy Holdings Co., | 90,000 |
|
| 86,424 |
|
|
|
| 6.13%, 04/01/36 |
| 86,424 |
25,000 |
|
|
|
|
| Mirant North America LLC, | 25,000 |
|
| 24,781 |
|
|
|
| 7.38%, 12/31/13 |
| 24,781 |
35,000 |
|
|
|
|
| Veolia Environnement (France), | 35,000 |
|
| 34,920 |
|
|
|
| 6.00%, 06/01/18 |
| 34,920 |
| 146,125 |
| - |
| 286,236 |
|
| 432,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multiline Retail -- 0.0% (g) |
|
|
15,000 |
|
|
|
|
| Neiman-Marcus Group, Inc. (The), | 15,000 |
|
| 14,812 |
|
|
|
| PIK, 9.00%, 10/15/15 |
| 14,812 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels -- 0.5% |
|
|
|
|
|
| 100,000 |
| Canadian Natural Resources Ltd. (Canada), | 100,000 |
|
|
|
|
|
| 99,360 | 5.90%, 02/01/18 |
| 99,360 |
|
|
|
|
|
| Chesapeake Energy Corp., |
|
|
40,000 | 37,400 |
|
|
|
| 6.50%, 08/15/17 (m) | 40,000 | 37,400 |
15,000 | 14,700 |
|
|
|
| 7.00%, 08/15/14 (m) | 15,000 | 14,700 |
|
|
|
| 75,000 |
| ConocoPhillips Canada Funding Co. (Canada), | 75,000 |
|
|
|
|
|
| 76,409 | 5.63%, 10/15/16 (c) |
| 76,409 |
|
|
|
| 125,000 |
| ConocoPhillips Co., | 125,000 |
|
|
|
|
|
| 136,031 | 8.75%, 05/25/10 |
| 136,031 |
105,000 |
|
|
|
|
| Enterprise Products Operating LP, | 105,000 |
|
| 104,266 |
|
|
|
| 6.30%, 09/15/17 (m) |
| 104,266 |
135,000 |
|
|
|
|
| Gaz Capital S.A. for Gazprom (Russia), | 135,000 |
|
| 124,065 |
|
|
|
| 7.29%, 08/16/37 (e) (m) |
| 124,065 |
115,574 |
|
|
|
|
| Gazprom International S.A. (Russia), | 115,574 |
|
| 115,285 |
|
|
|
| 7.20%, 02/01/20 |
| 115,285 |
80,000 |
|
|
|
|
| Kinder Morgan Energy Partners LP, | 80,000 |
|
| 75,644 |
|
|
|
| 6.50%, 02/01/37 |
| 75,644 |
|
|
|
| 150,000 |
| Marathon Oil Corp., | 150,000 |
|
|
|
|
|
| 149,144 | 6.00%, 10/01/17 |
| 149,144 |
65,000 |
|
|
|
|
| Nexen, Inc. (Canada), | 65,000 |
|
| 61,545 |
|
|
|
| 6.40%, 05/15/37 |
| 61,545 |
|
|
|
|
|
| Pemex Project Funding Master Trust, |
|
|
150,000 | 150,750 |
|
|
|
| VAR, 4.08%, 06/15/10 | 150,000 | 150,750 |
150,000 | 150,600 |
|
|
|
| VAR, 4.08%, 06/15/10 (e) | 150,000 | 150,600 |
280,000 |
|
|
|
|
| Ras Laffan Liquefied Natural Gas Co. Ltd. III (Qatar), | 280,000 |
|
| 271,902 |
|
|
|
| 5.83%, 09/30/16 (e) |
| 271,902 |
45,000 |
|
|
|
|
| Suncor Energy, Inc. (Canada), | 45,000 |
|
| 45,914 |
|
|
|
| 6.85%, 06/01/39 |
| 45,914 |
40,000 |
|
|
|
|
| Valero Energy Corp., | 40,000 |
|
| 36,674 |
|
|
|
| 6.63%, 06/15/37 |
| 36,674 |
55,000 |
|
|
|
|
| XTO Energy, Inc., | 55,000 |
|
| 52,564 |
|
|
|
| 6.38%, 06/15/38 |
| 52,564 |
| 1,241,309 |
| - |
| 460,944 |
|
| 1,702,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products -- 0.1% |
|
|
|
|
|
|
|
| Georgia Pacific LLC, |
|
|
15,000 | 14,100 |
|
|
|
| 7.00%, 01/15/15 (e) (m) | 15,000 | 14,100 |
50,000 | 47,250 |
|
|
|
| 7.70%, 06/15/15 (m) | 50,000 | 47,250 |
|
|
|
|
|
|
|
| - |
|
|
|
|
|
| International Paper Co., |
|
|
|
|
|
| 165,000 | 159,741 | 4.00%, 04/01/10 | 165,000 | 159,741 |
|
|
|
| 55,000 | 54,820 | 4.25%, 01/15/09 | 55,000 | 54,820 |
|
|
|
| 100,000 |
| Weyerhaeuser Co., | 100,000 |
|
|
|
|
|
| 102,992 | 6.75%, 03/15/12 |
| 102,992 |
| 61,350 |
| - |
| 317,553 |
|
| 378,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Personal Products -- 0.0% (g) |
|
|
|
|
|
| 93,384 |
| Procter & Gamble - Esop, | 93,384 |
|
|
|
|
|
| 117,333 | Series A, 9.36%, 01/01/21 |
| 117,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals -- 0.0% (g) |
|
|
|
|
|
| 35,000 |
| AstraZeneca plc (United Kingdom), | 35,000 |
|
|
|
|
|
| 35,837 | 5.40%, 06/01/14 |
| 35,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate -- 0.0% (g) |
|
|
25,000 |
|
|
|
|
| Host Hotels & Resorts LP, | 25,000 |
|
| 23,250 |
|
|
|
| 7.13%, 11/01/13 (m) |
| 23,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) -- 0.1% |
|
|
|
|
|
| 100,000 |
| HRPT Properties Trust, | 100,000 |
|
|
|
|
|
| 91,864 | 6.65%, 01/15/18 |
| 91,864 |
|
|
|
|
|
| Simon Property Group LP, |
|
|
|
|
|
| 50,000 | 48,348 | 5.63%, 08/15/14 | 50,000 | 48,348 |
|
|
|
| 20,000 | 19,570 | 6.10%, 05/01/16 | 20,000 | 19,570 |
| - |
| - |
| 159,782 |
|
| 159,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development -- 0.0% (g) |
|
|
|
|
|
| 30,000 |
| ERP Operating LP, | 30,000 |
|
|
|
|
|
| 29,755 | 4.75%, 06/15/09 |
| 29,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Road & Rail -- 0.1% |
|
|
|
|
|
|
|
| Burlington Northern Santa Fe Corp., |
|
|
|
|
|
| 60,000 | 60,551 | 6.13%, 03/15/09 | 60,000 | 60,551 |
|
|
|
| 150,000 | 157,918 | 7.13%, 12/15/10 | 150,000 | 157,918 |
| - |
| - |
| 218,469 |
|
| 218,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment -- 0.0% (g) |
|
|
20,000 |
|
|
|
|
| Sensata Technologies BV (Netherlands), | 20,000 |
|
| 18,400 |
|
|
|
| 8.25%, 05/01/14 |
| 18,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software -- 0.0% (g) |
|
|
|
|
|
|
|
| Oracle Corp., |
|
|
|
|
|
| 50,000 | 49,957 | 5.75%, 04/15/18 | 50,000 | 49,957 |
30,000 | 30,074 |
|
|
|
| 6.50%, 04/15/38 | 30,000 | 30,074 |
|
|
|
| 50,000 |
| Oracle Corp. and Ozark Holding, Inc., | 50,000 |
|
|
|
|
|
| 49,199 | 5.25%, 01/15/16 |
| 49,199 |
| 30,074 |
| - |
| 99,156 |
|
| 129,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialty Retail -- 0.0% (g) |
|
|
|
|
|
| 30,000 |
| Home Depot, Inc., | 30,000 |
|
|
|
|
|
| 27,548 | 5.40%, 03/01/16 |
| 27,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods -- 0.0% (g) |
|
|
35,000 |
|
|
|
|
| Hanesbrands, Inc., | 35,000 |
|
| 32,550 |
|
|
|
| VAR, 6.51%, 12/15/14 (m) |
| 32,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance -- 0.3% |
|
|
100,000 |
|
|
|
|
| Bancaja US Debt S.A.U. (Spain), | 100,000 |
|
| 96,227 |
|
|
|
| VAR, 2.86%, 07/10/09 (e) (m) |
| 96,227 |
|
|
|
|
|
| Countrywide Financial Corp., |
|
|
60,000 | 56,748 |
|
|
|
| 5.80%, 06/07/12 (m) | 60,000 | 56,748 |
20,000 | 19,207 |
|
|
|
| VAR, 3.02%, 03/24/09 (m) | 20,000 | 19,207 |
|
|
|
| 250,000 |
| Countrywide Home Loans, Inc., | 250,000 |
|
|
|
|
|
| 227,596 | 4.00%, 03/22/11 |
| 227,596 |
250,000 |
|
|
|
|
| Sovereign Bancorp, Inc., | 250,000 |
|
| 239,491 |
|
|
|
| VAR, 2.96%, 03/01/09 (m) |
| 239,491 |
|
|
|
| 250,000 |
| Washington Mutual Bank, | 250,000 |
|
|
|
|
|
| 195,000 | 5.65%, 08/15/14 |
| 195,000 |
|
|
|
|
|
| Washington Mutual, Inc., |
|
|
|
|
|
| 90,000 | 78,300 | 4.20%, 01/15/10 | 90,000 | 78,300 |
|
|
|
| 50,000 | 36,937 | 7.25%, 11/01/17 | 50,000 | 36,937 |
|
|
|
| 300,000 |
| World Savings Bank FSB, | 300,000 |
|
|
|
|
|
| 299,676 | 4.50%, 06/15/09 (c) |
| 299,676 |
| 411,673 |
| - |
| 837,509 |
|
| 1,249,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tobacco -- 0.0% (g) |
|
|
35,000 |
|
|
|
|
| Philip Morris International, Inc., | 35,000 |
|
| 34,108 |
|
|
|
| 6.38%, 05/16/38 |
| 34,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Water Utilities -- 0.0% (g) |
|
|
|
|
|
| 100,000 |
| American Water Capital Corp., | 100,000 |
|
|
|
|
|
| 95,920 | 6.09%, 10/15/17 |
| 95,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services -- 0.2% |
|
|
|
|
|
| 150,000 |
| AT&T Wireless Services, Inc., | 150,000 |
|
|
|
|
|
| 159,698 | 7.88%, 03/01/11 |
| 159,698 |
25,000 |
|
|
|
|
| Intelsat Jackson Holdings Ltd. (Bermuda), | 25,000 |
|
| 25,187 |
|
|
|
| 9.25%, 06/15/16 (m) |
| 25,187 |
|
|
|
| 380,000 |
| Sprint Nextel Corp., | 380,000 |
|
|
|
|
|
| 326,800 | 6.00%, 12/01/16 |
| 326,800 |
|
|
|
| 50,000 |
| Vodafone Group plc (United Kingdom), | 50,000 |
|
|
|
|
|
| 47,308 | 5.00%, 09/15/15 |
| 47,308 |
| 25,187 |
| - |
| 533,806 |
|
| 558,993 |
|
|
|
|
|
| Total Corporate Bonds |
|
|
| 11,089,666 |
| - |
| 26,983,654 | (Cost $11,861,937, $0, $27,233,726 and $39,095,663, respectively) |
| 38,073,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Securities -- 0.7% |
|
|
CAD 245,000 |
|
|
|
|
| Government of Canada (Canada), | CAD 245,000 |
|
| 242,987 |
|
|
|
| 3.75%, 06/01/12 |
| 242,987 |
280,000 |
|
|
|
|
| Government of Ukraine (Ukraine), | 280,000 |
|
| 248,500 |
|
|
|
| 6.58%, 11/21/16 |
| 248,500 |
105,000 |
|
|
|
|
| IIRSA Norte Finance Ltd. (Peru), | 105,000 |
|
| 116,550 |
|
|
|
| 8.75%, 05/30/24 |
| 116,550 |
|
|
|
| 400,000 |
| Province of Quebec (Canada), | 400,000 |
|
|
|
|
|
| 406,437 | 5.75%, 02/15/09 |
| 406,437 |
200,000 |
|
|
|
|
| Republic of Argentina (Argentina), | 200,000 |
|
| 95,200 |
|
|
|
| VAR, 3.00%, 04/30/13 |
| 95,200 |
|
|
|
|
|
| Republic of Brazil (Brazil), |
|
|
103,000 | 114,381 |
|
|
|
| 8.00%, 01/15/18 | 103,000 | 114,381 |
20,000 | 33,900 |
|
|
|
| 12.25%, 03/06/30 | 20,000 | 33,900 |
55,000 | 93,225 |
|
|
|
| 12.25%, 03/06/30 | 55,000 | 93,225 |
100,000 |
|
|
|
|
| Republic of Guatemala (Guatemala), | 100,000 |
|
| 114,000 |
|
|
|
| 9.25%, 08/01/13 |
| 114,000 |
75,000 |
|
|
|
|
| Russian Federation (Russia), | 75,000 |
|
| 132,844 |
|
|
|
| 12.75%, 06/24/28 |
| 132,844 |
|
|
|
|
|
| United Mexican States (Mexico), |
|
|
|
|
|
| 150,000 | 150,450 | 4.63%, 10/08/08 | 150,000 | 150,450 |
|
|
|
| 100,000 | 107,380 | 6.63%, 03/03/15 | 100,000 | 107,380 |
65,000 | 79,105 |
|
|
|
| 8.00%, 09/24/22 | 65,000 | 79,105 |
400,000 | 400,400 |
|
|
|
| VAR, 3.41%, 01/13/09 | 400,000 | 400,400 |
|
|
|
|
|
| Total Foreign Government Securities |
|
|
| 1,671,092 |
| - |
| 664,267 | (Cost $1,701,197, $0, $650,992 and $2,352,189, respectively) |
| 2,335,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Pass-Through Securities -- 13.3% |
|
|
|
|
|
|
|
| Federal Home Loan Mortgage Corp. Conventional Pools, |
|
|
|
|
|
| 371,754 | 372,757 | ARM, 4.14%, 04/01/34 | 371,754 | 372,757 |
|
|
|
| 254,517 | 257,642 | ARM, 4.64%, 03/01/35 | 254,517 | 257,642 |
433,108 | 438,952 |
|
|
|
| ARM, 5.87%, 01/01/37 (m) | 433,108 | 438,952 |
|
| 166,990 | 168,191 |
|
| ARM, 6.25%, 01/01/27 | 166,990 | 168,191 |
|
| 45,793 | 46,285 |
|
| ARM, 6.45%, 04/01/30 | 45,793 | 46,285 |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
| 14,121 | 14,495 |
|
| 9.00%, 12/01/09 | 14,121 | 14,495 |
|
|
|
| 55,411 | 62,711 | 10.00%, 01/01/20-09/01/20 | 55,411 | 62,711 |
|
|
|
| 5,177 | 5,878 | 12.00%, 07/01/19 | 5,177 | 5,878 |
2,495,000 | 2,390,522 |
|
|
|
| TBA, 5.00%, 07/15/38 | 2,495,000 | 2,390,522 |
1,350,000 | 1,363,500 |
|
|
|
| TBA, 6.00%, 07/15/38 | 1,350,000 | 1,363,500 |
|
|
|
|
|
| Federal Home Loan Mortgage Corp. Gold Pools, |
|
|
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
|
|
| 1,268,894 | 1,220,679 | 4.00%, 05/01/14-05/01/19 | 1,268,894 | 1,220,679 |
|
|
|
| 633,976 | 618,452 | 4.50%, 08/01/18-05/01/19 | 633,976 | 618,452 |
|
| 279,067 | 278,609 |
|
| 5.00%, 12/01/13 - 04/01/14 | 279,067 | 278,609 |
|
| 83,522 | 84,593 |
|
| 5.50%, 03/01/14 | 83,522 | 84,593 |
|
| 27,892 | 28,578 |
|
| 6.00%, 04/01/14 | 27,892 | 28,578 |
|
| 63,694 | 66,610 | 524,047 | 546,092 | 6.50%, 06/01/14 - 02/01/19 | 587,741 | 612,702 |
|
| 12,298 | 12,738 | 290,807 | 305,058 | 7.00%, 02/01/11 - 01/01/17 | 303,105 | 317,796 |
|
| 8,197 | 8,282 | 3,903 | 3,944 | 7.50%, 09/01/10 | 12,100 | 12,226 |
|
| 679 | 698 | 40,286 | 44,751 | 8.50%, 12/01/09 - 11/01/15 | 40,965 | 45,449 |
|
|
|
| 2,503 | 2,615 | 9.00%, 06/01/10 | 2,503 | 2,615 |
|
|
|
|
|
| 20 Year, Single Family, |
|
|
|
|
|
| 127,482 | 130,276 | 6.00%, 12/01/22 | 127,482 | 130,276 |
|
|
|
| 232,788 | 242,524 | 6.50%, 11/01/22 | 232,788 | 242,524 |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
|
|
| 427,416 | 388,010 | 4.00%, 09/01/35 | 427,416 | 388,010 |
|
|
|
| 276,910 | 274,358 | 5.50%, 10/01/33 | 276,910 | 274,358 |
50,889 | 51,524 | 216,974 | 221,040 | 281,595 | 285,549 | 6.00%, 04/01/26 - 02/01/35 | 549,458 | 558,113 |
|
| 1,062,229 | 1,105,260 | 187,400 | 193,897 | 6.50%, 11/01/25 - 11/01/34 | 1,249,629 | 1,299,157 |
|
|
|
| 189,805 | 200,436 | 7.00%, 04/01/35 | 189,805 | 200,436 |
|
| 14,815 | 16,382 |
|
| 8.50%, 07/01/28 | 14,815 | 16,382 |
|
|
|
|
|
| Other, |
|
|
|
|
|
| 299,679 | 312,207 | 7.00%, 07/01/29 | 299,679 | 312,207 |
|
|
|
|
|
| Federal National Mortgage Association Pools, |
|
|
|
|
|
| 342,301 | 346,341 | ARM, 3.80%, 07/01/33 | 342,301 | 346,341 |
|
|
|
| 337,976 | 340,798 | ARM, 4.12%, 01/01/34 | 337,976 | 340,798 |
|
|
|
| 244,926 | 246,290 | ARM, 4.23%, 10/01/34 | 244,926 | 246,290 |
|
|
|
| 308,549 | 309,648 | ARM, 4.27%, 05/01/35 | 308,549 | 309,648 |
|
|
|
| 117,713 | 121,467 | ARM, 4.71%, 04/01/34 | 117,713 | 121,467 |
|
|
|
| 15,021 | 15,050 | ARM, 4.73%, 03/01/29 | 15,021 | 15,050 |
|
|
|
| 634,575 | 643,515 | ARM, 4.77%, 08/01/34 | 634,575 | 643,515 |
|
|
|
| 802,829 | 810,865 | ARM, 4.83%, 01/01/35 | 802,829 | 810,865 |
|
|
|
| 307,100 | 311,063 | ARM, 4.89%, 04/01/33 | 307,100 | 311,063 |
|
|
|
| 6,019 | 6,036 | ARM, 5.74%, 03/01/19 | 6,019 | 6,036 |
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
|
|
| 646,065 | 598,316 | 3.50%, 09/01/18-06/01/19 | 646,065 | 598,316 |
|
|
|
| 3,402,580 | 3,235,003 | 4.00%, 07/01/18-12/01/18 | 3,402,580 | 3,235,003 |
750,000 | 724,687 |
|
| 645,356 | 629,926 | 4.50%, 07/01/18-07/25/23 | 1,395,356 | 1,354,613 |
|
|
|
| 68,956 | 68,870 | 5.00%, 06/01/18 | 68,956 | 68,870 |
|
| 677,371 | 689,007 |
|
| 5.50%, 11/01/16 | 677,371 | 689,007 |
145,000 | 148,625 | 118,929 | 122,280 | 531,969 | 546,774 | 6.00%, 04/01/13 - 07/25/23 | 795,898 | 817,679 |
|
| 57,553 | 59,970 | 177,186 | 184,455 | 6.50%, 11/01/11 - 08/01/20 | 234,739 | 244,425 |
|
| 233,093 | 243,801 | 55,343 | 57,910 | 8.00%, 11/01/12 - 01/01/16 | 288,436 | 301,711 |
|
|
|
|
|
| 20 Year, Single Family, |
|
|
|
|
|
| 284,013 | 267,520 | 4.50%, 01/01/25 | 284,013 | 267,520 |
|
| 1,180,830 | 1,152,322 |
|
| 5.00%, 11/01/23 | 1,180,830 | 1,152,322 |
|
| 1,140,293 | 1,164,454 |
|
| 6.00%, 03/01/22 | 1,140,293 | 1,164,454 |
|
|
|
| 393,170 | 409,030 | 6.50%, 03/01/19-12/01/22 | 393,170 | 409,030 |
|
|
|
|
|
| 30 Year, FHA/VA, |
|
|
|
|
|
| 112,943 | 123,603 | 8.50%, 10/01/26-06/01/30 | 112,943 | 123,603 |
|
|
|
| 107,926 | 118,743 | 9.00%, 04/01/25 | 107,926 | 118,743 |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
|
|
| 383,825 | 331,966 | 3.00%, 09/01/31 | 383,825 | 331,966 |
|
| 796,986 | 739,111 | 882,122 | 821,068 | 4.50%, 08/01/33-03/01/38 | 1,679,108 | 1,560,179 |
|
| 1,925,722 | 1,857,757 | 445,405 | 428,432 | 5.00%, 11/01/33 - 09/01/35 | 2,371,127 | 2,286,189 |
|
| 2,673,841 | 2,651,228 | 740,300 | 734,040 | 5.50%, 12/01/33-01/01/34 | 3,414,141 | 3,385,268 |
|
|
|
| 1,391,868 | 1,415,636 | 6.00%, 01/01/29-09/01/33 | 1,391,868 | 1,415,636 |
|
| 397,981 | 413,755 |
|
| 6.50%, 09/01/25 - 04/01/32 | 397,981 | 413,755 |
|
|
|
| 8,828 | 9,335 | 7.00%, 08/01/32 | 8,828 | 9,335 |
|
| 52,608 | 56,688 |
|
| 7.50%, 03/01/30 - 08/01/30 | 52,608 | 56,688 |
|
|
|
| 263,755 | 286,700 | 8.00%, 03/01/27-11/01/28 | 263,755 | 286,700 |
250,000 | 246,406 |
|
|
|
| TBA, 5.50%, 07/25/37 | 250,000 | 246,406 |
640,000 | 613,400 |
|
|
|
| TBA, 5.00%, 07/25/38 | 640,000 | 613,400 |
720,000 | 724,275 |
|
|
|
| TBA, 6.00%, 08/25/38 | 720,000 | 724,275 |
5,835,000 | 6,006,403 |
|
|
|
| TBA, 6.50%, 07/25/36 | 5,835,000 | 6,006,403 |
|
|
|
|
|
| Other, |
|
|
|
|
|
| 367,364 | 361,968 | 4.00%, 09/01/13 | 367,364 | 361,968 |
|
|
|
| 542,039 | 539,146 | 4.50%, 11/01/14 | 542,039 | 539,146 |
|
|
|
| 169,734 | 168,299 | 5.50%, 09/01/33 | 169,734 | 168,299 |
|
| 311,364 | 317,098 | 19,755 | 19,971 | 6.00%, 05/01/09 - 09/01/28 | 331,119 | 337,069 |
|
|
|
| 519,006 | 534,971 | 6.50%, 10/01/35 | 519,006 | 534,971 |
|
| 77,883 | 82,569 |
|
| 7.50%, 02/01/13 | 77,883 | 82,569 |
|
|
|
|
|
| Government National Mortgage Association Pool, |
|
|
|
|
|
|
|
| 15 Year, Single Family, |
|
|
|
|
|
| 53,572 | 56,901 | 8.00%, 01/15/16 | 53,572 | 56,901 |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
|
|
| 16,626 | 17,283 | 6.50%, 10/15/28 | 16,626 | 17,283 |
|
|
|
| 34,527 | 37,041 | 7.00%, 06/15/33 | 34,527 | 37,041 |
|
|
|
| 11,178 | 12,034 | 7.50%, 09/15/28 | 11,178 | 12,034 |
|
|
|
| 47,770 | 52,136 | 8.00%, 09/15/22-05/15/28 | 47,770 | 52,136 |
|
|
|
| 4,822 | 5,307 | 8.50%, 05/20/25 | 4,822 | 5,307 |
625,000 | 645,508 |
|
|
|
| TBA, 6.50%, 07/15/38 | 625,000 | 645,508 |
|
|
|
|
|
| Government National Mortgage Association I Pools, |
|
|
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
| 24,547 | 25,518 |
|
| 6.50%, 03/15/28 - 09/15/28 | 24,547 | 25,518 |
|
| 41,058 | 43,800 |
|
| 7.00%, 12/15/25 - 06/15/28 | 41,058 | 43,800 |
|
| 28,625 | 30,808 |
|
| 7.50%, 05/15/23 - 09/15/25 | 28,625 | 30,808 |
|
| 46,804 | 51,237 |
|
| 8.00%, 10/15/27 | 46,804 | 51,237 |
|
| 14,376 | 15,752 |
|
| 9.00%, 11/15/24 | 14,376 | 15,752 |
|
|
|
|
|
| Government National Mortgage Association II Pools, |
|
|
|
| 738,097 | 731,615 |
|
| ARM, 4.50%, 07/20/34 | 738,097 | 731,615 |
|
| 972,842 | 978,255 |
|
| ARM, 5.50%, 09/20/34 | 972,842 | 978,255 |
|
| 10,526 | 10,638 |
|
| ARM, 5.63%, 07/20/27 | 10,526 | 10,638 |
|
|
|
|
|
| 30 Year, Single Family, |
|
|
|
| 130,028 | 141,851 |
|
| 8.00%, 11/20/26 | 130,028 | 141,851 |
|
| 7,766 | 8,335 |
|
| 7.50%, 12/20/26 | 7,766 | 8,335 |
|
|
|
|
|
| Total Mortgage Pass-Through Securities |
|
|
| 13,353,802 |
| 13,639,610 |
| 20,691,293 | (Cost $13,274,299, $13,704,713, $20,773,968 and $47,752,980, respectively) |
| 47,684,705 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds -- 0.1% |
|
|
|
|
|
|
|
| Illinois -- 0.1% |
|
|
|
|
|
| 160,000 |
| State of Illinois, Taxable Pension, | 160,000 |
|
|
|
|
|
| 150,635 | GO, 5.10%, 06/01/33 (Cost $0, $0, $160,000 and $160,000, respectively) |
| 150,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supranational -- 0.0% (g) |
|
|
|
|
|
| 50,000 |
| Corp. Andina de Fomento (Supranational), | 50,000 |
|
|
|
|
|
| 49,392 | 5.20%, 05/21/13 (Cost $0, $0, $49,885 and $49,885, respectively) |
| 49,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Agency Securities -- 6.6% |
|
|
|
| 1,500,000 |
|
|
| Federal Farm Credit Bank, | 1,500,000 |
|
|
|
| 1,557,439 |
|
| 6.75%, 07/07/09 |
| 1,557,439 |
|
| 1,000,000 |
|
|
| Federal Home Loan Bank System, | 1,000,000 |
|
|
|
| 1,022,182 |
|
| 5.90%, 03/26/09 (c) |
| 1,022,182 |
|
|
|
|
|
| Federal National Mortgage Association, |
|
|
|
| 3,000,000 | 1,653,195 |
|
| Zero Coupon, 10/09/19 | 3,000,000 | 1,653,195 |
|
| 630,000 | 227,958 |
|
| Zero Coupon, 03/23/28 | 630,000 | 227,958 |
|
| 6,000,000 |
|
|
| Federal National Mortgage Association Interest STRIPS, | 6,000,000 |
|
|
|
| 3,263,472 |
|
| 09/23/20 |
| 3,263,472 |
|
|
|
|
|
| Financing Corp. Principal STRIPS, |
|
|
|
| 2,000,000 | 1,236,982 |
|
| 11/02/18 | 2,000,000 | 1,236,982 |
|
| 8,000,000 | 4,918,128 |
|
| 12/06/18 | 8,000,000 | 4,918,128 |
|
| 4,000,000 |
|
|
| Residual Funding Corp., Principal STRIPS, | 4,000,000 |
|
|
|
| 2,261,540 |
|
| 07/15/20 |
| 2,261,540 |
|
|
|
|
|
| Resolution Funding Corp., Interest STRIPS, |
|
|
|
| 1,000,000 | 662,852 |
|
| 10/15/17 | 1,000,000 | 662,852 |
|
| 2,000,000 | 1,162,232 |
|
| 01/15/20 | 2,000,000 | 1,162,232 |
|
|
|
|
|
| Tennessee Valley Authority, |
|
|
|
| 2,000,000 | 2,149,662 |
|
| 6.00%, 03/15/13 | 2,000,000 | 2,149,662 |
|
| 5,000,000 | 3,496,305 |
|
| Zero Coupon, 07/15/16 | 5,000,000 | 3,496,305 |
|
|
|
|
|
| Total U.S. Government Agency Securities |
|
|
| - |
| 23,611,947 |
| - | (Cost $0, $20,896,984, $0 and $20,896,984, respectively) |
| 23,611,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations -- 19.3% |
|
|
|
|
|
|
|
| U.S. Treasury Bonds, |
|
|
165,000 | 177,323 |
|
|
|
| 5.00%, 05/15/37 (m) | 165,000 | 177,323 |
|
| 650,000 | 777,308 |
|
| 6.13%, 11/15/27 (c) | 650,000 | 777,308 |
10,000 | 12,250 |
|
|
|
| 6.38%, 08/15/27 (m) | 10,000 | 12,250 |
150,000 | 189,879 |
|
|
|
| 6.75%, 08/15/26 (k) (m) | 150,000 | 189,879 |
80,000 | 103,075 | 2,700,000 | 3,317,415 |
|
| 7.25%, 05/15/16 - 08/15/22 (k) (m) | 2,780,000 | 3,420,490 |
|
| 1,250,000 | 1,669,531 |
|
| 8.13%, 08/15/19 | 1,250,000 | 1,669,531 |
|
| 2,000,000 | 2,806,718 |
|
| 9.13%, 05/15/18 (c) | 2,000,000 | 2,806,718 |
|
|
|
|
|
| U.S. Treasury Bonds Coupon STRIPS, |
|
|
|
|
|
| 4,000,000 | 3,276,576 | 02/15/14 | 4,000,000 | 3,276,576 |
|
| 1,750,000 | 1,364,766 | 825,000 | 643,389 | 02/15/15 | 2,575,000 | 2,008,155 |
|
|
|
| 4,500,000 | 3,339,877 | 02/15/16 | 4,500,000 | 3,339,877 |
|
|
|
| 1,750,000 | 1,090,803 | 02/15/19 | 1,750,000 | 1,090,803 |
|
|
|
| 100,000 | 52,826 | 02/15/22 | 100,000 | 52,826 |
|
|
|
| 500,000 | 251,684 | 02/15/23 | 500,000 | 251,684 |
|
|
|
| 5,750,000 | 4,660,409 | 05/15/14 | 5,750,000 | 4,660,409 |
|
| 500,000 | 385,249 |
|
| 05/15/15 (c) | 500,000 | 385,249 |
|
| 400,000 | 291,504 | 1,215,000 | 885,443 | 05/15/16 | 1,615,000 | 1,176,947 |
|
|
|
| 4,600,000 | 3,156,497 | 05/15/17 | 4,600,000 | 3,156,497 |
|
| 15,000,000 | 8,721,510 |
|
| 05/15/20 | 15,000,000 | 8,721,510 |
|
| 2,500,000 | 2,003,398 |
|
| 08/15/14 | 2,500,000 | 2,003,398 |
|
| 750,000 | 570,024 | 360,000 | 273,612 | 08/15/15 (c) | 1,110,000 | 843,636 |
|
|
|
| 200,000 | 143,951 | 08/15/16 (c) | 200,000 | 143,951 |
|
| 4,000,000 | 3,862,784 |
|
| 11/15/09 | 4,000,000 | 3,862,784 |
|
|
|
| 200,000 | 173,258 | 11/15/12 | 200,000 | 173,258 |
|
| 2,000,000 | 1,583,328 |
|
| 11/15/14 | 2,000,000 | 1,583,328 |
|
| 3,000,000 | 2,246,841 | 3,085,000 | 2,310,501 | 11/15/15 (c) | 6,085,000 | 4,557,342 |
|
|
|
| 2,900,000 | 2,049,384 | 11/15/16 (c) | 2,900,000 | 2,049,384 |
|
|
|
| 2,900,000 | 1,939,262 | 11/15/17 (c) | 2,900,000 | 1,939,262 |
|
|
|
| 40,000 |
| U.S. Treasury Bonds Principal STRIPS, | 40,000 |
|
|
|
|
|
| 34,786 | 11/15/12 |
| 34,786 |
|
|
|
|
|
| U.S. Treasury Inflation Indexed Bonds, |
|
|
248,762 | 274,766 |
|
|
|
| 2.63%, 07/15/17 | 248,762 | 274,766 |
|
| 617,145 | 671,820 |
|
| 3.50%, 01/15/11 (c) | 617,145 | 671,820 |
|
|
|
| 398,460 | 497,235 | 3.63%, 04/15/28 | 398,460 | 497,235 |
6,240,000 |
|
|
|
|
| U.S. Treasury Inflation Indexed Note, | 6,240,000 |
|
| 6,243,900 |
|
|
|
| 2.63%, 05/31/10 |
| 6,243,900 |
|
|
|
|
|
| U.S. Treasury Notes, |
|
|
100,000 | 96,258 |
|
|
|
| 3.50%, 02/15/18 (m) | 100,000 | 96,258 |
980,000 | 987,274 |
|
|
|
| 3.50%, 05/31/13 (m) | 980,000 | 987,274 |
890,000 | 882,560 |
|
|
|
| 3.88%, 05/15/18 (m) | 890,000 | 882,560 |
|
| 2,250,000 | 2,347,382 |
|
| 4.25%, 08/15/13 (c) | 2,250,000 | 2,347,382 |
|
| 2,500,000 | 2,612,890 |
|
| 4.50%, 09/30/11 (c) | 2,500,000 | 2,612,890 |
215,000 | 227,766 |
|
|
|
| 4.75%, 08/15/17 (m) | 215,000 | 227,766 |
|
|
|
|
|
| Total U.S. Treasury Obligations |
|
|
| 9,195,051 |
| 35,232,468 |
| 24,779,493 | (Cost $9,127,625, $32,361,944, $23,316,801 and $64,806,370, respectively) |
| 69,207,012 |
|
|
|
|
|
| Total Long-Term Investments |
|
|
| 47,579,630 |
| 143,248,397 |
| 174,796,590 | (Cost $50,301,656, $137,101,843, $176,056,573 and $363,460,072, respectively) |
| 365,624,617 |
Shares |
| Shares |
| Shares |
|
| Shares |
|
|
|
|
|
|
| Short-Term Investments -- 3.0% |
|
|
|
|
|
|
|
| Commercial Paper -- 1.4% (n) |
|
|
500,000 |
|
|
|
|
| Cancara Asset Securitisation LLC | 500,000 |
|
| 499,656 |
|
|
|
| 2.57%, 07/10/08 (m) |
| 499,656 |
500,000 |
|
|
|
|
| Charta Corp. | 500,000 |
|
| 498,977 |
|
|
|
| 2.61%, 07/29/08 (e) (m) |
| 498,977 |
500,000 |
|
|
|
|
| Ciesco LLC | 500,000 |
|
| 499,526 |
|
|
|
| 2.51%, 07/14/08 (e) (m) |
| 499,526 |
500,000 |
|
|
|
|
| Corporate Receivables Corp. | 500,000 |
|
| 496,397 |
|
|
|
| 0.00%, 10/02/08 (e) |
| 496,397 |
500,000 |
|
|
|
|
| Enterprise Funding Co. LLC | 500,000 |
|
| 499,524 |
|
|
|
| 2.53%, 07/14/08 (e) (m) |
| 499,524 |
500,000 |
|
|
|
|
| Liberty Funding Co. | 500,000 |
|
| 496,770 |
|
|
|
| 0.00%, 09/15/08 (m) |
| 496,770 |
500,000 |
|
|
|
|
| Scaldis Capital LLC | 500,000 |
|
| 499,967 |
|
|
|
| 2.61%, 07/01/08 (e) (m) |
| 499,967 |
500,000 |
|
|
|
|
| Ticonderoga Funding LLC | 500,000 |
|
| 499,769 |
|
|
|
| 2.45%, 07/07/08 (m) |
| 499,769 |
500,000 |
|
|
|
|
| Variable Funding Capital | 500,000 |
|
| 499,658 |
|
|
|
| 2.46%, 07/11/08 (m) |
| 499,658 |
500,000 |
|
|
|
|
| Yorktown Capital LLC | 500,000 |
|
| 499,533 |
|
|
|
| 2.47%, 07/14/08 (m) |
| 499,533 |
|
|
|
|
|
| Total Commercial Paper |
|
|
| 4,989,777 |
| - |
| - | (Cost $4,990,164, $0, $0 and $4,990,164, respectively) |
| 4,989,777 |
|
|
|
|
|
| �� |
|
|
|
|
|
|
|
| Investment Companies -- 1.6% |
|
|
|
|
|
| 1,650,247 | 1,650,246 | JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) | 1,650,247 | 1,650,246 |
1,644,396 | 1,644,396 |
|
|
|
| JPMorgan Prime Money Market Fund, Institutional Class (b) (m) | 1,644,396 | 1,644,396 |
|
| 2,350,768 | 2,350,768 |
|
| JPMorgan U.S. Government Money Market Fund, Institutional Shares (b) | 2,350,768 | 2,350,768 |
|
|
|
|
|
| Total Investment Companies |
|
|
| 1,644,396 |
| 2,350,768 |
| 1,650,246 | (Cost $1,644,396, $2,350,768, $1,650,246 and $5,645,410, respectively) |
| 5,645,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Investments |
|
|
| 6,634,173 |
| 2,350,768 |
| 1,650,246 | (Cost $6,634,560, $2,350,768. $1,650,246 and $10,635,574, respectively) |
| 10,635,187 |
Principal ($) |
| Principal ($) |
| Principal ($) |
|
| Principal ($) |
|
|
|
|
|
|
| Investments of Cash Collateral for Securities on Loan -- 4.2% |
|
|
|
|
|
|
|
| Corporate Notes -- 1.0% |
|
|
|
|
|
| 750,000 |
| Banque Federative du Credit Mutuel (France), | 750,000 |
|
|
|
|
|
| 750,000 | VAR, 2.49%, 08/13/08 |
| 750,000 |
|
|
|
| 1,000,000 |
| CDC Financial Products, Inc., | 1,000,000 |
|
|
|
|
|
| 1,000,000 | VAR, 2.65%, 07/07/08 |
| 1,000,000 |
|
|
|
| 750,000 |
| Macquarie Bank Ltd. (Australia), | 750,000 |
|
|
|
|
|
| 750,000 | VAR, 2.51%, 08/20/08 |
| 750,000 |
|
|
|
| 1,000,000 |
| Unicredito Italiano Bank Ireland plc (Ireland), | 1,000,000 |
|
|
|
|
|
| 1,000,000 | VAR, 2.48%, 08/08/08 |
| 1,000,000 |
| - |
| - |
| 3,500,000 |
|
| 3,500,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreements -- 3.2% |
|
|
|
| 1,250,000 |
|
|
| Banc of America Securities LLC, 2.45%, dated 06/30/08, due 07/01/08 | 1,250,000 |
|
|
|
| 1,250,000 |
|
| repurchase price $1,250,085, collateralized by U.S. Government Agency Mortgages |
| 1,250,000 |
|
| 683,808 |
| 237,684 |
| Barclays Capital, Inc., 2.70%, dated 06/30/08, due 07/01/08, repurchase price $921,561, | 921,492 |
|
|
|
| 683,808 |
| 237,684 | collateralized by U.S. Government Agency Mortgages |
| 921,492 |
|
| 2,000,000 |
| 500,000 |
| Citigroup Global Markets Inc, 2.51%, dated 06/30/08, due 07/01/08, repurchase price | 2,500,000 |
|
|
|
| 2,000,000 |
| 500,000 | $2,500,174, collateralized by U.S. Government Agency Mortgages |
| 2,500,000 |
|
| 2,000,000 |
| 750,000 |
| Deutsche Bank Securities Inc., 2.80%, dated 06/30/08, due 07/01/08, repurchase price | 2,750,000 |
|
|
|
| 2,000,000 |
| 750,000 | $2,750,214, collateralized by U.S. Government Agency Mortgages |
| 2,750,000 |
|
| 2,000,000 |
|
|
| Merrill Lynch Securities, 2.10%, dated 06/30/08, due 07/01/08, repurchase price, | 2,000,000 |
|
|
|
| 2,000,000 |
|
| $2,000,117, collateralized by U.S. Government Agency Mortgages |
| 2,000,000 |
|
| 2,000,000 |
|
|
| UBS Securities LLC, 2.65%, dated 06/30/08, due 07/01/08, repurchase price | 2,000,000 |
|
|
|
| 2,000,000 |
|
| $2,000,147, collateralized by U.S. Government Agency Mortgages |
| 2,000,000 |
| - |
| 9,933,808 |
| 1,487,684 |
|
| 11,421,492 |
|
|
|
|
|
| Total Investments of Cash Collateral for Securities on Loan |
|
|
| - |
| 9,933,808 |
| 4,987,684 | (Cost $0, $9,933,808, $4,987,684 and $14,921,492, respectively) |
| 14,921,492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments -- 109.3% |
| |
| 54,213,803 |
| 155,532,973 |
| 181,434,520 | (Cost $56,936,216, $149,386,419, $182,694,503 and $389,017,138, respectively) | 391,181,296 | |
| (19,471,237) |
| (9,541,306) |
| (4,276,125) | Liabilities in Excess of Other Assets -- (9.3)% | (33,288,668) | |
| $ 34,742,566 |
| $ 145,991,667 |
| $ 177,158,395 | NET ASSETS -- 100.0% | $ 357,892,628 | |
|
|
|
|
|
|
|
|
|
Percentages indicated are based on net assets.
Futures Contracts
JPMorgan | JPMorgan | JPMorgan | Combined |
|
| JPMorgan | JPMorgan | JPMorgan | Combined | JPMorgan | JPMorgan | JPMorgan | Combined |
Number of | Number of | Number of | Number of | Description | Expiration Date | Notional Value | Notional Value | Notional Value | Notional Value | Unrealized | Unrealized | Unrealized | Unrealized |
|
|
|
| Long Futures Outstanding |
|
|
|
|
|
|
|
|
|
4 |
|
| 4 | 10 Year U.S. Treasury Note | September, 2008 | $ 455,688 |
|
| $ 455,688 | $ 8,723 |
|
| $ 8,723 |
5 |
|
| 5 | Euro-Bobl | September, 2008 | 832,727 |
|
| 832,727 | (13,187) |
|
| (13,187) |
3 |
|
| 3 | U.K. Treasury Gilt | September, 2008 | 623,788 |
|
| 623,788 | (7,040) |
|
| (7,040) |
3 |
|
| 3 | U.S. Treasury Bond | September, 2008 | 346,781 |
|
| 346,781 | 2,093 |
|
| 2,093 |
17 |
|
| 17 | 90 Day Sterling | June, 2009 | 3,972,160 |
|
| 3,972,160 | (17,382) |
|
| (17,382) |
|
|
|
| Short Futures Outstanding |
|
|
|
|
|
|
|
|
|
(2) |
|
| (2) | 2 Year U.S. Treasury Note | September, 2008 | (422,406) |
|
| (422,406) | (37) |
|
| (37) |
(6) |
|
| (6) | 5 Year U.S. Treasury Note | September, 2008 | (663,328) |
|
| (663,328) | (11,361) |
|
| (11,361) |
(1) |
|
| (1) | 10 Year Canadian Bond | September, 2008 | (115,201) |
|
| (115,201) | 517 |
|
| 517 |
(1) |
|
| (1) | Euro-Bund | September, 2008 | (174,087) |
|
| (174,087) | 2,587 |
|
| 2,587 |
(1) |
|
| (1) | Eurodollar | September, 2008 | (242,675) |
|
| (242,675) | (4,203) |
|
| (4,203) |
(1) |
|
| (1) | Eurodollar | December, 2008 | (242,050) |
|
| (242,050) | (3,703) |
|
| (3,703) |
(1) |
|
| (1) | Eurodollar | March, 2009 | (241,700) |
|
| (241,700) | (3,467) |
|
| (3,467) |
(1) |
|
| (1) | Eurodollar | June, 2009 | (241,175) |
|
| (241,175) | (3,078) |
|
| (3,078) |
(1) |
|
| (1) | Eurodollar | September, 2009 | (240,538) |
|
| (240,538) | (491) |
|
| (491) |
(1) |
|
| (1) | Eurodollar | December, 2009 | (239,838) |
|
| (239,838) | (116) |
|
| (116) |
|
|
|
|
|
|
|
|
|
| $ (50,145) |
|
| $ (50,145) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
JPMorgan | JPMorgan | JPMorgan | Combined |
|
|
| JPMorgan | JPMorgan | JPMorgan | Combined | JPMorgan | JPMorgan | JPMorgan | Combined |
Contracts | Contracts | Contracts | Contracts |
| Settlement Date | Settlement Value | Value at | Value at | Value at | Value at | Unrealized | Unrealized | Unrealized | Unrealized |
255,000 CAD | - | - | 255,000 CAD |
| 08/29/08 | $ 251,685 | $ (250,695) |
|
| $ (250,695) | $ 990 | $ - | $ - | $ 990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Positions
JPMorgan | JPMorgan | JPMorgan | Combined |
|
|
| JPMorgan | JPMorgan | JPMorgan | Combined |
Principal | Principal | Principal | Principal |
| Security Description |
| Value | Value | Value | Value |
(+) |
|
| (325,000) |
| FHLMC Gold, 30 Year, Single Family, TBA, 5.50%, 07/15/38 | $ (320,125) |
|
| $ (320,125) | |
(1,130,000) |
|
| (1,130,000) |
| FNMA, 30 Year, Single Family, TBA, 6.00%, 07/25/38 |
| (1,139,888) |
|
| (1,139,888) |
(640,000) |
|
| (640,000) |
| FNMA, 30 Year, Single Family, TBA, 5.00%, 08/25/38 |
| (612,000) |
|
| (612,000) |
(1,150,000) |
|
| (1,150,000) |
| FNMA, 30 Year, Single Family, TBA, 5.50%, 08/25/38 |
| (1,130,594) |
|
| (1,130,594) |
(5,860,000) |
|
| (5,860,000) |
| FNMA, 30 Year, Single Family, TBA, 6.50%, 08/25/38 |
| (6,015,653) |
|
| (6,015,653) |
|
|
|
|
| (Proceeds received of $9,221,899, $0, $0 and 9,221,899, respectively.) | $ (9,218,260) |
|
| $ (9,218,260) | |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan | JPMorgan | JPMorgan | Combined | JPMorgan | JPMorgan | JPMorgan | Combined |
Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Buy/Sell | Fund Pays/Receives | Termination | Notional | Notional | Notional | Notional |
|
|
|
|
Referenced Obligation | Swap Counterparty | Protection | Fixed Rate (r) | Date | Amount | Amount | Amount | Amount | Value | Value | Value | Value |
CDX.EM.9 | Barclays Bank plc [1] | Buy | 2.65% semi-annually | 06/20/13 | $ 80,000 |
|
| $ 80,000 | $ (359) |
|
| $ (359) |
CDX.EM.9 | Citibank, N.A. [2] | Buy | 2.65% semi-annually | 06/20/13 | 260,000 |
|
| 260,000 | (1,167) |
|
| (1,167) |
CDX.EM.9 | Deutsche Bank AG, New York [3] | Buy | 2.65% semi-annually | 06/20/13 | 210,000 |
|
| 210,000 | (943) |
|
| (943) |
CDX.EM.9 | HSBC Bank, N.A. [4] | Buy | 2.65% semi-annually | 06/20/13 | 140,000 |
|
| 140,000 | (629) |
|
| (629) |
CDX.EM.9 | Merrill Lynch International [5] | Buy | 2.65% semi-annually | 06/20/13 | 230,000 |
|
| 230,000 | (1,033) |
|
| (1,033) |
CDX.NA.IG.9 | Goldman Sachs Capital Management [6] | Buy | 0.60% quarterly | 12/20/12 | 1,000,000 |
|
| 1,000,000 | 33,321 |
|
| 33,321 |
CDX.NA.IG.9 | Goldman Sachs Capital Management [7] | Buy | 0.60% quarterly | 12/20/12 | 1,500,000 |
|
| 1,500,000 | 49,982 |
|
| 49,982 |
CDX.NA.IG.10 | Goldman Sachs Capital Management [8] | Buy | 1.55% quarterly | 06/20/13 | 1,300,000 |
|
| 1,300,000 | (9,019) |
|
| (9,019) |
CDX.NA.IG.HVOL.10 | Goldman Sachs Capital Management [9] | Sell | 3.50% quarterly | 06/20/13 | 300,000 |
|
| 300,000 | 2,361 |
|
| 2,361 |
Republic of Kazakhstan, 11.13%, 05/11/07 | Citibank, N.A. | Sell | 0.60% semi-annually | 03/20/12 | 210,000 |
|
| 210,000 | (9,331) |
|
| (9,331) |
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.55% semi-annually | 03/20/12 | 390,000 |
|
| 390,000 | (18,071) |
|
| (18,071) |
Republic of Kazakhstan, 11.13%, 05/11/07 | Deutsche Bank AG, New York | Sell | 0.61% semi-annually | 03/20/12 | 150,000 |
|
| 150,000 | (6,610) |
|
| (6,610) |
Russia AG Bank, 7.18%, 05/16/13 | Union Bank of Switzerland AG | Sell | 0.76% semi-annually | 02/20/09 | 750,000 |
|
| 750,000 | (2,410) |
|
| (2,410) |
Russia AG Bank, 7.18%, 05/16/13 | Credit Suisse International | Sell | 0.72% semi-annually | 03/20/09 | 75,000 |
|
| 75,000 | (432) |
|
| (432) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Buy | 0.31% semi-annually | 02/20/09 | 750,000 |
|
| 750,000 | (68) |
|
| (68) |
Russian Federation, 7.50%, 03/31/30 | Credit Suisse International | Buy | 0.30% semi-annually | 03/20/09 | 75,000 |
|
| 75,000 | 34 |
|
| 34 |
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 1.01% semi-annually | 07/20/10 | 590,000 |
|
| 590,000 | 4,982 |
|
| 4,982 |
Russian Federation, 7.50%, 03/31/30 | Deutsche Bank AG, New York | Sell | 0.53% semi-annually | 12/20/11 | 240,000 |
|
| 240,000 | (3,237) |
|
| (3,237) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 740,000 |
|
| 740,000 | (11,546) |
|
| (11,546) |
Russian Federation, 7.50%, 03/31/30 | Union Bank of Switzerland AG | Sell | 0.46% semi-annually | 12/20/11 | 20,000 |
|
| 20,000 | (315) |
|
| (315) |
United Mexican States, 7.50%, 04/08/33 | Deutsche Bank AG, New York | Buy | 0.96% semi-annually | 07/20/10 | 590,000 |
|
| 590,000 | (5,693) |
|
| (5,693) |
VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 | Merrill Lynch Capital Services | Sell | 0.64% semi-annually | 05/20/12 | 170,000 |
|
| 170,000 | (10,980) |
|
| (10,980) |
|
|
|
|
|
|
|
|
| $ 8,837 |
|
| $ 8,837 |
[1] Premiums received of $203.
[2] Premiums received of $461.
[3] Premiums received of $824.
[4] Premiums received of $342.
[5] Premiums received of $446.
[6] Premiums paid of $54,695.
[7] Premiums paid of $65,823.
[8] Premiums received of $29,867.
[9] Premiums paid of $12,802.
|
|
|
| JPMorgan | JPMorgan | JPMorgan | Combined | JPMorgan | JPMorgan | JPMorgan | Combined |
Price Lock Swaps |
|
|
|
|
|
|
|
|
|
|
|
Swap Counterparty | Referenced Obligation |
Price Lock | Termination Date | Notional Amount | Notional Amount | Notional Amount | Notional Amount | Value | Value | Value | Value |
Citibank, N.A. (b) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | $ 100.98 | 07/07/08 | $ 1,965,000 |
|
| $ 1,965,000 | $ (396) |
|
| $ (396) |
Deutsche Bank AG, New York (a) | FNMA, 30 Year, Single Family, TBA, 5.00% | 96.09 | 07/07/08 | 5,600,000 |
|
| 5,600,000 | 18,369 |
|
| 18,369 |
Deutsche Bank AG, New York (a) | FNMA, 30 Year, Single Family, TBA, 6.00% | 101.22 | 07/07/08 | 3,965,000 |
|
| 3,965,000 | 15,174 |
|
| 15,174 |
Deutsche Bank AG, New York (b) | FNMA, 30 Year, Single Family, TBA, 6.50% | 103.13 | 07/07/08 | 10,550,000 |
|
| 10,550,000 | (28,839) |
|
| (28,839) |
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, Single Family, TBA, 5.00% | 96.59 | 07/07/08 | 2,600,000 |
|
| 2,600,000 | (21,118) |
|
| (21,118) |
Deutsche Bank AG, New York (b) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00% | 101.41 | 07/07/08 | 5,045,000 |
|
| 5,045,000 | (21,671) |
|
| (21,671) |
Deutsche Bank AG, New York (b) | FHLMC, 4.50%, 01/15/14 | 99.90 | 07/21/08 | 1,095,000 |
|
| 1,095,000 | 10,495 |
|
| 10,495 |
Lehman Brothers Special Financing (a) | FNMA, 30 Year, Single Family, TBA, 6.00% | 101.19 | 07/07/08 | 3,500,000 |
|
| 3,500,000 | 12,301 |
|
| 12,301 |
Lehman Brothers Special Financing (b) | FNMA, 15 Year, Single Family, TBA, 5.50% | 100.69 | 07/10/08 | 3,200,000 |
|
| 3,200,000 | (3,498) |
|
| (3,498) |
Union Bank of Switzerland AG (b) | FNMA, 30 Year, Single Family, TBA, 5.00% | 96.59 | 07/07/08 | 1,790,000 |
|
| 1,790,000 | (14,570) |
|
| (14,570) |
|
|
|
|
|
|
|
| $ (33,753) |
|
| $ (33,753) |
(a) Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price.
(b) Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock.
See note to pro-forma financial statements.
Abbreviations and Definitions:
(b) | Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc. or 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. | |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. 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 Fund owns fair valued securities with a value of approximately $53,346 which amounts to 1.1% of total investments. | |
(g) | Amount rounds to less than 0.1%. | |
(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. | |
(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 currency contracts. | |
(n) | The rate shown is the effective yield at the date of purchase. | |
(r) | Rates shown are per annum and payments are as described. | |
(s) | These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions. | |
(v) | As a result of the issuer missing its most recent coupon payment, the Portfolio no longer accrues interest from this security. The issuer has until the security's maturity date to make any missed payments. | |
(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 June 30, 2008. | |
(y) | Security was purchased prior to its affiliation with JPMorgan Chase & Co. | |
ARM | Adjustable Rate Mortgage | |
CAD | Canadian Dollar | |
CMO | Collateralized Mortgage Obligation | |
FHA | Federal Housing Administration | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GO | General Obligation | |
HB | High Coupon Bonds (aka "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO's, 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. | |
IF | Inverse Floaters represent securities that pay interest at a right that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of June 30, 2008. The rate may be subject to a cap and floor. | |
IO | Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount show represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. 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. | |
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 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 June 30, 2008. | |
TBA | To Be Announced | |
VA | Veterans Administration | |
VAR | Variable Rate Note. The interest rate shown is the rate in effect as of June 30, 2008. |
JPMorgan Bond Portfolio/JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio
Pro Forma Combined Statements of Assets and Liabilities
As of June 30, 2008 (Unaudited)
| Acquired Portfolio |
| Acquired Portfolio |
| Acquiring |
|
|
|
|
|
| JPMorgan |
| JPMorgan |
| JPMorgan |
| Pro Forma |
| Pro Forma |
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
Investments in non-affiliates, at value | $ 52,569,407 |
| $ 153,182,205 |
| $ 179,784,274 |
| $ - |
| $ 385,535,886 |
|
Investments in affiliates, at value | 1,644,396 |
| 2,350,768 |
| 1,650,246 |
| - |
| 5,645,410 |
|
Total investment securities, at value | 54,213,803 |
| 155,532,973 |
| 181,434,520 |
| - |
| 391,181,296 |
|
Cash | - |
| 377 |
| 125 |
| (502) | (a) | - |
|
Deposits with broker for futures | 2,416 |
| - |
|
|
| - |
| 2,416 |
|
Receivables: |
|
|
|
|
|
|
|
|
|
|
Investment securities sold | 27,747,783 |
| 2,158 |
| 16,174 |
| - |
| 27,766,115 |
|
Portfolio shares sold | 462 |
| 147,764 |
| 132,131 |
| - |
| 280,357 |
|
Interest and dividends | 284,223 |
| 670,109 |
| 998,883 |
| - |
| 1,953,215 |
|
Tax reclaims | 157 |
| - |
| - |
| - |
| 157 |
|
Variation margin on futures contracts | 27,283 |
| - |
| - |
| - |
| 27,283 |
|
Unrealized appreciation on forward foreign currency exchange contracts | 990 |
| - |
| - |
| - |
| 990 |
|
Outstanding swap contracts, at value | 147,019 |
| - |
| - |
| - |
| 147,019 |
|
Expense reimbursements from Administrator | 24,486 |
| - |
| - |
| - |
| 24,486 |
|
Total assets | 82,448,622 |
| 156,353,381 |
| 182,581,833 |
| (502) |
| 421,383,334 |
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
|
|
Due to custodian | 20,635 |
| - |
| - |
| (502) | (a) | 20,133 |
|
Investment securities purchased | 38,119,251 |
| - |
| - |
| - |
| 38,119,251 |
|
Collateral for securities lending program | - |
| 9,933,808 |
| 4,987,684 |
| - |
| 14,921,492 |
|
Securities sold short, at value | 9,218,260 |
| - |
|
|
| - |
| 9,218,260 |
|
Portfolio shares redeemed | 25,992 |
| 299,103 |
| 266,449 |
| - |
| 591,544 |
|
Outstanding swap contracts, at value | 171,935 |
| - |
|
|
| - |
| 171,935 |
|
Accrued liabilities: |
|
|
|
|
|
|
|
|
|
|
Investment advisory fees | 8,563 |
| 47,140 |
| 52,174 |
| (68,000) | (b) | 39,877 |
|
Administration fees | - |
| 12,392 |
| 16,793 |
| - |
| 29,185 |
|
Distribution fees | - |
| - |
| 3 |
| - |
| 3 |
|
Custodian and accounting fees | 13,349 |
| 7,399 |
| 9,657 |
| - |
| 30,405 |
|
Trustees and Chief Compliance Officer's fees | - |
| 393 |
| 391 |
| - |
| 784 |
|
Other | 128,071 |
| 61,479 |
| 90,287 |
| 68,000 | (b) | 347,837 |
|
Total Liabilities | 47,706,056 |
| 10,361,714 |
| 5,423,438 |
| (502) |
| 63,490,706 |
|
Net Assets | $ 34,742,566 |
| $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 357,892,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
|
|
Paid in capital | $ 38,950,770 |
| $ 136,964,316 |
| $ 176,347,798 |
| $ - |
| 352,262,884 |
|
Accumulated undistributed (overdistributed) |
|
|
|
|
|
|
|
|
|
|
net investment income | 855,560 |
| 3,676,814 |
| 4,441,595 |
| - | 8,973,969 |
| |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
|
|
|
investments and futures | (2,169,740) |
| (796,017) |
| (2,371,015) |
| - |
| (5,336,772) |
|
Net unrealized appreciation (depreciation) of |
|
|
|
|
|
|
|
|
|
|
investments and futures | (2,894,024) |
| 6,146,554 |
| (1,259,983) |
| - |
| 1,992,547 |
|
Total Net Assets | $ 34,742,566 |
| $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 357,892,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class 1 Shares | $ 34,742,566 |
| $ 145,991,667 |
| $ 177,141,826 |
| $ - | $ 357,867,059 | (c) | |
Class 2 Shares | - |
| - |
| 16,569 |
| - |
| 16,569 | (c) |
Total Net Assets | $ 34,742,566 |
| $ 145,991,667 |
| $ 177,158,395 |
| $ - |
| $ 357,892,628 |
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding |
|
|
|
|
|
|
|
|
|
|
Class 1 | 3,555,627 | * | 13,183,803 |
| 16,210,150 |
| (203,819) | (d) | 32,745,761 |
|
Class 2 | - |
| - |
| 1,518 |
|
|
| 1,518 |
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
|
|
Class 1 | $ 9.77 | * | $ 11.07 |
| $ 10.93 |
|
|
| $ 10.93 |
|
Class 2 | - |
| - |
| $ 10.92 |
|
|
| $ 10.92 |
|
|
|
|
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates | $ 55,291,820 |
| $ 147,035,651 |
| $ 181,044,257 |
|
|
| $ 383,371,728 |
|
Cost of investments in affiliates | 1,644,396 |
| 2,350,768 |
| 1,650,246 |
|
|
| 5,645,410 |
|
Proceeds from securities sold short | 9,221,899 |
| - |
| - |
|
|
| 9,221,899 |
|
Premiums paid on swaps | 133,320 |
| - |
| - |
|
|
| 133,320 |
|
Premiums received on swaps | 32,143 |
| - |
| - |
|
|
| 32,143 |
|
|
|
|
|
|
|
|
|
|
|
|
(a) Reflects the netting of amounts receivable and payable to and from the custodian.
(b) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions.
(c) Reflects total combined net assets due to the merger.
(d) Reflects the adjustment to the number of shares outstanding due to the merger.
* The shares of JPMorgan Bond Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio.
JPMorgan Bond Portfolio/JPMorgan Insurance Trust Government Bond/JPMorgan Insurance Trust Core Bond Portfolio
Pro Forma Combined Statements of Operations
For the twelve months ended June 30, 2008 (unaudited)
| JPMorgan |
| JPMorgan |
| JPMorgan |
| Pro Forma |
| Pro Forma |
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
Interest and dividend income | $ 2,248,936 |
| $ 8,457,827 |
| $ 10,067,482 |
| - |
| $ 20,774,245 |
|
Total investment income | 2,248,936 |
| 8,457,827 |
| 10,067,482 |
|
|
| 20,774,245 |
|
Expenses |
|
|
|
|
|
|
|
|
|
|
Investment advisory fees | 120,282 |
| 622,088 |
| 756,254 |
| 33,715 |
| 1,532,339 | (a) |
Administration fees | - |
| 155,156 |
| 188,551 |
| 39,378 |
| 383,085 | (a) |
Custodian and accounting fees | 59,887 |
| 31,805 |
| 86,025 |
| (38,335) |
| 139,382 | (b) |
Interest expense | 7,507 |
| - |
| - |
| - |
| 7,507 |
|
Distribution fees - Class 2 | - |
| - |
| 40 |
| 1 |
| 41 | (a) |
Professional fees | 132,351 |
| 61,046 |
| 60,072 |
| (185,136) |
| 68,333 | (b) |
Printing and mailing costs | 27,024 |
| 32,234 |
| 89,106 |
| (31,491) |
| 116,873 | (b) |
Trustees' and Chief Compliance Officer's fees | 6,026 |
| 1,866 |
| 2,276 |
| (6,026) |
| 4,142 | (b) |
Transfer agent fees | 10,436 |
| 11,702 |
| 17,257 |
| - |
| 39,395 |
|
Other | 78,139 |
| 21,351 |
| 28,923 |
| - |
| 128,413 |
|
Total expenses | 441,652 |
| 937,248 |
| 1,228,504 |
| (187,894) |
| 2,419,510 |
|
Less amounts waived | - |
| (9,493) |
| (93,841) |
| (17,627) |
| (120,961) | (a) |
Less expense reimbursements | (166,998) |
| - |
| - |
| 166,998 |
| - | (a) |
Less earnings credits | (1,351) |
| (18) |
| (240) |
| - |
| (1,609) |
|
Net expenses | 273,303 |
| 927,737 |
| 1,134,423 |
| (38,523) |
| 2,296,940 |
|
Net investment income (loss) | 1,975,633 |
| 7,530,090 |
| 8,933,059 |
| 38,523 |
| 18,477,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on transactions from: |
|
|
|
|
|
|
|
|
|
|
Investments | 384,070 |
| (469,403) |
| 62,240 |
| - |
| (23,093) |
|
Securities sold short | (784,695) |
| - |
| - |
| - |
| (784,695) |
|
Written options | 39,590 |
| - |
| - |
| - |
| 39,590 |
|
Futures | (626,534) |
| - |
| - |
| - |
| (626,534) |
|
Swaps | 30,233 |
| - |
| - |
| - |
| 30,233 |
|
Foreign currency transactions | (4,552) |
| - |
| - |
| - |
| (4,552) |
|
Net realized gain (loss) | (961,888) |
| (469,403) |
| 62,240 |
| - |
| (1,369,051) |
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
|
|
Investments | (2,374,461) |
| 6,577,466 |
| 3,452,531 |
| - |
| 7,655,536 |
|
Securities sold short | (5,210) |
| - |
| - |
|
|
| (5,210) |
|
Written options | (15,014) |
| - |
| - |
|
|
| (15,014) |
|
Futures | 6,957 |
| - |
| - |
|
|
| 6,957 |
|
Swaps | (44,772) |
| - |
| - |
|
|
| (44,772) |
|
Foreign currency translations | 1,179 |
| - |
| - |
|
|
| 1,179 |
|
Change in net unrealized appreciation (depreciation) | (2,431,321) |
| 6,577,466 |
| 3,452,531 |
| - |
| 7,598,676 |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized/unrealized gains (losses) | (3,393,209) |
| 6,108,063 |
| 3,514,771 |
| - |
| 6,229,625 |
|
|
|
|
|
|
|
|
|
|
|
|
Change in net assets resulting from operations | $ (1,417,576) |
| $ 13,638,153 |
| $ 12,447,830 |
| $ 38,523 |
| $ 24,706,930 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Based on the contract in effect for the surviving portfolio.
(b) Decrease due to elimination of duplicate expenses achieved by merging the portfolios.
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1.
Basis of Combination
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan Bond Portfolio, a series of J.P. Morgan Series Trust II (“Bond Portfolio”), JPMorgan Insurance Trust Government Bond Portfolio, a series of JPMorgan Insurance Trust (“Government Bond Portfolio”), and JPMorgan Insurance Trust Core Bond Portfolio, a series of JPMorgan Insurance Trust (“Core Bond Portfolio”), each a “Portfolio”. Following the combination, the Core Bond Portfolio will be the accounting survivor.
Under the terms of Agreements and Plans of Reorganization, the exchange of assets of Bond Portfolio and Government Portfolio for shares of Core Bond Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination would be accomplished by an acquisition of the net assets of Bond Portfolio and Class 1 shares of Government Bond Portfolio in exchange for Class 1 shares of Core Bond Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Core Bond Portfolio will not be restated. The fiscal year end is December 31 for Bond Portfolio, Government Bond Portfolio and Core Bond Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2.
Summary of Significant Accounting Policies
The following is a summary of significant accounting policies which are consistently followed by Bond Portfolio, Government Bond Portfolio and Core Bond Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation - Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Portfolio may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Portfolio to value securities may differ from the value that would be realized if these securities were sold and the differences could be significant. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sal e price on the exchange on which the security is principally traded that is reported before the time
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
Bond Portfolio
Valuation Inputs | Investment In Securities | Liabilities in Securities Sold Short | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $1,644,396 | $- | $15,721 | $(64,065) |
Level 2 | 52,569,407 | (9,218,260) | 82,203 | (208,296) |
Level 3 | - | - | - | - |
Total | $54,213,803 | $(9,218,260) | $97,924 | $(272,361) |
Government Bond Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $12,284,576 | $- |
Level 2 | 143,248,397 | - |
Level 3 | - | - |
Total | $155,532,973 | $- |
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
Core Bond Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $3,137,930 | $- |
Level 2 | 178,296,590 | - |
Level 3 | - | - |
Total | $181,434,520 | $- |
Combined Portfolio
Valuation Inputs | Investment In Securities | Liabilities in Securities Sold Short | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $17,066,902 | $- | $15,721 | $(64,065) |
Level 2 | 374,114,394 | (9,218,260) | 82,203 | (208,296) |
Level 3 | - | - | - | - |
Total | $391,181,296 | $(9,218,260) | $97,924 | $(272,361) |
SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining fair value:
Bond Portfolio
| Investments In Securities | Other Financial Instruments* |
Balance as of 12/31/07 | $261,100 | $- |
Realized gain (loss) | - | - |
Change in unrealized appreciation (depreciation) | (261,100) | - |
Net purchases (sales) | - | - |
Net transfers in (out) of Level 3 | - | $- |
Balance as of 6/30/08 | $- | $- |
Combined Portfolio
| Investments In Securities | Other Financial Instruments* |
Balance as of 12/31/07 | $261,100 | $- |
Realized gain (loss) | - | - |
Change in unrealized appreciation (depreciation) | (261,100) | - |
Net purchases (sales) | - | - |
Net transfers in (out) of Level 3 | - |
|
Balance as of 6/30/08 | $- | $- |
* Other financial instruments include futures, forwards and swap contracts.
JPMorgan Bond Portfolio
JPMorgan Insurance Trust Government Bond Portfolio
JPMorgan Insurance Trust Core Bond Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 16,535,612 Class 1 shares of Core Bond Portfolio in exchange for 3,555,627 shares of Bond Portfolio and 13,183,803 Class 1 shares of Government Bond Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Core Bond Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
The following table presents the portfolio investments of the Combined Pro-Forma Portfolio by industry classifications as a percentage of total investments: |
| ||
|
|
|
|
Industry |
| Percentage |
|
Commercial Banks |
| 12.8 |
|
Oil, Gas & Consumable Fuels |
| 11.1 |
|
Pharmaceuticals |
| 8.3 |
|
Metals & Mining |
| 4.6 |
|
Trading Companies & Distributors |
| 3.5 |
|
Wireless Telecommunication Services |
| 3.3 |
|
Construction Materials |
| 3.2 |
|
Chemicals |
| 2.9 |
|
Food & Staples Retailing |
| 2.8 |
|
Insurance |
| 2.7 |
|
Media |
| 2.6 |
|
Capital Markets |
| 2.6 |
|
Industrial Conglomerates |
| 2.5 |
|
Electric Utilities |
| 2.5 |
|
Food Products |
| 2.4 |
|
Electronic Equipment & Instruments |
| 2.1 |
|
Automobiles |
| 2.0 |
|
Beverages |
| 2.0 |
|
Diversified Financial Services |
| 1.8 |
|
Diversified Telecommunication Services |
| 1.7 |
|
Communications Equipment |
| 1.7 |
|
Multi-Utilities |
| 1.7 |
|
Semiconductors & Semiconductor Equipment |
| 1.6 |
|
Machinery |
| 1.5 |
|
Specialty Retail |
| 1.5 |
|
Office Electronics |
| 1.5 |
|
Household Durables |
| 1.5 |
|
Electrical Equipment |
| 1.4 |
|
Building Products |
| 1.4 |
|
Software |
| 1.2 |
|
Real Estate Management & Development |
| 1.2 |
|
Tobacco |
| 1.0 |
|
Others (each less than 1.0%) |
| 5.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviations and Definitions: |
|
|
|
ADR American Depositary Receipt |
|
|
|
CVA Dutch Certification |
|
|
|
GDR Global Depositary Receipt |
|
|
|
|
|
|
|
(a) Non-income producing security. |
|
|
|
(g) Amount rounds to less than 0.1%. |
|
|
|
(l) All or a portion of these securities are reserved for current or potential holdings with the custodian for forward foreign currency contracts. | |||
|
|
|
|
The market value and percentage of the Combined Pro-Forma investments based on net assets | |||
that are fair valued under the fair valuation policy for international investments are $69,806,687 and 94.6% of total investments, respectively. |
JPMorgan International Equity Portfolio/JPMorgan Insurance Trust International Equity Portfolio |
|
|
|
|
| |||
Pro Forma Combined Statements of Assets and Liabilities |
|
|
|
|
|
|
| |
As of June 30, 2008 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Acquired Portfolio |
| Acquiring Portfolio |
|
|
|
|
|
| JPMorgan International Equity Portfolio |
| JPMorgan Insurance Trust International Equity Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Investments in non-affiliates, at value | $ 68,420,565 |
| $ 5,333,191 |
| $ - |
| $ 73,753,756 |
|
Total investment securities, at value | 68,420,565 |
| 5,333,191 |
| - |
| 73,753,756 |
|
Cash | - |
| 97,068 |
| (97,068) | (a) | - |
|
Foreign currency, at value | 39,147 |
| 15,612 |
| - |
| 54,759 |
|
Receivables: |
|
|
|
|
|
|
|
|
Investment securities sold | 3,433,685 |
| 34,533 |
| - |
| 3,468,218 |
|
Portfolio shares sold | 29,625 |
| - |
| - |
| 29,625 |
|
Interest and dividends | 165,273 |
| 11,826 |
| - |
| 177,099 |
|
Tax reclaims | 193,782 |
| 9,756 |
| - |
| 203,538 |
|
Due from Advisor | - |
| 1,313 |
| 32,245 | (b) | 33,558 |
|
Total assets | 72,282,077 |
| 5,503,299 |
| (98,381) |
| 77,720,553 |
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
|
Due to custodian | 354,425 |
| - |
| (97,068) | (a) | 257,357 |
|
Investment securities purchased | 2,211,218 |
| 61,449 |
| - |
| 2,272,667 |
|
Portfolio shares redeemed | 78,277 |
| - |
| - |
| 78,277 |
|
Accrued liabilities: |
|
|
|
|
|
|
|
|
Investment advisory fees | 35,755 |
| - |
| (35,755) | (b) | - |
|
Administration fees | 15,713 |
| - |
| - |
| 15,713 |
|
Distribution fees | - |
| 1,148 |
| - |
| 1,148 |
|
Custodian and accounting fees | 20,359 |
| 460 |
| - |
| 20,819 |
|
Trustees and Chief Compliance Officer's fees | - |
| 29 |
| - |
| 29 |
|
Other | 51,560 |
| 42,201 |
| 68,000 | (c) | 161,761 |
|
Total liabilities | 2,767,307 |
| 105,287 |
| (64,823) |
| 2,807,771 |
|
Net Assets | $ 69,514,770 |
| $ 5,398,012 |
| $ - |
| $ 74,912,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
Paid in capital | $ 47,994,623 |
| $ 5,212,948 |
| $ - |
| 53,207,571 |
|
Accumulated undistributed (overdistributed) |
|
|
|
|
|
|
|
|
net investment income | 1,335,362 |
| 95,499 |
| - | 1,430,861 |
| |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
|
investments and futures | 2,484,113 |
| 3,313 |
| - |
| 2,487,426 |
|
Net unrealized appreciation (depreciation) of |
|
|
|
|
|
|
|
|
investments and futures | 17,700,672 |
| 86,252 |
| - |
| 17,786,924 |
|
Total Net Assets | $ 69,514,770 |
| $ 5,398,012 |
| $ - |
| $ 74,912,782 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class 1 Shares | $ 69,514,770 |
| $ - |
| $ - | 69,514,770 | (d) | |
Class 2 Shares | - |
| 5,398,012 |
| - |
| 5,398,012 | (d) |
Total Net Assets | $ 69,514,770 |
| $ 5,398,012 |
| $ - |
| $ 74,912,782 |
|
|
|
|
|
|
|
|
|
|
Outstanding units of beneficial interest |
|
|
|
|
|
|
|
|
(shares) (unlimited amount authorized, |
|
|
|
|
|
|
|
|
no par value) |
|
|
|
|
|
|
|
|
Class 1 | 5,722,589 | * | - |
| (1,257,928) | (e) | 4,464,661 |
|
Class 2 | - |
| 346,754 |
| - |
| 346,754 |
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
Class 1 | $ 12.15 | * | $ - |
|
|
| $ 15.57 |
|
Class 2 | $ - |
| $ 15.57 |
|
|
| $ 15.57 |
|
|
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates | $ 50,753,273 |
|
$ 5,248,219 |
| $ - |
| $ 56,001,492 |
|
Cost of foreign currency | 38,841 |
| 15,440 |
| - |
| 54,281 |
|
|
|
|
|
|
|
|
|
|
(a) Reflects the netting of amounts receivable and payable to and from the custodian. |
|
|
|
|
| |||
(b) Reflects the netting of amounts receivable and payable to and from the Advisor. |
|
|
|
|
| |||
(c) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. |
| |||||||
(d) Reflects total combined net assets due to the merger. |
|
|
|
|
|
|
| |
(e) Reflects the adjustment to the number of shares outstanding due to the merger. |
|
|
|
|
| |||
* The shares of JPMorgan International Equity Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio. |
See notes to pro-forma financial statements.
J.P. Morgan Series Trust II International Equity Portfolio/JPMorgan Insurance Trust International Equity Portfolio |
|
|
|
|
|
| |||
Pro Forma Combined Statements of Operations |
|
|
|
|
|
|
|
|
|
As of June 30, 2008 (Unaudited) |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
| Series Trust II International Equity Portfolio |
| JPMorgan Insurance Trust International Equity Portfolio |
|
| Pro Forma Adjustments |
| Pro Forma Combined |
|
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|
|
|
|
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
Interest and dividend income | $ 2,375,060 |
| $ 175,024 |
|
| - |
| $ 2,550,084 |
|
Total investment income | 2,375,060 |
| 175,024 |
|
|
|
| 2,550,084 |
|
Expenses |
|
|
|
|
|
|
|
|
|
Investment advisory fees | 484,730 |
| 34,819 |
|
| (1,101) |
| 518,448 | (a) |
Services to Shareholders | - |
| - |
|
| - |
| - |
|
Administration fees | 275,154 |
| 5,788 |
|
| (194,534) |
| 86,408 | (a) |
Record keeping fees | - |
| - |
|
| - |
| - | (a) |
Custodian and accounting fees | 62,110 |
| 19,444 |
|
| (17,595) |
| 63,959 | (b) |
Interest Expense | 15,716 |
| - |
|
|
|
| 15,716 |
|
Distribution fees | - |
| 14,508 |
|
|
|
| 14,508 |
|
Professional fees | 77,060 |
| 50,825 |
|
| (70,685) |
| 57,200 | (b) |
Printing and mailing costs | 36,916 |
| 11,438 |
|
| (11,438) |
| 36,916 | (b) |
Trustees' and Chief Compliance Officer's fees | 8,366 |
| 71 |
|
| (7,437) |
| 1,000 | (b) |
Transfer agent fees | 9,696 |
| 2,442 |
|
| 3,500 |
| 15,638 | (c) |
Registration Fees | - |
| - |
|
|
|
| - |
|
Offering Costs | - |
| - |
|
|
|
| - |
|
Other | 15,427 |
| 2,748 |
|
| 1,280 |
| 19,455 | (c) |
Total expenses | 985,175 |
| 142,083 |
|
| (298,010) |
| 829,248 |
|
Less amounts waived | (41,317) |
| (40,607) |
|
| 81,924 |
| - | (a) |
Less expense reimbursements | - |
| (27,190) |
|
| 27,190 |
| - | (a) |
Less earnings credits | - |
| (7) |
|
| - |
| (7) |
|
Net expenses | 943,858 |
| 74,279 |
|
| (188,896) |
| 829,241 |
|
Net investment income (loss) | 1,431,202 |
| 100,745 |
|
| 188,896 |
| 1,720,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on transactions from: |
|
|
|
|
|
|
|
|
|
Investments | 9,149,347 |
| 71,403 |
|
| - |
| 9,220,750 |
|
Futures | - |
| - |
|
| - |
| - |
|
Foreign currency transactions | (11,081) |
| 3,298 |
|
| - |
| (7,783) |
|
Net realized gain (loss) | 9,138,266 |
| 74,701 |
|
| - |
| 9,212,967 |
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
|
Investments | (18,960,051) |
| (773,698) |
|
| - |
| (19,733,749) |
|
Foreign currency translations | 27,635 |
| 1,059 |
|
| - |
| 28,694 |
|
Change in net unrealized appreciation (depreciation) | (18,932,416) |
| (772,639) |
|
| - |
| (19,705,055) |
|
|
|
|
|
|
|
|
|
|
|
Net realized/unrealized gains (losses) | (9,794,150) |
| (697,938) |
|
| - |
| (10,492,088) |
|
|
|
|
|
|
|
|
|
|
|
Change in net assets resulting from operations | $ (8,362,948) |
| $ (597,193) |
|
| $ 188,896 |
| $ (8,771,245) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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|
(a) Based on the contract in effect for the surviving portfolio. |
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|
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|
|
|
|
| |
(b) Decrease due to elimination of duplicate expenses achieved by merging the portfolios. |
|
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|
| |||
(c) Increase due to increased expenses that will be incurred as a result of adding an additional share class to the surviving portfolio. |
|
|
See notes to pro-forma financial statements.
JPMorgan Trust International Equity Portfolio
JPMorgan Insurance Trust International Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1.
Basis of Combination
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan International Equity Portfolio, a series of J.P. Morgan Series trust II (“International Equity Portfolio”), and JPMorgan Insurance Trust International Equity Portfolio, a series of JPMorgan Insurance Trust (“JPMIT International Equity Portfolio”), each a “Portfolio”. Following the combination, International Equity Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of International Equity Portfolio for shares of JPMIT International Equity Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination would be accomplished by an acquisition of the net assets of International Equity Portfolio in exchange for Class 1 shares of JPMIT International Equity Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates in dicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of JPMIT International Equity Portfolio will not be restated. The fiscal year end is December 31 for International Equity Portfolio and JPMIT International Equity Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
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|
|
2.
Summary of Significant Accounting Policies
The following is a summary of significant accounting policies which are consistently followed by International Equity Portfolio and JPMIT International Equity Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at am ortized cost, which approximates market value. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. It is possible that the
JPMorgan Trust International Equity Portfolio
JPMorgan Insurance Trust International Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Portfolio applies fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Portfolio’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Portfolio calculates its net asset value.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
International Equity Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $- | $- |
Level 2 | 68,420,565 | - |
Level 3 | - | - |
Total | $68,420,565 | $- |
* Other financial instruments include futures, forwards and swap contracts.
JPMIT International Equity Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $- | $- |
Level 2 | 5,333,191 | - |
Level 3 | - | - |
Total | $5,333,191 | $- |
* Other financial instruments include futures, forwards and swap contracts.
JPMorgan Trust International Equity Portfolio
JPMorgan Insurance Trust International Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
Combined Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $- | $- |
Level 2 | 73,753,756 | - |
Level 3 | - | - |
Total | $73,753,756 | $- |
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 4,464,661 Class 1 shares of JPMIT international Equity Portfolio in exchange for 5,722,589 shares of International Equity Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, JPMIT International Equity Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
JPMorgan Mid Cap Value Portfolio/JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
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| ||||
Combined Schedules of Portfolio Investments |
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| ||
As of June 30, 2008 (Unaudited) |
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| ||
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JPMorgan Mid Cap Value Portfolio | JPMorgan Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio | JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
| Combined Pro Forma | Combined Pro Forma |
Shares | Value ($) | Shares | Value ($) | Security Description | Shares | Value ($) |
|
|
|
| Long-Term Investments -- 97.0% |
|
|
|
|
|
| Common Stocks -- 97.0% |
|
|
|
|
|
| Aerospace & Defense — 2.0% |
|
|
38,600 | 3,924,848 | 5,390 | 548,055 | Alliant Techsystems, Inc. (a) | 43,990 | 4,472,903 |
13,100 | 1,262,447 | 2,860 | 275,618 | Precision Castparts Corp. | 15,960 | 1,538,065 |
|
| 6,690 | 128,314 | Spirit Aerosystems Holdings, Inc., Class A (a) | 6,690 | 128,314 |
| 5,187,295 |
| 951,987 |
|
| 6,139,282 |
|
|
|
|
|
|
|
|
|
|
| Auto Components — 0.8% |
|
|
50,300 | 2,336,938 | 4,900 | 227,654 | WABCO Holdings, Inc. | 55,200 | 2,564,592 |
|
|
|
|
|
|
|
|
|
|
| Beverages — 1.3% |
|
|
45,900 | 3,468,663 | 4,450 | 336,287 | Brown-Forman Corp., Class B | 50,350 | 3,804,950 |
|
| 5,620 | 255,766 | Fomento Economico Mexicano S.A.B. de C.V. ADR, (Mexico) | 5,620 | 255,766 |
| 3,468,663 |
| 592,053 |
|
| 4,060,716 |
|
|
|
|
|
|
|
|
|
|
| Building Products — 1.1% |
|
|
120,400 | 2,739,100 | 20,650 | 469,788 | Owens Corning, Inc. (a) | 141,050 | 3,208,888 |
|
|
|
|
|
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|
|
| Capital Markets — 2.4% |
|
|
26,350 | 2,373,081 | 4,510 | 406,171 | Affiliated Managers Group, Inc. (a) | 30,860 | 2,779,252 |
|
| 11,860 | 243,604 | Charles Schwab Corp. (The) | 11,860 | 243,604 |
|
| 10,550 | 273,984 | Cohen & Steers, Inc. (c) | 10,550 | 273,984 |
20,900 | 1,433,113 | 1,730 | 118,626 | Northern Trust Corp. | 22,630 | 1,551,739 |
36,700 | 2,072,449 | 4,920 | 277,832 | T. Rowe Price Group, Inc. | 41,620 | 2,350,281 |
| 5,878,643 |
| 1,320,217 |
|
| 7,198,860 |
|
|
|
|
|
|
|
|
|
|
| Chemicals — 3.5% |
|
|
103,372 | 4,125,577 | 10,874 | 433,981 | Albemarle Corp. | 114,246 | 4,559,558 |
|
| 1,800 | 118,404 | Intrepid Potash, Inc. (a) | 1,800 | 118,404 |
|
| 4,630 | 214,508 | Lubrizol Corp. | 4,630 | 214,508 |
59,700 | 3,424,989 | 5,500 | 315,535 | PPG Industries, Inc. | 65,200 | 3,740,524 |
|
| 6,290 | 292,108 | Rohm & Haas Co. | 6,290 | 292,108 |
29,400 | 1,583,484 | 4,240 | 228,366 | Sigma-Aldrich Corp. | 33,640 | 1,811,850 |
| 9,134,050 |
| 1,602,902 |
|
| 10,736,952 |
|
|
|
|
|
|
|
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|
|
| Commercial Banks — 4.4% |
|
|
|
| 6,260 | 263,358 | City National Corp. | 6,260 | 263,358 |
61,400 | 3,060,790 | 8,550 | 426,218 | Cullen/Frost Bankers, Inc. | 69,950 | 3,487,008 |
62,800 | 4,429,912 | 5,730 | 404,194 | M&T Bank Corp. | 68,530 | 4,834,106 |
320,800 | 2,800,584 | 36,650 | 319,955 | Synovus Financial Corp. | 357,450 | 3,120,539 |
|
| 6,440 | 54,933 | United Community Banks, Inc. (c) | 6,440 | 54,933 |
66,000 | 1,745,040 |
|
| Wilmington Trust Corp. | 66,000 | 1,745,040 |
| 12,036,326 |
| 1,468,658 |
|
| 13,504,984 |
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| Commercial Services & Supplies — 1.2% |
|
|
112,900 | 3,353,130 | 8,140 | 241,758 | Republic Services, Inc. | 121,040 | 3,594,888 |
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| Computers & Peripherals — 0.5% |
|
|
53,100 | 1,338,120 | 8,470 | 213,444 | NCR Corp. (a) | 61,570 | 1,551,564 |
|
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| Construction Materials — 0.5% |
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|
| 8,170 | 201,799 | Cemex S.A.B. de C.V. ADR, (Mexico) (a) (c) | 8,170 | 201,799 |
19,800 | 1,183,644 | 2,860 | 170,971 | Vulcan Materials Co. (c) | 22,660 | 1,354,615 |
| 1,183,644 |
| 372,770 |
|
| 1,556,414 |
|
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|
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|
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| Containers & Packaging — 1.4% |
|
|
82,600 | 3,943,324 | 4,630 | 221,036 | Ball Corp. | 87,230 | 4,164,360 |
|
| 9,500 | 107,065 | Temple-Inland, Inc. (c) | 9,500 | 107,065 |
| 3,943,324 |
| 328,101 |
|
| 4,271,425 |
|
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|
|
|
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| Distributors — 1.7% |
|
|
121,800 | 4,833,024 | 11,250 | 446,400 | Genuine Parts Co. | 133,050 | 5,279,424 |
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| Diversified Telecommunication Services — 1.7% |
|
|
71,600 | 2,548,244 | 6,970 | 248,062 | CenturyTel, Inc. | 78,570 | 2,796,306 |
167,280 | 2,064,235 | 16,999 | 209,768 | Windstream Corp. | 184,279 | 2,274,003 |
| 4,612,479 |
| 457,830 |
|
| 5,070,309 |
|
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|
|
|
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| Electric Utilities — 3.6% |
|
|
111,600 | 4,489,668 | 14,660 | 589,772 | American Electric Power Co., Inc. | 126,260 | 5,079,440 |
|
| 7,290 | 374,560 | Edison International | 7,290 | 374,560 |
29,300 | 2,412,269 | 4,500 | 370,485 | FirstEnergy Corp. | 33,800 | 2,782,754 |
114,100 | 2,454,291 | 15,150 | 325,877 | Westar Energy, Inc. | 129,250 | 2,780,168 |
| 9,356,228 |
| 1,660,694 |
|
| 11,016,922 |
|
|
|
|
|
|
|
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|
|
| Electrical Equipment — 0.6% |
|
|
34,750 | 1,640,895 | 5,800 | 273,876 | AMETEK, Inc. | 40,550 | 1,914,771 |
|
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|
| Electronic Equipment & Instruments — 2.6% |
|
|
33,900 | 1,521,432 | 2,970 | 133,294 | Amphenol Corp., Class A | 36,870 | 1,654,726 |
125,700 | 3,861,504 | 12,200 | 374,784 | Arrow Electronics, Inc. (a) | 137,900 | 4,236,288 |
44,900 | 1,608,318 | 7,200 | 257,904 | Tyco Electronics Ltd., (Bermuda) | 52,100 | 1,866,222 |
| 6,991,254 |
| 765,982 |
|
| 7,757,236 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services — 1.8% |
|
|
112,900 | 4,701,156 | 12,170 | 506,759 | Helix Energy Solutions Group, Inc. (a) | 125,070 | 5,207,915 |
|
| 3,900 | 323,583 | Unit Corp. (a) | 3,900 | 323,583 |
| 4,701,156 |
| 830,342 |
|
| 5,531,498 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing — 2.4% |
|
|
|
| 7,590 | 173,204 | Great Atlantic & Pacific Tea Co. (a) | 7,590 | 173,204 |
114,900 | 3,280,395 | 21,120 | 602,976 | Safeway, Inc. | 136,020 | 3,883,371 |
97,600 | 3,014,864 | 8,670 | 267,816 | SUPERVALU, Inc. | 106,270 | 3,282,680 |
| 6,295,259 |
| 1,043,996 |
|
| 7,339,255 |
|
|
|
|
|
|
|
|
|
|
| Food Products — 0.5% |
|
|
|
| 5,240 | 176,850 | Archer-Daniels-Midland Co. | 5,240 | 176,850 |
50,250 | 985,905 | 13,190 | 258,788 | Dean Foods Co. (a) | 63,440 | 1,244,693 |
|
| 5,600 | 111,328 | Smithfield Foods, Inc. (a) (c) | 5,600 | 111,328 |
| 985,905 |
| 546,966 |
|
| 1,532,871 |
|
|
|
|
|
|
|
|
|
|
| Gas Utilities — 5.0% |
|
|
56,400 | 4,400,892 | 5,300 | 413,559 | Energen Corp. | 61,700 | 4,814,451 |
11,400 | 787,284 | 2,400 | 165,744 | Equitable Resources, Inc. | 13,800 | 953,028 |
58,200 | 2,841,906 | 9,580 | 467,792 | ONEOK, Inc. | 67,780 | 3,309,698 |
55,400 | 3,935,616 | 4,400 | 312,576 | Questar Corp. | 59,800 | 4,248,192 |
56,600 | 1,624,986 | 9,530 | 273,606 | UGI Corp. | 66,130 | 1,898,592 |
| 13,590,684 |
| 1,633,277 |
|
| 15,223,961 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies — 0.8% |
|
|
25,700 | 2,089,410 | 4,900 | 398,370 | Becton, Dickinson & Co. | 30,600 | 2,487,780 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services — 3.8% |
|
|
100,400 | 3,311,192 | 16,580 | 546,809 | Community Health Systems, Inc. (a) | 116,980 | 3,858,001 |
113,650 | 3,457,233 | 7,810 | 237,580 | Coventry Health Care, Inc. (a) | 121,460 | 3,694,813 |
83,000 | 2,357,200 | 6,970 | 197,948 | Lincare Holdings, Inc. (a) | 89,970 | 2,555,148 |
42,500 | 1,180,650 | 9,700 | 269,466 | VCA Antech, Inc. (a) | 52,200 | 1,450,116 |
| 10,306,275 |
| 1,251,803 |
|
| 11,558,078 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 2.2% |
|
|
100,100 | 2,681,679 | 15,450 | 413,906 | Burger King Holdings, Inc. | 115,550 | 3,095,585 |
|
| 5,000 | 124,900 | International Game Technology | 5,000 | 124,900 |
90,200 | 2,366,848 | 16,790 | 440,570 | Marriott International, Inc., Class A | 106,990 | 2,807,418 |
|
| 4,400 | 141,460 | Penn National Gaming, Inc. (a) | 4,400 | 141,460 |
|
| 9,980 | 427,443 | Vail Resorts, Inc. (a) (c) | 9,980 | 427,443 |
| 5,048,527 |
| 1,548,279 |
|
| 6,596,806 |
|
|
|
|
|
|
|
|
|
|
| Household Durables — 2.1% |
|
|
73,800 | 4,605,858 | 8,140 | 508,018 | Fortune Brands, Inc. | 81,940 | 5,113,876 |
52,587 | 959,187 | 14,380 | 262,291 | Jarden Corp. (a) | 66,967 | 1,221,478 |
|
| 5,230 | 88,544 | KB Home (c) | 5,230 | 88,544 |
| 5,565,045 |
| 858,853 |
|
| 6,423,898 |
|
|
|
|
|
|
|
|
|
|
| Household Products — 0.8% |
|
|
41,700 | 2,176,740 | 2,330 | 121,626 | Clorox Co. | 44,030 | 2,298,366 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 0.9% |
|
|
84,100 | 2,438,900 | 7,220 | 209,380 | Carlisle Cos., Inc. | 91,320 | 2,648,280 |
|
|
|
|
|
|
|
|
|
|
| Insurance — 9.9% |
|
|
81,550 | 5,379,038 | 7,220 | 476,231 | Assurant, Inc. | 88,770 | 5,855,269 |
133,663 | 3,395,040 | 8,886 | 225,704 | Cincinnati Financial Corp. | 142,549 | 3,620,744 |
50,900 | 4,057,239 | 7,070 | 563,550 | Everest Re Group Ltd., (Bermuda) | 57,970 | 4,620,789 |
|
| 14,190 | 665,510 | Loews Corp. | 14,190 | 665,510 |
360,462 | 4,267,870 | 36,332 | 430,171 | Old Republic International Corp. | 396,794 | 4,698,041 |
149,100 | 2,619,687 | 19,480 | 342,264 | OneBeacon Insurance Group Ltd. | 168,580 | 2,961,951 |
61,900 | 2,597,943 | 3,890 | 163,263 | Principal Financial Group, Inc. | 65,790 | 2,761,206 |
|
| 9,080 | 436,839 | ProAssurance Corp. (a) | 9,080 | 436,839 |
|
| 4,060 | 154,483 | Protective Life Corp. | 4,060 | 154,483 |
168,700 | 4,075,792 | 13,800 | 333,408 | W.R. Berkley Corp. | 182,500 | 4,409,200 |
| 26,392,609 |
| 3,791,423 |
|
| 30,184,032 |
|
|
|
|
|
|
|
|
|
|
| Internet & Catalog Retail — 0.1% |
|
|
|
| 2,200 | 161,326 | Amazon.com, Inc. (a) | 2,200 | 161,326 |
|
| 5,740 | 105,501 | Expedia, Inc. (a) | 5,740 | 105,501 |
|
|
| 266,827 |
|
| 266,827 |
|
|
|
|
|
|
|
|
|
|
| IT Services — 1.9% |
|
|
|
| 7,812 | 288,341 | Fidelity National Information Services, Inc. | 7,812 | 288,341 |
111,841 | 2,485,107 | 17,001 | 377,762 | Total System Services, Inc. | 128,842 | 2,862,869 |
95,500 | 2,360,760 | 6,150 | 152,028 | Western Union Co. (The) | 101,650 | 2,512,788 |
| 4,845,867 |
| 818,131 |
|
| 5,663,998 |
|
|
|
|
|
|
|
|
|
|
| Machinery — 1.8% |
|
|
71,100 | 3,439,107 | 4,610 | 222,986 | Dover Corp. | 75,710 | 3,662,093 |
|
| 3,690 | 200,773 | Harsco Corp. | 3,690 | 200,773 |
|
| 1,930 | 146,352 | Joy Global, Inc. | 1,930 | 146,352 |
|
| 7,120 | 231,756 | Kennametal, Inc. | 7,120 | 231,756 |
57,200 | 1,183,468 | 3,990 | 82,553 | Oshkosh Corp. | 61,190 | 1,266,021 |
| 4,622,575 |
| 884,420 |
|
| 5,506,995 |
|
|
|
|
|
|
|
|
|
|
| Media — 3.5% |
|
|
|
| 10,860 | 61,902 | AH Belo Corp., Class A (c) | 10,860 | 61,902 |
|
| 10,350 | 75,659 | Belo Corp., Class A (c) | 10,350 | 75,659 |
110,300 | 2,492,780 | 10,520 | 237,752 | Cablevision Systems Corp., Class A (a) | 120,820 | 2,730,532 |
82,937 | 1,478,767 | 9,647 | 172,006 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 92,584 | 1,650,773 |
32,200 | 1,160,166 | 5,250 | 189,158 | Lamar Advertising Co., Class A (a) (c) | 37,450 | 1,349,324 |
49,900 | 2,239,512 | 7,030 | 315,505 | Omnicom Group, Inc. | 56,930 | 2,555,017 |
3,720 | 2,183,268 | 160 | 93,904 | Washington Post Co. (The), Class B | 3,880 | 2,277,172 |
| 9,554,493 |
| 1,145,886 |
|
| 10,700,379 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 4.2% |
|
|
247,100 | 3,681,790 | 31,710 | 472,479 | CMS Energy Corp. | 278,810 | 4,154,269 |
|
| 8,450 | 294,567 | MDU Resources Group, Inc. | 8,450 | 294,567 |
|
| 7,170 | 242,489 | NSTAR | 7,170 | 242,489 |
103,200 | 4,096,008 | 13,220 | 524,701 | PG&E Corp. | 116,420 | 4,620,709 |
158,700 | 3,185,109 | 13,870 | 278,371 | Xcel Energy, Inc. | 172,570 | 3,463,480 |
| 10,962,907 |
| 1,812,607 |
|
| 12,775,514 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels — 6.7% |
|
|
67,900 | 1,307,075 | 8,830 | 169,978 | CVR Energy, Inc. (a) | 76,730 | 1,477,053 |
26,300 | 3,160,208 | 4,784 | 574,844 | Devon Energy Corp. | 31,084 | 3,735,052 |
43,282 | 2,330,736 | 8,460 | 455,571 | Kinder Morgan Management LLC (a) | 51,742 | 2,786,307 |
|
| 4,810 | 471,621 | Murphy Oil Corp. | 4,810 | 471,621 |
|
| 4,510 | 294,278 | Newfield Exploration Co. (a) | 4,510 | 294,278 |
|
| 6,050 | 456,291 | Penn Virginia Corp. | 6,050 | 456,291 |
89,200 | 4,030,056 | 11,210 | 506,468 | Teekay Corp., (Bahamas) (c) | 100,410 | 4,536,524 |
152,800 | 6,159,368 | 10,640 | 428,898 | Williams Cos., Inc. | 163,440 | 6,588,266 |
| 16,987,443 |
| 3,357,949 |
|
| 20,345,392 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 0.9% |
|
|
148,900 | 2,523,855 | 5,840 | 98,988 | Warner Chilcott Ltd., Class A, (Bermuda) (a) | 154,740 | 2,622,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) — 4.6% |
|
|
|
| 10,950 | 252,945 | Cousins Properties, Inc. (c) | 10,950 | 252,945 |
44,200 | 1,525,784 | 10,320 | 356,245 | Kimco Realty Corp. | 54,520 | 1,882,029 |
29,400 | 1,255,674 |
|
| Plum Creek Timber Co., Inc. | 29,400 | 1,255,674 |
|
| 3,040 | 156,864 | PS Business Parks, Inc. | 3,040 | 156,864 |
42,200 | 3,409,338 | 3,330 | 269,031 | Public Storage | 45,530 | 3,678,369 |
57,626 | 2,446,800 | 4,960 | 210,602 | Rayonier, Inc. | 62,586 | 2,657,402 |
11,800 | 697,616 | 3,400 | 201,008 | Regency Centers Corp. | 15,200 | 898,624 |
33,800 | 2,974,400 | 3,780 | 332,640 | Vornado Realty Trust | 37,580 | 3,307,040 |
| 12,309,612 |
| 1,779,335 |
|
| 14,088,947 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development — 1.2% |
|
|
|
| 8,500 | 276,590 | Brookfield Asset Management, Inc., Class A, (Canada) | 8,500 | 276,590 |
169,650 | 3,018,073 | 16,130 | 286,953 | Brookfield Properties Corp., (Canada) | 185,780 | 3,305,026 |
| 3,018,073 |
| 563,543 |
|
| 3,581,616 |
|
|
|
|
|
|
|
|
|
|
| Software — 0.8% |
|
|
102,500 | 2,218,100 | 10,180 | 220,295 | Jack Henry & Associates, Inc. | 112,680 | 2,438,395 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail — 6.0% |
|
|
|
| 5,180 | 324,682 | Abercrombie & Fitch Co., Class A | 5,180 | 324,682 |
86,967 | 871,409 |
|
| AutoNation, Inc. (a) | 86,967 | 871,409 |
38,450 | 4,652,835 | 5,020 | 607,470 | AutoZone, Inc. (a) | 43,470 | 5,260,305 |
28,500 | 1,309,005 | 7,770 | 356,876 | Sherwin-Williams Co. (The) | 36,270 | 1,665,881 |
161,300 | 3,830,875 | 16,880 | 400,900 | Staples, Inc. | 178,180 | 4,231,775 |
66,300 | 2,701,725 | 9,610 | 391,608 | Tiffany & Co. | 75,910 | 3,093,333 |
78,700 | 2,476,689 | 8,590 | 270,327 | TJX Cos., Inc. | 87,290 | 2,747,016 |
| 15,842,538 |
| 2,351,863 |
|
| 18,194,401 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods — 1.9% |
|
|
|
| 10,440 | 301,507 | Coach, Inc. (a) | 10,440 | 301,507 |
19,800 | 727,650 | 1,090 | 40,058 | Columbia Sportswear Co. (c) | 20,890 | 767,708 |
|
| 5,700 | 208,734 | Phillips-Van Heusen Corp. | 5,700 | 208,734 |
57,500 | 4,092,850 | 5,330 | 379,389 | V.F. Corp. | 62,830 | 4,472,239 |
| 4,820,500 |
| 929,688 |
|
| 5,750,188 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance — 1.3% |
|
|
|
| 4,100 | 79,991 | Fannie Mae | 4,100 | 79,991 |
|
| 9,250 | 74,370 | FirstFed Financial Corp. (a) (c) | 9,250 | 74,370 |
|
| 5,620 | 92,168 | Freddie Mac | 5,620 | 92,168 |
|
| 14,510 | 242,027 | Hudson City Bancorp, Inc. | 14,510 | 242,027 |
205,100 | 3,199,560 | 26,800 | 418,080 | People’s United Financial, Inc. | 231,900 | 3,617,640 |
| 3,199,560 |
| 906,636 |
|
| 4,106,196 |
|
|
|
|
|
|
|
|
|
|
| Tobacco — 0.9% |
|
|
35,000 | 2,420,600 | 5,600 | 387,296 | Lorillard, Inc. (a) | 40,600 | 2,807,896 |
|
|
|
|
|
|
|
|
|
|
| Water Utilities — 0.4% |
|
|
50,200 | 1,113,436 | 7,700 | 170,786 | American Water Works Co., Inc. (a) | 57,900 | 1,284,222 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 1.3% |
|
|
83,200 | 3,669,120 | 4,830 | 213,003 | Telephone & Data Systems, Inc. | 88,030 | 3,882,123 |
|
| 2,600 | 147,030 | U.S. Cellular Corp. (a) | 2,600 | 147,030 |
| 3,669,120 |
| 360,033 |
|
| 4,029,153 |
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments |
|
|
| 255,732,302 |
| 39,682,712 | (Cost $247,786,270, $41,986,795 and $289,773,065, respectively) |
| 295,415,014 |
|
|
|
|
|
|
|
|
|
|
| Short-Term Investment — 2.6% |
|
|
|
|
|
| Investment Company — 2.6% |
|
|
|
|
|
| JPMorgan Prime Money Market Fund, Institutional Class (b) (m) |
|
|
7,774,875 | 7,774,875 |
|
| (Cost $7,774,875, $0 and $7,774,875, respectively) | 7,774,875 | 7,774,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
| Principal |
|
| Principal |
|
Amount ($) |
| Amount ($) |
|
| Amount ($) |
|
|
|
|
|
|
|
|
|
|
|
| Investments of Cash Collateral for Securities on Loan — 0.7% |
|
|
|
|
|
| Corporate Note — 0.3% |
|
|
|
| 1,000,000 | 1,000,000 | UniCredito Italiano Bank Ireland plc, (Ireland), VAR, 2.48%, 08/08/08 (e) | 1,000,000 | 1,000,000 |
|
|
|
|
|
|
|
|
|
|
| Repurchase Agreements — 0.4% |
|
|
|
| 355,000 | 355,000 | Banc of America Securities LLC, 2.45%, dated | 355,000 | 355,000 |
|
|
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
|
|
|
| $355,024, collateralized by U.S. Government |
|
|
|
|
|
| Agency Mortgages |
|
|
|
| 68,855 | 68,855 | Barclays Capital, Inc., 2.70%, dated 06/30/08, | 68,855 | 68,855 |
|
|
|
| due 07/01/08, repurchase price $68,860, |
|
|
|
|
|
| collateralized by U.S. Government Agency Mortgages |
|
|
|
| 300,000 | 300,000 | Citigroup Global Markets, Inc., 2.51%, dated | 300,000 | 300,000 |
|
|
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
|
|
|
| $300,021, collateralized by U.S. Government |
|
|
|
|
|
| Agency Mortgages |
|
|
|
| 200,000 | 200,000 | Deutsche Bank Securities, Inc., 2.80%, dated | 200,000 | 200,000 |
|
|
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
|
|
|
| $200,016, collateralized by U.S. Government |
|
|
|
|
|
| Agency Mortgages |
|
|
|
| 300,000 | 300,000 | UBS Securities LLC, 2.65%, dated 06/30/08, | 300,000 | 300,000 |
|
|
|
| due 07/01/08, repurchase price $300,022, |
|
|
|
|
|
| collateralized by U.S. Government Agency |
|
|
|
|
|
| Mortgages |
|
|
|
|
| 1,223,855 |
|
| 1,223,855 |
|
|
|
|
|
|
|
|
|
| 2,223,855 | Total Investments of Cash Collateral for Securities on Loan |
| 2,223,855 |
|
|
|
| (Cost $0,$2,223,855 and $2,223,855, respectively) |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.3% |
| |
| 263,507,177 |
| 41,906,567 | (Cost $255,561,145, $44,210,650 and $299,771,795, respectively) | 305,413,744 | |
| 467,632 |
| (1,430,394) | Liabilities in Excess of Other Assets — (0.3)% | (962,762) | |
| $263,974,809 |
| $40,476,173 | NET ASSETS — 100.0% | $304,450,982 | |
|
|
|
|
|
|
|
|
|
|
| Abbreviations and Definitions: |
|
|
|
|
| ADR | American Depositary Receipt |
|
|
|
|
| VAR | Variable rate security. The interest rate shown is the rate in effect as |
|
|
|
|
|
| of June 30, 2008. |
|
|
|
|
| (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. |
|
|
|
|
| (e) | Security is exempt from registration under Rule 144A of the Securities |
|
|
|
|
|
| Act of 1933. 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. |
|
|
|
|
| (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 currency |
|
|
See notes to pro-forma financial statements.
JPMorgan Mid Cap Value Portfolio/JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
|
|
|
| |||
Pro Forma Combined Statements of Assets and Liabilities |
|
|
|
|
|
| |
As of June 30, 2008 (unaudited) |
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Acquired Portfolio |
| Acquiring Portfolio |
|
|
|
|
| JPMorgan Mid Cap Value Portfolio |
| JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
Investments in non-affiliates, at value | $ 255,732,302 |
| $ 41,906,567 |
| $ - |
| $ 297,638,869 |
Investments in affiliates, at value | 7,774,875 |
| - |
| - |
| 7,774,875 |
Total investment securities, at value | 263,507,177 |
| 41,906,567 |
| - |
| 305,413,744 |
Cash | 21,785 |
| - |
| (21,785) | (a) | - |
Receivables: |
|
|
|
|
|
|
|
Investment securities sold | 1,329,285 |
| 1,608,103 |
| - |
| 2,937,388 |
Portfolio shares sold | 202,443 |
| 22,195 |
| - |
| 224,638 |
Interest and dividends | 443,987 |
| 52,733 |
| - |
| 496,720 |
Total assets | 265,504,677 |
| 43,589,598 |
| (21,785) |
| 309,072,490 |
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
Due to custodian | - |
| 351,536 |
| (21,785) | (a) | 329,751 |
Investment securities purchased | 491,099 |
| 411,737 |
| - |
| 902,836 |
Collateral for securities lending program | - |
| 2,223,855 |
| - |
| 2,223,855 |
Portfolio shares redeemed | 761,954 |
| 7,708 |
| - |
| 769,662 |
Accrued liabilities: |
|
|
|
|
|
|
|
Investment advisory fees | 160,015 |
| 18,216 |
| (68,000) | (b) | 110,231 |
Administration fees | 45,822 |
| 3,335 |
| - |
| 49,157 |
Custodian and accounting fees | 13,086 |
| 12,230 |
| - |
| 25,316 |
Trustees and Chief Compliance Officer's fees | - |
| 485 |
| - |
| 485 |
Other | 57,892 |
| 84,323 |
| 68,000 | (b) | 210,215 |
Total liabilities | 1,529,868 |
| 3,113,425 |
| 21,875 |
| 4,621,508 |
Net Assets | $ 263,974,809 |
| $ 40,476,173 |
| $ - |
| $ 304,450,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
Paid in Capital | $ 253,481,338 |
| $ 43,839,817 |
| $ - |
| 297,321,155 |
Accumulated undistributed (overdistributed) |
|
|
|
|
|
|
|
net investment income | 1,511,592 |
| 249,321 |
| - | 1,760,913 | |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
investments and futures | 1,035,847 |
| (1,308,882) |
| - |
| (273,035) |
Net unrealized appreciation (depreciation) of |
|
|
|
|
|
|
|
investments and futures | 7,946,032 |
| (2,304,083) |
| - |
| 5,641,949 |
Total Net Assets | $ 263,974,809 |
| $ 40,476,173 |
| $ - |
| $ 304,450,982 |
|
|
|
|
|
|
|
|
Outstanding units of beneficial interest |
|
|
|
|
|
|
|
(shares) (unlimited amount authorized, |
|
|
|
|
|
|
|
no par value) |
|
|
|
|
|
|
|
Class 1 | 10,248,472 | * | 6,471,311 |
| 31,987,497 | (c) | 48,707,280 |
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
Class 1 | $ 25.76 | * | $ 6.25 |
| - |
| $ 6.25 |
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates | $ 247,786,270 |
| $ 44,210,650 |
| $ - |
| $ 291,996,920 |
Cost of investments in affiliates | 7,774,875 |
| - |
| - |
| 7,774,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) Reflects the netting of amounts receivable and payable to and from the custodian. |
|
|
|
| |||
(b) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. | |||||||
(c) Reflects the adjustment to the number of shares outstanding due to the merger. |
|
|
|
| |||
* The shares of JPMorgan Mid Cap Value Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio. |
See notes to pro-forma financial statements.
JPMorgan Mid Cap Value Portfolio/JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
|
|
|
|
|
| |||
Pro Forma Combined Statements of Operations |
|
|
|
|
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For the twelve months ended June 30, 2008 (Unaudited) |
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| JPMorgan Mid Cap Value Portfolio |
| JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
|
| Pro Forma Adjustments |
| Pro Forma Combined |
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INVESTMENT INCOME: |
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|
|
Interest and dividend income | $ 5,605,666 |
| $ 939,971 |
|
| - |
| $ 6,545,637 |
|
Total investment income | 5,605,666 |
| 939,971 |
|
|
|
| 6,545,637 |
|
Expenses |
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|
|
Investment advisory fees | 2,115,997 |
| 331,947 |
|
| (156,013) |
| 2,291,931 | (a) |
Administration fees | 1,343,578 |
| 50,849 |
|
| (1,041,822) |
| 352,605 | (a) |
Custodian and accounting fees | 41,981 |
| 43,525 |
|
| (20,000) |
| 65,506 | (b) |
Interest expense | - |
| 55 |
|
| - |
| 55 |
|
Professional fees | 108,878 |
| 44,057 |
|
| (108,878) |
| 44,057 | (b) |
Printing and mailing costs | 97,842 |
| 64,768 |
|
| (13,663) |
| 148,947 | (b) |
Trustees' and Chief Compliance Officer's fees | 12,970 |
| 73 |
|
| (12,043) |
| 1,000 | (b) |
Transfer agent fees | 9,071 |
| 4,901 |
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|
|
| 13,972 |
|
Other | 49,905 |
| 9,940 |
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|
|
| 59,845 |
|
Total expenses | 3,780,222 |
| 550,115 |
|
| (1,352,419) |
| 2,977,918 |
|
Less amounts waived | (756,339) |
| (90,248) |
|
| 846,587 |
| - |
|
Less earnings credits | (1,030) |
| (193) |
|
| - |
| (1,223) |
|
Net expenses | 3,022,853 |
| 459,674 |
|
| (505,832) |
| 2,976,695 |
|
Net investment income (loss) | 2,582,813 |
| 480,297 |
|
| 505,832 |
| 3,568,942 |
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REALIZED/UNREALIZED GAINS (LOSSES): |
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Net realized gain (loss) on transactions from: |
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Investments | 9,837,061 |
| 946,805 |
|
| - |
| 10,783,866 |
|
Net realized gain (loss) | 9,837,061 |
| 946,805 |
|
| - |
| 10,783,866 |
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Change in net unrealized appreciation (depreciation) of: |
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Investments | (56,088,115) |
| (10,092,521) |
|
| - |
| (66,180,636) |
|
Change in net unrealized appreciation (depreciation) | (56,088,115) |
| (10,092,521) |
|
| - |
| (66,180,636) |
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Net realized/unrealized gains (losses) | (46,251,054) |
| (9,145,716) |
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| - |
| (55,396,770) |
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Change in net assets resulting from operations | $ (43,668,241) |
| $ (8,665,419) |
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| $ 505,832 |
| $(51,827,828) |
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(a) Based on contract in effect for the surviving portfolio. |
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(b) Decrease due to the elimination of duplicate expenses achieved by merging the portfolios. |
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See notes to pro-forma financial statements.
JPMorgan Mid Cap Value Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1. | Basis of Combination |
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan Mid Cap Value Portfolio , a series of J.P. Morgan Series Trust II (“Mid Cap Value Portfolio”), and JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio, a series of JPMorgan Insurance Trust (“Diversified Mid Cap Value Portfolio”), each a “Portfolio”. Following the combination, Mid Cap Value Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of Mid Cap Value Portfolio for shares of Diversified Mid Cap Value Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination would be accomplished by an acquisition of the net assets of Mid Cap Value Portfolio in exchange for Class 1 shares of Diversified Mid Cap Value Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Diversified Mid Cap Value Portfolio will not be restated. The fiscal year end is December 31 for Mid Cap Value Portfolio and Diversified Mid Cap Value Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies which are consistently followed by Mid Cap Value Portfolio and Diversified Mid Cap Value Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation - Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Gener ally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. It is possible that the estimated values
JPMorgan Mid Cap Value Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign
exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Portfolio applies fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Portfolio’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Portfolio calculates its net asset value.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
Mid Cap Value Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $263,507,177 | $- |
Level 2 | - | - |
Level 3 | - | - |
Total | $263,507,177 | $- |
* Other financial instruments include futures, forwards and swap contracts.
Diversified Mid Cap Value Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $40,449,002 | $- |
Level 2 | 1,457,565 | - |
Level 3 | - | - |
Total | $41,906,567 | $- |
* Other financial instruments include futures, forwards and swap contracts.
JPMorgan Mid Cap Value Portfolio
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
Combined Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $303,956,179 | $- |
Level 2 | 1,457,565 | - |
Level 3 | - | - |
Total | $305,413,744 | $- |
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 42,235,969 Class 1 shares of Diversified Mid Cap Value Portfolio in exchange for 10,248,472 shares of Mid Cap Value Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Diversified Mid Cap Value Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
JPMorgan Small Company Portfolio/JPMorgan Insurance Trust Small Cap Equity Value Portfolio |
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Combined Schedules of Portfolio Investments |
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As of June 30, 2008 (Unaudited) |
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JPMorgan Small Company Portfolio | JPMorgan Small Company Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio | JPMorgan Insurance Trust Small Cap Equity Portfolio |
| Combined Pro Forma | Combined Pro Forma |
Shares | Value ($) | Shares | Value ($) | Security Description | Shares | Value ($) |
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| Long-Term Investments -- 91.6% |
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| Common Stocks -- 91.1% |
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| Aerospace & Defense -- 2.0% |
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14,100 | 483,630 |
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| Ceradyne, Inc. (a) | 14,100 | 483,630 |
1,600 | 71,584 |
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| Curtiss-Wright Corp. | 1,600 | 71,584 |
9,400 | 463,044 |
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| Esterline Technologies Corp. (a) | 9,400 | 463,044 |
1,800 | 58,572 |
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| HEICO Corp. | 1,800 | 58,572 |
8,300 | 309,092 |
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| Moog, Inc., Class A (a) | 8,300 | 309,092 |
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| 1,400 | 32,984 | Orbital Sciences Corp. (a) | 1,400 | 32,984 |
1,200 | 56,520 |
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| Triumph Group, Inc. | 1,200 | 56,520 |
| 1,442,442 |
| 32,984 |
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| 1,475,426 |
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| Air Freight & Logistics -- 0.5% |
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3,000 | 148,380 |
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| Atlas Air Worldwide Holdings Inc. (a) | 3,000 | 148,380 |
6,400 | 218,432 |
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| Hub Group, Inc., Class A (a) | 6,400 | 218,432 |
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| 1,800 | 38,718 | Pacer International, Inc. | 1,800 | 38,718 |
| 366,812 |
| 38,718 |
|
| 405,530 |
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| Airlines -- 0.5% |
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| 1,150 | 11,627 | Continental Airlines, Inc., Class B (a) | 1,150 | 11,627 |
1,900 | 13,205 |
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| Hawaiian Holdings, Inc. (a) | 1,900 | 13,205 |
20,000 | 173,200 |
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| Republic Airways Holdings, Inc. (a) | 20,000 | 173,200 |
13,400 | 169,510 |
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| SkyWest, Inc. | 13,400 | 169,510 |
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| 50 | 261 | UAL Corp. | 50 | 261 |
| 355,915 |
| 11,888 |
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| 367,803 |
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| Auto Components -- 0.8% |
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1,800 | 14,382 |
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| American Axle & Manufacturing Holdings, Inc. | 1,800 | 14,382 |
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| 800 | 9,984 | Arvin Meritor, Inc. | 800 | 9,984 |
7,500 | 174,600 | 475 | 11,058 | ATC Technology Corp. (a) | 7,975 | 185,658 |
4,100 | 32,144 |
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| Cooper Tire & Rubber Co. | 4,100 | 32,144 |
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| 425 | 6,779 | Drew Industries, Inc. (a) | 425 | 6,779 |
19,100 | 270,838 |
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| Lear Corp. (a) | 19,100 | 270,838 |
2,300 | 18,768 |
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| Standard Motor Products, Inc. | 2,300 | 18,768 |
6,400 | 86,592 |
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| Tenneco, Inc. (a) | 6,400 | 86,592 |
| 597,324 |
| 27,821 |
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| 625,145 |
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| Biotechnology -- 2.8% |
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4,000 | 290,000 | 175 | 12,687 | Alexion Pharmaceuticals, Inc. (a) | 4,175 | 302,687 |
6,800 | 84,048 | 375 | 4,635 | Alkermes, Inc. (a) | 7,175 | 88,683 |
7,300 | 37,887 | 375 | 1,946 | Arena Pharmaceuticals, Inc. (a) | 7,675 | 39,833 |
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| 300 | 8,694 | BioMarin Pharmaceuticals, Inc. (a) | 300 | 8,694 |
13,400 | 16,348 |
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| Bionovo, Inc. (a) | 13,400 | 16,348 |
5,200 | 13,520 |
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| Cell Genesys, Inc. (a) | 5,200 | 13,520 |
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| 50 | 3,335 | Cephalon, Inc. (a) | 50 | 3,335 |
3,400 | 12,070 | 150 | 533 | Combinatorx, Inc. (a) | 3,550 | 12,603 |
4,800 | 68,880 |
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| GTx, Inc. (a) | 4,800 | 68,880 |
15,000 | 78,150 | 675 | 3,517 | Human Genome Sciences, Inc. (a) | 15,675 | 81,667 |
6,300 | 3,087 | 400 | 196 | Keryx Biopharmaceuticals, Inc. (a) | 6,700 | 3,283 |
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| 25 | 843 | Martek Biosciences Corp. (a) | 25 | 843 |
9,000 | 59,490 |
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| Medarex, Inc. (a) | 9,000 | 59,490 |
5,200 | 236,704 | 100 | 4,552 | Myriad Genetics, Inc. (a) | 5,300 | 241,256 |
5,100 | 181,560 | 125 | 4,450 | Onyx Pharmaceuticals, Inc. (a) | 5,225 | 186,010 |
3,900 | 61,893 | 175 | 2,777 | Progenics Pharmaceuticals, Inc. (a) | 4,075 | 64,670 |
6,400 | 17,344 | 1,525 | 4,133 | Protalix BioTherapeutics, Inc. (Israel) (a) | 7,925 | 21,477 |
8,200 | 118,408 | 375 | 5,415 | Regeneron Pharmaceuticals, Inc. (a) | 8,575 | 123,823 |
2,700 | 61,182 | 100 | 2,266 | Rigel Pharmaceuticals, Inc. (a) | 2,800 | 63,448 |
15,600 | 131,976 | 600 | 5,076 | Seattle Genetics, Inc. (a) | 16,200 | 137,052 |
3,900 | 4,719 |
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| Telik, Inc. (a) | 3,900 | 4,719 |
4,900 | 54,684 | 525 | 5,859 | Third Wave Technologies, Inc. (a) | 5,425 | 60,543 |
4,300 | 420,325 | 150 | 14,662 | United Therapeutics Corp. (a) | 4,450 | 434,987 |
| 1,952,275 |
| 85,576 |
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| 2,037,851 |
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| Building Products -- 0.7% |
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| 175 | 2,795 | Gibraltar Industries, Inc. | 175 | 2,795 |
15,700 | 287,467 | 600 | 10,986 | INSTEEL Industries, Inc. | 16,300 | 298,453 |
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| 550 | 20,201 | NCI Building Systems, Inc. (a) | 550 | 20,201 |
9,250 | 137,455 | 400 | 5,944 | Quanex Building Products Corp. | 9,650 | 143,399 |
2,300 | 68,908 |
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| Universal Forest Products, Inc. | 2,300 | 68,908 |
| 493,830 |
| 39,926 |
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| 533,756 |
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| Capital Markets -- 1.0% |
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| 225 | 20,264 | Affiliated Managers Group, Inc. (a) | 225 | 20,264 |
3,800 | 28,690 |
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| BGC Partners, Inc., Class A (a) | 3,800 | 28,690 |
1,600 | 27,248 |
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| Calamos Asset Management, Inc., Class A | 1,600 | 27,248 |
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| 750 | 25,814 | Federated Investors, Inc., Class B | 750 | 25,814 |
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| 25 | 662 | Janus Capital Group, Inc. | 25 | 662 |
15,100 | 271,498 |
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| Knight Capital Group, Inc., Class A (a) | 15,100 | 271,498 |
4,975 | 49,750 |
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| Kohlberg Capital Corp. | 4,975 | 49,750 |
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| 325 | 2,301 | LaBranche & Co., Inc. (a) | 325 | 2,301 |
5,158 | 20,529 |
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| MCG Capital Corp. | 5,158 | 20,529 |
2,100 | 46,914 |
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| optionsXpress Holdings, Inc. | 2,100 | 46,914 |
2,111 | 13,194 |
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| Patriot Capital Funding, Inc. | 2,111 | 13,194 |
12,700 | 210,947 |
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| SWS Group, Inc. | 12,700 | 210,947 |
5,981 | 32,656 |
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| TICC Capital Corp. | 5,981 | 32,656 |
1,000 | 10,150 |
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| TradeStation Group, Inc. (a) | 1,000 | 10,150 |
400 | 6,700 |
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| US Global Investors, Inc., Class A | 400 | 6,700 |
| 718,276 |
| 49,041 |
|
| 767,317 |
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| Chemicals -- 1.8% |
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2,000 | 46,260 |
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| Balchem Corp. | 2,000 | 46,260 |
900 | 137,520 |
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| CF Industries Holdings, Inc. | 900 | 137,520 |
6,500 | 145,860 |
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| H.B. Fuller Co. | 6,500 | 145,860 |
16,600 | 281,038 |
|
| Hercules, Inc. | 16,600 | 281,038 |
3,700 | 118,215 |
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| Innophos Holdings, Inc. | 3,700 | 118,215 |
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| 900 | 16,938 | Innospec, Inc., (United Kingdom) | 900 | 16,938 |
7,500 | 314,025 |
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| Koppers Holdings, Inc. | 7,500 | 314,025 |
6,800 | 47,396 |
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| PolyOne Corp. (a) | 6,800 | 47,396 |
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| 400 | 3,772 | Spartech Corp. | 400 | 3,772 |
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| 650 | 32,077 | Terra Industries, Inc. (a) | 650 | 32,077 |
7,200 | 169,128 |
|
| W.R. Grace & Co. (a) | 7,200 | 169,128 |
2,300 | 34,224 |
|
| Zep, Inc. | 2,300 | 34,224 |
| 1,293,666 |
| 52,787 |
|
| 1,346,453 |
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| Commercial Banks -- 4.4% |
|
|
1,000 | 16,100 | 100 | 1,610 | 1st Source Corp. | 1,100 | 17,710 |
4,320 | 37,584 |
|
| Ameris Bancorp | 4,320 | 37,584 |
600 | 11,574 |
|
| Associated Banc-Corp. | 600 | 11,574 |
600 | 25,680 | 850 | 36,379 | BancFirst Corp. | 1,450 | 62,059 |
4,400 | 71,236 |
|
| Banco Latinoamericano de Exportaciones S.A., Class E, (Panama) | 4,400 | 71,236 |
4,300 | 45,838 |
|
| Central Pacific Financial Corp. | 4,300 | 45,838 |
1,846 | 5,206 |
|
| Citizens Republic Bancorp, Inc. | 1,846 | 5,206 |
5,050 | 43,430 |
|
| City Bank | 5,050 | 43,430 |
4,700 | 191,619 | 300 | 12,231 | City Holding Co. | 5,000 | 203,850 |
35,500 | 156,910 |
|
| Colonial BancGroup, Inc. (The) | 35,500 | 156,910 |
2,800 | 54,124 |
|
| Columbia Banking System, Inc. | 2,800 | 54,124 |
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| 78 | 3,093 | Commerce Bancshares, Inc. | 78 | 3,093 |
6,600 | 136,092 |
|
| Community Bank System, Inc. | 6,600 | 136,092 |
1,640 | 43,066 |
|
| Community Trust Bancorp, Inc. | 1,640 | 43,066 |
4,500 | 31,770 |
|
| East West Bancorp, Inc. | 4,500 | 31,770 |
17,100 | 108,414 |
|
| First Bancorp (Puerto Rico) | 17,100 | 108,414 |
800 | 10,112 |
|
| First Bancorp | 800 | 10,112 |
2,500 | 70,500 |
|
| First Community Bancshares, Inc. | 2,500 | 70,500 |
|
| 100 | 1,815 | First Merchants Corp. | 100 | 1,815 |
3,662 | 58,555 |
|
| Glacier Bancorp, Inc. | 3,662 | 58,555 |
2,200 | 30,844 |
|
| Green Bankshares, Inc. | 2,200 | 30,844 |
19,300 | 100,553 |
|
| Hanmi Financial Corp. | 19,300 | 100,553 |
900 | 8,910 |
|
| Heritage Commerce Corp. | 900 | 8,910 |
8,375 | 372,436 |
|
| IBERIABANK Corp. | 8,375 | 372,436 |
4,810 | 102,790 |
|
| International Bancshares Corp. | 4,810 | 102,790 |
2,500 | 47,700 | 50 | 954 | Lakeland Financial Corp. | 2,550 | 48,654 |
1,000 | 15,500 |
|
| MainSource Financial Group, Inc. | 1,000 | 15,500 |
16,500 | 177,045 |
|
| Nara Bancorp, Inc. | 16,500 | 177,045 |
2,600 | 53,586 |
|
| NBT Bancorp, Inc. | 2,600 | 53,586 |
2,800 | 39,928 |
|
| Oriental Financial Group, Inc. | 2,800 | 39,928 |
9,900 | 136,422 |
|
| Pacific Capital Bancorp | 9,900 | 136,422 |
2,600 | 49,348 |
|
| Peoples Bancorp, Inc. | 2,600 | 49,348 |
1,100 | 29,403 |
|
| Prosperity Bancshares, Inc. | 1,100 | 29,403 |
800 | 11,784 |
|
| Renasant Corp. | 800 | 11,784 |
463 | 11,390 |
|
| Republic Bancorp, Inc., Class A | 463 | 11,390 |
900 | 14,850 | 125 | 2,063 | Sierra Bancorp | 1,025 | 16,913 |
1,000 | 27,970 | 1,200 | 33,564 | Simmons First National Corp., Class A | 2,200 | 61,534 |
6,500 | 74,750 |
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| Southwest Bancorp, Inc. | 6,500 | 74,750 |
|
| 143 | 2,088 | StellarOne Corp. | 143 | 2,088 |
19,850 | 180,436 |
|
| Sterling Bancshares, Inc. | 19,850 | 180,436 |
6,450 | 26,703 |
|
| Sterling Financial Corp. | 6,450 | 26,703 |
|
| 775 | 22,770 | Suffolk Bancorp | 775 | 22,770 |
2,400 | 17,976 |
|
| Taylor Capital Group, Inc. | 2,400 | 17,976 |
|
| 1,200 | 14,436 | TCF Financial Corp. | 1,200 | 14,436 |
1,000 | 10,950 |
|
| TriCo Bancshares | 1,000 | 10,950 |
9,195 | 7,816 | 675 | 574 | W Holding Co., Inc. | 9,870 | 8,390 |
5,600 | 48,552 |
|
| West Coast Bancorp | 5,600 | 48,552 |
6,700 | 352,353 |
|
| Westamerica Bancorp | 6,700 | 352,353 |
4,100 | 35,137 |
|
| Wilshire Bancorp, Inc. | 4,100 | 35,137 |
| 3,102,942 |
| 131,577 |
|
| 3,234,519 |
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies -- 3.8% |
|
|
|
| 850 | 23,706 | Administaff, Inc. | 850 | 23,706 |
1,300 | 16,575 |
|
| Bowne & Co., Inc. | 1,300 | 16,575 |
19,700 | 264,768 |
|
| Comfort Systems USA, Inc. | 19,700 | 264,768 |
3,700 | 33,744 | 200 | 1,824 | COMSYS IT Partners, Inc. (a) | 3,900 | 35,568 |
7,000 | 344,890 |
|
| Consolidated Graphics, Inc. (a) | 7,000 | 344,890 |
28,100 | 500,742 | 600 | 10,692 | Deluxe Corp. | 28,700 | 511,434 |
|
| 2,750 | 14,328 | Diamond Management & Technology Consultants, Inc. | 2,750 | 14,328 |
3,900 | 61,035 |
|
| Ennis, Inc. | 3,900 | 61,035 |
8,100 | 182,250 |
|
| GEO Group, Inc. (The) (a) | 8,100 | 182,250 |
4,400 | 121,616 |
|
| Heidrick & Struggles International, Inc. | 4,400 | 121,616 |
8,800 | 219,032 |
|
| Herman Miller, Inc. | 8,800 | 219,032 |
800 | 14,128 |
|
| HNI Corp. | 800 | 14,128 |
23,800 | 268,464 | 2,400 | 27,071 | IKON Office Solutions, Inc. | 26,200 | 295,535 |
18,700 | 158,763 |
|
| Kforce, Inc. (a) | 18,700 | 158,763 |
10,700 | 130,005 |
|
| Knoll, Inc. | 10,700 | 130,005 |
7,600 | 119,548 |
|
| Korn/Ferry International (a) | 7,600 | 119,548 |
3,000 | 58,680 |
|
| Navigant Consulting, Inc. (a) | 3,000 | 58,680 |
|
| 100 | 1,820 | Standard Parking Corp. (a) | 100 | 1,820 |
|
| 2,175 | 20,510 | Standard Register Co. (The) | 2,175 | 20,510 |
|
| 100 | 1,003 | Steelcase, Inc., Class A | 100 | 1,003 |
8,000 | 105,680 |
|
| TrueBlue, Inc. (a) | 8,000 | 105,680 |
2,600 | 96,070 |
|
| United Stationers, Inc. (a) | 2,600 | 96,070 |
| 2,695,990 |
| 100,954 |
|
| 2,796,944 |
|
|
|
|
|
|
|
|
|
|
| Communications Equipment -- 2.4% |
|
|
16,300 | 34,556 |
|
| 3Com Corp. (a) | 16,300 | 34,556 |
|
| 375 | 8,940 | Adtran, Inc. | 375 | 8,940 |
26,507 | 223,984 |
|
| Arris Group, Inc. (a) | 26,507 | 223,984 |
5,400 | 100,440 | 700 | 13,020 | Avocent Corp. (a) | 6,100 | 113,460 |
3,800 | 103,322 | 700 | 19,033 | Black Box Corp. | 4,500 | 122,355 |
3,300 | 46,563 |
|
| Blue Coat Systems, Inc. (a) | 3,300 | 46,563 |
|
| 250 | 13,193 | CommScope, Inc. (a) | 250 | 13,193 |
4,400 | 215,600 |
|
| Comtech Telecommunications Corp. (a) | 4,400 | 215,600 |
900 | 7,065 |
|
| Digi International, Inc. (a) | 900 | 7,065 |
20,800 | 242,320 | 2,525 | 29,415 | Emulex Corp. (a) | 23,325 | 271,735 |
3,400 | 9,656 |
|
| Extreme Networks, Inc. (a) | 3,400 | 9,656 |
15,900 | 18,921 |
|
| Finisar Corp. (a) | 15,900 | 18,921 |
2,900 | 34,278 |
|
| Foundry Networks, Inc. (a) | 2,900 | 34,278 |
9,000 | 85,590 |
|
| Harmonic, Inc. (a) | 9,000 | 85,590 |
|
| 900 | 21,888 | InterDigital, Inc. (a) | 900 | 21,888 |
9,600 | 11,424 |
|
| MRV Communications, Inc. (a) | 9,600 | 11,424 |
4,100 | 56,826 |
|
| NETGEAR, Inc. (a) | 4,100 | 56,826 |
8,900 | 198,648 |
|
| Plantronics, Inc. | 8,900 | 198,648 |
5,000 | 121,800 |
|
| Polycom, Inc. (a) | 5,000 | 121,800 |
4,300 | 18,275 |
|
| Powerwave Technologies, Inc. (a) | 4,300 | 18,275 |
3,800 | 12,996 |
|
| Sonus Networks, Inc. (a) | 3,800 | 12,996 |
10,800 | 41,472 |
|
| Symmetricom, Inc. (a) | 10,800 | 41,472 |
|
| 150 | 698 | Tellabs, Inc. (a) | 150 | 698 |
5,500 | 80,905 |
|
| Tekelec (a) | 5,500 | 80,905 |
2,000 | 10,940 |
|
| UTStarcom, Inc. (a) | 2,000 | 10,940 |
| 1,675,581 |
| 106,187 |
|
| 1,781,768 |
|
|
|
|
|
|
|
|
|
|
| Computers & Peripherals -- 0.7% |
|
|
3,900 | 12,480 |
|
| Adaptec, Inc. (a) | 3,900 | 12,480 |
1,100 | 16,060 |
|
| Electronics for Imaging, Inc. (a) | 1,100 | 16,060 |
3,800 | 10,560 |
|
| Hypercom Corp. (a) | 3,800 | 10,560 |
6,100 | 139,812 | 900 | 20,628 | Imation Corp. | 7,000 | 160,440 |
700 | 7,896 |
|
| Intevac, Inc. (a) | 700 | 7,896 |
15,800 | 175,854 |
|
| Novatel Wireless, Inc. (a) | 15,800 | 175,854 |
2,800 | 15,092 |
|
| Palm, Inc. | 2,800 | 15,092 |
|
| 75 | 1,094 | QLogic Corp. (a) | 75 | 1,094 |
16,700 | 22,545 |
|
| Quantum Corp. (a) | 16,700 | 22,545 |
|
| 250 | 3,350 | Rackable Systems, Inc. (a) | 250 | 3,350 |
2,800 | 105,644 |
|
| Synaptics, Inc. (a) | 2,800 | 105,644 |
| 505,943 |
| 25,072 |
|
| 531,015 |
|
|
|
|
|
|
|
|
|
|
| Construction & Engineering -- 0.7% |
|
|
|
| 275 | 3,993 | Dycom Industries, Inc. (a) | 275 | 3,993 |
1,300 | 37,089 | 1,125 | 32,096 | EMCOR Group, Inc. (a) | 2,425 | 69,185 |
|
| 75 | 1,290 | Integrated Electrical Services, Inc. (a) | 75 | 1,290 |
|
| 125 | 4,364 | KBR, Inc. | 125 | 4,364 |
2,000 | 21,320 |
|
| MasTec, Inc. (a) | 2,000 | 21,320 |
13,300 | 439,565 |
|
| Perini Corp. (a) | 13,300 | 439,565 |
| 497,974 |
| 41,743 |
|
| 539,717 |
|
|
|
|
|
|
|
|
|
|
| Construction Materials -- 0.1% (g) |
|
|
3,200 | 37,664 | 50 | 589 | Headwaters, Inc. (a) | 3,250 | 38,253 |
|
|
|
|
|
|
|
|
|
|
| Consumer Finance -- 1.9% |
|
|
7,800 | 39,624 | 275 | 1,397 | Advance America Cash Advance Centers, Inc. | 8,075 | 41,021 |
|
| 725 | 6,250 | AmeriCredit Corp. (a) | 725 | 6,250 |
20,500 | 635,500 |
|
| Cash America International, Inc. | 20,500 | 635,500 |
|
| 150 | 3,834 | Credit Acceptance Corp. (a) | 150 | 3,834 |
15,297 | 231,138 | 750 | 11,332 | Dollar Financial Corp. (a) | 16,047 | 242,470 |
7,300 | 93,075 |
|
| EZCORP, Inc., Class A (a) | 7,300 | 93,075 |
2,700 | 40,473 |
|
| First Cash Financial Services, Inc. (a) | 2,700 | 40,473 |
4,900 | 12,593 |
|
| First Marblehead Corp. (The) | 4,900 | 12,593 |
4,000 | 44,920 |
|
| Nelnet, Inc., Class A | 4,000 | 44,920 |
8,200 | 276,094 | 275 | 9,259 | World Acceptance Corp. (a) | 8,475 | 285,353 |
| 1,373,417 |
| 32,072 |
|
| 1,405,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Containers & Packaging -- 1.5% |
|
|
1,100 | 19,107 |
|
| AEP Industries, Inc. (a) | 1,100 | 19,107 |
|
| 6,150 | 12,423 | Graphic Packaging Holding Co. (a) | 6,150 | 12,423 |
17,300 | 140,995 | 275 | 2,241 | Myers Industries, Inc. | 17,575 | 143,236 |
20,902 | 626,851 | 375 | 11,246 | Rock-Tenn Co., Class A | 21,277 | 638,097 |
5,500 | 279,070 |
|
| Silgan Holdings, Inc. | 5,500 | 279,070 |
|
| 1,950 | 7,937 | Smurfit-Stone Container Corp. (a) | 1,950 | 7,937 |
| 1,066,023 |
| 33,847 |
|
| 1,099,870 |
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services -- 0.0% (g) |
|
|
|
| 250 | 8,178 | Coinstar, Inc. (a) | 250 | 8,178 |
900 | 6,345 |
|
| thinkorswim Group, Inc. (a) | 900 | 6,345 |
| 6,345 |
| 8,178 |
|
| 14,523 |
|
|
|
|
|
|
|
|
|
|
| Diversified Financial Services -- 0.6% |
|
|
1,600 | 18,288 |
|
| Compass Diversified Holdings | 1,600 | 18,288 |
2,500 | 22,075 |
|
| Encore Capital Group, Inc. (a) | 2,500 | 22,075 |
3,300 | 72,468 |
|
| Financial Federal Corp. | 3,300 | 72,468 |
9,600 | 308,448 |
|
| Interactive Brokers Group, Inc. (a) | 9,600 | 308,448 |
| 421,279 |
|
|
|
| 421,279 |
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services -- 1.6% |
|
|
107,500 | 427,850 |
|
| Cincinnati Bell, Inc. (a) | 107,500 | 427,850 |
|
| 875 | 9,923 | Citizens Communications Co. | 875 | 9,923 |
|
| 1,025 | 15,262 | Consolidated Communications Holdings, Inc. | 1,025 | 15,262 |
52,200 | 761,076 |
|
| Premiere Global Services, Inc. (a) | 52,200 | 761,076 |
| 1,188,926 |
| 25,185 |
|
| 1,214,111 |
|
|
|
|
|
|
|
|
|
|
| Electric Utilities -- 1.4% |
|
|
12,700 | 251,460 | 400 | 7,920 | El Paso Electric Co. (a) | 13,100 | 259,380 |
16,600 | 373,832 | 300 | 6,756 | Portland General Electric Co. | 16,900 | 380,588 |
666 | 19,587 |
|
| UIL Holdings Corp. | 666 | 19,587 |
|
| 175 | 5,427 | UniSource Energy Corp. | 175 | 5,427 |
16,200 | 348,462 |
|
| Westar Energy, Inc. | 16,200 | 348,462 |
| 993,341 |
| 20,103 |
|
| 1,013,444 |
|
|
|
|
|
|
|
|
|
|
| Electrical Equipment -- 2.7% |
|
|
2,800 | 91,924 |
|
| A.O. Smith Corp. | 2,800 | 91,924 |
6,100 | 293,288 |
|
| Acuity Brands, Inc. | 6,100 | 293,288 |
5,400 | 52,326 |
|
| Evergreen Solar, Inc. (a) | 5,400 | 52,326 |
29,000 | 778,070 |
|
| GrafTech International Ltd. (a) | 29,000 | 778,070 |
|
| 450 | 3,654 | LSI Industries, Inc. | 450 | 3,654 |
2,700 | 5,103 |
|
| Power-One, Inc. (a) | 2,700 | 5,103 |
10,900 | 460,525 |
|
| Regal-Beloit Corp. | 10,900 | 460,525 |
6,800 | 303,484 |
|
| Superior Essex, Inc. (a) | 6,800 | 303,484 |
| 1,984,720 |
| 3,654 |
|
| 1,988,374 |
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment & Instruments -- 2.0% |
|
|
8,700 | 517,563 |
|
| Anixter International, Inc. (a) | 8,700 | 517,563 |
9,100 | 148,694 | 250 | 4,085 | Benchmark Electronics, Inc. (a) | 9,350 | 152,779 |
3,900 | 81,432 |
|
| Checkpoint Systems, Inc. (a) | 3,900 | 81,432 |
|
| 1,175 | 35,121 | Coherent, Inc. (a) | 1,175 | 35,121 |
6,700 | 67,335 |
|
| CTS Corp. | 6,700 | 67,335 |
4,700 | 55,131 |
|
| Insight Enterprises, Inc. (a) | 4,700 | 55,131 |
3,500 | 36,575 | 1,325 | 13,846 | Methode Electronics, Inc. | 4,825 | 50,421 |
|
| 75 | 7,115 | Mettler-Toledo International, Inc. (a) | 75 | 7,115 |
5,000 | 138,400 |
|
| Plexus Corp. (a) | 5,000 | 138,400 |
2,100 | 63,420 |
|
| Rofin-Sinar Technologies, Inc. (a) | 2,100 | 63,420 |
63,600 | 81,408 | 5,125 | 6,560 | Sanmina-SCI Corp. (a) | 68,725 | 87,968 |
|
| 25 | 847 | Tech Data Corp. (a) | 25 | 847 |
4,900 | 83,251 |
|
| Technitrol, Inc. | 4,900 | 83,251 |
10,200 | 134,742 |
|
| TTM Technologies, Inc. (a) | 10,200 | 134,742 |
| 1,407,951 |
| 67,574 |
|
| 1,475,525 |
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services -- 3.4% |
|
|
9,900 | 176,220 |
|
| Allis-Chalmers Energy, Inc. (a) | 9,900 | 176,220 |
2,700 | 85,050 |
|
| Basic Energy Services, Inc. (a) | 2,700 | 85,050 |
|
| 1,200 | 21,516 | Global Industries Ltd. (a) | 1,200 | 21,516 |
22,800 | 205,884 | 1,000 | 9,030 | Grey Wolf, Inc. (a) | 23,800 | 214,914 |
12,400 | 721,432 |
|
| Gulfmark Offshore, Inc. (a) | 12,400 | 721,432 |
5,600 | 97,720 | 2,275 | 39,699 | ION Geophysical Corp. (a) | 7,875 | 137,419 |
2,200 | 183,216 |
|
| Lufkin Industries, Inc. | 2,200 | 183,216 |
2,400 | 55,344 |
|
| Matrix Service Co. (a) | 2,400 | 55,344 |
2,600 | 20,436 |
|
| Newpark Resources, Inc. (a) | 2,600 | 20,436 |
14,400 | 144,144 |
|
| Parker Drilling Co. (a) | 14,400 | 144,144 |
|
| 125 | 4,505 | Patterson-UTI Energy, Inc. | 125 | 4,505 |
2,700 | 214,569 |
|
| T-3 Energy Services, Inc. (a) | 2,700 | 214,569 |
12,400 | 451,608 |
|
| Trico Marine Services, Inc. (a) | 12,400 | 451,608 |
4,100 | 88,888 |
|
| Union Drilling, Inc. (a) | 4,100 | 88,888 |
| 2,444,511 |
| 74,750 |
|
| 2,519,261 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing -- 1.2% |
|
|
3,600 | 83,412 |
|
| Casey's General Stores, Inc. | 3,600 | 83,412 |
12,600 | 431,802 | 825 | 28,273 | Nash Finch Co. | 13,425 | 460,075 |
13,300 | 305,900 |
|
| Spartan Stores, Inc. | 13,300 | 305,900 |
| 821,114 |
| 28,273 |
|
| 849,387 |
|
|
|
|
|
|
|
|
|
|
| Food Products -- 0.6% |
|
|
19,200 | 452,544 |
|
| Fresh Del Monte Produce, Inc., (Cayman Islands) (a) | 19,200 | 452,544 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Gas Utilities -- 1.2% |
|
|
6,500 | 262,405 |
|
| Laclede Group, Inc. (The) | 6,500 | 262,405 |
6,900 | 225,285 |
|
| New Jersey Resources Corp. | 6,900 | 225,285 |
|
| 1,000 | 42,589 | Nicor, Inc. | 1,000 | 42,589 |
3,700 | 171,162 |
|
| Northwest Natural Gas Co. | 3,700 | 171,162 |
5,200 | 180,648 |
|
| WGL Holdings, Inc. | 5,200 | 180,648 |
| 839,500 |
| 42,589 |
|
| 882,089 |
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies -- 2.8% |
|
|
10,700 | 284,085 |
|
| CONMED Corp. (a) | 10,700 | 284,085 |
|
| 300 | 14,100 | Datascope Corp. | 300 | 14,100 |
13,100 | 226,630 |
|
| Greatbatch, Inc. (a) | 13,100 | 226,630 |
300 | 16,638 |
|
| Haemonetics Corp. (a) | 300 | 16,638 |
3,800 | 169,024 |
|
| Integra LifeSciences Holdings Corp. (a) | 3,800 | 169,024 |
15,600 | 318,864 | 1,775 | 36,281 | Invacare Corp. | 17,375 | 355,145 |
3,800 | 39,406 |
|
| Medical Action Industries, Inc. (a) | 3,800 | 39,406 |
2,300 | 63,986 |
|
| Mentor Corp. | 2,300 | 63,986 |
5,300 | 7,420 |
|
| NeuroMetrix, Inc. (a) | 5,300 | 7,420 |
1,400 | 13,972 |
|
| Palomar Medical Technologies, Inc. (a) | 1,400 | 13,972 |
3,000 | 16,650 | 225 | 1,249 | Power Medical Interventions, Inc. (a) | 3,225 | 17,899 |
11,700 | 193,284 | 375 | 6,195 | Quidel Corp. (a) | 12,075 | 199,479 |
13,300 | 382,508 |
|
| STERIS Corp. | 13,300 | 382,508 |
1,600 | 71,744 |
|
| SurModics, Inc. (a) | 1,600 | 71,744 |
9,500 | 165,205 | 400 | 6,956 | Thoratec Corp. (a) | 9,900 | 172,161 |
| 1,969,416 |
| 64,781 |
|
| 2,034,197 |
|
|
|
|
|
|
|
|
|
|
| Health Care Providers & Services -- 3.3% |
|
|
12,800 | 110,976 |
|
| Alliance Imaging, Inc. (a) | 12,800 | 110,976 |
3,800 | 191,596 |
|
| Amedisys, Inc. (a) | 3,800 | 191,596 |
7,700 | 160,160 |
|
| AMERIGROUP Corp. (a) | 7,700 | 160,160 |
9,300 | 157,356 |
|
| AMN Healthcare Services, Inc. (a) | 9,300 | 157,356 |
6,000 | 116,340 | 675 | 13,088 | Apria Healthcare Group, Inc. (a) | 6,675 | 129,428 |
8,700 | 146,073 |
|
| Centene Corp. (a) | 8,700 | 146,073 |
4,900 | 179,389 |
|
| Chemed Corp. | 4,900 | 179,389 |
2,900 | 65,627 |
|
| Emergency Medical Services Corp. (a) | 2,900 | 65,627 |
8,700 | 41,151 |
|
| Five Star Quality Care, Inc. (a) | 8,700 | 41,151 |
20,100 | 382,905 |
|
| Gentiva Health Services, Inc. (a) | 20,100 | 382,905 |
1,800 | 29,682 |
|
| Hanger Orthopedic Group, Inc. (a) | 1,800 | 29,682 |
2,300 | 63,917 |
|
| inVentiv Health, Inc. (a) | 2,300 | 63,917 |
|
| 625 | 35,149 | Landauer, Inc. | 625 | 35,149 |
|
| 750 | 27,773 | Magellan Health Services, Inc. (a) | 750 | 27,773 |
|
| 625 | 11,238 | Medcath Corp. (a) | 625 | 11,238 |
900 | 21,906 |
|
| Molina Healthcare, Inc. (a) | 900 | 21,906 |
|
| 1,150 | 30,153 | Omnicare, Inc. | 1,150 | 30,153 |
5,300 | 242,157 |
|
| Owens & Minor, Inc. | 5,300 | 242,157 |
8,500 | 138,550 |
|
| PSS World Medical, Inc. (a) | 8,500 | 138,550 |
3,800 | 143,792 |
|
| Psychiatric Solutions, Inc. (a) | 3,800 | 143,792 |
5,300 | 94,234 |
|
| Res-Care, Inc. (a) | 5,300 | 94,234 |
2,300 | 37,743 |
|
| US Physical Therapy, Inc. (a) | 2,300 | 37,743 |
| 2,323,554 |
| 117,401 |
|
| 2,440,955 |
|
|
|
|
|
|
|
|
|
|
| Health Care Technology -- 0.6% |
|
|
2,900 | 49,445 | 325 | 5,541 | MedAssets, Inc. (a) | 3,225 | 54,986 |
14,200 | 187,156 |
|
| Omnicell, Inc. (a) | 14,200 | 187,156 |
8,400 | 179,592 |
|
| Trizetto Group (a) | 8,400 | 179,592 |
| 416,193 |
| 5,541 |
|
| 421,734 |
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure -- 0.9% |
|
|
|
| 1,400 | 11,186 | AFC Enterprises, Inc. (a) | 1,400 | 11,186 |
2,600 | 74,360 |
|
| Bob Evans Farms, Inc. | 2,600 | 74,360 |
3,700 | 90,687 |
|
| CBRL Group, Inc. | 3,700 | 90,687 |
33,500 | 95,140 | 4,525 | 12,851 | Denny's Corp. (a) | 38,025 | 107,991 |
4,200 | 48,300 | 525 | 6,038 | Domino's Pizza, Inc. | 4,725 | 54,338 |
13,100 | 293,571 |
|
| Jack in the Box, Inc. (a) | 13,100 | 293,571 |
|
| 550 | 6,490 | Monarch Casino & Resort, Inc. (a) | 550 | 6,490 |
1,100 | 18,480 |
|
| Rick's Cabaret International, Inc. (a) | 1,100 | 18,480 |
| 620,538 |
| 36,565 |
|
| 657,103 |
|
|
|
|
|
|
|
|
|
|
| Household Durables -- 1.6% |
|
|
|
| 1,550 | 19,126 | American Greetings Corp., Class A | 1,550 | 19,126 |
|
| 325 | 3,910 | Blyth, Inc. | 325 | 3,910 |
11,300 | 66,105 |
|
| Champion Enterprises, Inc. (a) | 11,300 | 66,105 |
67 | 1,623 | 100 | 2,422 | CSS Industries, Inc. | 167 | 4,045 |
|
| 450 | 6,012 | Furniture Brands International, Inc. | 450 | 6,012 |
5,800 | 93,496 | 225 | 3,627 | Helen of Troy Ltd. (Bermuda) (a) | 6,025 | 97,123 |
4,200 | 72,744 |
|
| Hooker Furniture Corp. | 4,200 | 72,744 |
2,268 | 41,368 |
|
| Jarden Corp. (a) | 2,268 | 41,368 |
|
| 1,000 | 16,769 | Leggett & Platt, Inc. | 1,000 | 16,769 |
|
| 275 | 930 | Standard Pacific Corp. | 275 | 930 |
9,000 | 70,290 |
|
| Tempur-Pedic International, Inc. | 9,000 | 70,290 |
22,600 | 773,372 | 225 | 7,700 | Tupperware Brands Corp. | 22,825 | 781,072 |
| 1,118,998 |
| 60,496 |
|
| 1,179,494 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates -- 0.0% (g) |
|
|
|
| 600 | 33,354 | Teleflex, Inc. | 600 | 33,354 |
|
|
|
|
|
|
|
|
|
|
| Insurance -- 3.2% |
|
|
2,600 | 125,944 |
|
| American Physicians Capital, Inc. | 2,600 | 125,944 |
4,000 | 63,760 |
|
| Amerisafe, Inc. (a) | 4,000 | 63,760 |
2,758 | 92,558 | 251 | 8,424 | Argo Group International Holdings Ltd. (Bermuda) (a) | 3,009 | 100,982 |
12,500 | 295,875 | 525 | 12,427 | Aspen Insurance Holdings Ltd. (Bermuda) | 13,025 | 308,302 |
6,600 | 118,734 |
|
| Assured Guaranty Ltd. (Bermuda) | 6,600 | 118,734 |
|
| 75 | 2,236 | Axis Capital Holdings Ltd., (Bermuda) | 75 | 2,236 |
|
| 850 | 8,432 | Conseco, Inc. (a) | 850 | 8,432 |
4,150 | 96,031 |
|
| Delphi Financial Group, Inc., Class A | 4,150 | 96,031 |
3,400 | 59,976 |
|
| First Mercury Financial Corp. (a) | 3,400 | 59,976 |
3,400 | 40,086 |
|
| Flagstone Reinsurance Holdings Ltd., (Bermuda) | 3,400 | 40,086 |
1,500 | 14,505 |
|
| Hallmark Financial Services (a) | 1,500 | 14,505 |
|
| 450 | 15,223 | Harleysville Group, Inc. | 450 | 15,223 |
|
| 75 | 1,664 | LandAmerica Financial Group, Inc. | 75 | 1,664 |
4,800 | 102,384 |
|
| Max Capital Group, Ltd. (Bermuda) | 4,800 | 102,384 |
11,700 | 62,010 |
|
| Meadowbrook Insurance Group, Inc. | 11,700 | 62,010 |
2,500 | 49,550 |
|
| National Financial Partners Corp. | 2,500 | 49,550 |
200 | 10,810 | 350 | 18,917 | Navigators Group, Inc. (a) | 550 | 29,727 |
9,000 | 293,490 | 425 | 13,859 | Platinum Underwriters Holdings Ltd., (Bermuda) | 9,425 | 307,349 |
21,700 | 199,857 |
|
| PMA Capital Corp., Class A (a) | 21,700 | 199,857 |
|
| 150 | 7,217 | ProAssurance Corp. (a) | 150 | 7,217 |
|
| 50 | 2,234 | RenaissanceRe Holdings Ltd., (Bermuda) | 50 | 2,234 |
7,000 | 249,550 |
|
| Safety Insurance Group, Inc. | 7,000 | 249,550 |
4,100 | 59,368 |
|
| SeaBright Insurance Holdings, Inc. (a) | 4,100 | 59,368 |
7,100 | 133,196 |
|
| Selective Insurance Group | 7,100 | 133,196 |
5,600 | 196,896 |
|
| Zenith National Insurance Corp. | 5,600 | 196,896 |
| 2,264,580 |
| 90,633 |
|
| 2,355,213 |
|
|
|
|
|
|
|
|
|
|
| Internet & Catalog Retail -- 0.2% |
|
|
10,600 | 141,298 |
|
| FTD Group, Inc. | 10,600 | 141,298 |
300 | 4,242 |
|
| NutriSystem, Inc. | 300 | 4,242 |
| 145,540 |
|
|
|
| 145,540 |
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services -- 1.3% |
|
|
2,500 | 36,775 |
|
| Ariba, Inc. (a) | 2,500 | 36,775 |
3,300 | 10,560 |
|
| Art Technology Group, Inc. (a) | 3,300 | 10,560 |
4,400 | 52,008 | 250 | 2,955 | AsiaInfo Holdings, Inc., (China) (a) | 4,650 | 54,963 |
2,500 | 12,500 |
|
| Chordiant Software, Inc. (a) | 2,500 | 12,500 |
3,790 | 40,174 | 242 | 2,565 | CMGI, Inc. (a) | 4,032 | 42,739 |
3,500 | 50,154 |
|
| Digital River, Inc. (a) | 3,500 | 50,154 |
24,600 | 212,790 |
|
| EarthLink, Inc. (a) | 24,600 | 212,790 |
6,200 | 74,462 |
|
| Interwoven, Inc. (a) | 6,200 | 74,462 |
6,300 | 144,900 |
|
| j2 Global Communications, Inc. (a) | 6,300 | 144,900 |
20,400 | 204,612 |
|
| United Online, Inc. | 20,400 | 204,612 |
7,700 | 116,655 | 1,325 | 20,074 | ValueClick, Inc. (a) | 9,025 | 136,729 |
| 955,590 |
| 25,594 |
|
| 981,184 |
|
|
|
|
|
|
|
|
|
|
| IT Services -- 1.8% |
|
|
10,700 | 122,943 | 150 | 1,724 | Acxiom Corp. | 10,850 | 124,667 |
4,500 | 205,965 |
|
| CACI International, Inc., Class A (a) | 4,500 | 205,965 |
14,100 | 87,561 |
|
| CIBER, Inc. (a) | 14,100 | 87,561 |
4,200 | 46,284 | 250 | 2,755 | CSG Systems International, Inc. (a) | 4,450 | 49,039 |
11,146 | 186,473 | 78 | 1,305 | Cybersource Corp. (a) | 11,224 | 187,778 |
4,600 | 95,312 |
|
| Gartner, Inc. (a) | 4,600 | 95,312 |
2,600 | 14,924 | 350 | 2,009 | Hackett Group, Inc. (The) (a) | 2,950 | 16,933 |
|
| 25 | 958 | Hewitt Associates, Inc., Class A (a) | 25 | 958 |
1700 | 13,821 |
|
| iGate Corp. (a) | 1,700 | 13,821 |
4,600 | 20,194 |
|
| infoGROUP, Inc. | 4,600 | 20,194 |
600 | 23,220 |
|
| Integral Systems, Inc. | 600 | 23,220 |
4,800 | 230,976 |
|
| Mantech International Corp., Class A (a) | 4,800 | 230,976 |
2,100 | 73,122 |
|
| MAXIMUS, Inc. | 2,100 | 73,122 |
1,700 | 38,896 |
|
| NCI, Inc., Class A (a) | 1,700 | 38,896 |
9,600 | 144,096 |
|
| Perot Systems Corp., Class A (a) | 9,600 | 144,096 |
|
| 2,400 | 9,480 | Unisys Corp. (a) | 2,400 | 9,480 |
| 1,303,787 |
| 18,231 |
|
| 1,322,018 |
|
|
|
|
|
|
|
|
|
|
| Leisure Equipment & Products -- 1.0% |
|
|
|
| 900 | 32,148 | Hasbro, Inc. | 900 | 32,148 |
24,800 | 541,880 | 400 | 8,740 | JAKKS Pacific, Inc. (a) | 25,200 | 550,620 |
6,600 | 122,496 |
|
| RC2 Corp. (a) | 6,600 | 122,496 |
1,700 | 44,880 |
|
| Steinway Musical Instruments (a) | 1,700 | 44,880 |
| 709,256 |
| 40,888 |
|
| 750,144 |
|
|
|
|
|
|
|
|
|
|
| Life Sciences Tools & Services -- 0.6% |
|
|
1,500 | 51,150 | 75 | 2,558 | AMAG Pharmaceuticals, Inc. (a) | 1,575 | 53,708 |
700 | 56,623 |
|
| Bio-Rad Laboratories, Inc., Class A (a) | 700 | 56,623 |
10,300 | 132,355 |
|
| Bruker Corp. (a) | 10,300 | 132,355 |
1,600 | 17,952 | 325 | 3,647 | Enzo Biochem, Inc. (a) | 1,925 | 21,599 |
3,800 | 19,000 |
|
| Exelixis, Inc. (a) | 3,800 | 19,000 |
|
| 75 | 6,533 | Illumina, Inc. (a) | 75 | 6,533 |
1,300 | 47,229 |
|
| Kendle International, Inc. (a) | 1,300 | 47,229 |
6,500 | 76,895 | 450 | 5,324 | Medivation, Inc. (a) | 6,950 | 82,219 |
|
| 1,200 | 33,419 | PerkinElmer, Inc. | 1,200 | 33,419 |
| 401,204 |
| 51,481 |
|
| 452,685 |
|
|
|
|
|
|
|
|
|
|
| Machinery -- 3.8% |
|
|
5,800 | 24,650 |
|
| Accuride Corp. (a) | 5,800 | 24,650 |
|
| 150 | 7,862 | AGCO Corp. (a) | 150 | 7,862 |
5,500 | 176,770 |
|
| Astec Industries, Inc. (a) | 5,500 | 176,770 |
13,100 | 302,479 |
|
| Barnes Group, Inc. | 13,100 | 302,479 |
4,100 | 173,512 |
|
| Cascade Corp. | 4,100 | 173,512 |
2,000 | 97,280 |
|
| Chart Industries, Inc. (a) | 2,000 | 97,280 |
6,900 | 338,031 |
|
| CIRCOR International, Inc. | 6,900 | 338,031 |
9,000 | 216,720 |
|
| Columbus McKinnon Corp. (a) | 9,000 | 216,720 |
14,100 | 526,494 |
|
| EnPro Industries, Inc. (a) | 14,100 | 526,494 |
1,400 | 61,474 |
|
| Middleby Corp. (a) | 1,400 | 61,474 |
|
| 600 | 43,734 | Nordson Corp. | 600 | 43,734 |
|
| 650 | 21,307 | Tecumseh Products Co., Class A (a) | 650 | 21,307 |
|
| 425 | 3,213 | Wabash National Corp. | 425 | 3,213 |
16,400 | 797,368 | 100 | 4,862 | Wabtec Corp. | 16,500 | 802,230 |
1,200 | 29,880 |
|
| Watts Water Technologies, Inc., Class A | 1,200 | 29,880 |
| 2,744,658 |
| 80,978 |
|
| 2,825,636 |
|
|
|
|
|
|
|
|
|
|
| Marine -- 0.7% |
|
|
5,500 | 358,600 |
|
| Genco Shipping & Trading Ltd. | 5,500 | 358,600 |
16,700 | 166,165 |
|
| Horizon Lines, Inc., Class A | 16,700 | 166,165 |
300 | 11,985 |
|
| TBS International Ltd., Class A, (Bermuda) (a) | 300 | 11,985 |
| 536,750 |
|
|
|
| 536,750 |
|
|
|
|
|
|
|
|
|
|
| Media -- 1.5% |
|
|
2,600 | 19,006 |
|
| Belo Corp., Class A | 2,600 | 19,006 |
|
| 1,475 | 1,549 | Charter Communications, Inc., Class A (a) | 1,475 | 1,549 |
|
| 700 | 2,758 | Cumulus Media, Inc., Class A (a) | 700 | 2,758 |
3,500 | 24,570 | 375 | 2,633 | Entercom Communications Corp., Class A | 3,875 | 27,203 |
7,300 | 83,585 |
|
| Harte-Hanks, Inc. | 7,300 | 83,585 |
3,400 | 13,566 |
|
| Lee Enterprises, Inc. | 3,400 | 13,566 |
8,600 | 51,256 |
|
| LIN TV Corp., Class A (a) | 8,600 | 51,256 |
4,200 | 134,988 |
|
| Marvel Entertainment, Inc. (a) | 4,200 | 134,988 |
3,700 | 25,086 |
|
| McClatchy Co., Class A | 3,700 | 25,086 |
4,700 | 134,702 |
|
| Scholastic Corp. (a) | 4,700 | 134,702 |
67,300 | 511,480 | 2,775 | 21,089 | Sinclair Broadcast Group, Inc., Class A | 70,075 | 532,569 |
3,800 | 47,576 |
|
| Valassis Communications, Inc. (a) | 3,800 | 47,576 |
| 1,045,815 |
| 28,029 |
|
| 1,073,844 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining -- 0.5% |
|
|
500 | 40,280 |
|
| Compass Minerals International, Inc. | 500 | 40,280 |
2,900 | 220,168 |
|
| Olympic Steel, Inc. | 2,900 | 220,168 |
900 | 103,140 |
|
| Schnitzer Steel Industries, Inc., Class A | 900 | 103,140 |
|
| 75 | 2,930 | Steel Dynamics, Inc. | 75 | 2,930 |
|
| 1,425 | 29,213 | Worthington Industries, Inc. | 1,425 | 29,213 |
| 363,588 |
| 32,143 |
|
| 395,731 |
|
|
|
|
|
|
|
|
|
|
| Multiline Retail -- 0.1% |
|
|
|
| 1,150 | 35,926 | Big Lots, Inc. (a) | 1,150 | 35,926 |
|
| 675 | 7,412 | Saks, Inc. (a) | 675 | 7,412 |
|
|
| 43,338 |
|
| 43,338 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities -- 0.3% |
|
|
3,000 | 96,180 |
|
| Black Hills Corp. | 3,000 | 96,180 |
|
| 925 | 23,514 | NorthWestern Corp. | 925 | 23,514 |
9,800 | 117,208 | 75 | 897 | PNM Resources, Inc. | 9,875 | 118,105 |
| 213,388 |
| 24,411 |
|
| 237,799 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels -- 3.5% |
|
|
700 | 20,265 |
|
| APCO Argentina, Inc. | 700 | 20,265 |
1,300 | 51,311 |
|
| ATP Oil & Gas Corp. (a) | 1,300 | 51,311 |
3,400 | 82,654 |
|
| Bois d'Arc Energy, Inc. (a) | 3,400 | 82,654 |
|
| 200 | 3,166 | Brigham Exploration Co. (a) | 200 | 3,166 |
4,400 | 120,384 |
|
| Callon Petroleum Co. (a) | 4,400 | 120,384 |
|
| 325 | 4,849 | Energy Partners, Ltd. (a) | 325 | 4,849 |
|
| 375 | 8,966 | Frontier Oil Corp. | 375 | 8,966 |
|
| 175 | 12,212 | Frontline Ltd., (Bermuda) | 175 | 12,212 |
16,000 | 127,520 |
|
| Gran Tierra Energy, Inc., (Canada) (a) | 16,000 | 127,520 |
|
| 275 | 10,167 | Mariner Energy, Inc. (a) | 275 | 10,167 |
25,700 | 707,264 |
|
| McMoRan Exploration Co. (a) | 25,700 | 707,264 |
|
| 3,550 | 10,473 | Meridian Resource Corp. (a) | 3,550 | 10,473 |
4,200 | 316,764 |
|
| Penn Virginia Corp. | 4,200 | 316,764 |
|
| 400 | 29,187 | Plains Exploration & Production Co. (a) | 400 | 29,187 |
|
| 175 | 4,988 | Rosetta Resources, Inc. (a) | 175 | 4,988 |
10,000 | 659,100 | 625 | 41,193 | Stone Energy Corp. (a) | 10,625 | 700,293 |
3,600 | 237,816 | 225 | 14,864 | Swift Energy Co. (a) | 3,825 | 252,680 |
14,000 | 118,580 | 675 | 5,717 | VAALCO Energy, Inc. (a) | 14,675 | 124,297 |
|
| 75 | 4,388 | W&T Offshore, Inc. | 75 | 4,388 |
|
| 100 | 2,111 | Westmoreland Coal Co. (a) | 100 | 2,111 |
| 2,441,658 |
| 152,281 |
|
| 2,593,939 |
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products -- 0.2% |
|
|
13,600 | 115,056 | 950 | 8,037 | Buckeye Technologies, Inc. (a) | 14,550 | 123,093 |
|
|
|
|
|
|
|
|
|
|
| Personal Products -- 0.1% |
|
|
9,300 | 91,791 |
|
| American Oriental Bioengineering, Inc. (China) (a) | 9,300 | 91,791 |
|
| 200 | 6,412 | NBTY, Inc. (a) | 200 | 6,412 |
| 91,791 |
| 6,412 |
|
| 98,203 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals -- 1.1% |
|
|
4,000 | 90,120 |
|
| Alpharma, Inc., Class A (a) | 4,000 | 90,120 |
900 | 30,258 |
|
| Auxilium Pharmaceuticals, Inc. (a) | 900 | 30,258 |
3,400 | 13,668 | 200 | 804 | Barrier Therapeutics, Inc. (a) | 3,600 | 14,472 |
2,000 | 32,300 |
|
| Bentley Pharmaceuticals, Inc. (a) | 2,000 | 32,300 |
6,000 | 52,800 | 425 | 3,740 | Cardiome Pharma Corp. (Canada) (a) | 6,425 | 56,540 |
5,200 | 37,388 | 275 | 1,977 | Cypress Bioscience, Inc. (a) | 5,475 | 39,365 |
7,000 | 25,690 |
|
| DURECT Corp. (a) | 7,000 | 25,690 |
|
| 525 | 641 | MDRNA, Inc. (a) | 525 | 641 |
2,900 | 47,067 |
|
| Par Pharmaceutical Cos., Inc. (a) | 2,900 | 47,067 |
|
| 175 | 5,560 | Perrigo Co. | 175 | 5,560 |
1,200 | 8,436 |
|
| Salix Pharmaceuticals Ltd. (a) | 1,200 | 8,436 |
4,100 | 3,485 | 325 | 276 | ULURU, Inc. (a) | 4,425 | 3,761 |
3,900 | 66,729 |
|
| Valeant Pharmaceuticals International (a) | 3,900 | 66,729 |
19,400 | 214,564 | 1,250 | 13,824 | ViroPharma, Inc. (a) | 20,650 | 228,388 |
|
| 275 | 7,472 | Watson Pharmaceuticals, Inc. (a) | 275 | 7,472 |
3,400 | 132,702 | 150 | 5,855 | XenoPort, Inc. (a) | 3,550 | 138,557 |
| 755,207 |
| 40,149 |
|
| 795,356 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) -- 5.7% |
|
|
1,283 | 35,719 |
|
| American Campus Communities, Inc. | 1,283 | 35,719 |
11,400 | 80,256 | 1,325 | 9,328 | Anthracite Capital, Inc. | 12,725 | 89,584 |
|
| 500 | 3,255 | Anworth Mortgage Asset Corp. | 500 | 3,255 |
4,500 | 20,790 |
|
| Ashford Hospitality Trust, Inc. | 4,500 | 20,790 |
6,300 | 67,473 |
|
| Associated Estates Realty Corp. | 6,300 | 67,473 |
2,100 | 51,513 |
|
| BioMed Realty Trust, Inc. | 2,100 | 51,513 |
3,600 | 39,060 |
|
| Capstead Mortgage Corp. | 3,600 | 39,060 |
35,300 | 292,284 | 950 | 7,866 | DCT Industrial Trust, Inc. | 36,250 | 300,150 |
20,600 | 842,746 |
|
| Digital Realty Trust, Inc. | 20,600 | 842,746 |
7,500 | 83,850 |
|
| Glimcher Realty Trust | 7,500 | 83,850 |
5,200 | 60,268 |
|
| Gramercy Capital Corp. (m) | 5,200 | 60,268 |
7,600 | 57,380 |
|
| Hersha Hospitality Trust | 7,600 | 57,380 |
2,000 | 96,120 | 150 | 7,209 | Home Properties, Inc. | 2,150 | 103,329 |
1,800 | 45,234 |
|
| LaSalle Hotel Properties | 1,800 | 45,234 |
48,600 | 662,418 | 1,300 | 17,719 | Lexington Realty Trust | 49,900 | 680,137 |
|
| 825 | 21,087 | LTC Properties, Inc. | 825 | 21,087 |
4,900 | 59,633 |
|
| Maguire Properties, Inc. | 4,900 | 59,633 |
47,400 | 309,048 | 2,050 | 13,366 | MFA Mortgage Investments, Inc. | 49,450 | 322,414 |
|
| 50 | 2,552 | Mid-America Apartment Communities, Inc. | 50 | 2,552 |
2,000 | 21,920 |
|
| Mission West Properties | 2,000 | 21,920 |
10,900 | 227,810 |
|
| National Retail Properties, Inc. | 10,900 | 227,810 |
1,800 | 56,682 |
|
| Nationwide Health Properties, Inc. | 1,800 | 56,682 |
6,700 | 111,555 |
|
| Omega Healthcare Investors, Inc. | 6,700 | 111,555 |
2,300 | 77,579 |
|
| Parkway Properties, Inc. | 2,300 | 77,579 |
13,300 | 307,762 | 175 | 4,050 | Pennsylvania Real Estate Investment Trust | 13,475 | 311,812 |
2,400 | 123,840 | 200 | 10,320 | PS Business Parks, Inc. | 2,600 | 134,160 |
3,400 | 25,228 |
|
| RAIT Financial Trust | 3,400 | 25,228 |
|
| 1,000 | 20,540 | Ramco-Gershenson Properties Trust | 1,000 | 20,540 |
2,100 | 98,679 |
|
| Saul Centers, Inc. | 2,100 | 98,679 |
10,800 | 210,924 |
|
| Senior Housing Properties Trust | 10,800 | 210,924 |
|
| 475 | 4,451 | Strategic Hotels & Resorts, Inc. | 475 | 4,451 |
|
| 1,350 | 22,409 | Sunstone Hotel Investors, Inc. | 1,350 | 22,409 |
|
| 100 | 4,865 | Taubman Centers, Inc. | 100 | 4,865 |
| 4,065,771 |
| 149,017 |
|
| 4,214,788 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Management & Development - 0.1% |
|
|
2,700 | 51,435 |
|
| Forestar Real Estate Group, Inc. (a) | 2,700 | 51,435 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail - 0.3% |
|
|
2,700 | 98,928 |
|
| Arkansas Best Corp. | 2,700 | 98,928 |
|
| 250 | 11,815 | Con-way, Inc. | 250 | 11,815 |
7,200 | 107,064 | 325 | 4,833 | YRC Worldwide, Inc. (a) | 7,525 | 111,897 |
| 205,992 |
| 16,648 |
|
| 222,640 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment -- 4.2% |
|
|
700 | 11,795 |
|
| Actel Corp. (a) | 700 | 11,795 |
4,600 | 63,020 |
|
| Advanced Energy Industries, Inc. (a) | 4,600 | 63,020 |
54,700 | 569,427 | 400 | 4,164 | Amkor Technology, Inc. (a) | 55,100 | 573,591 |
2,925 | 25,038 |
|
| Applied Micro Circuits Corp. (a) | 2,925 | 25,038 |
2,400 | 8,568 | 425 | 1,517 | Asyst Technologies, Inc. (a) | 2,825 | 10,085 |
|
| 300 | 1,044 | Atmel Corp. (a) | 300 | 1,044 |
2,900 | 14,152 |
|
| Axcelis Technologies, Inc. (a) | 2,900 | 14,152 |
2,700 | 22,329 | 300 | 2,481 | Brooks Automation, Inc. (a) | 3,000 | 24,810 |
12,400 | 68,944 | 2,250 | 12,510 | Cirrus Logic, Inc. (a) | 14,650 | 81,454 |
|
| 800 | 21,504 | Cymer, Inc. (a) | 800 | 21,504 |
6,250 | 172,750 |
|
| Diodes, Inc. (a) | 6,250 | 172,750 |
7,906 | 51,784 |
|
| Entegris, Inc. (a) | 7,906 | 51,784 |
|
| 450 | 4,473 | Integrated Device Technology, Inc. (a) | 450 | 4,473 |
2,000 | 23,880 |
|
| IXYS Corp. (a) | 2,000 | 23,880 |
8,100 | 59,049 |
|
| Kulicke & Soffa Industries, Inc. (a) | 8,100 | 59,049 |
3,500 | 10,955 |
|
| Lattice Semiconductor Corp. (a) | 3,500 | 10,955 |
|
| 4,500 | 27,629 | LSI Corp. (a) | 4,500 | 27,629 |
1,200 | 2,640 |
|
| LTX Corp. (a) | 1,200 | 2,640 |
3,400 | 16,184 |
|
| Mattson Technology, Inc. (a) | 3,400 | 16,184 |
9,700 | 88,755 | 2,100 | 19,215 | Micrel, Inc. | 11,800 | 107,970 |
3,300 | 83,094 |
|
| Microsemi Corp. (a) | 3,300 | 83,094 |
9,000 | 33,750 |
|
| MIPS Technologies, Inc. (a) | 9,000 | 33,750 |
4,900 | 107,310 |
|
| MKS Instruments, Inc. (a) | 4,900 | 107,310 |
2,300 | 27,807 | 350 | 4,232 | OmniVision Technologies, Inc. (a) | 2,650 | 32,039 |
1,500 | 10,560 |
|
| Photronics, Inc. (a) | 1,500 | 10,560 |
23,700 | 181,305 |
|
| PMC-Sierra, Inc. (a) | 23,700 | 181,305 |
8,200 | 23,780 |
|
| RF Micro Devices, Inc. (a) | 8,200 | 23,780 |
1,100 | 8,261 |
|
| Semitool, Inc. (a) | 1,100 | 8,261 |
5,200 | 73,164 | 250 | 3,518 | Semtech Corp. (a) | 5,450 | 76,682 |
400 | 5,556 |
|
| Sigma Designs, Inc. (a) | 400 | 5,556 |
10,000 | 72,500 |
|
| Silicon Image, Inc. (a) | 10,000 | 72,500 |
7,500 | 20,775 | 1,800 | 4,986 | Silicon Storage Technology, Inc. (a) | 9,300 | 25,761 |
49,600 | 489,552 |
|
| Skyworks Solutions, Inc. (a) | 49,600 | 489,552 |
2,800 | 76,020 |
|
| Standard Microsystems Corp. (a) | 2,800 | 76,020 |
600 | 14,004 |
|
| Supertex, Inc. (a) | 600 | 14,004 |
10,300 | 126,896 |
|
| Techwell, Inc. (a) | 10,300 | 126,896 |
27,600 | 167,256 |
|
| TriQuint Semiconductor, Inc. (a) | 27,600 | 167,256 |
|
| 300 | 4,656 | Ultratech, Inc. (a) | 300 | 4,656 |
18,900 | 221,130 | 225 | 2,633 | Zoran Corp. (a) | 19,125 | 223,763 |
| 2,951,990 |
| 114,562 |
|
| 3,066,552 |
|
|
|
|
|
|
|
|
|
|
| Software -- 2.9% |
|
|
12,900 | 50,439 |
|
| Actuate Corp. (a) | 12,900 | 50,439 |
1,400 | 50,960 |
|
| Ansoft Corp. (a) | 1,400 | 50,960 |
31,000 | 412,300 | 2,725 | 36,242 | Aspen Technology, Inc. (a) | 33,725 | 448,542 |
4,000 | 27,640 |
|
| Epicor Software Corp. (a) | 4,000 | 27,640 |
1,800 | 25,560 | 1,037 | 14,725 | EPIQ Systems, Inc. (a) | 2,837 | 40,285 |
|
| 50 | 1,039 | Fair Isaac Corp. | 50 | 1,039 |
7,600 | 114,304 |
|
| Informatica Corp. (a) | 7,600 | 114,304 |
1,400 | 7,980 |
|
| InterVoice, Inc. (a) | 1,400 | 7,980 |
9,600 | 173,760 | 125 | 2,263 | JDA Software Group, Inc. (a) | 9,725 | 176,023 |
1,600 | 23,936 |
|
| Macrovision Corp. (a) | 1,600 | 23,936 |
2,000 | 12,140 | 100 | 607 | Magma Design Automation, Inc. (a) | 2,100 | 12,747 |
1,800 | 42,714 |
|
| Manhattan Associates, Inc. (a) | 1,800 | 42,714 |
6,800 | 107,440 |
|
| Mentor Graphics Corp. (a) | 6,800 | 107,440 |
|
| 200 | 12,950 | MicroStrategy, Inc., Class A (a) | 200 | 12,950 |
900 | 21,870 | 175 | 4,253 | Net 1 UEPS Technologies, Inc., (South Africa) (a) | 1,075 | 26,123 |
12,640 | 210,709 |
|
| Parametric Technology Corp. (a) | 12,640 | 210,709 |
900 | 12,114 | 225 | 3,029 | Pegasystems, Inc. | 1,125 | 15,143 |
10,200 | 260,814 |
|
| Progress Software Corp. (a) | 10,200 | 260,814 |
2,600 | 10,764 | 425 | 1,760 | Secure Computing Corp. (a) | 3,025 | 12,524 |
2,300 | 13,110 |
|
| Smith Micro Software, Inc. (a) | 2,300 | 13,110 |
1,200 | 43,644 | 75 | 2,728 | SPSS, Inc. (a) | 1,275 | 46,372 |
11,800 | 347,156 | 800 | 23,535 | Sybase, Inc. (a) | 12,600 | 370,691 |
|
| 1,175 | 28,093 | Synopsys, Inc. (a) | 1,175 | 28,093 |
|
| 225 | 2,450 | Wind River Systems, Inc. (a) | 225 | 2,450 |
| 1,969,354 |
| 133,674 |
|
| 2,103,028 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail -- 3.2% |
|
|
|
| 225 | 8,737 | Advance Auto Parts, Inc. | 225 | 8,737 |
6,050 | 189,547 |
|
| Aeropostale, Inc. (a) | 6,050 | 189,547 |
|
| 725 | 18,008 | Barnes & Noble, Inc. | 725 | 18,008 |
13,400 | 181,570 |
|
| Brown Shoe Co., Inc. | 13,400 | 181,570 |
3,500 | 160,055 |
|
| Buckle, Inc. (The) | 3,500 | 160,055 |
|
| 925 | 9,898 | Cache, Inc. (a) | 925 | 9,898 |
7,342 | 85,387 | 575 | 6,687 | Collective Brands, Inc. (a) | 7,917 | 92,074 |
|
| 1,775 | 15,443 | Finish Line, Inc., Class A (a) | 1,775 | 15,443 |
14,600 | 585,022 |
|
| Gymboree Corp. (a) | 14,600 | 585,022 |
7,900 | 211,325 |
|
| JOS A Bank Clothiers, Inc. (a) | 7,900 | 211,325 |
15,600 | 254,124 |
|
| Men's Wearhouse, Inc. | 15,600 | 254,124 |
|
| 1,950 | 26,324 | Midas, Inc. (a) | 1,950 | 26,324 |
29,100 | 598,587 |
|
| Rent-A-Center, Inc. (a) | 29,100 | 598,587 |
| 2,265,617 |
| 85,097 |
|
| 2,350,714 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods -- 2.0% |
|
|
2,900 | 106,575 |
|
| Columbia Sportswear Co. | 2,900 | 106,575 |
3,000 | 417,600 |
|
| Deckers Outdoor Corp. (a) | 3,000 | 417,600 |
22,200 | 299,700 |
|
| Maidenform Brands, Inc. (a) | 22,200 | 299,700 |
4,700 | 93,060 |
|
| Movado Group, Inc. | 4,700 | 93,060 |
900 | 17,235 |
|
| Oxford Industries, Inc. | 900 | 17,235 |
13,700 | 290,714 |
|
| Perry Ellis International, Inc. (a) | 13,700 | 290,714 |
2,300 | 42,274 |
|
| Steven Madden Ltd. (a) | 2,300 | 42,274 |
4,200 | 187,572 |
|
| UniFirst Corp. | 4,200 | 187,572 |
| 1,454,730 |
|
|
|
| 1,454,730 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance -- 0.8% |
|
|
2,300 | 56,994 | 1,350 | 33,453 | Federal Agricultural Mortgage Corp., Class C | 3,650 | 90,447 |
10,257 | 131,905 |
|
| First Niagara Financial Group, Inc. | 10,257 | 131,905 |
1,200 | 11,280 |
|
| First Place Financial Corp. | 1,200 | 11,280 |
2,700 | 14,499 |
|
| Guaranty Financial Group, Inc. (a) | 2,700 | 14,499 |
400 | 2,292 |
|
| Imperial Capital Bancorp, Inc. | 400 | 2,292 |
400 | 7,220 |
|
| OceanFirst Financial Corp. | 400 | 7,220 |
14,800 | 68,820 | 150 | 698 | Ocwen Financial Corp. (a) | 14,950 | 69,518 |
7,900 | 15,405 |
|
| PMI Group, Inc. (The) | 7,900 | 15,405 |
8,500 | 63,070 |
|
| Trustco Bank Corp. | 8,500 | 63,070 |
6,100 | 22,875 |
|
| United Community Financial Corp. | 6,100 | 22,875 |
3,300 | 147,180 |
|
| WSFS Financial Corp. | 3,300 | 147,180 |
| 541,540 |
| 34,151 |
|
| 575,691 |
|
|
|
|
|
|
|
|
|
|
| Tobacco -- 0.7% |
|
|
72,700 | 371,497 | 5,650 | 28,871 | Alliance One International, Inc. (a) | 78,350 | 400,368 |
2,700 | 122,094 | 175 | 7,914 | Universal Corp. | 2,875 | 130,008 |
| 493,591 |
| 36,785 |
|
| 530,376 |
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors -- 1.0% |
|
|
24,675 | 596,395 |
|
| Applied Industrial Technologies, Inc. | 24,675 | 596,395 |
3,700 | 84,212 |
|
| Kaman Corp. | 3,700 | 84,212 |
|
| 725 | 29,029 | WESCO International, Inc. (a) | 725 | 29,029 |
| 680,607 |
| 29,029 |
|
| 709,636 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services -- 0.8% |
|
|
29,600 | 206,904 | 1,325 | 9,261 | Centennial Communications Corp. (a) | 30,925 | 216,165 |
24,000 | 388,800 |
|
| Syniverse Holdings, Inc. (a) | 24,000 | 388,800 |
|
| 150 | 1,133 | USA Mobility, Inc. (a) | 150 | 1,133 |
| 595,704 |
| 10,394 |
|
| 606,098 |
|
|
|
| Total Common Stocks |
|
|
| 64,549,203 |
| 2,651,188 | (Cost $71,413,500, $3,223,584 and $74,637,084, respectively) |
| 67,200,391 |
|
|
|
|
|
|
|
Principal Amount ($) |
| Principal Amount ($) |
|
| Principal Amount ($) |
|
|
|
|
| U.S. Treasury Obligation -- 0.5% |
|
|
365,000 |
|
|
| U.S. Treasury Note, 4.63, 11/30/08 (k) | 365,000 |
|
| 368,993 |
|
| (Cost $368,179, $0 and $368,179, respectively) |
| 368,993 |
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments |
|
|
| 64,918,196 |
| 2,651,188 | (Cost $71,781,679, $3,223,584 and $75,005,263, respectively) |
| 67,569,384 |
|
|
|
|
|
|
|
Shares |
| Shares |
|
| Shares |
|
|
|
|
| Short-Term Investment -- 1.7% |
|
|
|
|
|
| Investment Company -- 1.7% |
|
|
1,195,373 |
| 89,392 |
| JPMorgan Prime Money Market Fund, Institutional Class (b) (m) | 1,284,765 |
|
| 1,195,373 |
| 89,392 | (Cost $1,195,373, $89,392 and $1,284,765, respectively) |
| 1,284,765 |
|
|
|
|
|
|
|
|
|
|
| Total Investments -- 93.3% |
| |
| 66,113,569 |
| 2,740,580 | (Cost $72,977,052, $3,312,976 and $76,290,028, respectively) | 68,854,149 | |
| 4,882,131 |
| 41,030 | Other Assets in Excess of Liabilities -- 6.7% (g) | 4,923,161 | |
| $70,995,700 |
| $2,781,610 | NET ASSETS -- 100.0% | $73,777,310 | |
|
|
|
|
|
|
|
|
|
|
| Percentages indicated are based on net assets. |
|
|
|
|
|
|
|
|
|
|
| Futures Contracts |
|
|
|
|
|
|
|
|
| Series Trust II Small Company Portfolio |
|
|
Number of Contracts | Expiration Date | Description | Notional Value at 06/30/08 | Unrealized Appreciation (Depreciation) |
|
| Long Futures Outstanding |
|
|
19 | September, 2008 | Russell 2000 Index | $ 6,571,150 | $ (108,930) |
|
|
|
|
|
|
|
|
|
|
|
| Combined Pro Forma |
|
|
Number of Contracts | Expiration Date | Description | Notional Value at 06/30/08 | Unrealized Appreciation (Depreciation) |
|
| Long Futures Outstanding |
|
|
19 | September, 2008 | Russell 2000 Index | $ 6,571,150 | $ (108,930) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Abbreviations and Definitions: |
|
|
| (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. | ||
| (g) | Amount rounds to less than 0.1%. |
|
|
| (k) | Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| |
| (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, and reverse repurchase agreements, and forward currency contracts. |
|
JPMorgan Small Company Portfolio/JPMorgan Insurance Trust Small Cap Equity Portfolio |
|
|
|
|
| ||||
Pro Forma Combined Statements of Assets and Liabilities |
|
|
|
|
|
|
| ||
As of June 30, 2008 (Unaudited) |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
| Acquired Portfolio |
| Acquiring Portfolio |
|
|
|
|
| |
| JPMorgan Small Company Portfolio |
| JPMorgan Insurance Trust Small Cap Equity Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
| |
|
|
|
|
|
|
|
|
| |
Assets |
|
|
|
|
|
|
|
| |
Investments in non-affiliates, at value | $ 64,918,196 |
| $ 2,651,188 |
| $ - |
| $ 67,569,384 |
| |
Investments in affiliates, at value | 1,195,373 |
| 89,392 |
| - |
| 1,284,765 |
| |
Total investment securities, at value | 66,113,569 |
| 2,740,580 |
| - |
| 68,854,149 |
| |
Cash | - |
| 42 |
| (42) | (a) | - |
| |
Receivables: |
|
|
|
|
|
|
|
| |
Investment securities sold | 7,393,745 |
| 90,574 |
| - |
| 7,484,319 |
| |
Portfolio shares sold | 17,295 |
| 6,043 |
| - |
| 23,338 |
| |
Interest and dividends | 86,933 |
| 4,722 |
| - |
| 91,655 |
| |
Due from Advisor | - |
| 3,085 |
| 30,793 | (b) | 33,878 |
| |
Total assets | 73,611,542 |
| 2,845,046 |
| 30,751 |
| 76,487,339 |
| |
|
|
|
|
|
|
|
|
| |
Liabilities |
|
|
|
|
|
|
|
| |
Payables: |
|
|
|
|
|
|
|
| |
Due to custodian | 5,395 |
| - |
| (42) | (a) | 5,353 |
| |
Investment securities purchased | 2,170,210 |
| 14,523 |
| - |
| 2,184,733 |
| |
Portfolio shares redeemed | 264,672 |
| - |
| - |
| 264,672 |
| |
Variation margin on futures contracts | 62,087 |
| - |
| - |
| 62,087 |
| |
Accrued liabilities: |
|
|
|
|
|
|
|
| |
Investment advisory fees | 37,207 |
| - |
| (37,207) | (b) | - |
| |
Administration fees | 16,053 |
| - |
| - |
| 16,053 |
| |
Distribution fees | - |
| 604 |
| - |
| 604 |
| |
Custodian and accounting fees | 30,466 |
| 10,389 |
| - |
| 40,855 |
| |
Trustees and Chief Compliance Officer's fees | - |
| 16 |
| - |
| 16 |
| |
Other | 29,752 |
| 37,904 |
| 68,000 | (c) | 135,656 |
| |
Total liabilities | 2,615,842 |
| 63,436 |
| 30,751 |
| 2,710,029 |
| |
Net Assets | $ 70,995,700 |
| $ 2,781,610 |
| $ - |
| $ 73,777,310 |
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
Net Assets: |
|
|
|
|
|
|
|
| |
Paid in Capital | $ 74,207,012 |
| $ 3,454,864 |
| $ - |
| 77,661,876 |
| |
Accumulated undistributed (overdistributed) |
|
|
|
|
|
|
|
|
|
net investment income | 68,217 |
| 3,921 |
| - | 72,138 |
|
| |
Accumulated net realized gain (loss) on |
|
|
|
|
|
|
|
|
|
investments and futures | 3,692,884 |
| (104,779) |
| - |
| 3,588,105 |
|
|
Net unrealized appreciation (depreciation) of |
|
|
|
|
|
|
|
|
|
investments and futures | (6,972,413) |
| (572,396) |
| - |
| (7,544,809) |
|
|
Total Net Assets | $ 70,995,700 |
| $ 2,781,610 |
| $ - |
| $ 73,777,310 |
|
|
|
|
|
|
|
|
|
|
| |
Class 1 Shares | $ 70,995,700 |
| $ - |
| - | 70,995,700 | (d) |
| |
Class 2 shares | - |
| 2,781,610 |
| - |
| 2,781,610 | (d) |
|
Total Net Assets | $ 70,995,700 |
| $ 2,781,610 |
| $ - |
| $ 73,777,310 |
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding units of beneficial interest |
|
|
|
|
|
| - |
|
|
(shares) (unlimited amount authorized, |
|
|
|
|
|
|
|
|
|
no par value) |
|
|
|
|
|
|
|
|
|
Class 1 | 5,274,689 | * | - |
| 772,645 | (e) | 6,047,334 |
|
|
Class 2 | - |
| 236,924 |
| - |
| 236,924 |
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
|
|
|
|
|
|
|
|
Class 1 | $ 13.46 | * |
$ - |
| - |
| $ 11.74 |
|
|
Class 2 | - |
| 11.74 |
| - |
| 11.74 |
|
|
|
|
|
|
|
|
|
|
|
|
Cost of investments in non-affiliates | $ 71,781,679 |
| $ 3,223,584 |
| $ - |
| $ 75,005,263 |
|
|
Cost of investments in affiliates | 1,195,373 |
| 89,392 |
| - |
| 1,284,765 |
|
|
|
|
|
|
|
|
|
|
|
|
(a) Reflects the netting of amounts receivable and payable to and from the custodian. |
|
|
|
|
|
| |||
(b) Reflects the netting of amounts receivable and payable to and from the Advisor. |
|
|
|
|
|
| |||
(c) Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. |
|
| |||||||
(d) Reflects total combined net assets due to the merger. |
|
|
|
|
|
|
|
| |
(e) Reflects the adjustment to the number of shares outstanding due to the merger. |
|
|
|
|
|
| |||
* The shares of JPMorgan Small Company Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio. |
|
JPMorgan Small Company Portfolio/JPMorgan Insurance Trust Small Cap Equity Portfolio |
|
|
|
|
| |||
Pro Forma Combined Statements of Operations |
|
|
|
|
|
|
|
|
For the twelve months ended June 30, 2008 (unaudited) |
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| JPMorgan Small Company Portfolio |
| JPMorgan Insurance Trust Small Cap Equity Portfolio |
| Pro Forma Adjustments |
| Pro Forma Combined |
|
|
|
|
|
|
|
|
|
|
INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
Interest and dividend income | $ 1,079,869 |
| $ 45,139 |
| - |
| $ 1,125,008 |
|
Total investment income | 1,079,869 |
| 45,139 |
|
|
| 1,125,008 |
|
Expenses |
|
|
|
|
|
|
|
|
Investment advisory fees | 495,501 |
| 19,785 |
| 39,998 |
| 555,284 | (a) |
Administration fees | 249,933 |
| 3,033 |
| (167,538) |
| 85,428 | (a) |
Custodian and accounting fees | 48,313 |
| 34,522 |
| (16,400) |
| 66,435 | (b) |
Distribution fees | - |
| 7,609 |
|
|
| 7,609 |
|
Professional fees | 65,958 |
| 41,713 |
| (61,271) |
| 46,400 | (b) |
Printing and mailing costs | 48,308 |
| 6,373 |
| (6,373) |
| 48,308 | (b) |
Trustees' and Chief Compliance Officer's fees | 6,870 |
| 36 |
| (5,906) |
| 1,000 | (b) |
Transfer agent fees | 18,022 |
| 2,001 |
| 3,500 |
| 23,523 | (c) |
Other | 18,210 |
| 2,715 |
| 1,280 |
| 22,205 | (c) |
Total expenses | 951,115 |
| 117,787 |
| (212,710) |
| 856,192 |
|
Less amounts waived | (26,192) |
| (22,818) |
| 49,010 |
| - | (a) |
Less expense reimbursements | - |
| (55,963) |
| 55,963 |
| - | (a) |
Less earnings credits | (1,404) |
| (45) |
| - |
| (1,449) |
|
Net expenses | 923,519 |
| 38,961 |
| (107,737) |
| 854,743 |
|
Net investment income (loss) | 156,350 |
| 6,178 |
| 107,737 |
| 270,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on transactions from: |
|
|
|
|
|
|
|
|
Investments | 5,761,451 |
| (109,996) |
| - |
| 5,651,455 |
|
Futures | (470,423) |
| - |
| - |
| (470,423) |
|
Net realized gain (loss) | 5,291,028 |
| (109,996) |
| - |
| 5,181,032 |
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) of: |
|
|
|
|
|
|
|
|
Investments | (22,866,902) |
| (623,142) |
| - |
| (23,490,044) |
|
Futures | (45,192) |
| - |
| - |
| (45,192) |
|
Change in net unrealized appreciation (depreciation) | (22,912,094) |
| (623,142) |
| - |
| (23,535,236) |
|
|
|
|
|
|
|
|
|
|
Net realized/unrealized gains (losses) | (17,621,066) |
| (733,138) |
| - |
| (18,354,204) |
|
|
|
|
|
|
|
|
|
|
Change in net assets resulting from operations | $ (17,464,716) |
| $ (726,960) |
| $ 107,737 |
| $(18,083,939) |
|
|
|
|
|
|
|
|
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|
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|
(a) Based on the contract in effect for the surviving portfolio. |
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| |
(b) Decrease due to elimination of duplicate expenses achieved by merging the portfolios. |
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| |||
(c) Increase due to increased expenses that will be incurred as a result of adding an additional share class to the surviving portfolio. |
|
|
JPMorgan Small Company Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1. | Basis of Combination |
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of JPMorgan Small Company Portfolio, a series of J.P. Morgan Series Trust II (“Small Company Portfolio”), and JPMorgan Insurance Trust Small Cap Equity Portfolio, a series of JPMorgan Insurance Trust (“Small Cap Equity Portfolio”), each a “Portfolio”. Following the combination, Small Company Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of Small Company Portfolio for shares of Small Cap Equity Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination will be accomplished by an acquisition of the net assets of Small Company Portfolio in exchange for Class 1 shares of Small Cap Equity Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Small Cap Equity Portfolio will not be restated. The fiscal year end is December 31 for the Small Company Portfolio and Small Cap Equity Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies which are consistently followed by Small Company Portfolio and Small Cap Equity Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation - Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign
JPMorgan Small Company Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Portfolio applies fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Portfolio’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Portfolio calculates its net asset value.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
Small Company Portfolio
Valuation Inputs |
Investment In Securities | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $65,744,576 | $- | $(108,930) |
Level 2 | 368,993 | - | - |
Level 3 | - | - | - |
Total | $66,113,569 | $- | $(108,930) |
* Other financial instruments include futures, forwards and swap contracts.
Small Cap Equity Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $2,740,580 | $- |
Level 2 | - | - |
Level 3 | - | - |
Total | $2,740,580 | $- |
* Other financial instruments include futures, forwards and swap contracts.
JPMorgan Small Company Portfolio
JPMorgan Insurance Trust Small Cap Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
Combined Portfolio
Valuation Inputs |
Investment In Securities | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $68,485,156 | $- | $(108,930) |
Level 2 | 368,993 | - | - |
Level 3 | - | - | - |
Total | $68,854,149 | $- | $(108,930) |
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Pro Forma Class 1 shares net asset value per share assumes the issuance of 6,047,334 Class 1 shares of Small Cap Equity Portfolio in exchange for 5,274,689 shares of Small Company Portfolio.
C. Federal Income Taxes — Each Portfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Small Cap Equity Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
JPMorgan U.S. Large Cap Core Equity Portfolio/JPMorgan Insurance Trust Diversified Equity Portfolio |
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| ||||
Combined Schedules of Portfolio Investments |
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| ||
As of June 30, 2008 (Unaudited) |
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| |
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JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio |
| Combined Pro Forma | Combined Pro Forma |
Shares | Value ($) | Shares | Value ($) | Security Description | Shares | Value ($) |
|
|
|
| Long-Term Investments -- 98.6% |
|
|
|
|
|
| Common Stocks -- 98.6% |
|
|
|
|
|
| Aerospace & Defense -- 3.1% |
|
|
5,935 | 390,048 | 26,430 | 1,736,980 | Boeing Co. | 32,365 | 2,127,028 |
- | - | 9,250 | 618,825 | Northrop Grumman Corp. | 9,250 | 618,825 |
11,515 | 710,476 | 53,740 | 3,315,758 | United Technologies Corp. | 65,255 | 4,026,234 |
| 1,100,524 |
| 5,671,563 |
|
| 6,772,087 |
|
|
|
|
|
|
|
|
|
|
| Auto Components -- 1.6% |
|
|
19,890 | 570,445 | 105,400 | 3,022,872 | Johnson Controls, Inc. | 125,290 | 3,593,317 |
|
|
|
|
|
|
|
|
|
|
| Beverages -- 1.6% |
|
|
- | - | 60,500 | 3,144,790 | Coca-Cola Co. (The) | 60,500 | 3,144,790 |
7,060 | 448,945 | - | - | PepsiCo, Inc. | 7,060 | 448,945 |
| 448,945 |
| 3,144,790 |
|
| 3,593,735 |
|
|
|
|
|
|
|
|
|
|
| Biotechnology -- 1.8% |
|
|
- | - | 7,658 | 361,151 | Amgen, Inc. (a) | 7,658 | 361,151 |
4,430 | 282,944 | 25,000 | 1,596,750 | Celgene Corp. (a) | 29,430 | 1,879,694 |
8,730 | 462,254 | 26,110 | 1,382,525 | Gilead Sciences, Inc. (a) | 34,840 | 1,844,779 |
| 745,198 |
| 3,340,426 |
|
| 4,085,624 |
|
|
|
|
|
|
|
|
|
|
| Capital Markets -- 3.8% |
|
|
5,410 | 220,025 | 6,250 | 254,187 | Ameriprise Financial, Inc. | 11,660 | 474,212 |
12,750 | 482,332 | 15,110 | 571,611 | Bank of New York Mellon Corp. (The) | 27,860 | 1,053,943 |
1,430 | 250,107 | 13,165 | 2,302,558 | Goldman Sachs Group, Inc. (The) | 14,595 | 2,552,665 |
- | - | 8,160 | 161,650 | Lehman Brothers Holdings, Inc. | 8,160 | 161,650 |
10,300 | 326,613 | 19,790 | 627,541 | Merrill Lynch & Co., Inc. | 30,090 | 954,154 |
11,840 | 427,069 | 43,342 | 1,563,346 | Morgan Stanley | 55,182 | 1,990,415 |
- | - | 9,440 | 604,066 | State Street Corp. | 9,440 | 604,066 |
11,330 | 204,960 | 21,100 | 381,699 | TD AMERITRADE Holding Corp. (a) | 32,430 | 586,659 |
| 1,911,106 |
| 6,466,658 |
|
| 8,377,764 |
|
|
|
|
|
|
|
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|
|
| Chemicals -- 2.0% |
|
|
- | - | 900 | 88,974 | Air Products & Chemicals, Inc. | 900 | 88,974 |
2,300 | 290,812 | 8,990 | 1,136,696 | Monsanto Co. | 11,290 | 1,427,508 |
10,665 | 1,005,070 | 13,940 | 1,313,705 | Praxair, Inc. | 24,605 | 2,318,775 |
- | - | 11,090 | 515,020 | Rohm & Haas Co. | 11,090 | 515,020 |
| 1,295,882 |
| 3,054,395 |
|
| 4,350,277 |
|
|
|
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|
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|
|
| Commercial Banks -- 2.9% |
|
|
- | - | 5,030 | 128,919 | Comerica, Inc. | 5,030 | 128,919 |
- | - | 1,500 | 15,270 | Fifth Third Bancorp | 1,500 | 15,270 |
- | - | 4,400 | 25,388 | Huntington Bancshares, Inc. | 4,400 | 25,388 |
- | - | 36,600 | 401,868 | Keycorp | 36,600 | 401,868 |
- | - | 1,100 | 16,863 | Marshall & Ilsley Corp. | 1,100 | 16,863 |
- | - | 3,120 | 113,006 | SunTrust Banks, Inc. | 3,120 | 113,006 |
19,040 | 531,026 | 49,220 | 1,372,746 | U.S. Bancorp | 68,260 | 1,903,772 |
7,800 | 121,134 | 34,070 | 529,107 | Wachovia Corp. | 41,870 | 650,241 |
24,350 | 578,312 | 98,506 | 2,339,518 | Wells Fargo & Co. | 122,856 | 2,917,830 |
- | - | 8,820 | 277,742 | Zions Bancorp (c) | 8,820 | 277,742 |
| 1,230,472 |
| 5,220,427 |
|
| 6,450,899 |
|
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|
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| Communications Equipment -- 5.5% |
|
|
47,865 | 1,113,340 | 254,920 | 5,929,439 | Cisco Systems, Inc. (a) | 302,785 | 7,042,779 |
22,115 | 509,751 | 93,160 | 2,147,338 | Corning, Inc. | 115,275 | 2,657,089 |
- | - | 2,400 | 58,800 | Nokia OYJ ADR, (Finland) | 2,400 | 58,800 |
16,145 | 716,353 | 40,820 | 1,811,184 | QUALCOMM, Inc. | 56,965 | 2,527,537 |
| 2,339,444 |
| 9,946,761 |
|
| 12,286,205 |
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| Computers & Peripherals -- 5.4% |
|
|
4,140 | 693,202 | 13,637 | 2,283,379 | Apple, Inc. (a) | 17,777 | 2,976,581 |
- | - | 26,760 | 585,509 | Dell, Inc. (a) | 26,760 | 585,509 |
- | - | 4,500 | 66,105 | EMC Corp. (a) | 4,500 | 66,105 |
17,075 | 754,886 | 77,270 | 3,416,107 | Hewlett-Packard Co. | 94,345 | 4,170,993 |
6,595 | 781,705 | 27,322 | 3,238,477 | International Business Machines Corp. | 33,917 | 4,020,182 |
- | - | 4,340 | 94,004 | NetApp, Inc. (a) | 4,340 | 94,004 |
| 2,229,793 |
| 9,683,581 |
|
| 11,913,374 |
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| Construction & Engineering -- 0.1% |
|
|
- | - | 1,250 | 232,600 | Fluor Corp. | 1,250 | 232,600 |
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| Consumer Finance -- 0.4% |
|
|
- | - | 14,770 | 556,386 | American Express Co. | 14,770 | 556,386 |
- | - | 10,810 | 410,888 | Capital One Financial Corp. | 10,810 | 410,888 |
| - |
| 967,274 |
|
| 967,274 |
|
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|
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| Diversified Consumer Services -- 0.3% |
|
|
- | - | 8,840 | 730,449 | ITT Educational Services, Inc. (a) | 8,840 | 730,449 |
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| Diversified Financial Services -- 2.6% |
|
|
25,040 | 597,705 | 114,067 | 2,722,779 | Bank of America Corp. | 139,107 | 3,320,484 |
- | - | 9,200 | 62,652 | CIT Group, Inc. | 9,200 | 62,652 |
16,990 | 284,752 | 82,434 | 1,381,594 | Citigroup, Inc. | 99,424 | 1,666,346 |
- | - | 679 | 260,186 | CME Group, Inc. | 679 | 260,186 |
- | - | 10,520 | 532,943 | NYSE Euronext | 10,520 | 532,943 |
| 882,457 |
| 4,960,154 |
|
| 5,842,611 |
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| Diversified Telecommunication Services -- 3.4% |
|
|
20,790 | 700,415 | 86,053 | 2,899,125 | AT&T, Inc. | 106,843 | 3,599,540 |
20,595 | 729,063 | 89,592 | 3,171,557 | Verizon Communications, Inc. | 110,187 | 3,900,620 |
| 1,429,478 |
| 6,070,682 |
|
| 7,500,160 |
|
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|
|
| Electric Utilities -- 3.1% |
|
|
|
| 25,410 | 1,022,244 | American Electric Power Co., Inc. | 25,410 | 1,022,244 |
7,365 | 378,414 | 16,410 | 843,146 | Edison International | 23,775 | 1,221,560 |
2,600 | 233,896 | 16,590 | 1,492,436 | Exelon Corp. | 19,190 | 1,726,332 |
8,680 | 714,624 | 17,770 | 1,463,004 | FirstEnergy Corp. | 26,450 | 2,177,628 |
|
| 5,110 | 335,114 | FPL Group, Inc. | 5,110 | 335,114 |
|
| 30,990 | 393,883 | Sierra Pacific Resources | 30,990 | 393,883 |
| 1,326,934 |
| 5,549,827 |
|
| 6,876,761 |
|
|
|
|
|
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|
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|
|
| Electronic Equipment & Instruments -- 0.0% (g) |
|
|
- | - | 1,900 | 68,058 | Tyco Electronics Ltd. (Bermuda) | 1,900 | 68,058 |
|
|
|
|
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|
| Energy Equipment & Services -- 3.8% |
|
|
3,050 | 266,387 | 14,890 | 1,300,493 | Baker Hughes, Inc. | 17,940 | 1,566,880 |
- | - | 28,510 | 1,513,026 | Halliburton Co. | 28,510 | 1,513,026 |
3,200 | 283,904 | 14,870 | 1,319,266 | National Oilwell Varco, Inc. (a) | 18,070 | 1,603,170 |
5,770 | 619,871 | 27,320 | 2,934,987 | Schlumberger Ltd. | 33,090 | 3,554,858 |
- | - | 1,700 | 259,063 | Transocean, Inc. (a) | 1,700 | 259,063 |
| 1,170,162 |
| 7,326,835 |
|
| 8,496,997 |
|
|
|
|
|
|
|
|
|
|
| Food & Staples Retailing -- 5.4% |
|
|
12,755 | 504,715 | 43,410 | 1,717,734 | CVS/Caremark Corp. | 56,165 | 2,222,449 |
23,600 | 673,780 | 162,520 | 4,639,946 | Safeway, Inc. | 186,120 | 5,313,726 |
8,900 | 244,839 | 67,780 | 1,864,628 | SYSCO Corp. | 76,680 | 2,109,467 |
8,300 | 466,460 | 32,580 | 1,830,996 | Wal-Mart Stores, Inc. | 40,880 | 2,297,456 |
| 1,889,794 |
| 10,053,304 |
|
| 11,943,098 |
|
|
|
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|
|
| Food Products -- 0.8% |
|
|
- | - | 13,490 | 819,787 | General Mills, Inc. | 13,490 | 819,787 |
- | - | 35,738 | 1,016,746 | Kraft Foods, Inc., Class A | 35,738 | 1,016,746 |
| - |
| 1,836,533 |
|
| 1,836,533 |
|
|
|
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|
|
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|
|
| Health Care Equipment & Supplies -- 1.5% |
|
|
4,850 | 426,558 | 10,220 | 898,849 | CR Bard, Inc. | 15,070 | 1,325,407 |
|
| 27,670 | 1,431,923 | Medtronic, Inc. | 27,670 | 1,431,923 |
|
| 7,500 | 510,375 | Zimmer Holdings, Inc. (a) | 7,500 | 510,375 |
| 426,558 |
| 2,841,147 |
|
| 3,267,705 |
|
|
|
|
|
|
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|
|
|
| Health Care Providers & Services -- 1.5% |
|
|
8,050 | 326,266 | 2,800 | 113,484 | Aetna, Inc. | 10,850 | 439,750 |
- | - | 26,510 | 1,367,386 | Cardinal Health, Inc. | 26,510 | 1,367,386 |
- | - | 29,110 | 1,387,382 | WellPoint, Inc. (a) | 29,110 | 1,387,382 |
| 326,266 |
| 2,868,252 |
|
| 3,194,518 |
|
|
|
|
|
|
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|
|
| Hotels, Restaurants & Leisure -- 0.9% |
|
|
4,420 | 110,411 | 58,840 | 1,469,823 | International Game Technology | 63,260 | 1,580,234 |
6,720 | 235,805 | 6,480 | 227,383 | Yum! Brands, Inc. | 13,200 | 463,188 |
| 346,216 |
| 1,697,206 |
|
| 2,043,422 |
|
|
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|
|
|
|
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|
|
| Household Durables -- 0.0% (g) |
|
|
- | - | 5,230 | 97,958 | Toll Brothers, Inc. (a) (c) | 5,230 | 97,958 |
|
|
|
|
|
|
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|
|
| Household Products -- 2.8% |
|
|
5,410 | 373,831 | 18,900 | 1,305,990 | Colgate-Palmolive Co. | 24,310 | 1,679,821 |
15,105 | 918,535 | 59,197 | 3,599,770 | Procter & Gamble Co. | 74,302 | 4,518,305 |
| 1,292,366 |
| 4,905,760 |
|
| 6,198,126 |
|
|
|
|
|
|
|
|
|
|
| Independent Power Producers & Energy Traders -- 0.3% |
|
|
- | - | 5,030 | 412,963 | Constellation Energy Group, Inc. | 5,030 | 412,963 |
- | - | 7,840 | 336,336 | NRG Energy, Inc. (a) | 7,840 | 336,336 |
| - |
| 749,299 |
|
| 749,299 |
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates -- 1.7% |
|
|
31,245 | 833,929 | 113,815 | 3,037,722 | General Electric Co. | 145,060 | 3,871,651 |
|
|
|
|
|
|
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|
|
| Insurance -- 2.8% |
|
|
6,210 | 389,988 | 7,820 | 491,096 | Aflac, Inc. | 14,030 | 881,084 |
- | - | 6,390 | 291,320 | Allstate Corp. (The) | 6,390 | 291,320 |
- | - | 3,500 | 92,610 | American International Group, Inc. | 3,500 | 92,610 |
- | - | 9,770 | 291,244 | Axis Capital Holdings Ltd., (Bermuda) | 9,770 | 291,244 |
- | - | 15 | 60,180 | Berkshire Hathaway, Inc., Class B (a) | 15 | 60,180 |
- | - | 13,410 | 238,832 | Genworth Financial, Inc., Class A | 13,410 | 238,832 |
5,645 | 364,497 | 4,390 | 283,462 | Hartford Financial Services Group, Inc. | 10,035 | 647,959 |
- | - | 4,880 | 221,162 | Lincoln National Corp. | 4,880 | 221,162 |
- | - | 31,260 | 1,649,590 | MetLife, Inc. | 31,260 | 1,649,590 |
4,640 | 194,741 | 9,090 | 381,507 | Principal Financial Group, Inc. | 13,730 | 576,248 |
- | - | 1,000 | 59,740 | Prudential Financial, Inc. | 1,000 | 59,740 |
- | - | 23,928 | 1,068,864 | RenaissanceRe Holdings Ltd., (Bermuda) | 23,928 | 1,068,864 |
- | - | 3,300 | 143,220 | Travelers Cos., Inc. (The) | 3,300 | 143,220 |
| 949,226 |
| 5,272,827 |
|
| 6,222,053 |
|
|
|
|
|
|
|
|
|
|
| Internet Software & Services -- 1.2% |
|
|
1,110 | 584,326 | 2,601 | 1,369,218 | Google, Inc., Class A (a) | 3,711 | 1,953,544 |
9,710 | 200,609 | 20,110 | 415,473 | Yahoo!, Inc. (a) | 29,820 | 616,082 |
| 784,935 |
| 1,784,691 |
|
| 2,569,626 |
|
|
|
|
|
|
|
|
|
|
| IT Services -- 0.2% |
|
|
- | - | 4,900 | 73,108 | Genpact Ltd., (Bermuda) (a) (c) | 4,900 | 73,108 |
- | - | 1,600 | 69,536 | Infosys Technologies Ltd. ADR, (India) | 1,600 | 69,536 |
- | - | 7,440 | 232,723 | Paychex, Inc. | 7,440 | 232,723 |
| - |
| 375,367 |
|
| 375,367 |
|
|
|
|
|
|
|
|
|
|
| Machinery -- 2.0% |
|
|
5,530 | 408,225 | 15,870 | 1,171,524 | Caterpillar, Inc. | 21,400 | 1,579,749 |
10,170 | 786,141 | 22,450 | 1,735,385 | Danaher Corp. | 32,620 | 2,521,526 |
- | - | 1,400 | 100,982 | Deere & Co. | 1,400 | 100,982 |
- | - | 7,970 | 333,385 | PACCAR, Inc. | 7,970 | 333,385 |
| 1,194,366 |
| 3,341,276 |
|
| 4,535,642 |
|
|
|
|
|
|
|
|
|
|
| Media -- 3.7% |
|
|
36,590 | 550,314 | 187,920 | 2,826,317 | News Corp., Class A | 224,510 | 3,376,631 |
24,720 | 365,856 | 132,030 | 1,954,044 | Time Warner, Inc. | 156,750 | 2,319,900 |
17,500 | 546,000 | 65,860 | 2,054,832 | Walt Disney Co. (The) | 83,360 | 2,600,832 |
| 1,462,170 |
| 6,835,193 |
|
| 8,297,363 |
|
|
|
|
|
|
|
|
|
|
| Metals & Mining -- 1.2% |
|
|
- | - | 2,100 | 74,802 | Alcoa, Inc. | 2,100 | 74,802 |
3,190 | 373,836 | 6,100 | 714,859 | Freeport-McMoRan Copper & Gold, Inc. | 9,290 | 1,088,695 |
- | - | 7,490 | 1,384,002 | United States Steel Corp. | 7,490 | 1,384,002 |
| 373,836 |
| 2,173,663 |
|
| 2,547,499 |
|
|
|
|
|
|
|
|
|
|
| Multiline Retail -- 0.6% |
|
|
|
| 16,380 | 326,617 | Family Dollar Stores, Inc. | 16,380 | 326,617 |
6,190 | 247,848 | 16,630 | 665,865 | Kohl’s Corp. (a) | 22,820 | 913,713 |
| 247,848 |
| 992,482 |
|
| 1,240,330 |
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities -- 0.7% |
|
|
21,180 | 315,582 | 76,260 | 1,136,274 | CMS Energy Corp. | 97,440 | 1,451,856 |
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels -- 12.1% |
|
|
- | - | 8,580 | 642,127 | Anadarko Petroleum Corp. | 8,580 | 642,127 |
4,700 | 653,300 | 11,390 | 1,583,210 | Apache Corp. | 16,090 | 2,236,510 |
- | - | 34,400 | 3,410,072 | Chevron Corp. | 34,400 | 3,410,072 |
- | - | 19,360 | 1,827,391 | ConocoPhillips | 19,360 | 1,827,391 |
5,190 | 623,630 | 4,140 | 497,462 | Devon Energy Corp. | 9,330 | 1,121,092 |
25,150 | 2,216,470 | 82,379 | 7,260,061 | Exxon Mobil Corp. | 107,529 | 9,476,531 |
5,860 | 303,958 | 13,940 | 723,068 | Marathon Oil Corp. | 19,800 | 1,027,026 |
7,060 | 634,412 | 34,890 | 3,135,215 | Occidental Petroleum Corp. | 41,950 | 3,769,627 |
- | - | 2,050 | 201,310 | Ultra Petroleum Corp. (a) | 2,050 | 201,310 |
8,720 | 597,407 | 36,645 | 2,510,549 | XTO Energy, Inc. | 45,365 | 3,107,956 |
| 5,029,177 |
| 21,790,465 |
|
| 26,819,642 |
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals -- 6.5% |
|
|
14,650 | 776,011 | 59,470 | 3,150,126 | Abbott Laboratories | 74,120 | 3,926,137 |
7,200 | 147,816 | 88,830 | 1,823,680 | Bristol-Myers Squibb Co. | 96,030 | 1,971,496 |
24,550 | 925,289 | 122,390 | 4,612,879 | Merck & Co., Inc. | 146,940 | 5,538,168 |
- | - | 15,340 | 267,990 | Pfizer, Inc. | 15,340 | 267,990 |
28,550 | 562,149 | 111,370 | 2,192,875 | Schering-Plough Corp. | 139,920 | 2,755,024 |
| 2,411,265 |
| 12,047,550 |
|
| 14,458,815 |
|
|
|
|
|
|
|
|
|
|
| Real Estate Investment Trusts (REITs) -- 0.3% |
|
|
- | - | 700 | 68,138 | Alexandria Real Estate Equities, Inc. (c) | 700 | 68,138 |
- | - | 14,612 | 497,685 | Apartment Investment & Management Co., Class A | 14,612 | 497,685 |
| - |
| 565,823 |
|
| 565,823 |
|
|
|
|
|
|
|
|
|
|
| Road & Rail -- 2.5% |
|
|
18,420 | 1,154,381 | 70,630 | 4,426,382 | Norfolk Southern Corp. | 89,050 | 5,580,763 |
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment -- 2.1% |
|
|
- | - | 35,960 | 744,372 | Altera Corp. | 35,960 | 744,372 |
- | - | 8,750 | 167,038 | Applied Materials, Inc. | 8,750 | 167,038 |
- | - | 8,150 | 222,413 | Broadcom Corp., Class A (a) | 8,150 | 222,413 |
- | - | 17,390 | 707,947 | KLA-Tencor Corp. | 17,390 | 707,947 |
- | - | 18,610 | 524,058 | Texas Instruments, Inc. | 18,610 | 524,058 |
23,360 | 589,840 | 64,830 | 1,636,957 | Xilinx, Inc. | 88,190 | 2,226,797 |
| 589,840 |
| 4,002,785 |
|
| 4,592,625 |
|
|
|
|
|
|
|
|
|
|
| Software -- 3.2% |
|
|
38,130 | 1,048,956 | 157,885 | 4,343,416 | Microsoft Corp. | 196,015 | 5,392,372 |
13,355 | 280,455 | 59,210 | 1,243,410 | Oracle Corp. (a) | 72,565 | 1,523,865 |
- | - | 2,600 | 135,486 | SAP AG ADR, (Germany) (c) | 2,600 | 135,486 |
| 1,329,411 |
| 5,722,312 |
|
| 7,051,723 |
|
|
|
|
|
|
|
|
|
|
| Specialty Retail -- 0.8% |
|
|
8,560 | 332,385 | 7,840 | 304,427 | Advance Auto Parts, Inc. | 16,400 | 636,812 |
- | - | 8,460 | 150,081 | Dick’s Sporting Goods, Inc. (a) | 8,460 | 150,081 |
- | - | 45,480 | 1,080,150 | Staples, Inc. | 45,480 | 1,080,150 |
| 332,385 |
| 1,534,658 |
|
| 1,867,043 |
|
|
|
|
|
|
|
|
|
|
| Textiles, Apparel & Luxury Goods -- 0.7% |
|
|
6,810 | 405,944 | 7,440 | 443,499 | Nike, Inc., Class B | 14,250 | 849,443 |
- | - | 9,090 | 647,026 | V.F. Corp. | 9,090 | 647,026 |
| 405,944 |
| 1,090,525 |
|
| 1,496,469 |
|
|
|
|
|
|
|
|
|
|
| Thrifts & Mortgage Finance -- 0.3% |
|
|
6,800 | 132,668 | 14,570 | 284,261 | Fannie Mae | 21,370 | 416,929 |
- | - | 16,290 | 267,156 | Freddie Mac | 16,290 | 267,156 |
| 132,668 |
| 551,417 |
|
| 684,085 |
|
|
|
|
|
|
|
|
|
|
| Tobacco -- 1.3% |
|
|
- | - | 41,078 | 844,564 | Altria Group, Inc. | 41,078 | 844,564 |
10,290 | 508,223 | 31,488 | 1,555,192 | Philip Morris International, Inc. | 41,778 | 2,063,415 |
| 508,223 |
| 2,399,756 |
|
| 2,907,979 |
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services -- 0.1% |
|
|
|
| 22,010 | 209,095 | Sprint Nextel Corp. | 22,010 | 209,095 |
|
|
|
|
|
|
|
|
|
|
| Total Common Stocks |
|
|
| 39,017,226 |
| 179,797,074 | (Cost $37,596,046, $192,229,243 and $229,825,289, respectively) |
| 218,814,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments -- 1.3% |
|
|
|
|
|
| Investment Company -- 1.2% |
|
|
- |
| 2,515,556 |
| JPMorgan Liquid Assets Money Market Fund, | 2,515,556 |
|
| - |
| 2,515,556 | Institutional Class (b) (m) |
| 2,515,556 |
114,133 |
| - |
| JPMorgan Prime Money Market Fund, |
|
|
| 114,133 |
| - | Institutional Class (b) (m) | 114,133 | 114,133 |
| 114,133 |
| 2,515,556 | (Cost $114,133, $2,515,556 and $2,629,689, respectively) |
| 2,629,689 |
|
|
|
|
|
|
|
Principal |
| Principal |
|
| Principal |
|
Amount ($) |
| Amount ($) |
|
| Amount ($) |
|
|
|
|
| U.S. Treasury Obligation -- 0.1% |
|
|
- |
| 180,000 |
| U.S. Treasury Note, 4.88%, 06/30/09 (k) | 180,000 |
|
| - |
| 184,401 | (Cost $0, $184,328 and $184,328, respectively) |
| 184,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Investments |
|
|
| 114,133 |
| 2,699,957 | (Cost $114,133, $2,699,884 and $2,814,017, respectively) |
| 2,814,090 |
|
|
|
|
|
|
|
|
|
|
| Investments of Cash Collateral for Securities on Loan -- 0.3% |
|
|
|
|
|
| Repurchase Agreements -- 0.3% |
|
|
- |
| 125,000 |
| Banc of America Securities LLC, 2.45%, dated | 125,000 |
|
| - |
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
- |
|
|
| $125,009, collateralized by U.S. Government |
|
|
| - |
| 125,000 | Agency Mortgages |
| 125,000 |
- |
| 116,220 |
| Barclays Capital, Inc., 2.70%, dated 06/30/08, | 116,220 |
|
| - |
|
| due 07/01/08, repurchase price $116,229, |
|
|
- |
|
|
| collateralized by U.S. Government Agency |
|
|
| - |
| 116,220 | Mortgages |
| 116,220 |
- |
| 125,000 |
| Citigroup Global Markets, Inc., 2.51%, dated | 125,000 |
|
| - |
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
- |
|
|
| $125,009, collateralized by U.S. Government |
|
|
| - |
| 125,000 | Agency Mortgages |
| 125,000 |
- |
| 125,000 |
| Deutsche Bank Securities, Inc., 2.80%, dated | 125,000 |
|
| - |
|
| 06/30/08, due 07/01/08, repurchase price |
|
|
- |
|
|
| $125,010, collateralized by U.S. Government |
|
|
| - |
| 125,000 | Agency Mortgages |
| 125,000 |
- |
| 125,000 |
| Merrill Lynch Securities, 2.10%, dated | 125,000 |
|
| - |
|
| 06/30/08, due 07/01/08, repurchase |
|
|
- |
|
|
| price $125,007, collateralized by |
|
|
| - |
| 125,000 | U.S. Government Agency Mortgages |
| 125,000 |
|
|
|
|
|
|
|
|
|
|
| Total Investments of Cash Collateral for Securities on Loan |
|
|
| - |
| 616,220 | Cost ($0, $616,220 and $616,220, respectively) |
| 616,220 |
|
|
|
|
|
|
|
|
|
|
| Total Investments -- 100.2% |
|
|
| 39,131,359 |
| 183,113,251 | (Cost $37,710,179, $195,545,347 and $233,255,526, respectively) |
| 222,244,610 |
| 1,362 |
| (331,682) | Liabilities in Excess of Other Assets -- (0.2)% |
| (330,320) |
| $ 39,132,721 |
| $ 182,781,569 | NET ASSETS -- 100.0% |
| $ 221,914,290 |
|
|
|
|
|
|
|
|
|
|
| Percentages indicated are based on net assets. |
|
|
Futures Contracts |
|
|
| |
|
|
|
|
|
JPMorgan Insurance Trust Diversified Equity Portfolio | ||||
Number of Contracts | Expiration Date | Description | Notional Value at 06/30/08 | Unrealized Appreciation (Depreciation) |
|
| Long Futures Outstanding |
|
|
3 | September, 2008 | S&P 500 Index | $ 960,825 | $ (35,162) |
|
|
|
|
|
|
|
|
|
|
Combined Pro Forma | ||||
Number of Contracts | Expiration Date | Description | Notional Value at 06/30/08 | Unrealized Appreciation (Depreciation) |
|
| Long Futures Outstanding |
|
|
3 | September, 2008 | S&P 500 Index | $ 960,825 | $ (35,162) |
|
|
|
|
|
|
|
|
|
|
|
| Abbreviations and Definitions: |
|
|
| ADR | American Depositary Receipt |
|
|
| (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 JPMorgan Investment Advisors Inc. or 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. | ||
| (g) | Amount rounds to less than 0.1%. |
|
|
| (k) | Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. | ||
| (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, and reverse repurchase agreements, and forward currency contracts. |
JPMorgan U.S. Large Cap Core Equity Portfolio/JPMorgan Insurance Trust Diversified Equity Portfolio
Pro Forma Combined Statements of Assets and Liabilities
As of June 30, 2008 (Unaudited)
Acquired Portfolio | Acquiring Portfolio | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | Pro Forma Adjustments | Pro Forma Combined | |||||||||||||||
Assets | ||||||||||||||||||
Investments in non-affiliates, at value | $ | 39,017,226 | $ | 180,597,695 | $ | — | $ | 219,614,921 | ||||||||||
Investments in affiliates, at value | 114,133 | 2,515,556 | — | 2,629,689 | ||||||||||||||
Total investment securities, at value | 39,131,359 | 183,113,251 | — | 222,244,610 | ||||||||||||||
Cash | 245 | 198,510 | — | 198,755 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 291,255 | 2,381,319 | — | 2,672,574 | ||||||||||||||
Portfolio shares sold | 22,677 | 9,484 | — | 32,161 | ||||||||||||||
Interest and dividends | 51,192 | 266,256 | — | 317,448 | ||||||||||||||
Variation margin on futures contracts | — | 825 | — | 825 | ||||||||||||||
Total assets | 39,496,728 | 185,969,645 | — | 225,466,373 | ||||||||||||||
Liabilities | ||||||||||||||||||
Payables: | ||||||||||||||||||
Investment securities purchased | 286,143 | 2,307,111 | — | 2,593,254 | ||||||||||||||
Collateral for securities lending program | — | 616,220 | — | 616,220 | ||||||||||||||
Portfolio shares redeemed | 3,982 | 135,500 | — | 139,482 | ||||||||||||||
Accrued liabilities: | ||||||||||||||||||
Investment advisory fees | 11,816 | 87,189 | (68,000) | (a) | 99,005 | |||||||||||||
Administration fees | 6,087 | 14,946 | — | 21,033 | ||||||||||||||
Distribution fees | — | 4 | — | 4 | ||||||||||||||
Custodian and accounting fees | 6,275 | 6,640 | — | 12,915 | ||||||||||||||
Trustees and Chief Compliance Officer's fees | — | 855 | — | 855 | ||||||||||||||
Other | 49,704 | 19,611 | 68,000 | (a) | 137,315 | |||||||||||||
Total liabilities | 364,007 | 3,188,076 | — | 3,552,083 | ||||||||||||||
Net Assets | $ | 39,132,721 | $ | 182,781,569 | $ | — | $ | 221,914,290 | ||||||||||
Net Assets: | ||||||||||||||||||
Paid in capital | $ | 47,321,231 | $ | 204,835,429 | $ | �� | 252,156,660 | |||||||||||
Accumulated undistributed (overdistributed) | ||||||||||||||||||
net investment income | 227,783 | 1,591,032 | — | 1,818,815 | ||||||||||||||
Accumulated net realized gain (loss) on | ||||||||||||||||||
investments and futures | (9,837,473 | ) | (11,177,634 | ) | — | (21,015,107 | ) | |||||||||||
Net unrealized appreciation (depreciation) of | ||||||||||||||||||
investments and futures | 1,421,180 | (12,467,258 | ) | — | (11,046,078 | ) | ||||||||||||
Total Net Assets | $ | 39,132,721 | $ | 182,781,569 | $ | — | $ | 221,914,290 | ||||||||||
Class 1 Shares | $ | 39,132,721 | $ | 182,765,201 | $ | — | 221,897,922 | (b) | ||||||||||
Class 2 Shares | — | 16,368 | — | 16,368 | (b) | |||||||||||||
Total Net Assets | $ | 39,132,721 | $ | 182,781,569 | $ | — | $ | 221,914,290 | ||||||||||
Outstanding units of beneficial interest | ||||||||||||||||||
(shares) (unlimited amount authorized, | ||||||||||||||||||
no par value) | ||||||||||||||||||
Class 1 | 2,805,141 | * | 12,474,401 | (133,966 | )(c) | 15,145,576 | ||||||||||||
Class 2 | — | 1,119 | — | 1,119 | ||||||||||||||
Net asset value per share | ||||||||||||||||||
Class 1 | $ | 13.95 | * | $ | 14.65 | $ | 14.65 | |||||||||||
Class 2 | $ | 14.63 | $ | 14.63 | ||||||||||||||
Cost of investments in non-affiliates | $ | 37,596,046 | $ | 193,029,791 | $ | — | $ | 230,625,837 | ||||||||||
Cost of investments in affiliates | 114,133 | 2,515,556 | — | 2,629,689 | ||||||||||||||
(a) | Each Portfolio’s adviser or administrator will waive their fees and/or reimburse the Portfolios in an amount sufficient to offset the costs incurred by each Portfolio relating to the Reorganization, which include any costs associated with the solicitation of voting instructions. | |
(b) | Reflects total combined net assets due to the merger. | |
(c) | Reflects the adjustment to the number of shares outstanding due to the merger. | |
* | The shares of JPMorgan U.S. Large Cap Core Equity Portfolio do not have a class designation. The share amount shown represent all outstanding shares of the Portfolio. |
JPMorgan U.S. Large Cap Core Equity Portfolio/JPMorgan Insurance Trust Diversified Equity Portfolio
Pro Forma Combined Statements of Operations
For the twelve months ended June 30, 2008 (unaudited)
JPMorgan U.S. Large Cap Core Equity Portfolio | JPMorgan Insurance Trust Diversified Equity Portfolio | Pro Forma Adjustments | Pro Forma Combined | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Interest and dividend income | $ | 877,057 | $ | 5,269,579 | — | $ | 6,146,636 | |||||||||||
Total investment income | 877,057 | 5,269,579 | 6,146,636 | |||||||||||||||
Expenses | ||||||||||||||||||
Investment advisory fees | 160,189 | 1,494,094 | 88,052 | 1,742,335 | (a) | |||||||||||||
Administration fees | 75,421 | 270,569 | (29,202 | ) | 316,788 | (a) | ||||||||||||
Custodian and accounting fees | 24,428 | 44,743 | (20,000 | ) | 49,171 | (b) | ||||||||||||
Interest expense | 86 | 11,436 | — | 11,522 | ||||||||||||||
Distribution fees | — | 44 | — | 44 | ||||||||||||||
Professional fees | 59,171 | 46,405 | (59,171 | ) | 46,405 | (b) | ||||||||||||
Printing and mailing costs | 34,934 | 42,790 | (10,939 | ) | 66,785 | (b) | ||||||||||||
Trustees' and Chief Compliance Officer's fees | 6,012 | 3,292 | (6,012 | ) | 3,292 | (b) | ||||||||||||
Transfer agent fees | 18,703 | 21,617 | — | 40,320 | ||||||||||||||
Other | 10,231 | 23,616 | — | 33,847 | ||||||||||||||
Total expenses | 389,175 | 1,958,606 | (37,272 | ) | 2,310,509 | |||||||||||||
Less earnings credits | (59 | ) | (280 | ) | — | (339 | ) | |||||||||||
Net expenses | 389,116 | 1,958,326 | (37,272 | ) | 2,310,170 | |||||||||||||
Net investment income (loss) | 487,941 | 3,311,253 | 37,272 | 3,836,466 | ||||||||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||||
Investments | 3,424,850 | (1,932,357 | ) | — | 1,492,493 | |||||||||||||
Futures | — | 68,328 | — | 68,328 | ||||||||||||||
Net realized gain (loss) | 3,424,850 | (1,864,029 | ) | — | 1,560,821 | |||||||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||||
Investments | (10,739,203 | ) | (24,710,921 | ) | — | (35,450,124 | ) | |||||||||||
Futures | — | 76,554 | — | 76,554 | ||||||||||||||
Securities sold short | — | (14,719 | ) | — | (14,719 | ) | ||||||||||||
Change in net unrealized appreciation (depreciation) | (10,739,203 | ) | (24,649,086 | ) | — | (35,388,289 | ) | |||||||||||
Net realized/unrealized gains (losses) | (7,314,353 | ) | (26,513,115 | ) | — | (33,827,468 | ) | |||||||||||
Change in net assets resulting from operations | $ | (6,826,412 | ) | $ | (23,201,862 | ) | $ | 37,272 | $ | (29,991,002 | ) | |||||||
(a) | Based on the contract in effect for the surviving portfolio. | |
(b) | Decrease due to elimination of duplicate expenses achieved by merging the portfolios. |
JPMorgan U.S Large Cap Core Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
1. Basis of Combination
The accompanying unaudited Pro Forma Combined Portfolio of Investments, Pro Forma Combined Statement of Assets and Liabilities and Pro Forma Combined Statement of Operations (“Pro Forma statements”) for the twelve months ended June 30, 2008, reflect the accounts of J.P.Morgan U.S. Large Cap Core Equity Portfolio, a series of J.P. Morgan Series Trust II (“U.S. Large Cap Core Equity Portfolio”), and JPMorgan Insurance Trust Diversified Equity Portfolio, a series of JPMorgan Insurance Trust (“Diversified Equity Portfolio”), each a “Portfolio”. Following the combination, Diversified Equity Portfolio will be the accounting survivor.
Under the terms of Agreement and Plan of Reorganization, the exchange of assets of U.S. Large Cap Core Equity Portfolio for shares of Diversified Equity Portfolio will be treated as a tax-free reorganization and accordingly, the tax-free reorganization will be accounted for in an as-if pooling of interests. The combination will be accomplished by an acquisition of the net assets of U.S. Large Cap Core Equity Portfolio in exchange for Class 1 shares of Diversified Equity Portfolio at net asset value. The Pro Forma statements have been prepared as though the combination had been effective on June 30, 2008. The unaudited Pro Forma Statement of Operations reflects the results of the Portfolios for the twelve months ended June 30, 2008, as if the reorganization occurred on July 1, 2007. These Pro Forma statements have been derived from the books and records of the Portfolios utilized in calculating daily net asset values at the dates indicated above in conformity with U.S. generally accepted accounting principles. The historical cost of investment securities will be carried forward to the surviving entity and the results of operations for pre-combination periods of Diversified Equity Portfolio will not be restated. The fiscal year end is December 31 for the U.S. Large Cap Core Equity Portfolio and Diversified Equity Portfolio.
The Pro Forma combined statements should be read in conjunction with the historical financial statements of each Portfolio, which have been incorporated by reference from their respective Statement of Additional Information.
2. Summary of Significant Accounting Policies
The following is a summary of significant accounting policies which are consistently followed by U.S. Large Cap Core Equity Portfolio and Diversified Equity Portfolio in the preparation of its financial statements. The policies are in conformity with generally accepted accounting principles. Preparation of the financial statements includes the use of management estimates. Actual results could differ from those estimates.
A. Security Valuation — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Portfolio are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from third party broker-dealers of comparable securities or independent or affiliated pricing services approved by the Board of Trustees. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments (other than certain high yield securities) maturing in less than 61 days are valued at amortized cost, which approximates market value. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated
JPMorgan U.S Large Cap Core Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Portfolio applies fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Portfolio’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Portfolio calculates its net asset value.
In September 2006, the Statement of Financial Accounting Standards No. 157 — Fair Value Measurements — (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. SFAS 157 requires disclosure surrounding the various inputs that are used in determining the fair value of the Portfolio’s investments. These inputs are summarized into the three broad levels listed below.
• 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 Portfolio’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of June 30, 2008 in valuing the Portfolios’ assets and liabilities carried at fair value:
U.S. Large Cap Core Equity Portfolio
Valuation Inputs | Investment In Securities | Other Financial Instruments* |
Level 1 | $39,131,359 | $— |
Level 2 | — | — |
Level 3 | — | — |
Total | $39,131,359 | $— |
* Other financial instruments include futures, forwards and swap contracts.
Diversified Equity Portfolio
Valuation Inputs | Investment In Securities | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $182,734,564 | $— | $(35,162) |
Level 2 | 378,687 | — | — |
Level 3 | — | — | — |
Total | $183,113,251 | $— | $(35,162) |
* Other financial instruments include futures, forwards and swap contracts.
JPMorgan U.S Large Cap Core Equity Portfolio
JPMorgan Insurance Trust Diversified Equity Portfolio
Notes to Pro Forma Financial Statements (unaudited)
June 30, 2008
Combined Portfolio
Valuation Inputs | Investment In Securities | Appreciation in Other Financial Instruments* | Depreciation in Other Financial Instruments* |
Level 1 | $221,865,923 | $— | $(35,162) |
Level 2 | 378,687 | — | — |
Level 3 | — | — | — |
Total | $222,244,610 | $— | $(35,162) |
* Other financial instruments include futures, forwards and swap contracts.
B. Shares of Beneficial Interest — The Po Forma Class 1 shares net asset value per share assumes the issuance of 2,671,175 Class 1 shares of Diversified Equity Portfolio in exchange for 2,805,141 shares of by U.S. Large Cap Core Equity Portfolio.
C. Federal Income Taxes — EachPortfolio has elected to be taxed as a “regulated investment company” under the Internal Revenue Code. After the acquisition, Diversified Equity Portfolio intends to continue to qualify as a regulated investment company, if such qualification is in the best interest of its shareholders, by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of taxable income sufficient to relieve it from all, or substantially all, Federal income taxes.
PART C
OTHER INFORMATION
Item 15. | Indemnification |
Limitation of Liability and Indemnification provisions for Trustees, Shareholders, officers, employees and agents of Registrant are set forth in Article V, Sections 5.1 through 5.3 of the Amended and Restated Declaration of Trust.
SECTION 5.1. No Personal Liability of Shareholders, Trustees, Etc. No Shareholder as such shall be subject to any personal liability whatsoever to any Person in connection with Trust Property or the acts, obligations or affairs of the Trust. No Trustee, officer, employee or agent of the Trust shall be subject to any personal liability whatsoever to any Person, other than the Trust or its Shareholders, in connection with Trust Property or the affairs of the Trust, save only that arising from bad faith, willful misfeasance, gross negligence or reckless disregard for his or her duty to, such Person; and all such Persons shall look solely to the Trust Property for satisfaction of claims of any nature arising in connection with the affairs of the Trust. If any shareholder, Trustee, officer, employee or agent, as such, of the Trust is made a party to any suit or proceeding to enforce any such liability, he or she shall not, on account thereof, be held to any personal liability. The Trust shall indemnify and hold each Shareholder harmless from and against all claims and liabilities to which such Shareholder may become subject by reason of his or her being or having been a Shareholder, and shall reimburse such Shareholder for all legal and other expenses reasonably incurred by him or her in connection with any such claim or liability. The rights accruing to a Shareholder under this Section 5.1 shall not exclude any other right to which such Shareholder may be lawfully entitled, nor shall anything herein contained restrict the right of the Trust to indemnify or reimburse a Shareholder in any appropriate situation even though not specifically provided herein.
SECTION 5.2. Non-Liability of Trustees, Etc. No Trustee, officer, employee or agent of the Trust shall be liable to the Trust, its Shareholders, or to any Shareholder, Trustee, officer, employee or agent thereof for any action or failure to act (including without limitation the failure to compel in any way any former or acting Trustee to redress any breach of trust) except for his or her own bad faith, willful misfeasance, gross negligence or reckless disregard of his or her duties.
SECTION 5.3. Mandatory Indemnification. (a) Subject to the exceptions and limitations contained in paragraph (b) below:
(i) Every person who is, or has been a Trustee or officer of the Trust shall be indemnified by the Trust against all liability and against all expenses reasonably incurred or paid by him or her in connection with any claims, action, suit or proceeding in which he or she becomes involved as a party or otherwise by virtue of his or her being or having been a Trustee or officer and against amounts paid or incurred by him or her in the settlement thereof.
(ii) The words “claim”, “action”, “suit” or “proceeding” shall apply to all claims, actions, suits or proceedings (civil, criminal or other, including appeals), actual or threatened; and the words “liability” and “expenses” shall include, without limitations, attorneys’ fees, costs, judgments, amounts paid in settlement, fines, penalties and other liabilities.
(b) No indemnification shall be provided hereunder to a Trustee or officer:
(i) against any liability to the Trust or the Shareholders by reason of a final adjudication by the court or other body before which the proceeding was brought that he or she engaged in willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his or her office;
(ii) with respect to any matter as to which he or she shall have been finally adjudicated not to have acted in good faith in the reasonable belief that his or her action was in the best interest of the Trust;
(iii) in the event of a settlement or other disposition not involving a final adjudication as provided in paragraphs (b)(i) or (b)(ii) resulting in payment by a Trustee or officer, unless there has been either a
determination that such Trustee or officer did not engage in willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his or her office by the court or other body approving the settlement or other disposition or a reasonable determination, based upon a review of readily available facts (as opposed to a full trial-type inquiry) that he or she did not engage in such conduct:
(A) by vote of a majority of the Disinterested Trustees acting on the matter (provided that a majority of the Disinterested Trustees then in office act on the matter); or
(B) by written opinion of independent legal counsel.
(c) The rights of indemnification herein provided may be insured against by policies maintained by the Trust, shall be severable, shall not affect any other rights to which any Trustee or officer may now or hereafter be entitled, shall continue as to a Person who has ceased to be such Trustee or officer and shall inure to the benefit of the heirs, executors and administrators of such Person. Nothing contained herein shall affect any rights to indemnification to which personnel other than Trustees and officers may be entitled by contract or otherwise under law.
(d) Expenses of preparation and presentation of a defense to any claim, action, suit or proceeding of the character described in paragraph (a) of this Section 5.3 shall be advanced by the Trust prior to final disposition thereof upon receipt of any undertaking by or on behalf of the recipient to repay such amount if it is ultimately determined that he or she is not entitled to indemnification under this Section 5.3, provided that either:
(i) such undertaking is secured by a surety bond or some other appropriate security or the Trust shall be insured against losses arising out of any such advances; or
(ii) a majority of the Disinterested Trustees acting on the matter (provided that a majority of the Disinterested Trustees then in office act on the matter) or an independent legal counsel in a written opinion, shall determine, based upon a review of readily available facts (as opposed to a full trial-type inquiry), that there is reason to believe that the recipient ultimately will be found entitled to indemnification.
As used in this Section 5.3, a “Disinterested Trustee” is one (i) who is not an “Interested Person” of the Trust (including anyone who has been exempted from being an “Interested Person” by any rule, regulation or order of the Commission), and (ii) against whom none of such actions, suits or other proceedings or another action, suit or other proceeding on the same or similar grounds is then or had been pending.
Agents and employees of the Trust who are not Trustees or officers of the Trust may be indemnified under the same standards and procedures set forth in this Section 5.3, in the discretion of the Board.
Insofar as indemnification for liability arising under the Securities Act of 1933 may be permitted to Trustees, officers and controlling persons of the Registrant pursuant to the Registrant’s Bylaws, or otherwise, the Registrant has been advised that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Act and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the Registrant of expenses incurred or paid by a Trustee, officer or controlling person of the Registrant in the successful defense of any action, suit or proceeding) is asserted by such Trustee, officer or controlling person in connection with the securities being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issue.
Item 16. | Exhibits |
(1) | Seventh Amended and Restated Declaration of Trust, effective November 13, 2008. Filed herewith. |
(2) | Amended and Restated By-Laws of JPMorgan Insurance Trust, dated January 16, 2007. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on March 1, 2007 (Accession Number 0001145443-07-000534). |
(3) | Not Applicable |
(4)(a) | Form of Agreement and Plan of Reorganization between JPMorgan Insurance Trust and J.P. Morgan Series Trust II. Filed herewith. |
(4)(b) | Form of Agreement and Plan of Reorganization by JPMorgan Insurance Trust on behalf of JPMorgan Insurance Trust Core Bond Portfolio and JPMorgan Insurance Trust Government Bond Portfolio. Filed herewith. |
(5) | Rights of Shareholders. |
THE FOLLOWING PORTIONS OF REGISTRANT’S AMENDED AND RESTATED DECLARATION OF TRUST FILED HEREWITH DEFINE THE RIGHTS OF SHAREHOLDERS:
SECTION 5.1. No Personal Liability of Shareholders, Trustees, Etc. No Shareholder as such shall be subject to any personal liability whatsoever to any Person in connection with Trust Property or the acts, obligations or affairs of the Trust. No Trustee, officer, employee or agent of the Trust shall be subject to any personal liability whatsoever to any Person, other than the Trust or its Shareholders, in connection with Trust Property or the affairs of the Trust, save only that arising from bad faith, willful misfeasance, gross negligence or reckless disregard for his or her duty to, such Person; and all such Persons shall look solely to the Trust Property for satisfaction of claims of any nature arising in connection with the affairs of the Trust. If any shareholder, Trustee, officer, employee or agent, as such, of the Trust is made a party to any suit or proceeding to enforce any such liability, he or she shall not, on account thereof, be held to any personal liability. The Trust shall indemnify and hold each Shareholder harmless from and against all claims and liabilities to which such Shareholder may become subject by reason of his or her being or having been a Shareholder, and shall reimburse such Shareholder for all legal and other expenses reasonably incurred by him or her in connection with any such claim or liability. The rights accruing to a Shareholder under this Section 5.1 shall not exclude any other right to which such Shareholder may be lawfully entitled, nor shall anything herein contained restrict the right of the Trust to indemnify or reimburse a Shareholder in any appropriate situation even though not specifically provided herein.
SECTION 6.1. Beneficial Interest. The interest of the beneficiaries hereunder shall be divided into transferable shares of beneficial interest, without par value, of one or more series, pursuant to Section 6.9. The Trustees may divide each series into one or more Classes. The number of shares of beneficial interest authorized hereunder is unlimited. All Shares issued hereunder including, without limitation, Shares issued in connection with a dividend in Shares or a split of Shares, shall be fully paid and non-assessable.
Without limiting the authority of the Trustees set forth in Section 6.9 to establish and designate any further series or Class or to classify or reclassify all or any part of the issued Shares of any series or Class to make them part of an existing or newly created series or Class or to amend rights and preferences of new or existing series or Class, including the following as set forth in the table below, all without Shareholder approval, there are hereby established and designated, subject to the provisions and rights of this Declaration:
Series Name |
| Classes |
JPMorgan Insurance Trust Balanced Portfolio |
| Class 1 |
JPMorgan Insurance Trust Core Bond Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Diversified Equity Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Diversified Mid Cap Growth Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Diversified Mid Cap Value Portfolio |
| Class 1 |
JPMorgan Insurance Trust Equity Index Portfolio |
| Class 1 |
JPMorgan Insurance Trust Government Bond Portfolio |
| Class 1 |
JPMorgan Insurance Trust International Equity Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Intrepid Mid Cap Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Intrepid Growth Portfolio |
| Class 1, Class 2 |
JPMorgan Insurance Trust Small Cap Equity Portfolio |
| Class 1, Class 2 |
SECTION 6.2. Rights of Shareholders. The ownership of the Trust Property of every description and the right to conduct any business hereinbefore described are vested exclusively in the Trustees, and the Shareholders shall have no interest therein other than the beneficial interest conferred by their Shares, and they shall have no right to call for any partition or division of any property, profits, rights or interests of the Trust, nor can they be called upon to assume any losses of the Trust or suffer an assessment of any kind by virtue of their ownership of Shares. The Shares shall be personal property giving only the rights in the Declaration specifically set forth. The Shares shall not entitle the holder to preference, pre-emptive, appraisal, conversion or exchange rights, except as the Trustees may determine with respect to any series of Shares.
SECTION 6.3. Trust Only. It is the intention of the Trustees to create only the relationship of Trustee and beneficiary between the Trustees and each Shareholder from time to time. It is not the intention of the Trustees to create a general partnership, limited partnership, joint stock association, corporation, bailment or any form of legal relationship other than a Trust. Nothing in the Declaration shall be construed to make the Shareholders, either by themselves or with the Trustees, partners or members of a joint stock association.
SECTION 6.4. Issuance or Shares. The Trustees, in their discretion, may, from time to time without vote of Shareholders, issue Shares, in addition to the then issued and outstanding Shares and Shares held in the treasury to such party or parties and for such amount and type of consideration, including cash or property, at such time or times (including, without limitation, each business day in accordance with the determination of net asset value per Share as set forth in Section 8.3 hereof), and on such terms as the Trustees may deem best, and may in such manner acquire other assets (including the acquisition of assets subject to, and in connection with the assumption of liabilities) and businesses. In connection with any issuance of Shares, the Trustees may issue fractional Shares. The Trustees may from time to time divide or combine the Shares into a greater or lesser number without thereby changing the proportionate beneficial interests in the Trust. Contributions to the Trust may be accepted for, and Shares shall be redeemed as, whole shares and/or 1/1,000ths of a Share or integral multiples thereof.
SECTION 6.5. Register of Shares; Share Certificates. A register will be kept at the principal office of the Trust or at an office of the Transfer Agent which shall contain the names and addresses of the Shareholders and the number of Shares held by them respectively and a record of all transfers thereof. Such register shall be conclusive as to who are the holders of the Shares and who shall be entitled to receive dividends or distributions or otherwise to exercise or enjoy the rights of Shareholders. No Shareholder shall be entitled to receive payment of any dividend or distribution, nor to have notice given to him or her as herein or in the Bylaws provided, until he or she has given his or her address to the Transfer Agent or such other officer or agent of the Trustees as shall keep the said register for entry thereon. It is not contemplated that certificates will be issued for the Shares; however, the Trustees, in their discretion, may authorize the issuance of Share certificates and promulgate appropriate rules and regulations as to their use.
SECTION 6.6. Transfer of Shares. Shares shall be transferable on the records of the Trust only by the recordholder thereof or by his or her agent thereunto duly authorized in writing, upon delivery to the Trustees or the Transfer Agent of a duly executed instrument of transfer, together with such evidence of the genuineness of each such election and authorization and of other matters as may reasonably be required. Upon such delivery, the transfer shall be recorded on the register of the Trust. Until such record is made, the Shareholder of record shall be deemed to be the holder of such Shares for all purposes hereunder and neither the Trustees nor any Transfer Agent or registrar nor any officer, employee or agent of the Trust shall be affected by any notice of the proposed transfer.
Any person becoming entitled to any Shares in consequence of the death, bankruptcy, or incompetence of any Shareholder, or otherwise by operation of law, shall be recorded on the register of Shares as the holder of such Shares upon production of the proper evidence thereof to the Trustees or the Transfer Agent, but until such record is made, the Shareholder of record shall be deemed to be the holder of such Shares for all purposes hereunder and neither the Trustees nor any Transfer Agent or registrar nor any officer, employee or agent of the Trust shall be affected by notice of the proposed transfer.
SECTION 6.7. Notices. Any and all notices to which any Shareholder may be entitled and any and all communications shall be deemed duly served or given if mailed, postage prepaid, addressed to any Shareholder of record at his or her last known address as recorded on the register of the Trust.
SECTION 6.8. Voting Powers. The Shareholders shall have power to vote only (i) for the election of Trustees as provided in Section 2.2 hereof or as required by Section 16(a) of the 1940 Act; (ii) with respect to any investment advisory or management contract as provided in Section 4.1; (iii) with respect to termination of the Trust as provided in Section 9.2; (iv) with respect to any amendment of the Declaration to the extent and as provided in Section 9.3.; (v) with respect to any merger, consolidation or sale of assets as provided in Section 9.4; (vi) with respect to incorporation of the Trust to the extent and as provided in Section 9.5.; (vii) to the same extent as the stockholders of a Massachusetts business corporation as to whether or not a court action, proceeding or claim should or should not be brought or maintained derivatively or as a class action on behalf of the Trust or the Shareholders; and (viii) with respect to such additional matters relating to the Trust as may be required by the Declaration, the Bylaws, the 1940 Act or any registration of the Trust with the Commission (or any successor agency) or any state, or as the Trustees may consider necessary or desirable. Each whole Share shall be entitled to one vote as to any matter on which it is entitled to vote and each fractional Share shall be entitled to proportionate fractional vote, except that Shares held in the treasury of the Trust shall not be voted and that the Trustees may, in conjunction with the establishment of any series of Shares, establish conditions under which the several series shall have separate voting rights or no voting rights. There shall be no cumulative voting in the election of Trustees. Until Shares are issued, the Trustees may exercise all rights of Shareholders and may take any action required by law, the Declaration or the Bylaws to be taken by Shareholders. The Bylaws may include further provisions for Shareholders’ votes and meetings and related matters.
SECTION 6.9. Series or Class Designation. The Trustees, in their discretion, may authorize the division of Shares into series or multiple Classes of the authorized series, and the different series shall be established and designated, and the variations in the relative rights and preferences as between the different series or Classes shall be fixed and determined by the Trustees, provided that all Shares shall be identical, except that there may be variations so fixed and determined between different series or Classes as to investment objective, purchase price, right of redemption and the price, terms and manner of redemption, special and relative rights as to dividends and on liquidation, conversion rights, and conditions under which the several series or Classes shall have separate voting rights. All references to Shares in the Declaration shall be deemed to be shares of any or all series or Class as the context may require.
If the Trustees shall divide the shares of the Trust into two or more series or Classes, the following provisions shall be applicable:
(a) The number of authorized shares and the number of shares of each series or Class that may be issued shall be unlimited. The Trustees may classify or reclassify any unissued shares or any shares previously issued and reacquired of any series or Class into one or more series or Class that may be established and designated from time to time. The Trustees may hold as treasury shares (of the same or some other series or Class), reissue for such consideration and on such terms as they may determine, or cancel any shares of any series reacquired by the Trust at their discretion from time to time.
(b) The power of the Trustees to invest and reinvest the Trust Property shall be governed by Section 3.2 of this Declaration with respect to the 12 existing series which represents the interests in the assets of the Trust immediately prior to the establishment of any additional series and the power of the Trustees to invest and reinvest assets applicable to any such additional series shall be as set forth in the instrument of the Trustees establishing such series, which is hereinafter described.
(c) All consideration received by the Trust for the issue or sale of shares of a particular series, together with all assets in which such consideration is invested or reinvested, all income, earnings, profits and proceeds thereof, including any proceeds derived from the sale, exchange or liquidation of such assets, and any funds or payments derived from any reinvestment of such proceeds in whatever form the same may be, shall irrevocably belong to that series for all purposes, subject only to the rights of creditors, and shall be so recorded upon the books of account of the Trust. In the event that there are any assets, income, earnings, profits, and proceeds thereof, funds, or payments which are not readily identifiable as belonging to any particular series, the Trustees shall allocate them among any one or more of the series established and
designated from time to time in such manner and on such basis as they, in their sole discretion, deem fair and equitable. Each such allocation by the Trustees shall be conclusive and binding upon the shareholders of all series for all purposes.
(d) The assets belonging to each particular series shall be charged with the liabilities of the Trust in respect of that series and all expenses, costs, charges and reserves attributable to that series, except that all expenses, costs, charges and reserves attributable solely to a particular Class shall be borne by that Class. Any general liabilities, expenses, costs, charges or reserves of the Trust which are not readily identifiable as belonging to any particular series or Class shall be allocated and charged by the Trustees to and among any one or more of the series established and designated from time to time in such manner and on such basis as the Trustees, in their sole discretion, deem fair and equitable. Each allocation of liabilities, expenses, costs, charges and reserves by the Trustees shall be conclusive and binding upon the holders of all series and Classes for all purposes. The Trustees shall have full discretion, to the extent not inconsistent with the 1940 Act, to determine which items shall be treated as income and which items as capital; and each such determination and allocation shall be conclusive and binding upon the shareholders.
(e) All the Shares of each particular series shall represent an equal proportionate interest in the assets held with respect to that series (subject to the liabilities held with respect to that series or Class thereof and such rights and preferences as may have been established and designated with respect to any Class within such series), and each Share of any particular series shall be equal to each other Share of that series. With respect to any Class of a series, each such Class shall represent interests in the assets of that series and have the same voting, dividend, liquidation and other rights and terms and conditions as each other Class of that series, except that expenses allocated to a Class may be borne solely by such Class as determined by the Trustees and a Class may have exclusive voting rights with respect to matters affecting only that Class.
(f) The power of Trustees to pay dividends and make distributions shall be governed by Section 8.2 of this Declaration with respect to the 12 existing series which represents the interests in the assets of the Trust immediately prior to the establishment of any additional series. With respect to any other series or Class, dividends and distributions on shares of a particular series or Class may be paid with such frequency as the Trustees may determine, which may be daily or otherwise, pursuant to a standing resolution or resolutions adopted only once or with such frequency as the Trustees may determine, to the holders of shares of that series or Class, from such of the income and capital gains, accrued or realized, from the assets belonging to that series, as the Trustees may determine, after providing for actual and accrued liabilities belonging to that series or Class. All dividends and distributions on shares of a particular series shall be distributed pro rata to the holders of that series in proportion to the number of shares of that series or Class held by all such holders at the date and time of record established for the payment of such dividends or distributions.
The dividends and distributions of investment income and capital gains with respect to Shares of a Class of a series shall be in such amount as may be declared from time to time by the Trustees, and such dividends and distributions may vary between the Classes to reflect differing allocations of the expenses of the Trust between the Classes to such extent and for such purposes as the Trustees may deem appropriate.
The establishment and designation of any additional series or Class of shares shall be effective upon the execution by a majority of the then Trustees of an instrument setting forth such establishment and designation and the relative rights and preferences of such series, or as otherwise provided in such instrument. At any time that there are no shares outstanding of any particular series previously established and designated, the Trustees may, by an instrument executed by a majority of their number, abolish that series and the establishment and designation thereof. Each instrument referred to in this paragraph shall have the status of an amendment to this Declaration.
SECTION 7.1. Redemptions. In case any Shareholder at any time desires to dispose of his or her Shares, he or she may deposit his or her certificate or certificates therefore, duly endorsed in blank or accompanied by an instrument of transfer executed in blank, or if the Shareholder has no certificates, a written request or other such form of request as the Trustees may from time to time authorized, at the office of the Transfer Agent or at the office of any bank or trust company, either in or outside of Massachusetts, which is a member of the Federal Reserve System and which the said Transfer Agent has designated in writing for that purpose, together with an irrevocable offer in writing in a form acceptable to the Trustees to
sell the Shares represented thereby to the Trust at the net asset value thereof per Share, determined as provided in Section 8.1 thereof, next after such deposit. Payment for said Shares shall be made to the Shareholder within seven (7) days after the date on which the deposit is made, unless: (i) the date of payment is postponed pursuant to Section 7.2 hereof, or (ii) the receipt, or verification of receipt, of the purchase price for the Shares to be redeemed is delayed, in either of which event payment may be delayed beyond seven (7) days.
SECTION 7.2. Suspension of Right of Redemption. The Trust may declare a suspension of the right of redemption or postpone the date of payment or redemption for the whole or any part of any period (i) during which the New York Stock Exchange is closed other than customary weekend and holiday closing; (ii) during which trading on the New York Stock Exchange is restricted; (iii) during which an emergency exists as a result of which disposal by the Trust of securities owned by it is not reasonably practicable or it is not reasonably practicable for the Trust fairly to determine the value of its net assets; or (iv) during any other period when the Commission may for the protection of security holders of the Trust by order permit suspension of the right of redemption or postponement of the date of payment or redemption; provided that applicable rules and regulations of the Commission shall govern as to whether the conditions prescribed in (ii), (iii), or (iv) exist. Such suspension shall take effect at such time as the Trust shall specify, but not later than the close of business on the business day next following the declaration of suspension, and thereafter there shall be no right of redemption until the Trust shall declare the suspension at an end, except that the suspension shall terminate in any event on the first day on which said stock exchange shall have reopened or the period specified in (ii) or (iii) shall have expired (as to which, in the absence of an official ruling by the Commission, the determination of the Trust shall be conclusive). In the case of a suspension of the right of redemption, a Shareholder may either withdraw his or her request for redemption or receive payment based on the net asset value existing after the termination of the suspension.
SECTION 7.3. Redemption of Shares; Disclosure of Holding. If the Trustees shall, at any time and in good faith, be of the opinion that direct or indirect ownership of Shares or other securities of the Trust has or may become concentrated in any Person to an extent which would disqualify the Trust as a regulated investment company under the Internal Revenue Code, then the Trustees shall have the power by lot or other means deemed equitable by them (i) to call for redemption by any such Person of a number, or principal amount, of Shares or other securities of the Trust sufficient to maintain or bring the direct or indirect ownership of Shares or other securities of the Trust into conformity with the requirements for such qualification; and (ii) to refuse to transfer or issue Shares or other securities of the Trust to any Person whose acquisition of the Shares or other securities of the Trust in question would result in such disqualification. The redemption shall be effected at the redemption price and in the manner provided in Section 7.1.
The holders of Shares or other securities of the Trust shall upon demand disclose to the Trustees in writing such information with respect to direct and indirect ownership of Shares or other securities of the Trust as the Trustees deem necessary to comply with the provisions of the Internal Revenue Code, or to comply with the requirements of any other authority.
SECTION 7.4. Redemptions of Accounts of Less Than $500. The Trustees shall have the power at any time to redeem Shares of any Shareholder at a redemption price determined in accordance with Section 7.1, if at such time the aggregate net asset value of the Shares in such Shareholder’s account is less than $500. A Shareholder will be notified that the value of his or her account is less than $500 and allowed thirty (30) days to make an additional investment before redemption is processed.
SECTION 8.1. Net Asset Value. For all purposes under this Declaration of Trust, the net asset value shall be determined by the Trustees as soon as possible after the close of the New York Stock Exchange on each business day upon which such Exchange is open, such net asset value to become effective one hour after such close and remain in effect until the next determination of such net asset value becomes effective; provided, however, that the Trustees may in their discretion make a more frequent determination of the net asset value which shall become effective one hour after the time as of which such net asset value is determined.
Such net asset value shall be determined in the following manner:
(a) All securities listed on any recognized Exchange shall be appraised at the quoted closing sale prices and in the even that there was no sale of any particular security on such day the quoted closing bid price thereof shall be used, or if any such security was not quoted on such day or if the determination of the net asset value is being made as of a time other than the close of the New York Stock Exchange, then the same shall be appraised in such manner as shall be deemed by the Trustees to reflect its fair value.
All other securities and assets of the Trust, including cash, prepaid and accrued items, and dividends receivable, shall be appraised in such manner as shall be deemed by the Trustees to reflect their fair value.
(b) From the total value of the Trust Property as so determined shall be deducted the liabilities of the Trust, including reserves for taxes, and such expenses and liabilities of the Trust as may be determined by the Trustees to be accrued liabilities.
(c) The resulting amount shall represent the net asset value of the Trust Property. The net asset value of a Share of any series or Class shall be the result of the division of the net asset value of the underlying assets of that series or Class by the number of shares of that series or Class outstanding. The net asset value of the Trust Property and shares as so determined shall be final and conclusive.
SECTION 8.2. Distributions to Shareholders. The Trustees shall from time to time distribute ratably among the Shareholders such proportion of the net profits, surplus (including paid-in surplus), capital, or assets held by the Trustees as they may deem proper. Such distribution may be made in cash or property (including without limitation any type of obligations of the Trust or any assets thereof), and the Trustees may distribute ratably among the Shareholders additional Shares issuable hereunder in such manner, at such times, and on such terms as the Trustees may deem proper. Such distributions may be among the Shareholders of record at the time of declaring a distribution or among the Shareholders of record at such later date as the Trustees shall determine. The Trustees may always retain from the net profits such amount s they may deem necessary to pay the debts or expenses of the Trust or to meet obligations of the Trust, or as they may deem desirable to use in the conduct of its affairs or to retain for future requirements or extensions of the business. The Trustees may adopt and offer to Shareholders such dividend reinvestment plans, cash dividend payout plans or related plans as the Trustees shall deem appropriate.
Inasmuch as the computation of net income and gains for Federal Income Tax purposes may vary from the computation thereof on the books, the above provisions shall be interpreted to give the Trustees the power in their discretion to distribute for any fiscal year as ordinary dividends and as capital gains distributions, respectively, additional amounts sufficient to enable the Trust to avoid or reduce liability for taxes.
SECTION 8.3. Determination of Net Income. The term “net income” with respect to a series or Class of Shares is hereby defined as the gross earnings of the series or Class, excluding gains on sales of securities and stock dividends received, less the expenses of the Trust allocated to the series or Class by the Trustees in such manner as they determine to be fair and equitable or otherwise chargeable to the series or Class. The expenses shall include (1) taxes attributable to the income of the Trust exclusive of gains on sales, and (2) other charges properly deductible for the maintenance and administration of the Trust; but there shall not be deducted from gross or net income any losses on securities, realized or unrealized. The Trustees shall otherwise have full discretion to determine which items shall be treated as income and which items as capital and their determination shall be binding upon the Beneficiaries.
SECTION 8.4. Power to Modify Foregoing Procedures. Notwithstanding any of the foregoing provisions of this Article VIII, the Trustees may prescribe, in their absolute discretion, such other bases and times for determining the per Share net asset value of the Shares or net income, or the declaration and payment of dividends and distributions s they may deem necessary or desirable. Without limiting the generality of the foregoing, the Trustees may establish additional series or Classes of Shares in accordance with Section 6.9.
SECTION 9.2. Termination of Trust. (a) The Trust, or any series or Class, must be terminated:
(i) by the affirmative vote of the holders of not less than two-thirds of the Shares outstanding and entitled to vote at any meeting of Shareholders, or (ii) by an instrument in writing, without a meeting, signed
by a majority of the Trustees and consented to by the holders of not less than two-thirds of such Shares, or by such other vote as may be established by the Trustees with respect to any series or Class of Shares, or (iii) by the Trustees by written notice to the Shareholders.
Upon the termination of the Trust:
(i) The Trust shall carry on no business except for the purpose of winding up its affairs.
(ii) The Trustees shall proceed to wind up the affairs of the Trust and all of the powers of the Trustees under this Declaration shall continue until the affairs of the Trust shall have been wound up, including the power to fulfill or discharge the contracts of the Trust, collect its assets, sell, convey, assign, exchange, transfer or otherwise dispose of all or any part of the remaining Trust Property to one or more persons at public or private sale for consideration which may consist in whole or in part of cash, securities or other property of any kind, discharge or pay its liabilities, and to do all other acts appropriate to liquidate its business; provided that any sale, conveyance, assignment, exchange, transfer or other disposition of all or substantially all the Trust Property shall require Shareholder approval in accordance with Section 9.4 hereof.
(iii) After paying or adequately providing for the payment of all liabilities, and upon receipt of such releases, indemnities and refunding agreements, as they deem necessary for their protection, the Trustees may distribute the remaining Trust Property, in cash or in kind or partly each, among the Shareholders according to their respective rights.
(iv) After termination of the Trust and distribution to the Shareholders as herein provided, a majority of the Trustees shall execute and lodge among the records of the Trust an instrument in writing setting forth the fact of such termination, and the Trustees shall thereupon be discharged from all further liabilities and duties hereunder, and the rights and interests of all Shareholders shall thereupon cease.
SECTION 9.3. Amendment Procedure. (a) This Declaration may be amended by a Majority Shareholder Vote or by any instrument in writing, without a meeting, signed by a majority of the Trustees and consented to by the holders of not less than a majority of the Shares outstanding and entitled to vote. The Trustees may also amend this Declaration without the vote or consent of Shareholders to designate series or Classes in accordance with Section 6.9 hereof, to change the name of the Trust, to supply any omission, to cure, correct or supplement any ambiguous, defective or inconsistent provision hereof, or if they deem it necessary to conform this Declaration to the requirements of applicable federal laws or regulations or the requirements of the regulated investment company provisions of the Internal Revenue Code, but the Trustees shall not be liable for failing to do so.
(b) No amendments may be made under this Section 9.3 which would change any rights with respect to any Shares of the Trust by reducing the amount payable thereon upon liquidation of the Trust or by diminishing or eliminating any voting rights pertaining thereto, except with the vote or consent of the holders of two-thirds of the Shares outstanding and entitled to vote, or by such other vote as may be established by the Trustees with respect to any series of Shares. Nothing contained in this Declaration shall permit the amendment of this Declaration to impair the exemption from personal liability of the Shareholders, Trustees, officers, employees and agents of the Trust or to permit assessments upon Shareholders.
(c) A certificate signed by a majority of the Trustees setting forth an amendment and reciting that it was duly adopted by the Shareholders or by the Trustees as aforesaid or a copy of the Declaration, as amended, and executed by a majority of the Trustees, shall be conclusive evidence of such amendment when lodged among the records of the Trust.
SECTION 9.4. Merger, Consolidation and Sale of Assets. The Trust may merge or consolidate with any other corporation, association, trust or other organization or may sell, lease or exchange all or substantially all of the Trust Property, including its goodwill, upon such terms and conditions and for such consideration when and as authorized at any meeting of Shareholders called for the purpose by affirmative vote of the holders of not less than two-thirds of the Shares outstanding and entitled to vote, or by an instrument or instruments in writing without a meeting, consented to by the holders of not less than two-thirds of such Shares, or by such other vote as may be established by the Trustees with respect to any series of Shares; provided, however, that, if such merger, consolidation, sale, lease or exchange is recommended by
the Trustees, the vote or written consent of the holders of a majority of Shares outstanding and entitled to vote, or by such other vote as may be established by the Trustees with respect to any series of Shares, shall be sufficient authorization; and any such merger, consolidation, sale, lease or exchange shall be deemed for all purposes to have been accomplished under and pursuant to the statutes of the Commonwealth of Massachusetts.
SECTION 9.5. Incorporation. With the approval of the holders of a majority of the Shares outstanding and entitled to vote, or by such other vote as may be established by the Trustees with respect to any series of Shares, the Trustees may cause to be organized or assist in organizing a corporation or corporations under the laws of any jurisdiction or any other trust, partnership, association or other organization to take over all of the Trust Property or to carry on any business in which the Trust shall directly or indirectly have any interest, and to sell, convey and transfer the Trust Property to any such corporation, trust, association or organization in exchange for the shares or securities thereof or otherwise, and to lend money to, subscribe for the shares or securities of, and enter into any contracts with any such corporation, trust, partnership, association or organization in which the Trust holds or is about to acquire shares or any other interest. The Trustees may also cause a merger or consolidation between the Trust or any successor thereto and any such corporation, trust, partnership, association or other organization if and to the extent permitted by law, as provided under the law then in effect. Nothing contained herein shall be construed as requiring approval of Shareholders for the Trustees to organize or assist in organizing one or more corporations, trusts, partnerships, associations or other organizations and selling, conveying or transferring a portion of the Trust Property to such organization or entities.
ARTICLE X
Reports To Shareholders
The Trustees shall at least semi-annually submit to the Shareholders a written financial report of the transactions of the Trust, including financial statements which shall at least annually be certified by independent public accountants.
THE FOLLOWING PORTIONS OF REGISTRANT’S BYLAWS FILED HEREWITH DEFINE THE RIGHTS OF SHAREHOLDERS:
ARTICLE III
Shareholders
SECTION 1. Meetings. There is no requirement that the Trustees have annual meetings of the Shareholders. In the event the Trustees determine to have an annual meeting of the Shareholders, it shall be held at such place within or without the Commonwealth of Massachusetts on such day and at such time as the Trustees shall designate. Special meetings of the Shareholders may be called at any time by a majority of the Trustees and shall be called by any Trustee upon written request of Shareholders holding in the aggregate not less than ten percent (10%) of the outstanding Shares having voting rights, such request specifying the purpose or purposes for which such meeting is to be called. Any such meeting shall be held within or without the Commonwealth of Massachusetts on such day and at such time as the Trustees shall authorize. The holders of a majority of outstanding Shares present in person or by proxy shall constitute a quorum at any meeting of the Shareholders.
SECTION 2. Notice of Meetings. Notice of all meetings of the Shareholders, stating the time, place and purpose of the meeting, shall be given by the Trustees by mail to each Shareholder at his address as recorded on the register of the Trust, mailed at least ten (10) days and not more than sixty (60) days before the meeting. Only the business stated in the notice of the meeting shall be considered at such meeting. Any adjourned meeting may be held as adjourned without further notice. No notice need by given to any Shareholder who shall have failed to inform the Trust of his current address or if a written waiver of notice, executed before or after the meeting by the Shareholder or his attorney thereunto authorized, is filed with the records of the meeting.
SECTION 3. Record Date for Meetings. For the purpose of determining the Shareholders who are entitled to vote at any meeting, or to participate in any distribution, or for the purpose of any other action, the Trustees may from time to time close the transfer books for such period, not exceeding thirty (30) days, as the Trustees may determine; or without closing the transfer books the Trustees may fix a date no more than ninety (90) days prior to the date of any meeting of Shareholders or distribution or other action as a record date for the determination of the persons to be treated as Shareholders of record for such purposes, except for dividend payments which shall be governed by the Declaration.
SECTION 4. Proxies. At any meeting of Shareholders, any holder of Shares entitled to vote thereat may vote by proxy, provided that no proxy shall be voted at any meeting unless it shall have been placed on file with the Secretary, or with such other officer or agent of the Trust as the Trustees may direct, for verification prior to the time at which such vote shall be taken. Pursuant to a resolution of a majority of the Trustees, proxies may be solicited in the name of one or more Trustees or one or more of the officers of the Trust. Only Shareholders of record shall be entitled to vote. Each full Share shall be entitled to one vote and fractional Shares shall be entitled to a vote of such fraction. When any Share is held jointly by several persons, any one of them may vote at any meeting in person or by proxy in respect of such Share, but if more than one of them shall be present at such meeting in person or by proxy, and such joint owners or their proxies so present disagree as to any vote to be cast, such vote shall not be received in respect of such Share. A proxy purporting to be executed by or on behalf of a Shareholder shall be deemed valid unless challenged at or prior to its exercise, and the burden of proving invalidity shall rest on the challenger. If the holder of any such Share is a minor or a person of unsound mind, and subject to guardianship or to the legal control of any other person as regards the change or management of such Share, he may vote by his guardian or such other person appointed or having such control, and such vote may be given in person or by proxy.
SECTION 5. Quorum and Required Vote. Unless a larger quorum is expressly required by any provision of applicable 1aw, the Declaration, or these Bylaws, the presence (in person or by proxy) of a majority of the Shares entitled to vote shall constitute a quorum at a meeting of Shareholders. When any one or more series or classes of Shares is to vote as a single class separate from all other Shares, a majority of the Shares of each such series or class entitled to vote shall constitute a quorum at meeting of Shareholders of such series or class. Unless a larger vote is expressly required by any provision of applicable law, the Declaration, or these Bylaws, when a quorum is present at any meeting of Shareholders, a majority of the Shares voted (in person or by proxy) shall decide any question, including the election of any Trustee, provided that, where any provision of applicable law, the Declaration, or these Bylaws requires that the holders of any one or more series or classes of Shares shall vote as a single class separate from all other Shares, a majority of the Shares of such series or class voted on the matter, including the election of any Trustee, shall decide such matter insofar as such series or class is concerned.
SECTION 6. Adjournments. Broker non-votes, if any, will be excluded from the denominator of the calculation of the number of votes required to approve any proposal to adjourn a meeting of Shareholders. Any business that might have been transacted at the meeting of Shareholders originally called may be transacted at any such adjourned meeting of Shareholders at which a quorum is present. Notice of adjournment of a meeting of Shareholders to another time or place does not need to be given if such time and place are announced at the meeting of Shareholders at which the adjournment is taken and the adjourned meeting of Shareholders is held within a reasonable time after the date set for the original meeting.
SECTION 7. Inspection of Records. The records of the Trust shall be open to inspection by Shareholders to the same extent as is permitted shareholders of a Massachusetts business corporation or as required by the 1940 Act.
(6)(a) | Amended and Restated Investment Advisory Agreement dated May 1, 2006 by and between JPMorgan Insurance Trust and JPMorgan Investment Advisors Inc. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(6)(b) | Investment Advisory Agreement dated August 15, 2006 by and between JPMorgan Insurance Trust, on behalf of JPMorgan Insurance Trust International Equity Portfolio, JPMorgan Insurance Trust Large Cap Value Portfolio and JPMorgan Insurance Trust Small Cap Equity Portfolio, and JPMorgan Investment Management Inc. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(7)(a) | Distribution Agreement between Registrant and JPMorgan Distribution Services effective May 1, 2005. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on April 26, 2005 (Accession Number 0001193125-05-085276). |
(7)(b) | Amended Schedule B to the Distribution Agreement, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(7)(c) | Amended Schedule C to the Distribution Agreement, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(7)(d) | Amended Schedule D to the Distribution Agreement, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(7)(e) | Amended Schedule E to the Distribution Agreement, amended as of March 31, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(7)(f) | Amended Schedule F to the Distribution Agreement, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(7)(g) | Form of Fund Participation Agreement between a Company, the Trust, the Trust’s investment advisers, and the Trust administrator. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(8) | Amended and Restated Deferred Compensation Plan for Trustees of One Group Mutual Funds and One Group Investment Trust is incorporated by reference to Post-Effective Amendment No. 15 to Registrant’s Registration Statement on Form N-1A filed on February 22, 2002. |
(9)(a) | Global Custody and Fund Accounting Agreement dated February 19, 2005. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(9)(b) | Amendment to Global Custody and Fund Accounting Agreement, including Schedule A, dated May 1, 2006. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(9)(c) | Amendment to Global Custody and Fund Accounting Agreement including Schedules C and D, dated as of September 1, 2007. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(9)(d) | Amendment to Global Custody and Fund Accounting Agreement including Schedules A and C, dated as of April 21, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(9)(e) | Amended Schedule A to the Global Custody and Fund Accounting Agreement, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(10)(a) | Distribution Plan for JPMorgan Insurance Trust. Incorporated herein by reference to the Registrant’s Registration Statement as filed with the Securities and Exchange Commission on June 1, 2006 (Accession Number 0001193125-06-122815). |
(10)(b) | Form of Distribution Fee Agreement. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(10)(c) | Rule 18f-3 Multi-Class Plan, adopted as of May 18, 2006, for the JPMorgan Insurance Trust. Incorporated herein reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on June 1, 2006 (Accession Number 0001193125-06-122815). |
(10)(d) | Exhibit A to the Rule 18f-3 Multi-Class Plan, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(11) | Opinion and Consent of Ropes & Gray LLP regarding legality of issuance of shares and other matters. Filed herewith. |
(12) | Consent of Ropes & Gray LLP regarding tax matters. To be filed by amendment. |
(13)(a)(1) | Transfer Agency Agreement dated as of February 19, 2005 between Registrant and Boston Financial Data Services, Inc. (“BFDS”) Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on April 26, 2005 (Accession Number 0001193125-05-085276). |
(13)(a)(2) | Amendment as of January 31, 2007 to the Transfer Agency Agreement between JPMorgan Funds and BFDS dated February 18, 2005. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on March 1, 2007 (Accession Number 0001145443-07-000534). |
(13)(a)(3) | Appendix A to the Transfer Agency Agreement (amended as of November 13, 2008). Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(b)(1) | Administration Agreement between the Trust and JPMorgan Funds Management, Inc. Incorporated by reference to Post-Effective Amendment No. 22 to the Registrant’s Registration Statement on Form N-1A filed on March 1, 2006 (Accession Number 0001193125-06-042917). |
(13)(b)(2) | Amendment, including amended Schedule A dated May 1, 2006, to the Administration Agreement. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on August 16, 2006 (Accession Number 0001193125-06-174064). |
(13)(b)(3) | Form of Amended Schedule B to the Administration Agreement (amended as of November 13, 2008). ). Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(c)(1) | Securities Lending Agreement, Amended and Restated as of August 11, 2005, between the Registrant and JPMorgan Chase Bank. Incorporated herein by reference to Post-Effective Amendment No. 23 to the Registrant’s registration statement on Form N-1A filed on April 28, 2006 (Accession Number 0001193125-06-092692). |
(13)(c)(2) | Amendment to Securities Lending Agreement, dated September 2, 2008, between the Registrant and JPMorgan Chase Bank. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(c)(3) | Securities Lending Agency Agreement, effective September 2, 2008, between the Registrant and The Goldman Sachs Trust Company. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(c)(4) | The Third Party Securities Lending Agreement, effective September 2, 2008, between the Registrant and The Goldman Sachs Trust Company. ). Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(d)(1) | Form of Servicing Agreement Filed herewith. |
(13)(d)(2) | Exhibit A to the Services Plan for JPMorgan Insurance Trust, amended as of November 13, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(e)(1) | Form of Fee Waiver Agreement for the Registrant's Portfolios (except JPMorgan Insurance Trust Small Cap Equity Portfolio, JPMorgan Insurance Trust Large Cap Value Portfolio, and JPMorgan Insurance Trust International Equity Portfolio), dated May 1, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(e)(2) | Form of Fee Waiver Agreement for the Class 2 Shares of the JPMorgan Insurance Trust Small Cap Equity Portfolio, JPMorgan Insurance Trust Large Cap Value Portfolio, and the JPMorgan Insurance International Equity Portfolio, dated May 1, 2008. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(13)(e)(3) | Form of Fee Waiver Agreement for the Class 1 Shares of JPMorgan Insurance Trust International Equity and JPMorgan Insurance Trust Small Cap Equity Portfolio. Incorporated herein by reference to the Registrant’s Registration Statement on Form N-1A as filed with the Securities and Exchange Commission on November 26, 2008 (Accession Number 0001145443-08-00324) |
(14) | Consent of independent registered accountant. Filed herewith. |
(15) | None. |
(16)(a) | Powers of Attorney for the Trustees, George C. W. Gatch and Patricia A. Maleski. Filed herewith. |
Item 17. Undertakings
(1) | The undersigned Registrant agrees that prior to any public reoffering of the securities registered trough the use of a prospectus which is a part of this registration statement by any person or part who is deemed to be an underwriter within the meaning of Rule 145(c) of the Securities Act of 1933, as amended, the reoffering prospectus will contain the information called for by the applicable registration form for reofferings by persons who may be deemed underwriters, in addition to the information called for by the other items of the applicable form. |
(2) | The undersigned Registrant agrees that every prospectus that is filed under paragraph (1) above will be filed as part of an amendment to the registration statement and will not be used until the amendment is effective, and that, in determining any liability under the Securities Act of 1933, as amended, each post-effective amendment shall be deemed to be a new registration statement for the securities offered therein, and the offering of the securities at that time shall be deemed to be the initial bona fide offering of them. |
(3) | The undersigned Registrant agrees to file in a Post-Effective Amendment to this Registration Statement a final tax opinion upon the closing of the transaction. |
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the Investment Company Act of 1940, as amended, the Registrant, JPMorgan Insurance Trust, has duly caused this Registration Statement to be signed on its behalf by the undersigned, thereto duly authorized in the City of Columbus, Ohio on the 19th day of December 2008.
| JPMorgan Insurance Trust |
| (Registrant) |
|
|
| GEORGE C.W. GATCH* |
| George C.W. Gatch* |
Pursuant to the requirements of the Securities Act of 1933, this Amendment to the Registration Statement of JPMorgan Insurance Trust has been signed below by the following persons in the capacities indicated on the 19th day of December 2008.
WILLIAM J. ARMSTRONG* |
| WILLIAM G. MORTON, JR.* |
William J. Armstrong |
| William G. Morton, Jr. |
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|
JOHN F. FINN* |
| ROBERT A. ODEN, JR.* |
John F. Finn |
| Robert A. Oden, Jr. |
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|
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DR. MATTHEW GOLDSTEIN* |
|
FERGUS REID, III* |
Dr. Matthew Goldstein |
| Fergus Reid, III |
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|
ROBERT J. HIGGINS* |
| FREDERICK W. RUEBECK* |
Robert J. Higgins |
| Frederick W. Ruebeck |
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|
|
FRANKIE D. HUGHES* |
| JAMES J. SCHONBACHLER* |
Frankie D. Hughes Trustee |
| James J. Schonbachler |
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|
|
PETER C. MARSHALL* |
| LEONARD M. SPALDING, JR.* |
Peter C. Marshall |
| Leonard M. Spalding, Jr. |
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MARILYN MCCOY* |
|
|
Marilyn McCoy |
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Principal Accounting and Financial Officer |
| Principal Executive Officer | ||
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|
By | PATRICIA A. MALESKI* |
| By | GEORGE C.W. GATCH* |
| Patricia A. Maleski |
|
| George C.W. Gatch* |
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|
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*By | /s/ Elizabeth A. Davin |
|
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|
| Elizabeth A. Davin |
|
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EXHIBIT INDEX
Exhibit No. | Description |
| (1) | Seventh Amended and Restated Declaration of Trust, effective November 13, 2008. |
| (4)(a) | Form of Agreement and Plan of Reorganization between JPMorgan Insurance Trust and J.P. Morgan Series Trust II |
| (4)(b) | Form of Agreement and Plan of Reorganization by JPMorgan Insurance Trust on behalf of JPMorgan Insurance Trust Core Bond Portfolio and JPMorgan Insurance Trust Government Bond Portfolio |
| (11) | Opinion and Consent of Ropes & Gray LLP |
| (13)(d)(1) | Form of Servicing Agreement |
| (14) | Consent of independent registered accountant |
| (16)(a) | Powers of Attorney for the Trustees, George C. W. Gatch and Patricia A. Maleski. |