Nationwide Enhanced Income Fund
Investments Resource Center
Nationwide Enhanced Income Fund
Investment Objective
Seeks a high level of current income while preserving capital and minimizing fluctuations in share value.
Investment Strategy
Under normal circumstances, the Fund invests primarily in high-grade corporate bonds, U.S. government securities and U.S. government agency securities. The Fund also may purchase mortgage-backed securities and asset-backed securities, and may invest in fixed-income securities that pay interest on either a fixed-rate or variable-rate basis.
Portfolio Management
Morley Capital Management, Inc., Subadviser
Perpetua M. Phillips and Paul Rocheleau are responsible for the
day-to-day management of the Fund, including selection of the Fund's
investments.
Nationwide Fund Distributors LLC is not affiliated with Morley Capital Management, Inc.
Additional Information
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Fund Facts Prospectus Statement of Additional Information
Shareholder reports: January Semi-Annual July Annual
Top Holdings (all classes) as of 10/30/2009
View all holdings as of 10/30/2009 | 09/30/2009 | 08/31/2009
| Holding | Percent |
|---|---|
| UNITED STATES OF AMER TREAS NOTES 3.25% TB | 2.86% |
| UNITED STATES TREAS NTS 02.125% 31/JAN/2010 | 2.38% |
| UNITED STATES TREAS NTS 2.0% 28/FEB/2010 | 1.91% |
| UNITED STATES TREAS NTS 1.000% 30/SEP/2011 | 1.90% |
| CAPITAL AUTO RECEIVABLES 5.01% BDS 16/APR/2012 | 1.23% |
| FREDDIE MAC 2629 AN-MAC 3.500% 15/JAN/2018 | 1.22% |
| HONEYWELL INTERNATIONAL INC 7.5% BDS 01/MAR/2010 | 1.22% |
| FREDDIE MAC 2628 DQ-MAC 3.000% 15/NOV/2017 | 1.15% |
| FHLMC REMIC SERIES 3574 AC 1.85% 15/AUG/2014 | 1.15% |
| PECO ENERGY TRANSITION TRUST 6.52% AST BKD | 1.13% |
| Holding | Ticker | Security No | Shares | Market Value | Percent |
|---|---|---|---|---|---|
| UNITED STATES OF AMER TREAS NOTES 3.25% TB | N/A | 912828HL7 | 6,000,000 | 6,029,766.00 | 2.86% |
| UNITED STATES TREAS NTS 02.125% 31/JAN/2010 | N/A | 912828HP8 | 5,000,000 | 5,024,610.00 | 2.38% |
| UNITED STATES TREAS NTS 2.0% 28/FEB/2010 | N/A | 912828HS2 | 4,000,000 | 4,024,220.00 | 1.91% |
| UNITED STATES TREAS NTS 1.000% 30/SEP/2011 | N/A | 912828LW8 | 4,000,000 | 4,011,248.00 | 1.90% |
| CAPITAL AUTO RECEIVABLES 5.01% BDS 16/APR/2012 | N/A | 13973XAC7 | 2,500,000 | 2,600,381.25 | 1.23% |
| FREDDIE MAC 2629 AN-MAC 3.500% 15/JAN/2018 | N/A | 31393RKN9 | 2,499,791 | 2,566,939.99 | 1.22% |
| HONEYWELL INTERNATIONAL INC 7.5% BDS 01/MAR/2010 | N/A | 438516AK2 | 2,500,000 | 2,562,955.00 | 1.22% |
| FREDDIE MAC 2628 DQ-MAC 3.000% 15/NOV/2017 | N/A | 31393VNA5 | 2,392,279 | 2,434,483.40 | 1.15% |
| FHLMC REMIC SERIES 3574 AC 1.85% 15/AUG/2014 | N/A | 31398JNB5 | 2,428,338 | 2,432,947.99 | 1.15% |
| PECO ENERGY TRANSITION TRUST 6.52% AST BKD | N/A | 705220AM3 | 2,300,000 | 2,379,936.04 | 1.13% |
| VOLKSWAGEN AG 4.5% BDS 20/JUL/2012 USD1000 | N/A | 92867BAD6 | 2,300,000 | 2,370,609.31 | 1.12% |
| FEDERAL NATIONAL MORTGAGE ASSOC 4.625% SNR NTS | N/A | 31359M2S1 | 2,300,000 | 2,311,946.20 | 1.10% |
| HONDA AUTO RECEIVABLES OWNER TR SER'2009-2' 2.22% | N/A | 43812UAB7 | 2,200,000 | 2,219,594.96 | 1.05% |
| FHLMCGLD MORTPASS 4% 01/DEC/2014 B1 PN# B17493 | N/A | 312970KE5 | 2,105,345 | 2,167,773.91 | 1.03% |
| JPMORGAN CHASE & CO 5.6% NTS 01/JUN/2011 USD1000 | N/A | 46625HGG9 | 2,020,000 | 2,149,896.10 | 1.02% |
| UNILEVER CAPITAL CORP 7.125% GTD BDS 01/NOV/2010 | N/A | 904764AG2 | 2,000,000 | 2,132,088.00 | 1.01% |
| VERIZON GLOBAL FUND 7.25% BDS 01/DEC/2010 USD1000 | N/A | 92344GAL0 | 2,000,000 | 2,123,012.00 | 1.01% |
| BANK OF AMERICA CORP 5.375% BDS 15/AUG/2011 | N/A | 060505CK8 | 2,000,000 | 2,115,476.00 | 1.00% |
| CISCO SYSTEMS INC 5.25% BDS 22/FEB/2011 USD1000 | N/A | 17275RAB8 | 2,000,000 | 2,108,736.00 | 1.00% |
| WELLS FARGO & CO 3.00% BDS 09/DEC/2011 USD1000 | N/A | 949744AA4 | 2,000,000 | 2,076,324.00 | 0.98% |
| CITIBANK CREDIT CARD ISSUANCE TRUST 4.75% | N/A | 17305ECU7 | 2,000,000 | 2,073,493.20 | 0.98% |
| FREDDIE MAC 2672 NF-MAC 4.000% 15/DEC/2016 | N/A | 31394HYE5 | 2,003,665 | 2,070,117.12 | 0.98% |
| NATIONAL RURAL UTILITIES | N/A | 637432DA0 | 2,000,000 | 2,063,236.00 | 0.98% |
| WORLD OMNI AUTO RECEIVABLES TRUST 2009-A A-3 | N/A | 98156YAD3 | 2,000,000 | 2,058,243.80 | 0.98% |
| PFIZER INC FRN 15/MAR/2011 USD1000 | N/A | 717081DC4 | 2,000,000 | 2,054,488.00 | 0.97% |
| FEDERAL NATIONAL MORTGAGE ASSOC 4.375% BDS | N/A | 3136F7BE6 | 2,000,000 | 2,049,790.00 | 0.97% |
| GENENTECH INC 4.4% NTS 15/JUL/2010 USD1000 | N/A | 368710AE9 | 2,000,000 | 2,049,548.00 | 0.97% |
| MORGAN STANLEY & CO INTERNATIONAL 2.9% BDS | N/A | 61757UAA8 | 2,000,000 | 2,046,626.00 | 0.97% |
| FEDERAL FARM CREDIT BANKS 4.75% BDS 07/MAY/2010 | N/A | 31331XWL2 | 2,000,000 | 2,045,788.00 | 0.97% |
| JOHN DEERE CAPITAL CORP 5.4% BDS 07/APR/2010 | N/A | 24422EQA0 | 2,000,000 | 2,044,552.00 | 0.97% |
| JPMORGAN CHASE & CO 2.625% NTS 01/DEC/2010 USD1000 | N/A | 481247AD6 | 2,000,000 | 2,040,748.00 | 0.97% |
| FANNIE MAE | N/A | 31359MC92 | 2,000,000 | 2,040,632.00 | 0.97% |
| FEDERAL HOME LOAN BANKS 2.75% BDS 18/JUN/2010 | N/A | 3133XQU26 | 2,000,000 | 2,030,108.00 | 0.96% |
| STATE STREET BANK & TRUST CO 1.85% SRN 15/MAR/2011 | N/A | 85744RAA0 | 2,000,000 | 2,029,126.00 | 0.96% |
| FEDERAL NATL MTG ASSN FR 1.75%23/MAR/2011 | N/A | 31398AVQ2 | 2,000,000 | 2,028,838.00 | 0.96% |
| GENERAL ELECTRIC CAPITAL CORP 1.8% NTS 11/MAR/2011 | N/A | 36967HAL1 | 2,000,000 | 2,028,522.00 | 0.96% |
| FEDERAL HOME LOAN MORTGAGE CORP 2.875% BDS | N/A | 3137EABG3 | 2,000,000 | 2,025,930.00 | 0.96% |
| FEDERAL HOME LOAN MORTGAGE CORP 4.875% SR NTS | N/A | 3137EAAP4 | 2,000,000 | 2,024,782.00 | 0.96% |
| GOLDMAN SACHS GROUP INC 1.625% BDS 15/JUL/2011 | N/A | 38146FAF8 | 2,000,000 | 2,024,384.00 | 0.96% |
| BANK OF AMERICA CORP 1.7% GTD BDS 23/DEC/2010 | N/A | 06052AAA9 | 2,000,000 | 2,022,322.00 | 0.96% |
| BA CREDIT CARD TR 2008-9A A 4.07% 16/JUL/2012 | N/A | 05522RCG1 | 2,000,000 | 2,019,908.00 | 0.96% |
| FREDDIE MAC 3.125% 12/FEB/2010 | N/A | 3128X6W93 | 2,000,000 | 2,015,276.00 | 0.96% |
| WELLS FARGO CO 4.2% DUE 15/JAN/2010 | N/A | 949746JJ1 | 2,000,000 | 2,012,504.00 | 0.95% |
| INTERNATIONAL BANK FOR REC & DEV BDS 04/MAR/2011 | N/A | 45905UGA6 | 2,000,000 | 2,007,392.00 | 0.95% |
| FREDDIE MAC 3591 NA 1.250% 15/OCT/2012 | N/A | 31398KKS8 | 2,000,000 | 2,007,309.80 | 0.95% |
| 3M CO 5.125% NTS 06/NOV/2009 USD1000 | N/A | 88579EAB1 | 2,000,000 | 2,000,564.00 | 0.95% |
| CITIGROUP FDG INC FDIC TLGP GTD NT FLT 10 | N/A | 17314AAA0 | 2,000,000 | 2,000,104.00 | 0.95% |
| GINNIE MAE 2003-49 A 2.212% 16/OCT/2017 | N/A | 38374BBC6 | 1,985,478 | 1,992,983.02 | 0.94% |
| FREDDIE MAC 3584 BL 1.250% 15/OCT/2012 | N/A | 31398KJG6 | 2,000,000 | 1,992,751.80 | 0.94% |
| AT&T CORP NTS 15/NOV/2011 USD 1000 | N/A | 001957BC2 | 1,793,000 | 1,992,517.87 | 0.94% |
| CHASE ISSUANCE TRUST VAR MTG BDS 15/APR/2013 | N/A | 161571BB9 | 1,997,000 | 1,987,921.04 | 0.94% |
| FANNIE MAE 2003-49 TK 3.500% 25/MAR/2018 | N/A | 31393C3C5 | 1,900,435 | 1,937,212.71 | 0.92% |
| FREDDIE MAC 3555 JA 4.000% 15/DEC/2014 | N/A | 31398EWC4 | 1,849,628 | 1,915,379.50 | 0.91% |
| FREDDIE MAC 2614 TD-MAC 3.500% 15/MAY/2016 | N/A | 31393QP63 | 1,822,699 | 1,866,588.88 | 0.88% |
| ABBOTT LABORATORIES 5.6% NTS 15/MAY/2011 USD1000 | N/A | 002824AS9 | 1,735,000 | 1,853,375.58 | 0.88% |
| PSE&G TRANSITION FUNDING LLG 6.45% AST BKD | N/A | 69361YAE3 | 1,715,325 | 1,790,350.72 | 0.85% |
| FANNIE MAE 2003-67 TA 3.000% 25/AUG/2017 | N/A | 31393DPV7 | 1,722,588 | 1,755,032.11 | 0.83% |
| KFW BANKENGRUPPE 5% BDS 01/JUN/2010 USD1000 | N/A | 500769CF9 | 1,695,000 | 1,740,159.89 | 0.83% |
| FANNIE MAE 2004-6 CA 4.000% 25/JUN/2017 | N/A | 31393UR70 | 1,651,702 | 1,706,785.82 | 0.81% |
| AFRICAN DEVELOPMENT BANK FRN 23/MAR/2011 USD1000 | N/A | 008281AW7 | 1,700,000 | 1,696,496.30 | 0.80% |
| MBNA CREDIT CARD MASTER NOTE TRUST 55264TCK5 | N/A | 55264TCK5 | 1,696,000 | 1,684,541.99 | 0.80% |
| BANK OF AMERICA CMM MTG 2005-1 CL A3 4.877 | N/A | 05947UC89 | 1,653,868 | 1,652,344.14 | 0.78% |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2008-A A-3 | N/A | 65475FAD7 | 1,598,248 | 1,621,962.00 | 0.77% |
| MORGAN STANLEY CAPITAL I TRUST 2005-HQ A-2 4.809% | N/A | 61745M3C5 | 1,592,891 | 1,596,909.97 | 0.76% |
| BURLINGTON RESOURCES INC 7.875% BDS 15/JUN/2010 | N/A | 122014AC7 | 1,500,000 | 1,584,387.00 | 0.75% |
| FREDDIE MAC 2689 PC 4.000% 15/SEP/2015 | N/A | 31394KDA9 | 1,547,718 | 1,576,393.59 | 0.75% |
| JOHN HANCOCK GLOBAL FUNDING II 7.9% BDS | N/A | 41011WAA8 | 1,500,000 | 1,560,058.50 | 0.74% |
| WACHOVIA COMMERCIAL MORTGAGE TRUST 2005-C17 A2 | N/A | 929766B85 | 1,550,735 | 1,552,954.28 | 0.74% |
| UNITED TECHNOLOGIES 4.375% 01/MAY/2010 | N/A | 913017BG3 | 1,500,000 | 1,531,651.50 | 0.73% |
| HEWLETT-PACKARD CO 2.25% BDS 27/MAY/2011 USD1000 | N/A | 428236AX1 | 1,500,000 | 1,529,218.50 | 0.73% |
| TOYOTA MOTOR CREDIT CORP 4.25% DUE 15/MAR/2010 | N/A | 892332AP2 | 1,500,000 | 1,515,561.00 | 0.72% |
| RABOBANK NEDERLAND FRN 19/MAY/2010 USD1000'144A' | N/A | 74977RBF0 | 1,500,000 | 1,502,443.50 | 0.71% |
| BANK NEW YORK MTN BK ENT VR | N/A | 06406HBH1 | 1,500,000 | 1,501,599.00 | 0.71% |
| HELLER FINANCIAL INC 7.375% NTS 01/NOV/2009 | N/A | 423328BM4 | 1,500,000 | 1,500,000.00 | 0.71% |
| MBNA CREDIT CARD MASTER NOTE TRUST 2005-A3 CL A3 | N/A | 55264TCZ2 | 1,440,000 | 1,466,365.97 | 0.70% |
| BMW VEHICLE OWNER TRUST 2006-A A-4 5.070% | N/A | 055670AD5 | 1,447,388 | 1,464,932.80 | 0.69% |
| FREDDIE MAC 2877 GP 4.000% 15/NOV/2018 | N/A | 31395HJU5 | 1,360,939 | 1,406,781.55 | 0.67% |
| FREDDIE MAC 2629 AM-MAC 4.000% 15/JAN/2018 | N/A | 31393RKM1 | 1,285,607 | 1,333,016.55 | 0.63% |
| 2003-15 WC 0.000% 25/DEC/2016 | N/A | 31392JNH8 | 1,299,374 | 1,325,984.87 | 0.63% |
| GE COMMERCIAL MORTGAGE PT CERTS 2004-C1 A-2 3.915% | N/A | 36828QDM5 | 1,309,832 | 1,319,405.07 | 0.63% |
| CHASE ISSUANCE TRUST 4.65% 17/DEC/2012 | N/A | 161571AW4 | 1,230,000 | 1,275,709.26 | 0.60% |
| 3483 FB VARIABLE 15/AUG/2011 | N/A | 31397WXE0 | 1,261,507 | 1,258,093.12 | 0.60% |
| FANNIE MAE 2004-96 EW 4.500% 25/JUN/2024 | N/A | 31394BVV3 | 1,234,941 | 1,251,463.37 | 0.59% |
| FANNIE MAE 2002-82 XD RCR 5.000% 25/JUL/2016 | N/A | 31392FZ26 | 1,191,800 | 1,223,630.81 | 0.58% |
| FANNIE MAE 2004-29 L-RCR 4.000% 25/SEP/2017 | N/A | 31393YRW7 | 1,179,809 | 1,218,766.96 | 0.58% |
| CPL TRANSITION FUNDING LLC 2002-1 A-3 5.560% | N/A | 12617AAC1 | 1,205,648 | 1,218,419.03 | 0.58% |
| FREDDIE MAC 2783 AB 4.000% 15/OCT/2017 | N/A | 31394WYH5 | 1,120,216 | 1,158,965.22 | 0.55% |
| WORLD OMNI AUTO RECEIVABLES TRUST 2008-B A-2 | N/A | 981528AB8 | 1,123,224 | 1,136,291.83 | 0.54% |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2007-A5 A5 | N/A | 17305EDV4 | 1,055,000 | 1,086,692.83 | 0.52% |
| AMERICAN EXPRESS CREDITACCOUNT MASTER TRUST 2006-2 | N/A | 02582JEG1 | 1,000,000 | 1,063,570.10 | 0.50% |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SEC CO | N/A | 46629GAA6 | 1,028,552 | 1,052,350.14 | 0.50% |
| GINNIE MAE 2004-10 A 3.878% 16/DEC/2019 | N/A | 38374J6V3 | 1,042,366 | 1,050,518.51 | 0.50% |
| ASIAN DEV BK 4.125 PCT 15/SEP/2010 | N/A | 045167BL6 | 1,000,000 | 1,030,842.00 | 0.49% |
| NEW YORK LIFE GLOBA 4.62500 16/AUG/2010 | N/A | 64952WAE3 | 1,000,000 | 1,018,046.00 | 0.48% |
| FEDERAL HOME LOAN MORTGAGE CORP 5% CMO 15/MAY/2016 | N/A | 31392X2Y3 | 941,470 | 956,932.14 | 0.45% |
| FANNIE MAE 2005-91 PB 4.500% 25/JUN/2016 | N/A | 31394FYR0 | 914,997 | 929,432.01 | 0.44% |
| LOWES COMPANIES INC 8.25% NTS 01/JUN/2010 USD1000 | N/A | 548661CA3 | 885,000 | 924,258.60 | 0.44% |
| FLORIDA POWER & LIGHT COMPANY 2007-A A-1 5.053% | N/A | 302583AA7 | 902,069 | 923,841.13 | 0.44% |
| FEDERAL NATIONAL MORTGAGE ASSOC 5% CMO 25/MAR/2017 | N/A | 31394AUT1 | 896,916 | 911,576.42 | 0.43% |
| FREDDIE MAC 2625 JD 3.250% 15/JUL/2017 | N/A | 31393RJY7 | 882,547 | 903,706.12 | 0.43% |
| FEDERAL HOME LOAN MORTGAGE CORP 4% BDS 15/OCT/2016 | N/A | 31393VPU9 | 888,399 | 901,991.72 | 0.43% |
| FANNIE MAE 2003-92 PC 4.500% 25/MAY/2015 | N/A | 31393TAE6 | 846,971 | 856,525.67 | 0.41% |
| FREDDIE MAC 2668 AD 4.000% 15/JAN/2015 | N/A | 31394HTD3 | 833,687 | 845,443.76 | 0.40% |
| GMAC COML MTG SECS INC 2003-C3 MTG PASSTHRU CTF CL | N/A | 361849ZR6 | 812,532 | 820,303.34 | 0.39% |
| JOHN DEERE OWNER TRUST 2009-B A-3 1.570% | N/A | 477875AC2 | 800,000 | 800,151.84 | 0.38% |
| GREENWICH CAPITAL COMM FUND CORP 396789FQ7 4.755% | N/A | 396789FQ7 | 740,000 | 747,231.28 | 0.35% |
| MORGAN STANLEY CAPITAL I SER 2004-IQB CL A3 | N/A | 61745MN74 | 737,055 | 745,249.38 | 0.35% |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SER | N/A | 929766YV9 | 726,257 | 725,587.15 | 0.34% |
| BAXTER FINCO B V NT 4.75% 15/OCT/2010 | N/A | 07181XAB9 | 675,000 | 701,797.50 | 0.33% |
| GMAC COMMERCIAL MORTGAGE SECURITIES 4.207% CMO | N/A | 361849J60 | 603,151 | 604,973.09 | 0.29% |
| FREDDIE MAC 2628 PV-MAC 3.750% 15/OCT/2016 | N/A | 31393VPS4 | 592,266 | 600,878.53 | 0.28% |
| COMMERCIAL MORTGAGE ASSET TRUST 6.64% BDS | N/A | 201730AC2 | 520,185 | 521,908.00 | 0.25% |
| CAPITAL AUTO RECEIVABLES ASSET TRUST 2006-2 A-3A | N/A | 13973AAD5 | 484,328 | 491,054.09 | 0.23% |
| CATERPILLAR FINANCIAL TRUST 4.09% BDS 27/DEC/2010 | N/A | 14911TAB1 | 331,342 | 332,430.46 | 0.16% |
| FREDDIE MAC 2613 PA 3.250% 15/MAY/2018 | N/A | 31393RFC9 | 321,560 | 326,857.62 | 0.15% |
| FREDDIE MAC 2651 VB-MAC 5.500% 15/MAR/2014 | N/A | 31393W5S4 | 307,768 | 308,741.63 | 0.15% |
| HEWLETT-PACKARD CO FRN 27/MAY/2011 USD1000 | N/A | 428236AZ6 | 300,000 | 304,459.20 | 0.14% |
| ONCOR ELECTRIC DELIVERY TRANSITION BOND CO SER | N/A | 68233LAB5 | 285,457 | 288,402.09 | 0.14% |
| FHLMC REMIC SER 2664 CL GA | N/A | 31394H6A4 | 274,290 | 283,141.14 | 0.13% |
| GREENWICH CAPITAL COMMERCIAL FUNDING CORP SER | N/A | 396789FP9 | 282,669 | 282,491.72 | 0.13% |
| DAIMLERCHRYSLER AUTO TRUST 2006-D A-3 4.980% | N/A | 233880AB9 | 269,380 | 270,722.77 | 0.13% |
| FANNIE MAE 2003-57 NB 3.000% 25/JUN/2018 | N/A | 31393CG98 | 237,954 | 241,337.02 | 0.11% |
| 2003-14 AN 0.000% 25/MAR/2033 | N/A | 31392JDX4 | 236,565 | 237,939.40 | 0.11% |
| FREDDIE MAC 2611 KC 3.500% 15/JAN/2017 | N/A | 31393QZE5 | 220,316 | 224,475.32 | 0.11% |
| FNMA MORTPASS 5.5% 01/FEB/2017 CI PN# 254195 | N/A | 31371KKG5 | 196,804 | 211,500.95 | 0.10% |
| TXU ELECTRIC DELIVERY TRANSITIONAL TRUST 2004 1 A1 | N/A | 87316YAA9 | 195,728 | 195,979.02 | 0.09% |
| FREDDIE MAC SER 2630 CL JA 3% 15/JUN/2018 | N/A | 31393RQC7 | 190,248 | 192,650.85 | 0.09% |
| FANNIE MAE 2003-75 NB-RCR 3.250% 25/AUG/2018 | N/A | 31393D2Z3 | 177,883 | 180,597.50 | 0.09% |
| FNMA PASS THRU CTF POOL NO: 625178 | N/A | 31389GQ78 | 164,226 | 176,489.76 | 0.08% |
| USAA AUTO OWNER TR 2008-2 A-2 18/JAN/2011 3.91000 | N/A | 90327AAB0 | 111,420 | 111,580.53 | 0.05% |
| RFMSI SERIES 2003-S11 TRUST 2003-S1 A-1 2.500% | N/A | 76111J6M1 | 110,218 | 109,572.47 | 0.05% |
| DAIMLERCHRYSLER AUTO TRUST 2007-A A-2A 4.940% | N/A | 233882AB5 | 101,055 | 101,328.15 | 0.05% |
| FNMA MORTPASS 6% 01/DEC/2016 CI PN# 254089 | N/A | 31371KF63 | 92,457 | 99,881.39 | 0.05% |
| FNMA MORTPASS 6% 01/JAN/2017 CI PN# 545415 | N/A | 31385H3Y6 | 82,373 | 88,988.17 | 0.04% |
| JOHN DEER TRUST 2008 A-2 15/MAR/2011 3.63000 | N/A | 477878AB8 | 66,457 | 66,525.50 | 0.03% |
| FEDERAL NATIONAL MORTGAGE ASSOC 6% MTG BKD PASS | N/A | 31371J5E0 | 58,398 | 63,087.64 | 0.03% |
| FHLMCGLD MORTPASS 6% 01/JUL/2016 E0 PN# E00991 | N/A | 31294KC45 | 47,052 | 50,527.37 | 0.02% |
| FEDERAL HOME LN MTG CORP PN# E00678 | N/A | 31294JXF0 | 33,811 | 35,847.94 | 0.02% |
| BEAR STEARNS COM MTG SECS INC 6.08% CMO | N/A | 07383FFN3 | 20,313 | 20,321.34 | 0.01% |
| Holding | Ticker | Security No | Shares | Market Value | Percent |
|---|---|---|---|---|---|
| UNITED STATES OF AMER TREAS NOTES 3.25% TB | N/A | 912828HL7 | 6,000,000 | 6,045,468.00 | 2.89% |
| UNITED STATES TREAS NTS 02.125% 31/JAN/2010 | N/A | 912828HP8 | 5,000,000 | 5,032,420.00 | 2.41% |
| UNITED STATES TREAS NTS 2.0% 28/FEB/2010 | N/A | 912828HS2 | 4,000,000 | 4,029,844.00 | 1.93% |
| FREDDIE MAC 2629 AN-MAC 3.500% 15/JAN/2018 | N/A | 31393RKN9 | 2,540,793 | 2,605,719.31 | 1.25% |
| CAPITAL AUTO RECEIVABLES 5.01% BDS 16/APR/2012 | N/A | 13973XAC7 | 2,500,000 | 2,601,953.25 | 1.24% |
| HONEYWELL INTERNATIONAL INC 7.5% BDS 01/MAR/2010 | N/A | 438516AK2 | 2,500,000 | 2,576,787.50 | 1.23% |
| FHLMC REMIC SERIES 3574 AC 1.85% 15/AUG/2014 | N/A | 31398JNB5 | 2,500,000 | 2,499,218.75 | 1.20% |
| FREDDIE MAC 2628 DQ-MAC 3.000% 15/NOV/2017 | N/A | 31393VNA5 | 2,453,571 | 2,493,920.91 | 1.19% |
| PECO ENERGY TRANSITION TRUST 6.52% AST BKD | N/A | 705220AM3 | 2,300,000 | 2,389,893.89 | 1.14% |
| FEDERAL NATIONAL MORTGAGE ASSOC 4.625% SNR NTS | N/A | 31359M2S1 | 2,300,000 | 2,320,414.80 | 1.11% |
| HONDA AUTO RECEIVABLES OWNER TR SER'2009-2' 2.22% | N/A | 43812UAB7 | 2,200,000 | 2,221,699.48 | 1.06% |
| FHLMCGLD MORTPASS 4% 01/DEC/2014 B1 PN# B17493 | N/A | 312970KE5 | 2,155,516 | 2,216,967.71 | 1.06% |
| JPMORGAN CHASE & CO 5.6% NTS 01/JUN/2011 USD1000 | N/A | 46625HGG9 | 2,020,000 | 2,142,874.58 | 1.03% |
| UNILEVER CAPITAL CORP 7.125% GTD BDS 01/NOV/2010 | N/A | 904764AG2 | 2,000,000 | 2,135,200.00 | 1.02% |
| FREDDIE MAC 2672 NF-MAC 4.000% 15/DEC/2016 | N/A | 31394HYE5 | 2,061,327 | 2,133,314.30 | 1.02% |
| VERIZON GLOBAL FUND 7.25% BDS 01/DEC/2010 USD1000 | N/A | 92344GAL0 | 2,000,000 | 2,128,568.00 | 1.02% |
| CISCO SYSTEMS INC 5.25% BDS 22/FEB/2011 USD1000 | N/A | 17275RAB8 | 2,000,000 | 2,108,084.00 | 1.01% |
| BANK OF AMERICA CORP 5.375% BDS 15/AUG/2011 | N/A | 060505CK8 | 2,000,000 | 2,085,086.00 | 1.00% |
| CITIBANK CREDIT CARD ISSUANCE TRUST 4.75% | N/A | 17305ECU7 | 2,000,000 | 2,077,685.20 | 0.99% |
| NATIONAL RURAL UTILITIES | N/A | 637432DA0 | 2,000,000 | 2,065,450.00 | 0.99% |
| PFIZER INC FRN 15/MAR/2011 USD1000 | N/A | 717081DC4 | 2,000,000 | 2,056,218.00 | 0.98% |
| FEDERAL NATIONAL MORTGAGE ASSOC 4.375% BDS | N/A | 3136F7BE6 | 2,000,000 | 2,055,686.00 | 0.98% |
| FEDERAL FARM CREDIT BANKS 4.75% BDS 07/MAY/2010 | N/A | 31331XWL2 | 2,000,000 | 2,052,818.00 | 0.98% |
| GENENTECH INC 4.4% NTS 15/JUL/2010 USD1000 | N/A | 368710AE9 | 2,000,000 | 2,052,586.00 | 0.98% |
| JOHN DEERE CAPITAL CORP 5.4% BDS 07/APR/2010 | N/A | 24422EQA0 | 2,000,000 | 2,050,858.00 | 0.98% |
| MORGAN STANLEY & CO INTERNATIONAL 2.9% BDS | N/A | 61757UAA8 | 2,000,000 | 2,050,614.00 | 0.98% |
| FANNIE MAE | N/A | 31359MC92 | 2,000,000 | 2,046,588.00 | 0.98% |
| JPMORGAN CHASE & CO 2.625% NTS 01/DEC/2010 USD1000 | N/A | 481247AD6 | 2,000,000 | 2,044,296.00 | 0.98% |
| FEDERAL HOME LOAN BANKS 2.75% BDS 18/JUN/2010 | N/A | 3133XQU26 | 2,000,000 | 2,033,432.00 | 0.97% |
| FEDERAL HOME LOAN MORTGAGE CORP 4.875% SR NTS | N/A | 3137EAAP4 | 2,000,000 | 2,032,484.00 | 0.97% |
| FEDERAL HOME LOAN MORTGAGE CORP 2.875% BDS | N/A | 3137EABG3 | 2,000,000 | 2,029,982.00 | 0.97% |
| FEDERAL NATL MTG ASSN FR 1.75%23/MAR/2011 | N/A | 31398AVQ2 | 2,000,000 | 2,029,848.00 | 0.97% |
| STATE STREET BANK & TRUST CO 1.85% SRN 15/MAR/2011 | N/A | 85744RAA0 | 2,000,000 | 2,028,330.00 | 0.97% |
| BA CREDIT CARD TR 2008-9A A 4.07% 16/JUL/2012 | N/A | 05522RCG1 | 2,000,000 | 2,025,461.80 | 0.97% |
| GENERAL ELECTRIC CAPITAL CORP 1.8% NTS 11/MAR/2011 | N/A | 36967HAL1 | 2,000,000 | 2,024,844.00 | 0.97% |
| BANK OF AMERICA CORP 1.7% GTD BDS 23/DEC/2010 | N/A | 06052AAA9 | 2,000,000 | 2,023,758.00 | 0.97% |
| FREDDIE MAC 3.125% 12/FEB/2010 | N/A | 3128X6W93 | 2,000,000 | 2,019,790.00 | 0.97% |
| GOLDMAN SACHS GROUP INC 1.625% BDS 15/JUL/2011 | N/A | 38146FAF8 | 2,000,000 | 2,019,936.00 | 0.97% |
| WELLS FARGO CO 4.2% DUE 15/JAN/2010 | N/A | 949746JJ1 | 2,000,000 | 2,015,780.00 | 0.96% |
| GINNIE MAE 2003-49 A 2.212% 16/OCT/2017 | N/A | 38374BBC6 | 2,005,744 | 2,013,445.12 | 0.96% |
| 3M CO 5.125% NTS 06/NOV/2009 USD1000 | N/A | 88579EAB1 | 2,000,000 | 2,008,888.00 | 0.96% |
| INTERNATIONAL BANK FOR REC & DEV BDS 04/MAR/2011 | N/A | 45905UGA6 | 2,000,000 | 2,007,868.00 | 0.96% |
| CITIGROUP FDG INC FDIC TLGP GTD NT FLT 10 | N/A | 17314AAA0 | 2,000,000 | 2,003,222.00 | 0.96% |
| CHASE ISSUANCE TRUST VAR MTG BDS 15/APR/2013 | N/A | 161571BB9 | 1,997,000 | 1,985,079.91 | 0.95% |
| FREDDIE MAC 3555 JA 4.000% 15/DEC/2014 | N/A | 31398EWC4 | 1,896,113 | 1,966,890.18 | 0.94% |
| FREDDIE MAC 2614 TD-MAC 3.500% 15/MAY/2016 | N/A | 31393QP63 | 1,911,550 | 1,960,919.92 | 0.94% |
| ABBOTT LABORATORIES 5.6% NTS 15/MAY/2011 USD1000 | N/A | 002824AS9 | 1,735,000 | 1,856,512.46 | 0.89% |
| FANNIE MAE 2003-67 TA 3.000% 25/AUG/2017 | N/A | 31393DPV7 | 1,780,023 | 1,814,074.77 | 0.87% |
| PSE&G TRANSITION FUNDING LLG 6.45% AST BKD | N/A | 69361YAE3 | 1,715,325 | 1,796,588.68 | 0.86% |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2008-A A-3 | N/A | 65475FAD7 | 1,764,485 | 1,792,726.53 | 0.86% |
| FANNIE MAE 2004-6 CA 4.000% 25/JUN/2017 | N/A | 31393UR70 | 1,699,757 | 1,759,874.46 | 0.84% |
| BANK OF AMERICA CMM MTG 2005-1 CL A3 4.877 | N/A | 05947UC89 | 1,749,684 | 1,748,181.75 | 0.84% |
| KFW BANKENGRUPPE 5% BDS 01/JUN/2010 USD1000 | N/A | 500769CF9 | 1,695,000 | 1,745,770.34 | 0.84% |
| FREDDIE MAC 2689 PC 4.000% 15/SEP/2015 | N/A | 31394KDA9 | 1,667,608 | 1,701,808.01 | 0.81% |
| AFRICAN DEVELOPMENT BANK FRN 23/MAR/2011 USD1000 | N/A | 008281AW7 | 1,700,000 | 1,696,266.80 | 0.81% |
| MBNA CREDIT CARD MASTER NOTE TRUST 55264TCK5 | N/A | 55264TCK5 | 1,696,000 | 1,681,591.63 | 0.80% |
| MORGAN STANLEY CAPITAL I TRUST 2005-HQ A-2 4.809% | N/A | 61745M3C5 | 1,607,930 | 1,618,130.11 | 0.77% |
| BMW VEHICLE OWNER TRUST 2006-A A-4 5.070% | N/A | 055670AD5 | 1,582,309 | 1,605,145.84 | 0.77% |
| BURLINGTON RESOURCES INC 7.875% BDS 15/JUN/2010 | N/A | 122014AC7 | 1,500,000 | 1,593,582.00 | 0.76% |
| WACHOVIA COMMERCIAL MORTGAGE TRUST 2005-C17 A2 | N/A | 929766B85 | 1,589,813 | 1,589,303.05 | 0.76% |
| JOHN HANCOCK GLOBAL FUNDING II 7.9% BDS | N/A | 41011WAA8 | 1,500,000 | 1,559,589.00 | 0.75% |
| UNITED TECHNOLOGIES 4.375% 01/MAY/2010 | N/A | 913017BG3 | 1,500,000 | 1,536,060.00 | 0.73% |
| HEWLETT-PACKARD CO 2.25% BDS 27/MAY/2011 USD1000 | N/A | 428236AX1 | 1,500,000 | 1,528,009.50 | 0.73% |
| TOYOTA MOTOR CREDIT CORP 4.25% DUE 15/MAR/2010 | N/A | 892332AP2 | 1,500,000 | 1,519,632.00 | 0.73% |
| HELLER FINANCIAL INC 7.375% NTS 01/NOV/2009 | N/A | 423328BM4 | 1,500,000 | 1,507,428.00 | 0.72% |
| RABOBANK NEDERLAND FRN 19/MAY/2010 USD1000'144A' | N/A | 74977RBF0 | 1,500,000 | 1,502,950.50 | 0.72% |
| BANK NEW YORK MTN BK ENT VR | N/A | 06406HBH1 | 1,500,000 | 1,502,325.00 | 0.72% |
| MBNA CREDIT CARD MASTER NOTE TRUST 2005-A3 CL A3 | N/A | 55264TCZ2 | 1,440,000 | 1,469,963.95 | 0.70% |
| FREDDIE MAC 2877 GP 4.000% 15/NOV/2018 | N/A | 31395HJU5 | 1,392,918 | 1,442,121.24 | 0.69% |
| 2003-15 WC 0.000% 25/DEC/2016 | N/A | 31392JNH8 | 1,380,215 | 1,411,222.61 | 0.68% |
| 3483 FB VARIABLE 15/AUG/2011 | N/A | 31397WXE0 | 1,375,085 | 1,369,745.20 | 0.66% |
| FREDDIE MAC 2629 AM-MAC 4.000% 15/JAN/2018 | N/A | 31393RKM1 | 1,306,693 | 1,356,592.19 | 0.65% |
| FANNIE MAE 2004-96 EW 4.500% 25/JUN/2024 | N/A | 31394BVV3 | 1,295,978 | 1,320,265.01 | 0.63% |
| BANK ONE ISSUANCE TRUST 2002-A6 A VAR 15/JUN/2012 | N/A | 06423RAK2 | 1,300,000 | 1,299,966.33 | 0.62% |
| WACHOVIA BANK COMMERCIAL MORTGAGE TRUST SER | N/A | 929766YV9 | 1,291,294 | 1,292,901.62 | 0.62% |
| FANNIE MAE 2002-82 XD RCR 5.000% 25/JUL/2016 | N/A | 31392FZ26 | 1,249,842 | 1,285,421.58 | 0.62% |
| WORLD OMNI AUTO RECEIVABLES TRUST 2008-B A-2 | N/A | 981528AB8 | 1,267,422 | 1,283,805.90 | 0.61% |
| CHASE ISSUANCE TRUST 4.65% 17/DEC/2012 | N/A | 161571AW4 | 1,230,000 | 1,278,543.30 | 0.61% |
| FANNIE MAE 2004-29 L-RCR 4.000% 25/SEP/2017 | N/A | 31393YRW7 | 1,221,943 | 1,264,685.12 | 0.61% |
| VOLKSWAGEN AG 4.5% BDS 20/JUL/2012 USD1000 | N/A | 92867BAD6 | 1,200,000 | 1,237,610.88 | 0.59% |
| CPL TRANSITION FUNDING LLC 2002-1 A-3 5.560% | N/A | 12617AAC1 | 1,205,648 | 1,223,397.27 | 0.59% |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SEC CO | N/A | 46629GAA6 | 1,076,757 | 1,094,512.08 | 0.52% |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2007-A5 A5 | N/A | 17305EDV4 | 1,055,000 | 1,090,445.57 | 0.52% |
| GINNIE MAE 2004-10 A 3.878% 16/DEC/2019 | N/A | 38374J6V3 | 1,056,562 | 1,065,243.07 | 0.51% |
| FEDERAL HOME LOAN MORTGAGE CORP 5% CMO 15/MAY/2016 | N/A | 31392X2Y3 | 1,024,592 | 1,043,155.78 | 0.50% |
| ASIAN DEV BK 4.125 PCT 15/SEP/2010 | N/A | 045167BL6 | 1,000,000 | 1,033,666.00 | 0.49% |
| FANNIE MAE 2005-91 PB 4.500% 25/JUN/2016 | N/A | 31394FYR0 | 1,003,612 | 1,021,390.44 | 0.49% |
| NEW YORK LIFE GLOBA 4.62500 16/AUG/2010 | N/A | 64952WAE3 | 1,000,000 | 1,018,138.00 | 0.49% |
| FEDERAL NATIONAL MORTGAGE ASSOC 5% CMO 25/MAR/2017 | N/A | 31394AUT1 | 986,764 | 1,004,627.10 | 0.48% |
| JPMORGAN CHASE & CO 3.80% 02/OCT/2009 | N/A | 46625HBX7 | 1,000,000 | 1,000,000.00 | 0.48% |
| FEDERAL HOME LOAN MORTGAGE CORP 4% BDS 15/OCT/2016 | N/A | 31393VPU9 | 976,197 | 992,769.25 | 0.48% |
| FANNIE MAE 2003-92 PC 4.500% 25/MAY/2015 | N/A | 31393TAE6 | 962,178 | 974,720.40 | 0.47% |
| FREDDIE MAC 2668 AD 4.000% 15/JAN/2015 | N/A | 31394HTD3 | 916,432 | 930,933.26 | 0.45% |
| LOWES COMPANIES INC 8.25% NTS 01/JUN/2010 USD1000 | N/A | 548661CA3 | 885,000 | 928,845.56 | 0.44% |
| FLORIDA POWER & LIGHT COMPANY 2007-A A-1 5.053% | N/A | 302583AA7 | 902,069 | 926,767.71 | 0.44% |
| FREDDIE MAC 2625 JD 3.250% 15/JUL/2017 | N/A | 31393RJY7 | 903,923 | 925,450.13 | 0.44% |
| GMAC COML MTG SECS INC 2003-C3 MTG PASSTHRU CTF CL | N/A | 361849ZR6 | 843,970 | 852,771.48 | 0.41% |
| GMAC COMMERCIAL MORTGAGE SECURITIES 4.207% CMO | N/A | 361849J60 | 804,759 | 806,800.46 | 0.39% |
| MORGAN STANLEY CAPITAL I SER 2004-IQB CL A3 | N/A | 61745MN74 | 757,449 | 766,012.82 | 0.37% |
| BAXTER FINCO B V NT 4.75% 15/OCT/2010 | N/A | 07181XAB9 | 675,000 | 701,624.03 | 0.34% |
| FREDDIE MAC 2628 PV-MAC 3.750% 15/OCT/2016 | N/A | 31393VPS4 | 650,798 | 661,309.60 | 0.32% |
| CAPITAL AUTO RECEIVABLES ASSET TRUST 2006-2 A-3A | N/A | 13973AAD5 | 556,421 | 564,734.54 | 0.27% |
| COMMERCIAL MORTGAGE ASSET TRUST 6.64% BDS | N/A | 201730AC2 | 527,540 | 529,844.53 | 0.25% |
| CATERPILLAR FINANCIAL TRUST 4.09% BDS 27/DEC/2010 | N/A | 14911TAB1 | 434,366 | 436,432.03 | 0.21% |
| FREDDIE MAC 2651 VB-MAC 5.500% 15/MAR/2014 | N/A | 31393W5S4 | 421,487 | 423,526.67 | 0.20% |
| DAIMLERCHRYSLER AUTO TRUST 2006-D A-3 4.980% | N/A | 233880AB9 | 356,355 | 358,716.74 | 0.17% |
| FREDDIE MAC 2613 PA 3.250% 15/MAY/2018 | N/A | 31393RFC9 | 330,444 | 335,964.19 | 0.16% |
| GREENWICH CAPITAL COMMERCIAL FUNDING CORP SER | N/A | 396789FP9 | 310,702 | 310,509.63 | 0.15% |
| HEWLETT-PACKARD CO FRN 27/MAY/2011 USD1000 | N/A | 428236AZ6 | 300,000 | 304,655.10 | 0.15% |
| USAA AUTO OWNER TR 2008-2 A-2 18/JAN/2011 3.91000 | N/A | 90327AAB0 | 296,652 | 297,453.28 | 0.14% |
| FHLMC REMIC SER 2664 CL GA | N/A | 31394H6A4 | 283,684 | 293,328.52 | 0.14% |
| ONCOR ELECTRIC DELIVERY TRANSITION BOND CO SER | N/A | 68233LAB5 | 285,457 | 289,203.54 | 0.14% |
| FANNIE MAE 2003-57 NB 3.000% 25/JUN/2018 | N/A | 31393CG98 | 246,487 | 249,746.20 | 0.12% |
| 2003-14 AN 0.000% 25/MAR/2033 | N/A | 31392JDX4 | 241,096 | 241,625.08 | 0.12% |
| FREDDIE MAC 2611 KC 3.500% 15/JAN/2017 | N/A | 31393QZE5 | 231,076 | 235,842.78 | 0.11% |
| FNMA MORTPASS 5.5% 01/FEB/2017 CI PN# 254195 | N/A | 31371KKG5 | 201,758 | 215,739.29 | 0.10% |
| MORGAN STANEY CAPITAL I | N/A | 61745M2A0 | 213,918 | 213,870.94 | 0.10% |
| FREDDIE MAC SER 2630 CL JA 3% 15/JUN/2018 | N/A | 31393RQC7 | 203,732 | 206,631.31 | 0.10% |
| TXU ELECTRIC DELIVERY TRANSITIONAL TRUST 2004 1 A1 | N/A | 87316YAA9 | 195,728 | 196,479.91 | 0.09% |
| FANNIE MAE 2003-75 NB-RCR 3.250% 25/AUG/2018 | N/A | 31393D2Z3 | 186,174 | 189,287.74 | 0.09% |
| JOHN DEER TRUST 2008 A-2 15/MAR/2011 3.63000 | N/A | 477878AB8 | 187,881 | 188,096.41 | 0.09% |
| FNMA PASS THRU CTF POOL NO: 625178 | N/A | 31389GQ78 | 167,506 | 179,113.76 | 0.09% |
| DAIMLERCHRYSLER AUTO TRUST 2007-A A-2A 4.940% | N/A | 233882AB5 | 149,540 | 150,176.11 | 0.07% |
| RFMSI SERIES 2003-S11 TRUST 2003-S1 A-1 2.500% | N/A | 76111J6M1 | 128,253 | 127,413.90 | 0.06% |
| FNMA MORTPASS 6% 01/DEC/2016 CI PN# 254089 | N/A | 31371KF63 | 94,994 | 102,052.09 | 0.05% |
| BEAR STEARNS COM MTG SECS INC 6.08% CMO | N/A | 07383FFN3 | 93,227 | 93,617.07 | 0.04% |
| FNMA MORTPASS 6% 01/JAN/2017 CI PN# 545415 | N/A | 31385H3Y6 | 84,398 | 90,669.00 | 0.04% |
| FEDERAL NATIONAL MORTGAGE ASSOC 6% MTG BKD PASS | N/A | 31371J5E0 | 60,505 | 65,000.41 | 0.03% |
| FHLMCGLD MORTPASS 6% 01/JUL/2016 E0 PN# E00991 | N/A | 31294KC45 | 48,569 | 51,912.04 | 0.02% |
| FEDERAL HOME LN MTG CORP PN# E00678 | N/A | 31294JXF0 | 34,965 | 36,935.31 | 0.02% |
| Holding | Ticker | Security No | Shares | Market Value | Percent |
|---|---|---|---|---|---|
| U.S. TREASURY NOTES | N/A | 912828HD5 | 8,000,000 | 8,023,752.00 | 4.16% |
| U.S. TREASURY NOTES | N/A | 912828HL7 | 6,000,000 | 6,059,532.00 | 3.15% |
| U.S. TREASURY NOTE | N/A | 912828HP8 | 5,000,000 | 5,038,865.00 | 2.62% |
| U.S. TREASURY NOTES | N/A | 912828HS2 | 4,000,000 | 4,034,220.00 | 2.09% |
| HONEYWELL INTERNATIONAL | N/A | 438516AK2 | 2,500,000 | 2,591,322.50 | 1.34% |
| JONHSON & JOHNSON | N/A | 478160AK0 | 2,428,000 | 2,428,000.00 | 1.26% |
| PECO ENERGY TRANSITION TRUST | N/A | 705220AM3 | 2,300,000 | 2,396,259.60 | 1.24% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31359M2S1 | 2,300,000 | 2,328,556.80 | 1.21% |
| BELLSOUTH CORP | N/A | 079860AF9 | 2,300,000 | 2,302,336.80 | 1.20% |
| FEDERAL HOME LOAN MORTGAGE CORP. | B17493 | 312970KE5 | 2,206,373 | 2,266,377.03 | 1.18% |
| HONDA AUTO RECEIVABLES OWNER TRUST | N/A | 43812UAB7 | 2,200,000 | 2,221,539.98 | 1.15% |
| UNILEVER CAPITAL CORP. | N/A | 904764AG2 | 2,000,000 | 2,142,722.00 | 1.11% |
| VERIZON GLOBAL FUNDING CORP. | N/A | 92344GAL0 | 2,000,000 | 2,130,124.00 | 1.11% |
| CISCO SYSTEMS INC | N/A | 17275RAB8 | 2,000,000 | 2,116,122.00 | 1.10% |
| PSE&G TRANSITION FUNDING LLC | N/A | 69361YAE3 | 2,000,000 | 2,087,087.40 | 1.08% |
| CITIBANK CREDIT CARD ISSUANCE TRUST | N/A | 17305ECU7 | 2,000,000 | 2,077,297.20 | 1.08% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 3136F7BE6 | 2,000,000 | 2,061,172.00 | 1.07% |
| PFIZER INC. | N/A | 717081DC4 | 2,000,000 | 2,059,800.00 | 1.07% |
| FEDERAL FARM CREDIT BANK | N/A | 31331XWL2 | 2,000,000 | 2,058,942.00 | 1.07% |
| JOHN DEERE CAPITAL CORP | N/A | 24422EQA0 | 2,000,000 | 2,056,606.00 | 1.07% |
| GENENTECH INC. | N/A | 368710AE9 | 2,000,000 | 2,055,336.00 | 1.07% |
| FREDDIE MAC | N/A | 31393QP63 | 2,001,916 | 2,051,888.30 | 1.06% |
| FEDERAL NATIONAL MORTGAGE ASSOC. | N/A | 31359MC92 | 2,000,000 | 2,051,660.00 | 1.06% |
| MORGAN STANLEY | N/A | 61757UAA8 | 2,000,000 | 2,051,050.00 | 1.06% |
| JP MORGAN CHASE AND COMPANY | N/A | 481247AD6 | 2,000,000 | 2,044,256.00 | 1.06% |
| FEDERAL HOME LOAN MORTGAGE CORP. | N/A | 3137EAAP4 | 2,000,000 | 2,039,774.00 | 1.06% |
| FEDERAL HOME LOAN BANK | N/A | 3133XQU26 | 2,000,000 | 2,036,386.00 | 1.06% |
| GINNIE MAE | N/A | 38374BBC6 | 2,025,917 | 2,032,868.19 | 1.06% |
| FEDERAL HOME LOAN MORTGAGE CORP. | N/A | 3137EABG3 | 2,000,000 | 2,032,524.00 | 1.06% |
| STATE STREET BANK & TR | N/A | 85744RAA0 | 2,000,000 | 2,031,494.00 | 1.05% |
| BANK OF AMERICA CREDIT CARD TRUST | N/A | 05522RCG1 | 2,000,000 | 2,027,798.00 | 1.05% |
| GENERAL ELECTRIC CAPITAL CORP | N/A | 36967HAL1 | 2,000,000 | 2,027,242.00 | 1.05% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31398AVQ2 | 2,000,000 | 2,025,940.00 | 1.05% |
| FEDERAL HOME LOAN MORTGAGE CORP. | N/A | 3128X6W93 | 2,000,000 | 2,023,952.00 | 1.05% |
| BANK OF AMERICA NA | N/A | 06052AAA9 | 2,000,000 | 2,021,488.00 | 1.05% |
| WELLS FARGO COMPANY | N/A | 949746JJ1 | 2,000,000 | 2,019,888.00 | 1.05% |
| 3M COMPANY | N/A | 88579EAB1 | 2,000,000 | 2,019,376.00 | 1.05% |
| GOLDMAN SACHS GROUP, INC. | N/A | 38146FAF8 | 2,000,000 | 2,018,168.00 | 1.05% |
| FREDDIE MAC | N/A | 31398EWC4 | 1,940,406 | 2,013,952.23 | 1.05% |
| INTERNATIONAL BANK RECON & DEVELOPMENT | N/A | 45905UGA6 | 2,000,000 | 2,008,264.00 | 1.04% |
| CITIGROUP FUNDING INC | N/A | 17314AAA0 | 2,000,000 | 2,005,888.00 | 1.04% |
| CATERPILLAR INC | N/A | 149123BG5 | 2,000,000 | 2,004,066.00 | 1.04% |
| IBM CORP. | N/A | 459200AZ4 | 2,000,000 | 2,002,622.00 | 1.04% |
| HSBC BANK USA | N/A | 4042Q0AN9 | 2,000,000 | 2,002,114.00 | 1.04% |
| CHASE ISSUANCE TRUST | N/A | 161571BB9 | 1,997,000 | 1,979,471.53 | 1.03% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31393DPV7 | 1,836,311 | 1,870,948.65 | 0.97% |
| FREDDIE MAC | N/A | 31394KDA9 | 1,788,203 | 1,825,273.82 | 0.95% |
| BMW VEHICLE OWNER TRUST | N/A | 055670AD5 | 1,729,095 | 1,757,071.71 | 0.91% |
| KFW | N/A | 500769CF9 | 1,695,000 | 1,750,984.16 | 0.91% |
| BANK OF AMERICA COMMERCIAL MORTGAGE INC. | N/A | 05947UC89 | 1,749,684 | 1,747,771.45 | 0.91% |
| AFRICAN DEVELOPMENT BANK | N/A | 008281AW7 | 1,700,000 | 1,696,307.60 | 0.88% |
| MBNA CREDIT CARD MASTER NOTE TRUST | N/A | 55264TCK5 | 1,696,000 | 1,675,497.23 | 0.87% |
| MORGAN STANLEY CAPITAL I | N/A | 61745M3C5 | 1,621,406 | 1,633,998.67 | 0.85% |
| WACHOVIA CORP. | N/A | 929766B85 | 1,610,182 | 1,606,750.61 | 0.83% |
| BURLINGTON RESOURCES | N/A | 122014AC7 | 1,500,000 | 1,603,122.00 | 0.83% |
| UNITED TECHNOLOGIES CORP | N/A | 913017BG3 | 1,500,000 | 1,539,738.00 | 0.80% |
| HEWLETT-PACKARD CORP | N/A | 428236AX1 | 1,500,000 | 1,527,177.00 | 0.79% |
| TOYOTA MOTOR CREDIT CORP. | N/A | 892332AP2 | 1,500,000 | 1,521,747.00 | 0.79% |
| HELLER FINANCIAL INC | N/A | 423328BM4 | 1,500,000 | 1,516,488.00 | 0.79% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31392JNH8 | 1,470,558 | 1,505,340.72 | 0.78% |
| RABOBANK NEDERLAND FLTR | N/A | 74977RBF0 | 1,500,000 | 1,503,333.00 | 0.78% |
| BANK OF NY MELLON | N/A | 06406HBH1 | 1,500,000 | 1,502,974.50 | 0.78% |
| PECO ENERGY TRANSITION TRUST | N/A | 705220AL5 | 1,500,000 | 1,499,974.20 | 0.78% |
| FREDDIE MAC | N/A | 31397WXE0 | 1,488,256 | 1,482,020.02 | 0.77% |
| MBNA MASTER CREDIT CARD TRUST | N/A | 55264TCZ2 | 1,440,000 | 1,469,974.18 | 0.76% |
| WORLD OMNI AUTO RECEIVABLES TRUST | N/A | 981528AB8 | 1,415,627 | 1,435,363.63 | 0.74% |
| FANNIE MAE | N/A | 31394BVV3 | 1,356,455 | 1,381,279.89 | 0.72% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31392FZ26 | 1,332,792 | 1,374,223.87 | 0.71% |
| WACHOVIA BANK COMMERICAL MORTGAGE TRUST | N/A | 929766YV9 | 1,299,134 | 1,302,324.72 | 0.68% |
| BANK ONE ISSUANCE TRUST | N/A | 06423RAK2 | 1,300,000 | 1,299,666.55 | 0.67% |
| FANNIE MAE | N/A | 31393YRW7 | 1,246,522 | 1,290,577.71 | 0.67% |
| CHASE ISSUANCE TRUST | N/A | 161571AW4 | 1,230,000 | 1,279,187.82 | 0.66% |
| CPL TRANSITION FUNDING LLC | N/A | 12617AAC1 | 1,205,648 | 1,227,222.91 | 0.64% |
| JP MORGAN CHASE COMMERCIAL MORTGAGE | N/A | 46629GAA6 | 1,116,766 | 1,135,593.97 | 0.59% |
| FREDDIE MAC | N/A | 31392X2Y3 | 1,109,345 | 1,132,073.01 | 0.59% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31394FYR0 | 1,092,741 | 1,112,982.54 | 0.58% |
| CITIBANK CREDIT CARD ISSUANCE TRUST | N/A | 17305EDV4 | 1,055,000 | 1,093,557.93 | 0.57% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31394AUT1 | 1,071,565 | 1,093,580.79 | 0.57% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31393TAE6 | 1,078,047 | 1,093,133.34 | 0.57% |
| FREDDIE MAC | N/A | 31393VPU9 | 1,066,453 | 1,085,036.40 | 0.56% |
| GINNIE MAE | N/A | 38374J6V3 | 1,070,692 | 1,079,395.82 | 0.56% |
| ASIAN DEVELOPMENT BANK | N/A | 045167BL6 | 1,000,000 | 1,036,795.00 | 0.54% |
| INTER-AMERICAN DEVELOPMENT BANK | N/A | 458182BS0 | 1,029,000 | 1,029,000.00 | 0.53% |
| NEW YORK LIFE GLOBAL FDG | N/A | 64952WAE3 | 1,000,000 | 1,018,307.00 | 0.53% |
| FREDDIE MAC | N/A | 31394HTD3 | 999,595 | 1,015,993.02 | 0.53% |
| JPMORGAN & CHASE & CO | N/A | 46625HBX7 | 1,000,000 | 1,001,839.00 | 0.52% |
| FREDDIE MAC | N/A | 31393RJY7 | 927,874 | 949,922.57 | 0.49% |
| LOWES COMPANIES | N/A | 548661CA3 | 885,000 | 933,545.79 | 0.48% |
| FPL RECOVERY FUNDING | N/A | 302583AA7 | 902,069 | 928,305.11 | 0.48% |
| GMAC COMMERCIAL MORTGAGE SECURITIES INC. | N/A | 361849ZR6 | 872,433 | 882,087.81 | 0.46% |
| GMAC COMMERICAL MORTGAGE SECURITIES INC | N/A | 361849J60 | 816,584 | 819,330.14 | 0.43% |
| MORGAN STANLEY CAPITAL | N/A | 61745MN74 | 776,338 | 785,199.18 | 0.41% |
| CENTERPOINT ENERGY TRANSITION BOND COMPANY | N/A | 75953MAC4 | 742,601 | 743,854.41 | 0.39% |
| FREDDIE MAC | N/A | 31393VPS4 | 710,968 | 722,726.20 | 0.38% |
| BAXTER FINCO BV | N/A | 07181XAB9 | 675,000 | 701,569.35 | 0.36% |
| CAPITAL AUTO RECEIVABLES ASSET TRUST | N/A | 13973AAD5 | 635,286 | 645,221.28 | 0.33% |
| CATERPILLAR FINANCIAL ASSET TRUST | N/A | 14911TAB1 | 542,676 | 545,914.93 | 0.28% |
| CMBS SENIOR MSC_98-HF | N/A | 201730AC2 | 534,224 | 536,895.16 | 0.28% |
| FREDDIE MAC | N/A | 31393W5S4 | 521,761 | 525,184.91 | 0.27% |
| USAA AUTO OWNER TRUST | N/A | 90327AAB0 | 485,834 | 487,708.49 | 0.25% |
| DAIMLER CHRYSLER AUTO TRUST | N/A | 233880AB9 | 448,719 | 452,310.28 | 0.23% |
| FHR 2613 PA | N/A | 31393RFC9 | 343,557 | 349,100.16 | 0.18% |
| GREENWICH CAPITAL COMMERCIAL FUNDING CORP. | N/A | 396789FP9 | 335,695 | 335,439.65 | 0.17% |
| JOHN DEERE OWNER TRUST SERIES 2008-A CLASS A2 | N/A | 477878AB8 | 314,184 | 314,773.97 | 0.16% |
| MORGAN STANLEY CAPITAL I | N/A | 61745M2A0 | 309,900 | 309,969.00 | 0.16% |
| FREDDIE MAC 01/15/18 | N/A | 31394H6A4 | 296,476 | 306,924.80 | 0.16% |
| HEWLETT-PACKARD CO | N/A | 428236AZ6 | 300,000 | 304,517.10 | 0.16% |
| ONCOR ELECTRIC DELIVERY TRANSITION BOND COMP. | N/A | 68233LAB5 | 285,457 | 289,680.40 | 0.15% |
| FNR 2003-57NB FANNIE MAE | N/A | 31393CG98 | 254,684 | 258,171.58 | 0.13% |
| FEDERAL HOME LOAN MORTGAGE CORP. | N/A | 31393QZE5 | 242,854 | 248,030.66 | 0.13% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31392JDX4 | 246,900 | 246,132.25 | 0.13% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | 254195 | 31371KKG5 | 206,991 | 220,387.25 | 0.11% |
| FREDDIE MAC | N/A | 31393RQC7 | 214,016 | 217,156.01 | 0.11% |
| DAIMLER CHRYSLER AUTO TRUST | N/A | 233882AB5 | 199,478 | 200,537.38 | 0.10% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | N/A | 31393D2Z3 | 193,710 | 197,032.16 | 0.10% |
| TEXAS ELECTRIC DELIVERY TRANSITION BOND CO. LLC | N/A | 87316YAA9 | 195,728 | 196,254.53 | 0.10% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | 625178 | 31389GQ78 | 173,652 | 184,890.05 | 0.10% |
| RFMSI 2003-S11 CLASS A1 | N/A | 76111J6M1 | 145,563 | 144,517.37 | 0.08% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | 254089 | 31371KF63 | 97,376 | 104,195.78 | 0.05% |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES, INC. | N/A | 07383FFN3 | 98,019 | 98,569.61 | 0.05% |
| FEDERAL NATIONAL MORTGAGE ASSOC | 545415 | 31385H3Y6 | 86,197 | 92,234.01 | 0.05% |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION | 253845 | 31371J5E0 | 62,257 | 66,617.15 | 0.03% |
| FEDERAL HOME LOAN MORTGAGE CORP., | E00991 | 31294KC45 | 49,590 | 52,940.29 | 0.03% |
| FEDERAL HOME LOAN MORTGAGE CORP. | E00678 | 31294JXF0 | 36,362 | 38,360.75 | 0.02% |
| NOMURA ASSET SECURITIES CORP. | N/A | 655356JF1 | 2,411 | 2,413.13 | 0.00% |
Fund Risk Disclosure
The Fund may purchase securities in derivatives, which can be very volatile and carry high transaction costs. The Fund may purchase mortgage-backed and asset-backed securities, which are sensitive to fluctuations in interest rates. In addition, these securities are subject to prepayment, which may cause the Fund to reinvest in securities with lower interest rates.
NFW-1895AO.1
