|
DESCRIPTION
|
DATE
ACQUIRED
|
PAR
|
COST
|
VALUE
¶
|
|||||||||
|
(Percentages
of each investment category relate to total net assets)
|
|||||||||||||
|
U.S.
Government Agency Mortgage-Backed Securities — 10.6%
|
|||||||||||||
|
Fixed
Rate — 10.6%
|
|||||||||||||
|
Federal
Home Loan Mortgage Corporation,
|
|||||||||||||
|
5.50%,
1/1/18, #E93231 ■
|
$ | 511,595 | $ | 523,278 | $ | 522,604 | |||||||
|
9.00%,
7/1/30, #C40149
|
75,050 | 76,773 | 82,472 | ||||||||||
|
Federal
National Mortgage Association,
|
|||||||||||||
|
6.00%,
10/1/16, #610761 ■
|
243,531 | 246,848 | 249,771 | ||||||||||
|
5.00%,
7/1/18, #724954 ■
|
1,154,673 | 1,153,481 | 1,177,148 | ||||||||||
|
6.50%,
6/1/29, #252497 ■
|
146,567 | 145,716 | 151,996 | ||||||||||
|
7.50%,
3/1/30, #495694
|
81,675 | 80,529 | 85,064 | ||||||||||
|
7.50%,
5/1/30, #535289 ■
|
29,401 | 28,548 | 30,943 | ||||||||||
|
8.00%,
5/1/30, #538266 ■
|
11,458 | 11,333 | 12,147 | ||||||||||
|
6.00%,
5/1/31, #535909 ■
|
280,052 | 281,427 | 287,487 | ||||||||||
|
6.50%,
11/1/31, #613339 ■
|
138,508 | 141,167 | 143,552 | ||||||||||
|
5.50%,
7/1/33, #720735 ■
|
1,842,683 | 1,823,417 | 1,877,213 | ||||||||||
|
Total
U.S. Government Agency Mortgage-Backed Securities
|
4,512,517 | 4,620,397 | |||||||||||
|
Asset-Backed Securities
r — 12.6%
|
|||||||||||||
|
Commercial —
12.6%
|
|||||||||||||
|
Bear
Stearns Commercial Mortgage Securities,
|
|||||||||||||
|
5.90%,
9/11/38, Series 2006-PW12, Class A4
|
1,200,000 | 969,844 | 888,353 | ||||||||||
|
5.74%,
9/11/42, Series 2007-T28, Class A4
|
1,200,000 | 928,875 | 816,265 | ||||||||||
|
Citigroup/Deutsche
Bank Commercial Mortgage Trust, Series 2005-CD1, Class A4, 5.40%,
7/15/44
|
2,357,000 | 1,489,329 | 1,753,978 | ||||||||||
|
LB-UBS
Commercial Mortgage Trust, Series-C1, Class A2, 6.32%,
4/15/41
|
1,875,000 | 1,367,139 | 1,224,726 | ||||||||||
|
Morgan
Stanley Capital I, Series 2007-T27, Class A4, 5.80%,
6/13/42
|
1,160,000 | 926,595 | 761,805 | ||||||||||
|
Total
Asset-Backed Securities
|
5,681,782 | 5,445,127 | |||||||||||
|
Corporate Note ∞ ¶ — 7.9%
|
|||||||||||||
|
Fixed
Rate — 7.9%
|
|||||||||||||
|
Stratus
Properties V, 6.92%, 12/31/11
|
6/1/07
|
3,500,000 | 3,500,000 | 3,410,750 | |||||||||
|
Whole Loans ∞ & — 75.0%
|
|||||||||||||
|
Commercial
Loans — 55.4%
|
|||||||||||||
|
Advance
Self Storage, Lincoln, NE, 6.13%, 1/1/11 µ
|
12/30/05
|
1,433,394 | 1,433,394 | 1,359,407 | |||||||||
|
Buca
Restaurant, Maple Grove, MN, 8.63%, 1/1/11
|
12/27/00
|
836,475 | 836,475 | 831,060 | |||||||||
|
Copper
Junction, Copper Mountain, CO, 6.38%, 7/1/17 µ
|
6/14/07
|
1,923,904 | 1,923,904 | 1,520,723 | |||||||||
|
Hampden
Medical Office, Englewood, CO, 7.38%, 10/1/12
|
9/9/02
|
1,563,076 | 1,563,076 | 1,199,543 | |||||||||
|
Integrity
Plaza Shopping Center, Albuquerque, NM, 7.88%, 7/1/12 µ
|
6/11/02
|
1,948,051 | 1,948,051 | 1,880,278 | |||||||||
|
La
Costa Meadows Industrial Park I, San Marcos, CA, 6.78%, 7/1/17 ¶
µ
|
6/28/07
|
1,250,000 | 1,250,000 | 1,008,202 | |||||||||
|
La
Costa Meadows Industrial Park II, San Marcos, CA, 7.53%, 7/1/17 ¶
µ
|
6/28/07
|
2,000,000 | 2,000,000 | 1,827,066 | |||||||||
|
Minikahda
Mini Storage IV, Minneapolis, MN, 7.15%, 3/1/11 µ
|
2/28/06
|
1,586,268 | 1,586,268 | 1,538,949 | |||||||||
|
Naples
Boat Club, Naples, FL, 6.43%, 1/1/17 µ
|
12/28/06
|
1,718,312 | 1,718,312 | 1,404,690 | |||||||||
|
Orchard
Commons, Englewood, CO, 8.63%, 4/1/11
|
3/28/01
|
958,528 | 958,528 | 949,628 | |||||||||
|
Palace
Court, Santa Fe, NM, 6.68%, 11/1/11 µ
¶
|
10/2/06
|
1,900,000 | 1,900,000 | 1,471,525 | |||||||||
|
Par
3 Office Building, Bend, OR, 6.63%, 8/1/13 µ
¶
|
8/3/06
|
1,900,000 | 1,900,000 | 1,662,073 | |||||||||
|
Perkins
Restaurant, Maple Grove, MN, 6.38%, 1/1/11 µ
|
12/23/05
|
1,373,135 | 1,373,135 | 1,266,718 | |||||||||
|
Rockwood
Galleria, Gresham, OR, 7.25%, 2/1/11 µ
|
1/6/03
|
1,507,455 | 1,507,455 | 1,464,417 | |||||||||
|
Stephens
Center, Missoula, MT, 6.38%, 9/1/10 µ
|
4/20/06
|
1,824,969 | 1,824,969 | 1,753,952 | |||||||||
|
The
Storage Place, Marana, AZ, 6.65%, 1/1/13 ¶
|
12/20/07
|
3,200,000 | 3,200,000 | 2,881,584 | |||||||||
| 26,923,567 | 24,019,815 | ||||||||||||
|
DESCRIPTION
|
|||||||||||||
|
DATE
ACQUIRED
|
PAR/
SHARES
|
COST
|
VALUE
¶
|
||||||||||
|
Multifamily
Loans — 18.2%
|
|||||||||||||
|
Forest
Club Apartments, Dallas, TX, 11.88%, 8/1/09 ¶
|
4/19/06
|
$ | 1,720,000 | $ | 1,720,000 | $ | 1,582,560 | ||||||
|
Franklin
Woods Apartments, Franklin, NH, 5.88%, 3/1/10
|
2/24/95
|
761,366 | 761,366 | 731,882 | |||||||||
|
Hunt
Club Apartments, Waco, TX, 5.64%, 7/1/11 µ
|
6/3/04
|
1,169,121 | 1,169,121 | 1,076,505 | |||||||||
|
Park
Hollywood, Portland, OR, 7.38%, 6/1/12 µ
|
5/31/02
|
1,100,658 | 1,100,658 | 1,046,356 | |||||||||
|
Spring
Creek Gardens, Plano, TX, 5.71%, 1/1/09 r ¶
|
12/22/05
|
2,050,000 | 2,050,000 | 1,435,000 | |||||||||
|
Vanderbilt
Condominiums, Austin, TX, 8.04%, 10/1/09
|
9/29/99
|
1,074,702 | 1,074,702 | 1,060,892 | |||||||||
|
Villa
Bonita, Chez Royalle, Fitzhugh Apartments I, Dallas, TX, 7.25%, 3/1/09
r
|
2/21/03
|
824,137 | 824,137 | 824,136 | |||||||||
|
Villa
Bonita, Chez Royalle, Fitzhugh Apartments II, Dallas, TX, 9.88%,
3/1/09
|
2/21/03
|
152,967 | 152,967 | 137,843 | |||||||||
| 8,852,951 | 7,895,174 | ||||||||||||
|
Single
Family Loans — 1.4%
|
|||||||||||||
|
American
Portfolio, 1 loan, California, 4.88%, 10/18/15
|
7/18/95
|
20,387 | 19,420 | 20,999 | |||||||||
|
Anivan,
1 loan, Maryland, 5.19%, 4/14/12
|
6/14/96
|
75,464 | 75,953 | 72,763 | |||||||||
|
Bank
of New Mexico, 1 loan, New Mexico, 6.23%, 3/31/10
|
5/31/96
|
34,244 | 33,610 | 32,136 | |||||||||
|
Bluebonnet
Savings & Loan, 6 loans, Texas, 6.66%, 8/31/10
|
5/22/92
|
125,341 | 114,834 | 120,433 | |||||||||
|
Cross
Roads Savings & Loan II, 1 loan, Oklahoma, 8.34%, 1/1/21 u
|
1/7/92
|
21,519 | 20,238 | 15,806 | |||||||||
|
Fairbanks,
1 loan, Utah, 5.50%, 9/23/15
|
5/21/92
|
18,895 | 16,037 | 19,462 | |||||||||
|
Knutson
Mortgage Portfolio I, 2 loans, Maine & Montana, 9.37%,
8/1/17
|
2/26/92
|
134,079 | 127,941 | 138,101 | |||||||||
|
McClemore,
Matrix Funding Corporation, 1 loan, North Carolina, 10.50%,
9/30/12
|
9/9/92
|
42,564 | 40,436 | 43,841 | |||||||||
|
Nomura
III, 3 loans, California, New York, & Massachusetts, 8.20%,
4/29/17
|
9/29/95
|
70,471 | 63,702 | 72,570 | |||||||||
|
Rand
Mortgage Corporation, 2 loans, Texas, 9.50%, 8/1/17
|
2/21/92
|
56,284 | 46,179 | 57,972 | |||||||||
| 558,350 | 594,083 | ||||||||||||
|
Total
Whole Loans
|
36,334,868 | 32,509,072 | |||||||||||
|
Preferred
Stocks — 18.9%
|
|||||||||||||
|
Real
Estate Investment Trusts — 18.9%
|
|||||||||||||
|
AMB
Property, Series L
|
26,560 | 597,940 | 309,690 | ||||||||||
|
AMB
Property, Series M
|
5,600 | 139,850 | 64,624 | ||||||||||
|
BRE
Properties, Series C
|
30,150 | 599,080 | 434,461 | ||||||||||
|
BRE
Properties, Series D
|
2,400 | 47,688 | 37,200 | ||||||||||
|
Developers
Diversified Realty, Series G
|
20,000 | 447,000 | 134,600 | ||||||||||
|
Developers
Diversified Realty, Series H
|
12,060 | 247,230 | 66,571 | ||||||||||
|
Developers
Diversified Realty, Series I
|
1,950 | 40,657 | 10,725 | ||||||||||
|
Duke
Realty, Series J
|
2,100 | 52,246 | 20,580 | ||||||||||
|
Duke
Realty, Series L
|
8,750 | 167,300 | 80,937 | ||||||||||
|
Duke
Realty, Series M
|
26,120 | 532,400 | 342,172 | ||||||||||
|
Duke
Realty, Series O
|
20,300 | 479,080 | 292,929 | ||||||||||
|
Equity
Residential Properties, Series N
|
4,800 | 101,520 | 77,808 | ||||||||||
|
Health
Care Properties, Series E
|
5,400 | 141,419 | 91,044 | ||||||||||
|
Health
Care Properties, Series F
|
13,270 | 341,394 | 218,955 | ||||||||||
|
HRPT
Properties Trust, Series B
|
8,171 | 212,725 | 93,966 | ||||||||||
|
Kimco
Realty, Series F
|
19,400 | 500,619 | 242,500 | ||||||||||
|
Kimco
Realty, Series G
|
41,700 | 965,549 | 633,840 | ||||||||||
|
National
Retail Properties, Series C
|
25,000 | 527,500 | 347,500 | ||||||||||
|
Post
Properties, Series B
|
17,800 | 468,112 | 240,834 | ||||||||||
|
ProLogis
Trust, Series F
|
5,975 | 139,549 | 44,813 | ||||||||||
|
ProLogis
Trust, Series G
|
3,800 | 79,800 | 33,250 | ||||||||||
|
PS
Business Parks, Series H
|
22,060 | 389,700 | 327,812 | ||||||||||
|
PS
Business Parks, Series I
|
4,240 | 83,401 | 59,572 | ||||||||||
|
PS
Business Parks, Series K
|
25,000 | 578,750 | 462,250 | ||||||||||
|
PS
Business Parks, Series M
|
12,060 | 248,436 | 195,975 | ||||||||||
|
PS
Business Parks, Series P
|
3,750 | 71,887 | 51,600 | ||||||||||
|
Public
Storage, Series A
|
6,000 | 144,291 | 101,100 | ||||||||||
|
Public
Storage, Series C
|
5,000 | 100,000 | 86,700 | ||||||||||
|
Public
Storage, Series E
|
14,200 | 263,000 | 248,642 | ||||||||||
|
Public
Storage, Series F
|
9,300 | 231,105 | 154,845 | ||||||||||
|
Public
Storage, Series I
|
12,060 | 262,305 | 241,200 | ||||||||||
|
Public
Storage, Series K
|
8,000 | 174,000 | 166,000 | ||||||||||
|
DESCRIPTION
|
SHARES
|
COST
|
VALUE
¶
|
|||||||||
|
Public
Storage, Series X
|
3,000 | $ | 74,330 | $ | 49,680 | |||||||
|
Public
Storage, Series Z
|
11,500 | 282,309 | 185,840 | |||||||||
|
Realty
Income, Series D
|
20,500 | 546,185 | 389,500 | |||||||||
|
Realty
Income, Series E
|
37,060 | 714,246 | 655,962 | |||||||||
|
Regency
Centers, Series C
|
22,060 | 482,737 | 352,960 | |||||||||
|
Regency
Centers, Series E
|
24,060 | 483,600 | 383,757 | |||||||||
|
UDR,
Series G
|
12,060 | 258,084 | 180,900 | |||||||||
|
Vornado
Realty Trust, Series E
|
4,800 | 121,338 | 71,904 | |||||||||
|
Total
Preferred Stocks
|
12,338,362 | 8,185,198 | ||||||||||
|
Total
Unaffiliated Investments
|
62,367,529 | 54,170,544 | ||||||||||
|
Short-Term
Investment — 6.9%
|
||||||||||||
|
First
American Prime Obligations Fund, Class Z þ
|
2,974,020 | 2,974,020 | 2,974,020 | |||||||||
|
Total
Investments p —
131.9%
|
$ | 65,341,549 | $ | 57,144,564 | ||||||||
|
Other
Assets and Liabilities, Net — (31.9)%
|
(13,812,148 | ) | ||||||||||
|
Total
Net Assets — 100.0%
|
$ | 43,332,416 | ||||||||||
|
¶
|
Security
valuations for the fund’s investments (other than whole loans,
participation mortgages, and mortgage servicing rights) are furnished by
an independent pricing service that has been approved by the fund’s board
of directors. Investments in equity securities that are traded on a
national securities exchange (or reported on the Nasdaq national market
system) are stated at the last quoted sales price if readily available for
such securities on each business day. For securities traded on the Nasdaq
national market system, the fund utilizes the Nasdaq Official Closing
Price which compares the last trade to the bid/ask price of a security. If
the last trade falls within the bid/ask range, then that price will be the
closing price. If the last trade is outside the bid/ask range, and falls
above the ask, the ask price will be the closing price. If the last trade
is below the bid, the bid will be the closing price. Other equity
securities traded in the over-the-counter market and listed equity
securities for which no sale was reported on that date are stated at the
last quoted bid price. Investments in open-end mutual funds are valued at
their respective net asset values on the valuation date.
Debt
obligations exceeding 60 days to maturity are valued by an independent
pricing service. The pricing service may employ methodologies that utilize
actual market transactions, broker-dealer supplied valuations, or other
formula-driven valuation techniques. These techniques generally consider
such factors as yields or prices of bonds of comparable quality, type of
issue, coupon, maturity, ratings, and general market conditions.
Securities for which prices are not available from an independent pricing
service but where an active market exists are valued using market
quotations obtained from one or more dealers that make markets in the
securities or from a widely-used quotation system. Debt obligations with
60 days or less remaining until maturity may be valued at their amortized
cost which approximates market value.
The
following investment vehicles, when held by the fund, are priced as
follows: Exchange listed futures and options on futures are priced at
their last sale price on the exchange on which they are principally
traded, as determined by FAF Advisors, Inc. (“FAF Advisors”), on the day
the valuation is made. If there were no sales on that day, futures and
options on futures will be valued at the last reported bid price. Options
on securities, indices, and currencies traded on Nasdaq or listed on a
stock exchange, whether domestic or foreign, are valued at the last sale
price on Nasdaq or on any exchange on the day the valuation is made. If
there were no sales on that day, the options will be valued at the last
sale price on the previous valuation date. Last sale prices are obtained
from an independent pricing service. Forward contracts (other than
currency forward contracts), swaps, and over-the-counter options on
securities, indices, and currencies are valued at the quotations received
from an independent pricing service, if available.
When
market quotations are not readily available, securities are valued at fair
value as determined in good faith by procedures established and approved
by the fund’s board of directors. Some of the factors which may be
considered in determining fair value are fundamental analytical data
relating to the investment; the nature and duration of any restrictions on
disposition; trading in similar securities of the same issuer or
comparable companies; information from broker-dealers; and an evaluation
of the forces that influence the market in which the security is purchased
or sold. If events occur that materially affect the value of securities
(including non-U.S. securities) between the close of trading in those
securities and the close of regular trading on the New York Stock
Exchange, the securities will be valued at fair
value.
|
|
The
fund’s investments in whole loans (single family, multifamily, and
commercial), participation mortgages, and mortgage servicing rights are
generally not traded in any organized market and therefore, market
quotations are not readily available. These investments are valued at fair
value according to procedures adopted by the fund’s board of directors.
Pursuant to these procedures, whole loan investments are initially fair
valued at cost and adjusted using a FAF Advisors pricing model designed to
incorporate, among other things, the present value of the projected stream
of cash flows on such investments. The pricing model takes into account a
number of relevant factors including the projected rate of prepayments,
the delinquency profile, the historical payment record, the expected yield
at purchase, changes in prevailing interest rates, and changes in the real
or perceived liquidity of whole loans, participation mortgages, and
mortgage servicing rights as the case may be. The results of the pricing
model may be further subject to price ceilings due to the illiquid nature
of the loans. Changes in prevailing interest rates, real or perceived
liquidity, yield spreads, and creditworthiness are factored into the
pricing model each week.
Certain
mortgage loan information is received once a month. This information
includes, but is not limited to, the projected rate of prepayments,
projected rate and severity of defaults, the delinquency profile, and the
historical payment record. Valuations of whole loans, participation
mortgages, and mortgage servicing rights are determined no less frequently
than weekly. Although FAF Advisors believes the pricing model to be
reasonable and appropriate, the actual values that may be realized upon
the sale of whole loans, participation mortgages, and mortgage servicing
rights can only be determined in negotiations between the fund and third
parties.
In
accordance with the valuation procedures adopted by the fund’s board of
directors, real estate acquired through foreclosure, if any, is valued at
estimated market value, as determined by independent third party
appraisals, less estimated selling costs. As material capital improvements
are made to the property, new market value appraisals are
obtained.
As
of November 30, 2008, the fund held fair valued securities with a value of
$35,919,822 or 82.9% of total net assets.
|
|||||||||||||
|
■
|
Securities
pledged as collateral for outstanding reverse repurchase
agreements. On November 30, 2008, securities valued at $4,452,861
were pledged as collateral for the following outstanding reverse
repurchase agreements:
|
||||||||||||
|
Name
of Broker
|
|||||||||||||
|
Acquisition
|
Accrued
|
and
Description
|
|||||||||||
|
Amount
|
Date
|
Rate*
|
Due
|
Interest
|
of
Collateral
|
||||||||
|
$
4,220,000
|
11/28/08
|
1.750%
|
12/12/08
|
$ 615
|
(1)
|
||||||||
|
* Interest
rate as of November 30, 2008. Rate is based on the London Interbank
Offered Rate (“LIBOR”) plus a spread and reset monthly.
|
|||||||||||||
|
Name
of broker and description of collateral:
|
|||||||||||||
|
(1)
|
Goldman
Sachs:
|
||||||||||||
|
Federal
Home Loan Mortgage Corporation, 5.50%, 1/1/18, $511,595
par
|
|||||||||||||
|
Federal
National Mortgage Association, 6.00%, 10/1/16, $243,531
par
|
|||||||||||||
|
Federal
National Mortgage Association, 5.00%, 7/1/18, $1,154,673
par
|
|||||||||||||
|
Federal
National Mortgage Association, 6.50%, 6/1/29, $146,567
par
|
|||||||||||||
|
Federal
National Mortgage Association, 7.50%, 5/1/30, $29,401
par
|
|||||||||||||
|
Federal
National Mortgage Association, 8.00%, 5/1/30, $11,458
par
|
|||||||||||||
|
Federal
National Mortgage Association, 6.00%, 5/1/31, $280,052
par
|
|||||||||||||
|
Federal
National Mortgage Association, 6.50%, 11/1/31, $138,508
par
|
|||||||||||||
|
Federal
National Mortgage Association, 5.50%, 7/1/33, $1,842,683 par
|
|||||||||||||
|
The
fund has entered into a lending commitment with Goldman Sachs. The monthly
agreement permits the fund to enter into reverse repurchase agreements
using U.S. government agency mortgage-backed securities and/or preferred
stocks as collateral.
|
|||||||||||||
|
r
|
Variable
Rate Security - The rate shown is the net coupon rate in effect as of
November 30, 2008.
|
||||||||||||
|
∞
|
Securities
purchased as part of a private placement which have not been registered
with the Securities and Exchange Commission under the Securities Act of
1933 and which are considered to be illiquid. These securities are fair
valued in accordance with the board approved valuation procedures. See
¶ footnote
above.
|
||||||||||||
|
¶
|
Interest
only - Represents securities that entitle holders to receive only interest
payments on the mortgage. Principal balance on the loan is due at
maturity. The interest rate disclosed represents the net coupon rate in
effect as of November 30, 2008.
|
||||||||||||
|
&
|
Interest
rates on commercial and multifamily loans are the net coupon rates in
effect (after reducing the coupon rate by any mortgage servicing fees paid
to mortgage servicers) on November 30, 2008. Interest rates and
maturity dates disclosed on single family loans represent the weighted
average coupon and weighted average maturity for the underlying mortgage
loans as of November 30,
2008.
|
||||||||||||
|
µ
|
Securities
pledged as collateral for outstanding borrowings under loan
agreement. On November 30, 2008, securities valued at $20,280,861
were pledged as collateral for the following outstanding
borrowings:
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|||||||||||||||
|
Name
of Broker
|
||||||||||||||||
|
Acquisition
|
Accrued
|
and
Description
|
||||||||||||||
|
Amount
|
Date
|
Rate*
|
Due
|
Interest
|
of
Collateral
|
|||||||||||
|
$8,600,000
|
11/28/08
|
5.00%
|
12/31/08
|
$3,584
|
(1)
|
|||||||||||
|
1,400,000
|
11/28/08
|
5.00%
|
12/01/08
|
583
|
(1)
|
|||||||||||
|
$10,000,000
|
$
4,167
|
|||||||||||||||
|
* Interest
rate as of November 30, 2008. Rate is based on the London Interbank
Offered Rate (“LIBOR”) plus 2.625% and reset monthly.
|
||||||||||||||||
|
Name
of broker and description of collateral:
|
||||||||||||||||
|
(1)
|
Massachusetts
Mutual:
|
|||||||||||||||
|
Advance
Self Storage, Lincoln, NE, 6.13%, 1/1/11, $1,433,394
par
|
||||||||||||||||
|
Copper
Junction, Copper Mountain, CO, 6.38%, 7/1/17, $1,923,904
par
|
||||||||||||||||
|
Integrity
Plaza Shopping Center, Albuquerque, NM, 7.88%, 7/1/12, $1,948,055
par
|
||||||||||||||||
|
La
Costa Meadows Industrial Park I, San Marcos, CA, 6.78%, 7/1/17, $1,250,000
par
|
||||||||||||||||
|
La
Costa Meadows Industrial Park II, San Marcos, CA, 7.53%, 7/1/17,
$2,000,000 par
|
||||||||||||||||
|
Minikahda
Mini Storage IV, Minneapolis, MN, 7.15%, 3/1/11, $1,586,268
par
|
||||||||||||||||
|
Naples
Boat Club, Naples, FL, 6.43%, 1/1/17, $1,718,312 par
|
||||||||||||||||
|
Palace
Court, Santa Fe, NM, 6.68%, 11/1/11, $1,900,000 par
|
||||||||||||||||
|
Par
3 Office Building, Bend, OR, 6.63%, 8/1/13, $1,900,000
par
|
||||||||||||||||
|
Perkins
Restaurant, Maple Grove, MN, 6.38%, 1/1/11, $1,373,135
par
|
||||||||||||||||
|
Rockwood
Galleria, Gresham, OR, 7.25%, 2/1/11, $1,507,455 par
|
||||||||||||||||
|
Stephens
Center, Missoula, MT, 6.38%, 9/1/10, $1,824,969 par
|
||||||||||||||||
|
Hunt
Club Apartments, Waco, TX, 5.64%, 7/1/11, $1,169,121
par
|
||||||||||||||||
|
Park
Hollywood, Portland, OR, 7.38%, 6/1/12, $1,100,658 par
|
||||||||||||||||
|
The
fund has entered into a loan agreement with Massachusetts Mutual Life
Insurance Company (“MMLIC”) under which MMLIC made a term loan to the fund
of $8,600,000, which matures on July 31, 2011, and agreed to make
revolving loans to the fund of up to $2,400,000. Loans made under the loan
agreement are secured by whole loans in the fund’s portfolio and bear
interest at the one-month LIBOR plus 2.625% with a floor interest rate of
5.00%. In addition, the fund pays an annual fee of 1.28% on any unused
portion of the fund’s revolving loan commitment.
|
||||||||||||||||
|
u
|
Loan
is in default.
|
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|
þ
|
Investment
in affiliated security. This money market fund is advised by FAF Advisors,
Inc., which also serves as advisor for the fund.
|
|||||||||||||||
|
p
|
On
November 30, 2008, the cost of investments for federal income tax purposes
was approximately $65,341,549. The aggregate gross unrealized appreciation
and depreciation of investments, based on this cost, were as
follows:
|
|||||||||||||||
|
Gross
unrealized appreciation
|
$
|
411,374
|
||||||||||||||
|
Gross
unrealized depreciation
|
(8,615,017)
|
|||||||||||||||
|
Net
unrealized depreciation
|
$
|
(8,203,643)
|
||||||||||||||
|
Summary
of Fair Value Exposure
|
|
The
fund adopted Statement of Financial Accounting Standard No. 157, Fair Value Measurements
("FAS 157"), on September 1, 2008. FAS 157 requires the fund to classify
its securities based on valuation method, using the following three
levels:
Level
1 - Quoted prices in active markets for identical securities.
Generally, the types of securities included within Level 1 of the fund are
investments in mutual funds and preferred stocks with quoted
prices.
Level
2 - Other significant observable inputs (including quoted prices
for similar securities, with similar interest rates, prepayment speeds,
credit risk, etc.). Generally, the types of securities included in Level 2
of the fund are U.S. government securities.
Level
3 - Significant unobservable inputs (including the funds’ own
assumptions in determining the fair value of investments). Generally, the
types of securities included in Level 3 of the fund are whole loan and
participation mortgages and corporate notes. These securities have limited
observable fair value inputs available, and as such the fair value is
determined through management's fair value procedures established by the
board of directors. Pursuant to these
procedures,
whole loan investments are initially valued at cost and their values are
subsequently monitored and adjusted using a FAF Advisors pricing model
designed to incorporate, among other things, the present value of the
projected stream of cash flows on such investments. The pricing model
takes into account a number of relevant factors including the projected
rate of prepayments, the prevailing interest rates, and changes in the
real or perceived liquidity of whole loans and participation
mortgages.
|
|
As
of November 30, 2008, the fund's investments were classified as
follows:
|
||||
|
Investments
in
|
||||
|
Securities
|
||||
|
Level
1 - Quoted prices in active markets for identical assets
|
$ | 11,159,218 | ||
|
Level
2 - Other significant observable inputs
|
10,065,524 | |||
|
Level
3 - Significant unobservable inputs
|
35,919,822 | |||
|
Total
|
$ | 57,144,564 | ||
|
The
valuation levels are not necessarily an indication of the risk associated
with investing in these securities. While uniformity of presentation is
the objective of the standard, industry implementation has just begun and
it is likely that there will be a range of practices utilized. It may be
some period of time before industry practices become more uniform. For
this reason, care should be exercised in interpreting this information
and/or using it for comparison with other mutual
funds.
|
|
The
following is a reconciliation of Level 3 investments for which significant
unobservable inputs were used in determining fair value:
|
||||
|
Investments
in
|
||||
|
Securities
|
||||
|
Balance
as of August 31, 2008
|
$ | 46,643,980 | ||
|
Accrued
discounts (premiums)
|
— | |||
|
Realized
gain (loss)
|
618 | |||
|
Net
change in unrealized appreciation or depreciation
|
(2,616,490 | ) | ||
|
Net
purchases (sales)
|
(8,108,286 | ) | ||
|
Net
transfers in and/or (out) of Level 3
|
— | |||
|
Balance
as of November 30, 2008
|
$ | 35,919,822 | ||
|
(a)
|
The
Registrant’s President/Chief Executive Officer and Treasurer/Chief
Financial Officer have concluded that the Registrant's disclosure controls
and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940 (the “1940 Act”)) are effective as of a date within 90
days of the filing date of the report that includes the disclosure
required by this paragraph, based on the evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act and
Rule 15d-15(b) under the Securities Exchange Act of 1934, as
amended.
|
|
(b)
|
There
were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred
during the Registrant's last fiscal quarter that have materially affected,
or are reasonably likely to materially affect, the Registrant's internal
control over financial reporting.
|