UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09721
Fixed Income SHares
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York |
| 10105 |
(Address of principal executive offices) |
| (Zip code) |
Lawrence G. Altadonna - 1345 Avenue of the Americas, New York, New York 10105
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-739-3371
Date of fiscal year end: October 31, 2008
Date of reporting period: April 30, 2008
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORT TO SHAREHOLDERS
Contents
| Letter to Shareholders | 1 |
| Important Information | 2 |
| Fund Insights / Performance & Statistics | 3-6 |
| Schedules of Investments | 7-57 |
| Statements of Assets and Liabilities | 58 |
| Statements of Operations | 59 |
| Statements of Changes in Net Assets | 60-63 |
| Statement of Cash Flows | 64 |
| Financial Highlights | 65-66 |
| Notes to Financial Statements | 67-96 |
June 13, 2008
Dear Shareholder:
We are pleased to provide you with the semi-annual report for Fixed Income SHares — Series C, Series H, Series M and Series R (the ‘‘Portfolios’’) for the six months ended April 30, 2008.
The U.S. bond market delivered positive returns in the period as economic growth moderated leading to lower interest rates and higher bond prices. The Federal Reserve (the ‘‘Fed’’) reduced the Federal Funds rate five times during the period, lowering the key rate banks charge each other from 4.5% to 2.0%.
Please refer to the following pages for specific information for Series C, Series H, Series M and Series R. If you have any questions regarding the information provided, we encourage you to contact your financial advisor or call the Portfolios’ shareholder servicing agent at (800) 628-1237. (You can also visit our Web site at www.allianzinvestors.com.)
Together with Allianz Global Investors Fund Management LLC, the Portfolios’ investment manager and Pacific Investment Management Company LLC (‘‘PIMCO’’), the Portfolios’ sub-adviser, we thank you for investing with us.
We remain dedicated to serving your investment needs.
Sincerely,
| | | | | | | | | | |
| Hans W. Kertess Chairman | | Brian S. Shlissel President & Chief Executive Officer | | |||||||
| ||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 1
In an environment where interest rates may trend upward, rising rates will negatively impact the performance of most bond funds and fixed income securities held by a fund are likely to decrease in value. Bond funds and individual bonds with a longer duration (a measure of the expected life of a security) tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations.
The Portfolios may be subject to various risks as described in the prospectus. Some of these risks may include, but are not limited to, the following: derivative risk, foreign, (non-US) investment risk, high yield security risk and issuer non-diversification. The Portfolios may use derivative instruments for hedging purposes or as part of an investment strategy. Use of these instruments may involve certain costs and risks such as liquidity risk, interest rate risk, market risk, credit risk, management risk and the risk that a fund could not close out a position when it would be most advantageous to do so. Portfolios investing in derivatives could lose more than the principal amount invested in these instruments. Investing in non - -U.S. securities may entail risk due to non-U.S. economic and political developments: this risk may be enhanced when investing in emerging markets. High-yield bonds typically have a lower credit rating than other bonds. Lower rated bonds generally involve a greater risk to principal than higher rated bonds. Concentrating investments in individual sectors may add additional risk and volatility compared to a diversified fund. The credit quality of a particular security or group of securities does not ensure the stability or safety of the overall portfolio.
The Portfolios have adopted written proxy voting policies and procedures (‘‘Proxy Policy’’) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Portfolios as the policies and procedures that the Portfolios will use when voting proxies on behalf of the Portfolios. Copies of the written Proxy Policy and the factors that the Portfolios may consider in determining how to vote proxies for each portfolio, and information about how each portfolio voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, are available without charge, upon request, by calling the Portfolios at (800) 628-1237 , on the Allianz Global Investors Distributors’ website at www.allianzinvestors.com and on the SEC’s website at http://www.sec.gov.
Past performance is no guarantee of future results. Total return is calculated by subtracting the value of an investment in each Portfolio at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all income dividends have been reinvested. Total return does not reflect broker commissions or ‘‘wrap fee’’ charges. Total return for a period less than one year is not annualized. Total return for a period of more than one year represents the average annual total return.
An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. This data is provided for information only and is not intended for trading purposes. Net asset value is total assets less total liabilities divided by the number of shares outstanding.
This report, including the financial information herein is transmitted to the shareholders of Fixed Income SHares — Series C, Series H, Series M, and Series R for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Portfolios or any other securities mentioned in this report.
2 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
Symbol:
FXICX
Primary Investments:
Intermediate maturity fixed income securities.
Inception Date:
3/17/00
Net Assets:
$2,142.1 million
Portfolio Manager:
Mark R. Kiesel
| |
| • | For the six months ended April 30, 2008, Series C returned 12.57% before the deduction of fees, outperforming the benchmark, Lehman Intermediate U.S. Credit Index (which returned 2.74%) by 983 basis points for the period. |
| |
| • | At April 30, 2008, Series C's duration was 7.79 years, compared to 11.70 years as of October 31, 2007. |
| |
| • | Duration positioning above the index contributed positively to returns as the 10-year Treasury yield rallied. |
| |
| • | A curve steepening bias in the U.S. via Eurodollar futures contributed positively to performance when the Federal Reserve surprised the market by lowering rates more than the market. |
| |
| • | A curve-steepening position in the U.K. via Liffe futures contributed positively to performance as investors anticipate further rate cuts by the Bank of England amid the U.K. housing weakness. |
| |
| • | A tactical allocation to U.S. Dollar, Euro and British Pound bank capital securities detracted from performance as spreads widened substantially on continued write-downs by major global financial institutions. |
| |
| • | Exposure to emerging-market debt detracted from performance as heightened risk aversion and increased political instability caused investors to trade risk for safety and quality. |
| |
| • | Underweight allocations to consumer cyclicals and consumer non-cyclical companies enhanced the portfolio’s performance. Nevertheless, an overweight to financials detracted from performance as continued write-downs caused this sector to sell-off. |
| | | | | | |
| ||||||
| Total Returns (period ended 4/30/08) | | Six Months | ||||
| FISH: Series C | | 12.57% | ||||
| Lehman Intermediate U.S. Credit Index | | 2.74% | ||||
| ||||||
| | | | | | |
Change in Value of $10,000 Investment in the | | Moody’s Ratings | ||||
 | |  | ||||
| ||||||
Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares. Total return is calculated by subtracting the value of an investment in the Portfolio at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all of the Portfolio’s income dividends have been reinvested. Total return does not reflect broker commissions or ‘‘wrap fee’’ charges. Total return for a period less than one year is not annualized. An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. This data is provided for information only and is not intended for tradi ng purposes. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding.
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 3
Symbol:
FXIHX
Primary Investments:
Intermediate maturity mortgage-backed securities
Inception Date:
4/2/07
Net Assets:
$2.6 million
Portfolio Manager:
John Cummings
| |
| • | For the six months ended April 30, 2008, Series H returned (6.56)% before the deduction of fees, underperforming the benchmark, 80% Lehman High Yield Muni Index, 20% Lehman Long National Muni Index, which returned (4.74)% for the period. During the same period, the Lehman High Yield Muni Index returned (5.61)%. |
| |
| • | A slight reduction in credit quality detracted from performance as higher quality Municipal Securities outperformed lower quality Municipal Securities during the period. |
| |
| • | Duration lower than benchmark contributed positively to performance as rates increased during the reporting period. |
| |
| • | Interest rate hedging strategies detracted from performance as Treasury yields decreased during the reporting period. |
| |
| • | Exposure to the health care and education sectors detracted from performance as these sectors underperformed for the period. |
| |
| • | Exposure to state and local General Obligation bonds contributed positively to performance as they outperformed high-yield Muni’s during the six-month period. |
| |
| • | Leasing sector exposure also contributed positively to performance as this sector outperformed during the period. |
| | | | | | | | | | | | | | |
| | | ||||||||||||
| Total Returns (period ended 4/30/08) | | | | Six Months | ||||||||||
| FISH: Series H | | | | (6.56)% | ||||||||||
| 80% High Yield Muni Index, 20% Lehman Long National Muni Index | | | | (4.74)% | ||||||||||
| ||||||||||||||
| | | | | | |
Change in Value of $10,000 Investment in the | | Moody’s Ratings | ||||
 | |  | ||||
| ||||||
Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares. Total return is calculated by subtracting the value of an investment in the Portfolio at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all of the Portfolio’s income dividends have been reinvested. Total return does not reflect broker commissions or ‘‘wrap fee’’ charges. Total return for a period less than one year is not annualized. An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. This data is provided for information only and is not intended for tradi ng purposes. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding.
4 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
Symbol:
FXIMX
Primary Investments:
Intermediate maturity mortgage-backed securities
Inception Date:
3/17/00
Net Assets:
$2,085.2 million
Portfolio Manager:
Scott Simon
| |
| • | For the six months ended April 30, 2008, Series M returned 4.82% before the deduction of fees, outperforming the benchmark. Lehman Fixed Rate Mortgage-Backed Securities Index, (which returned 4.62%) for the period, by 20 basis points. |
| |
| • | At April 30, 2008, the Series M’s duration was 5.94 years, compared to 9.13 years at October 31, 2007. |
| |
| • | Duration positioning above the index contributed positively to returns as the 10-year Treasury yield rallied. |
| |
| • | An overweight to mortgage backed securities relative to swaps detracted from returns as the mortgage backed securities spread to swaps widened during the quarter on heightened volatility. |
| |
| • | Cash backing positions detracted from returns as some Asset-Backed Securities and non-agency Adjustable Rate Mortgage fell in price. |
| |
| • | A curve steepening bias contributed positively to returns as the two-year yield fell more than the 10-year. |
| |
| • | A tactical allocation to U.S. Dollar, Euro and British Pound bank capital securities detracted from Series M’s performance as spreads widened substantially on continued write-downs by major global financial institutions. |
| | | | | | |
| ||||||
| Total Returns (period ended 4/30/08) | | Six Months | ||||
| FISH: Series M | | 4.82% | ||||
| Lehman Fixed Rate Mortgage-Backed Securities Index | | 4.62% | ||||
| ||||||
| | | | | | |
Change in Value of $10,000 Investment in the | | Moody’s Ratings | ||||
 | |  | ||||
| ||||||
Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares. Total return is calculated by subtracting the value of an investment in the Portfolio at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all of the Portfolio’s income dividends have been reinvested. Total return does not reflect broker commissions or ‘‘wrap fee’’ charges. Total return for a period less than one year is not annualized. An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. This data is provided for information only and is not intended for tradi ng purposes. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding.
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 5
Symbol:
FXIRX
Primary Investments:
Intermediate maturity Inflation-indexed fixed income securities.
Inception Date:
4/15/04
Net Assets:
$161.0 million
Portfolio Manager:
John J Brynjolfsson
| |
| • | For the six months ended April 30, 2008 Series R returned 10.32% before the deduction of fees, outperforming the benchmark, Lehman U.S. TIPS Index (which returned 6.88%) for the period, by 344 basis points for the period. |
| |
| • | At April 30, 2008, the Series R’s duration was 6.33 years, compared to 9.81 years at October 31, 2007. |
| |
| • | An overweight to U.S. Treasury Inflation Protected Security (‘‘TIPS’’) contributed positively to performance as TIPS outperformed nominal bonds for the first quarter of 2008. |
| |
| • | Above benchmark duration to nominal bonds helped performance as rates fell amid concerns about the economy and a deepening liquidity crisis. |
| |
| • | An emphasis on the short-end of the curve contributed positively for returns as yield curves steepened in the U.S. and the U.K. for the first quarter of 2008. |
| |
| • | A neutral to steepening bias contributed slightly to returns as the yield curve steepened in Euroland in the first quarter of 2008. |
| |
| • | Exposure to Mortgage-Backed securities detracted from performance as spreads in that sector widened among general credit worries. |
| |
| • | An underweight to corporates contributed positively to performance as spreads widened among economic and liquidity concerns. |
| | | | | | |
| ||||||
| Total Returns (period ended 4/30/08) | | Six Months | ||||
| FISH: Series R | | 10.32% | ||||
| Lehman U.S. TIPS Index | | 6.88% | ||||
| ||||||
| | | | | | |
Change in Value of $10,000 Investment in the | | Moody’s Ratings | ||||
 | |  | ||||
| ||||||
Past performance is no guarantee of future results. Returns presented do not reflect the deduction of taxes that a shareholder would pay on fund distribution or the redemption of fund shares. Total return is calculated by subtracting the value of an investment in the Portfolio at the beginning of each specified period from the value at the end of the period and dividing the remainder by the value of the investment at the beginning of the period and expressing the result as a percentage. The calculation assumes that all of the Portfolio’s income dividends have been reinvested. Total return does not reflect broker commissions or ‘‘wrap fee’’ charges. Total return for a period less than one year is not annualized. An investment in the Portfolios involves risk, including the loss of principal. Total return, distribution yield, net asset value and duration will fluctuate with changes in market conditions. This data is provided for information only and is not intended for tradi ng purposes. Net asset value is equal to total assets less total liabilities divided by the number of shares outstanding.
6 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
CORPORATE BONDS & NOTES–60.0% | ||||||||||||||
| Aerospace–0.1% | | | |||||||||||
| $ 2,100 | | Embraer Overseas Ltd., 6.375%, 1/24/17 | | Baa3/BBB− | | $ | 2,079,000 | |||||||
| Airlines–2.8% | | | |||||||||||
| Continental Airlines, Inc., | | | |||||||||||
| 2,100 | | 6.503%, 6/15/11 | | Baa2/BBB+ | | 2,060,889 | ||||||||
| 900 | | 7.918%, 5/1/10 | | Baa2/BBB+ | | 891,000 | ||||||||
| 554 | | JetBlue Airways Corp., 6.165%, 5/15/10, FRN | | B1/B+ | | 550,935 | ||||||||
| Northwest Airlines, Inc., | | | |||||||||||
| 1,785 | | 7.041%, 4/1/22 | | NR/BBB | | 1,744,780 | ||||||||
| 55,234 | | 7.15%, 10/1/19 (f) | | Aaa/AAA | | 54,170,891 | ||||||||
| 83 | | United Air Lines, Inc., 10.125%, 3/22/15 (a)(e) | | NR/NR | | 41,551 | ||||||||
| | | 59,460,046 | |||||||||||
| Automotive–0.0% | | | |||||||||||
| 200 | | Daimler Finance North America LLC, 7.30%, 1/15/12 | | A3/A− | | 213,686 | ||||||||
| Banking–16.2% | | | |||||||||||
| Barclays Bank PLC (a)(c), | | | |||||||||||
| 42,900 | | 6.05%, 12/4/17 | | Aa2/AA− | | 42,029,688 | ||||||||
| 200 | | 7.434%, 12/15/17, FRN (h) | | Aa3/NR | | 192,172 | ||||||||
| 9,400 | | BNP Paribas, 5.186%, 6/29/15, FRN (a)(c)(h) | | Aa3/AA− | | 8,153,654 | ||||||||
| 6,600 | | Commonwealth Bank of Australia, 6.024%, 3/15/16, FRN (a)(c)(h) | | Aa3/A+ | | 5,634,446 | ||||||||
| 16,300 | | Credit Agricole S.A., 6.637%, 5/31/17, FRN (a)(c)(h) | | Aa3/A | | 13,397,231 | ||||||||
| 5,000 | | HBOS Capital Funding L.P., 6.071%, 6/30/14, FRN (a)(c)(h) | | A1/A | | 4,121,675 | ||||||||
| HBOS PLC, FRN (a)(c)(h), | | | |||||||||||
| 3,400 | | 5.375%, 11/1/13 | | Aa3/A | | 2,796,942 | ||||||||
| 400 | | 5.92%, 10/1/15 | | A1/A | | 306,053 | ||||||||
| 21,800 | | 6.657%, 5/21/37 | | A1/A | | 16,127,771 | ||||||||
| 51,100 | | HSBC Bank USA NA, 6.00%, 8/9/17 | | Aa3/AA− | | 52,934,183 | ||||||||
| HSBC Capital Funding L.P., FRN (a)(c)(h), | | | |||||||||||
| 10,900 | | 4.61%, 6/27/13 | | A1/A | | 9,064,636 | ||||||||
| 1,000 | | 10.176%, 6/30/30 | | A1/A | | 1,242,280 | ||||||||
| HSBC Holdings PLC, | | | |||||||||||
| 800 | | 6.50%, 9/15/37 | | Aa3/A+ | | 788,066 | ||||||||
| 400 | | 7.625%, 5/17/32 | | Aa3/A+ | | 432,050 | ||||||||
| 18,600 | | JPMorgan Chase Bank NA, 6.00%, 10/1/17 | | Aa1/AA− | | 19,358,917 | ||||||||
| 500 | | KBC Bank Funding Trust III, 9.86%, 11/2/09, FRN (a)(c)(h) | | A1/A | | 533,796 | ||||||||
| 4,000 | | Rabobank Capital Funding II, 5.26%, 12/31/13, FRN (a)(c)(h) | | Aa2/AA | | 3,575,084 | ||||||||
| 5,800 | | Rabobank Capital Funding Trust, 5.254%, 10/21/16, FRN (a)(c)(h) | | Aa2/AA | | 4,842,240 | ||||||||
| 11,400 | | RBS Capital Trust III, 5.512%, 9/30/14, FRN (h) | | Aa3/A | | 9,631,222 | ||||||||
| 3,100 | | Resona Bank Ltd., 5.85%, 4/15/16, FRN (a)(c)(h) | | A2/BBB | | 2,620,455 | ||||||||
| Royal Bank of Scotland Group PLC, | | | |||||||||||
| 22,200 | | 6.99%, 10/5/17, FRN (a)(c)(h) | | Aa3/A | | 20,426,953 | ||||||||
| 15,000 | | 7.64%, 3/31/49, FRN | | NR/NR | | 14,153,025 | ||||||||
| 2,710 | | 9.118%, 3/31/10 (h) | | Aa3/A | | 2,740,675 | ||||||||
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4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 7
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Banking (continued) | | | |||||||||||
| Sumitomo Mitsui Banking Corp., FRN, | | | |||||||||||
| ¥200,000 | | 0.95%, 6/2/49 | | NR/NR | | $ | 1,911,432 | |||||||
| $ 2,600 | | 5.625%, 10/15/15 (a)(c)(h) | | Aa3/A− | | 2,349,838 | ||||||||
| 2,700 | | United Overseas Bank Ltd., 5.375%, 9/3/19, FRN (a)(c) | | Aa2/A− | | 2,649,912 | ||||||||
| 6,700 | | USB Capital IX, 6.189%, 4/15/11, FRN (h) | | A1/A+ | | 5,095,176 | ||||||||
| 101,900 | | Wachovia Corp., 7.98%, 3/15/18, FRN (h) | | A2/A | | 100,563,174 | ||||||||
| | | 347,672,746 | |||||||||||
| Diversified Manufacturing–0.7% | | | |||||||||||
| 15,000 | | Tyco Electronics Group S.A., 6.55%, 10/1/17 (a)(c) | | Baa2/BBB | | 15,396,750 | ||||||||
| Electronics–0.0% | | | |||||||||||
| 500 | | Sanmina-SCI Corp., 8.125%, 3/1/16 | | B3/B− | | 462,500 | ||||||||
| Energy–2.7% | | | |||||||||||
| 2,900 | | DCP Midstream LLC, 5.375%, 10/15/15 (a)(c) | | Baa2/BBB+ | | 2,788,303 | ||||||||
| 5,500 | | El Paso Corp., 7.00%, 6/15/17 | | Ba3/BB− | | 5,771,832 | ||||||||
| 4,800 | | Enbridge Energy Partners L.P., 5.875%, 12/15/16 | | Baa2/BBB | | 4,714,277 | ||||||||
| Energy Transfer Partners L.P., | | | |||||||||||
| 2,100 | | 6.125%, 2/15/17 | | Baa3/BBB− | | 2,106,825 | ||||||||
| 2,600 | | 6.625%, 10/15/36 | | Baa3/BBB− | | 2,503,464 | ||||||||
| Kinder Morgan Energy Partners L.P., | | | |||||||||||
| 5,800 | | 6.00%, 2/1/17 | | Baa2/BBB | | 5,813,033 | ||||||||
| 1,500 | | 6.50%, 2/1/37 | | Baa2/BBB | | 1,438,749 | ||||||||
| 5,500 | | 7.30%, 8/15/33 | | Baa2/BBB | | 5,690,124 | ||||||||
| Northwest Pipeline Corp., | | | |||||||||||
| 3,900 | | 5.95%, 4/15/17 | | Baa2/BBB− | | 3,875,625 | ||||||||
| 1,700 | | 7.00%, 6/15/16 | | Baa2/BBB− | | 1,793,500 | ||||||||
| NRG Energy, Inc., | | | |||||||||||
| 500 | | 7.25%, 2/1/14 | | B1/B | | 515,000 | ||||||||
| 1,100 | | 7.375%, 2/1/16 | | B1/B | | 1,135,750 | ||||||||
| 5,750 | | Pacific Energy Partners L.P., 6.25%, 9/15/15 | | Baa3/BBB− | | 5,582,629 | ||||||||
| 400 | | Peabody Energy Corp., 7.375%, 11/1/16 | | Ba1/BB | | 422,000 | ||||||||
| 2,600 | | Plains All American Pipeline L.P., 6.65%, 1/15/37 | | Baa3/BBB− | | 2,495,441 | ||||||||
| 25 | | Sonat, Inc., 7.625%, 7/15/11 | | Ba3/BB− | | 26,374 | ||||||||
| Southern Natural Gas Co., | | | |||||||||||
| 4,400 | | 5.90%, 4/1/17 (a)(c) | | Baa3/BB | | 4,406,970 | ||||||||
| 400 | | 8.00%, 3/1/32 | | Baa3/BB | | 446,736 | ||||||||
| 1,950 | | Tennessee Gas Pipeline Co., 7.50%, 4/1/17 | | Baa3/BB | | 2,152,211 | ||||||||
| Williams Cos., Inc., | | | |||||||||||
| 2,700 | | 6.375%, 10/1/10 (a)(c) | | Baa3/BBB− | | 2,808,000 | ||||||||
| 2,000 | | 7.625%, 7/15/19 | | Baa3/BB+ | | 2,170,000 | ||||||||
| | | 58,656,843 | |||||||||||
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8 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Financial Services–18.3% | | | |||||||||||
| $ 6,700 | | American Express Co., 6.15%, 8/28/17 | | A1/A+ | | $ | 6,787,060 | |||||||
| € 4,300 | | Atlas Reinsurance PLC, 8.731%, 1/10/10, FRN (a)(c) | | NR/BB+ | | 6,795,760 | ||||||||
| $ 8,300 | | Bear Stearns Cos., Inc., 6.95%, 8/10/12 | | Baa1/A+ | | 8,716,112 | ||||||||
| 9,900 | | C10 Capital SPV Ltd., 6.722%, 12/31/16, FRN (a)(c)(h) | | NR/BBB− | | 8,880,458 | ||||||||
| 900 | | C5 Capital SPV Ltd., 6.196%, 12/31/11, FRN (a)(c)(h) | | NR/BBB− | | 870,009 | ||||||||
| 10,100 | | C8 Capital SPV Ltd., 6.64%, 12/31/14, FRN (a)(c)(h) | | NR/BBB− | | 9,417,068 | ||||||||
| 3,950 | | Calabash Re Ltd., 13.70%, 1/8/10, FRN (a)(c) | | NR/BB | | 4,083,365 | ||||||||
| 10,000 | | Citigroup Capital XXI, 8.30%, 12/21/57, FRN | | A1/A | | 10,244,660 | ||||||||
| Citigroup, Inc., | | | |||||||||||
| 18,500 | | 5.50%, 8/27/12 | | Aa3/AA | | 18,557,128 | ||||||||
| 4,740 | | 6.00%, 8/15/17 | | Aa3/AA− | | 4,774,929 | ||||||||
| 7,000 | | 6.125%, 11/21/17 | | Aa3/AA− | | 7,123,123 | ||||||||
| 8,500 | | 6.125%, 8/25/36 | | A1/A+ | | 7,837,153 | ||||||||
| 5,000 | | 6.625%, 6/15/32 | | A1/A+ | | 4,899,405 | ||||||||
| 6,000 | | 8.40%, 4/30/18, FRN (h) | | A2/A | | 6,079,980 | ||||||||
| 3,300 | | Covidien International Finance S.A., 6.55%, 10/15/37 (a)(c) | | Baa1/A− | | 3,387,275 | ||||||||
| Ford Motor Credit Co. LLC, | | | |||||||||||
| 24,400 | | 7.25%, 10/25/11 | | B1/B | | 21,989,670 | ||||||||
| 400 | | 7.375%, 10/28/09 | | B1/B | | 385,182 | ||||||||
| 2,500 | | 7.375%, 2/1/11 | | B1/B | | 2,298,907 | ||||||||
| 2,350 | | 7.875%, 6/15/10 | | B1/B | | 2,237,339 | ||||||||
| 800 | | 9.75%, 9/15/10 | | B1/B | | 777,321 | ||||||||
| 2,500 | | Fund American Cos., Inc., 5.875%, 5/15/13 | | Baa2/BBB | | 2,449,350 | ||||||||
| General Electric Capital Corp., | | | |||||||||||
| €10,000 | | 4.625%, 9/15/66, FRN (a)(c) | | Aa1/AA+ | | 13,395,070 | ||||||||
| $20,000 | | 5.625%, 5/1/18 | | Aaa/AAA | | 20,258,200 | ||||||||
| 5,000 | | 6.375%, 11/15/67, FRN | | Aa1/AA+ | | 5,017,900 | ||||||||
| General Motors Acceptance Corp. LLC, | | | |||||||||||
| 44,400 | | 6.00%, 12/15/11 | | B2/B | | 35,214,839 | ||||||||
| Goldman Sachs Group, Inc., | | | |||||||||||
| 1,900 | | 5.25%, 10/15/13 | | Aa3/AA− | | 1,880,639 | ||||||||
| 6,600 | | 5.95%, 1/18/18 | | Aa3/AA− | | 6,604,244 | ||||||||
| 13,500 | | 6.15%, 4/1/18 | | Aa3/AA− | | 13,691,187 | ||||||||
| 24,400 | | 6.25%, 9/1/17 | | Aa3/AA− | | 24,993,506 | ||||||||
| 7,500 | | 6.75%, 10/1/37 | | A1/A+ | | 7,381,665 | ||||||||
| 1,038 | | Isles CBO Ltd., 3.778%, 10/27/10, FRN (a)(c)(f) | | Baa3/NR | | 997,361 | ||||||||
| JPMorgan Chase & Co., | | | |||||||||||
| 29,000 | | 6.00%, 1/15/18 | | Aa2/AA− | | 30,135,901 | ||||||||
| 2,400 | | 6.625%, 3/15/12 | | Aa3/A+ | | 2,507,681 | ||||||||
| 8,800 | | JPMorgan Chase Capital XVIII, 6.95%, 8/17/36 | | Aa3/A | | 8,432,301 | ||||||||
| 2,700 | | JPMorgan Chase Capital XX, 6.55%, 9/29/36 | | Aa3/A | | 2,458,504 | ||||||||
| 2,000 | | Longpoint Re Ltd., 8.05%, 5/8/10, FRN (a)(c) | | NR/BB+ | | 2,011,400 | ||||||||
| 100 | | LVB Acquisition Merger Sub., Inc., 11.625%, 10/15/17 (a)(c) | | Caa1/B− | | 106,750 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 9
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Financial Services (continued) | | | |||||||||||
| Merrill Lynch & Co., Inc., | | | |||||||||||
| $ 800 | | 6.05%, 8/15/12 | | A1/A+ | | $ | 798,704 | |||||||
| 17,800 | | 6.40%, 8/28/17 | | A1/A+ | | 17,824,475 | ||||||||
| ¥100,000 | | Mizuho Financial Group, Inc., 1.883%, 12/31/49, FRN (f) | | NR/NR | | 957,277 | ||||||||
| $ 11,100 | | Mizuho JGB Investment LLC, 9.87%, 6/30/08, FRN (a)(c)(h) | | A1/A− | | 11,129,726 | ||||||||
| 3,085 | | Mizuho Preferred Capital Co. LLC, 8.79%, 6/30/08, FRN (a)(c)(h) | | A1/A− | | 3,094,946 | ||||||||
| Morgan Stanley, | | | |||||||||||
| 500 | | 5.30%, 3/1/13 | | Aa3/AA− | | 499,744 | ||||||||
| 2,800 | | 5.375%, 10/15/15 | | Aa3/AA− | | 2,698,702 | ||||||||
| 3,850 | | MUFG Capital Finance I Ltd., 6.346%, 7/25/16, FRN (h) | | A2/BBB+ | | 3,487,653 | ||||||||
| 700 | | Mystic Re Ltd., 13.09%, 6/7/11, FRN (a)(c) | | NR/B+ | | 723,422 | ||||||||
| 1,900 | | Natexis Ambs Co. LLC, 8.44%, 6/30/08, FRN (a)(c)(h) | | A1/A+ | | 1,913,572 | ||||||||
| 700 | | Preferred Term Securities XIII, 3.35%, 3/24/34, FRN (a)(c) | | Aaa/AAA | | 644,000 | ||||||||
| 7,600 | | Residential Capital LLC, 6.178%, 5/22/09, FRN | | Caa1/CCC+ | | 5,035,000 | ||||||||
| SB Treasury Co. LLC, FRN (a)(h), | | | |||||||||||
| 1,011 | | 9.40%, 6/30/08 (c) | | A1/A− | | 1,018,346 | ||||||||
| 2,400 | | 9.40%, 6/30/08 | | A1/A− | | 2,430,012 | ||||||||
| Teco Finance, Inc. (a)(c), | | | |||||||||||
| 983 | | 6.572%, 11/1/17 | | Baa3/NR | | 952,887 | ||||||||
| 2,000 | | 6.75%, 5/1/15 | | Baa3/NR | | 2,037,818 | ||||||||
| 1,417 | | 7.00%, 5/1/12 | | Baa3/NR | | 1,501,763 | ||||||||
| 5,745 | | Tokai Preferred Capital Co. LLC, 9.98%, 6/30/08, VRN (a)(c)(h) | | A1/A− | | 5,761,850 | ||||||||
| 2,460 | | UFJ Finance Aruba AEC, 6.75%, 7/15/13 | | Aa3/A | | 2,541,446 | ||||||||
| 1,000 | | UBS AG, 5.875%, 12/20/17 | | Aa1/AA− | | 1,022,247 | ||||||||
| 5,900 | | UBS Preferred Funding Trust V, 6.243%, 5/15/16, FRN (h) | | Aa3/A | | 5,175,279 | ||||||||
| 7,400 | | Xstrata Finance Canada Ltd., 5.80%, 11/15/16 (a)(c) | | Baa2/BBB+ | | 7,114,293 | ||||||||
| | | 392,041,564 | |||||||||||
| Food & Beverage–0.5% | | | |||||||||||
| 3,450 | | H.J. Heinz Co., 6.428%, 12/1/20 (a)(c) | | Baa2/BBB | | 3,492,649 | ||||||||
| 6,700 | | Kraft Foods, Inc., 6.50%, 8/11/17 | | Baa2/BBB+ | | 7,029,352 | ||||||||
| 400 | | Kroger Co., 6.20%, 6/15/12 | | Baa2/BBB− | | 419,808 | ||||||||
| | | 10,941,809 | |||||||||||
| Healthcare & Hospitals–0.4% | | | |||||||||||
| Boston Scientific Corp., | | | |||||||||||
| 2,600 | | 5.45%, 6/15/14 | | Ba2/BB+ | | 2,457,000 | ||||||||
| 2,800 | | 6.00%, 6/15/11 | | Ba2/BB+ | | 2,779,000 | ||||||||
| HCA, Inc., | | | |||||||||||
| 900 | | 6.75%, 7/15/13 | | Caa1/B− | | 837,000 | ||||||||
| 1,000 | | 7.19%, 11/15/15 | | Caa1/B− | | 882,257 | ||||||||
| 1,700 | | Hospira, Inc., 6.05%, 3/30/17 | | Baa3/BBB | | 1,668,419 | ||||||||
| | | 8,623,676 | |||||||||||
| ||||||||||||||
10 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Hotels/Gaming–0.4% | | | |||||||||||
| $ 2,000 | | Mandalay Resort Group, 6.50%, 7/31/09 | | Ba2/BB | | $ | 2,010,000 | |||||||
| MGM Mirage, Inc., | | | |||||||||||
| 1,000 | | 6.00%, 10/1/09 | | Ba2/BB | | 1,002,500 | ||||||||
| 5,500 | | 6.625%, 7/15/15 | | Ba2/BB | | 4,826,250 | ||||||||
| | | 7,838,750 | |||||||||||
| Insurance–2.9% | | | |||||||||||
| American International Group, Inc., | | | |||||||||||
| €7,800 | | 4.875%, 3/15/67, FRN | | Aa3/A+ | | 9,960,689 | ||||||||
| $ 7,400 | | 5.05%, 10/1/15 | | Aa2/AA | | 7,144,160 | ||||||||
| 15,700 | | 5.85%, 1/16/18 | | Aa2/AA | | 15,727,946 | ||||||||
| 4,500 | | 6.25%, 5/1/36 | | Aa2/AA | | 4,409,703 | ||||||||
| 5,000 | | Metropolitan Life Global Funding I, 4.625%, 8/19/10 (a)(c) | | Aa2/AA | | 5,080,830 | ||||||||
| ¥100,000 | | Mizuho Financial Group, Inc., 1.317%, 11/24/49, FRN (f) | | NR/NR | | 955,723 | ||||||||
| Residential Reins Ltd., FRN (a)(c), | | | |||||||||||
| $ 14,300 | | 9.076%, 6/7/10 | | NR/BB+ | | 14,382,940 | ||||||||
| 4,000 | | 10.326%, 6/7/10 | | NR/BB | | 4,056,269 | ||||||||
| | | 61,718,260 | |||||||||||
| Metals & Mining–0.8% | | | |||||||||||
| 2,100 | | Corp Nacional del Cobre de Chile, 6.15%, 10/24/36 (a)(c) | | Aa3/A | | 2,053,063 | ||||||||
| Freeport-McMoRan Copper & Gold, Inc., | | | |||||||||||
| 6,800 | | 5.883%, 4/1/15, FRN | | Ba2/BBB− | | 6,885,000 | ||||||||
| 1,700 | | 8.375%, 4/1/17 | | Ba2/BBB− | | 1,882,750 | ||||||||
| Vale Overseas Ltd., | | | |||||||||||
| 4,450 | | 6.25%, 1/11/16 | | Baa3/BBB | | 4,580,963 | ||||||||
| 2,200 | | 6.25%, 1/23/17 | | Baa3/BBB | | 2,267,316 | ||||||||
| | | 17,669,092 | |||||||||||
| Multi-Media–3.2% | | | |||||||||||
| 1,530 | | British Sky Broadcasting PLC, 8.20%, 7/15/09 | | Baa2/BBB | | 1,581,354 | ||||||||
| 2,500 | | Comcast Cable Communications Holdings, Inc., 8.375%, 3/15/13 | | Baa2/BBB+ | | 2,804,152 | ||||||||
| 1,000 | | Comcast Cable Communications, Inc., 7.125%, 6/15/13 | | Baa2/BBB+ | | 1,072,987 | ||||||||
| Comcast Corp., | | | |||||||||||
| 500 | | 5.30%, 1/15/14 | | Baa2/BBB+ | | 493,350 | ||||||||
| 10,600 | | 5.875%, 2/15/18 | | Baa2/BBB+ | | 10,599,671 | ||||||||
| 1,700 | | 5.90%, 3/15/16 | | Baa2/BBB+ | | 1,723,955 | ||||||||
| 15,000 | | 6.45%, 3/15/37 | | Baa2/BBB+ | | 14,978,940 | ||||||||
| COX Communications, Inc., | | | |||||||||||
| 1,100 | | 6.45%, 12/1/36 (a)(c) | | Baa3/BBB− | | 1,109,270 | ||||||||
| 3,000 | | 7.75%, 11/1/10 | | Baa3/BBB− | | 3,187,470 | ||||||||
| CSC Holdings, Inc., | | | |||||||||||
| 810 | | 7.875%, 2/15/18 | | B1/BB | | 799,875 | ||||||||
| 775 | | 8.125%, 8/15/09 | | B1/BB | | 792,437 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 11
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Multi-Media (continued) | | | |||||||||||
| Echostar DBS Corp., | | | |||||||||||
| $ 2,000 | | 6.375%, 10/1/11 | | Ba3/BB− | | $ | 1,995,000 | |||||||
| 5,700 | | 7.00%, 10/1/13 | | Ba3/BB− | | 5,714,250 | ||||||||
| News America Holdings, Inc., | | | |||||||||||
| 100 | | 5.30%, 12/15/14 | | Baa2/BBB+ | | 100,672 | ||||||||
| 1,480 | | 9.25%, 2/1/13 | | Baa2/BBB+ | | 1,708,377 | ||||||||
| Rogers Cable, Inc., | | | |||||||||||
| 1,300 | | 5.50%, 3/15/14 | | Baa3/BBB− | | 1,276,080 | ||||||||
| CAD800 | | 7.25%, 12/15/11 | | Baa3/BBB− | | 841,585 | ||||||||
| Time Warner Cable, Inc., | | | |||||||||||
| $ 6,940 | | 5.85%, 5/1/17 | | Baa2/BBB+ | | 6,904,537 | ||||||||
| 8,390 | | 6.55%, 5/1/37 | | Baa2/BBB+ | | 8,368,270 | ||||||||
| 1,600 | | Time Warner, Inc., 5.50%, 11/15/11 | | Baa2/BBB+ | | 1,587,006 | ||||||||
| Viacom, Inc., | | | |||||||||||
| 200 | | 5.625%, 8/15/12 | | Baa3/BBB | | 199,381 | ||||||||
| 400 | | 6.625%, 5/15/11 | | Baa3/BBB | | 412,212 | ||||||||
| | | 68,250,831 | |||||||||||
| Oil & Gas–5.6% | | | |||||||||||
| 4,600 | | Anadarko Finance Co., 6.75%, 5/1/11 | | Baa3/BBB− | | 4,859,389 | ||||||||
| Anadarko Petroleum Corp., | | | |||||||||||
| 4,000 | | 5.95%, 9/15/16 | | Baa3/BBB− | | 4,123,084 | ||||||||
| 4,000 | | 6.45%, 9/15/36 | | Baa3/BBB− | | 4,124,192 | ||||||||
| Apache Corp., | | | |||||||||||
| 700 | | 5.625%, 1/15/17 | | A3/A− | | 729,234 | ||||||||
| 3,000 | | 6.00%, 1/15/37 | | A3/A− | | 3,030,552 | ||||||||
| Canadian Natural Resources Ltd., | | | |||||||||||
| 2,400 | | 6.00%, 8/15/16 | | Baa2/BBB | | 2,458,826 | ||||||||
| 4,500 | | 6.50%, 2/15/37 | | Baa2/BBB | | 4,546,404 | ||||||||
| Chesapeake Energy Corp., | | | |||||||||||
| 1,700 | | 6.375%, 6/15/15 | | Ba3/BB | | 1,683,000 | ||||||||
| 900 | | 7.00%, 8/15/14 | | Ba3/BB | | 924,750 | ||||||||
| 3,500 | | 7.50%, 6/15/14 | | Ba3/BB | | 3,648,750 | ||||||||
| 13,800 | | Citic Resources Finance Ltd., 6.75%, 5/15/14 (a)(c) | | Ba2/BB+ | | 13,144,500 | ||||||||
| 5,000 | | Devon Energy Corp., 7.95%, 4/15/32 | | Baa1/BBB+ | | 6,174,710 | ||||||||
| Devon Financing Corp., | | | |||||||||||
| 2,900 | | 6.875%, 9/30/11 | | Baa1/BBB+ | | 3,114,420 | ||||||||
| 1,300 | | 7.875%, 9/30/31 | | Baa1/BBB+ | | 1,588,259 | ||||||||
| 4,700 | | EnCana Corp., 6.50%, 8/15/34 | | Baa2/A− | | 4,752,823 | ||||||||
| 2,675 | | Enterprise Products Operating L.P., 4.625%, 10/15/09 | | Baa3/BBB− | | 2,687,300 | ||||||||
| Gaz Capital S.A. (a)(c), | | | |||||||||||
| 5,700 | | 7.343%, 4/11/13 | | A3/BBB | | 5,992,125 | ||||||||
| 14,000 | | 8.146%, 4/11/18 | | A3/BBB | | 14,927,500 | ||||||||
| 4,500 | | Gazprom, 9.625%, 3/1/13 (a)(c) | | A3/BBB | | 5,118,750 | ||||||||
| ||||||||||||||
12 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Oil & Gas (continued) | | | |||||||||||
| $7,600 | | Gazprom AG, 9.625%, 3/1/13 | | A3/BBB | | $ | 8,660,200 | |||||||
| 3,424 | | Gazprom International S.A., 7.201%, 2/1/20 | | NR/BBB+ | | 3,496,907 | ||||||||
| 700 | | Hess Corp., 7.875%, 10/1/29 | | Baa2/BBB− | | 840,223 | ||||||||
| 1,348 | | Kern River Funding Corp., 4.893%, 4/30/18 (a)(c) | | A3/A− | | 1,309,427 | ||||||||
| 1,200 | | Plains Exploration & Production Co., 7.00%, 3/15/17 | | B1/BB− | | 1,188,000 | ||||||||
| 3,500 | | Ras Laffan Liquefied Natural Gas Co., Ltd. II, 5.298%, 9/30/20 (a) | | Aa2/A | | 3,254,650 | ||||||||
| 6,500 | | Tesoro Corp., 6.50%, 6/1/17 | | Ba1/BB+ | | 5,996,250 | ||||||||
| XTO Energy, Inc., | | | |||||||||||
| 3,000 | | 5.50%, 6/15/18 | | Baa2/BBB | | 2,985,222 | ||||||||
| 1,700 | | 6.10%, 4/1/36 | | Baa2/BBB | | 1,656,557 | ||||||||
| 3,000 | | 7.50%, 4/15/12 | | Baa2/BBB | | 3,268,752 | ||||||||
| | | 120,284,756 | |||||||||||
| Paper/Paper Products–0.4% | | | |||||||||||
| Georgia-Pacific LLC, | | | |||||||||||
| 2,900 | | 7.00%, 1/15/15 (a)(c) | | Ba3/BB− | | 2,885,500 | ||||||||
| 2,600 | | 7.125%, 1/15/17 (a)(c) | | Ba3/BB− | | 2,587,000 | ||||||||
| 1,400 | | 7.25%, 6/1/28 | | B2/B+ | | 1,246,000 | ||||||||
| 1,000 | | 7.375%, 12/1/25 | | B2/B+ | | 905,000 | ||||||||
| | | 7,623,500 | |||||||||||
| Real Estate–0.1% | | | |||||||||||
| 2,750 | | Forest City Enterprises, Inc., 7.625%, 6/1/15 | | Ba3/BB− | | 2,571,250 | ||||||||
| Retail–0.1% | | | |||||||||||
| 1,300 | | Yum! Brands, Inc., 6.25%, 4/15/16 | | Baa2/BBB− | | 1,319,641 | ||||||||
| Telecommunications–1.7% | | | |||||||||||
| AT&T Corp., | | | |||||||||||
| 2,352 | | 7.30%, 11/15/11 | | A2/A | | 2,532,248 | ||||||||
| 1,500 | | 8.00%, 11/15/31 | | A2/A | | 1,810,655 | ||||||||
| 100 | | British Telecommunications PLC, 8.625%, 12/15/10 | | Baa1/BBB+ | | 108,882 | ||||||||
| Deutsche Telekom International Finance BV, | | | |||||||||||
| 2,500 | | 8.00%, 6/15/10 | | A3/A− | | 2,679,220 | ||||||||
| €1,280 | | 8.125%, 5/29/12 | | A3/A− | | 2,174,582 | ||||||||
| $2,700 | | Nextel Communications, Inc., 7.375%, 8/1/15 | | Baa3/BBB− | | 2,161,458 | ||||||||
| Qwest Communications International, Inc., | | | |||||||||||
| 6,950 | | 7.25%, 2/15/11 | | Ba3/B+ | | 6,932,625 | ||||||||
| 5,000 | | 7.50%, 2/15/14 | | Ba3/B+ | | 4,937,500 | ||||||||
| 2,000 | | Qwest Corp., 6.05%, 6/15/13, FRN | | Ba1/BBB− | | 1,925,000 | ||||||||
| CAD400 | | Rogers Wireless, Inc., 7.625%, 12/15/11 | | Baa3/BBB− | | 426,619 | ||||||||
| Sprint Capital Corp., | | | |||||||||||
| $1,000 | | 6.375%, 5/1/09 | | Baa3/BBB− | | 985,233 | ||||||||
| 4,800 | | 8.75%, 3/15/32 | | Baa3/BBB− | | 4,245,749 | ||||||||
| 3,500 | | Telefonica Emisones s.A.u., 5.984%, 6/20/11 | | Baa1/BBB+ | | 3,577,252 | ||||||||
| 900 | | Verizon New England, Inc., 6.50%, 9/15/11 | | Baa1/A | | 931,184 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 13
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Telecommunications (continued) | | | |||||||||||
| $ 100 | | Vodafone Group PLC, 7.75%, 2/15/10 | | Baa1/A− | | $ | 105,565 | |||||||
| | | 35,533,772 | |||||||||||
| Tobacco–0.4% | | | |||||||||||
| 8,030 | | RJ Reynolds Tobacco Holdings, Inc., 7.75%, 6/1/18 | | Ba1/BBB | | 8,589,779 | ||||||||
| Utilities–2.5% | | | |||||||||||
| 2,700 | | Bruce Mansfield Unit, 6.85%, 6/1/34 | | Baa2/BBB | | 2,743,025 | ||||||||
| 400 | | Columbus Southern Power Co., 5.50%, 3/1/13 | | A3/BBB | | 404,909 | ||||||||
| 1,300 | | Constellation Energy Group, Inc., 7.00%, 4/1/12 | | Baa1/BBB+ | | 1,364,958 | ||||||||
| Consumers Energy Co., | | | |||||||||||
| 2,050 | | 5.00%, 2/15/12 | | Baa1/BBB | | 2,049,354 | ||||||||
| 850 | | 5.00%, 3/15/15 | | Baa1/BBB | | 824,791 | ||||||||
| 3,000 | | 5.15%, 2/15/17 | | Baa1/BBB | | 2,912,379 | ||||||||
| 1,100 | | 5.375%, 4/15/13 | | Baa1/BBB | | 1,110,312 | ||||||||
| 1,300 | | Dayton Power & Light Co., 5.125%, 10/1/13 | | A2/A− | | 1,328,722 | ||||||||
| 12,500 | | Enel Finance International S.A., 6.25%, 9/15/17 (a)(c) | | A2/A− | | 12,906,300 | ||||||||
| 1,600 | | Energy East Corp., 6.75%, 7/15/36 | | Baa2/BBB | | 1,550,850 | ||||||||
| 2,000 | | Entergy Arkansas, Inc., 4.50%, 6/1/10 | | Baa1/A− | | 1,990,182 | ||||||||
| Entergy Louisiana LLC, | | | |||||||||||
| 3,300 | | 4.67%, 6/1/10 | | Baa1/A− | | 3,300,241 | ||||||||
| 91 | | 8.09%, 1/2/17 | | Baa2/BBB | | 88,973 | ||||||||
| 200 | | Idaho Power Co., 6.60%, 3/2/11 | | A3/A− | | 211,643 | ||||||||
| 1,000 | | Midamerican Energy Holdings Co., 5.875%, 10/1/12 | | Baa1/BBB+ | | 1,043,914 | ||||||||
| Nevada Power Co., | | | |||||||||||
| 1,600 | | 5.95%, 3/15/16 | | Baa3/BB+ | | 1,598,064 | ||||||||
| 3,000 | | 6.50%, 5/15/18 | | Baa3/BB+ | | 3,092,871 | ||||||||
| 1,000 | | 6.65%, 4/1/36 | | Baa3/BB+ | | 977,150 | ||||||||
| Ohio Edison Co., | | | |||||||||||
| 1,700 | | 5.45%, 5/1/15 | | Baa2/BBB− | | 1,640,298 | ||||||||
| 1,600 | | 5.647%, 6/15/09 (a)(c) | | Baa2/BBB− | | 1,623,077 | ||||||||
| 500 | | PSE&G Power LLC, 7.75%, 4/15/11 | | Baa1/BBB | | 535,682 | ||||||||
| 2,900 | | Public Service Co. of Oklahoma, 6.15%, 8/1/16 | | Baa1/BBB | | 2,913,775 | ||||||||
| 1,700 | | Sierra Pacific Power Co., 6.00%, 5/15/16 | | Baa3/BB+ | | 1,697,900 | ||||||||
| 450 | | System Energy Resources, Inc., 5.129%, 1/15/14 (a)(c) | | Baa3/BBB+ | | 440,923 | ||||||||
| 1,000 | | Tampa Electric Co., 6.875%, 6/15/12 | | Baa2/BBB− | | 1,055,274 | ||||||||
| 4,500 | | Toledo Edison Co., 6.15%, 5/15/37 | | Baa3/BBB− | | 4,032,698 | ||||||||
| | | 53,438,265 | |||||||||||
| Waste Disposal–0.2% | | | |||||||||||
| 4,800 | | Allied Waste North America, Inc., 6.50%, 11/15/10 | | B1/BB | | 4,866,000 | ||||||||
| Total Corporate Bonds & Notes (cost–$1,325,853,358) | | | 1,285,252,516 | ||||||||||
| ||||||||||||||
14 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
U.S. GOVERNMENT AGENCY SECURITIES–34.0% | ||||||||||||||
| Fannie Mae–6.9% | | | |||||||||||
| $ 7 | | 4.81%, 8/25/18, CMO, FRN | | Aaa/AAA | | $ | 7,371 | |||||||
| 500 | | 5.50%, 12/1/35, MBS | | Aaa/AAA | | 503,814 | ||||||||
| 239 | | 5.50%, 2/1/36, MBS | | Aaa/AAA | | 240,241 | ||||||||
| 255 | | 5.50%, 9/1/36, MBS | | Aaa/AAA | | 256,720 | ||||||||
| 220 | | 5.50%, 12/1/36, MBS | | Aaa/AAA | | 221,798 | ||||||||
| 2,000 | | 5.50%, 1/1/37, MBS | | Aaa/AAA | | 2,013,324 | ||||||||
| 1,719 | | 5.50%, 2/1/37, MBS | | Aaa/AAA | | 1,730,586 | ||||||||
| 4,854 | | 5.50%, 3/1/37, MBS | | Aaa/AAA | | 4,886,051 | ||||||||
| 1,237 | | 5.50%, 4/1/37, MBS | | Aaa/AAA | | 1,245,642 | ||||||||
| 12,105 | | 5.50%, 5/1/37, MBS | | Aaa/AAA | | 12,185,757 | ||||||||
| 2,576 | | 5.50%, 6/1/37, MBS | | Aaa/AAA | | 2,593,472 | ||||||||
| 712 | | 5.50%, 7/1/37, MBS | | Aaa/AAA | | 717,177 | ||||||||
| 443 | | 5.50%, 8/1/37, MBS | | Aaa/AAA | | 445,451 | ||||||||
| 229 | | 5.50%, 10/1/37, MBS | | Aaa/AAA | | 230,329 | ||||||||
| 10 | | 5.598%, 2/1/18, FRN, MBS | | Aaa/AAA | | 10,507 | ||||||||
| 15,910 | | 6.00%, 7/1/37, MBS | | Aaa/AAA | | 16,283,148 | ||||||||
| 101,000 | | 6.00%, MBS, TBA (d) | | Aaa/AAA | | 103,256,744 | ||||||||
| 9 | | 7.364%, 4/1/17, FRN, MBS | | Aaa/AAA | | 9,081 | ||||||||
| | | 146,837,213 | |||||||||||
| Freddie Mac–1.3% | | | |||||||||||
| 1,707 | | 4.50%, 3/15/16, CMO | | Aaa/AAA | | 1,722,148 | ||||||||
| 12 | | 5.375%, 12/1/18, FRN, MBS | | Aaa/AAA | | 12,435 | ||||||||
| 22,000 | | 5.50%, MBS, TBA (d) | | Aaa/AAA | | 22,140,932 | ||||||||
| 2,118 | | 6.00%, 10/1/27, MBS | | Aaa/AAA | | 2,175,106 | ||||||||
| 33 | | 6.274%, 6/1/30, FRN, MBS | | Aaa/AAA | | 33,174 | ||||||||
| 1,000 | | 6.50%, 8/1/37, MBS | | Aaa/AAA | | 1,037,203 | ||||||||
| | | 27,120,998 | |||||||||||
| Ginnie Mae–22.7% | | | |||||||||||
| 2,789 | | 4.75%, 6/20/34, FRN, MBS | | Aaa/AAA | | 2,803,817 | ||||||||
| 99,253 | | 6.00%, 2/15/37, MBS | | Aaa/AAA | | 102,180,081 | ||||||||
| 1,787 | | 6.00%, 8/15/37, MBS | | Aaa/AAA | | 1,839,435 | ||||||||
| 370,000 | | 6.00%, MBS, TBA (d) | | Aaa/AAA | | 380,117,280 | ||||||||
| 23 | | 6.375%, 1/20/22, FRN, MBS | | Aaa/AAA | | 22,943 | ||||||||
| 23 | | 7.50%, 1/15/31, MBS | | Aaa/AAA | | 25,008 | ||||||||
| 53 | | 7.50%, 8/15/31, MBS | | Aaa/AAA | | 57,237 | ||||||||
| | | 487,045,801 | |||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 15
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Small Business Administration Participation Certificates–3.1% | | | |||||||||||
| $ 1,153 | | 4.504%, 2/1/14 | | Aaa/AAA | | $ | 1,123,005 | |||||||
| 36,491 | | 5.32%, 1/1/27 | | Aaa/AAA | | 37,062,577 | ||||||||
| 27,283 | | 5.70%, 8/1/26 | | Aaa/AAA | | 28,349,928 | ||||||||
| | | 66,535,510 | |||||||||||
| Total U.S. Government Agency Securities (cost–$725,197,051) | | | 727,539,522 | ||||||||||
SOVEREIGN DEBT OBLIGATIONS–9.1% | ||||||||||||||
| Brazil–0.4% | | | |||||||||||
| Federal Republic of Brazil, | | | |||||||||||
| BRL7,650 | | 10.25%, 1/10/28 | | Ba1/BB+ | | 4,023,223 | ||||||||
| BRL6,300 | | 12.50%, 1/5/22 | | Ba1/BB+ | | 3,871,654 | ||||||||
| | | 7,894,877 | |||||||||||
| France–5.0% | | | |||||||||||
| €78,100 | | France Government Bond, 4.00%, 10/25/38, OAT (d) | | Aaa/AAA | | 107,067,921 | ||||||||
| Germany–3.3% | | | |||||||||||
| Deutsche Bundesrepublik (d), | | | |||||||||||
| €2,900 | | 4.25%, 7/4/39 | | Aaa/AAA | | 4,233,946 | ||||||||
| €35,000 | | 6.25%, 1/4/30 | | Aaa/AAA | | 66,040,866 | ||||||||
| | | 70,274,812 | |||||||||||
| Korea–0.0% | | | |||||||||||
| $ 1,000 | | Export-Import Bank of Korea, 3.166%, 6/1/09, FRN | | Aa3/A | | 1,001,587 | ||||||||
| Russia–0.4% | | | |||||||||||
| 7,123 | | Russian Federation, 7.50%, 3/31/30, VRN | | Baa2/BBB+ | | 8,202,266 | ||||||||
| Total Sovereign Debt Obligations (cost–$194,065,714) | | | 194,441,463 | ||||||||||
| SENIOR LOANS (a)(b)–6.4% | | | |||||||||||
| Automotive–0.6% | | | |||||||||||
| 13,726 | | Ford Motor Corp., 5.80%, 12/15/13, Term B | | | 12,647,449 | |||||||||
| Hertz Corp., | | | |||||||||||
| 111 | | 2.599%, 12/21/12 | | | 106,730 | |||||||||
| 2 | | 4.22%, 12/21/12 | | | 1,476 | |||||||||
| 371 | | 4.22%, 12/21/12, Term B | | | 356,809 | |||||||||
| 242 | | 4.23%, 12/21/12, Term B | | | 231,968 | |||||||||
| | | 13,344,432 | |||||||||||
| Drugs & Medical Products–0.2% | | | |||||||||||
| Mylan Laboratories, Inc., | | | |||||||||||
| 1,956 | | 5.938%, 10/2/14, Term B | | | 1,922,220 | |||||||||
| 978 | | 6.00%, 10/2/14 | | | 961,110 | |||||||||
| 2,053 | | 6.125%, 10/2/14, Term B | | | 2,017,582 | |||||||||
| | | 4,900,912 | |||||||||||
| ||||||||||||||
16 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Entertainment–0.1% | | | |||||||||||
| $ 3,952 | | MGM Studios, 5.946%, 4/8/12, Term B | | | $ | 3,175,361 | ||||||||
| Financial Services–4.4% | | | |||||||||||
| 102,718 | | Chrysler Financial Corp., 6.80%, 8/3/12 | | | 93,743,996 | |||||||||
| Healthcare & Hospitals–0.1% | | | |||||||||||
| 1,980 | | HCA, Inc., 4.946%, 11/18/13, Term B | | | 1,883,570 | |||||||||
| Hotels/Gaming–0.3% | | | |||||||||||
| 993 | | Las Vegas Sands Corp., 4.45%, 5/23/14 | | | 913,889 | |||||||||
| MGM Mirage, Inc., | | | |||||||||||
| 720 | | 2.904%, 10/3/11 | | | 644,040 | |||||||||
| 600 | | 2.941%, 10/3/11 | | | 482,063 | |||||||||
| 480 | | 2.974%, 10/3/11 | | | 385,650 | |||||||||
| 1,200 | | 3.414%, 10/3/11 | | | 1,073,400 | |||||||||
| 1,800 | | 3.421%, 10/3/11 | | | 1,610,100 | |||||||||
| 600 | | 3.468%, 10/3/11 | | | 482,063 | |||||||||
| 600 | | 4.405%, 10/3/11 | | | 536,700 | |||||||||
| | | 6,127,905 | |||||||||||
| Paper/Paper Products–0.7% | | | |||||||||||
| Georgia-Pacific Corp., | | | |||||||||||
| 942 | | 4.446%, 12/20/12 | | | 905,259 | |||||||||
| 806 | | 4.446%, 12/20/12, Term B | | | 774,060 | |||||||||
| 4,020 | | 4.74%, 12/20/12 | | | 3,862,436 | |||||||||
| 8,966 | | 4.74%, 12/20/12, Term B | | | 8,614,747 | |||||||||
| 1,055 | | 4.835%, 12/20/12, Term B | | | 1,013,500 | |||||||||
| | | 15,170,002 | |||||||||||
| Total Senior Loans (cost–$145,753,604) | | | 138,346,178 | ||||||||||
MUNICIPAL BONDS–1.7% | ||||||||||||||
| California–0.1% | | | |||||||||||
| 2,400 | | Golden State Tobacco Securitization Corp. Rev., | | | ||||||||||
| 5.75%, 6/1/47, Ser. A-1 | | Baa3/BBB | | 2,157,600 | |||||||||
| Michigan–0.4% | | | |||||||||||
| 8,555 | | Detroit City School Dist., GO, 5.00%, 5/1/33, Ser. B (FGIC, Q-SBLF) | | Aa3/AA | | 8,626,263 | ||||||||
| Ohio–0.6% | | | |||||||||||
| 13,550 | | Buckeye Tobacco Settlement Financing Auth. Rev., | | | ||||||||||
| 5.75%, 6/1/34, Ser. A-2 | | Baa3/BBB | | 12,359,633 | |||||||||
| Washington–0.6% | | | |||||||||||
| 13,180 | | State, Motor Vehicle Rev., GO, 5.00%, 1/1/33, Ser. D | | Aa1/AA+ | | 13,442,282 | ||||||||
| Total Municipal Bonds (cost–$36,765,690) | | | 36,585,778 | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 17
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
MORTGAGE-BACKED SECURITIES–1.3% | ||||||||||||||
| $ 4,400 | | Banc of America Commercial Mortgage, Inc., | | | ||||||||||
| 5.889%, 7/10/44, CMO, VRN | | NR/AAA | | $ | 4,460,793 | ||||||||
| 3,000 | | Chase Commercial Mortgage Securities Corp., | | | ||||||||||
| 6.484%, 2/12/16, CMO, VRN (a)(c) | | Aaa/NR | | 3,105,042 | |||||||||
| 8,000 | | Citigroup/Deutsche Bank Commercial Mortgage Trust, | | | ||||||||||
| 5.545%, 1/15/46, CMO, VRN | | Aaa/AAA | | 7,888,007 | |||||||||
| 2,466 | | Downey Savings & Loan Assoc. Mortgage Loan Trust, | | | ||||||||||
| 6.516%, 7/19/44, CMO, FRN | | Aaa/AAA | | 2,170,251 | |||||||||
| 6,212 | | Greenpoint Mortgage Funding Trust, 3.125%, 6/25/45, CMO, FRN | | Aaa/AAA | | 4,677,040 | ||||||||
| 35,282 | | Hilton Hotel Pool Trust, 0.864%, 10/3/15, CMO, IO, VRN (a)(c) | | Aaa/AAA | | 518,033 | ||||||||
| 1,000 | | JPMorgan Chase Commercial Mortgage Securities Corp., | | | ||||||||||
| 5.336%, 5/15/47, CMO | | Aaa/AAA | | 971,380 | |||||||||
| 2,067 | | Ocwen Residential MBS Corp., 7.00%, 10/25/40, CMO, VRN (a)(c) | | B3/NR | | 1,091,872 | ||||||||
| 543 | | PNC Mortgage Acceptance Corp., 7.61%, 2/15/10, CMO | | Aaa/NR | | 562,055 | ||||||||
| 3,963 | | Washington Mutual, Inc., 2.995%, 11/25/34, CMO, FRN | | Aaa/AAA | | 3,400,531 | ||||||||
| Total Mortgage-Backed Securities (cost–$32,113,702) | | | 28,845,004 | ||||||||||
CONVERTIBLE BONDS–1.3% | ||||||||||||||
| Oil & Gas–1.3% | | | |||||||||||
| Chesapeake Energy Corp., | | | |||||||||||
| 18,200 | | 2.50%, 5/15/37 | | Ba3/BB | | 25,616,500 | ||||||||
| 1,200 | | 2.75%, 11/15/35 | | Ba3/BB | | 1,762,500 | ||||||||
| Total Convertible Bonds (cost–$19,960,021) | | | 27,379,000 | ||||||||||
ASSET-BACKED SECURITIES–0.3% | ||||||||||||||
| Green Tree Financial Corp., | | | |||||||||||
| 491 | | 6.22%, 3/1/30 | | NR/BBB | | 453,461 | ||||||||
| 6,049 | | 6.53%, 2/1/31, VRN | | NR/B− | | 5,155,363 | ||||||||
| Keystone Owner Trust (a)(c), | | | |||||||||||
| 78 | | 8.35%, 12/25/24 | | Ba2/NR | | 75,401 | ||||||||
| 6 | | 9.00%, 1/25/29 | | Ba2/NR | | 5,069 | ||||||||
| Total Asset-Backed Securities (cost–$6,159,098) | | | 5,689,294 | ||||||||||
PREFERRED STOCK–0.1% | ||||||||||||||
| Shares | | | | |||||||||||
| Financial Services–0.1% | | | |||||||||||
| 56,000 | | Goldman Sachs Group, Inc., 3.846%, FRN (cost–$1,400,000) | | A2/A | | 1,080,800 | ||||||||
| ||||||||||||||
18 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
SHORT-TERM INVESTMENTS–5.4% | ||||||||||||||
| U.S. Treasury Bills (i)–1.0% | | | |||||||||||
| $22,100 | | 0.90%–1.35%, 5/29/08-6/26/08 (cost–$22,062,582) | | | $ | 22,062,582 | ||||||||
| Corporate Notes–0.7% | | | |||||||||||
| Airlines–0.0% | | | |||||||||||
| 500 | | Continental Airlines, Inc., 6.32%, 11/1/08 | | Baa2/A− | | 497,688 | ||||||||
| Financial Services–0.3% | | | |||||||||||
| 4,205 | | Ford Motor Credit Co. LLC, 6.625%, 6/16/08 | | B1/B | | 4,182,200 | ||||||||
| 1,000 | | Spinnaker Capital Ltd., 14.30%, 6/15/08, FRN (a)(c) | | B1/NR | | 1,008,827 | ||||||||
| | | 5,191,027 | |||||||||||
| Oil & Gas–0.1% | | | |||||||||||
| 2,800 | | Salomon Brothers AG for OAO Siberian Oil Co., 10.75%, 1/15/09 | | Ba1/BBB− | | 2,926,840 | ||||||||
| Telecommunications–0.1% | | | |||||||||||
| 1,350 | | Sprint Capital Corp., 6.125%, 11/15/08 | | Baa3/BBB− | | 1,340,048 | ||||||||
| Utilities–0.2% | | | |||||||||||
| 500 | | Cleveland Electric Illuminating Co., 6.86%, 10/1/08 | | Baa2/BBB+ | | 504,838 | ||||||||
| 1,500 | | Entergy Gulf States, Inc., 3.60%, 6/1/08 | | Baa3/BBB+ | | 1,497,510 | ||||||||
| 1,600 | | Ohio Edison Co., 4.00%, 5/1/08 | | Baa2/BBB− | | 1,600,000 | ||||||||
| | | 3,602,348 | |||||||||||
| Waste Disposal–0.0% | | | |||||||||||
| 500 | | Waste Management, Inc., 6.50%, 11/15/08 | | Baa3/BBB | | 507,570 | ||||||||
| Total Corporate Notes (cost–$14,048,950) | | | 14,065,521 | ||||||||||
| U.S. Government Agency Securities–0.0% | | | |||||||||||
| —(g) | | Fannie Mae, 4.00%, 2/25/09, CMO (cost–$378) | | Aaa/AAA | | 386 | ||||||||
| Repurchase Agreements–3.7% | | | |||||||||||
| 9,000 | | Credit Suisse First Boston, dated 4/30/08, 1.90%, due 5/1/08, proceeds $9,000,475; collateralized by U.S. Treasury Inflation Index Note, 1.875%, due 7/15/13, valued at $9,259,600 including accrued interest | | | 9,000,000 | |||||||||
| 64,400 | | Deutsche Bank, dated 4/30/08, 1.90%, due 5/1/08, proceeds | | | ||||||||||
| $64,403,399; collateralized by U.S. Treasury Inflation Index Bond, | | | |||||||||||
| 3.875%, due 4/15/29, valued at $66,127,252 including accrued interest | | | 64,400,000 | ||||||||||
| 6,615 | | State Street Bank & Trust Co., dated 4/30/08, 1.70%, due 5/1/08, proceeds $6,615,312; collateralized by Federal Home Loan Bank, 2.023%, due 7/7/08, valued at $6,749,594 including accrued interest | | | 6,615,000 | |||||||||
| Total Repurchase Agreements (cost–$80,015,000) | | | 80,015,000 | ||||||||||
| Total Short-Term Investments (cost–$116,126,910) | | | 116,143,489 | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 19
| Contracts/ Notional Amount | | | | Value | ||||||||||
OPTIONS PURCHASED (j)–1.1% | ||||||||||||||
| Call Options–0.9% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month EUR-LIBOR Floating Rate Index, | | | |||||||||||
| $ | 1,928,000,000 | | strike rate 4.12%, expires 3/16/09 | | | $ | 6,568,927 | |||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 70,000,000 | | strike rate 4.25%, expires 7/6/09 | | | 1,045,639 | |||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 66,300,000 | | strike rate 5.00%, expires 8/28/09 | | | 1,590,371 | |||||||||
| Euro Bund (OTC), | | | |||||||||||
| 594 | | strike price $126 expires 5/23/08 | | | 9,248 | |||||||||
| 500 | | strike price $127 expires 5/23/08 | | | 7,784 | |||||||||
| 350 | | strike price $128 expires 5/23/08 | | | 5,449 | |||||||||
| 540 | | strike price $130 expires 5/23/08 | | | 8,407 | |||||||||
| Euro-Schatz (OTC), | | | |||||||||||
| 31 | | strike price $109, expires 5/23/08 | | | 241 | |||||||||
| 9,152 | | strike price $110, expires 5/23/08 | | | 71,244 | |||||||||
| Euro versus Japanese Yen (OTC), | | | |||||||||||
| 9,000,000 | | strike price $148.40, expires 6/3/10 | | | 1,016,522 | |||||||||
| Euro versus U.S. Dollar (OTC), | | | |||||||||||
| 9,800,000 | | strike price $1.38, expires 5/21/10 | | | 1,689,187 | |||||||||
| 18,800,000 | | strike price $1.38, expires 5/21/10 | | | 3,240,480 | |||||||||
| 19,000,000 | | strike price $1.38, expires 6/3/10 | | | 3,274,657 | |||||||||
| Fannie Mae (OTC), | | | |||||||||||
| 12,000,000 | | strike price $106, expires 6/5/08 | | | — | |||||||||
| 30,000,000 | | strike price $106, expires 7/7/08 | | | — | |||||||||
| 360,000,000 | | strike price $109.19, expires 7/7/08 | | | 4 | |||||||||
| U.S. Dollar versus Japanese Yen (OTC), | | | |||||||||||
| 10,200,000 | | strike price $104, expires 3/17/10 | | | 351,747 | |||||||||
| 5,000,000 | | strike price $105.20, expires 3/31/10 | | | 144,210 | |||||||||
| 20,000,000 | | strike price $105.40, expires 3/31/10 | | | 559,140 | |||||||||
| U.S. Treasury Bonds 30 yr. Futures (CBOT), | | | |||||||||||
| 361 | | strike price $159, expires 5/23/08 | | | 5,641 | |||||||||
| U.S. Treasury Inflation Index Bonds (OTC), | | | |||||||||||
| 16,000,000 | | strike price $104.91, expires 6/27/08 | | | — | |||||||||
| U.S. Treasury Notes 2 yr. Futures (CBOT), | | | |||||||||||
| 653 | | strike price $109.50, expires 5/23/08 | | | 10,203 | |||||||||
| | | 19,599,101 | |||||||||||
| Put Options–0.2% | | | |||||||||||
| Bundesrepublik Deutschland (OTC), | | | |||||||||||
| 10,000,000 | | strike price $81.30, expires 5/22/08 | | | — | |||||||||
| 75,000,000 | | strike price $82, expires 5/22/08 | | | 1 | |||||||||
| Put Options (continued) | | | |||||||||||
| Euro-Bobl (OTC), | | | |||||||||||
| ||||||||||||||
20 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08
| Contracts/ Notional Amount | | | | Value | ||||||||||
| $ | 52 | | strike price $104, expires 5/23/08 | | | $ | 405 | |||||||
| 60 | | strike price $105, expires 5/23/08 | | | 467 | |||||||||
| Euro versus Japanese Yen (OTC), | | | |||||||||||
| 9,000,000 | | strike price $148.40, expires 6/3/10 | | | 712,473 | |||||||||
| Euro versus U.S. Dollar (OTC), | | | |||||||||||
| 8,000,000 | | strike price $1.36, expires 5/21/08 | | | 1,881 | |||||||||
| 16,000,000 | | strike price $1.36, expires 5/21/08 | | | 4,907 | |||||||||
| 9,800,000 | | strike price $1.38, expires 5/21/10 | | | 304,023 | |||||||||
| 18,800,000 | | strike price $1.38, expires 5/21/10 | | | 583,228 | |||||||||
| 19,000,000 | | strike price $1.38, expires 6/3/10 | | | 593,989 | |||||||||
| Fannie Mae (OTC), | | | |||||||||||
| 89,000,000 | | strike price $80, expires 7/7/08 | | | 1,916 | |||||||||
| 138,000,000 | | strike price $86.38, expires 6/5/08 | | | 621 | |||||||||
| 71,000,000 | | strike price $90, expires 6/5/08 | | | 359 | |||||||||
| 560,000,000 | | strike price $92.19, expires 6/5/08 | | | 53,374 | |||||||||
| Financial Future Euro – 90 day (CME), | | | |||||||||||
| 150 | | strike price $92.25, expires 6/16/08 | | | — | |||||||||
| Freddie Mac (OTC), | | | |||||||||||
| 22,000,000 | | strike price $86, expires 6/5/08 | | | 74 | |||||||||
| 1,000,000 | | strike price $93, expires 6/5/08 | | | — | |||||||||
| Ginnie Mae (OTC), | | | |||||||||||
| 100,000,000 | | strike price $81.09, expires 6/12/08 | | | 145 | |||||||||
| 236,000,000 | | strike price $85, expires 6/12/08 | | | 777 | |||||||||
| 235,000,000 | | strike price $89, expires 6/12/08 | | | 1,915 | |||||||||
| United Kingdom–90 day (CME), | | | |||||||||||
| 8,036 | | strike price $92.50, expires 6/18/08 | | | 20 | |||||||||
| U.S. Dollar versus Japanese Yen (OTC), | | | |||||||||||
| 10,200,000 | | strike price $104, expires 3/17/10 | | | 721,956 | |||||||||
| 5,000,000 | | strike price $105.20, expires 3/31/10 | | | 386,170 | |||||||||
| 20,000,000 | | strike price $105.40, expires 3/31/10 | | | 1,564,660 | |||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 414 | | strike price $80, expires 5/23/08 | | | 6,469 | |||||||||
| 600 | | strike price $83, expires 5/23/08 | | | 9,375 | |||||||||
| 860 | | strike price $85, expires 5/23/08 | | | 13,438 | |||||||||
| 1,866 | | strike price $88, expires 5/23/08 | | | 29,156 | |||||||||
| 3,000 | | strike price $100, expires 5/23/08 | | | 46,875 | |||||||||
| 896 | | strike price $108, expires 5/23/08 | | | 14,000 | |||||||||
| | | 5,052,674 | |||||||||||
| Total Options Purchased (cost–$15,231,557) | | | 24,651,775 | ||||||||||
| Total Investments before options written (cost–$2,618,626,705) | | 2,585,954,819 | |||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C Semi-Annual Report 21
| Contracts/ Notional Amount | | | | Value | ||||||||||
OPTIONS WRITTEN (j)–(0.6)% | ||||||||||||||
| Call Options–(0.4)% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month EUR-LIBOR Floating Rate Index, | | | |||||||||||
| $ | 423,000,000 | | strike rate 4.25%, expires 3/16/09 | | | $ | (6,464,972 | ) | ||||||
| 7-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 19,700,000 | | strike rate 4.90%, expires 7/6/09 | | | (878,277 | ) | ||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 21,700,000 | | strike rate 5.32%, expires 8/28/09 | | | (1,310,098 | ) | ||||||||
| U.S. Treasury Bonds 30 yr. Futures (CBOT), | | | |||||||||||
| 30,500,000 | | strike price $4.40, expires 6/20/08 | | | (168,067 | ) | ||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 1,708 | | strike price $118, expires 5/23/08 | | | (320,250 | ) | ||||||||
| | | (9,141,664 | ) | ||||||||||
| Put Options–(0.2)% | | | |||||||||||
| 5-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 413,800,000 | | strike rate 5.10%, expires 3/16/09 | | | (2,679,686 | ) | ||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 1,708 | | strike price $114, expires 5/23/08 | | | (453,688 | ) | ||||||||
| | | (3,133,374 | ) | ||||||||||
| Total Options Written (premiums received–$9,998,076) | | | (12,275,038 | ) | |||||||||
| Total Investments net of options written (cost–$2,608,628,627) | | 120.1% | | 2,573,679,781 | |||||||||
| Liabilities in excess of other assets | | (20.1) | | (431,571,684 | ) | ||||||||
| Net Assets | | 100.0% | | $ | 2,142,108,097 | ||||||||
| ||||||||||||||
22 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
MUNICIPAL BONDS–94.5% | ||||||||||||||
| Arizona–6.6% | | | |||||||||||
| $ | 100 | | Health Facs. Auth. Rev., Beatitudes Project, 5.20%, 10/1/37 | | NR/NR | | $ | 78,916 | ||||||
| 100 | | Pima Cnty. Industrial Dev. Auth. Rev., | | | ||||||||||
| Choice Education and Dev. Corp., 6.375%, 6/1/36 | | NR/NR | | 94,224 | |||||||||
| | | 173,140 | |||||||||||
| California–9.3% | | | |||||||||||
| 100 | | Statewide Community Dev. Auth. Rev., | | | ||||||||||
| Baptist Univ., 5.50%, 11/1/38, Ser. A | | NR/NR | | 93,304 | |||||||||
| 150 | | Univ. Rev., 5.00%, 5/15/41, Ser. D (FGIC) | | Aa2/AA− | | 151,081 | ||||||||
| | | 244,385 | |||||||||||
| Colorado–3.3% | | | |||||||||||
| 100 | | Health Facs. Auth. Rev., Volunteers of America, 5.25%, 7/1/27 | | NR/NR | | 86,801 | ||||||||
| Florida–3.3% | | | |||||||||||
| 100 | | Sarasota Cnty. Health Fac. Auth. Rev., 5.75%, 7/1/37 | | NR/NR | | 85,629 | ||||||||
| Illinois–3.4% | | | |||||||||||
| 100 | | Finance Auth. Rev., Dekalb Supportive Living, 6.10%, 12/1/41 (m) | | NR/NR | | 88,880 | ||||||||
| Indiana–3.3% | | | |||||||||||
| 100 | | Vigo Cnty. Hospital Auth. Rev., 5.70%, 9/1/37 (c) | | NR/NR | | 87,570 | ||||||||
| Iowa–3.1% | | | |||||||||||
| 100 | | Finance Auth. Rev., 5.50%, 11/15/37 | | NR/NR | | 81,803 | ||||||||
| Maryland–6.8% | | | |||||||||||
| Health & Higher Educational Facs. Auth. Rev., | | | |||||||||||
| 100 | | 5.30%, 1/1/37 | | NR/NR | | 79,601 | ||||||||
| 100 | | 6.00%, 1/1/43 | | NR/BBB− | | 98,258 | ||||||||
| | | 177,859 | |||||||||||
| Michigan–10.2% | | | |||||||||||
| 100 | | Kalamazoo Economic Dev. Corp. Rev., 5.50%, 5/15/36 | | NR/NR | | 83,760 | ||||||||
| 100 | | Meridian Economic Dev. Corp. Rev., 5.25%, 7/1/26 | | NR/NR | | 89,726 | ||||||||
| 100 | | Tobacco Settlement Finance Auth. Rev., 5.125%, 6/1/22, Ser. A | | NR/BBB | | 94,482 | ||||||||
| | | 267,968 | |||||||||||
| Minnesota–6.8% | | | |||||||||||
| 100 | | North Oaks Presbyterian Homes Rev., 6.125%, 10/1/39 | | NR/NR | | 97,879 | ||||||||
| 100 | | St. Paul Housing & Redev. Auth. Rev., 5.375%, 5/1/43 | | NR/NR | | 79,413 | ||||||||
| | | 177,292 | |||||||||||
| Missouri–3.5% | | | |||||||||||
| 100 | | Branson Regional Airport Transportation Dev. Dist. Rev., | | | ||||||||||
| 6.00%, 7/1/25, Ser. B (m) | | NR/NR | | 91,394 | |||||||||
| New Jersey–3.6% | | | |||||||||||
| 100 | | Middlesex Cnty. Improvement Auth. Rev., 6.125%, 1/1/25, Ser. B | | NR/NR | | 94,462 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series H Semi-Annual Report 23
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| New Mexico–3.5% | | | |||||||||||
| $ | 100 | | Otero Cnty. Rev., 6.00%, 4/1/28 | | NR/NR | | $ | 91,032 | ||||||
| Pennsylvania–3.2% | | | |||||||||||
| 100 | | Allegheny Cnty. Hospital Dev. Auth. Rev., 5.375%, 11/15/40, Ser. A | | Ba2/BB | | 82,427 | ||||||||
| Tennessee–3.4% | | | |||||||||||
| 100 | | Blount Cnty. Health & Educational Facs. Board Rev., | | | ||||||||||
| 5.125%, 4/1/23, Ser. A | | NR/NR | | 89,455 | |||||||||
| Texas–7.2% | | | |||||||||||
| 100 | | Maverick Cnty. Public Fac. Corp. Rev., 6.375%, 2/1/29, Ser. A-1 | | NR/NR | | 89,426 | ||||||||
| 100 | | Willacy Cnty. Rev., 6.875%, 9/1/28, Ser. A-1 | | NR/NR | | 99,252 | ||||||||
| | | 188,678 | |||||||||||
| Utah–7.1% | | | |||||||||||
| 100 | | Spanish Fork City Rev., 5.55%, 11/15/21 | | NR/NR | | 94,104 | ||||||||
| 100 | | Utah Cnty. Lincoln Academy Charter School Rev., GO, | | | ||||||||||
| 5.875%, 6/15/37, Ser. A (c) | | NR/NR | | 91,385 | |||||||||
| | | 185,489 | |||||||||||
| Virginia–3.5% | | | |||||||||||
| 100 | | Lewistown Commerce Center Community Dev. Auth. Rev., 6.05%, 3/1/27 | | NR/NR | | 90,424 | ||||||||
| Wisconsin–3.4% | | | |||||||||||
| 100 | | Milwaukee Redev. Auth. Rev., 5.65%, 8/1/37, Ser. A | | NR/NR | | 87,867 | ||||||||
| Total Municipal Bonds (cost–$2,759,164) | | | 2,472,555 | ||||||||||
EXCHANGE-TRADED FUND–2.2% | ||||||||||||||
| Shares | | | | |||||||||||
| 57,000 | | SSgA Tax Free Money Market Fund (cost–$57,000) | | | 57,000 | |||||||||
| | | ||||||||||||
| Total Investments (cost–$2,816,164) | | 96.7% | | 2,529,555 | |||||||||
| Other assets less liabilities | | 3.3 | | 85,222 | |||||||||
| Net Assets | | 100.0% | | $ | 2,614,777 | ||||||||
| ||||||||||||||
24 Fixed Income SHares—Series H Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
U.S. GOVERNMENT AGENCY SECURITIES–444.7% | ||||||||||||||
| Fannie Mae–247.0% | | | |||||||||||
| $ | 99 | | 3.356%, 8/25/21, CMO, FRN (k) | | Aaa/AAA | | $ | 98,307 | ||||||
| 3,654 | | 4.00%, 11/25/19, CMO (k) | | Aaa/AAA | | 3,313,799 | ||||||||
| 4,972 | | 4.058%, 1/1/34, FRN, MBS (k) | | Aaa/AAA | | 5,079,193 | ||||||||
| 590 | | 4.448%, 10/1/34, FRN, MBS (k) | | Aaa/AAA | | 592,441 | ||||||||
| 300 | | 4.50%, 11/25/14, CMO (k) | | Aaa/AAA | | 303,752 | ||||||||
| 1,775 | | 4.50%, 7/1/21, MBS (k) | | Aaa/AAA | | 1,755,446 | ||||||||
| 283 | | 4.50%, 12/1/21, MBS | | Aaa/AAA | | 279,701 | ||||||||
| 576 | | 4.50%, 1/1/22, MBS | | Aaa/AAA | | 569,685 | ||||||||
| 32 | | 4.50%, 2/1/22, MBS | | Aaa/AAA | | 31,390 | ||||||||
| 7,542 | | 4.50%, 4/1/22, MBS | | Aaa/AAA | | 7,456,516 | ||||||||
| 965 | | 4.50%, 5/1/22, MBS | | Aaa/AAA | | 954,003 | ||||||||
| 28,413 | | 4.50%, 5/1/22, MBS (k) | | Aaa/AAA | | 28,092,077 | ||||||||
| 1,150 | | 4.50%, 6/1/22, MBS | | Aaa/AAA | | 1,137,300 | ||||||||
| 5,076 | | 4.50%, 7/1/22, MBS | | Aaa/AAA | | 5,019,202 | ||||||||
| 18,583 | | 4.50%, 1/25/25, CMO (k) | | Aaa/AAA | | 18,674,249 | ||||||||
| 8,500 | | 4.50%, 11/25/26, CMO (k) | | Aaa/AAA | | 7,962,128 | ||||||||
| 525 | | 4.522%, 12/1/34, FRN, MBS (k) | | Aaa/AAA | | 530,036 | ||||||||
| 1,093 | | 4.824%, 4/1/35, FRN, MBS (k) | | Aaa/AAA | | 1,108,432 | ||||||||
| 413 | | 4.84%, 1/1/33, FRN, MBS (k) | | Aaa/AAA | | 426,931 | ||||||||
| 4,717 | | 4.892%, 11/1/35, FRN, MBS (k) | | Aaa/AAA | | 4,701,281 | ||||||||
| 907 | | 4.966%, 2/1/33, FRN, MBS (k) | | Aaa/AAA | | 935,989 | ||||||||
| 1,915 | | 5.00%, 9/25/14, CMO (k) | | Aaa/AAA | | 1,948,405 | ||||||||
| 200 | | 5.00%, 1/25/16, CMO (k) | | Aaa/AAA | | 203,105 | ||||||||
| 272 | | 5.00%, 9/1/17, MBS (k) | | Aaa/AAA | | 275,345 | ||||||||
| 2,084 | | 5.00%, 1/1/19, MBS (k) | | Aaa/AAA | | 2,106,480 | ||||||||
| 9,425 | | 5.00%, 6/1/19, MBS (k) | | Aaa/AAA | | 9,513,045 | ||||||||
| 2,507 | | 5.00%, 7/1/19, MBS (k) | | Aaa/AAA | | 2,530,821 | ||||||||
| 5,901 | | 5.00%, 8/1/19, MBS (k) | | Aaa/AAA | | 5,956,879 | ||||||||
| 17 | | 5.00%, 9/1/19, MBS | | Aaa/AAA | | 16,890 | ||||||||
| 6,817 | | 5.00%, 9/1/19, MBS (k) | | Aaa/AAA | | 6,885,057 | ||||||||
| 2,655 | | 5.00%, 10/1/19, MBS (k) | | Aaa/AAA | | 2,679,657 | ||||||||
| 66 | | 5.00%, 11/1/19, MBS | | Aaa/AAA | | 66,141 | ||||||||
| 2,564 | | 5.00%, 11/1/19, MBS (k) | | Aaa/AAA | | 2,588,159 | ||||||||
| 2,752 | | 5.00%, 12/1/19, MBS (k) | | Aaa/AAA | | 2,777,517 | ||||||||
| 64 | | 5.00%, 1/1/20, MBS | | Aaa/AAA | | 64,549 | ||||||||
| 5,313 | | 5.00%, 1/1/20, MBS (k) | | Aaa/AAA | | 5,362,969 | ||||||||
| 78 | | 5.00%, 2/1/20, MBS | | Aaa/AAA | | 78,214 | ||||||||
| 2,744 | | 5.00%, 2/1/20, MBS (k) | | Aaa/AAA | | 2,765,547 | ||||||||
| 249 | | 5.00%, 3/1/20, MBS (k) | | Aaa/AAA | | 250,746 | ||||||||
| 589 | | 5.00%, 4/1/20, MBS (k) | | Aaa/AAA | | 593,784 | ||||||||
| 1,897 | | 5.00%, 5/1/20, MBS (k) | | Aaa/AAA | | 1,911,934 | ||||||||
| 53 | | 5.00%, 6/1/20, MBS | | Aaa/AAA | | 53,780 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 25
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 1,333 | | 5.00%, 6/1/20, MBS (k) | | Aaa/AAA | | $ | 1,343,003 | ||||||
| 24,115 | | 5.00%, 7/1/20, MBS (k) | | Aaa/AAA | | 24,304,221 | ||||||||
| 161 | | 5.00%, 8/1/20, MBS | | Aaa/AAA | | 161,969 | ||||||||
| 38,318 | | 5.00%, 8/1/20, MBS (k) | | Aaa/AAA | | 38,618,370 | ||||||||
| 92 | | 5.00%, 9/1/20, MBS | | Aaa/AAA | | 92,735 | ||||||||
| 21,128 | | 5.00%, 9/1/20, MBS (k) | | Aaa/AAA | | 21,293,858 | ||||||||
| 182 | | 5.00%, 10/1/20, MBS | | Aaa/AAA | | 183,708 | ||||||||
| 10,434 | | 5.00%, 10/1/20, MBS (k) | | Aaa/AAA | | 10,515,723 | ||||||||
| 42 | | 5.00%, 11/1/20, MBS | | Aaa/AAA | | 42,738 | ||||||||
| 2,555 | | 5.00%, 11/1/20, MBS (k) | | Aaa/AAA | | 2,575,191 | ||||||||
| 297 | | 5.00%, 12/1/20, MBS (k) | | Aaa/AAA | | 299,803 | ||||||||
| 3,011 | | 5.00%, 1/1/21, MBS (k) | | Aaa/AAA | | 3,033,438 | ||||||||
| 92 | | 5.00%, 2/1/21, MBS | | Aaa/AAA | | 92,190 | ||||||||
| 4,054 | | 5.00%, 2/1/21, MBS (k) | | Aaa/AAA | | 4,085,633 | ||||||||
| 405 | | 5.00%, 3/1/21, MBS (k) | | Aaa/AAA | | 407,559 | ||||||||
| 314 | | 5.00%, 4/1/21, MBS (k) | | Aaa/AAA | | 315,981 | ||||||||
| 1,019 | | 5.00%, 5/1/21, MBS (k) | | Aaa/AAA | | 1,025,778 | ||||||||
| 64 | | 5.00%, 6/1/21, MBS | | Aaa/AAA | | 64,602 | ||||||||
| 571 | | 5.00%, 6/1/21, MBS (k) | | Aaa/AAA | | 574,646 | ||||||||
| 73 | | 5.00%, 7/1/21, MBS (k) | | Aaa/AAA | | 73,736 | ||||||||
| 106 | | 5.00%, 9/1/21, MBS | | Aaa/AAA | | 106,904 | ||||||||
| 1,374 | | 5.00%, 10/1/21, MBS (k) | | Aaa/AAA | | 1,383,038 | ||||||||
| 714 | | 5.00%, 11/1/21, MBS | | Aaa/AAA | | 719,076 | ||||||||
| 68 | | 5.00%, 12/1/21, MBS | | Aaa/AAA | | 67,947 | ||||||||
| 100 | | 5.00%, 4/1/23, MBS | | Aaa/AAA | | 100,627 | ||||||||
| 775 | | 5.00%, 4/1/23, MBS (d) | | Aaa/AAA | | 779,859 | ||||||||
| — | (g) | | 5.00%, 11/1/33, MBS | | Aaa/AAA | | 47 | |||||||
| 62,773 | | 5.00%, 6/1/35, MBS (d) | | Aaa/AAA | | 61,785,416 | ||||||||
| 721 | | 5.00%, 9/1/35, MBS (k) | | Aaa/AAA | | 709,943 | ||||||||
| 136,617 | | 5.00%, 10/1/35, MBS | | Aaa/AAA | | 134,492,403 | ||||||||
| 246,216 | | 5.00%, 10/1/35, MBS (k) | | Aaa/AAA | | 242,340,775 | ||||||||
| 139,393 | | 5.00%, 2/1/36, MBS | | Aaa/AAA | | 136,637,402 | ||||||||
| 103,888 | | 5.00%, 2/1/36, MBS (k) | | Aaa/AAA | | 102,252,704 | ||||||||
| 195,452 | | 5.00%, 9/1/36, MBS | | Aaa/AAA | | 191,557,785 | ||||||||
| 1,297 | | 5.00%, 11/1/36, MBS (k) | | Aaa/AAA | | 1,275,756 | ||||||||
| 23 | | 5.00%, 1/1/37, MBS | | Aaa/AAA | | 23,012 | ||||||||
| 394 | | 5.00%, 2/1/37, MBS (k) | | Aaa/AAA | | 387,424 | ||||||||
| 1,329 | | 5.00%, 4/1/37, MBS (k) | | Aaa/AAA | | 1,307,231 | ||||||||
| 150 | | 5.00%, 5/1/37, MBS (k) | | Aaa/AAA | | 147,143 | ||||||||
| 920 | | 5.00%, 6/1/37, MBS (k) | | Aaa/AAA | | 904,950 | ||||||||
| 90 | | 5.00%, 2/1/38, MBS (k) | | Aaa/AAA | | 88,839 | ||||||||
| 214,100 | | 5.00%, MBS, TBA (d) | | Aaa/AAA | | 210,319,850 | ||||||||
| 61 | | 5.22%, 5/1/17, FRN, MBS | | Aaa/AAA | | 61,300 | ||||||||
| ||||||||||||||
26 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 69 | | 5.22%, 6/1/20, FRN, MBS (k) | | Aaa/AAA | | $ | 69,592 | ||||||
| 109 | | 5.322%, 1/1/18, FRN, MBS (k) | | Aaa/AAA | | 112,325 | ||||||||
| 97 | | 5.333%, 5/1/18, FRN, MBS (k) | | Aaa/AAA | | 97,641 | ||||||||
| 129 | | 5.50%, 4/1/16, MBS (k) | | Aaa/AAA | | 132,516 | ||||||||
| 22 | | 5.50%, 1/1/17, MBS | | Aaa/AAA | | 22,099 | ||||||||
| 104 | | 5.50%, 9/1/17, MBS | | Aaa/AAA | | 106,904 | ||||||||
| 51 | | 5.50%, 10/1/17, MBS | | Aaa/AAA | | 52,209 | ||||||||
| 87 | | 5.50%, 11/1/17, MBS (k) | | Aaa/AAA | | 88,611 | ||||||||
| 28 | | 5.50%, 1/1/18, MBS | | Aaa/AAA | | 28,289 | ||||||||
| 67 | | 5.50%, 2/1/18, MBS | | Aaa/AAA | | 68,888 | ||||||||
| 143 | | 5.50%, 4/1/18, MBS | | Aaa/AAA | | 145,975 | ||||||||
| 64 | | 5.50%, 11/1/18, MBS | | Aaa/AAA | | 65,375 | ||||||||
| 56 | | 5.50%, 12/1/18, MBS | | Aaa/AAA | | 57,823 | ||||||||
| 69 | | 5.50%, 12/1/18, MBS (k) | | Aaa/AAA | | 70,855 | ||||||||
| 59 | | 5.50%, 1/1/19, MBS | | Aaa/AAA | | 60,019 | ||||||||
| 34 | | 5.50%, 4/1/19, MBS | | Aaa/AAA | | 34,794 | ||||||||
| 38 | | 5.50%, 8/1/19, MBS | | Aaa/AAA | | 38,893 | ||||||||
| 78 | | 5.50%, 9/1/19, MBS | | Aaa/AAA | | 79,990 | ||||||||
| 55 | | 5.50%, 10/1/19, MBS | | Aaa/AAA | | 55,826 | ||||||||
| 25 | | 5.50%, 3/1/20, MBS | | Aaa/AAA | | 25,230 | ||||||||
| 14 | | 5.50%, 7/1/20, MBS | | Aaa/AAA | | 14,541 | ||||||||
| 71 | | 5.50%, 10/1/20, MBS | | Aaa/AAA | | 72,407 | ||||||||
| 30 | | 5.50%, 12/1/20, MBS | | Aaa/AAA | | 30,405 | ||||||||
| 30 | | 5.50%, 1/1/21, MBS | | Aaa/AAA | | 30,725 | ||||||||
| 5,207 | | 5.50%, 1/1/21, MBS (k) | | Aaa/AAA | | 5,317,573 | ||||||||
| 78 | | 5.50%, 2/1/21, MBS | | Aaa/AAA | | 79,788 | ||||||||
| 3,694 | | 5.50%, 2/1/21, MBS (k) | | Aaa/AAA | | 3,766,785 | ||||||||
| 4,352 | | 5.50%, 3/1/21, MBS (k) | | Aaa/AAA | | 4,437,502 | ||||||||
| 185 | | 5.50%, 4/1/21, MBS | | Aaa/AAA | | 188,444 | ||||||||
| 3,303 | | 5.50%, 4/1/21, MBS (k) | | Aaa/AAA | | 3,368,052 | ||||||||
| 144 | | 5.50%, 5/1/21, MBS | | Aaa/AAA | | 147,245 | ||||||||
| 5,505 | | 5.50%, 5/1/21, MBS (k) | | Aaa/AAA | | 5,613,155 | ||||||||
| 162 | | 5.50%, 6/1/21, MBS | | Aaa/AAA | | 165,067 | ||||||||
| 4,203 | | 5.50%, 6/1/21, MBS (k) | | Aaa/AAA | | 4,285,741 | ||||||||
| 27 | | 5.50%, 7/1/21, MBS | | Aaa/AAA | | 27,974 | ||||||||
| 3,749 | | 5.50%, 7/1/21, MBS (k) | | Aaa/AAA | | 3,822,708 | ||||||||
| 66 | | 5.50%, 8/1/21, MBS | | Aaa/AAA | | 67,291 | ||||||||
| 6,189 | | 5.50%, 8/1/21, MBS (k) | | Aaa/AAA | | 6,311,464 | ||||||||
| 38 | | 5.50%, 9/1/21, MBS | | Aaa/AAA | | 38,732 | ||||||||
| 6,424 | | 5.50%, 10/1/21, MBS (k) | | Aaa/AAA | | 6,551,035 | ||||||||
| 8,372 | | 5.50%, 11/1/21, MBS | | Aaa/AAA | | 8,536,990 | ||||||||
| 4,335 | | 5.50%, 11/1/21, MBS (k) | | Aaa/AAA | | 4,420,251 | ||||||||
| 57 | | 5.50%, 12/1/21, MBS | | Aaa/AAA | | 58,105 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 27
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 4,389 | | 5.50%, 1/1/22, MBS | | Aaa/AAA | | $ | 4,475,791 | ||||||
| 13,075 | | 5.50%, 1/1/22, MBS (k) | | Aaa/AAA | | 13,332,218 | ||||||||
| 20 | | 5.50%, 2/1/22, MBS | | Aaa/AAA | | 19,924 | ||||||||
| 3,451 | | 5.50%, 2/1/22, MBS (k) | | Aaa/AAA | | 3,518,793 | ||||||||
| 10,027 | | 5.50%, 3/1/22, MBS | | Aaa/AAA | | 10,222,675 | ||||||||
| 16,558 | | 5.50%, 3/1/22, MBS (k) | | Aaa/AAA | | 16,881,269 | ||||||||
| 2,632 | | 5.50%, 5/1/22, MBS | | Aaa/AAA | | 2,683,865 | ||||||||
| 16,120 | | 5.50%, 5/1/22, MBS (k) | | Aaa/AAA | | 16,434,142 | ||||||||
| 1,251 | | 5.50%, 2/25/24, CMO (k) | | Aaa/AAA | | 1,272,845 | ||||||||
| 928 | | 5.50%, 10/1/32, MBS (k) | | Aaa/AAA | | 937,291 | ||||||||
| 48 | | 5.50%, 11/1/32, MBS | | Aaa/AAA | | 48,269 | ||||||||
| 1,454 | | 5.50%, 11/1/32, MBS (k) | | Aaa/AAA | | 1,468,127 | ||||||||
| 108 | | 5.50%, 12/1/32, MBS (k) | | Aaa/AAA | | 109,230 | ||||||||
| 2,639 | | 5.50%, 1/1/33, MBS (k) | | Aaa/AAA | | 2,664,706 | ||||||||
| 22 | | 5.50%, 2/1/33, MBS | | Aaa/AAA | | 21,907 | ||||||||
| 2,707 | | 5.50%, 2/1/33, MBS (k) | | Aaa/AAA | | 2,733,103 | ||||||||
| 12 | | 5.50%, 3/1/33, MBS | | Aaa/AAA | | 12,038 | ||||||||
| 344 | | 5.50%, 3/1/33, MBS (k) | | Aaa/AAA | | 346,993 | ||||||||
| 26 | | 5.50%, 4/1/33, MBS | | Aaa/AAA | | 26,505 | ||||||||
| 5,026 | | 5.50%, 4/1/33, MBS (k) | | Aaa/AAA | | 5,071,809 | ||||||||
| 1,370 | | 5.50%, 5/1/33, MBS (k) | | Aaa/AAA | | 1,382,927 | ||||||||
| 17,546 | | 5.50%, 6/1/33, MBS (k) | | Aaa/AAA | | 17,705,165 | ||||||||
| 27 | | 5.50%, 7/1/33, MBS | | Aaa/AAA | | 27,033 | ||||||||
| 15,446 | | 5.50%, 7/1/33, MBS (k) | | Aaa/AAA | | 15,586,583 | ||||||||
| 20 | | 5.50%, 8/1/33, MBS | | Aaa/AAA | | 20,619 | ||||||||
| 489 | | 5.50%, 8/1/33, MBS (k) | | Aaa/AAA | | 493,081 | ||||||||
| 108 | | 5.50%, 9/1/33, MBS | | Aaa/AAA | | 109,248 | ||||||||
| 3,003 | | 5.50%, 9/1/33, MBS (k) | | Aaa/AAA | | 3,030,508 | ||||||||
| 54 | | 5.50%, 10/1/33, MBS | | Aaa/AAA | | 54,706 | ||||||||
| 54 | | 5.50%, 11/1/33, MBS | | Aaa/AAA | | 54,308 | ||||||||
| 3,745 | | 5.50%, 12/1/33, MBS (k) | | Aaa/AAA | | 3,778,725 | ||||||||
| 6,883 | | 5.50%, 1/1/34, MBS (k) | | Aaa/AAA | | 6,945,949 | ||||||||
| 315 | | 5.50%, 2/1/34, MBS (k) | | Aaa/AAA | | 317,719 | ||||||||
| 367 | | 5.50%, 3/1/34, MBS (k) | | Aaa/AAA | | 370,113 | ||||||||
| 20 | | 5.50%, 4/1/34, MBS | | Aaa/AAA | | 20,188 | ||||||||
| 917 | | 5.50%, 5/1/34, MBS (k) | | Aaa/AAA | | 924,667 | ||||||||
| 460 | | 5.50%, 1/1/35, MBS (k) | | Aaa/AAA | | 463,669 | ||||||||
| 650 | | 5.50%, 4/1/35, MBS (k) | | Aaa/AAA | | 655,269 | ||||||||
| 27 | | 5.50%, 6/1/35, MBS | | Aaa/AAA | | 27,087 | ||||||||
| 340 | | 5.50%, 11/1/35, MBS (k) | | Aaa/AAA | | 342,070 | ||||||||
| 1,045 | | 5.50%, 12/1/35, MBS (k) | | Aaa/AAA | | 1,052,865 | ||||||||
| 47 | | 5.50%, 1/1/36, MBS | | Aaa/AAA | | 47,596 | ||||||||
| 9,019 | | 5.50%, 1/1/36, MBS (k) | | Aaa/AAA | | 9,085,656 | ||||||||
| ||||||||||||||
28 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 10,161 | | 5.50%, 2/1/36, MBS (k) | | Aaa/AAA | | $ | 10,231,288 | ||||||
| 13,335 | | 5.50%, 3/1/36, MBS (k) | | Aaa/AAA | | 13,427,102 | ||||||||
| 9,992 | | 5.50%, 4/1/36, MBS (k) | | Aaa/AAA | | 10,064,563 | ||||||||
| 3,588 | | 5.50%, 6/1/36, MBS (k) | | Aaa/AAA | | 3,612,586 | ||||||||
| 535 | | 5.50%, 7/1/36, MBS (k) | | Aaa/AAA | | 538,890 | ||||||||
| 1,988 | | 5.50%, 8/1/36, MBS (k) | | Aaa/AAA | | 2,001,829 | ||||||||
| 31,344 | | 5.50%, 9/1/36, MBS (k) | | Aaa/AAA | | 31,609,317 | ||||||||
| 2,742 | | 5.50%, 10/1/36, MBS (k) | | Aaa/AAA | | 2,760,614 | ||||||||
| 29,367 | | 5.50%, 11/1/36, MBS (k) | | Aaa/AAA | | 29,569,327 | ||||||||
| 31 | | 5.50%, 12/1/36, MBS | | Aaa/AAA | | 31,696 | ||||||||
| 26,599 | | 5.50%, 12/1/36, MBS (k) | | Aaa/AAA | | 26,782,788 | ||||||||
| 133 | | 5.50%, 1/1/37, MBS | | Aaa/AAA | | 133,835 | ||||||||
| 19,700 | | 5.50%, 1/1/37, MBS (k) | | Aaa/AAA | | 19,835,083 | ||||||||
| 189 | | 5.50%, 2/1/37, MBS | | Aaa/AAA | | 190,419 | ||||||||
| 63,728 | | 5.50%, 2/1/37, MBS (k) | | Aaa/AAA | | 64,160,244 | ||||||||
| 128 | | 5.50%, 3/1/37, MBS | | Aaa/AAA | | 129,231 | ||||||||
| 132,559 | | 5.50%, 3/1/37, MBS (k) | | Aaa/AAA | | 133,446,036 | ||||||||
| 313 | | 5.50%, 4/1/37, MBS | | Aaa/AAA | | 315,030 | ||||||||
| 192,665 | | 5.50%, 4/1/37, MBS (k) | | Aaa/AAA | | 193,955,019 | ||||||||
| 124 | | 5.50%, 5/1/37, MBS | | Aaa/AAA | | 125,254 | ||||||||
| 202,516 | | 5.50%, 5/1/37, MBS (k) | | Aaa/AAA | | 203,871,090 | ||||||||
| 162 | | 5.50%, 6/1/37, MBS | | Aaa/AAA | | 163,107 | ||||||||
| 73,719 | | 5.50%, 6/1/37, MBS (k) | | Aaa/AAA | | 74,213,031 | ||||||||
| 56,026 | | 5.50%, 7/1/37, MBS (k) | | Aaa/AAA | | 56,400,682 | ||||||||
| 21,483 | | 5.50%, 8/1/37, MBS (k) | | Aaa/AAA | | 21,627,598 | ||||||||
| 70,265 | | 5.50%, 9/1/37, MBS (k) | | Aaa/AAA | | 70,735,090 | ||||||||
| 4,046 | | 5.50%, 10/1/37, MBS (k) | | Aaa/AAA | | 4,072,871 | ||||||||
| 11,146 | | 5.50%, 11/1/37, MBS (k) | | Aaa/AAA | | 11,220,319 | ||||||||
| 29,448 | | 5.50%, 12/1/37, MBS (k) | | Aaa/AAA | | 29,644,988 | ||||||||
| 24,320 | | 5.50%, 1/1/38, MBS (k) | | Aaa/AAA | | 24,482,555 | ||||||||
| 26 | | 5.50%, 2/1/38, MBS | | Aaa/AAA | | 26,108 | ||||||||
| 2,923 | | 5.50%, 2/1/38, MBS (k) | | Aaa/AAA | | 2,942,780 | ||||||||
| 1,887 | | 5.987%, 1/1/20, FRN, MBS (k) | | Aaa/AAA | | 1,907,076 | ||||||||
| 313 | | 6.00%, 6/1/23, MBS (k) | | Aaa/AAA | | 322,518 | ||||||||
| 230 | | 6.00%, 8/1/26, MBS (k) | | Aaa/AAA | | 235,568 | ||||||||
| 7,233 | | 6.00%, 10/1/26, MBS (k) | | Aaa/AAA | | 7,422,818 | ||||||||
| 22,024 | | 6.00%, 12/1/26, MBS (k) | | Aaa/AAA | | 22,600,921 | ||||||||
| 10,307 | | 6.00%, 3/1/27, MBS (k) | | Aaa/AAA | | 10,574,601 | ||||||||
| 7,336 | | 6.00%, 5/1/27, MBS (k) | | Aaa/AAA | | 7,526,198 | ||||||||
| 8,527 | | 6.00%, 6/1/27, MBS (k) | | Aaa/AAA | | 8,748,689 | ||||||||
| 14,052 | | 6.00%, 7/1/27, MBS (k) | | Aaa/AAA | | 14,416,784 | ||||||||
| 5,205 | | 6.00%, 8/1/27, MBS (k) | | Aaa/AAA | | 5,340,570 | ||||||||
| 4,546 | | 6.00%, 9/1/27, MBS (k) | | Aaa/AAA | | 4,663,775 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 29
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 1,476 | | 6.00%, 10/1/27, MBS (k) | | Aaa/AAA | | $ | 1,514,047 | ||||||
| 74 | | 6.00%, 7/1/29, MBS (k) | | Aaa/AAA | | 76,608 | ||||||||
| 2 | | 6.00%, 3/25/31, CMO | | Aaa/AAA | | 1,847 | ||||||||
| 483 | | 6.00%, 12/1/31, MBS (k) | | Aaa/AAA | | 498,288 | ||||||||
| 18 | | 6.00%, 1/1/33, MBS | | Aaa/AAA | | 18,429 | ||||||||
| 93 | | 6.00%, 6/1/33, MBS (k) | | Aaa/AAA | | 95,086 | ||||||||
| 16 | | 6.00%, 3/1/34, MBS | | Aaa/AAA | | 16,669 | ||||||||
| 24 | | 6.00%, 6/1/34, MBS | | Aaa/AAA | | 24,226 | ||||||||
| 32 | | 6.00%, 7/1/34, MBS | | Aaa/AAA | | 32,615 | ||||||||
| 12 | | 6.00%, 8/1/34, MBS | | Aaa/AAA | | 12,772 | ||||||||
| 91 | | 6.00%, 8/1/34, MBS (k) | | Aaa/AAA | | 93,450 | ||||||||
| 2 | | 6.00%, 9/1/34, MBS | | Aaa/AAA | | 2,273 | ||||||||
| 118 | | 6.00%, 9/1/34, MBS (k) | | Aaa/AAA | | 121,501 | ||||||||
| 1,096 | | 6.00%, 10/1/34, MBS (k) | | Aaa/AAA | | 1,124,505 | ||||||||
| 760 | | 6.00%, 1/1/35, MBS (k) | | Aaa/AAA | | 779,282 | ||||||||
| 128 | | 6.00%, 2/1/35, MBS (k) | | Aaa/AAA | | 130,938 | ||||||||
| 108 | | 6.00%, 4/1/35, MBS (k) | | Aaa/AAA | | 110,907 | ||||||||
| 11 | | 6.00%, 5/1/35, MBS | | Aaa/AAA | | 10,763 | ||||||||
| 249 | | 6.00%, 5/1/35, MBS (k) | | Aaa/AAA | | 255,134 | ||||||||
| 20 | | 6.00%, 7/1/35, MBS | | Aaa/AAA | | 19,998 | ||||||||
| 2,756 | | 6.00%, 7/1/35, MBS (k) | | Aaa/AAA | | 2,822,729 | ||||||||
| 47 | | 6.00%, 8/1/35, MBS | | Aaa/AAA | | 48,461 | ||||||||
| 14,467 | | 6.00%, 8/1/35, MBS (k) | | Aaa/AAA | | 14,815,280 | ||||||||
| 32 | | 6.00%, 9/1/35, MBS | | Aaa/AAA | | 32,770 | ||||||||
| 83 | | 6.00%, 9/1/35, MBS (k) | | Aaa/AAA | | 85,271 | ||||||||
| 56 | | 6.00%, 10/1/35, MBS | | Aaa/AAA | | 57,772 | ||||||||
| 1,446 | | 6.00%, 10/1/35, MBS (k) | | Aaa/AAA | | 1,480,733 | ||||||||
| 8,252 | | 6.00%, 11/1/35, MBS (k) | | Aaa/AAA | | 8,451,325 | ||||||||
| 8,071 | | 6.00%, 12/1/35, MBS (k) | | Aaa/AAA | | 8,265,050 | ||||||||
| 38,835 | | 6.00%, 1/1/36, MBS (k) | | Aaa/AAA | | 39,760,027 | ||||||||
| 18 | | 6.00%, 2/1/36, MBS | | Aaa/AAA | | 18,800 | ||||||||
| 9,623 | | 6.00%, 2/1/36, MBS (k) | | Aaa/AAA | | 9,852,533 | ||||||||
| 16,747 | | 6.00%, 3/1/36, MBS (k) | | Aaa/AAA | | 17,145,148 | ||||||||
| 52 | | 6.00%, 4/1/36, MBS | | Aaa/AAA | | 53,248 | ||||||||
| 33,555 | | 6.00%, 4/1/36, MBS (k) | | Aaa/AAA | | 34,348,578 | ||||||||
| 53 | | 6.00%, 5/1/36, MBS | | Aaa/AAA | | 54,559 | ||||||||
| 7,954 | | 6.00%, 5/1/36, MBS (k) | | Aaa/AAA | | 8,143,407 | ||||||||
| 174 | | 6.00%, 6/1/36, MBS | | Aaa/AAA | | 177,782 | ||||||||
| 24,694 | | 6.00%, 6/1/36, MBS (k) | | Aaa/AAA | | 25,277,328 | ||||||||
| 106 | | 6.00%, 7/1/36, MBS | | Aaa/AAA | | 108,258 | ||||||||
| 17,558 | | 6.00%, 7/1/36, MBS (k) | | Aaa/AAA | | 17,973,216 | ||||||||
| 227 | | 6.00%, 8/1/36, MBS | | Aaa/AAA | | 232,704 | ||||||||
| 24,589 | | 6.00%, 8/1/36, MBS (k) | | Aaa/AAA | | 25,170,330 | ||||||||
| ||||||||||||||
30 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 97 | | 6.00%, 9/1/36, MBS | | Aaa/AAA | | $ | 99,587 | ||||||
| 41,644 | | 6.00%, 9/1/36, MBS (k) | | Aaa/AAA | | 42,639,842 | ||||||||
| 94 | | 6.00%, 10/1/36, MBS | | Aaa/AAA | | 95,875 | ||||||||
| 47,402 | | 6.00%, 10/1/36, MBS (k) | | Aaa/AAA | | 48,522,091 | ||||||||
| 121 | | 6.00%, 11/1/36, MBS | | Aaa/AAA | | 123,758 | ||||||||
| 33,948 | | 6.00%, 11/1/36, MBS (k) | | Aaa/AAA | | 34,750,180 | ||||||||
| 155 | | 6.00%, 12/1/36, MBS | | Aaa/AAA | | 158,181 | ||||||||
| 104,745 | | 6.00%, 12/1/36, MBS (k) | | Aaa/AAA | | 107,220,646 | ||||||||
| 127 | | 6.00%, 1/1/37, MBS | | Aaa/AAA | | 129,506 | ||||||||
| 36,684 | | 6.00%, 1/1/37, MBS (k) | | Aaa/AAA | | 37,550,586 | ||||||||
| 68,575 | | 6.00%, 2/1/37, MBS (k) | | Aaa/AAA | | 70,194,519 | ||||||||
| 141 | | 6.00%, 3/1/37, MBS | | Aaa/AAA | | 144,025 | ||||||||
| 31,660 | | 6.00%, 3/1/37, MBS (k) | | Aaa/AAA | | 32,406,464 | ||||||||
| 113 | | 6.00%, 4/1/37, MBS | | Aaa/AAA | | 115,414 | ||||||||
| 31,810 | | 6.00%, 4/1/37, MBS (k) | | Aaa/AAA | | 32,555,757 | ||||||||
| 109 | | 6.00%, 5/1/37, MBS | | Aaa/AAA | | 112,039 | ||||||||
| 47,385 | | 6.00%, 5/1/37, MBS (k) | | Aaa/AAA | | 48,497,542 | ||||||||
| 94 | | 6.00%, 6/1/37, MBS | | Aaa/AAA | | 95,810 | ||||||||
| 38,963 | | 6.00%, 6/1/37, MBS (k) | | Aaa/AAA | | 39,876,337 | ||||||||
| 124 | | 6.00%, 7/1/37, MBS | | Aaa/AAA | | 126,962 | ||||||||
| 76,512 | | 6.00%, 7/1/37, MBS (k) | | Aaa/AAA | | 78,308,867 | ||||||||
| 98 | | 6.00%, 8/1/37, MBS | | Aaa/AAA | | 100,701 | ||||||||
| 225,875 | | 6.00%, 8/1/37, MBS (k) | | Aaa/AAA | | 231,167,421 | ||||||||
| 141 | | 6.00%, 9/1/37, MBS | | Aaa/AAA | | 144,125 | ||||||||
| 185,385 | | 6.00%, 9/1/37, MBS (k) | | Aaa/AAA | | 189,727,349 | ||||||||
| 406 | | 6.00%, 10/1/37, MBS | | Aaa/AAA | | 415,531 | ||||||||
| 335,584 | | 6.00%, 10/1/37, MBS (k) | | Aaa/AAA | | 343,444,492 | ||||||||
| 190 | | 6.00%, 11/1/37, MBS | | Aaa/AAA | | 194,200 | ||||||||
| 365,463 | | 6.00%, 11/1/37, MBS (k) | | Aaa/AAA | | 374,024,156 | ||||||||
| 214 | | 6.00%, 12/1/37, MBS | | Aaa/AAA | | 219,169 | ||||||||
| 148,716 | | 6.00%, 12/1/37, MBS (k) | | Aaa/AAA | | 152,199,397 | ||||||||
| 1,318 | | 6.00%, 1/1/38, MBS (d) | | Aaa/AAA | | 1,348,956 | ||||||||
| 91,716 | | 6.00%, 1/1/38, MBS (k) | | Aaa/AAA | | 93,863,948 | ||||||||
| 3,050 | | 6.00%, 2/1/38, MBS (d) | | Aaa/AAA | | 3,120,770 | ||||||||
| 24 | | 6.00%, 2/1/38, MBS | | Aaa/AAA | | 24,144 | ||||||||
| — | (g) | | 6.00%, 2/1/38, MBS | | Aaa/AAA | | 367 | |||||||
| 9,743 | | 6.00%, 2/1/38, MBS (k) | | Aaa/AAA | | 9,970,425 | ||||||||
| 4,518 | | 6.00%, 3/1/38, MBS (d) | | Aaa/AAA | | 4,623,009 | ||||||||
| 959 | | 6.003%, 1/1/22, FRN, MBS (k) | | Aaa/AAA | | 970,341 | ||||||||
| 940 | | 6.041%, 5/1/28, FRN, MBS (k) | | Aaa/AAA | | 957,957 | ||||||||
| 37 | | 6.209%, 3/25/41, CMO, FRN | | Aaa/AAA | | 37,476 | ||||||||
| 36 | | 6.218%, 5/25/42, CMO, FRN | | Aaa/AAA | | 35,029 | ||||||||
| 439 | | 6.449%, 5/1/34, FRN, MBS (k) | | Aaa/AAA | | 443,288 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 31
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | 4 | | 6.50%, 4/1/24, MBS | | Aaa/AAA | | $ | 4,025 | ||||||
| 133 | | 6.50%, 1/1/25, MBS (k) | | Aaa/AAA | | 138,460 | ||||||||
| 5 | | 6.50%, 1/1/26, MBS | | Aaa/AAA | | 4,933 | ||||||||
| 13 | | 6.50%, 5/1/26, MBS | | Aaa/AAA | | 13,533 | ||||||||
| 265 | | 6.50%, 7/18/27, CMO (k) | | Aaa/AAA | | 277,862 | ||||||||
| 17 | | 6.50%, 1/1/29, MBS | | Aaa/AAA | | 17,697 | ||||||||
| 131 | | 6.50%, 1/1/29, MBS (k) | | Aaa/AAA | | 137,126 | ||||||||
| 14 | | 6.50%, 10/1/31, MBS | | Aaa/AAA | | 14,107 | ||||||||
| 159 | | 6.50%, 2/1/32, MBS (k) | | Aaa/AAA | | 165,461 | ||||||||
| 6 | | 6.50%, 3/1/32, MBS | | Aaa/AAA | | 6,505 | ||||||||
| 124 | | 6.50%, 8/1/32, MBS (k) | | Aaa/AAA | | 129,419 | ||||||||
| 282 | | 6.50%, 11/1/32, MBS (k) | | Aaa/AAA | | 293,823 | ||||||||
| 163 | | 6.50%, 10/1/33, MBS (k) | | Aaa/AAA | | 169,243 | ||||||||
| 1,286 | | 6.50%, 7/1/34, MBS (k) | | Aaa/AAA | | 1,337,712 | ||||||||
| 3,522 | | 6.50%, 12/1/34, MBS (k) | | Aaa/AAA | | 3,656,347 | ||||||||
| 3,847 | | 6.50%, 6/1/35, MBS (k) | | Aaa/AAA | | 3,993,014 | ||||||||
| 15 | | 6.50%, 11/1/35, MBS | | Aaa/AAA | | 15,522 | ||||||||
| 401 | | 6.50%, 11/1/35, MBS (d) | | Aaa/AAA | | 415,647 | ||||||||
| 883 | | 6.50%, 3/1/36, MBS (k) | | Aaa/AAA | | 914,506 | ||||||||
| 60 | | 6.50%, 5/1/36, MBS | | Aaa/AAA | | 61,871 | ||||||||
| 784 | | 6.50%, 6/1/36, MBS (k) | | Aaa/AAA | | 812,067 | ||||||||
| 45 | | 6.50%, 7/1/36, MBS | | Aaa/AAA | | 46,802 | ||||||||
| 1,030 | | 6.50%, 7/1/36, MBS (k) | | Aaa/AAA | | 1,067,626 | ||||||||
| 159 | | 6.50%, 8/1/36, MBS | | Aaa/AAA | | 164,518 | ||||||||
| 10,334 | | 6.50%, 8/1/36, MBS (k) | | Aaa/AAA | | 10,707,568 | ||||||||
| 133 | | 6.50%, 9/1/36, MBS | | Aaa/AAA | | 137,825 | ||||||||
| 1,454 | | 6.50%, 9/1/36, MBS (k) | | Aaa/AAA | | 1,506,916 | ||||||||
| 49 | | 6.50%, 10/1/36, MBS | | Aaa/AAA | | 50,281 | ||||||||
| 378 | | 6.50%, 10/1/36, MBS (k) | | Aaa/AAA | | 391,566 | ||||||||
| 2,699 | | 6.50%, 11/1/36, MBS (k) | | Aaa/AAA | | 2,796,806 | ||||||||
| 33 | | 6.50%, 12/1/36, MBS | | Aaa/AAA | | 34,572 | ||||||||
| 2,810 | | 6.50%, 12/1/36, MBS (k) | | Aaa/AAA | | 2,911,749 | ||||||||
| 1,656 | | 6.50%, 1/1/37, MBS (k) | | Aaa/AAA | | 1,715,748 | ||||||||
| 136 | | 6.50%, 2/1/37, MBS (k) | | Aaa/AAA | | 140,528 | ||||||||
| 43 | | 6.50%, 3/1/37, MBS | | Aaa/AAA | | 44,914 | ||||||||
| 1,399 | | 6.50%, 3/1/37, MBS (k) | | Aaa/AAA | | 1,449,055 | ||||||||
| 6 | | 6.50%, 4/1/37, MBS | | Aaa/AAA | | 5,935 | ||||||||
| — | (g) | | 6.50%, 4/1/37, MBS | | Aaa/AAA | | 16 | |||||||
| 359 | | 6.50%, 4/1/37, MBS (k) | | Aaa/AAA | | 372,021 | ||||||||
| — | (g) | | 6.50%, 5/1/37, MBS | | Aaa/AAA | | 295 | |||||||
| 111 | | 6.50%, 5/1/37, MBS (k) | | Aaa/AAA | | 114,505 | ||||||||
| 112 | | 6.50%, 6/1/37, MBS | | Aaa/AAA | | 116,144 | ||||||||
| 1,186 | | 6.50%, 6/1/37, MBS (k) | | Aaa/AAA | | 1,228,451 | ||||||||
| ||||||||||||||
32 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Fannie Mae (continued) | | | |||||||||||
| $ | — | (g) | | 6.50%, 7/1/37, MBS | | Aaa/AAA | | $ | 282 | |||||
| 6,797 | | 6.50%, 7/1/37, MBS (k) | | Aaa/AAA | | 7,041,226 | ||||||||
| 80 | | 6.50%, 8/1/37, MBS | | Aaa/AAA | | 83,010 | ||||||||
| — | (g) | | 6.50%, 8/1/37, MBS | | Aaa/AAA | | 82 | |||||||
| 2,246 | | 6.50%, 8/1/37, MBS (k) | | Aaa/AAA | | 2,326,481 | ||||||||
| 135 | | 6.50%, 9/1/37, MBS | | Aaa/AAA | | 140,108 | ||||||||
| 8,058 | | 6.50%, 9/1/37, MBS (k) | | Aaa/AAA | | 8,347,213 | ||||||||
| 16 | | 6.50%, 10/1/37, MBS | | Aaa/AAA | | 16,264 | ||||||||
| 6,099 | | 6.50%, 10/1/37, MBS (k) | | Aaa/AAA | | 6,318,352 | ||||||||
| 62 | | 6.50%, 11/1/37, MBS | | Aaa/AAA | | 64,685 | ||||||||
| 1 | | 6.50%, 11/1/37, MBS | | Aaa/AAA | | 620 | ||||||||
| 2,413 | | 6.50%, 11/1/37, MBS (k) | | Aaa/AAA | | 2,500,170 | ||||||||
| 47 | | 6.50%, 12/1/37, MBS | | Aaa/AAA | | 49,092 | ||||||||
| 197,735 | | 6.50%, 12/1/37, MBS (k) | | Aaa/AAA | | 204,838,865 | ||||||||
| 10,928 | | 6.50%, 1/1/38, MBS (k) | | Aaa/AAA | | 11,320,820 | ||||||||
| 500 | | 6.50%, 3/1/38, MBS (k) | | Aaa/AAA | | 517,912 | ||||||||
| 595 | | 6.543%, 9/1/32, FRN, MBS (k) | | Aaa/AAA | | 603,404 | ||||||||
| 1,028 | | 6.578%, 1/1/33, FRN, MBS (k) | | Aaa/AAA | | 1,036,647 | ||||||||
| 679 | | 6.627%, 12/1/32, FRN, MBS (k) | | Aaa/AAA | | 689,641 | ||||||||
| 65 | | 6.714%, 9/1/32, FRN, MBS | | Aaa/AAA | | 65,134 | ||||||||
| 417 | | 6.74%, 5/1/33, FRN, MBS (k) | | Aaa/AAA | | 422,875 | ||||||||
| 26 | | 6.79%, 11/1/32, FRN, MBS | | Aaa/AAA | | 26,412 | ||||||||
| 82 | | 6.823%, 10/1/32, FRN, MBS (k) | | Aaa/AAA | | 84,092 | ||||||||
| 129 | | 7.01%, 8/1/22, MBS (k) | | Aaa/AAA | | 137,790 | ||||||||
| 60 | | 7.01%, 11/1/22, MBS | | Aaa/AAA | | 64,255 | ||||||||
| 178 | | 7.095%, 9/1/27, FRN, MBS (k) | | Aaa/AAA | | 179,901 | ||||||||
| 768 | | 7.172%, 9/1/35, FRN, MBS (k) | | Aaa/AAA | | 781,240 | ||||||||
| 22 | | 7.50%, 9/1/30, MBS | | Aaa/AAA | | 24,138 | ||||||||
| 27 | | 7.50%, 12/1/30, MBS | | Aaa/AAA | | 28,839 | ||||||||
| 3 | | 7.50%, 7/1/31, MBS | | Aaa/AAA | | 2,942 | ||||||||
| 59 | | 7.50%, 8/1/31, MBS | | Aaa/AAA | | 64,047 | ||||||||
| 69 | | 7.50%, 11/1/31, MBS | | Aaa/AAA | | 74,038 | ||||||||
| 11 | | 7.925%, 2/1/25, FRN, MBS | | Aaa/AAA | | 11,371 | ||||||||
| 337 | | 11.00%, 7/15/20, MBS (k) | | Aaa/AAA | | 390,042 | ||||||||
| | | 5,149,733,765 | |||||||||||
| Freddie Mac–52.4% | | | |||||||||||
| 8,276 | | 3.116%, 8/15/32, CMO, FRN (k) | | Aaa/AAA | | 8,173,647 | ||||||||
| 655 | | 3.166%, 9/15/16, CMO, FRN (k) | | Aaa/AAA | | 650,377 | ||||||||
| 153 | | 3.166%, 8/15/29, CMO, FRN (k) | | Aaa/AAA | | 151,450 | ||||||||
| 98 | | 3.166%, 12/15/31, CMO, FRN (k) | | Aaa/AAA | | 96,766 | ||||||||
| 25 | | 3.216%, 9/15/30, CMO, FRN | | Aaa/AAA | | 24,789 | ||||||||
| 38 | | 3.266%, 3/15/32, CMO, FRN | | Aaa/AAA | | 37,710 | ||||||||
| 206 | | 3.316%, 5/15/29, CMO, FRN (k) | | Aaa/AAA | | 205,511 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 33
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Freddie Mac (continued) | | | |||||||||||
| $ | 100 | | 3.40%, 3/15/20, CMO, FRN (k) | | Aaa/AAA | | $ | 100,377 | ||||||
| 223 | | 3.40%, 2/15/24, CMO, FRN (k) | | Aaa/AAA | | 222,236 | ||||||||
| 19 | | 3.45%, 10/15/19, CMO, FRN | | Aaa/AAA | | 18,802 | ||||||||
| 1,143 | | 3.539%, 5/1/34, FRN, MBS (k) | | Aaa/AAA | | 1,145,767 | ||||||||
| 280 | | 3.70%, 12/15/13, CMO, FRN (k) | | Aaa/AAA | | 280,957 | ||||||||
| 160 | | 3.90%, 9/15/22, CMO, FRN (k) | | Aaa/AAA | | 161,091 | ||||||||
| 44 | | 4.10%, 8/15/23, CMO, FRN | | Aaa/AAA | | 44,569 | ||||||||
| 45 | | 4.50%, 5/15/18, CMO | | Aaa/AAA | | 44,446 | ||||||||
| 11,531 | | 4.95%, 6/1/35, FRN, MBS (k) | | Aaa/AAA | | 11,654,222 | ||||||||
| 37,000 | | 5.00%, 1/15/25, CMO (k) | | Aaa/AAA | | 36,538,062 | ||||||||
| 12,000 | | 5.00%, 2/15/25, CMO (k) | | Aaa/AAA | | 11,920,954 | ||||||||
| 64 | | 5.00%, 7/1/34, MBS | | Aaa/AAA | | 63,346 | ||||||||
| 50 | | 5.00%, 4/1/35, MBS | | Aaa/AAA | | 49,302 | ||||||||
| 288 | | 5.00%, 4/1/35, MBS (k) | | Aaa/AAA | | 283,150 | ||||||||
| 91 | | 5.00%, 6/1/35, MBS (k) | | Aaa/AAA | | 89,611 | ||||||||
| 98 | | 5.00%, 8/1/35, MBS (k) | | Aaa/AAA | | 96,649 | ||||||||
| 723 | | 5.00%, 9/1/35, MBS (k) | | Aaa/AAA | | 711,513 | ||||||||
| 118 | | 5.00%, 11/1/35, MBS (k) | | Aaa/AAA | | 116,572 | ||||||||
| 41 | | 5.00%, 12/1/35, MBS | | Aaa/AAA | | 40,446 | ||||||||
| 252 | | 5.00%, 2/1/36, MBS (k) | | Aaa/AAA | | 248,389 | ||||||||
| 952 | | 5.00%, 6/1/37, MBS | | Aaa/AAA | | 936,198 | ||||||||
| 714 | | 5.096%, 10/1/32, FRN, MBS (k) | | Aaa/AAA | | 725,446 | ||||||||
| 217 | | 5.28%, 4/1/32, FRN, MBS (k) | | Aaa/AAA | | 219,076 | ||||||||
| 375 | | 5.50%, 1/1/35, MBS (k) | | Aaa/AAA | | 378,380 | ||||||||
| 849 | | 5.50%, 6/1/35, MBS (k) | | Aaa/AAA | | 857,431 | ||||||||
| 1,824 | | 5.50%, 7/1/36, MBS (k) | | Aaa/AAA | | 1,838,670 | ||||||||
| 7,024 | | 5.50%, 4/1/37, MBS (k) | | Aaa/AAA | | 7,076,660 | ||||||||
| 141 | | 5.50%, 6/1/37, MBS (k) | | Aaa/AAA | | 142,372 | ||||||||
| 17,424 | | 5.50%, 7/1/37, MBS (k) | | Aaa/AAA | | 17,555,222 | ||||||||
| 13,439 | | 5.50%, 8/1/37, MBS (k) | | Aaa/AAA | | 13,539,908 | ||||||||
| 688 | | 5.50%, 10/1/37, MBS (k) | | Aaa/AAA | | 692,689 | ||||||||
| 157,000 | | 5.50%, MBS, TBA (d) | | Aaa/AAA | | 158,005,742 | ||||||||
| 12 | | 5.973%, 1/1/33, FRN, MBS | | Aaa/AAA | | 12,034 | ||||||||
| 136 | | 6.00%, 8/15/16, CMO (k) | | Aaa/AAA | | 141,170 | ||||||||
| 24 | | 6.00%, 4/1/17, MBS | | Aaa/AAA | | 25,242 | ||||||||
| 1,175 | | 6.00%, 4/1/17, MBS (k) | | Aaa/AAA | | 1,213,564 | ||||||||
| 49 | | 6.00%, 5/1/17, MBS | | Aaa/AAA | | 50,231 | ||||||||
| 81 | | 6.00%, 5/1/17, MBS (k) | | Aaa/AAA | | 83,302 | ||||||||
| 55 | | 6.00%, 6/1/17, MBS | | Aaa/AAA | | 57,010 | ||||||||
| 99 | | 6.00%, 6/1/17, MBS (k) | | Aaa/AAA | | 102,329 | ||||||||
| 103 | | 6.00%, 7/1/17, MBS | | Aaa/AAA | | 105,928 | ||||||||
| 207 | | 6.00%, 7/1/17, MBS (k) | | Aaa/AAA | | 213,631 | ||||||||
| 64,821 | | 6.00%, 10/1/26, MBS (k) | | Aaa/AAA | | 66,572,587 | ||||||||
| ||||||||||||||
34 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Freddie Mac (continued) | | | |||||||||||
| $ | 60,940 | | 6.00%, 11/1/26, MBS (k) | | Aaa/AAA | | $ | 62,587,297 | ||||||
| 100,077 | | 6.00%, 1/1/27, MBS (k) | | Aaa/AAA | | 102,781,779 | ||||||||
| 17,592 | | 6.00%, 2/1/27, MBS (k) | | Aaa/AAA | | 18,062,910 | ||||||||
| 46,953 | | 6.00%, 5/1/27, MBS (k) | | Aaa/AAA | | 48,208,267 | ||||||||
| 41,046 | | 6.00%, 6/1/27, MBS (k) | | Aaa/AAA | | 42,143,382 | ||||||||
| 66,457 | | 6.00%, 7/1/27, MBS (k) | | Aaa/AAA | | 68,234,302 | ||||||||
| 47,586 | | 6.00%, 8/1/27, MBS (k) | | Aaa/AAA | | 48,858,699 | ||||||||
| 17,916 | | 6.00%, 9/1/27, MBS (k) | | Aaa/AAA | | 18,395,102 | ||||||||
| 13,273 | | 6.00%, 10/1/27, MBS (k) | | Aaa/AAA | | 13,627,425 | ||||||||
| 3,157 | | 6.00%, 12/15/28, CMO (k) | | Aaa/AAA | | 3,224,783 | ||||||||
| 313,700 | | 6.00%, MBS, TBA (d) | | Aaa/AAA | | 320,905,375 | ||||||||
| 295 | | 6.011%, 2/1/33, FRN, MBS (k) | | Aaa/AAA | | 297,646 | ||||||||
| 364 | | 6.059%, 3/1/32, FRN, MBS (k) | | Aaa/AAA | | 365,719 | ||||||||
| 197 | | 6.252%, 8/1/32, FRN, MBS (k) | | Aaa/AAA | | 199,020 | ||||||||
| 197 | | 6.475%, 1/1/32, FRN, MBS (k) | | Aaa/AAA | | 199,005 | ||||||||
| 207 | | 6.50%, 8/15/16, CMO (k) | | Aaa/AAA | | 217,111 | ||||||||
| 47 | | 6.50%, 12/15/23, CMO | | Aaa/AAA | | 48,947 | ||||||||
| 415 | | 6.632%, 2/1/29, FRN, MBS (k) | | Aaa/AAA | | 418,134 | ||||||||
| 82 | | 6.973%, 8/1/29, FRN, MBS (k) | | Aaa/AAA | | 83,174 | ||||||||
| 35 | | 7.00%, 4/1/29, MBS | | Aaa/AAA | | 37,422 | ||||||||
| 2 | | 7.00%, 12/1/29, MBS | | Aaa/AAA | | 2,516 | ||||||||
| — | (g) | | 7.00%, 1/1/30, MBS | | Aaa/AAA | | 140 | |||||||
| 15 | | 7.00%, 2/1/30, MBS | | Aaa/AAA | | 15,798 | ||||||||
| 32 | | 7.00%, 3/1/30, MBS | | Aaa/AAA | | 34,216 | ||||||||
| 2 | | 7.00%, 6/1/30, MBS | | Aaa/AAA | | 2,422 | ||||||||
| 42 | | 7.073%, 7/1/29, FRN, MBS | | Aaa/AAA | | 43,154 | ||||||||
| 353 | | 7.134%, 10/1/32, FRN, MBS (k) | | Aaa/AAA | | 357,124 | ||||||||
| 26 | | 7.20%, 7/1/32, FRN, MBS | | Aaa/AAA | | 25,665 | ||||||||
| 56 | | 7.25%, 8/1/32, FRN, MBS | | Aaa/AAA | | 56,089 | ||||||||
| 32 | | 7.442%, 8/1/32, FRN, MBS | | Aaa/AAA | | 31,711 | ||||||||
| 250 | | 7.50%, 8/15/30, CMO (k) | | Aaa/AAA | | 268,913 | ||||||||
| | | 1,093,448,780 | |||||||||||
| Ginnie Mae–143.6% | | | |||||||||||
| 51 | | 3.15%, 6/20/32, CMO, FRN | | Aaa/AAA | | 50,166 | ||||||||
| 1,519 | | 3.313%, 10/20/27, CMO, FRN | | Aaa/AAA | | 1,504,760 | ||||||||
| 150 | | 5.00%, 2/20/29, CMO | | Aaa/AAA | | 151,580 | ||||||||
| 545 | | 5.00%, 3/1/23, MBS | | Aaa/AAA | | 548,233 | ||||||||
| 132 | | 5.125%, 11/20/23, FRN, MBS | | Aaa/AAA | | 132,447 | ||||||||
| 14 | | 5.125%, 10/20/25, FRN, MBS | | Aaa/AAA | | 13,819 | ||||||||
| 10 | | 5.125%, 11/20/25, FRN, MBS | | Aaa/AAA | | 9,636 | ||||||||
| 11 | | 5.125%, 10/20/26, FRN, MBS | | Aaa/AAA | | 11,424 | ||||||||
| 27 | | 5.125%, 10/20/27, FRN, MBS | | Aaa/AAA | | 26,638 | ||||||||
| 384 | | 5.50%, 6/15/29, MBS (k) | | Aaa/AAA | | 390,391 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 35
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ginnie Mae (continued) | | | |||||||||||
| $ | 49 | | 5.50%, 11/15/32, MBS | | Aaa/AAA | | $ | 49,820 | ||||||
| 263 | | 5.50%, 12/15/32, MBS | | Aaa/AAA | | 267,932 | ||||||||
| 33 | | 5.50%, 8/15/33, MBS | | Aaa/AAA | | 33,739 | ||||||||
| 7 | | 5.50%, 1/15/34, MBS | | Aaa/AAA | | 6,743 | ||||||||
| 1,577 | | 5.50%, 1/15/34, MBS (k) | | Aaa/AAA | | 1,601,932 | ||||||||
| 1,114 | | 5.50%, 3/15/34, MBS (k) | | Aaa/AAA | | 1,132,094 | ||||||||
| 27 | | 5.50%, 4/15/34, MBS | | Aaa/AAA | | 27,562 | ||||||||
| 22 | | 5.50%, 5/15/34, MBS | | Aaa/AAA | | 22,287 | ||||||||
| 1,319 | | 5.50%, 12/15/34, MBS (k) | | Aaa/AAA | | 1,339,702 | ||||||||
| 309 | | 5.50%, 2/15/35, MBS (k) | | Aaa/AAA | | 313,395 | ||||||||
| 423 | | 5.50%, 3/15/35, MBS | | Aaa/AAA | | 429,840 | ||||||||
| 1,374 | | 5.50%, 3/15/35, MBS (k) | | Aaa/AAA | | 1,394,934 | ||||||||
| 50 | | 5.50%, 4/15/35, MBS | | Aaa/AAA | | 51,163 | ||||||||
| 1,276 | | 5.50%, 6/15/35, MBS (k) | | Aaa/AAA | | 1,296,106 | ||||||||
| 287 | | 5.50%, 7/15/35, MBS | | Aaa/AAA | | 291,740 | ||||||||
| 12 | | 5.50%, 8/15/35, MBS | | Aaa/AAA | | 12,454 | ||||||||
| 434 | | 5.50%, 8/15/35, MBS (k) | | Aaa/AAA | | 440,954 | ||||||||
| 300 | | 5.50%, 9/15/35, MBS | | Aaa/AAA | | 304,599 | ||||||||
| 6,213 | | 5.50%, 9/15/35, MBS (k) | | Aaa/AAA | | 6,308,986 | ||||||||
| 14,595 | | 5.50%, 10/15/35, MBS (k) | | Aaa/AAA | | 14,817,435 | ||||||||
| 228 | | 5.50%, 11/15/35, MBS | | Aaa/AAA | | 231,934 | ||||||||
| 2,350 | | 5.50%, 11/15/35, MBS (k) | | Aaa/AAA | | 2,386,536 | ||||||||
| 108 | | 5.50%, 12/15/35, MBS | | Aaa/AAA | | 109,581 | ||||||||
| 1,160 | | 5.50%, 12/15/35, MBS (k) | | Aaa/AAA | | 1,177,506 | ||||||||
| 49 | | 5.50%, 1/15/36, MBS | | Aaa/AAA | | 50,056 | ||||||||
| 1,883 | | 5.50%, 1/15/36, MBS (k) | | Aaa/AAA | | 1,911,549 | ||||||||
| 1,621 | | 5.50%, 2/15/36, MBS (k) | | Aaa/AAA | | 1,645,676 | ||||||||
| 5,581 | | 5.50%, 3/15/36, MBS (k) | | Aaa/AAA | | 5,665,565 | ||||||||
| 115 | | 5.50%, 4/15/36, MBS | | Aaa/AAA | | 116,907 | ||||||||
| 908 | | 5.50%, 4/15/36, MBS (k) | | Aaa/AAA | | 921,782 | ||||||||
| 318 | | 5.50%, 5/15/36, MBS (k) | | Aaa/AAA | | 322,412 | ||||||||
| 567 | | 5.50%, 2/15/37, MBS (k) | | Aaa/AAA | | 575,686 | ||||||||
| 251,200 | | 5.50%, MBS, TBA (d) | | Aaa/AAA | | 253,892,818 | ||||||||
| 10 | | 5.625%, 8/20/17, FRN, MBS | | Aaa/AAA | | 10,205 | ||||||||
| 7 | | 5.625%, 8/20/18, FRN, MBS | | Aaa/AAA | | 6,806 | ||||||||
| 13 | | 5.625%, 7/20/20, FRN, MBS | | Aaa/AAA | | 13,368 | ||||||||
| 6 | | 5.625%, 7/20/21, FRN, MBS | | Aaa/AAA | | 6,358 | ||||||||
| 13 | | 5.625%, 8/20/21, FRN, MBS | | Aaa/AAA | | 13,532 | ||||||||
| 23 | | 5.625%, 9/20/21, FRN, MBS | | Aaa/AAA | | 22,832 | ||||||||
| 1,560 | | 5.625%, 8/20/23, FRN, MBS | | Aaa/AAA | | 1,572,635 | ||||||||
| 81 | | 5.625%, 8/20/25, FRN, MBS | | Aaa/AAA | | 81,703 | ||||||||
| 16 | | 5.625%, 9/20/25, FRN, MBS | | Aaa/AAA | | 16,542 | ||||||||
| 11 | | 5.625%, 8/20/26, FRN, MBS | | Aaa/AAA | | 11,081 | ||||||||
| ||||||||||||||
36 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ginnie Mae (continued) | | | |||||||||||
| $ | 9 | | 5.625%, 7/20/27, FRN, MBS | | Aaa/AAA | | $ | 8,832 | ||||||
| 12 | | 5.625%, 9/20/27, FRN, MBS | | Aaa/AAA | | 12,307 | ||||||||
| 87 | | 5.625%, 8/20/28, FRN, MBS | | Aaa/AAA | | 87,165 | ||||||||
| 41 | | 5.625%, 7/20/29, FRN, MBS | | Aaa/AAA | | 41,769 | ||||||||
| 24 | | 5.75%, 3/20/30, FRN, MBS | | Aaa/AAA | | 24,262 | ||||||||
| 4 | | 6.00%, 6/15/28, MBS | | Aaa/AAA | | 4,074 | ||||||||
| 10 | | 6.00%, 1/15/29, MBS | | Aaa/AAA | | 10,045 | ||||||||
| 8 | | 6.00%, 3/15/29, MBS | | Aaa/AAA | | 7,931 | ||||||||
| 7 | | 6.00%, 4/15/29, MBS | | Aaa/AAA | | 7,394 | ||||||||
| 3 | | 6.00%, 4/15/31, MBS | | Aaa/AAA | | 2,899 | ||||||||
| 3 | | 6.00%, 7/15/31, MBS | | Aaa/AAA | | 3,098 | ||||||||
| 23 | | 6.00%, 10/15/31, MBS | | Aaa/AAA | | 23,590 | ||||||||
| 51 | | 6.00%, 1/15/32, MBS | | Aaa/AAA | | 52,517 | ||||||||
| 106 | | 6.00%, 2/15/32, MBS | | Aaa/AAA | | 109,200 | ||||||||
| 51,798 | | 6.00%, 7/20/32, CMO | | Aaa/AAA | | 52,827,878 | ||||||||
| 10 | | 6.00%, 11/15/32, MBS | | Aaa/AAA | | 10,039 | ||||||||
| 9 | | 6.00%, 1/15/33, MBS | | Aaa/AAA | | 9,678 | ||||||||
| 56 | | 6.00%, 3/15/33, MBS | | Aaa/AAA | | 58,208 | ||||||||
| 199 | | 6.00%, 11/15/35, MBS | | Aaa/AAA | | 205,010 | ||||||||
| 512 | | 6.00%, 2/15/36, MBS | | Aaa/AAA | | 527,367 | ||||||||
| 19 | | 6.00%, 2/15/36, MBS (d) | | Aaa/AAA | | 19,857 | ||||||||
| 2,000 | | 6.00%, 3/15/36, MBS (k) | | Aaa/AAA | | 2,058,736 | ||||||||
| 11,484 | | 6.00%, 4/15/36, MBS (k) | | Aaa/AAA | | 11,821,112 | ||||||||
| 1,722 | | 6.00%, 5/15/36, MBS (k) | | Aaa/AAA | | 1,772,942 | ||||||||
| 173 | | 6.00%, 6/15/36, MBS | | Aaa/AAA | | 178,040 | ||||||||
| 572 | | 6.00%, 6/15/36, MBS (k) | | Aaa/AAA | | 588,618 | ||||||||
| 1,106 | | 6.00%, 7/15/36, MBS | | Aaa/AAA | | 1,138,937 | ||||||||
| 252,211 | | 6.00%, 7/15/36, MBS (k) | | Aaa/AAA | | 259,618,395 | ||||||||
| 32,842 | | 6.00%, 8/15/36, MBS (k) | | Aaa/AAA | | 33,808,205 | ||||||||
| 329 | | 6.00%, 9/15/36, MBS | | Aaa/AAA | | 338,403 | ||||||||
| 8,352 | | 6.00%, 9/15/36, MBS (k) | | Aaa/AAA | | 8,597,013 | ||||||||
| 645 | | 6.00%, 10/15/36, MBS | | Aaa/AAA | | 663,869 | ||||||||
| 14,407 | | 6.00%, 10/15/36, MBS (k) | | Aaa/AAA | | 14,829,671 | ||||||||
| 2,060 | | 6.00%, 11/15/36, MBS | | Aaa/AAA | | 2,120,182 | ||||||||
| 192,095 | | 6.00%, 11/15/36, MBS (k) | | Aaa/AAA | | 197,744,078 | ||||||||
| 371 | | 6.00%, 1/15/37, MBS | | Aaa/AAA | | 381,305 | ||||||||
| 1,000 | | 6.00%, 1/15/37, MBS (k) | | Aaa/AAA | | 1,029,068 | ||||||||
| 2,964 | | 6.00%, 2/15/37, MBS (k) | | Aaa/AAA | | 3,050,606 | ||||||||
| 641 | | 6.00%, 3/15/37, MBS | | Aaa/AAA | | 659,982 | ||||||||
| 2,000 | | 6.00%, 3/15/37, MBS (k) | | Aaa/AAA | | 2,058,034 | ||||||||
| 470 | | 6.00%, 4/15/37, MBS | | Aaa/AAA | | 483,898 | ||||||||
| 67,251 | | 6.00%, 4/15/37, MBS (k) | | Aaa/AAA | | 69,232,274 | ||||||||
| 60 | | 6.00%, 5/15/37, MBS | | Aaa/AAA | | 62,224 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 37
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ginnie Mae (continued) | | | |||||||||||
| $ | 182,218 | | 6.00%, 5/15/37, MBS (k) | | Aaa/AAA | | $ | 187,588,385 | ||||||
| 1,386 | | 6.00%, 6/15/37, MBS | | Aaa/AAA | | 1,426,673 | ||||||||
| 38,319 | | 6.00%, 6/15/37, MBS (k) | | Aaa/AAA | | 39,438,741 | ||||||||
| 1,899 | | 6.00%, 7/15/37, MBS | | Aaa/AAA | | 1,953,848 | ||||||||
| 35,944 | | 6.00%, 7/15/37, MBS (k) | | Aaa/AAA | | 36,988,997 | ||||||||
| 520 | | 6.00%, 8/15/37, MBS | | Aaa/AAA | | 534,919 | ||||||||
| 20,015 | | 6.00%, 8/15/37, MBS (k) | | Aaa/AAA | | 20,597,035 | ||||||||
| 2,233 | | 6.00%, 9/15/37, MBS | | Aaa/AAA | | 2,297,880 | ||||||||
| 103,059 | | 6.00%, 9/15/37, MBS (k) | | Aaa/AAA | | 106,090,202 | ||||||||
| 1,103 | | 6.00%, 10/15/37, MBS | | Aaa/AAA | | 1,134,933 | ||||||||
| 77,549 | | 6.00%, 10/15/37, MBS (k) | | Aaa/AAA | | 79,826,206 | ||||||||
| 1,000 | | 6.00%, 10/15/37, MBS (d)(k) | | Aaa/AAA | | 1,029,069 | ||||||||
| 3,358 | | 6.00%, 11/15/37, MBS | | Aaa/AAA | | 3,455,672 | ||||||||
| 341,326 | | 6.00%, 11/15/37, MBS (k) | | Aaa/AAA | | 351,303,308 | ||||||||
| 119,587 | | 6.00%, 12/15/37, MBS | | Aaa/AAA | | 123,063,020 | ||||||||
| 1,553 | | 6.00%, 12/15/37, MBS (d) | | Aaa/AAA | | 1,597,961 | ||||||||
| 197,830 | | 6.00%, 12/15/37, MBS (k) | | Aaa/AAA | | 203,580,983 | ||||||||
| 99,912 | | 6.00%, 1/15/38, MBS | | Aaa/AAA | | 102,816,420 | ||||||||
| 992 | | 6.00%, 1/15/38, MBS (k) | | Aaa/AAA | | 1,021,633 | ||||||||
| 9,056 | | 6.00%, 2/15/38, MBS | | Aaa/AAA | | 9,319,300 | ||||||||
| 2,336 | | 6.00%, 3/15/38, MBS | | Aaa/AAA | | 2,403,389 | ||||||||
| 4,530 | | 6.00%, 4/15/38, MBS | | Aaa/AAA | | 4,662,080 | ||||||||
| 721,000 | | 6.00%, MBS, TBA (d) | | Aaa/AAA | | 740,230,624 | ||||||||
| 533 | | 6.25%, 1/20/28, FRN, MBS | | Aaa/AAA | | 542,640 | ||||||||
| 55 | | 6.25%, 2/20/28, FRN, MBS | | Aaa/AAA | | 55,859 | ||||||||
| 140 | | 6.25%, 1/20/30, FRN, MBS | | Aaa/AAA | | 142,634 | ||||||||
| 311 | | 6.375%, 3/20/17, FRN, MBS | | Aaa/AAA | | 317,018 | ||||||||
| 11 | | 6.375%, 1/20/18, FRN, MBS | | Aaa/AAA | | 11,267 | ||||||||
| 84 | | 6.375%, 5/20/18, FRN, MBS | | Aaa/AAA | | 84,900 | ||||||||
| 72 | | 6.375%, 4/20/19, FRN, MBS | | Aaa/AAA | | 73,664 | ||||||||
| 15 | | 6.375%, 5/20/19, FRN, MBS | | Aaa/AAA | | 14,873 | ||||||||
| 18 | | 6.375%, 6/20/21, FRN, MBS | | Aaa/AAA | | 18,058 | ||||||||
| 36 | | 6.375%, 1/20/22, FRN, MBS | | Aaa/AAA | | 36,605 | ||||||||
| 737 | | 6.375%, 2/20/22, FRN, MBS | | Aaa/AAA | | 750,425 | ||||||||
| 39 | | 6.375%, 4/20/22, FRN, MBS | | Aaa/AAA | | 39,720 | ||||||||
| 22 | | 6.375%, 5/20/22, FRN, MBS | | Aaa/AAA | | 22,559 | ||||||||
| 29 | | 6.375%, 2/20/23, FRN, MBS | | Aaa/AAA | | 29,822 | ||||||||
| 33 | | 6.375%, 3/20/23, FRN, MBS | | Aaa/AAA | | 33,249 | ||||||||
| 35 | | 6.375%, 4/20/23, FRN, MBS | | Aaa/AAA | | 35,174 | ||||||||
| 174 | | 6.375%, 4/20/24, FRN, MBS | | Aaa/AAA | | 176,045 | ||||||||
| 11 | | 6.375%, 5/20/24, FRN, MBS | | Aaa/AAA | | 11,413 | ||||||||
| 4 | | 6.375%, 4/20/25, FRN, MBS | | Aaa/AAA | | 4,507 | ||||||||
| 14 | | 6.375%, 5/20/25, FRN, MBS | | Aaa/AAA | | 13,908 | ||||||||
| ||||||||||||||
38 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ginnie Mae (continued) | | | |||||||||||
| $ | 28 | | 6.375%, 6/20/25, FRN, MBS | | Aaa/AAA | | $ | 28,425 | ||||||
| 14 | | 6.375%, 1/20/26, FRN, MBS | | Aaa/AAA | | 14,011 | ||||||||
| 19 | | 6.375%, 6/20/26, FRN, MBS | | Aaa/AAA | | 19,445 | ||||||||
| 8 | | 6.375%, 1/20/27, FRN, MBS | | Aaa/AAA | | 8,469 | ||||||||
| 93 | | 6.375%, 2/20/27, FRN, MBS | | Aaa/AAA | | 94,859 | ||||||||
| 22 | | 6.375%, 4/20/27, FRN, MBS | | Aaa/AAA | | 22,292 | ||||||||
| 40 | | 6.375%, 6/20/27, FRN, MBS | | Aaa/AAA | | 40,134 | ||||||||
| 34 | | 6.375%, 2/20/28, FRN, MBS | | Aaa/AAA | | 34,364 | ||||||||
| 90 | | 6.375%, 3/20/28, FRN, MBS | | Aaa/AAA | | 91,636 | ||||||||
| 41 | | 6.375%, 4/20/28, FRN, MBS | | Aaa/AAA | | 41,736 | ||||||||
| 27 | | 6.375%, 4/20/29, FRN, MBS | | Aaa/AAA | | 27,129 | ||||||||
| 56 | | 6.375%, 6/20/29, FRN, MBS | | Aaa/AAA | | 56,280 | ||||||||
| 36 | | 6.375%, 5/20/30, FRN, MBS | | Aaa/AAA | | 36,005 | ||||||||
| 39 | | 6.375%, 5/20/32, FRN, MBS | | Aaa/AAA | | 39,020 | ||||||||
| 55 | | 6.375%, 6/20/32, FRN, MBS | | Aaa/AAA | | 55,812 | ||||||||
| 3 | | 6.50%, 5/15/23, MBS | | Aaa/AAA | | 3,605 | ||||||||
| — | (g) | | 6.50%, 12/15/23, MBS | | Aaa/AAA | | 509 | |||||||
| 67 | | 6.50%, 3/20/31, FRN, MBS | | Aaa/AAA | | 68,011 | ||||||||
| 64 | | 6.50%, 3/20/32, FRN, MBS | | Aaa/AAA | | 65,746 | ||||||||
| 85 | | 6.875%, 6/20/22, FRN, MBS | | Aaa/AAA | | 87,198 | ||||||||
| | | 2,995,644,597 | |||||||||||
| Other Government Agencies–1.7% | | | |||||||||||
| 33,951 | | Small Business Administration Participation Certificates, | | | ||||||||||
| 5.23%, 3/1/27 | | Aaa/AAA | | 34,257,437 | |||||||||
| 1,861 | | Vendee Mortgage Trust, 6.50%, 9/15/24, CMO | | Aaa/AAA | | 1,985,012 | ||||||||
| | | 36,242,449 | |||||||||||
| Total U.S. Government Agency Securities (cost–$9,202,175,107) | | | 9,275,069,591 | ||||||||||
| | | ||||||||||||
CORPORATE BONDS & NOTES–39.0% | ||||||||||||||
| Banking–11.3% | | | |||||||||||
| 17,300 | | American Express Bank FSB, 6.00%, 9/13/17 | | Aa3/A+ | | 17,437,189 | ||||||||
| 24,600 | | American Express Centurion Bank, 6.00%, 9/13/17 | | Aa3/A+ | | 24,795,078 | ||||||||
| Bank of America Corp., | | | |||||||||||
| 8,400 | | 5.75%, 12/1/17 | | Aa2/AA | | 8,581,045 | ||||||||
| 67,300 | | 8.00%, 12/29/49, FRN (h) | | A1/A+ | | 68,639,876 | ||||||||
| 30,000 | | Bank of America NA, 5.30%, 3/15/17 | | Aa1/AA | | 29,680,050 | ||||||||
| Barclays Bank PLC, | | | |||||||||||
| 48,500 | | 5.45%, 9/12/12 | | Aa1/AA | | 49,503,271 | ||||||||
| 4,400 | | 7.434%, 12/15/17, FRN (a)(c)(h) | | Aa3/NR | | 4,227,793 | ||||||||
| 11,000 | | HSBC Capital Funding L.P., 4.61%, 6/27/13, FRN (a)(c)(h) | | A1/A | | 9,147,798 | ||||||||
| 17,500 | | JPMorgan Chase Bank NA, 6.00%, 10/1/17 | | Aa1/AA− | | 18,214,035 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 39
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Banking (continued) | | | |||||||||||
| $ | 6,400 | | Wachovia Corp., 7.98%, 3/15/18, FRN (h) | | A2/A | | $ | 6,316,038 | ||||||
| | | 236,542,173 | |||||||||||
| Computer Services–0.4% | | | |||||||||||
| 7,600 | | International Business Machines Corp., 5.70%, 9/14/17 | | A1/A+ | | 7,938,337 | ||||||||
| Diversified Manufacturing–4.2% | | | |||||||||||
| 87,900 | | General Electric Co., 5.25%, 12/6/17 | | Aaa/AAA | | 87,705,389 | ||||||||
| Drugs & Medical Products–1.4% | | | |||||||||||
| 26,900 | | AstraZeneca PLC, 5.90%, 9/15/17 | | A1/AA− | | 28,558,170 | ||||||||
| Energy–0.9% | | | |||||||||||
| 19,100 | | Kinder Morgan Energy Partners L.P., 6.95%, 1/15/38 | | Baa2/BBB | | 19,448,537 | ||||||||
| | | ||||||||||||
| Financial Services–13.7% | | | |||||||||||
| Bear Stearns Cos., Inc., | | | |||||||||||
| 3,600 | | 6.40%, 10/2/17 | | Baa1/AA− | | 3,723,336 | ||||||||
| 2,500 | | 6.95%, 8/10/12 | | Baa1/A+ | | 2,625,335 | ||||||||
| € 10,800 | | Citigroup Capital XVIII, 6.829%, 6/28/67, FRN | | A1/A | | 18,522,628 | ||||||||
| $ 12,100 | | Citigroup Capital XXI, 8.30%, 12/21/77, FRN | | A1/A | | 12,396,039 | ||||||||
| 6,000 | | Citigroup, Inc., 5.50%, 4/11/13 | | Aa3/AA− | | 6,045,606 | ||||||||
| General Electric Capital Corp., FRN, | | | |||||||||||
| € 1,200 | | 5.50%, 9/15/67 (a)(c) | | Aa1/AA+ | | 1,707,630 | ||||||||
| $ 41,100 | | 6.375%, 11/15/67 | | Aa1/AA+ | | 41,247,138 | ||||||||
| 104,900 | | Goldman Sachs Group, Inc., 6.75%, 10/1/37 | | A1/A+ | | 103,244,888 | ||||||||
| 49,200 | | Lehman Brothers Holdings, Inc., 6.75%, 12/28/17 | | A2/A | | 49,223,025 | ||||||||
| 43,600 | | Merrill Lynch & Co., Inc., 6.875%, 4/25/18 | | A1/A+ | | 44,065,997 | ||||||||
| 2,600 | | Morgan Stanley, 6.00%, 4/28/15 | | Aa3/AA− | | 2,601,165 | ||||||||
| | | 285,402,787 | |||||||||||
| Insurance–1.5% | | | |||||||||||
| 34,900 | | Progressive Corp., 6.70%, 6/15/37, FRN | | A2/A− | | 31,284,639 | ||||||||
| | | ||||||||||||
| Oil & Gas–0.5% | | | |||||||||||
| 10,600 | | Valero Energy Corp., 6.625%, 6/15/37 | | Baa3/BBB | | 10,371,697 | ||||||||
| | | ||||||||||||
| Retail–0.8% | | | |||||||||||
| 16,800 | | Target Corp., 6.00%, 1/15/18 | | A2/A+ | | 17,493,605 | ||||||||
| Telecommunications–2.9% | | | |||||||||||
| AT&T, Inc., | | | |||||||||||
| 44,600 | | 5.50%, 2/1/18 | | A2/A | | 44,715,916 | ||||||||
| 15,100 | | 6.30%, 1/15/38 | | A2/A | | 15,138,671 | ||||||||
| | | 59,854,587 | |||||||||||
| ||||||||||||||
40 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Tobacco–0.5% | | | |||||||||||
| $ | 9,700 | | RJ Reynolds Tobacco Holdings, Inc., 7.25%, 6/15/37 | | Ba1/BBB | | $ | 9,776,727 | ||||||
| Transportation–0.7% | | | |||||||||||
| Burlington Northern Santa Fe Corp., | | | |||||||||||
| 10,000 | | 5.65%, 5/1/17 | | Baa1/BBB | | 10,087,540 | ||||||||
| 3,700 | | 6.15%, 5/1/37 | | Baa1/BBB | | 3,648,270 | ||||||||
| | | 13,735,810 | |||||||||||
| Utilities–0.2% | | | |||||||||||
| 4,000 | | Pacific Gas & Electric Co., 5.80%, 3/1/37 | | A3/BBB+ | | 3,858,696 | ||||||||
| Total Corporate Bonds & Notes (cost–$807,845,442) | | | 811,971,154 | ||||||||||
| | | ||||||||||||
MORTGAGE-BACKED SECURITIES–10.9% | ||||||||||||||
| 5,447 | | Adjustable Rate Mortgage Trust, 4.593%, 5/25/35, CMO, VRN | | Aaa/AAA | | 5,329,884 | ||||||||
| 3,393 | | Banc of America Funding Corp., 4.624%, 2/20/36, CMO, FRN | | NR/AAA | | 3,220,203 | ||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, CMO, VRN, | | | |||||||||||
| 411 | | 4.620%, 1/25/34 | | Aaa/AAA | | 380,552 | ||||||||
| 120 | | 4.651%, 1/25/35 | | Aaa/AAA | | 119,086 | ||||||||
| 582 | | 4.960%, 2/25/34 | | Aaa/AAA | | 538,191 | ||||||||
| Bear Stearns Alt-A Trust, CMO, VRN, | | | |||||||||||
| 6,610 | | 5.124%, 6/25/34 | | Aaa/AAA | | 5,989,349 | ||||||||
| 277 | | 5.371%, 5/25/35 | | Aaa/AAA | | 241,603 | ||||||||
| 49 | | Bear Stearns Mortgage Securities, Inc., 6.679%, 3/25/31, CMO, VRN | | Aaa/NR | | 48,117 | ||||||||
| 10,848 | | Carey Commercial Mortgage Trust, 5.97%, 9/20/19, CMO (a)(c) | | Aaa/NR | | 10,851,757 | ||||||||
| 1,549 | | Citigroup Mortgage Loan Trust, Inc., 4.70%, 12/25/35, CMO, FRN | | NR/AAA | | 1,506,168 | ||||||||
| 3,505 | | Commercial Capital Access One, Inc., 7.706%, 11/15/28, CMO, VRN (a)(c) | | NR/NR | | 3,435,819 | ||||||||
| Commercial Mortgage, CMO (a)(c), | | | |||||||||||
| 7,000 | | 5.362%, 2/5/19 | | NR/AAA | | 7,019,007 | ||||||||
| 2,000 | | 5.665%, 2/5/19, VRN | | NR/AA | | 2,016,019 | ||||||||
| Countrywide Alternative Loan Trust, CMO, FRN, | | | |||||||||||
| 7,774 | | 3.115%, 5/25/35 | | Aaa/AAA | | 6,385,766 | ||||||||
| 5,285 | | 3.155%, 12/25/35 | | Aaa/AAA | | 4,242,105 | ||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, CMO, FRN, | | | |||||||||||
| 63 | | 3.165%, 2/25/35 | | Aaa/AAA | | 51,787 | ||||||||
| 1,958 | | 3.205%, 3/25/35 | | Aaa/AAA | | 1,563,647 | ||||||||
| 2,595 | | 3.215%, 3/25/35 | | Aaa/AAA | | 2,094,971 | ||||||||
| 1,331 | | 3.285%, 2/25/35 | | Aaa/AAA | | 1,005,480 | ||||||||
| 864 | | 5.941%, 4/25/35 (f) | | Aaa/AAA | | 575,899 | ||||||||
| 34 | | Credit Suisse First Boston Mortgage Securities Corp., | | | ||||||||||
| 3.795%, 3/25/32, CMO, FRN (a)(c) | | Aaa/AAA | | 31,085 | |||||||||
| 8,785 | | First Horizon Asset Securities, Inc., 3.295%, 11/25/33, CMO, FRN | | NR/AAA | | 8,586,113 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 41
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| $ | 851 | | GMAC Commercial Mortgage Securities, Inc., 6.50%, 5/15/35, CMO | | NR/BBB | | $ | 837,893 | ||||||
| 1,500 | | GS Mortgage Securities Corp. II, 6.615%, 2/14/16, CMO (a)(c) | | NR/AAA | | 1,613,528 | ||||||||
| 382 | | GSR Mortgage Loan Trust, 6.462%, 4/25/35, CMO, VRN | | Aaa/AAA | | 324,786 | ||||||||
| Harborview Mortgage Loan Trust, CMO, FRN, | | | |||||||||||
| 7,214 | | 2.99%, 2/19/46 | | Aaa/AAA | | 5,418,053 | ||||||||
| 5,443 | | 3.02%, 5/19/35 | | Aaa/AAA | | 4,444,226 | ||||||||
| 35,282 | | Hilton Hotel Pool Trust, 0.864%, 10/3/15, CMO, IO, VRN (a)(c) | | Aaa/AAA | | 518,033 | ||||||||
| 1,342 | | Indymac Index Mortgage Loan Trust, 3.175%, 3/25/35, CMO, FRN | | Aaa/AAA | | 1,085,313 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., CMO, | | | |||||||||||
| 4,700 | | 5.42%, 1/15/49 | | Aaa/NR | | 4,555,892 | ||||||||
| 2,000 | | 6.465%, 11/15/35 | | NR/AAA | | 2,080,165 | ||||||||
| 3,429 | | JPMorgan Mortgage Trust, 4.362%, 9/25/34, CMO, FRN | | NR/AAA | | 3,340,886 | ||||||||
| 100 | | MASTR Adjustable Rate Mortgage Trust, 3.787%, 11/21/34, CMO, FRN | | Aaa/AAA | | 92,877 | ||||||||
| MASTR Reperforming Loan Trust, CMO, | | | |||||||||||
| 3,431 | | 7.00%, 5/25/35 (a)(c) | | Aaa/AAA | | 3,501,212 | ||||||||
| 5,261 | | 7.50%, 7/25/35 | | Aaa/AAA | | 5,558,375 | ||||||||
| 3,127 | | 8.00%, 7/25/35 | | Aaa/AAA | | 3,139,635 | ||||||||
| 408 | | Mellon Residential Funding Corp., 3.991%, 10/20/29, CMO, FRN | | NR/AAA | | 391,945 | ||||||||
| 7,700 | | Merrill Lynch Countrywide Commercial Mortgage Trust, | | | ||||||||||
| 5.485%, 3/12/51, CMO, VRN | | Aaa/NR | | 7,501,678 | |||||||||
| MLCC Mortgage Investors, Inc., CMO, FRN, | | | |||||||||||
| 165 | | 3.096%, 3/15/25 | | Aaa/AAA | | 153,705 | ||||||||
| 476 | | 5.355%, 7/25/29 | | Aaa/AAA | | 447,001 | ||||||||
| Morgan Stanley Capital I, CMO, | | | |||||||||||
| 38,250 | | 5.332%, 12/15/43 | | NR/AAA | | 37,246,714 | ||||||||
| 28,450 | | 5.731%, 7/12/44, VRN | | NR/AAA | | 28,536,016 | ||||||||
| 531 | | Morgan Stanley Dean Witter Capital I, 5.746%, 3/25/33, CMO, FRN | | Aaa/AAA | | 525,073 | ||||||||
| 64 | | Residential Asset Securitization Trust, 3.395%, 3/25/33, CMO, FRN | | NR/AAA | | 57,997 | ||||||||
| 4,663 | | Residential Funding Mortgage Sec I, 6.431%, 3/25/35, CMO, VRN | | Aaa/AAA | | 4,407,220 | ||||||||
| Structured Adjustable Rate Mortgage Loan Trust, CMO, VRN, | | | |||||||||||
| 1,554 | | 3.385%, 6/25/34 | | Aaa/AAA | | 1,423,729 | ||||||||
| 1,789 | | 5.195%, 5/25/35 | | Aaa/AAA | | 1,355,217 | ||||||||
| 62 | | 5.45%, 1/25/36 | | NR/AAA | | 55,593 | ||||||||
| 255 | | 6.067%, 10/25/34 | | Aaa/AAA | | 242,130 | ||||||||
| Structured Asset Mortgage Investments, Inc., CMO, FRN, | | | |||||||||||
| 16,815 | | 3.075%, 6/25/36 | | Aaa/AAA | | 12,998,124 | ||||||||
| 7,918 | | 3.115%, 5/25/36 | | Aaa/AAA | | 6,160,827 | ||||||||
| 1,410 | | 3.15%, 3/19/34 | | Aaa/AAA | | 1,265,419 | ||||||||
| 1,820 | | 3.17%, 12/19/33 | | Aaa/AAA | | 1,542,711 | ||||||||
| Structured Asset Securities Corp., CMO, FRN, | | | |||||||||||
| 384 | | 4.991%, 2/25/34 | | Aaa/AAA | | 371,857 | ||||||||
| ||||||||||||||
42 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| $ | 9 | | 6.193%, 5/25/32 | | Aaa/AAA | | $ | 8,966 | ||||||
| Washington Mutual, Inc., CMO, FRN, | | | |||||||||||
| 991 | | 2.995%, 11/25/34 | | Aaa/AAA | | 850,133 | ||||||||
| 5,597 | | 3.015%, 10/25/44 | | Aaa/AAA | | 4,779,961 | ||||||||
| 35 | | 3.165%, 12/25/45 | | Aaa/AAA | | 29,140 | ||||||||
| 1,140 | | 3.215%, 1/25/45 | | Aaa/AAA | | 935,631 | ||||||||
| Wells Fargo Mortgage Backed Securities Trust, CMO, | | | |||||||||||
| 12,200 | | 4.336%, 7/25/35, FRN | | Aaa/AAA | | 11,568,744 | ||||||||
| 1,191 | | 4.557%, 1/25/35, FRN | | Aaa/NR | | 1,157,533 | ||||||||
| 750 | | 4.671%, 8/25/34, FRN | | Aaa/AAA | | 655,164 | ||||||||
| 538 | | 5.00%, 6/25/18 | | Aaa/AAA | | 511,114 | ||||||||
| Total Mortgage-Backed Securities (cost–$244,534,177) | | | 226,922,824 | ||||||||||
| | | ||||||||||||
MUNICIPAL BONDS–4.0% | ||||||||||||||
| California–1.1% | | | |||||||||||
| 2,400 | | Educational Facs. Auth., 4.75%, 10/1/37, Ser. A | | Aa1/AA+ | | 2,384,832 | ||||||||
| Golden State Tobacco Securitization Corp. Rev., Ser. A (FGIC), | | | |||||||||||
| 5,000 | | 5.00%, 6/1/35 | | A2/A | | 4,912,450 | ||||||||
| 3,500 | | 5.00%, 6/1/38 | | A2/A | | 3,425,240 | ||||||||
| 5,000 | | Los Angeles Department of Water & Power Rev., 5.00%, 7/1/30, Ser. A-2 | | Aa3/AA− | | 5,054,000 | ||||||||
| State, GO, | | | |||||||||||
| 5,400 | | 5.00%, 6/1/37 | | A1/A+ | | 5,375,160 | ||||||||
| 1,300 | | 5.00%, 11/1/37 | | A1/A+ | | 1,294,033 | ||||||||
| 985 | | Tobacco Securitization Auth. Rev., zero coupon, 6/1/27, Ser. A2 | | Baa3/BBB | | 912,455 | ||||||||
| | | 23,358,170 | |||||||||||
| Florida–0.2% | | | |||||||||||
| State Board of Education, GO, | | | |||||||||||
| 1,600 | | 4.75%, 6/1/37, Ser. B (MBIA) | | Aaa/AAA | | 1,572,688 | ||||||||
| 4,000 | | 4.75%, 6/1/37, Ser. C | | Aa1/AAA | | 3,907,400 | ||||||||
| | | 5,480,088 | |||||||||||
| Iowa–0.2% | | | |||||||||||
| 3,800 | | Tobacco Settlement Auth. Rev., 5.60%, 6/1/34, Ser. B | | Baa3/BBB | | 3,450,476 | ||||||||
| New Jersey–0.8% | | | |||||||||||
| 21,340 | | Tobacco Settlement Financing Corp. Rev., 5.00%, 6/1/41, Ser. 1A | | Baa3/BBB | | 16,992,829 | ||||||||
| New York–0.2% | | | |||||||||||
| 4,000 | | New York City Municipal Water Finance Auth., Water & Sewer System Rev., 5.00%, 6/15/39, Ser. A | | Aa2/AA+ | | 4,057,120 | ||||||||
| | | ||||||||||||
| Ohio–0.9% | | | |||||||||||
| Buckeye Tobacco Settlement Financing Auth. Rev., Ser. A-2, | | | |||||||||||
| 5,800 | | 5.875%, 6/1/30 | | Baa3/BBB | | 5,461,918 | ||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 43
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ohio (continued) | | | |||||||||||
| $ | 9,300 | | 5.875%, 6/1/47 | | Baa3/BBB | | $ | 8,206,878 | ||||||
| 5,320 | | 6.00%, 6/1/42 | | Baa3/BBB | | 4,888,973 | ||||||||
| | | 18,557,769 | |||||||||||
| Texas–0.6% | | | |||||||||||
| 2,380 | | Keller Independent School Dist., GO, 4.75%, 8/15/30 (PSF-GTD) | | Aaa/AAA | | 2,392,257 | ||||||||
| 9,800 | | State, Transit Rev., GO, 4.75%, 4/1/37 | | Aa1/AA | | 9,573,620 | ||||||||
| | | 11,965,877 | |||||||||||
| Total Municipal Bonds (cost–$86,506,152) | | | 83,862,329 | ||||||||||
| | | ||||||||||||
ASSET-BACKED SECURITIES–3.5% | ||||||||||||||
| 1,133 | | Aames Mortgage Investment Trust, 3.295%, 10/25/35, FRN | | NR/AAA | | 1,092,317 | ||||||||
| 84 | | Amortizing Residential Collateral Trust, 3.165%, 6/25/32, FRN | | NR/AAA | | 78,603 | ||||||||
| 1,561 | | Bayview Financial Asset Trust, 3.295%, 12/25/39, FRN (a)(c)(f) | | Aaa/NR | | 1,369,025 | ||||||||
| 5,422 | | Bear Stearns Asset Backed Securities, Inc., 3.485%, 6/15/43, FRN | | Aaa/AAA | | 4,842,810 | ||||||||
| 72 | | Cendant Mortgage Corp., 5.989%, 7/25/43, VRN (a)(c) | | NR/NR | | 66,000 | ||||||||
| 15,200 | | Citibank Omni Master Trust, 3.90%, 12/23/13, FRN (a)(c) | | Aaa/AAA | | 14,984,542 | ||||||||
| 800 | | Community Program Loan Trust, 4.50%, 4/1/29 | | NR/AAA | | 716,950 | ||||||||
| Countrywide Asset-Backed Certificates, FRN, | | | |||||||||||
| 9,945 | | 2.985%, 1/25/46 | | Aaa/AAA | | 9,644,925 | ||||||||
| 553 | | 3.365%, 11/25/33 (a)(c) | | Aaa/AAA | | 495,318 | ||||||||
| 1,447 | | 3.375%, 12/25/31 | | Aaa/AAA | | 1,295,304 | ||||||||
| 465 | | Credit Suisse First Boston Mortgage Securities Corp., 3.145%, 1/25/43, FRN (a)(c) | | Aaa/AAA | | 452,108 | ||||||||
| 1,179 | | Credit-Based Asset Servicing & Securitization LLC, 3.795%, 11/25/33, FRN | | Aaa/AAA | | 1,128,560 | ||||||||
| 2,223 | | Denver Arena Trust, 6.94%, 11/15/19 (a)(c) | | NR/NR | | 2,151,201 | ||||||||
| 58 | | EMC Mortgage Loan Trust, 3.265%, 5/25/40, FRN (a)(c) | | Aaa/AAA | | 53,299 | ||||||||
| First Franklin Mortgage Loan Asset Backed Certificates, FRN, | | | |||||||||||
| 103 | | 3.275%, 10/25/34 | | Aaa/NR | | 91,391 | ||||||||
| 5,730 | | 3.295%, 4/25/35 | | Aa1/AA+ | | 4,820,521 | ||||||||
| 13 | | First Plus Home Loan Trust, 7.32%, 11/10/23 | | NR/AA+ | | 12,566 | ||||||||
| 53 | | Fremont Home Loan Owner Trust, 3.685%, 12/25/29, FRN | | Aaa/AAA | | 41,289 | ||||||||
| Green Tree Financial Corp., | | | |||||||||||
| 5,648 | | 6.18%, 4/1/30 | | Ba3/NR | | 5,315,722 | ||||||||
| 4,572 | | 6.81%, 12/1/27, VRN | | Ba1/BBB | | 4,696,083 | ||||||||
| 1,376 | | 6.87%, 4/1/30, VRN | | Ba3/NR | | 1,332,420 | ||||||||
| 1,000 | | 7.06%, 2/1/31, VRN | | NR/B− | | 799,014 | ||||||||
| 884 | | 7.40%, 6/15/27 | | A2/AA | | 928,685 | ||||||||
| 405 | | 7.55%, 1/15/29, VRN | | NR/A+ | | 407,505 | ||||||||
| 62 | | Home Equity Asset Trust, 2.975%, 5/25/36, FRN (a)(c) | | Aaa/AAA | | 62,195 | ||||||||
| 1,793 | | Long Beach Mortgage Loan Trust, 4.32%, 3/25/32, FRN | | A1/NR | | 1,401,007 | ||||||||
| ||||||||||||||
44 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| $ | 500 | | Madison Avenue Manufactured Housing Contract, 4.345%, 3/25/32, FRN | | Baa1/A+ | | $ | 430,698 | ||||||
| 2,077 | | Mesa Trust Asset Backed Certificates, 3.295%, 12/25/31, FRN (a)(c) | | Aaa/AAA | | 2,053,791 | ||||||||
| 1,610 | | Mid-State Trust, 6.005%, 8/15/37 | | Aaa/AAA | | 1,602,872 | ||||||||
| Residential Asset Mortgage Products, Inc., | | | |||||||||||
| 4,811 | | 5.634%, 1/25/34 | | Aaa/AAA | | 4,315,168 | ||||||||
| 2,000 | | 5.90%, 7/25/34 | | Baa3/BBB | | 620,844 | ||||||||
| Residential Asset Securities Corp., | | | |||||||||||
| 3,000 | | 3.325%, 3/25/35, FRN | | Aa2/AA | | 2,363,435 | ||||||||
| 382 | | 7.14%, 4/25/32, VRN | | Ba1/BBB | | 115,045 | ||||||||
| 2,024 | | SACO I, Inc., 3.275%, 11/25/35, FRN | | Aaa/AAA | | 1,729,960 | ||||||||
| Total Asset-Backed Securities (cost–$78,398,308) | | | 71,511,173 | ||||||||||
| | | ||||||||||||
CONVERTIBLE PREFERRED STOCK–1.2% | ||||||||||||||
| Shares | | | | |||||||||||
| Banking–1.2% | | | |||||||||||
| 15,000 | | Bank of America Corp., 7.25%, 1/30/13 | | A1/A+ | | 15,660,000 | ||||||||
| 8,500 | | Wachovia Corp., 7.50%, 12/31/49 | | A2/A | | 9,941,218 | ||||||||
| Total Convertible Preferred Stock (cost–$23,500,000) | | | 25,601,218 | ||||||||||
| | | ||||||||||||
SHORT-TERM INVESTMENTS–6.0% | ||||||||||||||
| Principal Amount (000) | | | | |||||||||||
| U.S. Treasury Bills (i)–1.7% | | | |||||||||||
| $ | 36,100 | | 1.13%-1.20%, 6/12/08-6/26/08 (cost–$36,042,002) | | | 36,042,002 | ||||||||
| Corporate Notes–0.0% | | | |||||||||||
| Banking–0.0% | | | |||||||||||
| ¥60,000 | | Rabobank Nederland, 0.20%, 6/20/08 (cost–$507,108) | | Aaa/AAA | | 573,631 | ||||||||
| U.S. Government Agency Securities–0.0% | | | |||||||||||
| Fannie Mae, CMO, | | | |||||||||||
| $ | 20 | | 3.295%, 3/25/09, FRN | | Aaa/AAA | | 20,435 | |||||||
| 188 | | 3.706%, 12/25/08, FRN (k) | | Aaa/AAA | | 188,179 | ||||||||
| — | (g) | | 6.50%, 2/25/09 | | Aaa/AAA | | 447 | |||||||
| 30 | | Freddie Mac, 6.00%, 7/1/08, MBS | | Aaa/AAA | | 30,805 | ||||||||
| Total U.S. Government Agency Securities (cost–$239,223) | | | 239,866 | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 45
| Principal/ Amount (000) | | | | Value | ||||||||||
| | | ||||||||||||
| Repurchase Agreements–4.3% | | | |||||||||||
| $ | 29,000 | | Credit Suisse First Boston, dated 4/30/08, 1.90%, due 5/1/08, proceeds $29,001,531; collateralized by U.S. Treasury Inflation Index Note, 1.875%, due 7/15/13, valued at $29,836,354 including accrued interest | | | $ | 29,000,000 | |||||||
| 59,200 | | Deutsche Bank, dated 4/30/08, 1.90%, due 5/1/08, proceeds $59,203,124; collateralized by U.S. Treasury Inflation Index Note, 3.00%, due 7/15/12, valued at $60,559,087 including accrued interest | | | 59,200,000 | |||||||||
| Total Repurchase Agreements (cost–$88,200,000) | | | 88,200,000 | ||||||||||
| Total Short-Term Investments (cost–$124,988,333) | | | 125,055,499 | ||||||||||
OPTIONS PURCHASED (j)–1.1% | ||||||||||||||
| Contracts/ Notional Amount | | | | |||||||||||
| Call Options–1.0% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 972,000,000 | | strike rate 4.50%, expires 12/19/08 | | | 20,549,246 | |||||||||
| Fannie Mae (OTC), | | | |||||||||||
| 165,000,000 | | strike price $106, expires 6/5/08 | | | 2 | |||||||||
| 290,000,000 | | strike price $109.19, expires 7/7/08 | | | 3 | |||||||||
| 50,000,000 | | strike price $111, expires 6/5/08 | | | — | |||||||||
| U.S. Dollar versus Japanese Yen (OTC), | | | |||||||||||
| 17,900,000 | | strike price $104, expires 3/17/10 | | | 617,282 | |||||||||
| U.S. Treasury Notes 2 yr. Futures (CBOT), | | | |||||||||||
| 17,402 | | strike price $113, expires 5/23/08 | | | 271,889 | |||||||||
| U.S. Treasury Notes 5 yr. Futures (CBOT), | | | |||||||||||
| 818 | | strike price $120, expires 5/23/08 | | | 6,390 | |||||||||
| 6,428 | | strike price $121, expires 5/23/08 | | | 50,216 | |||||||||
| 1,384 | | strike price $121.50, expires 5/23/08 | | | 10,812 | |||||||||
| 9,000 | | strike price $122, expires 5/23/08 | | | 70,308 | |||||||||
| 4,000 | | strike price $122.50, expires 5/23/08 | | | 31,248 | |||||||||
| 1,940 | | strike price $125, expires 5/23/08 | | | 15,155 | |||||||||
| | | 21,622,551 | |||||||||||
| Put Options–0.1% | | | |||||||||||
| Fannie Mae (OTC), | | | |||||||||||
| 261,000,000 | | strike price $80, expires 6/5/08 | | | 329 | |||||||||
| 177,000,000 | | strike price $80, expires 7/7/08 | | | 3,810 | |||||||||
| 261,000,000 | | strike price $81, expires 6/5/08 | | | 3 | |||||||||
| 895,900,000 | | strike price $86.38, expires 6/5/08 | | | 4,032 | |||||||||
| 195,000,000 | | strike price $87, expires 7/7/08 | | | 517 | |||||||||
| 368,000,000 | | strike price $92, expires 5/6/08 | | | 4 | |||||||||
| ||||||||||||||
46 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08
| Contracts/ Notional Amount | | | | Value | ||||||||||
| Put Options (continued) | | | |||||||||||
| $ | 17,000,000 | | strike price $92, expires 7/7/08 | | | $ | 293 | |||||||
| 28,000,000 | | strike price $94, expires 6/5/08 | | | 19 | |||||||||
| Freddie Mac (OTC), | | | |||||||||||
| 98,000,000 | | strike price $79, expires 6/5/08 | | | 1 | |||||||||
| 468,000,000 | | strike price $86, expires 5/6/08 | | | 4 | |||||||||
| 300,000,000 | | strike price $92, expires 5/6/08 | | | 3 | |||||||||
| Ginnie Mae (OTC), | | | |||||||||||
| 250,000,000 | | strike price $81.09, expires 6/12/08 | | | 362 | |||||||||
| 48,000,000 | | strike price $82, expires 6/12/08 | | | 56 | |||||||||
| 57,000,000 | | strike price $84, expires 6/12/08 | | | 1 | |||||||||
| 1,300,000,000 | | strike price $85, expires 6/12/08 | | | 4,277 | |||||||||
| 53,000,000 | | strike price $86, expires 7/14/08 | | | 2,309 | |||||||||
| 15,000,000 | | strike price $87, expires 6/12/08 | | | 8 | |||||||||
| 63,000,000 | | strike price $88, expires 7/14/08 | | | 9,001 | |||||||||
| 703,600,000 | | strike price $89, expires 6/12/08 | | | 5,734 | |||||||||
| 12,000,000 | | strike price $90, expires 6/12/08 | | | 513 | |||||||||
| U.S. Dollar versus Japanese Yen (OTC), | | | |||||||||||
| 17,900,000 | | strike price $104, expires 3/17/10 | | | 1,266,962 | |||||||||
| U.S. Treasury Bonds 30 yr. Futures (CBOT), | | | |||||||||||
| 556 | | strike price $88, expires 5/23/08 | | | 8,688 | |||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 1,581 | | strike price $88, expires 5/23/08 | | | 24,703 | |||||||||
| 2,760 | | strike price $98, expires 5/23/08 | | | 43,125 | |||||||||
| 3,650 | | strike price $100, expires 5/23/08 | | | 57,031 | |||||||||
| U.S. Treasury Notes 2 yr. Futures (CBOT), | | | |||||||||||
| 300,000,000 | | strike price $89, expires 6/6/08 | | | 39 | |||||||||
| | | 1,431,824 | |||||||||||
| Total Options Purchased (cost–$10,468,412) | | | 23,054,375 | ||||||||||
| Total Investments before options written | | | |||||||||||
| (cost–$10,578,415,931)–510.4% | | | 10,643,048,163 | ||||||||||
OPTIONS WRITTEN (j)–(0.8)% | ||||||||||||||
| Call Options–(0.8)% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 324,000,000 | | strike rate 5.00%, expires 12/19/08 | | | (16,499,797 | ) | ||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 100 | | strike price $118, expires 5/23/08 | | | (18,750 | ) | ||||||||
| | | (16,518,547 | ) | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series M Semi-Annual Report 47
| Contracts/ Notional Amount | | | | Value | ||||||||||
| Put Options–(0.0)% | | | |||||||||||
| 5-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| $ | 57,000,000 | | strike rate 5.10%, expires 3/16/09 | | | $ | (369,121 | ) | ||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 100 | | strike price $114, expires 5/23/08 | | | (26,562 | ) | ||||||||
| | | (395,683 | ) | ||||||||||
| Total Options Written (premiums received–$7,560,107) | | | (16,914,230 | ) | |||||||||
| | | ||||||||||||
| Total Investments net of options written | | 509.6% | | 10,626,133,933 | |||||||||
| Other liabilities in excess of other assets | | (409.6) | | (8,540,968,048 | ) | ||||||||
| Net Assets | | 100.0% | | $ | 2,085,165,885 | ||||||||
| ||||||||||||||
48 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
U.S. TREASURY BONDS & NOTES–111.7% | ||||||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes (l), | | | |||||||||||
| $ | 9,834 | | 0.875%, 4/15/10 | | | $ | 10,793,199 | |||||||
| 2,004 | | 1.625%, 1/15/15 (d) | | | 2,068,356 | |||||||||
| 23,385 | | 1.75%, 1/15/28 (d) | | | 22,363,472 | |||||||||
| 16,727 | | 1.875%, 7/15/13 (d) | | | 17,610,900 | |||||||||
| 10,310 | | 1.875%, 7/15/15 | | | 10,798,624 | |||||||||
| 20,370 | | 2.00%, 1/15/26 | | | 20,307,722 | |||||||||
| 8,382 | | 2.375%, 4/15/11 (d) | | | 8,870,964 | |||||||||
| 10,331 | | 2.375%, 1/15/17 (d) | | | 11,179,519 | |||||||||
| 23,203 | | 2.375%, 1/15/25 (d) | | | 24,486,348 | |||||||||
| 1,023 | | 2.625%, 7/15/17 (d) | | | 1,128,960 | |||||||||
| 4,321 | | 3.00%, 7/15/12 | | | 4,382,010 | |||||||||
| 12,255 | | 3.50%, 1/15/11 (d) | | | 13,351,150 | |||||||||
| 11,648 | | 3.625%, 4/15/28 | | | 14,616,840 | |||||||||
| 1,617 | | 3.875%, 4/15/29 (d) | | | 2,113,730 | |||||||||
| 14,579 | | 4.25%, 1/15/10 (d) | | | 15,664,476 | |||||||||
| Total U.S. Treasury Bonds & Notes (cost–$180,912,496) | | | 179,736,270 | ||||||||||
U.S. GOVERNMENT AGENCY SECURITIES–49.0% | ||||||||||||||
| Fannie Mae–45.6% | | | |||||||||||
| 577 | | 5.00%, 1/1/37, MBS | | Aaa/AAA | | 567,083 | ||||||||
| 196 | | 5.50%, 2/1/37, MBS | | Aaa/AAA | | 196,992 | ||||||||
| 19,671 | | 5.50%, 3/1/37, MBS | | Aaa/AAA | | 19,802,409 | ||||||||
| 697 | | 5.50%, 4/1/37, MBS | | Aaa/AAA | | 701,619 | ||||||||
| 27 | | 5.526%, 10/1/44, FRN, MBS | | Aaa/AAA | | 27,489 | ||||||||
| 726 | | 6.00%, 9/1/22, MBS | | Aaa/AAA | | 747,943 | ||||||||
| 48 | | 6.00%, 8/1/36, MBS | | Aaa/AAA | | 49,486 | ||||||||
| 497 | | 6.00%, 9/1/36, MBS | | Aaa/AAA | | 508,366 | ||||||||
| 11,606 | | 6.00%, 12/1/36, MBS | | Aaa/AAA | | 11,880,394 | ||||||||
| 7,596 | | 6.00%, 3/1/37, MBS | | Aaa/AAA | | 7,773,731 | ||||||||
| 3,617 | | 6.00%, 4/1/37, MBS | | Aaa/AAA | | 3,702,059 | ||||||||
| 674 | | 6.00%, 6/1/37, MBS | | Aaa/AAA | | 690,189 | ||||||||
| 10,146 | | 6.00%, 8/1/37, MBS | | Aaa/AAA | | 10,384,089 | ||||||||
| 15,915 | | 6.00%, 10/1/37, MBS | | Aaa/AAA | | 16,288,170 | ||||||||
| | | 73,320,019 | |||||||||||
| Freddie Mac–1.6% | | | |||||||||||
| 961 | | 2.946%, 2/15/19, CMO, FRN | | Aaa/AAA | | 942,061 | ||||||||
| 100 | | 5.00%, MBS, TBA (d) | | Aaa/AAA | | 98,266 | ||||||||
| 814 | | 6.709%, 9/1/36, FRN, MBS | | Aaa/AAA | | 833,625 | ||||||||
| 714 | | 6.732%, 7/1/36, FRN, MBS | | Aaa/AAA | | 731,402 | ||||||||
| | | 2,605,354 | |||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series R Semi-Annual Report 49
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Ginnie Mae–1.8% | | | |||||||||||
| $ | 505 | | 5.50%, 6/15/37, MBS | | Aaa/AAA | | $ | 512,367 | ||||||
| 60 | | 5.50%, 8/15/37, MBS | | Aaa/AAA | | 60,678 | ||||||||
| 7 | | 6.00%, 8/15/31, MBS | | Aaa/AAA | | 7,549 | ||||||||
| 582 | | 6.00%, 9/15/34, MBS | | Aaa/AAA | | 600,048 | ||||||||
| 662 | | 6.00%, 4/15/37, MBS | | Aaa/AAA | | 681,450 | ||||||||
| 363 | | 6.00%, 7/15/37, MBS | | Aaa/AAA | | 373,320 | ||||||||
| 131 | | 6.50%, 9/15/36, MBS | | Aaa/AAA | | 136,130 | ||||||||
| 253 | | 6.50%, 11/15/36, MBS | | Aaa/AAA | | 262,698 | ||||||||
| 260 | | 6.50%, 8/15/37, MBS | | Aaa/AAA | | 270,059 | ||||||||
| 69 | | 6.50%, 9/15/37, MBS | | Aaa/AAA | | 72,081 | ||||||||
| | | 2,976,380 | |||||||||||
| Total U.S. Government Agency Securities (cost–$77,417,712) | | | 78,901,753 | ||||||||||
| | | ||||||||||||
CORPORATE BONDS & NOTES–14.4% | ||||||||||||||
| Banking–5.0% | | | |||||||||||
| American Express Bank FSB, | | | |||||||||||
| 400 | | 5.50%, 4/16/13 (a)(c) | | Aa3/A+ | | 400,686 | ||||||||
| 300 | | 6.00%, 9/13/17 | | Aa3/A+ | | 302,379 | ||||||||
| 200 | | American Express Centurion Bank, 6.00%, 9/13/17 | | Aa3/A+ | | 201,586 | ||||||||
| 3,500 | | Bank of America Corp., 5.65%, 5/1/18 (d) | | Aa2/AA | | 3,481,275 | ||||||||
| Barclays Bank PLC, | | | |||||||||||
| 800 | | 5.45%, 9/12/12 | | Aa1/AA | | 816,549 | ||||||||
| 100 | | 7.434%, 12/15/17, FRN (a)(c)(h) | | Aa3/NR | | 96,086 | ||||||||
| 900 | | 7.70%, 4/25/18, FRN (a)(c)(h) | | Aa2/A+ | | 923,464 | ||||||||
| € 100 | | Royal Bank of Scotland Group PLC, 7.092%, 9/29/17, FRN (h) | | Aa3/A | | 150,469 | ||||||||
| $ | 1,400 | | UBS AG, 5.75%, 4/25/18 | | Aa1/AA− | | 1,401,516 | |||||||
| 300 | | Wachovia Bank N.A., 3.146%, 12/2/10, FRN | | Aa1/AA | | 285,867 | ||||||||
| | | 8,059,877 | |||||||||||
| Chemicals–0.6% | | | |||||||||||
| 1,000 | | RPM International, Inc., 6.50%, 2/15/18 | | Baa3/BBB− | | 998,101 | ||||||||
| Financial Services–7.2% | | | |||||||||||
| 500 | | Allstate Life Global Funding Trusts, 5.375%, 4/30/13 | | Aa2/AA | | 508,292 | ||||||||
| American Express Co., | | | |||||||||||
| 580 | | 7.00%, 3/19/18 | | A1/A+ | | 625,460 | ||||||||
| 170 | | 8.15%, 3/19/38 | | A1/A+ | | 198,622 | ||||||||
| 300 | | Bear Stearns Cos., Inc., 6.95%, 8/10/12 | | Baa1/A+ | | 315,040 | ||||||||
| 100 | | C10 Capital SPV Ltd., 6.722%, 12/31/16, FRN (a)(c)(h) | | NR/BBB− | | 89,702 | ||||||||
| 600 | | Citigroup Funding, Inc., 2.701%, 12/28/09, FRN | | Aa3/AA− | | 588,010 | ||||||||
| 1,200 | | Citigroup, Inc., 8.40%, 4/30/18, FRN (h) | | A2/A | | 1,215,996 | ||||||||
| 800 | | Ford Motor Credit Co. LLC, 7.875%, 6/15/10 | | B1/B | | 761,647 | ||||||||
| 700 | | General Motors Acceptance Corp. LLC, 6.875%, 9/15/11 | | B2/B | | 583,658 | ||||||||
| ||||||||||||||
50 Fixed Income SHares—Series R Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Financial Services (continued) | | | |||||||||||
| Goldman Sachs Group, Inc., | | | |||||||||||
| $ | 500 | | 6.15%, 4/1/18 | | Aa3/AA− | | $ | 507,081 | ||||||
| 700 | | 6.75%, 10/1/37 | | A1/A+ | | 688,956 | ||||||||
| 100 | | Lehman Brothers Holdings, Inc., 6.20%, 9/26/14 | | A1/A+ | | 100,805 | ||||||||
| 350 | | Longpoint Re Ltd., 8.05%, 5/8/10, FRN (a)(c) | | NR/BB+ | | 351,995 | ||||||||
| 400 | | Merna Reinsurance Ltd., 3.346%, 7/7/10, FRN (a) | | Aa2/NR | | 370,600 | ||||||||
| 2,100 | | Merrill Lynch & Co., Inc., 6.875%, 4/25/18 | | A1/A+ | | 2,122,445 | ||||||||
| 600 | | Rockies Express Pipeline LLC, 4.25%, 8/20/09, FRN (a)(c) | | Baa2/BBB | | 600,352 | ||||||||
| 2,000 | | Wachovia Corp., 5.50%, 5/1/13 | | Aa3/AA− | | 2,008,182 | ||||||||
| | | 11,636,843 | |||||||||||
| Insurance–0.5% | | | |||||||||||
| 300 | | Metropolitan Life Global Funding I, 5.125%, 4/10/13 (a)(c) | | Aa2/AA | | 300,434 | ||||||||
| 200 | | Pacific Life Global Funding, 5.15%, 4/15/13 (a)(c) | | Aa3/AA | | 200,495 | ||||||||
| 300 | | Residential Reins Ltd., 10.326%, 6/7/10, FRN (a)(c) | | NR/BB | | 304,220 | ||||||||
| | | 805,149 | |||||||||||
| Oil & Gas–0.2% | | | |||||||||||
| 200 | | Gaz Capital S.A., 8.146%, 4/11/18 (a)(c) | | A3/BBB | | 213,250 | ||||||||
| Paper/Paper Products–0.3% | | | |||||||||||
| 500 | | Weyerhaeuser Co., 3.599%, 9/24/09, FRN | | Baa2/BBB | | 490,842 | ||||||||
| Retail–0.1% | | | |||||||||||
| 200 | | Wal-Mart Stores, Inc., 5.80%, 2/15/18 | | Aa2/AA | | 213,183 | ||||||||
| Technology–0.4% | | | |||||||||||
| 600 | | Oracle Corp., 5.75%, 4/15/18 | | A2/A | | 612,488 | ||||||||
| Utilities–0.1% | | | |||||||||||
| 200 | | Public Service Electric & Gas Co., 5.30%, 5/1/18 | | A3/A− | | 200,244 | ||||||||
| Total Corporate Bonds & Notes (cost–$23,093,716) | | | 23,229,977 | ||||||||||
SOVEREIGN DEBT OBLIGATIONS (l)–3.1% | ||||||||||||||
| Japan–2.8% | | | |||||||||||
| Japanese Government CPI Linked Bond, | | | |||||||||||
| ¥412,050 | | 0.80%, 12/10/15 | | A1/AA | | 3,834,092 | ||||||||
| ¥ 60,480 | | 1.20%, 6/10/17 | | A1/NR | | 573,333 | ||||||||
| | | 4,407,425 | |||||||||||
| United Kingdom–0.3% | | | |||||||||||
| £ | 100 | | United Kingdom Gilt Inflation Linked, 2.50%, 5/20/09 | | Aaa/AAA | | 532,213 | |||||||
| Total Sovereign Debt Obligations (cost–$4,581,160) | | | 4,939,638 | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series R Semi-Annual Report 51
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
MORTGAGE-BACKED SECURITIES–2.9% | ||||||||||||||
| Bear Stearns Adjustable Rate Mortgage Trust, CMO, FRN, | | | |||||||||||
| $ | 405 | | 4.125%, 3/25/35 | | Aaa/AAA | | $ | 387,756 | ||||||
| 230 | | 4.55%, 8/25/35 | | Aaa/AAA | | 221,250 | ||||||||
| Citigroup Mortgage Loan Trust, Inc., CMO, FRN, | | | |||||||||||
| 150 | | 4.248%, 8/25/35 | | Aaa/AAA | | 142,213 | ||||||||
| 100 | | 4.748%, 8/25/35 | | Aaa/AAA | | 95,415 | ||||||||
| 55 | | Countrywide Home Loan Mortgage Pass-Through Trust, | | | ||||||||||
| 3.235%, 6/25/35, CMO, FRN (a)(c) | | Aaa/AAA | | 48,069 | |||||||||
| 284 | | GSR Mortgage Loan Trust, 4.539%, 9/25/35, CMO, FRN | | NR/AAA | | 266,034 | ||||||||
| 3,100 | | LB-UBS Commercial Mortgage Trust, 5.424%, 2/15/40, CMO | | NR/AAA | | 3,015,752 | ||||||||
| 40 | | Lehman XS Trust, 2.975%, 7/25/46, CMO, FRN | | Aaa/AAA | | 39,092 | ||||||||
| 625 | | Residential Accredit Loans, Inc., 3.075%, 6/25/46, CMO, FRN | | Aaa/AAA | | 516,291 | ||||||||
| Total Mortgage-Backed Securities (cost–$4,625,895) | | | 4,731,872 | ||||||||||
MUNICIPAL BONDS–1.2% | ||||||||||||||
| California–0.4% | | | |||||||||||
| 600 | | State, GO, 5.00%, 11/1/37 | | A1/A+ | | 597,246 | ||||||||
| New York–0.1% | | | |||||||||||
| 100 | | New York City Municipal Water Finance Auth., | | | ||||||||||
| Water & Sewer System Rev., 4.75%, 6/15/38, Ser. D | | Aa2/AA+ | | 99,203 | |||||||||
| Washington–0.6% | | | |||||||||||
| 1,000 | | Pierce Cnty. School Dist. No. 10, GO, 5.00%, 12/1/23, Ser. A (FSA) | | Aaa/AAA | | 1,045,460 | ||||||||
| West Virginia–0.1% | | | |||||||||||
| 100 | | Tobacco Settlement Finance Auth. Rev., 7.467%, 6/1/47, Ser. A | | Baa3/BBB | | 93,752 | ||||||||
| Total Municipal Bonds (cost–$1,768,168) | | | 1,835,661 | ||||||||||
ASSET-BACKED SECURITIES–0.3% | ||||||||||||||
| 569 | | Bear Stearns Asset Backed Securities Trust, | | | ||||||||||
| 3.895%, 10/25/37, FRN (cost–$568,586) | | Aaa/AAA | | 521,860 | |||||||||
CONVERTIBLE PREFERRED STOCK–0.2% | ||||||||||||||
| Shares | | | | |||||||||||
| Banking–0.2% | | | |||||||||||
| 200 | | Wachovia Corp., 7.50% (cost–$200,000) | | A2/A | | 233,911 | ||||||||
SHORT-TERM INVESTMENTS–5.0% | ||||||||||||||
| Principal Amount (000) | | | | |||||||||||
| U.S. Treasury Bills (i)–2.9% | | | |||||||||||
| $ | 4,750 | | 1.22%-1.41%, 6/12/08-6/26/08 (cost–$4,741,891) | | | 4,741,891 | ||||||||
| ||||||||||||||
52 Fixed Income SHares—Series R Semi-Annual Report | 4.30.08
| | | | | | | | | | | | | | |
| Principal Amount (000) | | | Credit Rating (Moody’s/S&P) | | Value | |||||||||
| Corporate Notes–1.3% | | | |||||||||||
| Banking–0.6% | | | |||||||||||
| $ | 600 | | Bank of America NA, 3.089%, 2/27/09, FRN | | Aaa/AA+ | | $ | 598,331 | ||||||
| 100 | | Rabobank Nederland NV, 2.733%, 1/15/09, FRN (a)(c) | | Aaa/AAA | | 99,898 | ||||||||
| 200 | | Unicredit Luxembourg Finance S.A., 2.97%, 10/24/08, FRN (a)(c) | | Aa2/A+ | | 199,812 | ||||||||
| | | 898,041 | |||||||||||
| Financial Services–0.7% | | | |||||||||||
| 1,100 | | Abbey National Treasury Services PLC, 3.069%, 7/2/08, VRN | | NR/NR | | 1,097,881 | ||||||||
| 100 | | General Electric Capital Corp., 2.941%, 12/12/08, FRN | | Aaa/AAA | | 99,807 | ||||||||
| | | 1,197,688 | |||||||||||
| Total Corporate Notes (cost–$2,099,944) | | | 2,095,729 | ||||||||||
| Repurchase Agreement–0.8% | | | |||||||||||
| 1,261 | | State Street Bank & Trust Co., dated 4/30/08, 1.70%, due | | | ||||||||||
| 5/1/08, proceeds $1,261,060; collateralized by Federal Home | | | |||||||||||
| Loan Bank, 2.875%, due 7/8/08, valued at $1,287,750 including | | | |||||||||||
| accrued interest (cost–$1,261,000) | | | 1,261,000 | ||||||||||
| Total Short-Term Investments (cost–$8,102,835) | | | 8,098,620 | ||||||||||
OPTIONS PURCHASED (j)–1.4% | ||||||||||||||
| Contracts/ Notional Amount | | | | |||||||||||
| Call Options–1.3% | | | |||||||||||
| Euro versus U.S. Dollar (OTC), | | | |||||||||||
| 600,000 | | strike price $1.39, expires 7/8/10 | | | 95,976 | |||||||||
| U.S. Treasury Bonds 30 yr. Futures (CBOT), | | | |||||||||||
| 178 | | strike price $134, expires 5/23/08 | | | 2,781 | |||||||||
| 100 | | strike price $141, expires 5/23/08 | | | 1,563 | |||||||||
| 95 | | strike price $142, expires 5/23/08 | | | 1,485 | |||||||||
| U. S. Treasury Inflation Index Bonds (OTC), | | | |||||||||||
| 20,000,000 | | strike price $118, expires 5/1/08 | | | — | |||||||||
| 18,000,000 | | strike price $119, expires 7/23/08 | | | 42,388 | |||||||||
| 10,000,000 | | strike price $119.50, expires 5/1/08 | | | — | |||||||||
| U.S. Treasury Notes 2 yr. Futures (CBOT), | | | |||||||||||
| 245,400,000 | | strike price $3.50, expires 2/2/09 | | | 2,024,157 | |||||||||
| 60 | | strike price $110, expires 5/23/08 | | | 938 | |||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 22 | | strike price $138, expires 5/23/08 | | | 344 | |||||||||
| 74 | | strike price $149, expires 5/23/08 | | | 1,156 | |||||||||
| | | 2,170,788 | |||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series R Semi-Annual Report 53
| Contracts/ Notional Amount | | | | Value | ||||||||||
| Put Options–0.1% | | | |||||||||||
| Euro versus U.S. Dollar (OTC), | | | |||||||||||
| $ | 600,000 | | strike price $1.39, expires 7/8/10 | | | $ | 21,232 | |||||||
| Fannie Mae (OTC), | | | |||||||||||
| 18,700,000 | | strike price $86.38, expires 6/5/08 | | | 84 | |||||||||
| United Kingdom–90 day (CME), | | | |||||||||||
| 109 | | strike price $92.50, expires 6/18/08 | | | — | |||||||||
| U.S. Treasury Inflation Index Bonds (OTC), | | | |||||||||||
| 20,000,000 | | strike price $86.50, expires 5/14/08 | | | 4 | |||||||||
| 11,000,000 | | strike price $92.50, expires 7/15/08 | | | 482 | |||||||||
| 10,000,000 | | strike price $93.50, expires 6/27/08 | | | 2 | |||||||||
| 7,000,000 | | strike price $93.50, expires 7/15/08 | | | 14 | |||||||||
| 16,700,000 | | strike price $93.50, expires 7/25/08 | | | 9,056 | |||||||||
| 25,000,000 | | strike price $97, expires 5/14/08 | | | 204 | |||||||||
| 7,000,000 | | strike price $100, expires 7/11/08 | | | 2,774 | |||||||||
| 12,000,000 | | strike price $103, expires 7/11/08 | | | 68,509 | |||||||||
| 12,000,000 | | strike price $103.50, expires 7/15/08 | | | 84,939 | |||||||||
| 1,500,000 | | strike price $119, expires 5/14/08 | | | 31 | |||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 56 | | strike price $87, expires 5/23/08 | | | 875 | |||||||||
| 450 | | strike price $91, expires 5/23/08 | | | 7,031 | |||||||||
| 144 | | strike price $95, expires 5/23/08 | | | 2,250 | |||||||||
| 178 | | strike price $98, expires 5/23/08 | | | 2,781 | |||||||||
| 150 | | strike price $108, expires 5/23/08 | | | 2,344 | |||||||||
| | | 202,612 | |||||||||||
| Total Options Purchased (cost–$2,820,316) | | | 2,373,400 | ||||||||||
| Total Investments before options written | | | |||||||||||
| (cost–$304,090,884)–189.2% | | | 304,602,962 | ||||||||||
OPTIONS WRITTEN (j)–(1.9)% | ||||||||||||||
| Call Options–(1.8)% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| 2,000,000 | | strike rate 5.37%, expires 9/20/10 | | | (112,700 | ) | ||||||||
| U.S. Treasury Bonds 30 yr. Futures (CBOT), | | | |||||||||||
| 27 | | strike price $120, expires 8/22/08 | | | (35,016 | ) | ||||||||
| U.S. Treasury Notes 5 yr. Futures (CBOT), | | | |||||||||||
| 106,700,000 | | strike price $4.30, expires 2/2/09 | | | (2,678,853 | ) | ||||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 28 | | strike price $116, expires 8/22/08 | | | (35,000 | ) | ||||||||
| 148 | | strike price $117, expires 5/23/08 | | | (57,812 | ) | ||||||||
| 129 | | strike price $118, expires 5/23/08 | | | (24,187 | ) | ||||||||
| 92 | | strike price $119, expires 5/23/08 | | | (8,625 | ) | ||||||||
| | | (2,952,193 | ) | ||||||||||
| ||||||||||||||
54 Fixed Income SHares—Series R Semi-Annual Report | 4.30.08
| Contracts/ Notional Amount | | | | Value | ||||||||||
| Put Options–(0.1)% | | | |||||||||||
| 2-Year Interest Rate Swap (OTC), | | | |||||||||||
| Pay 3-Month USD-LIBOR Floating Rate Index, | | | |||||||||||
| $ | 2,000,000 | | strike rate 5.37%, expires 9/20/10 | | | $ | (46,382 | ) | ||||||
| U.S. Treasury Notes 10 yr. Futures (CBOT), | | | |||||||||||
| 34 | | strike price $112, expires 5/23/08 | | | (2,125 | ) | ||||||||
| 28 | | strike price $112, expires 8/22/08 | | | (27,563 | ) | ||||||||
| 148 | | strike price $113, expires 5/23/08 | | | (18,500 | ) | ||||||||
| 128 | | strike price $114, expires 5/23/08 | | | (34,000 | ) | ||||||||
| | | (128,570 | ) | ||||||||||
| Total Options Written (premiums received–$3,806,274) | | | (3,080,763 | ) | |||||||||
| Total Investments net of options written (cost–$300,284,610) | | 187.3% | | 301,522,199 | |||||||||
| Liabilities in excess of other assets | | (87.3) | | (140,563,162 | ) | ||||||||
| Net Assets | | 100.0% | | $ | 160,959,037 | ||||||||
| ||||||||||||||
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series R Semi-Annual Report 55
| |
| |
|
Notes to Schedules of Investments:
| | |
| (a) | Private Placement–Restricted as to resale and may not have a readily available market. Securities with an aggregate value of $492,288,746, representing 22.98% of total net assets for Series C; securities with an aggregate value of $65,757,160, representing 3.15% of total net assets for Series M; securities with an aggregate value of $4,199,063, representing 2.61% of total net assets for Series R. |
| | |
| (b) | These securities generally pay interest at rates which are periodically pre-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the ‘‘LIBOR’’ or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. These securities are generally considered to be restricted as the Portfolio is ordinarily contractually obligated to receive approval from the agent bank and/or borrower prior to disposition. Remaining maturities of senior loans may be less than the stated maturities shown as a result of contractual or optional payments by the borrower. Such prepayments cannot be predicted with certainty. The interest rate disclosed reflects the rate in effect on April 30, 2008. |
| | |
| (c) | 144A Security–Security exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
| | |
| (d) | When-issued or delayed-delivery security. To be settled/delivered after April 30, 2008. |
| | |
| (e) | Security in default. |
| | |
| (f) | Fair-valued security–Securities with an aggregate value of $57,081,252 representing 2.66% of net assets and securities with an aggregate value of $1,944,924 representing 0.09% of net assets, have been fair valued in Series C and Series M, respectively. |
| | |
| (g) | Principal amount less than $500. |
| | |
| (h) | Perpetual maturity security. Maturity date shown is the first call date. Interest rate is fixed until the first call date and variable thereafter. |
| | |
| (i) | All or partial amount segregated as collateral for swaps. |
| | |
| (j) | Non-income producing. |
| | |
| (k) | All or partial amount segregated as collateral for reverse repurchase agreements. |
| | |
| (l) | Inflationary Bonds–Principal amount of security is adjusted for inflation. |
| | |
| (m) | Subject to Alternative Minimum Tax. |
| |
| |
|
Glossary:
| |
| € – Euro |
| |
| £ – British Pound |
| |
| ¥ – Japanese Yen |
| |
| BRL – Brazilian Real |
| |
| CAD – Canadian Dollar |
| |
| CBOT – Chicago Board of Trade |
| |
| CME – Chicago Mercantile Exchange |
| |
| CMO – Collateralized Mortgage Obligation |
| |
| FGIC – insured by Financial Guaranty Insurance Co. |
| |
| FRN – Floating Rate Note. The interest rate disclosed reflects the rate in effect on April 30, 2008. |
| |
| FSA – insured by Financial Security Assurance, Inc. |
| |
| GO – General Obligation Bond |
| |
| IO – Interest Only |
| |
| LIBOR – London Inter-bank Offered Rate |
| |
| MBS – Mortgage-Backed Securities |
| |
| NR – Not Rated |
56 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
| |
| |
|
| |
| OAT – Obligations Assimilables du Trésor |
| |
| OTC – Over-the-Counter |
| |
| Q-SBLF – Qualified School Bond Loan Fund |
| |
| TBA – To Be Announced |
| |
| VRN – Variable Rate Note. Instruments whose interest rates change on specified date (such as a coupon date or interest payment date) and/or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). The interest rate disclosed reflects the rate in effect on April 30, 2008. |
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 57
| | | | | | | | | | | | | | | | | | |
| Series C | | Series H | | Series M | | Series R | |||||||||||
| Assets: | | | | | ||||||||||||||
| Investments, at value (cost–$2,618,626,705, $2,816,164, $10,578,415,931 and $304,090,884, respectively) | | $ | 2,585,954,819 | | $ | 2,529,555 | | $ | 10,643,048,163 | | $ | 304,602,962 | ||||||
| Cash (including foreign currency for Series C, Series M and Series R with a value and cost of $12,831,572 and $12,860,796, $80,541 and $80,807 and $892,778 and $898,791, respectively) | | 13,000,670 | | 292 | | 6,425,311 | | 576,802 | ||||||||||
| Receivable for investments sold | | 1,075,468,305 | | — | | 4,392,069,510 | | 92,366,187 | ||||||||||
| Premiums for swaps purchased | | 98,740,388 | | — | | 6,584,777 | | 241,657 | ||||||||||
| Deposits with brokers for futures contracts collateral | | 60,965,000 | | 50,000 | | 58,520,000 | | 4,470,300 | ||||||||||
| Interest and dividend receivable | | 34,726,283 | | 49,389 | | 48,112,767 | | 1,910,196 | ||||||||||
| Unrealized appreciation of forward foreign currency contracts | | 29,098,218 | | — | | 415,704 | | 968,297 | ||||||||||
| Unrealized appreciation of swaps | | 17,365,200 | | — | | 18,885,048 | | 1,508,883 | ||||||||||
| Receivable for shares of beneficial interest sold | | 4,907,182 | | — | | 6,053,530 | | 1,195,739 | ||||||||||
| Receivable for variation margin on futures contracts | | 3,818,752 | | — | | — | | 24,694 | ||||||||||
| Receivable for terminated swaps | | 707,735 | | — | | 1,979,911 | | — | ||||||||||
| Other assets | | 8,222 | | — | | — | | 220 | ||||||||||
| Total Assets | | 3,924,760,774 | | 2,629,236 | | 15,182,094,721 | | 407,865,937 | ||||||||||
| Liabilities: | | | | | ||||||||||||||
| Payable for investments purchased | | 1,235,703,520 | | — | | 4,576,223,374 | | 158,868,030 | ||||||||||
| Securities sold short, at value (proceeds of $419,754,652, $0, $1,980,425,384 and $77,641,972 respectively) | | 423,279,596 | | — | | 1,990,459,716 | | 77,895,877 | ||||||||||
| Unrealized depreciation of swaps | | 79,854,374 | | — | | 30,966,287 | | 1,383,567 | ||||||||||
| Premium for swaps sold | | 16,560,372 | | — | | 33,936,357 | | 3,762,548 | ||||||||||
| Options written, at value (premiums received−$9,998,076, $0, $7,560,107, and $3,806,274, respectively) | | 12,275,038 | | — | | 16,914,230 | | 3,080,763 | ||||||||||
| Dividends payable | | 9,395,623 | | 12,897 | | 25,753,119 | | 686,487 | ||||||||||
| Unrealized depreciation of forward foreign currency contracts | | 4,273,711 | | — | | 160,202 | | 379,906 | ||||||||||
| Payable for shares of beneficial interest redeemed | | 659,691 | | — | | 745,814 | | 333,681 | ||||||||||
| Interest payable on short positions | | 634,911 | | — | | 123,067 | | 500,948 | ||||||||||
| Unrealized depreciation on unfunded loan commitments | | 15,841 | | — | | — | | — | ||||||||||
| Payable for variation margin on futures contracts | | — | | 1,562 | | 10,177,248 | | 15,093 | ||||||||||
| Payable for reverse repurchase agreements | | — | | — | | 6,405,095,000 | | — | ||||||||||
| Interest payable for reverse repurchase agreements | | — | | — | | 6,374,422 | | — | ||||||||||
| Total Liabilities | | 1,782,652,677 | | 14,459 | | 13,096,928,836 | | 246,906,900 | ||||||||||
| Net Assets | | $ | 2,142,108,097 | | $ | 2,614,777 | | $ | 2,085,165,885 | | $ | 160,959,037 | ||||||
| Net Assets Consist of: | | | | | ||||||||||||||
| Shares of beneficial interest of $0.001 par value (unlimited number authorized) | | $ | 164,911 | | $ | 300 | | $ | 184,608 | | $ | 14,716 | ||||||
| Paid-in-capital in excess of par | | $ | 1,907,885,095 | | $ | 2,999,700 | | $ | 2,078,196,379 | | $ | 155,455,833 | ||||||
| Dividends in excess of net investment income | | (15,053,787 | ) | | — | | (2,148,401) | | (399,274 | ) | ||||||||
| Accumulated net realized gain (loss) | | 328,044,964 | | (94,114) | | (75,725,934) | | 3,964,352 | ||||||||||
| Net unrealized appreciation (depreciation) of investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions | | (78,933,086 | ) | | (291,109) | | 84,659,233 | | 1,923,410 | |||||||||
| Net Assets | | $ | 2,142,108,097 | | $ | 2,614,777 | | $ | 2,085,165,885 | | $ | 160,959,037 | ||||||
| Shares Outstanding | | 164,911,030 | | 300,000 | | 184,607,566 | | 14,716,379 | ||||||||||
| Net Asset Value, Offering Price and Redemption Price Per Share | | $ | 12.99 | | $ | 8.72 | | $ | 11.30 | | $ | 10.94 | ||||||
| ||||||||||||||||||
58 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | | | | | |
| Series C | | Series H | | Series M | | Series R | |||||||||||
| Investment Income: | | | | | ||||||||||||||
| Interest | | $ | 60,681,547 | | $ | 78,308 | | $ | 165,380,651 | | $ | 3,582,670 | ||||||
| Facility and other fee income | | 402,516 | | — | | 76 | | 101 | ||||||||||
| Dividends | | 33,314 | | — | | 274,896 | | — | ||||||||||
| Total Investment Income | | 61,117,377 | | 78,308 | | 165,655,623 | | 3,582,771 | ||||||||||
| Expenses: | | | | | ||||||||||||||
| Interest expense | | — | | — | | 75,434,396 | | — | ||||||||||
| Net Investment Income | | 61,117,377 | | 78,308 | | 90,221,227 | | 3,582,771 | ||||||||||
| Realized and Change In Unrealized Gain (Loss): | | | | | ||||||||||||||
| Net realized gain (loss) on: | | | | | ||||||||||||||
| Investments | | 7,157,544 | | (32,991 | ) | | 100,761,404 | | 9,177,559 | |||||||||
| Futures contracts | | 171,036,328 | | (25,343 | ) | | (126,959,204 | ) | | 1,881,759 | ||||||||
| Options written | | (5,376,442 | ) | | — | | (8,229,142 | ) | | 86,807 | ||||||||
| Swaps | | 205,229,821 | | — | | 16,269,935 | | 318,251 | ||||||||||
| Foreign currency transactions | | (9,994,236 | ) | | — | | (219,047 | ) | | (303,716 | ) | |||||||
| Net change in unrealized appreciation/depreciation of: | | | | | ||||||||||||||
| Investments | | (29,535,855 | ) | | (212,093 | ) | | 14,185,018 | | (2,234,720 | ) | |||||||
| Futures contracts | | (62,798,075 | ) | | 1,077 | | 60,173,334 | | (454,890 | ) | ||||||||
| Options written | | (5,257,504 | ) | | — | | (10,733,937 | ) | | 761,703 | ||||||||
| Swaps | | (104,023,906 | ) | | — | | (40,153,414 | ) | | 150,497 | ||||||||
| Unfunded loan commitments | | (46,029 | ) | | — | | — | | — | |||||||||
| Foreign currency transactions | | 6,433,706 | | — | | 1,008,824 | | 212,825 | ||||||||||
| Net realized and change in unrealized gain (loss) on investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions | | 172,825,352 | | (269,350 | ) | | 6,103,771 | | 9,596,075 | |||||||||
| Net Increase (Decrease) in Net Assets Resulting from Investment Operations | | $ | 233,942,729 | | $ | (191,042 | ) | | $ | 96,324,998 | | $ | 13,178,846 | |||||
| ||||||||||||||||||
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 59
| | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, 2007 | |||||||
| Investment Operations: | | | ||||||||
| Net investment income | | $ | 61,117,377 | | $ | 91,879,866 | ||||
| Net realized gain (loss) on investments, futures contracts, options written, swaps and foreign currency transactions | | 368,053,015 | | (33,154,827 | ) | |||||
| Net change in unrealized appreciation/depreciation of investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions | | (195,227,663 | ) | | 106,475,793 | |||||
| Net increase in net assets resulting from investment operations | | 233,942,729 | | 165,200,832 | ||||||
| Dividends and Distributions to Shareholders from: | | | ||||||||
| Net investment income | | (62,633,842 | ) | | (80,510,904 | ) | ||||
| Net realized gains | | (25,425,077 | ) | | (31,371,385 | ) | ||||
| Total dividends and distributions to shareholders | | (88,058,919 | ) | | (111,882,289 | ) | ||||
| Capital Share Transactions: | | | ||||||||
| Net proceeds from the sale of shares | | 364,234,670 | | 683,117,118 | ||||||
| Cost of shares redeemed | | (254,234,985 | ) | | (299,786,265 | ) | ||||
| Net increase in net assets from capital share transactions | | 109,999,685 | | 383,330,853 | ||||||
| Total increase in net assets | | 255,883,495 | | 436,649,396 | ||||||
| Net Assets: | | | ||||||||
| Beginning of period | | 1,886,224,602 | | 1,449,575,206 | ||||||
| End of period (including dividends in excess of net investment income of ($15,053,787) and ($13,537,322), respectively) | | $ | 2,142,108,097 | | $ | 1,886,224,602 | ||||
| Shares Issued and Redeemed: | | | ||||||||
| Issued | | 27,715,894 | | 59,522,262 | ||||||
| Redeemed | | (19,311,299 | ) | | (26,079,666 | ) | ||||
| Net Increase | | 8,404,595 | | 33,442,596 | ||||||
| ||||||||||
60 Fixed Income SHares—Series C Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | For the period April 2, 2007* through October 31, 2007 | |||||||
| Investment Operations: | | | ||||||||
| Net investment income | | $ | 78,308 | | $ | 85,729 | ||||
| Net realized loss on investments and futures contracts | | (58,334 | ) | | (35,780 | ) | ||||
| Net change in unrealized appreciation/depreciation of investments and futures contracts | | (211,016 | ) | | (80,093 | ) | ||||
| Net decrease in net assets resulting from investment operations | | (191,042 | ) | | (30,144 | ) | ||||
| Dividends to Shareholders from net investment income | | (78,308 | ) | | (85,729 | ) | ||||
| Capital Share Transactions: | | | ||||||||
| Net proceeds from the sale of shares | | — | | 3,000,000 | ||||||
| Total increase (decrease) in net assets | | (269,350 | ) | | 2,884,127 | |||||
| Net Assets: | | | ||||||||
| Beginning of period | | 2,884,127 | | — | ||||||
| End of period | | $ | 2,614,777 | | $ | 2,884,127 | ||||
| Shares Issued and Redeemed: | | | ||||||||
| Issued | | — | | 300,000 | ||||||
| Redeemed | | — | | — | ||||||
| Net Increase | | — | | 300,000 | ||||||
| ||||||||||
| |
| * | Commencement of operations. |
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series H Semi-Annual Report 61
| | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, 2007 | |||||||
| Investment Operations: | | | ||||||||
| Net investment income | | $ | 90,221,227 | | $ | 97,103,124 | ||||
| Net realized loss on investments, futures contracts, options written, swaps and foreign currency transactions | | (18,376,054 | ) | | (49,780,821 | ) | ||||
| Net change in unrealized appreciation/depreciation of investments, futures contracts, options written, swaps and foreign currency transactions | | 24,479,825 | | 40,920,619 | ||||||
| Net increase in net assets resulting from investment operations | | 96,324,998 | | 88,242,922 | ||||||
| Dividends to Shareholders from Net investment income | | (95,576,385 | ) | | (95,090,473 | ) | ||||
| Capital Share Transactions: | | | ||||||||
| Net proceeds from the sale of shares | | 445,283,989 | | 666,159,963 | ||||||
| Cost of shares redeemed | | (179,890,674 | ) | | (294,433,112 | ) | ||||
| Net increase in net assets from capital share transactions | | 265,393,315 | | 371,726,851 | ||||||
| Total increase in net assets | | 266,141,928 | | 364,879,300 | ||||||
| Net Assets: | | | ||||||||
| Beginning of period | | 1,819,023,957 | | 1,454,144,657 | ||||||
| End of period (including undistributed (dividends in excess of) net investment income of $(2,148,401) and $3,206,757, respectively) | | $ | 2,085,165,885 | | $ | 1,819,023,957 | ||||
| Shares Issued and Redeemed: | | | ||||||||
| Issued | | 39,886,235 | | 59,108,083 | ||||||
| Redeemed | | (16,063,959 | ) | | (26,152,998 | ) | ||||
| Net Increase | | 23,822,276 | | 32,955,085 | ||||||
| ||||||||||
62 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, 2007 | |||||||
| Investment Operations: | | | ||||||||
| Net investment income | | $ | 3,582,771 | | $ | 5,563,708 | ||||
| Net realized gain (loss) on investments, futures contracts, options written, swaps and foreign currency transactions | | 11,160,660 | | (4,537,097 | ) | |||||
| Net change in unrealized appreciation/depreciation of investments, futures contracts, options written, swaps and foreign currency transactions | | (1,564,585 | ) | | 8,264,963 | |||||
| Net increase in net assets resulting from investment operations | | 13,178,846 | | 9,291,574 | ||||||
| Dividends to Shareholders from Net investment income | | (4,182,182 | ) | | (5,622,968 | ) | ||||
| Capital Share Transactions: | | | ||||||||
| Net proceeds from the sale of shares | | 46,137,483 | | 57,993,142 | ||||||
| Cost of shares redeemed | | (17,193,271 | ) | | (93,436,266 | ) | ||||
| Net increase (decrease) in net assets from capital share transactions | | 28,944,212 | | (35,443,124 | ) | |||||
| Total increase (decrease) in net assets | | 37,940,876 | | (31,774,518 | ) | |||||
| Net Assets: | | | ||||||||
| Beginning of period | | 123,018,161 | | 154,792,679 | ||||||
| End of period (including undistributed (dividends in excess of) net investment income of $(399,274) and $200,137, respectively) | | $ | 160,959,037 | | $ | 123,018,161 | ||||
| Shares Issued and Redeemed: | | | ||||||||
| Issued | | 4,240,236 | | 5,876,195 | ||||||
| Redeemed | | (1,576,579 | ) | | (9,465,341 | ) | ||||
| Net Increase (Decrease) | | 2,663,657 | | (3,589,146 | ) | |||||
| ||||||||||
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series R Semi-Annual Report 63
| | | | | | |
| Cash Flows used for Operating Activities: | | |||||
| Purchases of long-term investments | | $ | (36,933,268,219 | ) | ||
| Proceeds from sales of long-term investments | | 30,858,689,233 | ||||
| Increase in proceeds for short sale | | 1,942,425,071 | ||||
| Increase in deposits with brokers for futures collateral | | (58,520,000 | ) | |||
| Interest, dividends and facility and other fee income received | | 138,413,752 | ||||
| Net cash received for swap transactions | | 35,033,494 | ||||
| Operating expenses paid | | (75,533,896 | ) | |||
| Net cash used for written options | | (13,522,857 | ) | |||
| Net cash used for futures transactions | | (44,469,305 | ) | |||
| Net Realized loss on foreign currency transactions | | (219,418 | ) | |||
| Increase in payable for short sale interest | | 123,067 | ||||
| Net decrease in short-term investments | | (104,748,319 | ) | |||
| Net cash used for operating activities* | | (4,255,597,397 | ) | |||
| Cash Flows provided by Financing Activities: | | |||||
| Increase in reverse repurchase agreements | | 4,078,917,000 | ||||
| Cash dividends paid | | (95,576,385 | ) | |||
| Increase in dividends payable | | 14,655,161 | ||||
| Proceeds from shares of beneficial interest sold | | 263,746,844 | ||||
| Net cash provided by financing activities | | 4,261,742,620 | ||||
| Net increase in cash | | 6,145,223 | ||||
| Cash at beginning of period | | 280,088 | ||||
| Cash at end of period | | 6,425,311 | ||||
| Reconciliation of Net Increase in Net Assets Resulting from Investment Operations to Net Cash used for Operating Activities: | | |||||
| Net increase in net assets resulting from investment operations | | 96,324,998 | ||||
| Increase in payable for investments purchased | | 2,010,070,468 | ||||
| Increase in receivable for investments sold | | (3,807,001,882 | ) | |||
| Increase in deposits with brokers for futures collateral | | (58,520,000 | ) | |||
| Increase in interest receivable | | (26,732,036 | ) | |||
| Decrease in premium for swaps purchased | | 46,431,469 | ||||
| Increase in receivable for terminated swaps | | (1,979,911 | ) | |||
| Increase in premium for swaps sold | | (25,687,999 | ) | |||
| Increase in net payable for variation margin on futures contracts | | 22,316,565 | ||||
| Decrease in accrued expenses | | (99,500 | ) | |||
| Increase in payable on short sale interest | | 123,067 | ||||
| Decrease in net unrealized depreciation of swaps | | 40,153,414 | ||||
| Increase in net unrealized appreciation of forward foreign currency contracts | | (1,130,487 | ) | |||
| Increase in net unrealized depreciation on options written | | 10,733,936 | ||||
| Decrease in premium of options written | | (5,293,715 | ) | |||
| Net increase in short sales | | 1,952,180,808 | ||||
| Net increase in investments | | (4,507,486,592 | ) | |||
| Net cash used for by operating activities | | $ | (4,255,597,397 | ) | ||
| ||||||
| |
| * | Included in operating expenses is cash paid by Series M for interest on reverse repurchase agreements of $75,533,896. |
64 Fixed Income SHares—Series M Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, | |||||||||||||||||||||||
| Series C: | | 2007 | | 2006 | | 2005 | | 2004 | | 2003 | ||||||||||||||||
| Net asset value, beginning of period | | $12.05 | | $11.78 | | $11.64 | | $12.06 | | $11.62 | | $10.51 | ||||||||||||||
| Investment Operations: | | | | | | | ||||||||||||||||||||
| Net investment income | | 0.39 | | 0.63 | | 0.55 | | 0.48 | | 0.49 | | 0.71 | ||||||||||||||
| Net realized and change in unrealized gain on investments, futures contracts, options written, swaps, unfunded loan commitments and foreign currency transactions | | 0.94 | | 0.44 | | 0.31 | | 0.04 | | 0.64 | | 1.16 | ||||||||||||||
| Total from investment operations | | 1.33 | | 1.07 | | 0.86 | | 0.52 | | 1.13 | | 1.87 | ||||||||||||||
| Dividends and Distributions to Shareholders from: | | | | | | | ||||||||||||||||||||
| Net investment income | | (0.39 | ) | | (0.56 | ) | | (0.72 | ) | | (0.54 | ) | | (0.51 | ) | | (0.71 | ) | ||||||||
| Net realized gains | | — | | (0.24 | ) | | — | | (0.40 | ) | | (0.18 | ) | | (0.05 | ) | ||||||||||
| Total dividends and distributions to shareholders | | (0.39 | ) | | (0.80 | ) | | (0.72 | ) | | (0.94 | ) | | (0.69 | ) | | (0.76 | ) | ||||||||
| Net asset value, end of period | | $12.99 | | $12.05 | | $11.78 | | $11.64 | | $12.06 | | $11.62 | ||||||||||||||
| Total Investment Return (1) | | 12.57 | % | | 9.67 | % | | 7.69 | % | | 4.42 | % | | 10.14 | % | | 18.16 | % | ||||||||
| RATIOS/SUPPLEMENTAL DATA: | | | | | | | ||||||||||||||||||||
| Net assets, end of period (000’s) | | $2,142,108 | | $1,886,225 | | $1,449,575 | | $949,173 | | $575,175 | | $374,097 | ||||||||||||||
| Ratio of operating expenses to average net assets (2) | | 0.00 | %# | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | ||||||||
| Ratio of net investment income to average net assets (2) | | 5.86 | %# | | 5.60 | % | | 4.89 | % | | 4.08 | % | | 4.16 | % | | 6.11 | % | ||||||||
| Portfolio turnover | | 399 | % | | 750 | % | | 560 | % | | 510 | % | | 180 | % | | 297 | % | ||||||||
| ||||||||||||||||||||||||||
| | | | | | | | | | |
| Series H: | | Six Months ended April 30, 2008 (unaudited) | | For the period April 2, 2007* through October 31, 2007 | ||||||
| Net asset value, beginning of period | | $9.61 | | $10.00 | ||||||
| Investment Operations: | | | ||||||||
| Net investment income | | 0.26 | | 0.29 | ||||||
| Net realized and unrealized loss on investments and futures contracts | | (0.89 | ) | | (0.40 | ) | ||||
| Total from investment operations | | (0.63 | ) | | (0.11 | ) | ||||
| Dividends to Shareholders from Net investment income: | | (0.26 | ) | | (0.28 | ) | ||||
| Net asset value, end of period | | $8.72 | | $9.61 | ||||||
| Total Investment Return (1) | | (6.56 | )% | | (1.04 | )% | ||||
| RATIOS/SUPPLEMENTAL DATA: | | | ||||||||
| Net assets, end of period (000’s) | | $2,615 | | $2,884 | ||||||
| Ratio of operating expenses to average net assets (2) | | 0.00 | % # | | 0.00 | % # | ||||
| Ratio of net investment income to average net assets (2) | | 5.83 | % # | | 5.04 | % # | ||||
| Portfolio turnover | | 10 | % | | 87 | % | ||||
| ||||||||||
| |
| * | Commencement of operations. |
| |
| # | Annualized. |
| |
| (1) | Assumes reinvestment of all dividends and distributions. Total return for a period of less than one year is not annualized. |
| |
| (2) | Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of ‘‘wrap-fee’’ programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series C and Series H, the Investment Manager or the Sub-Adviser. Participants in these programs pay a ‘‘wrap’’ fee to the sponsor of the program. |
See accompanying Notes to Financial Statements | 4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 65
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, | |||||||||||||||||||||||
| Series M: | | 2007 | | 2006 | | 2005 | | 2004 | | 2003 | ||||||||||||||||
| Net asset value, beginning of period | | $11.31 | | $11.38 | | $11.12 | | $11.87 | | $11.48 | | $11.75 | ||||||||||||||
| Investment Operations: | | | | | | | ||||||||||||||||||||
| Net investment income | | 0.52 | | 0.66 | | 0.57 | | 0.44 | | 0.37 | | 0.51 | ||||||||||||||
| Net realized and change in unrealized gain (loss) on investments, futures contracts, options written, swaps and foreign currency transactions | | 0.02 | | (0.08 | ) | | 0.27 | | (0.29 | ) | | 0.65 | | 0.23 | ||||||||||||
| Total from investment operations | | 0.54 | | 0.58 | | 0.84 | | 0.15 | | 1.02 | | 0.74 | ||||||||||||||
| Dividends and Distributions to Shareholders from: | | | | | | | ||||||||||||||||||||
| Net investment income | | (0.55 | ) | | (0.65 | ) | | (0.58 | ) | | (0.46 | ) | | (0.43 | ) | | (0.51 | ) | ||||||||
| Net realized gains | | — | | — | | — | | (0.44 | ) | | (0.20 | ) | | (0.50 | ) | |||||||||||
| Total dividends and distributions to shareholders | | (0.55 | ) | | (0.65 | ) | | (0.58 | ) | | (0.90 | ) | | (0.63 | ) | | (1.01 | ) | ||||||||
| Net asset value, end of period | | $11.30 | | $11.31 | | $11.38 | | $11.12 | | $11.87 | | $11.48 | ||||||||||||||
| Total Investment Return (1) | | 4.82 | % | | 5.26 | % | | 7.80 | % | | 1.32 | % | | 9.17 | % | | 6.67 | % | ||||||||
| RATIOS/SUPPLEMENTAL DATA: | | | | | | | ||||||||||||||||||||
| Net assets, end of period (000’s) | | $2,085,166 | | $1,819,024 | | $1,454,145 | | $942,197 | | $569,692 | | $368,612 | ||||||||||||||
| Ratio of operating expenses to average net assets (2)(3) | | 0.00 | % # | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | ||||||||
| Ratio of net investment income to average net assets (3) | | 9.49 | % # | | 5.91 | % | | 5.11 | % | | 3.85 | % | | 3.21 | % | | 4.43 | % | ||||||||
| Portfolio turnover | | 368 | % | | 837 | % | | 928 | % | | 706 | % | | 894 | % | | 750 | % | ||||||||
| ||||||||||||||||||||||||||
| | | | | | | | | | | | | | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, | | For the period April 15, 2004* through October 31, 2004 | |||||||||||||||||
| Series R: | | 2007 | | 2006 | | 2005 | ||||||||||||||||
| Net asset value, beginning of period | | $10.21 | | $9.90 | | $10.20 | | $10.37 | | $10.00 | ||||||||||||
| Investment Operations: | | | | | | |||||||||||||||||
| Net investment income | | 0.28 | | 0.43 | | 0.54 | | 0.50 | | 0.26 | ||||||||||||
| Net realized and unrealized gain (loss) on investments, futures contracts, options written, swaps and foreign currency transactions | | 0.77 | | 0.34 | | (0.29 | ) | | (0.16 | ) | | 0.37 | ||||||||||
| Total from investment operations | | 1.05 | | 0.77 | | 0.25 | | 0.34 | | 0.63 | ||||||||||||
| Dividends and Distributions to Shareholders from: | | | | | | |||||||||||||||||
| Net investment income | | (0.32 | ) | | (0.46 | ) | | (0.55 | ) | | (0.50 | ) | | (0.26 | ) | |||||||
| Net realized gains | | — | | — | | — | | (0.01 | ) | | — | |||||||||||
| Total dividends and distributions to shareholders | | (0.32 | ) | | (0.46 | ) | | (0.55 | ) | | (0.51 | ) | | (0.26 | ) | |||||||
| Net asset value, end of period | | $10.94 | | $10.21 | | $9.90 | | $10.20 | | $10.37 | ||||||||||||
| Total Investment Return (1) | | 10.32 | % | | 8.05 | % | | 2.49 | % | | 3.30 | % | | 6.41 | % | |||||||
| RATIOS/SUPPLEMENTAL DATA: | | | | | | |||||||||||||||||
| Net assets, end of period (000’s) | | $160,959 | | $123,018 | | $154,793 | | $135,449 | | $3,114 | ||||||||||||
| Ratio of operating expenses to average net assets (3) | | 0.00 | % # | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % # | |||||||
| Ratio of net investment income to average net assets (3) | | 5.00 | % # | | 4.36 | % | | 5.33 | % | | 5.28 | % | | 4.72 | % # | |||||||
| Portfolio turnover | | 458 | % | | 825 | % | | 593 | % | | 175 | % | | 23 | % | |||||||
| ||||||||||||||||||||||
| |
| * | Commencement of operations. |
| |
| # | Annualized. |
| |
| (1) | Assumes reinvestment of all dividends and distributions. Total return for a period of less than one year is not annualized. |
| |
| (2) | If interest expense were included, the ratio of operating expenses to average net assets for the six months ended April 30, 2008 and for the years ended October 31, 2007, 2006, 2005, 2004 and 2003 would be 7.94%, 1.26%, 0.07%, 0.05%, 0.01% and 0.01%, respectively. |
| |
| (3) | Reflects the fact that no fees or expenses are incurred. The Portfolios are an integral part of ‘‘wrap-fee’’ programs sponsored by investment advisers and/or broker-dealers unaffiliated with Series M and Series R, the Investment Manager or the Sub-Adviser. Participants in these programs pay a ‘‘wrap’’ fee to the sponsor of the program. |
66 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08 | See accompanying Notes to Financial Statements
1. Organization and Significant Accounting Policies
Fixed Income SHares (the ‘‘Trust’’), was organized as a Massachusetts business trust on November 3, 1999. The Trust is comprised of Series C, Series H, Series M, Series R (the ‘‘Portfolios’’) and the Allianz Dresdner Daily Asset Fund. These financial statements relate to Series C, Series H, Series M and Series R. The financial statements for Allianz Dresdner Daily Asset Fund are provided separately. Allianz Global Investors Fund Management LLC (the ‘‘Investment Manager’’) serves as the Portfolios’ Investment Manager and is an indirect, wholly-owned subsidiary of Allianz Global Investors of America L.P. (‘‘Allianz Global’’). Alli anz Global is an indirect, majority-owned subsidiary of Allianz SE, a publicly traded European insurance and financial services compay. The Portfolios are authorized to issue an unlimited number of shares of beneficial interest at $0.001 par value.
The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
In the normal course of business, the Portfolios enter into contracts that contain a variety of representations which provide general indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolios based upon events that have not yet been asserted. However, the Portfolios expect the risk of any loss to be remote.
In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, ‘‘Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109’’ (the ‘‘Interpretation’’). The Interpretation establishes for all entities, including pass-through entities such as the Portfolios, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Portfolios’ management has determined that its evaluation of the Interpretation has resulted in no material impact to the Portfolios&rs quo; financial statements at April 30, 2008. The Portfolios’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards (‘‘SFAS’’) 157, Fair Value Measurements, which clarifies the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. Adoption of SFAS 157 requires the use of the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. At this time, the Portfolios are in the process of reviewing SFAS 157 against their current valuation policies to determine future applicability.
In March 2008, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards No. 161, ‘‘Disclosures about Derivative Instruments and Hedging Activities’’ (‘‘SFAS 161’’). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. The Portfolios’ management is currently evaluating the impact the adoption of SFAS 161 will have on the Portfolios’ financial statement disclosures.
The following is a summary of significant accounting policies followed by the Portfolios:
(a) Valuation of Investments
Portfolio securities and other financial instruments for which market quotations are readily available are stated at market value. Portfolio securities and other financial instruments for which market quotations are not readily available or if a development/event occurs that may significantly impact the value of a security, are fair-valued, in good faith, pursuant to guidelines established by the Board of Trustees or persons acting at their discretion pursuant to guidelines established by the Board of Trustees, including certain fixed income securities which may be valued with reference to securities whose prices are more readily available. The Portfolios’ investments, including over-the-counter options, are valued daily u sing prices supplied by an independent pricing service or dealer quotations, or by using the last sale price on the exchange that is the primary market for such securities, or the last quoted mean price for those securities for which the over-the-counter market is the primary market or for listed securities in which there were no sales. Independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The Portfolios’ investments in senior floating rate loans (‘‘Senior Loans’’) for which a secondary market exists will be valued at the mean of the last available bid and asked prices in the market for such Senior Loans, as provided by an independent pricing service.
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 67
1. Organization and Significant Accounting Policies (continued)
Exchange traded options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily until settlement at the forward settlement value. Short-term securities maturing in 60 days or less are valued at amortized cost, if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term to maturity exceeded 60 days. The prices used by the Portfolios to value securities may differ from the value that would be realized if the securities were sold and these differences could be material to the financial statements. The Portfolios’ net asset values are normally determined as of the close of regular trading (normally, 4:00 p.m. Eastern time) on the New York Stock Exchange (‘‘NYSE’’) on each day the NYSE is open for business.
(b) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Securities purchased and sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses on investments are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income adjusted for the accretion of discounts and amortization of premiums, is recorded on an accrual basis. Discounts or premiums on debt securities purchased are accreted or amortized to interest income over the lives of the respective securities using the effective interest method. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income in the Statements of Operations.
(c) Federal Income Taxes
The Portfolios intend to distribute all of their taxable income and to comply with the other requirements of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required.
(d) Dividends and Distributions
Dividends from net investment income are declared daily and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. The Portfolios record dividends and distributions to shareholders on the ex-dividend date. The amount of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles in the United States of America. These ‘‘book-tax’’ differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal income tax treatment; temp orary differences do not require reclassification. To the extent dividends and/or distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as dividends and/or distributions of paid-in capital in excess of par.
(e) Foreign Currency Translation
The Portfolios’ accounting records are maintained in U.S. dollars as follows: (1) the foreign currency market value of investments and other assets and liabilities denominated in foreign currency are translated at the prevailing exchange rate at the end of the period; and (2) purchases and sales, income and expenses are translated at the prevailing exchange rate on the respective dates of such transactions. The resulting net foreign currency gain or loss is included in the Statements of Operations.
The Portfolios do not generally isolate that portion of the results of operations arising as a result of changes in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of securities. Accordingly, such foreign currency gain (loss) is included in net realized and change in unrealized gain (loss) on investments. However, the Portfolios do isolate the effect of fluctuations in foreign currency exchange rates when determining the gain or loss upon the sale or maturity of foreign currency denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign currency gain or loss for both financial reporting and income tax reporting purposes.
(f) Option Transactions
The Portfolios may purchase and write (sell) put and call options for hedging purposes, risk management purposes or as a part of their investment strategies. The risk associated with purchasing an option is that the Portfolios pay a premium whether or not the option is exercised. Additionally, the Portfolios bear the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from the securities sold through the exercise of put options is decreased by the premiums paid.
68 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
1. Organization and Significant Accounting Policies (continued)
When an option is written, the premium received is recorded as an asset with an equal liability and is subsequently marked to market to reflect the current market value of the option written. These liabilities are reflected as options written in the Statements of Assets and Liabilities. Premiums received from writing options which expire unexercised are recorded on the expiration date as a realized gain. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase transactions, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether there has been a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the security. In writing an option, the Portfolios bear the market risk of an unfavorable change in the price of the security underlying the written option. Exercise of a written option could result in the Portfolios purchasing a security at a price different from its current market value.
(g) Credit Default/Interest Rate Swaps
The Portfolios may enter into interest rate and credit default swap contracts (‘‘swaps’’) for investment purposes, to manage their interest rate and credit risk or to add leverage.
As a seller in the credit default swap contract, the Portfolios would be required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Portfolios would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Portfolios would keep the stream of payments and would have no payment obligations. Such periodic payments are accrued daily and recorded as realized gain (loss).
The Portfolios may also purchase credit default swap contracts in order to hedge against the risk of default of debt securities held, in which case the Portfolios would function as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Portfolios would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by a third party, such as a U.S. or foreign corporate issuer on the referenced obligation. In return, the Portfolios would make periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and recorded as r ealized gain (loss).
Interest rate swap agreements involve the exchange by the Portfolios with a counterparty of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a notional amount of principal. Net periodic payments received by the Portfolios are included as part of realized gain (loss) and or change in unrealized appreciation/depreciation in the Statements of Operations.
Swaps are marked to market daily based upon quotations from brokers or market makers and the change in value, if any, is recorded as unrealized appreciation or depreciation in the Portfolios’ Statements of Operations. For a credit default swap sold by the Portfolios, payment of the agreed upon amount made by the Portfolios in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Portfolios, the agreed upon amount received by the Portfolios in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Portfolios.
Entering into swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in net interest rates.
(h) Futures Contracts
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into such a contract, each Portfolio is required to pledge to the broker an amount of cash or securities equal to the minimum ‘‘initial margin’’ requirements of the exchange. Pursuant to the contracts, each Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as ‘‘variation margin’’ and are recorded by the Portfolio as unrealized appreciation or depreciation. When the contracts are closed, the Portfolio records a realized gain o r loss
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 69
1. Organization and Significant Accounting Policies (continued)
equal to the difference between the value of the contracts at the time they were opened and the value at the time they were closed. Any unrealized appreciation or depreciation recorded is simultaneously reversed. The use of futures transactions involves the risk of an imperfect correlation in the movements in the price of futures contracts, interest rates and the underlying hedged assets, and the possible inability of counterparties to meet the terms of their contracts.
(i) Forward Foreign Currency Contracts
A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Series C, Series M and Series R may enter into forward foreign currency contracts for the purpose of hedging against foreign currency risk arising from the investment or anticipated investment in securities denominated in foreign currencies. These Portfolios may also enter into these contracts for purposes of increasing exposure to a foreign currency or to shift exposure to foreign currency fluctuations from one country to another. The market value of a forward foreign currency contract fluctuates with changes in forward currency exchange rates. All commitments are marked to market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded at the time the forward contract matures or by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
(j) Inflation-Indexed Bonds
Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income in the Statements of Operations, even though investors do not receive principal until maturity.
(k) Repurchase Agreements
The Portfolios enter into transactions with their custodian bank or securities brokerage firms whereby they purchase securities under agreements to resell at an agreed upon price and date (‘‘repurchase agreements’’). Such agreements are carried at the contract amount in the financial statements. Collateral pledged (the securities received), which consists primarily of U.S. government obligations and asset-backed securities, are held by the custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Portfolios require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines or if the counterparty enters an insolvency proceeding, realization of the collateral by the Portfolios may be delayed or limited.
(l) Reverse Repurchase Agreements
The Portfolios may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Portfolios sell securities to a bank or broker-dealer and agree to repurchase the securities at a mutually agreed upon date and price. Generally, the effect of such a transaction is that the Portfolios can recover and reinvest all or most of the cash invested in the portfolio securities involved during the term of the reverse repurchase agreement and still be entitled to the returns associated with those portfolio securities. Such transactions are advantageous if the interest cost to the Portfolios of the reverse repurchase transaction is less than the returns they obtain on investments purchased with the cash. Unless the Portfoli os cover their positions in reverse repurchase agreements (by segregating liquid assets at least equal in amount to the forward purchase commitment), their obligations under the agreements will be subject to the Portfolios’ limitations on borrowings. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Portfolios are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Portfolios’ use of the proceeds of the agreement may be restricted pending determination by the other party, or its trustee or receiver, whether to enforce the Portfolios’ obligation to repurchase the securities.
(m) When-Issued/Delayed-Delivery Transactions
The Portfolios may purchase or sell securities on a when-issued or delayed-delivery basis. The transactions involve a commitment to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed-delivery purchases are outstanding, the Portfolios will set
70 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
1. Organization and Significant Accounting Policies (continued)
aside and maintain until the settlement date in a designated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, the Portfolios assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining their net asset values. The Portfolios may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a realized gain or loss. When a security on a delayed-delivery basis is sold, the Portfolios do not participate in future gains and losses with respect to the security.
(n) Stripped Mortgage Backed Securities (‘‘SMBS’’)
SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (IOs), which receive all of the interest, and principal-only securities (POs), which receive all of the principal. If the underlying mortgage assets experience greater than anticipated payments of principal, the Portfolio may fail to recoup some or all of its initial investment in these securities. The market value of these securities is highly sensitive to changes in interest rates.
(o) Restricted Securities
The Portfolios are permitted to invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult.
(p) Short Sales
Short sale transactions involve the Portfolios selling securities it does not own in anticipation of a decline in the market price of the securities. The Portfolio is obligated to deliver securities at the market price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested.
(q) Senior Loans
The Portfolios purchase assignments of Senior Loans originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the ‘‘Agent’’) for a lending syndicate of financial institutions (the ‘‘Lender’’). When purchasing an assignment, the Portfolios succeed all the rights and obligations under the loan agreement with the same rights and obligations as the assigning Lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than, tho se held by the assigning Lender.
2. Investment Manager/Sub-Adviser/Administrator/Distributor
(a) Investment Manager/Sub-Adviser
Allianz Global Investors Fund Management LLC (‘‘Investment Manager’’) serves in its capacity pursuant to an Investment Management Agreement with the Trust. Pursuant to a Portfolio Management Agreement, the Investment Manager employs Pacific Investment Management Company LLC (‘‘PIMCO’’ or the ‘‘Sub-Adviser’’), an affiliate of the Investment Manager, to serve as sub-adviser and provide investment advisory services to the Portfolios. The Investment Manager receives no investment management or other fees from the Portfolios and at its own expense pays the fees of the Sub-Adviser. The financial statements reflect the fact that no fees or expenses are incurred by the Portfolios. It should be understood, however, that the Portfolios are an integral part of ‘‘wrap-fee’’ programs sponsored by investment advisers unaffiliated with the Portfolios, the Investment Manager or the Sub-Adviser. Typically, participants in these programs pay a ‘‘wrap fee’’ to their investment adviser. Although the Portfolios do not compensate the Investment Manager or Sub-Adviser directly for their services under the Investment Management Agreement or Portfolio Management Agreement, respectively, the Investment Manager and Sub-Adviser may benefit from their relationship with the sponsors of wrap fee programs for which the Trust is an investment option.
(b) Administrator
The Investment Manager also serves as administrator to the Portfolios pursuant to an administration agreement (‘‘Administration Agreement’’) with the Trust. The administrator’s responsibilities include providing or procuring certain administrative services to the Portfolios as well as arranging at its own expense for the provision of legal, audit,
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 71
2. Investment Manager/Sub-Adviser/Administrator/Distributor (continued)
custody, transfer agency and other services required for the ordinary operation of the Portfolios, and is responsible for printing, trustees’ fees, and other costs of the Portfolios. Under the Administration Agreement, the Investment Manager has agreed to provide or procure these services, and to bear these expenses at no charge to the Portfolios.
(c) Distributor
Allianz Global Investors Distributors LLC (‘‘the Distributor’’), an affiliate of the Investment Manager, serves as the distributor of the Trust’s shares. Pursuant to a distribution agreement with the Trust, the Investment Manager on behalf of the Portfolios pays the Distributor.
3. Investment in Securities
Purchases and sales of securities (excluding short-term investments) for the six months ended April 30, 2008, were:
| | | | | | | | | | | | | | | | | | |
| U.S. Government Agency | | All Other | |||||||||||||||
| Purchases | | Sales | | Purchases | | Sales | |||||||||||
| Series C: | | $ | 9,078,844,812 | | $ | 9,136,264,224 | | $ | 1,532,765,043 | | $ | 1,337,467,880 | ||||||
| Series H: | | — | | — | | 251,914 | | 365,462 | ||||||||||
| Series M: | | 38,289,428,401 | | 33,942,336,392 | | 717,567,141 | | 128,768,589 | ||||||||||
| Series R: | | 1,250,270,752 | | 1,242,097,554 | | 21,639,404 | | 2,300,386 | ||||||||||
| ||||||||||||||||||
72 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
(a) Futures contracts outstanding at April 30, 2008:
Series C:
| | | | | | | | | | | | | | | | | | | | | | |
| Type | | Contracts | | Market Value (000) | | Expiration Date | | Unrealized Appreciation (Depreciation) | |||||||||||||
| Long: | | Canadian 10 yr. Bond Futures | | 56 | | $ | 6,578 | | 6/19/08 | | $ | 132,216 | ||||||||||
| Euribor Futures | | 770 | | 286,966 | | 3/16/09 | | (58,815 | ) | ||||||||||||
| Euribor Futures | | 551 | | 205,638 | | 6/15/09 | | 143,434 | |||||||||||||
| Euribor Futures | | 601 | | 223,199 | | 9/15/08 | | (791,705 | ) | ||||||||||||
| Euribor Futures | | 736 | | 274,925 | | 9/14/09 | | 400,891 | |||||||||||||
| Euro Bobl 5 Yr. Futures | | 112 | | 18,980 | | 6/6/08 | | (486,541 | ) | ||||||||||||
| Financial Future Euro–90 day | | 1,529 | | 372,025 | | 6/16/08 | | 764,246 | |||||||||||||
| Financial Future Euro–90 day | | 628 | | 152,777 | | 9/15/08 | | 262,165 | |||||||||||||
| Financial Future Euro–90 day | | 32 | | 7,760 | | 3/16/09 | | 142,236 | |||||||||||||
| United Kingdom–90 day | | 7,154 | | 1,680,604 | | 3/18/09 | | (12,286,010 | ) | ||||||||||||
| United Kingdom–90 day | | 3,449 | | 809,464 | | 12/16/09 | | (7,020,861 | ) | ||||||||||||
| U.S. Treasury Notes 10 yr. Futures | | 5,429 | | 628,746 | | 6/19/08 | | (6,780,262 | ) | ||||||||||||
| U.S. Treasury Notes 10 yr. Futures | | 75 | | 8,580 | | 9/19/08 | | 27,539 | |||||||||||||
| Short: | | Euro-Schatz 2 yr. Futures | | (3,516 | ) | | (568,426 | ) | | 6/19/08 | | 7,997,451 | ||||||||||
| Euro Bund 10 yr. Futures | | (1,984 | ) | | (352,350 | ) | | 6/19/08 | | 8,450,668 | |||||||||||
| United Kingdom–90 day | | (3 | ) | | (705 | ) | | 6/17/09 | | 2,894 | |||||||||||
| U.S. Treasury Bond Futures | | (492 | ) | | (57,510 | ) | | 6/19/08 | | 644,112 | |||||||||||
| U.S. Treasury Notes 2 yr. Futures | | (842 | ) | | (179,083 | ) | | 6/30/08 | | 1,773,395 | |||||||||||
| | | | | $ | (6,682,947 | ) | |||||||||||||||
| ||||||||||||||||||||||
Series H:
| | | | | | | | | | | | | | | | | | | | | | |
| Type | | Contracts | | Market Value (000) | | Expiration Date | | Unrealized Depreciation | |||||||||||||
| Short: | | U.S. Treasury Bond Futures | | (2 | ) | | $ | (234 | ) | | 6/19/08 | | $ | (4,500 | ) | |||||||
| ||||||||||||||||||||||
Series M:
| | | | | | | | | | | | | | | | | | | | | | |
| Type | | Contracts | | Market Value (000) | | Expiration Date | | Unrealized Appreciation (Depreciation) | |||||||||||||
| Long: | | U.S. Treasury Bond Futures | | 492 | | $ | 57,510 | | 6/19/08 | | $ | (1,218,201 | ) | |||||||||
| U.S. Treasury Notes 10 yr. Futures | | 7,149 | | 827,944 | | 6/19/08 | | 4,770,710 | |||||||||||||
| U.S. Treasury Notes 10 yr. Futures | | 110 | | 12,585 | | 9/19/08 | | 40,391 | |||||||||||||
| Short: | | Financial Future Euro–90 day | | (32 | ) | | (7,760 | ) | | 3/16/09 | | (151,200 | ) | |||||||||
| U.S. Treasury Notes 2 yr. Futures | | (17,150 | ) | | (3,647,591 | ) | | 6/30/08 | | 37,989,582 | |||||||||||
| U.S. Treasury Notes 5 yr. Futures | | (20,132 | ) | | (2,254,470 | ) | | 6/30/08 | | 9,806,774 | |||||||||||
| | | | | $ | 51,238,056 | ||||||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 73
3. Investment in Securities (continued)
Series R:
| | | | | | | | | | | | | | | | | | | | | | |
| Type | | Contracts | | Market Value (000) | | Expiration Date | | Unrealized Appreciation (Depreciation) | |||||||||||||
| Long: | | Euribor Futures | | 28 | | $ | 10,435 | | 3/18/09 | | $ | (43,971 | ) | |||||||||
| Euribor Futures | | 28 | | 10,450 | | 6/15/09 | | (36,066 | ) | ||||||||||||
| Euribor Futures | | 30 | | 11,206 | | 9/14/09 | | (28,383 | ) | ||||||||||||
| Euribor Futures | | 30 | | 11,204 | | 12/16/09 | | (22,774 | ) | ||||||||||||
| Financial Future Euro–90 day | | 47 | | 11,436 | | 6/16/08 | | 23,469 | |||||||||||||
| Financial Future Euro–90 day | | 83 | | 20,126 | | 3/16/09 | | 376,672 | |||||||||||||
| Financial Future Euro–90 day | | 46 | | 11,115 | | 9/14/09 | | 156,933 | |||||||||||||
| Financial Future Euro–90 day | | 55 | | 13,262 | | 12/14/09 | | (90,162 | ) | ||||||||||||
| United Kingdom–90 day | | 4 | | 940 | | 3/16/09 | | 3,343 | |||||||||||||
| United Kingdom–90 day | | 4 | | 940 | | 6/15/09 | | 3,781 | |||||||||||||
| United Kingdom–90 day | | 16 | | 3,750 | | 9/15/08 | | 5,375 | |||||||||||||
| United Kingdom–90 day | | 38 | | 8,916 | | 12/17/08 | | (7,184 | ) | ||||||||||||
| U.S. Treasury Notes 5 yr. Futures | | 11 | | 1,232 | | 6/30/08 | | (22,086 | ) | ||||||||||||
| U.S. Treasury Notes 10 yr. Futures | | 731 | | 84,659 | | 6/19/08 | | (584,757 | ) | ||||||||||||
| Short: | | Euribor Futures | | (11 | ) | | (4,085 | ) | | 9/15/08 | | 19,163 | ||||||||||
| Euribor Futures | | (12 | ) | | (4,461 | ) | | 12/17/08 | | 13,645 | |||||||||||
| Euro Bund 10 yr. Futures | | (73 | ) | | (12,964 | ) | | 6/16/08 | | 246,339 | |||||||||||
| Euro-Scatz 2 yr. Future | | (35 | ) | | (5,658 | ) | | 6/19/08 | | (10,667 | ) | ||||||||||
| Japanese Yen 10 yr. Futures | | (3 | ) | | (3,908 | ) | | 6/19/08 | | 138,918 | |||||||||||
| U.S. Treasury Bond Futures | | (373 | ) | | (43,600 | ) | | 6/19/08 | | 100,643 | |||||||||||
| U.S. Treasury Notes 2 yr. Futures | | (84 | ) | | (17,866 | ) | | 6/30/08 | | (10,224 | ) | ||||||||||
| | | | | $ | 232,007 | ||||||||||||||||
| ||||||||||||||||||||||
Series C, Series M and Series R received $60,965,000, $58,520,000 and $4,470,300 in cash, respectively, as collateral for futures contracts.
(a) Transactions in options written for the six months ended April 30, 2008:
| | | | | | | | | | |
| Series C: | | Contracts/Notional | | Premiums | ||||||
| Options outstanding, October 31, 2007 | | 2,200,719,470 | | $ | 21,720,337 | |||||
| Options written | | 919,203,496 | | 9,069,972 | ||||||
| Options terminated in closing transactions | | (2,211,219,550 | ) | | (20,792,233 | ) | ||||
| Options outstanding, April 30, 2008 | | 908,703,416 | | $ | 9,998,076 | |||||
| ||||||||||
| | | | | | | | | | |
| Series M: | | Contracts/Notional | | Premiums | ||||||
| Options outstanding, October 31, 2007 | | 645,005,884 | | $ | 12,853,823 | |||||
| Options written | | 214,000,200 | | 1,260,457 | ||||||
| Options terminated in closing transactions | | (478,005,884 | ) | | (6,554,173 | ) | ||||
| Options outstanding, April 30, 2008 | | 381,000,200 | | $ | 7,560,107 | |||||
| ||||||||||
74 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | |
| Series R: | | Contracts/Notional | | Premiums | ||||||
| Options outstanding, October 31, 2007 | | 4,000,126 | | $ | 179,459 | |||||
| Options written | | 107,350,792 | | 3,729,032 | ||||||
| Options terminated in closing transactions | | (650,156 | ) | | (102,217 | ) | ||||
| Options outstanding, April 30, 2008 | | 110,700,762 | | $ | 3,806,274 | |||||
| ||||||||||
(c) Credit default swaps contracts outstanding at April 30, 2008:
Series C:
| | | | | | | | | | | | | | | | | | |
| Swap Counterparty/ Referenced Debt Issuer | | Notional Amount Payable on Default (000) | | Termination Date | | Payments Received (Paid) by Portfolio | | Unrealized Appreciation (Depreciation) | ||||||||||
| Bank of America: | | | | | ||||||||||||||
| Dow Jones CDX | | $65,439 | | 6/20/12 | | (2.75 | )% | | $ | 1,782,023 | ||||||||
| Barclays Bank: | | | | | ||||||||||||||
| AIG | | 7,900 | | 6/20/13 | | 1.15 | % | | 56,742 | |||||||||
| Autozone | | 6,600 | | 6/20/13 | | (0.875 | )% | | (55,431 | ) | ||||||||
| BNP Paribas: | | | | | ||||||||||||||
| Freddie Mac | | 4,900 | | 6/20/13 | | (1.35 | )% | | (101,858 | ) | ||||||||
| Goldman Sachs: | | | | | ||||||||||||||
| Autozone | | 2,400 | | 6/20/12 | | (0.34 | )% | | 25,643 | |||||||||
| Autozone | | 6,000 | | 6/20/13 | | (0.86 | )% | | (46,202 | ) | ||||||||
| Chesapeake Energy | | 1,500 | | 3/20/14 | | 1.32 | % | | (28,088 | ) | ||||||||
| Citigroup | | 3,900 | | 12/20/12 | | 0.77 | % | | (13,239 | ) | ||||||||
| Citigroup | | 7,000 | | 12/20/12 | | 0.80 | % | | (14,746 | ) | ||||||||
| Commerbank AG | | €33,300 | | 9/20/12 | | (0.55 | )% | | 94,193 | |||||||||
| Commerbank AG | | €33,300 | | 9/20/12 | | (0.52 | )% | | 157,614 | |||||||||
| ConAgra Foods | | $1,500 | | 6/20/12 | | (0.299 | )% | | 840 | |||||||||
| Darden Restaurants | | 4,000 | | 6/20/13 | | (1.63 | )% | | (24,409 | ) | ||||||||
| Dexia Credit | | €16,500 | | 9/20/12 | | (0.42 | )% | | 315,114 | |||||||||
| Dow Jones CDX | | $3,478 | | 12/20/12 | | 2.053 | % | | 135,389 | |||||||||
| Ford Motor Credit | | 6,500 | | 9/20/12 | | 5.60 | % | | (334,329 | ) | ||||||||
| Freddie Mac | | 10,000 | | 3/20/13 | | 0.85 | % | | 250,580 | |||||||||
| GMAC | | 5,000 | | 9/20/12 | | 4.80 | % | | (853,335 | ) | ||||||||
| GMAC | | 16,800 | | 9/20/12 | | 5.40 | % | | (2,599,783 | ) | ||||||||
| International Paper | | 3,000 | | 6/20/10 | | 0.78 | % | | (44,444 | ) | ||||||||
| Kohl’s | | 2,400 | | 6/20/12 | | (0.22 | )% | | 105,102 | |||||||||
| Lehman Brothers | | 21,600 | | 9/20/08 | | 0.18 | % | | (165,412 | ) | ||||||||
| Macy’s | | 300 | | 6/20/12 | | (0.53 | )% | | 22,394 | |||||||||
| Morgan Stanley | | 59,900 | | 9/20/08 | | 0.17 | % | | (310,950 | ) | ||||||||
| Morgan Stanley | | 5,600 | | 9/20/12 | | 0.90 | % | | (71,077 | ) | ||||||||
| Nordstrom | | 2,200 | | 6/20/11 | | (0.18 | )% | | 33,471 | |||||||||
| Pulte Homes | | 10,000 | | 6/20/12 | | (1.26 | )% | | 520,990 | |||||||||
| Pulte Homes | | 7,000 | | 6/20/12 | | (1.17 | )% | | 387,368 | |||||||||
| SLM | | 4,100 | | 3/20/13 | | 2.95 | % | | (130,925 | ) | ||||||||
| Southwest Airlines | | 2,000 | | 6/20/11 | | (0.29 | )% | | 53,819 | |||||||||
| ||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 75
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | |
| Swap Counterparty/ Referenced Debt Issuer | | Notional Amount Payable on Default (000) | | Termination Date | | Payments Received (Paid) by Portfolio | | Unrealized Appreciation (Depreciation) | ||||||||||
| VF | | $2,400 | | 6/20/12 | | (0.22 | )% | | $ | 29,722 | ||||||||
| VF | | 6,800 | | 12/20/12 | | (0.45 | )% | | 33,220 | |||||||||
| Weyerhaeuser | | 2,300 | | 3/20/17 | | (1.018 | )% | | 45,703 | |||||||||
| Whirlpool | | 700 | | 6/20/12 | | (0.63 | )% | | 4,013 | |||||||||
| Lehman Brothers: | | | | | ||||||||||||||
| AIG | | 3,500 | | 12/20/12 | | 0.85 | % | | (18,161 | ) | ||||||||
| Bear Stearns | | 9,400 | | 9/20/12 | | 0.48 | % | | (111,744 | ) | ||||||||
| Centex | | 4,000 | | 6/20/12 | | (1.169 | )% | | 357,067 | |||||||||
| Chesapeake Energy | | 2,300 | | 3/20/14 | | 1.16 | % | | (61,976 | ) | ||||||||
| Citigroup | | 3,900 | | 12/20/12 | | 0.70 | % | | (24,959 | ) | ||||||||
| Dow Jones CDX | | 6,000 | | 6/20/12 | | (1.40 | )% | | 258,990 | |||||||||
| Dow Jones CDX | | 15,000 | | 12/20/12 | | (2.45 | )% | | 651,803 | |||||||||
| Ford Motor Credit | | 16,900 | | 9/20/12 | | 5.15 | % | | (1,111,459 | ) | ||||||||
| Ford Motor Credit | | 5,300 | | 9/20/12 | | 5.55 | % | | (281,046 | ) | ||||||||
| GMAC | | 8,500 | | 9/20/12 | | 4.80 | % | | (1,450,670 | ) | ||||||||
| GMAC | | 12,300 | | 9/20/12 | | 5.60 | % | | (1,838,148 | ) | ||||||||
| Goldman Sachs | | 9,800 | | 9/20/12 | | 0.585 | % | | (115,417 | ) | ||||||||
| LCDX | | 11,640 | | 6/20/12 | | 1.20 | % | | (240,769 | ) | ||||||||
| Lennar | | 6,800 | | 6/20/12 | | (1.09 | )% | | 963,710 | |||||||||
| Masco | | 9,600 | | 6/20/12 | | (0.589 | )% | | 549,493 | |||||||||
| MeadWestvaco | | 1,000 | | 6/20/12 | | (0.51 | )% | | 38,223 | |||||||||
| Merrill Lynch | | 3,300 | | 12/20/12 | | (0.83 | )% | | 79,876 | |||||||||
| Nordstrom | | 600 | | 6/20/12 | | (0.179 | )% | | 15,193 | |||||||||
| Pemex | | 8,000 | | 3/20/09 | | 0.34 | % | | 5,569 | |||||||||
| Proctor & Gamble | | 40,200 | | 9/20/08 | | 0.07 | % | | (14,188 | ) | ||||||||
| Reynolds American | | 1,800 | | 6/20/12 | | 1.00 | % | | 15,570 | |||||||||
| Toll Brothers | | 5,500 | | 6/20/12 | | (1.08 | )% | | 291,054 | |||||||||
| Weyerhaeuser | | 700 | | 6/20/12 | | (0.45 | )% | | 19,930 | |||||||||
| Merrill Lynch & Co.: | | | | | ||||||||||||||
| AIG | | 4,000 | | 12/20/12 | | 0.90 | % | | (12,250 | ) | ||||||||
| Apache | | 4,500 | | 6/20/10 | | 0.39 | % | | 11,471 | |||||||||
| Canadian Natural Resources | | 1,800 | | 3/20/10 | | 0.32 | % | | (5,465 | ) | ||||||||
| Clorox | | 8,000 | | 12/20/12 | | (0.424 | )% | | 41,182 | |||||||||
| Ford Motor Credit | | 1,100 | | 9/20/10 | | 3.80 | % | | (74,032 | ) | ||||||||
| Ford Motor Credit | | 3,800 | | 9/20/12 | | 5.53 | % | | (203,925 | ) | ||||||||
| General Electric | | 1,800 | | 6/20/10 | | 0.30 | % | | (13,785 | ) | ||||||||
| GMAC | | 7,000 | | 9/20/12 | | 5.43 | % | | (1,077,671 | ) | ||||||||
| JPMorgan Chase | | 3,000 | | 9/20/12 | | 0.39 | % | | (32,741 | ) | ||||||||
| Lennar | | 4,700 | | 3/20/12 | | (0.58 | )% | | 718,333 | |||||||||
| Norfolk Southern | | 11,000 | | 12/20/12 | | (0.27 | )% | | 26,688 | |||||||||
| Norfolk Southern | | 3,800 | | 12/20/12 | | (0.24 | )% | | 14,235 | |||||||||
| SLM | | 3,000 | | 12/20/12 | | 2.90 | % | | (107,304 | ) | ||||||||
| TJX Cos. | | 10,000 | | 12/20/12 | | (0.424 | )% | | 18,312 | |||||||||
| ||||||||||||||||||
76 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | |
| Swap Counterparty/ Referenced Debt Issuer | | Notional Amount Payable on Default (000) | | Termination Date | | Payments Received (Paid) by Portfolio | | Unrealized Appreciation (Depreciation) | ||||||||||
| Toll Brothers | | $3,900 | | 3/20/12 | | (0.89 | )% | | $ | 226,738 | ||||||||
| XTO Energy | | 1,300 | | 3/20/10 | | 0.38 | % | | 1,279 | |||||||||
| Morgan Stanley: | | | | | ||||||||||||||
| Altria Group | | 2,500 | | 12/20/10 | | 0.95 | % | | 38,754 | |||||||||
| Bank of America | | 3,000 | | 9/20/12 | | 0.28 | % | | (37,550 | ) | ||||||||
| Black & Decker | | 8,700 | | 12/20/12 | | (0.42 | )% | | 172,823 | |||||||||
| Black & Decker | | 7,800 | | 12/20/12 | | (0.40 | )% | | 161,671 | |||||||||
| Citigroup | | 3,000 | | 9/20/12 | | 0.28 | % | | (68,297 | ) | ||||||||
| ConocoPhillips | | 4,700 | | 3/20/11 | | 0.23 | % | | 4,264 | |||||||||
| Darden Restaurants | | 2,500 | | 6/20/12 | | (0.49 | )% | | 83,008 | |||||||||
| Inco | | 9,000 | | 12/20/11 | | (0.50 | )% | | 197,591 | |||||||||
| International Paper | | 2,800 | | 6/20/12 | | (0.32 | )% | | 167,437 | |||||||||
| Liz Claiborne | | 3,300 | | 6/20/12 | | (0.48 | )% | | 296,034 | |||||||||
| Lowes Cos. | | 6,000 | | 12/20/12 | | (0.54 | )% | | 16,228 | |||||||||
| Markit CMBX | | 6,000 | | 12/13/49 | | 0.08 | % | | 565,521 | |||||||||
| MeadWestvaco | | 7,700 | | 6/20/12 | | (0.54 | )% | | 285,420 | |||||||||
| Newell Rubbermaid | | 9,400 | | 12/20/12 | | (0.318 | )% | | 80,274 | |||||||||
| Republic of Indonesia | | 7,700 | | 3/20/09 | | 0.46 | % | | (31,473 | ) | ||||||||
| Republic of Peru | | 7,700 | | 3/20/09 | | 0.32 | % | | 6,057 | |||||||||
| Russian Federation | | 8,000 | | 3/20/09 | | 0.31 | % | | (14,039 | ) | ||||||||
| Sherwin-Williams | | 9,200 | | 12/20/12 | | (0.28 | )% | | 186,304 | |||||||||
| Sherwin-Williams | | 6,900 | | 12/20/12 | | (0.26 | )% | | 145,701 | |||||||||
| SLM | | 8,200 | | 12/20/08 | | 3.00 | % | | (149,866 | ) | ||||||||
| Time Warner | | 5,000 | | 9/20/10 | | 0.58 | % | | (49,875 | ) | ||||||||
| Ukraine | | 7,700 | | 3/20/09 | | 0.66 | % | | (53,149 | ) | ||||||||
| Vale Overseas | | 9,000 | | 12/20/11 | | 0.70 | % | | (120,030 | ) | ||||||||
| Walt Disney | | 1,400 | | 6/20/11 | | (0.18 | )% | | 3,484 | |||||||||
| Weyerhaeuser | | 4,500 | | 6/20/12 | | (0.44 | )% | | 129,869 | |||||||||
| Whirlpool | | 2,300 | | 3/20/17 | | (0.78 | )% | | 11,983 | |||||||||
| Royal Bank of Scotland: | | | | | ||||||||||||||
| Autozone | | 11,100 | | 6/20/13 | | (0.92 | )% | | (116,761 | ) | ||||||||
| | | | $ | (1,319,899 | ) | ||||||||||||
| ||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 77
3. Investment in Securities (continued)
Series M:
| | | | | | | | | | | | | | | | | | | | | | |
| Swap Counterparty/ Referenced Debt Issuer | | Notional Amount Payable on Default (000) | | Termination Date | | Payments Received (Paid) by Portfolio | | Unrealized Appreciation (Depreciation) | ||||||||||||||
| BNP Paribas: | | | | | ||||||||||||||||||
| Fannie Mae | | $ | 50,000 | | 3/20/13 | | (0.74 | )% | | $ | (974,515 | ) | ||||||||||
| Fannie Mae | | 15,000 | | 3/20/13 | | (0.73 | )% | | (285,435 | ) | ||||||||||||
| Deutsche Bank: | | | | | ||||||||||||||||||
| Dow Jones DX | | 231,000 | | 6/20/13 | | (1.55 | )% | | (1,772,939 | ) | ||||||||||||
| Goldman Sachs: | | | | | ||||||||||||||||||
| Bear Stearns | | 15,500 | | 3/20/10 | | 8.25 | % | | 2,199,886 | |||||||||||||
| Bear Stearns | | 8,700 | | 3/20/10 | | 8.50 | % | | 1,277,414 | |||||||||||||
| Fannie Mae | | 8,000 | | 3/20/13 | | 0.80 | % | | 180,717 | |||||||||||||
| MeadWestvaco | | 2,900 | | 6/20/12 | | (0.519 | )% | | 109,842 | |||||||||||||
| SLM | | 5,600 | | 3/20/13 | | 2.95 | % | | (178,825 | ) | ||||||||||||
| SLM | | 10,000 | | 3/20/13 | | 3.00 | % | | (299,813 | ) | ||||||||||||
| Lehman Brothers: | | | | | ||||||||||||||||||
| Freddie Mac | | 25,000 | | 3/20/13 | | 0.83 | % | | 600,801 | |||||||||||||
| Freddie Mac | | 20,000 | | 3/20/13 | | 0.87 | % | | 515,993 | |||||||||||||
| Freddie Mac | | 3,900 | | 3/20/13 | | 2.48 | % | | 282,161 | |||||||||||||
| Weyerhaeuser | | 3,400 | | 6/20/12 | | (0.47 | )% | | 94,160 | |||||||||||||
| Merrill Lynch & Co.: | | | | | ||||||||||||||||||
| Dow Jones CDX | | 66,100 | | 6/20/12 | | 3.614 | % | | 3,656,029 | |||||||||||||
| Morgan Stanley: | | | | | ||||||||||||||||||
| Dow Jones CDX | | 29,000 | | 12/20/12 | | 0.72 | % | | 648,527 | |||||||||||||
| Freddie Mac | | 1,000 | | 3/20/13 | | 1.58 | % | | 31,558 | |||||||||||||
| Markit CMBX | | 4,900 | | 12/13/49 | | 0.08 | % | | 500,860 | |||||||||||||
| | | | $ | 6,586,421 | |||||||||||||||||
| ||||||||||||||||||||||
78 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
Series R:
| | | | | | | | | | | | | | | | | | | | | | |
| Swap Counterparty/ Referenced Debt Issuer | | Notional Amount Payable on Default (000) | | Termination Date | | Payments Received (Paid) by Portfolio | | Unrealized Appreciation (Depreciation) | ||||||||||||||
| Deutsche Bank: | | | | | ||||||||||||||||||
| Dow Jones CDX | | $ | 1,300 | | 12/20/12 | | 0.60 | % | | $ | 29,120 | |||||||||||
| Goldman Sachs: | | | | | ||||||||||||||||||
| Bear Stearns | | 100 | | 12/20/12 | | (1.78 | )% | | (4,444 | ) | ||||||||||||
| Dow Jones CDX | | 3,900 | | 12/20/12 | | 0.60 | % | | 112,613 | |||||||||||||
| GMAC | | 600 | | 9/20/08 | | (5.05 | )% | | 5,258 | |||||||||||||
| GMAC | | 300 | | 6/20/11 | | 3.40 | % | | (56,130 | ) | ||||||||||||
| GMAC | | 100 | | 9/20/12 | | 3.05 | % | | (21,710 | ) | ||||||||||||
| GMAC | | 600 | | 9/20/12 | | 5.35 | % | | (93,645 | ) | ||||||||||||
| Newell Rubbermaid | | 700 | | 12/20/12 | | (0.319 | )% | | 5,947 | |||||||||||||
| RPM International | | 1,000 | | 3/20/18 | | (1.50 | )% | | (50,065 | ) | ||||||||||||
| Lehman Brothers: | | | | | ||||||||||||||||||
| Dow Jones CDX | | 200 | | 12/20/12 | | 3.33 | % | | (4,222 | ) | ||||||||||||
| VF | | 1,300 | | 12/20/12 | | (0.449 | )% | | 6,407 | |||||||||||||
| Merrill Lynch & Co.: | | | | | ||||||||||||||||||
| Dow Jones CDX | | 297 | | 6/20/12 | | 2.75 | % | | (2,333 | ) | ||||||||||||
| Dow Jones CDX | | 100 | | 12/20/12 | | 6.69 | % | | 12,252 | |||||||||||||
| GMAC | | 100 | | 9/20/12 | | (4.80 | )% | | 17,067 | |||||||||||||
| Morgan Stanley: | | | | | ||||||||||||||||||
| Dow Jones CDX | | 1,000 | | 12/20/12 | | 0.60 | % | | 21,290 | |||||||||||||
| Dow Jones CDX | | 400 | | 12/20/12 | | 6.57 | % | | 47,118 | |||||||||||||
| Dow Jones CDX | | 4,600 | | 12/20/17 | | (0.80 | )% | | (40,820 | ) | ||||||||||||
| Ford Motor Credit | | 100 | | 9/20/12 | | 3.80 | % | | (10,876 | ) | ||||||||||||
| Goldman Sachs | | 100 | | 9/20/12 | | 0.75 | % | | (505 | ) | ||||||||||||
| Nordstrom | | 1,300 | | 12/20/12 | | (0.61 | )% | | 16,734 | |||||||||||||
| Staples | | 1,300 | | 12/20/12 | | (0.70 | )% | | 14,372 | |||||||||||||
| TJX Cos. | | 1,300 | | 12/20/12 | | (0.46 | )% | | 275 | |||||||||||||
| | | | $ | 3,703 | |||||||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 79
3. Investment in Securities (continued)
(d) Interest rate swap agreements outstanding at April 30, 2008:
Series C:
| | | | | | | | | | | | | | | | | | | | | | |
| Notional Amount (000) | | | Rate Type | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
| Swap Counterparty | | Termination Date | | Payments Made by Portfolio | | Payments Received by Portfolio | ||||||||||||||||
| Barclays Bank | | £50,000 | | 9/17/18 | | 5.00% | | 6-Month GBP-LIBOR | | $ | (560,596 | ) | ||||||||||
| Barclays Bank | | $10,600 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | 225,334 | ||||||||||||
| Deutsche Bank | | £70,400 | | 9/17/18 | | 5.00% | | 6-Month GBP-LIBOR | | (356,620 | ) | |||||||||||
| Goldman Sachs | | £724,700 | | 3/14/10 | | 6-Month GBP-LIBOR 5-Year French CPI | | 5.30% | | (2,899,467 | ) | |||||||||||
| Goldman Sachs | | €5,900 | | 3/30/12 | | Ex Tobacco Daily Reference Index | | 1.96% | | (192,170 | ) | |||||||||||
| Lehman Brothers | | AUD 489,000 | | 9/15/09 | | 3-Month Australian Bank Bill | | 7.00% | | (2,376,852 | ) | |||||||||||
| Lehman Brothers | | AUD34,000 | | 6/15/10 | | 6-Month Australian Bank Bill | | 7.00% | | (495,663 | ) | |||||||||||
| Lehman Brothers | | $2,900 | | 6/18/18 | | 5.00% | | 3-Month USD-LIBOR | | 21,302 | ||||||||||||
| Merrill Lynch & Co. | | BRL 151,000 | | 1/4/10 | | Brazilian Real- CDI-Compounded | | 12.948% | | (123,860 | ) | |||||||||||
| Merrill Lynch & Co. | | MXN 750,000 | | 11/4/16 | | 28-Day Mexico Interbank TIIE Banxico | | 8.17% | | (1,903,344 | ) | |||||||||||
| Merrill Lynch & Co. | | $700 | | 12/15/24 | | 6.00% | | 3-Month USD-LIBOR | | (74,812 | ) | |||||||||||
| Morgan Stanley | | NZD 110,345 | | 6/15/09 | | 3-Month New Zealand Bank Bill | | 7.25% | | (1,100,801 | ) | |||||||||||
| Morgan Stanley | | AUD 510,000 | | 9/15/09 | | 3-Month Australian Bank Bill | | 7.00% | | (2,064,440 | ) | |||||||||||
| Morgan Stanley | | BRL 138,000 | | 1/4/10 | | Brazilian Real- CDI-Compounded | | 12.78% | | (192,522 | ) | |||||||||||
| Morgan Stanley | | AUD 233,000 | | 6/15/10 | | 6-Month Australian Bank Bill | | 7.00% | | (3,122,395 | ) | |||||||||||
| Morgan Stanley | | $3,084,200 | | 6/18/10 | | 3-Month USD-LIBOR | | 4.00% | | (35,702,208 | ) | |||||||||||
| Morgan Stanley | | AUD 8,000 | | 3/15/12 | | 6-Month Australian Bank Bill | | 7.50% | | (3,217 | ) | |||||||||||
| Morgan Stanley | | $800 | | 6/18/13 | | 4.00% | | 3-Month USD-LIBOR | | 9,907 | ||||||||||||
| Morgan Stanley | | MXN 109,000 | | 11/4/16 | | 28-Day Mexico Interbank TIIE Banxico | | 8.17% | | (289,732 | ) | |||||||||||
| Morgan Stanley | | $12,000 | | 6/18/18 | | 5.00% | | 3-Month USD-LIBOR | | 101,348 | ||||||||||||
| Morgan Stanley | | £52,200 | | 9/17/18 | | 5.00% | | 6-Month GBP-LIBOR | | (280,715 | ) | |||||||||||
| Morgan Stanley | | $17,500 | | 6/20/22 | | 3-Month USD-LIBOR | | 5.00% | | 1,394,139 | ||||||||||||
| Morgan Stanley | | 329,300 | | 6/18/28 | | 5.00% | | 3-Month USD-LIBOR | | (14,775,529 | ) | |||||||||||
| Morgan Stanley | | 51,600 | | 6/18/38 | | 5.00% | | 3-Month USD-LIBOR | | (90,626 | ) | |||||||||||
| Morgan Stanley | | €32,700 | | 9/17/38 | | 4.75% | | 6-Month EUR-LIBOR | | 2,082,171 | ||||||||||||
| Royal Bank of Scotland | | $133,500 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | 2,619,920 | ||||||||||||
| UBS | | AUD 458,600 | | 3/15/10 | | 3-Month Australian Bank Bill | | 7.50% | | (1,017,827 | ) | |||||||||||
| | | | | $ | (61,169,275 | ) | |||||||||||||||
| ||||||||||||||||||||||
80 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
Series M:
| | | | | | | | | | | | | | | ||||||||
| Notional Amount (000) | | | Rate Type | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
| Termination Date | | Payments Made by Portfolio | | Payments Received by Portfolio | |||||||||||||||||
| Citigroup | | $ | 37,000 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | $ | 833,533 | ||||||||||
| Deutsche Bank | | 5,600 | | 6/18/13 | | 4.00% | | 3-Month USD-LIBOR | | 82,004 | ||||||||||||
| Goldman Sachs | | 408,800 | | 6/18/18 | | 5.00% | | 3-Month USD-LIBOR | | (7,944,746 | ) | |||||||||||
| Goldman Sachs | | 90,000 | | 12/15/35 | | 3-Month USD-LIBOR | | 5.00% | | 313,278 | ||||||||||||
| Merrill Lynch & Co. | | 4,400 | | 6/18/15 | | 3-Month USD-LIBOR | | 5.00% | | 115,346 | ||||||||||||
| Merrill Lynch & Co. | | 45,000 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | (2,221,293 | ) | |||||||||||
| Merrill Lynch & Co. | | 125,500 | | 6/18/28 | | 5.00% | | 3-Month USD-LIBOR | | (3,940,153 | ) | |||||||||||
| Morgan Stanley | | 94,500 | | 6/18/09 | | 4.00% | | 3-Month USD-LIBOR | | 363,381 | ||||||||||||
| Morgan Stanley | | 44,000 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | 1,018,949 | ||||||||||||
| Morgan Stanley | | 242,500 | | 6/18/28 | | 5.00% | | 3-Month USD-LIBOR | | (13,348,568 | ) | |||||||||||
| Morgan Stanley | | 71,600 | | 6/18/38 | | 3-Month USD-LIBOR | | 5.00% | | 4,381,657 | ||||||||||||
| Royal Bank of Scotland | | 74,100 | | 6/18/23 | | 5.00% | | 3-Month USD-LIBOR | | 1,678,952 | ||||||||||||
| | | | | $ | (18,667,660 | ) | |||||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 81
3. Investment in Securities (continued)
Series R:
| | | | | | | | | | | | | | | ||||||||
| Notional Amount (000) | | | Rate Type | | Unrealized Appreciation (Depreciation) | ||||||||||||||||
| Termination Date | | Payments Made by Portfolio | | Payments Received by Portfolio | |||||||||||||||||
| Bank of America | | $300 | | 6/18/13 | | 4.00% | | 3-Month USD-LIBOR | | $ | 265 | |||||||||||
| Citigroup | | 2,600 | | 6/18/38 | | 5.00% | | 3-Month USD-LIBOR | | 20,757 | ||||||||||||
| Deutsche Bank | | 4,700 | | 6/18/38 | | 5.00% | | 3-Month USD-LIBOR | | 96,085 | ||||||||||||
| Goldman Sachs | | €2,300 | | 12/15/11 | | 5-Year French CPI Ex Tobacco Daily Reference Index | | 1.976% | | (59,072 | ) | |||||||||||
| Goldman Sachs | | €2,400 | | 3/15/12 | | 5-Year French CPI Ex Tobacco Daily Reference Index | | 1.995% | | (68,000 | ) | |||||||||||
| Goldman Sachs | | €6,600 | | 3/30/12 | | 5-Year French CPI Ex Tobacco Daily Reference Index | | 1.96% | | (214,970 | ) | |||||||||||
| Goldman Sachs | | £4,600 | | 9/17/13 | | 6-Month GBP-LIBOR | | 5.00% | | (137,003 | ) | |||||||||||
| Goldman Sachs | | €500 | | 6/17/15 | | 4.50% | | 6-month EUR-LIBOR | | 52,854 | ||||||||||||
| Goldman Sachs | | £2,500 | | 9/15/15 | | 5.00% | | 6-Month GBP-LIBOR | | (25,913 | ) | |||||||||||
| Goldman Sachs | | ¥50,000 | | 6/20/17 | | 2.00% | | 6-Month JPY-LIBOR | | 1,791 | ||||||||||||
| Goldman Sachs | | £1,400 | | 1/3/18 | | United Kingdom RPI | | 3.11% | | (54,826 | ) | |||||||||||
| Goldman Sachs | | $1,000 | | 3/5/18 | | U.S. CPI Urban Counsumers NSA | | 2.97% | | 20,464 | ||||||||||||
| Lehman Brothers | | 800 | | 6/18/15 | | 5.00% | | 3-Month USD-LIBOR | | (28,900 | ) | |||||||||||
| Merrill Lynch & Co. | | BRL 2,000 | | 1/2/12 | | Brazilian Real- CDI-Compounded | | 12.54% | | (15,440 | ) | |||||||||||
| Merrill Lynch & Co. | | $4,000 | | 6/18/18 | | 5.00% | | 3-Month USD-LIBOR | | (158,617 | ) | |||||||||||
| Morgan Stanley | | ¥400,000 | | 3/18/09 | | 6-Month JPY-LIBOR | | 1.00% | | 5,155 | ||||||||||||
| Morgan Stanley | | AUD 3,200 | | 12/15/09 | | 6-Month Australian Bank Bill | | 7.00% | | (20,270 | ) | |||||||||||
| Morgan Stanley | | BRL 7,700 | | 1/2/12 | | Brazilian Real- CDI-Compounded | | 10.115% | | (249,019 | ) | |||||||||||
| Morgan Stanley | | BRL 1,100 | | 1/2/12 | | Brazilian Real- CDI-Compounded | | 12.54% | | (10,030 | ) | |||||||||||
| Morgan Stanley | | €100 | | 6/15/17 | | 4.00% | | 6-Month EUR-LIBOR | | 7,174 | ||||||||||||
| Morgan Stanley | | AUD 400 | | 12/15/17 | | 6.75% | | 6-Month Australian Bank Bill | | 14,285 | ||||||||||||
| Morgan Stanley | | $1,000 | | 3/6/18 | | U.S. CPI Urban Counsumers NSA | | 2.98% | | 24,700 | ||||||||||||
| Morgan Stanley | | €3,600 | | 6/18/34 | | 6-Month EUR-LIBOR | | 4.50% | | (56,757 | ) | |||||||||||
| Morgan Stanley | | $7,000 | | 6/18/38 | | 5.00% | | 3-Month USD-LIBOR | | 142,686 | ||||||||||||
| Royal Bank of Scotland | | 90,800 | | 6/18/10 | | 4.00% | | 3-Month USD-LIBOR | | 834,214 | ||||||||||||
| | | | | $ | 121,613 | ||||||||||||||||
| ||||||||||||||||||||||
Series C, Series M and Series R received $43,500,000, $7,750,000 and $500,000 par value, respectively, in U.S. Treasury Bills as collateral for swap contracts.
82 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
(e) Forward foreign currency contracts outstanding at April 30, 2008:
Series C:
| | | | | | | | | | | | | | |
| U.S.$ Value Origination Date | | U.S.$ Value April 30, 2008 | | Unrealized Appreciation (Depreciation) | |||||||||
| Purchased: | | | | |||||||||||
| 27,581,000 Australian Dollar settling 5/15/08 | | $ | 25,929,257 | | $ | 25,941,204 | | $ | 11,947 | |||||
| 19,784,802 Brazilian Real settling 7/2/08 | | 10,142,298 | | 11,508,674 | | 1,366,376 | ||||||||
| 213,045,930 Brazilian Real settling 12/2/08 | | 112,489,301 | | 119,285,328 | | 6,796,027 | ||||||||
| 9,553,000 Canadian Dollar settling 5/29/08 | | 9,351,109 | | 9,483,185 | | 132,076 | ||||||||
| 511,455,000 Chilean Peso settling 12/10/08 | | 1,055,308 | | 1,096,581 | | 41,273 | ||||||||
| 3,434,000 Euro settling 5/15/08 | | 5,396,462 | | 5,343,185 | | (53,277 | ) | |||||||
| 1,143,000 Euro settling 5/29/08 | | 1,786,223 | | 1,777,473 | | (8,750 | ) | |||||||
| 26,907,000 British Pound settling 5/19/08 | | 52,684,579 | | 53,222,852 | | 538,273 | ||||||||
| 146,685,603 Indian Rupee settling 5/12/08 | | 3,590,377 | | 3,616,897 | | 26,520 | ||||||||
| 466,012,050 Indian Rupee settling 5/27/08 | | 11,515,000 | | 11,476,306 | | (38,694 | ) | |||||||
| 25,563,500 Indian Rupee settling 8/12/08 | | 646,651 | | 627,170 | | (19,481 | ) | |||||||
| 147,345,203 Indian Rupee settling 11/12/08 | | 3,646,317 | | 3,602,974 | | (43,343 | ) | |||||||
| 4,357,234,000 Japanese Yen settling 5/12/08 | | 42,856,634 | | 41,724,174 | | (1,132,460 | ) | |||||||
| 7,074,320,500 South Korean Won settling 5/30/08 | | 7,585,545 | | 7,050,179 | | (535,366 | ) | |||||||
| 4,585,506,990 South Korean Won settling 8/4/08 | | 4,946,738 | | 4,569,415 | | (377,323 | ) | |||||||
| 1,384,425,913 Mexican Peso settling 7/10/08 | | 122,162,342 | | 130,564,299 | | 8,401,957 | ||||||||
| 25,061,000 Norwegian Krone settling 6/9/08 | | 4,798,568 | | 4,885,524 | | 86,956 | ||||||||
| 28,486,904 Polish Zloty settling 7/10/08 | | 10,956,997 | | 12,761,484 | | 1,804,487 | ||||||||
| 2,278,757,817 Russian Ruble settling 7/10/08 | | 90,083,782 | | 95,918,436 | | 5,834,654 | ||||||||
| 170,468,800 Russian Ruble settling 11/5/08 | | 6,845,724 | | 7,117,733 | | 272,009 | ||||||||
| 245,802,250 Russian Ruble settling 11/19/08 | | 9,882,405 | | 10,251,244 | | 368,839 | ||||||||
| 15,657,750 Singapore Dollar settling 5/22/08 | | 10,543,151 | | 11,543,114 | | 999,963 | ||||||||
| 1,231,360 Singapore Dollar settling 11/21/08 | | 876,395 | | 913,775 | | 37,380 | ||||||||
| 6,083,304 Taiwan Dollar settling 9/4/08 | | 202,507 | | 201,752 | | (755 | ) | |||||||
| 2,596,750 South African Rand settling 12/10/08 | | 321,062 | | 324,970 | | 3,908 | ||||||||
| Sold: | | | | |||||||||||
| 16,528,800 Australian Dollar settling 5/15/08 | | 15,535,667 | | 15,546,100 | | (10,432 | ) | |||||||
| 35,871,733 Brazilian Real settling 7/2/08 | | 20,519,000 | | 20,866,323 | | (347,323 | ) | |||||||
| 77,907,109 Brazilian Real settling 12/2/08 | | 43,098,000 | | 43,620,524 | | (522,524 | ) | |||||||
| 246,399,000 Euro settling 5/29/08 | | 385,510,947 | | 383,173,704 | | 2,337,243 | ||||||||
| 135,108,000 British Pound settling 5/19/08 | | 266,473,778 | | 267,247,667 | | (773,889 | ) | |||||||
| 146,685,603 Indian Rupee settling 5/12/08 | | 3,655,228 | | 3,616,898 | | 38,330 | ||||||||
| 141,421,804 Russian Ruble settling 7/10/08 | | 5,542,693 | | 5,952,787 | | (410,094 | ) | |||||||
| | | $ | 24,824,507 | ||||||||||
| ||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 83
3. Investment in Securities (continued)
Series M:
| | | | | | | | | | | | | | | | | | | | | | |
| U.S.$ Value Origination Date | | U.S.$ Value April 30, 2008 | | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| Purchased: | | | | |||||||||||||||||||
| 593,893,021 Japanese Yen settling 5/12/08 | | $ | 5,796,494 | | $ | 5,687,024 | | $ | (109,470 | ) | ||||||||||||
| Sold: | | | | |||||||||||||||||||
| 1,159,000 Euro settling 5/29/08 | | 1,813,348 | | 1,802,354 | | 10,994 | ||||||||||||||||
| 8,857,000 British Pound settling 5/19/08 | | 17,468,679 | | 17,519,411 | | (50,732 | ) | |||||||||||||||
| 1,144,984,735 Japanese Yen settling 5/12/08 | | 11,368,900 | | 10,964,190 | | 404,710 | ||||||||||||||||
| | | $ | 255,502 | ||||||||||||||||||
| ||||||||||||||||||||||
Series R:
| | | | | | | | | | | | | | | | | | | | | | |
| U.S.$ Value Origination Date | | U.S.$ Value April 30, 2008 | | Unrealized Appreciation (Depreciation) | |||||||||||||||||
| Purchased: | | | | |||||||||||||||||||
| 6,946,920 Brazilian Real settling 7/2/08 | | $ | 3,719,338 | | $ | 4,040,972 | | $ | 321,634 | |||||||||||||
| 96,466 Brazilian Real settling 12/2/08 | | 52,200 | | 54,012 | | 1,812 | ||||||||||||||||
| 7,534,071 Chinese Yuan Renminbi settling 3/2/09 | | 1,064,500 | | 1,151,451 | | 86,951 | ||||||||||||||||
| 54,050,117 Japanese Yen settling 5/12/08 | | 523,905 | | 517,575 | | (6,330 | ) | |||||||||||||||
| 2,015,162,950 South Korean Won settling 5/30/08 | | 2,131,691 | | 2,008,286 | | (123,405 | ) | |||||||||||||||
| 149,488,450 South Korean Won settling 8/4/08 | | 157,504 | | 148,964 | | (8,540 | ) | |||||||||||||||
| 19,540,805 Mexican Peso settling 7/10/08 | | 1,740,137 | | 1,842,880 | | 102,743 | ||||||||||||||||
| 6,093,878 Malaysian Ringgit settling 5/21/08 | | 1,883,387 | | 1,928,474 | | 45,087 | ||||||||||||||||
| 480,972 Malaysian Ringgit settling 8/4/08 | | 149,000 | | 152,015 | | 3,015 | ||||||||||||||||
| 77,034,160 Philippines Peso settling 8/22/08 | | 1,886,000 | | 1,808,480 | | (77,520 | ) | |||||||||||||||
| 1,478,562 Polish Zloty settling 7/10/08 | | 538,039 | | 662,362 | | 124,324 | ||||||||||||||||
| 21,707,750 Russian Ruble settling 11/19/08 | | 877,150 | | 905,327 | | 28,177 | ||||||||||||||||
| 3,061,651 Singapore Dollar settling 5/22/08 | | 2,140,290 | | 2,257,092 | | 116,802 | ||||||||||||||||
| 28,781 Singapore Dollar settling 11/21/08 | | 20,484 | | 21,358 | | 874 | ||||||||||||||||
| Sold: | | | | |||||||||||||||||||
| 1,440,155 Brazilian Real settling 7/2/08 | | 824,000 | | 837,728 | | (13,728 | ) | |||||||||||||||
| 156,821 Brazilian Real settling 12/2/08 | | 86,000 | | 87,805 | | (1,805 | ) | |||||||||||||||
| 7,534,071 Chinese Yuan Renminbi settling 3/2/09 | | 1,077,457 | | 1,151,451 | | (73,994 | ) | |||||||||||||||
| 174,000 Euro settling 5/29/08 | | 272,237 | | 270,587 | | 1,650 | ||||||||||||||||
| 2,383,000 British Pound settling 5/19/08 | | 4,699,996 | | 4,713,646 | | (13,650 | ) | |||||||||||||||
| 523,526,669 Japanese Yen settling 5/12/08 | | 5,148,436 | | 5,013,208 | | 135,228 | ||||||||||||||||
| 142,525,400 South Korean Won settling 5/30/08 | | 142,000 | | 142,039 | | (39 | ) | |||||||||||||||
| 14,533,636 Mexican Peso settling 7/10/08 | | 1,323,517 | | 1,370,658 | | (47,141 | ) | |||||||||||||||
| 7,283,350 Russian Ruble settling 11/19/08 | | 290,000 | | 303,754 | | (13,754 | ) | |||||||||||||||
| | | $ | 588,391 | ||||||||||||||||||
| ||||||||||||||||||||||
84 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| |
| |
|
AUD – Australian Dollar
BRL – Brazilian Real
£/GBP – British Pound
CDI – Inter-bank Deposit Certificate
CPI – Consumer Price Index
€/EUR – Euros
¥/JPY – Japanese Yen
LIBOR – London Interbank Offered Rate
MXN – Mexican Peso
NZD – New Zealand Dollar
TIIE – Inter-bank Equilibrium Interest Rate
(f) The weighted average daily balance of reverse repurchase agreements outstanding during the six months ended April 30, 2008 for Series M was $3,724,506 at a weighted average interest rate of 3.55%.
Open reverse repurchase agreements at April 30, 2008:
Series M:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Rate | | Trade Date | | Maturity Date | | Principal & Interest | | Par | ||||||||||||
| Citigroup | | 3.05 | % | | 4/22/08 | | 5/13/08 | | $ | 39,556,139 | | $ | 39,526,000 | |||||||||
| Credit Suisse | | 2.39 | % | | 4/14/08 | | 5/13/08 | | 500,564,305 | | 500,000,000 | |||||||||||
| 2.42 | % | | 4/14/08 | | 5/13/08 | | 965,456,042 | | 964,354,000 | ||||||||||||
| 2.42 | % | | 4/18/08 | | 5/13/08 | | 16,119,074 | | 16,105,000 | ||||||||||||
| 2.42 | % | | 4/21/08 | | 5/13/08 | | 12,099,128 | | 12,091,000 | ||||||||||||
| Deutsche Bank | | 2.30 | % | | 4/21/08 | | 5/20/08 | | 1,550,990,278 | | 1,550,000,000 | |||||||||||
| 2.42 | % | | 4/14/08 | | 5/13/08 | | 908,701,258 | | 907,664,000 | ||||||||||||
| 2.42 | % | | 4/18/08 | | 5/13/08 | | 57,819,484 | | 57,769,000 | ||||||||||||
| 2.42 | % | | 4/21/08 | | 5/13/08 | | 24,583,514 | | 24,567,000 | ||||||||||||
| Goldman Sachs | | 2.42 | % | | 4/14/08 | | 5/13/08 | | 184,210,271 | | 184,000,000 | |||||||||||
| Lehman Brothers | | 2.39 | % | | 4/14/08 | | 5/13/08 | | 1,558,627,101 | | 1,556,870,000 | |||||||||||
| 2.39 | % | | 4/30/08 | | 5/13/08 | | 2,604,173 | | 2,604,000 | ||||||||||||
| 2.42 | % | | 4/14/08 | | 5/13/08 | | 356,777,252 | | 356,370,000 | ||||||||||||
| 2.42 | % | | 4/18/08 | | 5/13/08 | | 233,378,769 | | 233,175,000 | ||||||||||||
| | | | | $ | 6,405,095,000 | ||||||||||||||||
| ||||||||||||||||||||||
Details of underlying collateral for open reverse repurchase agreements at April 30, 2008, as reflected in the schedule of investments:
Series M:
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Citigroup | | Fannie Mae | | 5.50 | % | | 1/1/22 | | $ | 7,772,291 | | $ | 7,925,459 | |||||||||
| Fannie Mae | | 5.50 | % | | 3/1/22 | | 16,558,470 | | 16,881,269 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/22 | | 16,119,892 | | 16,434,142 | ||||||||||||
| Credit Suisse | | Fannie Mae | | 4.50 | % | | 1/25/25 | | 18,582,710 | | 18,674,249 | |||||||||||
| Fannie Mae | | 4.50 | % | | 11/25/26 | | 8,500,000 | | 7,962,128 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 6/1/19 | | 7,027,603 | | 7,093,624 | ||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 85
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 5.00 | % | | 7/1/20 | | $ | 6,286,989 | | $ | 6,336,229 | ||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/33 | | 16,621,602 | | 16,772,683 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/33 | | 15,308,418 | | 15,447,563 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/34 | | 6,305,497 | | 6,362,810 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/36 | | 7,365,616 | | 7,419,906 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/36 | | 6,605,355 | | 6,650,945 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/36 | | 6,603,867 | | 6,649,447 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/36 | | 7,720,348 | | 7,777,253 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/36 | | 21,959,367 | | 22,110,929 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/36 | | 14,134,610 | | 14,232,166 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/37 | | 21,985,948 | | 22,136,050 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/37 | | 32,323,366 | | 32,539,591 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/37 | | 43,373,275 | | 43,663,418 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/37 | | 26,753,725 | | 26,932,692 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/37 | | 39,473,899 | | 39,737,958 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/37 | | 39,814,584 | | 40,080,921 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 8/1/37 | | 9,726,865 | | 9,791,932 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 9/1/37 | | 11,998,806 | | 12,079,071 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/37 | | 8,720,597 | | 8,778,933 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/37 | | 19,935,336 | | 20,068,693 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/38 | | 15,689,188 | | 15,794,140 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/26 | | 7,233,216 | | 7,422,818 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/26 | | 22,023,623 | | 22,600,921 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 3/1/27 | | 10,306,888 | | 10,574,601 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 5/1/27 | | 7,335,661 | | 7,526,198 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/27 | | 8,414,297 | | 8,632,851 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/35 | | 10,527,194 | | 10,780,959 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/35 | | 6,609,747 | | 6,769,079 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/36 | | 31,442,276 | | 32,190,763 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 4/1/36 | | 23,508,160 | | 24,063,819 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/36 | | 8,234,696 | | 8,429,339 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/36 | | 15,750,307 | | 16,133,494 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/36 | | 16,138,005 | | 16,519,457 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/36 | | 25,323,125 | | 25,921,684 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/36 | | 23,782,000 | | 24,344,132 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/37 | | 15,227,641 | | 15,587,575 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 3/1/37 | | 19,841,636 | | 20,310,629 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 4/1/37 | | 14,329,937 | | 14,665,606 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 5/1/37 | | 32,021,795 | | 32,774,802 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/37 | | 13,183,019 | | 13,491,823 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/37 | | 49,171,316 | | 50,323,122 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/37 | | 145,173,278 | | 148,575,247 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/37 | | 48,483,988 | | 49,619,694 | ||||||||||||
| ||||||||||||||||||||||
86 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/37 | | $ | 112,557,964 | | $ | 115,194,561 | ||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/37 | | 164,606,709 | | 168,462,514 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/37 | | 78,713,446 | | 80,557,257 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/38 | | 47,032,200 | | 48,133,899 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 8/1/36 | | 9,500,004 | | 9,843,304 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 1/1/38 | | 6,465,316 | | 6,697,578 | ||||||||||||
| Freddie Mac | | 3.116 | % | | 8/15/32 | | 8,276,222 | | 8,173,647 | ||||||||||||
| Freddie Mac | | 4.95 | % | | 6/1/35 | | 11,530,687 | | 11,654,222 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 2/15/25 | | 12,000,000 | | 11,920,954 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 4/1/37 | | 6,916,403 | | 6,968,462 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 7/1/37 | | 16,493,983 | | 16,618,133 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 8/1/37 | | 7,484,775 | | 7,541,112 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 2/1/27 | | 17,592,482 | | 18,062,910 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 7/1/27 | | 12,462,473 | | 12,795,723 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 9/1/27 | | 17,916,023 | | 18,395,102 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 10/1/27 | | 7,382,205 | | 7,579,608 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 10/15/35 | | 13,329,826 | | 13,532,542 | ||||||||||||
| Deutsche Bank | | Fannie Mae | | 4.50 | % | | 5/1/22 | | 28,412,764 | | 28,092,077 | |||||||||||
| Fannie Mae | | 5.50 | % | | 9/1/36 | | 31,344,008 | | 31,609,317 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/37 | | 25,281,073 | | 25,450,190 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/37 | | 48,630,255 | | 48,955,564 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/37 | | 81,720,656 | | 82,267,322 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 9/1/37 | | 50,219,094 | | 50,555,032 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/36 | | 59,106,059 | | 60,503,140 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 2/1/37 | | 59,474,941 | | 60,880,741 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/37 | | 46,857,664 | | 47,955,274 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/37 | | 33,520,012 | | 34,305,197 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/37 | | 91,548,538 | | 93,693,003 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/37 | | 69,046,838 | | 70,664,215 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/37 | | 27,254,167 | | 27,892,579 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/38 | | 30,264,477 | | 30,973,402 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 1/15/25 | | 37,000,000 | | 36,538,062 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 11/1/26 | | 60,940,341 | | 62,587,297 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 1/1/27 | | 100,077,124 | | 102,781,779 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 5/1/27 | | 46,952,737 | | 48,208,267 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 6/1/27 | | 41,045,805 | | 42,143,382 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 8/1/27 | | 46,096,853 | | 47,329,496 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 3/15/36 | | 2,000,000 | | 2,058,736 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 4/15/36 | | 11,483,847 | | 11,821,104 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 5/15/36 | | 1,570,496 | | 1,616,711 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 7/15/36 | | 252,211,476 | | 259,618,395 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 8/15/36 | | 32,841,818 | | 33,808,205 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 9/15/36 | | 8,351,740 | | 8,597,013 | ||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 87
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 10/15/36 | | $ | 14,406,580 | | $ | 14,829,671 | ||||||||||
| Ginnie Mae | | 6.00 | % | | 11/15/36 | | 194,036,770 | | 199,743,260 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 1/15/37 | | 1,000,000 | | 1,029,068 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 2/15/37 | | 2,964,436 | | 3,050,606 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 3/15/37 | | 1,999,901 | | 2,058,034 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 4/15/37 | | 67,251,194 | | 69,232,274 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 5/15/37 | | 182,218,273 | | 187,588,385 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 6/15/37 | | 34,646,108 | | 35,659,489 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 7/15/37 | | 34,787,568 | | 35,798,769 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 8/15/37 | | 19,841,854 | | 20,418,615 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 9/15/37 | | 102,931,334 | | 105,959,325 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 10/15/37 | | 78,523,059 | | 80,828,751 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 11/15/37 | | 339,768,039 | | 349,699,724 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 12/15/37 | | 197,829,678 | | 203,580,983 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 1/15/38 | | 992,369 | | 1,021,633 | ||||||||||||
| Goldman Sachs | | Fannie Mae | | 6.00 | % | | 9/1/37 | | 71,111,135 | | 72,776,867 | |||||||||||
| Freddie Mac | | 6.00 | % | | 10/1/26 | | 64,820,760 | | 66,572,587 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 7/1/27 | | 50,788,561 | | 52,146,662 | ||||||||||||
| Lehman Brothers | | Fannie Mae | | 3.356 | % | | 8/25/21 | | 99,129 | | 98,307 | |||||||||||
| Fannie Mae | | 3.706 | % | | 12/25/08 | | 187,975 | | 188,179 | ||||||||||||
| Fannie Mae | | 4.00 | % | | 11/25/19 | | 3,653,540 | | 3,313,799 | ||||||||||||
| Fannie Mae | | 4.058 | % | | 1/1/34 | | 4,971,893 | | 5,079,193 | ||||||||||||
| Fannie Mae | | 4.448 | % | | 10/1/34 | | 589,637 | | 592,441 | ||||||||||||
| Fannie Mae | | 4.50 | % | | 11/25/14 | | 300,000 | | 303,752 | ||||||||||||
| Fannie Mae | | 4.50 | % | | 7/1/21 | | 1,775,486 | | 1,755,446 | ||||||||||||
| Fannie Mae | | 4.522 | % | | 12/1/34 | | 525,282 | | 530,036 | ||||||||||||
| Fannie Mae | | 4.824 | % | | 4/1/35 | | 1,092,519 | | 1,108,432 | ||||||||||||
| Fannie Mae | | 4.84 | % | | 1/1/33 | | 413,325 | | 426,931 | ||||||||||||
| Fannie Mae | | 4.892 | % | | 11/1/35 | | 4,717,484 | | 4,701,281 | ||||||||||||
| Fannie Mae | | 4.966 | % | | 2/1/33 | | 906,799 | | 935,989 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 9/25/14 | | 1,915,444 | | 1,948,405 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 1/25/16 | | 200,000 | | 203,105 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 9/1/17 | | 271,912 | | 275,345 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 1/1/19 | | 2,084,293 | | 2,106,480 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 6/1/19 | | 2,396,903 | | 2,419,421 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 7/1/19 | | 2,507,267 | | 2,530,821 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 8/1/19 | | 5,901,438 | | 5,956,879 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 9/1/19 | | 6,817,381 | | 6,885,057 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 10/1/19 | | 2,654,717 | | 2,679,657 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 11/1/19 | | 2,564,071 | | 2,588,159 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 12/1/19 | | 2,751,666 | | 2,777,517 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 1/1/20 | | 5,313,055 | | 5,362,969 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 2/1/20 | | 2,744,056 | | 2,765,547 | ||||||||||||
| ||||||||||||||||||||||
88 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 5.00 | % | | 3/1/20 | | $ | 248,798 | | $ | 250,746 | ||||||||||
| Fannie Mae | | 5.00 | % | | 4/1/20 | | 589,169 | | 593,784 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 5/1/20 | | 1,897,076 | | 1,911,934 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 6/1/20 | | 1,332,567 | | 1,343,003 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 7/1/20 | | 17,828,360 | | 17,967,992 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 8/1/20 | | 38,318,260 | | 38,618,370 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 9/1/20 | | 21,128,379 | | 21,293,858 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 10/1/20 | | 10,419,698 | | 10,501,306 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 11/1/20 | | 2,555,178 | | 2,575,191 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 12/1/20 | | 297,473 | | 299,803 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 1/1/21 | | 3,011,409 | | 3,033,438 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 2/1/21 | | 4,054,294 | | 4,085,633 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 3/1/21 | | 404,894 | | 407,559 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 4/1/21 | | 313,914 | | 315,981 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 5/1/21 | | 1,019,071 | | 1,025,778 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 6/1/21 | | 570,889 | | 574,646 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 7/1/21 | | 73,254 | | 73,736 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 10/1/21 | | 1,373,994 | | 1,383,038 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 9/1/35 | | 721,295 | | 709,943 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 10/1/35 | | 246,215,755 | | 242,340,775 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 2/1/36 | | 103,887,704 | | 102,252,704 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 11/1/36 | | 1,296,979 | | 1,275,756 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 2/1/37 | | 393,955 | | 387,424 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 4/1/37 | | 1,329,265 | | 1,307,231 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 5/1/37 | | 149,590 | | 147,143 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 6/1/37 | | 920,202 | | 904,950 | ||||||||||||
| Fannie Mae | | 5.00 | % | | 2/1/38 | | 90,345 | | 88,839 | ||||||||||||
| Fannie Mae | | 5.22 | % | | 6/1/20 | | 69,256 | | 69,592 | ||||||||||||
| Fannie Mae | | 5.322 | % | | 1/1/18 | | 109,366 | | 112,325 | ||||||||||||
| Fannie Mae | | 5.333 | % | | 5/1/18 | | 96,832 | | 97,641 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/16 | | 129,321 | | 132,516 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/17 | | 86,501 | | 88,611 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/18 | | 69,167 | | 70,855 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/21 | | 5,206,826 | | 5,317,573 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/21 | | 3,693,988 | | 3,766,785 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/21 | | 4,351,743 | | 4,437,502 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/21 | | 3,302,961 | | 3,368,052 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/21 | | 5,504,674 | | 5,613,155 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/21 | | 4,202,914 | | 4,285,741 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/21 | | 3,748,830 | | 3,822,708 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 8/1/21 | | 6,188,908 | | 6,311,464 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 10/1/21 | | 6,424,429 | | 6,551,035 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/21 | | 271,500 | | 276,851 | ||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 89
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/22 | | $ | 2,665,978 | | $ | 2,718,516 | ||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/22 | | 3,450,788 | | 3,518,793 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/25/24 | | 1,251,073 | | 1,272,845 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 10/1/32 | | 928,273 | | 937,291 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/32 | | 1,453,780 | | 1,468,127 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/32 | | 108,179 | | 109,230 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/33 | | 2,639,069 | | 2,664,706 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/33 | | 2,706,946 | | 2,733,103 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/33 | | 343,654 | | 346,993 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/33 | | 5,026,125 | | 5,071,809 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/33 | | 1,370,470 | | 1,382,927 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/33 | | 924,083 | | 932,482 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/33 | | 137,768 | | 139,020 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 8/1/33 | | 488,639 | | 493,081 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 9/1/33 | | 3,003,210 | | 3,030,508 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/33 | | 3,744,688 | | 3,778,725 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/34 | | 577,886 | | 583,138 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/34 | | 314,857 | | 317,719 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/34 | | 366,779 | | 370,113 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/34 | | 916,906 | | 924,667 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/35 | | 459,777 | | 463,669 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/35 | | 650,475 | | 655,269 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/35 | | 594,580 | | 596,995 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/35 | | 1,242,773 | | 1,247,822 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/35 | | 1,258,314 | | 1,263,426 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 10/1/35 | | 248,353 | | 249,362 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/35 | | 339,567 | | 342,070 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/35 | | 1,045,162 | | 1,052,865 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/36 | | 1,653,562 | | 1,665,750 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/36 | | 3,555,352 | | 3,580,343 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/36 | | 6,730,900 | | 6,777,655 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/36 | | 2,271,632 | | 2,287,310 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/36 | | 3,587,823 | | 3,612,586 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/36 | | 535,196 | | 538,890 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 8/1/36 | | 1,988,107 | | 2,001,829 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 10/1/36 | | 2,741,691 | | 2,760,614 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/36 | | 7,407,274 | | 7,458,399 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/36 | | 12,464,592 | | 12,550,622 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/37 | | 19,699,635 | | 19,835,083 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/37 | | 41,741,815 | | 42,024,194 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 3/1/37 | | 74,954,283 | | 75,456,255 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 4/1/37 | | 95,894,821 | | 101,336,036 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 5/1/37 | | 94,041,177 | | 94,671,077 | ||||||||||||
| ||||||||||||||||||||||
90 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 5.50 | % | | 6/1/37 | | $ | 34,245,527 | | $ | 34,475,073 | ||||||||||
| Fannie Mae | | 5.50 | % | | 7/1/37 | | 16,211,316 | | 16,319,761 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 8/1/37 | | 11,756,596 | | 11,835,665 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 9/1/37 | | 8,047,156 | | 8,100,987 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 10/1/37 | | 4,045,807 | | 4,072,871 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 11/1/37 | | 2,425,163 | | 2,441,386 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 12/1/37 | | 9,512,661 | | 9,576,296 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 1/1/38 | | 8,630,680 | | 8,688,415 | ||||||||||||
| Fannie Mae | | 5.50 | % | | 2/1/38 | | 2,923,225 | | 2,942,780 | ||||||||||||
| Fannie Mae | | 5.987 | % | | 1/1/20 | | 1,887,150 | | 1,907,076 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/23 | | 313,111 | | 322,518 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/26 | | 229,551 | | 235,568 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/27 | | 8,527,202 | | 8,748,689 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/27 | | 5,637,504 | | 5,783,933 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/27 | | 5,205,365 | | 5,340,570 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/27 | | 4,545,704 | | 4,663,775 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/27 | | 1,475,716 | | 1,514,047 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/29 | | 74,294 | | 76,608 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/31 | | 483,242 | | 498,288 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/33 | | 92,552 | | 95,086 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/34 | | 91,097 | | 93,450 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/34 | | 118,442 | | 121,501 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/34 | | 1,096,196 | | 1,124,505 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/35 | | 759,664 | | 779,282 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 2/1/35 | | 127,856 | | 130,938 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 4/1/35 | | 108,115 | | 110,907 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 5/1/35 | | 249,128 | | 255,134 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/35 | | 2,756,287 | | 2,822,729 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/35 | | 3,939,361 | | 4,034,322 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/35 | | 83,264 | | 85,271 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/35 | | 1,445,879 | | 1,480,733 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/35 | | 1,642,649 | | 1,682,246 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/35 | | 8,070,505 | | 8,265,050 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/36 | | 7,392,667 | | 7,569,264 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 2/1/36 | | 9,622,760 | | 9,852,532 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 3/1/36 | | 16,747,107 | | 17,145,148 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 4/1/36 | | 10,047,091 | | 10,284,759 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 5/1/36 | | 7,954,496 | | 8,143,407 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/36 | | 16,458,951 | | 16,847,989 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/36 | | 17,558,196 | | 17,973,216 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/36 | | 24,589,121 | | 25,170,330 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/36 | | 25,893,925 | | 26,506,349 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/36 | | 31,263,571 | | 32,002,634 | ||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 91
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/36 | | $ | 8,624,636 | | $ | 8,828,495 | ||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/36 | | 21,856,749 | | 22,373,374 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/37 | | 21,455,883 | | 21,963,011 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 2/1/37 | | 9,100,178 | | 9,313,778 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 3/1/37 | | 11,818,608 | | 12,095,835 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 4/1/37 | | 17,480,471 | | 17,890,151 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 5/1/37 | | 15,362,726 | | 15,722,740 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 6/1/37 | | 25,780,475 | | 26,384,514 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 7/1/37 | | 27,340,871 | | 27,985,745 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 8/1/37 | | 34,687,588 | | 35,501,056 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 9/1/37 | | 32,619,174 | | 33,383,644 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 10/1/37 | | 133,326,827 | | 136,452,069 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 11/1/37 | | 132,226,721 | | 135,324,290 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 12/1/37 | | 47,015,615 | | 48,121,649 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 1/1/38 | | 14,418,894 | | 14,756,647 | ||||||||||||
| Fannie Mae | | 6.00 | % | | 2/1/38 | | 9,742,510 | | 9,970,425 | ||||||||||||
| Fannie Mae | | 6.003 | % | | 1/1/22 | | 958,869 | | 970,341 | ||||||||||||
| Fannie Mae | | 6.041 | % | | 5/1/28 | | 940,155 | | 957,957 | ||||||||||||
| Fannie Mae | | 6.449 | % | | 5/1/34 | | 439,170 | | 443,288 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 1/1/25 | | 133,226 | | 138,460 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 7/18/27 | | 265,308 | | 277,862 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 1/1/29 | | 131,196 | | 137,126 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 2/1/32 | | 158,923 | | 165,461 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 8/1/32 | | 124,306 | | 129,419 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 11/1/32 | | 282,214 | | 293,823 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 10/1/33 | | 162,752 | | 169,244 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 7/1/34 | | 1,285,902 | | 1,337,712 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 12/1/34 | | 3,522,452 | | 3,656,347 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 6/1/35 | | 3,846,790 | | 3,993,014 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 3/1/36 | | 882,611 | | 914,506 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 6/1/36 | | 783,745 | | 812,067 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 7/1/36 | | 1,030,391 | | 1,067,626 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 8/1/36 | | 834,121 | | 864,264 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 9/1/36 | | 1,454,360 | | 1,506,916 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 10/1/36 | | 377,910 | | 391,566 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 11/1/36 | | 2,699,263 | | 2,796,806 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 12/1/36 | | 2,810,197 | | 2,911,749 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 1/1/37 | | 1,656,067 | | 1,715,748 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 2/1/37 | | 135,655 | | 140,528 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 3/1/37 | | 1,398,773 | | 1,449,055 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 4/1/37 | | 359,120 | | 372,021 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 5/1/37 | | 110,534 | | 114,505 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 6/1/37 | | 1,185,850 | | 1,228,451 | ||||||||||||
| ||||||||||||||||||||||
92 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Fannie Mae | | 6.50 | % | | 7/1/37 | | $ | 6,796,856 | | $ | 7,041,226 | ||||||||||
| Fannie Mae | | 6.50 | % | | 8/1/37 | | 2,245,802 | | 2,326,481 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 9/1/37 | | 8,057,744 | | 8,347,213 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 10/1/37 | | 6,099,197 | | 6,318,352 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 11/1/37 | | 2,413,468 | | 2,500,170 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 12/1/37 | | 197,735,351 | | 204,838,865 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 1/1/38 | | 4,462,915 | | 4,623,242 | ||||||||||||
| Fannie Mae | | 6.50 | % | | 3/1/38 | | 500,000 | | 517,912 | ||||||||||||
| Fannie Mae | | 6.543 | % | | 9/1/32 | | 595,134 | | 603,404 | ||||||||||||
| Fannie Mae | | 6.578 | % | | 1/1/33 | | 1,028,340 | | 1,036,647 | ||||||||||||
| Fannie Mae | | 6.627 | % | | 12/1/32 | | 678,894 | | 689,641 | ||||||||||||
| Fannie Mae | | 6.74 | % | | 5/1/33 | | 416,718 | | 422,874 | ||||||||||||
| Fannie Mae | | 6.823 | % | | 10/1/32 | | 82,486 | | 84,092 | ||||||||||||
| Fannie Mae | | 7.01 | % | | 8/1/22 | | 129,219 | | 137,790 | ||||||||||||
| Fannie Mae | | 7.095 | % | | 9/1/27 | | 177,658 | | 179,901 | ||||||||||||
| Fannie Mae | | 7.172 | % | | 9/1/35 | | 767,800 | | 781,240 | ||||||||||||
| Fannie Mae | | 11.00 | % | | 7/15/20 | | 337,117 | | 390,042 | ||||||||||||
| Freddie Mac | | 3.166 | % | | 9/15/16 | | 654,881 | | 650,377 | ||||||||||||
| Freddie Mac | | 3.166 | % | | 8/15/29 | | 153,221 | | 151,450 | ||||||||||||
| Freddie Mac | | 3.166 | % | | 12/15/31 | | 97,979 | | 96,766 | ||||||||||||
| Freddie Mac | | 3.316 | % | | 5/15/29 | | 205,570 | | 205,511 | ||||||||||||
| Freddie Mac | | 3.40 | % | | 3/15/20 | | 100,367 | | 100,377 | ||||||||||||
| Freddie Mac | | 3.40 | % | | 2/15/24 | | 223,145 | | 222,236 | ||||||||||||
| Freddie Mac | | 3.539 | % | | 5/1/34 | | 1,142,854 | | 1,145,767 | ||||||||||||
| Freddie Mac | | 3.70 | % | | 12/15/13 | | 279,602 | | 280,957 | ||||||||||||
| Freddie Mac | | 3.90 | % | | 9/15/22 | | 159,763 | | 161,091 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 4/1/35 | | 287,545 | | 283,150 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 6/1/35 | | 91,002 | | 89,611 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 8/1/35 | | 98,149 | | 96,649 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 9/1/35 | | 722,557 | | 711,513 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 11/1/35 | | 118,382 | | 116,572 | ||||||||||||
| Freddie Mac | | 5.00 | % | | 2/1/36 | | 252,245 | | 248,389 | ||||||||||||
| Freddie Mac | | 5.096 | % | | 10/1/32 | | 714,455 | | 725,446 | ||||||||||||
| Freddie Mac | | 5.28 | % | | 4/1/32 | | 217,356 | | 219,076 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 1/1/35 | | 374,856 | | 378,380 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 6/1/35 | | 849,445 | | 857,431 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 7/1/36 | | 1,824,391 | | 1,838,670 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 4/1/37 | | 107,390 | | 108,198 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 6/1/37 | | 141,309 | | 142,372 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 7/1/37 | | 930,088 | | 937,089 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 8/1/37 | | 5,953,981 | | 5,998,796 | ||||||||||||
| Freddie Mac | | 5.50 | % | | 10/1/37 | | 687,514 | | 692,689 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 8/15/16 | | 135,672 | | 141,170 | ||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 93
3. Investment in Securities (continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Rate | | Maturity Date | | Par | | Market Value | ||||||||||||
| Freddie Mac | | 6.00 | % | | 4/1/17 | | $ | 1,175,205 | | $ | 1,213,564 | ||||||||||
| Freddie Mac | | 6.00 | % | | 5/1/17 | | 80,669 | | 83,302 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 6/1/17 | | 99,094 | | 102,329 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 7/1/17 | | 206,879 | | 213,631 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 7/1/27 | | 3,206,183 | | 3,291,917 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 8/1/27 | | 1,489,376 | | 1,529,203 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 10/1/27 | | 5,890,309 | | 6,047,818 | ||||||||||||
| Freddie Mac | | 6.00 | % | | 12/15/28 | | 3,156,867 | | 3,224,783 | ||||||||||||
| Freddie Mac | | 6.011 | % | | 2/1/33 | | 295,347 | | 297,646 | ||||||||||||
| Freddie Mac | | 6.059 | % | | 3/1/32 | | 364,399 | | 365,719 | ||||||||||||
| Freddie Mac | | 6.252 | % | | 8/1/32 | | 197,115 | | 199,019 | ||||||||||||
| Freddie Mac | | 6.475 | % | | 1/1/32 | | 197,118 | | 199,005 | ||||||||||||
| Freddie Mac | | 6.50 | % | | 8/15/16 | | 207,168 | | 217,111 | ||||||||||||
| Freddie Mac | | 6.632 | % | | 2/1/29 | | 415,249 | | 418,134 | ||||||||||||
| Freddie Mac | | 6.973 | % | | 8/1/29 | | 82,199 | | 83,174 | ||||||||||||
| Freddie Mac | | 7.134 | % | | 10/1/32 | | 353,208 | | 357,123 | ||||||||||||
| Freddie Mac | | 7.50 | % | | 8/15/30 | | 249,599 | | 268,913 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 6/15/29 | | 383,981 | | 390,391 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 1/15/34 | | 1,576,964 | | 1,601,932 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 3/15/34 | | 1,114,449 | | 1,132,094 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 12/15/34 | | 1,318,821 | | 1,339,702 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 2/15/35 | | 308,634 | | 313,395 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 3/15/35 | | 1,373,744 | | 1,394,934 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 6/15/35 | | 1,276,417 | | 1,296,105 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 8/15/35 | | 434,255 | | 440,953 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 9/15/35 | | 6,213,149 | | 6,308,986 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 10/15/35 | | 1,265,375 | | 1,284,893 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 11/15/35 | | 2,350,283 | | 2,386,536 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 12/15/35 | | 1,159,619 | | 1,177,506 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 1/15/36 | | 1,882,912 | | 1,911,549 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 2/15/36 | | 1,621,023 | | 1,645,676 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 3/15/36 | | 5,580,691 | | 5,665,565 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 4/15/36 | | 907,973 | | 921,782 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 5/15/36 | | 317,582 | | 322,412 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 12/15/36 | | 464,326 | | 473,050 | ||||||||||||
| Ginnie Mae | | 5.50 | % | | 2/15/37 | | 567,230 | | 575,686 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 6/15/36 | | 571,825 | | 588,618 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 8/15/36 | | 568,429 | | 585,122 | ||||||||||||
| Ginnie Mae | | 6.00 | % | | 6/15/37 | | 3,104,678 | | 3,194,924 | ||||||||||||
| | | | | $ | 6,647,019,974 | ||||||||||||||||
| ||||||||||||||||||||||
94 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
3. Investment in Securities (continued)
(g) Short sales outstanding at April 30, 2008:
| Series C: | | Coupon | | Maturity | | Par | | Proceeds | | Value | ||||||||||||
| Fannie Mae | | 5.50 | % | | TBA | | $ | 365,661,000 | | $ | 363,635,151 | | $ | 367,660,800 | ||||||||
| U.S. Treasury Bonds & Notes | | 3.25 | % | | 12/31/09 | | 54,700,000 | | 56,119,501 | | 55,618,796 | |||||||||||
| | | | | $ | 423,279,596 | ||||||||||||||||
| ||||||||||||||||||||||
| Series M: | | Coupon | | Maturity | | Par | | Proceeds | | Value | ||||||||||||
| Fannie Mae | | 5.50 | % | | TBA | | $ | 1,679,500,000 | | $ | 1,677,182,109 | | $ | 1,688,685,186 | ||||||||
| Fannie Mae | | 6.00 | % | | TBA | | 74,800,000 | | 76,388,609 | | 76,471,331 | |||||||||||
| Freddie Mac | | 5.00 | % | | TBA | | 4,300,000 | | 4,240,875 | | 4,225,421 | |||||||||||
| Freddie Mac | | 5.50 | % | | TBA | | 179,000,000 | | 180,908,867 | | 180,146,674 | |||||||||||
| U.S. Treasury Bonds & Notes | | 2.50 | % | | 3/31/13 | | 41,900,000 | | 41,704,924 | | 40,931,104 | |||||||||||
| | | | | $ | 1,990,459,716 | ||||||||||||||||
| ||||||||||||||||||||||
| Series R: | | Coupon | | Maturity | | Par | | Proceeds | | Value | ||||||||||||
| Fannie Mae | | 5.00 | % | | TBA | | $ | 400,000 | | $ | 394,875 | | $ | 392,938 | ||||||||
| Fannie Mae | | 5.50 | % | | TBA | | 8,700,000 | | 8,759,320 | | 8,747,580 | |||||||||||
| Fannie Mae | | 6.00 | % | | TBA | | 800,000 | | 824,000 | | 823,875 | |||||||||||
| Ginnie Mae | | 5.50 | % | | TBA | | 600,000 | | 604,969 | | 607,781 | |||||||||||
| Ginnie Mae | | 6.00 | % | | TBA | | 1,700,000 | | 1,743,312 | | 1,746,485 | |||||||||||
| Ginnie Mae | | 6.50 | % | | TBA | | 1,000,000 | | 1,037,500 | | 1,037,656 | |||||||||||
| U.S. Treasury Bonds & Notes | | 2.125 | % | | 4/30/10 | | 8,200,000 | | 8,153,525 | | 8,178,221 | |||||||||||
| U.S. Treasury Bonds & Notes | | 2.50 | % | | 3/31/13 | | 3,100,000 | | 3,041,104 | | 3,028,316 | |||||||||||
| U.S. Treasury Bonds & Notes | | 3.50 | % | | 2/15/18 | | 7,890,000 | | 7,727,858 | | 7,724,807 | |||||||||||
| U.S. Treasury Bonds & Notes | | 4.125 | % | | 8/31/12 | | 800,000 | | 850,121 | | 838,626 | |||||||||||
| U.S. Treasury Bonds & Notes | | 4.25 | % | | 8/15/14 | | 100,000 | | 107,103 | | 105,852 | |||||||||||
| U.S. Treasury Bonds & Notes | | 4.75 | % | | 8/15/17 | | 600,000 | | 654,432 | | 647,110 | |||||||||||
| U.S. Treasury Bonds & Notes | | 4.75 | % | | 2/15/37 | | 400,000 | | 413,929 | | 417,469 | |||||||||||
| U.S. Treasury Bonds & Notes | | 4.875 | % | | 8/15/16 | | 800,000 | | 889,624 | | 871,313 | |||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes | | 0.875 | % | | 4/15/10 | | 4,397,211 | | 4,420,819 | | 4,459,049 | |||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes | | 1.625 | % | | 1/15/18 | | 611,040 | | 618,304 | | 619,920 | |||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes | | 2.00 | % | | 4/15/12 | | 4,204,400 | | 4,399,116 | | 4,428,747 | |||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes | | 2.50 | % | | 7/15/16 | | 2,007,236 | | 2,188,281 | | 2,194,162 | |||||||||||
| U.S. Treasury Inflation Indexed Bonds & Notes | | 3.00 | % | | 7/15/12 | | 28,269,651 | | 30,813,780 | | 31,025,970 | |||||||||||
| | | | | $ | 77,895,877 | ||||||||||||||||
| ||||||||||||||||||||||
4.30.08 | Fixed Income SHares—Series C, H, M, R Semi-Annual Report 95
3. Investment in Securities (continued)
(h) At April 30, 2008, Series C had the following unfunded loan commitment which could be extended at the option of the borrower:
| Borrower | | Amount | ||||
| Las Vegas Sands Corp. | | $ | 200,000 | |||
| ||||||
4. Income Tax Information
The cost of investments for federal income tax purposes and gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2008 were:
| Cost of Investments | | Gross Unrealized Appreciation | | Gross Unrealized Depreciation | | Net Unrealized Appreciation (Depreciation) | |||||||||||
| Series C | | $ | 2,618,626,705 | | $ | 41,767,625 | | $ | (74,439,511 | ) | | $ | (32,671,886 | ) | ||||
| Series H | | 2,816,164 | | — | | (286,609 | ) | | (286,609 | ) | ||||||||
| Series M | | 10,578,415,931 | | 238,906,231 | | (174,273,999 | ) | | 64,632,232 | |||||||||
| Series R | | 304,090,884 | | 3,091,990 | | (2,579,912 | ) | | 512,078 | |||||||||
| ||||||||||||||||||
5. Legal Proceedings
In June and September 2004, the Investment Manager and certain of its affiliates (including PEA Capital LLC (‘‘PEA’’), Allianz Global Investors Distributors LLC and Allianz Global Investors of America, L.P.) agreed to settle, without admitting or denying the allegations, claims brought by the Securities and Exchange Commission and the New Jersey Attorney General alleging violations of federal and state securities laws with respect to certain open-end funds for which the Investment Manager serves as investment adviser. The settlements related to an alleged ‘‘market timing’’ arrangement in certain open-end funds formerly sub-advised by PEA. The Investment Manager and its affiliates agreed to pay a total of $68 million to settle the claims. In addition to monetary payments, the settling parties agreed to undertake certain corporate governance, compliance and disclosure reforms related to market timing and consented to cease and desist orders and censures. Subsequent to these events, PEA deregistered as an investment adviser and dissolved. None of the settlements alleged that any inappropriate activity took place with respect to the Portfolios.
Since February 2004, the Investment Manager and certain of its affiliates and their employees have been named as defendants in a number of pending lawsuits concerning ‘‘market timing’’, which allege the same or similar conduct underlying the regulatory settlements discussed above. The market timing lawsuits have been consolidated in a multi-district litigation proceeding in the U.S. District Court for the District of Maryland. Any potential resolution of these matters may include, but not be limited to, judgments or settlements for damages against the Investment Manager or its affiliates or related injunctions.
The Investment Manager and the Sub-Adviser believe that these matters are not likely to have a material adverse effect on the Portfolios or on their ability to perform their respective investment advisory activities relating to the Portfolios.
The foregoing speaks only as of the date hereof.
96 Fixed Income SHares—Series C, H, M, R Semi-Annual Report | 4.30.08
Trustees and Principal Officers
| | | | | | |
| Hans W. Kertess Trustee, Chairman of the Board of Trustees | | Brian S. Shlissel President & Chief Executive Officer | ||||
| Paul Belica Trustee | | Lawrence G. Altadonna Treasurer, Principal Financial & Accounting Officer | ||||
| Robert E. Connor Trustee | | Thomas J. Fuccillo Vice President, Secretary & Chief Legal Officer | ||||
| John J. Dalessandro II Trustee | | Scott Whisten Assistant Treasurer | ||||
| John C. Maney Trustee | | Youse E. Guia Chief Compliance Officer | ||||
| William B. Ogden, IV Trustee | | William V. Healey Assistant Secretary | ||||
| R. Peter Sullivan III Trustee | | Richard H. Kirk Assistant Secretary | ||||
| Kathleen A. Chapman Assistant Secretary | |||||
| Lagan Srivastava Assistant Secretary | |||||
| Richard J. Cochran Assistant Treasurer | |||||
| ||||||
Investment Manager/Administrator
Allianz Global Investors Fund Management LLC
1345 Avenue of the Americas
New York, NY 10105
Sub-Adviser
Pacific Investment Management Company LLC
840 Newport Center Drive
Newport Beach, CA 92660
Distributor
Allianz Global Investors Fund Management LLC
1345 Avenue of the Americas
New York, NY 10105
Custodian & Accounting Agent
State Street Bank & Trust Co.
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar
Boston Financial Data Services-Midwest
330 West 9th Street
Kansas City, MO 64105
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1055 Broadway, 10th Floor
Kansas City, MO 64105
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02210-2624
This report, including the financial information herein, is transmitted to the shareholders of Fixed Income SHares-Series C, M, H, R for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Trust or any securities mentioned in this report.
The financial information included herein is taken from the records of the Portfolios without examination by an independent registered accounting firm, who did not express an opinion hereon.
The Portfolios file their complete schedules of portfolio holdings with the Securities and Exchange Commission (‘‘SEC’’) for the first and third quarters of their fiscal year on Form N-Q. The Portfolios’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
This report, including the financial information herein, is transmitted to the shareholders of Allianz Dresdner Daily Asset Fund for their information. It is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
June 12, 2008
Dear Shareholder:
We are pleased to provide you with the semi-annual report for Allianz Dresdner Daily Asset Fund (‘‘the Fund’’) for the period April 30, 2008.
The first half of 2008 saw many of the same challenges as the last five months of 2007. The main difference was the intervention and support of the Federal Reserve (the ‘‘Fed’’). The Fed continued lowering interest rates in 2008 by another 225 basis points to a current Fed Funds level of 2.00%. This intervention was necessary to alleviate some of the concerns that higher interest rates posed for the affordability of housing and for floating rate mortgages. The Fed also acted to increase liquidity in the market by accepting various forms of collateral as part of its Term Auction Facility (‘‘TAF’’). The TAF has been effective in adding liquidity to the broker-dealer community and rem oving some of the concerns which entered the market following JP Morgan’s purchase of Bear Stearns with assistance from the Fed.
Although the market has benefited from the Fed’s recent actions, it is still not back to normalcy. The short end of the market has seen some improvement in liquidity, but generally at a premium for the use of balance sheets. Until banks and broker-dealers gain a firmer grasp of their risks, and alleviate pressures on their own balance sheets, it will be difficult for them to provide more liquidity to the markets. This limited liquidity in the market has kept many short term investors in very short duration investments with very high quality counterparts.
At the beginning of the year, the Fund was a little over $5.4 billion, with a weighted average maturity of 15 days. The Fund’s size has continued to contract as clients opt for non-commingled cash investment strategies so that by the end of the first half of 2008, the size of the Fund was $2.6 billion. Currently, all cash from maturing securities is re-invested in AA rated bank overnight time deposits.
John Bilello, Portfolio Manager
Dresdner Advisors LLC
04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 1
Primary Investments:
Money Market Instruments
Inception Date:
3/24/04
Net Assets:
$3.0 billion
Portfolio Manager:
John Bilello
| | | | | | |
| Total Return | | |||||
| Six Months ended April 30, 2008 | | 1.92 | % | |||
| ||||||
Past performance is no guarantee of future results. Returns shown do not reflect the deduction of taxes that a shareholder would pay on distributions or the redemption of shares. Total return for a period of less than one year is not annualized.
| | | | | | |
| Seven Day & Thirty-Day Yields (periods ended April 30, 2008): | | |||||
| 7 day yield | | 2.41 | % | |||
| 7 day compounded yield | | 2.43 | % | |||
| 30 day yield | | 2.53 | % | |||
| 30 day compounded yield | | 2.56 | % | |||
| ||||||
Investments in the Fund are not insured or guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
The 7-day yield quotation more closely reflects the current earnings of the Fund than the six-month total return quotation.
| | | | | | |
| Asset Allocation (% of investments) | | |||||
| ||||||
Expense Example: Please refer to the ‘‘Important Fund Information’’ page herein for an explanation of the information presented in the following Expense Example.
| | | | | | | | | | | | | | | | | | |
| Beginning Account Value November 1, 2007 | | Ending Account Value April 30, 2008 | | Annualized Expense Ratio based on the Period November 1, 2007 through April 30, 2008 | | Expenses Paid during the Period** November 1, 2007 through April 30, 2008 | |||||||||||
| Actual | | $1,000 | | $1,019.20 | | 0.06% | | $0.30 | ||||||||||
| Hypothetical | | $1,000 | | $1,024.57 | | 0.06% | | $0.30 | ||||||||||
| ||||||||||||||||||
| |
| ** | Expenses are equal to the Fund’s annualized expense ratio of 0.06%, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the number of days in the period). |
2 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08
The following disclosure provides important information regarding the Fund’s Expense Example, which appears on the Fund’s Performance & Statistics page in this Semi-Annual Report. Please refer to this information when reviewing the Expense Example for the Fund.
Shareholder Expense Example:
As a shareholder of the Fund you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including Management and Administrative fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (November 1, 2007 to April 30, 2008).
Actual Expenses:
The first line of the expense table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled ‘‘Expenses Paid During Period’’ to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes:
The second line of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account value and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this information with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
Proxy Voting — Since the Fund invests exclusively in non-voting securities, the Fund does not have proxy voting policies and procedures.
Form N-Q — The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (‘‘SEC’’) for the first and third quarters of its fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330.
04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 3
| | | | | | | | | | |
| Principal Amount (000) | | | Value | |||||||
CORPORATE NOTES–51.9% | ||||||||||
| $ | 24,878 | | American Express Co., 3.129%, 6/5/08, FRN | | $ | 24,879,766 | ||||
| 51,005 | | Berkshire Hathaway Finance Corp., 3.13%, 5/16/08, FRN | | 51,004,666 | ||||||
| Beta Finance, Inc., FRN (a)(b)(c), | | ||||||||
| 30,000 | | 2.518%, 5/1/08 | | 30,000,105 | ||||||
| 110,000 | | 3.035%, 5/20/08 | | 109,988,424 | ||||||
| 39,000 | | 3.058%, 5/23/08 | | 38,995,685 | ||||||
| 23,000 | | BMW US Capital LLC, 2.756%, 5/15/08, FRN (a) | | 23,000,000 | ||||||
| 10,000 | | BNP Paribas, 2.886%, 5/27/08, FRN (a) | | 10,000,000 | ||||||
| CC USA, Inc., FRN (a)(b)(c), | | ||||||||
| 2,000 | | 2.295%, 5/1/08 | | 1,999,682 | ||||||
| 5,100 | | 2.518%, 5/1/08 | | 5,100,000 | ||||||
| 100,000 | | 3.033%, 5/14/08 | | 99,989,888 | ||||||
| 60,000 | | 3.043%, 5/22/08 | | 59,993,522 | ||||||
| 86,000 | | 3.045%, 5/27/08 | | 85,990,485 | ||||||
| 25,000 | | CIT Group, Inc., 2.578%, 5/1/08, FRN | | 25,000,269 | ||||||
| 9,680 | | Credit Suisse USA, Inc., 2.648%, 5/1/08, FRN | | 9,681,257 | ||||||
| Dorada Finance, Inc., FRN (a)(b)(c), | | ||||||||
| 2,900 | | 2.518%, 5/1/08 | | 2,900,000 | ||||||
| 60,000 | | 2.696%, 5/6/08 | | 59,996,724 | ||||||
| 15,000 | | 2.89%, 5/23/08 | | 15,000,174 | ||||||
| General Electric Capital Corp., Ser. A, FRN, | | ||||||||
| 41,140 | | 2.944%, 5/22/08 | | 41,150,215 | ||||||
| 1,700 | | 3.007%, 7/28/08 | | 1,700,403 | ||||||
| 50,000 | | Goldman Sachs Group, Inc., 3.013%, 7/29/08, FRN | | 49,978,305 | ||||||
| 75,000 | | HSH Nordbank AG, 2.81%, 5/21/08, FRN (a)(c) | | 75,000,000 | ||||||
| 20,000 | | JPMorgan Chase & Co., 2.727%, 5/12/08, FRN | | 20,000,000 | ||||||
| 25,000 | | K2 USA LLC, 2.508%, 5/1/08, FRN (a)(b)(c) | | 25,000,200 | ||||||
| 20,000 | | Lehman Brothers Holdings, Inc., 2.558%, 5/1/08, FRN | | 20,000,901 | ||||||
| 31,000 | | Macquarie Bank Ltd., 2.82%, 5/21/08, FRN (a)(c) | | 31,000,000 | ||||||
| Merrill Lynch & Co., Inc., FRN, | | ||||||||
| 92,000 | | 2.548%, 5/1/08 | | 92,006,537 | ||||||
| 40,000 | | 2.648%, 5/1/08 | | 40,010,161 | ||||||
| 1,200 | | 2.823%, 5/16/08 | | 1,200,177 | ||||||
| 75,000 | | 2.864%, 5/22/08 | | 75,000,000 | ||||||
| 15,000 | | 2.916%, 5/27/08 | | 14,999,566 | ||||||
| 4,350 | | 3.168%, 5/22/08 | | 4,347,850 | ||||||
| 10,000 | | Morgan Stanley, 2.85%, 5/6/08, FRN | | 10,000,000 | ||||||
| 14,000 | | Northern Rock PLC, 2.77%, 5/6/08, FRN (a)(c) | | 14,000,000 | ||||||
| 50,000 | | Royal Bank of Canada, 2.711%, 5/6/08, FRN (a)(c) | | 50,000,000 | ||||||
| Sigma Finance, Inc., FRN (a)(b)(c), | | ||||||||
| 100,000 | | 2.49%, 5/1/08 | | 99,995,992 | ||||||
| 10,000 | | 2.503%, 5/1/08 | | 9,999,832 | ||||||
| 153,000 | | 2.518%, 5/1/08 | | 153,001,364 | ||||||
| ||||||||||
4 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08
| | | | | | | | | | |
| Principal Amount (000) | | | Value | |||||||
| UniCredito Italiano Bank Ireland PLC, FRN, | | ||||||||
| $ | 50,000 | | 2.706%, 7/11/08 (a) | | $ | 50,000,000 | ||||
| 25,000 | | 2.754%, 5/9/08 | | 25,000,000 | ||||||
| Total Corporate Notes (cost–$1,556,912,150) | | 1,556,912,150 | |||||||
TIME DEPOSITS–29.5% | ||||||||||
| 75,000 | | BNP Paribas, 2.50%, 5/1/08 | | 75,000,000 | ||||||
| 125,000 | | Danske Bank, 2.53%, 5/1/08 | | 125,000,000 | ||||||
| 125,000 | | Dexia Credit Local S.A, 2.50%, 5/1/08 | | 125,000,000 | ||||||
| 125,000 | | ING Bank Grand Cayman, 2.438%, 5/1/08 | | 125,000,000 | ||||||
| 125,000 | | Lloyd’s Bank PLC, 2.45%, 5/1/08 | | 125,000,000 | ||||||
| 58,246 | | Natixis S.A. Grand Cayman, 2.38%, 5/1/08 | | 58,246,032 | ||||||
| 125,000 | | Nordea Bank AB, 2.50%, 5/1/08 | | 125,000,000 | ||||||
| 125,000 | | Svenska Handlesbanken, Inc., 2.40%, 5/1/08 | | 125,000,000 | ||||||
| Total Time Deposits (cost–$883,246,032) | | 883,246,032 | |||||||
FLOATING RATE NOTES–11.1% | ||||||||||
| 3,700 | | Abbey National Treasury Services PLC, 2.653%, 6/2/08 | | 3,699,173 | ||||||
| BNP Paribas, | | ||||||||
| 20,500 | | 2.64%, 5/6/08 | | 20,498,585 | ||||||
| 37,300 | | 2.829%, 5/28/08 | | 37,297,833 | ||||||
| 91,700 | | Fortis Bank S.A. NV, 2.808%, 5/30/08 | | 91,692,118 | ||||||
| Royal Bank of Canada, | | ||||||||
| 26,100 | | 2.808%, 5/30/08 | | 26,097,658 | ||||||
| 90,000 | | 2.826%, 5/29/08 | | 89,988,096 | ||||||
| 20,500 | | Royal Bank of Scotland PLC, 2.64%, 5/6/08 | | 20,497,934 | ||||||
| Societe Generale, | | ||||||||
| 39,300 | | 2.83%, 5/29/08 | | 39,294,118 | ||||||
| 5,100 | | 2.835%, 5/28/08 | | 5,099,653 | ||||||
| Total Floating Rate Notes (cost–$334,165,168) | | 334,165,168 | |||||||
COMMERCIAL PAPER–4.2% | ||||||||||
| 125,000 | | K2 USA LLC, 2.82%, 8/20/08 (a)(b)(c) (cost–$124,988,627) | | 124,988,627 | ||||||
MORTGAGE-BACKED SECURITIES–3.3% | ||||||||||
| 98,075 | | Paragon Mortgages PLC, 2.716%, 5/15/08, CMO, FRN (a)(c) (cost–$98,075,340) | | 98,075,340 | ||||||
BANK NOTES–0.1% | ||||||||||
| 1,700 | | Bank of America NA, 2.92%, 7/25/08, FRN | | 1,700,075 | ||||||
| 2,400 | | Wachovia Bank NA, 2.876%, 5/27/08, FRN | | 2,399,926 | ||||||
| Total Bank Notes (cost–$4,100,001) | | 4,100,001 | |||||||
| ||||||||||
04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 5
| Principal Amount (000) | | | | Value | ||||||||||
REPURCHASE AGREEMENT–0.0% | ||||||||||||||
| $ | 644 | | State Street Bank & Trust Co., dated 4/30/08, 1.70%, due 5/1/08, proceeds $644,030; collateralized by Federal Home Loan Bank, 2.29% due 4/23/09, valued at $660,000 including accrued interest (cost–$644,000) | | | $ | 644,000 | |||||||
| Total Investments (cost–$3,002,131,318) | | 100.1 | % | | 3,002,131,318 | ||||||||
| Liabilities in excess of other assets | | (0.1 | ) | | (2,004,067 | ) | |||||||
| Net Assets | | 100.0 | % | | $ | 3,000,127,251 | |||||||
| ||||||||||||||
6 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08
| |
| |
|
Notes to Schedule of Investments:
| | |
| (a) | 144A Security–Security exempt from registration, under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, typically only to qualified institutional buyers. Unless otherwise indicated, these securities are not considered to be illiquid. |
| | |
| (b) | Issued by structured investment vehicles (‘‘SIV’’). |
| | |
| (c) | Illiquid security. See Note 1(b) to Financial Statements (‘‘Illiquid Securities’’). |
| |
| |
|
Glossary:
| |
| CMO – Collateralized Mortgage Obligation |
| |
| FRN – Floating Rate Note, maturity date shown is date of next rate change and the interest rate disclosed reflects the rate in effect on April 30, 2008. |
See accompanying Notes to Financial Statements | 04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 7
| | | | | | |
| Assets: | | |||||
| Investments, at value (cost–$3,002,131,318) | | $3,002,131,318 | ||||
| Interest receivable | | 5,330,972 | ||||
| Receivable from custodian | | 133,305 | ||||
| Prepaid expenses | | 219,797 | ||||
| Total Assets | | 3,007,815,392 | ||||
| Liabilities: | | |||||
| Dividends payable | | 7,433,129 | ||||
| Investment management fees payable | | 104,482 | ||||
| Administration fees payable | | 81,148 | ||||
| Accrued expenses | | 69,382 | ||||
| Total Liabilities | | 7,688,141 | ||||
| Net Assets | | $3,000,127,251 | ||||
| Net Assets Consist of: | | |||||
| Common stock: | | |||||
| Par value ($0.001 per share, applicable to 3,000,000,000 issued and outstanding) | | $3,000,000 | ||||
| Paid-in-capital in excess of par | | 2,997,000,000 | ||||
| Accumulated net realized gain | | 127,251 | ||||
| Net Assets | | $3,000,127,251 | ||||
| Net Asset Value Per Share | | $1.00 | ||||
| ||||||
8 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08 | See accompanying Notes to Financial Statements
| | | | | | |
| Investment Income: | | |||||
| Interest | | $105,102,586 | ||||
| Expenses: | | |||||
| Administration fees | | 613,353 | ||||
| Investment advisory fees | | 454,513 | ||||
| Custodian and accounting agent fees | | 254,004 | ||||
| Consulting fees | | 94,863 | ||||
| Legal fees | | 81,130 | ||||
| Registration fees | | 44,074 | ||||
| Trustees’ fees and expenses | | 27,410 | ||||
| Insurance expense | | 26,569 | ||||
| Audit and tax services | | 17,905 | ||||
| Transfer agent fees | | 10,956 | ||||
| Miscellaneous | | 28,672 | ||||
| Total expenses | | 1,653,449 | ||||
| Less: investment advisory fees waived | | (155,168 | ) | |||
| custody credits earned on cash balances | | (26,888 | ) | |||
| Net expenses | | 1,471,393 | ||||
| Net Investment Income | | 103,631,193 | ||||
| Net realized gain on investments | | 127,822 | ||||
| Net Increase in Net Assets Resulting from Investment Operations | | $103,759,015 | ||||
| ||||||
See accompanying Notes to Financial Statements | 04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 9
| | | | | | | | | | |
| Six Months ended April 30, 2008 (unaudited) | | Year ended October 31, 2007 | |||||||
| Investment Operations: | | | ||||||||
| Net investment income | | $103,631,193 | | $244,657,915 | ||||||
| Net realized gain on investments | | 127,822 | | 85,256 | ||||||
| Net increase in net assets resulting from investment operations | | 103,759,015 | | 244,743,171 | ||||||
| Dividends and Distributions to Shareholders from: | | | ||||||||
| Net investment income | | (103,631,193 | ) | | (244,657,915 | ) | ||||
| Net realized gains | | (61,052 | ) | | — | |||||
| Total dividends and distributions to shareholders | | (103,692,245 | ) | | (244,657,915 | ) | ||||
| Capital Share Transactions: | | | ||||||||
| Net proceeds from the sale of shares | | 1,889,872,763 | | 29,234,536,628 | ||||||
| Cost of shares redeemed | | (7,267,434,662 | ) | | (22,916,106,096 | ) | ||||
| Net increase (decrease) in net assets from capital shares transactions | | (5,377,561,899 | ) | | 6,318,430,532 | |||||
| Total increase (decrease) in net assets | | (5,377,495,129 | ) | | 6,318,515,788 | |||||
| Net Assets: | | | ||||||||
| Beginning of period | | 8,377,622,380 | | 2,059,106,592 | ||||||
| End of period | | $3,000,127,251 | | $8,377,622,380 | ||||||
| Shares Issued and Redeemed: | | | ||||||||
| Issued | | 1,889,872,763 | | 29,234,536,628 | ||||||
| Redeemed | | (7,267,434,662 | ) | | (22,916,106,096 | ) | ||||
| Net increase (decrease) | | (5,377,561,899 | ) | | 6,318,430,532 | |||||
| ||||||||||
10 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08 | See accompanying Notes to Financial Statements
| | | | | | | | | | | | | | | | | | | | | | |
| Six months ended April 30, 2008 (unaudited) | | Year Ended October 31, | | For the period March 24, 2004* through October 31, 2004 | |||||||||||||||||
| 2007 | | 2006 | | 2005 | ||||||||||||||||||
| Net asset value, beginning of period | | $1.00 | | $1.00 | | $1.00 | | $1.00 | | $1.00 | ||||||||||||
| Investment Operations: | | | | | | |||||||||||||||||
| Net investment income | | 0.02 | | 0.05 | | 0.05 | | 0.03 | | 0.01 | ||||||||||||
| Net realized gain (loss) on investments | | 0.00 | ** | | 0.00 | ** | | (0.00) | ** | | 0.00 | ** | | 0.00 | ** | |||||||
| Total from investment operations | | 0.02 | | 0.05 | | 0.05 | | 0.03 | | 0.01 | ||||||||||||
| Dividends and Distributions to Shareholders from: | | | | | | |||||||||||||||||
| Net investment income | | (0.02 | ) | | (0.05 | ) | | (0.05 | ) | | (0.03 | ) | | (0.01 | ) | |||||||
| Net realized gains | | (0.00) | ** | | (0.00) | ** | | (0.00) | ** | | (0.00) | ** | | (0.00) | ** | |||||||
| Total dividends and distributions to shareholders | | (0.02 | ) | | (0.05 | ) | | (0.05 | ) | | (0.03 | ) | | (0.01 | ) | |||||||
| Net asset value, end of period | | $1.00 | | $1.00 | | $1.00 | | $1.00 | | $1.00 | ||||||||||||
| Total Return (1) | | 1.92 | % | | 5.46 | % | | 4.97 | % | | 2.97 | % | | 0.79 | % | |||||||
| RATIOS/SUPPLEMENTAL DATA: | | | | | | |||||||||||||||||
| Net assets end of period (000) | | $3,000,127 | | $8,377,622 | | $2,059,107 | | $548,584 | | $205,124 | ||||||||||||
| Ratio of expenses to average net assets (2)(3) | | 0.06 | % (4) | | 0.05 | % | | 0.05 | % | | 0.05 | % | | 0.05 | % (4) | |||||||
| Ratio of net investment income to average net assets (3) | | 3.99 | % (4) | | 5.38 | % | | 5.07 | % | | 3.06 | % | | 1.30 | % (4) | |||||||
| ||||||||||||||||||||||
| | |
| * | Commencement of operations. |
| | |
| ** | Less than $0.005 per share. |
| | |
| *** | Less than 0.005%. |
| | |
| (1) | Assumes reinvestment of all dividends and distributions. Total return for a period of less than one year is not annualized. |
| | |
| (2) | Inclusive of expenses offset by custody credits earned on cash balances at the custodian bank. (See note 1(g) in Notes to Financial Statements). |
| | |
| (3) | During the periods indicated above, the Investment Adviser waived all or a portion of its fee and assumed a portion of the Fund’s operating expenses. The effect of such waivers relative to average net assets was 0.00% *** (annualized), 0.01%, 0.02%, 0.03% and 0.04% (annualized) for the six months ended April 30, 2008, years ended October 31, 2007, October 31, 2006 and October 31, 2005 and for the period March 24, 2004 (commencement of operations) through October 31, 2004, respectively. |
| | |
| (4) | Annualized. |
See accompanying Notes to Financial Statements | 04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 11
1. Organization and Significant Accounting Policies
Allianz Dresdner Daily Asset Fund (the ‘‘Fund’’) is one of five separate funds which comprise Fixed Income SHares (the ‘‘Trust’’). The Trust was organized as a Massachusetts business trust on November 3, 1999 and, in addition to the Fund, is comprised of Series C, Series H, Series M and Series R (the ‘‘Portfolios’’). The Fund commenced operations on March 24, 2004. These financial statements relate to the Fund. The financial statements of the Portfolios are provided separately. The Fund is registered under the Investment Company Act of 1940 (‘‘1940 Act’’) and the rules and regulations thereunder, as an open-end investment company . The Fund is authorized to issue an unlimited number of shares of beneficial interest at no par value. However, the Fund is currently closed to any new investment, and its shares are not currently being offered for sale. See section 7, ‘‘Closure to Investment in the Fund’’ below. If and to the extent that shares of the Fund are offered and sold in the future, they will be issued solely in private placement transactions that do not involve any ‘‘public offering’’ within the meaning of Section 4(2) of the Securities Act of 1933, as amended (the ‘‘1933 Act’’), and exclusively to organizations and entities that are ‘‘accredited investors’’ within the meaning of Regulation D under the 1933 Act.
The preparation of the financial statements, in accordance with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from these estimates.
Under the Trust’s organizational documents, the Fund’s officers, trustees, employees and agents are indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as such exposure would involve claims that may be made against the Fund that have not yet been asserted. However, the Fund expects the risk of any loss to be remote.
In July 2006, the Financial Accounting Standards Board issued interpretation No. 48, ‘‘Accounting for Uncertainty in Income Taxes – an Interpretation of FASB Statement No. 109’’ (the ‘‘Interpretation’’). The Interpretation establishes for all entities, including pass-through entities such as the Fund, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Fund’s management has determined that its evaluation of the Interpretation has resulted in no material impact to the financial statements a t April 30, 2008. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards (‘‘SFAS’’) 157, Fair Value Measurements, which clarifies the definition of fair value and requires companies to expand their disclosure about the use of fair value to measure assets and liabilities in interim and annual periods subsequent to initial recognition. Adoption of SFAS 157 requires the use of the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. SFAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within t hose fiscal years. At this time, the Fund is in the process of reviewing the Standard against its current valuation policies to determine future applicability.
In March 2008, the Financial Accounting Standards board issued Statement of Financial Accounting Standards No. 161, ‘‘Disclosures about Derivative Instruments and Hedging Activities’’ (‘‘SFAS 161’’). SFAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures about a fund’s derivative and hedging activities. Fund management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund’s financial statement disclosures.
The following is a summary of significant accounting policies followed by the Fund:
(a) Valuation of Investments
The Fund values its investments on the basis of amortized cost which approximates market value. The amortized cost method involves valuing a security at cost on the date of purchase and thereafter assuming a constant dollar amortization to maturity of the difference between the principal amount due at maturity and the initial cost of the security. The use of amortized cost is subject to compliance with the Fund’s amortized cost procedures and applicable requirements of Rule 2a-7 under the 1940 Act.
The market value of each security held by the Fund is determined at least weekly using quotations or estimates of market value for individual portfolio investments, using values obtained from yield data relating to classes of money market instruments published by reputable sources or prices provided by an independent pricing service. If the
12 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08
1. Organization and Significant Accounting Policies (continued)
Investment Adviser concludes that the price obtained for a security is not reliable or if a price is not available for a particular security, the Investment Adviser will determine the fair value of the security, pursuant to procedures approved by the Board of Trustees. The aggregate market value and amortized cost value of the Fund’s securities are compared to determine the variance between the valuation methods. In the event that such deviation exceeds ¼ of 1%, the Investment Adviser will notify the Fund’s principal officers and the Chairman of the Board of Trustees; if the deviation exceeds 3/8 of 1%, a Board of Trustees meeting will be convened. In the event that the per share net asset value based on market valuation differs from the per share net asset value based on amortized cost by in excess of ½ of 1%, the Board of Trustees will promptly consider what action, if any, should be initiated.
(b) Illiquid Securities
Securities are generally considered to be liquid if they can be sold or disposed of in the ordinary course of business within seven days at approximately the price at which the security was valued. The Fund cannot invest more than 10% of its net assets (determined at the time of acquisition) in illiquid securities. Due to changes in market conditions beginning in the summer of 2007 and through the period ended April 30, 2008, the Fund’s investments in structured investment vehicles (SIVs) and certain other securities were deemed to be illiquid. To the extent the Fund holds illiquid securities representing in excess of 10% of its net assets, the Fund may not purchase additional illiquid securities. At April 30, 2008, t he Fund had 39.7% of its net assets invested in securities deemed to be illiquid. The Fund has held and may continue to hold these investments in the expectation that the Fund’s return over time will exceed the proceeds of an immediate sale. The relative percentage of the Fund’s illiquid assets may increase as the Fund’s assets decline (see ‘‘Note — 7 Closure to Investment in the Fund’’ below). Although these securities were categorized as illiquid securities under the test stated above, all these securities were still in one of the top two investment rating categories, were still performing assets and represented minimal credit risk as defined under SEC Rule 2a-7 under the 1940 Act.
(c) Investment Transactions and Investment Income
Investment transactions are accounted for on the trade date. Realized gains and losses on investments are determined on the identified cost basis. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on an accrual basis.
(d) Federal Income Taxes
The Fund intends to distribute all of its taxable income and comply with the other requirements of the U.S. Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required.
(e) Dividends and Distributions
Dividends from net investment income are declared daily and paid monthly. Distributions from net realized capital gains, if any, are declared and paid annually. The Fund records dividends and distributions to shareholders on the ex-dividend date. The amount of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These ‘‘book-tax’’ differences are considered either temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal income tax treatment; temporary diffe rences do not require reclassification.
(f) Repurchase Agreements
The Fund may enter into transactions with its custodian bank or securities brokerage firms whereby it purchases securities under agreements to resell at an agreed upon price and date (‘‘repurchase agreements’’). Such agreements are carried at the contract amount in the financial statements. Collateral pledged (the securities received), which consists primarily of U.S. government obligations and asset-backed securities, are held by the custodian bank until maturity of the repurchase agreement. Provisions of the repurchase agreements and the procedures adopted by the Fund require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counte rparty. If the counterparty defaults and the value of the collateral declines or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Fund may be delayed or limited.
(g) Custody Credits Earned on Cash Balances
The Fund benefits from an expense offset arrangement with its custodian bank whereby uninvested cash balances earn credits which reduce monthly custodian and accounting agent expenses. Had these cash balances been invested in income producing securities, they would have generated income for the Fund.
04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 13
2. Investment Adviser, Administrator and Distributor
(a) Investment Adviser
Dresdner Advisors LLC (‘‘Dresdner Advisors’’ or the ‘‘Investment Adviser’’), a wholly-owned subsidiary of Dresdner Bank AG, serves as the Fund’s investment adviser. Subject to the supervision of the Board of Trustees, the Investment Adviser is responsible for managing the Fund’s investment activities. Pursuant to an investment advisory agreement with the Fund, the Investment Adviser is entitled to receive an annual fee, payable monthly, at the annual rate of 0.0175% of the Fund’s average daily net assets. The Investment Adviser has agreed to waive its investment advisory fee and/or pay all or a portion of the Fund’s other operating expenses so that the Fund ’s net operating expenses, excluding extraordinary items, do not exceed 0.053% (net of any expense offset) of the Fund’s average daily net assets through February 28, 2009.
(b) Administrator
Allianz Global Investors Fund Management LLC (‘‘the Administrator’’), an affiliate of the Investment Adviser and an indirect wholly-owned subsidiary of Allianz Global Investors of America L.P., (‘‘Allianz Global’’), serves as the Fund’s administrator and is responsible for managing the Fund’s business affairs and administrative matters. Pursuant to an administration agreement with the Fund, the Administrator receives an annual fee, payable monthly, at an annual rate of 0.03% of the Fund’s average daily net assets up to $3 billion, 0.015% of the Fund’s average daily net assets from $3 billion to $10 billion and 0.005% of the Fund’s average daily net assets in excess of $10 billion.
(c) Distributor
Allianz Global Investors Distributors LLC (the ‘‘Distributor’’), an indirect wholly-owned subsidiary of Allianz Global, serves as the distributor of the Fund’s shares. Pursuant to a distribution agreement with the Trust, the Investment Adviser, on behalf of the Fund, pays the Distributor.
3. Capital Stock
The following schedule details shareholders owning 5% or more of the Fund and the percentage held by such shareholder at April 30, 2008:
| | | | | | |
| Ownership Percentage | |||||
| Miami Dade County | | 9.4% | ||||
| ||||||
Investment or redemption activity by or on behalf of this shareholder could have a material impact on the Fund.
4. Income Tax Information
The cost basis of portfolio securities of $3,002,131,318 is substantially the same for both federal income tax and financial reporting purposes.
5. Legal Proceedings
In June and September 2004, the Administrator, certain of its affiliates (including Allianz Global Investors Distributors LLC and PEA Capital LLC (‘‘PEA’’)), agreed to settle, without admitting or denying the allegations, claims brought by the Securities and Exchange Commission (‘‘the Commission’’) and the New Jersey Attorney General alleging violations of federal and state securities laws with respect to certain open-end funds for which the Administrator serves as investment adviser. The settlements related to an alleged ‘‘market timing’’ arrangement in certain open-end funds formerly sub-advised by PEA. The Administrator and its affiliates agreed to pay a total of $68 million to settle the claims. In addition to monetary payments, the settling parties agreed to undertake certain corporate governance, compliance and disclosure reforms related to market timing and consented to cease and desist orders and censures. Subsequent to these events, PEA deregistered as an investment adviser and dissolved. None of the settlements alleged that any inappropriate activity took place with respect to the Fund.
Since February 2004, the Administrator and certain of its affiliates and their employees have been named as defendants in a number of pending lawsuits concerning ‘‘market timing’’, which allege the same or similar conduct underlying the regulatory settlements discussed above. The market timing lawsuits have been consolidated in a multi-district litigation proceeding in the U.S. District Court for the District of Maryland. Any potential resolution of these matters may include, but not be limited to, judgments or settlements for damages against the Administrator or its affiliates or related injunctions.
14 Allianz Dresdner Daily Asset Fund Semi-Annual Report | 04.30.08
5. Legal Proceedings (continued)
The Administrator, the Distributor and the Investment Adviser believe that these matters are not likely to have a material adverse effect on the Fund or on their ability to perform their respective administrative, investment advisory or distribution activities relating to the Fund. The foregoing speaks only as of the date hereof.
6. Subsequent Event — Payments from Affiliates
On May 5, 2008, an affiliate of the Investment Adviser purchased a portion of the Fund’s position in Sigma Finance Inc., which remained an Eligible Security as defined in paragraph (a) (10) of Rule 2a-7. The securities were purchased for cash for an aggregate price of $110,054,478, which was equal to the securities’ amortized cost plus accrued interest. Because the securities were Eligible Securities under Rule 2a-7, the purchaser obtained no-action relief from the staff of the Securities and Exchange Commission before completing the transaction.
This transaction did not result in any gain or loss to the Fund.
7. Closure To Investment In The Fund
The Fund was established primarily for the investment and reinvestment of cash collateral on behalf of lenders participating in the securities lending program administered by Dresdner Bank AG, New York Branch (‘‘Dresdner Bank – NY’’), an affiliate of the Adviser. However Dresdner Bank – NY has suspended indefinitely its use of the Fund as an investment vehicle for new collateral under the securities lending program, and accordingly, the Fund’s net assets are expected to decline overall as cash collateral invested in the Fund is returned to borrowers upon maturity or termination of loans secured thereby. The Fund is currently closed to any new investment and its shares are not currently being offered for sale.
04.30.08 | Allianz Dresdner Daily Asset Fund Semi-Annual Report 15
Trustees and Principal Officers
Hans W. Kertess
Trustee, Chairman of the Board of Trustees
Paul Belica
Trustee
Robert E. Connor
Trustee
John J. Dalessandro II
Trustee
John C. Maney
Trustee
William B. Ogden, IV
Trustee
R. Peter Sullivan III
Trustee
Brian S. Shlissel
President & Chief Executive Officer
Lawrence G. Altadonna
Treasurer, Principal Financial & Accounting Officer
Thomas J. Fuccillo
Vice President, Secretary & Chief Legal Officer
Scott Whisten
Assistant Treasurer
Youse E. Guia
Chief Compliance Officer
William V. Healey
Assistant Secretary
Richard H. Kirk
Assistant Secretary
Kathleen A. Chapman
Assistant Secretary
Lagan Srivastava
Assistant Secretary
Rich Cochran
Assistant Treasurer
Investment Adviser
Dresdner Advisors LLC
1301 Avenue of the Americas
New York, NY 10019
Administrator
Allianz Global Investors Fund Management LLC
1345 Avenue of the Americas
New York, NY 10105
Distributor
Allianz Global Investors Distributors LLC
1345 Avenue of Americas
New York, NY 10105
Custodian and Accounting Agent
State Street Bank & Trust Co.
801 Pennsylvania
Kansas City, MO 64105
Transfer Agent, Dividend Paying Agent and Registrar
Boston Financial Data Services
330 West 9th Street
Kansas City, MO 64105
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
1055 Broadway
Kansas City, MO 64105
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
The financial information included herein is taken from the records of the Fund without examination by an independent registered public accounting firm, who did not express an opinion hereon.
ITEM 2. CODE OF ETHICS
Not required in this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not required in this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANT
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Disclosure not required for open-end investment management companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Disclosure not required for open-end investment management companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED COMPANIES.
Disclosure not required for open-end investment management companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES
(a) The registrant’s President and Chief Executive Officer and Treasurer, Principal Financial & Accounting Officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-3(c))), as amended are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no significant changes over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants control over financial reporting.
ITEM 12. EXHIBITS
(a) (1) |
| Exhibit 99.302 CERT - Certification pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 |
(b) |
| Exhibit 99.906 Cert. - Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
Signature
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Fixed Income SHares |
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Date July 9, 2008 |
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Date July 9, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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Date July 9, 2008 |
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Date July 9, 2008