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 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
4900 Sears Tower, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Howard B. Surloff, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jeffrey A. Dalke, Esq. | |
One New York Plaza | Drinker Biddle & Reath LLP | |
New York, New York 10004 | One Logan Square | |
18th and Cherry Streets | ||
Philadelphia, PA 19103 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: OCTOBER 31
Date of reporting period: APRIL 30, 2004
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semi-Annual Report to Stockholders is filed herewith. |
TAXABLE FIXED INCOME FUNDS |
Semiannual Report April 30, 2004 |
Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Taxable Fixed Income Funds |
GOLDMAN SACHS ENHANCED INCOME FUND |
GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND GOLDMAN SACHS GOVERNMENT INCOME FUND |
GOLDMAN SACHS U.S. MORTGAGES FUND |
GOLDMAN SACHS CORE FIXED INCOME FUND |
GOLDMAN SACHS INVESTMENT GRADE CREDIT FUND |
GOLDMAN SACHS TAXABLE FIXED INCOME FUNDS |
What Distinguishes Goldman Sachs’ Fixed Income Investing Process? |
At Goldman Sachs Asset Management (GSAM), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework. |
A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through: |
1 RIGOROUS SECURITY SELECTION |
Assess relative value among sectors (such as mortgages and corporates) and sub-sectors Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio |
2 PRECISE PORTFOLIO CONSTRUCTION |
Team approach to decision making |
Manage risk by avoiding significant sector and interest rate bets |
Careful management of yield curve strategies — while closely managing portfolio duration |
RESULT |
Fixed Income portfolios that: |
Include domestic and global investment options, tax-free income opportunities, and access to areas of specialization such as high yield |
Capitalize on GSAM’s industry-renowned credit research capabilities |
Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income |
PORTFOLIO RESULTS Enhanced Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Enhanced Income Fund during the six-month reporting period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A, Institutional, and Administration Shares generated cumulative total returns, without sales charges, of 0.36%, 0.56%, and 0.43%, respectively. These returns compare to the 0.56% and 0.48% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index, respectively, over the same time period.* Security selection strategies within the various sub-sectors of the market were the leading drivers of performance, while term structure and duration positioning modestly detracted from results. Investment Objective The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity. It is important to note that the Fund is not a money market fund and its net asset value will fluctuate. Portfolio Composition The Fund targets a duration of nine months, with diversified holdings in high credit quality sectors including U.S. Treasuries, agency, corporate, asset-backed, and money market instruments. The Fund invests in securities with a minimum credit quality of “A” by a Nationally Recognized Statistical Rating Organization (“NRSRO”) at the time of purchase or, if unrated, determined by the investment adviser to be of comparable quality. During the period, we tactically managed the Fund’s d uration position to reflect changing market conditions. The Fund continues to emphasize shorter-term, higher credit securities that we believe have the potential to enhance results. Portfolio Highlights Agencies — 39.1% on October 31, 2003 and 40.9% on April 30, 2004. Asset-Backed Securities — 29.6% on October 31, 2003 and 22.3% on April 30, 2004. Corporate Bonds — 28.9% on October 31, 2003 and 25.2% on April 30, 2004. Cash Equivalents — 1.6% on October 31, 2003 and 10.7% on April 30, 2004. *Unlike the Fund’s total return, the Indices’performance does not reflect any deduction for fees or expenses. |
Security selection within the corporate sector was an important driver of performance over the reporting period. In particular, we concentrated on sectors that would benefit from a cyclical recovery. This strategy proved beneficial as credit spreads tightened due to a strengthened economy and improved quality trends. Security selection within the agency sector, which was concentrated in agency debentures, also contributed to returns. Conversely, duration and te rm structure strategies detracted from performance at the end of the period. We tactically adjusted the duration of the portfolio over the period. A longer duration exposure relative to the Index proved to be a drag on performance in periods such as April when rates rose. Additionally, from a term-structured perspective, the Fund’s exposure to longer duration maturities detracted from results as stronger-than-expected economic data caused these issues to underperform their shorter maturity counterparts .. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 10, 2004 |
P E R F O R M A N C E R E V I E W Six-Month One-Year November 1, 2003–Fund Total Return 30-Day U.S.TreasuryU.S.Treasury April 30, 2004(based on NAV)1Standardized Yield2Bill Index3Note Index3 Class A0.36%2.06%0.56%0.48% Institutional 0.562.490.560.48 Administration 0.432.240.560.48 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other dist ributions paid to shareholders. 3The Six-Month U.S.Treasury Bill Index and One-Year U.S.Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 4 For the period ended 3/31/04Class AInstitutionalAdministration One Year-0.42%1.46%1.21% Since Inception3.494.304.06 (8/2/00)(8/2/00)(8/2/00) 4The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at net asset value.These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not indicate future results, which will vary.The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in eff ect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. P O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 5 Sector Allocation Agencies*40.9% Corporates 25.2 Asset-Backed 22.3 Cash 10.7 5 Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S Ultra-Short Duration Government Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Ultra-Short Duration Government Fund during the six-month reporting period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 1.04%, 1.24%, and 1.09%, respectively. These returns compare to the 0.56% and 0.48% cumulative total returns of the Fund’s benchmarks, the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index, respectively, over the same time period.* The Fund outperformed its benchmarks during the period. This was primarily attributable to security selection and our positioning within the mortgage sector. Investment Objective The Fund seeks to provide a high level of current income, consistent with low volatility of principal. Portfolio Composition Over the period, the Fund continued to focus on security selection and sub-sector strategies within the mortgage sector. The portfolio management team modestly trimmed the Fund’s allocation to the pass-through sub-sector in favor of collateralized mortgage obligations (CMOs), and adjustable rate mortgages (ARMs). The Fund’s exposure to agency debentures was also decreased in favor of more attractive valuations within the mortgage sector. During the period, we tactically managed the Fund’s duration position. The Fund also held a curve flattening trade based on our view that the yield curve was steep and would likely flatten. Portfolio Highlights Adjustable Rate Mortgage Securities — 29.3% on October 31, 2003 and 30.6% on April 30, 2004. Collateralized Mortgage Obligations — 23.8% on October 31, 2003 and 19.8% on April 30, 2004. Fixed Rate Pass-Throughs — 25.9% on October 31, 2003 and 21.0% on April 30, 2004. Agency Debentures — 8.2% on October 31, 2003 and 0.8% on April 30, 2004. *Unlike the Fund’s total return, the Indices’performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S During the reporting period, our security selection of pass-throughs contributed significantly to the Fund’s outperformance. Security selection strategies within ARMs and CMOs, and our use of mortgage-backed securities (MBS) derivatives also proved to be beneficial for performance. Finally, duration and term structure positioning also contributed positively to results. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 10, 2004 |
Ultra-Short Duration Government Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W Six-Month One-Year November 1, 2003–Fund Total Return 30-Day U.S.TreasuryU.S.Treasury Assets Under ManagementApril 30, 2004(based on NAV)1Standardized Yield2Bill Index3Note Index3 Class A1.04%1.71%0.56%0.48% $247.8 $1.9 Billion MillionInstitutional 1.242.130.560.48 Service 1.091.640.560.48 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities N A S D A Q S Y M B O L S industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily Class A Sharesreflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. 3 The Six-Month U.S.Treasury Bill Index and One-Year U.S.Treasury Note Index, as reported by Merrill Lynch, do not reflect any GSAMXdeduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 4 Institutional Shares For the period ended 3/31/04Class AInstitutionalService GSARXOne Year-0.30%1.66%1.15% Five Years3.814.544.01 Ten YearsN/A5.05N/A Service SharesSince Inception4.585.044.24 (5/15/95)(7/17/91)(3/27/97) GSASX4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at net asset value.These returns reflect a maximum initial sales charge of 1.5% for Class A Shares. Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not indicate future results, which will vary.The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in eff ect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. P O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 5 Sector Allocation Mortgage-Backed72.4% Asset-Backed6.9 U.S. Treasuries0.9 Agencies0.8 Cash Equivalents16.6 5Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S Short Duration Government Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Short Duration Government Fund during the six-month reporting period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 0.96%, 0.66%, 0.59%, 1.17%, and 0.92%, respectively. These returns compare to the 0.56% cumulative total return of the Fund’s benchmark, the Two-Year U.S. Treasury Note Index, over the same time period.* The Fund outperformed its benchmark during the reporting period. This was primarily attributable to security selection and our positioning strategies within the mortgage sector. Investment Objective The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation. Portfolio Composition Over the period, the Fund continued to focus on security selection and sub-sector strategies within the mortgage sector. The portfolio management team modestly trimmed the Fund’s allocation to the pass-through sub-sector in favor of premium collateralized mortgage obligations (CMOs), and adjustable rate mortgages (ARMs). The Fund’s exposure to agency debentures was also decreased in favor of more attractive valuations within the mortgage sector. During the period, we tactically managed the Fund 46;s duration position to reflect changing market conditions. Portfolio Highlights Adjustable Rate Mortgage Securities — 7.3% on October 31, 2003 and 18.5% on April 30, 2004. Agency Debentures — 28.8% on October 31, 2003 and 14.3% on April 30, 2004. Collateralized Mortgage Obligations — 23.5% on October 31, 2003 and 23.9% on April 30, 2004. Fixed Rate Pass-Throughs — 28.6% on October 31, 2003 and 18.5% on April 30, 2004. U.S.Treasuries — 6.7% on October 31, 2003 and 23.3% on April 30, 2004. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S The Fund’s continued emphasis on government-issued sectors contributed positively to returns over the period. Security selection among ARMs, CMOs, and fixed rate pass-throughs was a leading driver of performance. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 10, 2004 |
F U N D B A S I C S Short Duration Government Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W November 1, 2003–Fund Total Return 30-Day Two-Year U.S. April 30, 2004(based on NAV)1Standardized Yield2 Treasury Note Index3 Assets Under Management Class A0.96%2.46%0.56% Class B0.661.910.56 $179 $838.2 Million 4 Class C 0.591.760.56 Institutional 1.172.910.56 Service 0.922.410.56 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s N A S D A Q S Y M B O L S performance does not reflect the deduction of any applicable sales charges. 2 The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities Class A Sharesindustry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other GSSDXdistributions paid to shareholders. 3The Two-Year U.S.Treasury Note Index, as reported by Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. Class B SharesS T A N D A R D I Z E D T O T A L R E T U R N S 4 For the period ended 3/31/04Class AClass BClass CInstitutionalService GSDGX One Year0.40%-0.15%0.72%2.91%2.40% Five Years5.104.914.775.945.42 Ten YearsN/AN/AN/A6.14N/A Class C Shares Since Inception5.345.024.696.655.64 (5/1/97)(5/1/97) (8/15/97) (8/15/88) (4/10/96) GSDCX 4The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at net asset value.These returns reflect a maximum initial sales charge of 2% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase).Because Institu tional and Institutional Shares Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. Total return figures in the above charts represent past performance and do not indicate future results, which will vary.The invest-GSTGXment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Service Shares GSDSXP O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 5 Sector Allocation Mortgage-Backed62.6% U.S. Treasuries23.3 Agencies14.3 Cash Equivalents5.6 5Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S Government Income Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Government Income Fund during the six- month reporting period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 1.26%, 0.88%, 0.88%, 1.46%, and 1.28%, respectively. These returns compare to the 1.11% cumulative total return of the Fund’s benchmark, the Lehman Brothers Government/Mortgage Index, over the same time period.* The Fund’s performance was generally in line with its benchmark during the reporting period. The outperformance of the Fund’s Class A, Institutional and Service Shares versus its benchmark was primarily due to subsector and security selection strategies within the mortgage sector. Class B and C Shares benefitted from the same strategies, but did not outperform the benchmark due to higher expenses. Investment Objective The Fund seeks a high level of current income, consistent with safety of principal. Portfolio Composition Over the period, the Fund’s investment strategy continued to focus on sectors and securities that we believed would generate a competitive total rate of return relative to the benchmark. As such, the Fund increased its exposure to hybrid adjustable rate mortgages (ARMs) at attractive valuations and also added collateralized mortgage obligations (CMOs). The team also modestly trimmed the Fund’s exposure to the pass-through sub-sector in favor of more attractive mortgage sub-sectors. The Fund’s duration was also tactically managed over the reporting period to reflect changing market conditions. The outperformance of the Fund’s Class A, Institutional and Service shares versus its benchmark was primarily due to subsector and security selection strategies within the mortgage sector. Class B and C shares benefitted from the same strategies, but did not outperform the benchmark due to higher expenses. Portfolio Highlights Agency Debentures — 14.9% on October 31, 2003 and 14.4% on April 30, 2004. Asset-Backed Securities — 2.2% on October 31, 2003 and 9.2% on April 30, 2004. Mortgage-Backed Securities — 62.7% on October 31, 2003 and 52.6% on April 30, 2004. U.S.Treasuries — 16.7% on October 31, 2003 and 22.3% on April 30, 2004. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S During the reporting period, our security selection of pass-throughs contributed significantly to the Fund’s performance. Security selection strategies within ARMs and CMOs, and our use of mortgage-backed securities (MBS) derivatives also contributed to positive performance over the six-month reporting period. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 10, 2004 |
F U N D B A S I C S Government Income Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W November 1, 2003–Fund Total Return 30-Day Lehman Govt./ April 30, 2004(based on NAV)1Standardized Yield2Mortgage Index3 Assets Under Management Class A1.26%2.73%1.11% Class B0.882.101.11 $630.0 MillionClass C 0.882.101.11 Institutional 1.463.261.11 Service 1.282.751.11 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s N A S D A Q S Y M B O L S performance does not reflect the deduction of any applicable sales charges. 2The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public Class A Shares offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. GSGOX 3The Lehman Brothers Government/Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 4 Class B Shares For the period ended 3/31/04Class AClass BClass CInstitutionalService GSOBX One Year-0.34%-1.58%2.55%4.86%4.34% Five Years5.645.395.807.036.60 Ten Years6.53N/AN/AN/A6.935 Class C SharesSince Inception6.336.235.937.136.695 (2/10/93) (5/1/96) (8/15/97) (8/15/97) (2/10/93) GSOCX4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end.They assume reinvestment of all distributions at net asset value.These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years), and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase).Because Institutional and Institutional SharesService Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. 5Performance data for Service Shares prior to 8/15/97 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges).Performance of Class GSOIXA Shares in the Fund reflects the expenses applicable to the Fund’s Class A Shares.The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings an d rankings for a class of shares. Total return figures in the above charts represent past performance and do not indicate future results, which will vary.The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth Service Sharesmore or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund GSOSXdistributions or the redemption of Fund shares. P O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 6 Sector Allocation Mortgage-Backed Securities52.6% U.S. Treasuries22.3 Agency Debentures14.4 Asset-Backed Securities9.2 Cash Equivalents12.1 6Figures represent a percentage of net assets and, due to rounding, may not sum to 100% .The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S U.S. Mortgages Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs U.S. Mortgages Fund for the period from its inception on November 3, 2003 through April 30, 2004. Performance Review Over the period from its inception on November 3, 2003, through April 30, 2004, the Fund’s Class A, Institutional, and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 1.59%, 1.93%, and 1.86%, respectively. These returns compare to the 1.37% cumulative total return of the Fund’s benchmark, the Lehman Brothers Securitized Index, over the same time period.* The Fund outperformed its benchmark over the reporting period due primarily to mortgage-backed security (MBS) selection. Investment Objective The Fund seeks a high level of total return consisting of income and capital appreciation. Portfolio Composition As of April 30, 2004, the Fund’s duration position was neutral relative to the benchmark. The Fund held approximately 80% in the fixed rate pass-through sector. In addition, the portfolio maintained an exposure to collateralized mortgage obligations (CMOs) and adjustable rate mortgages (ARMs), which we believed represented relative value. Portfolio Highlights Since the Fund’s inception, pass-through security selection has been the principal driver of portfolio outperformance. Holdings of ARMs, CMOs and mortgage derivatives had a modestly positive impact on returns. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Fixed Income Investment Management Team May 10, 2004 *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
F U N D B A S I C S U.S. Mortgages Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W November 3, 2003–Fund Total Return 30-Day Lehman Brothers April 30, 2004(based on NAV)1Standardized Yield2 Securitized Index3 Assets Under Management Class A1.59%2.37%1.37% Institutional Class1.933.071.37 $225.0 Million $179 4 Separate Account Institutional Class 1.863.111.37 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public N A S D A Q S Y M B O L S offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other Class A Sharesdistributions paid to shareholders. 3The Lehman Brothers Securitized Index is an unmanaged composite of asset-backed securities, collateralized mortgage-backed securities (ERISA eligible) and fixed rate mortgage-backed securities.The Index figures do not reflect any deduction for fees, GSUAX GSSDXexpenses or taxes.S T A N D A R D I Z E D T O T A L R E T U R N S 4 S T A N D A R D I Z E D T O T A L R E T U R N S Institutional Shares Separate Account For the period ended 3/31/04 Class AInstitutionalInstitutional GSDGX GSUIX Since Inception-1.62%3.41%3.34% (11/3/03) Separate Account 4 The Standardized Total Returns are cumulative total returns as of the most recent calendar quarter-end.They assume reinvestment Institutional Sharesof all distributions at net asset value.These returns reflect a maximum initial sales charge of 4.5% for Class A Shares.Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. GSUPXTotal return figures in the above charts represent past performance and do not indicate future results, which will vary.The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. P O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 5 Sector Allocation Mortgage-Backed94.7% Asset-Backed1.4 U.S. Treasuries0.2 Cash Equivalents3.6 5Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time. |
P O R T F O L I O R E S U LT S Core Fixed Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Core Fixed Income Fund during the six-month reporting period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A, B, C, Institutional, and Service Shares generated cumulative total returns, without sales charges, of 1.93%, 1.44%, 1.55%, 2.03%, and 1.88%, respectively. These returns compare to the 1.25% cumulative total return of the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index, over the same time period.* The Fund outperformed its benchmark over the reporting period. This was primarily due to the Fund’s security selection in the corporate and mortgage-backed sectors. Investment Objective The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers Aggregate Bond Index. Portfolio Composition During the period, the Fund’s portfolio management team tactically managed duration and term structure strategies to respond to changing market conditions. As of April 30, 2004, the Fund’s duration position was neutral relative to the benchmark. We maintained a bias towards lower quality (BBB rated) credit securities. Within the mortgage sector, we held collateralized mortgage obligations (CMOs) and adjustable rate mortgages (ARMs) as substitutes for agency pass-throughs. Portfolio Highlights Agency Debentures — 9.1% on October 31, 2003 and 8.6% on April 30, 2004. Asset-Backed Securities (ABS) — 11.7% on October 31, 2003 and 11.9% on April 30, 2004. Corporate Bonds — 19.7% on October 31, 2003 and 20.8% on April 30, 2004. Emerging Market Debt (EMD) — and 1.0% on October 31, 2003 and 0.9% on April 30, 2004. Mortgage-Backed Securities (MBS) — 52.2% on October 31, 2003 and 38.6% on April 30, 2004. U.S.Treasuries — 9.4% on October 31, 2003 and 23.5% on April 30, 2004. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
P O R T F O L I O R E S U LT S The Fund’s corporate and mortgage-backed securities were the main drivers of outperformance over the period. Specifically, the Fund’s lower quality bias (BBB rated securities) generated positive returns. Within mortgages, the Fund’s CMOs, ARMs, and mortgage derivatives also enhanced results. Issue selection of asset-backed securities positively benefited returns as well. We thank you for your investment and look forward to your continued confidence. Goldman Sachs U.S. Fixed Income Investment Management Team May 10, 2004 |
P O R T F O L I O R E S U LT S Investment Grade Credit Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Investment Grade Credit Fund for the period from its inception on November 3, 2003 through April 30, 2004. Performance Review Over the period from its inception on November 3, 2003, through April 30, 2004, the Fund’s Class A, Institutional and Separate Account Institutional Shares generated cumulative total returns, without sales charges, of 2.30, 2.63%, and 2.56%, respectively. These returns compare to the 1.59% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Credit Index, over the same time period.* Since its inception, the Fund has outperformed its benchmark. An overweight exposure to higher risk credit securities, coupled with favorable security selection, was the primary driver of portfolio outperformance. Investment Objective The Fund seeks a high level total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers U.S. Credit Index. Portfolio Composition The Fund’s duration approximated that of the benchmark during much of the period. In terms of sectors, the Fund had overweights in Tobacco, Autos, and European Telecoms. The Fund also had an overweight to BBB rated securities. As of April 30, 2004, the portfolio targeted a short-duration position relative to the benchmark. Portfolio Highlights Over the period, we maintained an overweight allocation to higher risk credit securities. An overweight exposure to lower quality credit securities (BBB rated) contributed to portfolio excess returns as lower quality securities outperformed their higher quality counterparts. The portfolio’s overweight allocation to Auto and Tobacco credits also positively impacted overall performance. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Fixed Income Investment Management Team May 10, 2004 *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. |
F U N D B A S I C S Investment Grade Credit Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W November 3, 2003–Fund Total Return 30-Day Lehman Brothers April 30, 2004(based on NAV)1Standardized Yield2U.S. Credit Index3 Assets Under Management Class A2.30%3.77%1.59% Institutional Class2.634.441.59 $32.8 Million Separate Account Institutional Class 2.564.501.59 1The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding.The Fund’s performance assumes the reinvestment of dividends and other distributions.The Fund’s performance does not reflect the deduction of any applicable sales charges. 2The 30-Day Standardized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public N A S D A Q S Y M B O L S offering price per share of the Fund on the last day of the period.This number is then annualized.This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other Class A Sharesdistributions paid to shareholders. 3The Lehman Brothers U.S.Credit Index is an unmanaged index which is unbundled into pure corporates (industrial, utility, and finance, including both U.S.and Non-U.S.corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign GSGAXlocal governments).The Index figures do not reflect any deduction for fees, expenses or taxes. S T A N D A R D I Z E D T O T A L R E T U R N S 4 Institutional Shares Separate Account For the period ended 3/31/04Class AInstitutionalInstitutional GSGDX Since Inception0.58%5.62%5.54% (11/3/03) Separate Account4 The Standardized Total Returns are cumulative total returns as of the most recent calendar quarter-end.They assume reinvestment Institutional Sharesof all distributions at net asset value.These returns reflect a maximum initial sales charge of 4.5% for Class A Shares.Because Institutional and Separate Account Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. GSCPXTotal return figures in the above charts represent past performance and do not indicate future results, which will vary.The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost.Current performance may be lower or higher than the total return figures in the above charts. Please visit www.gs.com to obtain the most recent month-end returns.Performance reflects expense limitations in effect.In their absence, performance would be reduced.Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. P O R T F O L I O C O M P O S I T I O N A S O F 4 / 3 0 / 0 4 5 Sector Allocation Corporates92.8% Emerging Market Debt0.9 Cash Equivalents2.8 5Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, its composition may differ over time. |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 25.2% | ||||||||||||||||
Banks – 7.7% | ||||||||||||||||
Bank of America Corp. | ||||||||||||||||
$ | 9,500,000 | 6.38 | % | 05/15/2005 | $ | 9,940,455 | ||||||||||
BB&T Corp. | ||||||||||||||||
15,000,000 | 6.38 | # | 06/30/2005 | 15,758,717 | ||||||||||||
BCH Cayman Islands | ||||||||||||||||
4,000,000 | 8.25 | 06/15/2004 | 4,030,024 | |||||||||||||
Credit Suisse FB USA, Inc. | ||||||||||||||||
10,000,000 | 4.63 | 01/15/2008 | 10,294,010 | |||||||||||||
FleetBoston Financial Corp. | ||||||||||||||||
8,000,000 | 7.25 | 09/15/2005 | 8,549,341 | |||||||||||||
Golden West Financial Corp. | ||||||||||||||||
3,200,000 | 5.50 | 08/08/2006 | 3,385,473 | |||||||||||||
HSBC USA, Inc. | ||||||||||||||||
10,000,000 | 7.00 | 11/01/2006 | 10,927,016 | |||||||||||||
Nordea Bank Finland PLC | ||||||||||||||||
2,500,000 | 6.50 | 01/15/2006 | 2,666,161 | |||||||||||||
PNC Funding Corp. | ||||||||||||||||
3,112,000 | 7.75 | 06/01/2004 | 3,126,430 | |||||||||||||
Santander Financial Issuances | ||||||||||||||||
2,565,000 | 7.25 | 05/30/2006 | 2,791,508 | |||||||||||||
Wachovia Corp. | ||||||||||||||||
6,250,000 | 6.88 | 09/15/2005 | 6,647,236 | |||||||||||||
3,009,000 | 7.50 | 07/15/2006 | 3,301,622 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
4,118,000 | 7.50 | 08/15/2006 | 4,520,205 | |||||||||||||
Wells Fargo & Co. | ||||||||||||||||
3,800,000 | 7.25 | 08/24/2005 | 4,055,095 | |||||||||||||
3,325,000 | 6.75 | 10/01/2006 | 3,613,727 | |||||||||||||
$ | 93,607,020 | |||||||||||||||
Brokerage – 0.8% | ||||||||||||||||
Lehman Brothers, Inc. | ||||||||||||||||
$ | 2,100,000 | 7.63 | % | 06/01/2006 | $ | 2,299,964 | ||||||||||
Morgan Stanley Group, Inc. | ||||||||||||||||
7,500,000 | 5.80 | 04/01/2007 | 8,009,153 | |||||||||||||
$ | 10,309,117 | |||||||||||||||
Chemicals – 0.7% | ||||||||||||||||
The Dow Chemical Co. | ||||||||||||||||
$ | 7,890,000 | 5.25 | % | 05/14/2004 | $ | 7,897,480 | ||||||||||
Electric – 0.5% | ||||||||||||||||
Singapore Power Ltd.† | ||||||||||||||||
$ | 6,500,000 | 3.80 | % | 10/22/2008 | $ | 6,429,722 | ||||||||||
Food & Beverage – 1.1% | ||||||||||||||||
Nabisco, Inc. | ||||||||||||||||
$ | 11,500,000 | 6.85 | % | 06/15/2005 | $ | 12,095,054 | ||||||||||
Sara Lee Corp. | ||||||||||||||||
1,500,000 | 6.40 | 06/09/2005 | 1,565,280 | |||||||||||||
$ | 13,660,334 | |||||||||||||||
Life Insurance – 5.3% | ||||||||||||||||
AXA Financial, Inc. | ||||||||||||||||
$ | 4,000,000 | 9.00 | % | 12/15/2004 | $ | 4,172,148 | ||||||||||
Equitable Life Assurance Society† | ||||||||||||||||
7,080,000 | 6.95 | 12/01/2005 | 7,576,513 | |||||||||||||
Jackson National Life Insurance Co.† | ||||||||||||||||
2,000,000 | 5.25 | 03/15/2007 | 2,129,754 | |||||||||||||
Lincoln National Corp. | ||||||||||||||||
3,750,000 | 7.25 | 05/15/2005 | 3,958,935 | |||||||||||||
Metropolitan Life Insurance Co.† | ||||||||||||||||
16,290,000 | 7.00 | 11/01/2005 | 17,292,161 | |||||||||||||
Monumental Global Funding II† | ||||||||||||||||
5,000,000 | 6.05 | 01/19/2006 | 5,294,550 | |||||||||||||
Monumental Global Funding III† | ||||||||||||||||
4,390,000 | 5.20 | 01/30/2007 | 4,607,367 | |||||||||||||
Principal Financial Group (Australia)† | ||||||||||||||||
10,000,000 | 7.95 | 08/15/2004 | 10,160,790 | |||||||||||||
Prudential Insurance Co.† | ||||||||||||||||
8,450,000 | 6.38 | 07/23/2006 | 9,051,302 | |||||||||||||
$ | 64,243,520 | |||||||||||||||
Noncaptive-Consumer – 2.4% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 9,000,000 | 5.88 | % | 07/14/2006 | $ | 9,562,493 | ||||||||||
8,500,000 | 4.50 | 11/15/2007 | 8,726,666 | |||||||||||||
Countrywide Home Loans, Inc. | ||||||||||||||||
5,500,000 | 1.60 | # | 06/02/2006 | 5,537,994 | ||||||||||||
Household Finance Corp. | ||||||||||||||||
5,000,000 | 5.75 | 01/30/2007 | 5,324,782 | |||||||||||||
$ | 29,151,935 | |||||||||||||||
Property/ Casualty Insurance – 1.6% | ||||||||||||||||
ACE INA Holdings, Inc. | ||||||||||||||||
$ | 2,000,000 | 8.20 | % | 08/15/2004 | $ | 2,036,908 | ||||||||||
2,000,000 | 8.30 | 08/15/2006 | 2,216,373 | |||||||||||||
ACE Ltd. | ||||||||||||||||
6,487,000 | 6.00 | 04/01/2007 | 6,929,511 | |||||||||||||
The Hartford Financial Services Group, Inc. | ||||||||||||||||
7,815,000 | 7.75 | 06/15/2005 | 8,286,521 | |||||||||||||
$ | 19,469,313 | |||||||||||||||
Tobacco – 0.2% | ||||||||||||||||
UST, Inc. | ||||||||||||||||
$ | 2,050,000 | 8.80 | % | 03/15/2005 | $ | 2,159,810 | ||||||||||
Wireless Telecommunications – 1.7% | ||||||||||||||||
Verizon Wireless Capital LLC | ||||||||||||||||
$ | 9,250,000 | 5.38 | % | 12/15/2006 | $ | 9,738,284 | ||||||||||
Vodafone Group PLC | ||||||||||||||||
10,000,000 | 7.63 | 02/15/2005 | 10,444,840 | |||||||||||||
$ | 20,183,124 | |||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Wirelines Telecommunications – 2.6% | ||||||||||||||||
British Telecom PLC | ||||||||||||||||
$ | 13,000,000 | 7.88 | % | 12/15/2005 | $ | 14,076,949 | ||||||||||
Telefonica Europe BV | ||||||||||||||||
7,500,000 | 7.35 | 09/15/2005 | 7,991,820 | |||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
2,000,000 | 7.60 | 03/15/2007 | 2,229,247 | |||||||||||||
7,000,000 | 6.13 | 06/15/2007 | 7,545,230 | |||||||||||||
$ | 31,843,246 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $300,778,301) | $ | 305,895,816 | ||||||||||||||
Agency Debentures – 40.9% | ||||||||||||||||
African Development Bank | ||||||||||||||||
$ | 1,000,000 | 6.75 | % | 10/01/2004 | $ | 1,020,160 | ||||||||||
Dexia Municipal Agency | ||||||||||||||||
5,000,000 | 5.13 | 09/11/2006 | 5,243,310 | |||||||||||||
European Investment Bank | ||||||||||||||||
5,000,000 | 8.25 | 12/20/2004 | 5,210,095 | |||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
5,000,000 | 5.45 | 01/19/2005 | 5,145,065 | |||||||||||||
4,500,000 | 5.40 | 05/10/2006 | 4,756,491 | |||||||||||||
6,000,000 | 5.70 | 06/08/2006 | 6,025,302 | |||||||||||||
6,500,000 | 6.60 | 07/07/2006 | 7,055,464 | |||||||||||||
15,350,000 | 3.63 | 03/09/2009 | 15,060,852 | |||||||||||||
Federal Home Loan Banks | ||||||||||||||||
7,000,000 | 5.50 | 07/19/2006 | 7,060,284 | |||||||||||||
18,000,000 | 1.50 | # | 08/30/2006 | 17,743,428 | ||||||||||||
25,000,000 | 4.30 | 10/30/2006 | 25,884,350 | |||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
29,000,000 | 2.00 | # | 11/28/2005 | 29,103,907 | ||||||||||||
10,000,000 | 2.50 | 12/15/2005 | 9,990,590 | |||||||||||||
10,628,000 | 0.00 | • | 01/15/2006 | 10,203,613 | ||||||||||||
8,800,000 | 2.14 | 02/24/2006 | 8,768,065 | |||||||||||||
12,000,000 | 2.75 | 05/05/2006 | 11,989,155 | |||||||||||||
6,550,000 | 6.75 | 05/30/2006 | 7,089,196 | |||||||||||||
10,000,000 | 4.00 | 08/02/2006 | 10,063,890 | |||||||||||||
26,800,000 | 3.70 | 08/23/2006 | 26,985,375 | |||||||||||||
11,725,000 | 2.50 | 08/24/2006 | 11,676,107 | |||||||||||||
10,000,000 | 3.00 | 12/15/2006 | 9,919,710 | |||||||||||||
11,628,000 | 0.00 | • | 01/15/2007 | 10,719,062 | ||||||||||||
15,000,000 | 3.00 | 01/30/2007 | 15,003,715 | |||||||||||||
16,000,000 | 3.00 | 07/27/2007 | 15,715,558 | |||||||||||||
7,175,000 | 6.00 | 09/12/2008 | 7,295,899 | |||||||||||||
Federal National Mortgage Association | ||||||||||||||||
5,000,000 | 7.88 | 02/24/2005 | 5,260,415 | |||||||||||||
3,000,000 | 7.65 | 03/10/2005 | 3,158,256 | |||||||||||||
10,000,000 | 3.75 | 07/29/2005 | 10,057,104 | |||||||||||||
20,000,000 | 3.00 | 11/01/2005 | 20,151,300 | |||||||||||||
24,400,000 | 2.50 | ^ | 03/09/2006 | 24,422,106 | ||||||||||||
5,000,000 | 3.75 | 08/09/2006 | 5,030,405 | |||||||||||||
18,000,000 | 3.89 | 08/16/2006 | 18,124,074 | |||||||||||||
5,000,000 | 3.51 | 08/23/2006 | 5,022,115 | |||||||||||||
5,245,000 | 5.13 | 02/14/2007 | 5,393,135 | |||||||||||||
27,000,000 | 4.88 | 03/11/2007 | 27,326,209 | |||||||||||||
30,000,000 | 5.42 | 04/04/2007 | 30,937,514 | |||||||||||||
5,500,000 | 5.00 | 05/14/2007 | 5,505,819 | |||||||||||||
7,000,000 | 6.52 | 07/11/2007 | 7,694,029 | |||||||||||||
Financing Corp. (FICO) Strip• | ||||||||||||||||
3,073,000 | 0.00 | 04/05/2006 | 2,922,976 | |||||||||||||
Government Loan Trust• | ||||||||||||||||
7,644,000 | 0.00/0.00 | % | 04/01/2007 | 6,941,195 | ||||||||||||
Government Trust Certificates• | ||||||||||||||||
5,000,000 | 0.00 | 05/15/2004 | 4,997,500 | |||||||||||||
6,187,000 | 0.00 | 11/15/2004 | 6,131,391 | |||||||||||||
Inter-American Development Bank | ||||||||||||||||
9,000,000 | 3.53 | 05/25/2005 | 9,160,155 | |||||||||||||
1,000,000 | 6.25 | 04/15/2006 | 1,071,332 | |||||||||||||
KFW International Finance, Inc. | ||||||||||||||||
4,650,000 | 8.25 | 11/30/2004 | 4,829,848 | |||||||||||||
Oesterreich Federal Financing Agency | ||||||||||||||||
3,000,000 | 7.38 | 05/11/2005 | 3,166,527 | |||||||||||||
Private Export Funding | ||||||||||||||||
4,000,000 | 7.95 | 11/01/2006 | 4,126,488 | |||||||||||||
Singapore Power Ltd. | ||||||||||||||||
1,500,000 | 7.25 | 04/28/2005 | 1,572,632 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $487,763,802) | $ | 497,731,168 | ||||||||||||||
Asset-Backed Securities – 22.3% | ||||||||||||||||
Auto – 19.3% | ||||||||||||||||
AESOP Funding II LLC Series 2003-3A, Class A1† | ||||||||||||||||
$ | 20,000,000 | 2.75 | % | 07/20/2007 | $ | 20,041,000 | ||||||||||
AmeriCredit Automobile Receivables Trust Series 2002-B, Class A3 | ||||||||||||||||
10,707,417 | 3.78 | 02/12/2007 | 10,803,448 | |||||||||||||
BMW Vehicle Owner Trust Series 2002-A, Class A4 | ||||||||||||||||
9,000,000 | 4.46 | 05/25/2007 | 9,247,947 | |||||||||||||
Capital One Auto Finance Trust Series 2001-A, Class A3 | ||||||||||||||||
1,939,539 | 4.83 | 09/15/2005 | 1,943,816 | |||||||||||||
Capital One Auto Finance Trust Series 2002-B, Class A3A | ||||||||||||||||
35,000,000 | 2.71 | 10/16/2006 | 35,253,911 | |||||||||||||
CPS Auto Trust Series 2002-A, Class A1† | ||||||||||||||||
248,766 | 3.74 | 01/15/2006 | 248,689 | |||||||||||||
Daimlerchrysler Auto Trust Series 2000-D, Class A4 | ||||||||||||||||
9,320,780 | 6.70 | 03/08/2006 | 9,450,881 | |||||||||||||
Daimlerchrysler Auto Trust Series 2001-D, Class A3 | ||||||||||||||||
4,731,553 | 3.15 | 11/06/2005 | 4,746,203 | |||||||||||||
Drive Auto Receivables Trust Series 2002-1, Class A3† | ||||||||||||||||
21,310,050 | 3.68 | 09/15/2006 | 21,523,150 | |||||||||||||
Duck Auto Grantor Trust Series 2002-A, Class A†§ | ||||||||||||||||
3,313,647 | 0.00/4.16 | 02/15/2007 | 3,330,215 | |||||||||||||
Franklin Auto Trust Series 2001-2, Class A3 | ||||||||||||||||
1,887,733 | 3.77 | 02/20/2006 | 1,893,649 | |||||||||||||
Franklin Auto Trust Series 2002-1, Class A3 | ||||||||||||||||
6,407,519 | 3.74 | 11/20/2006 | 6,451,571 | |||||||||||||
Household Automotive Trust Series 2002-1, Class A3 | ||||||||||||||||
30,673,869 | 3.75 | 09/18/2006 | 30,966,863 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Auto – (continued) | ||||||||||||||||
Long Beach Auto Receivables Trust Series 2001-A, Class A3† | ||||||||||||||||
$ | 3,026,878 | 5.20 | % | 03/13/2006 | $ | 3,042,012 | ||||||||||
Long Beach Auto Receivables Trust Series 2001-B, Class A3† | ||||||||||||||||
7,084,632 | 3.94 | 10/13/2006 | 7,148,837 | |||||||||||||
MFN Auto Receivables Trust Series 2002-A, Class A1† | ||||||||||||||||
963,740 | 3.81 | 01/15/2005 | 966,149 | |||||||||||||
Onyx Acceptance Auto Trust Series 2001-D, Class A3 | ||||||||||||||||
126,719 | 3.63 | 12/15/2005 | 126,853 | |||||||||||||
Onyx Acceptance Auto Trust Series 2002-A, Class A3 | ||||||||||||||||
3,177,970 | 3.75 | 04/15/2006 | 3,193,363 | |||||||||||||
Onyx Acceptance Auto Trust Series 2002-C, Class A3 | ||||||||||||||||
11,970,404 | 3.29 | 09/15/2006 | 12,054,417 | |||||||||||||
Union Acceptance Corp. Series 2000-A, Class A4§ | ||||||||||||||||
2,447,114 | 0.00/7.44 | 04/10/2006 | 2,461,187 | |||||||||||||
WFS Financial Owner Trust Series 2002-1, Class A3A | ||||||||||||||||
19,024,853 | 4.15 | 12/20/2006 | 19,208,063 | |||||||||||||
WFS Financial Owner Trust Series 2002-2, Class A3 | ||||||||||||||||
29,517,789 | 3.81 | 02/20/2007 | 29,780,380 | |||||||||||||
World Omni Auto Receivables Trust Series 2001-B, Class A3 | ||||||||||||||||
1,781,453 | 3.79 | 11/21/2005 | 1,787,360 | |||||||||||||
$ | 235,669,964 | |||||||||||||||
Equipment – 2.9% | ||||||||||||||||
Ikon Receivables LLC Series 2002-1, Class A3 | ||||||||||||||||
$ | 14,760,697 | 3.90 | % | 10/15/2006 | $ | 14,882,197 | ||||||||||
Ikon Receivables LLC Series 2003-1, Class A3B | ||||||||||||||||
20,000,000 | 2.33 | 12/17/2007 | 20,091,698 | |||||||||||||
$ | 34,973,895 | |||||||||||||||
Student Loans – 0.1% | ||||||||||||||||
Union Financial Services-1, Inc. Series 1998-A, Class A8 | ||||||||||||||||
$ | 982,400 | 5.50 | % | 09/01/2005 | $ | 990,495 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $270,200,295) | $ | 271,634,354 | ||||||||||||||
Repurchase Agreement – 10.7% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 130,600,000 | 1.05 | % | 05/03/2004 | $ | 130,600,000 | ||||||||||
Maturity Value: $130,611,373 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $130,600,000) | $ | 130,600,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $1,189,342,398) | $ | 1,198,920,143 | ||||||||||||||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $118,842,211, which represents approximately 9.8% of net assets as of April 30, 2004. | |||
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |||
§ | These securities are issued with a zero coupon which increases to the stated rate at a set date in the future. | |||
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |||
^ | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |||
• | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 72.4% | ||||||||||||||||
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)# – 4.1% | ||||||||||||||||
$ | 471,753 | 3.18 | % | 07/01/2018 | $ | 483,134 | ||||||||||
158,364 | 3.19 | 09/01/2018 | 162,023 | |||||||||||||
1,222,752 | 5.57 | 11/01/2018 | 1,239,337 | |||||||||||||
252,784 | 3.09 | 12/01/2018 | 258,583 | |||||||||||||
1,580,474 | 3.06 | 05/01/2019 | 1,611,745 | |||||||||||||
4,367,520 | 3.97 | 11/01/2019 | 4,444,519 | |||||||||||||
3,022,269 | 6.88 | 11/01/2019 | 3,164,527 | |||||||||||||
2,248,153 | 3.10 | 01/01/2020 | 2,303,350 | |||||||||||||
747,543 | 3.31 | 05/01/2020 | 767,693 | |||||||||||||
3,920,279 | 3.14 | 06/01/2020 | 4,018,654 | |||||||||||||
81,768 | 3.15 | 02/01/2021 | 83,795 | |||||||||||||
5,484,336 | 3.44 | 02/01/2022 | 5,674,752 | |||||||||||||
1,212,739 | 3.05 | 06/01/2022 | 1,237,564 | |||||||||||||
645,771 | 3.12 | 08/01/2022 | 660,185 | |||||||||||||
863,866 | 3.03 | 09/01/2022 | 876,858 | |||||||||||||
1,165,001 | 3.17 | 09/01/2022 | 1,196,908 | |||||||||||||
1,463,963 | 3.35 | 06/01/2024 | 1,503,948 | |||||||||||||
5,746,964 | 3.46 | 12/01/2026 | 5,955,189 | |||||||||||||
12,641,079 | 3.46 | 04/01/2027 | 13,083,227 | |||||||||||||
399,736 | 2.98 | 02/01/2028 | 406,727 | |||||||||||||
15,408,849 | 3.30 | 04/01/2028 | 15,764,108 | |||||||||||||
2,927,031 | 6.48 | 08/01/2028 | 3,028,833 | |||||||||||||
1,399,500 | 3.23 | 05/01/2029 | 1,449,501 | |||||||||||||
963,258 | 7.12 | 06/01/2029 | 977,442 | |||||||||||||
934,662 | 3.27 | 07/01/2030 | 956,270 | |||||||||||||
980,039 | 7.58 | 11/01/2030 | 999,355 | |||||||||||||
1,703,455 | 3.31 | 12/01/2030 | 1,770,531 | |||||||||||||
432,994 | 3.08 | 02/01/2031 | 437,324 | |||||||||||||
2,280,675 | 6.02 | 05/01/2035 | 2,335,944 | |||||||||||||
$ | 76,852,026 | |||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)# – 17.0% | ||||||||||||||||
$ | 193,898 | 3.19 | % | 11/01/2014 | $ | 198,997 | ||||||||||
512,376 | 3.11 | 03/01/2017 | 524,577 | |||||||||||||
2,045,007 | 6.64 | 04/01/2017 | 2,125,705 | |||||||||||||
124,810 | 3.08 | 11/01/2017 | 127,968 | |||||||||||||
1,028,546 | 2.25 | 03/01/2018 | 1,025,359 | |||||||||||||
207,367 | 2.84 | 03/01/2018 | 210,783 | |||||||||||||
952,274 | 3.32 | 03/01/2018 | 962,807 | |||||||||||||
3,177,924 | 3.32 | 07/01/2018 | 3,213,077 | |||||||||||||
685,794 | 3.52 | 08/01/2018 | 711,189 | |||||||||||||
453,237 | 3.00 | 10/01/2018 | 458,462 | |||||||||||||
963,560 | 3.43 | 10/01/2018 | 978,709 | |||||||||||||
26,133 | 2.82 | 11/01/2018 | 26,372 | |||||||||||||
1,106,899 | 3.01 | 11/01/2018 | 1,128,229 | |||||||||||||
546,827 | 3.19 | 01/01/2019 | 552,908 | |||||||||||||
1,778,679 | 4.01 | 04/01/2019 | 1,794,509 | |||||||||||||
1,261,936 | 3.15 | 05/01/2019 | 1,274,352 | |||||||||||||
3,100,188 | 3.22 | 05/01/2019 | 3,150,292 | |||||||||||||
904,825 | 3.45 | 06/01/2019 | 915,082 | |||||||||||||
572,321 | 3.66 | 06/01/2019 | 582,705 | |||||||||||||
641,338 | 6.17 | 07/01/2019 | 662,312 | |||||||||||||
188,090 | 2.86 | 08/01/2019 | 192,225 | |||||||||||||
975,521 | 3.46 | 08/01/2019 | 991,211 | |||||||||||||
1,155,703 | 4.26 | 08/01/2019 | 1,166,229 | |||||||||||||
72,892 | 3.28 | 09/01/2019 | 74,587 | |||||||||||||
108,202 | 4.07 | 09/01/2019 | 109,150 | |||||||||||||
376,365 | 3.30 | 10/01/2019 | 387,167 | |||||||||||||
279,990 | 3.41 | 11/01/2019 | 283,153 | |||||||||||||
5,014,651 | 3.57 | 11/01/2019 | 5,195,629 | |||||||||||||
142,054 | 3.42 | 04/01/2020 | 144,373 | |||||||||||||
2,416,167 | 5.69 | 05/01/2020 | 2,513,707 | |||||||||||||
1,428,555 | 3.23 | 06/01/2020 | 1,451,259 | |||||||||||||
453,562 | 3.52 | 06/01/2020 | 461,564 | |||||||||||||
1,539,767 | 3.05 | 07/01/2020 | 1,574,222 | |||||||||||||
508,299 | 3.40 | 11/01/2020 | 522,140 | |||||||||||||
753,394 | 3.46 | 11/01/2020 | 765,505 | |||||||||||||
1,648,184 | 2.23 | 12/25/2020 | 1,654,544 | |||||||||||||
2,015,490 | 3.32 | 01/01/2021 | 2,072,399 | |||||||||||||
803,788 | 3.25 | 02/01/2021 | 825,526 | |||||||||||||
915,582 | 3.70 | 03/01/2021 | 932,522 | |||||||||||||
203,245 | 3.63 | 12/01/2021 | 207,054 | |||||||||||||
2,914,042 | 3.64 | 01/01/2022 | 2,965,467 | |||||||||||||
30,067 | 5.98 | 01/01/2022 | 31,001 | |||||||||||||
164,984 | 6.33 | 02/01/2022 | 171,641 | |||||||||||||
354,281 | 4.54 | 05/20/2022 | 357,567 | |||||||||||||
12,368,910 | 2.61 | 12/01/2022 | 12,590,704 | |||||||||||||
760,329 | 2.94 | 02/01/2023 | 782,662 | |||||||||||||
34,676 | 6.23 | 12/01/2023 | 35,553 | |||||||||||||
2,332,329 | 3.10 | 01/01/2024 | 2,408,334 | |||||||||||||
1,857,477 | 3.05 | 03/01/2024 | 1,913,978 | |||||||||||||
12,881,507 | 3.43 | 04/01/2024 | 13,077,495 | |||||||||||||
1,977,346 | 4.55 | 06/20/2024 | 1,995,688 | |||||||||||||
69,005 | 3.28 | 07/01/2024 | 69,785 | |||||||||||||
746,061 | 5.14 | 01/01/2025 | 763,654 | |||||||||||||
2,344,544 | 3.46 | 05/01/2025 | 2,409,966 | |||||||||||||
453,359 | 6.96 | 10/01/2025 | 464,766 | |||||||||||||
4,737,197 | 1.72 | 03/25/2027 | 4,708,953 | |||||||||||||
42,099 | 6.37 | 01/01/2028 | 42,939 | |||||||||||||
444,409 | 4.72 | 07/01/2028 | 456,866 | |||||||||||||
1,494,745 | 3.78 | 01/01/2029 | 1,516,918 | |||||||||||||
1,821,161 | 5.11 | 07/01/2029 | 1,867,060 | |||||||||||||
3,503,121 | 3.23 | 01/01/2030 | 3,591,874 | |||||||||||||
2,960,400 | 3.87 | 05/01/2030 | 3,004,795 | |||||||||||||
1,772,399 | 2.63 | 06/01/2030 | 1,810,336 | |||||||||||||
1,740,503 | 2.63 | 11/01/2030 | 1,765,570 | |||||||||||||
10,907,719 | 3.34 | 01/01/2031 | 11,237,534 | |||||||||||||
2,206,732 | 5.89 | 05/01/2031 | 2,278,133 | |||||||||||||
1,080,521 | 5.71 | 06/01/2031 | 1,100,414 | |||||||||||||
5,803,477 | 5.68 | 07/01/2031 | 5,938,667 | |||||||||||||
3,164,985 | 5.73 | 08/01/2031 | 3,224,044 | |||||||||||||
772,368 | 6.24 | 08/01/2031 | 806,785 | |||||||||||||
2,721,215 | 6.27 | 08/01/2031 | 2,806,253 | |||||||||||||
4,490,360 | 5.72 | 11/01/2031 | 4,598,582 | |||||||||||||
1,410,194 | 5.64 | 12/01/2031 | 1,446,236 | |||||||||||||
2,357,025 | 6.25 | 01/01/2032 | 2,441,824 | |||||||||||||
3,308,973 | 6.36 | 01/01/2032 | 3,412,378 | |||||||||||||
3,084,839 | 6.27 | 02/01/2032 | 3,188,860 | |||||||||||||
1,416,174 | 6.00 | 03/01/2032 | 1,459,835 | |||||||||||||
5,264,072 | 6.14 | 03/01/2032 | 5,412,592 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association | ||||||||||||||||
(FNMA | )# – (continued) | |||||||||||||||
$ | 1,194,466 | 5.19 | % | 05/01/2032 | $ | 1,216,388 | ||||||||||
1,610,344 | 5.94 | 07/01/2032 | 1,659,977 | |||||||||||||
2,083,280 | 4.83 | 09/01/2032 | 2,121,970 | |||||||||||||
2,269,350 | 5.87 | 09/01/2032 | 2,336,610 | |||||||||||||
2,186,283 | 4.83 | 10/01/2032 | 2,241,857 | |||||||||||||
3,721,280 | 4.98 | 12/01/2032 | 3,787,633 | |||||||||||||
1,896,924 | 5.02 | 01/01/2033 | 1,930,999 | |||||||||||||
9,151,205 | 5.00 | 02/01/2033 | 9,220,297 | |||||||||||||
6,872,883 | 4.50 | 03/01/2033 | 7,040,880 | |||||||||||||
21,002,889 | 4.76 | 03/01/2033 | 21,508,151 | |||||||||||||
18,902,718 | 4.79 | 03/01/2033 | 19,289,717 | |||||||||||||
1,702,982 | 4.89 | 04/01/2033 | 1,739,722 | |||||||||||||
15,534,892 | 4.55 | 05/01/2033 | 15,879,372 | |||||||||||||
3,038,148 | 4.75 | 05/01/2033 | 3,099,806 | |||||||||||||
40,777,616 | 4.05 | 04/01/2034 | 41,466,822 | |||||||||||||
1,169,681 | 2.63 | 05/01/2040 | 1,186,526 | |||||||||||||
12,587,654 | 2.63 | 06/01/2040 | 12,768,939 | |||||||||||||
4,578,111 | 6.23 | 07/01/2040 | 4,698,941 | |||||||||||||
12,408,142 | 2.63 | 10/01/2040 | 12,586,841 | |||||||||||||
$ | 316,085,717 | |||||||||||||||
Adjustable Rate Non-Agency# – 9.5% | ||||||||||||||||
Bank of America Mortgage Securities Series 2002-J, Class A2 | ||||||||||||||||
$ | 3,628,242 | 4.88 | % | 09/25/2032 | $ | 3,660,674 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
13,588,060 | 5.10 | 03/25/2033 | 13,689,093 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 2002-A2, Class 2A | ||||||||||||||||
1,483,049 | 5.95 | 05/25/2032 | 1,508,602 | |||||||||||||
Sequoia Mortgage Trust Series 8, Class 1A2 | ||||||||||||||||
2,085,770 | 3.46 | 08/20/2032 | 2,090,997 | |||||||||||||
Sequoia Mortgage Trust Series 8, Class 3A | ||||||||||||||||
19,916,908 | 2.97 | 08/20/2032 | 19,765,540 | |||||||||||||
Sequoia Mortgage Trust Series 9, Class 2A | ||||||||||||||||
66,798,052 | 2.80 | 09/20/2032 | 66,269,679 | |||||||||||||
Washington Mutual Series 2002-AR6, Class A | ||||||||||||||||
18,357,109 | 2.63 | 06/25/2042 | 18,575,457 | |||||||||||||
Washington Mutual Series 2002-AR7, Class A6 | ||||||||||||||||
8,494,253 | 5.53 | 07/25/2032 | 8,591,444 | |||||||||||||
Washington Mutual Series 2002-AR9, Class 1A | ||||||||||||||||
24,020,849 | 2.63 | 08/25/2042 | 24,196,746 | |||||||||||||
Washington Mutual Series 2004 AR2, Class A | ||||||||||||||||
19,000,000 | 2.57 | 04/25/2044 | 19,087,810 | |||||||||||||
$ | 177,436,042 | |||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 1.0% | ||||||||||||||||
Interest Only@ – 1.0% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2001-TOP2, Class X2#† | ||||||||||||||||
$ | 142,041,083 | 1.36 | % | 02/15/2035 | $ | 6,298,329 | ||||||||||
Greenwich Capital Commercial Funding Corp. Series 2003-C2, Class XP#† | ||||||||||||||||
35,933,000 | 1.34 | 01/05/2036 | 2,605,142 | |||||||||||||
Salomon Brothers Mortgage Securities VII Series 2002-Key2, Class X2#† | ||||||||||||||||
88,598,000 | 2.24 | 03/18/2036 | 9,070,362 | |||||||||||||
$ | 17,973,833 | |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 4.7% | ||||||||||||||||
$ | 6,638,366 | 7.00 | % | 02/01/2009 | $ | 7,075,789 | ||||||||||
5,046,444 | 6.00 | 03/01/2009 | 5,310,764 | |||||||||||||
3,481,664 | 7.00 | 03/01/2009 | 3,709,485 | |||||||||||||
8,434,819 | 7.00 | 04/01/2009 | 8,994,496 | |||||||||||||
3,793,214 | 7.00 | 05/01/2009 | 4,041,422 | |||||||||||||
3,040,868 | 7.00 | 06/01/2009 | 3,239,847 | |||||||||||||
3,112,644 | 7.50 | 06/01/2009 | 3,325,807 | |||||||||||||
566,753 | 6.50 | 03/01/2013 | 599,661 | |||||||||||||
866,907 | 6.50 | 04/01/2013 | 917,245 | |||||||||||||
437,277 | 6.50 | 05/01/2013 | 462,668 | |||||||||||||
993,158 | 6.50 | 06/01/2013 | 1,050,826 | |||||||||||||
9,280,295 | 8.00 | 12/01/2015 | 9,950,239 | |||||||||||||
1,618,374 | 6.00 | 05/01/2017 | 1,689,094 | |||||||||||||
2,161,278 | 7.00 | 04/01/2021 | 2,284,594 | |||||||||||||
1,003,174 | 7.00 | 08/01/2021 | 1,060,412 | |||||||||||||
8,038,924 | 7.00 | 03/01/2022 | 8,507,145 | |||||||||||||
2,867,247 | 7.00 | 05/01/2022 | 3,034,247 | |||||||||||||
12,575,659 | 7.00 | 06/01/2022 | 13,308,118 | |||||||||||||
185,193 | 7.00 | 12/01/2025 | 195,989 | |||||||||||||
1,382,542 | 7.00 | 12/01/2030 | 1,456,857 | |||||||||||||
1,140,315 | 7.00 | 01/01/2031 | 1,202,055 | |||||||||||||
6,570,680 | 6.50 | 03/01/2033 | 6,839,191 | |||||||||||||
$ | 88,255,951 | |||||||||||||||
Federal National Mortgage Association (FNMA) – 16.3% | ||||||||||||||||
$ | 6,761 | 6.00 | % | 04/01/2008 | $ | 7,110 | ||||||||||
444,182 | 6.00 | 08/01/2008 | 467,115 | |||||||||||||
409,877 | 6.00 | 09/01/2008 | 431,039 | |||||||||||||
128,399 | 6.00 | 10/01/2008 | 135,028 | |||||||||||||
2,087 | 6.00 | 11/01/2008 | 2,194 | |||||||||||||
183,096 | 6.00 | 12/01/2008 | 192,549 | |||||||||||||
373,407 | 6.00 | 01/01/2009 | 392,686 | |||||||||||||
3,127 | 6.00 | 02/01/2009 | 3,286 | |||||||||||||
690,147 | 6.00 | 05/01/2009 | 725,388 | |||||||||||||
11,582 | 6.00 | 12/01/2009 | 12,173 | |||||||||||||
2,396,833 | 6.00 | 01/01/2011 | 2,520,581 | |||||||||||||
5,290,474 | 6.00 | 09/01/2011 | 5,522,405 | |||||||||||||
6,420,515 | 6.00 | 01/01/2012 | 6,704,661 | |||||||||||||
1,687,746 | 6.50 | 01/01/2012 | 1,793,048 | |||||||||||||
16,225,342 | 6.00 | 03/01/2012 | 16,947,705 | |||||||||||||
7,990,113 | 6.00 | 04/01/2012 | 8,347,052 | |||||||||||||
3,831,329 | 6.50 | 04/01/2012 | 4,065,276 | |||||||||||||
10,998,178 | 6.00 | 05/01/2012 | 11,490,642 | |||||||||||||
1,729,429 | 6.50 | 05/01/2012 | 1,835,024 | |||||||||||||
8,564,003 | 6.00 | 06/01/2012 | 8,948,006 | |||||||||||||
1,943,127 | 6.50 | 06/01/2012 | 2,052,332 | |||||||||||||
74,807,676 | 5.50 | 01/01/2013 | 76,904,569 | |||||||||||||
587,198 | 6.00 | 04/01/2013 | 600,751 | |||||||||||||
4,004,341 | 8.00 | 01/01/2016 | 4,307,651 | |||||||||||||
4,126,373 | 6.50 | 03/01/2017 | 4,368,687 | |||||||||||||
25
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) – (continued) | ||||||||||||||||
$ | 1,466,203 | 7.00 | % | 03/01/2017 | $ | 1,564,329 | ||||||||||
12,867,411 | 6.00 | 04/01/2017 | 13,442,232 | |||||||||||||
878,310 | 7.00 | 05/01/2017 | 937,092 | |||||||||||||
17,242,348 | 5.50 | 03/01/2018 | 17,702,619 | |||||||||||||
1,972,796 | 5.50 | 04/01/2018 | 2,025,459 | |||||||||||||
6,433,468 | 6.00 | 04/01/2018 | 6,714,872 | |||||||||||||
1,083,479 | 7.00 | 07/01/2021 | 1,145,553 | |||||||||||||
1,411,402 | 7.00 | 11/01/2021 | 1,492,264 | |||||||||||||
876,140 | 7.00 | 12/01/2021 | 926,335 | |||||||||||||
1,197,296 | 7.00 | 01/01/2022 | 1,265,891 | |||||||||||||
230,161 | 7.00 | 02/01/2022 | 243,347 | |||||||||||||
1,004,901 | 7.00 | 01/01/2028 | 1,062,123 | |||||||||||||
18,491,313 | 7.00 | 03/01/2032 | 19,511,799 | |||||||||||||
30,924,162 | 7.00 | 04/01/2032 | 32,630,784 | |||||||||||||
10,759,135 | 7.00 | 07/01/2032 | 11,352,903 | |||||||||||||
2,514,817 | 6.50 | 12/01/2032 | 2,613,978 | |||||||||||||
11,057,362 | 6.50 | 03/01/2033 | 11,499,194 | |||||||||||||
5,820,288 | 6.50 | 04/01/2033 | 6,052,856 | |||||||||||||
11,491,387 | 7.00 | 04/01/2033 | 12,125,204 | |||||||||||||
$ | 303,085,792 | |||||||||||||||
Government National Mortgage Association (GNMA) – 0.0% | ||||||||||||||||
$ | 129,326 | 7.00 | % | 12/15/2025 | $ | 138,305 | ||||||||||
536,259 | 7.00 | 04/15/2026 | 572,958 | |||||||||||||
$ | 711,263 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 19.8% | ||||||||||||||||
Interest Only@ – 0.1% | ||||||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
$ | 5,242,596 | 4.50 | % | 08/15/2016 | $ | 672,871 | ||||||||||
FHLMC Series 2587, Class IG | ||||||||||||||||
6,131,614 | 4.50 | 10/15/2016 | 787,725 | |||||||||||||
FNMA REMIC Trust Series 1990-145, Class B | ||||||||||||||||
4,050 | 1,004.96 | 12/25/2020 | 55,327 | |||||||||||||
$ | 1,515,923 | |||||||||||||||
Inverse Floater# – 0.3% | ||||||||||||||||
FHLMC Series 1606, Class SC | ||||||||||||||||
$ | 4,408,415 | 18.18 | % | 11/15/2008 | $ | 5,078,258 | ||||||||||
FNMA Series 1996-20, Class SB | ||||||||||||||||
4,042,575 | 14.70 | 10/25/2008 | 781,885 | |||||||||||||
GNMA REMIC Trust Series 2001-62, Class SB | ||||||||||||||||
127,823 | 22.43 | 11/16/2027 | 146,051 | |||||||||||||
$ | 6,006,194 | |||||||||||||||
Inverse Floating Rate – Interest Only#@ – 0.0% | ||||||||||||||||
FNMA Series 1996-40, Class SG | ||||||||||||||||
$ | 4,268,251 | 16.39 | % | 03/25/2009 | $ | 953,493 | ||||||||||
Planned Amortization Class (PAC) CMOs – 3.8% | ||||||||||||||||
FHLMC Series 1364, Class K | ||||||||||||||||
$ | 1,540,758 | 5.00 | % | 09/15/2007 | $ | 1,568,997 | ||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
3,403,580 | 6.00 | 09/15/2007 | 3,475,130 | |||||||||||||
FHLMC Series 1415, Class N | ||||||||||||||||
3,661,291 | 6.75 | 11/15/2007 | 3,774,622 | |||||||||||||
FHLMC Series 1445, Class K | ||||||||||||||||
311,458 | 7.00 | 10/15/2007 | 313,930 | |||||||||||||
FHLMC Series 1680, Class PJ | ||||||||||||||||
2,804,000 | 6.50 | 02/15/2023 | 2,946,017 | |||||||||||||
FHLMC Series 1692, Class PJ | ||||||||||||||||
1,906,283 | 6.50 | 04/15/2023 | 1,942,733 | |||||||||||||
FHLMC Series 1703, Class GA | ||||||||||||||||
2,658,668 | 6.50 | 10/15/2008 | 2,722,005 | |||||||||||||
FHLMC Series 2078, Class PL | ||||||||||||||||
1,100,297 | 6.25 | 06/15/2012 | 1,105,440 | |||||||||||||
FHLMC Series 2113, Class TE | ||||||||||||||||
7,000,000 | 6.00 | 01/15/2014 | 7,371,710 | |||||||||||||
FHLMC Series 2298, Class PD | ||||||||||||||||
2,782,069 | 6.50 | 03/15/2030 | 2,834,060 | |||||||||||||
FHLMC Series 2395, Class PE | ||||||||||||||||
10,000,000 | 6.00 | 02/15/2030 | 10,442,767 | |||||||||||||
FHLMC Series 2479, Class TC | ||||||||||||||||
10,561,920 | 5.50 | 12/15/2014 | 10,847,122 | |||||||||||||
FNMA REMIC Trust Series 1992-193, Class HD | ||||||||||||||||
3,852,472 | 7.00 | 11/25/2007 | 4,036,331 | |||||||||||||
FNMA REMIC Trust Series 1993-225, Class WC | ||||||||||||||||
2,140,908 | 6.50 | 12/25/2013 | 2,269,587 | |||||||||||||
FNMA REMIC Trust Series 1993-35, Class H | ||||||||||||||||
1,137,311 | 6.75 | 02/25/2008 | 1,171,272 | |||||||||||||
GNMA REMIC Trust Series 2002-45, Class QC | ||||||||||||||||
3,971,882 | 6.50 | 07/20/2029 | 3,984,521 | |||||||||||||
GNMA Series 2002-3, Class LE | ||||||||||||||||
9,602,584 | 6.50 | 08/20/2030 | 9,747,450 | |||||||||||||
$ | 70,553,694 | |||||||||||||||
Regular Floater CMOs# – 3.7% | ||||||||||||||||
FHLMC Series 1509, Class F | ||||||||||||||||
$ | 8,722,311 | 2.13 | % | 04/15/2008 | $ | 8,818,761 | ||||||||||
FHLMC Series 1606, Class FC | ||||||||||||||||
16,184,283 | 2.74 | 11/15/2008 | 16,225,872 | |||||||||||||
FHLMC Series 1612, Class FD | ||||||||||||||||
1,694,949 | 2.74 | 11/15/2008 | 1,700,584 | |||||||||||||
FHLMC Series 1661, Class FD | ||||||||||||||||
17,834,558 | 2.63 | 01/15/2009 | 18,175,086 | |||||||||||||
FHLMC Series 1665, Class FA | ||||||||||||||||
1,310,057 | 3.25 | 06/15/2023 | 1,332,783 | |||||||||||||
FHLMC Series 1826, Class F | ||||||||||||||||
575,586 | 1.53 | 09/15/2021 | 575,602 | |||||||||||||
FHLMC Series 1970, Class F | ||||||||||||||||
176,278 | 1.48 | 08/15/2004 | 176,217 | |||||||||||||
FNMA REMIC Trust Series 1993-190, Class F | ||||||||||||||||
10,269,649 | 2.87 | 10/25/2008 | 10,326,416 | |||||||||||||
FNMA REMIC Trust Series 1993-196, Class FD | ||||||||||||||||
878,839 | 2.72 | 10/25/2008 | 881,287 | |||||||||||||
FNMA REMIC Trust Series 1993-214, Class FA | ||||||||||||||||
2,342,048 | 1.93 | 12/25/2008 | 2,366,304 | |||||||||||||
FNMA REMIC Trust Series 1993-233, Class FA | ||||||||||||||||
1,980,741 | 2.74 | 12/25/2008 | 1,990,454 | |||||||||||||
FNMA REMIC Trust Series 1994-15, Class FC | ||||||||||||||||
819,870 | 3.73 | 06/25/2023 | 829,361 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Regular Floater CMOs# – (continued) | ||||||||||||||||
FNMA Series 1993-231, Class FE | ||||||||||||||||
$ | 4,120,514 | 2.03 | % | 12/25/2008 | $ | 4,168,492 | ||||||||||
FNMA Series 1998-66, Class FC | ||||||||||||||||
1,083,874 | 1.60 | 11/17/2028 | 1,092,409 | |||||||||||||
$ | 68,659,628 | |||||||||||||||
Sequential Fixed Rate CMOs – 11.4% | ||||||||||||||||
FHLMC Series 1216, Class GC | ||||||||||||||||
$ | 3,408,648 | 7.00 | % | 03/15/2007 | $ | 3,521,978 | ||||||||||
FHLMC Series 1246, Class J | ||||||||||||||||
766,302 | 7.50 | 05/15/2007 | 793,902 | |||||||||||||
FHLMC Series 1423, Class FF | ||||||||||||||||
10,078,138 | 7.00 | 12/15/2007 | 10,510,082 | |||||||||||||
FHLMC Series 1720, Class PJ | ||||||||||||||||
5,722,517 | 7.25 | 01/15/2024 | 6,040,177 | |||||||||||||
FHLMC Series 2006, Class K | ||||||||||||||||
1,355,039 | 6.50 | 05/15/2012 | 1,369,444 | |||||||||||||
FHLMC Series 2145, Class KA | ||||||||||||||||
2,802,231 | 6.35 | 09/15/2026 | 2,821,214 | |||||||||||||
FHLMC Series 2282, Class VB | ||||||||||||||||
11,155,000 | 6.00 | 06/15/2014 | 11,310,055 | |||||||||||||
FHLMC Series 2359, Class PC | ||||||||||||||||
21,466,899 | 6.00 | 07/15/2015 | 21,848,084 | |||||||||||||
FHLMC Series 2368, Class PQ | ||||||||||||||||
9,112,432 | 6.50 | 08/15/2030 | 9,245,654 | |||||||||||||
FHLMC Series 2416, Class PF | ||||||||||||||||
2,875,967 | 6.00 | 08/15/2018 | 2,900,762 | |||||||||||||
FHLMC Series 2423, Class MB | ||||||||||||||||
8,730,324 | 7.00 | 07/15/2030 | 8,842,807 | |||||||||||||
FHLMC Series 2441, Class JA | ||||||||||||||||
14,005,261 | 6.00 | 12/15/2029 | 14,266,075 | |||||||||||||
FHLMC Series 2448, Class AV | ||||||||||||||||
10,534,571 | 6.50 | 09/15/2013 | 10,860,228 | |||||||||||||
FHLMC Series 2470, Class BA | ||||||||||||||||
19,630,000 | 6.00 | 02/15/2030 | 20,776,054 | |||||||||||||
First Nationwide Trust Series 2001-4, Class 1A1 | ||||||||||||||||
8,890,118 | 6.75 | 09/21/2031 | 9,089,527 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
4,199,041 | 6.25 | 07/25/2008 | 4,378,935 | |||||||||||||
FNMA REMIC Trust Series 1993-14, Class A | ||||||||||||||||
229,172 | 6.00 | 02/25/2008 | 235,388 | |||||||||||||
FNMA REMIC Trust Series 1993-212, Class PC | ||||||||||||||||
8,972,901 | 4.50 | 09/25/2008 | 9,136,798 | |||||||||||||
FNMA REMIC Trust Series 1996-14, Class J | ||||||||||||||||
1,143,917 | 6.15 | 03/25/2009 | 1,190,610 | |||||||||||||
FNMA Series 1994-28, Class H | ||||||||||||||||
7,731,346 | 6.25 | 03/25/2023 | 7,855,852 | |||||||||||||
FNMA Series 2003-32, Class KA | ||||||||||||||||
15,607,124 | 5.00 | 07/25/2013 | 16,005,186 | |||||||||||||
GNMA REMIC Trust Series 2001-59, Class QJ | ||||||||||||||||
9,406,375 | 6.00 | 09/20/2028 | 9,529,328 | |||||||||||||
GNMA REMIC Trust Series 2001-60, Class PK | ||||||||||||||||
16,321,627 | 6.00 | 09/20/2028 | 16,506,050 | |||||||||||||
GNMA Series 2002-1, Class PB | ||||||||||||||||
13,493,200 | 6.00 | 02/20/2029 | 13,692,191 | |||||||||||||
Residential Funding Mortgage Sec I Series 2002-S9, Class A5 | ||||||||||||||||
219,066 | 6.00 | 07/25/2017 | 224,817 | |||||||||||||
$ | 212,951,198 | |||||||||||||||
Support – 0.5% | ||||||||||||||||
FHLMC Series 1639, Class M | ||||||||||||||||
$ | 5,223,662 | 6.00 | % | 12/15/2008 | $ | 5,381,678 | ||||||||||
Housing Securities, Inc. Series 1994-1, Class A13 | ||||||||||||||||
4,121,768 | 6.50 | 03/25/2009 | 4,127,911 | |||||||||||||
$ | 9,509,589 | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) | $ | 370,149,719 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $1,358,304,155) | $ | 1,350,550,343 | ||||||||||||||
Agency Debentures – 0.8% | ||||||||||||||||
Federal National Mortgage Association | ||||||||||||||||
$ | 9,350,000 | 5.00 | %^ | 03/21/2007 | $ | 9,599,745 | ||||||||||
5,000,000 | 6.40 | 05/14/2009 | 5,007,400 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $14,601,893) | $ | 14,607,145 | ||||||||||||||
Asset-Backed Securities – 6.9% | ||||||||||||||||
Auto – 4.3% | ||||||||||||||||
AmeriCredit Automobile Receivable Trust Series 2002-A, Class A4 | ||||||||||||||||
$ | 7,035,000 | 4.61 | % | 01/12/2009 | $ | 7,248,380 | ||||||||||
Capital One Auto Investment LLC Series 2000-B, Class A4† | ||||||||||||||||
12,000,000 | 6.78 | 10/15/2007 | 12,165,000 | |||||||||||||
Duck Auto Grantor Trust Series 2002-B, Class A† | ||||||||||||||||
20,032,962 | 2.99 | 07/15/2007 | 20,095,565 | |||||||||||||
Long Beach Auto Receivable Trust Series 2001-B, Class A4† | ||||||||||||||||
32,500,000 | 4.60 | 11/13/2008 | 33,495,312 | |||||||||||||
Union Acceptance Corp. Series 2000-B, Class A4§ | ||||||||||||||||
7,142,383 | 0.00/7.54 | 10/10/2006 | 7,275,883 | |||||||||||||
$ | 80,280,140 | |||||||||||||||
Home Equity – 2.6% | ||||||||||||||||
ACE Securities Corp. Series 2003-FM1, Class A2# | ||||||||||||||||
$ | 13,166,290 | 1.47 | % | 11/25/2032 | $ | 13,192,962 | ||||||||||
Impac CMB Trust Series 2004-3, Class 1A# | ||||||||||||||||
22,934,906 | 1.35 | 06/25/2034 | 22,914,492 | |||||||||||||
Indy Mac Home Equity Loan Asset-Backed Trust Series 2002-B, Class AV# | ||||||||||||||||
11,990,055 | 1.55 | 10/25/2033 | 12,029,394 | |||||||||||||
$ | 48,136,848 | |||||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $128,905,895) | $ | 128,416,988 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – 0.9% | ||||||||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
$ | 17,920,000 | 0.00 | % | 05/15/2011 | $ | 16,985,974 | ||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $17,214,753) | $ | 16,985,974 | ||||||||||||||
Repurchase Agreement – 16.5% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 307,300,000 | 1.05 | % | 05/03/2004 | $ | 307,300,000 | ||||||||||
Maturity Value: $307,326,761 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $307,300,000) | $ | 307,300,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $1,826,326,696) | $ | 1,817,860,450 | ||||||||||||||
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |||
@ | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |||
§ | These securities are issued with a zero coupon which increases to the stated rate at a set date in the future. | |||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $83,729,710, which represents 4.5% of net assets as of April 30, 2004. | |||
^ | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |||
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |||
• | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 62.6% | ||||||||||||||||
Adjustable Rate Federal Home Loan Mortgage Corp. (FHLMC)# – 2.6% | ||||||||||||||||
$ | 297,415 | 3.00 | % | 08/01/2017 | $ | 303,020 | ||||||||||
314,712 | 5.33 | ^ | 05/01/2018 | 311,610 | ||||||||||||
1,216,612 | 3.30 | 06/01/2018 | 1,253,220 | |||||||||||||
340,090 | 3.09 | 12/01/2018 | 347,891 | |||||||||||||
1,237,594 | 3.44 | 02/01/2022 | 1,280,564 | |||||||||||||
377,546 | 5.88 | 10/01/2025 | 383,383 | |||||||||||||
11,669,662 | 3.41 | 07/01/2033 | 11,849,862 | |||||||||||||
5,638,707 | 3.66 | 11/01/2033 | 5,753,939 | |||||||||||||
$ | 21,483,489 | |||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)# – 15.9% | ||||||||||||||||
$ | 465,354 | 3.19 | % | 11/01/2014 | $ | 477,593 | ||||||||||
862,988 | 2.97 | 11/01/2017 | 881,794 | |||||||||||||
1,136,794 | 5.01 | 02/01/2018 | 1,150,357 | |||||||||||||
538,207 | 0.00 | 02/25/2018 | 502,007 | |||||||||||||
681,729 | 6.02 | 02/25/2018 | 754,253 | |||||||||||||
599,372 | 3.01 | 06/01/2018 | 608,268 | |||||||||||||
907,707 | 3.31 | 03/01/2019 | 930,299 | |||||||||||||
1,198,298 | 5.69 | 05/01/2020 | 1,246,673 | |||||||||||||
1,027,710 | 4.08 | 12/01/2020 | 1,055,046 | |||||||||||||
1,209,294 | 3.33 | 01/01/2021 | 1,243,439 | |||||||||||||
478,559 | 5.80 | 01/01/2023 | 491,241 | |||||||||||||
444,409 | 4.72 | 07/01/2028 | 456,866 | |||||||||||||
1,615,580 | 5.66 | 07/01/2032 | 1,645,888 | |||||||||||||
1,156,407 | 5.79 | 07/01/2032 | 1,183,772 | |||||||||||||
3,196,359 | 5.37 | 01/01/2033 | 3,291,445 | |||||||||||||
6,144,500 | 5.24 | 02/01/2033 | 6,323,596 | |||||||||||||
25,216,698 | 4.25 | 05/01/2033 | 25,520,080 | |||||||||||||
4,615,850 | 3.97 | 08/01/2033 | 4,600,500 | |||||||||||||
27,392,778 | 4.39 | 10/01/2033 | 27,779,319 | |||||||||||||
15,937,292 | 4.42 | 02/01/2034 | 16,209,225 | |||||||||||||
12,971,902 | 4.34 | 03/01/2034 | 13,215,064 | |||||||||||||
5,672,592 | 4.05 | 04/01/2034 | 5,768,467 | |||||||||||||
5,054,146 | 4.64 | 08/01/2035 | 5,162,622 | |||||||||||||
2,369,122 | 4.65 | 08/01/2035 | 2,419,970 | |||||||||||||
9,844,408 | 4.61 | 07/01/2036 | 10,056,389 | |||||||||||||
$ | 132,974,173 | |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 10.5% | ||||||||||||||||
$ | 14,313,282 | 7.20 | % | 10/01/2006 | $ | 15,610,337 | ||||||||||
92,816 | 7.00 | 01/01/2009 | 98,890 | |||||||||||||
142,434 | 7.00 | 02/01/2009 | 151,754 | |||||||||||||
60,677 | 7.00 | 03/01/2009 | 64,647 | |||||||||||||
191,022 | 7.00 | 04/01/2009 | 203,522 | |||||||||||||
122,637 | 7.00 | 05/01/2009 | 130,661 | |||||||||||||
14,556 | 6.50 | 05/01/2010 | 15,488 | |||||||||||||
88,268 | 6.50 | 06/01/2010 | 93,650 | |||||||||||||
1,845,182 | 6.50 | 07/01/2010 | 1,958,527 | |||||||||||||
272,988 | 7.00 | 07/01/2010 | 290,921 | |||||||||||||
304,517 | 6.50 | 08/01/2010 | 323,761 | |||||||||||||
364,938 | 7.00 | 01/01/2011 | 389,152 | |||||||||||||
6,008,829 | 6.00 | 10/01/2012 | 6,287,419 | |||||||||||||
128,728 | 7.00 | 12/01/2012 | 137,185 | |||||||||||||
125,952 | 6.00 | 01/01/2013 | 131,787 | |||||||||||||
443,657 | 6.50 | 01/01/2013 | 469,419 | |||||||||||||
64,624 | 6.00 | 02/01/2013 | 67,621 | |||||||||||||
8,016,803 | 5.00 | 04/01/2013 | 8,083,309 | |||||||||||||
167,308 | 6.00 | 04/01/2013 | 175,059 | |||||||||||||
269,396 | 6.50 | 04/01/2013 | 285,039 | |||||||||||||
403,741 | 6.50 | 05/01/2013 | 427,185 | |||||||||||||
239,184 | 6.50 | 06/01/2013 | 253,072 | |||||||||||||
217,464 | 6.50 | 10/01/2013 | 230,091 | |||||||||||||
3,265,190 | 6.00 | 11/01/2013 | 3,416,463 | |||||||||||||
4,508,744 | 6.00 | 03/01/2014 | 4,714,772 | |||||||||||||
1,742,188 | 6.00 | 06/01/2014 | 1,821,798 | |||||||||||||
150,876 | 6.00 | 10/01/2014 | 157,770 | |||||||||||||
14,644,108 | 6.00 | 12/01/2014 | 15,313,273 | |||||||||||||
528,939 | 8.50 | 10/01/2015 | 573,528 | |||||||||||||
3,211,175 | 8.00 | 12/01/2015 | 3,442,989 | |||||||||||||
140,787 | 7.00 | 03/01/2016 | 149,886 | |||||||||||||
6,378,235 | 7.00 | 04/01/2022 | 6,749,731 | |||||||||||||
128,877 | 7.50 | 01/01/2031 | 137,964 | |||||||||||||
5,695,176 | 6.00 | 03/01/2034 | 5,828,593 | |||||||||||||
10,000,000 | 5.00 | TBA- 15yr | ) | 10,034,380 | ||||||||||||
$ | 88,219,643 | |||||||||||||||
Federal National Mortgage Association (FNMA) – 9.5% | ||||||||||||||||
$ | 9,607 | 7.00 | % | 11/01/2007 | $ | 10,265 | ||||||||||
183,928 | 7.00 | 12/01/2007 | 196,522 | |||||||||||||
4,936 | 7.00 | 05/01/2008 | 5,275 | |||||||||||||
38,827 | 7.00 | 08/01/2008 | 41,489 | |||||||||||||
1,379,919 | 7.00 | 09/01/2008 | 1,474,534 | |||||||||||||
1,133,429 | 6.00 | 12/01/2008 | 1,191,948 | |||||||||||||
273,678 | 6.00 | 01/01/2009 | 287,730 | |||||||||||||
26,053 | 6.00 | 05/01/2009 | 27,383 | |||||||||||||
522,424 | 6.00 | 06/01/2009 | 549,396 | |||||||||||||
309,147 | 6.00 | 09/01/2009 | 324,933 | |||||||||||||
34,626 | 7.00 | 12/01/2009 | 37,000 | |||||||||||||
198,927 | 8.50 | 05/01/2010 | 214,755 | |||||||||||||
2,644 | 7.00 | 06/01/2010 | 2,825 | |||||||||||||
4,705 | 6.00 | 08/01/2010 | 4,926 | |||||||||||||
13,782 | 7.00 | 08/01/2010 | 14,724 | |||||||||||||
10,747 | 7.00 | 01/01/2011 | 11,473 | |||||||||||||
155,607 | 7.00 | 07/01/2011 | 166,121 | |||||||||||||
5,281 | 7.00 | 11/01/2011 | 5,638 | |||||||||||||
31,888,517 | 5.50 | 01/01/2013 | 32,781,268 | |||||||||||||
150,385 | 6.00 | 01/01/2014 | 155,696 | |||||||||||||
439,386 | 6.00 | 03/01/2014 | 454,903 | |||||||||||||
34,259 | 5.50 | 04/01/2014 | 34,850 | |||||||||||||
1,087,136 | 6.50 | 12/01/2014 | 1,151,910 | |||||||||||||
58,440 | 8.50 | 09/01/2015 | 63,846 | |||||||||||||
521,548 | 8.50 | 10/01/2015 | 569,787 | |||||||||||||
136,425 | 8.50 | 12/01/2015 | 149,084 | |||||||||||||
2,145,273 | 5.50 | 07/01/2018 | 2,203,428 | |||||||||||||
1,217,691 | 5.50 | 08/01/2018 | 1,250,459 | |||||||||||||
1,371,940 | 5.50 | 09/01/2018 | 1,408,859 | |||||||||||||
202,071 | 5.50 | 12/01/2018 | 207,509 | |||||||||||||
316,259 | 7.00 | 11/01/2019 | 335,398 | |||||||||||||
5,857,572 | 6.50 | 08/01/2022 | 6,098,910 | |||||||||||||
3,560,937 | 6.50 | 11/01/2022 | 3,707,496 | |||||||||||||
363,634 | 8.00 | 02/01/2031 | 394,404 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) – (continued) | ||||||||||||||||
$ | 7,362,896 | 7.00 | % | 04/01/2032 | $ | 7,769,234 | ||||||||||
666,629 | 6.50 | 07/01/2032 | 696,734 | |||||||||||||
15,117,804 | 6.50 | 04/01/2033 | 15,721,884 | |||||||||||||
$ | 79,722,596 | |||||||||||||||
Government National Mortgage Association (GNMA) – 0.2% | ||||||||||||||||
$ | 267,218 | 6.50 | % | 06/15/2008 | $ | 286,639 | ||||||||||
128,375 | 6.50 | 07/15/2008 | 137,705 | |||||||||||||
442,707 | 6.50 | 08/15/2008 | 474,882 | |||||||||||||
185,696 | 6.50 | 09/15/2008 | 199,192 | |||||||||||||
43,016 | 6.50 | 10/15/2008 | 46,142 | |||||||||||||
12,660 | 6.50 | 11/15/2008 | 13,580 | |||||||||||||
31,782 | 9.00 | 12/15/2008 | 34,752 | |||||||||||||
30,539 | 6.50 | 01/15/2009 | 32,771 | |||||||||||||
61,538 | 9.00 | 01/15/2009 | 67,505 | |||||||||||||
3,202 | 6.50 | 03/15/2009 | 3,434 | |||||||||||||
28,271 | 6.50 | 04/15/2009 | 30,336 | |||||||||||||
175,002 | 6.50 | 05/15/2009 | 187,790 | |||||||||||||
19,846 | 6.50 | 07/15/2009 | 21,297 | |||||||||||||
28,551 | 6.50 | 11/15/2009 | 30,637 | |||||||||||||
10,399 | 9.00 | 01/15/2010 | 11,441 | |||||||||||||
124,486 | 9.00 | 07/15/2012 | 137,541 | |||||||||||||
$ | 1,715,644 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 23.9% | ||||||||||||||||
Interest Only@ – 0.3% | ||||||||||||||||
FHLMC Series 2541, Class QI | ||||||||||||||||
$ | 3,647,411 | 6.00 | % | 01/15/2029 | $ | 226,092 | ||||||||||
FHLMC Series 2575, Class IB | ||||||||||||||||
5,834,226 | 5.50 | 08/15/2030 | 863,670 | |||||||||||||
FHLMC Series 2586, Class NX | ||||||||||||||||
2,926,939 | 4.50 | 08/15/2016 | 375,664 | |||||||||||||
FHLMC Series 2587, Class IG | ||||||||||||||||
3,606,832 | 4.50 | 10/15/2016 | 463,367 | |||||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
5,139,122 | 5.50 | 08/15/2031 | 687,016 | |||||||||||||
$ | 2,615,809 | |||||||||||||||
Inverse Floater# – 0.1% | ||||||||||||||||
FNMA REMIC Trust Series 1990-134, Class SC | ||||||||||||||||
$ | 169,747 | 19.91 | % | 11/25/2020 | $ | 213,811 | ||||||||||
FNMA REMIC Trust Series 1993-231, Class SA | ||||||||||||||||
311,151 | 19.13 | 12/25/2008 | 338,194 | |||||||||||||
GNMA REMIC Trust 2001-59, Class SA | ||||||||||||||||
51,428 | 22.75 | 11/16/2024 | 60,644 | |||||||||||||
GNMA REMIC Trust 2001-62, Class SB | ||||||||||||||||
81,891 | 22.43 | 11/16/2027 | 93,569 | |||||||||||||
$ | 706,218 | |||||||||||||||
IOette@# – 0.0% | ||||||||||||||||
FHLMC Series 1161, Class U | ||||||||||||||||
$ | 3,966 | 1,172.81 | % | 11/15/2021 | $ | 4,310 | ||||||||||
Planned Amortization Class (PAC) CMOs – 17.3% | ||||||||||||||||
FHLMC Series 1327, Class HA | ||||||||||||||||
$ | 1,809,075 | 7.50 | % | 07/15/2007 | $ | 1,870,650 | ||||||||||
FHLMC Series 1377, Class H | ||||||||||||||||
8,012,418 | 6.00 | 09/15/2007 | 8,180,856 | |||||||||||||
FHLMC Series 1415, Class N | ||||||||||||||||
1,189,919 | 6.75 | 11/15/2007 | 1,226,752 | |||||||||||||
FHLMC Series 1429, Class G | ||||||||||||||||
1,967,239 | 7.00 | 11/15/2007 | 2,045,398 | |||||||||||||
FHLMC Series 1445, Class K | ||||||||||||||||
186,875 | 7.00 | 10/15/2007 | 188,358 | |||||||||||||
FHLMC Series 1475, Class K | ||||||||||||||||
2,112,406 | 7.00 | 02/15/2008 | 2,206,714 | |||||||||||||
FHLMC Series 1556, Class H | ||||||||||||||||
2,063,000 | 6.50 | 08/15/2013 | 2,195,347 | |||||||||||||
FHLMC Series 1564, Class H | ||||||||||||||||
5,645,965 | 6.50 | 08/15/2008 | 5,900,414 | |||||||||||||
FHLMC Series 1580, Class D | ||||||||||||||||
39,361 | 6.50 | 01/15/2007 | 39,348 | |||||||||||||
FHLMC Series 1601, Class PL | ||||||||||||||||
3,038,675 | 6.00 | 10/15/2008 | 3,162,154 | |||||||||||||
FHLMC Series 1606, Class H | ||||||||||||||||
5,062,947 | 6.00 | 11/15/2008 | 5,289,739 | |||||||||||||
FHLMC Series 1655, Class K | ||||||||||||||||
14,000,000 | 6.50 | 01/15/2009 | 14,911,513 | |||||||||||||
FHLMC Series 1697, Class PJ | ||||||||||||||||
2,589,918 | 6.00 | 07/15/2008 | 2,623,134 | |||||||||||||
FHLMC Series 1703, Class GB | ||||||||||||||||
13,396,738 | 6.50 | 02/15/2009 | 14,172,547 | |||||||||||||
FHLMC Series 1916, Class PC | ||||||||||||||||
3,700,000 | 6.75 | 12/15/2011 | 4,053,843 | |||||||||||||
FHLMC Series 2470, Class QD | ||||||||||||||||
1,643,814 | 6.00 | 07/15/2028 | 1,650,505 | |||||||||||||
FHLMC Series 2479, Class PE | ||||||||||||||||
7,000,000 | 6.00 | 05/15/2031 | 7,313,318 | |||||||||||||
FNMA REMIC Trust Series 1992-142, Class K | ||||||||||||||||
3,974,479 | 7.00 | 08/25/2007 | 4,167,928 | |||||||||||||
FNMA REMIC Trust Series 1992-171, Class ZD | ||||||||||||||||
286,637 | 8.00 | 06/25/2021 | 286,918 | |||||||||||||
FNMA REMIC Trust Series 1993-10, Class PH | ||||||||||||||||
941,431 | 6.50 | 12/25/2007 | 966,680 | |||||||||||||
FNMA REMIC Trust Series 1993-28, Class PJ | ||||||||||||||||
2,605,132 | 7.00 | 03/25/2008 | 2,712,131 | |||||||||||||
FNMA REMIC Trust Series 1993-52, Class J | ||||||||||||||||
6,454,556 | 6.50 | 04/25/2008 | 6,736,187 | |||||||||||||
FNMA REMIC Trust Series 1993-76, Class PH | ||||||||||||||||
882,968 | 6.00 | 08/25/2007 | 885,373 | |||||||||||||
FNMA REMIC Trust Series 1993-126, Class PG | ||||||||||||||||
5,861,059 | 6.50 | 07/25/2008 | 6,160,647 | |||||||||||||
FNMA REMIC Trust Series 1993-135, Class PG | ||||||||||||||||
4,798,904 | 6.25 | 07/25/2008 | 5,004,497 | |||||||||||||
FNMA Series 1993-118, Class J | ||||||||||||||||
4,000,000 | 6.50 | 06/25/2008 | 4,140,248 | |||||||||||||
FNMA Series 1993-207, Class G | ||||||||||||||||
6,153,194 | 6.15 | 04/25/2023 | 6,325,294 | |||||||||||||
FNMA Series 1994-23, Class PE | ||||||||||||||||
1,889,203 | 6.00 | 08/25/2022 | 1,921,268 | |||||||||||||
FNMA Series 1994-86, Class PH | ||||||||||||||||
6,260,111 | 6.00 | 10/25/2008 | 6,364,187 | |||||||||||||
FNMA Series 2002-16, Class PK | ||||||||||||||||
3,000,000 | 6.50 | 10/25/2030 | 3,150,188 | |||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Planned Amortization Class (PAC) CMOs – (continued) | ||||||||||||||||
FNMA Series 2002-22, Class VB | ||||||||||||||||
$ | 2,671,995 | 6.50 | % | 08/25/2009 | $ | 2,807,977 | ||||||||||
FNMA REMIC Trust Series 1993-114, Class G | ||||||||||||||||
56,871 | 6.50 | 11/25/2007 | 56,833 | |||||||||||||
FNMA REMIC Trust Series 1993-209, Class H | ||||||||||||||||
1,547,763 | 6.00 | 03/25/2008 | 1,562,833 | |||||||||||||
FNMA Series 1993-055, Class J | ||||||||||||||||
1,502,816 | 6.50 | 11/25/2007 | 1,513,248 | |||||||||||||
GNMA REMIC Trust Series 2000-10, Class UD | ||||||||||||||||
274,298 | 7.63 | 05/16/2029 | 277,380 | |||||||||||||
GNMA REMIC Trust Series 2001-59, Class QJ | ||||||||||||||||
2,508,367 | 6.00 | 09/20/2028 | 2,541,154 | |||||||||||||
GNMA REMIC Trust Series 2002-45, Class QD | ||||||||||||||||
10,000,000 | 6.50 | 06/20/2031 | 10,513,888 | |||||||||||||
$ | 145,125,449 | |||||||||||||||
Planned Amortization — Interest Only@ – 0.0% | ||||||||||||||||
FHLMC Series 1587, Class HA | ||||||||||||||||
$ | 399,740 | 6.50 | % | 10/15/2008 | $ | 32,917 | ||||||||||
Principal Only – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series G92-28, Class A• | ||||||||||||||||
$ | 263,017 | 0.00 | % | 05/25/2007 | $ | 257,885 | ||||||||||
Sequential Fixed Rate CMOs – 5.5% | ||||||||||||||||
FHLMC Series 108, Class G | ||||||||||||||||
$ | 1,624,761 | 8.50 | % | 12/15/2020 | $ | 1,635,254 | ||||||||||
FHLMC Series 1980, Class Z | ||||||||||||||||
5,929,806 | 7.00 | 07/15/2027 | 6,294,903 | |||||||||||||
FHLMC Series 2019, Class Z | ||||||||||||||||
5,389,747 | 6.50 | 12/15/2027 | 5,680,169 | |||||||||||||
FHLMC Series 2100, Class GS | ||||||||||||||||
4,000,000 | 6.50 | 12/15/2013 | 4,255,857 | |||||||||||||
FHLMC Series 2145, Class KA | ||||||||||||||||
621,181 | 6.35 | 09/15/2026 | 625,389 | |||||||||||||
FHLMC Series 2651, Class VB | ||||||||||||||||
12,252,091 | 5.50 | 03/15/2014 | 12,773,510 | |||||||||||||
FNMA REMIC Trust 1989-66, Class J | ||||||||||||||||
1,962,015 | 7.00 | 09/25/2019 | 2,094,855 | |||||||||||||
FNMA REMIC Trust Series 1990-16, Class E | ||||||||||||||||
1,484,710 | 9.00 | 03/25/2020 | 1,604,452 | |||||||||||||
FNMA REMIC Trust Series 1992-33, Class K | ||||||||||||||||
2,070,526 | 8.50 | 03/25/2018 | 2,316,426 | |||||||||||||
FNMA Series 2003-32, Class KA | ||||||||||||||||
8,281,331 | 5.00 | 07/25/2013 | 8,492,548 | |||||||||||||
GNMA REMIC Trust Series 1995-3, Class DQ | ||||||||||||||||
257,490 | 8.05 | 06/16/2025 | 272,487 | |||||||||||||
$ | 46,045,850 | |||||||||||||||
Target Amortization Class (TAC) – 0.7% | ||||||||||||||||
FNMA REMIC Trust Series 1994-18, Class D | ||||||||||||||||
$ | 5,333,333 | 6.75 | % | 02/25/2024 | $ | 5,645,601 | ||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) | $ | 200,434,039 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $529,592,844) | $ | 524,549,584 | ||||||||||||||
Agency Debentures – 14.3% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 10,000,000 | 4.90 | % | 03/21/2006 | $ | 10,461,360 | ||||||||||
2,000,000 | 5.40 | 05/10/2006 | 2,113,996 | |||||||||||||
12,500,000 | 6.60 | ^ | 07/07/2006 | 13,568,200 | ||||||||||||
Federal Home Loan Bank | ||||||||||||||||
8,555,000 | 6.50 | 11/15/2005 | 9,102,349 | |||||||||||||
3,000,000 | 5.38 | 05/15/2006 | 3,161,280 | |||||||||||||
9,000,000 | 2.50 | 05/19/2006 | 8,993,295 | |||||||||||||
10,000,000 | 1.50 | # | 08/30/2006 | 9,857,460 | ||||||||||||
7,000,000 | 3.79 | 11/28/2008 | 6,902,147 | |||||||||||||
Federal Home Loan Mortgage Corp | ||||||||||||||||
12,000,000 | 3.50 | 08/16/2005 | 12,065,328 | |||||||||||||
5,000,000 | 4.00 | # | 05/25/2006 | 5,008,075 | ||||||||||||
10,000,000 | 3.00 | 07/27/2007 | 9,822,224 | |||||||||||||
5,000,000 | 3.50 | 04/15/2008 | 4,979,505 | |||||||||||||
4,000,000 | 5.00 | 07/30/2009 | 4,035,372 | |||||||||||||
Federal National Mortgage Association | ||||||||||||||||
5,000,000 | 3.75 | 07/29/2005 | 5,028,552 | |||||||||||||
3,000,000 | 3.51 | 08/23/2006 | 3,013,269 | |||||||||||||
8,000,000 | 5.42 | 04/04/2007 | 8,250,004 | |||||||||||||
Small Business Administration | ||||||||||||||||
748,503 | 7.20 | 06/01/2017 | 814,343 | |||||||||||||
1,204,795 | 6.30 | 05/01/2018 | 1,282,392 | |||||||||||||
1,498,002 | 6.30 | 06/01/2018 | 1,594,410 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $120,124,329) | $ | 120,053,561 | ||||||||||||||
U.S. Treasury Obligations – 23.3% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities@ | ||||||||||||||||
$ | 14,500,000 | 0.00 | % | 02/15/2014 | $ | 9,081,060 | ||||||||||
26,500,000 | 0.00 | 05/15/2014 | 16,336,402 | |||||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
30,000,000 | 0.00 | 05/15/2011 | 28,436,340 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
97,100,000 | 1.63 | 02/28/2006 | 96,068,312 | |||||||||||||
33,000,000 | 2.25 | 04/30/2006 | 32,958,750 | |||||||||||||
12,000,000 | 2.63 | 11/15/2006 | 11,989,219 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $195,942,452) | $ | 194,870,083 | ||||||||||||||
Repurchase Agreement – 5.6% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 47,200,000 | 1.05 | % | 05/03/2004 | $ | 47,200,000 | ||||||||||
Maturity Value: $47,204,110 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $47,200,000) | $ | 47,200,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $892,859,625) | $ | 886,673,228 | ||||||||||||||
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |||
@ | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |||
) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |||
^ | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |||
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |||
• | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 52.6% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)# – 4.4% | ||||||||||||||||
$ | 7,317,139 | 6.30 | % | 12/01/2008 | $ | 7,972,192 | ||||||||||
673,916 | 4.50 | 03/01/2033 | 690,389 | |||||||||||||
5,987,032 | 4.34 | 03/01/2034 | 6,099,260 | |||||||||||||
4,051,851 | 4.05 | 04/01/2034 | 4,120,334 | |||||||||||||
4,332,125 | 4.64 | 08/01/2035 | 4,425,104 | |||||||||||||
4,073,548 | 4.61 | 07/01/2036 | 4,161,264 | |||||||||||||
$ | 27,468,543 | |||||||||||||||
Adjustable Rate Non-Agency# – 7.9% | ||||||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
$ | 656,151 | 4.17 | % | 08/25/2033 | $ | 651,348 | ||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
758,535 | 4.00 | 08/25/2033 | 753,977 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
2,370,011 | 5.10 | 03/25/2033 | 2,387,633 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-A, Class A1 | ||||||||||||||||
9,880,912 | 1.33 | 04/25/2029 | 9,867,206 | |||||||||||||
Sequoia Mortgage Trust Series 2004-1, Class A | ||||||||||||||||
3,945,032 | 1.47 | 02/20/2034 | 3,936,768 | |||||||||||||
Structured Adjustable Rate Mortgage Loan Series 2004-5, Class 1A | ||||||||||||||||
6,000,000 | 4.55 | 05/25/2034 | 6,140,625 | |||||||||||||
Structured Asset Securities Corp. Series 2003-24A, Class 1A3 | ||||||||||||||||
2,692,463 | 5.00 | 07/25/2033 | 2,711,687 | |||||||||||||
Structured Asset Securities Corp. Series 2003-34A, Class 3A3 | ||||||||||||||||
5,336,044 | 4.70 | 11/25/2033 | 5,339,650 | |||||||||||||
Structured Asset Securities Corp. Series 2003-40A, Class 3A1 | ||||||||||||||||
5,458,244 | 4.62 | 01/25/2034 | 5,467,595 | |||||||||||||
Washington Mutual Series 2002-AR6, Class A1 | ||||||||||||||||
3,716,108 | 2.63 | 06/25/2042 | 3,760,309 | |||||||||||||
Washington Mutual Series 2002-AR9, Class 1A | ||||||||||||||||
3,766,152 | 2.63 | 08/25/2042 | 3,793,730 | |||||||||||||
Washington Mutual Series 2004-AR2, Class A | ||||||||||||||||
5,000,000 | 2.57 | 04/25/2044 | 5,023,108 | |||||||||||||
$ | 49,833,636 | |||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 2.1% | ||||||||||||||||
Interest Only@ – 1.1% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities Series 2003-T10, Class X2#† | ||||||||||||||||
$ | 23,000,000 | 1.44 | % | 03/13/2040 | $ | 1,405,592 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-C3, Class ASP#† | ||||||||||||||||
15,000,000 | 2.14 | 05/15/2038 | 1,153,479 | |||||||||||||
JP Morgan Chase Commercial Mortgage Securities Series 2004-C1, Class X2#† | ||||||||||||||||
24,750,000 | 1.32 | 01/15/2038 | 1,267,641 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2003-C5, Class XCP#† | ||||||||||||||||
20,250,000 | 1.36 | 04/15/2037 | 849,791 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2#† | ||||||||||||||||
26,500,000 | 1.73 | 02/11/2036 | 1,921,594 | |||||||||||||
$ | 6,598,097 | |||||||||||||||
Sequential Fixed Rate CMBS – 1.0% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
$ | 600,000 | 6.55 | % | 01/17/2035 | $ | 647,331 | ||||||||||
First Union National Bank Commercial Mortgage Trust Series 2000-C2, Class A2 | ||||||||||||||||
1,800,000 | 7.20 | 10/15/2032 | 2,043,459 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 | ||||||||||||||||
5,315 | 7.30 | 04/18/2029 | 5,310 | |||||||||||||
First Union-Lehman Brothers-Bank of America Series 1998-C2, Class A2 | ||||||||||||||||
1,500,000 | 6.56 | 11/18/2035 | 1,640,761 | |||||||||||||
LB Commercial Conduit Mortgage Trust Series 1998-C4, Class A1B | ||||||||||||||||
2,000,000 | 6.21 | 10/15/2035 | 2,164,932 | |||||||||||||
$ | 6,501,793 | |||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) | $ | 13,099,890 | ||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 11.7% | ||||||||||||||||
$ | 6,260,684 | 5.50 | % | 12/01/2008 | $ | 6,404,054 | ||||||||||
532,152 | 7.00 | 06/01/2009 | 566,973 | |||||||||||||
443,461 | 6.50 | 08/01/2010 | 471,751 | |||||||||||||
4,248,217 | 6.00 | 12/01/2013 | 4,445,033 | |||||||||||||
3,339,174 | 6.50 | 12/01/2013 | 3,533,065 | |||||||||||||
77,890 | 6.50 | 02/01/2014 | 82,413 | |||||||||||||
44,400 | 7.00 | 02/01/2015 | 47,231 | |||||||||||||
4,941,587 | 5.50 | 07/01/2015 | 5,094,783 | |||||||||||||
602,948 | 8.00 | 07/01/2015 | 641,384 | |||||||||||||
98,331 | 7.00 | 01/01/2016 | 104,603 | |||||||||||||
170,786 | 7.00 | 02/01/2016 | 181,823 | |||||||||||||
2,142,861 | 5.50 | 05/01/2018 | 2,201,189 | |||||||||||||
6,059,771 | 5.50 | 06/01/2018 | 6,224,717 | |||||||||||||
2,580,002 | 6.50 | 10/01/2021 | 2,685,999 | |||||||||||||
3,076,728 | 6.50 | 12/01/2021 | 3,203,131 | |||||||||||||
7,000,000 | 6.00 | 04/01/2022 | 7,210,383 | |||||||||||||
427,389 | 7.50 | 03/01/2027 | 457,779 | |||||||||||||
3,511,459 | 6.50 | 07/01/2028 | 3,665,947 | |||||||||||||
40,200 | 8.00 | 07/01/2030 | 43,300 | |||||||||||||
125,670 | 7.50 | 12/01/2030 | 134,531 | |||||||||||||
22,431 | 7.50 | 01/01/2031 | 24,009 | |||||||||||||
1,676,198 | 7.00 | 04/01/2031 | 1,770,084 | |||||||||||||
3,264,084 | 7.50 | 04/01/2031 | 3,506,375 | |||||||||||||
4,517,560 | 7.00 | 04/01/2032 | 4,762,862 | |||||||||||||
2,971,466 | 6.00 | 05/01/2033 | 3,041,852 | |||||||||||||
13,000,000 | 5.00 | TBA-15yr | ) | 3,044,694 | ||||||||||||
$ | 73,549,965 | |||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Federal National Mortgage Association (FNMA) – 21.0% | ||||||||||||||||
$ | 1,962,593 | 6.50 | % | 09/01/2008 | $ | 2,090,689 | ||||||||||
2,197,539 | 5.50 | 05/01/2009 | 2,245,986 | |||||||||||||
9,986,797 | 5.50 | 09/01/2014 | 10,292,545 | |||||||||||||
226,204 | 7.00 | 03/01/2015 | 241,235 | |||||||||||||
116,605 | 8.00 | 01/01/2016 | 124,046 | |||||||||||||
1,506,691 | 6.00 | 03/01/2017 | 1,573,842 | |||||||||||||
2,827,784 | 5.00 | 09/01/2018 | 2,846,516 | |||||||||||||
�� | 13,683,883 | 5.00 | 10/01/2018 | 13,775,202 | ||||||||||||
977,934 | 5.00 | 01/01/2019 | 984,657 | |||||||||||||
916,034 | 6.50 | 01/01/2022 | 957,585 | |||||||||||||
7,401,089 | 6.50 | 04/01/2022 | 7,737,202 | |||||||||||||
5,494,870 | 6.50 | 08/01/2022 | 5,727,062 | |||||||||||||
2,492,656 | 6.50 | 11/01/2022 | 2,595,247 | |||||||||||||
1,493,323 | 6.50 | 12/01/2022 | 1,561,059 | |||||||||||||
36,545 | 6.50 | 08/01/2025 | 38,040 | |||||||||||||
55,314 | 6.50 | 09/01/2025 | 57,578 | |||||||||||||
71,838 | 6.50 | 10/01/2025 | 74,777 | |||||||||||||
95,267 | 6.50 | 11/01/2025 | 99,165 | |||||||||||||
33,462 | 6.50 | 12/01/2025 | 34,831 | |||||||||||||
2,073 | 6.50 | 05/01/2026 | 2,157 | |||||||||||||
9,541 | 6.50 | 06/01/2028 | 9,953 | |||||||||||||
180,684 | 6.50 | 11/01/2028 | 188,368 | |||||||||||||
60,128 | 7.50 | 07/01/2029 | 64,161 | |||||||||||||
15,827 | 7.50 | 08/01/2029 | 16,888 | |||||||||||||
24,367 | 7.50 | 10/01/2029 | 26,002 | |||||||||||||
593 | 7.50 | 01/01/2030 | 633 | |||||||||||||
20,044 | 7.50 | 02/01/2030 | 21,380 | |||||||||||||
2,208,317 | 7.00 | 07/01/2031 | 2,343,806 | |||||||||||||
512,829 | 6.50 | 09/01/2031 | 535,561 | |||||||||||||
482,885 | 6.50 | 10/01/2031 | 504,330 | |||||||||||||
468,740 | 6.50 | 11/01/2031 | 489,595 | |||||||||||||
655,467 | 6.50 | 02/01/2032 | 684,795 | |||||||||||||
666,629 | 6.50 | 07/01/2032 | 696,734 | |||||||||||||
1,613,870 | 7.00 | 07/01/2032 | 1,702,935 | |||||||||||||
4,692,849 | 6.50 | 08/01/2033 | 4,880,366 | |||||||||||||
59,000,000 | 5.00 | TBA-15yr | ) | 59,331,875 | ||||||||||||
8,000,000 | 5.50 | TBA-30yr | ) | 7,980,000 | ||||||||||||
$ | 132,536,803 | |||||||||||||||
Government National Mortgage Association (GNMA) – 0.0% | ||||||||||||||||
$ | 141,365 | 6.50 | % | 12/15/2026 | $ | 148,429 | ||||||||||
Collateralized Mortgage Obligations (CMOs) – 5.5% | ||||||||||||||||
Interest Only@ – 0.3% | ||||||||||||||||
Bear Stearns Asset Backed Securities Series 2003-AC2, Class AI0 | ||||||||||||||||
$ | 5,250,000 | 5.00 | % | 10/25/2005 | $ | 281,348 | ||||||||||
Countrywide Home Loan Series 2003-42, Class 2X1# | ||||||||||||||||
2,022,395 | 0.39 | 10/25/2033 | 14,177 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
1,131,754 | 5.50 | 06/25/2033 | 107,526 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X# | ||||||||||||||||
930,046 | 0.78 | 07/25/2033 | 11,420 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X# | ||||||||||||||||
1,001,696 | 0.60 | 08/25/2033 | 9,583 | |||||||||||||
FHLMC Series 2542, Class NU | ||||||||||||||||
495,362 | 5.50 | 05/15/2022 | 84,147 | |||||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
3,270,350 | 5.50 | 08/15/2031 | 437,192 | |||||||||||||
FNMA Interest-Only Stripped Security Series 151, Class 2 | ||||||||||||||||
62,462 | 9.50 | 07/25/2022 | 12,755 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
5,054,091 | 5.50 | 12/25/2031 | 708,444 | |||||||||||||
Master Adjustable Rate Mortgage Trust Series 2003-2, Class 3AX# | ||||||||||||||||
277,487 | 0.68 | 08/25/2033 | 5,678 | |||||||||||||
Master Adjustable Rate Mortgage Trust Series 2003-2, Class 4AX# | ||||||||||||||||
143,471 | 1.16 | 07/25/2033 | 2,716 | |||||||||||||
Washington Mutual Series 2003-AR4, Class X1# | ||||||||||||||||
6,047,046 | 1.18 | 01/25/2008 | 83,863 | |||||||||||||
Washington Mutual Series 2003-AR7, Class X# | ||||||||||||||||
2,964,944 | 0.98 | 06/25/2008 | 34,393 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X# | ||||||||||||||||
12,744,538 | 0.54 | 02/25/2034 | 131,477 | |||||||||||||
$ | 1,924,719 | |||||||||||||||
Inverse Floater# – 0.4% | ||||||||||||||||
FNMA REMIC Trust Series 1993-231, Class SA | ||||||||||||||||
$ | 233,363 | 19.13 | % | 12/25/2008 | $ | 253,646 | ||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
210,391 | 22.91 | 10/16/2031 | 248,974 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
168,521 | 27.73 | 10/16/2031 | 210,727 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
211,478 | 22.91 | 10/16/2031 | 247,966 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
182,922 | 22.75 | 11/16/2024 | 215,704 | |||||||||||||
GNMA Series 2001-62, Class SB | ||||||||||||||||
179,004 | 22.43 | 11/16/2027 | 204,531 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
759,230 | 32.43 | 02/16/2032 | 997,725 | |||||||||||||
$ | 2,379,273 | |||||||||||||||
Inverse Floating Rate – Interest Only# – 0.0% | ||||||||||||||||
Salomon Brothers Mortgage Securities VII Series 1996-6E, Class A2 | ||||||||||||||||
$ | 1,223,851 | 8.00 | % | 05/28/2004 | $ | 46,299 | ||||||||||
Planned Amortization Class (PAC) CMOs – 0.8% | ||||||||||||||||
FNMA Series 2001-70, Class LN | ||||||||||||||||
$ | 4,754,275 | 6.25 | % | 06/25/2030 | $ | 4,963,522 | ||||||||||
GNMA Series 2000-10, Class UD | ||||||||||||||||
156,742 | 7.63 | 05/16/2029 | 158,502 | |||||||||||||
$ | 5,122,024 | |||||||||||||||
Principal Only – 0.0% | ||||||||||||||||
FNMA REMIC Trust Series G-35, Class N• | ||||||||||||||||
$ | 52,469 | 0.00 | % | 10/25/2021 | $ | 44,961 | ||||||||||
Regular Floater CMOs# – 0.1% | ||||||||||||||||
FHLMC Series 1760, Class ZB | ||||||||||||||||
$ | 650,717 | 3.15 | % | 05/15/2024 | $ | 660,907 | ||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate CMOs – 3.9% | ||||||||||||||||
FNMA REMIC Trust Series 1993-78, Class H | ||||||||||||||||
$ | 150,000 | 6.50 | % | 06/25/2008 | $ | 157,785 | ||||||||||
FNMA Series 2001-46, Class G | ||||||||||||||||
1,134,458 | 6.00 | 07/25/2029 | 1,143,004 | |||||||||||||
FNMA Series 2001-53, Class GH | ||||||||||||||||
2,076,848 | 8.00 | 09/25/2016 | 2,245,015 | |||||||||||||
FNMA Series 2001-62, Class VF | ||||||||||||||||
6,000,000 | 6.00 | 07/25/2019 | 6,290,651 | |||||||||||||
FNMA Series 2003-27, Class A | ||||||||||||||||
3,214,174 | 7.50 | 04/25/2018 | 3,479,660 | |||||||||||||
GNMA Series 2001-59, Class QJ | ||||||||||||||||
2,006,693 | 6.00 | 09/20/2028 | 2,032,923 | |||||||||||||
GNMA Series 2001-61, Class EA | ||||||||||||||||
5,360,430 | 6.00 | 09/16/2028 | 5,465,454 | |||||||||||||
Residential Asset Mortgage Products, Inc. Series 2003-SL1, Class A11 | ||||||||||||||||
3,510,197 | 7.13 | 03/25/2016 | 3,612,908 | |||||||||||||
$ | 24,427,400 | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) | $ | 34,605,583 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $332,914,781) | $ | 331,242,849 | ||||||||||||||
Agency Debentures – 14.4% | ||||||||||||||||
Federal Farm Credit Bank | ||||||||||||||||
$ | 3,000,000 | 6.60 | % | 07/07/2006 | $ | 3,256,368 | ||||||||||
Federal Home Loan Bank | ||||||||||||||||
1,000,000 | 5.68 | z | 06/03/2004 | 1,071,254 | ||||||||||||
2,700,000 | 5.38 | 05/15/2006 | 2,845,152 | |||||||||||||
3,000,000 | 3.50 | 08/15/2006 | 3,054,444 | |||||||||||||
10,000,000 | 2.75 | 11/15/2006 | 9,975,340 | |||||||||||||
4,000,000 | 2.88 | 02/15/2007 | 3,983,184 | |||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
7,000,000 | 6.63 | 09/15/2009 | 7,828,940 | |||||||||||||
13,200,000 | 4.38 | 02/04/2010 | 13,076,659 | |||||||||||||
4,500,000 | 7.00 | 03/15/2010 | 5,129,370 | |||||||||||||
6,200,000 | 4.75 | 10/11/2012 | 6,050,971 | |||||||||||||
Federal National Mortgage Association | ||||||||||||||||
10,700,000 | 6.63 | 09/15/2009 | 11,967,094 | |||||||||||||
10,000,000 | 7.13 | 06/15/2010 | 11,490,930 | |||||||||||||
Small Business Administration | ||||||||||||||||
986,645 | 6.70 | 12/01/2016 | 1,058,052 | |||||||||||||
781,809 | 7.15 | 03/01/2017 | 848,729 | |||||||||||||
622,116 | 7.50 | 04/01/2017 | 681,589 | |||||||||||||
372,888 | 7.30 | 05/01/2017 | 406,552 | |||||||||||||
246,067 | 6.80 | 08/01/2017 | 265,195 | |||||||||||||
602,397 | 6.30 | 05/01/2018 | 641,196 | |||||||||||||
599,201 | 6.30 | 06/01/2018 | 637,764 | |||||||||||||
Tennessee Valley Authorityz | ||||||||||||||||
6,000,000 | 4.88 | 12/15/2006 | 6,333,378 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $91,052,507) | $ | 90,602,161 | ||||||||||||||
Asset-Backed Securities – 9.2% | ||||||||||||||||
Auto – 0.9% | ||||||||||||||||
CPS Auto Trust Series 2002-A, Class A2 | ||||||||||||||||
$ | 3,970,914 | 4.81 | % | 12/15/2008 | $ | 4,076,391 | ||||||||||
MFN Auto Receivables Trust Series 2002-A, Class A2† | ||||||||||||||||
1,000,000 | 4.92 | 03/15/2008 | 1,016,875 | |||||||||||||
Onyx Acceptance Grantor Trust Series 2001-A, Class A4 | ||||||||||||||||
731,298 | 7.44 | 11/15/2007 | 738,881 | |||||||||||||
$ | 5,832,147 | |||||||||||||||
Credit Card – 0.4% | ||||||||||||||||
Capital One Master Trust Series 2002-4A, Class A | ||||||||||||||||
$ | 2,500,000 | 4.90 | % | 03/15/2010 | $ | 2,612,206 | ||||||||||
Home Equity – 7.8% | ||||||||||||||||
American Business Financial Services Series 1998-2, Class A6 | ||||||||||||||||
$ | 834,769 | 6.46 | % | 09/25/2029 | $ | 873,640 | ||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A# | ||||||||||||||||
5,615,580 | 1.36 | 10/15/2028 | 5,619,966 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A# | ||||||||||||||||
10,468,857 | 1.36 | 06/15/2029 | 10,468,850 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-E, Class A# | ||||||||||||||||
9,913,777 | 1.36 | 07/15/2029 | 9,921,520 | |||||||||||||
Impac CMB Trust Series 2004-3, Class 1A# | ||||||||||||||||
5,983,019 | 1.35 | 04/25/2034 | 5,977,694 | |||||||||||||
Residential Asset Mortgage Products, Inc. Series 2004-RZ1, Class AII# | ||||||||||||||||
11,445,919 | 1.33 | 03/25/2034 | 11,435,258 | |||||||||||||
Saxon Asset Securities Trust Series 2003-2, Class AIO | ||||||||||||||||
8,227,273 | 4.75 | 01/25/2005 | 235,530 | |||||||||||||
Securitized Asset Backed Receivables LLC Series 2004-OP1, Class A2# | ||||||||||||||||
4,403,128 | 1.35 | 02/25/2034 | 4,375,432 | |||||||||||||
$ | 48,907,890 | |||||||||||||||
Manufactured Housing – 0.1% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
$ | 507,327 | 8.33 | % | 04/01/2030 | $ | 555,705 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $58,161,569) | $ | 57,907,948 | ||||||||||||||
U.S. Treasury Obligations – 22.3% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities@ | ||||||||||||||||
$ | 4,000,000 | 0.00 | % | 02/15/2012 | $ | 2,832,320 | ||||||||||
28,700,000 | 0.00 | 05/15/2012 | 20,026,315 | |||||||||||||
10,780,000 | 0.00 | 02/15/2014 | 6,751,298 | |||||||||||||
11,000,000 | 0.00 | 05/15/2014 | 6,781,148 | |||||||||||||
18,000,000 | 0.00 | 08/15/2014 | 10,902,061 | |||||||||||||
8,000,000 | 0.00 | 05/15/2017 | 4,040,624 | |||||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
20,600,000 | 0.00 | 05/15/2017 | 10,449,556 | |||||||||||||
6,300,000 | 0.00 | 11/15/2022 | 2,224,719 | |||||||||||||
12,700,000 | 0.00 | 02/15/2025 | 3,919,093 | |||||||||||||
1,300,000 | 0.00 | 08/15/2025 | 390,182 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||||
$ | 12,000,000 | 0.00 | % | 11/15/2026 | $ | 3,355,080 | ||||||||||
2,400,000 | 0.00 | 08/15/2027 | 642,744 | |||||||||||||
United States Treasury Bonds | ||||||||||||||||
1,300,000 | 9.25 | 02/15/2016 | 1,820,458 | |||||||||||||
1,800,000 | 7.50 | 11/15/2016 | 2,237,904 | |||||||||||||
2,670,000 | 7.13 | 02/15/2023 | 3,248,848 | |||||||||||||
5,400,000 | 6.88 | ^ | 08/15/2025 | 6,444,359 | ||||||||||||
United States Treasury Notes | ||||||||||||||||
50,200,000 | 1.63 | 02/28/2006 | 49,666,625 | |||||||||||||
5,100,000 | 2.63 | 11/15/2006 | 5,096,415 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $142,374,012) | $ | 140,829,749 | ||||||||||||||
Insured Revenue Bond – 0.4% | ||||||||||||||||
New Jersey Economic Development Authority Series A | ||||||||||||||||
$ | 2,000,000 | 7.43 | % | 02/15/2029 | $ | 2,409,352 | ||||||||||
TOTAL INSURED REVENUE BOND | ||||||||||||||||
(Cost $2,000,000) | $ | 2,409,352 | ||||||||||||||
Repurchase Agreement – 12.1% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 76,000,000 | 1.05 | % | 05/03/2004 | $ | 76,000,000 | ||||||||||
Maturity Value: $76,006,618 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $76,000,000) | $ | 76,000,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $702,502,869) | $ | 698,992,059 | ||||||||||||||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and maybe resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $7,614,973, which represent 1.2% of net assets as of April 30, 2004. | |
/ | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |
z | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are next interest reset date. | |
^ | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
@ | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |
• | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – 94.7% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)# – 6.8% | ||||||||||||||||
$ | 89,977 | 3.07 | % | 07/01/2022 | $ | 91,007 | ||||||||||
88,542 | 3.06 | 07/01/2027 | 89,591 | |||||||||||||
197,103 | 3.06 | 11/01/2027 | 199,440 | |||||||||||||
98,073 | 3.06 | 01/01/2031 | 99,193 | |||||||||||||
108,466 | 3.06 | 06/01/2032 | 109,624 | |||||||||||||
105,040 | 3.07 | 08/01/2032 | 106,163 | |||||||||||||
204,358 | 3.07 | 05/01/2033 | 206,555 | |||||||||||||
2,037,044 | 3.16 | 06/01/2033 | 2,048,573 | |||||||||||||
1,718,937 | 4.89 | 06/01/2033 | 1,759,684 | |||||||||||||
1,749,967 | 3.31 | 07/01/2033 | 1,768,695 | |||||||||||||
1,887,889 | 3.87 | 11/01/2033 | 1,907,565 | |||||||||||||
932,775 | 3.80 | 12/01/2033 | 950,857 | |||||||||||||
1,899,628 | 4.38 | 12/01/2033 | 1,910,779 | |||||||||||||
2,993,516 | 4.34 | 03/01/2034 | 3,049,630 | |||||||||||||
104,082 | 3.06 | 11/01/2035 | 105,133 | |||||||||||||
372,912 | 3.06 | 12/01/2037 | 376,717 | |||||||||||||
199,741 | 3.06 | 01/01/2038 | 201,789 | |||||||||||||
256,632 | 3.06 | 11/01/2040 | 259,286 | |||||||||||||
$ | 15,240,281 | |||||||||||||||
Adjustable Rate Non-Agency# – 0.5% | ||||||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
$ | 911,307 | 4.52 | % | 12/25/2033 | $ | 897,820 | ||||||||||
Structured Asset Securities Corp. Series 2003-40A, Class 3A1 | ||||||||||||||||
277,538 | 4.62 | 01/25/2034 | 278,013 | |||||||||||||
$ | 1,175,833 | |||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 0.6% | ||||||||||||||||
Interest Only@ – 0.6% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2#† | ||||||||||||||||
$ | 6,500,000 | 1.44 | % | 03/13/2040 | $ | 397,233 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp. Series 2004-C1, Class X2#† | ||||||||||||||||
6,500,000 | 1.32 | 01/15/2038 | 332,916 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2003-C5, Class XCP#† | ||||||||||||||||
5,300,000 | 1.36 | 04/15/2037 | 222,414 | |||||||||||||
Prudential Commercial Mortgage Trust Series 2003-PWR1, Class X2#† | ||||||||||||||||
7,000,000 | 1.73 | 02/11/2036 | 507,591 | |||||||||||||
$ | 1,460,154 | |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 19.4% | ||||||||||||||||
$ | 4,586,950 | 6.00 | % | 08/01/2022 | $ | 4,724,809 | ||||||||||
424,315 | 6.00 | 09/01/2022 | 437,067 | |||||||||||||
838,099 | 7.00 | 04/01/2031 | 885,042 | |||||||||||||
3,315,974 | 7.00 | 04/01/2032 | 3,544,558 | |||||||||||||
7,548,709 | 7.00 | 05/01/2032 | 7,971,824 | |||||||||||||
1,563,310 | 6.00 | 05/01/2033 | 1,599,959 | |||||||||||||
7,763,116 | 6.00 | 10/01/2033 | 7,945,110 | |||||||||||||
110,016 | 6.00 | 11/01/2033 | 112,595 | |||||||||||||
395,367 | 6.00 | 12/01/2033 | 404,635 | |||||||||||||
2,849,651 | 6.50 | 12/01/2033 | 2,967,893 | |||||||||||||
2,996,910 | 6.00 | 03/01/2034 | 3,067,117 | |||||||||||||
10,000,000 | 5.00 | TBA-15yr | / | 10,034,380 | ||||||||||||
$ | 43,694,989 | |||||||||||||||
Federal National Mortgage Association (FNMA) – 60.6% | ||||||||||||||||
$ | 22,831 | 5.50 | % | 04/01/2016 | $ | 23,458 | ||||||||||
21,089 | 5.50 | 08/01/2016 | 21,668 | |||||||||||||
269,257 | 5.50 | 11/01/2016 | 276,655 | |||||||||||||
218,223 | 5.50 | 12/01/2016 | 224,220 | |||||||||||||
286,253 | 5.50 | 01/01/2017 | 294,118 | |||||||||||||
16,962 | 6.00 | 02/01/2018 | 17,491 | |||||||||||||
4,798,157 | 5.00 | 05/01/2018 | 4,831,957 | |||||||||||||
219,153 | 6.00 | 05/01/2018 | 225,983 | |||||||||||||
2,923,258 | 5.00 | 06/01/2018 | 2,945,359 | |||||||||||||
77,218 | 6.50 | 07/01/2018 | 80,816 | |||||||||||||
199,576 | 6.50 | 09/01/2018 | 208,876 | |||||||||||||
1,162,542 | 6.00 | 11/01/2018 | 1,198,773 | |||||||||||||
266,059 | 6.50 | 11/01/2018 | 278,456 | |||||||||||||
1,747,154 | 6.00 | 12/01/2018 | 1,801,605 | |||||||||||||
1,538,065 | 6.00 | 01/01/2019 | 1,586,000 | |||||||||||||
150,300 | 6.50 | 01/01/2019 | 157,303 | |||||||||||||
3,954,816 | 5.00 | 02/01/2019 | 3,982,005 | |||||||||||||
44,224 | 6.50 | 03/01/2019 | 46,259 | |||||||||||||
553,168 | 6.00 | 04/01/2019 | 573,893 | |||||||||||||
189,934 | 6.50 | 04/01/2019 | 198,672 | |||||||||||||
102,562 | 6.00 | 05/01/2019 | 105,660 | |||||||||||||
824,782 | 6.50 | 07/01/2021 | 858,728 | |||||||||||||
458,955 | 7.00 | 09/01/2021 | 486,190 | |||||||||||||
1,571,581 | 7.00 | 06/01/2022 | 1,664,864 | |||||||||||||
632,033 | 7.00 | 07/01/2022 | 669,548 | |||||||||||||
4,563,579 | 6.00 | 12/01/2023 | 4,700,462 | |||||||||||||
1,134,469 | 6.50 | 03/01/2032 | 1,185,418 | |||||||||||||
3,599,303 | 6.50 | 01/01/2034 | 3,746,938 | |||||||||||||
31,804,404 | 5.00 | 03/01/2034 | 30,836,934 | |||||||||||||
65,000,000 | 5.00 | TBA-15yr | / | 65,318,750 | ||||||||||||
8,000,000 | 5.00 | TBA-30yr | / | 7,720,000 | ||||||||||||
$ | 136,267,059 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 6.8% | ||||||||||||||||
Interest Only@ – 0.4% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-8, Class A2 | ||||||||||||||||
$ | 660,195 | 5.50 | % | 06/25/2033 | $ | 83,862 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-08, Class 3A2 | ||||||||||||||||
59,707 | 5.50 | 04/25/2033 | 4,054 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
44,205 | 5.75 | 05/25/2033 | 2,185 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
226,351 | 5.50 | 06/25/2033 | 21,505 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2 | ||||||||||||||||
658,095 | 5.25 | 07/25/2033 | 94,503 | |||||||||||||
FHLMC Series 2541, Class QI | ||||||||||||||||
405,268 | 6.00 | 01/15/2029 | 25,121 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Interest Only@ – (continued) | ||||||||||||||||
FHLMC Series 2575, Class IB | ||||||||||||||||
$ | 648,247 | 5.50 | % | 08/15/2030 | $ | 95,964 | ||||||||||
FHLMC Series 2620, Class IO | ||||||||||||||||
934,386 | 5.50 | 08/15/2031 | 124,912 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
918,926 | 5.50 | 12/25/2031 | 128,808 | |||||||||||||
Master Adjustable Rate Mortgages Trust Series 2003-6, Class 1A1X# | ||||||||||||||||
6,753,594 | 1.90 | 12/25/2033 | 115,019 | |||||||||||||
Washington Mutual Series 2003-AR4, Class X1# | ||||||||||||||||
1,007,841 | 1.18 | 01/25/2008 | 13,977 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X# | ||||||||||||||||
2,152,794 | 0.54 | 02/25/2034 | 22,209 | |||||||||||||
Washington Mutual Series 2003-S3, Class 1A41 | ||||||||||||||||
1,809,309 | 5.50 | 06/25/2033 | 147,884 | |||||||||||||
$ | 880,003 | |||||||||||||||
Sequential Fixed Rate CMOs – 6.4% | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-5, Class PPA1 | ||||||||||||||||
$ | 427,679 | 6.50 | % | 03/25/2032 | $ | 446,212 | ||||||||||
FHLMC Series 1703, Class GC | ||||||||||||||||
2,500,000 | 6.50 | 04/15/2009 | 2,688,055 | |||||||||||||
FHLMC Series 1823, Class A | ||||||||||||||||
2,000,000 | 6.50 | 08/15/2023 | 2,072,473 | |||||||||||||
FHLMC Series 2456, Class VH | ||||||||||||||||
1,000,000 | 6.00 | 03/15/2020 | 1,051,373 | |||||||||||||
FNMA REMIC Trust Series 1993-101, Class PJ | ||||||||||||||||
1,000,000 | 7.00 | 06/25/2008 | 1,065,538 | |||||||||||||
FNMA REMIC Trust Series 2001-62, Class VF | ||||||||||||||||
500,000 | 6.00 | 07/25/2019 | 524,221 | |||||||||||||
FNMA Series 2002-24, Class AE | ||||||||||||||||
2,000,000 | 6.00 | 04/25/2016 | 2,050,987 | |||||||||||||
GNMA REMIC Trust Series 2002-40, Class ZE | ||||||||||||||||
2,240,256 | 6.50 | 12/20/2030 | 2,348,059 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2002-18, Class 2A4 | ||||||||||||||||
2,000,000 | 6.00 | 12/25/2032 | 2,079,128 | |||||||||||||
$ | 14,326,046 | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS) | $ | 15,206,049 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $215,093,913) | $ | 213,044,365 | ||||||||||||||
Asset-Backed Securities – 1.4% | ||||||||||||||||
Home Equity – 1.4% | ||||||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A# | ||||||||||||||||
$ | 1,675,017 | 1.36 | % | 06/15/2029 | $ | 1,675,016 | ||||||||||
Impac CMB Trust Series 2004-2, Class A1# | ||||||||||||||||
1,478,813 | 1.36 | 04/25/2034 | 1,479,523 | |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $3,155,923) | $ | 3,154,539 | ||||||||||||||
U.S. Treasury Obligations – 0.2% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities@ | ||||||||||||||||
$ | 400,000 | 0.00 | % | 05/15/2014 | $ | 246,587 | ||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
200,000 | 0.00 | 05/15/2017 | 101,452 | |||||||||||||
200,000 | 0.00 | 11/15/2022 | 70,626 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $429,268) | $ | 418,665 | ||||||||||||||
Repurchase Agreement – 51.2% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 115,300,000 | 1.05 | % | 05/03/2004 | $ | 115,300,000 | ||||||||||
Maturity Value: $115,310,041 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $115,300,000) | $ | 115,300,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $333,979,104) | $ | 331,917,569 | ||||||||||||||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $1,460,154, which represents 0.7% of net assets as of April 30, 2004. | |
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |
/ | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
@ | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |
• | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 20.8% | ||||||||||||||||
Aerospace/ Defense – 0.1% | ||||||||||||||||
Bombardier, Inc.† | ||||||||||||||||
$ | 825,000 | 6.30 | % | 05/01/2014 | $ | 813,556 | ||||||||||
700,000 | 7.45 | 05/01/2034 | 689,222 | |||||||||||||
$ | 1,502,778 | |||||||||||||||
Airlines – 0.0% | ||||||||||||||||
NWA Trust | ||||||||||||||||
$ | 56,425 | 8.26 | % | 03/10/2006 | $ | 52,475 | ||||||||||
Automotive – 1.6% | ||||||||||||||||
Ford Motor Co. | ||||||||||||||||
$ | 4,300,000 | 6.63 | % | 10/01/2028 | $ | 3,859,104 | ||||||||||
2,610,000 | 6.38 | 02/01/2029 | 2,262,787 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
1,250,000 | 7.60 | 08/01/2005 | 1,323,237 | |||||||||||||
6,850,000 | 7.00 | 10/01/2013 | 7,044,746 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
4,125,000 | 8.00 | 11/01/2031 | 4,321,762 | |||||||||||||
$ | 18,811,636 | |||||||||||||||
Banks – 3.4% | ||||||||||||||||
ANZ Capital Trust I† | ||||||||||||||||
$ | 5,200,000 | 5.36 | % | 12/15/2013 | ± | $ | 5,073,583 | |||||||||
Astoria Financial Corp. | ||||||||||||||||
4,600,000 | 5.75 | 10/15/2012 | 4,695,155 | |||||||||||||
Bank United Corp. | ||||||||||||||||
750,000 | 8.88 | 05/01/2007 | 870,606 | |||||||||||||
Fleet Boston Financial Corp. | ||||||||||||||||
1,000,000 | 6.50 | 03/15/2008 | 1,094,159 | |||||||||||||
450,000 | 7.38 | 12/01/2009 | 514,244 | |||||||||||||
Greenpoint Financial Corp. | ||||||||||||||||
2,750,000 | 3.20 | 06/06/2008 | 2,661,230 | |||||||||||||
MIZUHO Financial Group (Cayman)† | ||||||||||||||||
3,000,000 | 5.79 | 04/15/2014 | 2,974,860 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
4,500,000 | 6.13 | 10/15/2006 | 4,816,917 | |||||||||||||
Rabobank Capital Funding II#† | ||||||||||||||||
7,000,000 | 5.26 | 12/31/2013 | ± | 6,878,311 | ||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
3,000,000 | 8.82 | 03/31/2005 | ± | 3,175,449 | ||||||||||||
Sovereign Bancorp, Inc. | ||||||||||||||||
750,000 | 10.50 | 11/15/2006 | 874,808 | |||||||||||||
Sovereign Bank | ||||||||||||||||
2,500,000 | 5.13 | 03/15/2013 | 2,431,112 | |||||||||||||
2,250,000 | 4.38 | # | 08/01/2013 | 2,239,362 | ||||||||||||
Union Planters Bank | ||||||||||||||||
75,000 | 5.13 | 06/15/2007 | 78,128 | |||||||||||||
Union Planters Corp. | ||||||||||||||||
150,000 | 7.75 | 03/01/2011 | 173,698 | |||||||||||||
Washington Mutual, Inc. | ||||||||||||||||
1,500,000 | 8.25 | 04/01/2010 | 1,758,110 | |||||||||||||
$ | 40,309,732 | |||||||||||||||
Diversified Manufacturing – 0.9% | ||||||||||||||||
Tyco International Group SA | ||||||||||||||||
$ | 1,000,000 | 6.38 | % | 02/15/2006 | $ | 1,053,540 | ||||||||||
1,500,000 | 6.75 | 02/15/2011 | 1,614,450 | |||||||||||||
5,725,000 | 6.38 | 10/15/2011 | 6,038,444 | |||||||||||||
2,100,000 | 6.88 | 01/15/2029 | 2,118,431 | |||||||||||||
$ | 10,824,865 | |||||||||||||||
Electric – 1.0% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
$ | 1,250,000 | 7.23 | % | 09/15/2005 | $ | 1,328,390 | ||||||||||
1,500,000 | 7.63 | 10/15/2007 | 1,670,540 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
1,750,000 | 6.45 | 11/15/2011 | 1,842,398 | |||||||||||||
4,200,000 | 7.38 | 11/15/2031 | 4,411,142 | |||||||||||||
Niagara Mohawk Power Corp. | ||||||||||||||||
125,000 | 8.00 | 06/01/2004 | 125,598 | |||||||||||||
100,000 | 5.38 | 10/01/2004 | 101,565 | |||||||||||||
Southern California Edison Co. | ||||||||||||||||
750,000 | 6.38 | 01/15/2006 | 793,135 | |||||||||||||
TXU Australia Holdings† | ||||||||||||||||
1,550,000 | 6.15 | 11/15/2013 | 1,632,141 | |||||||||||||
TXU Electric Co. | ||||||||||||||||
350,000 | 6.25 | 10/01/2004 | 356,651 | |||||||||||||
$ | 12,261,560 | |||||||||||||||
Entertainment – 0.2% | ||||||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
$ | 2,500,000 | 8.38 | % | 03/15/2023 | $ | 2,935,167 | ||||||||||
Environmental – 0.2% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
$ | 2,000,000 | 7.38 | % | 08/01/2010 | $ | 2,269,668 | ||||||||||
Food & Beverage – 0.5% | ||||||||||||||||
Kraft Foods, Inc. | ||||||||||||||||
$ | 1,500,000 | 5.63 | % | 11/01/2011 | $ | 1,551,305 | ||||||||||
Nabisco, Inc. | ||||||||||||||||
1,000,000 | 7.05 | 07/15/2007 | 1,100,695 | |||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
2,425,000 | 8.25 | 10/01/2011 | 2,821,771 | |||||||||||||
$ | 5,473,771 | |||||||||||||||
Gaming – 0.5% | ||||||||||||||||
Harrahs Operating Co., Inc.† | ||||||||||||||||
$ | 1,650,000 | 5.38 | % | 12/15/2013 | $ | 1,604,683 | ||||||||||
MGM Mirage, Inc. | ||||||||||||||||
850,000 | 8.50 | 09/15/2010 | 958,375 | |||||||||||||
Park Place Entertainment Corp. | ||||||||||||||||
950,000 | 8.50 | 11/15/2006 | 1,040,250 | |||||||||||||
1,745,000 | 7.50 | 09/01/2009 | 1,919,500 | |||||||||||||
$ | 5,522,808 | |||||||||||||||
Health Care – 0.4% | ||||||||||||||||
Anthem Insurance Cos., Inc.† | ||||||||||||||||
$ | 350,000 | 9.13 | % | 04/01/2010 | $ | 434,075 | ||||||||||
HCA, Inc. | ||||||||||||||||
1,025,000 | 6.95 | 05/01/2012 | 1,070,884 | |||||||||||||
400,000 | 6.30 | 10/01/2012 | 401,522 | |||||||||||||
3,100,000 | 6.75 | 07/15/2013 | 3,187,150 | |||||||||||||
$ | 5,093,631 | |||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Life Insurance – 0.3% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 200,000 | 2.75 | % | 06/15/2008 | $ | 190,894 | ||||||||||
Hartford Life, Inc. | ||||||||||||||||
200,000 | 7.10 | 06/15/2007 | 220,196 | |||||||||||||
Principal Financial Group Australia† | ||||||||||||||||
2,750,000 | 8.20 | 08/15/2009 | 3,212,140 | |||||||||||||
Reinsurance Group of America, Inc. | ||||||||||||||||
550,000 | 6.75 | 12/15/2011 | 586,967 | |||||||||||||
$ | 4,210,197 | |||||||||||||||
Media-Cable – 1.3% | ||||||||||||||||
AT&T Broadband Corp. | ||||||||||||||||
$ | 3,000,000 | 8.38 | % | 03/15/2013 | $ | 3,572,995 | ||||||||||
3,200,000 | 9.46 | 11/15/2022 | 4,159,433 | |||||||||||||
Comcast Cable Communications, Inc. | ||||||||||||||||
2,250,000 | 6.38 | 01/30/2006 | 2,384,027 | |||||||||||||
550,000 | 8.38 | 05/01/2007 | 622,581 | |||||||||||||
Lenfest Communications, Inc. | ||||||||||||||||
2,000,000 | 8.38 | 11/01/2005 | 2,165,809 | |||||||||||||
Rogers Cable, Inc. | ||||||||||||||||
2,500,000 | 5.50 | 03/15/2014 | 2,277,210 | |||||||||||||
$ | 15,182,055 | |||||||||||||||
Media-Non Cable – 1.0% | ||||||||||||||||
Chancellor Media Corp. LA | ||||||||||||||||
$ | 10,000,000 | 8.00 | % | 11/01/2008 | $ | 11,432,400 | ||||||||||
Non Captive – 0.6% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 250,000 | 5.75 | % | 03/15/2007 | $ | 266,524 | ||||||||||
GATX Financial Corp. | ||||||||||||||||
1,950,000 | 6.00 | 11/19/2008 | 2,001,747 | |||||||||||||
PHH Corp. | ||||||||||||||||
4,000,000 | 7.13 | 03/01/2013 | 4,437,016 | |||||||||||||
$ | 6,705,287 | |||||||||||||||
Paper – 0.2% | ||||||||||||||||
Weyerhaeuser Co. | ||||||||||||||||
$ | 1,150,000 | 6.00 | % | 08/01/2006 | $ | 1,219,675 | ||||||||||
1,345,000 | 6.88 | 12/15/2033 | 1,385,591 | |||||||||||||
$ | 2,605,266 | |||||||||||||||
Pipelines – 0.9% | ||||||||||||||||
CenterPoint Energy Resources Corp. | ||||||||||||||||
$ | 2,950,000 | 7.88 | % | 04/01/2013 | $ | 3,326,859 | ||||||||||
6,250,000 | 5.95 | 01/15/2014 | 6,203,550 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
1,350,000 | 4.80 | 08/15/2008 | 1,371,078 | |||||||||||||
$ | 10,901,487 | |||||||||||||||
Property/ Casualty Insurance – 2.7% | ||||||||||||||||
Ace Ltd. | ||||||||||||||||
$ | 6,000,000 | 6.00 | % | 04/01/2007 | $ | 6,409,290 | ||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
2,300,000 | 7.35 | 05/01/2034 | 2,292,847 | |||||||||||||
Assurant, Inc.† | ||||||||||||||||
550,000 | 5.63 | 02/15/2014 | 551,260 | |||||||||||||
3,175,000 | 6.75 | 02/15/2034 | 3,215,621 | |||||||||||||
CNA Financial Corp. | ||||||||||||||||
500,000 | 6.50 | 04/15/2005 | 518,295 | |||||||||||||
1,375,000 | 6.75 | 11/15/2006 | 1,481,562 | |||||||||||||
98,000 | 6.60 | 12/15/2008 | 104,248 | |||||||||||||
300,000 | 7.25 | 11/15/2023 | 304,388 | |||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
2,000,000 | 7.90 | 06/15/2010 | 2,335,696 | |||||||||||||
Liberty Mutual Group† | ||||||||||||||||
1,550,000 | 5.75 | 03/15/2014 | 1,516,343 | |||||||||||||
1,275,000 | 7.00 | 03/15/2034 | 1,250,476 | |||||||||||||
QBE Insurance Group Ltd.#† | ||||||||||||||||
3,150,000 | 5.65 | 07/01/2023 | 3,018,579 | |||||||||||||
SAFECO Corp. | ||||||||||||||||
5,000,000 | 6.88 | 07/15/2007 | 5,508,750 | |||||||||||||
400,000 | 7.25 | 09/01/2012 | 454,234 | |||||||||||||
Zurich Capital Trust I† | ||||||||||||||||
2,500,000 | 8.38 | 06/01/2037 | 2,799,000 | |||||||||||||
$ | 31,760,589 | |||||||||||||||
REITs – 0.9% | ||||||||||||||||
Chelsea Property Group, Inc. | ||||||||||||||||
$ | 1,000,000 | 6.00 | % | 01/15/2013 | $ | 1,032,603 | ||||||||||
EOP Operating LP | ||||||||||||||||
1,500,000 | 7.75 | 11/15/2007 | 1,697,941 | |||||||||||||
iStar Financial, Inc.† | ||||||||||||||||
3,275,000 | 5.70 | 03/01/2014 | 3,107,156 | |||||||||||||
Liberty Property LP | ||||||||||||||||
1,000,000 | 7.10 | 08/15/2004 | 1,013,430 | |||||||||||||
1,100,000 | 7.25 | 03/15/2011 | 1,227,740 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
200,000 | 7.38 | 01/20/2006 | 215,035 | |||||||||||||
2,250,000 | 6.38 | 11/15/2007 | 2,460,872 | |||||||||||||
�� | ||||||||||||||||
$ | 10,754,777 | |||||||||||||||
Tobacco – 0.7% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
$ | 900,000 | 5.63 | % | 11/04/2008 | $ | 923,866 | ||||||||||
1,500,000 | 7.00 | 11/04/2013 | 1,596,742 | |||||||||||||
Philip Morris Companies, Inc. | ||||||||||||||||
3,000,000 | 6.95 | 06/01/2006 | 3,200,327 | |||||||||||||
UST, Inc. | ||||||||||||||||
2,250,000 | 6.63 | 07/15/2012 | 2,453,719 | |||||||||||||
$ | 8,174,654 | |||||||||||||||
Wireless Telecommunications – 0.8% | ||||||||||||||||
America Movil SA de CV† | ||||||||||||||||
$ | 4,500,000 | 4.13 | % | 03/01/2009 | $ | 4,314,150 | ||||||||||
2,250,000 | 5.50 | 03/01/2014 | 2,105,318 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
1,000,000 | 7.50 | 05/01/2007 | 1,110,445 | |||||||||||||
1,750,000 | 7.88 | 03/01/2011 | 2,013,872 | |||||||||||||
$ | 9,543,785 | |||||||||||||||
Wirelines Telecommunications – 2.6% | ||||||||||||||||
British Telecommunications PLC | ||||||||||||||||
$ | 2,750,000 | 8.88 | % | 12/15/2030 | $ | 3,458,913 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Wirelines Telecommunications – (continued) | ||||||||||||||||
Deutsche Telekom International Finance B.V. | ||||||||||||||||
$ | 6,300,000 | 8.25 | % | 06/15/2030 | $ | 7,825,129 | ||||||||||
France Telecom SA | ||||||||||||||||
3,000,000 | 7.75 | 03/01/2011 | 3,538,712 | |||||||||||||
Koninklijke (Royal) KPN NV | ||||||||||||||||
1,800,000 | 8.38 | 10/01/2030 | 2,204,385 | |||||||||||||
Qwest Capital Funding, Inc. | ||||||||||||||||
1,250,000 | 7.75 | 08/15/2006 | 1,225,000 | |||||||||||||
500,000 | 7.90 | 08/15/2010 | 427,500 | |||||||||||||
Qwest Corp. | ||||||||||||||||
300,000 | 7.20 | 11/01/2004 | 303,750 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
1,500,000 | 6.00 | 01/15/2007 | 1,595,638 | |||||||||||||
1,500,000 | 8.38 | 03/15/2012 | 1,759,724 | |||||||||||||
2,700,000 | 6.88 | 11/15/2028 | 2,650,906 | |||||||||||||
Telefonos De Mexico SA de CV | ||||||||||||||||
3,750,000 | 8.25 | 01/26/2006 | 4,058,479 | |||||||||||||
TPSA Finance BV† | ||||||||||||||||
2,200,000 | 7.75 | 12/10/2008 | 2,470,527 | |||||||||||||
$ | 31,518,663 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $244,282,114) | $ | 247,847,251 | ||||||||||||||
Emerging Market Debt – 0.9% | ||||||||||||||||
Pemex Finance Ltd. | ||||||||||||||||
$ | 600,000 | 8.02 | % | 05/15/2007 | $ | 630,000 | ||||||||||
700,000 | 9.15 | 11/15/2018 | 835,956 | |||||||||||||
Russian Federation | ||||||||||||||||
2,110,000 | 10.00 | 06/26/2007 | 2,400,125 | |||||||||||||
2,050,000 | 8.25 | 03/31/2010 | 2,226,813 | |||||||||||||
United Mexican States | ||||||||||||||||
1,626,000 | 8.30 | 08/15/2031 | 1,745,918 | |||||||||||||
3,252,000 | 7.50 | 04/08/2033 | 3,201,187 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $11,052,499) | $ | 11,039,999 | ||||||||||||||
Mortgage-Backed Obligations – 38.6% | ||||||||||||||||
Adjustable Rate Federal National Mortgage Association (FNMA)# – 2.2% | ||||||||||||||||
$ | 224,639 | 4.50 | % | 03/01/2033 | $ | 230,130 | ||||||||||
5,271,919 | 3.15 | 01/01/2035 | 5,325,531 | |||||||||||||
4,399,799 | 4.65 | 08/01/2035 | 4,494,230 | |||||||||||||
9,844,408 | 4.61 | 07/01/2036 | 10,056,389 | |||||||||||||
5,986,554 | 3.06 | 08/01/2037 | 6,047,636 | |||||||||||||
$ | 26,153,916 | |||||||||||||||
Adjustable Rate Non-Agency# – 2.5% | ||||||||||||||||
Bank of America Mortgage Securities, Inc. Series 2002-D, Class 1A1 | ||||||||||||||||
$ | 836,905 | 5.34 | % | 05/25/2032 | $ | 843,183 | ||||||||||
Bank of America Mortgage Securities, Inc. Series 2002-H, Class 1A2 | ||||||||||||||||
2,184,306 | 5.02 | 08/25/2032 | 2,193,070 | |||||||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-5, Class 1A1 | ||||||||||||||||
1,312,303 | 4.17 | 08/25/2033 | 1,302,697 | |||||||||||||
Countrywide Home Loans Series 2003-37, Class 1A1 | ||||||||||||||||
758,535 | 4.00 | 08/25/2033 | 753,977 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2 | ||||||||||||||||
895,337 | 5.10 | 03/25/2033 | 901,994 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2004-AR1, Class 6A1 | ||||||||||||||||
4,724,526 | 1.53 | 02/25/2034 | 4,728,873 | |||||||||||||
Washington Mutual Series 2002-AR6, Class A | ||||||||||||||||
7,803,827 | 2.63 | 06/25/2042 | 7,896,649 | |||||||||||||
Washington Mutual Series 2002-AR9, Class 1A | ||||||||||||||||
7,919,996 | 2.63 | 08/25/2042 | 7,977,992 | |||||||||||||
Washington Mutual Series 2002-AR19, Class A7 | ||||||||||||||||
2,797,009 | 4.68 | 02/25/2033 | 2,857,978 | |||||||||||||
$ | 29,456,413 | |||||||||||||||
Commercial Mortgage-Backed Securities (CMBS) – 3.9% | ||||||||||||||||
Interest Only@ – 1.1% | ||||||||||||||||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2001- TOP2, Class X2#† | ||||||||||||||||
$ | 38,000,000 | 1.36 | % | 02/15/2035 | $ | 1,684,981 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-CKS4, Class ASP#† | ||||||||||||||||
29,838,133 | 1.89 | 11/15/2036 | 2,124,681 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-CP3, Class ASP#† | ||||||||||||||||
25,500,000 | 1.74 | 07/15/2035 | 1,516,878 | |||||||||||||
GE Capital Commercial Mortgage Corp. Series 2003-C1, Class X2#† | ||||||||||||||||
25,161,786 | 1.30 | 01/10/2038 | 1,173,850 | |||||||||||||
Greenwich Capital Commercial Funding Corp. Series 2003-C1, Class XP#† | ||||||||||||||||
11,000,000 | 2.44 | 07/25/2035 | 974,132 | |||||||||||||
Greenwich Capital Commercial Funding Corp. Series 2003-C2, Class XP#† | ||||||||||||||||
15,750,000 | 1.34 | 01/05/2036 | 1,141,875 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2002-C2, Class XCP#† | ||||||||||||||||
37,500,000 | 1.61 | 07/15/2035 | 1,992,761 | |||||||||||||
LB-UBS Commercial Mortgage Trust Series 2002-C7, Class XCP#† | ||||||||||||||||
47,190,000 | 1.38 | 01/15/2036 | 2,002,829 | |||||||||||||
$ | 12,611,987 | |||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Sequential Fixed Rate CMBS – 2.8% | ||||||||||||||||
Asset Securitization Corp. Series 1997-D4, Class A1D | ||||||||||||||||
$ | 883,017 | 7.49 | % | 04/14/2029 | $ | 970,968 | ||||||||||
Commercial Mortgage Acceptance Corp. Series 1997-ML1, Class A3 | ||||||||||||||||
2,800,000 | 6.57 | 12/15/2030 | 3,007,245 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 1997-C2, Class A3 | ||||||||||||||||
10,000,000 | 6.55 | 01/17/2035 | 10,788,841 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 | ||||||||||||||||
7,972 | 7.30 | 04/18/2029 | 7,966 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A3 | ||||||||||||||||
5,150,000 | 7.38 | 04/18/2029 | 5,623,615 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C2, Class A2 | ||||||||||||||||
127,360 | 6.60 | 11/18/2029 | 128,058 | |||||||||||||
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C2, Class A3 | ||||||||||||||||
1,000,000 | 6.65 | 11/18/2029 | 1,082,758 | |||||||||||||
J.P. Morgan Commercial Mortgage Finance Corp. Series 1999-C8, Class A2 | ||||||||||||||||
3,000,000 | 7.40 | 07/15/2031 | 3,390,825 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2 | ||||||||||||||||
3,595,642 | 6.39 | 02/15/2030 | 3,818,134 | |||||||||||||
Merrill Lynch Mortgage Investors, Inc. Series 1999-C1, Class A2 | ||||||||||||||||
4,500,000 | 7.56 | 11/15/2031 | 4,977,046 | |||||||||||||
$ | 33,795,456 | |||||||||||||||
TOTAL CMBS | $ | 46,407,443 | ||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) – 2.1% | ||||||||||||||||
$ | 270,666 | 6.00 | % | 04/01/2009 | $ | 284,843 | ||||||||||
87,478 | 5.50 | 07/01/2013 | 90,244 | |||||||||||||
501,907 | 5.50 | 12/01/2013 | 517,778 | |||||||||||||
8,623,881 | 6.00 | 12/01/2013 | 9,023,417 | |||||||||||||
6,578,172 | 6.50 | 12/01/2013 | 6,960,138 | |||||||||||||
164,413 | 5.50 | 02/01/2014 | 169,510 | |||||||||||||
80,410 | 5.50 | 06/01/2014 | 82,903 | |||||||||||||
152,641 | 5.50 | 09/01/2014 | 157,373 | |||||||||||||
10,404 | 7.00 | 10/01/2014 | 11,077 | |||||||||||||
4,309,746 | 6.00 | 12/01/2014 | 4,482,136 | |||||||||||||
99,665 | 7.00 | 05/01/2015 | 106,111 | |||||||||||||
301,474 | 8.00 | 07/01/2015 | 320,692 | |||||||||||||
31,031 | 7.00 | 02/01/2016 | 33,037 | |||||||||||||
139,765 | 7.00 | 03/01/2016 | 148,798 | |||||||||||||
1,834,878 | 7.50 | 05/01/2016 | 1,958,516 | |||||||||||||
10,682 | 7.00 | 10/01/2017 | 11,324 | |||||||||||||
186,433 | 7.00 | 06/01/2026 | 197,301 | |||||||||||||
661,670 | 7.50 | 03/01/2027 | 708,718 | |||||||||||||
141,175 | 7.50 | 12/01/2030 | 151,129 | |||||||||||||
151,308 | 7.50 | 01/01/2031 | 161,973 | |||||||||||||
$ | 25,577,018 | |||||||||||||||
Federal National Mortgage Association (FNMA) – 12.2% | ||||||||||||||||
$ | 357,640 | 6.50 | % | 11/01/2009 | $ | 380,982 | ||||||||||
1,298,843 | 6.50 | 10/01/2010 | 1,379,976 | |||||||||||||
2,701,978 | 6.50 | 06/01/2011 | 2,873,009 | |||||||||||||
1,426,465 | 6.50 | 01/01/2013 | 1,514,849 | |||||||||||||
357,427 | 6.50 | 10/01/2013 | 378,723 | |||||||||||||
722,302 | 8.50 | 10/01/2015 | 789,109 | |||||||||||||
35,042 | 7.00 | 01/01/2016 | 37,384 | |||||||||||||
235,754 | 6.00 | 08/01/2018 | 242,332 | |||||||||||||
1,719,870 | 6.50 | 06/01/2019 | 1,791,270 | |||||||||||||
3,151,554 | 6.50 | 07/01/2022 | 3,281,401 | |||||||||||||
5,406,931 | 6.50 | 08/01/2022 | 5,629,701 | |||||||||||||
3,204,843 | 6.50 | 11/01/2022 | 3,336,746 | |||||||||||||
6,623 | 6.50 | 02/01/2026 | 6,893 | |||||||||||||
59,295 | 6.50 | 08/01/2026 | 61,712 | |||||||||||||
13,896 | 6.50 | 09/01/2027 | 14,449 | |||||||||||||
6,774 | 6.50 | 11/01/2027 | 7,044 | |||||||||||||
24,919 | 6.50 | 04/01/2028 | 25,995 | |||||||||||||
44,927 | 7.50 | 03/01/2029 | 47,958 | |||||||||||||
87,463 | 7.50 | 08/01/2029 | 93,329 | |||||||||||||
10,210 | 7.50 | 09/01/2029 | 10,894 | |||||||||||||
4,656 | 7.50 | 11/01/2029 | 4,968 | |||||||||||||
385,994 | 7.50 | 12/01/2030 | 414,501 | |||||||||||||
194,014 | 8.00 | 01/01/2031 | 210,335 | |||||||||||||
250,579 | 8.00 | 02/01/2031 | 270,530 | |||||||||||||
2,626,038 | 7.00 | 03/01/2031 | 2,785,405 | |||||||||||||
1,025,658 | 6.50 | 09/01/2031 | 1,071,122 | |||||||||||||
1,448,654 | 6.50 | 10/01/2031 | 1,512,989 | |||||||||||||
2,913,420 | 6.50 | 11/01/2031 | 3,043,047 | |||||||||||||
5,869,250 | 6.50 | 01/01/2032 | 6,131,371 | |||||||||||||
1,075,914 | 7.00 | 07/01/2032 | 1,135,290 | |||||||||||||
89,000,000 | 5.00 | TBA-15yr | / | 89,438,125 | ||||||||||||
17,000,000 | 5.50 | TBA-30yr | / | 16,957,500 | ||||||||||||
$ | 144,878,939 | |||||||||||||||
Government National Mortgage Association (GNMA) – 0.0% | ||||||||||||||||
$ | 103,101 | 6.50 | % | 01/15/2028 | $ | 107,788 | ||||||||||
73,720 | 6.50 | 02/15/2028 | 77,071 | |||||||||||||
61,145 | 6.50 | 03/15/2028 | 63,925 | |||||||||||||
$ | 248,784 | |||||||||||||||
Collateralized Mortgage Obligations (CMOs) – 15.7% | ||||||||||||||||
Interest Only@ – 0.5% | ||||||||||||||||
ABN AMRO Mortgage Corp. Series 2003-5, Class A2 | ||||||||||||||||
$ | 13,617,717 | 5.50 | % | 04/25/2033 | $ | 1,238,393 | ||||||||||
Countrywide Funding Corp. Series 2003-42, Class 2X1 | ||||||||||||||||
6,594,767 | 0.39 | 10/25/2033 | 46,229 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR20, Class 2X | ||||||||||||||||
11,519,504 | 0.60 | 08/25/2033 | 110,209 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2002-AR31, Class 5X | ||||||||||||||||
10,413,839 | 0.98 | 11/25/2032 | 94,756 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-8, Class 3A2 | ||||||||||||||||
3,104,761 | 5.50 | 04/25/2033 | 210,832 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Interest Only@ – (continued) | ||||||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-10, Class 3A13 | ||||||||||||||||
$ | 2,077,626 | 5.75 | % | 05/25/2033 | $ | 102,697 | ||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-11, Class 1A2 | ||||||||||||||||
2,338,959 | 5.50 | 06/25/2033 | 222,219 | |||||||||||||
CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X | ||||||||||||||||
10,695,534 | 0.78 | 07/25/2033 | 131,326 | |||||||||||||
FHLMC Series 2542, Class NU | ||||||||||||||||
990,725 | 5.50 | 05/15/2022 | 168,295 | |||||||||||||
FNMA Series 2003-36, Class IO | ||||||||||||||||
6,248,695 | 5.50 | 12/25/2031 | 875,894 | |||||||||||||
FNMA Series 2003-46, Class PI | ||||||||||||||||
12,000,000 | 5.50 | 11/25/2027 | 1,628,822 | |||||||||||||
GNMA REMIC Trust Series 2002-79, Class IP | ||||||||||||||||
1,632,553 | 6.00 | 06/20/2028 | 38,219 | |||||||||||||
Washington Mutual Series 2003-AR4, Class X1# | ||||||||||||||||
13,101,933 | 1.18 | 01/25/2008 | 181,704 | |||||||||||||
Washington Mutual Series 2003-AR5, Class X1# | ||||||||||||||||
33,079,229 | 0.76 | 02/25/2008 | 356,306 | |||||||||||||
Washington Mutual Series 2003-AR6, Class X2 | ||||||||||||||||
25,737,231 | 0.37 | 05/25/2008 | 129,201 | |||||||||||||
Washington Mutual Series 2003-AR7, Class X# | ||||||||||||||||
40,397,364 | 0.98 | 06/25/2008 | 468,610 | |||||||||||||
Washington Mutual Series 2003-AR12, Class X# | ||||||||||||||||
26,780,753 | 0.54 | 02/25/2034 | 276,278 | |||||||||||||
Wells Fargo Mortgage Backed Securities Trust Series 2003-G,Class AI0# | ||||||||||||||||
22,070,427 | 0.80 | 06/25/2033 | 286,474 | |||||||||||||
$ | 6,566,464 | |||||||||||||||
Inverse Floater# – 0.7% | ||||||||||||||||
FHLMC Series 1544, Class M | ||||||||||||||||
$ | 196,158 | 18.36 | % | 07/15/2008 | $ | 214,999 | ||||||||||
FNMA Series 1993-072, Class SA | ||||||||||||||||
91,979 | 17.37 | 05/25/2008 | 101,964 | |||||||||||||
FNMA Series 1993-093, Class SA | ||||||||||||||||
141,230 | 18.99 | 05/25/2008 | 157,990 | |||||||||||||
FNMA Series 1993-095, Class SE | ||||||||||||||||
106,434 | 20.44 | 06/25/2008 | 123,606 | |||||||||||||
FNMA Series 1993-135, Class S | ||||||||||||||||
196,900 | 14.39 | 07/25/2008 | 214,805 | |||||||||||||
FNMA Series 1993-175, Class SA | ||||||||||||||||
860,711 | 12.50 | 09/25/2008 | 944,234 | |||||||||||||
GNMA Series 2001-48, Class SA | ||||||||||||||||
490,912 | 22.91 | 10/16/2031 | 580,940 | |||||||||||||
GNMA Series 2001-51, Class SA | ||||||||||||||||
954,955 | 27.73 | 10/16/2031 | 1,194,118 | |||||||||||||
GNMA Series 2001-51, Class SB | ||||||||||||||||
986,897 | 22.91 | 10/16/2031 | 1,157,176 | |||||||||||||
GNMA Series 2001-59, Class SA | ||||||||||||||||
175,532 | 22.75 | 11/16/2024 | 206,989 | |||||||||||||
GNMA Series 2001-62, Class SB | ||||||||||||||||
214,963 | 22.43 | 11/16/2027 | 245,617 | |||||||||||||
GNMA Series 2002-11, Class SA | ||||||||||||||||
523,220 | 32.43 | 02/16/2032 | 684,402 | |||||||||||||
GNMA Series 2002-13, Class SB | ||||||||||||||||
1,220,018 | 32.43 | 02/16/2032 | 1,603,259 | |||||||||||||
Morgan Stanley Mortgage Trust Series 40, Class 16 | ||||||||||||||||
868,932 | 10.65 | 01/20/2022 | 1,016,858 | |||||||||||||
$ | 8,446,957 | |||||||||||||||
IOette@# – 0.0% | ||||||||||||||||
FNMA Series 1992-24, Class N | ||||||||||||||||
$ | 1,964 | 789.00 | % | 03/25/2007 | $ | 17,119 | ||||||||||
Planned Amortization Class (PAC) CMOs – 5.7% | ||||||||||||||||
FHLMC Series 1508, Class H | ||||||||||||||||
$ | 135,665 | 7.50 | % | 10/15/2022 | $ | 135,602 | ||||||||||
FHLMC Series 2335, Class GD | ||||||||||||||||
449,553 | 6.50 | 01/15/2030 | 449,320 | |||||||||||||
FHLMC Series 2454, Class BE | ||||||||||||||||
14,110,704 | 6.50 | 10/15/2030 | 14,574,058 | |||||||||||||
FNMA Series 1993-78, Class H | ||||||||||||||||
1,900,000 | 6.50 | 06/25/2008 | 1,998,615 | |||||||||||||
FNMA Series 1993-201, Class K | ||||||||||||||||
8,833,136 | 6.50 | 01/25/2023 | 8,985,502 | |||||||||||||
FNMA Series 1999-1, Class PG | ||||||||||||||||
12,000,000 | 6.50 | 04/25/2028 | 12,439,638 | |||||||||||||
FNMA Series 1999-51, Class LG | ||||||||||||||||
2,771,523 | 6.50 | 12/25/2028 | 2,842,072 | |||||||||||||
FNMA Series 2001-48, Class PD | ||||||||||||||||
1,000,000 | 6.50 | 06/25/2020 | 1,043,643 | |||||||||||||
FNMA Series 2001-57, Class PC | ||||||||||||||||
5,905,264 | 6.50 | 09/25/2030 | 6,006,084 | |||||||||||||
FNMA Series 2001-64, Class QE | ||||||||||||||||
2,912,634 | 6.00 | 04/25/2027 | 2,914,604 | |||||||||||||
FNMA Series 2001-70, Class LN | ||||||||||||||||
306,727 | 6.25 | 06/25/2030 | 320,227 | |||||||||||||
GNMA Series 2001-60, Class PK | ||||||||||||||||
3,264,325 | 6.00 | 09/20/2028 | 3,301,210 | |||||||||||||
GNMA Series 2001-62, Class PB | ||||||||||||||||
8,221,679 | 6.00 | 09/20/2027 | 8,274,852 | |||||||||||||
GNMA Series 2002-1, Class PB | ||||||||||||||||
1,848,167 | 6.00 | 02/20/2029 | 1,875,422 | |||||||||||||
GNMA Series 2002-3, Class LE | ||||||||||||||||
2,247,413 | 6.50 | 08/20/2030 | 2,281,318 | |||||||||||||
$ | 67,442,167 | |||||||||||||||
Planned Amortization – Interest Only@ – 0.0% | ||||||||||||||||
FNMA Series 1993-11, Class M | ||||||||||||||||
$ | 175,348 | 7.50 | % | 02/25/2008 | $ | 11,022 | ||||||||||
Regular Floater CMOs# – 6.0% | ||||||||||||||||
FHLMC Series 1537, Class F | ||||||||||||||||
$ | 805,153 | 2.84 | % | 06/15/2008 | $ | 810,620 | ||||||||||
FNMA REMIC Trust Series 1993-175, Class FA | ||||||||||||||||
1,859,135 | 3.78 | 09/25/2008 | 1,901,331 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2003-A, Class 2A1 | ||||||||||||||||
7,279,036 | 1.49 | 03/25/2028 | 7,302,366 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Mortgage-Backed Obligations – (continued) | ||||||||||||||||
Regular Floater CMOs# – (continued) | ||||||||||||||||
MLCC Mortgage Investors, Inc. Series 2003-A, Class 2A2 | ||||||||||||||||
$ | 2,539,198 | 1.59 | % | 03/25/2028 | $ | 2,557,784 | ||||||||||
MLCC Mortgage Investors, Inc. Series 2003-C, Class A1 | ||||||||||||||||
5,526,483 | 1.43 | 06/25/2028 | 5,551,314 | |||||||||||||
MLCC Mortgage Investors, Inc. Series 2004-A, Class A1 | ||||||||||||||||
21,738,006 | 1.33 | 04/25/2029 | 21,707,854 | |||||||||||||
Sequoia Mortgage Trust Series 2003-1, Class 1A | ||||||||||||||||
6,803,135 | 1.48 | 04/20/2033 | 6,803,134 | |||||||||||||
Structured Asset Securities Corp. Series 2003-37A, Class 3A7 | ||||||||||||||||
13,669,610 | 4.52 | 12/25/2033 | 13,467,300 | |||||||||||||
Structured Asset Securities Corp. Series 2003-40A, Class 3A1 | ||||||||||||||||
11,471,565 | 4.62 | 01/25/2034 | 11,491,216 | |||||||||||||
$ | 71,592,919 | |||||||||||||||
Sequential Fixed Rate CMOs – 2.8% | ||||||||||||||||
Bank of America Mortgage Securities, Inc. Series 2002-9, Class 3A1 | ||||||||||||||||
$ | 312,780 | 6.00 | % | 10/25/2017 | $ | 319,759 | ||||||||||
FHLMC Series 2145, Class KA | ||||||||||||||||
690,201 | 6.35 | 09/15/2026 | 694,877 | |||||||||||||
FHLMC Series 2367, Class BC | ||||||||||||||||
4,630,963 | 6.00 | 04/15/2016 | 4,752,599 | |||||||||||||
FNMA Series 2001-M2, Class C | ||||||||||||||||
5,957,085 | 6.30 | 09/25/2015 | 6,334,869 | |||||||||||||
FNMA Series 2002-63, Class KB | ||||||||||||||||
6,554,592 | 4.75 | 02/25/2014 | 6,676,321 | |||||||||||||
GNMA Series 2002-27, Class C | ||||||||||||||||
419,055 | 6.50 | 01/20/2030 | 419,402 | |||||||||||||
Residential Accredit Loans, Inc. Series 1998-QS14, Class A6 | ||||||||||||||||
3,423,158 | 6.75 | 10/25/2028 | 3,444,835 | |||||||||||||
Residential Accredit Loans, Inc. Series 2001-QS4, Class A4 | ||||||||||||||||
10,002,051 | 7.00 | 04/25/2031 | 10,155,876 | |||||||||||||
$ | 32,798,538 | |||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (CMOs) | $ | 186,875,186 | ||||||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $458,986,004) | $ | 459,597,699 | ||||||||||||||
Agency Debentures – 8.6% | ||||||||||||||||
Federal Home Loan Bank | ||||||||||||||||
$ | 5,000,000 | 5.38 | % | 05/15/2009 | $ | 5,292,999 | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
1,600,000 | 5.00 | 07/30/2009 | 1,614,149 | |||||||||||||
27,000,000 | 6.63 | 09/15/2009 | 30,197,341 | |||||||||||||
28,000,000 | 7.00 | 03/15/2010 | 31,916,080 | |||||||||||||
Federal National Mortgage Association | ||||||||||||||||
100,000 | 6.00 | 12/15/2005 | 105,952 | |||||||||||||
15,000,000 | 6.63 | 09/15/2009 | 16,776,300 | |||||||||||||
12,800,000 | 7.25 | 01/15/2010 | 14,751,386 | |||||||||||||
Small Business Administration | ||||||||||||||||
1,498,002 | 6.30 | 06/01/2018 | 1,594,410 | |||||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $103,340,054) | $ | 102,248,617 | ||||||||||||||
Asset-Backed Securities – 11.9% | ||||||||||||||||
Auto – 0.6% | ||||||||||||||||
MFN Auto Receivables Trust Series 2002-A, Class A1† | ||||||||||||||||
$ | 722,805 | 3.81 | % | 01/15/2005 | $ | 724,612 | ||||||||||
Onyx Acceptance Auto Trust Series 2001-A, Class A4 | ||||||||||||||||
5,850,381 | 7.44 | 11/15/2007 | 5,911,048 | |||||||||||||
$ | 6,635,660 | |||||||||||||||
Credit Card – 2.1% | ||||||||||||||||
Capital One Multi-Asset Execution Trust Series 2003-A1, Class A1# | ||||||||||||||||
$ | 24,841,000 | 1.49 | % | 01/15/2009 | $ | 24,966,897 | ||||||||||
Home Equity – 8.3% | ||||||||||||||||
Aames Mortgage Trust Series 2000-2, Class A6F | ||||||||||||||||
$ | 929,799 | 7.18 | % | 11/25/2028 | $ | 990,993 | ||||||||||
Amortizing Residential Collateral Trust Series 2002-BC1M, Class A# | ||||||||||||||||
5,700,630 | 1.38 | 01/01/2032 | 5,703,593 | |||||||||||||
Amortizing Residential Collateral Trust Series 2002-BC3M, Class A# | ||||||||||||||||
1,148,648 | 1.37 | 06/25/2032 | 1,149,425 | |||||||||||||
AQ Finance NIM Trust Series 2002-N2A† | ||||||||||||||||
361,345 | 8.90 | 05/25/2032 | 361,737 | |||||||||||||
AQ Finance NIM Trust Series 2003-N1† | ||||||||||||||||
131,406 | 9.37 | 03/25/2033 | 131,365 | |||||||||||||
AQ Finance NIM Trust Series 2003-N6#† | ||||||||||||||||
4,313,998 | 1.40 | 05/25/2010 | 4,313,668 | |||||||||||||
ARC Net Interest Margin Trust Series 2002-6, Class A† | ||||||||||||||||
248,969 | 7.75 | 09/27/2032 | 251,087 | |||||||||||||
ContiMortgage Home Equity Loan Trust Series 1999-1, Class A7 | ||||||||||||||||
189,485 | 6.47 | 12/25/2013 | 196,389 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2002-E, Class A# | ||||||||||||||||
11,699,125 | 1.36 | 10/15/2028 | 11,708,262 | |||||||||||||
Countrywide Home Equity Loan Trust Series 2003-D, Class A# | ||||||||||||||||
17,168,925 | 1.36 | 06/15/2029 | 17,168,914 | |||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates Series 2004-FF1, Class A2# | ||||||||||||||||
12,438,015 | 1.34 | 11/25/2034 | 12,441,908 | |||||||||||||
First Franklin NIM Trust Series 2002-FF1, Class A† | ||||||||||||||||
293,185 | 7.87 | 04/25/2032 | 292,077 | |||||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2002-2, Class A# | ||||||||||||||||
5,929,347 | 1.40 | 04/20/2032 | 5,943,626 | |||||||||||||
HFC Home Equity Loan Asset Backed Certificates Series 2002-3, Class A# | ||||||||||||||||
6,966,168 | 1.55 | 07/20/2032 | 6,982,844 | |||||||||||||
Household Home Equity Loan Trust Series 2003-1, Class A# | ||||||||||||||||
8,997,522 | 1.45 | 10/20/2032 | 9,018,914 | |||||||||||||
Impac CMB Trust Series 2004-3, Class 1A# | ||||||||||||||||
11,966,038 | 1.35 | 06/25/2034 | 11,955,387 | |||||||||||||
Indy Mac Home Equity ABS, Inc. Series 2002-B, Class AV# | ||||||||||||||||
3,597,016 | 1.55 | 10/25/2033 | 3,608,818 | |||||||||||||
Long Beach Asset Holdings Corp. Series 2003-3, Class N1† | ||||||||||||||||
549,213 | 7.26 | 07/25/2033 | 553,634 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||||
Home Equity – (continued) | ||||||||||||||||
NC Finance NIM Trust Series 2003-2† | ||||||||||||||||
$ | 126,401 | 9.00 | % | 01/25/2033 | $ | 126,311 | ||||||||||
Novastar NIM Trust Series 2003 N-1† | ||||||||||||||||
537,924 | 7.39 | 09/28/2033 | 538,743 | |||||||||||||
Sail Net Interest Margin Notes Series 2003-05, Class A† | ||||||||||||||||
681,549 | 7.35 | 06/27/2033 | 685,931 | |||||||||||||
Sail Net Interest Margin Notes Series 2003-12A, Class A† | ||||||||||||||||
776,415 | 7.35 | 11/27/2033 | 775,798 | |||||||||||||
Sail Net Interest Margin Notes Series 2003-13A, Class A† | ||||||||||||||||
971,063 | 6.75 | 11/27/2033 | 974,936 | |||||||||||||
Sail Net Interest Margin Notes Series 2003-BC1A, Class A† | ||||||||||||||||
390,442 | 7.75 | 01/27/2033 | 392,692 | |||||||||||||
Salomon Brothers Mortgage Securities VII Series 2002-WMC2, Class A2# | ||||||||||||||||
1,846,778 | 1.38 | 09/24/2032 | 1,848,175 | |||||||||||||
Saxon Asset Securities Trust Series 2003-1, Class AV2# | ||||||||||||||||
1,332,622 | 1.42 | 06/25/2033 | 1,334,495 | |||||||||||||
$ | 99,449,722 | |||||||||||||||
Manufactured Housing – 0.3% | ||||||||||||||||
Mid-State Trust Series 4, Class A | ||||||||||||||||
$ | 3,406,606 | 8.33 | % | 04/01/2030 | $ | 3,731,453 | ||||||||||
Utilities – 0.6% | ||||||||||||||||
Massachusetts RRB Special Purpose Trust Series 1999-1, Class A5 | ||||||||||||||||
$ | 6,150,000 | 7.03 | % | 03/15/2012 | $ | 6,909,355 | ||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
(Cost $141,360,865) | $ | 141,693,087 | ||||||||||||||
U.S. Treasury Obligations – 23.5% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities@ | ||||||||||||||||
$ | 28,000,000 | 0.00 | % | 02/15/2012 | $ | 19,826,240 | ||||||||||
27,750,000 | 0.00 | 05/15/2012 | 19,363,423 | |||||||||||||
20,200,000 | 0.00 | 02/15/2014 | 12,650,856 | |||||||||||||
43,500,000 | 0.00 | 05/15/2014 | 26,816,358 | |||||||||||||
3,000,000 | 0.00 | 05/15/2016 | 1,619,388 | |||||||||||||
20,000,000 | 0.00 | 05/15/2017 | 10,101,560 | |||||||||||||
11,600,000 | 0.00 | 05/15/2023 | 3,957,340 | |||||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
300,000 | 0.00 | 11/15/2004 | 297,999 | |||||||||||||
43,700,000 | 0.00 | 05/15/2017 | 22,167,263 | |||||||||||||
560,000 | 0.00 | 05/15/2018 | 265,597 | |||||||||||||
4,900,000 | 0.00 | 02/15/2025 | 1,512,091 | |||||||||||||
6,800,000 | 0.00 | 08/15/2025 | 2,040,952 | |||||||||||||
250,000 | 0.00 | 08/15/2027 | 66,952 | |||||||||||||
United States Treasury Bonds | ||||||||||||||||
2,200,000 | 8.50 | 02/15/2020 | 2,997,126 | |||||||||||||
1,900,000 | 7.13 | 02/15/2023 | 2,311,914 | |||||||||||||
4,550,000 | 6.88 | ^ | 08/15/2025 | 5,429,970 | ||||||||||||
United States Treasury Notes | ||||||||||||||||
87,800,000 | 1.63 | 02/28/2006 | 86,867,125 | |||||||||||||
14,400,000 | 2.25 | 04/30/2006 | 14,383,123 | |||||||||||||
150,000 | 7.00 | 07/15/2006 | 164,547 | |||||||||||||
47,000,000 | 2.63 | ^ | 11/15/2006 | 46,957,774 | ||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $282,457,917) | $ | 279,797,598 | ||||||||||||||
Repurchase Agreement – 7.9% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 94,200,000 | 1.05 | % | 05/03/2004 | $ | 94,200,000 | ||||||||||
Maturity Value: $94,208,203 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $94,200,000) | $ | 94,200,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $1,335,679,453) | $ | 1,336,424,251 | ||||||||||||||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $70,395,579, which represent 5.9% of net assets as of April 30, 2004. | |
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |
/ | TBA (To Be Announced) securities are purchased on a forward commitment basis with an approximate (generally +/- 2.5%) principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. | |
@ | Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate due to the amortization of related premiums or accretion of discounts. | |
^ | A portion of this security is segregated as collateral for initial margin requirement on futures transactions. | |
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |
• | Security is issued with a zero coupon. Income is recognized through the accretion of discount. | |
± | Perpetual Maturity. Maturity date presented represents the next call date. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REMIC | — | Real Estate Mortgage Investment Conduit | ||||
REIT | — | Real Estate Investment Trust | ||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – 92.8% | ||||||||||||||||
Aerospace/ Defense – 0.7% | ||||||||||||||||
Bombardier Capital, Inc.† | ||||||||||||||||
$ | 125,000 | 6.13 | % | 06/29/2006 | $ | 130,938 | ||||||||||
Bombardier, Inc.† | ||||||||||||||||
100,000 | 7.45 | 05/01/2034 | 98,460 | |||||||||||||
$ | 229,398 | |||||||||||||||
Automotive – 7.4% | ||||||||||||||||
DaimlerChrysler NA Holding Corp. | ||||||||||||||||
$ | 100,000 | 6.40 | % | 05/15/2006 | $ | 106,396 | ||||||||||
400,000 | 6.50 | 11/15/2013 | 412,587 | |||||||||||||
Ford Motor Co. | ||||||||||||||||
325,000 | 6.63 | 10/01/2028 | 291,677 | |||||||||||||
250,000 | 6.38 | 02/01/2029 | 216,742 | |||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
100,000 | 7.60 | 08/01/2005 | 105,859 | |||||||||||||
700,000 | 7.00 | 10/01/2013 | 719,901 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
500,000 | 6.88 | 09/15/2011 | 524,805 | |||||||||||||
50,000 | 8.00 | 11/01/2031 | 52,385 | |||||||||||||
$ | 2,430,352 | |||||||||||||||
Banks – 20.2% | ||||||||||||||||
ANZ Capital Trust I† | ||||||||||||||||
$ | 275,000 | 4.48 | % | 01/15/2010± | $ | 270,280 | ||||||||||
375,000 | 5.36 | 12/15/2013± | 365,884 | |||||||||||||
Astoria Financial Corp. | ||||||||||||||||
125,000 | 5.75 | 10/15/2012 | 127,586 | |||||||||||||
Bank of America Corp. | ||||||||||||||||
250,000 | 7.40 | 01/15/2011 | 287,473 | |||||||||||||
Bank United Corp. | ||||||||||||||||
50,000 | 8.88 | 05/01/2007 | 58,040 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
350,000 | 7.25 | 10/01/2010 | 399,748 | |||||||||||||
Credit Suisse First Boston London#† | ||||||||||||||||
100,000 | 7.90 | 05/01/2007± | 111,310 | |||||||||||||
Credit Suisse First Boston USA, Inc. | ||||||||||||||||
250,000 | �� | 6.13 | 11/15/2011 | 267,624 | ||||||||||||
Danske Bank A/ S#† | ||||||||||||||||
150,000 | 7.40 | 06/15/2010 | 167,062 | |||||||||||||
Fleet Boston Financial Corp. | ||||||||||||||||
260,000 | 6.50 | 03/15/2008 | 284,481 | |||||||||||||
Greenpoint Financial Corp. | ||||||||||||||||
300,000 | 3.20 | 06/06/2008 | 290,316 | |||||||||||||
HSBC Capital Funding LP#† | ||||||||||||||||
875,000 | 4.61 | 06/27/2013± | 806,524 | |||||||||||||
J.P. Morgan Chase & Co. | ||||||||||||||||
400,000 | 6.63 | 03/15/2012 | 440,297 | |||||||||||||
MIZUHO Financial Group (Cayman)† | ||||||||||||||||
700,000 | 5.79 | 04/15/2014 | 694,134 | |||||||||||||
PNC Funding Corp. | ||||||||||||||||
125,000 | 6.88 | 07/15/2007 | 137,182 | |||||||||||||
Popular North America, Inc. | ||||||||||||||||
156,000 | 6.13 | 10/15/2006 | 166,986 | |||||||||||||
170,000 | 4.25 | 04/01/2008 | 171,243 | |||||||||||||
150,000 | 3.88 | 10/01/2008 | 148,244 | |||||||||||||
Rabobank Capital Funding II#† | ||||||||||||||||
$ | 200,000 | 5.26 | 12/31/2013± | 196,523 | ||||||||||||
Republic New York Corp. | ||||||||||||||||
69,000 | 5.88 | 10/15/2008 | 73,485 | |||||||||||||
Royal Bank of Scotland Group PLC | ||||||||||||||||
200,000 | 8.82 | 03/31/2005± | 211,696 | |||||||||||||
250,000 | 7.38 | # | 04/01/2006± | 271,228 | ||||||||||||
Sovereign Bancorp, Inc. | ||||||||||||||||
200,000 | 10.50 | 11/15/2006 | 233,282 | |||||||||||||
Sovereign Bank# | ||||||||||||||||
80,000 | 4.38 | 08/01/2013 | 79,622 | |||||||||||||
Union Planters Bank | ||||||||||||||||
125,000 | 5.13 | 06/15/2007 | 130,214 | |||||||||||||
Union Planters Corp. | ||||||||||||||||
160,000 | 7.75 | 03/01/2011 | 185,278 | |||||||||||||
Washington Mutual Bank FA | ||||||||||||||||
50,000 | 6.88 | 06/15/2011 | 55,919 | |||||||||||||
$ | 6,631,661 | |||||||||||||||
Brokerage – 2.4% | ||||||||||||||||
Lehman Brothers Holdings, Inc. | ||||||||||||||||
$ | 150,000 | 7.88 | % | 08/15/2010 | $ | 175,330 | ||||||||||
Morgan Stanley | ||||||||||||||||
550,000 | 6.60 | 04/01/2012 | 605,388 | |||||||||||||
$ | 780,718 | |||||||||||||||
Chemicals – 0.9% | ||||||||||||||||
Eastman Chemical Co. | ||||||||||||||||
$ | 170,000 | 7.25 | % | 01/15/2024 | $ | 180,892 | ||||||||||
The Dow Chemical Co. | ||||||||||||||||
125,000 | 5.25 | 05/14/2004 | 125,118 | |||||||||||||
$ | 306,010 | |||||||||||||||
Consumer Cyclicals – 0.8% | ||||||||||||||||
Cendant Corp. | ||||||||||||||||
$ | 250,000 | 6.25 | % | 01/15/2008 | $ | 266,893 | ||||||||||
Diversified Manufacturing – 2.1% | ||||||||||||||||
Tyco International Group SA | ||||||||||||||||
$ | 125,000 | 5.80 | % | 08/01/2006 | $ | 131,141 | ||||||||||
400,000 | 6.38 | 10/15/2011 | 421,900 | |||||||||||||
125,000 | 6.88 | 01/15/2029 | 126,097 | |||||||||||||
$ | 679,138 | |||||||||||||||
Electric – 5.1% | ||||||||||||||||
Calenergy, Inc. | ||||||||||||||||
$ | 175,000 | 7.63 | % | 10/15/2007 | $ | 194,896 | ||||||||||
150,000 | 7.52 | 09/15/2008 | 168,288 | |||||||||||||
CE Electric UK Funding Co.† | ||||||||||||||||
150,000 | 6.85 | 12/30/2004 | 153,861 | |||||||||||||
FirstEnergy Corp. | ||||||||||||||||
150,000 | 6.45 | 11/15/2011 | 157,920 | |||||||||||||
250,000 | 7.38 | 11/15/2031 | 262,568 | |||||||||||||
MidAmerican Energy Holdings Co. | ||||||||||||||||
150,000 | 5.88 | 10/01/2012 | 154,751 | |||||||||||||
Nisource Finance Corp. | ||||||||||||||||
150,000 | 6.15 | 03/01/2013 | 157,441 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Electric – (continued) | ||||||||||||||||
Southern California Edison Co. | ||||||||||||||||
$ | 100,000 | 6.38 | % | 01/15/2006 | $ | 105,751 | ||||||||||
TXU Australia Holdings† | ||||||||||||||||
305,000 | 6.15 | 11/15/2013 | 321,163 | |||||||||||||
$ | 1,676,639 | |||||||||||||||
Entertainment – 0.9% | ||||||||||||||||
Time Warner Entertainment Co. LP | ||||||||||||||||
$ | 250,000 | 8.38 | % | 03/15/2023 | $ | 293,517 | ||||||||||
Environmental – 1.1% | ||||||||||||||||
Waste Management, Inc. | ||||||||||||||||
$ | 325,000 | 7.38 | % | 08/01/2010 | $ | 368,821 | ||||||||||
Food & Beverage – 2.6% | ||||||||||||||||
Cargill, Inc.† | ||||||||||||||||
$ | 300,000 | 3.63 | % | 03/04/2009 | $ | 292,132 | ||||||||||
Kraft Foods, Inc. | ||||||||||||||||
275,000 | 5.63 | 11/01/2011 | 284,406 | |||||||||||||
Nabisco, Inc. | ||||||||||||||||
125,000 | 7.05 | 07/15/2007 | 137,587 | |||||||||||||
Tyson Foods, Inc. | ||||||||||||||||
125,000 | 8.25 | 10/01/2011 | 145,452 | |||||||||||||
$ | 859,577 | |||||||||||||||
Gaming – 0.7% | ||||||||||||||||
Harrahs Operating Co., Inc. | ||||||||||||||||
$ | 100,000 | 7.13 | % | 06/01/2007 | $ | 110,342 | ||||||||||
125,000 | 5.38† | 12/15/2013 | 121,567 | |||||||||||||
$ | 231,909 | |||||||||||||||
Health Care – 0.9% | ||||||||||||||||
Anthem, Inc. | ||||||||||||||||
$ | 75,000 | 4.88 | % | 08/01/2005 | $ | 77,357 | ||||||||||
HCA, Inc. | ||||||||||||||||
200,000 | 6.30 | 10/01/2012 | 200,761 | |||||||||||||
$ | 278,118 | |||||||||||||||
Integrated – 1.5% | ||||||||||||||||
Amerada Hess Corp. | ||||||||||||||||
$ | 500,000 | 7.13 | % | 03/15/2033 | $ | 500,242 | ||||||||||
Life Insurance – 2.4% | ||||||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
$ | 25,000 | 2.38 | % | 06/01/2006 | $ | 24,705 | ||||||||||
Hartford Life, Inc. | ||||||||||||||||
50,000 | 7.10 | 06/15/2007 | 55,049 | |||||||||||||
John Hancock Financial Services, Inc. | ||||||||||||||||
250,000 | 5.63 | 12/01/2008 | 265,828 | |||||||||||||
Principal Life Global Funding I† | ||||||||||||||||
100,000 | 3.63 | 04/30/2008 | 99,504 | |||||||||||||
Prudential Funding LLC† | ||||||||||||||||
300,000 | 6.60 | 05/15/2008 | 328,373 | |||||||||||||
$ | 773,459 | |||||||||||||||
Media-Cable – 4.0% | ||||||||||||||||
AT&T Broadband Corp. | ||||||||||||||||
$ | 625,000 | 8.38 | % | 03/15/2013 | $ | 744,374 | ||||||||||
Comcast Cable Communications Holdings, Inc. | ||||||||||||||||
215,000 | 9.46 | 11/15/2022 | 279,462 | |||||||||||||
Rogers Cable, Inc. | ||||||||||||||||
200,000 | 5.50 | 03/15/2014 | 182,177 | |||||||||||||
TCI Communications, Inc. | ||||||||||||||||
100,000 | 8.00 | 08/01/2005 | 106,757 | |||||||||||||
$ | 1,312,770 | |||||||||||||||
Media-Non Cable – 2.7% | ||||||||||||||||
Clear Channel Communications, Inc. | ||||||||||||||||
$ | 550,000 | 8.00 | % | 11/01/2008 | $ | 628,782 | ||||||||||
Donnelley (R.R.) & Sons† | ||||||||||||||||
250,000 | 4.95 | 04/01/2014 | 241,428 | |||||||||||||
$ | 870,210 | |||||||||||||||
Noncaptive-Financial – 4.9% | ||||||||||||||||
American General Finance Corp. | ||||||||||||||||
$ | 317,000 | 4.50 | % | 11/15/2007 | $ | 325,453 | ||||||||||
Capital One Bank | ||||||||||||||||
125,000 | 6.50 | 06/13/2013 | 130,377 | |||||||||||||
Countrywide Home Loan, Inc. | ||||||||||||||||
500,000 | 5.63 | 05/15/2007 | 529,808 | |||||||||||||
GATX Financial Corp. | ||||||||||||||||
125,000 | 6.00 | 11/19/2008 | 128,317 | |||||||||||||
General Electric Capital Corp. | ||||||||||||||||
200,000 | 6.00 | 06/15/2012 | 213,257 | |||||||||||||
PHH Corp. | ||||||||||||||||
250,000 | 7.13 | 03/01/2013 | 277,314 | |||||||||||||
$ | 1,604,526 | |||||||||||||||
Oil Field Services – 0.5% | ||||||||||||||||
Transocean, Inc. | ||||||||||||||||
$ | 150,000 | 6.75 | % | 04/15/2005 | $ | 155,803 | ||||||||||
Paper – 0.4% | ||||||||||||||||
Weyerhaeuser Co. | ||||||||||||||||
$ | 50,000 | 6.00 | % | 08/01/2006 | $ | 53,029 | ||||||||||
65,000 | 6.88 | 12/15/2033 | 66,962 | |||||||||||||
$ | 119,991 | |||||||||||||||
Pipelines – 2.5% | ||||||||||||||||
CenterPoint Energy Resources Corp. | ||||||||||||||||
$ | 225,000 | 7.88 | % | 04/01/2013 | $ | 253,744 | ||||||||||
400,000 | 5.95 | 01/15/2014 | 397,027 | |||||||||||||
Panhandle Eastern Pipeline | ||||||||||||||||
150,000 | 4.80 | 08/15/2008 | 152,342 | |||||||||||||
$ | 803,113 | |||||||||||||||
Property/ Casualty Insurance – 7.1% | ||||||||||||||||
ACE Capital Trust II | ||||||||||||||||
$ | 150,000 | 9.70 | % | 04/01/2030 | $ | 199,627 | ||||||||||
Ace Ltd. | ||||||||||||||||
375,000 | 6.00 | 04/01/2007 | 400,581 | |||||||||||||
Arch Capital Group Ltd. | ||||||||||||||||
150,000 | 7.35 | 05/01/2034 | 149,533 |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Property/ Casualty Insurance – (continued) | ||||||||||||||||
Assurant, Inc.† | ||||||||||||||||
$ | 300,000 | 6.75 | % | 02/15/2034 | $ | 303,838 | ||||||||||
CNA Financial Corp. | ||||||||||||||||
100,000 | 6.60 | 12/15/2008 | 106,376 | |||||||||||||
125,000 | 6.95 | 01/15/2018 | 127,613 | |||||||||||||
Hartford Financial Services Group, Inc. | ||||||||||||||||
100,000 | 6.38 | 11/01/2008 | 109,385 | |||||||||||||
Liberty Mutual Group† | ||||||||||||||||
125,000 | 5.75 | 03/15/2014 | 122,286 | |||||||||||||
100,000 | 7.00 | 03/15/2034 | 98,076 | |||||||||||||
QBE Insurance Group Ltd.#† | ||||||||||||||||
350,000 | 5.65 | 07/01/2023 | 335,398 | |||||||||||||
SAFECO Corp. | ||||||||||||||||
224,000 | 6.88 | 07/15/2007 | 246,792 | |||||||||||||
Zurich Capital Trust I† | ||||||||||||||||
125,000 | 8.38 | 06/01/2037 | 139,950 | |||||||||||||
$ | 2,339,455 | |||||||||||||||
REITs – 3.9% | ||||||||||||||||
Chelsea Property Group, Inc. | ||||||||||||||||
$ | 100,000 | 6.00 | % | 01/15/2013 | $ | 103,260 | ||||||||||
EOP Operating LP | ||||||||||||||||
150,000 | 7.75 | 11/15/2007 | 169,794 | |||||||||||||
ERP Operating LP | ||||||||||||||||
100,000 | 7.10 | 06/23/2004 | 100,741 | |||||||||||||
iStar Financial, Inc.† | ||||||||||||||||
350,000 | 5.70 | 03/01/2014 | 332,062 | |||||||||||||
Liberty Property LP | ||||||||||||||||
225,000 | 7.75 | 04/15/2009 | 258,693 | |||||||||||||
Simon Property Group LP | ||||||||||||||||
100,000 | 7.38 | 01/20/2006 | 107,518 | |||||||||||||
25,000 | 7.13 | 09/20/2007 | 28,060 | |||||||||||||
150,000 | 7.75 | 01/20/2011 | 169,482 | |||||||||||||
$ | 1,269,610 | |||||||||||||||
Supermarkets – 0.4% | ||||||||||||||||
Albertson’s, Inc. | ||||||||||||||||
$ | 100,000 | 7.50 | % | 02/15/2011 | $ | 113,579 | ||||||||||
Tobacco – 3.8% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
$ | 550,000 | 7.00 | % | 11/04/2013 | $ | 585,472 | ||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
200,000 | 7.13 | 04/01/2009 | 221,327 | |||||||||||||
UST, Inc. | ||||||||||||||||
200,000 | 8.80 | 03/15/2005 | 210,713 | |||||||||||||
215,000 | 6.63 | 07/15/2012 | 234,467 | |||||||||||||
$ | 1,251,979 | |||||||||||||||
Wireless Telecommunications – 2.9% | ||||||||||||||||
America Movil SA de CV† | ||||||||||||||||
$ | 350,000 | 4.13 | % | 03/01/2009 | $ | 335,545 | ||||||||||
150,000 | 5.50 | 03/01/2014 | 140,355 | |||||||||||||
AT&T Wireless Services, Inc. | ||||||||||||||||
200,000 | 7.50 | 05/01/2007 | 222,089 | |||||||||||||
TeleCorp PCS, Inc. | ||||||||||||||||
75,000 | 10.63 | 07/15/2010 | 85,621 | |||||||||||||
Vodafone Group PLC | ||||||||||||||||
150,000 | 7.88 | 02/15/2030 | 179,201 | |||||||||||||
$ | 962,811 | |||||||||||||||
Wirelines Telecommunications – 10.0% | ||||||||||||||||
British Telecommunications PLC | ||||||||||||||||
$ | 400,000 | 8.88 | % | 12/15/2030 | $ | 503,115 | ||||||||||
Deutsche Telekom International Finance BV | ||||||||||||||||
485,000 | 8.75 | 06/15/2030 | 602,411 | |||||||||||||
France Telecom SA | ||||||||||||||||
525,000 | 8.75 | 03/01/2011 | 619,275 | |||||||||||||
Koninklijke (Royal) KPN NV | ||||||||||||||||
100,000 | 8.38 | 10/01/2030 | 122,466 | |||||||||||||
Sprint Capital Corp. | ||||||||||||||||
100,000 | 6.00 | 01/15/2007 | 106,376 | |||||||||||||
125,000 | 8.38 | 03/15/2012 | 146,644 | |||||||||||||
300,000 | 6.88 | 11/15/2028 | 294,545 | |||||||||||||
Telefonica Europe BV | ||||||||||||||||
145,000 | 7.35 | 09/15/2005 | 154,508 | |||||||||||||
Telefonos De Mexico SA de CV | ||||||||||||||||
150,000 | 8.25 | 01/26/2006 | 162,339 | |||||||||||||
150,000 | 4.50 | † | 11/19/2008 | 148,240 | ||||||||||||
TPSA Finance BV† | ||||||||||||||||
300,000 | 7.75 | 12/10/2008 | 336,890 | |||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
100,000 | 4.38 | 06/01/2013 | 92,985 | |||||||||||||
$ | 3,289,794 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $30,856,351) | $ | 30,400,093 | ||||||||||||||
Emerging Market Debt – 0.9% | ||||||||||||||||
Korea Development Bank | ||||||||||||||||
$ | 150,000 | 5.75 | % | 09/10/2013 | $ | 152,185 | ||||||||||
United Mexican States | ||||||||||||||||
42,000 | 8.30 | 08/15/2031 | 45,098 | |||||||||||||
84,000 | 7.50 | 04/08/2033 | 82,687 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $280,993) | $ | 279,970 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 2.4% | ||||||||||||||||
Joint Repurchase Agreement Account IIΔ | ||||||||||||||||
$ | 800,000 | 1.05 | % | 05/03/2004 | $ | 800,000 | ||||||||||
Maturity Value: $800,070 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $800,000) | $ | 800,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $31,937,344) | $ | 31,480,063 | ||||||||||||||
† | Securities are exempt from registration under rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $6,691,783, which represents 20.4% of net assets as of April 30, 2004. | |
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |
Δ | Joint repurchase agreement was entered into on April 30, 2004. | |
± | Perpetual Maturity. Maturity date presented represents the next call date. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
Investment Abbreviations: | ||||||
REIT | — | Real Estate Investment Trust | ||||
Enhanced | |||||||
Income Fund | |||||||
Assets: | |||||||
Investment in securities, at value (identified cost $1,058,742,398, $1,519,026,696, $845,659,625, $626,502,869, $218,679,104, $1,241,479,453 and $31,137,344) | $ | 1,068,320,143 | |||||
Repurchase Agreement | 130,600,000 | ||||||
Cash(a) | 72,512 | ||||||
Foreign currencies, at value (Core Fixed Income only identified cost $11,024) | — | ||||||
Receivables: | |||||||
Investment securities sold, at value | — | ||||||
Fund shares sold | 25,908,963 | ||||||
Interest, at value | 10,862,287 | ||||||
Variation margin | — | ||||||
Reimbursement from investment adviser | 3,630 | ||||||
Deferred offering costs | — | ||||||
Other assets, at value | 27,127 | ||||||
Total assets | 1,235,794,662 | ||||||
Liabilities: | |||||||
Due to custodian | — | ||||||
Payables: | |||||||
Investment securities purchased, at value | — | ||||||
Fund shares repurchased | 17,678,246 | ||||||
Swap contracts, at value | — | ||||||
Income distribution | 193,024 | ||||||
Amounts owed to affiliates | 319,417 | ||||||
Variation margin | 340,896 | ||||||
Accrued expenses and other liabilities, at value | 94,856 | ||||||
Total liabilities | 18,626,439 | ||||||
Net Assets: | |||||||
Paid-in capital | 1,279,946,324 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 3,240,056 | ||||||
Accumulated net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | (80,332,140 | ) | |||||
Net unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | 14,313,983 | ||||||
NET ASSETS | $ | 1,217,168,223 | |||||
Net asset value, offering and redemption price per share:(b) | |||||||
Class A | $9.89 | ||||||
Class B | — | ||||||
Class C | — | ||||||
Institutional | $9.88 | ||||||
Administration | $9.89 | ||||||
Service | — | ||||||
Separate Account Institutional | — | ||||||
Shares outstanding: | |||||||
Class A | 22,321,794 | ||||||
Class B | — | ||||||
Class C | — | ||||||
Institutional | 95,880,688 | ||||||
Administration | 5,003,517 | ||||||
Service | — | ||||||
Separate Account Institutional | — | ||||||
Total shares outstanding, $.001 par value (unlimited number of shares authorized) | 123,205,999 | ||||||
(a) | Includes restricted cash of $200,000, $800,000 and $74,988, relating to initial margin requirements and collateral on futures transactions for the Ultra Short Duration Government, Government Income and Investment Grade Credit Funds, respectively, and includes restricted cash of $28,100,000 on deposit with the swap counterparty as collateral for the Core Fixed Income Fund. |
(b) | Maximum public offering price per share for Class A Shares of the Enhanced Income and Ultra-Short Duration Government (NAV per share multiplied by 1.0152), Short Duration Government (NAV per share multiplied by 1.0204), Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit Funds (NAV per share multiplied by 1.0471) is $10.04, $9.56, $10.13, $15.39, $10.45, $10.45, and $10.51, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund | Income Fund | Credit Fund | |||||||||||||||||||
$ | 1,510,560,450 | $ | 839,473,228 | $ | 622,992,059 | $ | 216,617,569 | $ | 1,242,224,251 | $ | 30,680,063 | |||||||||||||
307,300,000 | 47,200,000 | 76,000,000 | 115,300,000 | 94,200,000 | 800,000 | |||||||||||||||||||
2,118,423 | 30,833 | — | 283,147 | 28,100,000 | 156,281 | |||||||||||||||||||
— | — | — | — | 13,301 | — | |||||||||||||||||||
57,227,197 | 41,441,544 | 134,514,707 | 178,635,856 | 171,552,322 | — | |||||||||||||||||||
8,178,820 | 891,805 | 3,078,937 | 2,984,262 | 1,382,573 | 875,000 | |||||||||||||||||||
6,644,634 | 4,421,437 | 2,953,165 | 644,378 | 8,592,332 | 496,811 | |||||||||||||||||||
— | — | 117,331 | 40,765 | 768,424 | — | |||||||||||||||||||
— | 65,514 | 46,635 | 48,072 | — | 32,299 | |||||||||||||||||||
— | — | — | 52,421 | — | 51,928 | |||||||||||||||||||
30,728 | 22,971 | 18,951 | 41,737 | 21,242 | 41,506 | |||||||||||||||||||
1,892,060,252 | 933,547,332 | 839,721,785 | 514,648,207 | 1,546,854,445 | 33,133,888 | |||||||||||||||||||
— | — | 20,503,650 | — | 32,369,571 | — | |||||||||||||||||||
— | 85,763,560 | 187,529,288 | 289,226,155 | 297,948,751 | 278,566 | |||||||||||||||||||
24,826,745 | 8,337,433 | 1,423,495 | — | 14,520,135 | — | |||||||||||||||||||
— | — | — | — | 7,927,698 | — | |||||||||||||||||||
1,589,323 | 496,355 | 141,864 | 318,560 | 991,047 | 9,608 | |||||||||||||||||||
849,706 | 619,774 | 498,311 | 63,784 | 646,293 | 9,225 | |||||||||||||||||||
388,593 | 49,580 | — | — | 57,208 | 4,281 | |||||||||||||||||||
93,284 | 58,271 | 73,949 | 78,626 | 93,577 | 68,890 | |||||||||||||||||||
27,747,651 | 95,324,973 | 210,170,557 | 289,687,125 | 354,554,280 | 370,570 | |||||||||||||||||||
1,992,559,465 | 853,740,469 | 630,260,672 | 227,311,010 | 1,189,479,853 | 33,184,624 | |||||||||||||||||||
1,734,251 | (750,900 | ) | 708,828 | (726,687 | ) | (1,105,448 | ) | (107 | ) | |||||||||||||||
(127,198,448 | ) | (8,816,292 | ) | 2,840,605 | 968,640 | 19,026,593 | 9,692 | |||||||||||||||||
(2,782,667 | ) | (5,950,918 | ) | (4,258,877 | ) | (2,591,881 | ) | (15,100,833 | ) | (430,891 | ) | |||||||||||||
$ | 1,864,312,601 | $ | 838,222,359 | $ | 629,551,228 | $ | 224,961,082 | $ | 1,192,300,165 | $ | 32,763,318 | |||||||||||||
$ | 9.42 | $ | 9.93 | $ | 14.70 | $ | 9.98 | $ | 9.98 | $ | 10.04 | |||||||||||||
— | $ | 9.89 | $ | 14.70 | — | $ | 10.02 | — | ||||||||||||||||
— | $ | 9.87 | $ | 14.69 | — | $ | 10.02 | — | ||||||||||||||||
$ | 9.43 | $ | 9.90 | $ | 14.68 | $ | 9.99 | $ | 10.02 | $ | 10.05 | |||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
$ | 9.46 | $ | 9.89 | $ | 14.68 | — | $ | 10.02 | — | |||||||||||||||
— | — | — | $ | 9.98 | — | $ | 10.04 | |||||||||||||||||
49,386,969 | 29,213,962 | 29,177,611 | 529,018 | 45,653,285 | 124 | |||||||||||||||||||
— | 4,358,769 | 2,518,544 | — | 3,464,376 | — | |||||||||||||||||||
— | 10,638,518 | 1,491,917 | — | 2,547,834 | — | |||||||||||||||||||
143,040,978 | 39,868,394 | 9,069,011 | 15,401,945 | 65,663,699 | 2,633,940 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
5,268,607 | 549,007 | 576,356 | — | 1,847,308 | — | |||||||||||||||||||
— | — | — | 6,594,034 | — | 627,756 | |||||||||||||||||||
197,696,554 | 84,628,650 | 42,833,439 | 22,524,997 | 119,176,502 | 3,261,820 | |||||||||||||||||||
Enhanced | |||||||
Income Fund | |||||||
Investment income: | |||||||
Interest | $ | 23,139,447 | |||||
Total income | 23,139,447 | ||||||
Expenses: | |||||||
Management fees | 1,698,842 | ||||||
Distribution and service fees(a) | 393,567 | ||||||
Transfer agent fees(a) | 507,955 | ||||||
Custody and accounting fees | 109,771 | ||||||
Service share fees | — | ||||||
Professional fees | 29,998 | ||||||
Registration fees | 23,884 | ||||||
Printing fees | 32,180 | ||||||
Administration share fees | 63,083 | ||||||
Trustee fees | 6,181 | ||||||
Amortization of offering costs | — | ||||||
Other | 42,317 | ||||||
Total expenses | 2,907,778 | ||||||
Less — expense reductions | (496,364 | ) | |||||
Net Expenses | 2,411,414 | ||||||
NET INVESTMENT INCOME | 20,728,033 | ||||||
Realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 969,815 | ||||||
Futures transactions | (9,448,743 | ) | |||||
Swap contracts | — | ||||||
Foreign currency related transactions | — | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | (12,065,009 | ) | |||||
Futures | 6,535,498 | ||||||
Swap contracts | — | ||||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain (loss) on investment, futures, swaps and foreign currency related transactions | (14,008,439 | ) | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,719,594 | |||||
(a) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||
Separate | ||||||||||||||||||||||||||||||||||||||||
Account | ||||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Administration | Service | Institutional | ||||||||||||||||||||||||||||||
Enhanced Income Fund | $ | 393,567 | $ | — | $ | — | $ | 299,111 | $ | — | $ | — | $ | 198,751 | $ | 10,093 | $ | — | $ | — | ||||||||||||||||||||
Ultra-Short Duration Fund | 749,050 | — | — | 569,278 | — | — | 310.061 | — | 10,712 | — | ||||||||||||||||||||||||||||||
Short Duration Fund | 378,913 | 234,907 | 583,662 | 287,974 | 44,632 | 110,896 | 83,893 | — | 1,226 | — | ||||||||||||||||||||||||||||||
Government Income Fund | 491,347 | 202,052 | 113,494 | 373,423 | 38,390 | 21,564 | 29,631 | — | 1,842 | — | ||||||||||||||||||||||||||||||
U.S. Mortgages Fund | 899 | — | — | 683 | — | — | 20,368 | — | — | 6,684 | ||||||||||||||||||||||||||||||
Core Fixed Income Fund | 565,981 | 179,654 | 128,455 | 430,145 | 34,135 | 24,407 | 138,981 | — | 4,095 | — | ||||||||||||||||||||||||||||||
Investment Grade Credit | 2 | — | — | 2 | — | — | 2,404 | — | — | 1,546 |
(b) | U.S. Mortgages Fund and Investment Grade Credit Fund commenced operations on November 3, 2003. |
Ultra-Short | ||||||||||||||||||||||||
Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund(b) | Income Fund | Credit Fund(b) | |||||||||||||||||||
$ | 34,050,297 | $ | 15,799,980 | $ | 12,425,359 | $ | 2,291,597 | $ | 23,928,889 | $ | 461,344 | |||||||||||||
34,050,297 | 15,799,980 | 12,425,359 | 2,291,597 | 23,928,889 | 461,344 | |||||||||||||||||||
4,406,212 | 2,231,099 | 1,994,038 | 271,962 | 2,459,574 | 39,505 | |||||||||||||||||||
749,050 | 1,197,482 | 806,893 | 899 | 874,090 | 2 | |||||||||||||||||||
890,051 | 528,621 | 464,850 | 27,735 | 631,763 | 3,952 | |||||||||||||||||||
176,751 | 117,775 | 101,666 | 39,766 | 177,733 | 21,266 | |||||||||||||||||||
133,901 | 15,329 | 23,026 | 25,639 | 51,188 | 3,006 | |||||||||||||||||||
29,498 | 29,916 | 29,916 | 25,363 | 32,067 | 25,362 | |||||||||||||||||||
26,807 | 41,834 | 39,406 | 12,761 | 41,915 | 12,761 | |||||||||||||||||||
28,203 | 26,709 | 26,709 | 25,119 | 23,695 | 25,119 | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
6,181 | 6,181 | 6,181 | 4,648 | 6,181 | 4,648 | |||||||||||||||||||
— | — | — | 12,328 | — | 12,328 | |||||||||||||||||||
121,760 | 59,793 | 30,745 | 18,606 | 39,621 | 18,967 | |||||||||||||||||||
6,568,414 | 4,254,739 | 3,523,430 | 464,826 | 4,337,827 | 166,916 | |||||||||||||||||||
(4,651 | ) | (300,241 | ) | (564,674 | ) | (197,246 | ) | (2,274 | ) | (129,305 | ) | |||||||||||||
6,563,763 | 3,954,498 | 2,958,756 | 267,580 | 4,335,553 | 37,611 | |||||||||||||||||||
27,486,534 | 11,845,482 | 9,466,603 | 2,024,017 | 19,593,336 | 423,733 | |||||||||||||||||||
(412,202 | ) | 1,183,457 | 975,949 | 171,442 | 7,362,852 | 66,125 | ||||||||||||||||||
(11,136,284 | ) | (891,449 | ) | 2,374,342 | 797,198 | 14,847,106 | (56,433 | ) | ||||||||||||||||
— | — | — | — | (1,707,192 | ) | — | ||||||||||||||||||
— | — | — | — | (122,513 | ) | — | ||||||||||||||||||
5,008,805 | (3,709,073 | ) | (4,568,082 | ) | (2,061,535 | ) | (9,240,386 | ) | (457,281 | ) | ||||||||||||||
6,588,295 | 721,354 | (1,059,990 | ) | (530,346 | ) | (8,656,419 | ) | 26,390 | ||||||||||||||||
— | — | — | — | 2,549,253 | — | |||||||||||||||||||
— | — | — | — | 838,483 | — | |||||||||||||||||||
48,614 | (2,695,711 | ) | (2,277,781 | ) | (1,623,241 | ) | 5,871,184 | (421,199 | ) | |||||||||||||||
$ | 27,535,148 | $ | 9,149,771 | $ | 7,188,822 | $ | 400,776 | $ | 25,464,520 | $ | 2,534 | |||||||||||||
Enhanced | |||||||
Income Fund | |||||||
From operations: | |||||||
Net investment income | $ | 20,728,033 | |||||
Net realized gain (loss) on investment, futures, swaps and foreign currency related transactions | (8,478,928 | ) | |||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (5,529,511 | ) | |||||
Net increase in net assets resulting from operations | 6,719,594 | ||||||
Distributions to shareholders: | |||||||
From net investment income | |||||||
Class A Shares | (4,320,169 | ) | |||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | (15,711,037 | ) | |||||
Administration Shares | (729,779 | ) | |||||
Service Shares | — | ||||||
Separate Account Institutional Shares | — | ||||||
From net realized gains | |||||||
Class A Shares | — | ||||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | — | ||||||
Service Shares | — | ||||||
Total distributions to shareholders | (20,760,985 | ) | |||||
From share transactions: | |||||||
Proceeds from sales of shares | 443,381,841 | ||||||
Reinvestment of dividends and distributions | 17,547,921 | ||||||
Cost of shares repurchased | (765,517,001 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (304,587,239 | ) | |||||
TOTAL INCREASE (DECREASE) | (318,628,630 | ) | |||||
Net assets: | |||||||
Beginning of period | 1,535,796,853 | ||||||
End of period | $ | 1,217,168,223 | |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 3,240,056 | |||||
(a) | U.S. Mortgages Fund and Investment Grade Credit Fund commenced operations on November 3, 2003. |
Ultra-Short Duration | Short Duration | Government | U.S. Mortgages | Core Fixed | Investment Grade | |||||||||||||||||||
Government Fund | Government Fund | Income Fund | Fund(a) | Income Fund | Credit Fund(a) | |||||||||||||||||||
$ | 27,486,534 | $ | 11,845,482 | $ | 9,466,603 | $ | 2,024,017 | $ | 19,593,336 | $ | 423,733 | |||||||||||||
(11,548,486 | ) | 292,008 | 3,350,291 | 968,640 | 20,380,253 | 9,692 | ||||||||||||||||||
11,597,100 | (2,987,719 | ) | (5,628,072 | ) | (2,591,881 | ) | (14,509,069 | ) | (430,891 | ) | ||||||||||||||
27,535,148 | 9,149,771 | 7,188,822 | 400,776 | 25,464,520 | 2,534 | |||||||||||||||||||
(9,465,974 | ) | (4,751,825 | ) | (6,216,897 | ) | (12,249 | ) | (8,000,427 | ) | (21 | ) | |||||||||||||
— | (597,941 | ) | (486,668 | ) | — | (498,347 | ) | — | ||||||||||||||||
— | (1,403,874 | ) | (274,082 | ) | — | (355,914 | ) | — | ||||||||||||||||
(27,596,687 | ) | (7,443,027 | ) | (2,644,418 | ) | (2,044,557 | ) | (13,649,936 | ) | (259,571 | ) | |||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
(815,065 | ) | (93,434 | ) | (140,877 | ) | — | (350,624 | ) | — | |||||||||||||||
— | — | — | (693,898 | ) | — | (164,248 | ) | |||||||||||||||||
— | — | (3,366,202 | ) | — | (14,873,230 | ) | — | |||||||||||||||||
— | — | (370,817 | ) | — | (1,215,930 | ) | — | |||||||||||||||||
— | — | (199,972 | ) | — | (859,101 | ) | — | |||||||||||||||||
— | — | (1,301,452 | ) | — | (23,684,860 | ) | — | |||||||||||||||||
— | — | (90,042 | ) | — | (729,303 | ) | — | |||||||||||||||||
(37,877,726 | ) | (14,290,101 | ) | (15,091,427 | ) | (2,750,704 | ) | (64,217,672 | ) | (423,840 | ) | |||||||||||||
646,737,849 | 267,574,589 | 182,192,994 | 252,262,282 | 262,146,237 | 41,278,076 | |||||||||||||||||||
26,751,738 | 11,063,355 | 13,979,582 | 1,432,010 | 50,741,121 | 362,565 | |||||||||||||||||||
(1,603,069,839 | ) | (354,686,953 | ) | (146,219,093 | ) | (26,383,282 | ) | (306,548,620 | ) | (8,456,017 | ) | |||||||||||||
(929,580,252 | ) | (76,049,009 | ) | 49,953,483 | 227,311,010 | 6,338,738 | 33,184,624 | |||||||||||||||||
(939,922,830 | ) | (81,189,339 | ) | 42,050,878 | 224,961,082 | (32,414,414 | ) | 32,763,318 | ||||||||||||||||
2,804,235,431 | 919,411,698 | 587,500,350 | — | 1,224,714,579 | — | |||||||||||||||||||
$ | 1,864,312,601 | $ | 838,222,359 | $ | 629,551,228 | $ | 224,961,082 | $ | 1,192,300,165 | $ | 32,763,318 | |||||||||||||
$ | 1,734,251 | $ | (750,900 | ) | $ | 708,828 | $ | (726,687 | ) | $ | (1,105,448 | ) | $ | (107 | ) | |||||||||
Enhanced | |||||||
Income Fund | |||||||
From operations: | |||||||
Net investment income | $ | 76,128,321 | |||||
Net realized gain (loss) on investment, options, futures, swaps and foreign currency related transactions | (9,711,742 | ) | |||||
Net change in unrealized gain (loss) on investments, futures, swaps and translation of assets and liabilities denominated in foreign currencies | (17,849,510 | ) | |||||
Net increase in net assets resulting from operations | 48,567,069 | ||||||
Distributions to shareholders: | |||||||
From net investment income | |||||||
Class A Shares | (20,331,328 | ) | |||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | (54,132,455 | ) | |||||
Administration Shares | (636,079 | ) | |||||
Service Shares | — | ||||||
From net realized gains | |||||||
Class A Shares | — | ||||||
Class B Shares | — | ||||||
Class C Shares | — | ||||||
Institutional Shares | — | ||||||
Service shares | — | ||||||
Total distributions to shareholders | (75,099,862 | ) | |||||
From share transactions: | |||||||
Proceeds from sales of shares | 1,887,117,875 | ||||||
Reinvestment of dividends and distributions | 66,529,827 | ||||||
Cost of shares repurchased | (3,292,429,285 | ) | |||||
Net increase (decrease) in net assets resulting from share transactions | (1,338,781,583 | ) | |||||
TOTAL INCREASE (DECREASE) | (1,365,314,376 | ) | |||||
Net assets: | |||||||
Beginning of year | 2,901,111,229 | ||||||
End of year | $ | 1,535,796,853 | |||||
Accumulated undistributed net investment income | $ | 3,273,008 | |||||
Ultra-Short Duration | Short Duration | Government | Core Fixed | |||||||||||||
Government Fund | Government Fund | Income Fund | Income Fund | |||||||||||||
$ | 106,798,282 | $ | 30,985,889 | $ | 14,970,988 | $ | 50,240,172 | |||||||||
(19,840,908 | ) | (204,076 | ) | 8,185,551 | 41,050,604 | |||||||||||
(27,241,707 | ) | (13,611,498 | ) | (8,702,160 | ) | (11,291,897 | ) | |||||||||
59,715,667 | 17,170,315 | 14,454,379 | 79,998,879 | |||||||||||||
(36,758,337 | ) | (9,958,624 | ) | (10,482,880 | ) | (15,224,632 | ) | |||||||||
— | (1,549,635 | ) | (1,397,916 | ) | (1,222,253 | ) | ||||||||||
— | (3,319,698 | ) | (705,656 | ) | (743,228 | ) | ||||||||||
(99,636,791 | ) | (14,956,513 | ) | (5,235,819 | ) | (31,167,480 | ) | |||||||||
— | — | — | — | |||||||||||||
(2,235,538 | ) | (334,558 | ) | (410,300 | ) | (924,649 | ) | |||||||||
— | — | (282,318 | ) | (1,155,334 | ) | |||||||||||
— | — | (57,041 | ) | (133,823 | ) | |||||||||||
— | — | (27,650 | ) | (74,023 | ) | |||||||||||
— | — | (106,723 | ) | (2,746,496 | ) | |||||||||||
— | — | (14,099 | ) | (109,857 | ) | |||||||||||
(138,630,666 | ) | (30,119,028 | ) | (18,720,402 | ) | (53,501,775 | ) | |||||||||
3,857,993,633 | 906,757,628 | 602,412,055 | 655,115,170 | |||||||||||||
106,769,668 | 22,752,384 | 16,723,406 | 38,502,701 | |||||||||||||
(4,765,319,628 | ) | (681,167,411 | ) | (444,591,828 | ) | (630,905,538 | ) | |||||||||
(800,556,327 | ) | 248,342,601 | 174,543,633 | 62,712,333 | ||||||||||||
(879,471,326 | ) | 235,393,888 | 170,277,610 | 89,209,437 | ||||||||||||
3,683,706,757 | 684,017,810 | 417,222,740 | 1,135,505,142 | |||||||||||||
$ | 2,804,235,431 | $ | 919,411,698 | $ | 587,500,350 | $ | 1,224,714,579 | |||||||||
$ | 12,125,443 | $ | 1,693,719 | $ | 1,005,167 | $ | 2,156,464 | |||||||||
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
A. Investment Valuation — Portfolio securities for which accurate market quotations are readily available are valued on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Short-term debt obligations maturing in sixty days or less are valued at amortized cost. Portfolio securities for which accurate market quotations are not readily available are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees.
B. Security Transactions and Investment Income — Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued (net of foreign withholding taxes which are reduced by any amounts reclaimable by the Funds, where applicable), premium amortized and discount accreted. Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
C. Federal Taxes — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable and tax-exempt income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
F. Mortgage Dollar Rolls — The Funds may enter into mortgage “dollar rolls” in which the Funds sell securities in the current month for delivery and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. For financial reporting and tax reporting purposes, the Funds treat mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.
G. Segregation Transactions — Funds may enter into derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, swap contracts, mortgage dollar rolls, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into those transactions, the Funds are required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
H. Forward Sales Contracts — The Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities defined by pool stipulated characteristics on a specified future date. The value of the contract is recorded as a liability on the Fund’s records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
I. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to equal or exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.
3. AGREEMENTS |
Management Fee | ||||||||||||||||
Other | ||||||||||||||||
Contractual | Waiver | Net | Expense | |||||||||||||
Fund | Annual Rate | Annual Rate | Annual Rate | Limit | ||||||||||||
Enhanced Income | 0.25 | % | 0.05 | % | 0.20 | % | 0.014 | % | ||||||||
Ultra-Short Duration Government | 0.40 | — | 0.40 | 0.054 | ||||||||||||
Short Duration Government | 0.50 | — | 0.50 | 0.004 | ||||||||||||
Government Income | 0.65 | 0.11 | 0.54 | 0.004 | ||||||||||||
U.S. Mortgages | 0.40 | 0.07 | 0.33 | 0.004 | ||||||||||||
Core Fixed Income | 0.40 | — | 0.40 | 0.104 | ||||||||||||
Investment Grade Credit | 0.40 | 0.07 | 0.33 | 0.004 | ||||||||||||
3. AGREEMENTS (continued) |
The Trust, on behalf of each Fund, has adopted Distribution and Service Plans. Under the Plans, Goldman Sachs and/or Authorized Dealers are entitled to a monthly fee for distribution services equal, on an annual basis, to 0.25% for Enhanced Income, Ultra-Short Duration Government, U.S. Mortgages and Investment Grade Credit Funds average daily net assets attributable to Class A shares and 0.25%, 0.75% and 0.75% for Government Income and Core Fixed Income Fund’s average daily net assets attributable to Class A, Class B and Class C shares, respectively. Additionally, Goldman Sachs and/or Authorized Dealers are entitled to receive, under the Plans, a separate fee for personal and account maintenance services equal to, on an annual basis, 0.25% of the Short Duration Government, Government Income and Core Fixed Income Funds average daily net assets attributable to Class B or Class C Shares. For the six months ended April 30, 2004, Goldman Sachs has voluntarily agreed to waive a portion of the Distribution and Service fees equal to 0.15% of the average daily net assets attributable to the Class B shares of Short Duration Government.
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the six months ended April 30, 2004, Goldman Sachs advised the Funds that it retained approximately the following amounts:
Contingent Deferred Sales | ||||||||||||
Charge | ||||||||||||
Sales Load | ||||||||||||
Fund | Class A | Class B | Class C | |||||||||
Enhanced Income | $ | 400 | N/A | N/A | ||||||||
Ultra-Short Duration Government | 18,200 | N/A | N/A | |||||||||
Short Duration Government | 17,900 | $ | — | $ | — | |||||||
Government Income | 19,100 | 300 | 9,400 | |||||||||
U.S. Mortgages | 5,300 | N/A | N/A | |||||||||
Core Fixed Income | 80,500 | — | 800 | |||||||||
Investment Grade Credit | — | N/A | N/A | |||||||||
3. AGREEMENTS (continued) |
Goldman Sachs also serves as Transfer Agent of the Funds for a fee. Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B and Class C shares and 0.04% of the average daily net assets for Administration (Enhanced Income only), Separate Account Institutional (U.S. Mortgages and Investment Grade Credit), Institutional and Service shares. For the six months ended April 30, 2004, Goldman Sachs has voluntarily agreed to waive a portion of the Transfer Agent fees equal to 0.02% of the average daily net assets attributable to Institutional and Separate Account Institutional shares of U.S. Mortgages and Investment Grade Credit. Goldman Sachs may discontinue or modify this waiver in the future at its discretion.
For the six months ended April 30, 2004, the advisors and distributor have voluntarily agreed to waive certain fees and reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian resulting in a reduction of the Funds’ expenses. For the six months ended April 30, 2004, expense reductions were as follows (in thousands):
Waivers | ||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||
Distribution | Other | Total | ||||||||||||||||||||||
Management | and Service | Transfer | Expense | Custody | Expense | |||||||||||||||||||
Fund | Fees | Fees | Agent Fees | Reimbursement | Credit | Reductions | ||||||||||||||||||
Enhanced Income | $ | 340 | $ | — | $ | — | $ | 149 | $ | 7 | $ | 496 | ||||||||||||
Ultra-Short Duration Government | — | — | — | — | 5 | 5 | ||||||||||||||||||
Short Duration Government | — | 35 | — | 264 | 1 | 300 | ||||||||||||||||||
Government Income | 338 | — | — | 222 | 5 | 565 | ||||||||||||||||||
U.S. Mortgages | 48 | — | 13 | 136 | — | 197 | ||||||||||||||||||
Core Fixed Income | — | — | — | — | 2 | 2 | ||||||||||||||||||
Investment Grade Credit | 7 | — | 2 | 120 | — | 129 | ||||||||||||||||||
3. AGREEMENTS (continued) |
At April 30, 2004, the amounts owed to affiliates were as follows (in thousands):
Distribution | Transfer | |||||||||||||||
Management | and Service | Agent | ||||||||||||||
Fund | Fees | Fees | Fees | Total | ||||||||||||
Enhanced Income | $ | 202 | $ | 48 | $ | 69 | $ | 319 | ||||||||
Ultra-Short Duration Government | 624 | 102 | 124 | 850 | ||||||||||||
Short Duration Government | 356 | 180 | 84 | 620 | ||||||||||||
Government Income | 281 | 136 | 81 | 498 | ||||||||||||
U.S. Mortgages | 59 | 1 | 4 | 64 | ||||||||||||
Core Fixed Income | 398 | 144 | 104 | 646 | ||||||||||||
Investment Grade Credit | 8 | — | 1 | 9 | ||||||||||||
4. PORTFOLIO SECURITY TRANSACTIONS |
Sales and | Sales and maturities | |||||||||||||||
Purchases of | Purchases | maturities of | (excluding | |||||||||||||
U.S. Government | (excluding | U.S. Government | U.S. Government | |||||||||||||
and agency | U.S. Government and | and agency | and agency | |||||||||||||
Fund | obligations | agency obligations) | obligations | obligations) | ||||||||||||
Enhanced Income | $ | 269,045,055 | $ | 28,143,795 | $ | 369,315,284 | $ | 193,442,600 | ||||||||
Ultra-Short Duration Government | 506,779,622 | 113,979,921 | 1,225,691,558 | 131,982,852 | ||||||||||||
Short Duration Government | 985,632,011 | — | 958,477,474 | 285,297 | ||||||||||||
Government Income | 1,262,524,632 | 101,007,465 | 1,206,399,643 | 36,830,041 | ||||||||||||
U.S. Mortgages | 1,455,742,034 | 9,573,544 | 1,294,257,953 | 423,361 | ||||||||||||
Core Fixed Income | 3,040,506,908 | 343,737,611 | 2,790,506,761 | 280,433,677 | ||||||||||||
Investment Grade Credit | 3,873,929 | 36,784,046 | 3,832,772 | 5,648,848 | ||||||||||||
Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates (in the case of Core Fixed Income) or to seek to increase total return. Futures contracts are valued at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to deposit with a broker or the Fund’s custodian bank an amount of cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realizes a gain or loss which is reported in the Statements of Operations.
4. PORTFOLIO SECURITY TRANSACTIONS (continued) |
At April 30, 2004, the following futures contracts were open as follows:
Number of | ||||||||||||||||||
Contracts Long | Unrealized | |||||||||||||||||
Fund | Type | (Short) | Settlement Month | Market Value | Gain (Loss) | |||||||||||||
Enhanced Income Fund | Eurodollars | 455 | June 2004 | $ | 112,237,125 | $ | 428,153 | |||||||||||
Eurodollars | 1,070 | September 2004 | 262,858,875 | 38,867 | ||||||||||||||
Eurodollars | 250 | December 2004 | 61,125,000 | (119,600 | ) | |||||||||||||
Eurodollars | (143 | ) | June 2005 | (34,631,025 | ) | 342,266 | ||||||||||||
Federal Funds | 153 | July 2004 | 63,047,418 | (428 | ) | |||||||||||||
2 Year U.S. Treasury Notes | (1,326 | ) | June 2004 | (281,837,158 | ) | 1,980,255 | ||||||||||||
5 Year U.S. Treasury Notes | (1,246 | ) | June 2004 | (136,982,125 | ) | 2,087,896 | ||||||||||||
10 Year U.S. Treasury Notes | 10 | June 2004 | 1,105,000 | (21,171 | ) | |||||||||||||
$ | 46,923,110 | $ | 4,736,238 | |||||||||||||||
Ultra-Short Duration Government Fund | Eurodollars | 1,496 | September 2004 | $ | 367,511,100 | $ | 417,095 | |||||||||||
Eurodollars | 1,284 | June 2004 | 316,730,700 | 233,452 | ||||||||||||||
Eurodollars | 250 | December 2004 | 61,125,000 | (91,313 | ) | |||||||||||||
Eurodollars | 90 | March 2005 | 21,898,125 | (107,181 | ) | |||||||||||||
Eurodollars | 88 | September 2005 | 21,226,700 | (121,299 | ) | |||||||||||||
Eurodollars | 5 | June 2005 | 1,210,875 | (6,617 | ) | |||||||||||||
Federal Funds | 445 | July 2004 | 183,373,210 | (1,246 | ) | |||||||||||||
U.S. Treasury Bonds | 241 | June 2004 | 25,809,594 | (1,477,928 | ) | |||||||||||||
10 Year U.S. Treasury Notes | 530 | June 2004 | 58,565,000 | (2,122,091 | ) | |||||||||||||
2 Year U.S. Treasury Notes | (349 | ) | June 2004 | (74,178,860 | ) | 538,882 | ||||||||||||
5 Year U.S. Treasury Notes | (3,924 | ) | June 2004 | (431,394,750 | ) | 8,421,825 | ||||||||||||
$ | 551,876,694 | $ | 5,683,579 | |||||||||||||||
Short Duration Government Fund | Eurodollars | 30 | March 2005 | $ | 7,299,375 | $ | (35,727 | ) | ||||||||||
Eurodollars | 10 | September 2004 | 2,456,625 | 51 | ||||||||||||||
Eurodollars | 9 | September 2005 | 2,170,913 | (12,406 | ) | |||||||||||||
Eurodollars | (100 | ) | June 2004 | (24,667,500 | ) | (340 | ) | |||||||||||
Eurodollars | (8 | ) | June 2005 | (1,937,400 | ) | 19,153 | ||||||||||||
Federal Funds | 207 | July 2004 | 85,299,448 | (580 | ) | |||||||||||||
U.S. Treasury Bonds | 92 | June 2004 | 9,852,625 | (735,391 | ) | |||||||||||||
2 Year U.S. Treasury Notes | 2,244 | June 2004 | 476,955,190 | (3,477,468 | ) | |||||||||||||
5 Year U.S. Treasury Notes | (1,761 | ) | June 2004 | (193,599,938 | ) | 3,541,276 | ||||||||||||
10 Year U.S. Treasury Notes | (106 | ) | June 2004 | (11,713,000 | ) | 101,625 | ||||||||||||
10 Year Interest Rate Swap | (249 | ) | June 2004 | (26,744,156 | ) | 835,286 | ||||||||||||
$ | 325,372,182 | $ | 235,479 | |||||||||||||||
Government Income Fund | Eurodollars | 307 | September 2004 | $ | 75,418,388 | $ | (66,334 | ) | ||||||||||
Eurodollars | 186 | December 2004 | 45,477,000 | (22,212 | ) | |||||||||||||
Eurodollars | 59 | June 2004 | 14,553,825 | (10,938 | ) | |||||||||||||
Eurodollars | 6 | December 2005 | 1,442,325 | 7,470 | ||||||||||||||
Eurodollars | 6 | March 2006 | 1,438,350 | 7,320 | ||||||||||||||
Eurodollars | (98 | ) | June 2005 | (23,733,150 | ) | 234,602 | ||||||||||||
Eurodollars | (35 | ) | September 2005 | (8,442,438 | ) | 88,256 | ||||||||||||
Eurodollars | (34 | ) | March 2005 | (8,272,625 | ) | 70,434 | ||||||||||||
Federal Funds | 230 | July 2004 | 94,777,165 | — | ||||||||||||||
U.S. Treasury Bonds | 317 | June 2004 | 33,948,719 | (1,559,739 | ) | |||||||||||||
2 Year U.S. Treasury Notes | 47 | June 2004 | 9,989,703 | (72,835 | ) | |||||||||||||
5 Year U.S. Treasury Notes | (349 | ) | June 2004 | (38,368,188 | ) | 543,662 | ||||||||||||
10 Year Interest Rate Swap | (136 | ) | June 2004 | (14,607,250 | ) | 456,219 | ||||||||||||
10 Year U.S. Treasury Notes | 192 | June 2004 | 21,216,000 | (423,972 | ) | |||||||||||||
$ | 204,837,824 | $ | (748,067 | ) | ||||||||||||||
U.S. Mortgages Fund | U.S. Treasury Bonds | 57 | June 2004 | $ | 6,104,344 | $ | (330,308 | ) | ||||||||||
5 Year U.S. Treasury Notes | 76 | June 2004 | 8,355,250 | (226,171 | ) | |||||||||||||
10 Year U.S. Treasury Notes | 15 | June 2004 | 1,657,500 | 3,005 | ||||||||||||||
2 Year U.S. Treasury Notes | (15 | ) | June 2004 | (3,188,203 | ) | 23,128 | ||||||||||||
$ | 12,928,891 | $ | (530,346 | ) | ||||||||||||||
4. PORTFOLIO SECURITY TRANSACTIONS (continued) |
Number of | ||||||||||||||||||
Contracts Long | Unrealized | |||||||||||||||||
Fund | Type | (Short) | Settlement Month | Market Value | Gain (Loss) | |||||||||||||
Core Fixed Income Fund | 3 Year Australian Bond | 530 | June 2004 | $ | 38,345,507 | $ | (256,816 | ) | ||||||||||
Eurodollar | 267 | June 2004 | 65,862,225 | (42,175 | ) | |||||||||||||
Eurodollar | 205 | September 2004 | 50,360,813 | (36,965 | ) | |||||||||||||
Eurodollar | 44 | December 2004 | 10,758,000 | 48,580 | ||||||||||||||
Eurodollar | 13 | December 2005 | 3,125,037 | 8,723 | ||||||||||||||
Eurodollar | 13 | March 2006 | 3,116,425 | 7,460 | ||||||||||||||
Eurodollar | 13 | June 2006 | 3,108,788 | 7,110 | ||||||||||||||
Eurodollar | 8 | September 2006 | 1,908,900 | 4,560 | ||||||||||||||
Eurodollar | (106 | ) | June 2005 | (25,670,550 | ) | 253,625 | ||||||||||||
Eurodollar | (54 | ) | September 2005 | (13,025,475 | ) | 136,166 | ||||||||||||
Eurodollar | (26 | ) | March 2005 | (6,326,125 | ) | 53,861 | ||||||||||||
Federal Funds | 183 | July 2004 | 75,409,657 | (512 | ) | |||||||||||||
U.S. Treasury Bonds | 629 | June 2004 | 67,361,969 | (3,045,430 | ) | |||||||||||||
10 Year U.S. Treasury Notes | 927 | June 2004 | 102,433,500 | (3,705,548 | ) | |||||||||||||
5 Year U.S. Treasury Notes | 356 | June 2004 | 39,137,750 | (829,059 | ) | |||||||||||||
2 Year U.S. Treasury Notes | 338 | June 2004 | 71,840,844 | (523,790 | ) | |||||||||||||
$ | 487,747,265 | $ | (7,920,210 | ) | ||||||||||||||
Investment Grade Credit Fund | U.S. Treasury Bonds | 7 | June 2004 | $ | 749,656 | $ | (12,520 | ) | ||||||||||
2 Year U.S. Treasury Notes | 6 | June 2004 | 1,275,281 | (9,298 | ) | |||||||||||||
5 Year U.S. Treasury Notes | 28 | June 2004 | 3,078,250 | (79,250 | ) | |||||||||||||
10 Year U.S. Treasury Notes | (42 | ) | June 2004 | (4,641,000 | ) | 120,750 | ||||||||||||
10 Year Interest Rate Swap | (2 | ) | June 2004 | (214,812 | ) | 6,708 | ||||||||||||
$ | 247,375 | $ | 26,390 | |||||||||||||||
Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net interest payment to be received by the Funds, and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a swap contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index.
The Funds record unrealized gains or losses on a daily basis representing the value and the current net receivable or payable relating to open swap contracts. Net amounts received or paid on the swap contracts are recorded as realized gains or losses.
Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap contracts. Realized gains and losses from terminated swaps are included in net realized gains/losses on swap contracts. At April 30, 2004, Core Fixed Income Fund had outstanding swap contracts with the following terms:
4. PORTFOLIO SECURITY TRANSACTIONS (continued) |
Rate Type | ||||||||||||||||||||||
Notional | Payments | Payments | Unrealized | |||||||||||||||||||
Swap | Amount | Termination | made by | received by | Appreciation/ | |||||||||||||||||
Fund | Swap Type | Counterparty | (000s) | Date | the Fund | the Fund | (Depreciation) | |||||||||||||||
Core Fixed Income | Interest Rate | Banc of America | $32,000 | 06/19/2012 | 5.4125% | 3 month LIBOR | $ | (2,106,547 | ) | |||||||||||||
Securities LLC | Floating | |||||||||||||||||||||
Interest Rate | Banc of America | 55,800 | 06/20/2012 | 5.4076% | 3 month LIBOR | (3,632,696 | ) | |||||||||||||||
Securities LLC | Floating | |||||||||||||||||||||
Interest Rate | Banc of America | 14,200 | 06/25/2012 | 5.2755% | 3 month LIBOR | (774,727 | ) | |||||||||||||||
Securities LLC | Floating | |||||||||||||||||||||
Interest Rate | Banc of America | 26,000 | 07/05/2012 | 5.2886% | 3 month LIBOR | (1,424,510 | ) | |||||||||||||||
Securities LLC | Floating | �� | ||||||||||||||||||||
Interest Rate | Banc of America | 30,000 | 12/10/2012 | 4.5612% | 3 month LIBOR | 10,782 | ||||||||||||||||
Securities LLC | Floating | |||||||||||||||||||||
$ | (7,927,698 | ) | ||||||||||||||||||||
LIBOR — London Interbank Offered Rate
5. JOINT REPURCHASE AGREEMENT ACCOUNT |
At April 30, 2004, Enhanced Income, Ultra-Short Duration Government, Short Duration Government, Government Income, U.S. Mortgages, Core Fixed Income and Investment Grade Credit Funds had undivided interests in the following Joint Repurchase Agreement Account II which equaled $130,600,000, $307,300,000, $47,200,000, $76,000,000, $115,300,000, $94,200,000 and $800,000, respectively, in principal amount. At April 30, 2004, the following repurchase agreements held in this joint account were fully collateralized by Federal Agency obligations.
Principal | Interest | Maturity | Maturity | |||||||||||
Repurchase Agreements | Amount | Rate | Date | Value | ||||||||||
ABN AMRO, Inc. | $ | 500,000,000 | 1.04 | % | 05/03/2004 | $ | 500,043,333 | |||||||
Banc of America Securities LLC | 1,200,000,000 | 1.04 | 05/03/2004 | 1,200,104,000 | ||||||||||
Barclays Capital LLC | 600,000,000 | 1.04 | 05/03/2004 | 600,052,000 | ||||||||||
Bear Stearns & Co. | 300,000,000 | 1.06 | 05/03/2004 | 300,026,500 | ||||||||||
Credit Suisse First Boston Corp. | 925,000,000 | 1.05 | 05/03/2004 | 925,080,938 | ||||||||||
Credit Suisse First Boston Corp. | 300,000,000 | 1.06 | 05/03/2004 | 300,026,500 | ||||||||||
Deutsche Bank Securities, Inc. | 250,000,000 | 1.05 | 05/03/2004 | 250,021,875 | ||||||||||
Greenwich Capital Markets | 400,000,000 | 1.05 | 05/03/2004 | 400,035,000 | ||||||||||
J.P. Morgan Chase & Co. | 455,500,000 | 1.05 | 05/03/2004 | 455,539,856 | ||||||||||
Lehman Brothers | 100,000,000 | 1.05 | 05/03/2004 | 100,008,750 | ||||||||||
Morgan Stanley & Co. | 600,000,000 | 1.04 | 05/03/2004 | 600,052,000 | ||||||||||
UBS LLC | 875,000,000 | 1.05 | 05/03/2004 | 875,076,563 | ||||||||||
Westdeutsche Landesbank AG | 600,000,000 | 1.04 | 05/03/2004 | 600,052,000 | ||||||||||
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT II | $ | 7,105,500,000 | $ | 7,106,119,315 | ||||||||||
6. LINE OF CREDIT FACILITY |
7. OTHER MATTERS |
Legal Proceedings — Purported class and derivative action lawsuits were filed April and May 2004 in the United States District Court for the Southern District of New York against GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. Since April 2nd several additional lawsuits have been filed against the same dependents. The actions allege violations of the Act, the Investment Advisers Act of 1940 and common law breach of fiduciary duty. The complaints allege, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM charged the Goldman Sachs Funds improper Rule 12b-1 fees; made improper brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds; and made untrue statements of material fact in registration statements and reports filed pursuant to the Act. Based on currently available information, GSAM believes that the likelihood that the purported class action lawsuits will have a material adverse financial impact on the Funds is remote, and the pending actions are not likely to materially affect its ability to provide investment management services to its clients, including the Goldman Sachs Funds.
8. ADDITIONAL TAX INFORMATION |
Ultra-Short | |||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | |||||||||||||||||
Income | Government | Government | Income | Income | |||||||||||||||||
Timing differences (dividends payable, straddles) | $ | (290,091 | ) | $ | (2,266,374 | ) | $ | (548,843 | ) | $ | (147,665 | ) | $ | (1,365,552 | ) | ||||||
Capital loss carryforward: | |||||||||||||||||||||
Expiring 2004 | — | (1,145,861 | ) | (871,596 | ) | — | — | ||||||||||||||
Expiring 2005 | — | — | (136,643 | ) | — | — | |||||||||||||||
Expiring 2006 | — | (304,645 | ) | — | — | — | |||||||||||||||
Expiring 2007 | — | (1,739,320 | ) | (3,752,449 | ) | — | — | ||||||||||||||
Expiring 2008 | — | (2,563,050 | ) | (2,289,664 | ) | — | — | ||||||||||||||
Expiring 2009 | (8,296,566 | ) | — | — | — | — | |||||||||||||||
Expiring 2010 | (65,331,932 | ) | (55,038,717 | ) | — | — | — | ||||||||||||||
Expiring 2011 | (55,738,584 | ) | (2,359,021 | ) | — | — | |||||||||||||||
— | — | — | — | — | |||||||||||||||||
Total capital loss carryforward: | $ | (73,628,498 | ) | $ | (116,530,177 | ) | $ | (9,409,373 | ) | $ | — | $ | — | ||||||||
8. ADDITIONAL TAX INFORMATION (continued) |
Ultra-Short | Investment | ||||||||||||||||||||||||||||
Enhanced | Duration | Short Duration | Government | Core Fixed | Grade | ||||||||||||||||||||||||
Income | Government | Government | Income | U.S. Mortgage | Income | Credit | |||||||||||||||||||||||
Tax Cost | $ | 1,189,366,372 | $ | 1,826,428,174 | $ | 894,453,849 | $ | 703,365,208 | $ | 333,979,104 | $ | 1,336,074,311 | $ | 31,937,344 | |||||||||||||||
Gross unrealized gain | 12,529,383 | 6,147,628 | 5,818,305 | (1,145,568 | ) | 154,129 | 4,221,515 | 68,356 | |||||||||||||||||||||
Gross unrealized loss | (2,975,612 | ) | (14,715,352 | ) | (13,598,926 | ) | (3,227,581 | ) | (2,215,664 | ) | (3,871,575 | ) | (525,637 | ) | |||||||||||||||
Net unrealized security gain (loss) | $ | 9,553,771 | $ | (8,567,724 | ) | $ | (7,780,621 | ) | $ | (4,373,149 | ) | $ | (2,061,535 | ) | $ | 349,940 | $ | (457,281 | ) | ||||||||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains on futures and foreign currency contracts recognized for tax purposes and differing treatment of amortization of market premium.
Notes to Financial Statements (continued)
9. SUMMARY OF SHARE TRANSACTIONS |
Ultra-Short Duration | ||||||||||||||||||||||||
Enhanced Income Fund | Government Fund | Short Duration Government Fund | ||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 8,983,345 | $ | 89,386,604 | 15,781,277 | $ | 149,252,471 | 8,240,898 | $ | 82,517,690 | |||||||||||||||
Reinvestment of dividends and distributions | 349,309 | 3,472,454 | 760,000 | 7,182,961 | 380,855 | 3,806,434 | ||||||||||||||||||
Shares repurchased | (24,882,253 | ) | (247,371,176 | ) | (48,367,117 | ) | (457,499,846 | ) | (11,192,261 | ) | (111,906,921 | ) | ||||||||||||
(15,549,599 | ) | (154,512,118 | ) | (31,825,840 | ) | (301,064,414 | ) | (2,570,508 | ) | (25,582,797 | ) | |||||||||||||
Class B Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | 342,418 | 3,417,504 | ||||||||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | 40,793 | 406,331 | ||||||||||||||||||
Shares repurchased | — | — | — | — | (1,106,695 | ) | (11,041,564 | ) | ||||||||||||||||
— | — | — | — | (723,484 | ) | (7,217,729 | ) | |||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | 792,905 | 7,892,433 | ||||||||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | 84,552 | 840,080 | ||||||||||||||||||
Shares repurchased | — | — | — | — | (3,340,472 | ) | (33,236,283 | ) | ||||||||||||||||
— | — | — | — | (2,463,015 | ) | (24,503,770 | ) | |||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Shares sold | 35,320,961 | 350,634,890 | 51,964,083 | 492,081,455 | 17,306,243 | 172,846,286 | ||||||||||||||||||
Reinvestment of dividends and distributions | 1,346,814 | 13,371,313 | 1,989,942 | 18,841,197 | 594,307 | 5,925,566 | ||||||||||||||||||
Shares repurchased | (51,704,828 | ) | (513,610,270 | ) | (118,418,231 | ) | (1,121,996,888 | ) | (19,713,407 | ) | (196,824,794 | ) | ||||||||||||
(15,037,053 | ) | (149,604,067 | ) | (64,463,206 | ) | (611,074,236 | ) | (1,812,857 | ) | (18,052,942 | ) | |||||||||||||
Administration Shares | ||||||||||||||||||||||||
Shares sold | 337,309 | 3,360,347 | — | — | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 70,863 | 704,154 | — | — | — | — | ||||||||||||||||||
Shares repurchased | (456,177 | ) | (4,535,555 | ) | — | — | — | — | ||||||||||||||||
(48,005 | ) | (471,054 | ) | — | — | — | — | |||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Shares sold | — | — | 569,671 | 5,403,923 | 90,353 | 900,676 | ||||||||||||||||||
Reinvestment of dividends and distributions | — | — | 76,733 | 727,580 | 8,532 | 84,944 | ||||||||||||||||||
Shares repurchased | — | — | (2,483,698 | ) | (23,573,105 | ) | (168,538 | ) | (1,677,391 | ) | ||||||||||||||
— | — | (1,837,294 | ) | (17,441,602 | ) | (69,653 | ) | (691,771 | ) | |||||||||||||||
Separate Account Institutional Shares | ||||||||||||||||||||||||
Shares sold | — | — | — | — | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | — | — | ||||||||||||||||||
Shares repurchased | — | — | — | — | — | — | ||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
NET INCREASE (DECREASE) | (30,634,657 | ) | $ | (304,587,239 | ) | (98,126,340 | ) | $ | (929,580,252 | ) | (7,639,517 | ) | $ | (76,049,009 | ) | |||||||||
(a) | Commencement date of operations was November 3, 2003 for all share classes. |
Government Income Fund | U.S. Mortgage Fund(a) | Core Fixed Income Fund | Investment Grade Credit Fund(a) | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
9,051,785 | $ | 135,299,900 | 528,702 | $ | 5,336,075 | 12,063,256 | $ | 123,281,700 | 127 | $ | 1,275 | |||||||||||||||||||||
611,437 | 9,097,535 | 316 | 3,177 | 1,875,448 | 18,929,903 | 2 | 20 | |||||||||||||||||||||||||
(4,546,923 | ) | (67,957,539 | ) | — | — | (11,444,271 | ) | (117,246,185 | ) | (5 | ) | (52 | ) | |||||||||||||||||||
5,116,299 | 76,439,896 | 529,018 | 5,339,252 | 2,494,433 | 24,965,418 | 124 | 1,243 | |||||||||||||||||||||||||
62,846 | 941,871 | — | — | 304,879 | 3,132,412 | — | — | |||||||||||||||||||||||||
40,380 | 600,546 | — | — | 124,196 | 1,257,601 | — | — | |||||||||||||||||||||||||
(549,735 | ) | (8,213,848 | ) | — | — | (551,086 | ) | (5,646,275 | ) | — | — | |||||||||||||||||||||
(446,509 | ) | (6,671,431 | ) | — | — | (122,011 | ) | (1,256,262 | ) | — | — | |||||||||||||||||||||
223,223 | 3,334,458 | — | — | 563,163 | 5,774,459 | — | — | |||||||||||||||||||||||||
24,098 | 358,150 | — | — | 101,867 | 1,031,769 | — | — | |||||||||||||||||||||||||
(350,719 | ) | (5,236,295 | ) | — | — | (571,657 | ) | (5,848,787 | ) | — | — | |||||||||||||||||||||
(103,398 | ) | (1,543,687 | ) | — | — | 93,373 | 957,441 | — | — | |||||||||||||||||||||||
2,734,168 | 40,850,638 | 16,853,890 | 169,876,321 | 12,415,363 | 127,475,536 | 2,849,465 | 29,162,267 | |||||||||||||||||||||||||
249,367 | 3,705,687 | 78,618 | 793,775 | 2,817,974 | 28,527,883 | 25,286 | 258,003 | |||||||||||||||||||||||||
(4,086,996 | ) | (60,900,041 | ) | (1,530,563 | ) | (15,452,720 | ) | (16,754,616 | ) | (171,684,007 | ) | (240,811 | ) | (2,457,022 | ) | |||||||||||||||||
(1,103,461 | ) | (16,343,716 | ) | 15,401,945 | 155,217,376 | (1,521,279 | ) | (15,680,588 | ) | 2,633,940 | 26,963,248 | |||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||
118,164 | 1,766,127 | — | — | 241,000 | 2,482,130 | — | — | |||||||||||||||||||||||||
14,657 | 217,664 | — | — | 98,186 | 993,965 | — | — | |||||||||||||||||||||||||
(263,031 | ) | (3,911,370 | ) | — | — | (601,755 | ) | (6,123,366 | ) | — | — | |||||||||||||||||||||
(130,210 | ) | (1,927,579 | ) | — | — | (262,569 | ) | (2,647,271 | ) | — | — | |||||||||||||||||||||
— | — | 7,610,351 | 77,049,886 | — | — | 1,198,953 | 12,114,534 | |||||||||||||||||||||||||
— | — | 63,050 | 635,058 | — | — | 10,256 | 104,542 | |||||||||||||||||||||||||
— | — | (1,079,367 | ) | (10,930,562 | ) | — | — | (581,453 | ) | (5,998,943 | ) | |||||||||||||||||||||
— | — | 6,594,034 | 66,754,382 | — | — | 627,756 | 6,220,133 | |||||||||||||||||||||||||
3,332,721 | $ | 49,953,483 | 22,524,997 | $ | 227,311,010 | 681,947 | $ | 6,338,738 | 3,261,820 | $ | 33,184,624 | |||||||||||||||||||||
10. SUMMARY OF SHARE TRANSACTIONS (continued) |
Enhanced Income Fund | Ultra-Short Duration Government Fund | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 65,456,177 | $ | 661,622,273 | 146,423,912 | $ | 1,410,435,060 | ||||||||||
Reinvestment of dividends and distributions | 1,684,399 | 16,999,110 | 2,803,599 | 26,881,638 | ||||||||||||
Shares repurchased | (109,315,236 | ) | (1,103,682,746 | ) | (171,594,868 | ) | (1,646,981,161 | ) | ||||||||
(42,174,660 | ) | (425,061,363 | ) | (22,367,357 | ) | (209,664,463 | ) | |||||||||
Class B Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | — | — | — | — | ||||||||||||
Shares repurchased | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 117,184,438 | 1,181,967,068 | 244,394,701 | 2,357,120,730 | ||||||||||||
Reinvestment of dividends and distributions | 4,854,670 | 48,898,987 | 8,104,579 | 77,851,495 | ||||||||||||
Shares repurchased | (215,827,653 | ) | (2,176,366,565 | ) | (318,463,748 | ) | (3,059,004,328 | ) | ||||||||
(93,788,545 | ) | (945,500,510 | ) | (65,964,468 | ) | (624,032,103 | ) | |||||||||
Administration Shares | ||||||||||||||||
Shares sold | 4,347,061 | 43,528,534 | — | — | ||||||||||||
Reinvestment of dividends and distributions | 62,718 | 631,730 | — | — | ||||||||||||
Shares repurchased | (1,231,150 | ) | (12,379,974 | ) | — | — | ||||||||||
3,178,629 | 31,780,290 | — | — | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | — | — | 9,363,528 | 90,437,843 | ||||||||||||
Reinvestment of dividends and distributions | — | — | 211,958 | 2,036,535 | ||||||||||||
Shares repurchased | — | — | (6,172,110 | ) | (59,334,139 | ) | ||||||||||
— | — | 3,403,376 | 33,140,239 | |||||||||||||
NET INCREASE (DECREASE) | (132,784,576 | ) | $ | (1,338,781,583 | ) | (84,928,449 | ) | $ | (800,556,327 | ) | ||||||
Short Duration Government Fund | Government Income Fund | Core Fixed Income Fund | ||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
34,679,335 | $ | 349,718,569 | 28,548,952 | $ | 427,867,919 | 32,936,995 | $ | 339,155,806 | ||||||||||||||||
781,611 | 7,869,461 | 673,983 | 10,093,885 | 1,308,325 | 13,467,379 | |||||||||||||||||||
(28,060,554 | ) | (282,600,578 | ) | (21,797,608 | ) | (326,251,585 | ) | (22,423,478 | ) | (230,101,755 | ) | |||||||||||||
7,400,392 | 74,987,452 | 7,425,327 | 111,710,219 | 11,821,842 | 122,521,430 | |||||||||||||||||||
2,172,651 | 21,866,144 | 957,324 | 14,345,247 | 1,167,578 | 12,048,230 | |||||||||||||||||||
107,486 | 1,079,118 | 66,703 | 999,317 | 90,401 | 933,176 | |||||||||||||||||||
(2,141,898 | ) | (21,476,988 | ) | (1,478,691 | ) | (22,110,142 | ) | (1,249,253 | ) | (12,887,682 | ) | |||||||||||||
138,239 | 1,468,274 | (454,664 | ) | (6,765,578 | ) | 8,726 | 93,724 | |||||||||||||||||
9,579,035 | 96,198,651 | 2,079,385 | 31,166,416 | 1,570,710 | 16,243,528 | |||||||||||||||||||
187,872 | 1,881,220 | 34,855 | 521,783 | 64,748 | 668,654 | |||||||||||||||||||
(6,148,788 | ) | (61,591,248 | ) | (2,131,999 | ) | (31,887,869 | ) | (1,178,563 | ) | (12,186,099 | ) | |||||||||||||
3,618,119 | 36,488,623 | (17,759 | ) | (199,670 | ) | 456,895 | 4,726,083 | |||||||||||||||||
43,186,720 | 435,088,652 | 8,277,365 | 124,464,068 | 27,124,226 | 280,669,851 | |||||||||||||||||||
1,155,806 | 11,609,130 | 313,592 | 4,689,493 | 2,178,746 | 22,476,578 | |||||||||||||||||||
(30,437,226 | ) | (306,089,408 | ) | (3,947,560 | ) | (59,134,765 | ) | (34,831,812 | ) | (359,173,888 | ) | |||||||||||||
13,905,300 | 140,608,374 | 4,643,397 | 70,018,796 | (5,528,840 | ) | (56,027,459 | ) | |||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
387,334 | 3,885,612 | 305,762 | 4,568,405 | 679,136 | 6,997,755 | |||||||||||||||||||
31,215 | 313,455 | 28,019 | 418,928 | 92,861 | 956,914 | |||||||||||||||||||
(937,230 | ) | (9,409,189 | ) | (348,556 | ) | (5,207,467 | ) | (1,610,472 | ) | (16,556,114 | ) | |||||||||||||
(518,681 | ) | (5,210,122 | ) | (14,775 | ) | (220,134 | ) | (838,475 | ) | (8,601,445 | ) | |||||||||||||
24,543,369 | $ | 248,342,601 | 11,581,526 | $ | 174,543,633 | 5,920,148 | $ | 62,712,333 | ||||||||||||||||
Distributions | ||||||||||||||||||||||||||||
Income (loss) from | to | |||||||||||||||||||||||||||
investment operations | Shareholders | |||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | Net asset | |||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | value, end | |||||||||||||||||||||||
of period | income(c) | gain (loss) | operations | income | of period | |||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 9.99 | $ | 0.14 | $ | (0.10 | ) | $ | 0.04 | $ | (0.14 | ) | $ | 9.89 | ||||||||||||||
2004 - Institutional Shares | 9.98 | 0.16 | (0.10 | ) | 0.06 | (0.16 | ) | 9.88 | ||||||||||||||||||||
2004 - Administration Shares | 9.99 | 0.14 | (0.10 | ) | 0.04 | (0.14 | ) | 9.89 | ||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||
2003 - Class A Shares | 10.13 | 0.33 | (0.15 | ) | 0.18 | (0.32 | ) | 9.99 | ||||||||||||||||||||
2003 - Institutional Shares | 10.12 | 0.37 | (0.15 | ) | 0.22 | (0.36 | ) | 9.98 | ||||||||||||||||||||
2003 - Administration Shares | 10.13 | 0.33 | (0.14 | ) | 0.19 | (0.33 | ) | 9.99 | ||||||||||||||||||||
2002 - Class A Shares | 10.26 | 0.38 | (0.13 | ) | 0.25 | (0.38 | ) | 10.13 | ||||||||||||||||||||
2002 - Institutional Shares | 10.26 | 0.42 | (0.14 | ) | 0.28 | (0.42 | ) | 10.12 | ||||||||||||||||||||
2002 - Administration Shares | 10.27 | 0.40 | (0.14 | ) | 0.26 | (0.40 | ) | 10.13 | ||||||||||||||||||||
2001 - Class A Shares | 10.00 | 0.45 | 0.34 | 0.79 | (0.53 | ) | 10.26 | |||||||||||||||||||||
2001 - Institutional Shares | 10.00 | 0.55 | 0.28 | 0.83 | (0.57 | ) | 10.26 | |||||||||||||||||||||
2001 - Administration Shares | 10.00 | 0.49 | 0.32 | 0.81 | (0.54 | ) | 10.27 | |||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||
2000 - Class A Shares (commenced August 2, 2000) | 10.00 | 0.11 | 0.06 | 0.17 | (0.17 | ) | 10.00 | |||||||||||||||||||||
2000 - Institutional Shares (commenced August 2, 2000) | 10.00 | 0.16 | 0.01 | 0.17 | (0.17 | ) | 10.00 | |||||||||||||||||||||
2000 - Administration Shares (commenced August 2, 2000) | 10.00 | 0.15 | 0.02 | 0.17 | (0.17 | ) | 10.00 | |||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
Ratios assuming no | ||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||
at end of | net expenses | income to | expenses | income to | Portfolio | |||||||||||||||||||||||||
Total | of period | to average | average net | to average | average net | turnover | ||||||||||||||||||||||||
return(a) | (in 000s) | net assets | assets | net assets | assets | rate | ||||||||||||||||||||||||
0.36 | % | $ | 220,728 | 0.65 | %(b) | 2.75 | %(b) | 0.72 | %(b) | 2.68 | %(b) | 24 | % | |||||||||||||||||
0.56 | 946,972 | 0.25 | (b) | 3.15 | (b) | 0.32 | (b) | 3.08 | (b) | 24 | ||||||||||||||||||||
0.43 | 49,468 | 0.50 | (b) | 2.88 | (b) | 0.57 | (b) | 2.81 | (b) | 24 | ||||||||||||||||||||
1.77 | 378,378 | 0.65 | 3.28 | 0.71 | 3.22 | 41 | ||||||||||||||||||||||||
2.18 | 1,106,956 | 0.25 | 3.65 | 0.31 | 3.59 | 41 | ||||||||||||||||||||||||
1.93 | 50,463 | 0.50 | 3.34 | 0.56 | 3.28 | 41 | ||||||||||||||||||||||||
2.48 | 810,768 | 0.65 | 3.70 | 0.72 | 3.63 | 65 | ||||||||||||||||||||||||
2.79 | 2,071,378 | 0.25 | 4.17 | 0.32 | 4.10 | 65 | ||||||||||||||||||||||||
2.53 | 18,965 | 0.50 | 3.91 | 0.57 | 3.84 | 65 | ||||||||||||||||||||||||
8.10 | 151,497 | 0.65 | 4.60 | 0.80 | 4.45 | 127 | ||||||||||||||||||||||||
8.53 | 807,871 | 0.25 | 5.40 | 0.40 | 5.25 | 127 | ||||||||||||||||||||||||
8.35 | 5,320 | 0.50 | 4.80 | 0.65 | 4.65 | 127 | ||||||||||||||||||||||||
1.66 | 12,336 | 0.65 | (b) | 4.52 | (b) | 1.77 | (b) | 3.40 | (b) | 31 | ||||||||||||||||||||
1.76 | 156,525 | 0.25 | (b) | 6.49 | (b) | 1.37 | (b) | 5.37 | (b) | 31 | ||||||||||||||||||||
1.68 | 2 | 0.50 | (b) | 6.13 | (b) | 1.62 | (b) | 5.01 | (b) | 31 | ||||||||||||||||||||
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | From | Total | ||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | capital | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 9.47 | $ | 0.10 | (c) | $ | — | $ | 0.10 | $ | (0.15 | ) | $ | — | $ | (0.15 | ) | |||||||||||||||
2004 - Institutional Shares | 9.48 | 0.12 | (c) | — | 0.12 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||||
2004 - Service Shares | 9.50 | 0.09 | (c) | 0.01 | 0.10 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 9.66 | 0.24 | (c) | (0.11 | ) | 0.13 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||||
2003 - Institutional Shares | 9.68 | 0.28 | (c) | (0.12 | ) | 0.16 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||||
2003 - Service Shares | 9.69 | 0.23 | (c) | (0.11 | ) | 0.12 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||||
2002 - Class A Shares | 9.79 | 0.31 | (c)(f) | (0.06 | )(f) | 0.25 | (0.38 | ) | — | (0.38 | ) | |||||||||||||||||||||
2002 - Institutional Shares | 9.81 | 0.35 | (c)(f) | (0.06 | )(f) | 0.29 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||||
2002 - Service Shares | 9.82 | 0.31 | (c)(f) | (0.07 | )(f) | 0.24 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||||
2001 - Class A Shares | 9.56 | 0.53 | (c) | 0.23 | 0.76 | (0.53 | ) | — | (0.53 | ) | ||||||||||||||||||||||
2001 - Institutional Shares | 9.58 | 0.56 | (c) | 0.24 | 0.80 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||||
2001 - Service Shares | 9.58 | 0.42 | (c) | 0.34 | 0.76 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||||||
2000 - Class A Shares | 9.63 | 0.54 | (c) | (0.06 | ) | 0.48 | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||||
2000 - Institutional Shares | 9.64 | 0.58 | (c) | (0.05 | ) | 0.53 | (0.59 | ) | — | (0.59 | ) | |||||||||||||||||||||
2000 - Service Shares | 9.65 | 0.52 | (c) | (0.05 | ) | 0.47 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||||
1999 - Class A Shares | 9.69 | 0.49 | (0.05 | ) | 0.44 | (0.44 | ) | (0.06 | ) | (0.50 | ) | |||||||||||||||||||||
1999 - Institutional Shares | 9.70 | 0.53 | (0.05 | ) | 0.48 | (0.48 | ) | (0.06 | ) | (0.54 | ) | |||||||||||||||||||||
1999 - Administration Shares(e) | 9.70 | 0.37 | (c) | 0.01 | 0.38 | (0.33 | ) | (0.04 | ) | (0.37 | ) | |||||||||||||||||||||
1999 - Service Shares | 9.70 | 0.48 | (0.04 | ) | 0.44 | (0.43 | ) | (0.06 | ) | (0.49 | ) | |||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | Administration Class shares were liquidated on July 20,1999. Ending net asset value shown as of July 20, 1999. |
(f) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.05, increase net realized and unrealized gains and losses per share by $0.05, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.48%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 9.42 | 1.04 | % | $ | 465,216 | 0.88 | %(b) | 2.21 | %(b) | 0.88 | %(b) | 2.21 | %(b) | 30 | % | |||||||||||||||||||
9.43 | 1.24 | 1,349,257 | 0.48 | (b) | 2.61 | (b) | 0.48 | (b) | 2.61 | (b) | 30 | |||||||||||||||||||||||
9.46 | 1.09 | 49,840 | 0.98 | (b) | 2.08 | (b) | 0.98 | (b) | 2.08 | (b) | 30 | |||||||||||||||||||||||
$ | 9.47 | 1.40 | 768,910 | 0.86 | 2.55 | 0.86 | 2.55 | 102 | ||||||||||||||||||||||||||
9.48 | 1.69 | 1,967,845 | 0.46 | 2.95 | 0.46 | 2.95 | 102 | |||||||||||||||||||||||||||
9.50 | 1.29 | 67,480 | 0.96 | 2.43 | 0.96 | 2.43 | 102 | |||||||||||||||||||||||||||
9.66 | 2.57 | 1,000,977 | 0.88 | 3.21 | (f) | 0.88 | 3.21 | (f) | 144 | |||||||||||||||||||||||||
9.68 | 2.98 | 2,646,847 | 0.48 | 3.65 | (f) | 0.48 | 3.65 | (f) | 144 | |||||||||||||||||||||||||
9.69 | 2.46 | 35,883 | 0.98 | 3.20 | (f) | 0.98 | 3.20 | (f) | 144 | |||||||||||||||||||||||||
9.79 | 8.21 | 59,209 | 0.89 | 5.48 | 0.97 | 5.40 | 87 | |||||||||||||||||||||||||||
9.81 | 8.62 | 278,316 | 0.49 | 5.79 | 0.57 | 5.71 | 87 | |||||||||||||||||||||||||||
9.82 | 8.19 | 31,698 | 0.99 | 4.52 | 1.07 | 4.44 | 87 | |||||||||||||||||||||||||||
9.56 | 5.12 | 41,188 | 0.89 | 5.67 | 0.96 | 5.60 | 11 | |||||||||||||||||||||||||||
9.58 | 5.65 | 176,881 | 0.49 | 6.01 | 0.56 | 5.94 | 11 | |||||||||||||||||||||||||||
9.58 | 4.95 | 71 | 0.99 | 5.33 | 1.06 | 5.26 | 11 | |||||||||||||||||||||||||||
9.63 | 4.65 | 22,862 | 0.89 | 5.15 | 0.93 | 5.11 | 39 | |||||||||||||||||||||||||||
9.64 | 5.06 | 315,024 | 0.49 | 5.49 | 0.53 | 5.45 | 39 | |||||||||||||||||||||||||||
9.71 | (e) | 4.02 | — | 0.74 | (b) | 5.35 | (b) | 0.78 | (b) | 5.31 | (b) | 39 | ||||||||||||||||||||||
9.65 | 4.65 | 797 | 0.99 | 4.99 | 1.03 | 4.95 | 39 | |||||||||||||||||||||||||||
Income (loss) from | Distributions to | |||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | Net asset | |||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | value, end | |||||||||||||||||||||||
of period | income | gains (loss) | operations | income | of period | |||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 9.99 | $ | 0.12 | (c) | $ | (0.02 | ) | $ | 0.10 | $ | (0.16 | ) | $ | 9.93 | |||||||||||||
2004 - Class B Shares | 9.95 | 0.09 | (c) | (0.02 | ) | 0.07 | (0.13 | ) | 9.89 | |||||||||||||||||||
2004 - Class C Shares | 9.93 | 0.09 | (c) | (0.03 | ) | 0.06 | (0.12 | ) | 9.87 | |||||||||||||||||||
2004 - Institutional Shares | 9.96 | 0.14 | (c) | (0.02 | ) | 0.12 | (0.18 | ) | 9.90 | |||||||||||||||||||
2004 - Service Shares | 9.95 | 0.12 | (c) | (0.03 | ) | 0.09 | (0.15 | ) | 9.89 | |||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||
2003 - Class A Shares | 10.12 | 0.35 | (c) | (0.14 | ) | 0.21 | (0.34 | ) | 9.99 | |||||||||||||||||||
2003 - Class B Shares | 10.09 | 0.29 | (c) | (0.15 | ) | 0.14 | (0.28 | ) | 9.95 | |||||||||||||||||||
2003 - Class C Shares | 10.07 | 0.27 | (c) | (0.14 | ) | 0.13 | (0.27 | ) | 9.93 | |||||||||||||||||||
2003 - Institutional Shares | 10.10 | 0.39 | (c) | (0.15 | ) | 0.24 | (0.38 | ) | 9.96 | |||||||||||||||||||
2003 - Service Shares | 10.09 | 0.34 | (c) | (0.15 | ) | 0.19 | (0.33 | ) | 9.95 | |||||||||||||||||||
2002 - Class A Shares | 10.04 | 0.37 | (c)(f) | 0.14 | (f) | 0.51 | (0.43 | ) | 10.12 | |||||||||||||||||||
2002 - Class B Shares | 10.01 | 0.31 | (c)(f) | 0.14 | (f) | 0.45 | (0.37 | ) | 10.09 | |||||||||||||||||||
2002 - Class C Shares | 9.99 | 0.28 | (c)(f) | 0.16 | (f) | 0.44 | (0.36 | ) | 10.07 | |||||||||||||||||||
2002 - Institutional Shares | 10.02 | 0.42 | (c)(f) | 0.13 | (f) | 0.55 | (0.47 | ) | 10.10 | |||||||||||||||||||
2002 - Service Shares | 10.01 | 0.37 | (c)(f) | 0.13 | (f) | 0.50 | (0.42 | ) | 10.09 | |||||||||||||||||||
2001 - Class A Shares | 9.49 | 0.51 | (c) | 0.60 | 1.11 | (0.56 | ) | 10.04 | ||||||||||||||||||||
2001 - Class B Shares | 9.46 | 0.47 | (c) | 0.58 | 1.05 | (0.50 | ) | 10.01 | ||||||||||||||||||||
2001 - Class C Shares | 9.45 | 0.44 | (c) | 0.58 | 1.02 | (0.48 | ) | 9.99 | ||||||||||||||||||||
2001 - Institutional Shares | 9.47 | 0.57 | (c) | 0.58 | 1.15 | (0.60 | ) | 10.02 | ||||||||||||||||||||
2001 - Service Shares | 9.46 | 0.53 | (c) | 0.57 | 1.10 | (0.55 | ) | 10.01 | ||||||||||||||||||||
2000 - Class A Shares | 9.57 | 0.59 | (c) | (0.07 | ) | 0.52 | (0.60 | ) | 9.49 | |||||||||||||||||||
2000 - Class B Shares | 9.56 | 0.53 | (c) | (0.09 | ) | 0.44 | (0.54 | ) | 9.46 | |||||||||||||||||||
2000 - Class C Shares | 9.54 | 0.51 | (c) | (0.07 | ) | 0.44 | (0.53 | ) | 9.45 | |||||||||||||||||||
2000 - Institutional Shares | 9.57 | 0.63 | (c) | (0.09 | ) | 0.54 | (0.64 | ) | 9.47 | |||||||||||||||||||
2000 - Service Shares | 9.56 | 0.58 | (c) | (0.09 | ) | 0.49 | (0.59 | ) | 9.46 | |||||||||||||||||||
1999 - Class A Shares | 9.91 | 0.55 | (0.36 | ) | 0.19 | (0.53 | ) | 9.57 | ||||||||||||||||||||
1999 - Class B Shares | 9.88 | 0.48 | (0.33 | ) | 0.15 | (0.47 | ) | 9.56 | ||||||||||||||||||||
1999 - Class C Shares | 9.88 | 0.47 | (0.36 | ) | 0.11 | (0.45 | ) | 9.54 | ||||||||||||||||||||
1999 - Institutional Shares | 9.90 | 0.59 | (0.35 | ) | 0.24 | (0.57 | ) | 9.57 | ||||||||||||||||||||
1999 - Administration Shares(e) | 9.91 | 0.40 | (c) | (0.25 | ) | 0.15 | (0.39 | ) | 9.67 | (b) | ||||||||||||||||||
1999 - Service Shares | 9.89 | 0.54 | (0.35 | ) | 0.19 | (0.52 | ) | 9.56 | ||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | Administration Class shares were liquidated on July 20,1999. Ending net asset value shown as of July 20, 1999. |
(f) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reduction by 0.63%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
Ratios assuming no | ||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||
at end of | net expenses | income to | expenses | income to | Portfolio | |||||||||||||||||||||||||
Total | period | to average | average net | to average | average net | turnover | ||||||||||||||||||||||||
return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | ||||||||||||||||||||||||
0.96 | % | $ | 289,967 | 0.94 | %(b) | 2.59 | %(b) | 1.00 | %(b) | 2.53 | %(b) | 112 | % | |||||||||||||||||
0.66 | 43,116 | 1.54 | (b) | 2.00 | (b) | 1.75 | (b) | 1.79 | (b) | 112 | ||||||||||||||||||||
0.59 | 104,990 | 1.69 | (b) | 1.86 | (b) | 1.75 | (b) | 1.80 | (b) | 112 | ||||||||||||||||||||
1.17 | 394,720 | 0.54 | (b) | 2.99 | (b) | 0.60 | (b) | 2.93 | (b) | 112 | ||||||||||||||||||||
0.92 | 5,429 | 1.04 | (b) | 2.50 | (b) | 1.10 | (b) | 2.44 | (b) | 112 | ||||||||||||||||||||
2.11 | 317,379 | 0.95 | 3.46 | 1.01 | 3.40 | 184 | ||||||||||||||||||||||||
1.41 | 50,580 | 1.55 | 2.87 | 1.76 | 2.66 | 184 | ||||||||||||||||||||||||
1.26 | 130,087 | 1.70 | 2.71 | 1.76 | 2.65 | 184 | ||||||||||||||||||||||||
2.43 | 415,210 | 0.55 | 3.86 | 0.61 | 3.80 | 184 | ||||||||||||||||||||||||
1.92 | 6,156 | 1.05 | 3.36 | 1.11 | 3.30 | 184 | ||||||||||||||||||||||||
5.26 | 246,763 | 0.94 | 3.69 | (f) | 1.04 | 3.59 | (f) | 194 | ||||||||||||||||||||||
4.65 | 49,874 | 1.54 | 3.09 | (f) | 1.79 | 2.84 | (f) | 194 | ||||||||||||||||||||||
4.50 | 95,458 | 1.69 | 2.84 | (f) | 1.79 | 2.74 | (f) | 194 | ||||||||||||||||||||||
5.69 | 280,452 | 0.54 | 4.20 | (f) | 0.64 | 4.10 | (f) | 194 | ||||||||||||||||||||||
5.17 | 11,471 | 1.04 | 3.70 | (f) | 1.14 | 3.60 | (f) | 194 | ||||||||||||||||||||||
12.00 | 88,394 | 0.94 | 5.26 | 1.11 | 5.09 | 243 | ||||||||||||||||||||||||
11.38 | 16,809 | 1.54 | 4.80 | 1.86 | 4.48 | 243 | ||||||||||||||||||||||||
11.12 | 18,871 | 1.69 | 4.59 | 1.86 | 4.42 | 243 | ||||||||||||||||||||||||
12.47 | 206,129 | 0.54 | 5.89 | 0.71 | 5.72 | 243 | ||||||||||||||||||||||||
11.93 | 8,154 | 1.04 | 5.40 | 1.21 | 5.23 | 243 | ||||||||||||||||||||||||
5.65 | 29,446 | 0.94 | 6.21 | 1.13 | 6.02 | 130 | ||||||||||||||||||||||||
4.80 | 5,743 | 1.54 | 5.63 | 1.88 | 5.29 | 130 | ||||||||||||||||||||||||
4.76 | 5,128 | 1.69 | 5.45 | 1.88 | 5.26 | 130 | ||||||||||||||||||||||||
5.85 | 131,462 | 0.54 | 6.64 | 0.73 | 6.45 | 130 | ||||||||||||||||||||||||
5.32 | 6,134 | 1.04 | 6.14 | 1.23 | 5.95 | 130 | ||||||||||||||||||||||||
1.97 | 52,235 | 0.94 | 5.61 | 1.07 | 5.48 | 173 | ||||||||||||||||||||||||
1.56 | 6,937 | 1.54 | 5.04 | 1.82 | 4.76 | 173 | ||||||||||||||||||||||||
1.21 | 7,029 | 1.69 | 4.83 | 1.82 | 4.70 | 173 | ||||||||||||||||||||||||
2.49 | 146,062 | 0.54 | 6.03 | 0.67 | 5.90 | 173 | ||||||||||||||||||||||||
1.57 | — | 0.79 | (b) | 5.76 | (b) | 0.92 | (b) | 5.63 | (b) | 173 | ||||||||||||||||||||
1.97 | 6,605 | 1.04 | 5.54 | 1.17 | 5.41 | 173 | ||||||||||||||||||||||||
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 14.88 | $ | 0.22 | (c) | $ | (0.03 | ) | $ | 0.19 | $ | (0.24 | ) | $ | (0.13 | ) | $ | (0.37 | ) | |||||||||||||
2004 - Class B Shares | 14.88 | 0.17 | (c) | (0.04 | ) | 0.13 | (0.18 | ) | (0.13 | ) | (0.31 | ) | ||||||||||||||||||||
2004 - Class C Shares | 14.87 | 0.17 | (c) | (0.04 | ) | 0.13 | (0.18 | ) | (0.13 | ) | (0.31 | ) | ||||||||||||||||||||
2004 - Institutional Shares | 14.85 | 0.26 | (c) | (0.03 | ) | 0.23 | (0.27 | ) | (0.13 | ) | (0.40 | ) | ||||||||||||||||||||
2004 - Service Shares | 14.85 | 0.22 | (c) | (0.03 | ) | 0.19 | (0.23 | ) | (0.13 | ) | (0.36 | ) | ||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 14.95 | 0.41 | (c) | 0.05 | 0.46 | (0.51 | ) | (0.02 | ) | (0.53 | ) | |||||||||||||||||||||
2003 - Class B Shares | 14.95 | 0.31 | (c) | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||||||
2003 - Class C Shares | 14.94 | 0.31 | (c) | 0.04 | 0.35 | (0.40 | ) | (0.02 | ) | (0.42 | ) | |||||||||||||||||||||
2003 - Institutional Shares | 14.93 | 0.47 | (c) | 0.04 | 0.51 | (0.57 | ) | (0.02 | ) | (0.59 | ) | |||||||||||||||||||||
2003 - Service Shares | 14.92 | 0.41 | (c) | 0.04 | 0.45 | (0.50 | ) | (0.02 | ) | (0.52 | ) | |||||||||||||||||||||
2002 - Class A Shares | 14.96 | 0.63 | (c)(e) | 0.19 | (e) | 0.82 | (0.67 | ) | (0.16 | ) | (0.83 | ) | ||||||||||||||||||||
2002 - Class B Shares | 14.96 | 0.52 | (c)(e) | 0.19 | (e) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - Class C Shares | 14.95 | 0.51 | (c)(e) | 0.20 | (e) | 0.71 | (0.56 | ) | (0.16 | ) | (0.72 | ) | ||||||||||||||||||||
2002 - Institutional Shares | 14.94 | 0.69 | (c)(e) | 0.19 | (e) | 0.88 | (0.73 | ) | (0.16 | ) | (0.89 | ) | ||||||||||||||||||||
2002 - Service Shares | 14.93 | 0.62 | (c)(e) | 0.19 | (e) | 0.81 | (0.66 | ) | (0.16 | ) | (0.82 | ) | ||||||||||||||||||||
2001 - Class A Shares | 13.84 | 0.78 | (c) | 1.13 | 1.91 | (0.79 | ) | — | (0.79 | ) | ||||||||||||||||||||||
2001 - Class B Shares | 13.85 | 0.68 | (c) | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | ||||||||||||||||||||||
2001 - Class C Shares | 13.84 | 0.68 | (c) | 1.11 | 1.79 | (0.68 | ) | — | (0.68 | ) | ||||||||||||||||||||||
2001 - Institutional Shares | 13.82 | 0.83 | (c) | 1.14 | 1.97 | (0.85 | ) | — | (0.85 | ) | ||||||||||||||||||||||
2001 - Service Shares | 13.82 | 0.76 | (c) | 1.13 | 1.89 | (0.78 | ) | — | (0.78 | ) | ||||||||||||||||||||||
2000 - Class A Shares | 13.70 | 0.82 | 0.15 | 0.97 | (0.83 | ) | — | (0.83 | ) | |||||||||||||||||||||||
2000 - Class B Shares | 13.72 | 0.71 | 0.15 | 0.86 | (0.73 | ) | — | (0.73 | ) | |||||||||||||||||||||||
2000 - Class C Shares | 13.71 | 0.71 | 0.14 | 0.85 | (0.72 | ) | — | (0.72 | ) | |||||||||||||||||||||||
2000 - Institutional Shares | 13.69 | 0.87 | 0.14 | 1.01 | (0.88 | ) | — | (0.88 | ) | |||||||||||||||||||||||
2000 - Service Shares | 13.63 | 0.82 | 0.18 | 1.00 | (0.81 | ) | — | (0.81 | ) | |||||||||||||||||||||||
1999 - Class A Shares | 14.91 | 0.80 | (0.89 | ) | (0.09 | ) | (0.77 | ) | (0.35 | ) | (1.12 | ) | ||||||||||||||||||||
1999 - Class B Shares | 14.92 | 0.69 | (0.87 | ) | (0.18 | ) | (0.67 | ) | (0.35 | ) | (1.02 | ) | ||||||||||||||||||||
1999 - Class C Shares | 14.91 | 0.69 | (0.88 | ) | (0.19 | ) | (0.66 | ) | (0.35 | ) | (1.01 | ) | ||||||||||||||||||||
1999 - Institutional Shares | 14.90 | 0.85 | (0.88 | ) | (0.03 | ) | (0.83 | ) | (0.35 | ) | (1.18 | ) | ||||||||||||||||||||
1999 - Service Shares | 14.88 | 0.77 | (0.92 | ) | (0.15 | ) | (0.75 | ) | (0.35 | ) | (1.10 | ) | ||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | As required, effective November 1, 2001, the Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing all premiums and discounts on debt securities. The effect of this change for the year ended October 31, 2002 was to decrease net investment income per share by $0.06, increase net realized and unrealized gains and losses per share by $0.06, and decrease the ratio of net investment income to average net assets with and without expense reductions by 0.44%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 14.70 | 1.26 | % | $ | 429,035 | 0.98 | %(b) | 3.06 | %(b) | 1.16 | %(b) | 2.88 | %(b) | 220 | % | |||||||||||||||||||
14.70 | 0.88 | 37,032 | 1.73 | (b) | 2.33 | (b) | 1.91 | (b) | 2.15 | (b) | 220 | |||||||||||||||||||||||
14.69 | 0.88 | 21,918 | 1.73 | (b) | 2.33 | (b) | 1.91 | (b) | 2.15 | (b) | 220 | |||||||||||||||||||||||
14.68 | 1.46 | 133,106 | 0.58 | (b) | 3.48 | (b) | 0.76 | (b) | 3.30 | (b) | 220 | |||||||||||||||||||||||
14.68 | 1.28 | 8,460 | 1.08 | (b) | 2.98 | (b) | 1.26 | (b) | 2.80 | (b) | 220 | |||||||||||||||||||||||
14.88 | 3.11 | 358,058 | 0.99 | 2.78 | 1.18 | 2.59 | 520 | |||||||||||||||||||||||||||
14.88 | 2.34 | 44,120 | 1.74 | 2.06 | 1.93 | 1.87 | 520 | |||||||||||||||||||||||||||
14.87 | 2.34 | 23,720 | 1.74 | 2.05 | 1.93 | 1.86 | 520 | |||||||||||||||||||||||||||
14.85 | 3.60 | 151,111 | 0.59 | 3.16 | 0.78 | 2.97 | 520 | |||||||||||||||||||||||||||
14.85 | 3.01 | 10,491 | 1.09 | 2.72 | 1.28 | 2.53 | 520 | |||||||||||||||||||||||||||
14.95 | 5.77 | 248,719 | 0.98 | 4.26 | (e) | 1.24 | 4.00 | (e) | 226 | |||||||||||||||||||||||||
14.95 | 4.99 | 51,124 | 1.73 | 3.54 | (e) | 1.99 | 3.28 | (e) | 226 | |||||||||||||||||||||||||
14.94 | 4.99 | 24,095 | 1.73 | 3.49 | (e) | 1.99 | 3.23 | (e) | 226 | |||||||||||||||||||||||||
14.93 | 6.13 | 82,523 | 0.58 | 4.74 | (e) | 0.84 | 4.48 | (e) | 226 | |||||||||||||||||||||||||
14.92 | 5.68 | 10,762 | 1.08 | 4.25 | (e) | 1.34 | 3.99 | (e) | 226 | |||||||||||||||||||||||||
14.96 | 14.20 | 142,904 | 0.98 | 5.46 | 1.31 | 5.13 | 473 | |||||||||||||||||||||||||||
14.96 | 13.27 | 34,036 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.95 | 13.28 | 13,814 | 1.73 | 4.71 | 2.06 | 4.38 | 473 | |||||||||||||||||||||||||||
14.94 | 14.67 | 34,997 | 0.58 | 5.80 | 0.91 | 5.47 | 473 | |||||||||||||||||||||||||||
14.93 | 14.04 | 8,239 | 1.08 | 5.27 | 1.41 | 4.94 | 473 | |||||||||||||||||||||||||||
13.84 | 7.33 | 88,783 | 0.98 | 6.01 | 1.39 | 5.60 | 341 | |||||||||||||||||||||||||||
13.85 | 6.45 | 18,724 | 1.73 | 5.24 | 2.14 | 4.83 | 341 | |||||||||||||||||||||||||||
13.84 | 6.46 | 7,606 | 1.73 | 5.25 | 2.14 | 4.84 | 341 | |||||||||||||||||||||||||||
13.82 | 7.68 | 7,514 | 0.58 | 6.41 | 0.99 | 6.00 | 341 | |||||||||||||||||||||||||||
13.82 | 7.62 | 373 | 1.08 | 6.02 | 1.49 | 5.61 | 341 | |||||||||||||||||||||||||||
13.70 | (0.63 | ) | 82,102 | 0.98 | 5.63 | 1.33 | 5.28 | 278 | ||||||||||||||||||||||||||
13.72 | (1.29 | ) | 19,684 | 1.73 | 4.88 | 2.08 | 4.53 | 278 | ||||||||||||||||||||||||||
13.71 | (1.29 | ) | 10,053 | 1.73 | 4.89 | 2.08 | 4.54 | 278 | ||||||||||||||||||||||||||
13.69 | (0.23 | ) | 5,899 | 0.58 | 6.07 | 0.93 | 5.72 | 278 | ||||||||||||||||||||||||||
13.63 | (1.01 | ) | 15 | 1.08 | 5.56 | 1.43 | 5.21 | 278 | ||||||||||||||||||||||||||
Income (loss) from | Distributions | |||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
of period | income(c) | gain | operations | income | ||||||||||||||||||||
FOR THE PERIOD ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||
2004 - Class A Shares (commenced November 3, 2003) | $ | 10.00 | $ | 0.12 | $ | 0.04 | $ | 0.16 | $ | (0.18 | ) | |||||||||||||
2004 - Institutional Shares (commenced November 3, 2003) | 10.00 | 0.15 | 0.04 | 0.19 | (0.20 | ) | ||||||||||||||||||
2004 - Separate Account Institutional Shares (commenced November 3, 2003) | 10.00 | 0.13 | 0.06 | 0.19 | (0.21 | ) | ||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of Mortgage dollar roll transactions. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets(b) | assets(b) | net assets(b) | assets(b) | rate(d) | |||||||||||||||||||||||||||
$ | 9.98 | 1.59 | % | $ | 5,278 | 0.82 | % | 2.74 | % | 1.09 | % | 2.47 | % | 847 | % | |||||||||||||||||||
9.99 | 1.93 | 153,875 | 0.40 | 3.01 | 0.69 | 2.72 | 847 | |||||||||||||||||||||||||||
9.98 | 1.86 | 65,808 | 0.35 | 2.87 | 0.64 | 2.58 | 847 | |||||||||||||||||||||||||||
Income (loss) from | ||||||||||||||||||||||||||||||||
investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 10.31 | $ | 0.15 | (c) | $ | 0.05 | $ | 0.20 | $ | (0.18 | ) | $ | (0.35 | ) | $ | (0.53 | ) | ||||||||||||||
2004 - Class B Shares | 10.35 | 0.11 | (c) | 0.05 | 0.16 | (0.14 | ) | (0.35 | ) | (0.49 | ) | |||||||||||||||||||||
2004 - Class C Shares | 10.35 | 0.11 | (c) | 0.05 | 0.16 | (0.14 | ) | (0.35 | ) | (0.49 | ) | |||||||||||||||||||||
2004 - Institutional Shares | 10.35 | 0.17 | (c) | 0.05 | 0.22 | (0.20 | ) | (0.35 | ) | (0.55 | ) | |||||||||||||||||||||
2004 - Service Shares | 10.35 | 0.15 | (c) | 0.04 | 0.19 | (0.17 | ) | (0.35 | ) | (0.52 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares | 10.07 | 0.40 | (c) | 0.28 | 0.68 | (0.40 | ) | (0.04 | ) | (0.44 | ) | |||||||||||||||||||||
2003 - Class B Shares | 10.10 | 0.33 | (c) | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | |||||||||||||||||||||
2003 - Class C Shares | 10.10 | 0.33 | (c) | 0.28 | 0.61 | (0.32 | ) | (0.04 | ) | (0.36 | ) | |||||||||||||||||||||
2003 - Institutional Shares | 10.09 | 0.45 | (c) | 0.29 | 0.74 | �� | (0.44 | ) | (0.04 | ) | (0.48 | ) | ||||||||||||||||||||
2003 - Service Shares | 10.09 | 0.40 | (c) | 0.29 | 0.69 | (0.39 | ) | (0.04 | ) | (0.43 | ) | |||||||||||||||||||||
2002 - Class A Shares | 10.25 | 0.50 | (c) | (0.13 | ) | 0.37 | (0.52 | ) | (0.03 | ) | (0.55 | ) | ||||||||||||||||||||
2002 - Class B Shares | 10.29 | 0.43 | (c) | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | ||||||||||||||||||||
2002 - Class C Shares | 10.29 | 0.43 | (c) | (0.15 | ) | 0.28 | (0.44 | ) | (0.03 | ) | (0.47 | ) | ||||||||||||||||||||
2002 - Institutional Shares | 10.28 | 0.55 | (c) | (0.15 | ) | 0.40 | (0.56 | ) | (0.03 | ) | (0.59 | ) | ||||||||||||||||||||
2002 - Service Shares | 10.28 | 0.51 | (c) | (0.16 | ) | 0.35 | (0.51 | ) | (0.03 | ) | (0.54 | ) | ||||||||||||||||||||
2001 - Class A Shares | 9.52 | 0.56 | (c) | 0.75 | 1.31 | (0.58 | ) | — | (0.58 | ) | ||||||||||||||||||||||
2001 - Class B Shares | 9.54 | 0.49 | (c) | 0.77 | 1.26 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||||||
2001 - Class C Shares | 9.55 | 0.49 | (c) | 0.76 | 1.25 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||||||
2001 - Institutional Shares | 9.54 | 0.60 | (c) | 0.76 | 1.36 | (0.62 | ) | — | (0.62 | ) | ||||||||||||||||||||||
2001 - Service Shares | 9.54 | 0.55 | (c) | 0.76 | 1.31 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||||
2000 - Class A Shares | 9.50 | 0.57 | (c) | 0.02 | 0.59 | (0.58 | ) | — | (0.58 | ) | ||||||||||||||||||||||
2000 - Class B Shares | 9.52 | 0.50 | (c) | 0.02 | 0.52 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||||||
2000 - Class C Shares | 9.52 | 0.50 | (c) | 0.03 | 0.53 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||||||
2000 - Institutional Shares | 9.52 | 0.61 | (c) | 0.02 | 0.63 | (0.62 | ) | — | (0.62 | ) | ||||||||||||||||||||||
2000 - Service Shares | 9.52 | 0.56 | (c) | 0.02 | 0.58 | (0.57 | ) | — | (0.57 | ) | ||||||||||||||||||||||
1999 - Class A Shares | 10.25 | 0.54 | (0.61 | ) | (0.07 | ) | (0.53 | ) | (0.15 | ) | (0.68 | ) | ||||||||||||||||||||
1999 - Class B Shares | 10.28 | 0.48 | (0.62 | ) | (0.14 | ) | (0.47 | ) | (0.15 | ) | (0.62 | ) | ||||||||||||||||||||
1999 - Class C Shares | 10.28 | 0.47 | (0.62 | ) | (0.15 | ) | (0.46 | ) | (0.15 | ) | (0.61 | ) | ||||||||||||||||||||
1999 - Institutional Shares | 10.28 | 0.58 | (0.62 | ) | (0.04 | ) | (0.57 | ) | (0.15 | ) | (0.72 | ) | ||||||||||||||||||||
1999 - Administration Shares(e) | 10.27 | 0.40 | (c) | (0.41 | ) | (0.01 | ) | (0.40 | ) | (0.15 | ) | (0.55 | ) | |||||||||||||||||||
1999 - Service Shares | 10.28 | 0.54 | (0.62 | ) | (0.08 | ) | (0.53 | ) | (0.15 | ) | (0.68 | ) | ||||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
(d) | Includes the effect of mortgage dollar roll transactions. |
(e) | Administration Class shares were liquidated on July 20, 1999. Ending net asset value shown as of July 20, 1999. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | assets | net assets | assets | rate(d) | |||||||||||||||||||||||||||
$ | 9.98 | 1.93 | % | $ | 455,802 | 0.89 | %(b) | 2.99 | %(b) | 0.89 | %(b) | 2.99 | %(b) | 251 | % | |||||||||||||||||||
10.02 | 1.44 | 34,713 | 1.64 | (b) | 2.25 | (b) | 1.64 | (b) | 2.25 | (b) | 251 | |||||||||||||||||||||||
10.02 | 1.55 | 25,537 | 1.64 | (b) | 2.24 | (b) | 1.64 | (b) | 2.24 | (b) | 251 | |||||||||||||||||||||||
10.02 | 2.03 | 657,738 | 0.49 | (b) | 3.41 | (b) | 0.49 | (b) | 3.41 | (b) | 251 | |||||||||||||||||||||||
10.02 | 1.88 | 18,510 | 0.99 | (b) | 2.91 | (b) | 0.99 | (b) | 2.91 | (b) | 251 | |||||||||||||||||||||||
10.31 | 7.03 | 445,178 | 0.89 | 3.91 | 0.89 | 3.91 | 489 | |||||||||||||||||||||||||||
10.35 | 6.31 | 37,120 | 1.64 | 3.21 | 1.64 | 3.22 | 489 | |||||||||||||||||||||||||||
10.35 | 6.21 | 25,409 | 1.64 | 3.16 | 1.64 | 3.16 | 489 | |||||||||||||||||||||||||||
10.35 | 7.54 | 695,181 | 0.49 | 4.39 | 0.49 | 4.39 | 489 | |||||||||||||||||||||||||||
10.35 | 6.90 | 21,827 | 0.99 | 3.89 | 0.99 | 3.89 | 489 | |||||||||||||||||||||||||||
10.07 | 3.59 | 315,441 | 0.90 | 5.03 | 0.90 | 5.03 | 437 | |||||||||||||||||||||||||||
10.10 | 2.70 | 36,131 | 1.65 | 4.33 | 1.65 | 4.33 | 437 | |||||||||||||||||||||||||||
10.10 | 2.80 | 20,176 | 1.65 | 4.32 | 1.65 | 4.32 | 437 | |||||||||||||||||||||||||||
10.09 | 3.99 | 733,996 | 0.50 | 5.51 | 0.50 | 5.51 | 437 | |||||||||||||||||||||||||||
10.09 | 3.47 | 29,761 | 1.00 | 5.05 | 1.00 | 5.05 | 437 | |||||||||||||||||||||||||||
10.26 | 14.17 | 178,885 | 0.94 | 5.61 | 0.94 | 5.61 | 315 | |||||||||||||||||||||||||||
10.30 | 13.51 | 26,848 | 1.69 | 4.93 | 1.69 | 4.93 | 315 | |||||||||||||||||||||||||||
10.30 | 13.38 | 11,998 | 1.69 | 4.89 | 1.69 | 4.89 | 315 | |||||||||||||||||||||||||||
10.29 | 14.69 | 440,836 | 0.54 | 6.05 | 0.54 | 6.05 | 315 | |||||||||||||||||||||||||||
10.29 | 14.13 | 26,667 | 1.04 | 5.54 | 1.04 | 5.54 | 315 | |||||||||||||||||||||||||||
9.51 | 6.48 | 73,846 | 0.94 | 6.04 | 0.97 | 6.01 | 272 | |||||||||||||||||||||||||||
9.53 | 5.69 | 14,002 | 1.69 | 5.29 | 1.72 | 5.26 | 272 | |||||||||||||||||||||||||||
9.54 | 5.80 | 6,107 | 1.69 | 5.30 | 1.72 | 5.27 | 272 | |||||||||||||||||||||||||||
9.53 | 6.90 | 268,465 | 0.54 | 6.46 | 0.57 | 6.43 | 272 | |||||||||||||||||||||||||||
9.53 | 6.37 | 9,445 | 1.04 | 5.95 | 1.07 | 5.92 | 272 | |||||||||||||||||||||||||||
9.50 | (0.68 | ) | 65,368 | 0.94 | 5.57 | 0.98 | 5.53 | 280 | ||||||||||||||||||||||||||
9.52 | (1.47 | ) | 14,654 | 1.69 | 4.83 | 1.73 | 4.79 | 280 | ||||||||||||||||||||||||||
9.52 | (1.51 | ) | 7,443 | 1.69 | 4.82 | 1.73 | 4.78 | 280 | ||||||||||||||||||||||||||
9.52 | (0.37 | ) | 216,973 | 0.54 | 5.97 | 0.58 | 5.93 | 280 | ||||||||||||||||||||||||||
9.71 | (e) | (0.13 | ) | — | 0.79 | (b) | 5.63 | (b) | 0.83 | (b) | 5.59 | (b) | 280 | |||||||||||||||||||||
9.52 | (0.87 | ) | 8,172 | 1.04 | 5.50 | 1.08 | 5.46 | 280 | ||||||||||||||||||||||||||
Income from | Distributions | |||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
of period | income(c) | gain | operations | income | ||||||||||||||||||||
FOR THE PERIOD ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||
2004 - Class A Shares (commenced November 3, 2003) | $ | 10.00 | $ | 0.19 | $ | 0.04 | $ | 0.23 | $ | (0.19 | ) | |||||||||||||
2004 - Institutional Shares (commenced November 3, 2003) | 10.00 | 0.21 | 0.05 | 0.26 | (0.21 | ) | ||||||||||||||||||
2004 - Separate Account Institutional Shares (commenced November 3, 2003) | 10.00 | 0.22 | 0.04 | 0.26 | (0.22 | ) | ||||||||||||||||||
(a) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. |
(b) | Annualized. |
(c) | Calculated based on the average shares outstanding methodology. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | Ratio of | ||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | total | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income to | expenses | income to | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | average net | to average | average net | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets(b) | assets(b) | net assets(b) | assets(b) | rate | |||||||||||||||||||||||||||
$ | 10.04 | 2.30 | % | $ | 1 | 0.82 | % | 3.80 | % | 2.11 | % | 2.51 | % | 46 | % | |||||||||||||||||||
10.05 | 2.63 | 26,461 | 0.40 | 4.25 | 1.71 | 2.94 | 46 | |||||||||||||||||||||||||||
10.04 | 2.56 | 6,301 | 0.35 | 4.35 | 1.66 | 3.04 | 46 | |||||||||||||||||||||||||||
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F U N D S P R O F I L E Goldman Sachs Funds Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets. Today, Goldman Sachs Asset Management, L.P. and other units of the Investment Management Division of Goldman Sachs serve a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $400.1 billion in assets under management as of THE GOLDMANMarch 31, 2004 — our investment professionals bring firsthand knowledge of local markets SACHS ADVANTAGEto every investm ent decision, making us one of the few truly global asset managers. Our goal is to deliver: G O L D M A N S A C H S F U N D S Strong, Consistent In building a globally diversified Investment Results portfolio, you can select from more than 50 Goldman Sachs Funds and gain access Global Resources and Global Researchto investment opportunities across borders, investment styles, asset classes Team Approach and security capitalizations. Disciplined Processes Innovative, Value-Added Investment Products Thoughtful Solutions Risk Management Outstanding Asset Allocation Funds Client ServiceBalanced Fund Domestic Equity Funds Asset Allocation Portfolios Small Cap Value Fund Dedicated Service CORESM Small Cap Equity FundFixed Income Funds Teams Mid Cap Value FundEmerging Markets Debt Fund Excellence andConcentrated Growth FundHigh Yield Fund IntegrityInternational Equity Funds Growth Opportunities FundHigh Yield Municipal Fund Asia Growth Fund Research Select FundSMGlobal Income Fund Emerging Markets Equity Fund Strategic Growth FundInvestment Grade Credit Fund International Growth Capital Growth FundCore Fixed Income Fund Opportunities Fund Large Cap Value FundU.S. Mortgages Fund Japanese Equity Fund Growth and Income FundMunicipal Income Fund European Equity Fund CORESM Large Cap Growth FundGovernment Income Fund International Equity Fund CORESM Large Cap Value FundShort Durati on Tax-Free Fund CORESM International Equity Fund CORESM U.S. Equity FundShort Duration Government Fund Ultra-Short Duration Government Specialty Funds Fund Internet Tollkeeper FundSM Enhanced Income Fund CORESM Tax-Managed Equity Fund Real Estate Securities FundMoney Market Funds1 1An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. The Goldman Sachs Research Select FundSM, Internet Tollkeeper FundSM and CORESM are service marks of Goldman, Sachs & Co. |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005 T R U S T E E SO F F I C E R S Ashok N. Bakhru, ChairmanKaysie P. Uniacke, President John P. Coblentz, Jr.James A. Fitzpatrick, Vice President Patrick T. HarkerJames A. McNamara, Vice President Mary Patterson McPhersonJohn M. Perlowski, Treasurer Alan A. ShuchHoward B. Surloff, Secretary Wilma J. Smelcer Richard P. Strubel Kaysie P. Uniacke G O L D M A N , S AC H S & CO.G O L D M A N S AC H S A S S E T M A N AG E M E N T, L . P. Distributor and Transfer AgentInvestment Adviser Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed. A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov. This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Goldman Sachs Government Income, Goldman Sachs Short Duration Government and Goldman Sachs Ultra-Short Duration Government Funds’ net asset values and yields are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The Goldman Sachs Core Fixed Income and Investment Grade Credit Funds’ foreign investments may be more volatile than an investment in U.S. securities and are subject to the risks of currency fluctuations and political developments. The Goldman Sachs Enhanced Income Fund is not a money market fund. Investors in this Fund should understand that the net asset value of the Fund will fluctuate which may result in a loss of a portion of the principal amount invested. The Goldman Sachs U.S. Mortgages Fund will be subject to prepayment risk, the risk that in a declining interest rate environment the Fund’s underlying mortgages may be prepaid, causing the Fund to have to reinvest assets at lower interest rates. The Fund will be subject to yield and total return fluctuations based on rising and falling interest rates. Longer-term bonds will normally have more price volatility. Goldman, Sachs & Co. is the distributor of the Goldman Sachs Funds. Copyright 2004 Goldman, Sachs & Co. All rights reserved. Date of first use: June 29, 2004 / 04-0893TFISAR / 50.8K / 06-04 |
ITEM 2. | CODE OF ETHICS. |
Not applicable to the semi-annual report for the period ending April 30, 2004. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable to the semi-annual report for the period ending April 30, 2004. |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable to the semi-annual report for the period ended April 30, 2004. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS |
Not applicable to the semi-annual report for the period ended April 30, 2004. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable. |
ITEM 9. | 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 registrant’s board of trustees. |
ITEM 10. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal half-year (the registrant’s second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 11. | EXHIBITS. |
(a)(1) | Exhibit 99.CODE | NOT APPLICABLE | ||
(a)(2) | Exhibit 99.CERT Exhibit 99.906CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
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.
Goldman Sachs Trust | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Trust | ||
Date: July 7, 2004 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | ||
/s/ Kaysie Uniacke | ||
By: Kaysie Uniacke | ||
Chief Executive Officer of | ||
Goldman Sachs Trust | ||
Date: July 7, 2004 | ||
/s/ John M. Perlowski | ||
By: John M. Perlowski | ||
Chief Financial Officer of | ||
Goldman Sachs Trust | ||
Date: July 8, 2004 |