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. |
Goldman SachsFunds S P E C I A L F O C U S F I X E D I N C O M E F U N D SSemiannual Report April 30, 2004 Current income potential from portfolios that invest in a variety of fixed income securities. |
Goldman Sachs Special Focus Fixed Income Funds GOLDMAN SACHS GLOBAL INCOME FUND GOLDMAN SACHS HIGH YIELD FUND GOLDMAN SACHS EMERGING MARKETS DEBT FUND NOT FDIC-INSURED May Lose Value No Bank Guarantee |
G O L D M A N S A C H S S P E C I A L F O C U S F I X E D I N C O M E F U N D S 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: 1R I G O R O U S S E C U R I T Y S E L E C T I O N Assess relative value among securities and sectors Leverage the vast resources of Goldman Sachs in selecting securities for each portfolio 2P R E C I S E P O R T F O L I O C O N S T R U C T I O N 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 R E S U LT 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 1 |
P O R T F O L I O R E S U LT S Global Income Fund Dear Shareholder, This report provides an overview on the performance of the Goldman Sachs Global 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 1.81%, 1.56%, 1.57%, 2.14%, and 1.89%, respectively. These returns compare to the 1.66% cumulative total return of the Fund’s benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period.* The outperformance of the Fund’s Class A, Institutional and Service Shares versus its benchmark was primarily due to the portfolio’s currency and corporate bond strategies. Relative value trades between UK and European markets also enhanced results. Class B and C Shares benefited from the same strategies, however, did not outperform the benchmark due to higher expenses. Investment Objective The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation. Portfolio Positioning Prior to April 2004, U.S. Treasury yields drifted lower, reflecting concerns over the strength of the economic recovery given the absence of any significant job growth. However, this quickly changed in April following the release of March 2004 non-farm payroll figures that indicated the creation of 308,000 jobs versus an expectation of 120,000. In addition, there were significant upward revisions to January’s and February’s new job estimates. Adding further weight to the Treasury sell-of f was Federal Reserve Board Chairman Alan Greenspan’s testimony to the Senate in late April highlighting diminished risks of deflation. All told, 10-year Treasury yields reached eight-month highs. In other regions, European bonds outperformed other major markets over the last reporting period due to sluggish growth and Japanese bonds underperformed as a result of higher-than-expected economic data. The Fund’s duration strategy had a slightly positive impact on performance over the period. Gains were made through a short Japan duration position held over the entire period, in addition to a short U.S. duration position held throughout most of April. Offsetting these trades were intermittent short U.S. duration positions initiated in February and March 2004 which were negatively affected by the fall in yields over that period. A 5-10 year U.S. curve flattening trade held for the entire per iod was a positive contributor to performance given the flattening of the U.S. curve from historically steep levels. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. 2 |
P O R T F O L I O R E S U LT S In terms of relative country positions, short UK/long Europe trades in securities with 10-year and 30-year maturities added substantially to performance, especially during the first quarter 2004. This was due to better-than-expected economic activity and rate hikes in the UK versus underperformance in the Euroland economies, which resulted in a widening of spreads between these regions. An overweight allocation to corporate bonds contributed positively to performance, with a large portion of the gains made in the fourth quarter 2003. For much of the reporting period, spreads continued to move tighter on the back of improving corporate and economic fundamentals with higher risk bonds outperforming. The Fund’s bias towards issues lower down the quality spectrum resulted in additional gains. Following the corporate credit market’s stellar performance in 2003, we tactically trimmed t he portfolio’s exposure over the first quarter. This strategy immunized the portfolio in April from a widening in credit spreads brought about by heightened risk aversion. The Fund’s currency strategy was the largest contributor to performance over the period. The portfolio gained significantly in the first half of the period as a result of a short U.S. dollar, long Japanese yen and long Great Britain pound positions. We also held a long Australian dollar position which benefited from gains in commodities and market flows towards higher yielding currencies. Despite trimming our short U.S. dollar position later in the period, our currency strategy detracted from performan ce in April given the falls in yen and Australian dollar versus the U.S. dollar. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global Fixed Income Investment Management Team May 10, 2004 3 |
F U N D B A S I C S Global 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 JPM Global Govt. April 30, 2004(based on NAV)1Standardized Yield2Bond Index3 Assets Under Management Class A1.81%1.94%1.66% Class B1.561.531.66 $330.5 Million Class C 1.571.531.66 Institutional 2.142.691.66 Service 1.892.201.66 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 GSGIXdistributions paid to shareholders. 3The J.P.Morgan Global Government Bond Index (hedged), an unmanaged index, does not reflect any deduction for fees, expenses or taxes. Class B Shares 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 GSLBXFor the period ended 3/31/04Class AClass BClass CInstitutionalService One Year0.23%-0.68%3.44%5.75%5.21% Five Years3.673.714.135.334.79 Class C Shares Ten Years6.33N/AN/AN/A6.925 Since Inception6.465.935.257.596.935 GSLCX(8/2/91)(5/1/96) (8/15/97) (8/1/95)(8/2/91) 4 |
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, Institutional Sharesthe 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 Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. GSGLX5 Performance data for Service Shares prior to 3/12/97 (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 A 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 a nd rankings for a class of shares. Service SharesTotal 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 GGISXwww.gs.com to obtain the most recent month-end returns.Performance reflects e xpense 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. T O P C U R R E N C Y P O S I T I O N S A S O F 4 / 3 0 / 0 4 6 Currency Exposure (%) Euro Currency42.0%Danish Krone1.2% U.S. Dollar28.6German Mark0.9 Japanese Yen16.3Swedish Krona0.5 Great Britain Pound6.3Australian Dollar0.4 Canadian Dollar2.1 6 Figures represent a percentage of net assets and, due to rounding, may not sum to 100%.The Fund is actively managed and, as such, 4its composition may differ over time. P O R T F O L I O R E S U LT S High Yield Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs High Yield 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 6.05%, 5.65%, 5.65%, 6.25%, and 5.99%, respectively. These returns compare to the 5.52% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index, over the same time period.* The Fund outperformed its benchmark during the reporting period. This was largely the result of an underweight to the Treasury-sensitive BB rated segment of the market and a continued focus on B rated securities. The Fund also benefited from an overweight position in Cyclicals, supported by the economic recovery, and an underweight to Telecommunications and Utilities. The Fund was negatively impacted in December 2003 by its exposure to Parmalat. As news unfolded surrounding the company’s prolonged fraudulent accounting practices it quickly filed for bankruptcy protection. Investment Objective The Fund seeks a high level of current income and may also consider the potential for capital appreciation. High Yield Market In the first half of this reporting period, the high yield market continued its rally of 2003 supported by positive technical factors and strength in the riskier segments of the market. This trend reversed course sharply in February 2004 and Treasury volatility h as been the main driver in the market over the past three months. The refinancing cycle has been driving supply in the new issue market. New companies have been well received in contrast to the large repeat issuers. Overall, the fundamentals for high yield continue to be strong with positive earnings results and refinancing trends supporting favorable corporate events within the market. Cyclical industries in particular have outperformed as price improvements have led to rising margins. The support for corporate valuations in cyclicals is triggering mergers and acquisitions. In contrast, the Wireline Telecommunications sector performed poorly as investors acknowledged the sector’s weak long-term fundamental outloo k. *Unlike the Fund’s total return, the Index’s performance does not reflect any deduction for fees or expenses. 5 |
P O R T F O L I O R E S U LT S Portfolio Composition Our portfolio construction strategy continued to be driven by credit fundamentals. The Fund outperformed its benchmark due to an underweight in the interest rate sensitive BB rated segment. We believe that crossover buyers had bid up that segment to what we view as unattractive pricing levels. The Fund continues to be very selective with the new issue calendar and, in particular, with the large repeat issuers such as Calpine. The Fund established a few new positions, primarily in Europe in companies such as Telenet, a Belgian cable operator and Seat, an Italian yellow pages publisher. Portfolio Highlights Telenet — Telenet is the leading cable television operator in Belgium. The B rated company has come to the end of its network upgrade and has a low level of leverage relative to its U.S. counterparts. In addition, it generates free cash flow. Ainsworth — Ainsworth Lumber is a leading Canadian Oriented Strand Board (OSB) producer, which is similar to plywood. The company benefited from the strength of the cyclical recovery which has driven OSB prices to near peak levels. In conjunction with a recent acquisition the company has refinanced its high coupon debt at substantially lower rates. As such, the Fund’s holding in Ainsworth was tendered (repaid) at a premium to its face value. Dex Media — Dex Media is a leading U.S. yellow pages publisher that was acquired in two stages by Qwest. The company has highly visible and stable revenues and, with very low capital needs, generates substantial free cash flow for deleveraging. We thank you for your investment and look forward to your continued confidence. Goldman Sachs High Yield Investment Management Team May 10, 2004 6 |
F U N D B A S I C S High Yield Fund as of April 30, 2004 P E R F O R M A N C E R E V I E W Lehaman Brothers November 1, 2003–Fund Total Return StandardizedU.S. Corporate High Assets Under ManagementApril 30, 2004(based on NAV)130-Day Yield2Yield Bond Index3 Class A6.05%7.14%5.52% $2.3 BillionClass B5.656.715.52 Class C 5.656.725.52 Institutional 6.257.885.52 Service5.997.365.52 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 Standardized 30-Day 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. GSHAX3 The Lehman Brothers U.S.Corporate High Yield Bond Index is a total return performance benchmark for fixed income securities having a maximum quality rating of Ba1 (as determined by Moody’s Investors Service), a minimum amount outstanding of $100 million and at least one year to maturity.The Index is unmanaged and does not reflect any deduction for fees, expenses or taxes. Class B Shares 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 AClass BClass CInstitutionalService GSHBX One Year18.43%17.71%21.87%24.32%23.89% Five Years4.724.504.936.105.58 Class C SharesSince Inception5.225.185.226.365.84 (8/1/97)(8/1/97) (8/15/97) (8/1/97)(8/1/97) GSHCX4 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 I nstitutional and Service Shares do not involve a sales charge,such a charge is not applied to their Standardized Total Returns. Institutional SharesTotal 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 GSHIXcharts.Please visit www.gs.com to obtain the most recent month-end returns.Performance refl ects 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 T O P 1 0 I S S U E R S A S O F 4 / 3 0 / 0 4 5 IssuerLine of Business% of Net Assets GSHSX El Paso Corp.Pipelines3.6% Charter Communications, Inc.Media–Cable1.8 Huntsman Co.Chemicals1.6 Dex Media, Inc.Publishing1.4 Nextel Communications, Inc.Telecommunications–Cellular1.4 Qwest Communications Int’l, Inc.Telecommunications1.3 FIMEP/Legrand S.A.Building Materials1.3 Adelphia Communications Corp.Media–Cable1.2 TRW Automotive, Inc.Automotive Parts1.1 Calpine Corp.Electric1.1 Credit Allocation* (%): BBB 0.3 BB 8.0B 54.8 CCC 27.1 CC 2.6 C 0.9 D 3.4 NR 1.8 CASH 1.1 5The Fund is actively managed and, as such, its composition may differ over time. *Note: Reflects NRSRO (nationally recognized statistical rating organization) rating or internal rating if not rated.7 |
P O R T F O L I O R E S U LT S Emerging Markets Debt Fund Dear Shareholder: This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund during the six- month period that ended April 30, 2004. Performance Review Over the six-month period that ended April 30, 2004, the Fund’s Class A and Institutional Shares generated cumulative total returns, without sales charges, of 3.08% and 3.29%, respectively. These returns compare to the 2.39% cumulative total return of the Fund’s benchmark, the JP Morgan EMBI Global Diversified Index, over the same time period.* The Fund outperformed its benchmark over the reporting period primarily due to positive country selection. Investment Objective The Fund seeks a high level of total return consisting of income and capital appreciation. Portfolio Composition In recent months, we have reduced the volatility of the Fund relative to the market by reducing the size of overweight exposures in countries that we view positively. We also decreased absolute exposures in countries whose fundamentals we do not view favorably. At the end of the reporting period, Russia and Brazil represented the largest position in the Fund, both on an absolute and relative basis. South Korea and Mexico were the most significant underweight exposures in the Fund versus the benchmark. Portfolio Highlights We seek to outperform the benchmark through country selection and by identifying individual securities that we feel offer relative value. The Fund’s exposure to Argentina, Russia, Ecuador and Venezuela enhanced portfolio returns over the period. Conversely, exposure to Brazil and the Dominican Republic detracted from results. We thank you for your investment and look forward to your continued confidence. Goldman Sachs Global 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. 8 |
F U N D B A S I C S Emerging Markets Debt 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 JPM EMBI Global April 30, 2004(based on NAV)1Standardized Yield2 Diversified Index3 Assets Under Management Class A3.08%5.30%2.39% Institutional 3.295.972.39 $17.5 Million 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 N A S D A Q S Y M B O L S reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with t he dividends or other distributions paid to shareholders. 3The J.P.Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 Emerging Countries.The Index Class A Shares figures do not reflect any deduction for fees, expenses or taxes. GSDAX 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 AInstitutional Institutional Shares Since Inception7.67%13.08% (8/29/03) GSDIX 4The Standardized Total Returns are cumulative 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. Because Institutional 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 abo ve 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. T O P P O S I T I O N S A S O F 4 / 3 0 / 0 4 5 Country Allocation Russia17.4%Argentina5.3% Brazil13.8Malaysia3.9 Mexico6.3Philippines3.6 Venezuela6.0Ukraine3.6 Turkey5.7Peru3.2 Credit Allocation* (%): AAA 8.8 A 8.1 BBB 9.0 BB 34.6 B 31.9 CCC 4.3 CC to D 0.3 NR 3.2 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. *Reflects NRSRO (nationally recognized statistical rating organization) rating or internal rating if not rated. 9 |
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Foreign Debt Obligations – 64.1% | ||||||||||||||||
Australian Dollar – 0.4% | ||||||||||||||||
Government of Australia | ||||||||||||||||
AUD 1,600,000 | 6.50 | % | 05/15/2013 | $ | 1,196,334 | |||||||||||
Canadian Dollar – 2.1% | ||||||||||||||||
Government of Canada | ||||||||||||||||
CAD 3,600,000 | 6.00 | % | 06/01/2008 | $ | 2,862,696 | |||||||||||
2,500,000 | 5.25 | 06/01/2013 | 1,907,367 | |||||||||||||
2,600,000 | 5.75 | 06/01/2029 | 2,026,331 | |||||||||||||
$ | 6,796,394 | |||||||||||||||
Danish Krone – 1.2% | ||||||||||||||||
Kingdom of Denmark | ||||||||||||||||
DKK 22,000,000 | 8.00 | % | 03/15/2006 | $ | 3,881,098 | |||||||||||
Euro Currency – 35.4% | ||||||||||||||||
Federal Republic of Germany | ||||||||||||||||
EUR 1,400,000 | 6.88 | % | 05/12/2005 | $ | 1,754,792 | |||||||||||
5,000,000 | 6.00 | 01/04/2007 | 6,478,146 | |||||||||||||
19,900,000 | 5.25 | 01/04/2008 | 25,587,805 | |||||||||||||
15,000,000 | 4.50 | 01/04/2013 | 18,530,956 | |||||||||||||
1,900,000 | 3.75 | 07/04/2013 | 2,211,887 | |||||||||||||
1,100,000 | 6.50 | 07/04/2027 | 1,617,427 | |||||||||||||
550,000 | 5.50 | 01/04/2031 | 718,013 | |||||||||||||
Government of France | ||||||||||||||||
4,000,000 | 6.50 | 10/25/2006 | 5,221,168 | |||||||||||||
1,000,000 | 5.50 | 04/25/2010 | 1,315,514 | |||||||||||||
10,000,000 | 5.00 | 04/25/2012 | 12,807,066 | |||||||||||||
400,000 | 8.50 | 10/25/2019 | 685,515 | |||||||||||||
1,500,000 | 8.50 | 04/25/2023 | 2,644,337 | |||||||||||||
1,200,000 | 5.50 | 04/25/2029 | 1,557,717 | |||||||||||||
Kingdom of Belgium | ||||||||||||||||
3,600,000 | 4.75 | 09/28/2006 | 4,515,181 | |||||||||||||
2,700,000 | 4.25 | 09/28/2013 | 3,245,440 | |||||||||||||
Kingdom of The Netherlands | ||||||||||||||||
2,850,000 | 3.75 | 07/15/2009 | 3,458,053 | |||||||||||||
1,800,000 | 4.25 | 07/15/2013 | 2,169,243 | |||||||||||||
Republic of Italy | ||||||||||||||||
800,000 | 4.75 | 03/15/2006 | 997,011 | |||||||||||||
2,650,000 | 4.25 | 11/01/2009 | 3,278,658 | |||||||||||||
2,000,000 | 5.00 | 02/01/2012 | 2,548,593 | |||||||||||||
4,150,000 | 5.25 | 08/01/2017 | 5,307,909 | |||||||||||||
3,500,000 | 6.50 | 11/01/2027 | 5,074,796 | |||||||||||||
3,850,000 | 6.00 | 05/01/2031 | 5,267,445 | |||||||||||||
$ | 116,992,672 | |||||||||||||||
German Mark – 0.9% | ||||||||||||||||
Citicorp | ||||||||||||||||
DEM 4,500,000 | 6.25 | % | 09/19/2009 | $ | 3,039,593 | |||||||||||
Great Britain Pound – 6.3% | ||||||||||||||||
United Kingdom Treasury | ||||||||||||||||
GBP 3,500,000 | 5.00 | % | 06/07/2004 | $ | 6,212,808 | |||||||||||
400,000 | 6.75 | 11/26/2004 | 719,517 | |||||||||||||
2,000,000 | 8.50 | 07/16/2007 | 3,937,286 | |||||||||||||
1,200,000 | 7.25 | 12/07/2007 | 2,299,152 | |||||||||||||
1,300,000 | 8.75 | 08/25/2017 | 3,146,933 | |||||||||||||
2,700,000 | 4.25 | 06/07/2032 | 4,368,793 | |||||||||||||
$ | 20,684,489 | |||||||||||||||
Japanese Yen – 16.3% | ||||||||||||||||
Government of Japan | ||||||||||||||||
JPY 35,000,000 | 0.50 | % | 06/20/2006 | $ | 319,168 | |||||||||||
2,100,000,000 | 0.90 | 12/22/2008 | 19,286,359 | |||||||||||||
3,770,000,000 | 1.30 | 06/20/2012 | 34,100,148 | |||||||||||||
30,000,000 | 1.50 | 03/20/2019 | 261,226 | |||||||||||||
$ | 53,966,901 | |||||||||||||||
Swedish Krona – 0.5% | ||||||||||||||||
Kingdom of Sweden | ||||||||||||||||
SEK 11,900,000 | 5.50 | % | 10/08/2012 | $ | 1,667,191 | |||||||||||
United States Dollar – 1.0% | ||||||||||||||||
Republic of Italy | ||||||||||||||||
USD 2,600,000 | 4.38 | % | 10/25/2006 | 2,695,004 | ||||||||||||
United Mexican States | ||||||||||||||||
800,000 | 7.50 | 04/08/2033 | 792,000 | |||||||||||||
$ | 3,487,004 | |||||||||||||||
TOTAL FOREIGN DEBT OBLIGATIONS | ||||||||||||||||
(Cost $202,303,541) | $ | 211,711,676 | ||||||||||||||
Corporate Bonds – 18.5% | ||||||||||||||||
Banks – 3.8% | ||||||||||||||||
Banca Popolare di Bergamo Capital Trust#± | ||||||||||||||||
EUR 550,000 | 8.36 | % | 02/15/2011 | $ | 780,240 | |||||||||||
Bank of America Corp | ||||||||||||||||
USD 200,000 | 6.38 | 05/15/2005 | 209,273 | |||||||||||||
200,000 | 7.88 | 05/16/2005 | 212,378 | |||||||||||||
150,000 | 7.25 | 10/15/2025 | 169,097 | |||||||||||||
BCI US Funding Trust II#± | ||||||||||||||||
EUR 870,000 | 3.64 | 07/15/2008 | 1,052,376 | |||||||||||||
BES Finance Ltd.#± | ||||||||||||||||
530,000 | 5.58 | 07/02/2014 | 646,161 | |||||||||||||
Citicorp | ||||||||||||||||
USD 100,000 | 7.20 | 06/15/2007 | 111,042 | |||||||||||||
Citigroup, Inc. | ||||||||||||||||
1,250,000 | 6.75 | 12/01/2005 | 1,335,314 | |||||||||||||
Merita Bank Ltd | ||||||||||||||||
1,010,000 | 6.50 | 04/01/2009 | 1,111,841 | |||||||||||||
MIZUHO Financial Group (Cayman)† | ||||||||||||||||
1,170,000 | 5.79 | 04/15/2014 | 1,160,195 | |||||||||||||
National Westminster Bank PLC# | ||||||||||||||||
370,000 | 7.75 | 04/29/2049 | 414,600 | |||||||||||||
Santander Financial Issuances | ||||||||||||||||
1,100,000 | 7.88 | 04/15/2005 | 1,161,790 |
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Banks – (continued) | ||||||||||||||||
Sparebanken Rogaland†# | ||||||||||||||||
1,800,000 | 9.20 | % | 08/18/2009 | $ | 1,836,200 | |||||||||||
Washington Mutual Finance Corp. | ||||||||||||||||
USD 2,020,000 | 8.25 | 06/15/2005 | 2,161,092 | |||||||||||||
Wells Fargo Bank NA# | ||||||||||||||||
230,000 | 7.80 | 6/15/2010 | 244,344 | |||||||||||||
$ | 12,605,943 | |||||||||||||||
Basic Industry – 0.7% | ||||||||||||||||
The Dow Chemical Co. | ||||||||||||||||
USD 2,170,000 | 5.25 | % | 05/14/2004 | $ | 2,172,057 | |||||||||||
Capital Goods – 0.8% | ||||||||||||||||
Bombardier, Inc.† | ||||||||||||||||
USD 250,000 | 6.30 | % | 05/01/2014 | $ | 246,532 | |||||||||||
180,000 | 7.45 | 05/01/2034 | 177,228 | |||||||||||||
Tyco International Group SA | ||||||||||||||||
EUR 1,870,000 | 6.13 | 04/04/2007 | 2,376,895 | |||||||||||||
$ | 2,800,655 | |||||||||||||||
Consumer Cyclicals – 1.2% | ||||||||||||||||
Ford Motor Credit Co. | ||||||||||||||||
USD 1,040,000 | 6.88 | % | 02/01/2006 | $ | 1,102,420 | |||||||||||
300,000 | 7.25 | 10/25/2011 | 318,241 | |||||||||||||
1,380,000 | 7.00 | 10/01/2013 | 1,419,233 | |||||||||||||
General Motors Acceptance Corp. | ||||||||||||||||
EUR 450,000 | 7.00 | 11/15/2005 | 569,211 | |||||||||||||
USD 470,000 | 7.00 | 02/01/2012 | 493,358 | |||||||||||||
General Motors Corp. | ||||||||||||||||
10,000 | 8.38 | 07/15/2033 | 10,789 | |||||||||||||
$ | 3,913,252 | |||||||||||||||
Consumer Noncyclical – 1.3% | ||||||||||||||||
Altria Group, Inc. | ||||||||||||||||
USD 390,000 | 7.00 | % | 11/4/2013 | $ | 415,153 | |||||||||||
British American Tobacco Holdings BV# | ||||||||||||||||
EUR 1,040,000 | 2.95 | 07/21/2005 | 1,254,159 | |||||||||||||
Imperial Tobacco Finance PLC | ||||||||||||||||
250,000 | 6.25 | 06/06/2007 | 322,668 | |||||||||||||
Imperial Tobacco Overseas BV | ||||||||||||||||
USD 1,260,000 | 7.13 | 04/01/2009 | 1,394,363 | |||||||||||||
Kraft Foods, Inc. | ||||||||||||||||
750,000 | 5.25 | 06/01/2007 | 784,939 | |||||||||||||
$ | 4,171,282 | |||||||||||||||
Electric – 1.6% | ||||||||||||||||
CenterPoint Energy Resources Corp. | ||||||||||||||||
USD 1,180,000 | 7.88 | % | 04/01/2013 | $ | 1,330,744 | |||||||||||
FirstEnergy Corp | ||||||||||||||||
170,000 | 5.50 | 11/15/2006 | 177,384 | |||||||||||||
530,000 | 6.45 | 11/15/2011 | 557,984 | |||||||||||||
750,000 | 7.38 | 11/15/2031 | 787,704 | |||||||||||||
NGG Finance PLC | ||||||||||||||||
EUR 1,520,000 | 5.25 | 08/23/2006 | 1,907,281 | |||||||||||||
Western Power Distribution Holding† | ||||||||||||||||
USD 680,000 | 6.75 | 12/15/2004 | 695,976 | |||||||||||||
$ | 5,457,073 | |||||||||||||||
Financial Companies – 0.7% | ||||||||||||||||
Countrywide Home Loans, Inc. | ||||||||||||||||
USD 1,000,000 | 5.25 | % | 06/15/2004 | $ | 1,004,387 | |||||||||||
Household Finance Corp. | ||||||||||||||||
EUR 940,000 | 6.25 | 09/21/2005 | 1,181,989 | |||||||||||||
$ | 2,186,376 | |||||||||||||||
Insurance – 1.3% | ||||||||||||||||
CNA Financial Corp. | ||||||||||||||||
USD 430,000 | 6.50 | % | 04/15/2005 | $ | 445,733 | |||||||||||
420,000 | 6.60 | 12/15/2008 | 446,779 | |||||||||||||
Munich RE Finance BV# | ||||||||||||||||
EUR 490,000 | 6.75 | 06/21/2023 | 652,343 | |||||||||||||
Prudential Insurance Co. of America | ||||||||||||||||
USD 1,900,000 | 6.38 | 07/23/2006 | 2,030,794 | |||||||||||||
SL Finance PLC# | ||||||||||||||||
EUR 460,000 | 6.38 | 07/12/2022 | 594,993 | |||||||||||||
$ | 4,170,642 | |||||||||||||||
Other – 0.9% | ||||||||||||||||
Korea Development Bank | ||||||||||||||||
EUR 2,420,000 | 4.38 | % | 09/11/2008 | $ | 2,969,309 | |||||||||||
REIT – 0.5% | ||||||||||||||||
EOP Operating LP | ||||||||||||||||
USD 1,730,000 | 6.63 | % | 02/15/2005 | $ | 1,791,019 | |||||||||||
Telecommunications – 5.0% | ||||||||||||||||
Bell Atlantic New Jersey, Inc | ||||||||||||||||
USD 65,000 | 8.00 | % | 06/01/2022 | $ | 75,420 | |||||||||||
British Telecommunications PLC# | ||||||||||||||||
1,470,000 | 8.38 | 12/15/2010 | 1,744,225 | |||||||||||||
Comcast Cable Communications | ||||||||||||||||
1,900,000 | 8.38 | 05/01/2007 | 2,150,732 | |||||||||||||
Deutsche Telekom AG | ||||||||||||||||
1,860,000 | 8.25 | 06/15/2005 | 1,979,419 | |||||||||||||
Deutsche Telekom International Finance BV# | ||||||||||||||||
360,000 | 9.25 | 06/01/2032 | 481,043 | |||||||||||||
France Telecom SA | ||||||||||||||||
EUR 310,000 | 7.00 | 12/23/2009 | 423,581 | |||||||||||||
USD 580,000 | 7.75 | # | 03/01/2011 | 684,151 | ||||||||||||
EUR 360,000 | 8.13 | 01/28/2033 | 553,602 | |||||||||||||
Koninklijke KPN NV | ||||||||||||||||
1,350,000 | 7.25 | 04/12/2006 | 1,745,218 | |||||||||||||
Olivetti Finance NV# | ||||||||||||||||
1,480,000 | 6.58 | 07/30/2009 | 1,946,127 | |||||||||||||
PanAmSat Corp. | ||||||||||||||||
USD 165,000 | 6.13 | 01/15/2005 | 168,713 | |||||||||||||
Sogerim | ||||||||||||||||
EUR 450,000 | 7.25 | 04/20/2011 | 617,070 |
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Telecommunications – (continued) | ||||||||||||||||
Sprint Capital Corp. | ||||||||||||||||
USD 1,610,000 | 6.00 | % | 01/15/2007 | $ | 1,712,652 | |||||||||||
Telefonos de Mexico SA de CV (Telmex)† | ||||||||||||||||
860,000 | 4.50 | 11/19/2008 | 849,911 | |||||||||||||
Verizon Global Funding Corp. | ||||||||||||||||
1,380,000 | 6.13 | 06/15/2007 | 1,487,488 | |||||||||||||
$ | 16,619,352 | |||||||||||||||
Utility-Water – 0.7% | ||||||||||||||||
GIE Suez Alliance | ||||||||||||||||
EUR 260,000 | 5.75 | % | 06/24/2023 | $ | 316,122 | |||||||||||
Suez SA | ||||||||||||||||
730,000 | 6.25 | 11/02/2007 | 952,536 | |||||||||||||
Veolia Environnement | ||||||||||||||||
250,000 | 5.38 | 05/28/2018 | 300,275 | |||||||||||||
630,000 | 6.13 | 11/25/2033 | 771,572 | |||||||||||||
$ | 2,340,505 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $57,867,206) | $ | 61,197,465 | ||||||||||||||
Mortgage-Backed Obligations – 0.1% | ||||||||||||||||
Planned Amortization Class (PAC) CMOs – 0.1% | ||||||||||||||||
Federal Home Loan Mortgage Corp. Series 1623, Class PG | ||||||||||||||||
USD 482,506 | 3.00 | % | 07/15/2021 | $ | 482,994 | |||||||||||
TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
(Cost $421,476) | $ | 482,994 | ||||||||||||||
Agency Debentures – 1.4% | ||||||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||||
USD 4,700,000 | 5.13 | % | 08/20/2012 | $ | 4,690,929 | |||||||||||
TOTAL AGENCY DEBENTURES | ||||||||||||||||
(Cost $4,671,153) | $ | 4,690,929 | ||||||||||||||
U.S. Treasury Obligations – 12.5% | ||||||||||||||||
United States Treasury Interest-Only Stripped Securities@ | ||||||||||||||||
USD 300,000 | 0.00 | % | 02/15/2013 | $ | 199,539 | |||||||||||
400,000 | 0.00 | 02/15/2014 | 250,512 | |||||||||||||
United States Treasury Principal-Only Stripped Securities• | ||||||||||||||||
1,520,000 | 0.00 | 11/15/2009 | 1,220,864 | |||||||||||||
6,210,000 | 0.00 | 05/15/2020 | 2,574,418 | |||||||||||||
1,000,000 | 0.00 | 05/15/2021 | 389,120 | |||||||||||||
1,720,000 | 0.00 | 11/15/2021 | 647,976 | |||||||||||||
1,000,000 | 0.00 | 11/15/2022 | 353,130 | |||||||||||||
2,070,000 | 0.00 | 11/15/2024 | 649,524 | |||||||||||||
2,400,000 | 0.00 | 08/15/2025 | 720,336 | |||||||||||||
1,500,000 | 0.00 | 08/15/2026 | 425,835 | |||||||||||||
United States Treasury Bonds | ||||||||||||||||
4,650,000 | 8.88 | 08/15/2017 | 6,425,463 | |||||||||||||
1,950,000 | 8.13 | 08/15/2019 | 2,571,348 | |||||||||||||
2,100,000 | 6.88 | 08/15/2025 | 2,506,140 | |||||||||||||
United States Treasury Notes | ||||||||||||||||
USD 11,000,000 | 6.75 | 05/15/2005 | 11,572,331 | |||||||||||||
500,000 | 4.63 | 05/15/2006 | 522,515 | |||||||||||||
7,130,000 | 2.63 | 05/15/2008 | 6,945,761 | |||||||||||||
1,700,000 | 3.88 | 02/15/2013 | 1,635,247 | |||||||||||||
1,700,000 | 4.25 | 08/15/2013 | 1,671,491 | |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
(Cost $41,916,461) | $ | 41,281,550 | ||||||||||||||
Exercise | Expiration | |||||||||||||||
Contracts* | Rate | Date | Value | |||||||||||||
Options Purchased – 0.0% | ||||||||||||||||
Cross Currency Option Call EUR 4,320,988 Put USD 5,250,000 1.22 | 05/07/2004 | $ | 14,392 | |||||||||||||
Cross Currency Option Call THB 270,000 Put USD 6,879 39.25 | 05/04/2004 | 6 | ||||||||||||||
TOTAL OPTIONS PURCHASED | ||||||||||||||||
(Cost $32,740) | $ | 14,398 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount* | Rate | Date | Value | |||||||||||||
Short-Term Obligations – 1.7% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
USD 5,517,000 | 0.94 | % | 05/03/2004 | $ | 5,517,000 | |||||||||||
TOTAL SHORT-TERM OBLIGATIONS | ||||||||||||||||
(Cost $5,517,000) | $ | 5,517,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $312,729,577) | $ | 324,896,012 | ||||||||||||||
* | The principal amount of each security or contract is stated in the currency in which the bond/option is denominated. See below. |
AUD | = Australian Dollar | |
CAD | = Canadian Dollar | |
DKK | = Danish Krone | |
DEM | = German Mark | |
EUR | = Euro Currency | |
GBP | = Great Britain Pound | |
JPY | = Japanese Yen | |
SEK | = Swedish Krona | |
THB | = Thailand Baht | |
USD | = United States Dollar |
† | 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 $4,966,042, which represents approximately 1.5% of net assets as of April 30, 2004. | |
# | 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. | |
± | Perpetual Maturity. Maturity date presented represents the next call date. | |
• | 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 | |||||||||||||
Corporate Bonds – 94.2% | ||||||||||||||||
Aerospace – 2.1% | ||||||||||||||||
Argo-Tech Corp. (B-/Caa1) | ||||||||||||||||
USD 8,500,000 | 8.63 | % | 10/01/2007 | $ | 8,500,000 | |||||||||||
Aspropulsion Capital B.V. (B-/B2) | ||||||||||||||||
EUR 1,000,000 | 9.63 | 10/01/2013 | 1,251,545 | |||||||||||||
5,250,000 | 9.63 | † | 10/01/2013 | 6,570,611 | ||||||||||||
BE Aerospace, Inc. (B+/B3) | ||||||||||||||||
USD 1,000,000 | 8.50 | 10/01/2010 | 1,090,000 | |||||||||||||
BE Aerospace, Inc. (B-/Caa3) | ||||||||||||||||
3,250,000 | 9.50 | 11/01/2008 | 3,266,250 | |||||||||||||
1,000,000 | 8.88 | 05/01/2011 | 965,000 | |||||||||||||
Dunlop Standard Aerospace Holdings (CCC+/B3) | ||||||||||||||||
5,000,000 | 11.88 | 05/15/2009 | 5,300,000 | |||||||||||||
Hexcel Corp. (CCC+/Caa2) | ||||||||||||||||
3,500,000 | 9.75 | 01/15/2009 | 3,683,750 | |||||||||||||
K&F Industries, Inc. (B/B3) | ||||||||||||||||
4,703,000 | 9.25 | 10/15/2007 | 4,891,120 | |||||||||||||
MTU Aero Engines Investment (B/B2)† | ||||||||||||||||
EUR 3,750,000 | 8.25 | 04/01/2014 | 4,625,926 | |||||||||||||
Sequa Corp. (BB-/B1) | ||||||||||||||||
USD 4,000,000 | 9.00 | 08/01/2009 | 4,460,000 | |||||||||||||
TD Funding Corp. (B-/B3) | ||||||||||||||||
4,000,000 | 8.38 | 07/15/2011 | 4,200,000 | |||||||||||||
$ | 48,804,202 | |||||||||||||||
Airlines – 0.2% | ||||||||||||||||
Continental Airlines, Inc. (B/B3) | ||||||||||||||||
USD 3,000,000 | 7.57 | % | 12/01/2006 | $ | 2,580,000 | |||||||||||
Delta Air Lines, Inc. (CCC)† | ||||||||||||||||
2,920,000 | 10.00 | 08/15/2008 | 1,752,000 | |||||||||||||
Delta Air Lines, Inc. (CCC/Caa2) | ||||||||||||||||
1,500,000 | 7.90 | 12/15/2009 | 810,000 | |||||||||||||
$ | 5,142,000 | |||||||||||||||
Automotive Parts – 4.8% | ||||||||||||||||
Accuride Corp. (CCC+/Caa1) | ||||||||||||||||
USD 4,250,000 | 9.25 | % | 02/01/2008 | $ | 4,382,812 | |||||||||||
Advanced Accessory Systems (CCC+/B3) | ||||||||||||||||
3,000,000 | 10.75 | 06/15/2011 | 3,150,000 | |||||||||||||
Allied Holdings, Inc. (B-/Caa1) | ||||||||||||||||
3,174,000 | 8.63 | 10/01/2007 | 3,062,910 | |||||||||||||
Anchor Lamina, Inc | ||||||||||||||||
1,500,000 | 9.88 | 02/01/2008 | 930,000 | |||||||||||||
Collins & Aikman Products (B-/B2) | ||||||||||||||||
2,625,000 | 10.75 | 12/31/2011 | 2,716,875 | |||||||||||||
Collins & Aikman Products (B-/B3) | ||||||||||||||||
1,000,000 | 11.50 | 04/15/2006 | 990,000 | |||||||||||||
Dana Corp. (BB/Ba3) | ||||||||||||||||
EUR 1,500,000 | 9.00 | 08/15/2011 | 2,119,842 | |||||||||||||
USD 1,000,000 | 9.00 | 08/15/2011 | 1,180,000 | |||||||||||||
Delco Remy International, Inc. (CCC+/B2) | ||||||||||||||||
2,750,000 | 8.63 | 12/15/2007 | 2,832,500 | |||||||||||||
Delco Remy International, Inc. (CCC+/B3) | ||||||||||||||||
3,250,000 | 11.00 | 05/01/2009 | 3,436,875 | |||||||||||||
Federal-Mogul Corp.Ø | ||||||||||||||||
2,375,000 | 7.50 | 01/15/2009 | 665,000 | |||||||||||||
Foamex LP (B-/B3) | ||||||||||||||||
USD 4,500,000 | 10.75 | 04/01/2009 | 4,207,500 | |||||||||||||
Foamex LP (CCC+/Caa2) | ||||||||||||||||
3,000,000 | 9.88 | 06/15/2007 | 2,100,000 | |||||||||||||
Intermet Corp. (B/B2) | ||||||||||||||||
1,750,000 | 9.75 | 06/15/2009 | 1,653,750 | |||||||||||||
Keystone Automotive Operations, Inc. (B-/B3)† | ||||||||||||||||
4,000,000 | 9.75 | 11/01/2013 | 4,380,000 | |||||||||||||
LucasVarity PLC | ||||||||||||||||
GBP 5,400,000 | 10.88 | 07/10/2020 | 11,688,436 | |||||||||||||
Navistar International Corp. (B/B2) | ||||||||||||||||
USD 2,250,000 | 8.00 | 02/01/2008 | 2,306,250 | |||||||||||||
Navistar International Corp. (BB-/Ba3) | ||||||||||||||||
2,750,000 | 9.38 | 06/01/2006 | 3,031,875 | |||||||||||||
Prestolite Electric, Inc | ||||||||||||||||
2,074,000 | 9.63 | 02/01/2008 | 2,115,480 | |||||||||||||
Stanadyne Automotive Corp. (B/B3) | ||||||||||||||||
4,000,000 | 10.25 | 12/15/2007 | 4,000,000 | |||||||||||||
Stoneridge, Inc. (B+/B2) | ||||||||||||||||
3,000,000 | 11.50 | 05/01/2012 | 3,585,000 | |||||||||||||
Teksid Aluminium Lux (CCC+/B2)† | ||||||||||||||||
EUR 5,000,000 | 11.38 | 07/15/2011 | 6,025,680 | |||||||||||||
Tenneco Automotive, Inc. (CCC+/B2) | ||||||||||||||||
USD 2,000,000 | 10.25 | 07/15/2013 | 2,310,000 | |||||||||||||
Tenneco Automotive, Inc. (CCC+/Caa1) | ||||||||||||||||
3,000,000 | 11.63 | 10/15/2009 | 3,285,000 | |||||||||||||
The Goodyear Tire & Rubber Co. (B3) | ||||||||||||||||
3,000,000 | 11.00 | 03/01/2011 | 3,285,000 | |||||||||||||
The Goodyear Tire & Rubber Co. (B/B3) | ||||||||||||||||
EUR 4,000,000 | 6.38 | 06/06/2005 | 4,791,609 | |||||||||||||
USD 7,000,000 | 7.86 | 08/15/2011 | 5,915,000 | |||||||||||||
The Goodyear Tire & Rubber Co. (B+/B3) | ||||||||||||||||
CHF 1,000,000 | 5.38 | 03/17/2006 | 788,429 | |||||||||||||
TRW Automotive (BB-/B1) | ||||||||||||||||
USD 2,250,000 | 9.38 | 02/15/2013 | 2,576,250 | |||||||||||||
TRW Automotive (BB-/B2) | ||||||||||||||||
3,250,000 | 11.00 | 02/15/2013 | 3,867,500 | |||||||||||||
EUR 6,013,000 | 11.75 | 02/15/2013 | 8,569,754 | |||||||||||||
United Components, Inc. (B/B3) | ||||||||||||||||
USD 5,500,000 | 9.38 | 06/15/2013 | 5,912,500 | |||||||||||||
Venture Holdings TrustØ | ||||||||||||||||
5,750,000 | 9.50 | 07/01/2005 | 258,750 | |||||||||||||
$ | 112,120,577 | |||||||||||||||
Building Materials – 4.9% | ||||||||||||||||
Associated Materials, Inc. (B-/Caa1)† | ||||||||||||||||
USD 9,000,000 | 11.25 | % | 03/01/2014 | $ | 5,805,000 | |||||||||||
Atrium Cos., Inc. (B-/B3) | ||||||||||||||||
4,000,000 | 10.50 | 05/01/2009 | 4,200,000 | |||||||||||||
Better Minerals & Aggregates (CC/Caa3) | ||||||||||||||||
3,000,000 | 13.00 | 09/15/2009 | 2,310,000 | |||||||||||||
Carmeuse Lime B.V. (B+/Ba3) | ||||||||||||||||
EUR 10,000,000 | 10.75 | 07/15/2012 | 13,653,218 | |||||||||||||
FIMEP/ Legrand S.A. (B+/B1) | ||||||||||||||||
USD 6,500,000 | 10.50 | 02/15/2013 | 7,572,500 | |||||||||||||
EUR 10,000,000 | 11.00 | 02/15/2013 | 14,252,043 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Building Materials – (continued) | ||||||||||||||||
Grohe Holding GMBH (B/B2) | ||||||||||||||||
10,000,000 | 11.50 | % | 11/15/2010 | $ | 13,772,983 | |||||||||||
Heating Finance PLC (B/B2)† | ||||||||||||||||
GBP 1,750,000 | 7.88 | 03/31/2014 | 2,895,274 | |||||||||||||
Interface, Inc. (CCC/Caa3)† | ||||||||||||||||
USD 2,000,000 | 9.50 | 02/01/2014 | 2,030,000 | |||||||||||||
Jacuzzi Brands, Inc. (B/B3) | ||||||||||||||||
3,000,000 | 9.63 | 07/01/2010 | 3,345,000 | |||||||||||||
Legrand S.A. (B+/Ba3) | ||||||||||||||||
7,050,000 | 8.50 | 02/15/2025 | 7,428,938 | |||||||||||||
Nortek Holdings, Inc. (B-/Caa1)†§ | ||||||||||||||||
8,000,000 | 0.00/10.00 | 05/15/2011 | 5,960,000 | |||||||||||||
Sanitec International S.A. (B-/B3) | ||||||||||||||||
EUR 10,375,000 | 9.00 | 05/15/2012 | 12,612,010 | |||||||||||||
Texas Industries, Inc. (BB-/B1) | ||||||||||||||||
USD 10,000,000 | 10.25 | 06/15/2011 | 11,350,000 | |||||||||||||
USG Corp.Ø | ||||||||||||||||
2,000,000 | 8.50 | 08/01/2005 | 1,960,000 | |||||||||||||
1,500,000 | 9.25 | 09/15/2049 | 1,410,000 | |||||||||||||
Werner Holdings Co., Inc. (CCC+/B3) | ||||||||||||||||
6,000,000 | 10.00 | 11/15/2007 | 4,560,000 | |||||||||||||
$ | 115,116,966 | |||||||||||||||
Capital Goods – 3.6% | ||||||||||||||||
AGCO Corp. (BB-/Ba3) | ||||||||||||||||
USD 500,000 | 9.50 | % | 05/01/2008 | $ | 548,750 | |||||||||||
Alfa Laval AB (BBB-/Ba1) | ||||||||||||||||
EUR 5,258,000 | 12.13 | 11/15/2010 | 7,304,807 | |||||||||||||
Columbus McKinnon Corp. (B-/B3) | ||||||||||||||||
USD 2,750,000 | 10.00 | 08/01/2010 | 2,928,750 | |||||||||||||
Dresser, Inc. (B/B2) | ||||||||||||||||
4,000,000 | 9.38 | 04/15/2011 | 4,320,000 | |||||||||||||
Flender Holdings GMBH (B-/B2) | ||||||||||||||||
EUR 1,500,000 | 11.00 | 08/01/2010 | 2,083,912 | |||||||||||||
5,000,000 | 11.00 | † | 08/01/2010 | 6,946,374 | ||||||||||||
Flowserve Corp. (B/B2) | ||||||||||||||||
USD 3,000,000 | 12.25 | 08/15/2010 | 3,450,000 | |||||||||||||
Flowserve Finance B.V. (B/B2) | ||||||||||||||||
EUR 953,000 | 12.25 | 08/15/2010 | 1,278,325 | |||||||||||||
General Binding Corp. (B-/Caa1) | ||||||||||||||||
USD 5,500,000 | 9.38 | 06/01/2008 | 5,589,375 | |||||||||||||
General Cable Corp. (B/B2)† | ||||||||||||||||
2,500,000 | 9.50 | 11/15/2010 | 2,731,250 | |||||||||||||
Luxfer Holdings PLC (CCC+/Caa1) | ||||||||||||||||
GBP 3,250,000 | 10.13 | 05/01/2009 | 4,814,738 | |||||||||||||
Metaldyne Corp. (B/Caa1) | ||||||||||||||||
USD 5,000,000 | 11.00 | 06/15/2012 | 4,350,000 | |||||||||||||
Mueller Holdings, Inc. (B-)§ | ||||||||||||||||
8,000,000 | 0.00/14.75 | 04/15/2014 | 4,360,000 | |||||||||||||
NMHG Holding Co. (B+/B3) | ||||||||||||||||
5,000,000 | 10.00 | 05/15/2009 | 5,550,000 | |||||||||||||
Rexnord Corp. (B-/B3) | ||||||||||||||||
12,750,000 | 10.13 | 12/15/2012 | 13,897,500 | |||||||||||||
Simonds Industries± | ||||||||||||||||
USD 131,000 | 10.00 | 10/01/2008 | 225,000 | |||||||||||||
Terex Corp. (B/B3) | ||||||||||||||||
1,000,000 | 10.38 | 04/01/2011 | 1,137,500 | |||||||||||||
2,000,000 | 9.25 | 07/15/2011 | 2,230,000 | |||||||||||||
Thermadyne Holdings Corp.Ø | ||||||||||||||||
4,000,000 | 12.50 | 06/01/2008 | 40 | |||||||||||||
Trench Electric S.A. (CCC+/B3) | ||||||||||||||||
9,000,000 | 10.25 | 12/15/2007 | 9,135,000 | |||||||||||||
$ | 82,881,321 | |||||||||||||||
Chemicals – 7.3% | ||||||||||||||||
Avecia Group PLC (CCC/Caa3) | ||||||||||||||||
USD 10,250,000 | 11.00 | % | 07/01/2009 | $ | 8,148,750 | |||||||||||
250,000 | 11.00 | † | 07/01/2009 | 173,750 | ||||||||||||
Compass Minerals International, Inc. (B-)§ | ||||||||||||||||
8,750,000 | 0.00/12.75 | 12/15/2012 | 7,087,500 | |||||||||||||
7,750,000 | 0.00/12.00 | 06/01/2013 | 5,967,500 | |||||||||||||
Dynea International Oy (CCC/Caa2) | ||||||||||||||||
EUR 7,500,000 | 12.25 | 08/15/2010 | 6,197,842 | |||||||||||||
Equistar Chemical/ Funding (B+/B2) | ||||||||||||||||
USD 3,750,000 | 10.63 | 05/01/2011 | 4,190,625 | |||||||||||||
Equistar Chemicals LP (B+) | ||||||||||||||||
2,000,000 | 7.55 | 02/15/2026 | 1,805,000 | |||||||||||||
Equistar Chemicals LP (B+/B2) | ||||||||||||||||
2,750,000 | 10.13 | 09/01/2008 | 3,059,375 | |||||||||||||
Ethyl Corp. (B/B2) | ||||||||||||||||
4,250,000 | 8.88 | 05/01/2010 | 4,611,250 | |||||||||||||
General Chemicals Industries Ø | ||||||||||||||||
1,500,000 | 10.63 | 05/01/2009 | 150,000 | |||||||||||||
Hercules, Inc. (BB-/Ba2) | ||||||||||||||||
2,500,000 | 11.13 | 11/15/2007 | 3,000,000 | |||||||||||||
HMP Equity Holdings Corp. (CCC+)†@ | ||||||||||||||||
10,000,000 | 0.00 | 05/15/2008 | 5,900,000 | |||||||||||||
Huntsman Advanced Materials LLC (B/B2)† | ||||||||||||||||
5,000,000 | 11.00 | 07/15/2010 | 5,600,000 | |||||||||||||
Huntsman ICI Chemicals (Caa1) | ||||||||||||||||
EUR 4,500,000 | 10.13 | 07/01/2009 | 5,402,902 | |||||||||||||
Huntsman ICI Holdings LLC (B-/B3) | ||||||||||||||||
USD 2,000,000 | 9.88 | 03/01/2009 | 2,225,000 | |||||||||||||
Huntsman ICI Holdings LLC (CCC+/Caa1) | ||||||||||||||||
1,750,000 | 10.13 | 07/01/2009 | 1,837,500 | |||||||||||||
Huntsman ICI Holdings LLC (CCC+/Caa2)@ | ||||||||||||||||
17,000,000 | 0.00 | 12/31/2009 | 8,415,000 | |||||||||||||
Huntsman International LLC (CCC+/Caa1) | ||||||||||||||||
EUR 4,875,000 | 10.13 | 07/01/2009 | 5,853,143 | |||||||||||||
IMC Global, Inc. (B+/B1) | ||||||||||||||||
USD 4,500,000 | 10.88 | 08/01/2013 | 5,602,500 | |||||||||||||
IMC Global, Inc. (B-/B2) | ||||||||||||||||
26,000 | 7.63 | 11/01/2005 | 26,910 | |||||||||||||
Ineos Group Holdings PLC (B+/B1) | ||||||||||||||||
EUR 2,750,000 | 10.50 | 08/01/2010 | 3,655,829 | |||||||||||||
ISP Chemco, Inc. (BB-/B1) | ||||||||||||||||
USD 3,500,000 | 10.25 | 07/01/2011 | 3,955,000 | |||||||||||||
Lucite International Finance PLC (B+/B3) | ||||||||||||||||
EUR 8,000,000 | 10.25 | 05/15/2010 | 10,443,514 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Chemicals – (continued) | ||||||||||||||||
Lyondell Chemical Co. (B+/B1) | ||||||||||||||||
USD 2,000,000 | 9.88 | % | 05/01/2007 | $ | 2,100,000 | |||||||||||
1,500,000 | 9.50 | 12/15/2008 | 1,567,500 | |||||||||||||
4,000,000 | 10.50 | 06/01/2013 | 4,380,000 | |||||||||||||
Noveon, Inc | ||||||||||||||||
9,357,356 | 13.00 | 08/31/2011 | 9,918,798 | |||||||||||||
Noveon, Inc. (B/B3) | ||||||||||||||||
7,000,000 | 11.00 | 02/28/2011 | 8,225,000 | |||||||||||||
OM Group, Inc. (B-/Caa1) | ||||||||||||||||
3,500,000 | 9.25 | 12/15/2011 | 3,587,500 | |||||||||||||
Rhodia S.A. (CCC+/B3) | ||||||||||||||||
EUR 2,000,000 | 8.00 | 06/01/2010 | 2,167,748 | |||||||||||||
Rhodia S.A. (CCC+/Caa1) | ||||||||||||||||
USD 3,000,000 | 8.88 | † | 06/01/2011 | 2,550,000 | ||||||||||||
EUR 5,500,000 | 9.25 | 06/01/2011 | 5,500,211 | |||||||||||||
1,500,000 | 9.25 | † | 06/01/2011 | 1,500,057 | ||||||||||||
Rockwood Specialties, Inc. (B-/B3) | ||||||||||||||||
USD 5,000,000 | 10.63 | 05/15/2011 | 5,350,000 | |||||||||||||
Royster-Clark, Inc. (B-/Caa1) | ||||||||||||||||
2,250,000 | 10.25 | 04/01/2009 | 2,182,500 | |||||||||||||
Solutia Europe S.A. N.V. (CCC+) | ||||||||||||||||
EUR 2,000,000 | 10.00 | 12/15/2008 | 2,491,113 | |||||||||||||
Sovereign Specialty Chemicals, Inc. (B-/Caa1) | ||||||||||||||||
USD 6,750,000 | 11.88 | 03/15/2010 | 6,952,500 | |||||||||||||
United Agri Products (B-/B3)† | ||||||||||||||||
2,000,000 | 8.25 | 12/15/2011 | 2,220,000 | |||||||||||||
Witco Corp. (BB/Ba2) | ||||||||||||||||
7,000,000 | 7.75 | 04/01/2023 | 6,125,000 | |||||||||||||
$ | 170,126,817 | |||||||||||||||
Conglomerates – 3.3% | ||||||||||||||||
ABB International Finance Ltd. (BB-/B1) | ||||||||||||||||
USD 5,000,000 | 4.63 | % | 05/16/2007 | $ | 5,312,500 | |||||||||||
EUR 6,000,000 | 11.00 | 01/15/2008 | 8,425,473 | |||||||||||||
Blount, Inc. (CCC/Caa1) | ||||||||||||||||
USD 3,000,000 | 7.00 | 06/15/2005 | 3,120,000 | |||||||||||||
Blount, Inc. (CCC/Caa2) | ||||||||||||||||
5,000,000 | 13.00 | 08/01/2009 | 5,400,000 | |||||||||||||
Britax Group PLC@ | ||||||||||||||||
EUR 20,000,000 | 0.00 | 12/01/2008 | 5,605,005 | |||||||||||||
Britax Group PLC (B-/B3) | ||||||||||||||||
8,000,000 | 11.25 | 05/15/2011 | 9,988,407 | |||||||||||||
Invensys PLC (B-/B3) | ||||||||||||||||
USD 750,000 | 7.13 | 01/15/2007 | 751,875 | |||||||||||||
1,000,000 | 6.50 | 01/15/2010 | 920,000 | |||||||||||||
3,000,000 | 6.50 | † | 01/15/2010 | 2,790,000 | ||||||||||||
5,000,000 | 9.88 | † | 03/15/2011 | 5,275,000 | ||||||||||||
Mark IV Industries, Inc. (B/Caa1) | ||||||||||||||||
10,007,000 | 7.50 | 09/01/2007 | 9,406,580 | |||||||||||||
SPX Corp. (BB+/Ba3) | ||||||||||||||||
USD 5,500,000 | 7.50 | 01/01/2013 | 5,857,500 | |||||||||||||
The Manitowoc Co., Inc. (B/B2) | ||||||||||||||||
EUR 4,500,000 | 10.38 | 05/15/2011 | 5,955,318 | |||||||||||||
Trimas Corp. (B/B3) | ||||||||||||||||
USD 7,250,000 | 9.88 | 06/15/2012 | 7,830,000 | |||||||||||||
$ | 76,637,658 | |||||||||||||||
Consumer Cyclicals – Services – 2.0% | ||||||||||||||||
APCOA, Inc. (CCC+/Caa3) | ||||||||||||||||
USD 3,000,000 | 9.25 | % | 03/15/2008 | $ | 1,050,000 | |||||||||||
Ashtead Holdings PLC (B-/B2)† | ||||||||||||||||
GBP 3,000,000 | 12.00 | 05/01/2014 | 5,322,603 | |||||||||||||
Brickman Group Ltd. (B/B2) | ||||||||||||||||
USD 2,000,000 | 11.75 | 12/15/2009 | 2,315,000 | |||||||||||||
Buhrmann U.S., Inc. (B/B2) | ||||||||||||||||
1,250,000 | 12.25 | 11/01/2009 | 1,368,750 | |||||||||||||
H&E Equipment Services LLC (B-/B3) | ||||||||||||||||
3,000,000 | 11.13 | 06/15/2012 | 3,240,000 | |||||||||||||
Integrated Electrical Services, Inc. (B+/B2) | ||||||||||||||||
2,500,000 | 9.38 | 02/01/2009 | 2,612,500 | |||||||||||||
Interline Brands, Inc. (B-/Caa1) | ||||||||||||||||
5,000,000 | 11.50 | 05/15/2011 | 5,425,000 | |||||||||||||
MSX International, Inc. (B-/B2) | ||||||||||||||||
2,500,000 | 11.00 | 10/15/2007 | 2,400,000 | |||||||||||||
MSX International, Inc. (CCC+/Caa1) | ||||||||||||||||
1,000,000 | 11.38 | 01/15/2008 | 750,000 | |||||||||||||
Penhall International Corp. (B-/Caa3) | ||||||||||||||||
3,000,000 | 12.00 | 08/01/2006 | 2,850,000 | |||||||||||||
The Shaw Group, Inc. (BB-/Ba2) | ||||||||||||||||
4,500,000 | 10.75 | 03/15/2010 | 4,635,000 | |||||||||||||
United Rentals North America, Inc. (B+/B2) | ||||||||||||||||
4,000,000 | 7.75 | 11/15/2013 | 3,900,000 | |||||||||||||
2,750,000 | 7.00 | † | 02/15/2014 | 2,557,500 | ||||||||||||
Wesco Distribution, Inc. (B-/B3) | ||||||||||||||||
4,250,000 | 9.13 | 06/01/2008 | 4,377,500 | |||||||||||||
Williams Scotsman, Inc. (B-/B3) | ||||||||||||||||
2,750,000 | 9.88 | 06/01/2007 | 2,743,125 | |||||||||||||
$ | 45,546,978 | |||||||||||||||
Consumer Products – 4.2% | ||||||||||||||||
Armkel LLC (B/B1) | ||||||||||||||||
USD 4,250,000 | 9.50 | % | 08/15/2009 | $ | 4,637,812 | |||||||||||
Bombardier Recreational Products, Inc. (B-/B3)† | ||||||||||||||||
6,000,000 | 8.38 | 12/15/2013 | 5,940,000 | |||||||||||||
Briggs & Stratton Corp. (BB+/Ba1) | ||||||||||||||||
2,500,000 | 8.88 | 03/15/2011 | 2,975,000 | |||||||||||||
Cabot Safety Corp. (B-) | ||||||||||||||||
5,500,000 | 12.50 | 07/15/2005 | 5,610,000 | |||||||||||||
Doane Pet Care Co. (CCC/B2) | ||||||||||||||||
3,250,000 | 10.75 | 03/01/2010 | 3,461,250 | |||||||||||||
FTD, Inc. (B-/B3)† | ||||||||||||||||
2,000,000 | 7.75 | 02/15/2014 | 1,990,000 | |||||||||||||
Herbalife International, Inc. (B/B2) | ||||||||||||||||
4,250,000 | 11.75 | 07/15/2010 | 4,908,750 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Consumer Products – (continued) | ||||||||||||||||
Jafra Cosmetics International, Inc. (B-/B3) | ||||||||||||||||
USD 2,000,000 | 10.75 | % | 05/15/2011 | $ | 2,265,000 | |||||||||||
Johnsondiversey Holdings, Inc. (B/B3)§ | ||||||||||||||||
5,000,000 | 0.00/10.67 | 05/15/2013 | 3,775,000 | |||||||||||||
Johnsondiversey, Inc. (B/B2) | ||||||||||||||||
EUR 2,000,000 | 9.63 | 05/15/2012 | 2,586,925 | |||||||||||||
USD 2,500,000 | 9.63 | 05/15/2012 | 2,737,500 | |||||||||||||
Jostens Holding Corp. (B-/Caa2)§ | ||||||||||||||||
4,000,000 | 0.00/10.25 | 12/01/2013 | 2,690,000 | |||||||||||||
Jostens, Inc. (B-/B3) | ||||||||||||||||
5,000,000 | 12.75 | 05/01/2010 | 5,625,000 | |||||||||||||
MemberWorks, Inc. (B/B2)† | ||||||||||||||||
3,000,000 | 9.25 | 04/01/2014 | 2,992,500 | |||||||||||||
Norcross Safety Products (B-/B3) | ||||||||||||||||
4,250,000 | 9.88 | 08/15/2011 | 4,611,250 | |||||||||||||
Playtex Products, Inc. (CCC+/Caa2) | ||||||||||||||||
6,500,000 | 9.38 | 06/01/2011 | 6,451,250 | |||||||||||||
Prestige Brands, Inc. (CCC+/Caa1)† | ||||||||||||||||
3,500,000 | 9.25 | 04/15/2012 | 3,377,500 | |||||||||||||
Remington Arms Co., Inc. (CCC+/B2) | ||||||||||||||||
2,500,000 | 10.50 | 02/01/2011 | 2,481,250 | |||||||||||||
Safilo Capital International S.A. (CCC+/Caa2) | ||||||||||||||||
EUR 13,500,000 | 9.63 | 05/15/2013 | 14,713,139 | |||||||||||||
Sola International, Inc. (B/B1) | ||||||||||||||||
USD 2,000,000 | 6.88 | 03/15/2008 | 2,000,000 | |||||||||||||
Texon International PLC | ||||||||||||||||
DEM 2,250,000 | 10.00 | 02/01/2010 | 413,336 | |||||||||||||
United Industries Corp. (B-/B3) | ||||||||||||||||
USD 5,000,000 | 9.88 | 04/01/2009 | 5,237,500 | |||||||||||||
WH Holdings (B/B3)† | ||||||||||||||||
6,000,000 | 9.50 | 04/01/2011 | 6,390,000 | |||||||||||||
$ | 97,869,962 | |||||||||||||||
Defense – 0.2% | ||||||||||||||||
Alliant Techsystems, Inc. (B/B2) | ||||||||||||||||
USD 1,500,000 | 8.50 | % | 05/15/2011 | $ | 1,650,000 | |||||||||||
L-3 Communications Corp. (BB-/Ba3)† | ||||||||||||||||
3,500,000 | 6.13 | 01/15/2014 | 3,482,500 | |||||||||||||
$ | 5,132,500 | |||||||||||||||
Electric – 5.2% | ||||||||||||||||
AES Corp. (B+/B2)† | ||||||||||||||||
USD 2,000,000 | 9.00 | % | 05/15/2015 | $ | 2,185,000 | |||||||||||
AES Corp. (B-/B3) | ||||||||||||||||
5,250,000 | 9.50 | 06/01/2009 | 5,656,875 | |||||||||||||
5,250,000 | 9.38 | 09/15/2010 | 5,656,875 | |||||||||||||
Allegheny Energy Supply Co. LLC (CCC+/B3) | ||||||||||||||||
1,000,000 | 7.80 | 03/15/2011 | 980,000 | |||||||||||||
7,250,000 | 8.25 | † | 04/15/2012 | 7,268,125 | ||||||||||||
Aquila, Inc. (B-/Caa1) | ||||||||||||||||
5,500,000 | 9.95 | 02/01/2011 | 5,830,000 | |||||||||||||
Calpine Canada Energy Finance (CCC+/Caa1) | ||||||||||||||||
13,750,000 | 8.50 | 05/01/2008 | 9,659,375 | |||||||||||||
Calpine Corp. (B)† | ||||||||||||||||
1,750,000 | 9.88 | 12/01/2011 | 1,618,750 | |||||||||||||
7,500,000 | 8.75 | 07/15/2013 | 6,637,500 | |||||||||||||
Calpine Corp. (CCC+/Caa1) | ||||||||||||||||
USD 1,250,000 | 8.63 | 08/15/2010 | 871,875 | |||||||||||||
4,000,000 | 8.50 | 02/15/2011 | 2,800,000 | |||||||||||||
CMS Energy Corp. (B+/B3) | ||||||||||||||||
3,250,000 | 9.88 | 10/15/2007 | 3,558,750 | |||||||||||||
Dynegy Holdings, Inc. (B-/B3)† | ||||||||||||||||
5,000,000 | 10.13 | 07/15/2013 | 5,500,000 | |||||||||||||
Dynegy Holdings, Inc. (CCC+/Caa2) | ||||||||||||||||
4,500,000 | 8.75 | 02/15/2012 | 4,275,000 | |||||||||||||
1,500,000 | 7.13 | 05/15/2018 | 1,192,500 | |||||||||||||
Edison Mission Energy (B/B2) | ||||||||||||||||
1,500,000 | 10.00 | 08/15/2008 | 1,575,000 | |||||||||||||
1,000,000 | 9.88 | 04/15/2011 | 1,027,500 | |||||||||||||
Elwood Energy LLC (BB/Ba2) | ||||||||||||||||
2,746,320 | 8.16 | 07/05/2026 | 2,856,173 | |||||||||||||
Ipalco Enterprises, Inc. (BB-/Ba1) | ||||||||||||||||
1,250,000 | 8.38 | 11/14/2008 | 1,387,500 | |||||||||||||
2,000,000 | 8.63 | 11/14/2011 | 2,250,000 | |||||||||||||
Midwest Generation LLC (B/B2) | ||||||||||||||||
1,000,000 | 8.30 | 07/02/2009 | 1,030,000 | |||||||||||||
5,000,000 | 8.56 | 01/02/2016 | 5,125,000 | |||||||||||||
Mirant Americas Generation LLC (D)Ø | ||||||||||||||||
6,500,000 | 7.63 | 05/01/2006 | 4,696,250 | |||||||||||||
1,000,000 | 8.30 | 05/01/2011 | 720,000 | |||||||||||||
Mirant Corp. (D)†Ø | ||||||||||||||||
2,250,000 | 7.90 | 07/15/2009 | 1,327,500 | |||||||||||||
Mirant Mid-Atlantic LLC (D)Ø | ||||||||||||||||
2,236,320 | 9.13 | 06/30/2017 | 2,303,409 | |||||||||||||
Monongahela Power Co. (B-/Ba2) | ||||||||||||||||
3,000,000 | 7.36 | 01/15/2010 | 3,001,050 | |||||||||||||
Noteco Ltd. (Drax) A2± | ||||||||||||||||
GBP 1,521,000 | 8.18 | 06/30/2015 | 3,089,851 | |||||||||||||
Noteco Ltd. (Drax) A3± | ||||||||||||||||
287,000 | 9.18 | 06/30/2020 | 0 | |||||||||||||
Noteco Ltd. (Drax) B# | ||||||||||||||||
645,000 | 6.18 | 06/30/2025 | 944,096 | |||||||||||||
NRG Energy, Inc. (B+/B2)† | ||||||||||||||||
USD 3,500,000 | 8.00 | 12/15/2013 | 3,543,750 | |||||||||||||
Portland General Electric (BBB+/Baa2) | ||||||||||||||||
5,000,000 | 9.31 | 08/011/2021 | 5,798,600 | |||||||||||||
Reliant Resources, Inc. (B/B1) | ||||||||||||||||
3,000,000 | 9.25 | 07/15/2010 | 3,225,000 | |||||||||||||
4,000,000 | 9.50 | 07/15/2013 | 4,360,000 | |||||||||||||
South Point Energy Center LLC (B/B2)† | ||||||||||||||||
1,619,802 | 8.40 | 05/30/2012 | 1,474,020 | |||||||||||||
4,000,000 | 9.83 | 05/30/2019 | 3,420,000 | |||||||||||||
Utilicorp Canada Finance Corp. (B-/Caa1) | ||||||||||||||||
3,500,000 | 7.75 | 06/15/2011 | 3,377,500 | |||||||||||||
$ | 120,222,824 | |||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Energy – 2.0% | ||||||||||||||||
AmeriGas Partners LP (BB-/B2) | ||||||||||||||||
USD 2,000,000 | 8.88 | % | 05/20/2011 | $ | 2,200,000 | |||||||||||
Benton Oil & Gas Co. (B-/Caa2) | ||||||||||||||||
3,500,000 | 9.38 | 11/01/2007 | 3,570,000 | |||||||||||||
EL Paso Production Holding Co. (B-/B3) | ||||||||||||||||
USD 9,000,000 | 7.75 | 06/01/2013 | 8,550,000 | |||||||||||||
Grant Prideco Escrow, Inc. (BB-/Ba3) | ||||||||||||||||
500,000 | 9.00 | 12/15/2009 | 551,250 | |||||||||||||
Grant Prideco, Inc. (BB-/Ba3) | ||||||||||||||||
1,500,000 | 9.63 | 12/01/2007 | 1,687,500 | |||||||||||||
GulfTerra Energy Partners LP (BB-/B1) | ||||||||||||||||
1,799,000 | 8.50 | 06/01/2010 | 2,005,885 | |||||||||||||
1,675,000 | 8.50 | 06/01/2011 | 1,871,813 | |||||||||||||
1,005,000 | 10.63 | 12/01/2012 | 1,231,125 | |||||||||||||
Kvaerner ASA (B2)† | ||||||||||||||||
EUR 3,750,000 | 8.38 | 06/15/2011 | 4,491,190 | |||||||||||||
Paramount Resources Ltd. (B/B2) | ||||||||||||||||
USD 2,000,000 | 7.88 | 11/01/2010 | 1,990,000 | |||||||||||||
Peabody Energy Corp. (BB-/Ba3) | ||||||||||||||||
2,500,000 | 6.88 | 03/15/2013 | 2,600,000 | |||||||||||||
Premcor Refining Group, Inc. (B/B2) | ||||||||||||||||
2,500,000 | 7.75 | 02/01/2012 | 2,625,000 | |||||||||||||
Sonat, Inc. (CCC+/Caa1) | ||||||||||||||||
1,000,000 | 7.63 | 07/15/2011 | 870,000 | |||||||||||||
Star Gas Partners LP (B/B3) | ||||||||||||||||
3,000,000 | 10.25 | 02/15/2013 | 3,285,000 | |||||||||||||
Tesoro Petroleum Corp. (B/B3) | ||||||||||||||||
5,000,000 | 9.63 | 04/01/2012 | 5,637,500 | |||||||||||||
Vintage Petroleum, Inc. (B/B1) | ||||||||||||||||
1,500,000 | 7.88 | 05/15/2011 | 1,593,750 | |||||||||||||
Vintage Petroleum, Inc. (BB-/Ba3) | ||||||||||||||||
2,000,000 | 8.25 | 05/01/2012 | 2,195,000 | |||||||||||||
$ | 46,955,013 | |||||||||||||||
Entertainment – 0.9% | ||||||||||||||||
Imax Corp. (B-/B3)† | ||||||||||||||||
USD 1,250,000 | 9.63 | % | 12/01/2010 | $ | 1,262,500 | |||||||||||
Six Flags, Inc. (B-/B3) | ||||||||||||||||
2,250,000 | 9.50 | 02/01/2009 | 2,362,500 | |||||||||||||
2,000,000 | 8.88 | 02/01/2010 | 2,035,000 | |||||||||||||
5,000,000 | 9.75 | 04/15/2013 | 5,268,750 | |||||||||||||
Universal City Development Partners (B-/B2) | ||||||||||||||||
8,750,000 | 11.75 | 04/01/2010 | 10,160,938 | |||||||||||||
$ | 21,089,688 | |||||||||||||||
Environmental – 0.6% | ||||||||||||||||
Allied Waste North America, Inc | ||||||||||||||||
USD 57,000 | 7.88 | % | 01/01/2009 | $ | 58,995 | |||||||||||
Allied Waste North America, Inc. (BB-/Ba3) | ||||||||||||||||
2,375,000 | 8.88 | 04/01/2008 | 2,654,062 | |||||||||||||
1,500,000 | 8.50 | 12/01/2008 | 1,672,500 | |||||||||||||
1,500,000 | 7.88 | 04/15/2013 | 1,620,000 | |||||||||||||
IESI Corp. (B-/B3) | ||||||||||||||||
2,750,000 | 10.25 | 06/15/2012 | 2,983,750 | |||||||||||||
Synagro Technologies, Inc. (B/B3) | ||||||||||||||||
1,500,000 | 9.50 | 04/01/2009 | 1,620,000 | |||||||||||||
Waste Services (B-/Caa1)† | ||||||||||||||||
2,625,000 | 9.50 | 04/15/2014 | 2,739,844 | |||||||||||||
$ | 13,349,151 | |||||||||||||||
Food – 3.8% | ||||||||||||||||
American Seafoods Group LLC (B/B3) | ||||||||||||||||
USD 4,000,000 | 10.13 | % | 04/15/2010 | $ | 4,800,000 | |||||||||||
Aurora Foods, Inc. (D)Ø | ||||||||||||||||
2,750,000 | 9.88 | 02/15/2007 | 2,255,000 | |||||||||||||
2,500,000 | 8.75 | 07/01/2008 | 2,050,000 | |||||||||||||
Barry Callebaut Services N.V. (BB-/B1) | ||||||||||||||||
EUR 4,250,000 | 9.25 | 03/15/2010 | 5,726,267 | |||||||||||||
Burns Philp Capital Party Ltd (B-/B3) | ||||||||||||||||
USD 4,500,000 | 10.75 | 02/15/2011 | 4,882,500 | |||||||||||||
5,000,000 | 9.75 | 07/15/2012 | 5,275,000 | |||||||||||||
Dole Food Co. (BB-/B2) | ||||||||||||||||
5,250,000 | 8.63 | # | 05/01/2009 | 5,617,500 | ||||||||||||
3,000,000 | 8.88 | 03/15/2011 | 3,210,000 | |||||||||||||
Domino’s, Inc. (B-/B3) | ||||||||||||||||
5,500,000 | 8.25 | 07/01/2011 | 5,940,000 | |||||||||||||
Eagle Family Foods (CCC+/Caa2) | ||||||||||||||||
3,500,000 | 8.75 | 01/15/2008 | 2,835,000 | |||||||||||||
Land O’ Lakes, Inc. (B/B2)† | ||||||||||||||||
1,000,000 | 9.00 | 12/15/2010 | 1,047,500 | |||||||||||||
Land O’ Lakes, Inc. (B-/B3) | ||||||||||||||||
7,000,000 | 8.75 | 11/15/2011 | 6,685,000 | |||||||||||||
Michael Foods, Inc. (B-/B3)† | ||||||||||||||||
4,250,000 | 8.00 | 11/15/2013 | 4,494,375 | |||||||||||||
New World Pasta Co.Ø | ||||||||||||||||
3,000,000 | 9.25 | 02/15/2009 | 390,000 | |||||||||||||
Parmalat Finance Corp. B.V.Ø | ||||||||||||||||
EUR 2,000,000 | 6.00 | 02/06/2006 | 311,389 | |||||||||||||
9,750,000 | 6.13 | 09/29/2010 | 1,683,125 | |||||||||||||
Pinnacle Foods Holding Corp. (B/B3)† | ||||||||||||||||
USD 4,000,000 | 8.25 | 12/01/2013 | 4,200,000 | |||||||||||||
Premier International Foods PLC (B-/B3) | ||||||||||||||||
4,000,000 | 12.00 | 09/01/2009 | 4,310,000 | |||||||||||||
Swift & Co. (B/B2) | ||||||||||||||||
4,750,000 | 12.50 | 01/01/2010 | 5,058,750 | |||||||||||||
Swift & Co. (B+/B1) | ||||||||||||||||
4,000,000 | 10.13 | 10/01/2009 | 4,280,000 | |||||||||||||
United Biscuits Finance (B-/B1) | ||||||||||||||||
EUR 5,500,000 | 10.63 | 04/15/2011 | 7,245,787 | |||||||||||||
GBP 3,000,000 | 10.75 | 04/15/2011 | 5,668,572 | |||||||||||||
$ | 87,965,765 | |||||||||||||||
Gaming – 3.3% | ||||||||||||||||
Ameristar Casinos, Inc. (B/B2) | ||||||||||||||||
USD 4,000,000 | 10.75 | % | 02/15/2009 | $ | 4,620,000 | |||||||||||
Autotote Corp. (B/B2) | ||||||||||||||||
3,082,000 | 12.50 | 08/15/2010 | 3,590,530 | |||||||||||||
Boyd Gaming Corp. (B+/B1) | ||||||||||||||||
2,000,000 | 8.75 | 04/15/2012 | 2,207,500 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Gaming – (continued) | ||||||||||||||||
Chukchansi Economic Development Authority† | ||||||||||||||||
3,000,000 | 14.50 | % | 06/15/2009 | $ | 3,735,000 | |||||||||||
Circus & Eldorado (B+/B1) | ||||||||||||||||
6,000,000 | 10.13 | 03/01/2012 | 6,090,000 | |||||||||||||
Inn of the Mountain Gods (B/Caa1)† | ||||||||||||||||
5,000,000 | 12.00 | 11/15/2010 | 5,450,000 | |||||||||||||
Kerzner International Ltd. (B+/B2) | ||||||||||||||||
USD 3,750,000 | 8.88 | 08/15/2011 | 4,153,125 | |||||||||||||
Mandalay Resort Group (BB+/Ba2) | ||||||||||||||||
250,000 | 6.45 | 02/01/2006 | 261,250 | |||||||||||||
Mandalay Resort Group (BB-/Ba3) | ||||||||||||||||
3,250,000 | 10.25 | 08/01/2007 | 3,778,125 | |||||||||||||
2,000,000 | 9.38 | 02/15/2010 | 2,340,000 | |||||||||||||
MGM Mirage, Inc. (BB-/Ba2) | ||||||||||||||||
250,000 | 9.75 | 06/01/2007 | 283,750 | |||||||||||||
5,000,000 | 8.38 | 02/01/2011 | 5,525,000 | |||||||||||||
Mirage Resorts, Inc. (BB+/Ba1) | ||||||||||||||||
3,125,000 | 7.25 | 08/01/2017 | 3,234,375 | |||||||||||||
Mohegan Tribal Gaming Authority (BB-/Ba3) | ||||||||||||||||
3,000,000 | 8.00 | 04/01/2012 | 3,277,500 | |||||||||||||
MTR Gaming Group, Inc. (B+/B2) | ||||||||||||||||
3,000,000 | 9.75 | 04/01/2010 | 3,210,000 | |||||||||||||
Park Place Entertainment Corp. (BB+/Ba1) | ||||||||||||||||
1,500,000 | 7.50 | 09/01/2009 | 1,650,000 | |||||||||||||
Park Place Entertainment Corp. (BB-/Ba2) | ||||||||||||||||
6,125,000 | 7.88 | 03/15/2010 | 6,699,219 | |||||||||||||
2,500,000 | 8.13 | 05/15/2011 | 2,762,500 | |||||||||||||
Pinnacle Entertainment, Inc. (CCC+/Caa1) | ||||||||||||||||
2,000,000 | 9.25 | 02/15/2007 | 2,040,000 | |||||||||||||
Poster Financial Group, Inc. (B/B2)† | ||||||||||||||||
2,000,000 | 8.75 | 12/01/2011 | 2,100,000 | |||||||||||||
Resorts International Hotel & Casino, Inc. (B/B2) | ||||||||||||||||
2,000,000 | 11.50 | 03/15/2009 | 2,230,000 | |||||||||||||
River Rock Entertainment (B+/B2)† | ||||||||||||||||
2,000,000 | 9.75 | 11/01/2011 | 2,130,000 | |||||||||||||
Venetian Casino Resort LLC (B-/B3) | ||||||||||||||||
4,750,000 | 11.00 | 06/15/2010 | 5,521,875 | |||||||||||||
$ | 76,889,749 | |||||||||||||||
Health Care – 5.1% | ||||||||||||||||
Alliance Imaging, Inc. (B-/B3) | ||||||||||||||||
USD 5,000,000 | 10.38 | % | 04/15/2011 | $ | 5,050,000 | |||||||||||
AmeriPath, Inc. (B-/Caa1) | ||||||||||||||||
6,500,000 | 10.50 | 04/01/2013 | 6,662,500 | |||||||||||||
Biovail Corp. (BB-/B2) | ||||||||||||||||
3,000,000 | 7.88 | 04/01/2010 | 2,947,500 | |||||||||||||
Dade Behring, Inc. (B+/B2) | ||||||||||||||||
2,136,242 | 11.91 | 10/03/2010 | 2,467,360 | |||||||||||||
DJ Orthopedics LLC (B/B3) | ||||||||||||||||
2,250,000 | 12.63 | 06/15/2009 | 2,407,500 | |||||||||||||
Fresenius Medical Care Capital Trust (BB-/Ba2) | ||||||||||||||||
DEM 2,225,000 | 7.38 | 02/01/2008 | 1,457,850 | |||||||||||||
Healthsouth Corp | ||||||||||||||||
USD 6,000,000 | 6.88 | 06/15/2005 | 6,030,000 | |||||||||||||
1,000,000 | 7.00 | 06/15/2008 | 990,000 | |||||||||||||
2,000,000 | 10.75 | 10/01/2008 | 2,000,000 | |||||||||||||
1,750,000 | 7.63 | 06/01/2012 | 1,758,750 | |||||||||||||
Hudson Respiratory Care, Inc. (CC/Ca) | ||||||||||||||||
4,000,000 | 9.13 | 04/15/2008 | 3,720,000 | |||||||||||||
Medex, Inc. (B-/B3)† | ||||||||||||||||
3,000,000 | 8.88 | 05/15/2013 | 3,247,500 | |||||||||||||
NDCHealth Corp. (B/B2) | ||||||||||||||||
USD 3,500,000 | 10.50 | 12/01/2012 | 3,946,250 | |||||||||||||
NYCO Holdings 2 APS†‡ | ||||||||||||||||
EUR 4,607,000 | 16.00 | 09/30/2013 | 5,655,516 | |||||||||||||
NYCO Holdings 2 APS (B-/B3) | ||||||||||||||||
14,500,000 | 11.50 | 03/31/2013 | 19,623,507 | |||||||||||||
PerkinElmer, Inc. (BB-/Ba3) | ||||||||||||||||
USD 8,000,000 | 8.88 | 01/15/2013 | 9,080,000 | |||||||||||||
Psychiatric Solutions, Inc. (B-/B3) | ||||||||||||||||
2,500,000 | 10.63 | 06/15/2013 | 2,850,000 | |||||||||||||
Quintiles Transnational Corp. (B/B3)† | ||||||||||||||||
6,000,000 | 10.00 | 10/01/2013 | 6,225,000 | |||||||||||||
Senior Housing Properties Trust (BB+/Ba2) | ||||||||||||||||
3,000,000 | 7.88 | 04/15/2015 | 3,180,000 | |||||||||||||
Service Corp. International (BB-/B1) | ||||||||||||||||
1,500,000 | 7.20 | 06/01/2006 | 1,582,500 | |||||||||||||
500,000 | 6.88 | 10/01/2007 | 526,875 | |||||||||||||
1,000,000 | 7.70 | 04/15/2009 | 1,067,500 | |||||||||||||
Stewart Enterprises, Inc. (B+/B2) | ||||||||||||||||
1,000,000 | 10.75 | 07/01/2008 | 1,126,250 | |||||||||||||
Sybron Dental Specialties, Inc. (BB-/B2) | ||||||||||||||||
4,000,000 | 8.13 | 06/15/2012 | 4,400,000 | |||||||||||||
Tenet Healthcare Corp. (B-/B3) | ||||||||||||||||
10,500,000 | 7.38 | 02/01/2013 | 9,555,000 | |||||||||||||
US Oncology, Inc. (B+/B2) | ||||||||||||||||
5,000,000 | 9.63 | 02/01/2012 | 5,925,000 | |||||||||||||
Vanguard Health Systems, Inc. (B-/B3) | ||||||||||||||||
2,250,000 | 9.75 | 08/01/2011 | 2,435,625 | |||||||||||||
Ventas Realty LP (BB-/Ba3) | ||||||||||||||||
2,000,000 | 9.00 | 05/01/2012 | 2,260,000 | |||||||||||||
$ | 118,177,983 | |||||||||||||||
Home Construction – 0.0% | ||||||||||||||||
Standard Pacific Corp. (B+/Ba3) | ||||||||||||||||
USD 1,000,000 | 9.25 | % | 04/15/2012 | $ | 1,105,000 | |||||||||||
Lodging – 1.2% | ||||||||||||||||
Corrections Corp. of America (B/B1) | ||||||||||||||||
USD 4,000,000 | 9.88 | % | 05/01/2009 | $ | 4,510,000 | |||||||||||
2,000,000 | 7.50 | 05/01/2011 | 2,100,000 | |||||||||||||
Gaylord Entertainment Co. (B-/B3)† | ||||||||||||||||
3,000,000 | 8.00 | 11/15/2013 | 3,165,000 | |||||||||||||
Host Marriott LP (B+/Ba3) | ||||||||||||||||
2,875,000 | 9.50 | 01/15/2007 | 3,205,625 | |||||||||||||
1,030,000 | 7.88 | 08/01/2008 | 1,068,625 | |||||||||||||
5,000,000 | 7.13 | 11/01/2013 | 5,100,000 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Lodging – (continued) | ||||||||||||||||
RFS Partnership LP (B-/B2) | ||||||||||||||||
4,000,000 | 9.75 | % | 03/01/2012 | $ | 4,800,000 | |||||||||||
Starwood Hotels & Resorts Worldwide, Inc. (BB+/Ba1) | ||||||||||||||||
1,000,000 | 7.88 | 05/01/2012 | 1,106,250 | |||||||||||||
2,000,000 | 7.38 | 11/15/2015 | 2,120,000 | |||||||||||||
$ | 27,175,500 | |||||||||||||||
Media – Broadcasting & Radio – 1.0% | ||||||||||||||||
Antenna TV S.A. (B+/B1) | ||||||||||||||||
USD 889,000 | 9.00 | % | 08/01/2007 | $ | 899,001 | |||||||||||
Clear Channel Communications, Inc. (BBB-/Ba1) | ||||||||||||||||
USD 3,000,000 | 8.00 | 11/01/2008 | 3,429,720 | |||||||||||||
Emmis Escrow Corp. (B-/B3)§ | ||||||||||||||||
3,559,000 | 0.00/12.50 | 03/15/2011 | 3,554,551 | |||||||||||||
Entravision Communications Corp. (B-/B3) | ||||||||||||||||
3,000,000 | 8.13 | 03/15/2009 | 3,180,000 | |||||||||||||
Vivendi Universal S.A. (BB/Ba3) | ||||||||||||||||
10,000,000 | 9.25 | 04/15/2010 | 11,750,000 | |||||||||||||
$ | 22,813,272 | |||||||||||||||
Media – Broadcast Towers – 1.1% | ||||||||||||||||
American Tower Corp. (CCC/Caa1) | ||||||||||||||||
USD 10,000,000 | 9.38 | % | 02/01/2009 | $ | 10,725,000 | |||||||||||
American Tower Escrow Corp. (CCC/B3)@ | ||||||||||||||||
2,750,000 | 0.00 | 08/01/2008 | 2,007,500 | |||||||||||||
Crown Castle International Corp. (CCC/B3) | ||||||||||||||||
2,000,000 | 10.75 | 08/01/2011 | 2,265,000 | |||||||||||||
6,000,000 | 7.50 | 12/01/2013 | 6,000,000 | |||||||||||||
SBA Telecommunications (CCC-/Caa1)†§ | ||||||||||||||||
5,000,000 | 0.00/9.75 | 12/15/2011 | 3,700,000 | |||||||||||||
SpectraSite, Inc. (CCC+/B3) | ||||||||||||||||
1,500,000 | 8.25 | 05/15/2010 | 1,575,000 | |||||||||||||
$ | 26,272,500 | |||||||||||||||
Media-Cable – 6.4% | ||||||||||||||||
Adelphia Communications Corp.Ø | ||||||||||||||||
USD 2,000,000 | 3.25 | %Δ | 05/01/2005 | $ | 1,090,000 | |||||||||||
2,750,000 | 9.38 | 11/15/2009 | 3,011,250 | |||||||||||||
2,000,000 | 10.88 | 10/01/2010 | 2,180,000 | |||||||||||||
3,750,000 | 10.25 | 06/15/2011 | 4,162,500 | |||||||||||||
Atlantic Broadband Finance LLC (CCC+/Caa1)† | ||||||||||||||||
4,250,000 | 9.38 | 01/15/2014 | 4,101,250 | |||||||||||||
Avalon Cable Holding Finance (CCC-/Caa1) | ||||||||||||||||
1,260,420 | 11.88 | 12/01/2008 | 1,332,894 | |||||||||||||
Cablevision Systems New York Group (B+/B3)† | ||||||||||||||||
4,000,000 | 8.00 | 04/15/2012 | 4,020,000 | |||||||||||||
Century Communications Corp.Ø@ | ||||||||||||||||
4,750,000 | 0.00 | 01/15/2008 | 3,135,000 | |||||||||||||
Charter Communications Holdings II (CCC-/Caa1)† | ||||||||||||||||
4,000,000 | 10.25 | 09/15/2010 | 4,155,000 | |||||||||||||
Charter Communications Holdings LLC (CCC-/Ca) | ||||||||||||||||
500,000 | 10.00 | 04/01/2009 | 435,000 | |||||||||||||
10,750,000 | 10.75 | 10/01/2009 | 9,540,625 | |||||||||||||
3,500,000 | 9.63 | 11/15/2009 | 2,957,500 | |||||||||||||
3,000,000 | 0.00/11.75§ | 01/15/2010 | 2,482,500 | |||||||||||||
9,000,000 | 9.92 | 04/01/2011 | 7,515,000 | |||||||||||||
8,750,000 | 0.00/11.75§ | 05/15/2011 | 5,709,375 | |||||||||||||
1,000,000 | 10.00 | 05/15/2011 | 835,000 | |||||||||||||
Charter Communications, Inc. (CCC-/Ca) | ||||||||||||||||
2,500,000 | 5.75 | 10/15/2005 | 2,415,625 | |||||||||||||
1,500,000 | 4.75 | 06/01/2006 | 1,424,340 | |||||||||||||
CSC Holdings, Inc. (BB-/B1) | ||||||||||||||||
7,250,000 | 8.13 | 07/15/2009 | 7,739,375 | |||||||||||||
Diamond Holdings PLC (C/Caa2) | ||||||||||||||||
USD 500,000 | 9.13 | 02/01/2008 | 517,500 | |||||||||||||
GBP 1,500,000 | 10.00 | 02/01/2008 | 2,755,804 | |||||||||||||
FrontierVision Holdings LPØ | ||||||||||||||||
USD 3,000,000 | 11.00 | 10/15/2006 | 3,630,000 | |||||||||||||
8,000,000 | 11.88 | 09/15/2007 | 9,920,000 | |||||||||||||
Insight Midwest LP (B+/B2) | ||||||||||||||||
2,500,000 | 10.50 | 11/01/2010 | 2,712,500 | |||||||||||||
Mediacom Broadband LLC (B+/B2) | ||||||||||||||||
1,500,000 | 11.00 | 07/15/2013 | 1,612,500 | |||||||||||||
Mediacom LLC (B+/B2) | ||||||||||||||||
2,750,000 | 8.50 | 04/15/2008 | 2,743,125 | |||||||||||||
4,750,000 | 9.50 | 01/15/2013 | 4,714,375 | |||||||||||||
Ono Finance PLC (CCC-/Caa2) | ||||||||||||||||
EUR 2,000,000 | 13.00 | 05/01/2009 | 2,545,008 | |||||||||||||
USD 3,000,000 | 13.00 | 05/01/2009 | 3,206,250 | |||||||||||||
EUR 2,500,000 | 14.00 | 07/15/2010 | 3,338,451 | |||||||||||||
Renaissance Media Group LLC (CCC+/B3) | ||||||||||||||||
USD 3,000,000 | 10.00 | 04/15/2008 | 3,097,500 | |||||||||||||
Tele Columbus | ||||||||||||||||
EUR 7,500,000 | 9.38 | 04/15/2012 | 8,982,380 | |||||||||||||
Telenet Communication N.V. (B-/B3)† | ||||||||||||||||
2,000,000 | 9.00 | 12/15/2013 | 2,455,184 | |||||||||||||
Telenet Group Holding N.V. (CCC+/Caa2)†§ | ||||||||||||||||
USD 17,000,000 | 0.00/11.50 | 06/15/2014 | 10,370,000 | |||||||||||||
Telewest Communications PLC (Ca) | ||||||||||||||||
1,000,000 | 9.25 | 04/15/2009 | 525,000 | |||||||||||||
Telewest Communications PLC (C/Ca) | ||||||||||||||||
2,000,000 | 6.00 | †Ø | 07/07/2005 | 2,119,220 | ||||||||||||
GBP 11,250,000 | 9.88 | Ø | 04/15/2009 | 9,381,088 | ||||||||||||
USD 2,250,000 | 0.00/11.38 | § | 02/01/2010 | 1,057,500 | ||||||||||||
Telewest Communications PLC (D/Ca)Ø | ||||||||||||||||
7,500,000 | 11.00 | 10/01/2007 | 4,762,500 | |||||||||||||
$ | 148,688,119 | |||||||||||||||
Media-Non Cable – 0.6% | ||||||||||||||||
DIRECTV Holdings LLC (BB-/B1) | ||||||||||||||||
USD 5,000,000 | 8.38 | % | 03/15/2013 | $ | 5,650,000 | |||||||||||
Echostar DBS Corp. (BB-/Ba3)† | ||||||||||||||||
4,500,000 | 6.38 | 10/01/2011 | 4,533,750 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Media-Non Cable – (continued) | ||||||||||||||||
Lamar Media Corp. (B/Ba3) | ||||||||||||||||
2,500,000 | 7.25 | % | 01/01/2013 | $ | 2,693,750 | |||||||||||
500,000 | 7.25 | † | 01/01/2013 | 463,750 | ||||||||||||
PX Escrow Corp. (CCC-/Ca) | ||||||||||||||||
1,000,000 | 9.63 | 02/01/2006 | 830,000 | |||||||||||||
$ | 14,171,250 | |||||||||||||||
Metals – 1.1% | ||||||||||||||||
AK Steel Corp. (B+/B3) | ||||||||||||||||
USD 500,000 | 7.88 | % | 02/15/2009 | $ | 460,000 | |||||||||||
4,000,000 | 7.75 | 06/15/2012 | 3,580,000 | |||||||||||||
Corus Finance PLC (CCC+/B3) | ||||||||||||||||
EUR 1,500,000 | 5.38 | 08/09/2006 | 1,823,423 | |||||||||||||
Earle M. Jorgensen Co. (B-/B2) | ||||||||||||||||
USD 2,250,000 | 9.75 | 06/01/2012 | 2,525,625 | |||||||||||||
Haynes International, Inc. (D/Ca)Ø | ||||||||||||||||
USD 1,500,000 | 11.63 | 09/01/2004 | 1,005,000 | |||||||||||||
Kaiser Aluminum & Chemical Corp.Ø | ||||||||||||||||
2,750,000 | 10.88 | 10/15/2006 | 2,626,250 | |||||||||||||
2,500,000 | 9.88 | 02/15/2049 | 2,400,000 | |||||||||||||
UCAR Finance, Inc. (B/B2) | ||||||||||||||||
8,000,000 | 10.25 | 02/15/2012 | 9,180,000 | |||||||||||||
Wolverine Tube, Inc. (B+/B3) | ||||||||||||||||
3,000,000 | 10.50 | 04/01/2009 | 3,270,000 | |||||||||||||
$ | 26,870,298 | |||||||||||||||
Packaging – 4.7% | ||||||||||||||||
BSN Glasspack Obligation (B-/B1)† | ||||||||||||||||
EUR 1,750,000 | 9.25 | % | 08/01/2009 | $ | 2,284,519 | |||||||||||
Chesapeake Corp. (BB/B1) | ||||||||||||||||
USD 7,000,000 | 7.20 | 03/15/2005 | 7,035,000 | |||||||||||||
Chesapeake Corp. (B+/B2) | ||||||||||||||||
GBP 327,000 | 10.38 | 11/15/2011 | 635,279 | |||||||||||||
Consolidated Container Co. LLC (CCC/Caa2) | ||||||||||||||||
USD 5,000,000 | 10.13 | 07/15/2009 | 4,300,000 | |||||||||||||
Constar International, Inc. (B/Caa1) | ||||||||||||||||
4,000,000 | 11.00 | 12/01/2012 | 3,760,000 | |||||||||||||
Crown Cork & Seal Finance PLC (B/B3) | ||||||||||||||||
2,250,000 | 7.00 | 12/15/2006 | 2,306,250 | |||||||||||||
Crown Euro Holdings S.A. (B/B2) | ||||||||||||||||
5,000,000 | 10.88 | 03/01/2013 | 5,800,000 | |||||||||||||
Crown Euro Holdings S.A. (B+) | ||||||||||||||||
EUR 12,000,000 | 10.25 | 03/01/2011 | 16,024,566 | |||||||||||||
Crown Euro Holdings S.A. (B+/B1) | ||||||||||||||||
USD 2,000,000 | 9.50 | 03/01/2011 | 2,240,000 | |||||||||||||
Graham Packaging Co. (CCC+/Caa1) | ||||||||||||||||
3,500,000 | 4.80 | # | 01/15/2008 | 3,298,750 | ||||||||||||
7,750,000 | 8.75 | 01/15/2008 | 7,866,250 | |||||||||||||
Graham Packaging Co. (CCC+/Caa2) | ||||||||||||||||
8,000,000 | 10.75 | 01/15/2009 | 8,260,000 | |||||||||||||
IFCO Systems N.V. (B-/B2)† | ||||||||||||||||
EUR 1,000,000 | 10.38 | 10/15/2010 | 1,269,510 | |||||||||||||
Impress Group B.V. (B-/B2) | ||||||||||||||||
3,000,000 | 10.50 | 05/25/2007 | 3,592,952 | |||||||||||||
Impress Metal Pack Holdings (CCC+/B3) | ||||||||||||||||
DEM 10,375,000 | 9.88 | 05/29/2007 | 5,908,405 | |||||||||||||
Kloeckner Pentaplast S.A. (B/B2) | ||||||||||||||||
EUR 3,000,000 | 9.38 | 02/15/2012 | 3,898,353 | |||||||||||||
Owens Brockway Glass Container (B/B3) | ||||||||||||||||
USD 2,500,000 | 8.25 | 05/15/2013 | 2,581,250 | |||||||||||||
Owens Brockway Glass Container (BB-/B2) | ||||||||||||||||
8,000,000 | 8.88 | 02/15/2009 | 8,660,000 | |||||||||||||
Owens-Illinois, Inc. (B/Caa1) | ||||||||||||||||
5,750,000 | 7.15 | 05/15/2005 | 5,951,250 | |||||||||||||
Pliant Corp. (B-/B3) | ||||||||||||||||
5,000,000 | 11.13 | 09/01/2009 | 5,387,500 | |||||||||||||
Pliant Corp. (B-/Caa2) | ||||||||||||||||
8,500,000 | 13.00 | 06/01/2010 | 7,692,500 | |||||||||||||
$ | 108,752,334 | |||||||||||||||
Paper – 2.8% | ||||||||||||||||
Georgia-Pacific Corp. (BB+/Ba2) | ||||||||||||||||
USD 6,000,000 | 9.38 | % | 02/01/2013 | $ | 6,975,000 | |||||||||||
Georgia-Pacific Corp. (BB+/Ba3) | ||||||||||||||||
5,000,000 | 8.13 | 05/15/2011 | 5,637,500 | |||||||||||||
1,000,000 | 9.50 | 12/01/2011 | 1,208,750 | |||||||||||||
1,500,000 | 7.70 | 06/15/2015 | 1,638,750 | |||||||||||||
1,000,000 | 8.25 | 03/01/2023 | 1,030,000 | |||||||||||||
JSG Funding PLC (B/B3) | ||||||||||||||||
5,250,000 | 9.63 | 10/01/2012 | 5,853,750 | |||||||||||||
EUR 7,250,000 | 10.13 | 10/01/2012 | 9,638,094 | |||||||||||||
JSG Funding PLC (B/Caa1)‡ | ||||||||||||||||
USD 3,139,248 | 15.50 | 10/01/2013 | 3,672,920 | |||||||||||||
Kappa Beheer B.V. (B/B2) | ||||||||||||||||
EUR 8,000,000 | 0.00/12.50§ | 07/15/2009 | 10,012,360 | |||||||||||||
3,750,000 | 10.63 | 07/15/2009 | 4,738,205 | |||||||||||||
MDP Acquisitions PLC (B/Caa1)‡ | ||||||||||||||||
3,767,103 | 15.50 | 10/01/2013 | 5,188,424 | |||||||||||||
Port Townsend Paper Corp. (B/B3)† | ||||||||||||||||
USD 6,000,000 | 11.00 | 04/15/2011 | 6,000,000 | |||||||||||||
Tembec Industries, Inc. (BB-/Ba3) | ||||||||||||||||
4,000,000 | 8.50 | 02/01/2011 | 4,060,000 | |||||||||||||
$ | 65,653,753 | |||||||||||||||
Pipelines – 4.3% | ||||||||||||||||
El Paso CGP Co. (CCC+/Caa1) | ||||||||||||||||
USD 2,000,000 | 7.63 | % | 09/01/2008 | $ | 1,770,000 | |||||||||||
1,000,000 | 10.75 | 10/01/2010 | 1,010,000 | |||||||||||||
1,000,000 | 7.75 | 10/15/2035 | 765,000 | |||||||||||||
2,000,000 | 7.42 | 02/15/2037 | 1,505,000 | |||||||||||||
El Paso Corp. (CCC+/Caa1) | ||||||||||||||||
EUR 10,000,000 | 5.75 | 03/14/2006 | 11,257,916 | |||||||||||||
11,500,000 | 7.13 | 05/06/2009 | 12,120,225 | |||||||||||||
USD 3,000,000 | 7.38 | 12/15/2012 | 2,580,000 | |||||||||||||
6,000,000 | 7.80 | 08/01/2031 | 4,725,000 | |||||||||||||
6,750,000 | 7.75 | 01/15/2032 | 5,265,000 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Pipelines – (continued) | ||||||||||||||||
El Paso Natural Gas Co. (B-/B1) | ||||||||||||||||
1,500,000 | 7.63 | % | 08/01/2010 | $ | 1,537,500 | |||||||||||
2,875,000 | 8.63 | 01/15/2022 | 2,860,625 | |||||||||||||
3,375,000 | 7.50 | 11/15/2026 | 3,240,000 | |||||||||||||
6,500,000 | 8.38 | 06/15/2032 | 6,467,500 | |||||||||||||
Southern Natural Gas Co. (B-/B1) | ||||||||||||||||
4,000,000 | 8.88 | 03/15/2010 | 4,395,000 | |||||||||||||
3,000,000 | 7.35 | 02/15/2031 | 2,842,500 | |||||||||||||
1,500,000 | 8.00 | 03/01/2032 | 1,481,250 | |||||||||||||
Tennessee Gas Pipeline Co. (B-/B1) | ||||||||||||||||
1,500,000 | 7.50 | 04/01/2017 | 1,522,500 | |||||||||||||
3,000,000 | 7.00 | 10/15/2028 | 2,745,000 | |||||||||||||
3,750,000 | 8.38 | 06/15/2032 | 3,843,750 | |||||||||||||
1,500,000 | 7.63 | 04/01/2037 | 1,425,000 | |||||||||||||
The Williams Cos., Inc. (B+/B3) | ||||||||||||||||
USD 1,250,000 | 8.63 | 06/01/2010 | 1,371,875 | |||||||||||||
9,375,000 | 8.13 | 03/15/2012 | 10,171,875 | |||||||||||||
12,000,000 | 7.88 | 09/01/2021 | 11,700,000 | |||||||||||||
1,000,000 | 7.50 | 01/15/2031 | 930,000 | |||||||||||||
TransMontaigne, Inc. (B+/B3) | ||||||||||||||||
3,000,000 | 9.13 | 06/01/2010 | 3,090,000 | |||||||||||||
$ | 100,622,516 | |||||||||||||||
Publishing – 4.4% | ||||||||||||||||
Advanstar Communications, Inc. (B-/B3) | ||||||||||||||||
USD 4,000,000 | 10.75 | % | 08/15/2010 | $ | 4,400,000 | |||||||||||
Advanstar Communications, Inc. (CCC+/Caa2) | ||||||||||||||||
4,250,000 | 12.00 | 02/15/2011 | 4,536,875 | |||||||||||||
Advanstar, Inc.§ | ||||||||||||||||
2,875,000 | 0.00/15.00 | 10/15/2011 | 2,343,125 | |||||||||||||
American Lawyer Media, Inc. (CCC/Caa3) | ||||||||||||||||
4,000,000 | 9.75 | 12/15/2007 | 3,910,000 | |||||||||||||
American Media Operations, Inc. (B-/B2) | ||||||||||||||||
2,000,000 | 10.25 | 05/01/2009 | 2,100,000 | |||||||||||||
3,000,000 | 8.88 | 01/15/2011 | 3,000,000 | |||||||||||||
Dex Media East LLC (B/Caa1) | ||||||||||||||||
8,750,000 | 12.13 | 11/15/2012 | 10,150,000 | |||||||||||||
Dex Media West LLC (B/Caa1)† | ||||||||||||||||
12,000,000 | 9.88 | 08/15/2013 | 13,140,000 | |||||||||||||
Dex Media, Inc. (B/Caa2)† | ||||||||||||||||
14,000,000 | 0.00/9.00 | § | 11/15/2013 | 8,540,000 | ||||||||||||
1,250,000 | 8.00 | 11/15/2013 | 1,206,250 | |||||||||||||
Findexa II S.A. (B-/B2) | ||||||||||||||||
EUR 1,610,000 | 10.25 | 12/01/2011 | 2,294,579 | |||||||||||||
Houghton Mifflin Co. (B/Caa1)†§ | ||||||||||||||||
USD 1,000,000 | 0.00/11.50 | 10/15/2013 | 480,000 | |||||||||||||
Merrill Corp. (CCC+/Caa2)# | ||||||||||||||||
1,617,104 | 12.00 | 05/01/2009 | 1,536,249 | |||||||||||||
PEI Holdings, Inc. (B/B2) | ||||||||||||||||
3,250,000 | 11.00 | 03/15/2010 | 3,774,062 | |||||||||||||
Polestar Corp. PLC | ||||||||||||||||
GBP 68,885 | 10.50 | 05/30/2008 | 12,222 | |||||||||||||
280,658 | 12.50 | 06/30/2011 | 49,794 | |||||||||||||
Primedia, Inc. (B/B3) | ||||||||||||||||
USD 2,750,000 | 7.63 | 04/01/2008 | 2,763,750 | |||||||||||||
7,000,000 | 8.88 | 05/15/2011 | 7,105,000 | |||||||||||||
1,000,000 | 8.00 | † | 05/15/2013 | 987,500 | ||||||||||||
Seat Pagine (B/B3)† | ||||||||||||||||
EUR 11,000,000 | 8.00 | 4/30/2014 | 13,305,899 | |||||||||||||
WRC Media Corp. (CCC+/Caa2) | ||||||||||||||||
USD 2,500,000 | 12.75 | 11/15/2009 | 2,500,000 | |||||||||||||
Yell Finance B.V. (BB-/B1) | ||||||||||||||||
6,388,000 | 0.00/13.50 | § | 08/01/2011 | 6,052,630 | ||||||||||||
GBP 3,913,000 | 10.75 | 08/01/2011 | 7,862,323 | |||||||||||||
Ziff Davis Media, Inc. (CC)# | ||||||||||||||||
USD 459,485 | 13.00 | 08/12/2009 | 459,485 | |||||||||||||
$ | 102,509,743 | |||||||||||||||
Real Estate – 0.3% | ||||||||||||||||
CB Richard Ellis Services, Inc. (B+/B1) | ||||||||||||||||
USD 1,000,000 | 9.75 | % | 05/15/2010 | $ | 1,110,000 | |||||||||||
CB Richard Ellis Services, Inc. (B-/B3) | ||||||||||||||||
4,000,000 | 11.25 | 06/15/2011 | 4,500,000 | |||||||||||||
Crescent Real Estate Equities Ltd. (B+/B1) | ||||||||||||||||
2,000,000 | 9.25 | 04/15/2009 | 2,210,000 | |||||||||||||
$ | 7,820,000 | |||||||||||||||
Retailers – 1.6% | ||||||||||||||||
Ahold Lease USA, Inc. (BB/B1) | ||||||||||||||||
USD 4,500,000 | 8.62 | % | 01/02/2025 | $ | 4,680,000 | |||||||||||
Brake Bros. Finance PLC (B-/B3) | ||||||||||||||||
GBP 7,500,000 | 12.00 | 12/15/2011 | 14,969,821 | |||||||||||||
Fleming Cos., Inc.Ø | ||||||||||||||||
USD 2,500,000 | 10.13 | 04/01/2008 | 337,500 | |||||||||||||
1,500,000 | 9.25 | 06/15/2010 | 202,500 | |||||||||||||
General Nutrition Center (B-/B3)† | ||||||||||||||||
2,500,000 | 8.50 | 12/01/2010 | 2,628,125 | |||||||||||||
Ingles Markets, Inc. (B+/Ba3) | ||||||||||||||||
4,000,000 | 8.88 | 12/01/2011 | 4,180,000 | |||||||||||||
Pathmark Stores, Inc. (B/B2) | ||||||||||||||||
2,500,000 | 8.75 | 02/01/2012 | 2,618,750 | |||||||||||||
Rite Aid Corp. (B+/B2) | ||||||||||||||||
2,000,000 | 9.50 | 02/15/2011 | 2,235,000 | |||||||||||||
Rite Aid Corp. (B-/Caa1) | ||||||||||||||||
2,125,000 | 7.13 | 01/15/2007 | 2,156,875 | |||||||||||||
3,000,000 | 6.88 | 08/15/2013 | 2,827,500 | |||||||||||||
Winn Dixie Pass Through Trust (B/B1)† | ||||||||||||||||
1,500,000 | 8.18 | 09/01/2024 | 1,215,000 | |||||||||||||
$ | 38,051,071 | |||||||||||||||
Technology – 4.0% | ||||||||||||||||
Activant Solutions, Inc. (B+/B2) | ||||||||||||||||
USD 3,000,000 | 10.50 | % | 06/15/2011 | $ | 3,090,000 | |||||||||||
AMI Semiconductor, Inc. (B/B3) | ||||||||||||||||
4,022,000 | 10.75 | 02/01/2013 | 4,715,795 | |||||||||||||
Amkor Technology, Inc. (B/B1) | ||||||||||||||||
2,000,000 | 9.25 | 02/15/2008 | 2,125,000 | |||||||||||||
5,000,000 | 7.75 | 05/15/2013 | 4,875,000 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Technology – (continued) | ||||||||||||||||
Amkor Technology, Inc. (CCC+/B3) | ||||||||||||||||
1,500,000 | 5.75 | % | 06/01/2006 | $ | 1,449,090 | |||||||||||
2,500,000 | 5.00 | 03/15/2007 | 2,359,375 | |||||||||||||
Avaya, Inc. (B+/B2) | ||||||||||||||||
6,500,000 | 11.13 | 04/01/2009 | 7,621,250 | |||||||||||||
DDI Capital Corp.‡ | ||||||||||||||||
2,286,342 | 16.00 | 01/01/2009 | 2,263,478 | |||||||||||||
Global eXchange Services (CCC+/B2)# | ||||||||||||||||
4,000,000 | 12.00 | 07/15/2008 | 3,800,000 | |||||||||||||
Globix Corp.‡ | ||||||||||||||||
289,788 | 11.00 | 05/01/2008 | 269,503 | |||||||||||||
Lucent Technologies, Inc. (B/Caa1) | ||||||||||||||||
4,000,000 | 5.50 | 11/15/2008 | 3,770,000 | |||||||||||||
5,250,000 | 6.45 | 03/15/2029 | 4,095,000 | |||||||||||||
Nortel Networks Corp. (B-/B3) | ||||||||||||||||
2,000,000 | 4.25 | 09/01/2008 | 1,880,800 | |||||||||||||
Nortel Networks Ltd. (B-/B3) | ||||||||||||||||
USD 3,000,000 | 6.13 | 02/15/2006 | 2,962,500 | |||||||||||||
Riverdeep Group Ltd. (B-/B3)† | ||||||||||||||||
EUR 3,750,000 | 9.25 | 04/15/2011 | 4,491,190 | |||||||||||||
Syniverse Technology (B-/B3) | ||||||||||||||||
USD 5,750,000 | 12.75 | 02/01/2009 | 6,267,500 | |||||||||||||
Telefonaktiebolaget LM Ericsson (BB/B1) | ||||||||||||||||
GBP 3,500,000 | 9.88 | 06/05/2008 | 6,706,480 | |||||||||||||
USD 5,000,000 | 6.50 | 05/20/2009 | 5,156,250 | |||||||||||||
Worldspan LP (B-/B2) | ||||||||||||||||
7,500,000 | 9.63 | 06/15/2011 | 8,025,000 | |||||||||||||
Xerox Capital Trust I (B-/B3) | ||||||||||||||||
6,000,000 | 8.00 | 02/01/2027 | 5,760,000 | |||||||||||||
Xerox Corp. (B+/B1) | ||||||||||||||||
EUR 5,000,000 | 9.75 | 01/15/2009 | 6,706,844 | |||||||||||||
USD 2,250,000 | 9.75 | 01/15/2009 | 2,553,750 | |||||||||||||
2,000,000 | 7.63 | 06/15/2013 | 2,040,000 | |||||||||||||
$ | 92,983,805 | |||||||||||||||
Telecommunications – 2.0% | ||||||||||||||||
Alaska Communications System Holdings (B-/B2) | ||||||||||||||||
USD 2,000,000 | 9.88 | % | 08/15/2011 | $ | 2,055,000 | |||||||||||
Carrier1 International S.A.Ø | ||||||||||||||||
2,250,000 | 13.25 | 02/15/2009 | 202,500 | |||||||||||||
Colt Telecom Group PLC (B-/B3) | ||||||||||||||||
EUR 1,125,000 | 2.00 | 04/03/2007 | 1,546,577 | |||||||||||||
DEM 3,750,000 | 8.88 | 11/30/2007 | 2,319,273 | |||||||||||||
EUR 2,750,000 | 7.63 | 12/15/2009 | 3,342,942 | |||||||||||||
Eircom Funding (BB-/B1) | ||||||||||||||||
2,000,000 | 8.25 | 08/15/2013 | 2,586,926 | |||||||||||||
Energis PLCØ | ||||||||||||||||
USD 4,250,000 | 9.75 | 06/15/2009 | 297,500 | |||||||||||||
Exodus Communications, Inc.Ø | ||||||||||||||||
1,500,000 | 11.25 | 07/01/2008 | 15,000 | |||||||||||||
EUR 2,500,000 | 10.75 | 12/15/2009 | 29,941 | |||||||||||||
USD 625,000 | 10.75 | 12/15/2009 | 6,250 | |||||||||||||
2,000,000 | 11.63 | 07/15/2010 | 20,000 | |||||||||||||
FairPoint Communications, Inc. (B-/Caa1)# | ||||||||||||||||
1,500,000 | 5.56 | 05/01/2008 | 1,260,000 | |||||||||||||
GST Network Funding, Inc.Ø | ||||||||||||||||
2,000,000 | 10.50 | 05/01/2008 | 1,250 | |||||||||||||
Jazztel PLC | ||||||||||||||||
EUR 377,083 | 12.00 | 10/30/2012 | 347,743 | |||||||||||||
MCI, Inc | ||||||||||||||||
USD 447,000 | 5.91 | 05/01/2007 | 441,971 | |||||||||||||
447,000 | 6.69 | 05/01/2009 | 424,650 | |||||||||||||
383,000 | 7.74 | 05/01/2014 | 356,190 | |||||||||||||
Pathnet, Inc.Ø | ||||||||||||||||
1,500,000 | 12.25 | 04/15/2008 | 150 | |||||||||||||
PSINet, Inc.Ø | ||||||||||||||||
3,750,000 | 10.00 | 02/15/2005 | 187,500 | |||||||||||||
1,000,000 | 11.50 | 11/01/2008 | 50,000 | |||||||||||||
1,000,000 | 11.00 | 08/01/2009 | 50,000 | |||||||||||||
Qwest Capital Funding, Inc. (CCC+/Caa2) | ||||||||||||||||
6,500,000 | 7.90 | 08/15/2010 | 5,557,500 | |||||||||||||
Qwest Communications International, Inc. (CCC+/B3)† | ||||||||||||||||
USD 2,000,000 | 7.50 | 02/15/2014 | 1,840,000 | |||||||||||||
Qwest Corp. (B-/Ba3) | ||||||||||||||||
4,500,000 | 9.13 | † | 03/15/2012 | 4,860,000 | ||||||||||||
3,500,000 | 6.88 | 09/15/2033 | 2,922,500 | |||||||||||||
Qwest Services Corp. (CCC+/Caa1)† | ||||||||||||||||
9,500,000 | 13.50 | 12/15/2010 | 10,972,500 | |||||||||||||
3,088,000 | 14.00 | 12/15/2014 | 3,690,160 | |||||||||||||
RSL Communications PLCØ | ||||||||||||||||
1,000,000 | 12.25 | 11/15/2006 | 10,000 | |||||||||||||
625,000 | 9.13 | 03/01/2008 | 6,250 | |||||||||||||
2,000,000 | 10.13 | 03/01/2008 | 10,000 | |||||||||||||
2,000,000 | 10.50 | 11/15/2008 | 20,000 | |||||||||||||
World Access, Inc.Ø | ||||||||||||||||
1,334,000 | 13.25 | 01/15/2008 | 100,050 | |||||||||||||
$ | 45,530,323 | |||||||||||||||
Telecommunications-Cellular – 4.4% | ||||||||||||||||
AirGate PCS, Inc. (CCC-/Caa1) | ||||||||||||||||
USD 2,133,300 | 9.38 | % | 09/01/2009 | $ | 2,069,301 | |||||||||||
Alamosa Delaware, Inc. (CCC/Caa1) | ||||||||||||||||
5,334,000 | 0.00/12.00§ | 07/31/2009 | 4,987,290 | |||||||||||||
1,787,000 | 11.00 | 07/31/2010 | 1,934,428 | |||||||||||||
1,000,000 | 8.50 | † | 01/31/2012 | 967,500 | ||||||||||||
American Cellular Corp. (B-/B3) | ||||||||||||||||
6,000,000 | 10.00 | 08/01/2011 | 5,835,000 | |||||||||||||
Centennial Cellular Communications (CCC/Caa1) | ||||||||||||||||
4,500,000 | 10.13 | 06/15/2013 | 4,646,250 | |||||||||||||
Horizon PCS, Inc. (D)Ø | ||||||||||||||||
1,250,000 | 14.00 | 10/01/2010 | 325,000 | |||||||||||||
iPCS, Inc.ا | ||||||||||||||||
2,500,000 | 0.00/14.00 | 07/15/2010 | 1,025,000 | |||||||||||||
IWO Holdings, Inc. (C/Ca) | ||||||||||||||||
3,000,000 | 14.00 | 01/15/2011 | 840,000 | |||||||||||||
Nextel Communications, Inc. (BB) | ||||||||||||||||
15,000,000 | 9.50 | 02/01/2011 | 17,025,000 | |||||||||||||
Nextel Communications, Inc. (BB/B2) | ||||||||||||||||
14,000,000 | 7.38 | 08/01/2015 | 14,630,000 |
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||||
Telecommunications-Cellular – (continued) | ||||||||||||||||
Nextel Partners, Inc. (B-/Caa1) | ||||||||||||||||
1,709,000 | 12.50 | % | 11/15/2009 | $ | 2,012,347 | |||||||||||
7,500,000 | 11.00 | 03/15/2010 | 8,475,000 | |||||||||||||
4,000,000 | 8.13 | 07/01/2011 | 4,200,000 | |||||||||||||
Partner Communications Co. Ltd. (B/B1) | ||||||||||||||||
4,000,000 | 13.00 | 08/15/2010 | 4,720,000 | |||||||||||||
PTC International Finance II S.A. (BB-/Ba3) | ||||||||||||||||
EUR 2,570,000 | 11.25 | 12/01/2009 | 3,293,420 | |||||||||||||
USD 2,500,000 | 11.25 | 12/01/2009 | 2,700,000 | |||||||||||||
Rural Cellular Corp. (CCC/Caa1) | ||||||||||||||||
6,000,000 | 9.88 | 02/01/2010 | 6,180,000 | |||||||||||||
Rural Cellular Corp. (CCC/Caa2) | ||||||||||||||||
5,000,000 | 9.75 | 01/15/2010 | 4,700,000 | |||||||||||||
Triton PCS, Inc. (B+/B2) | ||||||||||||||||
1,500,000 | 8.50 | 06/01/2013 | 1,560,000 | |||||||||||||
Triton PCS, Inc. (B-/B3) | ||||||||||||||||
USD 6,000,000 | 9.38 | 02/01/2011 | 5,715,000 | |||||||||||||
5,500,000 | 8.75 | 11/15/2011 | 5,073,750 | |||||||||||||
$ | 102,914,286 | |||||||||||||||
Textiles – 0.6% | ||||||||||||||||
Collins & Aikman Floor Cover (B/B2) | ||||||||||||||||
USD 1,750,000 | 9.75 | % | 02/15/2010 | $ | 1,846,250 | |||||||||||
Day International Group, Inc. (CCC+/Caa1) | ||||||||||||||||
3,250,000 | 9.50 | 03/15/2008 | 3,136,250 | |||||||||||||
Oxford Industries, Inc. (B/B2)† | ||||||||||||||||
3,500,000 | 8.88 | 06/01/2011 | 3,745,000 | |||||||||||||
Russell Corp. (BB/B1) | ||||||||||||||||
2,000,000 | 9.25 | 05/01/2010 | 2,105,000 | |||||||||||||
Warnaco, Inc. (B/B2) | ||||||||||||||||
2,500,000 | 8.88 | 06/15/2013 | 2,693,750 | |||||||||||||
$ | 13,526,250 | |||||||||||||||
Transportation – 0.2% | ||||||||||||||||
Petroleum Helicopters, Inc. (BB-/B1) | ||||||||||||||||
USD 1,250,000 | 9.38 | % | 05/01/2009 | $ | 1,331,250 | |||||||||||
Stena AB (BB-/Ba3) | ||||||||||||||||
3,000,000 | 9.63 | 12/01/2012 | 3,397,500 | |||||||||||||
1,000,000 | 7.50 | 11/01/2013 | 1,050,000 | |||||||||||||
$ | 5,778,750 | |||||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||||
(Cost $2,077,392,140) | $ | 2,195,267,924 | ||||||||||||||
Emerging Market Debt – 1.1% | ||||||||||||||||
APP China Group Ltd. (D/Ca)†Ø | ||||||||||||||||
USD 670,000 | 14.00 | % | 03/15/2010 | $ | 67,000 | |||||||||||
Dominican Republic (CC/B3) | ||||||||||||||||
5,900,000 | 9.04 | 01/23/2013 | 4,248,000 | |||||||||||||
Federal Republic of Brazil (B+/B2) | ||||||||||||||||
2,400,000 | 14.50 | 10/15/2009 | 2,808,000 | |||||||||||||
4,400,000 | 12.00 | 04/15/2010 | 4,686,000 | |||||||||||||
560,000 | 12.75 | 01/15/2020 | 590,800 | |||||||||||||
770,000 | 10.13 | 05/15/2027 | 676,638 | |||||||||||||
3,670,000 | 12.25 | 03/06/2030 | 3,725,050 | |||||||||||||
3,000,000 | 11.00 | 08/17/2040 | 2,797,500 | |||||||||||||
Indah Kiat Finance Mauritius (D/Ca)Ø | ||||||||||||||||
1,240,000 | 10.00 | 07/01/2007 | 632,400 | |||||||||||||
PDVSA Finance Ltd. (B+/Caa1) | ||||||||||||||||
3,600,000 | 9.38 | 11/15/2007 | 3,672,000 | |||||||||||||
Republic of Ecuador (CCC+/Caa1)# | ||||||||||||||||
1,400,000 | 7.00 | 08/15/2030 | 976,500 | |||||||||||||
TOTAL EMERGING MARKET DEBT | ||||||||||||||||
(Cost $28,220,763) | $ | 24,879,888 | ||||||||||||||
Shares | Value | |||||||||
Common Stocks* – 0.3% | ||||||||||
88,110 | AirGate PCS, Inc. | $ | 1,675,852 | |||||||
84,126 | Aurora Foods, Inc. | 766 | ||||||||
24,334 | Axiohm Transaction Solutions, Inc. | 243 | ||||||||
6,261 | Birch Telecom, Inc. | 100 | ||||||||
4,064 | Brunner Mond | 247,315 | ||||||||
113,664 | Colt Telecom Group PLC | 149,735 | ||||||||
14,492 | Completel Europe N.V. | 555,056 | ||||||||
225,274 | Dobson Communications Corp. | 806,481 | ||||||||
287,000 | Drax Group Ltd.± | 0 | ||||||||
2,692 | Genesis HealthCare Corp. | 62,966 | ||||||||
11,608 | Global Crossing Ltd. | 82,986 | ||||||||
51,605 | Globix Corp. | 167,716 | ||||||||
45,251 | Hayes Lemmerz International, Inc. | 652,972 | ||||||||
8,978 | ICG Communications, Inc. | 45,518 | ||||||||
6,247 | Mattress Discounters | 9,371 | ||||||||
42,357 | MCI, Inc. | 600,622 | ||||||||
5,384 | NeighborCare, Inc. | 124,586 | ||||||||
33,342 | Pathmark Stores, Inc. | 285,074 | ||||||||
202 | Polestar Co. | 4 | ||||||||
55,249 | Polymer Group, Inc. | 772,381 | ||||||||
2,881 | RSL Communications Ltd. | 29 | ||||||||
8,689 | Simonds Industries± | 0 | ||||||||
348 | SpectraSite, Inc. | 13,005 | ||||||||
14,135 | Thermadyne Holdings Corp. | 210,611 | ||||||||
103,389 | Viasystems Group, Inc. | 360,000 | ||||||||
2,601 | Viatel Holding Ltd. | 2,601 | ||||||||
13,068 | WKI Holding Co., Inc. | 162,500 | ||||||||
7,069 | World Access, Inc. | 8 | ||||||||
3,044 | WRC Media, Inc.† | 61 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $29,582,244) | $ | 6,988,559 | ||||||||
Dividend | Maturity | |||||||||||||||
Shares | Rate | Date | Value | |||||||||||||
Preferred Stocks – 1.2% | ||||||||||||||||
Alamosa Holdings, Inc. | ||||||||||||||||
2,562 | 7.50 | % | 07/31/2013 | $ | 1,444,891 | |||||||||||
Avecia Group PLC (CCC-/ Ca)‡ | ||||||||||||||||
79,956 | 16.00 | 07/01/2010 | 1,479,186 | |||||||||||||
Completel Europe N.V.* | ||||||||||||||||
14 | 14.00 | 02/15/2009 | 53,621 | |||||||||||||
CSC Holdings, Inc. (B) | ||||||||||||||||
63,359 | 11.75 | 10/01/2007 | 6,605,176 | |||||||||||||
1 | 11.13 | 04/01/2008 | 104 | |||||||||||||
Dobson Communications Corp.†* | ||||||||||||||||
3,500 | 6.00 | 08/19/2016 | 416,066 | |||||||||||||
Eagle-Picher Holdings, Inc. (D/ Ca)* | ||||||||||||||||
200 | 11.75 | 03/11/2008 | 2,025,000 | |||||||||||||
General Nutrition Center (CCC+)†Δ‡* | ||||||||||||||||
2,750 | 12.00 | 12/01/2011 | 2,901,250 | |||||||||||||
HLI Operating Co., Inc.* | ||||||||||||||||
184 | 8.00 | 12/31/2049 | 15,640 | |||||||||||||
Intermedia Communications, Inc.Ø | ||||||||||||||||
1 | 13.50 | 03/31/2009 | 3 | |||||||||||||
Lucent Technologies Capital Trust I (CCC/Caa3)† | ||||||||||||||||
1,000 | 7.75 | 03/15/2017 | 1,162,500 | |||||||||||||
Primedia, Inc. (Ca) | ||||||||||||||||
77,780 | 10.00 | 02/01/2008 | 7,194,650 | |||||||||||||
River Holding Corp. | ||||||||||||||||
7,347 | 11.50 | 05/15/2010 | 73 | |||||||||||||
Rural Cellular Corp. (CCC-/ C)‡ | ||||||||||||||||
3,333 | 12.25 | 05/15/2011 | 2,483,116 | |||||||||||||
Song Networks Holding AB* | ||||||||||||||||
21,284 | 0.00 | 12/30/2007 | 28 | |||||||||||||
Spanish Broadcasting Systems Incorporated (CCC/ Caa2)‡ | ||||||||||||||||
2,624 | 10.75 | 10/15/2013 | 2,643,680 | |||||||||||||
Ziff Davis Holdings, Inc.* | ||||||||||||||||
120 | 10.00 | 03/31/2010 | 4,800 | |||||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||||||
(Cost $25,201,446) | $ | 28,429,784 | ||||||||||||||
Expiration | ||||||||||||||||
Units | Date | Value | ||||||||||||||
Warrants* – 0.1% | ||||||||||||||||
Advanstar Holdings Corp. | ||||||||||||||||
2,875 | 10/15/2011 | $ | 29 | |||||||||||||
American Tower Escrow Corp. | ||||||||||||||||
2,750 | 08/01/2008 | 480,645 | ||||||||||||||
ASAT Finance LLC | ||||||||||||||||
2,000 | 11/01/2006 | 9,140 | ||||||||||||||
Asia Pulp & Paper Ltd. | ||||||||||||||||
670 | 03/15/2005 | 7 | ||||||||||||||
Avecia Group PLC | ||||||||||||||||
80,000 | 07/01/2010 | 85,000 | ||||||||||||||
Hayes Lemmerz International, Inc. | ||||||||||||||||
5,598 | 06/03/2006 | 8,677 | ||||||||||||||
HMP Equity Holdings Corp | ||||||||||||||||
10,000 | 05/15/2011 | 1,900,000 | ||||||||||||||
Horizon PCS, Inc. | ||||||||||||||||
2,500 | 10/01/2010 | 25 | ||||||||||||||
ICG Communications, Inc. | ||||||||||||||||
1,487 | 10/01/2007 | 1,264 | ||||||||||||||
IWO Holdings, Inc. | ||||||||||||||||
3,000 | 01/15/2011 | 30 | ||||||||||||||
Knology, Inc. | ||||||||||||||||
1,750 | 10/23/2007 | 17 | ||||||||||||||
Mattress Discounters Holding Corp. | ||||||||||||||||
750 | 07/15/2007 | 7 | ||||||||||||||
MDP Acquisitions PLC | ||||||||||||||||
2,500 | 09/30/2013 | 5,988 | ||||||||||||||
2,500 | 10/01/2013 | 12,500 | ||||||||||||||
Merrill Corp. | ||||||||||||||||
4,228 | 05/01/2009 | 42 | ||||||||||||||
Nycomed Holding | ||||||||||||||||
2,229 | 09/18/2013 | 27 | ||||||||||||||
Ono Finance PLC | ||||||||||||||||
5,000 | 05/31/2009 | 60 | ||||||||||||||
Ono Finance PLC (CCC-) | ||||||||||||||||
1,250 | 05/31/2009 | 12 | ||||||||||||||
Pathnet, Inc. | ||||||||||||||||
1,500 | 04/15/2008 | 15 | ||||||||||||||
Pliant Corp. | ||||||||||||||||
7,000 | 06/01/2010 | 70 | ||||||||||||||
Thermadyne Holdings Corp. | ||||||||||||||||
35,883 | 05/23/2004 | 34,352 | ||||||||||||||
Ziff Davis Holdings, Inc. | ||||||||||||||||
22,000 | 08/12/2012 | 2,200 | ||||||||||||||
TOTAL WARRANTS | ||||||||||||||||
(Cost $645,437) | $ | 2,540,107 | ||||||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount• | Rate | Date | Value | |||||||||||||
Repurchase Agreement – 1.0% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
USD 23,000,000 | 1.05 | % | 05/03/2004 | $ | 23,000,000 | |||||||||||
Maturity Value: $23,002,003 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $23,000,000) | $ | 23,000,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $2,184,042,030) | $ | 2,281,106,262 | ||||||||||||||
† | 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 $312,789,779, which represents approximately 13.4% of net assets as of April 30, 2004. | |
@ | Security is issued with a zero coupon. Income is recognized through the accretion of discount. | |
§ | These securities are issued with a zero coupon or dividend rate which increases to the stated rate at a set date in the future. | |
• | The principal amount of each security is stated in the currency in which the bond is denominated. See below. |
Currency Description | As a % of net assets | |||
CHF = Swiss Franc | 0.0 | % | ||
DEM = German Mark | 0.4 | |||
EUR = Euro Currency | 16.3 | |||
GBP = Great Britain Pound | 3.3 | |||
USD = United States Dollar | 76.3 |
# | Variable rate security. Interest rate disclosed is that which is in effect at April 30, 2004. | |
‡ | Pay-in-kind securities. | |
* | Non-income producing securities. | |
^ | Joint repurchase agreement was entered into on April 30, 2004. | |
Δ | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the next interest or dividend reset dates. | |
Ø | Security in default. | |
± | Security priced as a unit. |
The percent shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |
Security ratings disclosed are issued by Standard & Poor’s/ Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information. |
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Emerging Markets Debt – 90.1% | ||||||||||||||||
Central Bank of Nigeria | ||||||||||||||||
$ | 500,000 | 6.25 | % | 11/15/2020 | $ | 440,000 | ||||||||||
Dominican Republic (CC/B3) | ||||||||||||||||
240,000 | 9.50 | 09/27/2006 | 201,600 | |||||||||||||
Federal Republic of Brazil (B+/B2) | ||||||||||||||||
230,000 | 11.50 | 03/12/2008 | 243,800 | |||||||||||||
190,000 | 14.50 | 10/15/2009 | 222,300 | |||||||||||||
117,277 | 8.00 | 04/15/2014 | 107,895 | |||||||||||||
220,000 | 12.75 | 01/15/2020 | 232,100 | |||||||||||||
320,000 | 10.13 | 05/15/2027 | 281,200 | |||||||||||||
155,000 | 12.25 | 03/06/2030 | 157,325 | |||||||||||||
1,250,000 | 11.00 | 08/17/2040 | 1,165,625 | |||||||||||||
Indonesia Stand By Loan# | ||||||||||||||||
200,000 | 1.81 | 01/25/2006 | 185,000 | |||||||||||||
Ivory Coast@ | ||||||||||||||||
589,000 | 2.00 | 03/29/2018 | 107,493 | |||||||||||||
Malaysia (A-/Baa1) | ||||||||||||||||
570,000 | 8.75 | 06/01/2009 | 677,362 | |||||||||||||
Ministry Finance of Russia (BB+/Ba1) | ||||||||||||||||
150,000 | 3.00 | 05/14/2006 | 144,375 | |||||||||||||
Ministry Finance of Russia (BB+/Ba2) | ||||||||||||||||
1,120,000 | 3.00 | 05/14/2008 | 985,600 | |||||||||||||
PDVSA Finance Ltd. (Venezuela) (B+/Caa1) | ||||||||||||||||
380,000 | 9.38 | 11/15/2007 | 387,600 | |||||||||||||
Republic of Argentina | ||||||||||||||||
382,500 | 2.00 | 01/03/2010 | 165,587 | |||||||||||||
637,500 | 2.00 | 01/03/2016 | 229,646 | |||||||||||||
Republic of Argentina (CCC/Caa1)# | ||||||||||||||||
730,000 | 1.23 | 08/03/2012 | 477,420 | |||||||||||||
Republic of Argentina (D/Ca) | ||||||||||||||||
160,000 | 11.75 | 04/07/2009 | 51,840 | |||||||||||||
Republic of Bulgaria (BB+/Ba2)# | ||||||||||||||||
479,400 | 2.00 | 07/28/2011 | 469,812 | |||||||||||||
Republic of Chile (A/Baa1) | ||||||||||||||||
400,000 | 5.63 | 07/23/2007 | 422,546 | |||||||||||||
Republic of Colombia (BB/Ba2) | ||||||||||||||||
600,000 | 8.13 | 05/21/2024 | 501,000 | |||||||||||||
Republic of Croatia (BBB-/Baa3)# | ||||||||||||||||
41,364 | 2.00 | 07/31/2010 | 41,198 | |||||||||||||
Republic of Ecuador (CCC+/Caa1)@ | ||||||||||||||||
165,000 | 7.00 | 08/15/2030 | 115,087 | |||||||||||||
Republic of Indonesia# | ||||||||||||||||
230,000 | 1.81 | 05/21/2004 | 219,650 | |||||||||||||
Republic of Korea (A-/A3) | ||||||||||||||||
270,000 | 8.88 | 04/15/2008 | 315,985 | |||||||||||||
Republic of Panama (BB/Ba1) | ||||||||||||||||
320,000 | 9.63 | 02/8/2011 | 361,600 | |||||||||||||
Republic of Peru (BB-/Ba3) | ||||||||||||||||
320,000 | 9.13 | 02/21/2012 | 336,000 | |||||||||||||
205,000 | 9.88 | 02/06/2015 | 220,375 | |||||||||||||
Republic of Philippines (BB/Ba2) | ||||||||||||||||
50,000 | 9.50 | - | 10/21/2006 | 54,500 | ||||||||||||
245,000 | 9.38 | - | 01/18/2012 | 254,800 | ||||||||||||
80,000 | 9.00 | 02/15/2013 | 81,200 | |||||||||||||
160,000 | 8.88 | 03/17/2015 | 159,400 | |||||||||||||
80,000 | 10.63 | 03/16/2025 | 85,800 | |||||||||||||
Republic of South Africa (BBB/Baa2) | ||||||||||||||||
320,000 | 9.13 | 05/19/2009 | 376,800 | |||||||||||||
Republic of Turkey (B+/B1) | ||||||||||||||||
850,000 | 11.75 | 06/15/2010 | 1,005,125 | |||||||||||||
Republic of Venezuela (B-/Caa1) | ||||||||||||||||
214,275 | 2.06 | # | 03/31/2007 | 201,151 | ||||||||||||
430,000 | 5.38 | 08/07/2010 | 334,325 | |||||||||||||
150,000 | 9.25 | 09/15/2027 | 123,000 | |||||||||||||
Russian Federation (BB+/Baa3)@ | ||||||||||||||||
2,085,000 | 5.00 | 03/31/2030 | 1,910,381 | |||||||||||||
Ukraine Government (B/B1) | ||||||||||||||||
650,000 | 7.65 | 06/11/2013 | 624,000 | |||||||||||||
United Mexican States (BBB-/Baa2) | ||||||||||||||||
100,000 | 10.38 | 02/17/2009 | 122,750 | |||||||||||||
400,000 | 6.38 | 01/16/2013 | 405,600 | |||||||||||||
600,000 | 5.88 | 01/15/2014 | 582,000 | |||||||||||||
TOTAL EMERGING MARKETS DEBT | ||||||||||||||||
(Cost $16,465,061) | $ | 15,787,853 | ||||||||||||||
Repurchase Agreement – 4.6% | ||||||||||||||||
Joint Repurchase Agreement Account II^ | ||||||||||||||||
$ | 800,000 | 1.05 | % | 05/03/2004 | $ | 800,000 | ||||||||||
Maturity Value: $800,070 | ||||||||||||||||
TOTAL REPURCHASE AGREEMENT | ||||||||||||||||
(Cost $800,000) | $ | 800,000 | ||||||||||||||
TOTAL INVESTMENTS | ||||||||||||||||
(Cost $17,265,061) | $ | 16,587,853 | ||||||||||||||
All securities are denominated in U.S. Dollars. |
# | Variable rate securities. Interest rate disclosed is that which is in effect at April 30, 2004. | |
@ | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at April 30, 2004. | |
^ | Joint repurchase agreement was entered into on April 30, 2004. | |
- | Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the next interest reset date. |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | |
Security ratings disclosed are issued by Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information. |
As a % of | ||||||
Net Assets | ||||||
Debt Classification by Country | ||||||
Russia | 17.4 | % | ||||
Brazil | 13.8 | |||||
Mexico | 6.3 | |||||
Venezuela | 6.0 | |||||
Turkey | 5.7 | |||||
Argentina | 5.3 | |||||
Malaysia | 3.9 | |||||
Philippines | 3.6 | |||||
Ukraine | 3.6 | |||||
Peru | 3.2 | |||||
Colombia | 2.9 | |||||
Bulgaria | 2.7 | |||||
Nigeria | 2.5 | |||||
Chile | 2.4 | |||||
Indonesia | 2.3 | |||||
South Africa | 2.1 | |||||
Panama | 2.1 | |||||
Korea | 1.8 | |||||
Dominican Republic | 1.1 | |||||
Ecuador | 0.6 | |||||
Ivory Coast | 0.6 | |||||
Croatia | 0.2 | |||||
TOTAL DEBT | 90.1 | % | ||||
Global | High Yield | Emerging Markets | |||||||||||||
Income Fund | Fund | Debt Fund | |||||||||||||
Assets: | |||||||||||||||
Investment in securities, at value (identified cost $312,729,577, $2,184,042,030 and $17,265,061, respectively) | $ | 324,896,012 | $ | 2,281,106,262 | $ | 16,587,853 | |||||||||
Cash(a) | 1,351,949 | 140,250 | 204,023 | ||||||||||||
Foreign currencies, at value (identified cost $32,830 and $5,300,208 for Global Income Fund and High Yield Fund, respectively) | 32,447 | 5,365,350 | — | ||||||||||||
Receivables: | |||||||||||||||
Interest, at value | 5,043,642 | 61,925,218 | 313,413 | ||||||||||||
Forward foreign currency exchange contracts, at value | 13,826,415 | 33,124,432 | — | ||||||||||||
Investment securities sold, at value | 470,773 | 6,482,068 | 469,479 | ||||||||||||
Fund shares sold | 387,050 | 1,835,335 | 19,642 | ||||||||||||
Variation margin | 2,189,207 | — | — | ||||||||||||
Reimbursement from investment adviser | 53,955 | 80,950 | 73,200 | ||||||||||||
Deferred offering costs | — | — | 28,394 | ||||||||||||
Other assets, at value | 9,662 | 46,936 | 15,360 | ||||||||||||
Total assets | 348,261,112 | 2,390,106,801 | 17,711,364 | ||||||||||||
Liabilities: | |||||||||||||||
Due to custodian | — | 246,216 | — | ||||||||||||
Payables: | |||||||||||||||
Fund shares repurchased | 743,032 | 20,737,208 | 11,689 | ||||||||||||
Investment securities purchased, at value | 2,379,011 | 14,544,024 | 120,681 | ||||||||||||
Forward foreign currency exchange contracts, at value | 14,274,016 | 9,166,942 | 12,317 | ||||||||||||
Income distribution | — | 5,159,281 | — | ||||||||||||
Amounts owed to affiliates | 334,031 | 2,027,591 | 13,785 | ||||||||||||
Accrued expenses and other liabilities, at value | 77,836 | 8,861,167 | 37,757 | ||||||||||||
Total liabilities | 17,807,926 | 60,742,429 | 196,229 | ||||||||||||
Net Assets: | |||||||||||||||
Paid-in capital | 356,340,204 | 2,264,172,260 | 17,560,496 | ||||||||||||
Accumulated undistributed (distributions in excess of) net investment income | 9,690,631 | 38,190,087 | (45,658 | ) | |||||||||||
Accumulated net realized gain (loss) on investment, options, futures and foreign currency related transactions | (48,109,191 | ) | (93,873,115 | ) | 689,822 | ||||||||||
Net unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 12,531,542 | 120,875,140 | (689,525 | ) | |||||||||||
NET ASSETS | $ | 330,453,186 | $ | 2,329,364,372 | $ | 17,515,135 | |||||||||
Net asset value, offering and redemption price per share:(b) | |||||||||||||||
Class A | $13.75 | $7.93 | $10.20 | ||||||||||||
Class B | $13.70 | $7.94 | — | ||||||||||||
Class C | $13.68 | $7.93 | — | ||||||||||||
Institutional | $13.73 | $7.94 | $10.21 | ||||||||||||
Service | $13.72 | $7.94 | — | ||||||||||||
Shares outstanding: | |||||||||||||||
Class A | 13,659,606 | 151,681,846 | 399,586 | ||||||||||||
Class B | 2,518,800 | 12,624,662 | — | ||||||||||||
Class C | 696,359 | 6,499,252 | — | ||||||||||||
Institutional | 7,131,011 | 122,496,139 | 1,316,227 | ||||||||||||
Service | 52,690 | 134,490 | — | ||||||||||||
Total shares outstanding, $.001 par value (unlimited number of shares authorized) | 24,058,466 | 293,436,389 | 1,715,813 | ||||||||||||
(a) | Represents cash restricted for segregation purposes for the High Yield Fund. |
(b) | Maximum public offering price per share for Class A Shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $14.40, $8.30 and $10.68, 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 for the Global Income and High Yield Funds. |
29
Global | High | Emerging Markets | |||||||||||||
Income Fund | Yield Fund | Debt Fund | |||||||||||||
Investment income: | |||||||||||||||
Interest(a) | $ | 6,938,805 | $ | 137,639,879 | $ | 530,512 | |||||||||
Dividends | 9,694 | 1,842,182 | — | ||||||||||||
Total income | 6,948,499 | 139,482,061 | 530,512 | ||||||||||||
Expenses: | |||||||||||||||
Management fees | 1,563,363 | 10,220,327 | 64,735 | ||||||||||||
Distribution and service fees(b) | 749,755 | 2,841,103 | 7,702 | ||||||||||||
Transfer agent fees(b) | 259,433 | 1,949,654 | 5,547 | ||||||||||||
Custody and accounting fees | 163,715 | 393,084 | 18,353 | ||||||||||||
Registration fees | 42,283 | 46,326 | 28,782 | ||||||||||||
Professional fees | 37,275 | 43,427 | 23,914 | ||||||||||||
Printing fees | 25,322 | 26,713 | 19,500 | ||||||||||||
Amortization of offering costs | — | — | 28,438 | ||||||||||||
Trustee fees | 6,181 | 6,181 | 3,000 | ||||||||||||
Service share fees | 1,429 | 2,767 | — | ||||||||||||
Other | 27,212 | 56,792 | 3,839 | ||||||||||||
Total expenses | 2,875,968 | 15,586,374 | 203,810 | ||||||||||||
Less — expense reductions | (729,659 | ) | (228,116 | ) | (126,701 | ) | |||||||||
Net Expenses | 2,146,309 | 15,358,258 | 77,109 | ||||||||||||
NET INVESTMENT INCOME | 4,802,190 | 124,123,803 | 453,403 | ||||||||||||
Realized and unrealized gain (loss) on investment, options, futures and foreign currency related transactions: | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investment transactions | 2,456,462 | 90,952,430 | 697,841 | ||||||||||||
Options written | 11,719 | — | — | ||||||||||||
Futures transactions | (456,044 | ) | — | — | |||||||||||
Foreign currency related transactions | 13,425,512 | 4,951,363 | (453 | ) | |||||||||||
Net change in unrealized gain (loss) on: | |||||||||||||||
Investments | (11,696,976 | ) | (53,249,510 | ) | (877,758 | ) | |||||||||
Futures | 661,181 | — | — | ||||||||||||
Translation of assets and liabilities denominated in foreign currencies | (2,385,244 | ) | 17,382,547 | (12,317 | ) | ||||||||||
Net realized and unrealized gain (loss) on investment, options, futures and foreign currency related transactions | 2,016,610 | 60,036,830 | (192,687 | ) | |||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 6,818,800 | $ | 184,160,633 | $ | 260,716 | |||||||||
(a) | Net of $7,381, $4,693 and $287 in foreign withholding tax for the Global Income Fund, High Yield Fund and Emerging Markets Debt Fund. |
(b) | Class specific Distribution and Service and Transfer Agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Global Income Fund | $ | 516,583 | $ | 180,644 | $ | 52,528 | $ | 196,302 | $ | 34,322 | $ | 9,980 | $ | 18,715 | $ | 114 | ||||||||||||||||
High Yield Fund | 2,087,715 | 501,364 | 252,024 | 1,586,663 | 95,259 | 47,884 | 219,627 | 221 | ||||||||||||||||||||||||
Emerging Markets Debt Fund | 7,702 | — | — | 2,926 | — | — | 2,621 | — |
30
Global | High | Emerging Markets | |||||||||||||
Income Fund | Yield Fund | Debt Fund | |||||||||||||
From operations: | |||||||||||||||
Net investment income | $ | 4,802,190 | $ | 124,123,803 | $ | 453,403 | |||||||||
Net realized gain on investment, options, futures and foreign currency related transactions | 15,437,649 | 95,903,793 | 697,388 | ||||||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | (13,421,039 | ) | (35,866,963 | ) | (890,075 | ) | |||||||||
Net increase in net assets resulting from operations | 6,818,800 | 184,160,633 | 260,716 | ||||||||||||
Distributions to shareholders: | |||||||||||||||
From net investment income | |||||||||||||||
Class A Shares | (13,209,707 | ) | (68,885,817 | ) | (89,122 | ) | |||||||||
Class B Shares | (2,208,061 | ) | (3,756,502 | ) | — | ||||||||||
Class C Shares | (645,676 | ) | (1,888,992 | ) | — | ||||||||||
Institutional Shares | (6,174,793 | ) | (47,539,263 | ) | (409,939 | ) | |||||||||
Service Shares | (37,370 | ) | (44,911 | ) | — | ||||||||||
From net realized gains | |||||||||||||||
Class A Shares | — | — | (4,378 | ) | |||||||||||
Class B Shares | — | — | — | ||||||||||||
Class C Shares | — | — | — | ||||||||||||
Institutional Shares | — | — | (39,399 | ) | |||||||||||
Service Shares | — | — | — | ||||||||||||
Total distributions to shareholders | (22,275,607 | ) | (122,115,485 | ) | (542,838 | ) | |||||||||
From share transactions: | |||||||||||||||
Proceeds from sales of shares | 28,217,298 | 634,432,564 | 8,013,007 | ||||||||||||
Reinvestment of dividends and distributions | 18,764,629 | 83,629,342 | 535,780 | ||||||||||||
Cost of shares repurchased | (64,957,491 | ) | (1,536,855,971 | ) | (3,527,889 | ) | |||||||||
Net increase (decrease) in net assets resulting from share transactions | (17,975,564 | ) | (818,794,065 | ) | 5,020,898 | ||||||||||
TOTAL INCREASE (DECREASE) | (33,432,371 | ) | (756,748,917 | ) | 4,738,776 | ||||||||||
Net assets: | |||||||||||||||
Beginning of period | 363,885,557 | 3,086,113,289 | 12,776,359 | ||||||||||||
End of period | $ | 330,453,186 | $ | 2,329,364,372 | $ | 17,515,135 | |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 9,690,631 | $ | 38,190,087 | $ | (45,658 | ) | ||||||||
31
Global | High Yield | Emerging Markets | |||||||||||||
Income Fund | Income Fund | Debt Fund (a) | |||||||||||||
From operations: | |||||||||||||||
Net investment income | $ | 13,701,623 | $ | 234,365,856 | $ | 115,638 | |||||||||
Net realized gain (loss) on investment, futures and foreign currency related transactions | (775,870 | ) | (74,531,284 | ) | 50,078 | ||||||||||
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies | 10,951,214 | 557,015,311 | 200,550 | ||||||||||||
Net increase in net assets resulting from operations | 23,876,967 | 716,849,883 | 366,266 | ||||||||||||
Distributions to shareholders: | |||||||||||||||
From net investment income | |||||||||||||||
Class A Shares | (12,518,641 | ) | (126,325,801 | ) | (1,969 | ) | |||||||||
Class B Shares | (1,739,113 | ) | (6,252,357 | ) | — | ||||||||||
Class C Shares | (525,346 | ) | (2,673,680 | ) | — | ||||||||||
Institutional Shares | (6,351,427 | ) | (93,325,147 | ) | (130,523 | ) | |||||||||
Service Shares | (45,398 | ) | (59,029 | ) | — | ||||||||||
Total distributions to shareholders | (21,179,925 | ) | (228,636,014 | ) | (132,492 | ) | |||||||||
From share transactions: | |||||||||||||||
Proceeds from sales of shares | 141,173,543 | 2,300,083,991 | 22,681,510 | ||||||||||||
Reinvestment of dividends and distributions | 17,820,233 | 152,657,653 | 132,492 | ||||||||||||
Cost of shares repurchased | (247,456,671 | ) | (1,425,659,389 | ) | (10,271,417 | ) | |||||||||
Net increase (decrease) in net assets resulting from share transactions | (88,462,895 | ) | 1,027,082,255 | 12,542,585 | |||||||||||
TOTAL INCREASE (DECREASE) | (85,765,853 | ) | 1,515,296,124 | 12,776,359 | |||||||||||
Net assets: | |||||||||||||||
Beginning of period | 449,651,410 | 1,570,817,165 | — | ||||||||||||
End of period | $ | 363,885,557 | $ | 3,086,113,289 | $ | 12,776,359 | |||||||||
Accumulated undistributed net investment income | $ | 27,164,048 | $ | 36,181,769 | $ | — | |||||||||
(a) | For the period from August 29, 2003 (commencement of operations) to October 31, 2003. |
32
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, which approximates market value. Portfolio securities for which accurate market quotations are not readily available or are deemed inaccurate by the Funds’ respective investment adviser are valued based on yield equivalents, pricing matrices or other sources, under valuation procedures established by the Trust’s Board of Trustees. Investments in securities traded on a U.S. or foreign securities exchange (or the Nasdaq system) are valued daily at their last price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, securities are valued at the last bid price.
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 Funds based upon the relative proportion of net assets of each class.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 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 for the High Yield and Emerging Markets Debt Funds are declared daily and paid monthly. Income distributions for the Global Income Fund are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually.
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; and (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 Global Income Fund may enter into mortgage “dollar rolls” in which the Fund sells securities in the current month for delivery and simultaneously contracts 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 Fund treats mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.
G. Segregation Transactions — As set forth in the prospectus, the 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.
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 Funds’ custodian or designated subcustodians under triparty repurchase agreements.
3. AGREEMENTS |
Management Fee | ||||||||||||
Other | ||||||||||||
Contractual | Waiver | Expense | ||||||||||
Fund | Annual Rate | Annual Rate | Limit | |||||||||
Global Income | 0.90 | % | 0.25 | % | 0.004 | % | ||||||
High Yield | 0.70 | — | 0.024 | |||||||||
Emerging Markets Debt | 0.80 | — | 0.044 | |||||||||
3. AGREEMENTS (continued) |
Contingent Deferred Sales Charge | ||||||||||||
Sales Load | ||||||||||||
Fund | Class A | Class B | Class C | |||||||||
Global Income | $ | 8,800 | $ | 100 | $ | — | ||||||
High Yield | 204,000 | — | 400 | |||||||||
Emerging Markets Debt | — | N/A | N/A | |||||||||
Waivers | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Distribution | Other | Total | ||||||||||||||||||
Management | and Service | Expense | Custody | Expense | ||||||||||||||||
Fund | Fees | Fees | Reimbursement | Credit | Reductions | |||||||||||||||
Global Income | $ | 434 | N/A | $ | 295 | $ | 1 | $ | 730 | |||||||||||
High Yield | — | N/A | 222 | 6 | 228 | |||||||||||||||
Emerging Markets Debt | — | $ | 4 | 122 | 1 | 127 | ||||||||||||||
As of April 30, 2004, the amounts owed to affiliates were as follows (in thousands):
Distribution | Transfer | |||||||||||||||
Management | and Service | Agent | ||||||||||||||
Fund | Fees | Fees | Fees | Total | ||||||||||||
Global Income | $ | 178 | $ | 116 | $ | 40 | $ | 334 | ||||||||
High Yield | 1,389 | 385 | 254 | 2,028 | ||||||||||||
Emerging Markets Debt | 12 | 1 | 1 | 14 | ||||||||||||
4. PORTFOLIO SECURITIES 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) | ||||||||||||
Global Income | $ | 20,442,595 | $ | 139,212,000 | $ | 18,747,995 | $ | 176,633,522 | ||||||||
High Yield | 20,556,550 | 657,366,370 | 14,177,428 | 1,471,164,069 | ||||||||||||
Emerging Markets Debt | — | 28,678,827 | — | 23,949,983 | ||||||||||||
Option Accounting Principles — When Global Income writes call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is extinguished. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.
Number of Contracts | Value | |||||||
Contracts Outstanding October 31, 2003 | — | $ | — | |||||
Contracts written | 2,204 | 11,719 | ||||||
Contracts expired | (2,204 | ) | (11,719 | ) | ||||
Contracts outstanding April 30, 2004 | — | $ | — | |||||
Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates 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 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 realize a gain or loss which is reported in the Statements of Operations.
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Number of | ||||||||||||||||||||
Contracts | ||||||||||||||||||||
Long | Settlement | Market | Unrealized | |||||||||||||||||
Fund | Type | (Short) | Month | Value | Gain (Loss) | |||||||||||||||
Global Income Fund | U.S. Treasury Long Bonds CBT | 7 | June 2004 | $ | 749,656 | $ | (32,758 | ) | ||||||||||||
10 Year U.S. Treasury Notes | 316 | June 2004 | 34,918,000 | (1,076,578 | ) | |||||||||||||||
5 Year U.S. Treasury Notes CBT | (868 | ) | June 2004 | (95,425,750 | ) | 1,582,813 | ||||||||||||||
10 Year Japanese Bonds | (23 | ) | June 2004 | (28,623,658 | ) | 177,864 | ||||||||||||||
10 Year Australian Bonds | 66 | June 2004 | 33,784,235 | (35,163 | ) | |||||||||||||||
Long Gilt Future | (105 | ) | June 2004 | (19,920,108 | ) | 236,590 | ||||||||||||||
3 Month Euro Euribor | 229 | June 2004 | 67,149,624 | (105,812 | ) | |||||||||||||||
3 Month Euro Euribor | (229 | ) | June 2005 | (66,676,522 | ) | 166,503 | ||||||||||||||
10 Year Euro-Bund | 22 | June 2004 | 3,006,079 | (66,925 | ) | |||||||||||||||
5 Year Euro-Bobl | (12 | ) | June 2004 | (1,602,025 | ) | 18,827 | ||||||||||||||
$ | (72,640,469 | ) | $ | 865,361 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Funds’ financial statements. The Funds record realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Purchase Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Australian Dollar expiring 5/14/04 | $ | 27,780,454 | $ | 26,123,272 | $ | — | $ | 1,657,182 | |||||||||
expiring 8/6/04 | 3,086,150 | 2,988,313 | — | 97,837 | |||||||||||||
Canadian Dollar expiring 5/14/04 | 25,618,602 | 24,923,502 | — | 695,100 | |||||||||||||
Chilean Peso expiring 5/3/04 | 1,655,908 | 1,561,965 | — | 93,943 | |||||||||||||
expiring 5/17/04 | 690,815 | 664,999 | — | 25,816 | |||||||||||||
expiring 5/20/04 | 624,750 | 575,534 | — | 49,216 | |||||||||||||
expiring 6/4/04 | 1,763,723 | 1,692,670 | — | 71,053 | |||||||||||||
Czech Koruna expiring 5/14/04 | 1,404,000 | 1,406,619 | 2,619 | — | |||||||||||||
expiring 5/14/04 | 1,570,000 | 1,468,906 | — | 101,094 |
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Purchase Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Euro Currency expiring 5/14/04 | $ | 4,523,816 | $ | 4,560,770 | $ | 36,954 | $ | — | |||||||||
expiring 5/14/04 | 40,339,414 | 38,825,336 | — | 1,514,078 | |||||||||||||
expiring 5/27/04 | 1,621,661 | 1,631,272 | 9,611 | — | |||||||||||||
expiring 8/6/04 | 9,393,086 | 9,453,846 | 60,760 | — | |||||||||||||
Great Britain Pound expiring 5/14/04 | 54,650 | 54,898 | 248 | — | |||||||||||||
expiring 5/14/04 | 22,859,165 | 22,202,755 | — | 656,410 | |||||||||||||
Hungarian Forint expiring 5/14/04 | 1,209,000 | 1,221,336 | 12,336 | — | |||||||||||||
Iceland Krona expiring 5/14/04 | 1,822,416 | 1,760,505 | — | 61,911 | |||||||||||||
expiring 8/6/04 | 629,000 | 628,792 | — | 208 | |||||||||||||
Israeli Shekel expiring 5/14/04 | 11,681,053 | 11,434,788 | — | 246,265 | |||||||||||||
expiring 8/6/04 | 3,100,000 | 3,090,886 | — | 9,114 | |||||||||||||
Japanese Yen expiring 5/14/04 | 5,492,915 | 5,512,317 | 19,402 | — | |||||||||||||
expiring 5/14/04 | 44,285,330 | 42,761,744 | — | 1,523,586 | |||||||||||||
expiring 8/6/04 | 10,424,930 | 10,258,036 | — | 166,894 | |||||||||||||
Mexican Peso expiring 5/14/04 | 10,275,022 | 9,959,933 | — | 315,089 | |||||||||||||
expiring 8/6/04 | 1,652,795 | 1,635,170 | — | 17,625 | |||||||||||||
New Zealand Dollar expiring 5/14/04 | 7,358,850 | 6,925,279 | — | 433,571 | |||||||||||||
expiring 8/6/04 | 2,652,538 | 2,650,206 | — | 2,332 | |||||||||||||
Norwegian Krone expiring 5/14/04 | 19,380,000 | 19,628,886 | 248,886 | — | |||||||||||||
expiring 5/14/04 | 3,315,000 | 3,256,724 | — | 58,276 | |||||||||||||
expiring 8/6/04 | 3,127,745 | 3,144,903 | 17,158 | — | |||||||||||||
Polish Zloty expiring 5/14/04 | 2,185,969 | 2,083,185 | — | 102,784 | |||||||||||||
expiring 8/6/04 | 1,158,000 | 1,159,219 | 1,219 | — | |||||||||||||
Russian Ruble expiring 5/13/04 | 445,629 | 434,006 | — | 11,623 | |||||||||||||
expiring 5/17/04 | 223,152 | 217,147 | — | 6,005 | |||||||||||||
expiring 5/24/04 | 619,621 | 603,326 | — | 16,295 | |||||||||||||
expiring 8/4/04 | 4,243,375 | 4,102,163 | — | 141,212 | |||||||||||||
expiring 8/6/04 | 442,533 | 425,829 | — | 16,704 | |||||||||||||
Singapore Dollar expiring 5/14/04 | 3,219,000 | 3,223,854 | 4,854 | — | |||||||||||||
expiring 5/14/04 | 41,475,922 | 41,177,211 | — | 298,711 | |||||||||||||
expiring 8/6/04 | 6,827,811 | 6,749,842 | — | 77,969 | |||||||||||||
Slovakian Koruna expiring 5/14/04 | 2,375,123 | 2,260,360 | — | 114,763 | |||||||||||||
expiring 7/12/04 | 666,000 | 642,749 | — | 23,251 |
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Purchase Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
South African Rand expiring 5/14/04 | $ | 1,835,849 | $ | 1,759,394 | $ | — | $ | 76,455 | |||||||||
South Korean Won expiring 5/3/04 | 807,500 | 789,722 | — | 17,778 | |||||||||||||
expiring 5/6/04 | 1,305,312 | 1,297,268 | — | 8,044 | |||||||||||||
expiring 5/7/04 | 251,667 | 245,323 | — | 6,344 | |||||||||||||
expiring 6/2/04 | 807,500 | 788,458 | — | 19,042 | |||||||||||||
expiring 6/18/04 | 524,863 | 525,286 | 423 | — | |||||||||||||
expiring 6/30/04 | 68,611 | 67,695 | — | 916 | |||||||||||||
expiring 7/16/04 | 979,668 | 954,941 | — | 24,727 | |||||||||||||
expiring 8/3/04 | 3,133,642 | 3,115,812 | — | 17,830 | |||||||||||||
Swedish Krona expiring 5/14/04 | 13,286,520 | 12,610,162 | — | 676,358 | |||||||||||||
Swiss Franc expiring 5/14/04 | 28,707 | 28,992 | 285 | — | |||||||||||||
expiring 5/14/04 | 25,865,688 | 25,208,947 | — | 656,741 | |||||||||||||
Thailand Baht expiring 5/4/04 | 541,994 | 531,646 | — | 10,348 | |||||||||||||
expiring 7/9/04 | 487,872 | 476,179 | — | 11,693 | |||||||||||||
Taiwanese Dollar expiring 5/3/04 | 5,055,121 | 5,022,580 | — | 32,541 | |||||||||||||
expiring 5/5/04 | 1,971,000 | 1,961,424 | — | 9,576 | |||||||||||||
expiring 5/17/04 | 976,286 | 965,940 | — | 10,346 | |||||||||||||
expiring 6/2/04 | 538,279 | 531,859 | — | 6,420 | |||||||||||||
expiring 7/2/04 | 1,767,500 | 1,749,764 | — | 17,736 | |||||||||||||
expiring 7/13/04 | 233,563 | 231,055 | — | 2,508 | |||||||||||||
Yuan Renminbi expiring 10/19/04 | 889,045 | 882,946 | — | 6,099 | |||||||||||||
expiring 4/19/05 | 688,955 | 680,462 | — | 8,493 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 395,320,065 | $ | 385,508,908 | $ | 414,755 | $ | 10,225,912 | |||||||||
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Sale Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Australian Dollar expiring 5/14/04 | $ | 27,534,481 | $ | 26,123,272 | $ | 1,411,209 | $ | — | |||||||||
Canadian Dollar expiring 5/14/04 | 26,114,640 | 24,923,502 | 1,191,138 | — | |||||||||||||
expiring 6/21/04 | 6,012,354 | 5,858,559 | 153,795 | — | |||||||||||||
expiring 6/21/04 | 1,029,723 | 1,033,097 | — | 3,374 | |||||||||||||
expiring 8/6/04 | 6,245,420 | 6,139,624 | 105,796 | — |
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Sale Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Chilean Peso expiring 5/3/04 | $ | 1,620,476 | $ | 1,561,965 | $ | 58,511 | $ | — | |||||||||
expiring 5/17/04 | 690,500 | 664,999 | 25,501 | — | |||||||||||||
expiring 5/20/04 | 598,852 | 575,534 | 23,318 | — | |||||||||||||
expiring 5/28/04 | 433,000 | 428,271 | 4,729 | — | |||||||||||||
expiring 6/4/04 | 1,760,695 | 1,692,670 | 68,025 | — | |||||||||||||
expiring 6/30/04 | 1,203,000 | 1,189,219 | 13,781 | — | |||||||||||||
expiring 7/30/04 | 302,400 | 302,206 | 194 | — | |||||||||||||
expiring 8/3/04 | 129,600 | 129,515 | 85 | — | |||||||||||||
Czech Koruna expiring 5/14/04 | 2,443,000 | 2,345,133 | 97,867 | — | |||||||||||||
Danish Krone expiring 5/26/04 | 3,993,559 | 4,047,885 | — | 54,326 | |||||||||||||
Euro Currency expiring 5/14/04 | 38,607,337 | 37,096,593 | 1,510,744 | — | |||||||||||||
expiring 5/14/04 | 4,761,481 | 4,793,199 | — | 31,718 | |||||||||||||
expiring 5/27/04 | 147,897,887 | 149,572,930 | — | 1,675,043 | |||||||||||||
expiring 8/6/04 | 6,241,632 | 6,222,037 | 19,595 | — | |||||||||||||
expiring 8/6/04 | 8,730,423 | 8,801,463 | — | 71,040 | |||||||||||||
Great Britain Pound expiring 5/14/04 | 23,009,114 | 22,225,789 | 783,325 | — | |||||||||||||
expiring 5/18/04 | 21,269,515 | 21,012,463 | 257,052 | — | |||||||||||||
expiring 8/6/04 | 54,247 | 54,498 | — | 251 | |||||||||||||
Hungarian Forint expiring 5/14/04 | 412,000 | 410,414 | 1,586 | — | |||||||||||||
expiring 8/6/04 | 414,000 | 425,380 | — | 11,380 | |||||||||||||
Iceland Krona expiring 5/14/04 | 1,824,000 | 1,760,505 | 63,495 | — | |||||||||||||
expiring 8/6/04 | 443,687 | 442,339 | 1,348 | — | |||||||||||||
Israeli Shekel expiring 5/14/04 | 11,577,372 | 11,434,788 | 142,584 | — | |||||||||||||
Japanese Yen expiring 5/14/04 | 42,549,528 | 41,439,094 | 1,110,434 | — | |||||||||||||
expiring 5/14/04 | 5,220,750 | 5,225,613 | — | 4,863 | |||||||||||||
expiring 5/25/04 | 55,107,686 | 54,029,591 | 1,078,095 | — | |||||||||||||
expiring 8/6/04 | 2,487,593 | 2,470,595 | 16,998 | — | |||||||||||||
Mexican Peso expiring 5/14/04 | 10,189,077 | 9,959,933 | 229,144 | — | |||||||||||||
expiring 8/6/04 | 762,000 | 763,422 | — | 1,422 | |||||||||||||
New Zealand Dollar expiring 5/14/04 | 7,301,392 | 6,925,279 | 376,113 | — | |||||||||||||
expiring 8/6/04 | 2,651,636 | 2,650,207 | 1,429 | — | |||||||||||||
Norwegian Krone expiring 5/14/04 | 10,026,329 | 9,864,560 | 161,769 | — | |||||||||||||
expiring 5/14/04 | 12,842,708 | 13,021,050 | — | 178,342 |
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Sale Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Polish Zloty expiring 5/14/04 | $ | 6,466,460 | $ | 6,217,928 | $ | 248,532 | $ | — | |||||||||
Russian Ruble expiring 8/4/04 | 4,020,150 | 3,983,155 | 36,995 | — | |||||||||||||
Singapore Dollar expiring 5/14/04 | 40,306,438 | 39,975,151 | 331,287 | — | |||||||||||||
expiring 5/14/04 | 4,399,000 | 4,425,914 | — | 26,914 | |||||||||||||
Slovakian Koruna expiring 5/14/04 | 2,167,123 | 2,111,698 | 55,425 | — | |||||||||||||
expiring 8/6/04 | 408,000 | 412,897 | — | 4,897 | |||||||||||||
South African Rand expiring 5/14/04 | 1,068,860 | 1,024,419 | 44,441 | — | |||||||||||||
expiring 5/14/04 | 705,470 | 734,975 | — | 29,505 | |||||||||||||
expiring 8/6/04 | 798,570 | 771,421 | 27,149 | — | |||||||||||||
expiring 8/6/04 | 298,000 | 299,823 | — | 1,823 | |||||||||||||
South Korean Won expiring 5/6/04 | 399,000 | 394,313 | 4,687 | — | |||||||||||||
expiring 5/6/04 | 977,000 | 981,678 | — | 4,678 | |||||||||||||
expiring 5/7/04 | 335,000 | 335,572 | — | 572 | |||||||||||||
expiring 6/2/04 | 702,000 | 693,153 | 8,847 | — | |||||||||||||
expiring 6/2/04 | 77,000 | 77,128 | — | 128 | |||||||||||||
expiring 6/18/04 | 297,000 | 297,491 | — | 491 | |||||||||||||
expiring 6/30/04 | 176,000 | 176,306 | — | 306 | |||||||||||||
expiring 7/16/04 | 698,000 | 697,525 | 475 | — | |||||||||||||
expiring 8/3/04 | 827,000 | 828,132 | — | 1,132 | |||||||||||||
Swedish Krona expiring 5/14/04 | 13,082,000 | 12,426,148 | 655,852 | — | |||||||||||||
expiring 5/14/04 | 183,559 | 184,014 | — | 455 | |||||||||||||
expiring 6/18/04 | 1,536,773 | 1,509,888 | 26,885 | — | |||||||||||||
Swiss Franc expiring 5/14/04 | 26,486,538 | 25,208,947 | 1,277,591 | — | |||||||||||||
expiring 8/6/04 | 6,267,081 | 6,233,333 | 33,748 | — | |||||||||||||
expiring 8/6/04 | 3,134,000 | 3,155,325 | — | 21,325 | |||||||||||||
Taiwanese Dollar expiring 5/3/04 | 800,000 | 795,646 | 4,354 | — | |||||||||||||
expiring 5/5/04 | 1,947,000 | 1,961,967 | — | 14,967 | |||||||||||||
expiring 7/2/04 | 1,558,000 | 1,564,726 | — | 6,726 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 614,614,116 | $ | 605,095,866 | $ | 11,663,928 | $ | 2,145,678 | |||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Forward Foreign Currency Cross | Purchase | Sale | |||||||||||||||
Contracts (Purchase/Sale) | Current Value | Current Value | Gain | Loss | |||||||||||||
Czech Koruna/Euro Currency | |||||||||||||||||
expiring 5/14/04 | $ | 5,020,235 | $ | 5,161,940 | $ | 141,705 | $ | — | |||||||||
expiring 5/14/04 | 6,976,843 | 6,837,057 | — | 139,786 | |||||||||||||
expiring 8/6/04 | 1,324,112 | 1,328,064 | 3,952 | — | |||||||||||||
expiring 8/6/04 | 1,336,767 | 1,324,112 | — | 12,655 | |||||||||||||
Euro Currency/ Great Britain Pound | |||||||||||||||||
expiring 5/14/04 | 1,992,030 | 2,012,816 | 20,786 | — | |||||||||||||
expiring 5/14/04 | 2,012,816 | 1,976,537 | — | 36,279 | |||||||||||||
Euro Currency/Czech Koruna | |||||||||||||||||
expiring 5/14/04 | 6,459,933 | 6,700,112 | 240,179 | — | |||||||||||||
expiring 5/14/04 | 6,691,859 | 6,433,073 | — | 258,786 | |||||||||||||
Euro Currency/Hungarian Forint | |||||||||||||||||
expiring 5/14/04 | 2,640,369 | 2,663,326 | 22,957 | — | |||||||||||||
expiring 5/14/04 | 5,695,784 | 5,524,594 | — | 171,190 | |||||||||||||
Euro Currency/Japanese Yen | |||||||||||||||||
expiring 5/14/04 | 3,211,025 | 3,169,970 | — | 41,055 | |||||||||||||
expiring 8/6/04 | 1,833,007 | 1,846,504 | 13,497 | — | |||||||||||||
Euro Currency/Norwegian Krone | |||||||||||||||||
expiring 5/14/04 | 2,433,126 | 2,470,367 | 37,241 | — | |||||||||||||
expiring 5/14/04 | 2,470,367 | 2,305,992 | — | 164,375 | |||||||||||||
Euro Currency/ Polish Zloty | |||||||||||||||||
expiring 5/14/04 | 1,705,437 | 1,762,794 | 57,357 | — | |||||||||||||
expiring 5/14/04 | 1,759,980 | 1,695,128 | — | 64,852 | |||||||||||||
Euro Currency/ Slovakian Koruna | |||||||||||||||||
expiring 5/14/04 | 2,500,377 | 2,536,042 | 35,665 | — | |||||||||||||
expiring 5/14/04 | 2,521,962 | 2,497,923 | — | 24,039 | |||||||||||||
expiring 7/12/04 | 641,485 | 641,865 | 380 | — | |||||||||||||
expiring 7/12/04 | 642,749 | 641,485 | — | 1,264 | |||||||||||||
expiring 8/6/04 | 1,256,717 | 1,268,779 | 12,062 | — | |||||||||||||
expiring 8/6/04 | 1,264,773 | 1,256,717 | — | 8,056 | |||||||||||||
Euro Currency/ Swiss Franc | |||||||||||||||||
expiring 5/14/04 | 5,832,373 | 6,007,766 | 175,393 | — | |||||||||||||
expiring 5/14/04 | 6,007,766 | 5,756,019 | — | 251,747 | |||||||||||||
Great Britain Pound/Euro Currency | |||||||||||||||||
expiring 5/14/04 | 1,934,635 | 2,055,695 | 121,060 | — | |||||||||||||
expiring 5/14/04 | 2,055,696 | 1,960,165 | — | 95,531 | |||||||||||||
Hungarian Forint/Euro Currency | |||||||||||||||||
expiring 5/14/04 | 4,126,805 | 4,278,598 | 151,793 | — | |||||||||||||
expiring 5/14/04 | 3,417,016 | 3,340,300 | — | 76,716 | |||||||||||||
expiring 8/6/04 | 1,356,877 | 1,372,379 | 15,502 | — | |||||||||||||
expiring 8/6/04 | 1,372,379 | 1,355,137 | — | 17,242 | |||||||||||||
Norwegian Krone/Euro Currency | |||||||||||||||||
expiring 5/14/04 | 3,452,879 | 3,597,242 | 144,363 | — | |||||||||||||
expiring 5/14/04 | 1,264,461 | 1,262,346 | — | 2,115 |
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Forward Foreign Currency Cross | Purchase | Sale | |||||||||||||||
Contracts (Purchase/Sale) | Current Value | Current Value | Gain | Loss | |||||||||||||
Polish Zloty/Euro Currency | |||||||||||||||||
expiring 5/14/04 | $ | 5,843,765 | $ | 6,245,593 | $ | 401,828 | $ | — | |||||||||
expiring 5/14/04 | 6,245,593 | 5,841,100 | — | 404,493 | |||||||||||||
expiring 8/6/04 | 395,818 | 397,093 | 1,275 | — | |||||||||||||
expiring 8/6/04 | 397,093 | 393,011 | — | 4,082 | |||||||||||||
Slovakian Koruna/Euro Currency | |||||||||||||||||
expiring 5/14/04 | 2,369,531 | 2,379,215 | 9,684 | — | |||||||||||||
expiring 5/14/04 | 2,379,215 | 2,360,874 | — | 18,341 | |||||||||||||
expiring 8/6/04 | 377,241 | 380,628 | 3,387 | — | |||||||||||||
expiring 8/6/04 | 2,996,209 | 2,982,678 | — | 13,531 | |||||||||||||
Swiss Franc/Euro Currency | |||||||||||||||||
expiring 5/14/04 | 5,762,005 | 5,899,671 | 137,666 | — | |||||||||||||
expiring 5/14/04 | 5,899,671 | 5,803,380 | — | 96,291 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY CROSS CONTRACTS (PURCHASE/SALE) | $ | 125,878,781 | $ | 125,724,087 | $ | 1,747,732 | $ | 1,902,426 | |||||||||
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Purchase Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Euro Currency expiring 5/10/2004 | $ | 9,388,871 | $ | 9,469,020 | $ | 80,149 | $ | — | |||||||||
expiring 5/10/2004 | 198,887,423 | 190,950,110 | — | 7,937,313 | |||||||||||||
Great Britain Pound expiring 5/10/2004 | 29,370,801 | 28,375,297 | — | 995,504 | |||||||||||||
Japanese Yen expiring 5/10/2004 | 18,053,460 | 17,884,358 | — | 169,102 | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY PURCHASE CONTRACTS | $ | 255,700,555 | $ | 246,678,785 | $ | 80,149 | $ | 9,101,919 | |||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS (continued) |
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Sale Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Euro Currency expiring 5/10/2004 | $ | 609,445,384 | $ | 579,915,690 | $ | 29,529,694 | $ | — | |||||||||
expiring 5/10/2004 | 13,105,400 | 13,170,423 | — | 65,023 | |||||||||||||
Great Britain Pound expiring 5/10/2004 | 118,080,546 | 114,683,337 | 3,397,209 | — | |||||||||||||
Japanese Yen expiring 5/10/2004 | 10,077,564 | 9,960,184 | 117,380 | — | |||||||||||||
TOTAL OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS | $ | 750,708,894 | $ | 717,729,634 | $ | 33,044,283 | $ | 65,023 | |||||||||
Unrealized | |||||||||||||||||
Open Forward Foreign Currency | Value on | ||||||||||||||||
Purchase Contracts | Settlement Date | Current Value | Gain | Loss | |||||||||||||
Korean Won | |||||||||||||||||
expiring 8/18/2004 | $ | 729,000 | $ | 716,683 | $ | — | $ | 12,317 | |||||||||
5. LINE OF CREDIT FACILITY |
6. JOINT REPURCHASE AGREEMENT ACCOUNT |
6. JOINT REPURCHASE AGREEMENT ACCOUNT (continued) |
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 PLC | 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, Inc. | 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 | |||||||||||||
7. ADDITIONAL TAX INFORMATION |
Emerging | |||||||||||||
Global | Markets | ||||||||||||
Income | High Yield | Debt | |||||||||||
Timing differences (dividends payable, straddles, income distribution payable and taxable interest on defaulted securities) | $ | (1,777,571 | ) | $ | (11,313,272 | ) | $ | — | |||||
Capital loss carryforward: | |||||||||||||
Expiring 2007 | — | (2,694,303 | ) | — | |||||||||
Expiring 2008 | — | — | — | ||||||||||
Expiring 2009 | — | (34,173,218 | ) | — | |||||||||
Expiring 2010 | (30,750,749 | ) | (53,319,790 | ) | — | ||||||||
Expiring 2011 | (28,737,452 | ) | (93,047,695 | ) | — | ||||||||
Total capital loss carryforward | $ | (59,488,201 | ) | $ | (183,235,006 | ) | $ | — | |||||
7. ADDITIONAL TAX INFORMATION (continued) |
At April 30, 2004, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
Emerging | ||||||||||||
Global | High | Markets | ||||||||||
Income | Yield | Debt | ||||||||||
Tax Cost | $ | 317,132,489 | $ | 2,184,768,473 | $ | 17,267,264 | ||||||
Gross unrealized gain | 12,823,443 | 218,538,524 | 27,633 | |||||||||
Gross unrealized loss | (5,059,920 | ) | (122,200,735 | ) | (707,044 | ) | ||||||
Net unrealized security gain (loss) | $ | 7,763,523 | $ | 96,337,789 | $ | (679,411 | ) | |||||
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and net mark-to-market gains on futures and foreign currency contracts recognized for tax purposes.
8. OTHER MATTERS |
As of April 30, 2004, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio were beneficial owners of approximately 39.2% and 29.0% of the Emerging Markets Debt Fund, respectively.
Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 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. 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.
9. SUMMARY OF SHARE TRANSACTIONS |
Emerging Markets | ||||||||||||||||||||||||
Global Income Fund | High Yield Fund | Debt Fund | ||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 917,506 | $ | 12,943,830 | 38,046,803 | $ | 302,633,680 | 420,323 | $ | 4,525,717 | |||||||||||||||
Reinvestment of dividends and distributions | 832,090 | 11,598,070 | 5,897,880 | 46,901,476 | 8,476 | 89,404 | ||||||||||||||||||
Shares repurchased | (3,699,215 | ) | (52,191,858 | ) | (125,950,151 | ) | (1,004,841,641 | ) | (135,700 | ) | (1,444,416 | ) | ||||||||||||
(1,949,619 | ) | (27,649,958 | ) | (82,005,468 | ) | (655,306,485 | ) | 293,099 | 3,170,705 | |||||||||||||||
Class B Shares | ||||||||||||||||||||||||
Shares sold | 94,634 | 1,332,897 | 1,458,504 | 11,626,124 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 130,337 | 1,810,944 | 257,776 | 2,051,698 | — | — | ||||||||||||||||||
Shares repurchased | (294,641 | ) | (4,136,635 | ) | (1,642,547 | ) | (13,092,547 | ) | — | — | ||||||||||||||
(69,670 | ) | (992,794 | ) | 73,733 | 585,275 | — | — | |||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 49,099 | 689,380 | 1,261,953 | 10,030,732 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 36,449 | 505,404 | 140,711 | 1,118,848 | — | — | ||||||||||||||||||
Shares repurchased | (174,204 | ) | (2,444,146 | ) | (910,924 | ) | (7,248,888 | ) | — | — | ||||||||||||||
(88,656 | ) | (1,249,362 | ) | 491,740 | 3,900,692 | — | — | |||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Shares sold | 923,737 | 12,992,319 | 38,821,135 | 309,465,240 | 327,153 | 3,487,290 | ||||||||||||||||||
Reinvestment of dividends and distributions | 346,119 | 4,819,695 | 4,211,620 | 33,552,103 | 42,387 | 446,376 | ||||||||||||||||||
Shares repurchased | (427,935 | ) | (6,034,863 | ) | (63,945,644 | ) | (511,089,655 | ) | (196,447 | ) | (2,083,473 | ) | ||||||||||||
841,921 | 11,777,151 | (20,912,889 | ) | (168,072,312 | ) | 173,093 | 1,850,193 | |||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Shares sold | 18,628 | 258,872 | 84,236 | 676,788 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 2,193 | 30,516 | 655 | 5,217 | — | — | ||||||||||||||||||
Shares repurchased | (10,569 | ) | (149,989 | ) | (73,143 | ) | (583,240 | ) | — | — | ||||||||||||||
10,252 | 139,399 | 11,748 | 98,765 | — | — | |||||||||||||||||||
NET INCREASE (DECREASE) | (1,255,772 | ) | $ | (17,975,564 | ) | (102,341,136 | ) | $ | (818,794,065 | ) | 466,192 | $ | 5,020,898 | |||||||||||
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity for the period ended October 31, 2003 is as follows:
Emerging Markets | ||||||||||||||||||||||||
Global Income Fund | High Yield Fund | Debt Fund(a) | ||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||
Shares sold | 7,145,801 | $ | 104,771,082 | 225,237,679 | $ | 1,601,630,766 | 106,450 | $ | 1,086,691 | |||||||||||||||
Reinvestment of dividends and distributions | 743,869 | 10,862,519 | 11,324,263 | 82,547,326 | 201 | 1,969 | ||||||||||||||||||
Shares repurchased | (10,118,711 | ) | (147,811,286 | ) | (123,570,514 | ) | (905,186,583 | ) | (164 | ) | (1,667 | ) | ||||||||||||
(2,229,041 | ) | (32,177,685 | ) | 112,991,428 | 778,991,509 | 106,487 | 1,086,993 | |||||||||||||||||
Class B Shares | ||||||||||||||||||||||||
Shares sold | 344,355 | 5,032,023 | 5,768,535 | 41,296,281 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 98,367 | 1,431,750 | 428,619 | 3,116,718 | — | — | ||||||||||||||||||
Shares repurchased | (510,983 | ) | (7,457,687 | ) | (2,111,876 | ) | (15,323,429 | ) | — | — | ||||||||||||||
(68,261 | ) | (993,914 | ) | 4,085,278 | 29,089,570 | — | — | |||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 196,341 | 2,870,475 | 4,080,160 | 29,178,609 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 27,470 | 399,145 | 193,927 | 1,414,300 | — | — | ||||||||||||||||||
Shares repurchased | (246,752 | ) | (3,590,641 | ) | (1,418,424 | ) | (10,156,552 | ) | — | — | ||||||||||||||
(22,941 | ) | (321,021 | ) | 2,855,663 | 20,436,357 | — | — | |||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Shares sold | 1,939,705 | 28,441,267 | 88,751,553 | 627,584,051 | 2,137,191 | 21,594,819 | ||||||||||||||||||
Reinvestment of dividends and distributions | 348,867 | 5,086,936 | 9,041,529 | 65,570,523 | 12,779 | 130,523 | ||||||||||||||||||
Shares repurchased | (5,990,141 | ) | (87,902,975 | ) | (68,026,313 | ) | (494,928,174 | ) | (1,006,836 | ) | (10,269,750 | ) | ||||||||||||
(3,701,569 | ) | (54,374,772 | ) | 29,766,769 | 198,226,400 | 1,143,134 | 11,455,592 | |||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Shares sold | 3,968 | 58,696 | 53,621 | 394,284 | — | — | ||||||||||||||||||
Reinvestment of dividends and distributions | 2,736 | 39,883 | 1,222 | 8,786 | — | — | ||||||||||||||||||
Shares repurchased | (46,997 | ) | (694,082 | ) | (9,404 | ) | (64,651 | ) | — | — | ||||||||||||||
(40,293 | ) | (595,503 | ) | 45,439 | 338,419 | — | — | |||||||||||||||||
NET INCREASE (DECREASE) | (6,062,105 | ) | $ | (88,462,895 | ) | 149,744,577 | $ | 1,027,082,255 | 1,249,621 | $ | 12,542,585 | |||||||||||||
(a) | Commencement of operations was August 29, 2003. |
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 | From | realized | Total | |||||||||||||||||||||||||||||
of period | income | gain (loss) | operations | income | capital | gains | distributions | |||||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 14.39 | $ | 0.19 | (c) | $ | 0.07 | $ | 0.26 | $ | (0.90 | ) | $ | — | $ | — | $ | (0.90 | ) | |||||||||||||||||
2004 - Class B Shares | 14.34 | 0.15 | (c) | 0.07 | 0.22 | (0.86 | ) | — | — | (0.86 | ) | |||||||||||||||||||||||||
2004 - Class C Shares | 14.32 | 0.15 | (c) | 0.07 | 0.22 | (0.86 | ) | — | — | (0.86 | ) | |||||||||||||||||||||||||
2004 - Institutional Shares | 14.37 | 0.23 | (c) | 0.07 | 0.30 | (0.94 | ) | — | — | (0.94 | ) | |||||||||||||||||||||||||
2004 - Service Shares | 14.36 | 0.20 | (c) | 0.07 | 0.27 | (0.91 | ) | — | — | (0.91 | ) | |||||||||||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||||||
2003 - Class A Shares | 14.34 | 0.46 | (c) | 0.32 | 0.78 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||||||
2003 - Class B Shares | 14.30 | 0.39 | (c) | 0.30 | 0.69 | (0.65 | ) | — | — | (0.65 | ) | |||||||||||||||||||||||||
2003 - Class C Shares | 14.27 | 0.38 | (c) | 0.32 | 0.70 | (0.65 | ) | — | — | (0.65 | ) | |||||||||||||||||||||||||
2003 - Institutional Shares | 14.33 | 0.56 | (c) | 0.30 | 0.86 | (0.82 | ) | — | — | (0.82 | ) | |||||||||||||||||||||||||
2003 - Service Shares | 14.31 | 0.49 | (c) | 0.31 | 0.80 | (0.75 | ) | — | — | (0.75 | ) | |||||||||||||||||||||||||
2002 - Class A Shares | 14.72 | 0.50 | (c) (d) | (0.35 | )(d) | 0.15 | (0.53 | ) | — | — | (0.53 | ) | ||||||||||||||||||||||||
2002 - Class B Shares | 14.68 | 0.41 | (c) (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||||||||
2002 - Class C Shares | 14.65 | 0.41 | (c) (d) | (0.33 | )(d) | 0.08 | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||||||||
2002 - Institutional Shares | 14.70 | 0.58 | (c) (d) | (0.33 | )(d) | 0.25 | (0.62 | ) | — | — | (0.62 | ) | ||||||||||||||||||||||||
2002 - Service Shares | 14.69 | 0.50 | (c) (d) | (0.33 | )(d) | 0.17 | (0.55 | ) | — | — | (0.55 | ) | ||||||||||||||||||||||||
2001 - Class A Shares | 14.68 | 0.55 | (c) | 0.85 | 1.40 | (1.36 | ) | — | — | (1.36 | ) | |||||||||||||||||||||||||
2001 - Class B Shares | 14.65 | 0.48 | (c) | 0.84 | 1.32 | (1.29 | ) | — | — | (1.29 | ) | |||||||||||||||||||||||||
2001 - Class C Shares | 14.63 | 0.47 | (c) | 0.84 | 1.31 | (1.29 | ) | — | — | (1.29 | ) | |||||||||||||||||||||||||
2001 - Institutional Shares | 14.67 | 0.65 | (c) | 0.84 | 1.49 | (1.46 | ) | — | — | (1.46 | ) | |||||||||||||||||||||||||
2001 - Service Shares | 14.66 | 0.57 | (c) | 0.84 | 1.41 | (1.38 | ) | — | — | (1.38 | ) | |||||||||||||||||||||||||
2000 - Class A Shares | 14.49 | 0.59 | (c) | 0.20 | 0.79 | (0.60 | ) | — | — | (0.60 | ) | |||||||||||||||||||||||||
2000 - Class B Shares | 14.45 | 0.51 | (c) | 0.22 | 0.73 | (0.53 | ) | — | — | (0.53 | ) | |||||||||||||||||||||||||
2000 - Class C Shares | 14.43 | 0.51 | (c) | 0.22 | 0.73 | (0.53 | ) | — | — | (0.53 | ) | |||||||||||||||||||||||||
2000 - Institutional Shares | 14.48 | 0.68 | (c) | 0.21 | 0.89 | (0.70 | ) | — | — | (0.70 | ) | |||||||||||||||||||||||||
2000 - Service Shares | 14.47 | 0.61 | (c) | 0.20 | 0.81 | (0.62 | ) | — | — | (0.62 | ) | |||||||||||||||||||||||||
1999 - Class A Shares | 15.65 | 0.62 | (c) | (0.78 | ) | (0.16 | ) | (0.61 | ) | (0.03 | ) | (0.36 | ) | (1.00 | ) | |||||||||||||||||||||
1999 - Class B Shares | 15.63 | 0.53 | (0.78 | ) | (0.25 | ) | (0.55 | ) | (0.02 | ) | (0.36 | ) | (0.93 | ) | ||||||||||||||||||||||
1999 - Class C Shares | 15.60 | 0.53 | (0.77 | ) | (0.24 | ) | (0.55 | ) | (0.02 | ) | (0.36 | ) | (0.93 | ) | ||||||||||||||||||||||
1999 - Institutional Shares | 15.64 | 0.71 | (0.77 | ) | (0.06 | ) | (0.71 | ) | (0.03 | ) | (0.36 | ) | (1.10 | ) | ||||||||||||||||||||||
1999 - Service Shares | 15.64 | 0.64 | (0.79 | ) | (0.15 | ) | (0.63 | ) | (0.03 | ) | (0.36 | ) | (1.02 | ) | ||||||||||||||||||||||
(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) | 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 0.43%. Per share ratios and supplemental data for periods prior to November 1, 2001 have not been restated to reflect this change in presentation. |
50
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 13.75 | 1.81 | % | $ | 187,787 | 1.34 | %(b) | 2.66 | %(b) | 1.76 | %(b) | 2.24 | %(b) | 47 | % | |||||||||||||||||||
13.70 | 1.56 | 34,509 | 1.84 | (b) | 2.16 | (b) | 2.26 | (b) | 1.74 | (b) | 47 | |||||||||||||||||||||||
13.68 | 1.57 | 9,523 | 1.84 | (b) | 2.16 | (b) | 2.26 | (b) | 1.74 | (b) | 47 | |||||||||||||||||||||||
13.73 | 2.14 | 97,911 | 0.69 | (b) | 3.30 | (b) | 1.11 | (b) | 2.88 | (b) | 47 | |||||||||||||||||||||||
13.72 | 1.89 | 723 | 1.19 | (b) | 2.81 | (b) | 1.61 | (b) | 2.39 | (b) | 47 | |||||||||||||||||||||||
14.39 | 5.45 | 224,553 | 1.35 | 3.15 | 1.74 | 2.76 | 106 | |||||||||||||||||||||||||||
14.34 | 4.87 | 37,118 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.32 | 4.96 | 11,238 | 1.85 | 2.64 | 2.24 | 2.25 | 106 | |||||||||||||||||||||||||||
14.37 | 6.07 | 90,368 | 0.70 | 3.82 | 1.09 | 3.43 | 106 | |||||||||||||||||||||||||||
14.36 | 5.61 | 609 | 1.20 | 3.37 | 1.59 | 2.98 | 106 | |||||||||||||||||||||||||||
14.34 | 1.08 | 255,821 | 1.34 | 3.36 | (d) | 1.72 | 2.98 | (d) | 146 | |||||||||||||||||||||||||
14.30 | 0.59 | 37,986 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.27 | 0.59 | 11,533 | 1.84 | 2.88 | (d) | 2.22 | 2.50 | (d) | 146 | |||||||||||||||||||||||||
14.33 | 1.82 | 143,127 | 0.69 | 4.00 | (d) | 1.07 | 3.62 | (d) | 146 | |||||||||||||||||||||||||
14.31 | 1.24 | 1,184 | 1.19 | 3.49 | (d) | 1.57 | 3.11 | (d) | 146 | |||||||||||||||||||||||||
14.72 | 10.08 | 286,718 | 1.34 | 3.80 | 1.70 | 3.44 | 222 | |||||||||||||||||||||||||||
14.68 | 9.50 | 31,969 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.65 | 9.44 | 8,679 | 1.84 | 3.28 | 2.20 | 2.92 | 222 | |||||||||||||||||||||||||||
14.70 | 10.73 | 181,869 | 0.69 | 4.47 | 1.05 | 4.11 | 222 | |||||||||||||||||||||||||||
14.69 | 10.18 | 1,394 | 1.19 | 3.96 | 1.55 | 3.60 | 222 | |||||||||||||||||||||||||||
14.68 | 5.58 | 294,738 | 1.34 | 4.03 | 1.70 | 3.67 | 185 | |||||||||||||||||||||||||||
14.65 | 5.14 | 22,008 | 1.84 | 3.53 | 2.20 | 3.17 | 185 | |||||||||||||||||||||||||||
14.63 | 5.13 | 5,954 | 1.84 | 3.54 | 2.20 | 3.18 | 185 | |||||||||||||||||||||||||||
14.67 | 6.27 | 287,145 | 0.69 | 4.69 | 1.05 | 4.33 | 185 | |||||||||||||||||||||||||||
14.66 | 5.76 | 1,934 | 1.19 | 4.17 | 1.55 | 3.81 | 185 | |||||||||||||||||||||||||||
14.49 | (1.14 | ) | 271,832 | 1.34 | 4.12 | 1.72 | 3.74 | 158 | ||||||||||||||||||||||||||
14.45 | (1.74 | ) | 16,724 | 1.84 | 3.60 | 2.22 | 3.22 | 158 | ||||||||||||||||||||||||||
14.43 | (1.68 | ) | 7,786 | 1.84 | 3.60 | 2.22 | 3.22 | 158 | ||||||||||||||||||||||||||
14.48 | (0.49 | ) | 279,621 | 0.69 | 4.75 | 1.07 | 4.37 | 158 | ||||||||||||||||||||||||||
14.47 | (1.06 | ) | 1,115 | 1.19 | 4.28 | 1.57 | 3.90 | 158 | ||||||||||||||||||||||||||
Financial Highlights
Income (loss) from | Distributions to | |||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | ||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | ||||||||||||||||||||
of period | income | gain (loss) | operations | income | ||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, | ||||||||||||||||||||||||
2004 - Class A Shares | $ | 7.79 | $ | 0.33 | (c) | $ | 0.14 | $ | 0.47 | $ | (0.33 | ) | ||||||||||||
2004 - Class B Shares | 7.80 | 0.30 | (c) | 0.14 | 0.44 | (0.30 | ) | |||||||||||||||||
2004 - Class C Shares | 7.79 | 0.30 | (c) | 0.14 | 0.44 | (0.30 | ) | |||||||||||||||||
2004 - Institutional Shares | 7.81 | 0.35 | (c) | 0.12 | 0.47 | (0.34 | ) | |||||||||||||||||
2004 - Service Shares | 7.80 | 0.33 | (c) | 0.13 | 0.46 | (0.32 | ) | |||||||||||||||||
FOR THE YEARS ENDED OCTOBER 31, | ||||||||||||||||||||||||
2003 - Class A Shares | 6.38 | 0.65 | (c) | 1.40 | 2.05 | (0.64 | ) | |||||||||||||||||
2003 - Class B Shares | 6.39 | 0.60 | (c) | 1.39 | 1.99 | (0.58 | ) | |||||||||||||||||
2003 - Class C Shares | 6.38 | 0.59 | (c) | 1.40 | 1.99 | (0.58 | ) | |||||||||||||||||
2003 - Institutional Shares | 6.39 | 0.68 | (c) | 1.41 | 2.09 | (0.67 | ) | |||||||||||||||||
2003 - Service Shares | 6.39 | 0.64 | (c) | 1.40 | 2.04 | (0.63 | ) | |||||||||||||||||
2002 - Class A Shares | 7.24 | 0.68 | (c) | (0.86 | ) | (0.18 | ) | (0.68 | ) | |||||||||||||||
2002 - Class B Shares | 7.24 | 0.63 | (c) | (0.85 | ) | (0.22 | ) | (0.63 | ) | |||||||||||||||
2002 - Class C Shares | 7.24 | 0.62 | (c) | (0.85 | ) | (0.23 | ) | (0.63 | ) | |||||||||||||||
2002 - Institutional Shares | 7.25 | 0.70 | (c) | (0.85 | ) | (0.15 | ) | (0.71 | ) | |||||||||||||||
2002 - Service Shares | 7.24 | 0.67 | (c) | (0.84 | ) | (0.17 | ) | (0.68 | ) | |||||||||||||||
2001 - Class A Shares | 8.18 | 0.83 | (c) | (0.93 | ) | (0.10 | ) | (0.84 | ) | |||||||||||||||
2001 - Class B Shares | 8.18 | 0.77 | (c) | (0.93 | ) | (0.16 | ) | (0.78 | ) | |||||||||||||||
2001 - Class C Shares | 8.17 | 0.77 | (c) | (0.92 | ) | (0.15 | ) | (0.78 | ) | |||||||||||||||
2001 - Institutional Shares | 8.19 | 0.86 | (c) | (0.93 | ) | (0.07 | ) | (0.87 | ) | |||||||||||||||
2001 - Service Shares | 8.19 | 0.82 | (c) | (0.94 | ) | (0.12 | ) | (0.83 | ) | |||||||||||||||
2000 - Class A Shares | 9.07 | 0.84 | (c) | (0.78 | ) | 0.06 | (0.95 | ) | ||||||||||||||||
2000 - Class B Shares | 9.08 | 0.78 | (c) | (0.80 | ) | (0.02 | ) | (0.88 | ) | |||||||||||||||
2000 - Class C Shares | 9.07 | 0.78 | (c) | (0.80 | ) | (0.02 | ) | (0.88 | ) | |||||||||||||||
2000 - Institutional Shares | 9.08 | 0.88 | (c) | (0.79 | ) | 0.09 | (0.98 | ) | ||||||||||||||||
2000 - Service Shares | 9.08 | 0.83 | (c) | (0.78 | ) | 0.05 | (0.94 | ) | ||||||||||||||||
1999 - Class A Shares | 9.16 | 0.85 | (0.10 | ) | 0.75 | (0.84 | ) | |||||||||||||||||
1999 - Class B Shares | 9.16 | 0.77 | (0.09 | ) | 0.68 | (0.76 | ) | |||||||||||||||||
1999 - Class C Shares | 9.16 | 0.78 | (0.11 | ) | 0.67 | (0.76 | ) | |||||||||||||||||
1999 - Institutional Shares | 9.17 | 0.90 | (c) | (0.12 | ) | 0.78 | (0.87 | ) | ||||||||||||||||
1999 - Service Shares | 9.17 | 0.86 | (c) | (0.12 | ) | 0.74 | (0.83 | ) | ||||||||||||||||
(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. |
52
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of total | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 7.93 | 6.05 | % | $ | 1,203,316 | 1.16 | %(b) | 8.38 | %(b) | 1.18 | %(b) | 8.36 | %(b) | 24 | % | |||||||||||||||||||
7.94 | 5.65 | 100,264 | 1.91 | (b) | 7.63 | (b) | 1.93 | (b) | 7.61 | (b) | 24 | |||||||||||||||||||||||
7.93 | 5.65 | 51,564 | 1.91 | (b) | 7.63 | (b) | 1.93 | (b) | 7.61 | (b) | 24 | |||||||||||||||||||||||
7.94 | 6.25 | 973,152 | 0.76 | (b) | 8.80 | (b) | 0.78 | (b) | 8.78 | (b) | 24 | |||||||||||||||||||||||
7.94 | 5.99 | 1,068 | 1.26 | (b) | 8.24 | (b) | 1.28 | (b) | 8.22 | (b) | 24 | |||||||||||||||||||||||
7.79 | 33.34 | 1,821,032 | 1.17 | 8.97 | 1.19 | 8.95 | 54 | |||||||||||||||||||||||||||
7.80 | 32.31 | 97,894 | 1.92 | 8.25 | 1.94 | 8.23 | 54 | |||||||||||||||||||||||||||
7.79 | 32.36 | 46,812 | 1.92 | 8.21 | 1.94 | 8.19 | 54 | |||||||||||||||||||||||||||
7.81 | 33.98 | 1,119,417 | 0.77 | 9.42 | 0.79 | 9.40 | 54 | |||||||||||||||||||||||||||
7.80 | 33.16 | 958 | 1.27 | 8.86 | 1.29 | 8.84 | 54 | |||||||||||||||||||||||||||
6.38 | (2.98 | ) | 770,011 | 1.16 | 9.54 | 1.19 | 9.51 | 36 | ||||||||||||||||||||||||||
6.39 | (3.56 | ) | 54,065 | 1.91 | 8.83 | 1.94 | 8.80 | 36 | ||||||||||||||||||||||||||
6.38 | (3.57 | ) | 20,107 | 1.91 | 8.81 | 1.94 | 8.78 | 36 | ||||||||||||||||||||||||||
6.39 | (2.59 | ) | 726,140 | 0.76 | 9.95 | 0.79 | 9.92 | 36 | ||||||||||||||||||||||||||
6.39 | (2.93 | ) | 494 | 1.26 | 9.50 | 1.29 | 9.47 | 36 | ||||||||||||||||||||||||||
7.24 | (1.54 | ) | 493,739 | 1.16 | 10.55 | 1.22 | 10.49 | 57 | ||||||||||||||||||||||||||
7.24 | (2.28 | ) | 45,514 | 1.91 | 9.83 | 1.97 | 9.77 | 57 | ||||||||||||||||||||||||||
7.24 | (2.28 | ) | 12,494 | 1.91 | 9.82 | 1.97 | 9.76 | 57 | ||||||||||||||||||||||||||
7.25 | (1.14 | ) | 460,253 | 0.76 | 10.96 | 0.82 | 10.90 | 57 | ||||||||||||||||||||||||||
7.24 | (1.65 | ) | 384 | 1.26 | 10.49 | 1.32 | 10.43 | 57 | ||||||||||||||||||||||||||
8.18 | 0.38 | 409,224 | 1.16 | 9.54 | 1.21 | 9.49 | 55 | |||||||||||||||||||||||||||
8.18 | (0.48 | ) | 37,085 | 1.91 | 8.79 | 1.96 | 8.74 | 55 | ||||||||||||||||||||||||||
8.17 | (0.48 | ) | 8,933 | 1.91 | 8.78 | 1.96 | 8.73 | 55 | ||||||||||||||||||||||||||
8.19 | 0.77 | 420,284 | 0.76 | 9.99 | 0.81 | 9.94 | 55 | |||||||||||||||||||||||||||
8.19 | 0.15 | 396 | 1.26 | 9.39 | 1.31 | 9.34 | 55 | |||||||||||||||||||||||||||
9.07 | 8.06 | 524,674 | 1.16 | 9.06 | 1.22 | 9.00 | 59 | |||||||||||||||||||||||||||
9.08 | 7.38 | 39,907 | 1.91 | 8.30 | 1.97 | 8.24 | 59 | |||||||||||||||||||||||||||
9.07 | 7.26 | 10,078 | 1.91 | 8.26 | 1.97 | 8.20 | 59 | |||||||||||||||||||||||||||
9.08 | 8.49 | 257,498 | 0.76 | 9.50 | 0.82 | 9.44 | 59 | |||||||||||||||||||||||||||
9.08 | 7.95 | 280 | 1.26 | 8.92 | 1.32 | 8.86 | 59 | |||||||||||||||||||||||||||
Income from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
of period | income(c) | gain | operations | income | gains | distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED APRIL 30, (Unaudited) | ||||||||||||||||||||||||||||||||
2004 - Class A Shares | $ | 10.22 | $ | 0.28 | $ | 0.04 | $ | 0.32 | $ | (0.31 | ) | $ | (0.03 | ) | $ | (0.34 | ) | |||||||||||||||
2004 - Institutional Shares | 10.23 | 0.30 | 0.04 | 0.34 | (0.33 | ) | (0.03 | ) | (0.36 | ) | ||||||||||||||||||||||
FOR THE PERIOD ENDED OCTOBER 31, | ||||||||||||||||||||||||||||||||
2003 - Class A Shares (commenced August 29, 2003) | 10.00 | 0.08 | 0.26 | 0.34 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2003 - Institutional Shares (commenced August 29, 2003) | 10.00 | 0.11 | 0.24 | 0.35 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
(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. |
54
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of net | Ratio of net | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | investment | Ratio of total | investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | expenses | income | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(a) | (in 000s) | net assets(b) | net assets(b) | net assets(b) | net assets(b) | rate | |||||||||||||||||||||||||||
$ | 10.20 | 3.08 | % | $ | 4,076 | 1.28 | % | 5.16 | % | 3.05 | % | 3.39 | % | 164 | % | |||||||||||||||||||
10.21 | 3.29 | 13,439 | 0.88 | 5.71 | 2.40 | 4.19 | 164 | |||||||||||||||||||||||||||
10.22 | 3.36 | 1,088 | 1.28 | 5.35 | 5.53 | 1.10 | 49 | |||||||||||||||||||||||||||
10.23 | 3.52 | 11,688 | 0.88 | 5.96 | 4.88 | 1.96 | 49 | |||||||||||||||||||||||||||
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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 Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. The 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 I N T E R N AT I O N A L Distributor and Transfer AgentChristchurch Court 10-15 Newgate Street 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.London, England EC1 A7HD Investment Adviser Visit our Web site at www.gs.com/funds to obtain the most recent month-end returns. The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, 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 Fund. 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 High Yield Fund invests primarily in high yield, lower rated securities which involve greater price volatility and present greater risks than higher rated fixed income securities. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Goldman Sachs Global Income, Emerging Markets Debt and High Yield 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 Funds 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. The fixed income securities of emerging countries are less liquid and are subject to greater price volatility. The securities markets of emerging countries have less governmental regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. Goldman, Sachs & Co. is the distributor of the Goldman Sachs Fund. Copyright 2004 Goldman, Sachs & Co. All rights reserved. Date of first use: June 29, 2004 / 04-0895SFFISAR / 41.0K / 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 |